<PAGE>
Goldman Sachs Funds
- --------------------------------------------------------------------------------
ASSET ALLOCATION PORTFOLIOS Annual Report December 31, 1999
- --------------------------------------------------------------------------------
[GRAPHIC]
Strategies designed to provide a complete investment program in a single
investment and capitalize on the benefits of asset allocation.
[LOGO OF GOLDMAN SACHS]
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Market Overview
Dear Shareholder,
During the year ended December 31, 1999, we saw generally strong performance in
the equity markets. The fixed income markets posted more muted results.
. Global Equity Markets -- In the U.S., the year began with an equity rally,
albeit a narrow one that included only select large companies and sectors.
The rally broadened and continued through to mid-year, fueled by investor
excitement over the explosive growth of the Internet. Briefly, worries
about inflationary pressures in the wake of strong economic reports
resulted in a strong sell-off. However, stocks rallied at year end as
investors responded to robust quarterly earnings news and low inflation
readings and employment costs.
In Europe, euphoria surrounding the launch of the Euro was short lived
as markets retreated on news of rising U.S. interest rates and sluggish
production data in much of the region. Markets only strengthened at the end
of the year, boosted by, among other things, strong merger and take-over
activity and improved consumer confidence and production levels. Investor
interest in technology-oriented stocks propelled the Telecommunications,
Media and IT sectors to new highs.
Japan's market performed strongly over the year, due to the stellar
performance of a small number of stocks. Underpinning the market's strength
were expectations for improvement in corporate fundamentals and the macro
economy. Consolidation activity accelerated in various industries, while a
series of Telecom/Technology mutual fund launches helped drive up the stock
prices of a select group of communications stocks.
. Global Fixed Income Markets -- In the U.S., strong growth and low and
falling unemployment rates prompted the Federal Reserve Board (the "Fed")
to initiate a series of rate hikes. For the most part, the moves were
expected and had little impact on the bond market as a whole. The exception
was a market rally that occurred in the aftermath of August's rate hike - a
result of the Fed's adoption of a neutral stance.
Co-ordinated cuts in interest rates, generally by larger-than-expected
margins, helped the European markets outperform U.S. Treasuries. As the
year progressed, however, a series of strong economic releases appeared
across Europe and the UK; it soon became apparent that Europe was in the
midst of a broad-based recovery. Bond yields rose in response to
expectations that the European Central Bank would move to raise rates.
In Japan, despite an extremely weak economy and deflationary
pressures, bonds fell sharply following a Government announcement that the
Trust Fund Bureau would no longer purchase government bonds. This was
followed by a prolonged rally that resulted from a number of factors,
including a softening of the Government position and increased confidence.
More recently, bond yields moved higher in the wake of improved economic
conditions and indications that further fiscal stimulus was in the offing.
We encourage you to maintain your long-term investment program, and look
forward to serving your investment needs in the years ahead.
Sincerely,
/s/ David B. Ford
David B. Ford
Co-Head, Goldman Sachs Asset Management
/s/ David W. Blood
David W. Blood
Co-Head, Goldman Sachs Asset Management
January 31, 2000
- ------------------
NOT FDIC-INSURED
- ------------------
May Lose Value
- ------------------
No Bank Guarantee
- ------------------
<PAGE>
FUND BASICS
Conservative Strategy
as of December 31, 1999
Assets Under Management
$14.6 Million
NASDAQ SYMBOLS
Class A Shares
GACSX
Class B Shares
GBCSX
Class C Shares
GCCSX
Institutional Shares
GICSX
Service Shares
GCSPX
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
February 8, 1999-December 31, 1999 Fund Average Annual Total Return
(based on NAV)1
- --------------------------------------------------------------------------------
Class A 5.52%
Class B 4.92%
Class C 4.79%
Institutional 6.04%
Service 5.56%
- --------------------------------------------------------------------------------
1 The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
- --------------------------------------------------------------------------------
STANDARDIZED TOTAL RETURNS 2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending December 31, 1999 Class A Class B Class C Institutional Service
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Since Inception (2/8/99) -0.26% -0.24% 3.76% 6.04% 5.56%
- ----------------------------------------------------------------------------------------------
</TABLE>
2 The Standardized Total Returns are average annual or cumulative (only if
performance period is one year or less) total returns as of the most recent
calendar quarter-end. They assume reinvestment of all distributions at NAV.
These returns reflect a maximum initial sales charge of 5.5% for Class A
shares and the assumed deferred sales charge for Class B shares (5% maximum
declining to 0% after six years) and the assumed deferred sales charge for
Class C shares (1% if redeemed within 12 months of purchase). Because
Institutional and Service shares do not involve a sales charge, such a
charge is not applied to their respective Standardized Total Returns.
- --------------------------------------------------------------------------------
COMPOSITION 3
- --------------------------------------------------------------------------------
For the investor seeking current income, consistent with the preservation of
capital and the potential for capital appreciation. The Portfolio is primarily
in domestic fixed income funds focusing on short-term investments and money
market funds, with the balance in domestic stocks funds and a small allocation
to a global bond fund.
STRATEGIC MODEL
PORTFOLIO WEIGHTINGS
[PIE CHART]
10% Financial Square Prime Obligations Fund
60% Short Duration Government Fund
10% Global Income Fund
10% CORE Large Cap Value Fund4
7% CORE Large Cap Growth Fund
3% Real Estate Securities Fund
TACTICAL FUND WEIGHTINGS
(Changes quarterly)
[PIE CHART]
10% Financial Square Prime Obligations Fund
50% Short Duration Government Fund
18% Global Income Fund
12% CORE Large Cap Value Fund4
7% CORE Large Cap Growth Fund
3% Real Estate Securities Fund
3 As of 12/31/99. Actual Fund weighting in the Asset Allocation Portfolios
may differ slightly from the figures shown above due to rounding,
differences in returns of the underlying Funds, or both. The above figures
are not indicative of future allocations.
4 The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining
asset allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs
Fixed Income, Equity and Money Market Funds and are subject to the risks
associated with investment in such Funds. Total return figures represent
past performance and do not indicate future results, which will vary. The
investment return and principal value of an investment will fluctuate and,
therefore, an investor's shares, when redeemed, may be worth more or less
than their original cost.
1
<PAGE>
FUND BASICS
Balanced Strategy
as of December 31, 1999
Assets Under Management
$98.2 Million
NASDAQ SYMBOLS
Class A Shares
GIPAX
Class B Shares
GIPBX
Class C Shares
GIPCX
Institutional Shares
GIPIX
Service Shares
GIPSX
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
January 1, 1999-December 31, 1999 Fund Average Annual Total Return
(based on NAV)1
- --------------------------------------------------------------------------------
Class A 10.58%
Class B 9.66%
Class C 9.63%
Institutional 10.92%
Service 10.47%
- --------------------------------------------------------------------------------
1 The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
- --------------------------------------------------------------------------------
STANDARDIZED TOTAL RETURNS 2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending December 31, 1999 Class A Class B Class C Institutional Service
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year 4.50% 4.51% 8.60% 10.92% 10.47%
Since Inception (1/2/98) 5.46% 5.72% 7.72% 8.95% 8.38%
- ----------------------------------------------------------------------------------------------
</TABLE>
2 The Standardized Total Returns are average annual or cumulative (only if
performance is one year or less) total returns as of the most recent
calendar quarter-end. They assume reinvestment of all distributions at NAV.
These returns reflect a maximum initial sales charge of 5.5% for Class A
shares and the assumed deferred sales charge for Class B shares (5% maximum
declining to 0% after six years) and the assumed deferred sales charge for
Class C shares (1% if redeemed within 12 months of purchase). Because
Institutional and Service shares do not involve a sales charge, such a
charge is not applied to their respective Standardized Total Returns.
- --------------------------------------------------------------------------------
COMPOSITION 3
- --------------------------------------------------------------------------------
For the investor seeking current income and long-term capital appreciation with
greater stability of principal than an investment in equity securities alone.
Over half of the Portfolio is in domestic fixed income instruments which seek to
provide income, and a portion is in global bonds which seek to enhance income
and total return. The balance in equities is intended to add diversification and
may enhance returns, but will also add a moderate level of volatility to the
Portfolio.
STRATEGIC MODEL
PORTFOLIO WEIGHTINGS
[PIE CHART]
43% Short Duration Government Fund
5% High Yield Fund
12% Global Income Fund
11% CORE Large Cap Value Fund5
9% CORE Large Cap Growth Fund
2% CORE Small Cap Equity Fund
2% Real Estate Securities Fund
16% CORE International Equity Fund
TACTICAL FUND WEIGHTINGS
(Changes quarterly)
[PIE CHART]
1% Financial Square Prime Obligations Fund
35% Short Duration Government Fund
4% High Yield Fund
19% Global Income Fund
9% CORE Large Cap Value Fund5
8% CORE Large Cap Growth Fund
2% CORE Small Cap Equity Fund
2% Real Estate Securities Fund
20% CORE International Equity Fund
3 As of 12/31/99. Actual Fund weighting in the Asset Allocation Portfolios
may differ slightly from the figures shown above due to rounding,
differences in returns of the underlying Funds, or both. The above figures
are not indicative of future allocations.
4 The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining
asset allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs
Fixed Income, Equity and Money Market Funds and are subject to the risks
associated with investment in such Funds. Total return figures represent
past performance and do not indicate future results, which will vary. The
investment return and principal value of an investment will fluctuate and,
therefore, an investor's shares, when redeemed, may be worth more or less
than their original cost.
2
<PAGE>
FUND BASICS
Growth and Income Strategy
as of December 31, 1999
Assets Under Management
$465.4 Million
NASDAQ SYMBOLS
Class A Shares
GOIAX
Class B Shares
GOIBX
Class C Shares
GOICX
Institutional Shares
GOIIX
Service Shares
GOISX
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
January 1, 1999-December 31, 1999 Fund Average Annual Total Return
(based on NAV)1
- --------------------------------------------------------------------------------
Class A 15.79%
Class B 14.95%
Class C 14.94%
Institutional 16.14%
Service 15.60%
- --------------------------------------------------------------------------------
1 The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
- --------------------------------------------------------------------------------
STANDARDIZED TOTAL RETURNS 2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending December 31, 1999 Class A Class B Class C Institutional Service
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year 9.46% 9.86% 13.92% 16.14% 15.60%
Since Inception (1/2/98) 8.00% 8.40% 10.29% 11.47% 10.94%
- ----------------------------------------------------------------------------------------------
</TABLE>
2 The Standardized Total Returns are average annual or cumulative (only if
performance period is one year or less) total returns as of the most recent
calendar quarter-end. They assume reinvestment of all distributions at NAV.
These returns reflect a maximum initial sales charge of 5.5% for Class A
shares and the assumed deferred sales charge for Class B shares (5% maximum
declining to 0% after six years) and the assumed deferred sales charge for
Class C shares (1% if redeemed within 12 months of purchase). Because
Institutional and Service shares do not involve a sales charge, such a
charge is not applied to their respective Standardized Total Returns.
- --------------------------------------------------------------------------------
COMPOSITION3
- --------------------------------------------------------------------------------
For the investor who is less conservative and seeks current income with the
opportunity for long-term capital appreciation. Under normal circumstances,
assets are allocated fairly equally among fixed income securities, which are
intended to provide the income component, and equity securities, which are
intended to provide the capital appreciation component.
STRATEGIC MODEL
PORTFOLIO WEIGHTINGS
[PIE CHART]
18% Core Fixed Income Fund
8% High Yield Fund
14% Global Income Fund
16% CORE Large Cap Value Fund4
15% CORE Large Cap Growth Fund
4% CORE Small Cap Equity Fund
2% Real Estate Securities Fund
17% CORE International Equity Fund
2% International Small Cap Fund
4% Emerging Markets Equity Fund
TACTICAL FUND WEIGHTINGS
(Changes quarterly)
[PIE CHART]
1% Financial Square Prime Obligations Fund
12% Core Fixed Income Fund
5% High Yield Fund
20% Global Income Fund
15% CORE Large Cap Value Fund4
14% CORE Large Cap Growth Fund
4% CORE Small Cap Equity Fund
2% Real Estate Securities Fund
21% CORE International Equity Fund
2% International Small Cap Fund
4% Emerging Markets Equity Fund
3 As of 12/31/99. Actual Fund weighting in the Asset Allocation Portfolios
may differ slightly from the figures shown above due to rounding,
differences in returns of the underlying Funds, or both. The above figures
are not indicative of future allocations.
4 The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining
asset allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs
Fixed Income, Equity and Money Market Funds and are subject to the risks
associated with investment in such Funds. Total return figures represent
past performance and do not indicate future results, which will vary. The
investment return and principal value of an investment will fluctuate and,
therefore, an investor's shares, when redeemed, may be worth more or less
than their original cost.
3
<PAGE>
FUND BASICS
Growth Strategy
as of December 31, 1999
Assets Under Management
$329 Million
NASDAQ SYMBOLS
Class A Shares
GGSAX
Class B Shares
GGSBX
Class C Shares
GGSCX
Institutional Shares
GGSIX
Service Shares
GGSSX
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
January 1, 1999-December 31, 1999 Fund Average Annual Total Return
(based on NAV)1
- --------------------------------------------------------------------------------
Class A 20.85%
Class B 19.87%
Class C 19.96%
Institutional 21.24%
Service 20.62%
- --------------------------------------------------------------------------------
1 The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
- --------------------------------------------------------------------------------
STANDARDIZED TOTAL RETURNS 2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending December 31, 1999 Class A Class B Class C Institutional Service
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year 14.20% 14.82% 18.95% 21.24% 20.62%
Since Inception (1/2/98) 9.33% 9.82% 11.69% 12.80% 12.26%
- ----------------------------------------------------------------------------------------------
</TABLE>
2 The Standardized Total Returns are average annual or cumulative (only if
performance period is one year or less) total returns as of the most recent
calendar quarter-end. They assume reinvestment of all distributions at NAV.
These returns reflect a maximum initial sales charge of 5.5% for Class A
shares and the assumed deferred sales charge for Class B shares (5% maximum
declining to 0% after six years) and the assumed deferred sales charge for
Class C shares (1% if redeemed within 12 months of purchase). Because
Institutional and Service shares do not involve a sales charge, such a
charge is not applied to their respective Standardized Total Returns.
- --------------------------------------------------------------------------------
COMPOSITION 3
- --------------------------------------------------------------------------------
For the investor seeking capital appreciation and, secondarily, current income.
Over 75% of the assets are allocated among equity securities, with a blend of
domestic large cap, small cap and international stocks, which seek to provide
capital appreciation. The bond portion is intended to provide diversification.
STRATEGIC MODEL
PORTFOLIO WEIGHTINGS
[PIE CHART]
10% Core Fixed Income Fund
5% High Yield Fund
5% Global Income Fund
23% CORE Large Cap Value Fund4
19% CORE Large Cap Growth Fund
5% CORE Small Cap Equity Fund
2% Real Estate Securities Fund
24% CORE International Equity Fund
2% International Small Cap Fund
5% Emerging Markets Equity Fund
TACTICAL FUND WEIGHTINGS
(Changes quarterly)
[PIE CHART]
1% Financial Square Prime Obligations Fund
4% Core Fixed Income Fund
2% High Yield Fund
12% Global Income Fund
22% CORE Large Cap Value Fund4
17% CORE Large Cap Growth Fund
5% CORE Small Cap Equity Fund
2% Real Estate Securities Fund
28% CORE International Equity Fund
2% International Small Cap Fund
5% Emerging Markets Equity Fund
3 As of 12/31/99. Actual Fund weighting in the Asset Allocation Portfolios
may differ slightly from the figures shown above due to rounding,
differences in returns of the underlying Funds, or both. The above figures
are not indicative of future allocations.
4 The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining
asset allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs
Fixed Income, Equity and Money Market Funds and are subject to the risks
associated with investment in such Funds. Total return figures represent
past performance and do not indicate future results, which will vary. The
investment return and principal value of an investment will fluctuate and,
therefore, an investor's shares, when redeemed, may be worth more or less
than their original cost.
4
<PAGE>
FUND BASICS
Aggressive Growth Strategy
as of December 31, 1999
Assets Under Management
$138.1 Million
NASDAQ SYMBOLS
Class A Shares
GAPAX
Class B Shares
GAPBX
Class C Shares
GAXCX
Institutional Shares
GAPIX
Service Shares
GAPSX
- --------------------------------------------------------------------------------
PERFORMANCE REVIEW
- --------------------------------------------------------------------------------
January 1,1999-December 31, 1999 Fund Average Annual Total Return
(based on NAV)1
- --------------------------------------------------------------------------------
Class A 25.39%
Class B 24.41%
Class C 24.35%
Institutional 25.74%
Service 25.17%
- --------------------------------------------------------------------------------
1 The net asset value ("NAV") represents the net assets of the Portfolio
(ex-dividend) divided by the total number of shares. Performance does not
reflect the deduction of any applicable sales charge.
- --------------------------------------------------------------------------------
STANDARDIZED TOTAL RETURNS2
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period ending December 31, 1999 Class A Class B Class C Institutional Service
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
One Year 18.51% 19.39% 23.35% 25.74% 25.17%
Since Inception (1/2/98) 10.27% 10.82% 12.66% 13.71% 13.31%
- ----------------------------------------------------------------------------------------------
</TABLE>
2 The Standardized Total Returns are average annual or cumulative (only if
performance period is one year or less) total returns as of the most recent
calendar quarter-end. They assume reinvestment of all distributions at NAV.
These returns reflect a maximum initial sales charge of 5.5% for Class A
shares and the assumed deferred sales charge for Class B shares (5% maximum
declining to 0% after six years) and the assumed deferred sales charge for
Class C shares (1% if redeemed within 12 months of purchase). Because
Institutional and Service shares do not involve a sales charge, such a
charge is not applied to their respective Standardized Total Returns.
- --------------------------------------------------------------------------------
COMPOSITION3
- --------------------------------------------------------------------------------
For the investor seeking long-term capital appreciation. Substantially all
assets are allocated among equity securities, with a greater focus on small cap
and international investments for enhanced return opportunities.
STRATEGIC MODEL
PORTFOLIO WEIGHTINGS
[PIE CHART]
30% CORE Large Cap Value Fund4
22% CORE Large Cap Growth Fund
7% CORE Small Cap Equity Fund
3% Real Estate Securities Fund
27% CORE International Equity Fund
4% International Small Cap Fund
7% Emerging Markets Equity Fund
TACTICAL FUND WEIGHTINGS
(Changes quarterly)
[PIE CHART]
27% CORE Large Cap Value Fund4
21% CORE Large Cap Growth Fund
6% CORE Small Cap Equity Fund
3% Real Estate Securities Fund
32% CORE International Equity Fund
4% International Small Cap Fund
7% Emerging Markets Equity Fund
3 As of 12/31/99. Actual Fund weighting in the Asset Allocation Portfolios
may differ slightly from the figures shown above due to rounding,
differences in returns of the underlying Funds, or both. The above figures
are not indicative of future allocations.
4 The allocation shown above for the Goldman Sachs CORE Large Cap Value Fund
was gradually implemented; this process was completed in mid-February 1999.
The Fund replaced the Goldman Sachs Growth and Income Fund. The Goldman
Sachs CORE Large Cap Value Fund more closely tracks the Russell 2000 Index.
The Russell 2000 Index is the benchmark management uses in determining
asset allocation decisions.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs
Fixed Income, Equity and Money Market Funds and are subject to the risks
associated with investment in such Funds. Total return figures represent
past performance and do not indicate future results, which will vary. The
investment return and principal value of an investment will fluctuate and,
therefore, an investor's shares, when redeemed, may be worth more or less
than their original cost.
5
<PAGE>
PERFORMANCE OVERVIEW
Asset Allocation Portfolios
Dear Shareholder,
We are pleased to report on the performance of the Goldman Sachs Asset
Allocation Portfolios (individually, the "Portfolio, "and collectively, the
"Portfolios"). This annual report covers the 12-month period ended December
31, 1999.
Performance
The performance of your Portfolio is driven primarily by three
factors: 1) strategic asset allocation policy; 2) underlying fund
performance; and 3) tactical reallocation. By reallocating your
Portfolio on a quarterly basis, we seek to enhance the performance of
your Portfolio over the long term.
Over the year, the Portfolios generally benefited from tactical
reallocation decisions. More specifically, the Portfolios benefited by
being overweight in stocks, which outperformed both bonds and cash.
The Portfolios' overweight positions in international stocks relative
to domestic stocks and global bonds relative to domestic bonds helped
performance during the period.
. Equities -- The Portfolios began the first quarter with an overweight
position in Japan, due to favorable valuation factors. The Portfolios
moved to a neutral position mid-period, and ended the year with a
positive outlook due to above-average valuation forecast variables and
strong fund flows. Within Europe, we favored at various times Finland,
Spain, Ireland and Belgium. We were negative on the U.K. and Germany
throughout the period given less favorable earnings multiples and
momentum. We favored Canada over the U.S., but generally found North
America unattractive due primarily to poor valuation levels.
. Bonds -- During the period, the Portfolios were overweight in
international bonds versus U.S. bonds. Our favorite fixed income
region throughout the period was Europe, especially Sweden and
Denmark, due to attractive yield factors and strong market
performance. Although we viewed the UK positively at the onset of the
review period, this region fell out of favor by period end when it
rated below average across all of our forecast variables. We grew to
view Japanese bonds more favorably during the period due to
currency-related factors, steepening yield curves and improved market
performance, only to revert to a neutral position at period end. We
viewed the U.S. as the least favored market, given market
underperformance and poor yield curve related factors.
. Currencies -- For the first half of the period, we favored the U.S.
dollar versus other currencies, due to strengthening market
performance, improved earnings and attractive yield curve factors. As
the period drew to a close, however, the Japanese yen became our
favorite currency because of strong momentum and good long term value.
We continued to favor the Dollar Bloc over European currencies. The
Swedish Krona was our least favorite currency during the period, due
to poor momentum and valuation factors.
The Portfolios' strong performance from tactical reallocation was
enhanced by the performance of most of the Goldman Sachs underlying
Funds relative to their benchmarks. The following is a summary of the
performance of the Portfolios for the year.
6
<PAGE>
PERFORMANCE OVERVIEW
. Goldman Sachs Conservative Strategy Portfolio -- The Portfolio's Class
A, B, C, Institutional and Service Shares generated cumulative total
returns since inception on February 8, 1999 through December 31, 1999
of 5.52%, 4.92%, 4.79%, 6.04% and 5.56%, respectively.
. Goldman Sachs Balanced Strategy Portfolio -- The Portfolio's Class A,
B, C, Institutional and Service Shares generated cumulative total
returns during the 12-month period ended December 31, 1999 of 10.58%,
9.66%, 9.63%, 10.92% and 10.47%, respectively.
. Goldman Sachs Growth and Income Strategy Portfolio -- The Portfolio's
Class A, B, C, Institutional and Service Shares generated cumulative
total returns during the 12-month period ended December 31, 1999 of
15.79%, 14.95%, 14.94%, 16.14% and 15.60%, respectively.
. Goldman Sachs Growth Strategy Portfolio -- The Portfolio's Class A, B,
C, Institutional and Service Shares generated cumulative total returns
during the 12-month period ended December 31, 1999 of 20.85%, 19.87%,
19.96%, 21.24% and 20.62%, respectively.
. Goldman Sachs Aggressive Growth Strategy Portfolio -- The Portfolio's
Class A, B, C, Institutional and Service Shares generated cumulative
total returns during the 12-month period ended December 31, 1999 of
25.39%, 24.41%, 24.35%, 25.74% and 25.17%, respectively.
Current Outlook
As explained below, we continue to favor stocks versus bonds, and
stocks and bonds versus cash. In equities, we continue to underweight
the UK and North America versus other international equities. In fixed
income, we continue our preference for international bonds versus
domestic bonds.
Global Asset Allocation
We are only mildly positive on stocks. The favorable inflation
environment is offset by expensive valuations and below-average growth
prospects. We are also mildly positive on bonds due to attractive
valuation levels. Our views translate into a small overweight of
stocks versus bonds and stocks and bonds versus cash.
Equities
Our favorite region is Non-Japan Asia, especially Singapore. This is
followed by Japan and continental Europe. Our least favorite regions
are the UK and North America.
Within non-Japan Asia, we are bullish on Singapore due mostly to
strong capital flows. We are also favorable on Hong Kong and
Australia. Hong Kong has strong fund flows and good valuation levels,
while Australia exhibits strong earnings momentum. We consider New
Zealand unattractive, mainly as a result of poor momentum and export
prospects.
7
<PAGE>
PERFORMANCE OVERVIEW
We are not positive on the UK equities market, as it stacks up poorly
across all of our forecast variables. Although we generally prefer
Canadian equities to U.S. equities, we consider North America the
least attractive region due mainly to expensive valuations and poor
export prospects.
Bonds
We are most favorable on the bond market of Japan, followed by
Australian and Swedish bond markets. We consider the U.S., UK and
Switzerland to be the least attractive bond markets.
Our bullishness on Japan is driven primarily by market outperformance
and strong fund flows. Within Europe, we are most positive on Sweden,
where yield-related forecast variables and monetary conditions appear
favorable. We find Switzerland among the least attractive bond markets
globally due to poor valuations and weak fund flows. The UK looks
unattractive as a result of unfavorable monetary conditions and
below-average yield-related forecast variables. Within the Dollar
Bloc, we are bullish on Australia given the attractive yield-related
forecast variables and relatively strong capital flows. With poor
market performance and unfavorable monetary conditions, the U.S. is
our least favorable bond market globally.
Currencies
Our favorite currencies are the Singapore dollar and the Japanese yen.
In general, we prefer the Dollar Bloc to the European currencies,
including the Euro and the British pound.
Within the Dollar Bloc, our optimism on the Singapore dollar is
motivated primarily by a supportive interest-rate environment, strong
fund flows and attractive long-term value. We are also positive on the
Australian and Canadian dollars, where market performance appears
strong. Our positive outlook on the Japanese yen can be attributed
mostly to strong medium-term momentum and good long-term value. We
consider the Euro and Greek drachma the least attractive currencies
globally, as they look poor across most of our forecast variables.
We hope this summary has been helpful to you in your understanding of
how we manage your Portfolio. If you have questions or comments, we
encourage you to contact your Goldman Sachs representative.
We thank you for the confidence you have placed in us and look forward
to your continued support.
Goldman Sachs Quantitative Research Group
New York, January 31, 2000
8
<PAGE>
GOLDMAN SACHS CONSERVATIVE STRATEGY PORTFOLIO
Performance Summary
December 31, 1999
The following graph shows the value as of December 31, 1999 of a $10,000 in-
vestment made on March 1, 1999 in Class A (with the maximum sales charge of
5.5%), Class B (applicable maximum contingent deferred sales charges of 5%
declining to 0% after six years), Class C (contingent deferred sales charge
of 1% if redeemed within twelve months), Institutional (at NAV) and Service
(at NAV) shares. For comparative purposes, the performance of the portfolio's
benchmarks (the S&P 500 Index, Lehman Brothers Aggregate Bond Index and two-
year U.S. Treasury Security ("Two-Year T-Bill")) are also shown. All perfor-
mance data shown represents past performance and should not be considered
indicative of future performance which will fluctuate with changes in market
conditions. These performance fluctuations will cause an investor's shares,
when redeemed, to be worth more or less than original cost.
Goldman Sachs Conservative Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested March 1, 1999
to December 31, 1999.(a)
[GRAPH]
Class A Class B Class C Institutional Service Class S&P 500
3/1/99 9450 10000 10000 10000 10000 10000
3/99 9575 10121 10131 10145 10132 10400
4/99 9755 10305 10304 10338 10321 10803
5/99 9701 10244 10241 10275 10273 10548
6/99 9754 10294 10301 10344 10339 11133
7/99 9687 10217 10224 10276 10256 10786
8/99 9653 10186 10182 10254 10230 10732
9/99 9661 10177 10184 10255 10237 10438
10/99 9771 10287 10293 10375 10353 11098
11/99 9831 10344 10350 10442 10405 11324
12/99 9931 9931 10342 10560 10513 11991
Lehman Aggr. Two-Year
3/1/99 10000 10000
3/99 10055 10070
4/99 10087 10092
5/99 9999 10077
6/99 9967 10100
7/99 9925 10124
8/99 9920 10147
9/99 10035 10207
10/99 10072 10212
11/99 10071 10227
12/99 10022 10235
<TABLE>
<CAPTION>
Average Annual Total Return through
December 31,1999(b) Since Inception(c)
Class A
<S> <C>
Excluding sales charges 5.52%
Including sales charges -0.26%
----------------------------------------------------------------
<CAPTION>
Class B
<S> <C>
Excluding contingent deferred sales charges 4.92%
Including contingent deferred sales charges -0.24%
----------------------------------------------------------------
<CAPTION>
Class C
<S> <C>
Excluding contingent deferred sales charges 4.79%
Including contingent deferred sales charges 3.76%
----------------------------------------------------------------
Institutional Class 6.04%
----------------------------------------------------------------
Service Class 5.56%
----------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on February 8, 1999.
(c) Represents the cumulative total return since the Fund has not been in
operation for a full 12 months.
9
<PAGE>
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Performance Summary
December 31, 1999
The following graph shows the value as of December 31, 1999 of a $10,000 in-
vestment made on February 1, 1998 in Class A (with the maximum sales charge
of 5.5%), Class B (applicable maximum contingent deferred sales charges of 5%
declining to 0% after six years), Class C (contingent deferred sales charge
of 1% if redeemed within twelve months), Institutional (at NAV) and Service
(at NAV) shares. For comparative purposes, the performance of the portfolio's
benchmarks (the S&P 500 Index, Lehman Brothers High Yield Bond Index and Two-
Year T-Bill) are also shown. All performance data shown represents past per-
formance and should not be considered indicative of future performance which
will fluctuate with changes in market conditions. These performance fluctua-
tions will cause an investor's shares, when redeemed, to be worth more or
less than original cost.
Goldman Sachs Balanced Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested February 1,
1998 to December 31, 1999.(a)
[GRAPH]
<TABLE>
<CAPTION>
Class A Class B Class C Institutional Service Class S&P 500 Lehman High Yield Two Year T-
Bill
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2/1/98 9,450 10,000 10,000 10,000 10,000 10,000 10,000 10,000
2/98 9,814 9,879 10,279 10,401 10,393 10,721 10,059 10,000
3/98 9,975 10,041 10,442 10,575 10,555 11,270 10,154 10,035
4/98 10,006 10,067 10,468 10,610 10,586 11,384 10,193 10,077
5/98 9,950 10,003 10,404 10,554 10,527 11,188 10,229 10,128
6/98 9,965 10,012 10,414 10,573 10,541 11,642 10,266 10,177
7/98 9,932 9,961 10,374 10,541 10,495 11,518 10,324 10,221
8/98 9,300 9,304 9,704 9,873 9,835 9,852 9,754 10,370
9/98 9,394 9,402 9,797 9,975 9,933 10,484 9,798 10,512
10/98 9,674 9,679 10,083 10,277 10,229 11,336 9,597 10,567
11/98 9,878 9,886 10,291 10,496 10,443 12,023 9,996 10,517
12/98 10,055 10,062 10,481 10,699 10,630 12,715 10,007 10,546
1/99 10,173 10,282 10,691 10,000 10,000 13,247 10,155 10,574
2/99 9,987 10,070 10,489 10,000 10,000 12,835 10,095 10,500
3/99 10,207 10,304 10,714 10,000 10,000 13,348 10,191 10,573
4/99 10,484 10,587 10,998 10,000 10,000 13,865 10,388 10,596
5/99 10,298 10,381 10,792 10,000 10,000 13,538 10,248 10,581
6/99 10,476 10,553 10,965 10,000 10,000 14,289 10,227 10,605
7/99 10,339 10,827 10,824 11,005 10,923 13,844 10,268 10,629
8/99 10,319 10,796 10,793 10,984 10,892 13,775 10,154 10,654
9/99 10,305 10,780 10,777 10,980 10,884 13,397 10,080 10,717
10/99 10,502 10,966 10,973 11,190 11,082 14,245 10,014 10,722
11/99 10,669 11,141 11,138 11,369 11,259 14,535 10,132 10,738
12/99 11,004 10,915 11,486 11,738 11,619 15,391 10,246 10,746
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return through
December 31, 1999 Since Inception(b) One Year
Class A
<S> <C> <C>
Excluding sales charges 8.47% 10.58%
Including sales charges 5.46% 4.50%
-------------------------------------------------------------------------
<CAPTION>
Class B
<S> <C> <C>
Excluding contingent deferred sales charges 7.70% 9.66%
Including contingent deferred sales charges 5.72% 4.51%
-------------------------------------------------------------------------
<CAPTION>
Class C
<S> <C> <C>
Excluding contingent deferred sales charges 7.72% 9.63%
Including contingent deferred sales charges 7.72% 8.60%
-------------------------------------------------------------------------
Institutional Class 8.95% 10.92%
-------------------------------------------------------------------------
Service Class 8.38% 10.47%
-------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on January 2, 1998.
10
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Investments
December 31, 1999
GOLDMAN SACHS
CONSERVATIVE STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
Mutual Funds (Institutional Shares) - 98.4%
Equity - 22.3%
149,288 Goldman Sachs CORE Large Cap Value Fund - 10.9% $ 1,594,391
61,346 Goldman Sachs CORE Large Cap Growth Fund - 8.8% 1,283,353
43,251 Goldman Sachs Real Estate Securities
Fund - 2.6% 375,850
-----------
$ 3,253,594
---------------------------------------------------------------------------
Fixed Income - 76.1%
894,753 Goldman Sachs Short Duration Government Fund - 58.2% $ 8,482,256
180,889 Goldman Sachs Global Income
Fund - 17.9% 2,612,031
-----------
$11,094,287
---------------------------------------------------------------------------
TOTAL MUTUAL FUNDS
(Cost $14,299,992) $14,347,881
---------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount Interest Rate Maturity Date Value
<S> <C> <C> <C>
Repurchase Agreement - 0.7%
Joint Repurchase Agreement Account
$100,000 3.16% 1/3/2000 $ 100,000
-------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $100,000) $ 100,000
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $14,399,992) $ 14,447,881
-------------------------------------------------------------------------------------
</TABLE>
GOLDMAN SACHS
BALANCED STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
Mutual Funds (Institutional Shares) - 99.5%
Equity - 44.3%
1,786,510 Goldman Sachs CORE International Equity Fund - 22.8% $22,420,703
764,477 Goldman Sachs CORE Large Cap Value Fund - 8.3% 8,164,618
456,171 Goldman Sachs CORE Large Cap Growth Fund - 9.7% 9,543,099
187,243 Goldman Sachs Real Estate Securities Fund - 1.7% 1,627,139
148,937 Goldman Sachs CORE Small Cap Equity Fund - 1.8% 1,767,886
-----------
$43,523,445
-----------------------------------------------------------------------------
Fixed Income - 55.2%
3,422,202 Goldman Sachs Short Duration Government Fund - 33.0% $32,442,476
1,257,391 Goldman Sachs Global Income Fund - 18.5% 18,156,732
402,812 Goldman Sachs High Yield Fund - 3.7% 3,665,593
-----------
$54,264,801
-----------------------------------------------------------------------------
TOTAL MUTUAL FUNDS
(Cost $90,619,393) $97,788,246
-----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount Interest Rate Maturity Date Value
<S> <C> <C> <C>
Repurchase Agreement - 0.2%
Joint Repurchase Agreement Account
$200,000 3.16% 1/3/2000 $ 200,000
-------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $200,000) $ 200,000
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $90,819,393) $ 97,988,246
-------------------------------------------------------------------------------------
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
For information on the underlying mutual funds, please call our toll free
Shareholder Services Line at
1-800-526-7384 or visit us on the web at www.gs.com/funds.
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Performance Summary
December 31, 1999
The following graph shows the value as of December 31, 1999 of a $10,000 in-
vestment made on February 1, 1998 in Class A (with the maximum sales charge
of 5.5%), Class B (applicable maximum contingent deferred sales charges of 5%
declining to 0% after six years), Class C (contingent deferred sales charges
of 1% if redeemed within twelve months), Institutional (at NAV) and Service
(at NAV) shares. For comparative purposes, the performance of the portfolio's
benchmarks (the S&P 500 Index, Lehman Brothers High Yield Bond Index, Lehman
Brothers Aggregate Bond Index and Morgan Stanley EAFE Index ("MSCI EAFE"))
are also shown. All performance data shown represents past performance and
should not be considered indicative of future performance which will fluctu-
ate with changes in market conditions. These performance fluctuations will
cause an investor's shares, when redeemed, to be worth more or less than
original cost.
Goldman Sachs Growth and Income Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested February 1,
1998 to December 31, 1999.(a)
[GRAPH]
<TABLE>
<CAPTION>
Class A Class B Class C Institutional Service Class S&P 500 Lehman High Yield Lehman Aggr. MSCI EAFE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2/1/98 9,450 10,000 10,000 10,000 10,000 10,000 10,000 10,000 10,000
2/98 9,894 10,460 10,450 10,470 10,470 10,721 10,059 9,992 10,644
3/98 10,109 10,691 10,681 10,701 10,693 11,270 10,154 10,027 10,974
4/98 10,155 10,731 10,720 10,750 10,742 11,384 10,193 10,079 11,063
5/98 9,988 10,545 10,534 10,574 10,566 11,188 10,229 10,175 11,012
6/98 9,959 10,510 10,499 10,549 10,523 11,642 10,266 10,261 11,098
7/98 9,847 10,382 10,371 10,431 10,405 11,518 10,324 10,283 11,213
8/98 8,806 9,272 9,271 9,338 9,304 9,852 9,754 10,450 9,826
9/98 8,946 9,416 9,414 9,485 9,450 10,484 9,798 10,695 9,527
10/98 9,320 9,800 9,798 9,881 9,845 11,336 9,597 10,638 10,523
11/98 9,628 10,135 10,123 10,228 10,181 12,023 9,996 10,699 11,065
12/98 9,852 10,354 10,352 10,465 10,414 12,715 10,007 10,731 11,504
1/99 9,994 10,494 10,492 10,617 10,555 13,247 10,155 10,807 11,473
2/99 9,729 10,214 10,212 10,345 10,283 12,836 10,095 10,619 11,202
3/99 10,038 10,530 10,517 10,663 10,599 13,349 10,191 10,677 11,673
4/99 10,438 10,941 10,928 11,098 11,023 13,866 10,388 10,711 12,148
5/99 10,200 10,690 10,678 10,845 10,771 13,539 10,248 10,617 11,525
6/99 10,506 11,001 10,988 11,171 11,092 14,290 10,227 10,584 11,976
7/99 10,439 10,931 10,918 11,110 11,021 13,844 10,268 10,539 12,335
8/99 10,410 10,881 10,878 11,070 10,990 13,775 10,154 10,533 12,383
9/99 10,350 10,817 10,803 11,017 10,924 13,397 10,080 10,656 12,511
10/99 10,610 11,089 11,075 11,304 11,208 14,245 10,014 10,695 12,983
11/99 10,879 11,350 11,347 11,590 11,483 14,535 10,132 10,694 13,436
12/99 11,408 11,329 11,899 12,155 12,039 15,391 10,246 10,642 14,644
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return through
December 31, 1999 Since Inception(b) One Year
<S> <C> <C>
Class A
Excluding sales charges 11.09% 15.79%
Including sales charges 8.00% 9.46%
-------------------------------------------------------------------------
Class B
Excluding contingent deferred sales charges 10.31% 14.95%
Including contingent deferred sales charges 8.40% 9.86%
-------------------------------------------------------------------------
Class C
Excluding contingent deferred sales charges 10.29% 14.94%
Including contingent deferred sales charges 10.29% 13.92%
-------------------------------------------------------------------------
Institutional Class 11.47% 16.14%
-------------------------------------------------------------------------
Service Class 10.94% 15.60%
-------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on January 2, 1998.
12
<PAGE>
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Performance Summary
December 31, 1999
The following graph shows the value as of December 31, 1999 of a $10,000 in-
vestment made on February 1, 1998 in Class A (with the maximum sales charge
of 5.5%), Class B (applicable maximum contingent deferred sales charge of 5%
declining to 0% after six years), Class C (contingent deferred sales charge
of 1% if redeemed within twelve months), Institutional (at NAV) and Service
(at NAV) shares. For comparative purposes, the performance of the portfolio's
benchmarks (the S&P 500 Index, MSCI EAFE, Russell 2000 Index and Morgan Stan-
ley Emerging Markets Free Index ("MSCI EMF")) are also shown. All performance
data shown represents past performance and should not be considered indica-
tive of future performance which will fluctuate with changes in market condi-
tions. These performance fluctuations will cause an investor's shares, when
redeemed, to be worth more or less than original cost.
Goldman Sachs Growth Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested February 1,
1998 to December 31, 1999.(a)
[GRAPH]
Class A Class B Class C Institutional Service Class S&P 500
------- ------- ------- ------------- ------------- -------
2/1/98 9,450 10,000 10,000 10,000 10,000 10,000
2/98 9,986 10,567 10,577 10,567 10,567 10,721
3/98 10,254 10,843 10,852 10,854 10,843 11,270
4/98 10,309 10,892 10,901 10,913 10,901 11,384
5/98 10,050 10,619 10,627 10,639 10,627 11,188
6/98 9,901 10,533 10,552 10,570 10,551 11,642
7/98 9,796 10,328 10,346 10,377 10,345 11,518
8/98 8,417 8,870 8,888 8,915 8,887 9,852
9/98 8,561 9,019 9,035 9,076 9,049 10,484
10/98 9,034 9,508 9,525 9,578 9,539 11,336
11/98 9,396 9,889 9,897 9,971 9,931 12,023
12/98 9,665 10,165 10,172 10,256 10,210 12,715
1/99 9,805 10,303 10,320 10,406 10,359 13,247
2/99 9,524 9,997 10,014 10,107 10,052 12,836
3/99 9,871 10,362 10,380 10,486 10,429 13,349
4/99 10,388 10,886 10,904 11,034 10,965 13,866
5/99 10,115 10,600 10,617 10,745 10,677 13,539
6/99 10,538 11,035 11,043 11,193 11,123 14,290
7/99 10,454 10,946 10,954 11,113 11,034 13,844
8/99 10,416 10,896 10,904 11,074 10,994 13,775
9/99 10,322 10,788 10,805 10,984 10,895 13,397
10/99 10,679 11,153 11,171 11,363 11,262 14,245
11/99 10,989 11,480 11,488 11,702 11,600 14,535
12/99 11,680 11,605 12,202 12,435 12,316 15,391
Lehman High Yield Lehman Aggr. MSCI EAFE
----------------- ------------ ---------
10,000 10,000 10,000
10,644 10,739 11,044
10,974 11,181 11,523
11,063 11,243 11,398
11,012 10,637 9,836
11,098 10,659 8,804
11,213 9,796 9,083
9,826 7,894 6,457
9,527 8,512 6,867
10,523 8,859 7,590
11,065 9,323 8,221
11,504 9,900 8,102
11,473 10,032 7,971
11,202 9,219 8,049
11,673 9,363 9,110
12,148 10,202 10,237
11,525 10,351 10,177
11,976 10,819 11,333
12,335 10,522 11,024
12,383 10,133 11,125
12,511 10,135 10,748
12,983 10,177 10,977
13,436 10,784 11,962
14,644 12,003 13,483
<TABLE>
<CAPTION>
Average Annual Total Return through
December 31, 1999 Since Inception(b) One Year
<S> <C> <C>
Class A
Excluding sales charges 12.46% 20.85%
Including sales charges 9.33% 14.20%
-------------------------------------------------------------------------
Class B
Excluding contingent deferred sales charges 11.66% 19.87%
Including contingent deferred sales charges 9.82% 14.82%
-------------------------------------------------------------------------
Class C
Excluding contingent deferred sales charges 11.69% 19.96%
Including contingent deferred sales charges 11.69% 18.95%
-------------------------------------------------------------------------
Institutional Class 12.80% 21.24%
-------------------------------------------------------------------------
Service Class 12.26% 20.62%
-------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on January 2, 1998.
13
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Investments
December 31, 1999
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
Mutual Funds (Institutional Shares) - 99.7%
<C> <S> <C>
Equity - 64.6%
8,524,724 Goldman Sachs CORE International Equity Fund - 23.0% $106,985,292
5,757,888 Goldman Sachs CORE Large Cap Value Fund - 13.2% 61,494,246
3,542,964 Goldman Sachs CORE Large Cap Growth Fund - 15.9% 74,118,801
1,949,623 Goldman Sachs Emerging Markets Equity Fund - 5.0% 23,044,540
1,469,387 Goldman Sachs CORE Small Cap Equity Fund - 3.7% 17,441,625
873,503 Goldman Sachs Real Estate Securities Fund - 1.6% 7,590,742
670,229 Goldman Sachs International Small Cap Equity Fund -
2.2% 10,026,630
------------
$300,701,876
------------------------------------------------------------------------------
Fixed Income - 35.1%
6,439,894 Goldman Sachs Global Income
Fund - 20.0% $ 92,992,063
5,235,850 Goldman Sachs Core Fixed Income Fund - 10.5% 49,059,916
2,364,157 Goldman Sachs High Yield
Fund - 4.6% 21,513,830
------------
$163,565,809
------------------------------------------------------------------------------
TOTAL MUTUAL FUNDS
(Cost $409,334,870) $464,267,685
------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $409,334,870) $464,267,685
------------------------------------------------------------------------------
</TABLE>
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
Mutual Funds (Institutional Shares) - 100.0%
<C> <S> <C>
Equity - 83.7%
7,785,164 Goldman Sachs CORE International Equity Fund - 29.7% $ 97,703,812
5,857,479 Goldman Sachs CORE Large Cap Value Fund - 19.0% 62,557,878
3,087,746 Goldman Sachs CORE Large Cap Growth Fund - 19.6% 64,595,650
1,671,791 Goldman Sachs Emerging Markets Equity Fund - 6.0% 19,760,570
1,298,700 Goldman Sachs CORE Small Cap Equity Fund - 4.7% 15,415,565
760,982 Goldman Sachs Real Estate
Securities Fund - 2.0% 6,612,930
582,320 Goldman Sachs International Small Cap Equity Fund -
2.7% 8,711,509
------------
$275,357,914
------------------------------------------------------------------------------
Fixed Income - 16.3%
2,554,117 Goldman Sachs Global Income Fund - 11.2% $ 36,881,444
1,202,688 Goldman Sachs Core Fixed Income Fund - 3.4% 11,269,187
611,360 Goldman Sachs High Yield
Fund - 1.7% 5,563,377
------------
$ 53,714,008
------------------------------------------------------------------------------
TOTAL MUTUAL FUNDS
(Cost $273,903,169) $329,071,922
------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount Interest Rate Maturity Date Value
<S> <C> <C> <C>
Repurchase Agreement - 0.2%
Joint Repurchase Agreement Account
$600,000 3.16% 1/3/2000 $ 600,000
-------------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $600,000) $ 600,000
-------------------------------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $274,503,169) $329,671,922
-------------------------------------------------------------------------------------
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
For information on the underlying mutual funds, please call our toll free
Shareholder Services Line at
1-800-526-7384 or visit us on the web at www.gs.com/funds.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO
Performance Summary
December 31, 1999
The following graph shows the value as of December 31, 1999, of a $10,000 in-
vestment made on February 1, 1998 in Class A (with the maximum sales charge
of 5.5%), Class B (applicable maximum contingent deferred sales charges of 5%
declining to 0% after six years), Class C (contingent deferred sales charge
of 1% if redeemed within twelve months), Institutional (at NAV) and Service
(at NAV) shares. For comparative purposes, the performance of the portfolio's
benchmarks (the S&P 500 Index, MSCI EAFE, Russell 2000 Index and MSCI EMF)
are also shown. All performance data shown represents past performance and
should not be considered indicative of future performance which will fluctu-
ate with changes in market conditions. These performance fluctuations will
cause an investor's shares, when redeemed, to be worth more or less than
original cost.
Goldman Sachs Aggressive Growth Strategy Portfolio's Lifetime Performance
Performance of a $10,000 Investment, Distributions Reinvested February 1,
1998 to December 31, 1999.(a)
[GRAPH]
Class A Class B Class C Institutional Class
------- ------- ------- -------------------
2/1/98 9,450 10,000 10,000 10,000
2/98 10,050 10,635 10,635 10,635
3/98 10,327 10,928 10,928 10,928
4/98 10,382 10,977 10,977 10,986
5/98 10,041 10,615 10,615 10,625
6/98 9,930 10,488 10,488 10,508
7/98 9,708 10,254 10,244 10,273
8/98 8,084 8,525 8,525 8,555
9/98 8,223 8,672 8,672 8,701
10/98 8,786 9,248 9,258 9,297
11/98 9,173 9,658 9,668 9,707
12/98 9,466 9,954 9,965 10,039
1/99 9,587 10,082 10,093 10,167
2/99 9,298 9,768 9,779 9,661
3/99 9,680 10,161 10,171 10,266
4/99 10,276 10,789 10,790 10,908
5/99 9,988 10,475 10,485 10,602
6/99 10,509 11,015 11,025 11,165
7/99 10,476 10,907 10,917 11,066
8/99 10,360 10,848 10,858 11,017
9/99 10,248 10,720 10,721 10,888
10/99 10,658 11,142 11,153 11,333
11/99 11,031 11,525 11,536 11,738
12/99 11,869 11,806 12,391 12,623
Service S&P MSCI Russell MSCI
Class 500 EAFE 2000 EMF
------- ------ ------ ------- ------
2/1/98 10,000 10,000 10,000 10,000 10,000
2/98 10,635 10,721 10,644 10,739 11,044
3/98 10,928 11,270 10,974 11,181 11,523
4/98 10,986 11,384 11,063 11,243 11,398
5/98 10,625 11,188 11,012 10,637 9,836
6/98 10,508 11,642 11,098 11,659 8,804
7/98 10,273 11,518 11,213 9,796 9,083
8/98 8,545 9,852 9,826 7,894 6,457
9/98 8,701 10,484 9,527 8,512 6,867
10/98 9,297 11,336 10,523 8,859 7,590
11/98 9,707 12,023 11,065 9,323 8,221
12/98 10,013 12,715 11,504 9,900 8,102
1/99 10,142 13,247 11,473 10,032 7,971
2/99 9,836 12,836 11,202 9,219 8,049
3/99 10,230 13,349 11,673 9,363 9,110
4/99 10,872 13,866 12,148 10,202 10,237
5/99 10,556 13,539 11,525 10,351 10,177
6/99 11,108 14,290 11,976 10,819 11,333
7/99 11,010 13,844 12,335 10,522 11,024
8/99 10,960 13,775 12,383 10,133 11,125
9/99 10,832 13,397 12,511 10,135 10,748
10/99 11,266 14,245 12,983 10,177 10,977
11/99 11,661 14,535 13,436 10,784 11,962
12/99 12,533 15,391 14,644 12,003 13,483
<TABLE>
<CAPTION>
Average Annual Total Return through
December 31, 1999 Since Inception(b) One Year
<S> <C> <C>
Class A
Excluding sales charges 13.43% 25.39%
Including sales charges 10.27% 18.51%
-------------------------------------------------------------------------
Class B
Excluding contingent deferred sales charges 12.63% 24.41%
Including contingent deferred sales charges 10.82% 19.39%
-------------------------------------------------------------------------
Class C
Excluding contingent deferred sales charges 12.66% 24.35%
Including contingent deferred sales charges 12.66% 23.35%
-------------------------------------------------------------------------
Institutional Class 13.71% 25.74%
-------------------------------------------------------------------------
Service Class 13.31% 25.17%
-------------------------------------------------------------------------
</TABLE>
(a) For comparative purposes, initial investments are assumed to be made on
the first day of the month following commencement of operations.
(b) All classes commenced operations on January 2, 1998.
15
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statement of Investments
December 31, 1999
GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
Mutual Funds (Institutional Shares) - 99.2%
Equity - 99.2%
3,591,951 Goldman Sachs CORE International Equity Fund - 32.6% $ 45,078,980
3,007,588 Goldman Sachs CORE Large Cap Value Fund - 23.3% 32,121,039
1,498,747 Goldman Sachs CORE Large Cap Growth Fund - 22.7% 31,353,788
922,816 Goldman Sachs Emerging Markets Equity Fund - 7.9% 10,907,682
727,257 Goldman Sachs CORE Small Cap Equity Fund - 6.2% 8,632,535
380,738 Goldman Sachs International Small Cap Equity Fund -
4.1% 5,695,837
375,717 Goldman Sachs Real Estate
Securities Fund - 2.4% 3,264,978
------------
$137,054,839
- -------------------------------------------------------------------------------
TOTAL MUTUAL FUNDS
(Cost $110,188,691) $137,054,839
- -------------------------------------------------------------------------------
TOTAL IN-VESTMENTS
(Cost $110,188,691) $137,054,839
- -------------------------------------------------------------------------------
</TABLE>
The percentage shown for each investment category reflects the value of
investments in that category as a percentage of total net assets.
For information on the underlying mutual funds, please call our toll free
Shareholder Services Line at
1-800-526-7384 or visit us on the web at www.gs.com/funds.
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Assets and Liabilities
December 31, 1999
<TABLE>
<CAPTION>
Conservative Balanced Growth and Income Growth Aggressive Growth
Strategy Portfolio Strategy Portfolio Strategy Portfolio Strategy Portfolio Strategy Portfolio
Assets:
<S> <C> <C> <C> <C> <C>
Investment in
securities, at value
(identified cost
$14,399,992,
$90,819,393,
$409,334,870,
$274,503,169,
$110,188,691,
respectively) $14,447,881 $97,988,246 $464,267,685 $329,671,922 $137,054,839
Cash 14,351 103,865 -- 90,533 --
Receivables:
Investment securities
sold -- -- 111,475 -- 50,638
Dividends and interest 81,411 360,799 712,343 137,292 --
Fund shares sold 231,200 181,006 1,327,248 722,357 1,278,570
Reimbursement from
adviser 33,650 80,770 19,903 20,786 55,615
Deferred organization
expenses, net -- 9,384 9,384 9,384 9,384
Other assets -- 36,201 80,384 30,191 23,193
-------------------------------------------------------------------------------------------------------------------------
Total assets 14,808,493 98,760,271 466,528,422 330,682,465 138,472,239
-------------------------------------------------------------------------------------------------------------------------
Liabilities:
Due to Custodian -- -- 111,475 -- 50,638
Payables:
Investment securities
purchased 114,351 288,448 -- 690,533 --
Fund shares repurchased 28,695 115,576 593,334 668,278 146,627
Dividends and
distributions 225 4,480 1,579 854 --
Amounts owed to
affiliates 16,666 84,499 368,308 275,437 110,387
Accrued expenses and
other liabilities 63,136 35,008 36,156 36,100 35,253
-------------------------------------------------------------------------------------------------------------------------
Total liabilities 223,073 528,011 1,110,852 1,671,202 342,905
-------------------------------------------------------------------------------------------------------------------------
Net Assets:
Paid-in capital 14,597,966 92,232,004 419,362,341 284,730,212 117,372,230
Accumulated
undistributed net
investment income 11,141 74,007 379,632 150,904 520
Accumulated net realized
loss on investment
transactions (71,576) (1,242,604) (9,257,218) (11,038,606) (6,109,564)
Net unrealized gain on
investments 47,889 7,168,853 54,932,815 55,168,753 26,866,148
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS $14,585,420 $98,232,260 $465,417,570 $329,011,263 $138,129,334
-------------------------------------------------------------------------------------------------------------------------
Net asset value,
offering and redemption
price per share:(a)
Class A $ 10.17 $ 10.99 $ 11.71 $ 12.24 $ 12.61
Class B $ 10.18 $ 10.98 $ 11.69 $ 12.21 $ 12.57
Class C $ 10.17 $ 10.99 $ 11.69 $ 12.22 $ 12.57
Institutional $ 10.18 $ 10.99 $ 11.71 $ 12.23 $ 12.60
Service $ 10.18 $ 10.99 $ 11.69 $ 12.22 $ 12.59
-------------------------------------------------------------------------------------------------------------------------
Shares Outstanding:
Class A 166,861 3,618,863 16,662,183 10,648,526 4,631,725
Class B 1,026,961 2,997,907 12,292,112 9,986,725 3,775,389
Class C 237,572 2,124,946 8,174,605 5,739,098 2,272,739
Institutional 556 159,558 2,492,818 481,574 283,292
Service 1,380 38,121 158,682 60,112 10,908
-------------------------------------------------------------------------------------------------------------------------
Total shares
outstanding, $.001 par
value
(unlimited number of
shares authorized) 1,433,330 8,939,395 39,780,400 26,916,035 10,974,053
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Maximum public offering price per share (NAV per share multiplied by
1.0582) for Class A shares of the Conservative, Balanced, Growth and
Income, Growth and Aggressive Growth Strategy Portfolios is $10.76,
$11.63, $12.39, $12.95 and $13.34, respectively. At redemption, Class B
and Class C shares may be subject to a contingent deferred sales charge,
assessed on the amount equal to the lesser of the current net asset value
or the original purchase price of the shares.
The accompanying notes are an integral part of these financial statements.
17
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Operations
For the Year Ended December 31, 1999
<TABLE>
<CAPTION>
Conservative Balanced Growth and Income Growth Aggressive Growth
Strategy Portfolio(a) Strategy Portfolio Strategy Portfolio Strategy Portfolio Strategy Portfolio
<S> <C> <C> <C> <C> <C>
Investment income:
Income distributions
from underlying funds $ 492,046 $3,801,002 $11,438,999 $ 4,618,732 $ 850,148
Interest 2,871 1,368 -- -- 1,700
-------------------------------------------------------------------------------------------------------------------------------
Total income 494,917 3,802,370 11,438,999 4,618,732 851,848
-------------------------------------------------------------------------------------------------------------------------------
Expenses:
Management fees 34,384 353,673 1,543,759 1,076,406 413,376
Distribution and
service fees(b) 89,728 689,743 2,793,080 2,082,707 775,435
Transfer agent fees(b) 18,627 189,653 803,333 576,665 220,841
Custodian fees 31,193 37,435 40,199 37,179 35,804
Registration fees 114,522 66,156 86,504 69,841 68,140
Printing fees 53,431 78,191 77,858 78,629 78,565
Professional fees 45,750 45,299 37,543 41,031 37,511
Trustee fees 3,533 9,961 9,992 9,926 9,923
Service share fees 104 2,295 8,917 3,115 639
Amortization of
deferred organization
expenses -- 3,124 3,124 3,124 3,124
Other 14,758 26,533 18,157 17,273 15,855
-------------------------------------------------------------------------------------------------------------------------------
Total expenses 406,030 1,502,063 5,422,466 3,995,896 1,659,213
-------------------------------------------------------------------------------------------------------------------------------
Less -- expenses
reimbursed and fees
waived (282,443) (464,755) (1,137,883) (859,791) (480,413)
-------------------------------------------------------------------------------------------------------------------------------
Net expenses 123,587 1,037,308 4,284,583 3,136,105 1,178,800
-------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS) 371,330 2,765,062 7,154,416 1,482,627 (326,952)
-------------------------------------------------------------------------------------------------------------------------------
Realized and unrealized gain (loss):
Capital gain
distributions from
underlying funds 30,617 657,854 3,794,547 3,399,319 1,625,836
Net realized loss from
investment transactions (76,211) (362,801) (8,095,438) (7,977,873) (4,234,702)
Net change in
unrealized gain on
investments 47,889 6,486,202 60,600,001 60,257,599 30,030,774
-------------------------------------------------------------------------------------------------------------------------------
Net realized and
unrealized gain 2,295 6,781,255 56,299,110 55,679,045 27,421,908
-------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS $ 373,625 $9,546,317 $63,453,526 $57,161,672 $27,094,956
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement date of operations was February 8, 1999.
(b) The fees were as follows:
<TABLE>
<CAPTION>
Distribution and Service
fees Transfer Agent fees
------------------------ -------------------
Class A Class B Class C Class A Class B Class C Institutional Service
------- ------- ------- ------- ------- ------- ------------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Conservative Strategy
Portfolio $ 2,748 $ 60,259 $ 26,721 $ 2,089 $ 11,450 $ 5,077 $ 2 $ 9
Balanced Strategy
Portfolio 101,716 336,432 251,595 77,305 63,922 47,803 440 183
Growth and Income
Strategy Portfolio 462,094 1,381,257 949,729 351,191 262,439 180,448 8,542 713
Growth Strategy
Portfolio 313,869 1,120,232 648,606 238,541 212,844 123,235 1,796 249
Aggressive Growth
Strategy Portfolio 127,296 414,513 233,626 96,745 78,757 44,389 899 51
</TABLE>
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Changes in Net Assets
For the Year Ended December 31, 1999
<TABLE>
<CAPTION>
Conservative Balanced Growth and Income Growth Aggressive Growth
Strategy Portfolio(a) Strategy Portfolio Strategy Portfolio Strategy Portfolio Strategy Portfolio
<S> <C> <C> <C> <C> <C>
From operations:
Net investment income
(loss) $ 371,330 $ 2,765,062 $ 7,154,416 $ 1,482,627 $ (326,952)
Net realized gain
(loss) (45,594) 295,053 (4,300,891) (4,578,554) (2,608,866)
Net change in
unrealized gain on
investments 47,889 6,486,202 60,600,001 60,257,599 30,030,774
--------------------------------------------------------------------------------------------------------------------------------
Net increase in net
assets resulting from
operations 373,625 9,546,317 63,453,526 57,161,672 27,094,956
--------------------------------------------------------------------------------------------------------------------------------
Distributions to share-
holders:
From net investment
income
Class A shares (48,073) (1,283,422) (3,513,379) (775,133) --
Class B shares (227,566) (837,467) (1,850,557) (419,987) --
Class C shares (93,720) (604,293) (1,236,421) (239,577) --
Institutional shares (1,684) (47,311) (520,875) (43,647) --
Service shares (287) (13,741) (33,184) (4,283) --
In excess of net
investment income
Class A shares (2,527) (196,066) (1,212,004) (1,254,133) (582,900)
Class B shares (11,956) (127,938) (638,384) (679,523) (166,040)
Class C shares (4,924) (92,317) (426,526) (387,627) (112,211)
Institutional shares (88) (7,228) (179,686) (70,618) (45,376)
Service shares (15) (2,099) (11,447) (6,931) (1,221)
From net realized gain
Class A shares (331) -- (133,498) -- --
Class B shares (2,012) -- (98,778) -- --
Class C shares (750) -- (65,692) -- --
Institutional shares (36) -- (19,412) -- --
Service shares (1) -- (1,276) -- --
--------------------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (393,970) (3,211,882) (9,941,119) (3,881,459) (907,748)
--------------------------------------------------------------------------------------------------------------------------------
From share transac-
tions:
Proceeds from sales of
shares 17,086,075 32,867,922 136,387,842 92,727,150 46,103,886
Reinvestment of
dividends and
distributions 141,362 2,750,804 9,336,422 3,667,590 888,074
Cost of shares
repurchased (2,621,672) (42,576,876) (165,269,449) (125,249,674) (45,359,768)
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from share transactions 14,605,765 (6,958,150) (19,545,185) (28,854,934) 1,632,192
--------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE
(DECREASE) 14,585,420 (623,715) 33,967,222 24,425,279 27,819,400
--------------------------------------------------------------------------------------------------------------------------------
Net assets:
Beginning of year -- 98,855,975 431,450,348 304,585,984 110,309,934
--------------------------------------------------------------------------------------------------------------------------------
End of year $14,585,420 $98,232,260 $465,417,570 $329,011,263 $138,129,334
--------------------------------------------------------------------------------------------------------------------------------
Accumulated
undistributed net
investment income $ 11,141 $ 74,007 $ 379,632 $ 150,904 $ 520
--------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement date of operations was February 8, 1999.
The accompanying notes are an integral part of these financial statements.
19
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Statements of Changes in Net Assets
For the Period Ended December 31, 1998
<TABLE>
<CAPTION>
Balanced Growth and Income Growth Aggressive Growth
Strategy Portfolio(a) Strategy Portfolio(a) Strategy Portfolio(a) Strategy Portfolio(a)
<S> <C> <C> <C> <C>
From operations:
Net investment income $ 1,383,598 $ 4,786,745 $ 1,889,408 $ 290,616
Net realized gain (loss) (391,456) 1,940,943 (2,037,167) (1,809,589)
Net change in unrealized
gain (loss) on
investments 682,651 (5,667,186) (5,088,846) (3,164,626)
----------------------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations 1,674,793 1,060,502 (5,236,605) (4,683,599)
----------------------------------------------------------------------------------------------------------------------
Distributions to share-
holders:
From net investment
income
Class A shares (675,433) (2,306,364) (1,028,555) (235,518)
Class B shares (389,882) (1,359,409) (531,921) (33,771)
Class C shares (308,560) (990,627) (309,463) (19,874)
Institutional shares (2,105) (112,462) (16,851) (830)
Service shares (7,619) (17,883) (2,618) (623)
In excess of net
investment income
Class A shares (113,394) (822,962) (291,624) (689)
Class B shares (65,455) (485,067) (150,814) (99)
Class C shares (51,802) (353,478) (87,742) (58)
Institutional shares (353) (40,129) (4,778) (2)
Service shares (1,279) (6,381) (742) (2)
From net realized gain
Class A shares (162,793) (867,706) (595,050) (201,675)
Class B shares (140,756) (672,087) (501,683) (176,608)
Class C shares (102,275) (483,928) (297,823) (93,875)
Institutional shares (747) (43,567) (9,965) (496)
Service shares (1,869) (6,591) (1,740) (474)
----------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (2,024,322) (8,568,641) (3,831,369) (764,594)
----------------------------------------------------------------------------------------------------------------------
From share transactions:
Proceeds from sales of
shares 116,904,997 479,484,104 345,618,571 134,338,429
Reinvestment of
dividends and
distributions 1,726,504 7,902,811 3,614,716 736,661
Cost of shares
repurchased (19,425,997) (48,428,428) (35,579,329) (19,316,963)
----------------------------------------------------------------------------------------------------------------------
Net increase in net
assets resulting from
share transactions 99,205,504 438,958,487 313,653,958 115,758,127
----------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE 98,855,975 431,450,348 304,585,984 110,309,934
----------------------------------------------------------------------------------------------------------------------
Net assets:
Beginning of period -- -- -- --
----------------------------------------------------------------------------------------------------------------------
End of period $ 98,855,975 $431,450,348 $304,585,984 $110,309,934
----------------------------------------------------------------------------------------------------------------------
Accumulated
undistributed net
investment income $ 21,172 $ -- $ -- $ 15,311
----------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement date of operations was January 2, 1998.
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
December 31, 1999
1. ORGANIZATION
Goldman Sachs Trust (the "Trust") is a Delaware business trust registered un-
der the Investment Company Act of 1940 (as amended) as an open-end, manage-
ment investment company. The Trust includes Goldman Sachs Conservative
Strategy Portfolio (Conservative Strategy), Goldman Sachs Balanced Strategy
Portfolio (Balanced Strategy), Goldman Sachs Growth and Income Strategy Port-
folio (Growth and Income Strategy), Goldman Sachs Growth Strategy Portfolio
(Growth Strategy) and Goldman Sachs Aggressive Growth Strategy Portfolio (Ag-
gressive Growth Strategy), collectively, (the "Portfolios") or individually
(a "Portfolio"). Effective February 8, 1999, the name of Goldman Sachs Income
Strategy Portfolio was changed to Goldman Sachs Balanced Strategy Portfolio.
All of the Portfolios offer five classes of shares -- Class A, Class B, Class
C, Institutional and Service Shares.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios. The preparation of financial statements in con-
formity with generally accepted accounting principles requires management to
make estimates and assumptions that may affect the reported amounts. Actual
results could differ from those estimates.
A. Investment Valuation -- Each Portfolio invests in a combination of Under-
lying Funds (the "Underlying Funds") for which Goldman Sachs Asset Management
("GSAM"), a separate operating division of Goldman, Sachs & Co. ("Goldman
Sachs"), Goldman Sachs Funds Management L.P. ("GSFM") and Goldman Sachs Asset
Management International ("GSAMI"), affiliates of Goldman Sachs, act as in-
vestment adviser. Investments in the Underlying Funds are valued at the clos-
ing net asset value per share of each Underlying Fund on the day of
valuation. Because each Portfolio invests primarily in other mutual funds,
which fluctuate in value, the Portfolios' shares will correspondingly fluctu-
ate in value. Short-term debt obligations maturing in sixty days or less are
valued at amortized cost.
B. Securities Transactions and Investment Income -- Security transactions are
recorded as of the trade date. Realized gains and losses on sales of portfo-
lio securities are calculated on the identified cost basis. Dividend income
and capital gains distributions from the Underlying Funds are recorded on the
ex-dividend date. Interest income is recorded on the basis of interest ac-
crued.
C. Federal Taxes -- It is each Portfolio's policy to comply with the require-
ments of the Internal Revenue Code applicable to regulated investment compa-
nies and to distribute each year substantially all of its investment company
taxable income and capital gains to its shareholders. Accordingly, no federal
tax provisions are required.
The characterization of distributions to shareholders for financial report-
ing purposes is determined in accordance with income tax rules. Therefore,
the source of a Portfolio's distributions may be shown in the accompanying
financial statements as either from or in excess of net investment income or
net realized gain on investment transactions, or from paid-in-capital, de-
pending on the type of book/tax differences that may exist.
The Portfolios, at their most recent tax year-ends of December 31, 1999,
had approximately the following amounts of capital loss carryforward for U.S.
federal tax purposes. These amounts are available to be carried forward to
offset future capital gains to the extent permitted by applicable laws or
regulations.
<TABLE>
<CAPTION>
Years of
Portfolio Amount Expiration
------------------------------------------------
<S> <C> <C>
Growth and Income Strategy $5,807,000 2000-2007
------------------------------------------------
Growth Strategy 9,066,000 2000-2007
------------------------------------------------
Aggressive Growth Strategy 4,741,000 2000-2007
------------------------------------------------
</TABLE>
21
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
December 31, 1999
At December 31, 1999, the Fund's aggregate cost of portfolio securities,
gross unrealized gain on investments and gross unrealized loss on investments
for federal income tax purposes were as follows:
<TABLE>
<CAPTION>
Gross Gross Net
Unrealized Unrealized Unrealized
Portfolio Tax Cost Gain (Loss) Gain (Loss)
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Conservative Strategy $ 14,467,684 $ 263,076 $ (282,879) $ (19,803)
------------------------------------------------------------------------------
Balanced Strategy 92,205,693 8,104,653 (2,322,100) 5,782,553
------------------------------------------------------------------------------
Growth and Income Strategy 412,784,980 60,504,768 (9,022,063) 51,482,705
------------------------------------------------------------------------------
Growth Strategy 276,475,664 55,750,469 (2,554,211) 53,196,258
------------------------------------------------------------------------------
Aggressive Growth Strategy 111,556,815 25,642,910 (144,886) 25,498,024
------------------------------------------------------------------------------
</TABLE>
D. Expenses -- Expenses incurred by the Trust that do not specifically relate
to an individual Portfolio of the Trust are allocated to the Portfolios based
on a straight-line or pro rata basis depending upon the nature of the ex-
pense.
Class A, Class B and Class C shareholders of the Portfolios bear all ex-
penses and fees relating to their respective distribution and service plans.
Shareholders of Service shares bear all expenses and fees paid to service or-
ganizations. Each class of shares of the Funds separately bears its respec-
tive class-specific transfer agency fees.
E. Deferred Organization Expenses -- Organization-related costs are being am-
ortized on a straight line basis over a period of five years beginning with
the commencement of each Portfolio's operations (with the exception of the
Conservative Strategy Portfolio which commenced operations in 1999).
3. AGREEMENTS
As of September 1, 1999, Goldman Sachs & Co. ("Goldman Sachs") established a
new operating division called the Investment Management Division ("IMD").
This newly created entity includes Goldman Sachs Asset Management ("GSAM").
Pursuant to an Investment Management Agreement (the "Agreement"), GSAM serves
as the Portfolios' investment adviser. Under the Agreement, GSAM, subject to
the general supervision of the Trust's Board of Trustees, manages the Portfo-
lios. As compensation for the services rendered pursuant to the Agreement,
the assumption of the expenses related thereto and administering the Portfo-
lio's business affairs, including providing facilities, GSAM is entitled to a
fee, computed daily and payable monthly at an annual rate equal to .35% of
the average daily net assets of each Portfolio. For the year ended December
31, 1999, the adviser has voluntarily agreed to waive a portion of the man-
agement fee equal annually to .20% of each Portfolio's average daily net as-
sets. The adviser may discontinue or modify this waiver in the future at its
discretion.
During the period, GSAM has voluntarily agreed to limit "Other Expenses"
(excluding management fees, distribution and service fees, transfer agent
fees, taxes, interest, brokerage, litigation, service share fees, indemnifi-
cation costs and other extraordinary expenses) to the extent that such ex-
penses exceed .00% of the average daily net assets of each Portfolio.
22
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
For the year ended December 31, 1999, the adviser and distributor have vol-
untarily agreed to waive certain fees and reimburse other expenses as follows
(in thousands):
<TABLE>
<CAPTION>
Management
Portfolio Fee Waivers Reimbursement Total
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
Conservative Strategy $ 20 $262 $ 282
-------------------------------------------------------------------------------------
Balanced Strategy 202 263 465
-------------------------------------------------------------------------------------
Growth and Income Strategy 882 256 1,138
-------------------------------------------------------------------------------------
Growth Strategy 615 245 860
-------------------------------------------------------------------------------------
Aggressive Growth Strategy 236 244 480
-------------------------------------------------------------------------------------
</TABLE>
Goldman Sachs serves as Distributor of the shares of the Portfolios pursu-
ant to Distribution Agreements. Goldman Sachs may receive a portion of the
Class A sales load and Class B and Class C contingent deferred sales charges
and has advised the Portfolios that it retained approximately $4,000,
$41,000, $129,000, $124,000 and $52,000 for the year ended December 31, 1999
from the Conservative, Balanced, Growth and Income, Growth and Aggressive
Growth Strategy Portfolios, respectively.
The Trust, on behalf of each Portfolio, has adopted Distribution and Serv-
ice Plans. Under the Distribution and Service Plans, Goldman Sachs and/or Au-
thorized Dealers are entitled to a monthly fee from each Portfolio for
distribution and shareholder maintenance services equal, on an annual basis,
to .25%, 1.00% and 1.00% of the average daily net assets attributable to
Class A, Class B and Class C shares, respectively.
The Trust, on behalf of each Portfolio, has adopted Service Plans. These
plans allow for Service shares to compensate service organizations for pro-
viding varying levels of account administration and shareholder liaison serv-
ices to their customers, who are beneficial owners of such shares. The
Service Plan provides for compensation to the service organizations in an
amount up to .50% (on an annualized basis), respectively, of the average
daily net asset value of the Service shares.
Goldman Sachs also serves as Transfer Agent to the Portfolios for a fee.
Fees charged for such transfer agency services are calculated daily and pay-
able monthly at an annual rate as follows: 0.19% of average daily net assets
for Class A, Class B and Class C shares and .04% of average daily net assets
for Institutional and Service shares.
At December 31, 1999, the amounts owed to affiliates were as follows (in
thousands):
<TABLE>
<CAPTION>
Distribution
Management Transfer and Service
Portfolio Fees Agent Fees Fees Total
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Conservative Strategy $ 2 $ 3 $ 12 $ 17
----------------------------------------------------------------------------------
Balanced Strategy 12 16 56 84
----------------------------------------------------------------------------------
Growth and Income Strategy 58 70 240 368
----------------------------------------------------------------------------------
Growth Strategy 41 50 184 275
----------------------------------------------------------------------------------
Aggressive Growth Strategy 16 21 73 110
----------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
December 31, 1999
4. PORTFOLIO SECURITY TRANSACTIONS
Purchases and proceeds of sales or maturities of long-term securities for the
year ended December 31, 1999, were as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
-----------------------------------------------------
<S> <C> <C>
Conservative Strategy $ 20,546,199 $ 6,169,996
-----------------------------------------------------
Balanced Strategy 51,088,458 56,127,035
-----------------------------------------------------
Growth and Income Strategy 214,400,117 230,444,438
-----------------------------------------------------
Growth Strategy 151,303,414 178,761,979
-----------------------------------------------------
Aggressive Growth Strategy 57,262,789 55,958,857
-----------------------------------------------------
</TABLE>
5. LINE OF CREDIT FACILITY
The Portfolios participate in a $250,000,000 committed and a $250,000,000 un-
committed, unsecured revolving line of credit facility. Under the most re-
strictive arrangement, each Portfolio must own securities having a market
value in excess of 400% of the total bank borrowings. These facilities are to
be used solely for temporary or emergency purposes. The interest rate on
borrowings is based on the federal funds rate. The committed facility also
requires a fee to be paid by the Portfolios based on the amount of the com-
mitment, which has not been utilized. During the year ended December 31,
1999, the Portfolios did not have any borrowings under either of these facil-
ities.
6. REPURCHASE AGREEMENTS
During the term of a repurchase agreement, the value of the underlying secu-
rities, including accrued interest, is required to equal or exceed the value
of the repurchase agreement. The underlying securities for all repurchase
agreements are held in safekeeping at the Portfolios' custodian.
24
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
7. JOINT REPURCHASE AGREEMENT ACCOUNT
The Portfolios, together with other registered investment companies having
management agreements with GSAM or their affiliates, transfer uninvested cash
balances into joint accounts, the daily aggregate balance of which is in-
vested in one or more repurchase agreements.
At December 31, 1999, Conservative Strategy, Balanced Strategy and Growth
Strategy had an undivided interest in the repurchase agreement in the follow-
ing joint account which equaled $100,000, $200,000 and $600,000, respectively
in principal amount. At December 31, 1999, the following repurchase agree-
ments 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>
Morgan Stanley & Co. $501,500,000 3.25% 01/03/2000 $ 501,500,000
-----------------------------------------------------------------------------------------
Banc of America Securities 700,000,000 3.10 01/03/2000 700,000,000
-----------------------------------------------------------------------------------------
Chase Manhattan Bank 340,000,000 3.15 01/03/2000 340,000,000
-----------------------------------------------------------------------------------------
TOTAL JOINT REPURCHASE AGREEMENT ACCOUNT $ 1,541,500,000
-----------------------------------------------------------------------------------------
</TABLE>
8. CERTAIN RECLASSIFICATIONS
In accordance with Statement of position 93-2, the Conservative Strategy
Portfolio reclassified $7,799 and $22,852 from paid-in capital and accumu-
lated net realized gain, respectively, to accumulated undistributed net in-
vestment income. The Balanced Strategy Portfolio reclassified $3,124 and
$496,531 from paid-in capital and accumulated net realized gain, respective-
ly, to accumulated undistributed net investment income. The Growth and Income
Strategy Portfolio reclassified $3,124 and $2,844,555 from paid-in capital
and accumulated net realized gain, respectively, to accumulated undistributed
net investment income. The Growth Strategy Portfolio reclassified $3,124 and
$2,546,612 from paid-in capital and accumulated net realized gain, respec-
tively, to accumulated undistributed net investment income. The Aggressive
Growth Strategy Portfolio reclassified $3,124 and $1,216,785 from paid-in
capital and accumulated undistributed net investment income. These reclas-
sifications have no impact on the net asset value of the Portfolios and are
designed to present the Portfolios' capital accounts on a tax basis.
9. CHANGE IN INDEPENDENT AUDITORS
On October 26, 1999 the Board of Trustees of the Portfolios, upon the recom-
mendation of the Board's audit committee, determined not to retain Arthur An-
dersen LLP and approved a change of the Portfolios' independent auditors to
PricewaterhouseCoopers LLP. For the fiscal years ended December 31, 1999 and
December 31, 1998, Arthur Andersen LLP's audit reports contained no adverse
opinion or disclaimer of opinion; nor were their reports qualified or modi-
fied as to uncertainty, audit scope, or accounting principles. Further, there
were no disagreements between the Portfolios and Arthur Andersen LLP on ac-
counting principles or practices, financial statement disclosure or audit
scope or procedure, which if not resolved to the satisfaction of Arthur An-
dersen LLP would have caused them to make reference to the disagreement in
their report.
25
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
December 31, 1999
10. SUMMARY OF SHARE TRANSACTIONS
Share activity for the year ended December 31, 1999 was as follows:
<TABLE>
<CAPTION>
Conservative Strategy
Portfolio(a) Balanced Strategy Portfolio
------------------------------------------------
Shares Dollars Shares Dollars
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A Shares
Shares sold 173,881 $ 1,765,520 1,452,214 $ 15,248,899
Reinvestment of divi-
dends and distributions 4,900 49,622 127,553 1,355,167
Shares repurchased (11,920) (120,892) (1,862,291) (19,620,571)
------------------------------------------------
166,861 1,694,250 (282,524) (3,016,505)
------------------------------------------------------------------------------
Class B Shares
Shares sold 1,075,897 10,973,463 606,873 6,367,717
Reinvestment of divi-
dends and distributions 3,547 35,869 70,976 755,337
Shares repurchased (52,483) (530,826) (954,896) (10,069,732)
------------------------------------------------
1,026,961 10,478,506 (277,047) (2,946,678)
------------------------------------------------------------------------------
Class C Shares
Shares sold 425,917 4,326,427 931,443 9,788,481
Reinvestment of divi-
dends and distributions 5,474 55,366 54,712 582,252
Shares repurchased (193,819) (1,965,908) (1,206,850) (12,784,018)
------------------------------------------------
237,572 2,415,885 (220,695) (2,413,285)
------------------------------------------------------------------------------
Institutional Shares
Shares sold 543 6,876 137,748 1,461,448
Reinvestment of divi-
dends and distributions 19 198 5,105 54,535
Shares repurchased (6) (62) (3,152) (33,277)
------------------------------------------------
556 7,012 139,701 1,482,706
------------------------------------------------------------------------------
Service Shares
Shares sold 1,356 13,789 131 1,377
Reinvestment of divi-
dends and distributions 30 307 330 3,513
Shares repurchased (6) (3,984) (6,511) (69,278)
------------------------------------------------
1,380 10,112 (6,050) (64,388)
------------------------------------------------------------------------------
NET INCREASE (DECREASE) 1,433,330 $14,605,765 (646,615) $ (6,958,150)
------------------------------------------------------------------------------
</TABLE>
(a) Class A, Class B, Class C, Institutional and Service Share activity
commenced on February 8, 1999.
26
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
<TABLE>
<CAPTION>
Growth and Income Strategy Portfolio Growth Strategy Portfolio Aggressive Growth Strategy Portfolio
------------------------------------------------------------------------------------------------------------
Shares Dollars Shares Dollars Shares Dollars
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
5,321,949 $ 57,499,167 2,940,937 $ 32,088,679 1,807,637 $ 19,472,820
420,316 4,671,976 161,757 1,953,023 46,124 572,389
(6,552,403) (70,781,847) (4,972,176) (54,217,259) (1,860,531) (20,223,331)
------------------------------------------------------------------------------------------------------------
(810,138) (8,610,704) (1,869,482) (20,175,557) (6,770) (178,122)
------------------------------------------------------------------------------------------------------------
2,489,932 26,764,231 2,725,853 29,543,291 1,035,164 11,351,648
209,269 2,340,983 84,773 1,021,397 13,429 165,006
(3,809,849) (40,992,020) (3,454,501) (37,424,031) (1,335,025) (14,327,319)
------------------------------------------------------------------------------------------------------------
(1,110,648) (11,886,806) (643,875) (6,859,343) (286,432) (2,810,665)
------------------------------------------------------------------------------------------------------------
2,921,455 31,397,342 2,351,893 25,617,083 1,091,686 12,048,959
143,029 1,597,077 47,622 574,333 8,448 104,481
(4,612,257) (49,632,323) (2,877,112) (31,223,289) (967,274) (10,464,012)
------------------------------------------------------------------------------------------------------------
(1,547,773) (16,637,904) (477,597) (5,031,873) 132,860 1,689,428
------------------------------------------------------------------------------------------------------------
1,887,228 20,170,815 472,955 5,210,566 297,675 3,228,730
62,592 699,173 9,005 108,686 3,656 45,376
(326,161) (3,557,595) (214,720) (2,348,650) (30,201) (331,894)
------------------------------------------------------------------------------------------------------------
1,623,659 17,312,393 267,240 2,970,602 271,130 2,942,212
------------------------------------------------------------------------------------------------------------
53,127 556,287 25,821 267,531 151 1,729
2,455 27,213 841 10,151 66 822
(27,488) (305,664) (3,260) (36,445) (1,195) (13,212)
------------------------------------------------------------------------------------------------------------
28,094 277,836 23,402 241,237 (978) (10,661)
------------------------------------------------------------------------------------------------------------
(1,816,806) $ (19,545,185) (2,700,312) $ (28,854,934) 109,810 $ 1,632,192
------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Notes to Financial Statements
December 31, 1999
11. SUMMARY OF SHARE TRANSACTIONS
Share activity for the period ended December 31, 1998 was as follows:
<TABLE>
<CAPTION>
Balanced Strategy Portfolio(a)
-----------------------------
Shares Dollars
------------------------------------------------------------------------------
<S> <C> <C>
Class A Shares
Shares sold 4,997,153 $ 51,471,820
Reinvestment of dividends and distributions 82,247 838,318
Shares repurchased (1,178,013) (11,684,097)
-----------------------------
3,901,387 40,626,041
------------------------------------------------------------------------------
Class B Shares
Shares sold 3,444,664 35,434,153
Reinvestment of dividends and distributions 48,225 491,183
Shares repurchased (217,935) (2,216,520)
-----------------------------
3,274,954 33,708,816
------------------------------------------------------------------------------
Class C Shares
Shares sold 2,844,974 29,279,282
Reinvestment of dividends and distributions 38,221 389,643
Shares repurchased (537,554) (5,467,423)
-----------------------------
2,345,641 24,201,502
------------------------------------------------------------------------------
Institutional Shares
Shares sold 19,543 202,615
Reinvestment of dividends and distributions 314 3,204
Shares repurchased -- (28)
-----------------------------
19,857 205,791
------------------------------------------------------------------------------
Service Shares
Shares sold 49,317 517,127
Reinvestment of dividends and distributions 403 4,156
Shares repurchased (5,549) (57,929)
-----------------------------
44,171 463,354
------------------------------------------------------------------------------
NET INCREASE 9,586,010 $ 99,205,504
------------------------------------------------------------------------------
</TABLE>
(a) Class A, Class B, Class C, Institutional and Service Share activity
commenced on January 2, 1998.
28
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
<TABLE>
<CAPTION>
Growth and Income Strategy Portfolio(a) Growth Strategy Portfolio(a) Aggressive Growth Strategy Portfolio(a)
--------------------------------------------------------------------------------------------------------------------
Shares Dollars Shares Dollars Shares Dollars
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
19,544,296 $205,404,749 14,105,119 $148,698,602 5,615,397 $ 58,906,369
371,985 3,793,531 186,185 1,875,658 43,646 434,720
(2,443,960) (24,540,186) (1,773,296) (17,687,486) (1,020,548) (10,034,193)
--------------------------------------------------------------------------------------------------------------------
17,472,321 184,658,094 12,518,008 132,886,774 4,638,495 49,306,896
--------------------------------------------------------------------------------------------------------------------
14,322,312 149,921,704 11,471,847 120,504,688 4,598,907 48,814,394
224,284 2,285,787 109,293 1,104,065 20,086 199,458
(1,143,836) (11,542,305) (950,540) (9,481,003) (557,172) (5,486,370)
--------------------------------------------------------------------------------------------------------------------
13,402,760 140,665,186 10,630,600 112,127,750 4,061,821 43,527,482
--------------------------------------------------------------------------------------------------------------------
10,771,031 113,315,585 7,001,932 73,846,842 2,517,693 26,370,878
159,052 1,620,876 59,550 601,742 10,102 100,417
(1,207,705) (12,060,724) (844,787) (8,390,385) (387,916) (3,796,390)
--------------------------------------------------------------------------------------------------------------------
9,722,378 102,875,737 6,216,695 66,058,199 2,139,879 22,674,905
--------------------------------------------------------------------------------------------------------------------
875,077 9,413,016 212,556 2,180,254 12,029 120,329
17,891 181,644 2,843 28,730 133 1,327
(23,809) (235,710) (1,065) (11,445) -- --
--------------------------------------------------------------------------------------------------------------------
869,159 9,358,950 214,334 2,197,539 12,162 121,656
--------------------------------------------------------------------------------------------------------------------
133,145 1,429,050 37,114 388,185 11,813 126,459
2,056 20,973 450 4,521 74 739
(4,613) (49,503) (854) (9,010) (1) (10)
--------------------------------------------------------------------------------------------------------------------
130,588 1,400,520 36,710 383,696 11,886 127,188
--------------------------------------------------------------------------------------------------------------------
41,597,206 $438,958,487 29,616,347 $313,653,958 10,864,243 $115,758,127
--------------------------------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE>
GOLDMAN SACHS CONSERVATIVE STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout the Period
<TABLE>
<CAPTION>
Income from
investment operations(a) Distributions to shareholders
-------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE PERIOD ENDED DECEMBER 31,(e)
1999 - Class A Shares $10.00 $0.36 $0.18 $(0.36) $(0.01) $ -- $0.17
1999 - Class B Shares 10.00 0.30 0.19 (0.30) (0.01) -- 0.18
1999 - Class C Shares 10.00 0.29 0.18 (0.29) (0.01) -- 0.17
1999 - Institutional
Shares 10.00 0.40(f) 0.20(f) (0.40) (0.02) -- 0.18
1999 - Service Shares 10.00 0.53 0.02 (0.37) -- -- 0.18
-------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service Share activity
commenced on February 8, 1999.
(f) Calculated based on the average shares outstanding methodology.
Goldman Sachs Conservative Strategy Portfolio -- Tax Information (unaudited)
During the tax year ended December 31, 1999, 4.48% of the or-
dinary income dividends paid by the Portfolio qualify for the
dividend received deduction available for corporations.
The accompanying notes are an integral part of these financial statements.
30
<PAGE>
GOLDMAN SACHS CONSERVATIVE STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
------------------------------------
Ratio of
Net assets Ratio of net investment Ratio of Ratio of
Net asset at end of net expenses income expenses to net investment Portfolio
value, end Total period to average to average average loss to average turnover
of period return(b)(d) (in 000s) net assets(c) net assets(c) net assets(c) net assets(c) rate(d)
<S> <C> <C> <C> <C> <C> <C> <C>
$10.17 5.52% $ 1,697 0.59% 4.38% 3.46% 1.51% 62.99%
10.18 4.92 10,451 1.34 3.74 4.21 0.87 62.99
10.17 4.79 2,417 1.34 3.62 4.21 0.75 62.99
10.18 6.04 6 0.19 4.43 3.06 1.56 62.99
10.18 5.56 14 0.69 2.39 3.56 (0.48) 62.99
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
31
<PAGE>
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Income from
investment operations(a) Distributions to shareholders
------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEAR ENDED DECEMBER 31,
1999 - Class A Shares $10.31 $0.34 $0.73 $(0.34) $(0.05) $ -- $0.68
1999 - Class B Shares 10.31 0.26 0.72 (0.26) (0.05) -- 0.67
1999 - Class C Shares 10.32 0.27 0.71 (0.27) (0.04) -- 0.67
1999 - Institutional
Shares 10.32 0.37 0.74 (0.37) (0.07) -- 0.67
1999 - Service Shares 10.31 0.33 0.73 (0.33) (0.05) -- 0.68
FOR THE PERIOD ENDED DECEMBER 31,(e)
1998 - Class A Shares 10.00 0.25 0.38 (0.25) (0.03) (0.04) 0.31
1998 - Class B Shares 10.00 0.19 0.38 (0.19) (0.03) (0.04) 0.31
1998 - Class C Shares 10.00 0.19 0.39 (0.19) (0.03) (0.04) 0.32
1998 - Institutional
Shares 10.00 0.30 0.39 (0.30) (0.03) (0.04) 0.32
1998 - Service Shares 10.00 0.25 0.37 (0.25) (0.02) (0.04) 0.31
------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service Share activity
commenced on January 2, 1998.
Goldman Sachs Balanced Strategy Portfolio -- Tax Information (unaudited)
During the tax year ended December 31, 1999, 3.11% of the or-
dinary income dividends paid by the Portfolio qualify for the
dividend received deduction available for corporations.
The accompanying notes are an integral part of these financial statements.
32
<PAGE>
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
---------------------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income expenses to income to Portfolio
value, end Total period to average to average average average turnover
of period return(b) (in 000s) net assets net assets net assets net assets rate
<S> <C> <C> <C> <C> <C> <C> <C>
$10.99 10.58% $39,774 0.59% 3.17% 1.05% 2.71% 51.24%
10.98 9.66 32,932 1.34 2.42 1.80 1.96 51.24
10.99 9.63 23,354 1.34 2.40 1.80 1.94 51.24
10.99 10.92 1,753 0.19 3.93 0.65 3.47 51.24
10.99 10.47 419 0.69 3.04 1.15 2.58 51.24
10.31 6.38(d) 40,237 0.60(c) 3.03(c) 1.46(c) 2.17(c) 50.84(d)
10.31 5.75(d) 33,763 1.30(c) 2.38(c) 2.08(c) 1.60(c) 50.84(d)
10.32 5.83(d) 24,195 1.30(c) 2.34(c) 2.08(c) 1.56(c) 50.84(d)
10.32 6.99(d) 205 0.24(c) 3.55(c) 1.02(c) 2.77(c) 50.84(d)
10.31 6.30(d) 456 0.74(c) 2.90(c) 1.52(c) 2.12(c) 50.84(d)
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
33
<PAGE>
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Income from
investment operations(a) Distributions to shareholders
------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEAR ENDED DECEMBER 31,
1999 - Class A Shares $10.38 $0.22 $1.40 $(0.22) $(0.06) $(0.01) $1.33
1999 - Class B Shares 10.36 0.14 1.40 (0.14) (0.06) (0.01) 1.33
1999 - Class C Shares 10.36 0.14 1.40 (0.14) (0.06) (0.01) 1.33
1999 - Institutional
Shares 10.39 0.27 1.39 (0.27) (0.06) (0.01) 1.32
1999 - Service Shares 10.37 0.20 1.40 (0.20) (0.07) (0.01) 1.32
FOR THE PERIOD ENDED DECEMBER 31,(e)
1998 - Class A Shares 10.00 0.18 0.47 (0.18) (0.04) (0.05) 0.38
1998 - Class B Shares 10.00 0.12 0.46 (0.12) (0.05) (0.05) 0.36
1998 - Class C Shares 10.00 0.12 0.46 (0.12) (0.05) (0.05) 0.36
1998 - Institutional
Shares 10.00 0.20 0.49 (0.20) (0.05) (0.05) 0.39
1998 - Service Shares 10.00 0.16 0.48 (0.16) (0.06) (0.05) 0.37
----------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service Share activity
commenced on January 2, 1998.
Goldman Sachs Growth and Income Strategy Portfolio -- Tax Information
(unaudited)
During the tax year ended December 31, 1999, 7.13% of the or-
dinary income dividends paid by the Portfolio qualify for the
dividend received deduction available for corporations.
Pursuant to Section 852 of the Internal Revenue Code, the
Fund designates $318,656 as capital gain dividends paid during
its period ended December 31, 1999.
The accompanying notes are an integral part of these financial statements.
34
<PAGE>
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
---------------------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income expenses to income to Portfolio
value, end Total period to average to average average average turnover
of period return(b) (in 000s) net assets net assets net assets net assets rate
<S> <C> <C> <C> <C> <C> <C> <C>
$11.71 15.79% $195,153 0.59% 2.00% 0.85% 1.74% 49.06%
11.69 14.95 143,686 1.34 1.24 1.60 0.98 49.06
11.69 14.94 95,523 1.34 1.23 1.60 0.97 49.06
11.71 16.14 29,200 0.19 2.53 0.45 2.27 49.06
11.69 15.60 1,856 0.69 1.91 0.95 1.65 49.06
10.38 6.55(d) 181,441 0.60(c) 2.37(c) 1.05(c) 1.92(c) 41.91(d)
10.36 5.82(d) 138,914 1.30(c) 1.72(c) 1.68(c) 1.34(c) 41.91(d)
10.36 5.80(d) 100,711 1.30(c) 1.68(c) 1.68(c) 1.30(c) 41.91(d)
10.39 6.96(d) 9,030 0.23(c) 2.97(c) 0.61(c) 2.59(c) 41.91(d)
10.37 6.43(d) 1,354 0.73(c) 2.28(c) 1.11(c) 1.90(c) 41.91(d)
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
35
<PAGE>
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Income from
investment operations(a) Distributions to shareholders
------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEAR ENDED DECEMBER 31,
1999 - Class A Shares $10.29 $0.11 $2.03 $(0.11) $(0.08) $ -- $1.95
1999 - Class B Shares 10.28 0.02 2.02 (0.02) (0.09) -- 1.93
1999 - Class C Shares 10.28 0.02 2.03 (0.02) (0.09) -- 1.94
1999 - Institutional
Shares 10.29 0.13 2.05 (0.13) (0.11) -- 1.94
1999 - Service Shares 10.29 0.09 2.03 (0.09) (0.10) -- 1.93
FOR THE PERIOD ENDED DECEMBER 31,(e)
1998 - Class A Shares 10.00 0.10 0.36 (0.10) (0.02) (0.05) 0.29
1998 - Class B Shares 10.00 0.05 0.35 (0.05) (0.02) (0.05) 0.28
1998 - Class C Shares 10.00 0.05 0.35 (0.05) (0.02) (0.05) 0.28
1998 - Institutional
Shares 10.00 0.12 0.37 (0.12) (0.03) (0.05) 0.29
1998 - Service Shares 10.00 0.09 0.35 (0.09) (0.01) (0.05) 0.29
------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service Share activity
commenced on January 2, 1998.
Goldman Sachs Growth Strategy Portfolio -- Tax Information (unaudited)
During the tax year ended December 31, 1999, 17.83% of the
ordinary income dividends paid by the Portfolio qualify for the
dividend received deduction available for corporations.
The accompanying notes are an integral part of these financial statements.
36
<PAGE>
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
--------------------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income expenses to income to Portfolio
value, end Total period to average to average average average turnover
of period return(b) (in 000s) net assets net assets net assets net assets rate
<S> <C> <C> <C> <C> <C> <C> <C>
$12.24 20.85% $130,322 0.59% 0.90% 0.87% 0.62% 49.52%
12.21 19.87 121,937 1.34 0.17 1.62 (0.11) 49.52
12.22 19.96 70,127 1.34 0.16 1.62 (0.12) 49.52
12.23 21.24 5,891 0.19 1.40 0.47 1.12 49.52
12.22 20.62 735 0.69 0.87 0.97 0.59 49.52
10.29 4.62(d) 128,832 0.60(c) 1.50(c) 1.15(c) 0.95(c) 38.43(d)
10.28 3.98(d) 109,246 1.30(c) 0.83(c) 1.78(c) 0.35(c) 38.43(d)
10.28 3.96(d) 63,925 1.30(c) 0.79(c) 1.78(c) 0.31(c) 38.43(d)
10.29 4.92(d) 2,205 0.23(c) 2.88(c) 0.71(c) 2.40(c) 38.43(d)
10.29 4.45(d) 378 0.73(c) 1.63(c) 1.21(c) 1.15(c) 38.43(d)
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE>
GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout each Period
<TABLE>
<CAPTION>
Income (loss) from
investment operations(a) Distributions to shareholders
---------------------------- -----------------------------------
Net asset In excess
value, Net Net realized From net of net Net increase
beginning investment and unrealized investment investment From net in net asset
of period income (loss) gain income income realized gain value
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE YEAR ENDED DECEMBER 31,
1999 - Class A Shares $10.16 $0.02 $2.56 $(0.02) $(0.11) $ -- $2.45
1999 - Class B Shares 10.14 (0.07) 2.54 -- (0.04) -- 2.43
1999 - Class C Shares 10.15 (0.06) 2.53 -- (0.05) -- 2.42
1999 - Institutional
Shares 10.16 0.06 2.55 (0.06) (0.11) -- 2.44
1999 - Service Shares 10.15 -- 2.55 -- (0.11) -- 2.44
FOR THE PERIOD ENDED DECEMBER 31,(e)
1998 - Class A Shares 10.00 0.05 0.20 (0.05) -- (0.04) 0.16
1998 - Class B Shares 10.00 0.01 0.18 (0.01) -- (0.04) 0.14
1998 - Class C Shares 10.00 0.01 0.19 (0.01) -- (0.04) 0.15
1998 - Institutional
Shares 10.00 0.07 0.20 (0.07) -- (0.04) 0.16
1998 - Service Shares 10.00 0.04 0.21 (0.04) (0.02) (0.04) 0.15
---------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Includes the balancing effect of calculating per share amounts.
(b) Assumes investment at the net asset value at the beginning of the period,
reinvestment of all dividends and distributions, a complete redemption of
the investment at the net asset value at the end of the period and no
sales or redemption charges. Total return would be reduced if sales or
redemption charges were taken into account.
(c) Annualized.
(d) Not annualized.
(e) Class A, Class B, Class C, Institutional and Service Share activity
commenced on January 2, 1998.
Goldman Sachs Aggressive Growth Strategy Portfolio -- Tax Information
(unaudited)
During the tax year ended December 31, 1999, 39.26% of the ordinary
income dividends paid by the Portfolio qualify for the dividend re-
ceived deduction available for corporations.
The accompanying notes are an integral part of these financial statements.
38
<PAGE>
GOLDMAN SACHS AGGRESSIVE GROWTH STRATEGY PORTFOLIO
<TABLE>
<CAPTION>
Ratios assuming
no voluntary waiver
of fees or expense limitations
--------------------------------------
Ratio of Ratio of
Net assets Ratio of net investment Ratio of net investment
Net asset at end of net expenses income expenses to income to Portfolio
value, end Total period to average to average average average turnover
of period return(b) (in 000s) net assets net assets net assets net assets rate
<S> <C> <C> <C> <C> <C> <C> <C>
$12.61 25.39% $58,387 0.59% 0.12% 1.00% (0.29)% 47.34%
12.57 24.41 47,462 1.34 (0.63) 1.75 (1.04) 47.34
12.57 24.35 28,573 1.34 (0.61) 1.75 (1.02) 47.34
12.60 25.74 3,570 0.19 0.66 0.60 0.25 47.34
12.59 25.17 137 0.69 0.00 1.10 (0.41) 47.34
10.16 2.57(d) 47,135 0.60(c) 0.91(c) 1.42(c) 0.09 (c) 26.27(d)
10.14 1.93(d) 41,204 1.30(c) 0.14(c) 2.05(c) (0.61)(c) 26.27(d)
10.15 2.04(d) 21,726 1.30(c) 0.16(c) 2.05(c) (0.59)(c) 26.27(d)
10.16 2.80(d) 124 0.24(c) 8.17(c) 0.99(c) 7.42 (c) 26.27(d)
10.15 2.54(d) 121 0.74(c) 0.76(c) 1.49(c) 0.01 (c) 26.27(d)
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
39
<PAGE>
GOLDMAN SACHS TRUST -- ASSET ALLOCATION PORTFOLIOS
Report of Independent Public Accountants
To the Shareholders and Board of Trustees of
Goldman Sachs Trust -- Asset Allocation Portfolios:
We have audited the accompanying statements of assets and liabilities of
Goldman Sachs Conservative Strategy Portfolio, Goldman Sachs Balanced Strat-
egy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman
Sachs Growth Strategy Portfolio and Goldman Sachs Aggressive Growth Strategy
Portfolio, the portfolios constituting Goldman Sachs Trust -- Asset Alloca-
tion Portfolios (a Delaware Business Trust), including the statements of in-
vestments, as of December 31, 1999, and the related statements of operations,
the statements of changes in net assets and the financial highlights for the
periods presented. These financial statements and the financial highlights
are the responsibility of the Funds' management. Our responsibility is to ex-
press an opinion on these financial statements and the financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing stan-
dards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures in the finan-
cial statements and financial highlights. Our procedures included confirma-
tion of securities owned as of December 31, 1999 by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the over-
all financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and the financial highlights re-
ferred to above present fairly, in all material respects, the financial posi-
tion of Goldman Sachs Conservative Strategy Portfolio, Goldman Sachs Balanced
Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio,
Goldman Sachs Growth Strategy Portfolio and Goldman Sachs Aggressive Growth
Strategy Portfolio, constituting Goldman Sachs Trust -- Asset Allocation
Portfolios as of December 31, 1999, the results of their operations, the
changes in their net assets and the financial highlights for the periods pre-
sented, in conformity with generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Boston, Massachusetts
February 16, 2000
40
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
What Makes Asset Allocation at Goldman Sachs Different?
Goldman Sachs' proprietary asset allocation strategy is based on an exclusive
risk management framework, the Black-Litterman Asset Allocation Model.
Many investors believe their success depends on investing at the right time or
choosing high-performing stocks or bonds. In reality, when investors commit
assets and which individual securities they buy are believed to account for just
8.5%* of a portfolio's return over time. Instead, their asset allocation
strategy accounts for the majority of a portfolio's return.
With this in mind, Goldman Sachs has developed an exclusive asset allocation
process that seeks to deliver the full range of global investment opportunities
in constantly changing markets.
GLOBAL MARKET AN EXCLUSIVE
PRESENCE + KNOWLEDGE = APPROACH TO ASSET
ALLOCATION
. Portfolio management teams on-site, around the world including the
Americas, Europe and Asia-Pacific regions
. Firsthand insights into local cultures, markets and economies
. Expertise in geographic areas, investment styles, large-, mid- and
small-market capitalizations and issuers
. Specialized portfolio management teams that perform their own fundamental
analysis of securities -- and have access to Goldman Sachs' Global
Investment Research Department
This degree of global presence and market expertise cannot be accessed in
most mutual funds. We offer five Asset Allocation Portfolios to tap these
resources.
. Conservative Strategy
. Balanced Strategy
. Growth and Income Strategy
. Growth Strategy
. Aggressive Growth Strategy
- --------------------------------------------------------------------------------
ASSET ALLOCATION STRATEGIES
- --------------------------------------------------------------------------------
OTHER
Constant.
Rebalance quarterly which keeps asset allocation the same over time.
Backward-Looking.
Base allocation decisions on past returns and market relationships.
Inconsistent Risk Profile.
Identify the top performers and overweight that security/asset class, changing
an investor's original risk/return profile.
GOLDMAN SACHS
Tactical.
Reallocate quarterly which captures changing opportunities in global markets.
Forward-Looking.
Base allocation decisions on expected future returns given current market
conditions.
Consistent Risk Profile.
Focus on how tactical reallocation impacts each Portfolio's risk profile,
maintaining an investor's original risk/return profile over time.
* Source: Brinson, Hood & Beebower, "Determinants of Portfolio Performance,"
Financial Analysts Journal, May/June 1991.
<PAGE>
GOLDMAN SACHS ASSET ALLOCATION PORTFOLIOS
Goldman Sachs
Asset Allocation Portfolios
THE GOLDMAN SACHS ADVANTAGE
When you invest in Goldman Sachs Asset Allocation Portfolios, you can capitalize
on Goldman Sachs' 130-year history of excellence while benefiting from the
firm's leadership in three areas:
Global Resources
With professionals based throughout the Americas, Europe and Asia, Goldman Sachs
possesses first-hand knowledge of the world's markets and economies.
Fundamental Research
Goldman Sachs is recognized by the managements of corporations worldwide as a
leader in investment research. As a result, we obtain face-to-face meetings with
managers on a timely, regular basis.
Risk Management
Goldman,Sachs & Co. excels in understanding, monitoring and managing investment
risk -- a process that is integrated into all Goldman Sachs investment products.
How you choose to allocate your assets may have a far greater impact on your
portfolio's total return potential than any other investment decision you can
make. By carefully balancing the percentage of assets allocated to each asset
class -- stocks, bonds and cash -- a portfolio can be tailored to your current
investment goals and timeframes.
The Goldman Sachs Asset Allocation Portfolios offer you easy access to the
benefits associated with asset allocation. Each is designed to provide results
consistent with your investment objectives via a complementary blend of Goldman
Sachs Funds.
Target Your Needs
The five Goldman Sachs Asset Allocation Portfolios -- Conservative Strategy,
Balance Strategy, Growth and Income Strategy, Growth Strategy and Aggressive
Growth Strategy -- are carefully tailored to specific financial goals. As your
investment objectives change, you can exchange shares among the Goldman Sachs
Asset Allocation Portfolios without any additional charge.* (Please note: in
general, greater returns are associated with greater risk.)
Goldman Sachs Asset Allocation Portfolios
Higher Risk/Return
[TABLE]
Lower Risk/Return
For More Information
To learn more about the Goldman Sachs Asset Allocation Portfolios, call your
investment professional today.
* The exchange privilege is subject to termination and its terms are subject
to change.
<PAGE>
- --------------------------------------------------------------------------------
GOLDMAN SACHS ASSET MANAGEMENT 32 OLD SLIP, 17TH FLOOR, NEW YORK, NEW YORK 10005
- --------------------------------------------------------------------------------
TRUSTEES
Ashok N. Bakhru, Chairman
David B. Ford
Douglas C. Grip
John P. McNulty
Mary P. McPherson
Alan A. Shuch
Jackson W. Smart, Jr.
William H. Springer
Richard P. Strubel
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT
Investment Adviser
OFFICERS
Douglas C. Grip, President
Jesse H. Cole, Vice President
James A. Fitzpatrick, Vice President
Nancy L. Mucker, Vice President
John M. Perlowski, Treasurer
Adrien E. Deberghes, Jr., Assistant Treasurer
Philip V. Giuca, Jr., Assistant Treasurer
Michael J. Richman, Secretary
Amy E. Belanger, Assistant Secretary
Howard B. Surloff, Assistant Secretary
Kaysie Uniacke, Assistant Secretary
Valerie A. Zondorak, Assistant Secretary
GOLDMAN SACHS INTERNATIONAL
133 Peterborough Court
London, England EC4A 2BB
Visit our internet address: www.gs.com/funds
This material is not authorized for distribution to prospective investors unless
preceded or accompanied by a current Prospectus.Investors should read the
Prospectus carefully before investing or sending money.
Goldman, Sachs & Co. is the distributor of the Funds.
CORE International Equity Fund's, Global Income Fund's and Core Fixed Income
Fund's foreign investments may be more volatile than an investment in
U.S. securities and are subject to the risks of currency fluctuations and
political developments.
Short Duration Government Fund's net asset value and yield are not guaranteed by
the U.S. Government or by its agencies, instrumentalities, or sponsored
enterprises.
The High Yield Fund invests primarily in high yield, lower rated securities
involving greater price volatility and present greater risks than stocks of
higher rated fixed income securities. At times the Fund may be unable to sell
certain of its portfolio securities without a substantial drop in price, if at
all.
The CORE Small Cap Equity Fund and the International Small Cap Fund invest in
stocks of smaller companies. The stocks of smaller companies are often more
volatile and present greater risks than stocks of larger companies. At times the
Fund(s) may be unable to sell the securities it holds without a substantial drop
in price, if at all.
Emerging markets securities are volatile. They are subject to substantial
currency fluctuations and sudden economic and political developments. At times
the Emerging Markets Equity Fund and International Small Cap Fund may be unable
to sell certain of its portfolio securities without a substantial drop in
price, if at all.
An investment in real estate securities is subject to greater price volatility
and the special risks associated with the direct ownership of real estate.
An investment in a money market fund is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other government agency. Although a money
market fund seeks to preserve the value of your investment at $1.00 per share,
it is possible to lose money by investing in the Fund.
The Asset Allocation Portfolios invest primarily in other Goldman Sachs Fixed
Income,Equity and Money Market Funds and are subject to the risks associated
with investment in such Funds.
Copyright 2000 Goldman, Sachs & Co. All rights reserved. Date of first use:
February 29, 2000 AAAR / 2-00
