-----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, EG35ldIJKUDnhx/VXWm7U9XKmbhobbX8tuMTot0P+8C7Gg6v1cDKNOFbVstYIPka 9aSjS6wI0oHfO7xzxemqCg== 0000950123-08-000261.txt : 20080110 0000950123-08-000261.hdr.sgml : 20080110 20080109180333 ACCESSION NUMBER: 0000950123-08-000261 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 16 CONFORMED PERIOD OF REPORT: 20071031 FILED AS OF DATE: 20080110 DATE AS OF CHANGE: 20080109 EFFECTIVENESS DATE: 20080110 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST CENTRAL INDEX KEY: 0000822977 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-05349 FILM NUMBER: 08521583 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 0000822977 S000009301 Goldman Sachs Emerging Markets Debt Fund C000025380 Goldman Sachs Emerging Markets Debt Fund C000025381 Institutional GSDIX C000025382 Class A GSDAX C000037783 Class C GSCDX 0000822977 S000009308 Goldman Sachs Global Income Fund C000025413 Goldman Sachs Global Income Fund C000025414 Institutional GSGLX C000025415 Service GGISX C000025416 Class A GSGIX C000025417 Class B GSLBX C000025418 Class C GSLCX 0000822977 S000009309 Goldman Sachs High Yield Fund C000025419 Goldman Sachs High Yield Fund C000025420 Institutional GSHIX C000025421 Service GSHSX C000025422 Class A GSHAX C000025423 Class B GSHBX C000025424 Class C GSHCX C000058957 Class R C000058958 Class IR N-CSR 1 y42310nvcsr.htm FORM N-CSR N-CSR
 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES

Investment Company Act file number 811-5349


Goldman Sachs Trust


(Exact name of registrant as specified in charter)

71 South Wacker Drive, Suite 500, Chicago, Illinois 60606


(Address of principal executive offices) (Zip code)
     
Peter V. Bonanno, Esq.   Copies to:
Goldman, Sachs & Co.   Jack W. Murphy
One New York Plaza   Dechert LLP
New York, New York 10004   1775 I Street, N.W.
    Washington, DC 20006

(Name and address of agents for service)

Registrant’s telephone number, including area code: (312) 655-4400


Date of fiscal year end: October 31


Date of reporting period: October 31, 2007


     
ITEM 1.   REPORTS TO STOCKHOLDERS.
     
    The Annual Report to Stockholders is filed herewith.

 


 

Goldman Sachs Funds
SPECIAL FOCUS FIXED INCOME FUNDS Annual Report October 31, 2007 
     
(GRAPHIC)
  Current income potential from portfolios that invest in a variety of fixed income securities.
LOGO


 

Goldman Sachs Special Focus
Fixed Income Funds
n GOLDMAN SACHS GLOBAL INCOME FUND  
 
n GOLDMAN SACHS HIGH YIELD FUND  
 
n GOLDMAN SACHS EMERGING MARKETS DEBT FUND  
TABLE OF CONTENTS
     
Investment Risks
  1
Investment Process
  2
Letters to Shareholders and Performance Summaries
  3
Schedules of Investments
  19
Financial Statements
  50
Notes to the Financial Statements
  54
Financial Highlights
  68
Report of Independent Registered Public Accounting Firm
  74
Other Information
  75
         
 
NOT FDIC-INSURED
  May Lose Value   No Bank Guarantee
 


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Investment Risks
The Global Income Fund invests primarily in a portfolio of fixed income securities of U.S. and foreign issuers. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund may invest in foreign and emerging market securities, which may be more volatile and less liquid than its investment in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes (including cross hedging) for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, option on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid. The Fund may concentrate its investments in particular countries or regions and may be subject to greater losses than if it were less concentrated in a particular country or region. The Fund is non-diversified and may invest more of its assets in fewer issuers than diversified funds, may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be susceptible to greater losses because of these developments.
The High Yield Fund invests primarily in high-yield, fixed income securities that, at the time of purchase, are non-investment grade securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit, liquidity and interest rate risk. The Fund invests in high yield, fixed income securities that, at the time of purchase, are non-investment grade. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. The Fund may also invest in foreign issuers who are denominated in currencies other than the U.S. dollar and in securities of issuers located in emerging countries denominated in any currency. The Fund’s foreign and emerging market investments may be more volatile and less liquid than its investment in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes (including cross hedging) or for speculative purposes. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid.
The Emerging Markets Debt Fund invests primarily in fixed income securities of issuers located in emerging countries. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The majority of the countries in which the Fund invests have sovereign ratings that are below investment grade or are unrated. High yield, lower rated securities involve greater price volatility and present greater risks than higher rated fixed income securities. Fixed income securities of emerging countries are less liquid and are subject to greater price volatility and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The securities markets of emerging countries have less government regulation and are subject to less extensive accounting and financial reporting requirements than the markets of more developed countries. The Fund is also subject to the risk that the issuers of sovereign debt or the government authorities that control the payment of debt may be unable or unwilling to repay principal or interest when due. The Fund may also engage in foreign currency transactions for hedging purposes (including cross hedging) or for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, option on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid.
The Fund may concentrate its investments in particular countries or regions and may be subject to greater losses than if it were less concentrated in a particular country or region. The Fund is non-diversified and may invest more of its assets in fewer issuers than diversified funds and may be more susceptible to adverse developments affecting any single issuer held in its portfolio and may be susceptible to greater losses because of these developments.
1


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
What Distinguishes Goldman Sachs Asset
Management’s Fixed Income Investment Process?
At Goldman Sachs Asset Management (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.
     
 
    A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:


(GRAPHIC)

n  Assess relative value among securities and sectors

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

(GRAPHIC)

n  
Team approach to decision making

n  
Manage risk by avoiding significant sector and interest rate bets

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

(GRAPHIC)


Fixed Income portfolios that:
 
n  
Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield

n  
Capitalize on GSAM’s industry-renowned credit research capabilities

n  
Use a risk-managed framework to seek total return, recognizing the importance of investors’ capital accumulation goals as well as their need for income
2


 

PORTFOLIO RESULTS
Global Income Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Global Income Fund (the “Fund”) during the one-year reporting period that ended October 31, 2007.
  Performance Review
Over the one-year period that ended October 31, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 4.46%, 3.59%, 3.69%, 4.76% and 4.31%, respectively. These returns compare to the 4.33% cumulative total return of the Fund’s benchmark, the Lehman Brothers Global Aggregate Index (USD hedged) and the 4.45% return of the Fund’s previous benchmark, the J.P. Morgan Global Government Bond Index (hedged), over the same time period.
 
Effective July 2, 2007, the Fund changed its benchmark from the J.P. Morgan Global Government Bond Index (hedged) to the Lehman Brothers Global Aggregate Index (USD hedged). The Fund’s investment adviser, Goldman Sachs Asset Management International, believes that changing the Fund’s benchmark will permit the Fund (consistent with its investment objectives and strategy) to access a broader universe of investment opportunities in countries that are not included in the J.P. Morgan Global Government Bond Index (hedged).
 
The primary drivers of performance over the period were the Fund’s currency strategy, duration and relative country positioning. Class B, C, and Service Shares were impacted by the same strategies, however, unlike the A and Institutional Shares, they did not outperform the benchmark due to higher expenses.
  Market Review
U.S. Treasuries rallied over the reporting period in conjunction with significant steepening of the yield curve. U.S Treasury bonds sold off in December 2006 and into January 2007 due to stronger-than-expected manufacturing data and a tight labor market. However, rising delinquencies within the subprime section of the mortgage market and a global equity sell-off saw Treasuries rally sharply in February. A significant bond sell-off in March through mid-June was erased as a full-blown credit crisis materialized in July. This carried on throughout the summer, causing investors to seek the relative safety of government debt. The subprime crisis led to contagion in the global credit markets which continued to negatively impact the markets for the remainder of the year. Although the Federal Reserve Board (the “Fed”) cut interest rates 50 basis points in mid-September and then an additional 25 basis points on the last day of October, we believe the markets continue to anticipate further easing to combat future downside risks to economic growth.
 
European bonds sold off consistently up until the summer credit crunch due to strong economic data in the Eurozone. Industrial and business confidence surveys continued to register multi-year highs. Consumer confidence also improved, despite soft income growth and the increase in German value added tax, aided by healthy job growth and a falling unemployment rate. The European Central Bank tightened policy to 4% in June and has been on hold for the remainder of the fiscal year amid liquidity concerns and weakness in the U.S. Nonetheless, European bonds have consistently outperformed U.S. bonds over the past 12 months.
3


 

PORTFOLIO RESULTS
Mixed economic data in Japan saw Japanese government bonds end the period marginally stronger, albeit with some wild swings during the summer months. Weak consumption data and poor industrial production growth characterized the macroeconomic landscape over the period. Also, while employment growth remained strong, real wage growth was stagnant. Japanese government debt traded roughly in line with the global markets as Japanese bonds sold off in the spring months before sharply rallying in July and August. The Bank of Japan raised overnight rates from 0.25% to 0.50% in February 2007 but stayed on hold for the remainder of the reporting period.
INVESTMENT OBJECTIVE
The Fund seeks a high total return, emphasizing current income, and, to a lesser extent, providing opportunities for capital appreciation.
  Factors Affecting Performance
Our duration strategy contributed positively to performance, primarily driven by positions in the second quarter of 2007. During that time, our short Japan, U.S. and UK positions enhanced results as better macroeconomic data led to a global sell-off of bonds. Some profits on our short Japan trade were given back in August. However, we believe our decision to go long U.S. duration more than offset these losses in Japan as risk aversion swept through financial markets amid the summer credit crunch, pushing government bond prices higher.
 
Our country strategy added value over the period as our short Europe/long U.S. trade continued to perform well. A stable European economic environment, discussion from the European Central Bank (the “ECB”) regarding rate hikes and a downward revision to Fed interest rate expectations saw European government bonds underperform U.S. Treasuries. This decoupling theme among the Eurozone and U.S. markets gained traction as the world economy relies less heavily on the U.S. than in the past. Gains were pared back by losses on our short Japan/long Europe trade. Despite comments from the Bank of Japan regarding possible rate hikes, we were hurt by a stronger-than-expected European business outlook.
 
Our currency strategy was the main positive contributor to performance over the reporting period as long Norwegian krone and Australian dollar positions added value due to strong commodity prices and potential central bank rate hikes. Our short Japanese yen position also generated excess returns due to continued support for carry trades and further demand from Japanese investors for offshore investments. (With a carry trade, an investor sells a certain currency with a relatively low interest rate and uses the funds to purchase a different currency yielding a higher interest rate.) Finally, our short New Zealand dollar position enhanced results, primarily in July, as global carry trades unwound amongst the credit crunch and global flight to quality.
4


 

PORTFOLIO RESULTS
Our corporate selection strategy detracted from performance as corporate bond spreads widened significantly in the third quarter of 2007. High quality financial bonds were hit particularly hard due to volatility in the inter-bank lending market and speculation about exposure to mortgage losses.
  Outlook
In the U.S., we believe there are a number of factors that could negatively impact economic growth. Weaker U.S. consumption, modest wage growth and higher financing costs are likely to further depress confidence levels. Although the Fed has stepped in and eased much of the fear surrounding the market, the consumer position appears substantially poorer this quarter and will likely worsen. There is evidence of weaker employment growth combined with higher labor costs and lower savings rates. Jobless claims are on the rise but so are labor costs, which hurt corporate margins and earnings.
 
We believe risks for growth and inflation in the Eurozone remain skewed to the downside. Eurozone export growth has been stable, where strong export growth in Germany was offset by weakness in France and Italy. In addition, trade improvement has been exclusively due to weaker imports. Despite fast growth and falling unemployment, inflation risk remains stable.
 
Despite solid job growth, Japanese consumption has disappointed, which leads to conservative growth forecasts. We believe that a combination of slowing U.S. growth and solid Asian growth may combine to give Japan stable, but close-to-trend growth in the upcoming months. Although growth is still believed to be at or slightly above trend in 2007 and 2008, inflation remains elusive and inflation forecasts have also been revised downward.
 
We thank you for your investment and look forward to your continued confidence.
 
 
Goldman Sachs Global Fixed Income Investment Management Team
 
November 15, 2007
5


 

(GRAPHIC)
FUND BASICS
Global Income Fund
as of October 31, 2007
PERFORMANCE REVIEW
                             
November 1, 2006–   Fund Total Return   Lehman Brothers Global Aggregate   30-Day Standardized    
October 31, 2007   (based on NAV)1   Index (USD hedged)2   Yield3    
 
Class A
    4.46 %     4.33 %     2.49 %    
Class B
    3.59       4.33       1.86      
Class C
    3.69       4.33       1.86      
Institutional
    4.76       4.33       2.95      
Service
    4.31       4.33       2.45      
 
1 The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.
2 Effective July 2, 2007, the Goldman Sachs Global Income Fund changed its benchmark from the JP Morgan Global Government Bond Index (hedged) to the Lehman Brothers Global Aggregate Index (USD hedged). The Lehman Brothers Global Aggregate Index, an unmanaged index, provides a broad-based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The J.P. Morgan Global Government Bond Index (hedged) is a broad measure of bond performance in developed countries, including the United States, is unmanaged, and does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.
3 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 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.
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
                                         
For the period ended 9/30/07   One Year   Five Years   Ten Years   Since Inception   Inception Date    
 
Class A
    -0.19 %     2.89 %     4.20 %     5.74 %   8/2/91    
Class B
    -1.38       2.74       4.08       4.85     5/1/96    
Class C
    2.72       3.16       4.07       4.27     8/15/97    
Institutional
    4.82       4.33       5.27       6.42     8/1/95    
Service
    4.37       3.81       4.73       6.08 5   8/2/91    
 
4 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.
  The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
5 Performance data for Service Shares prior to 3/12/97 (commencement of operations) 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.
6


 

FUND BASICS
EXPENSE RATIOS6
                     
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)    
 
Class A
    1.06 %     1.17 %    
Class B
    1.81       1.92      
Class C
    1.81       1.92      
Institutional
    0.69       0.80      
Service
    1.19       1.30      
 
6 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval.
CURRENCY ALLOCATION7
                     
    Percentage of Net Assets    
         
    as of 10/31/07   as of 10/31/06    
 
U.S. Dollar8
    39.1 %     27.5 %    
Euro
    34.2       34.3      
Japanese Yen
    15.1       18.8      
British Pound
    3.4       4.7      
Canadian Dollar
    1.2       3.7      
Danish Krone
    0.5       0.7      
Polish Zloty
    0.4       1.0      
Swedish Krona
    0.4       0.6      
Deutschemark
    0.3       0.4      
Australian Dollar
    0.1       0.1      
 
7 The percentage shown for each currency reflects the value of investments in that category as a percentage of net assets. Figures in the above table are reflective of the Fund’s total investments before the effect of derivative instruments, including forward foreign currency contracts. Figures in the above table may not sum to 100% due to the exclusion of other assets and liabilities.
8 These figures represent the value excluding short-term obligations. If short-term obligations had been included the percentage for 2007 and 2006 would have been 73.5% and 34.8%, respectively.
7


 

GOLDMAN SACHS GLOBAL INCOME FUND
Performance Summary
October 31, 2007
The following graph shows the value, as of October 31, 2007, of a $10,000 investment made on November 1, 1997 in Institutional Class Shares of the Goldman Sachs Global Income Fund. For comparative purposes, the performance of the Fund’s benchmark, the Lehman Brothers Global Aggregate Index (USD hedged) (the “Lehman GA Index (USD hedged)”) and the Fund’s previous benchmark, J.P. Morgan Global Government Bond Index (hedged) (the “JP Morgan GGB Index (hedged)”), 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 redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemptions of Fund shares. Performance of Class A, Class B, Class C, and Service Shares will vary from Institutional Class Shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the portfolio.
Global Income Fund’s 10 Year Performance
Performance of a $10,000 Investment, Distributions Reinvested November 1, 1997 to October 31, 2007.
(PERFORMANCE GRAPH)
                                     
Average Annual Total Return Through October 31, 2007   One Year   Five Years   Ten Years   Since Inception    
Class A (commenced August 2, 1991)
                                   
Excluding sales charges
    4.46%       4.10%       4.67%       6.05%      
Including sales charges
    -0.24%       3.14%       4.19%       5.75%      
 
Class B (commenced May 1, 1996)
                                   
Excluding contingent deferred sales charges
    3.59%       3.39%       4.05%       4.85%      
Including contingent deferred sales charges
    -1.52%       2.98%       4.05%       4.85%      
 
Class C (commenced August 15, 1997)
                                   
Excluding contingent deferred sales charges
    3.69%       3.42%       4.06%       4.28%      
Including contingent deferred sales charges
    2.66%       3.42%       4.06%       4.28%      
 
Institutional Class (commenced August 1, 1995)
    4.76%       4.58%       5.26%       6.42%      
 
Service Class (commenced March 12, 1997)
    4.31%       4.06%       4.73%       6.08%      
 
8


 

PORTFOLIO RESULTS
High Yield Fund
Dear Shareholder:
This report provides an overview on the performance of the Goldman Sachs High Yield Fund (the “Fund”) during the one-year reporting period that ended October 31, 2007.
  Performance Review
Over the one-year period that ended October 31, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 6.41%, 5.61%, 5.61%, 6.79% and 6.28%, respectively. These returns compared to the 6.88% cumulative total return of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index – 2% Issuer Capped, over the same time period.
 
While the Fund generated positive performance during the reporting period, it lagged its benchmark. This was due, in part, to the Fund’s exposure to European holdings, as they significantly underperformed their U.S. counterparts. Further, the market has been trading in a relatively narrow range for a given credit quality providing fewer opportunities to outperform the benchmark.
  Market Environment
The high yield market performed well through May 2007, due to generally solid company earnings, favorable merger and acquisition activity and a generally strong equity market. The environment changed dramatically towards the end of the second quarter, as subprime mortgage and housing concerns led to a broader liquidity crunch, with investors balking at the structured (and levered) vehicles which had fueled the mortgage credit boom.
 
Contagion from the subprime crisis spread to the high yield loan and bond markets in late June, causing those markets to sell- off. The credit markets had just begun to attempt to fund over $350 billion of bank and bond commitments to the leveraged buyouts that had been agreed over the prior eighteen months, and with the equity markets suddenly weaker and more volatile, the viability of several of these transactions was called into question. A sudden absence of bank loan buyers, primarily Collateralized Loan Obligations and hedge funds, caused the new issue market to stall and led to a correction in the secondary market bond prices.
 
The high yield market rebounded sharply on July 31, 2007, and a slow recovery continued through mid-October, benefiting from an equity market rally, the Federal Reserve Board’s 50 basis point rate cut in September and the build-up of cash available for reinvestment in many portfolios. However, this rally reversed (along with the equity market) early in the fourth quarter on renewed subprime and liquidity fears. These factors have taken a steep toll on financial institutions and raised the risk of a consumer-led recession in the U.S. The new issue supply excess remains estimated at over $50 billion for the bond market alone, while private equity sponsors attempt to raise portions of their leveraged buyout financings, restructure others, or, in extreme cases, renege on the original transaction.
9


 

PORTFOLIO RESULTS
INVESTMENT OBJECTIVE
The Fund seeks a high level of current income and may also consider the potential for capital appreciation.
  Factors Affecting Performance
During the twelve month reporting period, the Fund performed largely in line with the market. As mentioned, the Fund’s shortfall was caused by its overweight to European companies. The European high yield market underperformed the U.S. market by over 400 basis points during the reporting period, reflecting that market’s less-developed issuer and investor base. Offsetting this shortfall was our underweight to BB rated securities. In addition, Fund performance benefited from a number of premium tender offers as a result of acquisitions or the refinancing of higher cost debt.
  Outlook
It may take several months to resolve the excess of supply in the high yield market. We believe that the subordinated bridge loans (a type of short-term loan that is issued pending the arrangement of larger or longer-term financing) may eventually find buyers from high yield, mezzanine funds (i.e. private equity or merchant banking funds consisting of debt or debt-like instruments, paired with equities) and equity investors. However, we believe this will take time and will require significant price discounts. The paralysis in the bank loan market appears to have ended with the successful sale of First Data’s bank loan, starting the process of clearing supply.
 
We thank you for your investment and look forward to your continued confidence.
 
 
Goldman Sachs High Yield Investment Management Team
 
November 28, 2007
10


 

(GRAPHIC)
FUND BASICS
High Yield Fund
as of October 31, 2007
PERFORMANCE REVIEW
                             
        Lehman Brothers        
        U.S. Corporate   30-Day    
November 1, 2006–   Fund Total Return   High Yield Bond Index–   Standardized    
October 31, 2007   (based on NAV)1   2% Issuer Capped2   Yield3    
 
Class A
    6.41 %     6.88 %     7.18 %    
Class B
    5.61       6.88       6.76      
Class C
    5.61       6.88       6.76      
Institutional
    6.79       6.88       7.87      
Service
    6.28       6.88       7.36      
 
1 The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.
2 The Lehman Brothers U.S. Corporate High Yield Bond Index– 2% Issuer Capped, an unmanaged index, covers the universe of U.S. dollar denominated, non-convertible, fixed rate, non-investment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.
3 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 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.
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
                                         
For the period ended 9/30/07   One Year   Five Years   Ten Years   Since Inception   Inception Date    
 
Class A
    2.46 %     11.70 %     6.14 %     6.23 %   8/1/97    
Class B
    1.09       11.48       5.82       5.91     8/1/97    
Class C
    5.35       11.90       5.83       5.96     8/15/97    
Institutional
    7.73       13.15       7.03       7.12     8/1/97    
Service
    7.08       12.54       6.48       6.57     8/1/97    
 
4 The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.
  The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
11


 

FUND BASICS
EXPENSE RATIOS5
                     
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)    
 
Class A
    1.12 %     1.14 %    
Class B
    1.87       1.89      
Class C
    1.87       1.89      
Institutional
    0.75       0.77      
Service
    1.25       1.27      
 
5 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval.
TOP 10 ISSUERS AS OF 10/31/076
                 
Company   % of Net Assets   Line of Business    
 
Ford
    2.1 %   Automotive    
HCA
    1.5     Health Care – Services    
MGM Mirage
    1.4     Gaming    
GMAC
    1.1     Finance    
RH Donnelley
    1.1     Publishing    
Intelsat
    1.1     Telecommunications – Satellites    
Sungard Data
    1.1     Technology – Software/Services    
Nielsen
    1.1     Publishing    
Rexnord
    1.0     Capital Goods    
Nortek
    0.9     Building Materials    
 
6 The top 10 issuers may not be representative of the Fund’s future investments.
TOP 10 INDUSTRY ALLOCATION7
                     
    Percentage of Net Assets    
         
    as of 10/31/07   as of 10/31/06    
 
Gaming
    6.5 %     5.7 %    
Chemicals
    4.6       6.5      
Publishing
    4.3       4.7      
Packaging
    4.2       3.7      
Health Care – Services
    3.7       2.7      
Utilities – Electric
    3.7       3.4      
Building Materials
    3.4       3.3      
Media – Cable
    3.4       4.2      
Telecommunications – Cellular
    3.2       3.7      
Automotive – OEM
    3.0       2.9      
 
7 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
12


 

GOLDMAN SACHS HIGH YIELD FUND
Performance Summary
October 31, 2007
The following graph shows the value, as of October 31, 2007, of a $10,000 investment made on November 1, 1997 (commencement of operations) in Class A Shares (with the maximum sales charge of 4.5%) of the Goldman Sachs High Yield Fund. For comparative purposes, the performance of the Fund’s benchmark, the Lehman Brothers U.S. Corporate High Yield Bond Index — 2% Issuer Capped, is 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 redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class B, Class C, Institutional and Service Shares will vary from Class A Shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a portfolio.
High Yield Fund’s 10 Year Performance
Performance of a $10,000 Investment, Distributions Reinvested November 1, 1997 to October 31, 2007.
LINE GRAPH
                                     
Average Annual Total Return Through October 31, 2007   One Year   Five Years   Ten Years   Since Inception    
Class A (commenced August 1, 1997)
                                   
Excluding sales charges
    6.41%       13.27%       6.73%       6.72%      
Including sales charges
    1.61%       12.24%       6.24%       6.24%      
 
Class B (commenced August 1, 1997)
                                   
Excluding contingent deferred sales charges
    5.61%       12.42%       5.95%       5.93%      
Including contingent deferred sales charges
    0.33%       12.05%       5.95%       5.93%      
 
Class C (commenced August 15, 1997)
                                   
Excluding contingent deferred sales charges
    5.61%       12.43%       5.94%       5.97%      
Including contingent deferred sales charges
    4.56%       12.43%       5.94%       5.97%      
 
Institutional Class (commenced August 1, 1997)
    6.79%       13.69%       7.14%       7.12%      
 
Service Class (commenced August 1, 1997)
    6.28%       13.08%       6.59%       6.57%      
 
13


 

PORTFOLIO RESULTS
Emerging Markets Debt Fund
Dear Shareholder,
This report provides an overview on the performance of the Goldman Sachs Emerging Markets Debt Fund (the “Fund”) during the one-year reporting period that ended October 31, 2007.
  Performance Review
Over the one-year period that ended October 31, 2007, the Fund’s Class A, Class C, and Institutional Shares generated cumulative total returns, without sales charges, of 8.86%, 7.80%, and 9.25%, respectively. These returns compare to the 7.72% cumulative total return of the Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, over the same time period.
 
The Fund generated a positive return during the reporting period and outperformed its benchmark. This was largely due to the Fund’s local debt security selection and active currency strategy during the period. Slightly offsetting this was security selection of Argentine local market debt and an underweight to Brazil versus the benchmark, both of which detracted from relative performance.
  Market Review
Emerging market debt spreads tightened two basis points (“bps”) to close the period at 201 bps. Emerging market debt continued to perform well, aided by the ongoing improvement in emerging market fundamentals, supportive technical factors and strong investor demand. The Ivory Coast (+55.6%), Uruguay (+13.0%) and Brazil (+12.3%) were the top performers within the Index, while Venezuela (-2.2%), Iraq (-1.4%), and Pakistan (1.2%) were the bottom performers within the Index during the 12-month period.
INVESTMENT OBJECTIVE
The Fund seeks a high level of total return consisting of income and capital appreciation.
  Portfolio Composition
At the end of the reporting period relative to the benchmark, the Fund held underweight positions in Asia and Middle East/ Africa. Also relative to the benchmark, the Fund was overweight securities in Europe and Latin America. The Fund remains well diversified across 29 countries and all emerging market regions. At the end of the period, the portfolio’s largest relative overweight was Argentina and its largest underweight was Mexico. The Fund’s average credit quality rating was BB.
14


 

PORTFOLIO RESULTS
  Portfolio Highlights
In terms of county exposure relative to the benchmark, the Fund’s underweight to Lebanon was a positive contributor to performance as the sovereign underperformed the Index. This was offset by the Fund’s underweight to Brazil, which detracted from performance as the country surpassed the benchmark. Security selection of Brazilian and Turkish local debt were the primary positive contributors to performance for the period, as these countries exhibited strong economies and a low risk of default. In the hard currency (USD denominated) debt space, the Fund’s main positive contributor to performance was security selection of Argentine bonds while the primary detractor was security selection of Brazilian bonds. The Fund’s active currency strategy significantly contributed to performance, especially its short exposure to the U.S. dollar as the value of the dollar fell more than 10% over the past 12 months. From a top-down perspective, the Fund’s overweight to spread duration marginally contributed to returns, as spreads slightly tightened over the period.
  Outlook
Fundamentally, we continue to see a favorable external environment due to supportive sovereign macroeconomic stabilization programs and improved debt management efforts. We believe sustained or rising commodity prices may continue to support emerging markets, particularly the oil exporters. We believe that the long-term technical picture also shines favorably on the emerging market asset class. Strategic inflows remain strong as investor demand is high and broadening, while net supply remains favorable as emergers are paying down more debt than they are issuing. We continue to have confidence in the asset class despite recent spread widening. Fundamentally, countries continue to benefit from strong balance sheets and the asset class remains structurally sound. Increased volatility in emerging market debt is not uncommon in times of global risk aversion, where all spread sectors are affected. We believe that value has been created in the near term but we continue to be cognizant of market news and will prudently add or decrease exposure based on fundamental valuations and/or market technicals.
 
We thank you for your investment and look forward to your continued confidence.
 
 
Goldman Sachs Global Fixed Income Investment Management Team
 
November 16, 2007
15


 

(GRAPHIC)
FUND BASICS
Emerging Markets Debt Fund
as of October 31, 2007
PERFORMANCE REVIEW
                             
November 1, 2006–   Fund Total Return   J.P. Morgan EMBI Global   30-Day Standardized    
October 31, 2007   (based on NAV)1   Diversified Index2   Yield3    
 
Class A
    8.86 %     7.72 %     5.66 %    
Class C
    7.80       7.72       5.42      
Institutional
    9.25       7.72       6.26      
 
1 The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.
2 The J.P. Morgan EMBI Global Diversified Index is an unmanaged index of debt instruments of 31 emerging countries. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.
3 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 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.
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
                         
For the period ended 9/30/07   One Year   Since Inception   Inception Date    
 
Class A
    3.68 %     11.86 %   8/29/03    
Class C
    6.57       7.62     9/29/06    
Institutional
    8.91       13.57     8/29/03    
 
4 The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is less than one year) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. The performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted.
  The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
EXPENSE RATIOS5
                     
    Net Expense Ratio (Current)   Gross Expense Ratio (Before Waivers)    
 
Class A
    1.25 %     1.53 %    
Class C
    2.00       2.28      
Institutional
    0.88       1.16      
 
5 The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectuses for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Applicable waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval.
16


 

FUND BASICS
TOP 10 COUNTRY ALLOCATION6
                     
         
    Percentage of Net Assets    
         
    as of 10/31/07   as of 10/31/06    
 
Argentina
    9.5 %     7.4 %    
Russia
    9.5       13.0      
Venezuela
    7.9       5.9      
United States7
    5.8       11.1      
Turkey
    5.7       6.8      
Philippines
    5.6       7.4      
Brazil
    5.1       9.1      
Colombia
    4.5       2.9      
Mexico
    4.5       4.7      
Peru
    4.2       3.9      
 
6 The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
7 The figures include short-term investments of 4.1% and 8.1% for 10/31/07 and 10/31/06, respectively. Short-term investments include repurchase agreements.
17


 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Performance Summary
October 31, 2007
The following graph shows the value, as of October 31, 2007, of a $10,000 investment made on August 29, 2003 (commencement of operations) in Institutional Shares of the Goldman Sachs Emerging Markets Debt Fund. For comparative purposes, the performance of the Fund’s benchmark, the J.P. Morgan EMBI Global Diversified Index, is 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 redeemed, to be worth more or less than their original cost. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance of Class A and Class C Shares will vary from Institutional Shares due to differences in fees and loads. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect portfolio performance. These factors include, but are not limited to, portfolio operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a portfolio.
Emerging Markets Debt Fund’s Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested August 29, 2003 to October 31, 2007.
LINE GRAPH
                     
Average Annual Total Return Through October 31, 2007   One Year   Since Inception    
Class A (commenced August 29, 2003)
                   
Excluding sales charges
    8.86%       13.44%      
Including sales charges
    4.00%       12.20%      
 
Class C (commenced September 29, 2006)
                   
Excluding sales charges
    7.80%       9.07%      
Including sales charges
    6.73%       9.07%      
 
Institutional Class (commenced August 29, 2003)
    9.25%       13.89%      
 
18


 

GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Foreign Sovereign Debt Obligations – 50.7%
 
    Australian Dollar – 0.1%
    Australia Government Bond
      AUD1,100,000       6.000 %     02/15/17     $ 1,011,892  
     
    British Pound – 2.3%
    United Kingdom Treasury
      GBP1,300,000       8.750       08/25/17       3,487,149  
      7,240,000       8.000       06/07/21       19,609,516  
      4,750,000       4.250       06/07/32       9,361,114  
                           
                              32,457,779  
     
    Canadian Dollar – 1.2%
    Government of Canada
      CAD3,900,000       4.500       06/01/15       4,189,450  
      10,450,000       5.750       06/01/29       13,107,496  
                           
                              17,296,946  
     
    Danish Krone – 0.5%
    Kingdom of Denmark
      DKK20,000,000       6.000       11/15/09       4,014,938  
      16,000,000       4.000       11/15/15       3,051,249  
                           
                              7,066,187  
     
    Euro – 30.7%
    Federal Republic of Germany
      EUR23,050,000       3.500       04/08/11       32,707,250  
      64,000,000       4.000       07/04/16       91,246,998  
      4,750,000       6.250       01/04/24       8,278,334  
      6,260,000       4.750       07/04/28       9,338,413  
      10,100,000       5.500       01/04/31       16,627,094  
      50,000       4.000       01/04/37       66,652  
    Government of France
      27,000,000       4.000       04/25/09       39,013,437  
      4,200,000       3.500       04/25/15       5,793,643  
      5,500,000       3.750       04/25/21       7,405,902  
      5,300,000       5.500       04/25/29       8,641,349  
    Kingdom of Belgium
      17,500,000       5.000       09/28/12       26,211,494  
    Kingdom of Spain
      2,950,000       4.200       07/30/13       4,271,168  
      10,000,000       4.400       01/31/15       14,597,463  
    Kingdom of The Netherlands
      19,900,000       3.750       07/15/09       28,635,440  
      29,800,000       4.250       07/15/13       43,299,282  
    Republic of Austria
      13,650,000       3.500       07/15/15       18,786,234  
    Republic of Italy
      20,000,000       3.000       02/01/09       28,557,274  
      13,100,000       5.500       11/01/10       19,646,413  
      24,820,000       4.000       04/15/12       35,576,199  
                           
                              438,700,039  
     
    Japanese Yen – 15.1%
    Government of Japan
      JPY4,475,000,000       0.900       12/22/08       38,895,203  
      3,675,000,000       0.800       09/20/09       31,854,428  
      5,200,000,000       0.800       12/20/10       44,839,447  
      1,000,000,000       1.300       06/20/12       8,759,632  
      3,000,000,000       1.500       06/20/12       26,512,859  
      1,102,000,000       1.700       09/20/16       9,720,621  
      400,000,000       1.900       06/20/25       3,376,754  
      1,325,000,000       2.000       12/20/25       11,261,713  
      430,000,000       2.100       12/20/26       3,688,384  
      785,000,000       2.500       09/20/34       6,921,725  
    Government of Japan CPI Linked Bond
      85,170,000       0.800       12/10/15       723,796  
      109,218,000       0.800       03/10/16       925,795  
      170,680,000       1.000       06/10/16       1,463,056  
      722,277,000       1.100       09/10/16       6,253,911  
      2,437,665,000       1.100       12/10/16       21,075,084  
                           
                              216,272,408  
     
    Polish Zloty – 0.4%
    Government of Poland
      PLN16,000,000       4.750       04/25/12       6,166,524  
     
    Swedish Krona – 0.4%
    Kingdom of Sweden
      SEK11,000,000       6.750       05/05/14       1,971,049  
      20,000,000       4.500       08/12/15       3,196,763  
                           
                              5,167,812  
     
    TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS
    (Cost $675,820,365)   $ 724,139,587  
     
 
   
Corporate Bonds – 7.5%
 
    Banks – 2.6%
    Banca Popolare di Bergamo Capital Trust(a)
      EUR1,180,000       8.364 %     12/29/49     $ 1,833,929  
    Bancaja Emisiones SA Unipersonal(a)
    $ 500,000       4.625       12/29/49       595,817  
    Banco Popolare Scarl(a)
      1,850,000       6.156       06/29/49       2,565,388  
    BayernLB Capital Trust I(a)
      3,250,000       6.203       03/29/49       2,917,720  
    BCI US Funding Trust II
      870,000       6.322       10/15/49       1,260,238  
    Caja de Ahorros de Valencia Castellon y Alicante(a)
      EUR2,100,000       4.375       12/31/49       2,394,896  
    Citicorp
      DEM4,500,000       6.250       09/19/09       3,425,934  
    Deutsche Postbank Funding Trust IV(a)
      EUR950,000       5.983       06/29/49       1,308,888  
    Instituto de Credito Oficial MTN
    $ 2,100,000       4.625       10/26/10       2,115,212  
    Landwirtschaftliche Rentenbank
      8,940,000       5.000       11/08/16       9,024,675  
    Nordea Bank Finland PLC
      1,010,000       6.500       04/01/09       1,030,772  
    OTP Bank Nyrt.
      EUR1,300,000       5.270       09/19/16       1,759,291  
                                 
     
The accompanying notes are an integral part of these financial statements. 
19


 

GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Banks – (continued)
    RBS Capital Trust I(a)
    $ 860,000       4.709 %     12/29/49     $ 781,462  
    Resona Bank Ltd. MTN(a)
      EUR1,180,000       3.750       04/15/15       1,648,950  
    Resona Preferred Global Securities Ltd.(a)(b)
    $ 2,500,000       7.191       07/30/49       2,512,120  
    Schieneninfrastructurfinanzierungs-Gesellschaft mBH MTN
      760,000       4.625       11/21/13       756,451  
    Washington Mutual Bank
      GBP500,000       5.500       06/10/19       918,696  
                           
                              36,850,439  
     
    Brokerage – 0.3%
    Merrill Lynch & Co., Inc.
    $ 1,700,000       6.400       08/28/17       1,709,793  
    The Bear Stearns Cos., Inc.
      2,410,000       5.850       07/19/10       2,426,170  
                           
                              4,135,963  
     
    Capital Goods(b) – 0.0%
    Bombardier, Inc.
      250,000       6.300       05/01/14       244,375  
      360,000       7.450       05/01/34       364,500  
                           
                              608,875  
     
    Communications – 0.7%
    AMFM, Inc.
      900,000       8.000       11/01/08       920,250  
    Bell Atlantic New Jersey, Inc.
      65,000       8.000       06/01/22       74,904  
    Comcast Cable Communications Holdings, Inc.
      170,000       9.455       11/15/22       220,532  
    Cox Communications, Inc.
      1,850,000       4.625       01/15/10       1,829,515  
    Deutsche Telekom International Finance BV
      230,000       8.250       06/15/30       286,718  
    Koninklijke (Royal) KPN NV
      EUR2,700,000       4.750       05/29/14       3,808,847  
    Telecom Italia Finance SA
      399,000       7.750       01/24/33       666,458  
    Time Warner Cable, Inc.(b)
    $ 2,600,000       6.550       05/01/37       2,614,926  
                           
                              10,422,150  
     
    Consumer Noncyclical – 0.3%
    Casino Guichard-Perrachon SA
      EUR1,750,000       4.875       04/10/14       2,448,772  
    Imperial Tobacco Overseas BV
    $ 1,410,000       7.125       04/01/09       1,448,959  
                           
                              3,897,731  
     
    Diversified Financial Services – 0.9%
    Lehman Brothers Holdings, Inc.
      EUR3,100,000       5.375       10/17/12       4,423,207  
    $ 4,500,000       6.200       09/26/14       4,523,581  
    Morgan Stanley
      EUR2,950,000       5.500       10/02/17       4,241,346  
                           
                              13,188,134  
     
    Financial Companies – 1.0%
    Capital One Financial Corp.
    $ 4,540,000       5.700       09/15/11       4,553,183  
    Countrywide Home Loans, Inc.
      710,000       4.250       12/19/07       701,586  
    Dexia Funding Luxembourg(a)
      EUR2,155,000       4.892       11/30/49       2,893,744  
    PHH Corp.
    $ 1,233,000       6.000       03/01/08       1,236,206  
    Residential Capital LLC
      EUR4,250,000       6.625       05/17/12       4,247,870  
                           
                              13,632,589  
     
    Insurance – 1.6%
    American International Group, Inc.(a)
      4,650,000       4.875       03/15/67       6,139,820  
    AXA SA(a)
      2,280,000       5.777       07/29/49       3,244,158  
      2,500,000       6.211       10/31/49       3,634,409  
    CNA Financial Corp.
    $ 420,000       6.600       12/15/08       425,176  
    Endurance Specialty Holdings Ltd.
      20,000       7.000       07/15/34       20,055  
    Resolution PLC(a)
      GBP1,950,000       6.586       11/29/49       3,677,506  
    SL Finance PLC(a)
      EUR650,000       5.314       01/29/49       894,301  
      GBP1,400,000       6.546       11/29/49       2,768,768  
    ZFS Finance USA Trust IV(a)(b)
    $ 1,050,000       5.875       05/09/32       1,006,360  
    ZFS Finance USA Trust V(a)(b)
      1,900,000       6.500       05/09/37       1,800,900  
                           
                              23,611,453  
     
    Transportation – 0.1%
    OeBB Infrastruktur Bau AG
      810,000       4.750       10/28/13       809,593  
     
    TOTAL CORPORATE BONDS
    (Cost $107,093,365)   $ 107,156,927  
     
 
   
Foreign Debt Obligations – 0.2%
 
    Sovereign — 0.2%
    Quebec Province of Canada
    $ 3,350,000       5.125 %     11/14/06     $ 3,370,674  
    (Cost $3,337,018)        
     
 The accompanying notes are an integral part of these financial statements.
20


 

GOLDMAN SACHS GLOBAL INCOME FUND
 
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Asset-Backed Securities – 0.8%
 
    Home Equity – 0.8%
    CIT Mortgage Loan Trust Series 2007-1, Class 2A1(a)(b)
    $ 5,800,000       6.129 %     10/25/37     $ 5,800,000  
    CIT Mortgage Loan Trust Series 2007-1, Class 2A2(a)(b)
      1,600,000       6.379       10/25/37       1,600,000  
    CIT Mortgage Loan Trust Series 2007-1, Class 2A3(a)(b)
      2,900,000       6.579       10/25/37       2,900,000  
    GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 1A1
      325,000       7.000       09/25/37       325,610  
    GMAC Mortgage Corp. Loan Trust Series 2007-HE3, Class 2A1
      325,000       7.000       09/25/37       325,609  
                           
                              10,951,219  
     
    TOTAL ASSET-BACKED SECURITIES
    (Cost $10,951,219)   $ 10,951,219  
     
 
   
Mortgage-Backed Obligations – 16.2%
 
    Collateralized Mortgage Obligations(a) – 3.3%
    Countrywide Home Loans Series 2005-HYB4, Class 2A1
    $ 2,051,271       4.898 %     08/20/35     $ 2,024,630  
    Countrywide Home Loans, Series 2004-HYB5, Class 2A1
      890,703       4.855       04/20/35       884,089  
    GMAC Mortgage Corp. Loan Trust Series 2004-AR1, Class 12A
      1,845,936       4.399       06/25/34       1,823,212  
    Granite Master Issuer PLC Series 2007-1, Class 5A1
      GBP4,450,000       6.498       12/20/54       9,060,140  
    Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A
    $ 9,582,473       6.029       08/19/36       9,752,579  
    Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1
      558,839       5.377       08/25/35       559,052  
    Merrill Lynch Alternative Note Asset Series 2007-AF1, Class AV1
      9,553,363       5.678       06/25/37       9,507,697  
    Residential Accredit Loans, Inc. Series 2005-Q05, Class A1
      2,393,763       5.983       01/25/46       2,351,499  
    Sequoia Mortgage Trust Series 2004-10, Class A3A
      551,646       5.409       11/20/34       543,216  
    Structured Adjustable Rate Mortgage Loan Series 2004-12, Class 3A2
      251,635       5.250       09/25/34       249,158  
    Structured Adjustable Rate Mortgage Loan Series 2004-16, Class 3A1
      1,213,684       5.450       11/25/34       1,214,485  
    WAMU Mortgage Pass-Through Certificates Series 2006-AR7, Class 2A
      5,237,718       5.913       07/25/46       5,145,854  
    Washington Mutual Mortgage Pass Through Certificates Series 2007-0A1, Class A1A
      2,462,803       5.633       02/25/47       2,393,152  
    Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR11, Class 3A1A
      1,644,022       5.853       09/25/46       1,610,627  
                           
                              47,119,390  
     
    FNMA – 12.4%
      7,030,826       6.500       09/01/36       7,197,143  
      14,239,882       6.500       10/01/36       14,576,733  
      5,026,205       6.500       11/01/36       5,145,102  
      19,233,948       6.570       09/01/37       19,708,786  
      10,605,118       5.987       10/01/37       10,770,409  
      17,804,215       7.500       10/01/37       18,470,693  
      60,000,000       6.500       TBA-15yr (c)     61,256,277  
      4,000,000       6.500       TBA-15yr (c)     4,088,752  
      35,000,000       7.000       TBA-15yr (c)     36,246,875  
                           
                              177,460,770  
     
    Home Equity – 0.5%(a)
    American Home Mortgage Investment Trust Series 2004-3, Class 1A
      63,431       5.243       10/25/34       62,861  
    Countrywide Alternative Loan Trust Series 2005-38, Class A1
      389,693       6.433       09/25/35       386,832  
    Countrywide Alternative Loan Trust Series 2005-82, Class A1
      4,606,875       5.143       02/25/36       4,489,559  
    Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1
      1,621,378       5.208       03/20/46       1,591,467  
                           
                              6,530,719  
     
    TOTAL MORTGAGE-BACKED OBLIGATIONS
    (Cost $230,917,437)   $ 231,110,879  
     
 
   
U.S. Treasury Obligations(d) – 13.9%
 
    Sovereign – 13.9%
    United States Treasury Bonds
    $ 19,500,000       7.500 %     11/15/24     $ 25,613,641  
      26,160,000       5.250       11/15/28       27,748,696  
    United States Treasury Notes
      18,000,000       4.000       09/30/09       18,022,500  
      80,000,000       4.250       09/30/12       80,343,760  
      48,110,000       4.250       08/15/15       47,756,872  
                           
                              199,485,469  
     
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $197,400,905)   $ 199,485,469  
     
 
   
Agency Debentures – 5.4%
 
    FHLB
    $ 10,000,000       5.375 %(d)     08/19/11     $ 10,292,471  
      23,000,000       5.000       03/14/14       23,275,811  
    FNMA
      1,450,000       3.550       11/16/07       1,449,285  
                                 
     
The accompanying notes are an integral part of these financial statements. 
21


 

GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Agency Debentures – (continued)
 
    FHLB – (continued)
    $ 7,130,000       5.270 %     01/16/09     $ 7,140,313  
      24,534,428       5.815 (a)     07/01/37       24,802,773  
      10,566,979       5.900       09/01/37       10,708,148  
     
    TOTAL AGENCY DEBENTURES
    (Cost $77,358,905)   $ 77,668,801  
     
                                 
        Exercise   Expiration    
    Contracts*   Rate   Date   Value
 
   
Options Purchased – 0.0%
 
    Cross Currency Option
    Call ILS 3,695,000                        
    Put USD 14,041,000     3.800 %     01/24/08     $ 11,621  
    Option on Futures Contracts
    U.K. 3 Month Sterling Call                
     
GBP  329
      93.750       12/19/07       44,851  
     
    TOTAL OPTION PURCHASED
    (Cost $16,997)   $ 56,472  
     
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
 
   
Short-Term Obligations – 17.7%
 
    Time Deposit – 17.7%
      ABN Amro                          
    $ 134,348,278       4.900 %     11/01/07     $ 134,348,278  
    JPMorgan Corp.                        
      38,337,375       4.850       11/01/07       38,337,375  
      Rabobank                          
      81,047,846       4.900       11/01/07       81,047,846  
                           
                              253,733,499  
     
    TOTAL SHORT-TERM OBLIGATIONS
    (Cost $253,733,499)   $ 253,733,499  
     
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL
    (Cost $1,556,629,710)   $ 1,607,673,527  
     
                     
        Interest    
    Shares   Rate   Value
   
Securities Lending Collateral(a) – 16.6%
 
    Securities Lending Quality Trust
      237,527,113     5.120%   $ 237,527,113  
    (Cost $237,527,113)
     
    TOTAL INVESTMENTS – 129.0%
    (Cost $1,794,156,823)   $ 1,845,200,640  
     
    LIABILITIES IN EXCESS OF OTHER ASSETS – (29.0)%     (414,428,741 )
     
    NET ASSETS – 100.0%   $ 1,430,771,899  
     
  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 *    The principal/contract amount of each security is stated in the currency in which the bond/option is denominated. See below.
 
 (a)   Variable rate security. Interest rate disclosed is that which is in effect at October 31, 2007.
 
 (b)   Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $18,234,306, which represents approximately 1.3% of net assets as of October 31, 2007.
 
 (c)   TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities amounts to $101,591,904 which represents approximately 7.1% of net assets as of October 31, 2007.
 
 (d)   All or a portion of security is on loan.
                     
Currency Description
 
$
  =   U.S. Dollar   GBP   =   British Pounds
AUD
  =   Australian Dollar   ILS   =   Israeli Shekel
CAD
  =   Canadian Dollar   JPY   =   Japanese Yen
DEM
  =   German Mark   PLN   =   Polish Zloty
DKK
  =   Danish Krone   SEK   =   Swedish Krona
EUR
  =   Euro            
             
     
    Investment Abbreviations:
    FHLB     Federal Home Loan Bank
    FNMA     Federal National Mortgage Association
    LIBOR     London Interbank Offered Rate
    MTN     Medium-Term Note
     
 The accompanying notes are an integral part of these financial statements.
22


 

GOLDMAN SACHS GLOBAL INCOME FUND
 
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY CONTRACTS — At October 31, 2007, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
                                         
Open Forward Foreign Currency   Contract   Expiration   Value on   Current   Unrealized
Contracts with Unrealized Gain   Type   Date   Settlement Date   Value   Gain
 
Australian Dollar
    Purchase       12/19/07     $ 70,700,927     $ 76,426,772     $ 5,725,845  
Brazilian Real
    Purchase       11/13/07       2,208,915       2,523,717       314,802  
Brazilian Real
    Purchase       11/26/07       2,044,000       2,205,790       161,790  
Brazilian Real
    Purchase       12/12/07       2,055,000       2,336,329       281,329  
Brazilian Real
    Purchase       12/19/07       4,104,618       4,551,345       446,727  
Brazilian Real
    Purchase       01/10/08       3,769,000       3,942,922       173,922  
British Pound
    Purchase       11/15/07       27,024,230       27,503,181       478,951  
British Pound
    Purchase       12/19/07       7,203,569       7,334,897       131,328  
Canadian Dollar
    Purchase       12/19/07       14,183,531       14,621,172       437,641  
Czech Koruna
    Purchase       12/19/07       1,416,550       1,485,689       69,139  
Euro
    Purchase       12/19/07       195,800,514       201,701,539       5,901,025  
Indonesian Rupiah
    Purchase       11/08/07       2,044,000       2,059,105       15,105  
Indonesian Rupiah
    Sale       11/08/07       605,000       604,154       846  
Indonesian Rupiah
    Purchase       11/13/07       658,235       680,909       22,674  
Indonesian Rupiah
    Purchase       11/26/07       6,499,858       6,540,393       40,535  
Indonesian Rupiah
    Sale       11/26/07       1,965,000       1,961,414       3,586  
Indian Rupee
    Purchase       11/19/07       955,000       985,170       30,170  
Indian Rupee
    Purchase       11/26/07       2,094,000       2,116,043       22,043  
Indian Rupee
    Purchase       12/12/07       6,394,523       6,517,566       123,043  
Indian Rupee
    Purchase       12/13/07       3,173,396       3,286,622       113,226  
Indian Rupee
    Purchase       01/10/08       3,091,000       3,091,183       183  
Israeli Shekel
    Purchase       01/28/08       606,000       611,145       5,145  
Japanese Yen
    Sale       12/19/07       31,067,111       31,003,429       63,682  
Malaysian Ringgit
    Purchase       11/15/07       1,351,548       1,393,998       42,450  
Malaysian Ringgit
    Purchase       12/04/07       2,565,671       2,582,229       16,558  
Mexican Peso
    Purchase       12/19/07       13,487,447       13,689,269       201,822  
Norwegian Krone
    Purchase       12/19/07       56,230,808       59,499,327       3,268,519  
New Zealand Dollar
    Purchase       12/19/07       30,815,380       32,162,082       1,346,702  
Philippine Peso
    Purchase       11/05/07       9,545,152       9,742,258       197,106  
Philippine Peso
    Purchase       11/07/07       696,964       733,739       36,775  
Philippine Peso
    Purchase       11/13/07       2,044,000       2,114,950       70,950  
Philippine Peso
    Purchase       11/21/07       2,761,318       2,861,953       100,635  
Philippine Peso
    Purchase       11/26/07       5,650,985       5,861,070       210,085  
Philippine Peso
    Purchase       01/16/08       1,925,286       1,931,792       6,506  
Polish Zloty
    Purchase       12/19/07       1,530,184       1,700,840       170,656  
Russian Ruble
    Purchase       11/02/07       11,175,363       11,561,860       386,497  
Russian Ruble
    Purchase       11/23/07       7,209,307       7,384,329       175,022  
South African Rand
    Purchase       12/19/07       10,086,825       10,594,926       508,101  
South Korean Won
    Purchase       11/08/07       4,246,818       4,385,271       138,453  
South Korean Won
    Purchase       11/20/07       4,501,608       4,665,146       163,538  
South Korean Won
    Purchase       11/27/07       1,265,000       1,294,636       29,636  
South Korean Won
    Purchase       01/07/08       1,134,000       1,143,465       9,465  
South Korean Won
    Purchase       01/10/08       3,864,000       3,919,846       55,846  
South Korean Won
    Purchase       01/16/08       3,763,000       3,822,508       59,508  
South Korean Won
    Purchase       01/22/08       3,681,000       3,749,962       68,962  
South Korean Won
    Purchase       01/29/08       3,099,000       3,153,959       54,959  
Swedish Krona
    Purchase       12/19/07       40,645,000       42,310,453       1,665,453  
Swiss Franc
    Purchase       12/19/07       84,163,000       86,123,059       1,960,059  
Turkish Lira
    Purchase       11/26/07       2,517,591       2,700,727       183,136  
Turkish Lira
    Purchase       12/18/07       4,131,746       4,297,586       165,840  
Turkish Lira
    Purchase       01/15/08       3,078,000       3,383,380       305,380  
The accompanying notes are an integral part of these financial statements. 
23


 

GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2007
ADDITIONAL INVESTMENT INFORMATION (continued)
                                         
Open Forward Foreign Currency   Contract   Expiration   Value on   Current   Unrealized
Contracts with Unrealized Gain   Type   Date   Settlement Date   Value   Gain
 
Turkish Lira
    Purchase       01/16/08     $ 1,122,000     $ 1,159,691     $ 37,691  
Turkish Lira
    Purchase       01/22/08       2,053,000       2,204,797       151,797  
Taiwan Dollar
    Purchase       11/02/07       3,520,380       3,541,844       21,464  
Taiwan Dollar
    Sale       01/29/08       2,944,000       2,943,399       601  
Yuan Renminbi
    Purchase       11/15/07       1,847,058       1,854,936       7,878  
Yuan Renminbi
    Sale       11/15/07       1,266,729       1,266,516       213  
Yuan Renminbi
    Purchase       12/20/07       10,136,432       10,166,973       30,541  
 
TOTAL                   $ 26,411,541  
 
                                         
Open Forward Foreign Currency   Contract   Expiration   Value on   Current   Unrealized
Contracts with Unrealized Loss   Type   Date   Settlement Date   Value   Loss
 
Argentine Peso
    Purchase       05/23/08     $ 1,524,000     $ 1,463,445     $ (60,555 )
Argentine Peso
    Sale       05/23/08       1,490,000       1,494,606       (4,606 )
Argentine Peso
    Purchase       05/30/08       274,000       262,843       (11,157 )
Argentine Peso
    Purchase       06/03/08       659,000       630,064       (28,936 )
Australian Dollar
    Sale       12/19/07       33,251,886       35,789,127       (2,537,241 )
British Pound
    Sale       11/15/07       75,435,837       77,825,308       (2,389,471 )
British Pound
    Sale       12/19/07       57,488,000       59,515,160       (2,027,160 )
Canadian Dollar
    Sale       12/19/07       39,178,000       40,842,274       (1,664,274 )
Canadian Dollar
    Sale       01/15/08       15,409,627       16,113,523       (703,896 )
Chilean Peso
    Sale       12/04/07       1,375,649       1,393,344       (17,695 )
Czech Koruna
    Sale       12/19/07       1,266,729       1,321,094       (54,365 )
Danish Kroner
    Sale       12/12/07       7,488,221       7,833,508       (345,287 )
Euro
    Sale       11/20/07       486,237,987       495,646,611       (9,408,624 )
Euro
    Sale       12/19/07       191,017,663       197,108,292       (6,090,629 )
Hungarian Forint
    Sale       12/19/07       984,072       1,019,263       (35,191 )
Indian Rupee
    Sale       12/12/07       2,250,111       2,272,580       (22,469 )
Indian Rupee
    Purchase       12/13/07       983,024       981,816       (1,208 )
Indian Rupee
    Purchase       01/10/08       772,750       772,600       (150 )
Indian Rupee
    Purchase       01/16/08       1,882,000       1,877,581       (4,419 )
Indonesian Rupiah
    Sale       11/08/07       1,451,772       1,454,951       (3,179 )
Indonesian Rupiah
    Sale       11/13/07       680,037       680,909       (872 )
Indonesian Rupiah
    Sale       11/26/07       4,566,909       4,578,979       (12,070 )
Israeli Shekel
    Sale       01/28/08       606,000       610,923       (4,923 )
Japanese Yen
    Sale       11/21/07       226,249,482       226,444,553       (195,071 )
Japanese Yen
    Sale       12/19/07       26,027,000       26,263,186       (236,186 )
Japanese Yen
    Purchase       12/19/07       109,581,679       108,655,501       (926,178 )
Mexican Peso
    Sale       12/19/07       13,469,360       13,954,293       (484,933 )
Norwegian Krone
    Sale       12/19/07       30,864,479       32,905,189       (2,040,710 )
New Zealand Dollar
    Purchase       12/19/07       12,766,000       12,752,710       (13,290 )
New Zealand Dollar
    Sale       12/19/07       54,073,749       58,049,976       (3,976,227 )
Philippine Peso
    Sale       11/05/07       9,688,941       9,742,258       (53,317 )
Philippine Peso
    Sale       11/07/07       2,675,975       2,870,420       (194,445 )
Philippine Peso
    Purchase       01/16/08       3,861,973       3,843,741       (18,232 )
Polish Zloty
    Sale       11/08/07       6,091,128       6,341,299       (250,171 )
Russian Ruble
    Sale       11/02/07       11,123,332       11,561,860       (438,528 )
Russian Ruble
    Sale       11/23/07       7,117,471       7,384,329       (266,858 )
Singapore Dollar
    Sale       12/19/07       5,850,980       5,980,872       (129,892 )
South African Rand
    Sale       12/19/07       9,506,369       10,589,057       (1,082,688 )
South Korean Won
    Sale       11/08/07       3,839,000       3,929,450       (90,450 )
South Korean Won
    Sale       11/20/07       3,960,000       4,128,912       (168,912 )
Swedish Krona
    Sale       12/11/07       11,742,020       12,555,971       (813,951 )
Swedish Krona
    Sale       12/19/07       3,687,771       3,739,688       (51,917 )
 The accompanying notes are an integral part of these financial statements.
24


 

GOLDMAN SACHS GLOBAL INCOME FUND
 
ADDITIONAL INVESTMENT INFORMATION (continued)
                                         
Open Forward Foreign Currency   Contract   Expiration   Value on   Current   Unrealized
Contracts with Unrealized Loss   Type   Date   Settlement Date   Value   Loss
 
Swiss Franc
    Sale       12/19/07     $ 84,608,685     $ 86,080,470     $ (1,471,785 )
Taiwan Dollar
    Sale       11/02/07       1,500,000       1,509,270       (9,270 )
Taiwan Dollar
    Sale       11/21/07       635,063       646,933       (11,870 )
Taiwan Dollar
    Sale       11/26/07       1,865,005       1,894,788       (29,783 )
Taiwan Dollar
    Sale       12/03/07       1,153,134       1,160,511       (7,377 )
Taiwan Dollar
    Sale       12/12/07       5,870,512       5,973,252       (102,740 )
Taiwan Dollar
    Sale       12/13/07       793,622       807,709       (14,087 )
Taiwan Dollar
    Sale       01/09/08       776,000       785,444       (9,444 )
Taiwan Dollar
    Sale       01/31/08       3,091,000       3,132,900       (41,900 )
Turkish Lira
    Sale       12/18/07       3,651,000       3,873,631       (222,631 )
Turkish Lira
    Sale       12/19/07       1,265,687       1,321,771       (56,084 )
Yuan Renminbi
    Purchase       11/15/07       4,452,286       4,440,315       (11,971 )
 
TOTAL                   $ (38,849,275 )
 
                                 
Open Forward Foreign Currency   Expiration   Purchase   Sale   Unrealized
Cross Contracts with Unrealized Gain (Purchase/Sale)   Date   Current Value   Current Value   Gain
 
Hungarian Forint/Euro
    12/19/07     $ 11,509,370     $ 11,430,508     $ 78,862  
Slovakian Koruna/Euro
    12/19/07       8,744,919       8,634,811       110,108  
 
TOTAL
                          $ 188,970  
 
                                 
Open Forward Foreign Currency   Expiration   Purchase   Sale   Unrealized
Cross Contracts with Unrealized Loss (Purchase/Sale)   Date   Current Value   Current Value   Loss
 
Euro/Polish Zloty
    12/19/07     $ 1,084,239     $ 1,110,699     $ (26,460 )
Euro/Slovakian Koruna
    12/19/07       8,561,869       8,683,289       (121,420 )
Norwegian Krone/Euro
    12/19/07       248,816       250,766       (1,950 )
 
TOTAL
                          $ (149,830 )
 
FUTURES CONTRACTS — At October 31, 2007, the following futures contracts were open:
                                 
    Number of            
    Contracts   Settlement   Notional   Unrealized
Type   Long (Short)   Month   Value   Gain (Loss)
 
Australia 10 Year Treasury Bond
    98       December 2007     $ 8,520,419     $ (225,969 )
2 Year Euro Schatz
    (65 )     December 2007       (9,705,739 )     24,920  
5 Year Euro-Bobl
    (1,149 )     December 2007       (179,048,029 )     95,956  
10 Year Euro-Bund
    (501 )     December 2007       (82,144,049 )     494,119  
Japan 10 Year Treasury Bond
    26       December 2007       30,669,539       151,104  
U.K. Life Long Gilt
    (10 )     December 2007       (2,228,997 )     5,193  
U.S. Long Bonds
    (1,580 )     December 2007       (177,898,125 )     (862,406 )
2 Year U.S. Treasury Notes
    10       December 2007       8,284,375       (1,719 )
5 Year U.S. Treasury Notes
    6,063       December 2007       650,825,156       1,393,437  
10 Year U.S. Treasury Notes
    233       December 2007       25,633,641       176,016  
 
TOTAL
                          $ 1,250,651  
 
The accompanying notes are an integral part of these financial statements. 
25


 

GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2007
ADDITIONAL INVESTMENT INFORMATION (continued)
SWAP CONTRACTS — At October 31, 2007, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
                                         
            Rates Exchanged        
                     
    Notional       Payments   Payments   Upfront Payments    
    Amount   Termination   received by   made by   made (received)   Unrealized
Swap Counterparty   (000s)   Date   the Fund   the Fund   by the Fund   Gain (Loss)
 
ABN Amro Bank N.V.
    SEK 96,000(a)       12/19/17     4.500%   3 month STIB   $ (454,346 )   $ 63,621  
      EUR 10,300(a)       12/19/17     6 month EURO   4.500%     281,823       (95,395 )
Banc of America Securities LLC
    CAD 24,870(a)       05/31/10     3 month CDOR   4.967           (162,129 )
      CAD 15,600(a)       05/30/13     4.955   3 month CDOR           145,890  
      CAD 2,150(a)       05/31/38     3 month CDOR   4.990           7,078  
Bank of America NA
    USD 102,880(a)       12/19/09     5.000   3 month LIBOR     (896,040 )     1,810,786  
Barclays Bank PLC
    EUR 129,510(a)       12/19/09     6 month EURO   4.500     1,213,136       (993,582 )
      USD 100,570(a)       12/19/09     5.000   3 month LIBOR     27,913       866,294  
      EUR 49,020(a)       12/19/12     4.500   6 month EURO     89,032       (245,268 )
      GBP 73,890(a)       12/19/12     5.750   6 month BP     (1,101,464 )     2,296,297  
      GBP 81,560(a)       12/19/12     6 month BP   5.750     (355,320 )     (963,562 )
      SEK 436,020(a)       12/19/12     4.500   3 month STIB     (711,880 )     (91,602 )
      USD 279,900(a)       12/19/12     5.000   3 month LIBOR     (3,156,912 )     5,348,358  
      USD 119,100(a)       12/19/12     3 month LIBOR   5.000     18,334       (949,784 )
      JPY 8,895,000 (a)       12/19/14     6 month JYOR   1.750     (781,662 )     (379,995 )
      USD 28,980(a)       12/19/14     3 month LIBOR   5.000     807,582       (875,412 )
      EUR 39,860(a)       12/19/17     6 month EURO   4.500     1,021,753       (300,293 )
      SEK 715,000(a)       12/19/17     3 month STIB   4.500     2,147,060       763,026  
      SEK 376,000(a)       12/19/17     4.500   3 month STIB     (1,620,924 )     90,585  
      USD 12,810(a)       12/19/22     5.250   3 month LIBOR     (783,047 )     779,609  
      USD 95,910(a)       12/19/27     3 month LIBOR   5.250     4,166,470       (3,891,822 )
      USD 14,750(a)       12/19/27     5.250   3 month LIBOR     (616,295 )     483,317  
      USD 154,270(a)       12/20/27     6.000   3 month LIBOR     448,866       1,654,814  
      EUR 18,790       12/19/37     6 month EURO   4.500     890,175       409,471  
      EUR 13,720(a)       12/19/37     4.500   6 month EURO     (1,375,963 )     426,993  
      GBP 13,010(a)       12/19/37     4.750   6 month BP     (323,967 )     (44,917 )
      GBP 9,170(a)       12/19/37     6 month BP   4.750     434,752       (174,748 )
Citibank NA
    USD 112,090(a)       12/19/09     3 month LIBOR   5.000     (438,084 )     (558,552 )
      USD 10,000(a)       09/21/11     5.600   3 month LIBOR     15,316       294,461  
      GBP 37,570(a)       12/19/12     5.750   6 month BP     (811,187 )     1,418,711  
      GBP 27,560(a)       12/19/12     6 month BP   5.750     1,162,263       (1,608,206 )
      JPY 6,097,000 (a)       12/19/12     6 month JYOR   1.500     396,262       (981,575 )
      JPY 2,606,000 (a)       12/19/12     1.500   6 month JYOR     56,707       157,257  
      SEK 187,000(a)       12/19/12     4.500   3 month STIB     (387,219 )     42,621  
      USD 88,990(a)       12/19/12     3 month LIBOR   5.000     1,019,978       (1,715,945 )
      USD 31,530(a)       12/19/12     5.000   3 month LIBOR     (733,674 )     980,261  
      JPY 17,253,000 (a)       12/19/14     6 month JYOR   1.750     1,765,634       (4,086,813 )
      JPY 12,077,000 (a)       12/19/14     1.750   6 month JYOR     711,281       865,934  
      JPY 8,605,000 (a)       12/19/17     2.000   6 month JYOR     (977,934 )     2,293,582  
      USD 42,940(a)       12/19/27     5.250   3 month LIBOR     (3,175,251 )     2,788,126  
      USD 14,650(a)       12/19/27     3 month LIBOR   5.250     1,039,884       (907,807 )
      USD 15,480(a)       12/20/27     6.000   3 month LIBOR     (34,194 )     245,284  
      USD 57,900(a)       12/20/27     3 month LIBOR   6.000     25,191       (814,735 )
Credit Suisse International (London)
    EUR 306,200(a)       12/19/09     4.500   6 month EURO     (1,444,110 )     925,019  
      EUR 240,920(a)       12/19/09     6 month EURO   4.500     2,155,171       (1,746,748 )
      USD 4,350       04/18/11     3 month LIBOR   5.368           (93,816 )
      EUR 4,260(a)       12/19/12     4.500   6 month EURO     (10,767 )     (2,810 )
 The accompanying notes are an integral part of these financial statements.
26


 

GOLDMAN SACHS GLOBAL INCOME FUND
 
ADDITIONAL INVESTMENT INFORMATION (continued)
                                         
INTEREST RATE SWAP CONTRACTS (continued)
    Rates Exchanged    
         
    Notional       Payments   Payments   Upfront Payments    
    Amount   Termination   received by   made by   made (received)   Unrealized
Swap Counterparty   (000s)   Date   the Fund   the Fund   by the Fund   Gain (Loss)
 
Credit Suisse International (London)
    EUR 228,230(a)       12/19/12     6 month EURO   4.500   $ 1,836,340     $ (1,108,932 )
      GBP 19,850(a)       12/19/12     6 month BP   5.750     54,939       (375,922 )
      SEK 127,000(a)       12/19/12     3 month STIB   4.500     170,856       63,176  
      SEK 94,000(a)       12/19/12     4.500   3 month STIB     (217,766 )     44,546  
      USD 333,530(a)       12/19/12     3 month LIBOR   5.000     7,938,369       (10,546,816 )
      USD 205,510(a)       12/19/12     5.000   3 month LIBOR     (3,162,117 )     4,769,356  
      EUR 216,030(a)       12/19/17     4.500   6 month EURO     (6,586,996 )     2,676,884  
      EUR 109,270(a)       12/19/17     6 month EURO   4.500     5,536,632       (3,558,860 )
      GBP 8,710(a)       12/19/17     6 month BP   5.500     124,721       (295,162 )
      SEK 458,000(a)       12/19/17     3 month STIB   4.500     1,768,111       95,972  
      SEK 176,000(a)       12/19/17     4.500   3 month STIB     (1,033,530 )     317,200  
      USD 11,180(a)       12/19/17     5.250   3 month LIBOR     (263,267 )     387,507  
      USD 51,180(a)       12/19/27     5.250   3 month LIBOR     (3,928,123 )     3,466,711  
      USD 30,890(a)       12/19/27     3 month LIBOR   5.250     1,725,240       (1,446,752 )
      USD 129,190(a)       12/20/27     3 month LIBOR   6.000     (54,299 )     (1,708,093 )
      EUR 4,200       12/10/35     3.904   6 month EURO           (743,065 )
      EUR 1,350       12/24/35     3.838   6 month EURO           (260,217 )
      EUR 88,790(a)       12/19/37     4.500   6 month EURO     (8,583,373 )     2,442,044  
      EUR 49,050(a)       12/19/37     6 month EURO   4.500     5,599,893       (2,207,256 )
      GBP 9,790(a)       12/19/37     6 month BP   4.750     644,245       (366,662 )
Deutsche Bank AG
    EUR 64,230(a)       12/19/09     4.500   6 month EURO     60,456       (169,343 )
      AUD 135,940(a)       12/19/12     6.500   6 month BBSW     (1,788,429 )     (2,223,296 )
      AUD 101,420(a)       12/19/12     6 month BBSW   6.500     1,648,430       1,344,575  
      CAD 71,440(a)       12/19/12     4.500   3 month CDOR     (1,310,550 )     568,140  
      EUR 54,433(a)       12/19/12     4.500   6 month EURO     (22,512 )     (150,975 )
      JPY 6,349,000 (a)       12/19/12     1.500   6 month JYOR     (741,756 )     1,258,747  
      SEK 115,000(a)       12/19/12     4.500   3 month STIB     (362,713 )     150,795  
      USD 10,670(a)       12/19/12     5.000   3 month LIBOR     (169,511 )     252,958  
      USD 18,390(a)       12/19/12     3 month LIBOR   5.000     (39,349 )     (104,474 )
      JPY 7,273,000 (a)       12/19/14     1.750   6 month JYOR     (1,152,059 )     2,193,985  
      EUR 40,690(a)       12/19/17     4.500   6 month EURO     (1,543,155 )     806,672  
      EUR 5,230(a)       12/19/17     6 month EURO   4.500     60,959       33,703  
      JPY 7,249,000 (a)       12/19/17     6 month JYOR   2.000     1,037,500       (2,316,811 )
      SEK 157,000(a)       12/19/17     3 month STIB   4.500     219,546       20,588  
      EUR 1,850       05/23/36     6 month EURO   4.558           94,704  
      EUR 15,210(a)       12/19/37     4.500   6 month EURO     (1,188,818 )     136,790  
      EUR 7,570(a)       12/19/12     4.500   6 month EURO     (148,780 )     124,653  
      EUR 28,120(a)       12/19/17     4.500   6 month EURO     (1,265,801 )     756,833  
JPMorgan Securities, Inc.
    CAD 2,200(a)       12/19/12     4.500   3 month CDOR     (52,139 )     40,894  
Lehman Brother International (Europe)
    JPY 3,846,000 (a)       12/17/10     1.187   6 month JYOR           (2,709 )
      JPY 2,437,000 (a)       12/17/15     6 month JYOR   1.709           6,953  
      USD 21,170(a)       12/20/27     3 month LIBOR   6.000     (342,987 )      
      JPY 493,000(a)       12/17/38     2.648   6 month JYOR           (2,126 )
Merrill Lynch Capital Markets
    USD 6,600       07/19/10     4.398   3 month LIBOR           32,799  
      USD 6,600       07/19/10     4.402   3 month LIBOR           33,283  
      USD 7,050       03/10/11     3 month LIBOR   5.236           (119,096 )
      CAD 20,200(a)       12/19/12     4.500   3 month CDOR     (201,351 )     (8,523 )
The accompanying notes are an integral part of these financial statements. 
27


 

GOLDMAN SACHS GLOBAL INCOME FUND
Schedule of Investments (continued)
October 31, 2007
ADDITIONAL INVESTMENT INFORMATION (continued)
                                         
INTEREST RATE SWAP CONTRACTS (continued)
    Rates Exchanged    
         
    Notional       Payments   Payments   Upfront Payments    
    Amount   Termination   received by   made by   made (received)   Unrealized
Swap Counterparty   (000s)   Date   the Fund   the Fund   by the Fund   Gain (Loss)
 
Merrill Lynch Capital Markets
    EUR 2,180       04/14/36     4.438   6 month EURO   $     $ (112,477 )
      EUR 2,170       04/14/36     4.446   6 month EURO           (107,962 )
      GBP 12,600(a)       12/19/37     6 month BP   4.750     613,697       (256,439 )
Morgan Stanley Capital Services, Inc.
    GBP 5,360(a)       12/19/12     6 month BP   5.750     (34,714 )     (51,961 )
      USD 45,440(a)       12/19/12     3 month LIBOR   5.000     (290,887 )     (67,303 )
      SEK 244,000(a)       12/19/17     3 month STIB   4.500     776,108       216,984  
The Royal Bank of Scotland
    GBP 34,850(a)       12/19/10     5.750   6 month BP     298,822       (110,295 )
UBS AG (London)
    GBP 35,660(a)       12/19/10     5.750   6 month BP     (402,664 )     595,572  
      GBP 70,510(a)       12/19/10     6 month BP   5.750     (105,846 )     (275,590 )
      AUD 40,840(a)       12/19/12     6 month BBSW   6.500     548,681       656,547  
      AUD 35,860(a)       12/19/12     6.500   6 month BBSW     (593,403 )     (464,861 )
      EUR 55,470(a)       12/19/12     6 month EURO   4.500     (522,854 )     699,647  
      EUR 3,710(a)       12/19/12     4.500   6 month EURO     (11,172 )     (652 )
      GBP 18,480(a)       12/19/12     6 month BP   5.750     (346,477 )     47,648  
      GBP 82,860(a)       12/19/12     5.750   6 month BP     1,548,224       (207,967 )
      JPY 8,526,000 (a)       12/19/12     1.500   6 month JYOR     501,328       193,112  
      JPY 3,924,000 (a)       12/19/12     6 month JYOR   1.500     96,667       (381,822 )
      SEK 107,000(a)       12/19/12     4.500   3 month STIB     (221,548 )     24,372  
      JPY 6,001,000 (a)       12/19/14     1.750   6 month JYOR     462,497       321,213  
 
TOTAL
                          $ (3,712,342 )   $ (1,404,977 )
 
(a)   Represents forward starting interest rate swaps whose effective dates of commencement of cash flows and associated accruals occur subsequent to October 31, 2007.
CREDIT DEFAULT SWAP CONTRACTS
                                             
                    Upfront    
        Notional   Rates       Payments    
        Amount   Received by   Termination   made by   Unrealized
Swap Counterparty   Referenced Obligation   (000s)   Fund   Date   the Fund   Loss
 
Protection Sold:                                            
Bank of America NA   CDX North America Investment Grade Index   $ 107,600       0.600%       12/20/12       187,786     $ (95,987 )
Citibank NA   ITRX Europe Index     88,900       0.500       06/20/17       163,077       (487,034 )
Morgan Stanley Capital Services, Inc.
  CDX North America Investment Grade Index     98,100       0.600       12/20/12       136,440       (111,574 )
 
TOTAL
                              $ 487,303     $ (694,595 )
 
         
 
Investment Abbreviations:
BBSW
    Australian Bank Bill Swap Reference Rate
BP
    British Pound Offered Rate
CDOR
    Canadian Dollar Offered Rate
EURO
    Euro Offered Rate
JYOR
    Japanese Yen Offered Rate
LIBOR
    London Interbank Offered Rate
STIB
    Stockholm Interbank Offered Rate
 
 The accompanying notes are an integral part of these financial statements.
28


 

GOLDMAN SACHS GLOBAL INCOME FUND
 
ADDITIONAL INVESTMENT INFORMATION (continued)
WRITTEN OPTIONS — For the year ended October 31, 2007, the Fund had the following written options activity:
                 
    Number of   Premiums
    Contracts   Received
 
Contracts Outstanding October 31, 2006
        $  
 
Contracts written
    8,176,329       43,823  
Contracts expired
    (8,176,000 )     (43,823 )
 
Contracts Outstanding October 31, 2007
    329     $  
 
At October 31, 2007, the Fund had outstanding written options as follows:
                                 
    Exercise   Number of        
Call Options   Rate   Contracts   Expiration Month   Value
 
U.K. 3 Month Sterling (Premiums Received: $—)
  $ 94       329       December 2007        
 
FORWARD SALES CONTRACTS — At October 31, 2007, the Fund had the following Forward Sales Contracts:
                                             
    Interest   Maturity   Settlement   Principal    
Description   Rate   Date   Date   Amount   Value
 
  FNMA       6.500%       07/01/37       11/13/07     $ 2,000,198     $ 2,048,641  
  FNMA       6.500       08/01/37       11/13/07       3,000,297       3,072,961  
  FNMA       6.500       09/01/37       11/13/07       7,000,693       7,170,243  
  FNMA       6.500       10/01/37       11/13/07       1,000,099       1,024,321  
  FNMA       6.500       TBA - 15yr       11/13/07       13,000,000       13,304,693  
 
TOTAL (Proceeds Receivable: $26,649,525)   $ 26,620,859  
 
The accompanying notes are an integral part of these financial statements. 
29


 

GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – 89.6%
 
    Aerospace – 0.4%
    Esterline Technologies Corp. (B+/B1)
    $ 770,000       7.750 %     06/15/13     $ 791,175  
    Mecachrome International, Inc. (B-/B3)
      EUR3,500,000       9.000       05/15/14       5,386,792  
    Moog, Inc. (BB-/Ba3)
    $ 210,000       6.250       01/15/15       205,275  
    Sequa Corp. (BB-/B2)
      4,000,000       9.000       08/01/09       4,340,000  
    TransDigm, Inc. (B-/B3)
      2,500,000       7.750       07/15/14       2,565,625  
    Vought Aircraft Industries, Inc. (CCC/B3)
      2,500,000       8.000       07/15/11       2,484,375  
                           
                              15,773,242  
     
    Agriculture – 0.7%
    Land O’ Lakes, Inc. (B+/Ba2)
      320,000       8.750       11/15/11       327,200  
    Land O’ Lakes, Inc. (BB+/Ba1)
      3,150,000       9.000       12/15/10       3,283,875  
    National Beef Packing Co. LLC/NB Finance Corp. (B-/Caa1)
      2,750,000       10.500       08/01/11       2,763,750  
    Pilgrim’s Pride Corp. (B/B1)
      6,000,000       7.625       05/01/15       6,015,000  
    Pilgrim’s Pride Corp. (B/B2)
      4,750,000       8.375       05/01/17       4,761,875  
    Smithfield Foods, Inc. (BB/Ba3)
      850,000       7.750       05/15/13       871,250  
      4,000,000       7.750       07/01/17       4,130,000  
    Tereos Europe (BB/Ba3)
      EUR3,750,000       6.375       04/15/14       5,065,395  
                           
                              27,218,345  
     
    Automotive – 2.8%
    FCE Bank PLC (B+/B1)
      2,000,000       5.726 (a)     09/30/09       2,694,301  
      4,500,000       7.125       01/16/12       5,948,104  
      9,250,000       7.125       01/15/13       11,958,677  
    Ford Motor Co. (CCC+/Caa1)
      8,750,000       7.450       07/16/31       6,868,750  
      1,250,000       8.900       01/15/32       1,087,500  
    Ford Motor Credit Co. LLC (B/B1)
      4,735,000       7.875       06/15/10       4,557,271  
      2,500,000       9.750       09/15/10       2,500,310  
      11,250,000       9.875       08/10/11       11,233,114  
      14,000,000       7.250       10/25/11       13,119,301  
      5,375,000       7.000       10/01/13       4,798,843  
      8,500,000       8.000       12/15/16       7,844,743  
    General Motors Corp. (B-/Caa1)
      EUR2,250,000       7.250       07/03/13       3,079,978  
    $ 2,000,000       7.700       04/15/16       1,840,000  
      1,750,000       8.800 (c)     03/01/21       1,627,500  
      2,750,000       8.250       07/15/23       2,475,000  
      EUR2,000,000       8.375       07/05/33       2,534,961  
    $ 18,540,000       8.375       07/15/33       16,825,050  
    General Motors Nova Scotia Finance Co. (B-/Caa1)
      750,000       6.850 %     10/15/08       746,250  
                           
                              101,739,653  
     
    Automotive – Distributor – 0.1%
    Keystone Automotive Operations, Inc. (CCC+/Caa2)
      4,000,000       9.750       11/01/13       3,250,000  
     
    Automotive Parts – 1.3%
    Accuride Corp. (B-/B3)
      3,000,000       8.500       02/01/15       2,820,000  
    Allison Transmission, Inc. (B-/Caa1)(b)
      4,500,000       11.000       11/01/15       4,590,000  
      2,625,000       11.250 (d)     11/01/15       2,598,750  
    Tenneco Automotive, Inc. (BB/Ba3)
      2,000,000       10.250       07/15/13       2,160,000  
    Tenneco, Inc. (B/B3)
      3,250,000       8.625       11/15/14       3,315,000  
    The Goodyear Tire & Rubber Co. (B/B2)
      5,000,000       7.857       08/15/11       5,150,000  
    The Goodyear Tire & Rubber Co. (B/Ba3)
      1,950,000       9.000       07/01/15       2,132,812  
    The Goodyear Tire & Rubber Co. (B+/Ba3)
      4,000,000       11.250       03/01/11       4,280,000  
    TRW Automotive, Inc. (BB-/Ba3)
      EUR3,500,000       6.375       03/15/14       4,867,125  
    $ 5,000,000       7.000 (b)     03/15/14       4,900,000  
      825,000       7.250 (b)     03/15/17       806,438  
    United Components, Inc. (CCC+/Caa1)
      5,500,000       9.375       06/15/13       5,610,000  
    Visteon Corp. (CCC+/Caa2)
      3,500,000       8.250       08/01/10       3,255,000  
      2,000,000       7.000       03/10/14       1,620,000  
                           
                              48,105,125  
     
    Building Materials – 3.4%
    ACIH, Inc. (CCC+/Caa1)(b)(e)
      6,000,000       11.500       12/15/12       4,335,000  
    Associated Materials, Inc. (CCC/B3)
      1,250,000       9.750       04/15/12       1,275,000  
    Associated Materials, Inc. (CCC/Caa2)(e)
      13,000,000       11.250       03/01/14       8,710,000  
    CPG International, Inc. (B-/B3)
      3,500,000       10.500       07/01/13       3,500,000  
    Goodman Global Holdings Co., Inc. (B-/B1)(a)
      1,360,000       8.360       06/15/12       1,373,600  
    Goodman Global Holdings Co., Inc. (B-/B3)
      13,500,000       7.875       12/15/12       14,310,000  
    Grohe Holding GMBH (CCC+/B3)
      EUR22,000,000       8.625       10/01/14       29,238,961  
    Heating Finance PLC (CCC+/Caa2)
      GBP2,000,000       7.875       03/31/14       3,118,951  
    Interface, Inc. (B-/B3)
    $ 2,000,000       9.500       02/01/14       2,085,000  
    Legrand S.A. (BBB/Baa3)
      5,050,000       8.500       02/15/25       5,876,938  
                                 
     
 The accompanying notes are an integral part of these financial statements.
30


 

GOLDMAN SACHS HIGH YIELD FUND
 
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Building Materials – (continued)
    Masonite Corp.
    $ 5,750,000       11.000 %     04/06/15     $ 4,898,673  
    Nortek, Inc. (CCC+/B3)
      25,000,000       8.500       09/01/14       22,125,000  
    NTK Holdings, Inc. (CCC+/Caa1)(e)
      17,250,000       10.750       03/01/14       11,320,312  
    Panolam Industries International, Inc. (CCC+/Caa1)(b)
      6,500,000       10.750       10/01/13       6,134,375  
    PLY Gem Industries, Inc. (CCC+/Caa1)
      7,000,000       9.000       02/15/12       5,696,250  
    Texas Industries, Inc. (BB-/Ba3)
      1,760,000       7.250       07/15/13       1,751,200  
    Werner Holdings Co., Inc. (WR)(f)
      3,000,000       10.000       11/15/07       30,000  
                           
                              125,779,260  
     
    Capital Goods – 2.1%
    Altra Industrial Motion, Inc. (B/B2)
      2,750,000       9.000       12/01/11       2,763,750  
    Baldor Electric Co. (B/B3)
      12,685,000       8.625       02/15/17       13,255,825  
    Belden, Inc. (BB-/Ba2)
      1,250,000       7.000       03/15/17       1,253,125  
    Briggs & Stratton Corp. (BB+/Ba1)
      2,500,000       8.875       03/15/11       2,662,500  
    General Cable Corp. (B+/B1)
      50,000       7.125       04/01/17       50,000  
    Mueller Water Products, Inc. (B/B3)
      5,000,000       7.375       06/01/17       4,687,500  
    RBS Global & Rexnord Corp. (CCC+/B3)
      15,000,000       9.500       08/01/14       15,375,000  
      7,000,000       8.875       09/01/16       7,035,000  
    RBS Global & Rexnord Corp. (CCC+/Caa1)
      14,000,000       11.750       08/01/16       14,770,000  
    Sensata Technologies (B-/B3)
      8,910,000       8.000       05/01/14       8,731,800  
    Texon International PLC (WR)(f)
      DEM2,250,000       10.000       02/01/10        
    VAC Finanzierung GMBH (B/B3)
      EUR3,000,000       9.250       04/15/16       4,476,016  
                           
                              75,060,516  
     
    Chemicals – 4.6%
    Basell AF SCA (B/B2)
      17,500,000       8.375 (b)     08/15/15       15,946,875  
      EUR5,000,000       8.375       08/15/15       6,663,325  
    Compass Minerals International, Inc.(B)(e)
    $ 7,750,000       12.000       06/01/13       7,808,125  
    Equistar Chemical/Funding (BB-/B1)
      1,714,000       10.625       05/01/11       1,786,845  
    Equistar Chemicals LP (BB-/B1)
      1,571,000       10.125       09/01/08       1,622,058  
      2,000,000       7.550       02/15/26       1,750,000  
    Ferro Corp. (B+/B1)
      3,250,000       9.125       01/01/09       3,315,000  
    Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC (B/B3)
      11,250,000       9.750       11/15/14       12,318,750  
    Huntsman International LLC (B/B2)
      3,000,000       7.875       11/15/14       3,225,000  
    Ineos Group Holdings PLC (B-/B3)
      EUR13,000,000       7.875       02/15/16       17,277,568  
    $ 12,570,000       8.500 (b)     02/15/16       11,941,500  
    Invista (BB-/Ba3)(b)
      6,325,000       9.250       05/01/12       6,672,875  
    KRATON Polymers LLC/Capital Corp. (CCC+/B3)
      7,975,000       8.125       01/15/14       7,695,875  
    Lyondell Chemical Co. (B+/B1)
      2,970,000       8.250       09/15/16       3,385,800  
      1,000,000       6.875       06/15/17       1,102,500  
    Lyondell Chemical Co. (BB+/Ba2)
      4,000,000       10.500       06/01/13       4,280,000  
    MacDermid, Inc. (CCC+/Caa1)(b)
      7,500,000       9.500       04/15/17       7,350,000  
    Momentive Performance Materials, Inc. (B-/B3)(b)
      10,750,000       9.750       12/01/14       10,454,375  
      4,000,000       10.125 (d)     12/01/14       3,840,000  
    Momentive Performance Materials, Inc. (CCC+/Caa2)(b)
      8,000,000       11.500       12/01/16       7,740,000  
    Rhodia S.A. (B/B1)(a)
      EUR4,500,000       7.482       10/15/13       6,469,582  
    Rockwood Specialties Group, Inc. (B-/B3)
    $ 290,000       7.500       11/15/14       292,175  
      EUR10,500,000       7.625       11/15/14       15,285,813  
    SPCM SA (B/B3)
      2,875,000       8.250       06/15/13       4,206,224  
    The Mosaic Co. (BB-/Ba1)(b)
      1,125,000       7.325       12/01/14       1,192,500  
      3,385,000       7.625       12/01/16       3,647,338  
                           
                              167,270,103  
     
    Conglomerates – 1.3%
    Blount, Inc. (B/B2)
      6,750,000       8.875       08/01/12       6,817,500  
    Bombardier, Inc.(b)
      EUR2,000,000       7.250       11/15/16       2,962,283  
    Bombardier, Inc. (BB/Ba2)(b)
    $ 6,750,000       6.750       05/01/12       6,834,375  
      3,000,000       8.000       11/15/14       3,135,000  
    Invensys PLC (B+/B2)(b)
      1,463,000       9.875       03/15/11       1,558,095  
    Park-Ohio Industries, Inc. (B-/B3)
      5,000,000       8.375       11/15/14       4,650,000  
    Polypore, Inc. (CCC+/Caa1)
      EUR7,750,000       8.750       05/15/12       10,945,598  
    $ 4,500,000       8.750       05/15/12       4,443,750  
    Trimas Corp. (B-/B3)
      5,401,000       9.875       06/15/12       5,522,522  
                           
                              46,869,123  
     
The accompanying notes are an integral part of these financial statements. 
31


 

GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Consumer Products – Household & Leisure – 2.7%
    Affinion Group, Inc. (B-/B2)
    $ 6,500,000       10.125 %     10/15/13     $ 6,776,250  
    Affinion Group, Inc. (B-/Caa1)
      4,500,000       11.500       10/15/15       4,702,500  
    Ames True Temper (CCC-/Caa3)
      3,750,000       10.000       07/15/12       2,962,500  
    Elizabeth Arden, Inc. (B/B1)
      395,000       7.750       01/15/14       394,013  
    FTD Group, Inc. (B-/B3)
      3,859,000       7.750       02/15/14       3,675,697  
    Harry & David Holdings, Inc. (B-/B3)
      3,110,000       9.000       03/01/13       2,985,600  
    Jarden Corp. (B-/B3)
      7,000,000       7.500       05/01/17       6,650,000  
    Safilo Capital International S.A. (B/B2)
      EUR7,150,000       9.625       05/15/13       10,978,553  
    Sealy Mattress Co. (B/B2)
    $ 5,500,000       8.250       06/15/14       5,472,500  
    Simmons Bedding Co. (CCC+/B2)
      3,000,000       7.875       01/15/14       2,880,000  
    Simmons Bedding Co. (CCC+/B3)(e)
      4,500,000       10.000       12/15/14       3,633,750  
    Solo Cup Co. (CCC-/Caa2)
      5,250,000       8.500       02/15/14       4,725,000  
    Spectrum Brands, Inc. (CCC-/Caa3)
      5,500,000       11.250 (d)     10/02/13       4,702,500  
      13,500,000       7.375       02/01/15       9,720,000  
    True Temper Sports, Inc. (CCC-/Caa2)
      1,250,000       8.375       09/15/11       843,750  
    Visant Corp. (B-/B1)
      6,625,000       7.625       10/01/12       6,823,750  
    Visant Holding Corp. (B-/B3)
      11,250,000       8.750       12/01/13       11,587,500  
      8,750,000       10.250 (e)     12/01/13       8,181,250  
                           
                              97,695,113  
     
    Consumer Products – Industrial – 0.7%
    Johnsondiversey Holdings, Inc. (CCC+/Caa1)(e)
      7,000,000       10.670       05/15/13       7,262,500  
    Johnsondiversey, Inc. (CCC+/B3)
      4,005,000       9.625       05/15/12       4,165,200  
      EUR3,860,000       9.625       05/15/12       5,745,162  
    Norcross Safety Products (B-/B2)
    $ 5,000,000       9.875       08/15/11       5,200,000  
    Safety Products Holdings, Inc. Series B (B-/B3)(d)
      1,991,836       11.750       01/01/12       2,091,428  
                           
                              24,464,290  
     
    Consumer Products – Non Durable – 1.5%
    Chattem, Inc. (B/B2)
      2,655,000       7.000 %     03/01/14       2,621,813  
    Constellation Brands, Inc. (B/B2)
      1,522,000       8.125       01/15/12       1,552,440  
    Constellation Brands, Inc. (BB-/Ba3)
      575,000       7.250       09/01/16       579,313  
      6,000,000       7.250 (b)     05/15/17       6,015,000  
    Del Laboratories, Inc. (CCC/Caa2)
      8,750,000       8.000       02/01/12       8,432,812  
    Prestige Brands, Inc. (B-/B3)
      2,100,000       9.250       04/15/12       2,100,000  
    Reddy Ice Holdings, Inc. (B-/B3)(e)
      3,750,000       10.500       11/01/12       3,581,250  
    Sally Holdings LLC (CCC+/B2)
      10,545,000       9.250       11/15/14       10,624,087  
    Sally Holdings LLC (CCC+/Caa1)
      15,750,000       10.500       11/15/16       15,750,000  
    Yankee Acquisition Corp. (CCC+/B3)
      2,875,000       8.500       02/15/15       2,695,312  
    Yankee Acquisition Corp. (CCC+/Caa1)
      2,250,000       9.750       02/15/17       2,081,250  
                           
                              56,033,277  
     
    Defense – 1.0%
    Alliant Techsystems, Inc. (B+/B1)
      6,000,000       6.750       04/01/16       5,970,000  
    Communications & Power Industries, Inc. (B-/B3)
      2,000,000       8.000       02/01/12       2,025,000  
    DRS Technologies, Inc. (B/B3)
      2,750,000       6.875       11/01/13       2,756,875  
      3,000,000       7.625       02/01/18       3,067,500  
    DRS Technologies, Inc. (B+/B1)
      1,225,000       6.625       02/01/16       1,212,750  
    Heckler Koch GMBH (B-/B2)
      EUR2,000,000       9.250       07/15/11       3,005,739  
    L-3 Communications Corp. (BB+/Ba3)
    $ 2,250,000       6.125       07/15/13       2,216,250  
      4,500,000       6.125       01/15/14       4,432,500  
      3,000,000       5.875       01/15/15       2,940,000  
      8,975,000       6.375       10/15/15       8,952,563  
                           
                              36,579,177  
     
    Energy – Coal – 0.6%
    Arch Western Finance LLC (BB-/B1)
      3,445,000       6.750       07/01/13       3,367,487  
    Foundation PA Coal Co. (B/Ba3)
      275,000       7.250       08/01/14       271,563  
    Massey Energy Co. (B+/B2)
      6,500,000       6.875       12/15/13       6,158,750  
    New World Resources BV (B/B3)
      EUR3,500,000       7.375       05/15/15       4,892,474  
    Peabody Energy Corp. (BB/Ba1)
    $ 4,000,000       6.875       03/15/13       4,030,000  
      1,000,000       5.875       04/15/16       950,000  
      2,975,000       7.375       11/01/16       3,105,156  
                           
                              22,775,430  
     
    Energy – Exploration & Production – 2.6%
    Chesapeake Energy Corp. (BB/Ba2)
      5,125,000       6.375       06/15/15       4,984,062  
      6,530,000       6.625       01/15/16       6,415,725  
      9,750,000       6.875       01/15/16       9,689,062  
      11,125,000       6.500       08/15/17       10,763,437  
                                 
     
 The accompanying notes are an integral part of these financial statements.
32


 

GOLDMAN SACHS HIGH YIELD FUND
 
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Energy – Exploration & Production – (continued)
    Cimarex Energy Co. (BB-/B1)
    $ 5,000,000       7.125 %     05/01/17     $ 4,950,000  
    Encore Acquisition Co. (B/B1)
      8,250,000       6.000       07/15/15       7,466,250  
      3,000,000       7.250       12/01/17       2,872,500  
    EXCO Resources, Inc. (B-/Caa1)
      4,000,000       7.250       01/15/11       3,960,000  
    KCS Energy, Inc. (B/B3)
      2,375,000       7.125       04/01/12       2,345,313  
    Newfield Exploration Co. (BB-/Ba3)
      6,000,000       6.625       04/15/16       5,895,000  
    OPTI Canada, Inc. (BB+/B1)(b)
      8,000,000       7.875       12/15/14       7,980,000  
    Plains Exploration & Production Co. (BB-/B1)
      5,000,000       7.750       06/15/15       4,975,000  
      3,000,000       7.000       03/15/17       2,857,500  
    Pogo Producing Co. (B+/B1)
      1,250,000       7.875       05/01/13       1,273,438  
      4,970,000       6.875       10/01/17       5,019,700  
    Quicksilver Resources, Inc. (B/B1)
      3,750,000       7.125       04/01/16       3,684,375  
    Range Resources Corp. (B+/Ba3)
      3,500,000       6.375       03/15/15       3,412,500  
    Whiting Petroleum Corp. (B/B1)
      2,500,000       7.250       05/01/13       2,462,500  
      2,500,000       7.000       02/01/14       2,456,250  
                           
                              93,462,612  
     
    Energy – Refining(b) – 0.2%
    Petroplus Finance Ltd. (BB-/B1)
      2,125,000       6.750       05/01/14       2,018,750  
      6,500,000       7.000       05/01/17       6,207,500  
                           
                              8,226,250  
     
    Energy – Services – 0.1%
    Compagnie Generale de Geophysique-Veritas (B+/Ba3)
      2,000,000       7.500       05/15/15       2,052,500  
    Seitel, Inc. (B-/B3)
      2,000,000       9.750       02/15/14       1,860,000  
                           
                              3,912,500  
     
    Entertainment & Leisure – 0.8%
    AMC Entertainment, Inc. (B-/Ba3)
      1,875,000       8.625       08/15/12       1,950,000  
    AMC Entertainment, Inc. (CCC+/B2)
      4,250,000       11.000       02/01/16       4,590,000  
    Festival Fun Parks LLC (B/B3)
      3,250,000       10.875       04/15/14       3,282,500  
    HRP Myrtle Beach Operations LLC (B+/B2)(a)(b)
      1,750,000       9.894       04/01/12       1,750,000  
    Universal City Development Partners (B-/B1)
      8,750,000       11.750       04/01/10       9,143,750  
    Universal City Florida Holding Co. (B-/B3)
      1,125,000       8.375       05/01/10       1,147,500  
    Warner Music Group (B/B2)
      5,625,000       7.375       04/15/14       4,978,125  
    WMG Holdings Corp. (B/B2)(e)
      4,550,000       9.500       12/15/14       3,332,875  
                           
                              30,174,750  
     
    Environmental – 1.0%
    Allied Waste North America, Inc. (BB+/B1)
      2,000,000       6.500       11/15/10       2,030,000  
      3,875,000       6.375       04/15/11       3,875,000  
      4,000,000       7.875       04/15/13       4,160,000  
      3,000,000       6.125       02/15/14       2,913,750  
      8,250,000       7.250       03/15/15       8,394,375  
    Allied Waste North America, Inc. Series B (BB+/B1)
      3,305,000       7.125       05/15/16       3,338,050  
      4,500,000       6.875       06/01/17       4,432,500  
    Waste Services (CCC+/Caa1)
      5,000,000       9.500       04/15/14       5,087,500  
    WCA Waste Corp. (B-/B3)
      2,000,000       9.250       06/15/14       2,065,000  
                           
                              36,296,175  
     
    Finance – 1.5%
    ETrade Financial Corp. (BB-/Ba2)
      4,000,000       7.375       09/15/13       3,640,000  
    General Motors Acceptance Corp. (BB+/Ba2)
      EUR1,500,000       4.750       09/14/09       2,008,830  
    $ 3,000,000       7.250       03/02/11       2,804,798  
      21,160,000       6.875       09/15/11       19,591,569  
      6,000,000       6.750       12/01/14       5,273,232  
      13,785,000       8.000       11/01/31       12,751,125  
    GMAC Canada Ltd. (BB+/Ba2)
      GBP500,000       6.625       12/17/10       935,685  
    NCO Group, Inc. (B-/Caa1)
    $ 7,250,000       11.875       11/15/14       7,168,437  
    Nuveen Investments, Inc. (B-/B3)(b)
      1,500,000       10.500       11/15/15       1,500,000  
                           
                              55,673,676  
     
    Finance Insurance – 0.2%
    HUB International Holdings, Inc. (CCC+/B3)(b)
    $ 6,000,000       9.000       12/15/14       5,835,000  
     
    Food – 1.4%
    Dean Foods Co. (B/B1)
      7,000,000       7.000       06/01/16       6,545,000  
    Dole Food Co. (B-/Caa1)
      4,513,000       8.625       05/01/09       4,513,000  
      2,000,000       7.250       06/15/10       1,900,000  
      3,000,000       8.875       03/15/11       2,925,000  
    Foodcorp Ltd. (B+/B2)
      EUR4,750,000       8.875       06/15/12       7,018,220  
    Michael Foods, Inc. (B-/B3)
    $ 4,500,000       8.000       11/15/13       4,500,000  
    Pinnacle Foods Finance LLC (CCC/Caa2)(b)
      15,500,000       9.250       04/01/15       14,763,750  
      10,750,000       10.625       04/01/17       10,051,250  
                           
                              52,216,220  
     
The accompanying notes are an integral part of these financial statements. 
33


 

GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Gaming – 6.5%
    Boyd Gaming Corp. (B+/Ba3)
    $ 3,000,000       6.750 %     04/15/14     $ 2,921,250  
      1,000,000       7.125       02/01/16       975,000  
    Buffalo Thunder Development Authority (B/B2)(b)
      2,500,000       9.375       12/15/14       2,337,500  
    Caesars Entertainment, Inc. (BB/Baa3)
      1,500,000       7.500       09/01/09       1,545,000  
    CCM Merger, Inc. (CCC+/B3)(b)
      3,500,000       8.000       08/01/13       3,342,500  
    Chukchansi Economic Development Authority (BB-/B2)(b)
      4,000,000       8.000       11/15/13       4,020,000  
    Circus & Eldorado (B/B2)
      3,500,000       10.125       03/01/12       3,640,000  
    Cirsa Capital Luxembourg SA (B-/B3)
      EUR1,750,000       7.875       07/15/12       2,420,888  
    Cirsa Finance Luxembourg SA (B/B2)
      6,250,000       8.750       05/15/14       8,917,630  
    Codere Finance Luxembourg SA (B/B2)
      15,000,000       8.250       06/15/15       22,054,158  
    Galaxy Entertainment Finance Co. Ltd. (B+/B1)(b)
    $ 1,250,000       9.875       12/15/12       1,331,250  
    Greektown Holdings LLC (CCC+/Caa1)(b)
      1,500,000       10.750       12/01/13       1,488,750  
    Harrah’s Operating Co., Inc. (BB/Baa3)
      8,125,000       5.625       06/01/15       6,296,875  
      8,000,000       6.500       06/01/16       6,340,000  
    Herbst Gaming, Inc. (B-/B3)
      2,000,000       8.125       06/01/12       1,780,000  
    Indianapolis Downs LLC & Capital Corp. (B/B3)(b)
      2,250,000       11.000       11/01/12       2,272,500  
    Isle of Capri Casinos, Inc. (B/B3)
      3,250,000       7.000       03/01/14       2,884,375  
    Mandalay Resort Group (B+/B1)
      2,000,000       9.375       02/15/10       2,100,000  
    MGM Mirage, Inc. (B+/B1)
      5,125,000       8.375       02/01/11       5,368,437  
    MGM Mirage, Inc. (BB/Ba2)
      2,000,000       8.500       09/15/10       2,095,000  
      750,000       6.750       09/01/12       739,688  
      5,750,000       6.750       04/01/13       5,606,250  
      2,000,000       5.875       02/27/14       1,860,000  
      20,000,000       6.625       07/15/15       18,900,000  
      8,000,000       7.500       06/01/16       7,990,000  
      1,750,000       7.625       01/15/17       1,758,750  
    Mirage Resorts, Inc. (BB/Ba2)
      3,125,000       7.250       08/01/17       3,031,250  
    Mohegan Tribal Gaming Authority (B/Ba2)
      3,000,000       8.000       04/01/12       3,071,250  
      1,305,000       7.125       08/15/14       1,291,950  
    MTR Gaming Group, Inc. (B/B2)
      3,000,000       9.750       04/01/10       3,086,250  
    Park Place Entertainment Corp. (B+/Ba1)
      5,000,000       7.875       03/15/10       5,175,000  
      2,500,000       8.125       05/15/11       2,543,750  
    Peermont Global Ltd. (B/B3)
      EUR10,750,000       7.750       04/30/14       14,949,026  
    Penn National Gaming, Inc. (B+/B1)
    $ 3,000,000       6.750       03/01/15       3,060,000  
    Pinnacle Entertainment, Inc. (B-/B3)
      4,500,000       8.250       03/15/12       4,640,625  
      1,500,000       8.750       10/01/13       1,573,125  
      6,000,000       7.500 (b)     06/15/15       5,805,000  
    Pokagon Gaming Authority (B/B3)(b)
      2,000,000       10.375       06/15/14       2,215,000  
    River Rock Entertainment (B+/B2)
      2,500,000       9.750       11/01/11       2,600,000  
    San Pasqual Casino (B+/B2)(b)
      2,375,000       8.000       09/15/13       2,363,125  
    Seneca Gaming Corp. (BB/Ba2)
      550,000       7.250       05/01/12       550,000  
    Shingle Springs Tribal Gaming Authority (B/B3)(b)
      7,250,000       9.375       06/15/15       7,358,750  
    Snoqualmie Entertainment Authority (B/B3)(b)
      5,000,000       9.125       02/01/15       4,912,500  
    Station Casinos, Inc. (B/Ba3)
      12,500,000       6.500       02/01/14       10,500,000  
      17,600,000       6.875       03/01/16       14,608,000  
    Station Casinos, Inc. (B+/Ba2)
      2,000,000       6.000       04/01/12       1,875,000  
      1,000,000       7.750       08/15/16       981,250  
    Turning Stone Casino Resort Enterprise (B+/B1)(b)
      2,950,000       9.125       09/15/14       3,038,500  
    Wimar Opco LLC/Wimar Opco Finance Corp. (CCC+/Caa1)(b)
      7,250,000       9.625       12/15/14       5,437,500  
    Wynn Las Vegas LLC (BBB-/Ba2)
      13,750,000       6.625       12/01/14       13,526,562  
                           
                              239,179,214  
     
    Health Care – Medical Products – 2.0%
    Accellent, Inc. (CCC+/Caa2)
      9,000,000       10.500       12/01/13       8,460,000  
    Advanced Medical Optics, Inc. (B-/B2)
      4,780,000       7.500       05/01/17       4,517,100  
    Bausch & Lomb, Inc. (B-/Caa1)(b)
      8,000,000       9.875       11/01/15       8,250,000  
    Fisher Scientific International, Inc. (BBB/Baa3)
      2,250,000       6.125       07/01/15       2,237,068  
    Fresenius (BB-/Ba3)(b)
      6,625,000       6.875       07/15/17       6,673,299  
    PTS Acquisition Corp. (B-/Caa1)(b)(d)
      19,000,000       9.500       04/15/15       18,430,000  
    PTS Acquisition Corp. (B-/Caa1)
      EUR2,125,000       9.750       04/15/17       2,939,649  
    The Cooper Companies, Inc. (BB-/Ba3)
    $ 1,250,000       7.125       02/15/15       1,253,125  
    Varietal Distribution (CCC+/Caa1)(b)(d)
      19,500,000       10.250       07/15/15       18,915,000  
                           
                              71,675,241  
     
 The accompanying notes are an integral part of these financial statements.
34


 

GOLDMAN SACHS HIGH YIELD FUND
 
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Health Care – Pharmaceutical – 0.5%
    Angiotech Pharmaceuticals, Inc. (CCC/Caa1)
    $ 5,000,000       7.750 %     04/01/14     $ 4,237,500  
    Elan Finance PLC/Elan Finance Corp. (B/B3)
      6,000,000       7.750       11/15/11       5,925,000  
      1,500,000       8.875       12/01/13       1,513,125  
    Warner Chilcott Corp. (B-/B3)
      5,731,000       8.750       02/01/15       5,917,258  
                           
                              17,592,883  
     
    Health Care – Services – 3.7%
    Alliance Imaging, Inc. (B-/B3)
      4,000,000       7.250       12/15/12       3,860,000  
    Community Health Systems, Inc. (B-/B3)(b)
      18,000,000       8.875       07/15/15       18,247,500  
    CRC Health Corp. (CCC+/Caa1)
      2,625,000       10.750       02/01/16       2,798,906  
    DaVita, Inc. (B/B2)
      5,250,000       7.250       03/15/15       5,309,062  
    HCA, Inc. (B-/Caa1)
      2,065,000       6.950       05/01/12       1,917,869  
      925,000       6.300       10/01/12       830,188  
      12,000,000       6.250       02/15/13       10,560,000  
      5,170,000       6.750       07/15/13       4,614,225  
      8,750,000       6.375       01/15/15       7,437,500  
      4,000,000       6.500       02/15/16       3,415,000  
    HCA, Inc. (BB-/B2)
      2,500,000       9.125       11/15/14       2,593,750  
      11,225,000       9.250       11/15/16       11,814,312  
      12,250,000       9.625 (d)     11/15/16       12,893,125  
    Psychiatric Solutions, Inc. (B-/B3)
      2,220,000       7.750       07/15/15       2,258,850  
    Select Medical Corp. (CCC+/B3)
      6,250,000       7.625       02/01/15       5,578,125  
    Senior Housing Properties Trust (BB+/Ba2)
      1,950,000       7.875       04/15/15       2,013,375  
    Tenet Healthcare Corp. (CCC+/Caa1)
      2,500,000       6.375       12/01/11       2,187,500  
      3,500,000       6.500       06/01/12       2,983,750  
      9,250,000       7.375       02/01/13       7,885,625  
      3,520,000       9.875       07/01/14       3,203,200  
      2,000,000       9.250       02/01/15       1,770,000  
    U.S. Oncology, Inc. (CCC+/B2)
      5,175,000       9.000       08/15/12       5,200,875  
    U.S. Oncology, Inc. (CCC+/B3)
      1,875,000       10.750       08/15/14       1,950,000  
    United Surgical Partners International, Inc. (CCC+/Caa1)
      5,000,000       8.875       05/01/17       5,100,000  
    Universal Hospital Services, Inc. (B+/B3)(b)(d)
      1,750,000       8.500       06/01/15       1,763,125  
    Vanguard Health Holding Co. I (CCC+/Caa1)(e)
      3,500,000       11.250       10/01/15       2,730,000  
    Vanguard Health Holding Co. II (CCC+/Caa1)
      4,000,000       9.000       10/01/14       3,900,000  
    Ventas Realty LP (BB+/Ba1)
      2,000,000       9.000       05/01/12       2,180,000  
                           
                              136,995,862  
     
    Home Construction – 0.4%
    K. Hovnanian Enterprises, Inc. (BB-/Ba3)
      1,500,000       6.250       01/15/15       1,158,750  
      3,450,000       7.500       05/15/16       2,725,500  
      4,000,000       8.625       01/15/17       3,340,000  
    KB Home (BB+/Ba1)
      2,750,000       6.375       08/15/11       2,571,250  
      1,500,000       7.250       06/15/18       1,387,500  
    Kimball Hill, Inc. (B-/Caa1)
      2,250,000       10.500       12/15/12       1,440,000  
    Meritage Homes Corp. (BB/Ba3)
      4,750,000       6.250       03/15/15       3,728,750  
                           
                              16,351,750  
     
    Lodging – 0.4%
    Gaylord Entertainment Co. (B-/B3)
      3,325,000       8.000       11/15/13       3,374,875  
    Host Hotels & Resorts LP (BB)
      3,000,000       6.875       11/01/14       3,030,000  
    Host Marriott LP (BB/Ba1)
      5,750,000       7.125       11/01/13       5,821,875  
      3,125,000       6.375       03/15/15       3,078,125  
                           
                              15,304,875  
     
    Machinery – 0.2%
    Case New Holland, Inc. (BB+/Ba3)
      3,000,000       7.125       03/01/14       3,105,000  
    Douglas Dynamics LLC (B-/B3)(b)
      750,000       7.750       01/15/12       678,750  
    Dresser-Rand Group, Inc. (B/B1)
      4,344,000       7.375       11/01/14       4,365,720  
                           
                              8,149,470  
     
    Media – 0.8%
    DIRECTV Holdings LLC (BB-/Ba3)
      4,500,000       8.375       03/15/13       4,702,500  
      1,500,000       6.375       06/15/15       1,445,625  
    EchoStar DBS Corp. (BB-/Ba3)
      5,500,000       6.375       10/01/11       5,555,000  
      4,250,000       7.000       10/01/13       4,425,313  
      5,150,000       7.125       02/01/16       5,375,312  
    Lamar Media Corp. (B/Ba3)(b)
      3,000,000       7.250       01/01/13       2,957,500  
      4,500,000       6.625       08/15/15       4,297,500  
                           
                              28,758,750  
     
    Media – Broadcasting & Radio – 2.1%
    Bonten Media Acquisition Co. (CCC+/Caa1)(b)(d)
    $ 3,500,000       9.000       06/01/15       3,220,000  
    Chancellor Media (CCU) (B+/Baa3)
      3,000,000       8.000       11/01/08       3,067,500  
                                 
     
The accompanying notes are an integral part of these financial statements. 
35


 

GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Media – Broadcasting & Radio – (continued)
    Clear Channel Communications, Inc. (B+/Baa3)
    $ 2,500,000       6.250 %     03/15/11     $ 2,300,000  
      5,250,000       5.750       01/15/13       4,462,500  
      9,000,000       5.500       09/15/14       7,132,500  
      5,500,000       5.500       12/15/16       4,262,500  
    CMP Susquehanna Corp. (CCC/Caa1)
      6,750,000       9.875       05/15/14       6,243,750  
    Liberty Media LLC (BB+/Ba2)
      2,120,000       8.250       02/01/30       2,084,002  
    LIN Television Corp. (B-/B1)
      6,500,000       6.500       05/15/13       6,305,000  
    Local TV Finance LLC (CCC+/Caa1)(b)(d)
      5,000,000       9.250       06/15/15       4,775,000  
    Radio One, Inc. (CCC+/B1)
      2,250,000       6.375       02/15/13       1,980,000  
    Sinclair Broadcast Group, Inc. (B/Ba3)
      836,000       8.000       03/15/12       860,035  
    Univision Communications, Inc. (CCC+/B3)(b)(d)
      29,500,000       9.750       03/15/15       28,762,500  
                           
                              75,455,287  
     
    Media – Cable – 3.4%
    Adelphia Communications Corp.(f)
      2,000,000       10.250       06/15/49       352,500  
    Atlantic Broadband Finance LLC (CCC+/Caa1)
      3,250,000       9.375       01/15/14       3,193,125  
    Cablevision Systems Corp. (B+/B3)
      7,875,000       8.000       04/15/12       7,668,281  
    CCH I Holdings LLC (CCC/Caa2)
      13,585,000       11.000       10/01/15       13,177,450  
    CCH I Holdings LLC (CCC/Caa3)
      3,250,000       9.920       04/01/14       2,665,000  
      5,500,000       11.750 (e)     05/15/14       4,812,500  
    Charter Communications Holdings II (CCC/Caa1)
      7,125,000       10.250       09/15/10       7,267,500  
    Charter Communications Operating LLC/Capital (B+/B2)(b)
      580,000       8.375       04/30/14       577,100  
    CSC Holdings, Inc. (B+/B2)
      8,250,000       8.125       07/15/09       8,404,687  
      1,250,000       8.125       08/15/09       1,273,438  
      2,000,000       7.625       04/01/11       1,990,000  
      3,750,000       6.750       04/15/12       3,628,125  
    Frontier Vision(f)
      2,000,000       11.000       10/15/49        
    Kabel Deutschland GmbH (B-/B2)
      5,750,000       10.625       07/01/14       6,260,313  
    Mediacom LLC (B/B3)
      3,560,000       9.500       01/15/13       3,560,000  
    Ono Finance II (CCC+/B3)
      EUR11,500,000       8.000       05/16/14       15,825,398  
    Ono Finance PLC (CCC+/B3)
      4,250,000       10.500       05/15/14       6,518,018  
    Rainbow National Services LLC (B+/B2)(b)
    $ 200,000       8.750       09/01/12       208,000  
    Rainbow National Services LLC (B+/B3)(b)
      1,909,000       10.375       09/01/14       2,099,900  
    UPC Holding BV (CCC+/B3)
      EUR4,250,000       7.750       01/15/14       6,156,333  
      9,500,000       8.625       01/15/14       14,105,246  
      6,000,000       8.000       11/01/16       8,647,837  
    Virgin Media Finance PLC (B-/B2)
      GBP2,250,000       9.750       04/15/14       4,701,818  
                           
                              123,092,569  
     
    Media – Diversified – 0.5%
    CanWest MediaWorks, Inc. (CCC+/B3)
    $ 4,500,000       8.000       09/15/12       4,381,875  
    Quebecor Media, Inc. (B/B2)
      6,035,000       7.750 (b)     03/15/16       5,944,475  
    Rogers Wireless Communications, Inc. (BB+/Ba1)
      5,000,000       8.000       12/15/12       5,281,250  
    Rogers Wireless Communications, Inc. (BBB-/Baa3)
      2,000,000       7.500       03/15/15       2,160,000  
    Videotron Ltee (B+/Ba1)
      375,000       6.875       01/15/14       374,063  
                           
                              18,141,663  
     
    Metals – 1.5%
    AK Steel Corp. (B+/B1)
      8,000,000       7.750       06/15/12       8,160,000  
    Aleris International, Inc. (B-/B3)(d)
      8,750,000       9.000       12/15/14       7,853,125  
    Aleris International, Inc. (B-/Caa1)
      16,250,000       10.000       12/15/16       14,137,500  
    Freeport-McMoRan Copper & Gold, Inc. (BB/Ba3)
      125,000       8.250       04/01/15       135,312  
      1,565,000       8.375       04/01/17       1,713,675  
    GrafTech Finance, Inc. (B/B2)
      3,674,000       10.250       02/15/12       3,839,330  
    Novelis, Inc. (B/B3)
      12,675,000       7.250       02/15/15       12,168,000  
    Steel Dynamics, Inc. (BB+/Ba2)(b)
      6,500,000       7.375       11/01/12       6,483,750  
                           
                              54,490,692  
     
    Packaging – 4.2%
    Ball Corp. (BB/Ba1)
      50,000       6.875       12/15/12       50,875  
    Berry Plastics Holding Corp. (B/B3)
      9,865,000       8.875       09/15/14       10,111,625  
    Berry Plastics Holding Corp. (CCC+/Caa2)
      8,000,000       10.250       03/01/16       7,680,000  
    Beverage Packaging Holdings II SA/Luxembourg (B+/B2)
      EUR5,500,000       8.000       12/15/16       7,728,009  
    Beverage Packaging Holdings II SA/Luxembourg (B-/B3)
      14,500,000       9.500       06/15/17       19,691,213  
    Consol Speciality Glass Ltd. (BB-/B1)
      4,250,000       7.625       04/15/14       6,063,988  
    Crown Americas LLC (B/B1)
    $ 8,445,000       7.750       11/15/15       8,698,350  
    Gerresheimer Holdings GMBH (B+/B2)
      EUR4,650,000       7.875       03/01/15       6,996,763  
                                 
     
 The accompanying notes are an integral part of these financial statements.
36


 

GOLDMAN SACHS HIGH YIELD FUND
 
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Packaging – (continued)
    Graham Packaging Co., Inc. (CCC+/Caa1)
    $ 20,875,000       9.875 %     10/15/14     $ 20,666,250  
    Graphic Packaging International, Inc. (B-/B3)
      13,000,000       9.500       08/15/13       13,617,500  
    Impress Holdings BV (B-/B3)
      EUR13,500,000       9.250       09/15/14       20,728,736  
    Impress Holdings BV (BB-/Ba3)(a)
      1,000,000       7.857       09/15/13       1,459,413  
    Owens Brockway Glass Container (B/B3)
    $ 2,500,000       8.250       05/15/13       2,612,500  
      1,000,000       6.750       12/01/14       1,002,500  
    Owens Brockway Glass Container (BB/Ba2)
      7,032,000       8.875       02/15/09       7,093,530  
    Plastipak Holdings, Inc. (B/B3)(b)
      1,165,000       8.500       12/15/15       1,191,213  
    Pliant Corp. (CCC/Caa1)
      2,375,000       11.125       09/01/09       2,060,312  
    Pregis Corp. (CCC+/Caa1)
      6,750,000       12.375       10/15/13       7,357,500  
    Stichting Participatie Impress Cooperatieve UA(d)
      EUR891,756       17.000       09/29/49       1,401,551  
    Tekni-Plex, Inc. (C/Caa1)
    $ 4,500,000       8.750       11/15/13       4,185,000  
    Tekni-Plex, Inc. (CCC-/B1)
      2,500,000       10.875       08/15/12       2,706,250  
                           
                              153,103,078  
     
    Paper – 2.3%
    Ainsworth Lumber Co. Ltd. (CCC+/B2)
      4,000,000       7.250       10/01/12       2,680,000  
      2,500,000       6.750       03/15/14       1,581,250  
    Boise Cascade LLC (B+/B2)
      6,000,000       7.125       10/15/14       5,910,000  
    Catalyst Paper Corp. (B/B2)
      3,000,000       8.625       06/15/11       2,377,500  
      1,500,000       7.375       03/01/14       1,098,750  
    Georgia-Pacific Corp. (B/B2)
      8,500,000       8.125       05/15/11       8,670,000  
      1,000,000       9.500       12/01/11       1,055,000  
      1,500,000       7.700       06/15/15       1,477,500  
      1,250,000       8.000       01/15/24       1,228,125  
      2,750,000       7.750       11/15/29       2,626,250  
    Georgia-Pacific Corp. (B/Ba3)(b)
      7,500,000       7.000       01/15/15       7,368,750  
      8,125,000       7.125       01/15/17       7,962,500  
    Jefferson Smurfit Corp. (B-/B3)
      6,000,000       8.250       10/01/12       6,000,000  
      1,750,000       7.500       06/01/13       1,710,625  
    JSG Funding PLC (B/B2)
      2,250,000       7.750       04/01/15       2,216,250  
    NewPage Corp. (B/B2)
      5,500,000       10.000       05/01/12       5,816,250  
    Smurfit Kappa Funding PLC (B/B2)
      EUR3,000,000       7.750       04/01/15       4,334,783  
    Smurfit-Stone Container Enterprises, Inc. (B-/B3)
    $ 8,500,000       8.000       03/15/17       8,446,875  
    Stone Container Finance (B-/B3)
      2,250,000       7.375       07/15/14       2,176,875  
    Verso Paper Holdings LLC, Inc. (B+/B2)
      4,750,000       9.125       08/01/14       4,904,375  
    Verso Paper Holdings LLC, Inc. (CCC+/B3)
      5,000,000       11.375       08/01/16       5,300,000  
                           
                              84,941,658  
     
    Printing – 0.2%
    SGS International, Inc. (B-/B3)
      4,750,000       12.000       12/15/13       4,999,375  
    Valassis Communications, Inc. (B-/B3)
      4,500,000       8.250       03/01/15       3,791,250  
                           
                              8,790,625  
     
    Publishing – 4.3%
    Dex Media East LLC (B/B1)
      3,087,000       12.125       11/15/12       3,274,165  
    Dex Media West Finance Co. (B/Ba3)
      300,000       8.500       08/15/10       309,375  
    Dex Media West LLC (B/B1)
      6,744,000       9.875       08/15/13       7,190,790  
    Dex Media, Inc. (B/B2)
      1,250,000       8.000       11/15/13       1,260,938  
      12,750,000       9.000 (e)     11/15/13       12,128,438  
    Idearc, Inc. (B+/B2)
      13,395,000       8.000       11/15/16       13,428,487  
    Lighthouse International Co. SA (B/B2)
      EUR10,000,000       8.000       04/30/14       15,010,589  
    Morris Publishing Group LLC (B/B1)
    $ 3,250,000       7.000       08/01/13       2,494,375  
    Nielsen Finance LLC Co. (CCC+/Caa1)
      16,500,000       10.000       08/01/14       17,407,500  
      20,000,000       12.500 (e)     08/01/16       14,500,000  
    RH Donnelley Corp. (B/B3)
      7,000,000       6.875       01/15/13       6,580,000  
      11,000,000       8.875       01/15/16       11,000,000  
    The Nielsen Co. (CCC+/Caa1)(e)
      EUR7,000,000       11.125       08/01/16       6,692,296  
    TL Acquisitions, Inc. (CCC+/Caa1)(b)
      19,000,000       10.500       01/15/15       18,905,000  
    Truvo Subsidiary Corp. (CCC+/Caa1)
      EUR20,000,000       8.500       12/01/14       29,468,918  
                           
                              159,650,871  
     
    Real Estate(b) – 0.6%
    Castle HoldCo Ltd. (B/B2)(a)
      GBP2,000,000       9.264       05/15/14       3,326,881  
    Castle HoldCo Ltd. (CCC+/Caa1)
    $ 2,500,000       9.875       05/15/15       3,274,898  
    Fontainebleau Las Vegas Holdings Corp. LLC (CCC+/Caa1)
      5,000,000       10.250       06/15/15       4,662,500  
    Realogy Corp. (CCC+/Caa1)
      7,000,000       10.500       04/15/14       5,810,000  
      2,750,000       11.000 (d)     04/15/14       2,241,250  
                                 
     
The accompanying notes are an integral part of these financial statements. 
37


 

GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Real Estate(b) – (continued)
    Realogy Corp. (CCC+/Caa2)
    $ 5,250,000       12.375 %     04/15/15     $ 3,845,625  
                           
                              23,161,154  
     
    Restaurants – 0.6%
    Landry’s Restaurants, Inc. (CCC+/B3)(c)
      11,150,000       9.500       12/15/14       11,177,875  
    OSI Restaurant Partners, Inc. (CCC+/Caa1)(b)
      8,750,000       10.000       06/15/15       7,514,062  
    Seminole Hard Rock Entertainment, Inc. (BB/B1)(a)(b)
      3,325,000       8.194       03/15/14       3,258,500  
                           
                              21,950,437  
     
    Retailers – 1.7%
    AutoNation, Inc. (BB+/Ba2)
      745,000       7.000       04/15/14       720,788  
    Burlington Coat Factory Warehouse Corp. (CCC+/B3)
      2,750,000       11.125       04/15/14       2,502,500  
    Claire’s Stores, Inc. (CCC+/Caa1)(b)
      2,000,000       9.250       06/01/15       1,700,000  
      3,000,000       9.625 (d)     06/01/15       2,445,000  
    Claire’s Stores, Inc. (CCC+/Caa2)(b)
      3,750,000       10.500       06/01/17       2,831,250  
    Edcon Proprietary Ltd. (BB-/B2)(a)
      EUR10,500,000       7.980       06/15/14       14,145,131  
    Michaels Stores, Inc. (CCC/B2)
    $ 8,750,000       10.000       11/01/14       8,837,500  
    Michaels Stores, Inc. (CCC/Caa1)
      11,250,000       11.375       11/01/16       11,193,750  
    Neiman-Marcus Group, Inc. (B/B2)(d)
      5,935,000       9.000       10/15/15       6,291,100  
    Neiman-Marcus Group, Inc. (B/B3)
      12,000,000       10.375       10/15/15       13,050,000  
                           
                              63,717,019  
     
    Retailers – Food & Drug – 0.7%
    Ahold Lease USA, Inc. (BBB-/Baa3)(e)
      890,955       7.820       01/02/20       943,298  
      2,000,000       8.620       01/02/25       2,250,000  
    Ingles Markets, Inc. (B/B3)
      4,615,000       8.875       12/01/11       4,759,219  
    Rite Aid Corp. (BB-/B3)
      4,500,000       7.500       03/01/17       4,196,250  
    Rite Aid Corp. (CCC+/Caa1)(b)
      3,625,000       9.375       12/15/15       3,316,875  
      7,000,000       9.500       06/15/17       6,405,000  
    Supervalu, Inc. (B/B1)
      5,000,000       7.500       11/15/14       5,168,750  
                           
                              27,039,392  
     
    Services Cyclical – Business Services – 1.4%
    ACCO Brands Corp. (B/B2)
      7,500,000       7.625       08/15/15       7,125,000  
    Carlson Wagonlit BV (B-/B2)(a)
      EUR3,000,000       10.002       05/01/15       4,519,473  
    Cornell Co., Inc. (B-/B2)
    $ 1,500,000       10.750       07/01/12       1,601,250  
    Corrections Corp. of America (BB/Ba2)
      2,000,000       7.500       05/01/11       2,035,000  
      625,000       6.750       01/31/14       629,687  
    Iron Mountain, Inc. (B/B3)
      4,000,000       8.625       04/01/13       4,060,000  
      1,500,000       6.625       01/01/16       1,425,000  
    Savcio Holdings Ltd. (B+/B2)
      EUR2,000,000       8.000       02/15/13       2,926,069  
    West Corp. (B-/Caa1)
    $ 10,000,000       9.500       10/15/14       10,300,000  
      15,000,000       11.000       10/15/16       15,787,500  
                           
                              50,408,979  
     
    Services Cyclical – Consumer Services – 0.1%
    Service Corp. International (BB-/B1)
      960,000       6.750       04/01/16       933,600  
      2,000,000       7.000       06/15/17       1,965,000  
                           
                              2,898,600  
     
    Services Cyclical – Rental Equipment – 1.7%
    Ahern Rentals, Inc. (B+/B3)
      3,000,000       9.250       08/15/13       2,857,500  
    Ashtead Capital, Inc. (B/B1)(b)
      3,000,000       9.000       08/15/16       2,925,000  
    Ashtead Holdings PLC (B/B1)(b)
      2,000,000       8.625       08/01/15       1,945,000  
    Avis Budget Car Rental (BB-/Ba3)
      955,000       7.625       05/15/14       940,675  
    Hertz Corp. (B/B1)
      11,475,000       8.875       01/01/14       11,847,937  
    Hertz Corp. (B/B2)
      10,000,000       10.500       01/01/16       10,800,000  
    Neff Corp. (B-/Caa2)
      3,500,000       10.000       06/01/15       2,524,375  
    RSC Equipment Rental, Inc. (B-/Caa1)
      15,320,000       9.500       12/01/14       14,707,200  
    United Rentals North America, Inc. (B/B3)
      7,000,000       7.750       11/15/13       7,483,140  
      5,750,000       7.000       02/15/14       6,119,725  
    United Rentals North America, Inc. (B+/B1)
      425,000       6.500       02/15/12       440,653  
                           
                              62,591,205  
     
    Technology – Hardware – 2.7%
    Avago Technologies (CCC+/Caa1)
      6,250,000       11.875       12/01/15       7,046,875  
    Avago Technologies Finance Corp. (B/B2)
      10,750,000       10.125       12/01/13       11,610,000  
    Freescale Semiconductor, Inc. (B/B1)
      4,750,000       8.875       12/15/14       4,512,500  
      13,575,000       9.125 (d)     12/15/14       12,319,312  
    Freescale Semiconductor, Inc. (B/B2)
      12,500,000       10.125       12/15/16       11,312,500  
                                 
     
 The accompanying notes are an integral part of these financial statements.
38


 

GOLDMAN SACHS HIGH YIELD FUND
 
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Technology – Hardware – (continued)
    Lucent Technologies, Inc. (B+/Ba2)
    $ 4,000,000       5.500 %     11/15/08     $ 3,940,000  
      11,000,000       6.450       03/15/29       9,240,000  
    Nortel Networks Corp. (B-/B3)
      750,000       4.250       09/01/08       736,544  
    Nortel Networks Ltd. (B-/B3)(b)
      4,375,000       10.125       07/15/13       4,473,438  
      2,000,000       10.750       07/15/16       2,085,000  
    NXP BV / NXP Funding LLC (B/B3)
      EUR2,125,000       8.625       10/15/15       2,751,111  
    $ 10,005,000       9.500       10/15/15       9,454,725  
    NXP BV / NXP Funding LLC (BB/Ba3)
      400,000       7.993 (a)     10/15/13       378,000  
      4,437,000       7.875       10/15/14       4,326,075  
    Spansion, Inc. (B/Caa1)(b)
      8,625,000       11.250       01/15/16       8,301,562  
    Xerox Corp. (BBB-/Baa3)
      EUR2,000,000       9.750       01/15/09       3,041,953  
    $ 2,250,000       9.750       01/15/09       2,367,522  
      2,000,000       7.625       06/15/13       2,082,422  
                           
                              99,979,539  
     
    Technology – Software/Services – 2.6%
    First Data Corp. (B-/B3)(b)
      14,750,000       9.875       09/24/15       14,049,375  
    Sabre Holdings Corp. (B-/Caa1)
      10,000,000       8.350       03/15/16       9,100,000  
    Serena Software, Inc. (CCC+/Caa1)
      4,000,000       10.375       03/15/16       4,170,000  
    Sungard Data Systems, Inc. (B-/Caa1)
      13,615,000       9.125       08/15/13       13,989,412  
      25,000,000       10.250       08/15/15       26,250,000  
    Travelport, Inc. (CCC+/B3)
      14,125,000       9.875       09/01/14       14,531,094  
    Travelport, Inc. (CCC+/Caa1)
      10,750,000       11.875       09/01/16       11,610,000  
                           
                              93,699,881  
     
    Telecommunications – 1.8%
    Citizens Communications Co. (BB+/Ba2)
      7,125,000       9.250       05/15/11       7,792,969  
      755,000       9.000       08/15/31       778,594  
    Level 3 Financing, Inc. (CCC+/B3)
      10,740,000       9.250       11/01/14       10,203,000  
    Nordic Telephone Co. Holdings (B/B2)
      EUR8,250,000       8.250       05/01/16       12,727,314  
    $ 8,750,000       8.875 (b)     05/01/16       9,154,687  
    Qwest Capital Funding, Inc. (B+/B1)
      750,000       7.000       08/03/09       752,813  
      6,750,000       7.900       08/15/10       6,834,375  
    Qwest Communications International, Inc. (B+/Ba3)
      2,000,000       7.500       02/15/14       2,030,000  
    Qwest Corp. (BBB-/Ba1)
      4,000,000       8.875       03/15/12       4,375,000  
      1,450,000       7.500       10/01/14       1,513,437  
    Windstream Corp. (BB-/Ba3)
      6,040,000       8.625       08/01/16       6,470,350  
      2,200,000       7.000       03/15/19       2,178,000  
                           
                              64,810,539  
     
    Telecommunications – Cellular – 3.2%
    Alamosa Delaware, Inc. (BBB/Baa3)
      1,500,000       8.500       01/31/12       1,561,225  
    American Cellular Corp. (CCC/B3)
      1,088,000       10.000       08/01/11       1,142,400  
    American Tower Corp. (BB+/Ba1)
      5,000,000       7.125       10/15/12       5,162,500  
      2,750,000       7.000 (b)     10/15/17       2,811,875  
    Centennial Cellular Communications (CCC+/B2)
      1,500,000       10.125       06/15/13       1,597,500  
    Digicel Group Ltd. (Caa2)(b)
      8,750,000       8.875       01/15/15       8,093,750  
      5,448,000       9.125 (d)     01/15/15       5,161,980  
    Digicel Group Ltd. (B3)(b)
      3,000,000       9.250       09/01/12       3,112,500  
    Dobson Cellular Systems, Inc. (B+/Ba2)
      1,050,000       8.375       11/01/11       1,113,000  
    Dobson Cellular Systems, Inc. (B-/B1)
      245,000       9.875       11/01/12       265,519  
    Dobson Communications Corp. (CCC/Caa1)
      2,350,000       8.875       10/01/13       2,496,875  
    Hellas Telecommunications III (CCC+/B3)
      EUR7,125,000       8.500       10/15/13       10,682,144  
    Hellas Telecommunications Luxembourg II (CCC+/Caa1)(a)
      8,250,000       10.732       01/15/15       11,711,519  
    Nextel Communications, Inc. (BBB/Baa3)
    $ 3,000,000       5.950       03/15/14       2,871,439  
      14,000,000       7.375       08/01/15       14,051,711  
    Orascom Telecom Finance SCA (B-/B2)(b)
      14,500,000       7.875       02/08/14       13,847,500  
    Rural Cellular Corp. (CCC/B3)
      4,000,000       9.875       02/01/10       4,185,000  
    Wind Acquisition Finance SA (B-/B2)
      EUR6,500,000       9.750       12/01/15       10,310,047  
    $ 16,750,000       10.750 (b)     12/01/15       18,592,500  
                           
                              118,770,984  
     
    Telecommunications – Satellites – 1.3%
    Inmarsat Finance II PLC (B+/B1)(e)
      6,000,000       10.375       11/15/12       5,820,000  
    Inmarsat Finance PLC (B+/Ba3)
      1,232,000       7.625       06/30/12       1,268,960  
    Intelsat Bermuda Ltd. (B/B2)
      2,750,000       9.250       06/15/16       2,842,813  
    Intelsat Bermuda Ltd. (B-/Caa1)
      2,400,000       11.409 (a)     06/15/13       2,517,000  
      1,000,000       6.500       11/01/13       787,500  
      5,000,000       11.250       06/15/16       5,387,500  
    Intelsat Corp. (B-/B2)
      1,500,000       9.000       06/15/16       1,533,750  
     
The accompanying notes are an integral part of these financial statements. 
39


 

GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Telecommunications – Satellites – (continued)
    Intelsat Ltd. (B-/B3)(e)
    $ 8,665,000       9.250 %     02/01/15     $ 7,126,962  
    Intelsat Ltd. (B-/Caa1)
      9,000,000       7.625       04/15/12       7,830,000  
    Intelsat Subsidiary Holding Co. Ltd. (B/B2)
      4,375,000       8.250       01/15/13       4,407,812  
      2,500,000       8.625       01/15/15       2,550,000  
    PanAmSat Corp. (B-/B2)
      5,258,000       9.000       08/15/14       5,376,305  
                           
                              47,448,602  
     
    Textiles & Apparel – 0.5%
    Oxford Industries, Inc. (B/B1)
      3,500,000       8.875       06/01/11       3,517,500  
    Perry Ellis International, Inc. (B-/B3)
      1,225,000       8.875       09/15/13       1,228,063  
    Phillips-Van Heusen Co. (BB+/Ba3)
      210,000       7.250       02/15/11       210,000  
      325,000       8.125       05/01/13       333,125  
    Propex Fabrics, Inc. (CCC/Caa2)
      2,500,000       10.000       12/01/12       1,912,500  
    Quiksilver, Inc. (B+/Ba3)
      8,500,000       6.875       04/15/15       7,915,625  
    Warnaco, Inc. (BB-/B1)
      2,000,000       8.875       06/15/13       2,080,000  
                           
                              17,196,813  
     
    Tobacco – 0.2%
    Alliance One International, Inc. (B/B2)
      1,500,000       8.500       05/15/12       1,507,500  
      6,000,000       11.000       05/15/12       6,465,000  
                           
                              7,972,500  
     
    Transportation – 0.1%
    Stena AB (BB-/Ba3)
      1,000,000       7.500       11/01/13       997,500  
      EUR3,000,000       6.125       02/01/17       3,932,811  
                           
                              4,930,311  
     
    Utilities – Distribution – 0.7%
    AmeriGas Partners L.P. (B1)
    $ 2,275,000       7.250       05/20/15       2,246,562  
    AmeriGas Partners LP/AmeriGas Eagle Finance Corp. (B1)
      6,130,000       7.125       05/20/16       5,976,750  
    Ferrellgas Finance LP (B+/Ba3)
      438,000       6.750       05/01/14       431,430  
    Inergy LP/Inergy Finance Corp. (B/B1)
      3,550,000       6.875       12/15/14       3,479,000  
      3,000,000       8.250       03/01/16       3,135,000  
    Sabine Pass LNG LP (BB/Ba3)
      300,000       7.250       11/30/13       294,000  
      6,000,000       7.500       11/30/16       5,865,000  
    Suburban Propane Partners LP (B-/B1)
      4,170,000       6.875       12/15/13       4,065,750  
                           
                              25,493,492  
     
    Utilities – Electric – 3.7%
    AES Corp. (B/B1)
      5,250,000       9.500       06/01/09       5,479,688  
      5,250,000       9.375       09/15/10       5,565,000  
      4,000,000       7.750       10/15/15       4,020,000  
      4,000,000       8.000       10/15/17       4,025,000  
    Allegheny Energy Supply Co. LLC (BB+/Ba1)(b)
      5,000,000       8.250       04/15/12       5,425,000  
    Calpine Corp.(D)(b)(f)
      1,250,000       8.500       07/15/10       1,340,625  
      2,750,000       9.875       12/01/11       2,908,125  
      3,000,000       8.750       07/15/13       3,232,500  
    Dynegy Holdings, Inc. (B-/B2)
      3,000,000       8.750       02/15/12       3,101,250  
      2,500,000       7.500 (b)     06/01/15       2,384,375  
      4,000,000       8.375       05/01/16       4,020,000  
      1,500,000       7.125       05/15/18       1,350,000  
      7,000,000       7.750 (b)     06/01/19       6,597,500  
    Edison Mission Energy (BB-/B1)
      2,000,000       7.500       06/15/13       2,040,000  
      2,455,000       7.750       06/15/16       2,516,375  
      9,500,000       7.000 (b)     05/15/17       9,333,750  
      4,500,000       7.200 (b)     05/15/19       4,393,125  
    Elwood Energy LLC (BB-/Ba1)
      2,324,580       8.159       07/05/26       2,382,695  
    Intergen NV (BB-/Ba3)(b)
      5,000,000       9.000       06/30/17       5,281,250  
    Ipalco Enterprises, Inc. (BB-/Ba1)
      1,500,000       8.625       11/14/11       1,578,750  
    Midwest Generation LLC (BB+/Baa3)
      687,646       8.300       07/02/09       701,399  
      4,174,001       8.560       01/02/16       4,476,616  
    Mirant Americas Generation LLC (B-/Caa1)
      8,000,000       8.300       05/01/11       8,120,000  
    Mirant Mid-Atlantic LLC (BB/Ba2)
      2,236,320       9.125       06/30/17       2,493,496  
    Mirant North America LLC (B-/B2)
      5,415,000       7.375       12/31/13       5,509,763  
    NRG Energy, Inc. (B/B1)
      5,000,000       7.250       02/01/14       5,018,750  
      14,985,000       7.375       02/01/16       15,022,462  
      6,000,000       7.375       01/15/17       6,015,000  
    Orion Power Holdings, Inc. (B/B2)
      2,000,000       12.000       05/01/10       2,220,000  
    Reliant Energy, Inc. (B-/B3)
      8,000,000       7.875       06/15/17       8,080,000  
    South Point Energy Center LLC (D/WR)(b)(f)
      634,217       8.400       05/30/12       631,838  
                           
                              135,264,332  
     
    Utilities – Pipelines – 2.0%
    El Paso Corp. (BB-/Ba3)
      4,500,000       7.000       06/15/17       4,556,250  
    El Paso Natural Gas Co. (BB/Baa3)
      2,875,000       8.625       01/15/22       3,385,491  
      2,375,000       7.500       11/15/26       2,549,447  
      4,250,000       8.375       06/15/32       5,040,817  
     
 The accompanying notes are an integral part of these financial statements.
40


 

GOLDMAN SACHS HIGH YIELD FUND
 
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Corporate Bonds – (continued)
 
    Utilities – Pipelines – (continued)
    MarkWest Energy Partners LP/Mark West Energy Finance Corp. (B/B2)
    $ 6,750,000       8.500 %     07/15/16     $ 6,766,875  
    Northwest Pipeline Corp. (BB+/Ba1)
      775,000       7.000       06/15/16       823,437  
    Regency Energy Partners (B/B1)
      3,916,000       8.375       12/15/13       4,116,695  
    Southern Natural Gas Co. (BB/Baa3)
      3,000,000       7.350       02/15/31       3,207,316  
      3,000,000       8.000       03/01/32       3,442,378  
    Southern Star Central Corp. (BB+/Ba2)
      1,000,000       6.750       03/01/16       950,000  
    Targa Resources, Inc. (CCC+/B3)(b)
      5,250,000       8.500       11/01/13       5,302,500  
    Tennessee Gas Pipeline Co. (BB/Baa3)
      3,000,000       7.000       10/15/28       3,030,964  
      3,750,000       8.375       06/15/32       4,397,431  
      1,500,000       7.625       04/01/37       1,638,938  
    The Williams Cos., Inc. (BB/Ba2)
      6,500,000       8.125       03/15/12       7,028,125  
      3,000,000       7.625       07/15/19       3,273,750  
      11,000,000       7.875       09/01/21       12,182,500  
      1,000,000       7.500       01/15/31       1,060,000  
                           
                              72,752,914  
     
    TOTAL CORPORATE BONDS
    (Cost $3,272,360,520)   $ 3,286,171,018  
     
                                 
        Dividend   Maturity    
    Shares   Rate   Date   Value
   
Preferred Stocks – 0.2%
 
    Lucent Technologies Capital Trust I
      1,000       7.750 %     03/15/17     $ 966,250  
    Pliant Corp.(d)
      2,796       13.000       09/01/09       1,258,200  
    Spanish Broadcasting Systems, Inc.(c)(d)
      2,994       10.750       10/15/13       3,158,670  
     
    TOTAL PREFERRED STOCKS
    (Cost $6,866,180)   $ 5,383,120  
     
                     
    Shares   Description   Value
   
Common Stocks(f) – 0.3%
 
      1,996,917     Adelphia Recovery Trust Series ACC-1   $ 149,769  
      24,334     Axiohm Transaction Solutions, Inc.     243  
      79,102     Dobson Communications Corp.     1,023,580  
      538     General Chemical Industrial Product, Inc.     149,860  
      195,700     Huntsman Corp.     5,156,695  
      8,366     iPCS, Inc.     299,084  
      11,243     Mattress Discounters      
      1,656     Nycomed     24  
      567,500     Parmalat SpA(b)     2,095,721  
      351     Pliant Corp.     3  
      33,975     Polymer Group, Inc.     917,325  
      2,500     Port Townsend Holdings Co., Inc.     1,000,000  
      20,372     Smurfit Kappa Funding PLC     409,892  
      103,389     Viasystems Group, Inc.     904,654  
     
    TOTAL COMMON STOCKS
    (Cost $16,589,088)   $ 12,106,850  
     
                         
        Expiration    
    Units   Date   Value
   
Warrants(f) – 0.0%
 
    APP China Group Ltd.
      2,731       03/15/10        
    Avecia Group PLC (Ordinary)(b)
      40,000       07/01/10     $ 400  
    Avecia Group PLC (Preferred)(b)
      40,000       01/01/10       400  
    General Chemical Industrial Product, Inc. Series A
      311       04/30/11        
    General Chemical Industrial Product, Inc. Series B
      231       04/30/11        
    Merrill Corp. Class A(b)
      1,500       05/01/09       15  
    Parmalat SpA(b)
      650       12/31/15       1,750  
     
    TOTAL WARRANTS
    (Cost $1,027,120)   $ 2,565  
     
The accompanying notes are an integral part of these financial statements. 
41


 

GOLDMAN SACHS HIGH YIELD FUND
Schedule of Investments (continued)
October 31, 2007
                     
    Shares   Description   Value
   
Special Purpose Entity – 0.0%
 
    $ 526,991     Adelphia Recovery Trust   $ 14,598  
    (Cost $63,727)
     
                                 
    Principal   Interest   Maturity    
    Amount*   Rate   Date   Value
   
Repurchase Agreement(g) – 9.0%
 
    Joint Repurchase Agreement Account II
    $ 331,400,000       4.933 %     11/01/07     $ 331,400,000  
    Maturity Value: $331,445,411
    (Cost $331,400,000)        
     
    TOTAL INVESTMENTS — 99.1%
    (Cost $3,628,306,635)   $ 3,635,078,151  
     
    OTHER ASSETS IN EXCESS OF LIABILITIES — 0.9%     31,499,065  
     
    NET ASSETS — 100.0%   $ 3,666,577,216  
     
  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 *    The principal amount of each security is stated in the currency in which the bond is denominated. See below.
                     
Currency Description
 
$
  =   U.S. Dollar            
DEM
  =   German Mark            
EUR
  =   Euro            
GBP
  =   British Pound            
 (a)   Variable rate security. Interest rate disclosed is that which is in effect at October 31, 2007.
 
 (b)   Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $ 571,952,869, which represents approximately 15.6% of net assets as of October 31, 2007.
 
 (c)   Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
 
 (d)   Pay-in-kind securities.
 
 (e)   These securities are issued with a zero coupon or interest rate which increases to the stated rate at a set date in the future.
 
 (f)   Security is currently in default/non-income producing.
 
 (g)   Joint repurchase agreement was entered into on October 31, 2007. Additional information appears on page XX.
Security ratings disclosed, if any, are issued by Standard & Poor’s/Moody’s Investors Service, and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.
 The accompanying notes are an integral part of these financial statements.
42


 

GOLDMAN SACHS HIGH YIELD FUND
 
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY CONTRACTS — At October 31, 2007, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
                                         
Open Forward Foreign Currency   Purchase/   Expiration   Value on   Current   Unrealized
Contracts with Unrealized Gain   Sale Contract   Date   Settlement Date   Value   Gain
 
British Pound
    Purchase       11/14/07     $ 13,437,147     $ 13,885,960     $ 448,813  
Euro
    Purchase       11/14/07       2,004,559       2,044,046       39,487  
 
TOTAL   $ 488,300  
 
                                         
Open Forward Foreign Currency   Purchase/   Expiration   Value on   Current   Unrealized
Contracts with Unrealized Loss   Sale Contract   Date   Settlement Date   Value   Loss
 
British Pound
    Sale       11/14/07     $ 30,710,157     $ 31,973,575     $ (1,263,418 )
Euro
    Sale       11/14/07       461,873,144       489,280,741       (27,407,597 )
 
TOTAL   $ (28,671,015 )
 
The accompanying notes are an integral part of these financial statements. 
43


 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount•   Rate   Date   Value
   
Sovereign Debt Obligations – 75.2%
 
    Argentina – 9.5%
    Republic of Argentina (B+)
    $ 1,750,000       7.000 %     03/28/11     $ 1,673,000  
      8,700,000       7.000       09/12/13       7,805,592  
      ARS12,902,160       2.000 (a)     01/03/16       5,848,516  
      6,887,428       5.830 (a)     12/31/33       1,795,636  
      EUR645,640       1.200 (b)     12/31/38       358,899  
    $ 6,430,000       2.500 (b)     12/31/38       3,006,025  
    Republic of Argentina (B+/B3)(a)
      3,784,375       5.389       08/03/12       3,435,158  
    Republic of Argentina(a)
      ARS4,021,029       2.000       01/03/10       1,193,691  
      1,208,995       2.000       02/04/18       279,926  
      EUR3,300,000       0.662       12/15/35       583,186  
                           
                              25,979,629  
     
    Brazil – 1.7%
    Federal Republic of Brazil (BB+/Ba1)
    $ 4,500,000       6.000       01/17/17       4,590,000  
     
    Bulgaria – 0.8%
    Republic of Bulgaria (BBB+/Baa3)
      1,860,000       8.250       01/15/15       2,194,800  
     
    Colombia – 3.5%
    Republic of Colombia (BB+/Ba2)
      COP2,410,000,000       12.000       10/22/15       1,372,370  
    Republic of Colombia (BBB-/Ba2)
    $ 6,520,000       7.375       01/27/17       7,194,820  
      830,000       8.375       02/15/27       1,009,280  
                           
                              9,576,470  
     
    Dominican Republic – 0.2%
    Dominican Republic (B+/B2)
      451,399       9.040       01/23/18       519,109  
     
    Ecuador(b) – 1.5%
    Republic of Ecuador (CCC/Caa2)
      4,365,000       10.000       08/15/30       4,190,400  
     
    El Salvador – 1.7%
    Republic of El Salvador (BB+/Baa3)
      3,880,000       8.250       04/10/32       4,733,600  
     
    Ghana(c) – 0.6%
    Republic of Ghana (B+)
      1,490,000       8.500       10/04/17       1,527,250  
     
    Hungary – 2.9%
    Hungary Government Bond (BBB+/A2)
      HUF1,377,000,000       7.250       06/12/12       8,080,580  
     
    Indonesia – 4.0%
    Republic of Indonesia (BB-/Ba3)
    $ 2,260,000       7.500       01/15/16       2,463,400  
      8,540,000       6.625 (c)     02/17/37       8,379,875  
                           
                              10,843,275  
     
    Iraq – 0.5%
    Republic of Iraq
    $ 2,320,000       5.800       01/15/28       1,383,300  
     
    Jamaica — 0.5%
    Government of Jamaica (B/B1)
      1,003,000       9.000       06/02/15       1,083,240  
      250,000       8.000       03/15/39       245,000  
                           
                              1,328,240  
     
    Lebanon(a) – 0.9%
    Republic of Lebanon MTN (B-)
      2,490,000       8.630       11/30/09       2,465,100  
     
    Malaysia – 0.9%
    Malaysia (A-/A3)
      2,400,000       7.500       07/15/11       2,603,464  
     
    Mexico – 4.5%
    Mexican Fixed Rate Bonds (A+/Baa1)
      MXN114,060,000       8.000       12/19/13       10,844,927  
    United Mexican States (BBB+/Baa1)
    $ 1,140,000       7.500       04/08/33       1,385,100  
                           
                              12,230,027  
     
    Pakistan – 0.6%
    Islamic Republic of Pakistan (B+/B1)
      1,600,000       6.875 (c)     06/01/17       1,456,000  
      140,000       6.875       06/01/17       127,400  
                           
                              1,583,400  
     
    Panama – 3.3%
    Republic of Panama (BB/Ba1)
      1,610,000       9.375 (d)     04/01/29       2,189,600  
      6,462,000       6.700       01/26/36       6,849,720  
                           
                              9,039,320  
     
    Peru – 4.2%
    Republic of Peru (BB+/Ba2)
      6,825,000       8.375       05/03/16       8,036,437  
      3,420,000       6.550       03/14/37       3,599,550  
                           
                              11,635,987  
     
    Philippines – 5.6%
    Republic of Philippines (BB-/B1)
      4,080,000       10.625       03/16/25       5,839,500  
    Republic of Philippines (B1)
      8,675,000       7.500       09/25/24       9,650,937  
                           
                              15,490,437  
     
    Russia(b) – 9.3%
    Russian Federation (BBB+/Baa2)
      22,547,250       7.500       03/31/30       25,422,024  
     
    Serbia(b) – 0.7%
    Republic of Serbia (BB-)
      2,070,000       3.750       11/01/24       1,976,850  
     
    Trinidad and Tobago – 1.1%
    Trinidad & Tobago (A-/Baa1)
      2,540,000       5.875 (c)     05/17/27       2,489,200  
      440,000       5.875       05/17/27       431,200  
                           
                              2,920,400  
     
 The accompanying notes are an integral part of these financial statements.
44


 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND
 
                                 
    Principal   Interest   Maturity    
    Amount•   Rate   Date   Value
   
Sovereign Debt Obligations – (continued)
 
    Turkey – 4.6%
    Republic of Turkey (BB-/Ba3)
    $ 1,450,000       6.750 %     04/03/18     $ 1,464,154  
      7,680,000       7.375       02/05/25       8,131,200  
      2,630,000       8.000       02/14/34       2,952,175  
                           
                              12,547,529  
     
    Ukraine – 2.2%
    Ukraine Government (BB-/B1)
      3,460,000       6.875       03/04/11       3,563,800  
      1,000,000       6.385 (c)     06/26/12       1,010,170  
      1,240,000       7.650       06/11/13       1,336,100  
                           
                              5,910,070  
     
    Uruguay – 4.1%
    Republic of Uruguay (B+/B1)
      UYU29,817,920       4.250       04/05/27       1,438,697  
    Republic of Uruguay (BB-/B1)
    $ 8,639,587       8.000       11/18/22       9,849,129  
                           
                              11,287,826  
     
    Venezuela – 5.5%
    Republic of Venezuela (BB-/B2)
      950,000       10.750       09/19/13       1,063,050  
      3,220,000       8.500       10/08/14       3,305,330  
      2,970,000       6.000       12/09/20       2,487,375  
      6,072,000       7.650       04/21/25       5,753,220  
      2,200,000       9.375       01/13/34       2,420,000  
                           
                              15,028,975  
     
    Vietnam – 0.3%
    Socialist Republic of Vietnam (BB/Ba3)
      430,000       6.875 (c)     01/15/16       458,943  
      400,000       6.875       01/15/16       426,924  
                           
                              885,867  
     
    TOTAL SOVEREIGN DEBT OBLIGATIONS
    (Cost $201,914,695)   $ 205,973,929  
     
   
Corporate Obligations – 11.7%
 
    Brazil – 0.4%
    Companhia Energetica de Sao Paulo
      BRL968,095       9.750 %     01/15/15     $ 570,570  
    RBS – Zero Hora Editora Jornali (BB-)(c)
      800,000       11.250       06/15/17       422,963  
                           
                              993,533  
     
    British Virgin Islands(c) – 0.5%
    GTL Trade Finance, Inc. (BBB-)
    $ 1,430,000       7.250       10/20/17       1,449,335  
     
    Colombia(c) – 1.0%
    EEB International Ltd. (BB)
      1,330,000       8.750       10/31/14     $ 1,330,013  
    TGI International Ltd. (BB)
      1,300,000       9.500       10/03/17       1,360,060  
                           
                              2,690,073  
     
    Cyprus(c) – 0.3%
    Alfaru MTN Markets for ABH Financial Ltd. (BB/Ba1)
    $ 900,000       8.200       06/25/12       857,160  
     
    Dominican Republic(c) – 0.4%
    Cerveceria Nacional Dominicana (B+/Ba3)
      980,000       16.000 (a)     03/27/12       1,020,670  
      166,000       8.000       03/27/14       170,565  
                           
                              1,191,235  
     
    Luxembourg – 3.0%
    Gaz Capital for Gazprom (BBB/A3)(c)
      1,000,000       6.212       11/22/16       988,000  
    VTB Capital SA (BBB+/A2)
      1,790,000       5.494       08/01/08       1,772,100  
    VTB Capital SA (A2)
      5,440,000       6.609 (c)     10/31/12       5,397,931  
                           
                              8,158,031  
     
    Netherlands – 1.8%
    CenterCredit International BV (BB-/Ba1)
      KZT232,000,000       8.250       09/30/11       1,687,970  
    Majapahit Holding BV (BB-/Ba3)
    $ 1,780,000       7.750       10/17/16       1,817,439  
      1,310,000       7.875 (c)     06/29/37       1,290,513  
                           
                              4,795,922  
     
    Russia(c) – 0.2%
    RSHB Capital SA for OJSC Russian Agricultural Bank (A3)
      540,000       7.175       05/16/13       552,825  
     
    Trinidad and Tobago(c) – 0.4%
    National Gas Co. of Trinidad & Tobago Ltd. (BBB+/A3)
      980,000       6.050       01/15/36       948,018  
     
    Turkey – 0.6%
    International Bank for Reconstruction & Development (AAA/Aaa)
      TRY1,900,000       13.625       05/09/17       1,685,764  
     
    Ukraine – 0.3%
    Nak Naftogaz Ukrainy (Ba2)
    $ 1,000,000       8.125       09/30/09       910,000  
     
    United Kingdom(c) – 0.4%
    UK SPV Credit Finance PLC (Ba2)
      1,300,000       8.000       02/06/12       1,197,222  
     
    Venezuela – 2.4%
    Petroleos de Venezuela SA (BB-)
    $ 1,980,000       5.250       04/12/17       1,495,890  
      7,780,000       5.375       04/12/27       5,095,900  
                           
                              6,591,790  
     
    TOTAL CORPORATE OBLIGATIONS
    (Cost $32,111,077)   $ 32,020,908  
     
The accompanying notes are an integral part of these financial statements. 
45


 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
October 31, 2007
                                 
    Principal   Interest   Maturity    
    Amount•   Rate   Date   Value
   
Credit Linked Notes – 5.9%
 
    Brazil – 4.7%
    Federal Republic of Brazil Inflation Linked(e)
      BRL4,265,000       6.000 %     05/15/09     $ 2,689,884  
    $ 2,203,450       13.000       03/08/10       2,161,584  
      BRL3,800,000       6.000       05/19/15       3,414,763  
    $ 443,768       6.000       05/16/17       483,441  
      BRL3,200,000       6.000       05/17/45       4,296,540  
                           
                              13,046,212  
     
    Turkey – 1.2%(f)
    Republic of Turkey Inflation Linked
    $ 1,530,000       10.000       02/17/12       1,712,315  
      1,400,000       10.000       02/21/12       1,497,749  
                           
                              3,210,064  
     
    TOTAL CREDIT LINKED NOTES
    (Cost $13,526,886)           $ 16,256,276  
     
   
U.S. Treasury Obligation(e) – 0.4%
 
    United States Treasury Notes
    $ 1,200,000       4.625 %     02/15/17     $ 1,215,384  
    (Cost $1,209,675)                
     
   
Commercial Paper – 0.2%
 
    Galleon Capital Corp.
    $ 474,000       5.294 %     11/01/07     $ 474,000  
    (Cost $474,000)                
     
   
Structured Note – 0.5%
 
    JPMorgan Securities, Inc.(f)
      TRY1,700,000       14.000 %     01/19/11     $ 1,409,601  
    (Cost $1,108,919)                
     
   
Repurchase Agreement(f) – 3.4%
 
    United States – 3.4%
    Joint Repurchase Agreement Account II
    $ 9,300,000       4.933 %     11/01/07     $ 9,300,000  
    Maturity Value: $9,301,274                
    (Cost $9,300,000)                
     
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL
    (Cost $259,645,252)           $ 266,650,098  
     
                     
        Interest    
    Shares   Rate   Value
   
Securities Lending Collateral(a) – 0.5%
 
    Securities Lending Quality Trust        
      1,258,584     5.120%        
    (Cost $1,258,584)   $ 1,258,584  
     
    TOTAL INVESTMENTS – 97.8%
    (Cost $260,903,836)   $ 267,908,682  
     
    OTHER ASSETS IN EXCESS
    OF LIABILITIES – 2.2%     6,057,884  
     
    NET ASSETS – 100.0%   $ 273,966,566  
     
  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 •     The principal amount of each security is stated in the currency in which the bond is denominated. See below.
                     
Currency Description
 
$
  =   U.S. Dollar   HUF   =   Hungarian Forint
ARS
  =   Argentine Peso   KZT   =   Kazakhstan Tenge
BRL
  =   Brazilian Real   MXN   =   Mexican Peso
COP
  =   Colombian Peso   TRY   =   Turkish Lira
EUR
  =   Euro Currency   UYU   =   Uruguayan Peso
 (a)   Variable rate security. Interest rate disclosed is that which is in effect at October 31, 2007.
 
 (b)   Coupon increases periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect at October 31, 2007.
 
 (c)   Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $32,306,713, which represents approximately 11.8% of net assets as of October 31, 2007.
 
 (d)   Securities with “Put” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.
 
 (e)   The underlying security is a government bond issued by the Federal Republic of Brazil.
 
 (f)   The underlying security is a government bond issued by the Republic of Turkey.
 
 (g)   All or a portion of security is on loan.
 (h)   Joint repurchase agreement was entered into on October 31, 2007. Additional information appears on page XX.
Security ratings disclosed, if any, are issued by Standard & Poor’s/Moody’s Investors Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.
             
     
    Investment Abbreviations:
    MTN     Medium-Term Note
     
 The accompanying notes are an integral part of these financial statements.
46


 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND
 
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY CONTRACTS — At October 31, 2007, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:
                                         
Open Forward Foreign Currency   Contract   Expiration   Value on   Current   Unrealized
Contracts with Unrealized Gain   Type   Date   Settlement Date   Value   Gain
 
Brazilian Real
    Purchase       11/01/07     $ 19,111,630     $ 19,814,400     $ 702,770  
Indian Rupee
    Purchase       01/23/08       2,685,000       2,702,728       17,728  
Korean Won
    Purchase       01/23/08       2,685,000       2,735,240       50,240  
Philippine Peso
    Purchase       01/23/08       2,685,000       2,701,019       16,019  
Polish Zloty
    Purchase       11/08/07       6,236,782       6,815,395       578,613  
 
TOTAL   $ 1,365,370  
 
                                         
Open Forward Foreign Currency   Contract   Expiration   Value on   Current   Unrealized
Contracts with Unrealized Loss   Type   Date   Settlement Date   Value   Loss
 
Brazilian Real
    Sale       11/01/07     $ 18,755,129     $ 19,814,401     $ (1,059,272 )
Brazilian Real
    Sale       02/06/08       6,446,476       6,617,265       (170,789 )
Euro
    Sale       11/20/07       643,610       656,193       (12,583 )
Mexican Peso
    Sale       01/15/08       10,995,735       11,134,925       (139,190 )
Polish Zloty
    Sale       11/08/07       6,223,973       6,815,395       (591,422 )
 
TOTAL   $ (1,973,256 )
 
SWAP CONTRACTS — At October 31, 2007, the Fund had outstanding swap contracts with the following terms:
INTEREST RATE SWAP CONTRACTS
                                             
            Rates Exchanged        
                Upfront    
    Notional       Payments   Payments   Payments    
    Amount   Termination   received by   made by   received by   Unrealized
Swap Counterparty   (000s)   Date   the Fund   the Fund   the Fund   Gain
 
JPMorgan Securities, Inc.
    BRL28,500       01/04/10     11.650%   Brazilian Interbank
Deposit Average
  $     $ 74,359  
      29,000       01/04/10     10.780   Brazilian Interbank
Deposit Average
          17,948  
      USD2,100 (a)     12/19/14     5.000   3 month LIBOR     (84,819 )     89,734  
      2,100 (a)     12/19/14     3 month LIBOR     5.000%       (27,885 )     22,970  
 
TOTAL
                              $ (112,704 )   $ 205,011  
 
(a)  Represents forward starting interest rate swaps whose effective dates of commencement of cash flows and associated accruals occur subsequent to October 31, 2007.
CREDIT DEFAULT SWAP CONTRACTS
                                     
        Notional   Rates Paid        
    Referenced   Amount   (Received) by   Termination   Unrealized
Swap Counterparty   Obligation   (000s)   Fund   Date   Gain (Loss)
 
Protection Purchased:
                                   
JPMorgan Securities, Inc.
  Republic of Argentina
8.280%, 12/31/33
  $ 3,000       4.850%       09/20/12     $ (179,102 )
Protection Sold:
                                   
JPMorgan Securities, Inc.
  Turkish Government International Bond
11.875%, 01/15/30
    1,600       (2.740 )     03/20/17       52,390  
    11.875%, 01/15/30     1,946       (2.500 )     05/20/17       30,008  
 
TOTAL
                              $ (96,704 )
 
The accompanying notes are an integral part of these financial statements. 
47


 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Schedule of Investments (continued)
October 31, 2007
ADDITIONAL INVESTMENT INFORMATION (continued)
TOTAL RETURN SWAP CONTRACTS
                                                 
    Notional                    
    Amount   Reference   Termination       Payments   Unrealized
Swap Counterparty   (000s)   Security   Date   Financing Fee#   Made   Gain
 
Deutsche Bank Securities, Inc.
    TRY 5,300     Turkish Government Bond
16.000%, 03/16/12
    03/07/12     TRY Central Deposit Bank
+ 0.250%
  $ 163,128     $ 663,278  
 
The Fund receives semi-annual coupon payments in accordance with the swap contract. On the termination date of the swap contract, the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars)
             
     
    Investment Abbreviations:
    LIBOR     London Interbank Offered Rate
     
 The accompanying notes are an integral part of these financial statements.
48


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
ADDITIONAL INVESTMENT INFORMATION (continued)
JOINT REPURCHASE AGREEMENT ACCOUNT II — At October 31, 2007, the High Yield and Emerging Markets Debt Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:
         
    Principal
Fund   Amount
 
High Yield
  $ 331,400,000  
 
Emerging Markets Debt
    9,300,000  
 
REPURCHASE AGREEMENTS
                                 
    Principal   Interest   Maturity   Maturity
Counterparty   Amount   Rate   Date   Value
 
ABN Amro, Inc.
  $ 2,500,000,000       4.93 %     11/01/07     $ 2,500,342,361  
 
Banc of America Securities LLC
    4,000,000,000       4.93       11/01/07       4,000,547,778  
 
Barclays Capital PLC
    500,000,000       4.93       11/01/07       500,068,472  
 
Barclays Capital PLC
    2,100,000,000       4.92       11/01/07       2,100,287,000  
 
Bear Stearns
    250,000,000       4.95       11/01/07       250,034,375  
 
Citigroup Global Markets, Inc.
    3,000,000,000       4.95       11/01/07       3,000,412,500  
 
Credit Suisse Securities (USA) LLC
    2,000,000,000       4.96       11/01/07       2,000,275,556  
 
Deutsche Bank Securities, Inc
    3,000,000,000       4.92       11/01/07       3,000,410,000  
 
Deutsche Bank Securities, Inc.
    1,000,000,000       4.93       11/01/07       1,000,136,944  
 
Deutsche Bank Securities, Inc.
    1,000,000,000       4.95       11/01/07       1,000,137,500  
 
Greenwich Capital Markets
    1,000,000,000       4.95       11/01/07       1,000,137,500  
 
Lehman Brothers Holdings, Inc.
    1,000,000,000       4.90       11/01/07       1,000,136,111  
 
Merrill Lynch
    1,500,000,000       4.93       11/01/07       1,500,205,417  
 
Morgan Stanley
    1,000,000,000       4.93       11/01/07       1,000,136,944  
 
UBS Securities LLC
    1,000,000,000       4.92       11/01/07       1,000,136,667  
 
Wachovia Bank
    250,000,000       4.93       11/01/07       250,034,236  
 
TOTAL
                          $ 25,103,439,361  
 
At October 31, 2007, the Joint Repurchase Agreement Account II was fully collateralized by Federal Farm Credit Bank, 4.400% to 5.820%, due 07/23/08 to 07/26/32; Federal Home Loan Bank, 0.000% to 6.640%, due 11/02/07 to 05/15/24; Federal Home Loan Mortgage Association, 0.000% to 11.000%, due 11/19/07 to 10/01/37; Federal National Mortgage Association, 0.000% to 10.500%, due 11/07/07 to 10/01/47 and Government National Mortgage Association, 6.000%, due 02/15/33. The aggregate market value of the collateral, including accrued interest, was $25,696,700,613.
The accompanying notes are an integral part of these financial statements. 
49


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Assets and Liabilities
October 31, 2007
                                   
        Global Income   High Yield   Emerging Markets    
        Fund   Fund   Debt Fund    
 
    Assets:
 
   
Investments in securities, at value (identified cost $1,556,629,710, $3,628,306,635 and $259,645,252, respectively)(a)
  $ 1,607,673,527     $ 3,635,078,151     $ 266,650,098      
   
Securities lending collateral, at value which equals cost
    237,527,113             1,258,584      
   
Cash(b)
    26,916,637       9,479,814       11,470,876      
   
Foreign currencies, at value (identified cost $498,065, $583,340, $0, respectively)
    499,826       590,524            
   
Swap contracts, at value (includes upfront payments made (received) of $24,768,509, $0 and $247,947, respectively)
    40,016,274             1,006,026      
   
Receivables:
                           
     
Investment securities sold, at value
    248,289,939       380,519       172,235      
     
Forward foreign currency exchange contracts, at value
    26,600,511       488,300       1,365,370      
     
Interest and dividends, at value (net of allowances)
    14,891,279       77,370,875       4,216,978      
     
Due from broker-variation margin, at value(c)
    4,678,219                  
     
Fund shares sold
    1,394,060       5,763,055       532,087      
     
Premium for swaps purchased
    1,016,855                  
     
Reimbursement from investment adviser
    131,030       165,827       11,433      
     
Securities lending income
    118,729             1,863      
   
Other assets
    43,779       18,388       2,881      
     
   
Total assets
    2,209,797,778       3,729,335,453       286,688,431      
     
    Liabilities:
 
   
Due to Custodian — Foreign currencies, at value (identified cost $503,126, $0, and $152, respectively)
    503,378             155      
   
Due to Broker
    3,500,110                  
   
Swap contracts, at value (includes upfront payments made (received) of $27,993,548, $0 and $27,885, respectively)
    45,340,885             184,017      
   
Forward foreign currency exchange contracts, at value
    38,999,105       28,671,015       1,973,256      
   
Payables:
                           
     
Investment securities purchased, at value
    424,824,301       18,864,430       8,283,596      
     
Payable upon return of securities loaned
    237,527,113             1,258,584      
     
Forward Sale Contract, at value (proceeds receivable $26,649,525)
    26,620,859                  
     
Amounts owed to affiliates
    921,999       2,897,532       213,703      
     
Fund shares repurchased
    529,696       7,466,248       620,311      
     
Income distribution
          4,460,332       59,910      
   
Accrued expenses and other liabilities
    258,433       398,680       128,333      
     
   
Total liabilities
    779,025,879       62,758,237       12,721,865      
     
    Net Assets:
 
   
Paid-in capital
    1,444,776,303       3,672,603,898       263,699,628      
   
Accumulated undistributed (distribution in excess of) net investment income
    (5,642,679 )     13,282,715       296,193      
   
Accumulated net realized gain (loss) on investments, futures, options, swaps and foreign currency related transactions
    (46,717,173 )     1,416,326       2,748,954      
   
Net unrealized gain (loss) on investments, futures, options, swaps and translation of assets and liabilities denominated in foreign currencies
    38,355,448       (20,725,723 )     7,221,791      
     
   
NET ASSETS
  $ 1,430,771,899     $ 3,666,577,216     $ 273,966,566      
 
   
Net Assets:
                           
     
Class A
  $ 324,537,347     $ 1,777,149,835     $ 84,660,639      
     
Class B
    11,127,150       115,817,479            
     
Class C
    5,281,583       119,073,104       994,881      
     
Institutional
    1,089,449,858       1,646,137,649       188,311,046      
     
Service
    375,961       8,399,149            
 
   
Shares Outstanding:
                           
     
Class A
    25,106,263       224,091,070       6,959,478      
     
Class B
    863,812       14,588,753            
     
Class C
    410,823       15,013,373       81,955      
     
Institutional
    84,394,628       207,290,526       15,467,426      
     
Service
    29,150       1,060,274            
 
   
Total shares outstanding, $0.001 par value (unlimited number of shares authorized)
    110,804,676       462,043,996       22,508,859      
 
   
Net asset value, offering and redemption price per share:(d)
                           
     
Class A
    $12.93     $ 7.93     $ 12.16      
     
Class B
    12.88       7.94            
     
Class C
    12.86       7.93       12.14      
     
Institutional
    12.91       7.94       12.17      
     
Service
    12.90       7.92            
 
(a)   Includes loaned securities having a market value of $231,435,882 and $1,226,658, for Global Income and Emerging Markets Debt Funds, respectively.
(b)   Includes restricted cash of $13,487,667 and $1,037,110 relating to swap contracts for Global Income and Emerging Markets Debt Funds, respectively.
(c)   Includes restricted cash of $3,427,568 related to initial margin requirements and collateral on futures transactions for Global Income Fund.
(d)   Maximum public offering price per share for Class A Shares of the Global Income, High Yield and Emerging Markets Debt Funds (NAV per share multiplied by 1.0471) is $13.54, $8.30 and $12.73, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares.
 The accompanying notes are an integral part of these financial statements.
50


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Operations
For the Year Ended October 31, 2007
                               
        Global Income   High Yield   Emerging Markets
        Fund   Fund   Debt Fund
 
    Investment income:
 
   
Interest — net of allowances (including securities lending income of $331,375, $0 and $4,957, respectively)(a)
  $ 49,636,941     $ 273,772,199     $ 13,758,962  
   
Dividends
    65,561       1,758,232        
     
   
Total investment income
    49,702,502       275,530,431       13,758,962  
     
 
    Expenses:
 
   
Management fees
    7,976,391       21,697,308       1,689,330  
   
Distribution and Service fees(b)
    969,467       6,175,676       196,108  
   
Transfer Agent fees(b)
    859,687       3,283,605       169,471  
   
Custody and accounting fees
    435,418       425,842       132,231  
   
Printing fees
    89,579       166,369       40,522  
   
Professional fees
    84,995       121,557       98,459  
   
Registration fees
    81,417       121,256       41,450  
   
Shareholder meeting expense
    27,510       115,621       21,295  
   
Trustee fees
    16,500       16,500       16,500  
   
Service share fees — Service Plan
    991       12,814        
   
Service share fees — Shareholder Administration Plan
    991       12,814        
   
Other
    67,126       292,809       26,019  
     
   
Total expenses
    10,610,072       32,442,171       2,431,385  
     
   
Less — expense reductions
    (794,400 )     (609,667 )     (311,180 )
     
   
Net expenses
    9,815,672       31,832,504       2,120,205  
     
   
NET INVESTMENT INCOME
    39,886,830       243,697,927       11,638,757  
     
 
    Realized and unrealized gain (loss) on investments, futures, options, short sales, swap and foreign currency related transactions:
 
   
Net realized gain (loss) from:
                       
     
Investment transactions
    (3,026,233 )     36,843,700       2,823,387  
     
Futures transactions
    5,226,224              
     
Written options
    (178,294 )            
     
Swap contracts
    (54,435 )           1,541,985  
     
Foreign currency related transactions
    (11,006,312 )     (1,397,884 )     (798,130 )
   
Net change in unrealized gain (loss) on:
                       
     
Investments
    41,174,195       (60,412,805 )     2,702,817  
     
Futures
    1,518,239              
     
Swap contracts
    (2,383,680 )           552,165  
     
Translation of assets and liabilities denominated in foreign currencies
    (7,434,496 )     (29,479,089 )     (251,403 )
     
   
Net realized and unrealized gain (loss) on investments, futures, options, swaps and foreign currency related transactions
    23,835,208       (54,446,078 )     6,570,821  
     
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
  $ 63,722,038     $ 189,251,849     $ 18,209,578  
     
(a)   Net of $85,356 in foreign withholding tax for the High Yield Fund.
(b)   Class specific Distribution and Service, and Transfer Agent fees were as follows:
                                                                 
    Distribution and Service Fees   Transfer Agent Fees
         
Fund   Class A   Class B   Class C   Class A   Class B   Class C   Institutional   Service
                                 
Global Income
  $ 770,447     $ 140,845     $ 58,175     $ 460,071     $ 21,336     $ 8,793     $ 369,328     $ 159  
High Yield
    4,023,227       1,059,791       1,092,658       2,404,416       157,538       162,747       556,854       2,050  
Emerging Markets Debt
    192,980             3,128       115,576             430       53,465        
The accompanying notes are an integral part of these financial statements. 
51


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statements of Changes in Net Assets
                       
        Global Income Fund
         
        For the   For the
        Year Ended   Year Ended
        October 31, 2007   October 31, 2006
 
    From operations:
 
   
Net investment income
  $ 39,886,830     $ 15,175,226  
   
Net realized gain (loss) on investments, futures, options, swaps and foreign currency related transactions
    (9,039,050 )     (6,650,901 )
   
Net change in unrealized gain (loss) on investments, futures, options, swaps and translation of assets and liabilities denominated in foreign currencies
    32,874,258       8,069,554  
     
   
Net increase in net assets resulting from operations
    63,722,038       16,593,879  
     
 
    Distributions to shareholders:
 
   
From net investment income
               
     
Class A Shares
    (8,314,867 )     (10,177,713 )
     
Class B Shares
    (269,626 )     (1,057,409 )
     
Class C Shares
    (113,130 )     (329,720 )
     
Institutional Shares
    (28,629,452 )     (16,109,652 )
     
Service Shares
    (9,897 )     (24,929 )
   
From net realized gains
               
     
Class A Shares
           
     
Class C Shares
           
     
Institutional Shares
           
   
From capital
               
     
Class A Shares
    (924,754 )     (673,831 )
     
Class B Shares
    (29,987 )     (70,007 )
     
Class C Shares
    (12,582 )     (21,830 )
     
Institutional Shares
    (3,184,081 )     (1,066,563 )
     
Service Shares
    (1,101 )     (1,650 )
     
   
Total distributions to shareholders
    (41,489,477 )     (29,533,304 )
     
 
    From share transactions:
 
   
Net proceeds from sales of shares
    914,681,652       623,711,550  
   
Proceeds received in connection with merger
           
   
Reinvestment of dividends and distributions
    40,918,077       26,966,721  
   
Cost of shares repurchased(a)
    (415,622,549 )     (190,950,469 )
     
   
Net increase in net assets resulting from share transactions
    539,977,180       459,727,802  
     
   
TOTAL INCREASE
    562,209,741       446,788,377  
     
 
    Net assets:
 
   
Beginning of year
    868,562,158       421,773,781  
     
   
End of year
  $ 1,430,771,899     $ 868,562,158  
     
   
Accumulated undistributed (distribution in excess of) net investment income
  $ (5,642,679 )   $ (1,826,999 )
     
(a)   Net of redemption fees, remitted to the Funds as follows:
                     
        For the   For the
        Year Ended   Year Ended
    Fund   October 31, 2007   October 31, 2006
     
   
Global Income
  $ 8,278     $ 6,373  
     
   
High Yield
    310,735       75,035  
     
   
Emerging Markets Debt
    5,494       19,806  
     
 The accompanying notes are an integral part of these financial statements.
52


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
                                 
    High Yield Fund   Emerging Markets Debt Fund
         
    For the   For the   For the   For the
    Year Ended   Year Ended   Year Ended   Year Ended
    October 31, 2007   October 31, 2006   October 31, 2007   October 31, 2006
 
     
 
    $ 243,697,927     $ 173,344,032     $ 11,638,757     $ 6,477,163  
      35,445,816       10,357,444       3,567,242       2,438,504  
      (89,891,894 )     56,407,429       3,003,579       3,242,522  
     
      189,251,849       240,108,905       18,209,578       12,158,189  
     
 
     
 
      (121,637,861 )     (84,061,954 )     (3,991,437 )     (3,310,565 )
      (7,218,281 )     (6,619,789 )            
      (7,427,455 )     (5,260,116 )     (14,850 )     (5 )
      (110,683,239 )     (75,965,184 )     (7,522,819 )     (3,479,083 )
      (379,636 )     (169,229 )            
                  (1,270,842 )     (1,535,731 )
                  (379 )      
                  (1,659,868 )     (1,540,548 )
                         
                         
                         
                         
                         
     
      (247,346,472 )     (172,076,272 )     (14,460,195 )     (9,865,932 )
     
 
     
 
      1,746,992,051       1,402,984,435       167,975,848       129,969,181  
      131,649,843                    
      195,239,156       131,273,894       13,303,327       8,984,045  
      (1,231,153,803 )     (731,412,439 )     (65,437,875 )     (62,158,343 )
     
      842,727,247       802,845,890       115,841,300       76,794,883  
     
      784,632,624       870,878,523       119,590,683       79,087,140  
     
 
     
 
      2,881,944,592       2,011,066,069       154,375,883       75,288,743  
     
    $ 3,666,577,216     $ 2,881,944,592     $ 273,966,566     $ 154,375,883  
     
    $ 13,282,715     $ 11,514,693     $ 296,193     $ (331,587 )
     
The accompanying notes are an integral part of these financial statements. 
53


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements
October 31, 2007
1. ORGANIZATION
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”) as an open-end management investment company. The Trust includes the Goldman Sachs Global Income Fund (“Global Income”), Goldman Sachs High Yield Fund (“High Yield”) and Goldman Sachs Emerging Markets Debt Fund (“Emerging Markets Debt”) (collectively, the “Funds” or individually a “Fund”). High Yield is a diversified portfolio of the Trust whereas Global Income and Emerging Markets Debt are registered as non-diversified portfolios. Global Income and High Yield offer five classes of shares — Class A, Class B, Class C, Institutional and Service. Emerging Markets Debt offers three classes of shares — Class A, Class C and Institutional. Class A shares of the Funds are sold with front-end sales charges of up to 4.50%. Class B shares of Global Income and High Yield are sold with contingent deferred sales charges that decline from 5.00% to zero, depending upon the period of time the shares are held. Class C shares of the Funds have a contingent deferred sales charge of 1% during the first 12 months. Institutional Class shares of the Funds, and Service Class Shares of Global Income and High Yield, are not subject to a sales charge. Goldman, Sachs & Co. (“Goldman Sachs”), as distributor of the Funds receives such sales charges of which a certain portion may be retained.
     High Yield invests primarily in non-investment grade fixed income securities, which are considered speculative by traditional investment standards. Non-investment grade fixed-income securities and unrated securities of comparable credit quality (commonly known as “junk bonds”) are subject to the increased risk of an issuer’s inability to meet principal and interest payment obligations. These securities, also referred to as high yield securities, may be subject to greater price volatility due to such factors as specific corporate or municipal developments, interest rate sensitivity, negative perceptions of the junk bond markets generally and less secondary market liquidity.
     Emerging Markets Debt and Global Income invest in securities of foreign companies and foreign governments which involves special risks including, but not limited to, the possibility of future political and economic developments that could adversely affect the value of such securities. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid, and their prices more volatile, than those of comparable U.S. companies and the United States government. In addition, Emerging Markets Debt invests in the sovereign debt obligations of countries that are considered emerging markets countries at the time of purchase. Therefore, the Fund is susceptible to governmental factors and economic developments that may adversely affect the economies of these emerging markets countries. In addition, these debt obligations may be less liquid and subject to greater volatility than debt obligations of more developed countries. Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and have delayed settlements, and their prices may be more volatile than those of comparable securities in the United States.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.
A. The Funds’ investments for which market quotations are readily available are valued at market value on the basis of quotations furnished by a pricing service or provided by securities dealers. If accurate quotations are not readily available, or if the Investment Adviser believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures established by the Trustees. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value.
     In addition, the Investment Adviser, consistent with applicable regulatory guidance, may determine to make an adjustment to the previous closing prices of either domestic or foreign securities where permissible in light of significant events, to reflect what is believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant
54


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in foreign markets; market disruptions or market closings; governmental actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements on earnings; significant litigation; and regulatory news such as governmental approvals.
B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Interest income is recorded on the basis of interest accrued, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, premium amortized and discount accreted. Dividend income is recorded on the ex-dividend date (net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds). In addition, it is the Funds’ policy to accrue for estimated capital gains taxes in foreign securities held by the Funds, which are subject to such taxes. Net investment income (other than class specific expenses) and unrealized and realized gains or losses are allocated daily to each class of shares of the respective Fund based upon the relative proportion of net assets of each class.
     Certain mortgage security paydown gains and losses are recorded as interest income (loss) and are included in interest income in the accompanying Statements of Operations. Original issue discounts (OID) on debt securities are accreted to interest income over the life of the security with a corresponding increase in the cost basis of that security. Market discounts and market premiums on debt securities are accreted/amortized to interest income over the expected life of the security with a corresponding adjustment in the cost basis of that security.
C. 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 and/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. Service Shares bear all expenses and fees relating to their Service and Shareholder Administration Plans. Each class of shares of the Funds separately bears its respective class-specific Transfer agency fees.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income distributions for High Yield and Emerging Markets Debt are declared daily and paid monthly. Income distributions for Global Income are declared and paid monthly. Capital gain distributions, if any, are declared and paid annually for the Funds. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from U.S. generally accepted accounting principles. Therefore, the source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain, or as a tax return of capital.
E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.
     Net realized and unrealized gain (loss) on foreign currency transactions will represent: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment securities transactions and forward exchange contracts; and (iii) gains and losses from the difference between
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2007
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on securities and derivative instruments are not segregated in the Statements of Operations from the effects of changes in market prices of those securities and derivative instruments, but are included with the net realized and unrealized gain (loss) on securities and derivative instruments. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases and decreases in unrealized gain (loss) on foreign currency related transactions.
F. Forward Foreign Currency Exchange Contracts — The Funds may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Funds 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 resulting unrealized gains or losses are recorded in the Fund’s 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 delivery 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.
     The contractual amounts of forward foreign currency contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. At October 31, 2007, the Funds had segregated sufficient cash and/or securities to cover any commitments under these contracts.
G. Forward Sales Contracts — The Funds may enter into forward security sales of mortgage-backed securities in which the Funds sell securities in the current month for delivery of securities defined by pool stipulated characteristics on a specified future date. The value of the contract is recorded as an asset and a liability on the Fund’s records with the difference between its market value and expected cash proceeds recorded as an unrealized gain or loss. Gains or losses are realized upon delivery of the security sold.
H. Futures Contracts — The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, Funds are required to segregate 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, dependent on the 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 involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. This risk may decrease the effectiveness of the Funds’ strategies and potentially result in a loss.
I. Options — The Funds may write and/or purchase call and put options on futures, currencies, securities or any securities index consisting of securities in which the Funds may invest. When the Funds write call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current market value of the option written. Options on a future may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. 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 future, security or currency transaction, and the liability 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 future security or currency transaction, and the proceeds of the sale are increased by the premium originally received. When a
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
written put option is exercised, the amount of the premium originally received will reduce the cost of the future, security or currency transaction 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.
     Upon the purchase of a call option or a put option by the Funds, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current market value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. 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 enter 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 purchased put option, the Funds will realize a gain or loss from the sale of the underlying future, security, or currency transaction, 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 future, security or currency transaction which the Funds purchase upon exercise will be increased by the premium originally paid. Purchased over-the-counter options are subject to the risk that the counterparty may default on its obligations, which could result in a loss to a Fund.
J. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.
     Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other registered investment companies having management or investment advisory agreements with Goldman Sachs Asset Management, L.P. (“GSAM”), or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. In addition, the Funds’ credit exposure is allocated to the underlying repurchase counterparties on a pro-rata basis. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.
K. Segregation Transactions — The Funds may enter into certain derivative or other transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, swap contracts, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds are required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.
L. Swap Contracts — The Funds may enter into swap transactions for hedging purposes or to seek to increase total return. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net payment to be received by the Funds, and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market, liquidity, elements of credit, legal and documentation risk in excess of amounts recognized in the Statements of Assets and Liabilities. The Funds may invest in the following type of swaps:
     An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices, rates or indices for a specified amount of an underlying asset or notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
     A total return swap is an agreement that gives the Fund the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2007
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
rate. If the underlying asset declines in value over the term of the swap, the Fund may also be required to pay the dollar value of that decline to the counterparty.
     Credit default swap agreements involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, typically a corporate issuer on its obligation. A Fund may use credit default swaps to provide a measure of protection against defaults of a corporate issuer or to take an active long or short position with respect to the likelihood of a particular issuer’s default. As a seller of protection, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. If the Fund enters into a buy contract and no credit event occurs, its exposure is limited to the periodic payments previously made to the counterparty. In addition, if the Fund enters into a sale contract and a credit event occurs, the value of the referenced obligation received by the Fund reduced by the periodic payments previously received may be less than the maximum payout amount it pays to the counterparty, resulting in a loss to the Fund.
     Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or models prices and the change in value, if any, is recorded as unrealized gain or loss in the Statements of Operations. Upfront payments made and/or received by the Funds are recorded as an asset and/or liability on the Statements of Assets and Liabilities and are only recorded as a realized gain or loss ratably over the contract’s term/event with the exception of forward starting interest rate swaps which are recorded as realized gains or losses on termination date. Periodic payments received or made on swap contracts are recorded as realized gain or loss on the Statements of Operations. Gains or losses are also realized upon early termination of the swap agreements or, with respect to credit default swaps, when a credit event occurs and recorded as realized gains from swaps on the Statements of Operations.
M. Treasury Inflation-Protected Securities — The Funds may invest in Treasury Inflation-Protected Securities (TIPS), specially structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers (“CPIU”). The adjustments to principle due to inflation are reflected as interest income on the Statements of Operations. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
N. Structured Notes — The Funds may invest in structured notes whose values are based on the price movements of a reference security or index. The value of these structured notes will rise and fall in response to changes in the reference security or index. On termination date of each structured note, the Funds will receive a payment from a counterparty based on the value of the referenced security (notional multiplied by price of the referenced security) and record a realized gain or loss. These structured notes are subject to credit and interest rate risks.
O. Redemption Fees — Redemption fees are reimbursed to the Fund and reflected as a reduction in share redemptions on the Statements of Changes in Net Assets. Redemption fees are credited to Paid-in capital and are allocated to each share class of the Fund on a pro-rata basis.
3. AGREEMENTS
A. Management Agreement — GSAM, an affiliate of Goldman Sachs, serves as investment adviser pursuant to a Management Agreement with the Trust on behalf of High Yield and Emerging Markets Debt, and Goldman Sachs Asset Management International (“GSAMI”), an affiliate of GSAM and Goldman Sachs, serves as investment adviser pursuant to the Management Agreement with the Trust on behalf of Global Income. Under the Agreement, the respective investment adviser manages the Funds, subject to the general supervision of the Trust’s Board of Trustees.
     As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Funds’ business affairs, including providing facilities, the investment advisers are entitled to a fee
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
3. AGREEMENTS (continued)
(“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
     For the year ended October 31, 2007, the Funds’ management fees as an annual percentage rate of average daily net assets were as follows:
                                 
    Contractual Management Rate
     
    Up to   Next   Over   Effective
Fund   $1 Billion   $1 Billion   $2 Billion   Rate
 
Global Income
    0.65 %     0.59 %     0.56 %     0.64 %
 
High Yield
    0.70       0.70       0.63       0.68  
 
Emerging Markets Debt
    0.80       0.80       0.72       0.80  
 
B. Distribution Agreement and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs and/or authorized dealers are entitled to a monthly fee for distribution services which may not exceed, on an annual basis, 0.25% and 0.75% of the average daily net assets attributable to Emerging Markets Debt Class A and Class C Shares, respectively, and 0.25%, 0.75% and 0.75% of the average daily net assets attributable to Class A, Class B and Class C Shares, respectively, of Global Income and High Yield. Additionally, Goldman Sachs and/or authorized dealers are entitled to receive, under the Plans, a separate fee for personal and account maintenance services equal to, on an annual basis, 0.25% of the average daily net assets attributable to Class B and Class C Shares of Global Income and High Yield and Class C Shares of Emerging Markets Debt.
     Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement. Goldman Sachs may retain a portion of the Class A sales load and Class B and Class C contingent deferred sales charges. During the year ended October 31, 2007 Goldman Sachs advised the Funds that it retained the following approximate amounts:
                         
    Front End   Contingent Deferred
    Sales Load   Sales Charge
         
Fund   Class A   Class B   Class C
 
Global Income
  $ 10,600     $     $  
 
High Yield
    343,500       100       1,300  
 
Emerging Markets Debt
    12,700       N/A        
 
     All shares of the Funds charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less (60 calendar days or less in the case of High Yield). For this purpose, the Funds use a first-in first-out (“FIFO”) method so that shares held longest will be treated as being redeemed first and shares held shortest will be treated as being redeemed last. Redemption fees are reimbursed to the Funds and reflected as a reduction in share redemptions on the Statements of Changes in Net Assets. Redemption fees are credited to Paid in Capital and are allocated to each share class of a Fund on a pro rata basis.
C. Transfer Agency Agreement — Goldman Sachs serves as Transfer Agent of the Funds. The Fees charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.13% of the average daily net assets for Class A and Class C Shares of the Funds and Class B (Global Income and High Yield only) Shares, and 0.04% of the average daily net assets for Institutional and Service shares (Global Income and High Yield only). Prior to July 2, 2007 this fee as a percentage of the average daily net assets was 0.16% for Class A, Class B and Class C Shares.
D. Service Plan and Shareholder Administration Plan — The Trust, on behalf of Global Income and High Yield, has adopted a Service Plan and Shareholder Administration Plan for Service Shares. These plans allow for Service Shares to
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2007
3. AGREEMENTS (continued)
compensate service organizations for providing varying levels of personal and account administration and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations in an amount equal to, on an annual basis, 0.25% of the average daily net assets of the Service Shares.
E. Other Agreements — Each investment adviser has voluntarily agreed to limit certain “Other Expenses” of the Funds (excluding Management fees, Distribution and Service fees, Transfer agency fees and expenses, Service Share fees, taxes, interest, brokerage fees and litigation, indemnification, shareholder meeting and other extraordinary expenses exclusive of any custody and transfer agent expense reductions) to the extent that such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse their respective investment advisers for prior fiscal year expense reimbursements, if any.
     For the year ended October 31, 2007, as an annual percentage rate of average daily net assets, the Other Expense limitations of Global Income, High Yield and Emerging Markets Debt were 0.004%, 0.024%, and 0.044%, respectively. For the year ended October 31, 2007, GSAM and GSAMI have voluntarily agreed to reimburse other expenses. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction of the Funds’ expenses. These expense reductions were as follows (in thousands):
                                 
        Expense Credits    
             
    Other Expense   Custody   Transfer   Total Expense
Fund   Reimbursement   Fee   Agent Fee   Reductions
 
Global Income
  $ 725     $ 53     $ 16     $ 794  
 
High Yield
    371       147       92       610  
 
Emerging Markets Debt
    262       45       4       311  
 
     As of October 31, 2007, the amounts owed to affiliates of the Trust were as follows (in thousands):
                                 
    Management   Distribution   Transfer    
Fund   Fees   and Service Fees   Agent Fees   Total
 
Global Income
  $ 763     $ 84     $ 75     $ 922  
 
High Yield
    2,054       570       274       2,898  
 
Emerging Markets Debt
    181       18       15       214  
 
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
4. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the year ended October 31, 2007, was as follows:
                                 
            Sales and Maturities   Sales and Maturities
    Purchases of U.S.   Purchases (Excluding   of U.S. Government   (Excluding U.S.
    Government and Agency   U.S. Government and   and Agency   Government and
Fund   Obligations   Agency Obligations)   Obligations   Agency Obligations)
 
Global Income
  $ 868,017,441     $ 976,464,602     $ 621,129,170     $ 758,163,281  
 
High Yield
          2,192,527,070             1,485,635,971  
 
Emerging Markets Debt
    2,700,219       257,995,171             158,804,375  
 
5. SECURITIES LENDING
Securities Lending — The Funds may lend their securities through a securities lending agent, State Street Securities Finance (“SSSF”). In accordance with the Funds’ security lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, in accordance with the Funds’ valuation policies or, if applicable, by the valuation procedures established by the Trust’s Board of Trustees, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds bear the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
     The Funds invest the cash collateral received in connection with securities lending transactions in the Securities Lending Quality Trust, a New Hampshire investment trust. The Securities Lending Quality Trust is exempt from registration under Section 3(c)(7) of the Act and is managed by State Street Global Advisors (“SSgA”). The Securities Lending Quality Trust is managed consistently with the objectives of providing liquidity and preserving capital while investing in high-quality instruments and offering competitive returns. The Funds bear the risk of incurring a loss from the investment of cash collateral due to either credit or market factors. Both the Funds and SSSF receive compensation relating to the lending of the Funds’ securities. The amount earned by the Funds for the year ended October 31, 2007 is reported parenthetically under investment income on the Statements of Operations.
6. LINE OF CREDIT FACILITY
The Funds participate in a $450,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other registered investment companies having management or investment advisory agreements with GSAM, GSAMI or affiliates. Under the most restrictive arrangement under the facility, each Fund must own securities having a market value in excess of 300% of each Fund’s total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate plus a spread. The committed facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the year ended October 31, 2007, the Funds did not have any borrowings under the facility.
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2007
7. TAX INFORMATION
The tax character of distributions paid during the fiscal year ended October 31, 2007 was as follows:
                           
            Emerging
    Global Income   High Yield   Markets Debt
 
Distributions paid from:
                       
Ordinary Income
  $ 37,336,972     $ 247,346,472     $ 13,856,163  
Net long-term capital gains
                604,032  
 
 
Total taxable distributions
  $ 37,336,972     $ 247,346,472     $ 14,460,195  
Total return on capital
    4,152,505              
 
     The tax character of distributions paid during the fiscal year ended October 31, 2006 was as follow
                           
    Global       Emerging
    Income   High Yield   Markets Debt
 
Distributions paid from:
                       
Ordinary Income
  $ 27,699,423     $ 172,076,272     $ 9,553,421  
Net long-term capital gains
                312,511  
 
 
Total taxable distributions
  $ 27,699,423     $ 172,076,272     $ 9,865,932  
Total return on capital
    1,833,881              
 
     As of October 31, 2007, the components of accumulated earnings (losses) on a tax basis were as follows:
                           
            Emerging Markets
    Global Income   High Yield   Debt
 
Undistributed ordinary income — net
  $     $ 17,985,851     $ 2,462,052  
Undistributed long-term capital gains
                1,355,664  
 
 
Total undistributed earnings
  $     $ 17,985,851     $ 3,817,716  
 
Capital loss carryforward:*
                       
Expiring 2008
  $     $ (1,850,805 )   $  
Expiring 2009
          (11,007,057 )      
Expiring 2010
    (9,424,838 )     (3,471,539 )      
Expiring 2011
    (28,737,453 )     (1,975,923 )      
Expiring 2012
    (1,611,665 )            
Expiring 2014
    (3,390,508 )     (8,291,304 )      
 
Total capital loss carryforward†
  $ (43,164,464 )   $ (26,596,628 )   $  
 
Timing differences (deferred straddle losses, taxable interest on defaulted securities and income distribution payable)
  $ (23,301,275 )   $ (4,703,136 )   $ (676,824 )
Unrealized gains — net
    52,461,335       7,287,231       7,126,046  
 
 
Total accumulated earnings (losses) — net
  $ (14,004,404 )   $ (6,026,682 )   $ 10,266,938  
 
*   Expiration occurs on October 31 of the year indicated. Due to Fund mergers, utilization of these losses may be substantially limited under the Code.
†   The Global Income and High Yield Funds utilized $16,830,535 and $1,240,193, respectively, of capital losses in the current fiscal year.
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7. TAX INFORMATION (continued)
     At October 31, 2007, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
                         
            Emerging Markets
    Global Income   High Yield   Debt
 
Tax Cost
  $ 1,792,237,600     $ 3,628,476,396     $ 261,641,214  
 
Gross unrealized gain
    64,128,021       110,871,185       9,699,743  
Gross unrealized loss
    (11,164,981 )     (104,269,430 )     (3,432,275 )
 
Net unrealized security gain
  $ 52,963,040     $ 6,601,755     $ 6,267,468  
Net unrealized gain (loss) on other investment
    (501,705 )     685,476       858,578  
 
Net unrealized gain
  $ 52,461,335     $ 7,287,231     $ 7,126,046  
 
     The difference between book and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on Section 1256 futures and foreign currency contracts recognized for tax purposes and differences related to the tax treatment of partnership investments and market premium amortization.
     In order to present certain components of the Funds’ capital accounts on a tax basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds. Reclassifications result primarily from the differing book/tax treatments for foreign currency transactions, swap transactions, certain consent fee payments, taxable overdistributions, paydown losses and capital loss carryforwards assumed in the reorganization described in Footnote 8.
                         
            Accumulated net
            realized
        Accumulated   gain (loss) on
    Paid-in   undistributed net   investment
Fund   capital   investment income   transactions
 
Global Income
  $ (16,754,638 )   $ (6,365,538 )   $ 23,120,176  
 
High Yield
    16,455,242       5,416,567       (21,871,809 )
 
Emerging Markets Debt
          518,129       (518,129 )
 
8. OTHER MATTERS
The following Goldman Sachs Asset Allocation Portfolios were beneficial owners of the Funds as of October 31, 2007 with amounts of 5% or greater (as a percentage of outstanding Institutional Shares) as follows:
                         
    Goldman Sachs   Goldman Sachs   Goldman Sachs
    Balanced   Growth Strategy   Growth and Income
Fund   Strategy Portfolio   Portfolio   Strategy Portfolio
 
Global Income
    6.4 %     26.3 %     66.0 %
 
Emerging Markets Debt
    5.5 %     26.7 %     46.7 %
 
High Yield
          5.8 %     9.2 %
 
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GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2007
8. OTHER MATTERS (continued)
Mergers and Reorganizations — At a meeting held on November 9, 2006, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (“the Reorganization Agreement”) providing for the tax-free acquisition of the AXA Enterprise High-Yield Bond Fund by High Yield Fund. The acquisition was completed on June 25, 2007, as of the close of business on June 22, 2007.
     Pursuant to the Reorganization Agreement, the assets and liabilities of the AXA Enterprise High-Yield Bond Fund’s (“Acquired Fund”) Class A, Class B, Class C and Class Y were transferred into the High Yield Fund’s (“Survivor Fund”) Class A, Class B, Class C and Institutional Class, respectively, in a tax-free exchange as follows:
                         
    Exchanged Shares       Acquired Fund’s
    of Survivor   Value of   Shares Outstanding
Survivor/Acquired Fund   Issued   Exchanged Shares   as of June 22, 2007
 
High Yield Class A/AXA Enterprise High-Yield Bond Class A
    8,370,809     $ 68,222,384       7,030,741  
 
High Yield Class B/AXA Enterprise High-Yield Bond Class B
    4,327,921       35,359,057       3,647,903  
 
High Yield Class C/AXA Enterprise High-Yield Bond Class C
    2,322,931       18,955,171       1,956,052  
 
High Yield Institutional Class/AXA Enterprise High-Yield Bond Class Y
    1,116,820       9,113,231       938,668  
 
     The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation and capital loss carryforwards. Utilization of the Acquired Fund’s capital loss carryforward may be limited under the Code.
                                         
            Survivor        
        Acquired   Fund’s        
    Survivor Fund’s   Fund’s   Aggregate        
    Aggregate   Aggregate   Net Assets   Acquired   Acquired
    Net Assets   Net Assets   Immediately   Fund’s   Fund’s
    before   before   after   Unrealized   Capital Loss
Survivor/Acquired Fund   acquisition   acquisition   acquisition   Appreciation   Carryforward
 
High Yield/AXA Enterprise High-Yield Bond
  $ 3,315,990,233     $ 131,649,843     $ 3,447,640,076     $ 1,226,239     $ (16,622,835 )
 
New Accounting Pronouncements — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48, “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows implementing FIN 48 in Fund net asset value calculations as late as the Funds’ last net asset value calculation in the first required financial statement reporting period. As a result, the Funds will incorporate the impact of FIN 48, if any, in their April 30, 2008 semiannual report. GSAM does not expect FIN 48 to have a material effect on the Funds’ financial statements. However, as analysis is on-going, the assessment regarding FIN 48 may be subject to review and adjustment.
     On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157, “Fair Value Measurement” (“FAS 157”), which provides enhanced guidance for using fair value to measure assets and liabilities. FAS 157 requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations of an entity’s financial performance. FAS 157 does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective
64


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
8. OTHER MATTERS (continued)
for financial statements issued for fiscal years beginning after November 15, 2007. GSAM does not believe the adoption of FAS 157 will impact the amounts reported in the financial statements; however, additional disclosures will be required.
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
On December 14, 2006, the Board of Trustees of the Trust, upon the recommendation of the Board’s audit committee, determined not to retain Ernst & Young LLP and approved a change of the Funds’ independent registered public accounting firm to PricewaterhouseCoopers LLP. For the years ended October 31, 2006 and October 31, 2005, Ernst & Young LLP’s audit reports contained no adverse opinion or disclaimer of opinion; nor were their reports qualified or modified as to uncertainty, audit scope, or accounting principles. Further, there were no disagreements between the Funds and Ernst & Young LLP on accounting principles or practices, financial statement disclosure or audit scope or procedures, which if not resolved to the satisfaction of Ernst & Young LLP would have caused them to make reference to the disagreement in their reports.
10. SUBSEQUENT EVENT
On December 13, 2007, the Board of Trustees of the Trust approved a change of the Funds’ fiscal year end from October 31 to March 31, for fiscal year 2008.
65


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Notes to Financial Statements (continued)
October 31, 2007
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
                                 
    Global Income Fund
     
    For the Year Ended   For the Year Ended
    October 31, 2007   October 31, 2006
         
    Shares   Dollars   Shares   Dollars
 
Class A Shares
                               
Shares sold
    15,075,138     $ 192,152,271       11,905,993     $ 151,347,777  
Shares issued in connection with merger
                       
Reinvestment of dividends and distributions
    699,165       8,922,506       773,632       9,933,914  
Shares converted from Class B
    70,217       895,407       48,774       632,232  
Shares repurchased
    (10,589,392 )     (135,013,641 )     (5,984,030 )     (76,641,869 )
 
      5,255,128       66,956,543       6,744,369       85,272,054  
 
Class B Shares
                               
Shares sold
    45,674       581,353       60,972       777,498  
Shares issued in connection with merger
                       
Reinvestment of dividends and distributions
    19,021       241,780       70,664       906,495  
Shares converted to Class A
    (70,504 )     (895,407 )     (48,983 )     (632,232 )
Shares repurchased
    (525,606 )     (6,681,886 )     (567,097 )     (7,247,692 )
 
      (531,415 )     (6,754,160 )     (484,444 )     (6,195,931 )
 
Class C Shares
                               
Shares sold
    155,547       1,978,412       178,494       2,271,072  
Shares issued in connection with merger
                       
Reinvestment of dividends and distributions
    7,386       93,740       20,674       264,555  
Shares repurchased
    (297,209 )     (3,767,219 )     (289,164 )     (3,733,311 )
 
      (134,276 )     (1,695,067 )     (89,996 )     (1,197,684 )
 
Institutional Shares
                               
Shares sold
    56,619,606       719,904,481       36,969,936       469,268,400  
Shares issued in connection with merger
                       
Reinvestment of dividends and distributions
    2,483,178       31,656,557       1,239,946       15,852,486  
Shares repurchased
    (21,115,181 )     (270,026,669 )     (8,003,654 )     (103,261,990 )
 
      37,987,603       481,534,369       30,206,228       381,858,896  
 
Service Shares
                               
Shares sold
    5,127       65,135       3,630       46,803  
Reinvestment of dividends and distributions
    274       3,494       722       9,271  
Shares repurchased
    (10,482 )     (133,134 )     (5,170 )     (65,607 )
 
      (5,081 )     (64,505 )     (818 )     (9,533 )
 
NET INCREASE
    42,571,959     $ 539,977,180       36,375,339     $ 459,727,802  
 
(a)  Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund.
(b)  Less than 0.5 shares.
66


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
 
 
                                                                 
    High Yield Fund   Emerging Markets Debt Fund
 
    For the Year Ended   For the Year Ended   For the Year Ended   For the Year Ended
    October 31, 2007   October 31, 2006   October 31, 2007   October 31, 2006
 
    Shares   Dollars   Shares   Dollars   Shares   Dollars   Shares   Dollars
 
 
      96,811,653     $ 784,743,576       84,785,341     $ 672,552,166       4,353,597     $ 52,317,508       6,562,901     $ 77,214,520  
      8,370,809       68,222,384                                      
      12,888,183       103,737,100       8,605,618       68,277,260       369,563       4,425,421       348,525       4,045,052  
      393,525       3,149,357       358,760       2,837,177                          
      (67,997,624 )     (547,222,326 )     (49,060,035 )     (388,283,776 )     (3,548,141 )     (42,424,740 )     (4,049,208 )     (46,991,805 )
 
      50,466,546       412,630,091       44,689,684       355,382,827       1,175,019       14,318,189       2,862,218       34,267,767  
 
 
      1,658,242       13,495,012       2,017,511       16,010,287                          
      4,327,921       35,359,057                                      
      653,818       5,261,142       590,917       4,691,601                          
      (392,852 )     (3,149,357 )     (358,307 )     (2,837,177 )                        
      (3,681,580 )     (29,577,301 )     (3,609,924 )     (28,608,623 )                        
 
      2,565,549       21,388,553       (1,359,803 )     (10,743,912 )                        
 
 
      5,101,822       41,491,709       4,194,002       33,221,422       82,909       985,311       124       1,462  
      2,322,931       18,955,171                                      
      594,235       4,781,271       436,524       3,462,905       807       9,614       (b)     5  
      (4,268,770 )     (34,240,044 )     (2,661,355 )     (21,059,692 )     (1,885 )     (22,264 )            
 
      3,750,218       30,988,107       1,969,171       15,624,635       81,831       972,661       124       1,467  
 
 
      111,403,467       900,996,513       85,609,899       679,637,335       9,558,691       114,673,029       4,525,781       52,753,199  
      1,116,820       9,113,231                                      
      10,066,461       81,175,867       6,890,895       54,750,060       740,538       8,868,292       424,776       4,938,988  
      (76,426,912 )     (619,115,202 )     (36,928,796 )     (293,121,131 )     (1,924,964 )     (22,990,871 )     (1,340,699 )     (15,166,538 )
 
      46,159,836       372,170,409       55,571,998       441,266,264       8,374,265       100,550,450       3,609,858       42,525,649  
 
 
      777,362       6,265,241       197,698       1,563,225                          
      35,411       283,776       11,607       92,068                          
      (123,655 )     (998,930 )     (42,888 )     (339,217 )                        
 
      689,118       5,550,087       166,417       1,316,076                          
 
      103,631,267     $ 842,727,247       101,037,467     $ 802,845,890       9,631,115     $ 115,841,300       6,472,200     $ 76,794,883  
 
67


 

GOLDMAN SACHS GLOBAL INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
                                                                 
            Income (loss) from   Distributions    
            investment operations   to shareholders    
                     
        Net asset            
        value,   Net   Net realized   Total from   From net        
        beginning   investment   and unrealized   investment   investment   From   Total    
    Year - Share Class   of year   income(a)   gain (loss)   operations   income   Capital   distributions    
 
    FOR THE YEARS ENDED OCTOBER 31,
 
    2007 - A   $ 12.74     $ 0.37     $ 0.20     $ 0.57     $ (0.34 )   $ (0.04 )   $ (0.38 )    
    2007 - B     12.70       0.27       0.19       0.46       (0.25 )     (0.03 )     (0.28 )    
    2007 - C     12.67       0.27       0.20       0.47       (0.25 )     (0.03 )     (0.28 )    
    2007 - Institutional     12.73       0.42       0.18       0.60       (0.38 )     (0.04 )     (0.42 )    
    2007 - Service     12.71       0.35       0.20       0.55       (0.32 )     (0.04 )     (0.36 )    
     
    2006 - A     13.25       0.34       (0.09 )     0.25       (0.71 )     (0.05 )     (0.76 )    
    2006 - B     13.20       0.24       (0.08 )     0.16       (0.62 )     (0.04 )     (0.66 )    
    2006 - C     13.18       0.24       (0.09 )     0.15       (0.62 )     (0.04 )     (0.66 )    
    2006 - Institutional     13.23       0.38       (0.07 )     0.31       (0.76 )     (0.05 )     (0.81 )    
    2006 - Service     13.22       0.32       (0.08 )     0.24       (0.70 )     (0.05 )     (0.75 )    
     
    2005 - A     13.65       0.32       0.28       0.60       (1.00 )           (1.00 )    
    2005 - B     13.61       0.22       0.27       0.49       (0.90 )           (0.90 )    
    2005 - C     13.58       0.22       0.28       0.50       (0.90 )           (0.90 )    
    2005 - Institutional     13.64       0.37       0.28       0.65       (1.06 )           (1.06 )    
    2005 - Service     13.63       0.30       0.28       0.58       (0.99 )           (0.99 )    
     
    2004 - A     14.39       0.36       0.19       0.55       (1.29 )           (1.29 )    
    2004 - B     14.34       0.28       0.19       0.47       (1.20 )           (1.20 )    
    2004 - C     14.32       0.28       0.18       0.46       (1.20 )           (1.20 )    
    2004 - Institutional     14.37       0.43       0.20       0.63       (1.36 )           (1.36 )    
    2004 - Service     14.36       0.37       0.19       0.56       (1.29 )           (1.29 )    
     
    2003 - A     14.34       0.46       0.32       0.78       (0.73 )           (0.73 )    
    2003 - B     14.30       0.39       0.30       0.69       (0.65 )           (0.65 )    
    2003 - C     14.27       0.38       0.32       0.70       (0.65 )           (0.65 )    
    2003 - Institutional     14.33       0.56       0.30       0.86       (0.82 )           (0.82 )    
    2003 - Service     14.31       0.49       0.31       0.80       (0.75 )           (0.75 )    
     
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption changes. Total return would be reduced if a sales or redemption charge were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares.
 The accompanying notes are an integral part of these financial statements.
68


 

GOLDMAN SACHS GLOBAL INCOME FUND
                                                                     
                        Ratios assuming no        
                        expense reductions        
                                 
                    Ratio of       Ratio of        
            Net assets,   Ratio of   net investment   Ratio of   net investment        
    Net asset       end of   net expenses   income   total expenses   income   Portfolio    
    value, end   Total   year   to average   to average   to average   to average   turnover    
    of year   return(b)   (in 000s)   net assets   net assets   net assets   net assets   rate    
 
     
 
    $ 12.93       4.46 %   $ 324,537       1.04 %     2.92 %     1.10 %     2.86 %     116 %    
      12.88       3.59       11,127       1.79       2.13       1.85       2.07       116      
      12.86       3.69       5,282       1.79       2.13       1.85       2.07       116      
      12.91       4.76       1,089,450       0.68       3.30       0.74       3.24       116      
      12.90       4.31       376       1.18       2.75       1.24       2.69       116      
 
      12.74       2.07       252,962       1.05       2.63       1.17       2.51       97      
      12.70       1.36       17,716       1.80       1.89       1.93       1.76       97      
      12.67       1.28       6,908       1.80       1.89       1.93       1.76       97      
      12.73       2.53       590,541       0.68       3.00       0.80       2.88       97      
      12.71       1.93       435       1.18       2.51       1.31       2.38       97      
 
      13.25       4.56       173,712       1.08       2.36       1.32       2.12       137      
      13.20       3.72       24,819       1.83       1.61       2.07       1.37       137      
      13.18       3.80       8,370       1.83       1.61       2.07       1.37       137      
      13.23       4.90       214,410       0.69       2.70       0.91       2.48       137      
      13.22       4.38       463       1.19       2.26       1.43       2.02       137      
 
      13.65       4.01       168,340       1.25       2.60       1.67       2.18       109      
      13.61       3.47       31,252       1.84       2.00       2.26       1.58       109      
      13.58       3.40       8,463       1.84       2.01       2.26       1.59       109      
      13.64       4.66       117,471       0.69       3.12       1.11       2.70       109      
      13.63       4.13       470       1.19       2.65       1.61       2.23       109      
 
      14.39       5.45       224,553       1.35       3.15       1.74       2.76       106      
      14.34       4.87       37,118       1.85       2.64       2.24       2.25       106      
      14.32       4.96       11,238       1.85       2.64       2.24       2.25       106      
      14.37       6.07       90,368       0.70       3.82       1.09       3.43       106      
      14.36       5.61       609       1.20       3.37       1.59       2.98       106      
 
The accompanying notes are an integral part of these financial statements. 69


 

GOLDMAN SACHS HIGH YIELD FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
                                                 
            Income (loss) from        
            investment operations        
                Distributions    
        Net asset       to shareholders    
        value,   Net   Net realized   Total from   from net    
        beginning   investment   and unrealized   investment   investment    
    Year - Share Class   of year   income(a)   gain (loss)   operations   income    
 
    FOR THE YEARS ENDED OCTOBER 31,
 
    2007 - A   $ 8.04     $ 0.60     $ (0.10 )   $ 0.50     $ (0.61 )    
    2007 - B     8.05       0.54       (0.10 )     0.44       (0.55 )    
    2007 - C     8.04       0.54       (0.10 )     0.44       (0.55 )    
    2007 - Institutional     8.05       0.63       (0.10 )     0.53       (0.64 )    
    2007 - Service     8.03       0.59       (0.10 )     0.49       (0.60 )    
     
    2006 - A     7.81       0.58       0.23       0.81       (0.58 )    
    2006 - B     7.82       0.53       0.22       0.75       (0.52 )    
    2006 - C     7.81       0.53       0.22       0.75       (0.52 )    
    2006 - Institutional     7.82       0.61       0.23       0.84       (0.61 )    
    2006 - Service     7.80       0.57       0.23       0.80       (0.57 )    
     
    2005 - A     8.08       0.62       (0.22 )     0.40       (0.67 )    
    2005 - B     8.09       0.56       (0.22 )     0.34       (0.61 )    
    2005 - C     8.08       0.56       (0.22 )     0.34       (0.61 )    
    2005 - Institutional     8.09       0.65       (0.21 )     0.44       (0.71 )    
    2005 - Service     8.09       0.62       (0.24 )     0.38       (0.67 )    
     
    2004 - A     7.79       0.65       0.32       0.97       (0.68 )    
    2004 - B     7.80       0.60       0.31       0.91       (0.62 )    
    2004 - C     7.79       0.60       0.31       0.91       (0.62 )    
    2004 - Institutional     7.81       0.69       0.30       0.99       (0.71 )    
    2004 - Service     7.80       0.65       0.31       0.96       (0.67 )    
     
    2003 - A     6.38       0.65       1.40       2.05       (0.64 )    
    2003 - B     6.39       0.60       1.39       1.99       (0.58 )    
    2003 - C     6.38       0.59       1.40       1.99       (0.58 )    
    2003 - Institutional     6.39       0.68       1.41       2.09       (0.67 )    
    2003 - Service     6.39       0.64       1.40       2.04       (0.63 )    
     
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption changes. Total return would be reduced if a sales or redemption charge were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares.
 The accompanying notes are an integral part of these financial statements.
70


 

GOLDMAN SACHS HIGH YIELD FUND
                                                                     
                        Ratios assuming no        
                        expense reductions        
                                 
                    Ratio of       Ratio of        
            Net assets,   Ratio of   net investment   Ratio of   net investment        
    Net asset       end of   net expenses   income   total expenses   income   Portfolio    
    value, end   Total   year   to average   to average   to average   to average   turnover    
    of year   return(b)   (in 000s)   net assets   net assets   net assets   net assets   rate    
 
     
 
    $ 7.93       6.41 %   $ 1,777,150       1.09 %     7.46 %     1.11 %     7.44 %     50 %    
      7.94       5.61       115,817       1.84       6.72       1.86       6.70       50      
      7.93       5.61       119,073       1.84       6.71       1.86       6.69       50      
      7.94       6.79       1,646,138       0.73       7.82       0.75       7.80       50      
      7.92       6.28       8,399       1.24       7.34       1.26       7.32       50      
 
      8.04       10.76       1,395,265       1.12       7.38       1.14       7.36       41      
      8.05       9.93       96,743       1.87       6.64       1.89       6.62       41      
      8.04       9.94       90,528       1.87       6.64       1.89       6.62       41      
      8.05       11.16       1,296,429       0.75       7.76       0.77       7.74       41      
      8.03       10.63       2,980       1.25       7.26       1.27       7.24       41      
 
      7.81       5.10       1,006,734       1.15       7.74       1.17       7.72       52      
      7.82       4.31       104,637       1.90       6.98       1.92       6.96       52      
      7.81       4.32       72,590       1.90       6.95       1.92       6.93       52      
      7.82       5.50       825,508       0.76       8.11       0.79       8.08       52      
      7.80       4.72       1,597       1.26       7.62       1.29       7.59       52      
 
      8.08       12.94       1,109,364       1.16       8.31       1.18       8.29       47      
      8.09       12.09       105,106       1.91       7.54       1.93       7.52       47      
      8.08       12.10       56,174       1.91       7.53       1.93       7.51       47      
      8.09       13.23       832,175       0.76       8.73       0.78       8.71       47      
      8.09       12.81       1,160       1.26       8.18       1.28       8.16       47      
 
      7.79       33.34       1,821,032       1.17       8.97       1.19       8.95       54      
      7.80       32.31       97,894       1.92       8.25       1.94       8.23       54      
      7.79       32.36       46,812       1.92       8.21       1.94       8.19       54      
      7.81       33.98       1,119,417       0.77       9.42       0.79       9.40       54      
      7.80       33.16       958       1.27       8.86       1.29       8.84       54      
 
The accompanying notes are an integral part of these financial statements. 71


 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
                                                                 
            Income from   Distributions    
            investment operations   to shareholders    
                     
        Net asset            
        value,   Net   Net realized   Total from   From net   From net        
        beginning   investment   and unrealized   investment   investment   realized   Total    
    Year - Share Class   of year   income(a)   gain   operations   income   gains   distributions    
 
    FOR THE YEARS ENDED OCTOBER 31,
 
    2007 - A   $ 11.98     $ 0.63     $ 0.38     $ 1.01     $ (0.62 )   $ (0.21 )   $ (0.83 )    
    2007 - C     11.97       0.53       0.38       0.91       (0.53 )     (0.21 )     (0.74 )    
    2007 - Institutional     11.99       0.67       0.39       1.06       (0.67 )     (0.21 )     (0.88 )    
     
    2006 - A     11.75       0.60       0.69       1.29       (0.65 )     (0.41 )     (1.06 )    
    2006 - C (commenced September 29, 2006)     11.78       0.01       0.22       0.23       (0.04 )           (0.04 )    
    2006 - Institutional     11.76       0.64       0.69       1.33       (0.69 )     (0.41 )     (1.10 )    
     
    2005 - A     11.18       0.74       1.00       1.74       (0.64 )     (0.53 )     (1.17 )    
    2005 - Institutional     11.19       0.77       1.02       1.79       (0.69 )     (0.53 )     (1.22 )    
     
    2004 - A     10.22       0.59       0.97       1.56       (0.57 )     (0.03 )     (0.60 )    
    2004 - Institutional     10.23       0.62       0.98       1.60       (0.61 )     (0.03 )     (0.64 )    
     
    FOR THE PERIOD ENDED OCTOBER 31,
 
    2003 - A (commenced August 29, 2003)     10.00       0.08       0.26       0.34       (0.12 )           (0.12 )    
    2003 - Institutional (commenced August 29, 2003)     10.00       0.11       0.24       0.35       (0.12 )           (0.12 )    
     
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption changes. Total returns for periods less that one full year are not annualized. Total return would be reduced if a sales or redemption charge were taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of Fund shares.
(c)   Annualized.
 The accompanying notes are an integral part of these financial statements.
72


 

GOLDMAN SACHS EMERGING MARKETS DEBT FUND
                                                                     
                        Ratios assuming no        
                        expense reductions        
                                 
                    Ratio of       Ratio of        
            Net assets,   Ratio of   net investment   Ratio of   net investment        
    Net asset       end of   net expenses   income   total expenses   income   Portfolio    
    value, end   Total   year   to average   to average   to average   to average   turnover    
    of year   return(b)   (in 000s)   net assets   net assets   net assets   net assets   rate    
 
     
 
    $ 12.16       8.86 %   $ 84,661       1.23 %     5.23 %     1.38 %     5.08 %     81 %    
      12.14       7.80       995       1.98       4.64       2.13       4.49       81      
      12.17       9.25       188,311       0.87       5.68       1.02       5.53       81      
 
      11.98       11.63       69,302       1.23       5.17       1.53       4.87       167      
      11.97       1.98       1       1.71 (c)     1.36 (c)     1.75 (c)     1.32 (c)     167      
      11.99       11.93       85,073       0.86       5.51       1.16       5.21       167      
 
      11.75       16.48       34,327       1.26       6.13       1.82       5.57       207      
      11.76       17.01       40,962       0.88       6.58       1.52       5.94       207      
 
      11.18       15.78       5,411       1.28       5.43       3.09       3.62       273      
      11.19       16.22       20,387       0.88       5.90       2.57       4.21       273      
 
     
 
      10.22       3.36       1,088       1.28 (c)     5.35 (c)     5.53 (c)     1.10 (c)     49      
      10.23       3.52       11,688       0.88 (c)     5.96 (c)     4.88 (c)     1.96 (c)     49      
 
The accompanying notes are an integral part of these financial statements. 73


 

Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Goldman Sachs Trust — Goldman Sachs Special Focus Fixed Income Funds
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Global Income Fund, Goldman Sachs High Yield Fund and Goldman Sachs Emerging Markets Debt Fund, (collectively the “Goldman Sachs Special Focus Fixed Income Funds”), portfolios of the Goldman Sachs Trust, at October 31, 2007, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Goldman Sachs Special Focus Fixed Income Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. The financial statements of the Goldman Sachs Special Focus Fixed Income Funds as of October 31, 2006 and the financial highlights for each of the periods then ended and prior, were audited by other auditors whose report dated December 21, 2006 expressed an unqualified opinion on those statements.
PricewaterhouseCoopers LLP
Boston, Massachusetts
December 28, 2007
74


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Fund Expenses (Unaudited) — Six Month Period Ended October 31, 2007
          As a shareholder of Class A, Class B, Class C, Institutional or Service Shares of the Funds you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (with respect to Class A Shares), contingent deferred sales charges (loads) on redemptions (with respect to Class B and Class C Shares), and redemption fees (if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B and Class C Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class B, Class C, Institutional and Service Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
          The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2007 through October 31, 2007.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
          Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
                                                                         
     
    Global Income Fund   High Yield Fund   Emerging Markets Debt Fund
 
            Expenses       Expenses       Expenses
    Beginning   Ending   Paid for the   Beginning   Ending   Paid for the   Beginning   Ending   Paid for the
    Account Value   Account Value   6 months ended   Account Value   Account Value   6 months ended   Account Value   Account Value   6 months ended
Share Class   5/1/07   10/31/07   10/31/07*   5/1/07   10/31/07   10/31/07*   5/1/07   10/31/07   10/31/07*
 
Class A
                                                                       
Actual
  $ 1,000     $ 1,030.00     $ 5.26     $ 1,000     $ 995.60     $ 5.45     $ 1,000     $ 1,019.40     $ 6.22  
Hypothetical 5% return
    1,000       1,020.02 +     5.24       1,000       1,019.74 +     5.52       1,000       1,019.04 +     6.22  
 
Class B
                                                                       
Actual
    1,000       1,026.20       9.08       1,000       991.80       9.22       N/A       N/A       N/A  
Hypothetical 5% return
    1,000       1,016.24 +     9.03       1,000       1,015.95 +     9.33       N/A       N/A       N/A  
 
Class C
                                                                       
Actual
    1,000       1,026.30       9.08       1,000       991.80       9.21       1,000       1,014.80       9.97  
Hypothetical 5% return
    1,000       1,016.24       9.04       1,000       1,015.96 +     9.32       1,000       1,015.31 +     9.97  
 
Institutional
                                                                       
Actual
    1,000       1,031.90       3.47       1,000       997.40       3.70       1,000       1,021.30       4.45  
Hypothetical 5% return
    1,000       1,021.79 +     3.46       1,000       1,021.50 +     3.74       1,000       1,020.80 +     4.45  
 
Service
                                                                       
Actual
    1,000       1,029.30       6.02       1,000       994.90       6.22       N/A       N/A       N/A  
Hypothetical 5% return
    1,000       1,019.27 +     5.99       1,000       1,018.97 +     6.29       N/A       N/A       N/A  
 
*   Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended October 31, 2007. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:
                                             
Fund   Class A   Class B   Class C   Institutional   Service    
     
Global Income
    1.04 %     1.79 %     1.79 %     0.68 %     1.18 %    
High Yield
    1.09       1.84       1.84       0.73       1.24      
Emerging Markets Debt
    1.23       N/A       1.96       0.87       N/A      
 
Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.
75


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
     The Trustees oversee the management of Goldman Sachs Trust (the “Trust”), and review the investment performance and expenses of the investment funds covered by this Report (the “Funds”) at regularly scheduled meetings held during the Funds’ fiscal year. In addition, the Trustees determine annually whether to approve and continue the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. and Goldman Sachs Asset Management International (the “Investment Advisers”) with respect to the Funds.
     The Management Agreement was most recently approved by the Trustees, including all of the Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), on June 13, 2007 (the “Annual Contract Meeting”).
     To assist the Trustees in their deliberations at the Annual Contract Meeting, and in addition to their reviews of the Funds’ investment performance, expenses and other matters at other regularly scheduled Board meetings, the Trustees have established a Contract Review Committee (the “Committee”) whose members include all of the Independent Trustees. The Committee held meetings on December 14, 2006, February 8, 2007 and May 9, 2007. At these Committee meetings, the Independent Trustees considered matters relating to the Management Agreement, including: (a) the Funds’ investment performance; (b) the Funds’ management fee arrangements; (c) the Investment Advisers’ undertaking to reimburse certain expenses of the Funds that exceed specified levels; (d) potential economies of scale and the level of breakpoints in the fees payable by the Funds under the Management Agreement; (e) the relative expense levels of the Funds as compared to those of comparable funds; (f) capacity constraints relating to certain of the Funds; (g) information on the advisory fees charged by the Investment Advisers to institutional accounts; (h) data relating to the Investment Advisers’ profitability with respect to the Trust and the Funds; (i) the quality of the non-advisory services provided by the Investment Advisers and their affiliates; (j) information on the processes followed by a third party mutual fund data provider engaged as part of the Trustees’ contract review (the “Outside Data Provider”) in producing investment performance and expense comparisons for the Funds; and (k) reports on due diligence visits to outside service providers and the quality of services provided by the Funds’ unaffiliated service providers.
     At the Annual Contract Meeting, the Trustees reviewed the matters that were considered at the Committee meetings and also considered additional matters including: (a) a summary of fee concessions by the Investment Advisers and their affiliates with respect to the Goldman Sachs mutual funds; (b) the quality of the Investment Advisers’ services; (c) the structure, staff and capabilities of the Investment Advisers and their portfolio management teams; (d) the groups within the Investment Advisers that support the portfolio management teams, including the legal and compliance departments, the credit department, the valuation oversight group, the risk and performance analytics group, the business planning team and the technology group; (e) the Investment Advisers’ business continuity and disaster recovery planning; (f) the Investment Advisers’ financial resources and their ability to hire and retain talented personnel; (g) the fees received by the Investment Advisers’ affiliates from the Funds for transfer agency, securities lending, distribution and other services; (h) the terms of the Management Agreement; (i) the administrative services provided under the Management Agreement, including the nature and extent of the Investment Advisers’ oversight of the Funds’ other service providers including the custodian and fund accounting agent; and (j) the Investment Advisers’ policies addressing various types of potential conflicts of interest. At the Annual Contract Meeting, the Trustees also considered at further length each Fund’s investment performance, fees and expenses, including each Fund’s expense trends over time, the breakpoints in the contractual fee rates under the Management Agreement and the current expense levels of the Funds.
     In connection with the Committee meetings and the Annual Contract Meeting, the Trustees received written materials and oral presentations on the topics covered, and were advised by their independent legal counsel regarding their responsibilities under applicable law. Also, in conjunction with these meetings, the Trustees attended sessions at which the Trustees reviewed the payment of Rule 12b-1 distribution and service fees by the Funds. Information was also provided to the Trustees relating to revenue sharing payments made by the Investment Advisers to intermediaries that sell Fund shares, portfolio manager compensation and the alignment of the interests of the Funds and the portfolio managers, the number and types of accounts managed by the portfolio managers and other matters. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent counsel, without representatives of the Investment Advisers or their affiliates present.
76


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
     The presentations made at the Contract Review Committee meetings and at the Annual Contract Meeting encompassed the Funds and other mutual fund portfolios for which the Board of Trustees has responsibility. While the Management Agreement for all of the Funds and the other mutual fund portfolios for which the Board of Trustees has responsibility were approved at the same Annual Contract Meeting, the Trustees considered the Management Agreement as it applied to each Fund separately.
     In evaluating the Management Agreement at the Annual Contract Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Advisers, their services and the Funds. At those meetings the Trustees received materials relating to the Investment Advisers’ investment management and other services under the Management Agreement, including: (a) information on the investment performance of the Funds, including a comparison to the performance of similar mutual funds and benchmark performance indices; (b) general investment outlooks in the markets in which the Funds invest; (c) compliance reports; and (d) expenses borne by the Funds. In addition, the Trustees were provided with disclosure materials regarding the Goldman Sachs mutual funds and their expenses that were provided to investors who invest in the funds, as well as information on the Goldman Sachs mutual funds’ competitive universe, and discussed the broad range of other investment choices that are available to those investors.
Nature, Extent and Quality of the Services Provided Under the Management Agreement
     In connection with their approval of the Management Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. As part of their review, the Trustees considered the nature, extent and quality of the services provided by the Investment Advisers. In this regard, the Trustees considered both the investment advisory services, and the other, non-advisory services, that are provided to the Funds by the Investment Advisers and their affiliates. These services include services as the Funds’ transfer agent, securities lending agent and distributor. In addition, affiliates of the Investment Advisers receive sales loads, distribution and service fees on the sale of certain classes of shares offered by the Funds. The Trustees concluded that the Investment Advisers were both able to commit substantial financial and other resources to the operations of the Funds and had continued to commit those resources in multiple areas including portfolio management, trading, technology, human resources, tax, treasury, legal, compliance, vendor oversight and risk management. The Trustees also believed that the Investment Advisers had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Advisers, including education and training initiatives.
Investment Performance
     The Trustees also considered the investment performance of the Funds and the Investment Advisers. In this regard, the Trustees compared the investment performance of the Funds to the performance of other SEC-registered funds and to rankings and ratings issued by the Outside Data Provider. The Trustees also reviewed the Funds’ investment performance relative to their respective performance benchmarks. This information on each Fund’s investment performance was provided for one-, three-, five- and ten-year periods, to the extent that each Fund had been in existence for those periods, and since the commencement of each Fund’s investment operations. In addition, the Trustees considered the investment performance trends of the Funds over time, and reviewed the investment performance of the Funds in light of their respective investment objectives, policies and credit and duration parameters, as well as in light of periodic analyses of their respective quality and risk profiles. The Trustees also considered whether the Funds had operated within their investment policies, and their record of compliance with their investment limitations. The Trustees believed that the Funds were providing investment performance within a competitive range for long-term investors.
77


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Costs of Services Provided and Comparative Information
     The Board of Trustees also considered the contractual fee rates payable by the Funds under the Management Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Advisers to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds. They also considered information that indicated that these mutual fund services differed in various significant respects from the services provided to the Investment Advisers’ institutional accounts, which generally paid lower fees. In addition, the fees paid by the Funds and the Funds’ total operating expense ratios (before and after voluntary fee waivers and expense reimbursements) were compared to similar information for comparable mutual funds advised by other, unaffiliated investment management firms. Most of the comparisons of the Funds’ fee rates and total operating expense ratios were prepared by the Outside Data Provider.
     More particularly, the Trustees reviewed analyses prepared by the Outside Data Provider of the expense rankings of the Funds. The analyses provided a comparison of the Funds’ management fees to relevant peer groups and category universes; an expense analysis which compared each Fund’s expenses to a peer group and a category universe; and a five-year history (or, in the case of Emerging Markets Debt Fund, which commenced investment operations within a shorter period, since inception) comparing each Fund’s expenses to the category average. The analyses also compared the Funds’ transfer agency fees, custody and accounting fees and other expenses to peer groups and medians. The Trustees believed that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees paid by the Fund. In addition, the Trustees noted the Investment Advisers’ voluntary undertaking to limit the Funds’ “other expenses” ratios (excluding certain expenses) to specified levels.
Economies of Scale
     The Board of Trustees also considered the breakpoints in the contractual fee rates under the Management Agreement for each of the Funds that had been implemented at the following annual percentages of the average daily net assets of the respective Funds:
                 
    Management Fee   Average Daily
Fund   Annual Rate   Net Assets
 
Global Income Fund
    0.65 %   First $ 1 Billion  
      0.59     Next $ 1 Billion  
      0.56     Over $ 2 Billion  
 
High Yield Fund
    0.70     First $ 2 Billion  
      0.63     Over $ 2 Billion  
 
Emerging Markets Debt Fund
    0.80     First $ 2 Billion  
      0.72     Over $ 2 Billion  
 
     In approving these fee breakpoints, the Trustees reviewed information regarding the Investment Advisers’ potential economies of scale, and whether the Funds and their shareholders were participating in the benefits of those economies. In this regard, the Trustees considered the amount of assets in the Funds; the information provided by the Investment Advisers relating to the costs of the services provided by the Investment Advisers and their affiliates and the profits realized by them; and information comparing fee rates charged by the Investment Advisers with fee rates charged by other, unaffiliated investment managers to other mutual funds. Upon reviewing these matters again at the Annual Contract Meeting, the Trustees continued to believe that the fee breakpoints were a way to ensure that benefits of scalability would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Advisers and Their Affiliates
     The Trustees also considered the other benefits derived by the Investment Advisers and their affiliates from the Funds as stated above, including the fees received by them for transfer agency, securities lending and distribution services. The Trustees noted the reduction of the transfer agency fees on Class A, Class B and Class C Shares of the applicable Funds in 2005.
78


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Profitability
     The Trustees reviewed the Investment Advisers’ pre-tax revenues and pre-tax margins with respect to the Trust and the Funds. In this regard the Trustees reviewed, among other things, profitability analyses and summaries, revenue and expense schedules and expense allocation methodologies, as well as a report of an independent registered public accounting firm regarding the results of certain agreed-upon procedures performed to assist the Trustees in their evaluation of the Investment Advisers’ schedules of revenues and expenses for mathematical accuracy and conformity with the Investment Advisers’ allocation methodologies. The Trustees considered the Investment Advisers’ revenues and margins both in absolute terms and in comparison to the information on the reported margins earned by other asset management firms.
Conclusion
     After deliberation and consideration of the information provided, including the factors described above, the Trustees concluded that the management fees paid by each of the Funds were reasonable in light of the services provided by the Investment Advisers, their costs and the Funds’ current and reasonably anticipated asset levels, and that the Management Agreement should be approved and continued with respect to each of the Funds.
79


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
                     
                Number of    
        Term of       Portfolios in    
    Position(s)   Office and       Fund Complex   Other
Name,   Held with   Length of   Principal Occupation(s)   Overseen by   Directorships
Address and Age1   the Trust   Time Served2   During Past 5 Years   Trustee3   Held by Trustee4
 
Ashok N. Bakhru
Age: 65
  Chairman of the Board of Trustees   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President—Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004 and 2006-Present); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors—III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex (registered investment companies).
  98   None
 
John P. Coblentz, Jr.
Age: 66
  Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); Director, Elderhostel, Inc. (2006-Present).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).
  98   None
 
Diana M. Daniels
Age: 58
  Trustee   Since 2007   Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee, Cornell University (2006-2007); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).
  98   None
 
Patrick T. Harker
Age: 49
  Trustee   Since 2000   President, University of Delaware (July 2007-Present); Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-June 2007); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-January 2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).
  98   None
 
Jessica Palmer
Age: 58
  Trustee   Since 2007   Ms. Palmer is retired (since 2006). Formerly, she was Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/ Salomon Brothers) (1984-2006). Ms. Palmer is a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-Present).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).
  98   None
 
80


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Trustees and Officers (Unaudited) (continued)
Independent Trustees
                     
                Number of    
        Term of       Portfolios in    
    Position(s)   Office and       Fund Complex   Other
Name,   Held with   Length of   Principal Occupation(s)   Overseen by   Directorships
Address and Age1   the Trust   Time Served2   During Past 5 Years   Trustee3   Held by Trustee4
 
Richard P. Strubel
Age: 68
  Trustee   Since 1987   Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).
  98   Gildan Activewear Inc. (a clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the Internet); Northern Mutual Fund Complex (58 Portfolios).
 
Interested Trustees
                     
                Number of    
        Term of       Portfolios in    
    Position(s)   Office and       Fund Complex   Other
Name,   Held with   Length of   Principal Occupation(s)   Overseen by   Directorships
Address and Age1   the Trust   Time Served2   During Past 5 Years   Trustee3   Held by Trustee4
 
James A. McNamara*
Age: 45
  President & Trustee   Since 2007   Managing Director, Goldman Sachs (December 1998- Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

President—Goldman Sachs Mutual Fund Complex (registered investment companies) (November 2007- Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); Vice President—Goldman Sachs Mutual Fund Complex (2001-2007).

Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004).
  98   None
 
Alan A. Shuch*
Age: 58
  Trustee   Since 1990   Advisory Director—GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).

Trustee—Goldman Sachs Mutual Fund Complex (registered investment companies).
  98   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno.
2
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
3
The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of October 31, 2007, the Trust consisted of 86 portfolios (of which 80 offer shares to the public), and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios (of which 11 offer shares to the public).
4
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.
Additional information about the Trustees is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.
81


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
             
    Term of    
        Office and    
    Position(s) Held   Length of    
Name, Age And Address   With the Trust   Time Served1   Principal Occupation(s) During Past 5 Years
 
James A. McNamara
32 Old Slip
New York, NY 10005
Age: 45
  Trustee & President   Since 2007   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

President—Goldman Sachs Mutual Fund Complex (registered investment companies) (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); Vice President—Goldman Sachs Mutual Fund Complex (2001-2007).

Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004).
 
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 43
  Treasurer & Senior Vice President   Since 1997

Since 2007
  Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer and Senior Vice President—Goldman Sachs Mutual Fund Complex (registered investment companies).
 
Peter V. Bonanno
32 Old Slip
New York, NY 10005
Age: 40
  Secretary   Since 2003   Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006) and Assistant General Counsel, Goldman Sachs (1999-2002).

Secretary—Goldman Sachs Mutual Fund Complex (registered investment companies) (2006-Present); Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006).
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.
82


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting of Shareholders of the Goldman Sachs Trust (the “Trust”) was held on August 3, 2007 (the “Meeting”) for the purpose of electing eight trustees of the Trust.
At the Meeting, Ashok N. Bakhru, John P. Coblentz, Jr., Diana M. Daniels, Patrick T. Harker, Jessica Palmer, Alan A. Shuch, Richard P. Strubel and Kaysie P. Uniacke were elected to the Trust’s Board of Trustees. The Funds have accrued and paid their pro-rata share of the expenses associated with this shareholder proxy meeting. In electing trustees, the Trust’s shareholders voted as follows:
                                 
Trustee   For   Against   Abstain   Broker Non-Votes
 
Ashok N. Bakhru
    33,710,084,386       0       700,102,557       0  
 
John P. Coblentz, Jr.
    33,711,781,505       0       698,405,438       0  
 
Diana M. Daniels
    33,845,914,104       0       564,272,839       0  
 
Patrick T. Harker
    33,711,725,619       0       698,461,325       0  
 
Jessica Palmer
    33,846,634,466       0       563,552,477       0  
 
Alan A. Shuch
    33,850,365,750       0       559,821,193       0  
 
Richard P. Strubel
    33,704,705,418       0       705,481,525       0  
 
Kaysie P. Uniacke
    33,849,216,713       0       560,970,230       0  
 
83


 

GOLDMAN SACHS SPECIAL FOCUS FIXED INCOME FUNDS
Special Focus Fixed Income Funds Tax Information (Unaudited)
Pursuant to Section 852 of the Internal Revenue Code, the Emerging Markets Debt Fund designates $604,032 as capital gain dividends paid during the year ended October 31, 2007.
For the year ended October 31, 2007, 0.24% of the dividends paid from net investment company taxable income by the High Yield Fund qualify for the dividends received deduction available to corporations.
For the year ended October 31, 2007, 0.24% of the dividends paid from net investment company taxable income by the High Yield Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 871(k) of the Internal Revenue Code, the Emerging Markets Debt Fund designates $2,327,428 as short-term capital gain dividends paid during the year ended October 31, 2007.
84


 

FUNDS PROFILE
Goldman Sachs Funds
(GRAPHIC)
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With portfolio management teams located around the world — and $779.5 billion in assets under management as of September 30, 2007 — our investment professionals bring firsthand knowledge of local markets to every investment decision, making us one of the few truly global asset managers.
GOLDMAN SACHS FUNDS
In building a globally diversified portfolio, you can select from more than 80 Goldman Sachs Funds and gain access to investment opportunities across borders, investment styles, asset classes and security capitalizations.
LOGO
         
Money Market1

Fixed Income
 Enhanced Income Fund
 Ultra-Short Duration
Government Fund
 Short Duration Government Fund
 Short Duration Tax-Free Fund
 California AMT-Free
Municipal Fund2
 New York AMT-Free
Municipal Fund2
 Tennessee Municipal Fund
 Municipal Income Fund
 Government Income Fund
 Inflation Protected Securities Fund
 U.S. Mortgages Fund
 Core Fixed Income Fund
 Core Plus Fixed Income Fund
 Investment Grade Credit Fund
 Global Income Fund
 High Yield Municipal Fund
 High Yield Fund
 Emerging Markets Debt Fund
  Domestic Equity
 Balanced Fund
 Growth and Income Fund
 Structured Large Cap Value Fund
 Large Cap Value Fund
 Structured U.S. Equity Fund
 Structured U.S. Equity Flex Fund
 Structured Large Cap Growth Fund
 Capital Growth Fund
 Strategic Growth Fund
 Concentrated Growth Fund
 Mid Cap Value Fund
 Growth Opportunities Fund
 Small/Mid Cap Growth Fund
 Structured Small Cap Equity Fund
 Structured Small Cap Value Fund
 Structured Small Cap Growth Fund
 Small Cap Value Fund

Asset Allocation3
 Asset Allocation Portfolios
 Income Strategies Portfolio
 Satellite Strategies Portfolio

Retirement Strategies3
  International Equity
 Structured International Equity Fund
 Structured International Equity Flex Fund
 Strategic International Equity Fund
 Concentrated International Equity Fund 2
 Japanese Equity Fund
 Structured International Small Cap Fund
 International Small Cap Fund
 Asia Equity Fund
 Structured Emerging Markets Equity Fund
 Emerging Markets Equity Fund
 Concentrated Emerging Markets Equity Fund
 BRIC Fund (Brazil, Russia, India, China)

Specialty3
 U.S. Equity Dividend and Premium Fund
 Structured Tax-Managed Equity Fund
 Real Estate Securities Fund
 International Real Estate Securities Fund
 Tollkeeper FundSM
 Commodity Strategy Fund
1 An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds.
 
2 Effective December 26, 2006, the International Equity Fund was renamed the Concentrated International Equity Fund. Effective June 1, 2007, the California Intermediate AMT-Free Municipal Fund was renamed the California AMT-Free Municipal Fund and the New York Intermediate AMT-Free Municipal Fund was renamed the New York AMT-Free Municipal Fund.
 
3 Individual Funds within the Asset Allocation, Retirement and Specialty categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Asset Allocation, Retirement or Specialty category.
  The Goldman Sachs Tollkeeper FundSM is a registered service mark of Goldman, Sachs & Co.


 

GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32ND FLOOR, NEW YORK, NEW YORK 10005
     
TRUSTEES
Ashok N. Bakhru,
Chairman
John P. Coblentz, Jr.
Diana M. Daniels
Patrick T. Harker
James A. McNamara
Jessica Palmer
Alan A. Shuch
Richard P. Strubel
  OFFICERS
James A. McNamara,
President
John M. Perlowski, Senior Vice President and Treasurer
Peter V. Bonanno, Secretary
     
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent


GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
  GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
Investment Adviser
Christchurch Court
10-15 Newgate Street,
London, England EC1 A7HD
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Funds’ entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
Copyright 2007 Goldman, Sachs & Co. All rights reserved. 07-3295.MF
SFFIAR / 93.3K / 12-07


 

     
ITEM 2.   CODE OF ETHICS.
         
    (a)   As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).
     
    (b)   During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
     
    (c)   During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.
     
    (d)   A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report.
     
ITEM 3.   AUDIT COMMITTEE FINANCIAL EXPERT.
     
    The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).
     
ITEM 4.   PRINCIPAL ACCOUNTANT FEES AND SERVICES.
     

Table 1 — Items 4(a) - - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.

                     
    2007
  2006
  Description of Services Rendered
Audit Fees:
                   
 
                   
• PricewaterhouseCoopers LLP (“PwC”)
  $ 1,995,700     $ 1,071,400     Financial statement audits
 
                   
• Ernst & Young LLP (“E&Y”)
  $ 0     $ 733,788     Financial statement audits
 
                   
Audit-Related Fees:
                   
 
                   
• PwC
  $ 249,000     $ 195,000     Other attest services
 
                   
• E&Y 
  $ 0     $ 0      
 
                   
Tax Fees:
                   
 
                   
• PwC
  $ 511,900     $ 281,400     Tax compliance services provided in connection with the preparation and review of the Registrant’s tax returns
 
                   
• E&Y 
  $ 0     $ 107,400     Tax compliance services provided in connection with the preparation and review of the Registrant’s tax returns
 
               
All Other Fees:
                   
 
                   
• PwC
  $ 0     $ 0    
 
               
• E&Y
  $ 0     $ 0    

Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates * that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.

                 
    2007
  2006
  Description of Services Rendered
Audit Fees:
               
 
               
• E&Y
  $ 0   $ 94,130   Audit fees borne by the Funds’ adviser
 
               
Audit-Related Fees:
               
 
               
• PwC
  $ 937,000   $ 937,000   Internal control review performed in accordance with Statement on Auditing Standards No. 70.
 
               
• PwC
  $ 0   $ 10,000   Audit related time borne by the Funds’ adviser
 
               
 
                   
• E&Y
  $ 0   $ 0    
 
               
Tax Fees:
                   
 
               
• PwC
  $ 0   $ 0      
 
               
• E&Y
  $ 0   $ 0      
 
               
All Other Fees:
               
 
               
• PwC
  $ 199,500   $ 125,500   Review of fund reorganization documents. Services provided for fund launch and new share classes
 
               
• E&Y
  $ 0   $ 18,000   Review of fund merger documents (2006).


 


*   These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”).

Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures

Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.

     De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.

     Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.

Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.

Item 4(f) – Not applicable.

Item 4(g) Aggregate Non-Audit Fees Disclosure

The aggregate non-audit fees billed to GST by PricewaterhouseCoopers LLP for the 12 months ended October 31, 2007 and October 31, 2006 were approximately $760,900 and $476,400 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PricewaterhouseCoopers LLP for non-audit services for the twelve months ended November 25, 2006 and November 26, 2005 were approximately $5.9 million and $5.2 million respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2005 and 2006 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.

The aggregate non-audit fees billed to GST by Ernst & Young LLP for the 12 months ended October 31, 2007 and October 31, 2006 were approximately 0 and $107,400 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by Ernst & Young LLP for non-audit services for the twelve months ended December 31, 2006 and December 31, 2005 were approximately $55.9 million and $49.0  million, respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2005 and 2006 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.

Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.

     
ITEM 5.   AUDIT COMMITTEE OF LISTED REGISTRANTS.
     
    Not applicable.
     
ITEM 6.   SCHEDULE OF INVESTMENTS.
     
    Schedule of Investments is included as part of the Report to Stockholders filed under Item 1.
     
ITEM 7.   DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
     
    Not applicable.
     
ITEM 8.   PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
     
    Not applicable.
     
ITEM 9.   PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
     
    Not applicable.


 

     
ITEM 10.   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
 
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
     
     
ITEM 11.   CONTROLS AND PROCEDURES.
     

  (a)   The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended.
     
  (b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
     

     
ITEM 12.   EXHIBITS.

  (a)(1)   Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 11(a)(1) of the registrant’s Form N-CSR filed on March 8, 2004 for its Real Estate Securities Fund (Accession Number 0000950123-04-0002984).
 
  (a)(2)   Exhibit 99.CERT Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith.
     
  (b)   Exhibit 99.906CERT Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith.


 

SIGNATURES

      Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

             
        Goldman Sachs Trust    
             
By:       /s/ James A. McNamara    
       
   
        James A. McNamara    
        President/Principal Executive Officer    
        Goldman Sachs Trust    
             
Date:       January 9, 2008    

      Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

             
By:       /s/ James A. McNamara    
       
   
        James A. McNamara    
        President/Principal Executive Officer    
        Goldman Sachs Trust    
             
Date:       January 9, 2008    
             
By:       /s/ John M. Perlowski    
       
   
        John M. Perlowski    
        Treasurer/Principal Financial Officer    
        Goldman Sachs Trust    
             
Date:       January 9, 2008    

  EX-99.CERT 2 y42310exv99wcert.htm EX-99.CERT: CERTIFICATIONS EX-99.CERT

 

CERTIFICATIONS
(Section 302)

     I, James A. McNamara, certify that:

     1. I have reviewed this report on Form N-CSR of the Goldman Sachs Trust;

     2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

     3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

     4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

     (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

     (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

     (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

     (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

     5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

     (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

     (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Dated: January 9, 2008

     
    /s/ James A. McNamara
   
    James A. McNamara
President/Principal Executive Officer

 


 

CERTIFICATIONS
(Section 302)

     I, John M. Perlowski, certify that:

     1. I have reviewed this report on Form N-CSR of the Goldman Sachs Trust;

     2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

     3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

     4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

     (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

     (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

     (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

     (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

     5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

     (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

     (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Dated: January 9, 2008

     
    /s/ John M. Perlowski
   
    John M. Perlowski
Treasurer/Principal Financial Officer

  EX-99.906CERT 3 y42310exv99w906cert.htm EX-99.906CERT: CERTIFICATIONS EX-99.906CERT

 

EX-99.906CERT

Certification Under Section 906
of the Sarbanes-Oxley Act of 2002

James A. McNamara, President/Principal Executive Officer, and John M. Perlowski, Treasurer/Principal Financial Officer of the Goldman Sachs Trust (the “Registrant”), each certify to the best of his or her knowledge that:

1.   The Registrant’s periodic report on Form N-CSR for the period ended October 31, 2007 (the “Form N-CSR”) fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and

2.   The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

         
President/Principal Executive Officer   Treasurer/Principal Financial Officer    
         
Goldman Sachs Trust   Goldman Sachs Trust    
         
/s/ James A. McNamara   /s/ John M. Perlowski    

 
   
James A. McNamara   John M. Perlowski    
         
Date: January 9, 2008   Date: January 9, 2008    

This certification is being furnished to the Securities and Exchange Commission pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission.

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