<PAGE>
Goldman Sachs Funds
HIGH YIELD FUND Annual Report October 31, 1999
[GRAPHIC]
A high level of current income
through a diversified portfolio
of high yield securities.
Goldman
Sachs
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Market Overview
Dear Shareholder:
Over the course of the year ended October 31, 1999, the world's bond markets
demonstrated mixed performance.
Market Review
.The Dollar Bloc -- In the U.S., a weak global economy and few
signs of domestic inflation led the Federal Reserve Board (the
"Fed") to ease credit--a stance that was reversed later in the
period amid higher-than-expected growth rates. In the ensuing
months, with no slowdown in growth, low unemployment and an
increase in commodity prices, the general consensus was that it
wouldn't be long before the Fed moved to raise rates. As a
result, interest rates rose significantly across the curve and
the move, when it came, had little impact on the bond market as a
whole. As the review period drew to a close, strong growth and
building inflationary pressures, particularly in the labor
market, pushed U.S. Treasuries yields higher.
Elsewhere, New Zealand, Canada and Australia initially
outperformed U.S. Treasuries, but with somewhat lackluster
results. For the remainder of the period, however, New Zealand
and Australia underperformed the U.S., while Canadian bonds
outpaced the U.S. market.
.Europe -- Initially, coordinated cuts in interest rates,
sometimes by larger-than-expected margins, helped the European
markets to outperform U.S. Treasuries. Thereafter, however, a
series of stronger-than-anticipated economic releases appeared
across Europe and the UK, and it soon became apparent that Europe
was in the midst of a broad-based recovery. Bond yields rose in
response to expectations that the European Central Bank would
move to raise rates.
.Japan -- At the start of the period, despite an extremely weak
economy and deflationary pressures, the Japanese bond market fell
sharply following a Government announcement that the
Institutional Bureau would no longer be purchasing government
bonds. This was followed by a prolonged rally that resulted from
a number of factors, including a softening of the Government
position, falling growth and increased confidence. More recently,
bond yields moved higher in the wake of improved economic
conditions and indications that further fiscal stimulus was in
the offing.
Outlook
Notwithstanding an improved global growth outlook, inflationary
pressures remain benign as productivity gains, brought about by
the introduction of technological advances such as the Worldwide
Web, continue to keep price pressures in check. Therefore--with
the exception of Japan, where the prospect of continued growth
and further fiscal stimulus will place pressure on yields--we
expect current yield levels will be maintained until well into
2000, and consequently maintain an overall neutral position on
the world's bond markets.
We encourage you to maintain your investment program, and we look
forward to serving your investment needs in the years to come.
Sincerely,
<TABLE>
<CAPTION>
<S> <C> <C>
/s/ David B. Ford /s/ David W. Blood /s/ Sharmin Mossavar-Rahmani
David B. Ford David W. Blood Sharmin Mossavar-Rahmani
Co-Head, Goldman Sachs Co-Head, Goldman Sachs CIO, Fixed Income Investments,
Asset Management Asset Management Goldman Sachs Asset Management
November 30, 1999
</TABLE>
- -----------------
NOT FDIC-INSURED
- -----------------
May Lose Value
- -----------------
No Bank Guarantee
- -----------------
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Fund Basics
as of October 31, 1999
Assets Under Management
$832.4 Million
Number of Holdings
195
NASDAQ SYMBOLS
Class A Shares
GSHAX
Class B Shares
GSHBX
Class C Shares
GSHCX
Institutional Shares
GSHIX
Service Shares
GSHSX
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
October 31, 1998- Fund Total Return 30-Day Lehman High
October 31, 1999 (based on NAV)1 Standardized Yield2 Yield Bond Index3
- --------------------------------------------------------------------------------
Class A 8.06% 9.68% 4.34%
Class B 7.38% 9.36% 4.34%
Class C 7.26% 9.36% 4.34%
Institutional 8.49% 10.56% 4.34%
Service 7.95% N/A 4.34%
- --------------------------------------------------------------------------------
/1/ The net asset value represents the net assets of the Fund (ex-dividend)
divided by the total number of shares. The Fund's performance reflects the
reinvestment of dividends and other distributions.
/2/ The 30-Day Standardized Yield of the Fund is calculated by dividing the net
investment income per share (as defined by securities industry regulations)
earned by the Fund over a 30-day period (ending on the stated month-end
date) by the maximum public offering price per share of the Fund on the last
day of the period. This number is compounded semiannually and then
annualized. This yield does not necessarily reflect income actually earned
and distributed by the Fund and, therefore, may not be correlated with the
dividends or other distributions paid to shareholders.
/3/ The Lehman High Yield Bond Index figures do not reflect any fees or
expenses.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
STANDARDIZED TOTAL RETURNS
- ---------------------------------------------------------------------------------------------
For the period ending 9/30/99 Class A Class B Class C Institutional Service
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year4 1.76% 0.37% 4.59% 6.98% 6.34%
Since Inception4 1.79% 1.76% 3.28% 4.36% 3.86%
(8/1/97) (8/1/97) (8/15/97) (8/1/97) (8/1/97)
- ---------------------------------------------------------------------------------------------
</TABLE>
/4/ The Standardized Total Returns are average annual returns as of the most
recent calendar quarter-end. They assume reinvestment of all distributions
at net asset value. These returns reflect a maximum initial sales charge of
4.5% for Class A shares, the assumed deferred sales charge for Class B
shares (5% maximum declining to 0% after six years) and the assumed deferred
sales charge for Class C shares (1% if redeemed within 12 months of
purchase). Because Institutional and Service shares do not involve sales
charges, such charges have not been applied to their Standardized Total
Returns.
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS AS OF 10/31/9995
- --------------------------------------------------------------------------------
% of
Company Line of Business Portfolio
- --------------------------------------------------------------------------------
Telewest Communications PLC Media-Cable 3.6%
Nextel Communications, Inc. Telecommunications-Cellular 2.9%
Riverwood International Corp. Paper 2.1%
Crown Castle International Media-Non Cable 1.8%
CSC Holdings, Inc. Media-Cable 1.7%
Allied Waste North America, Inc. Environmental 1.7%
Packaging Corp. of America Paper 1.6%
Fischer Scientific International, Inc. Consumer Cyclical 1.5%
PSINet, Inc. Telecommunications 1.4%
Charter Communications Holdings LLC Media/Cable 1.3%
- --------------------------------------------------------------------------------
Credit Allocation: AAA 2.3% BBB 1.5% BB 9.7% B 79.3% CCC/NR 7.2%
- --------------------------------------------------------------------------------
/5/ The Fund is actively managed and, as such, its composition may differ over
time.
Total return figures represent past performance and do not indicate future
results, which will vary. The investment return and principal value of an
investment will fluctuate and, therefore, an investor's shares, when
redeemed, may be worth more or less than their original cost. Performance
reflects expense limitations in effect. In their absence, performance would
be reduced.
1
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Performance Overview
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs High Yield Fund
for the year ended October 31, 1999.
Performance Review
Over the year ended October 31, 1999, the Fund's A, B, C,
Institutional and Service shares generated annual total returns,
at net asset value, of 8.06%, 7.38%, 7.26%, 8.49% and 7.95%,
respectively. These figures easily outperformed the 4.34% total
return of the Fund's benchmark, the Lehman Brothers High Yield
Bond Index.
The Fund's Institutional share class total return performance
also ranked among the top 25% of funds (75 out of 306) in the
Lipper High Yield category during the one-year period ended
October 31, 1999. During this same period, the Fund's Class A, B,
C and Service shares ranked 85, 105, 108 and 90 (out of 306
funds), respectively. Please note that Lipper rankings do not
take sales charges into account and that past performance is no
guarantee of future results.
The Fund's outperformance versus its benchmark is attributable to
several factors. An overweight position in cyclical industries
benefited the Fund, as this sector fared well in the wake of the
economic rebound in Asia. In particular, paper and chemical
companies such as Riverwood International Corp. and Lyondell
Chemical Co. (2.1% and 1.0% of the portfolio, respectively)
performed strongly. Additionally, careful credit selection
minimized losses from defaults during a period of time when
default rates were on the rise. Finally, the Fund's overweight
exposure to European markets, which outperformed North American
markets, further helped performance.
High Yield Market Performance
Throughout most of the first half of 1999, a strong domestic
economy, which is a positive for the financial health of high
yield companies, created solid demand for high yield securities.
Scarce new supply could not keep pace with the demand for high
yield product. Although the market experienced a brief setback in
February, the market was strong again in March and April, in part
due to an increase in rumored and actual merger and acquisition
activity, most notably in the telecommunications sector.
In contrast, over the last few months of the period under review,
fears over rising interest rates, combined with a volatile stock
market, had a strong negative impact on the high yield market.
Although there were indications that demand existed for
attractively priced benchmark deals, investor appetite for high
yield products diminished. In turn, high yield mutual funds
experienced steady outflows.
Investment Objective
The Fund seeks a high level of current income and may also
consider the potential for capital appreciation. The Fund invests
primarily in high yield, fixed income securities rated, at the
time of investment, below investment grade.
2
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
FIXED INCOME
INVESTMENT
PROCESS OVERVIEW
- --------------------------------------------------------------------------------
1 Sector Allocation
- --------------------------------------------------------------------------------
Our sector specialists work together to assess relative value among sectors and
create investment strategies to meet each funds objectives.
- --------------------------------------------------------------------------------
2 Security Selection
- --------------------------------------------------------------------------------
In selecting securities for each portfolio, our fixed income teams have access
to the vast resources of Goldman Sachs.
- --------------------------------------------------------------------------------
3 Yield Curve Strategies
- --------------------------------------------------------------------------------
We adjust the term structure of our portfolios based on our expectations of the
relationship between short- and long-term interest rates, while keeping each
fund's duration close to its benchmark.
Portfolio Composition
As of October 31, 1999, the Fund was diversified among 195
companies. Holdings in the top 10 companies represented 19.6% of
the portfolio.
In the first half of the reporting period, the Fund deployed much
of its cash position to build on certain existing holdings, and
selectively increased its exposure to the non-U.S. dollar
corporate sector. Additionally, limited new issue activity led us
to focus on the secondary market.
As the review period drew to a close, given the slowdown in the
high yield market, much of the Fund's trading activity was
limited and, for the most part, was focused on the Fund's core
positions. When available, the Fund added new issues that were
priced at a significant discount to the secondary market in order
to attract investors in a falling market.
Portfolio Highlights
. Kappa Beheer B.V. (1.2% of the portfolio) --Kappa Beheer, a Dutch
paper company, should benefit from both the recovery in the paper
industry as well as an improving outlook in Europe.
. Crown Castle International Corp. (1.8% of the portfolio) -- Crown
Castle, which is an operator of broadcast and cellular
transmission infrastructure, raised over $900mm in equity and
high yield debt to fund acquisitions. We used this opportunity to
add to our existing position, as we believe the company is poised
to benefit from the booming growth of the U.S. wireless market.
New Acquisitions
. Williams Communications Group, Inc. (0.7% of the portfolio) --
The company, an operator of a nationwide fiber optic
communications network, successfully priced a $2 billion two-part
issue in conjunction with its IPO. The deal was significant in
that it showed demand exists for attractively priced benchmark
deals at a time when the overall market is relatively weak.
Portfolio Outlook
As the year 2000 approaches, conditions in the high yield market
remain challenging. Investor skittishness and technical factors
currently overwhelm credit considerations. Signs of improvement
came only at period end, as investor confidence grew in response
to a rebound in equities and a rallying Treasury market. While
markets are focused on large bellwether issuers, we believe that
in this environment, smaller companies offer investors some
compelling medium-term investment opportunities that possess
double-digit yields and are often sweetened with equity warrants.
We thank you for your investment and look forward to your
continued confidence.
Goldman Sachs High Yield Investment Management Team
November 30, 1999
3
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
The Goldman Sachs Advantage
Founded in 1869, Goldman, Sachs & Co. is a premier financial services firm
traditionally known on Wall Street and around the world for its institutional
expertise.
Today, the firm's Asset Management Division provides individual
investors the opportunity to tap the resources of a global
institutional powerhouse -- and put this expertise to work in
their individual portfolios.
What Sets Goldman Sachs Funds Apart?
1
--------------------------------
Resources and Relationships
--------------------------------
Our portfolio management teams are located on-site, around
the world, in New York, London, Tokyo and Singapore. Their
understanding of local economies, markets, industries and
cultures helps deliver what many investors want: access to
global investment opportunities and consistent,
risk-adjusted performance.
2
--------------------------------
In-Depth Research
--------------------------------
Our portfolio management teams make on-site visits to
hundreds of companies each month, then construct selective
portfolios with an emphasis on their best ideas. Our teams
also have access to Goldman, Sachs & Co.'s Global Investment
Research Department.
3
--------------------------------
Risk Management
--------------------------------
In this, our institutional heritage is clear. Institutions,
as well as many individual investors, often look to us to
manage the risks of global investing over time in different
market environments.
To learn more about the Goldman Sachs Family of Funds, call your
investment professional today.
4
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Performance Summary
October 31, 1999
The following graph shows the value as of October 31, 1999, of a $10,000 in-
vestment made on August 1, 1997 (commencement of operations) in Class A
shares (with the maximum sales charge of 4.5%), Class B shares (applicable
contingent deferred sales charges of 5.0% declining to 0% after six years),
Institutional and Service shares (at NAV) of the Goldman Sachs High Yield
Fund. For comparative purposes, the performance of the Fund's benchmark (the
Lehman High Yield Bond Index) is shown. This performance data represents past
performance and should not be considered indicative of future performance
which will fluctuate with changes in market conditions. These performance
fluctuations will cause an investor's shares, when redeemed, to be worth more
or less than their original cost. Performance of Class C shares will vary
from the classes depicted below due to differences in fees and loads.
High Yield Fund's Lifetime Performance
Growth of a $10,000 Investment, Distributions Reinvested August 1, 1997 to
October 31, 1999.
[HIGH YIELD FUND PERFORMANCE CHART]
Monthly Rtns Lehman
Class A Class B Institutional Service High Yield Index
8/1/97 9550 10000 10000 10000 10000
Aug-97 9560 10004 10013 10009 9977
Sep-97 9735 10190 10199 10191 10175
Oct-97 9694 10131 10158 10146 10184
Nov-97 9768 10203 10238 10222 10281
Dec-97 9953 10389 10433 10413 10372
Jan-98 10217 10648 10713 10688 10559
Feb-98 10289 10727 10800 10761 10621
Mar-98 10388 10823 10896 10863 10721
Apr-98 10391 10820 10902 10865 10763
May-98 10447 10871 10974 10932 10800
Jun-98 10451 10868 10969 10933 10839
Jul-98 10550 10965 11087 11036 10901
Aug-98 9815 10194 10317 10265 10299
Sep-98 9752 10133 10254 10208 10346
Oct-98 9627 9986 10126 10066 10133
Nov-98 10264 10640 10799 10730 10554
Dec-98 10253 10622 10780 10718 10566
Jan-99 10423 10792 10974 10895 10722
Feb-99 10461 10825 11017 10945 10659
Mar-99 10647 11010 11216 11127 10760
Apr-99 10844 11207 11416 11332 10969
May-99 10605 10965 11180 11082 10821
Jun-99 10571 10912 11148 11045 10798
Jul-99 10571 10905 11140 11045 10841
Aug-99 10459 10782 11037 10927 10721
Sep-99 10391 10706 10970 10855 10644
Oct-99 10403 10401 10985 10866 10573
<TABLE>
<CAPTION>
Average Annual Total Return through October 31,
1999 Since Inception One Year
<S> <C> <C>
Class A shares (commenced August 1, 1997)
Excluding sales charges 3.87% 8.06%
Including sales charges 1.77% 3.21%
---------------------------------------------------------------------------
Class B shares (commenced August 1, 1997)
Excluding contingent deferred sales charges 3.14% 7.38%
Including contingent deferred sales charges 1.76% 2.01%
---------------------------------------------------------------------------
Class C shares (commenced August 15, 1997)
Excluding contingent deferred sales charges 3.22% 7.26%
Including contingent deferred sales charges 3.22% 6.19%
---------------------------------------------------------------------------
Institutional shares (commenced August 1, 1997) 4.26% 8.49%
---------------------------------------------------------------------------
Service shares (commenced August 1, 1997) 3.76% 7.95%
---------------------------------------------------------------------------
</TABLE>
5
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Statement of Investments
October 31, 1999
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - 77.1%
Aerospace - 2.8%
Argo-Tech Corp. (B-/B3)
$ 7,500,000 8.63% 10/01/2007 $ 6,337,500
Burke Industries, Inc. (B/B2)
2,000,000 10.00 08/15/2007 1,000,000
Communications Instruments, Inc. (B-/B3)
2,500,000 10.00 09/15/2004 2,075,000
Dunlop Standard Aerospace Holdings (B-/B3)+
3,000,000 11.88 05/15/2009 3,030,000
Hexcel Corp. (B+/B1)
5,000,000 9.75 01/15/2009 4,100,000
K&F Industries, Inc. (B-/B3)
5,000,000 9.25 10/15/2007 4,762,500
Transdigm, Inc. (B-/B3)
1,000,000 10.38 12/01/2008 895,000
Worldwide Flight Services (B/B3)+
750,000 12.25 08/15/2007 750,712
------------
22,950,712
------------------------------------------------------------------------------------------------
Automotive Parts - 2.9%
Accuride Corp. (B-/B2)
3,000,000 9.25 02/01/2008 2,700,000
American Axle & Manufacturing, Inc. (B/B2)
3,750,000 9.75 03/01/2009 3,693,750
Anchor Lamina, Inc. (B-/B3)
1,500,000 9.88 02/01/2008 1,305,000
Federal-Mogul Corp. (BB+/Ba2)
2,000,000 7.50 01/15/2009 1,784,360
Hayes Lemmerz International, Inc. (B/B2)
3,500,000 9.13 07/15/2007 3,342,500
JL French Automotive Castings (B-/B3)+
1,500,000 11.50 06/01/2009 1,481,250
Prestolite Electric, Inc. (B+/B3)
4,000,000 9.63 02/01/2008 3,200,000
Stanadyne Automotive Corp. (B/Caal)
4,000,000 10.25 12/15/2007 3,280,000
Venture Holdings Trust (B/B2)
4,000,000 9.50 07/01/2005 3,700,000
------------
24,486,860
------------------------------------------------------------------------------------------------
Building Materials - 2.9%
Amatek Industries, Inc. (B/B3)+
3,500,000 12.00 02/15/2008 3,255,000
Atrium Companies, Inc. (B/B3)
2,500,000 10.50 05/01/2009 2,387,500
Better Minerals & Aggregates (B-/B3)+
2,500,000 13.00 09/15/2009 2,475,000
Nortek, Inc. (B+/B1)
3,000,000 9.13 09/01/2007 2,872,500
2,125,000 8.88 08/01/2008 1,992,187
Nortek, Inc. (B-/B3)
2,000,000 9.88 03/01/2004 1,960,000
------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Building Materials - (continued)
Republic Group, Inc. (B/B2)
$ 3,000,000 9.50% 07/15/2008 $ 2,775,000
Werner Holdings Co., Inc. (B-/B2)
7,000,000 10.00 11/15/2007 6,790,000
-------------
24,507,187
----------------------------------------------------------------------------------------
Capital Goods - 3.0%
Axiohm Transaction Solutions, Inc. (CCC+/Ca)\/
3,000,000 9.75 10/01/2007 900,000
International Wire Group, Inc. (B-/B3)
4,000,000 11.75 06/01/2005 4,110,000
Packard BioScience Co. (B-/B3)
9,250,000 9.38 03/01/2007 8,371,250
Simonds Industries, Inc. (B-/B3)
750,000 10.25 07/01/2008 577,500
Thermadyne Holdings Corp. (CCC+/Caal)(S)
4,000,000 0.00/12.50 06/01/2008 1,760,000
Thermadyne Manufacturing LLC (CCC+/B3)
6,750,000 9.88 06/01/2008 5,535,000
Trench Electric S.A. (B-/B3)
5,000,000 10.25 12/15/2007 4,000,000
-------------
25,253,750
----------------------------------------------------------------------------------------
Chemicals - 4.1%
Brunner Mond PLC (CCC+/Caal)
1,000,000 11.00 07/15/2008 490,000
General Chemicals Industries (B+/B3)+
1,500,000 10.63 05/01/2009 1,458,750
Huntsman ICI Holdings LLC (B+/B2)+
2,500,000 10.13 07/01/2009 2,475,000
Huntsman ICI Holdings LLC (B+/B3)@+
3,740,000 13.08 12/31/2009 1,014,475
Lyondell Chemical Co. (BB/Ba3)
6,500,000 9.88 05/01/2007 6,500,000
Lyondell Chemical Co. (B+/B2)
2,000,000 10.88 05/01/2009 1,990,000
Polymer Group, Inc. (B/B2)
1,750,000 9.00 07/01/2007 1,680,000
3,000,000 8.75 03/01/2008 2,827,500
Sovereign Speciality Chemicals, Inc. (B-/B3)
5,500,000 9.50 08/01/2007 5,431,250
Sterling Chemicals, Inc. (BB-/B3)+
750,000 12.38 07/15/2009 727,500
Trans-Resources, Inc. (B-/B3)(S)
1,000,000 0.00/12.00 03/15/2008 500,000
ZSC Specialty Chemicals PLC (B/B2)+
9,000,000 11.00 07/01/2009 9,000,000
-------------
34,094,475
----------------------------------------------------------------------------------------
Conglomerates - 0.7%
Eagle-Picher Industries, Inc. (B-/B3)
6,750,000 9.38 03/01/2008 5,737,500
----------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Consumer Cyclicals - 6.1%
APCOA, Inc. (B-/Caal)
$ 5,000,000 9.25% 03/15/2008 $ 4,150,000
Fisher Scientific International, Inc. (B-/B3)
13,250,000 9.00 02/01/2008 12,388,750
Intertek Finance PLC (B-/B2)
7,000,000 10.25 11/01/2006 6,545,000
MSX International, Inc. (B-/B3)
1,000,000 11.38 01/15/2008 940,000
National Equipment Services, Inc. (B/B3)
4,000,000 10.00 11/30/2004 3,920,000
United Rentals, Inc. (BB-/B1)
4,000,000 8.80 08/15/2008 3,570,000
United Rentals, Inc. (BB-/B2)
4,750,000 9.50 06/01/2008 4,488,750
Volume Services America, Inc. (B-/B3)
2,750,000 11.25 03/01/2009 2,708,750
Wesco Distribution, Inc. (B/B2)
10,000,000 9.13 06/01/2008 8,975,000
Williams Scotsman, Inc. (B-/B3)
3,000,000 9.88 06/01/2007 2,865,000
------------
50,551,250
-------------------------------------------------------------------------------------------
Consumer Products - 2.4%
Cabot Safety Corp. (B/B3)
4,000,000 12.50 07/15/2005 4,150,000
Corning Consumer Products Co. (B/B3)
7,000,000 9.63 05/01/2008 5,582,500
Generac Portable Products LLC (B-/B3)
2,000,000 11.25 07/01/2006 2,040,000
Imperial Home Decor Group (CCC+/B3)
2,000,000 11.00 03/15/2008 340,000
Polaroid Corp. (BB-/Ba3)
2,000,000 11.50 02/15/2006 2,000,000
Sealy Mattress Co. (B-/B3)
1,500,000 0.00/10.88(S) 12/15/2007 1,005,000
2,500,000 9.88 12/15/2007 2,425,000
The Scotts Co. (B+/B2)+
1,000,000 8.63 01/15/2009 950,000
United Industries Corp. (B-/B3)+
1,750,000 9.88 04/01/2009 1,566,250
------------
20,058,750
-------------------------------------------------------------------------------------------
Defense - 0.7%
Condor Systems, Inc. (B-/B3)+
2,000,000 11.88 05/01/2009 1,760,000
Newport News Shipbuilding, Inc. (B+/B1)
4,000,000 9.25 12/01/2006 4,030,000
------------
5,790,000
-------------------------------------------------------------------------------------------
Energy - 1.4%
Benton Oil & Gas Co. (B/B3)
2,250,000 9.38 11/01/2007 1,220,625
-------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Energy - (continued)
Cross Timbers Oil Co. (B/B2)
$ 2,750,000 8.75% 11/01/2009 $ 2,605,625
P&L Coal Holdings Corp. (B/B2)
4,250,000 9.63 05/15/2008 4,069,375
R&B Falcon Corp. (B+/Ba3)
500,000 6.75 04/15/2005 435,000
500,000 9.50 12/15/2008 487,500
RBF Finance Co. (BB-/Ba3)
1,000,000 11.38 03/15/2009 1,055,000
Vintage Petroleum, Inc. (B+/B1)
2,000,000 9.75 06/30/2009 2,020,000
------------
11,893,125
----------------------------------------------------------------------------------------------
Entertainment - 0.9%
Advanstar Communications, Inc. (B-/B2)
3,000,000 9.25 05/01/2008 2,793,750
Premier Parks, Inc. (B-/B3)
2,250,000 9.25 04/01/2006 2,143,125
SFX Entertainment, Inc. (B-/B3)
2,000,000 9.13 02/01/2008 1,830,000
V2 Music Holdings PLC+(S)
1,750,000 0.00/14.00 04/15/2008 424,375
------------
7,191,250
----------------------------------------------------------------------------------------------
Environmental - 1.9%
Allied Waste North America, Inc. (B+/B2)+
8,000,000 10.00 08/01/2009 6,800,000
Allied Waste North America, Inc. (BB-/Ba3)
2,500,000 7.63 01/01/2006 2,168,750
5,750,000 7.88 01/01/2009 4,844,375
The IT Group, Inc. (B+/B3)+
2,500,000 11.25 04/01/2009 2,350,000
------------
16,163,125
----------------------------------------------------------------------------------------------
Food - 4.0%
Agrilink Foods, Inc. (B-/B3)
1,500,000 11.88 11/01/2008 1,327,500
Aurora Foods, Inc. (B+/B1)
3,750,000 9.88 02/15/2007 3,796,875
1,000,000 8.75 07/01/2008 952,500
Del Monte Foods Co. (B-/Caa1)(S)
5,400,000 0.00/12.50 12/15/2007 4,104,000
Domino's, Inc. (B-/B3)
7,000,000 10.38 01/15/2009 6,370,000
Eagle Family Foods (CCC+/B3)
6,250,000 8.75 01/15/2008 4,812,500
International Home Foods, Inc. (B-/B2)
2,750,000 10.38 11/01/2006 2,818,750
Iowa Select Farms LP (CCC+/Caa1)+
2,000,000 10.75 12/01/2005 1,540,000
New World Pasta Co. (B-/B2)
1,000,000 9.25 02/15/2009 920,000
----------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Statement of Investments (continued)
October 31, 1999
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Food - (continued)
Premier International Foods PLC (B-/B3)+
$ 1,500,000 12.00% 08/01/2009 $ 1,507,500
Southern Foods Group (B/B2)
5,000,000 9.88 09/01/2007 5,175,000
------------
33,324,625
--------------------------------------------------------------------------------------------
Health Care - 1.8%
ALARIS Medical, Inc. (B-/Caa1)(S)
4,000,000 0.00/ 11.13 08/01/2008 1,700,000
Alliance Imaging, Inc. (B-/B3)
3,000,000 9.63 12/15/2005 3,270,000
Genesis Eldercare, Inc. (CCC+/B3)
2,000,000 9.00 08/01/2007 500,000
Genesis Health Ventures, Inc. (CCC+/B2)
500,000 9.25 10/01/2006 175,000
1,000,000 9.88 01/15/2009 370,000
Hudson Respiratory Care, Inc. (B-/B3)
3,000,000 9.13 04/15/2008 2,340,000
Iasis Healthcare Corp. (B-/B3)+
2,000,000 13.00 10/15/2009 2,010,000
Integrated Health Services, Inc. (CC/B2)\/
3,750,000 9.25 01/15/2008 262,500
Kinetic Concepts, Inc. (B-/B3)
5,000,000 9.63 11/01/2007 3,250,000
Universal Hospital Services, Inc. (B/B3)
1,000,000 10.25 03/01/2008 710,000
------------
14,587,500
--------------------------------------------------------------------------------------------
Home Construction - 0.1%
D.R. Horton, Inc. (BB/Ba1)
1,000,000 8.00 02/01/2009 872,500
--------------------------------------------------------------------------------------------
Insurance Companies - 0.9%
Willis Corroon Corp. (B+/Ba3)
8,500,000 9.00 02/01/2009 7,522,500
--------------------------------------------------------------------------------------------
Lodging - 0.3%
Red Roof Inns, Inc. (B+/ Ba2)
2,000,000 9.63 12/15/2003 2,050,000
--------------------------------------------------------------------------------------------
Media-Cable - 4.9%
Avalon Cable of Michigan (B-/B2)
1,000,000 9.38 12/01/2008 1,000,000
Charter Communications Holdings LLC (B+/B2)
1,000,000 8.25 04/01/2007 935,000
2,000,000 8.63 04/01/2009 1,890,000
13,250,000 0.00/9.92(S) 11/01/2011 7,817,500
Echostar DBS Corp. (B/B2)
4,000,000 9.38 02/01/2009 3,960,000
Frontiervision Holdings LP (B+/B1)(S)
5,000,000 0.00/11.88 09/15/2007 4,275,000
--------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Media-Cable - (continued)
Ono Finance PLC (CCC+/Caa1)+
$ 1,250,000 13.00% 05/01/2009 $ 1,312,500
Renaissance Media Group LLC (B-/B2)(S)
3,000,000 0.00/10.00 04/15/2008 2,092,500
Telewest Communications PLC (B+/B1)
11,500,000 0.00/11.00(S) 10/01/2007 10,479,375
5,000,000 11.25 11/01/2008 5,362,500
1,000,000 0.00/9.25+(S) 04/15/2009 607,500
United Pan-Europe Communications N.V. (B-/B2)+
1,000,000 10.88 08/01/2009 967,500
-------------
40,699,375
--------------------------------------------------------------------------------------
Media-Non Cable - 4.1%
Chancellor Media Corp. (B/B1)
2,000,000 8.13 12/15/2007 1,960,000
2,000,000 9.00 10/01/2008 2,050,000
Crown Castle International Corp. (B/B3)(S)
10,500,000 0.00/10.63 11/15/2007 7,560,000
6,000,000 0.00/10.38 05/11/2011 3,540,000
5,500,000 0.00/11.25+ 08/01/2011 3,272,500
Lin Holdings Corp. (B-/B3)(S)
4,500,000 0.00/10.00 03/01/2008 2,925,000
Pinnacle Holdings, Inc. (B/B3)(S)
6,000,000 0.00/10.00 03/15/2008 3,600,000
PX Escrow Corp. (B-/B3)(S)
1,000,000 0.00/9.63 02/01/2006 500,000
SFX Broadcasting, Inc. (B/B3)
2,000,000 10.75 05/15/2006 2,205,000
Spectrasite Holdings, Inc.(S)
3,500,000 0.00/11.25 04/15/2009 1,820,000
Young Broadcasting, Inc. (B/B2)
5,000,000 8.75 06/15/2007 4,850,000
-------------
34,282,500
--------------------------------------------------------------------------------------
Metals - 1.1%
Earle M. Jorgensen Co. (B-/B3)
3,500,000 9.50 04/01/2005 3,202,500
Haynes International, Inc. (B-/B3)
1,500,000 11.63 09/01/2004 1,305,000
Republic Technologies International (B/B3)+
2,000,000 13.75 07/15/2009 1,850,000
WHX Corp. (B-/B3)
2,500,000 10.50 04/15/2005 2,375,000
-------------
8,732,500
--------------------------------------------------------------------------------------
Packaging - 2.3%
AEP Industries, Inc. (B/B2)
3,000,000 9.88 11/15/2007 2,850,000
--------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Packaging - (continued)
Graham Packaging Co. (B-/B3)
$ 3,500,000 8.75% 01/15/2008 $ 3,255,000
Graham Packaging Co. (B-/Caa1)(S)
2,750,000 0.00/10.75 01/15/2009 1,760,000
Printpack, Inc. (B+/B3)
3,000,000 9.88 08/15/2004 2,917,500
3,000,000 10.63 08/15/2006 2,737,500
Tekni-Plex, Inc. (B-/B3)
3,000,000 11.25 04/01/2007 3,135,000
3,000,000 9.25 03/01/2008 2,865,000
------------
19,520,000
-------------------------------------------------------------------------------------------
Paper - 3.8%
Ainsworth Lumber Co. Ltd. (B/B2)
5,000,000 12.50 07/15/2007 5,400,000
Packaging Corp. of America (B/B3)+
8,500,000 9.63 04/01/2009 8,457,500
Repap New Brunswick, Inc. (CCC+/Caa1)
1,500,000 10.63 04/15/2005 1,335,000
Riverwood International Corp. (B-/B3)
8,000,000 10.25 04/01/2006 8,000,000
Riverwood International Corp. (CCC+/Caa1)
9,000,000 10.88 04/01/2008 8,730,000
------------
31,922,500
-------------------------------------------------------------------------------------------
Publishing - 1.2%
American Lawyer Media, Inc. (B/B1)
3,500,000 9.75 12/15/2007 3,255,000
American Media, Inc. (B-/B2)
1,500,000 10.25 05/01/2009 1,458,750
Day International Group, Inc. (B-/B3)
3,250,000 9.50 03/15/2008 2,632,500
Transwestern Publishing Co. (B-/B2)
3,000,000 9.63 11/15/2007 2,880,000
------------
10,226,250
-------------------------------------------------------------------------------------------
Retailers - 0.9%
Advance Holdings Corp. (B-/Caa2)(S)
2,000,000 0.00/12.88 04/15/2009 1,080,000
Duane Reade, Inc. (B-/B3)
1,250,000 9.25 02/15/2008 1,218,750
HMV Media Group PLC (B/B3)
2,000,000 10.25 05/15/2008 1,800,000
Mattress Discounters Corp. (B+/B2)
750,000 12.63 07/15/2007 705,000
Musicland Stores Corp. (B-/B3)
3,250,000 9.00 06/15/2003 2,990,000
------------
7,793,750
-------------------------------------------------------------------------------------------
Supermarkets - 0.6%
Pathmark Stores, Inc. (CCC+/Caa1)
5,000,000 9.63 05/01/2003 4,850,000
-------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Technology - 3.2%
Asat Finance LLC (B/B1)+
$ 1,000,000 12.50% 11/01/2006 $ 997,500
Covad Communications Group, Inc. (B-/B3)
500,000 0.00/13.50(S) 03/15/2008 280,000
1,500,000 12.50 02/15/2009 1,470,000
Details, Inc. (B-/B3)
5,000,000 10.00 11/15/2005 4,500,000
1,000,000 0.00/12.50(S) 11/15/2007 505,000
Integrated Circuit Systems, Inc. (B-/B3)+
1,500,000 11.50 05/15/2009 1,440,000
Intersils Corp. (B/B3)+
1,250,000 13.25 08/15/2009 1,343,750
MCMS, Inc. (CCC+/B3)
2,000,000 9.75 03/01/2008 760,000
SCG Holding & Semiconductor Co. (B/B2)+
6,000,000 12.00 07/31/2009 6,120,000
Viasystems Group, Inc. (B-/B3)
11,500,000 9.75 06/01/2007 9,200,000
------------
26,616,250
----------------------------------------------------------------------------------------
Telecommunications - 12.2%
Allegiance Telecom, Inc. (B/B3)
1,500,000 0.00/11.75(S) 05/15/2008 1,012,500
1,000,000 12.88 05/15/2008 1,085,000
Birch Telecom, Inc.
1,000,000 14.00 06/15/2008 990,000
Carrier1 International S.A. (B-/B3)+
2,250,000 13.25 02/15/2009 2,306,250
Colt Telecom Group PLC (B/B1)(S)
5,500,000 0.00/12.00 12/15/2006 4,620,000
Econophone, Inc.
2,000,000 13.50+ 07/15/2007 2,090,000
500,000 0.00/11.00(S) 02/15/2008 295,000
Energis PLC (B/B1)+
4,500,000 9.75 06/15/2009 4,612,500
Exodus Communications, Inc. (B-)
3,000,000 11.25 07/01/2008 3,097,500
FaciliCom International, Inc.
2,250,000 10.50 01/15/2008 2,025,000
Global Crossing Holdings Ltd. (BB/Ba2)
5,250,000 9.63 05/15/2008 5,315,625
Global TeleSystems Group, Inc. (B-/Caa2)
3,000,000 9.88 02/15/2005 2,700,000
GST Equipment Funding, Inc.
2,000,000 13.25 05/01/2007 2,000,000
GST Network Funding, Inc.(S)
2,000,000 0.00/10.50 05/01/2008 950,000
GST Telecommunications, Inc.
1,000,000 12.75 11/15/2007 1,000,000
Hermes Europe Railtel B.V. (B/B3)
3,500,000 11.50 08/15/2007 3,456,250
2,500,000 10.38 01/15/2009 2,375,000
ICG Holdings, Inc. (B-/B3)(S)
5,000,000 0.00/11.63 03/15/2007 3,277,700
----------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Statement of Investments (continued)
October 31, 1999
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Telecommunications - (continued)
Intermedia Communications, Inc. (B/B2)
$ 5,750,000 0.00/11.25%(S) 07/15/2007 $ 3,967,500
2,250,000 8.88 11/01/2007 2,013,750
1,000,000 9.50 03/01/2009 917,500
Intermedia Communications, Inc. (CCC+/B3)
1,000,000 0.00/12.25(S) 03/01/2009 540,000
Jazztel PLC (Caa2)+
750,000 14.00 04/01/2009 817,500
Level 3 Communications, Inc. (B/B3)
5,000,000 9.13 05/01/2008 4,662,500
1,000,000 0.00/10.50(S) 12/01/2008 585,000
McLeodUSA, Inc. (B+/B1)
1,000,000 0.00/10.50(S) 03/01/2007 790,000
2,000,000 9.50 11/01/2008 2,000,000
750,000 8.13 02/15/2009 693,750
Metromedia Fiber Network, Inc. (B/B2)
3,000,000 10.00 11/15/2008 2,981,250
Metronet Communications, Inc. (BBB/Baa3)
7,000,000 0.00/9.95(S) 06/15/2008 5,442,500
750,000 10.63 11/01/2008 851,250
NEXTLINK Communications, Inc. (B/B3)
2,000,000 9.63 10/01/2007 1,925,000
2,250,000 9.00 03/15/2008 2,109,375
1,500,000 10.75 06/01/2009 1,530,000
Pathnet, Inc.
1,875,000 12.25 04/15/2008 1,087,500
PSINet, Inc. (B-/B3)
3,750,000 10.00 02/15/2005 3,675,000
1,500,000 11.50 11/01/2008 1,552,500
3,750,000 11.00+ 08/01/2009 3,843,750
RSL Communications PLC (B-/B2)
2,257,000 12.25 11/15/2006 2,268,285
2,000,000 0.00/10.13(S) 03/01/2008 1,120,000
1,750,000 9.13 03/01/2008 1,487,500
2,000,000 10.50 11/15/2008 1,840,000
Splitrock Services Inc.
1,000,000 11.75 07/15/2008 912,500
Verio, Inc. (B-/B3)
1,500,000 11.25 12/01/2008 1,565,625
Viatel, Inc. (B-/B3)
1,000,000 11.50 03/15/2009 965,000
WAM!Net, Inc. (CCC+)(S)
1,250,000 0.00/13.25 03/01/2005 725,000
Williams Communications Group, Inc. (BB-/B2)
2,000,000 10.70 10/01/2007 2,080,000
3,500,000 10.88 10/01/2009 3,605,000
-----------
101,762,860
----------------------------------------------------------------------------------------
Telecommunications-Cellular - 5.4%
AirGate PCS, Inc. (Caal)(S)
1,250,000 0.00/13.50 10/01/2009 768,750
Cencall Communications Corp. (B-/B1)
750,000 10.13 01/15/2004 765,000
----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Telecommunications - Cellular - (continued)
Centennial Cellular Corp. (B-/Caal)
$ 5,000,000 10.75% 12/15/2008 $ 5,212,500
Dolphin Telecom PLC (CCC+/Caal)+(S)
3,000,000 0.00/14.00 05/15/2009 1,185,000
Esat Telecom Group PLC (B+/B3)
4,000,000 11.88 12/01/2008 4,100,000
Millicom International Cellular S.A. (B-/Caal)(S)
5,000,000 0.00/13.50 06/01/2006 3,625,000
Nextel Communications, Inc. (B-/B1)(S)
7,000,000 0.00/9.75 08/15/2004 7,140,000
3,000,000 0.00/10.65 09/15/2007 2,250,000
750,000 0.00/9.75 10/31/2007 540,000
16,000,000 0.00/9.95 02/15/2008 11,360,000
Nextel Partners, Inc. (CCC+/B3)(S)
1,000,000 0.00/14.00 02/01/2009 620,000
Orange PLC (BB-/Ba3)
4,500,000 8.00 08/01/2008 4,505,627
2,000,000 9.00+ 06/01/2009 2,070,000
Triton PCS Holdings, Inc. (CCC+/B3)(S)
1,000,000 0.00/11.00 05/01/2008 690,000
------------
44,831,877
-------------------------------------------------------------------------------------------
Textiles - 0.5%
Delta Mills, Inc. (B+/B3)
3,000,000 9.63 09/01/2007 2,250,000
Galey & Lord, Inc. (B/Caa3)
2,000,000 9.13 03/01/2008 490,000
Globe Manufacturing Corp. (B-/Caa1)
2,000,000 10.00 08/01/2008 1,060,000
------------
3,800,000
-------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $703,615,203) $642,072,971
-------------------------------------------------------------------------------------------
Emerging Market Debt - 4.1%
Cablevision S.A. (BB/Ba3)+
$ 1,000,000 13.75% 05/01/2009 $ 940,000
Federal Republic of Brazil (B+)
451,000 14.50 10/15/2009 466,785
Federal Republic of Brazil C-Bonds (B+/B2)o
2,476,160 8.00 04/15/2014 1,646,646
Financiera Energy Nacional (BBB-)
730,000 9.38 06/15/2006 598,600
Globo Comunicacoes Participacoes (B+/B2)
1,000,000 10.50 12/20/2006 800,000
MRS Logistica S.A. (B)+
120,000 10.63 08/15/2005 87,600
Multicanal S.A. (BB+/B1)+
1,000,000 13.13 04/15/2009 942,500
National Power Corp. (BB)
500,000 7.63 11/15/2000 500,000
-------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
10
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Emerging Market Debt - (continued)
National Republic of Bulgaria (B2)#
$ 1,980,000 6.50% 07/28/2011 $ 1,504,800
1,120,000 2.75 07/28/2012 753,200
Petroleos Mexicanos (BB/Ba2)
500,000 9.50 09/15/2027 430,000
Petroleos Mexicanos (BB/Ba1)#
1,220,000 9.28 07/15/2005 1,177,300
Poland Communications, Inc. (B+/B1)
3,950,000 9.88 11/01/2003 3,930,250
Province of Tucuman (B1)
447,858 9.45 08/01/2004 344,850
Republic of Columbia (BB+/Baa3)
1,250,000 8.63 04/01/2008 1,050,000
Republic of Korea (BBB-/Baa3)
2,020,000 8.88 04/15/2008 2,112,617
Republic of Panama (BB+/Ba1)
1,610,800 6.08# 05/10/2002 1,582,611
4,710,000 4.00# 07/17/2014 3,520,725
1,650,000 9.38 04/01/2029 1,542,750
Republic of Philippines (BB+/Ba1)
1,300,000 8.88 04/15/2008 1,257,750
2,320,000 9.50 10/21/2024 2,320,000
Republic of Poland (BBB+/Baa1)#
3,930,000 3.00 10/27/2024 2,387,475
650,000 4.00 10/27/2024 424,125
United Mexican States (BB/Ba1)
5,680,000 6.25 12/31/2019 4,217,400
-----------------------------------------------------------------------------------------
TOTAL EMERGING MARKET DEBT
(Cost $34,766,506) $34,537,984
-----------------------------------------------------------------------------------------
Foreign Debt Obligations/E/ - 10.6%
British Pound Sterling - 4.0%
Coral Group Holdings PLC+
GBP 2,066,750 13.50% 09/30/2009 $ 3,277,219
Coral Group Holdings PLC (B-/B3)
1,500,000 10.00 02/15/2009 2,415,502
IPC Magazines Group PLC (B-/B3)
3,250,000 0.00/10.75(S) 03/15/2008 1,869,139
3,750,000 9.63 03/15/2008 3,697,198
Luxfer Holdings PLC (B/B2)
1,750,000 10.13 05/01/2009 2,588,038
Polestar Corp. PLC (B/B2)
3,000,000 10.50 05/30/2008 4,485,933
Telewest Communications PLC (B+/B1)(S)+
12,750,000 0.00/9.88 04/15/2009 12,727,604
William Hill Finance PLC (B-/B3)
1,500,000 10.63 04/30/2008 2,538,743
-----------
33,599,376
-----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Foreign Debt Obligations/E/ - (continued)
Euro Currency - 4.3%
BSN Financing Co., S.A. (B/B1)
EUR 7,000,000 10.25% 08/01/2009 $ 7,510,208
Dolphin Telecom PLC (Caa1)(S)
1,000,000 0.00/11.63 06/01/2008 452,296
Huntsman ICI Holdings LLC (B+/B2)
4,750,000 10.13 07/01/2009 4,996,287
Jazztel PLC (Caa2)
2,000,000 14.00 04/01/2009 2,398,218
Kappa Beheer B.V. (B/B2)+
4,000,000 0.00/12.50(S) 07/15/2009 2,408,736
6,750,000 10.63 07/15/2009 7,241,987
Ono Finance PLC (CCC+/Caa1)+
5,000,000 13.00 05/01/2009 5,548,508
PSINet, Inc. (B-/B3)+
2,000,000 11.00 08/01/2009 2,156,292
Tele1Europe B.V. (B-/Caa1)+
1,000,000 13.00 05/15/2009 1,120,220
Viatel, Inc. (B-/B3)
2,000,000 11.50 03/15/2009 2,051,107
-----------
35,883,859
-----------------------------------------------------------------------------------------
German Mark - 2.3%
Colt Telecom Group PLC (B/B1)
DEM 5,000,000 8.88 11/30/2007 2,756,237
Derby Cycle Corp. (CCC+/Caa1)
2,750,000 9.38 05/15/2008 813,426
Impress Metal Pack Holdings (B/B2)
10,000,000 9.88 05/29/2007 5,593,144
Ineos PLC (B+/B3)
9,000,000 8.63 04/30/2005 4,767,617
Sirona Dental Systems (B/B2)+
6,750,000 9.13 07/15/2008 2,722,624
Texon International PLC (B3)+
4,500,000 10.00 02/01/2008 2,081,295
-----------
18,734,343
-----------------------------------------------------------------------------------------
TOTAL FOREIGN DEBT OBLIGATIONS
(Cost $95,567,103) $88,217,578
-----------------------------------------------------------------------------------------
Repurchase Agreement - 2.1%
Joint Repurchase Agreement Account
$ 17,800,000 5.33% 11/01/1999 $17,800,000
-----------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $17,800,000) $17,800,000
-----------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Statement of Investments (continued)
October 31, 1999
<TABLE>
<CAPTION>
Interest Maturity
Shares Rate Date Value
<S> <C> <C> <C>
Preferred Stock - 3.0%++
CSC Holdings, Inc. (B+/B2)
58,087 11.75% 10/01/2007 $ 6,389,570
71,661 11.13 04/01/2008 7,703,556
Eagle-Picher Holdings, Inc. (CCC+/Caal)
200 11.75 03/01/2008 1,060,000
Global Crossing Holdings Ltd. (B+/B1)
12,500 10.50 12/01/2008 1,325,000
Intermedia Communications, Inc.
1,300 13.50 03/31/2009 1,176,500
Nextel Communications, Inc.
1,319 11.13 02/15/2010 1,345,380
Packaging Corp. of America (B-/Caa)
36,452 12.38 04/01/2010 3,900,402
5,000 12.38 04/15/2010 535,000
River Holding Corp.
4,445 11.50 04/15/2010 300,706
ZSC Specialty Chemicals PLC (B-/B3)
40,000 16.00 07/01/2010 1,000,000
------------------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost $23,050,647) $ 24,736,114
------------------------------------------------------------------------------------------
<CAPTION>
Shares Value
<S> <C> <C> <C>
Warrants* - 0.4%
Allegiance Telecom, Inc., expiring February 3, 2008
1,500 $ 12,000
Birch Telecom Inc., expiring June 15, 2008
1,000 0
Carrier1 International S.A., expiring February 15, 2009
2,250 0
Cellnet Data Systems, Inc., expiring September 15, 2007
3,000 15,000
Colt Telecom Group PLC, expiring December 31, 2006
3,500 3,139,850
Coral Group Holdings PLC, expiring September 30, 2009
2,000 329
Econophone, Inc., expiring July 15, 2007
2,000 100,000
Jazztel PLC, expiring April 1, 2009
13,750 0
Knology Holdings, Inc., expiring October 15, 2007
1,750 8,750
Ono Finance PLC, expiring May 31, 2009
6,250 0
Pathnet, Inc., expiring April 15, 2008
1,875 18,750
RSL Communications Ltd., expiring November 15, 2006
725 65,250
Splitrock Services Inc., expiring July 15, 2008
1,000 95,000
Tele1 Europe B.V., expiring May 15, 2009
1,000 0
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C> <C>
Warrants* - continued
V2 Music Holdings PLC, expiring April 15, 2008
1,750 $ 0
WAM!Net, Inc., expiring March 1, 2005
3,750 85,312
------------------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost $107,500) $ 3,540,241
------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $874,906,959) $810,904,888
------------------------------------------------------------------------------------------
</TABLE>
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1933. Such security may be resold, normally to qualified institutional
buyers in transactions exempt from registration. Total market value of Rule
144A securities amounted to $129,124,147 as of October 31, 1999.
(S)These securities are issued with a zero coupon or dividend rate which
increases to the stated rate at a set date in the future.
/E/The principal amount of each security is stated in the currency in which
the bond is denominated. See below.
DEM = German Mark.
EUR = Euro currency.
GBP = Great British Pound.
# Variable rate security. Coupon rate disclosed is that which is in effect at
October 31, 1999.
++Pay-in-kind securities.
* Non-income producing security.
\/Security currently in default.
@ Security is issued with a zero coupon. The interest rate disclosed for this
security represents effective yield to maturity.
o Coupon consists of 5% cash payment and 3% paid-in-kind securities.
Security ratings are unaudited.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Statement of Assets and Liabilities
October 31, 1999
Assets:
<TABLE>
<S> <C>
Investment in securities, at value (identified cost
$874,906,959) $810,904,888
Cash, at value 163,299
Receivables:
Investment securities sold, at value 3,789,529
Interest, at value 20,490,757
Fund shares sold 1,817,898
Forward foreign currency exchange contracts, at value 2,009,322
Reimbursement from adviser 95,949
Deferred organization expenses, net 17,695
Other assets, at value 97,326
----------------------------------------------------------------------------
Total assets 839,386,663
----------------------------------------------------------------------------
Liabilities:
Payables:
Investment securities purchased, at value 2,436,795
Income distribution 1,993,111
Fund shares repurchased 619,072
Amounts owed to affiliates 752,482
Forward foreign currency exchange contracts, at value 987,560
Accrued expenses and other liabilities, at value 160,780
----------------------------------------------------------------------------
Total liabilities 6,949,800
----------------------------------------------------------------------------
Net Assets:
Paid-in capital 898,923,769
Accumulated undistributed net investment income 7,583,257
Accumulated net realized loss on investment and foreign
currency related transactions (11,109,794)
Net unrealized loss on investments and translation of assets
and liabilities denominated in foreign currencies (62,960,369)
----------------------------------------------------------------------------
NET ASSETS $832,436,863
----------------------------------------------------------------------------
Net asset value, offering and redemption price per share(a)
Class A $9.07
Class B $9.08
Class C $9.07
Institutional $9.08
Service $9.08
----------------------------------------------------------------------------
Shares outstanding:
Class A 57,822,808
Class B 4,400,539
Class C 1,111,362
Institutional 28,355,371
Service 30,861
----------------------------------------------------------------------------
Total shares outstanding, $.001 par value (unlimited number of
shares authorized) 91,720,941
----------------------------------------------------------------------------
</TABLE>
(a) Maximum public offering price per share (NAV per share multiplied by
1.0471) for Class A shares is $9.50. At redemption, Class B and Class C
shares may be subject to a contingent deferred sales charge, assessed on
the amount equal to the lesser of the current net asset value or the
original purchase price of the shares.
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Statement of Operations
For the Year Ended October 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest(a) $ 75,504,192
Dividends 65,260
-----------------------------------------------------------------------------
Total income 75,569,452
-----------------------------------------------------------------------------
Expenses:
Management fees 5,170,565
Distribution and service fees(b) 1,724,789
Transfer agent fees(c) 1,114,821
Custodian fees 218,676
Registration fees 212,711
Professional fees 69,852
Trustee fees 9,806
Amortization of deferred organization expenses 6,432
Service share fees 2,011
Other 70,633
-----------------------------------------------------------------------------
Total expenses 8,600,296
-----------------------------------------------------------------------------
Less -- expenses reimbursed (410,832)
-----------------------------------------------------------------------------
Net expenses 8,189,464
-----------------------------------------------------------------------------
NET INVESTMENT INCOME 67,379,988
-----------------------------------------------------------------------------
Realized and unrealized gain (loss) on investment and foreign
currency transactions:
Net realized gain (loss) from:
Investment transactions (4,976,604)
Foreign currency related transactions 2,256,554
Net change in unrealized loss on:
Investments (24,651,870)
Translation of assets and liabilities denominated in foreign
currencies 3,552,323
-----------------------------------------------------------------------------
Net realized and unrealized loss on investment and foreign
currency transactions: (23,819,597)
-----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 43,560,391
-----------------------------------------------------------------------------
</TABLE>
(a) Taxes withheld on interest were $15,509.
(b) Class A, Class B and Class C had distribution and service fees of
$1,245,873, $373,154 and $105,762, respectively.
(c) Class A, Class B, Class C, Institutional Class and Service Class had
transfer agent fees of $946,862, $70,899, $20,095, $76,804 and $161,
respectively.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
For the For the
Year Ended Year Ended
October 31, 1999 October 31, 1998
<S> <C> <C>
From operations:
Net investment income $ 67,379,988 $ 36,398,084
Net realized loss from investment and
foreign currency related transactions (2,720,050) (6,342,487)
Net change in unrealized loss on
investments and translation of assets
and liabilities denominated in foreign
currencies (21,099,547) (40,457,626)
------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 43,560,391 (10,402,029)
------------------------------------------------------------------------------
Distributions to shareholders:
From net investment income
Class A shares (43,632,406) (29,778,924)
Class B shares (2,990,090) (1,501,311)
Class C shares (846,589) (441,110)
Institutional shares (17,700,298) (2,125,426)
Service shares (34,695) (9,368)
------------------------------------------------------------------------------
Total distributions to shareholders (65,204,078) (33,856,139)
------------------------------------------------------------------------------
From share transactions:
Proceeds from sales of shares 479,200,997 362,403,672
Reinvestment of dividends and
distributions 47,672,946 23,077,475
Cost of shares repurchased (210,201,224) (141,829,404)
------------------------------------------------------------------------------
Net increase in net assets resulting
from share transactions 316,672,719 243,651,743
------------------------------------------------------------------------------
TOTAL INCREASE 295,029,032 199,393,575
------------------------------------------------------------------------------
Net assets:
Beginning of year 537,407,831 338,014,256
------------------------------------------------------------------------------
End of year $ 832,436,863 $537,407,831
------------------------------------------------------------------------------
Accumulated undistributed net investment
income $ 7,583,257 $ 2,593,628
------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
15
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Notes to Financial Statements
October 31, 1999
1. ORGANIZATION
Goldman Sachs Trust (the "Trust") is a Delaware business trust registered un-
der the Investment Company Act of 1940 (as amended) as an open-end, manage-
ment investment company. The Trust includes the Goldman Sachs High Yield Fund
(the "Fund"). The Fund is a diversified portfolio offering five classes of
shares -- Class A, Class B, Class C, Institutional and Service.
The Fund invests primarily in non-investment grade fixed-income securities
which are considered predominantly speculative by traditional investment
standards. In some cases, these obligations may be highly speculative and
have poor prospects for reaching investment grade standing. Non-investment
grade fixed-income securities and unrated securities of comparable credit
quality (commonly known as "junk bonds") are subject to the increased risk of
an issuer's inability to meet principal and interest obligations. These secu-
rities, also referred to as high yield securities, may be subject to greater
price volatility due to such factors as specific corporate developments, in-
terest rate sensitivity, negative perceptions of the junk bond markets gener-
ally and less secondary market liquidity.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund. The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make es-
timates and assumptions that may affect the reported amounts. Actual results
could differ from those estimates.
A. Investment Valuation -- Portfolio securities for which accurate market
quotations are readily available are valued on the basis of quotations fur-
nished by a pricing service or provided by dealers in such securities. Port-
folio securities for which accurate market quotations are not readily
available are valued based on yield equivalents, pricing matrices or other
sources, under valuation procedures established by the Trust's Board of
Trustees. Short-term debt obligations maturing in sixty days or less are val-
ued at amortized cost.
B. Security Transactions and Investment Income -- Security transactions are
recorded as of the trade date. Realized gains and losses on sales of portfo-
lio securities are calculated using the identified cost basis. Interest in-
come is recorded on the basis of interest accrued. 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 corre-
sponding adjustment in the cost basis of that security.
16
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
C. Federal Taxes -- It is the 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
income and capital gains to its shareholders. Accordingly, no federal tax
provision is required.
The characterization of distributions to shareholders for financial report-
ing purposes is determined in accordance with income tax rules. Therefore,
the source of the portfolio's distributions may be shown in the accompanying
financial statements as either from or in excess of net investment income or
net realized gain on investment transactions, or from paid-in capital, de-
pending on the type of book/tax differences that may exist.
The Fund, at its most recent tax year-end of October 31, 1999 had approxi-
mately $10,760,000 capital loss carryforwards expiring in 2006 and 2007 for
U.S. federal tax purposes. This amount is available to be carried forward to
offset future capital gains to the extent permitted by applicable laws or
regulations.
At October 31, 1999 the aggregate cost of portfolio securities for federal
income tax purposes is $874,940,065. Accordingly, the gross unrealized gain
on investments was $10,807,276 and the gross unrealized loss on investments
was $74,842,453 resulting in a net unrealized loss of $64,035,177.
D. Expenses -- Expenses incurred by the Trust that do not specifically relate
to an individual Fund of the Trust are allocated to the funds on a straight-
line or pro rata basis depending upon the nature of the expense.
Class A, Class B and Class C shareholders of the Fund bear all expenses and
fees relating to their respective Distribution and Service Plans. Sharehold-
ers of Service shares bear all expenses and fees paid to service organiza-
tions. Each class of shares separately bears its respective class-specific
transfer agency fees.
E. Deferred Organization Expenses -- Organization-related costs are amortized
on a straight-line basis over a period of five years.
F. Foreign Currency Translations -- The books and records of the Fund are
maintained in U.S. dollars. Amounts denominated in foreign currencies are
translated into U.S. dollars on the following basis (i) investment valua-
tions, foreign currency and other assets and liabilities initially expressed
in foreign currencies are converted each business day into U.S. dollars based
upon current exchange rates; (ii) purchases and sales of foreign investments,
income and expenses are converted into U.S. dollars based upon currency ex-
change rates prevailing on the respective dates of such transactions.
Net realized and unrealized gain (loss) on foreign currency transactions
will represent: (i) foreign exchange gains and losses from the sale and hold-
ings of foreign currencies and sale of investments; (ii) gains and losses be-
tween trade date and settlement date on investment securities transactions
and forward exchange contracts; and (iii) gains and losses from the differ-
ence between amounts of dividends, interest and foreign withholding taxes re-
corded and the amounts actually received.
G. Segregation Transactions -- The Fund may enter into certain derivative
transactions to seek to increase total return. Forward foreign currency ex-
change contracts, futures contracts, written options, mortgage dollar rolls,
when-issued securities and forward commitments represent examples of such
transactions. As a result of entering into those transactions, the Fund is
required to segregate liquid assets on the accounting records equal to or
greater than the market value of the corresponding transactions.
17
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Notes to Financial Statements (continued)
October 31, 1999
3. AGREEMENTS
Goldman Sachs Asset Management ("GSAM"), a separate operating division of
Goldman, Sachs & Co. ("Goldman Sachs"), serves as the Fund's investment ad-
viser pursuant to an Investment Management Agreement (the "Agreement"). Under
the Agreement, GSAM, subject to the general supervision of the Trust's Board
of Trustees, manages the Fund's portfolio. As compensation for the services
rendered pursuant to the Agreement, the assumption of the expenses related
thereto and administering the Fund's business affairs, including providing
facilities, GSAM is entitled to a fee, computed daily and payable monthly at
an annual rate equal to .70% of the average daily net assets of the Fund.
GSAM has voluntarily agreed to limit "Other Expenses" for the Fund (exclud-
ing management fees, Service share fees, distribution and services fees, tax-
es, interest, brokerage, litigation, indemnification costs, transfer agent
fees and other extraordinary expenses) to the extent such expenses exceeded
.02% of the average daily net assets of the Fund. For the year ended October
31, 1999, Goldman Sachs has agreed to reimburse approximately $411,000.
Goldman Sachs serves as the Distributor of shares of the Funds pursuant to
a Distribution Agreement. Goldman Sachs may receive a portion of the Class A
sales load and Class B and Class C contingent deferred sales charges and has
advised the Fund that it retained approximately $1,151,000 for the year ended
October 31, 1999.
The Trust, on behalf of the Fund, has adopted Distribution and Service
Plans. Under the Distribution and Service Plans, Goldman Sachs and or autho-
rized dealers are entitled to a monthly fee for distribution and shareholder
maintenance services equal, on an annual basis, to .25%, 1.00% and 1.00% of
the average daily net assets attributable to Class A, Class B and Class C
shares, respectively.
Goldman Sachs also serves as the Transfer Agent of the Fund for a fee. Fees
charged for such transfer agency services are calculated daily and payable
monthly at an annual rate as follows: .19% of average daily net assets for
Class A, Class B and Class C shares and .04% of average daily net assets for
Institutional and Service Class shares.
The Trust, on behalf of the Fund, has adopted a Service Plan. This plan al-
lows for Service shares to compensate service organizations for providing va-
rying levels of account administration and shareholder liaison services to
their customers who are beneficial owners of such shares. The Service Plan
provides for compensation to the service organizations in an amount up to
.50% (on an annualized basis), of the average daily net asset value of the
Service shares.
At October 31, 1999, the Fund owed approximately $496,000, $154,000 and
$102,000 for Management, Distribution and Service and Transfer Agent Fees,
respectively.
18
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
4. PORTFOLIO SECURITIES TRANSACTIONS
Purchase and proceeds of sales or maturities of long-term securities for the
year ended October 31, 1999, were $727,241,047 and $408,078,351, respective-
ly.
Forward Foreign Currency Exchange Contracts -- The Fund may enter into for-
ward foreign currency exchange contracts for the purchase or sale of a spe-
cific foreign currency at a fixed price on a future date as a hedge or cross-
hedge against either specific transactions or portfolio positions. The Fund
may also purchase and sell forward contracts to seek to increase total re-
turn. All commitments are "marked-to-market" daily at the applicable transla-
tion rates and any resulting unrealized gains or losses are recorded in the
Fund's financial statements. The Fund records realized gains or losses at the
time the forward contract is offset by entry into a closing transaction or
extinguished by delivery of the currency. Risks may arise upon entering into
these contracts from the potential inability of counterparties to meet the
terms of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar.
At October 31, 1999, the Fund had outstanding forward foreign currency ex-
change contracts as follows:
<TABLE>
<CAPTION>
Open Foreign
Currency Value on Unrealized Unrealized
Purchase Contracts Settlement Date Current Value Gain Loss
---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Euro Currency
expiring 11/1/1999 $1,510,687 $1,350,914 $ -- $159,773
expiring 11/15/1999 1,041,717 1,050,798 9,081 --
expiring 11/15/1999 662,779 650,022 -- 12,757
expiring 12/15/1999 89,128 89,687 559 --
expiring 1/18/2000 46,996 47,428 432 --
---------------------------------------------------------------------------
TOTAL OPEN FOREIGN
CURRENCY PURCHASE
CONTRACTS $3,351,307 $3,188,849 $10,072 $172,530
---------------------------------------------------------------------------
</TABLE>
19
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Notes to Financial Statements (continued)
October 31, 1999
<TABLE>
<CAPTION>
Open Foreign Currency Value on Unrealized Unrealized
Sale Contracts Settlement Date Current Value Gain Loss
--------------------------------------------------------------------------
<S> <C> <C> <C> <C>
British Pound
expiring 11/1/1999 $ 286,566 $ 294,314 $ -- $ 7,748
expiring 11/30/1999 252,236 258,818 -- 6,582
expiring 2/15/2000 120,075 123,307 -- 3,232
expiring 3/15/2000 2,778,522 2,834,478 -- 55,956
expiring 5/2/2000 2,812,072 2,872,962 -- 60,890
expiring 5/30/2000 252,614 258,784 -- 6,170
expiring 6/30/2000 3,782,710 3,868,367 -- 85,657
expiring 8/15/2000 2,527,088 2,585,583 -- 58,495
expiring 9/15/2000 5,174,941 5,219,351 -- 44,410
expiring 10/18/2000 14,808,258 15,059,327 -- 251,069
expiring 11/1/2000 2,937,154 3,015,705 -- 78,551
expiring 11/30/2000 5,069,366 5,176,679 -- 107,313
Euro Currency
expiring 11/29/1999 186,717 186,269 448 --
expiring 11/30/1999 119,872 119,586 286 --
expiring 12/15/1999 89,720 89,687 33 --
expiring 12/30/1999 253,269 254,161 -- 892
expiring 1/18/2000 270,576 268,605 1,971 --
expiring 2/1/2000 625,436 615,060 10,376 --
expiring 3/15/2000 885,768 844,413 41,355 --
expiring 4/3/2000 154,441 148,883 5,558 --
expiring 5/2/2000 352,931 346,252 6,679 --
expiring 5/15/2000 71,052 69,307 1,745 --
expiring 5/30/2000 311,069 309,677 1,392 --
expiring 6/1/2000 670,267 642,566 27,701 --
expiring 6/30/2000 256,268 257,138 -- 870
expiring 7/17/2000 344,431 341,209 3,222 --
expiring 7/18/2000 43,561 42,654 907 --
expiring 8/1/2000 637,013 625,511 11,502 --
expiring 9/15/2000 2,445,799 2,334,340 111,459 --
expiring 10/2/2000 2,389,952 2,301,877 88,075 --
expiring 11/1/2000 5,871,132 5,737,386 133,746 --
expiring 11/15/2000 1,179,914 1,148,336 31,578 --
expiring 11/29/2000 4,282,145 4,245,782 36,363 --
expiring 11/30/2000 2,905,922 2,881,133 24,789 --
expiring 12/29/2000 5,395,695 5,393,667 2,028 --
expiring 1/16/2001 10,009,208 9,857,266 151,942 --
expiring 2/1/2001 12,873,209 12,619,129 254,080 --
German Mark
expiring 11/1/1999 7,147,403 6,733,353 414,050 --
expiring 11/15/1999 3,543,714 3,198,179 345,535 --
expiring 11/29/1999 1,869,812 1,791,695 78,117 --
expiring 1/18/2000 4,141,602 3,960,351 181,251 --
--------------------------------------------------------------------------
TOTAL OPEN FOREIGN
CURRENCY SALE
CONTRACTS $110,129,500 $108,931,147 $1,966,188 $767,835
--------------------------------------------------------------------------
</TABLE>
20
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
<TABLE>
<CAPTION>
Closed but Unsettled Realized Realized
Forward Currency Contracts Purchase Value Sale Value Gain Loss
-----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Euro Currency
expiring 11/1/1999 $ 371,741 $ 338,661 $ -- $33,080
expiring 11/4/1999 4,180,327 4,188,450 8,123 --
expiring 11/15/1999 66,729 68,915 2,186 --
expiring 1/18/2000 93,154 95,620 2,466 --
expiring 2/1/2000 40,661 40,080 -- 581
expiring 6/15/2000 91,871 92,582 711 --
expiring 8/1/2000 42,104 41,501 -- 603
expiring 12/15/2000 1,976,304 1,995,880 19,576 --
expiring 2/1/20001 873,904 860,973 -- 12,931
-----------------------------------------------------------------------
TOTAL CLOSED BUT UNSETTLED
FORWARD CURRENCY CONTRACTS $7,736,795 $7,722,662 $33,062 $47,195
-----------------------------------------------------------------------
</TABLE>
The contractual amounts of forward foreign currency exchange contracts do
not necessarily represent the amounts potentially subject to risk. The mea-
surement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered. At October 31,
1999, the Fund had sufficient cash and/or securities to cover any commitments
under these contracts.
The Fund has recorded a "Receivable for forward foreign currency exchange
contracts" and "Payable for forward foreign currency exchange contracts" re-
sulting from "open" and "closed but unsettled" forward foreign currency ex-
change contracts of $2,009,322 and $987,560, respectively, in the
accompanying Statement of Assets and Liabilities.
Futures Contracts -- The Fund may enter into futures transactions to hedge
against changes in interest rates, securities prices, currency exchange rates
or to seek to increase total return. Upon entering into a futures contract,
the Fund is required to deposit with a broker an amount of cash or securities
equal to the minimum "initial margin" requirement of the associated futures
exchange. Subsequent payments for futures contracts ("variation margin") are
paid or received by the Fund daily, dependent on the daily fluctuations in
the value of the contracts, and are recorded for financial reporting purposes
as unrealized gains or losses. When contracts are closed, the Fund realizes a
gain or loss which is reported in the Statement of Operations.
The use of futures contracts involve, to varying degrees, elements of mar-
ket and counterparty risk which may exceed the amounts recognized in the
Statement of Assets and Liabilities. Changes in the value of the futures con-
tract may not directly correlate with changes in the value of the underlying
securities. This risk may decrease the effectiveness of the Fund's strategies
and potentially result in a loss. At October 31, 1999, the fund had no open
futures contracts.
21
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Notes to Financial Statements (continued)
October 31, 1999
5. REPURCHASE AGREEMENTS
During the term of a repurchase agreement, the value of the underlying secu-
rities, 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 by a bank custodian.
6. JOINT REPURCHASE AGREEMENT ACCOUNT
The Fund, together with other registered investment companies having manage-
ment agreements with GSAM, transfers uninvested cash into joint accounts, the
daily aggregate balance of which is invested in one or more repurchase agree-
ments. At October 31, 1999, the Fund had an undivided interest in the repur-
chase agreement in the following joint account which equaled $17,800,000 in
principal amount. At October 31, 1999, the following repurchase agreements
held in this joint account were fully collateralized by Federal Agency obli-
gations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Repurchase Agreements Amounts Rate Date Cost
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ABN/AMRO, Inc. $ 420,000,000 5.33% 11/01/1999 $ 420,000,000
------------------------------------------------------------------------------
Bear Stearns Companies,
Inc. 200,000,000 5.33 11/01/1999 200,000,000
------------------------------------------------------------------------------
Deutsche Morgan Grenfell 318,700,000 5.33 11/01/1999 318,700,000
------------------------------------------------------------------------------
Banc of America Securities 1,000,000,000 5.33 11/01/1999 1,000,000,000
------------------------------------------------------------------------------
SG Cowen Securities 400,000,000 5.33 11/01/1999 400,000,000
------------------------------------------------------------------------------
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT $2,338,700,000
------------------------------------------------------------------------------
</TABLE>
7. LINE OF CREDIT FACILITY
The Fund participated in a $250,000,000 uncommitted and a $50,000,000 commit-
ted, unsecured revolving line of credit facility which was terminated on
April 30, 1999. Under the most restrictive arrangement, the Fund must have
owned securities having a market value in excess of 300% of the total bank
borrowings. Effective April 30, 1999, the Fund now participates in a
$250,000,000 uncommitted and a $250,000,000 committed, unsecured revolving
line of credit facility. Under the most restrictive arrangement, the Fund
must own securities having a market value in excess of 400% of the total bank
borrowings. These facilities are to be used solely for temporary or emergency
purposes. The interest rate on borrowings is based on the federal funds rate.
The committed facility also requires a fee to be paid by the Fund based on
the amount of the commitment which has not been utilized. During the year
ended October 31, 1999, the Fund did not have any borrowings under any of
these facilities.
22
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
8. CERTAIN RECLASSIFICATIONS
In accordance with Statement of Position 93-2, the Fund has reclassified
$2,647,865 and $165,854 from accumulated net realized loss and paid-in capi-
tal, respectively, to accumulated undistributed net investment income. These
reclassifications have no impact on the net asset value of the Fund and are
designed to present the Fund's capital accounts on a tax basis.
9. CHANGE IN INDEPENDENT AUDITOR
On October 26, 1999 the Board of Trustees of the Fund, upon the recommenda-
tion of the Board's audit committee, determined not to retain Arthur Andersen
LLP and approved a change of the Fund's independent auditors to Ernst & Young
LLP. For the fiscal years ended October 31, 1999 and October 31, 1998, Arthur
Andersen LLP audit reports contained no adverse opinion or disclaimer of
opinion; nor were their reports qualified or modified as to uncertainty, au-
dit scope, or accounting principles. Further, there were no disagreements be-
tween the Fund and Arthur Andersen LLP on accounting principles or practices,
financial statement disclosure or audit scope or procedure, which if not re-
solved to the satisfaction of Arthur Andersen LLP would have caused them to
make reference to the disagreement in their report.
23
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Notes to Financial Statements (continued)
October 31, 1999
10. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
<TABLE>
<CAPTION>
For the Year Ended
October 31, 1999
--------------------------
Shares Dollars
-------------------------------------------------------------------------
<S> <C> <C>
Class A Shares
Shares sold 25,318,440 $ 241,274,515
Reinvestment of dividends and distributions 3,487,785 33,178,138
Shares repurchased (14,816,674) (141,291,530)
--------------------------
13,989,551 133,161,123
-------------------------------------------------------------------------
Class B Shares
Shares sold 2,175,067 20,848,416
Reinvestment of dividends and distributions 176,076 1,642,893
Shares repurchased (1,143,028) (10,841,667)
--------------------------
1,208,115 11,649,642
-------------------------------------------------------------------------
Class C Shares
Shares sold 1,321,781 12,726,945
Reinvestment of dividends and distributions 54,662 520,094
Shares repurchased (1,196,698) (11,389,250)
--------------------------
179,745 1,857,789
-------------------------------------------------------------------------
Institutional Shares
Shares sold 21,248,263 204,157,121
Reinvestment of dividends and distributions 1,299,004 12,317,045
Shares repurchased (4,829,091) (46,289,669)
--------------------------
17,718,176 170,184,497
-------------------------------------------------------------------------
Service Shares
Shares sold 20,193 194,000
Reinvestment of dividends and distributions 1,518 14,776
Shares repurchased (39,586) (389,108)
--------------------------
(17,875) (180,332)
-------------------------------------------------------------------------
NET INCREASE 33,077,712 $ 316,672,719
-------------------------------------------------------------------------
</TABLE>
24
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
<TABLE>
<CAPTION>
For the Year Ended
October 31, 1998
--------------------------
Shares Dollars
-------------------------------------------------------------------------
<S> <C> <C>
Class A Shares
Shares sold 20,547,277 $ 201,740,256
Reinvestment of dividends and distributions 2,130,085 21,255,656
Shares repurchased (11,530,271) (111,870,637)
--------------------------
11,147,091 111,125,275
-------------------------------------------------------------------------
Class B Shares
Shares sold 2,759,954 27,841,336
Reinvestment of dividends and distributions 81,407 806,446
Shares repurchased (682,765) (6,734,611)
--------------------------
2,158,596 21,913,171
-------------------------------------------------------------------------
Class C Shares
Shares sold 1,861,343 18,919,754
Reinvestment of dividends and distributions 29,086 287,624
Shares repurchased (1,138,437) (11,521,691)
--------------------------
751,992 7,685,687
-------------------------------------------------------------------------
Institutional Shares
Shares sold 11,706,944 113,387,326
Reinvestment of dividends and distributions 75,487 720,684
Shares repurchased (1,145,389) (11,673,396)
--------------------------
10,637,042 102,434,614
-------------------------------------------------------------------------
Service Shares
Shares sold 51,049 515,000
Reinvestment of dividends and distributions 743 7,065
Shares repurchased (3,209) (29,069)
--------------------------
48,583 492,996
-------------------------------------------------------------------------
NET INCREASE 24,743,304 $ 243,651,743
-------------------------------------------------------------------------
</TABLE>
25
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
<TABLE>
<CAPTION>
Income (loss) from
investment operations(a) Distributions to shareholders
-------------------------------- --------------------------------
Net realized
and unrealized
Net asset gain (loss) on
value, Net investment and From In excess of Net decrease
beginning investment foreign currency net investment net investment in net
of period income related transactions income income asset value
FOR THE YEARS ENDED OCTOBER 31,
<S> <C> <C> <C> <C> <C> <C>
1999 - Class A Shares $ 9.16 $0.85 $(0.10) $ (0.84) $ -- $(0.09)
1999 - Class B Shares 9.16 0.77 (0.09) (0.76) -- (0.08)
1999 - Class C Shares 9.16 0.78 (0.11) (0.76) -- (0.09)
1999 - Institutional
Shares 9.17 0.90(e) (0.12)(e) (0.87) -- (0.09)
1999 - Service Shares 9.17 0.86(e) (0.12)(e) (0.83) -- (0.09)
-------------------------------------------------------------------------------------------------------------------
1998 - Class A Shares 9.97 0.82 (0.85) (0.78) -- (0.81)
1998 - Class B Shares 9.97 0.75 (0.86) (0.70) -- (0.81)
1998 - Class C Shares 9.97 0.75 (0.86) (0.70) -- (0.81)
1998 - Institutional
Shares 9.97 0.84 (0.83) (0.81) -- (0.80)
1998 - Service Shares 9.97 0.80 (0.84) (0.76) -- (0.80)
FOR THE PERIOD ENDED OCTOBER 31,
1997 - Class A Shares
(commenced August 1) 10.00 0.17 (0.02) (0.17) (0.01) (0.03)
1997 - Class B Shares
(commenced August 1) 10.00 0.15 (0.02) (0.15) (0.01) (0.03)
1997 - Class C Shares
(commenced August 15) 9.97 0.14 0.01 (0.14) (0.01) --
1997 - Institutional
Shares (commenced Au-
gust 1) 10.00 0.18 (0.02) (0.18) (0.01) (0.03)
1997 - Service Shares
(commenced August 1) 10.00 0.17 (0.02) (0.17) (0.01) (0.03)
-------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all distributions, a complete redemption of the
investment at the net asset value at the end of period and no sales
charge. Total return would be reduced if a sales or redemption charge was
taken into account.
(c) Annualized.
(d) Not annualized.
(e) Calculated based on the average shares outstanding methodology.
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
<TABLE>
<CAPTION>
Ratios assuming
no expense limitations
--------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income expenses to income Portfolio
value, end Total period to average to average average to average turnover
of period return(b) (in 000s) net assets net assets net assets net assets rate
<S> <C> <C> <C> <C> <C> <C> <C>
$9.07 8.06% $524,674 1.16% 9.06% 1.22% 9.00% 59.04%
9.08 7.38 39,907 1.91 8.30 1.97 8.24 59.04
9.07 7.26 10,078 1.91 8.26 1.97 8.20 59.04
9.08 8.49 257,498 0.76 9.50 0.82 9.44 59.04
9.08 7.95 280 1.26 8.92 1.32 8.86 59.04
- ------------------------------------------------------------------------------------------------------
9.16 (0.70) 401,626 1.09 8.25 1.36 7.98 113.44
9.16 (1.43) 29,256 1.84 7.61 1.88 7.57 113.44
9.16 (1.43) 8,532 1.84 7.61 1.88 7.57 113.44
9.17 (0.32) 97,547 0.84 9.47 0.88 9.43 113.44
9.17 (0.79) 447 1.34 9.17 1.38 9.13 113.44
9.97 1.50(d) 325,911 0.95(c) 7.06(c) 1.57(c) 6.44(c) 44.80(d)
9.97 1.31(d) 10,308 1.70(c) 6.28(c) 2.07(c) 5.91(c) 44.80(d)
9.97 1.46(d) 1,791 1.70(c) 6.17(c) 2.07(c) 5.80(c) 44.80(d)
9.97 1.58(d) 2 0.70(c) 7.16(c) 1.07(c) 6.79(c) 44.80(d)
9.97 1.46(d) 2 1.20(c) 6.69(c) 1.57(c) 6.32(c) 44.80(d)
- ------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
GOLDMAN SACHS HIGH YIELD FUND
Report of Independent Public Accountants
To the Shareholders and Board of Trustees of Goldman Sachs Trust -- High
Yield Fund:
We have audited the accompanying statement of assets and liabilities of the
Goldman Sachs High Yield Fund, one of the portfolios constituting Goldman
Sachs Trust -- Fixed Income Funds (a Delaware Business Trust), including the
statement of investments, as of October 31, 1999, and the related statement
of operations, the statements of changes in net assets and the financial
highlights for the periods presented. These financial statements and the fi-
nancial highlights are the responsibility of the Fund's management. Our re-
sponsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the finan-
cial statements. Our procedures included confirmation of securities owned as
of October 31, 1999 by correspondence with the custodian and brokers. An au-
dit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and the financial highlights re-
ferred to above present fairly, in all material respects, the financial posi-
tion of Goldman Sachs High Yield Fund as of October 31, 1999, the results of
its operations, the changes in its net assets and the financial highlights
for the periods presented, in conformity with generally accepted accounting
principles.
ARTHUR ANDERSEN LLP
Boston, Massachusetts
December 10, 1999
28
<PAGE>
GOLDMAN SACHS FUND PROFILE
Goldman Sachs High Yield Fund
THE GOLDMAN SACHS ADVANTAGE
When you invest in the Goldman Sachs High Yield Fund, you can capitalize on
Goldman Sachs' 130-year history of excellence while benefiting from the firm's
leadership in three areas:
1 Global Resources
With professionals based through-out the Americas, Europe and Asia, Goldman
Sachs possesses first-hand knowledge of the world's markets and economies.
2 Fundamental Research
Goldman Sachs is recognized by the managements of corporations worldwide as a
leader in investment research. As a result, we obtain face-to-face meetings with
managers on a timely, regular basis.
3 Risk Management
Goldman, Sachs & Co. excels in understanding, monitoring and managing investment
risk --a process that is integrated into all Goldman Sachs investment products.
Goldman Sachs High Yield Fund offers investors access to a
potentially attractive risk/reward profile. The Fund seeks a high
level of current income and, secondarily, capital appreciation,
primarily through fixed income securities rated, at the time of
investment, below investment grade.
Target Your Needs
Goldman Sachs High Yield Fund has a distinct investment objective
and a defined place on the risk/return spectrum. As your
investment objectives change, you can exchange shares within
Goldman Sachs Funds without any additional charge.* (Please note:
in general, greater returns are associated with greater risk.)
Goldman Sachs Fixed Income Funds
[CHART]
Higher Risk/Return .
HIGH YIELD
. High Yield Fund
TAXABLE
. Global Income Fund
. Core Fixed Income Fund
. Government Income Fund
. Adjustable Rate Government Fund
TAX-FREE
. Municipal Income Fund
. Short Duration Tax-Free Fund
. Lower Risk/Return
For More Information
To learn more about the Goldman Sachs High Yield Fund and other
Goldman Sachs Funds, call your investment professional today.
* The exchange privilege is subject to termination and its terms
are subject to change.
<PAGE>
Goldman Sachs Asset Management 32 OLD SLIP, 17TH Floor, New York, New York 10005
Trustees Officers
Ashok N. Bakhru, Chairman Douglas C. Grip, President
David B. Ford Jesse H. Cole, Vice President
Douglas C. Grip James A. Fitzpatrick, Vice President
John P. McNulty Nancy L. Mucker, Vice President
Mary P. McPherson John M. Perlowski, Treasurer
Alan A. Shuch Adrien E. Deberghes, Jr., Assistant Treasurer
Jackson W. Smart, Jr. Philip V. Giuca, Jr., Assistant Treasurer
William H. Springer Michael J. Richman, Secretary
Richard P. Strubel Amy E. Belanger, Assistant Secretary
Howard B. Surloff, Assistant Secretary
Kaysie Uniacke, Assistant Secretary
Valerie A. Zondorak, Assistant Secretary
Goldman, Sachs & Co.
Distributor and Transfer Agent
Goldman Sachs Asset Management
Investment Adviser
Visit our internet address: www.gs.com/funds
This material is not authorized for distribution to prospective investors unless
preceded or accompanied by a current Prospectus. Investors should read the
Prospectus carefully before investing or sending money.
Goldman, Sachs & Co. is the distributor of the Fund.
Goldman Sachs Government Income Fund's, Goldman Sachs Short Duration Government
Fund's and Goldman Sachs Adjustable Rate Government Fund's net asset values and
yields are not guaranteed by the U.S. Government or by its agencies,
instrumentalities or sponsored enterprises.
Goldman Sachs High Yield Fund invests primarily in high yield, lower rated
securities which involve greater price volatility and present greater risks than
higher rated fixed income securities. At times, the Fund may be unable to sell
certain of its portfolio securities without a substantial drop in price, if at
all.
Goldman Sachs Global Income Fund's, Goldman Sachs High Yield Fund's and Goldman
Sachs Core Fixed Income Fund's foreign investments may be more volatile than an
investment in U.S. securities and are subject to the risks of currency
fluctuations and political developments.
Goldman Sachs High Yield Fund's foreign investments and active management
techniques entail risks in addition to those customarily associated with
investing in dollar-denominated securities of U.S. issuers. Compared with U.S.
securities markets, foreign markets may be less liquid, more volatile and less
subject to governmental regulation, and may make available less public
information about issuers. The Funds may incur losses because of changes in
securities prices expressed in local currencies, movements in exchange rates, or
both.
Goldman Sachs Municipal Income Fund and Goldman Sachs Short Duration Tax-Free
Fund can invest up to 100% and 20% respectively, in private activity bonds, the
interest from which is subject to the federal alternative minimum tax.
Investment income may be subject to state income taxes.
(C) Copyright 1999 Goldman, Sachs & Co. All rights reserved. Date of first use:
December 31, 1999 FI/HYAR / 13K / 12-99
