<PAGE>
- --------------------------------------------------------------------------------
Letter to Shareholders
- --------------------------------------------------------------------------------
Dear Shareholders:
We welcome this opportunity to review the performance of the Goldman Sachs
Fixed Income Portfolios for the six-month period ended April 30, 1995. To put
the portfolios' performance in context, we will also provide you with a brief
analysis of the bond markets in the U.S. and abroad during the period.
For the convenience of those shareholders who have invested in several funds
in the Goldman Sachs Fixed Income Portfolios, we have included our retail fixed
income funds in this semiannual report. We look forward to hearing your views
regarding this new format.
Slower Economic Growth Set the Stage for a Major Bond Rally
The U.S. bond market strengthened markedly during the period under review
(October 31, 1994 through April 30, 1995) after last year's volatility. A
rally started in January and gained momentum at the end of April and into May.
The major impetus was data indicating that slower economic growth coupled with
relatively contained inflation meant that the "soft landing" many observers had
anticipated was at hand - at least for the moment. The only major surprise was
the timing of the slowdown, which was sooner than generally expected.
A snapshot of key economic indicators for the first quarter of 1995 follows:
. Gross Domestic Product (GDP) increased a relatively modest 2.8% compared with
5.1% for the fourth quarter of 1994.
. Inflation, as measured by the Consumer Price Index (CPI), increased gradually
to an annualized rate of 3.2% in the first quarter versus 2.6% for 1994.
. Auto sales were soft, declining due mainly to the rise in rates on auto loans.
. Factory output slowed after a significant buildup in inventories and very
high plant capacity utilization during the fourth quarter of 1994.
. Orders for durable goods plunged 4% in April, the steepest drop since
December 1991.
. Sales and starts of single-family homes declined during the period, each
reaching its lowest level in two years.
. Unemployment began to drift up slightly to 5.7% by February, retreated to
5.4% in March and ended in April at 5.8%.
As is often the case, what was disappointing news for the economy was good
news for the bond market.
As Growth Eased and Interest Rates Declined, the Fed Remained Neutral
After raising the federal funds rate (the rates banks charge one another for
overnight borrowing) for the seventh time on February 1, 1995 in the most recent
tightening cycle, the Federal Reserve has subsequently maintained a neutral
stance thus far in 1995.
The yield on six-month Treasury bills increased from 5.66% on October 31 to
6.07% at the end of April. The movement in long-term interest rates (as measured
by the yield on the 30-year U.S. Treasury bond) was much more dramatic,
declining from just under 8% on October 31 to 7.33% on April 30. Moving in the
opposite direction of its yield, the price of the long bond increased
approximately 8% during the period, providing gains for bondholders.
- --------------------------------------------------------------------------------
Table of Contents
Market Overview 1 Financial Statements 16
Goldman Sachs Government Income Fund 3 Notes to Financial 20
Goldman Sachs Global Income Fund 8 Financial Highlights 26
Goldman Sachs Municipal Income Fund 12
- --------------------------------------------------------------------------------
1
<PAGE>
- --------------------------------------------------------------------------------
Letter to Shareholders (continued)
- --------------------------------------------------------------------------------
Historical Treasury Yield Curve
<TABLE>
<CAPTION>
10/31/94 4/28/95
-------- -------
<S> <C> <C>
3 MOS 5.142% 5.849%
6 MOS 5.657% 6.071%
1 6.144% 6.303%
2 6.824% 6.585%
3 7.046% 6.684%
5 7.481% 6.874%
10 7.807% 7.053%
30 7.970% 7.334%
</TABLE>
The short end of the yield curve flattened considerably during the period under
review as the spread between three-month and two-year Treasury bills tightened
and the curve shifted downward.
A Weakening Dollar Declined to Post-World War II Lows
At the end of 1994, the dollar was relatively strong, partially as a
consequence of the Fed's tightening policy. In February, the dollar weakened
dramatically, stemming from the general economic slowdown, the U.S. trade
imbalance with Japan and concern regarding the devaluation of the Mexican peso.
In addition, the likelihood of further Fed action evaporated. From January
through April, the dollar fell approximately 18% against the yen and 12% against
the deutsche mark hitting postwar lows during that period.
The positive side of the weaker dollar is that it is good news for U.S.
exports, which are now relatively cheap in terms of most foreign currencies. As
our exports rise, the U.S. trade imbalance should gradually improve, which, in
turn, should help the dollar.
Outlook: Resumption of Growth by Year End a Possibility
Clear evidence of economic slowdown is adding to sentiment that the Fed may
ease rates this summer. However, opinion is divided regarding whether the
economy will resume its ascent later in the year as a consequence of a variety
of factors including the decrease in long-term interest rates, which could
eventually strengthen home building and other interest rate-sensitive sectors;
the potential for U.S. export growth to continue; and indications that a
stimulative fiscal policy may be adopted based on the continuing discussions in
Congress regarding tax reform.
We appreciate your support and want to assure you that we will continue to
strive to meet your investment needs.
Sincerely,
/s/ David B. Ford
David B. Ford
Chairman, Chief Executive Officer
/s/ Sharmin Mossavar-Rahmani
Sharmin Mossavar-Rahmani
Chief Investment Officer,
Fixed Income Products
Goldman Sachs Asset Management
June 12, 1995
- --------------------------------------------------------------------------------
2
<PAGE>
Letter to Shareholders
- --------------------------------------------------------------------------------
Goldman Sachs Government Income Fund
- --------------------------------------------------------------------------------
Investment Objective
The fund seeks to provide shareholders with a high level of current income
consistent with safety of principal. Under normal conditions, the portfolio
will be invested primarily in U.S. government- and agency-issued securities,
including mortgage-backed securities. The fund may also invest in securities of
nongovernmental issuers, including asset-backed securities, privately issued
mortgage-backed securities and corporate debt obligations. Such securities will
be rated triple-A or, if unrated, be deemed of comparable quality by Goldman
Sachs Asset Management, the fund's investment adviser.
Performance Review
For the six months ended April 30, the fund had a total return of 6.88% based
on net asset value (NAV) (3.63% in monthly distributions and 3.25% in share
price appreciation) compared with a return of 6.78% for the Lehman Brothers
Government/Mortgage Index, the fund's benchmark .
The fund participated in the broad bond market rally as reflected in the $0.43
increase in its NAV and outperformed the benchmark by 10 basis points, largely
due to our successful sector selection strategies. We continued to overweight
mortgage-backed securities (MBS) relative to the Index, which helped the fund as
spreads tightened approximately 10 basis points during the period. We
significantly underweighted U.S. Treasuries and maintained a position in asset-
backed securities (ABS), which are not included in the Index.
We are pleased to note that the fund ranked #1 in total return among 86
intermediate U.S. government income funds tracked by Lipper Analytical Services,
Inc. for the 12-month period ended April 30. (Lipper rankings do not take sales
charges into account.)
Portfolio Composition and Investment Strategies
As of April 30, the fund's sector weightings differed significantly from that
of the Index. The greatest differences were in MBS, of which the fund held 49.3%
(compared with 34.6% in the Index), and in U.S. Treasuries, of which the fund
held 24.9% (compared with 57.0% in the Index). We also held a sizable position
(15.1%) in ABS that offer attractive returns relative to Treasuries of equal
duration, but are not represented in the Index.
Portfolio Composition as of April 30, 1995*
<TABLE>
<S> <C>
U.S. Treasuries 24.9%
ABS 15.1%
Agency Debentures 10.2%
CMOs 9.9%
Cash 0.5%
Fixed Rate Mortgages 39.4%
</TABLE>
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflect portfolio holdings as percentage of net assets.
. During the period, we maintained the fund's position in fixed rate mortgages
at approximately 39%.
. We established a new position in agency debentures (an unsecured, general debt
obligation backed by the borrower), which were cheaper and, in our opinion,
represented better relative value than other sectors.
. We slightly increased the fund's position in non-agency, triple-A-rated ABS
(including those backed by credit card debt and automobile and home equity
loans), which represented approximately 15% of the portfolio's holdings on April
30, up from 12.5% on October 31. ABS generally have low event risk (e.g., a
change in regulatory policy) compared with corporate bonds. They also have
- --------------------------------------------------------------------------------
3
<PAGE>
- --------------------------------------------------------------------------------
Goldman Sachs Government Income Fund (continued)
- --------------------------------------------------------------------------------
relatively stable spreads. At the same time, they contributed attractive yields
to the portfolio compared with equal-duration Treasuries.
. Credit Quality. The fund continues to carry the highest rating available,
AAA\\f\\, from Standard & Poor's Ratings Group. As of April 30, it remained
primarily invested in U.S. government and agency securities (74.5%), with 25.0%
invested in other triple-A-rated securities and the remainder in cash.
<TABLE>
<S> <C>
U.S. Government & Agency 74.5%
Cash 0.5%
Triple A-rated 25.0%
</TABLE>
. Portfolio Composition by Issuer. As of April 30, the breakout of mortgage-
backed securities in the portfolio was the Federal National Mortgage Association
(23.1%), the Government National Mortgage Association (14.9%), and the Federal
Home Loan Mortgage Corporation (11.0%).
. The Prudent Use of Derivatives. During the period under review, we used
derivatives very carefully and sparingly. In the broadest sense, any security
that derives its value from another security may be called a derivative.
Derivatives vary with respect to their risk. In this fund, we have used only
lower risk mortgage derivatives, specifically planned amortization class
collateralized mortgage obligations (PAC CMOs) (9.9%), which provide incremental
yield and have higher expected returns than equal-duration Treasuries. As
noted, we also held approximately 15% in asset-backed securities.
During the period, the fund also used mortgage dollar rolls. These are
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. At all times, we "cover" the mortgage
dollar rolls by keeping cash or high-quality liquid debt securities equal to the
dollar amount of the forward commitment in a segregated account with the fund's
custodian. Mortgage dollar rolls are used to take advantage of short-term
supply and demand imbalances in the mortgage settlement process.
Market Outlook and Strategy Going Forward
As pass-through mortgage-backed securities are at historically tight levels,
we have reduced our mortgage position somewhat for the short term. However, in
anticipation of mortgages providing higher yields during the remainder of the
year, we expect to eventually increase the portfolio's mortgage holdings when we
can find attractively valued securities. In the uncertain interest rate
environment in the near term, we will continue to carefully manage the fund's
duration, targeting it to that of the benchmark. We expect to continue to hold
asset-backed and agency securities to add incremental yield to the fund over
Treasuries. Security selection as well as sector weightings will continue to
receive our constant attention. As always, we will make full use of Goldman
Sachs' extensive economic, fixed income and mortgage research in managing the
fund.
Distribution Policy
The fund paid out monthly distributions totaling approximately $0.48 per
share during the six-month period ended April 30, 1995. The fund distributes
substantially all of its taxable income as is required for all investment
companies.
- --------------------------------------------------------------------------------
4
<PAGE>
- --------------------------------------------------------------------------------
Goldman Sachs Government Income Fund (continued)
- --------------------------------------------------------------------------------
In conclusion, we thank you for your support and are pleased to be able to
bring you positive news during this period. We will continue to do our best to
help you meet your investment goals in the future.
Sincerely,
/s/ Jonathan A. Beinner
Jonathan A. Beinner
/s/ Theodore T. Sotir
Theodore T. Sotir
Portfolio Managers
Goldman Sachs Government Income Fund
June 12, 1995
- --------------------------------------------------------------------------------
5
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Goldman Sachs Government Income Fund
April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Mortgage Backed Obligations--49.1%
Federal Home Loan Mortgage Corp.--11.0%(c)
$1,000,000 9.00% TBA-15 year $ 1,038,438
1,000,000 8.00 TBA-30 year 997,500
- --------------------------------------------------------------------------------
$ 2,035,938
- --------------------------------------------------------------------------------
Federal National Mortgage Association--13.5%
$ 500,000 6.00% 05/01/01 $ 479,375
1,096,545 7.00 01/01/24 1,043,089
1,000,000 7.50 TBA-30 year (c) 976,250
- --------------------------------------------------------------------------------
$ 2,498,714
- --------------------------------------------------------------------------------
Government National Mortgage Association--14.8%
$ 744,760 9.00% 07/15/21 $ 773,387
916,107 7.50 12/15/23 894,063
1,000,000 9.50 TBA-30 year (c) 1,065,000
- --------------------------------------------------------------------------------
$ 2,732,450
- --------------------------------------------------------------------------------
Fixed Rate Collateralized Mortgage Obligations--9.8%
FNMA Remic Trust Series 1993-58, Class G(a)
$1,000,000 5.50% 12/25/20 $ 887,080
GE Capital Mortgage Services, Inc., Series 1994-11, Class A1 (a)
954,292 6.50 03/25/24 929,738
- --------------------------------------------------------------------------------
$ 1,816,818
- --------------------------------------------------------------------------------
Total Mortgage Backed Obligations
(Cost $9,221,418) $ 9,083,920
- --------------------------------------------------------------------------------
Asset Backed Securities--14.8%
First Chicago Master Trust II, Series 1992-E, Class A
$ 500,000 6.25% 08/15/99 $ 491,330
MBNA Master Credit Card Trust, Series 1991-1, Class A
490,000 7.75 10/15/98 494,978
Peoples Bank Credit Card Master Trust, Series 1994-1, Class A
620,000 5.10 08/15/01 601,016
Private Label Credit Card Master Trust II, Series 1994-1, Class A
100,000 7.15 06/20/01 100,453
Sears Credit Account Trust, Series 1990-D, Class A
550,000 9.35 10/15/97 554,725
Standard Credit Card Trust, Series 1990-5, Class A
500,000 9.38 08/10/96 501,485
- --------------------------------------------------------------------------------
Total Asset Backed Securities
(Cost $2,830,540) $ 2,743,987
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Government Agency Obligations--10.0%
Federal National Mortgage Association(a)
$ 180,000 5.85% 02/02/98 $ 174,831
300,000 5.62 02/23/98 289,491
430,000 5.40 12/30/98 406,863
Student Loan Marketing Association
980,000 7.76 04/17/00 983,512
- --------------------------------------------------------------------------------
Total U.S. Government Agency Obligations
(Cost $1,818,362) $ 1,854,697
- --------------------------------------------------------------------------------
U.S. Treasury Obligations--24.5%
United States Treasury Bonds(a)
$ 150,000 10.75% 02/15/03 $ 182,859
320,000 11.13 08/15/03 400,400
United States Treasury Interest Only Stripped Securities(b)
430,000 7.06 02/15/19 71,165
United States Treasury Notes(a)
1,360,000 7.50 10/31/99 1,392,115
1,270,000 6.25 02/15/03 1,209,281
United States Treasury Principal Only Stripped Securities(b)
1,030,000 6.48 11/15/04 522,398
1,420,000 6.97 08/15/15 308,581
610,000 6.99 02/15/16 127,545
630,000 7.03 11/15/18 106,766
1,480,000 7.01 08/15/20 221,082
- --------------------------------------------------------------------------------
Total U.S. Treasury Obligations
(Cost $4,462,132) $ 4,542,192
- --------------------------------------------------------------------------------
Repurchase Agreement--19.5%
Joint Repurchase Agreement Account
$3,600,000 5.96% 05/01/95 $ 3,600,000
- --------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $3,600,000) $ 3,600,000
- --------------------------------------------------------------------------------
Total Investments
(Cost $21,932,452(d)) $21,824,796
================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
- --------------------------------------------------------------------------------
Goldman Sachs Government Income Fund (continued)
April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
================================================================================
Federal Income Tax Information:
<S> <C>
Gross unrealized gain for investments in which value
exceeds cost $ 156,325
Gross unrealized loss for investments in which cost
exceeds value (265,273)
- --------------------------------------------------------------------------------
Net unrealized loss $(108,948)
================================================================================
</TABLE>
(a) Portions of these securities are being segregated for mortgage-dollar rolls.
(b) The interest rate disclosed for these securities represents effective yields
to maturity.
(c) 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.
(d) The aggregate cost for federal income tax purposes is $21,933,744.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
Letter to Shareholders
- --------------------------------------------------------------------------------
Goldman Sachs Global Income Fund
- --------------------------------------------------------------------------------
Fund Objective
The fund seeks high total return, composed of both current income and capital
appreciation. The fund is permitted to invest in government and other high-
quality (double-A or better) fixed income securities issued in the U.S. and in
foreign markets. After June 1, the fund will have the additional flexibility to
invest in sovereign (government) debt rated single-A. In addition, the maximum
duration the fund can target has been increased to 7.5 years from five years.
Under normal market conditions, the fund's neutral position is to be fully
hedged into U.S. dollars to best serve the needs of U.S. shareholders. However,
the fund may engage in currency transactions, both to hedge exchange rate risk
and enhance returns.
Global Bond Markets Generally Strong with Pockets of Weakness
The U.S. bond market has been a driving force in the global markets, with
dollar bloc countries (Canada and Australia) outperforming the U.S. in the
recent rally. In Europe, the economic recovery is still under way but at a
slower pace than in 1994, with inflation benign and unemployment still high. In
Germany and other core European markets, interest rates have declined, while in
other European countries, rates have started to rise. Political uncertainties,
stemming from such factors as elections in France, and large budget deficits,
which spurred fears of inflation in Italy and Sweden, caused investors to seek
what was perceived to be a safe haven in deutsche marks and Swiss francs based
on those countries' political and economic stability. The bond market in the
U.K. traded in line with the German bond market during the period under review,
although the pound saw some weakness. Markets around the world seem to be
telling governments that they cannot run big deficits without paying the
consequences.
The Japanese economy continued to be weak during the period under review,
hindered by a strong yen, which appreciated approximately 14% against the U.S.
dollar. Domestic consumption in Japan declined and outsourcing production to
less expensive markets in Southeast Asia increased.
Performance Review
For the six-month period ended April 30, the fund's total return was 7.35%
based on net asset value (NAV) (3.49% from monthly distributions and 3.86% from
share price appreciation) compared with a return of 6.89% for the fund's
benchmark, the J. P. Morgan Global Government Bond Index (hedged into U.S.
dollars). The Index, which had a duration of approximately 4.8 years as of April
30, covers 14 major bond markets and reflects their currency exposures.
The fund participated in generally positive performance from global bond
markets during the period and outperformed the benchmark primarily for the
following reasons:
. During the end of the fourth quarter of 1994, we started to increase the
fund's duration (a measure of sensitivity to interest rate changes) to slightly
higher than that of the benchmark, which contributed to the fund's total return
as the U.S. bond market began to rally during the first quarter.
. Several currency strategies employed during the period contributed to the
fund's positive returns. These included unhedging the fund's yen and deutsche
mark exposure (correctly anticipating the dollar would decline) and taking a
long position in deutsche marks and Swiss francs versus other European
currencies, such as the Italian lira, the French franc and the Spanish peseta
(correctly anticipating that the DM and SF would strengthen).
. During the period, the fund's NAV increased to $13.94 on April 30 (versus
$13.43 on October 31) and the 30-day SEC yield rose to 6.71% (versus 6.14%).
- --------------------------------------------------------------------------------
8
<PAGE>
- --------------------------------------------------------------------------------
Goldman Sachs Global Income Fund (continued)
- --------------------------------------------------------------------------------
Portfolio Composition and Investment Strategies
Bond Allocation as of April 30, 1995*
<TABLE>
<S> <C>
Italy 0.5%
Canada 12.0%
Denmark 5.8%
ECU 4.5%
U.K. 11.0%
Cash 14.0%
U.S. 27.2%
Japan 8.7%
France 16.3%
</TABLE>
* The percentages shown are of total portfolio investments that have settled
and include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflect portfolio holdings as percentage of net assets.
. As of April 30, the fund's largest single-country position (27.2%) was in
U.S. bonds compared with about 40% for the Index. We are continuing to
underweight U.S. bonds because we believe there is greater relative value
elsewhere.
. Just over one-third of the portfolio was in European bonds. As of April 30,
we were significantly overweighted in France (16.3% versus 7.5% for the Index)
and the U.K. (11% versus 6.0%) and underweighted in Italy (0.5% versus 3.8%) and
Germany (0% versus 9.7%). Earlier during the period, we participated in the
strong German bond market but shifted to what we saw as better relative value in
France, Denmark and the U.K. later in the period.
. We sold our position in Australian bonds in March amid concerns about
Australia's current account (trade) deficit.
. Our position in Canadian bonds remained at 12% (roughly the same as on
October 31), significantly overweighted versus the Index (2.5%), based on our
belief that Canadian bonds will outperform during the coming months.
. Despite our generally negative view of the Japanese economy and the likeli-
hood that the yen will remain firm, the fund had an 8.7% position in Japanese
bonds--about half the weight of the Index--based on our belief that those
factors had already been discounted by the market. We bought a call option to
protect the fund in the event the Japanese market unexpectedly rallied, which
worked to our benefit in February.
. We increased the fund's cash position to 14%, because in our opinion the
markets were fully priced. In addition, the cash position will help us reduce
the fund's duration slightly going forward.
. During the period, we added a new position in the European Currency Unit
(ECU) because its price was cheap versus its theoretical price. The ECU is an
international currency that includes all European Economic Community member
currencies except the Spanish peseta and the Portuguese escudo.
. Credit Quality. As in the past, we have continued to emphasize credit
quality: 100% of the portfolio was invested in triple-A-rated securities as of
April 30.
. Distribution Policy. During the six months ended April 30, the fund paid out
distributions of $0.46 per share. The fund distributes substantially all of its
taxable income as is required for all investment companies.
Market Outlook
Going forward, we are neutral compared to the benchmark with regard to dollar
bloc countries and believe that the U.S. economy is in a near-term trading
range, with the bond rally largely behind us.
- --------------------------------------------------------------------------------
9
<PAGE>
- --------------------------------------------------------------------------------
Goldman Sachs Global Income Fund (continued)
- --------------------------------------------------------------------------------
Consequently, we expect moderately higher yields after mid-year. In addition,
we expect Canadian bonds to outperform U.S. Treasuries. We expect to remain
underweighted in Japan and overweighted in core European markets (excluding
Italy, Spain and Sweden) in the short term.
As always, we thank you for your support and continue to do our utmost to find
attractive opportunities in what we expect to be an attractive global bond
market in the period ahead.
Sincerely,
/s/ Stephen C. Fitzgerald
Stephen C. Fitzgerald
Portfolio Manager, Fixed Income Investments
/s/ Gareth I. Evans
Gareth I. Evans
Portfolio Manager, Currency
Goldman Sachs Global Income Fund
London, June 12, 1995
- --------------------------------------------------------------------------------
10
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Goldman Sachs Global Income Fund
April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount(a) Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Debt Obligations--84.4%
British Pound Sterling--10.8%
United Kingdom Conversion
BPS 11,120,000 9.00% 03/03/00 $ 18,392,455
United Kingdom Treasury
9,000,000 8.00 06/10/03 14,071,549
- --------------------------------------------------------------------------------
$ 32,464,004
- --------------------------------------------------------------------------------
Canadian Dollar--11.6%
General Electric Capital Corp.
CAD 2,000,000 12.25% 07/04/95 $ 1,482,163
Government of Canada
51,500,000 6.50 06/01/04 33,529,474
- --------------------------------------------------------------------------------
$ 35,011,637
- --------------------------------------------------------------------------------
Danish Krone--5.6%
Kingdom of Denmark
DKK 89,750,000 9.00% 11/15/00 $ 17,008,906
- --------------------------------------------------------------------------------
European Currency Unit--4.5%
Government of France
XEU 10,000,000 8.50% 03/15/02 $ 13,575,447
- --------------------------------------------------------------------------------
French Franc--16.3%
Government of France
FRF 73,500,000 8.50% 03/28/00 $ 15,600,183
159,500,000 8.25 02/27/04 33,432,314
- --------------------------------------------------------------------------------
$ 49,032,497
- --------------------------------------------------------------------------------
Italian Lira--0.4%
Republic of Italy
ITL 2,700,000 9.50% 01/01/05 $ 1,315,879
- --------------------------------------------------------------------------------
Japanese Yen--8.5%
Japanese Development Bank(b)
JPY 1,820,000,000 6.60% 06/20/01 $25,762,933
- --------------------------------------------------------------------------------
United States Dollar--26.7%
United States Treasury Notes
USD 18,750,000 6.88% 07/31/99 $18,753,000
28,200,000 6.25 02/15/03 26,851,758
33,050,000 7.88 11/15/04 34,857,504
- --------------------------------------------------------------------------------
$80,462,262
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount(a) Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Total Debt Obligations
(Cost $239,559,553) $254,633,565
- --------------------------------------------------------------------------------
Short Term Obligations--10.7%
Euro-Time Deposit
USD 32,396,665 5.88% 05/01/95 $ 32,396,665
- --------------------------------------------------------------------------------
Total Short Term Obligations
(Cost $32,396,665) $ 32,396,665
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Options--0.4%
JPY 1,600,000,000 Japanese Government Bond 4.10%,
Call @ 97.007 expiring 05/15/95 $ 1,251,280
- --------------------------------------------------------------------------------
Total Options
(Cost $84,446) $ 1,251,280
- --------------------------------------------------------------------------------
Total Investments
(Cost $272,040,664(c)) $288,281,510
================================================================================
Options Written--(0.3%)
- --------------------------------------------------------------------------------
JPY 1,600,000,000 Japanese Government Bond 4.10%,
Call @ 99.00 expiring 05/15/95 $ (986,550)
- --------------------------------------------------------------------------------
Total Options Written
(Premium received $130,440) $ (986,550)
================================================================================
</TABLE>
<TABLE>
================================================================================
<S> <C>
Federal Income Tax Information:
Gross unrealized gain for investments in which value
exceeds cost $ 16,536,871
Gross unrealized loss for investments in which cost
exceeds value (462,872)
- --------------------------------------------------------------------------------
Net unrealized gain $ 16,073,999
================================================================================
</TABLE>
(a) The principal amount of each security is stated in the currency in which the
bond is denominated. See below.
BPS = British Pound Sterling FRF = French Franc
CAD = Canadian Dollar ITL = Italian Lira
DKK = Danish Krone JPY = Japanese Yen
XEU = European Currency Unit USD = United States Dollar
(b) Security segregated as collateral for options written.
(c) The aggregate cost for federal income tax purposes is $272,207,511.
The percentage shown for each investment category reflects 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.
11
<PAGE>
Letter to Shareholders
- --------------------------------------------------------------------------------
Goldman Sachs Municipal Income Fund
- --------------------------------------------------------------------------------
Fund Objective
The fund seeks to provide a high level of current income that is exempt from
regular federal income tax, consistent with the preservation of capital. In
pursuit of that objective, the fund invests in a diversified portfolio of
municipal securities with an average credit quality of double-A or better.
Municipals Rally Despite Areas of Uncertainty
So far, 1995 has been a good year for municipal bonds, with the market
providing positive returns. During the period under review, the average price of
a 15-year municipal bond (as measured by the Lehman 15-Year Bond Index) rose
from $94.75 to $99.63, while yields fell from 6.55% on November 1 to 5.95% on
April 30.
On the technical front, there has been a significant decrease in the supply of
new municipal bonds issued this year, which helped to fuel the municipal market
in January and February. By March, demand for municipals had ebbed. Although
municipals outperformed Treasuries of comparable duration during the first two
months of 1995, the ratio of municipal yields to Treasury yields of comparable
duration was approximately the same at the end of April as it was at the
beginning of November.
There have been a number of major events that have had an unsettling impact on
the municipal bond market during the period. These included the bankruptcy of
Orange County, California in early December, major cutbacks in state and local
budgets, and various proposals regarding tax reform (i.e., the flat tax and a
reduction in capital gains taxes), all of which have affected, and could
continue to affect, the municipal market.
Performance Review
For the six months ended April 30, the fund had a positive total return of
7.12% based on net asset value (NAV) (2.63% from income distributions and 4.49%
from capital appreciation) compared with a return of 8.45% for the Lehman
15-Year Municipal Bond Index, the fund's benchmark.
The fund benefited from the bond rally during the period, but underperformed
the benchmark primarily because we managed the fund more defensively due to the
unsettling events described above.
. Specifically, as of April 30, the fund's duration was shorter than the
benchmark's (8.32 years versus 8.65 years) as it was during much of the period
under review, which meant the fund was less sensitive to interest rate changes
than the benchmark. This worked in our favor in late 1994 as interest rates
were rising but also meant we benefited slightly less than the benchmark as
interest rates fell.
Portfolio Composition and Investment Strategies
Portfolio Composition as of April 30, 1995*
<TABLE>
<S> <C>
Revenue Bonds 31.0%
Insured General Obligation Bonds 15.3%
General Obligation Bonds 6.7%
Pre-Refunded Bonds 15.0%
Insured Revenue Bonds 32.0%
</TABLE>
* The percentages shown are of total portfolio investments that have settled and
include an offset to cash equivalents relating to unsettled trades. These
percentages differ from those in the accompanying Statement of Investments,
which reflect portfolio holdings as percentage of net assets.
. During the period, we took a conservative approach and weighted the portfolio
most heavily (47.3%) in insured municipal bonds. Insurance relates to the timely
payment of principal and interest, and provides additional
- --------------------------------------------------------------------------------
12
<PAGE>
- --------------------------------------------------------------------------------
Goldman Sachs Municipal Income Fund (continued)
- --------------------------------------------------------------------------------
credit support to an issue, while also offering higher yields than unenhanced
triple-A-rated bonds.
. Another strategy the fund used to seek protection against interest rate risk
was to emphasize municipal bonds paying higher coupons. (The fund's average
coupon was 6.5%, while the benchmark's average coupon was approximately 6.0%.)
In a rising rate environment, higher coupon municipals typically retain
principal better than lower coupon bonds of similar maturities. Conversely,
higher coupon bonds typically lag lower coupon bonds as interest rates decline
and bond prices rally.
. During the period, we favored revenue bonds (in which principal and interest
is paid out of the revenue stream from specific projects being financed, such as
toll roads, hospitals, bridges and airports) over general obligation bonds
(which are backed by the general taxing power of the municipality). The
strategy had a neutral effect during the period.
. We established a position in five- to seven-year pre-refunded bonds that
allowed us to maximize the income generated by the shorter maturity portion of
the portfolio. Pre-refunded bonds, which are backed by U.S. government bonds,
often do better in a weaker economy.
. The portfolio's credit quality increased during the period due to a larger
allocation in insured and pre-refunded bonds. As of April 30, the portfolio
mix was 68.6% in triple-A-rated securities, 24.6% in double-A and only 6.8% in
single-A. With credit spreads currently tight, we do not believe the additional
income from lower quality bonds warrants taking additional credit risk.
. In anticipation of the flattening of the yield curve, we changed the
portfolio's term structure to better position the portfolio and enhance
performance in a declining rate environment. Specifically, we went from a
bulleted strategy with a high concentration in bonds with 15-year maturities
(intermediate term) to a barbell structure just about evenly split between bonds
with maturities of 20 years on the long end and bonds with five year maturities
on the short end.
Market Outlook for Municipal Bonds: Lower Supply and Moderate Demand
We believe the technical balance of the municipal market will improve over
the remainder of the year. New supply has been unusually low as municipal
governments cut budgets and reformulate priorities. On the other side of the
equation, demand for municipals is expected to pick up in July when a
significant amount of money ($25 to $40 billion) will become available for
reinvestment due to a combination of factors: old bonds called away prior to
their maturity dates, July coupon payments and normal maturities. Consequently,
we believe municipal bonds represent relatively attractive opportunities
compared with other sectors of the fixed income market in the months ahead.
As always, we thank you for your support and look forward to serving you in
the years ahead.
/s/ Mark G. Muller
Sincerely,
Mark G. Muller
Portfolio Manager
Goldman Sachs Municipal Income Fund
June 12, 1995
- --------------------------------------------------------------------------------
13
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Goldman Sachs Municipal Income Fund
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Debt Obligations--106.9%
California--11.7%
Rancho, California Water District Financing Authority RB
(AAA/Aaa)(a)
$1,000,000 5.88% 11/01/10 $ 975,690
Suisun City, California Redevelopment Tax,
Prerefunded (NR/A-)(b)
4,500,000 7.25 10/01/20 5,005,979
- --------------------------------------------------------------------------------
$ 5,981,669
- --------------------------------------------------------------------------------
District of Columbia--4.1%
District of Columbia, Series E-Insured GO (MBIA)
(AAA/Aaa)
$2,120,000 6.00% 06/01/10 $ 2,066,597
- --------------------------------------------------------------------------------
Florida--13.0%
Dade County, FL Educational Facilities Authority
Prerefunded RB-University of Miami (MBIA)
(AAA/Aaa)
$1,550,000 7.65% 04/01/10 $ 1,754,585
Escambia County, FL Housing Financing Authority,
Single Family Multi-County Progress (NR/Aaa)
2,300,000 6.80 10/01/15 2,375,647
Lakeland Florida Electric & Water Revenue
Refunding, Jr. Sub Lien (FGIC) (AAA/Aaa)(a)
2,500,000 5.25 10/01/97 2,500,975
- --------------------------------------------------------------------------------
$ 6,631,207
- --------------------------------------------------------------------------------
Illinois--4.2%
Illinois Development Finance Authority Pollution
Refunding (Commonwealth Edison Company Project
Series D) (AMBAC) (AAA/Aaa)
$2,030,000 6.75% 03/01/15 $ 2,124,070
- --------------------------------------------------------------------------------
Kentucky--3.7%
Nelson County, Kentucky Industrial Building Mabex
Universal Corp Project (NR/A3)
$1,900,000 6.50% 04/01/05 $ 1,895,725
- --------------------------------------------------------------------------------
Maine--2.1%
Maine Educational Loan Authority, RB Series A-1 (NR/Aaa)
$1,000,000 6.80% 12/01/07 $ 1,048,350
- --------------------------------------------------------------------------------
Maryland--8.1%
Anne Arundel County, Maryland (AA+/Aa1)
$2,350,000 6.20% 08/01/12 $ 2,410,560
Maryland State GO (AAA/Aaa)
1,715,000 5.00 03/15/01 1,712,307
- --------------------------------------------------------------------------------
$ 4,122,867
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Debt Obligations (continued)
Michigan--6.5%
Battle Creek Tax Increment Financing Authority (A-/NR)
$2,000,000 7.10% 05/01/10 $ 2,145,160
Goodrich Area School District Refunding GO (AMBAC) (AAA/Aaa)
1,000,000 7.65 05/01/11 1,150,060
- --------------------------------------------------------------------------------
$3,295,220
- --------------------------------------------------------------------------------
Missouri--1.9%
Missouri State Water Pollution Control,
Series A (CAPGTY) (AAA/Aaa)
$1,000,000 6.05% 07/01/16 $ 983,510
- --------------------------------------------------------------------------------
New Mexico--2.0%
Albuquerque Apartment, Series A (AAA/Aaa)
$1,000,000 6.50% 07/01/11 $ 1,029,840
- --------------------------------------------------------------------------------
New York--12.3%
New York City IDA USTA National Tennis Control Project
AMT (FSA) (AAA/Aaa)
$ 800,000 6.60% 11/15/11 $ 842,912
New York State Dormitory Authority RB, City University
(FSA) (AAA/Aaa)
2,200,000 5.75 07/01/07 2,194,500
New York State Dormitory Authority RB,
City University (MBIA) (AAA/Aaa)
1,050,000 6.88 07/01/14 1,135,376
New York State Medical Care Facilities-Mortgage Project
Series A (FHA) (AA/Aa)
1,000,000 5.35 02/15/00 1,004,510
Niagara Falls, NY Water Treatment Plant
AMT (MBIA) (AAA/Aaa)
1,000,000 7.00 11/01/13 1,077,840
- --------------------------------------------------------------------------------
$ 6,255,138
- --------------------------------------------------------------------------------
Pennsylvania--4.2%
Pennsylvania State Higher Education,
University of Pennsylvania, Series B
(AA/Aa)
$2,000,000 6.50% 09/01/04 $ 2,163,860
- --------------------------------------------------------------------------------
Puerto Rico--4.6%
Puerto Rico Commonwealth (MBIA)
(AAA/Aaa)
$2,000,000 7.50% 07/01/04 $ 2,334,700
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial
statements.
14
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
Goldman Sachs Municipal Income Fund (continued)
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Debt Obligations (continued)
Texas--9.8%
Bexar County, TX Health Facilities Development
Corp, Revenue Refunding-Baptist Memorial
Hospital Systems Project (MBIA) (AAA/Aaa)
$1,245,000 6.90% 08/15/14 $ 1,317,907
Texas State AMT-Veterans Land GO (AA/Aa)(b)
1,555,000 6.30 12/01/14 1,590,781
Texas State Public Finance Authority, Insured RB Series B
(AMBAC)(AAA/Aaa)(b)
2,115,000 5.75 02/01/12 2,074,709
- --------------------------------------------------------------------------------
$ 4,983,397
- --------------------------------------------------------------------------------
Vermont--4.6%
Vermont Student Assistance Corp., Education Loan RB,
Series B (FSA) (AAA/Aaa)(b)
$2,250,000 6.70% 12/15/12 $ 2,323,328
- --------------------------------------------------------------------------------
Virginia--7.2%
Riverside, Virginia Regional Jail Authority RB (MBIA)
(AAA/Aaa)
$1,500,000 5.88% 07/01/14 $ 1,471,980
Upper Occoquan Sewer Authority-Regional Sewer
Prerefunded RB, Virginia (AAA/Aaa)(b)
2,000,000 6.50 07/01/11 2,181,040
- --------------------------------------------------------------------------------
$ 3,653,020
- --------------------------------------------------------------------------------
Wisconsin--6.9%
Williams Bay, Wisconsin School District (AMBAC)
(AAA/Aaa)(a)
$1,325,000 5.75% 04/01/15 $ 1,268,926
Wisconsin Housing & Economic Development,
Series B AMT (AA/Aa)(b)
2,200,000 7.10 09/01/15 2,254,032
- --------------------------------------------------------------------------------
$ 3,522,958
- --------------------------------------------------------------------------------
Total Debt Obligations
(Cost $53,593,874) $54,415,456
- --------------------------------------------------------------------------------
Short Term Obligations--2.0%
Harris County, TX Health Facilities Hospital VRDN
(A-1+/NR)(c)
$1,000,000 5.00% 12/01/25 $ 1,000,000
- --------------------------------------------------------------------------------
Total Short Term Obligations
(Cost $1,000,000) $ 1,000,000
- --------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal
Amount Description Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Warrants--0.8%
$5,000,000 Intermountain Power Agency, Utah
Certificates of Beneficial Interest @
90.306 expiring 05/07/96(d) $ 387,500
- --------------------------------------------------------------------------------
Total Warrants
(Cost $343,750) $ 387,500
- --------------------------------------------------------------------------------
Total Investments
(Cost $54,937,624(e)) $55,802,956
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
- --------------------------------------------------------------------------------
<S> <C>
Federal Income Tax Information:
Gross unrealized gain for investments in which value
exceeds cost $ 1,034,510
Gross unrealized loss for investments in which cost
exceeds value (169,178)
- --------------------------------------------------------------------------------
Net unrealized gain $ 865,332
- --------------------------------------------------------------------------------
</TABLE>
(a) When issued security.
(b) Segregated as collateral for when issued securities.
(c) Variable rate security. Coupon rate disclosed is that which is in effect at
April 30, 1995.
(d) Non-income producing security.
(e) The amount stated also represents aggregate cost for federal income tax
purposes.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of net assets.
- --------------------------------------------------------------------------------
Investment Abbreviations:
AMBAC -- Insured by American Municipal Bond Assurance Corp.
AMT -- Alternative Minimum Tax
CAPGTY -- Capital Guaranty Insurance Co.
FGIC -- Insured by Financial Guaranty Insurance Co.
FHA -- Federal Housing Administration
FSA -- Financial Security Assurance Co.
GO -- General Obligation
MBIA -- Insured by Municipal Bond Investors Assurance
NR -- Not Rated
RB -- Revenue Bond
VRDN -- Variable Rate Demand Note
- --------------------------------------------------------------------------------
15
<PAGE>
Goldman Sachs Trust
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Statements of Assets and Liabilities
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------------------------------------------------------
Goldman Goldman Goldman
Sachs Sachs Sachs
Government Global Municipal
Income Income Income
Fund Fund Fund
================================================
<S> <C> <C> <C>
Assets:
Investments in securities, at value (cost $21,932,452, $272,040,664
and $54,937,624) $21,824,796 $288,281,510 $55,802,956
Receivables:
Investment securities sold 4,700,415 13,375,005 7,974,844
Interest 177,303 5,508,725 838,232
Forward foreign currency exchange contracts -- 7,660,101 --
Foreign tax withheld -- 378,444 --
Fund shares sold 28,050 149,667 541,452
Cash 70,166 1,974 103,805
Deferred organization expenses, net 52,321 77,206 56,528
Other assets 10,432 8,243 24,596
- --------------------------------------------------------------------------------------------------------------------------------
Total assets 26,863,483 315,440,875 65,342,413
- --------------------------------------------------------------------------------------------------------------------------------
Liabilities:
Options written, at value (a) -- 986,550 --
Payables:
Investment securities purchased 8,301,243 1,362,224 14,160,972
Forward foreign currency exchange contracts -- 10,607,534 --
Fund shares repurchased 10,690 332,282 83,593
Investment adviser fees 3,802 187,791 12,505
Administration fees -- 37,558 6,253
Distribution fees 3,802 62,597 10,421
Transfer agent fees 4,902 36,155 21,329
Accrued expenses and other liabilities 31,835 203,811 121,935
- --------------------------------------------------------------------------------------------------------------------------------
Total liabilities 8,356,274 13,816,502 14,417,008
- --------------------------------------------------------------------------------------------------------------------------------
Net assets:
Paid-in capital 19,104,209 307,588,838 53,631,824
Accumulated undistributed net investment income 14,341 1,297,695 25,593
Accumulated net realized loss on investment transactions (503,685) (24,712,573) (3,597,344)
Accumulated net realized foreign currency gain -- 6,274,742 --
Net unrealized gain (loss) on investments and options (107,656) 5,456,816 865,332
Net unrealized gain on translation of assets and liabilities denominated in
foreign currencies -- 5,718,855 --
- --------------------------------------------------------------------------------------------------------------------------------
Net assets $18,507,209 $301,624,373 $50,925,405
================================================================================================================================
Net asset value and redemption price per share (net assets/shares outstanding) $13.90 $13.94 $13.65
================================================================================================================================
Maximum public offering price per share (NAV per share x 1.0471) $14.55 $14.60 $14.29
================================================================================================================================
Shares outstanding, $.001 par value (unlimited number of shares authorized) 1,331,497 21,631,942 3,730,885
================================================================================================================================
</TABLE>
(a) Premiums received are $130,440 for Global Income.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Statements of Operations
For the Six Months Ended April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------------------------------------------------------
Goldman Goldman Goldman
Sachs Sachs Sachs
Government Global Municipal
Income Income Income
Fund Fund Fund
================================================
<S> <C> <C> <C>
Investment income:
Interest(a) $ 641,683 $13,444,692 $1,392,962
- -------------------------------------------------------------------------------------------------------------------------------
Expenses:
Investment adviser fees, net of fees waived (b) 14,658 1,269,024 70,825
Administration fees, net of fees waived (c) -- 253,805 35,413
Distribution fees, net of fees waived (d) 21,565 423,008 59,021
Custodian fees 18,169 137,502 12,726
Transfer agent fees 26,667 53,194 31,356
Professional fees 23,941 39,748 24,805
Registration fees 11,556 22,786 10,996
Amortization of deferred organization expenses 9,321 30,444 8,700
Trustee fees 359 7,343 870
Other 7,184 24,072 7,604
- -------------------------------------------------------------------------------------------------------------------------------
Total expenses 133,420 2,260,926 262,316
Less--Expenses reimbursable by Goldman Sachs (97,197) -- (85,253)
- -------------------------------------------------------------------------------------------------------------------------------
Net expenses 36,223 2,260,926 177,063
- -------------------------------------------------------------------------------------------------------------------------------
Net investment income 605,460 11,183,766 1,215,899
- -------------------------------------------------------------------------------------------------------------------------------
Realized and unrealized gain (loss) on investment, option and foreign
currency transactions:
Net realized gain (loss) from:
Investment transactions 192,703 (6,113,225) (394,432)
Foreign currency related transactions -- 6,149,307 --
Net change in unrealized gain (loss) on:
Investments 385,928 16,261,217 2,416,229
Options -- (856,110) --
Translation of assets and liabilities denominated in foreign currencies -- (3,409,858) --
- -------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain on investment, option and foreign
currency transactions 578,631 12,031,331 2,021,797
- -------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations $1,184,091 $23,215,097 $3,237,696
===============================================================================================================================
</TABLE>
(a) Net of $83,036 in foreign withholding tax for Global Income.
(b) During the six months ended April 30, 1995, the investment adviser waived
fees of $28,473 and $23,608 for the Government Income and Municipal Income
Funds, respectively.
(c) During the six months ended April 30, 1995, the administrator waived fees of
$12,926 for the Government Income Fund.
(d) During the six months ended April 30, 1995, the distributor waived fees of
$21,565, $423,008 and $59,021, respectively.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
Goldman Sachs Trust
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Six Months Ended April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Goldman Goldman Goldman
Sachs Sachs Sachs
Government Global Municipal
Income Income Income
Fund Fund Fund
------------------------------------------------
<S> <C> <C> <C>
From operations:
Net investment income $ 605,460 $ 11,183,766 $ 1,215,899
Net realized gain (loss) from investment transactions 192,703 (6,113,225) (394,432)
Net realized gain from foreign currency related transactions -- 6,149,307 --
Net change in unrealized gain on investments and options 385,928 15,405,107 2,416,229
Net change in unrealized loss on translation of assets and liabilities
denominated in foreign currencies -- (3,409,858) --
- --------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 1,184,091 23,215,097 3,237,696
- --------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders from:
Net investment income (613,331) (11,204,826) (1,215,899)
- --------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (613,331) (11,204,826) (1,215,899)
- --------------------------------------------------------------------------------------------------------------------------------
From share transactions:
Net proceeds from sales of shares 4,639,482 15,592,568 6,978,587
Reinvestment of dividends and distributions 502,929 6,877,066 774,833
Cost of shares repurchased (1,657,784) (129,439,665) (6,222,839)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from share transactions 3,484,627 (106,970,031) 1,530,581
- --------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) 4,055,387 (94,959,760) 3,552,378
Net assets:
Beginning of period 14,451,822 396,584,133 47,373,027
- --------------------------------------------------------------------------------------------------------------------------------
End of period $18,507,209 $ 301,624,373 $50,925,405
================================================================================================================================
Accumulated undistributed net investment income $ 14,341 $ 1,297,695 $ 25,593
================================================================================================================================
Summary of share transactions:
Shares sold 343,458 1,150,740 524,074
Reinvestment of dividends and distributions 36,904 504,825 58,148
Shares repurchased (121,644) (9,542,494) (474,004)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 258,718 (7,886,929) 108,218
================================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets (continued)
For the Year Ended October 31, 1994
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
Goldman Goldman Goldman
Sachs Sachs Sachs
Government Global Municipal
Income Income Income
Fund Fund Fund
-------------------------------------------------
<S> <C> <C> <C>
From operations:
Net investment income $ 794,938 $ 34,832,452 $ 2,300,535
Net realized loss from investment, option and futures transactions (693,341) (29,399,159) (3,202,912)
Net realized loss from foreign currency related transactions -- (12,649,508) --
Net change in unrealized loss on investments and options (502,522) (31,154,593) (1,799,359)
Net change in unrealized gain on translation of assets and liabilities
denominated in foreign currencies -- 7,363,987 --
- ---------------------------------------------------------------------------------------------------------------------------------
Net decrease in net assets resulting from operations (400,925) (31,006,821) (2,701,736)
- ---------------------------------------------------------------------------------------------------------------------------------
Distributions to shareholders from:
Net investment income (794,938) (8,807,313) (2,300,535)
In excess of net investment income (17,584) -- --
Net realized gain on investment, option and futures transactions (106,548) (7,198,898) (108,139)
In excess of net realized gain on investment, option and futures transactions (3,047) -- --
Paid-in capital -- (25,765,213) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (922,117) (41,771,424) (2,408,674)
- ---------------------------------------------------------------------------------------------------------------------------------
From share transactions:
Net proceeds from sales of shares 8,616,512 133,966,890 40,579,374
Reinvestment of dividends and distributions 762,895 26,726,504 1,557,330
Cost of shares repurchased (6,464,527) (366,992,820) (19,819,419)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from share transactions 2,914,880 (206,299,426) 22,317,285
- ---------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) 1,591,838 (279,077,671) 17,206,875
Net assets:
Beginning of period 12,859,984 675,661,804 30,166,152
- ---------------------------------------------------------------------------------------------------------------------------------
End of period $14,451,822 $ 396,584,133 $ 47,373,027
=================================================================================================================================
Accumulated undistributed net investment income $ 22,212 $ 1,318,755 $ 25,593
=================================================================================================================================
Summary of share transactions:
Shares sold 615,568 9,067,823 2,852,822
Reinvestment of dividends and distributions 54,242 1,870,918 112,990
Shares repurchased (460,162) (26,266,551) (1,404,132)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding 209,648 (15,327,810) 1,561,680
=================================================================================================================================
</TABLE>
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
Goldman Sachs Trust
- --------------------------------------------------------------------------------
Notes to Financial Statements
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
1. Organization
Goldman Sachs Trust (the "Trust") is a Massachusetts business trust 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 Government Income Fund (Government Income), the Goldman Sachs
Global Income Fund (Global Income) and the Goldman Sachs Municipal Income Fund
(Municipal Income), collectively, "the Funds" or individually a "Fund". The
Government Income and Municipal Income Funds are separate diversified portfolios
of the Trust and the Global Income Fund is a separate non-diversified portfolio
of the Trust.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Funds which are in conformity with those generally accepted in
the investment company industry:
A. Investment Valuation
- ------------------------
Investments in securities held by the Global Income Fund which are normally
traded on a U.S. or foreign securities exchange or the NASDAQ system are valued
at their last sale or closing price on the principal exchange on which they are
traded or NASDAQ, on the valuation date; if no sale occurs, securities traded on
a U.S. exchange or NASDAQ are valued at the mean between the closing bid and
asked price, and securities traded on a foreign exchange will be valued at the
official closing or bid price. Exchange traded futures contracts are valued at
the last sale price in the market where such contracts are principally traded
and exchange traded options will be valued by an independent unaffiliated
broker. Non-exchange traded securities will be valued using a pricing service
approved by the Board of Trustees if such prices are believed by the investment
adviser to accurately represent market value. Spot and forward foreign currency
exchange contracts will be valued at mid-market rates obtained from a pricing
service. All other securities, including those for which a pricing service
supplies no exchange quotation or those for which a quotation is believed by the
portfolio manager to be inaccurate, will be valued at fair value according to
procedures adopted by the Board of Trustees.
Investments in portfolio securities held by the Municipal Income Fund 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 held by the Municipal Income Fund, for which
accurate market quotations are not readily available, and portfolio securities
held by the Government Income Fund are valued at fair value using methods
determined in good faith under procedures established by the Trust's Board of
Trustees and may include yield equivalents or a pricing matrix. Exchange traded
options and futures contracts will be valued by the investment adviser at the
last sale price on the exchange where such contracts and options are principally
traded. Short-term debt obligations maturing in sixty days or less are valued at
amortized cost.
B. Foreign Currency Translations
- ---------------------------------
Amounts denominated in foreign currencies are translated into U.S. dollars on
the following basis: (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
- --------------------------------------------------------------------------------
20
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
amounts of interest recorded and the amounts actually received.
C. Forward Foreign Currency Exchange Contracts
- -----------------------------------------------
The Global Income Fund enters 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. The aggregate principal amounts of the contracts for which delivery
is anticipated are reflected in the Fund's accounts, while the aggregate
principal amounts are reflected net in the accompanying Statement of Assets and
Liabilities if the Fund intends to settle the contract prior to delivery. 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.
D. Security Transactions and Investment Income
- -----------------------------------------------
Security transactions are recorded on the 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 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 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. For the Municipal Income Fund,
market premiums on other long-term debt securities are amortized to interest
income while for the Global Income Income Fund, market discounts on other long-
term debt securities are accreted to interest income.
E. Mortgage Dollar Rolls
- -------------------------
The Government Income Fund 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
but 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,
high grade debt securities 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. Options
- -----------
When call or put options are written, an amount equal to the premium received is
recorded as an asset and as an equivalent liability. The amount of the liability
is subsequently marked-to-market to reflect the current market value of the
option written. When a written option expires on its stipulated expiration date,
or a closing purchase transaction has been entered into, a gain or loss is
realized without regard to any unrealized gain or loss on the underlying
security, and the liability related to such
- --------------------------------------------------------------------------------
21
<PAGE>
Goldman Sachs Trust
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
option is extinguished. When a written call option is exercised, a gain or
loss is realized from the sale of the underlying security, and the proceeds of
the sale are increased by the premium originally received. When a written put
option is exercised, the amount of the premium originally received will reduce
the cost of the security purchased upon exercise.
Upon the purchase of a call option or a protective put option, the premium paid
is recorded as an investment, and subsequently marked-to-market to reflect the
current market value of the option. If an option which has been purchased
expires on the stipulated expiration date, a loss is realized in the amount of
the cost of the option. If a closing sale transaction has been entered into, a
gain or loss is realized, depending on whether the sale proceeds from the
closing sale transaction are greater or less than the cost of the option. If a
purchased put option is exercised, a gain or loss from the sale of the
underlying security is realized, and the proceeds from such sale will be
decreased by the premium originally paid. If a purchased call option is
exercised, the cost of the security purchased upon exercise will be increased by
the premium originally paid. In the case of index options, there is a risk of
loss from a change in value of such options which may exceed the related
premiums received.
G. Futures Contracts
- ---------------------
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. Subsequent
payments ("variation margin") are made or received by the Funds each day,
dependent on the daily fluctuations in the value of the underlying index, and
are recorded for financial reporting purposes, as unrealized gains or losses.
When entering into a closing transaction, the Funds will realize a gain or loss
equal to the difference between the value of the futures contract to sell and
the futures contract to buy. Futures contracts are valued at the most recent
settlement price, unless such price does not reflect the fair market value of
the contract, in which case the position will be valued using methods as
approved by the Funds' Board of Trustees.
Certain risks may arise upon entering into futures contracts. These risks may
include changes in the value of the futures contract that may not directly
correlate with changes in the value of the underlying securities, or that the
counterparty to a contract may default on its obligations to perform.
H. 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 investment company tax-exempt and taxable income to its
shareholders. Accordingly, no federal tax provisions are required.
The characterization of distributions to shareholders for financial reporting
purposes is determined in accordance with income tax rules. Therefore, the
source of a portfolio's distributions may be shown in the accompanying financial
statements as either from or in excess of net investment income or net realized
gain on investment transactions, or from paid-in capital, depending on the type
of book/tax differences that may exist.
I. Deferred Organization Expenses
- ----------------------------------
Organization-related costs are being amortized on a straight-line basis over a
period of five years.
J. Expenses
- ------------
Expenses incurred by the Trust that do not specifically relate to an individual
portfolio of the Trust are allocated to the portfolios based on each portfolio's
relative average net assets for the period.
3. Agreements
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman
- --------------------------------------------------------------------------------
22
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Sachs"), serves as each Fund's investment adviser pursuant to Investment
Advisory Agreements. Goldman Sachs Asset Management International ("GSAM
International"), an affiliate of Goldman Sachs, acts as subadviser under a
Subadvisory Agreement for the Global Income Fund. Under the Investment Advisory
and Subadvisory Agreements, GSAM and GSAM International, subject to the general
supervision of the Trust's Board of Trustees, manage the Funds' portfolios. As
compensation for the services rendered pursuant to the Investment Advisory
Agreements and the assumption of the expenses related thereto, GSAM is entitled
to a fee, computed daily and payable monthly at an annual rate equal to .50%,
.25% and .40% of average daily net assets of the Government Income, Global
Income and Municipal Income Funds, respectively. As compensation for the
services rendered pursuant to the Subadvisory Agreement, GSAM International is
entitled to a subadvisory fee from the Global Income Fund of .50% of the average
daily net assets. For the six months ended April 30, 1995, GSAM voluntarily
agreed to waive a portion of its investment advisory fees amounting to
approximately $28,500 and $23,600 for the Government Income and Municipal Income
Funds, respectively.
GSAM serves as each Fund's administrator pursuant to an Administration
Agreement. Under the Administration Agreement, GSAM administers the Funds'
business affairs, including providing facilities. As compensation for the
services rendered pursuant to the Administration Agreement, GSAM is entitled to
a fee, computed daily and payable monthly at an annual rate equal to .15% of
each Fund's average daily net assets. For the six months ended April 30, 1995,
GSAM voluntarily agreed to waive a portion of its administration fee amounting
to approximately $12,900 for the Government Income Fund.
GSAM has voluntarily agreed to limit certain of the Funds' expenses (excluding
advisory, administration and distribution fees and taxes, interest, brokerage,
litigation, indemnification and other extraordinary expenses) to the extent such
expenses exceed .30% and .05% per annum of the Government Income and Municipal
Income Funds, respectively. For the six months ended April 30, 1995, GSAM
voluntarily agreed to reimburse all such expenses for the Government Income
Fund. The amounts reimbursable to the Government Income Fund and Municipal
Income Fund at April 30, 1995 are approximately $4,000 and $5,000, respectively,
and are included in "Other Assets" on the accompanying Statements of Assets and
Liabilities.
Goldman Sachs serves as the Distributor of shares of the Funds pursuant to a
Distribution Agreement and as such may receive a portion of the sales load
imposed on the sale of Fund shares. During the six months ended April 30, 1995,
Goldman Sachs retained approximately $11,000, $8,000 and $30,000 of sales loads
related to the Government Income, Global Income and Municipal Income Funds,
respectively.
The Funds have adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-1.
Under the Plan, Goldman Sachs is entitled to receive a quarterly distribution
fee equal to, on an annual basis, .50% of the Funds' average daily net assets.
Currently, Goldman Sachs has voluntarily agreed to limit the amount of the
distribution fee to .25% of the Funds' average daily net assets. For the six
months ended April 30, 1995, Goldman Sachs voluntarily agreed to waive a portion
of its distribution fee amounting to approximately $21,600, $423,000 and $59,000
for the Government Income, Global Income and Municipal Income Funds,
respectively, for such period. Goldman Sachs also serves as the Transfer Agent
of the Funds for a fee.
- --------------------------------------------------------------------------------
23
<PAGE>
Goldman Sachs Trust
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
4. Investment Transactions
Purchases and proceeds of sales or maturities of long-term securities for the
period ended April 30, 1995, were as follows:
<TABLE>
<CAPTION>
================================================================================
Government Global Municipal
Fund Income Income Income
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Purchases of U.S.
Government and
agency obligations $41,257,122 $ -- $ --
- --------------------------------------------------------------------------------
Purchases (excluding
U.S. Government and
agency obligations) -- 362,775,138 100,482,000
- --------------------------------------------------------------------------------
Sales or maturities of
U.S. Government and
agency obligations 36,853,505 103,682,172 --
- --------------------------------------------------------------------------------
Sales or maturities
(excluding U.S.
Government and
agency obligations) 54,583 390,135,468 93,289,573
================================================================================
</TABLE>
For the six months ended April 30, 1995, option transactions in the Global
Income Fund were as follows:
<TABLE>
<CAPTION>
================================================================================
Premiums
Options Written Received
- --------------------------------------------------------------------------------
<S> <C>
Balance outstanding, beginning of period $ --
Options written 130,440
Options expired --
Options repurchased --
- --------------------------------------------------------------------------------
Balance outstanding, end of period $ 130,440
================================================================================
================================================================================
Options Purchased Cost
- --------------------------------------------------------------------------------
Balance outstanding, beginning of period $ --
Options purchased 84,446
Options expired --
Options sold --
- --------------------------------------------------------------------------------
Balance outstanding, end of period $ 84,446
================================================================================
</TABLE>
Certain risks related to written call or put options arise from the possible
inability of counterparties to meet the terms of their contracts and from
movement in currency values and interest rates.
At April 30, 1995, the Global Income Fund had outstanding forward foreign
currency exchange contracts, both to purchase and sell foreign currencies as
follows:
<TABLE>
<CAPTION>
================================================================================
Value on
Foreign Currency Settlement Current Unrealized
Purchase Contracts Date Value Gain/(Loss)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Canadian Dollar
Expiring 8/14/95 $ 60,608 $ 63,116 $ 2,508
Deutsche Mark
Expiring 6/1/95 981,927 1,039,170 57,243
Expiring 6/6/95 166,234 175,964 9,730
French Franc
Expiring 6/9/95 113,762 114,253 491
Norwegian Krone
Expiring 5/16/95 7,081 7,537 456
- --------------------------------------------------------------------------------
Total Foreign Currency
Purchase Contracts $ 1,329,612 $ 1,400,040 $ 70,428
================================================================================
</TABLE>
<TABLE>
<CAPTION>
================================================================================
Value on
Foreign Currency Settlement Current Unrealized
Sale Contracts Date Value Gain/(Loss)
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
British Pound Sterling
Expiring 5/9/95 $ 32,446,907 $ 33,142,380 $ (695,473)
Canadian Dollar
Expiring 7/11/95 35,469,217 35,785,782 (316,565)
Danish Krone
Expiring 6/13/95 16,623,912 17,184,377 (560,465)
Deutsche Mark
Expiring 5/24/95 893,419 949,554 (56,135)
Expiring 6/7/95 12,472,126 13,027,292 (555,166)
Expiring 8/14/95 23,596 24,870 (1,274)
European Currency Unit
Expiring 7/20/95 13,834,127 13,660,995 173,132
French Franc
Expiring 5/31/95 48,463,657 49,147,121 (683,464)
Japanese Yen
Expiring 5/15/95 24,519,492 26,259,021 (1,739,529)
Spanish Peseta
Expiring 6/1/95 17,979 18,913 (934)
- -------------------------------------------------------------------------------
Total Foreign Currency
Sale Contracts $184,764,432 $189,200,305 $(4,435,873)
===============================================================================
</TABLE>
The contractual amounts of forward foreign currency exchange contracts do not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all
related and offsetting transactions are considered.
- --------------------------------------------------------------------------------
24
<PAGE>
Goldman Sachs Trust
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
At April 30, 1995, the Global Income Fund had sufficient cash and/or securities
to cover any commitments under these contracts.
The Global Income Fund has recorded a "Receivable for forward foreign currency
exchange contracts" and "Payable for forward foreign currency exchange
contracts" resulting from open and closed but not settled forward foreign
currency exchange contracts of $7,660,101 and $10,607,534, respectively, in the
accompanying Statement of Assets and Liabilities. Included in the "Receivable
and payable for forward foreign currency exchange contracts" are $7,416,541 and
$5,998,529, respectively, related to forward contracts closed but not settled as
of April 30, 1995.
5. 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 in the customer-only account of State Street
Bank & Trust Co., the Funds' custodian, or at subcustodians. GSAM monitors the
market value of the underlying securities by pricing them daily.
6. Joint Repurchase Agreement Account
The Government Income Fund, together with other registered investment companies
having advisory agreements with GSAM or its affiliates, transfers 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 April 30, 1995, the Government Income Fund had a 1.04% undivided interest in
the repurchase agreement in the joint account which equaled $3,600,000, in
principal amount. As of April 30, 1995, the repurchase agreement in the joint
account along with the corresponding underlying securities (including the type
of security, principal amount, interest rate and maturity date) were as follows:
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Amount Rate Date Cost
================================================================================
<S> <C> <C> <C>
Lehman Brothers, Inc., dated 4/28/95, repurchase price
$347,272,393 (U.S. Treasury Notes: $351,926,000, 4.000%-
9.250%, 12/31/95-03/31/96)
$347,100,000 5.96% 05/01/95 $ 347,100,000
- --------------------------------------------------------------------------------
Total Joint Repurchase Agreement Account $ 347,100,000
================================================================================
</TABLE>
7. Other
As of April 30, 1995, Goldman, Sachs & Co. Employees Profit Sharing and
Retirement Income Plan was the beneficial owner of approximately 19% of the
outstanding shares of the Goldman Sachs Global Income Fund.
- --------------------------------------------------------------------------------
25
<PAGE>
Goldman Sachs Trust
- -----------------------------------------------------------------------------
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income (loss) from investment operations(a) 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, From
value at Net option and currency from From net option of net option and paid
beginning investment futures related investment investment and futures investment futures in
of period Income transactions transactions operations Income transactions Income transactions capital
=====================================================================================================================
GOLDMAN SACHS GOVERNMENT INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995............. $13.47 $0.48 $0.43 $ -- $0.91 $(0.48) $ -- $ -- $ -- $ --
For the Year Ended October 31,
- ------------------------------
1994............. 14.90 0.85 (1.28) -- (0.43) (0.85) (0.12) (0.02) (0.01) --
For the Period February 10, 1993(e) through October 31,
- -------------------------------------------------------
1993............. 14.32 0.56 0.58 -- 1.14 (0.56) -- -- -- --
GOLDMAN SACHS GLOBAL INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
1995............. 13.43 0.46 0.40 0.11 0.97 (0.46) -- -- -- --
For the Years Ended October 31,
- -------------------------------
1994............. 15.07 0.84 (1.37) (0.12) (0.65) (0.22) (0.16) -- -- (0.61)
1993............. 14.69 0.85 1.07 (0.42) 1.50 (0.85) (0.27) -- -- --
1992............. 14.60 1.14 0.45 (0.36) 1.23 (1.14) -- -- -- --
For the Period August 2, 1991(e) through October 31,
- ----------------------------------------------------
1991............. 14.55 0.25 0.23 (0.19) 0.29 (0.24) -- -- -- --
GOLDMAN SACHS MUNICIPAL INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
1995............. 13.08 0.34 0.57 -- 0.91 (0.34) -- -- -- --
For the Year Ended October 31,
- ------------------------------
1994............. 14.64 0.73 (1.51) -- (0.78) (0.73) (0.05) -- -- --
For the Period July 20, 1993(e) through October 31,
- ---------------------------------------------------
1993............. 14.32 0.22 0.32 -- 0.54 (0.22) -- -- -- --
</TABLE>
<TABLE>
<CAPTION>
Ratio assuming
no voluntary waiver
of fees or
expenses limitations
------------ ----------------------
Ratio of Ratio of
Net net Net net
increase Ratio of investment assets investment
Total (decreases) Net asset net income at end Ratio of income
distributions in net value at expenses (loss) Portfolio of expenses (loss)
to asset end of Total to average to average turnover period to average to average
shareholders value period return(b) net assets net assets rate(d) (in 000s) net assets net assets
-------------------------------------------------------------------------------------------------------------
GOLDMAN SACHS GOVERNMENT INCOME FUND
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995............. $(0.48) $ 0.43 $13.90 6.88% 0.42%(c) 7.03%(c) 221.78% $ 18,507 2.28%(c) 5.17%(c)
For the Year Ended October 31,
- ------------------------------
1994............. (1.00) (1.43) 13.47 (2.98) 0.11 6.06 654.90 14,452 2.86 3.31
For the Period February 10, 1993(e) through October 31,
- -------------------------------------------------------
1993............. (0.56) 0.58 14.90 8.03 0.00(c) 4.87(c) 725.41 12,860 4.00(c) 0.87(c)
GOLDMAN SACHS GLOBAL INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
1995............. (0.46) 0.51 13.94 7.35 1.34(c) 6.61(c) 118.11 301,624 1.59(c) 6.36(c)
For the Years Ended October 31,
- -------------------------------
1994............. (0.99) (1.64) 13.43 (4.49) 1.28 5.73 343.74 396,584 1.53 5.48
1993............. (1.12) 0.38 15.07 10.75 1.30 5.78 313.88 675,662 1.55 5.53
1992............. (1.14) 0.09 14.69 8.77 1.37 7.85 270.75 588,893 1.62 7.60
For the Period August 2, 1991(e) through October 31,
- ----------------------------------------------------
1991............. (0.24) 0.05 14.60 2.00 0.38(f) 1.72(f) 34.22 388,744 0.44(f) 1.66(f)
GOLDMAN SACHS MUNICIPAL INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
1995............. (0.34) 0.57 13.65 7.12 0.75(c) 5.14(c) 207.24 50,925 1.46(c) 4.43(c)
For the Year Ended October 31,
- ------------------------------
1994............. (0.78) (1.56) 13.08 (5.51) 0.45 5.28 357.54 47,373 1.55 4.18
For the Period July 20, 1993(e) through October 31,
- ---------------------------------------------------
1993............. (0.22) 0.32 14.64 3.73 0.00(c) 5.15(c) 99.99 30,166 2.42(c) 2.73(c)
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no sales
charges. Total return would be reduced if a sales charge were taken into
account.
(c) Annualized.
(d) Includes effect of mortgage dollar roll transactions for the Government
Income Fund.
(e) Commencement of operations.
(f) Not annualized.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
This Semiannual 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.
- --------------------------------------------------------------------------------
<PAGE>
Goldman Sachs
1 New York Plaza
New York, NY 10004
Trustees
Paul C. Nagel, Jr., Chairman
Ashok N. Bakhru
Marcia L. Beck
David B. Ford
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
Officers
Marcia L. Beck, President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Goldman Sachs
Investment Adviser, Administrator,
Distributor and Transfer Agent
gst/sar/0495(ret)
The Goldman Sachs
Fixed Income
Portfolios
- -----------------------
Semiannual Report
April 30, 1995
Goldman Sachs Government Income Fund
Goldman Sachs Global Income Fund
Goldman Sachs Municipal Income Fund
[LOGO OF GOLDMAN SACHS APPEARS HERE]
================================================================================
