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GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Principal Investment Strategies and Risks

The Enhanced Income Fund invests primarily in a portfolio of fixed income government securities, including non-mortgage securities issued or guaranteed by the U.S. government, its agencies, instrumentalities or sponsored enterprises, corporate notes and commercial paper and fixed and floating rate asset-backed securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. The Fund may invest in foreign securities, which may be more volatile and less liquid than its investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.

The Government Income Fund invests primarily in U.S. government securities and in repurchase agreements collateralized by such securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.

The Inflation Protected Securities Fund invests primarily in inflation protected securities of varying maturities issued by the U.S. Treasury and other U.S. and non-U.S. Government agencies and corporations. The remainder of the Fund’s assets may be invested in other fixed income securities, including U.S. government securities, asset-backed securities, mortgage-backed securities, corporate securities, high yield securities and securities issued by foreign corporate and governmental issuers. Inflation protected securities are fixed income securities whose interest and principal payments are periodically adjusted according to the rate of inflation. The market value of inflation protected securities is not guaranteed, and will fluctuate in response to changes in real interest rates. Fixed income securities are subject to the risks associated with debt securities, including credit, liquidity and interest rate risk. High yield, lower rated fixed income securities involve greater price volatility and present greater risks than higher rated fixed income securities. Fixed income securities issued by foreign or emerging market issuers are less liquid and are subject to greater price volatility than U.S. securities and will be subject to the risks of currency fluctuations and fluctuations due to sudden economic or political developments.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

The Short Duration Government Fund invests primarily in U.S. government securities and in repurchase agreements collateralized by such securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.

The Ultra-Short Duration Government Fund invests primarily in U.S. government securities, including securities representing an interest in or collateralized by adjustable rate and fixed rate mortgage loans or other mortgage-related securities, and in repurchase agreements collateralized by U.S. government securities. The Fund’s investments in fixed income securities are subject to the risks associated with debt securities generally, including credit, liquidity and interest rate risk. Investors in this Fund should understand that the net asset value of the Fund will fluctuate, which may result in a loss of the principal amount invested. The Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; the risk of default by a counterparty; and the risk that transactions may not be liquid.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

What Differentiates Goldman Sachs Asset Management’s Fixed Income Investment Process?

At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our fixed income investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.

A key element of our fixed income investment philosophy is to evaluate the broadest global opportunity set to capture relative value across sectors and instruments. Our globally integrated investment process involves managing dynamically along the risk/return spectrum, as we continue to develop value-added strategies through:


n	Assess relative value among securities and sectors

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


n	Team approach to decision making

n	Manage risk by avoiding significant sector and interest rate bets

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

Fixed Income portfolios that:

n Include domestic and global investment options, income opportunities, and access to areas of specialization such as high yield

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

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

MARKET REVIEW

Goldman Sachs Short Duration and
Government Fixed Income Funds

Market Review

Low interest rates and strengthening economic data led to continued demand for riskier fixed income assets during the 12 months ended March 31, 2011 (the “Reporting Period”). Indeed, as investors sustained their strong appetite for risky assets, all spread, or non-Treasury, sectors outperformed U.S. Treasuries for the Reporting Period. Interest rates on U.S. government securities declined sharply during the summer of 2010 and then reversed that decline, ending the Reporting Period relatively unchanged versus one year prior.

Spread sectors began the Reporting Period under pressure, as the second quarter of 2010 was marked by a significant escalation in market concerns about the solvency of Greece and other peripheral European countries. By May 2010, solvency concerns had grown into a crisis that led to a bailout of Greece by the European Union and International Monetary Fund. With the European sovereign debt crisis weighing on investors’ risk appetite, demand for U.S. government bonds increased on safe-haven demand, while demand for fixed income spread sectors fell. As a result, U.S. government bond yields declined sharply and spread sectors underperformed.

As the European debt crisis continued, confidence in the U.S. economic recovery began to falter during the second and third quarters of 2010. Virtually every aspect of the economy lost momentum during these months, including manufacturing, consumer spending and new hiring. While yields on U.S. government bonds continued to decline during the third calendar quarter, spread sectors began to rebound after the brief underperformance in the second calendar quarter. Most spread sectors outperformed U.S. Treasuries during the third calendar quarter, led by the high yield corporate bond sector.

In response to the weaker tone in economic data, Federal Reserve Board (Fed) Chairman Ben Bernanke strongly hinted in an August 2010 speech that the Fed would resume asset purchases in an effort to support the economic recovery through what is known as quantitative easing. By the time the Fed began to implement its second round of quantitative easing in November 2010, economic data had already begun to improve. In particular, survey data suggested manufacturing activity was expanding rapidly after the summer slowdown. The markets were also beginning to price stronger economic growth and higher inflation risk into long-term bonds. As a result, 10-year U.S. Treasury yields rose nearly a full percentage point during the fourth calendar quarter of 2010, from approximately 2.5% at the end of September to about 3.4% at the end of December. Spread sectors continued to outperform U.S. Treasuries during the fourth calendar quarter, again led by high yield corporate bonds.

As the turn of the calendar year approached, economic prospects appeared to be improving further. The Fed continued its quantitative easing program, and Congress and the Obama administration agreed on new fiscal stimulus, including a payroll tax cut for 2011 that would boost consumers’ disposable income. These measures led to a general upgrade in expectations for 2011 economic growth, which were supported by a string of improving economic data early in the first calendar quarter. In the fixed income market, the reaction was a further increase in long-term U.S. Treasury yields and continued outperformance in the spread sectors. With the Fed holding short-term interest rates near zero and long-term U.S. Treasury yields continuing to move sharply higher, the difference between short-term and long-term bond yields dramatically increased. The increase in the difference between short-term and long-term yields, known as a steepening of the yield curve, reached its peak shortly after the turn of the calendar year — at the steepest levels in modern history.

MARKET REVIEW

With the exception of the housing sector, economic data remained relatively strong through the first quarter of 2011. However, risks to the economy began to grow again, as political unrest emerged in Tunisia, followed by Egypt and the broader Middle East and North Africa (MENA) region. For the first time since 2008, oil prices rose above $100 per barrel on concerns about potential supply disruptions. Meanwhile, the European sovereign debt crisis continued to spread to other peripheral countries, adding another element of risk to the outlook. Then, in March 2011, Japan was struck by the Tohoku earthquake and tsunami, followed by the disaster at the Fukushima Daiichi nuclear plant.

As the risks to economic growth mounted, U.S. government bond yields began declining again. Between mid-February and mid-March, the 10-year U.S. Treasury yield fell from about 3.75% to below 3.20%. However, the decline in yields was relatively brief. By the end of the Reporting Period, the 10-year U.S. Treasury yield was close to 3.50%, above the 2010 year-end level of 3.29%, though still below the approximately 3.83% level seen at the start of the Reporting Period. Meanwhile, spread sectors were relatively resilient throughout the first quarter of 2011, with all major spread sectors outperforming U.S. Treasuries despite the risks that arose.

Looking Ahead

We are optimistic about U.S. economic growth potential in 2011 and 2012. However, given the downside risks that arose since the turn of the calendar year, we have trimmed our 2011 U.S. Gross Domestic Product (GDP) forecast to 3.2% from 3.5% at the end of 2010, putting us in line with consensus estimates. We also reduced our 2012 GDP forecast from 3.5% to 3.0%, putting us slightly below the consensus. We estimate headline inflation of 1.7% in 2011 and 2.0% in 2012, which is in line with the consensus.

At the end of the Reporting Period, the core drivers of U.S. economic growth — consumer spending and business investment — were improving, and we believe this is likely to continue. Consumer spending was benefiting from a rise in real disposable income, which increased nearly 3% year-over-year in January 2011. The rise in disposable income, driven in part by payroll tax cuts passed in late 2010, was allowing consumers to continue to build their savings while maintaining spending growth of approximately 2% year over year. Meanwhile, business investment was still underpinned by strong corporate profits, which were being recycled into spending on machinery and equipment.

The combination of higher disposable income and strong business investment provides, in our view, significant support for other areas of the economy. For example, manufacturing activity was expanding rapidly at the end of the Reporting Period, with the U.S. Institute for Supply Management (ISM) manufacturing index reaching a multi-year high in February 2011.

The job market, a key weak spot in the economic recovery to date, was also showing signs of life at the end of the Reporting Period. Both jobless claims and the unemployment rate were clearly trending lower, and surveys regarding firms’ hiring intentions suggested further job gains to come. Demand for consumer and business credit, another weak spot in the recovery, also appeared to be growing again based on the Fed’s survey of senior loan officers. The housing market remained an area of weakness, as home prices continued to fall, but we expect demand to pick up in the months ahead, as the weather improves.

The economic and market forecasts presented herein have been generated by GSAM for informational purposes as of the date of this presentation. They are based on proprietary models and there can be no assurance that the forecasts will be achieved. Please see additional disclosures at the end of this presentation.

MARKET REVIEW

Should economic growth improve, we believe the Fed is likely to come under more pressure in 2011 to raise short-term interest rates. In particular, core inflation (which excludes food and energy prices) appeared, at the end of the Reporting Period, to have bottomed. With more people renting rather than buying a home, the rental price component of core inflation seems likely, we believe, to turn higher. However, we expect inflation to remain relatively low even into 2012 given the amount of slack that is still in the economy. With inflation likely to remain low and growth still facing multiple challenges, we think the Fed will stay on hold throughout 2011.

While we think domestic sources of strength can support continued economic growth in the U.S., the risk to this view is that the situations in the MENA region, Europe and Japan may deteriorate further. In particular, further unrest in the Middle East could derail the U.S. expansion through an oil supply shock. At the end of the Reporting Period, that had not happened yet, and a supply shock is not our expectation, but the risk had clearly increased. The situation in Japan was, as of this writing, still developing, and the ultimate impact of events there on the global economy is unknown. We think the key risk for the U.S. is a break in the global supply chain that causes manufacturing or other business activity to slow due to a lack of components produced in Japan. In Europe, the continuing sovereign debt crisis still represented, at the end of the Reporting Period, a potential threat to business and consumer confidence globally.

From an investment perspective, we believe the most likely outlook for sustainable U.S. economic growth continues to favor risk assets over U.S. Treasuries over the longer term. We believe that the improvement in U.S. economic fundamentals, coupled with a continuation of low interest rates, should provide a favorable backdrop for risk assets. We continue to see particular opportunity in corporate credit based on the strength of corporate balance sheets and the likelihood of continued strong profits as the U.S. economic expansion persists. In the near term, we intend to take a more cautious stance due to the high degree of uncertainty surrounding the outlook for oil prices, Japan’s economy and European bond markets.

PORTFOLIO RESULTS

Goldman Sachs Enhanced Income Fund

Investment Objective

The Fund seeks to generate return in excess of traditional money market products while maintaining an emphasis on preservation of capital and liquidity.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Enhanced Income Fund’s (the “Fund”) performance and positioning for the 12-month period ended March 31, 2011 (the “Reporting Period”).


Q	How did the Fund perform during the Reporting Period?

A	During the Reporting Period, the Fund’s Class A, B, Institutional and Administration Shares generated average annual total returns, without sales charges, of 0.29%, –0.56%, 0.63% and 0.38%, respectively. These returns compare to the 0.55% average annual total return of the Fund’s benchmark, the Goldman Sachs Enhanced Income Fund Composite Index (the “Enhanced Income Composite”) during the same period. The Enhanced Income Composite is comprised 50% of the Six-Month U.S. Treasury Bill Index and 50% of the One-Year U.S. Treasury Note Index, which generated average annual total returns of 0.37% and 0.73%, respectively, over the same time period.

The Fund’s Class IR Shares were launched on July 30, 2010. During the period from inception through March 31, 2011, the Fund’s Class IR Shares generated a cumulative total return, without sales charges, of 0.53%. This return compares to the 0.29% cumulative total return of the Enhanced Income Composite during the same time period.


Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed the most to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the corporate bond and government/agency sectors contributed positively.

The primary detractor from Fund performance was our duration strategy. Duration is a measure of the Fund’s sensitivity to changes in interest rates.


Q	Which fixed income market sectors most significantly affected Fund performance?

A	Sector positioning added to the Fund’s results during the Reporting Period, with the most positive contribution coming from an overweighted exposure to corporate credit. Corporate bonds overall performed well, strengthened by rather steadily tightening spreads during the second half of the Reporting Period. Spreads are the differential in yields between a particular sector’s securities and U.S. Treasuries.

Effective individual selection of government and agency issued debentures also added value to the Fund’s performance during the Reporting Period, with holdings of inflation-linked Treasury bonds contributing most positively given the increase in break-even inflation late in 2010. Break-even inflation refers to the difference between the nominal yield on a conventional bond and the real yield on an inflation-indexed bond of the same maturity. Selection of corporate bonds also contributed positively to Fund results, with holdings of short-dated financial and industrial corporate bonds particularly helpful.

There were no real detractors from a sector allocation or security selection perspective during the Reporting Period.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period. During May, June and July, we held a shorter duration than the benchmark index, as we believed contagion

PORTFOLIO RESULTS

risk from the European bond markets, although contained, could lead to increased risk premia for all indebted sovereigns. However, such positioning hurt performance as bonds strengthened during these months, with U.S. Treasury yields dropping rather steadily and significantly. Volatility in the equity market together with the rising concern about the health of the European banking sector led to reduced investor risk appetite and higher demand for U.S. Treasury securities as a safe haven. We subsequently shifted to a longer duration than the benchmark index in the latter months of 2010 in anticipation of a decrease in market yields. However, this positioning held in November and December also detracted from the Fund’s results, as U.S. Treasury yields actually increased during these months. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.


Q	How did the Fund use derivatives during the Reporting Period?

A	The Fund used Treasury futures and Eurodollar futures during the Reporting Period for the purpose of managing the duration and term structure (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds) of the Fund. The Fund employed credit default swaps to manage the credit profile of the Fund.

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	As indicated earlier, we shifted the Fund’s duration positioning during the Reporting Period as market conditions changed. At the start of the Reporting Period, the Fund maintained a longer duration position than the benchmark index. During the summer months of 2010, the Fund held a shorter duration position than the benchmark index in anticipation of higher market yields. Fund duration was lengthened to a longer position than the benchmark index in the latter months of 2010 in anticipation of a decrease in market yields. At the end of the Reporting Period, the Fund held a modestly shorter duration relative to the benchmark index.

Also, as previously noted, the Fund had an overweighted exposure to corporate credit, which contributed positively to its results during the Reporting Period, as did security selection within the sector. The Fund’s allocation to corporate obligations increased during the Reporting Period due in part to active management decisions and in part to the strong performance of the Fund’s holdings within the sector.


Q	How was the Fund positioned relative to its benchmark index at the end of March 2011?

A	While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark index. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably quasi-government securities, including agency-issued debentures and government-guaranteed corporate bonds, as well as asset-backed securities and investment-grade corporate bonds. The Fund maintained an underweighted exposure to government bonds at the end of the Reporting Period.

FUND BASICS

Enhanced Income Fund

as of March 31, 2011


PERFORMANCE REVIEW


										Goldman Sachs			30-Day			30-Day
	Fund Total			Six-Month			One-Year			Enhanced			Standardized			Standardized
April 1, 2010–	Return			U.S. Treasury			U.S. Treasury			Income Fund			Subsidized			Unsubsidized
March 31, 2011	(based on NAV)¹			Bill Index²			Note Index²			Composite Index³			Yield⁴			Yield⁴


Class A		0.29	%		0.37	%		0.73	%		0.55	%		0.74	%		0.74	%
Class B		-0.56			0.37			0.73			0.55			0.01			0.01
Institutional		0.63			0.37			0.73			0.55			1.09			1.09
Administration		0.38			0.37			0.73			0.55			0.84			0.84



July 30, 2010–
March 31, 2011


Class IR		0.53	%		0.22	%		0.36	%		0.29	%		0.99	%		0.99	%


¹		The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²		The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The Goldman Sachs Enhanced Income Fund Composite Index is an equal weight blend of the Six-Month U.S. Treasury Bill Index and the One-Year U.S. Treasury Note Index. The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

⁴		The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁵


For the period ended 3/31/11	One Year			Five Years			Ten Years			Since Inception			Inception Date


Class A		-1.24	%		2.42	%		2.45	%		2.82	%	8/2/00
Class B		-5.53			N/A			N/A			0.53		6/20/07
Institutional		0.63			3.10			2.97			3.34		8/2/00
IR		N/A			N/A			N/A			0.53		7/30/10
Administration		0.38			2.93			2.73			3.11		8/2/00


⁵		The Standardized Average Annual Total Returns are average annual total returns or cumulative total returns (only if the performance is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 1.5% for Class A Shares and the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years). Class B shares convert automatically to Class A shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Because Institutional, Class IR and Administration Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds).

		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 RATIOS⁶


	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)


Class A		0.63	%		0.68	%
Class B		1.38			1.43
Institutional		0.29			0.34
Class IR		0.38			0.43
Administration		0.54			0.59


⁶		The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any 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 COMPOSITION⁷


⁷		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent commercial paper and repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

⁸		“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 currency. 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.

⁹		“Agency Debentures” include agency securities offered by companies such as the Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”), which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

GOLDMAN SACHS ENHANCED INCOME FUND

Performance Summary

March 31, 2011

The following graph shows the value, as of March 31, 2011, of a $10,000 investment made on April 1, 2001 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmarks, the One-Year T-Note Index, and the Six-Month T-Bill 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 B and Administration Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions 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.


Enhanced Income Fund’s 10 Year Performance

Performance of a $10,000 Investment, with distributions reinvested, from April 1, 2001 through March 31, 2011.



Average Annual Total Return through March 31, 2011	One Year		Five Years		Ten Years		Since Inception
Class A (Commenced August 2, 2000)
Excluding sales charges		0.29%		2.74%		2.60%		2.97%
Including sales charges		–1.24%		2.42%		2.45%		2.82%


Class B (Commenced June 20, 2007)
Excluding sales charges		–0.56%		n/a		n/a		1.34%
Including sales charges		–5.53%		n/a		n/a		0.53%


Institutional (Commenced August 2, 2000)		0.63%		3.10%		2.97%		3.34%


Administration (Commenced August 2, 2000)		0.38%		2.93%		2.73%		3.11%


Class IR (Commenced July 30, 2010)		n/a		n/a		n/a		0.53%	*


*		Total returns for periods less than one year represent cumulative total return.

PORTFOLIO RESULTS

Goldman Sachs Government Income Fund

Investment Objective

The Fund seeks a high level of current income, consistent with safety of principal.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Government Income Fund’s (the “Fund”) performance and positioning for the 12-month period ended March 31, 2011 (the “Reporting Period”).


Q	How did 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 3.63%, 2.86%, 2.86%, 3.92%, 3.40%, 3.89% and 3.31%, respectively. These returns compare to the 4.26% average annual total return of the Fund’s benchmark, the Barclays Capital Government/ Mortgage Index (the “Barclays Capital Index”), during the same time period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	Both top-down and bottom-up strategies contributed to the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed the most to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the collateralized and government/agency sectors also was a key factor contributing positively to the Fund’s performance.

The primary detractor from Fund performance was our duration and yield curve strategy. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.


Q	Which fixed income market sectors most significantly affected Fund performance?

A	Exposure to non-agency mortgage-backed securities was particularly beneficial during the Reporting Period, as strong demand for higher yielding assets, hints of stabilization and even improvement in borrower credit trends, and slower declines in house prices nationally all lent support to this sector. Tactical positioning in agency mortgage-backed securities also benefited the Fund’s results.

Individual issue selection within the collateralized sector contributed positively. Our emphasis on agency mortgage-backed securities proved particularly helpful, especially during the latter part of 2010, as risk assets continued to rally amid strengthening U.S. economic data. Within the government/ agency sector, exposure to Treasury inflation protected securities (TIPS) boosted results most. During the second quarter of 2010, the Fund’s exposure to specific longer-dated TIPS contributed to the Fund’s results most. During the third quarter of 2010, the Fund’s overweighted exposure to specific TIPS in the short-dated maturity portion of the yield curve contributed most to performance. Overall, TIPS performed well during the Reporting Period, as inflationary pressures mounted.

There were no real detractors from a sector allocation or security selection perspective during the Reporting Period.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	Active U.S. duration positioning was the primary detractor from the Fund’s performance during the Reporting Period. The Fund’s shorter U.S. duration than the Barclays Capital Index from March through July hurt most, as U.S. Treasury yields fell sharply then amid mounting sovereign debt concerns and actions on regulatory reform. The Fund subsequently moved to a longer duration position compared to the Barclays Capital Index in August, driven by our views on the Fed’s anticipated second round of quantitative easing and its potential impact on interest rates. However, this duration positioning also detracted from the Fund’s relative

PORTFOLIO RESULTS

results as U.S. yields sharply rose during the fourth calendar quarter. We subsequently shortened the Fund’s duration.

During the first quarter of 2011, the Fund’s shorter duration bias relative to the Barclays Capital Index detracted, as global bond yields fell in early March on the back of heightened global economic growth concerns. The political upheaval across the Middle East and North Africa drove oil prices significantly higher and Japan’s devastating earthquake and tsunami raised concerns about a disruption in the global supply chain. While maintaining a shorter duration positioning than the Barclays Capital Index, we modestly extended the stance in mid-March as downside risk to global growth increased.


Q	How did the Fund use derivatives during the Reporting Period?

A	The Fund used Treasury futures and Eurodollar futures to hedge interest rate exposure and to facilitate specific duration and yield curve strategies. Interest rate swaps were used to hedge interest rate exposure and to express an outright term structure view (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds). The Fund employed swaptions (or options on interest rate swap contracts) to hedge and express an outright term structure view.

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	During the Reporting Period, we reduced the Fund’s exposure to agency securities, shifting from a significantly overweighted position to a more modestly overweighted allocation. We increased the Fund’s overweighted exposure to asset-backed securities. Also, as already discussed, we shifted the Fund’s duration positioning throughout the Reporting Period as market conditions changed.

Q	How was the Fund positioned relative to its benchmark index at the end of March 2011?

A	At the end of March 2011, the Fund had overweighted allocations relative to the Barclays Capital Index in quasi-government securities, including government-guaranteed corporate bonds, as well as in asset-backed securities. The Fund had an underweighted exposure relative to the benchmark index in U.S. government securities and a rather neutral allocation compared to the Barclays Capital Index in residential mortgage-backed securities (RMBS). The Fund had a position in cash at the end of the Reporting Period. The Fund maintained a neutral duration relative to the Barclays Capital Index at the end of the Reporting Period.

FUND BASICS

Government Income Fund

as of March 31, 2011


PERFORMANCE REVIEW


April 1, 2010–	Fund Total Return			Barclays Capital			30-Day Standardized			30-Day Standardized
March 31, 2011	(based on NAV)¹			Gov’t/Mortgage Index²			Subsidized Yield³			Unsubsidized Yield³


Class A		3.63	%		4.26	%		1.16	%		1.09	%
Class B		2.86			4.26			0.47			0.39
Class C		2.86			4.26			0.47			0.39
Institutional		3.92			4.26			1.55			1.47
Service		3.40			4.26			1.05			0.97
Class IR		3.89			4.26			1.46			1.38
Class R		3.31			4.26			0.96			0.88


¹		The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²		The Barclays Capital Gov’t/Mortgage Index, an unmanaged index, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁴


For the period ended 3/31/11	One Year			Five Years			Ten Years			Since Inception			Inception Date


Class A		-0.25	%		4.33	%		4.39	%		5.50	%	2/10/93
Class B		-2.29			3.93			4.15			5.20		5/1/96
Class C		1.83			4.33			4.01			4.57		8/15/97
Institutional		3.92			5.47			5.18			5.74		8/15/97
Service		3.40			4.95			4.65			5.21		8/15/97
Class IR		3.89			N/A			N/A			4.69		11/30/07
Class R		3.31			N/A			N/A			4.21		11/30/07


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 3.75% 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 quarter that is eight years after purchase. Returns for Class B Shares for the period after conversion reflect the performance of Class A Shares. Because Institutional, Service, Class IR and R Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds).

		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 RATIOS⁵


	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)


Class A		0.92	%		1.00	%
Class B		1.67			1.75
Class C		1.67			1.75
Institutional		0.58			0.66
Service		1.08			1.16
Class IR		0.67			0.75
Class R		1.17			1.25


⁵		The expense ratios of the Fund, both current (net of any fee waivers and/or expense limitations) and before waivers (gross of any 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 COMPOSITION⁶

(FUND VS. BENCHMARK SECTOR ALLOCATIONS BAR CHART)


⁶		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

⁷		“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 U.S. Government.

⁸		“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.

⁹		“Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

GOLDMAN SACHS GOVERNMENT INCOME FUND

Performance Summary

March 31, 2011

The following graph shows the value, as of March 31, 2011, of a $10,000 investment made on April 1, 2001 in Class A Shares (with the maximum sales charge of 3.75%) at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Barclays Capital U.S. Gov’t/MBS 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 B, Class C, Institutional, Service, Class IR and Class R Shares will vary from Class A Shares due to differences in class specific fees and any applicable sales charges. In addition to the investment adviser’s decisions 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.


Government Income Fund’s 10 Year Performance

Performance of a $10,000 Investment, with distributions reinvested, from April 1, 2001 through March 31, 2011.



Average Annual Total Return through March 31, 2011	One Year		Five Years		Ten Years		Since Inception
Class A (Commenced February 10, 1993)
Excluding sales charges		3.63%		5.12%		4.79%		5.72%
Including sales charges		–0.25%		4.33%		4.39%		5.50%


Class B (Commenced May 1, 1996)
Excluding contingent deferred sales charges		2.86%		4.34%		4.15%		5.20%
Including contingent deferred sales charges		–2.29%		3.93%		4.15%		5.20%


Class C (Commenced August 15, 1997)
Excluding contingent deferred sales charges		2.86%		4.33%		4.01%		4.57%
Including contingent deferred sales charges		1.83%		4.33%		4.01%		4.57%


Institutional (Commenced August 15, 1997)		3.92%		5.47%		5.18%		5.74%


Service (Commenced August 15, 1997)		3.40%		4.95%		4.65%		5.21%


Class IR (Commenced November 30, 2007)		3.89%		n/a		n/a		4.69%


Class R (Commenced November 30, 2007)		3.31%		n/a		n/a		4.21%

PORTFOLIO RESULTS

Goldman Sachs Inflation Protected Securities Fund

Investment Objective

The Fund seeks real return consistent with preservation of capital. Real return is the return on an investment adjusted for inflation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Inflation Protected Securities Fund’s (the “Fund”) performance and positioning for the 12-month period ended March 31, 2011 (the “Reporting Period”).


Q	How did 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 7.53%, 6.72%, 7.88%, 7.80% and 7.36%, respectively. These returns compare to the 7.91% average annual total return of the Fund’s benchmark, the Barclays Capital U.S. TIPS Index (“Barclays Capital Index”) during the same time period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	Bottom-up individual issue selection of various maturity Treasury inflation protected securities (“TIPS”) was the key positive contributor to the Fund’s performance during the Reporting Period.


Q	Which fixed income market sectors most significantly affected Fund performance?

A	Individual issue selection of various maturity TIPS as well as an overweighted risk exposure to the sector most significantly affected Fund performance, contributing positively during the Reporting Period. Despite pockets of volatility, TIPS generally performed well during the Reporting Period, as inflationary pressures continued to build, especially as political upheaval across the Middle East and North Africa drove oil prices significantly higher. In addition, our yield curve positioning in the TIPS market contributed positively to Fund results, with the Fund’s overweighted exposure to the 15 to 20 year part of the yield curve helping most.

There were no real detractors from a sector allocation or security selection perspective during the Reporting Period.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	Active U.S. duration positioning was the primary detractor from the Fund’s performance during the Reporting Period. The Fund’s shorter U.S. duration bias relative to the Barclays Capital Index early in the Reporting Period hurt most, as U.S. Treasury yields fell sharply then amid mounting sovereign debt concerns and actions on regulatory reform. The Fund subsequently moved to a longer duration position compared to the Barclays Capital Index late in the third quarter of 2010, driven by our views on the Fed’s anticipated second round of quantitative easing and its potential impact on interest rates. However, this duration positioning also detracted from the Fund’s relative results as U.S. yields sharply rose during the fourth calendar quarter. We subsequently shortened the Fund’s duration.

PORTFOLIO RESULTS


Q	How did the Fund use derivatives during the Reporting Period?

A	The Fund used Treasury futures and Eurodollar futures to hedge interest rate exposure and to facilitate specific duration and yield curve strategies. Interest rate swaps were used to hedge interest rate exposure and to express an outright term structure view (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds). The Fund employed swaptions (or options on interest rate swap contracts) to hedge and express an outright term structure view.

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	As already discussed, we tactically shifted the Fund’s duration positioning throughout the Reporting Period as market conditions changed.

Q	How was the Fund positioned relative to its benchmark index at the end of March 2011?

A	At the end of March 2011, the Fund had approximately 96.0% of its total net assets invested in TIPS, with the remainder in government-guaranteed corporate bonds, covered bonds and cash or cash equivalents. Covered bonds are securities created from either mortgage loans or public sector loans. The Fund maintained just a slightly longer duration position than the benchmark index at the end of the Reporting Period.

FUND BASICS

Inflation Protected Securities Fund

as of March 31, 2011


PERFORMANCE REVIEW


							30-Day			30-Day
	Total Return			Barclays Capital			Standardized			Standardized
April 1, 2010-March 31, 2011	(based on NAV)¹			U.S. TIPS Index²			Subsidized Yield³			Unsubsidized Yield³


Class A		7.53	%		7.91	%		5.27	%		5.19	%
Class C		6.72			7.91			4.71			4.64
Institutional		7.88			7.91			5.82			5.74
Class IR		7.80			7.91			5.73			5.65
Class R		7.36			7.91			5.20			5.14


¹		The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²		The Barclays Capital U.S. TIPS Index represents securities that protect against adverse inflation and provide a minimum level of real return. To be included in this index, bonds must have cash flows linked to an inflation index, be sovereign issues denominated in U.S. currency, and have more than one year to maturity, and, as a portion of the index, total a minimum amount outstanding of 100 million U.S. dollars. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁴


For the period ended 3/31/11	One Year			Since Inception			Inception Date


Class A		3.54	%		5.07	%	8/31/07
Class C		5.66			5.51		8/31/07
Institutional		7.88			6.66		8/31/07
Class IR		7.80			5.12		11/30/07
Class R		7.36			4.65		11/30/07


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 3.75% 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 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 RATIOS⁵


	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)


Class A		0.67	%		0.91	%
Class C		1.42			1.66
Institutional		0.33			0.57
Class IR		0.42			0.66
Class R		0.92			1.16


⁵		The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any 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 COMPOSITION⁶


⁶		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase assessments. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

⁷		“U.S. Treasury Obligations” percentages are grouped by effective maturity. The weighted average maturity was 9.3 years at March 31, 2011 and March 31, 2010.

⁸		“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 INFLATION PROTECTED SECURITIES FUND

Performance Summary

March 31, 2011

The following graph shows the value, as of March 31, 2011, of a $10,000 investment made on August 31, 2007 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Barclays Capital U.S. TIPS 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 class specific fees and any applicable sales charges. In addition to the investment adviser’s decisions 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.


Inflation Protected Securities Fund’s Lifetime Performance

Performance of a $10,000 Investment, with distributions reinvested, from August 31, 2007 through March 31, 2011.



Average Annual Total Return through March 31, 2011	One Year		Since Inception
Class A (Commenced August 31, 2007)
Excluding sales charges		7.53%		6.20%
Including sales charges		3.54%		5.07%


Class C (Commenced August 31, 2007)
Excluding contingent deferred sales charges		6.72%		5.51%
Including contingent deferred sales charges		5.66%		5.51%


Institutional (Commenced August 31, 2007)		7.88%		6.66%


Class IR (Commenced November 30, 2007)		7.80%		5.12%


Class R (Commenced November 30, 2007)		7.36%		4.65%

PORTFOLIO RESULTS

Goldman Sachs Short Duration Government Fund

Investment Objective

The Fund seeks a high level of current income and secondarily, in seeking current income, may also consider the potential for capital appreciation.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Short Duration Government Fund’s (the “Fund”) performance and positioning for the 12-month period ended March 31, 2011 (the “Reporting Period”).


Q	How did the Fund perform during the Reporting Period?

A	During the Reporting Period, the Fund’s Class A, B, C, Institutional, Service and IR Shares generated average annual total returns, without sales charges, of 1.11%, 0.69%, 0.74%, 1.56%, 1.05% and 1.46%, respectively. These returns compare to the 1.54% average annual total return of the Fund’s benchmark, the Bank of America/Merrill Lynch Two-Year U.S. Treasury Note Index, during the same time period. To compare, the Barclays Capital U.S. Government Bond Index (1- 3 Year) returned 1.73% for the Reporting Period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed the most to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the government/agency sector contributed positively.

The primary detractor from Fund performance was our duration strategy. Duration is a measure of the Fund’s sensitivity to changes in interest rates.


Q	Which fixed income market sectors most significantly affected Fund performance?

A	Sector positioning added to the Fund’s results during the Reporting Period, with the most positive contribution coming from an overweighted exposure to agency mortgage-backed securities. Exposure to agency mortgage-backed securities proved especially helpful during the fourth calendar quarter, as the sector outperformed U.S. Treasury securities. This was most evident in October 2010 when the sector generated strong returns amid an environment of benign prepayments and stable to declining volatility.

Effective individual selection of government and agency issued debentures also added value to the Fund’s performance during the Reporting Period, with holdings of both short-dated nominal U.S. Treasury bonds and inflation-linked Treasury bonds contributing most positively. Inflation-linked Treasury bonds boosted results given the increase in breakeven inflation late in 2010. Break-even inflation refers to the difference between the nominal yield on a conventional bond and the real yield on an inflation-indexed bond of the same maturity.

There were no real detractors from a sector allocation or security selection perspective during the Reporting Period.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period, with the majority of negative return coming from a shorter duration position than the benchmark index during May, June and July of 2010. We held this shorter duration relative to the benchmark index, as we believed contagion risk from the European bond markets, although contained, could lead to increased risk premia for all indebted sovereigns. However, such positioning hurt performance as bonds strengthened during these months, with U.S. Treasury yields dropping rather steadily and significantly. Volatility in the equity market together with the rising concern about the health of the European banking sector led to reduced investor risk appetite and higher demand for U.S. Treasury securities as a safe haven. As mentioned earlier, duration is a measure

PORTFOLIO RESULTS

of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.


Q	How did the Fund use derivatives during the Reporting Period?

A	The Fund used Treasury futures and interest rate swaps during the Reporting Period for the purpose of managing the duration and term structure (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds) of the Fund. The Fund employed swaptions (or options on interest rate swap contracts) to hedge and express an outright term structure view.

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	We shifted the Fund’s duration positioning during the Reporting Period as market conditions changed. During the summer months of 2010, the Fund held a shorter duration position than the benchmark index in anticipation of higher market yields. Fund duration was modestly lengthened to a neutral position relative to the benchmark index in the latter months of 2010. At the end of the Reporting Period, the Fund held a rather neutral duration relative to the benchmark index.

Q	How was the Fund positioned relative to its benchmark index at the end of March 2011?

A	While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark index. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably quasi-government securities, including agency-issued debentures and government-guaranteed corporate bonds, as well as agency mortgage-backed securities. The Fund maintained an underweighted exposure to government bonds at the end of the Reporting Period.

FUND BASICS

Short Duration Government Fund

as of March 31, 2011


PERFORMANCE REVIEW


							30-Day			30-Day
April 1, 2010–	Fund Total Return			Two-Year U.S.			Standardized			Standardized
March 31, 2011	(based on NAV)¹			Treasury Note Index²			Subsidized Yield³			Unsubsidized Yield³


Class A		1.11	%		1.54	%		0.54	%		0.43	%
Class B		0.69			1.54			-0.04			-0.15
Class C		0.74			1.54			0.16			0.04
Institutional		1.56			1.54			0.89			0.78
Service		1.05			1.54			0.39			0.28
Class IR		1.46			1.54			0.80			0.69


¹		The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²		The Two-Year U.S. Treasury Note Index, as reported by Bank of America Merrill Lynch, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁴


For the period ended 3/31/11	One Year			Five Years			Ten Years			Since Inception			Inception Date


Class A		-0.42	%		4.41	%		3.87	%		4.49	%	5/1/97
Class B		-1.32			4.15			3.52			4.25		5/1/97
Class C		0.08			4.02			3.29			3.74		8/15/97
Institutional		1.56			5.10			4.42			5.81		8/15/88
Service		1.05			4.58			3.90			4.61		4/10/96
Class IR		1.46			N/A			N/A			4.48		11/30/07


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 1.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (2% maximum declining to 0% after three years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase prior to September 30, 2010; 0.65% if redeemed within 12 months of purchase effective September 30, 2010). Class B Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after purchase. Returns for Class B Shares for the period after conversion reflect the performance of Class A Shares. Because Institutional, Service and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns. The Fund’s Class B Shares are no longer available for purchase by new or existing shareholders (although current Class B shareholders may continue to reinvest income and capital gains distributions into Class B Shares, and Class B shareholders may continue to exchange their shares for Class B Shares of certain other Goldman Sachs Funds).

		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 RATIOS⁵


	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)


Class A		0.84	%		0.88	%
Class B		1.44			1.63
Class C		1.59			1.63
Institutional		0.50			0.54
Service		1.00			1.04
Class IR		0.59			0.63


⁵		The expense ratios of the Fund, both current (net of any fee waivers or expense limitations) and before waivers (gross of any 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 COMPOSITION⁶


⁶		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

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.

⁸		“Agency Debentures” include agency securities offered by companies such as the Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”), which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

⁹		“Federal Agencies” are mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), FNMA and FHLMC. GNMA instruments are backed by the full faith and credit of the U.S. Government.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Performance Summary

March 31, 2011

The following graph shows the value, as of March 31, 2011, of a $10,000 investment made on April 1, 2001 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Two-Year T-Note Index, as well as the Barclays Capital U.S. Short (1-3) Gov’t 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 B, Class C, Service and Class IR Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions 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.


Short Duration Government Fund’s 10 Year Performance

Performance of a $10,000 Investment, with distributions reinvested, from April 1, 2001 through March 31, 2011.



Average Annual Total Return through March 31, 2011	One Year		Five Years		Ten Years		Since Inception
Class A (Commenced May 1, 1997)
Excluding sales charges		1.11%		4.74%		4.03%		4.60%
Including sales charges		–0.42%		4.41%		3.87%		4.49%


Class B (Commenced May 1, 1997)
Excluding contingent deferred sales charges		0.69%		4.15%		3.52%		4.25%
Including contingent deferred sales charges		–1.32%		4.15%		3.52%		4.25%


Class C (Commenced August 15, 1997)
Excluding contingent deferred sales charges		0.74%		4.02%		3.29%		3.74%
Including contingent deferred sales charges		0.08%		4.02%		3.29%		3.74%


Institutional (Commenced August 15, 1988)		1.56%		5.10%		4.42%		5.81%


Service (Commenced April 10, 1996)		1.05%		4.58%		3.90%		4.61%


Class IR (Commenced November 30, 2007)		1.46%		n/a		n/a		4.48%

PORTFOLIO RESULTS

Goldman Sachs Ultra-Short Duration Government Fund

Investment Objective

The Fund seeks a high level of current income, consistent with low volatility of principal.

Portfolio Management Discussion and Analysis

Below, the Goldman Sachs U.S. Fixed Income Investment Management Team discusses the Goldman Sachs Ultra-Short Duration Government Fund’s (the “Fund”) performance and positioning for the 12-month period ended March 31, 2011 (the “Reporting Period”).


Q	How did the Fund perform during the Reporting Period?

A	During the Reporting Period, the Fund’s Class A, Institutional, Service and IR Shares generated average annual total returns, without sales charges, of 0.00%, 0.45%, -0.05% and 0.36%, respectively. These returns compare to the 0.55% average annual total return of the Fund’s benchmark, the Goldman Sachs Ultra-Short Duration Government Fund Composite Index (the “Ultra-Short Duration Government Composite Index”) during the same period. The Ultra-Short Duration Government Composite Index is comprised 50% of the Six-Month U.S. Treasury Bill Index and 50% of the One-Year U.S. Treasury Note Index, which generated average annual total returns of 0.37% and 0.73%, respectively over the same period.

Q	What key factors were responsible for the Fund’s performance during the Reporting Period?

A	Both top-down and bottom-up strategies had an impact on the Fund’s performance during the Reporting Period. Within our top-down strategies, our cross-sector strategy contributed the most to relative performance. Our cross-sector strategy is one in which we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Fund’s benchmark. Bottom-up individual issue selection within the collateralized and government/agency sectors contributed positively.

The primary detractor from Fund performance was our duration strategy. Duration is a measure of the Fund’s sensitivity to changes in interest rates.


Q	Which fixed income market sectors most significantly affected Fund performance?

A	Sector positioning added to the Fund’s results during the Reporting Period, with the most positive contributions coming from overweighted exposures to both agency and non-agency mortgage-backed securities. Exposure to agency mortgage-backed securities proved especially helpful during the fourth calendar quarter, as the sector outperformed U.S. Treasury securities. This was most evident in October 2010 when the sector generated strong returns amid an environment of benign prepayments and stable to declining volatility.

There were no real detractors from a sector allocation or security selection perspective during the Reporting Period.


Q	Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?

A	Tactical management of the Fund’s duration and yield curve positioning detracted from its results during the Reporting Period, with the majority of negative return coming from a shorter duration position than the benchmark index during May, June and July of 2010. We held this shorter duration than the benchmark index, as we believed contagion risk from the European bond markets, although contained, could lead to increased risk premia for all indebted sovereigns.

PORTFOLIO RESULTS

However, such positioning hurt performance as bonds strengthened during these months, with U.S. Treasury yields dropping rather steadily and significantly. Volatility in the equity market together with the rising concern about the health of the European banking sector led to reduced investor risk appetite and higher demand for U.S. Treasury securities as a safe haven. We subsequently shifted to a longer duration than the benchmark index in the latter months of 2010 in anticipation of a decrease in market yields. However, this positioning held in November and December also detracted from the Fund’s results, as U.S. Treasury yields actually increased during these months. As mentioned earlier, duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve indicates the spectrum of maturities within a particular sector.


Q	How did the Fund use derivatives during the Reporting Period?

A	The Fund used Treasury futures, Eurodollar futures and interest rate swaps during the Reporting Period for the purpose of managing the duration and term structure (Term structure, most often depicted as a yield curve, refers to the term structure of interest rates, which is the relationship between the yield to maturity and the time to maturity for pure discount bonds) of the Fund. The Fund employed swaptions (or options on interest rate swap contracts) to hedge and express an outright term structure view.

Q	Were there any notable changes in the Fund’s weightings during the Reporting Period?

A	As indicated earlier, we shifted the Fund’s duration positioning during the Reporting Period as market conditions changed. During the summer months of 2010, the Fund held a shorter duration position than the benchmark index in anticipation of higher market yields. Fund duration was lengthened to a longer position than the benchmark index in the latter months of 2010 in anticipation of a decrease in market yields. At the end of the Reporting Period, the Fund held a modestly shorter duration relative to the benchmark index.

Q	How was the Fund positioned relative to its benchmark index at the end of March 2011?

A	While the Fund is benchmarked to U.S. Treasuries, it continued to hold a portion of its assets in non-Treasury sectors not represented in the benchmark index. Indeed, the Fund maintained exposures to high quality spread, or non-Treasury, sectors throughout the Reporting Period, most notably quasi-government securities, including agency-issued debentures and government-guaranteed corporate bonds, as well as agency mortgage-backed securities and asset-backed securities. The Fund maintained an underweighted exposure to government bonds at the end of the Reporting Period.

FUND BASICS

Ultra-Short Duration Government Fund

as of March 31, 2011


PERFORMANCE REVIEW


										Ultra Short			30-Day			30-Day
	Fund Total			Six-Month			One-Year			Duration Gov’t			Standardized			Standardized
April 1, 2010-	Return			U.S. Treasury			U.S. Treasury			Composite			Subsidized			Unsubsidized
March 31, 2011	(based on NAV)¹			Bill Index²			Note Index²			Index³			Yield⁴			Yield⁴


Class A		0.00	%		0.37	%		0.73	%		0.55	%		0.42	%		0.20	%
Institutional		0.45			0.37			0.73			0.55			0.76			0.54
Service		-0.05			0.37			0.73			0.55			0.27			0.04
Class IR		0.36			0.37			0.73			0.55			0.67			0.43


¹		The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges.

²		The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Bank of America Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.

³		The Goldman Sachs Ultra-Short Duration Gov’t Fund Composite Index is an equal weight blend of the Six-Month U.S. Treasury Bill Index and the One-Year U.S. Treasury Note Index. The Six-Month U.S. Treasury Bill Index and One-Year U.S. Treasury Note Index, as reported by Merrill Lynch, do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index.

⁴		The 30-Day Standardized Subsidized Yield of the Fund is calculated by dividing the net investment income per share (as defined by securities industry regulations) earned by the Fund over a 30-day period (ending on the stated month-end date) by the maximum public offering price (“POP”) per share of the Fund on the last day of the period. This number is then annualized. This yield does not necessarily reflect income actually earned and distributed by the Fund and, therefore, may not be correlated with the dividends or other distributions paid to shareholders. The 30-Day Standardized Unsubsidized Yield does not reflect any applicable expense reductions.


STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS⁵


For the period ended 3/31/11	One Year			Five Years			Ten Years			Since Inception			Inception Date


Class A		-1.45	%		1.78	%		2.23	%		3.48	%	5/15/95
Institutional		0.45			2.45			2.76			4.11		7/17/91
Service		-0.05			1.93			2.28			3.10		3/27/97
Class IR		0.36			N/A			N/A			1.08		11/30/07


⁵		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 1.5% for Class A Shares. Because Institutional, Service and Class IR Shares do not involve a sales charge, such a charge is not applied to their Standardized Average Annual Total Returns.

		The 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 RATIOS⁶


	Net Expense Ratio (Current)			Gross Expense Ratio (Before Waivers)


Class A		0.83	%		0.87	%
Institutional		0.49			0.53
Service		0.99			1.03
Class IR		0.58			0.62


⁶		The expense ratios of the Fund, both current (net of any fee waivers and/or expense limitations) and before waivers (gross of any 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 COMPOSITION⁷


⁷		The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments represent repurchase agreements. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

⁸		“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.

⁹		“Federal Agencies” are mortgage-backed securities guaranteed by 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 U.S. Government.

¹⁰		“Agency Debentures” include agency securities offered by companies such as FNMA and FHLMC, which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company.

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND

Performance Summary

March 31, 2011

The following graph shows the value, as of March 31, 2011, of a $10,000 investment made on April 1, 2001 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmarks, the One-Year T-Note Index, Six-Month T-Bill Index, and the Barclays Capital U.S. (1-2 Year) 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, Service and Class IR Shares will vary from Institutional Shares due to differences in class specific fees and any applicable sales charges. In addition to the Investment Adviser’s decisions 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.


Ultra-Short Duration Government Fund’s 10 Year Performance

Performance of a $10,000 Investment, with distributions reinvested, from April 1, 2001 through March 31, 2011.



Average Annual Total Return through March 31, 2011	One Year		Five Years		Ten Years		Since Inception
Class A (Commenced May 15, 1995)
Excluding sales charges		0.00%		2.09%		2.38%		3.58%
Including sales charges		–1.45%		1.78%		2.23%		3.48%


Institutional (Commenced July 17, 1991)		0.45%		2.45%		2.76%		4.11%


Service (Commenced March 27, 1997)		–0.05%		1.93%		2.28%		3.10%


Class IR (Commenced November 30, 2007)		0.36%		n/a		n/a		1.08%

GOLDMAN SACHS ENHANCED INCOME FUND

Schedule of Investments

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Corporate Obligations – 51.6%

Banks – 24.4%

ANZ National (International) Ltd.^(a)

$ 3,675,000 6.200 % 07/19/13 $ 4,009,429

Australia & New Zealand Banking Group Ltd.^(a)(b)

4,100,000 1.042 01/10/14 4,115,646

Bank of America Corp.

625,000 4.500 04/01/15 647,527

Bank of Montreal^(a)

6,600,000 2.625 01/25/16 6,568,551

Bank of Nova Scotia^(a)

10,100,000 1.450 07/26/13 10,123,967

Bank of Scotland PLC^(a)

14,000,000 5.000 11/21/11 14,319,004

Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)

3,600,000 2.600 01/22/13 3,659,951

Barclays Bank PLC

3,225,000 5.450 09/12/12 3,414,156

BB&T Corp.

2,725,000 3.850 07/27/12 2,817,823

BPCE SA^(a)(b)

1,875,000 2.061 02/07/14 1,888,991

Caisse centrale Desjardins du Quebec^(a)

2,400,000 2.550 03/24/16 2,364,026

Canadian Imperial Bank of Commerce^(a)

10,500,000 2.000 02/04/13 10,685,125

1,600,000 2.600 07/02/15 1,608,874

5,200,000 2.750 01/27/16 5,206,646

Cie de Financement Foncier

9,600,000 ^(a) 1.625 07/23/12 9,620,870

300,000 1.625 07/23/12 300,927

1,400,000 ^(a) 2.125 04/22/13 1,411,775

Citigroup, Inc.

1,575,000 6.375 08/12/14 1,745,832

Commonwealth Bank of Australia^(a)(b)

6,225,000 1.039 03/17/14 6,225,068

Credit Suisse New York

3,675,000 3.450 07/02/12 3,782,431

DnB NOR Boligkreditt^(a)

6,000,000 2.900 03/29/16 5,963,880

4,500,000 2.100 10/14/16 4,355,280

Intesa Sanpaolo New York

11,700,000 2.375 12/21/12 11,775,933

JPMorgan Chase & Co.^(b)

8,375,000 1.103 01/24/14 8,421,297

Keybank National Association

450,000 7.300 05/01/11 452,043

Lloyds TSB Bank PLC^(a)

1,725,000 4.375 01/12/15 1,756,952

National Bank of Canada^(a)

500,000 1.650 01/30/14 500,669

Nordea Bank AB^(a)(b)

6,550,000 1.203 01/14/14 6,612,801

Nordea Bank Norge ASA^(a)(b)

4,000,000 0.723 04/07/14 4,001,270

Rabobank Nederland^(a)

5,900,000 2.650 08/17/12 6,032,178

4,675,000 4.200 05/13/14 4,949,624

Royal Bank of Scotland PLC^(a)

2,975,000 4.875 08/25/14 3,089,014

Sovereign Bank

5,848,000 5.125 03/15/13 5,960,145

Sparebanken 1 Boligkreditt^(a)

8,000,000 1.250 10/25/13 7,918,040

Stadshypotek AB^(a)

2,800,000 1.450 09/30/13 2,793,535

Standard Chartered PLC^(a)

3,625,000 3.850 04/27/15 3,709,702

Swedbank Hypotek AB^(a)

1,600,000 0.759 ^(b) 03/28/14 1,599,540

2,800,000 2.950 03/28/16 2,774,916

UBS AG

5,200,000 2.250 08/12/13 5,242,606

Wachovia Corp.

5,127,000 5.500 05/01/13 5,524,760

Westpac Banking Corp.

9,225,000 2.250 11/19/12 9,367,092

197,317,896

Brokerage^(c) – 0.3%

Morgan Stanley & Co.

2,750,000 6.750 04/15/11 2,754,557

Electric^(c) – 2.9%

Carolina Power & Light Co.

3,140,000 6.500 07/15/12 3,353,255

Commonwealth Edison Co.

3,625,000 1.625 01/15/14 3,591,965

Enel Finance International SA^(a)

6,375,000 5.700 01/15/13 6,749,621

PacifiCorp

2,675,000 5.450 09/15/13 2,923,933

Public Service Co. of Colorado

2,325,000 7.875 10/01/12 2,555,264

Southern Co.

875,000 4.150 05/15/14 917,759

Wisconsin Electric Power Co.

2,875,000 6.000 04/01/14 3,189,427

23,281,224

Energy – 3.5%

Apache Corp.^(c)

2,975,000 6.000 09/15/13 3,285,641

BP Capital Markets PLC

2,675,000 3.125 10/01/15 2,680,472

EnCana Corp.^(c)

1,525,000 6.300 11/01/11 1,573,998

625,000 4.750 10/15/13 667,762

Shell International Finance BV^(c)

12,800,000 1.875 03/25/13 12,995,725

Statoil ASA^(c)

650,000 3.875 04/15/14 687,490

3,470,000 5.125 ^(a) 04/30/14 3,806,337

32 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ENHANCED INCOME FUND

Principal
Interest
Maturity

Amount Rate Date Value

Corporate Obligations – (continued)

Energy – (continued)

Total SA^(c)

$ 2,425,000 1.625 % 01/28/14 $ 2,422,512

28,119,937

Food and Beverage – 1.5%

Cargill, Inc.^(a)(c)

4,650,000 5.200 01/22/13 4,966,707

Diageo Finance BV

3,700,000 5.500 04/01/13 3,987,219

Kellogg Co.^(c)

3,200,000 5.125 12/03/12 3,406,524

12,360,450

Health Care Products^(c) – 1.5%

St. Jude Medical, Inc.

5,825,000 2.200 09/15/13 5,906,908

Thermo Fisher Scientific, Inc.

5,900,000 2.150 12/28/12 6,004,125

11,911,033

Health Care Services^(c) – 0.6%

Covidien International Finance SA

1,625,000 1.875 06/15/13 1,639,448

2,525,000 2.800 06/15/15 2,532,321

McKesson Corp.

950,000 3.250 03/01/16 956,609

5,128,378

Life Insurance – 4.4%

MassMutual Global Funding II^(a)(b)

5,450,000 0.809 09/27/13 5,443,149

Metropolitan Life Global Funding I^(a)

3,400,000 5.125 11/09/11 3,490,736

6,000,000 2.500 01/11/13 6,103,116

1,725,000 5.125 04/10/13 1,840,846

3,437,000 5.125 06/10/14 3,724,990

Nationwide Life Global Funding I^(a)

1,175,000 5.450 10/02/12 1,235,906

Prudential Financial, Inc.

3,625,000 5.800 06/15/12 3,812,975

1,625,000 2.750 01/14/13 1,652,178

Reinsurance Group of America, Inc.

2,375,000 6.750 12/15/11 2,460,821

Sun Life Financial Global Funding LP^(a)(b)

3,750,000 0.553 10/06/13 3,717,555

TIAA Global Markets, Inc.^(a)(c)

1,900,000 5.125 10/10/12 2,011,961

35,494,233

Media – Non Cable^(c) – 1.5%

Reed Elsevier Capital, Inc.

3,425,000 4.625 06/15/12 3,544,236

4,050,000 7.750 01/15/14 4,617,702

Thomson Reuters Corp.

3,209,000 5.950 07/15/13 3,521,908

11,683,846

Noncaptive – Financial – 2.5%

American Express Credit Corp.

4,775,000 2.750 09/15/15 4,661,933

General Electric Capital Corp.^(b)

8,650,000 1.144 01/07/14 8,720,592

HSBC Finance Corp.^(b)

450,000 0.522 08/09/11 450,129

2,000,000 0.573 04/24/12 1,997,064

1,350,000 0.653 07/19/12 1,345,957

2,775,000 0.660 09/14/12 2,761,461

19,937,136

Pipelines – 0.2%

TransCanada Pipelines Ltd.

1,200,000 8.625 05/15/12 1,301,042

Property/Casualty Insurance^(c) – 0.4%

The Travelers Cos., Inc.

3,150,000 5.375 06/15/12 3,303,236

Real Estate Investment Trust^(c) – 1.0%

Simon Property Group LP

2,475,000 4.200 02/01/15 2,611,481

WEA Finance LLC^(a)

2,941,000 5.400 10/01/12 3,111,716

WEA Finance LLC/WT Finance Australia Property Ltd.^(a)

2,025,000 7.500 06/02/14 2,317,864

8,041,061

Technology^(c) – 1.2%

Dell, Inc.

1,425,000 3.375 06/15/12 1,465,554

Hewlett-Packard Co.

4,695,000 6.125 03/01/14 5,246,337

International Business Machines Corp.

2,545,000 6.500 10/15/13 2,857,865

9,569,756

Tobacco – 1.1%

Philip Morris International, Inc.

4,775,000 4.875 05/16/13 5,121,821

3,300,000 6.875 03/17/14 3,784,697

8,906,518

Wireless Telecommunications – 4.1%

ALLTEL Corp.

1,350,000 6.500 11/01/13 1,501,368

Cellco Partnership/Verizon Wireless Capital LLC^(c)

4,500,000 3.750 05/20/11 4,518,999

2,025,000 5.250 02/01/12 2,099,036

New Cingular Wireless Services, Inc.^(c)

12,550,000 8.125 05/01/12 13,511,840

Telefonica Emisiones SAU^(b)(c)

2,150,000 0.641 02/04/13 2,129,678

Vodafone Group PLC^(c)

4,325,000 5.350 02/27/12 4,507,917

4,450,000 5.000 12/16/13 4,813,161

33,081,999

The accompanying notes are an integral part of these financial statements. 33

GOLDMAN SACHS ENHANCED INCOME FUND

Schedule of Investments (continued)

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Corporate Obligations – (continued)

Wirelines Telecommunications^(c) – 0.5%

France Telecom SA

$ 1,325,000 4.375 % 07/08/14 $ 1,421,378

Telefonica Emisiones SAU

2,850,000 5.984 06/20/11 2,881,048

4,302,426

TOTAL CORPORATE OBLIGATIONS

(Cost $411,215,170)
$ 416,494,728

Agency Debentures^(d) – 0.4%

FNMA

$ 3,000,000 3.000 % 07/28/14 $ 3,022,236

(Cost $3,056,373)

Asset-Backed Securities – 8.4%

Autos – 2.1%

Bank of America Auto Trust Series 2009-2A, Class A3^(a)

$ 4,962,381 2.130 % 09/15/13 $ 5,002,454

Ford Credit Auto Owner Trust Series 2009-B, Class A3

10,478,386 2.790 08/15/13 10,593,515

Ford Credit Auto Owner Trust Series 2009-E, Class A2

1,325,423 0.800 03/15/12 1,325,522

Harley-Davidson Motorcycle Trust Series 2006-2, Class A2

93,890 5.350 03/15/13 94,018

17,015,509

Home Equity^(b) – 0.0%

Amresco Residential Securities Mortgage Loan Trust Series 1998-2, Class M1F

32,264 6.745 06/25/28 24,466

Centex Home Equity Series 2004-D, Class MV3

179,974 1.250 09/25/34 39,975

Morgan Stanley ABS Capital I Series 2004-HE4, Class M3

58,585 2.500 05/25/34 11,949

76,390

Manufactured Housing – 0.0%

Lehman ABS Manufactured Housing Contract Series 2001-B, Class A3

70,356 4.350 05/15/14 68,106

Student Loan – 6.3%

Access Group, Inc. Series 2002-1, Class A2^(b)

3,908,088 0.488 09/25/25 3,897,761

Brazos Higher Education Authority, Inc. Series 2005-3, Class A14^(b)

1,071,957 0.418 09/25/23 1,063,363

College Loan Corp. Trust Series 2004-1, Class A3^(b)

4,619,926 0.463 04/25/21 4,616,568

College Loan Corp. Trust Series 2005-1, Class A2^(b)

7,000,000 0.403 07/25/24 6,969,203

College Loan Corp. Trust Series 2005-2, Class A2^(b)

4,967,584 0.413 10/15/21 4,940,445

Collegiate Funding Services Education Loan Trust I Series 2003-A, Class A2^(b)

1,080,473 0.609 09/28/20 1,080,473

Education Funding Capital Trust I Series 2004-1, Class A2^(b)

1,773,878 0.470 12/15/22 1,755,738

Educational Services of America, Inc. Series 2010-1, Class A1^(a)(b)

2,427,422 1.153 07/25/23 2,429,209

GCO Slims Trust Series 2006-1A Class Note^(a)

163,976 5.720 03/01/22 130,525

Nelnet Student Loan Corp. Series 2004-2A, Class A3^(b)

905,184 0.412 11/25/15 904,556

Northstar Education Finance, Inc. Series 2004-1, Class A3^(b)

2,997,500 0.474 04/28/17 2,994,709

Northstar Education Finance, Inc. Series 2005-1, Class A1^(b)

620,611 0.404 10/28/26 614,931

SLM Student Loan Trust Series 2004-9, Class A4^(b)

2,262,731 0.433 04/25/17 2,261,685

SLM Student Loan Trust Series 2007-1, Class A3^(b)

6,500,000 0.333 07/25/18 6,485,053

SLM Student Loan Trust Series 2007-2, Class A2^(b)

4,502,673 0.303 07/25/17 4,468,332

SLM Student Loan Trust Series 2008-6, Class A1^(b)

1,350,540 0.703 10/27/14 1,351,374

Sun Trust Student Loan Trust Series 2006-1A, Class A2^(a)(b)

3,789,713 0.404 07/28/20 3,749,104

US Education Loan Trust LLC Series 2006-1, Class A2^(a)(b)

965,463 0.441 03/01/25 948,016

50,661,045

TOTAL ASSET-BACKED SECURITIES

(Cost $67,949,014)
$ 67,821,050

Foreign Debt Obligations – 4.2%

Sovereign – 2.2%

Kommunalbanken AS

$ 11,900,000 5.125 % 05/30/12 $ 12,521,085

Landeskreditbank Baden-Wuerttemberg Foerderbank^(b)

5,600,000 0.573 11/04/11 5,593,838

18,114,923

Supranational – 2.0%

European Investment Bank

10,000,000 2.625 05/16/11 10,026,370

6,250,000 0.610 ^(b) 03/05/12 6,270,125

16,296,495

TOTAL FOREIGN DEBT OBLIGATIONS

(Cost $34,185,230)
$ 34,411,418

34 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ENHANCED INCOME FUND

Principal
Interest
Maturity

Amount Rate Date Value

Government Guarantee Obligations – 17.5%

Achmea Hypotheekbank NV^(a)(b)(e)

$ 8,200,000 0.661 % 11/03/14 $ 8,156,507

ANZ National (International) Ltd.^(a)(e)

4,700,000 0.491 ^(b) 08/05/11 4,701,861

5,800,000 3.250 04/02/12 5,949,657

Bank of America Corp.^(b)(f)

1,200,000 0.509 06/22/12 1,203,888

BRFkredit A/S^(a)(b)(e)

10,800,000 0.553 04/15/13 10,797,656

Danske Bank AS^(a)(e)

5,200,000 2.500 05/10/12 5,292,035

FIH Erhvervsbank AS^(a)(e)

5,500,000 2.450 08/17/12 5,600,029

5,700,000 0.540 ^(b) 12/06/12 5,698,598

ING Bank NV^(a)(e)

9,500,000 1.112 ^(b) 02/09/12 9,563,061

10,900,000 2.625 02/09/12 11,083,643

Landwirtschaftliche Rentenbank^(e)

3,500,000 3.125 06/15/11 3,519,159

8,500,000 1.875 09/24/12 8,647,739

2,400,000 4.125 07/15/13 2,558,340

6,500,000 4.875 01/10/14 7,090,012

LeasePlan Corp. NV^(a)(e)

1,800,000 3.000 05/07/12 1,844,527

Royal Bank of Scotland PLC^(a)(e)

10,800,000 1.500 03/30/12 10,899,803

2,700,000 1.012 ^(b) 05/11/12 2,715,512

Suncorp-Metway Ltd.^(a)(b)(e)

15,350,000 1.553 04/15/11 15,355,879

Swedbank AB^(a)(e)

3,000,000 1.162 ^(b) 02/10/12 3,009,312

9,900,000 2.800 02/10/12 10,082,130

Westpac Banking Corp.^(a)(e)

7,200,000 1.900 12/14/12 7,340,731

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS

(Cost $139,938,484)
$ 141,110,079

U.S. Treasury Obligations – 6.9%

United States Treasury Inflation Protected Securities

$ 42,931,458 2.375 % 04/15/11 $ 43,065,833

United States Treasury Notes

100,000 1.250 03/15/14 99,969

1,300,000 2.125 02/29/16 1,296,009

11,300,000 2.250 03/31/16 11,312,769

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $55,682,732)
$ 55,774,580

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT

(Cost $712,027,003)
$ 718,634,091

Short-term Investments – 9.9%

Commercial Paper – 1.2%

Banco Santander SA

$ 9,750,000 0.580 % 05/10/11 $ 9,750,000

Repurchase Agreement^(g) – 8.7%

Joint Repurchase Agreement Account II

70,100,000 0.155 04/01/11 70,100,000

Maturity Value: $70,100,302

TOTAL SHORT-TERM INVESTMENTS

(Cost $79,850,000)
$ 79,850,000

TOTAL INVESTMENTS – 98.9%

(Cost $791,877,003)
$ 798,484,091

OTHER ASSETS IN EXCESS OF LIABILITIES – 1.1%
9,037,479

NET ASSETS – 100.0%
$ 807,521,570

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.


(a)		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 $316,736,077, which represents approximately 39.2% of net assets as of March 31, 2011.

(b)		Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2011.

(c)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(d)		A portion of this security is segregated as collateral for initial margin requirements on futures transactions.

(e)		Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $139,906,191, which represents approximately 17.3% of net assets as of March 31, 2011.

(f)		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. Total market value of these securities amounts to $1,203,888, which represents approximately 0.2% of net assets as of March 31, 2011.

(g)		Joint repurchase agreement was entered into on March 31, 2011. Additional information appears on pages 62-63.




Investment Abbreviation:
FNMA	—	Federal National Mortgage Association

The accompanying notes are an integral part of these financial statements. 35

GOLDMAN SACHS ENHANCED INCOME FUND

Schedule of Investments (continued)

March 31, 2011


ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At March 31, 2011, the following futures contracts were open:


	Number of
	Contracts			Expiration	Current			Unrealized
Type	Long (Short)			Date	Value			Gain (Loss)

Eurodollars		683		June 2011	$	170,135,300		$	56,563
Eurodollars		164		September 2011		40,811,400			71,331
Eurodollars		(267	)	December 2011		(66,346,162	)		(1,079,587	)
Eurodollars		(291	)	March 2012		(72,127,988	)		(1,217,527	)
Eurodollars		(98	)	September 2012		(24,110,450	)		(366,520	)
Eurodollars		(122	)	June 2012		(30,132,475	)		(498,930	)
Eurodollars		(98	)	December 2012		(24,022,250	)		(340,795	)
2 Year U.S. Treasury Notes		43		June 2011		9,379,375			(2,087	)
5 Year U.S. Treasury Notes		(831	)	June 2011		(97,051,711	)		(127,466	)


TOTAL								$	(3,505,018	)

SWAP CONTRACTS — At March 31, 2011, the Fund had outstanding swap contracts with the following terms:

CREDIT DEFAULT SWAP CONTRACTS


								Credit
								Spread at				Upfront
		Notional		Rates received				March 31,				Payments
	Referenced	Amount		(paid) by			Termination	2011		Market		Made (Received)			Unrealized
Counterparty	Obligation	(000s)		Fund			Date	(Basis Points)^(a)		Value		by the Fund			Gain/(Loss)

Protection Sold:
JPMorgan Securities, Inc.	Johnson & Johnson 3.80%, 05/15/13	$	6,000		1.000	%	06/20/12		17	$	63,619	$	54,217		$	9,402
	Pacific Gas and Electric Co. 4.80%, 03/01/14		4,850		1.000		06/20/13		57		47,662		(28,090	)		75,752


TOTAL										$	111,281	$	26,127		$	85,154


(a)		Credit spread on the Referenced Obligation, together with the term of the swap contract, are indicators 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 the term of the swap contract increase.

36 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – 46.4%

Collateralized Mortgage Obligations – 5.0%

Adjustable Rate Non-Agency^(a) – 0.6%

Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1

$ 75,428 2.827 % 04/25/35 $ 67,785

Bear Stearns Adjustable Rate Mortgage Trust Series 2003-05, Class 1A1

25,159 2.903 08/25/33 24,334

Chase Mortgage Finance Corp. Series 2007-A1, Class 3A1

1,307,445 2.905 02/25/37 1,183,828

Chase Mortgage Finance Corp. Series 2007-A1, Class 7A1

714,653 2.928 02/25/37 724,918

Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-37, Class 1A1

31,894 3.321 08/25/33 28,989

CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2

131,399 2.461 03/25/33 115,813

First Horizon Asset Securities Series, Inc. 2004-AR6, Class 2A1

47,438 2.769 12/25/34 44,847

JPMorgan Mortgage Trust Series 2005-A4, Class 2A1

390,228 2.893 07/25/35 354,957

MLCC Mortgage Investors, Inc. Series 2004-E, Class A2B

1,144,147 0.820 11/25/29 1,002,411

Sequoia Mortgage Trust Series 2004-09, Class A2

681,204 0.820 10/20/34 540,848

Structured Adjustable Rate Mortgage Loan Trust Series 2004-05, Class 1A

205,340 2.741 05/25/34 189,199

Structured Adjustable Rate Mortgage Loan Trust Series 2004-12, Class 3A2

69,920 2.553 09/25/34 60,951

Structured Asset Securities Corp. Series 2003-34A, Class 3A3

790,977 2.616 11/25/33 756,803

Washington Mutual Mortgage Pass-Through Certificates Series 2004-AR03, Class A2

178,140 2.687 06/25/34 172,562

5,268,245

Interest Only^(b) – 0.0%

CS First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X^(a)(c)

$ 83,361 0.000 % 07/25/33 $ —

CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X^(a)(c)

104,896 0.000 08/25/33 —

FNMA REMIC Series 2004-47, Class EI^(a)(c)

1,481,314 0.000 06/25/34 25,823

FNMA REMIC Series 2004-62, Class DI^(a)(c)

618,315 0.000 07/25/33 8,050

FNMA REMIC Series 2004-71, Class DI^(a)(c)

1,271,813 0.000 04/25/34 17,204

FNMA STRIPS Series 151, Class 2

11,991 9.500 07/25/22 2,114

Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX^(a)

40,122 0.123 08/25/33 196

Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX^(a)

15,906 0.320 07/25/33 54

53,441

Inverse Floaters^(a) – 0.0%

GNMA Series 2001-48, Class SA

44,544 25.664 10/16/31 63,099

GNMA Series 2001-51, Class SA

35,129 31.402 10/16/31 52,205

GNMA Series 2001-51, Class SB

44,083 25.664 10/16/31 65,715

GNMA Series 2002-13, Class SB

153,577 36.384 02/16/32 250,195

431,214

Principal Only^(d) – 0.0%

FNMA REMIC Series G-35, Class N

12,140 0.000 10/25/21 11,391

Regular Floater^(a) – 2.4%

BCAP LLC Trust Series 2006-RR1, Class CF

30,043 0.890 11/25/36 29,747

FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A^(e)

735,620 0.796 02/25/48 735,973

FHLMC REMIC Series 1760, Class ZB

349,844 3.000 05/15/24 376,715

NCUA Guaranteed Notes Series 2010-A1, Class A

2,028,530 0.608 12/07/20 2,031,504

NCUA Guaranteed Notes Series 2010-R2, Class 1A

2,794,410 0.610 11/06/17 2,795,283

NCUA Guaranteed Notes Series 2011-R1, Class 1A

2,652,121 0.690 01/08/20 2,655,437

NCUA Guaranteed Notes Series 2011-R2, Class 1A

4,745,000 0.659 02/06/20 4,745,000

NCUA Guaranteed Notes Series 2011-R3, Class 1A

3,600,000 0.672 03/11/20 3,600,000

NCUA Guaranteed Notes Series 2011-R4, Class 1A

4,000,000 0.626 03/06/20 4,000,000

20,969,659

Sequential Fixed Rate – 1.2%

FHLMC REMIC Series 2329, Class ZA

2,096,216 6.500 06/15/31 2,348,814

FHLMC REMIC Series 2590, Class NV

2,000,000 5.000 03/15/18 2,153,630

FNMA REMIC Series 2001-53, Class GH

244,646 8.000 09/25/16 268,648

GNMA Series 2002-42 Class KZ

5,494,721 6.000 06/16/32 6,110,970

10,882,062

Sequential Fixed Rate – 0.5%

NCUA Guaranteed Notes Series 2010-C1, Class APT

3,460,812 2.650 10/29/20 3,352,661

The accompanying notes are an integral part of these financial statements. 37

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments (continued)

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – (continued)

Sequential Fixed Rate – (continued)

NCUA Guaranteed Notes Series 2010-R1, Class 2A

$ 658,998 1.840 % 10/07/20 $ 650,761

4,003,422

Sequential Floating Rate^(a) – 0.3%

NCUA Guaranteed Notes Series 2010-R1, Class 1A

2,233,819 0.690 10/07/20 2,236,960

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
$ 43,856,394

Commercial Mortgage-Backed Securities – 0.8%

Interest Only^(a)(b)(e) – 0.0%

Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T10, Class X2

$ 13,124,137 1.193 % 03/13/40 $ 2,979

Sequential Fixed Rate – 0.8%

GMAC Commercial Mortgage Securities, Inc. Series 2002-C1, Class A2

7,017,973 6.278 11/15/39 7,132,592

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
$ 7,135,571

Federal Agencies – 40.6%

Adjustable Rate FHLMC^(a) – 0.6%

$ 207,687 2.474 % 11/01/32 $ 217,741

2,412,326 2.582 09/01/33 2,533,082

2,275,427 2.620 08/01/35 2,388,464

5,139,287

Adjustable Rate FNMA^(a) – 1.6%

210,929 2.356 11/01/32 219,783

437,424 2.285 12/01/32 455,185

2,596,912 1.926 05/01/33 2,666,805

63,342 2.570 06/01/33 66,417

2,034,270 2.591 10/01/33 2,124,734

2,580,235 2.446 02/01/35 2,704,902

1,927,170 2.657 09/01/35 2,005,425

2,089,070 5.232 06/01/37 2,217,025

2,000,000 1.000 05/01/41 2,004,661

14,464,937

Adjustable Rate GNMA^(a) – 0.7%

132,403 3.375 06/20/23 136,146

60,254 2.625 07/20/23 61,865

63,004 2.625 08/20/23 64,696

163,486 2.625 09/20/23 167,892

48,453 3.375 03/20/24 49,753

417,734 3.375 04/20/24 430,236

51,788 3.375 05/20/24 53,346

445,432 3.375 06/20/24 459,399

236,624 2.625 07/20/24 244,381

322,593 2.625 08/20/24 332,675

102,107 2.625 09/20/24 104,986

125,825 2.125 11/20/24 130,589

46,942 2.125 12/20/24 48,658

66,048 2.500 12/20/24 69,536

84,046 3.375 01/20/25 86,981

42,973 3.375 02/20/25 44,480

148,192 3.375 05/20/25 153,889

111,257 2.625 07/20/25 115,595

56,092 3.375 02/20/26 57,755

3,061 2.625 07/20/26 3,154

156,190 3.375 01/20/27 161,423

55,706 3.375 02/20/27 57,405

434,388 3.375 04/20/27 448,178

49,118 3.375 05/20/27 50,736

44,379 3.375 06/20/27 45,794

17,475 2.125 11/20/27 18,047

70,330 2.125 12/20/27 72,519

135,582 3.375 01/20/28 139,810

46,516 3.250 02/20/28 47,887

50,211 3.375 03/20/28 51,724

255,224 2.625 07/20/29 263,657

107,673 2.625 08/20/29 111,236

30,676 2.625 09/20/29 31,694

132,420 2.125 10/20/29 136,713

159,888 2.125 11/20/29 164,941

40,078 2.125 12/20/29 41,399

49,978 3.250 01/20/30 51,494

27,744 3.250 02/20/30 28,588

115,333 3.250 03/20/30 118,983

154,100 3.375 04/20/30 159,293

401,412 3.375 05/20/30 416,326

35,262 3.375 06/20/30 36,499

322,773 2.625 07/20/30 337,449

58,409 2.625 09/20/30 61,073

115,730 1.875 10/20/30 119,595

227,595 3.000 03/20/32 234,199

6,222,674

FHLMC – 6.2%

203,911 6.500 12/01/13 221,944

4,426 6.500 02/01/14 4,586

1,462,130 7.500 11/01/14 1,596,397

2,453 7.000 02/01/15 2,631

58,207 8.000 07/01/15 63,944

9,616 7.000 01/01/16 10,436

27,596 7.000 09/01/17 31,108

13,230 7.000 10/01/17 14,890

168,428 5.500 05/01/18 181,598

1,334,093 5.500 06/01/18 1,441,623

50,785 4.500 09/01/18 53,635

16,816 10.000 10/01/18 17,952

308,947 5.000 06/01/19 328,908

54,212 10.000 07/01/20 58,364

71,915 10.000 10/01/20 84,727

144,574 6.500 07/01/21 159,818

10,911 6.500 08/01/22 12,061

131,712 9.000 10/01/22 156,321

803,810 4.500 10/01/23 844,574

523,620 6.500 07/01/28 566,957

5,124 8.000 07/01/30 5,774

38 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – (continued)

FHLMC – (continued)

$ 30,951 7.500 % 12/01/30 $ 34,872

132,979 7.000 04/01/31 150,352

1,173,105 6.000 05/01/33 1,288,863

1,017,590 6.000 10/01/34 1,115,241

2,501,129 4.500 10/01/35 2,562,569

153,347 5.000 12/01/35 160,721

581,358 5.500 01/01/36 622,075

1,306 5.500 02/01/36 1,398

16,629 6.000 06/01/36 18,152

149,054 5.500 02/01/38 159,156

839,132 5.500 10/01/38 895,019

10,807,833 6.000 11/01/38 11,872,152

427,293 5.500 12/01/38 455,752

100,966 5.500 02/01/39 107,691

4,056,071 4.500 09/01/39 4,142,505

2,526,139 5.500 01/01/40 2,694,382

6,000,000 4.500 TBA-30yr ^(f) 6,096,094

15,000,000 5.000 TBA-30yr ^(f) 15,658,593

53,893,835

FNMA – 22.2%

24,308 7.000 03/01/14 26,032

44,105 7.000 03/01/15 47,990

13,934 8.000 01/01/16 15,431

66,301 6.000 11/01/16 72,396

213,711 8.000 11/01/16 236,701

356,884 5.000 08/01/17 376,908

122,994 4.500 05/01/18 129,726

272,638 4.500 06/01/18 287,551

57,169 4.500 07/01/18 60,302

82,198 4.500 08/01/18 86,716

711,019 5.000 09/01/18 757,497

3,863,559 5.000 10/01/18 4,116,009

4,400,000 4.506 06/01/19 4,571,357

219,114 6.500 08/01/19 241,614

1,405,753 6.000 09/01/19 1,536,841

22,776 9.500 08/01/20 22,888

1,000,000 3.416 10/01/20 953,328

2,800,000 3.540 10/01/20 2,655,868

23,032 9.500 10/01/20 23,413

1,400,000 3.375 11/01/20 1,329,562

700,000 3.631 12/01/20 676,313

5,288,500 3.763 12/01/20 5,172,960

1,725,789 6.000 12/01/20 1,886,721

55,584 6.000 05/01/21 60,872

14,101 6.000 07/01/21 15,442

530,500 6.000 09/01/21 580,970

48,703 6.000 09/01/22 53,330

1,366,676 5.500 02/01/23 1,479,571

862,499 6.000 02/01/23 944,436

2,107,631 5.500 08/01/23 2,281,732

522,926 6.000 11/01/28 575,222

18,862 6.500 11/01/28 21,339

1,291 5.500 04/01/29 1,394

48,072 7.000 11/01/30 54,932

172,972 7.000 07/01/31 195,885

649 6.000 03/01/32 714

14,815,818 5.500 04/01/33 15,934,528

22,739 6.000 05/01/33 25,021

19,221 5.000 07/01/33 20,233

3,746,568 5.500 07/01/33 4,015,056

197,929 5.000 08/01/33 208,359

3,201,936 4.500 09/01/33 3,302,370

19,634 5.000 09/01/33 20,679

22,044 5.500 09/01/33 23,694

19,861 5.000 11/01/33 20,918

13,112 5.000 12/01/33 13,810

16,363 6.000 12/01/33 17,984

12,229 5.000 01/01/34 12,880

29,794 5.500 02/01/34 32,025

4,738 5.500 04/01/34 5,090

23,514 5.500 05/01/34 25,260

1,044 5.500 06/01/34 1,122

37,297 5.500 08/01/34 40,066

2,166 5.500 10/01/34 2,326

284,475 5.500 12/01/34 305,510

13,406 5.000 03/01/35 14,098

27,701 5.000 04/01/35 29,133

39,139 5.500 04/01/35 42,027

1,075,111 6.000 04/01/35 1,182,996

17,987 5.000 05/01/35 18,906

209,953 5.000 07/01/35 220,709

34,582 5.500 07/01/35 37,129

673,672 5.000 08/01/35 708,475

3,987 5.500 08/01/35 4,280

2,189 6.000 08/01/35 2,392

170,778 5.000 09/01/35 179,605

38,306 5.500 09/01/35 41,126

54,976 5.000 10/01/35 57,817

434,425 6.000 10/01/35 474,744

67,173 5.000 11/01/35 70,644

331,892 6.000 11/01/35 362,724

18,754 5.500 12/01/35 20,138

826 5.500 02/01/36 886

269,311 6.000 03/01/36 293,885

372,197 6.000 04/01/36 406,857

31,002 5.000 07/01/36 32,604

328,235 6.000 11/01/36 357,966

274,909 6.000 01/01/37 299,811

3,963 5.500 02/01/37 4,257

97,195 5.500 04/01/37 104,440

7,093 5.500 05/01/37 7,620

3,045 5.500 06/01/37 3,272

479 5.500 08/01/37 514

1,203,394 7.500 11/01/37 1,374,000

1,449 5.500 12/01/37 1,556

3,260 5.500 02/01/38 3,502

52,674 5.500 03/01/38 56,587

128,640 5.500 04/01/38 138,232

38,919 5.500 05/01/38 41,830

10,444 5.500 06/01/38 11,218

13,369 5.500 07/01/38 14,361

The accompanying notes are an integral part of these financial statements. 39

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments (continued)

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – (continued)

FNMA – (continued)

$ 12,843 5.500 % 08/01/38 $ 13,796

9,038 5.500 09/01/38 9,710

4,244 5.500 12/01/38 4,560

45,843 5.500 02/01/39 49,305

193,170 4.000 03/01/39 190,588

41,263 4.500 05/01/39 42,148

31,872 4.500 07/01/39 32,615

638,431 4.500 08/01/39 653,057

119,821 5.500 08/01/39 128,278

510,198 4.500 09/01/39 522,096

390,739 4.500 10/01/39 399,851

184,799 4.500 11/01/39 188,762

2,713,972 4.500 12/01/39 2,774,040

47,897 4.000 02/01/40 47,257

248,910 4.000 03/01/40 245,264

1,000,000 3.000 TBA-15yr ^(f) 974,062

9,000,000 3.500 TBA-30yr ^(f) 8,475,469

8,000,000 4.000 TBA-15yr ^(f) 8,220,000

23,000,000 4.000 TBA-30yr ^(f) 22,626,250

14,000,000 4.500 TBA-15yr ^(f) 14,671,563

24,000,000 4.500 TBA-30yr ^(f) 24,425,626

3,000,000 5.000 TBA-15yr ^(f) 3,186,797

26,000,000 5.000 TBA-30yr ^(f) 27,202,500

15,000,000 5.500 TBA-30yr ^(f) 16,042,968

193,323,797

GNMA – 9.3%

193 9.000 08/15/16 218

790,356 3.950 07/15/25 786,542

205,857 7.000 12/15/27 237,410

21,251 6.500 08/15/28 24,149

350,598 6.000 01/15/29 389,107

275,460 7.000 10/15/29 317,755

3,605,364 5.500 12/15/32 3,929,839

7,530,896 5.000 05/15/33 8,045,107

4,949,796 5.000 06/15/33 5,287,768

16,195,791 5.000 07/15/33 17,301,642

1,905,434 5.000 09/15/33 2,035,537

3,102,824 5.000 03/15/34 3,311,846

1,873,454 5.500 06/15/34 2,040,903

14,206 5.000 05/15/39 15,167

91,225 4.500 06/15/39 94,532

86,591 5.000 07/15/39 92,287

92,729 4.500 10/15/39 96,091

992,023 3.500 01/15/41 947,629

35,000,000 4.500 TBA-30yr ^(f) 36,112,891

81,066,420

TOTAL FEDERAL AGENCIES
$ 354,110,950

TOTAL MORTGAGE-BACKED OBLIGATIONS

(Cost $396,294,362)
$ 405,102,915

Agency Debentures – 6.0%

FFCB

$ 9,000,000 4.750 % 11/06/12 $ 9,579,978

FHLB

10,000,000 5.375 ^(g) 06/13/14 11,171,933

2,900,000 5.625 06/11/21 3,337,295

FHLMC

13,200,000 1.375 02/25/14 13,204,349

5,100,000 5.050 01/26/15 5,681,341

New Valley Generation III

3,342,856 4.929 01/15/21 3,633,451

Small Business Administration

178,671 6.700 12/01/16 193,180

113,983 7.150 03/01/17 124,796

93,664 7.500 04/01/17 101,998

49,824 7.300 05/01/17 54,367

41,723 6.800 08/01/17 45,677

149,880 6.300 05/01/18 163,270

87,401 6.300 06/01/18 95,327

Tennessee Valley Authority

700,000 4.625 09/15/60 650,249

Tennessee Valley Authority Series B

4,200,000 4.375 06/15/15 4,589,208

TOTAL AGENCY DEBENTURES

(Cost $50,072,070)
$ 52,626,419

Asset-Backed Securities – 2.2%

Home Equity^(a) – 0.4%

Bear Stearns Adjustable Rate Mortgage Trust Series 2004-1, Class 21A1

$ 86,784 2.496 % 04/25/34 $ 78,039

Citigroup Mortgage Loan Trust, Inc. Series 2004-OPT1, Class A2

490,230 0.610 10/25/34 445,429

Household Home Equity Loan Trust Series 2007-3, Class APT

2,498,910 1.454 11/20/36 2,264,308

Securitized Asset Backed Receivables LLC Trust Series 2004-OP2, Class A2

21,324 0.600 08/25/34 18,326

2,806,102

Manufactured Housing – 0.0%

Mid-State Trust Series 4, Class A

137,125 8.330 04/01/30 138,158

Student Loan^(a) – 1.8%

Brazos Higher Education Authority, Inc. Series 2005-3, Class A14

995,388 0.418 09/25/23 987,408

Brazos Higher Education Authority, Inc. Series 2011-1, Class A2

4,500,000 1.109 02/25/30 4,439,318

Education Funding Capital Trust I Series 2004-1, Class A2

1,419,102 0.470 12/15/22 1,404,591

Goal Capital Funding Trust Series 2010-1, Class A^(e)

1,657,550 1.012 08/25/48 1,625,354

Knowledgeworks Foundation Student Loan Series 2010-1, Class A

1,247,929 1.262 02/25/42 1,230,308

40 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND

Principal
Interest
Maturity

Amount Rate Date Value

Asset-Backed Securities – (continued)

Student Loan^(a) – (continued)

Missouri Higher Education Loan Authority Series 2010-1, Class A1

$ 3,077,544 1.162 % 11/26/32 $ 3,084,886

Nelnet Student Loan Trust Series 2010-3A, Class A^(e)

1,512,764 1.083 07/27/48 1,514,164

Northstar Education Finance, Inc. Series 2005-1, Class A1

531,952 0.404 10/28/26 527,084

US Education Loan Trust LLC Series 2006-1, Class A2^(e)

923,486 0.441 03/01/25 906,798

15,719,911

TOTAL ASSET-BACKED SECURITIES

(Cost $18,946,901)
$ 18,664,171

Government Guarantee Obligations^(h) – 12.2%

Ally Financial, Inc.

$ 12,000,000 1.750 % 10/30/12 $ 12,205,748

20,000,000 2.200 12/19/12 20,497,274

Citigroup Funding, Inc.

20,700,000 1.875 10/22/12 21,093,217

8,000,000 1.875 11/15/12 8,153,382

General Electric Capital Corp.

12,900,000 2.000 09/28/12 13,164,863

14,500,000 0.309 ^(a) 12/21/12 14,526,782

9,100,000 2.125 12/21/12 9,314,886

Private Export Funding Corp.

7,000,000 3.550 04/15/13 7,367,149

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS

(Cost $104,737,104)
$ 106,323,301

U.S. Treasury Obligations – 25.4%

United States Treasury Bonds

$ 900,000 5.000 % 05/15/37 $ 977,967

2,400,000 4.250 05/15/39 2,301,768

4,100,000 4.375 11/15/39 4,011,030

11,900,000 4.375 05/15/40 11,632,964

5,500,000 4.250 11/15/40 5,259,100

1,900,000 4.750 02/15/41 1,974,803

United States Treasury Inflation Protected Securities

32,059,926 2.375 04/15/11 32,160,274

2,717,739 1.125 01/15/21 2,757,442

4,847,740 2.375 01/15/25 5,443,866

5,022,556 2.375 01/15/27 5,593,068

502,735 2.125 02/15/41 531,210

United States Treasury Notes

45,000,000 1.000 04/30/12 45,316,351

17,500,000 1.250 03/15/14 17,494,575

4,200,000 2.125 02/29/16 4,187,106

32,000,000 2.250 03/31/16 32,036,160

2,000,000 2.750 02/28/18 1,985,140

21,800,000 2.625 11/15/20 20,343,978

15,600,000 3.625 02/15/21 15,821,832

United States Treasury Principal-Only STRIPS^(d)

7,100,000 0.000 08/15/20 5,096,238

6,600,000 0.000 05/15/21 4,540,866

3,000,000 0.000 11/15/21 2,003,700

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $220,679,162)
$ 221,469,438

Municipal Debt Obligation – 0.2%

New Jersey – 0.2%

New Jersey Economic Development Authority Series A (MBIA)

$ 2,000,000 7.425 % 02/15/29 $ 2,071,260

(Cost $2,000,000)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT

(Cost $792,729,599)
$ 806,257,504

Short-term Investment⁽ⁱ⁾ – 26.8%

Repurchase Agreement – 26.8%

Joint Repurchase Agreement Account II

$ 233,400,000 0.155 % 04/01/11 $ 233,400,000

Maturity Value: $233,401,005

(Cost $233,400,000)

TOTAL INVESTMENTS – 119.2%

(Cost $1,026,129,599)
$ 1,039,657,504

LIABILITIES IN EXCESS OF OTHER ASSETS – (19.2)%
(167,240,036 )

NET ASSETS – 100.0%
$ 872,417,468

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 March 31, 2011.

(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(c)		Issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level.

(d)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(e)		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 $4,785,268, which represents approximately 0.5% of net assets as of March 31, 2011.

(f)		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

The accompanying notes are an integral part of these financial statements. 41

GOLDMAN SACHS GOVERNMENT INCOME FUND

Schedule of Investments (continued)

March 31, 2011


		sales contracts, if any) amounts to $183,692,813 which represents approximately 21.1% of net assets as of March 31, 2011.

(g)		A portion of this security is segregated as collateral for initial margin requirements on futures transactions.

(h)		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.

(i)		Joint repurchase agreement was entered into on March 31, 2011. Additional information appears on pages 62-63.




Investment Abbreviations:
FDIC	—	Federal Deposit Insurance Corp.
FFCB	—	Federal Farm Credit Bank
FHLB	—	Federal Home Loan Bank
FHLMC	—	Federal Home Loan Mortgage Corp.
FNMA	—	Federal National Mortgage Association
GNMA	—	Government National Mortgage Association
LIBOR	—	London Interbank Offered Rate
MBIA	—	Insured by Municipal Bond Investors Insurance
NCUA	—	National Credit Union Administration
OTC	—	Over the Counter
REMIC	—	Real Estate Mortgage Investment Conduit
STRIPS	—	Separate Trading of Registered Interest and Principal of Securities


ADDITIONAL INVESTMENT INFORMATION

FORWARD SALES CONTRACTS — At March 31, 2011, the Fund had the following forward sales contracts:

Interest

Maturity

Settlement

Principal

Description

Rate

Date^(f)

Date

Amount

Value

FNMA (Proceeds Receivable: $1,086,406)

6.000%

TBA - 30yr

04/13/11

(1,000,000

)

(1,087,578

)

FUTURES CONTRACTS — At March 31, 2011, the following futures contracts were open:


	Number of
	Contracts			Expiration	Current			Unrealized
Type	Long (Short)			Date	Value			Gain (Loss)

Eurodollars		(24	)	June 2011	$	(5,978,400	)	$	(17,454	)
Eurodollars		(24	)	September 2011		(5,972,400	)		(20,154	)
Eurodollars		(24	)	December 2011		(5,963,700	)		(23,354	)
Eurodollars		(24	)	March 2012		(5,948,700	)		(19,654	)
Ultra Long U.S. Treasury Bonds		149		June 2011		18,410,813			202,256
2 Year U.S. Treasury Notes		308		June 2011		67,182,500			17,232
5 Year U.S. Treasury Notes		943		June 2011		110,132,086			(525,732	)
10 Year U.S. Treasury Notes		551		June 2011		65,586,219			(145,195	)
30 Year U.S. Treasury Bonds		(248	)	June 2011		(29,806,500	)		(61,657	)


TOTAL								$	(593,712	)

SWAP CONTRACTS — At March 31, 2011, the Fund had outstanding swaps 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	(000s)			Date		the Fund	the Fund	Value			by the Fund		Gain (Loss)

Bank of America Securities LLC	$	20,400	^(a)		11/05/14	3 month LIBOR	1.626%	$	427,344		$	—	$	427,344
		17,500	^(a)		11/23/14	3 month LIBOR	2.116		219,275			—		219,275
		6,200	^(a)		06/15/16	3 month LIBOR	1.750		246,624			252,444		(5,820	)
		17,000	^(a)		11/05/17	2.755%	3 month LIBOR		(728,748	)		—		(728,748	)
		15,600	^(a)		11/23/19	3.587	3 month LIBOR		(444,499	)		—		(444,499	)
		4,700	^(a)		11/05/22	3 month LIBOR	3.575		288,306			—		288,306
		5,600	^(a)		11/23/27	3 month LIBOR	4.206		224,992			—		224,992

42 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND


ADDITIONAL INVESTMENT INFORMATION (continued)

INTEREST RATE SWAP CONTRACTS (continued)


						Rates Exchanged
	Notional					Payments	Payments				Upfront Payments
	Amount			Termination		Received by	Made by	Market			Made (Received)			Unrealized
Counterparty	(000s)			Date		the Fund	the Fund	Value			by the Fund			Gain (Loss)

Deutsche Bank Securities, Inc.	$	40,900	^(a)		11/02/14	3 month LIBOR	1.645%	$	837,284		$	—		$	837,284
		8,700	^(a)		06/15/16	1.750%	3 month LIBOR		(346,069	)		(340,120	)		(5,949	)
		21,700	^(a)		06/15/16	3 month LIBOR	1.750		863,184			868,354			(5,170	)
		34,200	^(a)		11/02/17	2.750	3 month LIBOR		(1,463,456	)		—			(1,463,456	)
		3,600			10/20/20	2.560	3 month LIBOR		(240,590	)		—			(240,590	)
		5,200	^(a)		06/15/21	3 month LIBOR	2.750		405,092			530,764			(125,672	)
		9,400	^(a)		11/02/22	3 month LIBOR	3.545		596,895			—			596,895
JPMorgan Securities, Inc.		2,600	^(a)		06/15/16	3 month LIBOR	1.750		103,423			103,102			321
		4,500	^(a)		06/15/16	1.750	3 month LIBOR		(179,001	)		(205,773	)		26,772
Morgan Stanley Capital Services, Inc.		14,600	^(a)		06/15/16	3 month LIBOR	1.750		580,760			577,430			3,330


TOTAL								$	1,390,816		$	1,786,201		$	(395,385	)


(a)		Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2011.

WRITTEN OPTIONS CONTRACTS

INTEREST RATE SWAPTION CONTRACTS — At March 31, 2011, the Fund had outstanding written swaptions as follows:


		Notional
		Amount		Expiration		Strike		Market			Premiums			Unrealized
Counterparty	Description	(000s)		Date		Price		Value			Received			Gain (Loss)

Bank of America N.A.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 3.460% versus the 3 month LIBOR maturing on April 27, 2021	$	7,500		04/21/11		3.460%	$	(32,119	)	$	(86,437	)	$	54,318
	Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 3.460% versus the 3 month LIBOR maturing on April 27, 2021		7,500		04/21/11		3.460		(115,013	)		(86,438	)		(28,575	)
Morgan Stanley Capital Services, Inc.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 3.620% versus the 3 month LIBOR maturing on May 04, 2021		7,500		04/28/11		3.620		(83,247	)		(76,875	)		(6,372	)
	Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 3.620% versus the 3 month LIBOR maturing on May 04, 2021		7,500		04/28/11		3.620		(69,015	)		(76,875	)		7,860


TOTAL		$	30,000					$	(299,394	)	$	(326,625	)	$	27,231

The accompanying notes are an integral part of these financial statements. 43

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Schedule of Investments

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Corporate Obligations^(a) – 1.8%

Banks – 1.8%

Cie de Financement Foncier

$ 1,600,000 2.125 % 04/22/13 $ 1,613,458

DnB NOR Boligkreditt

1,500,000 2.900 03/29/16 1,490,970

Swedbank Hypotek AB

700,000 2.950 03/28/16 693,729

TOTAL CORPORATE OBLIGATIONS

(Cost $3,814,028)
$ 3,798,157

Government Guarantee Obligations^(a)(b) – 1.4%

ING Bank NV

$ 2,800,000 3.900 % 03/19/14 $ 2,968,431

(Cost $2,981,489)

U.S. Treasury Obligations – 95.6%

United States Treasury Inflation Protected Securities

$ 27,157,095 3.375 % 01/15/12 $ 28,476,658

3,745,548 1.250 04/15/14 4,009,497

7,943,284 2.000 07/15/14 8,731,417

7,112,280 0.500 04/15/15 7,390,086

221,878 2.000 01/15/16 245,279

17,226,898 2.500 07/15/16 19,563,382

15,614,108 2.375 01/15/17 17,621,926

7,649,280 2.625 07/15/17 8,782,368

12,684,460 1.875 07/15/19 13,919,165

14,846,908 1.125 01/15/21 15,063,806

14,718,438 2.375 01/15/25 16,528,364

6,989,157 2.000 ^(c) 01/15/26 7,459,835

29,371,034 2.375 01/15/27 32,707,290

8,848,970 3.625 04/15/28 11,408,269

1,473,431 3.875 04/15/29 1,971,863

1,833,732 2.125 02/15/40 1,942,326

5,680,906 2.125 02/15/41 6,002,678

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $199,756,428)
$ 201,824,209

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT

(Cost $206,551,945)
$ 208,590,797

Short-term Investment^(d) – 3.3%

Repurchase Agreement – 3.3%

Joint Repurchase Agreement Account II

$ 6,900,000 0.155 % 04/01/11 $ 6,900,000

Maturity Value: $6,900,030

(Cost $6,900,000)

TOTAL INVESTMENTS – 102.1%

(Cost $213,451,945)
$ 215,490,797

LIABILITIES IN EXCESS OF OTHER ASSETS – (2.1)%
(4,412,107 )

NET ASSETS – 100.0%
$ 211,078,690

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.


(a)		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 $6,766,588, which represents approximately 3.2% of net assets as of March 31, 2011.

(b)		Guaranteed by a foreign government until maturity.

(c)		All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.

(d)		Joint repurchase agreement was entered into on March 31, 2011. Additional information appears on pages 62-63.




Investment Abbreviations:
LIBOR	—	London Interbank Offered Rate
OTC	—	Over the Counter

The accompanying notes are an integral part of these financial statements. 45

GOLDMAN SACHS INFLATION PROTECTED SECURITIES FUND

Schedule of Investments (continued)

March 31, 2011


ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At March 31, 2011, the following futures contracts were open:


	Number of
	Contracts			Expiration	Current			Unrealized
Type	Long (Short)			Date	Value			Gain (Loss)

Eurodollars		(15	)	June 2011	$	(3,736,500	)	$	(10,909	)
Eurodollars		(15	)	September 2011		(3,732,750	)		(12,596	)
Eurodollars		(15	)	December 2011		(3,727,313	)		(14,596	)
Eurodollars		(15	)	March 2012		(3,717,938	)		(12,284	)
Ultra Long U.S. Treasury Bonds		71		June 2011		8,772,938			60,716
2 Year U.S. Treasury Notes		73		June 2011		15,923,125			9,713
5 Year U.S. Treasury Notes		91		June 2011		10,627,805			(54,670	)
10 Year U.S. Treasury Notes		91		June 2011		10,831,844			(44,490	)
30 Year U.S. Treasury Bonds		(206	)	June 2011		(24,758,625	)		(48,045	)


TOTAL								$	(127,161	)

SWAP CONTRACTS — At March 31, 2011, the Fund had outstanding swap contracts with the following terms:

INTEREST RATE SWAP CONTRACTS


						Rates Exchanged				Upfront
	Notional					Payments	Payments			Payments
	Amount			Termination		Received by	Made by	Market		Made (Received)		Unrealized
Counterparty	(000s)			Date		the Fund	the Fund	Value		by the Fund		Gain (Loss)

Bank of America Securities LLC	$	800	^(a)		06/15/16	3 month LIBOR	1.750%	$	31,822	$	32,573	$	(751	)
Deutsche Bank Securities, Inc.		1,100	^(a)		06/15/16	3 month LIBOR	1.750		43,756		45,238		(1,482	)
JPMorgan Securities, Inc.		3,800	^(a)		06/15/16	3 month LIBOR	1.750		151,157		150,687		470


TOTAL								$	226,735	$	228,498	$	(1,763	)


(a)		Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2011.

WRITTEN OPTIONS CONTRACTS

INTEREST RATE SWAPTION CONTRACTS — At March 31, 2011, the Fund had outstanding written swaptions as follows:


		Notional
		Amount		Expiration		Strike			Market			Premiums			Unrealized
Counterparty	Description	(000s)		Date		Price			Value			Received			Gain (Loss)

Morgan Stanley Capital Services, Inc.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 3.620% versus the 3 month LIBOR maturing on May 04, 2021	$	2,500		04/28/11		3.620	%	$	(27,749	)	$	(25,625	)	$	(2,124	)
	Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 3.620% versus the 3 month LIBOR maturing on May 04, 2021		2,500		04/28/11		3.620			(23,005	)		(25,625	)		2,620


TOTAL		$	5,000						$	(50,754	)	$	(51,250	)	$	496

46 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – 23.1%

Collateralized Mortgage Obligations – 10.2%

Interest Only^(a) – 0.0%

FHLMC REMIC Series 2586, Class NX

$ 116,632 4.500 % 08/15/16 $ 1,378

Inverse Floaters^(b) – 0.0%

FNMA REMIC Series 1990-134, Class SC

29,511 21.178 11/25/20 39,929

IOette^(a) – 0.0%

FHLMC REMIC Series 1161, Class U

648 1,172.807 11/15/21 15,776

Planned Amortization Class – 0.0%

FHLMC REMIC Series 1556, Class H

272,158 6.500 08/15/13 283,298

FHLMC REMIC Series 1916, Class PC

132,362 6.750 12/15/11 133,017

416,315

Regular Floater^(b) – 6.6%

FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A^(c)

30,160,421 0.796 02/25/48 30,174,877

FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 2A^(c)

15,580,247 3.250 04/25/38 15,923,144

FNMA REMIC Series 1988-12, Class B^(d)

107,962 0.000 02/25/18 104,807

NCUA Guaranteed Notes Series 2010-A1, Class A

6,823,237 0.608 12/07/20 6,833,242

NCUA Guaranteed Notes Series 2010-R2, Class 1A

14,251,489 0.610 11/06/17 14,255,943

NCUA Guaranteed Notes Series 2011-R1, Class 1A

8,054,591 0.690 01/08/20 8,064,659

NCUA Guaranteed Notes Series 2011-R2, Class 1A

26,492,917 0.659 02/06/20 26,492,917

NCUA Guaranteed Notes Series 2011-R3, Class 1A

30,500,000 0.672 03/11/20 30,500,000

NCUA Guaranteed Notes Series 2011-R4, Class 1A

52,200,000 0.626 03/06/20 52,200,000

184,549,589

Sequential Fixed Rate – 3.3%

FHLMC Multifamily Structured Pass Through Certificates Series K011, Class A2

20,100,000 4.084 11/25/20 20,008,218

FHLMC REMIC Series 108, Class G

248,325 8.500 12/15/20 282,817

FHLMC REMIC Series 1980, Class Z

1,227,571 7.000 07/15/27 1,380,096

FHLMC REMIC Series 2019, Class Z

1,370,730 6.500 12/15/27 1,533,853

FHLMC REMIC Series 3003, Class CG

3,672,818 5.000 07/15/23 3,764,354

FHLMC REMIC Series 3466, Class BA

4,169,052 5.000 08/15/35 4,296,107

FNMA ACES Series 2009-M2, Class A2

21,700,000 3.334 01/25/19 22,237,138

FNMA REMIC Series 1989-66, Class J

421,393 7.000 09/25/19 463,588

FNMA REMIC Series 1990-16, Class E

259,723 9.000 03/25/20 299,191

FNMA REMIC Series 1992-33, Class K

257,727 8.500 03/25/18 259,589

FNMA REMIC Series 2002-91, Class LK

1,228,001 4.500 06/25/22 1,255,340

FNMA REMIC Series 2009-70, Class AL

32,067,907 5.000 08/25/19 34,178,376

GNMA REMIC Series 1995-3, Class DQ

62,206 8.050 06/16/25 70,979

NCUA Guaranteed Notes Series 2010-R1, Class 2A

2,471,244 1.840 10/07/20 2,440,353

92,469,999

Sequential Floating Rate^(b) – 0.3%

FNMA REMIC Series 1988-12, Class A

210,166 4.101 02/25/18 222,091

NCUA Guaranteed Notes Series 2010-R1, Class 1A

8,004,518 0.709 10/07/20 8,015,775

8,237,866

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
$ 285,730,852

Federal Agencies – 12.9%

Adjustable Rate FHLMC^(b) – 0.6%

$ 161,195 3.761 % 05/01/18 $ 164,662

89,188 4.545 10/01/25 92,426

981,653 2.816 11/01/34 1,032,630

6,321,909 2.616 06/01/35 6,635,280

839,322 5.836 05/01/36 882,968

233,219 5.974 10/01/36 244,458

194,778 5.593 11/01/36 206,681

5,950,790 6.326 09/01/37 6,365,486

15,624,591

Adjustable Rate FNMA^(b) – 4.4%

44,109 2.047 11/01/17 44,673

230,330 3.838 02/01/18 234,950

114,557 2.208 06/01/18 114,601

164,482 5.708 05/01/20 174,556

80,465 4.717 01/01/23 83,151

493,208 3.492 02/01/27 512,924

5,470,679 3.260 08/01/29 5,635,614

60,119 2.630 07/01/32 63,168

44,106 3.005 07/01/32 46,293

318,251 2.417 01/01/33 331,213

3,693,760 2.675 05/01/33 3,879,748

518,904 2.750 08/01/33 546,507

2,902,683 4.611 08/01/33 3,143,059

2,516,166 2.538 02/01/34 2,645,872

849,478 2.570 05/01/34 889,258

1,496,427 2.588 05/01/34 1,567,606

1,145,157 2.711 06/01/34 1,201,772

930,767 2.733 10/01/34 975,544

48 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – (continued)

Adjustable Rate FNMA^(b) – (continued)

$ 1,561,579 2.738 % 10/01/34 $ 1,631,488

2,094,685 2.256 02/01/35 2,184,482

322,072 2.343 02/01/35 335,868

3,586,432 2.470 03/01/35 3,755,281

547,481 2.512 03/01/35 572,171

3,634,300 2.170 04/01/35 3,754,058

6,805,397 2.303 04/01/35 7,056,026

2,758,660 2.604 04/01/35 2,889,842

1,039,788 2.268 05/01/35 1,078,269

622,877 2.400 05/01/35 647,932

11,885,858 2.560 07/01/35 12,402,049

3,728,603 2.599 08/01/35 3,929,138

2,436,505 2.437 10/01/35 2,547,310

4,507,247 2.720 03/01/36 4,722,341

1,366,619 2.611 04/01/36 1,399,961

3,695,009 5.669 04/01/36 3,884,075

2,355,670 2.731 06/01/36 2,419,542

4,496,158 5.851 06/01/36 4,693,278

3,878,126 2.824 07/01/36 3,990,984

71,735 4.730 07/01/36 76,129

6,281,816 5.891 09/01/36 6,592,923

375,742 5.537 11/01/36 396,267

325,467 5.586 11/01/36 344,600

9,319,193 2.725 04/01/37 9,713,954

6,763,589 5.731 07/01/37 7,166,902

10,311,767 5.173 11/01/38 10,791,280

243,013 5.818 12/01/46 257,265

121,323,924

Adjustable Rate GNMA^(b) – 0.5%

3,388,686 1.875 05/20/34 3,493,644

763,544 2.500 05/20/34 788,218

1,425,264 2.500 07/20/34 1,476,471

814,657 2.625 08/20/34 842,929

3,863,728 2.500 09/20/34 3,995,635

2,057,723 2.625 09/20/34 2,129,125

838,307 1.750 10/20/34 864,403

1,321,326 1.750 12/20/34 1,364,920

14,955,345

FHLMC – 0.7%

2,313 7.000 12/01/12 2,318

21,437 6.500 01/01/13 22,297

23,971 6.500 04/01/13 26,091

63,884 6.500 05/01/13 69,534

24,743 6.500 06/01/13 26,932

16,364 6.500 10/01/13 17,170

595,011 4.500 10/01/14 629,793

391,223 4.000 11/01/14 409,795

518,342 4.000 03/01/15 541,274

3,701,393 4.500 03/01/15 3,834,282

279,276 4.500 08/01/15 295,158

42,835 8.500 10/01/15 46,012

266,037 8.000 12/01/15 285,458

11,035 7.000 03/01/16 11,976

3,980,620 5.000 10/01/17 4,256,759

4,573,049 5.000 11/01/17 4,890,284

2,664,296 5.500 01/01/20 2,878,272

880,408 7.000 04/01/22 1,013,755

19,050 4.500 05/01/23 20,005

34,669 7.500 01/01/31 39,061

16,629 6.000 06/01/36 18,152

19,334,378

FNMA – 6.3%

1,335 7.000 07/01/11 1,350

672,488 5.500 01/01/13 697,840

18,299 6.000 01/01/14 19,929

57,659 6.000 03/01/14 62,794

12,632 5.500 04/01/14 13,678

368,049 4.000 01/01/15 379,460

139,217 4.500 01/01/15 144,357

2,703 8.500 09/01/15 2,714

98,232 8.500 10/01/15 101,830

13,908 8.500 12/01/15 14,792

679,634 5.000 09/01/17 727,682

6,085,946 5.000 10/01/17 6,516,199

32,330,414 5.000 12/01/17 34,616,045

9,000,000 3.660 01/01/18 9,105,733

15,478,344 5.000 01/01/18 16,573,575

12,083 5.500 01/01/18 13,056

16,355,722 5.000 02/01/18 17,524,999

10,204,668 5.000 03/01/18 10,926,098

15,532,694 5.000 04/01/18 16,636,511

1,201,743 5.000 05/01/18 1,286,701

1,208,745 5.000 06/01/18 1,295,244

454,674 5.500 07/01/18 491,296

221,196 5.500 08/01/18 239,012

450,513 5.500 09/01/18 487,927

62,807 5.500 12/01/18 68,023

27,588 5.500 01/01/19 29,879

52,464 5.500 03/01/19 56,821

17,414 5.500 08/01/19 18,855

15,249 5.000 09/01/19 16,243

64,785 7.000 11/01/19 73,914

5,000,000 3.416 10/01/20 4,766,639

7,200,000 3.375 11/01/20 6,837,746

3,800,000 3.631 12/01/20 3,671,411

8,258,492 6.000 10/01/21 9,027,564

8,918,956 5.500 09/01/23 9,661,959

1,680,700 5.500 10/01/23 1,821,853

12,078 7.000 12/01/24 13,796

2,076 7.000 07/01/27 2,391

3,332 7.000 08/01/27 3,808

4,741 7.000 10/01/28 5,419

4,000 7.000 01/01/29 4,569

2,554 7.000 11/01/29 2,918

136,726 8.000 02/01/31 154,500

3,412 7.000 04/01/31 3,901

19,478 7.000 05/01/32 22,184

16,369 7.000 06/01/32 18,643

6,580 7.000 08/01/32 7,494

2,192,668 6.000 03/01/33 2,412,620

The accompanying notes are an integral part of these financial statements. 49

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – (continued)

FNMA – (continued)

$ 4,340,282 6.500 % 04/01/33 $ 4,902,653

4,752 7.000 04/01/34 5,421

11,557,441 6.000 04/01/35 12,717,209

1,791 6.000 11/01/35 1,954

95,000 8.500 09/01/37 108,579

1,154,473 7.500 10/01/37 1,318,024

107,768 4.000 02/01/40 106,328

175,742,140

GNMA – 0.4%

6,232 9.000 07/15/12 6,261

896,286 5.500 07/15/20 973,341

344,965 6.000 11/15/38 380,552

5,866,743 3.500 12/15/40 5,604,201

5,099,421 3.500 01/15/41 4,866,760

11,831,115

TOTAL FEDERAL AGENCIES
$ 358,811,493

TOTAL MORTGAGE-BACKED OBLIGATIONS

(Cost $635,732,201)
$ 644,542,345

Agency Debentures – 17.4%

FHLB

$ 8,130,000 5.000 % 09/09/11 $ 8,299,063

67,200,000 1.750 12/14/12 68,315,762

12,000,000 4.875 12/14/12 12,830,459

83,200,000 3.750 09/09/16 87,326,570

37,000,000 3.875 12/14/18 38,111,739

FHLMC

13,900,000 4.500 01/15/13 14,819,913

44,200,000 1.375 02/25/14 44,214,564

34,200,000 2.750 04/29/14 34,268,106

22,600,000 5.500 07/18/16 25,888,406

FNMA

150,000,000 2.050 ^(e) 04/26/13 150,152,295

Small Business Administration

116,015 7.200 06/01/17 127,683

299,759 6.300 05/01/18 326,541

218,503 6.300 06/01/18 238,318

TOTAL AGENCY DEBENTURES

(Cost $479,109,589)
$ 484,919,419

Government Guarantee Obligations^(f) – 19.0%

Ally Financial, Inc.

$ 80,000,000 1.750 % 10/30/12 $ 81,371,656

92,200,000 2.200 12/19/12 94,492,433

Banco Bilbao Vizcaya Argentaria Puerto Rico

105,500,000 2.450 06/22/12 106,997,678

Citigroup Funding, Inc.

10,700,000 1.875 10/22/12 10,903,257

21,800,000 1.875 11/15/12 22,217,967

General Electric Capital Corp.

51,000,000 0.510 ^(b) 03/12/12 51,171,717

26,500,000 2.000 09/28/12 27,044,098

37,000,000 2.125 12/21/12 37,873,711

20,400,000 2.625 12/28/12 21,058,363

Morgan Stanley & Co.^(b)

25,000,000 1.161 12/01/11 25,099,250

United States Central Federal Credit Union

29,700,000 1.900 10/19/12 30,255,919

Western Corporate Federal Credit Union

21,300,000 1.750 11/02/12 21,650,717

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS

(Cost $524,473,996)
$ 530,136,766

U.S. Treasury Obligations – 38.1%

United States Treasury Bonds

$ 4,600,000 4.750 % 02/15/41 $ 4,781,102

United States Treasury Inflation Protected Securities

95,625,108 2.375 04/15/11 95,924,415

United States Treasury Notes

4,400,000 1.000 04/30/12 4,430,932

15,900,000 0.625 07/31/12 15,937,205

60,000,000 0.375 08/31/12 59,899,201

280,800,000 0.375 10/31/12 279,912,666

58,900,000 1.375 01/15/13 59,601,496

58,300,000 0.625 01/31/13 58,199,726

255,300,000 0.750 03/31/13 255,110,516

29,500,000 1.250 03/15/14 29,490,855

10,100,000 2.125 02/29/16 10,068,993

84,225,000 2.250 03/31/16 84,320,173

31,000,000 2.625 01/31/18 30,573,440

75,900,000 3.625 02/15/21 76,979,296

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $1,066,196,826)
$ 1,065,230,016

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT

(Cost $2,705,512,612)
$ 2,724,828,546

Short-term Investment^(g) – 5.9%

Repurchase Agreement – 5.9%

Joint Repurchase Agreement Account II

$ 165,500,000 0.155 % 04/01/11 $ 165,500,000

Maturity Value: $165,500,713

(Cost $165,500,000)

TOTAL INVESTMENTS – 103.5%

(Cost $2,871,012,612)
$ 2,890,328,546

LIABILITIES IN EXCESS OF OTHER ASSETS – (3.5)%
(99,050,929 )

NET ASSETS – 100.0%
$ 2,791,277,617

50 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.


(a)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(b)		Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2011.

(c)		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 $46,098,021, which represents approximately 1.7% of net assets as of March 31, 2011.

(d)		Issued with zero coupon and interest rate is contingent upon LIBOR reaching a predetermined level.

(e)		A portion of this security is segregated as collateral for initial margin requirements on futures transactions.

(f)		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.

(g)		Joint repurchase agreement was entered into on March 31, 2011. Additional information appears on pages 62-63.




Investment Abbreviations:
ACES	—	Alternative Credit Enhancement Securities
FDIC	—	Federal Deposit Insurance Corp.
FHLB	—	Federal Home Loan Bank
FHLMC	—	Federal Home Loan Mortgage Corp.
FNMA	—	Federal National Mortgage Association
GNMA	—	Government National Mortgage Association
LIBOR	—	London Interbank Offered Rate
NCUA	—	National Credit Union Administration
OTC	—	Over the Counter
REMIC	—	Real Estate Mortgage Investment Conduit


ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At March 31, 2011, the following futures contracts were open:


	Number of
	Contracts			Expiration	Current			Unrealized
Type	Long (Short)			Date	Value			Gain (Loss)

Ultra Long U.S. Treasury Bonds		(38	)	June 2011	$	(4,695,375	)	$	(10,862	)
2 Year U.S. Treasury Notes		8,594		June 2011		1,874,566,250			978,144
5 Year U.S. Treasury Notes		(857	)	June 2011		(100,088,227	)		426,750
10 Year U.S. Treasury Notes		(1,468	)	June 2011		(174,737,875	)		2,034,866
30 Year U.S. Treasury Bonds		(316	)	June 2011		(37,979,250	)		234,549


TOTAL								$	3,663,447

The accompanying notes are an integral part of these financial statements. 51

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

March 31, 2011


ADDITIONAL INVESTMENT INFORMATION (continued)

SWAP CONTRACTS — At March 31, 2011, 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	(000s)			Date		the Fund	the Fund	Value			by the Fund			Gain (Loss)

Bank of America Securities LLC	$	64,800	^(a)		11/05/14	3 month LIBOR	1.626%	$	1,357,447		$	—		$	1,357,447
		54,600	^(a)		11/23/14	3 month LIBOR	2.116		684,139			—			684,139
		21,700	^(a)		06/15/16	3 month LIBOR	1.750		863,184			883,554			(20,370	)
		31,000			11/02/16	3 month LIBOR	1.780		1,174,023			—			1,174,023
		54,100	^(a)		11/05/17	2.755%	3 month LIBOR		(2,319,132	)		—			(2,319,132	)
		48,700	^(a)		11/23/19	3.587	3 month LIBOR		(1,387,635	)		—			(1,387,635	)
		14,900	^(a)		11/05/22	3 month LIBOR	3.575		913,990			—			913,990
		17,500	^(a)		11/23/27	3 month LIBOR	4.206		703,102			—			703,102
Deutsche Bank Securities, Inc.		132,000	^(a)		11/02/14	3 month LIBOR	1.645		2,702,235			—			2,702,235
		76,100	^(a)		06/15/16	3 month LIBOR	1.750		3,027,110			3,044,942			(17,832	)
		110,400	^(a)		11/02/17	2.750	3 month LIBOR		(4,724,137	)		—			(4,724,137	)
		20,100	^(a)		06/15/18	2.250	3 month LIBOR		(1,173,724	)		(1,163,212	)		(10,512	)
		95,000	^(a)		06/15/21	3 month LIBOR	2.750		7,400,716			7,192,661			208,055
		30,300	^(a)		11/02/22	3 month LIBOR	3.545		1,924,035			—			1,924,035
JPMorgan Securities, Inc.		185,600	^(a)		12/31/12	3 month LIBOR	0.943		(456,851	)		—			(456,851	)
		123,900	^(a)		06/15/14	3 month LIBOR	1.000		2,580,994			220,000			2,360,994
		9,200	^(a)		06/15/16	3 month LIBOR	1.750		365,958			364,821			1,137
		77,700	^(a)		06/15/16	1.750	3 month LIBOR		(3,090,754	)		(2,702,561	)		(388,193	)
		52,000			11/02/16	3 month LIBOR	1.780		1,969,328			2,794			1,966,534
		39,000			11/02/18	3 month LIBOR	2.310		1,930,195			8,538			1,921,657
		95,000	^(a)		06/15/21	2.750	3 month LIBOR		(7,400,716	)		(5,806,376	)		(1,594,340	)
Morgan Stanley Capital Services, Inc.		51,200	^(a)		06/15/16	3 month LIBOR	1.750		2,036,636			2,024,960			11,676


TOTAL								$	9,080,143		$	4,070,121		$	5,010,022


(a)		Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2011.

52 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND


ADDITIONAL INVESTMENT INFORMATION (continued)

WRITTEN OPTIONS CONTRACTS

INTEREST RATE SWAPTION CONTRACTS — At March 31, 2011, the Fund had outstanding written swaptions as follows:


		Notional
		Amount		Expiration		Strike			Market			Premiums			Unrealized
Counterparty	Description	(000s)		Date		Price			Value			Received			Gain (Loss)

Bank of America N.A.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 3.460% versus the 3 month LIBOR maturing on April 27, 2021	$	17,000		04/21/11		3.460	%	$	(72,803	)	$	(195,925	)	$	123,122
	Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 3.460% versus the 3 month LIBOR maturing on April 27, 2021		17,000		04/21/11		3.460			(260,696	)		(195,925	)		(64,771	)
Morgan Stanley Capital Services, Inc.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 3.620% versus the 3 month LIBOR maturing on May 04, 2021		17,000		04/28/11		3.620			(188,693	)		(174,250	)		(14,443	)
	Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 3.620% versus the 3 month LIBOR maturing on May 04, 2021		17,000		04/28/11		3.620			(156,435	)		(174,250	)		17,815


TOTAL		$	68,000						$	(678,627	)	$	(740,350	)	$	61,723

For the year ended March 31, 2011, the Fund had the following written swaptions activity:


	Notional
	Amount			Premiums
	(000s)			Received

Contracts Outstanding March 31, 2010	$	—		$	—


Contracts Written		176,600			(3,868,030	)
Contracts Bought to Close		(108,600	)		3,127,680


Contracts Outstanding March 31, 2011	$	68,000		$	(740,350	)

The accompanying notes are an integral part of these financial statements. 53

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND

Schedule of Investments

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – 29.0%

Collateralized Mortgage Obligations – 10.4%

Adjustable Rate Non-Agency^(a) – 0.5%

Bank of America Mortgage Securities Series 2002-J, Class A2

$ 20,826 3.247 % 09/25/32 $ 19,617

Bear Stearns Adjustable Rate Mortgage Trust Series 2003-05, Class 1A1

50,318 2.903 08/25/33 48,668

Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-37, Class 1A1

31,894 3.321 08/25/33 28,989

CS First Boston Mortgage Securities Corp. Series 2003-AR9, Class 2A2

753,353 2.461 03/25/33 663,995

Sequoia Mortgage Trust Series 2004-10, Class A3A

1,291,288 0.783 11/20/34 1,152,723

1,913,992

Interest Only^(b) – 0.0%

FHLMC REMIC Series 2586, Class NX

208,905 4.500 08/15/16 2,467

FNMA REMIC Series 1990-145, Class B

972 1,004.961 12/25/20 19,660

22,127

Planned Amortization Class – 0.2%

FHLMC REMIC Series 2113, Class TE

556,577 6.000 01/15/14 579,247

FNMA REMIC Series 1993-225, Class WC

346,479 6.500 12/25/13 363,254

942,501

Regular Floater^(a) – 6.0%

BCAP LLC Trust Series 2006-RR1, Class CF

15,905 0.890 11/25/36 15,748

Collateralized Mortgage Securities Corp. Series N, Class 2

119,751 0.912 08/25/17 120,097

FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 1A^(c)

2,206,860 0.796 02/25/48 2,207,918

FHLMC REMIC Series 1826, Class F

101,278 0.713 09/15/21 101,525

FNMA REMIC Series 1990-145, Class A

395,610 1.310 12/25/20 393,434

FNMA REMIC Series 1997-20, Class F

839,733 0.833 03/25/27 837,371

FNMA REMIC Series 1998-66, Class FC

197,200 0.754 11/17/28 198,427

NCUA Guaranteed Notes Series 2010-A1, Class A

1,106,471 0.608 12/07/20 1,108,093

NCUA Guaranteed Notes Series 2010-R2, Class 1A

2,235,528 0.610 11/06/17 2,236,227

NCUA Guaranteed Notes Series 2011-R1, Class 1A

1,375,174 0.690 01/08/20 1,376,893

NCUA Guaranteed Notes Series 2011-R2, Class 1A

3,954,167 0.659 02/06/20 3,954,167

NCUA Guaranteed Notes Series 2011-R3, Class 1A

4,500,000 0.672 03/11/20 4,500,000

NCUA Guaranteed Notes Series 2011-R4, Class 1A

7,700,000 0.626 03/06/20 7,700,000

24,749,900

Sequential Fixed Rate – 2.8%

FHLMC Multifamily Structured Pass Through Certificates Series K011, Class A2

1,500,000 4.084 11/25/20 1,493,151

First Nationwide Trust Series 2001-4, Class 1A1

40,494 6.750 09/21/31 39,934

FNMA ACES Series 2009-M2, Class A2

3,250,000 3.334 01/25/19 3,330,447

FNMA REMIC Series 2009-70, Class AL

6,084,992 5.000 08/25/19 6,485,460

NCUA Guaranteed Notes Series 2010-R1, Class 2A

411,874 1.840 10/07/20 406,726

11,755,718

Sequential Floating Rate^(a) – 0.9%

FHLMC Multifamily Structured Pass Through Certificates Series K701, Class A2

2,250,000 3.882 11/25/17 2,290,268

NCUA Guaranteed Notes Series 2010-R1, Class 1A

1,303,061 0.709 10/07/20 1,304,893

3,595,161

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
$ 42,979,399

Federal Agencies – 18.6%

Adjustable Rate FHLMC^(a) – 3.2%

$ 55,036 2.913 % 08/01/16 $ 55,977

83,417 3.532 08/01/18 86,862

52,865 3.428 11/01/18 54,448

349,024 4.751 11/01/18 359,241

13,321 2.742 02/01/19 13,676

21,825 3.417 02/01/19 22,506

56,270 2.906 03/01/19 57,531

36,387 3.807 03/01/19 37,817

51,087 3.026 06/01/19 52,094

37,915 3.454 07/01/19 39,289

857,963 3.744 11/01/19 893,018

737,749 6.876 11/01/19 782,936

62,431 3.447 01/01/20 63,900

80,491 2.904 05/01/21 82,625

18,636 5.975 01/01/25 19,344

52,685 2.965 10/01/26 53,718

714,260 5.348 08/01/28 758,008

349,903 2.612 05/01/29 358,724

51,576 4.199 06/01/29 55,848

73,486 2.963 04/01/30 76,022

77,229 4.353 06/01/30 83,624

208,263 2.807 12/01/30 213,845

6,677 2.466 01/01/31 6,969

53,916 2.945 02/01/31 55,850

9,153 2.623 05/01/31 9,584

15,582 3.995 06/01/31 15,946

54 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND

The accompanying notes are an integral part of these financial statements. 55

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – (continued)

Adjustable Rate FHLMC^(a) – (continued)

$ 7,057 2.513 % 11/01/31 $ 7,404

15,492 3.000 10/01/32 16,255

2,348 2.278 02/01/33 2,437

683,819 2.440 07/01/33 711,205

996,679 2.593 09/01/33 1,045,652

39,753 2.753 11/01/33 41,698

6,345,512 2.586 04/01/35 6,657,108

532,706 4.976 05/01/35 559,567

13,350,728

Adjustable Rate FNMA^(a) – 7.7%

236,746 6.750 04/01/17 247,119

37,935 4.258 08/01/17 39,045

133,598 2.758 09/01/17 136,048

82,953 2.821 09/01/17 85,357

27,860 2.105 11/01/17 28,432

41,061 3.000 12/01/17 41,932

30,690 4.875 12/01/17 33,011

89,378 2.858 03/01/18 91,020

208,411 3.109 03/01/18 213,231

971,829 3.083 07/01/18 994,659

54,472 2.135 10/01/18 55,216

118,767 2.837 10/01/18 120,223

41,642 2.877 10/01/18 42,622

103,283 2.904 10/01/18 104,168

207,683 3.190 10/01/18 212,876

3,751 2.015 11/01/18 3,818

55,952 3.250 12/01/18 57,680

127,113 2.951 01/01/19 130,080

504,746 4.026 04/01/19 534,198

29,733 5.920 04/01/19 31,273

225,453 2.541 05/01/19 231,710

887,408 2.958 05/01/19 909,176

179,382 3.262 06/01/19 185,021

120,734 3.450 06/01/19 124,970

131,752 6.190 07/01/19 139,822

246,823 3.250 08/01/19 254,221

367,329 4.290 08/01/19 391,523

1,226,275 2.683 11/01/19 1,267,148

7,783 3.250 04/01/20 8,020

331,650 5.708 05/01/20 351,963

437,992 2.964 06/01/20 448,641

138,524 3.255 06/01/20 142,409

226,975 3.224 11/01/20 233,706

300,820 3.415 03/01/21 311,793

100,399 2.455 09/01/21 103,615

91,450 3.330 12/01/21 95,548

1,279,438 3.425 01/01/22 1,305,864

30,838 6.492 02/01/22 32,727

96,828 2.948 05/20/22 100,419

335,941 2.405 02/01/23 342,875

5,896 6.219 12/01/23 6,194

483,914 2.459 01/01/24 493,824

527,917 2.371 03/01/24 538,448

5,672,163 3.220 04/01/24 5,797,937

448,154 3.130 06/20/24 463,241

28,856 4.438 08/01/24 30,137

140,579 5.096 01/01/25 149,190

239,799 3.492 02/01/27 249,385

35,598 3.840 06/01/27 36,743

21,922 4.250 12/01/27 23,735

51,899 4.538 01/01/28 56,197

55,610 2.510 05/01/28 58,043

14,108 2.565 09/01/28 14,804

472,779 3.633 01/01/29 492,765

13,514 2.510 06/01/29 14,117

31,148 2.904 06/01/29 32,218

20,684 2.966 06/01/29 21,343

787,933 3.736 05/01/30 829,075

4,120 2.885 02/01/31 4,345

90,227 2.494 05/01/31 94,321

51,116 2.655 06/01/31 53,498

565,792 2.716 07/01/31 594,514

185,271 2.518 08/01/31 193,825

78,804 2.710 08/01/31 82,627

168,759 2.434 11/01/31 175,812

81,413 2.240 12/01/31 84,718

150,319 1.740 01/01/32 153,777

180,668 1.820 02/01/32 185,328

56,917 1.890 03/01/32 58,525

480,742 2.714 03/01/32 507,606

17,502 3.418 03/01/32 18,353

6,081 2.500 04/01/32 6,357

353,042 2.659 04/01/32 371,162

30,608 1.877 05/01/32 31,354

114,794 2.830 07/01/32 120,924

34,720 2.375 09/01/32 36,158

31,635 2.417 09/01/32 33,070

34,781 2.534 09/01/32 36,561

323,029 2.650 09/01/32 339,567

5,821 2.675 09/01/32 6,124

36,201 2.743 10/01/32 38,136

7,028 2.451 12/01/32 7,328

213,388 2.490 01/01/33 223,977

429,700 2.063 02/01/33 443,762

45,252 2.492 04/01/33 47,260

252,445 2.833 04/01/33 266,634

2,941,053 2.036 05/01/33 3,036,210

894,344 2.833 05/01/33 944,751

14,148 2.525 08/01/33 14,814

102,538 2.561 01/01/34 107,535

35,402 2.420 02/01/34 37,076

1,138,825 2.170 04/01/35 1,176,352

765,203 2.303 04/01/35 793,383

1,186,895 2.396 10/01/35 1,244,002

24,858 4.049 05/01/36 26,740

6,433 2.443 11/01/38 6,722

141,206 1.718 06/01/40 142,116

543,087 2.515 07/01/40 568,573

16,935 1.518 02/01/41 16,949

31,821,421

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

March 31, 2011

Principal
Interest
Maturity

Amount Rate Date Value

Mortgage-Backed Obligations – (continued)

Adjustable Rate GNMA^(a) – 2.1%

$ 7,515,622 2.500 % 08/20/34 $ 7,771,815

930,447 2.625 08/20/34 962,737

8,734,552

FHLMC – 2.0%

78,372 6.500 03/01/13 85,303

30,573 6.500 04/01/13 33,276

35,663 6.500 05/01/13 38,818

82,965 6.500 06/01/13 90,301

768,848 8.000 12/01/15 824,974

170,176 6.000 05/01/17 185,793

784,963 5.000 10/01/17 839,416

901,787 5.000 11/01/17 964,344

538,253 5.500 01/01/20 581,481

296,540 7.000 04/01/21 341,270

157,348 7.000 08/01/21 181,091

1,486,739 7.000 03/01/22 1,711,838

423,227 7.000 05/01/22 487,302

1,693,348 7.000 06/01/22 1,949,824

19,050 4.500 05/01/23 20,005

21,841 7.000 12/01/25 25,022

8,360,058

FNMA – 3.4%

51,592 6.000 09/01/11 52,310

150,193 6.500 04/01/12 154,166

322,413 6.000 05/01/12 335,536

89,705 6.500 05/01/12 92,249

192,962 6.000 06/01/12 201,430

92,946 6.500 06/01/12 95,757

1,647,609 5.500 01/01/13 1,709,722

377,438 8.000 01/01/16 416,177

552,695 7.000 03/01/17 613,207

101,515 7.000 05/01/17 112,630

1,300,000 3.660 01/01/18 1,315,273

3,922,213 5.500 03/01/18 4,238,135

330,415 5.500 04/01/18 357,029

3,517 5.000 08/01/19 3,773

15,250 5.000 09/01/19 16,337

15,883 5.000 11/01/19 17,041

47,447 5.000 01/01/20 50,908

800,000 3.416 10/01/20 762,662

1,100,000 3.375 11/01/20 1,044,656

600,000 3.631 12/01/20 579,696

142,037 7.000 07/01/21 164,065

261,306 7.000 11/01/21 301,826

113,211 7.000 12/01/21 130,743

231,219 7.000 01/01/22 266,860

53,789 7.000 02/01/22 62,096

178,405 7.000 01/01/28 203,791

161,084 6.500 04/01/33 181,905

196,019 5.000 01/01/37 205,435

293,857 5.000 03/01/38 307,656

35,923 4.000 02/01/40 35,443

14,028,514

GNMA – 0.2%

41,626 7.000 12/15/25 47,964

93,632 7.000 04/15/26 108,010

998,875 3.500 12/15/40 953,301

1,109,275

TOTAL FEDERAL AGENCIES
$ 77,404,548

TOTAL MORTGAGE-BACKED OBLIGATIONS

(Cost $118,672,832)
$ 120,383,947

Agency Debentures – 6.3%

FHLB

$ 8,000,000 3.875 % 12/14/18 $ 8,240,376

FNMA

16,000,000 2.050 04/26/13 16,016,245

1,900,000 3.000 07/28/14 1,914,082

TOTAL AGENCY DEBENTURES

(Cost $25,983,090)
$ 26,170,703

Asset-Backed Securities – 15.7%

Auto – 2.8%

Ally Master Owner Trust Series 2010-1, Class A^(a)(c)

$ 3,500,000 2.005 % 01/15/15 $ 3,564,750

Ford Credit Auto Owner Trust Series 2009-B, Class A3

6,985,590 2.790 08/15/13 7,062,343

Ford Credit Auto Owner Trust Series 2009-E, Class A2

963,944 0.800 03/15/12 964,016

11,591,109

Credit Card^(a)(c) – 1.0%

World Financial Network Credit Card Master Trust Series 2006-A, Class A

4,200,000 0.385 02/15/17 4,124,938

Student Loan^(a) – 11.9%

Access Group, Inc. Series 2002-1, Class A2

4,326,812 0.488 09/25/25 4,315,379

Access Group, Inc. Series 2005-2, Class A1

769,219 0.413 08/22/17 768,434

Brazos Higher Education Authority, Inc. Series 2005-2, Class A9

3,352,142 0.408 12/26/17 3,319,556

Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2004 I-A-2

4,338,980 0.468 06/27/22 4,302,969

Brazos Higher Education Authority, Inc. Student Loan Revenue Series 2005 I-A-2

3,156,750 0.388 12/26/18 3,132,885

College Loan Corp. Trust Series 2004-1, Class A3

7,139,885 0.463 04/25/21 7,134,697

College Loan Corp. Trust Series 2005-1, Class A2

5,000,000 0.403 07/25/24 4,978,002

College Loan Corp. Trust Series 2005-2, Class A2

1,528,487 0.413 10/15/21 1,520,137

56 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND

Principal
Interest
Maturity

Amount Rate Date Value

Asset-Backed Securities – (continued)

Student Loan^(a) – (continued)

Collegiate Funding Services Education Loan Trust I Series 2003-A, Class A2

$ 736,686 0.609 % 09/28/20 $ 736,686

Education Funding Capital Trust I Series 2003-3, Class A3

7,308,909 0.580 03/16/20 7,288,948

Education Funding Capital Trust I Series 2004-1, Class A2

2,838,204 0.470 12/15/22 2,809,181

Pennsylvania State Higher Education Assistance Agency Series 2009-2 Class A-1

2,553,032 0.903 04/25/19 2,549,104

SLM Student Loan Trust Series 2004-9, Class A4

1,863,425 0.433 04/25/17 1,862,564

SLM Student Loan Trust Series 2006-1, Class A3

1,885,107 0.343 10/25/16 1,884,304

SLM Student Loan Trust Series 2006-5, Class A3

1,760,280 0.333 10/25/19 1,757,891

SLM Student Loan Trust Series 2008-6, Class A1

1,072,715 0.703 10/27/14 1,073,377

49,434,114

TOTAL ASSET-BACKED SECURITIES

(Cost $65,039,570)
$ 65,150,161

Government Guarantee Obligations^(d) – 23.4%

Ally Financial, Inc.

$ 20,700,000 2.200 % 12/19/12 $ 21,214,679

Bank of America Corp.^(a)

13,400,000 0.509 06/22/12 13,443,416

Citigroup Funding, Inc.

8,600,000 0.634 ^(a) 04/30/12 8,637,823

10,000,000 1.875 11/15/12 10,191,728

General Electric Capital Corp.

9,400,000 0.510 ^(a) 03/12/12 9,431,650

7,500,000 2.000 09/28/12 7,653,990

2,000,000 0.309 ^(a) 12/21/12 2,003,694

6,000,000 2.625 12/28/12 6,193,636

Morgan Stanley & Co.^(a)

8,500,000 0.592 02/10/12 8,526,443

3,800,000 0.659 06/20/12 3,819,566

United States Central Federal Credit Union

1,500,000 1.900 10/19/12 1,528,077

Western Corporate Federal Credit Union

4,300,000 1.750 11/02/12 4,370,802

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS

(Cost $96,127,030)
$ 97,015,504

U.S. Treasury Obligations – 17.2%

United States Treasury Bills^(e)

$ 11,400,000 0.000 % 09/22/11 $ 11,390,633

United States Treasury Inflation Protected Securities

18,082,242 2.375 04/15/11 18,138,840

United States Treasury Notes

31,200,000 1.000 ^(f) 03/31/12 31,404,671

1,100,000 2.125 02/29/16 1,096,623

9,125,000 2.250 03/31/16 9,135,311

TOTAL U.S. TREASURY OBLIGATIONS

(Cost $70,892,900)
$ 71,166,078

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT

(Cost $376,715,422)
$ 379,886,393

Short-term Investment^(g) – 8.6%

Repurchase Agreement – 8.6%

Joint Repurchase Agreement Account II

$ 35,600,000 0.155 % 04/01/11 $ 35,600,000

Maturity Value: $35,600,153

(Cost $35,600,000)

TOTAL INVESTMENTS – 100.2%

(Cost $412,315,422)
$ 415,486,393

LIABILITIES IN EXCESS OF OTHER ASSETS – (0.2)%
(682,916 )

NET ASSETS – 100.0%
$ 414,803,477

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 March 31, 2011.

(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(c)		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 $9,897,606, which represents approximately 2.4% of net assets as of March 31, 2011.

(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)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(f)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(g)		Joint repurchase agreement was entered into on March 31, 2011. Additional information appears on pages 62-63.

The accompanying notes are an integral part of these financial statements. 57

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND


ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At March 31, 2011, the following futures contracts were open:


	Number of
	Contracts			Expiration	Current			Unrealized
Type	Long (Short)			Date	Value			Gain (Loss)

Eurodollars		263		June 2011	$	65,513,300		$	14,121
Eurodollars		263		September 2011		65,447,550			(479	)
Ultra Long U.S. Treasury Bonds		32		June 2011		3,954,000			19,938
2 Year U.S. Treasury Notes		298		June 2011		65,001,250			36,986
5 Year U.S. Treasury Notes		223		June 2011		26,043,961			(190,249	)
10 Year U.S. Treasury Notes		(67	)	June 2011		(7,975,094	)		(12,412	)
30 Year U.S. Treasury Bonds		(83	)	June 2011		(9,975,562	)		(22,564	)


TOTAL								$	(154,659	)

SWAP CONTRACTS — At March 31, 2011, 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	(000s)			Date		the Fund	the Fund	Value			by the Fund		Gain (Loss)

Bank of America Securities LLC	$	10,900	^(a)		11/05/14	3 month LIBOR	1.626%	$	228,336		$	—	$	228,336
		9,300	^(a)		11/23/14	3 month LIBOR	2.116		116,529			—		116,529
		3,700	^(a)		06/15/16	3 month LIBOR	1.750		147,179			150,652		(3,473	)
		6,100			10/27/16	3 month LIBOR	3.263		(287,866	)		—		(287,866	)
		9,100	^(a)		11/05/17	2.755%	3 month LIBOR		(390,094	)		—		(390,094	)
		8,300	^(a)		11/23/19	3.587	3 month LIBOR		(236,496	)		—		(236,496	)
		2,500	^(a)		11/05/22	3 month LIBOR	3.575		153,354			—		153,354
		3,000	^(a)		11/23/27	3 month LIBOR	4.206		120,532			—		120,532
Deutsche Bank Securities, Inc.		22,500	^(a)		11/02/14	3 month LIBOR	1.645		460,608			—		460,608
		13,100	^(a)		06/15/16	3 month LIBOR	1.750		521,093			524,191		(3,098	)
		18,800	^(a)		11/02/17	2.750	3 month LIBOR		(804,473	)		—		(804,473	)
		5,200	^(a)		11/02/22	3 month LIBOR	3.545		330,197			—		330,197

The accompanying notes are an integral part of these financial statements. 59

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND

Schedule of Investments (continued)

March 31, 2011


ADDITIONAL INVESTMENT INFORMATION (continued)

INTEREST RATE SWAP CONTRACTS (continued)


						Rates Exchanged
	Notional					Payments	Payments				Upfront Payments
	Amount			Termination		Received by	Made by	Market			Made (Received)			Unrealized
Counterparty	(000s)			Date		the Fund	the Fund	Value			by the Fund			Gain (Loss)

JPMorgan Securities, Inc.	$	119,000	^(a)		12/31/12	3 month LIBOR	0.943%	$	(292,916	)	$	—		$	(292,916	)
		1,600	^(a)		06/15/16	3 month LIBOR	1.750		63,645			63,447			198
		9,100	^(a)		06/15/16	1.750%	3 month LIBOR		(361,980	)		(315,189	)		(46,791	)
		10,100			10/21/16	3 month LIBOR	3.200		(438,680	)		—			(438,680	)
		7,000	^(a)		06/15/18	2.250	3 month LIBOR		(408,759	)		(377,491	)		(31,268	)
		8,000			10/05/18	3 month LIBOR	3.242		(176,317	)		—			(176,317	)
		4,600	^(a)		06/15/26	3 month LIBOR	3.250		440,756			433,011			7,745
Morgan Stanley Capital Services, Inc.		15,100	^(a)		06/15/16	3 month LIBOR	1.750		600,649			668,360			(67,711	)
		4,000	^(a)		06/15/21	2.750	3 month LIBOR		(311,609	)		(333,929	)		22,320


TOTAL								$	(526,312	)	$	813,052		$	(1,339,364	)


(a)		Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to March 31, 2011.

WRITTEN OPTIONS CONTRACTS

INTEREST RATE SWAPTION CONTRACTS — At March 31, 2011, the Fund had outstanding written swaptions as follows:


		Notional
		Amount		Expiration		Strike			Market			Premiums			Unrealized
Counterparty	Description	(000s)		Date		Price			Value			Received			Gain (Loss)

Bank of America N.A.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 3.460% versus the 3 month LIBOR maturing on April 27, 2021	$	3,800		04/21/11		3.460	%	$	(16,273	)	$	(43,795	)	$	27,522
	Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 3.460% versus the 3 month LIBOR maturing on April 27, 2021		3,800		04/21/11		3.460			(58,273	)		(43,795	)		(14,478	)
Morgan Stanley Capital Services, Inc.	Put – OTC – 10 year Interest Rate Swap for the obligation to pay a fixed rate of 3.620% versus the 3 month LIBOR maturing on May 04, 2021		3,700		04/28/11		3.620			(41,069	)		(37,925	)		(3,144	)
	Call – OTC – 10 year Interest Rate Swap for the obligation to receive a fixed rate of 3.620% versus the 3 month LIBOR maturing on May 04, 2021		3,700		04/28/11		3.620			(34,048	)		(37,925	)		3,877


TOTAL		$	15,000						$	(149,663	)	$	(163,440	)	$	13,777

60 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Schedule of Investments (continued)

March 31, 2011


ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At March 31, 2011, the Funds had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of April 1, 2011, as follows:


					Collateral
	Principal		Maturity		Value
Fund	Amount		Value		Allocation

Enhanced Income	$	70,100,000	$	70,100,302	$	71,587,154


Government Income		233,400,000		233,401,005		238,351,521


Inflation Protected Securities		6,900,000		6,900,030		7,046,382


Short Duration Government		165,500,000		165,500,713		169,011,040


Ultra-Short Duration Government		35,600,000		35,600,153		36,355,245

REPURCHASE AGREEMENTS — At March 31, 2011, the Principal Amounts of certain Funds’ interest in the Joint Repurchase Agreement Account II were as follows:


								Inflation		Short		Ultra-Short
	Interest			Enhanced		Government		Protected		Duration		Duration
Counterparty	Rate			Income		Income		Securities		Government		Government


BNP Paribas Securities Co.		0.100	%	$	7,849,724	$	26,135,886	$	772,654	$	18,532,518	$	3,986,451


BNP Paribas Securities Co.		0.140			1,471,823		4,900,479		144,873		3,474,847		747,459


BNP Paribas Securities Co.		0.180			4,906,078		16,334,929		482,909		11,582,822		2,491,532


Citibank N.A.		0.190			1,226,519		4,083,732		120,727		2,895,706		622,883


Citigroup Global Markets, Inc.		0.190			6,132,597		20,418,661		603,637		14,478,528		3,114,414


Credit Agricole Securities		0.130			8,585,636		28,586,126		845,091		20,269,939		4,360,180


Deutsche Bank Securities, Inc.		0.200			981,216		3,266,986		96,582		2,316,564		498,306


JPMorgan Securities		0.190			1,152,928		3,838,708		113,484		2,721,963		585,510


Merrill Lynch & Co., Inc.		0.150			1,243,200		4,139,271		122,369		2,935,087		631,354


RBS Securities, Inc.		0.100			4,906,078		16,334,929		482,909		11,582,822		2,491,532


RBS Securities, Inc.		0.200			3,679,558		12,251,197		362,182		8,687,117		1,868,649


UBS Securities LLC		0.100			2,453,039		8,167,465		241,455		5,791,411		1,245,766


UBS Securities LLC		0.200			2,453,039		8,167,465		241,455		5,791,411		1,245,766


Wells Fargo Securities LLC		0.170			23,058,565		76,774,166		2,269,673		54,439,265		11,710,198


TOTAL				$	70,100,000	$	233,400,000	$	6,900,000	$	165,500,000	$	35,600,000

62 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


ADDITIONAL INVESTMENT INFORMATION (continued)

At March 31, 2011, the Joint Repurchase Agreement Account II was fully collateralized by:


Issuer	Interest Rates			Maturity Dates


Federal Farm Credit Bank		2.625 to 7.350	%		04/21/11 to 09/22/38


Federal Farm Credit Bank Principal-Only Stripped Security		0.000			12/16/15


Federal Home Loan Bank		0.000 to 8.290			04/04/11 to 09/14/35


Federal Home Loan Mortgage Corp.		0.000 to 7.690			05/31/11 to 03/01/41


Federal Home Loan Mortgage Corp. Interest-Only Stripped Securities		0.000			01/15/13 to 01/15/28


Federal Home Loan Mortgage Corp. Principal-Only Stripped Security		0.000			11/15/13


Federal National Mortgage Association		0.000 to 10.350			04/25/11 to 04/01/41


Federal National Mortgage Association Interest-Only Stripped Securities		0.000			11/15/12 to 05/15/29


Federal National Mortgage Association Principal-Only Stripped Security		0.000			03/23/28


Government National Mortgage Association		3.500 to 5.500			09/15/24 to 03/20/41


SLM Corp.		0.000			10/03/22


U.S. Treasury Bills		0.000			04/07/11 to 12/15/11


U.S. Treasury Bonds		3.875 to 11.250			02/15/15 to 11/15/40


U.S. Treasury Inflation Indexed Bonds		0.625 to 2.125			04/15/13 to 02/15/41


U.S. Treasury Interest-Only Stripped Securities		0.000			05/15/11 to 11/15/26


U.S. Treasury Notes		0.375 to 5.125			04/30/11 to 02/15/21


U.S. Treasury Principal-Only Stripped Securities		0.000			08/15/11 to 09/30/13

The accompanying notes are an integral part of these financial statements. 63

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Assets and Liabilities

March 31, 2011

Enhanced

Income Fund

Assets:

Investments in securities, at value (identified cost $721,777,003, $792,729,599, $206,551,945, $2,705,512,612 and $376,715,422, respectively)
$ 728,384,091

Repurchase agreement, at value which equals cost
70,100,000

Cash
36,589

Receivables:

Fund shares sold
8,195,181

Investment securities sold on an extended-delivery basis
—

Interest
5,647,448

Investment securities sold
1,500,079

Swap contracts, at value (includes upfront payments made of $26,127, $2,332,094, $228,498, $13,742,270 and $1,839,661, respectively)
111,281

Due from broker — collateral for swap contracts
—

Due from broker — variation margin
—

Reimbursement from investment adviser
—

Other assets
7,242

Total assets
813,981,911

Liabilities:

Due to custodian
—

Payables:

Investment securities purchased
4,000,000

Fund shares redeemed
1,994,634

Amounts owed to affiliates
230,068

Income distribution
80,739

Due to broker — variation margin
24,297

Due to broker — collateral for swap contracts
—

Forward sale contracts, at value (proceeds received $0, $1,086,406, $0, $0 and $0, respectively)
—

Investment securities purchased on an extended-delivery basis
—

Options written, at value (premium received $0, $326,625, $51,250, $740,350 and $163,440, respectively)
—

Swap contracts, at value (includes upfront payments received of $0, $545,893, $0, $9,672,149 and $1,026,609, respectively)
—

Accrued expenses and other liabilities
130,603

Total liabilities
6,460,341

Net Assets:

Paid-in capital
822,593,148

Accumulated undistributed (distribution in excess of) net investment income
847,280

Accumulated net realized gain (loss) from investment, futures, options and swap transactions
(19,106,082 )

Net unrealized gain on investments, futures, options and swaps
3,187,224

NET ASSETS
$ 807,521,570

Net Assets:

Class A
$ 225,354,670

Class B
929,220

Class C
—

Institutional
578,457,750

Administration
2,778,924

Service
—

Class IR
1,006

Class R
—

Total Net Assets
$ 807,521,570

Shares Outstanding $0.001 par value (unlimited shares authorized):

Class A
23,486,219

Class B
96,982

Class C
—

Institutional
60,344,181

Administration
288,921

Service
—

Class IR
105

Class R
—

Net asset value, offering and redemption price per share:^(a)

Class A
$9.60

Class B
9.58

Class C
—

Institutional
9.59

Administration
9.62

Service
—

Class IR
9.58

Class R
—


(a)		Maximum public offering price per share for Class A shares of the Enhanced Income, Short Duration Government and Ultra-Short Duration Government Funds (NAV per share multiplied by 1.0152), Government Income and Inflation Protected Securities Funds (NAV per share multiplied by 1.0390) is $9.75, $10.39, $8.94, $15.53 and $11.38, 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.

64 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Ultra-Short

Government
Inflation Protected
Short Duration
Duration

Income Fund Securities Fund Government Fund Government Fund

$ 806,257,504 $ 208,590,797 $ 2,724,828,546 $ 379,886,393

233,400,000 6,900,000 165,500,000 35,600,000

77,164 55,617 29,583 —

1,196,473 593,455 6,509,625 489,410

233,675,113 — 112,278,750 2,132,500

3,380,709 1,022,696 10,154,350 1,119,572

9,817,315 — 38,730,652 1,226,901

4,793,179 226,735 29,633,092 3,182,878

220,000 — 4,020,000 1,030,000

— 13,141 635,954 47,629

58,516 12,631 277,436 82,069

7,020 1,664 24,668 7,029

1,292,882,993 217,416,736 3,092,622,656 424,804,381

— — — 13,783

9,502,087 5,926,311 37,259,786 1,056,687

2,133,361 140,367 12,770,231 2,309,809

614,144 93,484 1,483,741 177,292

239,533 24,857 362,808 93,184

82,881 — — —

1,040,000 — 10,810,707 230,000

1,087,578 — — —

401,837,424 — 217,002,323 2,122,266

299,394 50,754 678,627 149,663

3,402,363 — 20,552,949 3,709,190

226,760 102,273 423,867 139,030

420,465,525 6,338,046 301,345,039 10,000,904

868,711,242 204,835,441 2,782,716,627 477,301,452

960,195 713,946 3,348,848 (273,788 )

(9,818,836 ) 3,618,879 (22,838,984 ) (63,914,912 )

12,564,867 1,910,424 28,051,126 1,690,725

$ 872,417,468 $ 211,078,690 $ 2,791,277,617 $ 414,803,477

$ 442,915,287 $ 79,215,436 $ 1,013,335,468 $ 118,804,400

17,358,221 — 1,032,921 —

33,279,322 22,111,045 126,533,401 —

266,217,110 108,491,294 1,512,908,001 293,923,991

— — — —

98,071,671 — 128,073,133 923,594

662,803 115,532 9,394,693 1,151,492

13,913,054 1,145,383 — —

$ 872,417,468 $ 211,078,690 $ 2,791,277,617 $ 414,803,477

29,631,369 7,232,822 99,007,805 13,477,901

1,161,282 — 101,298 —

2,226,465 2,012,426 12,445,455 —

17,838,590 9,874,300 148,304,258 33,325,108

— — — —

6,577,218 — 12,572,230 104,259

44,366 10,536 917,532 130,644

931,888 104,359 — —

$14.95 $10.95 $10.23 $8.81

14.95 — 10.20 —

14.95 10.99 10.17 —

14.92 10.99 10.20 8.82

— — — —

14.91 — 10.19 8.86

14.94 10.97 10.24 8.81

14.93 10.98 — —

The accompanying notes are an integral part of these financial statements. 65

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Operations

For the Fiscal Year Ended March 31, 2011

Enhanced

Income Fund

Investment income:

Interest
$ 16,679,067

Expenses:

Management fees
2,542,371

Distribution and Service fees^(a)
791,916

Transfer Agent fees^(a)
688,687

Custody and accounting fees
192,493

Registration fees
109,858

Printing and mailing costs
98,267

Professional fees
96,310

Trustee fees
16,949

Administration share fees
9,929

Service Share fees — Shareholder Administration Plan
—

Service Share fees — Service Plan
—

Other
33,967

Total expenses
4,580,747

Less — expense reductions
(510,020 )

Net expenses
4,070,727

NET INVESTMENT INCOME
12,608,340

Realized and unrealized gain (loss) from investment, futures, option and swap transactions:

Net realized gain (loss) from:

Investment transactions
3,295,444

Futures transactions
(6,402,830 )

Written options
—

Swap contracts
56,010

Net change in unrealized gain (loss) on:

Investments
(1,305,966 )

Futures
(3,951,801 )

Written options
—

Swap contracts
82,527

Net realized and unrealized gain (loss) from investment, futures, option and swap transactions
(8,226,616 )

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
$ 4,381,724


(a)		Class specific Distribution and Service, and Transfer Agent fees were as follows:


	Distribution and Service Fees								Transfer Agent Fees
Fund	Class A		Class B		Class C		Class R		Class A		Class B		Class C		Institutional		Administration		Service		Class IR^(b)		Class R
Enhanced Income	$	780,113	$	11,803	$	—	$	—	$	405,659	$	1,542	$	—	$	279,898	$	1,588	$	—	$	—	$	—
Government Income		1,219,707		246,525		388,652		48,549		634,248		32,048		50,525		100,374		—		41,678		799		12,623
Inflation Protected Securities		200,107		—		218,633		3,081		104,056		—		28,422		51,786		—		—		164		801
Short Duration Government		3,194,813		23,957		1,587,895		—		1,661,303		3,132		207,774		735,166		—		64,315		7,446		—
Ultra-Short Duration Government		525,088		—		—		—		273,046		—		—		147,792		—		618		577		—


(b)		Commenced operations on July 30, 2010 for Enhanced Income Fund.

66 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Ultra-Short

Government
Inflation Protected
Short Duration
Duration

Income Fund Securities Fund Government Fund Government Fund

$ 22,455,543 $ 5,460,253 $ 49,186,079 $ 8,565,149

4,951,024 765,978 15,711,742 2,326,021

1,903,433 421,821 4,806,665 525,088

872,295 185,229 2,679,136 422,033

308,698 58,052 416,677 212,923

96,401 63,180 176,386 60,649

132,708 48,996 357,913 73,994

97,014 84,015 101,357 93,282

17,816 17,479 20,604 16,842

— — — —

260,490 — 401,968 3,865

260,490 — 401,968 3,865

24,132 12,053 94,897 48,741

8,924,501 1,656,803 25,169,313 3,787,303

(644,046 ) (367,477 ) (2,081,905 ) (289,492 )

8,280,455 1,289,326 23,087,408 3,497,811

14,175,088 4,170,927 26,098,671 5,067,338

18,742,178 14,295,144 20,593,255 3,457,977

1,583,910 (37,254 ) 11,541,774 (6,430,754 )

191,268 23,380 522,637 104,012

234,896 123,911 (11,538,433 ) 508,016

(2,923,439 ) (667,651 ) (7,459,400 ) 71,245

708,872 (96,966 ) 4,410,478 (311,987 )

27,231 496 61,723 13,777

326,886 (1,763 ) 6,179,542 (1,429,764 )

18,891,802 13,639,297 24,311,576 (4,017,478 )

$ 33,066,890 $ 17,810,224 $ 50,410,247 $ 1,049,860

The accompanying notes are an integral part of these financial statements. 67

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Changes in Net Assets

Enhanced Income Fund

For the Fiscal
For the Fiscal

Year Ended
Year Ended

March 31, 2011 March 31, 2010

From operations:

Net investment income
$ 12,608,340 $ 12,967,876

Net realized gain (loss) from investment, futures, options and swap transactions
(3,051,376 ) (5,175,043 )

Net change in unrealized gain (loss) on investments, futures, options and swaps
(5,175,240 ) 13,092,773

Net increase in net assets resulting from operations
4,381,724 20,885,606

Distributions to shareholders:

From net investment income

Class A Shares
(3,106,539 ) (2,763,836 )

Class B Shares
(2,995 ) (15,916 )

Class C Shares
— —

Institutional Shares
(9,350,881 ) (10,281,671 )

Administration Shares
(43,678 ) (41,110 )

Service Shares
— —

Class IR Shares^(a)
(9 ) —

Class R Shares
— —

From net realized gains

Class A Shares
— —

Class B Shares
— —

Class C Shares
— —

Institutional Shares
— —

Service Shares
— —

Class IR Shares^(a)
— —

Class R Shares
— —

Total distributions to shareholders
(12,504,102 ) (13,102,533 )

From share transactions:

Proceeds from sales of shares
654,480,790 1,624,662,395

Reinvestment of distributions
9,891,682 11,172,511

Cost of shares redeemed
(1,072,464,895 ) (693,033,379 )

Net increase (decrease) in net assets resulting from share transactions
(408,092,423 ) 942,801,527

TOTAL INCREASE (DECREASE)
(416,214,801 ) 950,584,600

Net assets:

Beginning of year
1,223,736,371 273,151,771

End of year
$ 807,521,570 $ 1,223,736,371

Accumulated undistributed net investment income
$ 847,280 $ 692,920


(a)		Commenced operations on July 30, 2010 for Enhanced Income Fund.

68 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Government Income Fund Inflation Protected Securities Fund

For the Fiscal
For the Fiscal
For the Fiscal
For the Fiscal

Year Ended
Year Ended
Year Ended
Year Ended

March 31, 2011 March 31, 2010 March 31, 2011 March 31, 2010

$ 14,175,088 $ 26,874,405 $ 4,170,927 $ 4,562,630

20,752,252 6,663,390 14,405,181 431,661

(1,860,450 ) 9,579,428 (765,884 ) 2,746,023

33,066,890 43,117,223 17,810,224 7,740,314

(7,591,560 ) (14,174,772 ) (1,202,162 ) (1,410,721 )

(202,418 ) (721,929 ) — —

(312,961 ) (721,345 ) (165,497 ) (178,041 )

(4,740,710 ) (7,425,830 ) (2,402,273 ) (1,849,447 )

— — — —

(1,445,525 ) (2,322,780 ) — —

(10,826 ) (2,624 ) (2,205 ) (2,258 )

(123,067 ) (32,235 ) (7,684 ) (1,796 )

(16,400,382 ) (8,168,166 ) (4,075,397 ) —

(800,894 ) (546,856 ) — —

(1,316,210 ) (594,749 ) (1,100,050 ) —

(8,077,768 ) (3,830,459 ) (5,209,809 ) —

(3,659,282 ) (1,546,942 ) — —

(25,833 ) (3,224 ) (6,632 ) —

(399,030 ) (34,135 ) (32,303 ) —

(45,106,466 ) (40,126,046 ) (14,204,012 ) (3,442,263 )

392,517,386 446,391,884 63,015,716 182,279,632

35,783,508 30,390,479 10,146,808 2,644,124

(485,578,337 ) (536,139,922 ) (105,381,638 ) (49,002,214 )

(57,277,443 ) (59,357,559 ) (32,219,114 ) 135,921,542

(69,317,019 ) (56,366,382 ) (28,612,902 ) 140,219,593

941,734,487 998,100,869 239,691,592 99,471,999

$ 872,417,468 $ 941,734,487 $ 211,078,690 $ 239,691,592

$ 960,195 $ 608,694 $ 713,946 $ 321,623

The accompanying notes are an integral part of these financial statements. 69

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Statements of Changes in Net Assets

Short Duration Government Fund

For the Fiscal
For the Fiscal

Year Ended
Year Ended

March 31, 2011 March 31, 2010

From operations:

Net investment income
$ 26,098,671 $ 48,212,506

Net realized gain (loss) from investment, futures, options and swap transactions
21,119,233 51,061,401

Net change in unrealized gain (loss) on investments, futures, options and swaps
3,192,343 (4,698,637 )

Net increase in net assets resulting from operations
50,410,247 94,575,270

Distributions to shareholders:

From net investment income

Class A Shares
(7,071,214 ) (18,704,864 )

Class B Shares
(832 ) (51,616 )

Class C Shares
(108,193 ) (1,225,533 )

Institutional Shares
(16,412,681 ) (25,664,577 )

Service Shares
(634,331 ) (1,762,344 )

Class IR Shares
(45,463 ) (16,145 )

From net realized gains

Class A Shares
(20,762,540 ) (23,253,713 )

Class B Shares
(35,659 ) (81,035 )

Class C Shares
(2,853,041 ) (2,885,809 )

Institutional Shares
(33,062,542 ) (26,899,793 )

Service Shares
(2,760,684 ) (2,864,628 )

Class IR Shares
(134,462 ) (21,931 )

From capital

Class A Shares
— —

Institutional Shares
— —

Service Shares
— —

Class IR Shares
— —

Total distributions to shareholders
(83,881,642 ) (103,431,988 )

From share transactions:

Proceeds from sales of shares
1,678,386,937 3,928,313,948

Reinvestment of distributions
65,271,987 83,676,730

Cost of shares redeemed
(2,720,285,918 ) (2,200,254,956 )

Net increase (decrease) in net assets resulting from share transactions
(976,626,994 ) 1,811,735,722

TOTAL INCREASE (DECREASE)
(1,010,098,389 ) 1,802,879,004

Net assets:

Beginning of year
3,801,376,006 1,998,497,002

End of year
$ 2,791,277,617 $ 3,801,376,006

Accumulated undistributed (distribution in excess of) net investment income
$ 3,348,848 $ 4,302,863

70 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ENHANCED INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

Income (loss) from

investment operations

Distributions

Net asset

to shareholders

value,
Net
Net realized
Total from
from net

beginning
investment
and unrealized
investment
investment

Year - Share Class of period income^(a) gain (loss) operations income

FOR THE FISCAL YEARS ENDED MARCH 31,

2011 - A
$ 9.67 $ 0.10 $ (0.07 ) $ 0.03 $ (0.10 )

2011 - B
9.66 0.03 (0.08 ) (0.05 ) (0.03 )

2011 - Institutional
9.66 0.13 (0.07 ) 0.06 (0.13 )

2011 - Administration
9.69 0.11 (0.07 ) 0.04 (0.11 )

2011 - IR (Commenced July 30, 2010)
9.62 0.09 (0.04 ) 0.05 (0.09 )

2010 - A
9.51 0.12 0.19 0.31 (0.15 )

2010 - B
9.50 0.07 0.17 0.24 (0.08 )

2010 - Institutional
9.50 0.16 0.18 0.34 (0.18 )

2010 - Administration
9.53 0.14 0.18 0.32 (0.16 )

2009 - A
9.67 0.28 (0.12 ) 0.16 (0.32 )

2009 - B
9.65 0.21 (0.11 ) 0.10 (0.25 )

2009 - Institutional
9.66 0.31 (0.11 ) 0.20 (0.36 )

2009 - Administration
9.68 0.29 (0.11 ) 0.18 (0.33 )

FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*

2008 - A
9.72 0.16 (0.04 ) 0.12 (0.17 )

2008 - B
9.70 0.13 (0.04 ) 0.09 (0.14 )

2008 - Institutional
9.70 0.17 (0.03 ) 0.14 (0.18 )

2008 - Administration
9.72 0.17 (0.04 ) 0.13 (0.17 )

FOR THE FISCAL YEARS ENDED OCTOBER 31,

2007 - A
9.73 0.43 — 0.43 (0.44 )

2007 - B (Commenced June 20, 2007)
9.74 0.13 (0.02 ) 0.11 (0.15 )

2007 - Institutional
9.72 0.47 (0.01 ) 0.46 (0.48 )

2007 - Administration
9.71 0.44 0.02 0.46 (0.45 )

2006 - A
9.68 0.37 0.04 0.41 (0.36 )

2006 - Institutional
9.67 0.40 0.04 0.44 (0.39 )

2006 - Administration
9.67 0.38 0.03 0.41 (0.37 )


*		The Fund changed its fiscal year end from October 31 to March 31.
(a)		Calculated based on the average shares outstanding methodology.
(b)		Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption 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.

72 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ENHANCED INCOME FUND

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^(b) (in 000s) net assets net assets net assets rate

$ 9.60 0.29 % $ 225,355 0.63 % 0.68 % 1.01 % 71 %

9.58 (0.56 ) 929 1.38 1.43 0.26 71

9.59 0.63 578,458 0.29 0.34 1.35 71

9.62 0.38 2,779 0.54 0.59 1.11 71

9.58 0.53 1 0.38 ^(c) 0.43 ^(c) 1.39 ^(c) 71

9.67 3.26 371,906 0.63 0.68 1.25 66

9.66 2.49 1,393 1.38 1.43 0.75 66

9.66 3.62 847,623 0.29 0.34 1.64 66

9.69 3.35 2,814 0.54 0.59 1.45 66

9.51 1.73 48,001 0.59 0.78 2.94 180

9.50 1.08 2,218 1.34 1.53 2.21 180

9.50 2.07 222,638 0.25 0.44 3.30 180

9.53 1.92 295 0.50 0.69 3.04 180

9.67 1.32 40,286 0.58 ^(c) 0.76 ^(c) 3.90 ^(c) 8

9.65 0.91 3,501 1.33 ^(c) 1.51 ^(c) 3.16 ^(c) 8

9.66 1.47 228,300 0.24 ^(c) 0.42 ^(c) 4.26 ^(c) 8

9.68 1.36 266 0.49 ^(c) 0.67 ^(c) 4.29 ^(c) 8

9.72 4.43 40,505 0.61 0.79 4.46 87

9.70 1.16 5,230 1.36 ^(c) 1.54 ^(c) 3.87 ^(c) 87

9.70 4.82 236,210 0.25 0.43 4.82 87

9.72 4.88 254 0.50 0.68 4.40 87

9.73 4.26 36,333 0.62 0.78 3.77 67

9.72 4.66 173,430 0.25 0.41 4.15 67

9.71 4.29 1,703 0.50 0.66 3.91 67

The accompanying notes are an integral part of these financial statements. 73

GOLDMAN SACHS GOVERNMENT INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

Income from
Distributions

investment operations to shareholders

Net asset

value,
Net
Net realized
Total from
From net
From net

beginning
investment
and unrealized
investment
investment
realized
Total

Year - Share Class of period income^(a) gain operations income gains distributions

FOR THE FISCAL YEARS ENDED MARCH 31,

2011 - A
$ 15.18 $ 0.24 $ 0.30 $ 0.54 $ (0.23 ) $ (0.54 ) $ (0.77 )

2011 - B
15.18 0.12 0.31 0.43 (0.12 ) (0.54 ) (0.66 )

2011 - C
15.18 0.12 0.31 0.43 (0.12 ) (0.54 ) (0.66 )

2011 - Institutional
15.16 0.29 0.30 0.59 (0.29 ) (0.54 ) (0.83 )

2011 - Service
15.15 0.21 0.30 0.51 (0.21 ) (0.54 ) (0.75 )

2011 - IR
15.18 0.27 0.30 0.57 (0.27 ) (0.54 ) (0.81 )

2011 - R
15.17 0.19 0.31 0.50 (0.20 ) (0.54 ) (0.74 )

2010 - A
15.14 0.42 0.25 0.67 (0.39 ) (0.24 ) (0.63 )

2010 - B
15.14 0.31 0.24 0.55 (0.27 ) (0.24 ) (0.51 )

2010 - C
15.14 0.30 0.25 0.55 (0.27 ) (0.24 ) (0.51 )

2010 - Institutional
15.12 0.47 0.25 0.72 (0.44 ) (0.24 ) (0.68 )

2010 - Service
15.11 0.39 0.25 0.64 (0.36 ) (0.24 ) (0.60 )

2010 - IR
15.14 0.41 0.30 0.71 (0.43 ) (0.24 ) (0.67 )

2010 - R
15.14 0.33 0.30 0.63 (0.36 ) (0.24 ) (0.60 )

2009 - A
15.07 0.57 0.16 0.73 (0.60 ) (0.06 ) (0.66 )

2009 - B
15.07 0.46 0.15 0.61 (0.48 ) (0.06 ) (0.54 )

2009 - C
15.07 0.46 0.15 0.61 (0.48 ) (0.06 ) (0.54 )

2009 - Institutional
15.05 0.62 0.16 0.78 (0.65 ) (0.06 ) (0.71 )

2009 - Service
15.04 0.54 0.16 0.70 (0.57 ) (0.06 ) (0.63 )

2009 - IR
15.08 0.60 0.15 0.75 (0.63 ) (0.06 ) (0.69 )

2009 - R
15.08 0.52 0.17 0.69 (0.57 ) (0.06 ) (0.63 )

FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*

2008 - A
14.79 0.26 0.28 0.54 (0.26 ) — (0.26 )

2008 - B
14.79 0.22 0.27 0.49 (0.21 ) — (0.21 )

2008 - C
14.78 0.21 0.29 0.50 (0.21 ) — (0.21 )

2008 - Institutional
14.77 0.28 0.28 0.56 (0.28 ) — (0.28 )

2008 - Service
14.76 0.25 0.28 0.53 (0.25 ) — (0.25 )

2008 - IR (Commenced November 30, 2007)
15.02 0.22 0.06 0.28 (0.22 ) — (0.22 )

2008 - R (Commenced November 30, 2007)
15.02 0.20 0.06 0.26 (0.20 ) — (0.20 )

FOR THE FISCAL YEARS ENDED OCTOBER 31,

2007 - A
14.64 0.60 0.13 0.73 (0.58 ) — (0.58 )

2007 - B
14.64 0.50 0.12 0.62 (0.47 ) — (0.47 )

2007 - C
14.63 0.49 0.13 0.62 (0.47 ) — (0.47 )

2007 - Institutional
14.63 0.65 0.13 0.78 (0.64 ) — (0.64 )

2007 - Service
14.61 0.58 0.13 0.71 (0.56 ) — (0.56 )

2006 - A
14.57 0.55 0.08 0.63 (0.56 ) — ^(d) (0.56 )

2006 - B
14.57 0.44 0.08 0.52 (0.45 ) — ^(d) (0.45 )

2006 - C
14.56 0.44 0.08 0.52 (0.45 ) — ^(d) (0.45 )

2006 - Institutional
14.55 0.60 0.09 0.69 (0.61 ) — ^(d) (0.61 )

2006 - Service
14.54 0.53 0.08 0.61 (0.54 ) — ^(d) (0.54 )


*		The Fund changed its fiscal year end from October 31 to March 31.
(a)		Calculated based on the average shares outstanding methodology.
(b)		Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption 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)		Amount is less than $0.005 per share.

74 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS GOVERNMENT INCOME FUND

Ratio of
Portfolio
Portfolio

Net assets,
Ratio of
Ratio of
net investment
turnover rate
turnover rate

Net asset
end of
net expenses
total expenses
income
(including the
(excluding the

value, end
Total
period
to average
to average
to average
effect of mortgage
effect of mortgage

of period return^(b) (in 000s) net assets net assets net assets dollar rolls) dollar rolls)

$ 14.95 3.63 % $ 442,915 0.92 % 0.99 % 1.53 % 545 % 383 %

14.95 2.86 17,358 1.67 1.74 0.79 545 383

14.95 2.86 33,279 1.67 1.74 0.78 545 383

14.92 3.92 266,217 0.58 0.65 1.86 545 383

14.91 3.40 98,072 1.08 1.15 1.36 545 383

14.94 3.89 663 0.67 0.74 1.74 545 383

14.93 3.31 13,913 1.17 1.24 1.24 545 383

15.18 4.48 513,457 0.92 1.00 2.74 366 280

15.18 3.70 29,438 1.67 1.75 2.02 366 280

15.18 3.68 39,255 1.67 1.75 1.99 366 280

15.16 4.84 253,997 0.58 0.66 3.06 366 280

15.15 4.32 100,242 1.08 1.16 2.56 366 280

15.18 4.67 239 0.67 0.75 2.68 366 280

15.17 4.22 5,106 1.17 1.25 2.21 366 280

15.14 5.00 574,520 0.92 0.98 3.84 386 373

15.14 4.22 45,916 1.67 1.73 3.10 386 373

15.14 4.19 42,004 1.67 1.73 3.07 386 373

15.12 5.37 245,475 0.58 0.64 4.21 386 373

15.11 4.85 90,132 1.08 1.14 3.66 386 373

15.14 5.19 11 0.67 0.73 4.06 386 373

15.14 4.85 43 1.17 1.23 3.55 386 373

15.07 3.63 512,301 0.90 ^(c) 0.99 ^(c) 4.20 ^(c) 161 119

15.07 3.31 50,078 1.65 ^(c) 1.74 ^(c) 3.46 ^(c) 161 119

15.07 3.37 30,010 1.65 ^(c) 1.74 ^(c) 3.44 ^(c) 161 119

15.05 3.79 300,342 0.56 ^(c) 0.65 ^(c) 4.56 ^(c) 161 119

15.04 3.57 59,449 1.06 ^(c) 1.15 ^(c) 4.03 ^(c) 161 119

15.08 1.85 10 0.66 ^(c) 0.78 ^(c) 4.24 ^(c) 161 119

15.08 1.65 10 1.16 ^(c) 1.28 ^(c) 3.86 ^(c) 161 119

14.79 5.13 434,917 0.94 1.02 4.11 141 117

14.79 4.34 49,393 1.69 1.77 3.44 141 117

14.78 4.35 22,078 1.69 1.77 3.37 141 117

14.77 5.45 323,764 0.58 0.66 4.49 141 117

14.76 5.00 45,154 1.08 1.16 3.99 141 117

14.64 4.40 432,762 0.95 1.04 3.77 766 690

14.64 3.62 18,713 1.70 1.79 3.03 766 690

14.63 3.63 16,931 1.70 1.79 3.04 766 690

14.63 4.86 146,784 0.58 0.67 4.18 766 690

14.61 4.27 23,461 1.08 1.17 3.67 766 690

The accompanying notes are an integral part of these financial statements. 75

GOLDMAN SACHS INFLATION PROTECTED 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 (loss) gain (loss) operations income gains capital distributions

FOR THE FISCAL YEARS ENDED MARCH 31,

2011 - A
$ 10.89 $ 0.19 ^(b) $ 0.61 $ 0.80 $ (0.17 ) $ (0.57 ) $ — $ (0.74 )

2011 - C
10.93 0.11 ^(b) 0.61 0.72 (0.09 ) (0.57 ) — (0.66 )

2011 - Institutional
10.93 0.22 ^(b) 0.62 0.84 (0.21 ) (0.57 ) — (0.78 )

2011 - IR
10.91 0.22 ^(b) 0.61 0.83 (0.20 ) (0.57 ) — (0.77 )

2011 - R
10.91 0.17 ^(b) 0.61 0.78 (0.14 ) (0.57 ) — (0.71 )

2010 - A
10.51 0.31 ^(b) 0.29 0.60 (0.22 ) — — (0.22 )

2010 - C
10.54 0.21 ^(b) 0.32 0.53 (0.14 ) — — (0.14 )

2010 - Institutional
10.54 0.33 ^(b) 0.32 0.65 (0.26 ) — — (0.26 )

2010 - IR
10.53 0.23 ^(b) 0.40 0.63 (0.25 ) — — (0.25 )

2010 - R
10.53 0.20 ^(b) 0.37 0.57 (0.19 ) — — (0.19 )

2009 - A
11.07 0.04 (0.35 ) (0.31 ) (0.09 ) (0.02 ) (0.14 ) (0.25 )

2009 - C
11.11 (0.06 ) (0.34 ) (0.40 ) (0.06 ) (0.02 ) (0.09 ) (0.17 )

2009 - Institutional
11.11 0.01 (0.29 ) (0.28 ) (0.11 ) (0.02 ) (0.16 ) (0.29 )

2009 - IR
11.09 0.15 (0.43 ) (0.28 ) (0.11 ) (0.02 ) (0.15 ) (0.28 )

2009 - R
11.09 0.11 (0.44 ) (0.33 ) (0.08 ) (0.02 ) (0.13 ) (0.23 )

FOR THE PERIOD ENDED MARCH 31,

2008 - A (Commenced August 31, 2007)
10.00 0.27 ^(b) 0.93 1.20 (0.13 ) — — (0.13 )

2008 - C (Commenced August 31, 2007)
10.00 0.29 ^(b) 0.91 1.20 (0.09 ) — — (0.09 )

2008 - Institutional (Commenced August 31, 2007)
10.00 0.24 ^(b) 1.02 1.26 (0.15 ) — — (0.15 )

2008 - IR (Commenced November 30, 2007)
10.56 0.17 ^(b) 0.46 0.63 (0.10 ) — — (0.10 )

2008 - R (Commenced November 30, 2007)
10.56 0.16 ^(b) 0.45 0.61 (0.08 ) — — (0.08 )


(a)		Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized.
(b)		Calculated based on the average shares outstanding methodology.
(c)		Annualized.

76 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS INFLATION PROTECTED 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
period
to average
to average
to average
turnover

of period return^(a) (in 000s) net assets net assets net assets rate

$ 10.95 7.53 % $ 79,215 0.67 % 0.83 % 1.71 % 211 %

10.99 6.72 22,111 1.42 1.58 0.96 211

10.99 7.88 108,491 0.33 0.49 1.99 211

10.97 7.80 116 0.42 0.58 1.93 211

10.98 7.36 1,145 0.92 1.08 1.50 211

10.89 5.76 83,263 0.67 0.91 2.88 82

10.93 5.05 21,962 1.42 1.66 1.91 82

10.93 6.20 133,980 0.33 0.57 3.05 82

10.91 6.01 125 0.42 0.66 2.15 82

10.91 5.49 361 0.92 1.16 1.86 82

10.51 (2.68 ) 45,855 0.67 1.19 0.41 44

10.54 (3.49 ) 6,890 1.42 1.94 (0.57 ) 44

10.54 (2.33 ) 46,706 0.33 0.85 (0.25 ) 44

10.53 (2.45 ) 10 0.42 0.94 1.44 44

10.53 (2.90 ) 11 0.92 1.44 1.01 44

11.07 12.09 20,155 0.67 ^(c) 4.22 ^(c) 4.37 ^(c) 1

11.11 12.02 3,031 1.42 ^(c) 4.97 ^(c) 4.61 ^(c) 1

11.11 12.62 11,765 0.32 ^(c) 3.87 ^(c) 3.95 ^(c) 1

11.09 5.98 11 0.42 ^(c) 4.68 ^(c) 4.80 ^(c) 1

11.09 5.81 11 0.92 ^(c) 5.18 ^(c) 4.31 ^(c) 1

The accompanying notes are an integral part of these financial statements. 77

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

Income from
Distributions

investment operations to shareholders

Net asset

value,
Net
Net realized
Total from
From net
From net

beginning
investment
and unrealized
investment
investment
realized
Total

Year - Share Class of period income^(a) gain operations income gains distributions

FOR THE FISCAL YEARS ENDED MARCH 31,

2011 - A
$ 10.37 $ 0.06 $ 0.06 $ 0.12 $ (0.06 ) $ (0.20 ) $ (0.26 )

2011 - B
10.33 0.01 0.06 0.07 — ^(c) (0.20 ) (0.20 )

2011 - C
10.30 0.01 0.07 0.08 (0.01 ) (0.20 ) (0.21 )

2011 - Institutional
10.33 0.10 0.06 0.16 (0.09 ) (0.20 ) (0.29 )

2011 - Service
10.32 0.05 0.06 0.11 (0.04 ) (0.20 ) (0.24 )

2011 - IR
10.37 0.09 0.06 0.15 (0.08 ) (0.20 ) (0.28 )

2010 - A
10.36 0.16 0.19 0.35 (0.17 ) (0.17 ) (0.34 )

2010 - B
10.32 0.11 0.17 0.28 (0.10 ) (0.17 ) (0.27 )

2010 - C
10.30 0.08 0.18 0.26 (0.09 ) (0.17 ) (0.26 )

2010 - Institutional
10.33 0.19 0.18 0.37 (0.20 ) (0.17 ) (0.37 )

2010 - Service
10.31 0.14 0.19 0.33 (0.15 ) (0.17 ) (0.32 )

2010 - IR
10.36 0.16 0.21 0.37 (0.19 ) (0.17 ) (0.36 )

2009 - A
10.14 0.27 0.31 0.58 (0.31 ) (0.05 ) (0.36 )

2009 - B
10.10 0.22 0.30 0.52 (0.25 ) (0.05 ) (0.30 )

2009 - C
10.07 0.19 0.33 0.52 (0.24 ) (0.05 ) (0.29 )

2009 - Institutional
10.11 0.31 0.31 0.62 (0.35 ) (0.05 ) (0.40 )

2009 - Service
10.09 0.25 0.32 0.57 (0.30 ) (0.05 ) (0.35 )

2009 - IR
10.14 0.30 0.31 0.61 (0.34 ) (0.05 ) (0.39 )

FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*

2008 - A
9.79 0.17 0.34 0.51 (0.16 ) — (0.16 )

2008 - B
9.76 0.15 0.32 0.47 (0.13 ) — (0.13 )

2008 - C
9.73 0.14 0.33 0.47 (0.13 ) — (0.13 )

2008 - Institutional
9.77 0.18 0.33 0.51 (0.17 ) — (0.17 )

2008 - Service
9.75 0.16 0.33 0.49 (0.15 ) — (0.15 )

2008 - IR (Commenced November 30, 2007)
9.91 0.15 0.21 0.36 (0.13 ) — (0.13 )

FOR THE FISCAL YEARS ENDED OCTOBER 31,

2007 - A
9.67 0.37 0.12 0.49 (0.37 ) — (0.37 )

2007 - B
9.64 0.32 0.11 0.43 (0.31 ) — (0.31 )

2007 - C
9.61 0.30 0.11 0.41 (0.29 ) — (0.29 )

2007 - Institutional
9.64 0.41 0.12 0.53 (0.40 ) — (0.40 )

2007 - Service
9.63 0.36 0.11 0.47 (0.35 ) — (0.35 )

2006 - A
9.65 0.33 0.03 0.36 (0.34 ) — (0.34 )

2006 - B
9.62 0.26 0.05 0.31 (0.29 ) — (0.29 )

2006 - C
9.59 0.26 0.03 0.29 (0.27 ) — (0.27 )

2006 - Institutional
9.63 0.37 0.02 0.39 (0.38 ) — (0.38 )

2006 - Service
9.61 0.32 0.03 0.35 (0.33 ) — (0.33 )


*		The Fund changed its fiscal year end from October 31 to March 31.
(a)		Calculated based on the average shares outstanding methodology.
(b)		Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption 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)		Annualized.

78 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND

Ratio of
Portfolio
Portfolio

Net assets,
Ratio of
Ratio of
net investment
turnover rate
turnover rate

Net asset
end of
net expenses
total expenses
income
(including the
(excluding the

value, end
Total
period
to average
to average
to average
effect of mortgage
effect of mortgage

of period return^(b) (000s) net assets net assets net assets dollar rolls) dollar rolls)

$ 10.23 1.11 % $ 1,013,335 0.82 % 0.87 % 0.61 % 312 % 255 %

10.20 0.69 1,033 1.35 1.62 0.09 312 255

10.17 0.74 126,533 1.31 1.62 0.12 312 255

10.20 1.56 1,512,908 0.48 0.53 0.95 312 255

10.19 1.05 128,073 0.98 1.03 0.45 312 255

10.24 1.46 9,395 0.57 0.62 0.85 312 255

10.37 3.38 1,503,139 0.84 0.88 1.53 175 166

10.33 2.78 3,797 1.44 1.63 1.05 175 166

10.30 2.53 179,424 1.59 1.63 0.80 175 166

10.33 3.64 1,921,023 0.50 0.54 1.84 175 166

10.32 3.23 190,628 1.00 1.04 1.31 175 166

10.37 3.64 3,366 0.59 0.63 1.54 175 166

10.36 5.90 933,942 0.86 0.91 2.63 308 307

10.32 5.29 5,698 1.46 1.66 2.01 308 307

10.30 5.25 122,944 1.61 1.66 1.84 308 307

10.33 6.28 850,831 0.52 0.57 3.11 308 307

10.31 5.76 85,020 1.02 1.07 2.43 308 307

10.36 6.16 62 0.61 0.66 2.99 308 307

10.14 5.23 393,830 0.88 ^(d) 0.94 ^(d) 4.11 ^(d) 61 55

10.10 4.88 7,975 1.48 ^(d) 1.69 ^(d) 3.52 ^(d) 61 55

10.07 4.83 40,967 1.63 ^(d) 1.69 ^(d) 3.36 ^(d) 61 55

10.11 5.29 761,654 0.53 ^(d) 0.59 ^(d) 4.44 ^(d) 61 55

10.09 5.08 8,429 1.03 ^(d) 1.09 ^(d) 3.96 ^(d) 61 55

10.14 3.67 10 0.63 ^(d) 0.69 ^(d) 4.30 ^(d) 61 55

9.79 5.25 303,073 0.90 0.97 3.85 102 96

9.76 4.65 9,263 1.50 1.71 3.26 102 96

9.73 4.51 29,944 1.65 1.72 3.10 102 96

9.77 5.77 630,240 0.54 0.61 4.23 102 96

9.75 5.14 8,141 1.04 1.10 3.68 102 96

9.67 3.84 323,915 0.91 0.99 3.35 100 100

9.64 3.24 14,433 1.51 1.74 2.73 100 100

9.61 3.09 41,691 1.66 1.74 2.59 100 100

9.64 4.13 468,033 0.54 0.62 3.72 100 100

9.63 3.72 12,177 1.04 1.12 3.22 100 100

The accompanying notes are an integral part of these financial statements. 79

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Period

Income (loss) from

investment operations

Distributions

Net asset

to shareholders

value,
Net
Net realized
Total from
from net

beginning
investment
and unrealized
investment
investment

Year - Share Class of period income^(a) gain (loss) operations income

FOR THE FISCAL YEARS ENDED MARCH 31,

2011 - A
$ 8.86 $ 0.06 $ (0.06 ) $ — $ (0.05 )^(c)

2011 - Institutional
8.86 0.09 (0.05 ) 0.04 (0.08 )^(c)

2011 - Service
8.90 0.04 (0.04 ) — (0.04 )^(c)

2011 - IR
8.85 0.08 (0.05 ) 0.03 (0.07 )^(c)

2010 - A
8.77 0.10 0.16 0.26 (0.17 )^(c)

2010 - Institutional
8.77 0.13 0.16 0.29 (0.20 )^(c)

2010 - Service
8.81 0.11 0.13 0.24 (0.15 )^(c)

2010 - IR
8.76 0.10 0.18 0.28 (0.19 )^(c)

2009 - A
9.14 0.30 (0.32 ) (0.02 ) (0.35 )

2009 - Institutional
9.14 0.34 (0.33 ) 0.01 (0.38 )

2009 - Service
9.18 0.29 (0.33 ) (0.04 ) (0.33 )

2009 - IR
9.14 0.34 (0.35 ) (0.01 ) (0.37 )

FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*

2008 - A
9.28 0.15 (0.12 ) 0.03 (0.17 )

2008 - Institutional
9.28 0.16 (0.12 ) 0.04 (0.18 )

2008 - Service
9.32 0.15 (0.13 ) 0.02 (0.16 )

2008 - IR (Commenced November 30, 2007)
9.26 0.12 (0.10 ) 0.02 (0.14 )

FOR THE FISCAL YEARS ENDED OCTOBER 31,

2007 - A
9.27 0.36 0.10 0.46 (0.45 )

2007 - Institutional
9.27 0.39 0.10 0.49 (0.48 )

2007 - Service
9.31 0.35 0.09 0.44 (0.43 )

2006 - A
9.27 0.32 0.05 0.37 (0.37 )

2006 - Institutional
9.28 0.35 0.05 0.40 (0.41 )

2006 - Service
9.31 0.31 0.05 0.36 (0.36 )


*		The Fund changed its fiscal year end from October 31 to March 31.
(a)		Calculated based on the average shares outstanding methodology.
(b)		Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption 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)		Includes a return of capital amounting to less than $0.005 per share.
(d)		Annualized.

80 The accompanying notes are an integral part of these financial statements.

GOLDMAN SACHS ULTRA-SHORT DURATION GOVERNMENT FUND

The accompanying notes are an integral part of these financial statements. 81

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements

March 31, 2011


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*	Non-diversified

Enhanced Income	A, B, Institutional, Administration and IR	Diversified


Government Income	A, B, C, Institutional, Service, IR and R	Diversified


Inflation Protected Securities	A, C, Institutional, IR and R	Diversified


Short Duration Government	A, B, C, Institutional, Service and IR	Diversified


Ultra-Short Duration Government	A, Institutional, Service and IR	Diversified


*		Class B Shares are generally no longer available for purchase by current or prospective investors.

Class A Shares of the Enhanced Income, Government Income, Inflation Protected Securities, Short Duration Government and Ultra-Short Duration Government Funds are sold with a front-end sales charge of up to 1.50%, 3.75%, 3.75%, 1.50% and 1.50%, respectively. Class B Shares were sold with a contingent deferred sales charge that declines from 5.00% to zero (2.00% to zero for Short Duration Government Fund), 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. Effective September 30, 2010, the contingent deferred sales charge on Class C Shares of the Short Duration Government Fund was reduced to 0.65%. Institutional, Administration, Service, Class IR and Class R Shares are not subject to a sales charge. Class IR Shares of the Enhanced Income Fund commenced operations on July 30, 2010.

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser to each Fund pursuant to a management agreement (each, an “Agreement”) with the Trust.


2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that may affect the amounts and disclosures in the financial statements. Actual results could differ from those estimates and assumptions.

A. Investment Valuation — The investment valuation policy of the Funds is to value investments at market value. Debt securities for which market quotations are readily available are valued on the basis of quotations furnished by an independent pricing service approved by the trustees or provided by securities dealers. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. If accurate quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined based on yield equivalents, a pricing matrix or other sources, under valuation procedures

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

established by the trustees. 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.

Investments in equity securities and investment companies traded on a United States (“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. 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. 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. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share (“NAV”) of the investment company on the valuation date.

GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the previous closing prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Funds’ NAV. Significant events that could affect a large number of securities in a particular market may include, but are not limited to: situations relating to one or more single issuers in a market sector; significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions or market closings; equipment failures; natural or man-made disasters or acts of God; armed conflicts; government actions or other developments; as well as the same or similar events which may affect specific issuers or the securities markets even though not tied directly to the securities markets. Other significant events that could relate to a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; corporate announcements, including those relating to earnings, products and regulatory news; significant litigation; low trading volume; and trading limits or suspensions.

B. Security and Fund Share Transactions, and Investment Income — Security and Fund share transactions are reflected for financial reporting purposes as of the trade date, which may cause the NAV as stated in the accompanying financial statements to be different than the NAV applied to Fund share transactions. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recognized on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted. Realized gains and losses resulting from principal paydowns on mortgage-backed and asset-backed securities are included in interest income. Market discounts, original issue discount 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.

C. Expenses — Expenses incurred by the Funds, which may not specifically relate to the Funds, may be shared with other registered investment companies having management agreements with GSAM or its affiliates, as appropriate. These expenses are allocated to the Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses and are accrued daily. Non-class specific expenses are allocated daily to each share class of the respective Fund based upon the relative proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agent, and Service fees.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Funds are not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly, and capital gains distributions, if any are declared and paid annually.

Net capital losses are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.

The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain or capital. The Funds’ certain components of net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.

E. 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.

F. Mortgage-Backed and Asset-Backed Securities — The Funds 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-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

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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, periodic adjustments are recorded to reduce the cost of the security through 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.

G. Mortgage Dollar Rolls — Certain Funds may enter into mortgage dollar rolls (“dollar rolls”) in which the Funds sell 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 Funds treat 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 Funds 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 Funds 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 Funds’ use of proceeds from the transaction may be restricted pending a determination by, or with respect to, the other counterparty.

H. Options — When the Funds write call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current market value of the option written. Swaptions are options on interest rate swap contracts. Options on a futures contract may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. When a written option expires on its stipulated expiration date or the Funds enter into a closing purchase transaction, the Funds realize a gain or loss without regard to any unrealized gain or loss on the underlying future, swap, security or currency transaction, and the liability related to such option is extinguished. When a written call option is exercised, the Funds realize a gain or loss from the sale of the underlying future, swap, security or currency transaction, and the proceeds of the sale are increased by the premium originally received. When a written put option is exercised, the amount of the premium originally received will reduce the cost of the future, swap, security or currency transaction that the Funds purchase upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received. The Funds must set aside liquid assets, or engage in other appropriate measures to cover their obligations under written option contracts.

Upon the purchase of a call option or a put option by the Funds, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current market value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied voluntary parameters at specified terms. If an option which the Funds have purchased expires on the stipulated expiration date, the Funds will realize a loss in the amount of the cost of the option. If the Funds enter into a closing sale transaction, the Funds will realize a gain or loss, depending on whether the sale proceeds for the closing sale transaction are greater or less than the cost of the option. If the Funds exercise a purchased put option, the Funds will realize a gain or loss from the sale of the underlying future, swap, security or currency transaction, and the proceeds from such sale will be decreased by the premium originally paid. If the Funds exercise a purchased call option, the cost of the future, swap, security or currency transaction which the Funds purchase upon exercise will be increased by the premium originally paid. Purchased over the counter options are subject to the risk that the counterparty may default on its obligations, which could result in a loss to the Funds.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

I. Repurchase Agreements — The Funds 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 Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds seek to assert their rights. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.

Pursuant to exemptive relief granted by the Securities and Exchange Commission and terms and conditions contained therein, the Funds, together with other registered investment companies having management agreements with GSAM, or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds’ credit exposure is allocated to the underlying repurchase agreements counterparties on a pro-rata basis. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.

J. 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 Fund, 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, GSAM considers 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 is 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

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


2. SIGNIFICANT ACCOUNTING POLICIES (continued)

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 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, a 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.

K. Treasury Inflation Protected Securities — The Funds 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.

L. When-Issued Securities and Forward Commitments — The Funds may purchase when-issued securities, including TBA (“To Be Announced”) securities that have been authorized, but not yet issued in the market. When-issued securities are purchased in order to secure what is considered to be an advantageous price or yield to the Fund at the time of entering into the transaction. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended delivery basis, for a fixed price at a future date. 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 the Funds will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for their portfolios, the Funds may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss. When purchasing a security on a when-issued basis or entering into a forward commitment, the Funds must “set aside” liquid assets, or engage in other appropriate measures to “cover” their obligations under these contracts.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


3. FAIR VALUE OF INVESTMENTS

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

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 and derivatives categorized in the fair value hierarchy as of March 31, 2011:


ENHANCED INCOME
Investment Type	Level 1		Level 2		Level 3

Assets
Fixed Income
Corporate Obligations	$	—	$	416,494,728	$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		55,774,580		3,022,236		—
Asset-Backed Securities		—		67,821,050		—
Foreign Debt Obligations		—		34,411,418		—
Government Guarantee Obligations		—		141,110,079		—
Short-term Investments		—		79,850,000		—


Total	$	55,774,580	$	742,709,511	$	—


Derivative Type	Level 1			Level 2		Level 3

Assets
Futures Contracts*	$	127,894		$	—	$	—
Credit Default Swap Contracts		—			111,281		—


Total	$	127,894		$	111,281	$	—


Liabilities
Futures Contracts*	$	(3,632,912	)	$	—	$	—

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


3. FAIR VALUE OF INVESTMENTS (continued)


INFLATION PROTECTED SECURITIES
Investment type	Level 1		Level 2		Level 3

Assets
Fixed Income
Corporate Obligations	$	—	$	3,798,157	$	—
U.S. Treasury Obligations		201,824,209		—		—
Government Guarantee Obligations		—		2,968,431		—
Short-term Investments		—		6,900,000		—


Total	$	201,824,209	$	13,666,588	$	—


Derivative Type	Level 1			Level 2			Level 3

Assets
Futures Contracts*	$	70,429		$	—		$	—
Interest Rate Swap Contracts		—			226,735			—


Total	$	70,429		$	226,735		$	—


Liabilities
Futures Contracts*	$	(197,590	)	$	—		$	—
Interest Rate Swaption Contracts		—			(50,754	)		—


Total	$	(197,590	)	$	(50,754	)	$	—


SHORT DURATION GOVERNMENT
Investment Type	Level 1		Level 2		Level 3

Assets
Fixed Income
Mortgage-Backed Obligations	$	—	$	644,542,345	$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		1,065,230,016		484,919,419		—
Government Guarantee Obligations		—		530,136,766		—
Short-term Investments		—		165,500,000		—


Total	$	1,065,230,016	$	1,825,098,530	$	—

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


3. FAIR VALUE OF INVESTMENTS (continued)


Derivative Type	Level 1			Level 2			Level 3

Assets
Futures Contracts*	$	3,674,309		$	—		$	—
Interest Rate Swap Contracts		—			29,633,092			—


Total	$	3,674,309		$	29,633,092		$	—


Liabilities
Futures Contracts*	$	(10,862	)	$	—		$	—
Interest Rate Swap Contracts		—			(20,552,949	)		—
Interest Rate Swaption Contracts		—			(678,627	)		—


Total	$	(10,862	)	$	(21,231,576	)	$	—


ULTRA-SHORT DURATION GOVERNMENT
Investment Type	Level 1		Level 2		Level 3

Assets
Fixed Income
Mortgage-Backed Obligations	$	—	$	120,383,947	$	—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		71,166,078		26,170,703		—
Asset-Backed Securities		—		65,150,161		—
Government Guarantee Obligations		—		97,015,504		—
Short-term Investments		—		35,600,000		—


Total	$	71,166,078	$	344,320,315	$	—


Derivative Type	Level 1			Level 2			Level 3

Assets
Futures Contracts*	$	71,045		$	—		$	—
Interest Rate Swap Contracts		—			3,182,878			—


Total	$	71,045		$	3,182,878		$	—


Liabilities
Futures Contracts*	$	(225,704	)	$	—		$	—
Interest Rate Swap Contracts		—			(3,709,190	)		—
Interest Rate Swaption Contracts		—			(149,663	)		—


Total	$	(225,704	)	$	(3,858,853	)	$	—


*		Amount shown represents unrealized gain (loss) at period end.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


4. 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 accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.

For the fiscal year ended March 31, 2011, 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

Enhanced Income		0.25	%		0.23	%		0.22	%		0.22	%		0.22	%		0.25	%		0.20	%*


Government Income		0.54			0.49			0.47			0.46			0.45			0.54			0.54


Inflation Protected Securities		0.33			0.30			0.28			0.27			0.26			0.33			0.25	*


Short Duration Government		0.50			0.45			0.43			0.42			0.41			0.46			0.44	†


Ultra-Short Duration Government		0.40			0.36			0.34			0.33			0.32			0.40			0.38	†


*		GSAM agreed to waive a portion of its management fee in order to achieve the effective net management rates shown above through at least July 29, 2011. Prior to such date GSAM may not terminate the arrangement without the approval of the trustees.
†		Effective November 1, 2010, GSAM has voluntarily agreed to waive a portion of its management fee equal on an annualized basis to 0.05% of each of the Short Duration Government Fund’s and Ultra-Short Duration Government Fund’s average daily net assets. These management fee waivers are temporary and may be modified or terminated at any time at the option of GSAM, without shareholder approval.

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 (the “Distributor”), is entitled to a fee, accrued 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 as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

Goldman Sachs has agreed to waive a portion of the distribution and service fees applicable to the Short Duration Government Fund’s Class B Shares in an amount equal to a minimum of 0.15% of the average daily net assets. Goldman Sachs has also agreed to waive a portion of the distribution and service fees applicable to the Short Duration Government Fund’s Class C Shares (effective September 30, 2010), in an amount equal to a minimum of 0.35% of the average daily net assets attributable to Class C Shares. These arrangements will remain in place through at least July 29, 2011, and prior to such date Goldman Sachs may not terminate these arrangements without the approval of the trustees.

For the fiscal year ended March 31, 2011, Goldman Sachs waived a portion of the distribution and service fees equal to 0.22% and 0.26% of the average daily net assets attributable to the Class B and Class C Shares of the Short Duration Government Fund, respectively.

C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A front end sales charge and Class B and Class C contingent deferred sales charges. During the fiscal year ended March 31, 2011, 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

Enhanced Income	$	3,600	$	—		N/A


Government Income		21,800		—	$	—


Inflation Protected Securities		25,100		N/A		—


Short Duration Government		38,500		—		—	*


Ultra-Short Duration Government		3,300		N/A		N/A


*		Amount is less than $100.

D. Service Plan, Shareholder Administration Plan and Administration Plan — The Trust, on behalf of each Fund that offers Service Shares, has adopted a Service Plan and a Shareholder Administration Plan. In addition, the Trust, on behalf of the Enhanced Income Fund, has adopted an Administration Plan for Administration Shares. These plans allow service organizations to provide 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 which is accrued daily and paid monthly at an annual rate of 0.25% (0.50% in aggregate) of the average daily net assets of the Service Shares. The Administration Plan provides compensation to the service organizations in an amount equal to, on an annual basis, 0.25% of the average daily net assets of the Administration 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 accrued daily and paid monthly at an annual rate as follows: 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 the average daily net assets for Institutional, Administration and Service Shares.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expense” of the Funds (excluding management fees, distribution and service fees, transfer agent fees and expenses, service fees and shareholder administration fees (as applicable), Administration Share fees (as applicable), taxes, interest, brokerage fees and litigation, indemnification, shareholder meetings and other extraordinary expenses, exclusive of any custody and transfer agent fee credit reductions) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued 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 for Enhanced Income, Government Income, Inflation Protected Securities, Short Duration Government and Ultra-Short Duration Government Funds as an annual percentage rate of average daily net assets are 0.064%, 0.004%, 0.044%, 0.004% and 0.054%, respectively. These Other Expense reimbursements will remain in place through at least July 29, 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 the transfer agent, which may result in a reduction of the Funds’ expenses.

For the fiscal year ended March 31, 2011, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows (in thousands):


	Fee Waivers
			Class B		Class C					Other		Total
	Management		Distribution and		Distribution and		Custody			Expense		Expense
Fund	Fees		Service Fees		Service Fees		Fee Credits			Reimbursements		Reductions

Enhanced Income	$	508	$	—		N/A	$	2		$	—	$	510


Government Income		—		—	$	—		5			639		644


Inflation Protected Securities		186		N/A		—		—	*		181		367


Short Duration Government		628		5		415		12			1,022		2,082


Ultra-Short Duration Government		95		N/A		N/A		2			192		289


*		Amount is less than $500.

As of March 31, 2011, the amounts owed to affiliates of the Funds were as follows (in thousands):


			Distribution
	Management		and Service		Transfer
Fund	Fees		Fees		Agent Fees		Total

Enhanced Income	$	136	$	49	$	45	$	230


Government Income		400		145		69		614


Inflation Protected Securities		43		35		15		93


Short Duration Government		1,008		289		187		1,484


Ultra-Short Duration Government		126		27		24		177

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)

G. Line of Credit Facility — As of March 31, 2011, 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 March 31, 2011, the Funds did not have any borrowings under the facility.

H. Other Transactions with Affiliates — For the fiscal year ended March 31, 2011, Goldman Sachs earned approximately $51,800, $60,100, $7,700, $254,300 and $41,000 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Enhanced Income, Government Income, Inflation Protected Securities, Short Duration Government and Ultra-Short Duration Government Funds, respectively.

As of March 31, 2011, the Goldman Sachs Balanced Strategy Portfolio was the beneficial owner of approximately 5% of the total outstanding shares of the Short Duration Government Fund.

As of March 31, 2011, Goldman Sachs Group, Inc. was the beneficial owner of approximately 100% and 10% of the Class IR Shares of the Enhanced Income and Inflation Protected Securities Funds, respectively.


5. INVESTMENTS IN DERIVATIVES

The Funds may make investments in derivative instruments, including, but not limited to options, futures, swaps, swaptions 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.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


5. INVESTMENTS IN DERIVATIVES (continued)

During the fiscal year ended March 31, 2011, the Funds entered into certain derivative contract types. These instruments were used to meet the Funds’ investment objectives and to manage exposure related to the risks below. The following tables set forth, by certain risk types, the gross value of these derivative contracts for trading activities as of March 31, 2011. 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.

Enhanced Income

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Due from broker — variation margin

127,894^(a

⁾

Due to broker — variation margin

3,632,912^(a

⁾

Credit

Receivables for swap contracts, at value

111,281

—

Total

239,175

3,632,912

Government Income

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Receivable for swap contracts, at value; Due from broker — variation margin

5,012,667

^(a)

Options written, at value; Payables for swap contracts, at value; Due to broker — variation margin

(4,514,957

)^(a)(b)

Inflation Protected Securities

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Receivables for swap contracts, at value; Due from broker — variation margin

297,164^(a

⁾

Options written at value; Due to broker — variation margin

(248,344

)^(a)

Short Duration Government

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Receivable for swap contracts, at value; Due from broker — variation margin

33,307,401^(a

⁾

Payables for swap contracts, at value; Options written, at value; Due to broker — variation margin

(21,242,438

)^(a)(b)

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


5. INVESTMENTS IN DERIVATIVES (continued)

Ultra-Short Duration Government

Statements of Assets

and Liabilities

Risk

Location

Assets

Location

Liabilities

Interest rate

Receivable for swap contracts, at value; Due from broker — variation margin

3,253,923

^(a)

Options written, at value; Payables for swap contracts, at value; Due to broker — variation margin

(4,084,557

)^(a)(b)


(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 of amounts include $3,402,363, $20,552,949 and $3,709,190 for Government Income, Short Duration Government and Ultra-Short Duration Government Funds, respectively, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, their failure to pay on their obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return.

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


5. INVESTMENTS IN DERIVATIVES (continued)

The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended March 31, 2011. These gains (losses) should be considered in the context that these derivative contracts may have been executed to economically hedge certain securities, and accordingly, certain gains (losses) on such derivative contracts may offset certain (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:

Enhanced Income

Net

Net Change in

Average

Realized

Unrealized

Number of

Risk

Statements of Operations Location

Gain (Loss)

Contracts^(a)

Interest rate

Net realized gain (loss) from futures transactions/Net change in unrealized gain (loss) on futures

(6,402,830

)

(3,951,801

)

2,872

Credit

Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts

56,010

82,527

Total

(6,346,820

)

(3,869,274

)

2,874

Government Income

Net

Net Change in

Average

Realized

Unrealized

Number of

Risk

Statements of Operations Location

Gain (Loss)

Contracts^(a)

Interest rate

Net realized gain (loss) from futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options

2,010,074

1,062,989

1,513

Inflation Protected Securities

Net

Net Change in

Average

Realized

Unrealized

Number of

Risk

Statements of Operations Location

Gain (Loss)

Contracts^(a)

Interest rate

Net realized gain (loss) from futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options

110,037

(98,233

)

327

Short Duration Government

Net

Net Change in

Average

Realized

Unrealized

Number of

Risk

Statements of Operations Location

Gain (Loss)

Contracts^(a)

Interest rate

Net realized gain (loss) from futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options

525,978

10,651,743

10,285

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


5. INVESTMENTS IN DERIVATIVES (continued)

Ultra-Short Duration Government

Net

Net Change in

Average

Realized

Unrealized

Number of

Risk

Statements of Operations Location

Gain (Loss)

Contracts^(a)

Interest rate

Net realized gain (loss) from futures transactions, swap contracts and written options/Net change in unrealized gain (loss) on futures, swap contracts and written options

(5,818,726

)

(1,727,974

)

1,287


(a)		Average number of contracts is based on the average of month end balances for the fiscal year ended March 31, 2011.


6. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended March 31, 2011, were as follows:


					Sales and		Sales and
	Purchases of		Purchases (Excluding		Maturities of		Maturities (Excluding
	U.S. Government and		U.S. Government and		U.S. Government and		U.S. Government and
Fund	Agency Obligations		Agency Obligations)		Agency Obligations		Agency Obligations)

Enhanced Income	$	273,711,386	$	391,258,974	$	361,477,682	$	636,059,739


Government Income		4,811,884,833		57,751,761		4,877,501,599		72,572,469


Inflation Protected Securities		464,653,917		10,148,429		500,213,918		3,349,720


Short Duration Government		9,983,386,375		381,461,730		10,277,917,977		638,998,674


Ultra-Short Duration Government		905,872,553		57,380,465		1,155,776,768		148,683,840

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


7. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended March 31, 2011, was as follows:


					Inflation		Short		Ultra-Short
	Enhanced		Government		Protected		Duration		Duration
	Income		Income		Securities		Government		Government

Distributions paid from:
Ordinary Income	$	12,504,102	$	33,331,816	$	13,671,169	$	50,202,573	$	4,373,495
Net long-term capital gains		—		11,774,650		532,843		33,679,069		—


Total taxable distributions	$	12,504,102	$	45,106,466	$	14,204,012	$	83,881,642	$	4,373,495


Tax return of capital	$	—	$	—	$	—	$	—	$	123,140

The tax character of distributions paid during the fiscal year ended March 31, 2010, was as follows:


					Inflation		Short		Ultra-Short
	Enhanced		Government		Protected		Duration		Duration
	Income		Income		Securities		Government		Government

Distributions paid from:
Ordinary income	$	13,102,533	$	40,126,046	$	3,442,263	$	82,203,501	$	8,761,794
Net long-term capital gains		—		—		—		21,228,487		—


Total taxable distributions	$	13,102,533	$	40,126,046	$	3,442,263	$	103,431,988	$	8,761,794


Tax return of capital	$	—	$	—	$	—	$	—	$	222,095

100

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


7. TAX INFORMATION (continued)

As of March 31, 2011, the components of accumulated earnings (losses) on a tax basis were as follows.


							Inflation			Short			Ultra-Short
	Enhanced			Government			Protected			Duration			Duration
	Income			Income			Securities			Government			Government

Undistributed ordinary income — net	$	700,928		$	186,780		$	7,062,040		$	419,903		$	—


Capital loss carryforward:⁽¹⁾
Expiring 2012	$	(7,658,641	)	$	—		$	—		$	—		$	(24,528,394	)
Expiring 2013		(352,397	)		—			—			—			(7,818,636	)
Expiring 2014		(320,682	)		—			—			—			(2,842,873	)
Expiring 2015		(987,433	)		—			—			—			(4,261,952	)
Expiring 2016		(2,472,185	)		—			—			—			—
Expiring 2018		(1,658,767	)		—			—			—			(21,924,176	)
Expiring 2019		(9,056,394	)		—			—			—			(2,415,726	)


Total capital loss carryforward	$	(22,506,499	)	$	—		$	—		$	—		$	(63,791,757	)


Timing differences (Income Distributions Payable, Post October and Straddle Loss Deferrals)	$	(185,340	)	$	(9,658,263	)	$	(2,544,066	)	$	(19,652,817	)	$	(366,361	)
Unrealized gains — net		6,919,333			13,177,709			1,725,275			27,793,904			1,660,143


Total accumulated earnings (losses) — net	$	(15,071,578	)	$	3,706,226		$	6,243,249		$	8,560,990		$	(62,497,975	)


(1)		Expiration occurs on March 31 of the year indicated. The Ultra-Short Duration Government Fund had capital loss carryforwards of $55,920,321 that expired in the current fiscal year.

As of March 31, 2011, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


							Inflation			Short			Ultra-Short
	Enhanced			Government			Protected			Duration			Duration
	Income			Income			Securities			Government			Government

Tax Cost	$	791,748,674		$	1,026,071,403		$	213,764,255		$	2,868,530,911		$	412,840,776


Gross unrealized gain		7,831,634			16,000,156			2,754,860			23,940,114			3,644,864
Gross unrealized loss		(1,096,217	)		(2,414,055	)		(1,028,318	)		(2,142,479	)		(999,247	)


Net unrealized security gain	$	6,735,417		$	13,586,101		$	1,726,542		$	21,797,635		$	2,645,617


Net unrealized gain (loss) on other investments		183,916			(408,392	)		(1,267	)		5,996,269			(985,474	)


Net unrealized gain	$	6,919,333		$	13,177,709		$	1,725,275		$	27,793,904		$	1,660,143

101

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


7. TAX INFORMATION (continued)

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 contracts, and differences related to the tax treatment of swap transactions, premium amortization and the accretion of market discount.

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 expired capital loss carryforwards, dividend redesignations, and the differences in tax treatment relating to inflation protected securities, the recognition of income and gains (losses) of certain bonds and swap transactions.


							Accumulated
				Accumulated			Undistributed
				Net Realized			Net Investment
	Paid-in Capital			Gain (Loss)			Income (Loss)

Enhanced Income	$	—		$	(50,122	)	$	50,122


Government Income		—			(603,480	)		603,480


Inflation Protected Securities		(49,979	)		48,762			1,217


Short Duration Government		—			2,779,972			(2,779,972	)


Ultra-Short Duration Government		(55,923,732	)		56,853,873			(930,141	)

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.

Under the recently enacted Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.


8. OTHER RISKS

Liquidity Risk — The Funds may make investments that may be illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions.

Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer fails to perform or that an institution or entity with which the Funds have unsettled or open transaction defaults.

102

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


11. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:


	Enhanced Income Fund

	For the Fiscal Year Ended						For the Fiscal Year Ended
	March 31, 2011						March 31, 2010

	Shares			Dollars			Shares			Dollars

Class A Shares
Shares sold		19,440,715		$	187,209,531			52,050,217		$	502,340,979
Reinvestment of distributions		264,207			2,542,595			225,427			2,176,768
Shares converted from Class B^(a)		14,583			140,050			10,539			101,757
Shares redeemed		(34,691,986	)		(333,994,278	)		(18,873,395	)		(182,388,201	)


		(14,972,481	)		(144,102,102	)		33,412,788			322,231,303


Class B Shares
Shares sold		2,320			22,340			12,259			117,831
Reinvestment of distributions		263			2,527			1,454			13,969
Shares converted to Class A^(a)		(14,607	)		(140,050	)		(10,553	)		(101,757	)
Shares redeemed		(35,262	)		(338,994	)		(92,418	)		(889,443	)


		(47,286	)		(454,177	)		(89,258	)		(859,400	)


Class C Shares
Shares sold		—			—			—			—
Reinvestment of distributions		—			—			—			—
Shares redeemed		—			—			—			—


		—			—			—			—


Institutional Shares
Shares sold		48,101,646			462,794,515			115,908,510			1,116,981,401
Reinvestment of distributions		761,119			7,317,436			927,612			8,944,718
Shares redeemed		(76,254,815	)		(733,636,705	)		(52,527,669	)		(506,983,238	)


		(27,392,050	)		(263,524,754	)		64,308,453			618,942,881


Administration Shares
Shares sold		461,380			4,453,394			542,004			5,222,184
Reinvestment of distributions		3,017			29,115			3,832			37,056
Shares redeemed		(465,833	)		(4,494,908	)		(286,375	)		(2,772,497	)


		(1,436	)		(12,399	)		259,461			2,486,743


Service Shares
Shares sold		—			—			—			—
Reinvestment of distributions		—			—			—			—
Shares redeemed		—			—			—			—


		—			—			—			—


Class IR Shares^(b)
Shares sold		105			1,010			—			—
Reinvestment of distributions		1			9			—			—
Shares redeemed		(1	)		(10	)		—			—


		105			1,009			—			—


Class R Shares
Shares sold		—			—			—			—
Reinvestment of distributions		—			—			—			—
Shares redeemed		—			—			—			—


		—			—			—			—


NET INCREASE (DECREASE)		(42,413,148	)	$	(408,092,423	)		97,891,444		$	942,801,527


(a)		Class B Shares automatically convert into Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund.
(b)		Commenced operations on July 30, 2010 for Enhanced Income Fund.

104

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS


Government Income Fund												Inflation Protected Securities Fund

For the Fiscal Year Ended						For the Fiscal Year Ended						For the Fiscal Year Ended						For the Fiscal Year Ended
March 31, 2011						March 31, 2010						March 31, 2011						March 31, 2010

Shares			Dollars			Shares			Dollars			Shares			Dollars			Shares			Dollars


	8,778,221		$	135,188,180			13,110,920		$	199,462,105			2,549,494		$	28,571,874			6,242,927		$	67,237,095
	1,383,626			20,772,104			1,242,746			18,903,595			357,545			3,859,872			102,958			1,114,843
	234,586			3,585,400			314,978			4,770,525			—			—			—			—
	(14,581,472	)		(223,987,261	)		(18,787,648	)		(285,880,618	)		(3,316,887	)		(36,891,434	)		(3,067,050	)		(33,080,741	)


	(4,185,039	)		(64,441,577	)		(4,119,004	)		(62,744,393	)		(409,848	)		(4,459,688	)		3,278,835			35,271,197



	104,228			1,613,537			332,142			5,054,976			—			—			—			—
	54,929			821,417			68,505			1,041,525			—			—			—			—
	(234,586	)		(3,585,400	)		(314,978	)		(4,770,525	)		—			—			—			—
	(702,134	)		(10,733,865	)		(1,178,746	)		(17,932,018	)		—			—			—			—


	(777,563	)		(11,884,311	)		(1,093,077	)		(16,606,042	)		—			—			—			—



	803,481			12,385,702			1,151,336			17,500,187			670,684			7,507,981			1,798,539			19,471,653
	75,161			1,123,233			59,325			901,920			70,474			759,059			9,825			106,898
	(1,237,599	)		(18,962,488	)		(1,399,365	)		(21,253,194	)		(738,490	)		(8,238,672	)		(452,254	)		(4,904,923	)


	(358,957	)		(5,453,553	)		(188,704	)		(2,851,087	)		2,668			28,368			1,356,110			14,673,628



	12,570,688			192,487,186			11,486,124			174,633,341			2,345,782			26,017,539			8,711,530			95,008,925
	597,997			8,965,352			456,308			6,932,784			502,876			5,479,084			130,227			1,418,329
	(12,083,997	)		(186,078,281	)		(11,419,506	)		(173,974,644	)		(5,235,834	)		(60,061,659	)		(1,012,373	)		(10,912,515	)


	1,084,688			15,374,257			522,926			7,591,481			(2,387,176	)		(28,565,036	)		7,829,384			85,514,739



	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			—


	—			—			—			—			—			—			—			—



	2,446,287			37,613,044			2,901,744			44,026,081			—			—			—			—
	236,948			3,542,686			167,232			2,538,443			—			—			—			—
	(2,723,653	)		(41,601,376	)		(2,416,446	)		(36,626,573	)		—			—			—			—


	(40,418	)		(445,646	)		652,530			9,937,951			—			—			—			—



	38,052			589,945			14,678			224,910			540			5,928			18,640			202,043
	2,446			36,659			384			5,848			817			8,837			206			2,258
	(11,880	)		(179,393	)		(24	)		(357	)		(2,252	)		(24,261	)		(8,397	)		(91,118	)


	28,618			447,211			15,038			230,401			(895	)		(9,496	)		10,449			113,183



	823,440			12,639,792			360,487			5,490,284			81,943			912,394			33,132			359,916
	34,956			522,057			4,362			66,364			3,702			39,956			164			1,796
	(263,157	)		(4,035,673	)		(31,064	)		(472,518	)		(14,394	)		(165,612	)		(1,187	)		(12,917	)


	595,239			9,126,176			333,785			5,084,130			71,251			786,738			32,109			348,795


	(3,653,432	)	$	(57,277,443	)		(3,876,506	)	$	(59,357,559	)		(2,724,000	)	$	(32,219,114	)		12,506,887		$	135,921,542

105

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Notes to Financial Statements (continued)

March 31, 2011


11. SUMMARY OF SHARE TRANSACTIONS (continued)

Share activity is as follows:


	Short Duration Government Fund
	For the Fiscal Year Ended						For the Fiscal Year Ended
	March 31, 2011						March 31, 2010

	Shares			Dollars			Shares			Dollars

Class A Shares
Shares sold		64,754,858		$	672,446,649			143,161,885		$	1,492,425,487
Reinvestment of distributions		2,326,599			23,850,730			3,317,607			34,455,884
Shares converted from Class B^(a)		70,273			731,804			32,485			337,322
Shares redeemed		(113,138,751	)		(1,176,295,910	)		(91,650,563	)		(955,026,905	)


		(45,987,021	)		(479,266,727	)		54,861,414			572,191,788


Class B Shares
Shares sold		341			3,468			4,953			51,263
Reinvestment of distributions		3,078			31,309			10,290			106,429
Shares converted to Class A^(a)		(70,544	)		(731,804	)		(32,606	)		(337,322	)
Shares redeemed		(199,259	)		(2,054,724	)		(166,886	)		(1,729,747	)


		(266,384	)		(2,751,751	)		(184,249	)		(1,909,377	)


Class C Shares
Shares sold		3,846,667			39,721,924			11,486,640			118,982,739
Reinvestment of distributions		202,291			2,051,798			256,321			2,641,555
Shares redeemed		(9,024,199	)		(92,983,431	)		(6,262,554	)		(64,839,887	)


		(4,975,241	)		(51,209,709	)		5,480,407			56,784,407


Institutional Shares
Shares sold		88,992,219			922,360,134			207,410,555			2,155,160,663
Reinvestment of distributions		3,538,504			36,208,280			4,079,905			42,251,223
Shares redeemed		(130,128,550	)		(1,347,087,112	)		(107,963,854	)		(1,122,410,650	)


		(37,597,827	)		(388,518,698	)		103,526,606			1,075,001,236


Service Shares
Shares sold		3,389,908			35,069,983			15,186,489			157,732,589
Reinvestment of distributions		289,815			2,953,631			405,291			4,186,708
Shares redeemed		(9,580,452	)		(99,050,138	)		(5,361,369	)		(55,566,339	)


		(5,900,729	)		(61,026,524	)		10,230,411			106,352,958


Class IR Shares
Shares sold		846,419			8,784,779			380,645			3,961,207
Reinvestment of distributions		17,184			176,239			3,365			34,931
Shares redeemed		(270,583	)		(2,814,603	)		(65,488	)		(681,428	)


		593,020			6,146,415			318,522			3,314,710


NET INCREASE (DECREASE)		(94,134,182	)	$	(976,626,994	)		174,233,111		$	1,811,735,722


(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.

106

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of
Goldman Sachs Trust — Goldman Sachs Short Duration and Government Fixed Income Funds:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Enhanced Income Fund, Goldman Sachs Government Income Fund, Goldman Sachs Inflation Protected Securities Fund, Goldman Sachs Short Duration Government Fund and Goldman Sachs Ultra-Short Duration Government Fund (collectively the “Funds”), portfolios of Goldman Sachs Trust, at March 31, 2011, the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. Except for the Goldman Sachs Inflation Protected Securities Fund, the financial highlights of the Funds for the period ended October 31, 2006 and prior were audited by another Independent Registered Public Accounting Firm whose report dated December 21, 2006 expressed an unqualified opinion on those financial highlights.

PricewaterhouseCoopers LLP

Boston, Massachusetts

May 20, 2011

108

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Fund Expenses — Six Month Period Ended March 31, 2011 (Unaudited)

As a shareholder of Class A, Class B, Class C, Institutional, Administration, 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), contingent deferred sales charges on redemptions (with respect to Class B and Class C Shares), and redemption fees (if any); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class B, 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, Administration, 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 October 1, 2010 through March 31, 2011.

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 net expense ratios 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.


	Enhanced Income Fund							Government Income Fund							Inflation Protected Securities Fund							Short Duration Government Fund							Ultra-Short Duration Government Fund
						Expenses							Expenses							Expenses							Expenses							Expenses
	Beginning		Ending			Paid for the		Beginning		Ending			Paid for the		Beginning		Ending			Paid for the		Beginning		Ending			Paid for the		Beginning		Ending			Paid for the
	Account Value		Account Value			6 months ended		Account Value		Account Value			6 months ended		Account Value		Account Value			6 months ended		Account Value		Account Value			6 months ended		Account Value		Account Value			6 months ended
Share Class	10/1/10		3/31/11			3/31/11*		10/1/10		3/31/11			3/31/11*		10/1/10		3/31/11			3/31/11*		10/1/10		3/31/11			3/31/11*		10/1/10		3/31/11			3/31/11*
Class A
Actual	$	1,000.00	$	1,001.60		$	3.19	$	1,000.00	$	989.00		$	4.58	$	1,000.00	$	1,007.00		$	3.37	$	1,000.00	$	999.60		$	4.00	$	1,000.00	$	1,002.90		$	3.96
Hypothetical 5% return		1,000.00		1,021.74	+		3.22		1,000.00		1,020.32	+		4.65		1,000.00		1,021.57	+		3.40		1,000.00		1,020.93	+		4.04		1,000.00		1,020.97	+		4.00

Class B
Actual		1,000.00		997.90			6.92		1,000.00		985.30			8.28		N/A		N/A			N/A		1,000.00		998.10			6.35		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1018.00	+		6.99		1,000.00		1,016.59	+		8.42		N/A		N/A			N/A		1,000.00		1018.57	+		6.42		N/A		N/A			N/A

Class C
Actual		N/A		N/A			N/A		1,000.00		985.30			8.29		1,000.00		1,003.30			7.11		1,000.00		998.60			5.93		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,016.58	+		8.42		1,000.00		1,017.83	+		7.17		1,000.00		1,019.00	+		5.99		N/A		N/A			N/A

Institutional
Actual		1,000.00		1,003.30			1.50		1,000.00		990.70			2.89		1,000.00		1,008.80			1.67		1,000.00		1,002.20			2.31		1,000.00		1,004.60			2.26
Hypothetical 5% return		1,000.00		1,023.44	+		1.51		1,000.00		1,022.02	+		2.94		1,000.00		1,023.27	+		1.68		1,000.00		1,022.63	+		2.33		1,000.00		1,022.67	+		2.28

Administration
Actual		1,000.00		1,002.10			2.75		N/A		N/A			N/A		N/A		N/A			N/A		N/A		N/A			N/A		N/A		N/A			N/A
Hypothetical 5% return		1,000.00		1,022.19	+		2.77		N/A		N/A			N/A		N/A		N/A			N/A		N/A		N/A			N/A		N/A		N/A			N/A

Service
Actual		N/A		N/A			N/A		1,000.00		988.20			5.37		N/A		N/A			N/A		1,000.00		999.70			4.80		1,000.00		1,002.10			4.75
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,019.53	+		5.46		N/A		N/A			N/A		1,000.00		1,020.13	+		4.85		1,000.00		1,020.19	+		4.79

Class IR
Actual		1,000.00		1,003.20			1.94		1,000.00		990.30			3.35		1,000.00		1,008.30			2.13		1,000.00		1,001.80			2.76		1,000.00		1,004.20			2.66
Hypothetical 5% return		1,000.00		1,023.00	+		1.96		1,000.00		1,021.57	+		3.40		1,000.00		1,022.81	+		2.14		1,000.00		1,022.18	+		2.78		1,000.00		1,022.28	+		2.68

Class R
Actual		N/A		N/A			N/A		1,000.00		987.80			5.82		1,000.00		1,006.70			4.63		N/A		N/A			N/A		N/A		N/A			N/A
Hypothetical 5% return		N/A		N/A			N/A		1,000.00		1,019.07	+		5.92		1,000.00		1,020.32	+		4.66		N/A		N/A			N/A		N/A		N/A			N/A


*		Expenses for each share class are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended March 31, 2011. 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			Administration			Service			Class IR			Class R


Enhanced Income		0.64	%		1.39	%		N/A			0.30	%		0.55	%		N/A			0.39	%		N/A
Government Income		0.92			1.67			1.67	%		0.58			N/A			1.08	%		0.67			1.18	%
Inflation Protected Securities		0.67			N/A			1.42			0.33			N/A			N/A			0.43			0.93
Short Duration Government		0.80			1.28			1.19			0.46			N/A			0.96			0.55			N/A
Ultra-Short Duration Government		0.79			N/A			N/A			0.45			N/A			0.95			0.53			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.

109

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME 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 Age^1,2	with the Trust	Time Served³	During Past 5 Years	Trustee⁴	Held by Trustee⁵
Ashok N. Bakhru Age: 69	Chairman of the Board of Trustees	Since 1996 (Trustee since 1991)	President, ABN Associates (1994-1996 and 1998-Present); Director, Apollo Investment Corporation (a business development company) (2008-Present); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-2008); Director, Private Equity Investors — III and IV (1998-2007), and Equity-Linked Investors II (April 2002-2007). Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex.	96	Apollo Investment Corporation (a business development company)

Donald C. Burke Age: 50	Trustee	Since 2010	Mr. Burke is retired (since 2010). Formerly, he was 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.	96	None

John P. Coblentz, Jr. Age: 70	Trustee	Since 2003	Partner, Deloitte & Touche LLP (1975-2003); Director, Emerging Markets Group, Ltd. (2004-2006); and Director, Elderhostel, Inc. (2006-Present). Trustee — Goldman Sachs Mutual Fund Complex.	96	None

Diana M. Daniels Age: 61	Trustee	Since 2007	Ms. Daniels is retired (since 2007). Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is Chairman of the Executive Committee of Cornell University (2006-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.	96	None

Joseph P. LoRusso Age: 53	Trustee	Since 2010	Mr. LoRusso is retired (since 2008). Formerly, he was 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.	96	None

Jessica Palmer Age: 62	Trustee	Since 2007	Ms. Palmer is retired (since 2006). 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.	96	None

Richard P. Strubel Age: 71	Trustee	Since 1987	Director, Cardean Learning Group (provider of educational services via the internet) (2003-2008); Trustee Emeritus, The University of Chicago (1987-Present). Trustee — Goldman Sachs Mutual Fund Complex.	96	The Northern Trust Mutual Fund Complex (58 Portfolios) (Chairman of the Board of Trustees). Gildan Activewear Inc. (a clothing marketing and manufacturing company).

110

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME FUNDS

Trustees and Officers (Unaudited) (continued)

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 Age^1,2	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).	96	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.	96	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 May 31, 2011.
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 May 31, 2011, the Trust consisted of 83 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.

111

GOLDMAN SACHS SHORT DURATION AND GOVERNMENT FIXED INCOME 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: 43	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 May 31, 2011.
*		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.

Short Duration and Government Income Funds Tax Information (Unaudited)

Pursuant to Section 852 of the Internal Revenue Code, the Government Income, Inflation Protected Securities, and Short Duration Government Funds designate $11,774,650, $532,843, and $33,679,069, respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended March 31, 2011.

Pursuant to Section 871(k) of the Internal Revenue Code, the Government Income, Inflation Protected Securities, and the Short Duration Government Funds designate $18,904,431, $9,891,348, and $26,215,354, respectively, as short-term capital gain dividends paid during the year ended March 31, 2011.

Pursuant to Section 871(k) of the Internal Revenue Code, the Inflation Protected Securities Fund designates $3,779,821 as interest-related dividends paid during the year ended March 31, 2011.

112

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 $714.6 billion in assets under management as of March 31, 2011 — 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 Market²Financial Square Funds^smn 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 High Yield Floating Rate 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 Flexible Cap Growth Fund³ n Concentrated Growth Fund n Technology Tollkeeper Fund^SM 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) n N-11 Equity Fund n Brazil Equity Fund n China Equity Fund Select Satellite⁴n Real Estate Securities Fund n International Real Estate Securities Fund n Commodity Strategy Fund n Dynamic Allocation Fund n Absolute Return Tracker Fund Total Portfolio Solutions⁴n Balanced Strategy Portfolio n Growth and Income Strategy Portfolio n Growth Strategy Portfolio n Equity Growth Strategy Portfolio n Income Strategies Portfolio n Satellite Strategies Portfolio n Retirement Strategies Portfolios n Enhanced Dividend Global Equity Portfolio n Tax Advantaged Global Equity Portfolio

Firmwide assets under management include 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	Effective March 31, 2011, the Goldman Sachs All Cap Growth Fund was renamed the Goldman Sachs Flexible Cap Growth Fund.
⁴	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.

The Goldman Sachs Technology Tollkeeper Fund^sm and Financial Square Funds^sm 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

GOLDMAN, SACHS & CO. Distributor and Transfer Agent		GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser

Visit our Website at www.goldmansachsfunds.com to obtain the most recent month-end returns.

Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282

The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (I) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (II) on the Securities and Exchange Commission Web site at http://www.sec.gov.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).

Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Funds’ entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.

Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.

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).

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.

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.

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.

The aggregate non-audit fees billed to GST by PwC for the years ended March 31, 2011 and March 31, 2010 were approximately $514,307 and $845,491 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 $10.3 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.

	(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.

	(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.

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.

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.


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)


ITEM 1.		REPORTS TO STOCKHOLDERS.

		The Annual Report to Stockholders is filed herewith.



Annual Report			March 31, 2011




			Short Duration and Government Fixed Income Funds
			Enhanced Income
			Government Income
			Inflation Protected Securities
			Short Duration Government
			Ultra-Short Duration Government


TABLE OF CONTENTS


Principal Investment Strategies and Risks		1

Investment Process		3

Market Review		4

Portfolio Management Discussions and Performance Summaries		7

Schedules of Investments		32

Financial Statements		64

Financial Highlights		72

Notes to Financial Statements		82

Report of Independent Registered Public Accounting Firm		108

Other Information		109


	Enhanced
	Income Fund
Assets:

Investments in securities, at value (identified cost $721,777,003, $792,729,599, $206,551,945, $2,705,512,612 and $376,715,422, respectively)	$	728,384,091
Repurchase agreement, at value which equals cost		70,100,000
Cash		36,589
Receivables:
Fund shares sold		8,195,181
Investment securities sold on an extended-delivery basis		—
Interest		5,647,448
Investment securities sold		1,500,079
Swap contracts, at value (includes upfront payments made of $26,127, $2,332,094, $228,498, $13,742,270 and $1,839,661, respectively)		111,281
Due from broker — collateral for swap contracts		—
Due from broker — variation margin		—
Reimbursement from investment adviser		—
Other assets		7,242


Total assets		813,981,911




Liabilities:

Due to custodian		—
Payables:
Investment securities purchased		4,000,000
Fund shares redeemed		1,994,634
Amounts owed to affiliates		230,068
Income distribution		80,739
Due to broker — variation margin		24,297
Due to broker — collateral for swap contracts		—
Forward sale contracts, at value (proceeds received $0, $1,086,406, $0, $0 and $0, respectively)		—
Investment securities purchased on an extended-delivery basis		—
Options written, at value (premium received $0, $326,625, $51,250, $740,350 and $163,440, respectively)		—
Swap contracts, at value (includes upfront payments received of $0, $545,893, $0, $9,672,149 and $1,026,609, respectively)		—
Accrued expenses and other liabilities		130,603


Total liabilities		6,460,341




Net Assets:

Paid-in capital		822,593,148
Accumulated undistributed (distribution in excess of) net investment income		847,280
Accumulated net realized gain (loss) from investment, futures, options and swap transactions		(19,106,082	)
Net unrealized gain on investments, futures, options and swaps		3,187,224


NET ASSETS	$	807,521,570

Net Assets:
Class A	$	225,354,670
Class B		929,220
Class C		—
Institutional		578,457,750
Administration		2,778,924
Service		—
Class IR		1,006
Class R		—


Total Net Assets	$	807,521,570

Shares Outstanding $0.001 par value (unlimited shares authorized):
Class A		23,486,219
Class B		96,982
Class C		—
Institutional		60,344,181
Administration		288,921
Service		—
Class IR		105
Class R		—

Net asset value, offering and redemption price per share:^(a)
Class A		$9.60
Class B		9.58
Class C		—
Institutional		9.59
Administration		9.62
Service		—
Class IR		9.58
Class R		—


								Ultra-Short
Government			Inflation Protected		Short Duration			Duration
Income Fund			Securities Fund		Government Fund			Government Fund


$	806,257,504		$	208,590,797	$	2,724,828,546		$	379,886,393
	233,400,000			6,900,000		165,500,000			35,600,000
	77,164			55,617		29,583			—

	1,196,473			593,455		6,509,625			489,410
	233,675,113			—		112,278,750			2,132,500
	3,380,709			1,022,696		10,154,350			1,119,572
	9,817,315			—		38,730,652			1,226,901
	4,793,179			226,735		29,633,092			3,182,878
	220,000			—		4,020,000			1,030,000
	—			13,141		635,954			47,629
	58,516			12,631		277,436			82,069
	7,020			1,664		24,668			7,029


	1,292,882,993			217,416,736		3,092,622,656			424,804,381






	—			—		—			13,783

	9,502,087			5,926,311		37,259,786			1,056,687
	2,133,361			140,367		12,770,231			2,309,809
	614,144			93,484		1,483,741			177,292
	239,533			24,857		362,808			93,184
	82,881			—		—			—
	1,040,000			—		10,810,707			230,000
	1,087,578			—		—			—
	401,837,424			—		217,002,323			2,122,266
	299,394			50,754		678,627			149,663
	3,402,363			—		20,552,949			3,709,190
	226,760			102,273		423,867			139,030


	420,465,525			6,338,046		301,345,039			10,000,904






	868,711,242			204,835,441		2,782,716,627			477,301,452
	960,195			713,946		3,348,848			(273,788	)
	(9,818,836	)		3,618,879		(22,838,984	)		(63,914,912	)
	12,564,867			1,910,424		28,051,126			1,690,725


$	872,417,468		$	211,078,690	$	2,791,277,617		$	414,803,477


$	442,915,287		$	79,215,436	$	1,013,335,468		$	118,804,400
	17,358,221			—		1,032,921			—
	33,279,322			22,111,045		126,533,401			—
	266,217,110			108,491,294		1,512,908,001			293,923,991
	—			—		—			—
	98,071,671			—		128,073,133			923,594
	662,803			115,532		9,394,693			1,151,492
	13,913,054			1,145,383		—			—


$	872,417,468		$	211,078,690	$	2,791,277,617		$	414,803,477


	29,631,369			7,232,822		99,007,805			13,477,901
	1,161,282			—		101,298			—
	2,226,465			2,012,426		12,445,455			—
	17,838,590			9,874,300		148,304,258			33,325,108
	—			—		—			—
	6,577,218			—		12,572,230			104,259
	44,366			10,536		917,532			130,644
	931,888			104,359		—			—


	$14.95			$10.95		$10.23			$8.81
	14.95			—		10.20			—
	14.95			10.99		10.17			—
	14.92			10.99		10.20			8.82
	—			—		—			—
	14.91			—		10.19			8.86
	14.94			10.97		10.24			8.81
	14.93			10.98		—			—


	Enhanced
	Income Fund

Investment income:

Interest	$	16,679,067




Expenses:

Management fees		2,542,371
Distribution and Service fees^(a)		791,916
Transfer Agent fees^(a)		688,687
Custody and accounting fees		192,493
Registration fees		109,858
Printing and mailing costs		98,267
Professional fees		96,310
Trustee fees		16,949
Administration share fees		9,929
Service Share fees — Shareholder Administration Plan		—
Service Share fees — Service Plan		—
Other		33,967


Total expenses		4,580,747


Less — expense reductions		(510,020	)


Net expenses		4,070,727


NET INVESTMENT INCOME		12,608,340




Realized and unrealized gain (loss) from investment, futures, option and swap transactions:

Net realized gain (loss) from:
Investment transactions		3,295,444
Futures transactions		(6,402,830	)
Written options		—
Swap contracts		56,010
Net change in unrealized gain (loss) on:
Investments		(1,305,966	)
Futures		(3,951,801	)
Written options		—
Swap contracts		82,527


Net realized and unrealized gain (loss) from investment, futures, option and swap transactions		(8,226,616	)


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	4,381,724


	Enhanced Income Fund
	For the Fiscal			For the Fiscal
	Year Ended			Year Ended
	March 31, 2011			March 31, 2010

From operations:

Net investment income	$	12,608,340		$	12,967,876
Net realized gain (loss) from investment, futures, options and swap transactions		(3,051,376	)		(5,175,043	)
Net change in unrealized gain (loss) on investments, futures, options and swaps		(5,175,240	)		13,092,773


Net increase in net assets resulting from operations		4,381,724			20,885,606




Distributions to shareholders:

From net investment income
Class A Shares		(3,106,539	)		(2,763,836	)
Class B Shares		(2,995	)		(15,916	)
Class C Shares		—			—
Institutional Shares		(9,350,881	)		(10,281,671	)
Administration Shares		(43,678	)		(41,110	)
Service Shares		—			—
Class IR Shares^(a)		(9	)		—
Class R Shares		—			—
From net realized gains
Class A Shares		—			—
Class B Shares		—			—
Class C Shares		—			—
Institutional Shares		—			—
Service Shares		—			—
Class IR Shares^(a)		—			—
Class R Shares		—			—


Total distributions to shareholders		(12,504,102	)		(13,102,533	)




From share transactions:

Proceeds from sales of shares		654,480,790			1,624,662,395
Reinvestment of distributions		9,891,682			11,172,511
Cost of shares redeemed		(1,072,464,895	)		(693,033,379	)


Net increase (decrease) in net assets resulting from share transactions		(408,092,423	)		942,801,527


TOTAL INCREASE (DECREASE)		(416,214,801	)		950,584,600




Net assets:

Beginning of year		1,223,736,371			273,151,771


End of year	$	807,521,570		$	1,223,736,371


Accumulated undistributed net investment income	$	847,280		$	692,920


			Income (loss) from
			investment operations
											Distributions
	Net asset										to shareholders
	value,		Net		Net realized			Total from			from net
	beginning		investment		and unrealized			investment			investment
Year - Share Class	of period		income^(a)		gain (loss)			operations			income

FOR THE FISCAL YEARS ENDED MARCH 31,
2011 - A	$	9.67	$	0.10	$	(0.07	)	$	0.03		$	(0.10	)
2011 - B		9.66		0.03		(0.08	)		(0.05	)		(0.03	)
2011 - Institutional		9.66		0.13		(0.07	)		0.06			(0.13	)
2011 - Administration		9.69		0.11		(0.07	)		0.04			(0.11	)
2011 - IR (Commenced July 30, 2010)		9.62		0.09		(0.04	)		0.05			(0.09	)


2010 - A		9.51		0.12		0.19			0.31			(0.15	)
2010 - B		9.50		0.07		0.17			0.24			(0.08	)
2010 - Institutional		9.50		0.16		0.18			0.34			(0.18	)
2010 - Administration		9.53		0.14		0.18			0.32			(0.16	)


2009 - A		9.67		0.28		(0.12	)		0.16			(0.32	)
2009 - B		9.65		0.21		(0.11	)		0.10			(0.25	)
2009 - Institutional		9.66		0.31		(0.11	)		0.20			(0.36	)
2009 - Administration		9.68		0.29		(0.11	)		0.18			(0.33	)


FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
2008 - A		9.72		0.16		(0.04	)		0.12			(0.17	)
2008 - B		9.70		0.13		(0.04	)		0.09			(0.14	)
2008 - Institutional		9.70		0.17		(0.03	)		0.14			(0.18	)
2008 - Administration		9.72		0.17		(0.04	)		0.13			(0.17	)


FOR THE FISCAL YEARS ENDED OCTOBER 31,
2007 - A		9.73		0.43		—			0.43			(0.44	)
2007 - B (Commenced June 20, 2007)		9.74		0.13		(0.02	)		0.11			(0.15	)
2007 - Institutional		9.72		0.47		(0.01	)		0.46			(0.48	)
2007 - Administration		9.71		0.44		0.02			0.46			(0.45	)


2006 - A		9.68		0.37		0.04			0.41			(0.36	)
2006 - Institutional		9.67		0.40		0.04			0.44			(0.39	)
2006 - Administration		9.67		0.38		0.03			0.41			(0.37	)




													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^(b)			(in 000s)		net assets			net assets			net assets			rate


$	9.60		0.29	%	$	225,355		0.63	%		0.68	%		1.01	%		71	%
	9.58		(0.56	)		929		1.38			1.43			0.26			71
	9.59		0.63			578,458		0.29			0.34			1.35			71
	9.62		0.38			2,779		0.54			0.59			1.11			71
	9.58		0.53			1		0.38	^(c)		0.43	^(c)		1.39	^(c)		71



	9.67		3.26			371,906		0.63			0.68			1.25			66
	9.66		2.49			1,393		1.38			1.43			0.75			66
	9.66		3.62			847,623		0.29			0.34			1.64			66
	9.69		3.35			2,814		0.54			0.59			1.45			66


	9.51		1.73			48,001		0.59			0.78			2.94			180
	9.50		1.08			2,218		1.34			1.53			2.21			180
	9.50		2.07			222,638		0.25			0.44			3.30			180
	9.53		1.92			295		0.50			0.69			3.04			180



	9.67		1.32			40,286		0.58	^(c)		0.76	^(c)		3.90	^(c)		8
	9.65		0.91			3,501		1.33	^(c)		1.51	^(c)		3.16	^(c)		8
	9.66		1.47			228,300		0.24	^(c)		0.42	^(c)		4.26	^(c)		8
	9.68		1.36			266		0.49	^(c)		0.67	^(c)		4.29	^(c)		8



	9.72		4.43			40,505		0.61			0.79			4.46			87
	9.70		1.16			5,230		1.36	^(c)		1.54	^(c)		3.87	^(c)		87
	9.70		4.82			236,210		0.25			0.43			4.82			87
	9.72		4.88			254		0.50			0.68			4.40			87



	9.73		4.26			36,333		0.62			0.78			3.77			67
	9.72		4.66			173,430		0.25			0.41			4.15			67
	9.71		4.29			1,703		0.50			0.66			3.91			67


			Income from						Distributions
			investment operations						to shareholders

	Net asset
	value,		Net		Net realized		Total from		From net			From net
	beginning		investment		and unrealized		investment		investment			realized			Total
Year - Share Class	of period		income^(a)		gain		operations		income			gains			distributions

FOR THE FISCAL YEARS ENDED MARCH 31,
2011 - A	$	15.18	$	0.24	$	0.30	$	0.54	$	(0.23	)	$	(0.54	)	$	(0.77	)
2011 - B		15.18		0.12		0.31		0.43		(0.12	)		(0.54	)		(0.66	)
2011 - C		15.18		0.12		0.31		0.43		(0.12	)		(0.54	)		(0.66	)
2011 - Institutional		15.16		0.29		0.30		0.59		(0.29	)		(0.54	)		(0.83	)
2011 - Service		15.15		0.21		0.30		0.51		(0.21	)		(0.54	)		(0.75	)
2011 - IR		15.18		0.27		0.30		0.57		(0.27	)		(0.54	)		(0.81	)
2011 - R		15.17		0.19		0.31		0.50		(0.20	)		(0.54	)		(0.74	)


2010 - A		15.14		0.42		0.25		0.67		(0.39	)		(0.24	)		(0.63	)
2010 - B		15.14		0.31		0.24		0.55		(0.27	)		(0.24	)		(0.51	)
2010 - C		15.14		0.30		0.25		0.55		(0.27	)		(0.24	)		(0.51	)
2010 - Institutional		15.12		0.47		0.25		0.72		(0.44	)		(0.24	)		(0.68	)
2010 - Service		15.11		0.39		0.25		0.64		(0.36	)		(0.24	)		(0.60	)
2010 - IR		15.14		0.41		0.30		0.71		(0.43	)		(0.24	)		(0.67	)
2010 - R		15.14		0.33		0.30		0.63		(0.36	)		(0.24	)		(0.60	)


2009 - A		15.07		0.57		0.16		0.73		(0.60	)		(0.06	)		(0.66	)
2009 - B		15.07		0.46		0.15		0.61		(0.48	)		(0.06	)		(0.54	)
2009 - C		15.07		0.46		0.15		0.61		(0.48	)		(0.06	)		(0.54	)
2009 - Institutional		15.05		0.62		0.16		0.78		(0.65	)		(0.06	)		(0.71	)
2009 - Service		15.04		0.54		0.16		0.70		(0.57	)		(0.06	)		(0.63	)
2009 - IR		15.08		0.60		0.15		0.75		(0.63	)		(0.06	)		(0.69	)
2009 - R		15.08		0.52		0.17		0.69		(0.57	)		(0.06	)		(0.63	)


FOR THE PERIOD NOVEMBER 1, 2007 TO MARCH 31, 2008*
2008 - A		14.79		0.26		0.28		0.54		(0.26	)		—			(0.26	)
2008 - B		14.79		0.22		0.27		0.49		(0.21	)		—			(0.21	)
2008 - C		14.78		0.21		0.29		0.50		(0.21	)		—			(0.21	)
2008 - Institutional		14.77		0.28		0.28		0.56		(0.28	)		—			(0.28	)
2008 - Service		14.76		0.25		0.28		0.53		(0.25	)		—			(0.25	)
2008 - IR (Commenced November 30, 2007)		15.02		0.22		0.06		0.28		(0.22	)		—			(0.22	)
2008 - R (Commenced November 30, 2007)		15.02		0.20		0.06		0.26		(0.20	)		—			(0.20	)


FOR THE FISCAL YEARS ENDED OCTOBER 31,
2007 - A		14.64		0.60		0.13		0.73		(0.58	)		—			(0.58	)
2007 - B		14.64		0.50		0.12		0.62		(0.47	)		—			(0.47	)
2007 - C		14.63		0.49		0.13		0.62		(0.47	)		—			(0.47	)
2007 - Institutional		14.63		0.65		0.13		0.78		(0.64	)		—			(0.64	)
2007 - Service		14.61		0.58		0.13		0.71		(0.56	)		—			(0.56	)


2006 - A		14.57		0.55		0.08		0.63		(0.56	)		—	^(d)		(0.56	)
2006 - B		14.57		0.44		0.08		0.52		(0.45	)		—	^(d)		(0.45	)
2006 - C		14.56		0.44		0.08		0.52		(0.45	)		—	^(d)		(0.45	)
2006 - Institutional		14.55		0.60		0.09		0.69		(0.61	)		—	^(d)		(0.61	)
2006 - Service		14.54		0.53		0.08		0.61		(0.54	)		—	^(d)		(0.54	)


NOT FDIC-INSURED	May Lose Value	No Bank Guarantee


		(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).


	2011		2010		Description of Services Rendered
Audit Fees:	$	2,473,500	$	2,655,758	Financial Statement audits.

• PricewaterhouseCoopers LLP (“PwC”)

Audit-Related Fees:	$	30,972	$	116,245	Other attest services.

• PwC

Tax Fees:	$	483,335	$	729,246	Tax compliance services provided in connection with the preparation and review of registrant’s tax return. For 2011 and 2010, $28,275 and $74,833 represent fees borne by the Funds’ adviser in relation to fees incurred as a result of fiscal year end changes.

• PwC


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.


				Goldman Sachs Trust

By:				/s/ James A. McNamara

				James A. McNamara
				President/Principal Executive Officer
				Goldman Sachs Trust

Date:				June 2, 2011