<PAGE>
Goldman Sachs Funds
ASSET ALLOCATION PORTFOLIOS Semi-Annual Report June 30, 1999
[ARTWORK APPEARS HERE]
Strategies designed to provide a complete investment program in a single
investment and capitalize on the benefits of asset allocation.
[LOGO OF
GOLDMAN SACHS
APPEARS HERE]
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Market Overview
Dear Shareholder,
During the first six months of 1999, we have seen generally strong performance
in the equity markets. However, the fixed income markets have posted more muted
results.
. Global Equity Markets -- The strength of the U.S. equity
market continues to surprise many financial experts.
While the market experienced its share of ups and downs,
primarily related to uncertainty over interest rates and
inflation, the overall trend was upward. The year began
on a positive note, due in part to receding fears of a
global financial crisis. However, the rally was
extremely narrow, limited largely to a few very large
growth companies and the technology sector. As the year
progressed, investors rotated assets into more cyclical
issues. By the end of the reporting period, long-shunned
value and smaller cap stocks were among the best
performing sectors.
In Europe, most equity markets rebounded to start the
year, as most central banks lowered interest rates in
advance of the monetary union, and to prevent their own
economies from sliding toward recession. The euphoria
surrounding the launch of the euro was short lived, as
the markets retreated on news of the peso devaluation,
rising U.S. interest rates and sluggish production data
in much of the region.
The Japanese market advanced strongly during the
period on the back of improved investor sentiment.
Expectations for an earnings recovery in late 1999 were
substantially enhanced by a number of statistics
indicating that the worst was behind.
Asian stocks (ex-Japan) produced strong results, as
signs pointed to economies in the region rebounding much
faster than anticipated. Investors who were previously
underweight in the region moved to increase their
exposure, creating an attractive investment environment.
. Global Fixed Income Markets -- Economic data released in
the U.S. in recent months clearly shows that the U.S.
economy has considerable momentum. Not surprisingly, the
Federal Reserve followed its bias to tighten with an
increase in interest rates at the end of June. We
believe that inflation will trend upward and that
economic activity will remain strong, which should push
short-term rates and bond yields higher.
Within Europe, we believe 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. 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 growth
outlook. We remain committed in our belief that the
volume of new issuance by the government and wholesale
selling by institutions will keep an upward pressure on
yields.
We encourage you to maintain your long-term investment
program, and look forward to serving your investment
needs in the years ahead.
Sincerely,
- ----------------- /s/ David B. Ford
NOT FDIC-INSURED
- ----------------- David B. Ford
May Lose Value Co-Head, Goldman Sachs Asset Management
- -----------------
No Bank Guarantee /s/ John P. McNulty
- -----------------
John P. McNulty
Co-Head, Goldman Sachs Asset Management
July 29, 1999
<PAGE>
FUND BASICS
Conservative Strategy
as of June 30, 1999
Assets Under Management
$11.9 Million
NASDAQ SYMBOLS
Class A Shares
GACSX
Class B Shares
GBCSX
Class C Shares
GCCSX
Institutional Shares
GICSX
Service Shares
GCSPX
PERFORMANCE REVIEW
February 8, 1999-June 30, 1999 Fund Cumulative Total Return (based on NAV)/1/
- --------------------------------------------------------------------------------
Class A 3.64%
Class B 3.34%
Class C 3.34%
Institutional 3.88%
Service 3.81%
- --------------------------------------------------------------------------------
/1/ The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
STANDARDIZED TOTAL RETURNS/2/
<TABLE>
<CAPTION>
For the period ending June 30, 1999 Class A Class B Class C Institutional Service
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
Since Inception (2/8/99) -2.04% -1.71% 2.33% 3.88% 3.81%
- -----------------------------------------------------------------------------------------------
</TABLE>
/2/ The Standardized Total Returns are average annual total returns or
cumulative total returns (only if the performance period is one year or
less) as of the most recent calendar quarter-end. They assume reinvestment
of all distributions at NAV. These returns reflect a maximum initial sales
charge of 5.5% for Class A shares and 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 a sales
charge, such a charge is not applied to their respective Standardized Total
Returns.
- --------------------------------------------------------------------------------
COMPOSITION/3/
- --------------------------------------------------------------------------------
For the investor seeking current income, consistent with the preservation of
capital and the potential for capital appreciation. The Portfolio is primarily
in domestic fixed income funds focusing on short-term investments and money
market funds, with the balance in domestic stocks funds and a small allocation
to a global bond fund.
STRATEGIC MODEL TACTICAL FUND WEIGHTINGS
PORTFOLIO WEIGHTINGS (Changes quarterly)
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
10% Financial Square 10% Financial Square
Prime Obligations Fund Prime Obligations Fund
60% Short Duration 50% Short Duration
Government Fund Government Fund
10% Global Income Fund 18% Global Income Fund
10% CORE Large Cap 12% CORE Large Cap
Value Fund4 Value Fund4
7% CORE Large Cap 7% CORE Large Cap
Growth Fund Growth Fund
3% Real Estate 3% Real Estate
Securities Fund Securities Fund
/3/ As of 7/1/99. Actual Fund weighting in the Asset Allocation Portfolios may
differ slightly from the figures shown above due to rounding, differences in
returns of the underlying Funds, or both. The above figures are not
indicative of future allocations.
/4/ The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining asset
allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs
Fixed Income, Equity and Money Market Funds and are subject to the risks
associated with investment in such Funds. 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.
1
<PAGE>
FUND BASICS
Balanced Strategy/1/
as of June 30, 1999
Assets Under Management
$103.3 Million
NASDAQ SYMBOLS
Class A Shares
GIPAX
Class B Shares
GIPBX
Class C Shares
GIPCX
Institutional Shares
GIPIX
Service Shares
GIPSX
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
January 1, 1999-June 30, 1999 Fund Cumulative Total Return (based on NAV)/2/
- --------------------------------------------------------------------------------
Class A 4.09%
Class B 3.71%
Class C 3.61%
Institutional 4.19%
Service 4.04%
- --------------------------------------------------------------------------------
/2/ The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
- --------------------------------------------------------------------------------
STANDARDIZED TOTAL RETURNS3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending June 30, 1999 Class A Class B Class C Institutional Service
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
One Year -0.76% -0.85% 3.26% 5.44% 4.92%
Since Inception (1/2/98) 3.10% 3.67% 6.36% 7.55% 6.98%
- -----------------------------------------------------------------------------------------------
</TABLE>
/3/ The Standardized Total Returns are average annual total returns as of the
most recent calendar quarter-end. They assume reinvestment of all
distributions at NAV. These returns reflect a maximum initial sales charge
of 5.5% for Class A shares and 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 a sales
charge, such a charge is not applied to their respective Standardized Total
Returns.
- --------------------------------------------------------------------------------
COMPOSITION/4/
- --------------------------------------------------------------------------------
For the investor seeking current income with greater stability of principal than
an investment in equity securities alone. Over half of the Portfolio is in
domestic fixed income instruments which seek to provide income, and a portion is
in global bonds which seek to enhance income and total return. The balance in
equities is intended to add diversification and may enhance returns, but will
also add a moderate level of volatility to the Portfolio.
STRATEGIC MODEL TACTICAL FUND WEIGHTINGS
PORTFOLIO WEIGHTINGS (Changes quarterly)
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
43% Short Duration 1% Financial Square
Government Fund Prime Obligations Fund
5% High Yield Fund 35% Short Duration
Government Fund
12% Global Income Fund
4% High Yield Fund
11% CORE Large Cap
Value Fund/5/ 19% Global Income Fund
9% CORE Large Cap 9% CORE Large Cap
Growth Fund Value Fund/5/
2% CORE Small Cap 8% CORE Large Cap
Equity Fund Growth Fund
2% Real Estate 2% CORE Small Cap
Securities Fund Equity Fund
16% CORE International 2% Real Estate
Equity Fund Securities Fund
20% CORE International
Equity Fund
/1/ Effective February 8, 1999, the Income Strategy Portfolio's name was changed
to the Balanced Strategy Portfolio.
/4/ As of 7/1/99. Actual Fund weighting in the Asset Allocation Portfolios may
differ slightly from the figures shown above due to rounding, differences in
returns of the underlying Funds, or both. The above figures are not
indicative of future allocations.
/5/ The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining asset
allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs Fixed
Income, Equity and Money Market Funds and are subject to the risks associated
with investment in such Funds. 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.
2
<PAGE>
FUND BASICS
Growth and Income Strategy
as of June 30, 1999
Assets Under Management
$438.6 Million
NASDAQ SYMBOLS
Class A Shares
GOIAX
Class B Shares
GOIBX
Class C Shares
GOICX
Institutional Shares
GOIIX
Service Shares
GOISX
<TABLE>
<CAPTION>
PERFORMANCE REVIEW
January 1, 1999-June 30, 1999 Fund Cumulative Total Return (based on NAV)/1/
- ----------------------------------------------------------------------------------
<S> <C>
Class A 6.63%
Class B 6.25%
Class C 6.15%
Institutional 6.75%
Service 6.51%
- ----------------------------------------------------------------------------------
/1/ The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
</TABLE>
STANDARDIZED TOTAL RETURNS/2/
<TABLE>
<CAPTION>
For the period ending June 30, 1999 Class A Class B Class C Institutional Service
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------
One Year -0.28% -0.44% 3.64% 5.90% 5.40%
Since Inception (1/2/98) 4.89% 5.50% 8.08% 9.28% 8.76%
- -----------------------------------------------------------------------------------------------
</TABLE>
/2/ The Standardized Total Returns are average annual total returns as of the
most recent calendar quarter-end. They assume reinvestment of all
distributions at NAV. These returns reflect a maximum initial sales charge
of 5.5% for Class A shares and 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 a
sales charge, such a charge is not applied to their respective Standardized
Total Returns.
COMPOSITION/3/
For the investor who is less conservative and seeks current income with the
opportunity for long-term capital appreciation. Under normal circumstances,
assets are allocated fairly equally among fixed income securities, which are
intended to provide the income component, and equity securities, which are
intended to provide the capital appreciation component.
STRATEGIC MODEL TACTICAL FUND WEIGHTINGS
PORTFOLIO WEIGHTINGS (Changes quarterly)
[PIE CHART APPEARS HERE] [PIE CHART APPEARS HERE]
18% Core Fixed 1% Financial Square
Income Fund Prime Obligations Fund
8% High Yield Fund 12% Core Fixed
Income Fund
14% Global Income Fund
5% High Yield Fund
16% CORE Large Cap
Value Fund/4/ 20% Global Income Fund
15% CORE Large Cap 15% CORE Large Cap
Growth Fund Value Fund/4/
4% CORE Small Cap 14% CORE Large Cap
Equity Fund Growth Fund
2% Real Estate 4% CORE Small Cap
Securities Fund Equity Fund
17% CORE International 2% Real Estate
Equity Fund Securities Fund
2% International 21% CORE International
Small Cap Fund Equity Fund
4% Emerging Markets 2% International
Equity Fund Small Cap Fund
4% Emerging Markets
Equity Fund
/3/ As of 7/1/99. Actual Fund weighting in the Asset Allocation Portfolios may
differ slightly from the figures shown above due to rounding, differences in
returns of the underlying Funds, or both. The above figures are not
indicative of future allocations.
/4/ The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining asset
allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs Fixed
Income, Equity and Money Market Funds and are subject to the risks associated
with investment in such Funds. 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.
3
<PAGE>
FUND BASICS
Growth Strategy
as of June 30, 1999
Assets Under Management
$310.9 Million
NASDAQ SYMBOLS
Class A Shares
GGSAX
Class B Shares
GGSBX
Class C Shares
GGSCX
Institutional Shares
GGSIX
Service Shares
GGSSX
PERFORMANCE REVIEW
January 1, 1999-June 30, 1999 Fund Cumulative Total Return (based on NAV)/1/
- --------------------------------------------------------------------------------
Class A 9.04%
Class B 8.56%
Class C 8.56%
Institutional 9.14%
Service 8.94%
- --------------------------------------------------------------------------------
/1/ The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
STANDARDIZED TOTAL RETURNS/2/
<TABLE>
<CAPTION>
For the period ending June 30, 1999 Class A Class B Class C Institutional Service
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year -0.25% -0.29% 3.64% 5.87% 5.43%
Since Inception (1/2/98) 5.18% 5.84% 8.44% 9.50% 9.04%
- ------------------------------------------------------------------------------------------------------
</TABLE>
/2/ The Standardized Total Returns are average annual total returns as of the
most recent calendar quarter-end. They assume reinvestment of all
distributions at NAV. These returns reflect a maximum initial sales charge
of 5.5% for Class A shares and 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 a sales
charge, such a charge is not applied to their respective Standardized Total
Returns.
COMPOSITION/3/
For the investor seeking capital appreciation and, secondarily, current income.
Over 75% of the assets are allocated among equity securities, with a blend of
domestic large cap, small cap and international stocks, which seek to provide
capital appreciation. The bond portion is intended to provide diversification.
STRATEGIC MODEL PORTFOLIO WEIGHTINGS
[PIE CHART APPEARS HERE]
Core Fixed Income Fund 10%
High Yield Fund 5%
Global Income Fund 5%
CORE Large Cap Value Fund/4/ 23%
CORE Large Cap Growth Fund 19%
CORE Small Cap Equity Fund 5%
Real Estate Securities Fund 2%
CORE International Equity Fund 24%
International Small Cap Fund 2%
Emerging Markets Equity Fund 5%
TACTICAL FUND WEIGHTINGS (Changes quarterly)
[PIE CHART APPEARS HERE]
Financial Square Prime Obligations Fund 1%
Core Fixed Income Fund 4%
High Yield Fund 2%
Global Income Fund 12%
CORE Large Cap Value Fund/4/ 22%
CORE Large Cap Growth Fund 17%
CORE Small Cap Equity Fund 5%
Real Estate Securities Fund 2%
CORE International Equity Fund 28%
International Small Cap Fund 2%
Emerging Markets Equity Fund 5%
/3/ As of 7/1/99. Actual Fund weighting in the Asset Allocation Portfolios may
differ slightly from the figures shown above due to rounding, differences in
returns of the underlying Funds, or both. The above figures are not
indicative of future allocations.
/4/ The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining asset
allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs
Fixed Income, Equity and Money Market Funds and are subject to the risks
associated with investment in such Funds. 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.
4
<PAGE>
FUND BASICS
Aggressive Growth Strategy
as of June 30, 1999
Assets Under Management
$119.2 Million
NASDAQ SYMBOLS
Class A Shares
aGAPaaAX
Class B Shares
GAPBX
Class C Shares
GAaXCX
Institutional Shares
GAPIX
Service Shares
GAPSX
PERFORMANCE REVIEW
January 1, 1999-June 30, 1999 Fund Cumulative Total Return (based on NAV)/1/
- --------------------------------------------------------------------------------
Class A 11.02%
Class B 10.65%
Class C 10.64%
Institutional 11.22%
Service 10.94%
- --------------------------------------------------------------------------------
/1/ The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
STANDARDIZED TOTAL RETURNS/2/
<TABLE>
<CAPTION>
For the period ending June 30, 1999 Class A Class B Class C Institutional Service
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year -0.02% -0.01% 4.12% 6.26% 5.72%
Since Inception (1/2/98) 5.05% 5.79% 8.47% 9.38% 9.01%
- --------------------------------------------------------------------------------------------------------
</TABLE>
/2/ The Standardized Total Returns are average annual total returns as of the
most recent calendar quarter-end. They assume reinvestment of all
distributions at NAV. These returns reflect a maximum initial sales charge
of 5.5% for Class A shares and 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 a sales
charge, such a charge is not applied to their respective Standardized Total
Returns.
COMPOSITION/3/
For the investor seeking long-term capital appreciation. Substantially all
assets are allocated among equity securities, with a greater focus on small cap
and international investments for enhanced return opportunities.
STRATEGIC MODEL PORTFOLIO WEIGHTINGS
[PIE CHART APPEARS HERE]
CORE Large Cap Value Fund/4/ 30%
CORE Large Cap Growth Fund 22%
CORE Small Cap Equity Fund 7%
Real Estate Securities Fund 3%
CORE International Equity Fund 27%
International Small Cap Fund 4%
Emerging Markets Equity Fund 7%
TACTICAL FUND WEIGHTINGS (Changes quarterly)
[PIE CHART APPEARS HERE]
CORE Large Cap Value Fund/4/ 27%
CORE Large Cap Growth Fund 21%
CORE Small Cap Equity Fund 6%
Real Estate Securities Fund 3%
CORE International Equity Fund 32%
International Small Cap Fund 4%
Emerging Markets Equity Fund 7%
/3/ As of 7/1/99. Actual Fund weighting in the Asset Allocation Portfolios may
differ slightly from the figures shown above due to rounding, differences in
returns of the underlying Funds, or both. The above figures are not
indicative of future allocations.
/4/ The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining asset
allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs
Fixed Income, Equity and Money Market Funds and are subject to the risks
associated with investment in such Funds. 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.
5
<PAGE>
PERFORMANCE OVERVIEW
Asset Allocation Portfolios
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Asset
Allocation Portfolios (the "Portfolios"). This semi-annual report covers the
six-month period ended June 30, 1999.
Performance
The performance of your Portfolio is driven by three factors: 1) strategic asset
allocation policy; 2) fund performance; and 3) tactical reallocation. By
reallocating your Portfolio on a quarterly basis, we seek to enhance its
performance over the long term.
In the first half of 1999, the Asset Allocation Portfolios benefited from the
portfolio management team's tactical reallocation decisions. More specifically,
we maintained an overweight position in global stocks, which outperformed both
bonds and cash. The Portfolios' overweight position in global bonds relative to
domestic bonds also helped performance during the period, particularly in the
first quarter. In the second quarter, our preference for cash over bonds added
substantial value, particularly in the more conservative Portfolios.
The Portfolios' good performance from tactical reallocation was enhanced by 1)
outstanding performance in the emerging markets sector; and 2) the performance
of the underlying Goldman Sachs Funds. The following is a summary of the
performance of the Portfolios for the first half of the year (figures do not
reflect the deduction of any applicable sales charge).
. Goldman Sachs Conservative Strategy Portfolio -- The Portfolio's Class A, B,
C, Institutional and Service shares generated cumulative total returns since
inception (2/8/99) of 3.64%, 3.34%, 3.34%, 3.88% and 3.81%, respectively.
. Goldman Sachs Balanced Strategy Portfolio -- The Portfolio's Class A, B, C,
Institutional and Service shares generated cumulative total returns during
the six-month period ended June 30, 1999 of 4.09%, 3.71%, 3.61%, 4.19% and
4.04%, respectively.
. Goldman Sachs Growth and Income Strategy Portfolio -- The Portfolio's Class
A, B, C, Institutional and Service shares generated cumulative total returns
during the six-month period ended June 30, 1999 of 6.63%, 6.25%, 6.15%, 6.75%
and 6.51%, respectively.
. Goldman Sachs Growth Strategy Portfolio -- The Portfolio's Class A, B, C,
Institutional and Service shares generated cumulative total returns during
the six-month period ended June 30, 1999 of 9.04%, 8.56%, 8.56%, 9.14% and
8.94%, respectively.
. Goldman Sachs Aggressive Growth Strategy Portfolio -- The Portfolio's Class
A, B, C, Institutional and Service shares generated cumulative total returns
during the six-month period ended June 30, 1999 of 11.02%, 10.65%, 10.64%,
11.22% and 10.94%, respectively.
6
<PAGE>
Global Asset Allocation Views -- First Half of 1999
. Equities -- We began the first quarter with an overweight position in Japan,
due to favorable valuation factors. In the second quarter, we moved to a
neutral position in Japan due to worsening momentum and risk indicators.
Within Europe, we favored at various times Finland, Spain, Sweden, Ireland
and Belgium. We were negative on the U.K., Germany and France, as valuation
momentum factors were weak. Poor domestic valuations throughout the first
half, and unfavorable risk factors in the second quarter, led us to maintain
an underweight position in the U.S. throughout the period.
. Bonds -- Poor momentum and yield factors throughout the first half of 1999
led us to underweight domestic bonds. With the exception of the U.K., our
favorite fixed income region throughout the period was Europe, especially
Sweden, due to attractive yield factors and strong market performance. We
became more favorable on Japanese bonds during the period due to
currency-related factors, steepening yield curves and improved market
performance. The Portfolios were overweight international bonds against the
U.S. during the entire period.
. Currencies -- For the entire period, we favored the U.S. dollar versus
international securities, due to strengthening market performance, improved
earnings and attractive yield curve factors. The Swedish krona was our least
favorite currency during the first half, due to poor momentum and valuation
factors. Our view on the yen was favorable in the first quarter, but
deteriorated in the second quarter, based on most of our indicators,
particularly interest rate related variables.
Current Outlook
For the third quarter, we continue to favor global stocks over global bonds, and
we continue our overweight cash position relative to bonds. In equities, we
continue to overweight international equities versus the U.S. In fixed income,
we continue to underweight U.S. bonds relative to international bonds.
Global Asset Allocation
We continue to favor global stocks over global bonds, and continue our slight
preference for cash versus bonds. While continuing a slight overweight in
equities, our valuation, inflationary fears, and in particular growth sub-models
all worsened, making us only modestly bullish on stocks. Though real bond yields
remain high, we are slightly negative on bonds versus cash as a result of poor
momentum indicators.
7
<PAGE>
PERFORMANCE OVERVIEW
We continue to favor global stocks over global bonds, and continue our slight
preference for cash versus bonds.
Equities
We maintain a negative view on the U.S., mainly as a result of poor value
factors. We remain positive on non-Japan Asia, specifically Hong Kong and
Singapore, which continue to show market outperformance and relatively
attractive value factors. Our outlook on Japan has turned more positive,
attributed mostly to attractive value indicators and improved market
performance. Within Europe, we continue to underweight Germany, Netherlands and
the U.K., as value and momentum measures remain weak. Austria, Belgium, Finland,
and Ireland are our favorite European countries. Austria, Belgium and Ireland
possess strong value factors while Finland shows favorable momentum measures.
Bonds
We continue to underweight both the U.K. and the U.S. The U.K. displays
unfavorable yield-related factors while the U.S. shows poor relative market
momentum. Australia and Sweden continue to be highly ranked in our bond model,
due particularly to strong market performance and steep yield curves. We remain
neutral on Japan, as poor yield-related indicators offset market outperformance.
Currencies
Our view on the U.S. dollar continues to be highly positive, driven by strength
across most value and momentum measures. We have become modestly positive on
Japan, primarily as a result of continued market outperformance and attractive
long-term value. We maintain an overweight position in the British pound, due
primarily to improved market performance and favorable yield-related variables.
Some of our least favorite currencies include the Euro, New Zealand dollar and
Swedish krona, which show poor momentum and yield-related indicators.
We hope this summary has been helpful to you in your understanding of how we
manage your Asset Allocation Portfolio. If you have questions or comments, we
encourage you to contact your Goldman Sachs representative.
We thank you for the confidence you have placed in us and look forward to your
continued support.
Goldman Sachs Quantitative Research Group
New York, July 29, 1999
8
<PAGE>
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Performance Summary
June 30, 1999 (Unaudited)
The following graph shows the value as of June 30, 1999, of a $10,000 invest-
ment made (with the maximum sales charges of 5.5% for Class A and redemption
charges of 5.0% and 1.0% for Class B and Class C, respectively, and at NAV
for the Institutional and Service Classes) in Goldman Sachs Balanced Strategy
Portfolio (formerly, the Goldman Sachs Income Strategy Portfolio) on February
1, 1998. For comparative purposes, the performance of the portfolio's bench-
marks (the S&P 500 Index, Lehman Brothers High Yield Bond Index and two-year
U.S. Treasury Security ("Two-Year T-Bill") are also shown. All performance
data shown represents past performance and should not be considered indica-
tive of future performance which will fluctuate with changes in market condi-
tions. These performance fluctuations will cause an investor's shares, when
redeemed, to be worth more or less than original cost.
Goldman Sachs Balanced Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested February 1,
1998 to June 30, 1999.(a)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Total Return through
June 30, 1999(b) Since Inception One Year Six Month(c)
Class A
<S> <C> <C> <C>
Excluding sales charges 7.07% 5.04% 4.09%
Including sales charges 3.10% -0.76% -1.63%
----------------------------------------------------------------------------
<CAPTION>
Class B
<S> <C> <C> <C>
Excluding contingent deferred sales
charges 6.38% 4.30% 3.71%
Including contingent deferred sales
charges 3.67% -0.85% -1.34%
----------------------------------------------------------------------------
<CAPTION>
Class C
<S> <C> <C> <C>
Excluding contingent deferred sales
charges 6.36% 4.28% 3.61%
Including contingent deferred sales
charges 6.36% 3.26% 2.60%
----------------------------------------------------------------------------
Institutional Class 7.55% 5.44% 4.19%
----------------------------------------------------------------------------
Service Class 6.98% 4.92% 4.04%
----------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on January 2, 1998.
(c) Not annualized.
9
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Investments
June 30, 1999 (Unaudited)
GOLDMAN SACHS
CONSERVATIVE STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
Mutual Funds (Institutional Shares) - 99.8%
Equity - 22.1%
124,109 Goldman Sachs CORE Large Cap Value Fund - 11.7% $ 1,399,951
51,569 Goldman Sachs CORE Large Cap Growth Fund - 7.4% 881,837
36,198 Goldman Sachs Real Estate Securities
Fund - 3.0% 356,910
-----------
$ 2,638,698
------------------------------------------------------------------------------
Fixed Income - 66.7%
608,691 Goldman Sachs Short Duration Government Fund - 49.2% $ 5,867,782
141,590 Goldman Sachs Global Income
Fund - 17.5% 2,089,875
-----------
$ 7,957,657
------------------------------------------------------------------------------
Money Market - 11.0%
1,306,489 Financial Square Prime Obligations Fund - 11.0% $ 1,306,489
------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $11,853,511)(a) $11,902,844
------------------------------------------------------------------------------
Federal Income Tax Information:
Gross unrealized gain for investments in which value exceeds
cost $ 149,706
Gross unrealized loss for investments in which cost exceeds
value (100,373)
------------------------------------------------------------------------------
Net unrealized gain $ 49,333
------------------------------------------------------------------------------
</TABLE>
(a) The amount stated also represents aggregate cost for federal income tax
purposes.
GOLDMAN SACHS
BALANCED STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
Mutual Funds (Institutional Shares) - 99.4%
Equity - 41.8%
1,938,940 Goldman Sachs CORE
International Equity
Fund - 20.1% $ 20,727,269
857,055 Goldman Sachs CORE Large
Cap Value Fund - 9.3% 9,667,575
520,108 Goldman Sachs CORE Large
Cap Growth Fund - 8.6% 8,893,844
210,590 Goldman Sachs Real
Estate Securities Fund
- 2.0% 2,076,419
171,647 Goldman Sachs CORE Small
Cap Equity Fund - 1.8% 1,848,636
------------
$ 43,213,743
---------------------------------------------------
Fixed Income - 57.2%
3,685,026 Goldman Sachs Short
Duration Government
Fund - 34.4% $ 35,523,652
1,315,226 Goldman Sachs Global
Income Fund - 18.8% 19,412,740
433,161 Goldman Sachs High Yield
Fund - 4.0% 4,119,363
------------
$ 59,055,755
---------------------------------------------------
Money Market - 0.4%
441,014 Financial Square Prime
Obligations Fund - 0.4% $ 441,014
---------------------------------------------------
TOTAL INVESTMENTS
(Cost $98,699,786)(a) $102,710,512
---------------------------------------------------
Federal Income Tax Information:
Gross unrealized gain for invest-
ments in which value exceeds cost $ 4,666,906
Gross unrealized loss for invest-
ments in which cost exceeds value (1,348,641)
---------------------------------------------------
Net unrealized gain $ 3,318,265
---------------------------------------------------
</TABLE>
(a) The aggregate cost for federal income tax purposes is $99,392,247.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
For information on the underlying mutual funds, please call our toll free
Shareholder Services Line at
1-800-526-7384 or visit us on the web at www.gs.com/funds.
The accompanying notes are an integral part of these financial
statements.
10
<PAGE>
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Performance Summary
June 30, 1999 (Unaudited)
The following graph shows the value as of June 30, 1999, of a $10,000 invest-
ment made (with the maximum sales charges of 5.5% for Class A and redemption
charges of 5.0% and 1.0% for Class B and Class C, respectively, and at NAV
for the Institutional and Service Classes) in Goldman Sachs Growth and Income
Strategy Portfolio on February 1, 1998. For comparative purposes, the perfor-
mance of the portfolio's benchmarks (the S&P 500 Index, Lehman Brothers High
Yield Bond Index, Lehman Brothers Aggregate Bond Index and Morgan Stanley
EAFE Index ("MSCI EAFE")) are also shown. All performance data shown 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 original cost.
Goldman Sachs Growth and Income Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested February 1,
1998 to June 30, 1999.(a)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Institutional Service Lehman High
Class A Class B Class C Class Class S&P 500 Yield Bond Index Lehman Aggregate MSCI EAFE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2/1/98 9,450 10,000 10,000 10,000 10,000 10,000 10,000 10,000 10,000
Feb-98 10,113 10,190 10,580 10,700 10,700 10,721 10,059 9,992 10,644
Mar-98 10,333 10,426 10,815 10,937 10,928 11,270 10,154 10,027 10,974
Apr-98 10,380 10,466 10,855 10,987 10,978 11,384 10,193 10,079 11,063
May-98 10,210 10,276 10,665 10,807 10,798 11,188 10,229 10,175 11,012
Jun-98 10,180 10,239 10,630 10,781 10,755 11,642 10,266 10,261 11,098
Jul-98 10,065 10,109 10,499 10,660 10,634 11,518 10,324 10,283 11,213
Aug-98 9,001 9,003 9,381 9,543 9,508 9,852 9,754 10,450 9,826
Sep-98 9,145 9,142 9,525 9,694 9,658 10,484 9,798 10,695 9,527
Oct-98 9,526 9,515 9,914 10,098 10,062 11,336 9,597 10,638 10,523
Nov-98 9,841 9,855 10,246 10,453 10,405 12,023 9,996 10,699 11,065
Dec-98 10,071 10,071 10,478 10,696 10,643 12,715 10,007 10,731 11,504
Jan-99 10,216 10,317 10,723 10,850 10,787 13,247 10,155 10,807 11,473
Feb-99 9,945 10,031 10,437 10,572 10,510 12,835 10,095 10,618 11,202
Mar-99 10,261 10,353 10,749 10,898 10,833 13,348 10,191 10,676 11,673
Apr-99 10,669 10,772 11,168 11,342 11,265 13,865 10,388 10,710 12,148
May-99 10,426 10,516 10,913 11,084 11,008 13,538 10,248 10,616 11,525
Jun-99 10,739 10,833 11,230 11,417 11,336 14,289 10,227 10,582 11,977
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return through
June 30, 1999(b) Since Inception One Year Six Month(c)
<S> <C> <C> <C>
Class A
Excluding sales charges 8.93% 5.49% 6.63%
Including sales charges 4.89% -0.28% 0.81%
----------------------------------------------------------------------------
Class B
Excluding contingent deferred sales
charges 8.16% 4.67% 6.25%
Including contingent deferred sales
charges 5.50% -0.44% 1.23%
----------------------------------------------------------------------------
Class C
Excluding contingent deferred sales
charges 8.08% 4.66% 6.15%
Including contingent deferred sales
charges 8.08% 3.64% 5.14%
----------------------------------------------------------------------------
Institutional Class 9.28% 5.90% 6.75%
----------------------------------------------------------------------------
Service Class 8.76% 5.40% 6.51%
----------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on January 2, 1998.
(c) Not annualized.
11
<PAGE>
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Performance Summary
June 30, 1999 (Unaudited)
The following graph shows the value as of June 30, 1999, of a $10,000 invest-
ment made (with the maximum sales charge of 5.5% for Class A and redemption
charges of 5.0% and 1.0% for Class B and Class C, respectively, and at NAV
for Institutional and Service Classes) in Goldman Sachs Growth Strategy Port-
folio on February 1, 1998. For comparative purposes, the performance of the
portfolio's benchmarks (the S&P 500 Index, Morgan Stanley EAFE Index ("MSCI
EAFE"), Russell 2000 Index and Morgan Stanley Emerging Markets Free Index
("MSCI EMF") are also shown. All performance data shown represents past per-
formance and should not be considered indicative of future performance which
will fluctuate with changes in market conditions. These performance fluctua-
tions will cause an investor's shares, when redeemed, to be worth more or
less than original cost.
Goldman Sachs Growth Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested February 1,
1998 to June 30, 1999.(a)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Institutional Service
Class A Class B Class C Class Class S&P 500 MSCI EAFE Russell 2000 MSCI EMF
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Feb-98 9,450 10,000 10,000 10,000 10,000 10,000 10,000 10,000 10,000
Feb-98 10,217 10,310 10,710 10,810 10,890 10,721 10,644 10,739 11,044
Mar-98 10,491 10,593 10,991 11,104 11,190 11,270 10,974 11,181 11,523
Apr-98 10,548 10,643 11,041 11,164 11,250 11,384 11,063 11,243 11,398
May-98 10,283 10,363 10,761 10,884 10,880 11,188 11,012 10,637 9,836
Jun-98 10,213 10,275 10,684 10,816 10,760 11,642 11,098 10,659 8,804
Jul-98 10,024 10,065 10,474 10,615 10,520 11,518 11,213 9,796 9,083
Aug-98 8,612 8,621 8,992 9,120 8,750 9,852 9,826 7,894 6,457
Sep-98 8,760 8,765 9,141 9,285 8,910 10,484 9,527 8,512 6,867
Oct-98 9,244 9,240 9,637 9,798 9,520 11,336 10,523 8,859 7,590
Nov-98 9,614 9,616 10,014 10,200 9,940 12,023 11,065 9,323 8,221
Dec-98 9,889 9,893 10,295 10,492 10,254 12,715 11,504 9,900 8,102
Jan-99 10,033 10,135 10,547 10,645 10,597 13,247 11,473 10,032 7,971
Feb-99 9,745 9,822 10,234 10,339 10,283 12,835 11,202 9,219 8,049
Mar-99 10,100 10,196 10,608 10,727 10,669 13,348 11,673 9,363 9,110
Apr-99 10,629 10,732 11,144 11,288 11,217 13,865 12,148 10,202 10,237
May-99 10,350 10,439 10,851 10,992 10,922 13,538 11,525 10,351 10,177
Jun-99 10,782 10,884 11,286 10,950 10,904 14,289 11,977 10,819 11,333
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return through
June 30, 1999(b) Since Inception One Year Six Month(c)
<S> <C> <C> <C>
Class A
Excluding sales charges 9.22% 5.58% 9.04%
Including sales charges 5.18% -0.25% 3.03%
----------------------------------------------------------------------------
Class B
Excluding contingent deferred sales
charges 8.46% 4.76% 8.56%
Including contingent deferred sales
charges 5.84% -0.29% 3.56%
----------------------------------------------------------------------------
Class C
Excluding contingent deferred sales
charges 8.44% 4.65% 8.56%
Including contingent deferred sales
charges 8.44% 3.64% 7.56%
----------------------------------------------------------------------------
Institutional Class 9.50% 5.87% 9.14%
----------------------------------------------------------------------------
Service Class 9.04% 5.43% 8.94%
----------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on January 2, 1998.
(c) Not annualized.
12
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Investments
June 30, 1999 (Unaudited)
The accompanying notes are an integral part of these financial statements.
GOLDMAN SACHS
GROWTH AND INCOME STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
Mutual Funds (Institutional Shares) - 99.9%
<C> <S> <C>
Equity - 62.4%
8,423,521 Goldman Sachs CORE International Equity Fund -
20.5% $ 90,047,436
5,827,408 Goldman Sachs CORE Large Cap Value Fund - 15.0% 65,733,165
3,662,831 Goldman Sachs CORE Large Cap Growth Fund - 14.3% 62,634,417
2,173,825 Goldman Sachs Emerging Markets Equity Fund - 4.8% 21,042,622
1,531,824 Goldman Sachs CORE Small Cap Equity Fund - 3.8% 16,497,745
892,985 Goldman Sachs Real Estate Securities Fund - 2.0% 8,804,836
713,456 Goldman Sachs International Small Cap Equity Fund -
2.0% 8,761,245
------------
$273,521,466
------------------------------------------------------------------------------
Fixed Income - 37.1%
5,938,677 Goldman Sachs Global Income Fund - 20.0% $ 87,654,871
5,382,810 Goldman Sachs Core Fixed Income Fund - 11.8% 51,782,637
2,453,998 Goldman Sachs High Yield Fund - 5.3% 23,337,521
------------
$162,775,029
------------------------------------------------------------------------------
Money Market - 0.4%
1,837,879 Financial Square Prime Obligations Fund - 0.4% $ 1,837,879
------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $410,749,173)(a) $438,134,374
------------------------------------------------------------------------------
Federal Income Tax Information:
Gross unrealized gain for investments in which value exceeds
cost $ 32,101,824
Gross unrealized loss for investments in which cost exceeds
value (5,251,971)
------------------------------------------------------------------------------
Net unrealized gain $ 26,849,853
------------------------------------------------------------------------------
</TABLE>
(a) The aggregate cost for federal income tax purposes is $411,284,521.
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
Mutual Funds (Institutional Shares) - 100.0%
<C> <S> <C>
Equity - 82.4%
7,802,851 Goldman Sachs CORE International Equity Fund - 26.8% $ 83,412,473
6,048,549 Goldman Sachs CORE Large Cap Value Fund - 22.0% 68,227,638
3,261,495 Goldman Sachs CORE Large Cap Growth Fund - 17.9% 55,771,572
1,883,275 Goldman Sachs Emerging Markets Equity Fund - 5.9% 18,230,101
1,382,347 Goldman Sachs CORE Small Cap Equity Fund - 4.8% 14,887,872
789,617 Goldman Sachs Real Estate
Securities Fund - 2.5% 7,785,628
630,893 Goldman Sachs International Small Cap Equity Fund -
2.5% 7,747,362
------------
$256,062,646
-------------------------------------------------------------------------------
Fixed Income - 17.2%
2,502,657 Goldman Sachs Global Income Fund - 11.8% $ 36,939,216
1,125,840 Goldman Sachs Core Fixed Income Fund - 3.5% 10,830,584
615,068 Goldman Sachs High Yield
Fund - 1.9% 5,849,297
------------
$ 53,619,097
-------------------------------------------------------------------------------
Money Market - 0.4%
1,292,071 Financial Square Prime Obligations Fund - 0.4% $ 1,292,071
-------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $281,128,753)(a) $310,973,814
-------------------------------------------------------------------------------
Federal Income Tax Information:
Gross unrealized gain for investments in which value exceeds
cost $ 30,163,359
Gross unrealized loss for investments in which cost exceeds
value (1,122,837)
-------------------------------------------------------------------------------
Net unrealized gain $ 29,040,522
-------------------------------------------------------------------------------
</TABLE>
(a) The aggregate cost for federal income tax purposes is $281,933,292.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
For information on the underlying mutual funds, please call our toll free
Shareholder Services Line at
1-800-526-7384 or visit us on the web at www.gs.com/funds.
13
<PAGE>
GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO
Performance Summary
June 30, 1999 (Unaudited)
The following graph shows the value as of June 30, 1999, of a $10,000 invest-
ment made (with the maximum sales charges of 5.5% for Class A and redemption
charges of 5.0% and 1.0% for Class B and Class C, respectively, and at NAV
for the Institutional and Service Classes) in Goldman Sachs Aggressive Growth
Strategy Portfolio on February 1, 1998. For comparative purposes, the perfor-
mance of the portfolio's benchmarks (the S&P 500 Index, Morgan Stanley EAFE
Index ("MSCI EAFE"), Russell 2000 Index and Morgan Stanley Emerging Markets
Free Index ("MSCI EMF") are also shown. All performance data shown represents
past performance and should not be considered indicative of future perfor-
mance which will fluctuate with changes in market conditions. These perfor-
mance fluctuations will cause an investor's shares, when redeemed, to be
worth more or less than original cost.
Goldman Sachs Aggressive Growth Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested February 1,
1998 to June 30, 1999.(a)
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Institutional Service
Class A Class B Class C Class Class S&P 500 MSCI EAFE Russell 2000 MSCI EMF
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2/1/98 9,450 10,000 10,000 10,000 10,000 10,000 10,000 10,000 10,000
Feb-98 10,293 10,390 10,790 10,890 10,890 10,721 10,644 10,739 11,044
Mar-98 10,577 10,690 11,090 11,190 11,190 11,270 10,974 11,181 11,523
Apr-98 10,633 10,740 11,140 11,250 11,250 11,384 11,063 11,243 11,398
May-98 10,284 10,370 10,770 10,880 10,880 11,188 11,012 10,637 9,836
Jun-98 10,170 10,240 10,640 10,760 10,760 11,642 11,098 10,659 8,804
Jul-98 9,943 10,000 10,390 10,520 10,520 11,518 11,213 9,796 9,083
Aug-98 8,280 8,294 8,643 8,760 8,750 9,852 9,826 7,894 6,457
Sep-98 8,422 8,436 8,791 8,910 8,910 10,484 9,527 8,512 6,867
Oct-98 8,998 8,997 9,385 9,520 9,520 11,336 10,523 8,859 7,590
Nov-98 9,395 9,396 9,801 9,940 9,940 12,023 11,065 9,323 8,221
Dec-98 9,695 9,691 10,104 10,280 10,254 12,715 11,504 9,900 8,102
Jan-99 9,819 9,922 10,335 10,411 10,385 13,247 11,473 10,032 7,971
Feb-99 9,523 9,602 10,013 10,098 10,072 12,835 11,202 9,219 8,049
Mar-99 9,914 10,002 10,415 10,512 10,476 13,348 11,673 9,363 9,110
Apr-99 10,525 10,646 11,049 11,170 11,133 13,865 12,148 10,202 10,237
May-99 10,229 10,324 10,737 10,856 10,809 13,538 11,525 10,351 10,177
Jun-99 10,764 10,877 11,290 11,433 11,375 14,289 11,977 10,819 11,333
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return through
June 30, 1999(b) Since Inception One Year Six Month(c)
<S> <C> <C> <C>
Class A
Excluding sales charges 9.09% 5.83% 11.02%
Including sales charges 5.05% -0.02% 4.93%
----------------------------------------------------------------------------
Class B
Excluding contingent deferred sales
charges 8.39% 5.02% 10.65%
Including contingent deferred sales
charges 5.79% -0.01% 5.65%
----------------------------------------------------------------------------
Class C
Excluding contingent deferred sales
charges 8.47% 5.12% 10.64%
Including contingent deferred sales
charges 8.47% 4.12% 9.64%
----------------------------------------------------------------------------
Institutional Class 9.38% 6.26% 11.22%
----------------------------------------------------------------------------
Service Class 9.01% 5.72% 10.94%
----------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on January 2, 1998.
(c) Not annualized.
14
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statement of Investments
June 30, 1999 (Unaudited)
GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
Mutual Funds (Institutional Shares) - 100.4%
Equity - 100.2%
3,365,098 Goldman Sachs CORE International Equity Fund - 30.2% $ 35,972,896
2,910,351 Goldman Sachs CORE Large Cap Value Fund - 27.5% 32,828,758
1,453,749 Goldman Sachs CORE Large Cap Growth Fund - 20.9% 24,859,106
989,275 Goldman Sachs Emerging Markets Equity Fund - 8.0% 9,576,183
725,828 Goldman Sachs CORE Small Cap Equity Fund - 6.6% 7,817,171
386,040 Goldman Sachs International Small Cap Equity Fund -
4.0% 4,740,572
362,326 Goldman Sachs Real Estate
Securities Fund - 3.0% 3,572,533
------------
$119,367,219
------------------------------------------------------------------------------
TOTAL MUTUAL FUNDS
(Cost $105,753,460) $119,367,219
------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount Interest Rate Maturity Date Value
<S> <C> <C> <C>
Repurchase Agreement - 0.2%
Joint Repurchase Agreement Account
$300,000 5.13% 07/01/1999 $ 300,000
-------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT ACCOUNT
(Cost $300,000) $ 300,000
=====================================================================================
TOTAL INVESTMENTS
(Cost $106,053,460)(a) $119,667,219
=====================================================================================
Federal Income Tax Information:
Gross unrealized gain for investments in which
value exceeds cost $ 12,970,988
Gross unrealized loss for investments in which
cost exceeds value --
-------------------------------------------------------------------------------------
Net unrealized gain $ 12,970,988
=====================================================================================
</TABLE>
(a) The aggregate cost for federal income tax purposes is $106,696,231.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
For information on the underlying mutual funds, please call our toll free
Shareholder Services Line at
1-800-526-7384 or visit us on the web at www.gs.com/funds.
The accompanying notes are an integral part of these financial statements. 15
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Assets and Liabilities
June 30, 1999 (Unaudited)
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs
Conservative Balanced Growth and Income Growth Aggressive Growth
Strategy Portfolio Strategy Portfolio Strategy Portfolio Strategy Portfolio Strategy Portfolio
Assets:
<S> <C> <C> <C> <C> <C>
Investment in
securities, at value
(identified cost
$11,853,511,
$98,699,786,
$410,749,173,
$281,128,753,
$106,053,460
respectively) $11,902,844 $102,710,512 $438,134,374 $310,973,814 $119,667,219
Cash 71,091 -- -- -- 224,134
Receivables:
Investment securities
sold -- 17,346 731,193 1,128,189 --
Dividends and interest 46,079 326,627 362,185 65,295 --
Fund shares sold -- 446,011 1,102,437 741,876 145,676
Reimbursement from
adviser 79,026 48,685 50,883 53,563 52,814
Deferred organization
expenses, net -- 10,959 10,959 10,959 10,959
Other assets 33,509 14,609 48,008 1,374 1,160
-------------------------------------------------------------------------------------------------------------------------
Total assets 12,132,549 103,574,749 440,440,039 312,975,070 120,101,962
-------------------------------------------------------------------------------------------------------------------------
Liabilities:
Due to Custodian -- 17,437 48,311 670,914 --
Payables:
Investment securities
purchased 153,247 -- -- -- 385,055
Fund shares repurchased -- 51,880 1,281,993 1,029,837 325,802
Amounts owed to
affiliates 11,430 86,202 345,045 257,431 94,768
Accrued expenses and
other liabilities 40,471 96,260 150,109 145,380 116,615
-------------------------------------------------------------------------------------------------------------------------
Total liabilities 205,148 251,779 1,825,458 2,103,562 922,240
-------------------------------------------------------------------------------------------------------------------------
Net Assets:
Paid-in capital 11,880,306 101,006,408 421,670,417 294,423,986 112,898,112
Accumulated
undistributed
(distributions in excess
of) net investment
income (495) 21,642 4,601 143,203 (333,081)
Accumulated net realized
loss on investment
transactions (1,743) (1,715,806) (10,445,638) (13,540,742) (6,999,068)
Net unrealized gain on
investments 49,333 4,010,726 27,385,201 29,845,061 13,613,759
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS $11,927,401 $103,322,970 $438,614,581 $310,871,508 $119,179,722
-------------------------------------------------------------------------------------------------------------------------
Net asset value,
offering and redemption
price per share:(a)
Class A $10.24 $10.59 $10.98 $11.22 $11.28
Class B $10.23 $10.59 $10.96 $11.16 $11.22
Class C $10.23 $10.59 $10.95 $11.16 $11.23
Institutional $10.25 $10.59 $10.98 $11.23 $11.30
Service $10.26 $10.59 $10.96 $11.21 $11.26
-------------------------------------------------------------------------------------------------------------------------
Shares Outstanding:
Class A 128,142 3,894,028 16,078,269 11,249,703 4,525,788
Class B 747,167 3,244,034 12,721,733 10,179,559 3,735,209
Class C 288,913 2,446,086 8,760,168 5,988,908 2,112,346
Institutional 547 127,306 2,258,526 320,107 209,260
Service 728 44,464 172,115 59,825 11,748
-------------------------------------------------------------------------------------------------------------------------
Total shares
outstanding, $.001 par
value
(unlimited number of
shares authorized) 1,165,497 9,755,918 39,990,811 27,798,102 10,594,351
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Maximum public offering price per share (NAV per share multiplied by
1.0582) for Class A shares of the Conservative, Balanced, Growth and
Income, Growth and Aggressive Growth Strategy Portfolios is $10.84,
$11.21, $11.62, $11.87 and $11.94, respectively. At redemption, Class B
and Class C shares may be subject to a contingent deferred sales charge,
assessed on the amount equal to the lesser of the current net asset value
or the original purchase price of the shares.
16
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Operations
For the Period Ended June 30, 1999 (Unaudited)
<TABLE>
<CAPTION>
Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs
Conservative Balanced Growth and Income Growth
Strategy Portfolio(a) Strategy Portfolio Strategy Portfolio Strategy Portfolio
<S> <C> <C> <C> <C>
Investment income:
Income distributions from
underlying funds $ 115,649 $ 1,664,471 $ 4,743,935 $ 1,685,547
Interest 2,397 1,699 3,625 1,603
- --------------------------------------------------------------------------------------------------------------------------
Total income 118,046 1,666,170 4,747,560 1,687,150
==========================================================================================================================
Expenses:
Management fees 8,887 177,106 755,702 530,474
Distribution and Service fees(b) 22,705 349,393 1,390,735 1,024,178
Transfer Agent fees(b) 4,795 95,243 395,972 284,927
Custodian fees 13,644 17,901 17,852 17,901
Registration fees 41,881 23,124 76,987 62,219
Printing fees 33,764 47,483 47,151 47,922
Professional fees 20,343 19,610 19,610 19,610
Trustee fees 5,953 5,333 5,333 5,333
Amortization of deferred organization
expenses -- 1,549 1,549 1,549
Service class fees 83 1,150 4,301 1,434
Other 8,303 7,768 8,978 8,540
- --------------------------------------------------------------------------------------------------------------------------
Total expenses 160,358 745,660 2,724,170 2,004,087
- --------------------------------------------------------------------------------------------------------------------------
Less--expenses reimbursed and fees waived by
Goldman Sachs (128,865) (221,948) (600,654) (460,140)
- --------------------------------------------------------------------------------------------------------------------------
Net expenses 31,493 523,712 2,123,516 1,543,947
==========================================================================================================================
NET INVESTMENT INCOME (LOSS) 86,553 1,142,458 2,624,044 143,203
==========================================================================================================================
Realized and unrealized gain (loss):
Net realized loss from investment
transactions (1,743) (674,680) (8,652,522) (9,627,302)
Net change in unrealized gain (loss) on
investments 49,333 3,328,075 33,052,387 34,933,907
- --------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain 47,590 2,653,395 24,399,865 25,306,605
==========================================================================================================================
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 134,143 $ 3,795,853 $27,023,909 $25,449,808
==========================================================================================================================
<CAPTION>
Goldman Sachs
Aggressive Growth
Strategy Portfolio
<S> <C>
Investment income:
Income distributions from
underlying funds $ 216,369
Interest 1,281
- -----------------------------------------------------------
Total income 217,650
===========================================================
Expenses:
Management fees 197,790
Distribution and Service fees(b) 372,706
Transfer Agent fees(b) 106,001
Custodian fees 17,901
Registration fees 28,185
Printing fees 49,644
Professional fees 19,610
Trustee fees 5,333
Amortization of deferred organization
expenses 1,549
Service class fees 308
Other 7,835
- -----------------------------------------------------------
Total expenses 806,862
- -----------------------------------------------------------
Less--expenses reimbursed and fees
waived by Goldman Sachs (240,820)
- -----------------------------------------------------------
Net expenses 566,042
===========================================================
NET INVESTMENT INCOME (LOSS) (348,392)
===========================================================
Realized and unrealized gain (loss):
Net realized loss from investment
transactions (4,715,155)
Net change in unrealized gain (loss)
on investments 16,778,385
- -----------------------------------------------------------
Net realized and unrealized gain 12,063,230
===========================================================
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $11,714,838
===========================================================
</TABLE>
(a) Commencement date of operations was February 8, 1999.
(b) The fees were as follows:
<TABLE>
<CAPTION>
Distribution and Service fees Transfer Agent fees
----------------------------- -----------------------------------------------
Class A Class B Class C Class A Class B Class C Institutional Service
------- ------- ------- ------- ------- ------- ------------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Conservative Strategy Portfolio $ 832 $ 13,639 $ 8,234 $ 632 $ 2,591 $ 1,564 $ 1 $ 7
Balanced Strategy Portfolio 50,207 170,310 128,876 38,157 32,359 24,487 148 92
Growth and Income Strategy Portfolio 224,434 685,798 480,503 170,570 130,302 91,295 3,460 345
Growth Strategy Portfolio 157,055 548,318 318,805 119,361 104,180 60,573 697 116
Aggressive Growth Strategy Portfolio 61,090 201,820 109,796 46,428 38,346 20,861 341 25
</TABLE>
The accompanying notes are an integral part of these financial statements. 17
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Changes in Net Assets
For the Period Ended June 30, 1999 (Unaudited)
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs
Conservative Balanced Growth and Income Growth Aggressive Growth
Strategy Portfolio(a) Strategy Portfolio Strategy Portfolio Strategy Portfolio Strategy Portfolio
<S> <C> <C> <C> <C> <C>
From operations:
Net investment income
(loss) $ 86,553 $ 1,142,458 $ 2,624,044 $ 143,203 $ (348,392)
Net realized loss (1,743) (674,680) (8,652,522) (9,627,302) (4,715,155)
Net change in
unrealized gain (loss)
on investments 49,333 3,328,075 33,052,387 34,933,907 16,778,385
--------------------------------------------------------------------------------------------------------------------------------
Net increase in net
assets resulting from
operations 134,143 3,795,853 27,023,909 25,449,808 11,714,838
--------------------------------------------------------------------------------------------------------------------------------
Distributions to share-
holders:
From net investment
income
Class A shares (11,654) (544,572) (1,426,760) -- --
Class B shares (49,559) (330,007) (587,034) -- --
Class C shares (25,207) (247,580) (405,503) -- --
Institutional shares (66) (13,868) (185,860) -- --
Service shares (67) (5,961) (14,286) -- --
In excess of net
investment income
Class A shares (68) -- -- -- --
Class B shares (283) -- -- -- --
Class C shares (144) -- -- -- --
Institutional shares -- -- -- -- --
Service shares -- -- -- -- --
--------------------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (87,048) (1,141,988) (2,619,443) -- --
--------------------------------------------------------------------------------------------------------------------------------
From share transac-
tions:
Net proceeds from sales
of shares 11,986,295 21,938,512 80,869,928 55,387,144 25,654,473
Reinvestment of
dividends and
distributions 28,470 972,873 2,487,841 7,172 4,875
Cost of shares
repurchased (134,459) (21,098,255) (100,598,002) (74,558,600) (28,504,398)
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from share transactions 11,880,306 1,813,130 (17,240,233) (19,164,284) (2,845,050)
--------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE 11,927,401 4,466,995 7,164,233 6,285,524 8,869,788
--------------------------------------------------------------------------------------------------------------------------------
Net assets:
Beginning of period -- 98,855,975 431,450,348 304,585,984 110,309,934
--------------------------------------------------------------------------------------------------------------------------------
End of period $11,927,401 $103,322,970 $ 438,614,581 $310,871,508 $119,179,722
--------------------------------------------------------------------------------------------------------------------------------
Accumulated
undistributed
(distributions in
excess of) net
investment income $ (495) $ 21,642 $ 4,601 $ 143,203 $ (333,081)
--------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement date of operations was February 8, 1999.
18
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Changes in Net Assets
For the Period Ended December 31, 1998
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs
Balanced Growth and Income Growth Aggressive Growth
Strategy Portfolio(a) Strategy Portfolio(a) Strategy Portfolio(a) Strategy Portfolio(a)
<S> <C> <C> <C> <C>
From operations:
Net investment income $ 1,383,598 $ 4,786,745 $ 1,889,408 $ 290,616
Net realized gain (loss) (391,456) 1,940,943 (2,037,167) (1,809,589)
Net change in unrealized
gain (loss) on
investments 682,651 (5,667,186) (5,088,846) (3,164,626)
----------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations 1,674,793 1,060,502 (5,236,605) (4,683,599)
----------------------------------------------------------------------------------------------------------------------
Distributions to share-
holders:
From net investment
income
Class A shares (675,433) (2,306,364) (1,028,555) (235,518)
Class B shares (389,882) (1,359,409) (531,921) (33,771)
Class C shares (308,560) (990,627) (309,463) (19,874)
Institutional shares (2,105) (112,462) (16,851) (830)
Service shares (7,619) (17,883) (2,618) (623)
In excess of net
investment income
Class A shares (113,394) (822,962) (291,624) (689)
Class B shares (65,455) (485,067) (150,814) (99)
Class C shares (51,802) (353,478) (87,742) (58)
Institutional shares (353) (40,129) (4,778) (2)
Service shares (1,279) (6,381) (742) (2)
From net realized gain
Class A shares (162,793) (867,706) (595,050) (201,675)
Class B shares (140,756) (672,087) (501,683) (176,608)
Class C shares (102,275) (483,928) (297,823) (93,875)
Institutional shares (747) (43,567) (9,965) (496)
Service shares (1,869) (6,591) (1,740) (474)
----------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (2,024,322) (8,568,641) (3,831,369) (764,594)
----------------------------------------------------------------------------------------------------------------------
From share transactions:
Net proceeds from sales
of shares 116,904,997 479,484,104 345,618,571 134,338,429
Reinvestment of
dividends and
distributions 1,726,504 7,902,811 3,614,716 736,661
Cost of shares
repurchased (19,425,997) (48,428,428) (35,579,329) (19,316,963)
----------------------------------------------------------------------------------------------------------------------
Net increase in net
assets resulting from
share transactions 99,205,504 438,958,487 313,653,958 115,758,127
----------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE 98,855,975 431,450,348 304,585,984 110,309,934
----------------------------------------------------------------------------------------------------------------------
Net assets:
Beginning of period -- -- -- --
----------------------------------------------------------------------------------------------------------------------
End of period $ 98,855,975 $431,450,348 $304,585,984 $110,309,934
----------------------------------------------------------------------------------------------------------------------
Accumulated
undistributed net
investment income $ 21,172 $ -- $ -- $ 15,311
----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement date of operations was January 2, 1998.
19
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
June 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 Conservative
Strategy Portfolio (Conservative Strategy), Goldman Sachs Balanced Strategy
Portfolio (Balanced Strategy), Goldman Sachs Growth and Income Strategy Port-
folio (Growth and Income Strategy), Goldman Sachs Growth Strategy Portfolio
(Growth Strategy) and Goldman Sachs Aggressive Growth Strategy Portfolio (Ag-
gressive Growth Strategy), collectively, (the "Portfolios") or individually
(a "Portfolio"). Effective February 8, 1999, the name of Goldman Sachs Income
Strategy Portfolio was changed to Goldman Sachs Balanced Strategy Portfolio.
All of the Portfolios offer five classes of shares -- Class A, Class B, Class
C, Institutional and Service shares.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios. The preparation of financial statements in con-
formity with generally accepted accounting principles requires management to
make estimates and assumptions that may affect the reported amounts. Actual
results could differ from those estimates.
A. Investment Valuation -- Each Portfolio invests in a combination of Under-
lying Funds (the "Underlying Funds") for which Goldman Sachs Asset Management
("GSAM"), a separate operating division of Goldman, Sachs & Co. ("Goldman
Sachs"), Goldman Sachs Funds Management L.P. ("GSFM") and Goldman Sachs Asset
Management International ("GSAMI"), affiliates of Goldman Sachs, act as in-
vestment adviser. Investments in the Underlying Funds are valued at the clos-
ing net asset value per share of each Underlying Fund on the day of
valuation. Because each Portfolio invests primarily in other mutual funds,
which fluctuate in value, the Portfolios' shares will correspondingly fluctu-
ate in value. Short-term debt obligations maturing in sixty days or less are
valued at amortized cost.
B. Securities 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 on the identified cost basis. Dividend income
and capital gains distributions from the Underlying Funds are recorded on the
ex-dividend date. Interest income is recorded on the basis of interest ac-
crued.
C. Federal Taxes -- It is each Portfolio's policy to comply with the require-
ments of the Internal Revenue Code applicable to regulated investment compa-
nies and to distribute each year substantially all of its investment company
taxable 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 Portfolio's distributions may be shown in the accompanying
financial statements as either from or in excess of net investment income or
net realized gain on investment transactions, or from paid-in-capital, de-
pending on the type of book/tax differences that may exist.
D. Expenses -- Expenses incurred by the Trust that do not specifically relate
to an individual Portfolio of the Trust are allocated to the Portfolios based
on a straight-line or pro rata basis depending upon the nature of the ex-
pense.
Class A, Class B and Class C shareholders of the Portfolios bear all ex-
penses and fees relating to their respective Distribution and Service plans.
Shareholders of Service shares bear all expenses and fees paid to service or-
ganizations. Each class of shares of the Funds separately bears its respec-
tive class-specific transfer agency fees.
E. Deferred Organization Expenses -- Organization-related costs are being am-
ortized on a straight line basis over a period of five years.
20
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
3. AGREEMENTS
Pursuant to an Investment Management Agreement (the "Agreement"), Goldman
Sachs Asset Management ("GSAM"), an affiliate of Goldman, Sachs & Co.
("Goldman Sachs"), serves as Portfolios' investment adviser. Under the Agree-
ment, GSAM, subject to the general supervision of the Trust's Board of Trust-
ees, manages the Portfolios. As compensation for the services rendered
pursuant to the Agreement, the assumption of the expenses related thereto and
administering the Portfolios' business affairs, including providing facili-
ties, GSAM is entitled to a fee, computed daily and payable monthly at an an-
nual rate equal to .35% of the average daily net assets of each Portfolio.
For the period ended June 30, 1999 the adviser has voluntarily agreed to
waive a portion of the management fee equal annually to .20% of each Portfo-
lio's average daily net assets. The adviser may discontinue or modify this
waiver in the future at its discretion.
During the period, GSAM has voluntarily agreed to limit "Other Expenses"
(excluding management fees, distribution and service fees, transfer agent
fees, taxes, interest, brokerage, litigation, service share fees, indemnifi-
cation costs and other extraordinary expenses) to the extent that such ex-
penses exceed .00% of the average daily net assets of each Portfolio.
Goldman Sachs serves as Distributor of the shares of the Portfolios pursu-
ant to Distribution Agreements. 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 Portfolios that it retained approximately $3,800,
$21,000, $83,800, $81,000 and $34,000 for the period ended June 30, 1999 for
the Conservative, Balanced, Growth and Income, Growth and Aggressive Growth
Strategies, respectively.
The Trust, on behalf of each Portfolio, has adopted Distribution and Serv-
ice Plans. Under the Distribution and Service Plans, Goldman Sachs and/or Au-
thorized Dealers are entitled to a monthly fee from each Portfolio for
distribution and shareholder maintenance services equal, on an annual basis,
to .25%, 1.00% and 1.00% of the average daily net assets attributable to
Class A, Class B and Class C shares, respectively.
Goldman Sachs also serves as Transfer Agent of the Portfolios for a fee.
Fees charged for such transfer agency services are calculated daily and pay-
able monthly at an annual rate as follows: 0.19% of average daily net assets
for Class A, Class B and Class C shares and .04% of average daily net assets
for Institutional and Service shares.
The Trust, on behalf of each Portfolio, has adopted Service Plans. These
plans allow for Service shares to compensate service organizations for pro-
viding varying levels of account administration and shareholder liaison serv-
ices to their customers, who are beneficial owners of such shares. The
Service Plan provides for compensation to the service organizations in an
amount up to .50% (on an annualized basis), respectively, of the average
daily net asset value of the Service shares.
For the period ended June 30, 1999, the adviser and distributor have volun-
tarily agreed to waive certain fees and reimburse other expenses as follows
(in thousands):
<TABLE>
<CAPTION>
Portfolio Management Fee Waivers Reimbursement Total
---------------------------------------------------------------------------
<S> <C> <C> <C>
Conservative Strategy $ 5 $124 $129
---------------------------------------------------------------------------
Balanced Strategy 101 121 222
---------------------------------------------------------------------------
Growth and Income Strategy 432 169 601
---------------------------------------------------------------------------
Growth Strategy 303 157 460
---------------------------------------------------------------------------
Aggressive Growth Strategy 113 128 241
---------------------------------------------------------------------------
</TABLE>
21
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
June 30, 1999 (Unaudited)
At June 30, 1999, the amounts owed to affiliates were as follows (in thou-
sands):
<TABLE>
<CAPTION>
Distribution
Management Transfer and Service
Portfolio Fees Agent Fees Fees Total
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Conservative Strategy $ 1 $ 2 $ 8 $ 11
----------------------------------------------------------------------------------
Balanced Strategy 13 16 57 86
----------------------------------------------------------------------------------
Growth and Income Strategy 54 65 226 345
----------------------------------------------------------------------------------
Growth Strategy 38 47 172 257
----------------------------------------------------------------------------------
Aggressive Growth Strategy 14 18 63 95
----------------------------------------------------------------------------------
</TABLE>
4. PORTFOLIO SECURITY TRANSACTIONS
Purchases and proceeds of sales or maturities of long-term securities for the
period ended June 30, 1999, were as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
-----------------------------------------------------
<S> <C> <C>
Conservative Strategy $ 14,139,809 $ 2,284,555
-----------------------------------------------------
Balanced Strategy 45,810,768 42,457,073
-----------------------------------------------------
Growth and Income Strategy 181,196,035 195,268,969
-----------------------------------------------------
Growth Strategy 136,668,741 155,292,293
-----------------------------------------------------
Aggressive Growth Strategy 45,567,086 48,217,932
-----------------------------------------------------
</TABLE>
5. LINE OF CREDIT FACILITY
The Portfolios participated in a $250,000,000 uncommitted, unsecured revolv-
ing line of credit facility. Under the most restrictive arrangement, each
Portfolio must have owned securities having a market value in excess of 300%
of the total bank borrowings. Effective April 30, 1999, the Portfolios now
participate in a $250,000,000 uncommitted and a $250,000,000 committed,
unsecured revolving line of credit facility. Under the most restrictive ar-
rangement, each Portfolio must own securities having a market value in excess
of 400% of the total bank borrowings. These facilities are to be used solely
for temporary or emergency purposes. The interest rate on borrowings is based
on the Federal Funds rate. The committed facility also requires a fee to be
paid by the Portfolios based on the amount of the commitment which has not
been utilized. During the period ended June 30, 1999, the Portfolios did not
have any borrowings under any of these facilities.
6. 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 Portfolios' custodian.
7. JOINT REPURCHASE AGREEMENT ACCOUNT
The Portfolios, together with other registered investment companies having
management agreements with GSAM or their affiliates, transfer uninvested cash
balances into joint accounts, the daily aggregate balance of which is in-
vested in one or more repurchase agreements.
22
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
At June 30, 1999, Aggressive Growth Strategy had an undivided interest in
the repurchase agreement in the following joint account which equaled
$300,000 in principal amount. At June 30, 1999, the following repurchase
agreements held in this joint account were fully collateralized by Federal
Agency obligations.
<TABLE>
<CAPTION>
Principal Interest Maturity Amortized
Repurchase Agreements Amount Rate Date Cost
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ABN/AMRO, Inc. $ 412,400,000 5.30% 07/01/1999 $ 412,400,000
---------------------------------------------------------------------------------------
Banc of America Securities 500,000,000 5.05 07/01/1999 500,000,000
---------------------------------------------------------------------------------------
Bear Stearns Companies, Inc. 200,000,000 5.00 07/01/1999 200,000,000
---------------------------------------------------------------------------------------
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT $1,112,400,000
---------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
June 30, 1999 (Unaudited)
8. SUMMARY OF SHARE TRANSACTIONS
Share activity for the period ended June 30, 1999 was as follows:
<TABLE>
<CAPTION>
Goldman Sachs
Conservative Strategy Goldman Sachs
Portfolio(a) Balanced Strategy Portfolio
-------------------------------------------------
Shares Dollars Shares Dollars
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares
Shares sold 128,639 $ 1,308,999 938,042 $ 9,781,422
Reinvestment of divi-
dends and distributions 1,126 11,497 47,106 492,300
Shares repurchased (1,623) (16,601) (992,507) (10,300,829)
-------------------------------------------------
128,142 1,303,895 (7,359) (27,107)
-------------------------------------------------------------------------------
Class B Shares
Shares sold 754,881 7,713,316 416,380 4,340,627
Reinvestment of divi-
dends and distributions 488 4,979 25,015 261,302
Shares repurchased (8,202) (83,933) (472,315) (4,927,827)
-------------------------------------------------
747,167 7,634,362 (30,920) (325,898)
-------------------------------------------------------------------------------
Class C Shares
Shares sold 290,671 2,951,222 637,686 6,663,950
Reinvestment of divi-
dends and distributions 1,164 11,879 19,532 204,155
Shares repurchased (2,922) (30,002) (556,773) (5,839,865)
-------------------------------------------------
288,913 2,933,099 100,445 1,028,240
-------------------------------------------------------------------------------
Institutional Shares
Shares sold 543 5,446 108,802 1,149,093
Reinvestment of divi-
dends and distributions 4 44 1,322 13,864
Shares repurchased -- -- (2,675) (28,129)
-------------------------------------------------
547 5,490 107,449 1,134,828
-------------------------------------------------------------------------------
Service Shares
Shares sold 721 3,389 328 3,420
Reinvestment of divi-
dends and distributions 7 71 120 1,252
Shares repurchased -- -- (155) (1,605)
-------------------------------------------------
728 3,460 293 3,067
-------------------------------------------------------------------------------
NET INCREASE (DECREASE) 1,165,497 $11,880,306 169,908 $ 1,813,130
-------------------------------------------------------------------------------
</TABLE>
(a) Class A, Class B, Class C, Institutional and Service share activity
commenced on February 8, 1999.
24
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
<TABLE>
<CAPTION>
Goldman Sachs Goldman Sachs Goldman Sachs
Growth and Income Strategy Portfolio Growth Strategy Portfolio Aggressive Growth Strategy Portfolio
-----------------------------------------------------------------------------------------------------------
Shares Dollars Shares Dollars Shares Dollars
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
2,513,025 $ 26,603,564 1,712,703 $ 18,097,789 1,119,967 $ 11,629,741
129,256 1,376,178 -- -- -- --
(4,036,333) (42,979,685) (2,981,008) (31,527,176) (1,232,674) (13,004,069)
-----------------------------------------------------------------------------------------------------------
(1,394,052) (14,999,943) (1,268,305) (13,429,387) (112,707) (1,374,328)
-----------------------------------------------------------------------------------------------------------
1,581,109 16,732,251 1,781,499 18,852,683 559,751 5,883,195
49,846 531,281 -- -- -- --
(2,311,982) (24,454,953) (2,232,540) (23,581,776) (886,363) (9,218,622)
-----------------------------------------------------------------------------------------------------------
(681,027) (7,191,421) (451,041) (4,729,093) (326,612) (3,335,427)
-----------------------------------------------------------------------------------------------------------
1,890,726 20,098,563 1,477,898 15,684,361 561,824 5,930,705
37,016 392,927 -- -- -- --
(2,889,952) (30,610,307) (1,705,685) (18,032,993) (589,357) (6,137,929)
-----------------------------------------------------------------------------------------------------------
(962,210) (10,118,817) (227,787) (2,348,632) (27,533) (207,224)
-----------------------------------------------------------------------------------------------------------
1,599,711 16,938,263 236,635 2,517,925 210,411 2,215,535
16,624 178,332 -- -- -- --
(226,968) (2,476,108) (130,862) (1,412,838) (13,313) (142,184)
-----------------------------------------------------------------------------------------------------------
1,389,367 14,640,487 105,773 1,105,087 197,098 2,073,351
-----------------------------------------------------------------------------------------------------------
47,827 497,287 23,469 241,558 13 172
858 9,123 -- -- -- --
(7,158) (76,949) (354) (3,817) (151) (1,594)
-----------------------------------------------------------------------------------------------------------
41,527 429,461 23,115 237,741 (138) (1,422)
-----------------------------------------------------------------------------------------------------------
(1,606,395) $ (17,240,233) (1,818,245) $ (19,164,284) (269,892) $ (2,845,050)
-----------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
June 30, 1999
8. SUMMARY OF SHARE TRANSACTIONS
Share activity for the period ended December 31, 1998 was as follows:
<TABLE>
<CAPTION>
Goldman Sachs
Balanced Strategy Portfolio(a)
-----------------------------
Shares Dollars
------------------------------------------------------------------------------
<S> <C> <C>
Class A Shares
Shares sold 4,997,153 $ 51,471,820
Reinvestment of dividends and distributions 82,247 838,318
Shares repurchased (1,178,013) (11,684,097)
-----------------------------
3,901,387 40,626,041
------------------------------------------------------------------------------
Class B Shares
Shares sold 3,444,664 35,434,153
Reinvestment of dividends and distributions 48,225 491,183
Shares repurchased (217,935) (2,216,520)
-----------------------------
3,274,954 33,708,816
------------------------------------------------------------------------------
Class C Shares
Shares sold 2,844,974 29,279,282
Reinvestment of dividends and distributions 38,221 389,643
Shares repurchased (537,554) (5,467,423)
-----------------------------
2,345,641 24,201,502
------------------------------------------------------------------------------
Institutional Shares
Shares sold 19,543 202,615
Reinvestment of dividends and distributions 314 3,204
Shares repurchased -- (28)
-----------------------------
19,857 205,791
------------------------------------------------------------------------------
Service Shares
Shares sold 49,317 517,127
Reinvestment of dividends and distributions 403 4,156
Shares repurchased (5,549) (57,929)
-----------------------------
44,171 463,354
------------------------------------------------------------------------------
NET INCREASE 9,586,010 $ 99,205,504
------------------------------------------------------------------------------
</TABLE>
(a) Class A, Class B, Class C, Institutional and Service share activity
commenced on January 2, 1998.
26
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
<TABLE>
<CAPTION>
Goldman Sachs Goldman Sachs Goldman Sachs
Growth and Income Strategy Portfolio(a) Growth Strategy Portfolio(a) Aggressive Growth Strategy Portfolio(a)
--------------------------------------------------------------------------------------------------------------------
Shares Dollars Shares Dollars Shares Dollars
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
19,544,296 $ 205,404,749 14,105,119 $ 148,698,602 5,615,397 $ 58,906,369
371,985 3,793,531 186,185 1,875,658 43,646 434,720
(2,443,960) (24,540,186) (1,773,296) (17,687,486) (1,020,548) (10,034,193)
--------------------------------------------------------------------------------------------------------------------
17,472,321 184,658,094 12,518,008 132,886,774 4,638,495 49,306,896
--------------------------------------------------------------------------------------------------------------------
14,322,312 149,921,704 11,471,847 120,504,688 4,598,907 48,814,394
224,284 2,285,787 109,293 1,104,065 20,086 199,458
(1,143,836) (11,542,305) (950,540) (9,481,003) (557,172) (5,486,370)
--------------------------------------------------------------------------------------------------------------------
13,402,760 140,665,186 10,630,600 112,127,750 4,061,821 43,527,482
--------------------------------------------------------------------------------------------------------------------
10,771,031 113,315,585 7,001,932 73,846,842 2,517,693 26,370,878
159,052 1,620,876 59,550 601,742 10,102 100,417
(1,207,705) (12,060,724) (844,787) (8,390,385) (387,916) (3,796,390)
--------------------------------------------------------------------------------------------------------------------
9,722,378 102,875,737 6,216,695 66,058,199 2,139,879 22,674,905
--------------------------------------------------------------------------------------------------------------------
875,077 9,413,016 212,556 2,180,254 12,029 120,329
17,891 181,644 2,843 28,730 133 1,327
(23,809) (235,710) (1,065) (11,445) -- --
--------------------------------------------------------------------------------------------------------------------
869,159 9,358,950 214,334 2,197,539 12,162 121,656
--------------------------------------------------------------------------------------------------------------------
133,145 1,429,050 37,114 388,185 11,813 126,459
2,056 20,973 450 4,521 74 739
(4,613) (49,503) (854) (9,010) (1) (10)
--------------------------------------------------------------------------------------------------------------------
130,588 1,400,520 36,710 383,696 11,886 127,188
--------------------------------------------------------------------------------------------------------------------
41,597,206 $ 438,958,487 29,616,347 $ 313,653,958 10,864,243 $ 115,758,127
--------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
GOLDMAN SACHS CONSERVATIVE STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Income from
investment operations(a) Distributions to shareholders
-------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE PERIOD ENDED JUNE 30, (UNAUDITED)(e)
1999 - Class A Shares $10.00 $0.10 $0.23 $(0.09) $ -- $ -- $0.24
1999 - Class B Shares 10.00 0.07 0.23 (0.07) -- -- 0.23
1999 - Class C Shares 10.00 0.07 0.23 (0.07) -- -- 0.23
1999 - Institutional
Shares 10.00 0.12 0.23 (0.10) -- -- 0.25
1999 - Service Shares 10.00 0.08(f) 0.26(f) (0.08) -- -- 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 dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service share activity
commenced on February 8, 1999.
(f) Calculated based on the average shares outstanding methodology.
The accompanying notes are an integral part of these financial statements.
28
<PAGE>
GOLDMAN SACHS CONSERVATIVE STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
------------------------------------
Ratio of
Net assets Ratio of net investment Ratio of Ratio of
Net asset at end of net expenses income expenses to net investment Portfolio
value, end Total period to average to average average loss to average turnover
of period return(b)(d) (in 000s) net assets(c) net assets(c) net assets(c) net assets(c) rate(d)
<S> <C> <C> <C> <C> <C> <C> <C>
$10.24 3.64% $1,313 0.59% 3.88% 5.66% (1.19)% 36.86%
10.23 3.34 7,646 1.34 3.43 6.41 (1.64) 36.86
10.23 3.34 2,955 1.34 3.21 6.41 (1.86) 36.86
10.25 3.88 6 0.19 4.04 5.26 (1.03) 36.86
10.26 3.81 7 0.69 1.81 5.76 (3.26) 36.86
------------------------------------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE>
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Income from
investment operations(a) Distributions to shareholders
------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE PERIOD ENDED JUNE 30, (UNAUDITED)
1999 - Class A Shares $10.31 $0.14 $0.28 $(0.14) $ -- $ -- $0.28
1999 - Class B Shares 10.31 0.10 0.28 (0.10) -- -- 0.28
1999 - Class C Shares 10.32 0.10 0.27 (0.10) -- -- 0.27
1999 - Institutional
Shares 10.32 0.16 0.27 (0.16) -- -- 0.27
1999 - Service Shares 10.31 0.13 0.28 (0.13) -- -- 0.28
FOR THE PERIOD ENDED DECEMBER 31,(e)
1998 - Class A Shares 10.00 0.25 0.38 (0.25) (0.03) (0.04) 0.31
1998 - Class B Shares 10.00 0.19 0.38 (0.19) (0.03) (0.04) 0.31
1998 - Class C Shares 10.00 0.19 0.39 (0.19) (0.03) (0.04) 0.32
1998 - Institutional
Shares 10.00 0.30 0.39 (0.30) (0.03) (0.04) 0.32
1998 - Service Shares 10.00 0.25 0.37 (0.25) (0.02) (0.04) 0.31
------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service share activity
commenced on January 2, 1998.
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
-------------------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income expenses to income to Portfolio
value, end Total period to average to average average average turnover
of period return(b)(d) (in 000s) net assets(c) net assets(c) net assets(c) net assets(c) rate(d)
<S> <C> <C> <C> <C> <C> <C> <C>
$10.59 4.09% $41,253 0.59% 2.70% 1.03% 2.26% 42.39%
10.59 3.71 34,345 1.34 1.94 1.78 1.50 42.39
10.59 3.61 25,906 1.34 1.95 1.78 1.51 42.39
10.59 4.19 1,348 0.19 3.33 0.63 2.89 42.39
10.59 4.04 471 0.69 2.60 1.13 2.16 42.39
10.31 6.38 40,237 0.60 3.03 1.46 2.17 50.84
10.31 5.75 33,763 1.30 2.38 2.08 1.60 50.84
10.32 5.83 24,195 1.30 2.34 2.08 1.56 50.84
10.32 6.99 205 0.24 3.55 1.02 2.77 50.84
10.31 6.30 456 0.74 2.90 1.52 2.12 50.84
------------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Income from
investment operations(a) Distributions to shareholders
------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE PERIOD ENDED JUNE 30, (UNAUDITED)
1999 - Class A Shares $10.38 $0.09 $0.60 $(0.09) $ -- $ -- $0.60
1999 - Class B Shares 10.36 0.05 0.60 (0.05) -- -- 0.60
1999 - Class C Shares 10.36 0.05 0.59 (0.05) -- -- 0.59
1999 - Institutional
Shares 10.39 0.11 0.59 (0.11) -- -- 0.59
1999 - Service Shares 10.37 0.07 0.60 (0.08) -- -- 0.59
FOR THE PERIOD ENDED DECEMBER 31,(e)
1998 - Class A Shares 10.00 0.18 0.47 (0.18) (0.04) (0.05) 0.38
1998 - Class B Shares 10.00 0.12 0.46 (0.12) (0.05) (0.05) 0.36
1998 - Class C Shares 10.00 0.12 0.46 (0.12) (0.05) (0.05) 0.36
1998 - Institutional
Shares 10.00 0.20 0.49 (0.20) (0.05) (0.05) 0.39
1998 - Service Shares 10.00 0.16 0.48 (0.16) (0.06) (0.05) 0.37
------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service share activity
commenced on January 2, 1998.
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
-------------------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income expenses to income to Portfolio
value, end Total period to average to average average average turnover
of period return(b)(d) (in 000s) net assets(c) net assets(c) net assets(c) net assets(c) rate(d)
<S> <C> <C> <C> <C> <C> <C> <C>
$10.98 6.63% $176,546 0.59% 1.60% 0.87% 1.32% 42.34%
10.96 6.25 139,425 1.34 0.85 1.62 0.57 42.34
10.95 6.15 95,949 1.34 0.85 1.62 0.57 42.34
10.98 6.75 24,807 0.19 2.09 0.47 1.81 42.34
10.96 6.51 1,888 0.69 1.55 0.97 1.27 42.34
10.38 6.55 181,441 0.60 2.37 1.05 1.92 41.91
10.36 5.82 138,914 1.30 1.72 1.68 1.34 41.91
10.36 5.80 100,711 1.30 1.68 1.68 1.30 41.91
10.39 6.96 9,030 0.23 2.97 0.61 2.59 41.91
10.37 6.43 1,354 0.73 2.28 1.11 1.90 41.91
------------------------------------------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Income (loss) from
investment operations(a) Distributions to shareholders
------------------------- -----------------------------------
Net asset Net In excess
value, investment Net realized From net of net Net increase
beginning income and unrealized investment investment From net in net asset
of period (loss) gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE PERIOD ENDED JUNE 30, (UNAUDITED)
1999 - Class A Shares $10.29 $0.03 $0.90 $ -- $ -- $ -- $0.93
1999 - Class B Shares 10.28 (0.01) 0.89 -- -- -- 0.88
1999 - Class C Shares 10.28 (0.01) 0.89 -- -- -- 0.88
1999 - Institutional
Shares 10.29 0.05 0.89 -- -- -- 0.94
1999 - Service Shares 10.29 0.02 0.90 -- -- -- 0.92
FOR THE PERIOD ENDED DECEMBER 31,(e)
1998 - Class A Shares 10.00 0.10 0.36 (0.10) (0.02) (0.05) 0.29
1998 - Class B Shares 10.00 0.05 0.35 (0.05) (0.02) (0.05) 0.28
1998 - Class C Shares 10.00 0.05 0.35 (0.05) (0.02) (0.05) 0.28
1998 - Institutional
Shares 10.00 0.12 0.37 (0.12) (0.03) (0.05) 0.29
1998 - Service Shares 10.00 0.09 0.35 (0.09) (0.01) (0.05) 0.29
------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service share activity
commenced on January 2, 1998.
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
------------------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income (loss) expenses to income (loss) Portfolio
value, end Total period to average to average average to average turnover
of period return(b)(d) (in 000s) net assets(c) net assets(c) net assets(c) net assets(c) rate(d)
<S> <C> <C> <C> <C> <C> <C> <C>
$11.22 9.04% $126,174 0.59% 0.51% 0.89% 0.21% 45.36%
11.16 8.56 113,571 1.34 (0.23) 1.64 (0.53) 45.36
11.16 8.56 66,861 1.34 (0.23) 1.64 (0.53) 45.36
11.23 9.14 3,596 0.19 0.92 0.49 0.62 45.36
11.21 8.94 670 0.69 0.48 0.99 0.18 45.36
10.29 4.62 128,832 0.60 1.50 1.15 0.95 38.43
10.28 3.98 109,246 1.30 0.83 1.78 0.35 38.43
10.28 3.96 63,925 1.30 0.79 1.78 0.31 38.43
10.29 4.92 2,205 0.23 2.88 0.71 2.40 38.43
10.29 4.45 378 0.73 1.63 1.21 1.15 38.43
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
35
<PAGE>
GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Income (loss) from
investment operations(a) Distributions to shareholders
---------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income (loss) gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE PERIOD ENDED JUNE 30, (UNAUDITED)
1999 - Class A Shares $10.16 $(0.01) $1.13 $ -- $ -- $ -- $1.12
1999 - Class B Shares 10.14 (0.05) 1.13 -- -- -- 1.08
1999 - Class C Shares 10.15 (0.05) 1.13 -- -- -- 1.08
1999 - Institutional
Shares 10.16 0.01 1.13 -- -- -- 1.14
1999 - Service Shares 10.15 (0.02) 1.13 -- -- -- 1.11
FOR THE YEAR ENDED DECEMBER 31,(e)
1998 - Class A Shares 10.00 0.05 0.20 (0.05) -- (0.04) 0.16
1998 - Class B Shares 10.00 0.01 0.18 (0.01) -- (0.04) 0.14
1998 - Class C Shares 10.00 0.01 0.19 (0.01) -- (0.04) 0.15
1998 - Institutional
Shares 10.00 0.07 0.20 (0.07) -- (0.04) 0.16
1998 - Service Shares 10.00 0.04 0.21 (0.04) (0.02) (0.04) 0.15
---------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service share activity
commenced on January 2, 1998.
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
------------------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income (loss) expenses to income (loss) Portfolio
value, end Total period to average to average average to average turnover
of period return(b)(d) (in 000s) net assets(c) net assets(c) net assets(c) net assets(c) rate(d)
<S> <C> <C> <C> <C> <C> <C> <C>
$11.28 11.02% $51,054 0.59% (0.21)% 1.02% (0.64)% 40.09%
11.22 10.65 41,911 1.34 (0.96) 1.77 (1.39) 40.09
11.23 10.64 23,719 1.34 (0.96) 1.77 (1.39) 40.09
11.30 11.22 2,364 0.19 0.27 0.62 (0.16) 40.09
11.26 10.94 132 0.69 (0.31) 1.12 (0.74) 40.09
10.16 2.57 47,135 0.60 0.91 1.42 0.09 26.27
10.14 1.93 41,204 1.30 0.14 2.05 (0.61) 26.27
10.15 2.04 21,726 1.30 0.16 2.05 (0.59) 26.27
10.16 2.80 124 0.24 8.17 0.99 7.42 26.27
10.15 2.54 121 0.74 0.76 1.49 0.01 26.27
------------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
What Makes Asset Allocation at Goldman Sachs Different?
Goldman Sachs' proprietary asset allocation strategy is based on an exclusive
risk management framework, the Black-Litterman Asset Allocation Model.
Many investors believe their success depends on investing at the right time or
choosing high-performing stocks or bonds. In reality, when investors commit
assets and which individual securities they buy are believed to account for just
8.5%* of a portfolio's return over time. Instead, their asset allocation
strategy accounts for the majority of a portfolio's return.
With this in mind, Goldman Sachs has developed an exclusive asset allocation
process that seeks to deliver the full range of global investment opportunities
in constantly changing markets.
<TABLE>
<CAPTION>
GLOBAL MARKET AN EXCLUSIVE
PRESENCE + KNOWLEDGE = APPROACH TO ASSET
ALLOCATION
<S> <C> <C>
. Portfolio management teams . Expertise in geographic areas, This degree of global presence and market
on-site, around the world investment styles, large-, mid- and expertise cannot be accessed in most mutual
including the Americas, small-market capitalizations and funds. We offer five Asset Allocation
Europe and Asia-Pacific issuers Portfolios to tap these resources.
regions
. Conservative Strategy
. Firsthand insights into . Specialized portfolio management
local cultures, markets teams that perform their own . Balanced Strategy
and economies fundamental analysis of
securities -- and have access to . Growth and Income Strategy
Goldman Sachs' Global Investment
Research Department . Growth Strategy
. Aggressive Growth Strategy
</TABLE>
ASSET ALLOCATION STRATEGIES
OTHER GOLDMAN SACHS
- --------------------------------------------------------------------------------
Constant. Tactical.
Rebalance quarterly which keeps Reallocate quarterly which captures
asset allocation the same over time. changing opportunities in global markets.
- --------------------------------------------------------------------------------
Backward-Looking. Forward-Looking.
Base allocation decisions on past Base allocation decisions on expected
returns and market relationships. future returns given current market
conditions.
- --------------------------------------------------------------------------------
Inconsistent Risk Profile. Consistent Risk Profile.
Identify the top performers and Focus on how tactical reallocation impacts
overweight that security/asset each Portfolio's risk profile, maintaining
class, changing an investor's an investor's original risk/return profile
original risk/return profile. over time.
- --------------------------------------------------------------------------------
* Source: Brinson, Hood & Beebower, "Determinants of Portfolio Performance,"
Financial Analysts Journal, May/June 1991.
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Goldman Sachs
Asset Allocation Portfolios
THE GOLDMAN
SACHS ADVANTAGE
When you invest in Goldman Sachs Asset Allocation Portfolios, you can capitalize
on Goldman Sachs' 130-year history of excellence while benefiting from the
firm's leadership in three areas:
1 Global Resources
With professionals based throughout the Americas, Europe and Asia, Goldman Sachs
possesses first-hand knowledge of the world's markets and economies.
2 Fundamental Research
Goldman Sachs is recognized by the managements of corporations worldwide as a
leader in investment research. As a result, we obtain face-to-face meetings with
managers on a timely, regular basis.
3 Risk Management
Goldman, Sachs & Co. excels in understanding, monitoring and managing investment
risk -- a process that is integrated into all Goldman Sachs investment products.
How you choose to allocate your assets may have a far greater impact on your
portfolio's total return potential than any other investment decision you can
make. By carefully balancing the percentage of assets allocated to each asset
class -- stocks, bonds and cash -- a portfolio can be tailored to your current
investment goals and timeframes.
The Goldman Sachs Asset Allocation Portfolios offer you easy access to the
benefits associated with asset allocation. Each is designed to provide results
consistent with your investment objectives via a complementary blend of Goldman
Sachs Funds.
Target Your Needs
The five Goldman Sachs Asset Allocation Portfolios -- Conservative Strategy,
Balance Strategy, Growth and Income Strategy, Growth Strategy and Aggressive
Growth Strategy -- are carefully tailored to specific financial goals. As your
investment objectives change, you can exchange shares among the Goldman Sachs
Asset Allocation Portfolios without any additional charge.* (Please note: in
general, greater returns are associated with greater risk.)
Goldman Sachs Asset Allocation Portfolios
CONSERVATIVE STRATEGY Lower Risk/Return
BALANCED STRATEGY
GROWTH AND INCOME STRATEGY
GROWTH STRATEGY
AGGRESSIVE GROWTH STRATEGY Higher Risk/Return
For More Information
To learn more about the Goldman Sachs Asset Allocation Portfolios, 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
Ashok N. Bakhru, Chairman
David B. Ford
Douglas C. Grip
John P. McNulty
Mary P. McPherson
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
OFFICERS
Douglas C. Grip, President
Jesse H. Cole, Vice President
James A. Fitzpatrick, Vice President
Ann E. Marcel, Vice President
Nancy L. Mucker, Vice President
John M. Perlowski, Treasurer
Adrien E. Deberghes, Jr., Assistant Treasurer
Philip V. Guica, Jr., Assistant Treasurer
Michael J. Richman, Secretary
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.
CORE International Equity Fund's, Global Income Fund's and Core Fixed Income
Fund's foreign investments may be more volatile than an investment in U.S.
securities and are subject to the risks of currency fluctuations and political
developments.
Short Duration Government Fund's net asset value and yield are not guaranteed by
the U.S. Government or by its agencies, instrumentalities, or sponsored
enterprises.
The High Yield Fund invests primarily in high yield, lower rated securities
involving greater price volatility and present greater risks than stocks of
higher rated fixed income securities. At times the Fund may be unable to sell
certain of its portfolio securities without a substantial drop in price, if at
all.
The CORE Small Cap Equity Fund and the International Small Cap Fund invest in
stocks of smaller companies. The stocks of smaller companies are often more
volatile and present greater risks than stocks of larger companies. At times the
Fund(s) may be unable to sell the securities it holds without a substantial drop
in price, if at all.
Emerging markets securities are volatile. They are subject to substantial
currency fluctuations and sudden economic and political developments. At times
the Emerging Markets Equity Fund and International Small Cap Fund may be unable
to sell certain of its portfolio securities without a substantial drop in price,
if at all.
An investment in real estate securities is subject to greater price volatility
and the special risks associated with the direct ownership of real estate.
An investment in a money market fund is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other government agency. Although a money
market fund seeks to preserve the value of your investment at $1.00 per share,
it is possible to lose money by investing in the Fund.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs Fixed
Income, Equity and Money Market Funds and are subject to the risks associated
with investment in such Funds.
Copyright 1999 Goldman, Sachs & Co. All rights reserved.
Date of first use: August 23, 1999 AASAR/42K/8-99
