N-CSR 1 e28996nvcsr.htm FORM N-CSR N-CSR
 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES

Investment Company Act file number 811-08361

Goldman Sachs Variable Insurance Trust

(Exact name of registrant as specified in charter)

71 South Wacker Drive, Suite 500, Chicago, Illinois 60606-6303

(Address of principal executive offices) (Zip code)
     
Peter V. Bonanno   Copies to:
Goldman, Sachs & Co.   Kenneth L. Greenberg
One New York Plaza   Drinker Biddle & Reath LLP
New York, New York 10004   One Logan Square
    18th and Cherry Streets
    Philadelphia, PA 19103
(Name and address of agents for service)

Registrant’s telephone number, including area code: (312) 655-4400

Date of fiscal year end: December 31

Date of reporting period: December 31, 2006

     
ITEM 1.   REPORTS TO STOCKHOLDERS.
     
    The Annual Report to Stockholders is filed herewith.

 

 

Goldman
Sachs Variable Insurance Trust

GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005

 
Growth and Income Fund
Annual Report
December 31, 2006

 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Growth and Income Fund during the one-year reporting period that ended December 31, 2006.

Market Review

The U.S. equity markets finished another year with positive returns as strong gains in the fourth quarter capped off a very successful 2006. For the one-year period ended December 31, 2006, the S&P 500 Index returned 15.79%. The equity markets largely overcame early concerns over rising interest rates and inflation, as well as signs of a cooling housing market and ongoing geopolitical concerns. Another theme throughout the year was the high level of merger and acquisition activity in both the private and public sectors. With abundant liquidity in the market, private equity deals reached new heights as buyers increasingly bid for small- and even mid-cap-sized companies. On the economic front, the Federal Reserve Board held interest rates steady in the second half of the year.

Investment Objective

The Fund seeks long-term growth of capital and growth of income.

Portfolio Composition

Top 10 Portfolio Holdings as of December 31, 2006*

             
% of Net
Company Assets Business
Exxon Mobil Corp. 
     4.6 %   Energy Resources
Bank of America Corp. 
     3.9     Large Banks
J.P. Morgan Chase & Co. 
     3.4     Large Banks
Entergy Corp. 
     3.3     Electrical Utilities
McDonald’s Corp. 
     2.9     Restaurants
Sprint Nextel Corp. 
     2.8     Telephone
Wells Fargo & Co. 
     2.8     Large Banks
Citigroup, Inc. 
     2.7     Large Banks
Washington Mutual, Inc. 
     2.7     Specialty Financials
Verizon Communications, Inc. 
     2.7     Telephone

* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.

 
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 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
 
Shareholder Letter (continued)

Performance Review

Over the one-year period that ended December 31, 2006, the Fund generated a cumulative total return of 22.63%. This return compares to the 22.25% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), over the same time period.

The Fund outperformed its benchmark during the reporting period. 2006 proved to be a strong period for large-cap value stocks as every sector in the Russell 1000 Value Index produced double digit returns. Some of the largest gains were posted by mega-cap and high dividend yielding stocks. In the Fund, Consumer Cyclicals and Utilities holdings emerged as top performers, while stock selection was less successful in the Energy and Basic Materials sectors.

Highlights during the year include several key holdings added in 2006, such as McDonald’s Corp. and Cisco Systems, Inc., the latter of which recovered from mid-year lows in the fourth quarter. One of the Fund’s largest holdings, Entergy Corp., contributed to the Fund’s performance as the company continued to benefit from a disciplined management team. Each of these companies represents situations we favor — improving free cash flow trends, share repurchases and strong management teams. The Fund also benefited from favorable acquisition activity after Equity Office Properties was sold to a private equity group.

In 2006, several headwinds, including record warm weather patterns, pressured the Fund’s holdings in the Energy sector. Over the long term, we believe the supply/demand trends should sustain higher pricing in the sector. Our overall exposure to the Energy sector decreased over the past year, partly due to the acquisition of Burlington Resources by ConocoPhillips. We also selectively reduced holdings in this sector. We think that some of the current merger activity suggests that corporate buyers share our positive view on well-positioned companies in this sector. We remain focused on select companies with low cost structures, large reserves and shareholder-focused management teams. Despite recent weakness, we continue to hold EOG Resources, Inc. and The Williams Companies, Inc.

Many of the Fund’s best performing stocks in 2006 were companies engaged in efforts to rationalize their cost structures, divest non-strategic assets and generally improve returns on capital. As we move into 2007, we will continue to seek similar opportunities as these programs of internal change can show positive results in an uncertain market environment. We believe the market will see an active flow of private-equity investment into mid-cap companies, particularly those with the cash flow characteristics we tend to favor. We maintain a valuation focus and are alert for emerging ideas across the investment landscape.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Value Portfolio Management Team

January 12, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Growth and Income Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses

 
2

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT Growth and Income Fund invests primarily in large-capitalization U.S. equity investments and also invests in fixed income securities. The Fund’s equity investments will be subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The Fund may invest in foreign securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.

SECTOR ALLOCATION†

Percentage of Net Assets

(BAR CHART)

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

 
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 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
 

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value as of December 31, 2006, of a $10,000 investment made in the Fund on January 12, 1998 (commencement of operations). For comparative purposes, the performance of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested) is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a Fund.

Growth and Income Fund’s Lifetime Performance

Performance of a $10,000 Investment, Distributions Reinvested from January 12, 1998 to December 31, 2006.

(PERFORMANCE CHART)

                             
Since Inception Five Years One Year
Average Annual Total Return Through December 31, 2006
Growth and Income Fund (commenced January 12, 1998)
     5.40%       10.79%       22.63%      
 
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GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

Schedule of Investments

December 31, 2006
                     
Shares Description Value
   
Common Stocks – 96.8%
    Aerospace & Defense – 1.0%
      47,547     The Boeing Co.   $ 4,224,075  
   
    Biotechnology – 0.4%
      23,429     Amgen, Inc.*     1,600,435  
   
    Brokers – 3.4%
      99,923     Lehman Brothers Holdings, Inc.     7,805,985  
      23,725     Merrill Lynch & Co., Inc.     2,208,797  
      59,583     Morgan Stanley     4,851,844  
                 
 
                  14,866,626  
   
    Chemicals – 0.2%
      14,851     Air Products and Chemicals, Inc.     1,043,728  
   
    Computer Hardware – 1.9%
      193,521     Cisco Systems, Inc.*     5,288,929  
      67,807     Hewlett-Packard Co.     2,792,970  
                 
 
                  8,081,899  
   
    Computer Software – 1.0%
      248,002     Activision, Inc.*     4,275,554  
   
    Diversified Energy – 1.8%
      290,485     The Williams Companies, Inc.     7,587,468  
   
    Drugs – 2.4%
      397,509     Pfizer, Inc.     10,295,483  
   
    Electrical Utilities – 6.4%
      23,282     Edison International     1,058,865  
      156,311     Entergy Corp.     14,430,632  
      66,450     Exelon Corp.     4,112,591  
      43,464     FirstEnergy Corp.     2,620,879  
      23,062     FPL Group, Inc.     1,255,034  
      120,013     PPL Corp.     4,301,266  
                 
 
                  27,779,267  
   
    Energy Resources – 8.4%
      103,795     ConocoPhillips     7,468,050  
      72,049     Devon Energy Corp.     4,833,047  
      62,751     EOG Resources, Inc.     3,918,800  
      261,614     Exxon Mobil Corp.     20,047,481  
                 
 
                  36,267,378  
   
    Energy-Master Limited Partnerships – 4.4%
      90,340     Energy Transfer Partners LP     4,887,394  
      207,934     Enterprise Products Partners LP     6,025,927  
      103,356     Magellan Midstream Partners LP     3,989,542  
      110,465     Williams Partners LP     4,274,995  
                 
 
                  19,177,858  
   
    Environmental & Other Services – 2.0%
      235,926     Waste Management, Inc.     8,674,999  
   
    Food & Beverage – 1.0%
      153,740     Unilever NV     4,189,415  
   
    Grocery – 0.5%
      60,200     SUPERVALU, Inc.     2,152,150  
   
    Home Products – 1.8%
      213,065     Newell Rubbermaid, Inc.     6,168,232  
      24,703     The Clorox Co.     1,584,697  
                 
 
                  7,752,929  
   
    Large Banks – 14.3%
      312,207     Bank of America Corp.     16,668,732  
      210,876     Citigroup, Inc.     11,745,793  
      306,128     J.P. Morgan Chase & Co.     14,785,982  
      113,369     Wachovia Corp.     6,456,364  
      337,735     Wells Fargo & Co.     12,009,857  
                 
 
                  61,666,728  
   
    Life Insurance – 0.7%
      33,658     Hartford Financial Services Group, Inc.     3,140,628  
   
    Media – 2.3%
      77,737     Comcast Corp.*     3,290,607  
      303,952     Time Warner, Inc.     6,620,075  
                 
 
                  9,910,682  
   
    Medical Products – 2.6%
      140,075     Baxter International, Inc.     6,498,079  
      85,413     Medtronic, Inc.     4,570,450  
                 
 
                  11,068,529  
   
    Mining – 0.3%
      27,011     Nucor Corp.     1,476,421  
   
    Motor Vehicle – 1.0%
      69,399     Autoliv, Inc.     4,184,760  
   
    Oil Services – 1.0%
      35,314     Baker Hughes, Inc.     2,636,543  
      59,178     BJ Services Co.     1,735,099  
                 
 
                  4,371,642  
   
    Paper & Packaging – 2.7%
      203,271     International Paper Co.     6,931,541  
      216,467     Packaging Corp. of America     4,783,921  
                 
 
                  11,715,462  
   
    Parts & Equipment – 3.7%
      233,472     General Electric Co.     8,687,493  
      114,310     United Technologies Corp.     7,146,661  
                 
 
                  15,834,154  
   
    Property Insurance – 3.9%
      75,060     American International Group, Inc.     5,378,800  
      64,583     PartnerRe Ltd.     4,587,330  
      49,633     The Allstate Corp.     3,231,605  
      51,240     XL Capital Ltd.(a)     3,690,305  
                 
 
                  16,888,040  
   
    Regional Banks – 2.8%
      72,700     First Horizon National Corp.     3,037,406  
      171,534     KeyCorp     6,523,438  
      72,939     Regions Financial Corp.     2,727,919  
                 
 
                  12,288,763  
   
 
The accompanying notes are an integral part of these financial statements.

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 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
 
Schedule of Investments (continued)
December 31, 2006
                     
Shares Description Value
   
Common Stocks – (continued)
    REIT – 4.5%
      50,422     Apartment Investment & Management Co.   $ 2,824,640  
      150,402     CapitalSource, Inc.(a)     4,107,479  
      51,662     Developers Diversified Realty Corp.     3,252,123  
      17,259     Equity Office Properties Trust     831,366  
      110,602     iStar Financial, Inc.     5,288,988  
      59,000     Mack-Cali Realty Corp.     3,009,000  
                 
 
                  19,313,596  
   
    Restaurants – 2.9%
      279,726     McDonald’s Corp.     12,400,254  
   
    Retail Apparel – 2.4%
      135,276     J.C. Penney Co., Inc.     10,464,951  
   
    Specialty Financials – 5.7%
      26,847     AllianceBernstein Holding LP     2,158,499  
      47,416     American Capital Strategies Ltd.     2,193,464  
      48,573     Apollo Investment Corp.     1,088,035  
      83,450     Countrywide Financial Corp.     3,542,453  
      58,178     Freddie Mac     3,950,286  
      252,732     Washington Mutual, Inc.     11,496,779  
                 
 
                  24,429,516  
   
    Telecom Equipment – 1.1%
      241,803     Motorola, Inc.     4,971,470  
   
    Telephone – 5.5%
      646,906     Sprint Nextel Corp.     12,220,055  
      307,943     Verizon Communications, Inc.     11,467,797  
                 
 
                  23,687,852  
   
    Tobacco – 2.0%
      103,038     Altria Group, Inc.     8,842,721  
   
    Transports – 0.8%
      37,738     Union Pacific Corp.     3,472,651  
   
    TOTAL COMMON STOCKS
    (Cost $350,304,419)   $ 418,098,084  
   
                             
Principal Interest Maturity
Amount Rate Date Value
   
Repurchase Agreement(b) – 3.1%
    Joint Repurchase Agreement Account II
    $ 13,500,000       5.292 %   01/02/07   $ 13,500,000  
    Maturity Value: $13,507,938
    (Cost $13,500,000)        
   
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL
    (Cost $363,804,419)   $ 431,598,084  
   
                     
Shares Description Value
   
Securities Lending Collateral – 0.6%
      2,587,800     Boston Global Investment Trust – Enhanced Portfolio        
    (Cost $2,587,800)   $ 2,587,800  
   
    TOTAL INVESTMENTS – 100.5%
    (Cost $366,392,219)   $ 434,185,884  
   
    LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.5)%		     (2,170,269 )
   
    NET ASSETS – 100.0%   $ 432,015,615  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * Non-income producing security.
 
 (a) All or a portion of security is on loan.
 
 (b) Joint repurchase agreement was entered into on December 29, 2006.
             
   
    Investment Abbreviation:
    REIT   —   Real Estate Investment Trust
   
 
The accompanying notes are an integral part of these financial statements.

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GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At December 31, 2006, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $13,500,000 in principal amount.

                                 
Principal Interest Maturity Maturity
Repurchase Agreements Amount Rate Date Value
ABN Amro, Inc.
  $ 500,000,000       5.32 %     01/02/07     $ 500,295,556  
Banc of America Securities LLC
    750,000,000       5.32       01/02/07       750,443,333  
Barclays Capital PLC
    525,000,000       5.32       01/02/07       525,310,333  
Bear Stearns
    500,000,000       5.32       01/02/07       500,295,556  
Deutsche Bank Securities, Inc.
    750,000,000       5.31       01/02/07       750,442,500  
Greenwich Capital Markets
    300,000,000       5.32       01/02/07       300,177,333  
Morgan Stanley & Co.
    500,000,000       5.32       01/02/07       500,295,556  
UBS Securities LLC
    700,000,000       5.18       01/02/07       700,402,889  
UBS Securities LLC
    700,000,000       5.22       01/02/07       700,406,000  
UBS Securities LLC
    850,000,000       5.32       01/02/07       850,502,444  
Wachovia Capital Markets
    250,000,000       5.32       01/02/07       250,147,778  
TOTAL
   $ 6,325,000,000                     $ 6,328,719,278  
  At December 31, 2006, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 7.23%, due 01/12/07 to 11/01/16; Federal Home Loan Mortgage Association, 3.50% to 9.00%, due 02/01/07 to 01/01/37; Federal National Mortgage Association, 0.00% to 11.50%, due 07/01/07 to 01/01/37 and Government National Mortgage Association, 4.50% to 9.00%, due 10/15/09 to 12/20/36. The aggregate market value of the collateral, including accrued interest, was $6,462,454,814.  
 
The accompanying notes are an integral part of these financial statements.

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 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND

Statement of Assets and Liabilities

December 31, 2006
               
    Assets:
   
Investment in securities, at value (identified cost $363,804,419) — including $2,521,104 of securities on loan
  $ 431,598,084  
   
Securities lending collateral, at value (identified cost $2,587,800)
    2,587,800  
   
Cash
    98,546  
   
Receivables:
       
     
Investment securities sold
    1,147,705  
     
Fund shares sold
    876,674  
     
Dividends and interest
    623,040  
     
Securities lending income
    536  
   
   
Total assets
     436,932,385  
   
    Liabilities:
   
Payables:
       
     
Payable upon return of securities loaned
    2,587,800  
     
Investment securities purchased
    1,764,870  
     
Amounts owed to affiliates
    284,952  
     
Fund shares repurchased
    190,898  
   
Accrued expenses
    88,250  
   
   
Total liabilities
     4,916,770  
   
    Net Assets:
   
Paid-in capital
    354,201,443  
   
Accumulated undistributed net investment income
    1,495,707  
   
Accumulated net realized gain on investment transactions
    8,524,800  
   
Net unrealized gain on investments
    67,793,665  
   
   
NET ASSETS
   $ 432,015,615  
   
   
Total shares of beneficial interest outstanding, par value $0.001 (unlimited shares authorized)
    31,065,206  
   
Net asset value, offering and redemption price per share
  $ 13.91  
   
 
The accompanying notes are an integral part of these financial statements.

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GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

Statement of Operations

For the Year Ended December 31, 2006
             
    Investment income:
   
Dividends(a)
  $ 10,204,114  
   
Interest (including securities lending income of $12,734)
    499,614  
   
   
Total income
     10,703,728  
   
    Expenses:
   
Management fees
    2,668,941  
   
Transfer agent fees
    142,344  
   
Printing fees
    90,898  
   
Custody and accounting fees
    87,340  
   
Professional fees
    54,391  
   
Trustee fees
    15,083  
   
Registration fees
    1,274  
   
Other
    15,073  
   
   
Total expenses
     3,075,344  
   
   
Less — expense reductions
    (25,566 )
   
   
Net expenses
     3,049,778  
   
   
NET INVESTMENT INCOME
     7,653,950  
   
    Realized and unrealized gain on investment transactions:
   
Net realized gain from investment transactions
    29,381,353  
   
Net change in unrealized gain on investments
    36,557,636  
   
   
Net realized and unrealized gain on investment transactions
     65,938,989  
   
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
   $ 73,592,939  
   

(a)  Foreign taxes withheld on dividends were $27,397.

 
The accompanying notes are an integral part of these financial statements.

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 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND

Statements of Changes in Net Assets

                     
For the For the
Year Ended Year Ended
December 31, 2006 December 31, 2005
    From operations:
   
Net investment income
  $ 7,653,950     $ 5,198,685  
   
Net realized gain on investment transactions
    29,381,353       22,131,005  
   
Payments by affiliates to reimburse certain security claims
    —       9,144  
   
Net change in unrealized gain (loss) on investments
    36,557,636       (15,849,453 )
   
   
Net increase in net assets resulting from operations
     73,592,939       11,489,381  
   
    Distributions to shareholders:
   
From net investment income
    (6,608,062 )     (5,139,069 )
   
From net realized gain
    (15,880,947 )     —  
   
   
Total distributions to shareholders
     (22,489,009 )     (5,139,069 )
   
    From share transactions:
   
Proceeds from sales of shares
    88,935,399       58,037,222  
   
Reinvestment of dividends and distributions
    22,488,997       5,139,069  
   
Cost of shares repurchased
    (43,664,607 )     (32,770,160 )
   
   
Net increase in net assets resulting from share transactions
     67,759,789       30,406,131  
   
   
TOTAL INCREASE
     118,863,719       36,756,443  
   
    Net assets:
   
Beginning of year
    313,151,896       276,395,453  
   
   
End of year
  $ 432,015,615     $ 313,151,896  
   
   
Accumulated undistributed net investment income
   $ 1,495,707     $ 424,392  
   
    Summary of share transactions:
   
Shares sold
    6,612,585       4,906,882  
   
Shares issued on reinvestment of dividends and distributions
    1,613,271       428,971  
   
Shares repurchased
    (3,318,130 )     (2,776,580 )
   
   
NET INCREASE
     4,907,726       2,559,273  
   
 
The accompanying notes are an integral part of these financial statements.

10

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                                 
Income (loss) from Ratios assuming no
investment operations Distributions to shareholders expense reductions
Net Ratio of Ratio of Ratio of
Net asset realized From Net asset Net assets Ratio of net investment total net investment
value, Net and Total from From net net value, at end of net expenses income expenses income Portfolio
beginning investment unrealized investment investment realized Total end of Total year to average to average to average to average turnover
of year income(a) gain (loss) operations income gains distributions year return(b) (in 000s) net assets net assets net assets net assets rate
 
    FOR THE YEARS ENDED DECEMBER 31,
    2006   $ 11.97     $ 0.28     $ 2.43     $ 2.71     $ (0.23 )   $ (0.54 )   $ (0.77 )   $ 13.91       22.63 %   $ 432,016       0.86 %     2.15 %     0.87 %     2.14 %     52 %    
    2005     11.71       0.21       0.25       0.46       (0.20 )     —       (0.20 )     11.97       3.93       313,152       0.88       1.77       0.88       1.77       46      
    2004     10.00       0.19       1.69       1.88       (0.17 )     —       (0.17 )     11.71       18.80       276,395       0.86       1.75       0.86       1.75       58      
    2003     8.14       0.13       1.85       1.98       (0.12 )     —       (0.12 )     10.00       24.36       230,316       1.02       1.44       1.20       1.26       51      
    2002     9.33       0.13       (1.19 )     (1.06 )     (0.13 )     —       (0.13 )     8.14       (11.34 )     36,911       1.05       1.51       1.27       1.29       98      
   

(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year.

The accompanying notes are an integral part of these financial statements.

 
11

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND

Notes to Financial Statements

December 31, 2006

1. ORGANIZATION

Goldman Sachs Variable Insurance Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Growth and Income Fund (“Fund”). The Fund is a diversified portfolio under the Act.
     Shares of the Trust may be purchased and held by separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Trust are not offered directly to the general public.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.

A. Investment Valuation — Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed not to reflect market value by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.

B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.

C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense.

D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.

     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gain, or as a tax return of capital.
     In addition, distributions paid by the Fund’s investments in real estate investment trusts (“REITs”) often include a “return of capital” which is recorded by the Fund as a reduction of the cost basis of the securities held. The Code requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the distribution is deemed a return of capital and is generally not taxable to shareholders.
 
12

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

E. Segregation Transactions — As set forth in the prospectus, the Fund may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.

F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Fund may be delayed or limited and there may be a decline in the value of the collateral during the period while the Fund seeks to assert its rights. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under triparty repurchase agreements.

     Pursuant to exemptive relief granted by the Securities and Exchange Commission (the “SEC”) and terms and conditions contained therein, the Fund, together with other registered investment companies having management or investment advisory agreements with Goldman Sachs Asset Management, L.P. (“GSAM”), or its affiliates may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements.

3. AGREEMENTS

GSAM, an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser pursuant to an Investment Management Agreement (the “Agreement”) with the Trust on behalf of the Fund. Under this Agreement, GSAM manages the Fund, subject to the general supervision of the Trust’s Board of Trustees.
     As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Fund’s business affairs, including providing facilities, GSAM is entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
     GSAM has entered into a fee reduction commitment for the Fund which was implemented on a voluntary basis prior to April 28, 2006 and on a contractual basis as of April 28, 2006 to achieve the rates listed below:
         
Average Daily Net Assets Annual Rate
First $1 Billion
    0.75 %
Next $1 Billion
    0.68 %
Over $2 Billion
    0.65 %

     GSAM has voluntarily agreed to limit certain “Other Expenses” of the Fund (excluding Management fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification costs, shareholder meeting and other extraordinary expenses exclusive of any offset arrangements) to the extent that such expenses exceed, on an annual basis, 0.114% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the year ended December 31, 2006, GSAM made no reimbursements to the Fund.

     In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction in the Fund’s expenses. For the year ended December 31, 2006, custody and transfer agent fees were reduced by approximately $3,600 and $22,000, respectively.
     Goldman Sachs also serves as the Transfer Agent of the Fund for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly equal to an annual rate of 0.04% of the average daily net assets of the Fund. Goldman Sachs serves as the distributor of the Fund’s shares at no cost to the Fund.
 
13

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
 
3. AGREEMENTS (continued)
     At December 31, 2006, amounts owed to affiliates were approximately $270,500 and $14,400 for Management and Transfer Agent fees, respectively.

4. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long term securities for the year ended December 31, 2006 were $228,107,870 and $180,647,896, respectively. For the year ended December 31, 2006, Goldman Sachs earned approximately $23,200 of brokerage commissions from portfolio transactions, executed on behalf of the Fund.

5. SECURITIES LENDING

Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Boston Global Advisers (“BGA”) — a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund bears the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
     The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM receives an investment advisory fee of up to 0.10% of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests in high quality money market instruments. The Fund bears the risk of incurring a loss from the investment of cash collateral due to either credit or market factors. Both the Fund and BGA receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the year ended December 31, 2006 is reported parenthetically under Investment Income on the Statement of Operations. A portion of this amount, $706, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the year ended December 31, 2006, BGA earned approximately $1,600 in fees as securities lending agent. At December 31, 2006, the Fund loaned securities having a market value of $2,521,104 collateralized by cash in the amount of $2,587,800.

6. LINE OF CREDIT FACILITY

The Fund participates in a $400,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAM. Under the most restrictive arrangement, the Fund must own securities having a market value in excess of 300% of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This committed facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. During the year ended December 31, 2006, the Fund did not have any borrowings under this facility.
 
14

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

7. TAX INFORMATION

The tax character of distributions paid during the fiscal years ended December 31, 2006 and December 31, 2005 was as follows:
                 
For the year ended December 31,
2006 2005
Distributions paid from:
               
Ordinary income
  $ 6,608,062     $ 5,139,069  
Net long-term capital gains
    15,880,947       —  
Total taxable distributions
  $ 22,489,009     $ 5,139,069  

     As of December 31, 2006, the components of accumulated earnings (losses) on a tax basis were as follows:

           
Undistributed ordinary income — net
  $ 2,549,766  
Undistributed long-term capital gains
    8,921,122  
Total undistributed earnings
    11,470,888  
Capital loss carryforward:(1)(2)
       
 
Expiring 2010
    (2,370,037 )
Timing differences (deferred REIT distributions)
    31,956  
Unrealized gains — net
    68,681,365  
Total accumulated earnings — net
  $ 77,814,172  

(1)  Expiration occurs on December 31 of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code.
 
(2)  During the year ended December 31, 2006, the Fund utilized $2,217,058 of capital loss carryforwards.

     At December 31, 2006, the Fund’s aggregate security unrealized gains and losses based on a cost for U.S. federal income tax purposes were as follows:

         
Tax cost
  $ 365,504,519  
Gross unrealized gain
    71,036,875  
Gross unrealized loss
    (2,355,510 )
Net unrealized security gain
  $ 68,681,365  

     The difference between book-basis and tax basis unrealized gains (losses) is attributable primarily to differences related to the tax treatment of partnership investments, wash sales and return of capital distributions from underlying fund investments. The cumulative timing differences consist of deferred income distributions from underlying fund investments.

     In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $25,427 from accumulated net realized gain on investment transactions to accumulated undistributed net investment income. This reclassification has no impact on the net asset value of the Fund. Such reclassification results primarily from dividend redesignations.

8. OTHER MATTERS

Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds (including this Fund) and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain
 
15

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
 
8. OTHER MATTERS (continued)
related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The Fund, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars. The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision. By agreement, the plaintiffs subsequently withdrew their appeal without prejudice but reserved their right to reactivate their appeal pending a decision by the circuit court of appeals in similar litigation.
     Based on currently available information, GSAM and GSAMI believe that the likelihood that the pending purported class action and derivative action lawsuit will have a material adverse financial impact on the Fund is remote, and the pending action is not likely to materially affect their ability to provide investment management services to their clients, including the Goldman Sachs Funds.
New Accounting Pronouncements — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. On December 22, 2006, the SEC delayed the implementation of this ruling such that it must be incorporated no later than the last day on which a NAV is calculated preceding the Fund’s 2007 semi-annual report. At this time, the investment adviser is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
     On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 “Fair Value Measurement” (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations of an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. The investment adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financials statements, however, additional disclosures will be required.
 
16

 

Report of Independent Registered Public Accounting Firm

To the Shareholders of Goldman Sachs Growth and Income Fund and Board of Trustees

Goldman Sachs Variable Insurance Trust

We have audited the accompanying statement of assets and liabilities of Goldman Sachs Growth and Income Fund (one of the funds comprising the Goldman Sachs Variable Insurance Trust) (the “Fund”), including the schedule of investments, as of December 31, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Goldman Sachs Growth and Income Fund at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

  (ERNST & YOUNG LLP)

New York, New York

February 14, 2007
 
17

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND

Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2006

            As a shareholder of the Fund, you incur ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.  
 
            The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 through December 31, 2006.  
 
            Actual Expenses — The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.  
 
            Hypothetical Example for Comparison Purposes — The second line of table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.  
 
            Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.  

                         
Expenses Paid
for the
Beginning Ending 6 months
Account Value Account Value ended
7/1/06 12/31/06 12/31/06*
Actual
  $ 1,000     $ 1,156,70     $ 4.64  
Hypothetical 5% return
    1,000       1,020,90 +     4.35  

  *   Expenses are calculated using the Fund’s annualized expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratio for the period was 0.85%.  
  +   Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses.  

 
18

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

Trustees and Officers (Unaudited)

Independent Trustees
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
Ashok N. Bakhru
Age: 64		   Chairman of the Board of Trustees   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President — Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004); Trustee of the Walnut Street Theater (1992-2004 and 2006-Present); Trustee, Scholarship America (1998- 2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors — III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
John P. Coblentz, Jr.
Age: 65		   Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003).

Director, Emerging Markets Group, Ltd. (2004 — 2006); Director, Elderhostel, Inc. (2006 — present)

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Patrick T. Harker
Age: 48		   Trustee   Since 2000   Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Mary P. McPherson
Age: 71		   Trustee   Since 1997   Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); Director, American School of Classical Studies in Athens (1997-Present); and Trustee, Emeriti Retirement Health Solutions (post-retirement medical insurance program for non-profit institutions) (Since 2005).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Richard P. Strubel
Age: 67		   Trustee   Since 1987   Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   Gildan Activewear Inc. (clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the internet); Northern Mutual Fund Complex (58 Portfolios).
 
19

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND
 
Trustees and Officers (Unaudited) (continued)

Interested Trustee

                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
*Alan A. Shuch
Age: 57		   Trustee   Since 1990   Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994- May 1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno.
2
The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997.
3
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
4
The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of December 31, 2006, the Trust consisted of 65 portfolios and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios, including the Fund described in this Annual Report.
5
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.

 
20

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH AND INCOME FUND 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*
             
Term of
Office and
Position(s) Held Length of
Name, Age And Address With the Trust Time Served1 Principal Occupation(s) During Past 5 Years
Kaysie P. Uniacke
32 Old Slip
New York, NY 10005
Age: 45		   President   Since 2002   Managing Director, Goldman Sachs (1997-Present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (August 2001-December 2006).

President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).

Trustee — Gettysburg College.
James A. Fitzpatrick
71 South Wacker Drive
Suite 500
Chicago, IL 60606
Age: 46		   Vice President   Since 1997   Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).
James A. McNamara
32 Old Slip
New York, NY 10005
Age: 44		   Vice President   Since 2001   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004).
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 42		   Treasurer   Since 1997   Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer — Goldman Sachs Mutual Fund Complex (registered investment companies).
Peter V. Bonanno
32 Old Slip
New York, NY 10005
Age: 37		   Secretary   Since 2006   Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President Goldman Sachs (1999-2006); Assistant General Counsel, Goldman Sachs (1999-2002).

Secretary — Goldman Sachs Mutual Fund Complex (registered investment companies).
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.

Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)

       For the year ended December 31, 2006, 87.44% of the dividends paid from net investment company taxable income by the Growth and Income Fund qualifies for the dividends received deduction available to corporations.  

       Pursuant to Section 852 of the Internal Revenue Code, the Growth and Income Fund designates $15,880,947 as capital gain dividends paid during the year ended December 31, 2006.

 
21

 

     
TRUSTEES
  OFFICERS
Ashok N. Bakhru, Chairman
   Kaysie P. Uniacke, President
John P. Coblentz, Jr.
  James A. Fitzpatrick, Vice President
Patrick T. Harker
  James A. McNamara, Vice President
Mary Patterson McPherson
  John M. Perlowski, Treasurer
Alan A. Shuch
  Peter V. Bonanno, Secretary
Richard P. Strubel
   
 
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent 		   
 
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
 
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.
 
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
    Toll Free (in U.S.): 800-292-4726
 
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Growth and Income Fund.
 
 
Copyright 2007 Goldman, Sachs & Co. All rights reserved.
 
VITG&IAR/07-314    

 

Goldman
Sachs Variable Insurance Trust

GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005

 
Structured U.S. Equity Fund
 
Annual Report
December 31, 2006
 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Structured U.S. Equity Fund during the one-year reporting period that ended December 31, 2006.

Market Review

The S&P 500 Index returned 15.79% in 2006. All ten sectors in the Index posted positive results for the year, led by the Telecommunication Services (+33.2%) and Energy (+24.20%) sectors. The top-weighted Financials (+19.3%) sector contributed most positively (weight times performance) to the Index gains. It’s important to note that the return of the S&P 500 Index does not reflect any fees or expenses.

Investment Objective

The Fund seeks long-term growth of capital and dividend income.

Portfolio Composition

Top 10 Portfolio Holdings as of December 31, 2006*

             
% of Net
Company Assets Business
Exxon Mobil Corp. 
     5.1 %   Oil & Gas
Pfizer, Inc. 
     3.1     Pharmaceuticals
J.P. Morgan Chase & Co. 
     2.9     Diversified Financials
Cisco Systems, Inc. 
     2.9     Communications Equipment
Microsoft Corp. 
     2.9     Software
Bank of America Corp. 
     2.9     Banks
Hewlett-Packard Co. 
     2.5     Computers & Peripherals
General Electric Co. 
     2.3     Industrial Conglomerates
Merck & Co., Inc. 
     2.3     Pharmaceuticals
Time Warner, Inc. 
     2.3     Media

* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.

 
1

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
 
Shareholder Letter (continued)

Performance Review

Over the one-year period that ended December 31, 2006, the Fund’s Institutional Shares generated a cumulative total return of 12.89%. This return compares to the 15.79% cumulative total return of the Fund’s benchmark, the Standard & Poor’s 500 Index (with dividends reinvested), over the same time period. For the period from the inception of the Service Class on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative total return of 9.38%. This compares to the 12.40% cumulative total return of the Fund’s benchmark over the same time period.

For the 12-month reporting period as a whole, among our investment themes, Analyst Sentiment was the biggest detractor from relative returns, followed by Earnings Quality. Conversely, Valuation contributed positively to excess returns. Management Impact, Momentum and Profitability also added value, albeit to a lesser extent. Stock selection among sectors was negative overall for the period. The impact of the theme returns was felt in most sectors and the Fund’s holdings in the Energy and Healthcare sectors were among the biggest detractors from performance for the year. On the upside, stock selection in the Materials sector contributed the most.

The Fund’s underperformance versus the benchmark was concentrated in the period from August to November, when the market experienced what might be considered a “low-quality” rally. For example, during this time, stocks with low quality rankings according to Standard and Poor’s outperformed their higher quality counterparts. (We consider stocks ranked “A+”, “A” and “A-” by S&P to be “high quality,” and those ranked “B-” and “C” as “low quality”). In addition, companies with negative earnings fared far better than those with earnings, and companies that did not pay dividends outpaced those that did. In contrast, over the long term, we believe that higher quality companies tend to outperform their lower quality counterparts. In this type of market, the investment themes we rely on to add value typically do not work as we expect, and this period was no exception. For the August through November timeframe, all of our investment themes contributed negatively to returns.

In contrast, for the first seven months of the reporting period, the Fund’s Institutional Shares had performed largely in line with its benchmark, returning 3.50% versus 3.34%. During this period, the Momentum, Management Impact, Valuation and Profitability themes all produced returns that were quite positive. This is what we would expect and have experienced over the long term. However, Earnings Quality contributed slightly to returns and Analyst Sentiment detracted slightly from performance over this time. Over time, we expect all of our themes to contribute positively, but over shorter periods such as a quarter, six months or even a year, we expect different themes to drive our returns. That is why we employ a diversified set of themes to help us select stocks.

Over the long term, we expect most of our excess returns (gross portfolio return minus benchmark return) to be explained by our portfolios’ exposures to our themes. However, sometimes our themes don’t completely explain our returns. We call what is left over the residual, or unexplained portion of return. We have recently enhanced the way we analyze our performance to better understand the themes that impact the Fund’s returns. We have found that some themes did a better job of telling us which stocks to underweight versus which to overweight. In addition, some themes didn’t fare well in some sectors, as evidenced by the fact that stock selection was negative in some sectors. Thus, even when the themes did work as expected on average, they didn’t do so in driving all of our stock selection.

 
2

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 

Combined with those themes that didn’t work as a result of the market environment late in the year, the Fund underperformed its benchmark over the period.

We believe the market environment that we experienced toward the end of 2006 was unusual and we continue to believe in the long-term efficacy of our stock selection themes.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Quantitative Equity Management Team

January 25, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Structured U.S. Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT Structured U.S. Equity Fund invests in a broadly diversified portfolio of U.S. stocks. The Fund is subject to market risks, as the share prices of the securities in the portfolio may go up or down. This could occur in response to the prospects of the companies issuing the stock, overall sector performance and/or general economic conditions.

 
3

 

Shareholder Letter (continued)
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND

SECTOR ALLOCATION†

Percentage of Net Assets

(SECTOR ALLOCATION BAR CHART)

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and/or liabilities.

 
4

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value as of December 31, 2006, of a $10,000 investment made on February 13, 1998 (commencement of operations) in Institutional Class Shares. For comparative purposes, the performance of the Fund’s benchmark, the Standard and Poor’s 500 Index (with dividends reinvested) (“S&P 500 Index”), is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Shares will vary from Institutional Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a Fund.

Structured U.S. Equity Fund’s Lifetime Performance

Performance of a $10,000 Investment, Distributions Reinvested from February 13, 1998 to December 31, 2006.

PERFORMANCE GRAPH

                             
Since Inception Five Years One Year
Average Annual Total Return Through December 31, 2006
Institutional Class (commenced February 13, 1998)
     5.33%       6.92%       12.89%      
Service Class (commenced January 9, 2006)
     9.38%*       n/a       n/a      

*  Total returns for periods of less than one year represents cumulative total return.

 
 
5

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND

Schedule of Investments

December 31, 2006
                     
Shares Description Value
   
Common Stocks – 99.6%
    Aerospace & Defense – 4.0%
      64,600     Lockheed Martin Corp.   $ 5,947,722  
      300,200     Northrop Grumman Corp.     20,323,540  
      175,300     Raytheon Co.     9,255,840  
      128,939     The Boeing Co.     11,454,941  
                 
 
                  46,982,043  
   
    Air Freight & Couriers – 0.2%
      10,200     FedEx Corp.     1,107,924  
      27,200     Ryder System, Inc.     1,388,832  
                 
 
                  2,496,756  
   
    Banks – 5.8%
      627,122     Bank of America Corp.     33,482,043  
      303,386     Hudson City Bancorp, Inc.     4,210,998  
      31,400     Regions Financial Corp.     1,174,360  
      472,900     U.S. Bancorp     17,114,251  
      325,800     Wells Fargo & Co.     11,585,448  
                 
 
                  67,567,100  
   
    Beverages – 0.5%
      80,100     Coca-Cola Enterprises, Inc.     1,635,642  
      98,500     The Coca-Cola Co.     4,752,625  
                 
 
                  6,388,267  
   
    Biotechnology – 2.4%
      156,590     Amgen, Inc.*     10,696,663  
      302,800     Celgene Corp.*     17,420,084  
                 
 
                  28,116,747  
   
    Chemicals – 1.5%
      343,500     Monsanto Co.     18,044,055  
   
    Commercial Services & Supplies – 1.3%
      211,500     Emdeon Corp.*     2,620,485  
      105,000     Manpower, Inc.     7,867,650  
      134,988     Waste Management, Inc.     4,963,509  
                 
 
                  15,451,644  
   
    Communications Equipment – 3.3%
      1,240,540     Cisco Systems, Inc.*     33,903,958  
      149,300     Motorola, Inc.     3,069,608  
      42,600     Polycom, Inc.*     1,316,766  
                 
 
                  38,290,332  
   
    Computers & Peripherals – 3.8%
      719,300     Hewlett-Packard Co.     29,627,967  
      204,700     Lexmark International, Inc.*     14,984,040  
                 
 
                  44,612,007  
   
    Diversified Financials – 9.0%
      77,300     American Express Co.     4,689,791  
      166,900     AmeriCredit Corp.*(a)     4,200,873  
      24,300     Ameriprise Financial, Inc.     1,324,350  
      8,800     BlackRock, Inc.     1,336,720  
      95,814     Citigroup, Inc.     5,336,840  
      129,700     Countrywide Financial Corp.     5,505,765  
      705,400     J.P. Morgan Chase & Co.     34,070,820  
      288,700     Merrill Lynch & Co., Inc.     26,877,970  
      165,100     Moody’s Corp.     11,401,806  
      89,100     Morgan Stanley     7,255,413  
      50,800     SEI Investments Co.     3,025,648  
                 
 
                  105,025,996  
   
    Diversified Telecommunication Services – 3.7%
      637,800     AT&T, Inc.     22,801,350  
      170,900     BellSouth Corp.     8,051,099  
      166,500     CenturyTel, Inc.     7,269,390  
      271,401     Sprint Nextel Corp.     5,126,765  
                 
 
                  43,248,604  
   
    Electric Utilities – 2.8%
      356,000     PG&E Corp.     16,849,480  
      285,970     TXU Corp.     15,502,434  
                 
 
                  32,351,914  
   
    Electrical Equipment – 0.3%
      53,200     Energizer Holdings, Inc.*     3,776,668  
   
    Energy Equipment & Services – 0.2%
      40,400     Schlumberger Ltd.     2,551,664  
   
    Food & Drug Retailing – 0.7%
      223,200     Safeway, Inc.     7,713,792  
   
    Food Products – 2.6%
      512,600     Archer-Daniels-Midland Co.     16,382,696  
      39,979     Dean Foods Co.*     1,690,312  
      140,900     Kraft Foods, Inc.     5,030,130  
      462,200     Tyson Foods, Inc.     7,603,190  
                 
 
                  30,706,328  
   
    Healthcare Equipment & Supplies – 0.7%
      185,500     Applera Corp. – Applied Biosystems Group     6,805,995  
      11,200     Intuitive Surgical, Inc.*     1,074,080  
                 
 
                  7,880,075  
   
    Healthcare Providers & Services – 2.6%
      411,894     AmerisourceBergen Corp.     18,518,754  
      36,600     Caremark Rx, Inc.     2,090,226  
      155,169     Humana, Inc.*     8,582,398  
      19,200     WellCare Health Plans, Inc.*     1,322,880  
                 
 
                  30,514,258  
   
    Hotels, Restaurants & Leisure – 1.1%
      131,900     Darden Restaurants, Inc.     5,298,423  
      28,500     Marriott International, Inc.     1,360,020  
      35,500     Starbucks Corp.*     1,257,410  
      81,100     Yum! Brands, Inc.     4,768,680  
                 
 
                  12,684,533  
   
    Household Products – 0.4%
      59,900     Colgate-Palmolive Co.     3,907,876  
      18,165     Procter & Gamble Co.     1,167,465  
                 
 
                  5,075,341  
   
 
The accompanying notes are an integral part of these financial statements.

6

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 
                     
Shares Description Value
   
Common Stocks – (continued)
    Industrial Conglomerates – 3.3%
      736,588     General Electric Co.   $ 27,408,439  
      153,546     Reynolds American, Inc.     10,052,657  
      40,900     Tyco International Ltd.     1,243,360  
                 
 
                  38,704,456  
   
    Insurance – 6.1%
      68,030     AMBAC Financial Group, Inc.     6,059,432  
      539,100     Genworth Financial, Inc.     18,442,611  
      490,900     Loews Corp.     20,357,623  
      270,863     MBIA, Inc.(a)     19,789,251  
      15,395     Nationwide Financial Services, Inc.     834,409  
      103,500     Radian Group, Inc.     5,579,685  
      31,550     W.R. Berkley Corp.     1,088,790  
                 
 
                  72,151,801  
   
    IT Consulting & Services – 2.2%
      37,600     Accenture Ltd.     1,388,568  
      364,600     Computer Sciences Corp.*     19,458,702  
      187,100     First Data Corp.     4,774,792  
                 
 
                  25,622,062  
   
    Machinery – 0.6%
      73,500     Deere & Co.     6,987,645  
   
    Marine – 0.1%
      22,000     Overseas Shipholding Group, Inc.     1,238,600  
   
    Media – 6.9%
      516,930     CBS Corp. Class B     16,117,877  
      216,000     Comcast Corp.*     9,143,280  
      90,500     News Corp. Class B     2,014,530  
      323,579     The DIRECTV Group, Inc.*     8,070,060  
      119,440     The McGraw-Hill Companies, Inc.     8,124,309  
      299,686     The Walt Disney Co.     10,270,239  
      1,242,729     Time Warner, Inc.     27,066,638  
                 
 
                  80,806,933  
   
    Metals & Mining – 0.3%
      21,800     Newmont Mining Corp.     984,270  
      52,100     Nucor Corp.     2,847,786  
                 
 
                  3,832,056  
   
    Multi-Utilities – 0.0%
      6,101     Dynegy, Inc.*     44,171  
   
    Multiline Retail – 2.2%
      326,600     Costco Wholesale Corp.     17,267,342  
      180,300     Dillard’s, Inc.     6,305,091  
      48,700     Wal-Mart Stores, Inc.     2,248,966  
                 
 
                  25,821,399  
   
    Oil & Gas – 9.5%
      302,200     Devon Energy Corp.     20,271,576  
      783,366     Exxon Mobil Corp.     60,029,337  
      53,200     Holly Corp.     2,734,480  
      228,400     Marathon Oil Corp.     21,127,000  
      142,200     Valero Energy Corp.     7,274,952  
                 
 
                  111,437,345  
   
    Pharmaceuticals – 7.2%
      288,782     Johnson & Johnson     19,065,388  
      626,100     Merck & Co., Inc.     27,297,960  
      1,398,915     Pfizer, Inc.     36,231,898  
      26,600     Wyeth     1,354,472  
                 
 
                  83,949,718  
   
    Real Estate – 1.0%
      76,600     Equity Office Properties Trust     3,689,822  
      26,800     Kimco Realty Corp. (REIT)     1,204,660  
      50,200     Public Storage, Inc. (REIT)     4,894,500  
      17,800     SL Green Realty Corp.     2,363,484  
                 
 
                  12,152,466  
   
    Road & Rail – 1.3%
      214,000     CSX Corp.     7,368,020  
      149,200     Norfolk Southern Corp.     7,503,268  
                 
 
                  14,871,288  
   
    Semiconductor Equipment & Products – 2.3%
      193,600     Atmel Corp.*     1,171,280  
      64,900     Lam Research Corp.*     3,285,238  
      1,264,700     Micron Technology, Inc.*     17,655,212  
      155,552     Texas Instruments, Inc.     4,479,898  
                 
 
                  26,591,628  
   
    Software – 5.0%
      1,123,840     Microsoft Corp.     33,557,862  
      560,300     Oracle Corp.*     9,603,542  
      309,500     Symantec Corp.*     6,453,075  
      322,111     Synopsys, Inc.*     8,610,027  
                 
 
                  58,224,506  
   
    Specialty Retail – 3.0%
      477,394     AutoNation, Inc.*     10,178,040  
      269,856     Circuit City Stores, Inc.     5,121,867  
      352,388     Office Depot, Inc.*     13,450,650  
      225,800     The TJX Companies, Inc.     6,439,816  
                 
 
                  35,190,373  
   
    Textiles & Apparel – 0.1%
      39,802     Jones Apparel Group, Inc.     1,330,581  
   
    Tobacco – 1.4%
      113,400     Altria Group, Inc.     9,731,988  
      119,067     UST, Inc.     6,929,699  
                 
 
                  16,661,687  
   
 
The accompanying notes are an integral part of these financial statements.

7

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
 
Schedule of Investments (continued)
December 31, 2006
                     
Shares Description Value
   
Common Stocks – (continued)
    Wireless Telecommunication Services – 0.2%
      23,280     Telephone & Data Systems, Inc.   $ 1,264,802  
      10,700     United States Cellular Corp.*     744,613  
                 
 
                  2,009,415  
   
    TOTAL COMMON STOCKS
    (Cost $1,007,833,079)   $ 1,167,106,254  
   
                             
Principal Interest Maturity
Amount Rate Date Value
   
Repurchase Agreement(b) – 0.2%
    Joint Repurchase Agreement Account II
    $ 2,800,000       5.292 %   01/02/07   $ 2,800,000  
          Maturity Value:  $2,801,646
    (Cost $2,800,000)
   
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL
    (Cost $1,010,633,079)   $ 1,169,906,254  
   
                     
Shares Description Value
   
Securities Lending Collateral – 1.2%
      14,360,500     Boston Global Investment Trust – Enhanced Portfolio   $ 14,360,500  
    (Cost $14,360,500)
   
    TOTAL INVESTMENTS – 101.0%
    (Cost $1,024,993,579)   $ 1,184,266,754  
   
    LIABILITIES IN EXCESS OF
OTHER ASSETS – (1.0)%		     (12,107,580 )
   
    NET ASSETS – 100.0%   $ 1,172,159,174  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * Non-income producing security.
 
 (a) All or a portion of security is on loan.
 
 (b) Joint repurchase agreement was entered into on December 29, 2006.
             
   
    Investment Abbreviation:
    REIT   —   Real Estate Investment Trust
   
 
The accompanying notes are an integral part of these financial statements.

8

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2006, the following futures contracts were open as follows:

                                 
Number of Settlement Unrealized
Type Contracts Long Month Market Value Loss
S&P 500 Index
    57       March 2007     $ 4,070,940     $ (23,939 )

JOINT REPURCHASE AGREEMENT ACCOUNT II — At December 31, 2006, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $2,800,000 in principal amount.

                                 
Principal Interest Maturity Maturity
Repurchase Agreements Amount Rate Date Value
ABN Amro, Inc.
  $ 500,000,000       5.32 %     01/02/07     $ 500,295,556  
Banc of America Securities LLC
    750,000,000       5.32       01/02/07       750,443,333  
Barclays Capital PLC
    525,000,000       5.32       01/02/07       525,310,333  
Bear Stearns
    500,000,000       5.32       01/02/07       500,295,556  
Deutsche Bank Securities, Inc.
    750,000,000       5.31       01/02/07       750,442,500  
Greenwich Capital Markets
    300,000,000       5.32       01/02/07       300,177,333  
Morgan Stanley & Co.
    500,000,000       5.32       01/02/07       500,295,556  
UBS Securities LLC
    700,000,000       5.18       01/02/07       700,402,889  
UBS Securities LLC
    700,000,000       5.22       01/02/07       700,406,000  
UBS Securities LLC
    850,000,000       5.32       01/02/07       850,502,444  
Wachovia Capital Markets
    250,000,000       5.32       01/02/07       250,147,778  
TOTAL
   $ 6,325,000,000                     $ 6,328,719,278  
  At December 31, 2006, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 7.23%, due 01/12/07 to 11/01/16; Federal Home Loan Mortgage Association, 3.50% to 9.00%, due 02/01/07 to 01/01/37; Federal National Mortgage Association, 0.00% to 11.50%, due 07/01/07 to 01/01/37 and Government National Mortgage Association, 4.50% to 9.00%, due 10/15/09 to 12/20/36. The aggregate market value of the collateral, including accrued interest, was $6,462,454,814.  
 
The accompanying notes are an integral part of these financial statements.

9

 

Schedule of Investments (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND

Statement of Assets and Liabilities

December 31, 2006
               
 
    Assets:
   
Investment in securities, at value (identified cost $1,010,633,079) — including $13,964,162 of securities on loan
  $ 1,169,906,254  
   
Securities lending collateral, at value (cost $14,360,500)
    14,360,500  
   
Cash(a)
    1,427,463  
   
Receivables:
       
     
Dividends and interest
    1,728,796  
     
Fund shares sold
    350,303  
     
Securities lending income
    5,089  
   
Other assets
    155,884  
   
   
Total assets
     1,187,934,289  
   
    Liabilities:
   
Payables:
       
     
Payable upon return of securities loaned
    14,360,500  
     
Amounts owed to affiliates
    695,934  
     
Fund shares repurchased
    571,930  
     
Variation margin
    15,390  
   
Accrued expenses
    131,361  
   
   
Total liabilities
     15,775,115  
   
    Net Assets:
   
Paid-in capital
    1,064,666,831  
   
Accumulated net realized loss on investment and futures transactions
    (51,756,893 )
   
Net unrealized gain on investments and futures
    159,249,236  
   
   
NET ASSETS
   $ 1,172,159,174  
   
   
Net Assets:
       
     
Institutional
  $ 910,345,238  
     
Service
    261,813,936  
   
   
Shares Outstanding:
       
     
Institutional
    62,046,291  
     
Service
    17,843,303  
   
   
Total shares of beneficial interest outstanding, $0.001 par value (unlimited number of shares authorized)
    79,889,594  
   
   
Net asset value, offering and redemption price per share:
       
     
Institutional
  $ 14.67  
     
Service
  $ 14.67  
   

(a)  Includes restricted cash of $1,351,150 relating to initial margin requirements and collateral on futures transactions.

 
The accompanying notes are an integral part of these financial statements.

10

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 

Statement of Operations

For the Year Ended December 31, 2006
               
    Investment income:
   
Dividends
  $ 19,391,718  
   
Interest (including securities lending income of $38,558)
    274,749  
   
   
Total income
     19,666,467  
   
    Expenses:
   
Management fees
    7,325,420  
   
Distribution and Service fees
    664,626  
   
Transfer Agent fees
    455,876  
   
Custody and accounting fees
    189,534  
   
Printing fees
    175,953  
   
Professional fees
    53,328  
   
Trustee fees
    15,083  
   
Registration fees
    1,269  
   
Other
    27,674  
   
   
Total expenses
     8,908,763  
   
   
Less — expense reductions
    (520,774 )
   
   
Net expenses
     8,387,989  
   
   
NET INVESTMENT INCOME
     11,278,478  
   
    Realized and unrealized gain (loss) on investment and future transactions:
   
Net realized gain (loss) from:
       
     
Investment transactions
    89,807,071  
     
Futures transactions
    (41,590 )
   
Net change in unrealized gain on:
       
     
Investments
    26,453,422  
     
Futures
    105,915  
   
   
Net realized and unrealized gain on investment and future transactions
     116,324,818  
   
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
   $ 127,603,296  
   
 
The accompanying notes are an integral part of these financial statements.

11

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND

Statements of Changes in Net Assets

                       
For the For the
Year Ended Year Ended
December 31, 2006 December 31, 2005
    From operations:
   
Net investment income
  $ 11,278,478     $ 6,468,007  
   
Net realized gain on investment, futures and foreign currency related transactions
    89,765,481       20,646,992  
   
Payment by affiliates to reimburse certain security claims
    —       1,193  
   
Net change in unrealized gain on investments and futures
    26,559,337       25,704,439  
   
   
Net increase in net assets resulting from operations
     127,603,296       52,820,631  
   
    Distributions to shareholders:
   
From net investment income
               
     
Institutional
    (9,387,354 )     (6,029,395 )
     
Service*
    (2,504,014 )     —  
   
   
Total distributions to shareholders
     (11,891,368 )     (6,029,395 )
   
    From share transactions:
   
Proceeds from sales of shares
    92,250,219       283,997,163  
   
Proceeds received in connection with merger
    286,785,341       —  
   
Reinvestment of dividends and distributions
    11,891,368       6,029,395  
   
Cost of shares repurchased
    (154,874,176 )     (37,560,740 )
   
   
Net increase in net assets resulting from share transactions
     236,052,752       252,465,818  
   
   
TOTAL INCREASE
     351,764,680       299,257,054  
   
    Net assets:
   
Beginning of year
    820,394,494       521,137,440  
   
   
End of year
  $ 1,172,159,174     $ 820,394,494  
   
   
Accumulated undistributed net investment income
   $ —     $ 500,484  
   

*  Service Share Class commenced on January 9, 2006.

 
The accompanying notes are an integral part of these financial statements.

12

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                 
Income (loss) from Ratios assuming no
investment operations expense reductions
Net Distributions Ratio of Ratio of Ratio of
Net asset realized to shareholders Net asset Net assets, Ratio of net investment total net investment
value, Net and Total from from net value, end of net expenses income to expenses income to Portfolio
Year - Share beginning investment unrealized investment investment end of Total year to average average to average average turnover
Class of period income(a) gain (loss) operations income year return(b) (in 000s) net assets net assets net assets net assets rate
 
    FOR THE YEARS ENDED DECEMBER 31,
    2006 - Institutional   $ 13.13     $ 0.14     $ 1.55     $ 1.69     $ (0.15 )   $ 14.67       12.89 %   $ 910,345       0.72 %     1.01 %     0.72 %     1.01 %     99 %    
    2006 - Service(c)     13.54       0.13       1.14       1.27       (0.14 )     14.67       9.38       261,814       0.80 (d)     0.92 (d)     0.97 (d)     0.75 (d)     99 %    
   
    2005 - Institutional     12.42       0.13       0.68       0.81       (0.10 )     13.13       6.51       820,394       0.74       1.00       0.76       0.99       109      
    2004 - Institutional     10.92       0.14       1.49       1.63       (0.13 )     12.42       14.94       521,137       0.75       1.26       0.78       1.23       128      
    2003 - Institutional     8.49       0.07       2.43       2.50       (0.07 )     10.92       29.47       383,025       0.85       0.79       0.85       0.79       92      
    2002 - Institutional     10.94       0.06       (2.45 )     (2.39 )     (0.06 )     8.49       (21.89 )     143,439       0.85       0.60       0.86       0.59       84      
   

(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than a full year are not annualized.
(c)  Service Share Class commenced on January 9, 2006.
(d)  Annualized.

The accompanying notes are an integral part of these financial statements.

 
13

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND

Notes to Financial Statements

December 31, 2006

1. ORGANIZATION

Goldman Sachs Variable Insurance Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Structured U.S. Equity Fund (“Fund” or “Structured U.S. Equity Fund”) (formerly Goldman Sachs CORE U.S. Equity Fund). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service.
     Shares of the Trust may be purchased and held by separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Trust are not offered directly to the general public.
     On January 9, 2006, pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) previously approved by the Trust’s Board of Trustees, all of the assets, subject to liabilities, of the Core Equity Fund of the Allmerica Investment Trust (the “Allmerica Fund”), were transferred to the Structured U.S. Equity Fund in exchange for the Structured U.S. Equity Fund’s Service Shares. Holders of shares of the Allmerica Fund received Service shares of the Structured U.S. Equity Fund in an amount equal to the aggregate net asset value of their investment in the Allmerica Fund as of the close of business on January 6, 2006. On the date of the exchange, the Structured U.S. Equity Fund began to offer Service Shares. The exchange was a tax-free event to shareholders.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.

A. Investment Valuation — Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed not to reflect market value by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.

B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.

     Net investment income (other than class-specific expenses) and unrealized and realized gain or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.

C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense. Each class of shares of the Fund separately bears its respective class-specific Transfer Agency fees. Service Shares bear all expenses and fees relating to their Distribution and Service Plan.

D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years

 
14

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gain, or as a tax return of capital.
     In addition, distributions paid by the Fund’s investments in real estate investment trusts (“REITs”) often include a “return of capital” which is recorded by the Fund as a reduction of the cost basis of the securities held. The Code requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the distribution is deemed a return of capital and is generally not taxable to shareholders.

E. Futures Contracts — The Fund may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Fund is required to segregate cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Fund daily, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Fund realizes a gain or loss which is reported in the Statement of Operations.

     The use of futures contracts involve, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statement of Assets and Liabilities. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. These risks may decrease the effectiveness of the Fund’s strategies and potentially result in a loss.

F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Fund may be delayed or limited and there may be a decline in the value of the collateral during the period while the Fund seeks to assert its rights. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under triparty repurchase agreements.

     Pursuant to exemptive relief granted by the Securities and Exchange Commission (the “SEC”) and terms and conditions contained therein, the Fund, together with other registered investment companies having management or investment advisory agreements with Goldman Sachs Asset Management, L.P. (“GSAM”), or its affiliates may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements.

G. Segregation Transactions — As set forth in the prospectus, the Fund may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.

 
15

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND

3. AGREEMENTS

GSAM, an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser pursuant to an Investment Management Agreement (the “Agreement”) with the Trust on behalf of the Fund. Under this Agreement, GSAM manages the Fund, subject to the general supervision of the Trust’s Board of Trustees.
     As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Fund’s business affairs, including providing facilities, GSAM is entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
     GSAM has entered into a fee reduction commitment for the Fund which was implemented on a voluntary basis prior to April 28, 2006 and on a contractual basis as of April 28, 2006 to achieve the rates listed below:
         
Average Daily Net Assets Annual Rate
First $1 Billion
    0.65 %
Next $1 Billion
    0.59 %
Over $2 Billion
    0.56 %

     For the year ended December 31, 2006, GSAM waived approximately $3,500 of the Fund’s Management fee.

     In connection with the reorganization of the Allmerica Fund into the Fund, GSAM has contractually agreed to reimburse the Fund as necessary to limit the total annual operating expenses of the Services Shares of the Fund to 0.81% until June 2007.
     GSAM has also voluntarily agreed to limit certain “Other Expenses” of the Fund (excluding Management fees, Distribution and Service fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification costs, shareholder meeting and other extraordinary expenses exclusive of any expense offset arrangements) to the extent that such expenses exceed, on an annual basis, 0.044% of the average daily net assets of the Fund. Prior to January 9, 2006, the Other Expense limitation for the Fund was 0.16%. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the year ended December 31, 2006, GSAM made no reimbursements to the Fund.
     The Fund has entered into certain offset arrangements with the custodian and transfer agent resulting in a reduction in the Fund’s expenses. For the year ended December 31, 2006, custody and transfer agent fees were reduced by approximately $5,900 and $59,800, respectively.
     Goldman Sachs also serves as Transfer Agent of the Fund for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly equal to an annual rate of 0.04% of the average daily net assets of the Institutional and Service Shares.
     The Trust has adopted, on behalf of Service Shares of the Fund, a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs is entitled to a monthly fee for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Services Shares. Goldman Sachs has voluntarily agreed to waive Distribution and Service Shares so as not to exceed 0.08% of the Fund’s average daily net assets attributable to Service Shares. This waiver may be modified or terminated at any time at the option of Goldman Sachs. For the year ended December 31, 2006, Goldman Sachs waived approximately $451,600 in Distribution and Service fees for the Fund.
     At December 31, 2006, amounts owed to affiliates were approximately $638,000, $18,000 and $40,000 for Management, Distribution and Service, and Transfer Agent fees, respectively.

4. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long term securities for the year ended December 31, 2006, were $1,332,899,726 and $1,102,003,241 respectively. For the year ended December 31, 2006, Goldman Sachs earned approximately $6,800 of brokerage commissions from portfolio transactions, including futures transactions, executed on behalf of the Fund.
 
16

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 

5. SECURITIES LENDING

Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Boston Global Advisers (“BGA”) — a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or the system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund bears the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
     The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM receives an investment advisory fee of up to 0.10% of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests in high quality money market instruments. The Fund bears the risk of incurring a loss from the investment of cash collateral due to either credit or market factors. Both the Fund and BGA receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the year ended December 31, 2006, is reported parenthetically under Investment Income on the Statement of Operations. A portion of this amount, $3,796, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the year ended December 31, 2006, BGA earned approximately $5,000 in fees as securities lending agent. At December 31, 2006, the Fund loaned securities having a market value of $13,964,162 collateralized by cash in the amount of $14,360,500.

6. LINE OF CREDIT FACILITY

The Fund participates in a $400,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAM. Under the most restrictive arrangement, the Fund must own securities having a market value in excess of 300% of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This committed facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. During the year ended December 31, 2006, the Fund did not have any borrowings under this facility.

7. TAX INFORMATION

The tax character of distributions paid during the fiscal years ended December 31, 2006 and December 31, 2005 was as follows:
                 
For the year ended December 31,
2006 2005
Distributions paid from:
               
Ordinary income
  $ 11,768,853     $ 6,029,395  
Net long-term capital gains
    122,515       —  
Total taxable distributions
  $ 11,891,368     $ 6,029,395  
 
17

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
 
7. TAX INFORMATION (continued)

     As of December 31, 2006, the components of accumulated earnings (losses) on a tax basis were as follows.

           
Undistributed long-term capital gains
  $ 12,329,312  
Capital loss carryforward:(1)(2)
       
 
Expiring 2009
    (24,505,886 )
 
Expiring 2010
    (35,676,026 )
Total capital loss carryforward
  $ (60,181,912 )
Unrealized gain — net
    155,344,943  
Total accumulated earnings — net
  $ 107,492,343  
(1)  Expiration occurs on December 31 of the year indicated. Utilization of these losses may be limited under the Code.
(2)  During the year ended December 31, 2006, the Fund utilized $74,330,374 of capital loss carryforwards.
     At December 31, 2006, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
Tax cost
  $ 1,028,921,811  
Gross unrealized gain
    166,063,350  
Gross unrealized loss
    (10,718,407 )
Net unrealized security gain
  $ 155,344,943  

     The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and mark-to-market losses on Section 1256 futures contracts.

     In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified from accumulated net realized gain on investments to accumulated undistributed net investment income and paid-in capital, $112,406 and $116,797,726, respectively. These reclassifications have no impact on the net asset value of the Fund. Reclassifications result primarily from available capital loss carryforwards and previously deferred wash sales acquired in the reorganization with the Allmerica Fund and the difference in tax treatment of underlying Fund investments.

8. OTHER MATTERS

Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds (including this Fund) and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The Fund, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars. The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision. By agreement, the plaintiffs subsequently
 
18

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 
 
8. OTHER MATTERS (continued)
withdrew their appeal without prejudice but reserved their right to reactivate their appeal pending a decision by the circuit court of appeals in similar litigation.
     Based on currently available information, GSAM and GSAMI believe that the likelihood that the pending purported class action and derivative action lawsuit will have a material adverse financial impact on the Fund is remote, and the pending action is not likely to materially affect their ability to provide investment management services to their clients, including the Goldman Sachs Funds.

Merger and Reorganization — At a meeting held on July 12, 2005, the Board of Trustees of the Trust approved the Reorganization Agreement providing for the tax-free acquisition of the Allmerica Fund by the Structured U.S. Equity Fund. Following the approval of the Board of Trustees and shareholders of the Allmerica Fund, the acquisition was completed on January 9, 2006, as of the close of business on January 6, 2006.

     Pursuant to the Agreement, the assets and liabilities of the Allmerica Fund Service Class were transferred into the Structured U.S. Equity Fund Service Class in a tax-free exchange as follows:
                         
Acquired Fund’s
Exchanged Shares Value of Shares Outstanding
Survivor/Acquired Fund of Survivor Issued Exchanged Shares as of January 6, 2006
Structured U.S. Equity Fund Service Class/Allmerica Fund Service Class     21,180,601     $ 286,785,341       154,899,319  

     The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation.

                                         
Survivor Fund’s Acquired Fund’s Survivor Fund’s
Aggregate Aggregate Aggregate
Net Assets Net Assets Acquired Fund’s Acquired Fund’s Net Assets
before before Unrealized Capital Loss immediately
Survivor/Acquired Fund acquisition acquisition Appreciation Carryforward after acquisition
Structured U.S. Equity Fund/Allmerica Fund   $ 846,672,156     $ 286,785,341     $ 53,289,382     $ (215,995,972 )   $ 1,133,457,497  

New Accounting Pronouncement — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. On December 22, 2006, the SEC delayed the implementation of this ruling such that it must be incorporated no later than the last day on which a NAV is calculated preceding the Fund’s 2007 semi-annual report. At this time, the investment adviser is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.

     On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 “Fair Value Measurement” (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations of an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial
 
19

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
 
8. OTHER MATTERS (continued)
statements issued for fiscal years beginning after November 15, 2007. The investment adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financials statements, however, additional disclosures will be required.

9. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:
                                 
For the Year Ended For the Year Ended
December 31, 2006 December 31, 2005
Shares Dollars Shares Dollars
Institutional Shares
                                
Shares sold
    5,925,895     $ 80,892,610       23,122,045     $ 283,997,163  
Reinvestment of dividends and distributions
    638,161       9,387,354       461,669       6,029,395  
Shares repurchased
    (7,009,766 )     (94,999,905 )     (3,060,370 )     (37,560,740 )
      (445,710 )     (4,719,941 )     20,523,344       252,465,818  
Service Shares*
                                
Shares sold
    833,578       11,357,609       —       —  
Shares issued in connection with merger
    21,180,601       286,785,341       —       —  
Reinvestment of dividend and distributions
    170,226       2,504,014       —       —  
Shares repurchased
    (4,341,102 )     (59,874,271 )     —       —  
      17,843,303       240,772,693       —       —  
NET INCREASE
     17,397,593     $ 236,052,752       20,523,344     $ 252,465,818  

*  Service Share Class commenced on January 9, 2006.

 
20

 

Report of Independent Registered Public Accounting Firm

To the Shareholders of Goldman Sachs Structured U.S. Equity Fund and Board of Trustees
Goldman Sachs Variable Insurance Trust

We have audited the accompanying statement of assets and liabilities of Goldman Sachs Structured U.S. Equity Fund (formerly, Goldman Sachs CORE U.S. Equity Fund) (one of the funds comprising the Goldman Sachs Variable Insurance Trust) (the “Fund”), including the schedule of investments, as of December 31, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Goldman Sachs Structured U.S. Equity Fund at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

  -s- ERNST & YOUNG LLP

New York, New York
February 14, 2007
 
21

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND

Structured U.S. Equity Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2006

            As a shareholder of the Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees service fees (Service Shares only) and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.  
 
            The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 through December 31, 2006.  
 
            Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.  
 
            Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.  
 
            Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.  

                         
Expenses Paid
for the
Beginning Ending 6 months
Account Value Account Value ended
Share Class 7/1/06 12/31/06 12/31/06*
Institutional
                        
Actual
  $ 1,000     $ 1,106.20     $ 3.76  
Hypothetical 5% return
    1,000       1,021.64 +     3.61  
Service
                        
Actual
  $ 1,000     $ 1,106.10     $ 4.25  
Hypothetical 5% return
    1,000       1,021.17 +     4.08  

  *   Expenses are calculated using the Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.72% and 0.80% for Institutional and Service Shares, respectively.  
  +   Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.  

 
22

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 

Trustees and Officers (Unaudited)

Independent Trustees
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
Ashok N. Bakhru
Age: 64		   Chairman of the Board of Trustees   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President — Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004); Trustee of the Walnut Street Theater (1992-2004 and 2006-Present); Trustee, Scholarship America (1998- 2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors — III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
John P. Coblentz, Jr.
Age: 65		   Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003).
Director, Emerging Markets Group, Ltd. (2004-2006); Director, Elderhostel, Inc. (2006-present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Patrick T. Harker
Age: 48		   Trustee   Since 2000   Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Mary P. McPherson
Age: 71		   Trustee   Since 1997   Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); Director, American School of Classical Studies in Athens (1997-Present); and Trustee, Emeriti Retirement Health Solutions (post-retirement medical insurance program for non-profit institutions) (Since 2005).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Richard P. Strubel
Age: 67		   Trustee   Since 1987   Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   Gildan Activewear Inc. (clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the internet); Northern Mutual Fund Complex (58 Portfolios).
 
23

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND
 
Trustees and Officers (Unaudited) (continued)
Interested Trustee
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
*Alan A. Shuch
Age: 57		   Trustee   Since 1990   Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994- May 1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno.
2
The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997.
3
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
4
The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of December 31, 2006, the Trust consisted of 65 portfolios and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios, including the Fund described in this Annual Report.
5
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.

 
24

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED U.S. EQUITY FUND 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*
             
Term of
Office and
Position(s) Held Length of
Name, Age And Address With the Trust Time Served1 Principal Occupation(s) During Past 5 Years
Kaysie P. Uniacke
32 Old Slip
New York, NY 10005
Age: 45		   President   Since 2002   Managing Director, Goldman Sachs (1997-Present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (August 2001 to December 2006).

President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).

Trustee — Gettysburg College.
James A. Fitzpatrick
71 South Wacker Drive
Suite 500
Chicago, IL 60606
Age: 46		   Vice President   Since 1997   Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).
James A. McNamara
32 Old Slip
New York, NY 10005
Age: 44		   Vice President   Since 2001   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004).
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 42		   Treasurer   Since 1997   Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer — Goldman Sachs Mutual Fund Complex (registered investment companies).
Peter V. Bonanno
32 Old Slip
New York, NY 10005
Age: 37		   Secretary   Since 2006   Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President Goldman Sachs (1999-2006); Assistant General Counsel, Goldman Sachs (1999-2002).

Secretary — Goldman Sachs Mutual Fund Complex (registered investment companies).
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.

Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)

       For the year ended December 31, 2006, 100% of the dividends paid from net investment company taxable income by the Structured U.S. Equity Fund qualify for the dividends received deduction available to corporations.  

       Pursuant to Section 852 of the Internal Revenue Code, the Structured U.S. Equity Fund designates $122,515 as capital gain dividends paid during the year ended December 31, 2006.

 
25

 

     
TRUSTEES
  OFFICERS
Ashok N. Bakhru, Chairman
   Kaysie P. Uniacke, President
John P. Coblentz, Jr.
  James A. Fitzpatrick, Vice President
Patrick T. Harker
  James A. McNamara, Vice President
Mary Patterson McPherson
  John M. Perlowski, Treasurer
Alan A. Shuch
  Peter V. Bonanno, Secretary
Richard P. Strubel
   
 
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent 		   
 
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
 
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.
 
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
Effective May 1, 2006, the Goldman Sachs Variable Insurance Trust (VIT) CORE SM U.S. Equity Fund was renamed the Goldman Sachs Variable Insurance Trust (VIT) Structured U.S. Equity Fund.
 
CORESM is a registered service mark of Goldman, Sachs & Co.
 
    Toll Free (in U.S.): 800-292-4726
 
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Structured U.S. Equity Fund.
 
Copyright 2007 Goldman, Sachs & Co. All rights reserved.
 
VITSTRCUSSAR/07-311    

 

Goldman
Sachs Variable Insurance Trust

GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005

 
Structured Small Cap Equity Fund
Annual Report
December 31, 2006

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Structured Small Cap Equity Fund during the one-year reporting period that ended December 31, 2006.

Market Review

The Russell 2000 Index returned 18.37% in 2006. All ten sectors in the Index posted positive results for the year, led by the Telecommunication Services (+40.8%) and Materials (+40.1%) sectors. The top-weighted Financials (+19.5%) sector contributed most positively (weight times performance) to the Index gains. It’s important to note that the return of the Russell 2000 Index does not reflect any fees or expenses.

Investment Objective

The Fund seeks long-term growth of capital. The Fund seeks this objective through a broadly diversified portfolio of equity investments of U.S. issuers.

Portfolio Composition

Top 10 Portfolio Holdings as of December 31, 2006*

             
% of Net
Company Assets Business
Jack in the Box, Inc.
    1.6 %   Hotels, Restaurants & Leisure
AMERIGROUP Corp.
    1.5     Healthcare Providers & Services
Immucor, Inc.
    1.5     Healthcare Equipment & Supplies
American Home Mortgage Investment Corp.
    1.5     Real Estate
IKON Office Solutions, Inc.
    1.5     Office Electronics
Brocade Communications Systems, Inc.
    1.5     Communications Equipment
Payless ShoeSource, Inc.
    1.5     Specialty Retail
Belden CDT, Inc.
    1.5     Electrical Equipment
EMCOR Group, Inc.
    1.5     Construction & Engineering
UTStarcom, Inc.
    1.4     Communications Equipment

* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.

 
1

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
 
Shareholder Letter (continued)

Performance Review

Over the one-year period that ended December 31, 2006, the Fund generated a cumulative total return of 12.27%. This return compares to the 18.37% cumulative total return of the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested), over the same time period.

Looking at the 12-month period as a whole, among our investment themes, Earnings Quality was the biggest detractor from relative returns, as companies with sustainable sources of earnings underperformed their industry counterparts. Conversely, Management Impact and Profitability contributed positively to excess returns. Valuation, Momentum and Analyst Sentiment also added value, albeit to a lesser extent. Stock selection among sectors was negative overall for the period. The Fund’s holdings in the Financials and Information Technology sectors detracted most from performance for the year. On the upside, stock selection in the Healthcare sector contributed the most.

As the Fund’s returns versus its benchmark show, the Fund struggled quite a bit in 2006. For the first seven months of the year, the underperformance was not the result of our investment themes faring badly. While the themes worked in general, it was difficult to capture their performance in the small-cap sector of the market.

Starting in August, we did see our themes begin to falter when the market experienced what might be considered a “low-quality” rally. For example during this time, stocks with low quality rankings according to Standard and Poor’s outperformed their higher-quality counterparts. (We consider stocks ranked “A+”, “A” and “A-” by S&P to be “high quality,” and those ranked “B-” and “C” as “low quality”). In addition, companies with negative earnings fared far better than those with positive earnings, and companies that did not pay dividends outpaced those that did. In contrast, over the long term, we believe that higher quality companies tend to outperform their lower quality counterparts. In this type of market, the investment themes we rely on to add value typically do not work as we expect, and this period was no exception. For the August through November timeframe, all of our investment themes contributed negatively to returns, with Momentum faring by far the worst.

Over the long term, we expect most of our excess returns (gross portfolio return minus benchmark return) to be explained by our portfolios’ exposures to our themes. However, sometimes our themes don’t completely explain our returns. We call what is left over the residual, or unexplained portion of return. We have recently enhanced the way we analyze the Fund’s performance to better understand the themes that impact returns. We have found that some themes did a better job of telling us which stocks to underweight versus which to overweight. In addition, some themes didn’t fare well in some sectors, as evidenced by the fact that stock selection was negative in some sectors. Thus, even when the themes did work as expected on average, they didn’t do so in driving all of our stock selection. The negative stock selection, when combined with those themes that didn’t work as a result of the market environment late in the year, contributed to the Fund’s underperformance relative to its benchmark over the period.

We also experienced a number of other unusual events during the reporting period. We tended to be overweight stocks that had significant downward moves on or around the day they reported earnings throughout the year. While we were also overweight certain stocks

 
2

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 

that did well when they announced earnings, it wasn’t enough to overcome the negative impact of stocks that declined. The impact of surprises varies from year to year, but was far more negative in 2006 than it was in the prior five years. Also, stocks that were involved in mergers and acquisition announcements detracted significantly from performance in the aggregate over the reporting period. Over the long term, we find that these stocks do not have a persistently positive or negative impact on our portfolio returns. However, during this period we seemed to experience an unusually large impact. We don’t specifically seek to own or avoid candidates for mergers or takeovers, so the impact is unlikely to be due to anything deliberate in the process. There were a few other events that had an impact on performance over the past year. Notably, on the day that Frank Russell Co. rebalanced the Russell 2000 Index (June 30), our overweights and underweights in stocks added and removed from the Index detracted from performance. The Fund was actually outperforming the benchmark for the second quarter until that day. That kind of unexpected volatility is very difficult to predict or avoid and accounts for a large part of the shortfall. Again, this is unusual and we would not expect this to impact the Fund’s performance over time.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Quantitative Equity Management Team

January 25, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Structured Small Cap Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT Structured Small Cap Equity Fund invests in a broadly diversified portfolio of small-capitalization U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Stocks of smaller companies are often more volatile and less liquid and present greater risks than stocks of larger companies. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.

 
3

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
 
Shareholder Letter (continued)

SECTOR ALLOCATION†

Percentage of Net Assets

(BAR CHART)

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and/or liabilities.

 
4

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value as of December 31, 2006, of a $10,000 investment made in the Fund on February 13, 1998 (commencement of operations). For comparative purposes, the performance of the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested), is shown. This performance 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 their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a Fund.

Structured Small Cap Equity Fund’s Lifetime Performance

Performance of a $10,000 investment, Distributions Reinvested from February 13, 1998 to December 31, 2006.

Performance Chart

                             
Since Inception Five Years One Year

Average Annual Total Return Through December 31, 2006
Structured Small Cap Equity Fund (commenced February 13, 1998)
     7.80%       11.45%       12.27%      
 
5

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND

Schedule of Investments

December 31, 2006
                     
Shares Description Value
 
   
Common Stocks – 99.7%
    Aerospace & Defense – 1.2%
      10,000     Triumph Group, Inc.   $ 524,300  
      36,300     United Industrial Corp.     1,842,225  
                 
 
                  2,366,525  
   
    Banks – 7.3%
      1,067     BancTrust Financial Group, Inc.     27,230  
      16,000     Bank Mutual Corp.     193,760  
      20,240     Cascade Bancorp.(a)     628,047  
      15,983     Cathay General Bancorp     551,573  
      33,700     Central Pacific Financial Corp.     1,306,212  
      47,800     Chittenden Corp.     1,466,982  
      6,800     Citizens First Bancorp, Inc.     209,032  
      5,110     Community Trust Bancorp, Inc.     212,218  
      20,800     Downey Financial Corp.     1,509,664  
      6,400     First Citizens BancShares, Inc.     1,296,896  
      7,800     First Indiana Corp.     197,808  
      10,993     First Regional Bancorp*     374,751  
      606     First South Bancorp, Inc.(a)     19,325  
      12,600     Frontier Financial Corp.     368,298  
      36,331     Greater Bay Bancorp     956,595  
      58,661     Hanmi Financial Corp.     1,321,632  
      3,975     IBERIABANK Corp.     234,724  
      14,651     Intervest Bancshares Corp.*     504,141  
      9,300     MetroCorp Bancshares, Inc.     195,672  
      8,800     Mid-State Bancshares     320,232  
      38,648     PFF Bancorp, Inc.     1,333,743  
      8,800     Placer Sierra Bancshares     209,176  
      11,938     Preferred Bank     717,355  
      6,710     Shore Bancshares, Inc.     202,374  
      15,300     Umpqua Holdings Corp.     450,279  
                 
 
                  14,807,719  
   
    Beverages – 0.0%
      1,000     National Beverage Corp.     14,030  
   
    Biotechnology – 2.6%
      91,700     Applera Corp. – Celera Genomics Group*     1,282,883  
      3,375     Cephalon, Inc.*     237,634  
      248,500     Millennium Pharmaceuticals, Inc.*     2,708,650  
      102,514     Savient Pharmaceuticals, Inc.*     1,149,182  
                 
 
                  5,378,349  
   
    Chemicals – 2.9%
      10,000     A. Schulman, Inc.     222,500  
      21,198     CF Industries Holdings, Inc.     543,517  
      4,300     Innospec, Inc.     200,165  
      45,994     NewMarket Corp.     2,715,945  
      33,400     OM Group, Inc.*     1,512,352  
      92,800     PolyOne Corp.*     696,000  
                 
 
                  5,890,479  
   
    Commercial Services & Supplies – 5.7%
      81,100     Advance America Cash Advance Centers, Inc.     1,188,115  
      22,498     Amrep Corp.(a)     2,756,005  
      8,940     Arbitron, Inc.     388,354  
      21,284     CPI Corp.     989,493  
      32,900     CSG Systems International, Inc.*     879,417  
      18,600     First Consulting Group, Inc.*     255,936  
      15,993     Lightbridge, Inc.*     216,545  
      18,700     PHH Corp.*     539,869  
      21,115     Pre-Paid Legal Services, Inc.*(a)     826,230  
      68,291     Spherion Corp.*     507,402  
      5,500     Standard Parking Corp.*     211,255  
      54,674     Volt Information Sciences, Inc.*     2,745,182  
      3,839     Waste Industries USA, Inc.     117,166  
                 
 
                  11,620,969  
   
    Communications Equipment – 5.8%
      8,334     Anaren, Inc.*     148,012  
      370,407     Brocade Communications Systems, Inc.*     3,041,041  
      77,381     Carrier Access Corp.*     507,619  
      9,441     DSP Group, Inc.*     204,870  
      86,563     InterDigital Communications Corp.*     2,904,189  
      68,800     Polycom, Inc.*     2,126,608  
      333,700     UTStarcom, Inc.*(a)     2,919,875  
                 
 
                  11,852,214  
   
    Construction & Engineering – 1.6%
      23,400     Comfort Systems USA, Inc.     295,776  
      52,000     EMCOR Group, Inc.*     2,956,200  
                 
 
                  3,251,976  
   
    Containers & Packaging – 0.4%
      28,600     Rock-Tenn Co.     775,346  
   
    Diversified Financials – 2.4%
      9,300     AmeriCredit Corp.*     234,081  
      422     Credit Acceptance Corp.*     14,065  
      44,931     EZCORP., Inc.*     730,129  
      34,100     Knight Capital Group, Inc.*     653,697  
      8,200     optionsXpress Holdings, Inc.     186,058  
      3,400     Piper Jaffray Cos., Inc.*     221,510  
      20,400     SEI Investments Co.     1,215,024  
      34,055     World Acceptance Corp.*(a)     1,598,882  
                 
 
                  4,853,446  
   
    Diversified Telecommunication Service – 0.4%
      36,809     CT Communications, Inc.     843,662  
   
    Electric Utilities – 1.3%
      6,700     Alliant Energy Corp.     253,059  
      3,406     Central Vermont Public Service Corp.     80,211  
      47,891     NorthWestern Corp.     1,694,384  
      6,000     OGE Energy Corp.     240,000  
      27,000     Reliant Energy, Inc.*     383,670  
                 
 
                  2,651,324  
   
    Electrical Equipment – 2.9%
      29,096     A.O. Smith Corp.     1,092,846  
      77,600     Belden CDT, Inc.     3,033,384  
                     
   
 
The accompanying notes are an integral part of these financial statements.

6

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 
                     
Shares Description Value
   
Common Stocks – (continued)
    Electrical Equipment – (continued)
      12,895     Encore Wire Corp.*(a)   $ 283,819  
      35,800     Superior Essex, Inc.*     1,190,350  
      5,576     Woodward Governor Co.     221,423  
                 
 
                  5,821,822  
   
    Electronic Equipment & Instruments – 0.7%
      16,500     Coherent, Inc.*     520,905  
      29,400     Exar Corp.*     382,200  
      9,500     Ingram Micro, Inc.*     193,895  
      8,010     Tech Data Corp.*     303,339  
                 
 
                  1,400,339  
   
    Energy Equipment & Services – 1.6%
      11,400     SEACOR Holdings, Inc.*     1,130,196  
      11,200     Trico Marine Services, Inc.*     429,072  
      19,000     Universal Compression Holdings, Inc.*     1,180,090  
      5,023     Veritas DGC, Inc.*     430,119  
                 
 
                  3,169,477  
   
    Food & Drug Retailing – 1.9%
      11,373     Ingles Markets, Inc.     338,802  
      43,932     Longs Drug Stores Corp.     1,861,838  
      12,500     Ruddick Corp.     346,875  
      14,277     Spartan Stores, Inc.     298,818  
      82,883     Terra Industries, Inc.*(a)     992,938  
                 
 
                  3,839,271  
   
    Food Products – 1.2%
      4,900     Delta & Pine Land Co.     198,205  
      48,600     Imperial Sugar Co.(a)     1,176,606  
      19,565     MGP Ingredients, Inc.(a)     442,365  
      319     Seaboard Corp.     563,035  
                 
 
                  2,380,211  
   
    Gas Utilities – 0.1%
      4,700     ONEOK, Inc.     202,664  
   
    Healthcare Equipment & Supplies – 4.1%
      20,200     Bio-Rad Laboratories, Inc.*     1,666,904  
      105,900     Immucor, Inc.*     3,095,457  
      43,000     Noven Pharmaceuticals, Inc.*     1,094,350  
      8,300     Palomar Medical Technologies, Inc.*(a)     420,561  
      24,900     West Pharmaceutical Services, Inc.     1,275,627  
      13,939     Zoll Medical Corp.*     811,807  
                 
 
                  8,364,706  
   
    Healthcare Providers & Services – 4.6%
      86,700     AMERIGROUP Corp.*     3,111,663  
      45,721     CorVel Corp.*     2,174,948  
      30,982     Genesis HealthCare Corp.*     1,463,280  
      80,566     Molina Healthcare, Inc.*     2,619,200  
                 
 
                  9,369,091  
   
    Hotels, Restaurants & Leisure – 3.1%
      13,017     Bob Evans Farms, Inc.     445,442  
      9,925     Choice Hotels International, Inc.     417,843  
      52,200     Jack in the Box, Inc.*     3,186,288  
      18,700     Landry’s Restaurants, Inc.     562,683  
      60,310     Papa John’s International, Inc.*     1,749,593  
      161     The Marcus Corp.     4,118  
                 
 
                  6,365,967  
   
    Household Durables – 1.7%
      106,500     American Greetings Corp.     2,542,155  
      37,500     Kimball International, Inc. Class B     911,250  
                 
 
                  3,453,405  
   
    Insurance – 3.5%
      10,050     American Physicians Capital, Inc.*     402,402  
      35,200     LandAmerica Financial Group, Inc.(a)     2,221,472  
      122,200     Meadowbrook Insurance Group. Inc.*     1,208,558  
      1,300     National Western Life Insurance Co.     299,182  
      5,800     Odyssey Re Holdings Corp.     216,340  
      36,000     Seabright Insurance Holdings*     648,360  
      28,560     Stewart Information Services Corp.     1,238,362  
      18,600     The PMI Group, Inc.     877,362  
                 
 
                  7,112,038  
   
    Internet & Catalog Retail – 0.1%
      7,142     Insight Enterprises, Inc.*     134,770  
   
    Internet Software & Services – 4.2%
      29,700     Altiris, Inc.*     753,786  
      5,700     Digital Insight Corp.*     219,393  
      12,200     Digital River, Inc.*     680,638  
      53,800     InfoSpace, Inc.*     1,103,438  
      64,638     Interwoven, Inc.*     948,240  
      19,800     INVESTools, Inc.*     273,042  
      258,311     RealNetworks, Inc.*     2,825,922  
      69,879     SonicWALL, Inc.*     588,381  
      44,000     The Knot, Inc.*     1,154,560  
                 
 
                  8,547,400  
   
    IT Consulting & Services – 0.2%
      20,424     Agilysys, Inc.     341,898  
   
    Leisure Equipment & Products – 0.8%
      57,400     Marvel Entertainment, Inc.*     1,544,634  
   
    Machinery – 3.1%
      67,400     AGCO Corp.*     2,085,356  
      12,100     EnPro Industries, Inc.*     401,841  
      16,400     NACCO Industries, Inc.     2,240,240  
      10,700     Robbins & Myers, Inc.     491,344  
      16,100     SPX Corp.     984,676  
                 
 
                  6,203,457  
   
    Marine – 0.5%
      17,535     Overseas Shipholding Group, Inc.     987,220  
   
 
The accompanying notes are an integral part of these financial statements.

7

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
 
Schedule of Investments (continued)
December 31, 2006
                     
Shares Description Value
   
Common Stocks – (continued)
    Media – 0.4%
      11,900     Cox Radio, Inc.*   $ 193,970  
      14,500     Scholastic Corp.*     519,680  
                 
 
                  713,650  
   
    Metals & Mining – 1.0%
      83,200     Ryerson Tull, Inc.(a)     2,087,488  
   
    Multi-Utilities – 0.2%
      15,200     Avista Corp.     384,712  
   
    Multiline Retail – 2.0%
      125,200     Big Lots, Inc.*     2,869,584  
      36,600     Dillard’s, Inc.     1,279,902  
                 
 
                  4,149,486  
   
    Office Electronics – 1.5%
      187,386     IKON Office Solutions, Inc.     3,067,509  
   
    Oil & Gas – 2.7%
      53,104     Holly Corp.     2,729,545  
      60,590     Swift Energy Co.*     2,715,038  
                 
 
                  5,444,583  
   
    Personal Products – 1.0%
      50,300     NBTY, Inc.*     2,090,971  
   
    Pharmaceuticals – 1.0%
      1,250     Caraco Pharmaceutical Laboratories Ltd.*     17,500  
      93,100     King Pharmaceuticals, Inc.*     1,482,152  
      54,144     Pain Therapeutics, Inc.*(a)     481,882  
                 
 
                  1,981,534  
   
    Real Estate – 7.4%
      87,963     American Home Mortgage Investment Corp. (REIT)(a)     3,089,261  
      217,259     Anthracite Capital, Inc. (REIT)     2,765,707  
      20,900     Franklin Street Properties Corp.     439,945  
      11,859     Gramercy Capital Corp. (REIT)     366,324  
      9,900     HRPT Properties Trust (REIT)     122,265  
      14,500     iStar Financial, Inc.     693,390  
      14,591     Medical Properties Trust, Inc. (REIT)     223,242  
      10,865     National Health Investors, Inc. (REIT)     358,545  
      61,400     New Century Financial Corp. (REIT)(a)     1,939,626  
      12,900     NorthStar Realty Finance Corp.     213,753  
      18,700     RAIT Investment Trust (REIT)     644,776  
      6,400     Redwood Trust, Inc.     371,712  
      99,900     Senior Housing Properties Trust (REIT)     2,445,552  
      105,800     Spirit Finance Corp. (REIT)     1,319,326  
                 
 
                  14,993,424  
   
    Road & Rail – 1.5%
      16,874     Dollar Thrifty Automotive Group, Inc.*     769,623  
      12,000     P.A.M. Transportation Services, Inc.*     264,240  
      58,000     Saia, Inc.*     1,346,180  
      43,660     U. S. Xpress Enterprises, Inc.*     719,080  
                 
 
                  3,099,123  
   
    Semiconductor Equipment & Products – 2.7%
      463,818     Atmel Corp.*     2,806,099  
      51,375     Cirrus Logic, Inc.*     353,460  
      169,765     MPS Group, Inc.*     2,407,268  
                 
 
                  5,566,827  
   
    Software – 4.8%
      33,700     Ansoft Corp.*     936,860  
      16,800     Blackbaud, Inc.     436,800  
      105,741     Captaris, Inc.*     821,607  
      5,082     Gerber Scientific, Inc.*     63,830  
      150,800     Mentor Graphics Corp.*     2,718,924  
      23,300     MicroStrategy, Inc.*     2,656,433  
      70,500     Synopsys, Inc.*     1,884,465  
      23,259     Ulticom, Inc.*     223,054  
                 
 
                  9,741,973  
   
    Specialty Retail – 4.4%
      52,600     Asbury Automotive Group, Inc.     1,239,256  
      40,032     Group 1 Automotive, Inc.     2,070,455  
      30,900     Gymboree Corp.*     1,179,144  
      22,200     Jo-Ann Stores, Inc.*     546,120  
      92,625     Payless ShoeSource, Inc.*     3,039,953  
      14,200     Sonic Automotive, Inc.     412,368  
      14,600     United Auto Group, Inc.     344,122  
                 
 
                  8,831,418  
   
    Textiles & Apparel – 2.9%
      53,900     Brown Shoe Co.     2,573,186  
      25,000     Jones Apparel Group, Inc.     835,750  
      60,100     Kellwood Co.     1,954,452  
      14,600     Perry Ellis International, Inc.*     598,600  
                 
 
                  5,961,988  
   
    Wireless Telecommunication Services – 0.3%
      27,949     USA Mobility, Inc.     625,219  
   
    TOTAL COMMON STOCKS
    (Cost $175,046,942)   $ 202,284,314  
   
 
The accompanying notes are an integral part of these financial statements.

8

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 
                     
Shares Description Value
   
Securities Lending Collateral – 9.9%
      20,049,625     Boston Global Investment Trust – Enhanced Portfolio   $ 20,049,625  
    (Cost $20,049,625)        
   
    TOTAL INVESTMENTS – 109.6%
    (Cost $195,096,567)   $ 222,333,939  
   
    LIABILITIES IN EXCESS OF OTHER
    ASSETS – (9.6)%     (19,404,645 )
   
    NET ASSETS – 100.0%   $ 202,929,294  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * Non-income producing security.
 
 (a) All or a portion of security is on loan.
             
   
    Investment Abbreviation:
    REIT   —   Real Estate Investment Trust
   

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2006, the following futures contracts were open as follows:
                                 
Number of Settlement Unrealized
Type Contracts Long Month Market Value Loss
Russell 2000 Index
    6       March 2007     $ 476,940     $ (4,272 )
 
The accompanying notes are an integral part of these financial statements.

9

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND

Statement of Assets and Liabilities

December 31, 2006
               
 
    Assets:
   
Investment in securities, at value (identified cost $175,046,942) — including $19,210,922 of securities on loan
  $ 202,284,314  
   
Securities lending collateral, at value (cost $20,049,625)
    20,049,625  
   
Cash(a)
    350,000  
   
Receivables:
       
     
Investment securities sold
    743,416  
     
Dividends
    443,759  
     
Fund shares sold
    32,609  
     
Securities lending income
    30,071  
     
Reimbursement from adviser
    11,056  
   
   
Total assets
     223,944,850  
   
    Liabilities:
   
Due to custodian
    507,161  
   
Payables:
       
     
Payable upon return of securities loaned
    20,049,625  
     
Fund shares repurchased
    163,949  
     
Amounts owed to affiliates
    132,983  
     
Variation margin
    4,272  
   
Accrued expenses and other liabilities
    157,566  
   
   
Total liabilities
     21,015,556  
   
    Net Assets:
   
Paid-in capital
    170,120,861  
   
Accumulated undistributed net investment income
    1,835  
   
Accumulated net realized gain on investment and futures transactions
    5,573,498  
   
Net unrealized gain on investments and futures
    27,233,100  
   
   
NET ASSETS
   $ 202,929,294  
   
   
Total shares of beneficial interest outstanding, par value $0.001 (unlimited number of shares authorized)
    14,052,215  
   
Net asset value, offering and redemption price per share
  $ 14.44  
   

(a)  Represents restricted cash relating to initial margin requirements on futures transactions.

 
The accompanying notes are an integral part of these financial statements.

10

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 

Statement of Operations

For the Year Ended December 31, 2006
               
    Investment income:
   
Dividends
  $ 2,529,789  
   
Interest (including securities lending income of $208,653)
    239,494  
   
   
Total income
     2,769,283  
   
    Expenses:
   
Management fees
    1,521,010  
   
Printing fees
    212,772  
   
Custody and accounting fees
    117,504  
   
Transfer agent fees
    81,121  
   
Professional fees
    50,335  
   
Trustee fees
    15,083  
   
Registration fees
    1,269  
   
Other
    13,901  
   
   
Total expenses
     2,012,995  
   
   
Less — expense reductions
    (243,877 )
   
   
Net expenses
     1,769,118  
   
   
NET INVESTMENT INCOME
     1,000,165  
   
    Realized and unrealized gain on investment and futures transactions:
   
Net realized gain from:
       
     
Investment transactions
    18,645,390  
     
Futures transactions
    158,779  
   
Net change in unrealized gain on:
       
     
Investments
    2,992,461  
     
Futures
    23,206  
   
   
Net realized and unrealized gain on investment and futures transactions
     21,819,836  
   
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
   $ 22,820,001  
   
 
The accompanying notes are an integral part of these financial statements.

11

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND

Statements of Changes in Net Assets

                     
For the For the
Year Ended Year Ended
December 31, 2006 December 31, 2005
    From operations:
   
Net investment income
  $ 1,000,165     $ 691,364  
   
Net realized gain on investment and futures transactions
    18,804,169       10,904,616  
   
Payment by affiliates to reimburse certain security claims
    —       16,973  
   
Net change in unrealized gain (loss) on investments and futures
    3,015,667       (1,038,569 )
   
   
Net increase in net assets resulting from operations
     22,820,001       10,574,384  
   
    Distributions to shareholders:
   
From net investment income
    (1,307,803 )     (459,667 )
   
From net realized gains
    (14,275,219 )     (17,009,088 )
   
   
Total distributions to shareholders
     (15,583,022 )     (17,468,755 )
   
    From share transactions:
   
Proceeds from sales of shares
    22,042,825       22,353,469  
   
Reinvestment of dividends and distributions
    15,583,022       17,468,455  
   
Cost of shares repurchased
    (36,975,581 )     (29,706,807 )
   
   
Net increase in net assets resulting from share transactions
     650,266       10,115,117  
   
   
TOTAL INCREASE
     7,887,245       3,220,746  
   
    Net assets:
   
Beginning of year
    195,042,049       191,821,303  
   
   
End of year
  $ 202,929,294     $ 195,042,049  
   
   
Accumulated undistributed net investment income
   $ 1,835     $ 249,576  
   
    Summary of share transactions:
   
Shares sold
    1,486,377       1,522,405  
   
Shares issued on reinvestment of dividends and distributions
    1,080,652       1,224,164  
   
Shares repurchased
    (2,513,513 )     (2,065,937 )
   
   
NET INCREASE
     53,516       680,632  
   
 
The accompanying notes are an integral part of these financial statements.

12

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                             
Income (loss) from Ratios assuming no
investment operations Distributions to shareholders expense reductions
Net Ratio of Ratio of Ratio of
Net asset realized From Net asset Net assets, Ratio of net investment total net investment
value, Net and Total from From net net value, end net expenses income expenses income Portfolio
beginning investment unrealized investment investment realized Total end of Total of year to average to average to average to average turnover
of year income(a) gain (loss) operations income gain distributions year return(b) (in 000s) net assets net assets net assets net assets rate
 
    FOR THE YEARS ENDED DECEMBER 31,
    2006   $ 13.93     $ 0.07     $ 1.64     $ 1.71     $ (0.10 )   $ (1.10 )   $ (1.20 )   $ 14.44       12.27 %   $ 202,929       0.87 %     0.49 %     0.99 %     0.37 %     133 %
    2005     14.40       0.05       0.86       0.91       (0.04 )     (1.34 )     (1.38 )     13.93       6.07       195,042       0.89       0.37       0.93       0.33       119  
    2004     12.99       0.02       2.10       2.12       (0.03 )     (0.68 )     (0.71 )     14.40       16.33       191,821       0.90       0.14       0.97       0.07       146  
    2003     9.19       0.04       4.18       4.22       (0.03 )     (0.39 )     (0.42 )     12.99       46.00       181,765       1.03       0.40       1.25       0.18       141  
    2002     10.84       0.03       (1.65 )     (1.62 )     (0.03 )     —       (0.03 )     9.19       (14.97 )     47,005       1.04       0.25       1.29       0.00       128  
   

(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions and a complete redemption of the investment at the net asset value at the end of the year.

The accompanying notes are an integral part of these financial statements.

 
13

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND

Notes to Financial Statements

December 31, 2006

1. ORGANIZATION

Goldman Sachs Variable Insurance Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Structured Small Cap Equity Fund (“Fund”) (formerly Goldman Sachs CORE Small Cap Equity Fund). The Fund is a diversified portfolio under the Act.
     Shares of the Trust may be purchased and held by separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Trust are not offered directly to the general public.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.

A. Investment Valuation — Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed not to reflect market value by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.

B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.

C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense.

D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.

 
14

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gain, or as a tax return of capital.
     In addition, distributions paid by the Fund’s investments in real estate investment trusts (“REITs”) often include a “return of capital” which is recorded by the Fund as a reduction of the cost basis of the securities held. The Code requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the distribution is deemed a return of capital and is generally not taxable to shareholders.

E. Futures Contracts — The Fund may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Fund is required to segregate cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Fund daily, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Fund realizes a gain or loss which is reported in the Statement of Operations.

     The use of futures contracts involve, to varying degrees, elements of market and counterparty risk which may exceed the amounts recognized in the Statement of Assets and Liabilities. Changes in the value of a futures contract may not directly correlate with changes in the value of the underlying securities. This risk may decrease the effectiveness of the Fund’s strategies and potentially result in a loss.

F. Segregation Transactions — The Fund may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.

3. AGREEMENTS

Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser pursuant to an Investment Management Agreement (the “Agreement”) with the Trust on behalf of the Fund. Under this Agreement, GSAM manages the Fund, subject to the general supervision of the Trust’s Board of Trustees.
     As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Fund’s business affairs, including providing facilities, GSAM is entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
     GSAM has entered into a fee reduction commitment for the Fund which was implemented on a voluntary basis prior to April 28, 2006 and on a contractual basis as of April 28, 2006 to achieve the rates listed below:
         
Average Daily Net Assets Annual Rate
First $2 Billion
    0.75 %
Over $2 Billion
    0.68 %
 
15

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
 
3. AGREEMENTS (continued)
     Additionally, GSAM has voluntarily agreed to waive a portion of its Management fee equal to 0.02% of the Fund’s average daily net assets. For the year ended December 31, 2006, GSAM waived approximately $40,600 of the Fund’s Management fee.
     GSAM has voluntarily agreed to limit certain “Other Expenses” of the Fund (excluding Management fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification costs, shareholder meeting and other extraordinary expenses exclusive of any expense offset arrangements) to the extent that such expenses exceed, on an annual basis, 0.114% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the year ended December 31, 2006, GSAM reimbursed approximately $187,800 to the Fund.
     In addition, the Fund has entered into certain offset arrangements with the custodian and transfer agent resulting in a reduction in the Fund’s expenses. For the year ended December 31, 2006, custody and transfer agent fees were reduced by approximately $2,000 and $13,500, respectively.
     Goldman Sachs also serves as the Transfer Agent of the Fund for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly equal to an annual rate of 0.04% of the average daily net assets of the Fund.
     At December 31, 2006, the amounts owed to affiliates were approximately $126,100 and $6,900 for Management and Transfer Agent fees, respectively.

4. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long term securities for the year ended December 31, 2006, were $268,457,065 and $280,585,688, respectively. For the year ended December 31, 2006, Goldman Sachs earned approximately $1,900 of brokerage commissions from portfolio transactions, including futures transactions, executed on behalf of the Fund.

5. SECURITIES LENDING

Pursuant to exemptive relief granted by the Securities and Exchange Commission (the “SEC”) and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Boston Global Advisers (“BGA”) — a wholly owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund bears the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
 
16

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 

5. SECURITIES LENDING (continued)

     The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM receives an investment advisory fee of up to 0.10% of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests in high quality money market instruments. The Fund bears the risk of incurring a loss from the investment of cash collateral due to either credit or market factors.
Both the Fund and BGA receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the year ended December 31, 2006, is reported parenthetically under Investment Income on the Statement of Operations. A portion of this amount, $42,000, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the year ended December 31, 2006, BGA earned approximately $29,000 in fees as securities lending agent. At December 31, 2006, the Fund loaned securities having a market value of $19,210,922 collateralized by cash in the amount of $20,049,625.

6. LINE OF CREDIT FACILITY

     The Fund participates in a $400,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAM. Under the most restrictive arrangement, the Fund must own securities having a market value in excess of 300% of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This committed facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. During the year ended December 31, 2006, the Fund did not have any borrowings under this facility.

7. TAX INFORMATION

The tax character of distributions paid during the fiscal years ended December 31, 2006 and December 31, 2005 was as follows:
                   
For the year ended December 31,
2006 2005
Distributions paid from:
               
Ordinary income
  $ 1,307,803     $ 4,784,105  
Net long-term capital gains
    14,275,219       12,684,650  
 
Total taxable distributions
  $ 15,583,022     $ 17,468,755  
     As of December 31, 2006, the components of accumulated earnings on a tax basis were as follows:
         
Undistributed ordinary income — net
  $ 1,138,277  
Undistributed long-term capital gains
    4,635,018  
Total undistributed earnings
    5,773,295  
Timing differences (related to the recognition of certain REIT dividends for tax purposes)
    1,835  
Unrealized gains — net
    27,033,303  
Total accumulated earnings — net
  $ 32,808,433  
     At December 31, 2006, the Fund’s aggregate security unrealized gains and losses based on a cost for U.S. federal income tax purposes were as follows:
         
Tax cost
  $ 195,300,636  
Gross unrealized gain
    31,025,399  
Gross unrealized loss
    (3,992,096 )
Net unrealized security gain
  $ 27,033,303  
 
17

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
 
7. TAX INFORMATION (continued)
     The difference between book-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and mark-to-market losses on Section 1256 futures contracts.
     In order to present certain components of the Fund’s capital accounts on a tax basis, certain reclassifications have been recorded to the Fund’s accounts. The Fund reclassified $59,897 from accumulated net realized gain on investments to accumulated undistributed net investment income. This reclassification has no impact on the net asset value of the Fund. Reclassification results primarily from dividend redesignations and the difference in tax treatment of underlying Fund investments.

8. OTHER MATTERS

Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds (including this Fund) and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The Fund, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars. The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision. By agreement, the plaintiffs subsequently withdrew their appeal without prejudice but reserved their right to reactivate their appeal pending a decision by the circuit court of appeals in similar litigation.
     Based on currently available information, GSAM and GSAMI believe that the likelihood that the pending purported class action and derivative action lawsuit will have a material adverse financial impact on the Funds is remote, and the pending action is not likely to materially affect their ability to provide investment management services to its clients, including the Goldman Sachs Funds.
 
18

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 
 
8. OTHER MATTERS (continued)
New Accounting Pronouncements — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. On December 22, 2006, the SEC delayed the implementation of this ruling such that it must be incorporated no later than the last day on which a NAV is calculated preceding the Fund’s 2007 semi-annual report. At this time, the investment adviser is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
     On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 “Fair Value Measurement” (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations of an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. The investment adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financials statements, however, additional disclosures will be required.
 
19

 

Report of Independent Registered Public Accounting Firm

To the Shareholders of Goldman Sachs Structured Small Cap Equity Fund and Board of Trustees
Goldman Sachs Variable Insurance Trust

We have audited the accompanying statement of assets and liabilities of Goldman Sachs Structured Small Cap Equity Fund (formerly, Goldman Sachs CORE Small Cap Equity Fund) (one of the funds comprising the Goldman Sachs Variable Insurance Trust) (the “Fund”), including the schedule of investments, as of December 31, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Goldman Sachs Structured Small Cap Equity Fund at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

  -s- Ernst & Young LLP

New York, New York
February 14, 2007
 
20

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 

Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2006

            As a shareholder of the Fund, you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.  
 
            The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 through December 31, 2006.  
 
            Actual Expenses — The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.  
 
            Hypothetical Example for Comparison Purposes — The second line of table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.  
 
            Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.  

                         
Expenses Paid
for the
Beginning Ending 6 months
Account Value Account Value ended
7/1/06 12/31/06 12/31/06*
Actual
  $ 1,000     $ 1,066.80     $ 4.51  
Hypothetical 5% return
    1,000       1,020.84 +     4.41  

  *   Expenses are calculated using the Fund’s annualized expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratio for the period was 0.87%.  
  +   Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses.  

 
21

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND

Trustees and Officers (Unaudited)

Independent Trustees
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
Ashok N. Bakhru
Age: 64		   Chairman of the Board of Trustees   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President — Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004); Trustee of the Walnut Street Theater (1992-2004 and 2006-Present); Trustee, Scholarship America (1998- 2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors — III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
John P. Coblentz, Jr.
Age: 65		   Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003).

Director, Emerging Markets Group, Ltd. (2004-2006); Director, Elderhostel, Inc. (2006-present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Patrick T. Harker
Age: 48		   Trustee   Since 2000   Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Mary P. McPherson
Age: 71		   Trustee   Since 1997   Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); Director, American School of Classical Studies in Athens (1997-Present); and Trustee, Emeriti Retirement Health Solutions (post-retirement medical insurance program for non-profit institutions) (Since 2005).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Richard P. Strubel
Age: 67		   Trustee   Since 1987   Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   Gildan Activewear Inc. (clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the internet); Northern Mutual Fund Complex (58 Portfolios).
 
22

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 
 
Trustees and Officers (Unaudited) (continued)
Interested Trustee
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
*Alan A. Shuch
Age: 57		   Trustee   Since 1990   Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994- May 1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno.
2
The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997.
3
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
4
The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of December 31, 2006, the Trust consisted of 65 portfolios and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios, including the Fund described in this Annual Report.
5
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.

 
23

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND
 
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
             
Term of
Office and
Position(s) Held Length of
Name, Age And Address With the Trust Time Served1 Principal Occupation(s) During Past 5 Years
Kaysie P. Uniacke
32 Old Slip
New York, NY 10005
Age: 45		   President   Since 2002   Managing Director, Goldman Sachs (1997-Present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (August 2001 to December 2006).

President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).

Trustee — Gettysburg College.
James A. Fitzpatrick
71 South Wacker Drive
Suite 500
Chicago, IL 60606
Age: 46		   Vice President   Since 1997   Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).
James A. McNamara
32 Old Slip
New York, NY 10005
Age: 44		   Vice President   Since 2001   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004).
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 42		   Treasurer   Since 1997   Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer — Goldman Sachs Mutual Fund Complex (registered investment companies).
Peter V. Bonanno
32 Old Slip
New York, NY 10005
Age: 37		   Secretary   Since 2006   Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President Goldman Sachs (1999-2006); Assistant General Counsel, Goldman Sachs (1999-2002).

Secretary — Goldman Sachs Mutual Fund Complex (registered investment companies).
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.

 
 
24

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST STRUCTURED SMALL CAP EQUITY FUND 

Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)

       For the year ended December 31, 2006, 69.14% of the dividends paid from net investment company taxable income by the Structured Small Cap Equity Fund qualify for the dividends received deduction available to corporations.  

       Pursuant to Section 852 of the Internal Revenue Code, the Structured Small Cap Equity Fund designates $14,275,219 as capital gain dividends paid during the year ended December 31, 2006.

 
 
25

 

     
TRUSTEES
  OFFICERS
Ashok N. Bakhru, Chairman
   Kaysie P. Uniacke, President
John P. Coblentz, Jr.
  James A. Fitzpatrick, Vice President
Patrick T. Harker
  James A. McNamara, Vice President
Mary Patterson McPherson
  John M. Perlowski, Treasurer
Alan A. Shuch
  Peter V. Bonanno, Secretary
Richard P. Strubel
   
 
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent 		   
 
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
 
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.
 
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
Effective May 1, 2006, the Goldman Sachs Variable Insurance Trust (VIT) CORE SM Small Cap Equity Fund was renamed the Goldman Sachs Variable Insurance Trust (VIT) Structured Small Cap Equity Fund. CORESM is a registered service mark of Goldman, Sachs & Co.
 
    Toll Free (in U.S.): 800-292-4726
 
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Structured Small Cap Equity Fund.
 
Copyright 2007 Goldman, Sachs & Co. All rights reserved.
 
VITSTRCSCSAR/07-312    

 

Goldman
Sachs Variable Insurance Trust

GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, 32nd FLOOR, NEW YORK, NEW YORK 10005

Capital Growth Fund

Annual Report

December 31, 2006

 

 

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Capital Growth Fund during the one-year reporting period that ended December 31, 2006.

Market Review

After a sluggish start in 2006, the U.S. stock market rallied sharply from mid-July through December. For the year as a whole, the S&P 500 Index returned 15.79%, its best performance since 2003. All 10 sectors in the S&P 500 Index rose during the year, led by Telecom and Energy. In contrast, the Fund’s Healthcare and Information Technology stocks lagged the S&P 500 Index. We believe the stock market rose due to a pause in Federal Reserve Board rate hikes, moderating oil prices, continued strong corporate profits, and a robust merger and acquisition (M&A) environment.

Investment Objective

The Fund seeks long-term growth of capital.

Portfolio Composition

Top 10 Portfolio Holdings as of December 31, 2006*

             
% of
Company Net Assets Business
Freddie Mac
    4.7 %   Specialty Finance
Microsoft Corp. 
     4.3     Computer Software
Google, Inc. 
     3.3     Internet & Online
Cisco Systems, Inc. 
     3.2     Networking/Telecommunications Equipment
Suncor Energy, Inc. 
     2.9     Oil & Gas
Yahoo!, Inc. 
     2.7     Internet & Online
Baker Hughes, Inc. 
     2.7     Oil Well Services & Equipment
American Tower Corp. 
     2.6     Telecommunications
The McGraw-Hill Companies, Inc. 
     2.5     Commercial Services
Schlumberger Ltd. 
     2.4     Oil Well Services & Equipment

* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.

Performance Review

Over the one-year period that ended December 31, 2006, the Fund’s Institutional Shares generated a cumulative total return of 8.56%. This return compares to the 9.07% cumulative total return of the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested), over the same time period. For the period from the inception of the Service Class on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative

 
1

 

 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
 
Shareholder Letter (continued)

total return of 5.01%. This compares to the 5.88% cumulative total return of the Fund’s benchmark over the same time period.

The Fund generated a positive return during the reporting period but it lagged its benchmark slightly due to the poor performance of several specific holdings.

Shares of Yahoo!, Inc. sold off after the company reported second quarter earnings and warned of weakness in third quarter sales due to slower-than-expected growth in auto and financial advertising spending. Slightly lower-than-expected second quarter revenue was attributed to the company’s lower revenue share in the search category of advertising. However, we observe that Yahoo! is holding its market share in total number of searches from a volume perspective. We believe that Project Panama, Yahoo!’s new search platform, should increase the revenue it generates per search and help close the gap with Google.

Carnival Corp. detracted from performance during the period and, in the second quarter of 2006, we sold out of the position. While the company met our investment criteria for its brand name, dominant market share, and strong free cash flow, the company has been beset by economic factors that have put pressure on profit margins. With the prolonged increase in oil prices, Carnival’s energy costs had grown over 50% in the past year. Carnival had been able to manage this cost through its pricing power, passing these higher costs on to the consumer. However, we became concerned that, given the impact of high gas prices on consumers, Carnival could not exhibit the pricing power it once had.

The Fund’s holding in videogame publisher, Electronic Arts, ended the year down as Sony released a disappointing sales report for its PlayStation 3 videogame console due to a supply shortage. Shares of Electronic Arts fell on the news as it has exposure to PlayStation 3. We believe this is a short-term issue and Electronic Arts is well positioned for future growth as demand for its Madden NFL 2007 videogame has been strong. It is believed to have the potential to be the biggest seller in the videogame arena in terms of units sold. We continue to have high conviction in this video game publisher as it has dominant market share in a rapidly growing industry.

During the period, Energy was the top contributing sector to overall performance and the Fund continued to benefit from our stock selection in the sector. Performance was mainly driven by Schlumberger Ltd., Suncor, Inc., and Baker Hughes, Inc. Each of these companies benefited as oil prices were high for much of the year. Elsewhere in the portfolio, The McGraw-Hill Companies, Inc. aided returns as it reported higher fiscal third quarter earnings and boosted its 2006 revenue outlook during the year. While the education market continued to show weakness, management attributed the company’s strength to improved cost management and performance within its financial services segment: Standard & Poor’s. McGraw-Hill also announced that it expects to post double-digit earnings growth in 2007.

In 2006, shares of Research In Motion Ltd. were up 58%, driven by rallies in September and November that resulted from continued indications of consumer interest for the BlackBerry Pearl product. In addition, more carriers, including major operators in Europe (i.e. Vodafone) as well as Cingular in the U.S., have launched the Pearl. We believe the multimedia device should help the company’s overall growth, as it expands its market from the corporate into the higher end consumer market.

 
2

 

 
 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Growth Team

January 12, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Capital Growth Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT Capital Growth Fund invests primarily in large-capitalization U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The Fund may invest in foreign securities, which may be more volatile and less liquid than investment in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may participate in the Initial Public Offering (IPO) market, and a portion of the Fund’s returns consequently may be attributable to its investment in IPOs. The market value of IPO shares may fluctuate considerably due to factors such as the absence of a prior public market, unseasoned trading, and the small number of shares available for trading and limited information about the issuer. When a fund’s asset base is small, IPOs may have a magnified impact on the fund’s performance. As a fund’s assets grow, it is probable that the effect of the fund’s investment in IPOs on its total returns may not be as significant, which could reduce the fund’s performance.

 
3

 

 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
 
Shareholder Letter (continued)

SECTOR ALLOCATION†

Percentage of Net Assets

(BAR CHART)

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
 
4

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value as of December 31, 2006, of a $10,000 investment made on April 30, 1998 (commencement of operations) in the Institutional Class Shares. For comparative purposes, the performance of the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested) is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Class Shares will vary from Institutional Class Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a Fund.

Capital Growth Fund’s Lifetime Performance

Performance of a $10,000 investment, Distributions Reinvested from April 30, 1998 to December 31, 2006.

                             
Since Inception Five Years One Year
Average Annual Total Return Through December 31, 2006
Institutional Class (commenced April 30, 1998)
     3.03%       2.68%       8.56%      
Service Class (commenced January 9, 2006)
     5.01% *     n/a       n/a      
* Total returns for periods of less than one year represent cumulative total return.
 
5

 

 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND

Schedule of Investments

December 31, 2006
                     
Shares Description Value
   
Common Stocks – 98.6%
    Aerospace & Defense – 1.6%
      138,430     United Technologies Corp.   $ 8,654,644  
   
    Apparel/Shoes – 0.4%
      110,000     Chico’s FAS, Inc.*     2,275,900  
   
    Audio & Visual Equipment – 1.1%
      62,920     Harman International Industries, Inc.     6,286,337  
   
    Banks – 1.0%
      66,700     SunTrust Banks, Inc.     5,632,815  
   
    Beverages – 4.4%
      132,380     Fortune Brands, Inc.     11,303,928  
      207,800     PepsiCo., Inc.     12,997,890  
                 
 
                  24,301,818  
   
    Biotechnology – 8.9%
      189,854     Amgen, Inc.*     12,968,927  
      223,512     Celgene Corp.*     12,858,645  
      137,200     Genentech, Inc.*     11,131,036  
      381,100     MedImmune, Inc.*     12,336,207  
                 
 
                  49,294,815  
   
    Commercial Services – 3.9%
      112,890     Moody’s Corp.     7,796,183  
      205,950     The McGraw-Hill Companies, Inc.     14,008,719  
                 
 
                  21,804,902  
   
    Computer Hardware – 1.2%
      484,500     EMC Corp.*     6,395,400  
   
    Computer Services – 3.5%
      63,700     CheckFree Corp.*     2,558,192  
      346,291     First Data Corp.     8,837,347  
      346,291     Western Union Co.     7,763,844  
                 
 
                  19,159,383  
   
    Computer Software – 6.0%
      189,925     Electronic Arts, Inc.*     9,564,623  
      799,268     Microsoft Corp.     23,866,143  
                 
 
                  33,430,766  
   
    Drugs & Medicine – 0.9%
      93,035     Wyeth     4,737,342  
   
    Financials – 5.0%
      11,400     Chicago Mercantile Exchange Holdings, Inc.     5,811,150  
      51,600     Legg Mason, Inc.     4,904,580  
      46,435     Merrill Lynch & Co., Inc.     4,323,099  
      51,945     Morgan Stanley     4,229,881  
      426,330     The Charles Schwab Corp.     8,245,222  
                 
 
                  27,513,932  
   
    Gaming/Lodging – 0.8%
      51,220     Harrah’s Entertainment, Inc.     4,236,918  
   
    Household/Personal Care – 0.8%
      146,400     Newell Rubbermaid, Inc.     4,238,280  
   
    Internet & Online – 6.1%
      39,910     Google, Inc.*     18,377,757  
      589,874     Yahoo!, Inc.*     15,065,382  
                 
 
                  33,443,139  
   
    Manufacturing – 1.4%
      130,400     Rockwell Automation, Inc.     7,964,832  
   
    Medical Products – 5.8%
      203,578     Medtronic, Inc.     10,893,459  
      146,700     St. Jude Medical, Inc.*     5,363,352  
      104,313     Stryker Corp.     5,748,689  
      80,700     Thermo Fisher Scientific, Inc.*     3,654,903  
      80,047     Zimmer Holdings, Inc.*     6,274,084  
                 
 
                  31,934,487  
   
    Medical Supplies – 0.5%
      67,290     Charles River Laboratories International, Inc.*     2,910,293  
   
    Movies & Entertainment – 1.0%
      131,574     Viacom, Inc. Class B*     5,398,481  
   
    Networking/Telecommunications Equipment – 4.2%
      640,690     Cisco Systems, Inc.*     17,510,058  
      46,600     Research In Motion Ltd.*     5,954,548  
                 
 
                  23,464,606  
   
    Oil & Gas – 7.3%
      211,740     Canadian Natural Resources Ltd.     11,270,920  
      333,900     Chesapeake Energy Corp.     9,699,795  
      94,100     Quicksilver Resources, Inc.*(a)     3,443,119  
      202,820     Suncor Energy, Inc.     16,004,526  
                 
 
                  40,418,360  
   
    Oil Well Services & Equipment – 6.4%
      197,038     Baker Hughes, Inc.     14,710,857  
      67,400     Grant Prideco, Inc.*     2,680,498  
      208,840     Schlumberger Ltd.     13,190,335  
      119,900     Weatherford International Ltd.*     5,010,621  
                 
 
                  35,592,311  
   
    Producer Goods – 0.7%
      57,510     W.W. Grainger, Inc.     4,022,249  
   
    Publishing – 1.3%
      106,111     Lamar Advertising Co.*     6,938,598  
   
    Retailing – 6.8%
      365,840     Lowe’s Companies, Inc.     11,395,916  
      209,590     Target Corp.     11,957,109  
      253,020     Wal-Mart Stores, Inc.     11,684,464  
      82,700     Williams-Sonoma, Inc.     2,600,088  
                 
 
                  37,637,577  
   
    Semiconductors – 4.5%
      161,884     Intel Corp.     3,278,151  
      346,279     Linear Technology Corp.     10,499,179  
      286,591     QUALCOMM, Inc.     10,830,274  
                 
 
                  24,607,604  
   
 
The accompanying notes are an integral part of these financial statements.

6

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 
                     
Shares Description Value
   
Common Stocks – (continued)
    Specialty Finance – 7.5%
      152,360     American Express Co.   $ 9,243,681  
      104,207     Fannie Mae     6,188,854  
      380,555     Freddie Mac     25,839,685  
                 
 
                  41,272,220  
   
    Technology Services – 0.8%
      54,820     Cognizant Technology Solutions Corp.*     4,229,911  
   
    Telecommunications – 4.8%
      387,190     American Tower Corp.*     14,434,443  
      102,550     Crown Castle International Corp.*     3,312,365  
      105,700     NeuStar, Inc.*     3,428,908  
      287,200     Sprint Nextel Corp.     5,425,208  
                 
 
                  26,600,924  
   
    TOTAL COMMON STOCKS
    (Cost $493,979,501)   $ 544,398,844  
   
                             
Principal Interest Maturity
Amount Rate Date Value
   
Repurchase Agreement(b) – 1.5%
    Joint Repurchase Agreement Account II
    $ 8,400,000       5.292 %   01/02/07     $8,400,000  
    Maturity Value: $8,404,939
    (Cost $8,400,000)        
   
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL
    (Cost $502,379,501)     $552,798,844  
   
                     
Shares Description Value
   
Securities Lending Collateral – 0.1%
      729,600     Boston Global Investment Trust – Enhanced Portfolio   $ 729,600  
    (Cost $729,600)        
   
    TOTAL INVESTMENTS – 100.2%
    (Cost $503,109,101)   $ 553,528,444  
   
    LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.2)%		     (1,126,124 )
   
    NET ASSETS – 100.0%   $ 552,402,320  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * Non-income producing security.
 
 (a) All or a portion of security is on loan.
 
 (b) Joint repurchase agreement was entered into on December 29, 2006.
 
The accompanying notes are an integral part of these financial statements.

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 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
 
Schedule of Investments (continued)
December 31, 2006

ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At December 31, 2006, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $8,400,000 in principal amount.

                             
Principal Interest Maturity Maturity
Repurchase Agreements Amount Rate Date Value
ABN Amro, Inc.
  $ 500,000,000       5.32 %   01/02/07   $ 500,295,556  
Banc of America Securities LLC
    750,000,000       5.32     01/02/07     750,443,333  
Barclays Capital PLC
    525,000,000       5.32     01/02/07     525,310,333  
Bear Stearns
    500,000,000       5.32     01/02/07     500,295,556  
Deutsche Bank Securities, Inc.
    750,000,000       5.31     01/02/07     750,442,500  
Greenwich Capital Markets
    300,000,000       5.32     01/02/07     300,177,333  
Morgan Stanley & Co.
    500,000,000       5.32     01/02/07     500,295,556  
UBS Securities LLC
    700,000,000       5.18     01/02/07     700,402,889  
UBS Securities LLC
    700,000,000       5.22     01/02/07     700,406,000  
UBS Securities LLC
    850,000,000       5.32     01/02/07     850,502,444  
Wachovia Capital Markets
    250,000,000       5.32     01/02/07     250,147,778  
TOTAL
   $ 6,325,000,000                 $ 6,328,719,278  
  At December 31, 2006, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 7.23%, due 01/12/07 to 11/01/16; Federal Home Loan Mortgage Association, 3.50% to 9.00%, due 02/01/07 to 01/01/37; Federal National Mortgage Association, 0.00% to 11.50%, due 07/01/07 to 01/01/37 and Government National Mortgage Association, 4.50% to 9.00%, due 10/15/09 to 12/20/36. The aggregate market value of the collateral, including accrued interest, was $6,462,454,814.  
 
The accompanying notes are an integral part of these financial statements.

8

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

Statement of Assets and Liabilities

December 31, 2006
               
 
    Assets:
   
Investment in securities, at value (identified cost $502,379,501) — including $702,528 of securities on loan
  $ 552,798,844  
   
Securities lending collateral, at value (identified cost $729,600)
    729,600  
   
Cash
    59,176  
   
Receivables:
       
     
Dividends and interest
    244,704  
     
Fund shares sold
    145,979  
     
Securities lending income
    2,259  
   
   
Total assets
     553,980,562  
   
    Liabilities:
   
Payables:
       
     
Payable upon return of securities loaned
    729,600  
     
Amounts owed to affiliates
    409,942  
     
Fund shares repurchased
    331,188  
   
Accrued expenses
    107,512  
   
   
Total liabilities
     1,578,242  
   
    Net Assets:
   
Paid-in capital
    734,366,254  
   
Accumulated undistributed net investment income
    11,801  
   
Accumulated net realized loss on investment transactions
    (232,394,961 )
   
Net unrealized gain on investments
    50,419,226  
   
   
NET ASSETS
   $ 552,402,320  
   
   
Net Assets:
       
     
Institutional
  $ 165,876,760  
     
Service
    386,525,560  
   
   
Shares Outstanding:
       
     
Institutional
    14,325,515  
     
Service
    33,382,908  
   
   
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized)
    47,708,423  
   
   
Net asset value, offering and redemption price per share:
       
     
Institutional
  $ 11.58  
     
Service
    11.58  
   
 
The accompanying notes are an integral part of these financial statements.

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 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND

Statement of Operations

For the Year Ended December 31, 2006
             
    Investment income:
   
Dividends(a)
  $ 5,229,603  
   
Interest (including securities lending income of $24,450)
    209,473  
   
   
Total income
     5,439,076  
   
    Expenses:
   
Management fees
    4,243,477  
   
Distribution and Service fees
    998,586  
   
Transfer agent fees(b)
    226,319  
   
Custody and accounting fees
    126,843  
   
Printing fees
    95,155  
   
Professional fees
    54,154  
   
Trustee fees
    15,083  
   
Registration fees
    1,274  
   
Other
    13,795  
   
   
Total expenses
     5,774,686  
   
   
Less — expense reductions
    (625,816 )
   
   
Net expenses
     5,148,870  
   
   
NET INVESTMENT INCOME
     290,206  
   
    Realized and unrealized gain (loss) on investment transactions:
   
Net realized gain from investment transactions — (including commissions recaptured of $114,873)
    71,843,720  
   
Net change in unrealized gain on investments
    (40,384,661 )
   
   
Net realized and unrealized gain on investment transactions
     31,459,059  
   
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
   $ 31,749,265  
   

(a)  Foreign taxes withheld on dividends were $17,460.
(b)  Institutional and Service Class had Transfer Agent fees of $66,338 and $159,981, respectively.

 
The accompanying notes are an integral part of these financial statements.

10

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

Statements of Changes in Net Assets

                       
For the For the
Year Ended Year Ended
December 31, 2006 December 31, 2005
    From operations:
   
Net investment income
  $ 290,206     $ 252,902  
   
Net realized gain on investment transactions
    71,843,720       2,625,757  
   
Payment by affiliates to reimburse certain security claims
    —       2,915  
   
Net change in unrealized gain (loss) on investments
    (40,384,661 )     1,234,312  
   
   
Net increase in net assets resulting from operations
     31,749,265       4,115,886  
   
    Distributions to shareholders:
   
From net investment income
               
     
Institutional Shares
    (204,339 )     (249,956 )
     
Service Shares*
    (77,094 )     —  
   
   
Total distributions to shareholders
     (281,433 )     (249,956 )
   
    From share transactions:
   
Proceeds from sales of shares
    13,879,656       11,639,337  
   
Proceeds received in connection with merger
    454,868,620       —  
   
Reinvestment of dividends and distributions
    281,433       249,956  
   
Cost of shares repurchased
    (116,148,847 )     (34,389,302 )
   
   
Net increase (decrease) in net assets resulting from share transactions
     352,880,862       (22,500,009 )
   
   
TOTAL INCREASE (DECREASE)
     384,348,694       (18,634,079 )
   
    Net assets:
   
Beginning of year
    168,053,626       186,687,705  
   
   
End of year
  $ 552,402,320     $ 168,053,626  
   
   
Accumulated undistributed net investment income
   $ 11,801     $ 2,946  
   
     *  Service Share Class commenced on January 9, 2006.
 
The accompanying notes are an integral part of these financial statements.

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GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                 
Income (loss) from Ratios assuming no
investment operations expense reductions
Distributions to Ratio of Ratio of Ratio of
Net asset Net shareholders Net asset Net assets Ratio of net investment total net investment
value, Net realized and Total from from net value, at end of net expenses income to expenses income (loss) Portfolio
Year – Share beginning investment unrealized investment investment end of Total year to average average to average to average turnover
Class of period income(b) gain (loss) operations income year return(c) (in 000s) net assets net assets net assets net assets rate
 
    FOR THE YEARS ENDED DECEMBER 31,
    2006 - Institutional   $ 10.68     $ 0.01     $ 0.90     $ 0.91     $ (0.01 )   $ 11.58       8.56 %   $ 165,877       0.84 %     0.12 %     0.85 %     0.11 %     70 %    
    2006 - Service(a)     11.03       — (e)     0.55       0.55       — (e)     11.58       5.01       386,526       0.94 (d)     0.03 (d)     1.10 (d)     (0.13 )(d)     70      
   
    2005 - Institutional     10.39       0.02       0.29       0.31       (0.02 )     10.68       2.94       168,054       0.90       0.15       0.90       0.15       35      
    2004 - Institutional     9.59       0.07       0.80       0.87       (0.07 )     10.39       9.09       186,688       0.89       0.69       0.89       0.69       45      
    2003 - Institutional     7.77       0.03       1.81       1.84       (0.02 )     9.59       23.74       179,694       1.02       0.38       1.43       (0.03 )     16      
    2002 - Institutional     10.28       0.01       (2.50 )     (2.49 )     (0.02 )     7.77       (24.33 )     18,052       1.10       0.16       1.77       (0.51 )     24      
   

(a)  Service Share Class commenced on January 9, 2006.
(b)  Calculated based on the average shares outstanding methodology.
(c)  Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than a full year are not annualized.
(d)  Annualized.
(e)  Less than $0.005 per share.

The accompanying notes are an integral part of these financial statements.

 
12

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

Notes to Financial Statements

December 31, 2006

1. ORGANIZATION

Goldman Sachs Variable Insurance Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Capital Growth Fund (the “Fund” or “Capital Growth Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service.
     On January 9, 2006, pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) previously approved by the Trust’s Board of Trustees, substantially all of the assets, subject to liabilities, of the Select Growth Fund of the Allmerica Investment Trust (the “Allmerica Fund”), were transferred to the Capital Growth Fund in exchange for the Capital Growth Fund’s Service shares. Holders of shares of the Allmerica Fund received Service shares of the Capital Growth Fund in an amount equal to the aggregate net asset value of their investment in the Allmerica Fund as of the close of business on January 6, 2006. On the date of the exchange, the Capital Growth Fund began to offer Service shares. The exchange was a tax-free event to shareholders.
     Shares of the Trust may be purchased and held by separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Trust are not offered directly to the general public.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.

A. Investment Valuation — Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed not to reflect market value by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.

B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.

     Net investment income (other than class-specific expenses) and unrealized and realized gain or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.

C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense. Each class of shares of the Fund separately bears its respective class-specific Transfer Agency fees. Service Shares bear all expenses and fees relating to their Distribution and Service Plan.

 
13

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gain, or as a tax return of capital.

E. Segregation Transactions — As set forth in the prospectus, the Fund may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.

F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Fund may be delayed or limited and there may be a decline in the value of the collateral during the period while the Fund seeks to assert its rights. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under triparty repurchase agreements.

     Pursuant to exemptive relief granted by the Securities and Exchange Commission (the “SEC”) and terms and conditions contained therein, the Fund, together with other registered investment companies having management or investment advisory agreements with Goldman Sachs Asset Management, L.P. (“GSAM”), or its affiliates may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements.

G. Commission Recapture — The Fund may direct portfolio trades, subject to obtaining best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Fund as cash payments and are included in net realized gain (loss) on investments in the Statement of Operations.

3. AGREEMENTS

GSAM, an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser pursuant to an Investment Management Agreement (the “Agreement”) with the Trust on behalf of the Fund. Under this Agreement, GSAM manages the Fund, subject to the general supervision of the Trust’s Board of Trustees.
     As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Fund’s business affairs, including providing facilities, GSAM is entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
 
14

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 
 
3. AGREEMENTS (continued)
     GSAM has entered into a fee reduction commitment for the Fund which was implemented on a voluntary basis prior to April 28, 2006 and on a contractual basis as of April 28, 2006 to achieve the rates listed below:
         
Average Daily Net Assets Annual Rate
First $1 Billion
    0.75 %
Next $1 Billion
    0.68 %
Over $2 Billion
    0.65 %

     In connection with the reorganization of the Allmerica Fund into the Fund, GSAM has contractually agreed to reimburse the Fund as necessary to limit the total annual operating expenses of the Services Shares of the Fund to 1.00% until June 2007.

     GSAM has voluntarily agreed to limit certain “Other Expenses” of the Fund (excluding Management fees, Distribution and Service fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification costs, shareholder meeting and other extraordinary expenses exclusive of any expense offset arrangements) to the extent that such expenses exceed, on an annual basis, 0.114% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the year ended December 31, 2006, GSAM did not make any reimbursements to the Fund.
     In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction in the Fund’s expenses. For the year ended December 31, 2006, custody and transfer agent fees were reduced by approximately $3,000 and 24,200, respectively.
     Goldman Sachs also serves as the Transfer Agent of the Fund for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly equal to an annual rate of 0.04% of the average daily net assets of the Institutional and Service shares.
     The Trust has adopted, on behalf of the Service Shares of the Fund, a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs is entitled to a monthly fee for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. Goldman Sachs has voluntarily agreed to waive Distribution and Service fees for Service Shares so as not to exceed 0.10% of the Fund’s average daily net assets attributable to Service Shares. This waiver may be modified or terminated at any time at the option of Goldman Sachs. For the year ended December 31, 2006, Goldman Sachs waived approximately $598,600 in Distribution and Service fees for the Fund.
     At December 31, 2006, amounts owed to affiliates were approximately $357,500, $33,400 and $19,100 for Management, Distribution and Service, and Transfer Agent fees, respectively.

4. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long term securities for the year ended December 31, 2006 were $573,882,282 and $379,549,320, respectively. For the year ended December 31, 2006, Goldman Sachs earned approximately $24,600 of brokerage commissions from portfolio transactions, executed on behalf of the Fund.
 
15

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND

5. SECURITIES LENDING

Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Boston Global Advisers (“BGA”) — a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund bears the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
     The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM receives an investment advisory fee of up to 0.10% of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests in high quality money market instruments. The Fund bears the risk of incurring a loss from the investment of cash collateral due to either credit or market factors. Both the Fund and BGA receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the year ended December 31, 2006 is reported parenthetically under Investment Income on the Statement of Operations. For the year ended December 31, 2006, BGA earned approximately $2,900 in fees as securities lending agent. At December 31, 2006, the Fund loaned securities having a market value of $702,528 collateralized by cash in the amount of $729,600.

6. LINE OF CREDIT FACILITY

The Fund participates in a $400,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAM. Under the most restrictive arrangement, the Fund must own securities having a market value in excess of 300% of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This committed facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. During the year ended December 31, 2006, the Fund did not have any borrowings under this facility.

7. TAX INFORMATION

The tax character of distributions paid during the fiscal years ended December 31, 2006 and December 31, 2005 was as follows:
                 
For the year ended December 31,
2006 2005
Distributions paid from:
               
Ordinary income
  $ 281,433     $ 249,956  
Total taxable distributions
  $ 281,433     $ 249,956  
 
16

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

7. TAX INFORMATION (continued)

     As of December 31, 2006, the components of accumulated earnings (losses) on a tax basis were as follows:
           
Undistributed ordinary income — net
  $ 12,032  
Capital loss carryforward:(1)(2)
       
 
Expiring 2007
    (11,863,148 )
 
Expiring 2008
    (63,433,899 )
 
Expiring 2009
    (93,913,780 )
 
Expiring 2010
    (59,391,140 )
 
Expiring 2011
    (1,064,803 )
Total capital loss carryforward
  $ (229,666,770 )
Timing differences (post-October losses)
    (143,717 )
Unrealized gain — net
    47,834,521  
Total accumulated losses — net
  $ (181,963,934 )

(1)  Expiration occurs on December 31 of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code.
 
(2)  During the year ended December 31, 2006, the Fund utilized $68,373,913 of capital loss carryforwards.

     At December 31, 2006, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

         
Tax cost
  $ 505,693,806  
Gross unrealized gain
    59,694,951  
Gross unrealized loss
    (11,860,430 )
Net unrealized security gain
  $ 47,834,521  

     The difference between book-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales.

     In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified from accumulated net realized loss on investments to accumulated undistributed net investment income and paid-in capital, $82 and $276,733,054, respectively. These reclassifications have no impact on the net asset value of the Fund. Reclassifications result primarily from available capital loss carryforwards and previously deferred wash sales acquired in the reorganization with the Allmerica Fund.

8. OTHER MATTERS

Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds (including this Fund) and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The Fund, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations
 
17

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND
 
8. OTHER MATTERS (continued)
of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars. The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision. By agreement, the plaintiffs subsequently withdrew their appeal without prejudice but reserved their right to reactivate their appeal pending a decision by the circuit court of appeals in similar litigation.
     Based on currently available information, GSAM and GSAMI believe that the likelihood that the pending purported class action and derivative action lawsuit will have a material adverse financial impact on the Fund is remote, and the pending action is not likely to materially affect their ability to provide investment management services to their clients, including the Goldman Sachs Funds.

Merger and Reorganization — At a meeting held on July 12, 2005, the Board of Trustees of the Trust approved the Reorganization (“Agreement”) providing for the tax-free acquisition of the Allmerica Fund by the Capital Growth Fund. Following the approval of the Board of Trustees and shareholders of the Allmerica Fund, the acquisition was completed on January 9, 2006, as of the close of business on January 6, 2006.

     Pursuant to the Agreement, the assets and liabilities of the Allmerica Fund Service Class were transferred into the Capital Growth Fund Service Class in a tax-free exchange as follows:
                         
Acquired Fund’s
Exchanged Shares Value of Shares Outstanding
Survivor/Acquired Fund of Survivor Issued Exchanged Shares as of January 6, 2006
Capital Growth Fund Service Class/Allmerica Fund Service Class
    41,239,222     $ 454,868,620       264,467,645  

     The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation.

                                         
Survivor Fund’s Acquired Fund’s Survivor Fund’s
Aggregate Aggregate Aggregate
Net Assets Net Assets Acquired Fund’s Acquired Fund’s Net Assets
before before Unrealized Capital Loss immediately
Survivor/Acquired Fund acquisition acquisition Appreciation Carryforward after acquisition
Capital Growth Fund/Allmerica Fund
  $ 173,497,578     $ 454,868,620     $ 74,244,861     $ (286,851,099 )   $ 628,366,197  
 
18

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

8. OTHER MATTERS (continued)

New Accounting Pronouncements — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. On December 22, 2006, the SEC delayed the implementation of this ruling such that it must be incorporated no later than the last day on which a NAV is calculated preceding the Fund’s 2007 semi-annual report. At this time, the investment adviser is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
     On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 “Fair Value Measurement” (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations of an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. The investment adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financials statements, however, additional disclosures will be required.
 
19

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND

9. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:
                                 
For the Year Ended For the Year Ended
December 31, 2006 December 31, 2005
Shares Dollars Shares Dollars
Institutional Shares
                                
Shares sold
    1,136,732     $ 12,592,496       1,146,173     $ 11,639,337  
Reinvestment of dividends and distributions
    17,510       204,339       23,144       249,956  
Shares repurchased
    (2,570,726 )     (28,428,053 )     (3,389,711 )     (34,389,302 )
   
      (1,416,484 )     (15,631,218 )     (2,220,394 )     (22,500,009 )
Service Shares*
                                
Shares sold
    118,288       1,287,160       —       —  
Shares issued in connection with merger
    41,239,222       454,868,620       —       —  
Reinvestment of dividends and distributions
    6,606       77,094       —       —  
Shares repurchased
    (7,981,208 )     (87,720,794 )     —       —  
   
      33,382,908       368,512,080       —       —  
NET INCREASE (DECREASE)
     31,966,424     $ 352,880,862       (2,220,394 )   $ (22,500,009 )

*  Service Share Class commenced on January 9, 2006.

 
20

 

Report of Independent Registered Public Accounting Firm

To the Shareholders of Goldman Sachs Capital Growth Fund and Board of Trustees

Goldman Sachs Variable Insurance Trust

We have audited the accompanying statement of assets and liabilities of Goldman Sachs Capital Growth Fund (one of the funds comprising the Goldman Sachs Variable Insurance Trust) (the “Fund”), including the schedule of investments, as of December 31, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Goldman Sachs Capital Growth Fund at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

  (ERNST & YOUNG LLP)

New York, New York

February 14, 2007
 
21

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND

Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2006

            As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Service Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.  
 
            The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 through December 31, 2006.  
 
            Actual Expenses — The first line under each share class of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.  
 
            Hypothetical Example for Comparison Purposes — The second line under each share class of table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.  
 
            Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.  

                         
Expenses Paid
for the
Beginning Ending 6 months
Account Value Account Value ended
Share Class 7/1/06 12/31/06 12/31/06*
Institutional
                        
Actual
  $ 1,000.00     $ 1,091.70     $ 4.35  
Hypothetical 5% return
    1,000.00       1,021.05 +     4.20  
Service
                        
Actual
    1,000.00       1,091.60       4.87  
Hypothetical 5% return
    1,000.00       1,020.54 +     4.71  

  *   Expenses are calculated using the Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.82% and 0.92% for Institutional and Service Shares, respectively.  
  +   Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.  

 
22

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

Trustees and Officers (Unaudited)

Independent Trustees
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
Ashok N. Bakhru
Age: 64		   Chairman of the Board of Trustees   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President — Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004); Trustee of the Walnut Street Theater (1992-2004 and 2006-Present); Trustee, Scholarship America (1998- 2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors — III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
John P. Coblentz, Jr.
Age: 65		   Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003).
Director, Emerging Markets Group, Ltd (2004-2006); Director, Elderhostel, Inc. (2006-present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Patrick T. Harker
Age: 48		   Trustee   Since 2000   Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Mary P. McPherson
Age: 71		   Trustee   Since 1997   Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); Director, American School of Classical Studies in Athens (1997-Present); and Trustee, Emeriti Retirement Health Solutions (post-retirement medical insurance program for non-profit institutions) (Since 2005).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Richard P. Strubel
Age: 67		   Trustee   Since 1987   Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   Gildan Activewear Inc. (clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the internet); Northern Mutual Fund Complex (58 Portfolios).
 
23

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND

Trustees and Officers (Unaudited) (continued)

Interested Trustee
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
*Alan A. Shuch
Age: 57		   Trustee   Since 1990   Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994- May 1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno.
2
The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997.
3
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
4
The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of December 31, 2006, the Trust consisted of 65 portfolios and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios, including the Fund described in this Annual Report.
5
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.

 
24

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST CAPITAL GROWTH FUND 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*
             
Term of
Office and
Position(s) Held Length of
Name, Age And Address With the Trust Time Served1 Principal Occupation(s) During Past 5 Years
Kaysie P. Uniacke
32 Old Slip
New York, NY 10005
Age: 45		   President   Since 2002   Managing Director, Goldman Sachs (1997-Present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (August 2001-December 2006).

President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).

Trustee — Gettysburg College.
James A. Fitzpatrick
71 South Wacker Drive
Suite 500
Chicago, IL 60606
Age: 46		   Vice President   Since 1997   Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).
James A. McNamara
32 Old Slip
New York, NY 10005
Age: 44		   Vice President   Since 2001   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004).
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 42		   Treasurer   Since 1997   Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer — Goldman Sachs Mutual Fund Complex (registered investment companies).
Peter V. Bonanno
32 Old Slip
New York, NY 10005
Age: 37		   Secretary   Since 2006   Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President Goldman Sachs (1999-2006); Assistant General Counsel, Goldman Sachs (1999-2002).

Secretary — Goldman Sachs Mutual Fund Complex (registered investment companies).
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.

Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)

       For the year ended December 31, 2006, 100% of the dividends paid from net investment company taxable income by the Capital Growth Fund qualifies for the dividends received deduction available to corporations.  

 
 
25

 

     
TRUSTEES
  OFFICERS
Ashok N. Bakhru, Chairman
   Kaysie P. Uniacke, President
John P. Coblentz, Jr.
  James A. Fitzpatrick, Vice President
Patrick T. Harker
  James A. McNamara, Vice President
Mary Patterson McPherson
  John M. Perlowski, Treasurer
Alan A. Shuch
  Peter V. Bonanno, Secretary
Richard P. Strubel
   
 
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent 		   
 
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
 
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.
 
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
    Toll Free (in U.S.): 800-292-4726
 
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Capital Growth Fund.
 
Copyright 2007 Goldman, Sachs & Co. All rights reserved.
 
VITCGAR/07-313    

 

Goldman
Sachs Variable Insurance Trust

GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005

 
Mid Cap Value Fund
 
Annual Report
December 31, 2006
 

 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Mid Cap Value Fund during the one-year reporting period that ended December 31, 2006.

Market Review

The U.S. equity markets finished another year with positive returns as strong gains in the fourth quarter capped off a very successful 2006. For the one-year period ended December 31, 2006, the S&P 500 Index returned 15.79%. The equity markets largely overcame early concerns over rising interest rates and inflation, as well as signs of a cooling housing market and ongoing geopolitical concerns. Another theme throughout the year was the high level of merger and acquisition activity in both the private and public sectors. With abundant liquidity in the market, private equity deals reached new heights as buyers increasingly bid for small and even mid-cap sized companies. On the economic front, the Federal Reserve Board held interest rates steady in the second half of the year.

Investment Objective

The Fund seeks long-term capital appreciation.

Portfolio Composition

Top 10 Portfolio Holdings as of December 31, 2006*
             
% of
Company Net Assets Business
Entergy Corp.
    3.1 %   Electrical Utilities
Range Resources Corp.
    3.1     Energy Resources
J.C. Penney Co., Inc.
    2.6     Retail Apparel
AMBAC Financial Group, Inc.
    2.5     Property Insurance
The Williams Companies, Inc.
    2.4     Diversified Energy
PG&E Corp.
    2.4     Electrical Utilities
KeyCorp
    2.3     Regional Banks
EOG Resources, Inc.
    2.3     Energy Resources
Edison International
    2.0     Electrical Utilities
PPL Corp.
    2.0     Electrical Utilities

* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.

 
1

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
 
Shareholder Letter (continued)

Performance Review

Over the one-year period that ended December 31, 2006, the Fund’s Institutional Shares generated a cumulative total return of 16.16%. This return compares to the 20.22% cumulative total return of the Fund’s benchmark, the Russell Midcap Value Index (with dividends reinvested), over the same time period. For the period from the inception of the Service Class on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative total return of 12.91%. This return compares to the 16.79% cumulative total return of the Fund’s benchmark over the same time period.

While the Fund generated solid absolute returns during the reporting period, it was unable to beat the strong returns of the benchmark. 2006 proved to be another outstanding year for mid-cap stocks as nearly every sector in the Russell Midcap Value Index produced positive returns. The Fund’s underperformance versus its benchmark was primarily the result of the Fund’s holdings in the Energy sector. Select stocks in Consumer Cyclicals also declined, while top performing stocks included Financials and Services names.

In 2006, several headwinds, including record warm weather patterns, pressured the Fund’s holdings in the Energy sector. Over the long term, we believe the supply/demand trends should sustain higher pricing in the Energy sector. The Fund’s overall exposure to Energy has decreased over the past year, partly due to the acquisition of Western Gas Resources by Anadarko Petroleum. We also selectively reduced holdings in the sector. We think that some of the current merger activity suggests that corporate buyers share our positive view on well-positioned companies in this area. We remain focused on select companies with low cost structures, large reserves and shareholder-focused management teams. Despite recent weakness, we continue to hold EOG Resources, Inc., Range Resources Corp. and The Williams Companies, Inc.

Other stocks that endured a challenging year included Consumer Cyclicals companies Lennar Corp. and Mohawk Industries. We eliminated textile manufacturer Mohawk Industries as high commodity costs continued to pressure its margins. We continue to hold Lennar Corp. as we believe that an excessively negative outlook is already reflected in its share price. We believe this residential construction company is well-managed, financially strong and better-positioned today than it was in past housing downturns due to more diversified geographic markets, economies of scale, and better management practices.

Several key holdings, such as Harrah’s Entertainment, Inc. and Norfolk Southern Corp., recovered from weakness in the fourth quarter, however were still among the Fund’s relative detractors during the year as a whole. Harrah’s received much attention due to the series of private equity bids placed on the company. We reduced the Fund’s exposure to the stock to lock in profits. The portfolio also benefited from favorable acquisition activity as Equity Office Properties Trust was sold to a private equity group. Elsewhere, top holding Entergy Corporation contributed to results as the company continued to benefit from a disciplined management team.

Many of the Fund’s best performing stocks in 2006 were companies engaged in efforts to rationalize their cost structures, divest non-strategic assets and generally improve returns on capital. As we move into 2007, we will continue to seek similar opportunities as these programs of internal change can show positive results in an uncertain market environment. We believe the market will see an active flow of private-equity investment into mid-cap

 
2

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

companies, particularly those with the cash flow characteristics we tend to favor. We maintain a valuation focus and are alert for emerging ideas across the investment landscape.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Value Portfolio Management Team

January 12, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Mid Cap Value Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT Mid Cap Value Fund invests primarily in mid-capitalization U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The securities of mid-capitalization companies involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements. The Fund may invest in foreign securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may invest in fixed income securities. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk.

 
3

 

Shareholder Letter (continued)
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

SECTOR ALLOCATION†

Percentage of Net Assets

SECTOR ALLOCATION BAR CHART

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.
 
4

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value as of December 31, 2006, of a $10,000 investment made on May 1, 1998 (commencement of operations) in Institutional Class Shares. For comparative purposes, the performance of the Fund’s benchmark, the Russell Mid Cap Value Index (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Class Shares will vary from Institutional Class Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a Fund.

Mid Cap Value Fund’s Lifetime Performance

Performance of a $10,000 investment, Distributions Reinvested from May 1, 1998 to December 31, 2006.

PERFORMANCE SUMMARY GRAPH

                             
Since Inception Five Years One Year
Average Annual Total Return Through December 31, 2006
Institutional Class (commenced May 1, 1998)
     11.33%       15.08%       16.16%      
Service Class (commenced January 9, 2006)
     12.91% *     n/a       n/a      

* Total returns for periods of less than one year represent cumulative total return.

 
5

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

Schedule of Investments

December 31, 2006
                     
Shares Description Value
 
   
Common Stocks – 98.1%
    Biotechnology – 1.0%
      604,194     MedImmune, Inc.*   $ 19,557,760  
   
    Brokers – 2.3%
      207,568     E*Trade Financial Corp.*     4,653,675  
      143,800     Lazard Ltd.     6,807,492  
      202,841     The Bear Stearns Companies, Inc.     33,018,458  
                 
 
                  44,479,625  
   
    Chemicals – 2.3%
      475,608     Agrium, Inc.     14,976,896  
      67,914     Air Products and Chemicals, Inc.     4,772,996  
      351,078     Airgas, Inc.     14,225,680  
      70,000     Albemarle Corp.     5,026,000  
      185,000     Celanese Corp.     4,787,800  
                 
 
                  43,789,372  
   
    Computer Hardware – 3.8%
      544,036     Amphenol Corp.     33,773,755  
      356,258     Avnet, Inc.*     9,095,267  
      1,155,490     Seagate Technology     30,620,485  
                 
 
                  73,489,507  
   
    Computer Software – 1.7%
      1,917,749     Activision, Inc.*     33,061,993  
   
    Construction – 1.4%
      533,178     Lennar Corp.     27,970,518  
   
    Defense/Aerospace – 1.9%
      205,262     Alliant Techsystems, Inc.*     16,049,436  
      331,811     Rockwell Collins, Inc.     21,000,318  
                 
 
                  37,049,754  
   
    Diversified Energy – 2.4%
      1,816,059     The Williams Companies, Inc.     47,435,461  
   
    Drugs – 2.1%
      400,728     Charles River Laboratories International, Inc.*     17,331,486  
      869,339     IMS Health, Inc.     23,889,436  
                 
 
                  41,220,922  
   
    Electrical Utilities – 13.8%
      399,500     CMS Energy Corp.*     6,671,650  
      1,215,342     DPL, Inc.     33,762,201  
      869,699     Edison International     39,553,911  
      657,723     Entergy Corp.     60,720,987  
      220,598     FirstEnergy Corp.     13,302,059  
      373,259     Northeast Utilities     10,510,973  
      974,013     PG&E Corp.(a)     46,100,035  
      1,076,302     PPL Corp.     38,574,664  
      88,400     Sierra Pacific Resources*     1,487,772  
      361,038     Wisconsin Energy Corp.     17,134,864  
                 
 
                  267,819,116  
   
    Energy Resources – 7.1%
      703,122     EOG Resources, Inc.   $ 43,909,969  
      2,170,564     Range Resources Corp.     59,603,687  
      731,109     Ultra Petroleum Corp.*     34,910,455  
                 
 
                  138,424,111  
   
    Environmental & Other Services – 2.5%
      2,685,727     Allied Waste Industries, Inc.*     33,007,585  
      391,695     Republic Services, Inc.     15,930,236  
                 
 
                  48,937,821  
   
    Food & Beverage – 1.1%
      157,808     Pepsi Bottling Group, Inc.     4,877,845  
      633,748     Smithfield Foods, Inc.*     16,261,974  
                 
 
                  21,139,819  
   
    Gas Utilities – 0.6%
      320,972     AGL Resources, Inc.     12,489,021  
   
    Grocery – 2.6%
      464,062     Safeway, Inc.     16,037,983  
      937,548     SUPERVALU, Inc.     33,517,341  
                 
 
                  49,555,324  
   
    Health Insurance – 1.8%
      307,682     Coventry Health Care, Inc.*     15,399,484  
      405,051     Health Net, Inc.*     19,709,782  
                 
 
                  35,109,266  
   
    Home Products – 2.8%
      1,088,665     Newell Rubbermaid, Inc.     31,516,852  
      366,412     The Clorox Co.     23,505,330  
                 
 
                  55,022,182  
   
    Hotel & Leisure – 1.5%
      223,900     Boyd Gaming Corp.     10,144,909  
      225,528     Harrah’s Entertainment, Inc.     18,655,676  
                 
 
                  28,800,585  
   
    Information Services – 1.0%
      2,356,536     BearingPoint, Inc.*(a)     18,545,938  
   
    Life Insurance – 1.7%
      210,884     Assurant, Inc.     11,651,341  
      237,441     Lincoln National Corp.     15,766,082  
      93,210     Torchmark Corp.     5,943,070  
                 
 
                  33,360,493  
   
    Media – 1.2%
      2,812,068     Charter Communications, Inc.*(a)     8,604,928  
      232,062     Lamar Advertising Co.*     15,174,534  
                 
 
                  23,779,462  
   
    Medical Products – 0.7%
      604,219     PerkinElmer, Inc.     13,431,788  
   
    Mining – 1.2%
      921,833     Commercial Metals Co.     23,783,291  
   
 
The accompanying notes are an integral part of these financial statements.

6

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 
                     
Shares Description Value
   
Common Stocks – (continued)
    Motor Vehicle – 1.3%
      414,934     Autoliv, Inc.   $ 25,020,520  
   
    Oil Services – 0.7%
      460,489     BJ Services Co.     13,501,537  
   
    Paper & Packaging – 1.9%
      686,640     MeadWestvaco Corp.     20,640,399  
      735,262     Packaging Corp. of America     16,249,290  
                 
 
                  36,889,689  
   
    Parts & Equipment – 2.6%
      239,418     American Standard Companies, Inc.     10,977,315  
      123,012     Carlisle Cos., Inc.     9,656,442  
      263,670     Cooper Industries Ltd.     23,843,678  
      130,058     W-H Energy Services, Inc.*     6,332,524  
                 
 
                  50,809,959  
   
    Property Insurance – 6.6%
      543,447     AMBAC Financial Group, Inc.     48,404,824  
      254,511     Everest Re Group Ltd.     24,970,074  
      154,100     MGIC Investment Corp.     9,637,414  
      313,965     PartnerRe Ltd.     22,300,934  
      34,900     Radian Group, Inc.     1,881,459  
      167,608     RenaissanceRe Holdings Ltd. Series B     10,056,480  
      250,381     The PMI Group, Inc.     11,810,472  
                 
 
                  129,061,657  
   
    Publishing – 0.3%
      144,123     Dow Jones & Co., Inc.     5,476,674  
   
    Regional Banks – 6.2%
      193,957     City National Corp.     13,809,738  
      201,644     Commerce Bancshares, Inc.     9,761,576  
      219,700     First Horizon National Corp.     9,179,066  
      1,174,170     KeyCorp     44,653,685  
      148,497     M&T Bank Corp.     18,140,394  
      313,345     Zions Bancorp.     25,832,162  
                 
 
                  121,376,621  
   
    REIT – 7.4%
      479,529     Apartment Investment & Management Co.     26,863,214  
      471,727     Brandywine Realty Trust     15,684,923  
      312,983     Developers Diversified Realty Corp.     19,702,280  
      408,383     Equity Office Properties Trust     19,671,809  
      270,109     Equity Residential Properties Trust     13,708,032  
      185,254     Home Properties of New York, Inc.(a)     10,980,005  
      83,966     iStar Financial, Inc.     4,015,254  
      385,481     Liberty Property Trust     18,942,536  
      274,798     Mack-Cali Realty Corp.     14,014,698  
                 
 
                  143,582,751  
   
    Retail Apparel – 3.5%
      661,889     J.C. Penney Co., Inc.     51,203,733  
      291,036     Ross Stores, Inc.     8,527,355  
      291,100     Williams-Sonoma, Inc.     9,152,184  
                 
 
                  68,883,272  
   
    Semiconductors – 1.3%
      491,984     National Semiconductor Corp.     11,168,037  
      330,021     Tessera Technologies, Inc.*     13,313,047  
                 
 
                  24,481,084  
   
    Specialty Financials – 2.6%
      245,661     American Capital Strategies Ltd.(a)     11,364,278  
      567,799     CIT Group, Inc.     31,666,150  
      243,317     Eaton Vance Corp.     8,031,894  
                 
 
                  51,062,322  
   
    Telephone – 0.9%
      334,114     Embarq Corp.     17,561,032  
   
    Thrift Banks – 1.4%
      1,233,567     Hudson City Bancorp, Inc.     17,121,910  
      198,752     Webster Financial Corp.     9,683,197  
                 
 
                  26,805,107  
   
    Transports – 1.8%
      585,759     Norfolk Southern Corp.     29,457,820  
      222,204     Swift Transportation Co., Inc.*     5,837,299  
                 
 
                  35,295,119  
   
    Trust/Processors – 1.1%
      362,996     Northern Trust Corp.     22,030,227  
   
    TOTAL COMMON STOCKS
    (Cost $1,647,855,876)   $ 1,910,090,700  
   
 
The accompanying notes are an integral part of these financial statements.

7

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
 
Schedule of Investments (continued)
December 31, 2006
                             
Principal Interest Maturity
Amount Rate Date Value
 
   
Repurchase Agreement(b) – 1.7%
    Joint Repurchase Agreement Account II
    $ 33,600,000       5.292 %   01/02/07   $ 33,600,000  
    Maturity Value: $33,619,757
    (Cost $33,600,000)
   
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL
    (Cost $1,681,455,876)   $ 1,943,690,700  
   
                     
Shares Description Value
 
   
Securities Lending Collateral – 1.6%
      30,547,475     Boston Global Investment Trust – Enhanced Portfolio        
    (Cost $30,547,475)   $ 30,547,475  
   
    TOTAL INVESTMENTS – 101.4%
    (Cost $1,712,003,351)   $ 1,974,238,175  
   
    LIABILITIES IN EXCESS OF OTHER ASSETS – (1.4)%     (26,439,055 )
   
    NET ASSETS – 100.0%   $ 1,947,799,120  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * Non-income producing security.
 
 (a) All or a portion of security is on loan.
 
 (b) Joint repurchase agreement was entered into on December 29, 2006.
             
   
    Investment Abbreviations:
    REIT   —   Real Estate Investment Trust
   
 
The accompanying notes are an integral part of these financial statements.

8

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At December 31, 2006, the Fund had an undivided interest in the following Joint Repurchase Agreement Account II which equaled $33,600,000 in principal amount.

                                 
Principal Interest Maturity Maturity
Repurchase Agreements Amount Rate Date Value
ABN Amro, Inc.
  $ 500,000,000       5.32 %     01/02/07     $ 500,295,556  
Banc of America Securities LLC
    750,000,000       5.32       01/02/07       750,443,333  
Barclays Capital PLC
    525,000,000       5.32       01/02/07       525,310,333  
Bear Stearns
    500,000,000       5.32       01/02/07       500,295,556  
Deutsche Bank Securities, Inc.
    750,000,000       5.31       01/02/07       750,442,500  
Greenwich Capital Markets
    300,000,000       5.32       01/02/07       300,177,333  
Morgan Stanley & Co.
    500,000,000       5.32       01/02/07       500,295,556  
UBS Securities LLC
    700,000,000       5.18       01/02/07       700,402,889  
UBS Securities LLC
    700,000,000       5.22       01/02/07       700,406,000  
UBS Securities LLC
    850,000,000       5.32       01/02/07       850,502,444  
Wachovia Capital Markets
    250,000,000       5.32       01/02/07       250,147,778  
TOTAL
   $ 6,325,000,000                     $ 6,328,719,278  
  At December 31, 2006, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 7.23%, due 01/12/07 to 11/01/16; Federal Home Loan Mortgage Association, 3.50% to 9.00%, due 02/01/07 to 01/01/37; Federal National Mortgage Association, 0.00% to 11.50%, due 07/01/07 to 01/01/37 and Government National Mortgage Association, 4.50% to 9.00%, due 10/15/09 to 12/20/36. The aggregate market value of the collateral, including accrued interest, was $6,462,454,814.  
 
The accompanying notes are an integral part of these financial statements.

9

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

Statement of Assets and Liabilities

December 31, 2006
               
 
    Assets:
   
Investment in securities, at value (identified cost $1,681,455,876) — including $29,472,861 of securities on loan
  $ 1,943,690,700  
   
Securities lending collateral, at value (identified cost $30,547,475)
    30,547,475  
   
Cash
    46,351  
   
Receivables:
       
     
Investment securities sold
    9,168,947  
     
Dividends and interest
    2,792,174  
     
Fund shares sold
    859,200  
     
Securities lending income
    13,379  
   
   
Total assets
     1,987,118,226  
   
    Liabilities:
   
Payables:
       
     
Payable upon return of securities loaned
    30,547,475  
     
Investment securities purchased
    6,043,055  
     
Amounts owed to affiliates
    1,420,400  
     
Fund shares repurchased
    1,187,197  
   
Accrued expenses
    120,979  
   
   
Total liabilities
     39,319,106  
   
    Net Assets:
   
Paid-in capital
    1,658,605,660  
   
Accumulated undistributed net investment income
    238,792  
   
Accumulated net realized gain on investment transactions
    26,719,844  
   
Net unrealized gain on investments
    262,234,824  
   
   
NET ASSETS
   $ 1,947,799,120  
   
   
Net Assets:
       
     
Institutional
    1,673,896,376  
     
Service
    273,902,744  
   
   
Shares Outstanding:
       
     
Institutional
    104,052,296  
     
Service
    17,022,751  
   
   
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized)
    121,075,047  
   
   
Net asset value, offering and redemption price per share:
       
     
Institutional
  $ 16.09  
     
Service
    16.09  
   
 
The accompanying notes are an integral part of these financial statements.

10

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

Statement of Operations

For the Year Ended December 31, 2006
             
    Investment income:
   
Dividends(a)
  $ 28,616,321  
   
Interest (including securities lending income of $87,512)
    2,414,306  
   
   
Total income
     31,030,627  
   
    Expenses:
   
Management fees
    14,962,095  
   
Distribution and Service fees
    689,293  
   
Transfer agent fees(b)
    748,109  
   
Custody and accounting fees
    259,281  
   
Printing fees
    110,344  
   
Professional fees
    54,391  
   
Trustee fees
    15,083  
   
Registration fees
    1,268  
   
Other
    40,290  
   
   
Total expenses
     16,880,154  
   
   
Less — expense reductions
    (537,506 )
   
   
Net expenses
     16,342,648  
   
   
NET INVESTMENT INCOME
     14,687,979  
   
    Realized and unrealized gain on investment transactions:
   
Net realized gain from investment transactions (including commissions recaptured of $317,910)
    203,866,896  
   
Net change in unrealized gain on investments
    46,378,460  
   
   
Net realized and unrealized gain on investment transactions
     250,245,356  
   
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
   $ 264,933,335  
   

(a)  Foreign taxes withheld on dividends were $3,924.
(b)  Institutional and Service Class had Transfer Agent fees of $637,655 and $110,454, respectively.

 
The accompanying notes are an integral part of these financial statements.

11

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

Statements of Changes in Net Assets

                       
For the For the
Year Ended Year Ended
December 31, 2006 December 31, 2005
    From operations:
   
Net investment income
  $ 14,687,979     $ 9,578,739  
   
Net realized gain on investment transactions
    203,866,896       132,448,454  
   
Payment by affiliates to reimburse certain security claims
    —       9,275  
   
Net change in unrealized gain on investments
    46,378,460       493,340  
   
   
Net increase in net assets resulting from operations
     264,933,335       142,529,808  
   
    Distributions to shareholders:
   
From net investment income
               
     
Institutional Shares
    (15,146,501 )     (7,785,943 )
     
Service Shares*
    (2,203,166 )     —  
   
From net realized gain
               
     
Institutional Shares
    (166,862,249 )     (130,595,641 )
     
Service Shares
    (27,376,549 )     —  
   
   
Total distributions to shareholders
     (211,588,465 )     (138,381,584 )
   
    From share transactions:
   
Proceeds from sales of shares
    296,268,653       445,767,317  
   
Proceeds received in connection with merger
    295,311,746       —  
   
Reinvestment of dividends and distributions
    211,588,415       138,381,584  
   
Cost of shares repurchased
    (339,528,744 )     (74,634,247 )
   
   
Net increase in net assets resulting from share transactions
     463,640,070       509,514,654  
   
   
TOTAL INCREASE
     516,984,940       513,662,878  
   
    Net assets:
   
Beginning of year
    1,430,814,180       917,151,302  
   
   
End of year
  $ 1,947,799,120     $ 1,430,814,180  
   
   
Accumulated undistributed net investment income
   $ 238,792     $ 1,880,132  
   

*  Service Share Class commenced on January 9, 2006.

 
The accompanying notes are an integral part of these financial statements.

12

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                             
Income (loss) from Ratios assuming no
investment operations Distributions to shareholders expense reductions
Net Ratio of Ratio of Ratio of
Net asset realized Net asset Net assets Ratio of net investment total net investment
value, Net and Total from From net From net value, at end net expenses income expenses income Portfolio
Year - Share beginning investment unrealized investment investment realized Total end of Total of year to average to average to average to average turnover
Class of period income(b) gain (loss) operations income gains distributions year return(c) (in 000s) net assets net assets net assets net assets rate
 
    FOR THE YEARS ENDED DECEMBER 31,
    2006 - Institutional   $ 15.53     $ 0.13     $ 2.39     $ 2.52     $ (0.16 )   $ (1.80 )   $ (1.96 )   $ 16.09       16.16 %   $ 1,673,896       0.86 %     0.80 %     0.87 %     0.79 %     57 %
    2006 - Service (a)     15.96       0.12       1.95       2.07       (0.14 )     (1.80 )     (1.94 )     16.09       12.91       273,903       0.96 (d)     0.72 (d)     1.12 (d)     0.56 (d)     57  
   
    2005 - Institutional     15.28       0.13       1.82       1.95       (0.10 )     (1.60 )     (1.70 )     15.53       12.83       1,430,814       0.87       0.83       0.87       0.83       53  
    2004 - Institutional     13.37       0.10       3.34       3.44       (0.09 )     (1.44 )     (1.53 )     15.28       25.88       917,151       0.88       0.67       0.88       0.67       72  
    2003 - Institutional     10.61       0.12       2.89       3.01       (0.11 )     (0.14 )     (0.25 )     13.37       28.39       577,923       0.91       1.02       0.91       1.02       64  
    2002 - Institutional     11.29       0.14       (0.67 )     (0.53 )     (0.12 )     (0.03 )     (0.15 )     10.61       (4.69 )     357,537       0.91       1.20       0.91       1.20       95  
   

(a)  Service Share Class commenced on January 9, 2006.
(b)  Calculated based on the average shares outstanding methodology.
(c)  Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than a full year are not annualized.
(d)  Annualized.

The accompanying notes are an integral part of these financial statements.

 
13

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

Notes to Financial Statements

December 31, 2006

1. ORGANIZATION

Goldman Sachs Variable Insurance Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs Mid Cap Value Fund (the “Fund” or “Mid Cap Value Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service.
     On January 9, 2006, pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) previously approved by the Trust’s Board of Trustees, substantially all of the assets, subject to liabilities, of the Select Value Opportunity Fund of the Allmerica Investment Trust (the “Allmerica Fund”), were transferred to the Mid Cap Value Fund in exchange for the Mid Cap Value Fund’s Service shares. Holders of shares of the Allmerica Fund received Service shares of the Mid Cap Value Fund in an amount equal to the aggregate net asset value of their investment in the Allmerica Fund as of the close of business on January 6, 2006. On the date of the exchange, the Mid Cap Value Fund began to offer Service shares. The exchange was a tax-free event to shareholders.
     Shares of the Trust may be purchased and held by separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Trust are not offered directly to the general public.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.

A. Investment Valuation — Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or are deemed not to reflect market value by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.

B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.

     Net investment income (other than class-specific expenses) and unrealized and realized gain or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.

C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense. Each class of shares of the Fund separately bears its respective class-specific Transfer Agency fees. Service Shares bear all expenses and fees relating to their Distribution and Service Plan.

D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years

 
14

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.
     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gain, or as a tax return of capital.
     In addition, distributions paid by the Fund’s investments in real estate investment trusts (“REIT”) often include a “return of capital” which is recorded by the Fund as a reduction of the cost basis of the securities held. The Code requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the distribution is deemed a return of capital and is generally not taxable to shareholders.

E. Segregation Transactions — As set forth in the prospectus, the Fund may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.

F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase them at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Fund may be delayed or limited and there may be a decline in the value of the collateral during the period while the Fund seeks to assert its rights. The underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated subcustodians under triparty repurchase agreements.

     Pursuant to exemptive relief granted by the Securities and Exchange Commission (the “SEC”) and terms and conditions contained therein, the Fund, together with other registered investment companies having management or investment advisory agreements with Goldman Sachs Asset Management, L.P. (“GSAM”), or its affiliates may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements.

G. Commission Recapture — The Fund may direct portfolio trades, subject to obtaining best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Fund as cash payments and are included in net realized gain (loss) on investments in the Statement of Operations.

3. AGREEMENTS

GSAM, an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as investment adviser pursuant to an Investment Management Agreement (the “Agreement”) with the Trust on behalf of the Fund. Under this Agreement, GSAM manages the Fund, subject to the general supervision of the Trust’s Board of Trustees.
     As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Fund’s business affairs, including providing facilities, GSAM is entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
 
15

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

3. AGREEMENTS (continued)

     GSAM has entered into a fee reduction commitment for the Fund which was implemented on a voluntary basis prior to April 28, 2006 and on a contractual basis as of April 28, 2006 to achieve the rates listed below:
         
Average Daily Net Assets Annual Rate
First $2 Billion
    0.80 %
Over $2 Billion
    0.72 %

     In connection with the reorganization of the Allmerica Fund into the Fund, GSAM has contractually agreed to reimburse the Fund as necessary to limit the total annual operating expenses of the Service Shares of the Fund to 0.99% until June 2007.

     GSAM has voluntarily agreed to limit certain “Other Expenses” of the Fund (excluding Management fees, Distribution and Service fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification costs, shareholder meeting and other extraordinary expenses exclusive of any expense offset arrangements) to the extent that such expenses exceed, on an annual basis, 0.054% of the average daily net assets of the Fund. Prior to January 9, 2006, the Other Expenses limitation for the Fund was 0.25%. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the year ended December 31, 2006, GSAM made no reimbursements to the Fund.
     In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction in the Fund’s expenses. For the year ended December 31, 2006, custody and transfer agent fees were reduced by approximately $22,700 and $101,700, respectively.
     Goldman Sachs also serves as the Transfer Agent of the Fund for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly equal to an annual rate of 0.04% of the average daily net assets of the Institutional and Service shares.
     The Trust has adopted, on behalf of the Service Shares of the Fund, a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs is entitled to a monthly fee for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. Goldman Sachs has voluntarily agreed to waive Distribution and Service fees for Service Shares so as not to exceed 0.10% of the Fund’s average daily net assets attributable to Service Shares. This waiver may be modified or terminated at any time at the option of Goldman Sachs. For the year ended December 31, 2006, Goldman Sachs waived approximately $413,200 in Distribution and Service fees for the Fund.
     At December 31, 2006, the amounts owed to affiliates were approximately $1,330,000, $23,500 and $66,500 for Management, Distribution and Service and Transfer Agent fees, respectively.

4. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long term securities for the year ended December 31, 2006, were $1,303,244,298 and $1,029,599,867, respectively. For the year ended December 31, 2006, Goldman Sachs earned approximately $53,900 of brokerage commissions from portfolio transactions executed on behalf of the Fund.

5. SECURITIES LENDING

Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Boston Global Advisers (“BGA”) — a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required
 
16

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

5. SECURITIES LENDING (continued)

collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund bears the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
     The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM receives an investment advisory fee of up to 0.10% of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests in high quality money market instruments. The Fund bears the risk of incurring a loss from the investment of cash collateral due to either credit or market factors. Both the Fund and BGA receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the year ended December 31, 2006, is reported parenthetically under Investment Income on the Statement of Operations. A portion of this amount, $11,688, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the year ended December 31, 2006, BGA earned approximately $11,300 in fees as securities lending agent. At December 31, 2006, the Fund loaned securities having a market value of $29,472,861 collateralized by cash in the amount of $30,547,475. The amount payable to Goldman Sachs upon return of securities loaned as of December 31, 2006 was $6,500,000.

6. LINE OF CREDIT FACILITY

The Fund participates in a $400,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAM. Under the most restrictive arrangement, the Fund must own securities having a market value in excess of 300% of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This committed facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. During the year ended December 31, 2006, the Fund did not have any borrowings under this facility.

7. TAX INFORMATION

The tax character of distributions paid during the fiscal years ended December 31, 2006 and December 31, 2005 was as follows:
                 
For the year ended December 31,
2006 2005
Distributions paid from:
               
Ordinary income
  $ 53,520,805     $ 38,750,746  
Net long-term capital gains
    158,067,660       99,630,838  
Total taxable distributions
  $ 211,588,465     $ 138,381,584  

     As of December 31, 2006, the components of accumulated earnings on a tax basis were as follows:

         
Undistributed ordinary income — net
  $ 10,220,134  
Undistributed long-term capital gains
    18,370,356  
Total undistributed earnings
  $ 28,590,490  
Timing differences (related to the recognition of certain REIT dividends for tax purposes)
    212,744  
Unrealized gains — net
    260,390,226  
Total accumulated earnings — net
  $ 289,193,460  
 
17

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

7. TAX INFORMATION (continued)

     At December 31, 2006, the Fund’s aggregate security unrealized gains and losses based on a cost for U.S. federal income tax purposes were as follows:

         
Tax cost
  $ 1,713,847,949  
Gross unrealized gain
    278,914,183  
Gross unrealized loss
    (18,523,957 )
Net unrealized security gain
  $ 260,390,226  

     The difference between book-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and return of capital distributions from underlying fund investments. The cumulative timing differences consist of deferred income distributions from underlying fund investments.

     In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified from accumulated net realized gain on investments transactions to undistributed net investment income and paid-in capital, $1,020,348 and $244,690, respectively. These reclassifications have no impact on the net asset value of the Fund. Reclassifications result primarily from dividend redesignations and previously deferred wash sales acquired in the reorganization with the Allmerica Fund.

8. OTHER MATTERS

Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds (including this Fund) and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The Fund, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the ”Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars. The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision. By agreement, the plaintiffs subsequently withdrew their appeal without prejudice but reserved their right to reactivate their appeal pending a decision by the circuit court of appeals in similar litigation.
     Based on currently available information, GSAM and GSAMI believe that the likelihood that the pending purported class action and derivative action lawsuit will have a material adverse financial impact on the Fund is remote, and the pending action is not likely to materially affect their ability to provide investment management services to their clients, including the Goldman Sachs Funds.

Merger and Reorganization — At a meeting held on July 12, 2005, the Board of Trustees of the Trust approved the Reorganization Agreement providing for the tax-free acquisition of the Allmerica Fund by the Mid Cap Value Fund.

 
18

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

8. OTHER MATTERS (continued)

Following the approval of the Board of Trustees and shareholders of the Allmerica Fund, the acquisition was completed on January 9, 2006, as of the close of business on January 6, 2006.
     Pursuant to the Agreement, the assets and liabilities of the Allmerica Fund Service Class were transferred into the Mid Cap Value Fund Service Class in a tax-free exchange as follows:
                         
Acquired Fund’s
Shares Outstanding
Exchanged Shares Value of as of January 6,
Survivor/Acquired Fund of Survivor Issued Exchanged Shares 2006
Mid Cap Value Fund Service Class/Allmerica Fund Service Class
    18,503,242     $ 295,311,746       179,590,581  

     The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation.

                                 
Survivor Fund’s Acquired Fund’s Survivor Fund’s
Aggregate Aggregate Aggregate
Net Assets Net Assets Acquired Fund’s Net Assets
before before Unrealized immediately
Survivor/Acquired Fund acquisition acquisition Appreciation after acquisition
Mid Cap Value Fund Service Class/Allmerica Fund Service Class
  $ 1,475,213,407     $ 295,311,746     $ 43,643,427     $ 1,770,525,153  

New Accounting Pronouncements — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. On December 22, 2006, the SEC delayed the implementation of this ruling such that it must be incorporated no later than the last day on which a NAV is calculated preceding the Fund’s 2007 semi-annual report. At this time, the investment adviser is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.

     On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 “Fair Value Measurement” (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations of an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. The investment adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financials statements, however, additional disclosures will be required.
 
19

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

9. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:
                                 
For the Year Ended For the Year Ended
December 31, 2006 December 31, 2005
Shares Dollars Shares Dollars
Institutional Shares
                                
Shares sold
    17,306,248     $ 282,619,040       27,827,100     $ 445,767,317  
Reinvestment of dividends and distributions
    11,255,950       182,008,711       8,956,843       138,381,584  
Shares repurchased
    (16,631,073 )     (271,002,028 )     (4,668,033 )     (74,634,247 )
   
      11,931,125       193,625,723       32,115,910       509,514,654  
Service Shares*
                               
Shares sold
    846,677       13,649,613       —       —  
Shares issued in connection with merger
    18,503,242       295,311,746       —       —  
Reinvestment of dividend and distributions
    1,828,165       29,579,704       —       —  
Shares repurchased
    (4,155,333 )     (68,526,716 )     —       —  
   
      17,022,751       270,014,347       —          
NET INCREASE
     28,953,876     $ 463,640,070       32,115,910     $ 509,514,654  

*  Service Share Class commenced on January 9, 2006.

 
20

 

Report of Independent Registered Public Accounting Firm

To the Shareholders of Goldman Sachs Mid Cap Value Fund and Board of Trustees
Goldman Sachs Variable Insurance Trust

We have audited the accompanying statement of assets and liabilities of Goldman Sachs Mid Cap Value Fund (one of the funds comprising the Goldman Sachs Variable Insurance Trust) ( the “Fund”), including the schedule of investments, as of December 31, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Goldman Sachs Mid Cap Value Fund at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

  (ERNST & YOUNG LLP)

New York, New York

February 14, 2007
 
21

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND

Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2006

            As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Service Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.  
 
            The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 through December 31, 2006.  
 
            Actual Expenses — The first line under each share class of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.  
 
            Hypothetical Example for Comparison Purposes — The second line under each share class of table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.  
 
            Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.  

                         
Expenses Paid
for the
Beginning Ending 6 months
Account Value Account Value ended
Share Class 7/1/06 12/31/06 12/31/06*
Institutional
                        
Actual
  $ 1,000     $ 1,109.50     $ 4.52  
Hypothetical 5% return
    1,000       1,020.92 +     4.33  
Service
                        
Actual
  $ 1,000     $ 1,108.30     $ 5.08  
Hypothetical 5% return
    1,000       1,020.39 +     4.87  

  *   Expenses are calculated using the Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.85% and 0.95% for Institutional and Service Shares, respectively.  
  +   Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.  

 
22

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

Trustees and Officers (Unaudited)

Independent Trustees
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
Ashok N. Bakhru
Age: 64		   Chairman of the Board of Trustees   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President — Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004); Trustee of the Walnut Street Theater (1992-2004 and 2006-Present); Trustee, Scholarship America (1998- 2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors — III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
John P. Coblentz, Jr.
Age: 65		   Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003).

Director, Emerging Markets Group, Ltd (2004-2006); Director, Elderhostel, Inc. (2006-Present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Patrick T. Harker
Age: 48		   Trustee   Since 2000   Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Mary P. McPherson
Age: 71		   Trustee   Since 1997   Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); Director, American School of Classical Studies in Athens (1997-Present); and Trustee, Emeriti Retirement Health Solutions (post-retirement medical insurance program for non-profit institutions) (Since 2005).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Richard P. Strubel
Age: 67		   Trustee   Since 1987   Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   Gildan Activewear Inc. (clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the internet); Northern Mutual Fund Complex (58 Portfolios).
 
23

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
 
 
Trustees and Officers (Unaudited) (continued)
Interested Trustee
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
*Alan A. Shuch
Age: 57		   Trustee   Since 1990   Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994- May 1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno.
2
The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997.
3
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
4
The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of December 31, 2006, the Trust consisted of 65 portfolios and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios, including the Fund described in this Annual Report.
5
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.

 
 
24

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND 

Officers of the Trust*

             
Term of
Office and
Position(s) Held Length of
Name, Age And Address With the Trust Time Served1 Principal Occupation(s) During Past 5 Years
Kaysie P. Uniacke
32 Old Slip
New York, NY 10005
Age: 45		   President   Since 2002   Managing Director, Goldman Sachs (1997-Present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (August 2001-December 2007).

President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).

Trustee — Gettysburg College.
James A. Fitzpatrick
71 South Wacker Drive
Suite 500
Chicago, IL 60606
Age: 46		   Vice President   Since 1997   Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).
James A. McNamara
32 Old Slip
New York, NY 10005
Age: 44		   Vice President   Since 2001   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004).
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 42		   Treasurer   Since 1997   Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer — Goldman Sachs Mutual Fund Complex (registered investment companies).
Peter V. Bonanno
32 Old Slip
New York, NY 10005
Age: 37		   Secretary   Since 2006   Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President Goldman Sachs (1999-2006); Assistant General Counsel, Goldman Sachs (1999-2002).

Secretary — Goldman Sachs Mutual Fund Complex (registered investment companies).
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.

Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)

       For the year ended December 31, 2006, 38.16% of the dividends paid from net investment company taxable income by the Mid Cap Value Fund qualifies for the dividends received deduction available to corporations.  
 
       Pursuant to Section 852 of the Internal Revenue Code, the Mid Cap Value Fund designates $158,067,660 as capital gain dividends paid during the year ended December 31, 2006.  

 
25

 

     
TRUSTEES
  OFFICERS
Ashok N. Bakhru, Chairman
   Kaysie P. Uniacke, President
John P. Coblentz, Jr.
  James A. Fitzpatrick, Vice President
Patrick T. Harker
  James A. McNamara, Vice President
Mary Patterson McPherson
  John M. Perlowski, Treasurer
Alan A. Shuch
  Peter V. Bonanno, Secretary
Richard P. Strubel
   
 
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent 		   
 
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
 
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.
 
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
    Toll Free (in U.S.): 800-292-4726
 
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: Mid Cap Value Fund.
 
 Copyright 2007 Goldman, Sachs & Co. All rights reserved.
 
VITMIDCAPAR/07-316    

 

Goldman
Sachs Variable Insurance Trust

GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005

 
International Equity Fund
 
Annual Report
December 31, 2006
 

 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust – International Equity Fund during the one-year reporting period that ended December 31, 2006.

Market Overview

Overall, the international equity markets generated strong results during the reporting period, as the Morgan Stanley Capital International (“MSCI”) Europe, Australasia, Far East (“EAFE”) Index (unhedged, with dividends reinvested) returned 26.86%. Early in the year, the international equity markets faced the steadily rising headwinds of continued strength in the euro and ongoing dollar weakness, rising U.S. interest rates, fears of a slowdown in global economic growth, worries about Iran and the impact of high oil prices, and concerns about increasing inflationary pressures. Following strong performance by international equities in the first four months of the year, higher-than-expected U.S. inflation data caused a spike in volatility in May. Solid U.S. economic data and the likelihood of another U.S. interest rate hike dominated the equities markets for the rest of the second quarter. However, underlying corporate fundamentals remained strong, with continued upgrades to aggregate earnings. The third quarter saw equities strengthen from their second quarter lows. Initial fears in July over the broader geopolitical impact of the conflict between Israel and Lebanon, which were reflected in the price of oil reaching a record high, soon abated and markets strengthened as investors re-appraised U.S. inflation and interest rate risk following the Federal Reserve Board’s decision to leave interest rates unchanged. In Europe, merger and acquisition activity and high levels of corporate liquidity helped to boost consumer confidence in the region.

A notable exception to the strong performance of international equities was Japan. Its market was relatively weak during the period as equities sold off following a sustained period of strength in 2005 and on concerns of the slowdown in global growth. Investors were also concerned by the end to the zero interest rate policy by the Bank of Japan, which occurred in the third quarter of 2006.

Investment Objective

The Fund seeks long-term capital appreciation.

Portfolio Composition

Top 10 Portfolio Holdings as of December 31, 2006*
                 
% of Line of
Holding Net Assets Business Country
Prudential PLC
    4.0 %   Insurance   United Kingdom
E.ON AG
    4.0     Electrical Utilities   Germany
Sumitomo Mitsui Financial Group, Inc.
    4.0     Banks   Japan
Vinci SA
    3.8     Construction & Engineering   France
Millea Holdings, Inc.
    3.7     Insurance   Japan
Esprit Holdings Ltd.
    3.3     Specialty Retail   Hong Kong
Svenska Cellulosa AB (SCA) Series B
    3.1     Paper & Forest Products   Sweden
Fuji Electric Holdings Co. Ltd.
    3.0     Electrical Equipment   Japan
Amvescap PLC
    3.0     Diversified Financials   United Kingdom
Vodafone Group PLC
    3.0     Wireless Telecommunication Services   United Kingdom

* Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.

 
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 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND
 
Shareholder Letter (continued)

Performance Review

Over the one-year period that ended December 31, 2006, the Fund’s Institutional Shares generated a cumulative total return of 22.10%. This return compares to the 26.86% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (“MSCI”) Europe, Australasia and Far East (“EAFE”) Index (unhedged, with dividends reinvested), over the same time period. For the period from the inception of the Service Class on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative total return of 15.74%. This return compares to the 20.84% cumulative total return of the Fund’s benchmark over the same time period.

During the 12-month reporting period, the Fund’s underperformance was driven primarily by weak stock selection, particularly within the Consumer Discretionary, Materials and Telecommunication Services sectors. This was partially offset by strong stock selection within the Healthcare and Energy sectors. Within the Consumer Discretionary sector, Techtronic Industries, as described below, was a leading detractor from relative performance. Within the Materials sector, our position in Taiheiyo Cement hurt performance as the market became concerned about a slower-than-expected cement price increase. In the Telecommunications Services, Fastweb, the second largest broadband services provider in Italy, hurt relative performance on the back of general weakness in the Italian market following the country’s elections. In addition, the company reported slightly weaker-than-expected second quarter results.

Techtronic Industries Co., Ltd. a manufacturer of outdoor power equipment and floor care appliances, detracted from the Fund’s performance over the period. During the first quarter of 2006, the company issued a profit warning following higher restructuring and financing charges and a sharp drop in fourth quarter sales when key customer Home Depot unilaterally changed its inventory holding period from 36 weeks to 18. This prompted earnings downgrades from sell-side analysts. The stock, as well as the Hang Seng Index, fell further amid continued concern that further measures to slow China’s economy may dent earnings growth. In the fourth quarter, weaker-than-expected U.S. housing sales in October, coupled with a weak set of results by Home Depot, continued to have a negative influence on the company’s share price. We continue to like the company as a result of its transformation from a pure original equipment manufacturer (OEM) to a manufacturer of world class branded power tools and home appliances. This occurred through timely acquisitions in recent years. The company has also been increasing market share through growth into different segments of the product market and is a beneficiary of the global outsourcing trend to Asia. We believe in the fundamentals of Techtronic Industries and in the execution ability of the management and continue to hold the stock.

Credit Saison Co. Ltd., Japan’s third largest credit card operator, also detracted from relative performance during the period. Its shares were weak as the government excluded most of the exemptions in the lending interest rate limits imbedded in the new financial law proposal for the unsecured lending sector. The maximum lending interest rate will be lowered in practical terms from the expected 20% to 18%, which means an additional downgrade to the company’s earnings forecast. The law has now been approved and all companies, including Credit Saison, will have three years to comply with the new limits. We take confidence in Credit Saison’s core card business, which continues to report healthy growth. Additionally, we believe that the bad news is now behind the company and that the impact on earnings has been fully taken into account by the market. We took the opportunity to add to the Fund’s position on the share price weakness.

Schering, the German global pharmaceutical company, was the leading contributor to performance during the period after receiving two takeover bids. First, German pharmaceutical company Merck made an offer of €77 per share, but the bid was rejected by Schering’s management. Drug and chemical giant Bayer then stepped in with a €16.3bn bid, equivalent to €86 per share. However, to win over Schering’s management, Bayer raised its bid to €17bn, securing the deal, acquiring 92.4% of shares and creating the world’s twelfth-largest pharmaceutical company. We subsequently sold out of our position as the shares reached our target price.

 
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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 

Serono, a leading biotech company, also contributed to performance during the period. Its shares rallied almost 20% after German drug-maker Merck KGaA made a surprise 16.6 billion Swiss franc bid for Serono. In an agreement with Serono’s founding Bertarelli family, Merck will take a 64.5% stake in the company. The deal is the latest in a string of acquisitions among mid-sized drug firms, which are struggling to compete against industry giants such as Pfizer and GlaxoSmithKline. We sold the holding based on the offer and exited the Fund’s position.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs International Equity Portfolio Management Team

January 12, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) International Equity Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT International Equity Fund invests in equity investments in companies that are organized outside the United States or whose securities are principally traded outside the United States and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. Foreign and emerging market securities may be more volatile than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all.

 
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 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND
 

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value as of December 31, 2006, of a $10,000 investment made on January 12, 1998 (commencement of operations) in the Institutional Class Shares. For comparative purposes, the performance of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index (“MSCI EAFE Index”) (unhedged with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. Performance of Service Class Shares will vary from Institutional Class Shares due to differences in fees. In addition to the investment adviser’s decisions regarding issuer/ industry/ country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a Fund.

International Equity Fund’s Lifetime Performance

Performance of a $10,000 investment, Distributions Reinvested from January 12, 1998 to December 31, 2006.

(PERFORMANCE GRAPH)

                             
Since Inception Five Years One Year
Average Annual Total Return Through December 31, 2006
Institutional Class (commenced January 12, 1998)
     7.18%       11.75%       22.10%      
Service Class (commenced January 9, 2006)
     15.74% *     n/a       n/a      

*  Total returns for periods of less than one year represents cumulative total return.

 
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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 
 

Schedule of Investments

December 31, 2006
                     
Shares Description Value
   
Common Stocks – 99.7%
    Australia – 2.4%
      1,833,616     Alumina Ltd. (Metals & Mining)   $ 9,153,968  
   
    Belgium – 2.1%
      120,187     UCB SA (Pharmaceuticals)     8,236,387  
   
    Brazil – 1.8%
      205,006     Tim Participacoes SA ADR (Wireless Telecommunication Services)     7,097,308  
   
    France – 9.7%
      87,951     Sanofi-Aventis (Pharmaceuticals)     8,109,173  
      98,291     Technip SA(a) (Energy Equipment & Services)     6,742,025  
      111,844     Total SA(a) (Oil & Gas)     8,048,031  
      115,774     Vinci SA (Construction & Engineering)     14,755,636  
                 
 
                  37,654,865  
   
    Germany – 8.3%
      534,250     Deutsche Telekom AG (Diversified Telecommunication Services)     9,710,035  
      114,649     E.ON AG (Electrical Utilities)     15,482,753  
      68,830     Merck KGaA (Pharmaceuticals)     7,126,086  
                 
 
                  32,318,874  
   
    Hong Kong – 7.4%
      1,147,500     Esprit Holdings Ltd. (Specialty Retail)     12,810,813  
      14,582,000     Industrial and Commercial Bank of China* (Banks)     9,092,308  
      5,102,000     Techtronic Industries Co. Ltd. (Machinery)     6,582,713  
                 
 
                  28,485,834  
   
    Italy – 2.0%
      878,007     UniCredito Italiano SpA (Banks)     7,675,323  
   
    Japan – 19.1%
      229,800     Alpen Co. Ltd.(a) (Leisure Equipment & Products)     6,545,683  
      237,600     Credit Saison Co. Ltd. (Diversified Financials)     8,161,824  
      2,175,000     Fuji Electric Holdings Co. Ltd. (Electrical Equipment)     11,773,470  
      1,079,000     Hitachi Metals Ltd. (Metals & Mining)     11,444,868  
      401,700     Millea Holdings, Inc. (Insurance)     14,227,522  
      1,511     Sumitomo Mitsui Financial Group, Inc. (Banks)     15,470,415  
      145,300     Union Tool Co.(a) (Machinery)     6,530,220  
                 
 
                  74,154,002  
   
    Mexico – 2.3%
      76,800     Fomento Economico Mexicano SA de CV ADR (Beverages)     8,890,368  
   
    Netherlands – 5.5%
      241,552     ING Groep NV (Diversified Financials)     10,673,785  
      247,748     TNT NV (Air Freight & Couriers)     10,650,214  
                 
 
                  21,323,999  
   
    Norway – 2.1%
      581,125     ProSafe ASA(a) (Energy Equipment & Services)     8,223,567  
   
    Russia – 2.0%
      89,064     LUKOIL ADR London Shares
(Oil & Gas) 		    7,728,404  
      875     LUKOIL ADR U.S. Shares
(Oil & Gas) 		    77,446  
                 
 
                  7,805,850  
   
    South Africa – 2.3%
      2,822,500     FirstRand Ltd. (Banks)     8,905,739  
   
    South Korea – 4.5%
      153,050     LG Chem Ltd. (Chemicals)     7,067,683  
      300     Samsung Electronics Co. Ltd. GDR London Shares(b) (Electronic Equipment & Instruments)     98,357  
      21,500     Samsung Electronics Co. Ltd. GDR Preferred Shares(b) (Electronic Equipment & Instruments)     5,444,875  
      14,760     Samsung Electronics Co. Ltd. GDR U.S. Shares(b) (Electronic Equipment & Instruments)     4,839,160  
                 
 
                  17,450,075  
   
    Spain – 4.4%
      304,101     Banco Bilbao Vizcaya Argentaria SA (Banks)     7,306,212  
      391,312     Indra Sistemas SA* (IT Consulting & Services)     9,588,394  
                 
 
                  16,894,606  
   
    Sweden – 3.1%
      233,243     Svenska Cellulosa AB (SCA) Series B (Paper & Forest Products)     12,153,903  
   
    Switzerland – 3.1%
      120,903     Credit Suisse Group (Banks)     8,429,106  
      10,440     Nestle SA (Food Products)     3,703,142  
                 
 
                  12,132,248  
   
 
The accompanying notes are an integral part of these financial statements.

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 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND
 
Schedule of Investments (continued)
December 31, 2006
                     
Shares Description Value
   
Common Stocks – (continued)
    Taiwan – 1.9%
      682,340     Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductor Equipment & Products)   $ 7,457,974  
   
    United Kingdom – 15.7%
      999,030     Amvescap PLC (Diversified Financials)     11,652,478  
      1,341,970     Bodycote International PLC (Machinery)     5,985,429  
      884,171     Catlin Group Ltd. (Insurance)     8,890,274  
      2,103,869     Old Mutual PLC (Insurance)     7,160,450  
      1,141,645     Prudential PLC (Insurance)     15,597,516  
      4,169,049     Vodafone Group PLC (Wireless Telecommunication Services)     11,513,636  
                 
 
                  60,799,783  
   
    TOTAL COMMON STOCKS
    (Cost $340,227,044)   $ 386,814,673  
   
                             
Principal Interest Maturity
Amount Rate Date Value
   
Short-Term Obligation – 0.2%
    State Street Bank & Trust Euro — Time Deposit
    $ 773,000       4.850 %   01/02/07     $773,000  
    (Cost $773,000)        
   
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL
    (Cost $341,000,044)     $387,587,673  
   
                     
Shares Description Value
   
Securities Lending Collateral – 6.9%
      26,842,309     Boston Global Investment Trust – Enhanced Portfolio   $ 26,842,309  
    (Cost $26,842,309)        
   
    TOTAL INVESTMENTS — 106.8%
    (Cost $367,842,353)   $ 414,429,982  
   
    LIABILITIES IN EXCESS OF
OTHER ASSETS — (6.8)%		     (26,383,659 )
   
    NET ASSETS — 100.0%   $ 388,046,323  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * Non-income producing security.
 
 (a) All or a portion of security is on loan.
 
 (b) Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $10,382,392, which represents approximately 2.7% of net assets as of December 31, 2006.
             
   
    Investment Abbreviations:
    ADR   —   American Depositary Receipt
    GDR   —   Global Depository Receipt
   
             
As a % of
Net Assets
   
Investments Industry Classifications†
    Air Freight & Couriers     2.7 %
    Banks     14.7  
    Beverages     2.3  
    Chemicals     1.8  
    Construction & Engineering     3.8  
    Diversified Financials     7.9  
    Diversified Telecommunication Services     2.5  
    Electrical Equipment     3.0  
    Electrical Utilities     4.0  
    Electronic Equipment & Instruments     2.6  
    Energy Equipment & Services     3.9  
    Food Products     1.0  
    Insurance     11.8  
    IT Consulting & Services     2.5  
    Leisure Equipment & Products     1.7  
    Machinery     4.9  
    Metals & Mining     5.3  
    Oil & Gas     4.1  
    Paper & Forest Products     3.1  
    Pharmaceuticals     6.0  
    Semiconductor Equipment & Products     2.0  
    Short-term Investments*     7.1  
    Specialty Retail     3.3  
    Wireless Telecommunication Services     4.8  
   
    TOTAL     106.8 %
   

 †     Industry concentrations greater than one-tenth of one percent are disclosed.
 
 *    Short-term investments include securities lending collateral.

 
The accompanying notes are an integral part of these financial statements.

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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 
 

Statement of Assets and Liabilities

December 31, 2006
               
    Assets:
   
Investment in securities, at value (identified cost $341,000,044) — including $25,717,484 of securities on loan
  $ 387,587,673  
   
Securities lending collateral, at value (identified cost $26,842,309)
    26,842,309  
   
Cash
    31,040  
   
Foreign currencies, at value (identified cost $305,624)
    307,237  
   
Receivables:
       
     
Dividends and interest, at value
    933,801  
     
Fund shares sold
    68,002  
     
Securities lending income
    35,725  
   
   
Total assets
     415,805,787  
   
    Liabilities:
   
Payables:
       
     
Payable upon return of securities loaned
    26,842,309  
     
Fund shares repurchased
    380,965  
     
Amounts owed to affiliates
    348,104  
   
Accrued expenses
    188,086  
   
   
Total liabilities
     27,759,464  
   
    Net Assets:
   
Paid-in capital
    367,502,691  
   
Accumulated undistributed net investment income
    577,204  
   
Accumulated net realized loss on investment and foreign currency related transactions
    (26,629,685 )
   
Net unrealized gain on investments and translation of assets and liabilities denominated in foreign currencies
    46,596,113  
   
   
NET ASSETS
   $ 388,046,323  
   
   
Net Assets:
       
     
Institutional
    127,795,609  
     
Service
    260,250,714  
   
   
Shares Outstanding:
       
     
Institutional
    8,821,852  
     
Service
    17,965,524  
   
   
Total shares of beneficial interest outstanding, $0.001 par value (unlimited shares authorized)
    26,787,376  
   
   
Net asset value, offering and redemption price per share:
       
     
Institutional
  $ 14.49  
     
Service
    14.49  
   
 
The accompanying notes are an integral part of these financial statements.

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 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND
 

Statement of Operations

For the Year Ended December 31, 2006
               
    Investment income:
   
Dividends(a)
  $ 10,166,091  
   
Interest (including securities lending income of $375,350)
    485,156  
   
   
Total income
     10,651,247  
   
    Expenses:
   
Management fees
    3,767,244  
   
Distribution and Service fees
    644,653  
   
Custody and accounting fees
    270,281  
   
Transfer agent fees(b)
    150,690  
   
Printing fees
    110,733  
   
Professional fees
    56,817  
   
Trustee fees
    15,083  
   
Registration fees
    1,269  
   
Other
    3,004  
   
   
Total expenses
     5,019,774  
   
   
Less — expense reductions
    (632,374 )
   
   
Net expenses
     4,387,400  
   
   
NET INVESTMENT INCOME
     6,263,847  
   
    Realized and unrealized gain (loss) on investment and foreign currency transactions:
   
Net realized gain from:
       
     
Investment transactions
    102,768,623  
     
Foreign currency related transactions
    8,569  
   
Net change in unrealized gain (loss) on:
       
     
Investments
    (49,062,267 )
     
Translation of assets and liabilities denominated in foreign currencies
    9,670  
   
   
Net realized and unrealized gain on investment and foreign currency transactions
     53,724,595  
   
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
   $ 59,988,442  
   

(a)  Foreign taxes withheld on dividends were $884,109.
(b)  Institutional and Service Class had Transfer Agent fees of $47,355 and $103,335, respectively.

 
The accompanying notes are an integral part of these financial statements.

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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 
 

Statements of Changes in Net Assets

                       
For the For the
Year Ended Year Ended
December 31, 2006 December 31, 2005
    From operations:
   
Net investment income
  $ 6,263,847     $ 837,993  
   
Net realized gain on investment, futures and foreign currency related transactions
    102,777,192       10,843,633  
   
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies
    (49,052,597 )     1,862,289  
   
   
Net increase in net assets resulting from operations
     59,988,442       13,543,915  
   
    Distributions to shareholders:
   
From net investment income
               
     
Institutional
    (1,941,306 )     (326,535 )
     
Service*
    (3,906,762 )     —  
   
   
Total distributions to shareholders
     (5,848,068 )     (326,535 )
   
    From capital transactions:
   
Proceeds from sales of shares
    9,861,496       7,590,092  
   
Proceeds received in connection with merger
    301,195,995       —  
   
Reinvestment of dividends and distributions
    5,848,063       326,450  
   
Cost of shares repurchased
    (93,816,913 )     (20,358,779 )
   
   
Net increase (decrease) in net assets resulting from share transactions
     223,088,641       (12,441,231 )
   
   
Payment from previous investment manager of merged fund
    1,418,133       —  
   
   
Net increase (decrease) in net assets resulting from capital transactions
     224,506,774       (12,442,237 )
   
   
TOTAL INCREASE
     278,647,148       775,143  
   
    Net assets:
   
Beginning of year
    109,399,175       108,624,032  
   
   
End of year
  $ 388,046,323     $ 109,399,175  
   
   
Accumulated undistributed net investment income
   $ 577,204     $ —  
   

  *  Service Share Class commenced on January 9, 2006.

 
The accompanying notes are an integral part of these financial statements.

9

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                 
Income (loss) from Ratios assuming no
investment operations expense reductions
Net Distributions Ratio of Ratio of
Net asset realized to shareholders Net asset Net assets, Ratio of net investment total Ratio of
value, Net and Total from from net value, end of net expenses income to expenses net investment Portfolio
Year - Share beginning investment unrealized investment investment end of Total year to average average to average income (loss) to turnover
Class of period income(b) gain (loss) operations income year return(c) (in 000s) net assets net assets net assets average net assets rate
 
    FOR THE YEARS ENDED DECEMBER 31,
    2006 -  Institutional   $ 12.05     $ 0.22     $ 2.44 (e)   $ 2.66     $ (0.22 )   $ 14.49       22.10 % (f)   $ 127,795       1.15 %     1.64 %     1.16 %     1.63 %     76 %    
    2006 -  Service(a)     12.71       0.22       1.78 (e)     2.00       (0.22 )     14.49       15.74(f )     260,251       1.17 (d)     1.68 (d)     1.41 (d)     1.44 (d)     76      
   
    2005 -  Institutional     10.62       0.09       1.38       1.47       (0.04 )     12.05       13.70       109,399       1.20       0.81       1.36       0.66       56      
    2004 -  Institutional     9.48       0.07       1.18       1.25       (0.11 )     10.62       13.48       108,624       1.20       0.75       1.35       0.60       63      
    2003 -  Institutional     7.25       0.04       2.53       2.57       (0.34 )     9.48       35.49       106,792       1.37       0.49       2.60       (0.74 )     49      
    2002 -  Institutional     8.99       0.03       (1.68 )     (1.65 )     (0.09 )     7.25       (18.34 )     13,214       1.46       0.32       2.96       (1.18 )     86      
   

(a)  Service Share Class commenced on January 9, 2006.
(b)  Calculated based on the average shares outstanding methodology.
(c)  Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. Total returns for periods less than a full year are not annualized.
(d)  Annualized.
(e)  Reflects an increase of $0.05 due to payments by previous investment manager of a merged fund to compensate for possible adverse affects of the trading activity by certain contract holders of the acquired fund prior to January 9, 2006.
(f)  Performance has not been restated to reflect the impact of payments by previous investment manager of a merged fund recorded during the period related to (e) above. If reinstated, the performance would have been 21.69% and 15.26% for Institutional and Service Shares, respectively.

The accompanying notes are an integral part of these financial statements.

 
10

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 

Notes to Financial Statements

December 31, 2006

1. ORGANIZATION

Goldman Sachs Variable Insurance Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The Trust includes the Goldman Sachs International Equity Fund (the “Fund” or “International Equity Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service.
     On January 9, 2006, pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) previously approved by the Trust’s Board of Trustees, substantially all of the assets, subject to liabilities, of the Select International Equity Fund of the Allmerica Investment Trust (the “Allmerica Fund”), were transferred to the International Equity Fund in exchange for the International Equity Fund’s Service shares. Holders of shares of the Allmerica Fund received Service shares of the International Equity Fund in an amount equal to the aggregate net asset value of their investment in the Allmerica Fund as of the close of business on January 6, 2006. On the date of the exchange, the International Equity Fund began to offer Service shares. The exchange was a tax-free event to shareholders.
     Shares of the Trust may be purchased and held by separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Trust are not offered directly to the general public.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Fund. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.

A. Investment Valuation — Investments in equity securities traded on a foreign securities exchange are valued daily at fair value determined by an independent service (if available) under valuation procedures approved by the Board of Trustees consistent with applicable regulatory guidance. The independent service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates.

     Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system or for investments in securities traded on a foreign securities exchange for which an independent service is not available are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If no sale occurs, such securities are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer supplied valuations or matrix pricing systems. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or deemed not to reflect market value by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.
     Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, delayed settlements, and their prices may be more volatile than those of comparable securities in the United States.
 
11

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified-cost basis. Dividend income is recorded on the ex-dividend date, net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Fund, where applicable. Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.
     Net investment income (other than class-specific expenses) and unrealized and realized gain or losses are allocated daily to each class of shares of the Fund based upon the relative proportion of net assets of each class.
     In addition, it is the Fund’s policy to accrue for estimated capital gains taxes on foreign securities held by the Fund which are subject to such taxes.

C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Fund on a straight-line and/or “pro-rata” basis depending upon the nature of the expense. Each class of shares of the Fund separately bears its respective class-specific Transfer Agency fees. Service Shares bear all expenses and fees relating to their Distribution and Service Plan.

D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid annually. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.

     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Fund’s distributions may be shown in the accompanying financial statements as either from net investment income or net realized gain, or as a tax return of capital.

E. Foreign Currency Translations — The books and records of the Fund are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.

     Net realized and unrealized gain (loss) on foreign currency transactions will represent: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) gains and losses from the sale of investments (applicable to fixed income securities); (iii) currency gains and losses between trade date and settlement date on investment securities transactions and forward exchange contracts; and (iv) gains and losses from the difference between amounts of interest, dividends and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on securities and derivative instruments are not segregated in the Statements of Operations from the effects of changes in market prices of those securities and derivative instruments, but are included with the net realized and unrealized gain (loss) on securities and derivative instruments. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases and decreases in unrealized gain (loss) on foreign currency related transactions.
 
12

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
F. Forward Foreign Currency Exchange Contracts — The Fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Fund may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Fund’s financial statements. The Fund records realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
     The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.

G. Segregation Transactions — As set forth in the prospectus, the Fund may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Fund is required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.

3. AGREEMENTS

Pursuant to the Investment Management Agreement (the “Agreement”), Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), serves as the investment adviser to the Fund. Under this Agreement, GSAMI manages the Fund subject to the general supervision of the Trust’s Board of Trustees.
     As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Fund’s business affairs, including providing facilities, GSAMI is entitled to a fee (“Management fee”) computed daily and payable monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
     GSAMI has entered into a fee reduction commitment for the Fund which was implemented on a voluntary basis prior to April 28, 2006 and on a contractual basis as of April 28, 2006 to achieve the rates listed below:
         
Average Daily Net Assets Annual Rate
First $1 Billion
    1.00 %
Next $1 Billion
    0.90 %
Over $2 Billion
    0.86 %

     In connection with the reorganization of the Allmerica Equity Fund into the Fund, GSAMI has contractually agreed to reimburse the Fund as necessary to limit the total annual operating expenses of the Services Shares of the Fund to 1.22% until June 2007.

     GSAMI has contractually agreed to limit certain “Other Expenses” (excluding Management fees, Distribution and Service fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification cost, shareholder meeting and other extraordinary expenses exclusive of any expense offset arrangements) to the extent that such expenses exceed, on an annual basis, 0.164% of the average daily net assets of the Fund. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAMI for prior fiscal year expense reimbursements, if any. For the year ended December 31, 2006, GSAMI made no reimbursements to the Fund.
 
13

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND
 
3. AGREEMENTS (continued)
     In addition, the Fund has entered into certain offset arrangements with the custodian and transfer agent resulting in a reduction in the Fund’s expenses. For the year ended December 31, 2006, custody and transfer agent fees were reduced by approximately $23,700 and $15,700, respectively.
     Goldman Sachs also serves as the Transfer Agent of the Fund for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly equal to an annual rate of 0.04% of the average daily net assets of the Institutional and Service shares.
     The Trust has adopted, on behalf of Service Shares of the Fund, a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs is entitled to a monthly fee for distribution services equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. Goldman Sachs has voluntarily agreed to waive Distribution and Service fees for Service Shares so as not to exceed 0.02% of the Fund’s average daily net assets attributable to Service Shares. These waivers may be modified or terminated at any time at the option of Goldman Sachs. For year ended December 31, 2006, Goldman Sachs waived approximately $593,000 in Distribution and Service fees for the Fund.
     At December 31, 2006, the amounts owed to affiliates were approximately $330,500, $4,400 and $13,200 for Management, Distribution and Service, and Transfer Agent fees, respectively.

4. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long term securities for the year ended December 31, 2006, were $455,268,276 and $275,092,599, respectively. For the year ended December 31, 2006, Goldman Sachs earned approximately $12,400 of brokerage commissions from portfolio transactions executed on behalf of the Fund.

5. SECURITIES LENDING

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Boston Global Advisers (“BGA”) — a wholly owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund bears the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
     The Fund invests the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM receives an investment advisory fee of up to 0.10% of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests in high quality money market instruments. The Fund bears the risk of incurring a loss from the investment of cash collateral due to either credit or market factors. Both the Fund and BGA receive compensation relating to the lending of the Fund’s securities. The amount earned by the Fund for the year ended December 31, 2006, is reported parenthetically under Investment Income on the Statement of Operations. A portion of this amount, $129,702, represents compensation earned by the Fund from lending its securities to Goldman Sachs. For the year ended December 31, 2006, BGA earned approximately $61,000 in fees as securities lending agent. At December 31, 2006, the Fund loaned securities having a market value of $25,717,484 collateralized by cash in the amount of $26,842,309. The amount payable to Goldman Sachs upon return of securities loaned as of December 31, 2006 was $3,950,000.
 
14

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 

6. LINE OF CREDIT FACILITY

The Fund participates in a $400,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAMI. Under the most restrictive arrangement, the Fund must own securities having a market value in excess of 300% of the total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This committed facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. During the year ended December 31, 2006, the Fund did not have any borrowings under this facility.

7. TAX INFORMATION

The tax character of distributions paid during the fiscal years ended December 31, 2006 and December 31, 2005 was as follows:
                 
For the year ended December 31,
2006 2005
Distributions paid from:
               
Ordinary income
  $ 5,848,068     $ 326,535  
Total taxable distributions
  $ 5,848,068     $ 326,535  

     As of December 31, 2006, the components of accumulated earnings (losses) on a tax basis were as follows:

           
Undistributed ordinary income — net
  $ 577,204  
Capital loss carryforward:(1)(2)
       
 
Expiring 2007
    (2,072,911 )
 
Expiring 2008
    (2,072,911 )
 
Expiring 2009
    (11,410,092 )
 
Expiring 2010
    (10,254,170 )
 
Expiring 2011
    (609,034 )
Total capital loss carryforward
  $ (26,419,118 )
Unrealized gains — net
    46,385,546  
Total accumulated earnings — net
  $ 20,543,632  

(1)  Expiration occurs on December 31 of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code.
(2)  During the year ended December 31, 2006, the Fund utilized $98,762,962 of capital loss carryforwards.

 
15

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND
 
7. TAX INFORMATION (continued)
     At December 31, 2006, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
         
Tax cost
  $ 368,052,920  
Gross unrealized gain
    57,620,050  
Gross unrealized loss
    (11,242,988 )
Net unrealized security gain
  $ 46,377,062  
Net unrealized gain on other investments
    8,484  
Net unrealized gain
  $ 46,385,546  

     The difference between book-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales.

     In order to present certain components of the Fund’s capital accounts on a tax basis, the Fund has reclassified $161,425 and $85,526,013, respectively from accumulated net realized loss on investments to accumulated undistributed net investment income and paid-in capital. This reclassification has no impact on the net asset value of the Fund. Reclassifications result primarily from available capital loss carry forwards and previously deferred wash sales acquired in the reorganization with the Allmerica Fund.

8. OTHER MATTERS

Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds (including this Fund) and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”) Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. The Fund, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars. The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision. By agreement, the plaintiffs subsequently withdrew their appeal without prejudice but reserved their right to reactivate their appeal pending a decision by the circuit court of appeals in similar litigation.
     Based on currently available information, GSAM and GSAMI believe that the likelihood that the pending purported class action and derivative action lawsuit will have a material adverse financial impact on the Fund is remote, and the pending action is not likely to materially affect their ability to provide investment management services to their clients, including the Goldman Sachs Funds.
 
16

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 
 
8. OTHER MATTERS (continued)
Mergers and Reorganizations — At a meeting held on July 12, 2005, the Board of Trustees of the Trust approved the Reorganization Agreement providing for the tax-free acquisition of the Allmerica Fund by the International Equity Fund. Following the approval of the Board of Trustees and shareholders of the Allmerica Fund, the acquisition was completed on January 9, 2006, as of the close of business on January 6, 2006.
     Pursuant to the Agreement, the assets and liabilities of the Allmerica Fund Service Class were transferred into the International Equity Fund Service Class in a tax-free exchange as follows:
                         
Acquired Fund’s
Exchanged Shares Value of Shares Outstanding
Survivor/Acquired Fund of Survivor Issued Exchanged Shares as of January 6, 2006
International Equity Fund Service Class/Allmerica Fund Service Class
    23,697,561     $ 301,195,995       208,893,793  

     The following chart shows the Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized appreciation.

                                         
Survivor Fund’s Acquired Fund’s Survivor Fund’s
Aggregate Aggregate Aggregate
Net Assets Net Assets Acquired Fund’s Acquired Fund’s Net Assets
Before Before Unrealized Capital Loss immediately
Survivor/Acquired Fund acquisition acquisition Appreciation Carryforward after acquisition
International Equity Service Class/Allmerica Fund Service Class
  $ 115,286,200     $ 301,195,995     $ 74,115,402     $ (86,962,722 )   $ 416,482,195  

     During the year ended December 31, 2006, Allmerica Financial Life Insurance and Annuity Company and First Allmerica Financial Life Insurance Company (affiliates of the acquired fund) made voluntary contributions in the amounts of $437,534 and $980,599, respectively, to compensate for possible adverse effects of trading activity by certain contract holders on the acquired fund prior to the merger on January 9, 2006.

New Accounting Pronouncements — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. On December 22, 2006, the SEC delayed the implementation of this ruling such that it must be incorporated no later than the last day on which a NAV is calculated preceding the Fund’s 2007 semi-annual report. At this time, the investment adviser is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.

 
17

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND
 
8. OTHER MATTERS (continued)
     On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 “Fair Value Measurement” (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations of an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. The investment adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financials statements, however, additional disclosures will be required.
 
18

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 

9. SUMMARY OF SHARE TRANSACTIONS

Share activity is as follows:
                                 
For the Year Ended For the Year Ended
December 31, 2006 December 31, 2005
Shares Dollars Shares Dollars
Institutional Shares
                                
Shares sold
    638,762     $ 8,349,938       693,983     $ 7,590,092  
Reinvestment of dividends and distributions
    134,439       1,941,303       27,664       326,450  
Shares repurchased
    (1,028,308 )     (13,597,512 )     (1,868,842 )     (20,358,779 )
   
      (255,107 )     (3,306,271 )     (1,147,195 )     (12,442,237 )
Service Shares*
                                
Shares sold
    118,203       1,511,558       —       —  
Shares issued in connection with merger
    23,697,561       301,195,995       —       —  
Reinvestment of dividend and distributions
    270,551       3,906,760       —       —  
Shares repurchased
    (6,120,791 )     (80,219,401 )     —       —  
   
      17,965,524       226,394,912                  
NET INCREASE (DECREASE)
     17,710,417     $ 223,088,641       (1,147,195 )   $ (12,442,237 )

*  Service Share Class commenced on January 9, 2006.

 
19

 

Report of Independent Registered Public Accounting Firm

To the Shareholders of Goldman Sachs International Equity Fund and Board of Trustees
Goldman Sachs Variable Insurance Trust

We have audited the accompanying statement of assets and liabilities of Goldman Sachs International Equity Fund (one of the funds comprising the Goldman Sachs Variable Insurance Trust) (the “Fund”), including the schedule of investments, as of December 31, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Goldman Sachs International Equity Fund at December 31, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

  (ERNST & YOUNG LLP)

New York, New York

February 14, 2007
 
20

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 

International Equity Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2006

            As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Service Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.  
 
            The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 through December 31, 2006.  
 
            Actual Expenses — The first line under each share class of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.  
 
            Hypothetical Example for Comparison Purposes — The second line under each share class of table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.  
 
            Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges (loads), redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.  

                         
Expenses Paid
for the
Beginning Ending 6 months
Account Value Account Value ended
Share Class 7/1/06 12/31/06 12/31/06*
Institutional
                        
Actual
  $ 1,000     $ 1,156.70     $ 6.33  
Hypothetical 5% return
    1,000       1,019.34 +     5.93  
Service
                        
Actual
  $ 1,000     $ 1,156.50     $ 6.45  
Hypothetical 5% return
    1,000       1,019.23 +     6.04  

  *   Expenses are calculated using the Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2006. Expenses are calculated by multiplying the annualized expense ratio by the average account value for such period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 1.16% and 1.18% for Institutional and Service Shares, respectively.  
  +   Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses.  

 
21

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND

Trustees and Officers (Unaudited)

Independent Trustees
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
Ashok N. Bakhru
Age: 64		   Chairman of the Board of Trustees   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President — Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004); Trustee of the Walnut Street Theater (1992-2004 and 2006-Present); Trustee, Scholarship America (1998- 2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors — III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
John P. Coblentz, Jr.
Age: 65		   Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003).

Director, Emerging Markets Group, Ltd (2004-2006); Director, Elderhostel, Inc. (2006-present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Patrick T. Harker
Age: 48		   Trustee   Since 2000   Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Mary P. McPherson
Age: 71		   Trustee   Since 1997   Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); Director, American School of Classical Studies in Athens (1997-Present); and Trustee, Emeriti Retirement Health Solutions (post-retirement medical insurance program for non-profit institutions) (Since 2005).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Richard P. Strubel
Age: 67		   Trustee   Since 1987   Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   Gildan Activewear Inc. (clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the internet); Northern Mutual Fund Complex (58 Portfolios).
 
22

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 

Trustees and Officers (Unaudited) (continued)

Interested Trustee
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
*Alan A. Shuch
Age: 57		   Trustee   Since 1990   Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994- May 1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno.
2
The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997.
3
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
4
The Goldman Sachs Mutual Fund Complex consists of the Trust and Goldman Sachs Variable Insurance Trust. As of December 31, 2006, the Trust consisted of 65 portfolios and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios, including the Fund described in this Annual Report.
5
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.

 
23

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*
             
Term of
Office and
Position(s) Held Length of
Name, Age And Address With the Trust Time Served1 Principal Occupation(s) During Past 5 Years
Kaysie P. Uniacke
32 Old Slip
New York, NY 10005
Age: 45		   President   Since 2002   Managing Director, Goldman Sachs (1997-Present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (August 2001-December 2007).

President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).

Trustee — Gettysburg College.
James A. Fitzpatrick
71 South Wacker Drive
Suite 500
Chicago, IL 60606
Age: 46		   Vice President   Since 1997   Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).
James A. McNamara
32 Old Slip
New York, NY 10005
Age: 44		   Vice President   Since 2001   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004).
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 42		   Treasurer   Since 1997   Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer — Goldman Sachs Mutual Fund Complex (registered investment companies).
Peter V. Bonanno
32 Old Slip
New York, NY 10005
Age: 37		   Secretary   Since 2006   Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President Goldman Sachs (1999-2006); Assistant General Counsel, Goldman Sachs (1999-2002).

Secretary — Goldman Sachs Mutual Fund Complex (registered investment companies).
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.
 
24

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY FUND 

Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)

For the 2006 tax year, the International Equity Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. From distributions paid during the year ended December 31, 2006, the total amount of income received by the International Equity Fund from sources within foreign countries and possessions of the United States was $0.1755 per share, all of which is attributable to qualified passive income. The total amount of foreign taxes paid by the Fund was $0.0133 per share. The country-by-country components of these totals, reflected as a percentage of total distributions and foreign taxes paid, are provided below.

                 
  Source of Source of
Country Income Foreign Taxes
Australia
   2.25%   0.00%
Austria
   0.51%   2.26%
Bermuda
   3.30%   0.00%
France
   0.47%   3.01%
Germany
   0.58%   2.26%
Hong Kong
   1.17%   0.00%
Ireland
   0.19%   0.00%
Japan
   7.38%   15.79%
Korea
   2.57%   4.51%
Netherlands
   1.01%   4.51%
Norway
   3.42%   15.79%
Russia
   1.90%   10.53%
Spain
   2.80%   12.78%
Sweden
   0.19%   0.75%
Switzerland
   4.59%   21.04%
Taiwan
   0.62%   6.77%
United Kingdom
   35.25%   0.00%
United States
   31.80%   0.00%
TOTAL
   100.00%   100.00%
 
25

 

     
TRUSTEES
  OFFICERS
Ashok N. Bakhru, Chairman
   Kaysie P. Uniacke, President
John P. Coblentz, Jr.
  James A. Fitzpatrick, Vice President
Patrick T. Harker
  James A. McNamara, Vice President
Mary Patterson McPherson
  John M. Perlowski, Treasurer
Alan A. Shuch
  Peter V. Bonanno, Secretary
Richard P. Strubel
   
 
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent 		   
 
GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL, L.P.
Investment Adviser
 
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.
 
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Beginning the fiscal quarter ended September 30, 2004 and every first and third fiscal quarter thereafter, the Fund’s Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. When available, the Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Fund’s entire investment portfolio, which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
    Toll Free (in U.S.): 800-292-4726
 
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust: International Equity Fund.
 
Copyright 2007 Goldman, Sachs & Co. All rights reserved.
 
VITINTLAR/07-315    

 

Goldman
Sachs Variable Insurance Trust

GOLDMAN SACHS ASSET MANAGEMENT, L.P. 32 OLD SLIP, NEW YORK, NEW YORK 10005

 
Growth Opportunities Fund
Equity Index Fund
Core Fixed Income Fund
Government Income Fund
Money Market Fund
 
Annual Report
December 31, 2006
 

 

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND 

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Growth Opportunities Fund from its inception on January 9, 2006* through December 31, 2006.

Market Review

After a sluggish start in 2006, the U.S. stock market rallied sharply from mid-July through December. For the year as a whole, the S&P 500 Index returned 15.79%, its best performance since 2003. All 10 sectors in the Index rose during the year, led by Telecommunication Services and Energy. In contrast, the Fund’s Healthcare and Information Technology stocks lagged the S&P 500 Index. The stock market rose due to a pause in Federal Reserve Board rate hikes, moderating oil prices, continued strong corporate profits, and a robust merger and acquisition (“M&A”) environment.

Investment Objective

The Fund seeks long-term growth of capital.

Portfolio Composition

Top 10 Portfolio Holdings as of December 31, 2006**

             
% of
Company Net Assets Business
Fortune Brands, Inc.
    2.6 %   Beverages
Harman International Industries, Inc.
    2.6     Audio & Visual Equipment
Cameron International Corp.
    2.6     Oil Well Services & Equipment
Smith International, Inc.
    2.4     Oil Well Services & Equipment
W.W. Grainger, Inc.
    2.4     Producer Goods
St. Jude Medical, Inc.
    2.4     Medical Products
Williams-Sonoma, Inc.
    2.4     Retailing
CheckFree Corp.
    2.3     Computer Services
Amphenol Corp.
    2.3     Other Technology
Alliant Techsystems, Inc.
    2.3     Aerospace & Defense

* The Goldman Sachs Variable Insurance Trust Growth Opportunities Fund first began operations as the Allmerica Select Capital Appreciation Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance of the Predecessor AIT Fund prior to the reorganization is not provided in this letter because as part of the reorganization the Predecessor AIT Fund changed its investment adviser to Goldman Sachs Asset Management, L.P. In addition, the Goldman Sachs Fund that the Predecessor AIT Fund reorganized into had investment objectives and policies which were not identical to the Predecessor AIT Fund. However, due to the fact that the Predecessor AIT Fund was considered the accounting survivor of the reorganization, total return information relating to the Predecessor AIT Fund, prior to January 9, 2006, is provided in the Financial Highlights table, which is part of this report.

** Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.

 
1

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
 
Shareholder Letter (continued)

Performance Review

For the period from the Fund’s inception on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative total return of 2.41%. This return compares to the 6.95% cumulative total return of the Fund’s benchmark, the Russell Midcap Growth Index (with dividends reinvested), over the same time period.

While the Fund generated a positive return during the reporting period, it lagged its benchmark. The Fund’s performance was impacted by several Consumer Discretionary holdings that detracted from relative results. In addition, given that the Fund invests in high quality, sustainable growth companies, it faced an unfavorable environment as low quality, cyclical stocks led the market in 2006.

Within the Consumer Discretionary sector, Chico’s FAS, Inc., Williams-Sonoma, Inc. and Urban Outfitters ended the period down. Williams-Sonoma’s first-quarter earnings fell compared to a year ago, on charges related to the consolidation of its Hold Everything storage-goods stores and stock option expenses. Additional weakness came in the fourth quarter after the company reported a drop in profits and a lower forecast. The weakness was mainly due to disappointing performance of its Pottery Barn unit, whose sales recently have been anemic. Pottery Barn has been discounting merchandise and reorganizing its stores to draw down inventories. Shares of Chico’s sold off when the company reported weaker-than-expected results and lowered earnings guidance in the quarter. Despite this disappointment, we believe that Chico’s has strong growth potential and is making wise strategic moves to enhance its long-term growth prospects. In addition to its solid core Chico’s brand, the company is currently investing in its chain stores called White House/Black Market and Soma, to address new markets and augment growth. Urban Outfitters detracted from returns as it was down in the first half of the year due to some disappointing results. However, the stock rebounded in the fourth quarter after it posted better-than-expected quarterly earnings and issued an upbeat forecast.

Several of the Fund’s Technology holdings, including CNET Networks, Inc., Cogent, Inc. and Jabil Circuit, Inc. detracted from performance. Shares of CNET Networks fell after the company reported a soft revenue number and weak guidance. Despite the disappointing results, we believe CNET is well positioned to benefit from the growing opportunity in internet advertising. The company continues to expand its audience and customer base, grow its core brands and add new ones. Shares of Cogent, a provider of automated fingerprint identification systems, were weak during the period. Cogent’s outlook for 2006 fell short of expectations as a number of potential contracts were pushed back. Jabil Circuit’s shares fell after the electronic product manufacturing services company posted disappointing revenue results and said it expected a fourth quarter decline in sales.

During the period, XM Satellite Radio Holdings, Inc. was down significantly, despite a revenue increase of over 100%, driven by strong subscriber growth during the first quarter. Shares fell after management made some missteps, causing them to lower their outlook for 2006. XM has also been the subject of a Federal Communications Commission (“FCC”) and Federal Trade Commission (“FTC”) investigation. We remain confident in the company’s long-term growth potential and believe XM is positioned for strong growth. Specifically, we are encouraged that Toyota and Honda have agreed to preinstall XM Satellite Radios in their vehicles beginning in 2007.

 
2

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND 

On the positive side, in the Consumer Discretionary sector, Coach, Inc. was a top contributor to performance. Coach, the largest U.S. luxury leather-goods maker, was up after it reported strong fiscal first-quarter profits, above analysts’ expectations and the company’s own guidance.

Net sales rose as Coach experienced “rapid growth” in the premium handbag market. The company also raised its guidance for fiscal 2007. Coach’s commitment to service customers across retail, wholesale and factory outlet channels has helped drive business opportunities, particularly as accessories continue to be a market share gaining segment in retail.

In Producer Goods & Services, Alliance Data Systems and ARAMARK had strong returns. Alliance, a provider of transaction, credit and marketing services, was up over 80% during the period. The company announced that first-quarter earnings rose 52% from a year ago and growth was balanced across all three of its business segments. The record performance was driven by continued strength of the marketing services segment as well as significant new client signings. ARAMARK, a contract catering business, was also a top contributor to performance. The company’s chief executive officer announced his bid to buy out the company. Some analysts believed the move was due to the fact that he thought the company was undervalued by the stock market. We sold both positions during the period to capture profits.

The Fund also benefited from strong returns of many of its Healthcare companies, including C.R. Bard, Inc., Thermo Fisher Scientific, Inc. and Celgene Corp. Shares of C.R. Bard rose after the medical device maker’s earnings exceeded expectations as its cancer products and vascular division performed better than expected. Thermo Fisher Scientific, a distributor of scientific equipment and instruments, said its fourth-quarter income more than doubled, driven by strong revenue growth across its business segments. Celgene, a multinational biopharmaceutical company, was up after the company reported strong fiscal third quarter earnings that surpassed consensus estimates. Positive results were driven by an increase in royalty revenue as well as total revenue (up 89%) compared to the prior year. A rise in net sales of Celgene’s lead product, REVLIMID, also bolstered performance. Celgene is a recent addition to the portfolio and meets our criteria for a high quality growth business as it has what we believe to be the best in class oral therapy for blood disease. We believe that the company has a competitive advantage as REVLIMID has the best overall profile to treat multiple myeloma, a form of cancer. We believe Celgene is well-positioned for future growth as it has a broad portfolio of novel drug candidates in its pipeline.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Growth Equity Management Team

January 12, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Growth Opportunities Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for

 
3

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
 
Shareholder Letter (continued)

information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT Growth Opportunities Fund invests in U.S. equity investments with a primary focus on mid-cap companies. The Fund is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The securities of mid-capitalization companies involve greater risks than those associated with larger, more established companies and may be subject to more abrupt or erratic price movements. The Fund may invest in foreign securities, which may be more volatile and less liquid than investments in U.S. securities and will be subject to the risks of currency fluctuations and sudden economic or political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may participate in the Initial Public Offering (“IPO”) market, and a portion of the Fund’s returns consequently may be attributable to its investment in IPOs. The market value of IPO shares may fluctuate considerably due to factors such as the absence of a prior public market, unseasoned trading, and the small number of shares available for trading and limited information about the issuer. When a fund’s asset base is small, IPOs may have a magnified impact on the fund’s performance. As a fund’s assets grow, it is probable that the effect of the fund’s investment in IPOs on its total returns may not be as significant, which could reduce the fund’s performance.

 
4

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND 

SECTOR ALLOCATION†

Percentage of Net Assets

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

 
5

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Equity Index Fund from its inception on January 9, 2006* through December 31, 2006.

Market Review

With enthusiasm for stocks resilient through December, the Dow Jones Industrial Average achieved a string of record highs, ending 2006 just below 12,500. The S&P 500 returned 15.79% for the year 2006. Tracking the S&P 500 closely, the Russell 1000 Index returned 15.46% for the entire year.

Smaller stocks raced forward at the start of 2006, but their road turned rougher after uncertainty about Federal Reserve Board (the “Fed”) policy sparked a decline in May. Nevertheless, broad market strength helped the Russell 2000 Index to finish 2006 at a record high, returning 18.37% for the entire year. Still, budding relative strength in larger company stocks took a visible toll on the S&P 400 Index of mid-cap stocks and the small-cap S&P 600, both of which underperformed the S&P 500 for all of 2006. The S&P 400 ended the year with a barely double-digit return of 10.32%, while the S&P 600 returned 15.12% for the full year.

Signs of a recovery in large-cap themes did little for the relative performance of growth-oriented stocks, as fresh strength in financial issues boosted the value benchmarks. Banks and brokers, shaking off the challenges of an inverted yield curve, continued to benefit from fee-driven businesses. Although growth themes showed some flashes of brilliance in the second half of 2006, they still had a relatively difficult year. The Russell 1000 Growth Index returned 9.07% for the whole of 2006 while the Russell 1000 Value Index returned 22.25% over the same period.

Investment Objective

The Fund seeks to achieve investment results that correspond to the aggregate price and yield performance of a benchmark index that measures the investment returns of large capitalization stocks.

Portfolio Composition

Top 10 Portfolio Holdings as of December 31, 2006**

             
% of
Company Net Assets Business
Exxon Mobil Corp.
    3.4 %   Oil & Gas
General Electric Co.
    3.0     Industrial Conglomerates
Citigroup, Inc.
    2.1     Diversified Financials
Microsoft Corp.
    2.0     Software
Bank of America Corp.
    1.8     Banks
Procter & Gamble Co.
    1.6     Household Products
Johnson & Johnson
    1.5     Pharmaceuticals
Pfizer, Inc.
    1.4     Pharmaceuticals
American International Group, Inc.
    1.4     Insurance
Altria Group, Inc.
    1.4     Tobacco
 
6

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND 

* The Goldman Sachs Variable Insurance Trust Equity Index Fund first began operations as the Allmerica Equity Index Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance of the Predecessor AIT Fund prior to the reorganization is not provided in this letter because as part of the reorganization the Predecessor AIT Fund changed its investment adviser to Goldman Sachs Asset Management, L.P. In addition, the Goldman Sachs Fund that the Predecessor AIT Fund reorganized into had investment objectives and policies which were not identical to the Predecessor AIT Fund. However, due to the fact that the Predecessor AIT Fund was considered the accounting survivor of the reorganization, total return information relating to the Predecessor AIT Fund, prior to January 9, 2006, is provided in the Financial Highlights table, which is part of this report.

** Opinions expressed in this report represent our present opinions only. Reference to individual securities should not be construed as a commitment that such securities will be retained in the Fund. From time to time, the Fund may change the individual securities it holds, the number or types of securities held and the markets in which it invests. Fund holdings of stocks or bonds should not be relied upon in making investment decisions and should not be construed as research or investment advice regarding particular securities. References to individual securities do not constitute a recommendation to the investor to buy, hold or sell such securities. In addition, references to past performance of the Fund do not indicate future returns, which are not guaranteed and will vary. Furthermore, the value of shares of the Fund may fall as well as rise.

Performance Review

For the period from the Fund’s inception on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative total return of 12.14%. This return compares to the 12.40% cumulative total return of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested), over the same time period. As these returns indicate, the Fund’s performance was largely in line with that of its benchmark during the reporting period.

The strong positive trends for equities in 2006 led to gains across all sectors, but there were clear leaders and laggards. The Telecommunications Services group provided the highest returns for the full year, with a 36.82% return. Solid dividends, stable cash flow and the prospective consolidation of BellSouth into AT&T helped the Telecommunications Services sector recover from several years of sluggish performance. Energy was the second best performer in 2006, returning 24.21% on the year. Even though oil prices stabilized in the second half, their average level through the year was easily high enough to bring outstanding profits to energy firms.

For all of 2006, the Materials sector outperformed the S&P 500 Index, returning 18.62%. Consumer Discretionary, which returned 10.27% for the fourth quarter, returned 17.23% for the full year. Despite difficult times in housing and retailing, resurgence of shares in many mainstream media concerns gave the Consumer Discretionary sector a solid boost during 2006.

The weakest sectors in 2006, ironically enough, were two traditional growth areas: Healthcare and Information Technology. With full-year gains of 7.53% and 8.33%, respectively, they were the only S&P 500 sectors to languish in single digits. Although there were numerous companies in these sectors that did demonstrate impressive growth in profits and prospects, others confronted challenging competition, and some ran afoul of compensation scandals. A lingering legacy of ample past successes, many stock option incentive schemes proved at best embarrassing and at worst dishonest. Healthcare services firms and semiconductor companies were among the more vulnerable.

The largest contributor to the return of the S&P 500 Index in 2006 was Exxon Mobil Corp., also the largest holding in the benchmark. It returned 39.07% for the year. Cisco Systems, Inc., also in the top ten holdings, was the second largest contributor with a 2006 gain of 59.64%. The third largest contributor was AT&T, Inc., which ended 2006 returning 53.16%. The largest detractors to the Index’s return were three firms intimately connected to the

 
7

 

Shareholder Letter (continued)
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND

internet and technology world. Intel Corp. detracted the most, losing 17.18% for the year. Yahoo!, Inc. and eBay, Inc. followed by dropping 34.81% and 30.43%, respectively.

The security providing the highest returns in the S&P 500 for the year 2006 was Allegheny Technologies, Inc. which recorded an outstanding 152.95% return. That remarkable performance only proved to shadow the other two securities that posted triple-digit returns for the entire year. Terex Corp. added to the benchmark in December, returned an impressive 117.44% gain for the year while Nvidia Corp. advanced 102.46%. Whole Foods Market, Inc. was the worst performer for the year in the S&P 500 Index, returning -37.20%. Whole Foods slide was closely followed by Apollo Group, Inc. and ADC Telecommunications, Inc. both of which experienced a difficult 2006. Apollo Group returned -35.54% for the year while ADC returned -34.90%.

We thank you for your investment and look forward to serving your investment needs in the future.

January 17, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Equity Index Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT Equity Index Fund invests in a broadly diversified portfolio of large-cap U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. The Fund’s performance may vary substantially from the performance of the benchmark it tracks (S&P 500 Index) as a result of share purchases and redemptions, transaction costs, expenses and other factors. The Fund may make investments in derivative instruments, including options, futures, swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid.

 
8

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND 

SECTOR ALLOCATION†

Percentage of Net Assets

† The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

 
9

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Core Fixed Income Fund from its inception on January 9, 2006* through December 31, 2006.

Market Review

A number of continuing themes characterized the 12-month period that ended December 31, 2006. While the prevailing theme over the course of 2006 was an overall gradual moderation in economic growth, particularly within housing, economic data continued to be mixed. Despite weakness in the housing sector and declining energy prices, strength in employment data and robust corporate earnings led to uncertainty in the bond market. Continued resilience in certain areas of the economy pointed to the potential of a soft landing in 2007. In such an environment, the economy would weaken but not fall into a recession. The Federal Reserve Board (the “Fed”) continued to raise interest rates in the first half of the year in four more 25 basis point moves, bringing the targeted federal funds rate to 5.25%. The Fed paused in August, however, citing the need to balance the obvious weakening of the housing sector with the persistence of inflationary pressures. A cautious Fed cited continued inflationary concerns moving into 2007. Following the hike in rates, yields rose across the Treasury curve and prices declined. However, short-term yields rose more dramatically than did long-term yields, leading to a further flattening of the yield curve. Overall, the 10-year Treasury yield rose 31 basis points over the period, closing at 4.70%. Investment grade spread sectors continued to post strong performance relative to Treasuries over the reporting period, with the corporate and mortgage sectors generating the best results.

Investment Objective

The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Lehman Brothers Aggregate Bond Index.

* The Goldman Sachs Variable Insurance Trust Core Fixed Income Fund first began operations as the Allmerica Select Investment Grade Income Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance of the Predecessor AIT Fund prior to the reorganization is not provided in this letter because as part of the reorganization the Predecessor AIT Fund changed its investment adviser to Goldman Sachs Asset Management, L.P. In addition, the Goldman Sachs Fund that the Predecessor AIT Fund reorganized into had investment objectives and policies which were not identical to the Predecessor AIT Fund. However, due to the fact that the Predecessor AIT Fund was considered the accounting survivor of the reorganization, total return information relating to the Predecessor AIT Fund, prior to January 9, 2006, is provided in the Financial Highlights table, which is part of this report.

Investment Strategies

In seeking to meet the Fund’s investment objective the Fund invests, under normal circumstances, at least 80% of its net assets in fixed income securities, including U.S. government securities, corporate debt securities, privately issued mortgage-backed securities, asset-backed securities, and investment grade emerging market debt securities. In addition, to the extent the Fund finds them effective instruments to manage the overall duration of the portfolio and not for speculative purposes, the Fund may employ the use of derivatives, including futures, swaps, and Eurodollar futures contracts.

We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were key in implementing certain interest rate and spread views.

 
10

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND 

Performance Review

For the period from the Fund’s inception on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative total return of 4.03%. This return compares to the 4.00% cumulative total return of the Fund’s benchmark, the Lehman Brothers Aggregate Bond Index (with dividends reinvested), over the same time period.

The Fund outperformed its benchmark over the reporting period. Among the key drivers of returns were our short duration and term structure strategies as interest rates rose over the period. The Fund’s currency strategy, particularly a short euro trade and Swiss franc exposure, had a positive impact on returns. Our selection of investment grade financial securities modestly detracted from returns. Within governments, our selection of Treasury Inflation Protected Securities (“TIPS”) slightly detracted from results as inflation data came in lower than expected. Within mortgages, our preference for securities that have less exposure to volatility and housing turnover, such as super-senior adjustable rate mortgages, positively impacted performance.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Fixed Income Management Team

January 12, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Core Fixed Income Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

The VIT Core Fixed Income Fund’s investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument; risks of default by a counterparty; and the risks that transactions may not be liquid. Foreign and emerging

 
11

 

Shareholder Letter (continued)
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND

markets investments may be more volatile and less liquid than investment in U.S. securities and will be subject to the risks of currency fluctuations and political developments. At times, the Fund may be unable to sell certain of its portfolio securities without a substantial drop in price, if at all. The Fund may also engage in foreign currency transactions for hedging purposes including cross hedging or for speculative purposes. Forward foreign currency exchange contracts are subject to the risk that the counterparty to the contract will default on its obligations.

SECTOR ALLOCATION†

Percentage of Net Assets

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments include repurchase agreements. “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter. While they have to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

 
12

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND 

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Government Income Fund from its inception on January 9, 2006* through December 31, 2006.

Market Review

A number of continuing themes characterized the 12-month period that ended December 31, 2006. While the prevailing theme over the course of 2006 was an overall gradual moderation in economic growth, particularly within housing, economic data continued to be mixed. Despite weakness in the housing sector and declining energy prices, strength in employment data and robust corporate earnings led to uncertainty in the bond market. Continued resilience in certain areas of the economy pointed to the potential of a soft landing in 2007. The Federal Reserve Board (the “Fed”) continued to raise interest rates in the first half of the year in four more 25 basis point moves, bringing the targeted federal funds rate to 5.25%. However, the Fed paused in August, citing the need to balance the obvious weakening of the housing sector with the persistence of inflationary pressures. A cautious Fed cited continued inflationary concerns moving into 2007. Following the hike in rates, yields sold off across the Treasury curve. However, short-term yields rose more dramatically than did long-term yields, leading to a further flattening of the yield curve. Overall, the 10-year Treasury yield rose 31 basis points over the period, closing at 4.70%. Investment grade spread sectors, such as mortgages and corporates continued to post strong performance relative to Treasuries over the reporting period, with the corporate and mortgage sectors generating excess returns relative to Treasuries.

Investment Objective

The Fund seeks a high level of current income, consistent with safety of principal.

* The Goldman Sachs Variable Insurance Trust Government Income Fund first began operations as the Allmerica Government Bond Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance of the Predecessor AIT Fund prior to the reorganization is not provided in this letter because as part of the reorganization the Predecessor AIT Fund changed its investment adviser to Goldman Sachs Asset Management, L.P. In addition, the Goldman Sachs Fund that the Predecessor AIT Fund reorganized into had investment objectives and policies which were not identical to the Predecessor AIT Fund. However, due to the fact that the Predecessor AIT Fund was considered the accounting survivor of the reorganization, total return information relating to the Predecessor AIT Fund, prior to January 9, 2006, is provided in the Financial Highlights table, which is part of this report.

Investment Strategies

The Fund seeks to meet its objective by investing, under normal circumstances, at least 80% of its net assets in securities issued or guaranteed by the U.S. government, its agencies, instrumentalities or sponsored enterprises, and in repurchase agreements collateralized by such securities. The Fund uses derivatives, including, but not limited to, Treasury futures, Eurodollar futures and swaps, primarily, as a tool to manage interest rate exposure, volatility, term structure, convexity (the rate of change in the portfolio’s duration as yields change), and sector exposure. The Fund may also use derivatives to express our interest rate outlook.

We believe that using derivatives, including both futures and swaps, in the portfolio has been an effective portfolio management tool. Futures have been efficiently employed to hedge duration (interest rate sensitivity) drift that may occur due to the passage of time, changing

 
13

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
 
Shareholder Letter (continued)

interest rates or changing mortgage durations. In addition, futures allowed us to optimize security selection by giving us the flexibility to select the most attractive securities for the portfolio, regardless of the securities’ maturity/duration. Finally, futures and swaps were key in implementing certain interest rate and spread views.

Performance Review

For the period from the Fund’s inception on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative total return of 3.86%. This return compares to the 4.02% cumulative total return of the Fund’s benchmark, the Lehman Brothers Government/ Mortgage Index (with dividends reinvested), over the same time period.

The Fund’s performance relative to its benchmark over the period was impacted by a combination of top-down and bottom-up strategies. We maintained a defensive posture over the period, positioning the Fund to have a shorter duration relative to the benchmark based on our belief that interest rates would move higher. This strategy helped enhance returns as interest rates rose over the period. We continued to underweight mortgage exposure relative to the benchmark based on negative fundamentals, such as tight spreads and low volatility. As the mortgage sector posted strong performance and spreads continued to move tighter, our underweight exposure detracted from performance relative to the benchmark. We did, however, take the opportunity to add value in security specific trades and security selection across the collateralized and government sectors were key drivers of performance. Within mortgages, our focus has been on securities we believe had less exposure to volatility and housing turnover, such as 15-year mortgage-backed securities and super-senior adjustable-rate mortgage floaters. The Fund’s holdings of Treasury Inflation Protected Securities (“TIPS”) modestly detracted from the Fund’s performance relative to its benchmark as inflation data came in lower than expected. Offsetting this was the positive impact from our continued emphasis on short-dated agency securities.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Fixed Income Management Team

January 12, 2007

Shares of the Goldman Sachs Variable Insurance Trust (”VIT”) Government Income Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

 
14

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND 

The VIT Government Income Fund’s net asset value and yield are not guaranteed by the U.S. government or by its agencies, instrumentalities or sponsored enterprises. Investments in fixed income securities are subject to the risks associated with debt securities including credit and interest rate risk. The guarantee on U.S. government securities applies only to the underlying securities of the Fund if held to maturity and not to the value of the Fund’s shares. The Fund’s investments in mortgage-backed securities are subject to prepayment risks. These risks may result in greater share price volatility. The Fund may make substantial investments in derivative instruments, including options, financial futures, Eurodollar futures contracts, swaps, options on swaps, structured securities and other derivative investments. Derivative instruments may involve a high degree of financial risk. These risks include the risk that a small movement in the price of the underlying security or benchmark may result in a disproportionately large movement, unfavorable or favorable, in the price of the derivative instrument, risks of default by a counterparty; and the risks that transactions may not be liquid.

SECTOR ALLOCATION†

Percentage of Net Assets

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term investments include repurchase agreements. “Quasi-governments” include agency securities offered by companies such as Fannie Mae and Freddie Mac, which operate under a government charter, while they have to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities.

 
15

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND

Shareholder Letter

Dear Shareholders:

This report provides an overview on the performance of the Goldman Sachs Variable Insurance Trust — Money Market Fund from its inception on January 9, 2006* through December 31, 2006.

Market Review

Economic data was mixed in 2006. We witnessed a strong economy in the first quarter, with real gross domestic product (“GDP”) of 5.6%. In addition, the labor markets continued to show signs of strength in both payrolls and initial jobless claims. A variety of factors, however, seem to have changed the U.S. economy from robust to one of slower growth. This slowdown was seen in several areas, including the housing market and manufacturing sector. The year ended stronger, with economic data coming in firmer than expected. The job market continued to show signs of strength as employers added 167,000 workers to payrolls in December with upward revisions to the prior months. During the month, the unemployment rate remained unchanged at 4.5%.

The Federal Reserve Open Market Committee (the “FOMC”) continued with its tightening campaign in the first half of 2006 and raised the federal funds rate by 25 basis points at each of its first four meetings. This brought the federal funds rate to a five-year high in June. This tightening cycle ended in August after 17 consecutive 25 basis point increases as the FOMC left interest rates unchanged at 5.25%. The minutes from the December 12th FOMC meeting stated that their outlook for growth and inflation remained mostly unchanged, with the FOMC placing a little more emphasis on inflation rather than growth. We believe that the FOMC will reduce the federal funds rate in 2007, most likely in the second quarter.

Investment Objective

The Fund seeks to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments.

                                 
Standardized Standardized 30-Day
7-Day Current 7-Day Effective Current Weighted Avg.
As of December 31, 2006 Yield Yield Yield Maturity (days)
VIT Money Market Fund
    4.90 %     5.02 %     4.89 %     37  

An investment in a money market portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although a money market portfolio seeks to preserve the value of an investment at $1.00 per share, it is possible to lose money by investing in a money market portfolio.

The yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.

Yields will fluctuate as market conditions change. The yield quotations more closely reflect the current earnings of the Fund.

* The Goldman Sachs Variable Insurance Trust Money Market Fund first began operations as the Allmerica Money Market Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance of the Predecessor AIT Fund prior to the reorganization is not provided in this letter because as part of the reorganization the Predecessor AIT Fund changed its investment adviser to Goldman Sachs Asset Management, L.P. In addition, the Goldman Sachs Fund that the Predecessor AIT Fund reorganized into had investment objectives and policies which were not identical to the Predecessor AIT Fund. However, due to the fact that the Predecessor AIT Fund was considered the accounting survivor of the reorganization, total return information relating to the Predecessor AIT Fund, prior to January 9, 2006, is provided in the Financial Highlights table, which is part of this report.

 
16

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND 

Performance Review

For the period from its inception on January 9, 2006 to December 31, 2006, the Fund’s Service Shares generated a cumulative total return of 4.57%.

The Fund’s performance remained neutral for much of 2006. Due to the flat nature of the yield curve, we focused on purchasing securities primarily in the one- to three-month sector. We did make a tactical allocation on the longer end of the curve throughout the period as a hedge to continued FOMC rate pausing or easing. Given our outlook for interest rates, we will look for value at the longer end of the yield curve. We intend to maintain the Fund’s weighted average maturity in the 35-45 day range.

We thank you for your investment and look forward to serving your investment needs in the future.

Goldman Sachs Money Market Management Team

January 12, 2007

Shares of the Goldman Sachs Variable Insurance Trust (“VIT”) Money Market Fund are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.

 
17

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
 
Shareholder Letter (continued)

SECTOR ALLOCATION†

Percentage of Net Assets

† The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above chart may not sum to 100% due to the exclusion of other assets and liabilities.

 
18

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND  

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value, as of December 31, 2006, of a $10,000 investment made in the Fund on January 9, 2006. For comparative purposes, the performance of the Fund’s benchmark, the Russell Midcap® Growth Index (with dividends reinvested) (“Russell Midcap Growth Index”), is shown. This performance data represents past performance and should not be considered indicative of future performance which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses, but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting a Fund. As a result of the reorganization as described on page 53, performance of the Fund prior to January 9, 2006 is not shown.

Growth Opportunities Fund’s Performance

Performance of a $10,000 Investment, Distributions Reinvested from January 9, 2006 to December 31, 2006.

(Growth Opportunities Line Graph)

             
Cumulative Total Return from January 9, 2006 through December 31, 2006 Since Inception
Growth Opportunities Fund
     2.41%      
 
19

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND

Schedule of Investments

December 31, 2006
                     
Shares Description Value
   
Common Stocks – 100.0%
    Aerospace & Defense – 2.3%
      62,100     Alliant Techsystems, Inc.*(a)   $ 4,855,599  
   
    Apparel/Shoes – 5.2%
      179,780     Chico’s FAS, Inc.*     3,719,648  
      103,000     Coach, Inc.*     4,424,880  
      128,370     Urban Outfitters, Inc.*     2,956,361  
                 
 
                  11,100,889  
   
    Audio & Visual Equipment – 2.6%
      55,600     Harman International Industries, Inc.     5,554,996  
   
    Auto Parts & Related – 1.6%
      226,600     Gentex Corp.     3,525,896  
   
    Banks – 0.6%
      34,310     Commerce Bancorp, Inc.(a)     1,210,114  
   
    Beverages – 2.6%
      66,810     Fortune Brands, Inc.     5,704,906  
   
    Biotechnology – 3.5%
      68,600     Celgene Corp.*     3,946,558  
      109,900     MedImmune, Inc.*     3,557,463  
                 
 
                  7,504,021  
   
    Broadcasting & Cable/ Satellite TV – 3.0%
      432,700     Entravision Communications Corp.*     3,556,794  
      194,900     XM Satellite Radio Holdings, Inc.*     2,816,305  
                 
 
                  6,373,099  
   
    Commercial Services – 2.1%
      12,100     First Solar, Inc.*     360,580  
      64,000     Iron Mountain, Inc.*     2,645,760  
      42,880     Suntech Power Holdings Co., Ltd. ADR*(a)     1,458,349  
                 
 
                  4,464,689  
   
    Computer Hardware – 1.9%
      162,900     Jabil Circuit, Inc.     3,999,195  
   
    Computer Services – 4.1%
      140,000     Ceridian Corp.*     3,917,200  
      125,000     CheckFree Corp.*     5,020,000  
                 
 
                  8,937,200  
   
    Computer Software – 5.8%
      228,166     Activision, Inc.*     3,933,582  
      71,900     Electronic Arts, Inc.*     3,620,884  
      125,100     NAVTEQ*     4,374,747  
      17,800     Salesforce.com, Inc.*     648,810  
                 
 
                  12,578,023  
   
    Consumer Services – 1.8%
      75,500     Weight Watchers International,        
            Inc.     3,966,015  
   
    Electrical Equipment – 1.4%
      123,300     Dresser-Rand Group, Inc.*     3,017,151  
   
    Financials – 2.0%
      45,600     Legg Mason, Inc.     4,334,280  
   
    Gaming/Lodging – 2.5%
      14,180     Harrah’s Entertainment, Inc.     1,172,969  
      120,900     Hilton Hotels Corp.     4,219,410  
                 
 
                  5,392,379  
   
    Health Care Services – 0.9%
      32,100     Covance, Inc.*     1,891,011  
   
    Household/Personal Care – 1.8%
      39,800     Chattem, Inc.*     1,993,184  
      62,200     Newell Rubbermaid, Inc.     1,800,690  
                 
 
                  3,793,874  
   
    Insurance – 2.6%
      60,400     Aon Corp.     2,134,536  
      89,700     Willis Group Holdings Ltd.     3,561,987  
                 
 
                  5,696,523  
   
    Internet & Online – 1.8%
      9,300     Baidu.com, Inc. ADR*     1,048,296  
      312,500     CNET Networks, Inc.*     2,840,625  
                 
 
                  3,888,921  
   
    Manufacturing – 4.0%
      91,800     American Standard Companies, Inc.     4,209,030  
      73,890     Rockwell Automation, Inc.     4,513,201  
                 
 
                  8,722,231  
   
    Medical Products – 6.5%
      31,805     C.R. Bard, Inc.     2,638,861  
      38,600     Cytyc Corp.*     1,092,380  
      140,100     St. Jude Medical, Inc.*     5,122,056  
      44,820     Thermo Fisher Scientific, Inc.*     2,029,898  
      40,600     Zimmer Holdings, Inc.*     3,182,228  
                 
 
                  14,065,423  
   
    Medical Supplies – 1.5%
      75,390     Charles River Laboratories        
            International, Inc.*     3,260,617  
   
    Networking/ Telecommunications Equipment – 1.9%
      18,800     Leap Wireless International, Inc.*     1,118,036  
      23,950     Research In Motion Ltd.*     3,060,331  
                 
 
                  4,178,367  
   
    Oil & Gas – 2.7%
      84,400     Newfield Exploration Co.*     3,878,180  
      51,700     Quicksilver Resources, Inc.*(a)     1,891,703  
                 
 
                  5,769,883  
   
    Oil Well Services & Equipment – 9.0%
      103,850     Cameron International Corp.*     5,509,242  
      101,600     Grant Prideco, Inc.*     4,040,632  
      127,800     Smith International, Inc.     5,248,746  
      111,110     Weatherford International Ltd.*     4,643,287  
                 
 
                  19,441,907  
   
 
The accompanying notes are an integral part of these financial statements.

20

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND  
                     
Shares Description Value
   
Common Stocks – (continued)
    Other Technology – 3.0%
      80,310     Amphenol Corp.   $ 4,985,645  
      127,211     Cogent, Inc.*     1,400,593  
                 
 
                  6,386,238  
   
    Producer Goods – 2.4%
      74,300     W.W. Grainger, Inc.     5,196,542  
   
    Publishing – 1.4%
      8,300     Focus Media Holding Ltd. ADR*     551,037  
      23,900     Getty Images, Inc.*     1,023,398  
      22,100     Lamar Advertising Co.*     1,445,119  
                 
 
                  3,019,554  
   
    Retailing – 4.1%
      104,400     Advance Auto Parts, Inc.     3,712,464  
      161,100     Williams-Sonoma, Inc.     5,064,984  
                 
 
                  8,777,448  
   
    Semi-Capital – 4.2%
      113,300     FormFactor, Inc.*     4,220,425  
      117,000     Tessera Technologies, Inc.*     4,719,780  
                 
 
                  8,940,205  
   
    Semiconductors – 3.0%
      45,700     Advanced Micro Devices, Inc.*     929,995  
      154,900     Linear Technology Corp.     4,696,568  
      45,700     Marvell Technology Group Ltd.*     876,983  
                 
 
                  6,503,546  
   
    Technology Services – 1.5%
      41,610     Cognizant Technology Solutions        
            Corp.*     3,210,628  
   
    Telecommunications – 4.7%
      63,400     American Tower Corp.*     2,363,552  
      128,800     Crown Castle International Corp.*     4,160,240  
      108,700     NeuStar, Inc.*     3,526,228  
                 
 
                  10,050,020  
   
    TOTAL COMMON STOCKS
    (Cost $211,070,738)   $ 215,311,390  
   
                     
   
Securities Lending Collateral – 2.0%
      4,207,025     Boston Global Investment Trust – Enhanced Portfolio   $ 4,207,025  
    (Cost $4,207,025)
   
    TOTAL INVESTMENTS – 102.0%
    (Cost $215,277,763)   $ 219,518,415  
   
    LIABILITIES IN EXCESS OF        
    OTHER ASSETS – (2.0)%     (4,267,740 )
   
    NET ASSETS – 100.0%   $ 215,250,675  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * Non-income producing security.
 
 (a) All or a portion of security is on loan.
             
   
    Investment Abbreviation:
    ADR   —   American Depositary Receipt
   
 
The accompanying notes are an integral part of these financial statements.

21

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value, as of December 31, 2006, of a $10,000 investment made in the Fund on January 9, 2006. For comparative purposes, the performance of the Fund’s benchmark, the Standard and Poor’s 500 Index (“S&P 500 Index”) (with dividends reinvested), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses, but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover, and subscription and redemption cash flows affecting the Fund. As a result of the reorganization as described on page 53, performance of the Fund prior to January 9, 2006 is not shown.

Equity Index Fund’s Performance

Performance of a $10,000 Investment, Distributions Reinvested January 9, 2006 to December 31, 2006.

PERFORMANCE GRAPH

             
Cumulative Total Return from January 9, 2006 through December 31, 2006 Since Inception
Equity Index Fund
     12.14%      
 
22

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND 

Schedule of Investments

December 31, 2006
                     
Shares Description Value
   
Common Stocks – 98.2%
    Aerospace & Defense – 2.1%
      13,700     General Dynamics Corp.   $ 1,018,595  
      4,300     Goodrich Corp.     195,865  
      4,300     L-3 Communications Holdings, Inc.     351,654  
      11,982     Lockheed Martin Corp.     1,103,183  
      11,592     Northrop Grumman Corp.     784,778  
      15,100     Raytheon Co.     797,280  
      5,800     Rockwell Collins, Inc.     367,082  
      26,638     The Boeing Co.     2,366,520  
      33,900     United Technologies Corp.     2,119,428  
                 
 
                  9,104,385  
   
    Air Freight & Couriers – 0.9%
      10,400     FedEx Corp.     1,129,648  
      2,000     Ryder System, Inc.     102,120  
      36,200     United Parcel Service, Inc. Class B     2,714,276  
                 
 
                  3,946,044  
   
    Airlines – 0.1%
      27,318     Southwest Airlines Co.     418,512  
   
    Auto Components – 0.2%
      6,600     Johnson Controls, Inc.     567,072  
      6,200     The Goodyear Tire & Rubber Co.*     130,138  
                 
 
                  697,210  
   
    Automobiles – 0.4%
      63,681     Ford Motor Co.(a)     478,244  
      19,300     General Motors Corp.(a)     592,896  
      8,800     Harley-Davidson, Inc.     620,136  
                 
 
                  1,691,276  
   
    Banks – 6.8%
      151,828     Bank of America Corp.     8,106,097  
      25,700     Bank of New York Co., Inc.     1,011,809  
      18,000     BB&T Corp.     790,740  
      5,250     Comerica, Inc.     308,070  
      6,400     Commerce Bancorp, Inc.(a)     225,728  
      4,500     Compass Bancshares, Inc.     268,425  
      19,005     Fifth Third Bancorp     777,875  
      4,300     First Horizon National Corp.     179,654  
      8,449     Huntington Bancshares, Inc.     200,664  
      13,800     KeyCorp     524,814  
      2,700     M&T Bank Corp.     329,832  
      8,200     Marshall & Ilsley Corp.     394,502  
      14,200     Mellon Financial Corp.     598,530  
      20,400     National City Corp.     745,824  
      6,500     Northern Trust Corp.     394,485  
      10,000     PNC Financial Services Group, Inc.     740,400  
      24,525     Regions Financial Corp.     917,235  
      11,785     Sovereign Bancorp, Inc.     299,221  
      12,100     SunTrust Banks, Inc.     1,021,845  
      10,900     Synovus Financial Corp.     336,047  
      59,334     U.S. Bancorp     2,147,297  
      64,391     Wachovia Corp.     3,667,067  
      31,940     Washington Mutual, Inc.     1,452,951  
      113,960     Wells Fargo & Co.     4,052,418  
      3,500     Zions Bancorp     288,540  
                 
 
                  29,780,070  
   
    Beverages – 2.0%
      26,200     Anheuser-Busch Companies, Inc.     1,289,040  
      2,800     Brown-Forman Corp. Class B     185,472  
      9,500     Coca-Cola Enterprises, Inc.     193,990  
      6,900     Constellation Brands, Inc.*     200,238  
      1,500     Molson Coors Brewing Co. Class B     114,660  
      4,600     Pepsi Bottling Group, Inc.     142,186  
      55,510     PepsiCo., Inc.     3,472,150  
      68,900     The Coca-Cola Co.     3,324,425  
                 
 
                  8,922,161  
   
    Biotechnology – 1.3%
      39,408     Amgen, Inc.*     2,691,961  
      11,485     Biogen Idec, Inc.*     564,947  
      12,500     Celgene Corp.*     719,125  
      9,000     Genzyme Corp.*     554,220  
      15,300     Gilead Sciences, Inc.*     993,429  
      8,200     MedImmune, Inc.*     265,434  
                 
 
                  5,789,116  
   
    Building Products – 0.1%
      5,700     American Standard Companies, Inc.     261,345  
      13,300     Masco Corp.     397,271  
                 
 
                  658,616  
   
    Chemicals – 1.5%
      7,600     Air Products and Chemicals, Inc.     534,128  
      1,800     Ashland, Inc.     124,524  
      32,277     Dow Chemical Co.     1,289,143  
      31,100     E.I. du Pont de Nemours & Co.     1,514,881  
      2,900     Eastman Chemical Co.     171,999  
      6,000     Ecolab, Inc.     271,200  
      4,300     Hercules, Inc.*     83,033  
      2,700     International Flavors & Fragrances, Inc.     132,732  
      18,354     Monsanto Co.     964,136  
      5,400     PPG Industries, Inc.     346,734  
      11,100     Praxair, Inc.     658,563  
      4,775     Rohm & Haas Co.     244,098  
      2,300     Sigma-Aldrich Corp.     178,756  
                 
 
                  6,513,927  
   
    Commercial Services & Supplies – 0.8%
      8,700     Allied Waste Industries, Inc.*     106,923  
      4,500     Apollo Group, Inc.*     175,365  
      3,200     Avery Dennison Corp.     217,376  
      4,800     Cintas Corp.     190,608  
      4,600     Convergys Corp.*     109,388  
      4,400     Equifax, Inc.     178,640  
      5,750     Fiserv, Inc.*     301,415  
      11,000     H&R Block, Inc.     253,440  
                     
   
 
The accompanying notes are an integral part of these financial statements.

23

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
 
Schedule of Investments (continued)
December 31, 2006
                     
Shares Description Value
   
Common Stocks – (continued)
    Commercial Services & Supplies – (continued)
      4,400     Monster Worldwide, Inc.*   $ 205,216  
      7,300     Pitney Bowes, Inc.     337,187  
      7,600     R.R. Donnelley & Sons Co.     270,104  
      5,900     Robert Half International, Inc.     219,008  
      4,308     Sabre Holdings Corp.     137,382  
      17,835     Waste Management, Inc.     655,793  
                 
 
                  3,357,845  
   
    Communications Equipment – 2.6%
      4,585     ADC Telecommunications, Inc.*     66,620  
      1     Alcatel-Lucent ADR     14  
      14,031     Avaya, Inc.*     196,154  
      3,285     Ciena Corp.*     91,027  
      205,800     Cisco Systems, Inc.*     5,624,514  
      6,800     Comverse Technology, Inc.*     143,548  
      53,400     Corning, Inc.*     999,114  
      19,700     Juniper Networks, Inc.*     373,118  
      81,535     Motorola, Inc.     1,676,360  
      55,900     QUALCOMM, Inc.     2,112,461  
      14,900     Tellabs, Inc.*     152,874  
                 
 
                  11,435,804  
   
    Computers & Peripherals – 3.8%
      28,900     Apple Computer, Inc.*     2,451,876  
      77,200     Dell, Inc.*     1,936,948  
      75,100     EMC Corp.*     991,320  
      92,798     Hewlett-Packard Co.     3,822,350  
      50,900     International Business Machines Corp.     4,944,935  
      3,300     Lexmark International, Inc.*     241,560  
      6,000     NCR Corp.*     256,560  
      12,500     Network Appliance, Inc.*     491,000  
      11,700     Nvidia Corp.*     433,017  
      6,800     SanDisk Corp.*     292,604  
      118,100     Sun Microsystems, Inc.*     640,102  
                 
 
                  16,502,272  
   
    Construction & Engineering – 0.1%
      3,100     Fluor Corp.     253,115  
   
    Construction Materials – 0.1%
      3,100     Vulcan Materials Co.     278,597  
   
    Containers & Packaging – 0.2%
      3,600     Ball Corp.     156,960  
      3,300     Bemis Co., Inc.     112,134  
      4,500     Pactiv Corp.*     160,605  
      2,808     Sealed Air Corp.     182,295  
      3,600     Temple-Inland, Inc.     165,708  
                 
 
                  777,702  
   
    Diversified Financials – 9.3%
      40,700     American Express Co.     2,469,269  
      8,180     Ameriprise Financial, Inc.     445,810  
      13,773     Capital One Financial Corp.     1,058,042  
      1,156     Chicago Mercantile Exchange Holdings, Inc.     589,271  
      6,800     CIT Group, Inc.     379,236  
      166,140     Citigroup, Inc.     9,253,998  
      20,898     Countrywide Financial Corp.     887,120  
      14,800     E*Trade Financial Corp.*     331,816  
      32,800     Fannie Mae     1,947,992  
      3,300     Federated Investors, Inc. Class B     111,474  
      5,600     Fidelity National Information Services, Inc.     224,504  
      5,730     Franklin Resources, Inc.     631,274  
      23,300     Freddie Mac     1,582,070  
      14,400     Goldman Sachs Group, Inc.     2,870,640  
      117,325     J.P. Morgan Chase & Co.     5,666,797  
      7,200     Janus Capital Group, Inc.     155,448  
      4,400     Legg Mason, Inc.     418,220  
      17,900     Lehman Brothers Holdings, Inc.     1,398,348  
      29,800     Merrill Lynch & Co., Inc.     2,774,380  
      8,000     Moody’s Corp.     552,480  
      35,734     Morgan Stanley     2,909,820  
      9,100     Principal Financial, Inc.     534,170  
      13,771     SLM Corp.     671,612  
      11,100     State Street Corp.     748,584  
      9,100     T. Rowe Price Group, Inc.     398,307  
      3,952     The Bear Stearns Companies, Inc.     643,306  
      34,600     The Charles Schwab Corp.     669,164  
      25,949     Western Union Co.     581,777  
                 
 
                  40,904,929  
   
    Diversified Telecommunication Services – 3.5%
      12,500     ALLTEL Corp.     756,000  
      130,182     AT&T, Inc.     4,654,007  
      61,400     BellSouth Corp.     2,892,554  
      4,000     CenturyTel, Inc.     174,640  
      11,200     Citizens Communications Co.     160,944  
      5,240     Embarq Corp.     275,414  
      7,225     JDS Uniphase Corp.*     120,369  
      55,163     Qwest Communications International, Inc.*     461,714  
      97,910     Sprint Nextel Corp.     1,849,520  
      98,630     Verizon Communications, Inc.     3,672,981  
      14,681     Windstream Corp.     208,764  
                 
 
                  15,226,907  
   
    Electric Utilities – 2.8%
      22,200     AES Corp.*     489,288  
      5,700     Allegheny Energy, Inc.*     261,687  
      7,100     Ameren Corp.     381,483  
      13,640     American Electric Power Co., Inc.     580,791  
      10,698     CenterPoint Energy, Inc.     177,373  
      7,400     CMS Energy Corp.*     123,580  
      8,600     Consolidated Edison, Inc.     413,402  
      6,250     Constellation Energy Group, Inc.     430,437  
      12,050     Dominion Resources, Inc.     1,010,272  
      5,800     DTE Energy Co.     280,778  
      11,000     Edison International     500,280  
      7,000     Entergy Corp.     646,240  
      22,800     Exelon Corp.     1,411,092  
                     
   
 
The accompanying notes are an integral part of these financial statements.

24

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND 
                     
Shares Description Value
   
Common Stocks – (continued)
    Electric Utilities – (continued)
      10,700     FirstEnergy Corp.   $ 645,210  
      13,600     FPL Group, Inc.     740,112  
      11,700     PG&E Corp.     553,761  
      3,600     Pinnacle West Capital Corp.     182,484  
      12,700     PPL Corp.     455,168  
      8,477     Progress Energy, Inc.     416,051  
      8,600     Public Service Enterprise Group, Inc.     570,868  
      25,100     Southern Co.     925,186  
      7,100     TECO Energy, Inc.     122,333  
      15,680     TXU Corp.     850,013  
      13,510     Xcel Energy, Inc.     311,541  
                 
 
                  12,479,430  
   
    Electrical Equipment – 0.5%
      6,100     American Power Conversion Corp.     186,599  
      3,200     Cooper Industries Ltd.     289,376  
      27,000     Emerson Electric Co.     1,190,430  
      5,600     Rockwell Automation, Inc.     342,048  
                 
 
                  2,008,453  
   
    Electronic Equipment & Instruments – 0.5%
      13,724     Agilent Technologies, Inc.*     478,281  
      5,900     Jabil Circuit, Inc.     144,845  
      4,925     Molex, Inc.     155,778  
      4,500     PerkinElmer, Inc.     100,035  
      18,500     Sanmina Corp.*     63,825  
      34,100     Solectron Corp.*     109,802  
      8,516     Symbol Technologies, Inc.     127,229  
      3,200     Tektronix, Inc.     93,344  
      13,700     Thermo Fisher Scientific, Inc.*     620,473  
      3,400     Waters Corp.*     166,498  
                 
 
                  2,060,110  
   
    Energy Equipment & Services – 1.7%
      10,780     Baker Hughes, Inc.     804,835  
      9,600     BJ Services Co.     281,472  
      33,800     Halliburton Co.     1,049,490  
      10,200     Nabors Industries Ltd.*     303,756  
      5,800     National-Oilwell Varco, Inc.*     354,844  
      4,500     Noble Corp.     342,675  
      3,500     Rowan Cos., Inc.     116,200  
      40,000     Schlumberger Ltd.     2,526,400  
      7,000     Smith International, Inc.     287,490  
      9,927     Transocean, Inc.*     802,995  
      11,300     Weatherford International Ltd.*     472,227  
                 
 
                  7,342,384  
   
    Food & Drug Retailing – 1.1%
      28,200     CVS Corp.     871,662  
      15,100     Safeway, Inc.     521,856  
      6,773     Supervalu, Inc.     242,135  
      20,900     Sysco Corp.     768,284  
      24,300     The Kroger Co.     560,601  
      33,900     Walgreen Co.     1,555,671  
      4,900     Whole Foods Market, Inc.     229,957  
                 
 
                  4,750,166  
   
    Food Products – 1.1%
      22,549     Archer-Daniels-Midland Co.     720,666  
      7,600     Campbell Soup Co.     295,564  
      17,200     ConAgra Foods, Inc.     464,400  
      4,600     Dean Foods Co.*     194,488  
      11,500     General Mills, Inc.     662,400  
      11,000     H.J. Heinz Co.     495,110  
      8,600     Kellogg Co.     430,516  
      4,200     McCormick & Co., Inc.     161,952  
      25,500     Sara Lee Corp.     434,265  
      5,700     The Hershey Co.     283,860  
      8,500     Tyson Foods, Inc.     139,825  
      7,650     Wm. Wrigley Jr. Co.     395,658  
                 
 
                  4,678,704  
   
    Gas Utilities – 0.2%
      6,200     KeySpan Corp.     255,316  
      1,700     Nicor, Inc.     79,560  
      1,300     Peoples Energy Corp.     57,941  
      8,713     Sempra Energy     488,277  
                 
 
                  881,094  
   
    Healthcare Equipment & Supplies – 1.7%
      6,300     Applera Corp. – Applied Biosystems Group     231,147  
      1,900     Bausch & Lomb, Inc.     98,914  
      22,000     Baxter International, Inc.     1,020,580  
      8,300     Becton, Dickinson and Co.     582,245  
      8,025     Biomet, Inc.     331,192  
      40,006     Boston Scientific Corp.*     687,303  
      3,600     C.R. Bard, Inc.     298,692  
      6,900     IMS Health, Inc.     189,612  
      38,900     Medtronic, Inc.     2,081,539  
      1,700     Millipore Corp.*     113,220  
      5,000     Patterson Cos., Inc.*     177,550  
      11,800     St. Jude Medical, Inc.*     431,408  
      10,000     Stryker Corp.     551,100  
      8,170     Zimmer Holdings, Inc.*     640,364  
                 
 
                  7,434,866  
   
    Healthcare Providers & Services – 2.2%
      17,792     Aetna, Inc.     768,259  
      6,500     AmerisourceBergen Corp.     292,240  
      13,700     Cardinal Health, Inc.     882,691  
      14,600     Caremark Rx, Inc.     833,806  
      3,400     CIGNA Corp.     447,338  
      5,600     Coventry Health Care, Inc.*     280,280  
      4,600     Express Scripts, Inc.*     329,360  
      8,100     Health Management Associates, Inc.     170,991  
      5,800     Humana, Inc.*     320,798  
      4,400     Laboratory Corp. of America Holdings*     323,268  
                     
   
 
The accompanying notes are an integral part of these financial statements.

25

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
 
Schedule of Investments (continued)
December 31, 2006
                     
Shares Description Value
   
Common Stocks – (continued)
    Healthcare Providers & Services – (continued)
      2,700     Manor Care, Inc.   $ 126,684  
      9,914     McKesson Corp.     502,640  
      5,300     Quest Diagnostics, Inc.     280,900  
      15,750     Tenet Healthcare Corp.*     109,777  
      45,600     UnitedHealth Group, Inc.     2,450,088  
      21,000     WellPoint, Inc.*     1,652,490  
                 
 
                  9,771,610  
   
    Hotels, Restaurants & Leisure – 1.5%
      15,000     Carnival Corp.     735,750  
      4,500     Darden Restaurants, Inc.     180,765  
      6,400     Harrah’s Entertainment, Inc.     529,408  
      13,000     Hilton Hotels Corp.     453,700  
      11,500     International Game Technology     531,300  
      11,400     Marriott International, Inc.     544,008  
      41,465     McDonald’s Corp.     1,838,143  
      25,400     Starbucks Corp.*     899,668  
      2,900     Wendy’s International, Inc.     95,961  
      7,026     Wyndham Worldwide Corp.*     224,973  
      8,820     Yum! Brands, Inc.     518,616  
                 
 
                  6,552,292  
   
    Household Durables – 0.6%
      4,200     Centex Corp.     236,334  
      9,500     D.R. Horton, Inc.     251,655  
      5,100     Fortune Brands, Inc.     435,489  
      2,300     Harman International Industries, Inc.     229,793  
      2,700     KB HOME     138,456  
      6,000     Leggett & Platt, Inc.     143,400  
      4,800     Lennar Corp.     251,808  
      9,633     Newell Rubbermaid, Inc.     278,876  
      7,500     Pulte Homes, Inc.     248,400  
      2,000     Snap-on, Inc.     95,280  
      2,200     The Black & Decker Corp.     175,934  
      2,700     The Stanley Works     135,783  
      2,758     Whirlpool Corp.     228,969  
                 
 
                  2,850,177  
   
    Household Products – 2.1%
      17,400     Colgate-Palmolive Co.     1,135,176  
      15,340     Kimberly-Clark Corp.     1,042,353  
      107,178     Procter & Gamble Co.     6,888,330  
      5,300     The Clorox Co.     339,995  
                 
 
                  9,405,854  
   
    Industrial Conglomerates – 4.3%
      24,900     3M Co.     1,940,457  
      348,900     General Electric Co.     12,982,569  
      27,875     Honeywell International, Inc.     1,261,065  
      5,800     Reynolds American, Inc.     379,726  
      4,200     Textron, Inc.     393,834  
      67,137     Tyco International Ltd.     2,040,965  
                 
 
                  18,998,616  
   
    Insurance – 4.7%
      11,200     ACE Ltd.     678,384  
      16,600     Aflac, Inc.     763,600  
      3,700     AMBAC Financial Group, Inc.     329,559  
      87,979     American International Group, Inc.     6,304,575  
      10,250     Aon Corp.     362,235  
      6,068     Cincinnati Financial Corp.     274,941  
      14,700     Genworth Financial, Inc.     502,887  
      10,800     Hartford Financial Services Group, Inc.     1,007,748  
      9,560     Lincoln National Corp.     634,784  
      15,200     Loews Corp.     630,344  
      18,400     Marsh & McLennan Cos., Inc.     564,144  
      4,650     MBIA, Inc.     339,729  
      25,900     MetLife, Inc.     1,528,359  
      3,000     MGIC Investment Corp.     187,620  
      25,800     Progressive Corp.     624,876  
      16,100     Prudential Financial, Inc.     1,382,346  
      3,500     Safeco Corp.     218,925  
      21,038     The Allstate Corp.     1,369,785  
      13,900     The Chubb Corp.     735,449  
      23,290     The St. Paul Travelers Cos., Inc.     1,250,440  
      3,400     Torchmark Corp.     216,784  
      11,318     UnumProvident Corp.     235,188  
      6,000     XL Capital Ltd.     432,120  
                 
 
                  20,574,822  
   
    Internet & Catalog Retail – 0.1%
      10,400     Amazon.com, Inc.*     410,384  
   
    Internet Software & Services – 1.4%
      39,400     eBay, Inc.*     1,184,758  
      7,190     Google, Inc.*     3,310,851  
      7,600     IAC/InterActiveCorp*     282,416  
      8,500     VeriSign, Inc.*     204,425  
      41,200     Yahoo!, Inc.*     1,052,248  
                 
 
                  6,034,698  
   
    IT Consulting & Services – 0.8%
      4,100     Affiliated Computer Services, Inc.*     200,244  
      18,800     Automatic Data Processing, Inc.     925,900  
      4,800     Cognizant Technology Solutions Corp.*     370,368  
      6,000     Computer Sciences Corp.*     320,220  
      17,500     Electronic Data Systems Corp.     482,125  
      26,049     First Data Corp.     664,770  
      11,350     Paychex, Inc.     448,779  
      11,900     Unisys Corp.*     93,296  
                 
 
                  3,505,702  
   
    Leisure Equipment & Products – 0.2%
      3,300     Brunswick Corp.     105,270  
      9,700     Eastman Kodak Co.     250,260  
      5,350     Hasbro, Inc.     145,787  
      12,612     Mattel, Inc.     285,788  
                 
 
                  787,105  
   
 
The accompanying notes are an integral part of these financial statements.

26

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND 
                     
Shares Description Value
   
Common Stocks – (continued)
    Machinery – 1.4%
      22,100     Caterpillar, Inc.   $ 1,355,393  
      1,700     Cummins, Inc.     200,906  
      7,900     Danaher Corp.     572,276  
      7,800     Deere & Co.     741,546  
      7,100     Dover Corp.     348,042  
      5,000     Eaton Corp.     375,700  
      14,100     Illinois Tool Works, Inc.     651,279  
      10,400     Ingersoll-Rand Co., Ltd.     406,952  
      6,400     ITT Corp.     363,648  
      8,395     PACCAR, Inc.     544,835  
      4,300     Pall Corp.     148,565  
      3,975     Parker Hannifin Corp.     305,598  
      3,400     Terex Corp.*     219,572  
                 
 
                  6,234,312  
   
    Media – 3.7%
      26,264     CBS Corp. Class B     818,911  
      17,000     Clear Channel Communications, Inc.     604,180  
      70,378     Comcast Corp.*     2,979,101  
      2,300     Dow Jones & Co., Inc.     87,400  
      7,800     Gannett Co., Inc.     471,588  
      14,871     Interpublic Group of Cos., Inc.*     182,021  
      1,400     Meredith Corp.     78,890  
      4,900     New York Times Co.(a)     119,364  
      79,100     News Corp.     1,699,068  
      5,800     Omnicom Group, Inc.     606,332  
      26,400     The DIRECTV Group, Inc.*     658,416  
      2,900     The E.W. Scripps Co.     144,826  
      11,900     The McGraw-Hill Companies, Inc.     809,438  
      69,829     The Walt Disney Co.     2,393,040  
      134,798     Time Warner, Inc.     2,935,900  
      6,287     Tribune Co.     193,514  
      8,200     Univision Communications, Inc.*     290,444  
      23,864     Viacom, Inc. Class B*     979,140  
                 
 
                  16,051,573  
   
    Metals & Mining – 1.0%
      29,308     Alcoa, Inc.     879,533  
      3,051     Allegheny Technologies, Inc.     276,665  
      6,500     CONSOL Energy, Inc.     208,845  
      6,700     Freeport-McMoRan Copper & Gold, Inc. Series B     373,391  
      15,311     Newmont Mining Corp.     691,291  
      10,400     Nucor Corp.     568,464  
      9,000     Peabody Energy Corp.     363,690  
      6,900     Phelps Dodge Corp.     826,068  
      3,920     United States Steel Corp.     286,709  
                 
 
                  4,474,656  
   
    Multi-Utilities – 0.4%
      42,813     Duke Energy Corp.     1,421,820  
      11,397     Dynegy, Inc.*     82,514  
      9,500     NiSource, Inc.     228,950  
      2,900     Questar Corp.     240,845  
                 
 
                  1,974,129  
   
    Multiline Retail – 2.2%
      3,800     Big Lots, Inc.*     87,096  
      15,312     Costco Wholesale Corp.     809,546  
      2,300     Dillard’s, Inc.     80,431  
      10,787     Dollar General Corp.     173,239  
      5,300     Family Dollar Stores, Inc.     155,449  
      17,934     Federated Department Stores, Inc.     683,823  
      7,600     J.C. Penney Co., Inc.     587,936  
      11,100     Kohl’s Corp.*     759,573  
      7,700     Nordstrom, Inc.     379,918  
      2,800     Sears Holdings Corp.*     470,204  
      29,000     Target Corp.     1,654,450  
      83,200     Wal-Mart Stores, Inc.     3,842,176  
                 
 
                  9,683,841  
   
    Office Electronics – 0.1%
      33,300     Xerox Corp.*     564,435  
   
    Oil & Gas – 7.8%
      15,758     Anadarko Petroleum Corp.     685,788  
      11,100     Apache Corp.     738,261  
      14,200     Chesapeake Energy Corp.     412,510  
      73,853     Chevron Corp.     5,430,411  
      55,641     ConocoPhillips     4,003,370  
      14,900     Devon Energy Corp.     999,492  
      24,130     El Paso Corp.     368,706  
      8,200     EOG Resources, Inc.     512,090  
      197,260     Exxon Mobil Corp.     15,116,034  
      9,200     Hess Corp.     456,044  
      3,600     Kinder Morgan, Inc.     380,700  
      11,856     Marathon Oil Corp.     1,096,680  
      6,000     Murphy Oil Corp.     305,100  
      29,000     Occidental Petroleum Corp.     1,416,070  
      4,100     Sunoco, Inc.     255,676  
      20,100     The Williams Companies, Inc.     525,012  
      20,300     Valero Energy Corp.     1,038,548  
      12,600     XTO Energy, Inc.     592,830  
                 
 
                  34,333,322  
   
    Paper & Forest Products – 0.3%
      14,640     International Paper Co.     499,224  
      5,798     MeadWestvaco Corp.     174,288  
      8,100     Weyerhaeuser Co.     572,265  
                 
 
                  1,245,777  
   
    Personal Products – 0.1%
      14,800     Avon Products, Inc.     488,992  
      4,000     Estee Lauder Companies, Inc.     163,280  
                 
 
                  652,272  
   
    Pharmaceuticals – 6.4%
      52,000     Abbott Laboratories     2,532,920  
      5,100     Allergan, Inc.     610,674  
      3,700     Barr Pharmaceuticals, Inc.*     185,444  
      66,500     Bristol-Myers Squibb Co.     1,750,280  
      33,200     Eli Lilly & Co.     1,729,720  
      10,700     Forest Laboratories, Inc.*     541,420  
      4,990     Hospira, Inc.*     167,564  
                     
   
 
The accompanying notes are an integral part of these financial statements.

27

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
 
Schedule of Investments (continued)
December 31, 2006
                     
Shares Description Value
   
Common Stocks – (continued)
    Pharmaceuticals – (continued)
      98,060     Johnson & Johnson   $ 6,473,921  
      8,266     King Pharmaceuticals, Inc.*     131,595  
      9,900     Medco Health Solutions, Inc.*     529,056  
      73,300     Merck & Co., Inc.     3,195,880  
      7,600     Mylan Laboratories, Inc.     151,696  
      243,884     Pfizer, Inc.     6,316,596  
      50,000     Schering-Plough Corp.     1,182,000  
      3,600     Watson Pharmaceuticals, Inc.*     93,708  
      45,600     Wyeth     2,321,952  
                 
 
                  27,914,426  
   
    Real Estate – 1.3%
      3,300     Apartment Investment & Management Co. (REIT)     184,866  
      7,100     Archstone-Smith Trust (REIT)     413,291  
      3,900     Boston Properties, Inc. (REIT)     436,332  
      6,300     CB Richard Ellis Group, Inc.*     209,160  
      11,700     Equity Office Properties Trust (REIT)     563,589  
      9,900     Equity Residential Properites Trust (REIT)     502,425  
      7,400     Kimco Realty Corp. (REIT)     332,630  
      6,000     Plum Creek Timber Co., Inc. (REIT)     239,100  
      8,500     ProLogis (REIT)     516,545  
      4,000     Public Storage, Inc. (REIT)     390,000  
      7,298     Realogy Corp.*     221,275  
      7,500     Simon Property Group, Inc. (REIT)     759,675  
      7,300     Starwood Hotels & Resorts Worldwide, Inc.     456,250  
      4,200     Vornado Realty Trust (REIT)     510,300  
                 
 
                  5,735,438  
   
    Road & Rail – 0.7%
      12,252     Burlington Northern Santa Fe Corp.     904,320  
      15,000     CSX Corp.     516,450  
      13,300     Norfolk Southern Corp.     668,857  
      9,000     Union Pacific Corp.     828,180  
                 
 
                  2,917,807  
   
    Semiconductor Equipment & Products – 2.3%
      17,100     Advanced Micro Devices, Inc.*     347,985  
      12,500     Altera Corp.*     246,000  
      11,600     Analog Devices, Inc.     381,292  
      47,300     Applied Materials, Inc.     872,685  
      15,850     Broadcom Corp.*     512,113  
      195,100     Intel Corp.     3,950,775  
      6,700     KLA-Tencor Corp.     333,325  
      10,000     Linear Technology Corp.     303,200  
      14,100     LSI Logic Corp.*     126,900  
      11,200     Maxim Integrated Products, Inc.     342,944  
      24,100     Micron Technology, Inc.*     336,436  
      9,300     National Semiconductor Corp.     211,110  
      3,900     Novellus Systems, Inc.*     134,238  
      7,400     PMC-Sierra, Inc.*     49,654  
      5,300     QLogic Corp.*     116,176  
      6,000     Teradyne, Inc.*     89,760  
      50,600     Texas Instruments, Inc.     1,457,280  
      11,800     Xilinx, Inc.     280,958  
                 
 
                  10,092,831  
   
    Software – 3.3%
      19,700     Adobe Systems, Inc.*     810,064  
      8,100     Autodesk, Inc.*     327,726  
      6,700     BMC Software, Inc.*     215,740  
      13,550     CA, Inc.     306,908  
      6,200     Citrix Systems, Inc.*     167,710  
      12,900     Compuware Corp.*     107,457  
      10,500     Electronic Arts, Inc.*     528,780  
      11,200     Intuit, Inc.*     341,712  
      292,600     Microsoft Corp.     8,737,036  
      12,000     Novell, Inc.*     74,400  
      135,220     Oracle Corp.*     2,317,671  
      31,318     Symantec Corp.*     652,980  
                 
 
                  14,588,184  
   
    Specialty Retail – 1.9%
      5,372     AutoNation, Inc.*     114,531  
      1,700     AutoZone, Inc.*     196,452  
      9,800     Bed Bath & Beyond, Inc.*     373,380  
      13,850     Best Buy Co., Inc.     681,281  
      5,000     Circuit City Stores, Inc.     94,900  
      11,800     Limited Brands, Inc.     341,492  
      51,700     Lowe’s Companies, Inc.     1,610,455  
      9,200     Office Depot, Inc.*     351,164  
      2,400     OfficeMax, Inc.     119,160  
      4,300     RadioShack Corp.     72,154  
      24,200     Staples, Inc.     646,140  
      17,850     The Gap, Inc.     348,075  
      68,897     The Home Depot, Inc.     2,766,904  
      3,800     The Sherwin-Williams Co.     241,604  
      15,000     The TJX Companies, Inc.     427,800  
      4,800     Tiffany & Co.     188,352  
                 
 
                  8,573,844  
   
    Textiles & Apparel – 0.4%
      12,300     Coach, Inc.*     528,408  
      3,700     Jones Apparel Group, Inc.     123,691  
      3,500     Liz Claiborne, Inc.     152,110  
      6,400     Nike, Inc. Class B     633,792  
      2,900     VF Corp.     238,032  
                 
 
                  1,676,033  
   
    Tobacco – 1.5%
      71,000     Altria Group, Inc.     6,093,220  
      5,600     UST, Inc.     325,920  
                 
 
                  6,419,140  
   
 
The accompanying notes are an integral part of these financial statements.

28

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND 
                     
Shares Description Value
   
Common Stocks – (continued)
    Trading Companies & Distributors – 0.1%
      5,750     Genuine Parts Co.   $ 272,723  
      2,600     W.W. Grainger, Inc.     181,844  
                 
 
                  454,567  
   
    TOTAL COMMON STOCKS
    (Cost $310,325,852)   $ 430,371,542  
   
                         
Units Expiration Date Value
 
   
Warrant* – 0.0%
    Raytheon Co.
      1,845       06/16/11       $33,062  
    (Cost $0)        
   
                             
Principal Interest Maturity
Amount Rate Date Value
 
   
U.S. Government Obligation(b) – 0.1%
    United States Treasury Bill
    $ 550,000       4.83 %   03/08/07   $ 545,130  
    (Cost $545,130)        
   
    TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT– 98.3%
    (Cost $310,870,982)       $ 430,949,734  
   
   
Repurchase Agreement(c) – 1.3%
    Joint Repurchase Agreement Account II
    $ 5,600,000       5.292 %   01/02/07   $ 5,600,000  
    Maturity Value:  $5,603,293
    (Cost $5,600,000)        
   
    TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL
    (Cost $316,470,982)       $ 436,549,734  
   
                     
Shares Description Value
 
   
Securities Lending Collateral – 0.3%
      1,330,500     Boston Global Investment Trust – Enhanced Portfolio        
    (Cost $1,330,500)   $ 1,330,500  
   
    TOTAL INVESTMENTS – 99.9%
    (Cost $317,801,482)   $ 437,880,234  
   
    OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1%     590,312  
   
    NET ASSETS – 100.0%   $ 438,470,546  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 * Non-income producing security.
 
 (a) All or a portion of security is on loan.
 
 (b) Security is segregated as collateral for initial margin requirement on futures transactions.
 
 (c) Joint repurchase agreement was entered into on December 29, 2006. Additional Investment information appears on page 43.
             
   
    Investment Abbreviations:
    ADR   —   American Depositary Receipt
    REIT   —   Real Estate Investment Trust
   
ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2006, the following futures contracts were open:

                                 
Number of Settlement Unrealized
Type Contracts Long Month Market Value Gain
S & P 500 Index
    119       March 2007     $ 8,498,980     $ 9,021  
 
The accompanying notes are an integral part of these financial statements.

29

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value, as of December 31, 2006, of a $10,000 investment made in the Fund on January 9, 2006. For comparative purposes, the performance of the Fund’s benchmark, the Lehman Brothers Aggregate Bond Index (“Lehman Aggregate Bond Index”), is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses, but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry/country investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund. As a result of the reorganization as described on page 53, performance of the Fund prior to January 9, 2006 is not shown.

Core Fixed Income Fund’s Performance

Performance of a $10,000 Investment, Distributions Reinvested January 9, 2006 to December 31, 2006.

(PERFORMANCE GRAPH)

             
Cumulative Total Return from January 9, 2006 through December 31, 2006* Since Inception
Core Fixed Income Fund
     4.03%      
* Performance has not been restated to reflect the impact of payments received for class action settlements recorded this period. If restated, the performance would have been lower.
 
30

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND 

Schedule of Investments

December 31, 2006
                                 
Principal Interest Maturity
Amount Rate Date
Value
   
Corporate Bonds – 17.1%
    Automotive – 0.2%
    DaimlerChrysler NA
    $ 550,000       8.500 %     01/18/31     $ 654,738  
   
    Banks – 4.3%
    Asian Development Bank
      5,000,000       1.000       10/01/15       3,560,322  
    Greater Bay Bancorp Series B
      500,000       5.250       03/31/08       498,544  
    MUFG Capital Finance 1 Ltd.(a)
      850,000       6.346       07/29/49       862,655  
    Nordbanken AB(a)(b)
      2,100,000       8.950       11/29/49       2,279,909  
    Popular North America, Inc. 
      1,425,000       5.650       04/15/09       1,429,164  
    Resona Bank Ltd.(a)(b)
      1,250,000       5.850       09/29/49       1,220,571  
    Tokai Preferred Capital Co. LLC(a)(b)
      1,250,000       9.980       12/29/49       1,325,663  
    VTB Capital (Vneshtorgbank)(a)(b)
      980,000       5.970       08/01/08       980,490  
                             
 
                              12,157,318  
   
    Electric – 2.1%
    Arizona Public Service Co. 
      475,000       6.375       10/15/11       487,516  
    Calenergy, Inc. 
      1,250,000       7.520       09/15/08       1,293,140  
    CenterPoint Energy, Inc. Series B
      1,000,000       7.250       09/01/10       1,053,625  
    MidAmerican Energy Holdings Co. 
      750,000       6.125       04/01/36       756,040  
    Pacific Gas & Electric Co. 
      1,800,000       6.050       03/01/34       1,816,757  
    Progress Energy, Inc. 
      250,000       5.625       01/15/16       249,418  
      350,000       7.000       10/30/31       389,734  
                             
 
                              6,046,230  
   
    Energy – 0.3%
    Canadian Natural Resources Ltd. 
      200,000       6.500       02/15/37       200,641  
    Kerr-McGee Corp. 
      550,000       6.950       07/01/24       585,754  
                             
 
                              786,395  
   
    Entertainment – 0.3%
    Time Warner Entertainment Co. 
      750,000       8.375       03/15/23       876,249  
    Time Warner, Inc. 
      100,000       6.500       11/15/36       99,532  
                             
 
                              975,781  
   
    Environmental – 0.3%
    Waste Management, Inc. 
      750,000       7.375       08/01/10       796,078  
   
    Financial Companies – 2.7%
    Farmer Mac Guaranteed Notes Trust Series 2006-2(b)
    $ 4,400,000       5.500       07/15/11     $ 4,480,771  
    GATX Financial Corp. 
      1,000,000       8.875       06/01/09       1,073,767  
    PHH Corp. 
      1,225,000       6.000       03/01/08       1,225,639  
    Residential Capital Corp. 
      1,000,000       6.125       11/21/08       1,004,954  
                             
 
                              7,785,131  
   
    Food & Beverage – 0.3%
    Nabisco, Inc. 
      1,000,000       7.050       07/15/07       1,008,933  
   
    Life Insurance(b) – 0.2%
    Phoenix Life Insurance Co. 
      450,000       7.150       12/15/34       475,998  
   
    Media — Cable – 1.0%
    Comcast Corp. 
      625,000       6.450       03/15/37       625,338  
    Cox Communications, Inc. 
      1,750,000       4.625       01/15/10       1,712,326  
    Viacom, Inc. 
      300,000       5.750       04/30/11       300,153  
      175,000       6.875       04/30/36       173,019  
                             
 
                              2,810,836  
   
    Metals & Mining(b) – 0.2%
    Xstrata Finance Canada Ltd. 
      500,000       5.500       11/16/11       499,879  
   
    Pipelines – 0.7%
    Boardwalk Pipelines LP
      400,000       5.875       11/15/16       395,999  
    Energy Transfer Partners
      275,000       5.650       08/01/12       273,843  
      475,000       5.950       02/01/15       477,693  
    Enterprise Products Operating LP
      450,000       5.600       10/15/14       441,960  
      325,000       5.000       03/01/15       306,449  
                             
 
                              1,895,944  
   
    Property/Casualty Insurance – 1.6%
    AON Capital Trust A
      500,000       8.205       01/01/27       577,666  
    Arch Capital Group Ltd. 
      475,000       7.350       05/01/34       522,162  
    Aspen Insurance Holdings Ltd. 
      350,000       6.000       08/15/14       344,701  
    Endurance Specialty Holdings Ltd. 
      1,000,000       6.150       10/15/15       996,696  
    Liberty Mutual Group(b)
      700,000       6.500       03/15/35       682,273  
      280,000       7.500       08/15/36       306,340  
                                 
   
 
The accompanying notes are an integral part of these financial statements.

31

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
 
Schedule of Investments (continued)
December 31, 2006
                                 
Principal Interest Maturity
Amount Rate Date
Value
   
Corporate Bonds – (continued)
    Property/Casualty Insurance – (continued)
    Marsh & McLennan Cos., Inc.
    $ 600,000       5.150 %     09/15/10     $ 589,477  
      650,000       5.750       09/15/15       639,478  
                             
 
                              4,658,793  
   
    REIT – 0.4%
    iStar Financial, Inc. Series B
      1,300,000       5.700       03/01/14       1,288,230  
   
    Tobacco – 0.1%
    Altria Group, Inc.
      125,000       7.750       01/15/27       151,611  
   
    Wireless Telecommunications – 1.3%
    America Movil SA de CV
      1,000,000       5.500       03/01/14       978,300  
    AT&T Wireless Services, Inc.
      675,000       7.875       03/01/11       736,268  
      500,000       8.750       03/01/31       647,969  
    Nextel Communications, Inc.
      900,000       6.875       10/31/13       913,500  
    Sprint Capital Corp.
      125,000       6.875       11/15/28       125,204  
    Telecom Italia Capital SA
      300,000       4.875       10/01/10       292,197  
                             
 
                              3,693,438  
   
    Wirelines Telecommunications – 1.1%
    Deutsche Telekom International Finance BV
      700,000       8.250       06/15/30       859,142  
    Embarq Corp.
      150,000       7.995       06/01/36       156,094  
    Telecom Italia Capital
      225,000       4.000       01/15/10       214,851  
      800,000       4.950       09/30/14       741,154  
    Telefonica Europe BV
      300,000       7.750       09/15/10       322,213  
    Verizon Communications, Inc.
      750,000       7.510       04/01/09       782,403  
                             
 
                              3,075,857  
   
    TOTAL CORPORATE BONDS
    (Cost $48,855,769)           $ 48,761,190  
   
   
Mortgage-Backed Obligations – 57.0%
    Adjustable Rate FHLMC(a) – 2.2%
    $ 2,627,532       4.847 %     09/01/35     $ 2,622,430  
      3,702,481       4.733       10/01/35       3,623,805  
                             
 
                              6,246,235  
   
    Adjustable Rate FNMA(a) – 4.4%
      2,292,084       4.465       05/01/33       2,275,264  
      1,659,662       3.851       10/01/33       1,657,581  
      2,824,704       4.585       05/01/35       2,834,418  
      3,108,354       5.355       09/01/35       3,137,390  
      2,696,031       4.924       12/01/35       2,683,562  
                             
 
                              12,588,215  
   
    Adjustable Rate Non-Agency(a) – 16.7%
    Bear Stearns Mortgage Funding Trust Series 2006-AR1, Class 2A1
      2,435,191       5.540       08/25/36       2,434,066  
    Countrywide Alternative Loan Trust Series 2005-59, Class 1A2A
      1,218,445       5.730       11/20/35       1,222,061  
    Countrywide Alternative Loan Trust Series 2006-OA10, Class 4A1
      2,875,821       5.510       08/25/46       2,876,650  
    Countrywide Alternative Loan Trust Series 2006-OA16, Class A2
      4,817,536       5.540       10/25/46       4,803,608  
    Downey Savings & Loan Association Mortgage Loan Trust Series 2006-AR2, Class 2A1A
      2,134,108       5.520       11/19/37       2,137,532  
    Indymac Index Mortgage Loan Trust Series 2006-AR2, Class 1A1A
      2,181,903       5.570       04/25/46       2,183,591  
    Indymac Index Mortgage Loan Trust Series 2006-AR4, Class A1A
      2,226,579       5.530       05/25/46       2,227,822  
    Luminent Mortgage Trust Series 2006-2, Class A1A
      2,224,937       5.550       02/25/46       2,225,728  
    Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A
      1,985,429       5.608       12/25/46       1,986,620  
    Merrill Lynch Mortgage Investors, Inc. Series 2005-A9, Class 2A1C
      3,000,000       5.162       12/25/35       2,974,150  
    Thornburg Mortgage Securities Trust Series 2006-4, Class A2B
      2,905,309       5.440       07/25/36       2,905,309  
    Thornburg Mortgage Securities Trust Series 2006-5, Class A1
      2,847,935       5.440       08/25/36       2,849,341  
    Washington Mutual, Inc. Series 2005-AR10, Class 1A3
      2,000,000       4.837       09/25/35       1,982,341  
    Washington Mutual, Inc. Series 2006-AR11 Class 1A
      3,634,494       5.787       09/25/46       3,645,284  
    Washington Mutual, Inc. Series 2006-AR11, Class 3A1A
      971,645       5.747       09/25/46       973,953  
    Washington Mutual, Inc. Series 2006-AR13, Class 1A
      1,880,703       5.707       10/25/46       1,885,992  
    Washington Mutual, Inc. Series 2006-AR17, Class 1A
      964,437       5.647       12/25/46       965,449  
    Washington Mutual, Inc. Series 2006-AR19, Class 1A
      1,000,000       5.567       01/25/47       1,000,000  
    Wells Fargo Mortgage Backed Securities Trust Series 2006-AR10, Class 5A3
      1,815,298       5.605       07/25/36       1,809,197  
                                 
   
 
The accompanying notes are an integral part of these financial statements.

32

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND 
                                 
Principal Interest Maturity
Amount Rate Date
Value
   
Mortgage-Backed Obligations – (continued)
    Adjustable Rate Non-Agency(a) – (continued)
    WMALT Mortgage Pass-Through Certificates Series 2006-AR7, Class A1A
    $ 1,754,340       5.747 %     09/25/46     $ 1,759,055  
    WMALT Mortgage Pass-Through Certificates Series 2006-AR9, Class 2A
      2,980,013       5.598       11/25/46       2,984,297  
                             
 
                              47,832,046  
   
    CMBS – Sequential Fixed Rate – 11.3%
    Banc of America Commercial Mortgage, Inc. Series 2006-5, Class A4
      1,500,000       5.414       09/10/47       1,506,921  
    Banc of America Commercial Mortgage, Inc. Series 2005-6, Class A4
      3,000,000       5.180       09/10/47       2,980,992  
    Bear Stearns Commercial Mortgage Securities Series 1999-WF2, Class A2
      2,700,000       7.080       07/15/31       2,791,120  
    Bear Stearns Commercial Mortgage Securities Series 2006-T24, Class A4
      1,750,000       5.537       10/12/41       1,776,723  
    Citigroup Commercial Mortgage Trust Series 2006-C5, Class A4
      3,000,000       5.431       10/15/49       3,014,428  
    GE Capital Commercial Mortgage Corp. Series 2002-1A, Class A3
      2,700,000       6.269       12/10/35       2,816,248  
    GE Capital Commercial Mortgage Corp. Series 2005-C4, Class A4
      3,000,000       5.334       11/10/45       3,013,260  
    J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP2, Class A4
      1,500,000       4.738       07/15/42       1,440,408  
    J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CB17, Class A4
      2,000,000       5.429       12/12/43       2,007,340  
    LB-UBS Commercial Mortgage Trust Series 2006-C1, Class A4
      2,000,000       5.156       02/15/31       1,970,546  
    Morgan Stanley Dean Witter Capital I Series 2003-TOP9, Class A2
      2,700,000       4.740       11/13/36       2,626,125  
    Morgan Stanley Capital I Series 2006-T21, Class A4
      3,500,000       5.162       10/12/52       3,458,138  
    Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Class A4
      3,000,000       5.196       10/15/44       2,985,728  
   
    TOTAL CMBS             32,387,977  
   
    CMO – 1.6%
    Interest Only(a)(e) – 0.0%
    FNMA Series 2004-71, Class DI
      693,924       0.000       04/25/34       17,658  
   
    PAC – 1.4%
    FHLMC
      3,989,303       6.500       10/01/34       4,086,643  
   
    Sequential Fixed Rate – 0.2%
    FHLMC Series 2473, Class VM
      432,730       6.000       10/15/07       432,379  
   
    TOTAL CMO   $ 4,536,680  
   
    FHLB – 2.8%
      650       7.500       01/01/07       650  
      123,528       7.000       08/01/10       126,674  
      242       7.000       09/01/11       249  
      17,464       7.000       11/01/11       17,952  
      33,609       7.000       12/01/11       34,547  
      134,264       7.500       06/01/15       139,869  
      324,727       7.000       07/01/16       333,556  
      1,808,480       5.500       02/01/18       1,810,636  
      236,276       5.500       09/01/18       236,558  
      1,089       7.500       10/01/18       1,094  
      27,626       9.500       08/01/19       29,625  
      245,988       5.000       02/01/20       241,628  
      1,195       9.500       08/01/20       1,285  
      416,784       6.500       10/01/20       428,242  
      31,091       9.500       02/01/21       33,139  
      3,181,043       5.000       06/01/23       3,089,338  
      47,951       6.500       01/01/24       49,114  
      299,093       6.500       12/01/27       307,329  
      166,640       6.000       03/01/29       168,546  
      2,087       6.000       04/01/29       2,111  
      326,556       6.500       12/01/31       334,216  
      3,809       6.000       08/01/32       3,848  
      497,750       7.000       12/01/32       512,513  
                             
 
                              7,902,719  
   
    FHLMC – 5.9%
      129,021       5.500       04/01/18       129,175  
      222,453       4.500       05/01/18       214,974  
      52,668       4.500       06/01/18       50,883  
      212,613       4.500       09/01/18       205,408  
      155,095       4.500       10/01/18       149,848  
      159,798       4.500       11/01/18       154,395  
      1,115,149       4.500       12/01/18       1,077,359  
      3,853,112       5.000       12/01/18       3,794,046  
      58,313       4.500       01/01/19       56,337  
      115,453       4.500       03/01/19       111,528  
      4,685,287       4.000       06/01/19       4,411,904  
      5,277,071       5.000       11/01/19       5,196,177  
      20,998       5.000       05/15/21       20,949  
      88,177       7.500       12/01/29       91,792  
      6,407       7.500       11/01/30       6,661  
      273,271       6.500       12/01/31       280,002  
      761,542       7.000       05/01/32       784,128  
                             
 
                              16,735,566  
   
 
The accompanying notes are an integral part of these financial statements.

33

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
 
Schedule of Investments (continued)
December 31, 2006
                                 
Principal Interest Maturity
Amount Rate Date
Value
   
Mortgage-Backed Obligations – (continued)
    FNMA – 11.1%
    $ 15,186       6.500 %     05/01/08     $ 15,503  
      1,674       8.500       07/01/08       1,694  
      1,248       8.000       04/01/09       1,259  
      3,738       9.000       02/01/10       3,887  
      90,618       6.000       08/01/13       92,033  
      38,613       7.500       01/01/14       38,744  
      476,787       7.500       08/01/15       494,845  
      127,761       6.000       04/01/16       129,665  
      234,678       6.500       05/01/16       240,159  
      350,056       6.500       09/01/16       358,232  
      459,376       6.500       11/01/16       470,106  
      122,861       6.000       12/01/16       124,690  
      863,935       6.000       02/01/17       876,835  
      162,724       7.500       04/01/17       169,067  
      1,298,960       6.000       10/01/17       1,318,356  
      1,176,422       5.500       02/01/18       1,178,865  
      363,651       4.500       04/01/18       351,669  
      3,069,957       4.500       05/01/18       2,968,800  
      1,290,095       5.000       05/01/18       1,270,901  
      4,137,596       4.500       06/01/18       4,001,261  
      217,688       4.500       07/01/18       210,515  
      123,125       6.500       08/01/18       125,730  
      514,778       7.000       08/01/18       533,594  
      4,654,680       4.000       09/01/18       4,395,417  
      5,815,603       4.500       01/01/19       5,623,977  
      740       7.000       07/01/25       764  
      29,485       7.500       10/01/25       30,795  
      11,541       7.000       11/01/25       11,941  
      90,471       9.000       11/01/25       98,233  
      4,262       7.000       08/01/27       4,402  
      26,688       7.000       09/01/27       27,562  
      1,062       7.000       01/01/28       1,098  
      6,905       7.500       03/01/28       7,214  
      888,973       6.000       02/01/29       899,024  
      509,416       6.000       03/01/29       514,753  
      205,040       6.500       03/01/29       210,608  
      441,364       6.000       05/01/29       445,946  
      54,403       6.500       05/01/29       55,800  
      1,265,082       6.000       06/01/29       1,278,215  
      328,881       6.500       06/01/29       337,457  
      154,453       6.500       07/01/29       158,418  
      283,743       6.500       08/01/29       291,247  
      7,873       7.000       09/01/29       8,116  
      132,538       6.500       10/01/29       136,057  
      110,326       8.000       10/01/29       116,940  
      176,244       6.500       11/01/29       180,923  
      146,358       6.500       12/01/29       150,115  
      58,523       7.000       12/01/29       60,477  
      20,282       7.500       12/01/29       21,168  
      9,380       7.500       04/01/30       9,750  
      3,122       8.500       04/01/30       3,354  
      58,868       7.500       05/01/30       61,206  
      13,480       8.000       05/01/30       14,023  
      569       8.500       06/01/30       612  
      13,357       7.500       08/01/30       13,883  
      39,621       7.500       09/01/30       41,182  
      298,139       6.500       04/01/31       305,497  
      55,627       7.000       05/01/32       57,373  
      407,848       7.000       06/01/32       419,883  
      503,971       7.000       08/01/32       518,842  
      167,315       8.000       08/01/32       176,568  
                             
 
                              31,665,250  
   
    GNMA – 1.0%
      877       6.500       09/15/08       884  
      84,304       7.000       03/15/12       86,061  
      67,323       7.000       06/15/23       69,539  
      22,767       7.000       10/15/25       23,671  
      38,946       7.000       11/15/25       40,492  
      4,735       7.000       02/15/26       4,897  
      21,660       7.000       04/15/26       22,455  
      9,829       7.000       03/15/27       10,169  
      1,421       7.000       06/15/27       1,467  
      26,242       7.000       10/15/27       27,098  
      213,873       7.000       11/15/27       221,093  
      12,800       7.000       01/15/28       13,217  
      80,634       7.000       02/15/28       83,264  
      38,053       7.000       03/15/28       39,324  
      14,795       7.000       04/15/28       15,289  
      1,699       7.000       05/15/28       1,754  
      36,097       7.000       06/15/28       37,274  
      57,569       7.000       07/15/28       59,448  
      169,117       7.000       08/15/28       174,631  
      67,176       7.000       09/15/28       69,410  
      11,627       7.000       11/15/28       12,006  
      6,276       7.500       11/15/30       6,484  
      4,325       7.000       10/15/31       4,465  
      1,503       7.000       12/15/31       1,553  
      67,624       7.500       10/15/32       70,612  
      1,838,610       6.000       08/20/34       1,860,631  
                             
 
                              2,957,188  
   
    TOTAL MORTGAGE-BACKED OBLIGATIONS
    (Cost $163,205,144)           $ 162,851,876  
   
   
Agency Debentures – 15.5%
    FHLB
    $ 10,000,000       4.570 %     10/17/08     $ 9,917,420  
      10,000,000       5.823       05/06/09       10,178,780  
      1,800,000       4.000       12/30/11       1,716,694  
      6,990,000       4.875       12/14/12       6,955,966  
      5,000,000       4.750       11/14/14       4,922,825  
    FHLMC
      3,800,000       4.500       08/22/07       3,779,924  
    FNMA
      5,000,000       4.500       06/01/10       4,919,195  
                                 
   
 
The accompanying notes are an integral part of these financial statements.

34

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND 
                                 
Principal Interest Maturity
Amount Rate Date
Value
   
Agency Debentures – (continued)
    Tennessee Valley Authority
    $ 2,000,000       5.375 %     04/01/56     $ 2,034,820  
   
    TOTAL AGENCY DEBENTURES
    (Cost $44,450,982)           $ 44,425,624  
   
   
U.S. Treasury Obligations – 6.4%
    United States Treasury Bonds
    $ 3,700,000       4.500 %     02/15/36     $ 3,518,471  
    United States Treasury Inflation-Protected Securities
      769,258       1.875       07/15/13       743,175  
      1,284,912       2.000       07/15/14       1,247,118  
      2,075,320       1.875       07/15/15       1,989,713  
      599,806       2.500       07/15/16       604,351  
    United States Treasury Notes
      6,400,000       4.875       10/31/08       6,403,002  
    United States Treasury Principal-Only STRIPS(c)
      2,400,000       0.000       11/15/21       1,155,960  
      5,000,000       0.000       11/15/24       2,081,450  
      1,300,000       0.000       08/15/25       522,029  
   
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $18,137,835)           $ 18,265,269  
   
    TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT — 96.0%
    (Cost $274,649,730)   $ 274,303,959  
   
   
Repurchase Agreement(d) – 3.1%
    Joint Repurchase Agreement Account II
    $9,000,000         5.292 %     01/02/07     $ 9,000,000  
    Maturity Value:  $9,005,292
    (Cost $9,000,000)        
   
    TOTAL INVESTMENTS — 99.1%
    (Cost $283,649,730)   $ 283,303,959  
   
    OTHER ASSETS IN EXCESS OF        
    LIABILITIES — 0.9%     2,463,812  
   
    NET ASSETS – 100.0%   $ 285,767,771  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 (a) Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2006.
 
 (b) Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $9,368,560, which represents approximately 3.3% of net assets as of December 31, 2006.
 
 (c) Security issued with a zero coupon. Income is recognized through the accretion of discount.
 
 (d) Joint repurchase agreement was entered into on December 29, 2006. Additional information appears on page 43.
 
 (e) Represents security with notional principal amount. The actual effective yield of this security is different than the stated interest rate.
             
   
    Investment Abbreviations:
    CMBS   —   Commercial Mortgage Backed Securities
    CMO   —   Collateralized Mortgage Obligations
    FHLB   —   Federal Home Loan Bank
    FHLMC   —   Federal Home Loan Mortgage Corp.
    FNMA   —   Federal National Mortgage Association
    GNMA   —   Government National Mortgage Association
    PAC   —   Planned Amortization Class
    REIT   —   Real Estate Investment Trust
    STRIPS   —   Separate Trading of Registered Interest and Principal of Securities
   
 
The accompanying notes are an integral part of these financial statements.

35

 

Schedule of Investments (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND

ADDITIONAL INVESTMENT INFORMATION

FORWARD FOREIGN CURRENCY CONTRACTS — At December 31, 2006, the Fund had outstanding forward foreign currency exchange contracts, both to purchase and sell foreign currencies:

                                 
Open Forward Foreign Currency Expiration Value on Unrealized
Purchase Contracts Date Settlement Date Current Value Gain (Loss)
Australian Dollar
    03/22/07     $ 4,416,111     $ 4,446,174     $ 30,063  
British Pound
    03/22/07       3,047,760       3,051,068       3,308  
Euro
    03/22/07       673,000       679,579       6,579  
      03/22/07       900,000       897,569       (2,431 )
Japanese Yen
    03/22/07       278,379       272,944       (5,435 )
New Zealand Dollar
    03/22/07       483,363       493,474       10,111  
Norwegian Krone
    03/22/07       2,478,433       2,443,588       (34,845 )
Swedish Krona
    03/22/07       1,348,000       1,356,656       8,656  
      03/22/07       3,856,741       3,837,508       (19,233 )
TOTAL OPEN FORWARD FOREIGN
CURRENCY PURCHASE CONTRACTS		   $ 17,481,787     $ 17,478,560     $ (3,227 )
                                 
Open Forward Foreign Currency Expiration Value on Unrealized
Sale Contracts Date Settlement Date Current Value Gain (Loss)
Australian Dollar
    03/22/07     $ 448,000     $ 454,419     $ (6,419 )
British Pound
    03/22/07       673,000       677,547       (4,547 )
Canadian Dollar
    03/22/07       143,239       140,915       2,324  
Euro
    03/22/07       7,378,898       7,361,325       17,573  
Japanese Yen
    03/22/07       2,475,000       2,432,082       42,918  
Swiss Franc
    03/22/07       2,905,793       2,866,008       39,785  
      03/22/07       224,000       225,103       (1,103 )
TOTAL OPEN FORWARD FOREIGN
CURRENCY SALE CONTRACTS		   $ 14,247,930     $ 14,157,399     $ 90,531  

FUTURES CONTRACTS — At December 31, 2006, the following futures contracts were open:

                                 
Number of
Contracts Settlement Unrealized
Type Long (Short) Month Market Value Gain (Loss)
Eurodollars
    18       March 2007     $ 4,260,600     $ (1,562 )
Eurodollars
    8       June 2007       1,895,400       (2,227 )
Eurodollars
    14       September 2007       3,322,025       (2,760 )
Eurodollars
    14       December 2007       3,326,750       (310 )
Eurodollars
    (4 )     March 2008       (951,100 )     1,236  
Eurodollars
    (4 )     June 2008       (951,350 )     836  
U.S. Treasury Bonds
    35       March 2007       3,900,312       (39,014 )
2 Year U.S. Treasury Notes
    (93 )     March 2007       (18,974,906 )     51,833  
5 Year U.S. Treasury Notes
    110       March 2007       11,556,875       (89,573 )
10 Year U.S. Treasury Notes
    96       March 2007       10,317,000       (125,142 )
TOTAL   $ 17,701,606     $ (206,683 )
 
The accompanying notes are an integral part of these financial statements.

36

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND 

Performance Summary

December 31, 2006 (Unaudited)

The following graph shows the value, as of December 31, 2006, of a $10,000 investment made in the Fund on January 9, 2006. For comparative purposes, the performance of the Fund’s benchmark, the Lehman Brothers Government/Mortgage Index (“Lehman Gov’t/MBS Index”) is shown. This performance data represents past performance and should not be considered indicative of future performance, which will fluctuate with changes in market conditions. These performance fluctuations will cause an investor’s shares, when redeemed, to be worth more or less than their original cost. Performance reflects Fund level expenses, but does not reflect fees and expenses associated with any variable annuity contract or variable life insurance policy that uses the Fund as an investment option for any contract or policy. Had performance reflected all of those fees and expenses, performance would have been reduced. Performance also would have been reduced had expense limitations not been in effect. In addition to the investment adviser’s decisions regarding issuer/industry investment selection and allocation, other factors may affect Fund performance. These factors include, but are not limited to, Fund operating fees and expenses, portfolio turnover and subscription and redemption cash flows affecting the Fund. As a result of the reorganization as described on page 53, performance of the Fund prior to January 9, 2006 is not shown.

Government Income Fund’s Performance

Performance of a $10,000 Investment, Distributions Reinvested January 9, 2006 to December 31, 2006.

(PERFOFMANCE GRAPH)

             
Cumulative Total Return from January 9, 2006 through December 31, 2006 Since Inception
Government Income Fund
     3.86%      
 
37

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND

Schedule of Investments

December 31, 2006
                                 
Principal Interest Maturity
Amount Rate Date Value
   
Mortgage-Backed Obligations – 64.5%
    Adjustable Rate FHLMC(a) – 2.0%
    $ 875,844       4.847 %     09/01/35     $ 874,143  
      926,967       4.733       10/01/35       907,270  
                             
 
                              1,781,413  
   
    Adjustable Rate FNMA(a) – 4.5%
      764,028       4.465       05/01/33       758,422  
      829,831       3.851       10/01/33       828,790  
      1,412,352       4.585       05/01/35       1,417,209  
      898,677       4.924       12/01/35       894,521  
                             
 
                              3,898,942  
   
    Adjustable Rate Non-Agency(a) – 12.0%
    Bear Stearns Commercial Mortgage Securities
Series 2006-PW12, Class A4
      500,000       5.711       09/11/38       516,172  
    Citigroup Commercial Mortgage Trust Series 2006-C4, Class A3
      500,000       5.720       03/15/49       516,187  
    Citigroup/Deutsche Bank Commercial Mortgage Trust
      1,000,000       5.226       07/15/44       997,713  
    Commercial Mortgage Pass Through Certificates Series 2006-C7, Class A4
      1,000,000       5.769       06/10/46       1,036,240  
    Countrywide Alternative Loan Trust Series 2005-59, Class 1A2A
      812,297       5.730       11/20/35       814,707  
    Downey Savings & Loan Association Mortgage Loan Trust Series 2006-AR2, Class 2A1A
      948,492       5.520       11/19/37       950,014  
    Indymac Index Mortgage Loan Trust Series 2006-AR2, Class 1A1A
      872,761       5.570       04/25/46       873,437  
    Luminent Mortgage Trust Series 2006-2, Class A1A
      889,975       5.550       02/25/46       890,291  
    Merrill Lynch Mortgage Investors, Inc. Series 2005-A9, Class 2A1C
      1,000,000       5.162       12/25/35       991,383  
    Washington Mutual, Inc. Series 2005-AR10, Class 1A3
      1,000,000       4.837       09/25/35       991,171  
    Washington Mutual, Inc. Series 2006-AR13, Class 1A
      940,351       5.707       10/25/46       942,996  
    Wells Fargo Mortgage Backed Securities Trust Series 2006-AR10, Class 5A3
      907,649       5.605       07/25/36       904,599  
                             
 
                              10,424,910  
   
    CMBS – 3.5%
    Sequential Fixed Rate – 3.5%
    Banc of America Commercial Mortgage, Inc. Series 2006-4 Class A4
      1,000,000       5.634       07/10/46       1,020,798  
    Banc of America Commercial Mortgage, Inc. Series 2006-5, Class A4
      1,000,000       5.414       09/10/47       1,004,614  
    Commercial Mortgage-Pass Through Certificates Series 2006-C8, Class A4
      1,000,000       5.306       12/10/46       995,164  
   
    TOTAL CMBS             3,020,576  
   
    CMO – 19.5%
    Interest Only(a)(c) – 0.0%
    FNMA Series 2004-47, Class EI
      429,228       0.000       06/25/34       15,195  
    FNMA Series 2004-62, Class DI
      181,818       0.000       07/25/33       7,019  
                             
 
                              22,214  
   
    Non-Agency CMO(a) – 2.1%
    Washington Mutual, Inc. Series 2006-AR11, Class 3A1A
      971,642       5.747       09/25/46       973,950  
    WMALT Mortgage Pass-Through Certificates Series 2006-AR7, Class A1A
      877,170       5.747       09/25/46       879,527  
                             
 
                              1,853,477  
   
    PAC – 16.4%
    FNMA Series 2003-32, Class PD
      5,525,348       4.000       07/25/22       5,480,632  
    FNMA Series 2003-70, Class BS
      4,336,957       4.000       04/25/22       4,283,003  
    FNMA Series 2719, Class GC
      4,580,000       5.000       06/15/26       4,529,390  
                             
 
                              14,293,025  
   
    Principal Only(d) – 1.0%
    FHLMC Series 235, Class PO
      563,908       0.000       02/01/36       423,638  
    FNMA Series 363, Class 1
      540,559       0.000       11/01/35       407,252  
                             
 
                              830,890  
   
    TOTAL CMO             16,999,606  
   
    FHLMC – 7.6%
      514       7.500       02/01/07       514  
      1,901,334       4.500       12/01/18       1,836,902  
      1,874,130       4.000       06/01/19       1,764,776  
      1,608,444       4.500       06/01/19       1,553,937  
      1,588       8.000       06/01/19       1,594  
      13,831       10.000       03/01/21       15,070  
      26,423       6.500       06/01/23       27,315  
      1,346,091       6.500       10/01/34       1,378,936  
                             
 
                              6,579,044  
   
    FNMA – 15.4%
      2,542       7.500       03/01/07       2,551  
      749       8.000       04/01/09       755  
      93,244       5.000       11/01/17       91,956  
      410,198       5.000       12/01/17       404,533  
      356,340       5.000       01/01/18       351,419  
                                 
   
 
 The accompanying notes are an integral part of these financial statements.

38

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND 
                                 
Principal Interest Maturity
Amount Rate Date Value
   
Mortgage-Backed Obligations – (continued)
    FNMA – (continued)
    $ 1,033,583       5.000 %     02/01/18     $ 1,019,310  
      301,927       5.000       03/01/18       297,586  
      45,456       4.500       04/01/18       43,958  
      470,920       5.000       04/01/18       463,991  
      383,742       4.500       05/01/18       371,098  
      177,960       5.000       05/01/18       175,341  
      517,198       4.500       06/01/18       500,156  
      951,373       5.000       06/01/18       937,374  
      27,211       4.500       07/01/18       26,314  
      28,048       5.000       07/01/18       27,635  
      1,861,872       4.000       09/01/18       1,758,167  
      866,351       4.500       09/01/18       837,804  
      27,222       4.500       10/01/18       26,325  
      1,103,173       4.500       11/01/18       1,066,822  
      586,771       5.000       11/01/18       578,136  
      133,197       4.500       12/01/18       128,808  
      859,015       5.000       12/01/18       846,375  
      27,482       4.500       01/01/19       26,576  
      38,669       4.500       03/01/19       37,395  
      967,555       5.000       04/01/19       953,317  
      899,408       5.000       06/01/19       886,173  
      321,896       4.500       09/01/19       311,290  
      91,903       4.500       03/01/20       88,875  
      240,443       4.500       04/01/20       232,520  
      26,110       8.000       09/01/21       27,537  
      121,589       7.500       05/01/36       125,984  
      567,722       7.500       06/01/36       588,243  
      201,295       7.500       07/01/36       208,571  
                             
 
                              13,442,895  
   
    GNMA – 0.0%
      3,030       6.500       06/15/09       3,072  
      19,380       7.000       06/15/12       20,001  
                             
 
                              23,073  
   
    TOTAL MORTGAGE-BACKED OBLIGATIONS
    (Cost $56,287,837)           $ 56,170,459  
   
   
Agency Debentures – 27.3%
    FHLB
    $ 7,000,000       3.500 %     04/06/09     $ 6,760,691  
      4,500,000       4.000       12/19/11       4,272,152  
      9,500,000       4.000       12/30/11       9,060,330  
    FNMA
      3,000,000       3.860       02/22/08       2,956,338  
    Tennessee Valley Authority
      700,000       5.375       04/01/56       712,187  
   
    TOTAL AGENCY DEBENTURES
    (Cost $24,009,261)           $ 23,761,698  
   
   
U.S. Treasury Obligations – 7.2%
    United States Treasury Inflation-Protected Securities
    $ 219,788       1.875 %     07/15/13       212,336  
      428,304       2.000       07/15/14       415,706  
      518,876       1.875       07/15/15       497,473  
    United States Treasury Notes
      1,900,000       4.875       10/31/08       1,900,891  
      2,200,000       4.500       09/30/11       2,180,664  
      800,000       5.125       05/15/16       824,031  
    United States Treasury Principal-Only STRIPS(b)
      200,000       0.000       08/15/25       80,312  
      400,000       0.000       11/15/26       151,376  
   
    TOTAL U.S. TREASURY OBLIGATIONS
    (Cost $6,267,704)           $ 6,262,789  
   
    TOTAL INVESTMENTS – 99.0%
    (Cost $86,564,802)   $ 86,194,946  
   
   
OTHER ASSETS IN EXCESS OF		        
   
LIABILITIES – 1.0%		     867,627  
   
    NET ASSETS – 100.0%   $ 87,062,573  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 (a) Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2006.
 
 (b) Security issued with a zero coupon. Income is recognized through the accretion of discount.
 
 (c) Represents security with notional principal amount. The actual effective yield of this security is different than the stated interest rate.
 
 (d) Security represents cash flow payments of principal on the underlying security. The actual effective yield of this security is different than the stated interest rate.
             
   
    Investment Abbreviations:
    CMBS   —   Commercial Mortgage Backed Securities
    CMO   —   Collateralized Mortgage Obligations
    FHLB   —   Federal Home Loan Bank
    FHLMC   —   Federal Home Loan Mortgage Corp.
    FNMA   —   Federal National Mortgage Association
    GNMA   —   Government National Mortgage Association
    PAC   —   Planned Amortization Class
    STRIPS   —   Separate Trading of Registered Interest and Principal of Securities
   
 
The accompanying notes are an integral part of these financial statements. 

39

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND
 
Schedule of Investments (continued)
December 31, 2006

ADDITIONAL INVESTMENT INFORMATION

FUTURES CONTRACTS — At December 31, 2006, the following futures contracts were open:

                             
Number of
Contracts Settlement Unrealized
Type Long(Short) Month Market Value Gain (Loss)
Eurodollars
    4     March 2007   $ 946,800     $ (614 )
Eurodollars
    4     June 2007     947,700       (1,114 )
Eurodollars
    10     September 2007     2,372,875       (1,971 )
Eurodollars
    10     December 2007     2,376,250       (221 )
Eurodollars
    (2)     March 2008     (475,550 )     618  
Eurodollars
    (4)     June 2008     (951,350 )     837  
U.S. Treasury Bonds
    72     March 2007     8,023,500       (101,671 )
2 Year U.S. Treasury Notes
    (31)     March 2007     (6,324,969 )     17,254  
5 Year U.S. Treasury Notes
    (34)     March 2007     (3,572,125 )     18,282  
10 Year U.S. Treasury Notes
    (12)     March 2007     (1,289,625 )     13,853  
TOTAL
               $ 2,053,506     $ (54,747 )
 
 The accompanying notes are an integral part of these financial statements.

40

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND 

Schedule of Investments

December 31, 2006
                                 
Principal Interest Maturity Amortized
Amount Rate Date Cost
   
Bank Note – 1.5%
    National City Bank
    $ 3,000,000       4.79 %     01/16/2007     $ 3,000,000  
   
   
Commercial Paper and Corporate Obligations – 30.3%
    Adirondack Corp.
    $ 5,000,000       5.30 %     01/23/2007     $ 4,983,805  
    Atlantic Asset Securitization Corp.
      3,000,000       5.28       03/20/2007       2,965,712  
    Charta LLC
      5,000,000       5.29       02/01/2007       4,977,224  
    Davis Square Funding VI (Delaware) Corp.
      5,000,000       5.29       01/11/2007       4,992,653  
    Falcon Asset Securitization Corp.
      3,000,000       5.34       01/22/2007       2,990,655  
    G Street Finance (Delaware) Corp.
      5,000,000       5.30       01/23/2007       4,983,805  
    George Street Finance LLC
      5,000,000       5.26       01/12/2007       4,991,964  
    Irish Life & Permanent PLC
      2,400,000       5.26       01/18/2007       2,394,039  
    KLIO III Funding Corp.
      5,000,000       5.27       02/07/2007       4,972,918  
    Liberty Street Funding Corp.
      5,000,000       5.32       01/02/2007       4,999,261  
    Three Pillars Funding LLC
      7,355,000       5.26       02/23/2007       7,298,044  
    Tulip Funding Corp.
      3,000,000       5.38       01/29/2007       2,987,447  
    United Parcel Service of America, Inc.
      2,000,000       5.21       07/31/2007       1,938,927  
    Westpac Banking Corp.
      5,000,000       5.21       05/07/2007       4,908,825  
   
    TOTAL COMMERCIAL PAPER AND CORPORATE OBLIGATIONS   $ 60,385,279  
   
   
Eurodollar Certificates of Deposit – 3.0%
    Northern Rock PLC
    $ 5,000,000       5.34 %     01/31/2007     $ 5,000,000  
    Societe Generale
      1,000,000       5.30       01/03/2008       1,000,000  
   
    TOTAL EURODOLLAR CERTIFICATES OF DEPOSIT   $ 6,000,000  
   
   
Master Demand Note – 2.0%
    Merrill Lynch Mortgage Capital, Inc.
    $ 4,000,000       5.43 %     01/03/2007     $ 4,000,000  
   
   
Medium Term Notes – 3.0%
    UBS AG Stamford
    $ 1,000,000       5.40 %     11/28/2007     $ 1,000,000  
    Wal-Mart Stores, Inc.(a)
      5,000,000       5.50       07/16/2007       5,001,730  
   
    TOTAL MEDIUM TERM NOTES   $ 6,001,730  
   
   
Variable Rate Obligations(b) – 32.6%
    Caja Madrid
    $ 5,000,000       5.37 %     01/19/2007     $ 5,000,000  
    Credit Suisse First Boston, Inc.
      5,000,000       5.35       02/20/2007       5,000,000  
    Crown Point Capital Co. LLC
      5,000,000       5.30       03/08/2007       4,999,817  
    HBOS Treasury Services PLC
      5,000,000       5.32       01/08/2007       5,000,000  
    IBM Corp.(a)
      10,000,000       5.36       01/08/2007       10,000,000  
    Lehman Brothers Holdings, Inc.
      5,000,000       5.34       02/26/2007       5,000,000  
    Lexington Parker Capital Corp.
      5,000,000       5.32       01/10/2007       4,999,991  
    Merrill Lynch & Co., Inc.
      2,000,000       5.36       01/16/2007       2,000,000  
    National City Bank of Indiana
      5,000,000       5.35       01/04/2007       4,999,992  
    Nordea Bank AB(a)
      4,000,000       5.36       01/11/2007       4,000,000  
    Societe Generale
      5,000,000       5.30       01/31/2007       4,999,518  
    Suntrust Bank
      5,000,000       5.32       01/02/2007       5,000,083  
    Wells Fargo & Co.
      4,000,000       5.34       01/03/2007       4,000,000  
   
    TOTAL VARIABLE RATE OBLIGATIONS   $ 64,999,401  
   
 
The accompanying notes are an integral part of these financial statements.

41

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND
 
Schedule of Investments (continued)
December 31, 2006
                                 
Principal Interest Maturity Amortized
Amount Rate Date Cost
   
Yankee Certificates of Deposit – 16.8%
    Barclays Bank PLC
    $ 11,000,000       5.33 %     01/16/2007     $ 11,000,000  
    DePfa Bank PLC
      6,500,000       5.33       01/30/2007       6,500,000  
    Deutsche Bank AG
      2,000,000       4.80       01/29/2007       2,000,000  
      2,000,000       5.09       02/28/2007       2,000,000  
      1,000,000       5.40       11/21/2007       1,000,000  
    Norinchukin Bank NY
      5,000,000       5.39       01/19/2007       5,000,000  
      6,000,000       5.37       04/11/2007       6,000,000  
   
    TOTAL YANKEE CERTIFICATES OF DEPOSIT   $ 33,500,000  
   
    TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENT – 89.2%   $ 177,886,410  
   
                                 
Principal Interest Maturity
Amount Rate Date Value
   
Repurchase Agreement(c) – 11.0%
    Joint Repurchase Agreement Account II
    $ 22,000,000       5.292 %     01/02/2007     $ 22,000,000  
            Maturity Value:  $22,012,936
   
    TOTAL INVESTMENTS – 100.2%   $ 199,886,410  
   
    LIABILITIES IN EXCESS OF OTHER ASSETS – (0.2)%     (447,507 )
   
    NET ASSETS – 100.0%   $ 199,438,903  
   

  The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

 
 (a) Securities are exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $19,001,730, which represents approximately 9.5% of net assets as of December 31, 2006.
 
 (b) Variable or floating rate security index is based on either Federal Funds, U.S. Treasury Bill, or London Interbank Offered Rate (“LIBOR”).
 
 (c) Joint repurchase agreement was entered into on December 29, 2006. Additional information appears on page 43.

  Maturity dates represent either the stated date on the security or the next interest reset date for floating rate securities.

 
The accompanying notes are an integral part of these financial statements.

42

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

Schedule of Investments

December 31, 2006

ADDITIONAL INVESTMENT INFORMATION

JOINT REPURCHASE AGREEMENT ACCOUNT II — At December 31, 2006, certain Funds had undivided interests in the Joint Repurchase Agreement Account II, as follows:

         
Principal
Fund Amount
Equity Index
  $ 5,600,000  
Core Fixed Income
    9,000,000  
Money Market
    22,000,000  
                                 
Repurchase Principal Interest Maturity Maturity
Agreements Amount Rate Date Value
ABN Amro, Inc.
  $ 500,000,000       5.32%       01/02/07     $ 500,295,556  
Banc of America Securities LLC
    750,000,000       5.32       01/02/07       750,443,333  
Barclays Capital PLC
    525,000,000       5.32       01/02/07       525,310,333  
Bear Stearns
    500,000,000       5.32       01/02/07       500,295,556  
Deutsche Bank Securities, Inc.
    750,000,000       5.31       01/02/07       750,442,500  
Greenwich Capital Markets
    300,000,000       5.32       01/02/07       300,177,333  
Morgan Stanley & Co.
    500,000,000       5.32       01/02/07       500,295,556  
UBS Securities LLC
    700,000,000       5.18       01/02/07       700,402,889  
UBS Securities LLC
    700,000,000       5.22       01/02/07       700,406,000  
UBS Securities LLC
    850,000,000       5.32       01/02/07       850,502,444  
Wachovia Capital Markets
    250,000,000       5.32       01/02/07       250,147,778  
TOTAL
   $ 6,325,000,000                     $ 6,328,719,278  
    At December 31, 2006, the Joint Repurchase Agreement Account II was fully collateralized by Federal Home Loan Bank, 0.00% to 7.23%, due 01/12/07 to 11/01/16; Federal Home Loan Mortgage Association, 3.50% to 9.00%, due 02/01/07 to 01/01/37; Federal National Mortgage Association, 0.00% to 11.50%, due 07/01/07 to 01/01/37 and Government National Mortgage Association, 4.50% to 9.00%, due 10/15/09 to 12/20/36. The aggregate market value of the collateral, including accrued interest, was $6,462,454,814.  
 
The accompanying notes are an integral part of these financial statements.

43

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

Statements of Assets and Liabilities

December 31, 2006
                                               
Growth Equity Core Government Money
Opportunities Index Fixed Income Income Market
Fund Fund Fund Fund Fund
    Assets:
   
Investment in securities, at value (identified cost $211,070,738, $310,870,982, $274,649,730, $86,564,802, and $177,886,410, respectively) — including $4,071,820, $1,291,082, $0, $0, and $0 of securities on loan, respectively
  $ 215,311,390     $ 430,949,734     $ 274,303,959     $ 86,194,946     $ 177,886,410  
   
Repurchase agreement, at value (cost $0, $5,600,000, $9,000,000, $0 and $22,000,000, respectively)
    —       5,600,000       9,000,000       —       22,000,000  
   
Securities lending collateral, at value (cost $4,207,025, $1,330,500, $0, $0 and $0, respectively)
    4,207,025       1,330,500       —       —       —  
   
Cash
    264,799       212,411       152,848       —       70,545  
   
Foreign currencies, at value (identified cost $1,015, $0, $0, $0, and $0, respectively)
    963       —       —       —       —  
   
Receivables:
                                       
     
Interest and dividends, at value
    62,834       597,356       2,090,280       611,310       1,240,196  
     
Investment securities sold
    —       1,798,158       712,460       1,166,625       —  
     
Fund shares sold
    29,628       —       —       933       348,374  
     
Forward foreign currency exchange contracts, at value
    —       —       161,317       —       —  
     
Variation margin
    —       —       95,613       45,257       —  
     
Reimbursement from adviser
    4,983       —       —       —       —  
     
Securities lending income
    2,194       197       —       —       —  
   
   
Total assets
     219,883,816       440,488,356       286,516,477       88,019,071       201,545,525  
   
    Liabilities:
   
Due to Custodian
    —       50,575       —       747,338       —  
   
Payables:
                                       
     
Payable upon return of securities loaned
    4,207,025       1,330,500       —       —       —  
     
Fund shares repurchased
    141,172       319,412       387,732       17,430       931,652  
     
Investment securities purchased
    —       —       —       —       1,000,000  
     
Amounts owed to affiliates
    211,599       127,262       131,837       50,699       83,227  
     
Forward foreign currency exchange contracts, at value
    —       —       74,013       —       —  
     
Variation margin
    —       32,130       —       —       —  
   
Accrued expenses
    73,345       157,931       155,124       141,031       91,743  
   
   
Total liabilities
     4,633,141       2,017,810       748,706       956,498       2,106,622  
   
    Net Assets:
   
Paid-in capital
    206,690,028       417,214,730       295,373,301       91,249,276       199,440,771  
   
Accumulated undistributed net investment income (loss)
    —       37,834       (62,855 )     —       —  
   
Accumulated net realized gain (loss) on investment, futures and foreign currency related transactions
    4,320,047       (98,869,791 )     (9,077,525 )     (3,762,100 )     (1,868 )
   
Net unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies
    4,240,600       120,087,773       (465,150 )     (424,603 )     —  
   
   
NET ASSETS
   $ 215,250,675     $ 438,470,546     $ 285,767,771     $ 87,062,573     $ 199,438,903  
   
   
Total Service Shares of beneficial interest outstanding, $0.001 par value (unlimited number of shares authorized)
    35,466,865       39,732,970       28,744,944       8,738,011       199,438,903  
   
Net asset value, offering and redemption price per share:
  $ 6.07     $ 11.04     $ 9.94     $ 9.96     $ 1.00  
   
 
The accompanying notes are an integral part of these financial statements.

44

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

Statements of Operations

For the Year Ended December 31, 2006
                                               
Growth Equity Core Government Money
Opportunities Index Fixed Income Income Market
Fund Fund Fund Fund Fund
    Investment income:
   
Interest (including securities lending income of $21,417, $10,303, $0, $0 and $0, respectively)
  $ 92,830     $ 248,678     $ 15,090,941     $ 4,292,551     $ 11,013,108  
   
Dividends(a)
    1,215,581       8,431,676       —       —       —  
   
   
Total income
     1,308,411       8,680,354       15,090,941       4,292,551       11,013,108  
   
    Expenses:
   
Management fees
    2,374,002       1,386,803       1,220,308       504,973       761,881  
   
Distribution and Service fees
    589,010       1,117,634       755,470       232,390       542,038  
   
Transfer agent fees
    92,434       175,392       118,557       36,469       85,061  
   
Custody and accounting fees
    80,568       207,655       160,029       70,455       45,696  
   
Professional fees
    55,522       56,136       59,899       56,605       55,182  
   
Printing fees
    24,244       31,307       33,679       24,590       23,942  
   
Trustee fees
    15,083       15,083       15,083       15,083       15,083  
   
Other
    7,070       7,042       7,185       6,289       6,873  
   
   
Total expenses
     3,237,933       2,997,052       2,370,210       946,854       1,535,756  
   
   
Less — expense reductions
    (525,304 )     (1,169,162 )     (735,343 )     (311,383 )     (466,029 )
   
   
Net expenses
     2,712,629       1,827,890       1,634,867       635,471       1,069,727  
   
   
NET INVESTMENT INCOME (LOSS)
     (1,404,218 )     6,852,464       13,456,074       3,657,080       9,943,381  
   
    Realized and unrealized gain (loss) on investment, futures and foreign currency related transactions:
   
Net realized gain (loss) from:
                                       
     
Investment transactions (including commissions recaptured of $5,699, $21,979, $0, $0 and $0, respectively)
    91,040,144       24,667,404       (4,113,712 )     (1,412,995 )     —  
     
Futures transactions
    —       409,981       498,002       217,017       —  
     
Foreign currency related transactions
    31,561       —       (535,947 )     —       —  
   
Net change in unrealized gain (loss) on:
                                       
     
Investments
    (76,856,321 )     31,716,110       2,734,239       1,122,503       —  
     
Futures
    —       9,021       (206,683 )     (54,747 )     —  
     
Translation of assets and liabilities denominated in foreign currencies
    (52 )     —       87,304       —       —  
   
   
Net realized and unrealized gain (loss) on investment, futures and foreign currency related transactions
     14,215,332       56,802,516       (1,536,797 )     (128,222 )     —  
   
   
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
   $ 12,811,114     $ 63,654,980     $ 11,919,277     $ 3,528,858     $ 9,943,381  
   

(a)  For the Growth Opportunities Fund, foreign taxes withheld on dividends were $91.

 
The accompanying notes are an integral part of these financial statements.

45

 

 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

Statements of Changes in Net Assets

                                     
Growth Opportunities Equity Index
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
December 31, 2006 December 31, 2005 December 31, 2006 December 31, 2005
    From operations:
   
Net investment income (loss)
  $ (1,404,218 )   $ (1,385,951 )   $ 6,852,464     $ 7,153,922  
   
Net realized gain (loss) from investment, futures and foreign currency related transactions
    91,071,705       40,227,353       25,077,385       604,471  
   
Net change in unrealized gain (loss) on investments, futures and translation of assets and liabilities denominated in foreign currencies
    (76,856,373 )     (2,140,031 )     31,725,131       13,306,879  
   
   
Net increase in net assets resulting from operations
     12,811,114       36,701,371       63,654,980       21,065,272  
   
    Distributions to shareholders:
   
From net investment income
    —       —       (6,863,196 )     (7,221,232 )
   
From net realized gain
    (89,741,828 )     (66,125,528 )     —       —  
   
Tax return of capital
    —       —       —       —  
   
   
Total distributions to shareholders
     (89,741,828 )     (66,125,528 )     (6,863,196 )     (7,221,232 )
   
    From capital transactions:
   
Proceeds from sales of shares
    565,388       1,523,762       6,907,077       15,944,208  
   
Reinvestment of dividends and distributions
    89,741,828       66,125,528       6,863,196       7,221,232  
   
Cost of shares repurchased
    (71,951,318 )     (63,757,175 )     (121,920,092 )     (142,459,001 )
   
   
Net increase (decrease) in net assets resulting from share transactions
     18,355,898       3,892,115       (108,149,819 )     (119,293,561 )
   
   
Payment from previous investment manager of merged fund
    2,462       —       241,488       —  
   
   
Net increase (decrease) in net assets resulting from capital transactions
     18,358,360       3,892,115       (107,908,331 )     (119,293,561 )
   
   
TOTAL DECREASE
     (58,572,354 )     (25,532,042 )     (51,116,547 )     (105,449,521 )
   
    Net assets:
   
Beginning of year
    273,823,029       299,355,071       489,587,093       595,036,614  
   
   
End of year
  $ 215,250,675     $ 273,823,029     $ 438,470,546     $ 489,587,093  
   
   
Accumulated undistributed (distribution in excess of) net investment income
   $ —     $ —     $ 37,834     $ 37,406  
   
    Summary of share transactions:
   
Shares sold
    61,670       668,774       642,626       6,111,008  
   
Impact of conversion of shares due to merger
    (105,942,206 )     —       (127,249,407 )     —  
   
Shares issued on reinvestment of dividends and distributions
    14,544,860       31,789,823       619,981       2,707,229  
   
Shares repurchased
    (8,003,266 )     (28,593,655 )     (12,847,336 )     (53,625,297 )
   
   
NET INCREASE (DECREASE)
     (99,338,942 )     3,864,942       (138,834,136 )     (44,807,060 )
   
 
The accompanying notes are an integral part of these financial statements.

46

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 
                                                     
Core Fixed Income Government Income Money Market
For the For the For the For the For the For the
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
December 31, 2006 December 31, 2005 December 31, 2006 December 31, 2005 December 31, 2006 December 31, 2005
 
     
    $ 13,456,074     $ 14,804,890     $ 3,657,080     $ 3,645,011     $ 9,943,381     $ 6,625,258      
      (4,151,657 )     (42,163 )     (1,195,978 )     (291,847 )     —       (1,868 )    
      2,614,860       (8,164,069 )     1,067,756       (1,607,735 )     —       —      
   
      11,919,277       6,598,658       3,528,858       1,745,429       9,943,381       6,623,390      
   
 
     
      (13,428,582 )     (17,062,085 )     (3,790,127 )     (3,996,071 )     (9,943,381 )     (6,646,008 )    
      —       —       —       —       —       —      
      —       —       —       —       —       (56,233 )    
   
      (13,428,582 )     (17,062,085 )     (3,790,127 )     (3,996,071 )     (9,943,381 )     (6,702,241 )    
   
 
     
      6,755,685       13,661,274       5,206,721       3,171,313       122,952,588       109,105,489      
      13,428,582       17,062,085       3,790,127       3,996,071       9,965,929       6,702,241      
      (65,768,167 )     (89,617,770 )     (24,444,204 )     (31,008,367 )     (155,695,349 )     (158,191,711 )    
   
      (45,583,900 )     (58,894,411 )     (15,447,356 )     (23,840,983 )     (22,776,832 )     (42,383,981 )    
   
      —       —       2,488       —       —       —      
   
      (45,583,900 )     (58,894,411 )     (15,444,868 )     (23,840,983 )     (22,776,832 )     (42,383,981 )    
   
      (47,093,205 )     (69,357,838 )     (15,706,137 )     (26,091,625 )     (22,776,832 )     (42,462,832 )    
   
 
     
      332,860,976       402,218,814       102,768,710       128,860,335       222,215,735       264,678,567      
   
    $ 285,767,771     $ 332,860,976     $ 87,062,573     $ 102,768,710     $ 199,438,903     $ 222,215,735      
   
    $ (62,855 )   $ (485,359 )   $ —     $ 23,840     $ —     $ —      
   
 
     
      1,414,696       12,685,160       521,937       2,946,864       122,952,588       109,105,487      
      (281,251,666 )     —       (85,825,236 )     —       —       —      
      1,366,538       15,973,918       383,634       3,735,449       9,965,929       6,702,241      
      (8,050,378 )     (83,108,605 )     (3,162,454 )     (28,811,809 )     (155,695,349 )     (158,191,711 )    
   
      (286,520,810 )     (54,449,527 )     (88,082,119 )     (22,129,496 )     (22,776,832 )     (42,383,983 )    
   
 
The accompanying notes are an integral part of these financial statements.

47

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                     
Income (loss) from Ratios assuming
investment operations no expense reductions
Distributions Ratio of
Net asset to shareholders Net assets Ratio of net investment Ratio of
value, Net Net realized Total from from net Net asset at end of net expenses loss total expenses Portfolio
beginning investment and unrealized investment realized value, end Total year to average to average to average turnover
of year loss gain (loss) operations gains of year return(b) (in 000s) net assets net assets net assets rate
 
    FOR THE YEARS ENDED DECEMBER 31,(c)
    2006   $ 9.69     $ (0.06 ) (a)   $ 0.68     $ 0.62     $ (4.24 )   $ 6.07       5.74 %   $ 215,251       1.15 %     (0.60 )%(d)     1.37 %     82 %
    2005     10.90       (0.05 ) (e)(g)     1.54       1.49       (2.70 )     9.69       14.68       273,823       1.15       (0.50 )     1.15       27  
    2004(f)     10.13       (0.07 ) (g)     1.78       1.71       (0.94 )     10.90       18.62       299,355       1.14       (0.70 )     1.15       38  
    2003(f)     7.25       (0.07 ) (g)     2.95       2.88       —       10.13       39.72       296,204       1.11       (0.70 )     1.13       46  
    2002(f)     9.25       (0.07 ) (g)     (1.93 )     (2.00 )     —       7.25       (21.62 )     287,593       1.05       (0.70 )     1.06       41  
   

(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. The Goldman Sachs Growth Opportunities Fund first began operations as the Allmerica Select Capital Appreciation Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided.
(c)  The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Growth Opportunities Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization.
(d)  Ratio of net investment loss assuming no expense reductions is (0.82)%.
(e)  Investment income per share reflects a special dividend of $0.005 for the Predecessor AIT Fund.
(f)  Effective January 1, 2005, brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change.
(g)  Calculated based on the SEC methodology.

The accompanying notes are an integral part of these financial statements.

 
48

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                     
Ratios
assuming no
Income (loss) from Distributions expense
investment operations to shareholders reductions
Ratio of
Net asset Net assets Ratio of net investment Ratio of
value, Net Net realized Total from From net From net Net asset at end of net expenses income total expenses Portfolio
beginning investment and unrealized investment investment realized Total value, end Total year to average to average to average turnover
of year income gain (loss) operations income gains distributions of year return(b) (in 000s) net assets net assets net assets rate
 
    FOR THE YEARS ENDED DECEMBER 31,(c)
    2006   $ 9.71     $ 0.16 (a)   $ 1.34     $ 1.50     $ (0.17 )   $ —     $ (0.17 )   $ 11.04       15.49 % (i)   $ 438,471       0.41 %     1.53 %(d)     0.67 %     4 %
    2005     9.43       0.13 (e)(h)     0.28       0.41       (0.13 )     —       (0.13 )     9.71       4.38       489,587       0.52       1.35       0.52       7  
    2004(f)     8.69       0.14 (h)     0.74       0.88       (0.14 )     —       (0.14 )     9.43       10.32       595,037       0.50       1.53       0.52       4  
    2003(f)     6.88       0.10 (g)(h)     1.81       1.91       (0.10 )     —       (0.10 )     8.69       27.83       666,455       0.45       1.37       0.50       23  
    2002(f)     9.62       0.10 (h)     (2.19 )     (2.09 )     (0.10 )     (0.55 )     (0.65 )     6.88       (22.22 )     342,683       0.45       1.16       0.47       10  
   

(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. The Goldman Sachs Equity Index Fund first began operations as the Allmerica Equity Index Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided.
(c)  The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Equity Index Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization.
(d)  Ratio of net investment income assuming no expense reductions is 1.27%.
(e)  Investment income per share reflects a special dividend of $0.028 for the Predecessor AIT Fund.
(f)  Effective January 1, 2005, brokerage commissions are included with realized gain or loss on investment transactions. Prior to January 1, 2005, these amounts were presented as a reduction of expenses. Prior year amounts have not been restated to reflect this change.
(g)  Net investment income per share before expense reductions was $0.099.
(h)  Calculated based on the SEC methodology.
(i)  Total return reflects the impact of a payment from previous investment manager of a merged fund to compensate for possible adverse effects of trading activity of certain contract holders of the merged fund prior to January 9, 2006 received this year. Excluding such payments, the total return would have been 15.39%.

The accompanying notes are an integral part of these financial statements.

 
49

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                     
Income (loss) from Distributions Ratios assuming no
investment operations to shareholders expense reductions
Ratio of
Net asset Net assets Ratio of net investment Ratio of
value, Net Net realized Total from From net From net Net asset at end of net expenses income total expenses Portfolio
beginning investment and unrealized investment investment realized Total value, end Total year to average to average to average turnover
of year income gain (loss) operations income gains distributions of year return(b) (in 000s) net assets net assets net assets rate(e)
 
    FOR THE YEARS ENDED DECEMBER 31,(c)
    2006   $ 9.98     $ 0.44 (a)   $ (0.03 )(i)   $ 0.41     $ (0.45 )   $ —     $ (0.45 )   $ 9.94       4.23 %(h)   $ 285,768       0.54 %     4.49 %(d)     0.78 %     265 %
    2005     10.29       0.42 (g)     (0.24 )     0.18       (0.49 )     —       (0.49 )     9.98       1.84       332,861       0.64       4.05       0.64       110  
    2004     10.58       0.41 (g)     —       0.41       (0.56 )     (0.14 )     (0.70 )     10.29       3.98       402,219       0.64       3.78       0.64       113  
    2003     10.72       0.38 (g)     (0.03 )(f)     0.35       (0.49 )     —       (0.49 )     10.58       3.31       530,199       0.63       3.42       0.63       192  
    2002     10.46       0.51 (g)     0.32       0.83       (0.57 )     —       (0.57 )     10.72       8.14       620,074       0.58       4.85       0.58       130  
   

(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. The Goldman Sachs Core Fixed Income Fund first began operations as the Allmerica Select Investment Grade Income Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided.
(c)  The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Core Fixed Income Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization.
(d)  Ratio of net investment income assuming no expense reductions is 4.25%.
(e)  The portfolio turnover rate excluding the effect of mortgage dollar rolls is 259% for the year ended December 31, 2006. Prior year ratios include the effect of mortgage dollar roll transactions.
(f)  The amount shown for a share outstanding does not correspond with the aggregate net gain on investments for the period. This is due to the timing of sales and repurchases of Fund shares in relation to the fluctuating market values of the investments of the Fund.
(g)  Calculated based on the SEC methodology.
(h)  Total return reflects the impact of payments received for class action settlements received this year. Excluding such payment, the total return would have been 3.81%.
(i)  Reflects an increase of $0.04 due to payments received for class action settlements received this year.

The accompanying notes are an integral part of these financial statements.

 
50

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT INCOME FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                                                     
Ratio assuming no
Income (loss) from Distributions expense reductions
investment operations to shareholders
Ratio of Ratio of
Net asset Net assets Ratio of net investment total expenses
value, Net Net realized Total from From net From net Net asset at end of net expenses income to to average Portfolio
beginning investment and unrealized investment investment realized Total value, end Total year to average average net turnover
of year income gain (loss) operations income gains distributions of year return(b) (in 000s) net assets net assets assets rate(e)
 
    FOR THE YEARS ENDED DECEMBER 31,(c)
    2006   $ 9.98     $ 0.39 (a)   $ 0.01     $ 0.40     $ (0.42 )   $ —     $ (0.42 )   $ 9.96       4.05 %   $ 87,063       0.68 %     3.96 %(d)     1.02 %     523 %
    2005     10.19       0.32 (f)     (0.16 )     0.16       (0.37 )     —       (0.37 )     9.98       1.55       102,769       0.74       3.18       0.74       44  
    2004     10.39       0.28 (f)     (0.07 )     0.21       (0.39 )     (0.02 )     (0.41 )     10.19       2.12       128,860       0.73       3.02       0.73       77  
    2003     10.63       0.28 (f)     (0.10 )     0.18       (0.42 )     —       (0.42 )     10.39       1.67       20,018       0.71       2.82       0.71       55  
    2002     10.13       0.39 (f)     0.53       0.92       (0.42 )     —       (0.42 )     10.63       9.28       291,995       0.68       3.48       0.68       79  
   

(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes investment at the net asset value at the beginning of the year, reinvestment of all dividends and distributions and a complete redemption of the investment at the net asset value at the end of the year. The Goldman Sachs Government Income Fund first began operations as the Allmerica Government Bond Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided.
(c)  The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Government Income Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund at $10.00 per share. Historical per-share amounts prior to the Fund reorganization have been adjusted to reflect the conversion ratio utilized for the reorganization.
(d)  Ratio of net investment income assuming no expense reductions is 3.62%.
(e)  The portfolio turnover rate excluding the effect of mortgage dollar rolls is 447% for the year ended December 31, 2006. Prior year ratios include the effect of mortgage dollar roll transactions.
(f)  Calculated based on the SEC methodology.

The accompanying notes are an integral part of these financial statements.

 
51

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST MONEY MARKET FUND

Financial Highlights

Selected Data for a Share Outstanding Throughout Each Year
                                                                                 
Ratios assuming no
expense reductions
Ratio of
Net asset Net assets Ratio of net investment Ratio of
value, Net Net asset at end of net expenses income total expenses
beginning investment Distributions value, end Total year to average to average to average
of year income to shareholders of year return(b) (in 000s) net assets net assets net assets
 
    FOR THE YEARS ENDED DECEMBER 31,(c)
    2006   $ 1.00     $ 0.05 (a)   $ (0.05 )   $ 1.00       4.65 %   $ 199,439       0.49 %     4.59 %(d)     0.71 %    
    2005     1.00       0.03 (e)     (0.03 )(f)     1.00       2.75       222,194       0.55       2.65       0.55      
    2004     1.00       0.01 (e)     (0.01 )     1.00       0.91       264,679       0.52       0.88       0.52      
    2003     1.00       0.01 (e)     (0.01 )     1.00       0.80       377,155       0.53       0.82       0.53      
    2002     1.00       0.02 (e)     (0.02 )     1.00       1.66       704,805       0.45       1.63       0.45      
   

(a)  Calculated based on the average shares outstanding methodology.
(b)  Assumes reinvestment of all distributions. The Goldman Sachs Money Market Fund first began operations as the Allmerica Money Market Fund (the “Predecessor AIT Fund”) of the Allmerica Investment Trust. On January 9, 2006, the Predecessor AIT Fund was reorganized as a new portfolio of the Goldman Sachs Variable Insurance Trust. Performance prior to January 9, 2006 is that of the Predecessor AIT Fund. The Predecessor AIT Fund was considered the accounting survivor of the reorganization and as such, the historical total return information of the Predecessor AIT Fund is provided.
(c)  The Predecessor AIT Fund was the accounting survivor of the reorganization and as such, the prior years financial highlights reflect the financial information of the Predecessor AIT Fund through January 8, 2006. In connection with such acquisition, the Goldman Sachs Money Market Fund issued Service Class Shares to the former shareholders of the Predecessor AIT Fund.
(d)  Ratio of net investment income assuming no expense reductions is 4.37%.
(e)  Calculated based on the SEC methodology.
(f)  Distribution from net realized gain on investments and return of capital amounted to less than $0.0005.

The accompanying notes are an integral part of these financial statements.

 
52

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

Notes to Financial Statements

December 31, 2006

1. ORGANIZATION

Goldman Sachs Variable Insurance Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”) as an open-end, management investment company. The Trust includes the Goldman Sachs Growth Opportunities Fund, Goldman Sachs Equity Index Fund, Goldman Sachs Core Fixed Income Fund, Goldman Sachs Government Income Fund and Goldman Sachs Money Market Fund (collectively, the “Funds” or individually a “Fund”). On January 9, 2006, pursuant to an Agreement and Plan of Reorganization (the “Reorganization Agreement”) previously approved by the Trust’s Board of Trustees, all of the assets, subject to liabilities, of Allmerica Investment Trust’s (“AIT”) Select Capital Appreciation, Equity Index, Select Investment Grade Income, Government Bond and Money Market Funds (collectively the “Predecessor AIT Funds” or individually the “Predecessor AIT Fund”) were transferred to the newly formed Goldman Sachs Variable Insurance Trust’s (“VIT”) Growth Opportunities, Equity Index, Core Fixed Income, Government Income and Money Market Funds, respectively, in exchange for beneficial interest of the Funds Service Class Shares of equal value on the close of business on January 6, 2006. The Predecessor AIT Funds were the accounting survivor in the reorganization and as such, the financial statements and financial highlights reflect the financial information of the Predecessor AIT Funds through January 8, 2006. Each Fund is a diversified portfolio under the Act.
     Shares of the Trust may be purchased and held by separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Trust are not offered directly to the general public.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of the significant accounting policies consistently followed by the Funds. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that may affect the reported amounts. Actual results could differ from those estimates.

A. Investment Valuation — Investments in equity securities and investment companies traded on a U.S. securities exchange or the NASDAQ system are valued daily at their last sale price or official close price on the principal exchange or system on which they are traded. If no sale occurs, such securities and investment companies are valued at the last bid price. Debt securities are valued at prices supplied by independent pricing services, broker/dealer-supplied valuations or matrix pricing systems. Unlisted equity securities for which market quotations are available are valued at the last sale price on valuation date, or if no sale occurs, at the last bid price. Investments in investment companies (other than those that are exchange traded) are valued at the net asset value per share on valuation date. Short-term debt obligations maturing in sixty days or less are valued at amortized cost, which approximates market value. Securities for which quotations are not readily available or deemed not to reflect market value by the investment adviser are valued at fair value using methods approved by the Trust’s Board of Trustees.

     The Money Market Fund uses the amortized-cost method, as permitted by Rule 2a-7 under the Act, for valuing portfolio securities, which approximates market value. Under this method, all investments purchased at a discount or premium are valued by accreting or amortizing the difference between the original purchase price and maturity value of the issue over the period to maturity.

B. Security Transactions and Investment Income — Security transactions are reflected as of the trade date. Realized gains and losses on sales of portfolio securities are calculated using the identified cost basis. Dividend income is recorded on the ex-dividend date (net of foreign withholding taxes, if any, which are reduced by any amounts reclaimable by the Funds). Interest income is recorded on the basis of interest accrued, premium amortized and discount accreted.

     Certain mortgage security paydown gains and losses are recorded as interest income (loss) and are included in interest income in the accompanying Statements of Operations. Original issue discounts (OID) on debt securities are accreted to interest income over the life of the security with a corresponding increase in the cost basis of that security. Market discounts
 
53

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
and market premiums on debt securities are accreted/amortized to interest income over the expected life of the security with a corresponding adjustment in the cost basis of that security.
     Pursuant to applicable law and procedures adopted by the Trust’s Board of Trustees, securities transactions in portfolio securities (including futures transactions) may be effected from time to time through Goldman Sachs or an affiliate. In order for Goldman Sachs or an affiliate, acting as agent, to effect securities or futures transactions for a Fund, the commissions, fees or other remuneration received by Goldman Sachs or an affiliate must be reasonable and fair compared to the commissions, fees or other remuneration received by other brokers in connection with comparable transactions involving similar securities or futures contracts.

C. Expenses — Expenses incurred by the Trust that do not specifically relate to an individual Fund of the Trust are allocated to the Funds on a straight-line and/or “pro-rata” basis depending upon the nature of the expense.

D. Federal Taxes and Distributions to Shareholders — It is the Funds’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”) applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, no federal tax provisions are required. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income distributions, if any, are declared and paid annually for the Growth Opportunities and Equity Index Funds, declared and paid quarterly for the Core Fixed Income and Government Income Funds and declared daily and paid monthly for the Money Market Fund. Capital gains distributions, if any, are declared and paid annually for all Funds. Net capital losses are carried forward to future years and may be used to the extent allowed by the Code to offset any future capital gains. Utilization of capital loss carryforwards will reduce the requirement of future capital gain distributions.

     The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with Federal income tax rules, which may differ from generally accepted accounting principles. Therefore, the source of the Funds’ distributions may be shown in the accompanying financial statements as either from net investment income, net realized gain, or as a tax return of capital.
     In addition, distributions paid by the Funds’ investments in real estate investment trusts (“REITs”) often include a “return of capital” which is recorded by the Funds as a reduction of the cost basis of the securities held. The Code requires a REIT to distribute at least 95% of its taxable income to investors. In many cases, however, because of “non-cash” expenses such as property depreciation, a REIT’s cash flow will exceed its taxable income. The REIT may distribute this excess cash to offer a more competitive yield. This portion of the distribution is deemed a return of capital and is generally not taxable to shareholders.
 
54

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 
 
2. SIGNIFICANT ACCOUNTING POLICIES (continued)

E. Foreign Currency Translations — The books and records of the Funds are maintained in U.S. dollars. Amounts denominated in foreign currencies are translated into U.S. dollars on the following basis: (i) investment valuations, foreign currency and other assets and liabilities initially expressed in foreign currencies are converted each business day into U.S. dollars based upon current exchange rates; and (ii) purchases and sales of foreign investments, income and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions.

     Net realized and unrealized gain (loss) on foreign currency transactions will represent: (i) foreign exchange gains and losses from the sale and holdings of foreign currencies; (ii) currency gains and losses between trade date and settlement date on investment securities transactions and forward exchange contracts; and (iii) gains and losses from the difference between amounts of dividends, interest and foreign withholding taxes recorded and the amounts actually received. The effect of changes in foreign currency exchange rates on securities and derivative instruments are not segregated in the Statement of Operations from the effects of changes in market prices of those securities and derivative instruments, but are included with the net realized and unrealized gain (loss) on securities and derivative instruments. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities as a result of changes in foreign exchange rates are included as increases and decreases in unrealized gain (loss) on foreign currency related transactions.

F. Forward Foreign Currency Exchange Contracts — The Core Fixed Income Fund may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross-hedge against either specific transactions or portfolio positions. The Fund may also purchase and sell forward contracts to seek to increase total return. All commitments are “marked-to-market” daily at the applicable translation rates and any resulting unrealized gains or losses are recorded in the Fund’s financial statements. The Fund records realized gains or losses at the time a forward contract is offset by entry into a closing transaction or extinguished by delivery of the currency. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

     The contractual amounts of forward foreign currency exchange contracts do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered. At December 31, 2006, the Fund had segregated sufficient cash and/or securities to cover any commitments under these contracts.

G. Forward Sales Contracts — The Core Fixed Income and Government Income Funds may enter into forward security sales of mortgage-backed securities in which the Funds sell securities in the current month for delivery of securities, defined by pool-stipulated characteristics, on a specified future date. The value of the contract is recorded as a liability on the Fund’s records with the difference between its market value and cash proceeds received being recorded as an unrealized gain or loss. Gains or losses are realized upon delivery of the security sold.

H. Futures Contracts — The Funds, except the Money Market Fund, may enter into futures transactions to hedge against changes in interest rates, securities prices, currency exchange rates or to seek to increase total return. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, the Funds are required to segregate cash or securities equal to the minimum “initial margin” requirement of the associated futures exchange. Subsequent payments for futures contracts (“variation margin”) are paid or received by the Funds, dependent on the daily fluctuations in the value of the contracts, and are recorded for financial reporting purposes as unrealized gains or losses. When contracts are closed, the Funds realize a gain or loss which is reported in the Statements of Operations.

     The use of futures contracts involve, to varying degrees, elements of market risk and counterparty which may exceed the amounts recognized in the Statements of Assets and Liabilities. Changes in the value of the futures contract may not directly correlate with changes in the value of the underlying securities. This risk may decrease the effectiveness of the Funds’ strategies and potentially result in a loss.
 
55

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

I. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Funds, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. If the seller defaults or becomes insolvent, realization of the collateral by the Funds may be delayed or limited and there may be a decline in the value of the collateral during the period while the Funds assert their rights. The underlying securities for all repurchase agreements are held in safekeeping at the Funds’ custodian or designated subcustodians under triparty repurchase agreements.

     Pursuant to exemptive relief granted by the Securities and Exchange Commission (the “SEC”) and terms and conditions contained therein, the Funds, together with other registered investment companies having management or investment advisory agreements with Goldman Sachs Asset Management, L.P. (“GSAM”), or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements.

J. Segregation Transactions — As set forth in the prospectus, the Funds may enter into certain derivative transactions to seek to increase total return. Forward foreign currency exchange contracts, futures contracts, written options, when-issued securities and forward commitments represent examples of such transactions. As a result of entering into these transactions, the Funds are required to segregate liquid assets with a current value equal to or greater than the market value of the corresponding transactions.

K. Treasury Inflation-Protected Securities — The Funds may invest in Treasury Inflation-Protected Securities (“TIPS”), specially structured bonds for which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index (“CPI”). The adjustments for interest income due to inflation are reflected in interest income in the Statements of Operations. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

L. Commission Recapture — The Growth Opportunities and Equity Index Funds may direct portfolio trades, subject to obtaining best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Funds as cash payments and are included in the net realized gain (loss) on investments in the Statements of Operations.

3. AGREEMENTS

Effective January 9, 2006, GSAM, an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), assumed the role of investment adviser pursuant to an Investment Management Agreement (the “Agreement”) with the Trust on behalf of the Funds. Under this Agreement, GSAM manages the Funds, subject to the general supervision of the Trust’s Board of Trustees.
     As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administering the Funds’ business affairs, including providing facilities, GSAM is entitled to a fee (“Management Fee”), computed daily and payable monthly, equal to an annual percentage rate of the Funds’ average daily net assets.
     The Agreement for the following Funds provide for Management fees at annual rates equal to the following percentages of the average daily net assets of the Funds:
                 
Management Fee Average Daily
Fund Annual Rate Net Assets
      1.00 %   First $ 2 Billion  
Growth Opportunities
    0.90 %   Over $ 2 Billion  
      0.40 %   First $ 1 Billion  
      0.36 %   Next $ 1 Billion  
Core Fixed Income
    0.34 %   Over $ 2 Billion  
      0.54 %   First $ 1 Billion  
      0.49 %   Next $ 1 Billion  
Government Income
    0.47 %   Over $ 2 Billion  
 
56

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

3. AGREEMENTS (continued)

     The Agreement for the Equity Index Fund provides for a Management fee at an annual rate equal to 0.30% of the Fund’s average daily net assets. If the Fund’s average daily net assets are between $300 million and $400 million, 0.05% of the Management fee will be waived on a voluntary basis. If the Fund’s average daily net assets exceed $400 million, 0.10% of the Management fee will be waived on a voluntary basis. These waivers may be modified or terminated at any time without shareholder approval.
     As authorized by the Management Agreement, GSAM has entered into a Sub-advisory Agreement with SSgA Funds Management, Inc. (“SSgA”) who serves as the sub-adviser to the Equity Index Fund and provides the day-to-day advice regarding the Fund’s portfolio transactions. As compensation for its services, SSgA is entitled to a fee, computed daily and payable monthly, at the following annual rates of the Fund’s average daily net assets: 0.03% on the first $50 million, 0.02% on the next $200 million, 0.01% on the next $750 million and 0.008% over $1 billion.
     The Agreement for the Money Market Fund provides for a Management fee at an annual rate equal to 0.35% of the Fund’s average daily net assets.
     Prior to January 9, 2006, Allmerica Financial Investment Management Services, Inc., a wholly-owned subsidiary of Allmerica Financial Life Insurance and Annuity Company (“AFLIAC”), served as investment manager and administrator to the Trust. For these services and under the terms of the management agreement, the Funds paid a monthly fee, calculated and accrued daily, at an annual rate based upon the following fee schedules:
                                                 
Percentage of Average Daily Net Assets
First Next Next Next Next Over
Fund $100,000,000 $150,000,000 $250,000,000 $250,000,000 $250,000,000 $1,000,000,000
Growth Opportunities (formerly AIT Select Capital Appreciation Fund)
    1.00 %     0.90 %     0.80 %     0.70 %     0.70 %     0.65 %
Government Income (formerly AIT Government Bond Fund)
    0.50 %     0.50 %     0.50 %     0.50 %     0.50 %     0.50 %
Money Market (formerly AIT Money Market Fund)
    0.35 %     0.30 %     0.30 %     0.25 %     0.20 %     0.20 %
                         
First Next Over
Fund $50,000,000 $200,000,000 $250,000,000
Equity Index (formerly AIT Equity Index Fund)
    0.35 %     0.30 %     0.25 %
                         
First Next Over
Fund $50,000,000 $50,000,000 $100,000,000
Core Fixed Income (formerly AIT Select Investment Grade Income Fund)
    0.50 %     0.45 %     0.40 %
 
57

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

3. AGREEMENTS (continued)

     During the year ended December 31, 2006, AFLIAC made voluntary contributions in the amount of $2,462, $241,488, and $2,488 to the Growth Opportunities, Equity Index, and Government Income Funds, respectively, to compensate for possible adverse effects of trading activity by certain contract holders prior to January 9, 2006.

In connection with the reorganization of the Funds of the Allmerica Investment Trust on January 9, 2006, GSAM has contractually agreed to reimburse the following Funds as necessary to limit the total annual operating expenses of the Funds to the following levels until June 2007:

         
Fund
Growth Opportunities
    1.144%  
Equity Index
    0.404%  
Core Fixed Income
    0.544%  
Government Income
    0.684%  
Money Market
    0.494%  
     GSAM has also voluntarily agreed to limit certain “Other Expenses” of the Funds (excluding Management fees, Distribution and Service Fees, Transfer Agency fees and expenses, taxes, interest, brokerage fees and litigation, indemnification costs, shareholder meeting and other extraordinary expenses exclusive of any offset arrangements) to the extent that such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Funds. GSAM has agreed to maintain this expense limitation reduction on a voluntary basis. Such expense reimbursements, if any, are computed daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. For the period January 9, 2006 through December 31, 2006, the Other Expense limitations for the Growth Opportunities Fund, Equity Index Fund, Core Fixed Income Fund, Government Income Fund, and Money Market Fund as an annual percentage rate of average daily net assets were 0.004%, 0.064%, 0.004%, 0.004%, and 0.004%, respectively.
     Goldman Sachs also serves as the Transfer Agent of the Funds for a fee. The fees charged for such transfer agency services are calculated daily and payable monthly equal to an annual rate of 0.04% of the average daily net assets of the Funds.
     The Trust has adopted, on behalf of the Service Shares of the Funds, a Distribution and Service Plan (the “Plan”). Under the Plan, Goldman Sachs is entitled to a monthly fee for distribution services equal to, on an annual basis, 0.25% of each Fund’s average daily net assets attributable to Service Shares. Goldman Sachs has voluntarily agreed to waive distribution and service fees for Service Shares so as not to exceed 0.10% of average daily net assets for the Growth Opportunities, Equity Index, Core Fixed Income, Government Income and Money Market Funds. These waivers may be modified or terminated at any time at the option of Goldman Sachs.
 
58

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

3. AGREEMENTS (continued)

     For the year ended December 31, 2006, GSAM has voluntarily agreed to waive certain fees and reimburse other expenses. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent resulting in a reduction in the Funds’ expenses. These expense reductions were as follows (in thousands):
                                                 
Fee Waivers Expense Credits
Other Total
Distribution Custody Transfer Expense Expense
Fund Management and Service Fee Agent Fee Reimbursement Reductions
Growth Opportunities
  $ —     $ 348     $ 3     $ 7     $ 167     $ 525  
Equity Index
    478       661       4       13       13       1,169  
Core Fixed Income
    —       447       23       9       256       735  
Government Income
    —       137       4       3       167       311  
Money Market
    —       321       2       6       137       466  
     At December 31, 2006, the amounts owed to affiliates were as follows (in thousands):
                                 
Management Distribution and Transfer
Fund Fees Service Fees Agent Fees Total
Growth Opportunities
  $ 186     $ 19     $ 7     $ 212  
Equity Index
    75       37       15       127  
Core Fixed Income
    98       24       10       132  
Government Income
    40       8       3       51  
Money Market
    59       17       7       83  

4. PORTFOLIO SECURITIES TRANSACTIONS

The cost of purchases and proceeds from sales and maturities of long-term securities for the year ended December 31, 2006, were as follows:
                                 
Sales and
Purchases Maturities of Sales and Maturities
Purchases of (Excluding U.S. Government (Excluding U.S.
U.S. Government and U.S. Government and and Agency Government and
Fund Agency Obligations Agency Obligations) Obligations Agency Obligations)
Growth Opportunities
  $ —     $ 347,879,090     $ —     $ 194,081,578  
Equity Index
    —       17,593,606       —       117,262,855  
Core Fixed Income
    581,420,535       153,879,611       579,666,097       179,682,519  
Government Income
    456,504,345       18,889,742       468,614,798       12,865,333  
     For the year ended December 31, 2006, Goldman Sachs earned approximately $4,200, $2,000, $24,200, and $8,600 of brokerage commissions from portfolio transactions, including futures transactions, executed on behalf of the Growth Opportunities, Equity Index, Core Fixed Income, and Government Income Funds, respectively.
 
59

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

5. SECURITIES LENDING

Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Growth Opportunities and Equity Index Funds may lend their securities through a securities lending agent, Boston Global Advisers (“BGA”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the loans are collateralized at all times with cash and/or securities with a market value at least equal to the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price, or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds bear the risk of delay on recovery or loss of rights in the collateral should the borrower of the securities fail financially.
     The Funds invest the cash collateral received in connection with securities lending transactions in the Enhanced Portfolio of Boston Global Investment Trust, a Delaware statutory trust. The Enhanced Portfolio is exempt from registration under Section 3(c)(7) of the Act and is managed by GSAM, for which GSAM receives an investment advisory fee of up to 0.10% of the average daily net assets of the Enhanced Portfolio. The Enhanced Portfolio invests in high quality money market instruments. The Funds bear the risk of incurring a loss from the investment of cash collateral due to either credit or market factors. Both the Funds and BGA receive compensation relating to the lending of the Funds’ securities. The amounts earned by the Funds for the year ended December 31, 2006, are reported parenthetically under Investment Income on the Statement of Operations. A portion of this amount, $2,400 and $100 represents compensation earned by the Growth Opportunities and Equity Index Funds from lending their securities to Goldman Sachs. For the year ended December 31, 2006, BGA earned approximately $2,700 and $1,600 in fees as securities lending agent for the Growth Opportunities and Equity Index Funds, respectively. At December 31, 2006, the Growth Opportunities and Equity Index Funds loaned securities having a market value of $4,071,820 and $1,291,082 that were collateralized by cash in the amount of $4,207,025 and $1,330,500, respectively.

6. LINE OF CREDIT FACILITY

The Funds participate in a $400,000,000 committed, unsecured revolving line of credit facility together with other registered investment companies having management or investment advisory agreements with GSAM. Under the most restrictive arrangement, the Funds must own securities having a market value in excess of 300% of the Funds’ total bank borrowings. This facility is to be used solely for temporary or emergency purposes. The interest rate on borrowings is based on the federal funds rate. This committed facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. During the year ended December 31, 2006, the Funds did not have any borrowings under this facility.
 
60

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

7. TAX INFORMATION

The tax character of distributions paid during the fiscal year ended December 31, 2006 was as follows:
                                           
Growth
Opportunities Equity Index Core Fixed Income Government Income Money Market
Distributions paid from:
                                       
Ordinary income
  $ 9,315,607     $ 6,863,196     $ 13,428,582     $ 3,790,127     $ 9,943,381  
Net long-term capital gains
    80,426,221       —       —       —       —  
 
Total taxable distributions
  $ 89,741,828     $ 6,863,196     $ 13,428,582     $ 3,790,127     $ 9,943,381  

The tax character of distributions paid during the fiscal year ended December 31, 2005 was as follows:

                                           
Growth
Opportunities Equity Index Core Fixed Income Government Income Money Market
Distributions paid from:
                                       
Ordinary income
  $ 4,773,256     $ 7,221,232     $ 17,062,085     $ 3,996,071     $ 6,646,008  
Net long-term capital gains
    61,352,272       —       —       —       —  
 
Total taxable distributions
  $ 66,125,528     $ 7,221,232     $ 17,062,085     $ 3,996,071     $ 6,646,008  

As of December 31, 2006, the components of accumulated earnings (losses) on a tax basis were as follows:

                                           
Growth
Opportunities Equity Index Core Fixed Income Government Income Money Market
Undistributed ordinary income — net
  $ 4,459,095     $ —     $ 24,449     $ —     $ —  
Undistributed long-term capital gains
    580,365       —               —       —  
Total undistributed earnings
  $ 5,039,460     $ —     $ 24,449     $ —     $ —  
 
Capital loss carryforward*(1):
                                       
 
Expiring 2007
    —       (92,037 )     —       —       —  
 
Expiring 2008
    (285,234 )     (26,761,314 )     —       —       —  
 
Expiring 2009
    —       (13,380,657 )     —       —       —  
 
Expiring 2010
    —       (14,005,437 )     —       —       —  
 
Expiring 2011
    —       (16,843,955 )     —       —       —  
 
Expiring 2012
    —       (7,271,316 )     (1,472,715 )     (1,242,253 )     —  
 
Expiring 2013
    —       —       (657,789 )     (1,135,876 )     —  
 
Expiring 2014
    —       —       (7,130,150 )     (1,392,726 )     (1,868 )
Total capital loss carryforward
    (285,234 )     (78,354,716 )     (9,260,654 )     (3,770,855 )     (1,868 )
 
Timing differences
    —       10,700       —       (42,177 )     —  
Unrealized gains (losses) — net
    3,806,421       99,599,832       (369,325 )     (373,671 )     —  
 
Total accumulated earnings (losses) — net
  $ 8,560,647     $ 21,255,816     $ (9,605,530 )   $ (4,186,703 )   $ (1,868 )

 *   Expiration occurs on December 31 of the year indicated. Utilization of these losses may be limited under the Internal Revenue Code.
 
(1)  The Growth Opportunities and Equity Index Funds utilized $142,617 and $17,142,819, respectively, of capital losses in the current fiscal year.

 
61

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

7. TAX INFORMATION (continued)

At December 31, 2006, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

                                 
Growth Core Government
Opportunities Equity Index Fixed Income Income
Tax Cost
  $ 215,711,942     $ 338,280,402     $ 283,673,284     $ 86,568,617  
Gross unrealized gain
    12,718,735       104,363,876       1,529,619          
Gross unrealized loss
    (8,912,262 )     (4,764,044 )     (1,898,944 )     452,193 (825,864 )
Net unrealized security gain (loss)
  $ 3,806,473     $ 99,599,832     $ (369,325 )   $ (373,671 )
Net unrealized loss on other investments
    (52 )     —       —       —  
Net unrealized gain (loss)
  $ 3,806,421     $ 99,599,832     $ (369,325 )   $ (373,671 )
The amortized cost for the Money Market Fund stated in the accompanying statements of assets and liabilities also represents aggregate cost for U.S. federal income tax purposes.

The difference between book-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark-to-market gains on Section 1256 futures contracts and forward foreign currency contracts recognized for tax purposes.

In order to present certain components of the Funds’ capital accounts on a tax basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds. Reclassifications result primarily from the difference in tax treatment of foreign currency transactions, paydown losses, taxable overdistributions, tax treatment of certain debt obligations, net operating losses and the write-off of capital loss carryforwards acquired in previous reorganizations that cannot be utilized due to Internal Revenue Code limitations. The cumulative timing differences consist primarily of post-October capital losses and deferred distributions from underlying fund investments.

                         
Accumulated
Undistributed Net
Accumulated Net Investment
Fund Paid-in Capital Realized Gain (Loss) Income
Growth Opportunities
  $ —     $ (1,404,218 )   $ 1,404,218  
Equity Index
    (34,623,293 )     34,612,133       11,160  
Core Fixed Income
    —       (395,012 )     395,012  
Government Income
    (16,522 )     (92,685 )     109,207  
 
62

 

 
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

8. OTHER MATTERS

Legal Proceedings — Purported class and derivative action lawsuits were filed in April and May 2004 in the United States District Court for the Southern District of New York against the Goldman Sachs Group, Inc. (“GSG”), GSAM and certain related parties, including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. In June 2004, these lawsuits were consolidated into one action and in November 2004 a consolidated and amended complaint was filed against GSG, GSAM, Goldman Sachs Asset Management International (“GSAMI”), Goldman Sachs and certain related parties including certain Goldman Sachs Funds and the Trustees and Officers of the Trust. These Funds, along with certain other investment portfolios of the Trust, were named as nominal defendants in the amended complaint. Plaintiffs filed a second amended consolidated complaint on April 15, 2005. The second amended consolidated complaint alleges violations of the Act and the Investment Advisers Act of 1940. The complaint also asserts claims involving common law breach of fiduciary duty and unjust enrichment. The complaint alleges, among other things, that between April 2, 1999 and January 9, 2004 (the “Class Period”), GSAM and other defendants made improper and excessive brokerage commission and other payments to brokers that sold shares of the Goldman Sachs Funds and omitted statements of fact in registration statements and reports filed pursuant to the Act which were necessary to prevent such registration statements and reports from being materially false and misleading. The complaint further alleges that the Goldman Sachs Funds paid excessive and improper advisory fees to Goldman Sachs. The complaint also alleges that GSAM and GSAMI used 12b-1 fees for improper purposes and made improper use of soft dollars. The complaint further alleges that the Trust’s Officers and Trustees breached their fiduciary duties in connection with the foregoing. On January 13, 2006, all claims against the defendants were dismissed by the U.S. District Court. On February 22, 2006, the plaintiffs appealed this decision. By agreement, the plaintiffs subsequently withdrew their appeal without prejudice but reserved their right to reactivate their appeal pending a decision by the circuit court of appeals in similar litigation.
     Based on currently available information, GSAM and GSAMI believe that the likelihood that the pending purported class action and derivative action lawsuit will have a material adverse financial impact on the Funds is remote, and the pending action is not likely to materially affect their ability to provide investment management services to their clients, including the Goldman Sachs Funds.

New Accounting Pronouncements — On July 13, 2006, the Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. On December 22, 2006, the SEC delayed the implementation of this ruling such that it must be incorporated no later than the last day on which a NAV is calculated preceding the Funds’ 2007 semi-annual report. At this time, the investment adviser is evaluating the implications of FIN 48 and its impact on the financial statements has not yet been determined.

     On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 “Fair Value Measurement” (“FAS 157”) which provides enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations of an entity’s financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. FAS 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007. The investment adviser does not believe the adoption of FAS 157 will impact the amounts reported in the financial statements, however, additional disclosures will be required.
 
63

 

Notes to Financial Statements (continued)
December 31, 2006
 
 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

8. OTHER MATTERS (continued)

Mergers and Reorganizations — At a meeting held on July 12, 2005, the Board of Trustees of the Trust approved an Agreement and Plan of Reorganization (the “Reorganization Agreement”) providing for the tax-free acquisition of the Predecessor AIT Funds into the Goldman Sachs Funds (the “Funds”). The acquisition was completed January 9, 2006 as of the close of business on January 6, 2006.

     Pursuant to the Reorganization Agreement, the assets and liabilities of the Predecessor AIT Funds’ were transferred into the Funds’ Service Share Class, in a tax-free exchange as follows:
                         
Predecessor Fund’s
Exchanged Shares Value of Shares Outstanding
The Fund/Predecessor AIT Fund of Survivor Issued Exchanged Shares as of January 6, 2006
Goldman Sachs Growth Opportunities/ AIT Select Capital Appreciation
    28,131,531     $ 281,315,315       134,161,366  
Goldman Sachs Equity Index/ AIT Equity Index
    50,110,652       501,106,524       177,469,590  
Goldman Sachs Core Fixed Income/ AIT Select Investment Grade Income
    33,304,201       333,042,015       314,849,722  
Goldman Sachs Government Income/ AIT Government Bond
    10,218,399       102,183,989       96,128,724  
Goldman Sachs Money Market/ AIT Money Market
    219,573,618       219,573,618       219,573,618  

     The following chart shows the Funds’ and Predecessor AIT Funds’ aggregate net assets (immediately before and after the completion of the acquisition) and the Predecessor AIT Funds’ unrealized appreciation.

                                 
Predecessor AIT
Funds’ Aggregate Net Fund’s Aggregate Predecessor AIT Funds Aggregate Net
Assets Before Net Assets Before Fund’s Unrealized Assets Immediately
The Fund/Predecessor AIT Fund Reorganization Reorganization Appreciation After Reorganization
Goldman Sachs Growth Opportunities/ AIT Select Capital Appreciation
  $ —     $ 281,315,315     $ —     $ 281,315,315  
Goldman Sachs Equity Index/ AIT Equity Index
    —       501,106,524       —       501,106,524  
Goldman Sachs Core Fixed Income/ AIT Select Investment Grade Income
    —       333,042,015       —       333,042,015  
Goldman Sachs Government Income/ AIT Government Bond
    —       102,183,989       —       102,183,989  
Goldman Sachs Money Market/ AIT Money Market
    —       219,573,618       —       219,573,618  
 
64

 

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees

Goldman Sachs Variable Insurance Trust

We have audited the accompanying statements of assets and liabilities of Goldman Sachs Growth Opportunities Fund, Goldman Sachs Equity Index Fund, Goldman Sachs Core Fixed Income Fund, Goldman Sachs Government Income Fund and Goldman Sachs Money Market Fund (five of the funds comprising the Goldman Sachs Variable Insurance Trust) (the “Funds”), including the schedules of investments, as of December 31, 2006, and the related statements of operations, statements of changes in net assets and financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The statements of changes in net assets for the year ended December 31, 2005 and the financial highlights for each of the years presented through December 31, 2005 were audited by other auditors whose report, dated February 17, 2006, expressed an unqualified opinion on such statements and financial highlights.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2006, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights, audited by us, referred to above present fairly, in all material respects, the financial position of Goldman Sachs Growth Opportunities Fund, Goldman Sachs Equity Index Fund, Goldman Sachs Core Fixed Income Fund, Goldman Sachs Government Income Fund and Goldman Sachs Money Market Fund at December 31, 2006, the results of their operations, the changes in their net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.

  (ERNST & YOUNG LLP)

New York, New York

February 14, 2007
 
65

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2006

          As a shareholder of Service Shares of the Funds you incur these types of costs: ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Service Shares); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in Service Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

          The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2006 through December 31, 2006.

Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account for this period.

Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

          Please note that the expenses shown in the table are meant to highlight your ongoing costs only, as a shareholder of a Fund you do not incur any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. The second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.

                                                                                                                         
Growth Opportunities Fund Equity Index Fund Core Fixed Income Fund Government Income Fund Money Market Fund
Expenses Paid Expenses Paid Expenses Paid Expenses Paid Expenses Paid
Beginning Ending for the Beginning Ending for the Beginning Ending for the Beginning Ending for the Beginning Ending for the
Account Value Account Value 6 months ended Account Value Account Value 6 months ended Account Value Account Value 6 months ended Account Value Account Value 6 months ended Account Value Account Value 6 months ended
Share Class 7/1/06 12/31/06 12/31/06* 7/1/06 12/31/06 12/31/06* 7/1/06 12/31/06 12/31/06* 7/1/06 12/31/06 12/31/06* 7/1/06 12/31/06 12/31/06*
Service
                                                                                                                        
Actual
  $ 1,000.00     $ 1,073.50     $ 5.93     $ 1,000.00     $ 1,127.00     $ 2.13     $ 1,000.00     $ 1,051.10     $ 2.71     $ 1,000.00     $ 1,043.90     $ 3.45     $ 1,000.00     $ 1,024.90     $ 2.49  
Hypothetical 5% return
    1,000.00       1,019.49 +     5.78       1,000.00       1,023.20 +     2.02       1,000.00       1,022.56 +     2.67       1,000.00       1,021.83 +     3.41       1,000.00       1,022.75 +     2.48  

*   Expenses are calculated using each Fund’s annualized net expense ratio, which represents the ongoing expenses as a percentage of net assets for the six months ended 12/31/06. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows:

         
Fund Service Class
Growth Opportunities
    1.15 %
Equity Index
    0.41  
Core Fixed Income
    0.54  
Government Income
    0.68  
Money Market
    0.49  

+  Hypothetical expenses are based on each Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses.

 
66

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

Trustees and Officers (Unaudited)

Independent Trustees
                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
Ashok N. Bakhru
Age: 64		   Chairman of the Board of Trustees   Since 1991   President, ABN Associates (July 1994-March 1996 and November 1998-Present); Executive Vice President — Finance and Administration and Chief Financial Officer, Coty Inc. (manufacturer of fragrances and cosmetics) (April 1996-November 1998); Director of Arkwright Mutual Insurance Company (1984-1999); Trustee of International House of Philadelphia (program center and residential community for students and professional trainees from the United States and foreign countries) (1989-2004); Member of Cornell University Council (1992-2004 and 2006-Present); Trustee of the Walnut Street Theater (1992-2004); Trustee, Scholarship America (1998-2005); Trustee, Institute for Higher Education Policy (2003-Present); Director, Private Equity Investors — III and IV (November 1998-Present), and Equity-Limited Investors II (April 2002-Present); and Chairman, Lenders Service Inc. (provider of mortgage lending services) (2000-2003).

Chairman of the Board of Trustees — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
John P. Coblentz, Jr.
Age: 65		   Trustee   Since 2003   Partner, Deloitte & Touche LLP (June 1975-May 2003).

Director, Emerging Markets Group, Ltd (2004-2006)

Director, Elderhostel, Inc. (2006-Present)

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Patrick T. Harker
Age: 48		   Trustee   Since 2000   Dean and Reliance Professor of Operations and Information Management, The Wharton School, University of Pennsylvania (February 2000-Present); Interim and Deputy Dean, The Wharton School, University of Pennsylvania (July 1999-2000); and Professor and Chairman of Department of Operations and Information Management, The Wharton School, University of Pennsylvania (July 1997-August 2000).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Mary P. McPherson
Age: 71		   Trustee   Since 1997   Vice President, The Andrew W. Mellon Foundation (provider of grants for conservation, environmental and educational purposes) (October 1997-Present); Director, Smith College (1998-Present); Director, Josiah Macy, Jr. Foundation (health educational programs) (1977-Present); Director, Philadelphia Contributionship (insurance) (1985-Present); Director Emeritus, Amherst College (1986-1998); Director, The Spencer Foundation (educational research) (1993-February 2003); member of PNC Advisory Board (banking) (1993-1998); Director, American School of Classical Studies in Athens (1997-Present); and Trustee, Emeriti Retirement Health Solutions (post-retirement medical insurance program for non-profit institutions) (Since 2005).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
Richard P. Strubel
Age: 67		   Trustee   Since 1987   Vice Chairman and Director, Cardean Learning Group (provider of educational services via the internet) (2003-Present); President, COO and Director, Cardean Learning Group (1999-2003); Director, Cantilever Technologies, Inc. (a private software company) (1999-2005); Trustee, The University of Chicago (1987-Present); and Managing Director, Tandem Partners, Inc. (management services firm) (1990-1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   Gildan Activewear Inc. (clothing marketing and manufacturing company); Cardean Learning Group (provider of educational services via the internet); Northern Mutual Fund Complex (58 Portfolios).
 
67

 

Trustees and Officers (Unaudited) (continued)
 GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS

Interested Trustee

                     
Number of
Term of Portfolios in
Position(s) Office and Fund Complex Other
Name, Held with Length of Principal Occupation(s) Overseen by Directorships
Address and Age1 the Trust2 Time Served3 During Past 5 Years Trustee4 Held by Trustee5
*Alan A. Shuch
Age: 57		   Trustee   Since 1990   Advisory Director — GSAM (May 1999-Present); Consultant to GSAM (December 1994-May 1999); and Limited Partner, Goldman Sachs (December 1994- May 1999).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies).		   77   None
 
*
These persons are considered to be “Interested Trustees” because they hold positions with Goldman Sachs and own securities issued by The Goldman Sachs Group, Inc. Each Interested Trustee holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
1
Each Trustee may be contacted by writing to the Trustee, c/o Goldman Sachs, One New York Plaza, 37th Floor, New York, New York, 10004, Attn: Peter V. Bonanno.
2
The Trust is a successor to a Massachusetts business trust that was combined with the Trust on April 30, 1997.
3
Each Trustee holds office for an indefinite term until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board of Trustees or shareholders, in accordance with the Trust’s Declaration of Trust; (c) the date the Trustee attains the age of 72 years (in accordance with the current resolutions of the Board of Trustees, which may be changed by the Trustees without shareholder vote); or (d) the termination of the Trust.
4
The Goldman Sachs Mutual Fund Complex consists of the Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. As of December 31, 2006, the Trust consisted of 65 portfolios and Goldman Sachs Variable Insurance Trust consisted of 12 portfolios, including the Funds described in this Annual Report.
5
This column includes only directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act.

Additional information about the Trustees is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-292-4726.

 
68

 

GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS 

Trustees and Officers (Unaudited) (continued)

Officers of the Trust*
             
Term of
Office and
Position(s) Held Length of
Name, Age And Address With the Trust Time Served1 Principal Occupation(s) During Past 5 Years
Kaysie P. Uniacke
32 Old Slip
New York, NY 10005
Age: 45		   President   Since 2002   Managing Director, Goldman Sachs (1997-Present).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (August 2001-December 2006).

President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Assistant Secretary — Goldman Sachs Mutual Fund Complex (1997-2002) (registered investment companies).

Trustee — Gettysburg College.
James A. Fitzpatrick
71 South Wacker Drive
Suite 500
Chicago, IL 60606
Age: 46		   Vice President   Since 1997   Managing Director, Goldman Sachs (October 1999-Present); and Vice President of GSAM (April 1997-December 1999).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).
James A. McNamara
71 South Wacker Drive
Suite 500
Chicago, IL 60606
Age: 44		   Vice President   Since 2001   Managing Director, Goldman Sachs (December 1998-Present); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).

Vice President — Goldman Sachs Mutual Fund Complex (registered investment companies).

Trustee — Goldman Sachs Mutual Fund Complex (registered investment companies) (December 2002-May 2004).
John M. Perlowski
32 Old Slip
New York, NY 10005
Age: 42		   Treasurer   Since 1997   Managing Director, Goldman Sachs (November 2003-Present) and Vice President, Goldman Sachs (July 1995-November 2003).

Treasurer — Goldman Sachs Mutual Fund Complex (registered investment companies).
Peter V. Bonanno
32 Old Slip
New York, NY 10005
Age: 37		   Secretary   Since 2006   Managing Director, Goldman Sachs (December 2006-Present); Associate General Counsel, Goldman Sachs (2002-Present); Vice President Goldman Sachs (1999-2006); Assistant General Counsel, Goldman Sachs (1999-2002).

Secretary — Goldman Sachs Mutual Fund Complex (registered investment companies).
 
1
Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor.
*
Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-292-4726.

Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)

       For the year ended December 31, 2006, 7.99% and 100% of the dividends paid from net investment company taxable income by the Growth Opportunities and Equity Index Funds, respectively, qualify for the dividends received deduction available to corporations.  

       Pursuant to Section 852 of the Internal Revenue Code, the Growth Opportunities Fund designates $80,426,221 as capital gain dividends paid during the year ended December 31, 2006.

 
69

 

     
TRUSTEES
  OFFICERS
Ashok N. Bakhru, Chairman
   Kaysie P. Uniacke, President
John P. Coblentz, Jr.
  James A. Fitzpatrick, Vice President
Patrick T. Harker
  James A. McNamara, Vice President
Mary Patterson McPherson
  John M. Perlowski, Treasurer
Alan A. Shuch
  Peter V. Bonanno, Secretary
Richard P. Strubel
   
 
GOLDMAN, SACHS & CO.
Distributor and Transfer Agent 		   
 
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
 
Visit our Web site at www.goldmansachsfunds.com to obtain the most recent month-end returns.
 
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
 
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission Web site at http://www.sec.gov.
 
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q will become available on the SEC’s website at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. When available, the Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. When available, Form N-Q may be obtained upon request and without charge by calling 1-800-621-2550.
 
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current Prospectus. Please consider a Fund’s objectives, risks, and charges and expenses, and read the Prospectus carefully before investing. The Prospectus contains this and other information about the Funds.
 
Holdings and allocations shown may not be representative of current or future investments. Holdings and allocations may not include the Funds’ entire investment portfolio,which may change at any time. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities.
 
    Toll Free (in U.S.): 800-292-4726
 
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust Funds.
 
 
Copyright 2007 Goldman, Sachs & Co. All rights reserved.
 
VITAR/07-317    

 

     
ITEM 2.   CODE OF ETHICS.
         
    (a)   As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).
     
    (b)   During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
     
    (c)   During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.
     
    (d)   A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report.
     
ITEM 3.   AUDIT COMMITTEE FINANCIAL EXPERT.
     
    The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).

     
ITEM 4.   PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Item 4 — Principal Accountant Fees and Services for the Goldman Sachs Variable Insurance Trust:
Table 1 – Items 4(a) -4(d)

                     
    2006
   2005
   Description of Services Rendered
Audit Fees:
                    
 
                    
• Ernst & Young LLP (“E&Y”)
  $ 290,350     $ 112,000     Financial statement audits
 
                    
Audit-Related Fees
                    
 
                    
• E&Y
  $ 24,000     $ 0     17f-2 procedures relating to VIT Equity Index Fund
 
                    
Tax Fees
                    
 
                    
• E&Y 
  $ 53,600     $ 28,400     Tax compliance services provided in connection with the preparation and review of the Registrant’s tax returns
All Other Fees
  $ 0     $ 0      

Items 4(b)(c) & (d) Table 2. Non-Audit Services to the Goldman Sachs Variable Insurance Trust’s service affiliates * that were pre-approved by the Goldman Sachs Variable Insurance Trust’s Audit Committee pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X

                 
    2006
   2005
   Description of Services Rendered
Audit-Related Fees
                
 
                
• E&Y
  $ 0   $ 0    
 
                
Tax Fees
                
 
                
• E&Y
  $ 0   $ 0    
 
                
All Other Fees
                
 
                
• E&Y
  $ 0   $ 0    

*   These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”).

Item 4(e)(1) – Audit Committee Pre Approval Policies and Procedures

Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Variable Insurance Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Variable Insurance Trust (“GSVIT”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GSVIT may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.

     De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GSVIT at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.

     Pre-Approval of Non-Audit Services Provided to GSVIT’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GSVIT, the Audit Committee will pre-approve those non-audit services provided to GSVIT’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GSVIT) where the engagement relates directly to the operations or financial reporting of GSVIT.

Item 4(e)(2) — 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GSVIT’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GSVIT’s service affiliates listed in Table 2 were approved by GSVIT’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.

Item 4(f) — Not applicable.

Items 4(g) Aggregate Non-Audit Fees Disclosure

The aggregate non-audit fees billed to GSVIT for the 12 months ended December 31, 2006 and December 31, 2005 were approximately $53,600 and $28,400, respectively.

The aggregate non-audit fees billed to GSVIT’s adviser and service affiliates by Ernst & Young LLP for non-audit services for the twelve months ended December 31, 2006 and December 31, 2005 were approximately $55.9 million and $49.0 million, respectively.

Items 4(h) — GSVIT’s Audit Committee has considered whether the provision of non-audit services to GSVIT’s investment advisor and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditor’s independence.

     

     
ITEM 5.   AUDIT COMMITTEE OF LISTED REGISTRANTS.

    Not applicable.

     
ITEM 6.   SCHEDULE OF INVESTMENTS

    Schedule of Investments is included as part of the Report to Shareholders filed under Item 1.

     
ITEM 7.   DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

    Not applicable.

     
ITEM 8.   PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES

    Not applicable.

     
ITEM 9.   PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS

    Not applicable.

     
ITEM 10.   SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

    There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.

     
ITEM 11.   CONTROLS AND PROCEDURES.

  (a)   The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended.
 
  (b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect the registrant’s internal control over financial reporting.

     
ITEM 12.   EXHIBITS.
         
  (a)(1)
 		     Goldman Sachs Variable Insurance Trust’s Code of Ethics for Principal Executive and Senior Financial officers is incorporated by reference to Exhibit 11(a)(1) of the Registrant’s Form N-CSR filed on March 8, 2004 (accession number 0000950123-04-002976)
         
  (a)(2)
 
 		 Exhibit 99.CERT
 
 
Exhibit 99.906CERT
   Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith
 
Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith

 

SIGNATURES

     Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

     
Goldman Sachs Variable Insurance Trust
   
 
    
 
    
/s/ Kaysie Uniacke
    
   
By: Kaysie Uniacke
    
Chief Executive Officer of
    
Goldman Sachs Variable Insurance Trust
    
 
    
Date: February 28, 2007
    
 
    
 
    
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
    
 
    
/s/ Kaysie Uniacke
   
By: Kaysie Uniacke
    
Chief Executive Officer of
    
Goldman Sachs Variable Insurance Trust
    
 
    
Date: February 28, 2007
    
 
    
 
    
/s/ John M. Perlowski
   
By: John M. Perlowski
    
Chief Financial Officer of
    
Goldman Sachs Variable Insurance Trust
    
 
    
Date: February 28, 2007