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Goldman Sachs Funds II SICAV Annual Report Audited Financial Statements
1113
Goldman Sachs Funds II Table of Contents
Page
Directors and Other Information
1
Investment Advisor’s Report
2
Audit Report
4
Statement of Assets and Liabilities
6
Statement of Operations
7
Statement of Changes in Shareholders’ Equity
8
Statistical Information
9
Notes to the Financial Statements
10
Schedule of Investments
34
GOLDMAN SACHS FUNDS II—EQUITY PORTFOLIOS Goldman Sachs Funds II—Global Manager Strategies Portfolios Goldman Sachs Funds II—GMS Asia (ex-Japan) Equity Portfolio
34
Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio
35
Goldman Sachs Funds II—GMS Europe Equity Portfolio
39
Goldman Sachs Funds II—GMS Global Equity Portfolio
42
Goldman Sachs Funds II—GMS Japan Equity Portfolio
48
Goldman Sachs Funds II—GMS US Equity Portfolio
50
GOLDMAN SACHS FUNDS II—SPECIALIST PORTFOLIOS Goldman Sachs Funds II—Dynamic Alternative Strategies Portfolio
53
GOLDMAN SACHS FUNDS II—DEDICATED PORTFOLIOS Goldman Sachs Funds II—Tactical Tilt Portfolio
54
GOLDMAN SACHS FUNDS II—FIXED INCOME PORTFOLIOS Goldman Sachs Funds II—Europe High Income Bond Portfolio
57
Appendix I—Advisory Fee Rates, Expense Caps and Total Net Expense Ratios
60
Appendix II—Portfolio and Share Class Launches, Closures and Mergers
62
Appendix III—Shareholder Concentration
63
Appendix IV—Calculation Method Used for Global Exposure
64
Additional Information
65
Goldman Sachs Funds II Directors and Other Information
GOLDMAN SACHS FUNDS II Société d’Investissement à Capital Variable An undertaking for collective investment organised under the laws of the Grand Duchy of Luxembourg
Board of Directors Frank Ennis (Irish)1 Mark Heaney (UK/Irish)2 Eugene Regan (Irish)1 Alan Shuch (US)2 Theodore Sotir (UK/US)2 Katherine Uniacke (US)2,3
Custodian, Domiciliary Agent, Administrator, Listing Agent and Luxembourg Paying Agent State Street Bank Luxembourg S.A. 49, avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg
Distributor Goldman Sachs International2 Peterborough Court 133 Fleet Street London EC4A 2BB United Kingdom
Auditor PricewaterhouseCoopers, Société coopérative 400, route d’Esch L-1471 Luxembourg Grand Duchy of Luxembourg
Investment Adviser Goldman Sachs Asset Management International2 Peterborough Court 133 Fleet Street London, EC4A 2BB United Kingdom
Goldman Sachs Asset Management Australia Pty Ltd.2 Level 17, 101 Collins Street Melbourne VIC 3000, Australia Goldman Sachs (Asia) L.L.C. – Hong Kong Branch2 68th Floor Cheung Kong Center, 2 Queen’s Road Central, Hong Kong Goldman Sachs International2 Peterborough Court 133 Fleet Street London EC4A 2BB United Kingdom Goldman Sachs Hedge Fund Strategies LLC2 One New York Plaza 10004 New York United States of America
Legal Advisers to the Fund and the Investment Adviser Arendt & Medernach 14, rue Erasme L-2082 Luxembourg Grand Duchy of Luxembourg
RBC Investor Services Place Rogier II 1210 Brussels, Belgium
Paying and Information Agent in France RBC Investor Services Bank France S.A. 105, rue Réaumur 75002 Paris, France
Paying and Information Agent in Germany State Street Bank GmbH Brienner Strasse 59 80333 Munich, Germany
Paying Agent in Italy Société Générale Securities Services S.p.A. Maciachini Center MAC 2 Via Benigno Crespi, 19/A 20159 Milan, Italy
Paying Agent in Sweden Global Transaction Services SEB Merchant Banking Sergels Torg 2 SE-10640 Stockholm, Sweden
Paying Agent in Switzerland
Registered Office c/o State Street Bank Luxembourg S.A. 49, avenue J.F. Kennedy L-1855 Luxembourg R.C.S. Luxembourg B 133 806 Grand Duchy of Luxembourg
Registrar and Transfer Agent RBC Investor Services Bank S.A. 14, Rue Porte de France L-4360 Esch-sur Alzette Grand Duchy of Luxembourg
Shareholder Services Agent
Goldman Sachs Asset Management, L.P.2 200 West Street 10282 New York United States of America
European Shareholder Services Goldman Sachs International2 Peterborough Court 133 Fleet Street London, EC4A 2BB United Kingdom
Goldman Sachs (Singapore) Pte.2 1 Raffles Link #07-01 South Lobby Singapore 039393
Raiffeisen Bank International AG Am Stadtpark 9 1030 Vienna, Austria
Sub-Advisers4:
Paying and Information Agent in Belgium
Goldman Sachs Bank AG2 Münsterhof 4 8001 Zurich, Switzerland
Representative in Switzerland First Independent Fund Services AG Klausstrasse 33 8008 Zurich, Switzerland
The Fund’s Prospectus with its Supplements, Key Investor Information Documents, Articles of Incorporation, Annual Report, Semi-Annual Report and the list of all transactions carried out by the Investment Adviser during the year are available free of charge at the offices of the local Paying and Information Agents and the Swiss Representative.
Paying and Information Agent in Austria
Goldman Sachs Asset Management Co., Ltd.2 Roppongi Hills Mori Tower 10-1, Roppongi 6-chome Minato-Ku, Tokyo 106-6144, Japan
____________________________________________________________________________________________________________ 1 Independent Directors 2 A related party to Goldman Sachs Funds II. 3 Katherine Uniacke has been appointed as a member of the Board of Directors of Goldman Sachs Funds II as of 5 April 2013. 4 Refer to Note 6 for non-affiliated Sub-Advisers.
1
Goldman Sachs Funds II Investment Advisor’s Report
Dear Shareholders, Enclosed is the report for the year ended 30 November 2013. A. Market Review Global economic growth was mixed during the 12 months ended 30 November 2013. Growth in the U.S. accelerated as the economy was highly resilient in the face of several headwinds, including the “fiscal cliff”, sequestration, the partial government shutdown and rising interest rates. Looking back, gross domestic product (“GDP”) growth in the U.S. was a tepid 0.1% in the fourth quarter of 2012. The U.S. Department of Commerce then reported that first and second quarter 2013 GDP growth was 1.1% and 2.5%, respectively. GDP growth in the third quarter then rose to 4.1%. Growth in many other developed countries improved, albeit from depressed levels. In its October 2013 World Economic Outlook, the International Monetary Fund (“IMF”) stated that “Advanced economies are gradually strengthening. At the same time, growth in emerging market economies has slowed.” From a regional perspective, the IMF anticipates 2013 growth will be negative 0.4% in the Eurozone then expand 1.0% in 2014. While growth in emerging market countries is expected to remain higher than in their developed country counterparts, the IMF projects that the difference is narrowing. The IMF now forecasts that emerging market growth will moderate from 4.9% in 2012 to 4.5% in 2013. In particular, China's economy is expected to grow 7.6% in 2013 versus 7.7% in 2012. The global equity market experienced periods of volatility but, in aggregate, produced strong results during the reporting period. While there were a number of setbacks, they proved to be only temporary in nature and investor demand quickly resumed. Also supporting developed market equities were continued monetary policy accommodation and corporate profits that often exceeded expectations. The U.S. stock market, as measured by the S&P 500 Index Net (the “Index”), reached several new all-time highs and gained 29.45% during the 12 months ended 30 November 2013. International developed equities also produced very strong returns, as the MSCI EAFE Index gained 25.36%. Emerging market equities, however, produced less robust results, as the MSCI Emerging Markets Index gained 3.66% during the reporting period. This was due to a number of issues, including signs of moderating growth in China and falling prices for many commodities. The global fixed income market generally posted weak results during the 12 months ended 30 November 2013. The reporting period began on a positive note, as global central banks continued to pursue highly accommodative monetary policies and investors looked to generate incremental yield in the low interest rate environment. However, the global fixed income market generally sold off from May through August 2013. U.S. Treasury yields moved higher given the U.S. Federal Reserve Board's (“Fed”) plan to begin tapering its quantitative easing program later in the year. However, yields then moved lower in September and October, as the Fed surprised the market by delaying the taper. Given mixed global economic growth, inflation remained well contained during the reporting period. For example, a barrel of oil, which began the period at approximately $89, was $93 a barrel at the end of November 2013. Elsewhere, the price of gold fell sharply, moving from $1,726 an ounce to $1,253 an ounce during the period.
Past performance does not guarantee future results, which may vary.
2
Goldman Sachs Funds II Investment Advisor’s Report
B. Performance Overview1
Average Annualised Net Return
Currency
Launch Date
1-Year (%)
3-Years (%)
5-Years (%)
Since Inception (%)
Goldman Sachs Funds II—Equity Portfolios GMS Asia (ex-Japan) Equity Portfolio (“P” Share Class) MSCI Asia AC Ex-Japan Index
USD USD
30-Apr-08 30-Apr-08
7.55 7.47
0.38 3.62
14.33 18.98
(1.06) 2.00
GMS Emerging Markets Equity Portfolio (“P” Share Class) MSCI EM Index
USD USD
31-Jan-12 31-Jan-12
6.00 3.66
— —
— —
1.93 2.66
GMS Europe Equity Portfolio (“P” Share Class) MSCI Europe Index—EUR
EUR EUR
18-Dec-09 18-Dec-09
21.23 20.30
10.91 10.37
— —
10.07 10.15
GMS Global Equity Portfolio (“P” Share Class) MSCI World Index—USD
USD USD
7-Mar-08 7-Mar-08
23.09 26.38
10.51 13.35
14.88 15.26
1.47 4.61
GMS Japan Equity Portfolio (“P” Share Class) Topix
JPY JPY
27-May-09 27-May-09
64.37 64.16
14.31 16.02
— —
9.56 10.10
GMS US Equity Portfolio (“P” Share Class) S&P 500 Index Net—USD
USD USD
16-May-08 16-May-08
36.90 29.45
15.97 16.95
16.55 16.82
5.09 5.99
EUR EUR
24-Mar-10 24-Mar-10
3.73 0.14
1.29 0.69
— —
0.69 0.71
USD USD
31-Oct-11 31-Oct-11
13.05 0.28
— —
— —
10.79 0.37
EUR EUR
26-Mar-12 26-Mar-12
4.34 0.22
— —
— —
6.72 0.31
Goldman Sachs Funds II—Specialist Portfolios Dynamic Alternative Strategies Portfolio (Base Share Class Weekly) 3 Months Euro LIBOR
Goldman Sachs Funds II—Dedicated Portfolios Tactical Tilt Portfolio (“P” Share Class) 3 Months USD LIBOR
Goldman Sachs Funds II—Fixed Income Portfolios Europe High Income Bond Portfolio (Base Share Class) 3 Months EURIBOR
Goldman Sachs Asset Management International2 17 December 2013 Performance returns are shown for the Base Currency Share Class, unless indicated. All index returns are shown with income re-invested and, in contrast to the Share Classes, without the deduction of any fees or expenses. Returns of the Share Classes are shown net of fees and expenses and after the reinvestment of dividends using monthend NAVs. For Share Classes where performance is shown relative to the index, it is for comparative purposes only. Reference to these benchmarks does not imply that the Share Classes will achieve returns, volatility or other results similar to the benchmark.
__________________________________________________________________________________________________________________ 1
Past performance does not guarantee future results, which may vary. Returns are shown net of expenses and inclusive of dividends, where applicable.
2
Any mention of an investment decision is intended only to illustrate our investment approach or strategy, and is not indicative of the performance of our strategy as a whole. Any such illustration is not necessarily representative of other investment decisions. Please see Additional Information section on page 65.
Past performance does not guarantee future results, which may vary.
3
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Audit report To the Shareholders of
Goldman Sachs Funds
II
We have audited t}re accompanying financial statements of Goldman Sachs Funds II (the "SICA\P) and of each of its sub-funds, which comprise the Statement of Assets and Liabilities and the Schedule of Investments as of 3o November 2o1g and the Statement of Operations and the Statement of Changes in Shareholders' Equity for the year then ended and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibilifu of the Board of Directors of the SIC,AVfor thefinancial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or enor. Reqponnbflitg of the "Rdukeur d'entreprises agrd6"
Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audits in accordance with International Standards on Auditing as adopted for Luxembourg by the "Commission de Surveillance du Secteur Financier" and in accordance with auditing standards generally accepted in the United States of America. Those standards require that we comply with ethical requirements and we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the "R6viseur d'entreprises agr66", including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the "R6viseurd'entreprises agr66" considers internal control relevant to the entity's preparation and fair presentation ofthe financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the pu4rose of expressi''g an opinion on the effectiveness of the enti!y's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for
our audit opinion.
PricewaterhouseCoopers, Soci4td coop€rative, 4oo Route dEsch, BP. 1443, L-1ot4 Luxembourg T : +SS2 494848 t, F : ggz 494848 2goo,wwrD.pwc.Iu Cabinet de r4uision
agr&. Expert-comptable (autorkation gouuernementale n"1oo28256) WA LU25482518
R.C.S. Luxembourg B 65 477 -
pwc Opinion In our opinion, the financial statements present fairly, in all material respects, the financial position of Goldman Sachs Funds II and of each of its sub-funds as of 3o November 2018, and of the resuits of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.
Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the auditing standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole.
Soci6t6 coop6rative
John Parkhouse
Luxembourg, rr March zot4
Goldman Sachs Funds II Statement of Assets and Liabilities As at 30 November 2013
Equity Portfolios
Assets Investments, at value, excluding derivatives Unrealised gain on forward currency contracts and share class specific forward currency contracts Unrealised gain on futures Unrealised gain on swap contracts Upfront payments paid on swap transactions Market value of purchased options Cash Due from Brokers Receivable for investments sold Receivable for shares sold Dividends receivable Interest receivable excluding Swap Contracts Interest receivable on Swap Contracts Dividend tax reclaim receivable Investment Advisor fees waived receivable Other assets
Notes
GMS Europe Equity Portfolio EUR
GMS Global Equity Portfolio USD
GMS Japan Equity Portfolio(a) JPY
GMS US Equity Portfolio USD
3(c)
5,900,018
269,203,822
228,358,630
429,920,920
1,688,967
295,828,221
3(c) 3(c),14 3(c),14
6,000 819,755 — — — 50,858,397 11,769,613 — — 2,872 — — — — 13,366
— — — — — 3,444,287 — 234,219 362,897 153,878 — — — — —
— — — — — 2,545,744 — 676,411 369,790 138,512 — — 404,814 — —
657,687 — — — — 7,539,378 — 2,336,730 105,000 988,993 — — 263,123 — —
— — — — — 10,449 — 2,395 — 7,574 — — — 3,270 —
— — — — — 4,657,174 — 2,361,975 42,651 277,417 — — — — —
69,370,021
273,399,103
232,493,901
441,811,831
1,712,655
303,167,438
— —
99 —
1,237 —
960 —
— —
— —
— 317,898
11,944 12,300,159
— —
14,685 12,732,484
193,719 — — 216,637 — 125,733 39,678 5,365 8,234 15,478 2,248 784 — 728 1,470
— — 267,874 — — 795,117 71,207 7,087 45,061 24,314 7,727 2,179 22,470 1,526 9,039
— — 2,293,745 33,917 — 587,457 44,519 5,892 43,859 11,850 7,230 2,300 27,885 2,051 9,934
826,230 — 1,765,367 — — 747,430 73,278 7,447 73,228 15,735 12,815 4,067 45,679 1,358 9,355
— — 1,065 — — 861 3,480 345 271 1,548 53 25 1,969 11 —
— — 647,742 65,096 — 636,866 37,742 6,366 53,410 15,735 9,626 2,744 36,292 2,198 10,432
3,076,714 — — — — 137,797 27,888 9,638 7,475 18,150 4,878 1,510 51,751 366 6,730
64,331 11,694,041 5,326,694 — — 764,073 87,336 24,521 214,168 28,445 42,543 9,622 85,128 4,779 27,084
323,032 — — 191,459 1,262,325 47,032 11,710 1,028 22,035 11,850 3,420 1,637 10,762 214 6,188
5,707,766 11,694,041 11,137,466 588,233 1,716,699 4,127,906 457,652 76,678 496,528 171,752 96,594 27,048 331,752 14,275 88,458
— 6,169
23,816 26,131
— 16,382
170,050 49,096
541 3,506
81,421 16,277
— 31,810
— 53,330
— 22,838
280,575 281,870
3,692,606
30,738,198
1,915,530
50,042,462
3(b) 3(b) 3(b) 5 6
Liabilities Bank overdraft 3(e) Due to Brokers Unrealised loss on forward currency contracts and 3(c) share class specific forward currency contracts 3(c),14 Unrealised loss on futures Payable for investments purchased Payable for shares redeemed Distributions payable 6 Investment Advisor fee payable 6 Administration and Custody fees payable 6 Transfer Agent fee payable 5 Taxe d'abonnement payable Audit fee payable 6 Shareholder Services fees payable 6 Directors fees payable Legal fees payable Insurance fees payable Printing fees payable Payable for Withholding Tax on Dividend and Interest Income Other liabilities Total Liabilities Shareholders’ Equity Shareholders’ Equity (after Alternative Net Asset Value Calculation Method) (a) (b)
Fixed Income Portfolio
GMS Emerging Market Equity Portfolio USD
3(c) 3(d) 3(e)
3(h)
616,243
1,303,647
3,088,258
3,802,095
13,675
1,621,947
68,753,778
272,095,456
229,405,643
438,009,736
1,698,980
301,545,491
—
—
—
—
—
—
68,753,778
272,095,456
229,405,643
438,009,736
1,698,980
301,545,491
Dynamic Alternative Strategies Portfolio(b) EUR
Dedicated Portfolio
GMS Asia (ex-Japan) Equity Portfolio USD
Total Assets
Alternative Net Asset Value Calculation Method
Specialist Portfolio
Tactical Tilt Portfolio USD
166,809,951 1,263,713,490 3,062,059 — — — — 7,756 — — — 1,465 — — — — 4,854
15,060,531 12,940,831 4,957,519 12,804,738 14,247,506 71,439,598 31,644,677 3,491,461 — 38,942 5,424 2,481,904 — — —
169,886,086 1,432,826,621
166,193,480 1,402,088,423 —
—
166,193,480 1,402,088,423
Europe High Income Bond Portfolio EUR
Combined Total Year Ended 30 November 2013 USD
102,021,249 2,957,229,054 1,656 — — — — 50,418 — — — 113 1,768,978 — — 6,697 —
19,890,718 13,760,586 4,957,519 12,804,738 14,247,506 141,582,169 43,414,290 9,367,681 1,013,444 1,726,652 2,411,146 2,481,904 813,650 41,071 19,967
103,849,111 3,225,762,095
101,933,581 3,175,719,633 —
—
101,933,581 3,175,719,633
Expressed in ‘000. Statement of Asset and Liabilities as at 28 November 2013, the last tradable date of the year. Please refer to Statistical information for Outstanding Shares and Net Asset Value Per Share as at 30 November 2013.
The accompanying notes are an integral part of these financial statements.
6
Goldman Sachs Funds II Statement of Operations For the Year Ended 30 November 2013
Equity Portfolios
Income Dividend Income Interest Income excluding Swap Contracts Interest Income on Swap Contracts Net (amortisation)/ Net accretion Expenses Bank overdraft interest expense Investment Advisor fee Performance fees Administration and Custody fees Transfer Agent fees Taxe d' abonnement Audit fee Shareholder Services fees Directors fees Legal fees Insurance fees Printing fees Publishing fees Other expenses Less: Investment Adviser fee waived Total expenses Withholding tax on dividends and other investment income
Specialist Portfolio
Dedicated Portfolio
Fixed Income Portfolio
Notes
GMS Asia (ex-Japan) Equity Portfolio USD
GMS Emerging Market Equity Portfolio USD
GMS Europe Equity Portfolio EUR
GMS Global Equity Portfolio USD
GMS Japan Equity Portfolio(a) JPY
GMS US Equity Portfolio USD
Dynamic Alternative Strategies Portfolio(b) EUR
3(b) 3(b) 3(b) 3(b)
1,569,290 — — —
5,645,739 11 — —
5,118,277 — — —
9,497,835 2,541 — —
35,208 — — —
3,342,786 104 — —
79,160 18,600 — —
10,640,527 394,706 6,340,379 (1,055,710)
2,051 4,660,088 — (835,386)
37,940,916 6,586,697 6,340,379 (2,160,824)
1,569,290
5,645,750
5,118,277
9,500,376
35,208
3,342,890
97,760
16,319,902
3,826,753
48,707,168
1,229 816,625 — 159,041 13,277 27,850 15,606 25,460 1,298 34,055 1,187 7,400 9,565 47,767
761 2,855,600 — 280,161 18,015 98,960 24,514 76,852 3,164 106,470 5,426 19,240 9,334 64,633
2,065 2,232,246 — 185,626 15,522 98,360 12,001 77,173 3,421 73,984 6,011 21,246 7,061 43,743
676 4,224,292 — 294,708 19,328 175,838 15,864 139,179 6,233 123,539 3,935 22,939 10,245 82,449
241 23,869 — 10,702 1,008 893 1,808 733 41 5,635 36 461 936 5,867
1,532 2,949,676 — 137,072 16,636 129,401 15,864 101,493 3,947 94,840 6,115 24,296 9,614 57,666
4 1,639,342 22,127 123,528 24,631 14,931 18,384 54,766 2,325 116,451 925 12,419 4,441 55,098
43,003 6,916,955 — 304,892 60,813 391,715 28,678 376,323 22,779 276,977 15,743 83,877 11,711 98,073
608 624,353 — 52,630 3,198 55,067 13,878 45,407 1,837 59,744 — 11,614 6,405 81,658
53,251 23,959,162 29,271 1,765,858 195,909 1,055,776 177,898 961,543 47,879 1,025,487 41,956 222,449 83,900 650,431
1,160,360
3,563,130
2,778,459
5,119,225
52,230
3,548,152
2,089,372
8,631,539
956,399
30,270,770
86,995
6,183
13,704
4
21,719
—
12,500
—
37,001
402,849
1,073,365
3,556,947
2,764,755
5,119,221
30,511
3,548,152
2,076,872
8,631,539
919,398
29,867,921
3(b) 6 6 6 6 5 6 6
6
Tactical Tilt Portfolio USD
Europe High Income Bond Portfolio EUR
Combined Total Year Ended 30 November 2013 USD
159,420
680,677
439,337
1,567,978
2,516
963,211
—
834,966
9,981
4,826,832
336,505
1,408,126
1,914,185
2,813,177
2,181
(1,168,473)
(1,979,112)
6,853,397
2,897,374
14,012,415
Net realised gain/(loss) on investment securities Net realised gain/(loss) on futures transactions Net realised gain/(loss) on foreign currencies, forward currency contracts and share class specific forward currency contracts Net realised gain/(loss) on swap contracts Net realised gain/(loss) on options contracts
8,451,245 190,829
913,188 —
23,039,020 —
24,099,956 —
302,523 —
34,189,491 —
(2,367,760) —
19,647,475 59,913,004
1,081,577 —
119,226,417 60,103,833
(429,989) — —
(687,397) — —
(211,855) — —
(1,049,079) — —
— — —
— — —
(2,546,709) — —
3,737,690 5,196,424 (6,845,630)
2,049,504 — —
633,220 5,196,424 (6,845,635)
Net realised gain/(loss)
8,212,085
225,791
22,827,165
23,050,877
302,523
34,189,491
(4,914,469)
81,648,963
3,131,081
178,314,259
(4,582,627)
9,013,011
13,018,346
55,007,893
587,328
46,069,778
9,569,718
38,087,132
(224,587)
179,292,327
819,755
—
—
—
—
—
—
(8,335,947)
—
(7,516,192)
(190,341)
(11,704)
738
(449,864)
—
—
(211,227)
14,199,758
(953,290)
12,008,311
—
—
—
—
—
—
—
4,933,040
—
4,933,040
—
—
—
—
—
—
—
1,468,822
—
1,468,822
Net change in unrealised gain/(loss)
(3,953,213)
9,001,307
13,019,084
54,558,029
587,328
46,069,778
9,358,491
50,352,805
(1,177,877)
190,186,308
Net investment income gain/(loss)
4,595,377
10,635,224
37,760,434
80,422,083
892,032
79,090,796
2,464,910
138,855,165
4,850,578
382,512,982
Net income/(expense) for the Year
Net change in unrealised gain/(loss) on investment securities Net change in unrealised gain/(loss) on futures transactions Net change in unrealised gain/(loss) on foreign currencies, forward currency contracts and share class specific forward currency contracts Net change in unrealised gain/(loss) on swap contracts Net change in unrealised gain/(loss) on options contracts
(a) (b)
Expressed in ‘000. Net investment income gain/loss is stated as at 28 November 2013, the last tradable date in the year. Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Operations.
The accompanying notes are an integral part of these financial statements.
7
Goldman Sachs Funds II Statement of Changes in Shareholders’ Equity For the Year Ended 30 November 2013
Equity Portfolios
Notes
Shareholders’ equity at the start of the year Reinvestment from distributions Proceeds from shares issued Payment for shares redeemed Net investment income gain/(loss) for the year Distributions Currency adjustments
7 7
16
Shareholders' equity at 30 November 2013 Alternative Net Asset Value Calculation Method Shareholders' Equity (after Alternative Net Asset Value Calculation Method) (a) (b)
3(h)
GMS Asia (ex-Japan) Equity Portfolio USD
GMS Emerging Market Equity Portfolio USD
GMS Europe Equity Portfolio EUR
Specialist Portfolio
GMS Global Equity Portfolio USD
GMS Japan Equity Portfolio(a) JPY
GMS US Equity Portfolio USD
Dynamic Alternative Strategies Portfolio(b) EUR
Dedicated Portfolio
Tactical Tilt Portfolio USD
Fixed Income Portfolio Europe High Income Bond Portfolio EUR
Combined Total Year Ended 30 November 2013 USD
55,734,200 150,733,967 170,818,226 299,586,593 2,055 30,898 87,586 60,177 25,183,300 128,586,876 75,700,244 111,868,437 (16,606,514) (17,649,011) (54,273,091) (53,568,394) 4,595,377 10,635,224 37,760,434 80,422,083 (154,640) (242,498) (687,756) (359,160) — — — —
1,490,645 202,521,913 114,441,476 663,091,167 123,561,892 1,921,057,913 85,074 — — 179,788 — 1,274,244 78,654 90,153,504 82,805,351 663,858,991 2 1,230,153,358 (842,847) (70,220,722) (33,518,257) (62,900,186) (23,730,859) (377,247,587) 892,032 79,090,796 2,464,910 138,855,165 4,850,578 382,512,982 (4,578) — — (996,502) (2,748,032) (6,345,578) — — — — — 24,314,301
68,753,778
272,095,456
229,405,643
438,009,736
1,698,980
301,545,491
—
—
—
—
—
—
68,753,778
272,095,456
229,405,643
438,009,736
1,698,980
301,545,491
166,193,480 1,402,088,423 —
—
166,193,480 1,402,088,423
101,933,581 3,175,719,633 —
—
101,933,581 3,175,719,633
Expressed in ‘000. Shareholders’Equity is stated as at 28 November 2013, the last tradable date in the year.
The accompanying notes are an integral part of these financial statements.
8
Goldman Sachs Funds II Statistical Information As at 30 November 2013
Currency
Outstanding Shares as at 30-Nov-13
30-Nov-13
30-Nov-12
30-Nov-11
Max. public offering price per share as at 30-Nov-13
38,171,999 18,915,740 8,039,205 3,626,833
35,563,776 20,170,423 — —
32,323,388 15,412,979 — —
9.94 9.72 11.11 11.11
Net Asset Value per Share as at
Net Asset as at
30-Nov-13 30-Nov-12 30-Nov-11
Equity Portfolios Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Accumulation Share Class(a) “R” Share Class(a) GMS Emerging Markets Equity Portfolio “IO” Accumulation Share Class(a) “P” Accumulation Share Class “P” Share Class “R” Accumulation Share Class(a) “R” Share Class(a) GMS Europe Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Accumulation Share Class(a) “R” Share Class(a) GMS Global Equity Portfolio “I” Accumulation Share Class “IO” Accumulation Share Class(a) “P” Accumulation Share Class “P” Accumulation Share Class “P” Share Class “R” Accumulation Share Class(a) “R” Share Class(a) GMS Japan Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Accumulation Share Class(a) “R” Share Class(a) GMS US Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Accumulation Share Class(a) “R” Share Class(a)
USD USD USD USD
4,053,037 2,054,678 763,542 344,534
9.42 9.21 10.53 10.53
8.76 8.63 — —
7.83 7.73 — —
USD USD USD USD USD
4,590,000 13,790,295 5,043,075 1,741,498 1,343,472
9.92 10.36 10.30 10.31 10.31
— 9.77 9.77 — —
— — — — —
45,529,311 — 142,817,275 107,351,590 51,952,531 43,382,377 17,948,563 — 13,847,776 —
— — — — —
9.92 10.93 10.87 10.88 10.88
EUR EUR EUR EUR
10,353,200 3,470,354 1,670,394 713,942
14.62 14.17 12.13 12.14
12.06 11.84 — —
10.04 9.99 — —
151,317,125 117,095,773 49,162,677 53,722,453 20,259,982 — 8,665,855 —
99,677,891 44,646,286 — —
15.42 14.95 12.80 12.81
USD USD EUR USD USD USD USD
1,198,000 3,877,563 3,228,963 16,629,962 8,392,511 584,145 1,381,472
12.75 11.91 18.68 10.88 10.66 12.29 12.28
10.31 — 15.88 8.84 8.71 — —
— — 13.98 8.05 7.98 — —
15,270,584 12,349,304 — 46,190,093 — — 60,316,661 48,482,246 31,057,436 180,881,679 161,226,213 147,905,233 89,502,783 63,001,129 73,862,324 7,176,474 — — 16,960,460 — —
12.75 11.91 19.71 11.48 11.25 12.97 12.96
JPY JPY JPY JPY
75,539 27,460 8,316 939
15,103.22 9,188.07 14,872.52 9,109.58 16,174.38 — 16,175.54 —
8,810.38 8,784.31 — —
1,140,885,008 817,428,436 988,712,709 408,398,886 673,216,113 665,905,222 134,513,409 — — 15,182,848 — —
15,933.90 15,690.51 17,063.97 17,065.19
USD USD USD USD
12,908,338 6,355,521 2,383,379 1,129,955
13.17 13.17 13.62 13.61
9.63 9.62 — —
8.47 8.46 — —
170,026,191 118,145,958 125,047,177 83,688,877 84,375,955 73,475,029 32,451,949 — — 15,378,472 — —
13.89 13.89 14.37 14.36
EUR EUR
36,327 21,606
102.49 102.50
98.57 98.58
95.00 95.00
3,723,291 2,214,562
3,702,354 773,876
8,409,216 161,492
108.13 108.14
USD
51,780
102.37
—
—
5,300,836
—
—
102.37
CHF
5,402
100.56
96.88
94.01
543,234
659,356
7,565,682
106.09
USD
6,023
102.11
97.82
93.77
614,854
833,441
2,873,793
107.73
GBP EUR
2,574 338,156
102.95 103.43
98.70 99.23
94.64 95.40
264,990 34,975,571
228,483 21,874,516
370,042 21,991,564
108.61 109.12
USD EUR GBP USD EUR EUR GBP USD
186,673 63,263 410,470 139,772 84,704 39,861 137,143 100,875
103.52 103.45 103.88 103.36 103.85 103.83 104.25 101.27
98.94 99.25 99.35 98.85 — — — —
94.54 95.41 95.05 94.50 — — — —
19,323,949 6,544,752 42,637,701 14,447,095 8,796,769 4,138,632 14,297,286 10,215,242
16,812,556 5,276,153 45,325,781 15,669,190 — — — —
17,719,694 4,126,912 43,556,413 11,427,664 — — — —
109.21 109.14 109.59 109.04 109.56 109.54 109.98 106.84
Specialist Portfolio Dynamic Alternative Strategies Portfolio Base Accumulation Share Class (Weekly)(b) Base Currency Share Class (Weekly)(b) “IO” Accumulation Share Class (USD Hedged Class) (Weekly)(a)(b) Other Currency Accumulation Share Class (CHF Hedged Class) (Weekly)(b) Other Currency Accumulation Share Class (USD Hedged Class) (Weekly)(b) Other Currency Share Class (GBP Hedged Class) (Weekly)(b) “P” Accumulation Share Class (Weekly)(b) “P” Accumulation Share Class (USD Hedged Class) (Weekly)(b) “P” Share Class (Weekly)(b) “P” Share Class (GBP Hedged Class) (Weekly)(b) “P” Share Class (USD Hedged Class) (Weekly)(b) “R” Accumulation Share Class (Weekly)(a)(b) “R” Share Class (Weekly)(a)(b) “R” Share Class (GBP Hedged Class) (Weekly)(a)(b) “R” Share Class (USD Hedged Class) (Weekly)(a)(b)
9
Goldman Sachs Funds II Statistical Information As at 30 November 2013 (Continued)
Currency
Outstanding Shares as at 30-Nov-13
USD USD GBP CHF EUR GBP USD USD EUR GBP USD USD CHF EUR EUR GBP GBP
255,450 321,042 60,000 39,520 1,536,370 345,566 4,848,941 565,063 209,425 793,013 551,188 43,346 1,000 141,677 21,656 36,592 126,240
125.60 129.75 122.74 124.57 122.55 123.89 123.87 123.26 121.74 123.27 112.33 112.34 109.15 109.19 109.25 109.69 109.65
111.03 113.84 107.48 110.63 108.77 109.37 109.57 109.54 108.73 109.35 — — — — — — —
EUR
953,930
106.86
105.03
30-Nov-12
30-Nov-11
Max. public offering price per share as at 30-Nov-13
— — — 99.28 97.51 97.50 97.50 97.50 97.52 97.51 — — — — — — —
32,083,786 11,102,527 41,655,195 35,770,041 7,364,548 6,448,943 4,922,871 7,188,184 188,279,162 121,665,221 42,811,040 35,709,210 600,650,572 181,462,393 69,652,216 53,686,670 25,496,322 16,381,871 97,757,455 79,044,371 61,915,140 — 4,869,310 — 109,155 — 15,470,378 — 2,365,983 — 4,013,625 — 13,842,166 —
— — — 3,132,264 13,895,904 8,665,925 17,790,630 15,568,048 6,089,199 19,306,603 — — — — — — —
125.60 129.75 122.74 131.42 129.29 130.70 130.68 130.04 128.44 130.05 118.51 118.52 115.15 115.20 115.26 115.72 115.68
—
101,933,581 123,561,892
—
112.74
Net Asset Value per Share as at
Net Asset as at
30-Nov-13 30-Nov-12 30-Nov-11
30-Nov-13
Dedicated Portfolio Tactical Tilt Portfolio “I” Accumulation Share Class “IO” Accumulation Share Class “IO” Accumulation Share Class (GBP Hedged Class) “P” Accumulation Share Class (CHF Hedged Class) “P” Accumulation Share Class (EUR Hedged Class) “P” Accumulation Share Class (GBP Hedged Class) “P” Accumulation Share Class “P” Share Class “P” Share Class (EUR Hedged Class) “P” Share Class (GBP Hedged Class) “R” Accumulation Share Class(a) “R” Share Class(a) “R” Accumulation Share Class (CHF Hedged Class)(a) “R” Accumulation Share Class (EUR Hedged Class)(a) “R” Share Class (EUR Hedged Class)(a) “R” Accumulation Share Class (GBP Hedged Class)(a) “R” Share Class (GBP Hedged Class)(a)
Fixed Income Portfolio Europe High Income Bond Portfolio Base Currency (S-Dis) Share Class
(a) (b)
Refer to Appendix II. Stated as at 28 November 2013, the last tradable date in the year.
10
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013
1
O r ga n i s a t i o n
Goldman Sachs Funds II (“the Fund”) was incorporated on 20 November 2007 under the laws of the Grand Duchy of Luxembourg as a “Société d’Investissement à Capital Variable” (“SICAV”), for an unlimited period of time. The Fund is registered and qualifies as a self-managed company in accordance with Part I of the Law of 17 December 2010. As at 30 November 2013, the Fund is comprised of nine different portfolios (“the Portfolios”). As at 30 November 2013, the Fund offered shares in the Portfolios as detailed in Appendix I. Please refer to Appendix II for Portfolios and Share Classes that were launched during the year. 2
I nve s t m e n t O b j e c t ive
The primary investment objective of each Equity Portfolio is long-term capital appreciation derived from investing in any Permitted Investments. The investment objective for the Specialist Portfolio is customised for each Specialist Portfolio: Dynamic Alternative Strategies Portfolio seeks to achieve attractive long-term risk-adjusted returns primarily through allocating assets to a broad range of alternative investment strategies which may include one or more of the following four sectors either directly or through investments in Permitted Funds: tactical trading, equity long/ short, relative value and event driven. The primary investment objective of the Dedicated Portfolio is to seek to achieve long-term capital appreciation from a portfolio of Permitted Investments including Transferable Securities, financial derivative instruments and Permitted Funds. The primary objective of the Fixed Income Portfolio is a high level of total return consisting of income and capital appreciation through investment in Permitted Investments. 3
S i g n i f i c a n t A c c o u n t i n g Po l i c i e s
(a) Basis of Preparation of Financial Statements
The financial statements of the individual Portfolios are presented in their base currency while the Combined Total of all the Portfolios are presented in United States Dollars. The Investment Adviser considers that the Portfolios’ base currencies most accurately represent the economic effects of the underlying transactions, events and conditions of the Portfolios. The financial statements have been prepared in accordance with the Luxembourg law on Undertakings for Collective Investment. The preparation of financial statements requires the Board to make estimates and assumptions that may affect the amounts reported in the financial statements and accompanying notes. Refer to the liabilities section of the Statement of Assets and Liabilities and Note 4 for instances where the Board was required to make certain estimates and assumptions to determine value. Actual results may differ from those estimates. ( b ) I nve s t m e n t Tr a n s a c t i o n s a n d Re l a t e d I nve s t m e n t I n c o m e
The Fund records its investment transactions on a trade date basis plus one accounting day. Realised gains and losses are based on the weighted average cost method. Dividend income and dividend expense are recorded on the ex-dividend date and interest income and interest expense are accrued over the life of the investment. Interest income includes accretion of market discount, original issue discounts and amortisation of premiums and is recorded into income over the life of the underlying investment. Interest income and dividend income are recognised on a gross basis before withholding tax, if any. Operating expenses are recognised on an accrual basis. Transaction costs, when incurred, are recognised in the Statement of Operations. Refer to Note 14 for further details. 11
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
3
S i g n i f i c a n t A c c o u n t i n g Po l i c i e s ( c o n t i n u e d )
( c ) F i n a n c i a l I nve s t m e n t i n S e c u r i t i e s a n d Va l u a t i o n
i. Recognition and Derecognition The Portfolios recognise financial assets and financial liabilities on the date they become a party to the contractual provisions of the investment. Purchases and sales of financial assets and financial liabilities are recognised using trade date plus one accounting. From trade date plus one, any gains and losses arising from changes in value of the financial assets or financial liabilities are recorded in the Statement of Operations. Financial assets are derecognised when the rights to receive cash flows from the investments have expired or the Portfolio has transferred substantially all risks and rewards of ownership.
ii. Value Measurement Principles The value of all securities and derivatives is determined according to the following policies:
(ii.1) Exchange Listed Assets and Liabilities The value of exchange traded financial investments, including transferable securities admitted to an official exchange listing or dealt in on any other regulated market that operates regularly, which comprise Common Stocks and Preferred Stocks, is based upon quoted market prices at the period end date without any deduction for estimated future transaction costs.
(ii.2) Debt Securities Debt securities, comprising Corporate Bonds and Non-Agencies Asset Backed Obligations, are valued on the basis of dealer supplied quotations or by using a third party pricing service.
(ii.3) Certificates of Deposit and Money Market Investments Certificates of Deposit, comprising Time Deposits, and Money Market Investments are valued at amortised cost, which approximates market value.
(ii.4) Shares in Collective Investment Schemes The value of investments in open-ended investment funds, comprising Mutual Funds, is based upon the official published net asset values per share.
(ii.5) Derivatives A derivative is an instrument whose value is derived from an underlying instrument, index reference rate or a combination of these factors. Derivative instruments may be privately negotiated contracts which are often referred to as over the counter (“OTC”) derivatives or they may be listed and traded on an exchange. Derivative contracts may involve future commitments to purchase or sell financial instruments or commodities at specified terms on a specified date, or to exchange interest payment streams or currencies based on a notional or contractual amount. Derivative contracts are stated at market value and recognised as assets and liabilities in the Statement of Assets and Liabilities. Gains and losses resulting from the change in the market value are reflected in the Statement of Operations as a component of change in unrealised gain/(loss). Realised gains or losses are recorded on termination or from periodic cash flow payments.
12
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
3
S i g n i f i c a n t A c c o u n t i n g Po l i c i e s ( c o n t i n u e d )
( c ) F i n a n c i a l I nve s t m e n t i n S e c u r i t i e s a n d Va l u a t i o n ( c o n t i n u e d )
ii. Value Measurement Principles (continued) (ii.5) (a) Option Contracts The Portfolios enter into exchange traded and OTC option contracts with various counterparties. When the Portfolio purchases an option, an amount equal to market value which is based on the premium paid is recorded as an asset, the value of which is marked-to-market daily. When the Portfolio writes an option, an amount equal to market value which is based on the premium received by the Portfolio is recorded as a liability and is adjusted to the market value of the option written on each valuation date. When options are closed, the difference between the premium and the amount paid or received, net of brokerage commissions, or the full amount of the premium if the option expires worthless, is treated as realized gain or loss. The exercise of an option written by the Portfolio could result in the Portfolio buying or selling a financial instrument at a price different from the current market value. The market value of an OTC contract is determined by applying an option valuation model or by reference to the price quoted by the counterparty to the relevant option agreement. The market value of an exchange traded option is based on exchange settlement prices or independent market quotes provided by a pricing service or counterparty.
(ii.5) (b) Futures Contracts Futures contracts are contracts to buy or sell a standardised quantity of a specified commodity and valued based on exchange settlement prices or independent market quotes. Initial margin deposits, in either cash or securities, are required to trade in the futures market. Unrealised gains or losses on futures contracts are recognised to reflect the market value of the contracts and are included as a component of the unrealised gains or losses on the Portfolio’s Statement of Operations. Variation margin is received or paid, depending on whether unrealised gains or losses are incurred. When the contract is terminated, the Portfolio will recognise a realized gain or loss equal to the difference between the value of the contract at the time it was entered into and the time it was closed.
(ii.5) (c) Swap Contracts Swaps, comprising Credit Default Swaps and Total Return Swaps, can be linked to any number of underlying investments and indexes, and swap terms can vary greatly. Cash flows are exchanged based on the underlying. Upfront payments, which represent a risk premium, are amortised straight-line over the contract term. Swap agreements are carried at market value and the value of the swap agreement is based on a counterparty provided third party pricing service or valuation model. The model considers various inputs including the market value of the underlying, the risks associated with the underlying and the specific terms of the contract.
(ii.5) (d) Forward Foreign Currency Contracts In a forward foreign currency contract, the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. Purchases and sales of forward foreign currency contracts having the same notional value, settlement date and counterparty and right to settle net are generally offset (which result in a net foreign currency position of zero with the counterparty) and any realised gains or losses are recognised on trade date plus one. The market value of forward foreign currency contracts is based on the price at which a new forward foreign currency contract of the same notional value, currency and maturity could be effected at the close of business in the principal currency markets in which these currencies are traded.
13
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
3
S i g n i f i c a n t A c c o u n t i n g Po l i c i e s ( c o n t i n u e d )
( c ) F i n a n c i a l I nve s t m e n t i n S e c u r i t i e s a n d Va l u a t i o n ( c o n t i n u e d )
ii. Value Measurement Principles (continued) (ii.6) All Securities and Derivatives If a quoted market price is not available from a third party pricing service or a dealer, or a quotation is believed to be materially inaccurate, the market value of the investment is determined by using valuation techniques. Valuation techniques include the use of recent market transactions, reference to the current market value of another investment that is substantially the same, discounted cash flow analyses or any other techniques that provides a reliable estimate of prices obtained in actual market transactions. Such securities and derivatives shall be valued at their probable realisation value as determined by a person appointed by the Directors (“the Competent Person”). Such a Competent Person may be the Investment Advisor itself, independent pricing agents or others, subject to applicable law. The Competent Person during the year ended 30 November 2013 was Goldman Sachs Valuation Oversight Group (“VOG”). The investments have been valued in accordance with generally accepted accounting principles that may require the use of certain estimates and assumptions to determine value. Although these estimates and assumptions are based on the best available information, actual results could be materially different from these estimates. Refer to note 4 for securities where the Competent Person was used to determine value. (d) Cash
Cash is valued at cost, which approximates market value. ( e ) D u e f r o m / D u e t o B r o ke r s
Due from brokers consists primarily of cash receivable from the Fund’s clearing brokers and various counterparties. Due to brokers consists primarily of cash payable to the Fund’s clearing brokers and various counterparties. Due from/to broker balances are valued at cost. (f)
Fo r e i g n C u r r e n c y Tr a n s l a t i o n
The books and records of all Portfolios are maintained in their base currency. Please refer to Appendix I for the base currency of each Portfolio. Transactions in foreign currencies are translated at the foreign currency exchange rate in effect at the date of the transaction. Assets and liabilities denominated in foreign currencies are translated into the base currency at the foreign currency closing exchange rate in effect at the year-end date. Foreign currency exchange differences arising on translation and realised gains and losses on disposals or settlements of assets and liabilities are recognised in the Statement of Operations. Foreign currency exchange gains or losses relating to investments, derivative financial investments, and all other foreign currency exchange gains or losses relating to monetary items, including cash and cash equivalents, are reflected in the net realised gain/(loss) or net change in unrealised gain/(loss) in the Statement of Operations. (g) Expenses
Expenses incurred by the Fund that do not specifically relate to an individual Portfolio or Share Class of a Portfolio are charged to the Portfolios based on an allocation basis depending upon the nature of the charges. Expenses directly attributable to a Portfolio or Share Class are charged to that Portfolio or Share Class.
14
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
3
S i g n i f i c a n t A c c o u n t i n g Po l i c i e s ( c o n t i n u e d )
( h ) A l t e r n a t ive N e t A s s e t Va l u e C a l c u l a t i o n M e t h o d 1
On any Business Day the Directors through their appointed delegate, Goldman Sachs Asset Management International (“GSAMI”) as Investment Adviser, may determine to apply an alternative net asset value calculation method (to include such reasonable factors as they see fit) to the net asset value per Share. This method of valuation is intended to pass the estimated costs of underlying investment activity of the Portfolio to the active Shareholders by adjusting the net asset value of the relevant Share and thus to protect the Portfolio’s long-term Shareholders from costs associated with ongoing redemption and subscription activity. This alternative net asset value calculation method may take account of any duties and charges incurred as a result of trading and may include an estimate of market impact. In addition it may take into account trading spreads on the Portfolio’s investments to the extent they are not already included in the investment valuation. Where GSAMI, based on the prevailing market conditions and the level of subscriptions or redemptions requested by Shareholders or potential Shareholders in relation to the size of the relevant Portfolio, have determined for a particular Portfolio to apply an alternative net asset value calculation method, the Portfolio may be valued either on a bid or offer basis. Because the determination of whether to value the Portfolio’s net asset value on a bid or offer basis is based on the net transaction activity of the relevant day, Shareholders transacting in the opposite direction of the Portfolio’s net transaction activity may benefit at the expense of the other Shareholders in the Portfolio. In addition, the Portfolio’s net asset value and short-term performance may experience greater volatility as a result of this alternative net asset value calculation method. The following Portfolios are able to apply an alternative net asset value calculation method: GMS Asia (ex-Japan) Equity Portfolio
GMS Global Equity Portfolio
GMS Emerging Markets Equity Portfolio
GMS Japan Equity Portfolio
GMS Europe Equity Portfolio
GMS US Equity Portfolio
Refer to the Statement of Assets and Liabilities for the Portfolios that applied the alternative net asset calculation method as at 30 November 2013. 1
4
Referred to as “swing pricing” by the Association of the Luxembourg Fund Industry (“ALFI”).
C o m p e t e n t Pe r s o n Va l u a t i o n
The following table sets forth the securities where the Competent Person was used to determine value. As at 30 November 2013
Portfolios
Currency
Number of Assets valued
Value
% of Shareholders’ equity
4,313,068
1.59%
GMS Emerging Markets Equity Portfolio
USD
4
GMS Europe Equity Portfolio
EUR
1
7,287
0.00%
GMS Global Equity Portfolio
USD
2
189,814
0.04%
15
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
5
Ta x a t i o n
Taxation – Luxembourg The Fund is not liable for any Luxembourg tax on profits or income, nor are the dividends paid by a Portfolio liable to any Luxembourg withholding tax subject to the application of the Luxembourg laws dated 21 June 2005 (the “Laws”) implementing Council Directive 2003/48/EC on taxation of savings income in the form of interest payments (“EU Savings Directive”) and several agreements concluded between Luxembourg and certain associated territories of the European Union (the “Associated Territories”). However, the Fund is as a rule liable in Luxembourg to an annual subscription tax (taxe d'abonnement) of 0.05% per annum. The taxable basis of the subscription tax is the aggregate net assets of the Fund as valued on the last day of each quarter. This rate is however 0.01% per annum for: •
undertakings whose exclusive object is the collective investment in Money Market Instruments and the placing of deposits with credit institutions;
•
undertakings whose exclusive object is the collective investment in deposits with credit institutions; and
•
individual compartments of undertakings for collective investment (“UCI”) with multiple compartments referred to in the law dated 17 December 2010, as well as for individual classes of securities issued within a UCI or within a compartment of a UCI with multiple compartments, provided that the securities of such compartments or classes are reserved to one or more institutional investors.
The following assets/entities are further exempt from the subscription tax: •
the value of the assets represented by units held in other UCI, provided such units have already been subject to the subscription tax in accordance with the law dated 17 December 2010 or 13 February 2007 on specialised investment funds;
•
UCI, as well as individual compartments of umbrella funds (i) whose securities are reserved for institutional investors and (ii) whose exclusive object is the collective investment in Money Market Instruments and the placing of deposits with credit institutions and (iii) whose weighted residual portfolio maturity must not exceed 90 days and (iv) which have obtained the highest possible rating from a recognised rating agency. Where several classes of securities exist within the UCI or the compartment, the exemption only applies to classes whose securities are reserved for institutional investors; and
•
UCI whose securities are reserved for (i) institutions for occupational retirement provision, or similar investment vehicles, created on the initiative of a same group for the benefit of its employees and (ii) undertakings of this same group investing funds they hold, to provide retirement benefits to their employees.
Taxation – UK As a general matter, the Fund makes an application in respect of distributing share classes to be included in the reporting fund regime upon the launch of new Portfolios or share classes of the Fund. Reporting share classes are not required to make distributions, but are required to provide HMRC with full details of reportable income each year and publish those figures to those investors. Income will be reported to investors within six months of the year end via the website mentioned below. Investors will be able to access the reportable income figure at www.gs.com/gsam. Taxation – Belgium The Fund may incur a liability to subscription tax at the rate of 0.08% in respect of subscriptions made through intermediaries situated in Belgium to the extent that net shares are outstanding as of 31 December of the previous year.
16
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
5
Ta x a t i o n ( c o n t i n u e d )
Taxation – General Each Portfolio may be subject to taxation on capital gains, interest and dividends in certain jurisdictions in which each Portfolio invests. It is the policy of each Portfolio to accrue for any such taxes on dividends and interest when the dividend is declared or interest is earned. At each valuation date, taxation on realised and unrealized appreciation of securities may be accrued for at statutory rates. Prospective investors should consult their own taxation advisers regarding the tax implications of investing in the fund in relation to their own individual circumstances as they may differ from the general statements that appear above. 6
S i g n i f i c a n t A g r e e m e n t s a n d Re l a t e d Pa r t i e s Investment Adviser and Sub-Investment Adviser
Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman, Sachs & Co. (“Goldman Sachs”), acts as each Portfolio’s investment adviser pursuant to an Investment Advisory Agreement dated 20 November 2007. Under the Investment Advisory Agreement, GSAMI, subject to the general supervision of the Fund’s Board of Directors, manages the Fund’s Portfolios. GSAMI may rely upon Goldman Sachs Asset Management L.P., the U.S. sub-adviser, in connection with the selection of securities of U.S. issuers and issuers in many emerging market countries; upon the asset management division of Goldman Sachs (Singapore) PTE and Goldman Sachs (Asia) LLC. - Hong Kong Branch, the Asian subadvisers, in connection with the selection of securities of Asian issuers; upon Goldman Sachs Asset Management Co., Ltd, the Japanese sub-adviser, in connection with the selection of securities of Japanese issuers; upon Goldman Sachs Asset Management Australia Pty Ltd., in connection with the selection of securities of Australasian issuers and upon Goldman Sachs Hedge Fund Strategies LLC, in connection with selection of investments in Dynamic Alternative Strategies Portfolio. All these entities are affiliates of Goldman Sachs. GSAMI has entered into sub-advisory agreements with each of the following sub-advisers: Portfolios
Sub-Advisor1
GMS Asia (ex-Japan) Equity Portfolio
Russell Implementation Services Ltd.2
GMS Emerging Markets Equity Portfolio
Fisher Asset Management LLC3 Wells Capital Management, Inc. Lazard Asset Management LLC
GMS Europe Equity Portfolio
Mandarine Gestion4 Wellington Management International Ltd. Blackrock Investment Management (UK) Limited
GMS Global Equity Portfolio
Baillie Gifford & Co. Altrinsic Global Advisors LLC Hexavest, Inc.
GMS Japan Equity Portfolio
Lazard Asset Management LLC AllianceBernstein L.P.
GMS US Equity Portfolio
Diamond Hill Capital Management Inc. Manning & Napier Advisors, Inc. Westfield Capital Management LLC
1
None of these investment advisers are an affiliate of GSAMI. As compensation for the services rendered under the Investment Advisory Agreement, GSAMI receives a fee, payable monthly, at an annual rate. A portion of the Investment Adviser’s fees may be remitted to the sub-adviser. 2 Russell Implementation Services Ltd. replaced Treasury Asia Asset Management Ltd. and Metisq Capital Pty. Ltd. as Sub-Investment Adviser effective 18 November 2013. 3 Fisher Asset Management LLC was appointed as Sub-Investment Adviser effective 8 January 2013. 4 Mandarine Gestion replaced Oeschle International Advisers Ltd. as Sub-Investment Adviser effective 10 April 2013.
17
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
6
S i g n i f i c a n t A g r e e m e n t s a n d Re l a t e d Pa r t i e s ( c o n t i n u e d ) Investment Adviser and Sub-Investment Adviser (continued)
GSAMI has voluntarily agreed to limit total expenses in respect of certain Portfolios and certain Share Classes. Therefore, to the extent that total ordinary expenses would exceed the expense cap, GSAMI has voluntarily agreed to reduce its advisory fees accordingly for the year ended 30 November 2013. The Investment Adviser may, in its sole discretion, designate which expenses of the Fund will be subject to any such expense cap imposed by the Investment Adviser. There is no guarantee that the existence or level of these expense caps will continue in the future and no obligation on the part of GSAMI to agree to limit total expenses in this way. Details of advisory fee rates and the expense caps as of 30 November 2013 are detailed in Appendix I. Director’s Remuneration
Mr. Frank Ennis and Mr. Eugene Regan are independent Directors and have no executive function with the Investment Adviser or its affiliated companies. The Fund pays each independent Director an annual fee for their services as a Director of the Fund. Mr. Mark Heaney, Mr. Alan Shuch, Mr. Theodore Sotir and Mrs. Katherine Uniacke (who was appointed as of 5 April 2013) are affiliated with the Investment Adviser and receive no compensation from the Fund. Performance Fees
GSAMI is entitled to a monthly performance fee on the Dynamic Alternative Strategies Portfolio. The performance fee accrues every Wednesday (or the following Business Day if it falls on a day that is not a Business Day) and is payable monthly in arrears out of the assets attributable to the Portfolio. The performance fee is equal to up to 10% of the amount by which the net asset value per Share exceeds the Benchmark Value per Share, as defined within the Prospectus. Fees Earned on Other Goldman Sachs Funds
To the extent permitted by applicable law and the terms of the Prospectus, any Portfolio may invest all or some of its short term cash investments in any money market fund advised or managed by Goldman Sachs and may invest in other investment funds advised or managed by Goldman Sachs (together “Goldman Sachs Funds”). Subject to applicable law and the terms of the Prospectus, the Fund may be required to bear its proportionate share of any fees (including investment advisory and management fees) applicable to its investment in such investment funds. The Portfolios may invest in Goldman Sachs US$ Liquid Reserves Fund, Goldman Sachs Sterling Liquid Reserves Fund, Goldman Sachs Euro Liquid Reserves Fund, Goldman Sachs Yen Liquid Reserves Fund and Goldman Sachs US$ Treasury Liquid Reserves Fund (“the Liquid Reserves Funds”), sub-funds of Goldman Sachs Funds, plc. This is a collective investment scheme promoted by the Investment Adviser which is authorised by the Financial Regulator in Ireland as an Undertaking for Collective Investments in Transferable Securities under the European Communities (Undertaking for Collective Investments in Transferable Securities) Regulations 2011. For the year ended 30 November 2013, there were no Investment Advisory fees earned on each Portfolio’s investment in Goldman Sachs Funds. The Portfolios are invested in the non-Investment Advisory fee bearing share classes of the Goldman Sachs Funds.
18
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
6
S i g n i f i c a n t A g r e e m e n t s a n d Re l a t e d Pa r t i e s ( c o n t i n u e d ) Commissions
In the normal course of its operations, each Portfolio may enter into transactions on securities or other investments with Goldman Sachs or other Goldman Sachs affiliates (together “Goldman Sachs Affiliates”). For the year ended 30 November 2013, the following transactions were entered into with Goldman Sachs Affiliates.
Portfolios
Currency
Security Transactions Aggregate Value*
Percent of Total Security Transaction Aggregate Value
Security Transactions Brokerage Commissions
Percent of Total Security Commissions
Equity Portfolios Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio
USD
18,802,235
8.66%
14,106
5.34%
GMS Emerging Markets Equity Portfolio
USD
8,855,643
4.87%
9,049
4.68%
GMS Europe Equity Portfolio
EUR
42,210,165
9.86%
39,581
9.36%
GMS Global Equity Portfolio
USD
23,981,079
4.77%
31,572
6.68%
GMS Japan Equity Portfolio
JPY
46,249,973
2.46%
38,731
3.22%
GMS US Equity Portfolio
USD
19,582,970
5.24%
8,972
3.42%
Total (in USD)
127,542,246
116,463
* Represents the cost of securities (excludes futures transactions and investments in the Liquid Reserves Funds) for transactions entered into with Goldman Sachs Affiliates.
For the year ended 30 November 2013, there were no transactions with affiliates for all remaining Portfolios. All such transactions with Goldman Sachs Affiliates were entered into in the ordinary course of business and on normal commercial terms. Administrator, Custodian, Domiciliary Agent and Listing Agent
The Fund has appointed State Street Bank Luxembourg S.A. as Administrator, Custodian, Domiciliary Agent and Listing Agent. For its services as Administrator, Domiciliary Agent and Listing Agent, State Street Bank Luxembourg S.A. receives a fee payable monthly and calculated on the Monthly Average Net Assets of each Portfolio. For its services as Custodian, State Street Bank Luxembourg S.A. charges a fee which is a combination of basis point charges on assets and transactions dependent on the country of such transaction.
19
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
6
S i g n i f i c a n t A g r e e m e n t s a n d Re l a t e d Pa r t i e s ( c o n t i n u e d ) Administrator, Custodian, Domiciliary Agent and Listing Agent (continued)
For its financial reporting services, State Street Bank Luxembourg S.A. receives a fixed fee per annum per Portfolio payable monthly in arrears. 30-Nov-2013 USD
Expenses during the year Financial Reporting Services fees
79,703
Administration, Custodian, Domiciliary and Listing Agent fees
1,686,155
Total
1,765,858
Distributor
Goldman Sachs International (“GSI”), an affiliate to the Fund, serves as the Distributor of shares of each Portfolio pursuant to a Distribution Agreement. GSI may receive a portion of the sales charge imposed on the sale of Portfolio shares. Please see the table below which details the value of retained sales charges per Portfolio. Portfolios
Currency
Sales Charge
Equity Portfolios Global Manager Strategies Portfolios GMS Emerging Markets Equity Portfolio
USD
4,905
GMS Europe Equity Portfolio
EUR
2,250
GMS Global Equity Portfolio
USD
6,200
GMS US Equity Portfolio
USD
2,750
USD
359,044
Dedicated Portfolios Tactical Tilt Portfolio Total (in USD)
375,875
For the year ended 30 November 2013, there were no retained sales charges for GMS Asia (ex-Japan) Equity Portfolio, GMS Japan Equity Portfolio, Dynamic Alternatives Strategies Portfolio and Europe High Income Bond Portfolio. Out of its fees, the Distributor is responsible for remunerating third party sub-distributors. Transfer Agent
The Fund has appointed RBC Investor Services Bank S.A. as Registrar and Transfer Agent (“the Transfer Agent’’) for the Fund pursuant to the Registrar and Transfer Agent Agreement between the Fund and the Transfer Agent. The day-to-day services provided to the Fund by the Transfer Agent include receiving and processing subscription and redemption orders, allotting and issuing shares and maintaining the shareholder register for the shares. The Transfer Agent is paid a fee quarterly in arrears out of the net assets of the Portfolio. The Transfer Agent’s fee consists of both a fixed and variable fee. The fixed portion consists of an annual charge for maintenance and shareholder account charges. Variable costs are determined by the level of transactions in each Portfolio. For the year ended 30 November 2013, the Transfer Agent fees charged to the Fund were USD 195,909.
20
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
6
S i g n i f i c a n t A g r e e m e n t s a n d Re l a t e d Pa r t i e s ( c o n t i n u e d ) Shareholder Services
GSI, through its European Shareholder Services Group, also receives a fee from the Portfolios. This is in respect of investor services provided to shareholders in the Portfolios and is payable monthly in arrears. Investors should note that this fee is in addition to the fee payable to GSI in its capacity as Distributor. For the year ended 30 November 2013, the Shareholder Services fees charged to the Fund were USD 961,543. Competent Person
The Directors have appointed Goldman Sachs VOG to act as the Competent Person during the year ended 30 November 2013. 7
Share Capital
The Following tables summarise the activity in the Fund’s Shares:
Currency
Balance at 30-Nov-2012
Subscriptions
Redemptions
Balance at 30-Nov-2013
USD USD USD USD
4,058,501 2,336,848 — —
1,246,057 318,028 350,681 787,491
1,251,521 600,198 6,147 23,949
4,053,037 2,054,678 344,534 763,542
6,395,349
2,702,257
1,881,815
7,215,791
10,986,469 4,439,102 — — —
4,283,168 753,281 1,369,589 1,844,710 4,590,000
1,479,342 149,308 26,117 103,212 —
13,790,295 5,043,075 1,343,472 1,741,498 4,590,000
15,425,571
12,840,748
1,757,979
26,508,340
9,707,245 4,536,158 — —
3,033,915 494,326 748,024 1,788,792
2,387,960 1,560,130 34,082 118,398
10,353,200 3,470,354 713,942 1,670,394
14,243,403
6,065,057
4,100,570
16,207,890
321,433 3,052,463 18,243,232 7,229,624 1,198,000 — — —
— 550,747 999,109 1,720,954 — 1,422,609 584,145 5,060,000
— 374,247 2,612,379 558,067 — 41,137 — 1,182,437
— 3,228,963 16,629,962 8,392,511 1,198,000 1,381,472 584,145 3,877,563
29,723,319
10,337,564
4,768,267
35,292,616
88,966 73,902 — —
2,207 9 939 8,316
15,634 46,451 — —
75,539 27,460 939 8,316
162,868
11,471
62,085
112,254
12,270,416 8,766,961 — —
3,196,499 756,658 1,143,121 2,547,438
2,558,577 3,168,098 13,166 164,059
12,908,338 6,355,521 1,129,955 2,383,379
21,037,377
7,643,716
5,903,900
22,777,193
Equity Portfolios Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class* “R” Accumulation Share Class* GMS Asia (ex-Japan) Equity Portfolio Total
GMS Emerging Market Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class* “R” Accumulation Share Class* “IO” Accumulation Share Class*
USD USD USD USD USD
GMS Emerging Market Equity Portfolio Total
GMS Europe Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class* “R” Accumulation Share Class*
EUR EUR EUR EUR
GMS Europe Equity Portfolio Total
GMS Global Equity Portfolio “I” Accumulation Share Class* “P” Accumulation Share Class “P” Accumulation Share Class “P” Share Class “I” Accumulation Share Class “R” Share Class* “R” Accumulation Share Class* “IO” Accumulation Share Class*
USD EUR USD USD USD USD USD USD
GMS Global Equity Portfolio Total
GMS Japan Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class* “R” Accumulation Share Class*
JPY JPY JPY JPY
GMS Japan Equity Portfolio Total
GMS US Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class* “R” Accumulation Share Class*
USD USD USD USD
GMS US Equity Portfolio Total
21
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
7
Share Capital (continued)
Balance at 30-Nov-2012
Subscriptions
Redemptions
EUR EUR
37,559 7,850
2,408 20,606
3,640 6,850
36,327 21,606
CHF
6,806
300
1,704
5,402
USD
8,521
4,372
6,870
6,023
GBP EUR
2,315 220,446
259 181,531
— 63,821
2,574 338,156
USD EUR GBP USD EUR EUR GBP
169,925 53,160 456,216 158,521 — — —
49,802 20,862 97,270 11,839 44,088 87,032 148,660
33,054 10,759 143,016 30,588 4,227 2,328 11,517
186,673 63,263 410,470 139,772 39,861 84,704 137,143
USD USD
— —
51,935 100,875
154 —
51,780 100,875
1,121,319
821,839
318,529
1,624,629
100,000 314,212 60,000 64,977 1,118,540 326,509 1,656,080 490,127 150,667 722,851 — — — — — — —
166,266 54,211 — 18,160 521,374 19,812 3,339,743 102,386 67,649 119,297 43,346 551,188 22,506 141,713 144,962 36,942 1,000
10,816 47,381 — 43,617 103,544 755 146,882 27,450 8,891 49,135 — — 850 36 18,722 350 —
255,450 321,042 60,000 39,520 1,536,370 345,566 4,848,941 565,063 209,425 793,013 43,346 551,188 21,656 141,677 126,240 36,592 1,000
5,003,963
5,350,555
458,429
9,896,089
1,176,390
—
222,460
953,930
1,176,390
—
222,460
953,930
Currency
Balance at 30-Nov-2013
Specialist Portfolio Dynamic Alternative Strategies Portfolio Base Accumulation Share Class (Weekly) Base Currency Share Class (Weekly) Other Currency Accumulation Share Class (CHF Hedged Class) (Weekly) Other Currency Accumulation Share Class (USD Hedged Class) (Weekly) Other Currency Share Class (GBP Hedged Class) (Weekly) “P” Accumulation Share Class (Weekly) “P” Accumulation Share Class (USD Hedged Class) (Weekly) “P” Share Class (Weekly) “P” Share Class (GBP Hedged Class) (Weekly) “P” Share Class (USD Hedged Class) (Weekly) “R” Share Class (Weekly)* “R” Accumulation Share Class (Weekly)* “R” Share Class (GBP Hedged Class) (Weekly)* “IO” Accumulation Share Class (USD Hedged Class) (Weekly)* “R” Share Class (USD Hedged Class) (Weekly)* Dynamic Alternative Strategies Portfolio Total
Dedicated Portfolio Tactical Tilt Portfolio “I” Accumulation Share Class “IO” Accumulation Share Class “IO” Accumulation Share Class (GBP Hedged Class) “P” Accumulation Share Class (CHF Hedged Class) “P” Accumulation Share Class (EUR Hedged Class) “P” Accumulation Share Class (GBP Hedged Class) “P” Accumulation Share Class “P” Share Class “P” Share Class (EUR Hedged Class) “P” Share Class (GBP Hedged Class) “R” Share Class* “R” Accumulation Share Class* “R” Share Class (EUR Hedged Class)* “R” Accumulation Share Class (EUR Hedged Class)* “R” Share Class (GBP Hedged Class)* “R” Accumulation Share Class (GBP Hedged Class)* “R” Accumulation Share Class (CHF Hedged Class)*
USD USD GBP CHF EUR GBP USD USD EUR GBP USD USD EUR EUR GBP GBP CHF
Tactical Tilt Portfolio Total
Fixed income Portfolio Europe High Income Bond Portfolio Base Currency (S-Dis) Share Class
EUR
Europe High Income Bond Portfolio Total
* Refer to Appendix II.
22
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
8
D i s t r i bu t i o n s
The Fund intends that substantially all the net investment income, if any, of each Portfolio will be declared as a dividend and paid at least annually to the Shareholders of the Distribution Share Class of the Portfolio. Net capital and currency gains realised on each Portfolio’s investments are expected to be retained by each Portfolio. Dividends distributed by each Portfolio may be paid in cash or reinvested in additional Shares of the Portfolio at the net asset value of the Shares as of the date on which such dividends are declared. When Shareholders make use of this reinvestment facility, each dividend due to the Shareholder will be paid by the Portfolio to State Street Bank Luxembourg S.A. at its Luxembourg office to the account of the relevant Shareholder, and additional Shares will be issued to the Shareholder. State Street Bank Luxembourg S.A. will, as paying agent for the Shareholders, credit such monies to the Portfolio for subscription in further Shares. No distributions will be paid in respect of the Accumulation Share Class. 9
F i n a n c i a l I nve s t m e n t s a n d A s s o c i a t e d R i s k s
The Fund’s investing activities expose it to various types of risks that are associated with the financial investments and markets in which it and its underlying Portfolios invest (the “Investment Risks”). These may be both derivative and non-derivative financial investments. The Fund’s underlying Portfolios’ investments are comprised of equity investments, investments in other funds, forward foreign currency contracts, options and swap contracts at the year end. The Board has appointed the Investment Adviser to manage the investment risks of the Fund. The significant types of financial risks which the Fund is exposed to are market risk, liquidity risk and credit risk. The Prospectus provides details of these and other types of risk some of which are additional to that information provided in these financial statements. Asset allocation is determined by the Fund’s Investment Adviser who manages the allocation of assets to achieve the investment objectives as detailed in Note 2. Achievement of the investment objectives involves taking risks. The Investment Adviser exercises judgment based on analysis, research and risk management techniques when making investment decisions. Divergence from the benchmark and/or the target asset allocations and the composition of the portfolio is monitored by the Fund’s Investment Adviser. The risk management policies employed by the Investment Adviser are detailed below: ( a ) M a r ke t R i s k
The potential for changes in the market value of the Fund’s underlying Portfolios’ investments is referred to as market risk. Commonly used categories of market risk include currency risk and other price risk. (i)
Currency risks may result from exposures to changes in spot prices, forward prices and volatilities of currency rates.
(ii)
Interest rate risks may result from exposures to changes in the level, slope and curvature of the various yield curves, the volatility of interest rates, mortgage prepayment speeds and credit spreads.
(iii) Other price risks are the risk that the value of an investment will fluctuate as a result of changes in market prices other than those arising from currency risk and may result from exposures to changes in the prices and volatilities of individual equities, equity baskets, equity indices, and commodities. The Fund’s market risk strategy is driven by the Fund’s underlying Portfolios’ investment risk and return objectives. The Investment Adviser and Sub-Advisers manage market risk through the application of risk budgeting principles.
23
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
9
F i n a n c i a l I nve s t m e n t s a n d A s s o c i a t e d R i s k s ( c o n t i n u e d )
( a ) M a r ke t R i s k ( c o n t i n u e d )
(i) Currency Risk The Fund may invest in financial investments and enter into transactions denominated in currencies other than its Portfolios’ base currencies. Consequently, a Portfolio may be exposed to the risk that the exchange rate of its base currency relative to other foreign currencies may change in a manner that has an adverse effect on the value of that portion of a Portfolio’s assets or liabilities denominated in currencies other than the base currency. When an investor invests into a Share Class which is in a different currency to the base currency of the Portfolio in which it invests, the currency risk of the investor will be different to the currency risk of the Portfolio.
(ii) Interest Rate Risk The Fund may invest in fixed income securities and interest rate swaps contracts. Any change to relevant interest rates for particular securities may result in the Investment Adviser being unable to secure similar returns upon the expiry of contracts or the sale of securities. In addition, changes to prevailing interest rates or changes in expectations of future rates may result in an increase or decrease in the value of the securities held. In general, if interest rates rise, the value of fixed income securities will decline. A decline in interest rates will in general, have the opposite effect. All fixed income securities and floating rate securities, together with their coupon and maturity date are disclosed in the Schedule of Investments. The Fund may invest in instruments in desired currencies at fixed, floating and zero rates of interest.
(iii) Other Price Risk Other price risk is the risk that the value of a financial investment will fluctuate as a result of changes in market prices, other than those arising from currency risk whether caused by factors specific to an individual investment, its issuer or any factor affecting financial investments traded in the market. The Funds’ financial investments are carried at Market Value with market value changes recognised in the Statement of Operations, all changes in market conditions will directly affect Shareholders’ equity. The Funds investments in mutual funds are based upon the net asset value as supplied by the funds, in accordance with the valuation policy of the applicable fund as outlined in its Prospectus. While it is expected that the assets of the mutual funds will generally be valued by an independent third party administrator or other service provider, there may be circumstances in which certain securities or other assets of a mutual fund may not have a readily ascertainable market price. In such circumstances, the manager of the relevant mutual fund may be required to value such securities or instruments. (b) Liquidity Risk
Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial liabilities that are settled by delivering cash or another financial asset. Among other things liquidity could be impaired by an inability to access secured and /or unsecured sources of financing, an inability to sell assets or unforeseen outflows of cash or collateral. This situation may arise due to circumstances outside of the Fund’s control, such as a general market disruption or an operational problem affecting the Fund or third parties. Also, the ability to sell assets may be impaired if other market participants are seeking to sell similar assets at the same time. The Fund’s investments include mutual funds, which may impose greater restrictions on redemptions than those imposed by the Fund. This may include offering less frequent redemption dates than are offered by the Fund to its shareholders. The Fund’s financial investments include investments in derivative contracts traded over the counter, which are not traded in an organised public market and which may be illiquid and in investments which may represent a significant percentage of issue size. As a result, the Fund may not be able to liquidate quickly some of these
24
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
9
F i n a n c i a l I nve s t m e n t s a n d A s s o c i a t e d R i s k s ( c o n t i n u e d )
(b) Liquidity Risk (continued)
investments at an amount close to its market value in order to meet requirements, or to respond to specific events such as deterioration in the creditworthiness of any particular issuer. The forced liquidation of investment positions may cause financial losses. The Fund provides for the subscription and redemption of shares and it is therefore exposed to the liquidity risk associated with shareholder redemptions in accordance with the terms in the Prospectus. The Portfolios are managed to include liquid investments which the Investment Adviser believes are sufficient to meet normal liquidity needs although substantial redemptions of shares in the Portfolios could require the Portfolios to liquidate their investments more rapidly than otherwise desirable in order to raise cash for the redemptions and changes in the liquidity of the Portfolios’ underlying investments once acquired can adversely impact its position in this respect. These factors could adversely affect the value of the shares redeemed and the valuation of the shares that remain outstanding and the liquidity of the Portfolios’ remaining assets if more liquid assets have to be sold to meet redemptions. The Fund’s Prospectus provides for the daily/weekly/bi-monthly subscription of shares and the daily/weekly/bimonthly redemption of shares. The Fund is therefore exposed to the liquidity risk of meeting shareholder redemptions. Please refer to Appendix III for details of Shareholders with holdings greater than 10% of the Portfolios’ net assets as at 30 November 2013. Expiration or termination of available financing for leveraged positions, and the requirements to post collateral in respect of changes in the market value of leveraged exposures or changes in advance rates or other terms and conditions of the Fund’s financing arrangements, can result in adverse effects to the Fund’s access to liquidity and ability to maintain leveraged positions, and may cause the Fund to incur material losses. However, there is no guarantee that any such arrangements for obtaining leverage will be available, or, if available, will be available on terms and conditions acceptable to the Fund. Unfavourable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Fund. The use of leverage also increases risk as it magnifies the effect of any volatility in market values on the Fund’s equity. A decline in the market value of the Fund’s assets may have particular adverse consequences in instances where they have borrowed money on the market value of those assets. A decrease in the market value of those assets may result in the lender (including derivative counterparties) requiring the Fund to post additional collateral or otherwise sell assets at time when it may not be in the Fund’s best interest to do so. (c) Credit Risk
Credit risk is the risk that one party to a financial investment will cause a financial loss for the other party by failing to discharge an obligation. The Investment Adviser has adopted procedures to reduce credit risk related to its dealings with counterparties. Before transacting with any counterparty, the Investment Adviser or its affiliates evaluate both credit-worthiness and reputation by conducting a credit analysis of the party, their business and reputation. The credit risk of approved counterparties is then monitored on an ongoing basis, including periodic reviews of financial statements and interim financial reports as needed.
25
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
9
F i n a n c i a l I nve s t m e n t s a n d A s s o c i a t e d R i s k s ( c o n t i n u e d )
(c) Credit Risk (continued)
In order to reduce exposure to credit losses, some over-the-counter derivative agreements entered into by the Portfolios permit netting of transactions arising under such agreements, excluding those with counterparties executing only spot foreign exchange contracts. These netting rights provide for the reduction of credit risk on favourable over-the-counter transactions with a single counterparty to the extent of the value of unfavourable over-the-counter transactions with the same counterparty upon the occurrence of an event of default or termination event as all over-the-counter transactions with the counterparty under such agreement are terminated and amounts owed from and amounts payable to the counterparty are settled on a net basis. Debt securities are subject to the risk of an issuer’s or a guarantor’s inability to meet principal and interest payments on its obligations and are subject to price volatility due to factors such as interest rate sensitivity, market perception of the creditworthiness of the issuer, and general market liquidity. The Fund is subject to a number of risks relating to the insolvency, administration, liquidation or other formal protection from creditors (“Insolvency”) of the Custodian or any Sub-Custodian. These risks include without limitation: 1.
The loss of all cash held with the Custodian or Sub-Custodian which is not being treated as client money both at the level of the Custodian and any Sub-Custodians (“client money”).
2.
The loss of all cash which the Custodian or Sub-Custodian has failed to treat as client money in accordance with procedures (if any) agreed with the Fund.
3.
The loss of some or all of any securities held on trust which have not been properly segregated and so identified both at the level of the Custodian and any sub-custodians (“trust assets”) or client money held by or with the Custodian or Sub-Custodian.
4.
The loss of some or all assets due to the incorrect operation of accounts by the Custodian or Sub-Custodian or due to the process of identifying and transferring the relevant Trust Assets and/or client money including any deduction to meet the administrative costs of an insolvency.
5.
Losses caused by prolonged delays in receiving transfers of balances and regaining control over the relevant assets.
An insolvency could cause severe disruption to the Fund’s investment activity. In some circumstances, this could cause the Directors to temporarily suspend the calculation of the Net Asset Value and dealings in Shares. (d) Additional Risks
(i) Concentration Risk The Portfolios may invest in a limited number of investments and investment themes. A consequence of a limited number of investments is that performance may be more favourably or unfavourably affected by the performance of an individual investment.
(ii) Operational Risk Operational risk is the potential for loss caused by a deficiency in information, communications, transaction processing and settlement, and accounting systems. The Fund’s service providers, including sub-custodians and as shown on page 1, maintain controls and procedures for the purpose of helping to manage operational risk. Reviews of the service levels of service providers are performed on a regular basis by the Investment Adviser. No assurance is given that these measures will be 100% effective.
26
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
9
F i n a n c i a l I nve s t m e n t s a n d A s s o c i a t e d R i s k s ( c o n t i n u e d )
(d) Additional Risks (continued)
(iii) Legal, Tax and Regulatory Risks Legal, tax and regulatory changes could occur during the duration of the Fund which may adversely affect the Fund. With respect to tax, the Fund may be subject to taxation on capital gains, interest and dividends in certain jurisdictions where the Fund invests. The interpretation and applicability of the tax law and regulations by tax authorities at times may not be clear or consistent. Tax obligations where probable and estimable are recorded as liabilities. However, some tax obligations are subject to uncertainty and may result in additional tax liabilities, interest and penalties based on future actions, interpretations or judgments of these authorities covering current and past tax positions. Accounting standards may also change, creating or removing an obligation for the Fund to accrue for a potential tax liability. Consequently, it is possible that certain potential tax obligations which currently are not probable may become so which may result in additional tax liabilities for the Fund in the future and these additional liabilities may be material. Because of the foregoing uncertainties, the Net Asset Value may not reflect the tax liabilities ultimately borne by the Fund, including at the time of any subscriptions, redemptions or exchanges of interests in the Fund, which could have an adverse impact on investors at that time.
(iv) Non-Developed Markets Risk The Fund may invest a portion of its capital in securities of companies based in non-developed or emerging markets or issued by governments of such countries. Investing in the securities of such companies and countries involves certain considerations not usually associated with investing in securities of developed market companies or countries, including, without limitation, less liquidity, greater price and foreign currency volatility, and greater legal, tax and regulatory risks.
(v) Small Capitalisation Companies Risk The Fund may invest a portion of its capital in securities of companies with smaller capitalisation. Smaller capitalisation companies are generally not as well known to the investing public and have less investor following than larger capitalisation companies. Investing in the securities of such companies may involve certain considerations, including, without limitation, less liquidity, greater price volatility, and risks associated with limited operating histories and/or the availability of information pertaining to the Fund and its operations.
(vi) Investment Manager Selection Risk The investment decisions in respect of each GMS Portfolio will be made by its External Managers. The Investment Adviser in a GMS Portfolio will not make decisions with respect to the purchase, management, disposition, or other realization of the GMS Portfolio’s investments. It is not intended that the External Managers will be selected from the Goldman Sachs group or any of its affiliates. Consequently, the Investment Adviser has no control, directly or indirectly, over the business affairs or market conduct of the External Managers. In selecting the External Managers, the Investment Adviser has undertaken reasonable investigative and due diligence procedures but is nevertheless reliant on information supplied to it by each of the External Managers as well as information in relation to the External Managers obtained from independent sources and from the public domain. Additional details of risks not disclosed in these Financial Statements can be found in the Prospectus.
27
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
10
S t a t e m e n t o f C h a n ge s i n e a c h Po r t fo l i o
A Statement of Changes in each Portfolio is available, free of charge, upon request from the registered office. 11
E xc h a n ge R a t e s
The following exchange rates (against USD) as at 3:00 pm Central European Time were used to convert the investments and other assets and liabilities denominated in currencies other than USD: Currency
30-Nov-2013
Australian Dollar
1.097394
Brazilian Real
2.329500
British Pound Sterling
0.612407
Canadian Dollar
1.058000
Chilean Peso
530.350000
Danish Krone
5.484700
Egyptian Pound
6.883700
Euro
0.735321
Hong Kong Dollar
7.752700
Hungarian Forint
221.533900
Indian Rupee
62.490000
Indonesian Rupiah
11,962.500000
Israeli Shekel
3.521250
Japanese Yen
102.305000
Malaysian Ringgit
3.223000
Mexican Peso
13.110750
New Zealand Dollar
1.226464
Norwegian Kroner
6.108350
Philippines Peso
43.775000
Singapore Dollar
1.255000
South African Rand
10.182500
South Korean Won
1,058.300000
Swedish Krona
6.545700
Swiss Franc
0.904250
Taiwan Dollar
29.594000
Thailand Baht
32.110000
Turkish lira
2.018200
28
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
11
E xc h a n ge R a t e s ( c o n t i n u e d )
The following exchange rates (against EUR) as at 3:00 pm Central European Time were used to convert the investments and other assets and liabilities denominated in currencies other than EUR: Currency
30-Nov-2013
British Pound Sterling
0.832843
Danish Krona
7.458919
Swedish Krona
8.901827
Swiss Franc
1.229735
U.S. Dollars
1.359950
The following average exchange rates (against USD) were used to calculate the Combined Total, in the Statement of Operations and in the Statement of Changes in Shareholders’ Equity, for the year ended 30 November 2013: Currency
30-Nov-2013
Euro
0.755927
Japanese Yen 12
96.078798
C o m m i s s i o n s f o r Re s e a r c h a n d / o r E xe c u t i o n
Certain Portfolios pay commission for execution only and/or execution and investment research. The Fund did not otherwise enter into any third party commission arrangements for the year ended 30 November 2013. 13
Prospectus
The latest Prospectus on the Fund was updated in February 2013. 14
Cash Collateral Infor mation
The table below provides the cash collateral balances due from / (due to) the brokers in relation to the following investments held as at 30 November 2013:
Portfolios
GMS Asia (ex-Japan) Equity Portfolio
Dynamic Alternative Strategies Portfolio
Tactical Tilt Portfolio
Currency
USD
EUR
USD
Due from / (Due to) brokers
Investment type
Cash collateral balances
Due From
Future Contracts
11,769,613
Due To
Future Contracts
—
Due From
Forward Contracts
—
Due To
Forward Contracts
(317,898)
Due From
Future Contracts
31,644,677
Due To
Future Contracts
—
Due From
Swap Contracts
—
Due To
Swap Contracts
(12,300,159)
29
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
15
Tra n s a c t i o n C o s t s
Transaction costs1 have been defined as broker commission fees, market fees and taxes relating to purchase or sale of equity and investments in other funds. Custodian based transaction costs are included in ‘Administration and Custody fee’ in the Statement of Operations.
Portfolios
Currency
Transaction Costs
Equity Portfolios Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio
USD
550,942
GMS Emerging Markets Equity Portfolio
USD
277,197
GMS Europe Equity Portfolio
EUR
748,071
GMS Global Equity Portfolio
USD
638,593
GMS Japan Equity Portfolio
JPY
1,204,101
GMS US Equity Portfolio
USD
265,801
USD
162,791
Dedicated Portfolios Tactical Tilt Portfolio Total (in USD) 1
2,897,464
Transaction costs for fixed income investments, forward currency contracts and other derivative contracts are not separately identifiable. For these investments, transaction costs will be included in the purchase and sales price. These transaction costs are part of the gross investment performance of each Portfolio. Portfolios that invest solely in those investments are not disclosed in the table above.
Note: benchmark returns, with the exception of taxes at times, do not incorporate transaction costs.
16
Currency Adjustment
The opening value of the Fund has been restated at the exchange rate ruling at 30 November 2013. The resulting gain of USD 24,314,301 represents the movement in exchange rates between 1 December 2012 and 30 November 2013. This is a notional gain, which has no impact on the Net Asset Value of the individual Portfolios. 17
Cross Liabilities
In accordance with Luxembourg law, each Portfolio is “ring-fenced” and considered to constitute a single pool of assets and liabilities, so that the rights of Shareholders and creditors in relation to each Portfolio should be limited to the assets of that Portfolio.
30
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
18
C o n t i n ge n t L i a b i l i t i e s
There were no contingent liabilities as at 30 November 2013. 19
S u b s e q u e n t E ve n t s
Since 30 November 2013, the following share classes were launched: Currency of the Share Class
Portfolios
Class
GMS US Equity Portfolio
“I” Accumulation Share Class
USD
Launch Date
12 December 2013
GMS Europe Equity Portfolio
“I” Accumulation Share Class
EUR
12 December 2013
GMS Emerging Markets Equity Portfolio
“I” Accumulation Share Class
USD
12 December 2013
Since 30 November 2013, the following Portfolio closed: Currency of the Portfolio
Portfolio
GMS Asia (ex-Japan) Equity Portfolio
USD
Close Date
19 December 2013
From 1 December 2013 to 11 March 2014, the following Portfolios have had movements greater than 25% in Shareholders’ Equity: % Movement in Shareholders Equity
Portfolio
20
% Movement in Gross Performance
GMS Europe Equity Portfolio
28%
2%
GMS Japan Equity Portfolio
57%
(3%)
GMS US Equity Portfolio
40%
7%
Tactical Tilt Portfolio
28%
0%
Indemnifications
The Fund may enter into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these contracts. 21
Supplemental Infor mation
The Investment Adviser is subject to the Securities and Exchange Commission’s amended Rule 206(4)-2 under the Investment Advisers Act of 1940 (“the Act”). The Investment Adviser has determined that they are required to provide the following information to all investors and has determined which Portfolios are to provide this information in accordance with the Act. The Investment Adviser has requested that the Board includes this information in the Board’s financial statements.
31
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
21
Supplemental Infor mation (continued)
The following is a summary of total return, expense and investment income results for the year ended 30 November 2013: Goldman Sachs Funds II—Tactical Tilt Portfolio
Total return1
“P” Share Class USD
“P” Share Class (GBP Hedged Class) GBP
“P” Share Class (EUR Hedged Class) EUR
“P” Accumulation Share Class USD
13.05%
13.26%
12.68%
13.05%
Expense before waivers/reimbursements to average net assets2,3
0.92%
0.92%
0.92%
0.93%
Expense after waivers/reimbursements to average net assets2,3
0.92%
0.92%
0.92%
0.93%
Net investment income/(loss) to average net assets2,3
0.83%
0.85%
0.81%
0.45%
“P” Accumulation Share Class (GBP Hedged Class) GBP
“P” Accumulation Share Class (EUR Hedged Class) EUR
“P” Accumulation Share Class (CHF Hedged Class) CHF
“I” Accumulation Share Class* USD
Total return1
13.28%
12.67%
12.60%
13.12%
Expense before waivers/reimbursements to average net assets2,3
0.92%
0.92%
0.92%
0.86%
Expense after waivers/reimbursements to average net assets2,3
0.92%
0.92%
0.92%
0.86%
Net investment income/(loss) to average net assets2,3
0.91%
0.69%
0.93%
0.49%
“IO” Accumulation Share Class USD
“IO” Accumulation Share Class (GBP Hedged Class) GBP
“R” Share Class* USD
“R” Accumulation Share Class* USD
Total return1
13.98%
14.20%
12.34%
12.33%
Expense before waivers/reimbursements to average net assets2,3
0.11%
0.11%
0.43%
0.45%
Expense after waivers/reimbursements to average net assets2,3
0.11%
0.11%
0.43%
0.45%
Net investment income/(loss) to average net assets2,3
1.72%
1.74%
0.35%
0.38%
“R” Accumulation Share Class* (EUR Hedged Class) EUR
“R” Share Class* (GBP Hedged Class) GBP
“R” Share Class* (EUR Hedged Class) EUR
“R” Accumulation Share Class* (GBP Hedged Class) GBP
Total return1
9.25%
9.19%
9.65%
9.69%
Expense before waivers/reimbursements to average net assets2,3
0.46%
0.44%
0.45%
0.44%
Expense after waivers/reimbursements to average net assets2,3
0.46%
0.44%
0.45%
0.44%
Net investment income/(loss) to average net assets2,3
0.43%
0.41%
0.41%
0.37%
“R” Accumulation Share Class* (CHF Hedged Class) CHF
Total return1
9.15%
Expense before waivers/reimbursements to average net assets2,3
0.42%
Expense after waivers/reimbursements to average net assets2,3
0.42%
Net investment income/(loss) to average net assets2,3
0.33%
* Share class commenced during the year. Total Return has not been annualised. 1
Total returns are calculated by dividing the change in the per share value for the year by the net asset value per share at the beginning of the year. An individual shareholder’s return may vary from these returns due the timing of capital transactions.
2
The expense and net investment income ratios are calculated for each group of shareholders taken as a whole. Under rules required for SEC 206(4)-2 this ratio does not include realised gains and losses in net investment income. The computation of such ratios based on the amount of income and expenses assessed to an individual shareholder’s capital may vary from these ratios based on the timing of capital transactions.
3
Refer to Note 6 Significant Agreements – Investment Adviser and Sub-Investment Adviser for further details on expense waivers/reimbursement amounts.
32
Goldman Sachs Funds II Notes to the Financial Statements For the Year Ended 30 November 2013 (Continued)
21
Supplemental Infor mation (continued)
The three levels of the fair value hierarchy under the Accounting Standards Codification (“ASC”) 820 are described below: Level 1 – Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2 – Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including but not limited to quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit risk spreads), either directly or indirectly; Level 3 – Prices or valuations that require significant unobservable inputs (including the Competent Persons assumptions in determining fair value measurement). The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety shall be determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability. The following tables show financial assets and financial liabilities recognised at fair value, analysed between the three levels described above: Financial Assets measured at fair value Goldman Sachs Funds—Tactical Tilt Portfolio 30-Nov-2013
Level 1
Level 2
Level 3
Total
USD
USD
USD
USD
Financial Assets at fair value Government Bonds Mutual Funds Time deposits Purchased Options Unrealised Gain on Futures Contracts
49,116,592
—
—
49,116,592
814,598,279
—
—
814,598,279
—
399,998,619
—
399,998,619
1,071,194
8,247,091
4,929,221
14,247,506
12,940,831
—
—
12,940,831
Unrealised Gain on Forward Currency Contracts
—
15,060,531
—
15,060,531
Unrealised Gain on Swap Contracts
—
4,957,519
—
4,957,519
877,726,896
428,263,760
4,929,221
1,310,919,877
(11,694,041)
Total Financial Liabilities at fair value Unrealised Loss on Futures Contracts Unrealised Loss on Forward Currency Contracts Total
22
(11,694,041)
—
—
—
(64,331)
—
(64,331)
(11,694,041)
(64,331)
—
(11,758,372)
A p p r ov a l o f F i n a n c i a l S t a t e m e n t s
The Board of Directors approved the Audited Annual Financial Statements on 11 March 2014.
33
Goldman Sachs Funds II—GMS Asia (ex-Japan) Equity Portfolio Schedule of Investments As at 30 November 2013
Forward Currency Contracts – (0.27%)
Holdings
Market Value USD
Security Description
% of Shareholders’ Equity
Currency
INR
Transferable securities admitted to an official exchange listing
Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(a)(b)
5,900,018
8.58
TOTAL MUTUAL FUNDS (cost USD 5,900,018)
5,900,018
8.58
TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 5,900,018)
5,900,018
8.58
Maturity Date
Unrealised Gain USD
% of Shareholders' Equity
347,190,000
USD
5,525,941
24/12/2013
6,000
0.01
6,000
0.01
Currency
Amount Bought
Amount Sold
Maturity Date
Unrealised Loss USD
% of Shareholders' Equity
USD 25,880,469 USD 12,541,916 USD 13,464,230 USD 10,499,969 KRW 1,214,930,000
24/12/2013 24/12/2013 24/12/2013 24/12/2013 24/12/2013
(3,192) (14,910) (101,536) (69,175) (4,906)
(0.00) (0.02) (0.15) (0.10) (0.01)
(193,719)
(0.28)
Currency
HKD 200,610,000 KRW 13,273,030,000 SGD 16,770,000 TWD 308,590,000 USD 1,141,737
5,900,018
8.58
MARKET VALUE OF INVESTMENTS (cost USD 5,900,018)
Futures Contracts – 1.19% Commitment Market Value USD
Security Description
Amount Sold
UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS
MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES (cost USD 5,900,018)
Number of Contracts
Currency
UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS
Mutual Funds – 8.58% Ireland 5,900,018
Amount Bought
Unrealised Gain USD
% of Shareholders’ Equity
6,532,054
9.50
OTHER ASSETS AND LIABILITIES
62,221,724
90.50
SHAREHOLDERS' EQUITY
68,753,778
100.00
HKD
123 109
105
H-shares Index Future 30/12/2013 Hang Seng Index Future 30/12/2013
KRW KOSPI 200 Index Future 12/12/2013
Long
9,094,864
24,592
0.04
Long
16,816,006
131,844
0.19
25,910,870
156,436
0.23
13,401,518
237,834
0.35
Long
TOTAL INVESTMENTS
Market Value USD
% of Shareholders' Equity
Total Investments excluding derivatives (cost USD 5,900,018) Unrealised gain on futures contracts Unrealised gain on forward currency contracts Unrealised loss on forward currency contracts Other Assets and Liabilities
5,900,018 819,755 6,000 (193,719) 62,221,724
8.58 1.19 0.01 (0.28) 90.50
Shareholders' Equity
68,753,778
100.00
The Futures Commission Merchant was Goldman, Sachs & Co. 226
357
447
SGD MSCI Singapore Index Future 30/12/2013 USD MSCI Taiwan Index Future 30/12/2013 SGX CNX Nifty Index Future 26/12/2013
The counterparties for forward currency contracts were Bank of Montreal, Credit Suisse International and Royal Bank of Canada. Long
Long
Long
13,261,068
10,581,480
86,438
0.12
257,130
0.37
5,567,832
81,917
0.12
16,149,312
339,047
0.49
819,755
1.19
UNREALISED GAIN ON FUTURES CONTRACTS
The maximum individual counterparty exposure for derivative instruments as at 30 November 2013 is 1.19% of the NAV. (a)
A related party to Goldman Sachs Funds II.
(b)
The yield for this fund as at 30 November 2013 was 0.203%.
The accompanying notes are an integral part of these financial statements.
34
Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Security Description
Transferable securities admitted to an official exchange listing
Common Stocks – (continued)
Common Stocks – 95.35%
China – (continued) 1,600,000 CNOOC Ltd. (Oil & Gas) 5,075 CNOOC Ltd.—ADR(a) (Oil & Gas) 18,453 Ctrip.com International Ltd.—ADR(a) (Internet) 150,000 First Tractor Co., Ltd. "H" (Machinery—Diversified) 188,500 Hengan International Group Co., Ltd. (Healthcare Products) 1,413,000 Industrial & Commercial Bank of China Ltd. "H" (Banks) 2,060,000 Lenovo Group Ltd. (Computers) 330,000 Li Ning Co., Ltd. (Retail) 19,500 NetEase, Inc.—ADR(a) (Internet) 46,468 New Oriental Education & Technology Group—ADR(a) (Commercial Services) 620,000 PetroChina Co., Ltd. "H" (Oil & Gas) 175,500 Ping An Insurance Group Co. of China "H" (Insurance) 300,000 Shandong Weigao Group Medical Polymer Co., Ltd. "H" (Healthcare Products) 500,000 Sichuan Expressway Co., Ltd. "H" (Commercial Services) 34,900 SINA Corp. (Internet) 530,000 Sun Art Retail Group Ltd. (Retail) 50,600 Tencent Holdings Ltd. (Internet) 410,000 Tingyi Cayman Islands Holding Corp. (Food, Beverages & Tobacco) 160,000 Tsingtao Brewery Co., Ltd. "H" (Food, Beverages & Tobacco) 163,400 Weichai Power Co., Ltd. "H" (Auto Parts & Equipment)
Argentina 2,700 43,200
Brazil 263,000
583,925 47,000 190,650 378,900 185,000 200,000 17,000 125,000 272,700 104,009 178,460 21,975 47,175 256,015 30,000 26,800 28,000 51,800 54,000 45,000 40,000 140,600 50,525 103,700 22,000
Chile 40,225 15,000
30,000
China 14,000
20,200 5,552,000 663,500 237,600 572,000
MercadoLibre, Inc. (Internet) YPF S.A.—ADR(a) (Oil & Gas)
ALL – America Latina Logistica S.A. (Transportation) Ambev S.A.—ADR (Food, Beverages & Tobacco) B2W Companhia Digital (Internet) Banco Bradesco S.A.—ADR(a) (Banks) Banco do Brasil S.A. (Banks) BB Seguridade Participacoes S.A. (Insurance) BM&FBovespa S.A. (Diversified Financial Services) BRF S.A.—ADR(a) (Food, Beverages & Tobacco) Brookfield Incorporacoes S.A. (Home Builders) CCR S.A. (Commercial Services) CETIP S.A. – Mercados Organizados (Diversified Financial Services) Cielo S.A. (Commercial Services) Embraer S.A.—ADR(a) (Aerospace & Defence) Gerdau S.A.—ADR(a) (Iron/Steel) Lojas Americanas S.A.—Preferred (Retail) Lojas Renner S.A. (Retail) MRV Engenharia e Participacoes S.A. (Home Builders) Multiplan Empreendimentos Imobiliarios S.A. (Construction & Engineering) Natura Cosmeticos S.A. (Cosmetics/Personal Care) Petroleo Brasileiro S.A.—ADR(a) (Oil & Gas) Petroleo Brasileiro S.A.—Sponsored ADR(a) (Oil & Gas) Raia Drogasil S.A. (Retail) Souza Cruz S.A. (Food, Beverages & Tobacco) Ultrapar Participacoes S.A. (Chemicals) Vale S.A.—ADR(a) (Iron/Steel) Vale S.A.—Preferred ADR(a) (Iron/Steel)
Banco Santander Chile—ADR(a) (Banks) Inversiones La Construccion S.A. (Holding Companies—Diversified) SACI Falabella (Retail)
298,242 1,281,744
0.11 0.47
1,579,986
0.58
874,973
0.32
4,361,920 288,315 2,529,926 4,154,156
1.60 0.11 0.93 1.53
1,998,111
0.73
1,001,932
0.37
372,810
0.14
59,562 2,143,437
0.02 0.79
1,134,968 5,138,913
0.42 1.89
684,521 369,380 1,732,044 800,386
0.25 0.13 0.64 0.29
106,878
0.04
618,176
0.23
953,947
0.35
863,460
0.32
747,000 287,959
0.27 0.11
1,407,509 1,254,070 1,589,721 306,680
0.52 0.46 0.58 0.11
35,780,754
13.15
Hong Kong 262,000 1,000,000 776,000
904,258
0.33
358,500
Colombia 12,300 14,550 124,800
Egypt 149,724
192,329 277,175
0.07 0.10
45,400
1,373,762
0.50
360,000 74,000 214,000 200,000
Inc.—ADR(a)
51job, (Commercial Services) Baidu, Inc.—ADR(a) (Internet) China Construction Bank Corp. "H" (Banks) China Life Insurance Co., Ltd. "H" (Insurance) China Pacific Insurance Group Co., Ltd. "H" (Insurance) CITIC Securities Co., Ltd. "H" (Diversified Financial Services)
1,021,720 3,333,202 4,502,129
0.38 1.23 1.65
2,145,694
0.79
1,006,185
0.37
1,450,825
0.53
Hungary 78,268
Bancolombia S.A.—ADR(a) (Banks) Ecopetrol S.A.—ADR(a) (Oil & Gas) Pacific Rubiales Energy Corp. (Oil & Gas)
Commercial International Bank Egypt SAE—GDR(a) (Banks)
AIA Group Ltd. (Insurance) Belle International Holdings Ltd. (Retail) Brilliance China Automotive Holdings Ltd. (Automobile Manufacturers) China Mobile Ltd. (Telecommunications) China Mobile Ltd.—ADR(a) (Telecommunications) Johnson Electric Holdings Ltd. (Electrical Components & Equipment) Shangri-La Asia Ltd. (Lodging) Texwinca Holdings Ltd. (Textiles) Trinity Ltd. (Retail)
OTP Bank Plc. (Banks)
Market Value USD
% of Shareholders’ Equity
3,274,199 1,035,300
1.20 0.38
889,066
0.33
127,624
0.05
2,376,729
0.87
1,016,425 2,443,734 291,095 1,390,837
0.37 0.90 0.11 0.51
1,373,594 735,877
0.50 0.27
1,638,325
0.60
409,406
0.15
152,966 2,678,575 787,925 2,929,212
0.06 0.98 0.29 1.08
1,216,350
0.45
1,344,705
0.49
723,495
0.27
40,295,194
14.81
621,027 590,439
0.23 0.21
2,333,217
0.86
3,544,683
1.30
830,220
0.31
1,329,504 1,231,987
0.49 0.45
1,358,405
0.50
3,869,937
1.42
2,454,324
0.90
325,148 141,709 209,509 76,103
0.12 0.05 0.08 0.03
10,996,626
4.04
1,572,893
0.58
The accompanying notes are an integral part of these financial statements.
35
Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Malaysia 40,800
India
76,700 34,500 45,101 44,725
Indonesia 1,689,000 390,000 3,804,000 1,466,000
143,000 522,000 3,644,000 72,800 544,000
Axis Bank Ltd.—GDR(a) (Banks) Cipla Ltd.—GDR(a)(b) (Pharmaceuticals) Dr Reddys Laboratories Ltd.—ADR(a) (Pharmaceuticals) HDFC Bank Ltd.—ADR(a) (Banks) ICICI Bank Ltd.—ADR(a) (Banks) Infosys Ltd.—ADR(a) (Computers) Tata Motors Ltd.—ADR(a) (Automobile Manufacturers)
948,206 852,932
0.35 0.31
1,425,463 2,547,974 1,222,680 2,435,454
0.52 0.94 0.45 0.89
1,458,035
0.54
10,890,744
4.00
395,500 438,200 400,000 145,100 130,000
Mexico 74,000
Astra International Tbk PT (Retail) Bank Central Asia Tbk PT (Banks) Bank Mandiri Persero Tbk PT (Banks) Bank Rakyat Indonesia Persero Tbk PT (Banks) Matahari Department Store Tbk PT (Retail) Semen Indonesia Persero Tbk PT (Building Materials) Telekomunikasi Indonesia Persero Tbk PT (Telecommunications) Telekomunikasi Indonesia Persero Tbk PT—ADR(a) (Telecommunications) United Tractors Tbk PT (Machinery—Construction & Mining)
883,434 314,971 2,435,724
0.32 0.12 0.89
914,020 138,069
0.34 0.05
558,948
0.21
1,232,256 94,227 353,283 121,700 22,800
663,106
0.24
2,657,928
0.98
830,820
0.30
9,397,020
3.45
240,100 237,000 309,350
Korea
290 13,412 201,030 7,905 13,875 52,040 7,300 95,000 51,440 3,176 6,327 3,650 24,600 80,010 39,900 6,075
Amorepacific Corp. (Cosmetics/Personal Care) Coway Co., Ltd. (Environmental Control) Hanwha Life Insurance Co., Ltd. (Insurance) Hyundai Mobis (Auto Parts & Equipment) Hyundai Motor Co.—GDR(a)(b) (Automobile Manufacturers) KB Financial Group, Inc. (Diversified Financial Services) KB Financial Group, Inc.—ADR(a) (Diversified Financial Services) KT Corp.—ADR(a) (Telecommunications) KT&G Corp. (Food, Beverages & Tobacco) NAVER Corp. (Internet) Samsung Electronics Co., Ltd. (Electronics) Samsung Electronics Co., Ltd.—GDR(a) (Electronics) Samsung Life Insurance Co., Ltd. (Insurance) Shinhan Financial Group Co., Ltd. (Diversified Financial Services) SK Hynix, Inc. (Semiconductors) SK Innovation Co., Ltd. (Oil & Gas)
Luxembourg 15,401 Oriflame Cosmetics S.A.—Swedish Depositary Receipt (Cosmetics/Personal Care) Macau 334,400 408,000
Sands China Ltd. (Lodging) Wynn Macau Ltd. (Lodging)
% of Shareholders’ Equity
Common Stocks – (continued)
Common Stocks – (continued) 50,598 136,150 35,275
Security Description
Market Value USD
38,000 262,241 839,786
0.10 0.31
655,300
1,377,816 2,294,599
0.51 0.84
75,000 119,200 307,100
1,653,490
0.61
1,953,629
0.72
272,363 1,496,250
0.10 0.55
3,815,591 2,079,234
1.40 0.76
8,945,345
3.29
2,576,900
0.95
2,372,582
0.87
3,367,381 1,337,231 828,149
1.24 0.49 0.30
35,472,587
13.04
483,509
0.18
2,532,385 1,567,273
0.93 0.58
4,099,658
1.51
953,800
British American Tobacco Malaysia Bhd (Food, Beverages & Tobacco) CIMB Group Holdings Bhd (Banks) Genting Bhd (Lodging) Genting Malaysia Bhd (Lodging) Malayan Banking Bhd (Banks) Sime Darby Bhd (Holding Companies—Diversified)
America Movil SAB de CV—ADR—Series L(a) (Telecommunications) Cemex SAB de CV (Building Materials) Cemex SAB de CV—ADR(a) (Building Materials) Fibra Uno Administracion S.A. de CV (Real Estate Investment Trust) Fomento Economico Mexicano SAB de CV (Food, Beverages & Tobacco) Fomento Economico Mexicano SAB de CV—ADR(a) (Food, Beverages & Tobacco) Grupo Bimbo SAB de CV—Series A (Food, Beverages & Tobacco) Grupo Financiero Banorte SAB de CV "O" (Banks) Grupo Financiero Santander Mexico SAB de CV "B" (Banks) Grupo Financiero Santander Mexico SAB de CV "B"—ADR(a) (Banks) Grupo Mexico SAB de CV—Series B (Mining) Grupo Sanborns S.A. de CV (Retail) Grupo Televisa SAB—ADR(a) (Media) Kimberly-Clark de Mexico SAB de CV "A" (Household Products/Wares) Wal-Mart de Mexico SAB de CV—Series V (Retail)
Netherlands 27,797 OCI (Chemicals) 34,488 Yandex NV "A" (Internet)
796,252 931,154 1,390,268 526,496 440,535
0.29 0.34 0.51 0.20 0.16
389,472
0.14
4,474,177
1.64
1,719,760 1,357,190
0.63 0.50
1,033,670
0.38
1,098,052
0.40
1,159,750
0.43
2,170,332
0.80
749,011
0.27
1,624,559
0.60
869,953
0.32
531,620
0.19
1,921,804 156,684 3,633,216
0.71 0.06 1.33
909,301
0.33
2,492,397
0.92
21,427,299
7.87
1,104,401 1,368,139
0.41 0.50
2,472,540
0.91
370,440 779,394
0.13 0.29
1,149,834
0.42
294,278 708,423
0.11 0.26
1,654,830 782,609
0.61 0.28
3,440,140
1.26
Peru
31,500 6,025
Philippines 22,000
394,400 27,000 45,350
Companhia de Minas Buenaventura SAA—ADR(a) (Mining) Credicorp Ltd. (Banks)
Ayala Corp. (Holding Companies—Diversified) Metropolitan Bank & Trust Co. (Banks) Philippine Long Distance Telephone Co.—ADR(a) (Telecommunications) SM Investments Corp. (Retail)
The accompanying notes are an integral part of these financial statements.
36
Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
12,532
35,853 185,300 88,500 1,284,105 172,750
Alrosa AO (Mining) Gazprom OAO—ADR(a) (Oil & Gas) Lukoil OAO—ADR(a) (Oil & Gas) Magnit OJSC—GDR (traded in United Kingdom)(a) (Food, Beverages & Tobacco) Magnit OJSC—GDR (traded in United States)(a) (Food, Beverages & Tobacco) MegaFon OAO—GDR(a) (Telecommunications) Mobile Telesystems OJSC—ADR(a) (Telecommunications) Rosneft OAO—GDR(a) (Oil & Gas) Sberbank of Russia (Banks) Sberbank of Russia—ADR(a) (Banks)
South Africa 28,700 AngloGold Ashanti Ltd.—ADR(a) (Mining) 32,875 Aspen Pharmacare Holdings Ltd. (Healthcare Products) 63,121 Bidvest Group Ltd. (Food, Beverages & Tobacco) 30,000 Clicks Group Ltd. (Retail) 32,000 Gold Fields Ltd.—ADR(a) (Mining) 38,000 Impala Platinum Holdings Ltd. (Mining) 48,367 Imperial Holdings Ltd. (Holding Companies—Diversified) 40,500 MTN Group Ltd. (Telecommunications) 54,369 Nedbank Group Ltd. (Banks) 185,624 PPC Ltd. (Building Materials) 179,869 Sanlam Ltd. (Insurance) 8,500 Sasol Ltd.—ADR(a) (Chemicals) 165,854 Shoprite Holdings Ltd. (Food, Beverages & Tobacco) 99,404 Standard Bank Group Ltd. (Banks) 74,386 Tiger Brands Ltd. (Food, Beverages & Tobacco) 94,506 Truworths International Ltd. (Retail) 92,113 Vodacom Group Ltd. (Telecommunications) 116,459 Woolworths Holdings Ltd. (Retail)
Taiwan 154,625
625,015 399,897 43,000 95,000 30,000 560,175
689,936 1,026,000
0.31 0.80 0.75
Thailand 122,000 132,400 151,300
2,377,946
0.87
510,100 280,959
824,606
0.30
64,000 73,300
1,148,013
0.42
3,874,623 634,102 3,990,350 2,143,827
1.43 0.23 1.47 0.79
20,053,928
7.37
Turkey 242,320 70,000
383,145
0.14
359,781
847,922
0.31
188,734
840,247 2,186,376 2,033,838
1,588,796 189,914 128,960 441,296
0.58 0.07 0.05 0.16
1,002,965 788,641 1,125,023 570,590 910,959 421,685
0.37 0.29 0.41 0.21 0.34 0.16
2,912,646 1,177,814
1.07 0.43
2,076,818 751,871 1,102,009 846,465
0.76 0.28 0.41 0.31
17,267,519
6.35
213,000 2,100,000
358,325 533,832
Bangkok Bank PCL (Banks) Bangkok Bank PCL—Foreign (Banks) Bangkok Dusit Medical Services PCL (Healthcare Services) CP ALL PCL (Retail) PTT Exploration & Production PCL (Oil & Gas) PTT PCL (Oil & Gas) Siam Cement PCL (Holding Companies—Diversified) Siam Commercial Bank PCL (Banks) Thai Beverage PCL (Food, Beverages & Tobacco)
Akbank TAS (Banks) Anadolu Efes Biracilik Ve Malt Sanayii AS (Food, Beverages & Tobacco) KOC Holding AS (Holding Companies—Diversified) Turkcell Iletisim Hizmetleri AS (Telecommunications) Turkiye Garanti Bankasi AS—ADR(a) (Banks) Turkiye Is Bankasi "C" (Banks)
United Kingdom 57,647 Standard Chartered Plc. (Banks)
TOTAL COMMON STOCKS (cost USD 248,665,842)
715,248 782,270
0.26 0.29
620,506 648,027
0.23 0.24
1,401,271 588,445
0.51 0.22
918,454 1,043,061
0.34 0.38
812,375
0.30
7,529,657
2.77
883,696
0.32
797,741
0.29
1,704,245
0.63
1,136,219 1,336,552 1,375,447
0.42 0.49 0.51
7,233,900
2.66
1,379,502
0.51
259,452,901
95.35
654,902
0.24
Warrants – 0.67% India 125,000
84,300
Bharti Airtel Ltd.—HSBC Bank Plc., exp. 05/20—Warrants(b) (Telecommunications) Reliance Industries Ltd.—HSBC Bank Plc., exp. 02/22—Warrants(b) (Oil & Gas)
1,151,744
0.43
1,806,646
0.67
1,806,646
0.67
7,944,275
2.92
7,944,275
2.92
TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 258,867,168)
269,203,822
98.94
3.66
MARKET VALUE OF INVESTMENTS (cost USD 258,867,168)
269,204,220
98.94
1,232,096
0.45
OTHER ASSETS AND LIABILITIES
2,891,634
1.06
557,035
0.20
272,095,456
100.00
16,706,769
6.14
TOTAL WARRANTS (cost USD 2,257,051) Advanced Semiconductor Engineering, Inc.—ADR(a) (Semiconductors) Far Eastern New Century Corp. (Apparel) Hon Hai Precision Industry Co., Ltd.—GDR(a) (Electronics) MediaTek, Inc. (Semiconductors) President Chain Store Corp. (Retail) Taiwan Semiconductor Manufacturing Co., Ltd. (Semiconductors) Taiwan Semiconductor Manufacturing Co., Ltd.—ADR(a) (Semiconductors) Uni-President Enterprises Corp. (Food, Beverages & Tobacco) Yuanta Financial Holding Co., Ltd. (Diversified Financial Services)
% of Shareholders’ Equity
Common Stocks – (continued)
Common Stocks – (continued) Russia 798,232 254,082 32,910 36,139
Security Description
Market Value USD
Mutual Funds – 2.92% 779,310
0.29
721,770
0.27
2,047,473 633,963 674,385
0.75 0.23 0.25
106,427
0.04
9,954,310
Ireland 7,944,275
Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(c)(d)
TOTAL MUTUAL FUNDS (cost USD 7,944,275)
SHAREHOLDERS' EQUITY
The accompanying notes are an integral part of these financial statements.
37
Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio Schedule of Investments As at 30 November 2013
% of Shareholders' Equity
TOTAL INVESTMENTS
Market Value USD
Total Investments (cost USD 258,867,168) Other Assets and Liabilities
269,203,822 2,891,634
98.94 1.06
Shareholders' Equity
272,095,456
100.00
(a)
Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt).
(b)
This security is valued by the Competent Person. See Note 4.
(c)
A related party to Goldman Sachs Funds II.
(d)
The yield for this fund as at 30 November 2013 was 0.203%.
Allocation of Portfolio as at 30 November 2013
% of Shareholders' Equity
Common Stocks Banks Food, Beverages & Tobacco Telecommunications Oil & Gas Internet Electronics Retail Semiconductors Insurance Commercial Services Others
17.04 11.01 8.30 6.79 5.61 4.99 4.80 4.71 4.70 3.62 23.78
TOTAL COMMON STOCKS
95.35
Warrants Oil & Gas Telecommunications
0.43 0.24
TOTAL WARRANTS
0.67
Other Net Assets TOTAL
3.98 100.00
The accompanying notes are an integral part of these financial statements.
38
Goldman Sachs Funds II—GMS Europe Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value EUR
% of Shareholders’ Equity
Holdings
Security Description
Transferable securities admitted to an official exchange listing
Common Stocks – (continued)
Common Stocks – 98.36%
Germanys – 132,409 12,688 50,976 138,333
Austria 83,637 23,216
Belgium 61,882
38,676 19,169 71,740
Denmark 187
20,399 80,371 11,379
Finland 36,022 38,302 23,419 85,098
France 228,204 43,583 71,141 19,523
39,486 39,512 8,427 20,328 103,869 6,456 15,653 61,742 93,955 34,101 25,826 100,751 33,507 9,251 18,511 205,737 33,337 6,871
Germany 12,836 23,023 10,414
11,161 4,245
Erste Group Bank AG (Banks) OMV AG (Oil & Gas)
Anheuser-Busch InBev NV (Food, Beverages & Tobacco) KBC Groep NV (Banks) UCB S.A. (Pharmaceuticals) Umicore S.A. (Mining)
AP Moeller – Maersk A/S "B" (Transportation) Carlsberg A/S "B" (Food, Beverages & Tobacco) DSV A/S (Transportation) Novo Nordisk A/S "B" (Pharmaceuticals)
Cargotec OYJ "B" (Transportation) Kone OYJ "B" (Machinery—Diversified) Metso OYJ (Machinery—Diversified) Nokia OYJ (Telecommunications)
Alcatel-Lucent (Telecommunications) AXA S.A. (Insurance) BNP Paribas S.A. (Banks) Bouygues S.A. (Construction & Engineering) Bureau Veritas S.A. (Commercial Services) Cap Gemini S.A. (Computers) Dassault Systemes S.A. (Software) Edenred (Commercial Services) GDF Suez (Electric) Kering (Retail) L'Oreal S.A. (Cosmetics/Personal Care) Lafarge S.A. (Building Materials) Legrand S.A. (Electrical Components & Equipment) Pernod-Ricard S.A. ( Food, Beverages & Tobacco) Publicis Groupe S.A. (Advertising) Sanofi (Pharmaceuticals) Societe Generale S.A. (Banks) Technip S.A. (Oil & Gas Services) Total S.A. (Oil & Gas) Veolia Environnement S.A. (Water) Vinci S.A. (Construction & Engineering) Zodiac Aerospace (Aerospace & Defence)
Adidas AG (Apparel) Bayer AG (Pharmaceuticals) Bayerische Motoren Werke AG (Automobile Manufacturers) Beiersdorf AG (Cosmetics/Personal Care) Bertrandt AG (Commercial Services)
2,165,362 836,240
0.94 0.37
3,001,602
1.31 40,004 14,544 10,778
4,660,952 1,628,453 952,699 2,367,420
2.03 0.71 0.42 1.03
9,609,524
4.19
9,031 41,569 7,881 309,441 8,653 11,872 13,554
1,390,168
0.60 9,938
1,646,378 1,811,303 1,491,994
0.72 0.79 0.65
6,339,843
2.76
1,014,019 2,587,300 703,741 509,312
0.44 1.13 0.31 0.22
4,814,372
2.10
705,379 845,292 3,961,131
0.31 0.37 1.73
543,032
0.24
859,018 1,901,910 710,986 538,794 1,772,524 1,058,784 1,937,059 3,226,637
0.38 0.83 0.31 0.24 0.77 0.46 0.84 1.41
3,832,424
1.67
2,848,115 1,683,855 7,878,728 1,427,063 681,429 823,277 2,460,615 1,583,841
1.24 0.73 3.43 0.62 0.30 0.36 1.07 0.69
857,844
0.37
42,137,737
18.37
1,151,004 2,254,873
0.50 0.98
883,732 832,722 427,259
0.38 0.36 0.19
4,113 32,817 36,431 15,797
Ireland 180,182
107,984 242,701
(continued) Commerzbank AG (Banks) Continental AG (Auto Parts & Equipment) Deutsche Post AG (Transportation) Deutsche Telekom AG (Telecommunications) E.ON SE (Electric) ElringKlinger AG (Auto Parts & Equipment) Fresenius SE & Co. KGaA (Healthcare Services) Gerry Weber International AG (Apparel) HeidelbergCement AG (Building Materials) Hugo Boss AG (Apparel) Infineon Technologies AG (Semiconductors) Krones AG (Machinery—Diversified) Merck KGaA (Pharmaceuticals) MTU Aero Engines AG (Aerospace & Defence) Norma Group AG (Auto Parts & Equipment) Pfeiffer Vacuum Technology AG (Machinery—Diversified) ProSiebenSat.1 Media AG (Media) SAP AG (Software) Volkswagen AG—Preferred (Automobile Manufacturers)
C&C Group Plc. (Food, Beverages & Tobacco) Experian Plc. (Commercial Services) Ryanair Holdings Plc. (Airlines)
Market Value EUR
% of Shareholders’ Equity
1,457,823 1,944,436 1,323,847
0.64 0.85 0.58
1,615,038 565,456 445,919
0.70 0.25 0.19
1,125,223 278,922 2,400,194 772,574
0.49 0.12 1.05 0.34
2,314,619 544,360 1,513,680
1.01 0.24 0.66
937,666
0.41
366,812
0.16
377,039 1,084,274 2,222,291
0.16 0.47 0.97
3,075,676
1.34
29,915,439
13.04
798,387 1,472,904 1,495,038
0.35 0.64 0.65
3,766,329
1.64
1,308,137 458,920 3,532,518 1,007,838 1,574,114 2,529,748
0.57 0.20 1.54 0.44 0.69 1.10
10,411,275
4.54
2,796,837 596,101 433,489
1.22 0.26 0.19
3,826,427
1.67
2,801,833
1.22
2,329,518 2,059,360
1.02 0.90
422,048 1,934,048 1,551,726
0.18 0.84 0.68
11,098,533
4.84
2,060,612
0.90
Italy
78,756 13,019 1,962,510 25,842 2,200,020 466,313
Atlantia SpA (Commercial Services) DiaSorin SpA (Healthcare Products) Intesa Sanpaolo SpA (Banks) Luxottica Group SpA (Healthcare Products) Telecom Italia SpA (Telecommunications) UniCredit SpA (Banks)
Luxembourg 219,102 ArcelorMittal (Iron/Steel) 180,596 AZ Electronic Materials S.A. (Chemicals) 4,891 RTL Group (Media)
Netherlands 40,571 ASML Holding NV (Semiconductors) 46,651 Heineken NV (Food, Beverages & Tobacco) 214,539 ING Groep NV (Insurance) 9,166 Randstad Holding NV (Commercial Services) 122,641 Reed Elsevier NV (Media) 60,123 Royal Dutch Shell Plc. "B" (Oil & Gas)
Portugal 135,522
Jeronimo Martins SGPS S.A. (Food, Beverages & Tobacco)
The accompanying notes are an integral part of these financial statements.
39
Goldman Sachs Funds II—GMS Europe Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value EUR
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) Spain 206,145 14,250 221,620
Sweden 101,643
80,778 99,196 19,588 133,558 168,781 55,232 7,974
Switzerland 47,939 8,876 34,148 212 45,231 6,423 751,398 10,766 954
54,347 315 86 66,132 17,968 460 8,527 2,257 7,832 183,035 12,823
Banco Santander S.A. (Banks) Inditex S.A. (Retail) Melia Hotels International S.A. (Lodging)
Alfa Laval AB (Miscellaneous Manufacturing) Assa Abloy AB "B" (Metal Fabricate/Hardware) Atlas Copco AB "A" (Machinery—Construction & Mining) Axis Communications AB (Electronics) Nordea Bank AB (Banks) SKF AB "B" (Metal Fabricate/Hardware) Svenska Cellulosa AB "B" (Forest Products & Paper) Trelleborg AB "B" (Miscellaneous Manufacturing)
ABB Ltd. (Construction & Engineering) Adecco S.A. (Commercial Services) Aryzta AG (Food, Beverages & Tobacco) Belimo Holding AG (Building Materials) Cie Financiere Richemont S.A. (Retail) Geberit AG (Building Materials) Glencore Xstrata Plc. (Mining) Holcim Ltd. (Building Materials) Inficon Holding AG (Machinery—Diversified) Julius Baer Group Ltd. (Diversified Financial Services) LEM Holding S.A. (Electronics) Lindt & Spruengli AG (Food, Beverages & Tobacco) Novartis AG (Pharmaceuticals) Roche Holding AG (Pharmaceuticals) SGS S.A. (Commercial Services) Sulzer AG (Miscellaneous Manufacturing) Swatch Group AG (Retail) Tecan Group AG (Healthcare Products) UBS AG (Banks) Zurich Insurance Group AG (Insurance)
United Kingdom 46,695 Babcock International Group Plc. (Commercial Services) 662,856 Barclays Plc. (Banks) 309,812 BG Group Plc. (Oil & Gas) 79,802 British American Tobacco Plc. (Food, Beverages & Tobacco) 140,954 British Land Co., Plc. (Real Estate Investment Trust) 193,561 Capita Plc. (Commercial Services) 75,454 CNH Industrial NV (Machinery—Diversified) 125,996 Compass Group Plc. (Food, Beverages & Tobacco) 31,514 Croda International Plc. (Chemicals)
Security Description
Market Value EUR
% of Shareholders’ Equity
Common Stocks – (continued) 1,358,496 1,676,512 1,949,148
0.59 0.73 0.85
4,984,156
2.17
1,780,100
United Kingdom – (continued) 78,419 Diageo Plc. (Food, Beverages & Tobacco) 69,343 Halma Plc. (Electronics) 124,119 HSBC Holdings Plc. (Banks) 98,885 Imperial Tobacco Group Plc. (Food, Beverages & Tobacco) 21,396 Intertek Group Plc. (Commercial Services) 45,806 Jardine Lloyd Thompson Group Plc. (Insurance) 51,883 Johnson Matthey Plc. (Chemicals) 85,209 Land Securities Group Plc. (Real Estate Investment Trust) 1,658,395 Lloyds Banking Group Plc. (Banks) 429,746 Melrose Industries Plc. (Miscellaneous Manufacturing) 176,427 Merlin Entertainments Plc.144A(a) (Entertainment) 113,302 Prudential Plc. (Insurance) 30,734 Reckitt Benckiser Group Plc. (Household Products/Wares) 20,245 Renishaw Plc. (Electronics) 33,874 Rio Tinto Plc. (Mining) 72,874 Rolls-Royce Holdings Plc. (Aerospace & Defence) 434,078 RSA Insurance Group Plc. (Insurance) 199,268 Smith & Nephew Plc. (Healthcare Products) 47,266 Spectris Plc. (Electronics) 25,256 Spirax-Sarco Engineering Plc. (Machinery—Diversified) 55,253 Standard Chartered Plc. (Banks) 20,932 Victrex Plc. (Chemicals) 1,703,093 Vodafone Group Plc. (Telecommunications) 42,690 WH Smith Plc. (Retail) 14,379 Whitbread Plc. (Lodging)
0.78
3,011,766
1.31
2,033,658 531,408 1,262,539 3,397,680
0.89 0.23 0.55 1.48
1,190,657
0.52
115,107
0.05
13,322,915
5.81
904,020 506,691 1,878,545 412,886 3,396,734 1,392,472 2,824,363 577,812
0.39 0.22 0.82 0.18 1.48 0.61 1.23 0.25
249,412
0.11
1,878,248 177,514
0.82 0.08
274,490 3,845,087 3,684,964 764,588 982,550 1,093,871 628,924 2,583,880 2,638,145
0.12 1.67 1.61 0.33 0.43 0.48 0.27 1.13 1.15
30,695,196
13.38
TOTAL COMMON STOCKS (cost EUR 197,158,076)
1,839,851 492,903 1,024,883
0.80 0.21 0.45
2,756,954
1.20
783,555
0.34
559,895 1,987,873
0.24 0.87
977,582 1,552,176
0.43 0.68
1,520,648
0.66
751,068 1,790,420
0.33 0.78
1,815,604 450,676 1,337,726
0.79 0.20 0.58
1,088,503 556,121
0.47 0.24
1,951,185 1,391,006
0.85 0.61
892,769 972,251 408,163
0.39 0.42 0.18
4,682,855 485,415 617,568
2.04 0.21 0.27
49,652,150
21.64
225,636,110
98.36
3
0.00
3
0.00
2,715,230
1.18
2,715,230
1.18
228,351,343
99.54
Rights – 0.00% France
1
Groupe Fnac—Rights (Retail)
TOTAL RIGHTS (cost EUR nil)
Mutual Funds – 1.18% 729,992 2,171,203 4,655,495
0.32 0.95 2.03
3,125,129
1.36
1,038,187 2,319,451
0.45 1.01
638,718
0.28
1,401,648 884,677
0.61 0.39
Ireland 2,715,230
Goldman Sachs Euro Liquid Reserves Fund (X Distribution Class)(b)(c)
TOTAL MUTUAL FUNDS (cost EUR 2,715,230) TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost EUR 199,873,306)
The accompanying notes are an integral part of these financial statements.
40
Goldman Sachs Funds II—GMS Europe Equity Portfolio Schedule of Investments As at 30 November 2013
% of Shareholders’ Equity
% of Shareholders' Equity
TOTAL INVESTMENTS
Market Value EUR
Total Investments (cost EUR 199,873,306) Other Assets and Liabilities
228,358,630 1,047,013
99.54 0.46
Preferred Stocks – 0.00%
Shareholders' Equity
229,405,643
100.00
United Kingdom 6,069,020 Rolls-Royce Holdings Plc. “C”—Preferred(d) (Aerospace & Defense)
(a)
144A: This security is issued to qualified institutional investors, pursuant to private placements, and is transferable as stated in rule 144A of the US Securities Act of 1933.
(b)
A related party to Goldman Sachs Funds II.
(c)
The yield for this fund as at 30 November 2013 was 0.146%.
(d)
This security is valued by the Competent Person. See Note 4.
Holdings
Security Description
Market Value EUR
Other Transferable Securities
TOTAL PREFERRED STOCKS (cost EUR nil) TOTAL OTHER TRANSFERABLE SECURITIES (cost EUR nil) MARKET VALUE OF INVESTMENTS (cost EUR 199,873,306) OTHER ASSETS AND LIABILITIES SHAREHOLDERS' EQUITY
7,287
0.00
7,287
0.00
7,287
0.00
7,287
0.00
228,358,630
99.54
1,047,013
0.46
229,405,643
100.00
Allocation of Portfolio as at 30 November 2013
% of Shareholders’ Equity
Common Stocks Banks Food, Beverages & Tobacco Pharmaceuticals Commercial Services Telecommunications Insurance Building Materials Oil & Gas Retail Mining Others
12.05 11.17 9.42 4.42 3.96 3.68 3.50 3.44 3.36 2.84 40.52
TOTAL COMMON STOCKS
98.36
Rights Retail
0.00
TOTAL RIGHTS
0.00
Other Net Assets TOTAL
1.64 100.00
The accompanying notes are an integral part of these financial statements.
41
Goldman Sachs Funds II—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Security Description
Transferable securities admitted to an official exchange listing
Common Stocks – (continued)
Common Stocks – 94.86%
China 10,500 4,563
Argentina 49,155
Arcos Dorados Holdings, Inc. "A" (Retail)
587,402
0.13 42,159
Australia 7,293
8,104 11,318 304,250 6,749 21,671 8,685 19,949 14,677
Belgium 6,046
5,589
Bermuda 42,490 94,954
13,966
Brazil 14,343 179,900
16,194 51,941
Canada 11,839 45,475 5,953
16,592 60,680 2,718 3,931 11,202 3,487 4,766 214,202 210,170 15,392 6,491 31,075 12,569 220,740 4,323
Australia & New Zealand Banking Group Ltd.—ADR(a) (Banks) BHP Billiton Ltd.—ADR(a) (Mining) Brambles Ltd.—ADR(a) (Commercial Services) Incitec Pivot Ltd.—ADR(a) (Chemicals) National Australia Bank Ltd.—ADR(a) (Banks) Telstra Corp., Ltd.—ADR(a) (Telecommunications) Wesfarmers Ltd.—ADR(a)(b) (Retail) Westfield Group—ADR(a) (Real Estate Investment Trust) Westpac Banking Corp.—ADR(a) (Banks)
Anheuser-Busch InBev NV (Food, Beverages & Tobacco) Belgacom S.A. (Telecommunications)
Genpact Ltd. (Commercial Services) Marvell Technology Group Ltd. (Semiconductors) Nabors Industries Ltd. (Oil & Gas)
648,000 212,591 557,150
0.05 0.13
196,480 693,690
0.04 0.16
212,594
0.05
499,950 173,559
0.11 0.04
380,427 441,337
0.09 0.10
3,367,778
0.77
102,000
Denmark 14,263
1,980 14,873 3,145
France 2,761 4,958 52,823
619,300 165,925
0.14 0.04
785,225
0.18
1,188
760,571
0.18
40,765 522
1,357,842 231,277
0.31 0.05
2,349,690
0.54
16,307 1,460 1,493 290
Banco Bradesco S.A.—ADR(a) (Banks) BM&FBovespa S.A. (Diversified Financial Services) Itau Unibanco Holding S.A.—ADR(a) (Banks) Petroleo Brasileiro S.A.—Sponsored ADR (Oil & Gas)
Agrium, Inc. (Chemicals) Barrick Gold Corp. (Mining) Barrick Gold Corp. (traded in United States) (Mining) BCE, Inc. (Telecommunications) Canadian Natural Resources Ltd. (Oil & Gas) Centerra Gold, Inc. (Mining) Domtar Corp. (Forest Products & Paper) Eldorado Gold Corp. (Mining) Fairfax Financial Holdings Ltd. (Insurance) Goldcorp, Inc. (Mining) IAMGOLD Corp. (Mining) Kinross Gold Corp. (Mining) Osisko Mining Corp. (Mining) Pan American Silver Corp. (Mining) Ritchie Bros Auctioneers, Inc. (Commercial Services) SEMAFO, Inc. (Mining) Talisman Energy, Inc. (Oil & Gas) Yamana Gold, Inc. (Mining)
190,332
0.04
901,237
0.21
226,878
0.05
862,221
0.20
2,180,668
0.50
1,071,429 754,335
0.24 0.17
98,701 738,642
0.02 0.17
1,987,299 7,887 339,127 68,186 1,341,449 107,573 917,141 991,255 63,139 67,794
0.45 0.00 0.08 0.02 0.31 0.02 0.21 0.23 0.01 0.01
638,902 33,501 2,612,160 39,226
0.15 0.01 0.60 0.01
11,877,746
2.71
22,214 40,612 919 1,856 1,242 43,626 19,698
Germany 11,608 11,303 5,265 6,802 1,301
19,160 7,268 58,041 3,147 23,189 70,833 9,114 1,140 370 2,627
Baidu, Inc.—ADR(a) (Internet) China Life Insurance Co., Ltd.—ADR(a) (Insurance) Mindray Medical International Ltd.—ADR(a) (Healthcare Products) Shandong Weigao Group Medical Polymer Co., Ltd. "H" (Healthcare Products) Tsingtao Brewery Co., Ltd. "H" (Food, Beverages & Tobacco)
Carlsberg A/S "B" (Food, Beverages & Tobacco) Coloplast A/S "B" (Healthcare Products) Jyske Bank A/S (Banks) Novo Nordisk A/S "B" (Pharmaceuticals)
Alstom S.A. (Machinery—Diversified) BNP Paribas S.A. (Banks) Carrefour S.A. (Food, Beverages & Tobacco) Casino Guichard Perrachon S.A. (Food, Beverages & Tobacco) Danone (Food, Beverages & Tobacco) Essilor International S.A. (Healthcare Products) GDF Suez (Electric) L'Oreal S.A. (Cosmetics/Personal Care) LVMH Moet Hennessy Louis Vuitton S.A. (Apparel) Neopost S.A. (Office/Business Equipment) Orange S.A. (Telecommunications) Sanofi (Pharmaceuticals) Schneider Electric S.A. (Electrical Components & Equipment) Societe Generale S.A. (Banks) Sodexo (Commercial Services) Total S.A. (Oil & Gas) Vivendi S.A. (Telecommunications)
Adidas AG (Apparel) Allianz SE (Insurance) BASF SE (Chemicals) Bayer AG (Pharmaceuticals) Bayerische Motoren Werke AG (Automobile Manufacturers) Daimler AG (Automobile Manufacturers) Deutsche Bank AG (Banks) Deutsche Boerse AG (Diversified Financial Services) Deutsche Post AG (Transportation) Deutsche Telekom AG (Telecommunications) E.ON SE (Electric) Henkel AG & Co. KGaA—Preferred (Household Products/Wares) Merck KGaA (Pharmaceuticals) Muenchener Rueckversicherungs AG (Insurance) OSRAM Licht AG (Electrical Components & Equipment)
Market Value USD
% of Shareholders’ Equity
1,732,605
0.40
221,077
0.05
1,672,869
0.38
884,317
0.20
857,249
0.20
5,368,117
1.23
1,565,505 130,503 803,485 560,798
0.36 0.03 0.18 0.13
3,060,291
0.70
102,131 375,430
0.02 0.08
2,089,728
0.48
132,788 2,967,616
0.03 0.68
55,166 378,445 245,709
0.01 0.09 0.06
282,226
0.06
22,748 290,922 4,319,009
0.01 0.07 0.99
77,725 107,500 124,619 2,638,666 501,745
0.02 0.02 0.03 0.60 0.11
14,712,173
3.36
1,415,558 1,972,166 563,503 905,982
0.32 0.45 0.13 0.21
150,142 1,590,758 352,468
0.03 0.36 0.08
4,509,435 111,145
1.03 0.03
368,182 1,361,615
0.08 0.31
1,036,807 197,669
0.24 0.04
81,088
0.02
155,801
0.04
The accompanying notes are an integral part of these financial statements.
42
Goldman Sachs Funds II—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) Germany – (continued) 1,917 RWE AG (Electric) 6,120 SAP AG (Software) 23,248 Siemens AG (Miscellaneous Manufacturing) 575 Volkswagen AG—Preferred (Automobile Manufacturers)
Hong Kong 75,192 113,607 95,500 2,623
374,000 17,600 81,000 10,662
AIA Group Ltd. (Insurance) Cheung Kong Holdings Ltd. (Real Estate) China Mobile Ltd. (Telecommunications) China Mobile Ltd.—ADR(a) (Telecommunications) China Resources Enterprise Ltd. (Retail) Jardine Matheson Holdings Ltd. (Holding Companies—Diversified) SJM Holdings Ltd. (Lodging) Swire Pacific Ltd. "A" (Holding Companies—Diversified)
58,518
Ireland 2,069,894 29,459 19,282 251,373 10,278
ICICI Bank Ltd. (Banks)
Bank Negara Indonesia Persero Tbk PT (Banks)
73,661 507,697
0.02 0.12
3,080,359
0.70
152,250
0.03
18,586,286
4.24
381,558 1,798,146 1,030,904
0.09 0.41 0.24
141,799 1,319,889
0.03 0.30
889,739 259,827
0.20 0.06
129,006
0.03
5,950,868
1.36
1,002,717
0.23
355,147
0.08
813,521 2,022,066 491,805 2,105,826 465,391
0.19 0.46 0.11 0.48 0.11
5,898,609
1.35
Teva Pharmaceutical Industries Ltd. (Pharmaceuticals)
377,287
0.09
Enel SpA (Electric)
187,817
0.04
Aeon Co., Ltd. (Retail) Aisin Seiki Co., Ltd. (Auto Parts & Equipment) Asahi Group Holdings Ltd. (Food, Beverages & Tobacco) Bank of Yokohama Ltd. (Banks) Bridgestone Corp. (Auto Parts & Equipment) Canon, Inc. (Office/Business Equipment) Central Japan Railway Co. (Transportation) Chubu Electric Power Co., Inc. (Electric) Denso Corp. (Auto Parts & Equipment) East Japan Railway Co. (Transportation) FamilyMart Co., Ltd. (Retail) FANUC Corp. (Machinery—Diversified) Hitachi Ltd. (Electrical Components & Equipment) Honda Motor Co., Ltd. (Automobile Manufacturers) Hoya Corp. (Electronics)
143,026
0.03
145,526
0.03
Bank of Ireland (Banks) Covidien Plc. (Healthcare Products) CRH Plc. (Building Materials) Ryanair Holdings Plc. (Airlines) Shire Plc. (Pharmaceuticals)
Japan – (continued) 187,200 Inpex Corp. (Oil & Gas) 13,500 ITOCHU Corp. (Distribution/Wholesale) 60,699 Japan Exchange Group, Inc. (Diversified Financial Services) 12,400 Japan Tobacco, Inc. (Food, Beverages & Tobacco) 9,000 Kao Corp. (Cosmetics/Personal Care) 11,800 KDDI Corp. (Telecommunications) 26,000 Kirin Holdings Co., Ltd. (Food, Beverages & Tobacco) 3,400 Kyocera Corp. (Electronics) 197,063 Kyowa Hakko Kirin Co., Ltd. (Pharmaceuticals) 3,200 Lawson, Inc. (Retail) 146,712 Mitsubishi Corp. (Distribution/Wholesale) 14,000 Mitsubishi Electric Corp. (Machinery—Construction & Mining) 27,000 Mitsubishi Heavy Industries Ltd. (Machinery—Diversified) 99,899 Mitsubishi UFJ Financial Group, Inc. (Banks) 20,605 Mitsui & Co., Ltd. (Distribution/Wholesale) 221,400 Mizuho Financial Group, Inc. (Banks) 63,297 MS&AD Insurance Group Holdings (Insurance) 50,800 Namco Bandai Holdings, Inc. (Toys/Games/Hobbies) 11,551 Nintendo Co., Ltd. (Toys/Games/Hobbies) 10,300 Nippon Telegraph & Telephone Corp. (Telecommunications) 44,800 Nissan Motor Co., Ltd. (Automobile Manufacturers) 56,470 NKSJ Holdings, Inc. (Insurance) 36,200 NTT DoCoMo, Inc. (Telecommunications) 32,100 Olympus Corp. (Healthcare Products) 12,600 ORIX Corp. (Diversified Financial Services) 55,000 Osaka Gas Co., Ltd. (Gas) 16,200 Rohm Co., Ltd. (Semiconductors) 6,300 Seven & I Holdings Co., Ltd. (Food, Beverages & Tobacco) 3,100 Shin-Etsu Chemical Co., Ltd. (Chemicals) 14,022 SMC Corp. (Hand/Machine Tools) 5,000 Softbank Corp. (Telecommunications) 6,600 Sony Financial Holdings, Inc. (Insurance) 13,100 Sumitomo Corp. (Distribution/Wholesale) 13,087 Sumitomo Mitsui Financial Group, Inc. (Banks) 690,199 Sumitomo Mitsui Trust Holdings, Inc. (Banks) 67,244 Suzuki Motor Corp. (Automobile Manufacturers) 3,400 Takeda Pharmaceutical Co., Ltd. (Pharmaceuticals) 52,800 THK Co., Ltd. (Hand/Machine Tools) 6,500 Tokio Marine Holdings, Inc. (Insurance) 13,900 Tokyo Electron Ltd. (Semiconductors) 53,000 Tokyo Gas Co., Ltd. (Gas) 17,427 Toyota Motor Corp. (Automobile Manufacturers) 3,400 Unicharm Corp. (Cosmetics/Personal Care) 8,900 West Japan Railway Co. (Transportation) 30,600 Yamada Denki Co., Ltd. (Retail) 95,300 Yamaha Motor Co., Ltd. (Leisure Time) 3,200 Yamato Holdings Co., Ltd. (Transportation)
Israel
9,258
Italy
40,884 Japan 10,600 3,600
2,000 537,754 6,300 5,200 2,100 13,200 3,900 5,400 2,400 1,200 27,000 13,200 6,300
% of Shareholders’ Equity
Common Stocks – (continued)
India
Indonesia 1,035,500
Security Description
Market Value USD
54,935 2,956,709
0.01 0.67
231,735
0.05
173,797
0.04
253,441 178,917 196,160 443,679 110,008 202,763
0.06 0.04 0.04 0.10 0.02 0.05
199,953
0.05
560,618 171,012
0.13 0.04
2,178,292 170,965
0.50 0.04
1,628,580
0.37
420,383 296,571 743,139
0.10 0.07 0.17
402,080 180,674
0.09 0.04
2,303,653 235,245 2,897,318
0.53 0.05 0.66
162,458
0.04
173,915
0.04
645,694 286,565 466,677
0.15 0.07 0.11
1,711,349
0.39
1,035,322
0.24
1,486,540
0.34
518,129
0.12
410,682 1,572,295 584,001 1,083,424
0.09 0.36 0.13 0.25
230,709 222,970 707,095
0.05 0.05 0.16
232,761 179,976 3,390,426 406,524 117,957 162,625
0.05 0.04 0.77 0.09 0.03 0.04
651,217
0.15
3,406,244
0.78
1,733,958
0.40
165,645 1,286,353 216,706 756,151 264,692
0.04 0.29 0.05 0.17 0.06
1,091,026
0.25
215,786 390,489 106,979 1,528,321 68,105
0.05 0.09 0.02 0.35 0.02
45,148,945
10.31
The accompanying notes are an integral part of these financial statements.
43
Goldman Sachs Funds II—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) Jersey 1,846 Korea 41,896
2,897
Randgold Resources Ltd. (Mining)
Korea Electric Power Corp.—ADR(a) (Electric) Samsung Electronics Co., Ltd.—GDR(a) (Electronics)
Mexico 6,513
57,510 8,536
Wynn Macau Ltd. (Lodging)
America Movil SAB de CV—ADR—Series L(a) (Telecommunications) Grupo Televisa SAB—ADR(a) (Media) Wal-Mart de Mexico SAB de CV —ADR(a) (Retail)
Netherlands 1,288 Akzo Nobel NV (Chemicals) 35,550 Heineken NV (Food, Beverages & Tobacco) 23,805 ING Groep NV (Insurance) 8,561 Koninklijke Ahold NV (Food, Beverages & Tobacco) 7,020 Koninklijke Philips NV (Electronics) 32,800 QIAGEN NV (Healthcare Products) 2,266 Royal Dutch Shell Plc. "A" (Oil & Gas) 10,852 Royal Dutch Shell Plc. "A" (traded in United Kingdom) (Oil & Gas) 14,201 Royal Dutch Shell Plc. "B" (Oil & Gas) 19,606 Unilever NV (Food, Beverages & Tobacco)
Norway 125,835 15,910 16,398 5,465
Portugal 16,410
Russia 39,949 48,831
Singapore 2,189,595 48,000
9,000
Norsk Hydro ASA (Mining) Schibsted ASA (Media) Statoil ASA (Oil & Gas) Telenor ASA (Telecommunications)
Portugal Telecom SGPS S.A. (Telecommunications)
OAO—ADR(a)
Gazprom (Oil & Gas) Sberbank of Russia—ADR(a) (Banks)
130,671
South Africa – (continued) 1,787 MTN Group Ltd.—ADR(a) (Telecommunications) 35,050 Naspers Ltd. "N" (Media)
0.03
637,657
0.14
2,045,282
0.47
2,682,939
0.61
Spain 29,336
279,651
0.06
151,362 1,752,905
0.04 0.40
221,936
0.05
2,126,203
0.49
97,057
0.02
2,414,169 310,754
0.55 0.07
155,952 251,560 771,128 75,855
0.03 0.06 0.18 0.02
363,176 498,444
0.08 0.11
773,232
0.18
5,711,327
1.30
44,804 682 39,812
Sweden 66,292
5,025 47,103 15,537 7,448 7,857 4,149 8,329 81,826 4,021 2,190 147,378 21,421 71,617
541,381 1,030,392 372,612 132,680
0.12 0.24 0.08 0.03
Switzerland 6,211 15,054 66,584
2,077,065
0.47
10,314 6,548
73,735
0.02
91,900 2,410
343,761 605,993
0.08 0.14
101,162 59,329 468
949,754
0.22 27,739 10,980
Golden Agri-Resources Ltd. (Agriculture) Singapore Telecommunications Ltd. (Telecommunications) United Overseas Bank Ltd. (Banks)
South Africa 9,088 AngloGold Ashanti Ltd.—ADR(a) (Mining) 1,291 Gold Fields Ltd.—ADR(a) (Mining) 53,825 MTN Group Ltd. (Telecommunications)
% of Shareholders’ Equity
Common Stocks – (continued)
75,603 Macau 72,800
Security Description
Market Value USD
1,003,712
0.23
141,564 150,094
0.03 0.04
1,295,370
0.30
121,325 5,203 1,048,114
0.03 0.00 0.24
114 311 332 26,629 35,318 1,285
Banco Bilbao Vizcaya Argentaria S.A. (Banks) Distribuidora Internacional de Alimentacion S.A. (Food, Beverages & Tobacco) Iberdrola S.A. (Electric) Inditex S.A. (Retail) Telefonica S.A. (Telecommunications)
Atlas Copco AB "B" (Machinery—Construction & Mining) Hennes & Mauritz AB "B" (Retail) Investor AB "B" (Investment Companies) Nordea Bank AB (Banks) Sandvik AB (Hand/Machine Tools) Skandinaviska Enskilda Banken AB "A" (Banks) Skanska AB "B" (Construction & Engineering) Svenska Cellulosa AB "B" (Forest Products & Paper) Svenska Handelsbanken AB "A" (Banks) Swedbank AB "A" (Banks) Swedish Match AB (Food, Beverages & Tobacco) Telefonaktiebolaget LM Ericsson "B" (Telecommunications) TeliaSonera AB (Telecommunications) Volvo AB "B" (Automobile Manufacturers)
ABB Ltd. (Construction & Engineering) Cie Financiere Richemont S.A. (Retail) Coca-Cola HBC AG (Food, Beverages & Tobacco) Credit Suisse Group AG (Banks) Foster Wheeler AG (Construction & Engineering) Glencore Xstrata Plc. (Mining) Julius Baer Group Ltd. (Diversified Financial Services) Nestle S.A. (Food, Beverages & Tobacco) Novartis AG (Pharmaceuticals) Partners Group Holding AG (Diversified Financial Services) Roche Holding AG (Pharmaceuticals) Schindler Holding AG (Hand/Machine Tools) Swatch Group AG (Retail) Swisscom AG (Telecommunications) Syngenta AG (Chemicals) UBS AG (Banks) Wolseley Plc. (Distribution/Wholesale) Zurich Insurance Group AG (Insurance)
35,114 3,348,828
0.01 0.76
4,558,584
1.04
355,389
0.08
697,609 287,291 109,119 658,912
0.16 0.07 0.02 0.15
2,108,320
0.48
1,679,150 214,106 1,539,229 199,740 104,341
0.38 0.05 0.35 0.05 0.02
96,266
0.02
79,675
0.02
244,181 3,820,222 103,386
0.06 0.87 0.02
68,654
0.02
1,845,124 173,281 949,138
0.42 0.04 0.22
11,116,493
2.54
159,285 1,537,447
0.04 0.35
1,875,508 308,650
0.43 0.07
199,583 469,774
0.04 0.11
113,271 7,372,492 4,691,206
0.02 1.68 1.07
117,123 7,736,550
0.03 1.76
1,522,690 75,138 159,068 130,781 511,230 1,914,094 359,530
0.35 0.02 0.04 0.03 0.12 0.44 0.08
29,253,420
6.68
The accompanying notes are an integral part of these financial statements.
44
Goldman Sachs Funds II—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Security Description
Common Stocks – (continued)
Common Stocks – (continued)
Taiwan 8,861
United Kingdom – (continued) 359,227 Vodafone Group Plc. (Telecommunications) 37,238 Vodafone Group Plc.—ADR(a) (Telecommunications) 69,016 Willis Group Holdings Plc. (Insurance) 57,002 WM Morrison Supermarkets Plc. (Food, Beverages & Tobacco)
20,350 97,700
Turkey 313,736 24,755
Chunghwa Telecom Co., Ltd.—ADR(a) (Telecommunications) Hon Hai Precision Industry Co., Ltd.—GDR(a) (Electronics) Taiwan Semiconductor Manufacturing Co., Ltd.—ADR(a) (Semiconductors)
Turkiye Garanti Bankasi AS (Banks) Turkiye Garanti Bankasi AS—ADR(a) (Banks)
United Arab Emirates 63,379 Dragon Oil Plc. (Oil & Gas) United Kingdom 19,795 Aggreko Plc. (Commercial Services) 52,304 Anglo American Plc. (Mining) 28,625 Aon Plc. (Insurance) 16,748 AstraZeneca Plc. (Pharmaceuticals) 15,477 Aviva Plc. (Insurance) 10,195 Balfour Beatty Plc. (Construction & Engineering) 155,478 Barclays Plc. (Banks) 23,446 BG Group Plc. (Oil & Gas) 15,130 BHP Billiton Plc. (Mining) 160,531 BP Plc. (Oil & Gas) 27,470 BP Plc.—ADR(a) (Oil & Gas) 35,925 British American Tobacco Plc. (Food, Beverages & Tobacco) 9,586 British Sky Broadcasting Group Plc. (Media) 16,816 BT Group Plc. (Telecommunications) 48,269 Bunzl Plc. (Commercial Services) 38,919 Centrica Plc. (Gas) 15,703 Compass Group Plc. (Food, Beverages & Tobacco) 110,015 Diageo Plc. (Food, Beverages & Tobacco) 154,951 GlaxoSmithKline Plc. (Pharmaceuticals) 409,381 Hays Plc. (Commercial Services) 125,285 HSBC Holdings Plc. (Banks) 11,451 Imperial Tobacco Group Plc. (Food, Beverages & Tobacco) 12,069 J Sainsbury Plc. (Food, Beverages & Tobacco) 4,705 London Stock Exchange Group Plc. (Diversified Financial Services) 23,440 National Grid Plc. (Gas) 72,108 Noble Corp., Plc. (Oil & Gas) 5,245 Pearson Plc. (Media) 201,686 Prudential Plc. (Insurance) 4,621 Reckitt Benckiser Group Plc. (Household Products/Wares) 9,934 Rio Tinto Plc. (Mining) 115,751 Rolls-Royce Holdings Plc. (Aerospace & Defence) 6,272 SABMiller Plc. (Food, Beverages & Tobacco) 24,073 Smith & Nephew Plc. (Healthcare Products) 8,083 SSE Plc. (Electric) 86,499 Standard Chartered Plc. (Banks) 61,628 Tesco Plc. (Food, Beverages & Tobacco) 40,410 Tullow Oil Plc. (Oil & Gas) 6,115 Unilever Plc. (Food, Beverages & Tobacco)
276,640
0.06
104,192
0.02
1,736,129
0.40
2,116,961
0.48
1,184,555 92,336
0.27 0.02
1,276,891
0.29
589,902
0.13
517,496 1,161,112 2,349,826 955,396 109,328
0.12 0.26 0.54 0.22 0.02
44,848 692,585 479,137 462,245 1,265,570 1,297,683
0.01 0.16 0.11 0.11 0.29 0.30
1,913,260
0.44
128,668 102,888 1,105,035 215,310
0.03 0.02 0.25 0.05
237,568 3,510,236 4,093,144 824,903 1,406,883
0.05 0.80 0.93 0.19 0.32
434,176
0.10
80,347
0.02
124,846 297,590 2,760,294 115,964 4,334,273
0.03 0.07 0.63 0.03 0.99
371,245 533,517
0.08 0.12
2,351,283
0.54
324,350
0.07
320,563 175,939 2,069,935 350,805 575,394 247,098
0.07 0.04 0.47 0.08 0.13 0.06
United States 11,100 AbbVie, Inc. (Pharmaceuticals) 14,928 AES Corp. (Electric) 3,921 Aflac, Inc. (Insurance) 22,012 Altera Corp. (Semiconductors) 9,800 Amazon.com, Inc. (Internet) 15,341 Ameren Corp. (Electric) 6,689 American Electric Power Co., Inc. (Electric) 569 American Express Co. (Diversified Financial Services) 23,549 AOL, Inc. (Internet) 28,016 Apache Corp. (Oil & Gas) 4,761 Apple, Inc. (Computers) 20,152 Archer-Daniels-Midland Co. (Agriculture) 2,876 Assurant, Inc. (Insurance) 54,194 AT&T, Inc. (Telecommunications) 42,179 Baker Hughes, Inc. (Oil & Gas Services) 11,502 Bed Bath & Beyond, Inc. (Retail) 27,264 BioMarin Pharmaceutical, Inc. (Pharmaceuticals) 9,568 Bristol-Myers Squibb Co. (Pharmaceuticals) 10,356 Broadcom Corp. "A" (Semiconductors) 17,099 CA, Inc. (Software) 11,687 Calpine Corp. (Electric) 3,525 Capital One Financial Corp. (Banks) 12,352 Cardinal Health, Inc. (Pharmaceuticals) 33,062 CarMax, Inc. (Retail) 53,940 Carnival Corp. (Leisure Time) 21,065 CenturyLink, Inc. (Telecommunications) 28,053 Chevron Corp. (Oil & Gas) 103,895 Cisco Systems, Inc. (Telecommunications) 2,478 Citigroup, Inc. (Banks) 30,912 Coach, Inc. (Retail) 17,614 Coca-Cola Co. (Food, Beverages & Tobacco) 42,739 Comcast Corp. "A" (Media) 16,073 Consolidated Edison, Inc. (Electric) 3,264 Cummins, Inc. (Machinery—Diversified) 13,594 Deere & Co. (Machinery—Diversified) 4,172 Dick's Sporting Goods, Inc. (Retail) 36,285 Dolby Laboratories, Inc. "A" (Entertainment) 3,863 Dollar General Corp. (Retail) 4,278 Dollar Tree, Inc. (Retail) 3,170 DTE Energy Co. (Electric) 18,718 Duke Energy Corp. (Electric) 47,918 eBay, Inc. (Internet) 20,691 Edison International (Electric) 34,451 Eli Lilly & Co. (Pharmaceuticals) 7,711 Entergy Corp. (Electric) 11,222 EOG Resources, Inc. (Oil & Gas) 103,577 Exelon Corp. (Electric) 32,843 Exxon Mobil Corp. (Oil & Gas) 19,961 Facebook, Inc. "A" (Internet) 5,050 Family Dollar Stores, Inc. (Retail) 11,742 FedEx Corp. (Transportation) 2,661 Fifth Third Bancorp (Banks) 51,965 FLIR Systems, Inc. (Electronics) 111,838 Ford Motor Co. (Automobile Manufacturers)
Market Value USD
% of Shareholders’ Equity
1,343,273
0.31
1,387,116 3,082,945
0.32 0.70
247,031
0.06
44,401,105
10.14
535,353 215,560 262,158 714,730 3,827,978 551,509 317,192
0.12 0.05 0.06 0.16 0.87 0.13 0.07
48,934 1,054,760 2,563,464 2,619,359 821,597 187,113 1,921,177 2,410,108 903,597
0.01 0.24 0.59 0.60 0.19 0.04 0.44 0.55 0.21
1,926,474
0.44
495,909 278,369 565,122 221,352 253,307 802,880 1,673,598 1,962,337 652,383 3,444,628 2,212,444 132,499 1,784,859
0.11 0.06 0.13 0.05 0.06 0.18 0.38 0.45 0.15 0.79 0.51 0.03 0.41
712,134 2,131,821 891,730 432,970 1,144,180 236,761 1,297,189 222,277 238,926 212,263 1,315,688 2,418,901 953,648 1,742,532 477,928 1,854,997 2,811,080 3,087,242 938,167 353,551 1,639,183 54,471 1,548,037 1,916,903
0.16 0.49 0.20 0.10 0.26 0.05 0.30 0.05 0.05 0.05 0.30 0.55 0.22 0.40 0.11 0.42 0.64 0.71 0.21 0.08 0.37 0.01 0.35 0.44
The accompanying notes are an integral part of these financial statements.
45
Goldman Sachs Funds II—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Security Description
Common Stocks – (continued)
Common Stocks – (continued)
United States – (continued) 111,513 General Electric Co. (Miscellaneous Manufacturing) 42,528 General Motors Co. (Automobile Manufacturers) 26,533 Goodyear Tire & Rubber Co. (Auto Parts & Equipment) 2,439 Google, Inc. "A" (Internet) 33,437 Harley-Davidson, Inc. (Leisure Time) 31,520 HealthSouth Corp. (Healthcare Services) 19,772 Hewlett-Packard Co. (Computers) 5,232 Hormel Foods Corp. (Food, Beverages & Tobacco) 10,779 Illumina, Inc. (Biotechnology) 50,680 Intel Corp. (Semiconductors) 2,025 International Business Machines Corp. (Computers) 844 Intuitive Surgical, Inc. (Healthcare Products) 22,743 Johnson & Johnson (Pharmaceuticals) 21,789 JPMorgan Chase & Co. (Banks) 100,430 Juniper Networks, Inc. (Telecommunications) 2,280 Kimberly-Clark Corp. (Household Products/Wares) 4,203 Kohl's Corp. (Retail) 20,656 Lincoln Electric Holdings, Inc. (Hand/Machine Tools) 8,818 Lockheed Martin Corp. (Aerospace & Defence) 29,140 Lorillard, Inc. (Food, Beverages & Tobacco) 5,873 LyondellBasell Industries NV "A" (Chemicals) 11,208 M&T Bank Corp. (Banks) 14,957 Marathon Petroleum Corp. (Oil & Gas) 3,416 Markel Corp. (Insurance) 3,776 MasterCard, Inc. "A" (Commercial Services) 37,667 Merck & Co., Inc. (Pharmaceuticals) 9,796 MetLife, Inc. (Insurance) 77,757 Microsoft Corp. (Software) 34,556 Molson Coors Brewing Co. "B" (Food, Beverages & Tobacco) 29,677 Moody's Corp. (Commercial Services) 20,700 Myriad Genetics, Inc. (Biotechnology) 6,983 NASDAQ OMX Group, Inc. (Diversified Financial Services) 11,384 National Oilwell Varco, Inc. (Oil & Gas Services) 95,030 New York Community Bancorp, Inc. (Diversified Financial Services) 35,267 Newmont Mining Corp. (Mining) 4,298 NextEra Energy, Inc. (Electric) 8,811 Northrop Grumman Corp. (Aerospace & Defence) 3,941 Occidental Petroleum Corp. (Oil & Gas) 92,717 Oracle Corp. (Software) 68,819 PepsiCo, Inc. (Food, Beverages & Tobacco) 80,391 Pfizer, Inc. (Pharmaceuticals) 9,493 PG&E Corp. (Electric) 26,500 Philip Morris International, Inc. (Food, Beverages & Tobacco) 10,881 PPL Corp. (Electric) 8,681 Praxair, Inc. (Chemicals) 25,065 Principal Financial Group, Inc. (Insurance) 27,935 Procter & Gamble Co. (Cosmetics/Personal Care) 27,470 Progressive Corp. (Insurance) 18,297 Prudential Financial, Inc. (Insurance) 54,255 Public Service Enterprise Group, Inc. (Electric)
United States – (continued) 18,500 QUALCOMM, Inc. (Semiconductors) 16,112 Reynolds American, Inc. (Food, Beverages & Tobacco) 53,645 Royal Caribbean Cruises Ltd. (Leisure Time) 21,300 Seattle Genetics, Inc. (Biotechnology) 86,710 Stillwater Mining Co. (Mining) 15,704 Sysco Corp. (Food, Beverages & Tobacco) 12,636 T-Mobile USA, Inc. (Telecommunications) 44,370 Target Corp. (Retail) 82,107 TD Ameritrade Holding Corp. (Diversified Financial Services) 12,274 Teradata Corp. (Computers) 39,601 Teradyne, Inc. (Semiconductors) 8,275 Tesla Motors, Inc. (Automobile Manufacturers) 72,820 TIBCO Software, Inc. (Internet) 42,039 Time Warner, Inc. (Media) 7,689 TJX Cos., Inc. (Retail) 24,169 Torchmark Corp. (Insurance) 8,606 TripAdvisor, Inc. (Internet) 9,254 Twitter, Inc. (Internet) 8,084 Tyson Foods, Inc. "A" (Food, Beverages & Tobacco) 72,765 Ultra Petroleum Corp. (Oil & Gas) 89,880 Unum Group (Insurance) 15,584 US Bancorp (Banks) 23,346 Verizon Communications, Inc. (Telecommunications) 6,991 Visa, Inc. "A" (Diversified Financial Services) 5,043 Vmware, Inc. "A" (Software) 64,373 Wal-Mart Stores, Inc. (Retail) 19,230 Walgreen Co. (Retail) 24,590 Walt Disney Co. (Media) 14,096 Waters Corp. (Electronics) 34,361 Weight Watchers International, Inc. (Commercial Services) 14,044 WellPoint, Inc. (Healthcare Services) 44,639 Wells Fargo & Co. (Banks) 17,110 Xcel Energy, Inc. (Electric) 28,691 Xilinx, Inc. (Semiconductors)
2,982,973
0.68
1,657,741
0.38
590,094 2,588,291 2,252,651 1,127,470 537,205
0.13 0.59 0.51 0.26 0.12
236,120 1,048,797 1,215,306
0.05 0.24 0.28
365,675
0.08
318,905 2,166,726 1,256,790
0.07 0.50 0.29
2,049,776
0.47
248,885 235,410
0.06 0.05
1,485,580
0.34
1,260,445
0.29
1,504,207
0.34
458,035 1,302,594 1,257,285 1,923,550 2,878,634 1,879,207 514,290 2,966,430
0.10 0.30 0.29 0.44 0.66 0.43 0.12 0.68
1,827,321 2,221,027 626,796
0.42 0.51 0.14
274,432
0.06
928,365
0.21
1,568,945 882,733 366,147
0.36 0.20 0.08
1,004,454 374,868 3,272,910
0.23 0.09 0.75
5,839,292 2,570,100 384,372
1.33 0.59 0.09
2,266,280 334,156 1,097,105 1,268,289
0.52 0.08 0.25 0.29
2,376,710 772,731 1,643,437
0.54 0.18 0.38
1,788,787
0.41
TOTAL COMMON STOCKS (cost USD 348,405,907)
Market Value USD
% of Shareholders’ Equity
1,363,635
0.31
813,656
0.19
2,387,202 875,217 981,557
0.55 0.20 0.22
535,035 326,135 2,862,752
0.12 0.07 0.65
2,369,608 561,290 678,365
0.54 0.13 0.16
1,070,950 1,771,711 2,784,663 489,789 1,846,753 763,180 383,301
0.24 0.40 0.64 0.11 0.42 0.17 0.09
256,990 1,488,044 3,031,652 614,477
0.06 0.34 0.69 0.14
1,165,432
0.27
1,431,617 407,172 5,224,513 1,142,262 1,750,070 1,403,680
0.33 0.09 1.19 0.26 0.40 0.32
1,112,953 1,312,974 1,975,276 482,502 1,276,749
0.25 0.30 0.45 0.11 0.29
182,932,820
41.76
415,477,977
94.86
5,904,904
1.35
843,075 1,894,544 2,727,514 74,797 2,816,580 165,274
0.19 0.43 0.62 0.02 0.64 0.04
8,521,784
1.94
14,426,688
3.29
429,904,665
98.15
Mutual Funds – 3.29% Ireland 5,904,904
Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(c)(d)
United States 20,972 iShares China Large-Cap ETF 74,325 iShares MSCI Australia Index Fund 64,465 iShares MSCI Emerging Markets Index Fund 4,746 iShares MSCI Malaysia Index Fund 43,332 iShares MSCI South Korea Capped Index Fund 7,284 iShares S&P India Nifty 50 Index Fund
TOTAL MUTUAL FUNDS (cost USD 13,805,999) TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 362,211,906)
The accompanying notes are an integral part of these financial statements.
46
Goldman Sachs Funds II—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Market Value USD
Security Description
% of Shareholders’ Equity
Other Transferable Securities Common Stocks – 0.00%
% of Shareholders' Equity
TOTAL INVESTMENTS
Market Value USD
Total Investments excluding derivatives (cost USD 362,211,906) Unrealised gain on forward currency contracts Unrealised loss on forward currency contracts Other Assets and Liabilities
429,920,920 657,687 (826,230) 8,257,359
98.15 0.15 (0.19) 1.89
438,009,736
100.00
United Kingdom 9,954,586 Rolls-Royce Holdings Plc."C"—Preferred(b)
16,255
0.00
Shareholders' Equity
TOTAL COMMON STOCKS (cost USD nil)
16,255
0.00
The counterparties for forward currency contracts were Bank of New York and State Street Trust Company, Canada.
TOTAL OTHER TRANSFERABLE SECURITIES (cost USD nil)
16,255
0.00
The maximum individual counterparty exposure for derivative instruments as at 30 November 2013 is 0.01% of the NAV.
MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES (cost USD 362,211,906)
429,920,920
98.15
Forward Currency Contracts – (0.04%)
Currency
DKK HKD NZD SEK SGD USD USD USD USD INR USD
Amount Bought
1,730,000 93,178,920 67,000 3,621,664 2,919,932 3,488,787 11,720,245 11,688,423 46,677 15,497,000 3,577,579
Amount Sold
Maturity Date
Unrealised Gain USD
USD 307,847 USD 12,018,357 USD 53,710 USD 552,203 USD 2,302,985 AUD 3,725,046 CAD 12,165,028 JPY 1,168,181,239 NOK 277,653 USD 239,817 JPY 363,618,000
18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 23/12/2013 27/12/2013
7,639 918 919 906 23,672 97,623 226,706 268,320 1,247 7,154 22,583
0.00 0.00 0.00 0.00 0.01 0.02 0.05 0.06 0.00 0.00 0.01
657,687
0.15
Currency
UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS
% of Shareholders' Equity
Amount Sold
Maturity Date
Unrealised Loss USD
% of Shareholders' Equity
USD 5,921,755 USD 5,455,628 AUD 593,000 HKD 5,213,756 USD 4,249,618 CHF 846,458 EUR 12,445,055 GBP 1,182,781 SGD 1,626,000 INR 26,493,000 KRW 2,089,223,858
18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 18/12/2013 23/12/2013 23/12/2013
(158,465) (73,002) (88) (26,338) (187,038) (23,679) (232,570) (52,420) (12,540) (5,957) (54,133)
(0.04) (0.02) (0.00) (0.01) (0.04) (0.01) (0.05) (0.01) (0.00) (0.00) (0.01)
UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS
(826,230)
(0.19)
MARKET VALUE OF INVESTMENTS (cost USD 362,211,906)
429,752,377
98.11
Currency
CAD EUR JPY JPY JPY USD USD USD USD USD USD
Amount Bought
6,100,000 3,958,000 55,213,044 66,100,000 415,568,000 912,550 16,691,905 1,878,738 1,283,087 416,256 1,917,775
Currency
OTHER ASSETS AND LIABILITIES SHAREHOLDERS' EQUITY
8,257,359
1.89
438,009,736
100.00
(a)
Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt).
(b)
This security is valued by the Competent Person. See Note 4.
(c)
A related party to Goldman Sachs Funds II.
(d)
The yield for this fund as at 30 November 2013 was 0.203%.
Allocation of Portfolio as at 30 November 2013
% of Shareholders' Equity
Common Stocks Food, Beverages & Tobacco Pharmaceuticals Oil & Gas Banks Insurance Telecommunications Retail Internet Electric Diversified Financial Services Others
10.06 8.89 7.59 6.94 6.77 5.00 4.57 3.52 3.34 3.04 35.14
TOTAL COMMON STOCKS
94.86
Other Net Assets TOTAL
5.14 100.00
The accompanying notes are an integral part of these financial statements.
47
Goldman Sachs Funds II—GMS Japan Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value (‘000) JPY
% of Shareholders’ Equity
Holdings
Security Description
Transferable securities admitted to an official exchange listing
Common Stocks – (continued)
Common Stocks – 99.41%
Diversified Financial Services 32,900 Nomura Holdings, Inc. 32,600 ORIX Corp.
1.58 3.59
87,901
5.17
9,095
0.54
32,578 22,810
1.92 1.34
55,388
3.26
12,375 7,611 23,511
0.73 0.45 1.38
43,497
2.56
8,669
0.51
18,382 12,095
1.08 0.71
30,477
1.79
15,839
0.93
Hand/Machine Tools 3,100 Makita Corp.
15,889
0.94
Healthcare Services 3,200 Miraca Holdings, Inc.
15,260
0.90
Home Builders 10,000 Daiwa House Industry Co., Ltd. 7,000 Sekisui Chemical Co., Ltd.
19,949 8,425
1.17 0.50
28,374
1.67
Home Furnishings 14,100 Sony Corp.
26,468
1.56
Insurance 16,100
Dai-ichi Life Insurance Co., Ltd.
25,926
1.53
Internet 6,800
Rakuten, Inc.
10,733
0.63
9,449
0.56
Airlines 1,800
9,394
0.55
Electric 3,000
29,644 12,626
1.75 0.74
Electrical Components & Equipment 43,000 Hitachi Ltd. 2,300 Nidec Corp.
42,270
2.49
30,850 23,175 26,728 46,755
1.82 1.37 1.57 2.75
127,508
7.51
84,838 30,772 55,489 31,304
4.99 1.81 3.27 1.84
202,403
11.91
Auto Parts & Equipment 18,500 Sumitomo Electric Industries Ltd. 8,700 Sumitomo Rubber Industries Ltd.
Automobile Manufacturers 7,100 Honda Motor Co., Ltd. 49,000 Mazda Motor Corp. 28,500 Nissan Motor Co., Ltd. 7,300 Toyota Motor Corp.
Banks 128,300 142,700 10,900 62,000
Mitsubishi UFJ Financial Group, Inc. Mizuho Financial Group, Inc. Sumitomo Mitsui Financial Group, Inc. Sumitomo Mitsui Trust Holdings, Inc.
Building Materials 39,000 Asahi Glass Co., Ltd. 2,500 Daikin Industries Ltd. 7,900 LIXIL Group Corp. 12,000 Nice Holdings, Inc. 1,600 Rinnai Corp.
Chemicals 8,000 19,000 41,000 5,100 5,500 10,000 2,700 900 28,000 30,000
Computers 43,000 1,600
Air Water, Inc. Asahi Kasei Corp. Denki Kagaku Kogyo KK Hitachi Chemical Co., Ltd. JSR Corp. Nippon Shokubai Co., Ltd. Nissan Chemical Industries Ltd. Nitto Denko Corp. Showa Denko KK Ube Industries Ltd.
Fujitsu Ltd. SCSK Corp.
Construction & Engineering 26,000 Taisei Corp. Cosmetics/Personal Care 2,400 Kao Corp. Distribution/Wholesale 24,900 Mitsubishi Corp. 11,500 Mitsui & Co., Ltd.
% of Shareholders’ Equity
26,833 61,068
Aerospace & Defence 22,000 IHI Corp.
Japan Airlines Co., Ltd.
Market Value (‘000) JPY
Electronics 300 1,400 53,000
Electric Power Development Co., Ltd.
Keyence Corp. Kyocera Corp. Toshiba Corp.
Entertainment 3,900 Toho Co., Ltd. Food, Beverages & Tobacco 5,300 Japan Tobacco, Inc. 3,200 Seven & I Holdings Co., Ltd.
Gas
25,846 16,307 21,002 3,234 12,406
1.52 0.96 1.24 0.19 0.73
78,795
4.64
11,491 15,394 18,021 7,977 10,389 11,980 4,353 4,704 4,463 6,436
0.68 0.90 1.06 0.47 0.61 0.70 0.26 0.28 0.26 0.38
95,208
5.60
20,558 4,134
1.21 0.24
24,692
1.45
Investment Companies 6,800 Jafco Co., Ltd.
38,926
2.29
12,151
0.72
Iron/Steel 58,000
19,317
1.14
8,091
0.48
14,323 22,556
0.84 1.33
50,307 16,362
2.96 0.96
36,879
2.17
66,669
3.92
31,000
Tokyo Gas Co., Ltd.
Nippon Steel & Sumitomo Metal Corp.
Machinery—Construction & Mining 6,700 Komatsu Ltd. 19,000 Mitsubishi Electric Corp.
The accompanying notes are an integral part of these financial statements.
48
Goldman Sachs Funds II—GMS Japan Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value (‘000) JPY
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) Machinery—Diversified 9,000 Amada Co., Ltd. 600 FANUC Corp.
0.48 0.61
18,563
1.09
12,502
0.74
13,748
0.81
Office Furnishings 4,000 Okamura Corp.
3,406
0.20
Office/Business Equipment 13,200 Canon, Inc. 11,000 Ricoh Co., Ltd.
45,135 12,975
2.66 0.76
58,110
3.42
35,416
2.08
Dowa Holdings Co., Ltd.
Miscellaneous Manufacturing 4,900 FUJIFILM Holdings Corp.
Oil & Gas 66,300
JX Holdings, Inc.
Pharmaceuticals 2,500 Astellas Pharma, Inc. 8,000 Daiichi Sankyo Co., Ltd. 3,400 Mitsubishi Tanabe Pharma Corp.
Real Estate 3,600 3,000 24,100
Aeon Mall Co., Ltd. Mitsui Fudosan Co., Ltd. Tokyu Fudosan Holdings Corp.
Real Estate Investment Trust 70 Japan Retail Fund Investment Corp.
% of Shareholders’ Equity
Common Stocks – (continued) 8,191 10,372
Mining 12,000
Security Description
Market Value (‘000) JPY
15,215 15,061 4,796
0.89 0.89 0.28
35,072
2.06
10,624 10,465 22,606
0.62 0.62 1.33
43,695
2.57
14,152
0.83
16,488 8,874 11,587 9,726 24,214
0.97 0.52 0.68 0.57 1.43
70,889
4.17
3,452 18,047 18,922
0.20 1.06 1.12
40,421
2.38
13,689 6,675
0.81 0.39
20,364
1.20
38,598 16,504
2.27 0.97
55,102
3.24
Textiles 49,000 15,000
Teijin Ltd. Toray Industries, Inc.
11,007 10,889
0.65 0.64
21,896
1.29
Toys/Games/Hobbies 3,000 Nintendo Co., Ltd.
39,498
2.33
Transportation 200 Central Japan Railway Co. 3,200 East Japan Railway Co. 73,000 Nippon Yusen KK 12,000 Tokyu Corp.
2,469 26,898 23,199 8,299
0.14 1.58 1.37 0.49
60,865
3.58
TOTAL COMMON STOCKS (cost ('000) JPY 1,242,533)
1,688,967
99.41
TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost ('000) JPY 1,242,533)
1,688,967
99.41
MARKET VALUE OF INVESTMENTS (cost ('000) JPY 1,242,533)
1,688,967
99.41
OTHER ASSETS AND LIABILITIES SHAREHOLDERS' EQUITY
TOTAL INVESTMENTS
10,013
0.59
1,698,980
100.00
Market Value ('000) JPY
% of Shareholders' Equity
Total Investments (cost ('000) JPY 1,242,533) Other Assets and Liabilities
1,688,967 10,013
99.41 0.59
Shareholders' Equity
1,698,980
100.00
Retail
5,300 8,400 1,100 10,000 67,700
Izumi Co., Ltd. Marui Group Co., Ltd. Shimamura Co., Ltd. Takashimaya Co., Ltd. Yamada Denki Co., Ltd.
Semiconductors 9,000 Nippon Chemi-Con Corp. 18,100 Sumco Corp. 3,400 Tokyo Electron Ltd.
Software 6,900 3,800
Capcom Co., Ltd. Square Enix Holdings Co., Ltd.
Telecommunications 7,500 Nippon Telegraph & Telephone Corp. 10,000 NTT DoCoMo, Inc.
The accompanying notes are an integral part of these financial statements.
49
Goldman Sachs Funds II—GMS US Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Security Description
Transferable securities admitted to an official exchange listing
Common Stocks – (continued)
Common Stocks – 95.92%
Diversified Financial Services 21,260 Ameriprise Financial, Inc. 5,040 Franklin Resources, Inc. 7,830 McGraw Hill Financial, Inc. 38,360 Raymond James Financial, Inc. 13,950 Visa, Inc. "A"
Aerospace & Defence 21,860 B/E Aerospace, Inc. 61,690 United Technologies Corp.
Airlines 245,370 6,710
Apparel 14,405
Southwest Airlines Co. Spirit Airlines, Inc.
VF Corp.
1,917,559 6,867,948
0.63 2.28
8,785,507
2.91
4,590,873 312,015
1.52 0.10
4,902,888
1.62
3,400,444
1,285,928
0.43
Banks 44,680 94,715 131,540
2,389,040 2,973,104 3,763,359
0.79 0.99 1.25
9,125,503
3.03
1,668,552 5,703,488 1,642,647 744,585
0.55 1.89 0.55 0.25
9,759,272
3.24
1,658,421 3,516,024 1,763,390
0.55 1.17 0.58
6,937,835
2.30
1,520,059 627,841
0.50 0.21
2,147,900
0.71
3,448,879 2,581,524
1.14 0.86
6,030,403
2.00
9,941,022 2,371,962 765,986 4,813,360 406,900
3.30 0.79 0.25 1.60 0.13
18,299,230
6.07
791,707 1,173,392 1,694,678
0.26 0.39 0.56
3,659,777
1.21
Biotechnology 14,630 Amgen, Inc. 35,185 Celgene Corp. 23,900 Cubist Pharmaceuticals, Inc. 24,590 Myriad Genetics, Inc.
Chemicals 21,510 30,970 9,520
Eastman Chemical Co. Monsanto Co. PPG Industries, Inc.
CONSOL Energy, Inc. Peabody Energy Corp.
Commercial Services 120,170 Aaron's, Inc. 10,600 Alliance Data Systems Corp.
Computers 18,069 99,370 44,560 26,655 7,590
Apple, Inc. EMC Corp. Fortinet, Inc. International Business Machines Corp. MICROS Systems, Inc.
Distribution/Wholesale 17,070 Fastenal Co. 35,290 LKQ Corp. 19,560 WESCO International, Inc.
2,314,789 279,569 585,762 1,859,693 2,856,681
0.77 0.09 0.19 0.62 0.95
7,896,494
2.62
Electrical Components & Equipment 30,110 AMETEK, Inc.
1,495,564
0.50
Electronics 26,190
2,656,714
0.88
1,731,725 1,294,973 2,367,110 2,313,174 748,792 619,370 2,305,181 2,935,810 1,315,634
0.57 0.43 0.78 0.77 0.25 0.21 0.76 0.97 0.44
15,631,769
5.18
1,477,432 2,196,402 2,982,034 1,112,992 4,839,061 2,082,967 2,865,243 331,449 826,218
0.49 0.73 0.99 0.37 1.60 0.69 0.95 0.11 0.27
18,713,798
6.20
886,384 315,592
0.29 0.11
1,201,976
0.40
152,141 164,092 1,366,700 161,821
0.05 0.06 0.45 0.05
1,844,754
0.61
Home Furnishings 17,520 Restoration Hardware Holding, Inc.
1,321,043
0.44
Household Products/Wares 58,885 Jarden Corp.
3,341,135
1.11
Insurance 124,575 41,435 40,820 114,920
6,211,309 2,363,867 2,744,329 5,133,476
2.06 0.79 0.91 1.70
16,452,981
5.46
Thermo Fisher Scientific, Inc.
Food, Beverages & Tobacco 49,920 B&G Foods, Inc. 32,030 Coca-Cola Co. 46,560 General Mills, Inc. 23,640 Hershey Co. 10,720 Ingredion, Inc. 11,590 Kraft Foods Group, Inc. 68,120 Mondelez International, Inc. "A" 34,600 PepsiCo, Inc. 23,130 Whole Foods Market, Inc.
Healthcare Products 45,140 Alere, Inc. 58,260 ArthroCare Corp. 43,680 Baxter International, Inc. 10,210 Becton Dickinson and Co. 413,595 Boston Scientific Corp. 15,730 Cooper Cos, Inc. 49,865 Medtronic, Inc. 3,350 Teleflex, Inc. 36,190 Volcano Corp.
Coal
43,110 34,440
% of Shareholders’ Equity
1.13
Auto Parts & Equipment 11,990 BorgWarner, Inc.
Citigroup, Inc. Morgan Stanley Popular, Inc.
Market Value USD
Healthcare Services 14,820 DaVita HealthCare Partners, Inc. 3,830 Universal Health Services, Inc. "B"
Home Builders 7,680 DR Horton, Inc. 4,590 Lennar Corp. "A" 1,393 NVR, Inc. 4,700 Toll Brothers, Inc.
American International Group, Inc. Endurance Specialty Holdings Ltd. Navigators Group, Inc. Willis Group Holdings Plc.
The accompanying notes are an integral part of these financial statements.
50
Goldman Sachs Funds II—GMS US Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) Internet 6,250 46,310 8,450 35,880 5,627 8,520 7,130 2,123
Amazon.com, Inc. eBay, Inc. F5 Networks, Inc. Facebook, Inc. "A" Google, Inc. "A" HomeAway, Inc. LinkedIn Corp. "A" priceline.com, Inc.
Investment Companies 352,898 Fortress Investment Group LLC "A" Machinery—Construction & Mining 8,430 Caterpillar, Inc. 12,950 Joy Global, Inc.
Machinery—Diversified 11,220 Xylem, Inc. Media 21,620 21,860 7,710 3,190 9,160 20,230 14,540 36,540 12,830 42,330
Mining 158,260
DIRECTV Liberty Global Plc. "A" LIN Media LLC "A" Nexstar Broadcasting Group, Inc. "A" Sinclair Broadcast Group, Inc. "A" Starz "A" Time Warner, Inc. Twenty-First Century Fox "A" Viacom, Inc. "B" Walt Disney Co.
Alcoa, Inc.
Miscellaneous Manufacturing 26,950 Danaher Corp. 25,500 Dover Corp. 33,160 General Electric Co. 44,980 Hexcel Corp. 15,340 Parker Hannifin Corp.
Oil & Gas 43,340 43,860 3,600 27,040 23,750 8,070 29,930
Apache Corp. Cimarex Energy Co. EOG Resources, Inc. Hess Corp. Occidental Petroleum Corp. Range Resources Corp. Valero Energy Corp.
Oil & Gas Services 36,440 Baker Hughes, Inc. 26,810 Cameron International Corp. 34,690 Halliburton Co. 24,490 National Oilwell Varco, Inc. 37,380 Weatherford International Ltd.
Security Description
Market Value USD
% of Shareholders’ Equity
Common Stocks – (continued) 2,441,312 2,337,729 694,167 1,686,360 5,971,429 311,321 1,603,180 2,538,344
0.81 0.78 0.23 0.56 1.98 0.10 0.53 0.84
17,583,842
5.83
2,854,945
0.95
713,684 732,711
0.24 0.24
1,446,395
0.48
391,017
Pharmaceuticals 42,270 Alkermes Plc. 47,110 Bristol-Myers Squibb Co. 58,160 Forest Laboratories, Inc. 19,260 Gentium SpA —ADR(a) 13,130 Johnson & Johnson 9,510 Mead Johnson Nutrition Co. 93,920 Pfizer, Inc. 83,505 Teva Pharmaceutical Industries Ltd.—ADR(a)
0.47 0.61 0.07 0.05 0.10 0.19 0.32 0.41 0.34 1.00
10,752,988
3.56
1,530,374
0.51
2,023,945 2,309,535 887,030 1,972,823 1,817,483
0.67 0.77 0.29 0.66 0.60
9,010,816
2.99
3,965,610 4,155,735 595,080 2,206,735 2,259,100 626,474 1,371,093
1.31 1.38 0.20 0.73 0.75 0.21 0.45
15,179,827
5.03
2,082,182 1,480,716 1,815,328 1,997,159 585,371
0.69 0.49 0.60 0.66 0.20
7,960,756
2.64
0.56 0.81 1.00 0.33 0.41 0.27 1.00 1.12
16,587,633
5.50
Pharmaceuticals & Biotechnology 16,240 Actavis Plc.
2,643,710
0.88
Real Estate 51,450 78,490 13,920
1,952,527 1,907,307 659,669
0.65 0.63 0.22
4,519,503
1.50
296,889 289,261 172,815 186,989 134,356 3,297,647 1,921,226
0.10 0.10 0.06 0.06 0.04 1.09 0.64
6,299,183
2.09
1,806,779 481,517 2,349,976 627,088 1,195,592 2,083,418 1,412,354 2,123,836 2,343,204 1,289,310 1,320,098
0.60 0.16 0.78 0.21 0.39 0.69 0.47 0.70 0.78 0.43 0.44
17,033,172
5.65
3,229,972 643,177
1.07 0.21
3,873,149
1.28
1,249,277 1,236,762 4,198,217 644,127 1,066,852 1,967,865 427,375
0.42 0.41 1.39 0.21 0.36 0.65 0.14
10,790,475
3.58
3,850,456 4,378,761 538,242
1.28 1.45 0.18
8,767,459
2.91
Alexander & Baldwin, Inc. CBRE Group, Inc. "A" Realogy Holdings Corp.
Real Estate Investment Trust 4,660 Alexandria Real Estate Equities, Inc. 15,510 BioMed Realty Trust, Inc. 7,760 Corporate Office Properties Trust 3,930 Digital Realty Trust, Inc. 5,710 DuPont Fabros Technology, Inc. 254,056 iStar Financial, Inc. 68,960 Starwood Property Trust, Inc.
0.13
1,427,136 1,855,914 200,229 159,021 299,257 570,486 963,130 1,229,936 1,035,253 3,012,626
1,693,336 2,441,711 3,000,474 1,009,031 1,250,895 808,445 3,002,623 3,381,118
Retail 45,260 16,180 18,710 11,050 19,900 25,680 18,290 25,850 36,785 21,680 16,920
Best Buy Co., Inc. BJ's Restaurants, Inc. Costco Wholesale Corp. Dick's Sporting Goods, Inc. GNC Holdings, Inc. "A" Home Depot, Inc. Signet Jewelers Ltd. Starbucks Corp. TJX Cos., Inc. Williams-Sonoma, Inc. Yum! Brands, Inc.
Semiconductors 43,820 QUALCOMM, Inc. 24,080 Skyworks Solutions, Inc.
Software 21,640 55,710 110,045 14,410 43,280 38,100 16,610
Cerner Corp. Electronic Arts, Inc. Microsoft Corp. MSCI, Inc. QLIK Technologies, Inc. Salesforce.com, Inc. VeriFone Systems, Inc.
Telecommunications 180,815 Cisco Systems, Inc. 214,540 Juniper Networks, Inc. 10,900 Palo Alto Networks, Inc.
The accompanying notes are an integral part of these financial statements.
51
Goldman Sachs Funds II—GMS US Equity Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Common Stocks – (continued) Transportation 14,590 CH Robinson Worldwide, Inc. 81,310 Hub Group, Inc. "A" 14,370 JB Hunt Transport Services, Inc. 23,900 Norfolk Southern Corp.
859,643 3,091,406 1,079,618 2,101,766
0.28 1.02 0.36 0.70
7,132,433
2.36
289,248,592
95.92
United States Dollar 6,579,629 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(b)(c)
6,579,629
2.18
TOTAL MUTUAL FUNDS (cost USD 6,579,629)
TOTAL COMMON STOCKS (cost USD 224,836,358)
% of Shareholders' Equity
TOTAL INVESTMENTS
Market Value USD
Total Investments (cost USD 231,415,987) Other Assets and Liabilities
295,828,221 5,717,270
98.10 1.90
Shareholders' Equity
301,545,491
100.00
(a)
Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt).
(b)
A related party to Goldman Sachs Funds II.
(c)
The yield for this fund as at 30 November 2013 was 0.203%.
Mutual Funds – 2.18%
6,579,629
2.18
TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 231,415,987)
295,828,221
98.10
MARKET VALUE OF INVESTMENTS (cost USD 231,415,987)
295,828,221
98.10
OTHER ASSETS AND LIABILITIES SHAREHOLDERS' EQUITY
5,717,270
1.90
301,545,491
100.00
The accompanying notes are an integral part of these financial statements.
52
Goldman Sachs Funds II—Dynamic Alternative Strategies Portfolio Schedule of Investments As at 30 November 2013
Share Class Specific Forward Currency Contracts – (0.01%)
Holdings
Security Description
Market Value EUR
% of Shareholders’ Equity
Currency
CHF GBP CHF EUR GBP USD CHF GBP
Transferable securities admitted to an official exchange listing Mutual Funds – 100.37% Ireland 146,735
1,676,543 10,802,103
Adelphi Investment Funds Plc. – Adelphi European Select Equity Fund GAM Star Fund Plc. – Global Rates Goldman Sachs Euro Liquid Reserves Fund (X Distribution Class)(a)(b)
Luxembourg 108,274 Brevan Howard Invest Fund – Emerging Markets Local Fixed Income Fund 182,967 JPMorgan Investment Funds – Highbridge Statistical Market Neutral Fund 153,172 Merrill Lynch Investment Solutions – Marshall Wace Tops UCITS Fund 219,656 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund 124,900 Merrill Lynch Investment Solutions – York Event Driven UCITS Fund (B Accumulation Class) 65,355 Merrill Lynch Investment Solutions – York Event Driven UCITS Fund (E Accumulation Class) 139,154 Schroder GAIA Egerton Equity
TOTAL MUTUAL FUNDS (cost EUR 153,538,853) TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost EUR 153,538,853) MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES (cost EUR 153,538,853)
19,293,480 19,661,829
11.61 11.83
10,802,103
6.50
49,757,412
29.94
Amount Bought
Currency
Amount Sold
Maturity Date
Unrealised Gain EUR
% of Shareholders' Equity
548,807 60,010,638 530,299 37,417,756 59,860,372 50,650,172 530,299 59,868,752
EUR EUR EUR USD EUR EUR EUR EUR
443,772 71,440,865 430,294 50,650,172 70,448,046 36,738,699 430,343 71,231,332
19/12/2013 19/12/2013 24/01/2014 24/01/2014 24/01/2014 24/01/2014 21/02/2014 21/02/2014
1,799 529,194 382 120,604 1,321,462 558,453 423 529,742
0.00 0.32 0.00 0.07 0.79 0.34 0.00 0.32
3,062,059
1.84
UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES
Currency
Amount Bought
Currency
Amount Sold
Maturity Date
Unrealised Loss EUR
% of Shareholders' Equity
443,772 71,440,865 36,290,448 48,544,643 430,251 71,239,534 4,295,727 51,016,639
CHF GBP USD EUR CHF GBP GBP EUR
547,080 60,669,323 50,021,209 36,290,448 530,299 59,860,372 3,599,130 37,686,791
19/12/2013 19/12/2013 19/12/2013 19/12/2013 24/01/2014 24/01/2014 21/02/2014 21/02/2014
(397) (1,319,148) (544,478) (542,845) (425) (529,973) (18,333) (121,115)
(0.00) (0.79) (0.33) (0.33) (0.00) (0.32) (0.01) (0.07)
(3,076,714)
(1.85)
166,795,296
100.36
11,209,392
6.74
17,217,171
10.36
18,034,454
10.85
24,906,821
14.99
16,901,401
10.17
UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES
7,936,686 20,846,614
4.78 12.54
MARKET VALUE OF INVESTMENTS (cost EUR 153,538,853)
117,052,539
70.43
OTHER ASSETS AND LIABILITIES
166,809,951
166,809,951
166,809,951
EUR EUR EUR USD EUR EUR EUR USD
(601,816)
(0.36)
SHAREHOLDERS' EQUITY (c)
166,193,480
100.00
TOTAL INVESTMENTS
Market Value EUR
100.37
100.37
Total Investments excluding derivatives (cost EUR 153,538,853) Unrealised gain on forward currency contracts held for hedging purposes Unrealised loss on forward currency contracts held for hedging purposes Other Assets and Liabilities
100.37
Shareholders' Equity(c)
% of Shareholders' Equity
166,809,951
100.37
3,062,059
1.84
(3,076,714) (601,816)
(1.85) (0.36)
166,193,480
100.00
The counterparties for forward currency contracts were Deutsche Bank AG London and Morgan Stanley and Co. (a)
A related party to Goldman Sachs Funds II.
(b)
The yield for this fund as at 30 November 2013 was 0.146%.
(c)
Market Value and Shareholders’ Equity is stated as at 28 November 2013, the last tradable date in the period.
The accompanying notes are an integral part of these financial statements.
53
Goldman Sachs Funds II—Tactical Tilt Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Currency
(a)
Coupon Rate
(b)
Maturity Date
Market Value USD
% of Shareholders’ Equity
Transferable securities admitted to an official exchange listing Mutual Funds – 58.10% Ireland 208,010,503 Goldman Sachs Funds Plc. – US Treasury Liquid Reserves Fund (X Distribution Class)(a)(b)
208,010,503
14.84
Luxembourg 26,850,850 Goldman Sachs Funds – Global High Yield Portfolio(b)
251,592,460
17.94
United States 1,747,969 2,069,896 1,760,408 5,175,602
37,546,374 67,561,405 70,345,904 179,541,633
2.68 4.82 5.02 12.80
Financial Select Sector SPDR Fund SPDR S&P Bank ETF SPDR S&P Regional Banking ETF Technology Select Sector SPDR Fund
354,995,316
25.32
TOTAL MUTUAL FUNDS (cost USD 759,465,871)
814,598,279
58.10
TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost USD 759,465,871)
814,598,279
58.10
Transferable securities dealt in another regulated market Government Bonds – 3.50% United States 49,084,000 United States Treasury Note/Bond
49,116,592
3.50
TOTAL GOVERNMENT BONDS (cost USD 49,062,488)
USD
0.250%
15/05/2015
49,116,592
3.50
TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost USD 49,062,488)
49,116,592
3.50
Time Deposits – 28.53% Netherlands 99,999,591 Rabobank Nederland USD Time Deposit
USD
0.050%
02/12/2013
99,999,591
7.13
United Kingdom 99,999,222 Barclays Bank Plc. USD Time Deposit 99,999,806 JP Morgan Chase Bank USD Time Deposit
USD USD
0.050% 0.010%
02/12/2013 02/12/2013
99,999,222 99,999,806
7.13 7.14
199,999,028
14.27
100,000,000
7.13
399,998,619
28.53
1,263,713,490
90.13
United States 100,000,000 Northern Trust Company USD Time Deposit
USD
0.050%
02/12/2013
TOTAL TIME DEPOSITS (cost USD 399,998,619) MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES (cost USD 1,208,526,978)
Futures Contracts – 0.09% Number of Contracts
4,264 665
Security Description
EUR DJ Euro STOXX 50 Index Future 20/12/2013 IBEX 35 Index Future 20/12/2013
Long Long
Commitment Market Value USD
Unrealised Gain USD
178,893,844 88,852,243
11,366,957 1,573,874
267,746,087 UNREALISED GAIN ON FUTURES CONTRACTS
% of Shareholders' Equity
0.81 0.11
12,940,831
0.92
12,940,831
0.92
The accompanying notes are an integral part of these financial statements.
54
Goldman Sachs Funds II—Tactical Tilt Portfolio Schedule of Investments As at 30 November 2013
Futures Contracts – (continued) Number of Contracts
Security Description
USD E-Mini S&P 500 Index Future 20/12/2013 US Treasury Notes 10YR 20/03/2014
(1,938) 477
Short Long
Commitment Market Value USD
Unrealised Loss USD
(174,817,290) 59,803,875
(11,692,442) (1,599)
(115,013,415) U N R E A L I S E D LO S S O N F U T U R E S C O N T R AC T S
% of Shareholders' Equity
(0.83) (0.00)
(11,694,041)
(0.83)
(11,694,041)
(0.83)
Share Class Specific Forward Currency Contracts – 1.07% Amount Bought
Currency
CHF EUR GBP
9,809,114 228,559,916 164,442,280
Currency
USD USD USD
Amount Sold
Maturity Date
Unrealised Gain USD
% of Shareholders' Equity
10,552,020 304,519,340 260,033,643
18/12/2013 18/12/2013 18/12/2013
297,396 6,307,463 8,455,672
0.02 0.45 0.60
15,060,531
1.07
Unrealised Loss USD
% of Shareholders' Equity
UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES
Amount Bought
Currency
USD
5,265,746
Currency
CHF
Amount Sold
Maturity Date
4,819,000
18/12/2013
U N R E A L I S E D LO S S O N F O R W A R D C U R R E N C Y C O N T R AC T S H E L D F O R H E D G I N G P U R P O S E S
(64,331)
(0.00)
(64,331)
(0.00)
Purchased Options – 1.02%
Holdings
Security Description
Unrealised Gain/Loss USD
Market Value USD
% of Shareholders’ Equity
802,743
8,247,091
0.59
343,662 168,039 23,913 195,711 118,099 2,341,812 (1,787,480) (3,543,425)
676,690 376,828 312,420 395,623 294,033 2,873,626 767,250 303,945
0.05 0.03 0.02 0.03 0.02 0.21 0.05 0.02
(2,139,669)
6,000,415
0.43
14,247,506
1.02
Purchased Options JPY 14,702,686 Call Tokyo Stock Price Index
72,728 40,500 50,175 42,520 82,691 232,680 102,300 88,100
USD Put ML Gold Investment Index Put ML Gold Investment Index Put ML Gold Investment Index Put ML Gold Investment Index Put ML Gold Investment Index Put ML Gold Investment Index Put S&P 500 Index Put S&P 500 PM Index
Expires 16/05/2014
Strike 1,295.52
Expires 17/01/2014 Expires 17/01/2014 Expires 17/01/2014 Expires 17/01/2014 Expires 17/01/2014 Expires 17/01/2014 Expires 31/12/2013 Expires 31/12/2013
Strike 86.79 Strike 86.79 Strike 83.57 Strike 86.79 Strike 80.36 Strike 89.88 Strike 1,750.00 Strike 1,700.00
TOTAL PURCHASED OPTIONS (cost USD 15,584,432)
Swap Contracts – 0.35% Net Local Notional Amount
249,270,000
Pay
Receive
Credit Default Swaps Floating (CDX.NA.HY.21-V1)
Fixed 5.000%
Currency
Maturity Date
USD
20/12/2018
Unrealised Gain USD
% of Shareholders' Equity
4,957,519
0.35
UNREALISED GAIN ON CREDIT DEFAULT SWAPS
4,957,519
0.35
TOTAL UNREALISED GAIN ON SWAP CONTRACTS
4,957,519
0.35
1,299,161,505
92.66
MARKET VALUE OF INVESTMENTS (cost USD 1,224,111,410) OTHER ASSETS AND LIABILITIES SHAREHOLDERS' EQUITY
102,926,918
7.34
1,402,088,423
100.00
The accompanying notes are an integral part of these financial statements.
55
Goldman Sachs Funds II—Tactical Tilt Portfolio Schedule of Investments As at 30 November 2013
Market Value USD
TOTAL INVESTMENTS
% of Shareholders' Equity
Total Investments excluding derivatives (cost USD 1,208,526,978) Unrealised gain on futures contracts Unrealised loss on futures contracts Unrealised gain on forward currency contracts held for hedging purposes Unrealised loss on forward currency contracts held for hedging purposes Market value of purchased options (cost USD 15,584,432) Unrealised gain on swap contracts Other Assets and Liabilities
1,263,713,490 12,940,831 (11,694,041) 15,060,531 (64,331) 14,247,506 4,957,519 102,926,918
90.13 0.92 (0.83) 1.07 (0.00) 1.02 0.35 7.34
Shareholders' Equity
1,402,088,423
100.00
Rates disclosed for Government Bonds and Time Deposits are those that were in effect at 30 November 2013. The Futures Commission Merchant was Morgan Stanley. The counterparties for forward currency contracts were BNP Paribas S.A., Deutsche Bank AG London, Morgan Stanley and Co., Royal Bank of Scotland Plc., and Societe Generale S.A. The counterparty for swap contracts was Credit Suisse Debt Capital Markets. The counterparty for options was Morgan Stanley and Co. The maximum individual counterparty exposure for derivative instruments as at 30 November 2013 is 1.04% of the NAV. (a)
The yield for this fund as at 30 November 2013 was 0.075%.
(b)
A related party to Goldman Sachs Funds II.
(c)
Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices.
(d)
Maturity dates represent either the stated date on the security, or the next interest reset date for floating rate securities or the prerefunded date for those type of securities.
The accompanying notes are an integral part of these financial statements.
56
Goldman Sachs Funds II—Europe High Income Bond Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Currency
(a)
Coupon Rate
(b)
Market Value EUR
Maturity Date
% of Shareholders’ Equity
Transferable securities admitted to an official exchange listing Corporate Bonds – 80.52% Australia 1,450,000 Telstra Corp., Ltd.
EUR
4.750%
21/03/2017
1,626,007
1.60
Denmark 1,500,000 TDC A/S
EUR
4.375%
23/02/2018
1,670,894
1.64
EUR EUR EUR EUR EUR EUR EUR
8.500% 1.875% 5.000% 4.125% 2.750% 5.000% 4.125%
15/01/2016 19/12/2017 05/02/2018 27/03/2017 18/10/2017 15/03/2017 18/07/2017
3,449,277 305,777 1,618,163 1,626,214 1,648,617 1,670,970 1,309,761
3.38 0.30 1.59 1.60 1.62 1.64 1.28
11,628,779
11.41
France
3,100,000 300,000 1,400,000 1,500,000 1,550,000 1,500,000 1,200,000
Alcatel-Lucent Carrefour S.A. Electricite de France. Eutelsat S.A. GDF Suez Pernod Ricard S.A. Vivendi S.A.
Ireland
2,200,000 Ardagh Packaging Finance Plc.
EUR
7.375%
15/10/2017
2,354,418
2.31
1,200,000 Terna Rete Elettrica Nazionale SpA
EUR
4.125%
17/02/2017
1,299,982
1.28
1,200,000 Heathrow Funding Ltd.
EUR
4.375%
25/01/2017
1,316,880
1.29
2,300,000 Royal Caribbean Cruises Ltd.
EUR
5.625%
27/01/2014
2,314,950
2.27
EUR EUR EUR
4.625% 8.875% 7.000%
03/04/2018 15/12/2017 31/12/2017
1,764,022 1,493,100 2,320,120
1.73 1.46 2.28
5,577,242
5.47
1,624,770 1,876,864 1,620,590 2,627,750 1,653,339
1.60 1.84 1.59 2.58 1.62
9,403,313
9.23
3,166,136 3,249,152
3.10 3.19
6,415,288
6.29
3,269,690 1,644,493 3,118,879 2,178,135 1,624,813
3.21 1.61 3.06 2.14 1.59
11,836,010
11.61
1,046,197 1,259,831
1.03 1.23
2,306,028
2.26
3,307,348 353,617 1,359,852 1,606,362 1,707,011 1,647,322 1,682,961 1,525,791 1,680,606
3.24 0.35 1.33 1.58 1.67 1.62 1.65 1.50 1.65
Italy Jersey Liberia Luxembourg 1,600,000 Glencore Finance Europe S.A. 1,400,000 Mark IV Europe Lux SCA 2,200,000 Sunrise Communications International S.A.
Netherlands 1,400,000 1,600,000 1,400,000 2,300,000 1,500,000
E.ON International Finance BV HeidelbergCement Finance BV RWE Finance BV Schaeffler Finance BV TenneT Holding BV
Norway 3,000,000 DNB Boligkreditt AS 3,000,000 Sparebank 1 Boligkreditt AS
Sweden 3,000,000 1,500,000 3,000,000 2,000,000 1,400,000
Nordea Hypotek AB SKF AB Stadshypotek AB Swedbank Hypotek AB Vattenfall AB
Switzerland 1,000,000 Credit Suisse AG 1,200,000 UBS AG
United Kingdom 3,000,000 350,000 1,200,000 1,400,000 1,600,000 1,500,000 1,500,000 2,000,000 1,450,000
Abbey National Treasury Services Plc. Abbey National Treasury Services Plc. Bank of Scotland Plc. BAT International Finance Plc. BG Energy Capital Plc. BP Capital Markets Plc. Imperial Tobacco Finance Plc. Inmarsat Finance Plc. 144A(c) National Grid Plc.
EUR EUR EUR EUR EUR
EUR EUR
EUR EUR EUR EUR EUR
EUR EUR
EUR EUR EUR EUR EUR EUR EUR USD EUR
5.500% 8.000% 5.125% 7.750% 3.875%
2.375% 3.250%
3.500% 3.875% 1.875% 3.375% 5.000%
2.125% 2.250%
3.625% 1.750% 4.625% 5.375% 3.000% 3.830% 4.500% 7.375% 5.000%
02/10/2017 31/01/2017 23/07/2018 15/02/2017 21/02/2018
11/04/2017 17/03/2017
18/01/2017 25/05/2018 21/03/2017 22/03/2017 18/06/2018
18/01/2017 10/01/2017
05/10/2017 15/01/2018 08/06/2017 29/06/2017 16/11/2018 06/10/2017 05/07/2018 01/12/2017 02/07/2018
The accompanying notes are an integral part of these financial statements.
57
Goldman Sachs Funds II—Europe High Income Bond Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Currency
(a)
Coupon Rate
% of Shareholders’ Equity
(b)
Market Value EUR
18/09/2015 02/11/2018 04/06/2018
150,079 1,673,959 1,626,244
0.15 1.64 1.59
18,321,152
17.97
1,276,701 1,978,197 1,298,761 1,450,053
1.25 1.94 1.28 1.42
6,003,712
5.89
82,074,655
80.52
1,917,650
1.88
1,917,650
1.88
83,992,305
82.40
Maturity Date
Corporate Bonds – (continued) United Kingdom – 200,000 1,550,000 1,400,000
United States 1,500,000 2,550,000 1,500,000 1,700,000
(continued) Royal Bank of Scotland Group Plc. Tesco Plc. Vodafone Group Plc.
Constellation Brands, Inc. DR Horton, Inc. HCA, Inc. Sprint Communications, Inc.
USD EUR EUR
USD USD USD USD
2.550% 3.375% 5.000%
7.250% 4.750% 8.000% 8.375%
15/05/2017 15/05/2017 01/10/2018 15/08/2017
TOTAL CORPORATE BONDS (cost EUR 78,475,741)
Mutual Funds – 1.88% Ireland
1,917,650 Goldman Sachs Euro Liquid Reserves Fund (X Distribution Class)(d)(e) TOTAL MUTUAL FUNDS (cost EUR 1,917,650) TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING (cost EUR 80,393,391)
Transferable securities dealt in another regulated market Corporate Bonds – 4.79% Bermuda 1,600,000 Digicel Ltd. 144A(c)
USD
8.250%
01/09/2017
1,238,281
1.22
United States 1,600,000 CCO Holdings LLC 1,400,000 TransUnion LLC 1,500,000 Windstream Corp.
USD USD USD
7.250% 11.375% 7.875%
30/10/2017 15/06/2018 01/11/2017
1,245,634 1,129,820 1,262,914
1.22 1.11 1.24
3,638,368
3.57
4,876,649
4.79
TOTAL CORPORATE BONDS (cost EUR 4,983,025)
Non-Agencies Asset Backed Obligations – 12.90% Cayman Islands 79,745 Lightpoint CLO III Ltd. "A1A" 144A(c)(f) United States 1,018,275 1,339,819 1,240,622 1,099,043 816,093 966,769 1,218,342 644,830 942,152 916,177 934,944 257,465 930,981 988,866 1,563,814 717,602 1,002,806 299,584 1,654,835 432,462 1,000,928
American Home Mortgage Assets Trust "1A1"(f) American Home Mortgage Assets Trust "A1"(f) Bear Stearns Mortgage Funding Trust "1A1A"(f) Bear Stearns Mortgage Funding Trust ''2A1''(f) Countrywide Alternative Loan Trust "A1"(f) Countrywide Alternative Loan Trust ''A2''(f) Deutsche Alt-A Securities Mortgage Loan Trust "A1"(f) First Horizon Alternative Mortgage Securities Trust "A9" IndyMac INDA Mortgage Loan Trust "1A1"(f) IndyMac INDX Mortgage Loan Trust "A3A"(f) JP Morgan Alternative Loan Trust "2A1"(f) JP Morgan Mortgage Trust ''1A1''(f) RALI Trust "A1"(f) RALI Trust "A1"(f) Sequoia Mortgage Trust "2A1"(f) Structured Adjustable Rate Mortgage Loan Trust "6A1"(f) Structured Asset Mortgage Investments II Trust "A1A"(f) WaMu Mortgage Pass-Through Certificates Trust "1A"(f) WaMu Mortgage Pass-Through Certificates Trust "1A"(f) WaMu Mortgage Pass-Through Certificates Trust "2A"(f) Washington Mutual Alternative Mortgage Pass-Through Certificates Trust "1A10"(f)
USD
0.514%
15/09/2017
57,891
0.06
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1.113% 0.291% 0.336% 0.386% 1.643% 0.356% 0.316% 6.000% 2.802% 0.396% 2.664% 2.806% 0.326% 0.326% 2.481% 2.160% 0.376% 1.109% 1.024% 1.124%
25/10/2046 25/03/2047 25/06/2047 25/08/2036 25/09/2035 25/10/2046 25/03/2037 25/07/2036 25/11/2037 25/07/2046 25/03/2036 25/07/2035 25/02/2037 25/03/2047 20/02/2047 25/09/2035 25/08/2036 25/09/2046 25/10/2046 25/07/2046
564,932 747,439 733,818 583,805 522,436 596,974 534,883 417,017 635,565 497,583 507,656 190,810 534,285 553,750 972,203 473,373 550,131 186,846 973,126 261,312
0.55 0.73 0.72 0.57 0.51 0.59 0.53 0.41 0.62 0.49 0.50 0.19 0.52 0.54 0.95 0.47 0.54 0.18 0.96 0.26
USD
0.766%
25/03/2036
523,988
0.51
The accompanying notes are an integral part of these financial statements.
58
Goldman Sachs Funds II—Europe High Income Bond Portfolio Schedule of Investments As at 30 November 2013
Holdings
Security Description
Currency
(a)
Coupon Rate
(b)
Market Value EUR
734,929
Maturity Date
% of Shareholders’ Equity
Non-Agencies Asset Backed Obligations – (continued) United States – (continued) 1,379,987 Washington Mutual Alternative Mortgage Pass-Through Certificates Trust "A1A"(f) 1,535,200 Washington Mutual Alternative Mortgage Pass-Through Certificates Trust "A1A"(f)
USD
0.416%
25/02/2036
USD
0.913%
25/04/2047
0.72
797,543
0.78
13,094,404
12.84
TOTAL NON-AGENCIES ASSET BACKED OBLIGATIONS (cost EUR 11,113,528)
13,152,295
12.90
TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET (cost EUR 16,096,553)
18,028,944
17.69
102,021,249
100.09
MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES (cost EUR 96,489,944)
Forward Currency Contracts – (0.32%)
Currency
USD
Amount Bought
161,880
Currency
EUR
Amount Sold
Maturity Date
Unrealised Gain EUR
% of Shareholders' Equity
117,379
13/12/2013
1,656
0.00
1,656
0.00
Unrealised Loss EUR
% of Shareholders' Equity
UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS
Currency
EUR
Amount Bought
25,969,128
Currency
USD
Amount Sold
Maturity Date
35,755,776
13/12/2013
UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS MARKET VALUE OF INVESTMENTS (cost EUR 96,489,944) OTHER ASSETS AND LIABILITIES
(323,032)
(0.32)
(323,032)
(0.32)
101,699,873
99.77
233,708
0.23
SHAREHOLDERS' EQUITY
101,933,581
100.00
TOTAL INVESTMENTS
Market Value EUR
Total Investments excluding derivatives (cost EUR 96,489,944) Unrealised gain on forward currency contracts Unrealised loss on forward currency contracts Other Assets and Liabilities
102,021,249 1,656 (323,032) 233,708
100.09 0.00 (0.32) 0.23
Shareholders' Equity
101,933,581
100.00
% of Shareholders' Equity
Rates disclosed for Corporate Bonds and Non-Agencies Asset Backed Obligations are those that were in effect at 30 November 2013. The counterparties for forward currency contracts were JP Morgan Chase Bank NA and Merrill Lynch International. (a)
Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate which is based upon interest rates indices.
(b)
Maturity dates represent either the stated date on the security, or the next interest reset date for floating rate securities or the prerefunded date for those type of securities.
(c)
144A: This security is issued to qualified institutional investors, pursuant to private placements, and is transferable as stated in rule 144A of the US Securities Act of 1933.
(d)
A related party to Goldman Sachs Funds II.
(e)
The yield for this fund as at 30 November 2013 was 0.146%.
(f)
Variable and floating coupon rates are those quoted as of 30 November 2013.
The accompanying notes are an integral part of these financial statements.
59
Goldman Sachs Funds II Appendix I–Advisory Fee Rates, Expense Caps and Total Net Expense Ratios (Unaudited) As at 30 November 2013
Inception Date
Investment Advisory Fee Rate
Expense Cap(b)
Total Net Expense Ratio(a)
USD USD USD USD
30 April 2008 30 April 2008 13 December 2012 13 December 2012
— — — —
0.40% 0.40% 0.40% 0.40%
1.71% 1.72% 0.96% 0.96%
USD USD USD USD USD
31 January 2012 31 January 2012 13 December 2012 13 December 2012 08 January 2013
0.70% 0.70% — — —
1.20% 1.20% 0.50% 0.50% 0.46%
1.77% 1.77% 1.14% 1.14% 1.00%
EUR EUR EUR EUR
18 December 2009 18 December 2009 13 December 2012 13 December 2012
0.70% 0.70% — —
1.05% 1.05% 0.35% 0.35%
1.47% 1.46% 0.81% 0.80%
EUR USD USD USD USD USD USD
08 December 2008 07 March 2008 07 March 2008 14 November 2012 13 December 2012 13 December 2012 16 January 2013
0.70% 0.70% 0.70% 0.30% — — —
1.00% 1.00% 1.00% 0.56% 0.30% 0.30% 0.26%
1.43% 1.43% 1.43% 0.96% 0.74% 0.74% 0.66%
JPY JPY JPY JPY
28 May 2009 28 May 2009 13 December 2012 13 December 2012
0.70% 0.70% — —
1.05% 1.05% 0.35% 0.35%
1.66% 1.67% 0.95% 0.93%
USD USD USD USD
16 May 2008 16 May 2008 13 December 2012 13 December 2012
0.70% 0.70% — —
1.00% 1.00% 0.30% 0.30%
1.44% 1.44% 0.76% 0.77%
EUR EUR CHF USD GBP EUR USD EUR GBP USD EUR EUR GBP USD USD
24 March 2010 24 March 2010 02 March 2011 05 May 2011 24 March 2010 24 March 2010 24 March 2010 24 March 2010 24 March 2010 31 March 2010 12 December 2012 12 December 2012 12 December 2012 24 April 2013 06 March 2013
1.50% 1.50% 1.50% 1.50% 1.50% 1.25% 1.25% 1.25% 1.25% 1.25% 0.75% 0.75% 0.75% 0.75% —
1.90% 1.90% 1.90% 1.90% 1.90% 1.65% 1.65% 1.65% 1.65% 1.65% 1.15% 1.15% 1.15% 1.15% 0.36%
1.80% 1.81% 1.80% 1.85% 1.80% 1.55% 1.59% 1.55% 1.55% 1.60% 1.16% 1.09% 1.13% 1.13% 0.30%
USD USD GBP CHF EUR GBP USD USD EUR GBP USD USD EUR EUR GBP GBP CHF
30 December 2011 15 December 2011 31 January 2012 15 November 2011 31 October 2011 31 October 2011 31 October 2011 31 October 2011 31 October 2011 31 October 2011 17 December 2012 17 December 2012 15 January 2013 15 January 2013 15 January 2013 15 January 2013 15 January 2013
0.75% 0.00% 0.00% 0.75% 0.75% 0.75% 0.75% 0.75% 0.75% 0.75% 0.25% 0.25% 0.25% 0.25% 0.25% 0.25% 0.25%
0.96% 0.21% 0.21% 1.05% 1.05% 1.05% 1.05% 1.05% 1.05% 1.05% 0.55% 0.55% 0.55% 0.55% 0.55% 0.55% 0.55%
0.86% 0.11% 0.11% 0.92% 0.92% 0.92% 0.93% 0.92% 0.92% 0.92% 0.43% 0.45% 0.46% 0.44% 0.45% 0.44% 0.42%
Currency
Equity Portfolios Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class(c) “R” Accumulation Share Class(c) GMS Emerging Markets Equity Portfolio(d) “P” Accumulation Share Class “P” Share Class “R” Share Class(c) “R” Accumulation Share Class(c) “IO” Accumulation Share Class(c) GMS Europe Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class(c) “R” Accumulation Share Class(c) GMS Global Equity Portfolio “P” Accumulation Share Class “P” Accumulation Share Class “P” Share Class “I” Accumulation Share Class “R” Share Class(c) “R” Accumulation Share Class(c) “IO” Accumulation Share Class(c) GMS Japan Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class(c) “R” Accumulation Share Class(c) GMS US Equity Portfolio “P” Accumulation Share Class “P” Share Class “R” Share Class(c) “R” AccumulationShare Class(c)
Specialist Portfolio Dynamic Alternative Strategies Portfolio(d) Base Accumulation Share Class (Weekly) Base Currency Share Class (Weekly) Other Currency Accumulation Share Class (CHF Hedged Class) (Weekly) Other Currency Accumulation Share Class (USD Hedged Class) (Weekly) Other Currency Share Class (GBP Hedged Class) “P” Accumulation Share Class (Weekly) “P” Accumulation Share Class (USD Hedged Class) (Weekly) “P” Share Class (Weekly) “P” Share Class (GBP Hedged Class) (Weekly) “P” Share Class (USD Hedged Class) (Weekly) “R” Share Class (Weekly)(c) “R” Accumulation Share Class (Weekly)(c) “R” Share Class (GBP Hedged Class) (Weekly)(c) “R” Share Class (USD Hedged Class) (Weekly)(c) “IO” Accumulation Share Class (USD Hedged Class) (Weekly)(c)
Dedicated Portfolio Tactical Tilt Portfolio “I” Accumulation Share Class “IO” Accumulation Share Class “IO” Accumulation Share Class (GBP Hedged Class) “P” Accumulation Share Class (CHF Hedged Class) “P” Accumulation Share Class (EUR Hedged Class) “P” Accumulation Share Class (GBP Hedged Class) “P” Accumulation Share Class “P” Share Class “P” Share Class (EUR Hedged Class) “P” Share Class (GBP Hedged Class) “R” Share Class(c) “R” Accumulation Share Class(c) “R” Share Class (EUR Hedged Class)(c) “R” Accumulation Share Class (EUR Hedged Class)(c) “R” Share Class (GBP Hedged Class)(c) “R” Accumulation Share Class (GBP Hedged Class)(c) “R” Accumulation Share Class (CHF Hedged Class)(c)
60
Goldman Sachs Funds II Appendix I–Advisory Fee Rates, Expense Caps and Total Net Expense Ratios (Unaudited) As at 30 November 2013 (continued)
Currency
Inception Date
Investment Advisory Fee Rate
Expense Cap(b)
Total Net Expense Ratio(a)
26 March 2012
0.55%
0.85%
0.81%
Fixed Income Portfolio Europe High Income Bond Portfolio(d) Base Currency (S-Dis) Share Class (a)
EUR
The Total Expense Ratio ("TER") expresses the sum of all costs, commissions and performance fees (excluding dealing commissions and market costs) charged on an ongoing basis to the Portfolios' assets (operating net expenses) taken retrospectively as a percentage of the Portfolios' assets, and is calculated using the following formula: Total operating net expenses in CU* /Average portfolios' assets in CU* x 100 = TER %. The TER is calculated for the period from 1 December 2012 to 30 November 2013. TER's are annualised for Portfolios operating less than one year.
* CU = Currency units in the Portfolio' s base currency. (b) (c) (d)
The expense cap does not include the GSAMI fee portion paid to external Sub-Investment Advisors. Refer to Appendix II. The last tradable date in the period was 28 November 2013.
The above expense ratios are average throughout the year to 30 November 2013. The above Expense Caps represent the expense cap levels at the year ended 30 November 2013.
61
Goldman Sachs Funds II Appendix II–Portfolio and Share Class Launches, Closures and Mergers (Unaudited) As at 30 November 2013
During the year, the following share classes were launched:
Portfolios
Classes
Currency
Launch Date
Equity Portfolios
GMS Asia (ex-Japan) Equity Portfolio
“R” Accumulation Share Class
USD
13 December 2012
GMS Asia (ex-Japan) Equity Portfolio
“R” Share Class
USD
13 December 2012
GMS Emerging Markets Equity Portfolio
“IO” Accumulation Share Class
USD
8 January 2013
GMS Emerging Markets Equity Portfolio
“R” Accumulation Share Class
USD
13 December 2012
GMS Emerging Markets Equity Portfolio
“R” Share Class
USD
13 December 2012
GMS Europe Equity Portfolio
“R” Accumulation Share Class
EUR
13 December 2012
GMS Europe Equity Portfolio
“R” Share Class
EUR
13 December 2012
GMS Global Equity Portfolio
“IO” Accumulation Share Class
USD
16 January 2013
GMS Global Equity Portfolio
“R” Accumulation Share Class
USD
13 December 2012
GMS Global Equity Portfolio
“R” Share Class
USD
13 December 2012
GMS Japan Equity Portfolio
“R” Accumulation Share Class
JPY
13 December 2012
GMS Japan Equity Portfolio
“R” Share Class
JPY
13 December 2012
GMS US Equity Portfolio
“R” Accumulation Share Class
USD
13 December 2012
GMS US Equity Portfolio
“R” Share Class
USD
13 December 2012
Dynamic Alternative Strategies Portfolio
“R” Share Class (USD Hedged Class) (Weekly)
USD
24 April 2013
Dynamic Alternative Strategies Portfolio
“IO” Accumulation Share Class (USD Hedged Class) (Weekly)
USD
6 March 2013
Dynamic Alternative Strategies Portfolio
“R” Accumulation Share Class (Weekly)
EUR
12 December 2012
Dynamic Alternative Strategies Portfolio
“R” Share Class (Weekly)
EUR
12 December 2012
Dynamic Alternative Strategies Portfolio
“R” Share Class (GBP Hedged Class) (Weekly)
GBP
12 December 2012
Tactical Tilt Portfolio
“R” Accumulation Share Class (CHF Hedged Class)
CHF
15 January 2013
Tactical Tilt Portfolio
“R” Accumulation Share Class (EUR Hedged Class)
EUR
15 January 2013
Tactical Tilt Portfolio
“R” Share Class (EUR Hedged Class)
EUR
15 January 2013
Tactical Tilt Portfolio
“R” Accumulation Share Class (GBP Hedged Class)
GBP
15 January 2013
Tactical Tilt Portfolio
“R” Share Class (GBP Hedged Class)
GBP
15 January 2013
Tactical Tilt Portfolio
“R” Accumulation Share Class
USD
17 December 2012
Tactical Tilt Portfolio
“R” Share Class
USD
17 December 2012
Specialist Portfolio
Dedicated Portfolios
62
Goldman Sachs Funds II Appendix III–Shareholder Concentration (Unaudited) As at 30 November 2013
The following table sets forth details of shareholders with holdings greater than 10% of the Portfolios’ net assets as at 30 November 2013: % of Shareholders’ Equity
Investor / Distributor
GMS Asia (ex-Japan) Equity Portfolio Shareholder 1 Shareholder 2 Other Shareholders Total
59.62% 24.55% 15.83% 100.00%
Distributor Distributor
GMS Emerging Markets Equity Portfolio Shareholder 1 Shareholder 21 Other Shareholders Total
16.72% 10.25% 73.03% 100.00%
Investor Distributor
GMS Europe Equity Portfolio Shareholder 11 Other Shareholders Total
15.18% 84.82% 100.00%
Distributor
GMS Global Equity Portfolio Shareholder 11 Shareholder 2 Other Shareholders Total
21.86% 10.54% 67.60% 100.00%
Distributor Investor
GMS Japan Equity Portfolio Shareholder 1 Shareholder 21 Shareholder 3 Other Shareholders Total
57.66% 15.48% 14.79% 12.07% 100.00%
Distributor Distributor Distributor
GMS US Equity Portfolio Shareholder 11 Other Shareholders Total
10.52% 89.48% 100.00%
Distributor
Dynamic Alternative Strategies Portfolio Shareholder 1 Shareholder 2 Other Shareholders Total
56.57% 35.59% 7.84% 100.00%
Distributor Distributor
Europe High Income Bond Portfolio Shareholder 1 Shareholder 2 Other Shareholders Total
89.27% 10.69% 0.04% 100.00%
Distributor Distributor
Portfolios
There were no shareholder concentrations greater than 10% for Tactical Tilt Portfolio as at 30 November 2013. 1
A related party to Goldman Sachs Funds II.
63
Goldman Sachs Funds II Appendix IV–Calculation Method Used for Global Exposure (Unaudited) For the Year Ended 30 November 2013
The Undertakings for Collective Investment in Transferable Securities (“UCITS”) IV directive requires disclosure of how global exposure on financial derivatives investments are managed. There are three management approaches used: 1. The Commitment Approach. This approach is generally for those Portfolios that hold less complex positions on financial derivatives investments and for the purposes of hedging or efficient portfolio management. 2.
Relative Value at Risk ("relative VaR") approach. This approach is generally for those Portfolios where it is possible to identify an appropriate reference benchmark. This method compares the global exposure of the Portfolio relative to that of a reference benchmark.
3.
Absolute Value at Risk ("absolute VaR") approach. This approach is generally for those Portfolios for which it is not appropriate or possible to determine a reference benchmark (for example, an absolute return portfolio).
The following sections indicate which approach is used for the Portfolios. For Portfolios managed under a VaR approach, additional information is provided on the VaR model, being the VaR reference Portfolio / Benchmark, the regulatory VaR limit usage and the level of leverage reached. I. Commitment Approach
The following Portfolios use the commitment approach for calculating global exposure: Global Manager Strategies Portfolios
GMS Asia (ex-Japan) Equity Portfolio GMS Emerging Markets Equity Portfolio GMS Europe Equity Portfolio GMS Global Equity Portfolio GMS Japan Equity Portfolio GMS US Equity Portfolio Specialist Portfolios
Dynamic Alternative Strategies Portfolio
I I . Va R A p p r o a c h
The following Portfolios use a VaR approach for calculating global exposure: Regulatory VaR limit utilisation
Portfolios
VaR approach
Reference Portfolio / Benchmark
Maximum Limit
Lowest
Highest
Average
Absolute VaR
20%
2%
4%
4%
3-month LIBOR (USD)
Absolute VaR
20%
1%
2%
1%
3m EURIBOR
Confidence Interval
Holding period
Observation period
Simulation Based VaR using two-day historical bootstrapping
99%
1 month
5 years
55%
Monte Carlo Simulation
99%
1 month
1 year
30%
Model
Leverage1
Specialist Portfolios Tactical Tilt Portfolio
Fixed Income Portfolios Europe High Income Bond Portfolio 1
The sum of notionals approach for financial derivative instruments is used to determine the maximum expected Portfolio leverage.
This calculation incorporates the Portfolios financial derivative instruments, the reinvestment of collateral received (in cash) in relation to operations of efficient portfolio management and any use of collateral in the context of any other operation of efficient portfolio management, e.g. securities lending.
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Goldman Sachs Funds II Additional Information
This document has been issued by Goldman Sachs International, authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. This material is provided at your request for informational purposes only and does not constitute a solicitation in any jurisdiction in which such a solicitation is unlawful or to any person to whom it is unlawful. It only contains selected information with regards to the fund and does not constitute an offer to buy shares in the fund. Prior to an investment, prospective investors should carefully read the latest Key Investor Information Document (KIID) as well as the offering documentation, including but not limited to the fund’s prospectus which contains inter alia a comprehensive disclosure of applicable risks. The relevant articles of association, prospectus, supplement, KIID and latest annual/semi-annual report are available free of charge from the fund’s paying and information agent and/or from your financial adviser. Shares of the fund may not be registered for public distribution in a number of jurisdictions (including but not limited to any Latin American, African or Asian countries). Therefore, the shares of the fund must not be marketed or offered in or to residents of any such jurisdictions unless such marketing or offering is made in compliance with applicable exemptions for the private placement of collective investment schemes and other applicable jurisdictional rules and regulations. Financial advisers generally suggest a diversified portfolio of investments. The fund described herein does not represent a diversified investment by itself. An investor should only invest if he/she has the necessary financial resources to bear a complete loss of this investment. This material must not be construed as investment or tax advice. Prospective investors should consult their financial and tax adviser before investing in order to determine whether an investment would be suitable for them. Past performance does not guarantee future results, which may vary. The value of investments and the income derived from investments will fluctuate and can go down as well as up. A loss of principal may occur. Index Benchmarks Indices are unmanaged. The figures for the index reflect the reinvestment of all income or dividends, as applicable, but do not reflect the deduction of any fees or expenses which would reduce returns. Investors cannot invest directly in indices. The indices referenced herein have been selected because they are well known, easily recognized by investors, and reflect those indices that the Investment Manager believes, in part based on industry practice, provide a suitable benchmark against which to evaluate the investment or broader market described herein. The exclusion of “failed” or closed hedge funds may mean that each index overstates the performance of hedge funds generally. References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark. Confidentiality No part of this material may, without GSAM’s prior written consent, be (i) copied, photocopied or duplicated in any form, by any means, or (ii) distributed to any person that is not an employee, officer, director, or authorized agent of the recipient.
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Goldman Sachs Funds II Additional Information
This material is not financial research and was not prepared by the Goldman Sachs Global Investment Research. It was not prepared in compliance with applicable provisions of law designed to promote the independence of financial analysis and is not subject to a prohibition on trading following the distribution of financial research. The views and opinions expressed herein are valid as of the date of this publication only and may differ from the views and opinions expressed by the Global Investment Research or other departments or divisions of Goldman Sachs and its affiliates. Goldman Sachs International has no obligation to provide any updates. © 2014 Goldman Sachs. All rights reserved.
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