UNITED STATES
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-05349
Goldman Sachs Trust
71 South Wacker Drive, Chicago, Illinois 60606
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) |
Registrants 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. |
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 | |||
n | U.S. EQUITY DIVIDEND AND PREMIUM | |
n | INTERNATIONAL EQUITY DIVIDEND AND PREMIUM | |
n | STRUCTURED TAX-MANAGED EQUITY | |
n | STRUCTURED INTERNATIONAL TAX-MANAGED EQUITY |
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 | ||||
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. |
n | The Funds utilize index call writing to seek to enhance their cash flow. |
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. |
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. |
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Funds 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 Funds benchmarks, the Standard & Poors® 500 Index (with dividends reinvested) (the S&P 500 Index) and the Barclays Capital U.S. Aggregate Bond Index, respectively, during the same period. |
Q | What key factors were most responsible for the Funds performance during the Reporting Period? |
A | The sale of call options on the S&P 500 Index detracted from the Funds 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.) |
Q | How did the Funds call writing affect its performance? |
A | Consistent with our investment approach, we wrote index call options on a portion of the stock portfolios 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 Funds call writing detracted from performance. |
Q | What was the Funds 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 Funds dividend yield served to enhance its quarterly net income distributions. |
Q | Among individual holdings, which stocks contributed most to the Funds 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. |
Q | 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. |
Q | How did fixed income investments affect relative performance? |
A | The Funds investments in fixed income securities are limited to cash equivalents, and therefore fixed income holdings did not have a meaningful impact on performance. |
Q | How did the Fund use derivatives during the Reporting Period? |
A | As we sought to increase the Funds total return and to hedge its portfolio against shifts in market conditions, we used index options and index futures. |
Q | 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. |
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, 2010December 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 Funds performance reflects the reinvestment of dividends and other distributions. The Funds performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P 500 Index is the Standard & Poors 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. |
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. |
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. |
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 investors 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 Funds 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 Funds 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 Funds Class A Shares and taxes applicable when the shares are redeemed. |
% 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 | ||||
|
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 Funds 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. |
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. |
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Funds 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 Funds benchmarks, the MSCI EAFE Index (unhedged, with dividends reinvested) and the Barclays Capital Global Aggregate Bond Index, respectively, during the same period. |
Q | What key factors were most responsible for the Funds performance during the Reporting Period? |
A | The sale of call options modestly detracted from the Funds 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.) |
Q | How did the Funds call writing affect its performance? |
A | Consistent with our investment approach, we wrote index call options on a portion of the stock portfolios 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 Funds call writing detracted. |
Q | What was the Funds 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 Funds dividend yield served to enhance its quarterly net income distributions. |
Q | Among individual holdings, which stocks contributed most to the Funds results? |
A | The Fund benefited from overweighted positions in Norwegian oil services company SeaDrill, German chemicals giant BASF and German car maker Volkswagen. |
Q | 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. |
Q | How did fixed income investments affect relative performance? |
A | The Funds investments in fixed income securities are limited to cash equivalents, and therefore fixed income holdings did not have a meaningful impact on performance. |
Q | How did the Fund use derivatives during the Reporting Period? |
A | As we sought to increase the Funds total return and to hedge its portfolio against shifts in market conditions, we used index options and index futures. |
Q | 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. |
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, 2010December 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 Funds performance reflects the reinvestment of dividends and other distributions. The Funds 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. |
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. |
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. |
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 investors 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 Funds 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 Funds 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 Funds Class A Shares and taxes applicable when the shares are redeemed. |
% 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 Funds current or future investments. |
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 Funds 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. |
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. |
n | Comprehensive |
n | Extensive |
n | Rigorous |
n | Fundamental |
n | Objective |
n | Insightful |
n | Benchmark driven |
n | Sector and size neutral |
n | Tax optimized |
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 |
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Funds 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 Funds benchmark, the Russell 3000® Index (with dividends reinvested) (the Index), over the same time period. |
Q | What key factors were most responsible for the Funds 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 models investment themes tends to have a low correlation with the models other themes, demonstrating the diversification benefit of the Funds theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Funds different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. |
Q | 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 Funds relative performance. |
Q | Among individual holdings, which stocks contributed most to the Funds 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. |
Q | 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. |
Q | How did the Fund use derivatives during the Reporting Period? |
A | As we sought to increase the Funds total return and to hedge its portfolio against shifts in market conditions, we used index futures. |
Q | 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. |
Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
A | In constructing the Funds 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. |
Fund Total
Return |
||||||||||
January 1, 2010December 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, 2010December 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 Funds performance assumes the reinvestment of dividends and other distributions. The Funds 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. |
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 Funds 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). |
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. |
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 investors 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 Funds 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 Funds 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 Funds Class A Shares and taxes applicable when the shares are redeemed. |
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 | ||||||
|
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 Funds 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 Funds net assets at December 31, 2010. Short-term investments represent investments in investment companies other than those that are exchange traded. |
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. |
Q | How did the Fund perform during the Reporting Period? |
A | During the Reporting Period, the Funds 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 Funds benchmark, the MSCI EAFE Index (unhedged, with dividends reinvested) (the Index), during the same time period. |
Q | What key factors were most responsible for the Funds 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 models investment themes tends to have a low correlation with the models other themes, demonstrating the diversification benefit of the Funds theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Funds different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. |
Q | 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 Funds relative performance. |
Q | Among individual holdings, which stocks contributed most to the Funds 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. |
Q | 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. |
Q | How did the Fund use derivatives during the Reporting Period? |
A | As we sought to increase the Funds total return and to hedge its portfolio against shifts in market conditions, we used index futures. |
Q | 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. |
Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
A | In constructing the Funds 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. |
Fund Total
Return |
MSCI EAFE
(net) |
|||||||||
January 1, 2010December 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, 2010December 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 Funds performance reflects the reinvestment of dividends and other distributions. The Funds 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. |
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. |
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. |
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 investors 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 Funds 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 Funds 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 Funds Class A Shares and taxes applicable when the shares are redeemed. |
% 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 Funds future investments. |
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 Funds 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 Funds net assets at December 31, 2010. Short-term investments represent investments in investment companies other than those that are exchange traded. |
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. |
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 | McDonalds 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 | ||||||||
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 | ||||||||
* | 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. |
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 | ||||||||
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 | |||||
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)
|
||||||||||||||
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 | Fosters 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 | ||||||||
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 | ||||||||||
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 | ||||||||
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 | ||||||||
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) | ||||||||||
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 | ||||||||||
* | 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 | ||||
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 | ) | |||||||||||
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 | |||||
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 | ) | ||||||||||
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 | McDonalds 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 | ||||||||
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 | ||||||||
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 | Cabelas, Inc.* | 605,389 | ||||||||
25,158 | Dillards, 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 | OReilly 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 | ||||||||
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 | ||||||||
* | 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. |
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 | ||||||||||||
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 | Fosters 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 | ||||||||
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 | LOreal 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 | ||||||||
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 | ||||||||
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 | ||||||||
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 | ||||||||
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 | ||||||||
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 | ||||||||||
* | 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 | ||||
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 | ) | |||||||||||
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. |
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. |
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. |
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 | ) | |||||||||
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. |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 | ||||||
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Level 1 | Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; |
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 GSAMs assumptions in determining fair value measurement). |
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 | ) | $ | | $ | | |||||
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. |
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 | $ | | $ | | ||||||
3. FAIR VALUE OF INVESTMENTS (continued) |
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. |
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. |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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. |
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. |
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 | |||||||||
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 | ||||||||||||
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 | ||||||
5. INVESTMENTS IN DERIVATIVES (continued) |
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 days variation margin is reported within the Statements of Assets and Liabilities. |
5. INVESTMENTS IN DERIVATIVES (continued) |
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. |
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 (continued) |
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 | | |||||||||
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 | ) | | | ||||||||||||||
7. SECURITIES LENDING (continued) |
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 | ||||||||||||||
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 | ||||||||
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 | ||||||||
8. TAX INFORMATION (continued) |
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. |
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 | ||||||||
8. TAX INFORMATION (continued) |
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 | ||||||||
10. INDEMNIFICATIONS (continued) |
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. |
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
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. |
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
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. |
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
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. |
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. |
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 | ||||||||||||||||||||||||||||||
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. |
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 | |||||||||||||||||||||||||||||
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. |
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 | |||||||||||||||||||||||||||||||
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. |
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 | ||||||||||||||||||||||
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 Funds 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 Funds actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
85
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 PresidentFinance 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 InvestorsIII 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 TrusteesGoldman 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).
TrusteeGoldman 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).
TrusteeGoldman 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).
TrusteeGoldman 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).
TrusteeGoldman 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).
TrusteeGoldman Sachs Mutual Fund Complex. |
90 | None | |||||
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).
TrusteeGoldman 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). | |||||
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).
PresidentGoldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice PresidentGoldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice PresidentGoldman Sachs Mutual Fund Complex (2001-2007). TrusteeGoldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). |
90 | None | |||||
Alan A. Shuch* Age: 61 |
Trustee | Since 1990 |
Advisory DirectorGSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
TrusteeGoldman 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 Trusts 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. |
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).
PresidentGoldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice PresidentGoldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice PresidentGoldman Sachs Mutual Fund Complex (2001-2007). TrusteeGoldman 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 OfficerGoldman 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).
SecretaryGoldman Sachs Mutual Fund Complex (2006-Present); and Assistant SecretaryGoldman 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).
TreasurerGoldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice PresidentGoldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant TreasurerGoldman 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. |
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
|
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. |
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 |
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 registrants 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 registrants 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 Registrants 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 Trusts 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 Commissions 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 GSTs 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 GSTs 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 GSTs 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 GSTs service affiliates listed in Table 2 were approved by GSTs 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 GSTs 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 GSTs 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 GSTs operations or financial reporting.
Item 4(h) GSTs Audit Committee has considered whether the provision of non-audit services to GSTs 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 registrants board of trustees. |
|
ITEM 11. | CONTROLS AND PROCEDURES. | |
(a) | The registrants principal executive and principal financial officers, or persons performing similar functions have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting. | ||
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs Trusts Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrants 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 |
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 registrants 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 registrants 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 registrants 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 registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants 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 registrants 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 registrants 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 registrants 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 registrants internal control over financial reporting; and
5. The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting.
Dated: March 3, 2011
/s/ George F. Travers | ||
|
||
George F. Travers Principal Financial Officer |
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 Registrants 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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