UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
| Peter V. Bonanno, Esq. | Copies to: | |
| Goldman, Sachs & Co. | Geoffrey R.T. Kenyon, Esq. | |
| 200 West Street | Dechert LLP | |
| New York, New York 10282 | 200 Clarendon Street | |
|
27th Floor Boston, MA 02116-5021 |
||
| (Name and address of agents for service) |
||
Registrant’s telephone number,
including area code: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period:
December 31, 2010
| ITEM 1. | REPORTS TO STOCKHOLDERS. | |
| The Annual Report to Stockholders is filed herewith. |
Goldman
Sachs Funds
|
Annual Report
|
December 31, 2010 | ||
| Select Satellite Funds | |||
| Absolute Return Tracker | |||
| Commodity Strategy | |||
| Dynamic Allocation | |||
| International Real Estate Securities | |||
| Real Estate Securities | |||
| Satellite Strategies | |||
Goldman Sachs
Select Satellite Funds
| n | ABSOLUTE RETURN TRACKER | |
| n | COMMODITY STRATEGY | |
| n | DYNAMIC ALLOCATION | |
| n | INTERNATIONAL REAL ESTATE SECURITIES | |
| n | REAL ESTATE SECURITIES | |
| n | SATELLITE STRATEGIES |
TABLE
OF CONTENTS
|
Principal Investment Strategies and Risks
|
1 | |
|
Portfolio Management Discussions and Performance Summaries
|
4 | |
|
Schedules of Investments
|
42 | |
|
Financial Statements
|
54 | |
|
Notes to Financial Statements
|
61 | |
|
Financial Highlights
|
90 | |
|
Report of Independent Registered Public Accounting Firm
|
102 | |
|
Other Information
|
103 |
|
NOT FDIC-INSURED
|
May Lose Value | No Bank Guarantee | ||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Principal
Investment Strategies and Risks
GOLDMAN
SACHS SELECT SATELLITE FUNDS
GOLDMAN
SACHS SELECT SATELLITE FUNDS
PORTFOLIO
RESULTS
Goldman Sachs
Absolute Return Tracker Fund
Investment
Objective
The Fund seeks to achieve investment results that approximate
the returns of the GS-ART Index.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Quantitative Investment Strategies Team discusses
the Goldman Sachs Absolute Return Tracker Fund’s
performance and positioning for the
12-month
period ended December 31, 2010 (“the Reporting
Period”).
| Q | How did the Goldman Sachs Absolute Return Tracker Fund (the “Fund”) perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated average annual total returns, without sales charges, of 2.73%, 1.98%, 3.16%, 3.05% and 2.52%, respectively. These returns compare to the 4.22% and 10.83% average annual total return of the Fund’s benchmarks, the Goldman Sachs Absolute Return Tracker Index (the “GS-ART Index”) and the Dow Jones Credit Suisse AllHedge Index (formerly the Credit Suisse/Tremont AllHedge Index), respectively, during the same time period. |
| Q | What economic and market factors most influenced hedge funds as a whole during the Reporting Period? |
| A | During the first quarter of the Reporting Period, an increase in risk appetite, falling volatility and declining sovereign risk concerns led to the strengthening of investment grade corporate bonds, high yield corporate bonds, equities and other risk-based assets compared to U.S. Treasury securities. However, in the second quarter, global equities declined sharply due mostly to heightened concerns regarding Europe’s sovereign debt crisis and a decrease in consumer confidence. The second quarter decline resulted in most major equity indices posting negative returns for the first half of the Reporting Period. While questions remained about the pace of economic recovery, U.S. equities roared back along with the global markets during the second half of the Reporting Period. Emerging market economies also continued to improve due to comparatively greater fiscal and monetary responsibility, high levels of foreign exchange reserve, expansion of local infrastructure and the middle class, and less reliance on external sources of capital. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund seeks to achieve its objective by investing in financial instruments that may provide short or long exposure to the various indices that comprise the GS-ART Index, each such index being a “Component Market Factor.” During the Reporting Period, the Fund’s Component Market Factors were investable indices reflecting the following categories — Equities, Fixed Income and Commodities. |
Positioning in the Equities and Fixed Income categories
contributed positively to the Fund’s absolute returns
during the Reporting Period. Positioning in the Commodities
category produced mixed results. All told, although the Fund
underperformed its benchmarks, its results from both a risk and
return perspective were within expectations, especially in light
of both the bear and bull markets experienced during 2010.
Indeed, from a broad investment portfolio construction
perspective, the Fund continued to be an effective volatility
dampener. Actual volatility (annualized, using daily returns) of
the Fund was 4.13% for the Reporting Period versus S&P
500®
Index volatility of 17.75%.
| Q | How was the Fund positioned within the Equities category during the Reporting Period? |
| A | Throughout the Reporting Period, the Fund maintained a net long exposure to equities. During the first quarter of 2010, this Fund positioning was the largest contributor to performance, with the S&P 500 Index and Russell 2000® Index, which measure large-cap and small-cap equities, respectively, returning 5.39% and 8.85%, respectively. Outside of the U.S., international and emerging equities lagged the gains of the domestic indices during the first quarter, with the MSCI EAFE® Index and the MSCI Emerging Markets Index returning 0.9% and 2.4% (in U.S. dollar |
PORTFOLIO
RESULTS
| terms), respectively. During the second quarter, the Fund’s net long exposure to equities detracted from its performance, as the S&P 500 Index declined 11.4% and the Russell 2000 Index fell 9.9%. Outside the U.S., the MSCI EAFE Index and MSCI Emerging Markets Index were also down in the second quarter, losing 14.0% and 8.4% (in U.S. dollar terms), respectively. Then, in the third quarter, the Fund’s long equity exposure benefited its results, due primarily to the 11.3% gain of the S&P 500 Index. In the fourth quarter, domestic, international and emerging market equities all performed positively. The Fund’s long exposure to equities was once again the greatest contributor to its returns for the fourth quarter. Indeed, the Equities category had the strongest effect on the Fund’s total return of all the Component Market Factors for the Reporting Period as a whole. |
| Q | How did developments within the Fixed Income category affect the Fund’s absolute return? |
| A | The Fund maintained its net short position in the 10-year U.S. Treasury throughout the Reporting Period, a position the Fund has held since its inception. The Fund’s short 10-year U.S. Treasury exposure contributed modestly positive performance during the first quarter of the Reporting Period. However, as long-term interest rates fell in the second quarter, investors’ overall appetites for risk declined, and they found the perceived safer harbor of U.S. Treasury securities more attractive. As a result, the Fund’s performance was adversely affected during these months by its positioning. Remember, a short exposure to this Component Market Factor of the Fund usually generates negative results when 10-year Treasury notes rally and their yields decline. As yields continued to fall during the third quarter, the Fund’s net short 10-year U.S. Treasury position again detracted modestly from returns. Then, yields rose sharply during the fourth quarter as investors’ risk appetites returned. In turn, the Fund’s net short 10-year U.S. Treasury position contributed strongly to the Fund’s performance for the quarter. In all, the Fund’s positioning within the Fixed Income category resulted in a slightly positive contribution to its absolute return for the Reporting Period overall. |
| Q | Was the Fund positioned net long or short in the Commodities category during the Reporting Period? |
| A | The Fund held a net long exposure in the Commodities category during the Reporting Period. The Fund maintained positions in both broad commodities, as measured by the S&P GSCI® Index, and, separately, in precious metals, as measured by the S&P GSCI® Precious Metals Index. Precious metals posted strong gains throughout the Reporting Period, as the spot price of both gold and silver set record highs several times during the Reporting Period. Thus the Fund’s exposure to precious metals contributed positively to its performance. On the other hand, the Fund’s net long position in broad commodities detracted slightly from its performance through November 2010. At that point, the Fund’s position in broad commodities was removed, following the steps taken in the annual rebalancing process of the GS-ART Index. |
| Q | How did the Credit category affect the Fund’s results? |
| A | Although the Credit category is a component of the GS-ART Index’s market factor universe, it has not been a statistically significant factor in explaining hedge fund performance since late 2009. As a result, it was not part of the GS-ART Index or the Fund during the Reporting Period. |
| Q | Did Volatility impact the Fund’s returns during the Reporting Period? |
| A | Although Volatility is a component of the GS-ART Index’s market factor universe, it has so far not been a statistically significant factor in explaining hedge fund performance. As a result, it was not part of the GS-ART Index or the Fund during the Reporting Period. |
| Q | Was the Fund invested in any other asset classes during the Reporting Period? |
| A | The Fund had a net long exposure to cash throughout the Reporting Period. Given that interest rates were anchored at extremely low levels, such positioning contributed modestly but positively to the Fund’s performance. |
PORTFOLIO
RESULTS
| Q | How did the Fund use derivatives during the Reporting Period? |
| A | During the Reporting Period, the Fund used exchange-traded index futures contracts to gain exposure to U.S. large-cap and small-cap equities, non-U.S. developed market equities including those in Europe, the U.K. and Japan, and the 10-year U.S. Treasury Index. The Fund used foreign currency forward contracts to gain exposure to the currencies of those non-U.S. developed markets for which it uses index futures contracts. |
| Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | The Fund’s exposure to each Component Market Factor is adjusted monthly in accordance with the rebalancing process that occurs in the GS-ART Index. The set of Component Market Factors are further adjusted in the GS-ART Index once per year, in late October. During the Reporting Period, this annual adjustment involved one change — the removal of exposure to the S&P GSCI® Index, which measures broad commodities. |
| Q | What is the Fund’s tactical view and strategy going forward? |
| A | As a passive index strategy fund, active management decisions regarding asset class allocation or security selection do not apply nor are investment decisions regarding Component Market Factors made based on any economic or financial market outlooks. |
FUND BASICS
Absolute Return
Tracker Fund
as of December 31,
2010
PERFORMANCE
REVIEW
|
Goldman Sachs |
Dow Jones |
|||||||||||||
|
January 1,
2010– |
Fund Total
Return |
Absolute
Return |
Credit Suisse |
|||||||||||
| December 31, 2010 | (based on NAV)1 | Tracker Index2 | AllHedge Index3 | |||||||||||
|
Class A
|
2.73 | % | 4.22 | % | 10.83 | % | ||||||||
|
Class C
|
1.98 | 4.22 | 10.83 | |||||||||||
|
Institutional
|
3.16 | 4.22 | 10.83 | |||||||||||
|
Class IR
|
3.05 | 4.22 | 10.83 | |||||||||||
|
Class R
|
2.52 | 4.22 | 10.83 | |||||||||||
|
|
||||||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Goldman Sachs Absolute Return Tracker Index is a benchmark index that seeks to replicate the investment returns of hedge fund betas (i.e., that portion of the returns of hedge funds, as a broad asset class, that results from market exposure rather than manager skill). It is not possible to invest directly in an index. |
| 3 | The Dow Jones Credit Suisse AllHedge Index (formerly known as the Credit Suisse/Tremont AllHedge Index) is an asset weighted hedge fund index derived from the market leading Dow Jones/ Credit Suisse hedge fund index. The Dow Jones Credit Suisse AllHedge Index provides a rules-based and fully investable Index. Index performance data is published on a monthly basis and the constituents are re-balanced semi-annually according to the sector weights of the Dow Jones Credit Suisse hedge fund index. It comprises of all 10 Dow Jones Credit Suisse AllHedge Strategy Indexes. |
STANDARDIZED
AVERAGE ANNUAL TOTAL
RETURNS4
| For the period ended 12/31/10 | One Year | Since Inception | Inception Date | |||||||||
|
Class A
|
-2.95 | % | -4.77 | % | 5/30/08 | |||||||
|
Class C
|
0.97 | -3.39 | 5/30/08 | |||||||||
|
Institutional
|
3.16 | -2.24 | 5/30/08 | |||||||||
|
Class IR
|
3.05 | -2.37 | 5/30/08 | |||||||||
|
Class R
|
2.52 | -2.90 | 5/30/08 | |||||||||
|
|
||||||||||||
| 4 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. |
The returns represent past performance. Past performance does
not guarantee future results. The Fund’s investment return
and principal value will fluctuate so that an investor’s
shares, when redeemed, may be worth more or less than their
original cost. Current performance may be lower or higher than
the performance quoted above. Please visit our Website at
www.goldmansachsfunds.com to obtain the most recent month-end
returns. Performance reflects fee waivers and expense
limitations in effect. In their absence, performance would be
reduced. Returns do not reflect the deduction of taxes that a
shareholder would pay on Fund distributions or the redemption of
Fund shares.
FUND BASICS
EXPENSE
RATIOS5
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Class A
|
1.60 | % | 1.86 | % | ||||||
|
Class C
|
2.35 | 2.61 | ||||||||
|
Institutional
|
1.20 | 1.46 | ||||||||
|
Class IR
|
1.35 | 1.61 | ||||||||
|
Class R
|
1.85 | 2.11 | ||||||||
|
|
||||||||||
| 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 Prospectus 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 agreement in place. If this occurs, the expense ratios may change without shareholder approval. |
FUND SECTOR
ALLOCATION6
| 6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Short-term investments include repurchase agreements. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives. |
GOLDMAN
SACHS ABSOLUTE RETURN TRACKER FUND
Performance Summary
December 31,
2010
The following graph shows the value as of December 31,
2010, of a $10,000 investment made on May 30, 2008
(commencement of operations) in Institutional Shares at NAV. For
comparative purposes, the performance of the Fund’s
benchmarks, the Goldman Sachs Absolute Return Tracker Index and
the Dow Jones Credit Suisse AllHedge Index (formerly the Credit
Suisse/Tremont AllHedge Index), is shown. This performance data
represents past performance and should not be considered
indicative of future performance, which will fluctuate with
changes in market conditions. These performance fluctuations
will cause an investor’s shares, when redeemed, to be worth
more or less than their original cost. Performance reflects
expense limitations currently in effect and in their absence,
performance would be reduced. Returns do not reflect the
deduction of taxes that a shareholder would pay on Fund
distributions or the redemption of Fund shares. Performance of
Class A, Class C, Class IR and Class R
Shares will vary from Institutional Shares due to differences in
fees and sales charges. In addition to the investment
adviser’s decision regarding issuer/industry investment
selection and allocation, other factors may affect Fund
performance. These factors include, but are not limited to, Fund
operating fees and expenses, portfolio turnover, and
subscription and redemption cash flows affecting the Fund.
Absolute Return
Tracker Fund’s Lifetime Performance
Performance
of a $10,000 Investment, with distributions reinvested, from
May 30, 2008 through December 31, 2010.
![[GRAPH]](y88825y8882501.gif)
| Average Annual Total Return through December 31, 2010 | One Year | Since Inception | ||||||||
|
Class A
(Commenced May 30, 2008)
|
||||||||||
|
Excluding sales charges
|
2.73% | –2.68% | ||||||||
|
Including sales charges
|
–2.95% | –4.77% | ||||||||
|
Class C
(Commenced May 30, 2008)
|
||||||||||
|
Excluding contingent deferred sales charges
|
1.98% | –3.39% | ||||||||
|
Including contingent deferred sales charges
|
0.97% | –3.39% | ||||||||
|
Institutional
(Commenced May 30, 2008)
|
3.16% | –2.24% | ||||||||
|
Class IR
(Commenced May 30, 2008)
|
3.05% | –2.37% | ||||||||
|
Class R
(Commenced May 30, 2008)
|
2.52% | –2.90% | ||||||||
GOLDMAN
SACHS COMMODITY STRATEGY FUND
What
Differentiates the Goldman Sachs
Commodity Investment Process?
Commodity Investment Process?
At Goldman Sachs
Asset Management, L.P. (GSAM), the goal of our commodity
investment process is to
provide consistent, strong performance by actively managing our portfolios within a research-intensive,
risk-managed framework.
provide consistent, strong performance by actively managing our portfolios within a research-intensive,
risk-managed framework.
|
Goldman
Sachs’ Commodity Investment Process Our commodity investment process emphasizes the importance of both short-term, tactical opportunities and long-term investment views. Our team-based approach to managing the Fund ensures continuity and idea sharing among some of the industry’s most experienced fixed income specialists. We pursue strong, consistent performance across commodity markets through:  The Goldman Sachs Commodity Strategy Fund invests in a portfolio of commodity index-linked securities (including leveraged and unleveraged structured notes), other commodity-linked securities and derivative instruments (including total return swap contracts) that provide exposure to the performance of the commodities markets, and in fixed income and debt instruments. The Fund may also gain exposure to the performance of the commodity markets through investment in a wholly-owned subsidiary of the Fund organized as a company under the laws of the Cayman Islands (the “Subsidiary”). The Fund’s portfolio is designed to provide exposure that corresponds to the investment return of assets that trade in the commodity markets without direct investment in physical commodities. The Fund implements enhanced cash strategies that capitalize on GSAM’s global fixed income expertise. The Fixed Income Team will employ the full spectrum of capabilities offered, including bottom-up strategies (credit, mortgages, governments /municipals, high yield, and emerging markets debt) and top-down strategies (duration, cross-sector, currency and country) in an attempt to enhance the return of the Fund.  A Commodity Fund that: n Provides exposure to the commodity markets without direct investment in physical commodities n Utilizes commodity-linked swaps that provide economic exposure to movements in commodity prices. |
PORTFOLIO
RESULTS
Goldman Sachs
Commodity Strategy Fund
Investment
Objective
The Fund seeks long-term total return.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Commodities Team discusses the Goldman Sachs
Commodity Strategy Fund’s performance and positioning for
the 12-month
period ended December 31, 2010 (the “Reporting
Period”).
| Q | How did the Goldman Sachs Commodity Strategy Fund (the “Fund”) perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated average annual total returns, without sales charges, of 8.46%, 7.70%, 8.85%, 8.79% and 8.20%, respectively. These returns compare to the 9.03% average annual total return of the Fund’s benchmark, the S&P GSCI® (Goldman Sachs Commodity Index) (the “GSCI®”) during the same period. |
| Q | What economic and market factors most influenced the commodities markets as a whole during the Reporting Period? |
| A | The announcement of a second round of quantitative easing by the U.S. Federal Reserve Board (the Fed) and continued emerging market-based demand benefited the commodities markets most during the Reporting Period. The rally in the commodities markets, as measured by the GSCI®, coincided with a 1.50% increase in the U.S. Dollar Index, a measure of the general international value of the U.S. dollar as calculated by averaging the exchange rates between the U.S. dollar and six major world currencies, and a 15.06% gain in the S&P® 500 Index, a common measure for the broad U.S. equity market. |
| Q | Of those commodity subsectors where the Fund is most heavily weighted, which were strongest during the Reporting Period? |
| A | The precious metals component of the GSCI® was the strongest subsector during the Reporting Period, posting a gain of 34.46%. A second round of quantitative easing from the Fed and a flight to safety due to global currency concerns, especially with regard to the euro, supported what are referred to as hard versus fiat currencies. (Fiat currency is without intrinsic use value as a physical commodity and derives its value by being declared by a government to be legal tender. All national currencies in circulation, issued and managed by the respective central banks, are fiat currencies.) Prices for silver rallied 81.83% during the Reporting Period. Gold prices surged 28.72%, ending the annual period trading at $1,421 per ounce. |
Agriculture ended the Reporting Period as the second
best-performing subsector in 2010 with the S&P
GSCI®Agriculture
Index up 34.19%. Adverse weather conditions and strong global
demand were primary drivers of these gains. Cotton was the best
performing single commodity in the
GSCI®
during the Reporting Period, with a price gain of 98.16%. Prices
for corn and wheat, the largest components within the subsector,
increased 30.68% and 21.17%, respectively. Soybean prices
advanced 34.89%.
| Q | Which commodity subsectors were weakest during the Reporting Period? |
| A | The energy subsector, as measured by the S&P GSCI® Energy Index, increased just 1.91% during the Reporting Period. Energy is the heaviest weighting in the GSCI®, comprising 66.47% of the GSCI® at the end of December. That said, crude oil prices ended December at $91.38 per barrel as compared to approximately $78 per barrel at the end of 2009, driven higher primarily by tightening supply/ demand conditions. However, weighing down the subsector was natural gas, the worst performing commodity within the GSCI® during the Reporting Period. The S&P GSCI® Natural Gas Index declined 40.08%, with weakness due primarily to ample supplies of natural gas in North America and the general lack of demand from U.S. industries. |
The livestock subsector was also weak, posting a rather modest
10.49% gain. Under pressure from stagnant demand, lean hogs were
the laggard, ending the Reporting Period with a 0.33% return.
Feeder cattle and live cattle rallied 21.55% and 14.96%,
respectively, supported by global increases in average income
and meat consumption.
PORTFOLIO
RESULTS
| Q | How did the industrial metals subsector perform during the Reporting Period? |
| A | The S&P GSCI® Industrial Metals Index gained 16.73% during the Reporting Period, led by copper. Due to world production weighting, copper had the greatest weight among the S&P GSCI® metals, with an index weight of 4.00% at the end of December. During the Reporting Period, copper prices rallied 29.71%. Copper strength can be attributed to supply disruptions in Chile, the world’s largest exporter of copper; the introduction of physically-backed exchange-traded funds (ETFs); and a general increase in global demand, notably from China. Reflecting generally tight supply/demand conditions, nickel, aluminum and lead prices also advanced. Zinc prices declined. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund generated a positive absolute return but modestly underperformed its benchmark index after management fees. Forward roll-timing strategies in crude oil contributed to the Fund’s relative returns during the Reporting Period, as near-month crude futures underperformed deferred futures. (The GSCI® holds exposure to commodities solely in near-month futures contracts.) On the other hand, forward roll-timing strategies in natural gas detracted from the Fund’s performance relative to the GSCI®, as the front of the natural gas curve outperformed longer-dated exposure. |
| Q | Did the Fund’s enhanced roll-timing strategies add value overall to the Fund’s returns? |
| A | Our enhanced roll-timing strategies added value to the Fund via exposure to commodity index-linked structured notes and swaps. We employ an approach whereby we do not take active views on individual commodities but rather gain Fund exposure to commodities through investments whose performance is linked to commodity indices. |
We often implement commodity roll-timing strategies by deviating
from the
GSCI®
roll convention, which typically calls for rolling forward
exposure at the front, or near-month, end of the futures curve
on a monthly basis. The roll occurs during business days 5
through 9. To the extent our team believes fundamental or
technical developments will impact the futures roll-timing
decision, we will incorporate those views into the portfolio by
electing to roll positions earlier, later, forward or in
different weights versus the
GSCI®
roll. Roll-timing strategies employed may include
1) alternative roll date modifications, which avoid the
market impact of plain vanilla
GSCI®
rolls during business days 5 to 9; 2) forward exposure roll
modifications, which avoid the market impact of plain vanilla
GSCI®
rolls and move exposure out the curve to mitigate the returns
impact often associated with persistent contango; and
3) seasonal roll modifications, which take advantage of
seasonal relationships in commodity markets to increase returns.
(Contango is defined as a common market condition in which
futures prices get progressively higher in the distant delivery
months, often reflecting carrying costs.) During the Reporting
Period, we employed a forward roll-timing strategy that rolled
commodity exposures underlying the
GSCI®
a few months out on the futures curve instead of rolling at the
very front of the futures curve.
| Q | How did you implement the Fund’s enhanced cash management strategy? |
| A | In addition to seeking value through management of the commodities portion of the Fund’s portfolio, we also attempt to add excess return through thoughtful management of collateral held in the Fund. The cash portion of the Fund’s portfolio may be allocated to collateral that includes U.S. Treasury securities, agency debentures, mortgage-backed securities, corporate bonds and other fixed income instruments. During the Reporting Period, exposure to short-dated agency debentures and agency mortgage-backed securities contributed positively to the Fund’s performance. |
| Q | How did the Fund use derivatives during the Reporting Period? |
| A | As mentioned earlier in some detail, the Fund used derivatives, including interest rate and total return swaps, in implementing our enhanced roll-timing strategies in order to gain exposure to the commodities markets. The Fund also used futures on an opportunistic basis during the Reporting Period. |
| Q | Did you make any changes in the Fund’s strategy or allocations during the Reporting Period? |
| A | The Fund continued to hold exposure to the commodities markets in the form of both structured notes and swaps linked to the GSCI®. Beginning July 2010, however, the Fund more exclusively used swaps as its primary instrument to gain exposure to the commodities markets. During the Reporting Period, the Fund held a combination of plain vanilla and enhanced GSCI® exposure. As mentioned, the enhanced GSCI® exposure allows our team to implement various commodity roll-timing views and strategies. |
PORTFOLIO
RESULTS
| Q | How was the Fund positioned at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund’s overall commodity positioning was generally in line with the weightings of the GSCI®. As described earlier, the Fund employed forward roll-timing strategies, whereby the Fund was positioned further out on the futures curve than the plain vanilla GSCI® rolls. This enhanced roll-timing strategy allowed us to potentially reduce the negative returns impact associated with a contango market. At the end of the Reporting Period, the Fund held exposure to the GSCI® through approximately 66% three-month forward rolls and 34% six-month forward roll swaps in the Subsidiary. (The Subsidiary has the same objective as the Fund but unlike the Fund may invest without limitation in commodity index-linked securities, such as swaps and futures, that provide exposure to the performance of the commodity markets.) |
The cash portion of the Fund’s portfolio was allocated
across various fixed income sectors, with an emphasis on the
higher quality, lower volatility segments of the market, such as
U.S. government and government-sponsored bonds.
| Q | What is the Fund’s tactical view and strategy going forward? |
| A | We are constructive in our view for the commodities markets as a whole over both the near term and the long term, as we believe geopolitical, demographic, economic and other trends should support higher prices across much of the commodities complex. We believe increasing demand from emerging economies for commodities such as oil and industrial metals as well as constrained supply in select commodity markets creates a bullish backdrop for the sector. |
FUND BASICS
Commodity Strategy
Fund
as of December 31,
2010
PERFORMANCE
REVIEW
|
January 1,
2010– |
Fund Total
Return |
|||||||||
| December 31, 2010 | (based on NAV)1 | S&P GSCI2 | ||||||||
|
Class A
|
8.46 | % | 9.03 | % | ||||||
|
Class C
|
7.70 | 9.03 | ||||||||
|
Institutional
|
8.85 | 9.03 | ||||||||
|
Class IR
|
8.79 | 9.03 | ||||||||
|
Class R
|
8.20 | 9.03 | ||||||||
|
|
||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The S&P GSCI is a composite index of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. Individual components qualify for inclusion in the GSCI on the basis of liquidity and are weighted by their respective world production quantities. The GSCI is unmanaged and the figures for the GSCI do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
STANDARDIZED
AVERAGE ANNUAL TOTAL
RETURNS3
| For the period ended 12/31/10 | One Year | Since Inception | Inception Date | |||||||||
|
Class A
|
3.61 | % | -6.90 | % | 3/30/07 | |||||||
|
Class C
|
6.62 | -6.48 | 3/30/07 | |||||||||
|
Institutional
|
8.85 | -5.46 | 3/30/07 | |||||||||
|
Class IR
|
8.79 | -11.41 | 11/30/07 | |||||||||
|
Class R
|
8.20 | -11.89 | 11/30/07 | |||||||||
|
|
||||||||||||
| 3 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. |
The returns represent past performance. Past performance does
not guarantee future results. The Fund’s investment return
and principal value will fluctuate so that an investor’s
shares, when redeemed, may be worth more or less than their
original cost. Current performance may be lower or higher than
the performance quoted above. Please visit our Website at
www.goldmansachsfunds.com to obtain the most recent month-end
returns. Performance reflects fee waivers and expense
limitations in effect. In their absence, performance would be
reduced. Returns do not reflect the deduction of taxes that a
shareholder would pay on Fund distributions or the redemption of
Fund shares.
FUND BASICS
EXPENSE
RATIOS4
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Class A
|
0.93 | % | 1.17 | % | ||||||
|
Class C
|
1.68 | 1.92 | ||||||||
|
Institutional
|
0.59 | 0.83 | ||||||||
|
Class IR
|
0.68 | 0.92 | ||||||||
|
Class R
|
1.18 | 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 Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. The management fee waiver arrangement may not be discontinued by the Investment Adviser as long as its contract with the Subsidiary is in place. However, the expense limitations may be modified or terminated in the future, consistent with the terms of any agreement in place. If this occurs, the expense ratios may change without shareholder approval. |
FUND SECTOR
ALLOCATION5
| 5 | The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The decrease in Commodity Index-Linked Structured Notes is due to an increase in commodity exposure through the purchase of total return swaps on a commodity index which are not depicted in the above graph. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives. |
| 6 | “Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the United States Government. |
| 7 | “Government Guarantee Obligations” are guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program or a foreign government guarantee program and are backed by the full faith and credit of the United States or the government of a foreign country. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012 and the expiration date of a foreign country guarantee is the maturity date of the debt. |
GOLDMAN
SACHS COMMODITY STRATEGY FUND
Performance Summary
December 31,
2010
The following graph shows the value as of December 31,
2010, of a $10,000 investment made on March 30, 2007
(commencement of operations) in Institutional Shares at NAV. For
comparative purposes, the performance of the Fund’s
benchmark, the S&P
GSCItm
Commodity Index (with dividends reinvested), is shown. This
performance data represents past performance and should not be
considered indicative of future performance, which will
fluctuate with changes in market conditions. These performance
fluctuations will cause an investor’s shares, when
redeemed, to be worth more or less than their original cost.
Performance reflects expense limitations currently in effect and
in their absence, performance would be reduced. Returns do not
reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares. Performance
of Class A, Class C, Class IR and Class R
Shares will vary from Institutional Shares due to differences in
fees and sales charges. In addition to the investment
adviser’s decision regarding issuer/industry investment
selection and allocation, other factors may affect Fund
performance. These factors include, but are not limited to, Fund
operating fees and expenses, portfolio turnover, and
subscription and redemption cash flows affecting the Fund.
Commodity
Strategy Fund’s Lifetime Performance
Performance
of a $10,000 Investment, with distributions reinvested, from
March 30, 2007 through December 31, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Since Inception | ||||||||
|
Class A
(Commenced March 30, 2007)
|
||||||||||
|
Excluding sales charges
|
8.46% | –5.76% | ||||||||
|
Including sales charges
|
3.61% | –6.90% | ||||||||
|
Class C
(Commenced March 30, 2007)
|
||||||||||
|
Excluding contingent deferred sales charges
|
7.70% | –6.48% | ||||||||
|
Including contingent deferred sales charges
|
6.62% | –6.48% | ||||||||
|
Institutional
(Commenced March 30, 2007)
|
8.85% | –5.46% | ||||||||
|
Class IR
(Commenced November 30, 2007)
|
8.79% | –11.41% | ||||||||
|
Class R
(Commenced November 30, 2007)
|
8.20% | –11.89% | ||||||||
PORTFOLIO
RESULTS
Goldman Sachs
Dynamic Allocation Fund
Investment
Objective
The Fund seeks long-term capital appreciation.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Quantitative Investment Strategies Team discusses
the Goldman Sachs Dynamic Allocation Fund’s performance and
positioning from its inception date on January 5, 2010
through December 31, 2010 (the “Reporting
Period”).
| Q | How did the Goldman Sachs Dynamic Allocation Fund (the “Fund”) perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional, IR and R Shares generated cumulative total returns, without sales charges, of 7.29%, 6.59%, 7.80%, 7.60% and 7.10%, respectively. These returns compare to the 0.29%, 12.89% and 5.93% cumulative total returns of the Fund’s benchmarks, the Bank of America Merrill Lynch USD LIBOR 1-Month Constant Maturity Index (LUS1) (the “LIBOR 1-Month Index”), Standard & Poor’s 500 Index (with dividends reinvested) (the “S&P 500 Index”) and the Barclays Capital U.S. Aggregate Bond Index, respectively, during the same time period. |
A blended composite, comprised 40% of the
S&P®
500 Index, 20% of the MSCI EAFE Index and 40% of the Barclays
Capital U.S. Aggregate Bond Index, representing a
traditional balanced portfolio, returned 9.67% during the same
period.
Importantly, the Fund’s overall volatility was 8.2% during
the Reporting Period, well within its target long-term
volatility range of 8% to 10%.
| Q | What strategic, risk-based factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund seeks to achieve its investment objective by investing primarily in exchange-traded funds (“ETFs”), futures, swaps and other derivatives that provide exposure to a broad spectrum of asset classes, including but not limited to equities (both in U.S. and non-U.S. companies), fixed income (U.S. and non-U.S., investment grade and high yield) and commodities. Our team manages the Fund dynamically by changing its allocations to these asset classes based on our tactical views and in response to changing market conditions. Our team uses a disciplined, rigorous and quantitative approach in allocation to the asset classes in which the Fund invests. Allocations are adjusted within the Fund at least monthly based on continuous analysis to help determine which investments are relatively attractive and provide the best opportunities for growth in any given period of time. Since the markets represented by each investment are constantly changing, so are the Fund’s allocations. |
All asset classes represented in the Fund generated gains during
the Reporting Period. As a result, our risk-based allocation to
each asset class contributed to the Fund’s performance. In
particular, the Fund’s allocation to commodities, which
averaged 20% during the Reporting Period based on its risk,
inflation and market capitalization characteristics, contributed
strongly to the Fund’s return. The Fund’s risk-based
allocation to U.S. equities also contributed to its performance,
as U.S. equities rallied significantly during the Reporting
Period, especially in comparison to other asset classes
represented in the Fund. There were no major detractors from
Fund performance during the Reporting Period based on strategic,
risk-based allocations.
| Q | How did the Goldman Sachs Market Sentiment Indicator factor into risk allocation decisions that were made during the Reporting Period? |
| A | The Goldman Sachs Market Sentiment Indicator (“MSI”) is a proprietary tool that analyzes how the markets will potentially respond to future global changes in financial, economic and sociopolitical events. With the help of the MSI, the Fund seeks to mitigate risk in unstable markets by reducing volatility. |
During the Reporting Period, the MSI fluctuated. The MSI became
elevated in early May following what has come to be known as the
“flash crash,” when heightened fears and investor risk
aversion entered the equity market and the Dow Jones Industrial
Index fell 999 points in a span of 30 minutes. It should be
noted that this sudden drop was
PORTFOLIO
RESULTS
widely believed to be exacerbated by the growing amount of and
anomalies inherent in electronic trading. Still, the MSI never
triggered a systematic, active reduction in overall portfolio
risk. Similarly, the MSI became modestly heightened in the
middle of the summer and again in early December, but never
exceeded a threshold that would result in a risk-reducing
rebalance within the Fund.
| Q | What tactical allocation decisions were the primary contributors to and detractors from performance during the Reporting Period? |
| A | For nine of the nearly 12 months of the Reporting Period and thus for the Reporting Period overall, the Fund’s tactical allocations modestly detracted from its performance. In February, the Fund’s underweighted exposure to U.S. small-cap equities hurt performance, as U.S. small-cap stocks outperformed all other asset classes represented in the Fund for the month. Perhaps most notably, in May, the Fund’s overweighted allocation to U.S. equities hurt, as U.S. equities dramatically declined after the May 6th “flash crash.” |
| Q | How did the Fund use derivatives during the Reporting Period? |
| A | The Fund invested in futures and credit default swaps to achieve exposure to equities (both in U.S. and non-U.S. companies), fixed income (U.S. and non-U.S., investment grade and high yield) and commodities during the Reporting Period. |
| Q | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | At the end of December 2010, on a tactical basis, we were especially bullish in our view on U.S. small-cap stocks given strong short-term and medium-term momentum in the asset class. U.S. fixed income also appeared quite attractive given both strong medium-term momentum and relatively inexpensive valuations as compared to other asset classes represented in the Fund. Conversely, we held a generally negative view on non-U.S. fixed income relative to all other asset classes represented in the Fund, a view driven largely by short-term momentum. Emerging market equities also appeared relatively less attractive given weaker momentum, both short-term and medium-term, as well as expensive valuations compared to other asset classes represented in the Fund. |
We continue to believe that the Fund’s dynamic allocation
approach is important because it can adapt to changing markets,
seeking what we believe are the best opportunities for
investment and attempting to mitigate risk when the markets
become unstable.
FUND BASICS
Dynamic Allocation
Fund
as of December 31,
2010
PERFORMANCE
REVIEW
|
Barclays
Capital |
||||||||||||||||||
|
January 5,
2010– |
Fund Total
Return |
LIBOR 1-Month |
S&P 500 |
US Aggregate |
||||||||||||||
| December 31, 2010 | (based on NAV)1 | Index2 | Index3 | Bond Index4 | ||||||||||||||
|
Class A
|
7.29 | % | 0.29 | % | 12.89 | % | 5.93 | % | ||||||||||
|
Class C
|
6.59 | 0.29 | 12.89 | 5.93 | ||||||||||||||
|
Institutional
|
7.80 | 0.29 | 12.89 | 5.93 | ||||||||||||||
|
Class IR
|
7.60 | 0.29 | 12.89 | 5.93 | ||||||||||||||
|
Class R
|
7.10 | 0.29 | 12.89 | 5.93 | ||||||||||||||
|
|
||||||||||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Bank of America Merrill Lynch US Dollar 1-Month LIBOR Constant Maturity Index tracks the performance of a synthetic asset paying Libor to a stated maturity. The index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. |
| 3 | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index is unmanaged and 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. |
| 4 | The Barclays Capital U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
STANDARDIZED
AVERAGE ANNUAL TOTAL
RETURNS3
| For the period ended 12/31/10 | Since Inception | Inception Date | ||||||
|
Class A
|
1.41 | % | 1/5/10 | |||||
|
Class C
|
5.58 | 1/5/10 | ||||||
|
Institutional
|
7.80 | 1/5/10 | ||||||
|
Class IR
|
7.60 | 1/5/10 | ||||||
|
Class R
|
7.10 | 1/5/10 | ||||||
|
|
||||||||
| 3 | The Standardized Average Annual Total Returns are cumulative total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. |
The returns represent past performance. Past performance does
not guarantee future results. The Fund’s investment return
and principal value will fluctuate so that an investor’s
shares, when redeemed, may be worth more or less than their
original cost. Current performance may be lower or higher than
the performance quoted above. Please visit our Website at
www.goldmansachsfunds.com to obtain the most recent month-end
returns. Performance reflects expense limitations in effect.
In their absence, performance would be reduced. Returns do not
reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares.
FUND BASICS
EXPENSE
RATIOS4
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Class A
|
1.39 | % | 3.39 | % | ||||||
|
Class C
|
2.14 | 4.14 | ||||||||
|
Institutional
|
0.99 | 2.99 | ||||||||
|
Class IR
|
1.14 | 3.14 | ||||||||
|
Class R
|
1.64 | 3.64 | ||||||||
|
|
||||||||||
| 4 | The expense ratios of the Fund, both current (net of applicable expense limitations) and before waivers (gross of applicable 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 expense limitations may be modified or terminated in the future, consistent with the terms of any agreements in place. If this occurs, the expense ratios may change without shareholder approval. |
FUND SECTOR
ALLOCATIONS5
| 5 | The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of derivatives. |
GOLDMAN
SACHS DYNAMIC ALLOCATION FUND
Performance Summary
December 31,
2010
The following graph shows the value as of December 31,
2010, of a $10,000 investment made on January 5, 2010
(commencement of operations) in Institutional Shares at NAV. For
comparative purposes, the performance of the Fund’s
benchmarks, the Bank of America Merrill Lynch USD LIBOR
1-Month
Constant Maturity Index (LUS1) (the “LIBOR
1-Month
Index”), Barclays Capital U.S. Aggregate Bond Index
(“BCAB Index”), and the Standard & Poor’s
500 Index (with dividends reinvested) (the “S&P 500
Index”) is shown. This performance data represents past
performance and should not be considered indicative of future
performance, which will fluctuate with changes in market
conditions. These performance fluctuations will cause an
investor’s shares, when redeemed, to be worth more or less
than their original cost. Performance reflects expense
limitations currently in effect and in their absence,
performance would be reduced. Returns do not reflect the
deduction of taxes that a shareholder would pay on Fund
distributions or the redemption of Fund shares. Performance of
Class A, Class C, Class IR and Class R
Shares will vary from Institutional Shares due to differences in
fees and sales charges. In addition to the investment
adviser’s decision regarding issuer/industry investment
selection and allocation, other factors may affect Fund
performance. These factors include, but are not limited to, Fund
operating fees and expenses, portfolio turnover, and
subscription and redemption cash flows affecting the Fund.
Dynamic
Allocation Fund’s Lifetime Performance
Performance
of a $10,000 Investment, with distributions reinvested, from
January 5, 2010 through December 31, 2010.
| Cumulative Total Return through December 31, 2010 | Since Inception* | |||||||||
|
Class A
(Commenced January 5, 2010)
|
||||||||||
|
Excluding sales charges
|
7.29% | |||||||||
|
Including sales charges
|
1.41% | |||||||||
|
Class C
(Commenced January 5, 2010)
|
||||||||||
|
Excluding contingent deferred sales charges
|
6.59% | |||||||||
|
Including contingent deferred sales charges
|
5.58% | |||||||||
|
Institutional
(Commenced January 5, 2010)
|
7.80% | |||||||||
|
Class IR
(Commenced January 5, 2010)
|
7.60% | |||||||||
|
Class R
(Commenced January 5, 2010)
|
7.10% | |||||||||
| * | Total returns for periods of less than one full year are not annualized. |
GOLDMAN
SACHS REAL ESTATE SECURITIES FUNDS
What
Differentiates the Goldman Sachs
Real Estate Securities Investment Process?
Real Estate Securities Investment Process?
The Goldman Sachs
International Real Estate Securities and Real Estate Securities
Funds seek to generate long-term growth of capital and dividend
income by investing primarily in real estate industry companies,
including REITs, on an international or domestic basis,
respectively. REITs which offer daily liquidity have
historically strong returns, low volatility and low correlation
to traditional asset classes.
|
Goldman
Sachs’ Real Estate Securities Investment Process |
||
 Buy high quality companies. We seek to purchase those companies that combine the best market exposures, management teams, capital structures and growth prospects. Buy at a reasonable price. We seek to consistently select securities that are trading at discounts to their intrinsic value. Diversification reduces risk. We seek to diversify the portfolio holdings based on property type and geographic markets to manage risk without compromising returns.  Team Based: Portfolio decisions are made by the entire team. Continuous Scrutiny: Market, industry and company developments are reviewed daily. Fundamental Analysis: Portfolio holdings are determined by the risk/reward characteristics of an issuer and the team’s conviction in the overall business and management’s ability to create value.  Real estate securities portfolio that: n is a high quality portfolio that is strategically positioned for long-term growth potential n is a result of bottom-up stock selection with a focus on long-term investing |
PORTFOLIO
RESULTS
Goldman Sachs
International Real Estate
Securities Fund
Securities Fund
Investment
Objective
The Fund seeks total return comprised of long-term growth of
capital and dividend income.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Real Estate Securities Investment Team discusses
the Goldman Sachs International Real Estate Securities
Fund’s performance and positioning for the
12-month
period ended December 31, 2010
(the “Reporting Period”).
(the “Reporting Period”).
| Q | How did the Goldman Sachs International Real Estate Securities Fund (the “Fund”) perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, C, Institutional and IR Shares generated average annual total returns, without sales charges, of 12.73%, 12.08%, 13.10% and 13.07%, respectively. These returns compare to the 16.01% average annual total return of the Fund’s benchmark, the FTSE EPRA/NAREIT Developed ex-US Real Estate Index (with dividends reinvested) (the “Real Estate Index”) during the same period. |
| Q | What economic and market factors most influenced the international real estate securities market as a whole during the Reporting Period? |
| A | For the Reporting Period overall, the international real estate securities market, as measured by the Real Estate Index, outpaced the broad international equity market, as measured by the MSCI EAFE® Index (net), by more than eight percentage points. Canada was the strongest absolute performer during the Reporting Period, as its relatively stable economy and solid banking system helped to support its real estate values. Conversely, China had the worst absolute performance, as its government introduced stringent tightening measures aimed at cooling the nation’s residential property market. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund underperformed the Real Estate Index during the Reporting Period due primarily to security selection in Continental Europe, Singapore and China, which detracted from results. Only partially offsetting these factors were effective stock selection in the United Kingdom and Canada, which contributed positively to the Fund’s relative returns during the Reporting Period. |
| Q | What were some of the Fund’s best-performing individual holdings? |
| A | Canadian health care REIT Chartwell Seniors Housing Real Estate Investment Trust, one of the largest owner/operators of senior housing in North America, performed well during the Reporting Period as a result of improvements in occupancy and completed acquisitions. In addition, Chartwell Seniors Housing Real Estate Investment Trust was able to reduce its leverage and benefit from broad-based cap rate compression throughout Canada’s major metropolitan areas. (A cap rate is a ratio used to estimate the value of income-producing properties and can be most quickly implied by taking the net operating income of a property divided by its sale price or value.) |
Canadian hotel REIT InnVest Real Estate Investment Trust was
another of the Fund’s best-performing holdings during the
Reporting Period. InnVest Real Estate Investment Trust
represents a mix of internationally-recognized brands, ranging
from limited to full service hotels. At the time we purchased
the REIT for the Fund, we believed the Canadian market, unlike
other regions, was not willing to pay for early recovery pricing
in the hotel sector. However, during the Reporting Period,
market sentiment changed on the back of improved revenues per
available room and on indications that corporate travel and
short-term group bookings had picked up. Given this shift in
sentiment and as the REIT’s operations within the hotel
sector are most levered to an improving economy due to an
effective lease term of one day, InnVest Real Estate Investment
Trust significantly outperformed during the Reporting Period.
Swedish diversified property company Hufvudstaden was also a top
contributor to the Fund’s results during the Reporting
Period. Hufvudstaden outperformed based on its
PORTFOLIO
RESULTS
portfolio of prime assets that benefited from the rebound in
office pricing.
| Q | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
| A | Norwegian commercial real estate operator and developer Norwegian Property was a major detractor from the Fund’s results relative to its benchmark index during the Reporting Period. Norwegian Property saw its share price decline as a result of an aggressive write-down of its hotel portfolio, which the company was looking to divest. Still, we held on to the Fund position, as we believe that Norwegian Property will be able to sell its hotel operations at fair value and shift focus back to its prime office assets. We further believe that the market has not recognized the quality of office assets in Norwegian Property’s portfolio, which, in our view, should benefit from the strong Norwegian economy and limited supply growth over the next few years. Also, we were pleased with the restructuring of the company’s management team, which is engaged in alternative options regarding its hotel operations. |
The Fund’s overweighted position in Chinese property
company Shui On Land detracted, as overall sentiment turned
against the property sector early in the year when the Chinese
government introduced stringent tightening measures aimed at
cooling the nation’s residential property market.
Chinese property company Shimao Property Holdings was another
top detractor from the Fund’s relative results during the
Reporting Period. The company underperformed after it reported
higher than expected leverage while at the same time emphasizing
plans for continued expansion. The market was generally cautious
during the Reporting Period, and Shimao Property Holdings’
aggressive stance was not well received.
| Q | How did the Fund use derivatives during the Reporting Period? |
| A | The Fund did not use derivatives during the Reporting Period. |
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | During the Reporting Period, we initiated a Fund position in Australian office REIT Commonwealth Property Office Fund. We believe its domestic, central business district office portfolio may well outperform as fundamentals begin to improve. |
We increased the Fund’s position in Hong Kong diversified
real estate company Wharf Holdings during the Reporting Period.
We believe that Wharf Holdings’ Hong Kong retail presence
should benefit from the shopping habits of Chinese tourists.
Additionally, we believe the company’s solid asset base in
Hong Kong should provide steady cash flows, which, in turn, may
help to fund Wharf Holdings’ expansion into mainland
China.
We exited the Fund’s position in Hong Kong retail company
Hang Lung Properties. Although we liked the quality commercial
assets in the company’s portfolio, we believed its stock
already reflected the successful execution of near-term
developments and believed alternative companies in the region
offered a more attractive risk/return profile.
We reduced the Fund’s position in Japanese office company
Mitsui Fudosan. We believe Mitsui Fudosan’s leasing
operations, which have been experiencing higher than average
vacancy rates and lower rents may serve as an anchor on its
earnings for the next fiscal year.
| Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | In constructing the Fund’s portfolio, we focus on picking securities rather than on making regional, country or subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its regional or subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to Asia (ex-Japan) increased, specifically Hong Kong and Singapore. The Fund’s exposure to Canada relative to the benchmark index decreased. |
| Q | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
| A | From a country perspective, the Fund was overweighted relative to the Real Estate Index in France, Norway and Poland and underweighted relative to the Real Estate Index in Canada, the Netherlands and Germany at the end of the Reporting Period. The Fund was rather neutrally weighted compared to the Real Estate Index in most other constituent countries of the Real Estate Index at the end of December 2010. |
PORTFOLIO
RESULTS
| Q | What is the Fund’s tactical view and strategy for the months ahead? |
| A | Global real estate securities experienced a significant rally during the Reporting Period, as companies once priced for bankruptcy during the credit crisis were able to tap the capital markets to reduce leverage. As a result, we believe that management teams of REITs and public real estate companies are likely to now shift their strategy from balance sheet repair to growth through acquisition, using their financing advantage over the private real estate sector to acquire distressed assets. REITs should also, in our view, be able to grow internally, as we expect rents in high quality properties to rise and improvements on existing assets to be made. More broadly, we believe the real estate sector may well benefit as investors search for an attractive relative yield in a still low interest rate environment. |
While the real estate sector had many positive attributes at the
end of the Reporting Period, we do acknowledge that current
market conditions include risks as well, as macroeconomic and
political events can swing sentiment dramatically and the broad
direction of some of the developed economies over the near term
is unclear. As fundamental,
bottom-up
investors, we believe we are seeing opportunities that go beyond
the headline risks associated with certain regions. We intend to
continue to focus our approach on those companies that have
recapitalized their balance sheets and that possess quality
attributes, such as a robust business model, a high quality
asset exposure, and a strong management team.
FUND BASICS
International Real
Estate Securities Fund
as of December 31,
2010
PERFORMANCE
REVIEW
|
January 1,
2010– |
Fund Total
Return |
FTSE EPRA/NAREIT
Developed |
||||||||
| December 31, 2010 | (based on NAV)1 | ex-US Real Estate Index (Gross)2 | ||||||||
|
Class A
|
12.73 | % | 16.01 | % | ||||||
|
Class C
|
12.08 | 16.01 | ||||||||
|
Institutional
|
13.10 | 16.01 | ||||||||
|
Class IR
|
13.07 | 16.01 | ||||||||
|
|
||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The FTSE EPRA/NAREIT Developed ex-US Real Estate Index is a market capitalization weighted index comprised of REITs and non-REITs within the international (global ex-US) real estate securities market. The market capitalization for each constituent is adjusted for free float. It is not possible to invest directly in an index. |
STANDARDIZED
AVERAGE ANNUAL TOTAL
RETURNS3
| For the period ended 12/31/10 | One Year | Since Inception | Inception Date | |||||||||
|
Class A
|
6.53 | % | -4.83 | % | 7/31/06 | |||||||
|
Class C
|
11.02 | -4.25 | 7/31/06 | |||||||||
|
Institutional
|
13.10 | -3.52 | 7/31/06 | |||||||||
|
Class IR
|
13.07 | -11.63 | 11/30/07 | |||||||||
|
|
||||||||||||
| 3 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. |
The returns represent past performance. Past performance does
not guarantee future results. The Fund’s investment return
and principal value will fluctuate so that an investor’s
shares, when redeemed, may be worth more or less than their
original cost. Current performance may be lower or higher than
the performance quoted above. Please visit our Website at
www.goldmansachsfunds.com to obtain the most recent month-end
returns. Performance reflects fee waivers and expense
limitations in effect. In their absence, performance would be
reduced. Returns do not reflect the deduction of taxes that a
shareholder would pay on Fund distributions or the redemption of
Fund shares.
EXPENSE
RATIOS4
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Class A
|
1.53 | % | 1.62 | % | ||||||
|
Class C
|
2.28 | 2.37 | ||||||||
|
Institutional
|
1.13 | 1.22 | ||||||||
|
Class IR
|
1.28 | 1.37 | ||||||||
|
|
||||||||||
| 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 Prospectus 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 agreements in place. If this occurs, the expense ratios may change without shareholder approval. |
FUND BASICS
TOP 10 HOLDINGS
AS OF
12/31/105
|
% of Total |
Line of Real |
|||||||||
| Holding | Net Assets | Estate Business | Country | |||||||
|
Sun Hung Kai Properties Ltd.
|
7.7 | % | Diversified | Hong Kong | ||||||
|
Mitsubishi Estate Co. Ltd.
|
5.6 | Diversified | Japan | |||||||
|
Hongkong Land Holdings Ltd.
|
4.2 | Office | Hong Kong | |||||||
|
Henderson Land Development Co. Ltd.
|
3.6 | Diversified | Hong Kong | |||||||
|
Westfield Group
|
3.6 | Retail | Australia | |||||||
|
Unibail-Rodamco SE
|
3.5 | Diversified | France | |||||||
|
Mitsui Fudosan Co. Ltd.
|
2.9 | Office | Japan | |||||||
|
The Wharf (Holdings) Ltd.
|
2.8 | Diversified | Hong Kong | |||||||
|
CapitaLand Ltd.
|
2.7 | Residential | Singapore | |||||||
|
Hammerson PLC
|
2.4 | Retail | United Kingdom | |||||||
|
|
||||||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS.
BENCHMARK SECTOR
ALLOCATION6
As
of December 31, 2010
| 6 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall industry sector allocations may differ from the 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. |
GOLDMAN
SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Performance Summary
December 31,
2010
The following graph shows the value as of December 31,
2010, of a $10,000 investment made on July 31, 2006
(commencement of operations) in Institutional Shares at NAV. For
comparative purposes, the performance of the Fund’s
benchmark, the FTSE EPRA/NAREIT Developed
ex-US Real
Estate Index (with dividends reinvested), is shown. This
performance data represents past performance and should not be
considered indicative of future performance, which will
fluctuate with changes in market conditions. These performance
fluctuations will cause an investor’s shares, when
redeemed, to be worth more or less than their original cost.
Performance reflects expense limitations currently in effect and
in their absence, performance would be reduced. Returns do not
reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares. Performance
of Class A, Class C and Class IR Shares will vary
from Institutional Shares due to differences in fees and sales
charges. In addition to the investment adviser’s decision
regarding issuer/industry/country investment selection and
allocation, other factors may affect Fund performance. These
factors include, but are not limited to, Fund operating fees and
expenses, portfolio turnover, and subscription and redemption
cash flows affecting the Fund.
International
Real Estate Securities Fund’s Lifetime
Performance
Performance
of a $10,000 Investment, with distributions reinvested, from
July 31, 2006 through December 31, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Since Inception | ||||||||
|
Class A
(Commenced July 31, 2006)
|
||||||||||
|
Excluding sales charges
|
12.73% | –3.61% | ||||||||
|
Including sales charges
|
6.53% | –4.83% | ||||||||
|
Class C
(Commenced July 31, 2006)
|
||||||||||
|
Excluding contingent deferred sales charges
|
12.08% | –4.25% | ||||||||
|
Including contingent deferred sales charges
|
11.02% | –4.25% | ||||||||
|
Institutional
(Commenced July 31, 2006)
|
13.10% | –3.52% | ||||||||
|
Class
IR (Commenced November 30, 2007)
|
13.07% | –11.63% | ||||||||
PORTFOLIO
RESULTS
Goldman Sachs Real
Estate Securities Fund
Investment
Objective
The Fund seeks total return comprised of long-term growth of
capital and dividend income.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Real Estate Securities Investment Team discusses
the Goldman Sachs Real Estate Securities Fund’s performance
and positioning for the
12-month
period ended December 31, 2010 (the “Reporting
Period”).
| Q | How did the Goldman Sachs Real Estate Securities Fund (the “Fund”) perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service, IR and R Shares generated average annual total returns, without sales charges, of 27.07%, 26.18%, 26.18%, 27.67%, 26.99%, 27.39% and 26.80%, respectively. These returns compare to the 29.10% average annual total return of the Fund’s benchmark, the Wilshire Real Estate Securities Index (with dividends reinvested) (the “Wilshire Index”) during the same period. |
| Q | What economic and market factors most influenced the U.S. real estate securities market as a whole during the Reporting Period? |
| A | For the Reporting Period overall, the U.S. real estate securities market, as measured by the Wilshire Index, outpaced the broad equity market, as measured by the S&P 500® Index, by more than 14 percentage points. The multifamily subsector was the top performer during the Reporting Period, as financial- and housing-related issues created a secular shift of demand away from single family home ownership and into the rental market. In turn, the increased demand for supply-constrained apartments led to stronger earnings growth for the multifamily subsector relative to other U.S. real estate subsectors. Conversely, the health care subsector was the worst performer within the Wilshire Index during the Reporting Period, as investors preferred other, more economically-sensitive subsectors with shorter lease durations. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund modestly underperformed the Wilshire Index during the Reporting Period due primarily to security selection in the multifamily, retail and diversified real estate subsectors. Partially offsetting these factors was effective stock selection in the leisure, office and health care real estate subsectors, which contributed positively to relative returns during the Reporting Period. |
| Q | What were some of the Fund’s best-performing individual holdings? |
| A | Shares of hotel company Gaylord Entertainment rebounded from prior weakness when one of its core properties — the Opryland resort in Nashville, which it owns and operates — was reopened sooner than expected after suffering from a severe flood. Additionally, as business travel picked up during the Reporting Period, the company benefitted from an increase in corporate bookings, which is a key component of its revenue. |
Multifamily REIT Apartment Investment & Management was
also a top contributor to the Fund’s results during the
Reporting Period. It performed well as rental rates for assets
within its portfolio rebounded off a bottom seen earlier in
2010. The
better-than-expected
rent growth also increased investor optimism for the REIT’s
future earnings growth and margin improvement potential.
PORTFOLIO
RESULTS
Leisure REIT Host Hotels & Resorts was one of the
Fund’s best-performing holdings during the Reporting
Period. The hotel subsector is the most levered to an improving
economy given its extremely short lease duration, i.e.
one night. As a result, Host Hotels & Resorts
benefited from strong investor sentiment behind the subsector
generally as well as the potential for external growth funded by
the REIT’s high cash balance and open lines of credit.
Further, Host Hotels & Resorts’ high quality
lodging portfolio in gateway cities enjoyed significant gains
during the Reporting Period in both occupancy and room rates
that translated into increased profits for the REIT.
| Q | What were some of the Fund’s weakest-performing individual holdings? |
| A | The Fund’s underweighted position in multifamily REIT Equity Residential detracted from the Fund’s results during the Reporting Period, as the company benefited from improving fundamentals across most of its assets. We added to the Fund’s position in Equity Residential as the Reporting Period progressed. |
Conversely, an overweighted position in health care REIT
Nationwide Health Properties hurt. The health care REIT was
tainted by the broad brush of sentiment, as investors rotated
from this defensive subsector into shorter lease duration
segments of the market in anticipation of ongoing economic
improvement. Additionally, Nationwide Health Properties’
acquisitions during the Reporting Period, although accretive,
were overshadowed by larger deals announced by its peers.
Diversified REIT Liberty Property Trust was also a
weak-performing holding for the Fund during the Reporting
Period. The Fund’s overweighted position in Liberty
Property Trust detracted from its results because investors
preferred companies with office exposure in central business
districts over suburban markets. Liberty Property Trust’s
office portfolio generally caters to the suburban markets, where
fundamentals have bottomed but demand was still in the early
stages of a recovery.
| Q | How did the Fund use derivatives during the Reporting Period? |
| A | The Fund did not use derivatives during the Reporting Period. |
| Q | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | During the Reporting Period, we initiated a Fund position in multifamily REIT Camden Property Trust. Camden Property Trust’s portfolio consists of relatively new, high quality assets located in regions where we anticipate strong levels of job growth. In addition, we are confident in the REIT’s strong management team, solid brand name and attractive balance sheet with limited maturities. |
In the retail subsector, we established a Fund position in high
quality mall owner Macerich. We believe that Macerich should
benefit from its expertise in property redevelopment and have
already seen evidence of its success through the recent opening
of Santa Monica Place. The company has also expanded its
geographic footprint into the Northeast, which should allow it
to gain access to stronger retail markets.
As mentioned earlier, we added to the Fund’s position in
multifamily REIT Equity Residential during the Reporting Period.
We believe the REIT’s geographically diversified portfolio
should benefit from strong revenue growth on the East and West
Coasts assuming the economy continues to improve. Also, Equity
Residential has historically been one of the most active and
successful acquirers in the multifamily sector, which we believe
may be a strong source of external growth for the REIT going
forward.
We eliminated the Fund’s position in Regency Centers, a
leading national owner, operator and developer of
grocery-anchored and community shopping centers. Regency
Centers’ stock performed well during the Reporting Period,
exceeding our price target, as strong leasing activity offset
tenant move-outs. We sold the Fund’s position, taking
profits.
We trimmed the Fund’s position in office REIT Digital
Realty Trust, which had previously benefitted from attractive
leasing spreads and, specializing in data centers, from being
dominant in a high barrier to entry market. As the Reporting
Period progressed, however, there was investor concern that some
of the REIT’s biggest clients would start to develop data
centers internally, as the economics turned in favor of this
trend. Additionally, advancements in technology have created a
secular headwind for the business, as there is the potential for
decreased demand for space.
PORTFOLIO
RESULTS
| Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | In constructing the Fund’s portfolio, we focus on picking securities rather than on making real estate subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its real estate subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to the diversified and leisure REIT subsectors decreased relative to the Wilshire Index while its exposures to the multifamily, industrial and retail subsectors increased. |
| Q | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
| A | From a subsector perspective, the Fund had a modestly overweighted exposure compared to the Wilshire Index in the multifamily and retail subsectors at the end of the annual period. The Fund was modestly underweighted compared to its benchmark index in the leisure and health care subsectors as well as in the office group of the commercial subsector. The Fund was rather neutrally weighted in the remaining real estate subsectors. |
| Q | What is the Fund’s tactical view and strategy for the months ahead? |
| A | U.S. real estate securities experienced a significant rally during the Reporting Period, as companies once priced for bankruptcy during the credit crisis were able to tap the capital markets to reduce leverage. As a result, we believe that management teams of REITs and public real estate companies are likely to now shift their strategy from balance sheet repair to growth through acquisition, using their financing advantage over the private real estate sector to acquire distressed assets. REITs should also, in our view, be able to grow internally, as we expect rents in high quality properties to rise and improvements on existing assets to be made. More broadly, we believe the real estate sector may well benefit as investors search for an attractive relative yield in a still low interest rate environment. |
While the real estate sector had many positive attributes at the
end of the Reporting Period, we do acknowledge that current
market conditions include risks as well, as macroeconomic and
political events can swing sentiment dramatically. As
fundamental,
bottom-up
investors, we believe we are seeing opportunities that go beyond
the headline risks associated with certain subsectors. We intend
to continue to focus our approach on those companies that have
recapitalized their balance sheets and that possess quality
attributes, such as a robust business model, a high quality
asset exposure, and a strong management team.
FUND BASICS
Real Estate
Securities Fund
as of December 31,
2010
PERFORMANCE
REVIEW
|
January 1,
2010– |
Fund Total
Return |
Wilshire Real
Estate Securities |
||||||||
| December 31, 2010 | (based on NAV)1 | Index (with dividends reinvested)2 | ||||||||
|
Class A
|
27.07 | % | 29.10 | % | ||||||
|
Class B
|
26.18 | 29.10 | ||||||||
|
Class C
|
26.18 | 29.10 | ||||||||
|
Institutional
|
27.67 | 29.10 | ||||||||
|
Service
|
26.99 | 29.10 | ||||||||
|
Class IR
|
27.39 | 29.10 | ||||||||
|
Class R
|
26.80 | 29.10 | ||||||||
|
|
||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Wilshire Real Estate Securities Index is a market capitalization-weighted index comprised of publicly traded REITs and real estate operating companies. The Index is unmanaged and does not reflect any fees or expenses. It is not possible to invest directly in an index. |
STANDARDIZED
AVERAGE ANNUAL TOTAL
RETURNS3
| For the period ended 12/31/10 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
|
Class A
|
20.10 | % | 0.02 | % | 8.77 | % | 8.72 | % | 7/27/98 | |||||||||||
|
Class B
|
21.13 | 0.03 | 8.74 | 8.70 | 7/27/98 | |||||||||||||||
|
Class C
|
25.16 | 0.42 | 8.60 | 8.44 | 7/27/98 | |||||||||||||||
|
Institutional
|
27.67 | 1.59 | 9.85 | 9.67 | 7/27/98 | |||||||||||||||
|
Service
|
26.99 | 1.06 | 9.31 | 9.15 | 7/27/98 | |||||||||||||||
|
Class IR
|
27.39 | N/A | N/A | -3.27 | 11/30/07 | |||||||||||||||
|
Class R
|
26.80 | N/A | N/A | -3.75 | 11/30/07 | |||||||||||||||
|
|
||||||||||||||||||||
| 3 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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). Class B Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar year that is eight years after purchase. Returns for Class B Shares for the period after the conversion reflect the performance of Class A Shares. Because Institutional, Service, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. Effective November 2, 2009, the Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds). |
The returns represent past performance. Past performance does
not guarantee future results. The Fund’s investment return
and principal value will fluctuate so that an investor’s
shares, when redeemed, may be worth more or less than their
original cost. Current performance may be lower or higher than
the performance quoted above. Please visit our Website at
www.goldmansachsfunds.com to obtain the most recent month-end
returns. Performance reflects fee waivers and expense
limitations in effect. In their absence, performance would be
reduced. Returns do not reflect the deduction of taxes that a
shareholder would pay on Fund distributions or the redemption of
Fund shares.
FUND BASICS
EXPENSE
RATIOS4
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Class A
|
1.44 | % | 1.55 | % | ||||||
|
Class B
|
2.19 | 2.30 | ||||||||
|
Class C
|
2.19 | 2.30 | ||||||||
|
Institutional
|
1.04 | 1.15 | ||||||||
|
Service
|
1.54 | 1.65 | ||||||||
|
Class IR
|
1.19 | 1.30 | ||||||||
|
Class R
|
1.69 | 1.80 | ||||||||
|
|
||||||||||
| 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 Prospectus 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 agreements in place. If this occurs, the expense ratios may change without shareholder approval. |
TOP TEN HOLDINGS
AS OF
12/31/105
| Holding | % of Total Net Assets | Line of Real Estate Business | |||||||
|
Simon Property Group, Inc.
|
11 | .8 | % | Retail | |||||
|
Public Storage, Inc.
|
6 | .5 | Self Storage | ||||||
|
Equity Residential
|
6 | .2 | Multifamily | ||||||
|
Vornado Realty Trust
|
6 | .2 | Commercial | ||||||
|
Boston Properties, Inc.
|
5 | .7 | Commercial | ||||||
|
Host Hotels & Resorts, Inc.
|
4 | .5 | Leisure | ||||||
|
HCP, Inc.
|
3 | .9 | Health Care | ||||||
|
Ventas, Inc.
|
3 | .8 | Health Care | ||||||
|
ProLogis
|
3 | .3 | Commercial | ||||||
|
Camden Property Trust
|
3 | .2 | Multifamily | ||||||
|
|
|||||||||
| 5 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND BASICS
FUND VS.
BENCHMARK SECTOR
ALLOCATION6
As
of December 31, 2010
| 6 | This Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall industry sector allocations may differ from the 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. |
GOLDMAN
SACHS REAL ESTATE SECURITIES FUND
Performance Summary
December 31,
2010
The following graph shows the value as of December 31,
2010, of a $10,000 investment made on January 1, 2001 in
Institutional Shares at NAV. For comparative purposes, the
performance of the Fund’s benchmark, the Wilshire Real
Estate Securities Index (with dividends reinvested), is shown.
This performance data represents past performance and should not
be considered indicative of future performance, which will
fluctuate with changes in market conditions. These performance
fluctuations will cause an investor’s shares, when
redeemed, to be worth more or less than their original cost.
Performance reflects expense limitations currently in effect and
in their absence, performance would be reduced. Returns do not
reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of Fund shares. Performance
of Class A, Class B, Class C, Service,
Class IR and Class R Shares will vary from
Institutional Shares due to differences in fees and sales
charges. In addition to the investment adviser’s decision
regarding issuer/industry investment selection and allocation,
other factors may affect Fund performance. These factors
include, but are not limited to, Fund operating fees and
expenses, portfolio turnover, and subscription and redemption
cash flows affecting the Fund.
Real Estate
Securities Fund’s 10 Year Performance
Performance
of a $10,000 Investment, with distributions reinvested, from
January 1, 2001 through December 31, 2010.
| Average Annual Total Return through December 31, 2010 | One Year | Five Year | Ten Year | Since Inception | ||||||||||||||
|
Class A
(Commenced July 27, 1998)
|
||||||||||||||||||
|
Excluding sales charges
|
27.07% | 1.16% | 9.39% | 9.22% | ||||||||||||||
|
Including sales charges
|
20.10% | 0.02% | 8.77% | 8.72% | ||||||||||||||
|
Class B
(Commenced July 27, 1998)
|
||||||||||||||||||
|
Excluding contingent deferred sales charges
|
26.18% | 0.43% | 8.74% | 8.70% | ||||||||||||||
|
Including contingent deferred sales charges
|
21.13% | 0.03% | 8.74% | 8.70% | ||||||||||||||
|
Class C
(Commenced July 27, 1998)
|
||||||||||||||||||
|
Excluding contingent deferred sales charges
|
26.18% | 0.42% | 8.60% | 8.44% | ||||||||||||||
|
Including contingent deferred sales charges
|
25.16% | 0.42% | 8.60% | 8.44% | ||||||||||||||
|
Institutional
(Commenced July 27, 1998)
|
27.67% | 1.59% | 9.85% | 9.67% | ||||||||||||||
|
Service
Shares (Commenced July 27, 1998)
|
26.99% | 1.06% | 9.31% | 9.15% | ||||||||||||||
|
Class IR
(Commenced November 30, 2007)
|
27.39% | n/a | n/a | –3.27% | ||||||||||||||
|
Class R
(Commenced November 30, 2007)
|
26.80% | n/a | n/a | –3.75% | ||||||||||||||
PORTFOLIO
RESULTS
Goldman Sachs
Satellite Strategies Portfolio
Investment
Objective
The Goldman Sachs Satellite Strategies Portfolio seeks long-term
capital appreciation.
Portfolio
Management Discussion and Analysis
Below, the
Goldman Sachs Quantitative Investment Strategies Team discusses
the Goldman Sachs Satellite Strategies Portfolio’s
performance and positioning for the
12-month
period ended December 31, 2010 (the “Reporting
Period”).
| Q | How did the Goldman Sachs Satellite Strategies Portfolio (the “Portfolio”) perform during the Reporting Period? |
| A | During the Reporting Period, the Portfolio’s Class A, C, Institutional, Service, IR and R Shares generated average annual total returns of 14.20%, 13.48%, 14.66%, 14.17%, 14.34% and 14.01%, respectively. This compares to the 10.20% average annual total return of the Fund’s blended benchmark, which is comprised 40% of the Barclays Capital U.S. Aggregate Bond Index, 30% of the S&P® 500 Index and 30% of the MSCI EAFE Index, during the same period. |
The components of the blended benchmark, the Barclays Capital
U.S. Aggregate Bond Index, the
S&P®
500 Index (with dividends reinvested) and the MSCI EAFE Index,
generated average annual total returns of 6.54%, 15.06%, and
8.21%, respectively, during the same period.
| Q | What key factors affected the Portfolio’s performance during the Reporting Period? |
| A | The Portfolio outperformed its blended benchmark during the Reporting Period largely as a result of the strong performance of its underlying funds. In addition, and in keeping with our investment approach, we dynamically adjusted Portfolio weights to ensure that overall risk and individual underlying fund contributions to risk remained within the ranges we feel are appropriate for a diversified satellite portfolio. |
| Q | Can you be more specific as to how the various satellite asset classes performed during the Reporting Period? |
| A | All satellite asset classes performed strongly during the Reporting Period. U.S. real estate securities, international small-cap stocks, emerging markets equity, and international real estate securities were each up between 16% and 29%. Local emerging markets debt, high yield bonds, dollar-denominated emerging markets debt and commodities each rose at least 9% during the Reporting Period. |
| Q | How did you rebalance the Portfolio during the Reporting Period? |
| A | Throughout the first quarter of 2010, the Portfolio remained in line with our target weight and risk constraints, which are designed to prevent heavy concentrations in any particular underlying fund or asset class. The Portfolio’s asset class weightings remained relatively stable, largely because of the reduced volatility of satellite asset classes during the quarter relative to their five-year averages. |
In May, the Portfolio’s holdings in emerging markets
equities and emerging markets debt rose slightly above our
maximum weight constraints and we reduced their weightings
during May and June. We modestly increased the Portfolio’s
allocation to high yield debt and real estate securities.
In June, the contribution to portfolio risk from real estate
securities increased because of their relatively high volatility
compared to most of the other satellite asset classes held in
the Portfolio. In response, we reduced the Portfolio’s
allocations to U.S. and international real estate securities and
increased its exposure to high yield debt.
To maintain our target risk objectives, we rebalanced the
Portfolio in July, August and September. During July, we reduced
the Portfolio’s exposure to emerging markets equities and
emerging markets debt after the Portfolio’s holdings in
these securities rose slightly above our maximum weight
constraints. We also further reduced the Portfolio’s
weighting in real estate securities. The contribution to
portfolio risk from real estate securities had increased because
of their high volatility relative to other satellite asset
classes held by the Portfolio. At the same time, we modestly
increased the Portfolio’s allocations to commodities and
high yield bonds. In August, the Portfolio’s holdings in
emerging markets equities and emerging markets debt rose
slightly above our maximum weight constraints, and we reduced
their weightings in favor of high yield bonds. In September, as
the contribution to
PORTFOLIO
RESULTS
portfolio risk from real estate securities increased slightly,
we reduced the Portfolio’s allocations to both U.S. and
international real estate securities. We increased the
Portfolio’s weightings in high yield bonds and emerging
markets debt.
During the fourth quarter of 2010, we made only one risk-based
rebalance. In October, the Portfolio’s holdings in emerging
markets equities and emerging markets debt rose slightly above
our maximum weight constraints. We reduced the Portfolio’s
exposure to these securities while modestly increasing its
allocation to high yield bonds.
| Q | How did the Portfolio’s underlying funds perform relative to their respective benchmark indices during the Reporting Period? |
| A | Overall, as mentioned earlier, the performance of the underlying funds contributed positively to the performance of the Portfolio. The Goldman Sachs International Small Cap Fund had a particularly strong year, significantly outperforming its benchmark index. The Goldman Sachs Emerging Markets Debt Fund and the Goldman Sachs Local Emerging Markets Debt Fund also outpaced their respective benchmark indices. The Goldman Sachs International Real Estate Securities Fund, the Goldman Sachs Emerging Markets Equity Fund, the Goldman Sachs Real Estate Securities Fund, the Goldman Sachs High Yield Fund, and the Goldman Sachs Commodity Strategy Fund underperformed relative to their respective benchmark indices. |
| Q | How did the Portfolio use derivatives during the Reporting Period? |
| A | The Portfolio does not directly invest in derivatives. However, some of the underlying funds used derivatives during the Reporting Period to apply their active investment views with greater versatility and to afford greater risk management precision. As market conditions warranted during the Reporting Period, some of these underlying funds engaged in forward foreign currency exchange contracts, financial futures contracts, options and swap contracts to enhance portfolio return and for hedging purposes. |
| Q | Did you make any changes regarding the underlying funds during the Reporting Period? |
| A | We made no changes regarding the Portfolio’s underlying funds during the Reporting Period. |
| Q | What is the Portfolio’s tactical view and strategy for the months ahead? |
| A | The Quantitative Investment Strategies Team manages the Portfolio using a dynamic, risk-responsive rebalancing process. Using our sophisticated, proprietary risk models, we evaluate the overall risk of the Portfolio each month as well as the portion of risk contributed by each individual asset class. |
At the end of the Reporting Period, the Portfolio had a greater
allocation to high yield bonds and dollar-denominated emerging
markets debt than it did at the beginning of the Reporting
Period. It also had a reduced exposure to international
small-cap equities, emerging markets equities, commodities and
international real estate securities. Compared to its
positioning in January 2010, the Portfolio’s weighting in
U.S. real estate securities was relatively unchanged at the end
of the Reporting Period.
We will continue to monitor risk on a monthly basis and adjust
our allocation to the satellite asset classes as the underlying
funds drift beyond our longer-term risk-related guidelines.
FUND BASICS
Satellite
Strategies Portfolio
as of December 31,
2010
PERFORMANCE
REVIEW
|
January 1,
2010– |
Fund Total
Return |
Satellite
Strategies |
||||||||
| December 31, 2010 | (based on NAV)1 | Composite Index2 | ||||||||
|
Class A
|
14.20 | % | 10.20 | % | ||||||
|
Class C
|
13.48 | 10.20 | ||||||||
|
Institutional
|
14.66 | 10.20 | ||||||||
|
Service
|
14.17 | 10.20 | ||||||||
|
Class IR
|
14.34 | 10.20 | ||||||||
|
Class R
|
14.01 | 10.20 | ||||||||
|
|
||||||||||
| 1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance reflects the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
| 2 | The Satellite Strategies Composite Index (“Satellite Composite”) is a composite representation prepared by the investment adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Composite is comprised of the S&P 500 Index (30%), the MSCI EAFE Index (30%) and the Barclays Capital U.S. Aggregate Bond Index (40%). The Satellite Composite figures do not reflect any deduction for fees, expenses or taxes. An investor cannot invest directly in an index. |
STANDARDIZED
AVERAGE ANNUAL TOTAL
RETURNS3
| For the period ended 12/31/10 | One Year | Since Inception | Inception Date | |||||||||
|
Class A
|
7.88 | % | -2.60 | % | 3/30/07 | |||||||
|
Class C
|
12.44 | -1.86 | 3/30/07 | |||||||||
|
Institutional
|
14.66 | -0.81 | 3/30/07 | |||||||||
|
Service
|
14.17 | -0.82 | 8/29/08 | |||||||||
|
Class IR
|
14.34 | -3.02 | 11/30/07 | |||||||||
|
Class R
|
14.01 | -3.50 | 11/30/07 | |||||||||
|
|
||||||||||||
| 3 | The Standardized Average Annual Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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, Service, Class IR and Class R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. |
The returns represent past performance. Past performance does
not guarantee future results. The Portfolio’s investment
return and principal value will fluctuate so that an
investor’s shares, when redeemed, may be worth more or less
than their original cost. Current performance may be lower or
higher than the performance quoted above. Please visit our
Website at www.goldmansachsfunds.com to obtain the most recent
month-end returns. Performance reflects fee waivers and
expense limitations in effect. In their absence, performance
would be reduced. Returns do not reflect the deduction of taxes
that a shareholder would pay on Portfolio distributions or the
redemption of Portfolio shares.
FUND BASICS
EXPENSE
RATIOS4
| Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
|
Class A
|
1.56 | % | 1.70 | % | ||||||
|
Class C
|
2.31 | 2.45 | ||||||||
|
Institutional
|
1.16 | 1.30 | ||||||||
|
Service
|
1.66 | 1.80 | ||||||||
|
Class IR
|
1.31 | 1.45 | ||||||||
|
Class R
|
1.81 | 1.95 | ||||||||
|
|
||||||||||
| 4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations), are as set forth above according to the most recent publicly available Prospectus for the Portfolio 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 agreements in place. If this occurs, the expense ratios may change without shareholder approval. |
OVERALL
UNDERLYING
FUND WEIGHTINGS5
| 5 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund reflects the value of the Underlying Fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to the rounding and/or the exclusion of other assets and liabilities. |
FUND BASICS
TARGET
RISK-CONTRIBUTION INVESTMENT
PORTFOLIO6
AS OF 12/31/10
Percentage
of Investment Portfolio
| 6 | Allocations reflect current fund weightings based on the desired risk contribution from each asset class. Fund weightings are based on the overall risk of the Portfolio and the risk contribution from each asset class. Fund weightings are periodically readjusted in accordance with risk objectives of the Portfolio. |
GOLDMAN
SACHS SATELLITE STRATEGIES PORTFOLIO
Performance Summary
December 31,
2010
The following graph shows the value, as of December 31,
2010, of a $10,000 investment made on March 30, 2007
(commencement of operations) in Institutional Shares at NAV. For
comparative purposes, the performance of the Portfolio’s
benchmarks, the S&P 500 Index, Barclays Capital U.S.
Aggregate Bond Index (“BCAB Index”) and Morgan Stanley
Capital International Europe, Australasia, and Far East Index
(“MSCI EAFE”) (all with dividends reinvested), are
shown. This performance data represents past performance and
should not be considered indicative of future performance, which
will fluctuate with changes in market conditions. These
performance fluctuations will cause an investor’s shares,
when redeemed, to be worth more or less than their original
cost. Performance reflects expense limitations currently in
effect and in their absence, performance would be reduced.
Returns do not reflect the deduction of taxes that a shareholder
would pay on Portfolio distributions or the redemption of
Portfolio shares. Performance of Class A, Class C,
Service, Class IR and Class R Shares will vary from
Institutional Shares due to differences in fees and sales
charges. In addition to the investment adviser’s decisions
regarding underlying mutual fund selection and allocations among
them, other factors may affect Portfolio performance. These
factors include, but are not limited to, Portfolio operating
fees and expenses, portfolio turnover and subscription and
redemption cash flows affecting the Portfolio.
Satellite
Strategies Portfolio’s Lifetime Performance
Performance
of a $10,000 investment, with distributions reinvested, from
March 30, 2007 through December 31, 2010.
![[PERFORMANCE GRAPH]](y88825y8882506.gif)
| Average Annual Total Return through December 31, 2010 | One Year | Since Inception | ||||||||
|
Class A
(Commenced March 30, 2007)
|
||||||||||
|
Excluding sales charges
|
14.20% | –1.13% | ||||||||
|
Including sales charges
|
7.88% | –2.60% | ||||||||
|
Class C
(Commenced March 30, 2007)
|
||||||||||
|
Excluding contingent deferred sales charges
|
13.48% | –1.86% | ||||||||
|
Including contingent deferred sales charges
|
12.44% | –1.86% | ||||||||
|
Institutional
(Commenced March 30, 2007)
|
14.66% | –0.81% | ||||||||
|
Service
(Commenced August 29, 2008)
|
14.17% | –0.82% | ||||||||
|
Class IR
(Commenced November 30, 2007)
|
14.34% | –3.02% | ||||||||
|
Class R
(Commenced November 30, 2007)
|
14.01% | –3.50% | ||||||||
GOLDMAN
SACHS ABSOLUTE RETURN TRACKER FUND
Schedule of Investments
December 31,
2010
|
Principal |
Interest |
Maturity |
||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
|
Commodity Index Linked Structured Notes(a)(b)(c) – 3.0% |
||||||||||||||||
|
Citigroup Funding, Inc.
|
||||||||||||||||
| $ | 13,000,000 | 0.060 | % | 01/12/12 | $ | 15,378,415 | ||||||||||
|
UBS AG(d)
|
||||||||||||||||
| 1,833,000 | 0.060 | 03/25/11 | 3,818,184 | |||||||||||||
| 1,035,000 | 0.110 | 03/25/11 | 2,078,447 | |||||||||||||
| 1,000,000 | 0.110 | 03/27/11 | 1,991,244 | |||||||||||||
| 1,000,000 | 0.110 | 05/27/11 | 1,822,080 | |||||||||||||
| 330,000 | 0.110 | 05/27/11 | 584,278 | |||||||||||||
| 1,200,000 | 0.110 | 05/27/11 | 1,936,119 | |||||||||||||
| 400,000 | 0.110 | 09/27/11 | 593,519 | |||||||||||||
| 1,500,000 | 0.110 | 09/27/11 | 2,705,154 | |||||||||||||
| 1,400,000 | 0.110 | 11/16/11 | 1,828,409 | |||||||||||||
| 1,000,000 | 0.110 | 11/23/11 | 1,210,978 | |||||||||||||
| 1,300,000 | 0.110 | 11/23/11 | 1,768,849 | |||||||||||||
| 1,000,000 | 0.110 | 01/12/12 | 1,093,734 | |||||||||||||
| 3,000,000 | 0.110 | 01/12/12 | 3,548,560 | |||||||||||||
| TOTAL COMMODITY INDEX LINKED STRUCTURED NOTES | ||||||||||||||||
| (Cost $28,998,000) | $ | 40,357,970 | ||||||||||||||
|
Agency Debenture(e)(f) – 16.9% |
||||||||||||||||
|
FHLMC
|
||||||||||||||||
| $ | 230,000,000 | 0.240 | % | 01/18/11 | $ | 229,995,170 | ||||||||||
| (Cost $229,973,933) | ||||||||||||||||
| Shares | Description | Value | ||||||||
|
Exchange Traded Fund – 3.7% |
||||||||||
| 1,054,028 | iShares MSCI Emerging Markets Index Fund | $ | 50,192,814 | |||||||
| (Cost $41,352,956) | ||||||||||
|
Principal |
Interest |
Maturity |
||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
|
U.S. Government Obligations(g) – 52.1% |
||||||||||||||||
|
United States Treasury Bills
|
||||||||||||||||
| $ | 150,000,000 | 0.000 | % | 02/17/11 | $ | 149,979,435 | ||||||||||
| 350,000,000 | 0.000 | 04/07/11 | 349,869,341 | |||||||||||||
| 210,000,000 | 0.000 | 05/05/11 | 209,895,122 | |||||||||||||
| TOTAL U.S. GOVERNMENT OBLIGATIONS | ||||||||||||||||
| (Cost $709,715,729) | $ | 709,743,898 | ||||||||||||||
| Shares | Rate | Value | ||||||||
|
Short-term Investment(a) – 5.3% |
||||||||||
|
JPMorgan U.S. Government Money Market Fund – Capital
Shares
|
||||||||||
| 71,627,672 | 0.043% | $ | 71,627,672 | |||||||
| (Cost $71,627,672) | ||||||||||
|
TOTAL
INVESTMENTS BEFORE REPURCHASE AGREEMENTS |
||||||||||
| (Cost $1,081,668,290) | $ | 1,101,917,524 | ||||||||
|
Principal |
Interest |
Maturity |
||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
|
Repurchase Agreement – 18.5% |
||||||||||||||||
|
Barclays PLC
|
||||||||||||||||
| $ | 252,400,000 | 0.200 | % | 01/03/11 | $ | 252,400,000 | ||||||||||
|
Maturity Value: $252,404,207
|
||||||||||||||||
|
Collateralized by United States Treasury Inflation-Protected
Security 2.00% due 1/15/26. The aggregate market value of the
collateral including accrued interest was $257,448,057.
|
||||||||||||||||
| (Cost $252,400,000) | ||||||||||||||||
| TOTAL INVESTMENTS – 99.5% | ||||||||||
| (Cost $1,334,068,290) | $ | 1,354,317,524 | ||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.5%
|
6,894,099 | |||||||||
| NET ASSETS – 100.0% | $ | 1,361,211,623 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. | |
| (b) | These Structured Notes take into consideration a leverage factor of 300% on the return of the underlying linked index. | |
| (c) | Security is linked to the S&P GSCI Precious Metals Total Return Index (the “GSCI Precious Metals Index”). The GSCI Precious Metals Index represents an unleveraged, long-only investment in commodity futures. The GSCI Precious Metals Index is a part of a series of sub-indices calculated by Standard and Poor’s that represents components of the S&P GSCI from a number of commodity sectors. The GSCI Precious Metals Index comprises gold and silver. | |
| (d) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $24,979,555, which represents approximately 1.8% of net assets as of December 31, 2010. | |
| (e) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| (f) | Interest rate represents the annualized yield on date of purchase. | |
| (g) | Issued with zero coupon. Income is recognized through the accretion of discount. |
| Investment Abbreviation: | ||||||
| FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
| Currency Abbreviations: | ||||||
| EUR | — | Euro | ||||
| GBP | — | British Pound | ||||
| JPY | — | Japanese Yen | ||||
| USD | — | United States Dollar | ||||
GOLDMAN
SACHS ABSOLUTE RETURN TRACKER FUND
ADDITIONAL
INVESTMENT INFORMATION
FORWARD FOREIGN
CURRENCY EXCHANGE CONTRACTS — At
December 31, 2010, the Fund had outstanding forward foreign
currency exchange contracts, to purchase foreign currencies:
FORWARD FOREIGN
CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
|
Expiration |
Current |
Unrealized |
||||||||||||
| Counterparty | Contracts to Buy/Sell | Date | Value | Gain | ||||||||||
|
Royal Bank of Scotland
|
JPY/USD | 3/16/11 | $ | 37,132,265 | $ | 1,336,500 | ||||||||
|
Societe Generale
|
EUR/USD | 3/16/11 | 36,239,723 | 407,269 | ||||||||||
| GBP/USD | 3/16/11 | 1,558,253 | 12,543 | |||||||||||
| JPY/USD | 3/16/11 | 2,619,288 | 76,662 | |||||||||||
|
TOTAL
|
$ | 1,832,974 | ||||||||||||
FORWARD FOREIGN
CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
|
Expiration |
Current |
Unrealized |
||||||||||||
| Counterparty | Contracts to Buy/Sell | Date | Value | Loss | ||||||||||
|
Royal Bank of Scotland
|
GBP/USD | 3/16/11 | $ | 38,371,988 | $ | (425,438 | ) | |||||||
FUTURES
CONTRACTS — At December 31, 2010, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
Dow Jones EURO STOXX 50 Index
|
962 | March 2011 | $ | 35,917,446 | $ | (676,327 | ) | |||||||
|
FTSE 100 Index
|
437 | March 2011 | 40,150,582 | 480,282 | ||||||||||
|
Russell 2000 Mini Index
|
(271 | ) | March 2011 | (21,200,330 | ) | (453,090 | ) | |||||||
|
S&P 500
E-mini Index
|
3,018 | March 2011 | 189,077,700 | 3,338,093 | ||||||||||
|
TSE TOPIX Index
|
357 | March 2011 | 39,397,955 | 659,882 | ||||||||||
|
10 Year U.S. Treasury Notes
|
(2,792 | ) | March 2011 | (336,261,500 | ) | 10,528,034 | ||||||||
|
TOTAL
|
$ | 13,876,874 | ||||||||||||
GOLDMAN
SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of
Investments
December 31,
2010
|
Principal |
Interest |
Maturity |
||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
|
Mortgage-Backed Obligations – 16.1% |
||||||||||||||||
| Collateralized Mortgage Obligations – 1.9% | ||||||||||||||||
| Regular Floater(a) – 0.8% | ||||||||||||||||
|
FDIC Structured Sale Guaranteed
Notes Series 2010-S1,
Class 1A(b)
|
||||||||||||||||
| $ | 780,756 | 0.811 | % | 02/25/48 | $ | 780,653 | ||||||||||
|
National Credit Union Administration Guaranteed
Notes Series 2010-A1,
Class A
|
||||||||||||||||
| 1,400,000 | 0.611 | 12/10/20 | 1,401,470 | |||||||||||||
|
National Credit Union Administration Guaranteed
Notes Series 2010-R1,
Class 1A
|
||||||||||||||||
| 1,455,813 | 0.715 | 10/07/20 | 1,454,676 | |||||||||||||
|
National Credit Union Administration Guaranteed
Notes Series 2010-R2,
Class 1A
|
||||||||||||||||
| 2,553,560 | 0.635 | 11/06/17 | 2,552,762 | |||||||||||||
| 6,189,561 | ||||||||||||||||
| Sequential Fixed Rate – 1.1% | ||||||||||||||||
|
FDIC Structured Sale Guaranteed Notes Series 2010
A-1(b)(c)
|
||||||||||||||||
| 1,000,000 | 0.000 | 10/25/11 | 994,390 | |||||||||||||
|
FNMA REMIC
Series 2009-70,
Class AL
|
||||||||||||||||
| 7,314,772 | 5.000 | 08/25/19 | 7,810,135 | |||||||||||||
|
National Credit Union Administration Guaranteed
Notes Series 2010-R1,
Class 2A
|
||||||||||||||||
| 463,751 | 1.840 | 10/07/20 | 458,533 | |||||||||||||
| 9,263,058 | ||||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | $ | 15,452,619 | ||||||||||||||
| Federal Agencies – 14.2% | ||||||||||||||||
| Adjustable Rate FHLMC(a) – 0.4% | ||||||||||||||||
| $ | 2,821,714 | 3.180 | % | 01/01/37 | $ | 2,947,224 | ||||||||||
| FHLMC – 1.4% | ||||||||||||||||
| 2,165 | 5.000 | 09/01/16 | 2,304 | |||||||||||||
| 28,793 | 5.000 | 11/01/16 | 30,642 | |||||||||||||
| 5,650 | 5.000 | 12/01/16 | 6,013 | |||||||||||||
| 89,626 | 5.000 | 01/01/17 | 95,516 | |||||||||||||
| 159,931 | 5.000 | 02/01/17 | 170,640 | |||||||||||||
| 122,117 | 5.000 | 03/01/17 | 130,294 | |||||||||||||
| 211,643 | 5.000 | 04/01/17 | 225,814 | |||||||||||||
| 4,862 | 5.000 | 05/01/17 | 5,188 | |||||||||||||
| 3,776 | 5.000 | 06/01/17 | 4,029 | |||||||||||||
| 6,198 | 5.000 | 08/01/17 | 6,613 | |||||||||||||
| 571,583 | 5.000 | 09/01/17 | 609,856 | |||||||||||||
| 1,674,930 | 5.000 | 10/01/17 | 1,787,083 | |||||||||||||
| 1,562,199 | 5.000 | 11/01/17 | 1,666,803 | |||||||||||||
| 209,781 | 5.000 | 12/01/17 | 223,827 | |||||||||||||
| 53,100 | 5.000 | 01/01/18 | 56,688 | |||||||||||||
| 376,047 | 5.000 | 02/01/18 | 401,785 | |||||||||||||
| 259,578 | 5.000 | 03/01/18 | 277,432 | |||||||||||||
| 196,761 | 5.000 | 04/01/18 | 210,249 | |||||||||||||
| 95,752 | 5.000 | 05/01/18 | 102,382 | |||||||||||||
| 72,137 | 5.000 | 06/01/18 | 77,186 | |||||||||||||
| 143,883 | 5.000 | 07/01/18 | 154,012 | |||||||||||||
| 63,098 | 5.000 | 08/01/18 | 67,414 | |||||||||||||
| 21,780 | 5.000 | 10/01/18 | 23,241 | |||||||||||||
| 38,415 | 5.000 | 11/01/18 | 40,992 | |||||||||||||
| 5,688 | 5.000 | 02/01/19 | 6,080 | |||||||||||||
| 656,329 | 5.500 | 01/01/20 | 706,246 | |||||||||||||
| 4,000,000 | 5.500 | TBA-30yr | (e) | 4,262,188 | ||||||||||||
| 11,350,517 | ||||||||||||||||
| FNMA – 12.4% | ||||||||||||||||
| 557,272 | 4.000 | 12/01/14 | 583,412 | |||||||||||||
| 705,075 | 4.000 | 02/01/15 | 731,711 | |||||||||||||
| 1,214,278 | 4.000 | 03/01/15 | 1,271,193 | |||||||||||||
| 1,510,181 | 5.000 | 05/01/17 | 1,616,216 | |||||||||||||
| 227,512 | 5.000 | 03/01/18 | 242,916 | |||||||||||||
| 609,088 | 5.000 | 04/01/18 | 650,312 | |||||||||||||
| 33,422 | 5.000 | 01/01/20 | 35,843 | |||||||||||||
| 284,498 | 5.000 | 03/01/38 | 298,835 | |||||||||||||
| 272,349 | 5.000 | 04/01/38 | 286,074 | |||||||||||||
| 89,358 | 4.000 | 02/01/40 | 88,983 | |||||||||||||
| 846,171 | 4.000 | 12/01/40 | 842,614 | |||||||||||||
| 9,000,000 | 3.500 | 01/01/41 | 8,603,982 | |||||||||||||
| 28,064,471 | 4.000 | 01/01/41 | 27,946,498 | |||||||||||||
| 2,000,000 | 3.000 | TBA-15yr | (e) | 1,958,438 | ||||||||||||
| 5,000,000 | 3.500 | TBA-15yr | (e) | 5,035,937 | ||||||||||||
| 15,000,000 | 3.000 | TBA-15yr | (e) | 14,648,438 | ||||||||||||
| 10,000,000 | 3.500 | TBA-15yr | (e) | 10,042,969 | ||||||||||||
| 7,000,000 | 4.500 | TBA-30yr | (e) | 7,186,484 | ||||||||||||
| 17,000,000 | 5.500 | TBA-30yr | (e) | 18,188,672 | ||||||||||||
| 100,259,527 | ||||||||||||||||
| TOTAL FEDERAL AGENCIES | $ | 114,557,268 | ||||||||||||||
| TOTAL MORTGAGE-BACKED OBLIGATIONS | ||||||||||||||||
| (Cost $129,029,365) | $ | 130,009,887 | ||||||||||||||
|
Agency Debentures – 21.9% |
||||||||||||||||
|
FHLB
|
||||||||||||||||
| $ | 12,000,000 | 1.375 | % | 05/16/11 | $ | 12,052,536 | ||||||||||
| 2,800,000 | 1.750 | 08/22/12 | 2,852,544 | |||||||||||||
|
FHLMC
|
||||||||||||||||
| 92,900,000 | 0.411 | 02/03/12 | 92,907,804 | |||||||||||||
| 28,300,000 | 3.250 | 03/18/14 | 28,467,414 | |||||||||||||
|
FNMA
|
||||||||||||||||
| 15,000,000 | 3.125 | 01/21/15 | 15,017,638 | |||||||||||||
| 15,000,000 | 3.000 | 01/28/15 | 15,028,950 | |||||||||||||
| 10,000,000 | 3.000 | 02/17/15 | 10,030,657 | |||||||||||||
| TOTAL AGENCY DEBENTURES | ||||||||||||||||
| (Cost $176,254,983) | $ | 176,357,543 | ||||||||||||||
GOLDMAN
SACHS COMMODITY STRATEGY FUND
|
Principal |
Interest |
Maturity |
||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
|
Asset-Backed Securities – 0.0% |
||||||||||||||||
| Home Equity – 0.0% | ||||||||||||||||
|
GMAC Mortgage Corp. Loan
Trust Series 2007-HE3,
Class 1A1
|
||||||||||||||||
| $ | 188,774 | 7.000 | % | 09/25/37 | $ | 138,103 | ||||||||||
|
GMAC Mortgage Corp. Loan
Trust Series 2007-HE3,
Class 2A1
|
||||||||||||||||
| 237,471 | 7.000 | 09/25/37 | 166,073 | |||||||||||||
| TOTAL ASSET-BACKED SECURITIES | ||||||||||||||||
| (Cost $427,044) | $ | 304,176 | ||||||||||||||
|
Government Guarantee Obligations(d) – 4.9% |
||||||||||||||||
|
Citibank NA
|
||||||||||||||||
| $ | 11,000,000 | 1.375 | % | 08/10/11 | $ | 11,066,583 | ||||||||||
|
Citigroup Funding, Inc.
|
||||||||||||||||
| 7,400,000 | 0.618 | (a) | 04/30/12 | 7,437,000 | ||||||||||||
| 1,800,000 | 1.875 | 10/22/12 | 1,838,681 | |||||||||||||
|
General Electric Capital Corp.
|
||||||||||||||||
| 7,800,000 | 2.625 | 12/28/12 | 8,089,742 | |||||||||||||
| 2,200,000 | 0.502 | (a) | 03/12/12 | 2,207,702 | ||||||||||||
| 7,400,000 | 0.466 | (a) | 06/01/12 | 7,417,116 | ||||||||||||
|
U.S. Central Federal Credit Union
|
||||||||||||||||
| 1,400,000 | 1.250 | 10/19/11 | 1,409,995 | |||||||||||||
| TOTAL GOVERNMENT GUARANTEE OBLIGATIONS | ||||||||||||||||
| (Cost $39,121,538) | $ | 39,466,819 | ||||||||||||||
|
U.S. Treasury Obligations – 15.1% |
||||||||||||||||
|
United States Treasury Inflation-Protected Securities
|
||||||||||||||||
| $ | 12,341,168 | 2.375 | % | 04/15/11 | $ | 12,456,805 | ||||||||||
| 4,135,794 | 3.000 | 07/15/12 | 4,395,563 | |||||||||||||
|
United States Treasury Notes
|
||||||||||||||||
| 76,600,000 | 4.500 | (f) | 02/28/11 | 77,107,866 | ||||||||||||
| 9,900,000 | 1.000 | 03/31/12 | 9,975,834 | |||||||||||||
| 17,600,000 | 0.625 | 06/30/12 | 17,651,216 | |||||||||||||
|
United States Treasury Principal-Only
STRIPS(c)
|
||||||||||||||||
| 700,000 | 0.000 | 11/15/26 | 353,332 | |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||||
| (Cost $121,716,489) | $ | 121,940,616 | ||||||||||||||
| Shares | Rate | Value | ||||||||||
|
Short-term Investment(a) – 29.0% |
||||||||||||
|
JPMorgan U.S. Government Money Market Fund – Capital
Shares
|
||||||||||||
| 233,621,807 | 0.043 | % | $ | 233,621,807 | ||||||||
| (Cost $233,621,807) | ||||||||||||
| TOTAL INVESTMENTS – 87.0% | ||||||||||||
| (Cost $700,171,226) | $ | 701,700,848 | ||||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 13.0%
|
104,437,518 | |||||||||||
| NET ASSETS – 100.0% | $ | 806,138,366 | ||||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. | |
| (b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,775,043, which represents approximately 0.2% of net assets as of December 31, 2010. | |
| (c) | Issued with zero coupon. Income is recognized through the accretion of discount. | |
| (d) | Guaranteed under the Federal Deposit Insurance Corporation’s (“FDIC”) Temporary Liquidity Guarantee Program and is backed by the full faith and credit of the United States. The expiration date of the FDIC’s guarantee is the earlier of the maturity date of the debt or June 30, 2012. | |
| (e) | TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $61,323,126 which represents approximately 7.6% of net assets as of December 31, 2010. | |
| (f) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
| Investment Abbreviations: | ||||||
| FHLB | — | Federal Home Loan Bank | ||||
| FHLMC | — | Federal Home Loan Mortgage Corp. | ||||
| FNMA | — | Federal National Mortgage Association | ||||
| LIBOR | — | London Interbank Offered Rate | ||||
| REMIC | — | Real Estate Mortgage Investment Conduit | ||||
| STRIPS | — | Separate Trading of Registered Interest and Principal of Securities | ||||
GOLDMAN
SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of
Investments (continued)
December 31,
2010
ADDITIONAL
INVESTMENT INFORMATION
FORWARD SALES
CONTRACTS — At December 31, 2010, the
Fund had the following forward sales contracts:
|
Interest |
Maturity |
Settlement |
Principal |
|||||||||||||||
| Description | Rate | Date | Date | Amount | Value | |||||||||||||
|
FNMA
|
3.500 | % | TBA-30yr(e) | 01/13/11 | $ | 9,000,000 | $ | (8,589,375 | ) | |||||||||
|
FNMA
|
4.000 | TBA-30yr(e) | 01/13/11 | 29,000,000 | (28,848,202 | ) | ||||||||||||
| TOTAL (Proceeds Receivable: $36,846,250) | $ | (37,437,577 | ) | |||||||||||||||
FUTURES
CONTRACTS — At December 31, 2010, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
Eurodollars
|
(80 | ) | March 2011 | $ | (19,927,000 | ) | $ | (97,934 | ) | |||||
|
Eurodollars
|
(80 | ) | June 2011 | (19,912,000 | ) | (136,491 | ) | |||||||
|
Eurodollars
|
(80 | ) | September 2011 | (19,889,000 | ) | (168,358 | ) | |||||||
|
Eurodollars
|
(80 | ) | December 2011 | (19,854,000 | ) | (190,763 | ) | |||||||
|
Eurodollars
|
(80 | ) | March 2012 | (19,810,000 | ) | (198,708 | ) | |||||||
|
U.S. Treasury Bonds
|
20 | March 2011 | 2,442,500 | (82,161 | ) | |||||||||
|
5 Year U.S. Treasury Notes
|
(91 | ) | March 2011 | (10,712,406 | ) | 178,878 | ||||||||
|
10 Year U.S. Treasury Notes
|
(121 | ) | March 2011 | (14,572,938 | ) | 455,446 | ||||||||
|
TOTAL
|
$ | (240,091 | ) | |||||||||||
SWAP
CONTRACTS — At December 31, 2010, the
Fund had outstanding swap contracts with the following terms:
INTEREST RATE
SWAP CONTRACTS
| Rates Exchanged | ||||||||||||||||||||||||
|
Notional |
Payments |
Payments |
Upfront
Payments |
|||||||||||||||||||||
|
Amount |
Termination |
Received by |
Made by |
Market |
Made
(Received) |
Unrealized |
||||||||||||||||||
| Counterparty | (000’s)(a) | Date | the Fund | the Fund | Value | by the Fund | Gain (Loss) | |||||||||||||||||
|
Credit Suisse International
|
$ | 1,700 | 06/15/41 | 3 Month LIBOR | 3.750% | $ | 137,532 | $ | 1,662 | $ | 135,870 | |||||||||||||
|
Deutsche Bank AG
|
9,600 | 06/15/16 | 3 Month LIBOR | 1.750 | 359,219 | 9,172 | 350,047 | |||||||||||||||||
| 9,000 | 06/15/21 | 3 Month LIBOR | 2.750 | 663,167 | 725,370 | (62,203 | ) | |||||||||||||||||
|
JPMorgan Chase Bank, N.A.
|
8,100 | 06/15/21 | 3 Month LIBOR | 2.750 | 596,851 | 132,832 | 464,019 | |||||||||||||||||
| 1,600 | 06/15/41 | 3.750% | 3 Month LIBOR | (129,441 | ) | (90,613 | ) | (38,828 | ) | |||||||||||||||
|
Morgan Stanley Capital Services Inc
|
3,400 | 06/15/41 | 3 Month LIBOR | 3.750 | 275,063 | 40,947 | 234,116 | |||||||||||||||||
| 1,800 | 06/15/41 | 3.750 | 3 Month LIBOR | (145,622 | ) | (114,961 | ) | (30,661 | ) | |||||||||||||||
|
TOTAL
|
$ | 1,756,769 | $ | 704,409 | $ | 1,052,360 | ||||||||||||||||||
| (a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2010. |
GOLDMAN
SACHS COMMODITY STRATEGY FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
TOTAL RETURN SWAP
CONTRACTS ON COMMODITY
INDICES(a)
|
Notional |
||||||||||||||||||
|
Amount |
Rate Paid |
Termination |
Market |
|||||||||||||||
| Counterparty | Referenced Obligation | (000’s) | by the Fund | Date | Value(b) | |||||||||||||
|
Merrill Lynch & Co., Inc.
|
Merrill Lynch Commodity Index Extra GB6 Excess Return Index |
$ | 5,700 | 0.42 | % | 06/28/11 | $ | 83,931 | ||||||||||
| 7,000 | 0.42 | 06/28/11 | 294,742 | |||||||||||||||
| 10,000 | 0.42 | 06/28/11 | 397,509 | |||||||||||||||
| 246,225 | 0.42 | 06/28/11 | 9,375,308 | |||||||||||||||
|
UBS AG
|
S&P GSCI Total Return Index 3 Month Forward |
490,970 | 0.39 | 01/20/11 | 47,795,925 | |||||||||||||
|
TOTAL
|
$ | 57,947,415 | ||||||||||||||||
| (a) | The Fund receives monthly payments based on any positive monthly return of the Referenced Obligation. The Fund makes payments on any negative monthly return of such Referenced Obligation. |
| (b) | There are no upfront payments on the swap contracts listed above, therefore the unrealized gains (losses) on the swap contracts are equal to their market value. |
GOLDMAN
SACHS DYNAMIC ALLOCATION FUND
Schedule of Investments
December 31,
2010
|
Principal |
Interest |
Maturity |
||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
|
Commodity Index Linked Structured Notes(a)(c) – 9.5% |
||||||||||||||||
|
Bank of America
Corp.(d)
|
||||||||||||||||
| $ | 2,000,000 | 0.011 | % | 01/30/12 | $ | 2,191,000 | ||||||||||
|
Barclays Bank
PLC(b)
|
||||||||||||||||
| 5,000,000 | 0.111 | 01/30/12 | 5,143,450 | |||||||||||||
| 1,100,000 | 0.111 | 01/30/12 | 1,148,903 | |||||||||||||
|
UBS
AG(b)(d)
|
||||||||||||||||
| 800,000 | 0.111 | 08/29/11 | 1,330,910 | |||||||||||||
| 1,500,000 | 0.111 | 08/29/11 | 2,628,699 | |||||||||||||
| 600,000 | 0.111 | 01/30/12 | 640,548 | |||||||||||||
| 2,000,000 | 0.111 | 01/30/12 | 2,191,099 | |||||||||||||
| TOTAL COMMODITY INDEX LINKED STRUCTURED NOTES | ||||||||||||||||
| (Cost $13,000,000) | $ | 15,274,609 | ||||||||||||||
| Shares | Description | Value | ||||||||
|
Exchange Traded Funds – 22.3% |
||||||||||
| 195,172 | iShares MSCI Emerging Markets Index Fund | $ | 9,294,091 | |||||||
| 338,848 | iShares Russell 2000 Index Fund | 26,508,079 | ||||||||
| TOTAL EXCHANGE TRADED FUNDS | ||||||||||
| (Cost $33,537,961) | $ | 35,802,170 | ||||||||
|
Principal |
Interest |
Maturity |
||||||||||||||
| Amount | Rate | Date | Value | |||||||||||||
|
U.S. Treasury Obligation(e) – 22.6% |
||||||||||||||||
|
United States Treasury Inflation Indexed Bond
|
||||||||||||||||
| $ | 35,270,938 | 1.250 | % | 07/15/20 | $ | 36,147,068 | ||||||||||
| (Cost $35,542,606) | ||||||||||||||||
| Shares | Rate | Value | ||||||||
|
Short-term Investment(a) – 45.0% |
||||||||||
|
JPMorgan U.S. Government Money Market Fund – Capital
Shares
|
||||||||||
| 72,088,946 | 0.043% | $ | 72,088,946 | |||||||
| (Cost $72,088,946) | ||||||||||
| TOTAL INVESTMENTS – 99.4% | ||||||||||
| (Cost $154,169,513) | $ | 159,312,793 | ||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.6%
|
892,444 | |||||||||
| NET ASSETS – 100.0% | $ | 160,205,237 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. | |
| (b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $13,083,609, which represents approximately 8.2% of net assets as of December 31, 2010. | |
| (c) | Security is linked to the Dow Jones-UBS Commodity Index Total Return (the “DJ-UBSCI Total Return”). The DJ-UBSCI Total Return is a composite of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is diversified across the spectrum of commodities. The DJUBSCI Total Return is composed of nineteen commodities in nine diverse sectors: energy, petroleum, precious metals, industrial metals, grains, livestock, softs, and agriculture. | |
| (d) | These Structured Notes take into consideration a leverage factor of 300% on the return of the underlying linked index. | |
| (e) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
GOLDMAN
SACHS DYNAMIC ALLOCATION FUND
ADDITIONAL
INVESTMENT INFORMATION
FUTURES
CONTRACTS — At December 31, 2010, the
following futures contracts were open:
|
Number of |
||||||||||||||
|
Contracts |
Expiration |
Current |
Unrealized |
|||||||||||
| Type | Long (Short) | Date | Value | Gain (Loss) | ||||||||||
|
Amsterdam Index
|
8 | January 2011 | $ | 758,591 | $ | 7,318 | ||||||||
|
CAC 40 Index
|
56 | January 2011 | 2,850,756 | (44,298 | ) | |||||||||
|
DAX Index
|
11 | March 2011 | 2,545,551 | (33,708 | ) | |||||||||
|
Euro- Bund
|
(67 | ) | March 2011 | (11,219,268 | ) | (38,439 | ) | |||||||
|
FTSE 100 Index
|
68 | March 2011 | 6,247,688 | 53,080 | ||||||||||
|
FTSE/MIB Index
|
5 | March 2011 | 674,999 | (12,914 | ) | |||||||||
|
Hang Seng Index
|
5 | January 2011 | 740,402 | 5,776 | ||||||||||
|
IBEX 35 Index
|
7 | January 2011 | 915,860 | (6,655 | ) | |||||||||
|
Long Gilt
|
(14 | ) | March 2011 | (2,608,156 | ) | (25,386 | ) | |||||||
|
MSCI Singapore Index
|
9 | January 2011 | 530,736 | 9,996 | ||||||||||
|
OMX Stockholm 30 Index
|
56 | January 2011 | 963,357 | 5,892 | ||||||||||
|
S&P 500
E-mini Index
|
353 | March 2011 | 22,115,450 | 345,570 | ||||||||||
|
S&P/TSX 60 Index
|
22 | March 2011 | 3,394,589 | 71,313 | ||||||||||
|
SPI 200 Index
|
21 | March 2011 | 2,539,868 | (19,904 | ) | |||||||||
|
TSE TOPIX Index
|
59 | March 2011 | 6,511,147 | 81,445 | ||||||||||
|
10 Year Australian Treasury Bonds
|
(3 | ) | March 2011 | (316,972 | ) | (1,224 | ) | |||||||
|
10 Year Canadian Government Bonds
|
(7 | ) | March 2011 | (862,838 | ) | (3,625 | ) | |||||||
|
10 Year Japanese Government Bonds
|
(10 | ) | March 2011 | (17,318,635 | ) | (96,576 | ) | |||||||
|
10 Year U.S. Treasury Notes
|
369 | March 2011 | 44,441,437 | (1,049,802 | ) | |||||||||
|
TOTAL
|
$ | (752,141 | ) | |||||||||||
SWAP
CONTRACTS — At December 31, 2010, the
Fund had outstanding swap contracts with the following terms:
CREDIT DEFAULT
SWAP CONTRACTS
|
Credit |
Upfront |
|||||||||||||||||||||||||||||
|
Rates |
Spread at |
Payments |
||||||||||||||||||||||||||||
|
Notional |
Received |
December 31, |
Made |
|||||||||||||||||||||||||||
|
Referenced |
Amount |
(Paid) by |
Termination |
2010(a) |
Market |
(Received) by |
Unrealized |
|||||||||||||||||||||||
| Counterparty | Obligation | (000’s) | the Fund | Date | (Basis Points) | Value | the Fund | Gain (Loss) | ||||||||||||||||||||||
|
Protection Purchased:
|
||||||||||||||||||||||||||||||
|
Credit Suisse International |
CDX North America High Yield Index |
$ | 1,200 | (5.00 | )% | 12/20/15 | 428 | $ | (37,940 | ) | $ | (30,666 | ) | $ | (7,274 | ) | ||||||||||||||
| 17,900 | (5.00 | ) | 12/20/15 | 428 | (565,937 | ) | (422,794 | ) | (143,143 | ) | ||||||||||||||||||||
|
CDX North America Investment Grade Index |
2,900 | (1.00 | ) | 12/20/15 | 85 | (21,386 | ) | (19,517 | ) | (1,869 | ) | |||||||||||||||||||
|
UBS AG
|
CDX North America Investment Grade Index |
200 | (1.00 | ) | 12/20/15 | 85 | (1,475 | ) | (1,312 | ) | (163 | ) | ||||||||||||||||||
|
Protection Sold:
|
||||||||||||||||||||||||||||||
|
UBS AG
|
CDX Emerging Market Index | 100 | 5.00 | 12/20/15 | 201 | 13,772 | 12,661 | 1,111 | ||||||||||||||||||||||
|
TOTAL
|
$ | (612,966 | ) | $ | (461,628 | ) | $ | (151,338 | ) | |||||||||||||||||||||
| (a) | A credit spread on the Referenced Obligation, together with the term of swap contract, is an indicator of payment/performance risk. The likelihood of a credit event occurring which would require a fund to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
GOLDMAN
SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31, 2010
| Shares | Description | Value | ||||||||
|
Common Stocks – 98.5% |
||||||||||
| Australia – 14.7% | ||||||||||
| 2,640,692 | CFS Retail Property Trust (REIT) (Retail) | $ | 4,751,890 | |||||||
| 3,581,360 | Challenger Diversified Property Group (REIT) (Diversified) | 1,834,496 | ||||||||
| 656,600 | Charter Hall Group (REIT) (Diversified) | 1,667,459 | ||||||||
| 1,334,266 | Charter Hall Office REIT (REIT) (Office) | 3,888,786 | ||||||||
| 8,419,968 | Commonwealth Property Office Fund (REIT) (Office) | 7,160,099 | ||||||||
| 1,714,083 | GPT Group (REIT) (Diversified) | 5,161,259 | ||||||||
| 12,702,867 | ING Office Fund (REIT) (Office) | 7,212,652 | ||||||||
| 1,482,530 | Stockland Crop. Ltd. (REIT) (Diversified) | 5,460,915 | ||||||||
| 889,523 | Valad Property Group (REIT) (Office)* | 936,287 | ||||||||
| 1,388,456 | Westfield Group (REIT) (Retail) | 13,600,348 | ||||||||
| 1,716,697 | Westfield Retail Trust (REIT) (Retail)* | 4,512,503 | ||||||||
| 56,186,694 | ||||||||||
| Austria – 1.3% | ||||||||||
| 843,627 | Atrium European Real Estate Ltd. (Retail) | 4,947,765 | ||||||||
| Canada – 7.0% | ||||||||||
| 336,400 | Allied Properties Real Estate Investment Trust (REIT) (Office) | 7,287,595 | ||||||||
| 204,900 | Chartwell Seniors Housing Real Estate Investment Trust (REIT) (Healthcare) | 1,685,691 | ||||||||
| 97,200 | Dundee Real Estate Investment Trust (REIT) (Office) | 2,952,268 | ||||||||
| 49,700 | H&R Real Estate Investment Trust (REIT) (Diversified) | 971,207 | ||||||||
| 348,300 | Homburg Canada Real Estate Investment Trust (REIT) (Diversified) | 3,881,287 | ||||||||
| 884,700 | InnVest Real Estate Investment Trust (REIT) (Hotels) | 6,005,959 | ||||||||
| 359,900 | TransGlobe Apartment REIT (REIT) (Diversified) | 3,764,417 | ||||||||
| 26,548,424 | ||||||||||
| China – 4.7% | ||||||||||
| 1,412,000 | China Overseas Land & Investment Ltd. Class H (Diversified) | 2,610,461 | ||||||||
| 3,324,000 | China Resources Land Ltd. Class H (Diversified) | 6,070,595 | ||||||||
| 6,965,000 | KWG Property Holding Ltd. Class H (Residential) | 5,302,617 | ||||||||
| 2,556,000 | Shimao Property Holdings Ltd. Class H (Diversified) | 3,857,833 | ||||||||
| 17,841,506 | ||||||||||
| France – 9.1% | ||||||||||
| 39,462 | Fonciere Des Regions (REIT) (Diversified) | 3,819,221 | ||||||||
| 163,469 | Klepierre SA (REIT) (Retail) | 5,904,085 | ||||||||
| 137,547 | Nexity SA (Residential) | 6,287,507 | ||||||||
| 46,155 | Societe Immobiliere de Location pour l’Industrie et le Commerce (REIT) (Office) | 5,715,601 | ||||||||
| 66,766 | Unibail-Rodamco SE (REIT) (Diversified) | 13,219,459 | ||||||||
| 34,945,873 | ||||||||||
| Hong Kong – 21.0% | ||||||||||
| 2,024,000 | Henderson Land Development Co. Ltd. (Diversified) | 13,786,728 | ||||||||
| 2,216,000 | Hongkong Land Holdings Ltd. (Office) | 15,995,904 | ||||||||
| 769,691 | Hysan Development Co. Ltd. (Diversified) | 3,621,727 | ||||||||
| 1,215,500 | Kerry Properties Ltd. (Diversified) | 6,328,265 | ||||||||
| 1,777,475 | Sun Hung Kai Properties Ltd. (Diversified) | 29,491,161 | ||||||||
| 1,415,000 | The Wharf (Holdings) Ltd. (Diversified) | 10,879,147 | ||||||||
| 80,102,932 | ||||||||||
| Japan – 17.1% | ||||||||||
| 479 | BLife Investment Corp. (REIT) (Residential) | 3,547,669 | ||||||||
| 244 | Frontier Real Estate Investment Corp. (REIT) (Diversified) | 2,326,926 | ||||||||
| 86,520 | Goldcrest Co. Ltd. (Diversified) | 2,254,429 | ||||||||
| 1,167,000 | Mitsubishi Estate Co. Ltd. (Diversified) | 21,567,574 | ||||||||
| 552,000 | Mitsui Fudosan Co. Ltd. (Office) | 10,970,217 | ||||||||
| 765 | Nippon Building Fund, Inc. (REIT) (Office) | 7,839,967 | ||||||||
| 619 | Nomura Real Estate Office Fund, Inc. (REIT) (Office) | 4,465,820 | ||||||||
| 335,000 | Sumitomo Realty & Development Co. Ltd. (Office) | 7,969,526 | ||||||||
| 3,438 | United Urban Investment Corp. (REIT) (Diversified) | 4,389,570 | ||||||||
| 65,331,698 | ||||||||||
| Netherlands – 1.6% | ||||||||||
| 637,007 | ProLogis European Properties (Industrial)* | 4,103,501 | ||||||||
| 123,867 | VastNed Offices/Industrial NV (REIT) (Office) | 2,076,749 | ||||||||
| 6,180,250 | ||||||||||
| Norway – 1.5% | ||||||||||
| 3,297,081 | Norwegian Property ASA (Diversified)* | 5,871,133 | ||||||||
GOLDMAN
SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
| Shares | Description | Value | ||||||||
|
Common Stocks – (continued) |
||||||||||
| Poland – 1.0% | ||||||||||
| 477,974 | Globe Trade Centre SA (Diversified)* | $ | 3,960,367 | |||||||
| Singapore – 7.8% | ||||||||||
| 642,466 | Ascendas Real Estate Investment Trust (REIT) (Industrial) | 1,036,728 | ||||||||
| 3,696,000 | Cache Logistics Trust (REIT) (Industrial) | 2,779,947 | ||||||||
| 8,767,715 | Cambridge Industrial Trust (REIT) (Industrial) | 3,624,588 | ||||||||
| 3,525,000 | CapitaLand Ltd. (Residential) | 10,196,101 | ||||||||
| 618,000 | CapitaMall Trust (REIT) (Retail) | 939,937 | ||||||||
| 2,917,000 | CDL Hospitality Trusts (REIT) (Hotels) | 4,734,321 | ||||||||
| 3,857,000 | Global Logistic Properties Ltd. (Industrial)* | 6,491,698 | ||||||||
| 29,803,320 | ||||||||||
| Spain – 0.8% | ||||||||||
| 339,854 | Sol Melia SA (Hotels) | 3,168,774 | ||||||||
| Sweden – 0.8% | ||||||||||
| 245,934 | Hufvudstaden AB Class A (Diversified) | 2,874,453 | ||||||||
| Switzerland – 1.5% | ||||||||||
| 71,728 | PSP Swiss Property AG (Registered) (Office)* | 5,747,533 | ||||||||
| United Kingdom – 8.6% | ||||||||||
| 156,555 | Derwent London PLC (REIT) (Office) | 3,822,566 | ||||||||
| 687,284 | Great Portland Estates PLC (REIT) (Office) | 3,873,519 | ||||||||
| 1,418,671 | Hammerson PLC (REIT) (Retail) | 9,245,318 | ||||||||
| 150,037 | Intercontinental Hotels Group PLC (Hotels) | 2,930,826 | ||||||||
| 460,564 | Land Securities Group PLC (REIT) (Diversified) | 4,858,293 | ||||||||
| 2,223,907 | Metric Property Investments PLC (REIT) (Retail)* | 3,727,341 | ||||||||
| 999,579 | Safestore Holdings PLC (Industrial) | 2,034,129 | ||||||||
| 1,148,664 | Songbird Estates PLC (Office)* | 2,537,923 | ||||||||
| 33,029,915 | ||||||||||
| TOTAL COMMON STOCKS | ||||||||||
| (Cost $297,784,824) | $ | 376,540,637 | ||||||||
|
Expiration |
||||||||||||||
| Units | Description | Month | Value | |||||||||||
|
Warrant* – 0.1% |
||||||||||||||
| Hong Kong – 0.1% | ||||||||||||||
| 409,600 |
Henderson Land Development Co. Ltd.
|
|||||||||||||
| (Diversified) | 06/11 | $ | 94,854 | |||||||||||
| (Cost $0) | ||||||||||||||
| Shares | Rate | Value | ||||||||
|
Short-term Investment(a) – 1.2% |
||||||||||
|
JPMorgan U.S. Government Money Market Fund – Capital
Shares
|
||||||||||
| 4,683,185 | 0.043% | $ | 4,683,185 | |||||||
| (Cost $4,683,185) | ||||||||||
| TOTAL INVESTMENTS – 99.8% | ||||||||||
| (Cost $302,468,009) | $ | 381,318,676 | ||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.2%
|
953,198 | |||||||||
| NET ASSETS – 100.0% | $ | 382,271,874 | ||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. |
| Investment Abbreviation: | ||||||
| REIT | — | Real Estate Investment Trust | ||||
GOLDMAN
SACHS REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31,
2010
| Shares | Description | Value | ||||||||
|
Common Stocks(a) – 98.4% |
||||||||||
| Commercial – 29.3% | ||||||||||
| 201,343 | Alexandria Real Estate Equities, Inc. | $ | 14,750,388 | |||||||
| 423,129 | AMB Property Corp. | 13,417,421 | ||||||||
| 364,886 | Boston Properties, Inc. | 31,416,685 | ||||||||
| 155,443 | Digital Realty Trust, Inc. | 8,011,532 | ||||||||
| 406,543 | Douglas Emmett, Inc. | 6,748,614 | ||||||||
| 287,743 | Kilroy Realty Corp. | 10,493,987 | ||||||||
| 456,686 | Liberty Property Trust | 14,577,417 | ||||||||
| 90,643 | Mack-Cali Realty Corp. | 2,996,658 | ||||||||
| 1,282,500 | ProLogis | 18,519,300 | ||||||||
| 105,686 | SL Green Realty Corp. | 7,134,862 | ||||||||
| 412,329 | Vornado Realty Trust | 34,359,375 | ||||||||
| 162,426,239 | ||||||||||
| Health Care – 11.1% | ||||||||||
| 595,049 | HCP, Inc. | 21,891,853 | ||||||||
| 115,714 | Health Care REIT, Inc. | 5,512,615 | ||||||||
| 354,086 | Nationwide Health Properties, Inc. | 12,881,648 | ||||||||
| 405,771 | Ventas, Inc. | 21,294,862 | ||||||||
| 61,580,978 | ||||||||||
| Leisure – 6.0% | ||||||||||
| 1,058,786 | Hersha Hospitality Trust | 6,987,987 | ||||||||
| 1,382,400 | Host Hotels & Resorts, Inc. | 24,703,488 | ||||||||
| 168,557 | Sunstone Hotel Investors, Inc.* | 1,741,194 | ||||||||
| 33,432,669 | ||||||||||
| Multifamily – 19.3% | ||||||||||
| 379,543 | American Campus Communities, Inc. | 12,054,286 | ||||||||
| 106,843 | AvalonBay Communities, Inc. | 12,025,179 | ||||||||
| 330,557 | Camden Property Trust | 17,843,467 | ||||||||
| 664,586 | Equity Residential | 34,525,243 | ||||||||
| 106,843 | Essex Property Trust, Inc. | 12,203,607 | ||||||||
| 99,900 | Home Properties, Inc. | 5,543,451 | ||||||||
| 551,571 | UDR, Inc. | 12,972,950 | ||||||||
| 107,168,183 | ||||||||||
| Other – 0.9% | ||||||||||
| 615,986 | MFA Financial, Inc. | 5,026,446 | ||||||||
| Retail – 25.2% | ||||||||||
| 403,457 | Acadia Realty Trust | 7,359,056 | ||||||||
| 77,914 | CBL & Associates Properties, Inc. | 1,363,495 | ||||||||
| 1,054,543 | Developers Diversified Realty Corp. | 14,858,511 | ||||||||
| 419,515 | General Growth Properties, Inc. | 6,494,092 | ||||||||
| 774,129 | Kimco Realty Corp. | 13,965,287 | ||||||||
| 656,871 | Simon Property Group, Inc. | 65,352,096 | ||||||||
| 247,243 | Tanger Factory Outlet Centers, Inc. | 12,656,369 | ||||||||
| 366,429 | The Macerich Co. | 17,357,742 | ||||||||
| 139,406,648 | ||||||||||
| Self Storage – 6.6% | ||||||||||
| 357,557 | Public Storage, Inc. | 36,263,431 | ||||||||
| TOTAL COMMON STOCKS | ||||||||||
| (Cost $399,289,916) | $ | 545,304,594 | ||||||||
| Shares | Rate | Value | ||||||||||
|
Short-term Investment(b) – 1.5% |
||||||||||||
|
JPMorgan U.S. Government Money Market Fund — Capital
Shares
|
||||||||||||
| 8,533,936 | 0.043 | % | $ | 8,533,936 | ||||||||
| (Cost $8,533,936) | ||||||||||||
| TOTAL INVESTMENTS – 99.9% | ||||||||||||
| (Cost $407,823,852) | $ | 553,838,530 | ||||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.1%
|
504,478 | |||||||||||
| NET ASSETS – 100.0% | $ | 554,343,008 | ||||||||||
The percentage shown for each investment category reflects the
value of investments in that category as a percentage of net
assets.
| * | Non-income producing security. | |
| (a) | All securities are Real Estate Investment Trusts (REIT). | |
| (b) | Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2010. |
GOLDMAN
SACHS SATELLITE STRATEGIES PORTFOLIO
Schedule of Investments
December 31,
2010
| Shares | Description | Value | ||||||||
|
Underlying Funds (Institutional Shares)(a) – 100.0% |
||||||||||
| Equity – 34.5% | ||||||||||
| 5,323,431 | Goldman Sachs International Small Cap Fund – 10.6% | $ | 84,908,724 | |||||||
| 3,982,944 | Goldman Sachs Emerging Markets Equity Fund – 9.0% | 72,131,111 | ||||||||
| 11,082,827 | Goldman Sachs International Real Estate Securities Fund – 8.6% | 68,713,527 | ||||||||
| 3,977,800 | Goldman Sachs Real Estate Securities Fund – 6.3% | 50,199,834 | ||||||||
| 275,953,196 | ||||||||||
| Fixed Income – 65.5% | ||||||||||
| 26,308,829 | Goldman Sachs High Yield Fund – 24.0% | 192,054,453 | ||||||||
| 13,017,985 | Goldman Sachs Local Emerging Markets Debt Fund – 15.5% | 123,931,214 | ||||||||
| 9,258,233 | Goldman Sachs Emerging Markets Debt Fund – 14.3% | 114,616,924 | ||||||||
| 15,505,410 | Goldman Sachs Commodity Strategy Fund – 11.7% | 93,652,679 | ||||||||
| 524,255,270 | ||||||||||
| TOTAL UNDERLYING FUNDS (INSTITUTIONAL SHARES) – 100.0% | ||||||||||
| (Cost $714,920,780) | $ | 800,208,466 | ||||||||
|
OTHER
ASSETS IN EXCESS OF LIABILITIES – 0.0%
|
210,312 | |||||||||
| NET ASSETS – 100.0% | $ | 800,418,778 | ||||||||
The percentage shown for each investment and investment category
reflects the value of the respective investment or category as a
percentage of net assets.
| (a) | Represents Affiliated Funds. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Statements of Assets and
Liabilities
December 31,
2010
|
Absolute
Return |
||||||||
| Tracker Fund | ||||||||
|
Assets:
|
||||||||
|
Investments in securities of unaffiliated issuers, at value
(identified cost $1,081,668,290, $700,171,226, $154,169,513,
$302,468,009, $407,823,852 and $0, respectively)
|
$ | 1,101,917,524 | ||||||
|
Repurchase Agreement, at value which equals cost
|
252,400,000 | |||||||
|
Investments in affiliated underlying funds, at value (identified
cost $714,920,780 for Satellite Strategies Portfolio)
|
— | |||||||
|
Cash
|
1,398,884 | |||||||
|
Foreign currencies, at value (identified cost $151,933 and
$803,185 for Absolute Return Tracker and International Real
Estate Funds, respectively)
|
153,706 | |||||||
|
Receivables:
|
||||||||
|
Fund shares sold
|
10,301,305 | |||||||
|
Forward foreign currency exchange contracts, at value
|
1,832,974 | |||||||
|
Reimbursement from investment adviser
|
103,074 | |||||||
|
Dividends and interest, at value
|
26,356 | |||||||
|
Investment securities sold, at value
|
— | |||||||
|
Investments sold on a delayed-delivery basis
|
— | |||||||
|
Due from broker — variation margin, at value
|
— | |||||||
|
Due from broker — collateral for swap contracts
|
— | |||||||
|
Foreign tax reclaims, at value
|
— | |||||||
|
Due from custodian
|
— | |||||||
|
Deferred offering costs
|
— | |||||||
|
Swap contracts, at value (includes upfront payments made/(received) of $909,983 and $12,661 for Commodity Strategy and Dynamic Allocation Funds, respectively)
|
— | |||||||
|
Total
assets
|
1,368,133,823 | |||||||
|
Liabilities:
|
||||||||
|
Due to custodian
|
— | |||||||
|
Payables:
|
||||||||
|
Fund shares redeemed
|
1,964,740 | |||||||
|
Due to broker — variation margin, at value
|
1,558,626 | |||||||
|
Amounts owed to affiliates
|
1,538,962 | |||||||
|
Due to broker — forward foreign currency exchange contracts collateral, at value
|
1,230,000 | |||||||
|
Forward foreign currency exchange contracts, at value
|
425,438 | |||||||
|
Investment securities purchased, at value
|
49,784 | |||||||
|
Investments purchased on a delayed-delivery basis
|
— | |||||||
|
Forward Sale Contracts, at value (proceeds receivable $36,846,250 for Commodity Strategy Fund)
|
— | |||||||
|
Swap contracts at value (includes upfront payments made/(received) of $205,574 and $474,289 for Commodity Strategy and Dynamic Allocation Funds, respectively)
|
— | |||||||
|
Due to broker — collateral for swap contracts, at value
|
— | |||||||
|
Accrued expenses
|
154,650 | |||||||
|
Total
liabilities
|
6,922,200 | |||||||
|
Net
Assets:
|
||||||||
|
Paid-in capital
|
1,321,017,023 | |||||||
|
Accumulated undistributed (distributions in excess of) net
investment income (loss)
|
(3,624,417 | ) | ||||||
|
Accumulated net realized gain (loss) from investment, futures,
securities sold short, swap and foreign currency related
transactions
|
8,278,331 | |||||||
|
Net unrealized gain on investments, futures, swaps and
translation of assets and liabilities denominated in foreign
currencies
|
35,540,686 | |||||||
|
NET
ASSETS
|
$ | 1,361,211,623 | ||||||
|
Net Assets:
|
||||||||
|
Class A
|
$ | 490,567,427 | ||||||
|
Class B
|
— | |||||||
|
Class C
|
78,422,512 | |||||||
|
Institutional
|
786,120,091 | |||||||
|
Service
|
— | |||||||
|
Class IR
|
5,206,152 | |||||||
|
Class R
|
895,441 | |||||||
|
Total Net Assets
|
$ | 1,361,211,623 | ||||||
|
Shares outstanding $0.001 par value (unlimited shares
authorized):
|
||||||||
|
Class A
|
53,006,381 | |||||||
|
Class B
|
— | |||||||
|
Class C
|
8,634,138 | |||||||
|
Institutional
|
84,203,961 | |||||||
|
Service
|
— | |||||||
|
Class IR
|
559,402 | |||||||
|
Class R
|
97,340 | |||||||
|
Net asset value, offering and redemption price per
share:(b)
|
||||||||
|
Class A
|
$9.25 | |||||||
|
Class B
|
— | |||||||
|
Class C
|
9.08 | |||||||
|
Institutional
|
9.34 | |||||||
|
Service
|
— | |||||||
|
Class IR
|
9.31 | |||||||
|
Class R
|
9.20 | |||||||
| (a) | Statement of Assets and Liabilities for Commodity Strategy Fund is consolidated and includes the balances of Goldman Sachs Cayman Commodity Fund, Ltd. (wholly-owned subsidiary). Accordingly, all interfund balances have been eliminated. |
| (b) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the Absolute Return Tracker, Dynamic Allocation, International Real Estate Securities, Real Estate Securities and Satellite Strategies and (NAV per share multiplied by 1.0471) for Commodity Strategy Fund is $9.79, $11.15, $6.69, $13.20 and $8.41 and $6.31, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
|
International |
||||||||||||||||||||||
|
Commodity |
Dynamic |
Real Estate |
Real Estate |
Satellite |
||||||||||||||||||
|
Strategy |
Allocation |
Securities |
Securities |
Strategies |
||||||||||||||||||
| Fund(a) | Fund | Fund | Fund | Portfolio | ||||||||||||||||||
| $ | 701,700,848 | $ | 159,312,793 | $ | 381,318,676 | $ | 553,838,530 | $ | — | |||||||||||||
| — | — | — | — | — | ||||||||||||||||||
| — | — | — | — | 800,208,466 | ||||||||||||||||||
| 66,953,389 | 260,366 | — | — | — | ||||||||||||||||||
| — | — | 814,301 | — | — | ||||||||||||||||||
| 1,690,609 | 1,134,092 | 153,855 | 1,032,345 | 1,837,182 | ||||||||||||||||||
| — | — | — | — | — | ||||||||||||||||||
| 67,788 | 16,215 | 32,562 | 58,403 | 51,651 | ||||||||||||||||||
| 2,496,010 | 211,717 | 1,445,384 | 2,200,517 | 5,211,355 | ||||||||||||||||||
| 5,419,743 | — | — | — | 5,830,093 | ||||||||||||||||||
| 91,449,375 | — | — | — | — | ||||||||||||||||||
|
|
— | 27,707 | — | — | — | |||||||||||||||||
| 41,270,000 | 550,000 | — | — | — | ||||||||||||||||||
| — | — | 38,021 | — | — | ||||||||||||||||||
| 51,832 | — | — | — | — | ||||||||||||||||||
| — | 14,866 | — | — | — | ||||||||||||||||||
| 59,979,247 | 13,772 | — | — | — | ||||||||||||||||||
| 971,078,841 | 161,541,528 | 383,802,799 | 557,129,795 | 813,138,747 | ||||||||||||||||||
| — | — | — | — | 6,287,785 | ||||||||||||||||||
| 3,891,200 | 464,328 | 949,768 | 2,072,069 | 811,945 | ||||||||||||||||||
| 102,765 | — | — | — | — | ||||||||||||||||||
| 415,747 | 144,378 | 388,770 | 591,449 | 275,383 | ||||||||||||||||||
| — | — | — | — | — | ||||||||||||||||||
| — | — | — | — | — | ||||||||||||||||||
| 5,457,131 | — | 49,729 | — | 5,211,355 | ||||||||||||||||||
| 116,601,055 | — | — | — | — | ||||||||||||||||||
| 37,437,577 | — | — | — | — | ||||||||||||||||||
| 275,063 | 626,738 | — | — | — | ||||||||||||||||||
| 549,970 | — | — | — | — | ||||||||||||||||||
| 209,967 | 100,847 | 142,658 | 123,269 | 133,501 | ||||||||||||||||||
| 164,940,475 | 1,336,291 | 1,530,925 | 2,786,787 | 12,719,969 | ||||||||||||||||||
| 875,204,685 | 154,633,222 | 949,895,386 | 605,393,131 | 801,169,560 | ||||||||||||||||||
| (44,911,530 | ) | 215,544 | (22,832,183 | ) | 866,696 | 763,109 | ||||||||||||||||
| (83,852,768 | ) | 1,092,822 | (623,678,760 | ) | (197,931,497 | ) | (86,801,577 | ) | ||||||||||||||
| 59,697,979 | 4,263,649 | 78,887,431 | 146,014,678 | 85,287,686 | ||||||||||||||||||
| $ | 806,138,366 | $ | 160,205,237 | $ | 382,271,874 | $ | 554,343,008 | $ | 800,418,778 | |||||||||||||
| $ | 145,288,356 | $ | 43,222,325 | $ | 140,955,169 | $ | 161,064,707 | $ | 212,885,972 | |||||||||||||
| — | — | — | 2,923,410 | — | ||||||||||||||||||
| 11,455,284 | 8,566,989 | 3,157,491 | 10,906,777 | 101,615,126 | ||||||||||||||||||
| 641,978,126 | 84,928,124 | 238,149,252 | 373,776,045 | 442,808,318 | ||||||||||||||||||
| — | — | — | 5,345,166 | 22,400,875 | ||||||||||||||||||
| 6,957,284 | 23,477,093 | 9,962 | 90,150 | 19,947,416 | ||||||||||||||||||
| 459,316 | 10,706 | — | 236,753 | 761,071 | ||||||||||||||||||
| $ | 806,138,366 | $ | 160,205,237 | $ | 382,271,874 | $ | 554,343,008 | $ | 800,418,778 | |||||||||||||
| 24,077,261 | 4,100,728 | 22,292,277 | 12,914,598 | 26,771,492 | ||||||||||||||||||
| — | — | — | 234,905 | — | ||||||||||||||||||
| 1,924,072 | 818,442 | 498,390 | 889,776 | 12,837,835 | ||||||||||||||||||
| 106,317,010 | 8,022,433 | 38,384,925 | 29,606,180 | 55,747,793 | ||||||||||||||||||
| — | — | — | 425,903 | 2,827,627 | ||||||||||||||||||
| 1,150,185 | 2,221,206 | 1,581 | 7,212 | 2,510,969 | ||||||||||||||||||
| 76,444 | 1,018 | — | 19,033 | 96,000 | ||||||||||||||||||
| $6.03 | $10.54 | $6.32 | $12.47 | $7.95 | ||||||||||||||||||
| — | — | — | 12.45 | — | ||||||||||||||||||
| 5.95 | 10.47 | 6.34 | 12.26 | 7.92 | ||||||||||||||||||
| 6.04 | 10.59 | 6.20 | 12.62 | 7.94 | ||||||||||||||||||
| — | — | — | 12.55 | 7.92 | ||||||||||||||||||
| 6.05 | 10.57 | 6.30 | 12.50 | 7.94 | ||||||||||||||||||
| 6.01 | 10.52 | — | 12.44 | 7.93 | ||||||||||||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Statements of Operations
For the Fiscal Year Ended
December 31, 2010
|
Absolute |
||||||
|
Return Tracker |
||||||
| Fund | ||||||
|
Investment
income:
|
||||||
|
Interest
|
$ | 1,448,568 | ||||
|
Dividends from unaffiliated issuers (net of foreign taxes
withheld of $0, $0, $0, $729,174, $0 and $0, respectively)
|
751,708 | |||||
|
Dividends from affiliated underlying funds
|
— | |||||
|
Securities lending income — affiliated issuer
|
— | |||||
|
Total
investment income
|
2,200,276 | |||||
|
Expenses:
|
||||||
|
Management fees
|
11,744,628 | |||||
|
Distribution and Service
fees(c)
|
1,689,651 | |||||
|
Transfer Agent
fees(c)
|
1,113,331 | |||||
|
Printing and mailing costs
|
201,997 | |||||
|
Professional fees
|
114,743 | |||||
|
Registration fees
|
97,729 | |||||
|
Custody and accounting fees
|
59,159 | |||||
|
Trustee fees
|
17,022 | |||||
|
Amortization of offering costs
|
— | |||||
|
Service share fees — Service Plan
|
— | |||||
|
Service share fees — Shareholder Administration Plan
|
— | |||||
|
Interest expense on securities sold short
|
— | |||||
|
Dividend expense on securities sold short
|
— | |||||
|
Other
|
13,785 | |||||
|
Total
expenses
|
15,052,045 | |||||
|
Less — expense reductions
|
(360,039 | ) | ||||
|
Net
expenses
|
14,692,006 | |||||
|
NET
INVESTMENT INCOME (LOSS)
|
(12,491,730 | ) | ||||
|
Realized
and unrealized gain (loss) from investment, futures, securities
sold short, swap and foreign currency related
transactions:
|
||||||
|
Net realized gain (loss) from:
|
||||||
|
Investment transactions — unaffiliated issuers
|
8,489,684 | |||||
|
Investment transactions — affiliated underlying funds
|
— | |||||
|
Securities lending reinvestment vehicle transactions — affiliated issuer
|
— | |||||
|
Futures transactions
|
8,856,124 | |||||
|
Swap contracts
|
— | |||||
|
Capital gain distributions from affiliated underlying funds
|
— | |||||
|
Securities sold short
|
— | |||||
|
Foreign currency related transactions (includes $1,493,565 of gains on forward foreign currency exchange contracts for the Absolute Return Tracker Fund)
|
1,170,832 | |||||
|
Net change in unrealized gain (loss) on:
|
||||||
|
Investments — unaffiliated issuers
|
17,692,712 | |||||
|
Investments — affiliated underlying funds
|
— | |||||
|
Securities lending reinvestment vehicle — affiliated issuer
|
— | |||||
|
Futures
|
12,574,239 | |||||
|
Swap contracts
|
— | |||||
|
Translation of asset and liabilities denominated in foreign currencies (includes $2,434,103 of unrealized gains on forward foreign currency exchange contracts for the Absolute Return Tracker Fund)
|
2,438,493 | |||||
|
Net
realized and unrealized gain from investment, futures,
securities sold short, swap and foreign currency related
transactions
|
51,222,084 | |||||
|
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$ | 38,730,354 | ||||
| (a) | Statement of Operations for Commodity Strategy Fund is consolidated and includes the balances of Goldman Sachs Cayman Commodity Fund, Ltd. (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. | |
| (b) | Commenced operations on January 5, 2010. | |
| (c) | 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 R
|
Class A
|
Class B
|
Class C
|
Institutional
|
Service
|
Class
IR
|
Class R
|
|||||||||||||||||||||||||||||||||
|
Absolute Return Tracker
|
$ | 981,140 | $ | — | $ | 705,244 | $ | 3,267 | $ | 745,671 | $ | — | $ | 133,997 | $ | 224,744 | $ | — | $ | 7,677 | $ | 1,242 | ||||||||||||||||||||||
|
Commodity Strategy
|
302,657 | — | 71,988 | 1,429 | 157,380 | — | 9,358 | 207,139 | — | 3,364 | 372 | |||||||||||||||||||||||||||||||||
|
Dynamic Allocation
|
26,838 | — | 17,926 | 50 | 20,397 | — | 3,406 | 16,891 | — | 17,771 | 19 | |||||||||||||||||||||||||||||||||
|
International Real Estate Securities
|
327,109 | — | 34,501 | — | 248,605 | — | 6,555 | 83,437 | — | 12 | — | |||||||||||||||||||||||||||||||||
|
Real Estate Securities
|
381,549 | 35,526 | 93,497 | 882 | 290,975 | 6,757 | 17,779 | 165,406 | 2,128 | 70 | 336 | |||||||||||||||||||||||||||||||||
|
Satellite Strategies Portfolio
|
413,534 | — | 743,161 | 2,446 | 314,286 | — | 141,200 | 131,324 | 6,276 | 27,990 | 930 | |||||||||||||||||||||||||||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
|
International |
Satellite |
|||||||||||||||||||
|
Commodity |
Dynamic |
Real Estate |
Real Estate |
Strategies |
||||||||||||||||
| Strategy Fund(a) | Allocation Fund(b) | Securities Fund | Securities Fund | Portfolio | ||||||||||||||||
| $ | 3,543,632 | $ | 352,253 | $ | — | $ | — | $ | 615 | |||||||||||
| 165,733 | 220,322 | 18,156,761 | 13,920,419 | — | ||||||||||||||||
| — | — | — | — | 38,622,836 | ||||||||||||||||
| — | — | 29,824 | 12,954 | — | ||||||||||||||||
| 3,709,365 | 572,575 | 18,186,585 | 13,933,373 | 38,623,451 | ||||||||||||||||
| 3,244,890 | 577,065 | 3,600,363 | 5,851,040 | 742,698 | ||||||||||||||||
| 376,074 | 44,814 | 361,610 | 511,454 | 1,159,141 | ||||||||||||||||
| 377,613 | 58,484 | 338,609 | 483,451 | 622,006 | ||||||||||||||||
| 163,695 | 30,018 | 109,862 | 116,850 | 127,158 | ||||||||||||||||
| 176,695 | 134,063 | 89,883 | 86,868 | 62,725 | ||||||||||||||||
| 109,819 | 47,673 | 53,716 | 98,316 | 106,155 | ||||||||||||||||
| 127,641 | 15,824 | 183,184 | 50,068 | 44,581 | ||||||||||||||||
| 16,068 | 14,797 | 15,372 | 15,916 | 16,007 | ||||||||||||||||
| — | 248,883 | — | — | — | ||||||||||||||||
| — | — | — | 13,279 | 39,224 | ||||||||||||||||
| — | — | — | 13,279 | 39,224 | ||||||||||||||||
| — | 8,771 | — | — | — | ||||||||||||||||
| — | 3,504 | — | — | — | ||||||||||||||||
| 16,070 | 8,187 | 3,735 | 6,410 | 17,213 | ||||||||||||||||
| 4,608,565 | 1,192,083 | 4,756,334 | 7,246,931 | 2,976,132 | ||||||||||||||||
| (319,100 | ) | (464,616 | ) | (304,805 | ) | (354,608 | ) | (313,943 | ) | |||||||||||
| 4,289,465 | 727,467 | 4,451,529 | 6,892,323 | 2,662,189 | ||||||||||||||||
| (580,100 | ) | (154,892 | ) | 13,735,056 | 7,041,050 | 35,961,262 | ||||||||||||||
| 31,829,892 | 158,691 | 3,731,559 | 63,065,461 | — | ||||||||||||||||
| — | — | — | — | 9,830,169 | ||||||||||||||||
| — | — | 24,948 | 215,392 | — | ||||||||||||||||
| (2,671,564 | ) | 4,062,361 | — | — | — | |||||||||||||||
| 17,815,611 | 8,827 | — | — | — | ||||||||||||||||
| — | — | — | — | 1,211,234 | ||||||||||||||||
| — | 21,722 | — | — | — | ||||||||||||||||
| — | (12,120 | ) | 12,838 | — | — | |||||||||||||||
| (31,212,378 | ) | 5,143,280 | 24,169,317 | 68,702,916 | — | |||||||||||||||
| — | — | — | — | 39,110,106 | ||||||||||||||||
| — | — | (26,213 | ) | (238,041 | ) | — | ||||||||||||||
| (1,107,224 | ) | (752,141 | ) | — | — | — | ||||||||||||||
| 57,465,111 | (151,338 | ) | — | — | — | |||||||||||||||
| — | 23,848 | (144,344 | ) | — | — | |||||||||||||||
| 72,119,448 | 8,503,130 | 27,768,105 | 131,745,728 | 50,151,509 | ||||||||||||||||
| $ | 71,539,348 | $ | 8,348,238 | $ | 41,503,161 | $ | 138,786,778 | $ | 86,112,771 | |||||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Statements of Changes in Net Assets
| Absolute Return Tracker Fund | Commodity Strategy Fund(a) | |||||||||||||||||
|
For the |
For the |
For the |
For the |
|||||||||||||||
|
Fiscal Year
Ended |
Fiscal Year
Ended |
Fiscal Year
Ended |
Fiscal Year
Ended |
|||||||||||||||
| December 31, 2010 | December 31, 2009 | December 31, 2010 | December 31, 2009 | |||||||||||||||
|
From
operations:
|
||||||||||||||||||
|
Net investment income (loss)
|
$ | (12,491,730 | ) | $ | (3,758,661 | ) | $ | (580,100 | ) | $ | 2,175,079 | |||||||
|
Net realized gain (loss) from investment, futures, securities
sold short, swap and foreign currency related transactions
|
18,516,640 | 19,703,911 | 46,973,939 | 30,017,278 | ||||||||||||||
|
Net change in unrealized gain on investments, futures, swaps and
translation of assets and liabilities denominated in foreign
currencies
|
32,705,444 | 1,536,235 | 25,145,509 | 39,284,120 | ||||||||||||||
|
Net
increase in net assets
resulting
from operations
|
38,730,354 | 17,481,485 | 71,539,348 | 71,476,477 | ||||||||||||||
|
Distributions to
shareholders:
|
||||||||||||||||||
|
From net investment income
|
||||||||||||||||||
|
Class A Shares
|
— | (189,725 | ) | (14,274,120 | ) | (2,258,770 | ) | |||||||||||
|
Class B Shares
|
— | — | — | — | ||||||||||||||
|
Class C Shares
|
— | — | (1,027,390 | ) | (102,253 | ) | ||||||||||||
|
Institutional Shares
|
— | (711,107 | ) | (63,002,437 | ) | (10,711,594 | ) | |||||||||||
|
Service Shares
|
— | — | — | — | ||||||||||||||
|
Class IR Shares
|
— | (3,601 | ) | (573,610 | ) | (1,383 | ) | |||||||||||
|
Class R Shares
|
— | — | (39,635 | ) | (2,079 | ) | ||||||||||||
|
From net realized gains
|
||||||||||||||||||
|
Class A Shares
|
(2,895,763 | ) | (257,476 | ) | — | — | ||||||||||||
|
Class C Shares
|
(492,996 | ) | (38,262 | ) | — | — | ||||||||||||
|
Institutional Shares
|
(4,596,410 | ) | (238,355 | ) | — | — | ||||||||||||
|
Class IR Shares
|
(34,395 | ) | (1,432 | ) | — | — | ||||||||||||
|
Class R Shares
|
(5,280 | ) | (27 | ) | — | — | ||||||||||||
|
From capital
|
||||||||||||||||||
|
Class A Shares
|
— | — | — | — | ||||||||||||||
|
Class C Shares
|
— | — | — | — | ||||||||||||||
|
Institutional Shares
|
— | — | — | — | ||||||||||||||
|
Class IR Shares
|
— | — | — | — | ||||||||||||||
|
Total
distributions to shareholders
|
(8,024,844 | ) | (1,439,985 | ) | (78,917,192 | ) | (13,076,079 | ) | ||||||||||
|
From share
transactions:
|
||||||||||||||||||
|
Proceeds from sales of shares
|
1,308,474,174 | 666,399,274 | 390,513,408 | 462,145,498 | ||||||||||||||
|
Reinvestment of distributions
|
5,685,036 | 1,023,297 | 69,003,196 | 11,710,757 | ||||||||||||||
|
Cost of shares redeemed
|
(660,831,606 | )(c) | (124,091,159 | )(d) | (238,848,507 | )(c) | (109,390,838 | )(d) | ||||||||||
|
Net
increase (decrease) in net assets resulting from share
transactions
|
653,327,604 | 543,331,412 | 220,668,097 | 364,465,417 | ||||||||||||||
|
TOTAL
INCREASE
|
684,033,114 | 559,372,912 | 213,290,253 | 422,865,815 | ||||||||||||||
|
Net
assets:
|
||||||||||||||||||
|
Beginning of year
|
677,178,509 | 117,805,597 | 592,848,113 | 169,982,298 | ||||||||||||||
|
End of year
|
$ | 1,361,211,623 | $ | 677,178,509 | $ | 806,138,366 | $ | 592,848,113 | ||||||||||
|
Accumulated
undistributed (distributions in excess of) net investment income
(loss)
|
$ | (3,624,417 | ) | $ | 163,555 | $ | (44,911,530 | ) | $ | 16,005,904 | ||||||||
| (a) | Statement of Changes in Net Assets for Commodity Strategy Fund is consolidated and includes the balances of Goldman Sachs Cayman Commodity Fund, Ltd. (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. |
| (b) | Commenced operations on January 5, 2010. |
| (c) | Net of $77,374, $19,024 and $3,199 of redemption fees remitted to the Absolute Return Tracker, Commodity Strategy and International Real Estate Securities Funds, respectively. |
| (d) | Net of $78,902, $23,330 and $3,186 of redemption fees remitted to the Absolute Return Tracker, Commodity Strategy and International Real Estate Securities Funds, respectively. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
| Dynamic Allocation Fund | International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||||||||
|
For the |
For the |
For the |
For the |
For the |
||||||||||||||||
|
Period Ended |
Fiscal Year
Ended |
Fiscal Year
Ended |
Fiscal Year
Ended |
Fiscal Year
Ended |
||||||||||||||||
| December 31, 2010(b) | December 31, 2010 | December 31, 2009 | December 31, 2010 | December 31, 2009 | ||||||||||||||||
| $ | (154,892 | ) | $ | 13,735,056 | $ | 7,772,050 | $ | 7,041,050 | $ | 11,349,899 | ||||||||||
| 4,239,481 | 3,769,345 | (117,817,961 | ) | 63,280,853 | (147,116,054 | ) | ||||||||||||||
| 4,263,649 | 23,998,760 | 190,050,345 | 68,464,875 | 236,912,586 | ||||||||||||||||
| 8,348,238 | 41,503,161 | 80,004,434 | 138,786,778 | 101,146,431 | ||||||||||||||||
| — | (9,055,756 | ) | (15,607,487 | ) | (2,737,164 | ) | (2,901,807 | ) | ||||||||||||
| — | — | — | (42,781 | ) | (80,521 | ) | ||||||||||||||
| — | (169,035 | ) | (496,946 | ) | (115,188 | ) | (149,639 | ) | ||||||||||||
| — | (16,549,686 | ) | (26,532,137 | ) | (8,502,338 | ) | (7,780,745 | ) | ||||||||||||
| — | — | — | (91,110 | ) | (113,986 | ) | ||||||||||||||
| — | (559 | ) | (741 | ) | (580 | ) | (164 | ) | ||||||||||||
| — | — | — | (2,659 | ) | (2,130 | ) | ||||||||||||||
| (666,661 | ) | — | — | — | — | |||||||||||||||
| (130,129 | ) | — | — | — | — | |||||||||||||||
| (1,357,506 | ) | — | — | — | — | |||||||||||||||
| (402,682 | ) | — | — | — | — | |||||||||||||||
| (187 | ) | — | — | — | — | |||||||||||||||
| — | — | (372,527 | ) | — | — | |||||||||||||||
| — | — | (11,861 | ) | — | — | |||||||||||||||
| — | — | (633,281 | ) | — | — | |||||||||||||||
| — | — | (18 | ) | — | — | |||||||||||||||
| (2,557,165 | ) | (25,775,036 | ) | (43,654,998 | ) | (11,491,820 | ) | (11,028,992 | ) | |||||||||||
| 199,847,451 | 109,361,043 | 108,674,872 | 194,803,609 | 172,840,566 | ||||||||||||||||
| 1,583,487 | 22,250,360 | 37,310,316 | 10,710,436 | 10,043,617 | ||||||||||||||||
| (47,016,774 | ) | (104,840,335 | )(c) | (137,948,046 | )(d) | (290,861,663 | ) | (154,508,448 | ) | |||||||||||
| 154,414,164 | 26,771,068 | 8,037,142 | (85,347,618 | ) | 28,375,735 | |||||||||||||||
| 160,205,237 | 42,499,193 | 44,386,578 | 41,947,340 | 118,493,174 | ||||||||||||||||
| — | 339,772,681 | 295,386,103 | 512,395,668 | 393,902,494 | ||||||||||||||||
| $ | 160,205,237 | $ | 382,271,874 | $ | 339,772,681 | $ | 554,343,008 | $ | 512,395,668 | |||||||||||
| $ | 215,544 | $ | (22,832,183 | ) | $ | (19,797,637 | ) | $ | 866,696 | $ | 2,001,761 | |||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Statements of Changes in Net Assets
| Satellite Strategies Portfolio | ||||||||||
|
For the Fiscal |
For the Fiscal |
|||||||||
|
Year Ended |
Year Ended |
|||||||||
| December 31, 2010 | December 31, 2009 | |||||||||
|
From
operations:
|
||||||||||
|
Net investment income
|
$ | 35,961,262 | $ | 14,803,776 | ||||||
|
Net realized gain (loss) from investment transactions and
capital gain distributions from Affiliated Underlying Funds
|
11,041,403 | (71,078,398 | ) | |||||||
|
Net change in unrealized gain on Affiliated Underlying Funds
|
39,110,106 | 138,582,583 | ||||||||
|
Net
increase in net assets resulting from operations
|
86,112,771 | 82,307,961 | ||||||||
|
Distributions to
shareholders:
|
||||||||||
|
From net investment income
|
||||||||||
|
Class A Shares
|
(9,836,151 | ) | (4,169,587 | ) | ||||||
|
Class C Shares
|
(4,035,693 | ) | (1,376,966 | ) | ||||||
|
Institutional Shares
|
(21,325,019 | ) | (7,973,506 | ) | ||||||
|
Service Shares
|
(982,725 | ) | (293,934 | ) | ||||||
|
Class IR Shares
|
(956,154 | ) | (129,609 | ) | ||||||
|
Class R Shares
|
(32,581 | ) | (4,095 | ) | ||||||
|
From net realized gains
|
||||||||||
|
Class A Shares
|
— | (270,138 | ) | |||||||
|
Class C Shares
|
— | (102,757 | ) | |||||||
|
Institutional Shares
|
— | (490,124 | ) | |||||||
|
Service Shares
|
— | (23,205 | ) | |||||||
|
Class IR Shares
|
— | (11,194 | ) | |||||||
|
Class R Shares
|
— | (329 | ) | |||||||
|
Total
distributions to shareholders
|
(37,168,323 | ) | (14,845,444 | ) | ||||||
|
From share
transactions:
|
||||||||||
|
Proceeds from sales of shares
|
464,907,615 | 290,274,944 | ||||||||
|
Reinvestment of distributions
|
24,524,101 | 9,616,786 | ||||||||
|
Cost of shares redeemed
|
(181,090,384 | ) | (63,448,926 | ) | ||||||
|
Net
increase in net assets resulting from share
transactions
|
308,341,332 | 236,442,804 | ||||||||
|
TOTAL
INCREASE
|
357,285,780 | 303,905,321 | ||||||||
|
Net
assets:
|
||||||||||
|
Beginning of year
|
443,132,998 | 139,227,677 | ||||||||
|
End of year
|
$ | 800,418,778 | $ | 443,132,998 | ||||||
|
Accumulated
undistributed net investment income
|
$ | 763,109 | $ | 870,816 | ||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial Statements
December 31,
2010
1. ORGANIZATION
Goldman Sachs Trust (the “Trust”) is a Delaware
statutory trust registered under the Investment Company Act of
1940, as amended (the “Act”), as an open-end
management investment company. The following table lists those
series of the Trust that are included in this report
(collectively, the “Funds” or individually a
“Fund”), along with their corresponding share classes
and respective diversification status under the Act:
|
Diversified/ |
||||
| Fund | Share Classes Offered(1) | Non-diversified | ||
|
Absolute Return Tracker, Commodity Strategy and Dynamic
Allocation(2)
|
A, C, Institutional, IR and R | Non-diversified | ||
|
International Real Estate Securities
|
A, C, Institutional and IR | Non-diversified | ||
|
Real Estate Securities
|
A, B, C, Institutional, Service, IR and R | Non-diversified | ||
|
Satellite Strategies
|
A, C, Institutional, Service, IR, R | Diversified | ||
(1) Effective November 2, 2009, Class B Shares
are no longer available for purchase by new or existing
shareholders except under certain circumstances.
(2) Fund commenced operations on January 5, 2010.
Class A Shares of the Absolute Return Tracker, Dynamic
Allocation, International Real Estate Securities and Real Estate
Securities Funds and Satellite Strategies Portfolio are sold
with a front-end sales charge of up to 5.50%. Class A
Shares of Commodity Strategy Fund are sold with a front-end
sales charge of up to 4.50%. Class B Shares were sold with
a contingent deferred sales charge that declines from 5.00% to
zero, depending upon the period of time the shares are held.
Class C Shares are sold with a contingent deferred sales
charge of 1.00% during the first 12 months. Institutional,
Service, Class IR and Class R Shares are not subject
to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an
affiliate of Goldman, Sachs & Co. (“Goldman
Sachs”), serves as investment adviser to each Fund pursuant
to management agreements (the “Agreements”) with the
Trust.
The Satellite Strategies Portfolio is expected to invest
primarily in a combination of domestic and international equity
and fixed income underlying funds (“Underlying Funds”)
which are registered under the Act, for which GSAM and Goldman
Sachs Asset Management International (“GSAMI”),
affiliates of Goldman Sachs, act as investment advisers.
2. BASIS FOR
CONSOLIDATION FOR THE COMMODITY STRATEGY FUND
Goldman Sachs Cayman Commodity Fund, Ltd. (the
“Subsidiary”), a Cayman Islands exempted company, was
incorporated on April 2, 2009 and is currently a
wholly-owned subsidiary of the Commodity Strategy Fund. The
Subsidiary acts as an investment vehicle for the Fund to enable
the Fund to gain exposure to certain types of commodity-linked
derivative instruments. The Fund is the sole shareholder of the
Subsidiary pursuant to a subscription agreement dated as of
June 17, 2009, and it is intended that the Fund will remain
the sole shareholder and will continue to control the
Subsidiary. Under the Articles of Association of the Subsidiary,
shares issued by the Subsidiary confer upon a shareholder the
right to vote at general meetings of the Subsidiary and certain
rights in connection with any
winding-up
or repayment of capital, as well as the right to participate in
the profits or assets of the Subsidiary. All inter-fund balances
and transactions have been eliminated in consolidation. As of
December 31, 2010, the Fund’s net assets were
approximately $806,138,000, of which approximately $166,000,000
or approximately 21%, represented the Fund’s ownership of
the shares of the Subsidiary.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
3. SIGNIFICANT
ACCOUNTING POLICIES
The following is a summary of the significant accounting
policies consistently followed by the Funds. The preparation of
financial statements in conformity with accounting principles
generally accepted in the United States of America
(“GAAP”) requires management to make estimates and
assumptions that may affect the amounts and disclosures in the
financial statements. Actual results could differ from those
estimates and assumptions.
A. Investment
Valuation — The investment valuation policy
of the Funds (as well as the Underlying Funds of the Satellite
Strategies Portfolio) is to value investments at market value.
Investments in equity securities and investment companies traded
on a foreign securities exchange are valued daily at fair value
determined by an independent fair value service (if available)
under valuation procedures approved by the trustees and
consistent with applicable regulatory guidance. The independent
fair value service takes into account multiple factors
including, but not limited to, movements in the United States
(“U.S.”) securities markets, certain depositary
receipts, futures contracts and foreign currency exchange rates
that have occurred subsequent to the close of the foreign
securities exchanges. While the independent fair value service
may not take into account market or security specific
information, under the valuation procedures, these securities
might also be fair valued by GSAM or GSAMI by taking into
consideration market or security specific information as
discussed below.
Investments in equity securities and investment companies traded
on a U.S. securities exchange or the NASDAQ system are valued
daily at their last sale price or official closing price on the
principal exchange or system on which they are traded.
Investments in equity securities and investment companies traded
on a foreign securities exchange for which an independent fair
value service cannot provide a quote are valued daily at their
last sale price or official closing price on the principal
exchange on which they are traded. If no sale occurs, such
securities and investment companies are valued at the last bid
price for long positions and at the last ask price for short
positions. Investments in Underlying Funds and other investment
companies (other than those that are exchange traded) are valued
at the net asset value per share (“NAV”) of the
applicable Share class of each Underlying Fund and investment
company on the day of valuation. Because the Satellite
Strategies Portfolio invests primarily in other mutual funds
that fluctuate in value, the Fund’s shares will
correspondingly fluctuate in value. The Funds and Underlying
Funds may invest in debt securities which, if market quotations
are readily available, are valued on the basis of quotations
furnished by an independent pricing service approved by the
trustees or provided by securities dealers. The pricing services
may use valuation models or matrix pricing, which consider:
(i) yield or price with respect to bonds that are
considered comparable in characteristics such as rating,
interest rate and maturity date or (ii) quotations from
bond dealers to determine current value. If accurate quotations
are not readily available, or if GSAM or GSAMI believes that
such quotations do not accurately reflect fair value, the fair
value of the Funds’ (and Underlying Funds’)
investments may be determined based on yield equivalents, a
pricing matrix or other sources under valuation procedures
established by the trustees. Unlisted equity securities for
which market quotations are available are valued at the last
sale price on the valuation date, or if no sale occurs, at the
last bid price. In the absence of market quotations, broker
quotes will be utilized or the security will be fair valued.
Short-term debt obligations that mature in sixty days or less
and that do not exhibit signs of credit deterioration are valued
at amortized cost, which approximates market value.
GSAM or GSAMI, consistent with its procedures and applicable
regulatory guidance, may make an adjustment to the previous
closing prices of either domestic or foreign securities in light
of significant events to reflect what it believes to be the fair
value of the securities at the time of determining the
Funds’ (and Underlying Funds’) NAV. Significant events
that could affect a large number of securities in a particular
market may include, but are not limited to: situations relating
to one or more single issuers in a market sector; significant
fluctuations in U.S. or foreign markets; market dislocations;
market disruptions or market closings; equipment failures;
natural or man-made disasters or acts of God; armed conflicts;
government actions or other developments; as well as the same or
similar events which may affect specific issuers or the
securities markets even though not tied directly to the
securities markets. Other significant events that could relate
to a single issuer may include, but are not limited to:
corporate actions such as reorganizations, mergers and buy-outs;
corporate announcements, including those relating to earnings,
products and regulatory news; significant litigation; low
trading volume; and trading limits or suspensions.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
| 3. SIGNIFICANT ACCOUNTING POLICIES (continued) |
B. Security
and Fund Share Transactions, and Investment
Income — Security and Fund share
transactions, as well as purchases and sales of the Underlying
Funds, are reflected for financial reporting purposes as of the
trade date, which may cause the NAV as stated in the
accompanying financial statements to be different than the NAV
applied to Fund share transactions. Realized gains and losses on
sales of portfolio securities and sales of Underlying Funds are
calculated using the identified cost basis. Dividend income from
securities and dividend income, capital gains and return of
capital distributions from Underlying Funds, are recognized on
the ex-dividend date, net of foreign withholding taxes, if any,
which are reduced by any amounts reclaimable by the Funds, where
applicable. Interest income from securities is recorded on the
basis of interest accrued, premium amortized and discount
accreted. Realized gains and losses resulting from principal
paydowns on mortgage-backed and asset-backed securities are
included in interest income. Market discounts, original issue
discount (“OID”) and market premiums on debt
securities are accreted/amortized to interest income over the
life of the security with a corresponding adjustment in the cost
basis of that security. In addition, it is the Funds’
policy to accrue for foreign capital gains taxes, if applicable,
on certain foreign securities held by the Funds. An estimated
foreign capital gains tax is recorded daily on net unrealized
gains on these securities and is payable upon the sale of such
securities when a gain is realized.
Investment income and unrealized and realized gains or losses
are allocated daily to each class of shares of the respective
Fund based upon the relative proportion of net assets of each
class.
In addition, distributions received from the Funds’ and the
Underlying Funds’ investments in U.S. real estate
investment trusts (“REITs”) often include a
“return of capital”, which is recorded by the Funds
and the Underlying Funds as a reduction of the cost basis of the
securities held. The Internal Revenue Code of 1986, as amended
(the “Code”) requires a REIT to distribute at least
95% of its taxable income to investors. In many cases, however,
because of “non-cash” expenses such as property
depreciation, a REIT’s cash flow will exceed its taxable
income. The REIT may distribute this excess cash to offer a more
competitive yield. This portion of the Funds’ and the
Underlying Funds’ distributions is deemed a return of
capital and is generally not taxable to shareholders.
C. Expenses —
Expenses incurred by the Trust that do not
specifically relate to an individual Fund of the Trust are
allocated to the Funds on a straight-line
and/or
pro-rata basis depending upon the nature of the expense and are
accrued daily.
Expenses included in the accompanying financial statements
reflect the expenses of the Funds and do not include any
expenses associated with the Underlying Funds of the Satellite
Strategies Portfolio. Because the Underlying Funds of the
Satellite Strategies Portfolio have varied expense and fee
levels and the Fund may own different proportions of Underlying
Funds at different times, the amount of fees and expenses
incurred indirectly by the Fund will vary.
D. Offering
Costs — Offering costs paid in connection
with the offering of shares of the Dynamic Allocation Fund have
been amortized on a straight line basis over 12 months from
the date of commencement of operations.
E. Redemption Fees —
Prior to October 1, 2010, all classes of the
Absolute Return Tracker, Commodity Strategy and International
Real Estate Securities Funds charged a 2% redemption fee on the
redemption of shares (including by exchange) held for 30
calendar days or less. For this purpose, the Funds used a
first-in
first-out method so that shares held longest were treated as
being redeemed first and shares held shortest were treated as
being redeemed last. Redemption fees were reimbursed to a Fund
and were reflected as a reduction in share redemptions.
Redemption fees were credited to Paid-in capital and were
allocated to each share class of a Fund on a pro-rata basis at
the time of payment. Effective October 1, 2010, the
redemption fee for each Fund was eliminated.
F. Federal
Taxes and Distributions to Shareholders —
It is each Fund’s policy to comply with the
requirements of the Code applicable to regulated investment
companies (mutual funds) and to distribute each year
substantially all of its investment company taxable income and
capital gains to its shareholders. Accordingly, the Funds are
not required to make
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
| 3. SIGNIFICANT ACCOUNTING POLICIES (continued) |
any provisions for the payment of federal income tax.
Distributions to shareholders are recorded on the ex-dividend
date. Income and capital gains distributions, if any, are
declared and paid according to the following schedule:
|
Income
Distributions |
Capital Gains
Distributions |
|||
| Fund | Declared/Paid | Declared/Paid | ||
|
Absolute Return Tracker and Dynamic Allocation
|
Annually | Annually | ||
|
Commodity Strategy, Real Estate Securities and Satellite
Strategies
|
Quarterly | Annually | ||
|
International Real Estate Securities
|
Semi-Annually | Annually | ||
Net capital losses are carried forward to future fiscal years
and may be used to the extent allowed by the Code to offset any
future capital gains. Utilization of capital loss carryforwards
will reduce the requirement of future capital gains
distributions.
The Subsidiary is classified as a controlled foreign corporation
under the Code. Therefore, the Commodity Strategy Fund is
required to increase its taxable income by its share of the
Subsidiary’s income. Net losses of the Subsidiary cannot be
deducted by the Fund in the current period nor carried forward
to offset taxable income in future periods.
The characterization of distributions to shareholders for
financial reporting purposes is determined in accordance with
federal income tax rules, which may differ from GAAP. The source
of each Fund’s distributions may be shown in the
accompanying financial statements as either from net investment
income, net realized gain or capital. The Funds’ capital
accounts on the Statements of Assets and Liabilities reflect
permanent GAAP/tax differences based on the appropriate tax
character.
G. Commodity
Index-Linked Structured Notes — The
Absolute Return Tracker, Commodity Strategy and Dynamic
Allocation Funds and certain Underlying Funds of the Satellite
Strategies Portfolio may invest in structured notes whose values
are based on the price movements of a commodity index. These
commodity index-linked structured notes are valued daily by the
issuing counterparties under procedures approved by the
trustees. The value of these notes will rise and fall in
response to changes in the underlying commodity or related index
or investment. These notes are often leveraged, increasing the
volatility of each note’s value relative to the change in
the underlying linked index. Commodity index-linked investments
may be more volatile and less liquid than the underlying index
and their value may be affected by the performance of
commodities as well as other factors including liquidity,
quality, maturity and other economic variables. These notes are
subject to prepayment, credit and interest rate risks. These
notes have an automatic redemption feature if the underlying
index declines from the entrance date by the amount specified in
the agreement. The Funds have the option to request prepayment
from the issuer at any time. Interim payments received are
recorded as net realized gains, and at maturity, or when a
structured note is sold, the Funds record a realized gain or
loss.
H. Foreign
Currency Translations — The books and
records of the Funds are accounted for in U.S. dollars. Amounts
denominated in foreign currencies are translated into U.S.
dollars on the following basis: (i) investment valuations,
foreign currency and other assets and liabilities initially
expressed in foreign currencies are converted into U.S. dollars
based upon 4:00 p.m. Eastern Time exchange rates; and
(ii) purchases and sales of foreign investments, income and
expenses are converted into U.S. dollars based upon currency
exchange rates prevailing on the respective dates of such
transactions as of 4:00 p.m. Eastern Time.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
| 3. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Net realized and unrealized gain (loss) on foreign currency
related transactions represents: (i) foreign exchange gains
and losses from the sale and holdings of foreign currencies;
(ii) currency gains and losses between trade date and
settlement date on investment security transactions and forward
foreign currency exchange contracts; and (iii) gains and
losses from the difference between amounts of dividends,
interest and foreign withholding taxes recorded and the amounts
actually received. The effect of changes in foreign currency
exchange rates on equity securities and derivative instruments
is included with the net realized and change in unrealized gain
(loss) on investments on the Statements of Operations. The
effect of changes in foreign currency exchange rates on fixed
income securities sold during the period is included with the
net realized gain (loss) on foreign currency related
transactions, while the effect of changes in foreign currency
exchange rates on fixed income securities held at period end is
included with the net change in unrealized gain (loss) on
investments on the Statements of Operations. Net unrealized
foreign exchange gains and losses arising from changes in the
value of other assets and liabilities as a result of changes in
foreign exchange rates are included as increases and decreases
in unrealized gain (loss) on foreign currency related
transactions.
I. Forward
Foreign Currency Exchange Contracts — All
forward foreign currency exchange contracts are marked to market
daily at the applicable forward rate. Unrealized gains or losses
on forward foreign currency exchange contracts are recorded by
the Funds on a daily basis and realized gains or losses are
recorded on the settlement date of a contract.
Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their
contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar.
The contractual amounts of forward foreign currency exchange
contracts do not necessarily represent the amounts potentially
subject to risk. The measurement of the risks associated with
these instruments is meaningful only when all related and
offsetting transactions are considered. The Funds must set aside
liquid assets, or engage in other appropriate measures to cover
its obligations under these contracts.
J. Futures
Contracts — Futures contracts are valued at
the last settlement price, or in the absence of a sale, the last
bid price, at the end of each day on the board of trade or
exchange upon which they are traded. Upon entering into a
futures contract, the Funds deposit cash or securities in an
account on behalf of the broker in an amount sufficient to meet
the initial margin requirement. Subsequent payments are made or
received by the Funds equal to the daily change in the contract
value and are recorded as variation margin receivable or payable
with a corresponding offset in unrealized gains or losses. The
Funds recognize a realized gain or loss when a contract is
closed or expires.
The use of futures contracts involves, to varying degrees,
elements of market and counterparty risk which may exceed the
amounts recognized in the Statements of Assets and Liabilities.
Futures contracts may be illiquid, and exchanges may limit
fluctuations in futures contract prices during a single day.
Changes in the value of a futures contract may not directly
correlate with changes in the value of the underlying
securities. These risks may decrease the effectiveness of the
Funds’ strategies and potentially result in a loss. The
Funds must set aside liquid assets, or engage in other
appropriate measures, to cover their obligations under these
contracts.
K. Mortgage-Backed
and Asset-Backed Securities — The Commodity
Strategy, Dynamic Allocation, Real Estate Securities and
International Real Estate Securities Funds and certain
Underlying Funds of the Satellite Strategies Portfolio may
invest in mortgage-backed
and/or
asset-backed securities. Mortgage-backed securities represent
direct or indirect participations in, or are collateralized by
and payable from, mortgage loans secured by residential
and/or
commercial real property. These securities may include mortgage
pass-through securities, collateralized mortgage obligations,
real estate mortgage investment conduit pass-through or
participation certificates and stripped mortgage-backed
securities. Asset-backed securities include securities whose
principal and interest payments are collateralized by pools of
assets such as auto loans, credit card receivables, leases,
installment contracts and personal property. Asset-backed
securities also include home equity line of credit loans and
other second-lien mortgages.
The value of certain mortgage-backed and asset-backed securities
(including adjustable rate mortgage loans) may be particularly
sensitive to changes in prevailing interest rates. The value of
these securities may also fluctuate in response to the
market’s perception of the creditworthiness of the issuers.
Early repayment of principal on mortgage-backed or asset-backed
securities may expose a Fund to the risk of earning a lower rate
of return upon reinvestment of principal. Asset-
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
| 3. SIGNIFICANT ACCOUNTING POLICIES (continued) |
backed securities may present credit risks that are not
presented by mortgage-backed securities because they generally
do not have the benefit of a security interest in collateral
that is comparable to mortgage assets. Some asset-backed
securities may only have a subordinated claim on collateral. In
addition, while mortgage-backed and asset-backed securities may
be supported by some form of government or private guarantee
and/or
insurance, there is no assurance that private guarantors or
insurers, if any, will meet their obligations.
Stripped mortgage-backed securities are usually structured with
two different classes: one that receives substantially all of
the interest payments (the interest-only, or “IO”
and/or the
high coupon rate with relatively low principal amount, or
“IOette”), and the other that receives substantially
all of the principal payments (the principal-only, or
“PO”) from a pool of mortgage loans. Little to no
principal will be received at the maturity of an IO; as a
result, adjustments are made to the cost of the security on a
daily basis until maturity. These adjustments are included in
interest income. Payments received for PO’s are treated as
a proportionate reduction to the cost basis of the securities
and excess amounts are recorded as gains.
L. Mortgage
Dollar Rolls — The Absolute Return Tracker,
Commodity Strategy, Dynamic Allocation, Real Estate Securities
and International Real Estate Securities Funds and certain
Underlying Funds of the Satellite Strategies Portfolio may enter
into mortgage dollar rolls (“dollar rolls”) in which
the Fund sells securities in the current month for delivery and
simultaneously contracts with the same counterparty to
repurchase similar (same type, coupon and maturity) but not
identical securities on a specified future date. The Fund treats
dollar rolls as two separate transactions: one involving the
purchase of a security and a separate transaction involving a
sale.
During the settlement period between sale and repurchase, the
Fund will not be entitled to accrue interest and principal
payments on the securities sold. Dollar roll transactions
involve the risk that the market value of the securities sold by
the Fund may decline below the repurchase price of those
securities. In the event the buyer of the securities in a dollar
roll transaction files for bankruptcy or becomes insolvent, the
Fund’s use of proceeds from the transaction may be
restricted pending a determination by, or with respect to, the
other counterparty.
M. Repurchase
Agreements — The Absolute Return Tracker,
Commodity Strategy, Dynamic Allocation, Real Estate Securities
and International Real Estate Securities Funds and certain
Underlying Funds of the Satellite Strategies Portfolio may enter
into repurchase agreements which involve the purchase of
securities subject to the seller’s agreement to repurchase
the securities at a mutually agreed upon date and price. During
the term of a repurchase agreement, the value of the underlying
securities held as collateral on behalf of the Fund, including
accrued interest is required to exceed the value of the
repurchase agreement, including accrued interest. If the seller
defaults or becomes insolvent, realization of the collateral by
the Fund may be delayed or limited and there may be a decline in
the value of the collateral during the period while the Fund
seeks to assert its rights.
N. Short
Sales — The Absolute Return Tracker and
Dynamic Allocation Funds may engage in short selling. In these
transactions, the Funds sell a financial instrument they do not
own in anticipation of a decline in the market value of the
instrument, then must borrow the instrument to make delivery to
the buyer. The Funds are obligated to replace the financial
instrument borrowed by purchasing it at the market price at the
time of replacement. The price at such time may be more or less
than the price at which the instrument was sold by the Funds,
which may result in a loss or gain, respectively. Unlike
purchasing a financial instrument like a stock, where potential
losses are limited to the purchase price and there is no upside
limit on potential gain, short sales involve no cap on maximum
losses, while gains are limited to the price of the stock at the
time of the short sale. Liabilities for securities sold short
are reported at market value on the Statements of Assets and
Liabilities and the change in market value is recorded as
unrealized gain or loss on the Statements of Operations. The
Funds will record a realized loss if the price of the security
increases between the date of the short sale and the date on
which the Funds close the short position. The Funds will record
a realized gain if the price of the security declines between
those dates.
The Funds may, during the term of any short sale, withdraw the
cash proceeds of such short sale and use these cash proceeds to
purchase additional securities or for any other purposes of the
Fund. Because cash proceeds are Fund assets which are typically
used to satisfy the collateral requirements for the short sale,
the reinvestment of these cash proceeds may require the Funds to
post as collateral other securities that it owns. If the Funds
reinvest the cash proceeds, the Funds might
GOLDMAN
SACHS SELECT SATELLITE FUNDS
| 3. SIGNIFICANT ACCOUNTING POLICIES (continued) |
be required to post an amount greater than their net assets (but
less than their total assets) as collateral. For these or other
reasons, the Funds might be required to liquidate long and short
positions at times that may be disadvantageous to the Funds.
Cash collateral posted by the Funds is recorded as an asset on
the Statements of Assets and Liabilities. Securities segregated
as collateral are denoted in the Schedules of Investments.
Short sales involve other costs. The Funds must normally repay
to the lender an amount equal to any dividend and financing cost
that accrues while the loan is outstanding. Dividends on short
positions are recorded on the Statements of Operations as
dividend expense on securities sold short on ex-dividend date.
In addition, to borrow the security, the Funds may be required
to pay a premium. The Funds will also incur transaction costs in
effecting short sales. These costs incurred by the Funds are
recorded as interest expense on securities sold short in the
Statements of Operations. The amount of any ultimate gain for
the Funds resulting from a short sale will be decreased, and the
amount of any ultimate loss will be increased, by the amount of
premiums, dividends, interest or expenses the Funds may be
required to pay in connection with short sale.
O. Swap
Contracts — Swaps are marked to market
daily using either pricing vendor quotations, counterparty
prices or model prices and the change in value, if any, is
recorded as an unrealized gain or loss. Upfront payments made
and/or
received by the Funds are recorded as an asset
and/or
liability and realized gains or losses are recognized ratably
over the contract’s term/event, with the exception of
forward starting interest rate swaps, whose realized gains or
losses are recognized ratably from the effective start date.
Periodic payments received or made on swap contracts are
recorded as realized gains or losses. Gains or losses are
realized upon termination of a swap contract and are recorded on
the Statements of Operations.
Risks may arise as a result of the failure of the counterparty
to the swap contract to comply with the terms of the swap
contract. The loss incurred by the failure of a counterparty is
generally limited to the net payment to be received by the Funds
and/or the
termination value at the end of the contract. Therefore, the
Funds consider the creditworthiness of each counterparty to a
contract in evaluating potential credit risk. Additionally,
risks may arise from unanticipated movements in interest rates
or in the value of the underlying reference asset or index.
Entering into these agreements involves, to varying degrees,
market risk, liquidity risk and elements of credit, legal and
documentation risk in excess of amounts recognized in the
Statements of Assets and Liabilities. The Funds may pay or
receive cash as collateral on these contracts which may be
recorded as an asset
and/or
liability. The Funds must set aside liquid assets, or engage in
other appropriate measures, to cover their obligations under
these contracts.
The Funds may invest in the following types of swaps:
An interest rate swap is an agreement that obligates two
parties to exchange a series of cash flows at specified
intervals, based upon or calculated by reference to changes in
specified prices, rates or indices for a specified amount of an
underlying asset or notional principal amount. The payment flows
are usually netted against each other, with the difference being
paid by one party to the other.
A credit default swap is an agreement that involves one
party making a stream of payments to another party in exchange
for the right to receive protection on a reference security or
obligation. A Fund may use credit default swaps to provide a
measure of protection against defaults of the reference security
or obligation or to take a short position with respect to the
likelihood of default. A Fund’s investment in credit
default swaps may involve greater risks than if the Fund had
invested in the referenced obligation directly. Credit events
are contract specific but may include bankruptcy, failure to
pay, restructuring and obligation acceleration. If a Fund buys
protection through a credit default swap and no credit event
occurs, its payments are limited to the periodic payments
previously made to the counterparty. Upon the occurrence of a
specified credit event, a Fund, as a buyer of credit protection,
is entitled to receive an amount equal to the notional amount of
the swap and deliver to the seller the defaulted reference
obligation in a physically settled trade. A Fund may also
receive a net settlement amount in the form of cash or
securities equal to the notional amount of the swap reduced by
the recovery value of the reference obligation in a cash settled
trade.
As a seller of protection, a Fund generally receives a payment
stream throughout the term of the swap, provided that there is
no credit event. In addition, if the Fund sells protection
through a credit default swap, the Fund could suffer a loss
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
| 3. SIGNIFICANT ACCOUNTING POLICIES (continued) |
because the value of the referenced obligation may be less than
the premium payments received. Upon the occurrence of a
specified credit event, a Fund, as a seller of credit
protection, may be required to take possession of the defaulted
reference obligation and pay the buyer an amount equal to the
notional amount of the swap in a physically settled trade. A
Fund may also pay a net settlement amount in the form of cash or
securities equal to the notional amount of the swap reduced by
the recovery value of the reference obligation in a cash settled
trade. Recovery values are at times established through the
credit event auction process in which market participants are
ensured that a transparent price has been set for the defaulted
security or obligation. In addition, the Fund is entitled to a
return of any assets, which have been pledged as collateral to
the counterparty.
The Funds’ credit default swaps are disclosed in the
Additional Investment Information section of the Schedules of
Investments. The maximum potential amount of future payments
(undiscounted) that the Funds as sellers of protection could be
required to make under a credit default swap would be an amount
equal to the notional amount of the agreement. These potential
amounts would be partially offset by any recovery values of the
respective referenced obligations or net amounts received from a
settlement of a credit default swap for the same reference
security or obligation where the Funds bought credit protection.
A total return swap is an agreement that gives a Fund the
right to receive the appreciation in the value of a specified
security, index or other instrument in return for a fee paid to
the counterparty, which will typically be an agreed upon
interest rate. If the underlying asset declines in value over
the term of the swap, a Fund may also be required to pay the
dollar value of that decline to the counterparty.
P. Treasury
Inflation Protected Securities — The
Absolute Return Tracker, Commodity Strategy, Dynamic Allocation,
Real Estate Securities and International Real Estate Securities
Funds and certain Underlying Funds of the Satellite Strategies
Portfolio may invest in treasury inflation protected securities
(“TIPS”), including structured bonds in which the
principal amount is adjusted daily to keep pace with inflation,
as measured by the U.S. Consumer Pricing Index for Urban
Consumers. The adjustments to principal due to
inflation/deflation are reflected as increases/decreases to
interest income with a corresponding adjustment to cost. Such
adjustments may have a significant impact on the Funds’
distributions and may result in a return of capital to
shareholders. The repayment of the original bond principal upon
maturity is guaranteed by the full faith and credit of the U.S.
Government.
Q. When-Issued
Securities and Forward Commitments — The
Absolute Return Tracker, Commodity Strategy, Dynamic Allocation,
Real Estate Securities and International Real Estate Securities
Funds and certain Underlying Funds of the Satellite Strategies
Portfolio may purchase when-issued securities and make contracts
to purchase or sell securities for a fixed price at a future
date beyond customary settlement time. When-issued securities
are securities that have been authorized, but not yet issued.
When-issued securities are purchased in order to secure what is
considered to be an advantageous price and yield to the Fund at
the time of entering into the transaction. A forward commitment
involves the entering into a contract to purchase or sell
securities for a fixed price at a future date beyond the
customary settlement period. The purchase of securities on a
when-issued or forward commitment basis involves a risk of loss
if the value of the security to be purchased declines before the
settlement date. Conversely, the sale of securities on a forward
commitment basis involves the risk that the value of the
securities sold may increase before the settlement date.
Although a Fund will generally purchase securities on a
when-issued or forward commitment basis with the intention of
acquiring the securities for its portfolio, a Fund may dispose
of when-issued securities or forward commitments prior to
settlement if the Investment Adviser deems it appropriate. When
purchasing a security on a when-issued basis or entering into a
forward commitment, a Fund must “set aside” liquid
assets, or engage in other appropriate measures to
“cover” its obligations.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
4. FAIR
VALUE OF INVESTMENTS
The fair value of a financial instrument is the amount that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants
at the measurement date (i.e., the exit price). GAAP
establishes a fair value hierarchy that prioritizes the inputs
to valuation techniques used to measure fair value. The
hierarchy gives the highest priority to unadjusted quoted prices
in active markets for identical assets or liabilities
(Level 1 measurements) and the lowest priority to
unobservable inputs (Level 3 measurements). The three
levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active
markets that are accessible at the measurement date for
identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not
active or financial instruments for which significant inputs are
observable (including, but not limited to, quoted prices for
similar securities, interest rates, foreign exchange rates,
volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require
significant unobservable inputs (including GSAM’s
assumptions in determining fair value measurement).
The following is a summary of the Funds’ investments
categorized in the fair value hierarchy as of December 31,
2010:
| Absolute Return Tracker | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Fixed Income
|
||||||||||||
|
Commodity Index Linked Structured Notes
|
$ | — | $ | 40,357,970 | $ | — | ||||||
|
U.S. Treasury
and/or Other
U.S. Government Obligations and Agencies
|
709,743,898 | 229,995,170 | — | |||||||||
|
Common Stock
and/or Other
Equity Investments
|
50,192,814 | — | — | |||||||||
|
Short-term Investment
|
71,627,672 | 252,400,000 | — | |||||||||
|
Derivatives
|
15,006,291 | 1,832,974 | — | |||||||||
|
Total
|
$ | 846,570,675 | $ | 524,586,114 | $ | — | ||||||
|
Liabilities
|
||||||||||||
|
Derivatives
|
$ | (1,129,417 | ) | $ | (425,438 | ) | $ | — | ||||
| Commodity Strategy | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Fixed Income
|
||||||||||||
|
Mortgage-Backed Obligations
|
$ | — | $ | 130,009,887 | $ | — | ||||||
|
U.S. Treasury
and/or Other
U.S. Government Obligations and Agencies
|
121,940,616 | 176,357,543 | — | |||||||||
|
Asset-Backed Securities
|
— | 304,176 | — | |||||||||
|
Government Guarantee Obligations
|
— | 39,466,819 | — | |||||||||
|
Short-term Investment
|
233,621,807 | — | — | |||||||||
|
Derivatives
|
634,324 | 59,979,247 | — | |||||||||
|
Total
|
$ | 356,196,747 | $ | 406,117,672 | $ | — | ||||||
|
Liabilities
|
||||||||||||
|
Fixed Income
|
||||||||||||
|
Mortgage-Backed Obligations — Forward Sales Contracts
|
$ | — | $ | (37,437,577 | ) | $ | — | |||||
|
Derivatives
|
(874,415 | ) | (275,063 | ) | — | |||||||
|
Total
|
$ | (874,415 | ) | $ | (37,712,640 | ) | $ | — | ||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
4. FAIR
VALUE OF INVESTMENTS (continued)
| Dynamic Allocation | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Fixed Income
|
||||||||||||
|
Commodity Index Linked Structured Notes
|
$ | — | $ | 15,274,609 | $ | — | ||||||
|
U.S. Treasury
and/or Other
U.S. Government Obligations and Agencies
|
36,147,068 | — | — | |||||||||
|
Common Stock
and/or Other
Equity Investments
|
35,802,170 | — | — | |||||||||
|
Short-term Investment
|
72,088,946 | — | — | |||||||||
|
Derivatives
|
580,390 | 13,772 | — | |||||||||
|
Total
|
$ | 144,618,574 | $ | 15,288,381 | $ | — | ||||||
|
Liabilities
|
||||||||||||
|
Derivatives
|
$ | (1,332,531 | ) | $ | (626,738 | ) | $ | — | ||||
| International Real Estate Securities | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 26,548,424 | $ | 350,087,067 | (a) | $ | — | |||||
|
Short-term Investment
|
4,683,185 | — | — | |||||||||
|
Total
|
$ | 31,231,609 | $ | 350,087,067 | $ | — | ||||||
| (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. |
| Real Estate Securities | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Common Stock
and/or Other
Equity Investments
|
$ | 545,304,594 | $ | — | $ | — | ||||||
|
Short-term Investment
|
8,533,936 | — | — | |||||||||
|
Total
|
$ | 553,838,530 | $ | — | $ | — | ||||||
| Satellite Strategies | Level 1 | Level 2 | Level 3 | |||||||||
|
Assets
|
||||||||||||
|
Equity Underlying Funds
|
$ | 275,953,196 | $ | — | $ | — | ||||||
|
Fixed Income Underlying Funds
|
524,255,270 | — | — | |||||||||
|
Total
|
$ | 800,208,466 | $ | — | $ | — | ||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
5. AGREEMENTS
AND AFFILIATED TRANSACTIONS
A. Management
Agreements — Under the Agreements, GSAM
manages the Funds, subject to the general supervision of the
trustees.
As compensation for the services rendered pursuant to the
Agreements, the assumption of the expenses related thereto and
administration of the Funds’ business affairs, including
providing facilities, GSAM is entitled to a management fee,
computed daily and paid monthly, equal to an annual percentage
rate of the Funds’ average daily net assets.
For the fiscal year ended December 31, 2010, contractual
and effective net management fees with GSAM were at the
following rates:
| Contractual Management Rate |
Effective Net |
|||||||||||||||||||||||||||
|
First |
Next |
Next |
Next |
Over |
Effective |
Management |
||||||||||||||||||||||
| Fund | $1 billion | $1 billion | $3 billion | $3 billion | $8 billion | Rate | Rate | |||||||||||||||||||||
|
Absolute Return Tracker
|
1.15 | % | 1.04 | % | 0.99 | % | 0.97 | % | 0.95 | % | 1.14 | % | 1.14 | % | ||||||||||||||
|
Commodity Strategy
|
0.50 | 0.50 | 0.45 | 0.43 | 0.42 | 0.50 | 0.50 | (1) | ||||||||||||||||||||
|
Dynamic Allocation
|
0.90 | 0.81 | 0.77 | 0.75 | 0.74 | 0.90 | 0.90 | |||||||||||||||||||||
|
International Real Estate Securities
|
1.05 | 1.05 | 0.95 | 0.90 | 0.88 | 1.05 | 1.03 | (2) | ||||||||||||||||||||
|
Real Estate Securities
|
1.00 | 0.90 | 0.86 | 0.84 | 0.82 | 1.00 | 1.00 | |||||||||||||||||||||
|
Satellite Strategies
|
0.124 | 0.124 | 0.124 | 0.124 | 0.124 | 0.124 | 0.124 | |||||||||||||||||||||
| (1) | Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreement (as defined below) after the waivers. |
| (2) | 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. |
GSAM also provides management services to the Subsidiary
pursuant to a Subsidiary Management Agreement (the
“Subsidiary Agreement”) and is entitled to a
management fee computed daily and paid monthly, equal to an
annual percentage rate of 0.50% of the Subsidiary’s average
daily net assets. In consideration of the Subsidiary’s
management fee, and for as long as the Subsidiary Agreement
remains in effect, GSAM has contractually agreed to waive
irrevocably a portion of the Commodity Strategy Fund’s
management fee in an amount equal to the management fee paid to
GSAM by the Subsidiary under the Subsidiary Agreement. For the
fiscal year ended December 31, 2010, GSAM waived $636,193
of the Fund’s management fee.
B. Distribution
and Service Plans — The Trust, on behalf of
each Fund, has adopted Distribution and Service Plans (the
“Plans”). Under the Plans, Goldman Sachs, which serves
as distributor, is entitled to a fee, computed daily and paid
monthly for distribution services and personal and account
maintenance services, which may then be paid by Goldman Sachs to
authorized dealers, at the following annual rates calculated on
a Fund’s average daily net assets of each respective share
class:
| Distribution and Service Plan Rates | ||||||||||||||||
| Class A* | Class B | Class C | Class R* | |||||||||||||
|
Distribution Plan
|
0.25 | % | 0.75 | % | 0.75 | % | 0.50 | % | ||||||||
|
Service Plan
|
— | 0.25 | 0.25 | — | ||||||||||||
| * | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses so long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution
Agreement — Goldman Sachs, as Distributor
of the shares of the Funds pursuant to a Distribution Agreement,
may retain a portion of the Class A front end sales charge
and Class B and Class C contingent deferred sales
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
charges. During the fiscal year ended December 31, 2010,
Goldman Sachs advised that it retained the following approximate
amounts:
|
Front End |
Contingent
Deferred |
|||||||||||
| Sales Charge | Sales Charge | |||||||||||
| Fund | Class A | Class B | Class C | |||||||||
|
Absolute Return Tracker
|
$ | 121,600 | N/A | $ | — | |||||||
|
Commodity Strategy
|
32,800 | N/A | — | |||||||||
|
Dynamic Allocation
|
31,000 | N/A | — | |||||||||
|
International Real Estate Securities
|
5,800 | N/A | — | |||||||||
|
Real Estate Securities
|
11,400 | — | — | |||||||||
|
Satellite Strategies
|
246,200 | N/A | — | |||||||||
D. Service
Plan and Shareholder Administration Plan —
The Trust, on behalf of each Fund that offers Service
Shares, has adopted a Service Plan and Shareholder
Administration Plan. These plans allow for Service Shares to
compensate service organizations for providing varying levels of
personal and account maintenance and shareholder administration
services to their customers who are beneficial owners of such
shares. The Service Plan and Shareholder Administration Plan
each provide for compensation to the service organizations in an
amount equal to, on an annual basis, 0.25% (0.50% in aggregate)
of the average daily net assets of the Service Shares.
E. Transfer
Agency Agreement — Goldman Sachs also
serves as the transfer agent of the Funds for a fee pursuant to
a Transfer Agency Agreement. The fees charged for such transfer
agency services are computed daily and paid monthly at an annual
rate as follows: 0.19% (except for the Commodity Strategy Fund,
which charges at an annual rate of 0.13%) of the average daily
net assets for Class A, Class B, Class C,
Class IR and Class R Shares and 0.04% of average daily
net assets for Institutional and Service Shares.
F. Other
Expense Agreements and Affiliated Transactions —
GSAM has agreed to limit certain “Other
Expense” (excluding management fees, distribution and
service fees, transfer agent fees and expenses, service fees and
shareholder administration fees (as applicable), dividend and
interest expenses on short sales, taxes, interest, brokerage
fees and litigation, indemnification, shareholder meetings and
other extraordinary expenses, exclusive of any custody and
transfer agent fee credit reductions) to the extent such
expenses exceed, on an annual basis, a percentage rate of the
average daily net assets of each Fund. Such Other Expense
reimbursements, if any, are computed daily and paid monthly. In
addition, the Funds are not obligated to reimburse GSAM for
prior fiscal year expense reimbursements, if any. The Other
Expense limitations as an annual percentage rate of average
daily net assets for the Absolute Return Tracker, Commodity
Strategy, Dynamic Allocation, International Real Estate
Securities and Real Estate Securities Funds and Satellite
Strategies Portfolio are 0.014%, 0.044%, 0.054%, 0.064%, 0.004%
and 0.010%, respectively. The Subsidiary also pays certain other
expenses, including service and custody fees. GSAM has agreed to
reduce or limit the Subsidiary’s expenses (excluding
management fees) to 0.004% of the Subsidiary’s average
daily net assets. These Other Expense reimbursements will remain
in place through at least April 30, 2011, and prior to such
date GSAM may not terminate the arrangements without the
approval of the trustees. In addition, the Funds have entered
into certain offset arrangements with the custodian and transfer
agent, which may result in a reduction of the Funds’
expenses.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2010, these expense
reductions, including any fee waivers and Other Expense
reimbursements, were as follows (in thousands):
|
Management |
Other Expense |
Total Expense |
||||||||||
| Fund | Fee Waiver | Reimbursement | Reductions | |||||||||
|
Absolute Return Tracker
|
$ | — | $ | 360 | $ | 360 | ||||||
|
Commodity Strategy
|
— | 319 | 319 | |||||||||
|
Dynamic Allocation
|
— | 465 | 465 | |||||||||
|
International Real Estate Securities
|
69 | 236 | 305 | |||||||||
|
Real Estate Securities
|
— | 355 | 355 | |||||||||
|
Satellite Strategies
|
— | 314 | 314 | |||||||||
As of December 31, 2010, the amounts owed to affiliates of
the Funds were as follows (in thousands):
|
Management |
Distribution
and |
Transfer |
Over
Reimbursement |
|||||||||||||||||
| Fund | Fees | Service Fees | Agent Fees | of Other Expenses | Total | |||||||||||||||
|
Absolute Return Tracker
|
$ | 1,255 | $ | 168 | $ | 116 | $ | — | $ | 1,539 | ||||||||||
|
Commodity Strategy
|
330 | 39 | 39 | 8 | 416 | |||||||||||||||
|
Dynamic Allocation
|
115 | 15 | 14 | — | 144 | |||||||||||||||
|
International Real Estate Securities
|
326 | 32 | 31 | — | 389 | |||||||||||||||
|
Real Estate Securities
|
502 | 47 | 42 | — | 591 | |||||||||||||||
|
Satellite Strategies
|
81 | 127 | 67 | — | 275 | |||||||||||||||
G. Line of
Credit Facility — As of December 31,
2010, the Funds participated in a $580,000,000 committed,
unsecured revolving line of credit facility (the
“facility”) together with other funds of the Trust and
registered investment companies having management agreements
with GSAM or its affiliates. Pursuant to the terms of the
facility, the Funds and other borrowers could increase the
credit amount by an additional $340,000,000, for a total of up
to $920,000,000. This facility is to be used solely for
temporary or emergency purposes. The interest rate on borrowings
is based on the federal funds rate. The facility also requires a
fee to be paid by the Funds based on the amount of the
commitment that has not been utilized. For the fiscal year ended
December 31, 2010, the Funds did not have any borrowings
under the facility. Prior to May 11, 2010, the amount
available through the facility was $660,000,000.
H. Other
Transactions with Affiliates — For the
fiscal year ended December 31, 2010, Goldman Sachs earned
approximately $24,100, $100, $4,900 and $2,700 in brokerage
commissions from portfolio transactions, including futures
transactions executed with Goldman Sachs as the Futures
Commission Merchant, on behalf of the Absolute Return Tracker,
Commodity Strategy, Dynamic Allocation and Real Estate
Securities Funds, respectively.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of December 31, 2010, the following Goldman Sachs Fund
of Funds Portfolios and the Goldman Sachs Profit Sharing Master
Trust were the beneficial owners of 5% or more of total
outstanding shares of the following Funds:
|
Goldman Sachs |
Goldman Sachs |
Goldman Sachs |
Goldman Sachs |
|||||||||||||
|
Growth and
Income |
Growth
Strategy |
Satellite
Strategy |
Profit Sharing |
|||||||||||||
| Fund | Strategy Portfolio | Portfolio | Portfolio | Master Trust | ||||||||||||
|
Commodity Strategy
|
11 | % | 11 | % | 12 | % | — | % | ||||||||
|
International Real Estate Securities
|
8 | 6 | 18 | — | ||||||||||||
|
Real Estate Securities
|
5 | — | 9 | 21 | ||||||||||||
As of December 31, 2010, the Satellite Strategies Portfolio
was the owner of record of 5% or more of the total outstanding
voting shares of the Underlying Funds, as follows:
|
Satellite
Strategies |
||||
| Fund | Portfolio | |||
|
Goldman Sachs Commodity Strategy
|
12 | % | ||
|
Goldman Sachs Emerging Markets Debt
|
18 | |||
|
Goldman Sachs Emerging Markets Equity
|
11 | |||
|
Goldman Sachs International Real Estate Securities
|
18 | |||
|
Goldman Sachs International Small Cap
|
59 | |||
|
Goldman Sachs Local Emerging Markets Debt
|
6 | |||
|
Goldman Sachs Real Estate Securities
|
9 | |||
As of December 31, 2010, the Goldman Sachs Group, Inc.
(“GSG”) was the beneficial owner of approximately 100%
of the Class R Shares of Dynamic Allocation Fund,
approximately 69% of the Class IR Shares of International
Real Estate Securities Fund and approximately 10% of the
Class IR Shares of the Real Estate Securities Fund.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
6. INVESTMENTS
IN DERIVATIVES
The Absolute Return Tracker, Commodity Strategy, Dynamic
Allocation, Real Estate Securities and International Real Estate
Securities Funds and certain Underlying Funds of the Satellite
Strategies Portfolio may make investments in derivative
instruments, including, but not limited to, options, futures,
swaps and other derivatives relating to foreign currency
transactions. A derivative is an instrument whose value is
derived from underlying assets, indices, reference rates or a
combination of these factors. Derivative instruments may be
privately negotiated contracts (often referred to as over the
counter (“OTC”) derivatives) or they may be listed and
traded on an exchange. Derivative contracts may involve future
commitments to purchase or sell financial instruments or
commodities at specified terms on a specified date, or to
exchange interest payment streams or currencies based on a
notional or contractual amount. Derivative instruments may
involve a high degree of financial risk. The use of derivatives
also involves the risk of loss if the investment adviser is
incorrect in its expectation of the timing or level of
fluctuations in securities prices, interest rates or currency
prices. Investments in derivative instruments also include the
risk of default by the counterparty, the risk that the
investment may not be liquid and the risk that a small movement
in the price of the underlying security or benchmark may result
in a disproportionately large movement, unfavorable or
favorable, in the price of the derivative instrument.
During the fiscal year ended December 31, 2010, the
Absolute Return Tracker entered into forward foreign currency
exchange contracts for the purchase or sale of a specific
foreign currency at a fixed price on a future date as a hedge or
cross-hedge against either specific transactions, portfolio
positions and to seek to increase total return. The Absolute
Return Tracker, Commodity Strategy and Dynamic Allocation Funds
entered into futures contracts to hedge against changes in
interest rates, securities prices, currency exchange rates, and
to seek to increase total return. The Commodity Strategy and
Dynamic Allocation Funds entered into swap transactions for
hedging purposes and to seek to increase total return.
The following tables set forth, by certain risk types, the gross
value of the Funds’ derivative contracts for trading
activities as of December 31, 2010. The values in the
tables below exclude the effects of cash collateral received or
posted pursuant to these derivative contracts, and therefore are
not representative of the Funds’ net exposure.
Absolute
Return Tracker
|
Statements of
Assets |
Statements of
Assets |
||||||||||||
|
and
Liabilities |
and
Liabilities |
||||||||||||
| Risk | Location | Assets | Location | Liabilities | |||||||||
|
Currency
|
Receivables for forward foreign | $ | 1,832,974 | Payables for forward foreign currency | $ | (425,438 | ) | ||||||
| currency exchange contracts, | exchange contracts, at value | ||||||||||||
| at value | |||||||||||||
|
Interest Rate
|
Due from broker — variation margin, | 10,528,034 | (a) | Due to broker — variation margin, | — | ||||||||
| at value | at value | ||||||||||||
|
Equity
|
Due from broker — variation margin, | 4,478,257 | (a) | Due to broker — variation margin, | (1,129,417 | )(a) | |||||||
| at value | at value | ||||||||||||
|
Total
|
$ | 16,839,265 | $ | (1,554,855 | ) | ||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
| 6. INVESTMENTS IN DERIVATIVES (continued) |
Commodity
Strategy
|
Statements of
Assets |
Statements of
Assets |
||||||||||||
|
and
Liabilities |
and
Liabilities |
||||||||||||
| Risk | Location | Assets | Location | Liabilities | |||||||||
|
Commodity
|
Receivables for swap contracts, | $ | 57,947,415 | Payables for swap contracts, | $ | — | |||||||
| at value | at value | ||||||||||||
|
Interest Rate
|
Receivables for swap contracts, | 2,666,156 | (a) | Payables for swap contracts, | (1,149,478 | )(a)(b) | |||||||
| at value; Due from broker — variation margin, at value | at value; Due to broker — variation margin, at value | ||||||||||||
|
Total
|
$ | 60,613,571 | $ | (1,149,478 | ) | ||||||||
Dynamic
Allocation
|
Statements of
Assets |
Statements of
Assets |
||||||||||||
|
and
Liabilities |
and
Liabilities |
||||||||||||
| Risk | Location | Assets | Location | Liabilities | |||||||||
|
Credit
|
Receivables for swap contracts, at value | $ | 13,772 | Payables for swap contracts, at value | $ | (626,738 | )(b) | ||||||
|
Interest Rate
|
Due from broker — variation margin, | — | Due to broker — variation margin, | (1,215,052 | )(a) | ||||||||
| at value | at value | ||||||||||||
|
Equity
|
Due from broker — variation margin, | 580,390 | (a) | Due to broker — variation margin, | (117,479 | )(a) | |||||||
| at value | at value | ||||||||||||
|
Total
|
$ | 594,162 | $ | (1,959,269 | ) | ||||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| (b) | Aggregate amount includes $275,063 and $626,738 for the Commodity Strategy and Dynamic Allocation Funds, respectively, which represents the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Fund’s performance, its failure to pay on its obligations or failure to pledge collateral. Such amount does not include incremental charges directly associated with the close-out of the agreements. It also does not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amount and for which the Fund is entitled to a full return. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
| 6. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth, by certain risk types, the
Funds’ gains (losses) related to these derivative
activities and their indicative volumes for the fiscal year
ended December 31, 2010. These gains (losses) should be
considered in the context that these contracts may have been
executed to economically hedge securities, and accordingly,
gains (losses) on such contracts may offset (losses) gains
attributable to securities. These gains (losses) are included in
“Net realized gain (loss)” or “Net change in
unrealized gain (loss)” on the Statements of Operations:
| Absolute Return Tracker | |||||||||||||||
|
Net |
Net Change in |
Average |
|||||||||||||
|
Realized |
Unrealized |
Number of |
|||||||||||||
| Risk | Statements of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
|
Equity
|
Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | 15,679,488 | $ | 3,247,852 | 4,795 | |||||||||
|
Interest rate
|
Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | (6,823,364 | ) | 9,326,387 | 1,088 | ||||||||||
|
Currency
|
Net realized gain (loss) from foreign currency related transactions/Net change in unrealized gain (loss) on translation of assets and liabilities denominated in foreign currencies | 1,493,565 | 2,434,103 | 15 | |||||||||||
|
Total
|
$ | 10,349,689 | $ | 15,008,342 | 5,898 | ||||||||||
| Commodity Strategy | |||||||||||||||
|
Net |
Net Change in |
Average |
|||||||||||||
|
Realized |
Unrealized |
Number of |
|||||||||||||
| Risk | Statements of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
|
Interest rate
|
Net realized gain (loss) from futures transactions and swap contracts/Net change in unrealized gain (loss) on futures and swap contracts | $ | (2,727,146 | ) | $ | (366,017 | ) | 662 | |||||||
|
Commodity
|
Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 17,871,193 | 56,723,904 | 6 | |||||||||||
|
Total
|
$ | 15,144,047 | $ | 56,357,887 | 668 | ||||||||||
| Dynamic Allocation | |||||||||||||||
|
Net |
Net Change in |
Average |
|||||||||||||
|
Realized |
Unrealized |
Number of |
|||||||||||||
| Risk | Statements of Operations Location | Gain (Loss) | Gain (Loss) | Contracts(a) | |||||||||||
|
Equity
|
Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | $ | 3,026,083 | $ | 462,911 | 298 | |||||||||
|
Interest rate
|
Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures | 1,036,278 | (1,215,052 | ) | 220 | ||||||||||
|
Credit
|
Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 8,827 | (151,338 | ) | 4 | ||||||||||
|
Total
|
$ | 4,071,188 | $ | (903,479 | ) | 522 | |||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2010. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
7. PORTFOLIO
SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of
long-term securities, as well as the cost of purchases and sales
of the Underlying Funds by the Satellite Strategies Portfolio
for the fiscal year ended December 31, 2010, were as
follows:
|
Sales and |
||||||||||||||||||||||||
|
Purchases |
Sales and |
Maturities |
||||||||||||||||||||||
|
Purchases of |
(Excluding
U.S. |
Maturities of |
(Excluding
U.S. |
|||||||||||||||||||||
|
U.S.
Government |
Government |
U.S.
Government |
Government |
Covers on |
||||||||||||||||||||
|
and Agency |
and Agency |
Securities
Sold |
and Agency |
and Agency |
Securities
Sold |
|||||||||||||||||||
| Fund | Obligations | Obligations) | Short | Obligations | Obligations) | Short | ||||||||||||||||||
|
Absolute Return Tracker
|
$ | — | $ | 115,018,583 | $ | — | $ | — | $ | 106,739,079 | $ | — | ||||||||||||
|
Commodity Strategy
|
621,995,106 | 7,998,959 | — | 391,039,478 | 102,323,118 | — | ||||||||||||||||||
|
Dynamic Allocation
|
59,525,920 | 75,998,521 | 1,741,072 | 24,034,474 | 29,704,828 | 1,762,795 | ||||||||||||||||||
|
International Real Estate Securities
|
— | 249,881,642 | — | — | 230,621,004 | — | ||||||||||||||||||
|
Real Estate Securities
|
— | 331,079,227 | — | — | 419,027,249 | — | ||||||||||||||||||
|
Satellite Strategies
|
— | 415,836,053 | — | — | 106,910,917 | — | ||||||||||||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
8. SECURITIES
LENDING
Pursuant to exemptive relief granted by the Securities Exchange
Commission (“SEC”) and the terms and conditions
contained therein, the Real Estate Securities Fund and the
International Real Estate Securities Fund, may lend their
securities through a securities lending agent, Goldman Sachs
Agency Lending (“GSAL”), a wholly-owned subsidiary of
Goldman Sachs, to certain qualified borrowers including Goldman
Sachs and affiliates. Effective May 26, 2010, the Funds no
longer participate in the securities lending program. During
their participation in this securities lending program, and in
accordance with the Funds’ securities lending procedures,
the Funds received cash collateral at least equal to the market
value of the securities on loan. The market value of the loaned
securities was determined at the close of business of the Funds
at their last sale price or official closing price on the
principal exchange or system on which they were traded, and any
additional required collateral was delivered to the Funds on the
next business day.
The Funds invested the cash collateral received in connection
with securities lending transactions in the Enhanced Portfolio
of Boston Global Investment Trust (“Enhanced
Portfolio”), a Delaware statutory trust. The Enhanced
Portfolio, deemed an affiliate of the Trust, was exempt from
registration under Section 3(c)(7) of the Act and was
managed by GSAM, for which GSAM may have received an investment
advisory fee of up to 0.10% on an annualized basis of the
average daily net assets of the Enhanced Portfolio. The Enhanced
Portfolio invested primarily in short-term investments, but was
not a “money market fund” subject to the requirements
of
Rule 2a-7
of the Act.
Both the Funds and GSAL received compensation relating to the
lending of the Funds’ securities. The amounts earned by the
Funds for the fiscal year ended December 31, 2010, are
reported under Investment Income on the Statements of
Operations. The table below details securities lending activity
with affiliates of Goldman Sachs:
|
For the Fiscal
Year Ended |
||||||||
| December 31, 2010 | ||||||||
|
Earnings of |
Amounts Received
by |
|||||||
|
GSAL Relating
to |
the Funds from
Lending |
|||||||
| Fund | Securities Loaned | to Goldman Sachs | ||||||
|
International Real Estate Securities
|
$ | 3,311 | $ | 14,004 | ||||
|
Real Estate Securities
|
1,418 | 4,900 | ||||||
The following table provides information about the Funds’
investment in the Enhanced Portfolio for the fiscal year ended
December 31, 2010 (in thousands):
|
Number of |
Number of |
Value at |
||||||||||||||||||
|
Shares Held |
Shares |
Shares |
Shares Held |
End |
||||||||||||||||
| Fund | Beginning of Year | Bought | Sold | End of Year | Year | |||||||||||||||
|
International Real Estate Securities
|
1,248 | 16,321 | (17,569 | ) | — | $ | — | |||||||||||||
|
Real Estate Securities
|
83,145 | 38,298 | (121,443 | ) | — | — | ||||||||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
9. TAX
INFORMATION
The tax character of distributions paid during the fiscal year
ended December 31, 2010 was as follows:
|
Absolute |
International |
|||||||||||||||||||||||
|
Return |
Commodity |
Dynamic |
Real Estate |
Real Estate |
Satellite |
|||||||||||||||||||
| Tracker | Strategy | Allocation | Securities | Securities | Strategies | |||||||||||||||||||
|
Distributions paid from:
|
||||||||||||||||||||||||
|
Ordinary income
|
$ | 6,069,537 | $ | 78,917,192 | $ | 1,332,028 | $ | 25,775,036 | $ | 11,491,820 | $ | 37,168,323 | ||||||||||||
|
Net long-term capital gains
|
1,955,307 | — | 1,225,137 | — | — | — | ||||||||||||||||||
|
Total taxable distributions
|
$ | 8,024,844 | $ | 78,917,192 | $ | 2,557,165 | $ | 25,775,036 | $ | 11,491,820 | $ | 37,168,323 | ||||||||||||
The tax character of distributions paid during the fiscal year
ended December 31, 2009 was as follows:
|
Absolute |
International |
|||||||||||||||||||
|
Return |
Commodity |
Real Estate |
Real Estate |
Satellite |
||||||||||||||||
| Tracker | Strategy | Securities | Securities | Strategies | ||||||||||||||||
|
Distributions paid from:
|
||||||||||||||||||||
|
Ordinary income
|
$ | 1,439,985 | $ | 13,076,079 | $ | 42,637,311 | $ | 11,028,992 | $ | 13,955,469 | ||||||||||
|
Net long-term capital gains
|
— | — | — | — | 889,975 | |||||||||||||||
|
Total taxable distributions
|
$ | 1,439,985 | $ | 13,076,079 | $ | 42,637,311 | $ | 11,028,992 | $ | 14,845,444 | ||||||||||
|
Tax return of capital
|
$ | — | $ | — | $ | 1,017,687 | $ | — | $ | — | ||||||||||
As of December 31, 2010, the components of accumulated
earnings (losses) on a tax basis were as follows:
|
Absolute |
International |
|||||||||||||||||||||||
|
Return |
Commodity |
Dynamic |
Real Estate |
Real Estate |
Satellite |
|||||||||||||||||||
| Tracker | Strategy | Allocation | Securities | Securities | Strategies | |||||||||||||||||||
|
Undistributed ordinary income — net
|
$ | 5,072,147 | $ | 13,060,082 | $ | 1,575,217 | $ | 441,697 | $ | — | $ | 763,109 | ||||||||||||
|
Undistributed long-term capital gains
|
19,065,601 | — | — | — | — | — | ||||||||||||||||||
|
Total undistributed earnings
|
$ | 24,137,748 | $ | 13,060,082 | $ | 1,575,217 | $ | 441,697 | $ | — | $ | 763,109 | ||||||||||||
|
Capital loss
carryforward:(1)
|
||||||||||||||||||||||||
|
Expiring 2016
|
$ | — | $ | (16,221,334 | ) | $ | — | $ | (336,773,705 | ) | $ | — | $ | — | ||||||||||
|
Expiring 2017
|
— | (67,560,179 | ) | — | (239,206,981 | ) | (190,871,075 | ) | (24,138,751 | ) | ||||||||||||||
|
Expiring 2018
|
— | — | — | (18,621,372 | ) | — | — | |||||||||||||||||
|
Total capital loss carryforward
|
$ | — | $ | (83,781,513 | ) | $ | — | $ | (594,602,058 | ) | $ | (190,871,075 | ) | $ | (24,138,751 | ) | ||||||||
|
Timing differences (post-October losses/REIT income
deferred/straddle loss deferral/section 267 loss deferrals)
|
(2,266,665 | ) | (228,828 | ) | (704,033 | ) | (202,767 | ) | 554,833 | (6,163,389 | ) | |||||||||||||
|
Unrealized gains — net
|
18,323,517 | 1,883,940 | 4,700,831 | 26,739,616 | 139,266,119 | 28,788,249 | ||||||||||||||||||
|
Total accumulated earnings (losses) — net
|
$ | 40,194,600 | $ | (69,066,319 | ) | $ | 5,572,015 | $ | (567,623,512 | ) | $ | (51,050,123 | ) | $ | (750,782 | ) | ||||||||
| (1) | Expiration occurs on December 31 of the year indicated. The Commodity Strategy Fund, Real Estate Securities Fund and Satellite Strategies Portfolio utilized $27,504,918, $53,180,467 and $15,370,987, respectively, of capital losses in the current fiscal year. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
| 9. TAX INFORMATION (continued) |
As of December 31, 2010, the Funds’ aggregate security
unrealized gains and losses based on cost for U.S. federal
income tax purposes was as follows:
|
Absolute |
International |
|||||||||||||||||||||||
|
Return |
Commodity |
Dynamic |
Real Estate |
Real Estate |
Satellite |
|||||||||||||||||||
| Tracker | Strategy | Allocation | Securities | Securities | Strategies | |||||||||||||||||||
|
Tax cost
|
$ | 1,336,034,388 | $ | 700,277,940 | $ | 154,468,192 | $ | 354,615,824 | $ | 414,572,411 | $ | 771,420,217 | ||||||||||||
|
Gross unrealized gain
|
18,283,136 | 1,931,337 | 4,844,601 | 28,588,105 | 139,435,481 | 85,287,686 | ||||||||||||||||||
|
Gross unrealized loss
|
— | (508,429 | ) | — | (1,885,253 | ) | (169,362 | ) | (56,499,437 | ) | ||||||||||||||
|
Net unrealized security gain
|
$ | 18,283,136 | $ | 1,422,908 | $ | 4,844,601 | $ | 26,702,852 | $ | 139,266,119 | $ | 28,788,249 | ||||||||||||
|
Net unrealized gain (loss) on other investments
|
40,381 | 461,032 | (143,770 | ) | 36,764 | — | — | |||||||||||||||||
|
Net unrealized gain
|
$ | 18,323,517 | $ | 1,883,940 | $ | 4,700,831 | $ | 26,739,616 | $ | 139,266,119 | $ | 28,788,249 | ||||||||||||
The difference between GAAP-basis and tax-basis unrealized gains
(losses) is attributable primarily to wash sales, net mark to
market gains (losses) on regulated futures and foreign currency
contracts, and differences related to the tax treatment of the
Goldman Sachs Cayman Commodity Fund Ltd., swap transactions,
passive foreign investment companies and real estate investment
trust investments.
In order to present certain components of the Funds’
capital accounts on a tax-basis, certain reclassifications have
been recorded to the Funds’ accounts. These
reclassifications have no impact on the net asset value of the
Funds and result primarily from taxable over-distributions,
redemptions utilized as dividends, and net operating losses and
the difference in the tax treatment of underlying fund
investments, foreign currency transactions, swap transactions,
non-deductible organization costs, paydown losses, passive
foreign investment companies, and real estate investment trust
investments.
|
Accumulated |
Accumulated |
|||||||||||
|
Paid-in |
Net Realized |
Undistributed
Net |
||||||||||
| Fund | Capital | Gain (Loss) | Investment Income (Loss) | |||||||||
|
Absolute Return Tracker
|
$ | 1,079 | $ | (8,704,837 | ) | $ | 8,703,758 | |||||
|
Commodity Strategy
|
— | (18,579,858 | ) | 18,579,858 | ||||||||
|
Dynamic Allocation
|
219,058 | (589,494 | ) | 370,436 | ||||||||
|
International Real Estate Securities
|
— | (9,005,434 | ) | 9,005,434 | ||||||||
|
Real Estate Securities
|
(3,774,904 | ) | 459,199 | 3,315,705 | ||||||||
|
Satellite Strategies
|
— | (1,099,354 | ) | 1,099,354 | ||||||||
GSAM has reviewed the Funds’ tax positions for all open tax
years (the current and prior three years, as applicable) and has
concluded that no provision for income tax is required in the
Funds’ financial statements. Such open tax years remain
subject to examination and adjustment by tax authorities.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
10. OTHER
RISKS
Concentration in
ETFs — ETFs are subject to the following
risks that do not apply to conventional funds: (i) the
market price of the ETF’s shares may trade at a premium or
a discount to their NAV; and (ii) an active trading market
for an ETF’s shares may not develop or be maintained. As a
shareholder of another investment company, the Fund will
indirectly bear its proportionate share of any management fees
and other expenses paid by such other investment companies, in
addition to the fees and expenses regularly borne by the Fund.
Concentration in
the Underlying Funds — The investments of
the Satellite Strategies Portfolio are concentrated in the
Underlying Funds, and the Fund’s investment performance is
directly related to the investment performance of the Underlying
Funds it holds. To the extent that this Fund has a relative
concentration of its portfolio in a single Underlying Fund, it
may be more susceptible to adverse developments affecting that
Underlying Fund, and may be more susceptible to losses because
of these developments.
Foreign Custody
Risk — A Fund or Underlying Fund that
invests in foreign securities may hold such securities and
foreign currency with foreign banks, agents, and securities
depositories (each a “Foreign Custodian”) appointed by
the Fund’s custodian. In some countries, Foreign Custodians
may be subject to little or no regulatory oversight or
independent evaluation of their operations. Further, the laws of
certain countries may place limitations on a Fund’s ability
to recover its assets if a Foreign Custodian enters into
bankruptcy. Investments in emerging markets may be subject to
greater custody risks than investments in more developed
markets. Custody services in emerging market countries are often
undeveloped and may be less regulated than in more developed
countries, and thus may not afford the same level of investor
protection as would apply in developed countries.
Funds’
Shareholder Concentration Risk — Certain
funds, accounts, individuals or Goldman Sachs affiliates may
from time to time own (beneficially or of record) or control a
significant percentage of the Funds’ shares. Redemptions by
these entities of their holdings in the Funds may impact the
Funds’ liquidity and NAV. These redemptions may also force
the Funds to sell securities.
Market and Credit
Risks — In the normal course of business,
the Funds trade financial instruments and enter into financial
transactions where risk of potential loss exists due to changes
in the market (market risk). Additionally, the Funds and
Underlying Funds may also be exposed to credit risk in the event
that an issuer fails to perform or that an institution or entity
with which the Funds and Underlying Funds have unsettled or open
transaction defaults.
Investing in foreign markets may involve special risks and
considerations not typically associated with investing in the
U.S. These risks include revaluation of currencies, high rates
of inflation, repatriation restrictions on income and capital,
and adverse political and economic developments. Moreover,
securities issued in these markets may be less liquid, be
subject to government ownership controls, have delayed
settlements and their prices may be more volatile than those of
comparable securities in the U.S.
Portfolio
Concentration Risk — The Real Estate
Securities Fund and the International Real Estate Securities
Fund invest primarily in securities of issuers
(non-U.S.
issuers, in the case of International Real Estate Securities
Fund) that are primarily engaged in or related to the real
estate industry, and each Fund has a policy of concentrating its
investments in the real estate industry. Therefore, investments
in the Funds are subject to certain risks associated with the
real estate industry in general. Such risks include, but are not
limited to, declines in property values, increases in property
taxes, operating expenses, interest rates or competition, zoning
changes, and losses from casualty and condemnation.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
11. INDEMNIFICATIONS
Under the Trust’s organizational documents, its trustees,
officers, employees and agents are indemnified, to the extent
permitted by the Act, against certain liabilities that may arise
out of performance of their duties to the Funds. Additionally,
in the course of business, the Funds enter into contracts that
contain a variety of indemnification clauses. The Funds’
maximum exposure under these arrangements is unknown, as this
would involve future claims that may be made against the Funds
that have not yet occurred. However, GSAM believes the risk of
loss under these arrangements to be remote.
12. SUBSEQUENT
EVENTS
Subsequent events after the balance sheet date have been
evaluated through the date the financial statements were issued.
GSAM has concluded that there is no impact requiring adjustment
or disclosure in the financial statements.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
13. SUMMARY
OF SHARE TRANSACTIONS
Share activity is as follows:
| Absolute Return Tracker 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
|
52,864,296 | $ | 476,940,101 | 36,824,078 | $ | 327,910,813 | ||||||||||
|
Reinvestment of distributions
|
295,963 | 2,716,950 | 39,057 | 353,857 | ||||||||||||
|
Shares redeemed
|
(35,736,520 | ) | (319,060,684 | ) | (6,165,014 | ) | (55,076,995 | ) | ||||||||
| 17,423,739 | 160,596,367 | 30,698,121 | 273,187,675 | |||||||||||||
|
Class C
Shares
|
||||||||||||||||
|
Shares sold
|
5,549,503 | 49,259,193 | 5,145,157 | 45,656,818 | ||||||||||||
|
Reinvestment of distributions
|
32,815 | 295,666 | 2,767 | 24,796 | ||||||||||||
|
Shares redeemed
|
(2,193,153 | ) | (19,460,275 | ) | (252,368 | ) | (2,251,032 | ) | ||||||||
| 3,389,165 | 30,094,584 | 4,895,556 | 43,430,582 | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
85,747,363 | 775,746,946 | 32,651,861 | 291,072,927 | ||||||||||||
|
Reinvestment of distributions
|
284,312 | 2,632,745 | 70,187 | 639,585 | ||||||||||||
|
Shares redeemed
|
(35,431,488 | ) | (319,965,729 | ) | (7,595,078 | ) | (66,654,903 | ) | ||||||||
| 50,600,187 | 458,413,962 | 25,126,970 | 225,057,609 | |||||||||||||
|
Class IR
Shares
|
||||||||||||||||
|
Shares sold
|
601,049 | 5,403,471 | 191,027 | 1,737,218 | ||||||||||||
|
Reinvestment of distributions
|
3,726 | 34,395 | 553 | 5,032 | ||||||||||||
|
Shares redeemed
|
(226,057 | ) | (2,062,534 | ) | (11,896 | ) | (108,185 | ) | ||||||||
| 378,718 | 3,375,332 | 179,684 | 1,634,065 | |||||||||||||
|
Class R
Shares
|
||||||||||||||||
|
Shares sold
|
125,081 | 1,124,463 | 2,383 | 21,498 | ||||||||||||
|
Reinvestment of distributions
|
578 | 5,280 | 3 | 27 | ||||||||||||
|
Shares redeemed
|
(31,700 | ) | (282,384 | ) | (5 | ) | (44 | ) | ||||||||
| 93,959 | 847,359 | 2,381 | 21,481 | |||||||||||||
|
NET
INCREASE
|
71,885,768 | $ | 653,327,604 | 60,902,712 | $ | 543,331,412 | ||||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
13. SUMMARY
OF SHARE TRANSACTIONS (continued)
Share activity is as follows:
| Commodity Strategy 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
|
15,741,385 | $ | 92,165,763 | 17,048,373 | $ | 95,213,948 | ||||||||||
|
Reinvestment of distributions
|
2,183,308 | 12,954,494 | 349,749 | 2,131,078 | ||||||||||||
|
Shares redeemed
|
(11,882,639 | ) | (68,725,299 | ) | (6,788,932 | ) | (38,345,902 | ) | ||||||||
| 6,042,054 | 36,394,958 | 10,609,190 | 58,999,124 | |||||||||||||
|
Class C
Shares
|
||||||||||||||||
|
Shares sold
|
1,193,935 | 7,056,588 | 706,928 | 4,017,736 | ||||||||||||
|
Reinvestment of distributions
|
122,711 | 719,091 | 12,459 | 75,604 | ||||||||||||
|
Shares redeemed
|
(315,291 | ) | (1,791,668 | ) | (207,187 | ) | (1,151,487 | ) | ||||||||
| 1,001,355 | 5,984,011 | 512,200 | 2,941,853 | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
49,020,104 | 284,116,756 | 63,953,559 | 362,757,707 | ||||||||||||
|
Reinvestment of distributions
|
9,215,907 | 54,716,366 | 1,572,126 | 9,500,613 | ||||||||||||
|
Shares redeemed
|
(28,755,682 | ) | (167,573,577 | ) | (12,178,590 | ) | (69,875,194 | ) | ||||||||
| 29,480,329 | 171,259,545 | 53,347,095 | 302,383,126 | |||||||||||||
|
Class IR
Shares
|
||||||||||||||||
|
Shares sold
|
1,152,211 | 6,758,447 | 9,647 | 60,019 | ||||||||||||
|
Reinvestment of distributions
|
96,274 | 573,610 | 226 | 1,383 | ||||||||||||
|
Shares redeemed
|
(109,154 | ) | (647,896 | ) | (2,205 | ) | (13,414 | ) | ||||||||
| 1,139,331 | 6,684,161 | 7,668 | 47,988 | |||||||||||||
|
Class R
Shares
|
||||||||||||||||
|
Shares sold
|
70,220 | 415,854 | 16,464 | 96,088 | ||||||||||||
|
Reinvestment of distributions
|
6,700 | 39,635 | 339 | 2,079 | ||||||||||||
|
Shares redeemed
|
(18,034 | ) | (110,067 | ) | (902 | ) | (4,841 | ) | ||||||||
| 58,886 | 345,422 | 15,901 | 93,326 | |||||||||||||
|
NET
INCREASE
|
37,721,955 | $ | 220,668,097 | 64,492,054 | $ | 364,465,417 | ||||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
13. SUMMARY
OF SHARE TRANSACTIONS (continued)
Share activity is as follows:
| Dynamic Allocation Fund(a) | ||||||||
|
For the Period
Ended |
||||||||
| December 31, 2010 | ||||||||
| Shares | Dollars | |||||||
|
Class A
Shares
|
||||||||
|
Shares sold
|
4,352,154 | $ | 45,166,472 | |||||
|
Reinvestment of distributions
|
62,849 | 652,372 | ||||||
|
Shares redeemed
|
(314,275 | ) | (3,287,992 | ) | ||||
| 4,100,728 | 42,530,852 | |||||||
|
Class C
Shares
|
||||||||
|
Shares sold
|
822,961 | 8,534,573 | ||||||
|
Reinvestment of distributions
|
12,247 | 126,268 | ||||||
|
Shares redeemed
|
(16,766 | ) | (176,384 | ) | ||||
| 818,442 | 8,484,457 | |||||||
|
Institutional
Shares
|
||||||||
|
Shares sold
|
10,333,683 | 104,381,437 | ||||||
|
Reinvestment of distributions
|
38,577 | 401,978 | ||||||
|
Shares redeemed
|
(2,349,827 | ) | (23,821,413 | ) | ||||
| 8,022,433 | 80,962,002 | |||||||
|
Class IR
Shares
|
||||||||
|
Shares sold
|
4,041,433 | 41,754,942 | ||||||
|
Reinvestment of distributions
|
38,719 | 402,682 | ||||||
|
Shares redeemed
|
(1,858,946 | ) | (19,730,958 | ) | ||||
| 2,221,206 | 22,426,666 | |||||||
|
Class R
Shares
|
||||||||
|
Shares sold
|
1,003 | 10,027 | ||||||
|
Reinvestment of distributions
|
18 | 187 | ||||||
|
Shares redeemed
|
(3 | ) | (27 | ) | ||||
| 1,018 | 10,187 | |||||||
|
NET
INCREASE
|
15,163,827 | $ | 154,414,164 | |||||
| (a) | Commenced operations on January 5, 2010. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
13. SUMMARY
OF SHARE TRANSACTIONS (continued)
Share activity is as follows:
| International Real Estate Securities 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
|
6,914,976 | $ | 41,237,811 | 5,797,557 | $ | 32,534,494 | ||||||||||
|
Reinvestment of distributions
|
1,314,021 | 7,805,029 | 2,264,752 | 13,464,182 | ||||||||||||
|
Shares redeemed
|
(7,304,642 | ) | (43,424,425 | ) | (11,555,756 | ) | (59,739,549 | ) | ||||||||
| 924,355 | 5,618,415 | (3,493,447 | ) | (13,740,873 | ) | |||||||||||
|
Class C
Shares
|
||||||||||||||||
|
Shares sold
|
63,289 | 394,975 | 53,171 | 317,480 | ||||||||||||
|
Reinvestment of distributions
|
22,756 | 135,200 | 69,753 | 413,627 | ||||||||||||
|
Shares redeemed
|
(318,136 | ) | (1,855,602 | ) | (406,083 | ) | (2,047,783 | ) | ||||||||
| (232,091 | ) | (1,325,427 | ) | (283,159 | ) | (1,316,676 | ) | |||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
11,503,997 | 67,725,173 | 13,509,779 | 75,822,884 | ||||||||||||
|
Reinvestment of distributions
|
2,455,284 | 14,309,572 | 3,999,288 | 23,431,748 | ||||||||||||
|
Shares redeemed
|
(10,564,767 | ) | (59,560,289 | ) | (14,378,178 | ) | (76,160,700 | ) | ||||||||
| 3,394,514 | 22,474,456 | 3,130,889 | 23,093,932 | |||||||||||||
|
Class IR
Shares
|
||||||||||||||||
|
Shares sold
|
485 | 3,084 | 3 | 14 | ||||||||||||
|
Reinvestment of distributions
|
94 | 559 | 128 | 759 | ||||||||||||
|
Shares Redeemed
|
(4 | ) | (19 | ) | (3 | ) | (14 | ) | ||||||||
| 575 | 3,624 | 128 | 759 | |||||||||||||
|
NET
INCREASE (DECREASE)
|
4,087,353 | $ | 26,771,068 | (645,589 | ) | $ | 8,037,142 | |||||||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Notes to Financial
Statements (continued)
December 31,
2010
13. SUMMARY
OF SHARE TRANSACTIONS (continued)
Share activity is as follows:
| Real Estate Securities 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
|
4,491,957 | $ | 49,595,556 | 6,515,853 | $ | 48,896,141 | ||||||||||
|
Shares converted from
Class B(a)
|
19,552 | 227,254 | 24,397 | 196,457 | ||||||||||||
|
Reinvestment of distributions
|
221,315 | 2,423,679 | 386,010 | 2,547,938 | ||||||||||||
|
Shares redeemed
|
(5,676,231 | ) | (63,413,349 | ) | (8,776,641 | ) | (63,779,127 | ) | ||||||||
| (943,407 | ) | (11,166,860 | ) | (1,850,381 | ) | (12,138,591 | ) | |||||||||
|
Class B
Shares
|
||||||||||||||||
|
Shares sold
|
14,012 | 152,979 | 30,633 | 221,338 | ||||||||||||
|
Shares converted to
Class A(a)
|
(19,589 | ) | (227,254 | ) | (24,421 | ) | (196,457 | ) | ||||||||
|
Reinvestment of distributions
|
3,661 | 39,947 | 11,290 | 72,640 | ||||||||||||
|
Shares redeemed
|
(169,888 | ) | (1,913,948 | ) | (185,499 | ) | (1,320,684 | ) | ||||||||
| (171,804 | ) | (1,948,276 | ) | (167,997 | ) | (1,223,163 | ) | |||||||||
|
Class C
Shares
|
||||||||||||||||
|
Shares sold
|
269,933 | 2,994,130 | 195,580 | 1,502,855 | ||||||||||||
|
Reinvestment of distributions
|
8,332 | 89,962 | 17,168 | 109,936 | ||||||||||||
|
Shares redeemed
|
(221,034 | ) | (2,395,174 | ) | (264,847 | ) | (1,968,867 | ) | ||||||||
| 57,231 | 688,918 | (52,099 | ) | (356,076 | ) | |||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
12,500,689 | 136,785,846 | 15,443,647 | 118,743,807 | ||||||||||||
|
Reinvestment of distributions
|
733,405 | 8,120,900 | 1,067,933 | 7,266,512 | ||||||||||||
|
Shares redeemed
|
(18,899,686 | ) | (216,559,887 | ) | (10,952,178 | ) | (84,201,453 | ) | ||||||||
| (5,665,592 | ) | (71,653,141 | ) | 5,559,402 | 41,808,866 | |||||||||||
|
Service
Shares
|
||||||||||||||||
|
Shares sold
|
459,681 | 5,071,947 | 435,578 | 3,387,771 | ||||||||||||
|
Reinvestment of distributions
|
2,972 | 32,709 | 6,672 | 44,298 | ||||||||||||
|
Shares redeemed
|
(592,863 | ) | (6,530,942 | ) | (414,614 | ) | (3,212,730 | ) | ||||||||
| (130,210 | ) | (1,426,286 | ) | 27,636 | 219,339 | |||||||||||
|
Class IR
Shares
|
||||||||||||||||
|
Shares sold
|
6,993 | 79,048 | 3 | 19 | ||||||||||||
|
Reinvestment of distributions
|
51 | 580 | 25 | 164 | ||||||||||||
|
Shares redeemed
|
(540 | ) | (6,041 | ) | (3 | ) | (20 | ) | ||||||||
| 6,504 | 73,587 | 25 | 163 | |||||||||||||
|
Class R
Shares
|
||||||||||||||||
|
Shares sold
|
11,014 | 124,103 | 13,373 | 88,635 | ||||||||||||
|
Reinvestment of distributions
|
242 | 2,659 | 325 | 2,129 | ||||||||||||
|
Shares redeemed
|
(3,849 | ) | (42,322 | ) | (2,975 | ) | (25,567 | ) | ||||||||
| 7,407 | 84,440 | 10,723 | 65,197 | |||||||||||||
|
NET
INCREASE (DECREASE)
|
(6,839,871 | ) | $ | (85,347,618 | ) | 3,527,309 | $ | 28,375,735 | ||||||||
| (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. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
13. SUMMARY
OF SHARE TRANSACTIONS (continued)
Share activity is as follows:
| Satellite Strategies Portfolio | ||||||||||||||||
|
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
|
17,975,682 | $ | 136,334,084 | 11,330,049 | $ | 75,981,382 | ||||||||||
|
Reinvestment of distributions
|
1,149,412 | 8,858,652 | 527,251 | 3,618,449 | ||||||||||||
|
Shares redeemed
|
(10,254,730 | ) | (75,605,260 | ) | (4,347,440 | ) | (26,803,412 | ) | ||||||||
| 8,870,364 | 69,587,476 | 7,509,860 | 52,796,419 | |||||||||||||
|
Class C
Shares
|
||||||||||||||||
|
Shares sold
|
7,518,441 | 56,830,320 | 3,547,013 | 24,319,011 | ||||||||||||
|
Reinvestment of distributions
|
379,404 | 2,918,628 | 156,055 | 1,071,988 | ||||||||||||
|
Shares redeemed
|
(2,031,128 | ) | (15,154,853 | ) | (1,533,555 | ) | (9,270,154 | ) | ||||||||
| 5,866,717 | 44,594,095 | 2,169,513 | 16,120,845 | |||||||||||||
|
Institutional
Shares
|
||||||||||||||||
|
Shares sold
|
31,754,076 | 239,536,068 | 27,011,942 | 172,669,283 | ||||||||||||
|
Reinvestment of distributions
|
1,454,891 | 11,199,111 | 667,359 | 4,604,748 | ||||||||||||
|
Shares redeemed
|
(10,603,716 | ) | (79,307,754 | ) | (4,291,437 | ) | (26,461,675 | ) | ||||||||
| 22,605,251 | 171,427,425 | 23,387,864 | 150,812,356 | |||||||||||||
|
Service
Shares
|
||||||||||||||||
|
Shares sold
|
1,597,254 | 12,051,142 | 1,600,255 | 10,964,489 | ||||||||||||
|
Reinvestment of distributions
|
72,736 | 559,559 | 24,713 | 176,374 | ||||||||||||
|
Shares redeemed
|
(388,817 | ) | (2,956,652 | ) | (118,477 | ) | (841,695 | ) | ||||||||
| 1,281,173 | 9,654,049 | 1,506,491 | 10,299,168 | |||||||||||||
|
Class IR
Shares
|
||||||||||||||||
|
Shares sold
|
2,633,674 | 19,590,418 | 851,025 | 6,200,831 | ||||||||||||
|
Reinvestment of distributions
|
124,117 | 955,570 | 19,565 | 140,803 | ||||||||||||
|
Shares redeemed
|
(1,109,887 | ) | (8,021,525 | ) | (8,280 | ) | (60,695 | ) | ||||||||
| 1,647,904 | 12,524,463 | 862,310 | 6,280,939 | |||||||||||||
|
Class R
Shares
|
||||||||||||||||
|
Shares sold
|
75,886 | 565,583 | 19,184 | 139,948 | ||||||||||||
|
Reinvestment of distributions
|
4,228 | 32,581 | 624 | 4,424 | ||||||||||||
|
Shares redeemed
|
(5,964 | ) | (44,340 | ) | (1,753 | ) | (11,295 | ) | ||||||||
| 74,150 | 553,824 | 18,055 | 133,077 | |||||||||||||
|
NET
INCREASE
|
40,345,559 | $ | 308,341,332 | 35,454,093 | $ | 236,442,804 | ||||||||||
GOLDMAN
SACHS ABSOLUTE RETURN TRACKER FUND
Financial Highlights
Selected Data for a Share
Outstanding Throughout Each Period
|
Income (loss)
from |
Distributions |
|||||||||||||||||||||||||||||||
| investment operations | to shareholders | |||||||||||||||||||||||||||||||
|
Net asset |
Net |
|||||||||||||||||||||||||||||||
|
value, |
investment |
Net realized |
Total from |
From net |
From net |
|||||||||||||||||||||||||||
|
beginning |
income |
and unrealized |
investment |
investment |
realized |
Total |
||||||||||||||||||||||||||
| Year - Share Class | of period | (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||
| 2010 - A | $ | 9.06 | $ | (0.13 | ) | $ | 0.38 | $ | 0.25 | $ | — | $ | (0.06 | ) | $ | (0.06 | ) | |||||||||||||||
| 2010 - C | 8.96 | (0.19 | ) | 0.37 | 0.18 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||||||
| 2010 - Institutional | 9.11 | (0.09 | ) | 0.38 | 0.29 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||||||
| 2010 - IR | 9.09 | (0.10 | ) | 0.38 | 0.28 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||||||
| 2010 - R | 9.03 | (0.14 | ) | 0.37 | 0.23 | — | (0.06 | ) | (0.06 | ) | ||||||||||||||||||||||
| 2009 - A | 8.58 | (0.12 | ) | 0.62 | 0.50 | (0.01 | ) | (0.01 | ) | (0.02 | ) | |||||||||||||||||||||
| 2009 - C | 8.54 | (0.19 | ) | 0.62 | 0.43 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||||||
| 2009 - Institutional | 8.60 | (0.08 | ) | 0.62 | 0.54 | (0.02 | ) | (0.01 | ) | (0.03 | ) | |||||||||||||||||||||
| 2009 - IR | 8.59 | (0.11 | ) | 0.64 | 0.53 | (0.02 | ) | (0.01 | ) | (0.03 | ) | |||||||||||||||||||||
| 2009 - R | 8.57 | (0.14 | ) | 0.61 | 0.47 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||||||
| FOR THE PERIOD ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||
| 2008 - A (Commenced May 30, 2008) | 10.00 | 0.01 | (1.43 | ) | (1.42 | ) | — | — | — | |||||||||||||||||||||||
| 2008 - C (Commenced May 30, 2008) | 10.00 | (0.03 | ) | (1.43 | ) | (1.46 | ) | — | — | — | ||||||||||||||||||||||
| 2008 - Institutional (Commenced May 30, 2008) | 10.00 | 0.04 | (1.44 | ) | (1.40 | ) | — | — | — | |||||||||||||||||||||||
| 2008 - IR (Commenced May 30, 2008) | 10.00 | 0.04 | (1.45 | ) | (1.41 | ) | — | — | — | |||||||||||||||||||||||
| 2008 - R (Commenced May 30, 2008) | 10.00 | 0.01 | (1.44 | ) | (1.43 | ) | — | — | — | |||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period 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. |
GOLDMAN
SACHS ABSOLUTE RETURN TRACKER FUND
|
Ratio of |
||||||||||||||||||||||||||||||
|
Net assets, |
Ratio of |
Ratio of |
net investment |
|||||||||||||||||||||||||||
|
Net asset |
end of |
net expenses |
total expenses |
income (loss) |
Portfolio |
|||||||||||||||||||||||||
|
value, end |
Total |
period |
to average |
to average |
to average |
turnover |
||||||||||||||||||||||||
| of period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||
| $ | 9.25 | 2.73 | % | $ | 490,567 | 1.59 | % | 1.63 | % | (1.39 | )% | 132 | % | |||||||||||||||||
| 9.08 | 1.98 | 78,423 | 2.34 | 2.38 | (2.13 | ) | 132 | |||||||||||||||||||||||
| 9.34 | 3.16 | 786,120 | 1.19 | 1.23 | (0.97 | ) | 132 | |||||||||||||||||||||||
| 9.31 | 3.05 | 5,206 | 1.34 | 1.38 | (1.12 | ) | 132 | |||||||||||||||||||||||
| 9.20 | 2.52 | 895 | 1.84 | 1.88 | (1.60 | ) | 132 | |||||||||||||||||||||||
| 9.06 | 5.75 | 322,502 | 1.60 | 1.86 | (1.36 | ) | 126 | |||||||||||||||||||||||
| 8.96 | 5.01 | 47,012 | 2.35 | 2.61 | (2.13 | ) | 126 | |||||||||||||||||||||||
| 9.11 | 6.28 | 305,992 | 1.20 | 1.46 | (0.93 | ) | 126 | |||||||||||||||||||||||
| 9.09 | 6.15 | 1,642 | 1.35 | 1.61 | (1.18 | ) | 126 | |||||||||||||||||||||||
| 9.03 | 5.46 | 31 | 1.85 | 2.11 | (1.60 | ) | 126 | |||||||||||||||||||||||
| 8.58 | (14.20 | ) | 41,900 | 1.60 | (c) | 3.58 | (c) | 0.08 | (c) | 331 | ||||||||||||||||||||
| 8.54 | (14.60 | ) | 2,985 | 2.35 | (c) | 4.33 | (c) | (0.68 | )(c) | 331 | ||||||||||||||||||||
| 8.60 | (14.00 | ) | 72,903 | 1.20 | (c) | 3.18 | (c) | 0.72 | (c) | 331 | ||||||||||||||||||||
| 8.59 | (14.10 | ) | 9 | 1.35 | (c) | 3.33 | (c) | 0.98 | (c) | 331 | ||||||||||||||||||||
| 8.57 | (14.30 | ) | 9 | 1.85 | (c) | 3.83 | (c) | 0.48 | (c) | 331 | ||||||||||||||||||||
GOLDMAN
SACHS COMMODITY STRATEGY FUND
Financial Highlights
Selected Data for a Share
Outstanding Throughout Each Period
|
Income (loss)
from |
Distributions |
|||||||||||||||||||||||||||||||
|
Net asset |
investment operations | to shareholders | ||||||||||||||||||||||||||||||
|
value, |
Net |
Net realized |
Total from |
From net |
From net |
|||||||||||||||||||||||||||
|
beginning |
investment |
and unrealized |
investment |
investment |
realized |
Total |
||||||||||||||||||||||||||
| Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||
| 2010 - A | $ | 6.19 | $ | (0.02 | ) | $ | 0.52 | $ | 0.50 | $ | (0.66 | ) | $ | — | $ | (0.66 | ) | |||||||||||||||
| 2010 - C | 6.14 | (0.06 | ) | 0.51 | 0.45 | (0.64 | ) | — | (0.64 | ) | ||||||||||||||||||||||
| 2010 - Institutional | 6.19 | — | (c) | 0.52 | 0.52 | (0.67 | ) | — | (0.67 | ) | ||||||||||||||||||||||
| 2010 - IR | 6.20 | (0.01 | ) | 0.53 | 0.52 | (0.67 | ) | — | (0.67 | ) | ||||||||||||||||||||||
| 2010 - R | 6.18 | (0.04 | ) | 0.52 | 0.48 | (0.65 | ) | — | (0.65 | ) | ||||||||||||||||||||||
| 2009 - A | 5.40 | 0.02 | 0.91 | 0.93 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||||
| 2009 - C | 5.38 | (0.02 | ) | 0.90 | 0.88 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||||||
| 2009 - Institutional | 5.43 | 0.04 | 0.88 | 0.92 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||||
| 2009 - IR | 5.40 | 0.05 | 0.90 | 0.95 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
| 2009 - R | 5.40 | — | (c) | 0.92 | 0.92 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||
| 2008 - A | 12.22 | 0.20 | (6.19 | ) | (5.99 | ) | (0.21 | )(d) | (0.62 | ) | (0.83 | ) | ||||||||||||||||||||
| 2008 - C | 12.20 | 0.11 | (6.18 | ) | (6.07 | ) | (0.13 | )(d) | (0.62 | ) | (0.75 | ) | ||||||||||||||||||||
| 2008 - Institutional | 12.26 | 0.25 | (6.21 | ) | (5.96 | ) | (0.25 | )(d) | (0.62 | ) | (0.87 | ) | ||||||||||||||||||||
| 2008 - IR | 12.21 | 0.23 | (6.18 | ) | (5.95 | ) | (0.24 | )(d) | (0.62 | ) | (0.86 | ) | ||||||||||||||||||||
| 2008 - R | 12.21 | 0.17 | (6.18 | ) | (6.01 | ) | (0.18 | )(d) | (0.62 | ) | (0.80 | ) | ||||||||||||||||||||
| FOR THE PERIOD ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||
| 2007 - A (Commenced March 30, 2007) | 10.00 | 0.19 | 2.22 | 2.41 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||||||
| 2007 - C (Commenced March 30, 2007) | 10.00 | 0.13 | 2.22 | 2.35 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||
| 2007 - Institutional (Commenced March 30, 2007) | 10.00 | 0.23 | 2.24 | 2.47 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||||
| 2007 - IR (Commenced November 30, 2007) | 11.62 | 0.03 | 0.63 | 0.66 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
| 2007 - R (Commenced November 30, 2007) | 11.62 | 0.02 | 0.64 | 0.66 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period 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) | Amount is less than $0.005 per share. |
| (d) | Includes distribution of capital of less than $0.005 per share. |
| (e) | Annualized. |
| (f) | The portfolio turnover rate excluding the effect of mortgage dollar rolls was 124% for the fiscal year ended December 31, 2010. Prior years include the effect of mortgage dollar roll transactions, if any. |
GOLDMAN
SACHS COMMODITY STRATEGY FUND
|
Ratio of |
||||||||||||||||||||||||||||||
|
Net Assets, |
Ratio of |
Ratio of |
net investment |
|||||||||||||||||||||||||||
|
Net asset |
end of |
net expenses |
total expenses |
income (loss) |
Portfolio |
|||||||||||||||||||||||||
|
value, end |
Total |
period |
to average |
to average |
to average |
turnover |
||||||||||||||||||||||||
| of period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||
| $ | 6.03 | 8.46 | % | $ | 145,288 | 0.92 | % | 0.96 | % | (0.34 | )% | 162 | %(f) | |||||||||||||||||
| 5.95 | 7.70 | 11,455 | 1.67 | 1.71 | (1.10 | ) | 162 | (f) | ||||||||||||||||||||||
| 6.04 | 8.85 | 641,978 | 0.58 | 0.62 | (0.02 | ) | 162 | (f) | ||||||||||||||||||||||
| 6.05 | 8.79 | 6,957 | 0.67 | 0.71 | (0.23 | ) | 162 | (f) | ||||||||||||||||||||||
| 6.01 | 8.20 | 459 | 1.17 | 1.21 | (0.63 | ) | 162 | (f) | ||||||||||||||||||||||
| 6.19 | 17.12 | 111,685 | 0.92 | 1.04 | 0.37 | 104 | ||||||||||||||||||||||||
| 6.14 | 16.15 | 5,669 | 1.67 | 1.79 | (0.35 | ) | 104 | |||||||||||||||||||||||
| 6.19 | 16.84 | 475,318 | 0.58 | 0.70 | 0.65 | 104 | ||||||||||||||||||||||||
| 6.20 | 17.76 | 67 | 0.68 | 0.79 | 0.81 | 104 | ||||||||||||||||||||||||
| 6.18 | 17.07 | 109 | 1.17 | 1.29 | 0.01 | 104 | ||||||||||||||||||||||||
| 5.40 | (49.23 | ) | 40,118 | 0.92 | 1.06 | 1.62 | 279 | |||||||||||||||||||||||
| 5.38 | (49.66 | ) | 2,208 | 1.67 | 1.81 | 0.91 | 279 | |||||||||||||||||||||||
| 5.43 | (48.96 | ) | 127,630 | 0.58 | 0.72 | 1.97 | 279 | |||||||||||||||||||||||
| 5.40 | (49.14 | ) | 17 | 0.67 | 0.81 | 1.90 | 279 | |||||||||||||||||||||||
| 5.40 | (49.39 | ) | 9 | 1.17 | 1.31 | 1.43 | 279 | |||||||||||||||||||||||
| 12.22 | 24.27 | 86,648 | 0.93 | (e) | 1.09 | (e) | 2.36 | (e) | 83 | |||||||||||||||||||||
| 12.20 | 23.66 | 684 | 1.68 | (e) | 1.84 | (e) | 1.48 | (e) | 83 | |||||||||||||||||||||
| 12.26 | 24.95 | 290,380 | 0.58 | (e) | 0.74 | (e) | 2.73 | (e) | 83 | |||||||||||||||||||||
| 12.21 | 5.71 | 11 | 0.67 | (e) | 0.83 | (e) | 2.56 | (e) | 83 | |||||||||||||||||||||
| 12.21 | 5.67 | 11 | 1.17 | (e) | 1.33 | (e) | 2.08 | (e) | 83 | |||||||||||||||||||||
GOLDMAN
SACHS DYNAMIC ALLOCATION FUND
Financial Highlights
Selected Data for a Share
Outstanding Throughout the Period
|
Income (loss)
from |
||||||||||||||||||||||||||||||||||||
| investment operations | ||||||||||||||||||||||||||||||||||||
|
Distributions |
||||||||||||||||||||||||||||||||||||
|
Net asset |
to
shareholders |
Net asset |
||||||||||||||||||||||||||||||||||
|
value, |
Net |
Net realized |
Total from |
from net |
value, |
|||||||||||||||||||||||||||||||
|
beginning |
investment |
and unrealized |
investment |
realized |
end of |
Total |
||||||||||||||||||||||||||||||
| Year - Share Class | of period | loss(a) | gain | operations | gains | period | return(b) | |||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
| 2010 - A (Commenced January 5, 2010) | $ | 10.00 | $ | (0.04 | ) | $ | 0.77 | $ | 0.73 | $ | (0.19 | ) | $ | 10.54 | 7.29 | % | ||||||||||||||||||||
| 2010 - C (Commenced January 5, 2010) | 10.00 | (0.11 | ) | 0.77 | 0.66 | (0.19 | ) | 10.47 | 6.59 | |||||||||||||||||||||||||||
| 2010 - Institutional (Commenced January 5, 2010) | 10.00 | (0.01 | ) | 0.79 | 0.78 | (0.19 | ) | 10.59 | 7.80 | |||||||||||||||||||||||||||
| 2010 - IR (Commenced January 5, 2010) | 10.00 | (0.04 | ) | 0.80 | 0.76 | (0.19 | ) | 10.57 | 7.60 | |||||||||||||||||||||||||||
| 2010 - R (Commenced January 5, 2010) | 10.00 | (0.07 | ) | 0.78 | 0.71 | (0.19 | ) | 10.52 | 7.10 | |||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period 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. |
GOLDMAN
SACHS DYNAMIC ALLOCATION FUND
|
Ratio of |
Ratio of |
Ratio of |
Ratio of |
|||||||||||||||||||||||||||||||
|
net expenses |
net expenses |
total expenses |
total expenses |
|||||||||||||||||||||||||||||||
|
to average |
to average |
to average |
to average |
|||||||||||||||||||||||||||||||
|
net assets |
net assets |
net assets |
net assets |
|||||||||||||||||||||||||||||||
|
(including |
(excluding |
(including |
(excluding |
Portfolio |
Portfolio |
|||||||||||||||||||||||||||||
|
Net assets, |
interest and |
interest and |
interest and |
interest and |
Ratio of |
turnover rate |
turnover rate |
|||||||||||||||||||||||||||
|
end of |
dividend
expense |
dividend
expense |
dividend
expense |
dividend
expense |
net investment |
(including |
(excluding |
|||||||||||||||||||||||||||
|
period |
for securities |
for securities |
for securities |
for securities |
loss to
average |
securities |
securities |
|||||||||||||||||||||||||||
| (in 000s) | sold short)(c) | sold short)(c) | sold short)(c) | sold short(c) | net assets(c) | sold short) | sold short) | |||||||||||||||||||||||||||
| $ | 43,222 | 1.41 | % | 1.39 | % | 2.13 | % | 2.11 | % | (0.39 | )% | 180 | % | 175 | % | |||||||||||||||||||
| 8,567 | 2.16 | 2.14 | 2.88 | 2.86 | (1.06 | ) | 180 | 175 | ||||||||||||||||||||||||||
| 84,928 | 1.01 | 0.99 | 1.73 | 1.71 | (0.14 | ) | 180 | 175 | ||||||||||||||||||||||||||
| 23,477 | 1.16 | 1.14 | 1.88 | 1.86 | (0.38 | ) | 180 | 175 | ||||||||||||||||||||||||||
| 11 | 1.66 | 1.64 | 2.38 | 2.36 | (0.66 | ) | 180 | 175 | ||||||||||||||||||||||||||
GOLDMAN
SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights
Selected Data for a Share
Outstanding Throughout Each Period
|
Income (loss)
from |
Distributions |
|||||||||||||||||||||||||||||||||||
| investment operations | to shareholders | |||||||||||||||||||||||||||||||||||
|
Net asset |
||||||||||||||||||||||||||||||||||||
|
value, |
Net |
Net realized |
Total from |
From net |
From net |
|||||||||||||||||||||||||||||||
|
beginning |
investment |
and unrealized |
investment |
investment |
realized |
From |
Total |
|||||||||||||||||||||||||||||
| Year - Share Class | of period | income(a) | gain (loss) | operations | income | gains | capital | distributions | ||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
| 2010 - A | $ | 6.01 | $ | 0.22 | $ | 0.51 | $ | 0.73 | $ | (0.42 | ) | $ | — | $ | — | $ | (0.42 | ) | ||||||||||||||||||
| 2010 - C | 5.98 | 0.16 | 0.54 | 0.70 | (0.34 | ) | — | — | (0.34 | ) | ||||||||||||||||||||||||||
| 2010 - Institutional | 5.92 | 0.25 | 0.49 | 0.74 | (0.46 | ) | — | — | (0.46 | ) | ||||||||||||||||||||||||||
| 2010 - IR | 6.00 | 0.27 | 0.48 | 0.75 | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||||||||
| 2009 - A | 5.14 | 0.14(c | ) | 1.56 | 1.70 | (0.81 | ) | — | (0.02 | ) | (0.83 | ) | ||||||||||||||||||||||||
| 2009 - C | 5.10 | 0.10(c | ) | 1.54 | 1.64 | (0.74 | ) | — | (0.02 | ) | (0.76 | ) | ||||||||||||||||||||||||
| 2009 - Institutional | 5.10 | 0.16(c | ) | 1.53 | 1.69 | (0.85 | ) | — | (0.02 | ) | (0.87 | ) | ||||||||||||||||||||||||
| 2009 - IR | 5.14 | 0.15(c | ) | 1.56 | 1.71 | (0.83 | ) | — | (0.02 | ) | (0.85 | ) | ||||||||||||||||||||||||
| 2008 - A | 10.85 | 0.15 | (5.77 | ) | (5.62 | ) | — | — | (0.09 | ) | (0.09 | ) | ||||||||||||||||||||||||
| 2008 - C | 10.80 | 0.10 | (5.73 | ) | (5.63 | ) | — | — | (0.07 | ) | (0.07 | ) | ||||||||||||||||||||||||
| 2008 - Institutional | 10.84 | 0.19 | (5.82 | ) | (5.63 | ) | — | — | (0.11 | ) | (0.11 | ) | ||||||||||||||||||||||||
| 2008 - IR | 10.81 | 0.17 | (5.74 | ) | (5.57 | ) | — | — | (0.10 | ) | (0.10 | ) | ||||||||||||||||||||||||
| 2007 - A | 12.01 | 0.16 | (0.44 | ) | (0.28 | ) | (0.84 | ) | (0.04 | ) | — | (0.88 | ) | |||||||||||||||||||||||
| 2007 - C | 11.98 | 0.07 | (0.43 | ) | (0.36 | ) | (0.78 | ) | (0.04 | ) | — | (0.82 | ) | |||||||||||||||||||||||
| 2007 - Institutional | 12.03 | 0.21 | (0.45 | ) | (0.24 | ) | (0.91 | ) | (0.04 | ) | — | (0.95 | ) | |||||||||||||||||||||||
| 2007 - IR (Commenced November 30, 2007) | 12.40 | 0.03 | (0.77 | ) | (0.74 | ) | (0.81 | ) | (0.04 | ) | — | (0.85 | ) | |||||||||||||||||||||||
| FOR THE PERIOD ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
| 2006 - A (Commenced July 31, 2006) | 10.00 | 0.07 | 2.04 | 2.11 | (0.10 | ) | — | — | (0.10 | ) | ||||||||||||||||||||||||||
| 2006 - C (Commenced July 31, 2006) | 10.00 | 0.06 | 2.01 | 2.07 | (0.09 | ) | — | — | (0.09 | ) | ||||||||||||||||||||||||||
| 2006 - Institutional (Commenced July 31, 2006) | 10.00 | 0.09 | 2.05 | 2.14 | (0.11 | ) | — | — | (0.11 | ) | ||||||||||||||||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period 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 amounted to $0.01 per share and 0.15% of net assets. |
| (d) | Annualized. |
| (e) | The ratio is not annualized as the Fund’s income for the year ended December 31, 2007 did not correlate to the income earned during the class’s period of operation due to timing of income recognition. |
GOLDMAN
SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
|
Ratio of |
||||||||||||||||||||||||||||||
|
Net asset |
Net assets, |
Ratio of |
Ratio of |
net investment |
||||||||||||||||||||||||||
|
value, |
end of |
net expenses |
total expenses |
income |
Portfolio |
|||||||||||||||||||||||||
|
end of |
Total |
period |
to average |
to average |
to average |
turnover |
||||||||||||||||||||||||
| period | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||
| $ | 6.32 | 12.73 | % | $ | 140,955 | 1.53 | % | 1.62 | % | 3.74 | % | 69 | % | |||||||||||||||||
| 6.34 | 12.08 | 3,157 | 2.28 | 2.37 | 2.78 | 69 | ||||||||||||||||||||||||
| 6.20 | 13.10 | 238,149 | 1.13 | 1.22 | 4.19 | 69 | ||||||||||||||||||||||||
| 6.30 | 13.07 | 10 | 1.28 | 1.37 | 4.46 | 69 | ||||||||||||||||||||||||
| 6.01 | 33.46 | 128,398 | 1.53 | 1.62 | 2.48 | (c) | 115 | |||||||||||||||||||||||
| 5.98 | 32.47 | 4,370 | 2.28 | 2.37 | 1.79 | (c) | 115 | |||||||||||||||||||||||
| 5.92 | 33.46 | 206,999 | 1.13 | 1.22 | 2.82 | (c) | 115 | |||||||||||||||||||||||
| 6.00 | 33.74 | 6 | 1.28 | 1.37 | 2.70 | (c) | 115 | |||||||||||||||||||||||
| 5.14 | (52.04 | ) | 127,811 | 1.53 | 1.60 | 1.77 | 96 | |||||||||||||||||||||||
| 5.10 | (52.33 | ) | 5,175 | 2.28 | 2.35 | 1.20 | 96 | |||||||||||||||||||||||
| 5.10 | (52.25 | ) | 162,396 | 1.13 | 1.20 | 2.21 | 96 | |||||||||||||||||||||||
| 5.14 | (51.78 | ) | 5 | 1.28 | 1.35 | 2.11 | 96 | |||||||||||||||||||||||
| 10.85 | (2.56 | ) | 599,660 | 1.54 | 1.58 | 1.24 | 86 | |||||||||||||||||||||||
| 10.80 | (3.22 | ) | 16,999 | 2.29 | 2.33 | 0.56 | 86 | |||||||||||||||||||||||
| 10.84 | (2.23 | ) | 620,012 | 1.14 | 1.18 | 1.64 | 86 | |||||||||||||||||||||||
| 10.81 | (6.20 | ) | 9 | 1.29 | (d) | 1.33 | (d) | 0.23 | (e) | 86 | ||||||||||||||||||||
| 12.01 | 21.14 | 283,571 | 1.53 | (d) | 1.76 | (d) | 1.55 | (d) | 13 | |||||||||||||||||||||
| 11.98 | 20.73 | 833 | 2.28 | (d) | 2.51 | (d) | 1.19 | (d) | 13 | |||||||||||||||||||||
| 12.03 | 21.33 | 347,684 | 1.13 | (d) | 1.36 | (d) | 1.89 | (d) | 13 | |||||||||||||||||||||
GOLDMAN
SACHS REAL ESTATE SECURITIES FUND
Financial Highlights
Selected Data for a Share
Outstanding Throughout Each Year
|
Income (loss)
from |
Distributions |
|||||||||||||||||||||||||||||||||||
| investment operations | to shareholders | |||||||||||||||||||||||||||||||||||
|
Net asset |
Net |
|||||||||||||||||||||||||||||||||||
|
value, |
investment |
Net realized |
Total from |
From net |
From net |
|||||||||||||||||||||||||||||||
|
beginning |
income |
and unrealized |
investment |
investment |
realized |
From |
Total |
|||||||||||||||||||||||||||||
| Year - Share Class | of year | (loss)(a) | gain (loss) | operations | income | gains | capital | distributions | ||||||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||||||
| 2010 - A | $ | 9.99 | $ | 0.10 | $ | 2.58 | $ | 2.68 | $ | (0.20 | ) | $ | — | $ | — | $ | (0.20 | ) | ||||||||||||||||||
| 2010 - B | 9.98 | 0.01 | 2.59 | 2.60 | (0.13 | ) | — | — | (0.13 | ) | ||||||||||||||||||||||||||
| 2010 - C | 9.84 | 0.02 | 2.54 | 2.56 | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||||||
| 2010 - Institutional | 10.09 | 0.15 | 2.61 | 2.76 | (0.23 | ) | — | — | (0.23 | ) | ||||||||||||||||||||||||||
| 2010 - Service | 10.05 | 0.09 | 2.60 | 2.69 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||||||
| 2010 - IR | 10.00 | 0.18 | 2.54 | 2.72 | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||||||||
| 2010 - R | 9.97 | 0.08 | 2.57 | 2.65 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||||||
| 2009 - A | 8.25 | 0.21 | 1.75 | 1.96 | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||||||||
| 2009 - B | 8.25 | 0.16 | 1.74 | 1.90 | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||||||
| 2009 - C | 8.15 | 0.16 | 1.71 | 1.87 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||||||
| 2009 - Institutional | 8.34 | 0.25 | 1.75 | 2.00 | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||||||
| 2009 - Service | 8.31 | 0.21 | 1.74 | 1.95 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||||||
| 2009 - IR | 8.27 | 0.24 | 1.73 | 1.97 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||||||
| 2009 - R | 8.25 | 0.20 | 1.73 | 1.93 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||||||
| 2008 - A | 15.50 | 0.22 | (6.50 | ) | (6.28 | ) | (0.26 | ) | (0.59 | ) | (0.12 | ) | (0.97 | ) | ||||||||||||||||||||||
| 2008 - B | 15.51 | 0.11 | (6.49 | ) | (6.38 | ) | (0.20 | ) | (0.59 | ) | (0.09 | ) | (0.88 | ) | ||||||||||||||||||||||
| 2008 - C | 15.34 | 0.11 | (6.42 | ) | (6.31 | ) | (0.20 | ) | (0.59 | ) | (0.09 | ) | (0.88 | ) | ||||||||||||||||||||||
| 2008 - Institutional | 15.61 | 0.29 | (6.55 | ) | (6.26 | ) | (0.29 | ) | (0.59 | ) | (0.13 | ) | (1.01 | ) | ||||||||||||||||||||||
| 2008 - Service | 15.59 | 0.23 | (6.55 | ) | (6.32 | ) | (0.26 | ) | (0.59 | ) | (0.11 | ) | (0.96 | ) | ||||||||||||||||||||||
| 2008 - IR | 15.50 | 0.27 | (6.50 | ) | (6.23 | ) | (0.29 | ) | (0.59 | ) | (0.12 | ) | (1.00 | ) | ||||||||||||||||||||||
| 2008 - R | 15.50 | 0.22 | (6.53 | ) | (6.31 | ) | (0.24 | ) | (0.59 | ) | (0.11 | ) | (0.94 | ) | ||||||||||||||||||||||
| 2007 - A | 22.40 | 0.16 | (3.61 | ) | (3.45 | ) | (0.31 | ) | (3.14 | ) | — | (3.45 | ) | |||||||||||||||||||||||
| 2007 - B | 22.44 | (0.04 | ) | (3.58 | ) | (3.62 | ) | (0.17 | ) | (3.14 | ) | — | (3.31 | ) | ||||||||||||||||||||||
| 2007 - C | 22.24 | (0.02 | ) | (3.56 | ) | (3.58 | ) | (0.18 | ) | (3.14 | ) | — | (3.32 | ) | ||||||||||||||||||||||
| 2007 - Institutional | 22.51 | 0.25 | (3.64 | ) | (3.39 | ) | (0.37 | ) | (3.14 | ) | — | (3.51 | ) | |||||||||||||||||||||||
| 2007 - Service | 22.51 | 0.12 | (3.62 | ) | (3.50 | ) | (0.28 | ) | (3.14 | ) | — | (3.42 | ) | |||||||||||||||||||||||
| 2007 - IR (Commenced November 30, 2007) | 19.47 | (0.11 | ) | (0.72 | ) | (0.83 | ) | — | (3.14 | ) | — | (3.14 | ) | |||||||||||||||||||||||
| 2007 - R (Commenced November 30, 2007) | 19.47 | (0.11 | ) | (0.72 | ) | (0.83 | ) | — | (3.14 | ) | — | (3.14 | ) | |||||||||||||||||||||||
| 2006 - A | 18.04 | 0.22 | 5.94 | 6.16 | (0.33 | ) | (1.47 | ) | — | (1.80 | ) | |||||||||||||||||||||||||
| 2006 - B | 18.10 | 0.05 | 5.97 | 6.02 | (0.21 | ) | (1.47 | ) | — | (1.68 | ) | |||||||||||||||||||||||||
| 2006 - C | 17.96 | 0.06 | 5.90 | 5.96 | (0.21 | ) | (1.47 | ) | — | (1.68 | ) | |||||||||||||||||||||||||
| 2006 - Institutional | 18.10 | 0.31 | 5.96 | 6.27 | (0.39 | ) | (1.47 | ) | — | (1.86 | ) | |||||||||||||||||||||||||
| 2006 - Service | 18.13 | 0.22 | 5.94 | 6.16 | (0.31 | ) | (1.47 | ) | — | (1.78 | ) | |||||||||||||||||||||||||
| (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) | The ratio is not annualized as the Fund’s income for the year ended December 31, 2007 did not correlate to the income earned during the class’s period of operation due to timing of income recognition. |
GOLDMAN
SACHS REAL ESTATE SECURITIES FUND
|
Ratio of |
||||||||||||||||||||||||||||||
|
Net assets, |
Ratio of |
Ratio of |
net investment |
|||||||||||||||||||||||||||
|
Net asset |
end of |
net expenses |
total expenses |
income (loss) |
Portfolio |
|||||||||||||||||||||||||
|
value, end |
Total |
year |
to average |
to average |
to average |
turnover |
||||||||||||||||||||||||
| of year | return(b) | (in 000s) | net assets | net assets | net assets | rate | ||||||||||||||||||||||||
| $ | 12.47 | 27.07 | % | $ | 161,065 | 1.44 | % | 1.50 | % | 0.95 | % | 59 | % | |||||||||||||||||
| 12.45 | 26.18 | 2,923 | 2.19 | 2.25 | 0.13 | 59 | ||||||||||||||||||||||||
| 12.26 | 26.18 | 10,907 | 2.19 | 2.25 | 0.21 | 59 | ||||||||||||||||||||||||
| 12.62 | 27.67 | 373,776 | 1.04 | 1.10 | 1.33 | 59 | ||||||||||||||||||||||||
| 12.55 | 26.99 | 5,345 | 1.54 | 1.60 | 0.83 | 59 | ||||||||||||||||||||||||
| 12.50 | 27.39 | 90 | 1.19 | 1.25 | 1.50 | 59 | ||||||||||||||||||||||||
| 12.44 | 26.80 | 237 | 1.69 | 1.75 | 0.78 | 59 | ||||||||||||||||||||||||
| 9.99 | 25.12 | 138,409 | 1.44 | 1.55 | 2.76 | 114 | ||||||||||||||||||||||||
| 9.98 | 24.20 | 4,058 | 2.19 | 2.30 | 2.08 | 114 | ||||||||||||||||||||||||
| 9.84 | 24.09 | 8,192 | 2.19 | 2.30 | 2.08 | 114 | ||||||||||||||||||||||||
| 10.09 | 25.48 | 356,025 | 1.04 | 1.15 | 3.18 | 114 | ||||||||||||||||||||||||
| 10.05 | 24.84 | 5,589 | 1.54 | 1.65 | 2.73 | 114 | ||||||||||||||||||||||||
| 10.00 | 25.39 | 7 | 1.19 | 1.30 | 3.07 | 114 | ||||||||||||||||||||||||
| 9.97 | 24.81 | 116 | 1.69 | 1.80 | 2.44 | 114 | ||||||||||||||||||||||||
| 8.25 | (40.89 | ) | 129,634 | 1.44 | 1.51 | 1.60 | 39 | |||||||||||||||||||||||
| 8.25 | (41.29 | ) | 4,742 | 2.19 | 2.26 | 0.81 | 39 | |||||||||||||||||||||||
| 8.15 | (41.27 | ) | 7,208 | 2.19 | 2.26 | 0.90 | 39 | |||||||||||||||||||||||
| 8.34 | (40.54 | ) | 247,916 | 1.04 | 1.11 | 2.19 | 39 | |||||||||||||||||||||||
| 8.31 | (40.88 | ) | 4,389 | 1.54 | 1.61 | 1.72 | 39 | |||||||||||||||||||||||
| 8.27 | (40.64 | ) | 6 | 1.19 | 1.26 | 2.04 | 39 | |||||||||||||||||||||||
| 8.25 | (41.00 | ) | 7 | 1.69 | 1.76 | 1.76 | 39 | |||||||||||||||||||||||
| 15.50 | (15.97 | ) | 317,274 | 1.45 | 1.49 | 0.71 | 42 | |||||||||||||||||||||||
| 15.51 | (16.59 | ) | 12,074 | 2.20 | 2.24 | (0.20 | ) | 42 | ||||||||||||||||||||||
| 15.34 | (16.58 | ) | 16,065 | 2.20 | 2.24 | (0.12 | ) | 42 | ||||||||||||||||||||||
| 15.61 | (15.63 | ) | 413,030 | 1.05 | 1.09 | 1.12 | 42 | |||||||||||||||||||||||
| 15.59 | (16.07 | ) | 7,262 | 1.55 | 1.59 | 0.53 | 42 | |||||||||||||||||||||||
| 15.50 | (4.69 | ) | 10 | 1.19 | (c) | 1.23 | (c) | (0.48 | )(d) | 42 | ||||||||||||||||||||
| 15.50 | (4.69 | ) | 10 | 1.69 | (c) | 1.73 | (c) | (0.52 | )(d) | 42 | ||||||||||||||||||||
| 22.40 | 34.31 | 442,983 | 1.44 | 1.50 | 1.05 | 30 | ||||||||||||||||||||||||
| 22.44 | 33.33 | 23,799 | 2.19 | 2.25 | 0.24 | 30 | ||||||||||||||||||||||||
| 22.24 | 33.29 | 25,948 | 2.19 | 2.25 | 0.27 | 30 | ||||||||||||||||||||||||
| 22.51 | 34.86 | 557,831 | 1.04 | 1.10 | 1.47 | 30 | ||||||||||||||||||||||||
| 22.51 | 34.17 | 12,081 | 1.54 | 1.60 | 1.05 | 30 | ||||||||||||||||||||||||
GOLDMAN
SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights
Selected Data for a Share
Outstanding Throughout Each Period
|
Income (loss)
from |
Distributions |
|||||||||||||||||||||||||||||||
|
Net asset |
investment operations | to shareholders | ||||||||||||||||||||||||||||||
|
value, |
Net |
Net realized |
Total from |
From net |
From net |
|||||||||||||||||||||||||||
|
beginning |
investment |
and unrealized |
investment |
investment |
realized |
Total |
||||||||||||||||||||||||||
| Year - Share Class | of period | income(a)(b) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
| FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||
| 2010 - A | $ | 7.34 | $ | 0.40 | $ | 0.62 | $ | 1.02 | $ | (0.41 | ) | $ | — | $ | (0.41 | ) | ||||||||||||||||
| 2010 - C | 7.31 | 0.34 | 0.63 | 0.97 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||||||
| 2010 - Institutional | 7.33 | 0.42 | 0.63 | 1.05 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||||||
| 2010 - Service | 7.31 | 0.38 | 0.63 | 1.01 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||||||
| 2010 - IR | 7.34 | 0.42 | 0.61 | 1.03 | (0.43 | ) | — | (0.43 | ) | |||||||||||||||||||||||
| 2010 - R | 7.32 | 0.41 | 0.59 | 1.00 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||||||
| 2009 - A | 5.58 | 0.36 | 1.69 | 2.05 | (0.27 | ) | (0.02 | ) | (0.29 | ) | ||||||||||||||||||||||
| 2009 - C | 5.56 | 0.31 | 1.69 | 2.00 | (0.23 | ) | (0.02 | ) | (0.25 | ) | ||||||||||||||||||||||
| 2009 - Institutional | 5.57 | 0.42 | 1.66 | 2.08 | (0.30 | ) | (0.02 | ) | (0.32 | ) | ||||||||||||||||||||||
| 2009 - Service | 5.56 | 0.53 | 1.51 | 2.04 | (0.27 | ) | (0.02 | ) | (0.29 | ) | ||||||||||||||||||||||
| 2009 - IR | 5.58 | 0.96 | 1.11 | 2.07 | (0.29 | ) | (0.02 | ) | (0.31 | ) | ||||||||||||||||||||||
| 2009 - R | 5.57 | 0.50 | 1.53 | 2.03 | (0.26 | ) | (0.02 | ) | (0.28 | ) | ||||||||||||||||||||||
| 2008 - A | 10.18 | 0.28 | (4.51 | ) | (4.23 | ) | (0.33 | ) | (0.04 | ) | (0.37 | ) | ||||||||||||||||||||
| 2008 - C | 10.15 | 0.23 | (4.51 | ) | (4.28 | ) | (0.27 | ) | (0.04 | ) | (0.31 | ) | ||||||||||||||||||||
| 2008 - Institutional | 10.17 | 0.35 | (4.55 | ) | (4.20 | ) | (0.36 | ) | (0.04 | ) | (0.40 | ) | ||||||||||||||||||||
| 2008 - Service (Commenced August 29, 2008) | 9.30 | 0.13 | (3.60 | ) | (3.47 | ) | (0.23 | ) | (0.04 | ) | (0.27 | ) | ||||||||||||||||||||
| 2008 - IR | 10.17 | 0.27 | (4.47 | ) | (4.20 | ) | (0.35 | ) | (0.04 | ) | (0.39 | ) | ||||||||||||||||||||
| 2008 - R | 10.17 | 0.29 | (4.54 | ) | (4.25 | ) | (0.31 | ) | (0.04 | ) | (0.35 | ) | ||||||||||||||||||||
| FOR THE PERIOD ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||||
| 2007 - A (Commenced March 30, 2007) | 10.00 | 0.51 | (f) | 0.03 | 0.54 | (0.31 | ) | (0.05 | ) | (0.36 | ) | |||||||||||||||||||||
| 2007 - C (Commenced March 30, 2007) | 10.00 | 0.46 | (f) | 0.02 | 0.48 | (0.28 | ) | (0.05 | ) | (0.33 | ) | |||||||||||||||||||||
| 2007 - Institutional (Commenced March 30, 2007) | 10.00 | 0.38 | (f) | 0.17 | 0.55 | (0.33 | ) | (0.05 | ) | (0.38 | ) | |||||||||||||||||||||
| 2007 - IR (Commenced November 30, 2007) | 10.51 | 0.16 | (0.23 | ) | (0.07 | ) | (0.22 | ) | (0.05 | ) | (0.27 | ) | ||||||||||||||||||||
| 2007 - R (Commenced November 30, 2007) | 10.51 | 0.15 | (0.22 | ) | (0.07 | ) | (0.22 | ) | (0.05 | ) | (0.27 | ) | ||||||||||||||||||||
| (a) | Calculated based on the SEC methodology. |
| (b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
| (c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | Annualized. |
| (f) | Includes non-recurring expense for a special shareholder proxy meeting which amounted to approximately $0.004 per share and approximately 0.04% of average net assets. |
| (g) | The ratio is not annualized as the Portfolio’s income for the fiscal year ended December 31 did not correlate to the income earned during the class’ period of operation due to timing of income recognition. |
GOLDMAN
SACHS SATELLITE STRATEGIES PORTFOLIO
|
Ratio of |
||||||||||||||||||||||||||||||
|
Net assets, |
Ratio of |
Ratio of |
net investment |
|||||||||||||||||||||||||||
|
Net asset |
end of |
net expenses |
total expenses |
income |
Portfolio |
|||||||||||||||||||||||||
|
value, end |
Total |
period |
to average |
to average |
to average |
turnover |
||||||||||||||||||||||||
| of period | return(c) | (in 000s) | net assets(d) | net assets(d) | net assets(b) | rate | ||||||||||||||||||||||||
| $ | 7.95 | 14.20 | % | $ | 212,886 | 0.57 | % | 0.63 | % | 5.78 | % | 18 | % | |||||||||||||||||
| 7.92 | 13.48 | 101,615 | 1.32 | 1.38 | 5.17 | 18 | ||||||||||||||||||||||||
| 7.94 | 14.66 | 442,808 | 0.17 | 0.23 | 6.30 | 18 | ||||||||||||||||||||||||
| 7.92 | 14.17 | 22,401 | 0.67 | 0.73 | 5.97 | 18 | ||||||||||||||||||||||||
| 7.94 | 14.34 | 19,947 | 0.32 | 0.38 | 6.21 | 18 | ||||||||||||||||||||||||
| 7.93 | 14.01 | 761 | 0.82 | 0.88 | 6.13 | 18 | ||||||||||||||||||||||||
| 7.34 | 37.31 | 131,389 | 0.57 | 0.71 | 5.66 | 58 | ||||||||||||||||||||||||
| 7.31 | 36.29 | 50,972 | 1.32 | 1.46 | 4.81 | 58 | ||||||||||||||||||||||||
| 7.33 | 37.89 | 242,969 | 0.17 | 0.31 | 6.37 | 58 | ||||||||||||||||||||||||
| 7.31 | 37.17 | 11,311 | 0.67 | 0.81 | 7.60 | 58 | ||||||||||||||||||||||||
| 7.34 | 37.70 | 6,331 | 0.32 | 0.46 | 13.43 | 58 | ||||||||||||||||||||||||
| 7.32 | 36.96 | 160 | 0.82 | 0.96 | 7.44 | 58 | ||||||||||||||||||||||||
| 5.58 | (41.99 | ) | 57,958 | 0.57 | 0.84 | 3.27 | 50 | |||||||||||||||||||||||
| 5.56 | (42.43 | ) | 26,696 | 1.32 | 1.59 | 2.67 | 50 | |||||||||||||||||||||||
| 5.57 | (41.81 | ) | 54,327 | 0.17 | 0.44 | 4.24 | 50 | |||||||||||||||||||||||
| 5.56 | (37.37 | ) | 222 | 0.67 | (e) | 0.94 | (e) | 2.20 | (g) | 50 | ||||||||||||||||||||
| 5.58 | (41.79 | ) | 4 | 0.32 | 0.59 | 2.92 | 50 | |||||||||||||||||||||||
| 5.57 | (42.16 | ) | 21 | 0.82 | 1.09 | 3.55 | 50 | |||||||||||||||||||||||
| 10.18 | 5.48 | 28,671 | 0.65 | (e)(f) | 2.26 | (e)(f) | 6.53 | (e)(f) | 52 | |||||||||||||||||||||
| 10.15 | 4.80 | 13,312 | 1.40 | (e)(f) | 3.01 | (e)(f) | 5.92 | (e)(f) | 52 | |||||||||||||||||||||
| 10.17 | 5.57 | 13,356 | 0.25 | (e)(f) | 1.86 | (e)(f) | 4.93 | (e)(f) | 52 | |||||||||||||||||||||
| 10.17 | (0.61 | ) | 10 | 0.32 | (e) | 0.45 | (e) | 1.51 | (g) | 52 | ||||||||||||||||||||
| 10.17 | (0.65 | ) | 10 | 0.82 | (e) | 0.95 | (e) | 1.46 | (g) | 52 | ||||||||||||||||||||
Report of Independent Registered
Public Accounting Firm
To the Board of Trustees and Shareholders of
Goldman Sachs Trust —
Goldman Sachs Select Satellite Funds:
In our opinion, the accompanying statements of assets and
liabilities, including the schedules of investments, and the
related statements of operations and of changes in net assets
and the financial highlights present fairly, in all material
respects, the financial position of Goldman Sachs Absolute
Return Tracker Fund, Goldman Sachs Commodity Strategy Fund,
Goldman Sachs Dynamic Allocation Fund, Goldman Sachs
International Real Estate Securities Fund, Goldman Sachs Real
Estate Securities Fund and Goldman Sachs Satellite Strategies
Portfolio (collectively the “Funds”), portfolios of
Goldman Sachs Trust, at December 31, 2010, and the results
of each of their operations, the changes in each of their net
assets and the financial highlights for each of the periods
indicated, in conformity with accounting principles generally
accepted in the United States of America. These financial
statements (consolidated financial statements for Goldman Sachs
Commodity Strategy Fund) and financial highlights (hereafter
referred to as “financial statements”) are the
responsibility of the Funds’ management. Our responsibility
is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial
statements in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those
standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles
used and significant estimates made by management, and
evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of
securities at December 31, 2010 by correspondence with the
custodian, brokers and transfer agent, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 22, 2011
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Fund
Expenses — Six Month Period Ended December 31, 2010
(Unaudited)
As a shareholder of Class A, Class B, Class C,
Institutional, Service, Class IR or Class R Shares of
a Fund you incur two types of costs: (1) transaction costs,
including sales charges on purchase payments (with respect to
Class A Shares) and contingent deferred sales charges on
redemptions (with respect to Class B and Class C
Shares), (if any) and (2) ongoing costs, including
management fees; distribution and service (12b-1) fees (with
respect to Class A, Class B, Class C and
Class R Shares); and other Fund expenses. This example is
intended to help you understand your ongoing costs (in dollars)
of investing in Class A, Class B, Class C,
Institutional, Service, Class IR and Class R Shares of
the Funds and to compare these costs with the ongoing costs of
investing in other mutual funds.
The example is based on an investment of $1,000 invested at the
beginning of the period and held for the entire period from
July 1, 2010 through December 31, 2010.
Actual Expenses — The first line under each
share class in the table below provides information about actual
account values and actual expenses. You may use the information
in this line, together with the amount you invested, to estimate
the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value
divided by $1,000=8.6), then multiply the result by the number
in the first line under the heading entitled “Expenses
Paid” to estimate the expenses you paid on your account
during this period.
Hypothetical Example for Comparison Purposes —
The second line under each share class in the table below
provides information about hypothetical account values and
hypothetical expenses based on the Funds’ actual expense
ratio and an assumed rate of return of 5% per year before
expenses, which is not the Funds’ actual return. The
hypothetical account values and expenses may not be used to
estimate the actual ending account balance or expenses you paid
for the period. You may use this information to compare the
ongoing costs of investing in the Funds and other funds. To do
so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of
the other funds.
Please note that the expenses shown in the table are meant to
highlight your ongoing costs only and do not reflect any
transactional costs, such as sales charges, redemption fees, or
exchange fees. Therefore, the second line of the table is useful
in comparing ongoing costs only, and will not help you determine
the relative total costs of owning different funds. In addition,
if these transactional costs were included, your costs would
have been higher.
| Absolute Return Tracker Fund | Commodity Strategy Fund | Dynamic Allocation Fund | International Real Estate Securities Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Expenses |
Expenses |
Expenses |
Expenses |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Paid for the |
Paid for the |
Paid for the |
Paid for the |
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Beginning |
Ending |
6 Months |
Beginning |
Ending |
6 Months |
Beginning |
Ending |
6 Months |
Beginning |
Ending |
6 Months |
|||||||||||||||||||||||||||||||||||||||||||||||||
|
Account Value |
Account Value |
ended |
Account Value |
Account Value |
ended |
Account Value |
Account Value |
ended |
Account 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 | $ | 1,060.10 | $ | 8.26 | $ | 1,000 | $ | 1,209.30 | $ | 5.12 | $ | 1,000 | $ | 1,100.50 | $ | 7.47 | $ | 1,000 | $ | 1,280.90 | $ | 8.80 | ||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,017.19 | + | 8.08 | 1,000 | 1,020.57 | + | 4.69 | 1,000 | 1,018.15 | + | 7.17 | 1,000 | 1,017.49 | + | 7.78 | ||||||||||||||||||||||||||||||||||||||||||||
|
Class C
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,056.40 | 12.13 | 1,000 | 1,206.20 | 9.29 | 1,000 | 1,096.70 | 11.42 | 1,000 | 1,278.40 | 13.09 | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,013.41 | + | 11.88 | 1,000 | 1,016.79 | + | 8.49 | 1,000 | 1,014.42 | + | 10.97 | 1,000 | 1,013.71 | + | 11.57 | ||||||||||||||||||||||||||||||||||||||||||||
|
Institutional
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,063.10 | 6.19 | 1,000 | 1,214.30 | 3.24 | 1,000 | 1,102.20 | 5.35 | 1,000 | 1,285.00 | 6.51 | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,019.21 | + | 6.06 | 1,000 | 1,022.28 | + | 2.96 | 1,000 | 1,020.11 | + | 5.14 | 1,000 | 1,019.51 | + | 5.75 | ||||||||||||||||||||||||||||||||||||||||||||
|
Class IR
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,062.10 | 6.96 | 1,000 | 1,211.50 | 3.73 | 1,000 | 1,101.30 | 6.14 | 1,000 | 1,283.30 | 7.37 | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,018.45 | + | 6.82 | 1,000 | 1,021.83 | + | 3.41 | 1,000 | 1,019.41 | + | 5.90 | 1,000 | 1,018.75 | + | 6.51 | ||||||||||||||||||||||||||||||||||||||||||||
|
Class R
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,059.20 | 9.55 | 1,000 | 1,209.40 | 6.52 | 1,000 | 1,098.40 | 8.78 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,015.93 | + | 9.35 | 1,000 | 1,019.31 | + | 5.96 | 1,000 | 1,016.84 | + | 8.44 | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||||||||||||
| * | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2010. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| Fund | Class A | Class B | Class C | Institutional | Service | Class IR | Class R | |||||||||||||||||||||
|
Absolute Return Tracker
|
1.59 | % | N/A | 2.34 | % | 1.19 | % | N/A | 1.34 | % | 1.84 | % | ||||||||||||||||
|
Commodity Strategy
|
0.92 | N/A | 1.67 | 0.58 | N/A | 0.67 | 1.17 | |||||||||||||||||||||
|
Dynamic Allocation
|
1.41 | N/A | 2.16 | 1.01 | N/A | 1.16 | 1.66 | |||||||||||||||||||||
|
International Real Estate Securities
|
1.53 | N/A | 2.28 | 1.13 | N/A | 1.28 | N/A | |||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
103
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Fund
Expenses — Six Month Period Ended December 31, 2010
(Unaudited) (continued)
| Real Estate Securities Fund | Satellite Strategies Portfolio | |||||||||||||||||||||||||||||
|
Expenses |
Expenses |
|||||||||||||||||||||||||||||
|
Beginning |
Ending |
Paid for the |
Beginning |
Ending |
Paid for the |
|||||||||||||||||||||||||
|
Account |
Account |
6 Months |
Account |
Account |
6 months |
|||||||||||||||||||||||||
|
Value |
Value |
ended |
Value |
Value |
ended |
|||||||||||||||||||||||||
| Share Class | 7/01/10 | 12/31/10 | 12/31/10* | 7/1/10 | 12/31/10 | 12/31/10* | ||||||||||||||||||||||||
|
Class A
|
||||||||||||||||||||||||||||||
|
Actual
|
$ | 1,000 | $ | 1,209.00 | $ | 8.02 | $ | 1,000.00 | $ | 1,169.20 | $ | 3.14 | ||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,017.95 | + | 7.32 | 1,000.00 | 1,022.31 | + | 2.93 | ||||||||||||||||||||||
|
Class B
|
||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,204.40 | 12.17 | N/A | N/A | N/A | ||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,014.17 | + | 11.12 | N/A | N/A | N/A | |||||||||||||||||||||||
|
Class C
|
||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,204.00 | 12.17 | 1,000.00 | 1,166.00 | 7.23 | ||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,014.17 | + | 11.12 | 1,000.00 | 1,018.53 | + | 6.74 | ||||||||||||||||||||||
|
Institutional
|
||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,211.80 | 5.80 | 1,000.00 | 1,171.60 | 0.95 | ||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,019.96 | + | 5.30 | 1,000.00 | 1,024.33 | + | 0.89 | ||||||||||||||||||||||
|
Service
|
||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,208.20 | 8.57 | 1,000.00 | 1,169.60 | 3.69 | ||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,017.44 | + | 7.83 | 1,000.00 | 1,021.81 | + | 3.43 | ||||||||||||||||||||||
|
Class IR
|
||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,210.50 | 6.63 | 1,000.00 | 1,170.80 | 1.77 | ||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,019.21 | + | 6.06 | 1,000.00 | 1,023.57 | + | 1.65 | ||||||||||||||||||||||
|
Class R
|
||||||||||||||||||||||||||||||
|
Actual
|
1,000 | 1,207.70 | 9.40 | 1,000.00 | 1,168.50 | 4.50 | ||||||||||||||||||||||||
|
Hypothetical 5% return
|
1,000 | 1,016.69 | + | 8.59 | 1,000.00 | 1,021.05 | + | 4.20 | ||||||||||||||||||||||
| * | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended 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 | Class R | |||||||||||||||||||||
|
Real Estate Securities
|
1.44 | % | 2.19 | % | 2.19 | % | 1.04 | % | 1.54 | % | 1.19 | % | 1.69 | % | ||||||||||||||
|
Satellite Strategies
|
0.57 | N/A | 1.32 | 0.17 | 0.67 | 0.32 | 0.82 | |||||||||||||||||||||
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
104
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Trustees
and Officers (Unaudited)
Independent
Trustees
|
Number of |
||||||||||
|
Term of |
Portfolios in |
|||||||||
|
Office and |
Fund Complex |
Other |
||||||||
|
Name, |
Position(s)
Held |
Length of |
Principal
Occupation(s) |
Overseen by |
Directorships |
|||||
| Address and Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
|
Ashok N. Bakhru Age: 68 |
Chairman of the Board of Trustees | Since 1996 (Trustee Since 1991) |
President, ABN Associates (July 1994-March 1996 and November 1998-Present); Director, Apollo Investment Corporation (a business development company) (October 2008-Present); Executive Vice President — Finance and Administration and Chief Financial Officer and Director, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (November 1998-2007), and Equity-Linked Investors II (April 2002-2007); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).
Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex. |
90 | Apollo Investment Corporation (a business development company) | |||||
|
Donald C. Burke Age: 50 |
Trustee | Since 2010 |
Director, BlackRock Luxembourg and Cayman Funds (2006-2010); President and Chief Executive Officer, BlackRock U.S. Funds (2007-2009); Managing Director, BlackRock, Inc. (2006-2009); Managing Director, Merrill Lynch Investment Managers, L.P. (“MLIM”) (2006); First Vice President, MLIM (1997-2005); Chief Financial Officer and Treasurer, MLIM U.S. Funds (1999-2006).
Trustee — Goldman Sachs Mutual Fund Complex. |
90 | None | |||||
|
John P. Coblentz, Jr. Age: 69 |
Trustee | Since 2003 |
Partner, Deloitte & Touche LLP (June 1975-May 2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present).
Trustee — Goldman Sachs Mutual Fund Complex. |
90 | None | |||||
|
Diana M. Daniels Age: 61 |
Trustee | Since 2007 |
Ms. Daniels is retired (since January 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Vice Chair of the Board of Trustees, Cornell University (2009-Present); Member, Advisory Board, Psychology Without Borders (international humanitarian aid organization) (since 2007), and former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Mutual Fund Complex. |
90 | None | |||||
|
Joseph P. LoRusso Age: 53 |
Trustee | Since 2010 |
President, Fidelity Investments Institutional Services Co. (“FIIS”) (2002-2008); Director, FIIS (2002-2008); Director, Fidelity Investments Institutional Operations Company (2003-2007); Executive Officer, Fidelity Distributors Corporation (2007-2008).
Trustee — Goldman Sachs Mutual Fund Complex. |
90 | None | |||||
|
Jessica Palmer Age: 61 |
Trustee | Since 2007 |
Ms. Palmer is retired. Formerly, she was Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Trustee — Goldman Sachs Mutual Fund Complex. |
90 | None | |||||
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Trustees and
Officers (Unaudited) (continued)
|
Number of |
||||||||||
|
Term of |
Portfolios in |
|||||||||
|
Office and |
Fund Complex |
Other |
||||||||
|
Name, |
Position(s)
Held |
Length of |
Principal
Occupation(s) |
Overseen by |
Directorships |
|||||
| Address and Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
|
Richard P. Strubel Age: 71 |
Trustee | Since 1987 |
Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Audit Committee Chairman, The University of Chicago (2006-Present); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).
Trustee — Goldman Sachs Mutual Fund Complex. |
90 | Gildan Activewear Inc. (a clothing marketing and manufacturing company); The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). | |||||
Interested
Trustees
|
Number of |
||||||||||
|
Term of |
Portfolios in |
|||||||||
|
Office and |
Fund Complex |
Other |
||||||||
|
Name, |
Position(s)
Held |
Length of |
Principal
Occupation(s) |
Overseen by |
Directorships |
|||||
| Address and Age1,2 | with the Trust | Time Served3 | During Past 5 Years | Trustee4 | Held by Trustee5 | |||||
|
James A.
McNamara* Age: 48 |
President and Trustee | Since 2007 |
Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President — Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President — Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President — Goldman Sachs Mutual Fund Complex (2001-2007). Trustee — Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). |
90 | None | |||||
|
Alan A.
Shuch* Age: 61 |
Trustee | Since 1990 |
Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994-May 1999).
Trustee — Goldman Sachs Mutual Fund Complex. |
90 | None | |||||
| * | These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. | |
| 1 | Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Peter V. Bonanno. Information is provided as of December 31, 2010. | |
| 2 | From 2000 until September 30, 2010, Patrick T. Harker also served as Trustee of the Trust and of the Goldman Sachs Mutual Fund Complex. Mr. Harker resigned from these positions on September 30, 2010. | |
| 3 | Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the conclusion of the first Board meeting held subsequent to the day the Trustee attains the age of 74 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust. | |
| 4 | The Goldman Sachs Mutual Fund Complex consists of the Trust, Goldman Sachs Municipal Opportunity Fund, Goldman Sachs Credit Strategies Fund, and Goldman Sachs Variable Insurance Trust. As of December 31, 2010, the Trust consisted of 77 portfolios, Goldman Sachs Variable Insurance Trust consisted of 11 portfolios and the Goldman Sachs Municipal Opportunity Fund did not offer shares to the public. | |
| 5 | This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the
Funds’ Statement of Additional Information which can be
obtained from Goldman Sachs free of charge by calling this
toll-free number (in the United States of America):
1-800-292-4726.
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Trustees and
Officers (Unaudited) (continued)
Officers
of the Trust*
|
Term of |
||||||
|
Office and |
||||||
|
Position(s)
Held |
Length of |
|||||
| Name, Address and Age | With the Trust | Time Served1 | Principal Occupation(s) During Past 5 Years | |||
|
James A. McNamara 200 West Street New York, NY 10282 Age: 48 |
President and Trustee | Since 2007 |
Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President — Goldman Sachs Mutual Fund Complex (November 2007-Present); Senior Vice President — Goldman Sachs Mutual Fund Complex (May 2007-November 2007); and Vice President — Goldman Sachs Mutual Fund Complex (2001-2007). Trustee — Goldman Sachs Mutual Fund Complex (since November 2007 and December 2002-May 2004). |
|||
|
George F. Travers 30 Hudson Street Jersey City, NJ 07302 Age: 42 |
Senior Vice President and Principal Financial Officer |
Since 2009 |
Managing Director, Goldman Sachs (2007-present); Managing Director, UBS Ag (2005-2007); and Partner, Deloitte & Touche LLP (1990-2005, partner from 2000-2005)
Senior Vice President and Principal Financial Officer — Goldman Sachs Mutual Fund Complex. |
|||
|
Peter V. Bonanno 200 West Street New York, NY 10282 Age: 43 |
Secretary | Since 2003 |
Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President, Goldman Sachs (1999-2006); and Assistant General Counsel, Goldman Sachs (1999-2002).
Secretary — Goldman Sachs Mutual Fund Complex (2006-Present); and Assistant Secretary — Goldman Sachs Mutual Fund Complex (2003-2006). |
|||
|
Scott M. McHugh 200 West Street New York, NY 10282 Age: 39 |
Treasurer and Senior Vice President |
Since 2009 |
Vice President, Goldman Sachs (February 2007-Present); Assistant Treasurer of certain mutual funds administered by DWS Scudder (2005-2007); and Director (2005-2007), Vice President (2000-2005), Assistant Vice President (1998-2000), Deutsche Asset Management or its predecessor (1998-2007).
Treasurer — Goldman Sachs Mutual Fund Complex (October 2009-Present); Senior Vice President — Goldman Sachs Mutual Fund Complex (November 2009-Present); and Assistant Treasurer — Goldman Sachs Mutual Fund Complex (May 2007-October 2009). |
|||
| 1 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. Information is provided as of December 31, 2010. | |
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726. |
GOLDMAN
SACHS SELECT SATELLITE FUNDS
Goldman Sachs
Trust — Select Satellite Funds — Tax
Information (Unaudited)
For the year ended
December 31, 2010, 0.04% of the dividends paid from net
investment company taxable income by the Satellite Strategies
Portfolio qualified for the dividends received deduction
available to corporations.
For the 2010 tax
year, the International Real Estate Securities Fund has elected
to pass through a credit for taxes paid to foreign
jurisdictions. The total amount of income received by the
International Real Estate Securities Fund from sources within
foreign countries and possessions of the United States was
$0.2457 per share, all of which is attributable to qualified
passive income. The total amount of foreign taxes paid by the
Fund was $0.0126 per share.
For the year ended
December 31, 2010, 8.24%, 6.48%, 20.40%, 1.83%, and 6.52%
of the dividends paid from net investment company taxable income
by the Absolute Return Tracker, Dynamic Allocation,
International Real Estate Securities and Real Estate Securities
Funds, and Satellite Strategies Portfolio, respectively, qualify
for the reduced tax rate under the Jobs and Growth Tax Relief
and Reconciliation Act of 2003.
Pursuant to Section
852 of the Internal Revenue Code, the Absolute Return Tracker
and Dynamic Allocation Funds designate $1,955,307 and 1,323,357,
respectively, or, if different, the maximum amount allowable, as
capital gain dividends paid during the year ended December 31,
2010.
During the year
ended December 31, 2010, the Absolute Return Tracker and
Dynamic Allocation Funds designate $6,070,616 and $1,332,028,
respectively, as short-term capital gain dividends pursuant to
Section 871(k) of the Internal Revenue Code.
FUNDS
PROFILE
Goldman Sachs Funds
Goldman
Sachs
is a premier financial services firm, known since
1869 for creating thoughtful and customized investment solutions
in complex global markets.
Today, the
Investment
Management
Division
of Goldman Sachs serves a diverse set of clients
worldwide, including private institutions, public entities and
individuals. With portfolio management teams located around the
world — and $717.1 billion in assets under
management as of December 31, 2010 — our
investment professionals bring firsthand knowledge of local
markets to every investment decision. Goldman Sachs Asset
Management ranks in the top 10 asset management firms worldwide,
based on assets under
management.1
OVERVIEW OF
GOLDMAN SACHS FUNDS
|
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 FundSM4 n Growth Opportunities Fund n U.S. Equity Fund Structured Equity n Balanced Fund n Structured Small Cap Equity Fund n Structured U.S. Equity Fund n Structured Small Cap Growth Fund n Structured Large Cap Growth Fund n Structured Large Cap Value Fund n Structured Small Cap Value Fund n Structured Tax-Managed Equity Fund n Structured International Tax-Managed Equity Fund n U.S. Equity Dividend and Premium Fund |
n International
Equity Dividend and Premium Fund n Structured International Small Cap Fund n Structured International Equity Fund n Structured Emerging Markets Equity Fund Fundamental Equity International n Strategic International Equity Fund n Concentrated International Equity Fund n International Small Cap Fund n Asia Equity Fund n Emerging Markets Equity Fund n BRIC Fund (Brazil, Russia, India, China) Select Satellite3 n Real Estate Securities Fund n International Real Estate Securities Fund n Commodity Strategy Fund n Dynamic Allocation Fund n Absolute Return Tracker Fund n Satellite Strategies Portfolio Total Portfolio Solutions3 n Balanced Strategy Portfolio n Growth and Income Strategy Portfolio n Growth Strategy Portfolio n Equity Growth Strategy Portfolio n Income Strategies Portfolio n Retirement Strategies Portfolios n Enhanced Dividend Global Equity Portfolio n Tax Advantaged Global Equity Portfolio |
Firmwide assets under management includes assets managed by GSAM
and its Investment Advisory Affiliates.
| 1 | Ranking for Goldman Sachs Group, Inc., includes Goldman Sachs
Asset Management, Private Wealth Management and Merchant Banking
2009 year-end assets. Ranked 9th in total assets
worldwide. Pensions&Investments, June 2010. |
| 2 | An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. |
| 3 | Individual Funds within the Total Portfolio Solutions and Select Satellite categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Total Portfolio Solutions or Select Satellite category. |
| 4 | Effective July 31, 2010, the Goldman Sachs Tollkeeper Fund was renamed the Goldman Sachs Technology Tollkeeper Fund. |
The Goldman Sachs Technology
Tollkeeper
FundSM
and Financial Square
FundsSM
are registered service marks of Goldman, Sachs & Co.
|
TRUSTEES Ashok N. Bakhru, Chairman Donald C. Burke* John P. Coblentz, Jr. Diana M. Daniels Joseph P. LoRusso* James A. McNamara Jessica Palmer Alan A. Shuch Richard P. Strubel |
OFFICERS James A. McNamara, President George F. Travers, Principal Financial Officer Peter V. Bonanno, Secretary Scott M. McHugh, Treasurer |
|
| *Effective August 19, 2010 | ||
|
GOLDMAN, SACHS & CO. Distributor and Transfer Agent |
GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
The
reports concerning the Funds included in this shareholder report
may contain certain forward-looking statements about the factors
that may affect the performance of the Funds in the future.
These statements are based on Fund management’s predictions
and expectations concerning certain future events and their
expected impact on the Funds, such as performance of the economy
as a whole and of specific industry sectors, changes in the
levels of interest rates, the impact of developing world events,
and other factors that may influence the future performance of
the Funds. Management believes these forward-looking statements
to be reasonable, although they are inherently uncertain and
difficult to predict. Actual events may cause adjustments in
portfolio management strategies from those currently expected to
be employed.
A
description of the policies and procedures that the Funds use to
determine how to vote proxies relating to portfolio securities
and information regarding how a Fund voted proxies relating to
portfolio securities during the most recent
12-month
period ended June 30 is available (i) without charge, upon
request by calling
1-800-526-7384
(for Retail Shareholders) or
1-800-621-2550
(for Institutional Shareholders); and (ii) on the
Securities and Exchange Commission website at http://www.sec.gov.
The
Funds file their complete schedule of portfolio holdings with
the Securities and Exchange Commission (“SEC”) for the
first and third quarters of each fiscal year on
Form N-Q.
The Funds’
Form N-Q
will become available on the SEC’s website at
http://www.sec.gov within 60 days after the Funds’
first and third fiscal quarters. When available, the Funds’
Forms N-Q
may be reviewed and copied at the SEC’s Public Reference
Room in Washington, D.C. and information on the operation of the
Public Reference Room may also be obtained by calling
1-800-SEC-0330.
When available,
Form N-Q
may be obtained upon request and without charge by calling
1-800-526-7384
(for Retail Shareholders) or
1-800-621-2550
(for Institutional Shareholders).
Holdings
and allocations shown may not be representative of current or
future investments. Holdings and allocations may not include the
Funds’ entire investment portfolio, which may change at any
time. Fund holdings should not be relied on in making investment
decisions and should not be construed as research or investment
advice regarding particular securities.
This
material is not authorized for distribution to prospective
investors unless preceded or accompanied by a current Prospectus
or summary prospectus, if applicable. Investors should consider
a Fund’s objective, risks, and charges and expenses, and
read the summary prospectus, if available,
and/or the
Prospectus carefully before investing or sending money. The
summary prospectus, if available, and the Prospectus contain
this and other information about a Fund and may be obtained from
your authorized dealer or from Goldman, Sachs & Co. by
calling (retail —
1-800-526-7384)
(institutional —
1-800-621-2550).
©
2011 Goldman Sachs. All rights reserved. 48231.MF.TMPL
SELSATAR11 / 84K /
02-11
| ITEM 2. | CODE OF ETHICS. | ||
| (a) | As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). | |||
| (b) | During the period covered by this report, no amendments were made to the provisions of the Code of Ethics. | |||
| (c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics. | |||
| (d) | A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report. |
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
| The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR). |
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
Table 1 — Items 4(a)
- 4(d). The accountant fees below reflect the aggregate fees billed by all of
the Funds of the Goldman Sachs Trust and includes the Goldman Sachs
Funds to which this certified shareholder report relates.
| 2010 |
2009 |
Description of Services Rendered |
||||||||
Audit Fees: |
||||||||||
•
PricewaterhouseCoopers LLP (“PwC”)
|
$ | 2,051,975 | $ | 2,679,850 | Financial Statement audits. | |||||
Audit-Related Fees: |
||||||||||
• PwC |
$ | 107,725 | $ | 181,992 | Other attest services. $17,800 represents fees borne by the Funds’ adviser in 2009 in relation to fees incurred as a result of fiscal year end changes. | |||||
Tax Fees: |
||||||||||
• PwC
|
$ | 706,270 | $ | 685,440 | Tax compliance services provided in connection with the preparation and review of the Registrant’s tax returns. $28,275 represents fees borne by the Funds’ adviser in 2010 in relation to fees incurred as a result of fiscal year end changes. | |||||
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates * that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
| 2010 |
2009 |
Description of Services Rendered |
||||||
Audit-Related Fees: |
||||||||
•
PwC
|
$ | 1,333,000 | $ | 1,509,000 | Internal control review performed in accordance with Statement on Auditing Standards No. 70. These fees are borne by the Funds’ adviser. | |||
| * | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST by PwC for the years ended December 31, 2010 and December 31, 2009 were approximately $813,995 and $867,432 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2010 and December 31, 2009 were approximately $6.4 million and $6.4 million respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2010 and 2009 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
| Not applicable. |
| ITEM 6. | SCHEDULE OF INVESTMENTS. | |
| Schedule of Investments is included as part of the Report to Stockholders filed under Item 1. |
| ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
| Not applicable. |
| ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
| Not applicable. |
| ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. | |
| Not applicable. |
| ITEM 10. | SUBMISSION OF
MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
|
| ITEM 11. | CONTROLS AND PROCEDURES. | |
| (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. | ||
| ITEM 12. | EXHIBITS. |
| (a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’s Form N-CSR filed on June 3, 2010 for its Short Duration and Government Fixed Income Funds. | ||
| (a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
| (b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
SIGNATURES
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
| Goldman Sachs Trust | ||||||
| By: | /s/ James A. McNamara | |||||
| James A. McNamara | ||||||
| President/Principal Executive Officer | ||||||
| Goldman Sachs Trust | ||||||
| Date: | March 3, 2011 |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. |
| By: | /s/ James A. McNamara | |||||
| James A. McNamara | ||||||
| President/Principal Executive Officer | ||||||
| Goldman Sachs Trust | ||||||
| Date: | March 3, 2011 | |||||
| By: | /s/ George F. Travers | |||||
| George F. Travers | ||||||
| Principal Financial Officer | ||||||
| Goldman Sachs Trust | ||||||
| Date: | March 3, 2011 |