<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 U.S. bond market 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 all of our
institutional 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
As interest rates began to decline, the U.S. bond market strengthened markedly
during the period under review 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 slower economic growth coupled with relatively contained inflation implying
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 levels 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 this 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 the yield, the price of the long bond increased
approximately 8% during the period, providing gains for bondholders.
<TABLE>
<CAPTION>
Table of Contents
<S> <C> <C> <C>
Market Overview 1 GS Core Fixed Income Fund 17
GS Adjustable Rate Government Agency Fund 3 Financial Statements 22
GS Short-Term Government Agency Fund 8 Notes to Financial Statements 26
GS Short Duration Tax-Free Fund 12 Financial Highlights 31
</TABLE>
<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 New 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. Beginning in February, the dollar
weakened dramatically, stemming from the general economic slowdown, the U.S.
trade imbalance with Japan and concerns surrounding 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: Possible Resumption of Growth by Year End
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
- -------------------------------------------------------------------------------
GS Adjustable Rate Government Agency Fund
- -------------------------------------------------------------------------------
Investment Objective
The fund seeks a high level of current income consistent with low volatility
of principal. The portfolio invests solely in securities issued or guaranteed
by the U.S. government, its agencies or instrumentalities, with primary emphasis
on adjustable rate mortgage securities (ARMs). The target duration of the fund
is between six months and one year.
The ARM Market
The supply of ARMs decreased from January through April, along with mortgage
issuance in general, consistent with the slowdown in the housing market. The
technical balance between supply and demand has been generally supportive of ARM
prices during the period under review. As rates began to decline, the prices of
ARMs rose.
Performance Review
For the six months ended April 30, 1995, the fund's Institutional shares had a
total return of 3.35% (2.99% in monthly distributions and 0.36% in share price
appreciation) compared with a return of 3.36% for the fund's benchmark, the
one-year Treasury bill. For the same period, the fund's Administration shares
returned 3.22% (2.86% in monthly distributions and 0.36% in share price
appreciation).
. The fund's Institutional shares underperformed the benchmark by only one
basis point, primarily because the fund's average duration (0.7 years) was
slightly shorter relative to the benchmark (0.9 years) as yields on the short
end of the yield curve fell.
. During the period, the fund's net asset value rose $0.03, reflecting the
general market rally from which ARMs also benefited. In general, the market
viewed ARMs favorably as the probability that they would reach their caps
decreased.
. The fund's Institutional share class placed within the top quartile of its
peers for the 12 months ended April 30, ranking 19th out of 79 U.S. adjustable
rate mortgage funds, as tracked by Lipper Analytical Services, Inc. (Lipper
rankings do not take sales charges into account. The fund's Administration share
class is not ranked by Lipper.)
. The fund raised its distribution rate by approximately 75 basis points
during the period, as ARM coupons were still resetting higher due to the
significant rate increases experienced last year.
Portfolio Composition and Investment Strategies
Portfolio Composition as of April 30, 1995*
<TABLE>
<S> <C>
ARMs 74.9%
Cash 6.0%
CMOs 8.6%
SBAs 10.5%
</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 a percentage of net assets.
. As of April 30, the fund remained primarily invested in ARMs (74.9%)
compared with 78.6% six months ago. Our strategy continued to focus on fully
indexed, one-year Constant Maturity Treasury (CMT) ARMs. Because of their
responsiveness to changes in interest rates, we favor CMT ARMs. CMT ARMs adjust
annually based on the yield of the one-year U.S. Treasury bill and therefore
3
<PAGE>
- -------------------------------------------------------------------------------
GS Adjustable Rate Government Agency Fund (continued)
- -------------------------------------------------------------------------------
provide greater net asset value stability than would ARMs linked to other
indexes, such as the Cost of Funds Index (COFI), ARMs in their initial "teaser"
periods or Government National Mortgage Association (GNMA) ARMs.
. The fund's holdings in collateralized mortgage obligations (CMOs) decreased
during the period from 13.0% to 8.6%. Our preference was for sequential pay
CMOs (3.3%). Sequentials, which are backed by fixed rate mortgages, provide
diversification and predictable cash flows that helped contribute to the fund's
principal stability.
. We continued to hold a small position (10.5%) in small business
administration (SBA) securities whose coupons generally reset monthly;
therefore, they have relatively low interest rate risk. They also provide
diversification for the fund.
. In terms of issuers, during the period we favored ARMs issued by the Federal
National Mortgage Association (FNMA) (73% of the portfolio), which typically
have about half the duration of those issued by the Government National Mortgage
Association (GNMA).
. Duration: The duration of the fund decreased significantly during the
period, from 1.40 years to 0.71 years on April 30, thus bringing the fund more
closely in line with its benchmark, which has a duration of approximately 0.95
years.
- --During the first quarter, we used financial futures to help shorten the fund's
duration and make it less sensitive to changes in interest rates. (In the rising
rate environment that prevailed in 1994, the fund's duration had lengthened as
the probability ARMs would reach their caps increased.)
- --The reverse will be the case if interest rates continue to ease: the
likelihood that ARMs will reach their caps will decrease and their duration
should decrease. In addition, declining rates also increase the potential that
prepayments will increase.
. Highest Credit Quality: The fund invests solely in U.S. government and
agency securities which are considered to be of the highest credit quality. The
fund continues to be rated AAA , the highest rating available, by Standard &
f
Poor's Ratings Group.
. Prudent Use of Derivatives: The fund used derivatives very sparingly during
the period under review. Mortgage derivatives can be separated into two
categories: those with lower volatility risk (sequential pay CMOs and CMO
floaters, of which the fund held 3.3% and 1.8%, respectively); and those with
higher volatility risk (super floaters and inverse floaters, of which the fund
held only 2.8% and 0.6%, respectively). We used super floaters for defensive
purposes; super floaters are floating rate securities whose coupons reset higher
and more quickly than regular ARMs and are therefore attractive in a rising rate
environment which prevailed through January. The strategy worked against us as
rates declined. We used inverse floaters, securities whose yields move in the
opposite direction from an index, for their potential to add incremental yield
to the fund. This strategy tended to work for the fund as interest rates
declined.
Outlook for ARMs
We are neutral to reasonably favorable regarding ARMs for the near term, based
on our expectation that interest rates and ARM spreads compared with Treasuries
of comparable duration will remain relatively stable. As a result, we expect
the fund to benefit from the incremental yield these securities offer. In
addition, the lower supply of ARMs supports our outlook. We will continue to
use our proprietary models to identify individual ARM securities with
attractive coupons, average lives, option-adjusted spreads and durations that
are expected to offer the most value for the fund.
Distribution Policy
During the six-month period under review, the fund's Institutional and
Administration shares distributed $0.29 and $0.27 per share, respectively,
compared with $0.25 and
4
<PAGE>
- -------------------------------------------------------------------------------
GS Adjustable Rate Government Agency Fund (continued)
- -------------------------------------------------------------------------------
$0.24 per share, respectively, for the six-month period ended on October 31.
The fund distributes substantially all of its investment company taxable
income. At the beginning of each month, we set the dividend based on the income
the fund is expected to generate. However, because the fund invests primarily in
mortgage securities that are subject to prepayments, we cannot precisely predict
the amount of principal and income the fund will receive. Therefore, at times,
the portfolio may distribute amounts above or below current income levels. To
date, however, our dividend policy and the method we use to estimate prepayments
have not affected the management of the fund nor significantly affected its NAV
per share.
As always, we value your support and we will continue to seek attractive
investment opportunities in the future.
Sincerely,
/s/ Jonathan A. Beinner
Jonathan A. Beinner
/s/ Theodore T. Sotir
Theodore T. Sotir
Portfolio Managers
GS Adjustable Rate Government Agency Fund
June 12, 1995
5
<PAGE>
Statement of Investments
- -------------------------------------------------------------------------------
GS Adjustable Rate Government Agency Fund
April 30, 1995
(Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
===============================================================================
<S> <C> <C> <C>
Mortgage Backed Obligations--98.3%
Adjustable Rate Federal Home
Loan Mortgage Corp.
(FHLMC)(a) --8.0%
$ 2,459,927 7.32% 01/01/19 $ 2,534,340
436,585 6.77 10/01/19 435,441
41,903,394 7.23 02/01/22 43,158,401
6,694,356 7.06 07/01/29 6,839,088
2,799,887 7.35 05/01/31 2,859,188
- -------------------------------------------------------------------------------
$ 55,826,458
- -------------------------------------------------------------------------------
Adjustable Rate Federal
National Mortgage
Association (FNMA)(a)--68.0%
$ 8,396,028 6.42% 03/01/17 $ 8,415,003
5,654,181 6.33 03/01/18 5,621,217
1,346,211 7.60 05/01/18 1,384,416
6,586,791 7.09 07/01/18 6,767,401
8,379,243 6.91 08/01/18 8,543,309
5,109,571 7.35 10/01/18 5,226,273
8,842,489 7.05 11/01/18 9,021,726
16,645,249 7.58 12/01/18(b) 17,159,088
2,410,489 7.35 02/01/19 2,393,163
4,433,166 7.08 06/01/19 4,512,121
2,355,446 7.08 07/01/19 2,399,917
5,761,277 8.68 07/01/19 5,879,441
5,845,251 7.35 09/01/19 5,996,117
3,717,996 7.87 01/01/20 3,808,008
3,775,586 7.49 03/01/20 3,902,257
11,669,675 7.30 07/01/20 11,950,331
6,475,806 7.37 02/01/21 6,671,958
6,822,631 7.12 04/01/21 6,956,150
87,570,166 7.35 09/01/21 89,986,227
7,105,257 7.39 11/01/21 7,248,357
29,284,873 7.73 02/01/22 30,200,318
9,057,580 7.29 08/01/22 9,293,439
77,194,114 7.11 09/01/22 79,604,886
2,926,389 7.45 02/01/23 2,982,985
392,688 6.22 12/01/23 390,602
3,301,861 7.11 10/01/27 3,369,813
4,493,460 7.59 04/01/30 4,619,996
87,333,894 7.37 01/01/31 89,938,191
37,573,666 6.00 02/01/31 37,644,116
- -------------------------------------------------------------------------------
$471,886,826
- -------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
===============================================================================
<S> <C> <C> <C>
Mortgage Backed Obligations (continued)
Adjustable Rate Government National Mortgage
Association (GNMA)(a)--0.2%
$ 58,247 9.00% 04/15/20 $ 60,486
1,101,668 7.12 07/20/23 1,120,011
- -------------------------------------------------------------------------------
$ 1,180,497
- -------------------------------------------------------------------------------
Adjustable Rate Small Business Administration (SBA)(a)--11.0%
$ 1,841,795 7.50% 10/25/14 $ 1,854,457
2,660,489 7.50 02/25/15 2,677,117
3,990,515 7.50 03/25/15 4,017,950
3,054,658 7.50 04/25/15 3,073,749
3,058,166 7.50 05/25/15 3,077,279
2,025,521 7.50 08/25/15 2,039,447
2,918,318 7.50 09/25/15 2,936,557
2,143,549 7.50 10/25/15 2,158,286
1,527,917 7.12 09/25/16 1,525,052
5,554,445 7.12 07/25/17 5,544,030
13,186,418 7.12 08/25/17 13,155,577
5,321,138 7.12 09/25/17 5,307,835
4,103,717 7.12 10/25/17 4,093,208
14,561,472 7.00 11/25/17 14,488,665
10,101,258 7.12 02/25/18 10,076,005
- -------------------------------------------------------------------------------
$ 76,025,214
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations (CMOs)--11.1%
Adjustable Rate Mortgage Obligations--2.0%
FNMA REMIC Trust 1990-145, Class A
$13,524,293 6.11% 12/25/20 $ 13,528,620
- -------------------------------------------------------------------------------
Inverse Floater CMOs(a)--0.6%
FHLMC Series 1134, Class H
$ 1,922,618 15.27% 09/15/96 $ 2,046,911
FNMA REMIC Trust 1991-113, Class S
1,858,736 17.17 03/25/02 2,051,580
FNMA REMIC Trust 1991-91, Class S
250,470 15.32 07/25/98 269,490
- -------------------------------------------------------------------------------
$ 4,367,981
- -------------------------------------------------------------------------------
Inverse IOette--0.1%
FHLMC Series 1164, Class O
$ 48,691 634.92%(c) 11/15/06 $ 616,084
- -------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
- -------------------------------------------------------------------------------
GS Adjustable Rate Government Agency Fund (continued)
April 30, 1995
(Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
===============================================================================
<S> <C> <C> <C>
Mortgage Backed Obligations (continued)
Collateralized Mortgage Obligations (continued)
Planned Amortization Class (PAC) CMOs--0.1%
FHLMC Series 1512, Class DA
$ 600,000 4.50% 02/15/03 $ 560,190
- -------------------------------------------------------------------------------
Regular Floater CMOs(a)--1.9%
FHLMC Series 1011, Class F
$12,660,319 7.02% 11/15/20 $ 12,755,275
FHLMC Series 1506, Class PD
600,000 5.15 03/15/03 568,134
- -------------------------------------------------------------------------------
$ 13,323,409
- -------------------------------------------------------------------------------
Sequential Fixed Rate CMOs--3.5%
FHLMC Series 1098, Class F
$ 2,345,193 8.00% 03/15/05 $ 2,352,651
FHLMC Series 1278, Class E
1,179,907 7.00 12/15/18 1,177,689
FNMA REMIC Trust 1990-65, Class U
2,363,005 9.50 11/25/06 2,406,720
FNMA REMIC Trust 1991-140, Class C
1,819,701 8.50 05/25/20 1,834,022
FNMA REMIC Trust 1991-37, Class E
4,916,751 8.50 04/25/05 4,978,505
FNMA REMIC Trust 1991-82, Class PH
11,299,491 8.00 11/25/18 11,296,327
- -------------------------------------------------------------------------------
$ 24,045,914
- -------------------------------------------------------------------------------
Super Floater CMOs(a)--2.9%
FNMA REMIC Trust 1992-157, Class FA
$21,575,228 3.28%(c) 03/25/04 $ 20,264,231
- -------------------------------------------------------------------------------
Total Collateralized Mortgage Obligations $ 76,706,429
- -------------------------------------------------------------------------------
Total Mortgage Backed Obligations
(Cost $694,010,252) $681,625,424
- -------------------------------------------------------------------------------
Repurchase Agreement--0.9%
Joint Repurchase Agreement Account
$ 6,500,000 5.96% 05/01/95 $ 6,500,000
- -------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $6,500,000) $ 6,500,000
- -------------------------------------------------------------------------------
Total Investments
(Cost $700,510,252(d)) $688,125,424
===============================================================================
</TABLE>
===============================================================================
<TABLE>
<CAPTION>
Number of
Contracts
Long (Short) Unrealized
Type (e) Settlement Month Gain (Loss)
- -------------------- ------------ ---------------- ------------
<S> <C> <C> <C>
Euro Dollars 176 June 1995 $ 60,850
Euro Dollars 175 September 1995 81,025
Euro Dollars 175 December 1995 81,650
5-Year U.S. Treasury (695) June 1995 (1,042,828)
Notes
- -------------------------------------------------------------------------------
$ (819,303)
===============================================================================
</TABLE>
===============================================================================
Federal Income Tax Information:
<TABLE>
<S> <C>
Gross unrealized gain for investments in which value
exceeds cost $ 270,593
Gross unrealized loss for investments in which cost
exceeds value (12,829,138)
- -------------------------------------------------------------------------------
Net unrealized loss $(12,558,545)
===============================================================================
</TABLE>
(a)Variable rate securities. Coupon rates disclosed are those
which are in effect at April 30, 1995.
(b)A portion of this security is being segregated for futures margin
requirements.
(c)Represents securities with notional or nominal principal amounts. The actual
effective yields of these securities are different from the stated rates due
to the amortization of related premiums.
(d)The aggregate cost for federal income tax purposes is $700,683,969.
(e)Each U.S. Treasury Note and Euro Dollar contract represents $100,000 and
$250,000, respectively, in par value.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
Letter to Shareholders
- -------------------------------------------------------------------------------
GS Short-Term Government Agency Fund
- -------------------------------------------------------------------------------
Fund Objective
The fund's primary investment objective is to provide a high level of current
income by investing in a portfolio that consists of securities issued or
guaranteed by the U.S. government, its agencies or instrumentalities, including
mortgage-backed securities, as well as repurchase agreement collaterized by such
instruments. To enhance principal stability, the fund has a two-year target
duration and a maximum duration of three years.
Performance Review
For the six-month period ended April 30, the fund's Institutional shares had a
positive return of 4.23% (3.43% from distributions and 0.80% from share price
appreciation) compared with 4.10% for the two-year U.S. Treasury security, the
fund's benchmark. During the period, the fund's net asset value (NAV) increased
$0.07 per share, reflecting the strong bond market during the period.
The fund outperformed the benchmark by 13 basis points, primarily due to its
overweighting in collateralized mortgage securities (CMOs). In particular, our
holdings in planned amortization class (PAC) CMOs helped performance due to the
incremental yield the securities offered relative to Treasuries and the
relatively stable cash flows they provide.
We are pleased to note that the fund's Institutional share class placed in the
top 20% of its peers for the 12-month period ended April 30, ranking 25th out of
125 funds for total return in the short U.S. government fund category as tracked
by Lipper Analytical Services, Inc. (Lipper rankings do not take sales charges
into account.)
Portfolio Composition and Investment Strategies
As of April 30, 89.1% of the portfolio was invested in mortgage-backed
securities, with the remainder in U.S. Treasuries, repurchase agreements and
other cash equivalents.
Portfolio Composition as of April 30, 1995*
<TABLE>
<S> <C>
CMOs 47.3%
ARMs 33.7%
U.S. Treasuries 10.5%
Fixed Rate Mortgage
Pass-Throughs 8.1%
Cash 0.4%
</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 a percentage of net assets.
. The fund's largest weighting remained in CMOs (47.3%), although we reduced
our position in the sector from 58.9% at the end of October. Specifically, we
sold approximately half of our position in sequential pay CMOs, bringing it to
15.2% as sequentials got more expensive. We maintained our position in PAC CMOs
at 29.3%, approximately the same level as in the previous reporting period.
. The fund's cash position was significantly reduced from 20.9% on October 31
to 0.4% on April 30.
. We used the cash to increase the portfolio's weighting in adjustable rate
mortgages (ARMs) indexed to the one-year Constant Maturity Treasury (CMT) Index
from 13.0% at the beginning of the period to 33.7% as of April 30. We focused
on one-year CMT ARMs, which were purchased at attractive option-adjusted spreads
over comparable-duration Treasuries, because they adjust more quickly to changes
in interest rates than other types of ARMs, such as
8
<PAGE>
- --------------------------------------------------------------------------------
GS Short-Term Government Agency Fund (continued)
- --------------------------------------------------------------------------------
Cost of Funds Index (COFI), Government National Mortgage Association (GNMA) or
"teaser" ARMs.
. A 10.5% position in U.S. Treasuries enabled us to match the duration of the
benchmark of 1.87 years.
. Highest Credit Quality: Because we invest primarily in government and agency
securities, the fund is rated AAA , the highest rating available, by Standard &
f
Poor's Ratings Group.
. Issuer Composition: The portfolio primarily invests in securities issued by
the Federal National Mortgage Association, the Federal Home Loan Mortgage
Corporation and the Government National Mortgage Association.
. Prudent use of Derivatives: During the period under review, we used
derivatives very sparingly in an effort to enhance returns without taking undue
risk. In the broadest sense, any security that derives its value from another
underlying security may be called a derivative. Mortgage securities can be
divided into two categories: those with lower volatility risk (such as
sequential and PAC CMOs, of which the fund held 44.5% as noted) and those with
higher risk (such as inverse floaters and PAC IOs, of which the fund held only
2.8% for their incremental yield and potential incremental return). In addition,
we have occasionally used mortgage dollar rolls (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) to take advantage of short-term supply and demand imbalances in the
mortgage settlement process.
Market Outlook
In the near term, the outlook for the fixed income market remains uncertain.
In this environment, we will continue to target the fund's duration to its two-
year Treasury benchmark. We are currently neutral on CMO spreads, which were at
fairly tight levels in April and May. Within the ARM market, sustained levels of
low supply support our reasonably constructive outlook on short-duration ARM
securities. We expect the fund to benefit from the incremental yield we believe
that ARMs will continue to offer relative to comparable Treasuries. Security
selection as well as sector weightings will be critical. As always, we will make
full use of Goldman Sachs' extensive economic, fixed income and mortgage
research in managing the fund.
Distribution Policy
During the six-month period under review, the fund distributed $0.32 share
compared with $0.29 for the six-month period ended in October. The fund
distributes substantially all of its investment company taxable income.
In conclusion, we appreciate your support and will continue to seek attractive
investment opportunities in the months ahead.
Sincerely,
/s/ Jonathan A. Beinner
Jonathan A. Beinner
/s/ Theodore T. Sotir
Theodore T. Sotir
Portfolio Managers
GS Short-Term Government Agency Fund
June 12, 1995
9
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
GS Short-Term Government Agency Fund
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
================================================================================
<S> <C> <C> <C>
Mortgage Backed Obligations--88.7%
Adjustable Rate Federal Home Loan
Mortgage Corp. (FHLMC)(a)--18.4%
$ 3,000,000 8.00% TBA-30 year(b) $ 3,057,186
2,800,268 7.17 12/15/18 2,854,789
11,480,382 7.52 02/01/22(c) 11,824,219
4,180,696 7.30 08/01/22 4,267,153
- --------------------------------------------------------------------------------
$ 22,003,347
- --------------------------------------------------------------------------------
Adjustable Rate Federal National
Mortgage Association
(FNMA)(a)--17.7%
$ 3,393,833 7.16% 11/01/14 $ 3,499,618
2,707,114 7.32 07/01/19 2,788,381
6,806,420 7.11 08/01/22 6,913,281
7,728,477 6.38 02/01/25 7,933,127
- --------------------------------------------------------------------------------
$ 21,134,407
- --------------------------------------------------------------------------------
Adjustable Rate Government National
Mortgage Association
(GNMA)(a)--4.9%
$ 5,500,000 9.50% TBA-30 year(b) $ 5,857,500
- --------------------------------------------------------------------------------
Fixed Rate FNMA(a)--0.6%
$ 717,647 9.00% 12/01/97 $ 737,158
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations
(CMOs)--47.1%
Inverse Floater CMOs(a)--1.7%
FHLMC Series 1134, Class I
$ 1,022,948 15.27% 09/15/96 $ 1,100,628
FHLMC Series 1134, Class H
720,982 15.27 09/15/96 767,592
FNMA REMIC Trust 1991-127, Class S
67,973 10.68 09/25/98 67,623
- --------------------------------------------------------------------------------
$ 1,935,843
- --------------------------------------------------------------------------------
Planned Amortization Class (PAC)
CMOs--29.2%
FHLMC Series 1134, Class D
$ 5,848,000 8.00% 09/15/96 $ 5,883,030
FHLMC Series 1506, Class PD
8,677,821 5.15 03/15/03(c) 8,216,942
FHLMC Series 1512, Class DA
6,274,240 4.50 02/15/03 5,857,944
FNMA REMIC Trust 1992-135, Class B
95,433 5.85 05/25/06 95,015
FNMA REMIC Trust 1992-138, Class A
3,276,728 6.00 08/25/13 3,240,815
FNMA REMIC Trust 1993-59, Class D
5,700,000 5.00 11/25/03 5,341,299
Mortgage Backed Obligations
(continued)
Collateralized Mortgage Obligations
(continued)
FNMA REMIC Trust 1993-63, Class PD
$ 6,500,000 5.75% 12/25/02 $ 6,270,290
- --------------------------------------------------------------------------------
$ 34,905,335
- --------------------------------------------------------------------------------
Planned Amortization Class Interest
Only CMOs (PAC IOs)--1.1%
FNMA REMIC Trust 1992-198,
Class K(d)
$ 72,337 1007.50% 12/25/15 $ 1,331,447
- --------------------------------------------------------------------------------
Sequential Fixed Rate
CMOs--15.1%
FHLMC Series 1167, Class F
$ 13,039,562 7.50% 11/15/21 $ 12,985,317
FHLMC Series 95, Class C
2,818,382 9.00 11/15/20 2,848,680
FNMA REMIC Trust 1989-33,
Class D
2,155,673 9.15 09/25/18 2,217,054
- --------------------------------------------------------------------------------
$ 18,051,051
- --------------------------------------------------------------------------------
Total Collateralized Mortgage
Obligations $ 56,223,676
- --------------------------------------------------------------------------------
Total Mortgage Backed Obligations
(Cost $108,504,498) $105,956,088
U.S. Treasury Obligations--10.2%
United States Treasury Notes
$ 2,000,000 6.50% 05/15/97 $ 1,994,611
9,950,000 7.50 10/31/99 10,185,135
- --------------------------------------------------------------------------------
Total U.S. Treasury Obligations
(Cost $12,170,088) $ 12,179,746
- --------------------------------------------------------------------------------
Repurchase Agreement--6.9%
Joint Repurchase Agreement
Account
$ 8,200,000 5.96% 05/01/95(c) $ 8,200,000
- --------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $8,200,000) $ 8,200,000
- --------------------------------------------------------------------------------
Total Investments
(Cost $128,874,586(e)) $126,335,834
================================================================================
</TABLE>
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
GS Short-Term Government Agency Fund (continued)
April 30, 1995
(Unaudited)
- ------------------------------------------------------ -----------------------------------------------------
=======================================================
<S> <C>
Federal Income Tax Information:
Gross unrealized gain for investments
in which value exceeds cost $ 476,485
Gross unrealized loss for investments
in which cost exceeds value (3,035,105)
- ------------------------------------------------------
Net unrealized loss $(2,558,620)
======================================================
</TABLE>
(a) Variable rate securities. Coupon rates disclosed are those which are in
effect at April 30, 1995.
(b) TBA (To Be Assigned) securities are purchased on a forward commitment basis
with an approximate (generally +/-2.5%) principal amount and no definite
maturity date. The actual principal amount and maturity date will be
determined upon settlement when the specific mortgage pools are assigned.
(c) Portions of these securities are being segregated for open TBA purchases.
(d) Represents securities with notional or nominal principal amounts. The actual
effective yields of these securities are different from the stated rates due
to the amortization of related premiums.
(e) The aggregate cost for federal income tax purposes is $128,894,454.
The percentages shown for each investment category reflect the value of
investments in that category as a percentage of total net assets.
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
Letters to Shareholders
- --------------------------------------------------------------------------------
GS Short Duration Tax-Free Fund
- --------------------------------------------------------------------------------
Fund Objective
The fund seeks to provide a high level of current income exempt from regular
federal income tax, consistent with relatively low principal volatility, through
investments in municipal securities rated single-A or better. The portfolio
seeks to maintain an average duration of two to three years and invests in
securities with remaining effective maturities of five years or less.
Market Overview: Municipals Rally Despite Areas of Uncertainty
Thus 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 three-year municipal bond (as measured by the Lehman Three-Year Municipal Bond
Index) increased from $100.34 to $100.77, while yields declined from 5.23% to
5.01%.
On the technical front, there has been a significant decrease in 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 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. 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.
Fund Performance
For the six month period ended April 30, the fund's Institutional shares
realized a total return of 2.09% (2.29% from monthly distributions and -0.20% in
price depreciation) compared with 3.42% for the fund's benchmark, the Lehman
Three-Year Municipal Bond Index (the "Index"). For the same period, the fund's
Administration shares recorded a total return of 2.01% (2.92% in monthly
distributions and -0.91% in share price depreciation). Service shares recorded a
total return of 1.89% (2.03% in monthly distributions and -0.14% in share price
depreciation).
While the fund participated in the municipal rally and delivered positive
returns, it underperformed the Index primarily because the fund was positioned
more conservatively than the Index due to our concerns regarding the volatile
environment in the municipal market.
. We emphasized pre-refunded bonds and other high-quality bonds, based on our
belief that it was particularly important to protect the portfolio from both
market risk as economic expansion continued at the beginning of the period and
from the possibility that other situations similar to Orange County could occur.
High-quality bonds typically provide greater liquidity but lower yields than
bonds of lower quality.
. We maintained a relatively high cash position for liquidity to meet
redemptions during the period.
Portfolio Composition and Investment Strategies
Portfolio Composition as of April 30, 1995*
<TABLE>
<S> <C>
Pre-refunded Bonds 31.2%
General Obligation Bonds 20.5%
Revenue Bonds 19.1%
Variable Rate Demand Notes 17.7%
Insured Revenue Bonds 11.5%
</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 a percentage of net assets.
12
<PAGE>
- --------------------------------------------------------------------------------
GS Short Duration Tax-Free Fund (continued)
- --------------------------------------------------------------------------------
. Pre-refunded Bonds: The fund's largest position during the period continued to
be in pre-refunded bonds (31.2%), significantly overweighted compared with the
Index allocation of 8%. This factor contributed slightly to the fund's returns
as spreads tightened from 20 basis points to 15 basis points. We favored pre-
refunded bonds for their high quality and liquidity, which fit our defensive
strategy during the period. As their name implies, pre-refunded bonds are bonds
that are refunded in advance of their call dates and refinanced using U.S.
government debt as collateral. Due to higher interest rates earlier in the year,
there has been a significant decrease in refinancing and therefore the supply of
new pre-refunded bonds has also declined. We believe that the relative scarcity
of pre-refunded bonds could help support their prices over time.
. Revenue Bonds: During the period under review, we increased our position in
revenue bonds from 10.4% to 19.1%, but were still significantly underweighted
compared with the Index allocation of 30% in the sector. Our underweighting was
based on the fact that the spread between revenue bonds and general obligation
bonds had become so narrow that we did not believe we would be adequately
compensated for taking on the additional risk. (Revenue bonds are issued by
municipalities to raise money for specific public projects such as highways,
hospitals, schools and bridges and are financed by the revenue stream from those
projects, whereas general obligation bonds are backed by the full taxing
authority of the municipality and are therefore considered somewhat safer.)
. Insured Revenue Bonds: We maintained an 11.5% position in revenue bonds that
are insured by independent insurance agencies (e.g., AMBAC, MBIA or FGIC) with
respect to the timely payment of principal and interest, significantly
underweighted versus the Index allocation of 30%. We emphasized insured bonds
less than in the previous period due to our overweighting in pre-refunded bonds
and cash.
. General Obligation (GO) Bonds: During the six-month period under review, our
position in GO bonds has increased from 8.2% to 20.5% as of April 30, but
remained underweighted compared with the Index allocation of 32%.
. Derivatives. Although the fund is permitted by prospectus to use certain
derivatives, including futures and options, none were used in the fund during
the period under review and we do not expect to use them in the near future.
Duration
As of April 30, the fund's duration was approximately the same as the Index
(2.67 years versus 2.65 years); however, during the course of the period, we
maintained an average duration of approximately 2.67 years, slightly under the
benchmark's average duration of 2.74 years.
Credit Quality
To provide greater liquidity, we continued to focus primarily on high-quality
securities. As of April 30, the portfolio's credit mix was 80.3% in triple-A-
rated securities, 12.2% in double-A and 7.5% in single-A. The high percentage of
triple-A-rated bonds was also the result of the emphasis on pre-refunded bonds,
which receive credit ratings based on their U.S. government debt security escrow
accounts.
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. 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.
13
<PAGE>
- --------------------------------------------------------------------------------
GS Short Duration Tax-Free Fund (continued)
- --------------------------------------------------------------------------------
Consequently, we believe municipal bonds represent good value and attractive
opportunities compared with other sectors of the fixed income market in the
months ahead.
In closing, we appreciate your support and look forward to serving you in the
years ahead.
Sincerely,
/s/ Mark G. Muller
Mark G. Muller
Portfolio Manager
GS Short Duration Tax-Free Fund
June 12, 1995
14
<PAGE>
- --------------------------------------------------------------------------------
GS Short Duration Tax-Free Fund
April 30,1995
(Unaudited)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Debt Obligations--91.1%
California--8.8%
California Revenue Anticipation Warrants (Sp1/MIG1)(f)
$3,000,000 5.75% 04/25/96 $3,035,730
Los Angeles County Tax and Revenue Anticipation Notes
(Sp1+/MIG1)
2,500,000 4.50 06/30/95 2,499,825
- --------------------------------------------------------------------------------
$5,535,555
- --------------------------------------------------------------------------------
Connecticut--4.7%
Connecticut Series A GO Bond (AA-/Aa) (f)
$3,000,000 5.00% 03/15/00 $2,998,530
- --------------------------------------------------------------------------------
Florida--14.5%
Florida State Certificates of Participation Equipment Financing
Program (A+/A)
$1,115,000 5.90% 11/15/96 $1,129,718
Lakeland, FL Electric and Water RB (FGIC) (AAA/Aaa) (e)
2,640,000 5.25 10/01/97 2,641,030
5,415,000 5.25 10/01/98 5,409,694
- --------------------------------------------------------------------------------
$9,180,442
- --------------------------------------------------------------------------------
Georgia--5.1%
Georgia State Series F GO Bond (AA+/Aaa)
$3,000,000 6.50% 12/01/99 $3,204,450
- --------------------------------------------------------------------------------
Illinois--7.7%
Chicago, IL Met Water Prerefunded GO Bond (AAA/Aaa)(a)(f)
$2,500,000 6.80% 01/01/08 $2,724,350
Illinois State Series K RB (AAA/Aaa)
2,000,000 6.75 06/15/04 2,165,000
- --------------------------------------------------------------------------------
$4,889,350
- --------------------------------------------------------------------------------
Maryland--5.7%
Prince Georges County, MD Individual Development Authority Lease
Prerefunded (MBIA)(AAA/Aaa)(a)
$1,000,000 7.00% 06/30/19 $1,094,310
Washington Suburban Sanitation District Construction Prerefunded
(AAA/Aaa)(a)
2,300,000 6.75 12/01/02 2,509,162
- --------------------------------------------------------------------------------
$3,603,472
- --------------------------------------------------------------------------------
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Massachusetts--6.4%
Boston, MA GO Bond (A/A)
$ 420,000 7.75% 10/01/95 $ 425,589
595,000 9.50 03/01/96 614,760
Massachusetts Bay Transportation Authority
Prerefunded (AAA/Aaa)(a)
2,750,000 7.10 03/01/12 3,009,050
- --------------------------------------------------------------------------------
$4,049,399
- --------------------------------------------------------------------------------
Minnesota--1.9%
Minnesota State GO Bond (Aa1/AA+)
$1,140,000 6.40% 08/01/99 $1,205,960
- --------------------------------------------------------------------------------
New Jersey--5.0%
New Jersey State Turnpike Authority Series A RB (A/A)
$3,000,000 6.20% 01/01/00 $3,132,450
- --------------------------------------------------------------------------------
New York--8.9%
Metropolitan Transportation Authority Prerefunded (AAA/Aaa)(a)
$1,000,000 8.38% 07/01/16 $1,063,460
New York , NY Series B Revenue Anticipation Note (Sp1/MIG1)
2,300,000 4.75 06/30/95 2,300,874
New York State Medical Care Facility Prerefunded (MBIA) (AAA/Aaa)(a)
2,000,000 7.45 02/15/29 2,246,420
- --------------------------------------------------------------------------------
$5,610,754
- --------------------------------------------------------------------------------
Oklahoma--4.7%
Enid, OK Hospital Authority RB (Societe Generale LOC) (NR/Aa1)
$2,900,000 7.20%(b) 10/01/15 $2,953,621
- --------------------------------------------------------------------------------
Pennsylvania--4.9%
Montgomery County, PA Higher Education and Health Authority
Hospital Prerefunded (NR/AAA)(a)
$2,800,000 7.38% 12/01/19 $3,125,528
- --------------------------------------------------------------------------------
South Carolina--4.5%
South Carolina State GO (AA+/Aaa)
$2,700,000 6.50% 03/01/98 $2,832,624
- --------------------------------------------------------------------------------
Utah--6.1%
Salt Lake City, UT Hospital Series A Prerefunded (AAA/NR)(a)
$2,000,000 7.60% 02/15/20 $2,217,260
</TABLE>
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
GS Short Duration Tax-Free Fund (continued)
April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Utah (continued)
West Valley City, UT Municipal Building Authority Lease
Prerefunded (AAA/Aaa)(a)
$1,500,000 7.70% 01/15/10 $ 1,665,285
- --------------------------------------------------------------------------------
$ 3,882,545
- --------------------------------------------------------------------------------
Washington--2.1%
Washington State Public Power Supply Series B RB (AA/Aa)
$1,250,000 7.20% 07/01/99 $ 1,336,463
- --------------------------------------------------------------------------------
Total Debt Obligations
(Cost $57,064,889) $57,541,143
================================================================================
Short Term Obligations--19.9%
Illinois Development Authority General Obligation
Fund (A-1+/VMIG1)(c)
$3,000,000 4.10% 05/10/95 $ 3,000,000
Massachusetts State Series B VRDN (A-1+/VMIG1)(c)
3,000,000 4.55 05/01/95 3,000,000
Monroe County, GA Pollution Control VRDN (A-1/A1)(c)
2,000,000 1.80 05/01/95 2,000,000
New York, NY Series B VRDN(A-1+/VMIG1)(c)
500,000 3.75 05/01/95 500,000
New York, NY Series C VRDN (A-1+/VMIG1)(c)
1,600,000 3.90 05/01/95 1,600,000
Peninsula Port Authority, VA VRDN(NR/P1)(c)
1,300,000 4.15 05/01/95 1,300,000
Sweetwater County, WY Pollution Control VRDN(A-1/A1)(c)
1,200,000 2.95 05/01/95 1,200,000
- --------------------------------------------------------------------------------
Total Short Term Obligations
(Cost $12,600,000) $12,600,000
- --------------------------------------------------------------------------------
Total Investments
(Cost $69,664,889(d)) $70,141,143
================================================================================
Federal Income Tax Information:
Gross unrealized gain for investments in which value
exceeds cost $ 509,056
Gross unrealized loss for investments in which cost
exceeds value (32,802)
- --------------------------------------------------------------------------------
Net unrealized gain $ 476,254
================================================================================
</TABLE>
(a) Pre-refunded bonds have been collateralized by U.S. Treasury securities
which are held in escrow and used to pay principal and interest on the
tax-exempt issue and to retire the bonds in full at the earliest refunding
date. The maturity date shown for these securities is the earliest refunding
date.
(b) Variable rate security. Coupon rate disclosed is that which is in effect at
April 30, 1995.
(c) Securities with "Put" features with resetting interest rates. Maturity dates
disclosed are the next reset interest dates.
(d) The amount stated also represents aggregate cost for federal income tax
purposes.
(e) When-issued security.
(f) Portions of these securities are being segregated for when-issued
securities.
The percentages shown for each category reflect the value of investments in that
category as a percentage of total net assets.
Investment Abbreviations:
FGIC - Insured by Financial Guaranty Insurance Co.
GO - General Obligation
LOC - Letter of Credit
MBIA - Insured by Municipal Bond Investors Assurance
NR - Not Rated
RB - Revenue Bond
VRDN - Variable Rate Demand Note
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
Letter to Shareholders
- --------------------------------------------------------------------------------
GS Core Fixed Income Fund
- --------------------------------------------------------------------------------
Fund Objective
The GS Core Fixed Income Fund seeks to achieve a total return that exceeds the
total return of the Lehman Brothers Aggregate Bond Index (the "Index") through a
diversified portfolio of fixed income securities. The fund may invest in U.S.
Treasury, agency, corporate, mortgage-backed and asset-backed securities, as
well as in a limited amount of nondollar-denominated fixed income securities.
While the fund's performance will be measured against the Index, the portfolio
is not required to hold the same securities or match the sector weightings of
the Index. Every security in the portfolio must be rated at least investment
grade by an independent rating agency, or be considered to be of equivalent
quality by Goldman Sachs Asset Management at the time it is purchased.
Performance Review
For the six-month period ended April 30, the GS Core Fixed Income Fund had a
total return of 7.09% based on net asset value (NAV) (3.63% from monthly
distributions and 3.46% from share price appreciation) compared with 7.01% for
the Lehman Brothers Aggregate Bond Index.
The fund's positive performance reflects the generally strong performance of
the various bond markets in which the fund invested, with its NAV increasing
$0.31 during the period. The fund outperformed the Index by eight basis points
during the period primarily due to its overweighting in non-Treasury sectors
compared with the Index. In particular, the fund's overweighting in corporate
bonds, mortgage-backed securities and asset-backed securities contributed
incremental yield to the portfolio.
We are also pleased to note that for the 12 months ended April 30, the fund
placed in the top quartile of its peer group, ranking 13th out of 75 funds in
the corporate debt BBB fund category according to Lipper Analytical Services,
Inc. (Lipper rankings do not take sales loads into account. Despite its
assignment to the BBB category, the fund had only 19% of its assets in BBB
securities.)
Portfolio Composition and Investment Strategies
Portfolio Composition as of April 30, 1995*
<TABLE>
<S> <C>
Corporate Bonds 28.4%
Fixed Rate Mortgage
Pass-Throughs 26.5%
U.S. Treasuries 23.9%
ABS 9.3%
Agency Debentures 4.8%
PAC CMOs 2.7%
Emerging Market Debt 2.5%
ARMs 1.5%
Cash 0.4%
</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 holding as a percentage of net assets.
. Corporate bonds continued to be the fund's largest sector holding, accounting
for 28.4% of the fund's assets compared with the Index weighting of 16%.
While we remain significantly overweighted in the sector, during the month of
April we reduced our position in corporates by approximately 5%. Our strategy
was based on a more cautious outlook for the sector due to the historically
tight spreads and a slowing economy. Within the sector, we continued to
emphasize the industrial and financial subsectors, where we outperformed the
Index through superior security selection.
. The fund's second largest position in fixed rate, pass-through mortgages
(26.5%) was roughly comparable to the
17
<PAGE>
- --------------------------------------------------------------------------------
GS Core Fixed Income Fund (continued)
- --------------------------------------------------------------------------------
benchmark's allocation of 28.6%. However, our security selection differed from
the Index. We focused on seasoned mortgages that are attractive relative to
newly issued mortgages and underweighted 15-year mortgage-backed securities due
to their tight option-adjusted spreads. The latter strategy had a negative
effect on the fund's performance early in the year when the 15-year sector
outperformed. In terms of issuers, we plan to shift our overweighting to favor
Government National Mortgage Association (GNMA) securities relative to those
issued by the Federal Home Loan Mortgage Corporation (FHLMC) and the Federal
National Mortgage Corporation (FNMA) as GNMAs have cheapened recently.
. We maintained our position in short-duration, asset-backed securities (ABS) -
primarily credit card receivables - at 9.3% versus 1.3% for the Index. We find
ABS attractive due to their high credit quality, relatively stable spreads and
incremental yield over Treasuries.
. We added a new position in emerging market debt (2.5%) to the portfolio in
April to take advantage of opportunities we identified as being particularly
attractive. Specifically, the fund has invested in the debentures of Ecopetrol
and FEN in the Republic of Colombia and in CAF (Corporacion Andina de Fomento),
a regional development bank based in Caracas, Venezuela. These bonds were
inexpensive relative to other comparably rated credits. The technical balance
between supply and demand in emerging market debt improved dramatically in
April, as both local and foreign investors seeking yield began to participate in
those markets.
. We also maintained small positions in adjustable rate mortgage securities
(ARMs) (1.5%) and planned amortization class collateralized mortgage
obligations (PAC CMOs) (2.7%), both of which provided incremental yield over
Treasuries. PAC CMOs also provide relatively stable cash flows that contribute
to the fund's principal stability.
. We have continued to target the fund's duration (4.7 years as of April 30) to
that of the Index.
. Credit Quality: As of April 30, 58% of the portfolio was invested in
government securities, with an additional 9% in AAA and 2% in AA securities,
much as it was at the time of our last shareholder report on October 31, 1994.
The fund remained overweighted in lower quality, investment grade credits - A
and BBB securities - (31% versus 13% for the Index) because of their potential
to add incremental yield to the portfolio.
. Prudent Use of Derivatives: Recently, much has been written about derivatives
and their potential risks. We believe that when used carefully in small amounts,
derivatives can enhance the fund's performance. During the period under review,
the fund held a small position in PAC CMOs (2.7%), considered to be a lower risk
mortgage derivative. As noted previously, the fund also held 9.3% in asset-
backed securities.
Market Outlook
After corporate bonds tightened significantly versus Treasuries, we became
more cautious about the sector based on the general economic slowdown, which
makes it likely the momentum in corporate profits will decline in the near term.
We are also concerned that any further increases in short-term rates later in
the year could negatively affect corporate debt coverage ratios. Therefore, we
expect to take advantage of any opportunities to lighten our exposure to the
sector as spreads tighten. Going forward, we have a neutral to constructive view
of mortgage-backed securities, where supply has declined significantly. We
expect to continue to hold asset-backed and agency securities to add incremental
yield over Treasuries to the portfolio.
18
<PAGE>
- --------------------------------------------------------------------------------
GS Core Fixed Income Fund (continued)
- --------------------------------------------------------------------------------
Distribution Policy
During the period under review, the fund distributed $0.33 per share compared
with $0.32 during the six months ended on October 31, 1994. The fund distributes
substantially all of its investment company taxable income.
As always, we value your support and we will continue to do our best to help
you meet your investment objectives.
Sincerely,
/s/ Jonathan A. Beinner
Jonathan A. Beinner
/s/ Richard H. Buckholz
Richard H. Buckholz
/s/ C. Richard Lucy
C. Richard Lucy
/s/ Theodore T. Sotir
Theodore T. Sotir
Portfolio Managers
GS Core Fixed Income Portfolio
June 12, 1995
19
<PAGE>
Statement of Investments
- --------------------------------------------------------------------------------
GS Core Fixed Income Fund
April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Corporate Bonds--28.6%
Finance Bonds--17.3%
Bancponce Financial Corp.
$500,000 5.17% 07/15/96 $ 489,735
BankAmerica Corp
200,000 4.99 05/17/99 196,304
Chrysler Financial Corp.
300,000 8.04 01/30/97 303,705
Comdisco Inc.
300,000 9.75 01/15/97 311,943
200,000 7.33 03/06/97 199,462
Continental Bank N.A.
525,000 11.25 07/01/01 580,713
Corp. Andina de Fomento
140,000 7.25 04/30/98 131,114
Countrywide Funding Corp.
250,000 8.43 11/16/99 258,455
Financiera Energy Nacional
420,000 6.63 12/13/96 405,300
First USA
200,000 5.05 12/27/95 198,006
400,000 5.05 12/29/95 395,976
Ford Capital Corp.
200,000 9.38 01/01/98 210,298
250,000 9.50 07/01/01 272,463
General Motors Acceptance Corp.
275,000 7.63 03/09/98 277,019
Golden West Financial Corp.
350,000 8.62 08/30/98 362,488
Security Pacific Corp.
95,000 11.50 11/15/00 110,963
- --------------------------------------------------------------------------------
$4,703,944
- --------------------------------------------------------------------------------
Industrial Bonds--10.3%
Auburn Hills Trust
$150,000 12.00% 05/01/20 $ 205,502
Empresa Col Petroleos
120,000 7.25 07/08/98 112,475
News America Holdings Inc.
500,000 7.50 03/01/00 495,235
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Corporate Bonds (continued)
Industrial Bonds (continued)
RJR Nabisco Inc.
$135,000 8.00% 01/15/00 $ 135,776
150,000 8.62 12/01/02 149,097
Tele-Communications Inc.
400,000 6.10 05/15/96 396,448
Tenneco Inc.
450,000 10.00 08/01/98 482,558
Time Warner Inc.
825,000 7.45 02/01/98 821,057
- --------------------------------------------------------------------------------
$2,798,148
- --------------------------------------------------------------------------------
Utility Bonds--1.0%
Panhandle Eastern Pipeline
$275,000 9.88% 10/15/96 $ 279,846
- --------------------------------------------------------------------------------
Total Corporate Bonds
(Cost $7,743,442) $7,781,938
- --------------------------------------------------------------------------------
Asset Backed Securities--9.1%
Discover Card Trust Series 1991-C, Class A
$1,020,000 7.20% 04/16/98 $1,020,479
Ford Credit Auto Loan Master Trust Series 1992-3, Class A
200,000 5.63 10/15/97 199,094
Premier Auto Trust Series 1995-1, Class A4
260,000 7.85 02/04/98 264,912
Standard Credit Card Master Trust Series 1992-2, Class A
440,000 5.88 07/07/95 439,520
Standard Credit Card Trust, Series 1990-5, Class A
550,000 9.38 08/10/96 551,634
- --------------------------------------------------------------------------------
Total Asset Backed Securities
(Cost $2,503,968) $2,475,639
- --------------------------------------------------------------------------------
Government Bonds--1.4%
Province of Ontario
$ 100,000 15.75% 03/15/12 $ 119,477
Province of Quebec
220,000 13.25 09/15/14 269,843
- --------------------------------------------------------------------------------
Total Government Bonds
(Cost $405,561) $ 389,320
- --------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
GS Core Fixed Income Fund (continued)
April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Principal Interest Maturity
Amount Rate Date Value
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Mortgage Backed Obligations--30.7%
Federal National Mortgage Association (FNMA) Remic Trust Series
1993-58, Class G
$ 500,000 5.50% 12/25/20 $ 443,540
Federal Home Loan Mortgage Corp. (FHLMC)
1,000,000 8.00 TBA-30 year(b) 997,500
600,000 9.00 TBA-30 year(b) 619,687
FHLMC Series 1360, Class PG
300,000 7.00 05/15/19 286,263
Fixed Rate Government National Mortgage Association (GNMA)
100,114 9.00 TBA-30 year(b) 104,557
1,039,863 7.50 TBA-30 year(b) 1,014,842
2,000,000 8.00 TBA-30 year(b) 1,998,124
Fixed Rate FNMA
500,000 7.00 TBA-30 year(b) 475,621
1,500,000 7.50 TBA-30 year(b) 1,464,375
585,383 7.00 11/01/24 556,845
Prudential Home Mortgage Series 1992-24, Class A1(a)
401,256 7.51 09/25/22 411,071
- --------------------------------------------------------------------------------
Total Mortgage Backed Obligations
(Cost $8,331,634) $ 8,372,425
- --------------------------------------------------------------------------------
U.S. Government Agency Obligations--4.7%
FNMA Medium Term Notes(a)
$ 270,000 5.85% 02/02/98 $ 262,247
440,000 5.62 02/23/98 424,587
620,000 5.40 12/30/98 586,640
- --------------------------------------------------------------------------------
Total U.S. Government Agency Obligations
(Cost $1,235,399) $ 1,273,474
- --------------------------------------------------------------------------------
U.S. Treasury Obligations--23.7%
United States Treasury Bonds
$ 10,000 10.75% 02/15/03 $ 12,191
80,000 11.13 08/15/03 100,100
200,000 7.88 02/15/21 208,874
60,000 8.00 11/15/21 63,647
United States Treasury Interest Only Stripped Securities(c)
40,000 6.72 05/15/98 32,683
2,050,000 7.52 08/15/09 714,712
290,000 7.06 02/15/19 47,995
1,710,000 7.68 05/15/20 260,365
U.S. Treasury Obligations (continued)
United States Treasury Notes
$ 470,000 7.50% 10/31/99 $ 481,169
1,250,000 6.38 08/15/02 1,205,275
1,750,000 6.25 02/15/03 1,666,333
United States Treasury Principal Only Stripped Securities(c)
2,320,000 6.48 11/15/04 1,176,668
820,000 6.97 08/15/15 178,156
250,000 7.67 02/15/16 52,273
150,000 7.03 11/15/18 25,421
1,520,000 7.01 08/15/20 227,058
- --------------------------------------------------------------------------------
Total U.S. Treasury Obligations
(Cost $6,364,701) $ 6,452,920
- --------------------------------------------------------------------------------
Repurchase Agreement--15.8%
Joint Repurchase Agreement Account
$4,300,000 5.96% 05/01/95 $ 4,300,000
- --------------------------------------------------------------------------------
Total Repurchase Agreement
(Cost $4,300,000) $ 4,300,000
================================================================================
Total Investments
(Cost $30,884,705(d)) $31,045,716
================================================================================
Federal Income Tax Information:
Gross unrealized gain for investments in which value
exceeds cost $ 261,861
Gross unrealized loss for investments in which cost
exceeds value (100,850)
- --------------------------------------------------------------------------------
Net unrealized gain $ 161,011
================================================================================
</TABLE>
(a) Variable rate securities. Coupon rates disclosed are those which are in
effect at April 30, 1995.
(b) TBA (To Be Assigned) securities are purchased on a forward commitment basis
with an approximate (generally +/-2.5%) principal amount and no definite
maturity date. The actual principal amount and maturity date will be
determined upon settlement when the specific mortgage pools are assigned.
(c) The interest rate disclosed for these securities represents effective yields
to maturity.
(d) The amount stated also represents aggregate cost for federal income tax
purposes.
The percentages shown for each category reflect the value of investments in
that category as a percentage of total net assets.
The accompanying notes are an integral part of these financial statements.
21
<PAGE>
Goldman Sachs Trust
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
GS Adjustable GS Short-Term GS Short GS Core
Rate Government Duration Fixed
Government Agency Tax-Free Income
Agency Fund Fund Fund Fund
-----------------------------------------------------------
<S> <C> <C> <C> <C>
Assets:
Investments in securities, at value (cost $700,510,252, $128,874,586,
$69,664,889 and $30,884,705, respectively) $688,125,424 $126,335,834 $70,141,143 $31,045,716
Receivables:
Investment securities sold 2,038,280 1,542,050 4,972,485 5,430,505
Interest 5,070,398 1,179,782 1,065,303 339,168
Fund shares sold 415,923 -- -- --
Variation margin 100,818 -- -- --
Cash 49,616 85,470 87,941 12,682
Deferred organization expenses, net 35,659 -- 54,913 90,994
Other assets 436,185 529,370 108,683 57,884
- ----------------------------------------------------------------------------------------------------------------------------------
Total assets 696,272,303 129,672,506 76,430,468 36,976,949
Liabilities:
Payables:
Dividends 1,945,191 294,499 110,455 --
Investment securities purchased -- 9,774,687 13,040,372 9,692,820
Fund shares repurchased 252,442 39,743 9,067 --
Investment adviser fees 222,841 41,324 21,070 8,806
Transfer agent fees 22,284 -- 2,107 881
Accrued expenses and other liabilities 151,781 55,974 63,480 54,686
- ----------------------------------------------------------------------------------------------------------------------------------
Total liabilities 2,594,539 10,206,227 13,246,551 9,757,193
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets:
Paid-in capital 749,790,812 134,025,088 68,096,995 27,467,859
Accumulated undistributed (distributions in excess of) net
investment income (1,339,770) 934,381 44,725 20,967
Accumulated net realized loss on investment and futures transactions (41,569,147) (12,954,438) (5,434,057) (430,081)
Net unrealized gain (loss) on investments and futures (13,204,131) (2,538,752) 476,254 161,011
- ----------------------------------------------------------------------------------------------------------------------------------
Net assets $693,677,764 $119,466,279 $63,183,917 $27,219,756
==================================================================================================================================
Net asset value, offering and redemption price per share:
Institutional shares $9.77 $9.71 $9.77 $9.55
Administration shares $9.77 -- $9.77 --
Service shares -- -- $9.77 --
==================================================================================================================================
Shares Outstanding:
Institutional shares 70,432,805 12,301,270 6,424,811 2,849,533
Administration shares 560,936 -- 5,057 --
Service shares -- -- 36,126 --
- ----------------------------------------------------------------------------------------------------------------------------------
Total shares of beneficial interest outstanding, $.001 par value
(unlimited number of shares authorized) 70,993,741 12,301,270 6,465,994 2,849,533
==================================================================================================================================
</TABLE>
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
- -------------------------------------------------------------------------------
Statement of Operations
For the Six Months Ended April 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
GS Adjustable GS Short-Term GS Short GS Core
Rate Government Duration Fixed
Government Agency Tax-Free Income
Agency Fund Fund Fund Fund
-------------------------------------------------
<S> <C> <C> <C> <C>
Investment income:
Interest $22,123,512 $5,959,687 $1,722,557 $946,679
- -------------------------------------------------------------------------------
Expenses:
Investment adviser fees(a) 1,518,058 304,308 137,557 49,920
Transfer agent fees 151,806 -- 13,756 4,992
Custodian fees 69,158 28,863 23,403 22,169
Professional fees 34,301 24,602 24,856 23,971
Registration fees 26,553 28,376 29,336 9,478
Amortization of deferred
organization expenses 14,570 -- 11,243 12,867
Trustee fees 18,716 3,212 1,549 520
Other 132,621 32,911 24,028 13,292
- -------------------------------------------------------------------------------
Total expenses 1,965,783 422,272 265,728 137,209
Less--Expenses reimbursable
by Goldman Sachs (199,467) (79,925) (110,976) (81,049)
- -------------------------------------------------------------------------------
Net expenses 1,766,316 342,347 154,752 56,160
Administration share fees 6,971 425 1,185 --
Service share fees -- -- 1,797 --
- -------------------------------------------------------------------------------
Net expenses and share fees 1,773,287 342,772 157,734 56,160
- -------------------------------------------------------------------------------
Net investment income 20,350,225 5,616,915 1,564,823 890,519
- -------------------------------------------------------------------------------
Realized and unrealized gain
(loss) on investment and
futures transactions:
Net realized gain (loss) from:
Investment transactions (5,114,721) (3,010,620) (1,434,862) 28,245
Futures transactions (2,367,701) -- -- --
Net change in unrealized gain
(loss) on:
Investments 11,666,354 3,156,480 1,147,956 819,226
Futures (819,303) -- -- --
- -------------------------------------------------------------------------------
Net realized and unrealized
gain (loss) on investment
and futures transactions 3,364,629 145,860 (286,906) 847,471
- -------------------------------------------------------------------------------
Net increase in net assets
resulting from operations $23,714,854 $ 5,762,775 $ 1,277,917 $1,737,990
===============================================================================
</TABLE>
(a) During the six months ended April 30, 1995, the effect of voluntary
limitations of fees by the investment adviser amounted to $76,077 for the
GS Short-Term Government Agency Fund.
The accompanying notes are an integral part of these financial statements.
23
<PAGE>
Goldman Sachs Trust
- -------------------------------------------------------------------------------
Statements of Changes in Net Assets
For the Six Months Ended April 30, 1995
(Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GS Adjustable GS Short-Term GS Short GS Core
Rate Government Duration Fixed
Government Agency Tax-Free Income
Agency Fund Fund Fund Fund(a)
==========================================================
<S> <C> <C> <C> <C>
From Operations:
Net investment income $ 20,350,225 $ 5,616,915 $ 1,564,823 $ 890,519
Net realized gain (loss) from investment and futures transactions (7,482,422) (3,010,620) (1,434,862) 28,245
Net change in unrealized gain on investments and futures 10,847,051 3,156,480 1,147,956 819,226
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 23,714,854 5,762,775 1,277,917 1,737,990
- ----------------------------------------------------------------------------------------------------------------------------------
Distributions to Shareholders from:
Net investment income
Institutional shares (20,949,437) (5,153,045) (1,530,577) (889,637)
Administration shares (148,563) (11,164) (19,692) --
Service shares -- -- (14,554) --
In excess of net investment income
Institutional shares (1,330,392) -- -- --
Administration shares (9,378) -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (22,437,770) (5,164,209) (1,564,823) (889,637)
- ----------------------------------------------------------------------------------------------------------------------------------
From Share Transactions:
Proceeds from sales of shares 251,469,532 40,228,013 30,640,490 1,119,895
Proceeds from reorganization 20,385,309 -- -- --
Reinvestment of dividends and distributions 10,470,575 2,890,074 1,173,382 889,236
Cost of shares repurchased (539,408,016) (118,075,805) (55,957,588) (145,470)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from share
transactions (257,082,600) (74,957,718) (24,143,716) 1,863,661
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) (255,805,516) (74,359,152) (24,430,622) 2,712,014
Net Assets:
Beginning of period 949,483,280 193,825,431 87,614,539 24,507,742
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $ 693,677,764 $ 119,466,279 $ 63,183,917 $27,219,756
==================================================================================================================================
Accumulated undistributed (distributions in excess of) net investment
income $ (1,339,770) $ 934,381 $ 44,725 $ 20,967
==================================================================================================================================
Summary of Share Transactions:
Institutional Shares:
Shares sold 25,742,878 4,173,183 1,533,897 117,441
Shares exchanged in connection with reorganization 1,926,438 -- -- --
Reinvestment of dividends and distributions 1,070,557 301,616 119,786 94,926
Shares repurchased (55,118,568) (12,212,809) (3,777,815) (15,688)
- ----------------------------------------------------------------------------------------------------------------------------------
(26,378,695) (7,738,010) (2,124,132) 196,679
- ----------------------------------------------------------------------------------------------------------------------------------
Administration Shares:
Shares sold 41,560 165 -- --
Shares exchanged in connection with reorganization 159,814 -- -- --
Reinvestment of dividends and distributions 5,411 23 156 --
Shares repurchased (360,696) (75,889) (390,106) --
- ----------------------------------------------------------------------------------------------------------------------------------
(153,911) (75,701) (389,950) --
- ----------------------------------------------------------------------------------------------------------------------------------
Service Shares:
Shares sold -- -- 1,610,144 --
Reinvestment of dividends and distributions -- -- 402 --
Shares repurchased -- -- (1,578,916) --
- ----------------------------------------------------------------------------------------------------------------------------------
-- -- 31,630 --
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (26,532,606) (7,813,711) (2,482,452) 196,679
==================================================================================================================================
</TABLE>
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets (continued)
For the Year Ended October 31, 1994
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GS Adjustable GS Short-Term GS Short GS Core
Rate Government Duration Fixed
Government Agency Tax-Free Income
Agency Fund Fund Fund Fund(a)
=====================================================================
<S> <C> <C> <C> <C>
From Operations:
Net investment income $ 74,486,356 $ 15,104,529 $ 4,367,575 $ 912,083
Net realized loss from investment, option and
futures transactions (21,946,744) (9,489,099) (3,998,966) (458,326)
Net change in unrealized loss on investments and options (23,081,906) (3,394,603) (773,951) (658,215)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations 29,457,706 2,220,827 (405,342) (204,458)
- --------------------------------------------------------------------------------------------------------------------------------
Distributions to Shareholders from:
Net investment income
Institutional shares (73,960,549) (14,220,333) (4,170,854) (912,083)
Administration shares (304,939) (674,883) (193,928) --
Service shares -- -- (2,793) --
Net realized gain on investment, option and future
transactions
Institutional shares -- (1,416,326) (931,790) --
Administration shares -- (66,034) (784) --
- --------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (74,265,488) (16,377,576) (5,300,149) (912,083)
- --------------------------------------------------------------------------------------------------------------------------------
From Share Transactions:
Proceeds from sales of shares 1,013,097,417 97,865,803 117,286,528 24,765,017
Reinvestment of dividends and distributions 30,771,600 10,376,478 4,009,244 911,363
Cost of shares repurchased (2,815,775,329) (276,458,244) (144,689,428) (52,097)
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
share transactions (1,771,906,312) (168,215,963) (23,393,656) 25,624,283
- --------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) (1,816,714,094) (182,372,712) (29,099,147) 24,507,742
Net Assets:
Beginning of period 2,766,197,374 376,198,143 116,713,686 --
- --------------------------------------------------------------------------------------------------------------------------------
End of period $ 949,483,280 $ 193,825,431 $ 87,614,539 $24,507,742
================================================================================================================================
Accumulated undistributed
net investment income $ 747,775 $ 481,675 $ 44,725 $ 20,085
================================================================================================================================
Summary of Share Transactions:
Institutional Shares:
Shares sold 101,283,294 9,816,887 9,879,219 2,561,774
Reinvestment of dividends and distributions 3,103,267 1,050,930 399,664 96,676
Shares repurchased (283,651,840) (26,290,525) (13,045,936) (5,596)
- --------------------------------------------------------------------------------------------------------------------------------
(179,265,279) (15,422,708) (2,767,053) 2,652,854
- --------------------------------------------------------------------------------------------------------------------------------
Administration Shares:
Shares sold 824,029 12,803 1,221,381 --
Reinvestment of dividends and distributions 10,167 276 517 --
Shares repurchased (651,947) (1,563,118) (915,914) --
- --------------------------------------------------------------------------------------------------------------------------------
182,249 (1,550,039) 305,984 --
- --------------------------------------------------------------------------------------------------------------------------------
Service Shares:
Shares sold -- -- 468,342 --
Reinvestment of dividends and distributions -- -- 22 --
Shares repurchased -- -- (463,868) --
- --------------------------------------------------------------------------------------------------------------------------------
-- -- 4,496 --
- --------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in shares outstanding (179,083,030) (16,972,747) (2,456,573) 2,652,854
================================================================================================================================
</TABLE>
(a)For the period from January 5, 1994 (Commencement of Operations) to
October 31, 1994.
The accompanying notes are an integral part of these financial statements.
25
<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 GS Adjustable Rate Government Agency Fund, GS Short-Term
Government Agency Fund, GS Short Duration Tax-Free Fund and GS Core Fixed Income
Fund, collectively, ("the Funds"). The Funds are no-load, diversified portfolios
of the Trust offering three classes of shares - Institutional shares,
Administration shares and Service shares.
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 mortgage backed and asset backed obligations are valued based
on yield equivalents, a pricing matrix or other sources, under valuation
procedures established by the Trust's Board of Trustees. Other portfolio
securities for which accurate market quotations are readily available are valued
on the basis of quotations furnished by a pricing service or provided by dealers
in such securities for the GS Short Duration Tax-Free and GS Core Fixed Income
Funds. Portfolio securities for which accurate market quotations are not
readily available are valued in accordance with the Trust's valuation
procedures. Short-term debt obligations maturing in sixty days or less are
valued at amortized cost.
B. Security Transactions and Investment Income
-----------------------------------------------
Security transactions are recorded on trade date. Realized gains and losses on
sales of portfolio securities are calculated on the identified cost basis.
Interest income is recorded on the basis of interest accrued. Market premiums
resulting from the purchase of long-term debt securities are amortized to
interest income over the life of the security with a corresponding decrease in
the cost basis of that security for GS Short Duration Tax-Free Fund. Market
discounts and market premiums on debt securities, other than mortgage backed
securities, are amortized to interest income over the life of the security with
a corresponding adjustment in the cost basis of that security for GS Core Fixed
Income Fund. Premiums on interest-only securities and on collateralized mortgage
obligations with nominal principal amounts are amortized, on an effective yield
basis, over the expected lives of the respective securities, taking into account
actual principal prepayment experience and estimates of future principal
prepayments. Certain mortgage security paydown gains and losses are taxable as
ordinary income. Such paydown gains and losses increase or decrease taxable
ordinary income available for distribution and are classified as interest income
in the accompanying Statements of Operations. Original issue discounts 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.
C. Mortgage Dollar Rolls
-------------------------
The Funds, with the exception of the GS Short Duration Tax-Free 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. However, the Fund
benefits to the extent of any price received for the securities sold and the
lower forward price for the future purchase (often referred to as the "drop") or
fee income plus the interest earned on the cash proceeds of the securities sold
until the settlement date of the forward purchase. The Fund will hold and
maintain in a segregated account, until the settlement date, cash or liquid,
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
26
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
rolls as two separate transactions; one involving the purchase of a security and
a separate transaction involving a sale.
D. Futures Contracts
---------------------
The Funds, with the exception of the GS Short-Term Government Agency Fund, may
enter into financial futures contracts for hedging purposes. Upon entering into
a futures contract, a Fund is 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 Fund 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 by the Fund. When
entering into a closing transaction, the Fund will realize, for book purposes, 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 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.
E. Deferred Organization Expenses
----------------------------------
Organization-related costs are being amortized on a straight-line basis over a
period of five years.
F. 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.
Shareholders of Administration shares and Service shares bear all expenses and
fees paid to service organizations for their services with respect to such
shares as well as other expenses (subject to expense limitations) which are
directly attributable to such shares.
G. Federal Taxes
-----------------
It is each Fund's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute each
year substantially all of its investment company taxable and tax-exempt income
to its shareholders. Accordingly, no federal tax provisions are required. The
characterization of distributions to shareholders for financial statement
purposes as either from or in excess of net investment income or net realized
gain on investment transactions, or from capital, depends on the type of
book/tax differences that may exist as well as timing differences associated
with having different book and tax year ends.
At April 30, 1995, the Funds had approximately the following amounts of
capital loss carryforward for U.S. Federal tax purposes:
<TABLE>
<CAPTION>
Year of
Fund Amount Expiration
- --------------------------------------- -------- ------------
<S> <C> <C>
GS Adjustable $37,818,000 2000-2002
Government Agency Fund
GS Short-Term Government $11,126,000 2002
Agency Fund
GS Short Duration Tax-Free $3,999,000 2002
Fund
GS Core Fixed Income Fund $447,000 2002
</TABLE>
These amounts are available to be carried forward to offset future capital
gains to the extent permitted by applicable laws or regulations.
3. Agreements
Goldman Sachs Funds Management, L.P. ("GSFM"), an affiliate of Goldman,
Sachs & Co. ("Goldman Sachs"),
27
<PAGE>
Goldman Sachs Trust
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
serves as the investment adviser for the GS Adjustable Rate Government Agency
and GS Short-Term Government Agency Funds pursuant to Investment Advisory
Agreements. Goldman Sachs Asset Management ("GSAM"), a separate operating
division of Goldman Sachs, serves as the investment adviser for the GS Short-
Duration Tax-Free and GS Core Fixed Income Funds pursuant to Investment Advisory
Agreements. Under the Investment Advisory Agreements, the adviser, subject to
the general supervision of the Trust's Board of Trustees, manages the Funds'
portfolios and provides for the administration of the Funds' other affairs. As
compensation for the services rendered under the Investment Advisory Agreements
and the assumption of the expenses related thereto, the adviser is entitled to a
fee, computed daily and payable monthly at an annual rate equal to .40% of
average daily net assets of GS Adjustable Rate Government Agency, GS Short
Duration Tax-Free and GS Core Fixed Income Funds and .50% of average daily net
assets of GS Short-Term Government Agency Fund. Until further notice, GSFM has
voluntarily agreed not to impose .10% of its investment advisory fee for GS
Short-Term Government Agency Fund. For the period ended April 30, 1995,
investment advisory fees of $76,077 were waived for GS Short-Term Government
Agency Fund.
The adviser has voluntarily agreed to limit certain of the Funds' expenses
(excluding investment advisory fees, taxes, interest, brokerage, litigation,
fees paid to service organizations, indemnification and other extraordinary
expenses) to the extent that such expenses exceed .05% per annum of each Fund's
average daily net assets. The amounts reimbursable to the GS Short-Term
Government Agency, GS Short-Duration-Tax-Free and the GS Core Fixed Income Funds
at April 30, 1995 were approximately $10,000, $29,000 and $23,000, respectively,
and are included in "Other assets" in the accompanying Statements of Assets and
Liabilities.
Goldman Sachs serves as Distributor of the shares of the Funds pursuant to a
Distribution Agreement and receives no compensation in this capacity. Goldman
Sachs also serves as Transfer Agent of the Funds.
For the period ended April 30, 1995, GS Adjustable Rate Government Agency Fund
incurred commission expense of approximately $32,000 in connection with futures
contracts entered into with Goldman Sachs.
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>
===================================================================================
GS
Adjustable GS
Rate GS Short GS
Government Short-Term Duration Core Fixed
Agency Government Tax-Free Income
Fund Agency Fund Fund Fund
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases of U.S.
Government and agency
obligations $ 44,458,760 $213,409,091 -- $32,012,459
-----------------------------------------------------------------------------------
Purchases (excluding U.S.
Government and agency
obligations) -- -- 95,247,162 3,433,689
-----------------------------------------------------------------------------------
Sales or maturities of
U.S. Government and
agency obligations 313,024,398 248,565,062 -- 28,663,713
-----------------------------------------------------------------------------------
Sales or maturities
(excluding U.S.
Government and agency
obligations) -- -- 123,251,085 4,891,833
===================================================================================
</TABLE>
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 Fund's custodian, or at subcustodians. GSFM and GSAM
monitor the market value of the underlying securities by pricing them daily.
6. Joint Repurchase Agreement Account
The Funds, together with other registered investment companies having advisory
agreements with GSFM and
28
<PAGE>
GSAM or their 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
GS Adjustable Rate Government Agency, GS Short-Term Government Agency and GS
Core Fixed Income Funds had 1.9%, 2.4% and 1.2%, respectively, undivided
interest in the repurchase agreements in the following joint account which
equaled $6,500,000, $8,200,000 and $4,300,000, respectively, in principal
amount.
As of April 30, 1995, the repurchase agreements 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:
Principal Interest Maturity Amortized
Amount Rate Date Cost
=============================================================================
Lehman Brothers, Inc. dated 4/28/95, repurchase price $347,272,393 (U.S.
Treasury Notes: $351,926,000, 4.00%-9.25%, 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
=============================================================================
7. Administration and Service Plans
The Fund has adopted Administration and Service Plans. These plans allow for
Administration shares and Service shares, respectively, to compensate service
organizations for providing varying levels of account administration and
shareholder liaison services to their customers who are beneficial owners of
such shares. The Administration and Service Plans provide for compensation to
the service organizations in an amount up to .25% and .50% (on an annualized
basis), respectively, of the average daily net asset value of the respective
shares.
8. Other Matters
On April 28, 1995, the GS Adjustable Rate Government Agency Fund acquired the
assets of GS Government Agency Portfolio (For Financial Institutions) in
exchange solely for (i) the issuance of Institutional shares and Administration
shares of beneficial interest of the GS Adjustable Rate Government Agency Fund
and (ii) the assumption of GS Adjustable Rate Government Agency Fund of the
liabilities of GS Government Agency Portfolio (For Financial Institutions).
Following this transfer, GS Government Agency Portfolio (For Financial
Institutions) was liquidated and dissolved and GS Adjustable Rate Government
Agency Fund's Institutional and Administration shares were distributed to the
former shareholders of GS Government Agency Portfolio (For Financial
Institutions).
The Reorganization was accomplished by a tax-free transfer of assets whereby
each shareholder of GS Government Agency Portfolio (For Financial Institutions)
received a number of full and fractional shares of GS Adjustable Rate Government
Agency Fund having a total net asset value of their shares of GS Government
Agency Portfolio (For Financial Institutions) held on April 28, 1995. The net
assets, net asset values per share and shares outstanding as of April 28, 1995
were:
<TABLE>
<CAPTION>
GS Government
Agency
Portfolio GS Adjustable GS Adjustable
(For Financial Rate Government Rate Government
Institutions) Agency Fund Agency Fund
(Pre- (Pre- (Post-
Reorganization) Reorganization) Reorganization)
--------------- --------------- ---------------
<S> <C> <C> <C>
Net Assets $20,385,309 $673,292,455 $693,677,764
Shares Outstanding
Institutional Shares 1,912,506 68,506,367 70,432,805
Administration Shares 158,661 401,122 560,936
Net Asset Value Per Share
Institutional Shares 9.84 9.77 9.77
Administrative Shares 9.84 9.77 9.77
</TABLE>
On May 11, 1995, shareholders of the GS Adjustable Rate Mortgage Fund approved
a Plan of Reorganization (the Plan) which was completed on May 12, 1995. Under
the Plan, GS Adjustable Rate Mortgage Fund was Reorganized as a separate class
(Class A) of the GS Adjustable Rate Government Agency Fund. GS Adjustable Rate
Mortgage Fund's assets were acquired by GS Adjustable Rate Government Agency
Fund in exchange solely for (i) the issuance of Class A shares of beneficial
interest of GS Adjustable Rate Government
29
<PAGE>
Goldman Sachs Trust
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
April 30, 1995
(Unaudited)
- --------------------------------------------------------------------------------
Agency Fund and (ii) the assumption by GS Adjustable Rate Government Agency Fund
of the liabilities of GS Adjustable Rate Mortgage Fund. Following this
transfer, GS Adjustable Rate Mortgage Fund was liquidated and dissolved and the
GS Adjustable Rate Government Agency Fund Class A shares were distributed to the
former shareholders of GS Adjustable Rate Mortgage Fund.
The Reorganization was accomplished by a tax-free transfer of assets whereby
each shareholder of GS Adjustable Rate Mortgage Fund received a number of full
and fractional shares of GS Adjustable Rate Government Agency Fund having a
total net asset value of their shares of GS Adjustable Rate Mortgage Fund held
as of May 12, 1995. As of May 12, 1995, shareholders of GS Adjustable Rate
Mortgage Fund exchanged 3,552,167 shares with a Net Asset Value per share of
$4.84 for 1,756,917 GS Adjustable Rate Government Agency Fund Class A shares
with a net asset value per share of $9.79.
For the period ended October 31, 1994, $15.9 million of Core Fixed Income Fund
shareholder subscriptions were made through in-kind contributions of securities.
As of April 30, 1995, the Goldman, Sachs & Co. Employees Profit Sharing and
Retirement Income Plan and the Goldman Sachs Asset Management Retirement Plan
were the beneficial owners of approximately 26% of the outstanding shares of the
GS Short-Term Government Agency Fund.
30
<PAGE>
Goldman Sachs Trust
- -----------------------------------------------------------------------------
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income (loss) from investment operations Distributions to shareholders
--------------------------------------------------- --------------------------------------------------------
Net realized Net realized and In excess of
and unrealized 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(h) transactions operations Income transactions Income transactions capital
=====================================================================================================================
GS ADJUSTABLE RATE GOVERNMENT AGENCY FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995-Institutional
Shares.......... $9.74 $0.2587(f) $0.0577(f) $ -- $0.3164(f) $(0.2694) $ -- $(0.0170) $ -- $ --
1995-Administration
Shares.......... 9.74 0.2466(f) 0.0578(f) -- 0.3044(f) (0.2582) -- (0.0162) -- --
<CAPTION>
For the Years Ended October 31,
- -------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1994-Institutional
Shares.......... 10.00 0.4341(f) (0.2455)(f) -- 0.1886(f) (0.4486) -- -- -- --
1994-Administration
Shares.......... 10.00 0.4211(f) (0.2572)(f) -- 0.1639(f) (0.4239) -- -- -- --
1993-Institutional
Shares.......... 10.04 0.4397 (0.0376) -- 0.4021 (0.4397) -- (0.0024) -- --
1993-Administration
Shares(c)........ 10.02 0.2146 (0.0173) -- 0.1973 (0.2146) -- (0.0027) -- --
1992-Institutional
Shares.......... 10.03 0.5599 (0.0029) -- 0.5570 (0.5470) -- -- -- --
<CAPTION>
For the Period July 17, 1991(e) through October 31,
- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1991-Institutional
Shares.......... 10.00 0.1531 0.0322 -- 0.1853 (0.1553) -- -- -- --
</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
distribution 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(a) net assets net assets rate (in 000s) net assets net assets
-------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995-Institutional
Shares.......... $(0.2864) $0.0300 $9.77 3.35% 0.47%(b) 5.36%(b) 3.28% $688,197 0.52%(b) 5.31%(b)
1995-Administration
Shares.......... (0.2744) 0.0300 9.77 3.22 0.72(b) 5.11(b) 3.28 5,481 0.77(b) 5.06(b)
<CAPTION>
For the Years Ended October 31,
- -------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1994-Institutional
Shares.......... (0.4486) (0.2600) 9.74 1.88 0.46 4.38 37.81 942,523 0.49 4.35
1994-Administration
Shares.......... (0.4239) (0.2600) 9.74 1.63 0.71 4.27 37.81 6,960 0.74 4.24
1993-Institutional
Shares.......... (0.4421) (0.0400) 10.00 4.13 0.45 4.36 103.74 2,760,871 0.48 4.33
1993-Administration
Shares(c)....... (0.2173) (0.0200) 10.00 2.01 0.70(b) 3.81(b) 103.74 5,326 0.73(b) 3.78(b)
1992-Institutional
Shares.......... (0.5470) 0.0100 10.04 6.12 0.42 5.61 286.40 2,145,064 0.55 5.48
<CAPTION>
For the Period July 17, 1991(e) through October 31,
- ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1991-Institutional
Shares.......... (0.1553) 0.0300 10.03 2.14 0.20(b) 7.31(b) 145.67 239,642 1.02(b) 6.49(b)
</TABLE>
The accompanying notes are an integral part of these financial statements.
31
<PAGE>
Goldman Sachs Trust
- ------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income (loss) from investment operations Distributions to shareholders
--------------------------------------------------- --------------------------------------------------------
Net realized Net realized and In excess of
and unrealized 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(h) transactions operations Income transactions income transactions capital
=====================================================================================================================
GS Short-Term GOVERNMENT AGENCY FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995-Institutional
Shares......... $9.64 $0.3513(f) $0.0422(f) $ -- $0.3935(f) $(0.3235) $ -- $ -- $ -- $ --
1995-Administration
Shares......... 9.64 0.2384(f) (0.0433)(f) -- 0.1951(f) (0.2051) -- -- -- --
<CAPTION>
For the Years Ended October 31,
- -------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1994-Institutional
Shares......... 10.14 0.5628(f) (0.4592)(f) -- 0.1036(f) (0.5598) (0.0438) -- -- --
1994-Administration
Shares......... 10.14 0.5329(f) (0.4539)(f) -- 0.0790(f) (0.5352) (0.0438) -- -- --
1993-Institutional
Shares......... 10.16 0.5627 (0.0135) -- 0.5492 (0.5627) -- (0.0065) -- --
1993-Administration
Shares(c)...... 10.23 0.2725 (0.0900) -- 0.1825 (0.2725) -- -- -- --
1992-Institutional
Shares......... 10.22 0.6703 (0.0600) -- 0.6103 (0.6703) -- -- -- --
1991-Institutional
Shares......... 10.00 0.8020 0.2200 -- 1.0220 (0.8020) -- -- -- --
1990-Institutional
Shares......... 10.07 0.8300 (0.0700) -- 0.7600 (0.8300) -- -- -- --
1989-Institutional
Shares......... 10.10 0.8800 -- -- 0.8800 (0.8800) -- -- -- (0.0300)
<CAPTION>
For the Period August 15, 1988(e) through October 31,
- -----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1988-Institutional
Shares......... 10.00 0.1800 0.1000 -- 0.2800 (0.1800) -- -- -- --
</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 (decrease) 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(a) net assets net assets rate (in 000s) net assets net assets
-------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995-Institutional
Shares......... $(0.3235) $0.0700 $9.71 4.23% 0.45%(b) 7.38%(b) 146.76% $119,466 0.65%(b) 7.18%(b)
1995-Administration
Shares......... (0.2051) (0.0100) 9.63(g) 2.10 0.70(b) 7.91(b) 146.76 -- 0.90(b) 7.71(b)
<CAPTION>
For the Years Ended October 31,
- -------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1994-Institutional
Shares......... (0.6036) (0.5000) 9.64 0.99 0.45 5.69 289.79 193,095 0.59 5.55
1994-Administration
Shares......... (0.5790) (0.5000) 9.64 0.73 0.70 5.38 289.79 730 0.84 5.24
1993-Institutional
Shares......... (0.5692) (0.0200) 10.14 5.55 0.45 5.46 411.66 359,708 0.64 5.31
1993-Administration
Shares(c)...... (0.2725) (0.0900) 10.14 1.74 0.70(b) 4.84(b) 411.66 16,490 0.80(b) 4.74(b)
1992-Institutional
Shares......... (0.6703) (0.0600) 10.16 6.24 0.45 6.60 216.07 277,927 0.69 6.36
1991-Institutional
Shares......... (0.8020) 0.2200 10.22 10.93 0.45 8.25 155.44 158,848 0.79 7.91
1990-Institutional
Shares......... (0.8300) (0.0700) 10.00 8.23 0.45 8.62 173.21 68,995 0.95 8.12
1989-Institutional
Shares......... (0.9100) (0.0300) 10.07 9.08 0.46 8.71 137.37 31,015 1.39 7.78
<CAPTION>
For the Period August 15, 1988(e) through October 31,
- -----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1988-Institutional
Shares......... (0.1800) 0.1000 10.10 3.30 0.55(b) 8.55(b) 167.00 39,052 1.42(b) 7.68(b)
</TABLE>
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
Goldman Sachs Trust
- ------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income (loss) from investment operations Distributions to shareholders
--------------------------------------------------- --------------------------------------------------------
Net realized Net realized and In excess of
and unrealized 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(h) transactions operations Income transactions Income transactions capital
=====================================================================================================================
GS SHORT DURATION TAX-FREE FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- -----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995-Institutional
Shares......... $9.79 $0.2212(f) $(0.0200)(f) $ -- $0.2012(f) $(0.2212) $ -- $ -- $ -- $ --
1995-Administration
Shares......... 9.79 0.2091(f) (0.0200)(f) -- 0.1891(f) (0.2091) -- -- -- --
1995-Service Shares 9.79 0.1969(f) (0.0200)(f) -- 0.1769(f) (0.1969) -- -- -- --
For the Years Ended October 31,
- -------------------------------
1994-Institutional
Shares......... 10.23 0.3787(f) (0.3575)(f) -- 0.0212 (0.3787) (0.0825) -- -- --
1994-Administration
Shares......... 10.23 0.3537(f) (0.3575)(f) -- (0.0038) (0.3537) (0.0825) -- -- --
1994-Service
Shares/(i)/..... 9.86 0.0475(f) (0.0700)(f) -- (0.0225)(f) (0.0475) -- -- -- --
1993-Institutional
Shares......... 9.93 0.3834 0.3000 -- 0.6834 (0.3834) -- -- -- --
1993-Administration
Shares/(i)/.... 10.16 0.1555 0.0720 -- 0.2275 (0.1555) -- -- -- --
For the Period October 1, 1992(e) through October 31,
- -----------------------------------------------------
1992-Institutional
Shares......... 10.00 0.0341 (0.0700) -- (0.0359) (0.0341) -- -- -- --
</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
distribution 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/(a)/ net assets net assets rate (in 000s) net assets net assets
=============================================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- -----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995-Institutional
Shares......... $(0.2212) $(0.0200) $ 9.77 2.09% 0.45%(b) 4.56%(b) 155.91% $ 62,781 0.77%(b) 4.24%(b)
1995-Administration
Shares......... (0.2091) (0.0200) 9.77 2.01 0.70(b) 4.31(b) 155.91 50 1.02(b) 3.99(b)
1995-Service Shares (0.1969) (0.0200) 9.77 1.89 0.95(b) 4.05(b) 155.91 353 1.27(b) 3.73(b)
For the Years Ended October 31,
- -------------------------------
1994-Institutional
Shares......... (0.4612) (0.4400) 9.79 0.17 0.45 3.74 354.00 83,704 0.61 3.58
1994-Administration
Shares......... (0.4362) (0.4400) 9.79 (0.11) 0.70 3.51 354.00 3,866 0.86 3.35
1994-Service
Shares/(i)/.... (0.0475) (0.0700) 9.79 (0.32) 0.95(b) 4.30(b) 354.00 4 1.11(b) 4.14(b)
1993-Institutional
Shares......... (0.3834) 0.3000 10.23 7.03 0.41 3.70 404.60 115,803 1.06 3.05
1993-Administration
Shares/(i)/.... (0.1555) 0.0720 10.23 2.28 0.70(b) 3.32(b) 404.60 911 1.07(b) 2.95(b)
For the Period October 1, 1992(e) through October 31,
- ------------------------------------------------------
1992-Institutional
Shares......... (0.0341) (0.0700) 9.93 (0.34) 0.05(b) 4.58(b) 31.19 14,601 2.68(b) 1.95(b)
</TABLE>
The accompanying notes are an integral part of these financial statements.
33
<PAGE>
Goldman Sachs Trust
- -------------------------------------------------------------------------------
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Income (loss) from investment operations Distributions to shareholders
--------------------------------------------------- --------------------------------------------------------
Net realized Net realized and In excess of
and unrealized 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(h) transactions operations income transactions income transactions capital
=====================================================================================================================
GS CORE FIXED INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995-Institutional
Shares......... $9.24 $0.3301 $0.3138 $ -- $0.6439 $(0.3298) $ -- $ -- $ -- $ --
<CAPTION>
For the Period January 5, 1994(e) through October 31,
- -----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1994-Institutional
Shares......... 10.00 0.4648 (0.7617) -- (0.2969) (0.4648) -- -- -- --
</TABLE>
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or
expense limitations
----------------------
Ratio of Ratio of
Net net Net net
increase Ratio of investment assets investment
Total (decrease) 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(a) net assets net assets rate (in 000s) net assets net assets
=============================================================================================================
- ----------------------------------------------------------------------------------------------------------------------------------
For the Six Months Ended April 30, (Unaudited)
- ----------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995-Institutional
Shares......... $(0.3298) $0.3141 $9.55 7.09% 0.45%(b) 7.14%(b) 134.95%(d) 27,220 1.10(b) 6.49(b)
<CAPTION>
For the Period January 5, 1994(e) through October 31,
- -----------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1994-Institutional
Shares......... (0.4648) (0.7617) 9.24 (3.00) 0.45(b) 6.48(b) 288.25(d) 24,508 1.46(b) 5.47(b)
</TABLE>
- ------------
(a)Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of the
investment at the net asset value at the end of the period.
(b)Annualized.
(c)Administration share activity commenced on April 15, 1993.
(d)Includes effect of mortgage dollar roll transactions.
(e)Commencement of operations.
(f)Calculated based on the average shares outstanding methodology.
(g)GS Short-Term Government Agency Administration shares were redeemed in full
on February 23, 1995. Amount shown represents net asset value on February 23,
1995.
(h)Includes the balancing effect of calculating per share amounts.
(i)Administration and service share activity commenced on May 20, 1993 and
September 20, 1994 respectively.
The accompanying notes are an integral part of these financial statements.
34
<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 each 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
The Goldman Sachs
Fixed Income
Portfolios
- ---------------------
Semiannual Report
April 30, 1995
GS Adjustable Rate Government Agency Fund
GS Short-Term Government Agency Fund
GS Short Duration Tax-Free Fund
GS Core Fixed Income Fund
[LOGO OF GOLDMAN SACHS APPEARS HERE]
