-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, VSJjoYeaZjAMwCpPeODaymR6UYDg4SoEUdjAbRG4vXRFB4OPi3g3hSKkBeHsXx1N SMAiU9KyX0OVJbl3LwkQ+Q== 0000950130-98-000071.txt : 19980109 0000950130-98-000071.hdr.sgml : 19980109 ACCESSION NUMBER: 0000950130-98-000071 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19971031 FILED AS OF DATE: 19980108 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST CENTRAL INDEX KEY: 0000822977 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05349 FILM NUMBER: 98503029 BUSINESS ADDRESS: STREET 1: 4900 SEARS TWR STREET 2: C/O GOLDMAN SACHS & CO CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3126554400 MAIL ADDRESS: STREET 1: 85 BROAD ST STREET 2: 85 BROARD STREET CITY: NEW YORK STATE: NY ZIP: 10004 FORMER COMPANY: FORMER CONFORMED NAME: GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19910711 FORMER COMPANY: FORMER CONFORMED NAME: SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19900104 N-30D 1 INSTITUTIONAL ANNUAL REPORT - OCTOBER 31, 1997 The Goldman Sachs FIXED INCOME FUNDS Goldman Sachs Adjustable Rate Government Fund Goldman Sachs Short Duration Government Fund Goldman Sachs Short Duration Tax-Free Fund Goldman Sachs Core Fixed Income Fund ANNUAL REPORT October 31, 1997 - -------------------------------------------------------------------------------- LETTER TO SHAREHOLDERS - -------------------------------- --------------------------------------------- DEAR SHAREHOLDERS: We are pleased to present the annual report for the Goldman Sachs Fixed Income Funds for the fiscal year ended October 31, 1997. In addition to reviewing the performance and activity of the Goldman Sachs Fixed Income Funds during this period, we will also provide a brief overview of the economy and bond market to help put their performance in perspective. Though the U.S. economy continued to grow at a healthy pace, inflation remained subdued and the fixed income markets achieved favorable results. ECONOMIC REVIEW The U.S. economy was strong throughout the period under review, but during the summer and fall, growth cooled slightly from the torrid pace of earlier in the year. Annualized real Gross Domestic Product (GDP) climbed 3.8% for the fourth quarter of 1996 and a dramatic 4.9% for the first quarter of 1997, fueled by a sharp increase in retail sales, rising factory orders and buoyant const-ruction outlays. To curb potential overheating, the Federal Reserve raised the Federal funds rate a quarter-percentage point to 5.50% at the end of March. During the second quarter, real GDP moderated to a 3.3% rate (annualized) when an unusually cool spring impacted weather-sensitive sectors such as retail sales and construction. Though consumer consumption picked up significantly during the summer, overall economic growth was somewhat restrained because of weaker export growth and a slower rate of inventory accumulation. As a result, third-quarter GDP expanded at a 3.3% annual rate, the same pace as the prior quarter. In October, the pattern of economic activity remained robust, as retail sales held firm, consumer confidence remained high and the unemployment rate sank to a 24-year low. Despite continued economic strength, consumer inflation shrank to 2.1% over the 12-month period, its lowest level since 1986. FIXED INCOME MARKET REVIEW When the Funds' fiscal year began in November 1996, bonds rallied on expectations of a continuation of the slow-growth, low-inflation environment. However, this optimistic view quickly soured when a steady flow of stronger- than-expected economic data revived inflation fears. From December through March, bond yields climbed as investors feared that the acceleration would prompt the Fed to raise rates. When the Fed eventually increased the Federal funds rate, the move was perceived as the first in a series of hikes. During the second quarter of 1997, prospects for the bond market brightened due to slowing economic growth. As the threat of inflation receded, the need for additional rate hikes subsided and bonds began to recoup their earlier losses. However, fixed income investors remained wary of reports suggesting that the economy was reaccelerating. In this skittish environment, the bond market came under renewed pressure when signs of strengthening activity emerged during the summer. The decline proved to be short-lived: Bonds quickly recovered on the back of reassuring inflation data and a surge of buying interest. Treasury prices continued to rise sharply through the end of the period, when demand soared as investors sought a safe haven in the wake of steep sell-offs in global equity markets. By the end of October, Treasury yields fell to 20-month lows. TABLE OF CONTENTS Goldman Sachs Adjustable Rate Government Fund 3 Financial Statements 37 Goldman Sachs Short Duration Government Fund 11 Notes to Financial Statements 41 Goldman Sachs Short Duration Tax-Free Fund 19 Financial Highlights 49 Goldman Sachs Core Fixed Income Fund 27
- -------------------------------- --------------------------------------------- 1 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- THE YIELD CURVE SHIFTED LOWER FOR MOST MATURITIES During the period under review, the yield on six-month Treasury bills rose from 5.26% on October 31, 1996 to approximately 5.31% on October 31, 1997. For the same period, the yield on the 30-year U.S. Treasury bond fell from 6.64% to 6.15%. HISTORICAL TREASURY YIELD CURVE [GRAPH] 10/31/96 10/31/97 3-Month 0.0514 0.0519 6-Month 0.0526 0.0531 1-Year 0.054 0.0535 2-Year 0.0573 0.0561 3-Year 0.0586 0.0568 5-Year 0.0607 0.0572 10-Year 0.0634 0.0583 30-Year 0.0664 0.0615 Source: Bloomberg, L.P. The one- to 30-year portion of the yield curve shifted downward while the short end of the curve rose slightly. OUTLOOK: FED IS LIKELY TO REMAIN ON HOLD WHILE IT ASSESSES THE IMPACT OF THE ASIAN FINANCIAL CRISIS Uncertainty regarding the U.S. economic and financial outlook has climbed sharply recently, as the tug-of-war between a strong domestic economy and the expected trade drag from emerging market economies has intensified. Though most domestic economic indicators continue to point toward considerable forward momentum, Federal Reserve officials are likely to defer any rate hikes until they can assess the potential impact of Asia's financial crisis on U.S. economic activity. If evidence mounts that the repercussions from the recent turmoil will be insufficient to slow U.S. growth to a sustainable long-term pace, Goldman Sachs' economists expect the Fed to resume tightening in 1998. We thank you for your investment in the Goldman Sachs Fixed Income Funds, and we look forward to continuing to help you achieve your investment goals in the future. Sincerely, /s/ David B. Ford David B. Ford Co-Head, Goldman Sachs Asset Management /s/ John P. McNulty John P. McNulty Co-Head, Goldman Sachs Asset Management /s/ Sharmin Mossavar-Rahmani Sharmin Mossavar-Rahmani Chief Investment Officer - Fixed Income Investments, Goldman Sachs Asset Management November 28, 1997 2 Letter to Shareholders - -------------------------------------------------------------------------------- GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- INVESTMENT OBJECTIVE The Goldman Sachs Adjustable Rate Government Fund seeks a high level of current income consistent with low volatility of principal. The portfolio ordinarily invests substantially all of its assets in securities issued or guaranteed by the U.S. government, its agencies or instrumentalities, with primary emphasis on adjustable rate mortgage securities (ARMs). Under normal interest rate conditions, the fund's duration is expected to be in a range approximately equal to that of a six-month to one-year U.S. Treasury security. NEW SHARE CLASS To accommodate different clients' needs and preferences, the fund added Service shares on March 27, 1997. ARM PERFORMANCE BENEFITED FROM A FAVORABLE INTEREST RATE ENVIRONMENT During the period under review, the ARM market benefited from a favorable interest rate environment. Though rates fluctuated as perceptions of the economy's health changed, in general, rates remained within a fairly narrow range for much of the period. As a result, the pace of mortgage refinancing remained subdued and there appeared to be little risk of these securities being constrained by their periodic and lifetime rate caps. (Periodic rate caps are the maximum that ARM interest rates can change during an adjustment period. Lifetime caps establish the maximum rate to which a security can reset during its entire lifetime.) The ARM-friendly conditions drew a wide range of investors to the sector, who viewed these securities as yield-enhanced alternatives to Treasuries. The ARM sector performed particularly well during the first quarter of 1997, when yield spreads relative to Treasuries narrowed. Although the sector's outperformance slowed during the balance of the period, spreads remained firm due to low volatility and continued attractiveness relative to other short-duration, high-quality alternatives. PERFORMANCE REVIEW We are pleased to report that during the 12-month period ended October 31, the fund's Institutional, PERFORMANCE SUMMARY 10/31/96--10/31/97
SIX-MONTH ONE-YEAR TREASURY TREASURY INSTITUTIONAL ADMINISTRATION SERVICE* CLASS A BILL BILL ------------- -------------- -------- ------- --------- -------- Total Return (based on net asset value [NAV]) 6.70% 6.43% 3.81% 6.43% 5.62% 6.02% Return From Monthly Distributions 6.17% 5.91% 3.66% 5.91% NA NA Return From Price Appreciation 0.53% 0.52% 0.15% 0.52% NA NA NAV (10/31/97) $9.88 $9.88 $9.88 $9.88 NA NA NAV Change +$0.05 +$0.05 +$0.04 +$0.05 NA NA Total Distributions Paid Per Share+ $0.59 $0.57 $0.33 $0.57 NA NA
* New share class opened during the period. Performance and NAV change are cumulative from inception date on 3/27/97. + The fund distributes substantially all of its investment company taxable income. The dividend is set at the start of each month, based on the income the fund is expected to generate. However, because the fund invests primarily in mortgage securities that are subject to prepayments, we cannot precisely predict the amount of principal and interest that a portfolio will receive. Therefore, at times a portfolio may distribute amounts above or below current income levels. To date, however, our dividend policy has not affected the management of the fund or significantly affected its NAV per share. The fund's NAV and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. All performance figures represent past performance and in no way guarantee future results, which will fluctuate as market conditions change. The investment return and principal value of an investment in the fund will fluctuate, and therefore an investor's shares when redeemed may be worth more or less than their original cost. Goldman, Sachs & Co., the distributor of the fund, is not a bank, and fund shares distributed by Goldman, Sachs & Co. are not deposits or obligations of, or endorsed or guaranteed by, any bank or depository institution, nor are they insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board or any other government agency. 3 - ------------------------------------------------------------------------------- - -------------------------------------- -------------------------------------- Administration and Class A shares all outperformed the six-month U.S. Treasury bill and the one-year U.S. Treasury bill. This favorable performance was primarily the result of tightening yield spreads between ARMs and Treasuries, as well as the incremental yield of ARMs over similar-duration Treasuries. The fund performed well compared with its peers. For the three-year period ended October 31, 1997, the fund's Administration and Institutional shares were rated four stars (in a universe of 1,338 taxable bond funds) by Morningstar, Inc., an independent rating agency. In addition, Morningstar rated the fund's Institutional shares four stars (in a universe of 732 taxable bond funds) for the five year-period ended October 31./1/ The fund also fared well in Lipper Analytical Services' adjustable rate mortgage category. According to Lipper, the fund's Institutional shares ranked in the top third of its category (12th out of 44 adjustable rate mortgage funds) based on total return for the 12-month period ended October 31, 1997. For the five-year period ended October 31, 1997, the fund's Institutional shares ranked 8th out of 28 funds in its category. (Class A shares ranked 18th in the Lipper category for the 12-month period; Lipper did not rank the fund's Administration and Service classes. Please note that Lipper rankings do not take sales charges into account and that past performance is not a guarantee of future results.) - ------- /1/Source: (C) 1997 Morningstar, Inc. All rights reserved. Morningstar proprietary ratings reflect historical risk-adjusted performance as of 10/31/97. The ratings are subject to change every month. Past performance is no guarantee of future results. Morningstar ratings are calculated from a fund's three-, five-, and ten-year average annual returns (where applicable) in excess of 90-day Treasury bill returns with appropriate fee and sales charge adjustments and a risk factor that reflects fund performance below 90- day Treasury bill returns. The Morningstar ratings apply only to the fund's Institutional and Administration shares; the fund's Class A and Service shares have not been rated. Class A and Service shares are subject to additional fees and expenses, which may have the effect of lowering performance and may affect any future Morningstar rating. Morningstar rates each fund against its peers in the same category. In all, there are four Morningstar categories (domestic equity, international equity, taxable bond and municipal). Morningstar ratings range from five stars (highest) to one star (lowest). Funds with five-star ratings are in the top 10% of their category, four-star ratings in the next 22.5%, three stars the next 35%, two stars the next 22.5% and one star the lowest 10% of their categories. PORTFOLIO COMPOSITION AND INVESTMENT STRATEGIES As of the end of the period, the portfolio's sector allocation changed only slightly relative to a year earlier. The primary composition changes included a reduction in agency debentures (SBA floaters), an increase in collateralized mortgage obligations (CMOs) and the initiation of a small position in U.S. Treasuries. PORTFOLIO COMPOSITION AS OF OCTOBER 31, 1997* [PIE CHART] U.S. Treasuries 1.9% Repos/Cash Equivalents 2.3% SBA Floaters 5.2% CMOs 5.4% ARMs 84.2% * The percentages shown are of total portfolio investments that have settled and include an offset to cash equivalents relating to unsettled trades. These percentages may differ from those in the accompanying Statement of Investments, which reflect portfolio holdings as a percentage of net assets. . ARMs. As of October 31, 1997, 84.2% of the portfolio was invested in ARMs. During the period, we adhered to our strategy of emphasizing ARM issues that we believed would fare well relative to the overall ARM market regardless of the direction of interest rate movements. As such, we focused on fully indexed securities that were issued prior to 1993, which are attractive because of their lower prepayment risk. (ARM securities that have been in existence for several years are referred to as "seasoned" issues. "Seasoned" ARMs are typically less impacted by prepayments than recently issued mortgages because homeowners who did not refinance during earlier periods of lower rates are less likely to refinance in the future.) - -------------------------------------- -------------------------------------- 4 Letter to Shareholders - -------------------------------------------------------------------------------- GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND (continued) - --------------------------------------- --------------------------------------- . CMOs. The portfolio's allocation to CMOs was 5.4% as of the end of October, slightly higher than its 3.5% weighting a year earlier. CMOs are multi-class bonds that are collateralized by a pool of mortgage loans or mortgage pass- through certificates. As was the case with other mortgage-backed securities, CMOs performed well during the period due to low volatility and relatively attractive spreads. Within the sector, sequential-pay/support CMOs and CMO floaters represented the largest allocations, at 2.0% and 1.4% of the portfolio, respectively. . SBA Floaters. The portfolio held a 5.2% position in securities backed by Small Business Administration (SBA) loans, which offered incremental yield over similar-duration Treasuries. We trimmed the portfolio's allocation from 7.8% a year ago when we took profits in the sector. . Repurchase Agreements/Cash Equivalents and U.S. Treasuries. As of the end of the period, 2.3% of the portfolio was in repurchase agreements/cash equivalents and 1.9% was in U.S. Treasuries. . Duration. We seek excess return over similar-duration U.S. Treasuries through sector weightings and specific security selection, rather than attempting to add value through interest rate predictions. Therefore, we manage the fund's duration to approximate that of the benchmark, partly through the use of futures. As of October 31, the fund's duration was 0.7 years, unchanged from a year ago. . Credit Quality. The fund invests exclusively in securities issued by the U.S. government, its agencies or instrumentalities, which are considered to be of the highest credit quality. MARKET OUTLOOK We believe Federal Reserve officials are likely to keep monetary policy on hold until the first half of 1998, when tight labor markets may generate sufficient wage pressures to prompt the Fed to raise rates. Our outlook for the ARM market remains neutral. Although we do not expect dramatic movement in short-term interest rates, the rally in the Treasury market and the flattening of the yield curve have left ARMs vulnerable to ARM-to-fixed rate refinancing in the near term. Therefore, we expect to continue to emphasize seasoned ARMs originated prior to 1993, which are less vulnerable to prepayments than more recent issues. /s/ Jonathan A. Beinner Jonathan A. Beinner /s/ Peter D. Dion Peter D. Dion /s/ James P. McCarthy James P. McCarthy Portfolio Managers Goldman Sachs Adjustable Rate Government Fund November 28, 1997 - --------------------------------------- --------------------------------------- 5 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND October 31, 1997 - -------------------------------------------------------------------------------- In accordance with the requirements of the Securities and Exchange Commission, the following data is supplied for the periods ended October 31, 1997. The performance for each class of the Goldman Sachs Adjustable Rate Government Fund (assuming both the maximum sales charge of 1.5% and no sales charge for Class A shares), is compared to its benchmarks--the Lehman Brothers Mutual Fund Short (1-2) U.S. Government Index ("Lehman 1-2 Index") and the six month and one year U.S. Treasury Bills ("six-Month T-Bill/one-Year T-Bill"). All performance data shown represents past performance and should not be considered indicative of future performance which will fluctuate as market conditions change. The investment return and principal value of an investment will fluctuate with changes in market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Institutional Shares(a) [GRAPH] Institutional Lehman One-Year Six-Month Shares 1-2 Index T-Bill T-Bill ------------- --------- -------- --------- 8/1/91 50,000 50,000 50,000 50,000 10/31/91 51,047 51,581 51,179 50,870 10/31/92 54,176 55,506 54,161 53,376 10/31/93 56,414 58,368 56,198 55,197 10/31/94 57,475 59,511 57,744 57,257 10/31/95 61,355 64,343 61,766 60,819 10/31/96 65,576 68,197 65,373 64,158 10/31/97 69,970 72,473 69,308 67,765 Administration Shares(a) [GRAPH] Administration Lehman One-Year Six-Month Shares 1-2 Index T-Bill T-Bill -------------- --------- -------- --------- 5/1/93 50,000 50,000 50,000 50,000 10/31/93 51,917 50,931 50,785 50,780 10/31/94 51,747 51,931 52,182 52,675 10/31/95 55,100 56,148 55,835 55,951 10/31/96 58,742 59,511 59,096 59,023 10/31/97 62,519 63,242 62,417 62,576 - -------------------------------------- ---------------------------------------- 6 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND October 31, 1997 - -------------------------------------------------------------------------------- Service Shares [GRAPH] Service Lehman One-Year Six-Month Shares 1-2 Index T-Bill T-Bill --------- ----------- ---------- ----------- 3/27/97 50,000 50,000 50,000 50,000 10/31/97 51,905 52,295 52,010 51,730 Class A Shares(a) [GRAPH] Class A Shares Class A Shares Lehman One-Year Six Month (No Sales Charge) (W/Sales Charge) 1-2 Index T-Bill T-Bill ----------------- ---------------- --------- -------- --------- 6/1/95 10,000 9,850 10,000 10,000 10,000 10/31/95 10,222 10,069 10,277 10,260 10,246 10/31/96 10,898 10,735 10,893 10,859 10,809 10/31/97 11,599 11,425 11,576 11,513 11,416 Average Annual Total Return ---------------------- Since One Year Five Year Inception(b) Institutional Shares 6.70% 5.25% 5.54% ------------------------------------------------------------------------- Administration Shares 6.43% N/A 5.07% ------------------------------------------------------------------------- Service Shares N/A N/A 3.81%(c) ------------------------------------------------------------------------- Class A Shares, excluding sales charge 6.43% N/A 6.41% ------------------------------------------------------------------------- Class A Shares, including sales charge 4.52% N/A 5.67% (a) For comparative purposes, initial investments are assumed to be made on the first day of the month following the commencement of operations. (b) The Institutional, Administration, Service and Class A shares commenced operations July 17, 1991, April 15, 1993, March 27, 1997 and May 15, 1995, respectively. (c) An aggregate total return (not annualized) is shown instead of an average annual total return since these shares have not completed a full twelve months of operations. - --------------------------------------- --------------------------------------- 7 Statement of Investments - -------------------------------------------------------------------------------- GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND October 31, 1997 - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - ------------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS--95.4% ADJUSTABLE RATE FEDERAL HOME LOAN MORTGAGE CORP. (FHLMC)(B)--29.3% $ 2,223,517 7.48% 07/01/18 $ 2,322,530 1,210,343 7.55 12/01/18 1,259,132 9,013,669 7.51 05/01/19(a) 9,369,979 17,838,225 7.79 11/01/19 18,788,645 10,702,752 7.53 01/01/20 11,107,423 4,400,254 7.83 05/01/20 4,631,267 15,895,232 7.58 06/01/20(a) 16,607,974 33,041,610 7.86 02/01/22(a) 34,745,236 6,124,002 7.49 06/01/22 6,337,056 3,384,390 7.54 08/01/22 3,524,538 5,300,601 7.47 09/01/22 5,478,489 5,864,606 7.70 09/01/22 6,145,931 14,855,692 7.76 11/01/22 15,607,836 8,594,891 7.78 06/01/24 9,026,010 3,048,728 7.35 02/01/28 3,152,567 1,525,453 7.77 07/01/30 1,603,633 - ------------------------------------------------------------------------------------------------- $149,708,246 - ------------------------------------------------------------------------------------------------- ADJUSTABLE RATE FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)(B)--49.2% $ 1,593,175 7.43% 04/01/03 $ 1,618,379 954,358 7.84 11/01/14 1,001,179 642,600 7.52 12/01/15 667,302 5,375,190 6.87 03/01/17 5,498,658 3,004,775 7.58 03/01/17 3,144,226 10,422,695 7.10 04/01/17 10,771,855 765,651 7.61 11/01/17 797,716 3,529,684 6.61 03/01/18 3,583,194 1,072,159 7.33 03/01/18 1,115,721 659,826 7.76 05/01/18 677,971 1,186,769 7.48 06/01/18 1,229,315 7,289,895 7.60 06/01/18 7,664,668 4,578,620 7.58 07/01/18 4,795,371 5,466,744 7.47 08/01/18 5,699,956 3,579,734 7.80 08/01/18 3,776,619 1,728,032 7.46 10/01/18 1,791,796 2,904,804 7.65 10/01/18 3,034,155 188,921 7.40 11/01/18 195,444 5,664,992 7.53 11/01/18 5,898,673 1,747,028 7.35 12/01/18 1,816,630 11,420,431 7.67 12/01/18 12,048,555 2,985,079 7.42 06/01/19 3,105,885 3,874,553 7.42 07/01/19 4,034,378
Principal Interest Maturity Amount Rate Date Value - ------------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS (CONTINUED) ADJUSTABLE RATE FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) (CONTINUED) $ 1,490,807 7.43% 07/01/19 $ 1,553,928 1,447,904 7.33 08/01/19 1,498,580 3,789,047 7.63 09/01/19 3,974,369 2,639,072 7.83 03/01/20 2,784,221 7,679,259 7.54 07/01/20 7,985,201 4,167,783 7.68 02/01/21 4,388,550 4,608,066 7.40 04/01/21 4,799,577 63,900,621 7.65 09/01/21(a) 67,015,776 19,370,852 7.68 02/01/22(a) 20,384,723 12,311,450 7.75 06/01/22 12,945,120 1,801,456 7.68 08/01/22 1,894,915 266,672 6.23 12/01/23 266,088 14,049,198 7.04 06/01/24 14,454,939 14,417,119 7.58 04/01/25 15,074,540 742,823 7.73 09/01/25 780,774 3,654,814 7.38 08/01/27 3,811,277 2,211,792 7.35 10/01/27 2,306,147 948,534 7.19 07/01/29 980,395 - ------------------------------------------------------------------------------------------------- $250,866,766 - ------------------------------------------------------------------------------------------------- ADJUSTABLE RATE GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)(B)--3.4% $ 1,313,760 7.00% 03/20/16 $ 1,349,889 885,299 7.00 08/20/18 910,751 5,638,287 7.00 02/20/21 5,816,231 3,228,227 7.00 01/20/22 3,326,075 3,398,816 7.00 03/20/23 3,502,921 2,484,829 5.50 06/20/27 2,512,013 - ------------------------------------------------------------------------------------------------- $ 17,417,880 - ------------------------------------------------------------------------------------------------- ADJUSTABLE RATE SMALL BUSINESS ADMINISTRATION (SBA)(B)--5.2% $ 996,142 6.63% 09/25/16 $ 1,004,858 3,569,972 6.63 07/25/17 3,601,210 7,525,017 6.63 08/25/17 7,590,860 3,051,680 6.63 09/25/17 3,078,383 3,494,298 6.63 10/25/17 3,524,873 7,467,983 6.63 02/25/18 7,533,328 - ------------------------------------------------------------------------------------------------- $ 26,333,512 - -------------------------------------------------------------------------------------------------
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 8 Statement of Investments - -------------------------------------------------------------------------------- GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND (continued) October 31, 1997 - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - ----------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS (CONTINUED) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)--1.0% $ 548,875 7.00% 05/15/23 $ 553,502 623,288 7.00 06/15/23 628,543 1,457,690 7.00 07/15/23 1,469,977 489,634 7.00 09/15/23 493,761 1,364,142 7.00 10/15/23 1,375,643 517,086 7.00 11/15/23 521,445 - ----------------------------------------------------------------------------------------------- $ 5,042,871 - ----------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS--7.3% ADJUSTABLE RATE CMOS(B)--1.9% FNMA Remic Trust 1990-145, Class A $9,391,114 6.72% 12/25/20(a) $ 9,478,639 - ----------------------------------------------------------------------------------------------- $ 9,478,639 - ----------------------------------------------------------------------------------------------- INVERSE FLOATER(B)--0.0% FNMA Remic Trust 1991-91, Class S $ 111,049 16.81% 07/25/98 $ 117,008 - ----------------------------------------------------------------------------------------------- $ 117,008 - ----------------------------------------------------------------------------------------------- INVERSE FLOATING RATE-INTEREST ONLY(B)--0.0% FNMA Remic Trust 1992-157, Class SA $ 674,929(c) 12.74% 03/25/04 $ 21,112 - ----------------------------------------------------------------------------------------------- $ 21,112 - ----------------------------------------------------------------------------------------------- IOETTE--0.2% FNMA Remic Trust 1990-145, Class B $ 23,077(c) 10.00% 12/25/20 $ 774,099 - ----------------------------------------------------------------------------------------------- $ 774,099 - ----------------------------------------------------------------------------------------------- PLANNED AMORTIZATION-ACCRUAL BOND--1.2% FNMA Remic Trust 188B, Class ZA $6,259,551 5.75% 09/25/10 $ 6,198,457 - ----------------------------------------------------------------------------------------------- $ 6,198,457 - ----------------------------------------------------------------------------------------------- REGULAR FLOATER CMOS(B)--1.4% FNMA Remic Trust 169B, Class FA $2,536,413 6.06% 09/25/00 $ 2,550,668 FNMA Remic Trust X-225C, Class FG 4,500,000 6.81 12/25/23 4,644,810 - ----------------------------------------------------------------------------------------------- $ 7,195,478 - -----------------------------------------------------------------------------------------------
Principal Interest Maturity Amount Rate Date Value - ---------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) SEQUENTIAL FIXED RATE CMOS--0.0% FNMA Remic Trust 1991-37, Class E $ 119,493 8.50% 04/25/05 $ 119,268 - ---------------------------------------------------------------------------------------------- $ 119,268 - ---------------------------------------------------------------------------------------------- SUPER FLOATER CMOS(B)--0.6% FNMA Remic Trust 1992-157, Class FA $3,323,177(c) 1.97% 03/25/04 $ 3,272,265 - ---------------------------------------------------------------------------------------------- $ 3,272,265 - ---------------------------------------------------------------------------------------------- SUPPORT--2.0% FHLMC Series 1645, Class B $2,956,606 5.50% 01/15/08 $ 2,853,215 FNMA Remic Trust G94 13, Class ZB 7,354,651 7.00 11/17/24 7,239,698 - ---------------------------------------------------------------------------------------------- $ 10,092,913 - ---------------------------------------------------------------------------------------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS $ 37,269,239 - ---------------------------------------------------------------------------------------------- TOTAL MORTGAGE BACKED OBLIGATIONS (COST $483,614,604) $486,638,514 - ---------------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS--1.8% United States Treasury Bonds--1.8% $6,900,000 15.75% 11/15/01 $ 9,352,743 - ---------------------------------------------------------------------------------------------- TOTAL U.S. TREASURY OBLIGATIONS (COST $9,301,523) $ 9,352,743 - ---------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT--1.3% Joint Repurchase Agreement Account $6,500,000 5.76% 11/03/97(a) $ 6,500,000 - ---------------------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENT (COST $6,500,000) $ 6,500,000 - ---------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (COST $499,416,127(D)) $502,491,257 - ----------------------------------------------------------------------------------------------
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 9 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- Futures contracts open at October 31, 1997 are as follows:
Number of Contracts Settlement Unrealized Type Long (Short)(e) Month Gain (Loss) - --------------------------- --------------- ------------- ----------- Euro Dollars 520 December 1997 $ 345,750 Euro Dollars 290 March 1998 95,875 Euro Dollars 180 June 1998 71,250 Euro Dollars (20) December 1998 (54,500) 5 Year U.S. Treasury Notes 15 December 1997 20,391 10 Year U.S. Treasury Notes (295) December 1997 (912,719) --------- $(433,953)
- --------------------------------------------- FEDERAL INCOME TAX INFORMATION: Gross unrealized gain for investments in which value exceeds cost $3,465,455 Gross unrealized loss for investments in which cost exceeds value (442,377) - --------------------------------------------- Net unrealized gain $3,023,078 - ---------------------------------------------
(a) Portions of these securities are being segregated for futures margin requirements. (b) Variable rate security. Coupon rate disclosed is that which is in effect at October 31, 1997. (c) Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the coupon rate due to the amortization of related premiums. (d) The aggregate cost for federal income tax purposes is $499,468,179. (e) Each Euro Dollar contract represents $1,000,000 in notional par value. Each 5-Year and 10-Year U.S. Treasury Note contract represents $100,000 in notional par value. The total notional amount and market value at risk are $1,041,000,000 and $272,543,093, respectively. The determination of notional amounts as presented here are indicative only of volume of activity and not a measure of market risk. The percentages shown for each investment category reflect the value of investments in that category as a percentage of total net assets. - --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 10 Letter to Shareholders - -------------------------------------------------------------------------------- GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- INVESTMENT OBJECTIVE The Goldman Sachs Short Duration Government Fund's primary objective is to provide a high level of current income by investing in a portfolio that consists of securities issued or guaranteed by the U.S. government, its agencies or instrumentalities, including mortgage-backed securities as well as repurchase agreements collateralized by such instruments. Secondarily, the fund may, in seeking current income, also consider the potential for capital appreciation. Under normal interest rate conditions, the fund's duration is expected to be within one-half year of its benchmark, the two-year U.S. Treasury security. NEW SHARE CLASSES To accommodate different clients' needs and preferences, the fund added Class A and B shares on May 1, 1997 and Class C shares on August 15, 1997. PERFORMANCE REVIEW During the period under review, the fund's Institutional, Administration and Service shares outperformed their benchmark. The fund's investments in collateralized mortgage obligations (CMOs) and adjustable-rate mortgage (ARM) securities were the largest contributors to performance, particularly during the first half of the period when these sectors' yield spreads relative to Treasuries narrowed. However, the performance of Class A, B and C shares lagged the benchmark, primarily because they began operations during the latter half of the fiscal year after most of the gains in CMOs and ARMs had already been achieved. By mid-1997, yield spreads were tight, which left them vulnerable to pressures related to the Asian financial crisis. PERFORMANCE SUMMARY
INSTITUTIONAL ADMINISTRATION SERVICE CLASS A* CLASS B* CLASS C* (10/31/96 - (10/31/96 - (10/31/96 - (5/1/97 - (5/1/97 - (8/15/97 - 10/31/97) 10/31/97) 10/31/97) 10/31/97) 10/31/97) 10/31/97) ------------- -------------- ----------- --------- --------- ---------- Total Return (based on net asset value [NAV]) 7.07% 6.91% 6.63% 4.14% 3.94% 1.44% Return From Monthly Distributions 6.75% 6.49% 6.21% 3.11% 2.80% 1.13% Return From Price Appreciation 0.32% 0.42% 0.42% 1.03% 1.14% 0.31% Two-Year U.S. Treasury Security Total Return 6.35% 6.35% 6.35% 4.17% 4.17% 1.53% NAV (10/31/97) $9.86 $9.89 $9.86 $9.88 $9.86 $9.86 NAV Change +$0.03 +$0.04 +$0.04 +$0.10 +$0.11 +$0.03 Total Distributions Paid Per Share+ $0.64 $0.62 $0.59 $0.30 $0.27 $0.11
* New share class opened during the period. Performance and NAV change are cumulative from inception date. + The fund distributes substantially all of its investment company taxable income, as required by tax law. The fund's NAV and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. All performance figures represent past performance and in no way guarantee future results, which will fluctuate as market conditions change. The investment return and principal value of an investment in the fund will fluctuate, and therefore an investor's shares when redeemed may be worth more or less than their original cost. Goldman, Sachs & Co., the distributor of the fund, is not a bank, and fund shares distributed by Goldman, Sachs & Co. are not deposits or obligations of, or endorsed or guaranteed by, any bank or depository institution, nor are they insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board or any other government agency. 11 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- We are pleased to report that the fund performed well relative to its peers. According to Morningstar, Inc., an independent rating agency, the fund's Institutional shares were rated four stars for the five-year period ended October 31 (in a universe of 732 taxable bond funds)./1/ The fund also fared well compared with other funds in Lipper Analytical Services, Inc.'s short-intermediate U.S. government category. For the 12-month period ended October 31, 1997, the fund's Institutional and Administration shares ranked in the top quartile (19th and 22nd, respectively) of the 95 funds in the Lipper group based on total return. For the five-year period ended October 31, 1997, the fund's Institutional shares ranked 12th out of 40 funds in its category. (The fund's Service shares ranked 34th in the Lipper category for the 12-month period; Lipper did not rank the fund's Class A, B and C shares for this period because they have been in existence less than 12 months. Please note that Lipper rankings do not take sales charges into account and that past performance is not a guarantee of future results.) PORTFOLIO COMPOSITION AND INVESTMENT STRATEGIES During the period, we maintained our strategy of focusing on securities that we believed would fare well relative to the overall market regardless of the direction of interest rate movements. Rather than attempting to forecast interest rates, we matched the fund's duration to - -------- /1/Source: (C) 1997 Morningstar, Inc. All rights reserved. Morningstar proprietary ratings reflect historical risk-adjusted performance as of 10/31/97. The ratings are subject to change every month. Past performance is no guarantee of future results. Morningstar ratings are calculated from a fund's three-, five-, and ten-year average annual returns (where applicable) in excess of 90-day Treasury bill returns with appropriate fee and sales charge adjustments and a risk factor that reflects fund performance below 90-day Treasury bill returns. The fund's Institutional shares received four stars for the three-year period and were rated among 1,338 taxable bond funds. The Morningstar ratings apply only to the fund's Institutional shares; the fund's Administration, Service, A, B and C shares have not been rated. The Administration, Service, A, B and C shares are subject to additional fees and expenses, which may have the effect of lowering performance and may affect any future Morningstar rating. Morningstar rates each fund against its peers in the same category. In all, there are four Morningstar categories (domestic equity, international equity, taxable bond and municipal). Morningstar ratings range from five stars (highest) to one star (lowest). Funds with five-star ratings are in the top 10% of their category, four-star ratings in the next 22.5%, three stars the next 35%, two stars the next 22.5% and one star the lowest 10% of their categories. that of the benchmark (1.9 years as of October 31) and used extensive research to identify attractive securities that offered incremental yield relative to Treasuries. The largest changes in the portfolio's sector composition compared with a year ago were a new allocation in agency debentures and a reduction in ARM securities. PORTFOLIO COMPOSITION AS OF OCTOBER 31, 1997* [PIE CHART] Repos/Cash Equivalents 1.4% Agency Debentures 4.0% Fixed Rate Mortgage Pass Throughs 5.6% ARMs 15.5% U.S. Treasuries 16.3% CMOs 57.2% * The percentages shown are of total portfolio investments that have settled and include an offset to cash equivalents relating to unsettled trades. These percentages may differ from those in the accompanying Statement of Investments, which reflect portfolio holdings as a percentage of net assets. . CMOs. CMOs represented more than half of the portfolio as of October 31 (57.2%), approximately the same allocation as a year ago. CMOs, which are multi-class bonds collateralized by a pool of mortgage loans or mortgage pass- through certificates, performed well during the period due to the favorable interest rate environment. When interest rates remained within a relatively narrow range, CMO securities experienced strong demand from yield-seeking investors. Sequential-pay/support CMOs and planned amortization class (PAC) CMOs constituted the majority of the fund's allocation in the sector, at 24.1% and 19.9% of the portfolio, respectively. The fund's third largest allocation within the sector was CMO floaters (7.8%), which are floating rate securities whose coupons reset as interest rates change. - --------------------------------------- --------------------------------------- 12 Letter to Shareholders - -------------------------------------------------------------------------------- GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND (continued) - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- . ARMs. As of the end of the fiscal year, ARMs accounted for 15.5% of the portfolio. We trimmed the fund's allocation in the sector from 19.0% a year earlier as ARMs "richened" and we identified securities in other sectors that offered more compelling risk-adjusted return potential. We focused on fully indexed ARMs because these securities provide stable current income. We continued to emphasize "seasoned" ARMs, which have lower prepayment risk than recently issued ARMs. ("Seasoned" issues are securities that have been in existence for several years; it is assumed that homeowners who did not refinance during earlier periods of lower rates are less likely to refinance in the future.) . Fixed Rate Mortgage Pass-Throughs. The fund held a 5.6% weighting in fixed rate mortgage pass-throughs, down slightly from a 7.2% allocation a year ago. As was the case with other mortgage-backed security sectors, pass-throughs performed well during the period, primarily due to low volatility and healthy demand. As pass-throughs' yield spreads narrowed relative to Treasuries, we trimmed the allocation in favor of other sectors that offered greater yield enhancement. . Agency Debentures. Agency debentures, a 4.0% position as of October 31, are bonds issued by agencies of the U.S. government. This sector was attractive because it offered incremental yield over Treasuries. . U.S. Treasuries and Repurchase Agreements/Cash Equivalents. During the first half of the period, we significantly cut the fund's allocation to U.S. Treasuries in favor of other sectors that offered better relative value. After the yield spreads of Treasury alternatives tightened significantly, however, we increased Treasuries to 16.3%, approximately the same weighting as the beginning of the fiscal year. In addition, the fund held 1.4% in repurchase agreements/cash equivalents as of October 31, nearly unchanged from last year. . Issuer Composition. The composition of the portfolio's mortgage-backed security allocation by issuer was 39.8% in Federal Home Loan Mortgage Corporation (FHLMC) issues and 38.6% in Federal National Mortgage Association (FNMA) issues. . Credit Quality. The fund invests exclusively in securities issued by the U.S. government and its agencies or instrumentalities. . Use of Derivatives. As noted, the fund held sequential-pay/support CMOs, PAC CMOs and CMO floaters, securities typically considered to be lower risk derivatives. The fund's CMO allocation also included small positions in super floaters (2.3%), whose coupons reset higher than conventional floaters when rates rise; inverse floaters (2.1%), whose coupons reset in the opposite direction of interest rates; and PAC interest-only (IO) securities (1.0%), whose cash flows are made up only of the interest payments of their underlying mortgages. We invest in these higher risk derivatives only when we believe they will enhance returns without incurring undue risk. In the favorable rate environment, the fund's performance benefited from these holdings. In addition, we used futures as a tool to help manage the portfolio's duration. MARKET OUTLOOK During October, all mortgage-backed securities gave up ground amid turmoil in global financial markets. However, the extent of their underperformance was significantly less than that of the credit sectors (e.g., corporate and asset- backed securities). The degree to which yield spreads widened among CMOs is currently somewhat uncertain--there was very little trading in the sector at the end of the period because investor attention was directed elsewhere. In the ARM market, the flattening of the yield curve and the rally in the Treasuries have left ARMs vulnerable to ARM-to-fixed rate refinancing in the near term. In general, we currently 13 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- have a cautious view of the mortgage-backed securities sectors, and intend to remain focused on securities that are less vulnerable to rate swings than the broader market. /s/ Jonathan A. Beinner Jonathan A. Beinner /s/ James B. Clark James B. Clark Portfolio Managers Goldman Sachs Short Duration Government Fund November 28, 1997 - --------------------------------------- --------------------------------------- 14 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND October 31, 1997 - -------------------------------------------------------------------------------- In accordance with the requirements of the Securities and Exchange Commission, the following data is supplied for the periods ended October 31, 1997. The performance for each class of the Goldman Sachs Short Duration Government Fund (assuming both the maximum sales charge of 2.0% and no sales charge for Class A shares and the appropriate redemption fee and no redemption fee for the Class B and Class C shares) is compared to its benchmarks, the U.S. 2-Year Treasury Bill ("Two-Year T-Bill") and the Lehman Brothers Mutual Fund Short (1-3) U.S. Government Index ("Lehman Short (1-3) Gov't Index"). All performance data shown represents past performance and should not be considered indicative of future performance which will fluctuate as market conditions change. The investment return and principal value of an investment will fluctuate with changes in market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Institutional Shares(a) [GRAPH] Institutional Two Year Lehman Short 1-3 Shares T-Bill Gov't Index ------ ------ ----------- 9/1/88 $50,000 $50,000 $50,000 10/31/88 $51,283 $51,057 $51,091 10/31/89 $55,940 $55,412 $55,919 10/31/90 $60,543 $59,876 $60,861 10/31/91 $67,161 $66,615 $67,699 10/31/92 $71,365 $72,161 $73,208 10/31/93 $75,326 $76,335 $77,446 10/31/94 $76,072 $77,058 $78,339 10/31/95 $82,895 $84,009 $85,256 10/31/96 $88,507 $88,756 $90,346 10/31/97 $94,764 $94,392 $96,200 Administration Shares [GRAPH] Administration Lehman Short Two Year Shares 1-3 Gov't Index T-Bill 2/28/96 50,000 50,000 50,000 10/31/96 52,000 51,760 51,805 10/31/97 55,593 55,115 55,095 Service Shares [GRAPH] Service Lehman Short Two Year Shares 1-3 Gov't Index T-Bill 4/10/96 50,000 50,000 50,000 10/31/96 52,175 52,110 51,855 10/31/97 55,634 55,485 55,150 - --------------------------------------- --------------------------------------- 15 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Class A Shares [GRAPH] Class A Shares Class A Shares Two-Year Lehman Short (No Sales Charge) (W/Sales Charge) T-Bill 1-3 Gov't Index ----------------- ---------------- -------- --------------- 5/1/97 10,000 9,800 10,000 10,000 10/31/97 10,414 10,206 10,417 10,415 Class B Shares [GRAPH] Class B Shares Class B Shares Two-Year Lehman Short (w/out redempt.charge) (w/redempt.charge) T-Bill 1-3 Gov't Index ---------------------- ------------------ -------- --------------- 5/1/97 10,000 10,000 10,000 10,000 10/31/97 10,394 10,194 10,417 10,415 Class C Shares [GRAPH] Class C Shares Class C Shares Two-Year Lehman Short (w/out redempt.charge) (w/redempt.charge) T-Bill 1-3 Gov't Index ---------------------- ------------------ -------- --------------- 8/15/97 10,000 10,000 10,000 10,000 10/31/97 10,144 10,044 10,153 10,151 Average Annual Total Return ---------------------- Since One Year Five Year Inception(b) Institutional Shares 7.07% 5.83% 7.22% ------------------------------------------------------------------------- Administration Shares 6.91% N/A 6.53% ------------------------------------------------------------------------- Service Shares 6.63% N/A 7.07% ------------------------------------------------------------------------- Class A Shares, excluding sales charge N/A N/A 4.14%(c) ------------------------------------------------------------------------- Class A Shares, including sales charge N/A N/A 2.06%(c) ------------------------------------------------------------------------- Class B Shares, excluding redemption charge N/A N/A 3.94%(c) ------------------------------------------------------------------------- Class B Shares, including redemption charge N/A N/A 1.94%(c) ------------------------------------------------------------------------- Class C Shares, excluding redemption charge N/A N/A 1.44%(c) ------------------------------------------------------------------------- Class C Shares, including redemption charge N/A N/A 0.44%(c) (a) For comparative purposes, initial investments are assumed to be made on the first day of the month following the commencement of operations of the Institutional, Administration and Service shares. (b) The Institutional, Administration, Service, Class A, Class B and Class C shares commenced operations August 15, 1988, February 28, 1996, April 10, 1996, May 1, 1997, May 1, 1997 and August 15, 1997, respectively. (c) An aggregate total return (not annualized) is shown instead of an average annual total return since these shares have not completed a full twelve months of operations. - -------------------------------------------------------------------------------- 16 Statement of Investments - -------------------------------------------------------------------------------- GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND October 31, 1997 - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - --------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS--77.8% ADJUSTABLE RATE FEDERAL HOME LOAN MORTGAGE CORP. (FHLMC) (A)--10.4% $ 1,670,748 7.63% 08/01/17(b) $ 1,728,439 1,254,549 7.31 05/01/18 1,271,799 1,628,367 7.55 12/01/18(b) 1,694,007 7,237,238 7.86 02/01/22(b) 7,610,390 - --------------------------------------------------------------------------------------------- $ 12,304,635 - --------------------------------------------------------------------------------------------- ADJUSTABLE RATE FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) (A)--5.0% $ 2,290,460 7.84% 11/01/14 $ 2,402,830 1,801,456 7.68 08/01/22 1,894,915 1,563,791 7.77 01/01/31 1,640,511 - --------------------------------------------------------------------------------------------- $ 5,938,256 - --------------------------------------------------------------------------------------------- FIXED RATE FEDERAL HOME LOAN MORTGAGE CORP. (FHLMC)--2.5% $ 2,943,034 6.50% 12/01/00 $ 2,954,218 - --------------------------------------------------------------------------------------------- FIXED RATE FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)--3.0% $ 73,609 9.00% 12/01/97 $ 73,825 769,822 6.00 01/01/14 749,637 2,853,210 6.00 03/01/14 2,798,828 - --------------------------------------------------------------------------------------------- $ 3,622,290 - --------------------------------------------------------------------------------------------- COLLATERALIZED MORTGAGE OBLIGATIONS (CMOS)--56.9% INVERSE FLOATER(A)--1.8% FHLMC Series 1296, Class J $ 890,613(c) 11.75% 07/15/99(b) $ 959,973 FNMA Remic Trust 1992-62, Class S 1,212,115(c) 9.42 05/25/99(b) 1,230,661 - --------------------------------------------------------------------------------------------- $ 2,190,634 - --------------------------------------------------------------------------------------------- INVERSE FLOATING RATE-INTEREST ONLY(A)--0.2% FHLMC Series 1684, Class JD $ 2,192,026 3.60% 08/15/20(b) $ 172,644 FNMA Remic Trust 1993-110, Class SC 1,548,475(c) 3.40 04/25/19 61,258 - --------------------------------------------------------------------------------------------- $ 233,902 - --------------------------------------------------------------------------------------------- PLANNED AMORTIZATION CLASS (PAC) CMOS--19.8% FHLMC Series 1584, Class E $ 3,000,000 5.75% 10/15/16(b) $ 2,986,860 FHLMC Series 1645, Class ZA 2,221,401 5.50 04/15/05(b) 2,185,992 FHLMC Series 1985, Class PC 6,000,000 6.35 05/17/18(b) 6,031,860
Principal Interest Maturity Amount Rate Date Value - ----------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) PLANNED AMORTIZATION CLASS (PAC) CMOS (CONTINUED) FHLMC Series 1987, Class L $ 4,000,000 6.20% 08/25/22(b) $ 3,958,976 FNMA Remic Trust 1991-31, Class PJ 3,000,000 6.55 10/25/20 3,034,680 FNMA Remic Trust 1997-70, Class AB 1,250,000 6.50 09/25/22 1,244,125 FNMA Remic Trust 1997-9, Class B 4,000,000 6.50 10/25/22 4,022,320 - ----------------------------------------------------------------------------------------------- $ 23,464,813 - ----------------------------------------------------------------------------------------------- PLANNED AMORTIZATION CLASS INTEREST-ONLY (PAC IO) CMOS--0.8% FHLMC Series 1552, Class JE $ 4,451,833(c) 7.00% 02/15/14(b) $ 129,370 FHLMC Series 1587, Class HA 7,417,830(c) 6.50 10/15/08(b) 831,019 - ----------------------------------------------------------------------------------------------- $ 960,389 - ----------------------------------------------------------------------------------------------- PLANNED AMORTIZATION CLASS IOETTE CMOS--0.2% FNMA Remic Trust 1992-198, Class K $ 26,073(c) 9.69% 12/25/15 $ 236,624 - ----------------------------------------------------------------------------------------------- REGULAR FLOATER CMOS(A)--7.8% FHLMC Series 1296, Class I $ 2,493,715 5.30% 07/15/99(b) $ 2,469,551 FHLMC Series 1634, Class FH 3,000,000 6.78 12/15/23(b) 3,062,160 FHLMC Series 1684, Class JC 2,192,026 5.40 08/15/20(b) 2,148,865 FNMA Remic Trust 1993-110, Class FC 1,548,474 5.60 04/25/19(b) 1,531,054 - ----------------------------------------------------------------------------------------------- $ 9,211,630 - ----------------------------------------------------------------------------------------------- SEQUENTIAL FIXED RATE CMOS--26.3% FHLMC Series 1033, Class G $ 2,000,000 8.00% 01/15/06(b) $ 2,113,740 FHLMC Series 1645, Class B 4,927,677 5.50 01/15/08(b) 4,755,356 FNMA Remic Trust 1988-12, Class A 3,468,817 10.00 02/25/18 3,689,659 FNMA Remic Trust 1988-12, Class B 2,738,540 4.73 02/25/18 2,634,823 FNMA Remic Trust 1989-12, Class X 1,212,342 10.00 12/25/14 1,255,525
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 17 - -------------------------------------------------------------------------------- - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - ------------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS (CONTINUED) COLLATERALIZED MORTGAGE OBLIGATIONS (CONTINUED) SEQUENTIAL FIXED RATE CMOS (CONTINUED) FNMA Remic Trust 1989-18, Class B $ 787,911 9.50% 01/25/04 $ 813,266 FNMA Remic Trust 1989-59, Class H 2,777,301 7.75 10/25/18 2,812,878 FNMA Remic Trust 1991-133, Class Z 4,872,777 8.00 09/25/06(b) 5,084,888 FNMA Remic Trust 1992-44, Class CA 3,000,000 12.00 08/25/20(b) 3,298,560 FNMA Remic Trust 1993-188, Class TC 2,400,000 6.50 10/25/13 2,403,144 FNMA Remic Trust 1989-34, Class E 2,196,095 9.85 08/25/14 2,277,065 - ------------------------------------------------------------------------------------------------- $ 31,138,904 - ------------------------------------------------------------------------------------------------- TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS $ 67,436,896 - ------------------------------------------------------------------------------------------------- TOTAL MORTGAGE BACKED OBLIGATIONS (COST $91,144,815) $ 92,256,295 - ------------------------------------------------------------------------------------------------- AGENCY DEBENTURES--4.0% Sri Lanka Aid(a) $ 4,750,000 5.84% 02/21/16 $ 4,712,000 - ------------------------------------------------------------------------------------------------- TOTAL AGENCY DEBENTURES (COST $4,678,750) $ 4,712,000 - ------------------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS--16.0% United States Treasury Notes $13,500,000 6.00% 08/15/99(b) $ 13,578,030 5,400,000 5.63 11/30/00(b) 5,383,961 - ------------------------------------------------------------------------------------------------- TOTAL U.S. TREASURY OBLIGATIONS (COST $18,920,441) $ 18,961,991 - ------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT--4.0% Joint Repurchase Agreement Account $ 4,700,000 5.76% 11/03/97(b) $ 4,700,000 - ------------------------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENT (COST $4,700,000) $ 4,700,000 - ------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (COST $119,444,006(D)) $120,630,286 - -------------------------------------------------------------------------------------------------
Futures contracts open at October 31, 1997 are as follows:
Number of Contracts Settlement Unrealized Type Long (Short)(e) Month Gain (Loss) - --------------------------- --------------- -------------- ----------- Euro Dollars 81 December 1997 $ 120,975 Euro Dollars 64 March 1998 81,775 Euro Dollars 66 June 1998 54,500 Euro Dollars 61 September 1998 76,575 Euro Dollars 56 December 1998 73,750 Euro Dollars 31 March 1999 17,000 Euro Dollars 21 June 1999 4,500 Euro Dollars 6 September 1999 4,650 2 Year U.S. Treasury Notes 71 December 1997 120,921 5 Year U.S. Treasury Notes (93) December1997 (169,906) 10 Year U.S. Treasury Notes (132) December 1997 (387,656) U.S. 20 Year Long Term Bond (7) December 1997 (38,281) --------- $ (41,197) - ----------------------------------------------------------------------- FEDERAL INCOME TAX INFORMATION:
Gross unrealized gain for investments in which value exceeds cost $1,517,519 Gross unrealized loss for investments in which cost exceeds value (331,239) - ----------------------------- Net unrealized gain $1,186,280 - -----------------------------
(a) Variable rate security. Coupon rate disclosed is that which is in effect at October 31, 1997. (b) Portions of these securities are being segregated for futures margin requirements. (c) Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the coupon rate due to the amortization of related premiums. (d) The amount stated also represents the aggregate cost for federal income tax purposes. (e) Each Euro Dollar contract represents $1,000,000 in notional par value. Each 2-Year U.S. Treasury Note contract represents $200,000 in notional par value. Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long Term Bond contract represents $100,000 in notional par value. The total notional amount and market value at risk are $423,400,000 and $131,267,113, respectively. The determination of notional amounts as presented here are indicative only of volume of activity and not a measure of market risk. The percentages shown for each investment category reflect the value of investments in that category as a percentage of total net assets. - --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 18 Letter to Shareholders - -------------------------------------------------------------------------------- GOLDMAN SACHS SHORT DURATION TAX-FREE FUND - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- INVESTMENT OBJECTIVE The Goldman Sachs Short Duration Tax-Free Fund seeks to provide a high level of current income exempt from regular federal income tax, consistent with relatively low principal volatility, through investments in investment-grade municipal securities. Under normal interest rate conditions, the fund's duration will be within one-half year of its benchmark, the Lehman Brothers Three-Year Municipal Bond Index. The fund's approximate interest rate sensitivity is comparable to that of a three-year bond. NEW SHARE CLASSES ADDED Class A and Class B Shares were introduced on May 1, 1997, and Class C Shares were added on August 15, 1997, to the existing Institutional, Administration and Service shares. MUNICIPAL BOND MARKET SHOWS SIGNS OF STRENGTH AND STABILITY The municipal market remained at relatively strong levels compared with the taxable market for much of the year, including four consecutive months of rallying from April through July. A typical August slowdown, some rallying in September, and mixed performance for municipals during October, capped off a year that saw overall municipal prices rise. The average price of a three-year municipal bond (as calculated from data provided by Municipal Market Data, an independent municipal market information provider) increased, while yields fell from 4.15% on October 31, 1996 to 3.95% on October 31, 1997. New issue supply increased during 1997 vs. 1996, up a solid 5% through October, versus the first ten months of 1996. The 1997 new issue supply has followed historical early-month patterns, with January and February supply well below annual averages (slightly more than $10 billion each month) and March and April supply closer to normal levels ($13 to $14 billion). Spikes in new issue supply to $21.9 billion in June and $20.6 billion in September were approximately 50% greater than the monthly average for the rest of 1997, and contributed significantly to the year's overall supply increase. Heavy June and July coupon and principal payments flooded the market with enough reinvestment cash to absorb most of the new issue supply during the summer, but heavy fall supply has weakened the municipal market relative to treasuries. Demand from individual investors, who control approximately two-thirds of municipal bond ownership either through mutual funds or direct investment, continued to dominate the market, though municipal rates below the psychologically key 6% level may have discouraged some investors. The budget bill, passed in August, was favorable to municipals both on the demand side--an exemption allowing corporations with outstanding debt to invest in the municipal market was left intact--as well as on the supply side, where restrictions on the amount that private universities can issue were loosened. MUNICIPAL BOND YIELD CURVE [GRAPH] 10/31/97 10/31/96 1998 3.70% 3.90% 1999 3.85 4.15 2000 3.95 4.30 2001 4.05 4.40 2002 4.15 4.50 2003 4.25 4.60 2004 4.35 4.70 2005 4.45 4.80 2006 4.50 4.90 2007 4.55 5.00 2008 4.65 5.10 2009 4.75 5.20 2010 4.85 5.25 2011 4.93 5.30 2012 4.98 5.35 2013 5.03 5.40 2014 5.08 5.40 2015 5.13 5.45 2016 5.15 5.45 2017 5.15 5.45 2018 5.18 5.50 2019 5.18 5.50 2020 5.20 5.50 2021 5.20 5.50 2022 5.20 5.50 2023 5.20 5.50 2024 5.20 5.50 2025 5.23 5.50 2026 5.23 5.50 2027 5.23 5.50 The yield curve experienced a downward parallel shift in contrast to one year ago. Source: Municipal Market Data 19 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- PERFORMANCE SUMMARY We are pleased to report that the fund's Institutional shares ranked tenth out of 33 funds in Lipper Analytical Services, Inc.'s short- intermediate municipal debt category for the one-year period ended October 31, 1997 based on total return. (Lipper did not rank the fund's Class A, Class B, Class C, Administration or Service shares. Please note that Lipper rankings do not take sales charges into account and that past performance is not a guarantee of future results.) The fund's positive performance during the period was primarily due to our emphasis on higher yielding revenue bonds (73% of the portfolio), as well as successful selection of specific securities and relative value trades. As always, we did not make any bets on the direction of interest rates, but rather kept the fund's duration in line with the Index, occasionally using Treasury futures to actively manage sector allocation. In our search for incremental yield, we focused on three types of bonds. The first category was relatively generic, highly liquid securities; the second included slightly less liquid issues that may offer high quality and attractive returns, such as insured hospital bonds and letter-of-credit-backed debt; and the last area was "story" bonds, whose value is often unrecognized by the market because they are unique or generally not well understood. We identified attractive investment opportunities for the third category through our extensive credit analysis. One example of this is our purchase of Maryland Health & Higher Education Facilities bonds for Pickersgill, a 169-bed nursing home that has been in operation for 150 years. Demand for the facility is strong, with a waiting list despite competition in the Baltimore area, and financial results have been strong with sound debt service coverage and significant unreserved funds. We continue to hold the security as an attractive addition to the portfolio. As of October 31, 1997, the Fund owned approximately 4.8% of the outstanding issue.
INSTITUTIONAL* ADMINISTRATION SERVICE* CLASS A CLASS B CLASS C* (10/31/96- (10/31/96- (10/31/96- (5/01/97- (5/01/97- (8/15/97- 10/31/97) 10/31/97) 10/31/97) 10/31/97) 10/31/97) 10/31/97) -------------- -------------- ---------- --------- --------- --------- Total Return (based on net asset value [NAV]) 5.40% 5.14% 4.77% 3.39% 3.07% 0.97% Return From Monthly Distributions 4.27% 4.01% 3.75% 1.97% 1.65% 0.67% Return From Price Appreciation 1.13% 1.13% 1.02% 1.42% 1.42% 0.30% Lehman Brothers 3-Year Municipal Bond Index 5.49% 5.49% 5.49% 3.60% 3.60% 1.16% NAV (as of 10/31/97) $10.07 $10.07 $10.07 $10.08 $10.08 $10.07 NAV Change +$0.11 +$0.11 +$0.10 +$0.14 +$0.14 +$0.03 Total Distributions Paid Per Share+ $0.42 $0.39 $0.37 $0.20 $0.16 $0.07
* New share class opened during the period. Performance and NAV change are cumulative from inception date. + Dividends are declared daily and paid on a monthly basis. The fund intends to distribute substantially all of its investment company tax-exempt and taxable income, as required by tax law. Shares of the Fund are not deposits or obligations of, or guaranteed or endorsed by a bank or other insured depository institution, and are not insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency, and an investment in a Fund involves risk, including possible loss of principal. All performance figures represent past performance and in no way guarantee future results, which will fluctuate as market conditions change. The investment return and principal value of an investment in a Fund will fluctuate and, therefore, an investor's shares when redeemed, may be worth more or less than their original cost. The Fund may invest up to 20% in private activity bonds the interest from which is subject to the alternative minimum tax (AMT). 20 Letter to Shareholders - -------------------------------------------------------------------------------- GOLDMAN SACHS SHORT DURATION TAX-FREE FUND (continued) - --------------------------------------- --------------------------------------- PORTFOLIO COMPOSITION AND INVESTMENT STRATEGIES: EMPHASIS ON REVENUE BONDS PORTFOLIO COMPOSITION AS OF OCTOBER 31, 1997* [PIE CHART] Revenue Bonds 52.5% Insured Revenue Bonds 23.9% General Obligation 9.8% Insured General Obligation 9.0% Pre-refunded Bonds 4.5% Variable Rate Demand Notes 0.3% * The percentages shown are of total portfolio investments that have settled and include an offset to cash equivalents relating to unsettled trades. These percentages may differ from those in the accompanying Statement of Investments, which reflect portfolio holdings as a percentage of net assets. . Revenue Bonds. As of October 31, the portfolio's combined position in insured and uninsured revenue bonds was bonds was decreased slightly to 76.4% of the portfolio, from 79.7% one year ago. The allocation was significantly overweighted compared with the Index' 26.9%. (Revenue bonds pay interest and principal out of a specific revenue stream, such as sales taxes, hospital charges, tolls, electric rates and airport fees.) . General Obligation (GO) Bonds. As of October 31, the fund's allocation in insured and uninsured GO bonds was increased slightly to 18.8% of the portfolio, from 15.6% one year ago. The allocation was significantly underweighted versus the Index's 40.6%. GOs are backed by the general taxing power of a municipality and are typically higher credit quality but lower yielding than revenue bonds. . Pre-refunded Bonds. Over the course of the year, we re-established the fund's holdings in pre-refunded bonds to 4.5% from zero. The Index weighting of pre- refunded bonds was 32.5%. . Variable Rate Demand Notes (VRDNs). VRDNs are high-quality cash equivalents that we use to manage the portfolio's excess liquidity. VRDNs represented 0.3% of the fund, down from 4.7% one year ago. The Index contains no VRDNs. . Duration. As of October 31, the fund's duration was effectively in line with that of the Index at 2.9 years. Duration is a measurement of the Fund's sensitivity to interest rate movements; the shorter the duration, the less the Fund's net asset value (NAV) should move in relation to interest rate fluctuations. . Credit Quality. During the year, the fund's credit quality allocations shifted. We continued the trend from the last reporting period by reducing the portfolio's allocation in triple-A-rated GOs, in favor of double-A-rated revenue bonds. This is consistent with our goal of maintaining the fund's targeted double-A-rated average credit quality and liquidity while achieving high overall yields. We structured the portfolio's credit quality allocation like a "barbell," emphasizing higher credit quality securities in the four- to five-year maturity range and lower quality securities in the one- to three-year maturity range. As of October 31, 40.5% of the portfolio was invested in triple-A-rated bonds, while double-A-, single-A-, and BBB-rated securities accounted for 32.3%, 21.5%, and 5.7%, respectively. MARKET OUTLOOK Our long-term outlook for municipal bonds is essentially bullish. With municipals escaping unscathed from the federal budget accord, we do not see any near-term fundamental problems for tax-exempts, and are left with technical forces as the key driver in relative market performance. The recent cheapening of the market was more related to the heavy seasonal new issue supply and weaker demand than from the global volatility that affected the taxable sectors; we do not feel that - --------------------------------------- --------------------------------------- 21 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- municipals are at risk to cheapen much more. In anticipation of near-term outperformance, we feel that municipals are attractive enough to warrant an allocation from investors who do not currently benefit from tax-exempt income. We value your continued confidence in the Goldman Sachs Short Duration Tax- Free Fund and look forward to reporting on the fund's progress in the coming year. Sincerely, /s/ Benjamin S. Thompson Benjamin S. Thompson /s/ Elisabeth Schupf Lonsdale Elisabeth Schupf Lonsdale Portfolio Managers Goldman Sachs Short Duration Tax-Free Fund November 28, 1997 - --------------------------------------- --------------------------------------- 22 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- GOLDMAN SACHS SHORT DURATION TAX-FREE FUND October 31, 1997 - -------------------------------------------------------------------------------- In accordance with the requirements of the Securities and Exchange Commission, the following data is supplied for the periods ended October 31, 1997. The performance for each class of the Goldman Sachs Short Duration Tax-Free Fund (assuming both the maximum sales charge of 2.0% and no sales charge for Class A shares and the appropriate redemption fee and no redemption fee for the Class B and Class C shares) is compared to its benchmark, the Lehman Brothers 3-Year Municipal Bond Index ("Lehman Three-Year Bond Index"). All performance data shown represents past performance and should not be considered indicative of future performance which will fluctuate as market conditions change. The investment return and principal value of an investment will fluctuate with changes in market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Institutional Shares [GRAPH] Lehman 3 Year Institutional Shares Muni Bond Index 10/1/92 50,000 50,000 10/31/92 49,830 49,805 10/31/93 53,333 53,102 10/31/94 53,424 53,825 10/31/95 56,618 58,023 10/31/96 59,172 60,646 10/31/97 62,375 63,975 Administration Shares [GRAPH] Lehman 3 Year Administration Shares(a) Muni Bond Index 6/1/93 50,000 50,000 10/31/93 51,088 51,144 10/31/94 51,031 51,840 10/31/95 53,971 55,884 10/31/96 56,265 58,410 10/31/97 59,157 61,617 Service Shares [GRAPH] Lehman 3 Year Service Shares(a) Muni Bond Index 10/1/94 50,000 50,000 10/31/94 49,810 49,880 10/31/95 52,594 53,771 10/31/96 54,693 56,201 10/31/97 57,302 59,286 - --------------------------------------- --------------------------------------- 23 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- Class A Shares [GRAPH] Class A Shares Class A Shares Lehman 3 Year (No Sales Charge) (W/Sales Charge) Muni Bond Index ----------------- ---------------- --------------- 5/1/97 10,000 9,800 10,000 10/31/97 10,339 10,132 10,360 Class B Shares [GRAPH] Class B Shares Class B Shares Lehman 3 Year (No Sales Charge) (W/Sales Charge) Muni Bond Index ----------------- ---------------- --------------- 5/1/97 10,000 10,000 10,000 10/31/97 10,307 10,107 10,360 Class C Shares [GRAPH] Class C Shares Class C Shares Lehman 3 Year (No Sales Charge) (W/Sales Charge) Muni Bond Index ----------------- ---------------- --------------- 8/15/97 10,000 10,000 10,000 10/31/97 10,097 9,997 10,116 ---------------------------
AVERAGE ANNUAL TOTAL RETURN ----------------------------------- ONE YEAR FIVE YEAR SINCE INCEPTION(B) -------------------------------------------------------------------- Institutional Shares 5.40% 4.59% 4.44 % -------------------------------------------------------------------- Administration Shares 5.14% N/A 3.87 % -------------------------------------------------------------------- Service Shares 4.77% N/A 4.49 % -------------------------------------------------------------------- Class A Shares, excluding sales charge N/A N/A 3.39 %(c) -------------------------------------------------------------------- Class A Shares, including sales charge N/A N/A 1.68 %(c) -------------------------------------------------------------------- Class B Shares, excluding redemption charge N/A N/A 3.07 %(c) -------------------------------------------------------------------- Class B Shares, including redemption charge N/A N/A 1.07 %(c) -------------------------------------------------------------------- Class C Shares, excluding redemption charge N/A N/A 0.97 %(c) -------------------------------------------------------------------- Class C Shares, including redemption charge N/A N/A (0.03)%(c) --------------------------------------------------------------------
(a) For comparative purposes, initial investments are assumed to be made on the first day of the month following the commencement of operations of the Administration and Service share classes. (b) The Institutional, Administration, Service, Class A, Class B and Class C shares commenced operations October 1, 1992, May 20, 1993, September 20, 1994, May 1, 1997, May 1, 1997 and August 15, 1997, respectively. (c) An aggregate total return (not annualized) is shown instead of an average annual total return since these shares have not completed a full twelve months of operations. 24 Statement of Investments - -------------------------------------------------------------------------------- GOLDMAN SACHS SHORT DURATION TAX-FREE FUND October 31, 1997 - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - ----------------------------------------------------------------------------------------------------- DEBT OBLIGATIONS--101.1% ARIZONA--3.0% Mesa, Arizona IDA Health Care Facilities (BIGI) (AAA/Aaa) $1,000,000 7.50% 01/01/04 $1,053,830 - ----------------------------------------------------------------------------------------------------- CALIFORNIA--2.9% Abag Finance Authority for Non-Profit Corporations Refunding Bond (BBB) $1,000,000 5.25% 10/01/07 $1,001,280 - ----------------------------------------------------------------------------------------------------- CONNECTICUT--7.3% Connecticut State Housing Mortgage Revenue Town Colony Project (Aa3) $ 995,000 5.00% 04/01/08 $ 997,129 Connecticut State Residential Recovery Authority, Series A RB (AA-) 1,500,000 5.60 11/15/99 1,549,230 - ----------------------------------------------------------------------------------------------------- $2,546,359 - ----------------------------------------------------------------------------------------------------- FLORIDA--4.3% Dade County Solid Waste System BANS (MIG2/SP2) $1,500,000 4.75% 09/01/98 $1,507,740 - ----------------------------------------------------------------------------------------------------- ILLINOIS--5.9% Illinois Health Facilities Authority Highland Park Hospital, Series A (AAA/Aaa) $1,000,000 5.20% 10/01/01 $1,031,270 Illinois Housing Development Authority, Series 1991 A (A+/A1) 1,000,000 7.90 07/01/99 1,054,550 - ----------------------------------------------------------------------------------------------------- $2,085,820 - ----------------------------------------------------------------------------------------------------- LOUISIANA--3.0% Louisiana Offshore Deepwater Port Authority Term B RB (A/Baa1) $1,000,000 5.85% 09/01/00 $1,038,010 - ----------------------------------------------------------------------------------------------------- MARYLAND--7.6% Maryland Health and Higher Educational Facilities Authority RB (A-) $1,600,000 5.50% 01/01/21 $1,665,920 1,000,000 4.75 07/01/21 1,004,510 - ----------------------------------------------------------------------------------------------------- $2,670,430 - ----------------------------------------------------------------------------------------------------- MICHIGAN--2.9% Detroit Self Insurance Series A (BBB-) $1,000,000 5.60% 05/01/01 $1,027,990 - ----------------------------------------------------------------------------------------------------- MISSOURI--4.9% St. Louis, MO Municipal Finance Corp., Series A (A/Aa3) $1,655,000 5.30% 07/15/02 $1,710,393
Principal Interest Maturity Amount Rate Date Value - ----------------------------------------------------------------------------------------------------- DEBT OBLIGATIONS (CONTINUED) NEW YORK--8.5% Syracuse, NY IDA RB (AA) $1,365,000 4.60% 10/15/98 $1,376,261 Yonkers GO Series C (FGIC) (AAA/Aaa) 1,500,000 6.00 08/01/03 1,618,560 - ----------------------------------------------------------------------------------------------------- $2,994,821 - ----------------------------------------------------------------------------------------------------- PENNSYLVANIA--9.8% Pennsylvania Intergovernmental Coop Authority Special Tax RB (FGIC) (AAA) $1,500,000 5.75% 06/15/00 $1,561,740 Philadelphia, PA Gas Works COPS (FSA) (AAA/Aaa) 1,800,000 5.95 04/01/00 1,872,108 - ----------------------------------------------------------------------------------------------------- $3,433,848 - ----------------------------------------------------------------------------------------------------- PUERTO RICO--3.3% Puerto Rico Commonwealth (A/Baa1) $1,105,000 8.00% 07/01/06 $1,152,438 - ----------------------------------------------------------------------------------------------------- RHODE ISLAND--4.6% Rhode Island Clean Water Finance Agency (AAA/Aaa) $1,385,000 9.20% 10/01/01 $1,622,694 - ----------------------------------------------------------------------------------------------------- TENNESSEE--4.3% Clarksville, TN Public Building Authority (AA) $1,500,000 4.75% 12/01/00 $1,522,635 - ----------------------------------------------------------------------------------------------------- TEXAS--11.6% Arlington GO Refunding Bonds (AA/Aa) $1,270,000 5.20% 08/15/05 $1,331,214 Memorial Villages, TX Water Authority (Aa) 1,110,000 7.00 09/01/00 1,165,211 Tarrant County Health Facilities Development Corp. (AAA/Aaa) 1,500,000 5.50 02/15/03 1,573,530 - ----------------------------------------------------------------------------------------------------- $4,069,955 - ----------------------------------------------------------------------------------------------------- VIRGINIA--5.1% Petersburg, VA Hospital Authority RB (A) $1,760,000 5.50% 07/01/99 $1,800,075 - ----------------------------------------------------------------------------------------------------- WASHINGTON--4.6% Washington State Public Power Supply System RB, Series B (AA-/Aa) $1,500,000 7.20% 07/01/02 $1,615,245 - ----------------------------------------------------------------------------------------------------- WISCONSIN--2.9% Oshkosh, WI Water Rev. BANS Series C (MIG1) $1,000,000 4.88% 01/01/00 $1,005,870
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 25 - -------------------------------------------------------------------------------- - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - --------------------------------------------------------------------------------------------------- DEBT OBLIGATIONS (CONTINUED) WYOMING--4.6% Uinta County, WY School District Series A (FSA) (AAA/Aaa) $1,500,000 6.88% 06/01/00 $ 1,597,935 - --------------------------------------------------------------------------------------------------- Total Debt Obligations (Cost $35,077,329) $35,457,368 - --------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (COST $35,077,329)(A) $35,457,368 - --------------------------------------------------------------------------------------------------- FEDERAL INCOME TAX INFORMATION: Gross unrealized gain for investments in which value exceeds cost $385,094 Gross unrealized loss for investments in which cost exceeds value (5,055) - --------------------------------------------------------------------------------------------------- Net unrealized gain $380,039 - ---------------------------------------------------------------------------------------------------
(a) The amount stated also represents aggregate cost for federal income tax purposes. The percentages shown for each investment category reflect the value of investments in that category as a percentage of total net assets. INVESTMENT ABBREVIATIONS: BANS--Bond Anticipation Notes BIGI--Bond Investors Guaranty Corporation COPS--Certificates of Participation FGIC--Insured by Financial GuarantyInsurance Co. FSA --Financial Security Assurance Co. GO --General Obligation IDA --Industrial Development Authority RB --Revenue Bond - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 26 Letter to Shareholders - -------------------------------------------------------------------------------- GOLDMAN SACHS CORE FIXED INCOME FUND - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- INVESTMENT OBJECTIVE The Goldman Sachs Core Fixed Income Fund seeks to achieve a total return consisting of capital appreciation and income that exceeds the total return of its benchmark, the Lehman Brothers Aggregate Bond Index (the "Index"), through a diversified portfolio of fixed income securities. The fund may invest in U.S. Treasury, agency, corporate, mortgage-backed and asset-backed securities, as well as in a limited amount of non-dollar-denominated fixed income securities. While the fund's performance will be measured against the Index, the portfolio is not required to hold the same securities or match the sector weightings of the Index. Every security in the portfolio must be rated at least investment grade by an independent rating agency or be considered to be of equivalent quality by Goldman Sachs Asset Management at the time it is purchased. The fund's approximate interest rate sensitivity is expected to be comparable to that of a five-year bond. NEW SHARE CLASSES To accommodate different clients' needs and preferences, the fund added three new share classes during the period under review. Class A and B shares opened on May 1, 1997 and C shares opened on August 15, 1997. PERFORMANCE REVIEW During the period under review, the fund's Institutional and Administration shares outperformed the Index. The strongest performing sectors were collateralized mortgage obligations (CMOs) and corporate bonds, which benefited from an accommodative economic environment and high investor demand. The fund's newer share classes -- Class A, B and C -- also recorded positive results. However, the relative returns of these classes lagged because they began operations during the second half of the fiscal year, after most of the gains from corporate, mortgage and emerging market debt had been achieved. In addition, the fund's Service shares recorded a positive return, but trailed the benchmark. We are pleased to report that the fund performed well relative to its peers. For the three-year period ended October 31, 1997, the fund's Institutional shares were PERFORMANCE SUMMARY
INSTITUTIONAL ADMINISTRATION SERVICE CLASS A* CLASS B* CLASS C* (10/31/96- (10/31/96- (10/31/96- (5/1/97- (5/1/97- (8/15/97- 10/31/97) 10/31/97) 10/31/97 10/31/97) 10/31/97) 10/31/97) ------------- -------------- ---------- --------- --------- --------- Total Return (based on net asset value [NAV]) 9.19% 8.92% 8.65% 6.94% 6.63% 2.74% Return From Monthly Distributions 6.76% 6.50% 6.23% 3.18% 2.78% 1.12% Return From Price Appreciation 2.43% 2.42% 2.42% 3.76% 3.85% 1.62% Lehman Brothers Aggregate Bond Index Total Return 8.89% 8.89% 8.89% 7.07% 7.07% 2.95% NAV (as of 10/31/97) $10.08 $10.07 $10.09 $10.06 $10.09 $10.09 NAV Change +$0.23 +$0.23 +$0.23 +$0.36 +$0.37 +$0.16 Total Distributions Paid Per Share+ $0.64 $0.62 $0.59 $0.30 $0.27 $0.11
* New share class opened during the period. Performance and NAV change are cumulative from inception date. + Dividends are declared daily and paid on a monthly basis. As required by tax law, the fund distributes substantially all of its investment company taxable income. All performance figures represent past performance and in no way guarantee future results, which will fluctuate as market conditions change. The investment return and principal value of an investment in the fund will fluctuate, and therefore an investor's shares when redeemed may be worth more or less than their original cost. Goldman, Sachs & Co., the distributor of the fund, is not a bank, and fund shares distributed by Goldman, Sachs & Co. are not deposits or obligations of, or endorsed or guaranteed by, any bank or depository institution, nor are they insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board or any other government agency. 27 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- rated four stars (in a universe of 1,338 taxable bond funds) by Morningstar, Inc., an independent rating agency./1/ The fund also fared well versus its peers in Lipper Analytical Services, Inc.'s intermediate investment-grade debt fund category. For the 12-month period ended October 31, the fund's Institutional and Administration shares both ranked within the top 20% of their peer group (26th and 36th, respectively, out of 195 funds). The fund's Service shares also did well, placing within the top quartile of the Lipper category (44th of 195 funds). (Lipper did not rank the fund's Class A, B and C shares for the 12-month period because they have been in existence less than 12 months. Please note that Lipper rankings do not take sales charges into account and that past performance is no guarantee of future results.) PORTFOLIO COMPOSITION AND INVESTMENT STRATEGIES During the period, we continued to emphasize securities that are fundamentally good credit quality and/or have relatively limited exposure to interest rate movements, such as seasoned mortgage-backed issues. Within this overall strategy, we actively used our extensive research resources to identify attractive sectors and securities that enabled us to add incremental yield relative to Treasuries. - -------- /1/Source: (C)1997 Morningstar, Inc. All rights reserved. Morningstar proprietary ratings reflect historical risk-adjusted performance as of 10/31/97. The ratings are subject to change every month. Past performance is no guarantee of future results. Morningstar ratings are calculated from a fund's three-, five-, and ten-year average annual returns (where applicable) in excess of 90-day Treasury bill returns with appropriate fee and sales charge adjustments and a risk factor that reflects fund performance below 90-day Treasury bill returns. The Morningstar ratings apply only to the fund's Institutional shares; the fund's Administration, Service, A, B and C shares have not been rated. The Administration, Service, A, B and C shares are subject to additional fees and expenses, which may have the effect of lowering performance and may affect any future Morningstar rating. Morningstar rates each fund against its peers in the same category. In all, there are four Morningstar categories (domestic equity, international equity, taxable bond and municipal). Morningstar ratings range from five stars (highest) to one star (lowest). Funds with five-star ratings are in the top 10% of their category, four-star ratings in the next 22.5%, three stars the next 35%, two stars the next 22.5% and one star the lowest 10% of their categories. PORTFOLIO COMPOSITION AS OF OCTOBER 31, 1997* [PIE CHART] Emerging Market Debt 5.0% CMOs 12.6% ABSs 13.1% U.S. Treasury 15.7% Fixed Rate Mortgage Pass-Throughs 24.8% Corporate Bonds 28.8% *The percentages shown are of total portfolio investments that have settled and include an offset to cash equivalents relating to unsettled trades. These percentages may differ from those in the accompanying Statement of Investments, which reflect portfolio holdings as a percentage of net assets. . Corporate Bonds. As of October 31, the portfolio held a 28.8% position in corporate bonds, compared with the Index's 19.2% allocation. During the last 12 months, corporate spreads widened significantly, almost entirely due to the sector coming under pressure in October in the wake of the financial turmoil in Asia. However, the fund's investments in the sector benefited its 12-month performance. As is our investment philosophy, we focused on shorter duration bonds than the Index to add incremental yield without significantly increasing overall volatility, and these securities fared well relative to the overall sector. The fund's corporate holdings consisted primarily of financial issues, such as CAPITAL ONE BANK (1.9% of the portfolio as of October 31) and COUNTRYWIDE FUNDING CORP. (1.1%), and industrial issues, such as TIME WARNER INC. (3.1%) and TCI COMMUNICATIONS, INC. (1.0%). . Fixed Rate Mortgage Pass-Throughs. The fund held a 24.8% position in fixed rate mortgage pass-throughs at the end of the period, approximately the same weighting as a year earlier. We continued to underweight the sector relative to the Index (29.8%), - --------------------------------------- --------------------------------------- 28 Letter to Shareholders - -------------------------------------------------------------------------------- GOLDMAN SACHS CORE FIXED INCOME FUND (continued) - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- as yield spreads narrowed from already tight levels and upside potential appeared limited. During the period, we occasionally used mortgage dollar rolls to benefit from short-term supply and demand imbalances in the mortgage settlement process. (Mortgage dollar rolls refer to transactions that involve selling mortgage securities owned by the fund and simultaneously contracting to buy back similar mortgage securities with the same coupon on a specified future date--usually one month forward.) At all times, we "cover" the mortgage dollar rolls by keeping cash or high-grade liquid debt securities equal to the dollar amount of the forward commitment in a segregated account with the fund's custodian. . U.S. Treasuries. U.S. Treasuries represented 15.7% of the portfolio as of the end of the period. We significantly underweighted Treasuries compared with the Index (43.5%) in favor of "spread" sectors such as corporate bonds and asset- backed securities that offered more compelling return potential. . Asset-Backed Securities (ABS). As of October 31, the portfolio was significantly overweighted in ABS securities in relation to the Index, 13.1% versus 1.0%. ABSs continued to perform well during the period, but heavy issuance during the second half of the period caused yield spreads to widen and restrained the sector's relative performance. Within the sector, the fund held primarily credit card receivables (7.5%), with smaller positions in home equity receivables (3.0%) and other receivables (2.6%). . CMOs. The fund's CMO weighting was 12.6%, up from 9.8% a year earlier. CMOs appeared increasingly attractive during the period because of diminishing yield-enhancement opportunities in other sectors, such as fixed rate mortgage pass-throughs, where spreads remained tight. Within the sector, 7.9% were sequential-pay/support CMOs, 3.7% were planned amortization class (PAC) CMOs and 1.0% were PAC interest-only (IO) securities. . Emerging Market Debt. As of October 31, emerging market debt represented 5.0% of the portfolio. During the period, we controlled the fund's exposure in the sector by stressing high-credit-quality, short-duration bonds. Geographically, most of the sector's holdings were in Latin America, which was attractive because structural and economic reforms in this region are helping strengthen credit fundamentals. Though the fund's investments in emerging market debt contributed to performance during most of the period, the sector more than gave up its gains in October, when financial turmoil in Asia spread to other emerging markets. . Duration. During the period, we continued to match the fund's duration to that of the Index, partly through the use of financial futures. Rather than attempting to predict the direction of interest rates, we seek to add incremental return over the Index through our sector weightings, as well as individual security selection. As of October 31, the fund's duration was 4.6 years, in line with the Index (4.4 years). . Credit Quality. As of October 31, nearly half of the portfolio was invested in government and agency securities (44.3%), with another 19.1% invested in triple-A-rated securities. The remainder of the portfolio was made up of double-A-rated securities (2.5%), single-A-rated securities (12.1%) and triple- B-rated securities (22.0%). MARKET OUTLOOK Although the economy and interest rate movements continue to appear supportive of the fixed income market, recent volatility emanating from Southeast Asia has altered the sector-to-sector relationships that have persisted through most of the past year. In the corporate market, Asia-related uncertainty has put pressure on yield spreads, and the sector may continue to experience selling pressure arising from year-end window dressing. Though we have a somewhat cautious view of corporates, we view the sector's recent 29 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- underperformance as a potential buying opportunity, particularly for securities with no exposure to Asia. In addition, we expect some spread compression over the next three to six months based on positive company fundamentals. The spillover from Asia also caused the spreads of mortgage-backed securities to widen somewhat relative to Treasuries, but the sector generally held up better than corporate and emerging market debt. Therefore, these securities may be less compelling near term than they were previously. In the mortgage pass- through sector, lower coupon pass-throughs underperformed higher coupon pass- throughs during this volatile period and, as a result, currently represent a more attractive risk/return trade-off. Similarly, the ABS sector was impacted at the end of the period. Although investors have been buying selectively at these wider yield spread levels, we believe the sector may remain soft through year-end due to heavy issuance and the Asian situation. Finally, we believe that fundamentals remain sound in most of the emerging markets in which the fund has invested. Given a period of recovery and stability in global equity markets, we expect yield spreads in the sector to recover from their recent slide. /s/ Jonathan A. Beinner Jonathan A. Beinner /s/ Richard H. Buckholz Richard H. Buckholz /s/ C. Richard Lucy C. Richard Lucy /s/ Mark A. Van Wyk Mark A. Van Wyk Portfolio Managers Goldman Sachs Core Fixed Income Fund November 28, 1997 - --------------------------------------- --------------------------------------- 30 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- GOLDMAN SACHS CORE FIXED INCOME FUND October 31, 1997 - -------------------------------------------------------------------------------- In accordance with the requirements of the Securities and Exchange Commission, the following data is supplied for the periods ended October 31, 1997. The performance for each class of the Goldman Sachs Core Fixed Income Fund (assuming both the maximum sales charge of 4.5% and no sales charge for Class A shares and the appropriate redemption fee and no redemption fee for the Class B and Class C shares), is compared to its benchmark, the Lehman Brothers Aggregate Bond Index ("Lehman Aggregate Index"). All performance data shown represents past performance and should not be considered indicative of future performance which will fluctuate as market conditions change. The investment return and principal value of an investment will fluctuate with changes in market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Institutional Shares [GRAPH] Institutional Shares Lehman Aggregate Index -------------------- ---------------- 5/1/94 50,000 50,000 10/31/94 48,500 46,980 10/31/95 56,124 54,332 10/31/96 59,492 57,505 10/31/97 64,955 62,617 Administration Shares [GRAPH] Administration Shares Lehman Aggregate Index --------------------- ---------------- 2/28/96 50,000 50,000 10/31/96 51,780 51,870 10/31/97 56,400 56,480 Service Shares [GRAPH] Service Shares Lehman Aggregate Index -------------- ---------------- 3/13/96 50,000 50,000 10/31/96 52,450 52,470 10/31/97 56,985 57,140 - --------------------------------------- --------------------------------------- 31 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Class A Shares [GRAPH] Class A Shares Class A Shares Lehman Aggregate (No Sales Charge) (W/Sales Charge) Index ----------------- ---------------- --------------- 5/1/97 10,000 9,550 10,000 10/31/97 10,694 10,213 10,707 Class B Shares [GRAPH] Class B Shares Class B Shares Lehman Aggregate (No Sales Charge) (W/Sales Charge) Index ----------------- ---------------- --------------- 5/1/97 10,000 10,000 10,000 10/31/97 10,663 10,163 10,707 Class C Shares [GRAPH] Class C Shares Class C Shares Lehman Aggregate (No Sales Charge) (W/Sales Charge) Index ----------------- ---------------- --------------- 8/15/97 10,000 10,000 10,000 10/31/97 10,274 10,174 10,295 -------------------
AVERAGE ANNUAL TOTAL RETURN ------------------- ONE YEAR SINCE INCEPTION(A) -------------------------------------------------- Institutional Shares 9.19% 7.08% -------------------------------------------------- Administration Shares 8.92% 7.45% -------------------------------------------------- Service Shares 8.65% 8.31% -------------------------------------------------- Class A Shares, excluding sales charge N/A 6.94%(b) -------------------------------------------------- Class A Shares, including sales charge N/A 2.31%(b) -------------------------------------------------- Class B Shares, excluding redemption charge N/A 6.63%(b) -------------------------------------------------- Class B Shares, including redemption charge N/A 1.63%(b) -------------------------------------------------- Class C Shares, excluding redemption charge N/A 2.74%(b) -------------------------------------------------- Class C Shares, including redemption charge N/A 1.74%(b) --------------------------------------------------
(a) The Institutional, Administration, Service Class A, Class B and Class C shares commenced operations January 5, 1994, February 28, 1996, March 13, 1996, May 1, 1997, May 1, 1997 and August 15, 1997, respectively. (b) An aggregate total return (not annualized) is shown instead of an average annual total return since these shares have not completed a full twelve months of operations. - --------------------------------------- --------------------------------------- 32 Statement of Investments - -------------------------------------------------------------------------------- GOLDMAN SACHS CORE FIXED INCOME FUND October 31, 1997 - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - --------------------------------------------------------------------------------------------------- CORPORATE BONDS--27.3% FINANCE BONDS--11.2% Advanta National Bank U.S.A. $ 345,000 6.43% 04/30/98 $ 345,169 BankAmerica Corp. 300,000 7.75 07/15/02 317,286 Capital One Bank 600,000 6.66 02/03/00 604,032 400,000 6.88 04/24/00 406,476 800,000 6.58 04/17/01 802,552 500,000 6.60 08/20/01 501,645 Capital One Financial Corp. 355,000 7.25 12/01/03 360,236 Conseco, Inc. 340,000 10.50 12/15/04 410,683 170,000 8.70 11/15/26 183,806 Continental Bank N.A. 525,000 11.25 07/01/01 542,173 Countrywide Capital Corp. 325,000 8.05 06/15/27 339,037 Countrywide Funding Corp. 125,000 6.08 07/14/99 125,358 250,000 8.43 11/16/99 261,593 250,000 7.75 08/10/01 263,278 700,000 6.38 10/08/02 705,957 Ford Capital Corp. 300,000 9.50 07/01/01 330,795 General Motors Acceptance Corp. 275,000 7.63 03/09/98 276,653 200,000 7.13 05/10/00 204,470 375,000 9.63 12/15/01 417,956 Meditrust, Inc. 390,000 7.82 09/10/26 420,467 MIC Finance Trust(f) 360,000 8.38 02/01/27 382,338 PXRE Capital Trust I 165,000 8.85 02/01/27 180,205 Sears Roebuck Acceptance Corp. 500,000 6.93 10/03/02 510,400 Security Pacific Corp.(a) 995,000 11.50 11/15/00 1,137,812 Signet Banking Corp. 240,000 9.63 06/01/99 252,698
Principal Interest Maturity Amount Rate Date Value - --------------------------------------------------------------------------------------------------- CORPORATE BONDS (CONTINUED) FINANCE BONDS (CONTINUED) Taubman Realty Group $ 480,000 8.00% 07/30/01 $ 501,998 Washington Real Estate Investment Trust 120,000 7.13 08/13/03 123,164 - --------------------------------------------------------------------------------------------------- $10,908,237 - --------------------------------------------------------------------------------------------------- INDUSTRIAL BONDS--14.5% 360 Communications Co. $ 525,000 7.13% 03/01/03 $ 531,536 Comcast Cable Communications 400,000 8.13 05/01/04 432,112 Continental Airlines, Inc. 339,989 7.75 07/02/14 367,487 553,994 8.56 07/02/14 621,554 Edison Mission Energy Funding Corp.(f) 161,128 6.77 09/15/03 163,191 Global Marine, Inc. 490,000 12.75 12/15/99 505,313 Harrahs Oper, Inc. 300,000 8.75 03/15/00 308,250 Hertz Corp. 200,000 6.00 01/15/03 197,192 500,000 7.00 07/15/03 513,845 Liberty Property LP 340,000 7.10 08/15/04 347,579 Manor Care, Inc. 350,000 9.50 11/15/02 364,000 Northwest Airlines Corp. 158,915 8.26 03/10/06 170,605 564,827 8.97 01/02/15 615,430 RJR Nabisco Inc. 375,000 8.00 07/15/01 387,443 550,000 8.63 12/01/02 585,866 Sci Television, Inc. 700,000 11.00 06/30/05 740,250 TCI Communications, Inc. 560,000 8.00 08/01/05 593,034 275,000 6.82 09/15/10 276,306 290,000 8.75 08/01/15 319,017
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 33 - -------------------------------------------------------------------------------- - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - --------------------------------------------------------------------------------------------------- CORPORATE BONDS (CONTINUED) INDUSTRIAL BONDS (CONTINUED) Tele-Communications, Inc. $ 100,000 7.13% 02/02/98 $ 100,176 300,000 8.25 01/15/03 318,423 Time Warner, Inc. 1,650,000 7.95 02/01/00 1,704,830 1,350,000 9.63 05/01/02 1,509,773 400,000 7.98 08/15/04 424,560 U.S. Airways Inc. 546,412 6.76 04/15/08 556,099 USI American Holdings 150,000 7.25 12/01/06 154,859 Viacom, Inc. 500,000 6.75 01/15/03 489,500 Worldcom, Inc. 300,000 9.38 01/15/04 319,518 450,000 8.88 01/15/06 490,820 - --------------------------------------------------------------------------------------------------- $14,108,568 - --------------------------------------------------------------------------------------------------- UTILITY BONDS--1.6% California Energy, Inc. $ 735,000 10.25% 01/15/04 $ 805,237 Central Maine Power Co. 330,000 7.45 08/30/99 333,752 Salton Sea Funding 472,907 7.02 05/30/00 476,705 - --------------------------------------------------------------------------------------------------- $ 1,615,694 - --------------------------------------------------------------------------------------------------- TOTAL CORPORATE BONDS (COST $26,055,654) $26,632,499 - --------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--13.7% AFC Series 1997-1, Class A $ 958,488 5.88% 07/25/27 $ 955,190 Airplanes Pass Through Trust Series 1, Class C 155,000 8.15 03/15/19 164,081 Chevy Chase Auto Receivables Trust Series 1995-2, Class A 129,808 5.80 06/15/02 129,604 Discover Card Master Trust 1996-4, Class A(a) 1,910,000 6.00 10/16/13 1,932,080 Discover Card Master Trust 1996-4, Class B 1,100,000 6.18 10/16/13 1,103,091
Principal Interest Maturity Amount Rate Date Value - -------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES (CONTINUED) DVI Equipment Lease Trust Series 1996-1, Class A(f) $ 882,127 6.55% 07/10/04 $ 889,025 EQCC Home Equity Loan Trust Series 1997-3, Class A 1,829,645 5.80 11/15/28 1,829,645 General Motors Acceptance Corp. Series 1995, Class A 45,590 7.15 03/15/00 45,860 General Motors Acceptance Corp. Series 1997-C1, Class A3 1,000,000 6.87 08/15/07 1,042,460 H + T Master Trust(f) 550,000 8.06 08/15/02 549,483 MBNA Credit Card Master Trust 1,750,000 5.88 04/15/09 1,745,065 Olympic Automobile Receivables Trust, Series 1994-B, Class A2 182,886 6.85 06/15/01 185,774 Premier Auto Trust Series 1995-1, Class A5 15,449 7.90 05/04/99 15,473 Sears Credit Account Master Trust, Series 1996-1, Class A 680,000 6.20 02/16/06 679,572 Sears Credit Account Master Trust, Series 1995-2, Class A 550,000 8.10 06/15/04 569,074 Sears Credit Card Master Trust, Series 1995-3, Class A 300,000 7.00 10/15/04 305,718 Standard Credit Card Master Trust, Series 1994-4, Class A 680,000 8.25 11/07/03 726,961 World Financial Tower B Series 1996, Class B 495,732 6.91 09/01/13 513,995 - -------------------------------------------------------------------------------------------------- TOTAL ASSET-BACKED SECURITIES (COST $13,331,331) $13,382,151 - -------------------------------------------------------------------------------------------------- EMERGING MARKET DEBT--4.8% Bancoldex $ 490,000 8.63% 06/02/00 $ 507,929 Bridas Corp. 110,000 12.50 11/15/99 117,700 120,000 12.50 06/10/03 147,590 Corp. Andina de Fomento 500,000 6.63 10/14/98 502,240 Empresa Columbiana de Petroleos 1,040,000 7.25 07/08/98 1,045,647 Financiera Energy Nacional(f) 400,000 9.38 06/15/06 436,440
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 34 Statement of Investments - -------------------------------------------------------------------------------- GOLDMAN SACHS CORE FIXED INCOME FUND (continued) October 31, 1997 - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - ------------------------------------------------------------------------------------------------- EMERGING MARKET DEBT (CONTINUED) Instituto de Fomento Industrial $ 90,000 8.38% 07/29/01 $ 93,803 Perez Companc 510,000 9.00 01/30/04 543,941 Republic of Colombia 30,000 7.12 05/11/98 30,117 Republic of Croatia(f) 310,000 7.00 02/27/02 308,081 Sampoerna International Finance Co.(f) 200,000 8.38 06/15/06 188,146 YPF Sociedad Anonima 585,602 7.50 10/26/02 598,778 109,536 7.00 10/26/02 111,785 - ------------------------------------------------------------------------------------------------- TOTAL EMERGING MARKET DEBT (COST $4,600,060) $ 4,632,197 - ------------------------------------------------------------------------------------------------- GOVERNMENT BONDS--0.6% Province of Quebec $ 520,000 13.25% 09/15/14 $ 605,956 - ------------------------------------------------------------------------------------------------- TOTAL GOVERNMENT BONDS (COST $651,597) $ 605,956 - ------------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS--35.7% Asset Securitization Corp. Series 4, Class A $ 900,000 7.49% 04/14/27 $ 969,398 Collateralized Mortgage Obligation Trust Series 63, Class Z 943,625 9.00 10/20/20 1,027,957 Federal Home Loan Mortgage Corp. (FHLMC) 1,000,000 6.35 03/25/18 1,004,680 1,000,000 7.00 TBA-15 Yr(b) 1,014,060 1,000,000 6.50 TBA-15 Yr(b) 999,680 2,500,000 7.50 TBA-30 Yr(b) 2,556,250 Federal Home Loan Mortgage Corp. Series 21, Class Z 496,200 5.40 05/25/16 485,964 Federal National Mortgage Association (FNMA) 1,997,933 6.50 11/01/26 1,967,345 2,000,000 6.50 TBA-7 Yr(b) 2,004,360 1,000,000 7.50 TBA-15 Yr(b) 1,025,620 6,000,000 7.00 TBA-30-Yr(b) 6,018,720 First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1, Class A2 600,000 7.30 12/18/06 633,703
Principal Interest Maturity Amount Rate Date Value - ----------------------------------------------------------------------------------------------- MORTGAGE BACKED OBLIGATIONS (CONTINUED) FNMA Remic Trust Series 1997-70, Class AB $1,250,000 6.50% 09/25/22 $ 1,244,125 FNMA Remic Trust Series 31, Class PJ 750,000 6.55 10/25/20 758,670 GE Capital Mortgage Services, Inc. Series 1994-17, Class A10(a) 2,000,000 7.00 05/25/24 1,926,860 Government National Mortgage Association (GNMA) 309,342 8.00 02/15/17 325,174 27,346 7.00 11/15/22 27,590 350,954 7.00 12/15/22 354,134 592,628 7.00 12/15/22 597,997 172,753 7.00 01/15/23 174,209 747,912 7.50 03/15/23 767,072 737,159 7.00 05/15/23 743,373 113,223 7.50 08/15/23 116,124 36,858 7.00 11/15/23 37,168 2,000,000 7.00 TBA-30 Yr(b) 2,011,240 3,000,000 7.50 TBA-30 Yr(b) 3,067,500 JP Morgan Commercial Mortgage Finance Corp., Series 1997-C4 1,000,000 7.32 12/26/28 1,045,625 Morgan Stanley Capital Commercial Mortgage, Inc. Series 1997-C1 900,000 7.46 05/15/06 943,313 Prudential Home Mortgage Securities Corp. 1992-39 A8 1,000,000 7.23 12/25/07 933,310 - ----------------------------------------------------------------------------------------------- TOTAL MORTGAGE BACKED OBLIGATIONS (COST $34,183,128) $34,781,221 - ----------------------------------------------------------------------------------------------- SOVEREIGN CREDIT--0.4% State of Israel $ 370,000 6.38% 12/15/05 $ 363,177 - ----------------------------------------------------------------------------------------------- TOTAL SOVEREIGN CREDIT (COST $347,343) $ 363,177 - ----------------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS--15.5% United States Treasury Bonds $1,800,000 7.50% 11/15/16 $ 2,059,596 1,600,000 8.75 05/15/20 2,086,000 1,400,000 7.88 02/15/21 1,680,224 1,740,000(a) 7.63 02/15/25 2,060,264 United States Treasury Interest-Only Stripped Securities(c) 2,250,000 6.14 08/15/09 1,103,985 350,000 6.20 11/15/10 158,235
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 35 - -------------------------------------------------------------------------------- - --------------------------------------- ---------------------------------------
Principal Interest Maturity Amount Rate Date Value - ---------------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS (CONTINUED) United States Treasury Notes $ 1,750,000 6.88% 08/31/99 $ 1,786,645 1,530,000(a) 5.63 11/30/00 1,525,456 United States Treasury Principal-Only Stripped Securities(d) 40,000 4.59 11/15/97 39,928 1,900,000 5.86 11/15/04 1,260,137 5,730,000 6.35 05/15/20 1,396,344 - ---------------------------------------------------------------------------------------------- TOTAL U.S. TREASURY OBLIGATIONS (COST $14,136,252) $ 15,156,814 - ---------------------------------------------------------------------------------------------- YANKEE BONDS--0.3% Korea Electric Power $ 260,512 7.40% 04/01/16 $ 280,113 - ---------------------------------------------------------------------------------------------- TOTAL YANKEE BONDS (COST $251,907) $ 280,113 - ---------------------------------------------------------------------------------------------- REPURCHASE AGREEMENT--23.6% Joint Repurchase Agreement Account(a) $ 23,000,000 5.76% 11/03/97 $ 23,000,000 - ---------------------------------------------------------------------------------------------- TOTAL REPURCHASE AGREEMENT (COST $23,000,000) $ 23,000,000 - ---------------------------------------------------------------------------------------------- TOTAL INVESTMENTS (COST $116,557,272(E)) $118,834,128 - ----------------------------------------------------------------------------------------------
Futures contracts open at October 31, 1997 are as follows:
Number of Contracts Settlement Unrealized Type Long(g) Month Gain - --------------------------- --------- ------------- ---------- Euro Dollars 8 March 1998 $ 7,100 Euro Dollars 5 June 1998 7,687 Euro Dollars 13 December 1997 10,838 U.S. 20 Year Long Term Bond 12 December 1997 67,243 ------- $92,878 - ---------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION: Gross unrealized gain for investments in which value exceeds cost $2,430,736 Gross unrealized loss for investments in which cost exceeds value (154,123) - ----------------------------- Net unrealized gain $2,276,613 - -----------------------------
(a) Portions of these securities are being segregated for open TBA purchases, mortgage dollar rolls and futures. (b) TBA (To Be Assigned) securities are purchased on a forward commitment basis with an approximate (generally + / -2.5%) principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned. (c) Represents security with notional or nominal principal amount. The actual effective yield of this security is different than the coupon rate due to the amortization of related premiums. (d) The interest rate disclosed for these securities represents effective yields to maturity. (e) The aggregate cost for federal income tax purposes is $116,557,515. (f) Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $2,916,704, as of October 31, 1997. (g) Each Euro Dollar contract represents $1,000,000 in notional par value. Each U.S. 20 Year Long Term Bond contract represents $100,000 in notional par value. The total notional amount and market value at risk are $27,200,000 and $7,547,450, respectively. The determination of notional amounts as presented here are indicative only of volume of activity and not a measure of market risk. The percentages shown for each investment category reflect the value of investments in that category as a percentage of total net assets. - --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 36 Goldman Sachs Trust-Fixed Income Funds - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES October 31, 1997 - --------------------------------------------------------------------------------
ADJUSTABLE SHORT SHORT RATE DURATION DURATION CORE FIXED GOVERNMENT GOVERNMENT TAX-FREE INCOME FUND FUND FUND FUND ----------------------------------------------------- ASSETS: Investments in securities, at value (cost $499,416,127, $119,444,006, $35,077,329 and $116,557,272) $502,491,257 $120,630,286 $35,457,368 $118,834,128 Cash, at value 1,002,701 48,600 100,138 101,219 Receivables: Investment securities sold 481,728 -- -- 11,510,991 Interest 6,932,682 1,239,579 492,577 1,200,720 Forward foreign currency exchange contracts -- -- -- 28,856 Fund shares sold 1,193,824 291,539 63,759 2,590,249 Variation margin -- -- -- 3,750 Foreign tax withheld -- -- -- 11,701 Deferred organization expenses, net -- -- -- 28,857 Other assets 144,366 168,332 106,594 106,187 - -------------------------------------------------------------------------------- Total assets 512,246,558 122,378,336 36,220,436 134,416,658 - -------------------------------------------------------------------------------- LIABILITIES: Payables: Dividends 1,140,745 122,452 20,503 81,756 Investment securities purchased -- -- 1,029,971 32,185,322 Fund shares repurchased 753,042 3,572,776 3,580 4,539,342 Management fees 175,884 38,181 10,743 34,029 Authorized dealer service fees 28,171 3,946 1,807 4,380 Transfer agent fees 38,225 35,000 25,000 29,000 Variation margin 23,556 16,631 -- -- Accrued expenses and other liabilities 44,038 35,415 48,967 39,948 - -------------------------------------------------------------------------------- Total liabilities 2,203,661 3,824,401 1,140,571 36,913,777 - -------------------------------------------------------------------------------- NET ASSETS: Paid in capital 559,794,391 131,211,275 38,514,053 94,565,068 Accumulated undistributed (distributions in excess of) net investment income (3,387,447) 693,874 110,881 91,922 Accumulated net realized gain (loss) on investment transactions (49,005,224) (14,496,297) (3,925,108) 496,568 Accumulated net realized foreign currency loss -- -- -- (20,743) Net unrealized gain on investments and futures 2,641,177 1,145,083 380,039 2,370,066 - -------------------------------------------------------------------------------- Net assets $510,042,897 $118,553,935 $35,079,865 $ 97,502,881 - -------------------------------------------------------------------------------- NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE:(A) Institutional $9.88 $9.86 $10.07 $10.08 Administration $9.88 $9.89 $10.07 $10.07 Service $9.88 $9.86 $10.07 $10.09 Class A $9.88 $9.88 $10.08 $10.06 Class B -- $9.86 $10.08 $10.09 Class C -- $9.86 $10.07 $10.09 - -------------------------------------------------------------------------------- SHARES OUTSTANDING: Institutional 46,911,214 10,515,184 2,860,956 7,858,088 Administration 282,644 107,210 7,675 612,842 Service 35,020 338,434 203,593 185,166 Class A 4,390,774 960,218 398,986 927,888 Class B -- 75,741 10,529 61,503 Class C -- 19,318 160 27,004 - -------------------------------------------------------------------------------- Total shares outstanding, $.001 par value (unlimited number of shares authorized) 51,619,652 12,016,105 3,481,899 9,672,491 - --------------------------------------------------------------------------------
(a) Maximum public offering price per share for Class A shares is $10.03 (NAV x 1.0152), $10.08 (NAV x 1.0205), $10.29 (NAV x 1.0205) and $10.53 (NAV x 1.0467) for Adjustable Rate Government Fund, Short Duration Government Fund, Short Duration Tax-Free Fund and Core Fixed Income Fund, respectively. At redemption, Class B and Class C shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. - --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 37 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS For the Year Ended October 31, 1997 - --------------------------------------------------------------------------------
ADJUSTABLE SHORT SHORT RATE DURATION DURATION CORE FIXED GOVERNMENT GOVERNMENT TAX-FREE INCOME FUND FUND FUND FUND ----------------------------------------------- INVESTMENT INCOME: Interest(a) $37,092,868 $7,267,514 $1,667,490 $5,835,747 - -------------------------------------------------------------------------------- TOTAL INCOME 37,092,868 7,267,514 1,667,490 5,835,747 - -------------------------------------------------------------------------------- EXPENSES: Management fees 2,293,118 528,290 144,157 334,580 Distribution fees 81,928 5,496 2,562 5,597 Authorized dealer service fees 81,928 4,313 2,430 4,832 Administration fees 9,699 3,203 222 14,647 Service share fees 292 12,087 6,435 6,207 Custodian fees 142,225 78,176 61,325 99,826 Transfer agent fees 272,449 77,989 61,185 85,882 Professional fees 61,689 61,175 60,977 59,491 Registration fees 63,360 60,298 59,192 59,746 Amortization of deferred organization expenses -- -- 20,748 24,495 Trustee fees 11,603 2,008 669 1,562 Other 141,714 59,471 37,171 27,023 - -------------------------------------------------------------------------------- TOTAL EXPENSES 3,160,005 892,506 457,073 723,888 LESS--EXPENSES REIMBURSABLE AND FEES WAIVED BY GOLDMAN SACHS (273,667) (395,037) (284,692) (315,780) - -------------------------------------------------------------------------------- NET EXPENSES 2,886,338 497,469 172,381 408,108 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 34,206,530 6,770,045 1,495,109 5,427,639 - -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES AND FOREIGN CURRENCY TRANSACTIONS: Net realized gain (loss) from: Investment transactions 992,797 425,241 188,340 757,880 Futures transactions (915,851) (379,727) 26,421 (25,706) Net change in unrealized gain (loss) on: Investments 3,836,966 559,084 177,615 1,445,461 Futures (577,907) (74,078) -- (5,006) - -------------------------------------------------------------------------------- NET REALIZED AND UNREALIZED GAIN ON INVESTMENT, FUTURES AND FOREIGN CURRENCY TRANSACTIONS 3,336,005 530,520 392,376 2,172,629 - -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $37,542,535 $7,300,565 $1,887,485 $7,600,268 - --------------------------------------------------------------------------------
(a)Net of $3,396 in foreign withholding tax for the Core Fixed Income Fund. - --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 38 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended October 31, 1997 - --------------------------------------------------------------------------------
ADJUSTABLE SHORT SHORT RATE DURATION DURATION GOVERNMENT GOVERNMENT TAX-FREE CORE FIXED FUND FUND FUND INCOME FUND ------------------------------------------------------- FROM OPERATIONS: Net investment income $ 34,206,530 $ 6,770,045 $ 1,495,109 $ 5,427,639 Net realized gain from investment and futures transactions 76,946 45,514 214,761 732,174 Net change in unrealized gain (loss) on investments and futures 3,259,059 485,006 177,615 1,440,455 - ---------------------------------------------------------------------------------- Net increase in net assets resulting from operations 37,542,535 7,300,565 1,887,485 7,600,268 - ---------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Shares (32,067,893) (6,559,922) (1,407,585) (4,853,239) Administration Shares (222,274) (79,521) (3,501) (365,897) Service Shares (3,287) (145,168) (47,115) (74,035) Class A (1,858,740) (85,889) (36,026) (107,876) Class B -- (12,146) (864) (7,255) Class C -- (632) (18) (778) - ---------------------------------------------------------------------------------- Total distributions to shareholders (34,152,194) (6,883,278) (1,495,109) (5,409,080) - ---------------------------------------------------------------------------------- FROM SHARE TRANSACTIONS: Net proceeds from sales of shares 398,400,844 61,888,188 28,091,361 38,830,106 Reinvestment of dividends and distributions 20,070,536 4,611,022 1,232,957 4,813,853 Cost of shares repurchased (539,487,702) (50,380,123) (30,193,481) (21,476,685) - ---------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from share transactions (121,016,322) 16,119,087 (869,163) 22,167,274 - ---------------------------------------------------------------------------------- Total increase (decrease) (117,625,981) 16,536,374 (476,787) 24,358,462 NET ASSETS: Beginning of year $ 627,668,878 $102,017,561 $ 35,556,652 $ 73,144,419 - ---------------------------------------------------------------------------------- End of year $ 510,042,897 $118,553,935 $ 35,079,865 $ 97,502,881 - ---------------------------------------------------------------------------------- Accumulated undistributed (distributions in excess of) net investment income $ (3,387,447) $ 693,874 $ 110,811 $ 91,922 - ---------------------------------------------------------------------------------- SUMMARY OF SHARE TRANSACTIONS: Shares sold 40,410,416 6,299,174 2,811,858 3,921,467 Reinvestment of dividends and distributions 2,035,282 470,422 123,190 488,221 Shares repurchased (54,710,526) (5,133,401) (3,022,098) (2,159,541) - ---------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (12,264,828) 1,636,195 (87,050) 2,250,147 - ----------------------------------------------------------------------------------
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 39 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended October 31, 1996 - --------------------------------------------------------------------------------
ADJUSTABLE SHORT SHORT RATE DURATION DURATION GOVERNMENT GOVERNMENT TAX-FREE CORE FIXED FUND FUND FUND INCOME FUND ---------------------------------------------------- FROM OPERATIONS: Net investment income $ 37,031,818 $ 6,604,446 $ 1,786,304 $ 4,013,477 Net realized gain (loss) from investment and futures transactions (2,502,624) (567,819) 331,638 (253,420) Net change in unrealized gain (loss) on investments and futures 7,711,106 619,618 (396,071) (75,350) - ------------------------------------------------------------------------------- Net increase in net assets resulting from operations 42,240,300 6,656,245 1,721,871 3,684,707 - ------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional shares (36,233,589) (6,561,519) (1,766,892) (4,019,797) Administration shares (220,450) (2,548) (2,032) (19,144) Service shares -- (14,792) (17,380) (5,349) Class A shares (577,779) -- -- -- In excess of net investment income Institutional shares (1,304,006) -- -- -- Administration shares (7,930) -- -- -- Class A shares (20,794) -- -- -- Net realized gain (loss) on investment, and future transactions Institutional shares -- -- -- (450,016) - ------------------------------------------------------------------------------- Total distributions to shareholders (38,364,548) (6,578,859) (1,786,304) (4,494,306) - ------------------------------------------------------------------------------- FROM SHARE TRANSACTIONS: Net proceeds from sales of shares 406,586,374 42,019,441 22,248,684 21,976,567 Reinvestment of dividends and distributions 18,181,648 4,153,816 1,401,492 4,315,748 Cost of shares repurchased (477,107,914) (47,993,112) (46,918,400) (7,840,575) - ------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from share transactions (52,339,892) (1,819,855) (23,268,224) 18,451,740 - ------------------------------------------------------------------------------- Total increase (decrease) (48,464,140) (1,742,469) (23,332,657) 17,642,141 NET ASSETS: Beginning of year $676,133,018 $103,760,030 $58,889,309 $55,502,278 - ------------------------------------------------------------------------------- End of year $627,668,878 $102,017,561 $35,556,652 $73,144,419 - ------------------------------------------------------------------------------- Accumulated undistributed (distributions in excess of) net investment income $ (3,441,783) $ 770,624 $ 90,133 $ 33,551 - ------------------------------------------------------------------------------- SUMMARY OF SHARE TRANSACTIONS: Shares sold 41,534,978 4,293,467 2,233,482 2,244,430 Reinvestment of dividends and distributions 1,856,783 424,274 140,950 439,299 Shares repurchased (48,741,470) (4,905,357) (4,727,959) (811,075) - ------------------------------------------------------------------------------- Net increase (decrease) in shares outstanding (5,349,709) (187,616) (2,353,527) 1,872,654 - -------------------------------------------------------------------------------
- --------------------------------------- --------------------------------------- The accompanying notes are an integral part of these financial statements. 40 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS October 31, 1997 - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- 1. ORGANIZATION Goldman Sachs Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. Included in this report are the financial statements for the Goldman Sachs Adjustable Rate Government Fund (Adjustable Rate Government), Goldman Sachs Short Duration Government Fund (Short Duration Government), Goldman Sachs Short Duration Tax- Free Fund (Short Duration Tax-Free) and Goldman Sachs Core Fixed Income Fund (Core Fixed Income), collectively, "the Funds" or individually a "Fund". Short Duration Government, Short Duration Tax-Free and Core Fixed Income are diversified portfolios of the Trust offering six classes of shares-- Institutional shares, Administration shares, Service shares, Class A shares, Class B shares and Class C shares. The Adjustable Rate Government Fund is a diversified portfolio of the Trust offering four classes of shares-- Institutional, Administration, Service and Class A shares. Effective May 1, 1997, the Trust was reorganized from a Massachusetts business trust to a Delaware business trust and various operational changes were approved, including updating certain investment restrictions and amending the management contracts of certain of the funds. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. A. Investment Valuation Portfolio securities for which accurate market quotations are readily available are valued on the basis of quotations furnished by a pricing service or provided by dealers in such securities. Portfolio securities for which accurate market quotations are not readily available are valued based on yield equivalents, pricing matrix or other sources, under valuation procedures established by the Trust's Board of Trustees. Short-term debt obligations maturing in sixty days or less are valued at amortized cost. B. Security Transactions and Investment Income Security transactions are recorded on trade date. Realized gains and losses on sales of portfolio securities are calculated on the identified cost basis. Interest income is recorded on the basis of interest accrued. Premiums on interest-only securities and on collateralized mortgage obligations with nominal principal amounts are amortized, on an effective yield basis, over the expected lives of the respective securities, taking into account actual principal prepayment experience and estimates of future principal prepayments. Certain mortgage security paydown gains and losses are taxable as ordinary income. Such paydown gains and losses increase or decrease taxable ordinary income available for distribution and are classified as interest income in the accompanying Statements of Operations. Original issue discounts ("OID") on debt securities are amortized to interest income over the life of the security with a corresponding increase in the cost basis of that security. OID amortization on mortgage backed REMIC securities is initially recorded based on estimates of principal paydowns using the most recent OID factors available from the issuer. Recorded amortization amounts are adjusted when actual OID factors are received. Market premiums resulting from the purchase of long-term debt securities are amortized to interest income over the life of the security with a corresponding decrease in the cost basis of that security for Short Duration Tax-Free. Market discounts and market premiums on debt securities, other than mortgage backed securities, are amortized to interest income over the life of the security with a corresponding adjustment in the cost basis of that security for Core Fixed Income. C. Foreign Currency Translations Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: 41 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- (i) investment valuations, other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions. Net realized and unrealized gain (loss) on foreign currency transactions will represent: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies and investments; (ii) gains and losses between trade date and settlement date on investment securities transactions and forward exchange contracts; and (iii) gains and losses from the difference between amounts of interest recorded and the amounts actually received. D. Forward Foreign Currency Exchange Contracts Core Fixed Income may enter into forward foreign exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. Core Fixed Income may also purchase and sell forward contracts to seek to increase total return. All commitments are "marked-to- market" daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Fund's financial statements. The Fund records realized gains or losses at the time the forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. E. Mortgage Dollar Rolls The Funds, with the exception of Short Duration Tax-Free, may enter into mortgage "dollar rolls" in which the Fund sells securities in the current month for delivery and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund loses the right to receive principal and interest paid on the securities sold. However, the Fund benefits to the extent of any price received for the securities sold and the lower forward price for the future purchase (often referred to as the "drop") or fee income plus the interest earned on the cash proceeds of the securities sold until the settlement date of the forward purchase. The Fund will hold and maintain in a segregated account, until the settlement date, cash or liquid assets in an amount equal to the forward purchase price. For financial reporting and tax reporting purposes, the Fund treats mortgage dollar rolls as two separate transactions; one involving the purchase of a security and a separate transaction involving a sale. F. Futures Contracts The Funds may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates (in the case of Core Fixed Income) or to seek to increase total return. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount of cash or securities equal to the minimum "initial margin" requirement of the futures exchange on which the contract is traded. Payments for futures contracts ("variation margin") are paid or received by the Funds daily, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss equal to the difference between the value of the futures contract to sell and the value of futures contract to buy. Gains and losses are reported in the Statement of Operations. The use of futures contracts involve, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statements of Assets and Liabilities. Changes in the value of the futures contract may not directly correlate with changes in the value of the underlying securities. This risk may decrease 42 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (continued) October 31, 1997 - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- the effectiveness of the Funds' hedging strategies and potentially result in a loss. G. Deferred Organization Expenses Organization-related costs are being amortized on a straight-line basis over a period of five years. H. Expenses Expenses incurred by the Trust that do not specifically relate to an individual portfolio of the Trust are generally allocated to the portfolios based on each portfolio's relative average net assets for the period. Shareholders of Administration shares and Service shares bear all expenses and fees paid to service organizations for their services with respect to such shares as well as other expenses (subject to expense limitations) which are directly attributable to such shares. Shareholders of Class A, Class B and Class C shares bear all expenses and fees relating to the distribution and authorized dealer service plans as well as other expenses which are directly attributable to such shares. I. Federal Taxes It is each Fund's policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable and tax-exempt income to its shareholders. Accordingly, no federal tax provisions are required. The characterization of distributions to shareholders for financial statement purposes as either from or in excess of net investment income or net realized gain on investment transactions, or from capital, depends on the type of book/tax differences that may exist as well as timing differences associated with having different book and tax year ends. The Funds, at their most recent tax year-ends (October 31, 1997 for Core Fixed Income and December 31, 1996 for Adjustable Rate Government, Short Duration Government and Short Duration Tax-Free) had approximately the following amounts of capital loss carryforward for U.S. federal tax purposes:
YEARS OF FUND AMOUNT EXPIRATION - -------------------------- ----------- ---------- Adjustable Rate Government $49,069,000 2000-2004 Short Duration Government $14,144,000 2002-2004 Short Duration Tax-Free $ 4,058,000 2002-2003
These amounts are available to be carried forward to offset future capital gains to the extent permitted by applicable laws or regulations. 3. AGREEMENTS Goldman Sachs Funds Management, L.P. ("GSFM"), an affiliate of Goldman, Sachs & Co. ("Goldman Sachs"), serves as the investment adviser for Adjustable Rate Government and Short Duration Government pursuant to the Agreements. Goldman Sachs Asset Management ("GSAM"), a separate operating division of Goldman Sachs, serves as the investment adviser for Short Duration Tax-Free and Core Fixed Income pursuant to the Agreements. Under the Agreements, the adviser, subject to the general supervision of the Trust's Board of Trustees, manages the Funds' portfolios and provides for the administration of the Funds' other affairs. As compensation for the services rendered under the Agreements and the assumption of the expenses related thereto, the adviser is entitled to a fee, computed daily and payable monthly at an annual rate equal to .40% of average daily net assets of Adjustable Rate Government, Short Duration Tax-Free and Core Fixed Income and .50% of average daily net assets of Short Duration Government. Until further notice, GSFM has voluntarily agreed not to impose .10% of its fee for Short Duration Government. The adviser has voluntarily agreed to limit certain of the Funds' expenses, with the exception of the Adjustable Rate Government Fund, (excluding management fees, taxes, interest, brokerage, litigation, Administrative and Service Share fees, indemnification and other 43 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- extraordinary expenses and with respect to Class A, Class B and Class C shares, distribution and authorized dealer service fees) to the extent that such expenses exceed .05%, per annum of each Fund's average daily net assets. Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a Distribution Agreement and receives no compensation in this capacity with the exception of Class A, Class B and Class C shares. During the year ended October 31, 1997, Goldman Sachs retained approximately $156,000, $63,000, $6,000 and $14,000 of sales load related to Class A shares of Adjustable Rate Government, Short Duration Government, Short Duration Tax-Free and Core Fixed Income, respectively. Goldman Sachs also serves as Transfer Agent of the Funds for a fee. The Trust, on behalf of the Funds, has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1 for the Class A, Class B and Class C shares. Class B and Class C shares are not applicable for the Adjustable Rate Government Fund. Under the Plan, Goldman Sachs is entitled to receive a quarterly distribution fee equal, on an annual basis, to .25% of the average daily net assets of Class A shares and .75% of the average daily net assets of the Class B and Class C shares. Currently, Goldman Sachs has agreed to voluntarily waive the distribution fee relating to the Class A shares and .15% relating to the Class B shares of Short Duration Government and Short Duration Tax-Free. The Trust has adopted a non-Rule 12b-1 Authorized Dealer Service Plan (the "Service Plan") pursuant to which Goldman Sachs and Authorized Dealers are compensated for providing personal and account maintenance services. The Funds pay a fee under the Service Plan equal, on an annual basis, to .25% of its average daily net assets attributable to Class A, Class B and Class C shares. Class B and Class C shares are not applicable for the Adjustable Rate Government Fund. For the year ended October 31, 1997, the advisers and distributor have voluntarily agreed to waive certain fees and reimburse other expenses as follows (in thousands):
Waivers --------- Reimburse- Class A Reimburse- ment Fund Management 12b-1 ment Outstanding - ------------------------------------------------------------ Adjustable Rate Government -- $82 $192 -- Short Duration Government $106 4 285 99 Short Duration Tax-Free -- 3 282 85 Core Fixed Income -- 5 311 94
For the year ended October 31, 1997, Adjustable Rate Government, Short Duration Government, and Core Fixed Income incurred commission expenses of approximately $61,000, $19,000, and $3,000, respectively, in connection with futures contracts entered into with Goldman Sachs. At October 31, 1997, Adjustable Rate Government and Short Duration Government had approximately $24,000 and $17,000, respectively, payable to Goldman Sachs related to variation margin on futures contracts. Approximately $12,000 relating to variation margin was due to Core Fixed Income from Goldman Sachs. 4. LINE OF CREDIT FACILITY The Funds participate in a $250,000,000 uncommitted, unsecured revolving line of credit facility to be used solely for temporary or emergency purposes. Under the most restrictive arrangement, each fund must own securities having a market value in excess of 300% of the total bank borrowings. The interest rate on the borrowings is based on the federal funds rate. During the year ended October 31, 1997, the Funds did not have any borrowings under this facility. 44 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (continued) October 31, 1997 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- 5. INVESTMENT TRANSACTIONS Purchases and proceeds of sales or maturities of long-term securities for the year ended October 31, 1997, were as follows: - -------------------------------------------------------------------------------
ADJUSTABLE SHORT SHORT RATE DURATION DURATION CORE FIXED GOVERNMENT GOVERNMENT TAX-FREE INCOME - ------------------------------------------------------------------------------- Purchases of U.S. Government and agency obligations $258,673,340 $119,545,404 $ -- $266,525,624 - ------------------------------------------------------------------------------- Purchases (excluding U.S. Government and agency obligations) -- -- 69,946,385 48,122,767 - ------------------------------------------------------------------------------- Sales or maturities of U.S. Government and agency obligations 372,612,281 105,651,126 -- 261,448,104 - ------------------------------------------------------------------------------- Sales or maturities (excluding U.S. Government and agency obligations) -- -- 69,512,138 30,638,111 - -------------------------------------------------------------------------------
At October 31, 1997, Core Fixed Income had recorded a receivable for forward foreign currency exchange contracts which were closed but not settled of $28,856. 6. ADMINISTRATION AND SERVICE PLANS The Funds have adopted Administration and Service Plans. These plans allow for Administration shares and Service shares, respectively, to compensate service organizations for providing varying levels of account administration and shareholder liaison services to their customers who are beneficial owners of such shares. The Administration and Service Plans provide for compensation to the service organizations in an amount up to .25% and .50% (on an annualized basis), respectively, of the average daily net asset value of the respective shares. 7. REPURCHASE AGREEMENTS During the term of a repurchase agreement, the value of the underlying securities, including accrued interest, is required to equal or exceed the value of the repurchase agreement. The underlying securities for all repurchase agreements are held in safekeeping at the Funds' custodian. 8. JOINT REPURCHASE AGREEMENT ACCOUNT The Funds, together with other registered investment companies having advisory agreements with GSFM and GSAM or their affiliates, transfer uninvested cash balances into a joint account, the daily aggregate balance of which is invested in one or more repurchase agreements. The underlying securities for the repurchase agreements are U.S. Treasury obligations and mortgage-related securities issued by the U.S. Government, its agencies or instrumentalities. As of October 31, 1997, Adjustable Rate Government, Short Duration Government and Core Fixed Income had undivided interests in the repurchase agreements in the following joint account which equaled $6,500,000, $4,700,000 and $23,000,000 respectively, in principal amount. As of October 31, 1997, the repurchase agreement in the joint account along with the corresponding underlying securities (including the type of security, interest rate and maturity data) were as follows: - ---------------------------------------------------------------------------------------------------
PRINCIPAL INTEREST MATURITY AMORTIZED AMOUNT RATE DATE COST - --------------------------------------------------------------------------------------------------- Bear Stearns & Co., dated October 31, 1997, repurchase price $300,144,250 (total collateral value $309,849,518 consisting of FHLMC: 6.50%, 12/01/23; FNMA: 6.00%, 6/01/11; GNMA: 7.00%-8.00%, 2/15/25-10/15/27) $300,000,000 5.77% 11/30/97 $300,000,000 Lehman Brothers, Inc., dated October 31, 1997, repurchase price $241,215,728 (total collateral value $245,922,019 consisting of FHLMC: 6.50%-10.25%, 3/01/01-10/01/27; FNMA: 6.00%-11.25%, 11/01/01-10/01/27) $241,100,000 5.76% 11/03/97 $241,100,000 Nomura Securities International, Inc., dated October 31, 1997, repurchase price $200,096,167 (total collateral value $204,000,900 consisting of FHLMC: 6.02%-7.53%, 9/25/00-8/21/07; FNMA: 6.11%-7.73%, 6/22/99-2/07/07; U.S. Treasury Note: 5.75%-9.00%, 5/15/98-2/15/07; U.S. Treasury Principal Only Stripped Security: 5/15/00) $200,000,000 5.77% 11/03/97 $200,000,000 Nomura Securities International, Inc., dated October 31, 1997, repurchase price $100,047,500 (total collateral value $102,000,449 consisting of FHLMC: 6.02%-7.53%, 9/25/00-8/21/07; FNMA: 6.11%-7.73%, 6/22/99-2/07/07; U.S. Treasury Note: 5.75%-9.00%, 5/15/98-2/15/07; U.S. Treasury Principal Only Stripped Security: 5/15/00) $100,000,000 5.70% 11/03/97 $100,000,000 - --------------------------------------------------------------------------------------------------- Total Joint Repurchase Agreement Account $841,100,000 - ---------------------------------------------------------------------------------------------------
45 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- 9. CERTAIN RECLASSIFICATIONS In accordance with Statement of Position 93-2, Short Duration Government, Short Duration Tax-Free, and Core Fixed Income have reclassified $36,483, $20,748, and $24,095, respectively, from paid-in capital to accumulated undistributed net investment income. Additionally, Core Fixed Income has reclassified $15,717 from accumulated net realized gain to accumulated undistributed net investment income. These reclassifications have no impact on the net asset value of the Funds and are designed to present the Fund's capital accounts on a tax basis. 10. OTHER MATTERS As of October 31, 1997, the Goldman, Sachs & Co. Employees Profit Sharing and Retirement Income Plan was the beneficial owner of approximately 33% of the outstanding shares of the Short Duration Government Fund. 46 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS (continued) October 31, 1997 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- 11. SUMMARY OF SHARE TRANSACTIONS Share activity for the year ended October 31, 1997 is as follows:
Adjustable Rate Government Short Duration Government Short Duration Tax-Free Core Fixed Income - ------------------------------------------------------------------------------------------------------------------------------ Shares Dollars Shares Dollars Shares Dollars Shares Dollars ----------------------------------------------------------------------------------------------------- INSTITUTIONAL SHARES Shares sold 32,562,840 $ 321,007,102 4,524,108 $ 44,408,312 1,897,550 $ 18,922,030 1,146,499 $ 11,325,306 Reinvestment of dividends and distributions 1,830,181 18,045,430 440,142 4,313,493 115,179 1,152,524 450,657 4,441,709 Shares repurchased (49,889,214) (491,883,845) (4,617,947) (45,299,315) (2,646,181) (26,425,414) (1,051,390) (10,391,058) ----------------------------------------------------------------------------------------------------- (15,496,193) (152,831,313) 346,303 3,422,490 (633,452) (6,350,860) 545,766 5,375,957 ----------------------------------------------------------------------------------------------------- ADMINISTRATION SHARES Shares sold 209,261 2,063,528 325,429 3,199,356 33,608 336,065 1,366,455 13,474,489 Reinvestment of dividends and distributions 10,639 104,909 6,605 64,920 281 2,813 19,189 189,462 Shares repurchased (322,994) (3,190,328) (250,361) (2,471,239) (31,059) (312,126) (844,042) (8,441,000) ----------------------------------------------------------------------------------------------------- (103,094) (1,021,891) 81,673 793,037 2,830 26,752 541,602 5,222,951 ----------------------------------------------------------------------------------------------------- SERVICE SHARES Shares sold 48,034 474,470 191,963 1,881,964 373,847 3,741,754 204,087 2,016,094 Reinvestment of dividends and distributions 199 1,965 14,820 145,231 4,184 41,937 7,480 73,981 Shares repurchased (13,213) (130,485) (53,841) (527,404) (244,134) (2,443,102) (65,183) (648,610) ----------------------------------------------------------------------------------------------------- 35,020 345,950 152,942 1,499,791 133,897 1,340,589 146,384 1,441,465 ----------------------------------------------------------------------------------------------------- CLASS A SHARES Shares sold 7,590,281 74,855,744 1,141,319 11,256,436 492,769 4,950,140 1,104,533 11,020,182 Reinvestment of dividends and distributions 194,263 1,918,232 8,343 82,332 3,459 34,811 10,252 102,270 Shares repurchased (4,485,105) (44,283,044) (189,444) (1,867,761) (97,242) (977,758) (186,897) (1,876,109) ----------------------------------------------------------------------------------------------------- 3,299,439 32,490,932 960,218 9,471,007 398,986 4,007,193 927,888 9,246,343 ----------------------------------------------------------------------------------------------------- CLASS B SHARES Shares sold -- -- 95,322 934,856 11,933 119,768 71,697 712,089 Reinvestment of dividends and distributions -- -- 449 4,421 86 861 635 6,353 Shares repurchased -- -- (20,030) (196,887) (1,490) (15,000) (10,829) (107,884) ----------------------------------------------------------------------------------------------------- -- -- 75,741 742,390 10,529 105,629 61,503 610,558 ----------------------------------------------------------------------------------------------------- CLASS C SHARES Shares sold -- -- 21,033 207,264 2,151 21,604 28,196 281,946 Reinvestment of dividends and distributions -- -- 63 625 1 10 8 78 Shares repurchased -- -- (1,778) (17,517) (1,992) (20,080) (1,200) (12,024) ----------------------------------------------------------------------------------------------------- -- -- 19,318 190,372 160 1,534 27,004 270,000 ----------------------------------------------------------------------------------------------------- Net increase (decrease) (12,264,828) $ (121,016,322) 1,636,195 $ 16,119,087 (87,050) $ (869,163) 2,250,147 $ 22,167,274 ----------------------------------------------------------------------------------------------------- -----------------------------------------------------------------------------------------------------
47 - -------------------------------------------------------------------------------- - --------------------------------------- --------------------------------------- - --------------------------------------- --------------------------------------- Share activity for the year ended October 31, 1996 is as follows:
Adjustable Rate Government Short Duration Government Short Duration Tax-Free Core Fixed Income - ---------------------------------------------------------------------------------------------------------------------------- Shares Dollars Shares Dollars Shares Dollars Shares Dollars ------------------------------------------------------------------------------------------------ INSTITUTIONAL SHARES Shares sold 39,981,299 $ 391,363,204 4,072,082 $ 39,855,638 2,085,253 $ 20,777,050 2,094,833 $20,524,422 Reinvestment of dividends and distributions 1,780,288 17,432,484 422,559 4,137,041 139,126 1,383,351 436,903 4,292,533 Shares repurchased (46,666,343) (456,776,795) (4,893,286) (47,875,174) (4,601,865) (45,664,878) (769,104) (7,431,360) ========================================================================================================== (4,904,756) (47,981,107) (398,645) (3,882,495) (2,377,486) (23,504,477) 1,762,632 17,385,595 ========================================================================================================== ADMINISTRATION SHARES Shares sold 148,981 1,457,872 33,251 326,101 10,672 105,302 106,074 1,029,912 Reinvestment of dividends and distributions 9,641 94,420 207 2,032 203 2,017 1,847 17,883 Shares repurchased (138,609) (1,356,764) (7,921) (77,312) (10,644) (105,478) (36,681) (358,284) ========================================================================================================== 20,013 195,528 25,537 250,821 231 1,841 71,240 689,511 ========================================================================================================== SERVICE SHARES Shares sold -- -- 188,134 1,837,702 137,557 1,366,332 43,525 422,233 Reinvestment of dividends and distributions -- -- 1,508 14,743 1,621 16,124 549 5,332 Shares repurchased -- -- (4,150) (40,626) (115,450) (1,148,044) (5,292) (50,931) ========================================================================================================== -- -- 185,492 1,811,819 23,728 234,412 38,782 376,634 ========================================================================================================== CLASS A SHARES Shares sold 1,404,698 13,765,298 -- -- -- -- -- -- Reinvestment of dividends and distributions 66,854 654,744 -- -- -- -- -- -- Shares repurchased (1,936,518) (18,974,355) -- -- -- -- -- -- ========================================================================================================== (464,966) (4,554,313) -- -- -- -- -- -- ========================================================================================================== Net increase (decrease) (5,349,709) $ (52,339,892) (187,616) $ (1,819,855) (2,353,527) $(23,268,224) 1,872,654 $18,451,740 ==========================================================================================================
48 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Selected Data for a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Income (loss) from investment operations(n) Distributions to shareholders ------------------------------------------------------ ------------------------------------------------- Net realized Net realized In excess of and unrealized and unrealized Total From net net realized gain (loss) gain (loss) income realized gain gain on Net asset on investment, on foreign (loss) on investment, In excess investment, value at Net option and currency from From net option of net option and beginning investment futures related investment investment and futures investment futures of period income transactions transactions operations income transactions income transactions ----------------------------------------------------------------------------------------------------------------------------- ADJUSTABLE RATE GOVERNMENT FUND - ----------------------------------------------------------------------------------------------------------------------------------- FOR THE YEARS ENDED OCTOBER 31, - ------------------------------- 1997- Institutional Shares.......... $ 9.83 $0.5914(a) $ 0.0494(a) -- $0.6408 $(0.5908) -- -- -- 1997- Administration Shares.......... 9.83 0.5665(a) 0.0497(a) -- 0.6162 (0.5662) -- -- -- 1997-Service Shares(m)....... 9.84 0.3298(a) 0.0400(a) -- 0.3698 (0.3298) -- -- -- 1997-Class A Shares.......... 9.83 0.5662(a) 0.0500(a) -- 0.6162 (0.5662) -- -- -- 1996- Institutional Shares.......... 9.77 0.5759(a) 0.0772(a) -- 0.6531 (0.5725) -- (0.0206) -- 1996- Administration Shares.......... 9.77 0.5489(a) 0.0797(a) -- 0.6286 (0.5489) -- (0.0198) -- 1996-Class A Shares.......... 9.77 0.5481(a) 0.0806(a) -- 0.6287 (0.5489) -- (0.0198) -- 1995- Institutional Shares.......... 9.74 0.5630(a) 0.0717(a) -- 0.6347 (0.5759) -- (0.0287) -- 1995- Administration Shares.......... 9.74 0.5366(a) 0.0737(a) -- 0.6103 (0.5528) -- (0.0275) -- 1995-Class A Shares(c)....... 9.79 0.2721(a) (0.0090)(a) -- 0.2631 (0.2697) -- (0.0134) -- 1994- Institutional Shares.......... 10.00 0.4341(a) (0.2455)(a) -- 0.1886 (0.4486) -- -- -- 1994- Administration Shares.......... 10.00 0.4211(a) (0.2572)(a) -- 0.1639 (0.4239) -- -- -- 1993- Institutional Shares.......... 10.04 0.4397 (0.0376)(d) -- 0.4021 (0.4397) -- (0.0024) -- 1993- Administration Shares(e)....... 10.02 0.2146 (0.0173)(d) -- 0.1973 (0.2146) -- (0.0027) -- 1992- Institutional Shares.......... 10.03 0.5599 (0.0029)(d) -- 0.5570 (0.5470) -- -- -- FOR THE PERIOD JULY 17, 1991(G) THROUGH OCTOBER 31, - --------------------------------------------------- 1991- Institutional Shares.......... 10.00 0.1531 0.0322(d) -- 0.1853 (0.1553) -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Distribution to Shareholders Net Ratio of Net -------------------- increase Ratio of net assets From Total (decrease) Net asset net investment at end paid distributions in net value at expenses income Portfolio of in to asset end of Total to average to average turnover period capital shareholders value period return(k) net assets net assets rate(d) (in 000s) -------------------------------------------------------------------------------------------------------- ADJUSTABLE RATE GOVERNMENT FUND -------------------------------------------------------------------------------------------------------- FOR THE YEARS ENDED OCTOBER 31, - ------------------------------- 1997- Institutional Shares.......... -- $(0.5908) $ 0.0500 $ 9.88 6.70% 0.49% 5.99% 46.58% $ 463,511 1997- Administration Shares.......... -- (0.5662) 0.0500 9.88 6.43 0.74 5.73 46.58 2,793 1997-Service Shares(m)....... -- (0.3298) 0.0400 9.88 3.81(f) 1.05(b) 5.64(b) 46.58(f) 346 1997-Class A Shares.......... -- (0.5662) 0.0500 9.88 6.43 0.74 5.60 46.58 43,393 1996- Institutional Shares.......... -- (0.5931) 0.0600 9.83 6.86 0.45 5.85 52.36 613,149 1996- Administration Shares.......... -- (0.5687) 0.0600 9.83 6.60 0.70 5.59 52.36 3,792 1996-Class A Shares.......... -- (0.5687) 0.0600 9.83 6.60 0.70 5.59 52.36 10,728 1995- Institutional Shares.......... -- (0.6046) 0.0301 9.77 6.75 0.46 5.77 24.12 657,358 1995- Administration Shares.......... -- (0.5803) 0.0300 9.77 6.48 0.71 5.50 24.12 3,572 1995-Class A Shares(c)....... -- (0.2831) (0.0200) 9.77 2.74(f) 0.69(b) 5.87(b) 24.12(f) 15,203 1994- Institutional Shares.......... -- (0.4486) (0.2600) 9.74 1.88 0.46 4.38 37.81 942,523 1994- Administration Shares.......... -- (0.4239) (0.2600) 9.74 1.63 0.71 4.27 37.81 6,960 1993- Institutional Shares.......... -- (0.4421) (0.0400) 10.00 4.13 0.45 4.36 103.74 2,760,871 1993- Administration Shares(e)....... -- (0.2173) (0.0200) 10.00 2.01(f) 0.70(b) 3.81(b) 103.74(f) 5,326 1992- Institutional Shares.......... -- (0.5470) 0.0100 10.04 6.12 0.42 5.61 286.40 2,145,064 FOR THE PERIOD JULY 17, 1991(g) through OCTOBER 31, - -------------------------------------------------- 1991- Institutional Shares.......... -- (0.1553) 0.0300 10.03 2.14(f) 0.20(b) 7.31(b) 145.67(f) 239,642 --------------------------------------------------------------------------------------------------------------------------- Ratios assuming no voluntary waiver of fees or expense limitations ----------------------- Ratio of net Ratio of investment expenses income to average to average net assets net assets ------------------------------- ADJUSTABLE RATE GOVERNMENT FUND ------------------------------- 1997- Institutional Shares.......... 0.52% 5.96% 1997- Administration Shares.......... 0.77 5.70 1997-Service Shares(m)....... 1.08(b) 5.61(b) 1997-Class A Shares.......... 1.02 5.32 1996- Institutional Shares.......... 0.51 5.79 1996- Administration Shares.......... 0.76 5.53 1996-Class A Shares.......... 1.01 5.28 1995- Institutional Shares.......... 0.53 5.70 1995- Administration Shares.......... 0.78 5.43 1995-Class A Shares(c)....... 1.01(b) 5.55(b) 1994- Institutional Shares.......... 0.49 4.35 1994- Administration Shares.......... 0.74 4.24 1993- Institutional Shares.......... 0.48 4.33 1993- Administration Shares(e)....... 0.73(b) 3.78(b) 1992- Institutional Shares.......... 0.55 5.48 FOR THE PERIOD JULY 17, 1991(g) THROUGH OCTOBER 31, - -------------------------------------------------- 1991- Institutional Shares.......... 1.02(b) 6.49(b) - --------------------------------------------
The accompanying notes are an integral part of these financial statements. 49 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Selected Data for a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Income (loss) from investment operations(n) Distributions to shareholders ------------------------------------------------------ -------------------------------------------------- Net realized Net realized In excess of and unrealized and unrealized Total From net net realized gain (loss) gain (loss) income realized gain gain on Net asset on investment, on foreign (loss) on investment, In excess investment, value at Net option and currency from From net option of net option and beginning investment futures related investment investment and futures investment futures of period income transactions transactions operations income transactions income transactions - ----------------------------------------------------------------------------------------------------------------------------------- SHORT DURATION GOVERNMENT FUND - ----------------------------------------------------------------------------------------------------------------------------------- FOR THE YEARS ENDED OCTOBER 31, - ------------------------------- 1997- Institutional Shares.......... $ 9.83 $0.6412(a) $ 0.0300(a) -- $ 0.6712 $(0.6412) -- -- -- 1997- Administration Shares.......... 9.85 0.6183(a) 0.0400(a) -- 0.6583 (0.6183) -- -- -- 1997-Service Shares.......... 9.82 0.5904(a) 0.0401(a) -- 0.6305 (0.5904) -- -- -- 1997-Class A Shares(o)....... 9.78 0.3121(a) 0.0883(a) -- 0.4004 (0.3004) -- -- -- 1997-Class B Shares(o)....... 9.75 0.2787(a) 0.1011(a) -- 0.3798 (0.2698) -- -- -- 1997-Class C Shares(p)....... 9.83 0.1185(a) 0.0225(a) -- 0.1410 (0.1110) -- -- -- 1996- Institutional Shares.......... 9.82 0.6290(a) 0.0136(a) -- 0.6426 (0.6326) -- -- -- 1996- Administration Shares(h)....... 9.86 0.3837(a) 0.0003(a) -- 0.3840 (0.3940) -- -- -- 1996-Service Shares(i)....... 9.72 0.3134(a) 0.1018(a) -- 0.4152 (0.3152) -- -- -- 1995- Institutional Shares.......... 9.64 0.6652(a) 0.1666(a) -- 0.8318 (0.6518) -- -- -- 1995- Administration Shares.......... 9.64 0.2384(a) (0.0433)(a) -- 0.1951 (0.2051) -- -- -- 1994- Institutional Shares.......... 10.14 0.5628(a) (0.4592)(a) -- 0.1036 (0.5598) (0.0438) -- -- 1994- Administration Shares.......... 10.14 0.5329(a) (0.4539)(d) -- 0.0790 (0.5352) (0.0438) -- -- 1993- Institutional Shares.......... 10.16 0.5627 (0.0135)(d) -- 0.5492 (0.5627) -- (0.0065) -- 1993- Administration Shares(e)....... 10.23 0.2725 (0.0900)(d) -- 0.1825 (0.2725) -- -- -- 1992- Institutional Shares.......... 10.22 0.6703 (0.0600)(d) -- 0.6103 (0.6703) -- -- -- 1991- Institutional Shares.......... 10.00 0.8020 0.2200(d) -- 1.0220 (0.8020) -- -- -- 1990- Institutional Shares.......... 10.07 0.8300 (0.0700)(d) -- 0.7600 (0.8300) -- -- -- 1989- Institutional Shares.......... 10.10 0.8800 -- -- 0.8800 (0.8800) -- -- -- FOR THE PERIOD AUGUST 15, 1988(G) THROUGH OCTOBER 31, - ----------------------------------------------------- 1988- Institutional Shares.......... 10.00 0.1800 0.1000(d) -- 0.2800 (0.1800) -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Distribution to shareholders Net Ratio of Net -------------------- increase Ratio of net assets From Total (decrease) Net asset net investment at end paid distributions in net value at expenses income Portfolio of in to asset end of Total to average to average turnover period capital shareholders value period return(k) net assets net assets rate(d) (in 000s) -------------------------------------------------------------------------------------------------------- SHORT DURATION GOVERNMENT FUND -------------------------------------------------------------------------------------------------------- FOR THE YEARS ENDED OCTOBER 31, - ------------------------------- 1997- Institutional Shares.......... -- ($0.6412) $0.0300 $9.86 7.07% 0.45% 6.43% 102.58% $103,729 1997- Administration Shares.......... -- (0.6183) 0.0400 9.89 6.91 0.70 6.19 102.58 1,060 1997-Service Shares.......... -- (0.5904) 0.0401 9.86 6.63 0.95 5.92 102.58 3,337 1997-Class A Shares(o)....... -- (0.3004) 0.1000 9.88 4.14(f) 0.70(b) 6.05(b) 102.58(f) 9,491 1997-Class B Shares(o)....... -- (0.2698) 0.1100 9.86 3.94(f) 1.30(b) 5.52(b) 102.58(f) 747 1997-Class C Shares(p)....... -- (0.1100) 0.0300 9.86 1.44(f) 1.45(b) 5.52(b) 102.58(f) 190 1996- Institutional Shares.......... -- (0.6326) 0.0100 9.83 6.75 0.45 6.44 115.45 99,944 1996- Administration Shares(h)....... -- (0.3940) (0.0100) 9.85 4.00(f) 0.70(b) 5.97(b) 115.45 252 1996-Service Shares(i)....... -- (0.3152) 0.1000 9.82 4.35(f) 0.95(b) 6.05(b) 115.45 1,822 1995- Institutional Shares.......... -- (0.6518) 0.1800 9.82 8.97 0.45 6.87 292.56 103,760 1995- Administration Shares.......... -- (0.2051) (0.0100) 9.63(h) 2.10 0.70(b) 7.91(b) 292.56 -- 1994- Institutional Shares.......... -- (0.6036) (0.5000) 9.64 0.99 0.45 5.69 289.79 193,095 1994- Administration Shares.......... -- (0.5790) (0.5000) 9.64 0.73 0.70 5.38 289.79 730 1993- Institutional Shares.......... -- (0.5692) (0.0200) 10.14 5.55 0.45 5.46 411.66 359,708 1993- Administration Shares(e)....... -- (0.2725) (0.0900) 10.14 1.74(f) 0.70(b) 4.84(b) 411.66 16,490 1992- Institutional Shares......... -- (0.6703) (0.0600) 10.16 6.24 0.45 6.60 216.07 277,927 1991- Institutional Shares.......... -- (0.8020) 0.2200 10.22 10.93 0.45 8.25 155.44 158,848 1990- Institutional Shares.......... -- (0.8300) (0.0700) 10.00 8.23 0.45 8.62 173.21 68,995 1989- Institutional Shares.......... (0.0300) 0.9100 (0.0300) 10.07 9.08 0.46 8.71 137.37 31,015 FOR THE PERIOD AUGUST 15, THROUGH OCTOBER 31, - --------------------------------------------- 1988- Institutional Shares.......... -- (0.1800) 0.1000 10.10 3.30(f) 0.55(b) 8.55(b) 167.00(f) 39,052 Ratios assuming no voluntary waiver of fees or expense limitations ------------------------ Ratio of net Ratio of investment expenses income to average to average net assets net assets ------------------------------- SHORT DURATION GOVERNMENT FUND ------------------------------- FOR THE YEARS ENDED OCTOBER 31, - ------------------------------- 1997- Institutional Shares.......... 0.82% 6.06% 1997- Administration Shares.......... 1.07 5.82 1997-Service Shares.......... 1.32 5.55 1997-Class A Shares(o)....... 1.32(b) 5.43(b) 1997-Class B Shares(o)....... 1.82(b) 5.00(b) 1997-Class C Shares(p)....... 1.82(b) 5.15(b) 1996- Institutional Shares.......... 0.71 6.18 1996- Administration Shares(h)....... 0.96(b) 5.71(b) 1996-Service Shares(i)....... 1.21(b) 5.79(b) 1995- Institutional Shares.......... 0.72 6.60 1995- Administration Shares.......... 0.90(b) 7.71(b) 1994- Institutional Shares.......... 0.59 5.55 1994- Administration Shares.......... 0.84 5.24 1993- Institutional Shares.......... 0.64 5.31 1993- Administration Shares(e)....... 0.80(b) 4.74(b) 1992- Institutional Shares......... 0.69 6.36 1991- Institutional Shares.......... 0.79 7.91 1990- Institutional Shares.......... 0.95 8.12 1989- Institutional Shares.......... 1.39 7.78 FOR THE PERIOD AUGUST 15, 1988(g) THROUGH OCTOBER 31, - ----------------------------------------------------- 1988- Institutional Shares.......... 1.42(b) 7.68(b) - -----------------------------------------------------
The accompanying notes are an integral part of these financial statements. 50 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Selected Data for a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Income (loss) from investment operations(n) ------------------------------------------------------ Net realized Net realized and unrealized and unrealized Total gain (loss) gain (loss) income Net asset on investment, on foreign (loss) value at Net option and currency from From net beginning investment futures related investment investment of period income transactions transactions operations income - -------------------------------------------------------------------------------------------- SHORT DURATION TAX-FREE FUND - -------------------------------------------------------------------------------------------- FOR THE YEARS ENDED OCTOBER 31, 1997- Institutional Shares.......... $ 9.96 $0.4181(a) $ 0.1091(a) -- $ 0.5272 $(0.4172) 1997- Administration Shares.......... 9.96 0.3924(a) 0.1100(a) -- 0.5024 (0.3924) 1997-Service Shares.......... 9.97 0.3675(a) 0.1000(a) -- 0.4675 (0.3675) 1997-Class A Shares(o)....... 9.94 0.1950(a) 0.1400(a) -- 0.3350 (0.1950) 1997-Class B Shares(o)....... 9.94 0.1663(a) 0.1368(a) -- 0.3031 (0.1631) 1997-Class C Shares(p)....... 10.04 0.0670(a) 0.0300(a) -- 0.0970 (0.0670) 1996- Institutional Shares.......... 9.94 0.4192(a) 0.0200(a) -- 0.4392 (0.4192) 1996- Administration Shares.......... 9.94 0.3944(a) 0.0200(a) -- 0.4144 (0.3944) 1996-Service Shares.......... 9.95 0.3697(a) 0.0200(a) -- 0.3897 (0.3697) 1995- Institutional Shares.......... 9.79 0.4235(a) 0.1500(a) -- 0.5735 (0.4235) 1995- Administration Shares.......... 9.79 0.3989(a) 0.1500(a) -- 0.5489 (0.3989) 1995-Service Shares.......... 9.79 0.3744(a) 0.1600(a) -- 0.5344 (0.3744) 1994- Institutional Shares.......... 10.23 0.3787(a) (0.3575)(a) -- 0.0212 (0.3787) 1994- Administration Shares.......... 10.23 0.3537(a) (0.3575)(a) -- (0.0038) (0.3537) 1994-Service Shares(j)....... 9.86 0.0475(a) (0.0700)(a) -- (0.0225) (0.0475) 1993- Institutional Shares.......... 9.93 0.3834 0.3000(d) -- 0.6834 (0.3834) 1993- Administration Shares(j)....... 10.16 0.1555 0.0720(d) -- 0.2275 (0.1555) FOR THE PERIOD OCTOBER 1, 1992(G) THROUGH OCTOBER 31, 1992- Institutional Shares.......... 10.00 0.0341 (0.0700)(d) -- (0.0359) (0.0341) - --------------------------------------------------------------------------------------------- Distributions to shareholders ------------------------------------------------------------ In excess of From net net realized Net realized gain gain on increase Ratio of on investment, In excess investment, From Total (decrease) Net asset net option of net option and paid distributions in net value at expenses and futures investment futures in to asset end of Total to average transactions income transactions capital shareholders value period return(k) net assets -------------------------------------------------------------------------------------------------------------------- SHORT DURATION TAX-FREE FUND - -------------------------------------------------------------------------------------------------------------------------- 1997- Institutional Shares.......... -- -- -- -- $(0.4172) $ 0.1100 $10.07 5.40% 0.45% 1997- Administration Shares.......... -- -- -- -- (0.3924) 0.1100 10.07 5.14 0.70 1997-Service Shares.......... -- -- -- -- (0.3675) 0.1000 10.07 4.77 0.95 1997-Class A Shares(o)....... -- -- -- -- (0.1950) 0.1400 10.08 3.39(f) 0.70(b) 1997-Class B Shares(o)....... -- -- -- -- (0.1631) 0.1400 10.08 3.07(f) 1.30(b) 1997-Class C Shares(p)....... -- -- -- -- (0.0670) 0.0300 10.07 0.97(f) 1.45(b) 1996- Institutional Shares.......... -- -- -- -- (0.4192) 0.0300 9.96 4.50 0.45 1996- Administration Shares.......... -- -- -- -- (0.3944) 0.0300 9.96 4.24 0.70 1996-Service Shares.......... -- -- -- -- (0.3697) 0.0200 9.97 3.98 0.95 1995- Institutional Shares.......... -- -- -- -- (0.4235) 0.1500 9.94 5.98 0.45 1995- Administration Shares.......... -- -- -- -- (0.3989) 0.1500 9.94 5.76 0.70 1995-Service Shares.......... -- -- -- -- (0.3744) 0.1600 9.95 5.59 0.95 1994- Institutional Shares.......... (0.0825) -- -- -- (0.4612) (0.4400) 9.79 0.17 0.45 1994- Administration Shares.......... (0.0825) -- -- -- (0.4362) (0.4400) 9.79 (0.11) 0.70 1994-Service Shares(j)....... -- -- -- -- (0.0475) (0.0700) 9.79 (0.32)(f) 0.95(b) 1993- Institutional Shares.......... -- -- -- -- (0.3834) 0.3000 10.23 7.03 0.41 1993- Administration Shares(j)....... -- -- -- -- (0.1555) 0.0720 10.23 2.28(f) 0.70(b) FOR THE PERIOD OCTOBER 1, 1992(G) THROUGH OCTOBER 31, - ---------------------------------------------------- 1992- Institutional Shares.......... -- -- -- -- (0.0341) (0.0700) 9.93 (0.34)(f) 0.05(b) - ------------------------------------------------------------------------------------------------------------------------- Ratios assuming no voluntary waiver of fees or expense limitations --------------------- Ratio of Net Ratio of net assets net investment at end Ratio of investment income Portfolio of expenses income to average turnover period to average to average net assets rate(d) (in 000s) net assets net assets ----------------------------------------------------------------- SHORT DURATION TAX-FREE FUND - ----------------------------------------------------------------------- 1997- Institutional Shares.......... 4.18% 194.75% $ 28,821 1.23% 3.40% 1997- Administration Shares.......... 3.91 194.75 77 1.48 3.13 1997-Service Shares.......... 3.66 194.75 2,051 1.73 2.88 1997-Class A Shares(o)....... 3.81(b) 194.75(f) 4,023 1.73(b) 2.78(b) 1997-Class B Shares(o)....... 3.31(b) 194.75(f) 106 2.23(b) 2.38(b) 1997-Class C Shares(p)....... 2.60(b) 194.75(f) 2 2.23(b) 1.82(b) 1996- Institutional Shares.......... 4.21 231.65 34,814 1.01 3.65 1996- Administration Shares.......... 3.96 231.65 48 1.26 3.40 1996-Service Shares.......... 3.74 231.65 695 1.51 3.18 1995- Institutional Shares.......... 4.31 259.52 58,389 0.77 3.99 1995- Administration Shares.......... 4.14 259.52 46 1.02 3.82 1995-Service Shares.......... 3.87 259.52 454 1.27 3.55 1994- Institutional Shares.......... 3.74 354.00 83,704 0.61 3.58 1994- Administration Shares.......... 3.51 354.00 3,866 0.86 3.35 1994-Service Shares(j)....... 4.30(b) 354.00 440 1.11(b) 4.14(b) 1993- Institutional Shares.......... 3.70 404.60 115,803 1.06 3.05 1993- Administration Shares(j)....... 3.32(b) 404.60 911 1.07(b) 2.95(b) FOR THE PERIOD OCTOBER 1, 1992(G) THROUGH OCTOBER 31, - ----------------------------------------------------- 1992- Institutional Shares.......... 4.58(b) 31.19(f) 14,601 2.68(b) 1.95(b) - --------------------------
The accompanying notes are an integral part of these financial statements. 51 Goldman Sachs Trust--Fixed Income Funds - ------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Selected Data for a Share Outstanding Throughout Each Period - -------------------------------------------------------------------------------
Income (loss) from investment operations(n) --------------------------------------------------- Net realized Net realized and unrealized and unrealized Total gain (loss) gain (loss) income Net asset on investment, on foreign (loss) value at Net option and currency from From net beginning investment futures related investment investment of period income transactions transactions operations income - ---------------------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND - ---------------------------------------------------------------------------------------------------------- FOR THE YEARS ENDED OCTOBER 31, - ------------------------------- 1997- Institutional Shares.......... $ 9.85 $0.6431 $0.2282 $(0.0005) $ 0.8708 $(0.6408) 1997- Administration Shares.......... 9.84 0.6182 0.2380 (0.0005) 0.8557 (0.6157) 1997-Service Shares.......... 9.86 0.5937 0.2287 (0.0005) 0.8219 (0.5919) 1997-Class A Shares(o)....... 9.70 0.3059 0.3596 (0.0008) 0.6647 (0.3048) 1997-Class B Shares(o)....... 9.72 0.2686 0.3695 (0.0008) 0.6373 (0.2673) 1997-Class C Shares(p)....... 9.93 0.1118 0.1591 (0.0003) 0.2706 (0.1107) 1996- Institutional Shares.......... 10.00 0.6448 (0.0704) -- 0.5744 (0.6438) 1996- Administrative Shares(/1/)..... 9.91 0.4083 (0.0703) -- 0.3380 (0.4080) 1996-Service Shares(l)....... 9.77 0.3756 0.0898 -- 0.4654 (0.3754) 1995- Institutional Shares.......... 9.24 0.6423 0.7610 -- 1.4033 (0.6433) FOR THE PERIOD JANUARY 5, 1994(G) THROUGH OCTOBER 31, - ---------------------------------------------------- 1994- Institutional Shares.......... 10.00 0.4648 (0.7617) -- (0.2969) (0.4648) Distributions to shareholders ------------------------------------------------------------ In excess of From net net realized Net realized gain gain on increase on investment, In excess investment, From Total (decrease) Net asset option of net option and paid distributions in net value at and futures investment futures in to asset end of Total transactions income transactions capital shareholders value period return(k) - ----------------------------------------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND - ----------------------------------------------------------------------------------------------------------------------------- FOR THE YEARS ENDED OCTOBER 31, - ------------ 1997- Institutional Shares.......... -- -- -- -- $(0.6408) $ 0.2300 $10.08 9.19% 1997- Administration Shares.......... -- -- -- -- (0.6157) 0.2300 10.07 8.92 1997-Service Shares.......... -- -- -- -- (0.5919) 0.2300 10.09 8.65 1997-Class A Shares(o)....... -- -- -- -- (0.3048) 0.3599 10.06 6.94(f) 1997-Class B Shares(o)....... -- -- -- -- (0.2673) 0.3700 10.09 6.63(f) 1997-Class C Shares(p)....... -- -- -- -- (0.1107) 0.1599 10.09 2.74(f) 1996- Institutional Shares.......... (0.0806) -- -- -- (0.7244) (0.1500) 9.85 5.98 1996- Administrative Shares(/1/)..... -- -- -- -- (0.4080) (0.0700) 9.84 3.56(f) 1996-Service Shares(l)....... -- -- -- -- (0.3754) 0.0900 9.86 4.90(f) 1995- Institutional Shares.......... -- -- -- -- (0.6433) 0.7600 10.00 15.72 FOR THE PERIOD JANUARY 5, 1994(G) THROUGH OCTOBER 31, - -------------------- 1994- Institutional Shares.......... -- -- -- -- (0.4648) (0.7617) 9.24 (3.00) Ratios assuming no voluntary waiver of fees or expense limitations --------------------- Ratio of Net Ratio of Ratio of net assets net net investment at end Ratio of investment expenses income Portfolio of expenses income to average to average turnover period to average to average net assets net assets rate(d) (in 000s) net assets net assets - ------------------------------------------------------------------------------------------------- CORE FIXED INCOME FUND - ------------------------------------------------------------------------------------------------- FOR THE YEARS ENDED OCTOBER 31, - ------------ 1997- Institutional Shares.......... 0.45% 6.53% 361.27% $79,230 0.83% 6.15% 1997- Administration Shares.......... 0.70 6.27 361.27 6,176 1.08 5.89 1997-Service Shares.......... 0.95 6.00 361.27 1,868 1.33 5.62 1997-Class A Shares(o)....... 0.70(b) 6.13(b) 361.27(f) 9,336 1.33(b) 5.50(b) 1997-Class B Shares(o)....... 1.45(b) 5.28(b) 361.27(f) 621 1.83(b) 4.90(b) 1997-Class C Shares(p)....... 1.45(b) 4.84(b) 361.27(f) 272 1.83(b) 4.46(b) 1996- Institutional Shares.......... 0.45 6.51 414.20 72,061 0.83 6.13 1996- Administrative Shares(/1/)..... 0.70(b) 6.41(b) 414.20 702 1.08(b) 6.03(b) 1996-Service Shares(l)....... 0.95(b) 6.37(b) 414.20 381 1.33(b) 5.99(b) 1995- Institutional Shares.......... 0.45 6.56 382.26 55,502 0.96 6.05 FOR THE PERIOD JANUARY 5, 1994(G) - -------------------- 1994- Institutional Shares.......... 0.45(b) 6.48(b) 285.25 24,508 1.46(b) 5.47(b)
(a) Calculated based on the average shares outstanding methodology. (b) Annualized. (c) Class A share activity commenced on May 15, 1995. (d) Includes the effect of mortgage dollar roll transactions. (e) Administration share activity commenced on April 15, 1993. (f) Not annualized. (g) Commencement of operations. (h) Short Duration Government Fund Administration shares were redeemed in full on February 23, 1995 and re-commenced on February 28, 1996 at $9.86. (i) Service share activity commenced on April 10, 1996. (j) Administration and service share activity commenced on May 20, 1993 and September 20, 1994, respectively. (k) 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 charges. Total return would be reduced if a sales charge for Class A shares or a contingent deferred sales charge for Class B and Class C shares were taken into account. (l) Administration and Service share activity commenced on February 28, 1996 and March 13, 1996, respectively. (m) Service share activity commenced on March 27, 1997. (n) Includes the balancing effect of calculating per share amounts. (o) Class A and Class B share activity commenced on May 1, 1997. (p) Class C share activity commenced on August 15, 1997. - ------------------------------------------------------------------------------- The accompanying notes are an integral part of these financial statements. 52 Goldman Sachs Trust--Fixed Income Funds - -------------------------------------------------------------------------------- REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS - --------------------------------------- --------------------------------------- To the Shareholders and Board of Trustees of the Goldman Sachs Adjustable Rate Government Fund, Goldman Sachs Short Duration Government Fund, Goldman Sachs Short Duration Tax-Free Fund and Goldman Sachs Core Fixed Income Fund: We have audited the accompanying statements of assets and liabilities of the Goldman Sachs Adjustable Rate Government Fund, Goldman Sachs Short Duration Government Fund, Goldman Sachs Short Duration Tax-Free Fund and Goldman Sachs Core Fixed Income Fund (portfolios of Goldman Sachs Trust, a Delaware Business Trust) including the statements of investments, as of October 31, 1997, and the related statements of operations, the statements of changes in net assets and the financial highlights for each of the periods presented. These financial statements and the financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and the financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and the financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 1997 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and the financial highlights referred to above present fairly, in all material respects, the financial position of the Goldman Sachs Adjustable Rate Government Fund, Goldman Sachs Short Duration Government Fund, Goldman Sachs Short Duration Tax-Free Fund and Goldman Sachs Core Fixed Income Fund as of October 31, 1997, the results of their operations and the changes in their net assets and the financial highlights for each of the periods presented, in conformity with generally accepted accounting principles. Arthur Andersen LLP Boston, Massachusetts December 12, 1997 - --------------------------------------- --------------------------------------- 53 VOTING RESULTS OF SPECIAL MEETING OF SHAREHOLDERS The proposals described below were submitted to a vote of shareholders of Goldman Sachs Trust (the "Company") at a Special Meeting of Shareholders held on April 1, 1997 (the "Meeting"): - -------------------------------------------------------------------------------- PROPOSAL NO. 1--ELECTION OF NINE TRUSTEES: - -------------------------------------------------------------------------------- At the Meeting, Ashok Bakhru, David B. Ford, Douglas Grip, John McNulty, Mary McPherson, Richard Strubel, Alan Shuch, Jackson Smart and William Springer were elected to the Company's Board of Trustees. In electing the Trustees, the Company's shareholders voted as follows:
TRUSTEE FOR AGAINST ABSTAIN BROKER NON-VOTES ------- --------------- ------- -------------- ---------------- Ashok Bakhru............ 59,699,988.0890 0 993,484.8850 0 David B. Ford........... 59,362,764.7000 0 1,330,708.2740 0 Douglas Grip............ 59,477,956.3930 0 1,215,516.5810 0 John McNulty............ 59,362,764.7000 0 1,330,708.2740 0 Mary McPherson.......... 59,705,150.0290 0 988,322.9450 0 Richard Strubel......... 59,727,715.4610 0 965,757.5130 0 Alan Shuch.............. 59,362,764.7000 0 1,330,708.2740 0 Jackson Smart........... 59,706,199.9810 0 987,272.9930 0 William Springer........ 59,729,198.2540 0 964,274.7200 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 2--RATIFICATION OF THE SELECTION OF ARTHUR ANDERSEN LLP AS THE INDEPENDENT ACCOUNTANTS OF THE TRUST OR THE CORPORATION FOR THE FISCAL YEARS ENDING OCTOBER 31, 1997 AND JANUARY 31, 1998, RESPECTIVELY: - -------------------------------------------------------------------------------- At the Meeting, the Company's shareholders approved Proposal No. 2 as follows:
FOR AGAINST ABSTAIN BROKER NON-VOTES - --------------- -------------- -------------- ---------------- 55,747,113.1630 37,028.3220 4,909,331.4890 0 - -------------------------------------------------------------------------------- PROPOSAL NO. 4(B)--APPROVAL OF AN AMENDMENT TO THE TRUST'S DECLARATION OF TRUST TO PERMIT INVESTMENT OF EACH FUND'S ASSETS IN ANOTHER OPEN-END INVESTMENT COMPANY: - -------------------------------------------------------------------------------- At the Meeting, the Company's shareholders approved Proposal No. 4(B) as follows: FOR AGAINST ABSTAIN BROKER NON-VOTES - --------------- -------------- -------------- ---------------- 52,375,742.4380 1,978,971.9450 6,267,663.5910 71,095.0000
- -------------------------------------------------------------------------------- PROPOSAL NO. 3--APPROVAL OF AN AGREEMENT AND PLAN OF REORGANIZATION: - -------------------------------------------------------------------------------- At the Meeting, the shareholders of each of the Company's portfolios (each, a "Fund" and collectively, the "Funds") approved Proposal No. 3 as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ -------------- ---------------- G.S. Short Duration Gov- ernment................ 6,256,266.2380 249,187.0120 0 0 G.S. Adjustable Rate Government............. 30,840,046.7270 205,007.3510 4,029,816.1740 64,115.0000 G.S. Short Duration Tax Free................... 2,017,550.0780 16,321.0250 527.7150 0 G.S. Core Fixed Income.. 4,761,964.9270 1,055.6280 0 0 G.S. Global Income...... 7,475,140.0900 216,569.4820 1,108,286.2630 0 G.S. Government Income.. 1,419,426.1060 19,927.7870 2,736.8010 6,980.0000 G.S. Municipal Income... 1,871,247.5330 13,820.1290 117,480.9080 0
54 - -------------------------------------------------------------------------------- PROPOSAL NO. 4(A)--APPROVAL OF AN AMENDMENT TO THE FUND'S INVESTMENT RESTRICTIONS TO PERMIT EACH FUND TO INVEST ALL ITS ASSETS IN ANOTHER OPEN-END INVESTMENT COMPANY: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 4(A) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ -------------- ---------------- G.S. Short Duration Gov- ernment................ 6,249,924.1230 255,529.1270 0 0 G.S. Adjustable Rate Government............. 29,300,183.4090 738,971.8930 5,035,714.9500 64,115.0000 G.S. Short Duration Tax Free................... 1,707,256.5030 326,614.6000 527.7150 0 G.S. Core Fixed Income.. 4,761,964.9270 1,055.6280 0 0 G.S. Global Income...... 7,338,642.1730 350,819.2200 1,110,534.4420 0 G.S. Government Income.. 1,409,107.5260 30,246.3670 2,736.8010 6,980.0000 G.S. Municipal Income... 1,850,690.6070 29,828.2390 122,029.7240 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(A)--INVESTMENT POLICY ON ISSUER DIVERSIFICATION: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(A) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ -------------- ---------------- G.S. Short Duration Gov- ernment................ 6,249,924.1230 249,187.0120 6,342.1150 0 G.S. Adjustable Rate Government............. 29,997,087.3250 43,548.7280 5,034,234.1990 64,115.0000 G.S. Short Duration Tax Free................... 2,023,592.0760 1,190.2710 9,616.4710 0 G.S. Core Fixed Income.. 4,763,020.5550 0 0 0 G.S. Global Income...... 7,302,111.2200 337,094.6510 1,160,789.9640 0 G.S. Government Income.. 1,432,220.1140 3,231.1630 6,639.4170 6,980.0000 G.S. Municipal Income... 1,872,473.5900 16,237.5860 113,837.3940 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(B)--INVESTMENT POLICY ON INDUSTRY CONCENTRATION: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(B) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ -------------- ---------------- G.S. Short Duration Gov- ernment................ 6,249,924.1230 249,187.0120 6,342.1150 0 G.S. Adjustable Rate Government............. 29,717,448.6200 48,100.0560 5,309,321.5760 64,115.0000 G.S. Short Duration Tax Free................... 2,023,592.0760 1,190.2710 9,616.4710 0 G.S. Core Fixed Income.. 4,763,020.5550 0 0 0 G.S. Global Income...... 7,308,203.5950 364,153.7540 1,127,638.4860 0 G.S. Government Income.. 1,435,859.2330 3,462.0620 2,769.3990 6,980.0000 G.S. Municipal Income... 1,869,373.6660 12,600.7210 120,574.1830 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(C)--INVESTMENT POLICIES ON BORROWING, MARGIN PURCHASES AND PLEDGING ASSETS: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(C) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ -------------- ---------------- G.S. Short Duration Gov- ernment................ 6,249,924.1230 249,187.0120 6,342.1150 0 G.S. Adjustable Rate Government............. 29,536,226.5180 496,829.5350 5,041,814.1990 64,115.0000 G.S. Short Duration Tax Free................... 2,024,782.3470 0 9,616.4710 0 G.S. Core Fixed Income.. 4,761,964.9270 1,055.6280 0 0 G.S. Global Income...... 7,216,046.8580 429,048.0000 1,154,900.9770 0 G.S. Government Income.. 1,382,429.7560 55,980.6910 3,680.2470 6,980.0000 G.S. Municipal Income... 1,852,339.5570 25,565.3640 124,643.6490 0
55 - -------------------------------------------------------------------------------- PROPOSAL NO. 5(D)--INVESTMENT POLICY ON LOANS: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(D) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ -------------- ---------------- G.S. Short Duration Gov- ernment................ 6,249,924.1230 249,187.0120 6,342.1150 0 G.S. Adjustable Rate Government............. 29,791,225.9940 241,830.0590 5,041,814.1990 64,115.0000 G.S. Short Duration Tax Free................... 2,024,782.3470 0 9,616.4710 0 G.S. Core Fixed Income.. 4,761,964.9270 1,055.6280 0 0 G.S. Global Income...... 7,246,088.4970 387,925.7060 1,165,981.6320 0 G.S. Government Income.. 1,418,199.0540 16,793.6490 7,097.9910 6,980.0000 G.S. Municipal Income... 1,855,997.7160 18,603.7770 127,947.0770 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(E)--INVESTMENT POLICY ON UNDERWRITING: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(E) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ --------------- ---------------- G.S. Short Duration Gov- ernment................ 6,499,008.6670 102.4680 6,342.1150 0 G.S. Adjustable Rate Government............. 24,563,621.2260 203,940.9210 10,307,308.1050 64,115.0000 G.S. Short Duration Tax Free................... 2,024,782.3470 0 9,616.4710 0 G.S. Core Fixed Income.. 4,763,020.5550 0 0 0 G.S. Global Income...... 7,277,794.5270 358,843.4350 1,163,357.8730 0 G.S. Government Income.. 1,430,965.7480 7,444.6990 3,680.2470 6,980.0000 G.S. Municipal Income... 1,848,511.9770 12,976.0140 141,060.5790 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(F)--INVESTMENT POLICY ON REAL ESTATE AND OIL AND GAS: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(F) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ --------------- ---------------- G.S. Short Duration Gov- ernment................ 6,249,924.1230 249,187.0120 6,342.1150 0 G.S. Adjustable Rate Government............. 24,526,695.5880 240,866.5590 10,307,308.1050 64,115.0000 G.S. Short Duration Tax Free................... 1,990,762.3590 34,019.9880 9,616.4710 0 G.S. Core Fixed Income.. 1,125,872.4290 0 3,637,148.1260 0 G.S. Global Income...... 7,327,402.6000 291,544.8020 1,181,048.4330 0 G.S. Government Income.. 1,432,561.1600 5,849.2870 3,680.2470 6,980.0000 G.S. Municipal Income... 1,867,044.1890 15,154.4890 120,349.8920 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(G)--INVESTMENT POLICY ON COMMODITIES: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(G) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ --------------- ---------------- G.S. Short Duration Gov- ernment................ 6,256,266.2380 102.4680 249,084.5440 0 G.S. Adjustable Rate Government............. 24,259,310.5330 258,550.2170 10,557,009.5020 64,115.0000 G.S. Short Duration Tax Free................... 1,999,851.1150 34,019.9880 527.7150 0 G.S. Core Fixed Income.. 4,761,964.9270 0 1,055.6280 0 G.S. Global Income...... 7,242,067.7760 391,426.1320 1,166,501.9270 0 G.S. Government Income.. 1,402,158.5440 35,125.1420 4,807.0080 6,980.0000 G.S. Municipal Income... 1,864,355.0900 15,677.0190 122,516.4610 0
56 - -------------------------------------------------------------------------------- PROPOSAL NO. 5(H)--INVESTMENT POLICY ON SENIOR SECURITIES: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(H) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ --------------- ---------------- G.S. Short Duration Gov- ernment................ 6,249,296.2850 7,072.4210 249,084.5440 0 G.S. Adjustable Rate Government............. 24,588,889.6270 204,058.5000 10,281,922.1250 64,115.0000 G.S. Short Duration Tax Free................... 2,032,680.8320 1,190.2710 527.7150 0 G.S. Core Fixed Income.. 4,763,020.5550 0 0 0 G.S. Global Income...... 7,317,507.8520 317,794.9290 1,164,693.0540 0 G.S. Government Income.. 1,369,235.2830 67,017.8840 5,837.5270 6,980.0000 G.S. Municipal Income... 1,861,721.6030 14,498.0260 126,328.9410 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(I)--INVESTMENT POLICY CONCERNING SHORT SALES OF SECURITIES: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 5(I) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- --------------- ------------ -------------- ---------------- G.S. Short Duration Gov- ernment................ 6,243,445.2950 12,923.4110 249,084.5440 0 G.S. Adjustable Rate Government............. 29,554,106.4250 236,098.2310 5,284,665.5960 64,115.0000 G.S. Short Duration Tax Free................... 1,994,403.9380 39,467.1650 527.7150 0 G.S. Core Fixed Income.. 4,761,964.9270 0 1,055.6280 0 G.S. Global Income...... 7,221,712.5330 412,993.5060 1,165,289.7960 0 G.S. Government Income.. 1,365,080.4460 68,785.4960 8,224.7520 6,980.0000 G.S. Municipal Income... 1,839,955.6770 27,482.8450 135,110.0480 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(J)--GS SHORT DURATION GOVERNMENT FUND'S POLICY ON OPTIONS: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of GS Short Duration Government approved Proposal No. 5(J) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- -------------- -------- ------------ ---------------- G.S. Short Duration Gov- ernment................ 6,249,924.1230 102.4680 255,426.6590 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 5(K)--GS SHORT DURATION GOVERNMENT FUND'S POLICY ON INVESTMENTS TO EXERCISE CONTROL: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of GS Short Duration Fund approved Proposal No. 5(K) as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- -------------- ---------- ------------ ---------------- G.S. Short Duration Gov- ernment................ 6,249,924.1030 6,444.5830 249,084.5440 0
- -------------------------------------------------------------------------------- PROPOSAL NO. 6--APPROVAL OF AMENDED AND RESTATED MANAGEMENT AGREEMENTS: - -------------------------------------------------------------------------------- At the Meeting, the Shareholders of each Fund approved Proposal No. 6 as follows:
FUND FOR AGAINST ABSTAIN BROKER NON-VOTES ---- -------------- ------------ ------------ ---------------- G.S. Global Income...... 7,767,511.0190 285,099.7120 747,385.1040 0 G.S. Government Income.. 1,417,140.3790 20,595.5810 4,354.7340 6,980.0000 G.S. Municipal Income... 1,868,303.5900 12,832.0000 121,412.9800 0
57 This page is intentionally left blank - -------------------------------------------------------------------------------- This Annual Report is authorized for distribution to prospective investors only when preceded or accompanied by a Goldman Sachs Trust Prospectus which contains facts concerning the Fund's objectives and policies, management, expenses and other information. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- - ------------------------------- --------------------------------------------- - ------------------------------- --------------------------------------------- THE GOLDMAN SACHS FIXED INCOME FUNDS - -------------------------------------------------------------------------------- ANNUAL REPORT OCTOBER 31, 1997 GOLDMAN SACHS ADJUSTABLE RATEGOVERNMENT FUND GOLDMAN SACHS SHORT DURATIONGOVERNMENT FUND GOLDMAN SACHS SHORT DURATION TAX-FREE FUND GOLDMAN SACHS CORE FIXED INCOME FUND GOLDMAN SACHS Goldman Sachs 1 New York Plaza New York, NY 10004 TRUSTEES Ashok N. Bakhru, Chairman David B. Ford Douglas C. Grip John P. McNulty Mary P. McPherson Alan A. Shuch Jackson W. Smart, Jr. William H. Springer Richard P. Strubel OFFICERS Douglas C. Grip, President John W. Mosior, Vice President Nancy L. Mucker, Vice President Scott M. Gilman, Treasurer John M. Perlowski, Assistant Treasurer Michael J. Richman, Secretary Howard B. Surloff, Assistant Secretary GOLDMAN SACHS Investment Adviser, Distributor and Transfer Agent FIA97/128K/1097 -----END PRIVACY-ENHANCED MESSAGE-----