<PAGE>
Goldman Sachs Funds
TAXABLE INVESTMENT GRADE FUNDS Semi-Annual Report April 30, 1999
Current income potential from
[LOGO OF GOLDMAN SACHS FUNDS portfolios that invest in a
APPEARS HERE]
variety of fixed income securities.
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Market Overview
Dear Shareholder,
During the period under review, most overseas bond markets performed admirably
in response to weak economies and interest rate cuts. But domestic fixed income
securities underperformed, as signs pointed to a tightening credit policy.
Market Review
. The Dollar Bloc -- Over the last six months, the outlook for U.S.
Treasuries has come full circle. Early in the reporting period, the
Federal Reserve Board was still easing credit, as it focused on the
weak global economy and few signs of domestic inflation. Since that
time, sentiment has gradually changed. The Federal Reserve Board took
a neutral stance for several months, as benign inflation overshadowed
higher-than-expected growth rates. However, with few signs of growth
abating, low unemployment and an increase in some commodity prices,
the consensus is now that the Federal Reserve Board will be forced to
raise rates later in the year. Elsewhere in the dollar bloc, New
Zealand, Canada and Australia have all outperformed U.S. Treasuries,
but with somewhat lackluster results. While each country was dragged
down by the weakness in the U.S. in February, they have experienced a
stronger turnaround, due to relatively lower growth rates and few
pricing pressures.
. Europe -- The classic "bad news is good news" for bonds was the
overriding theme in the European markets during much of the reporting
period. Slowing economies, declines in business and consumer
confidence levels, and subdued inflation set the stage for falling
yields and rising bond prices. Coordinated cuts in interest rates,
sometimes by larger-than-expected margins, helped all European markets
to outperform U.S. Treasuries over the last six months.
. Japan -- Despite an extremely weak economy and deflationary pressures,
the Japanese bond market fell sharply in November and December. The
leading culprit was the volume of supply required to finance an
economic stimulus package. However, the market has rallied strongly
thus far in 1999. Falling growth, confidence and prices led to a
surprise cut in interest rates by the Bank of Japan.
Outlook
. Pockets of Opportunity -- While there are still few signs of
inflation, we expect that the Federal Reserve Board will remain
vigilant and act swiftly if inflation trends upward. In Europe, we see
a balance of moderate growth with few signs of inflation. Within this
region, we particularly favor Denmark and U.K. bonds. Conversely, we
have a negative outlook for Japanese bonds, as the volume of new
issuance is likely to increase as further expected stimulus measures
are announced by the government to try and arrest the still depressed
economy.
We encourage you to continue focusing on the longer term and we look
forward to serving your investment needs in the years to come.
Sincerely,
/s/ David B. Ford /s/ John P. McNulty
David B. Ford John P. McNulty
Co-Head, Goldman Sachs Co-Head, Goldman Sachs
Asset Management Asset Management
/s/ Sharmin Mossavar-Rahmani
Sharmin Mossavar-Rahmani
CIO, Fixed Income Investments,
Goldman Sachs Asset Management
April 30, 1999
- -----------------
NOT FDIC-INSURED
- -----------------
May Lose Value
- -----------------
No Bank Guarantee
- -----------------
<PAGE>
Fund Basics
Adjustable Rate Government Fund
as of April 30, 1999
Assets Under Management
$363.3 Million
NASDAQ Symbols
Class A Shares
GSAMX
Institutional Shares
GSARX
Administration Shares
GSRAX
Service Shares
GSASX
- --------------------------------------------------------------------------------
Performance Review
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
October 31, 1998- Fund Total Return 30-Day 6-Month 1-Year
April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ U.S. Treasury/3/ U.S. Treasury/3/
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A 2.63% 4.64% 2.15% 1.75%
Institutional 2.83% 5.50% 2.15% 1.75%
Administration 2.71% 5.19% 2.15% 1.75%
Service 2.68% 5.00% 2.15% 1.75%
- --------------------------------------------------------------------------------------------------------------
</TABLE>
/1/ The net asset value represents the net assets of the Fund (ex-dividend)
divided by the total number of shares.
/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 6-Month and 1-Year U.S. Treasury securities reported by Merrill Lynch
do not reflect any fees or expenses.
- --------------------------------------------------------------------------------
Standardized Total Returns
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending 3/31/99 Class A Institutional Administration Service
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
One Year/4/ 2.40% 4.52% 4.26% 4.00%
Five Years/4/ N/A 5.57% 5.30% N/A
Since Inception/4/ 5.15% 5.36% 4.90% 4.82%
(5/15/95) (7/17/91) (4/15/93) (3/27/97)
- --------------------------------------------------------------------------------------------------
</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
1.5% for Class A shares. Because Institutional, Administration and Service
shares do not involve sales charges, such charges have not been applied to
their Standardized Total Returns.
- --------------------------------------------------------------------------------
Portfolio Composition as of 4/30/99/5/
- --------------------------------------------------------------------------------
Sector Allocation
- --------------------------------------------------------------------------------
Adjustable Rate Mortgage Securities 80.7%
Collateralized Mortgage Obligations 10.8%
Fixed Rate Pass-Throughs 7.5%
Agency Debentures 3.7%
- --------------------------------------------------------------------------------
/5/ Figures represent a percentage of net assets and may not sum to 100%. 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 fee waivers and expense limitations in effect. In their absence,
performance would be reduced.
<PAGE>
Performance Overview
Adjustable Rate Government Fund
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Adjustable Rate
Government Fund for the six-month period ended April 30, 1999.
Performance Review
Over the six-month period ended April 30, 1999, the Fund's A,
Institutional, Administration and Service shares generated cumulative total
returns, at net asset value, of 2.63%, 2.83%, 2.71% and 2.68%,
respectively. These returns outperformed the Fund's benchmarks, the
six-month U.S. Treasury bill and the one-year U.S. Treasury bill, which
returned 2.15% and 1.75%, respectively.
The Fund's outperformance was driven by the tightening of adjustable rate
mortgage (ARMs) and other mortgage spreads, as concerns regarding global
instability gradually diminished over the period. The ARM sector also
benefited from reduced supply and a steeper yield curve (which tends to
dampen prepayment expectations).
Investment Objective
The Fund seeks a high level of current income consistent with low
volatility of principal, primarily through investments in securities issued
by the U.S. government, its agencies, instrumentalities or sponsored
enterprises that are adjustable rate mortgage pass-through securities and
other mortgage securities with periodic interest rate resets.
Portfolio Composition
Our investment strategy emphasizes securities that we believe will provide
solid performance relative to the overall market, regardless of the
direction of interest rates. Throughout the period, we managed the Fund's
duration (.79 years as of April 30, 1999), within a tight range of the
9-month U.S. Treasury security. We also employed Goldman Sachs' extensive
research capabilities to identify attractive securities that offer better
total return potential than Treasuries.
Portfolio Highlights
. Adjustable Rate Mortgages (62.3% on October 31, 1998 to 80.7% on April 30,
1999) -- The Fund's allocation to ARMs increased substantially during the
period, as both fundamental and technical influences turned more positive.
Specifically, we saw refinancing incentives become less compelling and new
issuance activity slow. Toward the end of the period, strong investor
demand provided additional support for the sector.
<PAGE>
Performance Overview
Fixed Income
Investment
Process Overview
Sector Allocation
Our sector specialists work together to assess relative value among sectors and
create investment strategies to meet each fund's objectives.
Security Selection
In selecting securities for each portfolio, our fixed income teams have access
to the vast resources of Goldman Sachs.
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.
. Collateralized Mortgage Obligations (CMOs) (12.2% on October 31, 1998 to
10.8% on April 30, 1999) -- The Fund's allocation to CMOs declined modestly
during the period. Holdings were generally concentrated in floaters and
short-duration planned amortization class CMOs.
. Cash Equivalents -- During the period, the Fund's cash position fluctuated
in response to shifts in other sectors' allocations.
Portfolio Outlook
We continue to believe that ARMs may outperform Treasuries going forward.
This outlook is based on their spread advantage relative to other
high-quality, short-term assets and to the more benign prepayment
environment.
We thank you for your investment and look forward to your continued
confidence.
Goldman Sachs U.S. Fixed Income Investment Management Team
May 28, 1999
<PAGE>
Fund Basics
Short Duration Government Fund
as of April 30, 1999
Assets Under Management
$227.3 Million
NASDAQ Symbols
Class A Shares
AGSSDX
Class B Shares
GSDGX
Class C Shares
GSDCX
Institutional Shares
GSTGX
Administration Shares
GSDAX
Service Shares
GSDSX
- --------------------------------------------------------------------------------
Performance Review
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
October 31, 1998- Fund Total Return 30-Day 2-Year U.S.
April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ Treasury Security/3/
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Class A 1.00% 4.95% 0.28%
Class B 0.90% 4.43% 0.28%
Class C 0.62% N/A 0.28%
Institutional 1.30% 5.44% 0.28%
Administration 1.28% 5.18% 0.28%
Service 1.05% 4.93% 0.28%
</TABLE>
/1/ The net asset value represents the net assets of the Fund (ex-dividend)
divided by the total number of shares.
/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 2-Year U.S. Treasury security does not reflect any fees or expenses.
- --------------------------------------------------------------------------------
Standardized Total Returns
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending 3/31/99 Class A Class B Class C Institutional Administration Service
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
One Year/4/ 3.09% 2.47% 3.15% 5.64% 5.27% 5.00%
Five Years/4/ N/A N/A N/A 6.34% N/A N/A
Ten Years/4/ N/A N/A N/A 7.03% N/A N/A
Since Inception/4/ 4.83% 4.76% 4.44% 6.99% 5.86% 6.03%
(5/1/97) (5/1/97) (8/15/97) (8/15/88) (2/28/96) (4/10/96)
</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
2% for Class A shares, the assumed deferred sales charge for Class B shares
(2% maximum declining to 0% after three years) and the assumed deferred
sales charge for Class C shares (1% if redeemed within 12 months of
purchase). Because Institutional, Administration and Service shares do not
involve sales charges, such charges have not been applied to their
Standardized Total Returns.
- --------------------------------------------------------------------------------
Portfolio Composition as of 4/30/99/5/
- --------------------------------------------------------------------------------
Sector Allocation
- --------------------------------------------------------------------------------
Collateralized Mortgage Obligations 45.2%
Fixed Rate Pass-Throughs 23.9%
Adjustable Rate Mortgage Securities 22.6%
Cash Equivalents 3.8%
U.S. Treasuries 3.7%
Agency Debentures 2.6%
- --------------------------------------------------------------------------------
/5/ Figures represent a percentage of net assets and may not sum to 100%. 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 fee waivers and expense limitations in effect. In their absence,
performance would be reduced.
<PAGE>
Performance Overview
Short Duration Government Fund
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Short Duration
Government Fund for the six-month period ended April 30, 1999.
Performance Review
Over the six-month period ended April 30, 1999, the Fund's A, B, C,
Institutional, Administration and Service shares generated total cumulative
returns, at net asset value, of 1.00%, 0.90%, 0.62%, 1.30%, 1.28%,and
1.05%, respectively. These figures outperformed the 0.28% return of the
Fund's benchmark, the two-year U.S. Treasury security. The Fund's strong
performance relative to its benchmark is due to the dramatic tightening of
spreads in non-Treasury sectors over the past year. Because the Fund is
managed against an all-Treasury benchmark, the impact of this tightening on
performance is very pronounced.
Investment Objective
The Fund seeks a high level of current income and, secondarily, in seeking
current income, may also consider the potential for capital appreciation,
primarily through investing in U.S. Government securities and repurchase
agreements collateralized by such securities.
Portfolio Composition
We maintained our strategy of focusing on securities that we believe will
perform well relative to the benchmark, regardless of the direction of
interest rates. Our investment philosophy is to closely manage the Fund's
duration (1.97 years as of April 30, 1999) within a tight range of that of
its benchmark (1.88 years as of April 30, 1999), and to employ Goldman,
Sachs & Co.'s extensive research capabilities to identify attractively
valued securities within the mortgage and agency sectors.
Portfolio Highlights
. Collateralized Mortgage Obligations (CMOs) (39.8% on October 31, 1998 to
45.2% on April 30, 1999) -- We increased the Fund's allocation to CMOs over
the period in response to the cheapening of the sector following last
summer's liquidity crisis. Holdings over the period were concentrated in
floaters and short-duration sequentials and PACs.
. Fixed Rate Pass-Throughs (17.6% on October 31, 1998 to 23.9% on April 30,
1999) -- The Fund's position in fixed rate pass-through securities
increased modestly over the six-month period. In general, we favored lower
volatility securities, that is, low-coupon 15- and 30-year conventionals.
<PAGE>
Performance Overview
Fixed Income
Investment
Process Overview
Sector Allocation
Our sector specialists work together to assess relative value among sectors and
create investment strategies to meet each fund's objectives.
Security Selection
In selecting securities for each portfolio, our fixed income teams have access
to the vast resources of Goldman Sachs.
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.
. Adjustable Rate Mortgage Securities (ARMs) (12.4% on October 31, 1998 to 22.6%
on April 30, 1999) -- The Fund's allocation to ARMs increased substantially
during the period, as both fundamental and technical influences turned more
positive: refinancing incentives became less compelling and new issuance
activity slowed. Toward the end of the period, strong investor demand provided
additional support for the sector.
. U.S. Treasuries (19.6% on October 31, 1998 to 3.7% on April 30, 1999) and Cash
Equivalents (2.9% on October 31, 1998 to 3.8% on April 30, 1999) -- During the
period, the Fund's positions in U.S. Treasuries and cash fluctuated in
response to shifts in other sectors.
Portfolio Outlook
Although current spreads in the mortgage market are providing less of a
cushion against widening than they have in the recent past, solid
fundamentals -- stable-to-modestly higher Treasury rates and diminished
prepayment uncertainty -- argue against paring back the Fund's exposure at
this time. Therefore, we will continue to emphasize lower volatility
collateral within the pass-through sector, and well-structured PACs and
sequentials in the CMO sector.
We thank you for your investment and look forward to your continued
confidence.
Goldman Sachs U.S. Fixed Income Investment Management Team
May 28, 1999
<PAGE>
Fund Basics
Government Income Fund
as of April 30, 1999
Assets Under Management
$119.3 Million
NASDAQ Symbols
Class A Shares
GSGOX
Class B Shares
GSOBX
Class C Shares
GSOCX
Institutional Shares
GSOIX
Service Shares
GSOSX
- --------------------------------------------------------------------------------
Performance Review
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
October 31, 1998- Fund Total Return 30-Day Lehman Govt./
April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ Mortgage Index/3/
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Class A 0.02% 5.48% 0.39%
Class B -0.35% 5.00% 0.39%
Class C -0.35% 4.98% 0.39%
Institutional 0.22% N/A 0.39%
Service -0.37% N/A 0.39%
- ----------------------------------------------------------------------------------------
</TABLE>
/1/ The net asset value represents the net assets of the Fund (ex-dividend)
divided by the total number of shares.
/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 Brothers Government/Mortgage Index does not reflect any fees or
expenses.
- --------------------------------------------------------------------------------
Standardized Total Returns
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending 3/31/99 Class A Class B Class C Institutional Service
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year/4/ 0.82% -0.36% 3.84% 5.94% 4.90%
Five Years/4/ 6.45% N/A N/A N/A 7.27%
Since Inception/4/ 6.10% 5.89% 6.34% 7.41% 6.77%
(2/10/93) (5/1/96) (8/15/97) (8/15/97) (2/10/93)/5/
- ----------------------------------------------------------------------------------------------------
</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.
/5/ Performance data for Service shares prior to 8/15/97 is that of Class A
shares (excluding the impact of front-end sales charges applicable to Class
A shares since Service shares are not subject to any sales charges).
Performance of Class A shares in the Fund reflects the expenses applicable
to the Fund's Class A shares. The fees applicable to Service shares are
different from those applicable to Class A shares which impact performance
ratings and rankings for a class of shares.
- --------------------------------------------------------------------------------
Portfolio Composition as of 4/30/99/6/
- --------------------------------------------------------------------------------
Sector Allocation
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 60.5%
Asset-Backed Securities 15.3%
U.S. Treasuries 14.9%
Cash Equivalents 13.7%
Agency Debentures 6.3%
Municipal Bonds 1.8%
- --------------------------------------------------------------------------------
/6/ Figures represent a percentage of net assets and may not sum to 100%. 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 fee waivers and expense limitations in effect. In their absence,
performance would be reduced.
7
<PAGE>
Performance Overview
Government Income Fund
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Government
Income Fund for the six-month period ended April 30, 1999.
Performance Review
Over the six-month period ended April 30, 1999, the Fund's A, B, C,
Institutional and Service shares generated cumulative total returns, at net
asset value, of 0.02%, -0.35%, -0.35%, 0.22% and -0.37%, respectively. Over
the same time period, the Fund's benchmark, the Lehman Government/Mortgage
Index, generated a 0.39% return.
Investment Objective
The Fund seeks a high level of current income consistent with safety of
principal, primarily through investing in U.S. government securities and
repurchase agreements collateralized by such securities.
Portfolio Composition
During the period, we maintained our strategy of focusing on securities
that we believe will perform well relative to the benchmark regardless of
the direction of interest rates. Our investment philosophy is to closely
manage the Fund's duration (4.08 years as of April 30, 1999) within a tight
range of its benchmark (4.00 years), and seek excess returns over the
benchmark through sector weightings and individual security selection.
Portfolio Highlights
Mortgage-Backed Securities (MBS) (58.1% on October 31, 1998 to 60.5% on
April 30, 1999) -- We modestly increased the Fund's overweighting to
mortgage securities during the period in response to the cheapening of the
sector following last summer's liquidity crisis. Although spreads on both
pass-throughs and collateralized mortgage obligations have tightened
substantially in recent months, we believe they continue to offer
attractive yields relative to Treasuries.
U.S. Treasuries (16.1% on October 31, 1998 to 14.9% on April 30, 1999) and
Cash Equivalents (11.3% on October 31, 1998 to 1.6% on April 30, 1999) --
During the period, the Fund's positions in U.S. Treasuries and cash
equivalents remained relatively unchanged.
8
<PAGE>
Performance Overview
Fixed Income
Investment
Process Overview
Sector Allocation
Our sector specialists work together to assess relative value among sectors and
create investment strategies to meet each fund's objectives.
Security Selection
In selecting securities for each portfolio, our fixed income teams have access
to the vast resources of Goldman Sachs.
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.
. Asset-Backed Securities (ABS) (15.8% on October 31, 1998 to 15.3% on April
30, 1999) -- The Fund's position in asset-backed securities remained
relatively unchanged during the period under review.
. Insured Revenue Bonds (Municipal Bonds) (1.8% on October 31, 1998 to 1.8%
on April 30, 1999) -- We maintained a small position in municipal bonds
during the period under review.
Portfolio Outlook
Although current spreads in the mortgage market are providing less of a
cushion against widening than they have in the recent past, solid
fundamentals -- stable-to-modestly higher Treasury rates and diminished
prepayment uncertainty -- argue against paring back the Fund's exposure at
this time. Therefore, we will continue to emphasize shorter duration,
15-year collateral within the pass-through sector, and well-structured PACs
and sequentials in the collateralized mortgage obligations sector.
In general, we believe the ABS sector is fairly valued. However, select
opportunities in non-benchmark securities and sectors are likely to present
themselves over the next few months.
We thank you for your investment and look forward to your continued
confidence.
Goldman Sachs U.S. Fixed Income Investment Management Team
May 28, 1999
9
<PAGE>
Fund Basics
Core Fixed Income Fund
as of April 30, 1999
Assets Under Management
$278.3 Million
NASDAQ Symbols
Class A Shares
GCFIX
Class B Shares
GCFBX
Class C Shares
GCFCX
Institutional Shares
GSFIX
Administration Shares
GSFAX
Service Shares
GSCSX
- --------------------------------------------------------------------------------
Performance Review
- --------------------------------------------------------------------------------
October 31, 1998- Fund Total Return 30-Day Lehman Aggregate
April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ Bond Index/3/
- --------------------------------------------------------------------------------
Class A 0.10% 5.56% 0.69%
Class B -0.26% 5.06% 0.69%
Class C -0.26% 5.06% 0.69%
Institutional 0.21% 6.24% 0.69%
Administration 0.18% 5.98% 0.69%
Service 0.06% 5.73% 0.69%
/1/ The net asset value represents the net assets of the Fund (ex-dividend)
divided by the total number of shares.
/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 Aggregate Bond Index does not reflect any fees or expenses.
- --------------------------------------------------------------------------------
Standardized Total Returns
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending 3/31/99 Class A Class B Class C Institutional Administration Service
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
One Year/4/ 0.87% -0.42% 3.77% 5.84% 5.68% 5.42%
Since Inception/4/ 5.48% 5.08% 6.20% 6.86% 6.81% 7.11%
(5/1/97) (5/1/97) (8/15/97) (1/5/94) (2/28/96) (3/13/96)
- ------------------------------------------------------------------------------------------------------------------
</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, Administration and Service shares do
not involve sales charges, such charges have not been applied to their
Standardized Total Returns.
- --------------------------------------------------------------------------------
Portfolio Composition as of 4/30/99/5/
- --------------------------------------------------------------------------------
Sector Allocation
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 42.9% Emerging Market Debt 3.1%
Corporate Bonds 34.4% U.S. Treasuries 1.6%
Cash Equivalents 13.1% Sovereign Credit 1.3%
Asset-Backed Securities 11.5% Agency Debentures 0.9%
- --------------------------------------------------------------------------------
/5/ Figures represent a percentage of net assets and may not sum to 100%. 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 fee waivers and expense limitations in effect. In their absence,
performance would be reduced.
10
<PAGE>
Performance Overview
Core Fixed Income Fund
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Core Fixed
Income Fund for the six-month period ended April 30, 1999.
Performance Review
Over the six-month period ended April 30, 1999, the Fund's A, B, C,
Institutional, Administration and Service share classes generated
cumulative total returns, at net asset value, of 0.10%, -0.26%, -0.26%,
0.21%, 0.18% and 0.06%, respectively. Over the same time period, the Fund's
benchmark, the Lehman Brothers Aggregate Bond Index, generated a return of
0.69%.
Investment Objective
The Fund seeks total return consisting of capital appreciation and income
that exceeds that of the Lehman Brothers Aggregate Bond Index, primarily
through fixed income securities, including securities issued or guaranteed
by the U.S. government, its agencies, instrumentalities or sponsored
enterprises, corporate debt securities, mortgage-backed securities and
asset-backed securities.
Portfolio Composition
Our general investment strategy de-emphasizes Treasuries in favor of higher
yielding fixed income alternatives with enhanced total return potential.
Therefore, during the period under review, we underweighted Treasury and
agency securities relative to the benchmark, and overweighted corporate,
mortgage- and asset-backed and emerging market debt securities.
Portfolio Highlights
. Mortgage-Backed Securities (MBS) (39.2% on October 31, 1998 to 42.9% on
April 30, 1999) -- We increased the Fund's overweighting of mortgage
securities during the period in response to the cheapening of the sector
following last summer's liquidity crisis. Although spreads on both
pass-throughs and collateralized mortgage obligations have tightened
substantially in recent months, we believe that they continue to offer
attractive yields relative to Treasuries.
. Corporate Bonds (28.3% on October 31, 1998 to 34.4% on April 30, 1999) --
Presently the Fund maintains an overweighted allocation (on a market value
basis) to corporates relative to the benchmark. As with the mortgage
sector, we began increasing the Fund's allocation to corporates after
spreads widened dramatically in September and October. Since then,
corporates have benefited from robust earnings prospects, a strong U.S.
equity market and greatly improved liquidity conditions.
11
<PAGE>
Performance Overview
Fixed Income
Investment
Process Overview
Sector Allocation
Our sector specialists work together to assess relative value among sectors and
create investment strategies to meet each fund's objectives.
Security Selection
In selecting securities for each portfolio, our fixed income teams have access
to the vast resources of Goldman Sachs.
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.
. Asset-Backed Securities (ABS) (11.9% on October 31, 1998 to 11.5% on April
30, 1999) -- The Fund's position in asset-backed securities remained
relatively unchanged during the period.
. U.S. Treasuries (17.5% on October 31, 1998 to 1.6% on April 30, 1999) and
Cash Equivalents (7.9% on October 31, 1998 to 13.1% on April 30, 1999) --
The Fund's positions in U.S. Treasuries and cash equivalents declined in
response to increases in the Fund's allocations to both the mortgage-backed
and corporate sectors.
. Emerging Market Debt (EMD) (1.4% on October 31, 1998 to 3.1% on April 30,
1999) -- We chose to increase exposure to EMD as global risk factors such
as Brazil, Asia and commodities prices all pointed toward a more stable
outlook for spreads.
Portfolio Outlook
Over the near term, we expect that the fixed income environment will remain
fairly friendly and that spreads will grind slowly tighter. As a result, we
will continue to seek incremental return through the overweighting of
non-Treasury -- in other words, higher yielding -- sectors and through
relative value trading strategies.
With respect to the corporate sector, we intend to maintain our current
allocation relative to the benchmark. Looking ahead, we believe the
fundamental environment remains favorable for the sector; however, we
remain wary that new issuance activity may put pressure on spreads in the
near term.
Within the mortgage sector, although current spreads are providing less of
a cushion against widening than they have in recent months, solid
fundamentals -- stable-to-modestly higher Treasury rates and diminished
prepayment uncertainty -- argue against paring back the Fund's exposure at
this time.
In general, we believe the ABS sector is fairly valued. However, select
opportunities in non-benchmark securities and sectors are likely over the
next few months.
Finally, the outlook for EMD depends largely on the direction the Federal
Reserve Board takes. If, as we believe, the economic environment does not
necessitate aggressive Fed tightening, capital flows into emerging markets
should resume, thus enabling spreads to narrow.
We thank you for your investment and look forward to your continued
confidence.
Goldman Sachs U.S. Fixed Income Investment Management Team
May 28, 1999
12
<PAGE>
Fund Basics
Global Income Fund
as of April 30, 1999
Assets Under Management
$561.6 Million
NASDAQ Symbols
Class A Shares
GSGIX
Class B Shares
GSLBX
Class C Shares
GSLCX
Institutional Shares
GSGLX
Service Shares
GGISX
- --------------------------------------------------------------------------------
Performance Review
- --------------------------------------------------------------------------------
October 31, 1998- Fund Total Return 30-Day JPM Global Govt.
April 30, 1999 (based on NAV)/1/ Standardized Yield/2/ Bond Index/3/
- --------------------------------------------------------------------------------
Class A 1.54% 3.23% 2.24%
Class B 1.23% 2.88% 2.24%
Class C 1.31% 2.88% 2.24%
Institutional 1.86% 4.04% 2.24%
Service 1.61% 3.54% 2.24%
- --------------------------------------------------------------------------------
/1/ The net asset value represents the net assets of the Fund (ex-dividend)
divided by the total number of shares.
/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 composition and characteristics of the securities in the JP Morgan
(JPM) Global Government Bond Index (hedged) are not identical to those of
the Fund. Also, unlike the Fund's return, the Index's return does not
reflect any fees or expenses.
- --------------------------------------------------------------------------------
Standardized Total Returns
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending 3/31/99 Class A Class B Class C Institutional Service
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year/4/ 2.81% 1.78% 5.98% 8.34% 7.76%
Five Years/4/ 8.04% N/A N/A N/A 9.10%
Since Inception/4/ 7.66% 8.06% 8.78% 10.75% 8.35%
(8/2/91) (5/1/96) (8/15/97) (8/1/95) (8/2/91)/5/
- --------------------------------------------------------------------------------------------------
</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.
/5/ Performance data for Service shares prior to 3/12/97 is that of Class A
shares (excluding the impact of front-end sales charges applicable to Class
A shares since Service shares are not subject to any sales charges).
Performance of Class A shares in the Fund reflects the expenses applicable
to the Fund's Class A shares. The fees applicable to Service shares are
different from those applicable to Class A shares which impact performance
ratings and rankings for a class of shares.
- --------------------------------------------------------------------------------
Top Positions as of 4/30/99/6/
- --------------------------------------------------------------------------------
Bonds Denomination Bonds Denomination
- --------------------------------------------------------------------------------
1. U.S. Dollar 37.8% 5. U.S. Dollar Cash Equivalents 6.9%
2. Euro Currency 22.4% 6. Swedish Krona 1.1%
3. British Pound 16.1% 7. New Zealand Dollar 0.9%
4. Japanese Yen 10.6%
- --------------------------------------------------------------------------------
/6/ Figures represent a percentage of net assets and may not sum to 100%. 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 fee waivers and expense limitations in effect. In their absence
performance would be reduced.
13
<PAGE>
Performance Overview
Global Income Fund
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Global Income
Fund for the six-month period ended April 30, 1999.
Performance Review
Over the six-month period ended April 30, 1999, the Fund's A, B, C,
Institutional and Service shares generated cumulative total returns, at net
asset value, of 1.54%, 1.23%, 1.31%, 1.86%, and 1.61%, respectively. Over
the same time period, the Fund's benchmark, the JP Morgan Global Government
Bond Index (hedged into U.S. dollars), generated a 2.24% return.
For the one-year period ended April 30, 1999, each of the Fund's share
classes substantially outperformed the 2.49% return of its peers within the
Lipper Global Income Funds category. Additionally, all Fund share classes
ranked in the top 20% of the 143 funds in the Lipper category. During this
period, the Fund's Class A, B and C shares ranked 19, 23 and 22,
respectively, with returns of 7.87%, 7.35% and 7.38%. Institutional and
Service shares ranked 14 and 18, respectively, with returns of 8.55% and
8.03%. Over the five year-period, the Fund's Class A shares ranked 8 out of
68 funds. The remaining share classes were not ranked because their
performance records are less than five years. (Please note that Lipper
rankings do not take sales charges into account and that past performance
is not a guarantee of future results.)
During the period under review, there were two major factors behind the
Fund's return versus the index. First, the Fund's portfolio was underweight
in Japan, which rallied strongly during the first quarter. Second, an
overweight exposure in the Dollar Bloc was detrimental, as yields increased
in the U.S. However, recent overweight positions in Norway, Denmark,
Australia and New Zealand helped to offset some of the negative factors.
Investment Objective
The Fund seeks high total return, emphasizing current income and, to a
lesser extent, providing opportunities for capital appreciation primarily
through investments in fixed income securities of U.S. and foreign issuers
and through transactions in foreign currencies.
Portfolio Positioning
In the Dollar Bloc regions, the Fund rotated a portion of its portfolio out
of the U.S. in favor of stronger performing Australian and New Zealand
securities. In Europe, we are now neutral overall, as we wait to see if the
positives for the bond market (weak growth, declining inflation and poor
business confidence) will be overshadowed by potential negative factors
(employment growth and consumer demand leading to upward pressure on
yields). During the period, we slowly increased our underweight exposure in
Japan, to take advantage of its surging bond market.
14
<PAGE>
Performance Overview
Fixed Income
Investment
Process Overview
Sector Allocation
Our sector specialists work together to assess relative value among sectors and
create investment strategies to meet each fund's objectives.
Security Selection
In selecting securities for each portfolio, our fixed income teams have access
to the vast resources of Goldman Sachs.
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 Highlights
. Denmark -- The Danish authorities remain committed to keeping the krona in
a very tight band versus the euro, providing a clear signal of their
intention to eventually join the Euro Bloc. In order to facilitate this,
monetary policy has been kept tight, ensuring inflationary pressures remain
subdued.
. Norway -- The recent rise in the price of oil has supported the Norwegian
krona, thus allowing the Central Bank to cut interest rates in response to
a deteriorating economy. This has supported the bond market, enabling the
spread relative to core Europe to contract from over 125 basis points to
around 80 basis points for 10-year securities.
. New Zealand -- The recent policy shift away from using its Monetary
Conditions Index (MCI) in favor of a official interest rate target has
provided a greater degree of clarity to the operation of monetary policy.
The tight policy that has been in place for some time has been effective in
quelling inflationary pressures, particularly those arising from the
housing market. Evidence finally began to emerge that housing was slowing,
in turn, reducing the pressures on retail sales.
. Euro Bloc -- The divergence in growth in Europe continued over the period
with the three largest economies, Germany, France and Italy, remaining
soft, while the smaller economies, such as Spain and Ireland, remain
strong. However the European Central Bank's policy focus has been on the
softer core, and specifically on the very favorable inflation outturns.
While we do not expect a further interest rate cut by the ECB, the market
has moved toward pricing this into the front end of the yield curve.
Portfolio Outlook
Economic data released during 1999 clearly shows that the U.S. economy has
considerable momentum. As a result, we will be more cautious about this
market in the coming months.
Within Europe, we feel it will be vital to selectively choose investment
opportunities going forward. We anticipate continuing to underweight the
core EMU markets in favor of the U.K. and Denmark. We remain optimistic
that inflationary pressures will continue to fall in the U.K., and that
growth will remain subdued as weak manufacturing and export conditions
remain a drag on economic activity.
We remain negative on Japanese bonds, despite the steepness of the yield
curve and the poor economic outlook. We remain committed in our belief that
the volume of new issuance by the government and wholesale selling by
institutions will keep upward pressure on yields.
We thank you for your investment and look forward to your continued
confidence.
Goldman Sachs Global Fixed Income Investment Management Team
May 28, 1999
15
<PAGE>
Goldman sachs Taxable Investment Grade Funds
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.
16
<PAGE>
GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND
Performance Summary
April 30, 1999 (Unaudited)
The following graph shows the value as of April 30, 1999, of a $10,000 in-
vestment made in Institutional shares on August 1, 1991 of the Adjustable
Rate Government Fund. For comparative purposes, the performance of the Fund's
benchmarks, the six-month and one-year U.S. Treasury Bills ("Six-Month
T-Bill/One-Year T-Bill"), as well as the Lehman Brothers Mutual Fund Short
(1-2) U.S. Government Index ("Lehman 1-2 Index"), are 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 re-
deemed, to be worth more or less than their original cost. Performance of
Class A, Administration and Service shares will vary from Institutional
shares due to differences in fees and loads.
Adjustable Rate Government Fund's Lifetime Performance
Growth of a $10,000 Investment, Distributions Reinvested August 1, 1991 to
April 30, 1999.(a)
[LINE GRAPH APPEARS HERE]
Institutional Lehman One Year Six Month
Class 1 - 2 Index T - Bil T - Bill
----- ----------- ------- --------
8/1/91 10,000 10,000 10,000 10,000
Aug-91 10,074 10,120 10,083 10,060
Sep-91 10,136 10,213 10,158 10,117
Oct-91 10,208 10,316 10,236 10,174
Nov-91 10,277 10,415 10,314 10,234
Dec-91 10,333 10,554 10,407 10,300
Jan-92 10,389 10,556 10,436 10,335
Feb-92 10,441 10,588 10,463 10,365
Mar-92 10,474 10,600 10,489 10,397
Apr-92 10,522 10,694 10,550 10,450
May-92 10,588 10,777 10,592 10,489
Jun-92 10,661 10,870 10,648 10,531
Jul-92 10,724 10,979 10,726 10,583
Aug-92 10,779 11,056 10,775 10,617
Sep-92 10,833 11,149 10,844 10,665
Oct-92 10,834 11,100 10,832 10,675
Nov-92 10,843 11,092 10,841 10,698
Dec-92 10,911 11,190 10,900 10,740
Jan-93 10,947 11,288 10,957 10,780
Feb-93 10,996 11,361 10,995 10,808
Mar-93 11,020 11,393 11,027 10,841
Apr-93 11,065 11,455 11,066 10,870
May-93 11,086 11,433 11,055 10,887
Jun-93 11,148 11,505 11,109 10,920
Jul-93 11,188 11,533 11,137 10,949
Aug-93 11,238 11,610 11,187 10,984
Sep-93 11,264 11,647 11,219 11,015
Oct-93 11,282 11,672 11,240 11,039
Nov-93 11,292 11,686 11,261 11,067
Dec-93 11,323 11,728 11,301 11,106
Jan-94 11,355 11,796 11,347 11,142
Feb-94 11,375 11,746 11,334 11,152
Mar-94 11,369 11,717 11,336 11,180
Apr-94 11,352 11,688 11,326 11,197
May-94 11,359 11,709 11,341 11,228
Jun-94 11,384 11,742 11,378 11,277
Jul-94 11,441 11,836 11,448 11,324
Aug-94 11,478 11,876 11,487 11,369
Sep-94 11,485 11,866 11,504 11,400
Oct-94 11,494 11,900 11,549 11,452
Nov-94 11,492 11,861 11,543 11,486
Dec-94 11,543 11,891 11,582 11,536
Jan-95 11,659 12,036 11,698 11,611
Feb-95 11,748 12,178 11,800 11,679
Mar-95 11,804 12,248 11,869 11,739
Apr-95 11,879 12,347 11,937 11,801
May-95 11,991 12,518 12,044 11,872
Jun-95 12,006 12,585 12,113 11,935
Jul-95 12,072 12,644 12,173 11,995
Aug-95 12,139 12,713 12,231 12,054
Sep-95 12,191 12,771 12,281 12,104
Oct-95 12,270 12,865 12,355 12,164
Nov-95 12,346 12,960 12,429 12,223
Dec-95 12,424 13,051 12,498 12,291
Jan-96 12,515 13,154 12,578 12,352
Feb-96 12,549 13,125 12,593 12,396
Mar-96 12,600 13,133 12,627 12,438
Apr-96 12,662 13,158 12,671 12,489
May-96 12,740 13,198 12,716 12,540
Jun-96 12,790 13,286 12,784 12,594
Jul-96 12,855 13,338 12,832 12,649
Aug-96 12,920 13,393 12,893 12,705
Sep-96 13,023 13,500 12,980 12,771
Oct-96 13,114 13,635 13,076 12,832
Nov-96 13,191 13,722 13,140 12,889
Dec-96 13,257 13,744 13,185 12,943
Jan-97 13,323 13,808 13,250 13,000
Feb-97 13,383 13,849 13,299 13,060
Mar-97 13,436 13,854 13,332 13,111
Apr-97 13,545 13,958 13,410 13,173
May-97 13,643 14,051 13,493 13,244
Jun-97 13,712 14,140 13,572 13,308
Jul-97 13,797 14,269 13,670 13,370
Aug-97 13,853 14,297 13,712 13,424
Sep-97 13,921 14,394 13,785 13,493
Oct-97 13,992 14,489 13,861 13,554
Nov-97 14,032 14,529 13,901 13,602
Dec-97 14,087 14,621 13,966 13,665
Jan-98 14,172 14,745 14,057 13,735
Feb-98 14,207 14,769 14,094 13,786
Mar-98 14,264 14,829 14,165 13,854
Apr-98 14,289 14,899 14,232 13,915
May-98 14,346 14,975 14,442 13,976
Jun-98 14,415 15,050 14,511 14,043
Jul-98 14,457 15,121 14,579 14,110
Aug-98 14,530 15,277 14,697 14,183
Sep-98 14,583 15,451 14,817 14,268
Oct-98 14,565 15,531 14,893 14,328
Nov-98 14,558 15,526 14,894 14,366
Dec-98 14,658 15,585 14,947 14,427
Jan-99 14,728 15,643 15,000 14,482
Feb-99 14,761 15,604 15,008 14,521
Mar-99 14,908 15,707 15,099 14,588
Apr-99 14,977 15,759 15,153 14,637
<TABLE>
<CAPTION>
Average Annual Total
Return through April 30,
1999 Since Inception Five Years One Year Six Months(b)
<S> <C> <C> <C> <C>
Class A (commenced May
15, 1995)
Excluding sales charges 5.60% n/a 4.36% 2.63%
Including sales charges 5.19% n/a 2.78% 1.06%
-----------------------------------------------------------------------------
Institutional Class
(commenced July 17, 1991) 5.37% 5.70% 4.82% 2.83%
-----------------------------------------------------------------------------
Administration Class
(commenced April 15,
1993) 4.90% 5.43% 4.56% 2.71%
-----------------------------------------------------------------------------
Service Class (commenced
March 27, 1997) 4.83% n/a 4.40% 2.68%
-----------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) Not annualized.
17
<PAGE>
GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - 99.0%
Adjustable Rate Federal Home Loan Mortgage Corp.
(FHLMC)(a) - 27.0%
$ 1,643,156 7.14% 07/01/2018 $ 1,692,714
3,548,798 8.02 11/01/2018 3,659,132
773,417 6.96 12/01/2018 798,073
5,415,408 6.71 05/01/2019 5,551,659
13,592,935(b) 7.19 11/01/2019 13,872,270
7,170,909(b) 6.94 01/01/2020 7,371,479
2,765,522 7.21 05/01/2020 2,868,787
14,040,357(b) 7.45 06/01/2020 14,346,437
21,663,873(b) 7.19 02/01/2022 22,408,677
4,107,807 6.80 06/01/2022 4,189,141
2,411,265 6.77 08/01/2022 2,476,441
3,310,600 6.73 09/01/2022 3,379,361
3,802,729 7.23 09/01/2022 3,907,913
5,546,421(b) 7.02 06/01/2024 5,702,442
2,170,897 6.44 02/01/2028 2,224,149
3,336,955 7.06 07/01/2030 3,451,679
-----------
$97,900,354
---------------------------------------------------------------------------------------------
Adjustable Rate Federal National Mortgage Association
(FNMA)(a) - 50.7%
$ 927,663 7.24% 04/01/2003 $ 934,917
652,739 7.40 11/01/2014 666,297
3,794,712 6.18 03/01/2017 3,844,536
2,141,486 6.82 03/01/2017 2,213,761
7,926,925 6.84 04/01/2017 8,095,293
402,770 6.40 11/01/2017 409,569
2,747,273 5.74 03/01/2018 2,748,701
671,477 6.71 03/01/2018 687,459
519,288 7.15 05/01/2018 533,729
5,438,287 6.67 06/01/2018 5,633,195
3,142,104 6.79 07/01/2018 3,205,543
3,967,801 6.81 08/01/2018 4,081,320
2,340,025 6.99 08/01/2018 2,405,335
1,265,643 6.94 10/01/2018 1,305,790
108,297 6.68 11/01/2018 110,412
3,747,739 6.96 11/01/2018 3,842,032
8,862,246 6.48 12/01/2018 9,132,987
2,028,977 6.59 06/01/2019 2,078,931
2,484,493 6.60 07/01/2019 2,552,419
1,015,745 6.76 07/01/2019 1,045,740
1,045,405 6.30 08/01/2019 1,069,910
1,677,471 7.07 03/01/2020 1,701,476
12,790,464(b) 7.36 05/01/2020 13,140,283
5,475,324 6.35 07/01/2020 5,615,657
6,051,290 5.97 12/25/2020 6,040,397
12,157,093(b) 7.08 01/01/2021 12,546,485
2,928,547 7.02 02/01/2021 3,022,963
3,273,185 6.68 04/01/2021 3,357,077
43,361,526(b) 6.92 09/01/2021 44,513,209
12,557,588(b) 7.08 02/01/2022 12,937,078
3,854,908 7.18 06/01/2022 3,986,592
1,371,715 7.08 05/20/2022 1,393,525
1,123,037 7.02 08/01/2022 1,155,672
3,993,550 7.06 09/01/2022 4,094,627
220,873 6.23 12/01/2023 222,046
9,367,457(b) 6.62 06/20/2024 9,447,175
455,939 7.04 09/01/2025 468,044
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - (continued)
Adjustable Rate Federal National Mortgage Association
(FNMA)(a) - (continued)
$ 2,437,629 6.68% 08/01/2027 $ 2,504,274
1,492,211 6.72 10/01/2027 1,528,069
------------
$184,272,525
----------------------------------------------------------------------------------------------
Adjustable Rate Government National Mortgage Association
(GNMA)(a) - 3.0%
$ 1,660,301 6.37% 03/20/2016 $ 1,694,287
3,311,483 6.62 08/20/2018 3,387,018
3,945,583 6.37 02/20/2021 4,033,135
1,937,677 6.87 06/20/2022 1,962,208
------------
$ 11,076,648
----------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. (FHLMC) - 2.9%
$ 1,902,470 6.50% 03/01/2013 $ 1,922,674
3,849,458 6.50 04/01/2013 3,890,339
1,571,386 6.50 05/01/2013 1,588,074
3,204,301 6.50 06/01/2013 3,236,679
------------
$ 10,637,766
----------------------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) - 3.5%
$ 6,989,508(b) 7.00% 10/01/2002 $ 7,048,010
5,259,194 8.00 11/01/2017 5,494,753
------------
$ 12,542,763
----------------------------------------------------------------------------------------------
Government National Mortgage Association - 1.1%
$ 3,950,078 6.50% 08/15/2027 $ 3,931,552
------------
$ 3,931,552
----------------------------------------------------------------------------------------------
Collateralized Mortgage Obligations - 10.8%
Inverse Floater(a) - 1.4%
FNMA Series 1993-189, Class SA
$ 4,898,817 9.75% 10/25/2023 $ 4,938,840
------------
$ 4,938,840
----------------------------------------------------------------------------------------------
IOette - 0.1%
FNMA Remic Trust 1990-145, Class B(c)
$ 14,870 5.77% 12/25/2020 $ 284,094
------------
$ 284,094
----------------------------------------------------------------------------------------------
Planned Amortization Class (PAC) CMOs - 2.7%
FHLMC Series 2055, Class OD(b)
$10,000,000 6.00% 12/15/2007 $ 9,834,300
------------
$ 9,834,300
----------------------------------------------------------------------------------------------
Regular Floater CMOs(a) - 0.1%
FNMA Remic Trust 1997-7, Class FB
$ 254,406 5.54% 03/18/2027 $ 254,388
------------
$ 254,388
----------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
Mortgage Backed Obligations - (continued)
<S> <C> <C> <C>
Collateralized Mortgage Backed Obligations (Continued)
Sequential Fixed Rate CMOs - 6.5%
FHLMC Series 2064, Class M
$7,300,000 6.00% 06/15/2028 $ 6,988,655
FNMA Remic Trust 1997-A, Class C(b)
8,000,000 7.50 06/17/2024 8,099,440
FNMA Series 1998-36, Class J(b)
9,095,000 6.00 07/18/2028 8,666,716
------------
$ 23,754,811
-----------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS $ 39,066,433
-----------------------------------------------------------------------------------------------
TOTAL MORTGAGE BACKED OBLIGATIONS
(Cost $363,914,694) $359,428,041
-----------------------------------------------------------------------------------------------
Agency Debentures - 3.7%
Adjustable Rate Small Business Administration (SBA) - 3.7%
$ 701,443 5.87% 09/25/2016 $ 712,582
3,159,430 5.87 07/25/2017 3,180,535
3,988,362 5.87 08/25/2017 4,053,931
2,252,981 5.87 09/25/2017 2,275,159
2,533,480 5.87 10/25/2017 2,575,383
745,993 5.63 11/25/2018 749,835
-----------------------------------------------------------------------------------------------
TOTAL AGENCY DEBENTURES
(Cost $13,375,710) $ 13,547,425
-----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $377,290,404)(d) $372,975,466
-----------------------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------------------------------
Futures contracts open at April 30, 1999 are as follows:
<TABLE>
<CAPTION>
Number of
Contracts Settlement Unrealized
Type Long/(Short)(e) Month Gain (Loss)
------------------------------------------------------------------------------------
<S> <C> <C> <C>
Euro Dollars 369 June 1999 $ (44,193)
Euro Dollars 221 September 1999 (170,541)
Euro Dollars 30 December 1999 (3,191)
Euro Dollars (68) March 2000 49,718
5 Year U.S.
Treasury Note 20 June 1999 (127)
10 Year U.S.
Treasury Note (134) June 1999 65,524
20 Year Long
Term Bond 6 June 1999 (18,459)
------------------------------------------------------------------------------------
$ (121,269)
------------------------------------------------------------------------------------
Federal Income Tax Information:
Gross unrealized gain for investments in which value
exceeds cost $ 424,514
Gross unrealized loss for investments in which cost
exceeds value (4,788,454)
------------------------------------------------------------------------------------
Net unrealized loss $(4,363,940)
------------------------------------------------------------------------------------
</TABLE>
(a) Variable rate security. Coupon rate disclosed is that which is in effect
at April 30, 1999.
(b) Portions of these securities are segregated for open futures contracts
and futures margin requirements.
(c) Represents security with notional or nominal principal amount. The rate
stated is the actual effective yield of this security.
(d) The aggregate cost for federal income tax purposes is $377,339,406.
(e) Each Euro Dollar contract represents $1,000,000 in notional par value.
Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long
Term Bond contract represents $100,000 in notional par value. The total
notional amount and market value at risk are $704,000,000 and
$181,512,413, respectively. The determination of notional amounts as
presented here are indicative only of volume of activity and not a
measure of market risk.
The percentages shown for each investment category 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.
19
<PAGE>
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Performance Summary
April 30, 1999 (Unaudited)
The following graph shows the value as of April 30, 1999, of a $10,000 in-
vestment made in Institutional shares on September 1, 1988 of the Goldman
Sachs Short Duration Government Fund. For comparative purposes, the perfor-
mance of the Fund's benchmark the U.S. 2-Year Treasury Bill ("Two-Year T-
Bill"), as well as the Lehman Brothers Mutual Fund Short (1-3) U.S.
Government Index ("Lehman Short (1-3) Gov't Index"), are shown. This perfor-
mance data represents past performance and should not be considered indica-
tive 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 A, Class B, Class C, Administration and Service shares will vary
from Institutional shares due to differences in fees and loads.
Short Duration Government Fund's Lifetime Performance
Growth of a $10,000 Investment, Distributions Reinvested September 1, 1988 to
April 30, 1999.(a)
[LINE GRAPH APPEARS HERE]
Short Duration Government Fund Lehman Short (1-3) Two-Year
-- Institutional Shares Gov't Index T-Bill
----------------------- ----------- ------
9/1/88 10,000 10,000 10,000
Sep-88 10,129 10,116 10,109
Oct-88 10,257 10,218 10,211
Nov-88 10,221 10,193 10,169
Dec-88 10,226 10,215 10,367
Jan-89 10,315 10,296 10,455
Feb-89 10,335 10,297 10,443
Mar-89 10,359 10,340 10,474
Apr-89 10,515 10,509 10,623
May-89 10,673 10,657 10,786
Jun-89 10,887 10,855 10,992
Jul-89 11,040 11,015 11,158
Aug-89 10,936 10,950 11,064
Sep-89 11,008 11,013 11,119
Oct-89 11,189 11,184 11,276
Nov-89 11,287 11,284 11,367
Dec-89 11,336 11,327 11,402
Jan-90 11,323 11,340 11,391
Feb-90 11,386 11,400 11,432
Mar-90 11,445 11,434 11,464
Apr-90 11,461 11,461 11,476
May-90 11,616 11,638 11,655
Jun-90 11,732 11,760 11,783
Jul-90 11,864 11,902 11,929
Aug-90 11,896 11,945 11,964
Sep-90 11,993 12,040 12,052
Oct-90 12,110 12,173 12,184
Nov-90 12,225 12,291 12,301
Dec-90 12,365 12,436 12,451
Jan-91 12,468 12,553 12,548
Feb-91 12,534 12,634 12,608
Mar-91 12,623 12,718 12,696
Apr-91 12,743 12,840 12,806
May-91 12,809 12,917 12,893
Jun-91 12,859 12,965 12,964
Jul-91 13,030 13,077 13,089
Aug-91 13,158 13,256 13,275
Sep-91 13,334 13,396 13,420
Oct-91 13,433 13,541 13,556
Nov-91 13,592 13,681 13,694
Dec-91 13,588 13,889 13,912
Jan-92 13,568 13,870 13,880
Feb-92 13,585 13,912 13,917
Mar-92 13,577 13,908 13,905
Apr-92 13,668 14,034 14,023
May-92 13,820 14,164 14,165
Jun-92 13,984 14,307 14,336
Jul-92 14,152 14,471 14,508
Aug-92 14,276 14,588 14,643
Sep-92 14,384 14,726 14,786
Oct-92 14,274 14,642 14,684
Nov-92 14,261 14,620 14,649
Dec-92 14,406 14,756 14,789
Jan-93 14,569 14,911 14,959
Feb-93 14,698 15,030 15,090
Mar-93 14,707 15,076 15,132
Apr-93 14,793 15,168 15,232
May-93 14,763 15,132 15,168
Jun-93 14,905 15,245 15,290
Jul-93 14,937 15,279 15,319
Aug-93 15,087 15,406 15,458
Sep-93 15,082 15,455 15,510
Oct-93 15,066 15,489 15,534
Nov-93 15,038 15,492 15,541
Dec-93 15,120 15,554 15,597
Jan-94 15,238 15,652 15,697
Feb-94 15,159 15,557 15,596
Mar-94 15,026 15,477 15,518
Apr-94 14,962 15,419 15,447
May-94 14,998 15,439 15,458
Jun-94 15,027 15,477 15,502
Jul-94 15,158 15,616 15,643
Aug-94 15,208 15,668 15,685
Sep-94 15,183 15,632 15,643
Oct-94 15,216 15,668 15,681
Nov-94 15,156 15,602 15,616
Dec-94 15,189 15,632 15,637
Jan-95 15,400 15,844 15,870
Feb-95 15,613 16,060 16,095
Mar-95 15,687 16,150 16,178
Apr-95 15,860 16,294 16,324
May-95 16,142 16,572 16,629
Jun-95 16,206 16,662 16,717
Jul-95 16,226 16,728 16,776
Aug-95 16,317 16,829 16,869
Sep-95 16,426 16,911 16,949
Oct-95 16,581 17,051 17,096
Nov-95 16,747 17,196 17,250
Dec-95 16,861 17,327 17,377
Jan-96 17,058 17,474 17,525
Feb-96 16,976 17,406 17,434
Mar-96 16,963 17,392 17,411
Apr-96 16,982 17,409 17,416
May-96 17,019 17,447 17,446
Jun-96 17,160 17,575 17,573
Jul-96 17,214 17,643 17,635
Aug-96 17,322 17,708 17,691
Sep-96 17,502 17,870 17,856
Oct-96 17,703 18,072 18,061
Nov-96 17,833 18,205 18,200
Dec-96 17,844 18,209 18,195
Jan-97 17,942 18,296 18,264
Feb-97 18,001 18,340 18,298
Mar-97 17,986 18,325 18,289
Apr-97 18,176 18,475 18,440
May-97 18,290 18,604 18,565
Jun-97 18,444 18,733 18,695
Jul-97 18,675 18,937 18,912
Aug-97 18,661 18,956 18,920
Sep-97 18,836 19,100 19,060
Oct-97 18,954 19,241 19,210
Nov-97 18,974 19,289 19,233
Dec-97 19,091 19,419 19,368
Jan-98 19,307 19,605 19,571
Feb-98 19,289 19,623 19,569
Mar-98 19,349 19,697 19,638
Apr-98 19,426 19,792 19,720
May-98 19,547 19,898 19,820
Jun-98 19,626 20,000 19,976
Jul-98 19,728 20,093 20,064
Aug-98 19,992 20,356 20,338
Sep-98 20,232 20,612 20,635
Oct-98 20,233 20,712 20,742
Nov-98 20,107 20,691 20,644
Dec-98 20,187 20,770 20,702
Jan-99 20,309 20,850 20,755
Feb-99 20,213 20,756 20,610
Mar-99 20,439 20,896 20,755
Apr-99 20,496 20,962 20,800
<TABLE>
<CAPTION>
Average Annual Total
Return through April 30,
1999 Since Inception Ten Years Five Years One Year Six Months(b)
<S> <C> <C> <C> <C> <C>
Class A (commenced May
1, 1997)
Excluding sales charges 5.77% n/a n/a 4.94% 1.00%
Including sales charges 4.71% n/a n/a 2.84% -1.00%
----------------------------------------------------------------------------------------
Class B (commenced May
1, 1997)
Excluding contingent
deferred sales charges 5.24% n/a n/a 4.42% 0.90%
Including contingent
deferred sales charges 4.72% n/a n/a 2.33% -1.12%
----------------------------------------------------------------------------------------
Class C (commenced Au-
gust 15, 1997)
Excluding contingent
deferred sales charges 4.40% n/a n/a 4.05% 0.62%
Including contingent
deferred sales charges 4.40% n/a n/a 3.01% -0.39%
----------------------------------------------------------------------------------------
Institutional Class
(commenced August 15,
1988) 6.96% 6.90% 6.49% 5.51% 1.30%
----------------------------------------------------------------------------------------
Administration Class
(commenced February 28,
1996) 5.82% n/a n/a 5.25% 1.28%
----------------------------------------------------------------------------------------
Service Class (commenced
April 10, 1996) 5.94% n/a n/a 4.88% 1.05%
----------------------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) Not annualized.
20
<PAGE>
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - 91.7%
Adjustable Rate Federal Home Loan Mortgage Corp.
(FHLMC)(a) - 5.7%
$1,069,085 7.12% 08/01/2017 $ 1,091,803
872,943 7.31 05/01/2018 876,461
3,215,392 6.90 06/01/2018 3,292,916
1,040,537 6.96 12/01/2018 1,073,709
4,888,666 7.19 02/01/2022 5,056,738
1,431,496 8.03 10/01/2025 1,462,831
------------
$ 12,854,458
---------------------------------------------------------------------------------------------
Adjustable Rate Federal National Mortgage Association
(FNMA)(a) - 16.9%
$1,566,575 7.40% 11/01/2014 $ 1,599,112
2,595,833 7.01 11/01/2017 2,649,411
3,178,395 7.76 02/01/2018 3,245,027
2,774,762 6.75 06/01/2018 2,810,390
2,531,437 7.17 03/01/2019 2,589,913
6,343,432 7.36 05/01/2020 6,516,924
3,668,221 6.99 12/01/2020 3,751,820
4,178,555 7.08 01/01/2021 4,312,394
1,123,037 7.02 08/01/2022 1,155,672
3,255,989 8.16 01/01/2023 3,344,592
4,126,381 6.09 07/01/2028 4,184,150
2,150,038 7.03 01/01/2031 2,217,570
------------
$ 38,376,975
---------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. (FHLMC) - 10.6%
$6,300,000 5.00% 02/15/2001 $ 6,260,247
949,181 6.50 04/01/2013 957,781
1,923,590 6.50 05/01/2013 1,944,018
963,434 6.50 06/01/2013 972,163
876,067 7.00 08/01/2028 888,656
1,095,424 7.00 09/01/2028 1,111,165
4,608,371 8.00 01/01/2028 4,795,563
7,000,000 7.00 TBA-30 Yr(b) 7,100,590
------------
$ 24,030,183
---------------------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) - 10.0%
$4,933,771 7.00% 10/01/2002 $ 4,975,066
1,600,000 5.75 04/15/2003 1,608,122
1,213,568 8.50 05/01/2010 1,269,307
36,452 6.00 08/01/2010 36,224
32,026 6.00 11/01/2010 31,787
101,842 6.00 01/01/2011 101,078
151,916 6.00 02/01/2011 150,776
4,980,609 6.00 03/01/2011 4,943,254
2,122,679 6.00 04/01/2011 2,106,758
2,343,092 6.00 05/01/2011 2,325,518
388,453 6.00 06/01/2011 385,539
261,706 6.00 07/01/2011 259,743
682,448 6.00 09/01/2011 677,330
67,433 6.00 12/01/2011 66,927
69,373 6.00 01/01/2012 68,722
369,688 6.00 03/01/2012 366,220
281,651 6.00 04/01/2013 279,009
332,083 6.00 11/01/2013 328,968
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - (continued)
Federal National Mortgage Association (FNMA) - (continued)
$ 600,653 6.00% 01/01/2014 $ 586,862
2,205,899 6.00 03/01/2014 2,180,394
------------
$ 22,747,604
-----------------------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) - 3.3%
$ 149,165 9.00% 12/15/2008 $ 157,865
242,404 9.00 01/15/2009 256,541
79,017 9.00 01/15/2010 83,855
630,489 9.00 07/15/2012 666,597
4,353,507 7.00 10/15/2023 4,426,994
1,975,039 6.50 08/15/2027 1,965,776
------------
$ 7,557,628
-----------------------------------------------------------------------------------------------
Collateralized Mortgage Obligations - 45.2%
Inverse Floater(a) - 1.8%
FNMA Remic Trust 1992-62, Class S
$ 154,131 11.09% 05/25/1999 $ 154,501
FHLMC Series 1296, Class J
195,253 12.71 07/15/1999 196,106
FNMA Remic Trust 1993-231, Class SA
1,900,263 7.69 12/25/2008 1,870,495
FNMA Remic Trust 1990-134, Class S
1,254,558 14.19 11/25/2020 1,412,243
FNMA Remic Trust 1991-42, Class S
400,000 9.03 05/25/2021 407,108
------------
$ 4,040,453
-----------------------------------------------------------------------------------------------
Inverse Floating Rate - Interest Only(a) - 0.0%
FNMA Remic Trust 1993-110, Class SC(c)
$ 582,865 5.25% 04/25/2019 $ 13,015
FHLMC Series 1684, Class JD(c)
1,418,826 5.62 08/15/2020 78,688
------------
$ 91,703
-----------------------------------------------------------------------------------------------
Planned Amortization - Interest Only - 0.2%
FHLMC Series 1587, Class HA(c)
$5,979,261 6.50% 10/15/2008 $ 508,536
-----------------------------------------------------------------------------------------------
Planned Amortization - Principal Only - 0.6%
FNMA Remic Trust 1989-39, Class D(c)
$1,530,127 5.57% 05/25/2018 $ 1,366,587
-----------------------------------------------------------------------------------------------
Planned Amortization Class (PAC) CMOs - 23.1%
Federal National Mortgage Association (FNMA) Remic Trust 1991-31, Class
PJ
$3,000,000 6.55% 10/25/2020 $ 3,021,150
FHLMC Series 1556, Class G
2,000,000 6.35 10/15/2010 2,018,120
FHLMC Series 1687, Class J
5,000,000 6.50 02/15/2009 5,000,550
FHLMC Series 1916, Class PC
3,700,000 6.75 12/15/2011 3,806,523
FHLMC Series 1985, Class PC
8,500,000 6.35 05/17/2018 8,582,280
FHLMC Series 1987, Class L
4,000,000 6.20 08/25/2022 3,936,880
-----------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
21
<PAGE>
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - (continued)
Planned Amortization Class (PAC) CMOs - (continued)
FHLMC Series 2055, Class OD
$3,000,000 6.00% 12/15/2007 $ 2,950,290
FNMA Remic Trust 1997-70, Class AB
1,250,000 6.50 09/25/2022 1,228,225
FNMA Remic Trust Series 1997-84, Class PA
4,000,000 5.90 11/25/2021 3,920,000
FNMA Series 1992-138, Class D
3,000,000 6.50 07/25/2020 3,017,940
FNMA Series 1993-32, Class PH
3,000,000 6.50 11/25/2022 3,010,980
FHLMC Series 16, Class PG
2,500,000 6.35 03/25/2018 2,518,750
FNMA Series 4, Class C
9,310,000 7.50 06/17/2024 9,425,723
------------
$ 52,437,411
-----------------------------------------------------------------------------------------------
Principal Only - 1.5%
FNMA Remic Trust 1992 G-28, Class A(c)
$4,107,858 5.32% 05/25/2007 $ 3,590,021
-----------------------------------------------------------------------------------------------
Regular Floater CMOs(a) - 1.9%
FHLMC Series 1296, Class I
546,707 4.96% 07/15/1999 544,482
FHLMC Series 1684, Class JC
1,418,826 5.06 08/15/2020 1,407,291
FNMA Remic Trust 1988-12, Class B
1,871,434 3.56 02/25/2018 1,797,773
FNMA Remic Trust 1993-110, Class FC
582,865 5.26 04/25/2019 579,764
------------
$ 4,329,310
-----------------------------------------------------------------------------------------------
Sequential Fixed Rate CMOs - 15.2%
FHLMC Series 1033, Class G
$1,534,373 8.00% 01/15/2006 $ 1,583,273
FHLMC Series 1812, Class D
1,608,433 6.00 07/15/2008 1,609,977
FNMA Remic Trust 1989-18, Class B
113,727 9.50 01/25/2004 113,939
FNMA Remic Trust 1989-74, Class J
2,125,672 9.80 10/25/2019 2,250,512
FNMA Remic Trust 1990-16, Class E
6,056,201 9.00 03/25/2020 6,494,730
FNMA Remic Trust 1991-133, Class Z
3,221,169 8.00 09/25/2006 3,337,936
FNMA Remic Trust 1992-44, Class CA
353,640 12.00 08/25/2020 353,750
FNMA Remic Trust Series 1988-12, Class A
2,370,483 10.00 02/25/2018 2,558,227
FNMA Remic Trust Series 1994-52, Class Z
8,555,368 7.00 04/25/2007 8,758,558
FNMA Series 1998-36, Class J
6,000,000 6.00 07/18/2028 5,717,460
GNMA Remic Trust 1995-3, Class DQ
1,669,999 8.05 06/16/2025 1,716,542
------------
$ 34,494,904
-----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - (continued)
Support - 0.9%
FHLMC Series 16, Class M
$2,000,000 7.00% 08/25/2023 $ 1,995,660
-----------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS $102,854,585
-----------------------------------------------------------------------------------------------
TOTAL MORTGAGE BACKED OBLIGATIONS
(Cost $208,997,170) $208,421,433
-----------------------------------------------------------------------------------------------
Agency Debentures - 2.6%
Small Business Administration
$1,411,161 7.20% 06/01/2017 $ 1,446,002
1,956,402 6.30 05/01/2018 1,951,452
2,437,225 6.30 06/01/2018 2,430,943
-----------------------------------------------------------------------------------------------
TOTAL AGENCY DEBENTURES
(Cost $5,902,145) $ 5,828,397
-----------------------------------------------------------------------------------------------
U.S. Treasury Obligations - 3.7%
United States Treasury Notes
$8,200,000 6.63% 07/31/2001 $ 8,460,104
-----------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $8,475,500) $ 8,460,104
-----------------------------------------------------------------------------------------------
Repurchase Agreement - 3.8%
Joint Repurchase Agreement Account
$8,800,000 4.95% 05/03/1999 $ 8,800,000
-----------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $8,800,000) $ 8,800,000
-----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $232,174,815)(d)(e) $231,509,934
-----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
Federal Income
Tax Information:
Gross unrealized
gain for invest-
ments in which
value exceeds
cost $ 722,352
Gross unrealized
loss for invest-
ments in which
cost exceeds
value (1,689,011)
--------------------------------
Net unrealized
loss $ (966,659)
--------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
------------------------------------------------------------------------------
Futures contracts open at April 30, 1999 are as follows:
<TABLE>
<CAPTION>
Number of
Contracts Settlement Unrealized
Type Long/(Short)(f) Month Gain (Loss)
-----------------------------------------------------------------------
<S> <C> <C> <C>
Euro Dollars 82 June 1999 $ 3,829
Euro Dollars 61 September 1999 (38,362)
Euro Dollars 85 December 1999 47,309
Euro Dollars 45 March 2000 5,527
Euro Dollars 130 June 2000 (228,326)
Euro Dollars 120 September 2000 (205,637)
2 Year U.S. Treasury Note 286 June 1999 (173,035)
5 Year U.S. Treasury Note (171) June 1999 60,992
10 Year U.S. Treasury Note (108) June 1999 70,283
20 Year Long Term Bond (24) June 1999 9,832
-----------------------------------------------------------------------
$(447,588)
-----------------------------------------------------------------------
</TABLE>
(a) Variable rate security. Coupon rate disclosed is that which is in effect
at April 30, 1999.
(b) TBA (To Be Assigned) securities are purchased on a forward commitment
basis with an approximate (generally +/ -2.5%) principal amount and no
definite maturity date. The actual principal amount and maturity date
will be determined upon settlement when the specific mortgage pools are
assigned.
(c) Represents security with notional or nominal principal amount. The actual
effective yield of this security is different than the stated coupon due
to the amortization of related premiums.
(d) All of the securities in the portfolio are segregated for open TBA
purchases, open futures contracts and futures margin requirements.
(e) The aggregate cost for federal income tax purposes is $232,476,593.
(f) Each Euro Dollar contract represents $1,000,000 in notional par value.
Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long
Term Bond contract represents $100,000 in notional par value. Each 2-Year
U.S. Treasury Note contract represents $200,000 in notional par value.
The total notional amount and market value at risk are $610,500,000 and
$217,895,472, respectively. The determination of notional amounts as
presented here are indicative only of volume of activity and not a
measure of market risk.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of net assets.
The accompanying notes are an integral part of these financial statements.
23
<PAGE>
GOLDMAN SACHS GOVERNMENT INCOME FUND
Performance Summary
April 30, 1999 (Unaudited)
The following graph shows the value as of April 30, 1999, of a $10,000 in-
vestment made (with the maximum sales charge of 4.5%) in Class A shares on
March 1, 1993 of the Goldman Sachs Government Income Fund. For comparative
purposes, the performance of the Fund's benchmark the Lehman Brothers Mutual
Fund Government/Mortgage Index ("Lehman Gov't/MBS Index"), as well as the
Lehman Brothers Mutual Fund General U.S. Government Index ("Lehman U.S. Gov't
Index"), are shown. This performance data represents past performance and
should not be considered indicative of future performance which will fluctu-
ate 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 B, Class C, Institutional and Serv-
ice shares will vary from Class A due to differences in fees and loads.
Government Income Fund's Lifetime Performance
Growth of a $10,000 Investment, Distributions Reinvested March 1, 1993 to
April 30, 1999.(a)
[LINE GRAPH APPEARS HERE]
Class A Lehman Gov't/MBS Index Lehman U.S. Gov't Index
------- ---------------------- -----------------------
3/1/93 9,550 10,000 10,000
Mar-93 9,565 10,043 10,033
Apr-93 9,658 10,111 10,110
May-93 9,621 10,124 10,099
Jun-93 9,793 10,296 10,323
Jul-93 9,856 10,351 10,386
Aug-93 9,995 10,518 10,618
Sep-93 10,009 10,547 10,658
Oct-93 10,036 10,585 10,699
Nov-93 9,963 10,502 10,581
Dec-93 10,019 10,558 10,622
Jan-94 10,145 10,689 10,768
Feb-94 10,028 10,514 10,540
Mar-94 9,776 10,265 10,302
Apr-94 9,695 10,186 10,221
May-94 9,701 10,192 10,208
Jun-94 9,702 10,169 10,184
Jul-94 9,866 10,362 10,372
Aug-94 9,874 10,374 10,374
Sep-94 9,744 10,228 10,227
Oct-94 9,737 10,221 10,219
Nov-94 9,717 10,197 10,201
Dec-94 9,813 10,267 10,263
Jan-95 9,993 10,468 10,454
Feb-95 10,216 10,708 10,679
Mar-95 10,267 10,769 10,746
Apr-95 10,407 10,914 10,887
May-95 10,786 11,321 11,326
Jun-95 10,852 11,401 11,413
Jul-95 10,836 11,380 11,371
Aug-95 10,941 11,509 11,505
Sep-95 11,052 11,616 11,615
Oct-95 11,187 11,767 11,792
Nov-95 11,338 11,934 11,976
Dec-95 11,493 12,096 12,146
Jan-96 11,568 12,176 12,221
Feb-96 11,373 11,979 11,972
Mar-96 11,307 11,898 11,872
Apr-96 11,256 11,838 11,796
May-96 11,231 11,813 11,776
Jun-96 11,389 11,969 11,928
Jul-96 11,419 12,003 11,958
Aug-96 11,418 11,987 11,932
Sep-96 11,602 12,187 12,130
Oct-96 11,838 12,444 12,397
Nov-96 12,035 12,647 12,612
Dec-96 11,930 12,541 12,484
Jan-97 11,968 12,583 12,497
Feb-97 11,994 12,610 12,515
Mar-97 11,881 12,481 12,382
Apr-97 12,054 12,668 12,560
May-97 12,143 12,784 12,668
Jun-97 12,282 12,929 12,810
Jul-97 12,608 13,250 13,174
Aug-97 12,510 13,156 13,043
Sep-97 12,681 13,343 13,239
Oct-97 12,870 13,543 13,468
Nov-97 12,907 13,602 13,536
Dec-97 13,042 13,737 13,678
Jan-98 13,223 13,917 13,884
Feb-98 13,206 13,904 13,846
Mar-98 13,252 13,952 13,885
Apr-98 13,300 14,020 13,947
May-98 13,422 14,281 14,091
Jun-98 13,534 14,406 14,251
Jul-98 13,574 14,448 14,273
Aug-98 13,846 14,729 14,644
Sep-98 14,108 15,039 15,039
Oct-98 14,025 15,001 14,988
Nov-98 14,004 15,033 14,993
Dec-98 14,040 15,079 15,026
Jan-99 14,124 15,174 15,113
Feb-99 13,900 14,935 14,754
Mar-99 13,994 15,011 14,812
Apr-99 14,027 15,059 14,846
<TABLE>
<CAPTION>
Average Annual Total Return
through April 30, 1999 Since Inception Five Years One Year Six Months(b)
<S> <C> <C> <C> <C>
Class A (commenced February
10, 1993)
Excluding sales charges 6.85% 7.66% 5.47% 0.02%
Including sales charges 6.06% 6.68% 0.70% -4.46%
-----------------------------------------------------------------------------------
Class B (commenced May 1,
1996)
Excluding contingent de-
ferred sales charges 6.83% n/a 4.62% -0.35%
Including contingent de-
ferred sales charges 5.76% n/a -0.61% -5.33%
-----------------------------------------------------------------------------------
Class C (commenced August
15, 1997)
Excluding contingent de-
ferred sales charges 6.10% n/a 4.55% -0.35%
Including contingent de-
ferred sales charges 6.10% n/a 3.50% -1.35%
-----------------------------------------------------------------------------------
Institutional Class (com-
menced August 15, 1997) 7.21% n/a 5.75% 0.22%
-----------------------------------------------------------------------------------
Service Class (commenced
August 15, 1997) 6.73% n/a 4.64% -0.37%
-----------------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) Not annualized.
24
<PAGE>
GOLDMAN SACHS GOVERNMENT INCOME FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - 60.5%
Federal Home Loan Mortgage Corp. (FHLMC) - 22.0%
$ 2,998,113 6.50% 08/01/2010 $ 3,034,885
777,311 6.00 12/01/2013 770,991
30,166 7.00 03/01/2024 30,637
89,406 7.00 04/01/2024 90,803
1,236,903 7.50 11/01/2027(a) 1,271,301
636,623 7.00 08/01/2028 645,771
861,112 7.00 09/01/2028 873,486
1,237,997 7.50 09/01/2028 1,272,425
675,957 6.00 10/01/2028 655,678
1,048,608 6.00 01/01/2029 1,017,150
1,586,592 6.00 02/01/2029 1,538,994
2,677,833 6.00 03/01/2029 2,597,497
998,502 6.00 04/01/2029 968,547
2,083,600 7.00 04/01/2029(a) 2,113,541
1,366,400 7.00 04/01/2029 1,386,345
4,000,000 6.00 TBA-15 Yr.(b) 3,968,750
1,000,000 6.50 TBA-30 Yr.(b) 994,370
3,000,000 7.00 TBA-30 Yr.(b) 3,043,110
------------
$ 26,274,281
------------------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) - 7.7%
$ 956,329 6.00% 10/25/2008 $ 948,774
218,294 6.50 09/01/2025 217,202
220,855 6.50 10/01/2025 219,680
297,615 6.50 11/01/2025 296,219
404,556 6.50 08/01/2025 402,282
396,226 6.50 12/01/2025 393,909
19,656 6.50 05/01/2026 19,552
41,762 6.50 03/01/2028 41,488
784,728 6.50 04/01/2028 779,573
991,767 6.50 05/01/2028 985,251
794,224 6.50 06/01/2028 789,006
947,051 6.50 07/01/2028 940,830
101,483 6.50 08/01/2028 100,816
105,229 6.50 09/01/2028 104,537
3,000,000 6.00 TBA-30 Yr.(b) 2,976,563
------------
$ 9,215,682
------------------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) - 12.8%
$ 122,337 9.00% 10/15/2019 $ 131,282
74,405 9.00 12/15/2019 79,800
232,770 7.00 03/15/2023 236,699
173,963 7.50 04/15/2023 179,617
636,011 7.00 05/15/2023 646,746
208,498 7.00 06/15/2023 212,018
926,085 7.00 07/15/2023 941,718
357,226 7.50 07/15/2023 368,836
437,890 7.00 08/15/2023 445,281
623,428 7.00 09/15/2023 633,951
1,244,010 7.00 10/15/2023 1,265,008
542,808 7.00 11/15/2023 551,971
666,527 7.00 12/15/2023 677,778
969,461 6.50 03/15/2028 963,092
994,344 6.50 10/15/2028 987,812
3,919,165 6.50 02/15/2029 3,893,416
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
Mortgage Backed Obligations - (continued)
<S> <C> <C> <C>
Government National Mortgage Association (GNMA) - (continued)
$ 2,000,200 6.50% 04/15/2029 $ 1,987,058
1,000,000 7.00 TBA-30 Yr.(b) 1,018,438
------------
$ 15,220,521
------------------------------------------------------------------------------------------
Collateralized Mortgage Obligations - 18.0%
Interest Only - 0.1%
FNMA Interest-Only Stripped Security, Series 151, Class 2(c)
$ 329,947 9.50% 07/25/2022 $ 87,436
------------
$ 87,436
------------------------------------------------------------------------------------------
Inverse Floater(d) - 2.0%
FNMA Remic Trust 1992-62, Class S
$ 51,377 11.09% 05/25/1999 $ 51,500
FNMA Remic Trust 1993-231, Class SA
1,425,197 7.69 12/25/2008 1,402,871
FNMA Series 1993-138, Class SM
921,052 10.94 12/25/2021 973,082
------------
$ 2,427,453
------------------------------------------------------------------------------------------
Inverse Floating Rate--Interest Only(d) - 0.3%
Salomon Brothers Mortgage Securities VII Series 1996-6E, Class
A2(a)(c)
$11,437,361 4.10% 01/01/2001 $ 314,527
------------
$ 314,527
------------------------------------------------------------------------------------------
Planned Amortization Class (PAC) CMOs - 8.7%
FHLMC Series 1985, Class PC
$ 1,500,000 6.35% 05/17/2018 $ 1,514,520
FHLMC Series 2055, Class OD(a)
4,000,000 6.00 12/15/2007 3,933,720
FNMA REMIC Trust Series 1997-84, Class PB
2,000,000 5.50 01/25/2008 1,931,860
GE Capital Mortgage Services, Inc.
Series 1997-8, Class A13
3,000,000 7.25 03/25/2027 3,032,580
------------
$ 10,412,680
------------------------------------------------------------------------------------------
Principal Only - 0.2%
FNMA Remic Trust, Series G-35, Class N(e)
$ 287,001 4.85% 10/25/2021 $ 239,573
------------
$ 239,573
------------------------------------------------------------------------------------------
Sequential Fixed Rate CMOs - 3.9%
Citicorp. Mortgage Securities, Series 1993-11, Class A6
$ 458,372 6.25% 09/25/2008 $ 453,362
Credit Suisse First Boston Series 1997-C2, Class A2
800,000 6.52 07/17/2007 804,184
First Union-Lehman Brothers Commercial Mortgage Services Series
1997-C1, Class A2
400,000 7.30 12/18/2006 415,812
GE Capital Mortgage Services, Inc.
Series 1995-1, Class A8
2,403,923 8.40 02/25/2025 2,421,808
Morgan Stanley Capital Commercial Mortgage, Inc. Series 1997-C1
500,000 7.46 05/15/2006 514,270
------------
$ 4,609,436
------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
GOLDMAN SACHS GOVERNMENT INCOME FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - (continued)
Collateralized Mortgage Obligations - (continued)
Support - 2.8%
FHLMC Series 16, Class M
$ 1,000,000 7.00% 08/25/2023 $ 997,830
Housing Securities, Inc., Series 1994-1, Class A13
1,455,585 6.50 03/25/2009 1,417,944
Salomon Brothers Mortgage Securities VII Series 1996-6H, Class A1
1,000,000 6.00 09/25/2008 978,030
------------
$ 3,393,804
------------------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS $ 21,484,909
------------------------------------------------------------------------------------------
TOTAL MORTGAGE BACKED OBLIGATIONS
(cost $72,179,072) $ 72,195,393
------------------------------------------------------------------------------------------
Agency Debentures - 6.3%
Federal Home Loan Bank
$ 1,000,000 5.68% 12/03/2007 $ 997,400
Financing Corp. Stripped Security (Principal Only)(e)
2,000,000 6.42 03/07/2013 833,800
Small Business Administration
1,551,914 7.15 03/01/2017(a) 1,602,910
1,281,532 7.50 04/01/2017 1,342,854
749,462 7.30 05/01/2017 779,381
978,201 6.30 05/01/2018 975,726
974,890 6.30 06/01/2018 972,377
------------------------------------------------------------------------------------------
TOTAL AGENCY DEBENTURES
(cost $7,390,023) $ 7,504,448
------------------------------------------------------------------------------------------
Asset-Backed Securities - 15.3%
AESOP Funding Series 1998-1, Class A(a)(f)
$ 2,000,000 6.14% 05/20/2006 $ 1,985,320
AFC Series 1997-1, Class A(d)
554,013 5.16 03/25/2027 553,094
Americredit Automobile Receivables Series 1997-D, Class A3
1,300,000 6.24 09/05/2003 1,308,593
Arcadia Automobile Receivables Series 1998-C, Class A3(a)
2,500,000 5.67 01/15/2004 2,479,688
CPS Auto Grantor Trust Series 1996-3, Class A
1,396,542 6.30 08/15/2002 1,401,639
Fasco Auto Trust, Series 1996-1, Class A
365,876 6.65 11/15/2001 368,649
Fingerhut Master Trust Series 1998-2, Class A
2,750,000 6.23 02/15/2007 2,761,990
Fingerhut Master Trust, Series 1996-1, Class A
275,333 6.45 02/20/2002 276,107
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Asset-Backed Securities - (continued)
First Sierra Equipment Contract Trust Series 1998-1, Class A4
$ 1,600,000 5.63% 08/12/2004 $ 1,580,496
MBNA Master Credit Card Trust Series 1998-C, Class A(a)
2,000,000 5.01 11/15/2005 1,995,620
Merrill Lynch Mortgage Investments, Inc. Series 1997-FF2, Class A(a)
1,092,939 5.18 08/25/2028 1,091,232
Merrill Lynch Mortgage Investments, Inc. Series 1997-FF3, Class
A2(a)
1,492,917 5.15 11/20/2027 1,488,718
Mid State Trust, Series 4, Class A
831,261 8.33 04/01/2030 883,412
Olympic Automobile Receivables Trust, Series 1994-B, Class A2
106,914 6.85 06/15/2001 106,921
------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(cost $18,305,621) $ 18,281,479
------------------------------------------------------------------------------------------
Insured Revenue Bonds - 1.8%
New Jersey Economic Development Authority Series A(a)
$ 2,000,000 7.43% 02/15/2029 $ 2,188,460
------------------------------------------------------------------------------------------
TOTAL INSURED REVENUE BONDS
(cost $2,000,000) $ 2,188,460
------------------------------------------------------------------------------------------
U.S. Treasury Obligations - 14.9%
United States Treasury Bonds(a)
$ 1,800,000 7.88% 02/15/2021 $ 2,224,962
United States Treasury Interest-Only Stripped Securities(e)
2,110,000 5.69 02/15/2009(a) 1,219,601
800,000 7.46 11/15/2009 440,992
2,700,000 5.95 05/15/2012 1,262,250
2,100,000 6.05 02/15/2014 872,361
United States Treasury Notes
2,200,000 5.75 10/31/2002 2,237,466
United States Treasury Principal-Only Stripped Securities(e)
1,900,000 5.49 05/15/2005(a) 1,374,821
3,900,000 5.49 08/15/2005 2,781,012
4,450,000 5.76 11/15/2009 2,419,376
5,750,000 6.13 02/15/2019 1,747,713
3,400,000 6.13 05/15/2020(a) 960,738
1,300,000 5.96 08/15/2026 262,145
------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS
(cost $18,218,429) $ 17,803,437
------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
GOLDMAN SACHS GOVERNMENT INCOME FUND
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Repurchase Agreement - 13.7%
Joint Repurchase Agreement Account(a)
$16,300,000 4.95% 05/03/1999 $ 16,300,000
--------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(cost $16,300,000) $ 16,300,000
--------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(cost $134,393,145)(g) $134,273,217
--------------------------------------------------------------------------------------------
Federal Income Tax Information:
Gross unrealized gain for investments in which
value exceeds cost $ 706,739
Gross unrealized loss for investments in which
cost exceeds value (1,251,633)
--------------------------------------------------------------------------------------------
Net unrealized loss $ (544,894)
--------------------------------------------------------------------------------------------
</TABLE>
Futures contracts open at April 30, 1999 are as follows:
<TABLE>
<CAPTION>
Number of
Contracts Settlement Unrealized
Type Long/(Short)(h) Month Gain (Loss)
-----------------------------------------------------------------------
<S> <C> <C> <C>
Euro Dollars 7 June 1999 (11,157)
Euro Dollars (5) September 1999 3,531
Euro Dollars 10 December 1999 (12,314)
Euro Dollars 10 September 2000 (1,564)
2 Year U.S. Treasury Note 5 June 1999 (3,391)
5 Year U.S. Treasury Note 34 June 1999 (24,950)
10 Year U.S. Treasury Note (5) June 1999 3,250
20 Year Long Term Bond (13) June 1999 29,449
-----------------------------------------------------------------------
(17,146)
-----------------------------------------------------------------------
</TABLE>
------------------------------------------------------------------------------
(a) Portions of these securities are segregated for open TBA purchases,
forward sale contract, open futures contracts and futures margin
requirements.
(b) TBA (To Be Assigned) securities are purchased on a forward commitment
basis with an approximate (generally +/ -2.5%) principal amount and no
definite maturity date. The actual principal amount and maturity date
will be determined upon settlement when the specific mortgage pools are
assigned.
(c) Represents security with notional or nominal principal amount. The actual
effective yield of this security is different than the stated coupon due
to the amortization of related premiums.
(d) Variable rate security. Coupon rate disclosed is that which is in effect
at April 30, 1999.
(e) The interest rate disclosed for these securities represents effective
yields to maturity.
(f) Security is exempt from registration under Rule 144A of the Securities
Act of 1933. Such securities may be resold, normally to qualified
institutional buyers in transactions exempt from registration. Total
market value of Rule 144A securities amounted to $1,985,320 as of April
30, 1999.
(g) The aggregate cost for federal income tax purposes is $134,818,111.
(h) Each Euro Dollar contract represents $1,000,000 in notional par value.
Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long
Term Bond contract represents $100,000 in notional par value. Each 2-Year
U.S. Treasury Note contract represents $200,000 in notional par amount.
The total notional amount and market value at risk are $38,200,000 and
$14,532,919, respectively. The determination of notional amounts as
presented here are indicative only of volume of activity and not a
measure of market risk.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of net assets.
The accompanying notes are an integral part of these financial statements.
27
<PAGE>
GOLDMAN SACHS CORE FIXED INCOME FUND
Performance Summary
April 30, 1999 (Unaudited)
The following graph shows the value as of April 30, 1999, of a $10,000 in-
vestment made in Institutional shares on January 5, 1994 (commencement of
operations) of the Goldman Sachs Core Fixed Income Fund. For comparative pur-
poses, the performance of the Fund's benchmark (the Lehman Brothers Aggregate
Bond Index ("Lehman Aggregate Index")) is shown. This performance data repre-
sents past performance and should not be considered indicative of future per-
formance 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 A,
Class B, Class C, Administration and Service shares will vary from Institu-
tional shares due to differences in fees and loads.
Core Fixed Income Fund's Lifetime Performance
Growth of a $10,000 Investment, Distributions Reinvested January 5, 1994 to
April 30, 1999.
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Core Fixed Income Fund -- Institutional Shares Lehman Aggregate Index
---------------------------------------------- ----------------------
<S> <C> <C>
1/5/94 10,000 10,000
Jan-94 10,157 10,135
Feb-94 9,964 9,959
Mar-94 9,759 9,713
Apr-94 9,678 9,635
May-94 9,672 9,634
Jun-94 9,644 9,613
Jul-94 9,825 9,804
Aug-94 9,842 9,816
Sep-94 9,710 9,672
Oct-94 9,700 9,663
Nov-94 9,680 9,642
Dec-94 9,780 9,708
Jan-95 9,957 9,900
Feb-95 10,186 10,136
Mar-95 10,248 10,198
Apr-95 10,388 10,341
May-95 10,788 10,741
Jun-95 10,862 10,819
Jul-95 10,843 10,795
Aug-95 10,979 10,926
Sep-95 11,080 11,032
Oct-95 11,224 11,175
Nov-95 11,393 11,343
Dec-95 11,550 11,502
Jan-96 11,621 11,578
Feb-96 11,424 11,376
Mar-96 11,332 11,297
Apr-96 11,276 11,233
May-96 11,268 11,211
Jun-96 11,436 11,361
Jul-96 11,464 11,392
Aug-96 11,457 11,372
Sep-96 11,653 11,570
Oct-96 11,898 11,827
Nov-96 12,120 12,029
Dec-96 12,016 11,918
Jan-97 12,057 11,955
Feb-97 12,085 11,984
Mar-97 11,955 11,851
Apr-97 12,121 12,029
May-97 12,225 12,143
Jun-97 12,380 12,288
Jul-97 12,726 12,620
Aug-97 12,615 12,512
Sep-97 12,808 12,696
Oct-97 12,991 12,880
Nov-97 13,020 12,940
Dec-97 13,159 13,070
Jan-98 13,332 13,238
Feb-98 13,320 13,227
Mar-98 13,374 13,273
Apr-98 13,430 13,342
May-98 13,568 13,469
Jun-98 13,692 13,583
Jul-98 13,722 13,612
Aug-98 13,971 13,834
Sep-98 14,258 14,157
Oct-98 14,180 14,083
Nov-98 14,138 14,162
Dec-98 14,206 14,205
Jan-99 14,305 14,307
Feb-99 14,042 14,057
Mar-99 14,155 14,135
Apr-99 14,209 14,179
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total
Return through April 30,
1999 Since Inception Five Years One Year Six Months(a)
<S> <C> <C> <C> <C>
Class A (commenced May 1,
1997)
Excluding sales charges 7.90% n/a 5.45% 0.10%
Including sales charges 5.43% n/a 0.72% -4.37%
---------------------------------------------------------------------------------
Class B (commenced May 1,
1997)
Excluding contingent
deferred sales charges 7.14% n/a 4.67% -0.26%
Including contingent
deferred sales charges 5.01% n/a -0.57% -5.25%
---------------------------------------------------------------------------------
Class C (commenced August
15, 1997)
Excluding contingent
deferred sales charges 6.07% n/a 4.67% -0.26%
Including contingent
deferred sales charges 6.07% n/a 3.62% -1.26%
---------------------------------------------------------------------------------
Institutional Class (com-
menced January 5, 1994) 6.83% 7.98% 5.80% 0.21%
---------------------------------------------------------------------------------
Administration Class
(commenced February 28, 1996) 6.75% n/a 5.54% 0.18%
---------------------------------------------------------------------------------
Service Class (commenced
March 13, 1996) 7.03% n/a 5.28% 0.06%
---------------------------------------------------------------------------------
</TABLE>
(a) Not annualized.
28
<PAGE>
GOLDMAN SACHS CORE FIXED INCOME FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - 34.4%
Finance Bonds - 12.9%
American General Finance Corp.
$1,110,000 5.50% 02/01/2002 $ 1,099,084
780,000 5.75 11/01/2003 771,069
Associates Corp. of North America
950,000 5.75 11/01/2003 938,920
1,000,000 6.00 07/15/2005 988,770
Bank of New York, Inc.(a)
1,100,000 7.88 11/15/2002 1,167,639
BankAmerica Corp.
300,000 7.75 07/15/2002 316,275
400,000 7.50 10/15/2002 418,544
730,000 7.88 12/01/2002 777,114
1,200,000 9.20(a) 05/15/2003 1,332,353
Capital One Bank
600,000 6.66 02/03/2000 602,683
400,000 6.88 04/24/2000 403,908
800,000 6.58 04/17/2001 807,592
650,000 6.15 06/01/2001 651,690
1,000,000 6.48 01/28/2002 1,005,930
330,000 7.15 09/15/2006 336,263
Capital One Financial Corp.
355,000 7.25 12/01/2003 352,590
Chrysler Financial Co. LLC
430,000 6.09 04/06/2001 434,012
Citigroup, Inc.
900,000 5.80 03/15/2004 891,945
Comdisco, Inc.(a)
2,200,000 6.13 01/15/2003 2,195,094
Conseco Inc.
840,000 7.88 12/15/2000 853,709
Countrywide Capital Corp.
1,080,000 8.05 06/15/2027 1,133,428
Countrywide Funding Corp.
125,000 6.08 07/14/1999 125,201
250,000 8.43 11/16/1999 254,090
1,000,000 6.97 03/28/2003 1,026,190
Countrywide Home Loans, Inc.
400,000 6.45 02/27/2003 403,468
Developers Diversified Realty Corp.
1,400,000 6.84 12/16/2004 1,336,692
Dime Bancorp, Inc.
810,000 6.38 01/30/2001 803,326
ERP Operating LP(b)
550,000 8.50 05/15/1999 550,473
Ford Capital Corp.
325,000 9.88 05/15/2002 360,126
Ford Motor Credit Corp.
150,000 6.00 01/14/2003 150,279
740,000 6.13 04/28/2003 742,449
General Motors Acceptance Corp.
375,000 9.63 12/15/2001 409,410
1,500,000 5.91 03/11/2002 1,500,840
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Finance Bonds - (continued)
Homeside Lending, Inc.
$ 510,000 6.20% 05/15/2003 $ 509,342
400,000 6.75 08/01/2004 404,220
Household Finance Co.
900,000 5.88 11/01/2002 897,595
Long Island Savings Bank(a)
2,650,000 6.20 04/02/2001 2,652,809
Meditrust, Inc.
750,000 7.38 07/15/2000 724,350
390,000 7.82 09/10/2026 354,155
Merita Bank
650,000 6.50 04/01/2009 640,939
MIC Finance Trust(b)
360,000 8.38 02/01/2027 350,797
NationsBank Corp.
700,000 6.38 05/15/2005 707,000
Providian National Corp.
705,000 6.65 02/01/2004 709,026
PXRE Capital Trust I
165,000 8.85 02/01/2027 142,085
Security Pacific Corp.
995,000 11.50 11/15/2000 1,078,680
Signet Banking Corp.
240,000 9.63 06/01/1999 240,629
Simon Property Group LP
345,000 6.63 06/15/2003 341,953
The Money Store, Inc.
630,000 7.30 12/01/2002 657,040
World Financial Properties(b)
481,688 6.91 09/01/2013 472,897
------------
$ 36,024,673
-----------------------------------------------------------------------------------------------
Industrial Bonds - 18.8%
360 Communications Co.
$1,015,000 7.13% 03/01/2003 $ 1,052,108
Ametek, Inc.(b)
600,000 7.20 07/15/2008 576,000
Cable & Wireless Communications
1,360,000 6.38 03/06/2003 1,362,924
Cendant Corp.(a)
1,100,000 7.50 12/01/2000 1,115,103
Comcast Cellular(a)
1,635,000 9.50 05/01/2007 1,849,594
Continental Airlines, Inc.
325,234 7.75 07/02/2014 350,156
529,965 8.56 07/02/2014 587,508
Delphi Auto Systems Corp.(i)
1,300,000 6.13 05/01/2004 1,294,384
Federated Department Stores
1,400,000 8.50 06/15/2003 1,520,092
-----------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
29
<PAGE>
GOLDMAN SACHS CORE FIXED INCOME FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Industrial Bonds - (continued)
Hertz Corp.
$1,075,000 6.70% 06/15/2002 $ 1,092,243
1,200,000 6.00 01/15/2003 1,191,360
500,000 7.00 07/15/2003 513,475
Highwoods Realty LP
835,000 6.75 12/01/2003 819,052
Joseph E. Seagram & Sons, Inc.
850,000 6.25 12/15/2001 854,072
Liberty Property LP
115,000 7.10 08/15/2004 112,977
Nabsico, Inc.(a)
1,650,000 6.00 02/15/2011 1,640,859
News America Holdings, Inc.
1,500,000 8.50 02/15/2005 1,642,095
400,000 8.00 10/17/2016 428,884
600,000 7.13 04/08/2028 585,090
Northwest Airlines Corp.
142,820 8.26 03/10/2006 145,856
1,998,809 8.97(a) 01/02/2015 2,111,542
Oryx Energy Co.
800,000 10.00 06/15/1999 803,600
Owens Corning
745,000 7.50 05/01/2005 750,818
300,000 7.70 05/01/2008 307,935
Panamsat Corp.(a)
2,650,000 6.13 01/15/2005 2,512,465
Pep Boys--Manny, Moe & Jack
550,000 6.75 03/10/2004 524,068
100,000 6.52 07/16/2007 94,869
Philip Morris Companies, Inc.
550,000 8.75 06/01/2001 579,736
2,250,000 7.13(a) 08/15/2002 2,312,010
Raytheon Co.
250,000 6.45 08/15/2002 253,433
1,060,000 5.70 11/01/2003 1,046,994
Safeway Inc.
665,000 6.05 11/15/2003 663,530
Sears Roebuck Acceptance Corp.
500,000 6.41 11/19/2002 506,290
Tele-Communications, Inc.
100,000 7.38 02/15/2000 101,578
Time Warner, Inc.
2,850,000 9.63(a) 05/01/2002 3,137,366
400,000 7.98 08/15/2004 432,308
1,000,000 6.85 01/15/2026 1,019,540
TKR Cable Inc.(a)
4,195,000 10.50 10/30/2007 4,508,702
Tyco International Group
975,000 5.88 11/01/2004 964,616
1,850,000 6.38 06/15/2005 1,866,521
U.S. Air, Inc.
528,545 6.76 04/15/2008 523,241
--------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Industrial Bonds - (continued)
USI American Holdings, Inc.
$ 150,000 7.25% 12/01/2006 $ 148,319
Viacom, Inc.
2,250,000 6.75(a) 01/15/2003 2,294,573
455,000 7.75 06/01/2005 483,433
Videotron Group Ltd.
835,000 10.63 02/15/2005 905,975
Westinghouse Electric
665,000 6.88 09/01/2003 676,531
Williams Communications Solutions, Inc.(a)
2,030,000 6.13 02/15/2002 2,030,995
WMX Technologies, Inc.
1,225,000 6.25 10/15/2000 1,232,338
700,000 6.38 12/01/2003 705,243
------------
$ 52,232,401
--------------------------------------------------------------------------------------------
Utility Bonds - 2.7%
CE Electric UK Funding Co.(b)
$1,000,000 6.85% 12/30/2004 $ 1,013,887
Central Maine Power Co.
330,000 7.45 08/30/1999 331,502
Edison Mission Energy Funding Corp.(b)
127,554 6.77 09/15/2003 129,150
Niagara Mohawk Power Corp.
650,000 6.88 04/01/2003 668,220
400,000 7.38 08/01/2003 419,176
314,000 8.00 06/01/2004 338,313
Salton Sea Funding
100,671 7.02 05/30/2000 101,302
Sprint Capital Corp.(i)
1,440,000 5.88 05/01/2004 1,432,843
Worldcom, Inc.
1,400,000 6.25 08/15/2003 1,405,446
1,125,000 6.40 08/15/2005 1,131,829
450,000 8.88 01/15/2006 483,408
------------
$ 7,455,076
--------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $96,128,668) $ 95,712,150
--------------------------------------------------------------------------------------------
Agency Debentures - 0.9%
Small Business Administration(a)
$2,437,225 6.30% 06/01/2018 $ 2,430,943
--------------------------------------------------------------------------------------------
TOTAL AGENCY DEBENTURES
(Cost $2,437,225) $ 2,430,943
--------------------------------------------------------------------------------------------
Asset-Backed Securities - 11.5%
Aames Mortgage Trust Series 1998 B(a)
$3,500,000 6.46% 09/15/2028 $ 3,486,875
AESOP Funding Series 1998-1, Class A(a)(b)
3,400,000 6.14 05/20/2006 3,375,044
--------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
GOLDMAN SACHS CORE FIXED INCOME FUND
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Asset Backed Securities - (continued)
AFC Series 1997-1, Class A(c)
$ 406,277 5.16% 03/25/2027 $ 405,602
Americredit Automobile Receivables Trust Series 1998-A, Class A3(a)
2,500,000 5.88 12/15/2003 2,515,300
Arcadia Automobile Receivables Trust Series 1998-E, Class A3(a)
2,750,000 5.75 10/15/2006 2,720,460
Chevy Chase Auto Receivables Trust Series 1995-2, Class A
37,394 5.80 06/15/2002 37,476
Discover Card Master Trust Series 1996-4, Class B(c)
850,000 5.48 10/16/2013 843,353
DVI Equipment Lease Trust 1996-1, Class A(b)
499,979 6.55 07/10/2004 503,424
Green Tree Financial Corp. Series 1998-6, Class M1(a)
4,250,000 6.63 06/01/2030 4,166,318
IMC Home Equity Loan Trust Series 1998-3, Class A8(a)
5,200,000 6.34 08/20/2029 5,157,568
Merrill Lynch Mortgage Investments, Inc. Series 1997-FF3, Class A2(c)
933,262 5.15 11/20/2027 930,637
Mid State Trust, Series 4, Class A(a)
2,770,870 8.33 04/01/2030 2,944,706
Olympic Automobile Receivables Trust, Series 1994-B, Class A2
62,280 6.85 06/15/2001 62,284
Union Acceptance Corp. Series 1999-A, Class A5(a)(c)
5,000,000 5.87 09/08/2006 4,996,050
--------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $32,411,517) $ 32,145,097
--------------------------------------------------------------------------------------------
Emerging Market Debt - 3.1%
Corp. Andina de Fomento(a)
$1,500,000 7.38% 07/21/2000 $ 1,501,845
Financiera Energy Nacional
100,000 9.38(b) 06/15/2006 91,000
500,000 9.38 06/15/2006 455,000
Government of Poland
310,000 4.00 10/27/2024 213,900
Pemex Finance Ltd.
200,000 8.02 05/15/2007 196,776
700,000 9.15(b) 11/15/2018 690,452
Petroleos Mexicanos(b)
400,000 8.02 05/15/2007 393,552
Republic of Colombia
150,000 7.25 02/15/2003 138,000
780,000 10.99 08/13/2005 742,950
Republic of Korea
1,530,000 8.88 04/15/2008 1,658,398
Republic of Poland(c)
1,260,000 5.00 10/27/2014 1,167,075
YPF Sociedad Anonima
80,587 7.00 10/26/2002 79,470
1,449,377 7.50 10/26/2002 1,451,195
--------------------------------------------------------------------------------------------
TOTAL EMERGING MARKET DEBT
(Cost $8,869,011) $ 8,779,613
--------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - 42.9%
Asset Securitization Corp. Series 1997 DR, Class A1D
$ 900,000 7.49% 04/14/2029 $ 943,839
Chase Commercial Mortgage Securities Corp. Series 1997-2, Class A2(a)
3,100,000 6.60 11/19/2007 3,118,073
Chase Commercial Mortgage Securities Corp. Series 1998-1, Class A2(a)
3,000,000 6.56 05/18/2008 3,018,360
Collateralized Mortgage Obligation Trust Series 63, Class Z
801,359 9.00 10/20/2020 837,668
Commercial Mortgage Acceptance Corp. Series 1998-C1, Class A2(a)
2,200,000 6.49 05/15/2008 2,209,636
Credit Suisse First Boston Series 1997-C2, Class A3(a)
3,250,000 6.55 11/17/2007 3,278,113
Federal Home Loan Mortgage Corp. (FHLMC)
176,336 8.00 08/01/2010 182,093
131,875 7.00 10/01/2017 132,164
529,928 7.50 06/01/2024 544,830
3,384,360 7.50(a) 08/01/2027 3,478,480
694,262 7.00 10/01/2027 705,328
1,106,926 7.00 06/01/2028 1,122,833
1,919,051 7.00 07/01/2028 1,946,628
736,409 7.00 08/01/2028 746,991
1,025,414 6.00 11/01/2028 994,652
234,676 7.00 11/01/2028 238,048
833,121 7.50 11/01/2028 856,290
1,077,562 7.00 12/01/2028 1,093,047
2,264,917 6.00 01/01/2029 2,196,969
1,487,443 7.00 01/01/2029 1,508,818
6,438,844 6.00(a) 02/01/2029 6,245,678
3,038,039 6.00 02/01/2029 2,946,898
4,192,020 6.00 03/01/2029 4,066,258
930,000 7.00 04/01/2029 943,987
6,000,000 6.00 TBA-15 Yr(d) 5,953,125
14,000,000 6.50 TBA-30 Yr(d) 13,921,180
8,000,000 7.00 TBA-30 Yr(d) 8,114,960
Federal National Mortgage Association (FNMA)
74,986 6.50 02/01/2026 74,587
223,072 6.50 08/01/2026 221,885
164,645 6.50 09/01/2027 163,563
319,165 6.50 10/01/2027 317,068
2,048,774 6.50 11/01/2027 2,035,314
2,314,691 6.50 12/01/2027 2,299,639
775,908 6.50 02/01/2028 770,811
780,574 6.50 04/01/2028 775,446
337,309 6.50 06/01/2028 335,092
1,159,409 6.50 07/01/2028 1,151,791
172,137 6.50 08/01/2028 171,006
1,059,219 6.50 09/01/2028 1,052,259
5,000,000 6.00 TBA-15 Yr(d) 4,960,938
FHLMC Series 16, Class PG(a)
1,000,000 6.35 03/25/2018 1,007,500
---------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
31
<PAGE>
GOLDMAN SACHS CORE FIXED INCOME FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - (continued)
FHLMC Series 2055, Class OD
$2,000,000 6.00% 12/15/2007 $ 1,966,860
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1,
Class A2
600,000 7.30 12/18/2006 623,718
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C2,
Class A2
1,000,000 6.60 11/18/2029 1,005,500
FNMA Remic Trust 1991-31, Class PJ
750,000 6.55 10/25/2020 755,288
FNMA Remic Trust 1992-24, Class N(e)
18,755 19.03 03/25/2007 271,834
FNMA Remic Trust 1993-138, Class SM(a)(c)
3,000,000 10.94 12/25/2021 3,169,470
FNMA Remic Trust 1997-70, Class AB
1,250,000 6.50 09/25/2022 1,228,225
Government National Mortgage Association (GNMA)
215,915 8.00 02/15/2017 226,441
22,038 7.00 11/15/2022 22,417
816,501 7.00 12/15/2022 830,536
545,099 7.00 01/15/2023 554,769
128,713 7.00 03/15/2023 131,045
444,958 7.50 03/15/2023 459,419
1,697,111 7.00 05/15/2023 1,725,757
27,849 7.00 06/15/2023 28,319
1,800,561 7.00 07/15/2023 1,830,955
576,651 7.00 08/15/2023 586,384
84,429 7.50 08/15/2023 87,173
1,425,372 7.00 10/15/2023 1,449,432
32,377 7.00 11/15/2023 32,924
1,118,051 7.00 12/15/2023 1,136,924
293,551 6.50 06/15/2028 291,622
288,752 6.50 09/15/2028 286,855
2,989,345 6.50 01/15/2029 2,969,705
998,888 6.50 02/15/2029 992,325
1,417,896 6.50 04/15/2029 1,408,580
Merrill Lynch Mortgage Investors, Inc. Series 1998-C2, Class A2(a)
3,690,000 6.39 02/15/2030 3,680,037
Morgan Stanley Capital Commercial Mortgage, Inc.
Series 1997-C1
900,000 7.46 05/15/2006 925,686
Prudential Home Mortgage Securities Corp. 1992-39 A8(c)
1,000,000 8.63 12/25/2007 1,042,180
Residential Asset Securitization Trust Series 1997-A3, Class A4(a)
3,000,000 7.75 05/25/2027 3,039,360
-----------------------------------------------------------------------------------------------
TOTAL MORTGAGE BACKED OBLIGATIONS
(Cost $119,509,069) $119,441,585
-----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
<S> <C> <C> <C>
Sovereign Credit - 1.3%
Province of Quebec
$ 520,000 13.25% 09/15/2014 $ 558,054
835,000 7.50 07/15/2023 908,405
320,000 5.74(c) 03/02/2026 336,666
State of Israel
370,000 6.38 12/15/2005 363,285
6,000,000 6.29(j) 05/15/2023 1,321,380
---------------------------------------------------------------------------------------------
TOTAL SOVEREIGN CREDIT
(Cost $3,706,741) 3,487,790
---------------------------------------------------------------------------------------------
U.S. Treasury Obligations - 1.6%
United States Treasury Principal-Only Stripped Securities(a)(f)
$11,450,000 6.13% 02/15/2019 $ 3,480,228
4,200,000 5.96 08/15/2026 846,930
---------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,451,426) $ 4,327,158
---------------------------------------------------------------------------------------------
Repurchase Agreement - 13.1%
Joint Repurchase Agreement Account(a)
$36,400,000 4.95% 05/03/1999 $ 36,400,000
---------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $36,400,000) $ 36,400,000
---------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $303,913,657)(g) $302,724,336
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
Federal Income
Tax Information:
Gross unrealized
gain for
investments in
which value
exceeds cost $ 1,014,326
Gross unrealized
loss for
investments in
which
cost exceeds
value (2,486,088)
-------------------------------
Net unrealized
loss $(1,471,762)
-------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
Futures contracts open at April 30, 1999 are as follows:
<CAPTION>
Number of
Contracts Settlement Unrealized
Type Long/(Short)(h) Month Gain (Loss)
---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Euro Dollars 23 June 1999 (21,634)
Euro Dollars 15 September 1999 (21,470)
Euro Dollars 20 December 1999 (39,502)
Euro Dollars 25 March 2000 (7,596)
5 Year U.S. Treasury Note (268) June 1999 213,759
10 Year U.S. Treasury Note 28 June 1999 (30,803)
20 Year Long Term Bond 256 June 1999 (416,922)
---------------------------------------------------------------------------
(324,168)
---------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
GOLDMAN SACHS CORE FIXED INCOME FUND
------------------------------------------------------------------------------
(a) Portions of these securities are segregated for open TBA purchases, when-
issued securities, open futures contracts and futures margin
requirements.
(b) Securities are exempt from registration under Rule 144A of the Securities
Act of 1933. Such securities may be resold, normally to qualified
institutional buyers in transactions exempt from registration. Total
market value of Rule 144A securities amounted to $8,146,676 as of April
30, 1999.
(c) Variable rate security. Coupon rate disclosed is that which is in effect
at April 30, 1999.
(d) 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.
(e) Represents security with notional or nominal principal amount. The actual
effective yield of this security is different than the stated coupon due
to amortization of related premiums.
(f) The interest rate disclosed for these securities represents effective
yield to maturity.
(g) The aggregate cost for federal income tax purposes is $304,196,098.
(h) Each Euro Dollar contract represents $1,000,000 in notional par value.
Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long
Term Bond contract represents $100,000 in notional par value. The total
notional amount and market value at risk are $138,200,000 and
$83,422,925, respectively. The determination of notional amounts as
presented here are indicative only of volume of activity and not a
measure of market risk.
(i) When-issued security.
(j) This security is issued with a zero-coupon. The interest rate disclosed
for this security represents effective yield to maturity.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of net assets.
The accompanying notes are an integral part of these financial statements.
33
<PAGE>
GOLDMAN SACHS GLOBAL INCOME FUND
Performance Summary
April 30, 1999 (Unaudited)
The following graph shows the value as of April 30, 1999, of a $10,000 in-
vestment made (with the maximum sales charge of 4.5%) in Class A shares on
September 1, 1991 of the Goldman Sachs Global Income Fund. For comparative
purposes, the performance of the Fund's benchmark (the J.P. Morgan Global
Government Bond Index hedged to U.S. Dollars (the "J.P. Morgan GGB Index - $
Hedged")) is shown. This performance data represents past performance and
should not be considered indicative of future performance which will fluctu-
ate 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 B, Class C, Institutional and Serv-
ice shares will vary from Class A due to differences in fees and loads.
Global Income Fund's Lifetime Performance
Growth of a $10,000 Investment, Distributions Reinvested September 1, 1991 to
April 30, 1999.(a)
[CHART APPEARS HERE]
Global Income J.P. Morgan GGB Global Income J.P. Morgan GGB
Fund Class A Index-$ Hedged Fund Class A Index-$ Hedged
------------ -------------- ------------ --------------
9/1/91 9,550 10,000 Jan-98 16,068 17,487
Sep-91 9,640 10,174 Feb-98 16,100 17,559
Oct-91 9,686 10,263 Mar-98 16,273 17,674
Nov-91 9,689 10,327 Apr-98 16,354 17,760
Dec-91 9,810 10,583 May-98 16,566 18,327
Jan-92 9,857 10,546 Jun-98 16,604 18,458
Feb-92 9,857 10,584 Jul-98 16,719 18,576
Mar-92 9,768 10,517 Aug-98 17,043 19,000
Apr-92 9,827 10,578 Sep-98 17,523 19,484
May-92 9,896 10,721 Oct-98 17,374 19,440
Jun-92 10,125 10,799 Nov-98 17,491 19,578
Jul-92 10,357 10,918 Dec-98 17,514 19,578
Aug-92 10,678 10,974 Jan-99 17,702 19,775
Sep-92 10,550 11,129 Feb-99 17,388 19,511
Oct-92 10,536 11,156 Mar-99 17,520 19,690
Nov-92 10,514 11,130 Apr-99 17,641 19,874
Dec-92 10,545 11,288
Jan-93 10,623 11,457
Feb-93 10,886 11,671
Mar-93 10,763 11,695
Apr-93 10,849 11,745
May-93 10,928 11,766
Jun-93 11,193 12,006
Jul-93 11,338 12,103
Aug-93 11,483 12,352
Sep-93 11,491 12,404
Oct-93 11,668 12,509
Nov-93 11,633 12,500
Dec-93 11,878 12,660
Jan-94 11,957 12,702
Feb-94 11,561 12,432
Mar-94 11,362 12,258
Apr-94 11,298 12,167
May-94 11,217 12,089
Jun-94 11,136 12,013
Jul-94 11,250 12,145
Aug-94 11,185 12,085
Sep-94 11,152 12,027
Oct-94 11,144 12,050
Nov-94 11,202 12,132
Dec-94 11,252 12,147
Jan-95 11,369 12,314
Feb-95 11,580 12,516
Mar-95 11,826 12,697
Apr-95 11,963 12,880
May-95 12,340 13,324
Jun-95 12,288 13,340
Jul-95 12,297 13,430
Aug-95 12,489 13,556
Sep-95 12,612 13,732
Oct-95 12,824 13,901
Nov-95 13,073 14,167
Dec-95 13,251 14,321
Jan-96 13,471 14,465
Feb-96 13,250 14,258
Mar-96 13,255 14,288
Apr-96 13,383 14,365
May-96 13,426 14,418
Jun-96 13,546 14,555
Jul-96 13,609 14,636
Aug-96 13,720 14,753
Sep-96 14,026 15,034
Oct-96 14,246 15,303
Nov-96 14,525 15,589
Dec-96 14,500 15,552
Jan-97 14,569 15,684
Feb-97 14,669 15,754
Mar-97 14,549 15,644
Apr-97 14,704 15,835
May-97 14,730 15,941
Jun-97 14,968 16,177
Jul-97 15,258 16,522
Aug-97 15,202 16,464
Sep-97 15,535 16,740
Oct-97 15,622 16,925
Nov-97 15,710 17,033
Dec-97 15,897 17,242
<TABLE>
<CAPTION>
Average Annual Total
Return through April 30,
1999 Since Inception Five Years One Year Six Months(b)
<S> <C> <C> <C> <C>
Class A (commenced August
2, 1991)
Excluding sales charges 8.32% 9.32% 7.87% 1.54%
Including sales charges 7.67% 8.32% 3.01% -3.05%
-----------------------------------------------------------------------------
Class B (commenced May 1,
1996)
Excluding contingent
deferred sales charges 9.08% n/a 7.35% 1.23%
Including contingent
deferred sales charges 8.06% n/a 2.05% -3.83%
-----------------------------------------------------------------------------
Class C (commenced August
15, 1997)
Excluding contingent
deferred sales charges 8.79% n/a 7.38% 1.31%
Including contingent
deferred sales charges 8.79% n/a 6.32% 0.30%
-----------------------------------------------------------------------------
Institutional Class (com-
menced August 1, 1995) 10.72% n/a 8.55% 1.86%
-----------------------------------------------------------------------------
Service Class (commenced
March 12, 1997) 9.12% n/a 8.03% 1.61%
-----------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) Not annualized.
34
<PAGE>
GOLDMAN SACHS GLOBAL INCOME FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount(a) Rate Date Value
Foreign Debt Obligations - 51.1%
<S> <C> <C> <C>
British Pound Sterling - 16.1%
Abbey National Treasury(b)
BPS 4,000,000 8.00% 04/02/2003 $ 6,937,917
Bank Nederlandse Gemeenten
2,500,000 6.38 03/30/2005 4,203,090
Standard Chartered Bank
1,500,000 6.75 04/27/2009 2,423,667
United Kingdom Treasury
23,000,000 9.50 10/25/2004 44,975,245
12,000,000 7.75 09/08/2006 22,730,639
5,100,000 7.25 12/07/2007 9,624,094
------------
$ 90,894,652
----------------------------------------------------------------------------------------
Euro Currency - 22.4%
Baden Wuerttemberg Finance
DEM 10,000,000 5.38% 02/05/2010 $ 5,864,908
Citicorp.
DEM 4,500,000 6.25 09/19/2009 2,745,340
DEM 1,100,000 5.50 06/30/2010 634,306
Federal Republic of Germany
EUR 13,000,000 6.00 01/04/2007 15,806,998
DEM 13,500,000 6.25 01/04/2024 17,137,527
Gallaher Group
DEM 10,300,000 5.88 08/06/2008 5,764,163
Government of France
EUR 27,000,000 4.50(b) 07/12/2003 30,030,377
EUR 6,300,000 5.50 10/25/2007 7,490,670
EUR 1,500,000 8.50(b) 04/25/2023 2,417,257
Halifax
DEM 5,000,000 5.63 07/23/2007 2,964,097
Kingdom of Denmark
DKK 95,100,000 8.00 05/15/2003 15,795,899
DKK 30,000,000 8.00 03/15/2006 5,245,855
Merrill Lynch and Co., Inc.
DEM 2,500,000 5.38 01/04/2009 1,411,222
Republic of Italy
EUR 8,200,000 6.75 07/01/2007 10,267,258
EUR 2,000,000 6.50 11/01/2027 2,559,024
------------
$126,134,901
----------------------------------------------------------------------------------------
Japanese Yen - 10.6%
Asian Development Bank(b)
JPY 1,300,000,000 5.63% 02/18/2002 $ 12,492,944
European Investment Bank
680,000,000 2.13 09/20/2007 6,091,170
Government of Japan
3,530,000,000 0.90 12/22/2008 27,982,212
International Bank for Reconstruction and Development
400,000,000 4.50 06/20/2000 3,514,316
350,000,000 5.25 03/20/2002 3,344,903
40,000,000 2.00 02/18/2008 357,452
Republic of Italy
550,000,000 5.13 07/29/2003 5,497,186
------------
$ 59,280,183
----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount(a) Rate Date Value
Foreign Debt Obligations - (continued)
<S> <C> <C> <C>
New Zealand Dollar - 0.9%
Government of New Zealand
NZD 7,600,000 8.00% 11/15/2006 $ 4,863,321
----------------------------------------------------------------------------------------------
Swedish Krona - 1.1%
Kingdom of Sweden
SEK 36,000,000 9.00% 04/20/2009 $ 5,939,279
----------------------------------------------------------------------------------------------
TOTAL FOREIGN DEBT OBLIGATIONS
(Cost $295,761,970) $287,112,336
----------------------------------------------------------------------------------------------
Asset-Backed Securities - 2.7%
American Business Financial Services Series 1998-2, Class A6
USD 2,250,000 6.46% 09/25/2029 $ 2,261,250
AESOP Funding Series 1998-1, Class A(c)
1,000,000 6.14 05/20/2006 992,660
AFC Home Equity Loan Trust Series 1997-1, Class A(d)
554,013 5.16 03/25/2027 553,094
ALAC Automobile Receivable Trust Series 1997-1, Class A(c)
183,920 6.29 12/15/2002 184,796
Americredit Automobile Receivables Series 1997-D, Class A3
450,000 6.24 09/05/2003 452,975
Arcadia Automobile Receivables Series 1997-D, Class A4
950,000 6.35 11/15/2005 960,420
Arcadia Automobile Receivables Series 1998-C, Class A3
1,000,000 5.67 08/15/2006 991,875
Bank Boston Home Equity Loan Trust Series 1998-2, Class A7
1,750,000 6.14 06/25/2013 1,726,279
CIT RV Trust Series 1995-B, Class A
145,459 6.50 04/15/2011 146,892
Citibank Credit Card Master Trust I Series 1998-3, Class A
1,000,000 5.80 02/07/2005 997,810
Fingerhut Master Trust Series 1998-2, Class A
1,000,000 6.23 02/15/2007 1,004,360
First Sierra Equipment Contract Trust Series 1998-1, Class A4
900,000 5.63 08/12/2004 889,029
Mid State Trust Series 4, Class A
1,231,504 8.33 04/01/2030 1,308,765
Nissan Auto Receivables Series 1995-A, Class A
286,054 6.10 08/15/2001 286,054
UCFC Home Equity Loan Trust Series 1997-D, Class A8(d)
602,071 5.15 12/15/2027 599,061
Union Financial Services Series 1998-A, Class A9
2,000,000 5.73 12/01/2005 1,942,680
----------------------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $15,355,567) $ 15,298,000
----------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
35
<PAGE>
GOLDMAN SACHS GLOBAL INCOME FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount(a) Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - 18.2%
360 Communications Co.
USD 300,000 7.13% 03/01/2003 $ 310,968
American General Financial
490,000 5.75 11/01/2003 484,390
Ameritech Capital Funding
4,000,000 5.88 02/19/2003 3,998,000
Ametek, Inc.(c)
130,000 7.20 07/15/2008 124,800
Associates Corp. of North America
750,000 5.75 11/01/2003 741,253
BankAmerica Corp.
900,000 7.75 07/15/2002 948,825
300,000 9.20 05/15/2003 333,088
Bayerische Landesbank Girozentrale
4,500,000 6.63 06/25/2007 4,608,720
Beneficial Corp.
500,000 6.43 04/10/2002 505,965
British Sky Broadcasting Group
1,300,000 6.88 02/23/2009 1,291,667
Cable & Wireless Communications
565,000 6.38 03/06/2003 566,215
Capital One Bank
275,000 6.39 03/05/2001 276,768
250,000 6.48 01/28/2002 251,483
CE Electric UK Funding Co.(c)
180,000 6.85 12/30/2004 182,500
Cendant Corp.
310,000 7.50 12/01/2000 314,256
Chelsea GCA Realty
250,000 7.75 01/26/2001 249,248
Chrysler Financial Co. LLC
445,000 6.09 04/06/2001 449,152
Citigroup, Inc.
300,000 5.80 03/15/2004 297,315
Comdisco, Inc.
450,000 6.13 01/15/2003 448,997
Conoco, Inc.
3,100,000 5.90 04/15/2004 3,073,247
Conseco Inc.
225,000 7.88 12/15/2000 228,672
Continental Airlines, Inc.
289,073 6.54 09/15/2009 288,790
Countrywide Home Loans, Inc.
450,000 6.45 02/27/2003 453,902
200,000 6.84 10/22/2004 204,686
Delphi Auto Systems Corp.(h)
1,175,000 6.13 05/01/2004 1,169,924
Developers Diversified Realty
125,000 6.84 12/16/2004 119,348
Dime Bancorp, Inc.
215,000 6.38 01/30/2001 213,228
Federated Department Stores, Inc.
350,000 8.13 10/15/2002 372,281
Ford Motor Credit Corp.
5,000,000 6.13 04/28/2003 5,016,550
</TABLE>
------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount(a) Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
General Motor Acceptance Corp.
USD 2,500,000 5.50% 01/14/2002 $ 2,479,875
770,000 5.75 11/10/2003 760,683
Hertz Corp.
485,000 6.70 06/15/2002 492,779
250,000 6.00 01/15/2003 248,200
Homeside Lending, Inc.
400,000 6.20 05/15/2003 399,484
Household Financial Corp.
6,000,000 6.00 05/01/2004 5,968,200
Imperial Tobacco Overseas BV
2,800,000 7.13 04/01/2009 2,780,400
Instituto de Credito Oficial
3,000,000 6.00 05/19/2008 3,021,000
International Bank for Reconstruction and Development
3,000,000 5.75 02/06/2008 2,954,667
Joseph E. Seagram & Sons, Inc.
175,000 6.25 12/15/2001 175,838
KFW International Finance
3,000,000 5.75 01/15/2008 2,975,163
Liberty Property LP
235,000 6.97 12/11/2003 250,226
Lloyds Bank
2,900,000 7.75 06/18/2007 5,238,372
Long Island Savings Bank
300,000 7.00 06/13/2002 306,411
MEPC Finance Inc.
1,500,000 7.50 05/01/2003 1,562,280
Merita Bank
200,000 6.50 04/01/2009 197,212
Merrill Lynch and Company, Inc.
3,400,000 6.00 02/12/2003 3,408,976
Nabsico, Inc.
700,000 6.00 02/15/2011 696,122
NationsBank Corp.
200,000 6.38 05/15/2005 202,000
Nederlandse Waterschapsbank
5,000,000 6.13 02/13/2008 4,996,190
News America Holdings, Inc.
400,000 8.50 02/15/2005 437,892
200,000 6.63 01/09/2008 199,838
65,000 8.00 10/17/2016 69,694
100,000 7.13 04/08/2028 97,515
Niagara Mohawk Power Corp.
250,000 6.88 04/01/2003 257,008
275,000 8.00 06/01/2004 296,293
North American Capital Corp.
1,300,000 8.25 11/17/2003 2,223,219
Northwest Airlines Corp.
237,953 8.97 01/02/2015 251,373
268,423 7.67 07/02/2016 276,548
Ontario Hydro
3,000,000 6.10 01/30/2008 3,006,000
Oryx Energy Co.
40,000 10.00 06/15/1999 40,180
155,000 9.50 11/01/1999 157,423
---------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
GOLDMAN SACHS GLOBAL INCOME FUND
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount(a) Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Owens Corning
USD 150,000 7.50% 05/01/2005 $ 151,172
75,000 7.70 05/01/2008 76,984
Panamsat Corp.
755,000 6.13 01/15/2005 715,816
Paramount Communications
300,000 7.50 01/15/2002 310,236
Pep Boys--Manny, Moe & Jack
480,000 6.75 03/10/2004 457,368
Philip Morris Companies, Inc.
180,000 9.00 01/01/2001 188,737
100,000 8.75 06/01/2001 105,407
350,000 7.00 07/15/2005 357,623
95,000 6.95 06/01/2006 97,152
Providian National Corp.
250,000 6.65 02/01/2004 251,428
Province of Quebec
235,000 7.50 07/15/2023 255,659
80,000 5.74(d) 03/02/2026 84,166
Prudential Insurance Company of America
3,500,000 6.38 07/23/2006 3,466,750
Raytheon Co.
85,000 6.30 08/15/2000 85,637
375,000 5.70 11/01/2003 370,399
Rothmans Netherlands Holdings
3,300,000 6.50 05/06/2003 3,292,410
Safeway, Inc.
315,000 5.88 11/15/2001 314,307
170,000 6.05 11/15/2003 169,624
Salton Sea Funding
127,575 7.02 05/30/2000 128,374
Sears Roebuck Acceptance Corp.
240,000 6.72 09/17/2003 245,575
Simon Property Group LP
450,000 6.63 06/15/2003 446,026
Sprint Capital Corp.
350,000 5.70 11/15/2003 343,847
7,000,000 6.38(h) 05/01/2009 6,946,100
Tele-Communications, Inc.
655,000 8.25 01/15/2003 707,400
The Money Store, Inc.
225,000 7.30 12/01/2002 234,657
Time Warner, Inc.
450,000 7.95 02/01/2000 457,974
900,000 9.63 05/01/2002 990,747
250,000 6.85 01/15/2026 254,885
TKR Cable, Inc.
220,000 10.50 10/30/2007 236,452
Tyco International Group SA
385,000 5.88 11/01/2004 380,900
190,000 6.38 06/15/2005 191,697
3,000,000 6.13 11/01/2008 2,873,100
U.S. Airways(c)
250,000 6.82 07/30/2014 221,411
Viacom, Inc.
450,000 7.75 06/01/2005 478,121
Videotron Group Ltd.
165,000 10.63 02/15/2005 179,025
------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount(a) Rate Date Value
<S> <C> <C> <C>
Corporate Bonds - (continued)
Westinghouse Electric
USD 170,000 6.88% 09/01/2003 $ 172,948
Williams Communications Solutions, Inc.
200,000 6.13 02/01/2001 200,688
390,000 6.13 02/15/2002 390,191
Worldcom, Inc.
805,000 6.13 08/15/2001 809,017
380,000 6.40 08/15/2005 382,307
------------------------------------------------------------------------------------------------
TOTAL CORPORATE BONDS
(Cost $102,642,572) $101,973,616
------------------------------------------------------------------------------------------------
Mortgage Backed Obligations - 4.2%
Asset Securitization Corp. Series 1997-D5, Class A1
USD 450,000 6.66% 02/14/2041 $ 454,311
Chase Commercial Mortgage Securities Corp. Series 1997-1, Class A2
300,000 7.37 02/19/2007 312,144
Chase Commercial Mortgage Securities Corp. Series 1997-2, Class A2
2,300,000 6.60 11/19/2007 2,313,409
CMC Securities Corp. IV Series 1997-2, Class IA13
2,450,000 6.60 11/25/2027 2,447,697
Country Wide Funding Corp. Series 1994-2, Class A
1,000,000 6.50 02/25/2009 997,810
First Union Commerial Mortgage Trust Class 1999-C1
1,500,000 6.07 10/15/2008 1,459,288
First Union-Lehman Brothers Commercial Mortgage Services Series 1997-C1,
Class A2
200,000 7.30 12/18/2006 207,906
General Electric Capital Mortgage Services Series 1994-2, Class AB(d)
968,367 6.69 01/25/2009 994,387
General Electric Capital Mortgage Services Series 1994-2, Class A9
564,879 4.82 01/25/2009 519,723
General Motors Acceptance Corp. Series 1997-C1, Class A
450,000 6.85 09/15/2006 459,765
Government National Mortgage Association (GNMA)
132,307 9.00 03/15/2005 137,599
127,782 9.00 02/15/2006 133,053
454,265 9.00 02/15/2010 474,139
802,575 6.00 01/15/2011 801,572
472,683 7.50 01/15/2023 488,046
90,912 7.50 04/15/2023 93,866
75,589 7.50 05/15/2023 78,045
606,091 7.00 07/15/2023 616,321
605,017 7.00 08/15/2023 615,230
177,010 7.50 08/15/2023 182,762
313,394 7.00 09/15/2023 318,685
455,288 7.00 10/15/2023 462,973
221,573 7.00 11/15/2023 225,314
481,659 7.50 12/15/2023 497,313
1,500,586 6.00 11/15/2028 1,453,212
3,488,176 6.00 12/15/2028 3,378,054
</TABLE>
------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
37
<PAGE>
GOLDMAN SACHS GLOBAL INCOME FUND
Statement of Investments
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount(a) Rate Date Value
<S> <C> <C> <C>
Mortgage Backed Obligations - (continued)
Merrill Lynch Mortgage Investors, Inc. Series
1998-C2, Class A2
USD 750,000 6.39% 02/15/2030 $ 747,975
Morgan Stanley Capital Commercial Mortgage, Inc.
Series 1997-C1
650,000 7.46 05/15/2006 668,551
Structured Mortgage Securities Corp. Series 1994-1,
Class A1(d)
2,000,000 6.59 05/25/2009 2,007,220
------------------------------------------------------------------------------------------
TOTAL MORTGAGE BACKED OBLIGATIONS
(Cost $23,624,985) $23,546,370
------------------------------------------------------------------------------------------
U.S. Treasury Obligations - 12.7%
United States Treasury Bonds
USD 5,000,000 5.63% 10/31/1999 $ 5,019,550
11,198,220 3.63 01/15/2008 10,960,258
12,300,000 11.25(b) 02/15/2015 19,095,750
1,050,000 7.88 02/15/2021 1,297,895
3,000,000 6.75 08/15/2026 3,344,520
United States Treasury Interest-Only Stripped Securities(e)
900,000 5.69 02/15/2009 520,209
400,000 6.04 02/15/2014 166,164
United States Treasury Notes
5,000,000 5.38 01/31/2000 5,018,750
12,200,000 6.13 08/15/2007 12,760,468
6,000,000 5.63 05/15/2008 6,090,000
United States Treasury Principal-Only Stripped Securities(e)
2,700,000 5.47 08/15/2005 1,925,316
1,700,000 6.13 11/15/2018 525,164
4,950,000 6.13 02/15/2019 1,504,553
9,860,000 6.12 05/15/2020 2,786,140
1,700,000 5.96 08/15/2026 342,805
------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $73,093,479) $ 71,357,542
------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount(a) Rate Date Value
<S> <C> <C> <C>
Short-term Obligations - 6.9%
State Street Bank & Trust Time Deposit
USD 38,860,000 4.88% 05/03/1999 $ 38,860,000
----------------------------------------------------------------------------------------------
TOTAL SHORT-TERM OBLIGATIONS
(Cost $38,860,000) $ 38,860,000
----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $549,338,573)(f) $538,147,864
----------------------------------------------------------------------------------------------
</TABLE>
------------------------------------------------------------------------------
Futures contracts open at April 30, 1999 are as follows:
<TABLE>
<CAPTION>
Number of
Contracts Settlement Unrealized
Type Long (Short)(g) Month Gain (Loss)
-----------------------------------------------------------------------
<S> <C> <C> <C>
Euro Dollars 36 June 1999 $ (3,575)
Euro Dollars 5 September 1999 1,875
Euro Dollars 7 March 2000 (18,113)
Euro Dollars 7 June 2000 (17,412)
5 Year U.S. Treasury Note (71) June 1999 66,203
10 Year U.S. Treasury Note (29) June 1999 33,719
20 Year Long Term Bond 98 June 1999 (263,625)
-----------------------------------------------------------------------
$(200,928)
-----------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
38
<PAGE>
GOLDMAN SACHS GLOBAL INCOME FUND
- --------------------------------------------------------------------------------
Federal Income Tax Information:
Gross unrealized gain for investments in which
value exceeds cost $ 1,611,674
Gross unrealized loss for investments in which
cost exceeds value (14,208,491)
- --------------------------------------------------------------------------------
Net unrealized loss $(12,596,817)
- --------------------------------------------------------------------------------
(a) The principal amount of each security is stated in the currency in which
the bond is denominated. See below.
BPS=British Pound Sterling
DKK=Danish Krone
DEM=Deutschemark
EUR=Euro Currency
JPY=Japanese Yen
NZD=New Zealand Dollars
SEK=Swedish Krona
USD=United States Dollar
Effective January 1, 1999, bonds denominated in DEM and DKK are valued using
the Euro Currency to U.S. Dollar conversion rate.
(b) A portion of this security is segregated for open futures, futures margin
requirements, and when-issued securities.
(c) Securities are exempt from registration under Rule 144A of the Securities
Act of 1933. Such securities may be resold, normally to qualified
institutional buyers in transactions exempt from registration. Total
market value of Rule 144A securities amounted to $1,706,167 as of April
30, 1999.
(d) Variable rate security. Coupon rate disclosed is that which is in effect
at April 30, 1999.
(e) The interest rate disclosed for these securities represents effective
yield to maturity.
(f) The aggregate cost for federal income tax purposes is $550,744,681.
(g) Each Euro Dollar contract represents $1,000,000 in notional par value.
Each 5-Year and 10-Year U.S. Treasury Note and each U.S. 20-Year Long
Term Bond contract represents $100,000 in notional par value. The total
notional amount and market value at risk are $74,800,000 and $36,038,884,
respectively. The determination of notional amounts as presented here are
indicative only of volume of activity and not a measure of market risk.
(h) When-issued security.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of net assets.
The accompanying notes are an integral part of these financial statements.
39
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Statements of Assets and Liabilities
April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Adjustable Rate
Government Fund
Assets:
<S> <C>
Investment in securities, at value (identified cost
$377,290,404, $232,174,815, $134,393,145, $303,913,657,
and $549,338,573, respectively) $372,975,466
Cash, at value 356,844
Receivables:
Investment securities sold 627,213
Interest, at value 4,670,393
Fund shares sold 1,336,767
Forward foreign currency exchange contracts --
Variation margin 83,363
Reimbursement from adviser --
Other assets 57,803
-----------------------------------------------------------------------------
Total assets 380,107,849
-----------------------------------------------------------------------------
Liabilities:
Payables:
Investment securities purchased --
Income distribution 853,573
Fund shares repurchased 15,742,295
Amounts owed to affiliates 167,027
Forward foreign currency exchange contracts --
Variation margin 127
Accrued expenses and other liabilities 55,904
-----------------------------------------------------------------------------
Total liabilities 16,818,926
-----------------------------------------------------------------------------
Net Assets:
Paid-in capital 420,255,547
Accumulated undistributed (distributions in excess of) net
investment income (3,582,337)
Accumulated net realized gain (loss) on investment,
futures and foreign currency related transactions (48,948,080)
Net unrealized loss on investments, futures and
translation of assets and liabilities denominated in
foreign currencies (4,436,207)
-----------------------------------------------------------------------------
NET ASSETS $363,288,923
-----------------------------------------------------------------------------
Net asset value, offering and redemption price per
share(a)
Class A $9.69
Class B --
Class C --
Institutional $9.70
Administration $9.70
Service $9.71
-----------------------------------------------------------------------------
Shares outstanding:
Class A 1,793,782
Class B --
Class C --
Institutional 35,262,107
Administration 322,181
Service 65,965
-----------------------------------------------------------------------------
Total shares outstanding, $.001 par value (unlimited
number of shares authorized) 37,444,035
-----------------------------------------------------------------------------
</TABLE>
(a) Maximum public offering price per share (NAV per share multiplied by
1.0152) for Class A shares of Adjustable Rate Government, (NAV per share
multiplied by 1.02041) for Class A shares of Short Duration Government,
(NAV per share multiplied by 1.0471) for Class A shares of Government
Income, Core Fixed Income, and Global Income is $9.84, $9.94, $14.84
$10.30, and $15.97, respectively. At redemption, Class B and Class C
shares may be subject to a contingent 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.
40
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
<TABLE>
<CAPTION>
Short Duration Government Core Fixed Global
Government Fund Income Fund Income Fund Income Fund
<S> <C> <C> <C>
$231,509,934 $134,273,217 $302,724,336 $538,147,864
14,382 128,979 36,133 1,893,506
7,136,895 3,058,669 10,925,029 25,792,878
1,823,502 622,420 2,878,615 8,001,891
1,554,387 93,377 8,624,851 4,751,174
-- -- -- 8,542,568
-- -- -- --
37,730 25,690 33,362 158,022
31,581 43,767 37,273 50,114
-------------------------------------------------------------------------------------
242,108,411 138,246,119 325,259,599 587,338,017
-------------------------------------------------------------------------------------
14,251,257 18,143,637 45,395,118 23,859,558
298,224 56,959 803,192 15,067
-- 566,162 234,282 620,794
128,107 110,864 137,409 459,937
-- -- -- 504,427
19,572 2,319 357,033 123,927
63,271 54,289 66,782 134,979
-------------------------------------------------------------------------------------
14,760,431 18,934,230 46,993,816 25,718,689
-------------------------------------------------------------------------------------
243,124,017 120,569,222 282,280,260 544,441,799
680,294 (119,535) (36,664) 5,374,766
(15,343,862) (1,000,724) (2,464,170) 15,621,225
(1,112,469) (137,074) (1,513,643) (3,818,462)
-------------------------------------------------------------------------------------
$227,347,980 $119,311,889 $278,265,783 $561,619,328
-------------------------------------------------------------------------------------
$9.74 $14.17 $9.84 $15.25
$9.73 $14.18 $9.87 $15.22
$9.71 $14.17 $9.87 $15.20
$9.74 $14.16 $9.86 $15.24
$9.76 -- $9.86 --
$9.73 $14.09 $9.87 $15.24
-------------------------------------------------------------------------------------
5,551,694 6,034,809 5,109,670 17,965,653
547,284 1,350,699 1,347,899 803,964
684,330 715,170 778,070 511,652
15,264,783 316,144 19,043,296 17,479,340
658,006 -- 1,240,837 --
640,036 1,105 698,929 74,191
-------------------------------------------------------------------------------------
23,346,133 8,417,927 28,218,701 36,834,800
-------------------------------------------------------------------------------------
</TABLE>
41
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Statements of Operations
For the Six Months Ended April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Adjustable Rate
Government Fund
<S> <C>
Investment income:
Interest(a) $13,399,158
----------------------------------------------------------------------------
Total income 13,399,158
----------------------------------------------------------------------------
Expenses:
Management fees 876,319
Distribution and service fees(b) 59,236
Transfer agent fees(c) 123,174
Custodian fees 85,779
Registration fees 27,930
Professional fees 30,755
Trustee fees 5,334
Administration share fees 6,705
Service share fees 1,951
Amortization of deferred organization expenses --
Other 19,038
----------------------------------------------------------------------------
Total expenses 1,236,221
----------------------------------------------------------------------------
Less -- expenses reimbursed and fees waived by
Goldman Sachs (50,533)
----------------------------------------------------------------------------
Net Expenses 1,185,688
----------------------------------------------------------------------------
NET INVESTMENT INCOME 12,213,470
----------------------------------------------------------------------------
Realized and unrealized gain (loss) on investment, futures and foreign cur-
rency transactions:
Net realized gain (loss) from:
Investment transactions (152,307)
Futures transactions 232,098
Foreign currency related transactions --
Net change in unrealized gain (loss) on:
Investments 778,603
Futures (928,883)
Translation of assets and liabilities
denominated in foreign currencies --
----------------------------------------------------------------------------
Net realized and unrealized loss on investment,
futures and foreign currency transactions: (70,489)
----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $12,142,981
----------------------------------------------------------------------------
</TABLE>
(a) Net of $3,647 and $43,038 in foreign withholding tax for the Core Fixed
Income and Global Income Funds, respectively.
(b) Class A, Class B and Class C of the following funds had distribution and
service fees of:
Adjustable Rate Government Fund -- $59,236 for Class A only.
Short Duration Government Fund -- $66,627, $23,965, and $34,410,
respectively.
Government Income Fund -- $109,637, $87,025, and $49,938, respectively.
Core Fixed Income Fund -- $71,482, $51,348 and $34,143, respectively.
Global Income Fund -- $589,946, $47,899 and $30,190, respectively.
(c) The following funds had transfer agency fees of:
Adjustable Rate Government Fund -- $45,020, $76,925, $1,073 and $156 for
Class A , Institutional Class, Administrative Class and Service Class,
respectively.
Short Duration Government Fund -- $50,637, $4,552, $6,538, $30,754, $1,461,
and $1,266 for Class A, Class B, Class C, Institutional Class,
Administration Class, and Service Class, respectively.
Government Income Fund -- $83,324, $16,535, $9,488, $727 and $1 for Class
A, Class B, Class C, Institutional Class and Service Class, respectively.
Core Fixed Income Fund -- $54,326, $9,756, $6,487, $39,512, $2,523, and
$1,207 for Class A, Class B, Class C, Institutional Class, Administration
Class, and Service Class, respectively.
Global Income Fund -- $224,180, $9,101, $5,736, $41,162 and $165 for Class
A, Class B, Class C, Institutional Class and Service Class, respectively.
The accompanying notes are an integral part of these financial statements.
42
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
<TABLE>
<CAPTION>
Short Duration Government Core Fixed Global
Government Fund Income Fund Income Fund Income Fund
<S> <C> <C> <C>
$ 7,585,073 $ 3,927,749 $ 9,296,426 $ 12,983,054
----------------------------------------------------------------------------------------
7,585,073 3,927,749 9,296,426 12,983,054
----------------------------------------------------------------------------------------
580,944 385,909 580,982 2,062,046
125,002 246,600 156,973 668,035
95,208 110,075 113,811 280,344
64,615 58,047 99,237 185,981
22,055 19,446 27,296 40,337
34,123 30,543 29,700 53,897
5,334 5,334 5,334 5,334
9,129 -- 15,766 --
15,823 -- 15,094 2,066
-- -- 4,362 --
28,992 19,946 35,697 33,723
----------------------------------------------------------------------------------------
981,225 875,900 1,084,252 3,331,763
----------------------------------------------------------------------------------------
(154,065) (196,242) (50,571) (882,898)
----------------------------------------------------------------------------------------
827,160 679,658 1,033,681 2,448,865
----------------------------------------------------------------------------------------
6,757,913 3,248,091 8,262,745 10,534,189
----------------------------------------------------------------------------------------
(1,026,640) (177,789) (1,827,529) 8,120,807
581,365 (625,429) 16,085 (107,550)
-- -- 2,624 7,697,014
(1,906,774) (2,224,631) (5,104,114) (27,624,384)
(1,564,201) (213,796) (906,760) (381,792)
-- -- (524) 9,758,509
----------------------------------------------------------------------------------------
(3,916,250) (3,241,645) (7,820,218) (2,537,396)
----------------------------------------------------------------------------------------
$ 2,841,663 $ 6,446 $ 442,527 $ 7,996,793
----------------------------------------------------------------------------------------
</TABLE>
43
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Statements of Changes in Net Assets
For the Six Months Ended April 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Adjustable
Rate
Government
Fund
<S> <C>
From operations:
Net investment income $ 12,213,470
Net realized gain (loss) on investment, futures and foreign
currency related transactions 79,791
Net change in unrealized gain (loss) on investments, futures
and translation of assets and liabilities denominated in
foreign currencies (150,280)
------------------------------------------------------------------------------
Net increase in net assets resulting from operations 12,142,981
------------------------------------------------------------------------------
Distributions to shareholders:
From net investment income
Class A shares (1,232,891)
Class B shares --
Class C shares --
Institutional shares (10,816,563)
Administration shares (143,980)
Service shares (20,036)
In excess of net investment income
Class A shares (3,171)
Class B shares --
Class C shares --
Institutional shares (27,825)
Administration shares (370)
Service shares (52)
From net realized gain on investment, futures and foreign cur-
rency transactions
Class A shares --
Class B shares --
Class C shares --
Institutional shares --
Administration shares --
Service shares --
------------------------------------------------------------------------------
Total distributions to shareholders (12,244,888)
------------------------------------------------------------------------------
From share transactions:
Net proceeds from sales of shares 353,904,781
Reinvestment of dividends and distributions 6,273,040
Cost of shares repurchased (505,618,202)
------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from share
transactions (145,440,381)
------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) (145,542,288)
------------------------------------------------------------------------------
Net assets:
Beginning of period 508,831,211
------------------------------------------------------------------------------
End of period $363,288,923
------------------------------------------------------------------------------
Accumulated undistributed (distributions in excess of) net
investment income $ (3,582,337)
------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
44
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
<TABLE>
<CAPTION>
Short Duration
Government Government Core Fixed Global
Fund Income Fund Income Fund Income Fund
<S> <C> <C> <C>
$ 6,757,913 $ 3,248,091 $ 8,262,745 $ 10,534,189
(445,275) (803,218) (1,808,820) 15,710,271
(3,470,975) (2,438,427) (6,011,398) (18,247,667)
----------------------------------------------------------------------------------
2,841,663 6,446 442,527 7,996,793
----------------------------------------------------------------------------------
(1,462,046) (2,408,332) (1,558,706) (4,858,989)
(117,286) (412,333) (241,582) (178,178)
(159,368) (236,508) (161,059) (113,646)
(4,529,183) (107,525) (5,783,911) (4,871,704)
(206,144) -- (354,961) --
(170,756) (78) (162,526) (17,629)
-- -- (6,916) --
-- -- (1,072) --
-- -- (715) --
-- -- (25,665) --
-- -- (1,575) --
-- -- (721) --
-- (1,930,242) (896,935) (4,887,570)
-- (406,494) (144,240) (190,465)
-- (228,993) (92,870) (113,513)
-- (63,106) (2,576,039) (4,087,302)
-- -- (181,000) --
-- (39) (84,628) (15,690)
----------------------------------------------------------------------------------
(6,644,783) (5,793,650) (12,275,121) (19,334,686)
----------------------------------------------------------------------------------
184,449,622 196,563,623 175,090,386 209,338,538
4,182,466 4,828,196 7,933,722 12,011,171
(182,860,541) (205,715,915) (175,724,502) (57,569,953)
----------------------------------------------------------------------------------
5,771,547 (4,324,096) 7,299,606 163,779,756
----------------------------------------------------------------------------------
1,968,427 (10,111,300) (4,532,988) 152,441,863
----------------------------------------------------------------------------------
225,379,553 129,423,189 282,798,771 409,177,465
----------------------------------------------------------------------------------
$ 227,347,980 $ 119,311,889 $ 278,265,783 $561,619,328
----------------------------------------------------------------------------------
$ 680,294 $ (119,535) $ (36,664) $ 5,374,766
----------------------------------------------------------------------------------
</TABLE>
45
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Statements of Changes in Net Assets
For the Year Ended October 31, 1998
<TABLE>
<CAPTION>
Adjustable
Rate
Government
Fund
<S> <C>
From operations:
Net investment income $ 27,751,730
Net realized gain (loss) on investment, futures and foreign
currency related transactions (1,432,798)
Net change in unrealized gain (loss) on investments, futures
and translation of assets and liabilities denominated in
foreign currencies (6,927,104)
-----------------------------------------------------------------------------
Net increase in net assets resulting from operations 19,391,828
-----------------------------------------------------------------------------
Distributions to shareholders:
From net investment income
Class A shares (2,487,566)
Class B shares --
Class C shares --
Institutional shares (25,001,833)
Administration shares (234,475)
Service shares (27,856)
In excess of net investment income
Class A shares (98,798)
Class B shares --
Class C shares --
Institutional shares (992,993)
Administration shares (9,313)
Service shares (1,106)
From net realized gain on investment, futures and foreign
currency transactions
Class A shares --
Class B shares --
Class C shares --
Institutional shares --
Administration shares --
Service shares --
-----------------------------------------------------------------------------
Total distributions to shareholders (28,853,940)
-----------------------------------------------------------------------------
From share transactions:
Net proceeds from sales of shares 480,828,950
Reinvestment of dividends and distributions 20,351,273
Cost of shares repurchased (492,929,797)
-----------------------------------------------------------------------------
Net increase in net assets resulting from share transactions 8,250,426
-----------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) (1,211,686)
-----------------------------------------------------------------------------
Net assets:
Beginning of year 510,042,897
-----------------------------------------------------------------------------
End of year $ 508,831,211
-----------------------------------------------------------------------------
Accumulated undistributed (distributions in excess of) net
investment income $ (3,550,919)
-----------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
46
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
<TABLE>
<CAPTION>
Short Duration Government Core Fixed Global
Government Fund Income Fund Income Fund Income Fund
<S> <C> <C> <C>
$ 9,612,953 $ 6,235,094 $ 10,922,376 $ 14,339,751
(360,410) 2,722,191 3,888,127 3,580,157
1,213,423 787,495 2,127,689 14,771,995
-----------------------------------------------------------------------------------
10,465,966 9,744,780 16,938,192 32,691,903
-----------------------------------------------------------------------------------
(1,420,203) (5,471,980) (1,853,415) (11,773,305)
(124,011) (589,599) (152,279) (310,470)
(88,564) (181,328) (150,232) (116,153)
(7,578,309) (126,383) (8,016,713) (6,720,480)
(270,953) -- (664,748) --
(265,819) (114) (176,911) (25,498)
-- (316,755) (75,186) --
-- (34,130) (6,177) --
-- (10,497) (6,094) --
-- (7,316) (325,203) --
-- -- (26,966) --
-- (7) (7,176) --
-- (336,409) (84,830) (628,833)
-- (41,187) (8,016) (15,200)
-- (9,732) (4,098) (4,258)
-- (8,246) (459,667) (240,253)
-- -- (51,390) --
-- (7) (10,588) (604)
-----------------------------------------------------------------------------------
(9,747,859) (7,133,690) (12,079,689) (19,835,054)
-----------------------------------------------------------------------------------
301,176,652 174,396,555 274,106,821 254,174,010
6,473,398 5,523,470 8,519,118 13,914,727
(201,542,539) (133,099,760) (102,188,552) (103,905,121)
-----------------------------------------------------------------------------------
106,107,511 46,820,265 180,437,387 164,183,616
-----------------------------------------------------------------------------------
106,825,618 49,431,355 185,295,890 177,040,465
-----------------------------------------------------------------------------------
118,553,935 79,991,834 97,502,881 232,137,000
-----------------------------------------------------------------------------------
$ 225,379,553 $ 129,423,189 $ 282,798,771 $ 409,177,465
-----------------------------------------------------------------------------------
$ 567,164 $ (202,850) $ -- $ 4,880,723
-----------------------------------------------------------------------------------
</TABLE>
47
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Notes to Financial Statements
April 30, 1999 (Unaudited)
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 Goldman Sachs Adjustable Rate
Government Fund (Adjustable Rate Government), Goldman Sachs Short Duration
Government Fund (Short Duration Government), Goldman Sachs Government Income
Fund (Government Income), Goldman Sachs Core Fixed Income Fund (Core Fixed
Income) and Goldman Sachs Global Income Fund (Global Income), collectively,
"the Funds" or individually a "Fund." Adjustable Rate Government, Short Dura-
tion Government, Government Income, and Core Fixed Income are diversified
portfolios of the Trust whereas Global Income is a non-diversified portfolio.
Adjustable Rate Government offers four classes of shares -- Class A, Institu-
tional, Administration and Service. Government Income and Global Income offer
five classes of shares -- Class A, Class B, Class C, Institutional and Serv-
ice. Short Duration Government and Core Fixed Income offer six classes of
shares -- Class A, Class B, Class C, Institutional, Administration and Serv-
ice.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds. The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make es-
timates and assumptions that may affect the reported amounts. Actual results
could differ from estimates and assumptions.
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. 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.
Certain mortgage security paydown gains and losses are taxable as ordinary
income. Such paydown gains and losses increase or decrease taxable ordinary
income available for distribution and are classified as interest income in
the accompanying Statements of Operations. Original issue discounts ("OID")
on debt securities are amortized to interest income over the life of the se-
curity with a corresponding increase in the cost basis of that security. OID
amortization on mortgage backed REMIC securities is initially recorded based
on estimates of principal paydowns using the most recent OID factors avail-
able from the issuer. Recorded amortization amounts are adjusted when actual
OID factors are received. Market discounts and market premiums on debt secu-
rities, other than mortgage backed REMIC securities, are amortized to inter-
est income over the life of the security with a corresponding adjustment in
the cost basis of that security for Core Fixed Income. Global Income amor-
tizes only market discounts on debt securities other than REMIC mortgage
backed securities.
48
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
C. 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 and capital gains to its shareholders. Accordingly, no
federal tax provisions are required.
The characterization of distributions to shareholders for financial report-
ing purposes is determined in accordance with income tax rules. Therefore,
the source of a Fund's distributions may be shown in the accompanying finan-
cial statements as either from or in excess of net investment income or net
realized gain on investment transactions, or from paid-in-capital, depending
on the type of book/tax differences that may exist as well as timing differ-
ences associated with having different book and tax year ends.
Adjustable Rate Government and Short Duration Government, at their most re-
cent tax year-ends of December 31, 1998, had approximately the following
amounts of capital loss carryforward for U.S. federal tax purposes. These
amounts are available to be carried forward to offset future capital gains to
the extent permitted by applicable laws or regulations.
<TABLE>
<CAPTION>
Years of
Fund Amount Expiration
-----------------------------------------------------------------------------------------
<S> <C> <C>
Adjustable Rate Government $48,164,000 2000-2006
-----------------------------------------------------------------------------------------
Short Duration Government $13,345,000 2002-2005
-----------------------------------------------------------------------------------------
</TABLE>
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 Funds bear all expenses
and fees relating to their respective distribution and service plans. Share-
holders of Service and Administration shares bear all expenses and fees paid
to service organizations. Each class of shares of the Funds now separately
bear its respective class-specific transfer agency fees.
E. Deferred Organization Expenses -- Organization-related costs were amor-
tized on a straight-line basis over a period of five years. The amortization
costs of all funds are fully amortized.
F. Foreign Currency Translations -- The books and records of the Funds 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.
49
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Notes to Financial Statements
April 30, 1999 (Unaudited)
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 interest recorded and the amounts actually received.
G. Forward Foreign Currency Exchange Contracts -- Core Fixed Income and
Global Income may enter into forward foreign currency exchange contracts for
the purchase or sale of a specific foreign currency at a fixed price on a fu-
ture date as a hedge or cross-hedge against either specific transactions or
portfolio positions. Core Fixed Income and Global Income may also purchase
and sell forward contracts to seek to increase total return. All commitments
are "marked-to-market" daily at the applicable translation rates and any re-
sulting unrealized gains or losses are recorded in the Funds' financial
statements. The Funds record realized gains or losses at the time a forward
contract is offset by entry into a closing transaction or extinguished by de-
livery 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.
H. Futures Contracts -- The Funds may enter into futures transactions to
hedge against changes in interest rates, securities prices, currency exchange
rates (in the case of Core Fixed Income and Global Income) or to seek to in-
crease total return.
Upon entering into a futures contract, the Funds are required to deposit
with a broker an amount of cash or securities equal to the minimum "initial
margin" requirement of the associated futures exchange. Subsequent payments
for futures contracts ("variation margin") are paid or received by the Funds
daily, dependent on the daily fluctuations in the value of the contracts, and
are recorded for financial reporting purposes as unrealized gains or losses.
When contracts are closed, the Funds realize a gain or loss which is reported
in the Statements 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
Statements of Assets and Liabilities. Changes in the value of the futures
contract may not directly correlate with changes in the value of the under-
lying securities. This risk may decrease the effectiveness of the Funds'
hedging strategies and potentially result in a loss.
I. Option Accounting Principles -- When the Funds write call or put options,
an amount equal to the premium received is recorded as an asset and as an
equivalent liability. The amount of the liability is subsequently marked-to-
market to reflect the current market value of the option written. When a
written option expires on its stipulated expiration date or the Funds enter
into a closing purchase transaction, the Funds realize a gain or loss without
regard to any unrealized gain or loss on the underlying security, and the li-
ability related to such option is extinguished. When a written call option is
exercised, the Funds realize a gain or loss from the sale of the underlying
security, and the proceeds of the sale are increased by the premium origi-
nally received. When a written put option is exercised, the amount of the
premium originally received will reduce the cost of the security which the
Funds purchase upon exercise. There is a risk of loss from a change in value
of such options which may exceed the related premiums received.
50
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Upon the purchase of a call option or a protective put option by the Funds,
the premium paid is recorded as an investment and subsequently marked-to-mar-
ket to reflect the current market value of the option. If an option which the
Funds have purchased expires on the stipulated expiration date, the Funds
will realize a loss in the amount of the cost of the option. If the Funds en-
ter into a closing sale transaction, the Funds will realize a gain or loss,
depending on whether the sale proceeds for the closing sale transaction are
greater or less than the cost of the option. If the Funds exercise a pur-
chased put option, the Funds will realize a gain or loss from the sale of the
underlying security, and the proceeds from such sale will be decreased by the
premium originally paid. If the Funds exercise a purchased call option, the
cost of the security which the Funds purchase upon exercise will be increased
by the premium originally paid.
J. Mortgage Dollar Rolls -- The Funds may enter into mortgage "dollar rolls"
in which the Funds sell securities in the current month for delivery and si-
multaneously contract with the same counterparty to repurchase similar (same
type, coupon and maturity) but not identical securities on a specified future
date. For financial reporting and tax reporting purposes, the Funds treat
mortgage dollar rolls as two separate transactions; one involving the pur-
chase of a security and a separate transaction involving a sale.
3. AGREEMENTS
Pursuant to the Investment Management Agreements (the "Agreements"), Goldman
Sachs Funds Management, L.P. ("GSFM"), an affiliate of Goldman, Sachs & Co.
("Goldman Sachs"), serves as the investment adviser for Adjustable Rate Gov-
ernment and Short Duration Government. Goldman Sachs Asset Management
("GSAM"), a separate operating division of Goldman Sachs, serves as the in-
vestment adviser for Government Income and Core Fixed Income. Goldman Sachs
Asset Management International ("GSAMI"), an affiliate of GSAM, serves as the
investment adviser for Global Income. Under the Agreements, the respective
adviser, subject to the general supervision of the Trust's Board of Trustees,
manages the Funds' portfolios. As compensation for the services rendered pur-
suant to the Agreements, the assumption of the expenses related thereto and
administering the Funds' business affairs, including providing facilities,
the adviser is entitled to a fee, computed daily and payable monthly at an
annual rate equal to .40%, .50%, .65%, .40% and .90% of average daily net as-
sets of Adjustable Rate Government, Short Duration Government, Government In-
come, Core Fixed Income and Global Income, respectively. For the period ended
April 30, 1999 the advisers for Government Income and Global Income voluntar-
ily have agreed to waive a portion of the management fee equal annually to
.11% and .25%, respectively, of each Fund's average daily net assets. The ad-
viser may discontinue or modify this waiver in the future at its discretion.
Each adviser has voluntarily agreed to limit "Other Expenses" (excluding
management fees, distribution and service fees, transfer agent fees, taxes,
interest, brokerage, litigation, Administrative and Service share fees, in-
demnification costs and other extraordinary expenses) to the extent that such
expenses exceeded, on an annual basis, .05%, .00%, .00%, .10% and .00% of the
average daily net assets of Adjustable Rate Government, Short Duration Gov-
ernment, Government Income, Core Fixed Income and Global Income, respective-
ly.
51
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Notes to Financial Statements
April 30, 1999 (Unaudited)
Goldman Sachs serves as Distributor of the 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 Funds that it retained approximately $2,000, $26,000, $37,000,
$35,000 and $119,600 for the period ended April 30, 1999 for Adjustable Rate
Government, Short Duration Government, Government Income, Core Fixed Income
and Global Income, respectively.
The Trust, on behalf of each 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 from each fund for distribution
services and shareholder maintenance equal, on an annual basis, to .50%,
1.00% and 1.00% for Global Income and .25%, 1.00% and 1.00% of each of the
other funds' average daily net assets attributable to Class A, Class B and
Class C shares, respectively. For the period ended April 30, 1999, Goldman
Sachs has voluntarily agreed to waive a portion of the Distribution and Serv-
ice fees equal to .15% of the average daily net assets attributable to the
Class B shares of Short Duration Government. Goldman Sachs may discontinue or
modify this waiver in the future at its discretion.
Goldman Sachs also serves as Transfer Agent of the Funds 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, Service and Administration Shares.
The Trust, on behalf of the Funds, has adopted Service Plans. In addition,
the Trust, on behalf of Adjustable Rate Government, Short Duration Government
and Core Fixed Income, has adopted Administration 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, on an annual basis, .25% and
.50%, respectively, of the average daily net asset value of each share class.
On or about July 15, 1999, the Administration Class shares will be terminat-
ed.
For the period ended April 30, 1999, the advisors and distributor have vol-
untarily agreed to waive certain fees and reimburse other expenses as follows
(in thousands):
<TABLE>
<CAPTION>
Waivers
--------------------------
Class B
Distribution
Fund Management and Service Reimbursement Total
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Adjustable Rate Government $ -- $-- $ 51 $ 51
------------------------------------------------------------------------------
Short Duration Government -- 4 150 154
------------------------------------------------------------------------------
Government Income 65 -- 131 196
------------------------------------------------------------------------------
Core Fixed Income -- -- 51 51
------------------------------------------------------------------------------
Global Income 573 -- 310 883
------------------------------------------------------------------------------
</TABLE>
52
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
At April 30, 1999, the amounts owed to affiliates were as follows (in thou-
sands):
<TABLE>
<CAPTION>
Distribution Transfer Over Reimbursement
Fund Management and Service Agent of "Other Expenses" Total
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Adjustable Rate
Government $129 $ 6 $16 $16 $167
-----------------------------------------------------------------------------
Short Duration
Government 93 20 15 -- 128
-----------------------------------------------------------------------------
Government Income 52 41 18 -- 111
-----------------------------------------------------------------------------
Core Fixed Income 90 28 19 -- 137
-----------------------------------------------------------------------------
Global Income 289 120 51 -- 460
-----------------------------------------------------------------------------
</TABLE>
4. PORTFOLIO SECURITY TRANSACTIONS
Purchases and proceeds of sales or maturities of long-term securities for the
six months ended April 30, 1999, were as follows:
<TABLE>
<CAPTION>
Sales or Sales or maturities
Purchases of Purchases maturities of (excluding
U.S. Government (excluding U.S. Government U.S. Government and
and agency U.S. Government and and agency agency
obligations agency obligations) obligations obligations)
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Adjustable
Rate Gov-
ernment $ 94,657,907 $ -- $117,546,427 $ --
-----------------------------------------------------------------------------------
Short Du-
ration Gov-
ernment 194,604,037 -- 162,333,420 --
-----------------------------------------------------------------------------------
Government
Income 172,294,576 5,980,816 174,474,054 6,204,216
-----------------------------------------------------------------------------------
Core Fixed
Income 342,456,172 76,848,720 364,662,227 52,971,141
-----------------------------------------------------------------------------------
Global In-
come 151,833,424 327,131,756 172,837,837 167,185,649
-----------------------------------------------------------------------------------
</TABLE>
53
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Notes to Financial Statements
April 30, 1999 (Unaudited)
At April 30, 1999, Global Income had outstanding forward foreign currency
exchange contracts, both to purchase and sell foreign currencies as follows:
<TABLE>
<CAPTION>
Open Foreign Currency Value on Unrealized Unrealized
Purchase Contracts Settlement Date Current Value Gain Loss
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Canadian Dollar
expiring 5/21/1999 $ 13,324,692 $ 13,598,223 273,531 --
-----------------------------------------------------------------------------
Total Open Foreign Cur-
rency
Purchase Contracts $ 13,324,692 $ 13,598,223 $ 273,531 $ --
-----------------------------------------------------------------------------
<CAPTION>
Open Foreign Currency Value on Unrealized Unrealized
Sale Contracts Settlement Date Current Value Gain Loss
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
British Pound
expiring 6/28/1999 $101,450,843 $ 99,972,617 $1,478,226 $ --
Danish Krone
expiring 7/14/1999 22,375,835 21,911,535 464,300 --
Euro Currency
expiring 5/20/1999 55,722,362 53,415,155 2,307,207 --
expiring 7/26/1999 61,509,927 61,430,530 79,397 --
Japanese Yen
expiring 5/12/1999 47,319,305 44,675,040 2,644,265 --
expiring 5/12/1999 15,085,687 15,345,235 -- 259,548
expiring 6/11/1999 19,218,141 19,259,311 -- 41,170
New Zealand Dollar
expiring 5/13/1999 4,798,374 5,002,083 -- 203,709
Norwegian Kroner
expiring 6/25/1999 5,334,271 5,323,319 10,952 --
Swiss Franc
expiring 5/20/1999 13,726,925 12,787,767 939,158 --
-----------------------------------------------------------------------------
Total Open Foreign Cur-
rency
Sale Contracts $346,541,670 $339,122,592 $7,923,505 $504,427
-----------------------------------------------------------------------------
</TABLE>
54
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
<TABLE>
------------------------------------------------------------------------------
<CAPTION>
Closed but Unsettled Foreign Purchase Realized Realized
Currency Contracts Value Sale Value Gain Loss
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
British Pound
expiring 6/28/1999 $ 2,408,478 $ 2,412,710 4,232 --
Canadian Dollar
expiring 5/21/1999 $ 1,099,708 $ 1,100,479 771 --
Euro Currency
expiring 5/20/1999 $ 9,007,668 $ 9,337,299 329,631 --
Japanese Yen
expiring 5/12/1999 $ 5,581,131 $ 5,592,029 10,898 --
------------------------------------------------------------------------------
Total Closed but Unsettled Foreign
Currency Contracts $18,096,985 $18,442,517 $345,532 $--
------------------------------------------------------------------------------
</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 April 30,
1999, Global Income had sufficient cash and/or securities to cover any com-
mitments under these contracts.
Global Income has recorded a "Receivable for forward foreign currency ex-
change contracts" and "Payable for forward foreign currency exchange con-
tracts" resulting from open and closed but not settled forward foreign
currency exchange contracts of $8,542,568 and $504,427, respectively, in the
accompanying Statement of Assets and Liabilities.
For the period ended April 30, 1999, Adjustable Rate Government, Short Du-
ration Government, Government Income, Core Fixed Income and Global Income in-
curred commission expenses of approximately $15,000, $9,000, $5,000, $7,000,
and $4,000, respectively, in connection with futures contracts entered into
with Goldman Sachs. At April 30, 1999, Goldman Sachs was owed approximately
$20,000, $2,000, $357,000, and $124,000 from Short Duration Government, Gov-
ernment Income, Core Fixed Income and Global Income, respectively, related to
variation margin on futures contracts. Goldman Sachs owed approximately
$83,000 to Adjustable Rate Government related to variation margin on futures
contracts.
55
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Notes to Financial Statements
April 30, 1999 (Unaudited)
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 at the Funds' custodian.
6. JOINT REPURCHASE AGREEMENT ACCOUNT
The Funds, together with other registered investment companies having manage-
ment agreements with GSFM, GSAMI and GSAM or their affiliates, transfer
uninvested cash into joint accounts, the daily aggregate balance of which is
invested in one or more repurchase agreements.
At April 30, 1999, Short Duration Government, Government Income and Core
Fixed Income had undivided interests in the repurchase agreements in the fol-
lowing joint account which equaled $8,800,000, $16,300,000, and $36,400,000,
respectively, in principal amount. At April 30, 1999, the following repur-
chase agreements held in this joint account were fully collateralized by U.S.
Treasury and agency obligations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Repurchase Agreements Amount Rate Date Cost
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Morgan Stanley Dean Witter & Co. $500,000,000 4.94% 05/03/1999 $ 500,000,000
---------------------------------------------------------------------------------------
NationsBanc Montgomery Securities LLC 525,000,000 4.95 05/03/1999 525,000,000
---------------------------------------------------------------------------------------
Salomon Smith Barney Holdings, Inc. 518,800,000 4.95 05/03/1999 518,800,000
---------------------------------------------------------------------------------------
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT $1,543,800,000
---------------------------------------------------------------------------------------
</TABLE>
56
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
7. LINE OF CREDIT FACILITY
The Funds participated in a $250,000,000 uncommitted, unsecured revolving
line of credit facility. In addition, Global Income participated in a
$50,000,000 committed, unsecured revolving line of credit facility. Under the
most restrictive arrangement, each Fund must have owned securities having a
market value in excess of 300% of the total bank borrowings. Effective April
30, 1999, the Funds now participate in a $250,000,000 uncommitted and a
$250,000,000 committed, unsecured revolving line of credit facility. Under
the most restrictive arrangement, each Fund must own securities having a mar-
ket 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 Funds based on the amount of the commitment
which has not been utilized. During the six months ended April 30, 1999, the
Funds did not have any borrowings under any of these facilities.
8. OTHER MATTERS
As of April 30, 1999, the Goldman, Sachs & Co. Profit Sharing Master Trust
was the beneficial owner of approximately 19% and 12% of the outstanding
shares of Short Duration Government and Global Income, respectively. The
Goldman Sachs Balanced Strategy Portfolio was the beneficial owner of approx-
imately 14% of Short Duration Government. The Goldman Sachs Growth and Income
Strategy Portfolio was the beneficial owner of approximately 13% and 16% of
Core Fixed Income and Global Income, respectively. The Goldman Sachs Growth
Strategy Portfolio was the beneficial owner of approximately 7% of Global In-
come.
57
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Notes to Financial Statements
April 30, 1999 (Unaudited)
10. SUMMARY OF SHARE TRANSACTIONS
Share activity for the six months ended April 30, 1999 is as follows:
<TABLE>
<CAPTION>
Adjustable Rate Short Duration
Government Government
-------------------------------------------------------
Shares Dollars Shares Dollars
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares
Shares sold 29,566,992 $ 285,257,810 5,903,520 $ 57,745,997
Reinvestments of divi-
dends and distributions 84,226 813,331 108,607 1,061,337
Shares repurchased (34,130,297) (329,450,936) (6,186,705) (60,526,709)
-------------------------------------------------------
(4,479,079) (43,379,795) (174,578) (1,719,375)
-------------------------------------------------------------------------------
Class B Shares
Shares sold -- -- 220,750 2,154,377
Reinvestments of divi-
dends and distributions -- -- 7,938 77,387
Shares repurchased -- -- (189,765) (1,853,347)
-------------------------------------------------------
-- -- 38,923 378,417
-------------------------------------------------------------------------------
Class C Shares
Shares sold -- -- 6,765,145 65,910,918
Reinvestments of divi-
dends and distributions -- -- 7,983 77,676
Shares repurchased -- -- (6,547,027) (63,755,930)
-------------------------------------------------------
-- -- 226,101 2,232,664
-------------------------------------------------------------------------------
Institutional Shares
Shares sold 7,017,103 67,915,313 5,838,380 57,112,812
Reinvestments of divi-
dends and distributions 552,103 5,340,082 269,036 2,626,176
Shares repurchased (17,809,379) (172,258,920) (5,547,906) (54,129,792)
-------------------------------------------------------
(10,240,173) (99,003,525) 559,510 5,609,196
-------------------------------------------------------------------------------
Administration Shares
Shares sold 58,767 568,736 44,231 433,117
Reinvestment of dividends
and distributions 10,426 100,846 17,278 168,970
Shares repurchased (365,637) (3,544,225) (145,630) (1,424,744)
-------------------------------------------------------
(296,444) (2,874,643) (84,121) (822,657)
-------------------------------------------------------------------------------
Service Shares
Shares sold 16,834 162,922 112,078 1,092,401
Reinvestment of dividends
and distributions 1,940 18,781 17,527 170,920
Shares repurchased (37,581) (364,121) (119,994) (1,170,019)
-------------------------------------------------------
(18,807) (182,418) 9,611 93,302
-------------------------------------------------------------------------------
NET INCREASE (DECREASE) (15,034,503) $(145,440,381) 575,446 $ 5,771,547
-------------------------------------------------------------------------------
</TABLE>
58
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
<TABLE>
<CAPTION>
Government Income Core Fixed Income Global Income
- --------------------------------------------------------------------------------
Shares Dollars Shares Dollars Shares Shares
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
12,593,559 $ 181,888,425 8,688,648 $ 86,722,888 6,173,784 $ 95,168,613
255,353 3,678,329 227,208 2,269,454 519,597 7,969,707
(13,591,474) (196,793,687) (9,293,918) (92,788,128) (2,612,976) (40,346,151)
- --------------------------------------------------------------------------------
(742,562) (11,226,933) (378,062) (3,795,786) 4,080,405 62,792,169
- --------------------------------------------------------------------------------
499,554 7,224,421 875,189 8,784,439 327,402 5,024,786
40,848 588,967 23,925 239,350 19,374 296,533
(270,351) (3,902,535) (252,269) (2,521,083) (63,428) (971,018)
- --------------------------------------------------------------------------------
270,051 3,910,853 646,845 6,502,706 283,348 4,350,301
- --------------------------------------------------------------------------------
284,798 4,112,996 473,225 4,749,917 288,214 4,429,776
28,413 409,426 15,878 158,958 11,216 171,372
(244,517) (3,529,598) (254,300) (2,546,688) (49,901) (766,148)
- --------------------------------------------------------------------------------
68,694 992,824 234,803 2,362,187 249,529 3,835,000
- --------------------------------------------------------------------------------
232,663 3,323,781 7,087,837 71,060,594 6,822,057 104,265,874
10,542 151,390 466,343 4,661,469 230,948 3,539,689
(104,379) (1,490,095) (7,556,661) (75,373,937) (985,303) (15,097,018)
- --------------------------------------------------------------------------------
138,826 1,985,076 (2,481) 348,126 6,067,702 92,708,545
- --------------------------------------------------------------------------------
-- -- 129,869 1,325,475 -- --
-- -- 36,233 362,223 -- --
-- -- (165,835) (1,686,106) -- --
- --------------------------------------------------------------------------------
-- -- 267 1,592 -- --
- --------------------------------------------------------------------------------
987 14,000 243,844 2,447,073 29,344 449,489
6 84 24,223 242,268 2,210 33,870
-- -- (81,077) (808,560) (25,003) (389,618)
- --------------------------------------------------------------------------------
993 14,084 186,990 1,880,781 6,551 93,741
- --------------------------------------------------------------------------------
(263,998) $ (4,324,096) 688,362 $ 7,299,606 10,687,535 $163,779,756
- --------------------------------------------------------------------------------
</TABLE>
59
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
Notes to Financial Statements
April 30, 1999
10. SUMMARY OF SHARE TRANSACTIONS
Share activity for the year ended October 31, 1998 is as follows:
<TABLE>
<CAPTION>
Adjustable Rate
Government Short Duration Government
------------------------------------------------------
Shares Dollars Shares Dollars
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares
Shares sold 19,932,653 $ 194,697,319 16,985,961 $ 167,624,322
Reinvestments of divi-
dends and distributions 604,097 5,945,679 120,111 1,185,808
Shares repurchased (18,654,663) (182,295,231) (12,340,018) (121,740,352)
------------------------------------------------------
1,882,087 18,347,767 4,766,054 47,069,778
-------------------------------------------------------------------------------
Class B Shares
Shares sold -- -- 603,049 5,943,625
Reinvestments of divi-
dends and distributions -- -- 7,568 74,540
Shares repurchased -- -- (177,997) (1,755,511)
------------------------------------------------------
-- -- 432,620 4,262,654
-------------------------------------------------------------------------------
Class C Shares
Shares sold -- -- 2,838,549 27,966,526
Reinvestments of divi-
dends and distributions -- -- 4,686 46,150
Shares repurchased -- -- (2,404,324) (23,689,726)
------------------------------------------------------
-- -- 438,911 4,322,950
-------------------------------------------------------------------------------
Institutional Shares
Shares sold 28,576,509 280,382,576 8,996,219 88,597,711
Reinvestments of divi-
dends and distributions 1,450,779 14,219,494 476,030 4,685,919
Shares repurchased (31,436,222) (308,484,524) (5,282,160) (51,951,739)
------------------------------------------------------
(1,408,934) (13,882,454) 4,190,089 41,331,891
-------------------------------------------------------------------------------
Administration Shares
Shares sold 526,967 5,168,122 643,992 6,337,403
Reinvestments of divi-
dends and distributions 16,347 159,947 21,813 215,247
Shares repurchased (207,333) (2,030,808) (30,888) (304,789)
------------------------------------------------------
335,981 3,297,261 634,917 6,247,861
-------------------------------------------------------------------------------
Service Shares
Shares sold 59,251 580,933 478,854 4,707,065
Reinvestments of divi-
dends and distributions 2,671 26,153 26,999 265,734
Shares repurchased (12,170) (119,234) (213,862) (2,100,422)
------------------------------------------------------
49,752 487,852 291,991 2,872,377
-------------------------------------------------------------------------------
NET INCREASE 858,886 $ 8,250,426 10,754,582 $ 106,107,511
-------------------------------------------------------------------------------
</TABLE>
60
<PAGE>
GOLDMAN SACHS TAXABLE INVESTMENT GRADE FUNDS
<TABLE>
<CAPTION>
Government Income Core Fixed Income Global Income
---------------------------------------------------------------------------------
Shares Dollars Shares Dollars Shares Dollars
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
10,117,601 $ 148,936,815 8,313,076 $ 84,205,066 6,208,388 $ 94,795,767
317,568 4,667,254 192,581 1,951,173 644,423 9,725,285
(8,375,782) (123,588,302) (3,945,813) (40,108,401) (4,034,417) (61,329,954)
---------------------------------------------------------------------------------
2,059,387 30,015,767 4,559,844 46,047,838 2,818,394 43,191,098
---------------------------------------------------------------------------------
988,916 14,582,947 762,323 7,750,260 358,077 5,463,974
36,689 539,851 10,510 106,863 16,608 250,647
(495,310) (7,326,615) (133,282) (1,356,868) (83,968) (1,277,096)
---------------------------------------------------------------------------------
530,295 7,796,183 639,551 6,500,255 290,717 4,437,525
---------------------------------------------------------------------------------
695,338 10,239,137 641,726 6,499,362 284,497 4,320,887
12,307 181,980 10,040 102,303 6,328 95,885
(143,057) (2,112,718) (135,503) (1,377,439) (61,616) (932,193)
---------------------------------------------------------------------------------
564,588 8,308,399 516,263 5,224,226 229,209 3,484,579
---------------------------------------------------------------------------------
43,336 637,656 16,206,866 163,978,142 9,752,852 148,646,615
9,140 134,281 558,960 5,664,936 252,867 3,816,828
(4,930) (72,125) (5,578,137) (56,603,166) (2,632,348) (40,270,900)
---------------------------------------------------------------------------------
47,546 699,812 11,187,689 113,039,912 7,373,371 112,192,543
---------------------------------------------------------------------------------
-- -- 779,791 7,866,673 -- --
-- -- 49,361 499,933 -- --
-- -- (201,424) (2,053,871) -- --
---------------------------------------------------------------------------------
-- -- 627,728 6,312,735 -- --
---------------------------------------------------------------------------------
-- -- 375,085 3,807,318 62,146 946,767
7 104 19,089 193,910 1,707 26,082
-- -- (67,401) (688,807) (6,198) (94,978)
---------------------------------------------------------------------------------
7 104 326,773 3,312,421 57,655 877,871
---------------------------------------------------------------------------------
3,201,823 $ 46,820,265 17,857,848 $180,437,387 10,769,346 $164,183,616
---------------------------------------------------------------------------------
</TABLE>
61
<PAGE>
GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT 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
gain (loss) increase
Net asset on investment, In excess (decrease)
value at Net option and From net of net in net
beginning investment futures investment investment asset
of period income transactions income income value
FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED),
<S> <C> <C> <C> <C> <C> <C>
1999 - Class A Shares $ 9.69 $0.25 $ -- $ (0.25) $ -- $ --
1999 - Institutional
Shares 9.70 0.27 -- (0.27) -- --
1999 - Admin Shares 9.70 0.26 -- (0.26) -- --
1999 - Service Shares 9.70 0.25 0.01 (0.25) -- 0.01
FOR THE YEARS ENDED OCTOBER 31,
1998 - Class A Shares 9.88 0.53 (0.17) (0.53) (0.02) (0.19)
1998 - Institutional
Shares 9.88 0.55 (0.16) (0.55) (0.02) (0.18)
1998 - Administration
Shares 9.88 0.53 (0.16) (0.53) (0.02) (0.18)
1998 - Service Shares 9.88 0.51 (0.16) (0.51) (0.02) (0.18)
---------------------------------------------------------------------------------------------------------
1997 - Class A Shares 9.83 0.57(f) 0.05 (f) (0.57) -- 0.05
1997 - Institutional
Shares 9.83 0.59(f) 0.05 (f) (0.59) -- 0.05
1997 - Administration
Shares 9.83 0.57(f) 0.05 (f) (0.57) -- 0.05
1997 - Service Shares
(commenced March 27) 9.84 0.33(f) 0.04 (f) (0.33) -- 0.04
---------------------------------------------------------------------------------------------------------
1996 - Class A Shares 9.77 0.55(f) 0.08 (f) (0.55) (0.02) 0.06
1996 - Institutional
Shares 9.77 0.57(f) 0.08 (f) (0.57) (0.02) 0.06
1996 - Administration
Shares 9.77 0.55(f) 0.08 (f) (0.55) (0.02) 0.06
---------------------------------------------------------------------------------------------------------
1995 - Class A Shares
(commenced May 15) 9.79 0.27(f) (0.01)(f) (0.27) (0.01) (0.02)
1995 - Institutional
Shares 9.74 0.56(f) 0.07 (f) (0.57) (0.03) 0.03
1995 - Administration
Shares 9.74 0.54(f) 0.07 (f) (0.55) (0.03) 0.03
---------------------------------------------------------------------------------------------------------
1994 - Institutional
Shares 10.00 0.43(f) (0.24)(f) (0.45) -- (0.26)
1994 - Administration
Shares 10.00 0.42(f) (0.26)(f) (0.42) -- (0.26)
---------------------------------------------------------------------------------------------------------
</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 charge for Class A
shares were taken into account.
(c)Annualized.
(d)Not annualized.
(e)Includes the effect of mortgage dollar roll transactions.
(f)Calculated based on the average shares outstanding methodology.
The accompanying notes are an integral part of these financial statements.
62
<PAGE>
GOLDMAN SACHS ADJUSTABLE RATE GOVERNMENT FUND
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or
expense limitations
----------------------
Net Ratio of Ratio of
assets Ratio of net net
Net asset at end net investment Ratio of investment
value, of expenses income expenses income Portfolio
end of Total period to average to average to average to average turnover
period return(b) (in 000s) net assets net assets net assets net assets rate(e)
<S> <C> <C> <C> <C> <C> <C> <C>
$9.69 2.63%(d) $ 17,375 0.89%(c) 5.19%(c) 0.91%(c) 5.17%(c) 22.77%(d)
9.70 2.83(d) 342,148 0.49(c) 5.63(c) 0.51(c) 5.61(c) 22.77(d)
9.70 2.71(d) 3,126 0.74(c) 5.38(c) 0.76(c) 5.36(c) 22.77(d)
9.71 2.68(d) 640 0.99(c) 5.13(c) 1.01(c) 5.11(c) 22.77(d)
9.69 3.71 60,782 0.80 5.40 1.02 5.18 33.64
9.70 4.09 441,228 0.53 5.63 0.53 5.63 33.64
9.70 3.83 5,999 0.78 5.33 0.78 5.33 33.64
9.70 3.57 822 1.03 5.09 1.03 5.09 33.64
-----------------------------------------------------------------------------------------------
9.88 6.43 43,393 0.74 5.60 1.02 5.32 46.58
9.88 6.70 463,511 0.49 5.99 0.52 5.96 46.58
9.88 6.43 2,793 0.74 5.73 0.77 5.70 46.58
9.88 3.81(d) 346 1.05(c) 5.64(c) 1.08(c) 5.61(c) 46.58
-----------------------------------------------------------------------------------------------
9.83 6.60 10,728 0.70 5.59 1.01 5.28 52.36
9.83 6.86 613,149 0.45 5.85 0.51 5.79 52.36
9.83 6.60 3,792 0.70 5.59 0.76 5.53 52.36
-----------------------------------------------------------------------------------------------
9.77 2.74(d) 15,203 0.69(c) 5.87(c) 1.01(c) 5.55(c) 24.12
9.77 6.75 657,358 0.46 5.77 0.53 5.70 24.12
9.77 6.48 3,572 0.71 5.50 0.78 5.43 24.12
-----------------------------------------------------------------------------------------------
9.74 1.88 942,523 0.46 4.38 0.49 4.35 37.81
9.74 1.63 6,960 0.71 4.27 0.74 4.24 37.81
-----------------------------------------------------------------------------------------------
</TABLE>
63
<PAGE>
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Income (loss) from
investment operations(a) Distributions to shareholders
------------------------------- ------------------------------------
Net realized From net
and unrealized realized gain Net
Net asset gain (loss) on In excess on investment, increase
value at Net investment, option From net of net option (decrease)
beginning investment and futures investment investment and futures in net
of period income transactions income income transactions asset value
FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED),
<S> <C> <C> <C> <C> <C> <C> <C>
1999 - Class A Shares $9.91 $0.27 $(0.17) $(0.27) $-- $ -- $(0.17)
1999 - Class B Shares 9.88 0.24 (0.15) (0.24) -- -- (0.15)
1999 - Class C Shares 9.88 0.23 (0.17) (0.23) -- -- (0.17)
1999 - Institutional
Shares 9.90 0.29 (0.16) (0.29) -- -- (0.16)
1999 - Admin Shares 9.91 0.28 (0.16) (0.27) -- -- (0.15)
1999 - Service Shares 9.89 0.27 (0.17) (0.26) -- -- (0.16)
FOR THE YEARS ENDED OCTOBER 31,
1998 - Class A Shares 9.88 0.57 0.04 (0.58) -- -- 0.03
1998 - Class B Shares 9.86 0.51 0.03 (0.52) -- -- 0.02
1998 - Class C Shares 9.86 0.49 0.03 (0.50) -- -- 0.02
1998 - Institutional
Shares 9.86 0.58 0.06 (0.60) -- -- 0.04
1998 - Administration
Shares 9.89 0.55 0.05 (0.58) -- -- 0.02
1998 - Service Shares 9.86 0.55 0.04 (0.56) -- -- 0.03
----------------------------------------------------------------------------------------------------------------
1997 - Class A Shares
(commenced May 1) 9.78 0.31(f) 0.09 (f) (0.30) -- -- 0.10
1997 - Class B Shares
(commenced May 1) 9.75 0.28(f) 0.10 (f) (0.27) -- -- 0.11
1997 - Class C Shares
(commenced August 15) 9.83 0.12(f) 0.02 (f) (0.11) -- -- 0.03
1997 - Institutional
Shares 9.83 0.64(f) 0.03 (f) (0.64) -- -- 0.03
1997 - Administration
Shares 9.85 0.62(f) 0.04 (f) (0.62) -- -- 0.04
1997 - Service Shares 9.82 0.59(f) 0.04 (f) (0.59) -- -- 0.04
----------------------------------------------------------------------------------------------------------------
1996 - Institutional
Shares 9.82 0.63(f) 0.01 (f) (0.63) -- -- 0.01
1996 - Administration
Shares(g) 9.86 0.38(f) -- (f) (0.39) -- -- (0.01)
1996 - Service Shares
(Commenced April 10) 9.72 0.31(f) 0.10 (f) (0.31) -- -- 0.10
----------------------------------------------------------------------------------------------------------------
1995 - Institutional
Shares 9.64 0.66(f) 0.17 (f) (0.65) -- -- 0.18
1995 - Administration
Shares(g) 9.64 0.24(f) (0.04)(f) (0.21) -- -- (0.01)
----------------------------------------------------------------------------------------------------------------
1994 - Institutional
Shares 10.14 0.56(f) (0.46)(f) (0.56) -- (0.04) (0.50)
1994 - Administration
Shares 10.14 0.53(f) (0.45)(f) (0.54) -- (0.04) (0.50)
----------------------------------------------------------------------------------------------------------------
</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 the period and no sales
charge. Total return would be reduced if a sales or redemption charge
were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Includes the effect of mortgage dollar roll transactions.
(f) Calculated based on the average shares outstanding methodology.
(g) Short Duration Government Fund Administration shares commenced activity
on April 15, 1993, were redeemed in full on February 23, 1995 and re-
commenced on February 28, 1996 at $9.86.
64
<PAGE>
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND
<TABLE>
<CAPTION>
Ratios assuming no
voluntary waiver of
fees
or expense limitations
------------------------
Ratio of net Ratio of net
Net asset Net assets Ratio of net investment Ratio of investment
value, at end of expenses income expenses income Portfolio
end of Total period to average to average to average to average turnover
period return(b) (in 000s) net assets net assets net assets net assets rate(e)
<S> <C> <C> <C> <C> <C> <C> <C>
$9.74 1.00%(d) $54,095 0.94%(c) 5.58%(c) 1.07%(c) 5.45%(c) 72.05%(d)
9.73 0.90(d) 5,323 1.54(c) 4.98(c) 1.82(c) 4.70(c) 72.05 (d)
9.71 0.62(d) 6,643 1.69(c) 4.70(c) 1.82(c) 4.57(c) 72.05 (d)
9.74 1.30(d) 148,642 0.54(c) 5.99(c) 0.67(c) 5.86(c) 72.05 (d)
9.76 1.28(d) 6,419 0.79(c) 5.75(c) 0.92(c) 5.62(c) 72.05 (d)
9.73 1.05(d) 6,226 1.04(c) 5.50(c) 1.17(c) 5.37(c) 72.05 (d)
9.91 6.36 56,725 0.81 5.68 1.32 5.17 119.89
9.88 5.62 5,025 1.41 5.12 1.87 4.66 119.89
9.88 5.46 4,527 1.56 4.64 1.87 4.33 119.89
9.90 6.75 145,514 0.53 6.06 0.84 5.75 119.89
9.91 6.27 7,357 0.78 5.76 1.09 5.45 119.89
9.89 6.12 6,232 1.03 5.56 1.34 5.25 119.89
--------------------------------------------------------------------------------------------------
9.88 4.14(d) 9,491 0.70(c) 6.05(c) 1.32(c) 5.43(c) 102.58
9.86 3.94(d) 747 1.30(c) 5.52(c) 1.82(c) 5.00(c) 102.58
9.86 1.44(d) 190 1.45(c) 5.52(c) 1.82(c) 5.15(c) 102.58
9.86 7.07 103,729 0.45 6.43 0.82 6.06 102.58
9.89 6.91 1,060 0.70 6.19 1.07 5.82 102.58
9.86 6.63 3,337 0.95 5.92 1.32 5.55 102.58
--------------------------------------------------------------------------------------------------
9.83 6.75 99,944 0.45 6.44 0.71 6.18 115.45
9.85 4.00(d) 252 0.70(c) 5.97(c) 0.96(c) 5.71(c) 115.45
9.82 4.35(d) 1,822 0.95(c) 6.05(c) 1.21(c) 5.79(c) 115.45
--------------------------------------------------------------------------------------------------
9.82 8.97 103,760 0.45 6.87 0.72 6.60 292.56
9.63 2.10(d) -- 0.70(c) 7.91(c) 0.90(c) 7.71(c) 292.56
--------------------------------------------------------------------------------------------------
9.64 0.99 193,095 0.45 5.69 0.59 5.55 289.79
9.64 0.73 730 0.70 5.38 0.84 5.24 289.79
--------------------------------------------------------------------------------------------------
</TABLE>
65
<PAGE>
GOLDMAN SACHS GOVERNMENT INCOME 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 From In excess of
and unrealized net realized net realized
gain (loss) on gain on gain on
Net asset investment, In excess investment, investment,
value, Net option and From net of net option and option and
beginning investment futures investment investment futures futures
of period income transactions income income transactions transactions
FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED),
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1999 - Class A Shares $14.91 $0.40 $(0.40) $(0.39) $ -- $(0.35) $ --
1999 - Class B Shares 14.92 0.35 (0.40) (0.34) -- (0.35) --
1999 - Class C Shares 14.91 0.35 (0.40) (0.34) -- (0.35) --
1999 - Institutional
Shares 14.90 0.43 (0.40) (0.42) -- (0.35) --
1999 - Service Shares 14.88 0.39 (0.44) (0.39) -- (0.35) --
FOR THE YEARS ENDED OCTOBER 31,
1998 - Class A Shares 14.59 0.81 0.45 (0.81) (0.07) (0.06) --
1998 - Class B Shares 14.61 0.72 0.42 (0.72) (0.05) (0.06) --
1998 - Class C Shares 14.60 0.74 0.40 (0.74) (0.03) (0.06) --
1998 - Institutional
Shares 14.59 0.87 0.42 (0.87) (0.05) (0.06) --
1998 - Service Shares 14.59 0.80 0.40 (0.80) (0.05) (0.06) --
-----------------------------------------------------------------------------------------------------------------
1997 - Class A Shares 14.36 0.91 0.29 (0.90) -- (0.07) --
1997 - Class B Shares 14.37 0.80 0.30 (0.79) -- (0.07) --
1997 - Class C Shares
(commenced August 15) 14.38 0.17 0.22 (0.17) -- -- --
1997 - Institutional
Shares (commenced
August 15) 14.37 0.20 0.22 (0.20) -- -- --
1997 - Service Shares
(commenced August 15) 14.37 0.20 0.21 (0.19) -- -- --
-----------------------------------------------------------------------------------------------------------------
1996 - Class A shares 14.47 0.92 (0.11) (0.92) -- -- --
1996 - Class B shares
(commenced May 1) 14.11 0.41 0.26 (0.41) -- -- --
-----------------------------------------------------------------------------------------------------------------
1995 - Class A shares 13.47 0.94 1.00 (0.94) -- -- --
-----------------------------------------------------------------------------------------------------------------
1994 - Class A shares 14.90 0.85 (1.28) (0.85) (0.02) (0.12) (0.01)
-----------------------------------------------------------------------------------------------------------------
</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 the period and no sales
charge. Total return would be reduced if a sales or redemption charge
were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Includes the effect of mortgage dollar roll transactions.
The accompanying notes are an integral part of these financial statements.
66
<PAGE>
GOLDMAN SACHS GOVERNMENT INCOME FUND
<TABLE>
<CAPTION>
Ratios assuming no
voluntary waiver of fees
or expense limitations
--------------------------------
Ratio of
Net net Ratio of net
increase Net asset Net assets Ratio of investment Ratio of investment
(decrease) value, at end of net expenses income expenses income Portfolio
in net end of Total period to average to average to average to average turnover
asset value period return(b) (in 000s) net assets net assets net assets net assets rate(e)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.74) $14.17 0.02%(d) $85,524 0.98%(c) 5.63%(c) 1.31%(c) 5.30%(c) 151.66%(d)
(0.74) 14.18 (0.35)(d) 19,159 1.73(c) 4.88(c) 2.06(c) 4.55(c) 151.66(d)
(0.74) 14.17 (0.35)(d) 10,137 1.73(c) 4.87(c) 2.06(c) 4.54(c) 151.66(d)
(0.74) 14.16 0.22 (d) 4,476 0.58(c) 6.08(c) 0.91(c) 5.75(c) 151.66(d)
(0.79) 14.09 (0.37)(d) 16 1.08(c) 5.72(c) 1.41(c) 5.39(c) 151.66(d)
0.32 14.91 8.98 101,015 0.76 5.53 1.53 4.76 315.43
0.31 14.92 8.09 16,125 1.51 4.76 2.05 4.22 315.43
0.31 14.91 8.09 9,639 1.51 4.59 2.05 4.05 315.43
0.31 14.90 9.19 2,642 0.51 5.82 1.05 5.28 315.43
0.29 14.88 8.53 2 1.01 5.48 1.55 4.94 315.43
- -----------------------------------------------------------------------------------------------------------------------------
0.23 14.59 8.72 68,859 0.50 6.38 1.82 5.06 395.75
0.24 14.61 7.96 8,041 1.25 5.59 2.32 4.52 395.75
0.22 14.60 2.72 (d) 1,196 1.25(c) 5.45(c) 2.32(c) 4.38(c) 395.75
0.22 14.59 2.94 (d) 1,894 0.25(c) 7.03(c) 1.32(c) 5.96(c) 395.75
0.22 14.59 2.85 (d) 2 0.75(c) 6.49(c) 1.82(c) 5.42(c) 395.75
- -----------------------------------------------------------------------------------------------------------------------------
(0.11) 14.36 5.80 30,603 0.50 6.42 1.89 5.03 485.09
0.26 14.37 4.85 (d) 234 1.25(c) 5.65(c) 2.39(c) 4.51(c) 485.09
- -----------------------------------------------------------------------------------------------------------------------------
1.00 14.47 14.90 29,503 0.47 6.67 2.34 4.80 449.53
- -----------------------------------------------------------------------------------------------------------------------------
(1.43) 13.47 (2.98) 14,452 0.11 6.06 2.86 3.31 654.90
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
67
<PAGE>
GOLDMAN SACHS CORE FIXED INCOME 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
gain (loss) on From net
investment, realized Net
option, gain on increase
Net asset futures and In excess investment, (decrease)
value at Net foreign currency From net of net option and in net
beginning investment related investment investment futures asset
of period income transactions income income transactions value
FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED),
<S> <C> <C> <C> <C> <C> <C> <C>
1999 - Class A Shares $10.25 $0.27 $(0.26) $(0.27) $ -- $(0.15) $(0.41)
1999 - Class B Shares 10.28 0.24 (0.26) (0.24) -- (0.15) (0.41)
1999 - Class C Shares 10.28 0.24 (0.26) (0.24) -- (0.15) (0.41)
1999 - Institutional
Shares 10.28 0.29 (0.27) (0.29) -- (0.15) (0.42)
1999 - Admin Shares 10.27 0.28 (0.26) (0.28) -- (0.15) (0.41)
1999 - Service Shares 10.28 0.27 (0.26) (0.27) -- (0.15) (0.41)
FOR THE YEARS ENDED OCTOBER 31,
1998 - Class A Shares 10.06 0.59 0.27 (0.59) (0.02) (0.06) 0.19
1998 - Class B Shares 10.09 0.52 0.27 (0.52) (0.02) (0.06) 0.19
1998 - Class C Shares 10.09 0.52 0.27 (0.52) (0.02) (0.06) 0.19
1998 - Institutional
Shares 10.08 0.61 0.29 (0.61) (0.03) (0.06) 0.20
1998 - Administration
Shares 10.07 0.57 0.29 (0.57) (0.03) (0.06) 0.20
1998 - Service Shares 10.09 0.56 0.27 (0.56) (0.02) (0.06) 0.19
------------------------------------------------------------------------------------------------------------
1997 - Class A Shares
(commenced May 1) 9.70 0.30 0.36 (0.30) -- -- 0.36
1997 - Class B Shares
(commenced May 1) 9.72 0.27 0.37 (0.27) -- -- 0.37
1997 - Class C Shares
(commenced August 15) 9.93 0.11 0.16 (0.11) -- -- 0.16
1997 - Institutional
Shares 9.85 0.64 0.23 (0.64) -- -- 0.23
1997 - Administration
Shares 9.84 0.62 0.23 (0.62) -- -- 0.23
1997 - Service Shares 9.86 0.59 0.23 (0.59) -- -- 0.23
------------------------------------------------------------------------------------------------------------
1996 - Institutional
Shares 10.00 0.64 (0.07) (0.64) -- (0.08) (0.15)
1996 - Administrative
Shares (commenced
February 28) 9.91 0.41 (0.07) (0.41) -- -- (0.07)
1996 - Service Shares
(commenced March 13) 9.77 0.38 0.09 (0.38) -- -- 0.09
------------------------------------------------------------------------------------------------------------
1995 - Institutional
Shares 9.24 0.64 0.76 (0.64) -- -- 0.76
FOR THE PERIOD ENDED OCTOBER 31,
1994 - Institutional
Shares (commenced
January 5) 10.00 0.46 (0.76) (0.46) -- -- (0.76)
------------------------------------------------------------------------------------------------------------
</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
were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Includes the effect of mortgage dollar roll transactions.
The accompanying notes are an integral part of these financial statements.
68
<PAGE>
GOLDMAN SACHS CORE FIXED INCOME FUND
<TABLE>
<CAPTION>
Ratios assuming no
voluntary waiver of
fees
or expense
limitations
----------------------
Net Ratio of Ratio of
assets Ratio of net net
Net asset at end net investment Ratio of investment
value, of expenses income expenses income Portfolio
end of Total period to average to average to average to average turnover
period return(b) (in 000s) net assets net assets net assets net assets rate(e)
<S> <C> <C> <C> <C> <C> <C> <C>
$9.84 0.10%(d) $ 50,283 0.94%(c) 5.44%(c) 0.97%(c) 5.41%(c) 147.69%(d)
9.87 (0.26)(d) 13,304 1.69(c) 4.72(c) 1.72(c) 4.69(c) 147.69(d)
9.87 (0.26)(d) 7,681 1.69(c) 4.73(c) 1.72(c) 4.70(c) 147.69(d)
9.86 0.21 (d) 187,866 0.54(c) 5.86(c) 0.57(c) 5.83(c) 147.69(d)
9.86 0.18 (d) 12,235 0.79(c) 5.63(c) 0.82(c) 5.60(c) 147.69(d)
9.87 0.06 (d) 6,897 1.04(c) 5.40(c) 1.07(c) 5.37(c) 147.69(d)
10.25 8.76 56,267 0.74 5.58 1.21 5.11 271.50
10.28 7.94 7,209 1.49 4.82 1.75 4.56 271.50
10.28 7.94 5,587 1.49 4.81 1.75 4.55 271.50
10.28 9.15 195,730 0.46 5.95 0.72 5.69 271.50
10.27 8.88 12,743 0.71 5.70 0.97 5.44 271.50
10.28 8.50 5,263 0.96 5.44 1.22 5.18 271.50
- -----------------------------------------------------------------------------------------------
10.06 6.94 (d) 9,336 0.70(c) 6.13(c) 1.33(c) 5.50(c) 361.27
10.09 6.63 (d) 621 1.45(c) 5.28(c) 1.83(c) 4.90(c) 361.27
10.09 2.74 (d) 272 1.45(c) 4.84(c) 1.83(c) 4.46(c) 361.27
10.08 9.19 79,230 0.45 6.53 0.83 6.15 361.27
10.07 8.92 6,176 0.70 6.27 1.08 5.89 361.27
10.09 8.65 1,868 0.95 6.00 1.33 5.62 361.27
- -----------------------------------------------------------------------------------------------
9.85 5.98 72,061 0.45 6.51 0.83 6.13 414.20
9.84 3.56 (d) 702 0.70(c) 6.41(c) 1.08(c) 6.03(c) 414.20
9.86 4.90 (d) 381 0.95(c) 6.37(c) 1.33(c) 5.99(c) 414.20
- -----------------------------------------------------------------------------------------------
10.00 15.72 55,502 0.45 6.56 0.96 6.05 382.26
9.24 (3.00)(d) 24,508 0.45(c) 6.48(c) 1.46(c) 5.47(c) 285.25
- -----------------------------------------------------------------------------------------------
</TABLE>
69
<PAGE>
GOLDMAN SACHS GLOBAL INCOME 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
gain (loss) on From
investment, net realized
option, futures gain on Net
Net asset and foreign In excess investment, increase
value, Net currency From net of net option and From (decrease)
beginning investment related investment investment futures paid in in net
of period income transactions income income transactions capital asset value
FOR THE SIX MONTHS ENDED APRIL 30 (UNAUDITED),
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1999 - Class A
Shares $15.65 $0.33(e) $(0.09)(e) $(0.31) $-- $(0.33) $ -- $(0.40)
1999 - Class B
Shares 15.63 0.29(e) (0.10)(e) (0.27) -- (0.33) -- (0.41)
1999 - Class C
Shares 15.60 0.29(e) (0.09)(e) (0.27) -- (0.33) -- (0.40)
1999 -
Institutional
Shares 15.64 0.38(e) (0.09)(e) (0.36) -- (0.33) -- (0.40)
1999 - Service
Shares 15.64 0.34(e) (0.09)(e) (0.32) -- (0.33) -- (0.40)
FOR THE YEARS ENDED OCTOBER 31,
1998 - Class A
Shares 15.10 0.72(e) 0.90 (e) (1.01) -- (0.06) -- 0.55
1998 - Class B
Shares 15.08 0.63(e) 0.92 (e) (0.94) -- (0.06) -- 0.55
1998 - Class C
Shares 15.06 0.63(e) 0.91 (e) (0.94) -- (0.06) -- 0.54
1998 -
Institutional
Shares 15.09 0.82(e) 0.90 (e) (1.11) -- (0.06) -- 0.55
1998 - Service
Shares 15.09 0.74(e) 0.91 (e) (1.04) -- (0.06) -- 0.55
-------------------------------------------------------------------------------------------------------------------------
1997 - Class A
shares 14.53 0.59 0.77 (0.79) -- -- -- 0.57
1997 - Class B
shares 14.53 0.72 0.56 (0.73) -- -- -- 0.55
1997 - Class C
shares
(commenced
August 15) 14.80 0.16 0.29 (0.19) -- -- -- 0.26
1997 -
Institutional
Shares 14.52 0.88 0.56 (0.87) -- -- -- 0.57
1997 - Service
Shares
(commenced March
12) 14.69 0.53 0.39 (0.52) -- -- -- 0.40
-------------------------------------------------------------------------------------------------------------------------
1996 - Class A
shares 14.45 0.71 0.80 (1.43) -- -- -- 0.08
1996 - Class B
shares
(commenced May
1) 14.03 0.34 0.52 (0.36) -- -- -- 0.50
1996 -
Institutional
shares 14.45 1.15 0.42 (1.50) -- -- -- 0.07
-------------------------------------------------------------------------------------------------------------------------
1995 - Class A
shares 13.43 0.89 1.07 (0.94) -- -- -- 1.02
1995 -
Institutional
shares
(commenced
August 1) 14.09 0.22 0.40 (0.26) -- -- -- 0.36
-------------------------------------------------------------------------------------------------------------------------
1994 - Class A
shares 15.07 0.84 (1.49) (0.22) -- (0.16) (0.61) (1.64)
-------------------------------------------------------------------------------------------------------------------------
</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
were 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.
70
<PAGE>
GOLDMAN SACHS GLOBAL INCOME FUND
<TABLE>
<CAPTION>
Ratios assuming no
voluntary waiver of fees
or expense limitations
---------------------------------
Ratio of net Ratio of net
Net assets Ratio of investment Ratio of investment
Net asset at end of net expenses income expenses income Portfolio
value, Total period to average to average to average to average turnover
end of period return(b) (in 000s) net assets net assets net assets net assets rate
<S> <C> <C> <C> <C> <C> <C> <C>
$15.25 1.54%(d) $274,029 1.34%(c) 4.33%(c) 1.73%(c) 3.94%(c) 79.70%(d)
15.22 1.23(d) 12,238 1.84(c) 3.83(c) 2.23(c) 3.44(c) 79.70(d)
15.20 1.31(d) 7,777 1.84(c) 3.83(c) 2.23(c) 3.44(c) 79.70(d)
15.24 1.86(d) 266,444 0.69(c) 4.97(c) 1.08(c) 4.58(c) 79.70(d)
15.24 1.61(d) 1,131 1.19(c) 4.47(c) 1.58(c) 4.08(c) 79.70(d)
15.65 11.21 217,362 1.31 4.71 1.75 4.27 229.91
15.63 10.66 8,135 1.83 4.19 2.24 3.78 229.91
15.60 10.65 4,090 1.83 4.20 2.24 3.79 229.91
15.64 11.95 178,532 0.66 5.40 1.07 4.99 229.91
15.64 11.43 1,058 1.16 4.92 1.57 4.51 229.91
- -----------------------------------------------------------------------------------------------------------------------
15.10 9.66 167,096 1.17 5.19 1.60 4.76 383.72
15.08 9.04 3,465 1.71 4.76 2.10 4.37 383.72
15.06 3.03(d) 496 1.71(c) 4.98(c) 2.10(c) 4.59(c) 383.72
15.09 10.26 60,929 0.65 5.72 1.04 5.33 383.72
15.09 6.42(d) 151 1.15(c) 5.33(c) 1.54(c) 4.94(c) 383.72
- -----------------------------------------------------------------------------------------------------------------------
14.53 11.05 198,665 1.16 5.81 1.64 5.33 232.15
14.53 6.24(d) 256 1.70(c) 5.16(c) 2.14(c) 4.72(c) 232.15
14.52 11.55 54,254 0.65 6.35 1.11 5.89 232.15
- -----------------------------------------------------------------------------------------------------------------------
14.45 15.08 245,835 1.29 6.23 1.58 5.94 265.86
14.45 4.42(d) 31,619 0.65(c) 6.01(c) 1.08(c) 5.58(c) 265.86
- -----------------------------------------------------------------------------------------------------------------------
13.43 (4.49) 396,584 1.28 5.73 1.53 5.48 343.74
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
71
<PAGE>
Goldman Sachs Fund Profile
Goldman Sachs
Taxable Investment Grade Funds
The Goldman Sachs Advantage
When you invest in Goldman Sachs Taxable Investment Grade Funds, you can
capitalize on Goldman Sachs' 130-year history of excellence while benefiting
from the firm's leadership in three areas:
Global Resources
With professionals based throughout the Americas, Europe and Asia, Goldman Sachs
possesses first-hand knowledge of the world's markets and economies.
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.
Risk Management
Goldman, Sachs & Co. excels in understanding, monitoring and managing investment
risk -- a process that is integrated into all Goldman Sachs investment products.
Generally speaking, bond investments may help individuals mitigate overall
portfolio volatility, without sacrificing attractive returns.
Goldman Sachs Taxable Investment Grade Funds offer investors access to the
benefits associated with fixed income investing. The Funds seek current income
from portfolios that invest in a variety of fixed income securities.
Target Your Needs
Goldman Sachs Taxable Investment Grade Funds have distinct investment objectives
and defined positions 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
------------------
HIGHER RISK/RETURN
------------------
HIGH YIELD
. High Yield Fund
TAXABLE
. Global Income Fund
. Core Fixed Income Fund
. Government Income Fund
. Short Duration Government 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 Goldman Sachs Taxable Investment Grade Funds 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 Anne E. Marcel, 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 Howard B. Surloff, Assistant Secretary
Valerie A. Zondorak, Assistant Secretary
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT
Investment Adviser
GOLDMAN SACHS INTERNATIONAL
133 Peterborough Court
London, England EC4A 2BB
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 Funds.
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, fixed income
securities rated below investment grade that are considered speculative and
generally involve greater price volatility and greater risk of loss of principal
and interest than investments in higher rated fixed income securities.
Goldman Sachs Global Income Fund's, Goldman Sachs High Yield Fund's and Goldman
Sachs Core Fixed Income 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.
(C) Copyright 1999 Goldman, Sachs & Co. All rights reserved. Date of first use:
June 30, 1999 FI/INVGRSAR / 30K / 6-99
