<PAGE>
Goldman Sachs Funds
LARGE CAP VALUE FUND Semiannual Report February 29, 2000
Long-term capital appreciation
potential through large capitalization
U.S. equity securities that are
believed to be undervalued.
[GRAPHIC]
[LOGO OF GOLDMAN SACHS]
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Market Overview
Dear Shareholder,
During the period under review, the Federal Reserve Board attempted to
subdue the strong U.S. economy and ward off a rise in inflation. In
the financial markets, technology stocks soared, while most other
sectors languished.
. A Record-Breaking Economic Expansion and the Prospect for
Higher Interest Rates -- Despite repeated attempts by the
Federal Reserve Board to slow economic growth, the economy
continued to grow at a rapid pace during the reporting
period. GDP increased 6.9% during the fourth quarter of
1999, and the economic expansion hit a record nine years in
February 2000. However, the Federal Reserve was not in a
celebratory mood, as it remained focused on cooling the
economy and preempting inflation. Among the Federal
Reserve's major concerns were the stock market driven
"wealth effect" which led to unrestrained consumer spending,
low unemployment resulting in increased wage pressures, and
significantly higher oil prices.
. A Wide Disparity in Returns and Increased Volatility --
During 1999, the technology-rich NASDAQ index registered an
unprecedented 85.6% return, with more than half of its gain
occurring after the index crossed 3000 on November 3rd. As
the year 2000 began, it seemed unlikely that the trend could
continue. But, while most of the stock market has fallen
under the strain of rising interest rates, technology stocks
have continued to surge ahead. By early March 2000, the
NASDAQ index had crossed 5000, and investors continued to
embrace technology stocks at the expense of most other
market sectors. Elsewhere, after many years of relative
underperformance, small-cap stocks performed well versus
their larger-cap counterparts -- fueled by smaller
technology firms. Overall, the equity markets have been
quite volatile, as wide swings in day-to-day results have
become the norm. This could continue in the months ahead,
due largely to the uncertainty regarding the economy,
interest rates and corporate profits.
. Market Outlook: Inflation Holds the Key -- Looking ahead, we
believe that inflation will be the key macroeconomic issue
affecting the U.S. financial markets. While the best news on
inflation has likely passed, global excess capacity and the
growth of e-commerce should help to prevent a sharp
increase. However, there are several factors that could lead
to an unhealthy rise in inflation. First, the U.S. economy
could continue to be more robust than expected, putting
additional pressure on an already tight labor market.
Second, the tight labor market could cause inflation to rise
even if the economy slows. Third, the increase in economic
growth outside the U.S. could cause the excess supply of
worldwide resources to fall. This could lead to higher
import prices and force U.S. companies to raise prices.
Based on these uncertainties and the increase in short-term
market volatility, we encourage you to work closely with
your financial advisor to maintain a long-term focus on your
investment portfolio. As always, we appreciate your support
and we look forward to serving your investment needs in the
years to come.
Sincerely,
/s/ David B. Ford
- ----------------
. NOT FDIC David B. Ford
INSURED Co-Head, Goldman Sachs Asset Management
. May Lose Value /s/ David W. Blood
. No Bank David W. Blood
Guarantee Co-Head, Goldman Sachs Asset Management
- ----------------
March 13, 2000
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Fund Basics
as of February 29, 2000
Assets Under Management
$10.7 Million
Number of Holdings
106
NASDAQ SYMBOLS
Class A Shares
GSLAX
Class B Shares
GSVBX
Class C Shares
GSVCX
Institutional Shares
GSLIX
Service Shares
GSVSX
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
Fund Total Return Russell 1000
December 15, 1999-February 29, 2000 (without sales charge)1 Value Index2
- --------------------------------------------------------------------------------
Class A -10.40% -8.73%
Class B -10.50 -8.73
Class C -10.60 -8.73
Institutional -10.40 -8.73
Service -10.50 -8.73
- --------------------------------------------------------------------------------
1 The net asset value represents the net assets of the Fund (ex-dividend)
divided by the total number of shares. The Fund's performance assumes the
reinvestment of dividends and other distributions.
2 The unmanaged Russell 1000 Value Index (with dividends reinvested) is a
market capitalization weighted index of the 1,000 largest companies in the
Russel 3000 Index with below-average growth orientation. The Index figures
do not reflect any fees or expenses. In addition, investors cannot invest
directly in the Index.
- --------------------------------------------------------------------------------
STANDARDIZED TOTAL RETURNS3
- --------------------------------------------------------------------------------
For the period ended Class A Class B Class C Institutional Service
12/31/99
- --------------------------------------------------------------------------------
Since Inception -5.48% -5.09% -1.10% 0.00% 0.00%
(12/15/99)
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS AS OF 2/29/00
- --------------------------------------------------------------------------------
% of Total
Holding Net Assets Line of Business
- --------------------------------------------------------------------------------
Exxon Mobil Corp. 5.6% Oil Refining
Citigroup, Inc. 4.0 Banks
Federal Home Loan Mortgage Corp. 2.5 Financial Services
XL Capital Ltd. 2.5 Property Insurance
AT&T Corp. 2.4 Telephone
E.I. du Pont de Nemours & Co. 2.3 Chemicals
Motorola, Inc. 2.2 Electrical Equipment
American International Group, Inc. 2.1 Property Insurance
Wells Fargo Co. 2.0 Banks
Sprint Corp. 2.0 Telephone
- --------------------------------------------------------------------------------
The top 10 holdings may not be representative of the Fund's future investments.
Total return figures represent past performance and do not indicate future
results, which will vary. The investment return and principal value of an
investment will fluctuate and, therefore, an investor's shares, when redeemed,
may be worth more or less than their original cost. Performance reflects expense
limitations in effect. In their absence, performance would be reduced.
1
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Performance Overview
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Large
Cap Value Fund for the period from the Fund's inception on
December 15, 1999 through February 29, 2000.
Performance Review
From the Fund's inception through February 29, 2000, its Class A,
B, C, Institutional and Service share classes generated
cumulative total returns, without sales charges, of -10.40%,
-10.50%, -10.60%, -10.40% and -10.50%, respectively. Over the
same time period, the Fund's benchmark, the Russell 1000 Value
Index, generated a cumulative total return of -8.73%.
As our returns indicate, it has been a very challenging period
for value-oriented funds. Investors have largely favored a narrow
group of growth-oriented technology stocks. With the shares of
many technology stocks rising sharply, investors' disdain for
less highly visible growth has produced lackluster stock
performance for many companies, and value based strategies have
suffered. As a result of this performance disparity, the
valuation gap between growth and value indexes has stretched to
historic proportions. We believe that this has created many
opportunities to invest in quality businesses selling at
conservative valuations.
While the stock price performance of our value investments was
eclipsed by the extraordinary performance of technology stocks
during the period, most of our companies performed quite well
from an operating standpoint, generating good revenues, operating
profit and free cash flow. We have found some extremely
attractive valuation levels in our segment of the investment
universe, and we believe that patience will be rewarded. We
firmly believe that high quality should characterize our stock
selection within the value framework, and believe that we can
currently buy leading companies at attractive valuations.
Portfolio Composition
As we seek to add value through superior stock selection, we
spend the majority of our efforts performing thorough, first-hand
fundamental research. We rebuild, analyze and forecast the
financial statements of companies, and test our assumptions
through meetings and discussions with company management,
competitors, customers and suppliers. We seek to buy well
positioned businesses which sell at conservative valuation
levels. We also understand that our Large Cap Value clients seek
a fund which will be competitive with the Russell 1000 Value
Index over a long-term investment horizon, and we approach
careful risk management and thoughtful portfolio construction
based on that mandate.
Portfolio Highlights
. Safeway -- Safeway was a strong contributor to performance during
the period. The market has been extremely concerned about
competitive incursions from web-based food retailers, but we
believe that those fears are exaggerated. Internet entrants have
generated enormous losses without significantly changing consumer
buying patterns, or conquering the massive logistics
2
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
VALUE INVESTMENT PROCESS
Our value stock selection process emphasizes quality companies that sell at
attractive valuation levels.
1
Search for Quality
We search for quality companies that have competitive advantages in their
industry sectors.
2
Fundamental Research
We refine our stock selection through rigorous analysis of companies'
"fundamentals" and face-to-face meetings with company management,
competitors, suppliers and customers.
3
Risk Management
We maintain ongoing risk management resulting in an intentional and
quantifiable risk/return profile.
of the industry. We believe that Safeway's strong regional market shares
and increasing competitive strength relative to its suppliers will enable
it to continue to generate strong earnings and cash flow, which will
increasingly be recognized by the marketplace.
. Southwest Airlines -- Southwest Airlines was a favorable contributor in the
period, and is a good example of a company that has created competitive
advantage in a difficult industry. By standardizing equipment and
procedures, the airline has achieved extraordinary efficiency. Use of the
Internet has helped them in this regard, as Southwest now generates more
than 20% of its bookings through its website at a very low cost. Fuel costs
are a challenge for Southwest and others in the industry, but its very low
fares provide flexibility to pass some of the higher costs along.
. XL Capital Ltd.-- XL Capital was a large holding in the portfolio which
performed well as a company but not as a stock. This Bermuda-based
insurance company enjoys cost and regulatory advantages in the very
competitive property-casualty insurance industry. The company has a very
strong balance sheet and generates significant free cash flow, which is
being used for an aggressive share repurchase program. We think that our
patience will be rewarded when the market once again focuses on the strong
fundamentals of the business.
Portfolio Outlook
We believe that our portfolio of value-based investments offers substantial
upside with limited downside potential. In the past two years, value's
divergence from growth, both in terms of performance and P/E, has been the
largest in history. As value investors, we see an unprecedented array of
strong, profitable, growing companies selling at compelling prices in
today's market. As such, we believe that the current environment offers
tremendous investment opportunity for long-term investors.
We will continue to perform disciplined, first-hand, fundamental research
to identify quality businesses selling at conservative valuations,
companies that we believe possess the potential to deliver superior
long-term returns. We thank you for your investment and look forward to
your continued confidence.
Goldman Sachs Value Investment Team
New York
February 29, 2000
3
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
The Goldman Sachs Advantage
Founded in 1869, Goldman, Sachs & Co. is a premier financial services
firm traditionally known on Wall Street and around the world for its
institutional expertise.
Today, the firm's 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?
1
Resources and Relationships
Our portfolio management teams are located on-site, around the
world, in New York, London, Tokyo and Singapore. Their
understanding of local economies, markets, industries and
cultures helps deliver what many investors want: access to global
investment opportunities and consistent, risk-adjusted
performance.
2
In-Depth Research
Our portfolio management teams make on-site visits to hundreds of
companies each month, then construct selective portfolios with an
emphasis on their best ideas. Our teams also have access to
Goldman, Sachs & Co.'s Global Investment Research Department.
3
Risk Management
In this, our institutional heritage is clear. Institutions, as
well as many individual investors, often look to us to manage the
risks of global investing over time in different market
environments.
To learn more about the Goldman Sachs Funds, call your investment
professional today.
4
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Statement of Investments
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
Common Stocks - 91.7%
<C> <S> <C>
Airlines - 1.6%
9,000 Southwest Airlines Co. $ 165,938
----------------------------------------------------------------
Alcohol - 0.4%
800 Anheuser-Busch Cos., Inc. 51,021
----------------------------------------------------------------
Apparel - 0.4%
1,400 Nike, Inc. Class B 39,813
----------------------------------------------------------------
Banks - 11.4%
3,500 Bank of America Corp. 161,219
8,200 Citigroup, Inc. 423,837
1,000 FleetBoston Financial Corp. 27,250
2,900 Mellon Financial Corp. 87,363
3,100 The Bank of New York Co., Inc. 103,269
2,500 The Chase Manhattan Corp. 199,062
6,500 Wells Fargo Co. 214,906
-----------
1,216,906
----------------------------------------------------------------
Chemicals - 3.2%
4,900 E.I. du Pont de Nemours & Co. 247,450
500 Minnesota Mining & Manufacturing Co. 44,062
500 The Dow Chemicals Co. 54,250
-----------
345,762
----------------------------------------------------------------
Computer Hardware - 2.6%
300 3Com Corp.* 29,400
400 Apple Computer, Inc.* 45,850
2,800 Compaq Computer Corp. 69,650
700 Dell Computer Corp.* 28,569
1,000 International Business Machines, Inc. 102,000
-----------
275,469
----------------------------------------------------------------
Computer Software - 0.4%
600 Computer Associates International, Inc. 38,588
200 Sterling Software, Inc.* 7,175
-----------
45,763
----------------------------------------------------------------
Defense/Aerospace - 1.4%
500 Honeywell International, Inc. 24,063
2,200 Northrop Grumman Corp. 99,962
600 The Boeing Co. 21,973
-----------
145,998
----------------------------------------------------------------
Department Store - 1.0%
4,100 The May Department Stores Co. 107,369
----------------------------------------------------------------
Drugs - 1.7%
1,100 Pharmacia & Upjohn, Inc. 52,388
900 Schering-Plough Corp. 31,610
1,200 Warner-Lambert Co. 102,675
-----------
186,673
----------------------------------------------------------------
Electrical Equipment - 2.4%
1,400 Motorola, Inc. 238,700
500 Qwest Communications International, Inc.* 23,187
-----------
261,887
----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
Common Stocks - (continued)
<C> <S> <C>
Electrical Utilities - 4.6%
4,000 DTE Energy Co. $ 120,750
6,700 Entergy Corp. 135,675
3,900 FPL Group, Inc. 150,637
2,200 Unicom Corp. 83,188
-----------
490,250
-----------------------------------------------------------------------
Energy Resources - 2.1%
2,300 Royal Dutch Petroleum Co. ADR 120,750
5,800 Union Pacific Resources Group, Inc. 51,837
2,000 Unocal Corp. 53,500
-----------
226,087
-----------------------------------------------------------------------
Entertainment - 2.6%
4,900 Carnival Corp. 141,181
2,300 The Seagram Co. Ltd. 135,125
-----------
276,306
-----------------------------------------------------------------------
Financial Services - 2.9%
6,500 Federal Home Loan Mortgage Corp. 271,375
1,100 Household International, Inc. 35,131
-----------
306,506
-----------------------------------------------------------------------
Food & Beverage - 1.1%
1,100 Bestfoods 46,131
1,300 ConAgra, Inc. 21,288
900 The Quaker Oats Co. 48,544
-----------
115,963
-----------------------------------------------------------------------
Forest - 2.9%
1,000 Bowater, Inc. 49,188
1,800 Champion International Corp. 93,150
4,100 Fort James Corp. 77,131
1,400 International Paper Co. 51,537
1,200 Willamette Industries, Inc. 40,725
-----------
311,731
-----------------------------------------------------------------------
Grocery - 1.6%
2,600 Safeway, Inc.* 100,262
4,500 The Kroger Co.* 66,938
-----------
167,200
-----------------------------------------------------------------------
Heavy Electrical - 0.9%
2,200 Emerson Electric Co. 100,238
-----------------------------------------------------------------------
Heavy Machinery - 0.2%
700 Deere & Co. 25,025
-----------------------------------------------------------------------
Hotels - 1.5%
7,200 Starwood Hotels & Resorts Worldwide, Inc. Class B 161,550
-----------------------------------------------------------------------
Industrial Parts - 1.0%
900 Caterpillar, Inc. 31,556
900 Ingersoll-Rand Co. 34,482
1,200 Parker-Hannifin Corp. 43,500
-----------
109,538
-----------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
5
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Statement of Investments
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
Common Stocks - (continued)
<C> <S> <C>
Information Services - 2.1%
4,100 Convergys Corp.* $ 157,850
500 Electronic Data Systems 32,375
700 First Data Corp. 31,500
-----------
221,725
------------------------------------------------------------------
Life Insurance - 1.3%
3,800 AFLAC, Inc. 138,938
------------------------------------------------------------------
Media - 4.8%
2,100 AT&T Corp.-Liberty Media Group* 109,725
1,800 CBS Corp.* 107,212
400 Comcast Corp. 17,000
1,000 MediaOne Group, Inc.* 78,500
4,600 The Walt Disney Co. 154,100
500 Time Warner, Inc. 42,750
-----------
509,287
------------------------------------------------------------------
Medical Products - 2.0%
1,600 Abbott Laboratories 52,400
900 Baxter International, Inc. 49,050
2,600 Becton, Dickinson & Co. 80,762
400 Johnson & Johnson 28,700
-----------
210,912
------------------------------------------------------------------
Mining - 0.8%
1,300 Alcoa, Inc. 89,050
------------------------------------------------------------------
Motor Vehicle - 0.8%
1,000 Ford Motor Co. 41,625
600 General Motors Corp. 45,638
-----------
87,263
------------------------------------------------------------------
Oil Refining - 6.2%
7,900 Exxon Mobil Corp. 594,969
3,400 USX-Marathon Group 73,525
-----------
668,494
------------------------------------------------------------------
Oil Services - 1.1%
1,000 Halliburton Co. 38,187
600 Santa Fe International Corp. 17,213
1,500 Transocean Sedco Forex, Inc. 59,156
-----------
114,556
------------------------------------------------------------------
Property Insurance - 5.9%
1,500 Ambac Financial Group, Inc. 65,906
2,600 American International Group, Inc. 229,938
2,100 The Hartford Financial Services Group, Inc. 65,625
6,600 XL Capital Ltd. 266,887
-----------
628,356
------------------------------------------------------------------
Publishing - 0.4%
1,100 The New York Times Co. 46,475
------------------------------------------------------------------
Railroads - 1.0%
5,200 Burlington Northern Santa Fe Corp. 102,375
------------------------------------------------------------------
Restaurants - 0.7%
2,400 McDonald's Corp. 75,750
------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
Common Stocks - (continued)
<C> <S> <C>
Security/Asset Management - 2.4%
400 J.P. Morgan & Co., Inc. $ 44,400
800 Merrill Lynch & Co., Inc. 82,000
1,600 Morgan Stanley Dean Witter & Co. 112,700
400 Paine Webber Group, Inc. 15,300
----------
254,400
-----------------------------------------------------
Semiconductors - 0.4%
400 Micron Technology, Inc.* 39,225
-----------------------------------------------------
Specialty Retail - 0.6%
1,500 CVS Corp. 52,500
300 Tandy Corp. 11,419
----------
63,919
-----------------------------------------------------
Telephone - 12.3%
300 Allegiance Telecom, Inc.* 29,662
5,300 AT&T Corp. 262,019
2,100 Bell Atlantic Corp. 102,769
3,700 BellSouth Corp. 150,775
200 Global Crossing Ltd.* 9,325
3,000 GTE Corp. 177,000
2,150 MCI WorldCom, Inc.* 95,944
300 NEXTLINK Communications, Inc.* 33,056
5,100 SBC Communications, Inc. 193,800
3,500 Sprint Corp. 213,500
700 U.S. West, Inc. 50,837
----------
1,318,687
-----------------------------------------------------
Tobacco - 0.4%
2,100 Philip Morris Cos., Inc. 42,131
-----------------------------------------------------
Wireless - 0.6%
400 ALLTEL Corp. 23,200
800 Sprint Corp. (PCS Group)* 41,400
----------
64,600
-----------------------------------------------------
TOTAL COMMON STOCKS
(Cost $10,840,278) $9,809,136
-----------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Interest Maturity
Amount Rate Date Value
Repurchase Agreement - 5.6%
<S> <C> <C> <C>
Joint Repurchase Agreement Account II
$600,000 5.86% 03/01/2000 $ 600,000
----------------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $600,000) $ 600,000
----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $11,440,278) $10,409,136
----------------------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
------------------------------------------------------------------------------
Investment Abbreviations:
ADR--American Depositary Receipt
------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
6
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Statement of Assets and Liabilities
February 29, 2000 (Unaudited)
Assets:
<TABLE>
<S> <C>
Investment in securities, at value (identified cost
$11,440,278) $10,409,136
Cash(a) 46,866
Receivables:
Investment securities sold 221,070
Dividends and interest 25,115
Fund shares sold 122,827
Variation margin 6,075
Reimbursement from investment adviser 50,567
-----------------------------------------------------------------------------
Total assets 10,881,656
-----------------------------------------------------------------------------
Liabilities:
Payables:
Investment securities purchased 113,348
Amounts owed to affiliates 7,342
Accrued expenses and other liabilities 58,231
-----------------------------------------------------------------------------
Total liabilities 178,921
-----------------------------------------------------------------------------
Net Assets:
Paid-in capital 11,896,374
Accumulated undistributed net investment income 37,716
Accumulated net realized loss on investments and futures
transactions (173,007)
Net unrealized loss on investments and futures transactions (1,058,348)
-----------------------------------------------------------------------------
NET ASSETS $10,702,735
-----------------------------------------------------------------------------
Net asset value, offering and redemption price per share:(b)
Class A $8.96
Class B $8.95
Class C $8.94
Institutional $8.96
Service $8.95
-----------------------------------------------------------------------------
Shares outstanding:
Class A 86,839
Class B 13,886
Class C 23,176
Institutional 1,070,790
Service 150
-----------------------------------------------------------------------------
Total shares outstanding, $.001 par value (unlimited number of
shares authorized) 1,194,841
-----------------------------------------------------------------------------
</TABLE>
(a) Includes restricted cash of $40,000 relating to initial margin require-
ments and collateral on futures contracts.
(b) Maximum public offering price per share (NAV per share multiplied by
1.0582) for Class A Shares is $9.48. At redemption, Class B and Class C
Shares may be subject to a contingent deferred sales charge, assessed on
the amount equal to the lesser of the current net asset value or the
original purchase price of the shares.
The accompanying notes are an integral part of these financial statements.
7
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Statement of Operations
For the Period Ended February 29, 2000 (Unaudited)(a)
<TABLE>
<S> <C>
Investment income:
Dividends(b) $ 39,403
Interest 18,352
------------------------------------------------------------------------------
Total income 57,755
------------------------------------------------------------------------------
Expenses:
Registration fees 27,702
Management fees 16,951
Professional fees 14,551
Custodian fees 12,307
Trustee fees 2,419
Transfer Agent fees(c) 1,085
Distribution and Service fees(d) 555
Other 8,558
------------------------------------------------------------------------------
Total expenses 84,128
------------------------------------------------------------------------------
Less -- expenses reimbursed (64,089)
------------------------------------------------------------------------------
Net expenses 20,039
------------------------------------------------------------------------------
NET INVESTMENT INCOME 37,716
------------------------------------------------------------------------------
Realized and unrealized loss on investment and futures transac-
tions:
Net realized loss from:
Investment transactions (164,370)
Futures transactions (8,637)
Net change in unrealized loss on:
Investments (1,031,142)
Futures (27,206)
------------------------------------------------------------------------------
Net realized and unrealized loss on investment and futures
transactions (1,231,355)
------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(1,193,639)
------------------------------------------------------------------------------
</TABLE>
(a) Commencement of operations was December 15, 1999.
(b) Taxes withheld on dividends were $57.
(c) Class A, Class B, Class C, Institutional Class and Service Class had
Transfer Agent fees of $165, $17, $47, $856 and $0, respectively.
(d) Class A, Class B and Class C had Distribution and Service fees of $216,
$92 and $247, respectively.
The accompanying notes are an integral part of these financial statements.
8
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
For the
Period Ended
February 29, 2000(a)
(Unaudited)
<S> <C>
From operations:
Net investment income $ 37,716
Net realized loss on investment and futures transac-
tions (173,007)
Net change in unrealized loss on investments and
futures (1,058,348)
----------------------------------------------------------------------------
Net decrease in net assets resulting from operations (1,193,639)
----------------------------------------------------------------------------
From share transactions:
Proceeds from sales of shares 11,896,747
Cost of shares repurchased (373)
----------------------------------------------------------------------------
Net increase in net assets resulting from share
transactions 11,896,374
----------------------------------------------------------------------------
TOTAL INCREASE 10,702,735
----------------------------------------------------------------------------
Net assets:
Beginning of period --
----------------------------------------------------------------------------
End of period $10,702,735
----------------------------------------------------------------------------
Accumulated undistributed net investment income $ 37,716
----------------------------------------------------------------------------
</TABLE>
(a) Commencement date of operations was December 15, 1999 for all share clas-
ses.
The accompanying notes are an integral part of these financial statements.
9
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Notes to Financial Statements
February 29, 2000 (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 the Goldman Sachs Large Cap Value
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 consist-
ently followed by the Fund. 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 -- Investments in securities traded on a U.S. or for-
eign securities exchange or the NASDAQ system are valued daily at their last
sale price on the principal exchange on which they are traded. If no sale oc-
curs, 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.
B. Security Transactions and Investment Income -- Security transactions are
recorded as of the trade date. Realized gains and losses on sales of portfo-
lio securities are calculated using the identified-cost basis. Dividend in-
come is recorded on the ex-dividend date. Dividends for which the Fund has
the choice to receive either cash or stock are recognized as investment in-
come in an amount equal to the cash dividend. Interest income is recorded on
the basis of interest accrued, premium amortized and discount earned.
C. Federal Taxes -- It is the Fund's policy to comply with the requirements
of the Internal Revenue Code applicable to regulated investment companies and
to distribute each year substantially all of its investment company taxable
income and capital gains to its shareholders. Accordingly, no federal tax
provision is required.
The characterization of distributions to shareholders for financial report-
ing purposes is determined in accordance with income tax rules. Therefore,
the source of the Fund's distributions may be shown in the accompanying fi-
nancial 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.
At February 29, 2000, the aggregate cost of portfolio securities for fed-
eral income tax purposes is $11,440,278. Accordingly, the gross unrealized
gain on investments was $290,520 and the gross unrealized loss on investments
was $1,321,662 resulting in a net unrealized loss of $1,031,142.
D. Expenses -- Expenses incurred by the Trust which do not specifically re-
late 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. Segregation Transactions -- The Fund may enter into certain derivative
transactions to seek to increase total return. Forward foreign currency ex-
change contracts, futures contracts, written options, 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.
10
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
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, GSAM, subject to the general supervision of
the Trust's Board of Trustees, manages the Fund's portfolio. As compensation
for the services rendered under the Agreement, the assumption of the expenses
related thereto and administering the Fund's business affairs, including pro-
viding facilities, GSAM is entitled to a fee, computed daily and payable
monthly, at an annual rate equal to 0.75% of the average daily net assets of
the Fund.
The investment adviser has voluntarily agreed to limit certain "Other Ex-
penses" 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 such expenses exceed, on an annual basis, 0.06% of the average daily
net assets of the Fund.
The Trust, on behalf of the Fund, has adopted Distribution and Service
Plans. Under the Distribution and Service Plans, Goldman Sachs and/or autho-
rized dealers are entitled to a monthly fee from the Fund for distribution
and shareholder maintenance services equal, on an annual basis, to 0.25%,
1.00% and 1.00% of the Fund's 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
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 Fund that it retained approximately $8,000 for the period ended
February 29, 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 pay-
able monthly at an annual rate as follows: 0.19% of the average daily net as-
sets 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 al-
lows for Service shares to compensate service organizations for providing va-
rying levels of account administration and shareholder liaison services to
their customers who are beneficial owners of such shares. The Service Plan
provides for compensation to the service organizations in an amount up to
0.50% (on an annualized basis), of the average daily net asset value of the
Service Shares.
As of February 29, 2000, the amounts owed to affiliates were approximately
$6,500, $400 and $400 for Management, Distribution and Service and Transfer
Agent fees, respectively.
4. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and proceeds of sales or maturities of securities (excluding
short-term investments and futures) for the period ended February 29, 2000,
were $13,153,666 and $2,149,018, respectively. For the period ended February
29, 2000, Goldman Sachs earned approximately $1,200 of brokerage commissions
from portfolio transactions, including futures transactions executed on be-
half of the Fund.
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 Fund's custodian bank,
an amount of cash or securities equal to the minimum "initial margin" re-
quirement of the associated futures exchange. Subsequent payments for futures
contracts ("variation margin") are paid or received by the Fund, depending on
the daily fluctuations in the value of the contracts, and are recorded for
financial reporting purposes as unrealized gains or losses. When contracts
are closed, the Fund realizes a gain or loss which is reported in the State-
ment of Operations.
The use of futures contracts involve, to varying degrees, elements of mar-
ket risk which may exceed the amounts recognized in the Statement of Assets
and Liabilities. Changes in the value of the futures contracts may not di-
rectly correlate with changes in the value of the underlying securities. This
risk may decrease the effectiveness of the Fund's hedging strategies and po-
tentially result in a loss.
11
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
February 29, 2000 (Unaudited)
4. PORTFOLIO SECURITIES TRANSACTIONS (continued)
At February 29, 2000, open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of Settlement Market Unrealized
Type Contracts Long Month Value Gain (Loss)
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
S&P 500 Index 1 March 2000 $343,000 $(27,206)
-----------------------------------------------------------------------------------
</TABLE>
Forward Foreign Currency Exchange Contracts -- The Fund may enter into for-
ward foreign currency exchange contracts for the purchase or sale of a spe-
cific foreign currency at a fixed price on a future date as a hedge or cross-
hedge against either specific transactions or portfolio positions. The Fund
may also purchase and sell such contracts to seek to increase total return.
All commitments are "marked-to-market" daily at the applicable translation
rates and any resulting unrealized gains or losses as recorded in the Fund's
financial statements. The Fund realizes gains or losses at the time a forward
contract is offset by entry into a closing transaction or extinguished by the
delivery of a currency. Risks may arise upon entering these contracts from
the potential inability of counterparties to meet the terms of their con-
tracts and from unanticipated movements in the value of a foreign currency
relative to the U.S. dollar.
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 equiv-
alent liability. The amount of the liability is subsequently marked-to-market
to reflect the current market value of the option written. When a written op-
tion 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 exer-
cised, the Fund realizes a gain or loss from the sale of the underlying secu-
rity, 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 pur-
chases 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-mar-
ket 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, de-
pending 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 pur-
chased 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. At February 29, 2000, there were no open
written option contracts.
5. REPURCHASE AGREEMENTS
During the term of a repurchase agreement, the value of the underlying secu-
rities, including accrued interest, is required to equal or exceed the value
of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping at the Fund's custodian.
12
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
6. JOINT REPURCHASE AGREEMENT ACCOUNT
The Fund, together with other registered investment companies having manage-
ment 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 February 29, 2000, the Fund had an undivided interest in the repurchase
agreements in the joint account which equaled $600,000 in principal amount.
At February 29, 2000, 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>
Banc of America Securities LLC $1,650,000,000 5.86% 03/01/00 $1,650,000,000
--------------------------------------------------------------------------------------
Bear Stearns Companies, Inc. 200,000,000 5.86 03/01/00 200,000,000
--------------------------------------------------------------------------------------
Chase Securities, Inc. 300,000,000 5.86 03/01/00 300,000,000
--------------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette, Inc. 500,000,000 5.85 03/01/00 500,000,000
--------------------------------------------------------------------------------------
Salomon Smith Barney Holdings, Inc. 812,000,000 5.86 03/01/00 812,000,000
--------------------------------------------------------------------------------------
Warburg Dillon Read 800,000,000 5.86 03/01/00 800,000,000
--------------------------------------------------------------------------------------
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT II $4,262,000,000
--------------------------------------------------------------------------------------
</TABLE>
7. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
<TABLE>
<CAPTION>
For the Period Ended
February 29, 2000(a)
(Unaudited)
Shares Dollars
<S> <C> <C>
Class A Shares
Shares sold 86,879 $ 842,227
Shares repurchased (40) (373)
86,839 841,854
---------------------------------------------
Class B Shares
Shares sold 13,886 130,451
Shares repurchased -- --
13,886 130,451
---------------------------------------------
Class C Shares
Shares sold 23,176 232,569
Shares repurchased -- --
23,176 232,569
---------------------------------------------
Institutional Shares
Shares sold 1,070,790 10,690,000
Shares repurchased -- --
1,070,790 10,690,000
---------------------------------------------
Service Shares
Shares sold 150 1,500
150 1,500
---------------------------------------------
NET INCREASE 1,194,841 $11,896,374
---------------------------------------------
</TABLE>
(a)Commencement date of operations was December 15, 1999 for all share clas-
ses.
13
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Income from
investment operations(a)
-------------------------
Net asset
value, Net Net realized Net decrease Net asset
beginning investment and unrealized in net asset value, end
of period income(b) loss(b) value of period
FOR THE PERIOD ENDED FEBRUARY 29, (Unaudited)
<S> <C> <C> <C> <C> <C>
2000 - Class A Shares
(commenced December 15,
1999) $10.00 $0.03 $(1.07) $(1.04) $8.96
2000 - Class B Shares
(commenced December 15,
1999) 10.00 0.01 (1.06) (1.05) 8.95
2000 - Class C Shares
(commenced December 15,
1999) 10.00 0.01 (1.07) (1.06) 8.94
2000 - Institutional
Shares (commenced Decem-
ber 15, 1999) 10.00 0.03 (1.07) (1.04) 8.96
2000 - Service Shares
(commenced December 15,
1999) 10.00 0.03 (1.08) (1.05) 8.95
</TABLE>
------------------------------------------------------------------------------
(a) Includes the balancing effect of calculating per share amounts.
(b) Calculated based on the average shares outstanding methodology.
(c) 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.
(d) Not annualized.
(e) Annualized.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
GOLDMAN SACHS LARGE CAP VALUE FUND
<TABLE>
<CAPTION>
Ratios assuming no expense limitations
---------------------------------------
Net assets Ratio of Ratio of
at end of Ratio of net investment income Ratio of net investment Portfolio
Total period net expense to to expenses to income (loss) to turnover
return(c)(d) (in 000s) average net assets(e) average net assets(e) average net assets(e) average net assets(e) rate(d)
<S> <C> <C> <C> <C> <C> <C>
(10.40)% $ 778 1.25% 1.68% 4.09% (1.16)% 25.95%
(10.50) 124 2.00 0.58 4.84 (2.26) 25.95
(10.60) 207 2.00 0.69 4.84 (2.15) 25.95
(10.40) 9,593 0.85 1.68 3.69 (1.16) 25.95
(10.50) 1 1.35 1.31 4.19 (1.53) 25.95
</TABLE>
- --------------------------------------------------------------------------------
15
<PAGE>
(This page intentionally left blank)
<PAGE>
GOLDMAN SACHS FUND PROFILE
Goldman Sachs Large Cap Value Fund
An Investment Idea for the Long Term
Historically, stocks have demonstrated greater potential to build
wealth over the long term than most other types of investments.
Goldman Sachs Large Cap Value Fund provides investors access to the
benefits associated with equity investing. The Fund seeks to invest in
quality businesses selling at conservative valuations, as we believe
that these investments offer substantial upside potential.
Target Your Needs
The Goldman Sachs Large Cap Value 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 the
Goldman Sachs Funds family without an additional charge.* (Please
note: in general, greater returns are associated with greater risk.)
----------------------------------------------------------------------
Goldman Sachs Fund
Goldman Sachs Funds offers more than 30 investment options for global
diversification across borders, investment styles, asset classes and
security capitalizations.
[GRAPH]
INTERNATIONAL
EQUITY
DOMESTIC
EQUITY
.Goldman Sachs
Large Cap Value
Fund
FIXED
INCOME
MONEY
MARKET
-- Lower Risk/Return Higher Risk/Return --
ASSET ALLOCATION
SPECIALTY
For More Information
To learn more about the Goldman Sachs Large Cap Value Fund and other
Goldman Sachs Funds, call your investment professional today.
*The exchange privilege is subject to termination and its terms are
subject to change.
<PAGE>
GOLDMAN SACHS ASSET MANAGEMENT 32 OLD SLIP, 17TH FLOOR, NEW YORK, NEW YORK 10005
TRUSTEES OFFICERS
Ashok N. Bakhru, Chairman Douglas C. Grip, President
David B. Ford Jesse H. Cole, Vice President
Douglas C. Grip James A. Fitzpatrick, Vice President
John P. McNulty Nancy L. Mucker, Vice President
Mary P. McPherson John M. Perlowski, Treasurer
Alan A. Shuch Philip V. Giuca, Jr., Assistant Treasurer
Jackson W. Smart, Jr. Michael J. Richman, Secretary
William H. Springer Howard B. Surloff, Assistant Secretary
Richard P. Strubel Valerie A. Zondorak, Assistant Secretary
GOLDMAN SACHS
Investment Adviser,
Distributor and Transfer Agent
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.
The Large Cap Value Fund's foreign investments may be more volatile than an
investment in U.S. securities and are subject to the risks of currency
fluctuations and political developments.
Goldman, Sachs & Co. is the distributor of the Fund.
Copyright 2000 Goldman, Sachs & Co. All rights reserved. Date of first use:
April 30,2000/00-514 LCVSAR/3K/4-00
