0000950123-11-021701.txt : 20110303 0000950123-11-021701.hdr.sgml : 20110303 20110303162401 ACCESSION NUMBER: 0000950123-11-021701 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 25 CONFORMED PERIOD OF REPORT: 20101231 FILED AS OF DATE: 20110303 DATE AS OF CHANGE: 20110303 EFFECTIVENESS DATE: 20110303 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST CENTRAL INDEX KEY: 0000822977 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-05349 FILM NUMBER: 11660585 BUSINESS ADDRESS: STREET 1: 71 SOUTH WACKER DRIVE STREET 2: C/O GOLDMAN SACHS & CO CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3126554400 MAIL ADDRESS: STREET 1: 200 WEST STREET CITY: NEW YORK STATE: NY ZIP: 10282 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 S000009324 Goldman Sachs U.S. Equity Dividend and Premium Fund C000025506 Goldman Sachs U.S. Equity Dividend and Premium Fund C000025507 Institutional GSPKX C000025508 Class A GSPAX C000025509 Class C GSPQX C000091963 Class IR Shares GVIRX 0000822977 S000009340 Goldman Sachs Structured Tax-Managed Equity Fund C000025600 Goldman Sachs Structured Tax-Managed Equity Fund C000025601 Institutional GCTIX C000025602 Service GCTSX C000025603 Class A GCTAX C000025604 Class B GCTBX C000025605 Class C GCTCX C000091964 Class IR Shares GQIRX 0000822977 S000018298 Goldman Sachs Structured International Tax-Managed Equity Fund C000050443 Institutional GHTMX C000050444 Class A GATMX C000050445 Class C GCTMX C000091965 Class IR Shares GITRX 0000822977 S000018299 Goldman Sachs International Equity Dividend and Premium Fund C000050446 Institutional GIDHX C000050447 Class A GIDAX C000050448 Class C GIDCX C000091966 Class IR Shares GIRVX N-CSR 1 y88826nvcsr.htm FORM N-CSR nvcsr

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-05349


Goldman Sachs Trust


(Exact name of registrant as specified in charter)

71 South Wacker Drive, Chicago, Illinois 60606


(Address of principal executive offices) (Zip code)
     
Peter V. Bonanno, Esq.   Copies to:
Goldman, Sachs & Co.   Geoffrey R.T. Kenyon, Esq.
200 West Street   Dechert LLP
New York, New York 10282   200 Clarendon Street
    27th Floor
Boston, MA 02116-5021

(Name and address of agents for service)

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


Date of fiscal year end: December 31


Date of reporting period: December 31, 2010


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

 


 

Goldman Sachs Funds
 
 
 
       
       
Annual Report     
    December 31, 2010
        
       
       
      Structured Tax-Advantaged Equity Funds
      U.S. Equity Dividend and Premium
      International Equity Dividend and Premium
      Structured Tax-Managed Equity
      Structured International Tax-Managed Equity
       
 
(GOLDMAN SACHS ASSET MANAGEMENT LOGO)
 


 

Goldman Sachs Structured Tax-Advantaged
Equity Funds
 
 
n  U.S. EQUITY DIVIDEND AND PREMIUM  
 
n  INTERNATIONAL EQUITY DIVIDEND AND PREMIUM  
 
n  STRUCTURED TAX-MANAGED EQUITY  
 
n  STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY  
 
 
 
TABLE OF CONTENTS
 
     
Principal Investment Strategies and Risks
  1
Market Review
  3
Investment Process — Equity Dividend and Premium Funds
  5
Portfolio Management Discussions and Performance Summaries — Equity Dividend and Premium Funds
  6
Investment Process — Global Structured Tax-Managed
  18
Portfolio Management Discussions and Performance Summaries — Structured Tax-Managed Funds
  19
Schedules of Investments
  31
Financial Statements
  52
Notes to the Financial Statements
  56
Financial Highlights
  76
Report of Independent Registered Public Accounting Firm
  84
Other Information
  85
 
 
 
 
             
NOT FDIC-INSURED
    May Lose Value     No Bank Guarantee
             


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

Principal Investment Strategies and Risks
 
This is not a complete list of risks that may affect the Funds. For additional information concerning the risks applicable to the Funds, please see the Funds’ Prospectuses.
 
The Goldman Sachs U.S. Equity Dividend and Premium Fund invests primarily in dividend-paying equity investments in large-capitalization U.S. equity issuers. The Fund is subject to market risk, which means that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The Fund is also subject to the risks associated with writing (selling) call options. Writing call options limits the opportunity to profit from an increase in the market value of stocks in exchange for up-front cash at the time of selling the call option. In a rising market, the Fund could significantly underperform the market. The Fund’s options strategies may not fully protect it against declines in the value of the market. The Fund uses both a variety of quantitative techniques and fundamental research when selecting investments which have the potential to maximize the Fund’s after tax return, and minimize capital gains and income distribution. No assurance can be offered that the Fund’s tax-managed strategies will reduce the amount of taxable income and capital gains distributed by the Fund to shareholders. The Fund is not suitable for IRAs or other tax-exempt or tax-deferred accounts. The Fund may make investments in derivative instruments, including options and financial futures. Derivative instruments may be illiquid, difficult to price and leveraged, so that a small movement in the price of an underlying security may result in disproportionate losses to the Fund.
 
The Goldman Sachs International Equity Dividend and Premium Fund invests primarily in dividend-paying equity investments in companies that are organized outside the United States or whose securities are principally traded outside the United States. The Fund is subject to market risk, which means that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Foreign and emerging market securities may be more volatile than investments 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 is also subject to the risks associated with writing (selling) call options. Writing call options limits the opportunity to profit from an increase in the market value of stocks in exchange for up-front cash at the time of selling the call option. In a rising market, the Fund could significantly underperform the market. The Fund’s options strategies may not fully protect it against declines in the value of the market. The Fund uses both a variety of quantitative techniques and fundamental research when selecting investments which have the potential to maximize the Fund’s after tax return, and minimize capital gains and income distribution. No assurance can be offered that the Fund’s tax-managed strategies will reduce the amount of taxable income and capital gains distributed by the Fund to shareholders. The Fund may make investments in derivative instruments, including options and financial futures. Derivative instruments may be illiquid, difficult to price and leveraged, so that a small movement in the price of an underlying security may result in disproportionate losses to the Fund.
 
 
 
1 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
The Goldman Sachs Structured Tax-Managed Equity Fund invests in a broadly diversified portfolio of equity investments in U.S. issuers, including foreign issuers that are traded in the United States. The Fund is subject to market risk, which means that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The Fund may invest in securities of any capitalization, including mid-capitalization and small-capitalization companies, which involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements. Securities of such issuers may lack sufficient market liquidity to enable the Fund to effect sales at an advantageous time or without a substantial drop in price. The Fund uses both a variety of quantitative techniques and fundamental research when selecting investments which have the potential to maximize the Fund’s after tax return, and minimize capital gains and income distribution. No assurance can be offered that the Fund’s tax-managed strategies will reduce the amount of taxable income and capital gains distributed by the Fund to shareholders. The Fund is not suitable for IRAs or other tax-exempt or tax-deferred accounts. The Fund may make investments in derivative instruments, including options and financial futures. Derivative instruments may be illiquid, difficult to price and leveraged, so that a small movement in the price of an underlying security may result in disproportionate losses to the Fund.
 
The Goldman Sachs Structured International Tax-Managed Equity Fund invests primarily in international equity securities. The Fund is subject to market risk, which means that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Foreign and emerging market securities may be more volatile than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. The Fund may invest in securities of any capitalization, including mid-capitalization and small-capitalization companies, which involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements. Securities of such issuers may lack sufficient market liquidity to enable the Fund to effect sales at an advantageous time or without a substantial drop in price. The Fund uses both a variety of quantitative techniques and fundamental research when selecting investments which have the potential to maximize the Fund’s after tax return, and minimize capital gains and income distribution. No assurance can be offered that the Fund’s tax-managed strategies will reduce the amount of taxable income and capital gains distributed by the Fund to shareholders. The Fund is not suitable for IRAs or other tax-exempt or tax-deferred accounts. The Fund may make investments in derivative instruments, including options and financial futures. Derivative instruments may be illiquid, difficult to price and leveraged, so that a small movement in the price of an underlying security may result in disproportionate losses to the Fund.
 
 
 
 2


 

MARKET REVIEW
 
 

Goldman Sachs Structured Tax-Advantaged
Equity Funds
 
Market Review
 
Despite heightened uncertainty, the U.S. financial markets posted substantial gains during the 12 months ended December 31, 2010 (the “Reporting Period”).
 
U.S. consumer spending increased steadily during the first quarter, and European confidence in the economic outlook improved. As a sign of a more sustained U.S. recovery, the Federal Reserve (the “Fed”) began to scale back the support programs it had established to enhance liquidity in the credit markets and also raised the discount rate, which is the rate it charges to banks for short-term loans. In this environment, equities and the non-Treasury fixed income sectors generally posted solid gains.
 
In late April, investor sentiment turned sharply, as concerns over Europe’s sovereign debt issues intensified. The U.S. economy continued its recovery, but growth momentum appeared to be stalling as the boost from fiscal stimulus and inventory restocking began to fade. The Fed suggested that “financial conditions have become less supportive of economic growth,” while first quarter Gross Domestic Product (GDP) was revised down slightly to 2.7% from 3.0%. Consumer confidence fell sharply and private sector payroll growth was weaker than expected. Fears that Chinese demand, and therefore global demand, might be slowing also soured market sentiment. Investors increasingly focused on the potential impact of a growing government appetite for regulation and mounting evidence that the global economic recovery might be losing steam.
 
As investors lost their appetite for risk, U.S. and international equity markets declined sharply, breaking a four-quarter winning streak. First-quarter gains were erased by the end of June 2010, sending most major equity indices into negative territory for the first half of the Reporting Period. In the fixed income markets, interest rates declined amid a broad flight to quality, an increase in global risk premiums, and higher demand for U.S. Treasuries as a safe haven.
 
During the third quarter, the equity markets roared back on strong corporate earnings announcements as well as news that the U.S. had officially come out of recession in June. As U.S. Treasury yields hovered near record lows, investors refocused their attention on high dividend yielding stocks. Nevertheless, concerns remained about the pace of the economic recovery, evidenced by the Fed signaling a willingness to take further stimulative action, if necessary.
 
During the fourth quarter, interest rates rose and bond prices fell, offsetting some of the gains made by the bond market during the first nine months of 2010. The increase in rates was due primarily to improving economic data and higher 2011 growth forecasts as a result of the Fed’s efforts to stimulate the economy as well as to tax cut extensions and other fiscal stimulus measures that were passed by Congress in early December. The Reporting Period ended on a note of optimism as December economic data included robust retail sales figures and strong increases in purchasing and manufacturing surveys.
 
U.S. Equity Markets
 
The Russell 3000® Index, which is a measure of the broad equity markets, rose 16.93% during the Reporting Period, while the Standard & Poor’s® 500 Index (“S&P 500 Index”) gained 15.06%. All ten sectors in the S&P 500 Index were up, with consumer
 
 
 
3 


 

MARKET REVIEW
 
 

 
discretionary (+27.54%) and industrials (+26.38%) gaining the most ground. The top-weighted information technology sector (+10.05%) was the largest contributor (measured by weight times total return) to S&P 500 Index returns.
 
The Russell 1000® Growth Index was up 16.71% during the Reporting Period, outperforming the Russell 1000® Value Index, which rose 15.51%. The Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe, while the Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. Growth stocks beat value stocks, largely because of the strong performance of the consumer discretionary sector. Small-cap stocks outperformed large-cap stocks, with the Russell 2000® Index, a measure of small-cap stocks, returning 26.85%. Small-cap technology stocks performed better than their large-cap counterparts during the Reporting Period.
 
International Equity Markets
 
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (the “MSCI EAFE Index”) rose 7.75% (USD, net) during the Reporting Period. Fifteen of the 22 countries in the MSCI EAFE Index were up, with Sweden (+34.28%) and Denmark (+30.92%) posting the largest absolute gains. In terms of its weighting in the MSCI EAFE Index, Japan (+15.17%) was the largest contributor.
 
Eight of the ten sectors in the MSCI EAFE Index posted positive results for the Reporting Period, with the industrials (+20.49%) and consumer discretionary (+19.00%) sectors gaining the most ground. The heavily-weighted industrials sector was also the largest contributor.
 
Looking Ahead
 
In the coming months, we expect less expensive stocks to outpace more expensive stocks. We also believe stocks with good momentum should outperform those with poor momentum. We intend to maintain our focus on names about which fundamental analysts are becoming more positive and on profitable companies with strong sustainable earnings and a track record of using capital to enhance shareholder value. We anticipate remaining fully invested, with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
 
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide potentially strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals, and improve our trading execution as we seek to provide the most value to our shareholders.
 
The economic and market forecasts presented herein have been generated by GSAM for informational purposes as of the date of this report. They are based on proprietary models and there can be no assurance that the forecasts will be achieved. Please see additional disclosures on the back cover.
 
 
 
 4


 

INVESTMENT PROCESS
 
 

What Differentiates the Goldman Sachs
U.S. Equity Dividend and Premium and
Goldman Sachs International Equity Dividend
and Premium Funds’ Investment Process?
 
The Goldman Sachs U.S. Equity Dividend and Premium Fund seeks to maximize income and total return. The Goldman Sachs International Equity Dividend and Premium Fund seeks to maximize total return with an emphasis on income. Their portfolios consist primarily of large-cap, dividend-paying stocks. By investing in these securities, and through the use of option call writing, the Funds look to generate an attractive after-tax cash flow.
 
Goldman Sachs U.S. Equity Dividend and Premium and
Goldman Sachs International Equity Dividend and Premium
Funds’ Investment Process
 
(GRAPHIC)
 
A diversified portfolio:
  n  Create a diversified large-cap equity portfolio that participates in all industries and sectors.
  n  Emphasize higher dividend-paying stocks within each industry and sector.
 
Written call options:
  n  The Funds utilize index call writing to seek to enhance their cash flow.
 
(GRAPHIC)
 
  n  We use proprietary quantitative techniques, including optimization tools, a risk model and a transactions cost model, in identifying a portfolio of stocks that we believe may enhance expected dividend yield while limiting deviations when compared to the S&P 500 Index or MSCI EAFE Index, as applicable.
 
(GRAPHIC)
 
  n  A fully invested, style-consistent portfolio.
  n  The Funds seek attractive after-tax cash flow from qualified dividends, long-term capital gains and option call writing.
  n  The Funds seek to enhance after-tax return by generating distributions primarily from qualified dividends and long-term capital gains, both of which are subject to current favorable long-term tax rates of 15%.1
 
 
 
1 A sunset provision provides that the 15% long-term capital gain rate and the taxation of dividends at the long-term capital gain rate will revert back to a prior version of the provision in the Internal Revenue Code for taxable years beginning after December 31, 2012.
 
 
 
 
5 


 

PORTFOLIO RESULTS
 
 

U.S. Equity Dividend and Premium Fund
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
 
How did the Fund perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, C and Institutional Shares generated average annual total returns, without sales charges, of 15.07%, 14.32% and 15.53%, respectively. These returns compare to the 15.06% and 6.54% average annual total returns of the Fund’s benchmarks, the Standard & Poor’s® 500 Index (with dividends reinvested) (the “S&P 500 Index”) and the Barclays Capital U.S. Aggregate Bond Index, respectively, during the same period.
 
The Fund’s Class IR Shares were launched on August 31, 2010. From August 31, 2010 through December 31, 2010, the Fund’s Class IR Shares generated a cumulative total return of 17.53%. This return compares to the 20.64% and −1.19% cumulative total returns of the S&P 500 Index and the Barclays Capital U.S. Aggregate Bond Index during the same period.
 
What key factors were most responsible for the Fund’s performance during the Reporting Period?
 
A  The sale of call options on the S&P 500 Index detracted from the Fund’s total return. (A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date.)
 
As mentioned in the Market Review, the equity market rallied during the Reporting Period, and all ten sectors of the S&P 500 Index were up. In this environment, our security selection in the consumer discretionary, financials, utilities, consumer staples, materials and telecommunications services sectors contributed positively to performance. However, stock selection within the energy, health care, industrials and information technology sectors detracted on a relative basis.
 
How did the Fund’s call writing affect its performance?
 
A  Consistent with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value. Upon exercise by the holder, the sale of an index call option obligates us to buy an index at a specified price, also known as the “strike price.” Although the Fund retains the proceeds from the sale of an option, the payment may not exceed the increase in the value of the index as call options are exercised and we pay the purchaser the increase in value. This is what happened during the Reporting Period when the S&P 500 Index appreciated, and thus the Fund’s call writing detracted from performance.
 
In general, we targeted 4% in annual premiums. We wrote call options covering approximately 30% of the value of the stock portfolio to achieve this target.
 
Overall, call option writing tends to reduce volatility. Since its inception, the realized daily volatility of the Fund has been approximately 95% of the realized daily volatility of the S&P 500 Index.
 
What was the Fund’s dividend yield during the Reporting Period?
 
A  While maintaining industry and sector weights consistent with the S&P 500 Index, we favor stocks with higher dividend yields. The dividend yield of the Fund during the Reporting Period was 2.90% compared to 1.86% for the S&P 500 Index. The Fund’s dividend yield served to enhance its quarterly net income distributions.
 
Among individual holdings, which stocks contributed most to the Fund’s results?
 
A  The Fund benefited from overweighted positions relative to the S&P 500 Index in Deere & Co., an agriculture and construction equipment maker, and Reynolds American, a tobacco manufacturer. An underweighted position relative to the S&P 500 Index in bank holding company Wells Fargo was also advantageous.
 
 
 
 6


 

PORTFOLIO RESULTS
 
 

 
Which individual stock holdings detracted most from relative performance during the Reporting Period?
 
A  The Fund was hampered by overweighted positions compared to the S&P Index in oil and gas drilling contractor Diamond Offshore Drilling, electric utility Progress Energy, and pharmaceutical maker Eli Lilly.
 
How did fixed income investments affect relative performance?
 
A  The Fund’s investments in fixed income securities are limited to cash equivalents, and therefore fixed income holdings did not have a meaningful impact on performance.
 
How did the Fund use derivatives during the Reporting Period?
 
A  As we sought to increase the Fund’s total return and to hedge its portfolio against shifts in market conditions, we used index options and index futures.
 
What changes or enhancements did you make to your quantitative model during the Reporting Period?
 
A  No changes were made to our quantitative model during the Reporting Period.
 
 
 
7 


 

FUND BASICS
 
 

U.S. Equity Dividend and Premium Fund
as of December 31, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                             
January 1, 2010–
  Fund Total Return
          Barclays Capital U.S.
     
December 31, 2010   (based on NAV)1     S&P 500 Index2     Aggregate Bond Index3      
 
Class A
    15.07 %     15.06 %     6.54 %    
Class C
    14.32       15.06       6.54      
Institutional
    15.53       15.06       6.54      
August 31, 2010–December 31, 2010
Class IR
    17.53 %     20.64 %     -1.19 %    
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 The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
3 The Barclays Capital U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
 
                                 
For the period ended 12/31/10   One Year     Five Years     Since Inception     Inception Date    
 
Class A
    8.77 %     1.44 %     1.73 %   8/31/05    
Class C
    13.31       1.81       2.04     8/31/05    
Institutional
    15.53       2.99       3.21     8/31/05    
Class IR
    N/A       N/A       17.53     8/31/10    
4 The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance is one year or less) 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 5.5% 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 and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns.
 
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.
 
 
 
 8


 

FUND BASICS
 
 


 
EXPENSE RATIOS5
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    1.24 %     1.30 %    
Class C
    1.99       2.05      
Institutional
    0.84       0.90      
Class IR
    0.99       1.05      
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 may be modified or terminated in the future, consistent with the terms of any arrangements in place. If this occurs, the expense ratios may change without shareholder approval.
 
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 12/31/106
 
                             
                Since Inception
     
Class A Shares   One Year     Five Years     (8/31/05)      
 
Returns before taxes*
    8.77 %     1.44 %     1.73 %    
Returns after taxes on distributions**
    8.50       0.83       1.13      
Returns after taxes on distributions***
and sale of Fund shares
    6.02       1.20       1.46      
6 The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions (currently 15% for qualifying ordinary income dividends and long-term capital gain distributions and 35% for non-qualifying ordinary income dividends) and do not reflect state and local taxes. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares.
* Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed.
 ** Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period.
 *** Returns After Taxes on Distributions and Sale of Fund Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed.
 
 
 
9 


 

FUND BASICS
 
 


 
TOP 10 HOLDINGS AS OF 12/31/107
 
             
    % of Net
     
Holding   Assets     Line of Business
 
Exxon Mobil Corp. 
    4.0 %   Energy
Microsoft Corp. 
    2.4     Software & Services
Apple, Inc. 
    2.3     Technology Hardware & Equipment
Chevron Corp. 
    2.3     Energy
General Electric Co. 
    2.2     Capital Goods
AT&T, Inc. 
    2.0     Telecommunication Services
Pfizer, Inc. 
    1.9     Pharmaceuticals, Biotechnology & Life Sciences
The Procter & Gamble Co. 
    1.9     Household & Personal Products
Intel Corp. 
    1.9     Semiconductors & Semiconductor Equipment
Merck & Co., Inc. 
    1.9     Pharmaceuticals, Biotechnology & Life Sciences
7The top 10 holdings may not be representative of the Fund’s future investments.
 
FUND VS. BENCHMARK SECTOR ALLOCATIONS8
 
 
As of December 31, 2010
 
(BAR CHART)
 
8 The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent investments in investment companies other than those that are exchange traded.
 
 
 
 10


 

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
 
 

Performance Summary
December 31, 2010
 
 
The following graph shows the value as of December 31, 2010, of a $10,000 investment made on August 31, 2005 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmarks, the S&P 500 Index and the Barclays Capital Aggregate Bond Index (with dividends reinvested), 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 currently in effect and 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, Class C and Class IR Shares will vary from Institutional Shares due to differences in fees and sales charges. In addition to the investment adviser’s decision regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
 
U.S. Equity Dividend and Premium Fund’s Lifetime Performance
 
Performance of a $10,000 Investment, with distributions reinvested, from August 31, 2005 through December 31, 2010.
 
[Graph]
 
                             
Average Annual Total Return through December 31, 2010   One Year     Five Years     Since Inception      
 
Class A (Commenced August 31, 2005)
                           
Excluding sales charges
    15.07%       2.59%       2.81%      
Including sales charges
    8.77%       1.44%       1.73%      
 
 
Class C (Commenced August 31, 2005)
                           
Excluding contingent deferred sales charges
    14.32%       1.81%       2.04%      
Including contingent deferred sales charges
    13.31%       1.81%       2.04%      
 
 
Institutional (Commenced August 31, 2005)
    15.53%       2.99%       3.21%      
 
 
Class IR (Commenced August 31, 2010)
    n/a       n/a       17.53% *    
 
 
* Total return for periods of less than one full year are not annualized.
 
 
 
11 


 

PORTFOLIO RESULTS
 
 

International Equity Dividend and Premium Fund
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
 
How did the Fund perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, C and Institutional Shares generated average annual total returns, without sales charges, of 7.59%, 6.81% and 8.10%, respectively. These returns compare to the 7.75% and 5.54% average annual total returns of the Fund’s benchmarks, the MSCI EAFE Index (unhedged, with dividends reinvested) and the Barclays Capital Global Aggregate Bond Index, respectively, during the same period.
 
The Fund’s Class IR Shares were launched on August 31, 2010. From August 31, 2010 through December 31, 2010, the Fund’s Class IR Shares generated a cumulative total return of 16.12%. This return compares to the 17.06% and 0.99% cumulative total returns of the MSCI EAFE and the Barclays Capital Global Aggregate Bond Index during the same period.
 
What key factors were most responsible for the Fund’s performance during the Reporting Period?
 
A  The sale of call options modestly detracted from the Fund’s total return. (A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date.)
 
Security selection contributed to relative performance. Adding the most were our stock picks in the materials and financials sectors. Stock selection within the industrials and health care sectors hampered relative results.
 
How did the Fund’s call writing affect its performance?
 
A  Consistent with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value, primarily on the Japanese, United Kingdom and European indices. Upon exercise by the holder, the sale of an index call option obligates us to buy an index at a specified price, also known as the “strike price.” Although the Fund retains the proceeds from the sale of an option, the payment may not exceed the increase in the value of the index, as call options are exercised and we pay the purchaser the increase in value. This is what happened during the Reporting Period when global stock indices appreciated, and thus the Fund’s call writing detracted.
 
In general, we targeted 4% in annual premiums. We wrote call options covering approximately 30% of the value of the stock portfolio to achieve this target.
 
Overall, call option writing tends to reduce volatility. Since its inception, the realized daily volatility of the Fund has been approximately 96% of the realized daily volatility of the MSCI EAFE Index.
 
What was the Fund’s dividend yield during the Reporting Period?
 
A  While maintaining industry and sector weights consistent with the MSCI EAFE Index, we favor stocks with higher dividend yields. The dividend yield of the Fund during the Reporting Period was 4.0% compared to 2.9% for the MSCI EAFE Index. The Fund’s dividend yield served to enhance its quarterly net income distributions.
 
Among individual holdings, which stocks contributed most to the Fund’s results?
 
A  The Fund benefited from overweighted positions in Norwegian oil services company SeaDrill, German chemicals giant BASF and German car maker Volkswagen.
 
 
 
 12


 

PORTFOLIO RESULTS
 
 

 
Which individual stock holdings detracted most from relative performance during the Reporting Period?
 
A  Detracting from relative performance were underweighted positions in British oil company BP, Spanish bank holding company Banco Santander and Swiss financial firm Credit Suisse Group.
 
How did fixed income investments affect relative performance?
 
A  The Fund’s investments in fixed income securities are limited to cash equivalents, and therefore fixed income holdings did not have a meaningful impact on performance.
 
How did the Fund use derivatives during the Reporting Period?
 
A  As we sought to increase the Fund’s total return and to hedge its portfolio against shifts in market conditions, we used index options and index futures.
 
What changes or enhancements did you make to your quantitative model during the Reporting Period?
 
A  No changes were made to our quantitative model during the Reporting Period.
 
 
 
13 


 

FUND BASICS
 
 

International Equity Dividend and Premium Fund
as of December 31, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                             
January 1, 2010–
  Fund Total Return
    MSCI EAFE (Net)
    Barclays Capital Global
     
December 31, 2010   (based on NAV)1     Index (unhedged)2     Aggregate Bond Index3      
 
Class A
    7.59 %     7.75 %     5.54 %    
Class C
    6.81       7.75       5.54      
Institutional
    8.10       7.75       5.54      
August 31, 2010–December 31, 2010
Class IR
    16.12 %     17.06 %     0.99 %    
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 The MSCI EAFE Index (unhedged and net of dividend withholding taxes) is an unmanaged market capitalization-weighted composite of securities in 22 developed markets. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
3 The Barclays Capital Global Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS4
 
                         
For the period ended 12/31/10   One Year     Since Inception     Inception Date    
 
Class A
    1.64 %     -5.83 %   1/31/08    
Class C
    5.78       -5.12     1/31/08    
Institutional
    8.10       -4.06     1/31/08    
Class IR
    N/A       16.12     8/31/10    
4 The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance period is one year or less) 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 5.5% 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 and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns.
 
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.
 
 
 
 14


 

FUND BASICS
 
 


 
EXPENSE RATIOS5
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    1.30 %     2.09 %    
Class C
    2.05       2.84      
Institutional
    0.90       1.69      
Class IR
    1.05       1.84      
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 may be modified or terminated in the future, consistent with the terms of any arrangements in place. If this occurs, the expense ratios may change without shareholder approval.
 
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 12/31/106
 
                     
          Since Inception
     
Class A Shares   One Year     (1/31/08)      
 
Returns before taxes*
    1.64 %     -5.83 %    
Returns after taxes on distributions**
    1.23       -5.98      
Returns after taxes on distributions***
and sale of Fund shares
    1.79       -4.70      
                     
6 The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions (currently 15% for qualifying ordinary income dividends and long-term capital gain distributions and 35% for non-qualifying ordinary income dividends) and do not reflect state and local taxes. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares.
* Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed.
 ** Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period.
 *** Returns After Taxes on Distributions and Sale of Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed.
 
 
 
15 


 

FUND BASICS
 
 


 
TOP 10 HOLDINGS AS OF 12/31/107
 
                 
    % of Net
         
Company   Assets     Line of Business   Country
 
Banco Santander SA
    2.2 %   Banks   Spain
Honda Motor Co. Ltd.
    2.1     Automobiles & Components   Japan
BHP Billiton PLC
    1.8     Materials   United Kingdom
Deutsche Telekom
AG (Registered)
    1.7     Telecommunication Services   Germany
Zurich Financial Services AG
    1.7     Insurance   Switzerland
GlaxoSmithKline PLC ADR
    1.7     Pharmaceuticals, Biotechnology
& Life Sciences
  United Kingdom
Ricoh Co. Ltd.
    1.7     Technology Hardware
& Equipment
  Japan
Nestle SA (Registered)
    1.6     Food, Beverage & Tobacco   Switzerland
HSBC Holdings PLC
    1.6     Banks   United Kingdom
National Australia Bank Ltd.
    1.5     Banks   Australia
7 The top 10 holdings may not be representative of the Fund’s current or future investments.
 
FUND VS. BENCHMARK SECTOR ALLOCATIONS8
 
 
As of December 31, 2010
 
(BAR CHART)
 
8 The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Underlying industry sector allocations of exchange traded funds (“ETFs”) held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Short-term investments represent investments in investment companies other than those that are exchange traded.
 
 
 
 16


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

Performance Summary
December 31, 2010
 
 
The following graph shows the value as of December 31, 2010, of a $10,000 investment made on January 31, 2008 (commencement of operations) in Class A Shares (with maximum sales charge of 5.5%). For comparative purposes, the performance of the Fund’s benchmarks, the MSCI EAFE Index (net of withholding taxes, unhedged) and the Barclays Capital Global Aggregate Bond Index (with dividends reinvested), 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 currently in effect and 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 C, Institutional and Class IR Shares will vary from Class A Shares due to differences in fees and sales charges. In addition to the investment adviser’s decision regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
 
International Equity Dividend and Premium Fund’s Lifetime Performance
 
Performance of a $10,000 Investment, with distributions reinvested, from January 31, 2008 through December 31, 2010.
 
[Graph]
 
                     
Average Annual Total Return through December 31, 2010   One Year     Since Inception      
 
Class A (Commenced January 31, 2008)
                   
Excluding sales charges
    7.59%       –3.99%      
Including sales charges
    1.64%       −5.83%      
 
 
Class C (Commenced January 31, 2008)
                   
Excluding contingent deferred sales charges
    6.81%       –5.12%      
Including contingent deferred sales charges
    5.78%       –5.12%      
 
 
Institutional (Commenced January 31, 2008)
    8.10%       –4.06%      
 
 
Class IR (Commenced August 31, 2010)
    n/a       16.12% *    
 
 
* Total return for periods of less than one full year are not annualized.
 
 
 
17 


 

INVESTMENT PROCESS
 
 

What Differentiates the Goldman Sachs Global
Structured Tax-Management Investment Process?
 
In managing money for many of the world’s wealthiest taxable investors, Goldman Sachs often constructs a diversified investment portfolio around a tax-managed core. With the Goldman Sachs Structured Tax-Managed Equity Fund and Structured International Tax-Managed Equity Fund, investors can access Goldman Sachs’ tax-smart investment expertise while capitalizing on this same strategic approach to portfolio construction.
 
Goldman Sachs Global Structured Tax-Management
Investment Process
 
The Goldman Sachs Global Structured Tax-Management investment process is a disciplined quantitative approach that has been consistently applied since 1989. With the Goldman Sachs Structured Tax-Managed Equity Fund and the Goldman Sachs Structured International Tax-Managed Equity Fund, the Structured investment process is enhanced with an additional layer that seeks to maximize after-tax returns.
 
(GRAPHIC)
 
n  Comprehensive
n  Extensive
n  Rigorous
n  Fundamental
n  Objective
n  Insightful
 
Advantage: Daily analysis of approximately 3,000 U.S. and International equity securities using a proprietary model.
 
(GRAPHIC)
 
n  Benchmark driven
n  Sector and size neutral
n  Tax optimized
 
Tax optimization is an additional layer that is built into the existing Structured investment process — a distinct advantage. While other managers may simply seek to minimize taxable distributions through a low turnover strategy, this extension of the Structured investment process seeks to maximize after-tax returns — the true objective of every taxable investor.
 
Advantage: Value added through stock selection — not market timing, industry rotation or style bias.
 
(GRAPHIC)
 
n  A fully invested, style-consistent portfolio
n  Broad access to the total U.S. and International equity markets
n  A consistent goal of seeking to maximize after-tax risk-adjusted returns
 
 
 
 18


 

PORTFOLIO RESULTS
 
 

Structured Tax-Managed Equity Fund
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Structured Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
 
How did the Fund perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, B, C, Institutional and Service Shares generated average annual total returns, without sales charges, of 13.46%, 12.65%, 12.59%, 14.04% and 13.34%, respectively. These returns compare to the 16.93% average annual total return of the Fund’s benchmark, the Russell 3000® Index (with dividends reinvested) (the “Index”), over the same time period.
 
The Fund’s Class IR Shares were launched on August 31, 2010. From August 31, 2010 through December 31, 2010, the Fund’s Class IR Shares generated a cumulative total return of 22.18%. This return compares to the 22.13% cumulative total return of the Russell 3000 Index during the same period.
 
What key factors were most responsible for the Fund’s performance during the Reporting Period?
 
A  As expected, and in keeping with our investment approach, our quantitative model and its six investment themes had the greatest impact on relative performance. We use these themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term.
 
The Fund underperformed the Index during the Reporting Period with four of its six investment themes detracting from relative returns. Momentum was the weakest-performing theme, followed by Valuation, Profitability and Quality. Our Momentum theme predicts drift in stock prices caused by under-reaction to company-specific information. Valuation attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Profitability assesses whether a company is earning more than its cost of capital, while Quality evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals.
 
Our Management theme, which assesses a company’s management strategy and behavior, contributed positively to the Fund’s relative results. Sentiment did not have a meaningful impact on relative performance during the Reporting Period. Sentiment reflects how Wall Street analysts’ views about a company’s earnings and prospects are changing over time.
 
How successful was your stock selection during the Reporting Period?
 
A  The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the entire U.S. equity market, ranging from large- to small-cap stocks. During the Reporting Period, stock selection detracted from the Fund’s relative performance.
 
Among individual holdings, which stocks contributed most to the Fund’s results?
 
A  Security selection in the health care, energy and financials sectors added to relative performance during the Reporting Period. The Fund benefited from overweighted positions relative to the Index in oil refiner Valero Energy and financial holding company BB&T. An underweighted position in network equipment maker Cisco Systems was also advantageous.
 
 
 
19 


 

PORTFOLIO RESULTS
 
 

 
Which individual stock holdings detracted most during the Reporting Period?
 
A  Holdings in the industrials, information technology and consumer discretionary sectors detracted from relative results. An underweighted position compared to the Index in technology and software maker Apple dampened performance. Also detracting from relative results were overweighted positions in computer hard drive manufacturer Western Digital and pharmaceutical company Eli Lilly.
 
How did the Fund use derivatives during the Reporting Period?
 
A  As we sought to increase the Fund’s total return and to hedge its portfolio against shifts in market conditions, we used index futures.
 
What changes or enhancements did you make to your quantitative model during the Reporting Period?
 
A  We continued to improve the factor timing within our Momentum theme and introduced a signal within our Profitability investment theme that seeks to gain exposure to companies that have an attractive product mix across regions and lines of business. We also added a new cross-stock signal to our Momentum theme to help our quantitative model link economically related companies, which have been identified using a composite of new sources including regulatory filings, corporate disclosures and strategic alliances. In addition, we implemented two major enhancements to our U.S. stock selection model and process. First, we improved our quantitative portfolio construction methodology to help us tailor trading to reflect a diverse spectrum of signal speeds. As a result, we believe exposures to virtually all signals are likely to improve. Second, we implemented a significant diversification enhancement to our factor set by adding new signals across our investment themes. These signals tend to overweight stocks with three general features: strong and stable growth prospects, lower risk of financial distress (with share prices that are also inexpensive), and attractive buyout opportunities. We believe that these enhancements have predictive ability and are likely to add value to our process over different parts of an economic cycle. In our opinion, they also combine tactical elements with time-oriented opportunities across and within sectors over time.
 
How was the Fund positioned relative to the Index at the end of the Reporting Period?
 
A  In constructing the Fund’s portfolio, we focus on picking stocks rather than on making industry or sector bets. Consequently, the Fund is similar to the Index in terms of its sector allocation and style. That said, the Fund was modestly overweight relative to the Index in the consumer discretionary and energy sectors at the end of the Reporting Period. It was modestly underweight financials, telecommunication services, utilities and consumer staples. Compared to the Index, the Fund was neutral in the information technology, healthcare, materials and industrials sectors at the end of the Reporting Period.
 
 
 
 20


 

FUND BASICS
 
 

Structured Tax-Managed Equity Fund
as of December 31, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                     
    Fund Total Return
           
January 1, 2010–December 31, 2010   (based on NAV)1     Russell 3000 Index2      
 
Class A
    13.46 %     16.93 %    
Class B
    12.65       16.93      
Class C
    12.59       16.93      
Institutional
    14.04       16.93      
Service
    13.34       16.93      
August 31, 2010–December 31, 2010
Class IR
    22.18 %     22.13 %    
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 Russell 3000 Index is an unmanaged index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization which represents approximately 98% of the investable U.S. equity market. Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3
 
                                         
For the period ended 12/31/10   One Year   Five Years   Ten Years   Since Inception   Inception Date    
 
Class A
    7.25 %     -1.54 %     0.82 %     -0.29 %   4/3/00    
Class B
    7.65       -1.58       0.76       -0.33     4/3/00    
Class C
    11.59       -1.18       0.63       -0.52     4/3/00    
Institutional
    14.04       -0.02       1.81       0.65     4/3/00    
Service
    13.34       -0.54       1.29       0.14     4/3/00    
Class IR
    N/A       N/A       N/A       22.18     8/31/10    
3 The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance period is one year or less) 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 5.5% 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, Service and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds).
 
Total return figures in the above charts represent past performance and do not indicate future results, which will vary. The investment return and principal value of an investment will fluctuate and, therefore, an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the total return figures in the above charts. Please visit 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.
 
 
 
21 


 

FUND BASICS
 
 


 
EXPENSE RATIOS4
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    1.09 %     1.28 %    
Class B
    1.84       2.03      
Class C
    1.84       2.03      
Institutional
    0.69       0.88      
Service
    1.19       1.38      
Class IR
    0.84       1.03      
4 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 may be modified or terminated in the future, consistent with the terms of any arrangements in place. If this occurs, the expense ratios may change without shareholder approval.
 
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 12/31/105
 
                                     
                      Since Inception
     
Class A Shares   One Year     Five Years     Ten Years     (4/3/00)      
 
Returns before taxes*
    7.25 %     -1.54 %     0.82 %     -0.29 %    
Returns after taxes on distributions**
    7.13       -1.66       0.74       -0.37      
Returns after taxes on distributions***
and sale of Fund shares
    4.87       -1.30       0.69       -0.25      
5 The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions (currently 15% for qualifying ordinary income dividends and long-term capital gain distributions and 35% for non-qualifying ordinary income dividends) and do not reflect state and local taxes. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares.
* Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed.
 ** Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period.
 *** Returns After Taxes on Distributions and Sale of Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed.
 
 
 
 22


 

FUND BASICS
 
 


 
TOP 10 HOLDINGS AS OF 12/31/106
 
                 
Holding   % of Net Assets     Line of Business    
 
Chevron Corp. 
    3.3 %   Energy    
Exxon Mobil Corp. 
    2.8     Energy    
Valero Energy Corp. 
    2.6     Energy    
Lorillard, Inc. 
    2.5     Food, Beverage & Tobacco    
Microsoft Corp. 
    2.5     Software & Services    
Amazon.com, Inc. 
    2.3     Retailing    
Pfizer, Inc. 
    2.2     Pharmaceuticals, Biotechnology & Life Sciences    
Accenture PLC Class A
    2.1     Software & Services    
Eli Lilly & Co. 
    1.9     Pharmaceuticals, Biotechnology & Life Sciences    
Allegiant Travel Co. 
    1.9     Transportation    
6The top 10 holdings may not be representative of the Fund’s future investments.
 
FUND VS. BENCHMARK SECTOR ALLOCATIONS7
 
 
As of December 31, 2010
 
(EQUITY SECTOR ALLOCATION BAR CHART)
 
7 The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 1.0% of the Fund’s net assets at December 31, 2010. Short-term investments represent investments in investment companies other than those that are exchange traded.
 
 
 
23 


 

GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
 
 

Performance Summary
December 31, 2010
 
 
The following graph shows the value as of December 31, 2010, of a $10,000 investment made on January 1, 2001 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 3000 Index (with dividends reinvested), 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 currently in effect and 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, Class B, Class C, Service and Class IR Shares will vary from Institutional Shares due to differences in fees and sales charges. In addition to the investment adviser’s decision regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
 
Structured Tax-Managed Equity Fund’s 10 Year Performance
 
Performance of a $10,000 Investment, with distributions reinvested, from January 1, 2001 through December 31, 2010.
 
[Graph]
 
                                     
Average Annual Total Return through December 31, 2010   One Year     Five Years     Ten Years     Since Inception      
 
Class A (Commenced April 3, 2000)
                                   
Excluding sales charges
    13.46%       –0.43%       1.39%       0.23%      
Including sales charges
    7.25%       –1.54%       0.82%       –0.29%      
 
 
Class B (Commenced April 3, 2000)
                                   
Excluding contingent deferred sales charges
    12.65%       –1.18%       0.76%       –0.33%      
Including contingent deferred sales charges
    7.65%       –1.58%       0.76%       –0.33%      
 
 
Class C (Commenced April 3, 2000)
                                   
Excluding contingent deferred sales charges
    12.59%       –1.18%       0.63%       –0.52%      
Including contingent deferred sales charges
    11.59%       –1.18%       0.63%       –0.52%      
 
 
Institutional (Commenced April 3, 2000)
    14.04%       –0.02%       1.81%       0.65%      
 
 
Service Class (Commenced April 3, 2000)
    13.34%       –0.54%       1.29%       0.14%      
 
 
Class IR (Commenced August 31, 2010)
    n/a       n/a       n/a       22.18% *    
 
 
* Total return for periods of less than one full year are not annualized.
 
 
 
 24


 

PORTFOLIO RESULTS
 
 

Structured International Tax-Managed Equity Fund
 
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Structured International Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2010 (the “Reporting Period”).
 
How did the Fund perform during the Reporting Period?
 
A  During the Reporting Period, the Fund’s Class A, C and Institutional Shares generated average annual total returns, without sales charges, of 8.64%, 7.89% and 9.17%, respectively. These returns compare to the 7.75% average annual total return of the Fund’s benchmark, the MSCI EAFE Index (unhedged, with dividends reinvested) (the “Index”), during the same time period.
 
The Fund’s Class IR Shares were launched on August 31, 2010. From August 31, 2010 through December 31, 2010, the Fund’s Class IR Shares generated a cumulative total return of 18.21%. This return compares to the 17.06% cumulative total return of the MSCI EAFE Index during the same period.
 
What key factors were most responsible for the Fund’s performance during the Reporting Period?
 
A  As expected, and in keeping with our investment approach, our quantitative model and its six investment themes had the greatest impact on relative performance. We use these themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term.
 
The Fund outperformed the Index during the Reporting Period, with four of its six investment themes contributing positively to results. Valuation was the best-performing theme. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. Momentum, Sentiment and Management also enhanced performance compared to the Index. Momentum predicts drift in stock prices caused by under-reaction to company-specific information. Sentiment reflects how Wall Street analysts’ views about a company’s earnings and prospects are changing over time, while Management assesses a company’s management strategy and behavior.
 
The Quality and Profitability themes detracted from relative returns. Quality evaluates whether the company’s earnings are coming from more persistent, cash-based sources, as opposed to accruals. Our Profitability theme assesses whether a company is earning more than its cost of capital.
 
How successful was your stock selection during the Reporting Period?
 
A  The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the entire EAFE equity market. During the Reporting Period, stock selection added to the Fund’s relative performance.
 
Among individual holdings, which stocks contributed most to the Fund’s results?
 
A  Security selection in the consumer discretionary, financials and industrials sectors added to relative results. The Fund benefited from overweighted positions in TUI, a German tourism and shipping company, and Compagnie Financière Richemont, a French luxury goods retailer. An underweighted position in U.K.-based bank HSBC Holdings also enhanced relative performance.
 
 
 
25 


 

PORTFOLIO RESULTS
 
 

 
Which individual stock holdings detracted most during the Reporting Period?
 
A  Stock picks in the health care, energy and information technology sectors hampered relative performance. Detracting were overweighted positions in British oil company BP, Spanish bank Banco Santander and French global pharmaceutical company Sanofi-Aventis.
 
How did the Fund use derivatives during the Reporting Period?
 
A  As we sought to increase the Fund’s total return and to hedge its portfolio against shifts in market conditions, we used index futures.
 
What changes or enhancements did you make to your quantitative model during the Reporting Period?
 
A  We implemented a timing mode to the Valuation theme within our Japan equity model. This model uses several inputs, including indications of market sentiment, perceptions of market risk and technical trends. By adding a timing strategy, we believe our model can generate incremental alpha, or value, especially when combined with the value factor. We also improved factor timing within the Momentum theme. In addition, we continued to extend our risk model enhancements to the Far East region as well as to smaller regions. We worked to improve our model generation infrastructure, particularly for smaller regions and with regard to global transaction costs. In addition, we continued research efforts focused on improving our portfolio construction methodology. We believe these enhancements are likely to add value to our process over time.
 
How was the Fund positioned relative to the Index at the end of the Reporting Period?
 
A  In constructing the Fund’s portfolio, we focus on picking stocks rather than on country weightings. Consequently, the Fund is similar to the Index in terms of its country allocation. That said, the Fund was slightly overweight relative to the Index to Germany, Finland and Ireland at the end of the Reporting Period. It was marginally underweight Spain, Belgium and Greece. Compared to the Index, the Fund was neutral in the U.K., Sweden, Denmark, the Netherlands, Austria, Australia, Hong Kong, Israel, Singapore, New Zealand, Italy, France, Norway, Japan, Portugal and Switzerland at the end of the Reporting Period.
 
 
 
 26


 

FUND BASICS
 
 

Structured International Tax-Managed Equity Fund
as of December 31, 2010
 
(GRAPHIC)
PERFORMANCE REVIEW
 
                     
    Fund Total Return
    MSCI EAFE (net)
     
January 1, 2010–December 31, 2010   (based on NAV)1     Index (unhedged)2      
 
Class A
    8.64 %     7.75 %    
Class C
    7.89       7.75      
Institutional
    9.17       7.75      
August 31, 2010–December 31, 2010
Class IR
    18.21 %     17.06 %    
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 The unmanaged MSCI EAFE Index (unhedged and net of dividend withholding taxes) is a market capitalization-weighted composite of securities in 21 developed markets. The figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
 
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3
 
                             
For the period ended 12/31/10   One Year     Since Inception     Inception Date      
 
Class A
    2.67 %     -7.56 %     1/31/08      
Class C
    6.87       -6.44       1/31/08      
Institutional
    9.17       -5.39       1/31/08      
Class IR
    N/A       18.21       8/31/10      
3 The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if performance period is one year or less) 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 5.5% 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 and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns.
 
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.
 
 
 
27 


 

FUND BASICS
 
 


 
EXPENSE RATIOS4
 
                     
    Net Expense Ratio (Current)     Gross Expense Ratio (Before Waivers)      
 
Class A
    1.26 %     1.67 %    
Class C
    2.01       2.42      
Institutional
    0.86       1.27      
Class IR
    1.01       1.42      
4 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 may be modified or terminated in the future, consistent with the terms of any arrangements in place. If this occurs, the expense ratios may change without shareholder approval.
 
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 12/31/105
 
                     
          Since Inception
     
Class A Shares   One Year     (1/31/08)      
 
Returns before taxes*
    2.67 %     -7.56 %    
Returns after taxes on distributions**
    2.45       -7.80      
Returns after taxes on distributions***
and sale of Fund shares
    2.13       -6.33      
5 The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions (currently 15% for qualifying ordinary income dividends and long-term capital gain distributions and 35% for non-qualifying ordinary income dividends) and do not reflect state and local taxes. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares.
* Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed.
 ** Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period.
 *** Returns After Taxes on Distributions and Sale of Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed.
 
 
 
 28


 

FUND BASICS
 
 


 
TOP 10 HOLDINGS AS OF 12/31/106
 
                     
    % of Net
             
Company   Assets     Line of Business   Country    
 
Honda Motor Co. Ltd. 
    2.0 %   Automobiles & Components   Japan    
E.ON AG
    1.7     Utilities   Germany    
Nestle SA (Registered)
    1.7     Food, Beverage & Tobacco   Switzerland    
Banco Santander SA
    1.7     Banks   Spain    
Royal Dutch Shell PLC
Class A
    1.7     Energy   Netherlands    
                     
AstraZeneca PLC
    1.7     Pharmaceuticals, Biotechnology
& Life Sciences
  United Kingdom    
Koninklijke DSM NV
    1.5     Materials   Netherlands    
BHP Billiton Ltd. 
    1.5     Materials   Australia    
Royal Dutch Shell PLC
Class B
    1.4     Energy   Netherlands    
Nippon Telegraph &
Telephone Corp.
    1.4     Telecommunication Services   Japan    
6 The top 10 holdings may not be representative of the Fund’s future investments.
 
FUND VS. BENCHMARK SECTOR ALLOCATIONS7
 
 
As of December 31, 2010
 
(SECTOR ALLOCATION BAR CHART)
 
7 The Fund is actively managed and, as such, its composition may differ over time. The above graph categorizes investments using Global Industry Classification Standard (“GICS”), however, the sector classifications used by the portfolio management team may differ from GICS. Consequently, the Fund’s overall industry sector allocations may differ from percentages contained in the graph above. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investment in the securities lending reinvestment vehicle represented 0.4% of the Fund’s net assets at December 31, 2010. Short-term investments represent investments in investment companies other than those that are exchange traded.
 
 
 
29 


 

 GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

Performance Summary
December 31, 2010
 
 
The following graph shows the value as of December 31, 2010, of a $10,000 investment made on January 31, 2008 (commencement of operations) in Class A Shares (with the maximum sales charge of 5.5%). For comparative purposes, the performance of the Fund’s benchmark the MSCI EAFE Index (net of withholding taxes, unhedged) 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 currently in effect and 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 C, Institutional and Class IR Shares will vary from Class A Shares due to differences in fees and sales charges. In addition to the investment adviser’s decision regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund.
 
Structured International Tax-Managed Equity Fund’s Lifetime Performance
 
Performance of a $10,000 Investment, with distributions reinvested, from January 31, 2008 through December 31, 2010.
 
[Graph]
 
                     
Average Annual Total Return through December 31, 2010   One Year     Since Inception      
 
Class A (Commenced January 31, 2008)
                   
Excluding sales charges
    8.64%       –5.76%      
Including sales charges
    2.67%       –7.56%      
 
 
Class C (Commenced January 31, 2008)
                   
Excluding contingent deferred sales charges
    7.89%       –6.44%      
Including contingent deferred sales charges
    6.87%       –6.44%      
 
 
Institutional (Commenced January 31, 2008)
    9.17%       –5.39%      
 
 
Class IR (Commenced August 31, 2010)
    n/a       18.21% *    
 
 
* Total return for periods of less than one full year are not annualized.
 
 
 
 30


 

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
 
 

Schedule of Investments
December 31, 2010
 
                     
    Shares   Description   Value
 

 Common Stocks – 92.6%
                     
                     
    Automobiles & Components – 0.6%
      176,200     Ford Motor Co.*   $ 2,958,398  
     
     
    Banks – 2.9%
      127,700     BancorpSouth, Inc.     2,036,815  
      28,000     Bank of Hawaii Corp.     1,321,880  
      26,200     BB&T Corp.     688,798  
      80,588     Capitol Federal Financial, Inc.     959,800  
      5,300     M&T Bank Corp.     461,377  
      101,500     Synovus Financial Corp.     267,960  
      14,100     TCF Financial Corp.     208,821  
      234,280     Valley National Bancorp     3,350,204  
      125,500     Wells Fargo & Co.     3,889,245  
                     
                  13,184,900  
     
     
    Capital Goods – 7.8%
      79,000     Armstrong World Industries, Inc.     3,397,000  
      70,700     Caterpillar, Inc.     6,621,762  
      2,600     Deere & Co.     215,930  
      552,750     General Electric Co.(a)     10,109,797  
      86,200     Honeywell International, Inc.     4,582,392  
      37,400     Illinois Tool Works, Inc.     1,997,160  
      72,100     Lockheed Martin Corp.     5,040,511  
      57,050     The Boeing Co.     3,723,083  
                     
                  35,687,635  
     
     
    Commercial & Professional Services – 2.0%
      192,300     Pitney Bowes, Inc.     4,649,814  
      254,300     R.R. Donnelley & Sons Co.     4,442,621  
                     
                  9,092,435  
     
     
    Consumer Durables & Apparel – 1.7%
      48,000     Garmin Ltd.     1,487,520  
      197,500     Leggett & Platt, Inc.     4,495,100  
      65,900     Mattel, Inc.     1,675,837  
                     
                  7,658,457  
     
     
    Consumer Services – 1.9%
      149,200     H&R Block, Inc.     1,776,972  
      72,000     McDonald’s Corp.     5,526,720  
      2,900     Wynn Resorts Ltd.     301,136  
      18,100     Yum! Brands, Inc.     887,805  
                     
                  8,492,633  
     
     
    Diversified Financials – 7.1%
      68,400     American Express Co.     2,935,728  
      535,281     Bank of America Corp.(a)(b)     7,140,649  
      17,500     BlackRock, Inc.     3,335,150  
      594,300     Citigroup, Inc.*     2,811,039  
      89,500     Federated Investors, Inc. Class B     2,342,215  
      134,200     JPMorgan Chase & Co.     5,692,764  
      69,900     Morgan Stanley     1,901,979  
      95,700     NYSE Euronext     2,869,086  
      27,000     State Street Corp.     1,251,180  
      29,300     T. Rowe Price Group, Inc.     1,891,022  
                     
                  32,170,812  
     
     
    Energy – 11.4%
      102,000     Chesapeake Energy Corp.     2,642,820  
      112,700     Chevron Corp.(a)(b)     10,283,875  
      121,150     ConocoPhillips     8,250,315  
      23,000     Consol Energy, Inc.     1,121,020  
      45,100     Diamond Offshore Drilling, Inc.     3,015,837  
      250,600     Exxon Mobil Corp.(a)(b)     18,323,872  
      37,100     Halliburton Co.     1,514,793  
      29,900     SEACOR Holdings, Inc.     3,022,591  
      154,100     Spectra Energy Corp.     3,850,959  
                     
                  52,026,082  
     
     
    Food & Staples Retailing – 2.0%
      83,000     Sysco Corp.     2,440,200  
      27,000     Walgreen Co.     1,051,920  
      103,300     Wal-Mart Stores, Inc.     5,570,969  
                     
                  9,063,089  
     
     
    Food, Beverage & Tobacco – 5.0%
      252,600     Altria Group, Inc.     6,219,012  
      23,900     ConAgra Foods, Inc.     539,662  
      56,200     General Mills, Inc.     2,000,158  
      203,900     Kraft Foods, Inc. Class A     6,424,889  
      74,500     PepsiCo, Inc.     4,867,085  
      35,600     Reynolds American, Inc.     1,161,272  
      21,600     The Coca-Cola Co.     1,420,632  
                     
                  22,632,710  
     
     
    Health Care Equipment & Services – 1.9%
      77,800     Baxter International, Inc.     3,938,236  
      106,500     Medtronic, Inc.     3,950,085  
      16,400     WellPoint, Inc.*     932,504  
                     
                  8,820,825  
     
     
    Household & Personal Products – 3.4%
      17,500     Colgate-Palmolive Co.     1,406,475  
      83,300     Kimberly-Clark Corp.     5,251,232  
      135,400     The Procter & Gamble Co.(a)     8,710,282  
                     
                  15,367,989  
     
     
    Insurance – 3.5%
      21,200     Arthur J. Gallagher & Co.     616,496  
      13,100     Berkshire Hathaway, Inc. Class B*     1,049,441  
      142,700     Cincinnati Financial Corp.     4,522,163  
      73,300     Fidelity National Financial, Inc. Class A     1,002,744  
      15,600     Mercury General Corp.     670,956  
      70,800     MetLife, Inc.     3,146,352  
      48,000     Old Republic International Corp.     654,240  
      48,100     Prudential Financial, Inc.     2,823,951  
      53,700     The Allstate Corp.     1,711,956  
                     
                  16,198,299  
     
     
    Materials – 4.6%
      119,700     E.I. du Pont de Nemours & Co.     5,970,636  
      45,400     Freeport-McMoRan Copper & Gold, Inc.     5,452,086  
      32,600     Monsanto Co.     2,270,264  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
31 


 

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
Schedule of Investments (continued)
December 31, 2010
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Materials – (continued)
                     
      18,500     Newmont Mining Corp.   $ 1,136,455  
      82,100     Nucor Corp.     3,597,622  
      50,300     Southern Copper Corp.     2,451,622  
                     
                  20,878,685  
     
     
    Media – 2.7%
      162,100     Comcast Corp. Class A     3,561,337  
      116,600     Comcast Corp. Special A Shares     2,426,446  
      60,400     Regal Entertainment Group Class A     709,096  
      41,100     The Walt Disney Co.     1,541,661  
      123,901     Time Warner, Inc.     3,985,895  
                     
                  12,224,435  
     
     
    Pharmaceuticals, Biotechnology & Life Sciences – 7.6%
      61,600     Abbott Laboratories     2,951,256  
      226,350     Bristol-Myers Squibb Co.(a)     5,993,748  
      161,500     Eli Lilly & Co.     5,658,960  
      16,900     Gilead Sciences, Inc.*     612,456  
      36,500     Johnson & Johnson     2,257,525  
      234,750     Merck & Co., Inc.     8,460,390  
      498,700     Pfizer, Inc.(a)(b)     8,732,237  
                     
                  34,666,572  
     
     
    Real Estate Investment Trust – 1.3%
      1     CBL & Associates Properties, Inc.     18  
      12,900     Equity Residential     670,155  
      81,601     Host Hotels & Resorts, Inc.     1,458,210  
      26,500     ProLogis     382,660  
      21,001     Simon Property Group, Inc.     2,089,389  
      3,300     SL Green Realty Corp.     222,783  
      24,035     The Macerich Co.     1,138,538  
                     
                  5,961,753  
     
     
    Retailing – 2.2%
      109,400     American Eagle Outfitters, Inc.     1,600,522  
      79,500     J.C. Penney Co., Inc.     2,568,645  
      161,600     The Home Depot, Inc.(a)     5,665,696  
                     
                  9,834,863  
     
     
    Semiconductors & Semiconductor Equipment – 3.7%
      105,000     Applied Materials, Inc.     1,475,250  
      402,700     Intel Corp.(a)     8,468,781  
      29,000     Intersil Corp. Class A     442,830  
      43,700     KLA-Tencor Corp.     1,688,568  
      23,700     Maxim Integrated Products, Inc.     559,794  
      124,900     Microchip Technology, Inc.     4,272,829  
      7,300     Xilinx, Inc.     211,554  
                     
                  17,119,606  
     
     
    Software & Services – 7.0%
      27,300     Accenture PLC Class A     1,323,777  
      3,000     Alliance Data Systems Corp.*     213,090  
      107,500     Automatic Data Processing, Inc.     4,975,100  
      10,800     Google, Inc. Class A*     6,414,876  
      18,700     International Business Machines Corp.     2,744,412  
      395,750     Microsoft Corp.(a)     11,049,340  
      154,100     Paychex, Inc.     4,763,231  
      5,500     Visa, Inc. Class A     387,090  
      1,900     VMware, Inc. Class A*     168,929  
                     
                  32,039,845  
     
     
    Technology Hardware & Equipment – 5.9%
      31,900     Apple, Inc.*     10,289,664  
      128,400     Cisco Systems, Inc.*     2,597,532  
      120,400     Corning, Inc.     2,326,128  
      35,900     Diebold, Inc.     1,150,595  
      39,500     Hewlett-Packard Co.     1,662,950  
      50,800     Molex, Inc.     1,154,176  
      32,200     Molex, Inc. Class A     607,614  
      97,800     QUALCOMM, Inc.     4,840,122  
      99,300     Seagate Technology*     1,492,479  
      22,100     Tyco Electronics Ltd.     782,340  
                     
                  26,903,600  
     
     
    Telecommunication Services – 2.9%
      313,328     AT&T, Inc.(a)(b)     9,205,576  
      375,500     Sprint Nextel Corp.*     1,588,375  
      70,500     Verizon Communications, Inc.     2,522,490  
                     
                  13,316,441  
     
     
    Transportation – 0.4%
      24,600     United Parcel Service, Inc. Class B     1,785,468  
     
     
    Utilities – 3.1%
      76,200     Consolidated Edison, Inc.     3,777,234  
      286,450     Duke Energy Corp.     5,101,675  
      12,400     Integrys Energy Group, Inc.     601,524  
      105,500     Progress Energy, Inc.     4,587,140  
                     
                  14,067,573  
     
     
    TOTAL COMMON STOCKS
    (Cost $418,497,375)   $ 422,153,105  
     
     
    Shares   Rate   Value
 

 Short-term Investment(c) – 7.8%
                     
                     
   
JPMorgan U.S. Government Money Market Fund – Capital Shares
      35,711,940     0.043%   $ 35,711,940  
    (Cost $35,711,940)        
     
     
    TOTAL INVESTMENTS – 100.4%
    (Cost $454,209,315)   $ 457,865,045  
     
     
   
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.4)%
    (1,868,821 )
     
     
    NET ASSETS – 100.0%   $ 455,996,224  
     
     
                     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 32


 

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
 
 
 

 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 
* Non-income producing security.
 
(a) A portion of this security is held as collateral for call options written.
 
(b) A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
 
(c) Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010.
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
S & P 500 E-mini Index
    487     March 2011   $ 30,510,550     $ 246,360  
 
 
 
WRITTEN OPTIONS — For the year ended December 31, 2010, the Fund had the following written options activity:
 
                 
    Number of
  Premiums
    Contracts   Received
 
Contracts Outstanding December 31, 2009
    937     $ 2,958,465  
 
 
Contracts written
    4,594       15,613,072  
Contracts expired
    (1,231 )     (3,544,049 )
Contracts bought to close
    (2,981 )     (10,240,837 )
 
 
Contracts Outstanding December 31, 2010
    1,319     $ 4,786,651  
 
 
 
At December 31, 2010, the Fund had outstanding written options as follows:
 
                             
    Number of
  Exercise
  Expiration
   
Call Options   Contracts   Rate   Month   Value
 
S & P 500 Index
    1,319       USD 1,250     March 2011   $ (5,539,800 )
(Premiums Received $4,786,651)
                           
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
33 


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

Schedule of Investments
December 31, 2010
 
                     
    Shares   Description   Value
 

 Common Stocks – 87.9%
                     
                     
    Australia – 7.8%
      7,399     Australia & New Zealand Banking Group Ltd. (Banks)   $ 176,726  
      4,160     Bendigo and Adelaide Bank Ltd. (Banks)     42,365  
      3,764     BHP Billiton Ltd. (Materials)     175,030  
      220,314     BlueScope Steel Ltd. (Materials)     506,345  
      23,078     Boral Ltd. (Materials)     114,164  
      8,661     Caltex Australia Ltd. (Energy)     127,274  
      31,129     Commonwealth Bank of Australia (Banks)     1,617,479  
      31,360     Foster’s Group Ltd. (Food, Beverage & Tobacco)     182,305  
      377,409     Goodman Group (REIT)     250,820  
      1,169     Leighton Holdings Ltd. (Capital Goods)     36,846  
      4,345     Lend Lease Corp. Ltd. (Real Estate)     38,365  
      6,809     MacArthur Coal Ltd. (Materials)     89,404  
      156,568     MAp Group (Transportation)     478,565  
      329,003     Metcash Ltd. (Food & Staples Retailing)     1,382,289  
      116,144     Mirvac Group (REIT)     145,725  
      163,419     National Australia Bank Ltd. (Banks)     3,964,800  
      319,393     OneSteel Ltd. (Materials)     846,123  
      27,195     Orica Ltd. (Materials)     693,543  
      29,384     Origin Energy Ltd. (Energy)     501,010  
      2,464     QBE Insurance Group Ltd. (Insurance)     45,759  
      41,385     Rio Tinto Ltd. (Materials)     3,623,962  
      7,580     Santos Ltd. (Energy)     102,055  
      45,581     Sonic Healthcare Ltd. (Health Care Equipment & Services)     541,845  
      116,049     SP AusNet (Utilities)     103,244  
      23,912     Stockland Crop. Ltd. (REIT)     88,080  
      71,492     Tabcorp Holdings Ltd. (Consumer Services)     519,843  
      184,696     Telstra Corp. Ltd. (Telecommunication Services)     526,923  
      43,571     Toll Holdings Ltd. (Transportation)     255,680  
      4,574     Wesfarmers Ltd. (Food & Staples Retailing)     149,841  
      4,803     Wesfarmers Ltd. (Price Protected Shares) (Food & Staples Retailing)     158,874  
      61,594     Westfield Group (REIT)     603,332  
      61,594     Westfield Retail Trust (REIT)*     161,906  
      59,547     Westpac Banking Corp. (Banks)     1,352,784  
      12,162     Woodside Petroleum Ltd. (Energy)     529,784  
                     
                  20,133,090  
     
     
    Belgium – 1.0%
      12,228     Belgacom SA (Telecommunication Services)     410,822  
      10,392     Mobistar SA (Telecommunication Services)     674,311  
      3,613     Solvay SA (Materials)     385,245  
      19,860     Umicore (Materials)(a)     1,033,990  
                     
                  2,504,368  
     
     
    Bermuda – 1.2%
      89,582     Seadrill Ltd. (Energy)     3,055,929  
     
     
    China – 0.0%
      26,000     Yangzijiang Shipbuilding Holdings Ltd. Class H (Capital Goods)     38,718  
     
     
    Denmark – 0.4%
      6,198     Carlsberg A/S Class B (Food, Beverage & Tobacco)     622,128  
      2,836     Danske Bank A/S (Banks)*     72,730  
      2,376     Tryg A/S (Insurance)     109,571  
      7,149     Vestas Wind Systems A/S (Capital Goods)*     226,411  
                     
                  1,030,840  
     
     
    Finland – 1.3%
      63,700     Nokia Oyj (Technology Hardware & Equipment)     659,853  
      79,271     Orion Oyj Class B (Pharmaceuticals, Biotechnology & Life Sciences)(a)     1,735,434  
      21,135     Rautaruukki Oyj (Materials)(a)     496,280  
      5,300     Wartsila Oyj (Capital Goods)     403,879  
                     
                  3,295,446  
     
     
    France – 7.7%
      1,685     Air Liquide SA (Materials)     213,344  
      67,053     Alstom SA (Capital Goods)     3,213,909  
      48,941     AXA SA (Insurance)     814,639  
      8,059     BNP Paribas (Banks)     513,247  
      8,770     Cap Gemini SA (Software & Services)     409,992  
      3,532     Carrefour SA (Food & Staples Retailing)     145,632  
      5,325     Casino Guichard Perrachon SA (Food & Staples Retailing)     519,579  
      509     Christian Dior SA (Consumer Durables & Apparel)     72,804  
      7,845     Compagnie de Saint-Gobain SA (Capital Goods)     404,058  
      1,755     Compagnie Generale des Etablissements Michelin Class B (Automobiles & Components)     125,983  
      35,852     Credit Agricole SA (Banks)     455,881  
      42,768     France Telecom SA (Telecommunication Services)(a)     894,951  
      4,362     Klepierre SA (REIT)     157,545  
      36,050     Lafarge SA (Materials)     2,263,084  
      416     LVMH Moet Hennessy Louis Vuitton SA (Consumer Durables & Apparel)     68,517  
      10,972     Neopost SA (Technology Hardware & Equipment)(a)     956,847  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 34


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
 
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    France – (continued)
                     
      1,155     Renault SA (Automobiles & Components)*   $ 67,235  
      57,972     Sanofi-Aventis SA (Pharmaceuticals, Biotechnology & Life Sciences)(a)(b)     3,716,607  
      8,191     Societe Generale SA (Banks)     440,729  
      20,401     Total SA (Energy)(b)     1,086,602  
      908     Unibail-Rodamco SE (REIT)     179,781  
      1,499     Vallourec SA (Capital Goods)     157,602  
      113,331     Vivendi SA (Media)(a)     3,062,371  
                     
                  19,940,939  
     
     
    Germany – 7.0%
      495     Allianz SE (Registered) (Insurance)     58,813  
      11,255     BASF SE (Materials)     898,177  
      8,954     Deutsche Boerse AG (Diversified Financials)     618,637  
      153,969     Deutsche Post AG (Registered) (Transportation)     2,612,098  
      348,880     Deutsche Telekom AG (Registered) (Telecommunication Services)     4,497,456  
      22,142     E.ON AG (Utilities)     676,187  
      58,693     GEA Group AG (Capital Goods)     1,696,123  
      1,742     Linde AG (Materials)     263,527  
      35,670     RWE AG (Utilities)     2,382,378  
      13,895     RWE AG Preference Shares (Utilities)(a)     891,207  
      6,301     Siemens AG (Registered) (Capital Goods)     780,529  
      5,632     Suedzucker AG (Food, Beverage & Tobacco)     150,410  
      1,115     ThyssenKrupp AG (Materials)     46,322  
      14,550     Volkswagen AG Preference Shares (Automobiles & Components)     2,365,650  
                     
                  17,937,514  
     
     
    Greece – 0.5%
      79,518     OPAP SA (Consumer Services)     1,375,803  
     
     
    Hong Kong – 2.5%
      19,400     AIA Group Ltd. (Insurance)*     54,535  
      6,100     ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment)     77,039  
      73,000     BOC Hong Kong (Holdings) Ltd. (Banks)     248,238  
      44,000     Cheung Kong Holdings Ltd. (Real Estate)     678,105  
      22,500     CLP Holdings Ltd. (Utilities)     182,694  
      39,984     Esprit Holdings Ltd. (Retailing)     190,200  
      18,000     Hang Lung Group Ltd. (Real Estate)     118,263  
      39,000     Hang Lung Properties Ltd. (Real Estate)     182,287  
      29,700     Hang Seng Bank Ltd. (Banks)     487,981  
      20,000     Henderson Land Development Co. Ltd. (Real Estate)     136,232  
      73,300     Hong Kong & China Gas Co. Ltd. (Utilities)     172,718  
      61,500     Hong Kong Electric Holdings Ltd. (Utilities)     387,698  
      37,800     Hong Kong Exchanges and Clearing Ltd. (Diversified Financials)     857,027  
      62,000     Hutchison Whampoa Ltd. (Capital Goods)     637,813  
      9,500     Kerry Properties Ltd. (Real Estate)     49,460  
      64,000     Li & Fung Ltd. (Retailing)     371,330  
      34,000     MTR Corp. Ltd. (Transportation)     123,727  
      57,483     New World Development Ltd. (Real Estate)     107,850  
      76,150     Noble Group Ltd. (Capital Goods)     128,711  
      87,573     Sino Land Co. Ltd. (Real Estate)     163,633  
      42,000     Sun Hung Kai Properties Ltd. (Real Estate)     696,847  
      7,500     Swire Pacific Ltd. Class A (Real Estate)     123,225  
      14,020     The Bank of East Asia Ltd. (Banks)     58,668  
      43,100     The Link Real Estate Investment Trust (REIT)     133,824  
      18,000     The Wharf (Holdings) Ltd. (Real Estate)     138,392  
      7,500     Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel)     26,979  
                     
                  6,533,476  
     
     
    Israel – 0.7%
      51,307     Bank Leumi Le-Israel BM (Banks)     262,993  
      50,880     Bezeq Israeli Telecommunication Corp. Ltd. (Telecommunication Services)     154,900  
      17,632     Israel Chemicals Ltd. (Materials)     301,978  
      19,559     Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences)     1,019,611  
                     
                  1,739,482  
     
     
    Italy – 2.7%
      296,429     Enel SpA (Utilities)     1,485,410  
      74,561     Eni SpA (Energy)(a)     1,634,173  
      47,855     Fiat SpA (Automobiles & Components)     989,689  
      31,156     Finmeccanica SpA (Capital Goods)     354,468  
      815,008     Parmalat SpA (Food, Beverage & Tobacco)     2,235,609  
      8,503     Prysmian SpA (Capital Goods)     144,913  
      113,009     UniCredit SpA (Banks)     234,285  
                     
                  7,078,547  
     
     
                     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
35 


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
Schedule of Investments (continued)
December 31, 2010
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
                     
    Japan – 19.8%
      30,200     AEON Credit Service Co. Ltd. (Diversified Financials)   $ 424,943  
      1,200     Aisin Seiki Co. Ltd. (Automobiles & Components)     42,284  
      64,000     Asahi Glass Co. Ltd. (Capital Goods)     744,310  
      1,100     Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)     41,806  
      117,600     Casio Computer Co. Ltd. (Consumer Durables & Apparel)     943,891  
      45,000     Dai Nippon Printing Co. Ltd. (Commercial & Professional Services)     610,348  
      49,000     Daiwa Securities Group, Inc. (Diversified Financials)     251,351  
      62,000     Dowa Holdings Co. Ltd. (Materials)     405,052  
      1,700     East Japan Railway Co. (Transportation)     110,311  
      6,900     Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     249,278  
      48,000     Fujitsu Ltd. (Technology Hardware & Equipment)     332,561  
      48,000     Furukawa Electric Co. Ltd. (Capital Goods)     214,809  
      140,000     Honda Motor Co. Ltd. (Automobiles & Components)     5,525,630  
      16,000     ITOCHU Corp. (Capital Goods)     161,212  
      42     Japan Prime Realty Investment Corp. (REIT)     129,151  
      4     Japan Real Estate Investment Corp. (REIT)     41,438  
      83     Japan Retail Fund Investment Corp. (REIT)     158,725  
      90     Japan Tobacco, Inc. (Food, Beverage & Tobacco)     332,331  
      13,000     Kaneka Corp. (Materials)     89,819  
      62,000     Kawasaki Kisen Kaisha Ltd. (Transportation)     269,932  
      3,900     Komatsu Ltd. (Capital Goods)     117,378  
      18,000     Kubota Corp. (Capital Goods)     169,580  
      43,400     Kyushu Electric Power Co., Inc. (Utilities)     971,639  
      17,300     Lawson, Inc. (Food & Staples Retailing)     854,045  
      41,300     Marui Group Co. Ltd. (Retailing)     335,330  
      26,200     Mitsubishi Corp. (Capital Goods)     706,136  
      52,000     Mitsubishi Estate Co. Ltd. (Real Estate)     961,023  
      81,100     Mitsui & Co. Ltd. (Capital Goods)     1,334,412  
      58,000     Mitsui Engineering & Shipbuilding Co. Ltd. (Capital Goods)     152,930  
      16,000     Mitsui Fudosan Co. Ltd. (Real Estate)     317,977  
      10,200     Mitsumi Electric Co. Ltd. (Technology Hardware & Equipment)     186,405  
      1,658,500     Mizuho Financial Group, Inc. (Banks)     3,111,138  
      15,100     MS&AD Insurance Group Holdings, Inc. (Insurance)     376,937  
      39,000     NEC Corp. (Technology Hardware & Equipment)     116,688  
      100     Nintendo Co. Ltd. (Software & Services)     29,195  
      282,000     Nippon Express Co. Ltd. (Transportation)     1,266,431  
      28,300     Nippon Paper Group, Inc. (Materials)     740,803  
      157,000     Nippon Sheet Glass Co. Ltd. (Capital Goods)     421,113  
      188,000     Nippon Yusen Kabushiki Kaisha (Transportation)     827,682  
      3,100     Nissan Motor Co. Ltd. (Automobiles & Components)     29,326  
      88,000     NKSJ Holdings, Inc. (Insurance)*     645,543  
      73,200     Nomura Holdings, Inc. (Diversified Financials)     464,459  
      58,000     NSK Ltd. (Capital Goods)     521,614  
      226,000     NTN Corp. (Capital Goods)     1,192,691  
      1,238     NTT DoCoMo, Inc. (Telecommunication Services)     2,156,108  
      3,300     Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     153,885  
      26,400     Oracle Corp. Japan (Software & Services)     1,294,130  
      295,000     Ricoh Co. Ltd. (Technology Hardware & Equipment)     4,301,398  
      9,400     Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment)     611,307  
      16,700     Sankyo Co. Ltd. (Consumer Durables & Apparel)     940,935  
      96,000     Sekisui House Ltd. (Consumer Durables & Apparel)     967,346  
      16,400     Seven & I Holdings Co. Ltd. (Food & Staples Retailing)     436,308  
      2,600     Shin-Etsu Chemical Co. Ltd. (Materials)     140,131  
      17,300     Shinko Electric Industries Co. Ltd. (Semiconductors & Semiconductor Equipment)     193,011  
      37,000     Shiseido Co. Ltd. (Household & Personal Products)     805,725  
      43,700     Stanley Electric Co. Ltd. (Automobiles & Components)     812,618  
      18,500     Sumitomo Corp. (Capital Goods)     260,429  
      36,600     Sumitomo Electric Industries Ltd. (Capital Goods)     505,782  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 36


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
 
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Japan – (continued)
                     
      333,000     Sumitomo Metal Industries Ltd. (Materials)   $ 816,352  
      52,700     Sumitomo Mitsui Financial Group, Inc. (Banks)     1,865,956  
      1,000     Suzuken Co. Ltd. (Health Care Equipment & Services)     30,491  
      10,550     T&D Holdings, Inc. (Insurance)     266,133  
      48,900     Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     2,402,253  
      5,100     The Kansai Electric Power Co., Inc. (Utilities)     125,760  
      62,500     Tohoku Electric Power Co., Inc (Utilities)     1,391,517  
      5,500     Tokio Marine Holdings, Inc. (Insurance)     163,391  
      1,100     Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment)     69,258  
      12,000     Tokyo Tatemono Co. Ltd. (Real Estate)     55,309  
      72,000     TonenGeneral Sekiyu KK (Energy)     785,606  
      477,000     Tosoh Corp. (Materials)     1,544,698  
      3,300     Toyoda Gosei Co. Ltd. (Automobiles & Components)     77,208  
      2,450     USS Co. Ltd. (Retailing)     199,932  
      152     West Japan Railway Co. (Transportation)     567,340  
                     
                  50,869,974  
     
     
    Luxembourg – 0.3%
      17,492     ArcelorMittal (Materials)     665,683  
     
     
    Netherlands – 5.0%
      6,148     Akzo Nobel NV (Materials)     382,510  
      5,201     Corio NV (REIT)     333,948  
      86,863     ING Groep NV CVA (Diversified Financials)*     847,408  
      43,636     Koninklijke Philips Electronics NV (Capital Goods)     1,337,755  
      109,874     Royal Dutch Shell PLC Class A (Energy)(a)     3,641,017  
      90,096     Royal Dutch Shell PLC Class B (Energy)     2,983,507  
      108,078     Unilever NV CVA (Food, Beverage & Tobacco)     3,371,751  
                     
                  12,897,896  
     
     
    Portugal – 0.1%
      27,634     Brisa Auto-Estradas de Portugal SA (Transportation)     192,754  
     
     
    Singapore – 1.4%
      75,000     CapitaLand Ltd. (Real Estate)     216,938  
      57,000     CapitaMall Trust (REIT)     86,693  
      20,000     CapitaMalls Asia Ltd. (Real Estate)     30,245  
      13,000     City Developments Ltd. (Real Estate)     127,409  
      26,000     ComfortDelgro Corp. Ltd. (Transportation)     31,399  
      38,000     DBS Group Holdings Ltd. (Banks)     424,139  
      6,000     Fraser and Neave Ltd. (Capital Goods)     29,953  
      142,000     Genting Singapore PLC (Consumer Services)*     242,921  
      11,000     Jardine Cycle & Carriage Ltd. (Retailing)     313,647  
      16,000     Keppel Corp. Ltd. (Capital Goods)     141,177  
      41,000     Olam International Ltd. (Food & Staples Retailing)     100,415  
      56,144     Oversea-Chinese Banking Corp. Ltd. (Banks)     432,250  
      8,000     SembCorp Industries Ltd. (Capital Goods)     32,024  
      39,000     SembCorp Marine Ltd. (Capital Goods)     163,152  
      26,000     Singapore Airlines Ltd. (Transportation)     310,245  
      17,000     Singapore Exchange Ltd. (Diversified Financials)     111,491  
      170,000     Singapore Telecommunications Ltd. (Telecommunication Services)     403,978  
      18,000     United Overseas Bank Ltd. (Banks)     255,438  
      24,000     UOL Group Ltd. (Real Estate)     88,926  
      36,000     Wilmar International Ltd. (Food, Beverage & Tobacco)     158,263  
                     
                  3,700,703  
     
     
    Spain – 3.4%
      10,081     ACS Actividades de Construccion y Servicios SA (Capital Goods)     473,443  
      81,030     Banco Bilbao Vizcaya Argentaria SA (Banks)     825,794  
      199,012     Banco Popular Espanol SA (Banks)     1,026,168  
      523,969     Banco Santander SA (Banks)(a)     5,583,285  
      11,569     Bankinter SA (Banks)     64,399  
      1,251     Fomento de Construcciones y Contratas SA (Capital Goods)     32,946  
      12,100     Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences)     165,381  
      5,227     Indra Sistemas SA (Software & Services)     89,592  
      18,812     Repsol YPF SA (Energy)     526,801  
                     
                  8,787,809  
     
     
    Sweden – 2.6%
      22,067     Boliden AB (Materials)     449,591  
      101,118     Electrolux AB Class B (Consumer Durables & Apparel)     2,869,503  
      5,562     Hennes & Mauritz AB Class B (Retailing)     185,243  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
37 


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
Schedule of Investments (continued)
December 31, 2010
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Sweden – (continued)
                     
      14,667     Investor AB Class B (Diversified Financials)   $ 313,848  
      30,713     Nordea Bank AB (Banks)     333,938  
      4,107     Sandvik AB (Capital Goods)     80,135  
      152,582     Securitas AB Class B (Commercial & Professional Services)     1,786,734  
      47,336     Skandinaviska Enskilda Banken AB Class A (Banks)     395,219  
      5,917     SKF AB Class B (Capital Goods)     168,852  
      5,110     SSAB AB Class A (Materials)     86,124  
                     
                  6,669,187  
     
     
    Switzerland – 7.9%
      93,444     Credit Suisse Group AG (Registered) (Diversified Financials)     3,763,452  
      9,354     Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     749,771  
      69,645     Nestle SA (Registered) (Food, Beverage & Tobacco)(a)(b)     4,080,060  
      39,207     Nobel Biocare Holding AG (Registered) (Health Care Equipment & Services)     739,494  
      26,788     Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     1,576,892  
      9,110     Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences)     1,335,461  
      86     Sika AG (Materials)     188,790  
      119,455     STMicroelectronics NV (Semiconductors & Semiconductor Equipment)     1,242,257  
      2,819     Syngenta AG (Registered) (Materials)     826,344  
      52,908     Xstrata PLC (Materials)     1,253,724  
      17,179     Zurich Financial Services AG (Insurance)     4,448,789  
                     
                  20,205,034  
     
     
    United Kingdom – 14.6%
      313,337     Aviva PLC (Insurance)     1,926,048  
      277,990     BAE Systems PLC (Capital Goods)     1,431,876  
      89,965     Balfour Beatty PLC (Capital Goods)     439,916  
      633,567     Barclays PLC (Banks)     2,618,475  
      114,424     BHP Billiton PLC (Materials)(a)     4,603,500  
      75,835     BP PLC ADR (Energy)(a)(b)     3,349,632  
      59,927     British American Tobacco PLC (Food, Beverage & Tobacco)(a)(b)     2,305,166  
      12,571     Bunzl PLC (Capital Goods)     141,152  
      8,497     Diageo PLC (Food, Beverage & Tobacco)     157,433  
      101,854     Firstgroup PLC (Transportation)     633,736  
      110,610     GlaxoSmithKline PLC ADR(a) (Pharmaceuticals, Biotechnology & Life Sciences)     4,338,124  
      267,513     Home Retail Group PLC (Retailing)     790,520  
      396,688     HSBC Holdings PLC (Banks)     4,054,223  
      4,466     Imperial Tobacco Group PLC (Food, Beverage & Tobacco)     137,284  
      52,347     J Sainsbury PLC (Food & Staples Retailing)     307,533  
      19,706     Land Securities Group PLC (REIT)     207,871  
      229,179     Man Group PLC (Diversified Financials)     1,062,684  
      168,146     National Grid PLC (Utilities)     1,453,335  
      11,622     Pearson PLC (Media)     183,154  
      57,441     Reed Elsevier PLC (Media)     485,206  
      25,636     Rio Tinto PLC (Materials)     1,827,381  
      14,865     Scottish & Southern Energy PLC (Utilities)     283,956  
      37,479     Segro PLC (REIT)     167,821  
      8,116     Standard Chartered PLC (Banks)     219,098  
      11,390     The British Land Co. PLC (REIT)     93,495  
      104,904     The Sage Group PLC (Software & Services)     448,095  
      385,579     TUI Travel PLC (Consumer Services)     1,485,919  
      57,448     Unilever PLC (Food, Beverage & Tobacco)(a)(b)     1,764,591  
      35,696     United Utilities Group PLC (Utilities)     330,250  
      3,255     Vedanta Resources PLC (Materials)     128,416  
      1,330     Vodafone Group PLC ADR (Telecommunication Services)     35,152  
      9,212     WPP PLC (Media)     113,885  
                     
                  37,524,927  
     
     
    TOTAL COMMON STOCKS
    (Cost $212,251,526)   $ 226,178,119  
     
     
                     
                     

 Exchange Traded Fund – 1.5%
                     
                     
    United States – 1.5%
      66,700     iShares MSCI EAFE Index Fund   $ 3,883,941  
    (Cost $3,902,757)
     
                     
 
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 38


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
 
 
 
                         
    Shares   Rate   Value
 

 Short-term Investment(c) – 2.0%
                         
                         
   
JPMorgan U.S. Government Money Market Fund – Capital Shares
      5,257,001       0.043 %   $ 5,257,001  
    (Cost $5,257,001)
     
    TOTAL INVESTMENTS – 91.4%
    (Cost $221,411,284)   $ 235,319,061  
     
     
   
OTHER ASSETS IN EXCESS OF LIABILITIES – 8.6%
    22,023,006  
     
     
    NET ASSETS – 100.0%   $ 257,342,067  
     
     

 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 
* Non-income producing security.
 
(a) A portion of this security is held as collateral for call options written.
 
(b) A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
 
(c) Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010.
 
             
     
     
    Investment Abbreviations:
    ADR     American Depositary Receipt
    CVA     Dutch Certification
    REIT     Real Estate Investment Trust
     
     
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
Dow Jones EURO STOXX 50 Index
    302     March 2011   $ 11,275,539     $ (189,477 )
FTSE 100 Index
    66     March 2011     6,063,932       19,825  
TSE TOPIX Index
    45     March 2011     4,966,129       29,052  
 
 
TOTAL
                      $ (140,600 )
 
 
 
WRITTEN OPTIONS — For the year ended December 31, 2010, the Fund had the following written options activity:
 
                 
    Number of
   
    Contracts   Premiums Received
 
Contracts Outstanding December 31, 2009
    479     $ 996,829  
 
 
Contracts written
    4,410       7,855,571  
Contracts expired
    (1,421 )     (1,943,405 )
Contracts bought to close
    (2,145 )     (4,493,315 )
 
 
Contracts Outstanding December 31, 2010
    1,323     $ 2,415,680  
 
 
 
At December 31, 2010, the Fund had outstanding written options as follows:
 
                             
    Number of
  Exercise
  Expiration
   
Call Options   Contracts   Rate   Month   Value
 
Dow Jones EURO STOXX 50 Index
    832     EUR 2,850     March 2011     $ (985,056 )
FTSE 100 Index
    312     GBP 6,000     March 2011       (690,744 )
Nikkei-225 Stock Average
    179     JPY 10,500     March 2011       (438,957 )
 
 
Total (Premiums Received $2,415,680)
    1,323                 $ (2,114,757 )
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
39 


 

GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
 
 

Schedule of Investments
December 31, 2010
 
                     
    Shares   Description   Value
 

 Common Stocks – 96.5%
                     
                     
    Automobiles & Components – 1.8%
      2,549     Autoliv, Inc.   $ 201,218  
      96,391     Dana Holding Corp.*     1,658,889  
      7,351     Federal-Mogul Corp.*     151,798  
      47,405     Johnson Controls, Inc.     1,810,871  
      32,543     TRW Automotive Holdings Corp.*     1,715,016  
                     
                  5,537,792  
     
     
    Banks – 1.4%
      1,995     Commerce Bancshares, Inc.     79,261  
      1,315     Cullen/Frost Bankers, Inc.     80,373  
      64,843     International Bancshares Corp.     1,298,805  
      2,639     M&T Bank Corp.     229,725  
      13,392     PNC Financial Services Group, Inc.     813,162  
      27,498     SunTrust Banks, Inc.     811,466  
      4,405     U.S. Bancorp     118,803  
      29,332     Wells Fargo & Co.     908,999  
                     
                  4,340,594  
     
     
    Capital Goods – 7.1%
      21,017     3M Co.     1,813,767  
      10,853     AGCO Corp.*     549,813  
      11,467     Applied Industrial Technologies, Inc.     372,448  
      1,414     Armstrong World Industries, Inc.     60,802  
      46,702     ArvinMeritor, Inc.*     958,325  
      33,348     Astec Industries, Inc.*     1,080,809  
      7,597     Caterpillar, Inc.     711,535  
      1,872     CLARCOR, Inc.     80,290  
      18,931     Cummins, Inc.     2,082,599  
      14,228     Emerson Electric Co.     813,415  
      4,972     Generac Holdings, Inc.*     80,397  
      35,058     General Cable Corp.*     1,230,185  
      28,295     General Electric Co.     517,516  
      2,229     Harsco Corp.     63,125  
      70,770     Honeywell International, Inc.     3,762,133  
      6,180     II-VI, Inc.*     286,505  
      629     Joy Global, Inc.     54,586  
      1,792     Kaydon Corp.     72,970  
      1,358     Kennametal, Inc.     53,587  
      30,268     Lydall, Inc.*     243,657  
      21,947     Miller Industries, Inc.     312,306  
      13,668     MSC Industrial Direct Co.,Inc. Class A     884,183  
      1,370     Navistar International Corp.*     79,337  
      17,358     Northrop Grumman Corp.     1,124,451  
      3,500     Oshkosh Corp.*     123,340  
      9,837     Polypore International, Inc.*     400,661  
      15,322     Rockwell Automation, Inc.     1,098,741  
      15,952     Sauer-Danfoss, Inc.*     450,644  
      6,015     The Boeing Co.     392,539  
      1,361     Timken Co.     64,961  
      7,402     TriMas Corp.*     151,445  
      3,514     Twin Disc, Inc.     104,928  
      4,264     United Rentals, Inc.*     97,006  
      9,086     Vicor Corp.     149,010  
      1,954     W.W. Grainger, Inc.     269,867  
      11,279     WABCO Holdings, Inc.*     687,229  
      3,058     Watsco, Inc.     192,899  
      1,244     WESCO International, Inc.*     65,683  
                     
                  21,537,694  
     
     
    Commercial & Professional Services – 0.1%
      1,311     Clean Harbors, Inc.*     110,229  
      1,940     HNI Corp.     60,528  
      2,107     Robert Half International, Inc.     64,474  
                     
                  235,231  
     
     
    Consumer Durables & Apparel – 1.7%
      6,884     Fossil, Inc.*     485,184  
      24,132     Garmin Ltd.(a)     747,851  
      27,488     Harman International Industries, Inc.*     1,272,694  
      8,753     NIKE, Inc. Class B     747,681  
      9,441     Oxford Industries, Inc.     241,784  
      10,629     Polaris Industries, Inc.     829,275  
      19,195     Tempur-Pedic International, Inc.*     768,952  
                     
                  5,093,421  
     
     
    Consumer Services – 2.2%
      2,839     Apollo Group, Inc. Class A*     112,112  
      62,325     Carnival Corp.     2,873,806  
      691     Chipotle Mexican Grill, Inc. Class A*     146,948  
      14,945     Darden Restaurants, Inc.     694,046  
      10,536     McDonald’s Corp.     808,743  
      60,264     Starbucks Corp.     1,936,282  
                     
                  6,571,937  
     
     
    Diversified Financials – 5.4%
      32,191     Advance America, Cash Advance Centers, Inc.     181,557  
      736     BlackRock, Inc.     140,267  
      43,038     Capital One Financial Corp.     1,831,697  
      11,072     CME Group, Inc.     3,562,416  
      12,078     Eaton Vance Corp.     365,118  
      20,734     Federated Investors, Inc. Class B(a)     542,609  
      5,763     Financial Engines, Inc.*     114,280  
      35,706     Franklin Resources, Inc.     3,970,864  
      25,611     JPMorgan Chase & Co.     1,086,419  
      3,072     Leucadia National Corp.     89,641  
      99,719     Morgan Stanley     2,713,354  
      8,974     SEI Investments Co.     213,492  
      50,290     The Bank of New York Mellon Corp.     1,518,758  
                     
                  16,330,472  
     
     
    Energy – 11.7%
      108,605     Chevron Corp.     9,910,206  
      70,946     Complete Production Services, Inc.*     2,096,454  
      63,746     ConocoPhillips     4,341,103  
      15,207     Dresser-Rand Group, Inc.*     647,666  
      15,701     Dril-Quip, Inc.*     1,220,282  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 40


 

GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
 
 

 
 
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Energy – (continued)
                     
      117,790     Exxon Mobil Corp.   $ 8,612,805  
      23,698     Sunoco, Inc.     955,266  
      339,569     Valero Energy Corp.     7,850,835  
      4,947     W&T Offshore, Inc.     88,403  
                     
                  35,723,020  
     
     
    Food & Staples Retailing – 1.4%
      8,671     Costco Wholesale Corp.     626,133  
      1,265     PriceSmart, Inc.     48,108  
      67,566     Wal-Mart Stores, Inc.     3,643,834  
                     
                  4,318,075  
     
     
    Food, Beverage & Tobacco – 4.9%
      9,117     Boston Beer Co., Inc. Class A*     866,936  
      4,570     Brown-Forman Corp. Class B     318,163  
      6,730     Bunge Ltd.     440,950  
      1,571     Dr. Pepper Snapple Group, Inc.     55,236  
      2,158     Flowers Foods, Inc.     58,072  
      1,031     Hansen Natural Corp.*     53,901  
      1,731     Hormel Foods Corp.     88,731  
      11,234     Kellogg Co.     573,833  
      4,339     Lancaster Colony Corp.     248,191  
      93,036     Lorillard, Inc.     7,634,534  
      4,957     Molson Coors Brewing Co. Class B     248,792  
      10,953     Philip Morris International, Inc.     641,079  
      17,361     Smithfield Foods, Inc.*     358,157  
      36,322     The Coca-Cola Co.     2,388,898  
      57,075     Tyson Foods, Inc. Class A     982,831  
                     
                  14,958,304  
     
     
    Health Care Equipment & Services – 3.3%
      17,572     Becton, Dickinson and Co.     1,485,185  
      114,035     Boston Scientific Corp.*     863,245  
      39,912     Cardinal Health, Inc.     1,529,029  
      7,698     Cerner Corp.*     729,308  
      27,469     Coventry Health Care, Inc.*     725,182  
      1,692     DaVita, Inc.*     117,577  
      50,031     DENTSPLY International, Inc.     1,709,559  
      23,849     Health Net, Inc.*     650,839  
      9,345     Hologic, Inc.*     175,873  
      14,137     Humana, Inc.*     773,859  
      1,010     IDEXX Laboratories, Inc.*     69,912  
      3,267     Lincare Holdings, Inc.     87,654  
      3,223     Masimo Corp.     93,693  
      13,418     McKesson Corp.     944,359  
      5,764     Sirona Dental Systems, Inc.*     240,820  
                     
                  10,196,094  
     
     
    Household & Personal Products – 2.1%
      51,237     Colgate-Palmolive Co.     4,117,918  
      8,004     Herbalife Ltd.     547,233  
      27,499     The Procter & Gamble Co.     1,769,011  
                     
                  6,434,162  
     
     
    Insurance – 5.2%
      24,542     Aflac, Inc.     1,384,905  
      2,285     Assurant, Inc.     88,018  
      15     Berkshire Hathaway, Inc. Class A*     1,806,750  
      30,946     Berkshire Hathaway, Inc. Class B*     2,479,084  
      23,330     Everest Re Group Ltd.     1,978,851  
      17,921     Flagstone Reinsurance Holdings SA     225,805  
      96,389     Loews Corp.     3,750,496  
      15,378     MetLife, Inc.     683,398  
      12,717     PartnerRe Ltd.     1,021,811  
      2,161     Protective Life Corp.     57,569  
      29,369     Prudential Financial, Inc.     1,724,254  
      1,913     StanCorp Financial Group, Inc.     86,353  
      20,002     Symetra Financial Corp.     274,027  
      6,780     Unum Group     164,212  
                     
                  15,725,533  
     
     
    Materials – 4.2%
      1,330     Airgas, Inc.     83,072  
      6,478     Clearwater Paper Corp.*     507,227  
      11,203     Domtar Corp.     850,532  
      6,705     E.I. du Pont de Nemours & Co.     334,445  
      1,487     Kraton Performance Polymers, Inc.*     46,023  
      24,343     Monsanto Co.     1,695,246  
      44,548     Newmont Mining Corp.     2,736,584  
      5,679     OM Group, Inc.*     218,698  
      630     PPG Industries, Inc.     52,964  
      1,811     Reliance Steel & Aluminum Co.     92,542  
      11,053     Rockwood Holdings, Inc.*     432,393  
      66,005     Southern Copper Corp.     3,217,084  
      5,343     STR Holdings, Inc.*     106,860  
      22,849     The Sherwin-Williams Co.     1,913,604  
      11,321     Titanium Metals Corp.*     194,495  
      465     Walter Energy, Inc.     59,446  
      3,300     Westlake Chemical Corp.     143,451  
                     
                  12,684,666  
     
     
    Media – 1.7%
      43,030     DIRECTV Class A*     1,718,188  
      36,330     DISH Network Corp. Class A*     714,248  
      45,545     Time Warner, Inc.     1,465,182  
      43,958     Virgin Media, Inc.     1,197,416  
                     
                  5,095,034  
     
     
    Pharmaceuticals, Biotechnology & Life Sciences – 7.8%
      7,935     Abbott Laboratories     380,166  
      71,893     Amgen, Inc.*(b)     3,946,926  
      26,458     Biogen Idec, Inc.*     1,774,009  
      20,521     Celgene Corp.*     1,213,612  
      17,885     Cephalon, Inc.*     1,103,862  
      2,304     Charles River Laboratories International, Inc.*     81,884  
      166,977     Eli Lilly & Co.     5,850,874  
      6,038     Forest Laboratories, Inc.*     193,095  
      25,455     Gilead Sciences, Inc.*     922,489  
      5,484     Johnson & Johnson     339,186  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
41 


 

GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
 
 

 
Schedule of Investments (continued)
December 31, 2010
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Pharmaceuticals, Biotechnology & Life Sciences – (continued)
                     
      29,833     Merck & Co., Inc.   $ 1,075,181  
      383,351     Pfizer, Inc.     6,712,476  
                     
                  23,593,760  
     
     
    Real Estate Investment Trust – 3.1%
      17,417     AMB Property Corp.     552,293  
      77,244     Annaly Capital Management, Inc.     1,384,213  
      14,841     HCP, Inc.     546,001  
      15,986     Public Storage, Inc.     1,621,300  
      6,693     Rayonier, Inc.     351,516  
      32,465     Simon Property Group, Inc.     3,229,943  
      12,769     The Howard Hughes Corp.*     694,889  
      54,201     Weyerhaeuser Co.     1,026,108  
                     
                  9,406,263  
     
     
    Retailing – 4.9%
      889     Advance Auto Parts, Inc.     58,807  
      39,548     Amazon.com, Inc.*     7,118,640  
      96,603     AnnTaylor Stores Corp.*     2,645,956  
      27,834     Cabela’s, Inc.*     605,389  
      25,158     Dillard’s, Inc. Class A     954,495  
      7,488     Dollar Tree, Inc.*     419,927  
      2,277     Genesco, Inc.*     85,365  
      5,807     Group 1 Automotive, Inc.     242,500  
      8,792     Limited Brands, Inc.     270,178  
      4,316     Lithia Motors, Inc. Class A     61,676  
      1,442     O’Reilly Automotive, Inc.*     87,126  
      2,158     Ross Stores, Inc.     136,493  
      9,121     Sonic Automotive, Inc. Class A     120,762  
      18,026     Ulta Salon Cosmetics & Fragrance, Inc.*     612,884  
      27,517     Urban Outfitters, Inc.*     985,384  
      17,803     Zumiez, Inc.*     478,367  
                     
                  14,883,949  
     
     
    Semiconductors & Semiconductor Equipment – 2.8%
      19,392     Broadcom Corp. Class A     844,522  
      51,187     Fairchild Semiconductor International, Inc.*     799,029  
      19,394     Integrated Device Technology, Inc.*     129,164  
      224,486     Intel Corp.     4,720,940  
      93,446     Lattice Semiconductor Corp.*     566,283  
      64,329     Marvell Technology Group Ltd.*     1,193,303  
      15,886     Micrel, Inc.     206,359  
      29,166     Silicon Image, Inc.*     214,370  
                     
                  8,673,970  
     
     
    Software & Services – 10.7%
      129,725     Accenture PLC Class A     6,290,365  
      147,241     Activision Blizzard, Inc.     1,831,678  
      2,713     Amdocs Ltd.*     74,526  
      1,542     ANSYS, Inc.*     80,292  
      10,558     AOL, Inc.*     250,330  
      7,168     Citrix Systems, Inc.*     490,363  
      86,452     eBay, Inc.*     2,405,959  
      5,724     Google, Inc. Class A*     3,399,884  
      6,236     Mantech International Corp. Class A*     257,734  
      270,298     Microsoft Corp.     7,546,720  
      6,842     MicroStrategy, Inc. Class A*     584,786  
      13,252     NeuStar, Inc. Class A*     345,215  
      107,873     Oracle Corp.     3,376,425  
      46,626     RealNetworks, Inc.*     195,829  
      7,230     Salesforce.com, Inc.*     954,360  
      5,478     TeleTech Holdings, Inc.*     112,792  
      38,335     Teradata Corp.*     1,577,869  
      51,486     VeriFone Systems, Inc.*     1,985,300  
      19,152     VeriSign, Inc.     625,696  
                     
                  32,386,123  
     
     
    Technology Hardware & Equipment – 4.2%
      4,023     Apple, Inc.*     1,297,659  
      4,227     Aruba Networks, Inc.*     88,260  
      17,517     Electronics for Imaging, Inc.*     250,668  
      42,545     EMC Corp.*     974,280  
      2,811     F5 Networks, Inc.*     365,880  
      2,249     Harris Corp.     101,880  
      4,369     Infinera Corp.*     45,132  
      36,440     Ingram Micro, Inc. Class A*     695,639  
      6,611     JDS Uniphase Corp.*     95,727  
      155,364     Motorola, Inc.*     1,409,151  
      21,931     National Instruments Corp.     825,483  
      12,274     NetApp, Inc.*     674,579  
      2,467     Plantronics, Inc.     91,822  
      2,771     QLogic Corp.*     47,162  
      19,558     Riverbed Technology, Inc.*     687,855  
      43,138     SanDisk Corp.*     2,150,861  
      7,621     Synaptics, Inc.*     223,905  
      174,757     Vishay Intertechnology, Inc.*     2,565,433  
      13,049     Xyratex Ltd.*     212,848  
                     
                  12,804,224  
     
     
    Telecommunication Services – 2.0%
      130,636     AT&T, Inc.(b)     3,838,086  
      27,591     USA Mobility, Inc.     490,302  
      49,791     Verizon Communications, Inc.     1,781,522  
                     
                  6,109,910  
     
     
    Transportation – 4.0%
      37,174     Alaska Air Group, Inc.*     2,107,394  
      118,226     Allegiant Travel Co.     5,821,448  
      548,045     JetBlue Airways Corp.*     3,622,578  
      32,800     SkyWest, Inc.     512,336  
                     
                  12,063,756  
     
     
    Utilities – 2.8%
      73,334     Ameren Corp.     2,067,286  
      173,814     Duke Energy Corp.     3,095,627  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 42


 

GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
 
 

 
 
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Utilities – (continued)
                     
      27,369     Sempra Energy   $ 1,436,325  
      50,782     Southern Co.     1,941,396  
                     
                  8,540,634  
     
     
    TOTAL COMMON STOCKS
    (Cost $266,907,601)   $ 293,244,618  
     
     
    Shares   Rate   Value
 

 Short-term Investment(c) – 3.2%
                     
                     
   
JPMorgan U.S. Government Money Market Fund – Capital Shares
      9,568,441     0.043%   $ 9,568,441  
    (Cost $9,568,441)        
     
     
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE
    (Cost $276,476,042)   $ 302,813,059  
     
     
                     
                     

 Securities Lending Reinvestment Vehicle(c)(d) – 1.0%
                     
                     
   
Goldman Sachs Financial Square Money Market Fund – FST Shares
      3,021,175     0.140%   $ 3,021,175  
    (Cost $3,021,175)        
     
     
    TOTAL INVESTMENTS – 100.7%
    (Cost $279,497,217)   $ 305,834,234  
     
     
   
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.7)%
    (2,099,076 )
     
     
    NET ASSETS – 100.0%   $ 303,735,158  
     
     
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 
* Non-income producing security.
 
(a) All or a portion of security is on loan.
 
(b) A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
 
(c) Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010.
 
(d) Represents an affiliated issuer.
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
Russell 2000 Mini Index
    8     March 2011   $ 625,840     $ 8,907  
S&P 500 E-mini Index
    109     March 2011     6,828,850       87,207  
 
 
TOTAL
                      $ 96,114  
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
43 


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

Schedule of Investments
December 31, 2010
 
                     
    Shares   Description   Value
 

 Common Stocks – 97.3%
                     
                     
    Australia – 8.6%
      15,536     AGL Energy Ltd. (Utilities)   $ 242,192  
      15,403     Alumina Ltd. (Materials)     39,156  
      7,028     AMP Ltd. (Insurance)     38,029  
      43,948     Australia & New Zealand Banking Group Ltd. (Banks)     1,049,704  
      32,094     Bendigo and Adelaide Bank Ltd. (Banks)     326,842  
      51,765     BHP Billiton Ltd. (Materials)     2,407,130  
      52,133     Caltex Australia Ltd. (Energy)     766,098  
      24,879     Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco)     276,650  
      16,945     Commonwealth Bank of Australia (Banks)     880,471  
      4,027     Computershare Ltd. (Software & Services)     44,386  
      112,740     Dexus Property Group (REIT)     91,647  
      23,764     Fairfax Media Ltd. (Media)     34,076  
      100,824     Foster’s Group Ltd. (Food, Beverage & Tobacco)     586,120  
      93,531     Goodman Fielder Ltd. (Food, Beverage & Tobacco)     128,716  
      75,701     Incitec Pivot Ltd. (Materials)     306,891  
      18,663     Insurance Australia Group Ltd. (Insurance)     74,122  
      191,146     MAp Group (Transportation)     584,256  
      32,343     Metcash Ltd. (Food & Staples Retailing)     135,888  
      32,270     National Australia Bank Ltd. (Banks)     782,921  
      11,689     Orica Ltd. (Materials)     298,100  
      108,653     OZ Minerals Ltd. (Materials)     191,899  
      16,395     Paladin Energy Ltd. (Energy)*     82,633  
      14,272     Qantas Airways Ltd. (Transportation)*     37,078  
      13,868     QBE Insurance Group Ltd. (Insurance)     257,544  
      9,900     Rio Tinto Ltd. (Materials)     866,914  
      14,638     Santos Ltd. (Energy)     197,081  
      11,864     Sonic Healthcare Ltd. (Health Care Equipment & Services)     141,033  
      265,024     SP AusNet (Utilities)     235,782  
      10,761     Stockland Corp. Ltd. (REIT)     39,638  
      31,419     Suncorp-Metway Ltd. (Insurance)     276,685  
      46,731     Tatts Group Ltd. (Consumer Services)     123,396  
      8,124     Wesfarmers Ltd. (Food & Staples Retailing)     266,136  
      1,898     Wesfarmers Ltd. (Price Protected Shares) (Food & Staples Retailing)     62,782  
      61,068     Westfield Group (REIT)     598,180  
      53,631     Westfield Retail Trust (REIT)*     140,974  
      40,106     Westpac Banking Corp. (Banks)     911,125  
      664     Woodside Petroleum Ltd. (Energy)     28,924  
      10,836     WorleyParsons Ltd. (Energy)     296,784  
                     
                  13,847,983  
     
     
    Austria – 0.4%
      8,916     OMV AG (Energy)     371,578  
      3,540     Raiffeisen International Bank-Holding AG (Banks)     194,999  
                     
                  566,577  
     
     
    Belgium – 0.5%
      4,066     Delhaize Group SA (Food & Staples Retailing)     300,693  
      4,305     KBC Groep NV (Banks)*     146,683  
      4,448     Mobistar SA (Telecommunication Services)     288,619  
      1,311     Solvay SA (Materials)     139,789  
                     
                  875,784  
     
     
    Bermuda – 0.1%
      5,400     Seadrill Ltd. (Energy)     184,211  
     
     
    China – 0.1%
      75,000     Foxconn International Holdings Ltd. Class H (Technology Hardware & Equipment)*     52,353  
      69,000     Yangzijiang Shipbuilding Holdings Ltd. Class H (Capital Goods)     102,753  
                     
                  155,106  
     
     
    Denmark – 1.0%
      15     A.P. Moller – Maersk A/S Class A (Transportation)     132,149  
      6,655     Carlsberg A/S Class B (Food, Beverage & Tobacco)     667,999  
      1,676     Coloplast A/S Class B (Health Care Equipment & Services)     227,756  
      22,894     DSV A/S (Transportation)     507,489  
      1,193     Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences)     134,409  
                     
                  1,669,802  
     
     
    Finland – 1.5%
      8,526     Elisa Oyj Class A (Telecommunication Services)     185,627  
      14,272     Fortum Oyj (Utilities)     430,490  
      19,130     Kesko Oyj Class B (Food & Staples Retailing)     893,947  
      34,319     Nokia Oyj (Technology Hardware & Equipment)     355,502  
      18,834     Sampo Oyj Class A (Insurance)     503,611  
                     
                  2,369,177  
     
     
    France – 8.7%
      4,951     Accor SA (Consumer Services)     220,652  
      1,593     Atos Origin SA (Software & Services)*     84,951  
      22,810     AXA SA (Insurance)     379,680  
      13,913     BNP Paribas (Banks)     886,066  
      1,487     Casino Guichard Perrachon SA (Food & Staples Retailing)     145,092  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 44


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

 
 
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    France – (continued)
                     
      1,451     Christian Dior SA (Consumer Durables & Apparel)   $ 207,541  
      7,220     Compagnie Generale de Geophysicque-Veritas (Energy)*     220,405  
      10,269     Credit Agricole SA (Banks)     130,577  
      4,951     Edenred SA (Commercial & Professional Services)*     117,203  
      70,488     France Telecom SA (Telecommunication Services)     1,475,012  
      1,301     Gecina SA (REIT)     143,229  
      14,348     Lagardere S.C.A. (Media)     591,557  
      6,112     Legrand SA (Capital Goods)     249,307  
      1,286     L’Oreal SA (Household & Personal Products)     142,992  
      3,426     LVMH Moet Hennessy Louis Vuitton SA (Consumer Durables & Apparel)     564,274  
      11,261     PSA Peugeot Citroen SA (Automobiles & Components)*     427,880  
      16,763     Renault SA (Automobiles & Components)*     975,806  
      6,913     Safran SA (Capital Goods)     245,054  
      24,552     Sanofi-Aventis SA (Pharmaceuticals, Biotechnology & Life Sciences)(a)     1,574,038  
      10,283     Schneider Electric SA (Capital Goods)     1,541,782  
      769     Societe BIC SA (Commercial & Professional Services)     66,110  
      7,215     Societe Generale SA (Banks)     388,214  
      6,145     Technip SA (Energy)     568,000  
      30,523     Total SA (Energy)     1,625,721  
      1,295     Unibail-Rodamco SE (REIT)     256,406  
      28,677     Veolia Environnement SA (Utilities)     839,409  
                     
                  14,066,958  
     
     
    Germany – 8.5%
      17,616     Adidas AG (Registered) (Consumer Durables & Apparel)     1,145,898  
      6,219     Allianz SE (Registered) (Insurance)     738,910  
      13,524     BASF SE (Materials)     1,079,248  
      9,190     Bayer AG (Pharmaceuticals, Biotechnology & Life Sciences)     681,226  
      4,321     Celesio AG (Health Care Equipment & Services)     107,681  
      11,742     Commerzbank AG (Banks)*(b)     87,416  
      4,234     Daimler AG (Registered) (Automobiles & Components)*     286,491  
      5,810     Deutsche Bank AG (Registered) (Diversified Financials)     303,838  
      16,814     Deutsche Post AG (Registered) (Transportation)     285,251  
      90,286     E.ON AG (Utilities)     2,757,212  
      16,641     Henkel AG & Co. KGaA (Household & Personal Products)     857,992  
      3,627     Hochtief AG (Capital Goods)     307,467  
      1,043     Lanxess AG (Materials)     82,008  
      2,327     Metro AG (Food & Staples Retailing)     167,954  
      4,487     Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (Insurance)     679,573  
      11,452     Porsche Automobil Holding SE Preference Shares (Automobiles & Components)     914,742  
      3,224     SAP AG (Software & Services)     164,431  
      10,631     Siemens AG (Registered) (Capital Goods)     1,316,903  
      17,781     Suedzucker AG (Food, Beverage & Tobacco)     474,865  
      87,749     TUI AG (Consumer Services)*     1,230,940  
      876     Volkswagen AG (Automobiles & Components)     124,252  
                     
                  13,794,298  
     
     
    Hong Kong – 2.8%
      87,000     AIA Group Ltd. (Insurance)*     244,564  
      1,000     ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment)     12,629  
      61,000     BOC Hong Kong (Holdings) Ltd. (Banks)     207,432  
      5,000     Cathay Pacific Airways Ltd. (Transportation)     13,793  
      18,000     Cheung Kong Holdings Ltd. (Real Estate)     277,407  
      16,000     Cheung Kong Infrastructure Holdings Ltd. (Utilities)     73,253  
      27,000     CLP Holdings Ltd. (Utilities)     219,233  
      21,350     Esprit Holdings Ltd. (Retailing)     101,560  
      6,000     Hang Lung Properties Ltd. (Real Estate)     28,044  
      6,500     Hang Seng Bank Ltd. (Banks)     106,797  
      26,400     Hong Kong & China Gas Co. Ltd. (Utilities)     62,207  
      9,000     Hong Kong Electric Holdings Ltd. (Utilities)     56,736  
      10,400     Hong Kong Exchanges and Clearing Ltd. (Diversified Financials)     235,796  
      40,000     Hutchison Whampoa Ltd. (Capital Goods)     411,492  
      68,794     Hysan Development Co. Ltd. (Real Estate)     323,705  
      18,000     Li & Fung Ltd. (Retailing)     104,437  
      223,945     New World Development Ltd. (Real Estate)     420,165  
      23,798     Noble Group Ltd. (Capital Goods)     40,224  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
45 


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

 
Schedule of Investments (continued)
December 31, 2010
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Hong Kong – (continued)
                     
      54,341     NWS Holdings Ltd. (Capital Goods)   $ 82,472  
      14,500     Orient Overseas International Ltd. (Transportation)     140,557  
      12,800     Sands China Ltd. (Consumer Services)*     28,139  
      4,000     Sun Hung Kai Properties Ltd. (Real Estate)     66,367  
      39,500     Swire Pacific Ltd. Class A (Real Estate)     648,986  
      31,325     The Link Real Estate Investment Trust (REIT)     97,262  
      6,000     The Wharf (Holdings) Ltd. (Real Estate)     46,131  
      13,000     Wheelock & Co. Ltd. (Real Estate)     52,567  
      2,500     Wing Hang Bank Ltd. (Banks)     34,557  
      52,400     Wynn Macau Ltd. (Consumer Services)     117,278  
      62,000     Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel)     223,027  
                     
                  4,476,817  
     
     
    Ireland – 0.5%
      23,880     Kerry Group PLC Class A (Food, Beverage & Tobacco)     796,814  
     
     
    Israel – 0.8%
      35,506     Bank Hapoalim BM (Banks)*     184,855  
      4,842     Bank Leumi Le-Israel BM (Banks)     24,819  
      12,548     Bezeq Israeli Telecommunication Corp. Ltd. (Telecommunication Services)     38,201  
      4,848     Israel Chemicals Ltd. (Materials)     83,030  
      8,826     Makhteshim-Agan Industries Ltd. (Materials)*     45,329  
      3,285     Mizrahi Tefahot Bank Ltd. (Banks)     36,127  
      856     NICE Systems Ltd. ADR (Software & Services)*     29,874  
      2,436     Partner Communications Co. Ltd. (Telecommunication Services)     49,315  
      13,485     Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences)     702,973  
      44     The Israel Corp. Ltd. (Materials)*     53,385  
                     
                  1,247,908  
     
     
    Italy – 2.5%
      29,271     Eni SpA (Energy)     641,540  
      3,903     Exor SpA (Diversified Financials)     128,821  
      37,387     Fiat SpA (Automobiles & Components)     773,200  
      27,195     Finmeccanica SpA (Capital Goods)     309,403  
      74,015     Intesa Sanpaolo SpA (Banks)     201,219  
      364,771     Parmalat SpA (Food, Beverage & Tobacco)     1,000,586  
      750,376     Telecom Italia SpA (Telecommunication Services)     944,639  
                     
                  3,999,408  
     
     
    Japan – 21.3%
      5,800     Aeon Co. Ltd. (Food & Staples Retailing)     72,374  
      10,800     AEON Credit Service Co. Ltd. (Diversified Financials)     151,966  
      1,600     Aisin Seiki Co. Ltd. (Automobiles & Components)     56,378  
      8,000     Ajinomoto Co., Inc. (Food, Beverage & Tobacco)     83,105  
      72,000     Amada Co. Ltd. (Capital Goods)     583,495  
      54,000     Asahi Glass Co. Ltd. (Capital Goods)     628,011  
      19,000     Asahi Kasei Corp. (Materials)     123,588  
      19,800     Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)     752,508  
      35,600     Brother Industries Ltd. (Technology Hardware & Equipment)     525,417  
      25,700     Canon, Inc. (Technology Hardware & Equipment)     1,320,088  
      111     Central Japan Railway Co. (Transportation)     927,896  
      20,000     Daicel Chemical Industries Ltd. (Materials)     145,539  
      6,300     Daiichi Sankyo Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     137,598  
      37,700     Dainippon Sumitomo Pharma Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     341,957  
      15,000     Daito Trust Construction Co. Ltd. (Real Estate)     1,025,137  
      15,000     Daiwa House Industry Co. Ltd. (Real Estate)     183,745  
      2,800     Dena Co. Ltd. (Retailing)     100,315  
      6,700     Denso Corp. (Automobiles & Components)     230,339  
      12,900     Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)(b)     466,042  
      13,600     Elpida Memory, Inc. (Semiconductors & Semiconductor Equipment)*     157,297  
      55,000     Fuji Electric Holdings Co. Ltd. (Capital Goods)     170,443  
      99,000     Fuji Heavy Industries Ltd. (Automobiles & Components)     763,467  
      199     Fuji Media Holdings, Inc. (Media)     313,489  
      23,000     Fujitsu Ltd. (Technology Hardware & Equipment)     159,352  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 46


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

 
 
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Japan – (continued)
                     
      52,000     Fukuoka Financial Group, Inc. (Banks)   $ 225,084  
      111,000     Hitachi Ltd. (Technology Hardware & Equipment)     589,318  
      83,500     Honda Motor Co. Ltd. (Automobiles & Components)     3,295,644  
      5,300     ITOCHU Techno-Solutions Corp. (Software & Services)     198,278  
      2,200     Japan Petroleum Exploration Co. Ltd. (Energy)     83,429  
      6     Japan Real Estate Investment Corp. (REIT)     62,158  
      30     Japan Tobacco, Inc. (Food, Beverage & Tobacco)     110,777  
      8,900     JFE Holdings, Inc. (Materials)     308,584  
      85     Jupiter Telecommunications Co. Ltd. (Media)     89,173  
      168,320     JX Holdings, Inc. (Energy)     1,139,027  
      39,000     Kaneka Corp. (Materials)     269,456  
      6,900     Kao Corp. (Household & Personal Products)     185,438  
      33,000     Kawasaki Kisen Kaisha Ltd. (Transportation)     143,674  
      12,000     Keisei Electric Railway Co. Ltd. (Transportation)     79,874  
      41,000     Konica Minolta Holdings, Inc. (Technology Hardware & Equipment)     423,750  
      18,000     Kubota Corp. (Capital Goods)     169,580  
      5,600     Kyocera Corp. (Technology Hardware & Equipment)     568,946  
      11,900     Kyushu Electric Power Co., Inc. (Utilities)     266,417  
      1,900     Mabuchi Motor Co. Ltd. (Capital Goods)     97,667  
      3,300     Makita Corp. (Capital Goods)     134,283  
      9,000     Marubeni Corp. (Capital Goods)     63,007  
      7,900     Marui Group Co. Ltd. (Retailing)     64,143  
      12,900     Mitsubishi Corp. (Capital Goods)     347,678  
      16,000     Mitsubishi Electric Corp. (Capital Goods)     167,188  
      8,000     Mitsubishi Gas Chemical Co., Inc. (Materials)     56,584  
      10,000     Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals, Biotechnology & Life Sciences)     168,574  
      8,650     Mitsubishi UFJ Lease & Finance Co. Ltd. (Diversified Financials)     341,421  
      19,000     Mitsui & Co. Ltd. (Capital Goods)     312,624  
      113,000     Mitsui Chemicals, Inc. (Materials)     402,870  
      33,000     Mitsui Engineering & Shipbuilding Co. Ltd. (Capital Goods)     87,012  
      34,000     Mitsui Mining & Smelting Co. Ltd. (Materials)     111,822  
      67,000     Mitsui OSK Lines Ltd. (Transportation)     454,001  
      6,400     MS&AD Insurance Group Holdings, Inc. (Insurance)     159,761  
      10,000     NGK Insulators Ltd. (Capital Goods)     162,440  
      1,800     Nidec Corp. (Capital Goods)     181,501  
      400     Nintendo Co. Ltd. (Software & Services)     116,781  
      10     Nippon Building Fund, Inc. (REIT)     102,483  
      25,000     Nippon Express Co. Ltd. (Transportation)     112,272  
      2,600     Nippon Paper Group, Inc. (Materials)     68,060  
      49,000     Nippon Telegraph & Telephone Corp. (Telecommunication Services)     2,231,353  
      6,700     Nissan Chemical Industries Ltd. (Materials)     86,447  
      72,400     Nissan Motor Co. Ltd. (Automobiles & Components)     684,894  
      38,000     Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco)     481,037  
      14,000     Nisshinbo Holdings, Inc. (Consumer Durables & Apparel)     152,814  
      25,000     NKSJ Holdings, Inc. (Insurance)*     183,393  
      3,900     Nomura Real Estate Holdings, Inc. (Real Estate)     70,766  
      12     Nomura Real Estate Office Fund, Inc. (REIT)     86,575  
      4,600     Omron Corp. (Technology Hardware & Equipment)     121,227  
      50,000     Osaka Gas Co. Ltd. (Utilities)     193,822  
      46,000     Resona Holdings, Inc. (Banks)(b)     274,191  
      47,000     Ricoh Co. Ltd. (Technology Hardware & Equipment)     685,307  
      6,700     Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment)     435,719  
      24,900     Sapporo Hokuyo Holdings, Inc. (Banks)     116,351  
      666     SBI Holdings, Inc. (Diversified Financials)     100,434  
      9,700     Sega Sammy Holdings, Inc. (Consumer Durables & Apparel)     183,967  
      15,000     Sekisui Chemical Co. Ltd. (Consumer Durables & Apparel)     107,315  
      30,000     Sekisui House Ltd. (Consumer Durables & Apparel)     302,296  
      21,000     Sharp Corp. (Consumer Durables & Apparel)     215,499  
      2,200     Shin-Etsu Chemical Co. Ltd. (Materials)     118,572  
      8,800     Sony Corp. (Consumer Durables & Apparel)     314,729  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
47 


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

 
Schedule of Investments (continued)
December 31, 2010
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Japan – (continued)
                     
      57,000     Sumitomo Chemical Co. Ltd. (Materials)   $ 279,813  
      43,500     Sumitomo Corp. (Capital Goods)     612,361  
      41,600     Sumitomo Electric Industries Ltd. (Capital Goods)     574,878  
      10,000     Sumitomo Heavy Industries Ltd. (Capital Goods)     63,963  
      7,000     Sumitomo Metal Mining Co. Ltd. (Materials)     121,927  
      9,800     Sumitomo Mitsui Financial Group, Inc. (Banks)     346,990  
      15,500     Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)     761,450  
      45,000     The Bank of Yokohama Ltd. (Banks)     232,046  
      5,000     The Japan Steel Works, Ltd. (Capital Goods)     52,076  
      36,000     The Nishi-Nippon City Bank Ltd. (Banks)     108,886  
      87,000     The Sumitomo Trust & Banking Co. Ltd. (Banks)     545,024  
      12,000     Toho Gas Co. Ltd. (Utilities)     59,903  
      16,000     Tokio Marine Holdings, Inc. (Insurance)     475,319  
      64,000     Tokyo Gas Co. Ltd. (Utilities)     283,409  
      4,400     Tokyo Steel Manufacturing Co. Ltd. (Materials)     47,802  
      91,000     Tokyu Land Corp. (Real Estate)     455,379  
      4,300     Toyo Seikan Kaisha Ltd. (Materials)     81,460  
      29,000     Ube Industries Ltd. (Materials)     86,838  
      1,760     USS Co. Ltd. (Retailing)     143,624  
      68     West Japan Railway Co. (Transportation)     253,810  
      10,800     Yamaha Corp. (Consumer Durables & Apparel)     133,335  
      28,900     Yokogawa Electric Corp. (Technology Hardware & Equipment)     228,846  
                     
                  34,436,172  
     
     
    Luxembourg – 0.4%
      13,515     ArcelorMittal (Materials)     514,333  
      1,935     Millicom International Cellular SA SDR SDR (Telecommunication Services)     185,733  
                     
                  700,066  
     
     
    Netherlands – 5.8%
      25,745     Aegon NV (Insurance)*     157,602  
      3,259     Akzo Nobel NV (Materials)     202,765  
      1,708     ASML Holding NV (Semiconductors & Semiconductor Equipment)     65,505  
      10,979     European Aeronautic Defence & Space Co. NV (Capital Goods)*     256,194  
      1,273     Heineken Holding NV (Food, Beverage & Tobacco)     55,362  
      3,104     Koninklijke Boskalis Westminster NV (Capital Goods)     148,205  
      43,755     Koninklijke DSM NV (Materials)     2,494,151  
      33,172     Koninklijke Philips Electronics NV (Capital Goods)     1,016,958  
      82,250     Royal Dutch Shell PLC Class A (Energy)     2,725,619  
      68,747     Royal Dutch Shell PLC Class B (Energy)     2,276,540  
                     
                  9,398,901  
     
     
    New Zealand – 0.1%
      20,014     Fletcher Building Ltd. (Materials)     119,303  
     
     
    Norway – 0.6%
      17,626     Statoil ASA (Energy)     419,817  
      30,325     Telenor ASA (Telecommunication Services)     494,156  
      1,593     Yara International ASA (Materials)     92,727  
                     
                  1,006,700  
     
     
    Portugal – 0.1%
      19,488     Brisa Auto-estradas de Portugal SA (Transportation)     135,934  
     
     
    Singapore – 1.6%
      42,000     Ascendas Real Estate Investment Trust (REIT)     67,774  
      11,000     CapitaLand Ltd. (Real Estate)     31,818  
      9,000     CapitaMall Trust (REIT)     13,689  
      14,000     City Developments Ltd. (Real Estate)     137,210  
      67,000     Cosco Corp. (Singapore) Ltd. (Capital Goods)     111,827  
      31,000     DBS Group Holdings Ltd. (Banks)     346,008  
      54,000     Fraser and Neave Ltd. (Capital Goods)     269,573  
      29,000     Genting Singapore PLC (Consumer Services)*     49,610  
      292,680     Golden Agri-Resources Ltd. (Food, Beverage & Tobacco)     182,740  
      7,000     Jardine Cycle & Carriage Ltd. (Retailing)     199,594  
      11,000     Keppel Corp. Ltd. (Capital Goods)     97,059  
      3,000     Neptune Orient Lines Ltd. (Transportation)*     5,099  
      34,985     Oversea-Chinese Banking Corp. Ltd. (Banks)     269,348  
      6,000     SembCorp Industries Ltd. (Capital Goods)     24,018  
      9,000     Singapore Airlines Ltd. (Transportation)     107,392  
      1,000     Singapore Exchange Ltd. (Diversified Financials)     6,558  
      86,000     Singapore Telecommunications Ltd. (Telecommunication Services)     204,365  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 48


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

 
 
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    Singapore – (continued)
                     
      3,000     StarHub Ltd. (Telecommunication Services)   $ 6,161  
      14,000     United Overseas Bank Ltd. (Banks)     198,674  
      55,000     UOL Group Ltd. (Real Estate)     203,788  
      4,000     Wilmar International Ltd. (Food, Beverage & Tobacco)     17,585  
                     
                  2,549,890  
     
     
    Spain – 2.8%
      64,708     Banco Bilbao Vizcaya Argentaria SA (Banks)     659,453  
      256,004     Banco Santander SA (Banks)     2,727,916  
      97,670     Iberdrola SA (Utilities)     757,290  
      15,840     Repsol YPF SA (Energy)     443,575  
                     
                  4,588,234  
     
     
    Sweden – 3.2%
      14,106     Alfa Laval AB (Capital Goods)     297,820  
      25,147     Boliden AB (Materials)     512,342  
      28,768     Nordea Bank AB (Banks)     312,790  
      15,935     Skanska AB Class B (Capital Goods)     315,907  
      21,739     SKF AB Class B (Capital Goods)     620,359  
      23,335     Svenska Handelsbanken AB Class A (Banks)     745,916  
      18,979     Swedbank AB Class A (Banks)*     265,389  
      17,779     Swedish Match AB (Food, Beverage & Tobacco)     515,205  
      19,183     Tele2 AB Class B (Telecommunication Services)     398,001  
      138,955     TeliaSonera AB (Telecommunication Services)     1,103,115  
                     
                  5,086,844  
     
     
    Switzerland – 7.6%
      94,024     ABB Ltd. (Registered) (Capital Goods)*     2,099,359  
      5,258     Adecco SA (Registered) (Commercial & Professional Services)     344,816  
      2,378     Baloise Holding AG (Registered) (Insurance)     231,321  
      23,568     Compagnie Financiere Richemont SA Class A (Consumer Durables & Apparel)     1,385,889  
      11,484     Credit Suisse Group AG (Registered) (Diversified Financials)     462,517  
      59,919     GAM Holding AG (Diversified Financials)*     990,445  
      46,614     Nestle SA (Registered) (Food, Beverage & Tobacco)     2,730,819  
      23,185     Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)     1,364,799  
      8,611     Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences)     1,262,311  
      3,798     Swiss Life Holding AG (Registered) (Insurance)*     547,795  
      501     Syngenta AG (Registered) (Materials)     146,860  
      349     The Swatch Group AG (Consumer Durables & Apparel)     155,609  
      17,099     UBS AG (Registered) (Diversified Financials)*     280,743  
      1,125     Zurich Financial Services AG (Insurance)     291,338  
                     
                  12,294,621  
     
     
    United Kingdom – 17.8%
      69,893     3i Group PLC (Diversified Financials)     359,064  
      12,710     Anglo American PLC (Materials)     664,897  
      92,809     Associated British Foods PLC (Food, Beverage & Tobacco)     1,713,399  
      59,278     AstraZeneca PLC (Pharmaceuticals, Biotechnology & Life Sciences)     2,701,576  
      51,804     Aviva PLC (Insurance)     318,434  
      149,301     BAE Systems PLC (Capital Goods)     769,022  
      84,465     Barclays PLC (Banks)     349,086  
      53,923     BHP Billiton PLC (Materials)     2,169,427  
      37,484     BP PLC ADR (Energy)(a)     1,655,668  
      16,366     Compass Group PLC (Consumer Services)     148,537  
      32,410     Eurasian Natural Resources Corp. PLC (Materials)     532,966  
      3,127     Fresnillo plc (Materials)     81,826  
      23,950     GlaxoSmithKline PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences)     939,319  
      43,515     Hammerson PLC (REIT)     283,582  
      79,690     HSBC Holdings PLC (Banks)     814,446  
      4,352     Imperial Tobacco Group PLC (Food, Beverage & Tobacco)     133,780  
      63,986     International Power PLC (Utilities)     438,204  
      13,609     Investec PLC (Diversified Financials)     112,115  
      129,818     J Sainsbury PLC (Food & Staples Retailing)     762,667  
      12,680     Kazakhmys PLC (Materials)     321,877  
      45,375     Kingfisher PLC (Retailing)     186,933  
      307,686     Legal & General Group PLC (Insurance)     466,005  
      317,734     Lloyds Banking Group PLC (Banks)*     327,999  
      52,522     Marks & Spencer Group PLC (Retailing)     302,870  
      158,767     Old Mutual PLC (Insurance)     305,740  
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
49 


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

 
Schedule of Investments (continued)
December 31, 2010
 
 
                     
    Shares   Description   Value
 

 Common Stocks – (continued)
    United Kingdom – (continued)
                     
      35,067     Petrofac Ltd. (Energy)   $ 871,315  
      58,010     Resolution Ltd. (Insurance)     212,238  
      27,454     Rio Tinto PLC (Materials)     1,956,971  
      609,892     Royal Bank of Scotland Group PLC (Banks)*     374,547  
      45,385     Scottish & Southern Energy PLC (Utilities)     866,959  
      14,275     Severn Trent PLC (Utilities)     330,036  
      72,564     Standard Chartered PLC (Banks)     1,958,921  
      16,028     Tesco PLC (Food & Staples Retailing)     106,283  
      10,712     The British Land Co. PLC (REIT)     87,930  
      84,117     Thomas Cook Group PLC (Consumer Services)     248,999  
      14,843     Vedanta Resources PLC (Materials)     585,582  
      83,203     Vodafone Group PLC ADR (Telecommunication Services)(a)     2,199,055  
      299,336     WM Morrison Supermarkets PLC (Food & Staples Retailing)     1,250,648  
      68,725     WPP PLC (Media)     849,623  
                     
                  28,758,546  
     
     
    TOTAL COMMON STOCKS
    (Cost $110,091,339)   $ 157,126,054  
     
     
 
                         
    Shares   Rate   Value
 

 Short-term Investment(c) – 1.7%
                         
                         
   
JPMorgan U.S. Government Money Market Fund – Capital Shares
      2,676,369       0.043 %   $ 2,676,369  
    (Cost $2,676,369)        
     
     
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE
    (Cost $112,767,708)   $ 159,802,423  
     
     
                         
                         

 Securities Lending Reinvestment Vehicle(c)(d) – 0.4%
                         
                         
   
Goldman Sachs Financial Square Money Market Fund – FST Shares
      685,210       0.140 %   $ 685,210  
    (Cost $685,210)        
     
     
    TOTAL INVESTMENTS – 99.4%
    (Cost $113,452,918)   $ 160,487,633  
     
     
   
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.6%
    995,011  
     
     
    NET ASSETS – 100.0%   $ 161,482,644  
     
     
 
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
 
* Non-income producing security.
 
(a) A portion of this security is segregated as collateral for initial margin requirements on futures transactions.
 
(b) All or a portion of security is on loan.
 
(c) Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010.
 
(d) Represents an affiliated issuer.
 
             
     
     
    Investment Abbreviation:
    ADR     American Depositary Receipt
    REIT     Real Estate Investment Trust
    SDR     Swedish Depositary Receipt
     
     
 
 
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 50


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

 
 
 
 
ADDITIONAL INVESTMENT INFORMATION
 
FUTURES CONTRACTS — At December 31, 2010, the following futures contracts were open:
 
                             
    Number of
           
    Contracts
  Expiration
  Current
  Unrealized
Type   Long (Short)   Date   Value   Gain (Loss)
 
Dow Jones EURO STOXX 50 Index
    47     March 2011   $ 1,754,802     $ (28,890 )
FTSE 100 Index
    9     March 2011     826,900       8,787  
SPI 200 Index
    2     March 2011     241,892       (2,406 )
TSE TOPIX Index
    7     March 2011     772,509       8,883  
 
 
TOTAL
                      $ (13,626 )
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
51 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

Statements of Assets and Liabilities
December 31, 2010
 
                                         
              International
          Structured
     
        U.S. Equity
    Equity
    Structured
    International
     
        Dividend and
    Dividend and
    Tax-Managed
    Tax-Managed
     
        Premium Fund     Premium Fund     Equity Fund     Equity Fund      
   
Assets:
                                         
   
Investments in securities of unaffiliated issuers, at value (identified cost $454,209,315, $221,411,284, $276,476,042 and $112,767,708, respectively)(a)
  $ 457,865,045     $ 235,319,061     $ 302,813,059     $ 159,802,423      
   
Investments in affiliated securities lending reinvestment vehicle, at value (identified cost $0, $0, $3,021,175 and $685,210, respectively)(a)
                3,021,175       685,210      
   
Foreign currencies, at value (identified cost $0, $20,660,051, $0 and $2,015,950, respectively)
          20,975,226             2,043,068      
   
Receivables:
                                   
   
Fund shares sold
    3,389,733       3,312,483       160,347       50,290      
   
Dividends, at value
    842,214       362,777       154,700       171,931      
   
Investment securities sold, at value
          3,885,664       1,880,808       566,952      
   
Reimbursement from investment adviser
    51,103       39,710       38,510       74,253      
   
Foreign tax reclaims, at value
          109,982             86,127      
   
Securities lending income
                3,224       868      
   
Due from broker — variation margin, at value
                      1,487      
     
     
   
Total assets
    462,148,095       264,004,903       308,071,823       163,482,609      
     
     
                                         
                                         
   
Liabilities:
                                         
   
Payables:
                                   
   
Written options, at value (premiums received $4,786,651, $2,415,680, $0 and $0, respectively)
    5,539,800       2,114,757                  
   
Amounts owed to affiliates
    312,421       223,715       216,989       139,407      
   
Fund shares redeemed
    180,676       268,979       853,163       307,770      
   
Due to broker — variation margin, at value
    23,522       30,123       12,255            
   
Investment securities purchased, at value
          3,907,753             752,405      
   
Payable upon securities loaned
                3,021,175       685,210      
   
Due to custodian
          5,973                  
   
Accrued expenses and other liabilities
    95,452       111,536       233,083       115,173      
     
     
   
Total liabilities
    6,151,871       6,662,836       4,336,665       1,999,965      
     
     
                                         
                                         
   
Net Assets:
                                         
   
Paid-in capital
    483,149,760       243,914,799       349,505,579       186,383,252      
   
Accumulated undistributed (distributions in excess of) net investment income
    1,820,225       (738,669 )     4,385       (480,605 )    
   
Accumulated net realized loss from investment, futures, written options and foreign currency related transactions
    (32,122,702 )     (244,621 )     (72,207,937 )     (71,561,493 )    
   
Net unrealized gain on investments, futures, written options and translation of assets and liabilities denominated in foreign currencies
    3,148,941       14,410,558       26,433,131       47,141,490      
     
     
   
NET ASSETS
  $ 455,996,224     $ 257,342,067     $ 303,735,158     $ 161,482,644      
 
 
                                         
   
Net Assets:
                                   
   
Class A
  $ 37,112,177     $ 158,348,457     $ 91,857,231     $ 75,853,897      
   
Class B
                1,539,104            
   
Class C
    10,850,978       1,341,916       9,483,773       23,683      
   
Institutional
    408,031,894       97,650,532       200,794,696       85,603,882      
   
Service
                59,133            
   
Class IR
    1,175       1,162       1,221       1,182      
 
 
                                         
                                         
   
Total Net Assets
  $ 455,996,224     $ 257,342,067     $ 303,735,158     $ 161,482,644      
 
 
   
Shares outstanding $0.001 par value (unlimited shares authorized):
                                   
   
Class A
    3,955,910       19,378,890       9,437,614       9,604,633      
   
Class B
                163,027            
   
Class C
    1,157,169       167,317       1,010,155       3,007      
   
Institutional
    43,596,073       12,100,482       20,304,398       10,838,798      
   
Service
                6,028            
   
Class IR
    125       144       124       150      
 
 
   
Net asset value, offering and redemption price per share:(b)
                                   
   
Class A
    $9.38       $8.17       $9.73       $7.90      
   
Class B
                9.44            
   
Class C
    9.38       8.02       9.39       7.88      
   
Institutional
    9.36       8.07       9.89       7.90      
   
Service
                9.81            
   
Class IR
    9.38       8.06       9.89       7.90      
 
 
 
(a)   Includes loaned securities having a market value of $2,945,780 and $650,202 for the Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds, respectively.
(b)   Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Fund is $9.93, $8.65, $10.30, and $8.36, 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 NAV or the original purchase price of the shares.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 52


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

Statements of Operations
For the Fiscal Year Ended December 31, 2010
 
                                     
              International
          Structured
 
        U.S. Equity
    Equity
    Structured
    International
 
        Dividend and
    Dividend and
    Tax-Managed
    Tax-Managed
 
        Premium Fund     Premium Fund     Equity Fund     Equity Fund  
 
   
Investment income:
                                     
   
Dividends (net of foreign taxes withheld of $0, $421,092, $381 and $304,531, respectively)
  $ 12,221,171     $ 5,570,514     $ 4,880,762     $ 3,893,344  
   
Interest
    1,321       8,442       32       2,720  
   
Securities lending income — affiliated issuer
                48,388       98,064  
     
     
   
Total investment income
    12,222,492       5,578,956       4,929,182       3,994,128  
     
     
                                     
                                     
   
Expenses:
                                     
   
Management fees
    2,550,715       1,351,803       1,806,971       1,132,738  
   
Distribution and Service fees(a)
    329,265       280,027       331,546       165,372  
   
Transfer Agent fees(a)
    290,773       229,877       250,744       152,443  
   
Professional fees
    81,759       111,107       82,214       116,105  
   
Printing and mailing costs
    65,247       39,708       60,240       40,658  
   
Registration fees
    53,904       50,730       74,804       55,481  
   
Custody and accounting fees
    40,530       109,166       41,669       128,675  
   
Trustee fees
    15,649       15,288       15,479       15,206  
   
Service Share fees — Service Plan
                115        
   
Service Share fees — Shareholder Administration Plan
                115        
   
Other
    13,644       7,468       12,159       9,888  
     
     
   
Total expenses
    3,441,486       2,195,174       2,676,056       1,816,566  
     
     
                                     
   
Less — expense reductions
    (86,846 )     (243,123 )     (405,341 )     (400,650 )
     
     
   
Net expenses
    3,354,640       1,952,051       2,270,715       1,415,916  
     
     
   
NET INVESTMENT INCOME
    8,867,852       3,626,905       2,658,467       2,578,212  
     
     
                                     
                                     
   
Realized and unrealized gain (loss) from investment, futures, written options and foreign currency related transactions:
                                     
   
Net realized gain (loss) from:
                               
   
Investment transactions — unaffiliated issuers
    45,318,936       7,611,094       26,400,218       1,348,936  
   
Securities lending reinvestment vehicle transactions — affiliated issuers
                95,941       7,644  
   
Futures transactions
    4,136,630       51,127       868,546       (212,640 )
   
Foreign currency related transactions
          (837,789 )           99,590  
   
Written options
    (2,326,328 )     1,584,955              
   
Net change in unrealized gain (loss) on:
                               
   
Investments — unaffiliated issuers
    (2,465,380 )     6,870,124       6,302,446       9,324,941  
   
Securities lending reinvestment vehicle — affiliated issuers
                (96,539 )     (7,887 )
   
Futures
    239,446       (294,703 )     72,228       (75,821 )
   
Translation of asset and liabilities denominated in foreign currencies
          285,535             47,702  
   
Written options
    (432,114 )     617,268              
     
     
   
Net realized and unrealized gain from investment, futures, written options and foreign currency related transactions
    44,471,190       15,887,611       33,642,840       10,532,465  
     
     
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
  $ 53,339,042     $ 19,514,516     $ 36,301,307     $ 13,110,677  
     
     
 
(a)   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
   
Class IR(b)
 
U.S. Equity Dividend and Premium
  $ 234,097     $     $ 95,168     $ 177,915     $     $ 18,081     $ 94,776     $     $ 1  
International Equity Dividend and Premium
    269,148             10,879       204,553             2,067       23,256             1  
Structured Tax-Managed Equity
    217,109       17,296       97,141       165,065       3,286       18,459       63,915       18       1  
Structured International Tax-Managed Equity
    165,180             192       125,538             36       26,868             1  
(b)   Commenced operations on August 31, 2010.
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
53 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

Statements of Changes in Net Assets
 
                     
        U.S. Equity Dividend and Premium Fund  
        For the
    For the
 
        Fiscal Year Ended
    Fiscal Year Ended
 
        December 31, 2010     December 31, 2009  
 
   
From operations:
                     
   
Net investment income
  $ 8,867,852     $ 4,749,820  
   
Net realized gain (loss) from investment, futures, written options and foreign currency related transactions
    47,129,238       8,977,738  
   
Net change in unrealized gain (loss) on investments, futures, written options and translation of assets and liabilities denominated in foreign currencies
    (2,658,048 )     39,943,188  
     
     
   
Net increase in net assets resulting from operations
    53,339,042       53,670,746  
     
     
                     
                     
   
Distributions to shareholders:
                     
   
From net investment income
               
   
Class A Shares
    (1,543,084 )     (2,225,123 )
   
Class B Shares
           
   
Class C Shares
    (98,109 )     (88,029 )
   
Institutional Shares
    (5,512,691 )     (2,453,473 )
   
Service Shares
           
   
Class IR Shares(c)
    (11 )      
   
From net realized gains
               
   
Class A Shares
           
   
Class C Shares
           
   
Institutional Shares
           
   
Class IR Shares(c)
           
     
     
   
Total distributions to shareholders
    (7,153,895 )     (4,766,625 )
     
     
                     
                     
   
From share transactions:
                     
   
Proceeds from sales of shares
    313,986,668       133,002,571  
   
Reinvestment of distributions
    4,124,471       2,798,058  
   
Cost of shares redeemed
    (204,625,688 )     (87,318,563 )
     
     
   
Net increase (decrease) in net assets resulting from share transactions
    113,485,451       48,482,066  
     
     
   
TOTAL INCREASE
    159,670,598       97,386,187  
     
     
                     
                     
   
Net assets:
                     
   
Beginning of year
    296,325,626       198,939,439  
     
     
   
End of year
  $ 455,996,224     $ 296,325,626  
     
     
   
Accumulated undistributed (distributions in excess of) net investment income
  $ 1,820,225     $ 106,268  
     
     
(a)   Net of $4,618 and $27 of redemption fees remitted to the International Equity Dividend and Premium, and Structured International Tax-Managed Equity Funds, respectively.
(b)   Net of $14,808 and $1,358 of redemption fees remitted to the International Equity Dividend and Premium, and Structured International Tax-Managed Equity Funds, respectively.
(c)   Commenced operations on August 31, 2010.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 54


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
                                                 
                Structured International Tax-Managed
 
    International Equity Dividend and Premium Fund     Structured Tax-Managed Equity Fund     Equity Fund  
    For the
    For the
    For the
    For the
    For the
    For the
 
    Fiscal Year Ended
    Fiscal Year Ended
    Fiscal Year Ended
    Fiscal Year Ended
    Fiscal Year Ended
    Fiscal Year Ended
 
    December 31, 2010     December 31, 2009     December 31, 2010     December 31, 2009     December 31, 2010     December 31, 2009  
 
     
                                                 
    $ 3,626,905     $ 816,566     $ 2,658,467     $ 3,167,151     $ 2,578,212     $ 2,095,786  
     
8,409,387
      620,706       27,364,705       32,432,915       1,243,530       (10,817,135 )
     
7,478,224
      10,204,348       6,278,135       6,850,898       9,288,935       32,299,520  
     
     
      19,514,516       11,641,620       36,301,307       42,450,964       13,110,677       23,578,171  
     
     
                                                 
                                                 
     
                                                 
                                                 
      (2,033,786 )     (394,713 )     (664,324 )     (1,055,086 )     (1,299,890 )     (1,295,532 )
                        (5,845 )            
      (14,873 )     (2,838 )           (50,956 )     (273 )     (76 )
      (1,307,429 )     (478,397 )     (2,170,745 )     (2,156,483 )     (1,748,406 )     (1,054,473 )
                  (429 )     (448 )            
      (6 )           (12 )           (24 )      
                                                 
      (2,113,127 )                              
      (19,574 )                              
      (1,349,612 )                              
      (17 )                              
     
     
      (6,838,424 )     (875,948 )     (2,835,510 )     (3,268,818 )     (3,048,593 )     (2,350,081 )
     
     
                                                 
                                                 
     
                                                 
      172,198,853       82,429,091       93,120,509       100,137,461       57,415,628       61,570,523  
      5,570,933       659,945       2,749,975       2,941,857       2,968,588       2,274,078  
      (37,562,027 )(a)     (11,367,457 )(b)     (62,719,616 )     (104,136,733 )     (39,599,164 )(a)     (44,014,379 )(b)
     
     
      140,207,759       71,721,579       33,150,868       (1,057,415 )     20,785,052       19,830,222  
     
     
      152,883,851       82,487,251       66,616,665       38,124,731       30,847,136       41,058,312  
     
     
                                                 
                                                 
     
                                                 
      104,458,216       21,970,965       237,118,493       198,993,762       130,635,508       89,577,196  
     
     
    $ 257,342,067     $ 104,458,216     $ 303,735,158     $ 237,118,493     $ 161,482,644     $ 130,635,508  
     
     
    $ (738,669 )   $ (208,779 )   $ 4,385     $ 122,507     $ (480,605 )   $ (254,625 )
     
     
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
55 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

Notes to Financial Statements
December 31, 2010
 
1. ORGANIZATION
 
 
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
 
             
Fund   Share Classes Offered*   Diversified/Non-diversified  
   
U.S. Equity Dividend and Premium, International Equity Dividend and Premium, and Structured International Tax-Managed Equity
  A, C, Institutional and IR     Diversified  
 
 
Structured Tax-Managed Equity
  A, B, C, Institutional, Service and IR     Diversified  
 
 
 
Effective November 2, 2009, Class B Shares are no longer available for purchase by new or existing shareholders except under certain circumstances.
 
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class B Shares were sold with a contingent deferred sales charge that declines from 5.00% to zero, depending upon the period of time the shares are held. Class C Shares are sold with a contingent deferred sales charge of 1.00% during the first 12 months. Institutional Shares, Service Shares and Class IR are not subject to a sales charge. Class IR Shares commenced operations on August 31, 2010.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to each Fund pursuant to a management agreement (the “Agreement”) with the Trust.
 
2. SIGNIFICANT ACCOUNTING POLICIES
 
 
The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.
 
A. Investment Valuation — The investment valuation policy of the Funds is to value investments at market value. Investments in equity securities and investment companies traded on a foreign securities exchange are valued daily at fair value determined by an independent fair value service (if available) under valuation procedures approved by the trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the United States (“U.S.”) securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchanges. While the independent fair value service may not take into account market or security specific information, under the valuation procedures, these securities might also be fair valued by GSAM by taking into consideration market or security specific information as discussed below.
Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. Investments in equity securities and investment companies traded on a foreign securities exchange for which an independent fair value service cannot provide a quote are valued daily at their last sale price or official closing price on the principal exchange on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price for long positions and at the last ask price for short positions. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from bond dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined based on yield equivalents, a pricing matrix or other sources under valuation procedures established by the trustees. Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no
 
 
 
 56


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
 
sale occurs, at the last bid price. In the absence of market quotations, broker quotes will be utilized or the security will be fair valued. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) on the valuation date. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued at amortized cost, which approximates market value.
GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Funds’ NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.
 
B. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. Realized gains and losses resulting from principal paydowns on mortgage-backed and asset-backed securities are included in interest income. Market discounts, original issue discount (“OID”) and market premiums on debt securities are accreted/amortized to interest income over the life of the security with a corresponding adjustment in the cost basis of that security. In addition, it is the Funds’ policy to accrue for foreign capital gains taxes, if applicable, on certain foreign securities held by the Funds. An estimated foreign capital gains tax is recorded daily on net unrealized gains on these securities and is payable upon the sale of such securities when a gain is realized.
Investment income and unrealized and realized gains or losses are allocated daily to each class of shares of the respective Fund based upon the relative proportion of net assets of each class.
In addition, distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) often include a “return of capital”, which is recorded by the Funds as a reduction of the cost basis of the securities held. The Internal Revenue Code of 1986, as amended (the “Code”) requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the Funds’ distributions is deemed a return of capital and is generally not taxable to shareholders.
 
C. 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 and are accrued daily.
 
D. Redemption Fees — Prior to October 1, 2010, all classes of the International Equity Dividend and Premium and Structured International Tax-Managed Equity Funds charged a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. For this purpose, the Funds used a first-in first-out method so that shares held longest were treated as being redeemed first and shares held shortest were treated as being redeemed last. Redemption fees were reimbursed to a Fund and were reflected as a reduction in share redemptions. Redemption fees were credited to Paid-in capital and were allocated to each share class of a Fund on a pro-rata basis at the time of payment. Effective October 1, 2010, the redemption fee for each Fund was eliminated.
 
 
 
57 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
 
E. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Code applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
 
                 
    Income Distributions
    Capital Gains Distributions
 
Fund   Declared/Paid     Declared/Paid  
   
U.S. Equity Dividend and Premium, and International Equity Dividend and Premium
    Quarterly       Annually  
 
 
Structured Tax-Managed Equity and Structured International Tax-Managed Equity
    Annually       Annually  
 
 
 
Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Funds’ capital accounts on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
 
F. Foreign Currency Translations — The books and records of the Funds are accounted for in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars based upon 4:00 p.m. Eastern Time exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions as of 4:00 p.m. Eastern Time.
Net realized and unrealized gain (loss) on foreign currency related transactions represents: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment security transactions and forward foreign currency exchange contracts; and (iii) gains and losses from the difference between amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on equity securities and derivative instruments is included with the net realized and change in unrealized gain (loss) on investments on the Statements of Operations. The effect of changes in foreign currency exchange rates on fixed income securities sold during the period is included with the net realized gain (loss) on foreign currency related transactions, while the effect of changes in foreign currency exchange rates on fixed income securities held at period end is included with the net change in unrealized gain (loss) on investments on the Statements of Operations. 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.
 
G. Futures Contracts — Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds deposit cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Funds recognize a realized gain or loss when a contract is closed or expires.
The use of futures contracts involves, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Futures contracts may be illiquid, and exchanges may limit fluctuations in futures contract prices during a single day. Changes in the value of a futures contract may not directly
 
 
 
 58


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
 
correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Funds’ strategies and potentially result in a loss. The Funds must set aside liquid assets, or engage in other appropriate measures, to cover their obligations under these contracts.
 
H. Options — When the Funds write call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current market value of the option written. Options on a futures contract may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. 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 written put option is exercised, the amount of the premium originally received will reduce the cost of the future, security or currency transaction that 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. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under written option contracts.
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 the Funds.
Writing (selling) call options limits the opportunity to profit from an increase in the market value of stocks in exchange for up-front cash at the time of selling the call option. When the Funds write (sell) S&P 500 Index, MSCI EAFE Index or related exchange traded fund (“ETF”) call options, they receive cash but limit their opportunity to profit from an increase in the market value of the applicable index beyond the exercise price (plus the premium received) of the option. In a rising market, the Funds could significantly underperform the market. The Funds’ option strategies may not fully protect them against declines in the value of the market. Cash received from premiums will enhance return in declining or relatively flat markets, but the Funds will continue to bear the risk of a decline in the value of the securities held in their portfolios. The benefit from writing a call option is limited to the amount of premiums received. In a period of a sharply falling equity market, the Funds will likely also experience sharp declines in their net asset values.
 
3. FAIR VALUE OF INVESTMENTS
 
 
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:
 
  Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
 
 
 
59 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
3. FAIR VALUE OF INVESTMENTS (continued)
 
  Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
 
  Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
 
The following is a summary of the Funds’ investments categorized in the fair value hierarchy as of December 31, 2010:
 
U.S. Equity Dividend & Premium
 
                         
    Level 1     Level 2     Level 3  
   
Assets
                       
Common Stock and/or Other Equity Investments
  $ 422,153,105     $     $  
Short-term Investment
    35,711,940              
Derivatives
    246,360              
 
 
Total
  $ 458,111,405     $     $  
 
 
Liabilities
                       
Derivatives
  $ (5,539,800 )   $     $  
 
 
 
International Equity Dividend & Premium
 
                         
    Level 1     Level 2     Level 3  
   
Assets
                       
Common Stock and/or Other Equity Investments
  $ 12,626,460     $ 217,435,600 (a)   $  
Short-term Investment
    5,257,001              
Derivatives
    48,877              
 
 
Total
  $ 17,932,338     $ 217,435,600     $  
 
 
Liabilities
                       
Derivatives
  $ (2,304,234 )   $     $  
 
 
 
(a)  To adjust for the time difference between local market close and the calculation of net asset value, the Funds utilize fair value model prices for international equities provided by an independent fair value service resulting in a Level 2 classification.
 
Structured Tax-Managed Equity
 
                         
    Level 1     Level 2     Level 3  
   
Assets
                       
Common Stock and/or Other Equity Investments
  $ 293,244,618     $     $  
Short-term Investment
    9,568,441              
Securities Lending Reinvestment Vehicle
    3,021,175              
Derivatives
    96,114              
 
 
Total
  $ 305,930,348     $     $  
 
 
 
 
 
 60


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
3. FAIR VALUE OF INVESTMENTS (continued)
 
Structured International Tax-Managed Equity
 
                         
    Level 1     Level 2     Level 3  
   
Assets
                       
Common Stock and/or Other Equity Investments
  $ 5,526,889     $ 151,599,165 (a)   $  
Short-term Investment
    2,676,369              
Securities Lending Reinvestment Vehicle
    685,210              
Derivatives
    17,670              
 
 
Total
  $ 8,906,138     $ 151,599,165     $  
 
 
Liabilities
                       
Derivatives
  $ (31,296 )   $     $  
 
 
 
(a)  To adjust for the time difference between local market close and the calculation of net asset value, the Funds utilize fair value model prices for international equities provided by an independent fair value service resulting in a Level 2 classification.
 
4. AGREEMENTS AND AFFILIATED TRANSACTIONS
 
 
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, computed daily and paid monthly, equal to an annual percentage rate of the Funds’ average daily net assets.
For the fiscal year ended December 31, 2010, contractual and effective net management fees with GSAM were at the following rates:
 
                                                         
    Contractual Management Rate     Effective Net
 
    First
    Next
    Next
    Next
    Over
    Effective
    Management
 
Fund   $1 billion     $1 billion     $3 billion     $3 billion     $8 billion     Rate     Rate  
   
U.S. Equity Dividend and
Premium
    0.75 %     0.68 %     0.65 %     0.64 %     0.63 %     0.75 %     0.75 %
 
 
International Equity
Dividend and Premium
    0.81       0.73       0.69       0.68       0.67       0.81       0.81  
 
 
Structured Tax-
Managed Equity
    0.70       0.63       0.60       0.59       0.58       0.70       0.65 *
 
 
Structured International
Tax-Managed Equity
    0.85       0.77       0.73       0.72       0.71       0.85       0.81 *
 
 
 
GSAM agreed to waive a portion of its management fee in order to achieve the effective net management rate above through at least April 30, 2011. Prior to such date GSAM may not terminate the agreement without the approval of the trustees.
 
B. Distribution and Service Plans — The Trust, on behalf of each Fund, has adopted Distribution and Service Plans (the “Plans”). Under the Plans, Goldman Sachs, which serves as distributor, is entitled to a fee, computed daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to
 
 
 
61 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
 
authorized dealers, at the following annual rates calculated on a Fund’s average daily net assets of each respective share class:
 
                         
    Distribution and Service Plan Rates  
    Class A*     Class B     Class C  
   
Distribution Plan
    0.25 %     0.75 %     0.75 %
 
 
Service Plan
          0.25       0.25  
 
 
 
With respect to Class A Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses so long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.
 
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A front end sales charge and Class B and Class C contingent deferred sales charges. During the fiscal year ended December 31, 2010, Goldman Sachs advised that it retained the following approximate amounts:
 
                         
    Front End
    Contingent Deferred
 
    Sales Charge     Sales Charge  
Fund   Class A     Class B     Class C  
   
U.S. Equity Dividend and Premium
  $ 9,700       N/A     $  
 
 
International Equity Dividend and Premium
    500       N/A        
 
 
Structured Tax-Managed Equity
    2,300     $       *
 
 
Structured International Tax-Managed Equity
    *     N/A        
 
 
 
Amount rounds to less than $100.
 
D. Service Plan and Shareholder Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and Shareholder Administration Plan. These plans allow for Service Shares to compensate service organizations for providing varying levels of personal and account maintenance and shareholder administration services to their customers who are beneficial owners of such shares. The Service Plan and Shareholder Administration Plan each provide for compensation to the service organizations in an amount equal to, on an annual basis, 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares.
 
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to a Transfer Agency Agreement. The fees charged for such transfer agency services are computed daily and paid monthly at an annual rate as follows: 0.19% of the average daily net assets for Class A, Class B, Class C, Class IR Shares and 0.04% of average daily net assets for Institutional and Service Shares.
 
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” (excluding management fees, distribution and service fees, transfer agent fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds as an annual percentage rate of average daily net assets are 0.054%, 0.054%, 0.004% and 0.014%, respectively. These other expense reimbursements will remain in place
 
 
 
 62


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
 
through at least April 30, 2011, and prior to such date GSAM may not terminate the arrangements without the approval of the trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and transfer agent, which may result in a reduction of the Funds’ expenses.
For the fiscal year ended December 31, 2010, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows (in thousands):
 
                         
    Management
    Other Expense
    Total Expense
 
Fund   Fee Waiver     Reimbursement     Reductions  
   
U.S. Equity Dividend and Premium
  $     $ 87     $ 87  
 
 
International Equity Dividend and Premium
          243       243  
 
 
Structured Tax-Managed Equity
    129       276       405  
 
 
Structured International Tax-Managed Equity
    53       348       401  
 
 
 
As of December 31, 2010, the amounts owed to affiliates of the Funds were as follows (in thousands):
 
                                 
    Management
    Distribution and
    Transfer
       
Fund   Fees     Service Fees     Agent Fees     Total  
   
U.S. Equity Dividend and Premium
  $ 275     $ 16     $ 21     $ 312  
 
 
International Equity Dividend and Premium
    166       31       27       224  
 
 
Structured Tax-Managed Equity
    165       29       23       217  
 
 
Structured International Tax-Managed Equity
    108       16       15       139  
 
 
 
G. Line of Credit Facility — As of December 31, 2010, the Funds participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. Pursuant to the terms of the facility, the Funds and other borrowers could increase the credit amount by an additional $340,000,000, for a total of up to $920,000,000. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2010, the Funds did not have any borrowings under the facility. Prior to May 11, 2010, the amount available through the facility was $660,000,000.
 
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2010, Goldman Sachs earned approximately $11,300, $18,400, $4,400 and $6,100 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds, respectively.
 
 
 
63 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
 
As of December 31, 2010, the following Goldman Sachs Fund of Funds Portfolios were the beneficial owners of 5% or more of total outstanding shares of the following Funds:
 
                 
    Goldman Sachs
    Goldman Sachs
 
    Enhanced Dividend
    Tax-Advantaged
 
    Global Equity
    Global Equity
 
Fund   Portfolio     Portfolio  
   
U.S. Equity Dividend and Premium
    12 %     %
 
 
International Equity Dividend and Premium
    11        
 
 
Structured Tax-Managed Equity
          62  
 
 
Structured International Tax-Managed Equity
          48  
 
 
 
As of December 31, 2010, the Goldman Sachs Group, Inc. (“GSG”) was the beneficial owner of approximately 100% of the Class IR Shares of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds.
 
5. INVESTMENTS IN DERIVATIVES
 
 
The Funds may make investments in derivative instruments, including, but not limited to, options, futures, swaps and other derivatives relating to foreign currency transactions. A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. Derivative instruments may be privately negotiated contracts (often referred to as over the counter (“OTC”) derivatives) or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative instruments may involve a high degree of financial risk. The use of derivatives also involves the risk of loss if the investment adviser is incorrect in its expectation of the timing or level of fluctuations in securities prices, interest rates or currency prices. Investments in derivative instruments also include the risk of default by the counterparty, the risk that the investment may not be liquid and the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument.
 
 
 
 64


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
5. INVESTMENTS IN DERIVATIVES (continued)
 
During the fiscal year ended December 31, 2010, the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds invested in index options and index futures to increase total return and to hedge their portfolios against shifts in market conditions. The Structured Tax-Managed and Structured International Tax-Managed Funds invested in index futures to increase total return and to hedge their portfolios against shifts in market conditions. The following table sets forth, by certain risk types, the gross value of these derivative contracts for trading activities as of December 31, 2010. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
 
                                     
            Statements of
          Statements of
     
            Assets and Liabilities
          Assets and Liabilities
     
Fund   Risk       Location   Assets       Location   Liabilities  
   
U.S. Equity Dividend and Premium
    Equity       Due from broker —
variation margin,
at value
  $ 246,360(a )     Payables for written
options, at value
  $ (5,539,800 )
 
International Equity Dividend and Premium
    Equity       Due from broker —
variation margin,
at value
    48,877(a )     Due to broker —
variation margin,
at value/Payables for
written options,
at value
    (2,304,234 )(a)
 
Structured Tax-Managed Equity
    Equity       Due from broker —
variation margin,
at value
    96,114(a )          
 
Structured International Tax-Managed Equity
    Equity       Due from broker —
variation margin,
at value
    17,670(a )     Due to broker —
variation margin,
at value
    (31,296 )(a)
 
 
 
(a)  Includes cumulative appreciation (depreciation) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.
 
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivative activities and their indicative volumes for the fiscal year ended December 31, 2010. These gains (losses) should be considered in the context that these contracts may have been executed to economically hedge securities, and accordingly, gains (losses) on
 
 
 
65 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
5. INVESTMENTS IN DERIVATIVES (continued)
 
such contracts may offset (losses) gains attributable to securities. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
 
                                         
                Net
            Average
 
            Statements of
  Realized
    Net Change in Unrealized
      Number of
 
Fund   Risk       Operations Location   Gain (Loss)     Gain (Loss)       Contracts(a)  
   
U.S. Equity Dividend and Premium
    Equity       Net realized gain (loss) from
futures transactions and
written options/Net
change in unrealized
gain (loss) on futures
and written options
  $ 1,810,302     $ (192,668 )       1,368  
 
International Equity Dividend and Premium
    Equity       Net realized gain (loss) from
futures transactions and
written options/Net
change in unrealized
gain (loss) on futures
and written options
    1,636,082       322,565         1,162  
 
Structured Tax-Managed Equity
    Equity       Net realized gain (loss) from
futures transactions/Net change
in unrealized gain (loss)
on futures
    868,546       72,228         97  
 
Structured International Tax-Managed Equity
    Equity       Net realized gain (loss) from
futures transactions/Net change
in unrealized gain (loss)
on futures
    (212,640 )     (75,821 )       66  
 
 
 
(a)  Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2010.
 
6. PORTFOLIO SECURITIES TRANSACTIONS
 
 
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2010, were as follows:
 
                 
Fund   Purchases     Sales  
   
U.S. Equity Dividend and Premium
  $ 538,786,251     $ 450,140,134  
 
 
International Equity Dividend and Premium
    185,729,886       63,708,728  
 
 
Structured Tax-Managed Equity
    521,497,343       499,187,808  
 
 
Structured International Tax-Managed Equity
    108,984,120       89,552,276  
 
 
 
7. SECURITIES LENDING
 
 
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and
 
 
 
 66


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
7. SECURITIES LENDING (continued)
 
affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience a delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan.
Effective December 29, 2010, the Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Money Market Fund (“Money Market Fund”), a separate series of the Trust. The Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive an investment advisory fee of up to 0.205% on an annualized basis of the average daily net assets of the Money Market Fund. Prior to December 29, 2010, the Funds invested the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio II of Boston Global Investment Trust (“Enhanced Portfolio II”), a Delaware statutory trust. The Enhanced Portfolio II, deemed an affiliate of the Trust, was exempt from registration under Section 3(c)(7) of the Act and managed by GSAM, for which GSAM received an investment advisory fee of up to 0.10% on an annualized basis of the average daily net assets of the Enhanced Portfolio II. The Enhanced Portfolio II invested primarily in short-term investments, but was not a “money market fund” subject to the requirements of Rule 2a-7 of the Act.
Both the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned by the Funds for the fiscal year ended December 31, 2010, are reported under Investment Income on the Statements of Operations. The table below details securities lending activity with affiliates of Goldman Sachs as of, and for the fiscal year ended December 31, 2010:
 
                         
                Amounts Payable to
 
   
For the Fiscal Year Ended December 31, 2010
    Goldman Sachs
 
    Earnings of GSAL
    Amounts Received
    Upon Return of
 
    Relating to
    by the Funds
    Securities Loaned as
 
    Securities
    from Lending to
    of December 31,
 
Fund   Loaned     Goldman Sachs     2010  
   
Structured Tax-Managed Equity
  $ 5,371     $ 10,689     $ 462,775  
 
 
Structured International Tax-Managed Equity
    10,897       26,849        
 
 
 
The following table provides information about the Funds’ investment in the Enhanced Portfolio II for the fiscal year ended December 31, 2010 (in thousands):
 
                                         
    Number of
                Number of
       
    Shares Held
    Shares
    Shares
    Shares Held
    Value at
 
Fund   Beginning of Year     Bought     Sold     End of Year     End Year  
   
Structured Tax-Managed Equity
    12,193       36,477       (48,670 )         $  
 
 
Structured International Tax-Managed Equity
    6,757       37,723       (44,480 )            
 
 
 
 
 
67 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
7. SECURITIES LENDING (continued)
 
The following table provides information about the Funds’ investment in the Financial Square Money Market Fund for the fiscal year ended December 31, 2010 (in thousands):
 
                                         
    Number of
                Number of
       
    Shares Held
    Shares
    Shares
    Shares Held
    Value at
 
Fund   Beginning of Year     Bought     Sold     End of Year     End Year  
   
Structured Tax-Managed Equity
          3,021             3,021     $ 3,021  
 
 
Structured International Tax-Managed Equity
          770       (85 )     685       685  
 
 
 
8. TAX INFORMATION
 
 
The tax character of distributions paid during the fiscal year ended December 31, 2010 was as follows:
 
                                 
    U.S. Equity
    International
          Structured
 
    Dividend
    Equity
    Structured
    International
 
    and
    Dividend and
    Tax-Managed
    Tax-Managed
 
    Premium     Premium     Equity     Equity  
   
Distributions paid from:
                               
Ordinary income
  $ 7,153,895     $ 5,330,594     $ 2,835,510     $ 3,048,593  
Net long-term capital gains
          1,507,830              
 
 
Total taxable distributions
  $ 7,153,895     $ 6,838,424     $ 2,835,510     $ 3,048,593  
 
 
 
The tax character of distributions paid during the fiscal year ended December 31, 2009 was as follows:
 
                                 
    U.S. Equity
    International
          Structured
 
    Dividend
    Equity
    Structured
    International
 
    and
    Dividend and
    Tax-Managed
    Tax-Managed
 
    Premium     Premium     Equity     Equity  
   
Distributions paid from ordinary income
  $ 4,766,625     $ 875,948     $ 3,268,818     $ 2,350,081  
 
 
 
 
 
 68


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
8. TAX INFORMATION (continued)
 
As of December 31, 2010, the components of accumulated earnings (losses) on a tax basis were as follows:
 
                                 
          International
          Structured
 
    U.S. Equity
    Equity
    Structured
    International
 
    Dividend and
    Dividend and
    Tax-Managed
    Tax-Managed
 
    Premium     Premium     Equity     Equity  
   
Undistributed ordinary income — net
  $ 1,820,225     $ 232,845     $     $ 27,404  
 
 
Capital loss carryforward:1
                               
Expiring 2015
  $     $     $ (5,190,228 )   $  
Expiring 2016
                (51,457,820 )     (40,155,952 )
Expiring 2017
    (28,646,302 )                 (31,387,420 )
 
 
Total capital loss carryforward
  $ (28,646,302 )   $     $ (56,648,048 )   $ (71,543,372 )
 
 
Timing differences (post-October losses/deferred REIT income/deferred straddle losses)
    (3,010,493 )     (517,194 )     (15,460,595 )     (84,891 )
Unrealized gains — net
    2,683,034       13,711,617       26,338,222       46,700,251  
 
 
Total accumulated gains (losses) — net
  $ (27,153,536 )   $ 13,427,268     $ (45,770,421 )   $ (24,900,608 )
 
 
 
1  Expiration occurs on December 31 of the year indicated. The U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds utilized $42,762,703, $5,622,091, $35,638,049 and $1,028,828, respectively, of capital losses in the current fiscal year.
 
As of December 31, 2010, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes was as follows:
 
                                 
          International
          Structured
 
    U.S. Equity
    Equity
    Structured
    International
 
    Dividend and
    Dividend and
    Tax-Managed
    Tax-Managed
 
    Premium     Premium     Equity     Equity  
   
Tax cost
  $ 455,182,011     $ 222,166,004     $ 279,496,012     $ 113,885,370  
 
 
Gross unrealized gain
    20,307,971       20,274,840       27,316,848       46,792,435  
Gross unrealized loss
    (17,624,937 )     (7,121,783 )     (978,626 )     (190,172 )
 
 
Net unrealized security gain
  $ 2,683,034     $ 13,153,057     $ 26,338,222     $ 46,602,263  
 
 
Net unrealized gain on other investments
          558,560             97,988  
 
 
Net unrealized gain
  $ 2,683,034     $ 13,711,617     $ 26,338,222     $ 46,700,251  
 
 
 
The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts and differences related to the tax treatment of passive foreign investment companies.
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 and result
 
 
 
69 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
8. TAX INFORMATION (continued)
 
primarily from taxable over distributions, expired capital loss carryforwards and the difference in the tax treatment of foreign currency transactions, passive foreign investment companies and underlying fund investments.
 
                         
          Accumulated
    Accumulated
 
    Paid-in
    Net Realized
    Undistributed Net
 
Fund   Capital     Gain (Loss)     Investment Income (Loss)  
   
U.S. Equity Dividend and Premium
  $     $     $  
 
 
International Equity Dividend and Premium
    (4 )     800,705       (800,701 )
 
 
Structured Tax-Managed Equity
    (358,090 )     299,169       58,921  
 
 
Structured International Tax-Managed Equity
          (244,401 )     244,401  
 
 
 
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
 
9. OTHER RISKS
 
 
Foreign Custody Risk — A Fund that invests in foreign securities may hold such securities and foreign currency with foreign banks, agents, and securities depositories (each a “Foreign Custodian”) appointed by the Fund’s custodian. In some countries, Foreign Custodians may be subject to little or no regulatory oversight or independent evaluation of their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters into bankruptcy. Investments in emerging markets may be subject to greater custody risks than investments in more developed markets. Custody services in emerging market countries are often undeveloped and may be less regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
 
Funds’ Shareholder Concentration Risk — Certain funds, accounts, individuals or Goldman Sachs affiliates may from time to time own (beneficially or of record) or control a significant percentage of the Funds’ shares. Redemptions by these entities of their holdings in the Funds may impact the Funds’ liquidity and NAV. These redemptions may also force the Funds to sell securities.
 
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transaction defaults.
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, be subject to government ownership controls, have delayed settlements and their prices may be more volatile than those of comparable securities in the U.S.
 
10. INDEMNIFICATIONS
 
 
Under the Trust’s organizational documents, its trustees, officers, employees and agents are indemnified, to the extent permitted by the Act, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’
 
 
 
 70


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
10. INDEMNIFICATIONS (continued)
 
maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
 
11. SUBSEQUENT EVENTS
 
 
Subsequent events after the balance sheet date have been evaluated through the date the financial statements were issued. GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
 
 
 
71 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
12. SUMMARY OF SHARE TRANSACTIONS
 
 
Share activity is as follows:
 
                                 
    U.S. Equity Dividend and Premium Fund  
       
    For the Fiscal Year Ended
    For the Fiscal Year Ended
 
    December 31, 2010     December 31, 2009  
       
    Shares     Dollars     Shares     Dollars  
       
Class A Shares
                               
Shares sold
    5,296,503     $ 45,376,174       6,907,062     $ 48,999,621  
Reinvestment of distributions
    121,730       1,023,403       203,154       1,469,186  
Shares redeemed
    (18,274,420 )     (151,627,631 )     (7,081,546 )     (50,481,516 )
 
 
      (12,856,187 )     (105,228,054 )     28,670       (12,709 )
 
 
Class C Shares
                               
Shares sold
    286,614       2,495,162       392,587       2,749,676  
Reinvestment of distributions
    7,732       66,389       6,991       51,916  
Shares redeemed
    (287,661 )     (2,471,543 )     (497,906 )     (3,339,965 )
 
 
      6,685       90,008       (98,328 )     (538,373 )
 
 
Institutional Shares
                               
Shares sold
    31,310,981       266,114,332       11,249,077       81,253,274  
Reinvestment of distributions
    349,028       3,034,668       172,799       1,276,956  
Shares redeemed
    (5,881,068 )     (50,526,514 )     (4,574,689 )     (33,497,082 )
 
 
      25,778,941       218,622,486       6,847,187       49,033,148  
 
 
Class IR Shares(a)
                               
Shares sold
    124       1,000              
Reinvestment of distributions
    1       11              
 
 
      125       1,011              
 
 
NET INCREASE
    12,929,564       113,485,451       6,777,529     $ 48,482,066  
 
 
 
(a)  Commenced operations on August 31, 2010.
 
 
 
 72


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
12. SUMMARY OF SHARE TRANSACTIONS (continued)
 
Share activity is as follows:
 
                                 
    International Equity Dividend and Premium Fund  
       
    For the Fiscal Year Ended
    For the Fiscal Year Ended
 
    December 31, 2010     December 31, 2009  
       
    Shares     Dollars     Shares     Dollars  
       
Class A Shares
                               
Shares sold
    14,002,520     $ 107,874,231       8,132,847     $ 58,661,081  
Reinvestment of distributions
    432,649       3,301,536       39,708       278,988  
Shares redeemed
    (3,668,343 )     (27,952,333 )     (1,081,838 )     (6,273,209 )
 
 
      10,766,826       83,223,434       7,090,717       52,666,860  
 
 
Class C Shares
                               
Shares sold
    55,054       398,973       115,598       783,372  
Reinvestment of distributions
    4,612       34,394       418       2,839  
Shares redeemed
    (8,071 )     (59,800 )     (3,892 )     (28,205 )
 
 
      51,595       373,567       112,124       758,006  
 
 
Institutional Shares
                               
Shares sold
    8,455,414       63,924,649       3,366,149       22,984,638  
Reinvestment of distributions
    292,978       2,234,981       58,203       378,118  
Shares redeemed
    (1,269,540 )     (9,549,894 )     (750,809 )     (5,066,043 )
 
 
      7,478,852       56,609,736       2,673,543       18,296,713  
 
 
Class IR Shares(a)
                               
Shares sold
    141       1,000              
Reinvestment of distributions
    3       22              
 
 
      144       1,022              
 
 
NET INCREASE
    18,297,417     $ 140,207,759       9,876,384     $ 71,721,579  
 
 
 
(a)  Commenced operations on August 31, 2010.
 
 
 
73 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Notes to Financial Statements (continued)
December 31, 2010
 
12. SUMMARY OF SHARE TRANSACTIONS (continued)
 
Share activity is as follows:
 
                                 
    Structured Tax-Managed Equity Fund  
       
    For the Fiscal Year Ended
    For the Fiscal Year Ended
 
    December 31, 2010     December 31, 2009  
       
    Shares     Dollars     Shares     Dollars  
       
Class A Shares
                               
Shares sold
    3,002,710     $ 26,708,035       3,239,061     $ 24,160,854  
Shares converted from Class B(a)
    26,552       237,830       151,166       1,122,967  
Reinvestment of distributions
    66,620       636,219       119,959       1,012,456  
Shares redeemed
    (4,181,448 )     (37,015,595 )     (8,610,418 )     (62,718,733 )
 
 
      (1,085,566 )     (9,433,511 )     (5,100,232 )     (36,422,456 )
 
 
Class B Shares
                               
Shares sold
    657       5,805       20,682       138,935  
Shares converted to Class A(a)
    (27,448 )     (237,830 )     (156,483 )     (1,122,967 )
Reinvestment of distributions
                555       4,545  
Shares redeemed
    (79,734 )     (685,479 )     (337,293 )     (2,313,016 )
 
 
      (106,525 )     (917,504 )     (472,539 )     (3,292,503 )
 
 
Class C Shares
                               
Shares sold
    25,110       212,973       45,840       321,518  
Reinvestment of distributions
                5,425       44,214  
Shares redeemed
    (321,412 )     (2,725,624 )     (757,339 )     (5,330,539 )
 
 
      (296,302 )     (2,512,651 )     (706,074 )     (4,964,807 )
 
 
Institutional Shares
                               
Shares sold
    7,379,406       66,178,376       10,246,249       75,491,043  
Reinvestment of distributions
    217,882       2,113,451       219,413       1,880,369  
Shares redeemed
    (2,451,216 )     (22,284,129 )     (4,526,574 )     (33,734,995 )
 
 
      5,146,072       46,007,698       5,939,088       43,636,417  
 
 
Service Shares
                               
Shares sold
    1,577       14,320       3,523       25,111  
Reinvestment of distributions
    31       293       32       273  
Shares redeemed
    (1,030 )     (8,789 )     (5,606 )     (39,450 )
 
 
      578       5,824       (2,051 )     (14,066 )
 
 
Class IR Shares(b)
                               
Shares sold
    122       1,000              
Reinvestment of distributions
    2       12              
 
 
      124       1,012              
 
 
NET INCREASE (DECREASE)
    3,658,381     $ 33,150,868       (341,808 )   $ (1,057,415 )
 
 
 
(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)  Commenced operations on August 31, 2010.
 
 
 
 74


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
 
12. SUMMARY OF SHARE TRANSACTIONS (continued)
 
Share activity is as follows:
 
                                 
    Structured International Tax-Managed Equity Fund  
       
    For the Fiscal Year Ended
    For the Fiscal Year Ended
 
    December 31, 2010     December 31, 2009  
       
    Shares     Dollars     Shares     Dollars  
       
Class A Shares
                               
Shares sold
    3,405,117     $ 26,064,272       4,889,583     $ 29,992,202  
Reinvestment of distributions
    155,996       1,219,886       166,148       1,219,529  
Shares redeemed
    (4,429,118 )     (32,956,454 )     (6,436,507 )     (38,379,745 )
 
 
      (868,005 )     (5,672,296 )     (1,380,776 )     (7,168,014 )
 
 
Class C Shares
                               
Shares sold
    1,942       13,338       2       14  
Reinvestment of distributions
    35       273       11       76  
Shares redeemed
    (4 )     (28 )     (300 )     (1,920 )
 
 
      1,973       13,583       (287 )     (1,830 )
 
 
Institutional Shares
                               
Shares sold
    4,310,686       31,337,018       5,090,131       31,578,307  
Reinvestment of distributions
    223,581       1,748,406       143,857       1,054,473  
Shares redeemed
    (885,806 )     (6,642,682 )     (955,667 )     (5,632,714 )
 
 
      3,648,461       26,442,742       4,278,321       27,000,066  
 
 
Class IR Shares(a)
                               
Shares sold
    147       1,000              
Reinvestment of distributions
    3       23              
 
 
      150       1,023              
 
 
NET INCREASE
    2,782,579     $ 20,785,052       2,897,258     $ 19,830,222  
 
 
 
(a)  Commenced operations on August 31, 2010.
 
 
 
75 


 

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
 
                                         
              Income (loss) from
     
              investment operations      
        Net asset
                       
        value,
    Net
    Net realized
    Total from
     
        beginning
    investment
    and unrealized
    investment
     
    Year - Share Class   of year     income(a)     gain (loss)     operations      
 
 FOR THE FISCAL YEARS ENDED DECEMBER 31,
                                         
                                         
    2010 - A   $ 8.29     $ 0.16 (c)   $ 1.08     $ 1.24      
    2010 - C     8.29       0.13 (c)     1.05       1.18      
    2010 - Institutional     8.28       0.26 (c)     1.01       1.27      
    2010 - IR (Commenced August 31, 2010)     8.06       0.11 (c)     1.30       1.41      
                                         
                                         
     
     
    2009 - A     6.86       0.13       1.43       1.56      
    2009 - C     6.87       0.08       1.42       1.50      
    2009 - Institutional     6.85       0.17       1.42       1.59      
                                         
                                         
     
     
    2008 - A     10.34       0.19       (3.46 )     (3.27 )    
    2008 - C     10.35       0.12       (3.46 )     (3.34 )    
    2008 - Institutional     10.34       0.23       (3.47 )     (3.24 )    
                                         
                                         
     
     
    2007 - A     10.97       0.29 (e)     0.05       0.34      
    2007 - C     10.99       0.20 (e)     0.06       0.26      
    2007 - Institutional     10.97       0.33 (e)     0.06       0.39      
                                         
                                         
     
     
    2006 - A     10.09       0.34 (f)     1.11       1.45      
    2006 - C     10.09       0.26 (f)     1.10       1.36      
    2006 - Institutional     10.10       0.40 (f)     1.09       1.49      
                                         
                                         
     
     
                                         
                                         
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(c)   Reflects income recognized from non-recurring special dividends which equal $0.05 per share and 0.56% of average net assets.
(d)   Annualized.
(e)   Reflects income recognized from non-recurring special dividends which equal $0.05 per share and 0.43% of average net assets.
(f)   Reflects income recognized from non-recurring special dividends which equal $0.10 per share and 0.93% of average net assets.
(g)   Total return reflects the impact of payments received for special dividends recorded this year. Excluding such payments, the total return would have been 13.52%, 12.74% and 13.98%, respectively.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 76


 

GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
 
 
 
                                                                                             
    Distributions to
                                               
    shareholders                                                
                                                          Ratio of
           
                                        Net assets,
    Ratio of
    Ratio of
    net investment
           
    From net
    From net
                Net asset
          end of
    net expenses
    total expenses
    income to
    Portfolio
     
    investment
    realized
    From
    Total
    value, end
    Total
    year
    to average
    to average
    average
    turnover
     
    income     gains     capital     distributions     of year     return(b)     (in 000s)     net assets     net assets     net assets     rate      
 
 
                                                                                             
                                                                                             
    $ (0.15 )   $     $     $ (0.15 )   $ 9.38       15.07 %   $ 37,112       1.24 %     1.26 %     1.84 (c)%     140 %    
      (0.09 )                 (0.09 )     9.38       14.32       10,851       1.99       2.01       1.52 (c)     140      
      (0.19 )                 (0.19 )     9.36       15.53       408,032       0.84       0.86       2.95 (c)     140      
      (0.09 )                 (0.09 )     9.38       17.53       1       0.99 (d)     1.01 (d)     4.04 (c)(d)     140      
                                                                                             
                                                                                             
 
 
      (0.13 )                 (0.13 )     8.29       23.03       139,340       1.24       1.30       1.85       125      
      (0.08 )                 (0.08 )     8.29       21.93       9,540       1.99       2.05       1.10       125      
      (0.16 )                 (0.16 )     8.28       23.55       147,446       0.84       0.90       2.30       125      
                                                                                             
                                                                                             
 
 
      (0.19 )     (0.02 )           (0.21 )     6.86       (31.86 )     115,172       1.24       1.29       2.12       61      
      (0.12 )     (0.02 )           (0.14 )     6.87       (32.36 )     8,577       1.99       2.04       1.37       61      
      (0.23 )     (0.02 )           (0.25 )     6.85       (31.65 )     75,190       0.84       0.89       2.62       61      
                                                                                             
                                                                                             
 
 
      (0.29 )     (0.68 )           (0.97 )     10.34       2.99       240,787       1.24       1.26       2.57 (e)     53      
      (0.22 )     (0.68 )           (0.90 )     10.35       2.19       16,209       1.99       2.01       1.78 (e)     53      
      (0.34 )     (0.68 )           (1.02 )     10.34       3.39       82,388       0.84       0.86       2.90 (e)     53      
                                                                                             
                                                                                             
 
 
      (0.28 )     (0.28 )     (0.01 )     (0.57 )     10.97       14.53 (g)     181,756       1.24       1.53       3.25 (f)     63      
      (0.17 )     (0.28 )     (0.01 )     (0.46 )     10.99       13.64 (g)     8,201       1.99       2.28       2.48 (f)     63      
      (0.33 )     (0.28 )     (0.01 )     (0.62 )     10.97       14.99 (g)     49,601       0.84       1.13       3.80 (f)     63      
                                                                                             
                                                                                             
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
77 


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
 
                                         
              Income (loss) from
     
              investment operations      
        Net asset
                       
        value,
    Net
    Net realized
    Total from
     
        beginning
    investment
    and unrealized
    investment
     
    Year - Share Class   of year     income(a)     gain (loss)     operations      
 
 FOR THE FISCAL YEARS ENDED DECEMBER 31,
                                         
                                         
    2010 - A   $ 7.86     $ 0.16     $ 0.41     $ 0.57      
    2010 - C     7.73       0.10       0.41       0.51      
    2010 - Institutional     7.76       0.18       0.42       0.60      
    2010 - IR (Commenced August 31, 2010)     7.08       0.04       1.10       1.14      
                                         
                                         
     
     
    2009 - A     6.36       0.09       1.53       1.62      
    2009 - C     6.28       0.02       1.52       1.54      
    2009 - Institutional     6.30       0.14       1.47       1.61      
                                         
                                         
 FOR THE PERIOD ENDED DECEMBER 31,
                                         
                                         
    2008 - A (Commenced January 31, 2008)     10.00       0.18       (3.55 )     (3.37 )    
    2008 - C (Commenced January 31, 2008)     10.00       0.15       (3.66 )     (3.51 )    
    2008 - Institutional (Commenced January 31, 2008)     10.00       0.31       (3.73 )     (3.42 )    
                                         
                                         
     
     
                                         
(a)   Calculated based on the average shares outstanding methodology.
(b)   Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(c)   Annualized.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 78


 

GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
 
 

 
 
 
 
                                                                                             
    Distributions to
                                               
    shareholders                                                
                                                    Ratio of
    Ratio of
           
                                        Net assets,
    Ratio of
    total
    net investment
           
    From net
    From net
                Net asset
          end of
    net expenses
    expenses
    income
    Portfolio
     
    investment
    realized
    From
    Total
    value, end
    Total
    year
    to average
    to average
    to average
    turnover
     
    income     gains     capital     distributions     of year     return(b)     (in 000s)     net assets     net assets     net assets     rate      
 
 
                                                                                             
                                                                                             
    $ (0.14 )   $ (0.12 )   $     $ (0.26 )   $ 8.17       7.59 %   $ 158,348       1.30 %     1.45 %     2.06 %     41 %    
      (0.10 )     (0.12 )           (0.22 )     8.02       6.81       1,342       2.05       2.20       1.28       41      
      (0.17 )     (0.12 )           (0.29 )     8.07       8.10       97,651       0.90       1.05       2.38       41      
      (0.04 )     (0.12 )           (0.16 )     8.06       16.12       1       1.05 (c)     1.20 (c)     1.48 (c)     41      
                                                                                             
                                                                                             
 
 
      (0.12 )                 (0.12 )     7.86       26.17       67,681       1.30       2.09       1.23       98      
      (0.09 )                 (0.09 )     7.73       25.12       894       2.05       2.84       0.28       98      
      (0.15 )                 (0.15 )     7.76       26.06       35,883       0.90       1.69       2.07       98      
                                                                                             
                                                                                             
 
                                                                                             
                                                                                             
      (0.21 )           (0.06 )     (0.27 )     6.36       (34.60 )     9,673       1.30 (c)     3.50 (c)     2.71 (c)     130      
      (0.15 )           (0.06 )     (0.21 )     6.28       (35.82 )     23       2.05 (c)     4.25 (c)     2.20 (c)     130      
      (0.22 )           (0.06 )     (0.28 )     6.30       (34.98 )     12,275       0.90 (c)     3.10 (c)     4.05 (c)     130      
                                                                                             
                                                                                             
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
79 


 

GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
 
                                         
              Income (loss) from
     
              investment operations      
        Net asset
                       
        value,
    Net
    Net realized
    Total from
     
        beginning
    investment
    and unrealized
    investment
     
    Year - Share Class   of year     income (loss)(a)     gain (loss)     operations      
 
 FOR THE FISCAL YEARS ENDED DECEMBER 31,
                                         
                                         
    2010 - A   $ 8.64     $ 0.08     $ 1.08     $ 1.16      
    2010 - B     8.38       0.01       1.05       1.06      
    2010 - C     8.33       0.01       1.05       1.06      
    2010 - Institutional     8.78       0.11       1.11       1.22      
    2010 - Service     8.72       0.07       1.09       1.16      
    2010 - IR (Commenced August 31, 2010)     8.18       0.03       1.78       1.81      
                                         
                                         
     
     
    2009 - A     7.20       0.09 (d)     1.45       1.54      
    2009 - B     6.97       0.04 (d)     1.39       1.43      
    2009 - C     6.94       0.04 (d)     1.39       1.43      
    2009 - Institutional     7.31       0.14 (d)     1.47       1.61      
    2009 - Service     7.26       0.09 (d)     1.46       1.55      
                                         
                                         
     
     
    2008 - A     11.50       0.08       (4.31 )     (4.23 )    
    2008 - B     11.10       (e)     (4.13 )     (4.13 )    
    2008 - C     11.06       0.01       (4.13 )     (4.12 )    
    2008 - Institutional     11.69       0.12       (4.38 )     (4.26 )    
    2008 - Service     11.49       0.06       (4.29 )     (4.23 )    
                                         
                                         
     
     
    2007 - A     11.72       0.08       (0.20 )     (0.12 )    
    2007 - B     11.30       (0.01 )     (0.19 )     (0.20 )    
    2007 - C     11.27       (0.01 )     (0.19 )     (0.20 )    
    2007 - Institutional     11.91       0.13       (0.21 )     (0.08 )    
    2007 - Service     11.70       0.07       (0.20 )     (0.13 )    
                                         
                                         
     
     
    2006 - A     10.39       0.08       1.32       1.40      
    2006 - B     10.04       (e)     1.26       1.26      
    2006 - C     10.02       (e)     1.25       1.25      
    2006 - Institutional     10.56       0.14       1.31       1.45      
    2006 - Service     10.37       0.07       1.30       1.37      
                                         
                                         
     
     
                                         
                                         
(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(c)  Annualized.
(d)  Reflects income recognized from non-recurring special dividends which amounted to $0.01 per share and 0.01% of net assets.
(e)  Amount is less than $0.005 per share.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 80


 

GOLDMAN SACHS STRUCTURED TAX-MANAGED EQUITY FUND
 
 

 
 
 
 
                                                                                     
    Distributions to
                                               
    shareholders                                                
                                                    Ratio of
           
                                  Net assets
    Ratio of
    Ratio of
    net investment
           
    From net
                Net asset
          end of
    net expenses
    total expenses
    income (loss)
    Portfolio
     
    investment
    From
    Total
    value, end
    Total
    year
    to average
    to average
    to average
    turnover
     
    income     capital     distributions     of year     return(b)     (in 000s)     net assets     net assets     net assets     rate      
 
 
                                                                                     
                                                                                     
    $ (0.07 )   $     $ (0.07 )   $ 9.73       13.46 %   $ 91,857       1.09 %     1.25 %     0.82 %     200 %    
                        9.44       12.65       1,539       1.84       2.00       0.08       200      
                        9.39       12.59       9,484       1.84       2.00       0.07       200      
      (0.11 )           (0.11 )     9.89       14.04       200,795       0.69       0.85       1.22       200      
      (0.07 )           (0.07 )     9.81       13.34       59       1.19       1.35       0.69       200      
      (0.10 )           (0.10 )     9.89       22.18       1       0.84 (c)     1.00 (c)     0.97 (c)     200      
                                                                                     
                                                                                     
 
 
      (0.10 )           (0.10 )     8.64       21.43       90,909       1.09       1.28       1.37       352      
      (0.02 )           (0.02 )     8.38       20.48       2,259       1.84       2.03       0.62       352      
      (0.04 )           (0.04 )     8.33       20.56       10,887       1.84       2.03       0.63       352      
      (0.14 )           (0.14 )     8.78       21.90       133,016       0.69       0.88       1.88       352      
      (0.09 )           (0.09 )     8.72       21.41       48       1.19       1.38       1.28       352      
                                                                                     
                                                                                     
 
 
      (0.07 )           (0.07 )     7.20       (36.66 )     112,426       1.09       1.27       0.81       153      
                        6.97       (37.13 )     5,169       1.84       2.02       (0.02 )     153      
                        6.94       (37.08 )     13,977       1.84       2.02       0.06       153      
      (0.12 )           (0.12 )     7.31       (36.34 )     67,367       0.69       0.87       1.27       153      
                        7.26       (36.74 )     55       1.19       1.37       0.57       153      
                                                                                     
                                                                                     
 
 
      (0.07 )     (0.03 )     (0.10 )     11.50       (0.92 )     241,192       1.10       1.24       0.65       73      
                        11.10       (1.77 )     20,010       1.85       1.99       (0.11 )     73      
      (0.01 )     (e)     (0.01 )     11.06       (1.75 )     30,008       1.85       1.99       (0.10 )     73      
      (0.10 )     (0.04 )     (0.14 )     11.69       (0.65 )     63,913       0.70       0.84       1.05       73      
      (0.06 )     (0.02 )     (0.08 )     11.49       (1.10 )     400       1.20       1.34       0.55       73      
                                                                                     
                                                                                     
 
 
      (0.07 )           (0.07 )     11.72       13.34       138,732       1.09       1.32       0.77       90      
                        11.30       12.55       24,820       1.84       2.07       (0.01 )     90      
                        11.27       12.48       29,340       1.84       2.07       0.01       90      
      (0.10 )           (0.10 )     11.91       13.76       61,338       0.69       0.92       1.21       90      
      (0.04 )           (0.04 )     11.70       13.21       354       1.19       1.42       0.63       90      
                                                                                     
                                                                                     
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
81 


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
 
                                         
              Income (loss) from
     
              investment operations      
        Net asset
                       
        value,
    Net
    Net realized
    Total from
     
        beginning
    investment
    and unrealized
    investment
     
    Year - Share Class   of year     income     gain (loss)     operations      
 
 FOR THE FISCAL YEARS ENDED DECEMBER 31,
                                         
                                         
    2010 - A   $ 7.40     $ 0.13 (b)   $ 0.51     $ 0.64      
    2010 - C     7.39       0.08 (b)     0.50       0.58      
    2010 - Institutional     7.39       0.15 (b)     0.53       0.68      
    2010 - IR (Commenced August 31, 2010)     6.82       0.03 (b)     1.21       1.24      
                                         
                                         
     
     
    2009 - A     6.07       0.13 (b)     1.32       1.45      
    2009 - C     6.06       0.09 (b)     1.31       1.40      
    2009 - Institutional     6.06       0.15 (b)     1.33       1.48      
                                         
                                         
 FOR THE PERIOD ENDED DECEMBER 31,
                                         
                                         
    2008 - A (Commenced January 31, 2008)     10.00       0.17       (3.93 )     (3.76 )    
    2008 - C (Commenced January 31, 2008)     10.00       0.13       (3.94 )     (3.81 )    
    2008 - Institutional (Commenced January 31, 2008)     10.00       0.19       (3.94 )     (3.75 )    
                                         
                                         
     
     
                                         
                                         
(a)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(b)  Calculated based on the average shares outstanding methodology.
(c)  Annualized.
 
 
 
The accompanying notes are an integral part of these financial statements.
 
 82


 

GOLDMAN SACHS STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY FUND
 
 

 
 
 
 
                                                                     
    Distributions
                                  Ratio of
           
    to shareholders
                Net assets,
    Ratio of
    Ratio of
    net investment
           
    from net
    Net asset
          end of
    net expenses
    total expenses
    income
    Portfolio
     
    investment
    value, end
    Total
    year
    to average
    to average
    to average
    turnover
     
    income     of year     return(a)     (in 000s)     net assets     net assets     net assets     rate      
 
 
                                                                     
                                                                     
    $ (0.14 )   $ 7.90       8.64 %   $ 75,854       1.26 %     1.56 %     1.75 %     70 %    
      (0.09 )     7.88       7.89       24       2.01       2.31       1.05       70      
      (0.17 )     7.90       9.17       85,604       0.86       1.16       2.12       70      
      (0.16 )     7.90       18.21       1       1.01 (c)     1.31 (c)     1.26 (c)     70      
                                                                     
                                                                     
 
 
      (0.12 )     7.40       23.98       77,469       1.26       1.67       2.00       101      
      (0.07 )     7.39       23.13       8       2.01       2.42       1.38       101      
      (0.15 )     7.39       24.47       53,159       0.86       1.27       2.24       101      
                                                                     
                                                                     
 
                                                                     
                                                                     
      (0.17 )     6.07       (37.56 )     71,917       1.26 (c)     1.80 (c)     2.53 (c)     243      
      (0.13 )     6.06       (38.02 )     8       2.01 (c)     2.55 (c)     1.83 (c)     243      
      (0.19 )     6.06       (37.40 )     17,652       0.86 (c)     1.40 (c)     2.05 (c)     243      
                                                                     
                                                                     
 
 
 
 
 
The accompanying notes are an integral part of these financial statements. 
 
83 


 

Report of Independent Registered Public Accounting Firm
 
 
To the Board of Trustees and Shareholders of
Goldman Sachs Trust — Goldman Sachs Structured Tax-Advantaged Equity 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 U.S. Equity Dividend and Premium Fund, Goldman Sachs International Equity Dividend and Premium Fund, Goldman Sachs Structured Tax-Managed Equity Fund and Goldman Sachs Structured International Tax-Managed Equity Fund (collectively the “Funds”), portfolios of Goldman Sachs Trust, at December 31, 2010 and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, 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 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 December 31, 2010 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion.
 
PricewaterhouseCoopers LLP
 
Boston, Massachusetts
February 22, 2011
 
 
 
 84


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 
Fund Expenses — Six Month Period Ended December 31, 2010 (Unaudited)
 
As a shareholder of Class A, Class B, Class C, Institutional, Service Shares or Class IR of a Fund you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares), contingent deferred sales charges on redemptions (with respect to Class B and Class C Shares), (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, Service Shares or Class IR 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 July 1, 2010 through December 31, 2010.
 
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
 
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
 
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
                                                                                                                         
      U.S. Equity Dividend and Premium Fund     International Equity Dividend and Premium Fund     Structured Tax-Managed Equity Fund     Structured International Tax-Managed Equity Fund
                  Expenses
                Expenses
                Expenses
                Expenses
      Beginning
          Paid for the
    Beginning
          Paid for the
    Beginning
          Paid for the
    Beginning
          Paid for the
      Account
    Ending
    6 Months
    Account
    Ending
    6 Months
    Account
    Ending
    6 Months
    Account
    Ending
    6 Months
      Value
    Account Value
    Ended
    Value
    Account Value
    Ended
    Value
    Account Value
    Ended
    Value
    Account Value
    Ended
Share Class     7/01/10     12/31/10     12/31/10*     7/01/10     12/31/10     12/31/10*     7/01/10     12/31/10     12/31/10*     7/01/10     12/31/10     12/31/10*
Class A
                                                                                                                       
Actual
    $ 1,000       $ 1,204.40       $ 6.89       $ 1,000       $ 1,238.50       $ 7.33       $ 1,000       $ 1,223.80       $ 6.11       $ 1,000       $ 1,264.00       $ 7.19  
Hypothetical 5% return
      1,000         1,018.95 +       6.31         1,000         1,018.65 +       6.61         1,000         1,019.71 +       5.55         1,000         1,018.85 +       6.41  
 
Class B
                                                                                                                       
Actual
      N/A         N/A         N/A         N/A         N/A         N/A         1,000         1,219.60         10.29         N/A         N/A         N/A  
Hypothetical 5% return
      N/A         N/A +       N/A         N/A         N/A +       N/A         1,000         1,015.93 +       9.35         N/A         N/A +       N/A  
 
Class C
                                                                                                                       
Actual
      1,000         1,199.60         11.03         1,000         1,235.40         11.55         1,000         1,219.50         10.29         1,000         1,259.50         11.45  
Hypothetical 5% return
      1,000         1,015.17 +       10.11         1,000         1,014.87 +       10.41         1,000         1,015.93 +       9.35         1,000         1,015.07 +       10.21  
 
Institutional
                                                                                                                       
Actual
      1,000         1,206.80         4.67         1,000         1,242.70         5.09         1,000         1,225.60         3.87         1,000         1,266.50         4.91  
Hypothetical 5% return
      1,000         1,020.97 +       4.28         1,000         1,020.67 +       4.58         1,000         1,021.73 +       3.52         1,000         1,020.87 +       4.38  
 
Service
                                                                                                                       
Actual
      N/A         N/A         N/A         N/A         N/A         N/A         1,000         1,223.10         6.67         N/A         N/A         N/A  
Hypothetical 5% return
      N/A         N/A +       N/A         N/A         N/A +       N/A         1,000         1,019.21 +       6.06         N/A         N/A +       N/A  
 
Class IR
                                                                                                                       
Actual
      1,000         1,175.30         3.60         1,000         1,161.20         3.79         1,000         1,221.80         3.12         1,000         1,182.10         3.68  
Hypothetical 5% return
      1,000         1,020.21 +       5.04         1,000         1,019.91 +       5.35         1,000         1,021.27 +       4.28         1,000         1,019.86 +       5.14  
 
(a)  Class IR of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds commenced operations on August 31, 2010.
Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2010. 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   Class IR
 
U.S. Equity Dividend and Premium
    1.24 %     N/A       1.99 %     0.84 %     N/A       0.99 %
International Equity Dividend and Premium
    1.30       N/A       2.05       0.90       N/A       1.05  
Structured Tax-Managed Equity
    1.09       1.84 %     1.84       0.69       1.19 %     0.84  
Structured International Tax-Managed Equity
    1.26       N/A       2.01       0.86       N/A       1.01  
 
 
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.
 
 

85


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

Trustees and Officers (Unaudited)
Independent Trustees
 
                     
                Number of
   
        Term of
      Portfolios in
   
        Office and
      Fund Complex
  Other
Name,
  Position(s) Held
  Length of
  Principal Occupation(s)
  Overseen by
  Directorships
Address and Age1,2   with the Trust   Time Served3   During Past 5 Years   Trustee4   Held by Trustee5
 
Ashok N. Bakhru
Age: 68
  Chairman of the Board of Trustees   Since 1996 (Trustee Since 1991)  
President, ABN Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-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); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors—III and IV (November 1998-2007), and Equity-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees—Goldman Sachs Mutual Fund Complex.
  90   Apollo Investment Corporation (a business development company)
 
 
Donald C. Burke
Age: 50
  Trustee   Since 2010  
Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006).

Trustee—Goldman Sachs Mutual Fund Complex.
  90   None
 
 
John P. Coblentz, Jr.
Age: 69
  Trustee   Since 2003  
Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present).

Trustee—Goldman Sachs Mutual Fund Complex.
  90   None
 
 
Diana M. Daniels
Age: 61
  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 Vice Chair of the Board of Trustees, Cornell University (2009-Present); 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.
  90   None
 
 
Joseph P. LoRusso
Age: 53
  Trustee   Since 2010  
President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008).

Trustee—Goldman Sachs Mutual Fund Complex.
  90   None
 
 
Jessica Palmer
Age: 61
  Trustee   Since 2007  
Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).

Trustee—Goldman Sachs Mutual Fund Complex.
  90   None
 
 
 
 
 
 86


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Trustees and Officers (Unaudited) (continued)
 
Independent Trustees
 
                     
                Number of
   
        Term of
      Portfolios in
   
        Office and
      Fund Complex
  Other
Name,
  Position(s) Held
  Length of
  Principal Occupation(s)
  Overseen by
  Directorships
Address and Age1,2   with the Trust   Time Served3   During Past 5 Years   Trustee4   Held by Trustee5
 
Richard P. Strubel
Age: 71
  Trustee   Since 1987  
Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee—Goldman Sachs Mutual Fund Complex.
  90   Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees).
 
 
 
Interested Trustees
 
                     
                Number of
   
        Term of
      Portfolios in
   
        Office and
      Fund Complex
  Other
Name,
  Position(s) Held
  Length of
  Principal Occupation(s)
  Overseen by
  Directorships
Address and Age1,2   with the Trust   Time Served3   During Past 5 Years   Trustee4   Held by Trustee5
 
James A. McNamara*
Age: 48
  President and 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 (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007).

Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004).
  90   None
 
 
Alan A. Shuch*
Age: 61
  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.
  90   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, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010.
2 From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010.
3 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 74 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.
4 The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Variable Insurance Trust. As of December 31, 2010, the Trust consisted of 77 portfolios, Goldman Sachs Variable Insurance Trust consisted of 11 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public.
5 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.
 
 
 
87 


 

GOLDMAN SACHS STRUCTURED TAX-ADVANTAGED EQUITY FUNDS
 
 

 
Trustees and Officers (Unaudited) (continued)
 
Officers of the Trust*
 
             
        Term of
   
        Office and
   
    Position(s) Held
  Length of
   
Name, Address and Age   With the Trust   Time Served1   Principal Occupation(s) During Past 5 Years
 
James A. McNamara
200 West Street
New York, NY 10282
Age: 48
  President and 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 (November 2007-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President—Goldman Sachs Mutual Fund Complex (2001-2007).

Trustee—Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004).
 
 
George F. Travers
30 Hudson Street
Jersey City, NJ 07302
Age: 42
  Senior Vice President and
Principal Financial Officer
  Since 2009  
Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005)

Senior Vice President and Principal Financial Officer—Goldman Sachs Mutual Fund Complex.
 
 
Peter V. Bonanno
200 West Street
New York, NY 10282
Age: 43
  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 (2006-Present); and Assistant Secretary—Goldman Sachs Mutual Fund Complex (2003-2006).
 
 
Scott M. McHugh
200 West Street
New York, NY 10282
Age: 39
  Treasurer and
Senior Vice President
  Since 2009  
Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).

Treasurer—Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President—Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer—Goldman Sachs Mutual Fund Complex (May 2007-October 2009).
 
 
 
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. Information is provided as of December 31, 2010.
* 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.
 
 
 
 
Goldman Sachs Trust — Structured Tax-Advantaged Equity Funds — Tax Information (Unaudited)
 
For the year ended December 31, 2010, 100% of the dividends paid from net investment company taxable income by the U.S. Equity Dividend and Premium and Structured Tax-Managed Equity Funds, respectively, qualify for the dividends received deduction available to corporations.
 
For the 2010 tax year, the International Equity Dividend and Premium and Structured International Tax-Managed Equity Funds have elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Equity Dividend and Premium and Structured International Tax-Managed Equity Funds from sources within foreign countries and possessions of the United States was $0.1385 and $0.1233 per share, respectively, all of which is attributable to qualified passive income. The total amount of taxes paid by the International Equity Dividend and Premium and Structured International Tax-Managed Equity Funds to such countries was $0.0141 and $0.0091 per share, respectively.
 
For the year ended December 31, 2010, 100%, 93.86%, 100% and 85.57% of the dividends paid from net investment company taxable income by the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, Structured Tax-Managed Equity and Structured International Tax-Managed Equity Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
 
Pursuant to Section 852 of the Internal Revenue Code, the International Equity Dividend and Premium Fund designates $1,507,830, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2010.
 
During the year ended December 31, 2010, the International Equity Dividend and Premium Fund designates $1,974,500, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
 
 
 
 88


 

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 $717.1 billion in assets under management as of December 31, 2010 — our investment professionals bring firsthand knowledge of local markets to every investment decision. Goldman Sachs Asset Management ranks in the top 10 asset management firms worldwide, based on assets under management.1
 
OVERVIEW OF GOLDMAN SACHS FUNDS
 
(FUND RANGE RISK CHART)
 
         
Money Market2
Financial Square FundsSM
n Financial Square Tax-Exempt Funds
n Financial Square Federal Fund
n Financial Square Government Fund
n Financial Square Money Market Fund
n Financial Square Prime Obligations Fund
n Financial Square Treasury Instruments Fund
n Financial Square Treasury
Obligations Fund

Fixed Income
Short Duration and Government
n Enhanced Income Fund
n Ultra-Short Duration Govt. Fund
n Short Duration Government Fund
n Government Income Fund
n Inflation Protected Securities Fund

Multi-Sector
n Core Fixed Income Fund
n Core Plus Fixed Income Fund
n Global Income Fund
n Strategic Income Fund

Municipal and Tax-Free
n High Yield Municipal Fund
n Municipal Income Fund
n Short Duration Tax-Free Fund

Single Sector
n Investment Grade Credit Fund
n U.S. Mortgages Fund
n High Yield Fund
 
n Emerging Markets Debt Fund
n Local Emerging Markets Debt Fund

Corporate Credit
n Credit Strategies Fund

Fundamental Equity
n Growth and Income Fund
n Small Cap Value Fund
n Mid Cap Value Fund
n Large Cap Value Fund
n Capital Growth Fund
n Strategic Growth Fund
n Small/Mid Cap Growth Fund
n All Cap Growth Fund
n Concentrated Growth Fund
n Technology Tollkeeper FundSM 4
n Growth Opportunities Fund
n U.S. Equity Fund

Structured Equity
n Balanced Fund
n Structured Small Cap Equity Fund
n Structured U.S. Equity Fund
n Structured Small Cap Growth Fund
n Structured Large Cap Growth Fund
n Structured Large Cap Value Fund
n Structured Small Cap Value Fund
n Structured Tax-Managed Equity Fund
n Structured International Tax-Managed Equity Fund
n U.S. Equity Dividend and
Premium Fund
n International Equity Dividend and Premium Fund
 
n Structured International Small
Cap Fund
n Structured International Equity Fund
n Structured Emerging Markets
Equity Fund

Fundamental Equity International
n Strategic International Equity Fund
n Concentrated International
Equity Fund
n International Small Cap Fund
n Asia Equity Fund
n Emerging Markets Equity Fund
n BRIC Fund (Brazil, Russia, India, China)

Select Satellite3
n Real Estate Securities Fund
n International Real Estate Securities Fund
n Commodity Strategy Fund
n Dynamic Allocation Fund
n Absolute Return Tracker Fund
n Satellite Strategies Portfolio

Total Portfolio Solutions3
n Balanced Strategy Portfolio
n Growth and Income Strategy Portfolio
n Growth Strategy Portfolio
n Equity Growth Strategy Portfolio
n Income Strategies Portfolio
n Retirement Strategies Portfolios
n Enhanced Dividend Global Equity Portfolio
n Tax Advantaged Global Equity Portfolio
 
 
Firmwide assets under management includes assets managed by GSAM and its Investment Advisory Affiliates.
 
1 Ranking for Goldman Sachs Group, Inc., includes Goldman Sachs Asset Management, Private Wealth Management and Merchant Banking 2009 year-end assets. Ranked 9th in total assets worldwide. Pensions&Investments, June 2010.
 
2 An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds.
 
3 Individual Funds within the Total Portfolio Solutions and Select Satellite categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Total Portfolio Solutions or Select Satellite category.
 
4 Effective July 31, 2010, the Goldman Sachs Tollkeeper Fund was renamed the Goldman Sachs Technology Tollkeeper Fund.
The Goldman Sachs Technology Tollkeeper FundSM and Financial Square FundsSM are registered service marks of Goldman, Sachs & Co.


 

     
TRUSTEES
Ashok N. Bakhru, Chairman
Donald C. Burke*
John P. Coblentz, Jr.
Diana M. Daniels
Joseph P. LoRusso*
James A. McNamara
Jessica Palmer
Alan A. Shuch
Richard P. Strubel
*Effective August 19, 2010
  OFFICERS
James A. McNamara, President
George F. Travers, Principal Financial Officer
Peter V. Bonanno, Secretary
Scott M. McHugh, Treasurer
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent
  GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
 
 
 
 
 
Visit our website at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
 
 
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
 
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission website 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’ Form 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).
 
Goldman, Sachs & Co. (”Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include a Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the Prospectus carefully before investing or sending money. The summary prospectus, if available, and the Prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman, Sachs & Co. by calling (retail — 1-800-526-7384) (institutional — 1-800-621-2550).
 
© 2011 Goldman Sachs.  All rights reserved.  48068.MF.MED.TMPL/2/2011 TAXADVAR11 / 9K


 

     
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.

                     
    2010
  2009
  Description of Services Rendered
Audit Fees:
                   
 
                   
• PricewaterhouseCoopers LLP (“PwC”)
  $ 2,051,975     $ 2,679,850     Financial Statement audits.
 
                   
Audit-Related Fees:
                   
 
                   
• PwC
  $ 107,725     $ 181,992     Other attest services. $17,800 represents fees borne by the Funds’ adviser in 2009 in relation to fees incurred as a result of fiscal year end changes.
 
                   
Tax Fees:
                   
 
                   
• PwC
  $ 706,270     $ 685,440     Tax compliance services provided in connection with the preparation and review of the Registrant’s tax returns. $28,275 represents fees borne by the Funds’ adviser in 2010 in relation to fees incurred as a result of fiscal year end changes.

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.

                 
    2010
  2009
  Description of Services Rendered
               
 
               
Audit-Related Fees:
               
 
               
• PwC
  $ 1,333,000   $ 1,509,000   Internal control review performed in accordance with Statement on Auditing Standards No. 70. These fees are borne by the Funds’ adviser.
 
               


 


*   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 PwC for the years ended December 31, 2010 and December 31, 2009 were approximately $813,995 and $867,432 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2010 and December 31, 2009 were approximately $6.4 million and $6.4 million respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2010 and 2009 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 12(a)(1) of the registrant’s Form N-CSR filed on June 3, 2010 for its Short Duration and Government Fixed Income Funds.
 
  (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:       March 3, 2011    

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

             
By:       /s/ James A. McNamara    
       
   
        James A. McNamara    
        President/Principal Executive Officer    
        Goldman Sachs Trust    
             
Date:       March 3, 2011    
             
By:       /s/ George F. Travers    
       
   
        George F. Travers    
        Principal Financial Officer    
        Goldman Sachs Trust    
             
Date:       March 3, 2011    

  EX-99.CERT 2 y88826exv99wcert.htm EX-99.CERT exv99wcert

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: March 3, 2011

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

 


 

CERTIFICATIONS
(Section 302)

     I, George F. Travers, 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: March 3, 2011

     
    /s/ George F. Travers
   
    George F. Travers
Principal Financial Officer

  EX-99.906CERT 3 y88826exv99w906cert.htm EX-99.906CERT exv99w906cert

EX-99.906CERT

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

James A. McNamara, President/Principal Executive Officer, and George F. Travers, 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 December 31, 2010 (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   Principal Financial Officer    
         
Goldman Sachs Trust   Goldman Sachs Trust    
         
/s/ James A. McNamara   /s/ George F. Travers    

 
   
James A. McNamara   George F. Travers    
         
Date: March 3, 2011   March 3, 2011    

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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