|
GOLDMAN SACHS BALANCED FUND
Market Overview
Dear Shareholder:
During the period under review the financial markets experienced a dramatic increase in volatility. However, investors who stayed the course were generally rewarded for their disciplined approach, as many sectors of the market generated solid returns.
While a range of stocks were negatively impacted by the correction, technology issues experienced the brunt of the decline. At one point the technology-heavy Nasdaq composite was down 37% from its peak. While the Nasdaq posted a one-year return of 45.93% for the period ended August 31, 2000, this was largely due to the strong performance of technology stocks late in 1999 and in the summer of 2000. However, by the end of the reporting period the Nasdaq was still off 19% from its peak. In contrast, the S&P 500 Index, which also fell during the middle of the period, recovered to the point that it was again nearing its record high by the end of August.
As always, we appreciate your support and we look forward to serving your investment needs in the years to come.
Sincerely,
![]() |
![]() |
|
David B. Ford | David W. Blood | |
Co-Head, Goldman Sachs Asset Management | Co-Head, Goldman Sachs Asset Management | |
September 15, 2000 |
GOLDMAN SACHS BALANCED FUND
Fund Basics
as of August 31, 2000
PERFORMANCE REVIEW | |||||||
August 31, 1999August 31, 2000 | Fund Total Return (without sales charge)1 | S&P 500 Index2
|
Lehman Aggregate Index2 | ||||
|
|||||||
Class A | 12.00 | % | 16.32 | % | 7.55 | % | |
Class B | 11.17 | 16.32 | 7.55 | ||||
Class C | 11.23 | 16.32 | 7.55 | ||||
Institutional | 12.59 | 16.32 | 7.55 | ||||
Service | 11.89 | 16.32 | 7.55 | ||||
|
1 The net asset value represents the net assets of the Fund (ex-dividend) divided by the total number of shares. The Funds performance assumes the reinvestment of dividends and other distributions.
2 The unmanaged S&P 500 Index and the Lehman Brothers Aggregate Bond Index (with dividends reinvested) figures do not reflect fees or expenses. Investors cannot invest directly in the Indices.
STANDARDIZED TOTAL RETURNS 3 | ||||||||||
For the period ended 6/30/00 | Class A
|
Class B
|
Class C
|
Institutional | Service
|
|||||
|
||||||||||
One Year | 1.86 | % | 2.01 | % | 2.10 | % | 4.40% | 3.80 | % | |
Five Years | 10.73 | N/A
|
N/A
|
N/A | 11.86 | 4 | ||||
Since Inception | 12.19 | 9.96 | 4.71 | 5.90 | 13.19 | 4 | ||||
(10/12/94 | ) | (5/1/96 | ) | (8/15/97 | ) | (8/15/97) | (10/12/94 | ) | ||
|
3 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 net asset value. These returns reflect a maximum initial sales charge of 5.5% for Class A shares, the assumed deferred sales charge for Class B shares (5% maximum declining to 0% after six years) and the assumed deferred sales charge for Class C shares (1% if redeemed within 12 months of purchase). Because Institutional and Service shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns.
4 Performance data for Service shares prior to 8/15/97 is that of the Class A shares (excluding the impact of the front-end sales charge applicable to Class A shares since Service shares are not subject to any sales charges). Performance of Class A shares of the Balanced Fund reflects the expenses applicable to the Fund's Class A shares. The fees applicable to Service shares are different from those applicable to Class A shares which impact performance ratings and rankings for a class of shares.
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 investors shares, when redeemed, may be worth more or less than their original cost. Performance reflects fee waivers and expense limitations in effect. In their absence, performance would be reduced.
TOP 10 EQUITY HOLDINGS AS OF 8/31/00 | |||
Holding | % of Total Net Assets | Line of Business | |
|
|||
General Electric Co. | 2.1% | Multi-Industry | |
Intel Corp. | 2.0 | Semiconductors | |
Cisco Systems, Inc. | 1.8 | Computer Hardware | |
Pfizer, Inc. | 1.4 | Drugs | |
Microsoft Corp. | 1.4 | Computer Software | |
Citigroup, Inc. | 1.2 | Banks | |
Exxon Mobil Corp. | 1.1 | Energy Resources | |
Nortel Networks Corp. | 0.9 | Electrical Equipment | |
Oracle Corp. | 0.9 | Computer Software | |
Wal-Mart Stores, Inc. | 0.9 | Specialty Retail | |
|
The top 10 equity holdings may not be representative of the Funds future investments.
GOLDMAN SACHS BALANCED FUND
Performance Overview
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Balanced Fund for the one year period that ended August 31, 2000.
Performance Review
Over the one-year period that ended August 31, 2000, the Funds Class A, B, C, Institutional and Service shares generated cumulative total returns, without sales charges, of 12.00%, 11.17%, 11.23%, 12.59%, and 11.89%, respectively. Over the same time period, the Funds benchmarks, the S&P 500 Index and the Lehman Aggregate Bond Index, returned 16.32% and 7.55%, respectively.
GROWTH
INVESTMENT
PROCESS
50% of the Funds equity
investment process is
characterized as Growth.
Strong Growth
Characteristics
Growth companies have earn-
ings expectations that exceed
those of the stock market as a
whole. We search for growth
companies with:
Result
A diversified portfolio of
stocks with strong long-term
growth potential.
Asset Allocation
Portfolio Highlights
GOLDMAN SACHS BALANCED FUND
|
Portfolio Outlook
We thank you for your investment and look forward to your continued confidence.
Goldman Sachs Value Investment Team, Goldman Sachs Growth Equity Investment Team, Goldman Sachs Fixed Income Investment Team
New York
September 15, 2000
GOLDMAN SACHS BALANCED FUND
The Goldman Sachs Advantage
Founded in 1869, Goldman, Sachs & Co. is a premier financial services firm traditionally known on Wall Street and around the world for its institutional expertise.
Today, the firms Investment Management Division provides individual investors the opportunity to tap the resources of a global institutional powerhouse and put this expertise to work in their individual portfolios.
What Sets Goldman Sachs Funds Apart?
Our portfolio management teams are located on-site, around the world, in New York, London, Tokyo and Singapore. Their understanding of local economies, markets, industries and cultures helps deliver what many investors want: access to global investment opportunities and consistent, risk-adjusted performance.
Our portfolio management teams make on-site visits to hundreds of companies each month, then construct selective portfolios with an emphasis on their best ideas. Our teams also have access to Goldman, Sachs & Co.s Global Investment Research Department.
In this, our institutional heritage is clear. Institutions, as well as many individual investors, often look to us to manage the risks of global investing over time in different market environments.
To learn more about the Goldman Sachs Funds, call your investment professional today.
The following graph shows the value, as of August 31, 2000, of a $10,000 investment made on October 12, 1994 (commencement of
operations) in Class A Shares (maximum sales charge of 5.5%) of the Goldman Sachs Balanced Fund. For comparative purposes, the performance of the Funds benchmarks (the Standard and Poors 500 Index with dividends reinvested (S&P 500
Index) and the Lehman Brothers Aggregate Bond Index (LBABI)) are shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market
conditions. These performance fluctuations will cause an investors shares, when redeemed, to be worth more or less than their original cost. Performance of Class B, Class C, Institutional and Service Shares will vary from Class A due to differences
in fees and loads.
|
Balanced Funds Lifetime Performance
|
Growth of a $10,000 Investment, Distributions Reinvested October 12, 1994 to August 31, 2000.
|
![]() |
Average Annual Total Return through August 31, 2000 | Since Inception | Five Year | One Year | ||||
---|---|---|---|---|---|---|---|
Class A (commenced October 12, 1994) | |||||||
Excluding sales charges | 13.52% | 11.99% | 12.00% | ||||
Including sales charges | 12.43% | 10.73% | 5.82% | ||||
Class B (commenced May 1, 1996) | |||||||
Excluding contingent deferred sales charges | 10.76% | n/a | 11.17% | ||||
Including contingent deferred sales charges | 10.34% | n/a | 5.87% | ||||
Class C (commenced August 15, 1997) | |||||||
Excluding contingent deferred sales charges | 5.52% | n/a | 11.23% | ||||
Including contingent deferred sales charges | 5.52% | n/a | 10.17% | ||||
Institutional (commenced August 15, 1997) | 6.70% | n/a | 12.59% | ||||
Service (commenced August 15, 1997) | 6.07% | n/a | 11.89% | ||||
Shares |
Description | Value | |||
---|---|---|---|---|---|
Common Stocks 47.6% | |||||
Airlines 0.1% | |||||
10,300 | Southwest Airlines Co. | $ 233,038 | |||
Alcohol 0.1% | |||||
2,400 | Anheuser-Busch Cos., Inc. | 189,150 | |||
Apparel 0.1% | |||||
3,900 | Nike, Inc. Class B | 154,294 | |||
Banks 2.6% | |||||
6,500 | Bank of America Corp. | 348,156 | |||
3,500 | Bank One Corp. | 123,375 | |||
36,133 | Citigroup, Inc. | 2,109,283 | |||
600 | J.P. Morgan & Co., Inc. | 100,313 | |||
6,700 | Mellon Financial Corp. | 303,175 | |||
1,200 | PNC Financial Services Group | 70,725 | |||
5,900 | State Street Corp. | 694,725 | |||
6,000 | The Bank of New York Co., Inc. | 314,625 | |||
3,950 | The Chase Manhattan Corp. | 220,706 | |||
11,300 | Wells Fargo & Co. | 488,019 | |||
4,773,102 | |||||
Chemicals 0.9% | |||||
12,877 | E.I. du Pont de Nemours & Co. | 577,855 | |||
8,400 | Minnesota Mining & Manufacturing
Co. |
781,200 | |||
10,000 | The Dow Chemicals Co. | 261,875 | |||
1,620,930 | |||||
Clothing 0.0% | |||||
2,300 | The Gap, Inc. | 51,606 | |||
Computer Hardware 4.4% | |||||
900 | Apple Computer, Inc.* | 54,844 | |||
47,400 | Cisco Systems, Inc.* | 3,252,825 | |||
8,000 | Compaq Computer Corp. | 272,500 | |||
19,100 | Dell Computer Corp.* | 833,237 | |||
15,700 | EMC Corp.* | 1,538,600 | |||
4,200 | Hewlett-Packard Co. | 507,150 | |||
800 | Network Appliance, Inc.* | 93,600 | |||
10,400 | Sun Microsystems, Inc.* | 1,320,150 | |||
2,500 | Xerox Corp. | 40,156 | |||
7,913,062 | |||||
Computer Software 3.4% | |||||
1,400 | Gemstar-TV Guide International, Inc.* | 126,350 | |||
11,900 | International Business Machines, Inc. | 1,570,800 | |||
35,400 | Microsoft Corp.* | 2,471,362 | |||
18,800 | Oracle Corp.* | 1,709,625 | |||
1,900 | VERITAS Software Corp.* | 229,069 | |||
6,107,206 | |||||
Consumer Services 0.2% | |||||
14,300 | Cendant Corp.* | 188,581 | |||
8,250 | Valassis Communications, Inc.* | 238,219 | |||
426,800 | |||||
Defense/Aerospace 0.1% | |||||
4,700 | Honeywell International, Inc. | 181,244 | |||
Shares |
Description | Value | |||
---|---|---|---|---|---|
Common Stocks (continued) | |||||
Department Store 0.0% | |||||
3,000 | The May Department Stores Co. | $ 68,813 | |||
Drugs 3.9% | |||||
5,500 | American Home Products Corp. | 298,031 | |||
7,200 | Amgen, Inc.* | 545,850 | |||
24,800 | Bristol-Myers Squibb Co. | 1,314,400 | |||
6,000 | Eli Lilly & Co. | 438,000 | |||
11,600 | Merck & Co., Inc. | 810,550 | |||
59,925 | Pfizer, Inc. | 2,591,756 | |||
3,717 | Pharmacia Corp. | 217,677 | |||
15,600 | Schering-Plough Corp. | 625,950 | |||
2,800 | SmithKline Beecham PLC ADR | 182,875 | |||
7,025,089 | |||||
Electronics Equipment 2.4% | |||||
2,400 | Corning, Inc. | 787,050 | |||
1,000 | Corvis Corp.* | 103,813 | |||
19,200 | Lucent Technologies, Inc. | 802,800 | |||
14,626 | Motorola, Inc. | 527,450 | |||
21,000 | Nortel Networks Corp. | 1,712,812 | |||
6,700 | QUALCOMM, Inc.* | 401,163 | |||
4,335,088 | |||||
Electrical Utilities 1.0% | |||||
3,200 | Duke Energy Corp. | 239,400 | |||
6,000 | Entergy Corp. | 182,625 | |||
4,400 | FPL Group, Inc. | 234,850 | |||
15,400 | Niagara Mohawk Holdings, Inc.* | 198,275 | |||
11,700 | The AES Corp.* | 745,875 | |||
3,400 | The Southern Co. | 101,787 | |||
1,700 | Unicom Corp. | 77,669 | |||
1,780,481 | |||||
Energy Resources 2.3% | |||||
7,098 | Anadarko Petroleum Corp. | 466,835 | |||
3,200 | Chevron Corp. | 270,400 | |||
2,900 | Enron Corp. | 246,138 | |||
23,445 | Exxon Mobil Corp. | 1,913,698 | |||
14,400 | Royal Dutch Petroleum Co. | 881,100 | |||
7,400 | Unocal Corp. | 246,975 | |||
6,000 | USX-Marathon Group | 164,625 | |||
4,189,771 | |||||
Entertainment 1.1% | |||||
15,500 | Carnival Corp. | 309,031 | |||
13,500 | The Walt Disney Co. | 525,656 | |||
16,277 | Viacom, Inc. Class B * | 1,095,646 | |||
1,930,333 | |||||
Environmental Services 0.0% | |||||
3,400 | Waste Management, Inc. | 64,388 | |||
Financial Services 1.1% | |||||
19,600 | Federal Home Loan Mortgage Corp. | 825,650 | |||
9,900 | Federal National Mortgage Assn. | 532,125 | |||
Shares |
Description | Value | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks (continued) | |||||||||||||||
Financial Services (continued) | |||||||||||||||
1,700 | Household International, Inc. | $ 81,600 | |||||||||||||
16,800 | MBNA Corp. | 593,250 | |||||||||||||
2,032,625 | |||||||||||||||
Food & Beverage 1.3% | |||||||||||||||
11,000 | Nabisco Group Holdings Corp. | 308,687 | |||||||||||||
15,000 | PepsiCo., Inc. | 639,375 | |||||||||||||
14,600 | The Coca-Cola Co. | 768,325 | |||||||||||||
4,800 | The Quaker Oats Co. | 326,100 | |||||||||||||
3,200 | Wm. Wrigley Jr. Co. | 237,000 | |||||||||||||
2,279,487 | |||||||||||||||
Forest 0.6% | |||||||||||||||
5,700 | Bowater, Inc. | 292,837 | |||||||||||||
1,700 | Fort James Corp. | 53,763 | |||||||||||||
14,400 | International Paper Co. | 459,000 | |||||||||||||
1,900 | Kimberly-Clark Corp. | 111,150 | |||||||||||||
2,700 | Weyerhaeuser Co. | 125,044 | |||||||||||||
1,041,794 | |||||||||||||||
Grocery 0.3% | |||||||||||||||
3,500 | Safeway, Inc.* | 172,594 | |||||||||||||
13,300 | The Kroger Co.* | 301,744 | |||||||||||||
474,338 | |||||||||||||||
Heavy Electrical 0.1% | |||||||||||||||
1,800 | Emerson Electric Co. | 119,138 | |||||||||||||
Heavy Machinery 0.1% | |||||||||||||||
6,600 | Crane Co. | 165,825 | |||||||||||||
2,700 | Deere & Co. | 88,931 | |||||||||||||
254,756 | |||||||||||||||
Home Products 0.9% | |||||||||||||||
5,600 | Avon Products, Inc. | 219,450 | |||||||||||||
11,100 | Colgate-Palmolive Co. | 565,406 | |||||||||||||
10,400 | Energizer Holdings, Inc.* | 205,400 | |||||||||||||
4,200 | The Gillette Co. | 126,000 | |||||||||||||
8,000 | The Procter & Gamble Co. | 494,500 | |||||||||||||
1,610,756 | |||||||||||||||
Hotels 0.6% | |||||||||||||||
16,300 | Harrahs Entertainment, Inc.* | 462,512 | |||||||||||||
8,400 | Marriott International, Inc. | 331,800 | |||||||||||||
10,300 | Starwood Hotels & Resorts Worldwide,
Inc. Class B |
329,600 | |||||||||||||
1,123,912 | |||||||||||||||
Industrial Parts 0.6% | |||||||||||||||
3,800 | Caterpillar, Inc. | 139,650 | |||||||||||||
4,400 | Parker-Hannifin Corp. | 153,175 | |||||||||||||
9,000 | Tyco International Ltd. | 513,000 | |||||||||||||
4,500 | United Technologies Corp. | 280,969 | |||||||||||||
1,086,794 | |||||||||||||||
Shares |
Description | Value | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks (continued) | |||||||||||||||
Information Services 0.5% | |||||||||||||||
6,000 | Automatic Data Processing, Inc. | $ 357,750 | |||||||||||||
1,600 | Electronic Data Systems Corp. | 79,700 | |||||||||||||
9,200 | First Data Corp. | 438,725 | |||||||||||||
876,175 | |||||||||||||||
Internet 0.9% | |||||||||||||||
11,800 | America Online, Inc.* | 691,775 | |||||||||||||
2,200 | CheckFree Corp.* | 113,988 | |||||||||||||
1,800 | DoubleClick, Inc.* | 73,237 | |||||||||||||
600 | E.piphany, Inc.* | 62,400 | |||||||||||||
300 | Juniper Networks, Inc.* | 63,063 | |||||||||||||
2,500 | S1 Corp.* | 43,594 | |||||||||||||
1,935 | VeriSign, Inc.* | 384,823 | |||||||||||||
2,200 | Yahoo!, Inc.* | 267,300 | |||||||||||||
1,700,180 | |||||||||||||||
Life Insurance 0.5% | |||||||||||||||
5,200 | AFLAC, Inc. | 280,800 | |||||||||||||
15,900 | MetLife, Inc.* | 386,569 | |||||||||||||
4,300 | Nationwide Financial Services, Inc. | 171,462 | |||||||||||||
838,831 | |||||||||||||||
Media 2.0% | |||||||||||||||
15,700 | A.H. Belo Corp. | 300,263 | |||||||||||||
28,660 | AT&T Corp.-Liberty Media Corp.* | 612,607 | |||||||||||||
2,500 | Cablevision Systems Corp.* | 168,125 | |||||||||||||
4,026 | Clear Channel Communications, Inc.* | 291,382 | |||||||||||||
11,300 | Comcast Corp. | 420,925 | |||||||||||||
3,400 | EchoStar Communications Corp.* | 165,750 | |||||||||||||
8,000 | Infinity Broadcasting Corp.* | 303,000 | |||||||||||||
1,400 | The News Corp. Ltd. ADR | 73,675 | |||||||||||||
15,900 | Time Warner, Inc. | 1,359,450 | |||||||||||||
3,695,177 | |||||||||||||||
Medical Products 0.6% | |||||||||||||||
3,500 | Abbott Laboratories | 153,125 | |||||||||||||
2,100 | Baxter International, Inc. | 174,825 | |||||||||||||
7,900 | Johnson & Johnson | 726,306 | |||||||||||||
1,054,256 | |||||||||||||||
Mining 0.2% | |||||||||||||||
8,900 | Alcoa, Inc. | 295,925 | |||||||||||||
Motor Vehicle 0.2% | |||||||||||||||
8,239 | Ford Motor Co. | 199,281 | |||||||||||||
3,008 | General Motors Corp. | 217,140 | |||||||||||||
416,421 | |||||||||||||||
Multi-Industry 2.1% | |||||||||||||||
64,200 | General Electric Co. | 3,767,737 | |||||||||||||
Oil Refining 0.1% | |||||||||||||||
3 | Conoco, Inc. Class B | 78 | |||||||||||||
4,600 | Texaco, Inc. | 236,900 | |||||||||||||
236,978 | |||||||||||||||
Shares |
Description | Value | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stocks (continued) | |||||||||||||||
Oil Services 0.9% | |||||||||||||||
1,500 | Baker Hughes, Inc. | $ 54,844 | |||||||||||||
1,900 | Diamond Offshore Drilling, Inc. | 85,144 | |||||||||||||
6,300 | Halliburton Co. | 333,900 | |||||||||||||
2,700 | Santa Fe International Corp. | 106,144 | |||||||||||||
10,300 | Schlumberger Ltd. | 878,718 | |||||||||||||
3,000 | Transocean Sedco Forex, Inc. | 179,250 | |||||||||||||
1,638,000 | |||||||||||||||
Property Insurance 1.7% | |||||||||||||||
5,700 | Ambac Financial Group, Inc. | 368,362 | |||||||||||||
15,847 | American International Group, Inc. | 1,412,364 | |||||||||||||
5,100 | The Hartford Financial Services Group,
Inc. |
339,788 | |||||||||||||
2,300 | The St. Paul Cos., Inc.* | 109,538 | |||||||||||||
12,600 | XL Capital Ltd. | 868,612 | |||||||||||||
3,098,664 | |||||||||||||||
Publishing 0.3% | |||||||||||||||
2,800 | Gannett Co., Inc. | 158,550 | |||||||||||||
6,200 | The New York Times Co. | 242,963 | |||||||||||||
3,200 | Tribune Co. | 114,200 | |||||||||||||
515,713 | |||||||||||||||
Railroads 0.1% | |||||||||||||||
5,700 | Canadian National Railway Co. | 167,794 | |||||||||||||
Restaurants 0.3% | |||||||||||||||
17,400 | McDonalds Corp. | 519,825 | |||||||||||||
Security/Asset Management 0.6% | |||||||||||||||
1,500 | Merrill Lynch & Co., Inc. | 217,500 | |||||||||||||
3,600 | Morgan Stanley Dean Witter & Co. | 387,225 | |||||||||||||
10,250 | The Charles Schwab Corp. | 391,422 | |||||||||||||
996,147 | |||||||||||||||
Semiconductors 3.5% | |||||||||||||||
2,100 | Advanced Micro Devices, Inc.* | 79,013 | |||||||||||||
1,800 | Altera Corp.* | 114,991 | |||||||||||||
2,300 | Analog Devices, Inc.* | 231,150 | |||||||||||||
3,800 | Applied Materials, Inc.* | 327,987 | |||||||||||||
200 | Broadcom Corp.* | 50,000 | |||||||||||||
47,200 | Intel Corp. | 3,534,100 | |||||||||||||
4,420 | JDS Uniphase Corp.* | 550,221 | |||||||||||||
600 | KLA-Tencor Corp.* | 39,375 | |||||||||||||
1,200 | Maxim Integrated Products, Inc.* | 105,225 | |||||||||||||
700 | Novellus Systems, Inc.* | 43,094 | |||||||||||||
500 | PMC-Sierra, Inc.* | 118,000 | |||||||||||||
11,600 | Texas Instruments, Inc. | 776,475 | |||||||||||||
3,000 | Xilinx, Inc.* | 266,625 | |||||||||||||
6,236,256 | |||||||||||||||
Specialty Retail 1.9% | |||||||||||||||
1,000 | Best Buy Co., Inc.* | 61,750 | |||||||||||||
8,000 | CVS Corp. | 297,000 | |||||||||||||
4,000 | RadioShack Corp. | 236,000 | |||||||||||||
16,750 | The Home Depot, Inc. | 805,047 | |||||||||||||
Shares |
Description | Value | |||
---|---|---|---|---|---|
Common Stocks (continued) | |||||
Specialty Retail (continued) | |||||
15,100 | Walgreen Co. | $ 496,412 | |||
33,500 | Wal-Mart Stores, Inc. | 1,589,156 | |||
3,485,365 | |||||
Telephone 1.8% | |||||
9,572 | AT&T Corp. | 301,518 | |||
1,200 | NEXTLINK Communications, Inc.* | 42,075 | |||
5,000 | Qwest Communications International,
Inc.* |
258,125 | |||
20,565 | SBC Communications, Inc. | 858,589 | |||
2,800 | Sprint Corp. | 93,800 | |||
19,842 | Verizon Communications | 865,607 | |||
20,550 | WorldCom, Inc.* | 750,075 | |||
3,169,789 | |||||
Tobacco 0.3% | |||||
21,100 | Philip Morris Cos., Inc. | 625,088 | |||
Wireless 0.9% | |||||
900 | ALLTEL Corp. | 45,506 | |||
12,300 | Crown Castle International Corp.* | 426,656 | |||
11,868 | General Motors Corp. Class H* | 393,127 | |||
9,800 | Sprint Corp. (PCS Group)* | 491,838 | |||
6,700 | Vodafone Group PLC ADR | 274,281 | |||
1,631,408 | |||||
TOTAL COMMON STOCKS | |||||
(Cost $62,725,091) | $ 86,033,724 | ||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Asset-Backed Securities 4.3% | ||||||||
Auto 0.0% | ||||||||
Fasco Auto Trust Series 1996-1, Class A | ||||||||
$ 16,249 | 6.65
|
%
|
11/15/2001 | $ 16,199 | ||||
|
||||||||
Credit Card 1.0% | ||||||||
Capital One Master Trust Series 2000-1, Class A | ||||||||
1,500,000 | 7.10 | 04/17/2006 | 1,508,760 | |||||
Standard Credit Card Master Trust I Series 1995-9, Class A | ||||||||
360,000 | 6.55 | 10/07/2007 | 352,818 | |||||
|
||||||||
1,861,578 | ||||||||
|
||||||||
Home Equity 2.2% | ||||||||
Contimortgage Home Equity Loan Series 1998-1, Class A5 | ||||||||
3,000,000 | 6.43 | 04/15/2016 | 2,953,200 | |||||
IMC Home Equity Loan Series 1996-3, Class A7 | ||||||||
1,000,000 | 8.05 | 08/25/2026 | 1,008,390 | |||||
|
||||||||
3,961,590 | ||||||||
|
||||||||
Lease 0.7% | ||||||||
First Sierra Receivables Series 1998-1, Class A4 | ||||||||
1,350,000 | 5.63 | 08/12/2004 | 1,323,972 | |||||
|
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Asset-Backed Securities (continued) | ||||||||
Manufactured Housing 0.4% | ||||||||
Mid-State Trust Series 4, Class A | ||||||||
$ 599,945 | 8.33 | % | 04/01/2030 | $ 605,296 | ||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Cost $7,937,393) | $ 7,768,635 | |||||||
Corporate Bonds 18.9% | ||||||||
Aerospace/Defense 0.3% | ||||||||
Raytheon Co. | ||||||||
$ 605,000 | 6.45 | % | 08/15/2002 | $ 594,963 | ||||
Airlines 0.6% | ||||||||
Continental Airlines, Inc. | ||||||||
332,733 | 6.54 | 09/15/2009 | 315,191 | |||||
Northwest Airlines, Inc. Class A | ||||||||
187,078 | 7.67 | 01/02/2015 | 181,832 | |||||
Northwest Airlines, Inc. Class C | ||||||||
201,599 | 8.97 | 01/02/2015 | 203,706 | |||||
NWA Trust Series A | ||||||||
52,725 | 8.26 | 03/10/2006 | 52,771 | |||||
US Airways, Inc. Class C | ||||||||
306,820 | 8.93 | 04/15/2008 | 291,443 | |||||
1,044,943 | ||||||||
Automotive 0.9% | ||||||||
Chrysler Corp. | ||||||||
90,000 | 7.45 | 03/01/2027 | 86,399 | |||||
Ford Motor Co. | ||||||||
390,000 | 6.63 | 10/01/2028 | 333,106 | |||||
Ford Motor Credit Co. | ||||||||
170,000 | 5.75 | 02/23/2004 | 161,529 | |||||
The Hertz Corp. | ||||||||
1,055,000 | 6.00 | 01/15/2003 | 1,026,762 | |||||
1,607,796 | ||||||||
Automotive Parts 0.5% | ||||||||
Federal-Mogul Corp. | ||||||||
250,000 | 7.50 | 01/15/2009 | 186,250 | |||||
Hayes Lemmerz International, Inc. Series B | ||||||||
250,000 | 8.25 | 12/15/2008 | 218,125 | |||||
TRW, Inc. | ||||||||
460,000 | 6.63 | 06/01/2004 | 442,454 | |||||
846,829 | ||||||||
Building Materials 0.1% | ||||||||
Owens Corning | ||||||||
520,000 | 7.50 | 05/01/2005 | 273,000 | |||||
Chemicals 0.3% | ||||||||
Lyondell Chemical Co. Series B | ||||||||
250,000 | 9.88 | 05/01/2007 | 255,000 | |||||
NL Industries, Inc. | ||||||||
250,000 | 11.75 | 10/15/2003 | 253,750 | |||||
508,750 | ||||||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Corporate Bonds (continued) | ||||||||
Commercial Banks 1.6% | ||||||||
Bank of America Corp. | ||||||||
$ 355,000 | 7.75 | % | 07/15/2002 | $ 358,702 | ||||
480,000 | 7.25 | 10/15/2025 | 448,949 | |||||
Citicorp | ||||||||
315,000 | 8.00 | 02/01/2003 | 319,867 | |||||
Continental Bank NA | ||||||||
100,000 | 12.50 | 04/01/2001 | 102,966 | |||||
First Union Corp. | ||||||||
290,000 | 7.10 | 08/15/2004 | 286,132 | |||||
Golden West Financial Corp. | ||||||||
200,000 | 10.25 | 12/01/2000 | 201,388 | |||||
Long Island Savings Bank | ||||||||
620,000 | 6.20 | 04/02/2001 | 617,066 | |||||
Wells Fargo & Co. | ||||||||
485,000 | 6.63 | 07/15/2004 | 475,848 | |||||
Wells Fargo Bank NA # | ||||||||
140,000 | 7.80 | 06/15/2010 | 141,842 | |||||
2,952,760 | ||||||||
Conglomerates 0.5% | ||||||||
Tyco International Group SA | ||||||||
875,000 | 5.88 | 11/01/2004 | 828,651 | |||||
Consumer Cyclicals 0.3% | ||||||||
United Rentals, Inc. Series B | ||||||||
500,000 | 8.80 | 08/15/2008 | 460,000 | |||||
Credit Card Banks 0.9% | ||||||||
Capital One Bank | ||||||||
500,000 | 6.39 | 03/05/2001 | 498,125 | |||||
150,000 | 6.15 | 06/01/2001 | 148,706 | |||||
300,000 | 6.76 | 07/23/2002 | 295,705 | |||||
500,000 | 6.38 | 02/15/2003 | 484,227 | |||||
Providian National Bank | ||||||||
250,000 | 6.65 | 02/01/2004 | 239,393 | |||||
1,666,156 | ||||||||
Electric 0.5% | ||||||||
CMS Energy Corp. Series B | ||||||||
150,000 | 7.38 | 11/15/2000 | 149,505 | |||||
Edison Mission Energy Funding | ||||||||
57,642 | 6.77 | 09/15/2003 | 55,761 | |||||
MidAmerican Energy Holdings Co. | ||||||||
250,000 | 7.23 | 09/15/2005 | 245,977 | |||||
Niagara Mohawk Power Co. | ||||||||
450,000 | 6.88 | 04/01/2003 | 445,878 | |||||
897,121 | ||||||||
Energy 1.1% | ||||||||
Gulf Canada Resources Ltd. | ||||||||
90,000 | 9.25 | 01/15/2004 | 91,238 | |||||
Occidental Petroleum Corp. | ||||||||
525,000 | 7.65 | 02/15/2006 | 527,390 | |||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
Petroleum Geo-Services ASA | ||||||||
$ 110,000 | 7.13 | % | 03/30/2028 | $ 94,349 | ||||
Phillips Petroleum Co. | ||||||||
160,000 | 8.50 | 05/25/2005 | 167,465 | |||||
The Williams Cos., Inc. | ||||||||
1,125,000 | 6.13 | 02/15/2002 | 1,103,642 | |||||
1,984,084 | ||||||||
Environmental 0.4% | ||||||||
Allied Waste North America, Inc. Series B | ||||||||
250,000 | 7.63 | 01/01/2006 | 229,688 | |||||
Waste Management, Inc.# | ||||||||
500,000 | 6.13 | 07/15/2001 | 488,701 | |||||
718,389 | ||||||||
Finance Companies 1.5% | ||||||||
Beneficial Corp. | ||||||||
1,350,000 | 6.43 | 04/10/2002 | 1,332,381 | |||||
Comdisco, Inc. | ||||||||
965,000 | 6.13 | 01/15/2003 | 900,160 | |||||
400,000 | 9.50 | 08/15/2003 | 401,272 | |||||
2,633,813 | ||||||||
Food 0.1% | ||||||||
International Home Foods, Inc. | ||||||||
250,000 | 10.38 | 11/01/2006 | 267,500 | |||||
Health Care 0.1% | ||||||||
Tenet Healthcare Corp. | ||||||||
175,000 | 8.63 | 12/01/2003 | 174,781 | |||||
Insurance Companies 0.1% | ||||||||
Conseco, Inc. | ||||||||
260,000 | 8.50 | 10/15/2002 | 166,400 | |||||
Lodging 0.3% | ||||||||
ITT Corp. | ||||||||
50,000 | 6.25 | 11/15/2000 | 49,834 | |||||
465,000 | 6.75 | 11/15/2003 | 444,932 | |||||
494,766 | ||||||||
Media-Cable 1.6% | ||||||||
Adelphia Communications Corp. | ||||||||
125,000 | 7.88 | 05/01/2009 | 105,937 | |||||
125,000 | 9.38 | 11/15/2009 | 116,094 | |||||
Charter Communications Holdings LLC | ||||||||
250,000 | 8.25 | 04/01/2007 | 230,000 | |||||
Comcast UK Cable Partners Ltd.+ | ||||||||
125,000 | 0.00/11.20 | 11/15/2007 | 116,562 | |||||
Cox Communications, Inc. | ||||||||
145,000 | 7.50 | 08/15/2004 | 145,293 | |||||
60,000 | 6.40 | 08/01/2008 | 55,894 | |||||
50,000 | 6.80 | 08/01/2028 | 43,054 | |||||
Lenfest Communications, Inc. | ||||||||
300,000 | 8.38 | 11/01/2005 | 311,317 | |||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Corporate Bonds (continued) | ||||||||
Media-Cable (continued) | ||||||||
Rogers Cablesystems Ltd. | ||||||||
$ 115,000 | 9.63 | % | 08/01/2002 | $ 117,300 | ||||
Telewest Communications PLC+ | ||||||||
250,000 | 0.00/11.00 | 10/01/2007 | 238,437 | |||||
250,000 | 0.00/9.25 | | 04/15/2009 | 138,750 | ||||
Time Warner Entertainment Co. | ||||||||
445,000 | 9.63 | 05/01/2002 | 460,663 | |||||
Time Warner, Inc. | ||||||||
250,000 | 7.98 | 08/15/2004 | 256,350 | |||||
565,000 | 7.75 | 06/15/2005 | 575,031 | |||||
2,910,682 | ||||||||
Media-Non Cable 1.5% | ||||||||
Clear Channel Communications, Inc. | ||||||||
250,000 | 8.00 | 11/01/2008 | 252,500 | |||||
Crown Castle International Corp.+ | ||||||||
250,000 | 0.00/10.38 | 05/15/2011 | 162,500 | |||||
J. Seagram & Sons, Inc. | ||||||||
275,000 | 6.25 | 12/15/2001 | 271,542 | |||||
News America Holdings, Inc. | ||||||||
245,000 | 8.50 | 02/15/2005 | 254,398 | |||||
135,000 | 8.00 | 10/17/2016 | 131,362 | |||||
225,000 | 7.25 | 05/18/2018 | 202,962 | |||||
PanAmSat Corp. | ||||||||
205,000 | 6.13 | 01/15/2005 | 191,185 | |||||
Viacom, Inc. | ||||||||
205,000 | 8.88 | 06/01/2001 | 206,905 | |||||
900,000 | 6.75 | 01/15/2003 | 890,487 | |||||
120,000 | 7.70 | 07/30/2010 | 121,633 | |||||
2,685,474 | ||||||||
Mortgage Banks 0.6% | ||||||||
Countrywide Capital III Series B | ||||||||
330,000 | 8.05 | 06/15/2027 | 298,852 | |||||
Countrywide Home Loans, Inc. | ||||||||
850,000 | 6.45 | 02/27/2003 | 830,851 | |||||
1,129,703 | ||||||||
Paper 0.3% | ||||||||
Packaging Corp. of America | ||||||||
250,000 | 9.63 | 04/01/2009 | 256,250 | |||||
Riverwood International Corp. | ||||||||
250,000 | 10.63 | 08/01/2007 | 255,000 | |||||
511,250 | ||||||||
REIT 0.9% | ||||||||
Chelsea GCA Realty, Inc. | ||||||||
656,000 | 7.75 | 01/26/2001 | 655,707 | |||||
Liberty Property LP | ||||||||
205,000 | 7.10 | 08/15/2004 | 198,362 | |||||
Meditrust Cos. | ||||||||
215,000 | 7.82 | 09/10/2026 | 165,550 | |||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Corporate Bonds (continued) | ||||||||
REIT (continued) | ||||||||
Simon Property Group LP | ||||||||
$ 675,000 | 6.63 | % | 06/15/2003 | $ 649,364 | ||||
1,668,983 | ||||||||
Retailers 0.1% | ||||||||
Kmart Corp. | ||||||||
165,000 | 8.38 | 12/01/2004 | 155,994 | |||||
Supermarkets 0.3% | ||||||||
Ahold Finance USA, Inc. | ||||||||
115,000 | 8.25 | 07/15/2010 | 115,809 | |||||
Fred Meyer, Inc. | ||||||||
260,000 | 7.45 | 03/01/2008 | 250,881 | |||||
Safeway, Inc. | ||||||||
265,000 | 6.05 | 11/15/2003 | 254,539 | |||||
621,229 | ||||||||
Technology 0.1% | ||||||||
Flextronics International Ltd. | ||||||||
125,000 | 9.88 | 07/01/2010 | 129,687 | |||||
Telecommunications 2.1% | ||||||||
360 Communications Co. | ||||||||
575,000 | 7.13 | 03/01/2003 | 575,062 | |||||
Alaska Communications Holdings, Inc. | ||||||||
125,000 | 9.38 | 05/15/2009 | 115,000 | |||||
AT&T Canada, Inc.+ | ||||||||
345,000 | 0.00/9.95 | 06/15/2008 | 280,313 | |||||
Deutsche Telekom AG | ||||||||
305,000 | 7.75 | 06/15/2005 | 308,756 | |||||
Global Crossing Holdings Ltd. | ||||||||
125,000 | 9.13 | 11/15/2006 | 124,063 | |||||
Intermedia Communications, Inc. Series B | ||||||||
250,000 | 8.60 | 06/01/2008 | 205,000 | |||||
MCI WorldCom, Inc. | ||||||||
275,000 | 6.40 | 08/15/2005 | 264,041 | |||||
Metromedia Fiber Network, Inc. | ||||||||
125,000 | 10.00 | 12/15/2009 | 123,125 | |||||
Nextel Communications, Inc. | ||||||||
250,000 | 9.38 | 11/15/2009 | 245,000 | |||||
Price Communications Wireless, Inc. Series B | ||||||||
250,000 | 9.13 | 12/15/2006 | 255,000 | |||||
Qwest Corp. | ||||||||
425,000 | 7.63 | 06/09/2003 | 427,905 | |||||
Sprint Capital Corp. | ||||||||
565,000 | 5.88 | 05/01/2004 | 537,389 | |||||
130,000 | 6.88 | 11/15/2028 | 111,125 | |||||
Tele-Communications, Inc. | ||||||||
100,000 | 9.65 | 10/01/2003 | 103,325 | |||||
US West Capital Funding, Inc. | ||||||||
200,000 | 6.88 | 07/15/2028 | 171,504 | |||||
3,846,608 | ||||||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Corporate Bonds (continued) | ||||||||
Tobacco 0.6% | ||||||||
Philip Morris Cos., Inc. | ||||||||
$ 400,000 | 9.00 | % | 01/01/2001 | $ 401,492 | ||||
150,000 | 7.00 | 07/15/2005 | 143,157 | |||||
195,000 | 6.95 | 06/01/2006 | 192,652 | |||||
R.J. Reynolds Tobacco Holdings, Inc. | ||||||||
355,000 | 7.38 | 05/15/2003 | 335,475 | |||||
1,072,776 | ||||||||
Yankee Bonds 0.7% | ||||||||
HSBC Holdings PLC | ||||||||
110,000 | 7.50 | 07/15/2009 | 109,907 | |||||
National Westminster Bank PLC | ||||||||
260,000 | 7.38 | 10/01/2009 | 257,192 | |||||
Province of Quebec | ||||||||
730,000 | 7.50 | 07/15/2023 | 733,478 | |||||
105,000 | 5.74 | 03/02/2026 | 104,354 | |||||
Province of Saskatchewan | ||||||||
90,000 | 8.50 | 07/15/2022 | 101,427 | |||||
1,306,358 | ||||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $35,694,101) | $ 34,159,446 | |||||||
Emerging Market Debt 3.9% | ||||||||
Federal Republic of Brazil | ||||||||
$ 100,000 | 12.25 | % | 03/06/2030 | $ 98,438 | ||||
60,000 | 11.00 | 08/17/2040 | 49,125 | |||||
Federal Republic of Brazil C-Bonds | ||||||||
149,000 | 8.00 | 04/15/2014 | 115,196 | |||||
Federal Republic of Germany | ||||||||
2,000,000 | 5.25 | 07/04/2010 | 1,769,817 | |||||
Grupo Industrial Durango SA | ||||||||
100,000 | 12.63 | 08/01/2003 | 101,486 | |||||
Hanvit Bank | ||||||||
170,000 | 11.75 | 03/01/2010 | 170,650 | |||||
MRS Logistica SA | ||||||||
100,000 | 10.63 | 08/15/2005 | 88,392 | |||||
National Power Corp. | ||||||||
240,000 | 7.63 | 11/15/2000 | 239,564 | |||||
National Republic of Bulgaria# | ||||||||
490,000 | 2.75 | 07/28/2012 | 372,706 | |||||
Petroleos Mexicanos# | ||||||||
160,000 | 9.50 | 09/15/2027 | 166,400 | |||||
PTC International Finance BV+ | ||||||||
210,000 | 0.00/10.75 | 07/01/2007 | 155,400 | |||||
Republic of France | ||||||||
2,050,000 | 5.00 | 07/12/2005 | 1,796,229 | |||||
Republic of Panama | ||||||||
70,000 | 7.88 | 02/13/2002 | 69,256 | |||||
390,793 | 7.93 | # | 05/14/2002 | 386,641 | ||||
140,000 | 10.75 | 05/15/2020 | 142,371 | |||||
160,000 | 9.38 | 04/01/2029 | 157,700 | |||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Emerging Market Debt (continued) | ||||||||
Republic of Peru# | ||||||||
$ 460,000 | 3.75 | % | 03/07/2017 | $ 298,713 | ||||
Republic of Philippines | ||||||||
130,000 | 9.50 | 10/21/2024 | 124,069 | |||||
270,000 | 10.63 | 03/16/2025 | 238,194 | |||||
Republic of Poland+ | ||||||||
150,000 | 0.00/4.00 | 10/27/2024 | 95,625 | |||||
Republic of Turkey | ||||||||
80,000 | 11.75 | 06/15/2010 | 84,000 | |||||
State of Qatar | ||||||||
130,000 | 9.50 | 05/21/2009 | 136,500 | |||||
70,000 | 9.75 | | 06/15/2030 | 72,581 | ||||
TFM, SA de CV+ | ||||||||
140,000 | 0.00/11.75 | 06/15/2009 | 109,200 | |||||
United Mexican States | ||||||||
60,000 | 9.88 | 02/01/2010 | 64,275 | |||||
TOTAL EMERGING MARKET DEBT | ||||||||
(Cost $7,035,101) | $ 7,102,528 | |||||||
Mortgage Backed Obligations 21.4% | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC) 5.7% | ||||||||
$ 973,411 | 7.00 | % | 11/01/2025 | $ 953,602 | ||||
746,675 | 6.00 | 11/01/2028 | 694,766 | |||||
1,946,115 | 6.00 | 01/01/2029 | 1,810,821 | |||||
7,000,000 | 7.50 | TBA-30 yrD | 6,962,250 | |||||
10,421,439 | ||||||||
Federal National Mortgage Association (FNMA) 5.8% | ||||||||
$ 189,939 | 6.50 | % | 09/01/2025 | $ 182,271 | ||||
205,973 | 6.50 | 10/01/2025 | 197,658 | |||||
262,255 | 6.50 | 11/01/2025 | 252,150 | |||||
171,010 | 6.50 | 02/01/2028 | 163,724 | |||||
876,781 | 6.50 | 03/01/2028 | 838,220 | |||||
389,572 | 6.50 | 07/01/2028 | 372,438 | |||||
55,800 | 6.50 | 08/01/2028 | 53,346 | |||||
877,098 | 6.00 | 09/01/2028 | 815,754 | |||||
415,988 | 6.50 | 11/01/2028 | 397,693 | |||||
2,716,227 | 6.00 | 12/01/2028 | 2,526,255 | |||||
497,654 | 6.50 | 12/01/2028 | 475,767 | |||||
60,186 | 6.00 | 01/01/2029 | 55,977 | |||||
37,479 | 6.50 | 01/01/2029 | 35,831 | |||||
121,930 | 6.00 | 02/01/2029 | 113,402 | |||||
629,502 | 6.00 | 03/01/2029 | 585,474 | |||||
127,619 | 6.50 | 04/01/2029 | 121,957 | |||||
136,655 | 6.50 | 05/01/2029 | 130,592 | |||||
156,760 | 6.50 | 10/01/2029 | 149,805 | |||||
1,000,000 | 7.00 | 11/01/2029 | 975,310 | |||||
1,000,100 | 8.00 | 08/01/2030 | 1,009,631 | |||||
1,000,000 | 8.50 | TBA-30 yrD | 1,019,062 | |||||
10,472,317 | ||||||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | |||||
---|---|---|---|---|---|---|---|---|
Mortgage Backed Obligations (continued) | ||||||||
Government National Mortgage Association (GNMA) 6.6% | ||||||||
$ 150,729 | 6.50 | % | 06/15/2023 | $ 145,456 | ||||
647,739 | 6.50 | 08/15/2023 | 625,081 | |||||
1,171,091 | 6.50 | 09/15/2023 | 1,130,126 | |||||
198,047 | 6.50 | 10/15/2023 | 191,119 | |||||
1,782,164 | 6.50 | 11/15/2023 | 1,719,824 | |||||
387,944 | 6.50 | 12/15/2023 | 374,374 | |||||
665,175 | 6.50 | 01/15/2024 | 641,741 | |||||
106,640 | 6.50 | 03/15/2024 | 102,883 | |||||
1,357,353 | 6.50 | 04/15/2024 | 1,309,534 | |||||
1,904,626 | 6.50 | 03/15/2026 | 1,834,173 | |||||
941,807 | 6.50 | 05/15/2026 | 906,970 | |||||
901,083 | 6.50 | 01/15/2029 | 864,760 | |||||
245,518 | 8.00 | 10/15/2029 | 249,294 | |||||
480,845 | 8.00 | 07/15/2030 | 488,044 | |||||
1,273,816 | 8.00 | 08/15/2030 | 1,292,885 | |||||
11,876,264 | ||||||||
Collateralized Mortgage Obligations (CMOs) 3.3% | ||||||||
Inverse Floater# 0.9% | ||||||||
FHLMC-GNMA Series 14, Class SB | ||||||||
$ 914,509 | 3.71 | % | 06/25/2023 | $ 718,109 | ||||
FNMA Series 1993-248, Class SA | ||||||||
1,000,000 | 3.96 | 08/25/2023 | 869,945 | |||||
$ 1,588,054 | ||||||||
Non-Agency CMOs 2.4% | ||||||||
Asset Securitization Corp. Series 1997-D4, Class A 1D | ||||||||
$ 450,000 | 7.49 | % | 04/14/2029 | $ 454,302 | ||||
CS First Boston Mortgage Securities Corp. Series 1997-C2,
Class A2 |
||||||||
700,000 | 6.52 | 07/17/2007 | 680,596 | |||||
CS First Boston Mortgage Securities Corp. Series 1999-C1,
Class A1 |
||||||||
954,634 | 6.91 | 01/15/2008 | 945,063 | |||||
First Union-Lehman Brothers Commercial Mortgage Services
Series 1997-C1, Class A2 |
||||||||
300,000 | 7.30 | 12/18/2006 | 301,853 | |||||
Merrill Lynch Mortgage Investors, Inc. Series 1998-C2,
Class A2 |
||||||||
2,000,000 | 6.39 | 02/15/2030 | 1,902,940 | |||||
$ 4,284,754 | ||||||||
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS (CMOS) |
$ 5,872,808 | |||||||
TOTAL MORTGAGE BACKED OBLIGATIONS | ||||||||
(Cost $38,418,279) | $ 38,642,828 | |||||||
Principal
Amount |
Interest
Rate |
Maturity
Date |
Value | ||||||
---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligations 2.9% | |||||||||
U.S. Treasury Note | |||||||||
$ | 1,800,000 | 5.75 | % | 11/30/2002 | $ 1,783,688 | ||||
U.S. Treasury Principal-Only Stripped Securities @ | |||||||||
2,000,000 | 6.10 | 11/15/2018 | 686,638 | ||||||
4,650,000 | 6.08 | 05/15/2020 | 1,464,606 | ||||||
1,290,000 | 5.99 | 11/15/2024 | 319,506 | ||||||
1,000,000 | 5.96 | 08/15/2025 | 238,349 | ||||||
3,310,000 | 5.92 | 08/15/2026 | 750,539 | ||||||
|
|||||||||
TOTAL U.S. TREASURY OBLIGATIONS | |||||||||
(Cost $5,009,370) | $ 5,243,326 | ||||||||
|
|||||||||
Repurchase Agreement 3.9% | |||||||||
Joint Repurchase Agreement Account IIÙ | |||||||||
$ | 7,100,000 | 6.66 | % | 09/01/2000 | $ 7,100,000 | ||||
|
|||||||||
TOTAL REPURCHASE AGREEMENT | |||||||||
(Cost $7,100,000) | $ 7,100,000 | ||||||||
|
|||||||||
TOTAL INVESTMENTS | |||||||||
(Cost $163,919,335) | $ 186,050,487 | ||||||||
|
*
|
Non-income producing security.
|
Ù
|
Joint repurchase agreement was entered into on August 31, 2000.
|
#
|
Variable rate security. Coupon rate disclosed is that which is in effect at August 31, 2000.
|
D
|
TBA (To Be Assigned) securities are purchased on a forward commitment basis with an approximate (generally ± 2.5%)
principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned.
|
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to
qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounted to $1,156,110 at August 31, 2000.
|
+
|
These securities are issued with a zero coupon which increases to the stated rate at a set date in the future.
|
@
|
Security is issued with a zero coupon. The interest rate disclosed for this security represents effective yield to maturity.
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of total net
assets.
|
|
Investment Abbreviations:
|
ADRAmerican Depositary Receipt
|
|
Assets: | |||
Investment in securities, at value (identified cost $163,919,335) | $186,050,487 | ||
Cash (a) | 900,000 | ||
Receivables: | |||
Investment securities sold | 9,421,378 | ||
Interest and dividends, at value | 1,052,930 | ||
Variation margin | 160,771 | ||
Forward foreign currency exchange contracts, at value | 93,216 | ||
Reimbursement from investment adviser | 78,839 | ||
Fund shares sold | 77,176 | ||
Other assets | 10,223 | ||
Total assets | 197,845,020 | ||
Liabilities: | |||
Due to custodian | 599,135 | ||
Payables: | |||
Investment securities purchased | 14,954,212 | ||
Fund shares repurchased | 535,001 | ||
Amounts owed to affiliates | 192,295 | ||
Forward sale contract, at value | 929,062 | ||
Accrued expenses and other liabilities | 60,696 | ||
Total liabilities | 17,270,401 | ||
Net Assets: | |||
Paid-in capital | 155,500,515 | ||
Accumulated undistributed net investment income | 2,189,502 | ||
Accumulated net realized gain from investment, futures, options and foreign currency related transactions | 254,867 | ||
Net unrealized gain on investments, futures and translation of assets and liabilities denominated in foreign currency | 22,629,735 | ||
NET ASSETS | $180,574,619 | ||
Net asset value, offering and redemption price per share: (b) | |||
Class A | $21.42 | ||
Class B | $21.27 | ||
Class C | $21.25 | ||
Institutional | $21.46 | ||
Service | $21.41 | ||
Shares outstanding: | |||
Class A | 6,332,281 | ||
Class B | 1,587,217 | ||
Class C | 407,509 | ||
Institutional | 116,883 | ||
Service | 794 | ||
Total shares outstanding, $.001 par value (unlimited number of shares authorized) | 8,444,684 | ||
(a)
|
Restricted cash relating to initial margin requirements and collateral on futures transactions.
|
(b)
|
Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares is $22.67. 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.
|
Investment income: | ||||||||||
Interest | $ 7,062,157 | |||||||||
Dividends (a) | 1,080,922 | |||||||||
Total income | 8,143,079 | |||||||||
Expenses: | ||||||||||
Management fees | 1,303,563 | |||||||||
Distribution and Service fees (b) | 844,254 | |||||||||
Transfer Agent fees (c) | 377,304 | |||||||||
Custodian fees | 189,959 | |||||||||
Registration fees | 59,552 | |||||||||
Professional fees | 47,686 | |||||||||
Trustee fees | 8,729 | |||||||||
Amortization of deferred organization expenses | 1,507 | |||||||||
Other | 102,056 | |||||||||
Total expenses | 2,934,610 | |||||||||
Less expense reductions | (350,424 | ) | ||||||||
Net expenses | 2,584,186 | |||||||||
NET INVESTMENT INCOME | 5,558,893 | |||||||||
Realized and unrealized gain (loss) on investment, futures, options and foreign currency related transactions: | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investment transactions | 638,987 | |||||||||
Options written | 35,020 | |||||||||
Futures transactions | 731,379 | |||||||||
Foreign currency related transactions | (6,765 | ) | ||||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments | 14,367,213 | |||||||||
Options written | (11,670 | ) | ||||||||
Futures | 695,504 | |||||||||
Translation of assets and liabilities denominated in foreign currencies | 130,383 | |||||||||
Net realized and unrealized gain on investment, futures, options and foreign currency related transactions | 16,580,051 | |||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $22,138,944 | |||||||||
(a)
|
Foreign taxes withheld on dividends were $4,197.
|
(b)
|
Class A, Class B and Class C had Distribution and Service fees of $378,767, $369,057 and $96,430, respectively.
|
(c)
|
Class A, Class B, Class C, Institutional Class and Service Class had Transfer Agent fees of $287,864, $70,121, $18,322, $991 and
$6, respectively.
|
For the
Year Ended August 31, 2000 |
For the
Seven Months Ended August 31, 1999 |
For the
Year Ended January 31, 1999 |
||||||||
---|---|---|---|---|---|---|---|---|---|---|
From operations: | ||||||||||
Net investment income | $ 5,558,893 | $ 3,460,485 | $ 6,835,375 | |||||||
Net realized gain (loss) from investment, futures, options and foreign currency related
transactions |
1,398,621 | 6,012,842 | (3,394,596 | ) | ||||||
Net change in unrealized gain (loss) on investments, futures, options and translation of
assets and liabilities denominated in foreign currencies |
15,181,430 | (7,516,307 | ) | 4,114,362 | ||||||
Net increase in net assets resulting from operations | 22,138,944 | 1,957,020 | 7,555,141 | |||||||
Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (3,728,709 | ) | (2,035,907 | ) | (5,454,393 | ) | ||||
Class B Shares | (664,618 | ) | (312,410 | ) | (858,147 | ) | ||||
Class C Shares | (176,298 | ) | (88,561 | ) | (325,754 | ) | ||||
Institutional Shares | (68,550 | ) | (66,533 | ) | (294,710 | ) | ||||
Service Shares | (353 | ) | (2,011 | ) | (7,267 | ) | ||||
From net realized gains | ||||||||||
Class A Shares | (6,165,905 | ) | | | ||||||
Class B Shares | (1,496,998 | ) | | | ||||||
Class C Shares | (399,802 | ) | | | ||||||
Institutional Shares | (97,914 | ) | | | ||||||
Service Shares | (569 | ) | | | ||||||
Total distributions to shareholders | (12,799,716 | ) | (2,505,422 | ) | (6,940,271 | ) | ||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 14,022,180 | 22,988,417 | 116,979,156 | |||||||
Reinvestment of dividends and distributions | 12,298,235 | 2,398,095 | 6,132,572 | |||||||
Cost of shares repurchased | (78,654,543 | ) | (60,433,602 | ) | (69,069,832 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (52,334,128 | ) | (35,047,090 | ) | 54,041,896 | |||||
TOTAL INCREASE (DECREASE) | (42,994,900 | ) | (35,595,492 | ) | 54,656,766 | |||||
Net assets: | ||||||||||
Beginning of period | 223,569,519 | 259,165,011 | 204,508,245 | |||||||
End of period | $180,574,619 | $223,569,519 | $259,165,011 | |||||||
Accumulated undistributed net investment income | $ 2,189,502 | $ 1,302,040 | $ 375,856 | |||||||
1. ORGANIZATION
|
Goldman Sachs Trust (the Trust) is a Delaware business trust registered under the Investment Company Act of 1940 (as
amended) as an open-end management investment company. The Trust includes the Goldman Sachs Balanced Fund (the Fund). The Fund is a diversified portfolio offering five classes of shares Class A, Class B, Class C, Institutional
and Service.
|
2. SIGNIFICANT ACCOUNTING POLICIES
|
The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial
statements in conformity 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. Effective for fiscal year 1999, the Board
of Trustees approved a change in the fiscal year-end of the Fund from January 31 to August 31. Accordingly, the Statements of Changes in Net Assets, Summary of Share Transactions and Financial Highlights of the Fund are included for the seven months ended
August 31, 1999 and the year ended January 31, 1999.
|
A. Investment Valuation Investments in
securities traded on a U.S. or foreign securities exchange or the NASDAQ system are valued daily at their last sale on the principal exchange on which they are traded. If no sale occurs, securities are valued at the last bid price. Debt securities are
valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity and debt securities for which market quotations are available are valued at the last sale price on valuation date, or
if no sale occurs, at the last bid price. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available are valued at fair value using
methods approved by the Board of Trustees of the Trust.
|
Investing in emerging markets may involve special risks and considerations not
typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued
in these markets may be less liquid, subject to government ownership controls, delayed settlements, and their prices more volatile than those of comparable securities in the United States.
|
B. Security Transactions and Investment Income Security transactions are recorded as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes
where applicable. Dividends for which the Fund has the choice to receive either cash or stock are recognized as investment income in an amount equal to the cash dividend. Interest income is recorded on the basis of interest accrued, premium amortized and
discount earned. However, the Fund does not amortize premiums on U.S. Government and corporate bonds.
|
Net investment income (other than class specific expenses) and unrealized and
realized gains or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
|
C. Federal Taxes It is the Funds
policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no
federal tax provision is required. Income distributions, if any, are declared and paid quarterly. Capital gains distributions, if any, are declared and paid annually.
|
The characterization of distributions to shareholders for financial reporting
purposes is determined in accordance with income tax rules. Therefore, the source of the Funds distributions may be shown in the accompanying financial statements as either from or in excess of net investment income or net realized gain on
investment transactions, or from paid-in capital, depending on the type of book/tax differences that may exist.
|
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
|
At August 31, 2000, the aggregate cost of portfolio securities for federal income
tax purposes is $165,174,184. Accordingly, the gross unrealized gain on investments was $26,179,794 and the gross unrealized loss on investments was $5,303,491 resulting in a net unrealized gain of $20,876,303.
|
D. Expenses Expenses incurred by the
Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line or pro rata basis depending upon the nature of the expense.
|
Class A, Class B and Class C Shares bear all expenses and fees relating to their
respective Distribution and Service plans. Shareholders of Service Shares bear all expenses and fees paid to service organizations. Each class of shares separately bears its respective class-specific Transfer Agency fees.
|
E. Mortgage Dollar Rolls The Fund may
enter into mortgage dollar rolls in which the Fund sells securities in the current month for delivery and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities
on a specified future date. For financial reporting and tax reporting purposes, the Fund treats mortgage dollar rolls as two separate transactions; one involving the purchase of a security and a separate transaction involving a sale.
|
F. Foreign Currency Translations The
books and records of the Fund are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially
expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange
rates prevailing on the respective dates of such transactions.
|
Net realized and unrealized gain (loss) on foreign currency transactions will
represent: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) gains and losses from the sale of investments (applicable to fixed income securities); (iii) currency gains and losses between trade date and
settlement date on investment securities transactions and forward exchange contracts; and (iv) gains and losses from the difference between amounts of dividends and interest recorded and the amounts actually received.
|
G. Segregation Transactions The Fund may
enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, mortgage dollar rolls, when-issued securities and forward commitments represent examples of such
transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets on the accounting records equal to or greater than the market value of the corresponding transactions.
|
H. Forward Sales Contracts The Fund may
enter into forward security sales of mortgage backed securities in which the Fund sells securities in the current month for delivery of securities defined by pool stipulated characteristics on a specified future date. The value of the contract is recorded
as a liability on the Funds records with the difference between its market value and cash proceeds received being recorded as an unrealized gain or loss. Gains or losses are realized upon delivery of the security.
|
I. Deferred Organization Expenses
Organization-related costs are being amortized on a straight-line basis over a period of five years.
|
J. Repurchase Agreements Repurchase
agreements involve the purchase of securities subject to the sellers agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities, including accrued
interest, is required to equal or exceed the value of the repurchase agreement. The underlying securities for all repurchase agreements are held in safekeeping at the Funds custodian.
|
3. AGREEMENTS
|
Pursuant to the Investment Management Agreement (the Agreement), Goldman Sachs Asset Management, (GSAM), a
unit of the Investment Management Division of Goldman, Sachs & Co. (Goldman Sachs), serves as the investment adviser to the Fund. Under the Agreement, the adviser, subject to the general supervision of the Trusts Board of Trustees,
manages the Funds portfolio. As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Funds business affairs, including providing facilities, the adviser is
entitled to a fee, computed daily and payable monthly, at an annual rate equal to 0.65% of the average daily net assets of the Fund.
|
The adviser has voluntarily agreed to limit certain Other Expenses of
the Fund (excluding Management fees, Distribution and Service fees, Transfer Agent fees, taxes, interest, brokerage, litigation, Service Share fees, indemnification costs and other extraordinary expenses), to the extent that such expenses exceed, on an
annual basis, 0.06% (.01% prior to May 1, 2000) of the average daily net assets of the Fund. For the year ended August 31, 2000, Goldman Sachs has agreed to reimburse approximately $342,000. In addition, the Fund has entered into certain offset
arrangements with the custodian resulting in a reduction in the Funds expenses. For the year ended August 31, 2000, custody fees were reduced by approximately $8,000.
|
The Trust, on behalf of the Fund, has adopted Distribution and Service Plans.
Under the Distribution and Service Plans, Goldman Sachs and/or authorized dealers are entitled to a monthly fee from the Fund for distribution and shareholder maintenance services equal, on an annual basis, to 0.25%, 1.00% and 1.00% of the Funds
average daily net assets attributable to Class A, Class B and Class C Shares, respectively.
|
Goldman Sachs serves as the distributor of shares of the Fund pursuant to a
Distribution Agreement. Goldman Sachs may receive a portion of the Class A sales load and Class B and Class C contingent deferred sales charges and has advised the Fund that it retained approximately $22,000 during the year ended August 31, 2000.
|
Goldman Sachs also serves as the transfer agent of the Fund for a fee. The fees
charged for such transfer agency services are calculated daily and payable monthly at an annual rate as follows: 0.19% of the average daily net assets for Class A, Class B and Class C Shares and 0.04% of the average daily net assets for Institutional and
Service Shares.
|
The Trust, on behalf of the Fund, has adopted a Service Plan. This plan allows for
Service Shares to compensate service organizations for providing varying levels of account administration and shareholder liaison services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the
service organizations in an amount up to 0.50% (on a annualized basis) of the average daily net asset value of the Service Shares.
|
As of August 31, 2000, the amounts owed to affiliates were approximately $99,000,
$64,000 and $29,000 for Management, Distribution and Service, and Transfer Agent fees, respectively.
|
4. PORTFOLIO SECURITIES TRANSACTIONS
|
The cost of purchases and proceeds of sales and maturities of securities (excluding short-term investments, futures and options)
for the year ended August 31, 2000, were $300,414,813 and $351,951,681, respectively. Included in these amounts are purchases and proceeds of sales and maturities of U.S. Government and agency obligations in the amounts of $205,615,990 and $201,945,316,
respectively. For the year ended August 31, 2000, Goldman Sachs earned approximately $26,000 of brokerage commissions from portfolio transactions, including futures transactions executed on behalf of the Fund.
|
Forward Foreign Currency Exchange Contracts The
Fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Fund may
also purchase and sell forward contracts to seek to increase total return. All commitments are marked-to-market daily at the applicable translation rates. The Fund realizes gains or losses at the time a forward contract is offset by entry into
a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar.
|
4. PORTFOLIO SECURITIES TRANSACTIONS (continued)
|
At August 31, 2000, forward foreign currency exchange contracts were as follows:
|
Open Forward Foreign
Currency Sale Contracts |
Value on
Settlement Date |
Current Value | Unrealized Gain | ||||
---|---|---|---|---|---|---|---|
Euro
expiring 10/13/2000 |
$3,726,992 | $3,633,776 | $93,216 | ||||
The contractual amounts of forward foreign currency contracts do not necessarily
represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. At August 31, 2000, the Fund had sufficient cash and
securities to cover any commitments under these contracts.
|
Option Accounting Principles When the Fund writes
call or put options, an amount equal to the premium received is recorded as an asset and as an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When a written
option expires on its stipulated expiration date or the Fund enters into a closing purchase transaction, the Fund realizes a gain or loss without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is
extinguished. When a written call option is exercised, the Fund realizes a gain or loss from the sale of the underlying security, and the proceeds of the sale are increased by the premium originally received. When a written put option is exercised, the
amount of the premium originally received will reduce the cost of the security which the Fund purchases upon exercise. There is a risk of loss from a change in value of such options which may exceed the related premiums received.
|
Upon the purchase of a call option or a protective put option by the Fund, the
premium paid is recorded as an investment and subsequently marked-to-market to reflect the current market value of the option. If an option which the Fund has purchased expires on the stipulated expiration date, the Fund will realize a loss in the amount
of the cost of the option. If the Fund enters into a closing sale transaction, the Fund will realize a gain or loss, depending on whether the sale proceeds for the closing sale transaction are greater or less than the cost of the option. If the Fund
exercises a purchased put option, the Fund will realize a gain or loss from the sale of the underlying security, and the proceeds from such sale will be decreased by the premium originally paid. If the Fund exercises a purchased call option, the cost of
the security which the Fund purchases upon exercise will be increased by the premium originally paid.
|
For the year ended August 31, 2000, written call option transactions in the Fund
were as follows:
|
Written Options | Number of Contracts | Premium Received | |||||
---|---|---|---|---|---|---|---|
Balance outstanding, beginning of year | 172 | $ 35,020 | |||||
Options assigned | (94 | ) | (14,207 | ) | |||
Options expired | (78 | ) | (20,813 | ) | |||
Balance outstanding, end of year | | $ | |||||
4. PORTFOLIO SECURITIES TRANSACTIONS (continued)
|
Futures Contracts The Fund may enter into futures
transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Upon entering into a futures contract, the Fund is required to deposit with a broker or the Funds custodian bank
an amount of cash or securities equal to the minimum initial margin requirement of the associated futures exchange. Subsequent payments for futures contracts (variation margin) are paid or received by the Fund, depending on the
fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Fund realizes a gain or loss which is reported in the Statement of Operations.
|
The use of futures contracts involve, to varying degrees, elements of market risk
which may exceed the amounts recognized in the Statement of Assets and Liabilities. Changes in the value of the futures contract may not directly correlate with changes in the value of the underlying securities. This risk may decrease the effectiveness of
the Funds hedging strategies and potentially result in a loss. At August 31, 2000, open futures contracts were as follows:
|
Type | Number of Contracts
Long/(Short) |
Settlement Month | Market Value | Unrealized
Gain(Loss) |
||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Euro Dollars | 12 | March 2003 | $ 2,795,700 | $ 9,677 | ||||||||
Euro Dollars | 12 | March 2004 | 2,794,200 | 8,577 | ||||||||
Euro Dollars | 12 | June 2003 | 2,795,250 | 9,227 | ||||||||
Euro Dollars | 12 | June 2004 | 2,793,300 | 8,577 | ||||||||
Euro Dollars | 12 | September 2002 | 2,795,850 | 10,902 | ||||||||
Euro Dollars | 12 | September 2003 | 2,795,100 | 9,177 | ||||||||
Euro Dollars | 12 | December 2002 | 2,794,050 | 10,152 | ||||||||
Euro Dollars | 12 | December 2003 | 2,793,000 | 8,727 | ||||||||
S&P 500 Index | 39 | September 2000 | 14,831,700 | 333,412 | ||||||||
2 Year U.S. Treasury Note | 10 | December 2000 | 1,994,844 | 1,981 | ||||||||
5 Year U.S. Treasury Note | (167 | ) | December 2000 | (16,710,438 | ) | (42,033 | ) | |||||
10 Year U.S. Treasury Note | 32 | December 2000 | 3,202,500 | 590 | ||||||||
20 Year U.S. Treasury Bond | 5 | September 2000 | 501,875 | 35,639 | ||||||||
20 Year U.S. Treasury Bond | 3 | December 2000 | 301,313 | 2,001 | ||||||||
$26,478,244 | $406,606 | |||||||||||
5. LINE OF CREDIT FACILITY
|
Effective May 31, 2000, the Fund participates in a $350,000,000 committed, unsecured revolving line of credit facility. Prior
thereto, the Fund participated in a $250,000,000 uncommitted and a $250,000,000 committed, unsecured revolving line of credit facility. Under the most restrictive arrangement, the Fund must own securities having a market value in excess of 400% of the
total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the Federal Funds rate. The committed facility also requires a fee to be paid by the Fund based on the amount of the
commitment which has been utilized. During the year ended August 31, 2000, the Fund did not have any borrowings under any of these facilities.
|
6. JOINT REPURCHASE AGREEMENT ACCOUNT
|
The Fund, together with other registered investment companies having management agreements with GSAM or its affiliates, transfers
uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements.
|
At August 31, 2000, the Fund had an undivided interest in the repurchase
agreements in the joint account which equaled $7,100,000 in principal amount. At August 31, 2000, the following repurchase agreements held in this joint account were fully collateralized by Federal Agency obligations:
|
Repurchase Agreements | Principal
Amount |
Interest
Rate |
Maturity
Date |
Amortized
Cost |
Maturity
Value |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
ABN/AMRO, Inc. | $ 814,100,000 | 6.66 | % | 09/01/2000 | $ 814,100,000 | $ 814,250,608 | ||||||
Banc of America Securities LLC | 900,000,000 | 6.67 | 09/01/2000 | 900,000,000 | 900,166,750 | |||||||
Barclays Capital, Inc. | 500,000,000 | 6.67 | 09/01/2000 | 500,000,000 | 500,092,639 | |||||||
Bear Stearns Companies, Inc. | 300,000,000 | 6.67 | 09/01/2000 | 300,000,000 | 300,055,583 | |||||||
Chase Securities, Inc. | 450,000,000 | 6.67 | 09/01/2000 | 450,000,000 | 450,083,375 | |||||||
Donaldson, Lufkin & Jenrette, Inc. | 1,000,000,000 | 6.67 | 09/01/2000 | 1,000,000,000 | 1,000,185,278 | |||||||
J.P. Morgan & Co., Inc. | 800,000,000 | 6.65 | 09/01/2000 | 800,000,000 | 800,147,778 | |||||||
Morgan Stanley Dean Witter & Co. | 750,000,000 | 6.65 | 09/01/2000 | 750,000,000 | 750,138,542 | |||||||
Morgan Stanley Dean Witter & Co. | 300,000,000 | 6.60 | 09/01/2000 | 300,000,000 | 300,055,000 | |||||||
UBS Warburg LLC | 800,000,000 | 6.65 | 09/01/2000 | 800,000,000 | 800,147,778 | |||||||
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT II | $6,614,100,000 | $6,615,323,331 | ||||||||||
7. CERTAIN RECLASSIFICATIONS
|
In accordance with AICPA Statement of Position 93-2, the Fund reclassified $32,903 from accumulated undistributed net investment
income to accumulated net realized gain from investment, futures, options and foreign currency related transactions and $2,640 from paid-in capital to accumulated net realized gain from investment, futures, options and foreign currency related
transactions. These reclassifications have no impact on the net asset value of the Fund and are designed to present the Funds capital accounts on a tax basis. Reclassifications result primarily from the difference in the tax treatment of foreign
currency, net operating losses and organization costs.
|
8. CHANGE IN INDEPENDENT ACCOUNTANTS
|
On October 26, 1999, the Board of Trustees of the Fund upon the recommendation of the Boards audit committee, determined not
to retain Arthur Andersen LLP and approved a change of the Funds independent accountants to PricewaterhouseCoopers LLP. For the period ended August 31, 1999 and the fiscal year ended January 31, 1999, Arthur Andersen LLPs audit reports
contained no adverse opinion or disclaimer of opinion; nor were their reports qualified or modified as to uncertainty, audit scope, or accounting principles. Further, there were no disagreements between the Fund and Arthur Andersen LLP on accounting
principles or practices, financial statement disclosure or audit scope or procedure, which if not resolved to the satisfaction of Arthur Andersen LLP would have caused them to make reference to the disagreement in their reports.
|
Goldman Sachs Balanced Fund Tax Information (unaudited)
|
For the year ended August 31, 2000, 17.77% of the dividends paid from net investment
company taxable income by the Balanced Fund qualify for the dividends received deduction available to corporations.
|
Pursuant to Section 852 of the Internal Revenue Code, the Fund designated $2,481,606 as
capital gains dividends paid during its year ended August 31, 2000.
|
9. SUMMARY OF SHARE TRANSACTIONS
|
Share activity is as follows:
|
For the Year Ended August 31, 2000 |
||||||
---|---|---|---|---|---|---|
Shares | Dollars | |||||
|
||||||
Class A Shares | ||||||
Shares sold | 472,085 | $ 9,684,221 | ||||
Reinvestments of dividends and distributions | 478,974 | 9,686,061 | ||||
Shares repurchased | (2,930,304) | (60,263,205) | ||||
|
||||||
(1,979,245) | (40,892,923) | |||||
|
||||||
Class B Shares | ||||||
Shares sold | 153,476 | 3,127,574 | ||||
Reinvestments of dividends and distributions | 97,539 | 1,962,412 | ||||
Shares repurchased | (663,521) | (13,518,116) | ||||
|
||||||
(412,506) | (8,428,130) | |||||
|
||||||
Class C Shares | ||||||
Shares sold | 47,375 | 974,400 | ||||
Reinvestments of dividends and distributions | 25,220 | 506,596 | ||||
Shares repurchased | (222,853) | (4,520,537) | ||||
|
||||||
(150,258) | (3,039,541) | |||||
|
||||||
Institutional Shares | ||||||
Shares sold | 11,157 | 233,723 | ||||
Reinvestments of dividends and distributions | 7,030 | 142,244 | ||||
Shares repurchased | (17,090) | (350,812) | ||||
|
||||||
1,097 | 25,155 | |||||
|
||||||
Service Shares | ||||||
Shares sold | 112 | 2,262 | ||||
Reinvestments of dividends and distributions | 46 | 922 | ||||
Shares repurchased | (91) | (1,873) | ||||
|
||||||
67 | 1,311 | |||||
|
||||||
NET DECREASE | (2,540,845) | $(52,334,128) | ||||
|
9. SUMMARY OF SHARE TRANSACTIONS (continued)
|
Share activity is as follows:
|
For the Seven Months
Ended August 31, 1999 |
For the Year Ended
January 31, 1999 |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shares | Dollars | Shares | Dollars | ||||||||||
Class A Shares | |||||||||||||
Shares sold | 690,947 | $14,334,527 | 3,748,039 | $76,506,479 | |||||||||
Reinvestments of dividends and distributions | 96,208 | 1,976,640 | 241,188 | 4,838,697 | |||||||||
Shares repurchased | (1,873,693 | ) | (38,906,818 | ) | (2,655,783 | ) | (53,412,703 | ) | |||||
(1,086,538 | ) | (22,595,651 | ) | 1,333,444 | 27,932,473 | ||||||||
Class B Shares | |||||||||||||
Shares sold | 222,544 | 4,589,209 | 1,305,421 | 26,769,887 | |||||||||
Reinvestments of dividends and distributions | 13,623 | 279,018 | 37,761 | 751,177 | |||||||||
Shares repurchased | (392,771 | ) | (8,099,668 | ) | (357,101 | ) | (7,118,524 | ) | |||||
(156,604 | ) | (3,231,441 | ) | 986,081 | 20,402,540 | ||||||||
Class C Shares | |||||||||||||
Shares sold | 109,915 | 2,268,065 | 532,005 | 10,982,657 | |||||||||
Reinvestments of dividends and distributions | 3,746 | 76,630 | 13,484 | 268,120 | |||||||||
Shares repurchased | (258,346 | ) | (5,306,034 | ) | (281,904 | ) | (5,604,206 | ) | |||||
(144,685 | ) | (2,961,339 | ) | 263,585 | 5,646,571 | ||||||||
Institutional Shares | |||||||||||||
Shares sold | 86,577 | 1,782,979 | 108,930 | 2,247,577 | |||||||||
Reinvestments of dividends and distributions | 3,129 | 63,796 | 13,275 | 267,312 | |||||||||
Shares repurchased | (365,015 | ) | (7,628,710 | ) | (143,532 | ) | (2,931,934 | ) | |||||
(275,309 | ) | (5,781,935 | ) | (21,327 | ) | (417,045 | ) | ||||||
Service Shares | |||||||||||||
Shares sold | 682 | 13,637 | 22,926 | 472,556 | |||||||||
Reinvestments of dividends and distributions | 99 | 2,011 | 375 | 7,266 | |||||||||
Shares repurchased | (24,012 | ) | (492,372 | ) | (123 | ) | (2,465 | ) | |||||
(23,231 | ) | (476,724 | ) | 23,178 | 477,357 | ||||||||
NET INCREASE (DECREASE) | (1,686,367 | ) | $(35,047,090 | ) | 2,584,961 | $54,041,896 | |||||||
Income from
investment operations |
Distributions to shareholders |
|||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset
value, beginning of period |
Net
investment Income |
Net realized
and unrealized gain(loss) |
Total from
investment operations |
From net
investment income |
In excess
of net investment income |
From net
realized gains |
Total
distributions |
|||||||||||||||||
FOR THE YEAR ENDED AUGUST 31, | ||||||||||||||||||||||||
2000 - Class A Shares | $20.38 | $0.60 | (c) | $ 1.75 | $2.35 | $(0.50 | ) | $ | $(0.81 | ) | $(1.31 | ) | ||||||||||||
2000 - Class B Shares | 20.26 | 0.45 | (c) | 1.73 | 2.18 | (0.36 | ) | | (0.81 | ) | (1.17 | ) | ||||||||||||
2000 - Class C Shares | 20.23 | 0.45 | (c) | 1.74 | 2.19 | (0.36 | ) | | (0.81 | ) | (1.17 | ) | ||||||||||||
2000 - Institutional Shares | 20.39 | 0.71 | (c) | 1.75 | 2.46 | (0.58 | ) | | (0.81 | ) | (1.39 | ) | ||||||||||||
2000 - Service Shares | 20.37 | 0.59 | (c) | 1.74 | 2.33 | (0.48 | ) | | (0.81 | ) | (1.29 | ) | ||||||||||||
FOR THE SEVEN MONTHS ENDED AUGUST 31, | ||||||||||||||||||||||||
1999 - Class A Shares | 20.48 | 0.32 | (0.19 | ) | 0.13 | (0.23 | ) | | | (0.23 | ) | |||||||||||||
1999 - Class B Shares | 20.37 | 0.22 | (0.18 | ) | 0.04 | (0.15 | ) | | | (0.15 | ) | |||||||||||||
1999 - Class C Shares | 20.34 | 0.23 | (0.19 | ) | 0.04 | (0.15 | ) | | | (0.15 | ) | |||||||||||||
1999 - Institutional Shares | 20.48 | 0.53 | (0.35 | ) | 0.18 | (0.27 | ) | | | (0.27 | ) | |||||||||||||
1999 - Service Shares | 20.47 | 1.22 | (1.14 | ) | 0.08 | (0.18 | ) | | | (0.18 | ) | |||||||||||||
FOR THE YEARS ENDED JANUARY 31, | ||||||||||||||||||||||||
1999 - Class A Shares | 20.29 | 0.58 | 0.20 | 0.78 | (0.59 | ) | | | (0.59 | ) | ||||||||||||||
1999 - Class B Shares | 20.20 | 0.41 | 0.21 | 0.62 | (0.45 | ) | | | (0.45 | ) | ||||||||||||||
1999 - Class C Shares | 20.17 | 0.41 | 0.21 | 0.62 | (0.45 | ) | | | (0.45 | ) | ||||||||||||||
1999 - Institutional Shares | 20.29 | 0.64 | 0.20 | 0.84 | (0.65 | ) | | | (0.65 | ) | ||||||||||||||
1999 - Service Shares | 20.28 | 0.53 | 0.21 | 0.74 | (0.55 | ) | | | (0.55 | ) | ||||||||||||||
1998 - Class A Shares | 18.78 | 0.57 | 2.66 | 3.23 | (0.56 | ) | | (1.16 | ) | (1.72 | ) | |||||||||||||
1998 - Class B Shares | 18.73 | 0.50 | 2.57 | 3.07 | (0.42 | ) | (0.02 | ) | (1.16 | ) | (1.60 | ) | ||||||||||||
1998 - Class C Shares (commenced August 15, 1997) | 21.10 | 0.25 | 0.24 | 0.49 | (0.22 | ) | (0.04 | ) | (1.16 | ) | (1.42 | ) | ||||||||||||
1998 - Institutional Shares (commenced August 15, 1997) | 21.18 | 0.26 | 0.32 | 0.58 | (0.23 | ) | (0.08 | ) | (1.16 | ) | (1.47 | ) | ||||||||||||
1998 - Service Shares (commenced August 15, 1997) | 21.18 | 0.22 | 0.32 | 0.54 | (0.22 | ) | (0.06 | ) | (1.16 | ) | (1.44 | ) | ||||||||||||
1997 - Class A Shares | 17.31 | 0.66 | 2.47 | 3.13 | (0.66 | ) | | (1.00 | ) | (1.66 | ) | |||||||||||||
1997 - Class B Shares (commenced May 1, 1996) | 17.46 | 0.42 | 2.34 | 2.76 | (0.42 | ) | (0.07 | ) | (1.00 | ) | (1.49 | ) | ||||||||||||
1996 - Class A Shares | 14.22 | 0.51 | 3.43 | 3.94 | (0.50 | ) | | (0.35 | ) | (0.85 | ) | |||||||||||||
(a)
|
Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a
complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full
year are not annualized.
|
(b)
|
Annualized.
|
(c)
|
Calculated based on average shares outstanding methodology.
|
(d)
|
Includes the effect of mortgage dollar roll transactions.
|
Ratios assuming no expense reductions |
|||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset
value, end of period |
Total
return (a) |
Net assets
at end of period (in 000s) |
Ratio of
net expenses to average net assets |
Ratio of
net investment income to average net assets |
Ratio of
expenses to average net assets |
Ratio of
net investment income to average net assets |
Portfolio
turnover rate (d) |
||||||||||||||
$21.42 | 12.00 | % | $135,632 | 1.12 | % | 2.94 | % | 1.29 | % | 2.77 | % | 153.69 | % | ||||||||
21.27 | 11.17 | 33,759 | 1.87 | 2.19 | 2.04 | 2.02 | 153.69 | ||||||||||||||
21.25 | 11.23 | 8,658 | 1.87 | 2.19 | 2.04 | 2.02 | 153.69 | ||||||||||||||
21.46 | 12.59 | 2,509 | 0.72 | 3.46 | 0.89 | 3.29 | 153.69 | ||||||||||||||
21.41 | 11.89 | 17 | 1.22 | 2.86 | 1.39 | 2.69 | 153.69 | ||||||||||||||
20.38 | 0.62 | 169,395 | 1.10 | (b) | 2.58 | (b) | 1.32 | (b) | 2.36 | (b) | 90.41 | ||||||||||
20.26 | 0.20 | 40,515 | 1.85 | (b) | 1.83 | (b) | 2.07 | (b) | 1.61 | (b) | 90.41 | ||||||||||
20.23 | 0.18 | 11,284 | 1.85 | (b) | 1.84 | (b) | 2.07 | (b) | 1.62 | (b) | 90.41 | ||||||||||
20.39 | 0.86 | 2,361 | 0.70 | (b) | 2.96 | (b) | 0.92 | (b) | 2.74 | (b) | 90.41 | ||||||||||
20.37 | 0.39 | 15 | 1.20 | (b) | 2.46 | (b) | 1.42 | (b) | 2.24 | (b) | 90.41 | ||||||||||
20.48 | 3.94 | 192,453 | 1.04 | 2.90 | 1.45 | 2.49 | 175.06 | ||||||||||||||
20.37 | 3.15 | 43,926 | 1.80 | 2.16 | 2.02 | 1.94 | 175.06 | ||||||||||||||
20.34 | 3.14 | 14,286 | 1.80 | 2.17 | 2.02 | 1.95 | 175.06 | ||||||||||||||
20.48 | 4.25 | 8,010 | 0.73 | 3.22 | 0.95 | 3.00 | 175.06 | ||||||||||||||
20.47 | 3.80 | 490 | 1.23 | 2.77 | 1.45 | 2.55 | 175.06 | ||||||||||||||
20.29 | 17.54 | 163,636 | 1.00 | 2.94 | 1.57 | 2.37 | 190.43 | ||||||||||||||
20.20 | 16.71 | 23,639 | 1.76 | 2.14 | 2.07 | 1.83 | 190.43 | ||||||||||||||
20.17 | 2.49 | 8,850 | 1.77 | (b) | 2.13 | (b) | 2.08 | (b) | 1.82 | (b) | 190.43 | ||||||||||
20.29 | 2.93 | 8,367 | 0.76 | (b) | 3.13 | (b) | 1.07 | (b) | 2.82 | (b) | 190.43 | ||||||||||
20.28 | 2.66 | 16 | 1.26 | (b) | 2.58 | (b) | 1.57 | (b) | 2.27 | (b) | 190.43 | ||||||||||
18.78 | 18.59 | 81,410 | 1.00 | 3.76 | 1.77 | 2.99 | 208.11 | ||||||||||||||
18.73 | 16.22 | 2,110 | 1.75 | (b) | 2.59 | (b) | 2.27 | (b) | 2.07 | (b) | 208.11 | ||||||||||
17.31 | 28.10 | 50,928 | 1.00 | 3.65 | 1.90 | 2.75 | 197.10 | ||||||||||||||
To the Shareholders and Board of Trustees of
|
Goldman Sachs Trust Balanced Fund:
|
In our opinion, the accompanying statement of assets and liabilities, including the statement of investments, and the related
statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Goldman Sachs Balanced Fund (the Fund), one of the portfolios constituting Goldman Sachs
Trust, at August 31, 2000, the results of its operations, the changes in its net assets and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial
statements and financial highlights (hereafter referred to as financial statements) are the responsibility of the Funds management; our responsibility is to express an opinion on these financial statements based on our audit. We
conducted our audit of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at August 31, 2000 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion. The
statements of changes in net assets of the Fund for the period ended August 31, 1999 and the year ended January 31, 1999 and the financial highlights for each of the periods ended on or before August 31, 1999 were audited by other independent accountants
whose report dated October 8, 1999 expressed an unqualified opinion thereon.
|
PricewaterhouseCoopers LLP
|
Boston, Massachusetts
|
October 23, 2000
|
GOLDMAN SACHS FUND PROFILE
|
The Goldman Sachs Balanced Fund
An Investment Idea for the Long Term
History has shown that an investment composed of a blend of stocks and bonds provides reduced volatility of returns while capturing the appreciation potential of the portion invested in stocks.
Goldman Sachs Balanced Fund provides investors access to the benefits associated with an investment that is composed of both stocks and bonds. The Fund seeks long-term capital growth and current income through investments in equity and fixed income securities.
Target Your Needs
The Goldman Sachs Balanced Fund has a distinct investment objective and a defined place on the risk/return spectrum. As your investment objectives change, you can exchange shares within Goldman Sachs Funds without any additional charge.* (Please note: in general, greater returns are associated with greater risk.)
For More Information
To learn more about the Goldman Sachs Balanced Fund and other Goldman Sachs Funds, call your investment professional today.
*The exchange privilege is subject to termination and its terms are subject to change.
|