Goldman Sachs Funds II SICAV Annual Report Audited Financial Statements
1112
Goldman Sachs Funds II, SICAV 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
32
GOLDMAN SACHS FUNDS II—EQUITY PORTFOLIOS Goldman Sachs Funds II—Global Manager Strategies Portfolios Goldman Sachs Funds II—GMS Asia (ex-Japan) Equity Portfolio
32
Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio
35
Goldman Sachs Funds II—GMS Europe Equity Portfolio
38
Goldman Sachs Funds II—GMS Global Equity Portfolio
41
Goldman Sachs Funds II—GMS Japan Equity Portfolio
47
Goldman Sachs Funds II—GMS US Equity Portfolio
49
GOLDMAN SACHS FUNDS II—SPECIALIST PORTFOLIOS Goldman Sachs Funds II—Dynamic Alternative Strategies Portfolio
52
GOLDMAN SACHS FUNDS II—DEDICATED PORTFOLIOS Goldman Sachs Funds II—Tactical Tilt Portfolio
53
GOLDMAN SACHS FUNDS II—FIXED INCOME PORTFOLIOS Goldman Sachs Funds II—Europe High Income Bond Portfolio
56
Appendix I—Advisory Fee Rates, Expense Caps and Total Net Expense Ratios
59
Appendix II—Portfolio and Share Class Launches, Closures and Mergers
60
Appendix III—Shareholder Concentration
61
Appendix IV—Disclosure of Transaction Costs
62
Appendix V—Calculation Method Used for Global Exposure
63
Additional Information
64
Goldman Sachs Funds II, SICAV Directors and Other Information
GOLDMAN SACHS FUNDS II, SICAV 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 David Shubotham (Irish)1,3 Alan Shuch (US)2 Theodore Sotir (UK/US)2
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
Sub-Advisers4: Goldman Sachs Asset Management, L.P.2 200 West Street 10282 New York USA Goldman Sachs (Singapore) Pte.2 50 Raffles Place #29-01 Shell Tower Singapore 048623 Goldman Sachs Asset Management Co., Ltd.2 Roppongi Hills Mori Tower 10-1, Roppongi 6-chome Minato-Ku, Tokyo 106-6144, Japan
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 Asset Management Brasil LTDA2 Av. Presidente Juscelino Kubitschek 510 – 7 ander Sao Paulo, SP Brazil 04543-000
Paying and Information Agent in Belgium 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
Goldman Sachs International2 Peterborough Court 133 Fleet Street London EC4A 2BB United Kingdom
Société Générale Securities Services S.p.A. Maciachini Center MAC 2 Via Benigno Crespi, 19/A 20159 Milan, Italy
Goldman Sachs Hedge Fund Strategies LLC2 One New York Plaza 10004 New York USA
Global Transaction Services SEB Merchant Banking Sergels Torg 2 SE-10640 Stockholm, Sweden
Legal Advisers to the Fund and the Investment Adviser Arendt & Medernach 14, rue Erasme L-2082 Luxembourg Grand Duchy of Luxembourg
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
Paying Agent in Sweden
Paying Agent in Switzerland 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.
Shareholder Services Agent European Shareholder Services Goldman Sachs International2 Peterborough Court 133 Fleet Street London, EC4A 2BB United Kingdom
Paying and Information Agent in Austria Raiffeisen Bank International AG Am Stadtpark 9 1030 Vienna, Austria
________________________________________________________________________________________________________ 1
Independent Directors A related party to Goldman Sachs Funds II, SICAV. 3 David Shubotham resigned as a member of the Board of Directors of Goldman Sachs Funds II, SICAV as of 14 September 2012 and has not been replaced. 4 Refer to Note 6 for non-affiliated Sub-Advisers. 2
1
Goldman Sachs Funds II, SICAV Investment Advisor’s Report
Dear Shareholders: Enclosed is the report for the year ended 30 November 2012. A. Market Review Global economic growth was mixed during the 12 months ended 30 November 2012. After a strong start to the fiscal year, the U.S. economy decelerated in the first and second quarters of 2012, before appearing to gain some traction in the third quarter of the year. Looking back, gross domestic product (“GDP”) growth in the U.S. was 4.1% during the fourth quarter of 2011. The U.S. Commerce Department then reported that first and second quarter 2012 GDP growth was 2.0% and 1.3%, respectively, and then moved to 3.1% in the third quarter. Growth in many other developed countries was less robust and, in some cases, fell back into recession. In October, the International Monetary Fund (“IMF”) stated that “risks for a serious global slowdown are alarmingly high.” Against this backdrop, the IMF projected that global growth would moderate from 3.8% in 2011 to 3.3% in 2012. From a regional perspective, the IMF anticipates 2012 growth in the Eurozone will contract 0.4%. While growth in emerging market countries is expected to remain higher than in their developed country counterparts, the IMF projects that emerging market growth will fall from 6.2% in 2011 to 5.3% in 2012. Despite a host of macro issues that negatively impacted investor sentiment at times, the global equity markets produced strong results during the reporting period. The U.S. stock market (as measured by the S&P 500 Index) rose during 9 of the 12 months covered by this report. Supporting U.S. equities was generally solid corporate profits and overall solid demand. All told, the U.S. stock market gained 15.36% during the 12 months ended 30 November 2012. International developed equities also generated impressive results, especially in light of the ongoing European sovereign debt crisis and signs of slowing global growth. During the period, the MSCI EAFE Index returned 12.61%. Emerging market equities produced less robust returns given concerns over China's ability to orchestrate a soft landing for its economy. Nevertheless, the MSCI Emerging Markets Index returned 11.35% during the reporting period.
Past performance is not indicative of future results, which may vary.
2
Goldman Sachs Funds II, SICAV Investment Advisor’s Report
B. Performance Overview1 Average Annualised Net Return
Currency
Launch Date
1-Year (%)
3-Years (%)
Since Inception (%)
(2.84) 0.84
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
11.88 19.34
2.01 6.98
GMS Emerging Markets Equity Portfolio (“P” Share Class) MSCI EM Index
EUR EUR
31-Jan-12 31-Jan-12
— —
— —
(2.30)2 1.232
GMS Europe Equity Portfolio (“P” Share Class) MSCI Europe Index—EUR
EUR EUR
18-Dec-09 18-Dec-09
20.18 18.07
— —
6.54 6.91
GMS Global Equity Portfolio (“P” Share Class) MSCI World Index—USD
USD USD
7-Mar-08 7-Mar-08
9.70 13.62
5.24 6.90
(2.59) 0.51
GMS Japan Equity Portfolio (“P” Share Class) Topix
JPY JPY
27-May-09 27-May-09
4.30 9.87
(1.24) (0.23)
(2.38) (1.72)
GMS US Equity Portfolio (“P” Share Class) S&P 500 Index Net—USD
USD USD
16-May-08 16-May-08
13.71 15.36
7.42 10.54
(0.85) 1.43
EUR EUR
26-Mar-12 26-Mar-12
— —
— —
6.942 0.312
EUR EUR
24-Mar-10 24-Mar-10
4.07 0.61
— —
(0.42) 0.92
USD USD
31-Oct-11 31-Oct-11
12.37 0.46
— —
8.75 0.46
Goldman Sachs Funds II—Fixed Income Portfolios Europe High Income Bond Portfolio (Base Share Class) 3 Months EURIBOR
Goldman Sachs Funds II—Specialist Portfolios Dynamic Alternative Strategies Portfolio (Base Share Class Weekly) 3 Months Euro LIBOR
Goldman Sachs Funds II—Dedicated Portfolios Tatical Tilt Portfolio (“P” Share Class) 3 Months USD LIBOR
Goldman Sachs Asset Management International3 20 December 2012
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 is not indicative of future results. Returns are net of expenses and inclusive of dividends, where applicable.
2
Cumulative net returns.
3
This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions. It may also refer to specific securities which pertains to past performance or is the basis for previously made discretionary investment decisions. This information should not be construed as research or investment advice, or recommendation to buy or sell investments in the strategy or any other investments mentioned in this report or to follow any investment strategy. Please see Additional Information section on page 63.
Past performance is not indicative of future results, which may vary.
3
Audit report To the Shareholders of Goldman Sachs Funds II
We have audited the accompanying financial statements of Goldman Sachs Funds II (the “SICAV”) and of each of its sub-funds, which comprise the Statement of Assets and Liabilities and the Schedule of Investments as of 30 November 2012 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. Responsibility of the Board of Directors of the SICAV for the financial 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 error. Responsibility of the “Réviseur d’entreprises agréé” Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier”. Those standards require that we comply with ethical requirements and 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 “Réviseur d’entreprises agréé”, 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 “Réviseur d’entreprises agréé” considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. 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, Société coopérative, 400 Route d’Esch, B.P. 1443, L-1014 Luxembourg T: +352 494848 1, F: +352 494848 2900, www.pwc.lu Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518
4
Opinion In our opinion, the financial statements give a true and fair view of the financial position of Goldman Sachs Funds II and of each of its sub-funds as of 30 November 2012, and of the results 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 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. Supplementary report under generally accepted auditing standards in the United States of America In addition, we have performed an audit of the financial statements of Goldman Sachs Funds II and of each of its sub-funds in accordance with generally accepted auditing standards in the United States of America and we hereby report in accordance with such standards. 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 30 November 2012, and of the results of their operations and changes in their net assets for the year then ended in conformity with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. PricewaterhouseCoopers, Société coopérative Represented by
Luxembourg, 12 March 2013
John Parkhouse
5
Goldman Sachs Funds II, SICAV Statement of Assets and Liabilities As at 30 November 2012
Equity Portfolios
Notes
Assets Investments, at value, excluding derivatives Unrealised gain on forward currency contracts Unrealised gain on 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 Other assets
Total Liabilities Shareholders’ Equity
(a) (b) (c)
Dedicated Portfolio
GMS Europe Equity Portfolio EUR
GMS Global Equity Portfolio USD
GMS Japan Equity Portfolio(b) JPY
GMS US Equity Portfolio USD
Dynamic Alternative Strategies Portfolio(c) EUR
Tactical Tilt Portfolio USD
Fixed Income Portfolio Europe High Income Bond Portfolio(a) EUR
Combined Total Year Ended 30 November 2012 USD
3(c) 3(c)
54,894,921 —
147,096,242 —
169,627,019 —
293,062,920 373,414
1,477,292 —
198,964,718 —
111,753,411 —
639,105,240 —
11 3(c) 3(c)
— — — — — 1,011,461 107,419 — — 5,677 — — — 4,706
— — — — — 5,008,437 — 133,652 189,060 88,586 — — — 7,242
— — — — — 1,339,880 — 1,000,944 67,800 379,390 — — 82,691 8,566
— — — — — 6,137,650 — 426,183 131,649 873,051 — — 93,989 14,638
— — — — — 10,516 — 584 — 9,981 — — — 346
— — — — — 2,216,282 — 4,179,423 111,499 476,520 — — — 11,314
1,427,675 — — — — 1,031,953 1,784,335 — — 568 — — — 15,036
1,844,364 9,582,737 90,208 39,955 1,259,460 5,694,803 9,137,391 — — 19,134 1,124 467,000 — 20,392
56,024,184
152,523,219
172,506,290
301,113,494
1,498,719
205,959,756
116,012,978
667,261,808
— — —
1,249 — —
36,807 — —
— — 142,678
— — —
— — —
21 — —
26,836 1,023,547 —
— — —
75,949 1,023,547 142,678
— — — — 6,336 7,044 — 167,237 24,212 2,542 10,574 13,345 15,038 3,676 1,073 268 413 —
— — — — 1,050,719 14,430 — 596,232 25,198 3,650 30,371 — 23,233 9,835 3,234 667 5,865 —
— — — — 873,072 71,332 — 596,488 23,340 3,655 34,222 — 11,624 11,138 3,377 1,883 7,760 —
— — — — 153,343 — — 907,058 43,545 4,216 56,149 — 15,038 18,812 6,049 1,491 7,161 —
— — — — 689 — — 1,976 1,524 178 303 — 1,198 94 36 11 — —
— — — — 2,280,035 33,221 — 859,056 22,747 4,249 39,700 — 15,039 13,508 4,487 2,657 9,043 —
1,231,103 — — — — 68,086 — 185,083 16,155 7,596 3,832 — 17,929 7,334 2,484 477 — —
991,731 65,729 93,720 35,986 1,016,416 — — 662,071 38,041 13,160 91,957 — 27,178 39,441 4,035 3,333 6,063 165
— — — — — 122,624 1,835,007 115,623 9,528 700 26,702 — 9,748 8,409 3,333 1,804 — —
2,591,734 65,729 93,720 35,986 5,649,887 395,258 2,384,867 4,381,639 235,925 45,506 316,583 13,345 161,122 121,347 31,263 13,961 38,630 165
330 37,896
5,658 18,911
— 13,366
138,370 32,991
699 1,366
136,796 17,305
— 31,402
— 31,232
— 10,337
289,625 226,507
2,143,815
18,334,973
3(c) 3(d) 3(e)
3(b)
5
Total Assets Liabilities Bank overdraft Due to Brokers Unrealised loss on forward currency contracts Unrealised loss on share class specific forward currency contracts Unrealised loss on swap contracts Upfront payments received on swap transactions Market value of written options Payable for investments purchased Payable for shares redeemed Distributions payable Investment Adviser fee payable Administration and Custody fees payable Transfer Agent fee payable Taxe d’abonnement payable Capital gains tax payable Audit fee payable Shareholder Services fees payable Directors fees payable Insurance fees payable Printing fees payable Publishing fees payable Payable for Withholding Tax on Dividend and Interest Income Other liabilities
GMS Asia GMS (ex-Japan) Emerging Equity Markets Equity Portfolio Portfolio(a) USD USD
Specialist Portfolio
3(e) 3(c) 11 3(c) 3(c)
6 6 6 5
6
289,984
1,789,252
1,688,064
1,526,901
8,074
3,437,843
1,571,502
4,170,641
55,734,200
150,733,967
170,818,226
299,586,593
1,490,645
202,521,913
114,441,476
663,091,167
120,806,495 1,873,729,542 636,801 1,201,032 — — — — — 1,901,630 — — — 48 2,345,758 — — 14,975
3,699,842 9,582,737 90,208 39,955 1,259,460 25,750,082 11,563,821 6,047,212 520,324 2,077,803 3,049,788 467,000 201,458 112,622
125,705,707 1,939,392,886
123,561,892 1,921,057,913
Refer to Appendix II. Expressed in ‘000. Statement of Assets and Liabilities as at 28 November 2012, 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 2012.
The accompanying notes are an integral part of these financial statements.
6
Goldman Sachs Funds II, SICAV Statement of Operations For the Year Ended 30 November 2012
Equity Portfolios
Notes
Income Dividend Income Interest Income excluding swap contracts Interest Income on swap contracts Net (amortisation)/ Net accretion
Dedicated Portfolio
GMS Europe Equity Portfolio EUR
GMS Global Equity Portfolio USD
GMS Japan Equity Portfolio(b) JPY
GMS US Equity Portfolio USD
Dynamic Alternative Strategies Portfolio(c) EUR
Tactical Tilt Portfolio USD
Fixed Income Portfolio Europe High Income Bond Portfolio(a) EUR
Combined Total Year Ended 30 November 2012 USD
1,517,138 — — —
3,044,990 39,315 — —
5,071,224 747 — —
6,919,681 4,307 — —
36,750 — — —
2,995,660 — — —
25,319 — — —
2,501,986 250,298 3,271,456 230,126
8,780 3,641,637 — (691,934)
24,004,466 4,975,384 3,271,456 (659,199)
1,517,138
3,084,305
5,071,971
6,923,988
36,750
2,995,660
25,319
6,253,866
2,958,483
31,592,107
1,207 724,796 146,958 6,980 26,309 14,602 20,908 2,551 79,520 985 4,387 486 98,076
834 1,668,705 143,581 12,241 63,823 23,233 45,898 3,234 20,876 666 14,876 259 25,879
1,619 1,836,585 138,119 10,072 78,479 11,730 61,793 8,256 97,504 8,438 25,326 387 24,027
901 3,405,669 266,587 11,750 140,705 14,602 112,296 13,874 148,822 3,934 23,471 880 66,847
248 19,180 8,077 472 736 1,229 599 82 5,410 35 195 44 2,405
1,971 2,508,305 125,690 11,041 99,180 14,602 79,548 10,735 128,512 12,651 28,917 486 29,871
6,474 1,393,229 109,419 19,408 9,419 18,210 44,158 6,208 100,557 1,502 7,850 1,938 59,502
20,993 3,086,236 187,849 34,479 179,451 26,182 164,165 7,900 136,825 3,292 21,514 1,162 63,779
33 482,189 41,091 1,317 58,932 9,748 35,068 3,333 9,933 1,804 4,750 129 28,152
39,476 16,406,436 1,343,451 122,024 707,463 159,724 611,614 62,202 850,083 37,063 144,368 6,982 458,310
1,127,765
2,024,105
2,302,335
4,210,338
38,712
3,051,509
1,777,874
3,933,827
676,479
20,949,196
215,397
—
26,129
24,095
14,602
21,163
46,492
73,144
—
611,209
Total expenses Withholding tax on dividends and other investment income
912,368
2,024,105
2,276,206
4,186,243
24,110
3,030,346
1,731,382
3,860,683
676,479
20,337,987
158,547
293,802
687,055
1,297,987
2,572
857,479
4,097
188,965
11,550
3,732,368
Net income/(expense) for the Year/Period
446,223
766,398
2,108,710
1,439,758
10,068
(892,165)
(1,710,160)
2,204,218
2,270,454
7,521,752
Net realised gain/(loss) on investment securities Net realised gain/(loss) on futures transactions Net realised gain/(loss) on foreign currencies and forward currency contracts Net realised gain/(loss) on swap contracts Net realised gain/(loss) on options contracts
(200,211) 46,133
(2,519,480) —
5,295,617 —
7,023,416 —
(70,009) —
9,851,439 —
(1,299,140) —
317,766 13,621,112
647,008 —
19,558,554 13,667,246
(785,506) — —
(2,911,050) — —
3,068,930 — —
(829,183) — —
— — —
(12) — —
5,830,366 — —
(4,668,926) 6,009,690 (1,405,915)
(645,697) — —
1,413,465 6,009,690 (1,405,915)
Net realised gain/(loss)
(939,584)
(5,430,530)
8,364,547
6,194,233
(70,009)
9,851,427
4,531,226
13,873,727
1,311
39,243,040
6,022,920
1,323,643
17,899,858
17,082,631
122,950
16,320,498
7,118,392
17,905,585
5,755,892
99,758,403
—
—
—
—
—
—
—
10,433,781
—
10,433,781
(760)
8,252
12,095
65,141
—
—
(1,081,312)
2,171,847
628,992
1,678,670
—
—
—
—
—
—
—
361,873
—
361,873
Expenses Bank overdraft interest expense Investment Adviser fee 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
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 and forward currency contracts Net change in unrealised gain/(loss) on swap contracts Net change in unrealised gain/(loss) on options contracts
3(b) 3(b)
GMS Asia GMS (ex-Japan) Emerging Equity Markets Equity Portfolio Portfolio(a) USD USD
Specialist Portfolio
6 6 6 5 6
6
—
—
—
—
—
—
—
(2,843,769)
—
(2,843,769)
Net change in unrealised gain/(loss)
6,022,160
1,331,895
17,911,953
17,147,772
122,950
16,320,498
6,037,080
28,029,317
6,384,884
109,388,958
Net investment income gain/(loss)
5,528,799
(3,332,237)
28,385,210
24,781,763
63,009
25,279,760
8,858,146
44,107,262
8,656,649
156,153,750
(a) (b) (c)
Refer to Appendix II. Expressed in ‘000. Shareholders’ Equity is stated as at 28 November 2012, 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, SICAV Statement of Changes in Shareholders’ Equity For the Year Ended 30 November 2012
Equity Portfolios
Notes
Shareholders’ equity at the start of the Year/Period Reinvestment from distributions Proceeds from shares issued Payments for shares redeemed Net investment income gain/(loss) for the Year/Period Distributions Currency adjustments Shareholders’ equity at 30 November 2012
(a) (b) (c)
7 7
16
GMS Asia GMS (ex-Japan) Emerging Equity Markets Equity Portfolio Portfolio(a) USD USD
GMS Europe Equity Portfolio EUR
GMS Global Equity Portfolio USD
Specialist Portfolio
GMS Japan Equity Portfolio(b) JPY
GMS US Equity Portfolio USD
Dynamic Alternative Strategies Portfolio(c) EUR
Dedicated Portfolio
Tactical Tilt Portfolio USD
Fixed Income Portfolio Europe High Income Bond Portfolio(a) EUR
Combined Total Period Ended 30 November 2012 USD
47,736,367 — 144,324,177 266,292,009 509 — 93,658 29,920 13,664,648 176,514,052 37,471,642 61,157,861 (11,165,190) (22,447,848) (38,857,845) (52,311,345) 5,528,799 (3,332,237) 28,385,210 24,781,763 (30,933) — (598,616) (363,615) — — — —
1,654,618 198,522,206 115,973,720 107,698,269 — 993,402,765 32 — — 5,389 — 156,598 155,328 41,433,229 29,231,470 533,659,894 129,434,340 1,080,478,243 (378,628) (62,713,282) (39,621,860) (22,371,651) (12,270,521) (292,421,247) 63,009 25,279,760 8,858,146 44,107,262 8,656,649 156,153,750 (3,714) — — (7,996) (2,258,576) (4,121,639) — — — — — (12,590,557)
55,734,200
1,490,645
150,733,967
170,818,226
299,586,593
202,521,913
114,441,476
663,091,167
123,561,892 1,921,057,913
Refer to Appendix II. Expressed in ‘000. Shareholders’ Equity is stated as at 28 November 2012, the last tradable date in the year.
The accompanying notes are an integral part of these financial statements.
8
Goldman Sachs Funds II, SICAV Statistical Information As at 30 November 2012
Currency
Outstanding Shares as at 30-Nov-12
30-Nov-12
30-Nov-11
30-Nov-10
Max. public offering price per share as at 30-Nov-12
Net Asset Value per Share as at
Net Asset as at
30-Nov-12 30-Nov-11 30-Nov-10
Equity Portfolios Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio “P” Accumulation Share Class “P” Share Class GMS Emerging Markets Equity Portfolio “P” Accumulation Share Class(a) “P” Share Class(a) GMS Europe Equity Portfolio “P” Accumulation Share Class “P” Share Class GMS Global Equity Portfolio “I” Accumulation Share Class(b) “I” Accumulation Share Class(b) “P” Accumulation Share Class “P” Accumulation Share Class “P” Share Class GMS Japan Equity Portfolio “P” Accumulation Share Class “P” Share Class GMS US Equity Portfolio “P” Accumulation Share Class “P” Share Class
USD USD
4,058,501 2,336,848
8.76 8.63
7.83 7.73
9.32 9.21
35,563,776 20,170,423
32,323,388 15,412,979
42,446,440 15,467,442
9.24 9.10
USD USD
10,986,469 4,439,102
9.77 9.77
— —
— —
107,351,590 43,382,377
— —
— —
10.31 10.31
EUR EUR
9,707,245 4,536,158
12.06 11.84
10.04 9.99
10.71 10.71
117,095,773 53,722,453
99,677,891 44,646,286
75,797,536 34,985,392
12.72 12.49
USD USD EUR USD USD
— 1,198,000 3,052,463 18,243,232 7,229,624
— 10.31 15.88 8.84 8.71
8.45 — 13.98 8.05 7.98
8.41 — 14.46 8.05 7.99
— 2,716,483 6,189,163 12,349,304 — — 48,482,246 31,057,436 31,521,712 161,226,213 147,905,233 175,584,763 63,001,129 73,862,324 69,777,150
— 10.31 16.75 9.33 9.19
JPY JPY
88,966 73,902
9,188.07 8,810.38 10,109.06 9,109.58 8,784.31 10,108.78
817,428,436 988,712,709 892,087,661 673,216,113 665,905,222 943,107,325
9,693.41 9,610.61
USD USD
12,270,416 8,766,961
9.63 9.62
8.47 8.46
8.44 8.44
118,145,958 125,047,177 122,468,451 84,375,955 73,475,029 65,423,851
10.16 10.15
EUR EUR
37,559 7,850
98.57 98.58
95.00 95.00
98.94 98.94
3,702,354 773,876
8,409,216 161,492
98,944 98,944
103.99 104.00
CHF
6,806
96.88
94.01
—
659,356
7,565,682
—
102.21
USD
8,521
97.82
93.77
—
833,441
2,873,793
—
103.20
GBP EUR
2,315 220,446
98.70 99.23
94.64 95.40
98.96 99.13
228,483 21,874,516
370,042 21,991,564
98,965 27,892,133
104.13 104.69
USD EUR GBP USD
169,925 53,160 456,216 158,521
98.94 99.25 99.35 98.85
94.54 95.41 95.05 94.50
98.97 99.17 99.16 98.76
16,812,556 5,276,153 45,325,781 15,669,190
17,719,694 4,126,912 43,556,413 11,427,664
29,840,999 6,943,404 34,125,229 6,046,127
104.38 104.71 104.81 104.29
USD USD GBP CHF EUR GBP USD USD EUR GBP
100,000 314,212 60,000 64,977 1,118,540 326,509 1,656,080 490,127 150,667 722,851
111.03 113.84 107.48 110.63 108.77 109.37 109.57 109.54 108.73 109.35
— — — 99.28 97.51 97.50 97.50 97.50 97.52 97.51
— — — — — — — — — —
11,102,527 35,770,041 6,448,943 7,188,184 121,665,221 35,709,210 181,462,393 53,686,670 16,381,871 79,044,371
— — — 3,132,264 13,895,904 8,665,925 17,790,630 15,568,048 6,089,199 19,306,603
— — — — — — — — — —
111.03 113.84 107.48 116.71 114.75 115.39 115.60 115.56 114.71 115.36
EUR
1,176,390
105.03
—
—
123,561,892
—
—
110.81
Specialist Portfolios Dynamic Alternative Strategies Portfolio Base Accumulation Share Class (Weekly)(c) Base Currency Share Class (Weekly)(c) Other Currency Accumulation Share Class (CHF Hedged Class) (Weekly)(c) Other Currency Accumulation Share Class (USD Hedged Class) (Weekly)(c) Other Currency Share Class (GBP Hedged Class) (Weekly)(c) “P” Accumulation Share Class (Weekly)(c) “P” Accumulation Share Class (USD Hedged Class) (Weekly)(c) “P” Share Class (Weekly)(c) “P” Share Class (GBP Hedged Class) (Weekly)(c) “P” Share Class (USD Hedged Class) (Weekly)(c)
Dedicated Portfolios Tactical Tilt Portfolio “I” Accumulation Share Class(a) “IO” Accumulation Share Class(a) “IO” Accumulation Share Class (GBP Hedged Class)(a) “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)
Fixed Income Portfolios Europe High Income Bond Portfolio Base Currency (S-Dis) Share Class(a) (a) (b) (c)
Refer to Appendix II. Share class closed and relaunched during the year. Stated as at 28 November 2012, the last tradable date in the year.
9
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012
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 the Law of 17 December 2010. As at 30 November 2012, the Fund is comprised of nine different portfolios (“the Portfolios”). As at 30 November 2012, 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, event driven. The primary investment objective of each 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 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 Note 4 for instances where the Board was required to make certain estimates and assumptions. 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.
10
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (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 procedures developed by a person appointed by the Board of Directors (the “Competent Person”), including securities where there is either no quotation or a quotation that is believed by the Competent Person to be materially inaccurate. Such a Competent Person may be the Investment Adviser itself, independent pricing agents or others, subject to applicable law. The Competent Person during the year ended 30 November 2012 was Goldman Sachs Valuation Oversight Group (“VOG”). Refer to note 4 for securities where the Competent Person was used to determine value.
(ii.1) 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 selected by the Competent Person. When quoted market prices are not available, valuation techniques are used to estimate the value of the debt security. Valuation methods include the use of recent market transactions, reference to the current fair 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.
(ii.2) 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.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 net asset value per share, in accordance with the valuation policy of the applicable fund as outlined in its prospectus.
(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.
11
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (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.5) Derivatives (continued) 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.
(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 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 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 realised 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 realised 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.
12
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (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.5) (d) Forward Foreign Currency Contracts (continued) The 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.
(ii.6) All Securities and Derivatives If a quoted market price is not available from a third party pricing service or a dealer, the market value of the investment is determined by using valuation techniques. Such securities shall be valued at their probable realisation value as determined by the Competent Person. The investments have been valued in accordance with generally accepted accounting principles that require the use of certain estimates and assumptions. Although these estimates and assumptions are based on the best available information, actual results could be materially different from these estimates. (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. (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.
13
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
4
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 2012
Portfolios
5
Currency
Number of Assets valued
Value
% of Shareholders’ equity
GMS Emerging Markets Equity Portfolio
USD
3
2,024,589
1.34%
GMS Europe Equity Portfolio
EUR
1
26,102
0.02%
GMS Global Equity Portfolio
USD
1
9,770
0.00%
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.
14
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
5
Ta x a t i o n ( c o n t i n u e d )
Taxation – UK The Fund made an application to the HM Revenue & Customs (“HMRC”) in the United Kingdom in respect of distributing share classes and a number of other share classes as reporting share classes with effect from periods beginning on or after 1 December 2010. In addition, an application for reporting share class status was made and accepted for the period ended 30 November 2010 in respect of distributing share classes for Dynamic Alternative Strategies Portfolio only. 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. 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. 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 unrealised 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
Significant Agreements 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 sub-advisers, 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; upon Goldman Sachs Asset Management Brasil LTDA, in connection with the selection of securities of South American 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.
15
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
6
Significant Agreements (continued) Investment Adviser and Sub-Investment Adviser (continued)
GSAMI has entered into sub-advisory agreements with each of the following sub-advisers: Portfolios
Sub-Advisor
GMS Asia (ex-Japan) Equity Portfolio
Treasury Asia Asset Management Ltd. Metisq Capital Pty, Ltd.
GMS Emerging Markets Equity Portfolio
Wells Capital Management, Inc. Lazard Asset Management LLC1
GMS Europe Equity Portfolio
Oeschle International Advisers Wellington Management International Ltd.2 Blackrock Investment Management (UK) Limited
GMS Global Equity Portfolio
Baillie Gifford & Co.3 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
Lazard Asset Management LLC replaced AGF Management Ltd. as Sub-Investment Adviser effective 2 August 2012.
2
Wellington Management International Ltd. was appointed as Sub-Investment Adviser effective 26 November 2012.
3
Baillie Gifford & Co. replaced T. Rowe Price Global Investment Services Ltd. as Sub-Investment Adviser effective 16 October 2012.
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. 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 2012. 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 2012 are detailed in Appendix I. Director’s Remuneration
Mr. Frank Ennis, Mr. Eugene Regan and Mr. David Shubotham (who resigned effective 14 September 2012) 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 and Mr. Theodore Sotir 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.
16
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
6
Significant Agreements (continued) 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 and Goldman Sachs Yen 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 2012, 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. 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 2012, the following transactions were entered into with Goldman Sachs Affiliates.
Portfolios
Currency
Security Transactions Aggregate Value*
Percent of Total Security Transactions Aggregate Value
Security Transactions Brokerage Commissions
Percent of Total Security Commissions
Goldman Sachs Funds II – Equity Portfolios Goldman Sachs Funds II – Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio
USD
3,740,833
2.58%
2,809
1.58%
GMS Emerging Markets Equity Portfolio
USD
5,388,665
1.73%
3,128
0.92%
GMS Europe Equity Portfolio
EUR
44,299,622
9.64%
47,239
12.46%
GMS Global Equity Portfolio
USD
28,910,675
4.46%
25,937
4.90%
GMS Japan Equity Portfolio
JPY
57,918,537
4.78%
42,453
4.83%
GMS US Equity Portfolio
USD
5,644,045
1.58%
3,060
1.20%
USD
4,922,450
0.37%
—
—
Goldman Sachs Funds II – Dedicated Portfolios Tactical Tilt Portfolio Total (in USD)
106,273,969
* Represents the cost of securities for transactions entered into with Goldman Sachs Affiliates.
17
96,184
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
6
Significant Agreements (continued) Commissions (continued)
There were no transactions with affiliates for the Dynamic Alternative Strategies Portfolio and Europe High Income Bond Portfolio. A number of Portfolios invest into other Goldman Sachs Funds, as indicated in the Schedules of Investments. 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 charge on assets and transactions dependent on the country of such transaction. 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-2012 USD
Expenses during the year/period Financial Reporting Services fees
76,640
Administration, Custodian, Domiciliary and Listing Agent fees
1,266,811
Total
1,343,451
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
Goldman Sachs Funds II—Equity Portfolios Goldman Sachs Funds II—Global Manager Strategies Portfolios GMS Emerging Markets Equity Portfolio
USD
1,263
GMS Europe Equity Portfolio
EUR
4,107
GMS Global Equity Portfolio
USD
5,356
GMS US Equity Portfolio
USD
14,220
USD
162,187
Goldman Sachs Funds II—Dedicated Portfolios Tactical Tilt Portfolio Total (in USD)
188,305
18
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
6
Significant Agreements (continued) Distributor (continued)
For the year ended 30 November 2012, 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 2012, the Transfer Agent fees charged to the Fund were USD 122,024. 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 2012, the Shareholder Services fees charged to the Fund were USD 611,614. Competent Person
The Directors have appointed Goldman Sachs VOG to act as the Competent Person during the year ended 30 November 2012. 7
Share Capital
With the exception of Dynamic Alternative Strategies Portfolio and Tactical Tilt Portfolio, Shares of each Portfolio may be purchased through the Distributor and any sub-distribution agent daily, at the net asset value per share of the relevant Share Class of the Portfolio on such date, plus any applicable sales charge. For “P” Shares the sales charge will not exceed 5.5% of the purchase price of these Shares. There is no sales charge in respect of the “I” Share Class. For the Dynamic Alternative Strategies Portfolio Shares may be purchased through the Distributor and any subdistribution agent weekly, at the net asset value per share of the relevant Share Class of the Portfolio on such date, plus any applicable sales charge. For “P” Shares, Base Shares and Other Currency Shares the sales charge will not exceed 5.5% of the purchase price of these Shares. For the Tactical Tilt Portfolio Shares may be purchased through the Distributor and any sub-distribution agent bimonthly, at the net asset value per share of the relevant Share Class of the Portfolio on such date, plus any applicable sales charge. For “P” Shares, the sales charge will not exceed 5.5% of the purchase price of these Shares. There is no sales charge in respect of the “I” and “IO” Share class.
19
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
7
Share Capital (continued)
The minimum initial investment for “P” Shares is, depending on the currency of such Share Classes, USD 100,000, EUR 75,000, GBP 50,000 or JPY 10 million. The minimum initial investment for “I” Shares is, depending on the currency of such Share Classes, USD 5 million, EUR 5 million, GBP 3 million or JPY 500 million. The minimum initial investment for Base Shares is EUR 5,000. The minimum initial investment for Other Currency Shares is CHF 5,000, GBP 5,000 and USD 5,000. With the exception of GMS Asia (ex-Japan) Equity Portfolio, GMS Japan Equity Portfolio, Dynamic Alternative Strategies Portfolio and Tactical Tilt Portfolio, Shares may be purchased and redeemed on a daily basis prior to the cut-off time of 12:00 p.m. Central European Time (“CET”) or 1:00pm CET in respect of Europe High Income Bond Portfolio, at the option of the shareholder, at the net asset value per share determined on such date. The cut-off time for GMS Asia (ex-Japan) Equity Portfolio and GMS Japan equity Portfolio is 12:00 p.m. noon CET at least one (1) Business Day prior to the proposed Business Day of subscription, redemption or exchange, as applicable, which means that requests for subscriptions, redemptions and exchanges of Shares shall be received no later than 12:00 p.m. noon CET at least one (1) Business Day prior to the Business Day on which the Shares may be subscribed for, redeemed or exchanged, as applicable. Shares may be purchased and redeemed weekly for Dynamic Alternative Strategies Portfolio, the cut-off time is 5:00 p.m. CET at least four (4) Business Days prior to the proposed Business Day of subscription, redemption or exchange, as applicable, which means that requests for subscriptions, redemptions and exchanges of Shares shall be received no later than 5:00 p.m. CET at least four (4) Business Days prior to the Business Day on which the shares may be subscribed for, redeemed or exchanged, as applicable. Shares may be purchased and redeemed bi-monthly for Tactical Tilt Portfolio, the cut-off time is 5:00 p.m. CET at least five (5) Business Days prior to the proposed Business Day of subscription, redemption or exchange, as applicable, which means that requests for subscriptions, redemptions and exchanges of Shares shall be received no later than 5:00 p.m. CET at least five (5) Business Days prior to the Business Day on which the shares may be subscribed for, redeemed or exchanged, as applicable. The following summarises the activity in the Portfolios' shares for the year ended 30 November 2012:
Currency
Balance at 30-Nov-2011
Subscriptions
Redemptions
Balance at 30-Nov-2012
USD USD
4,126,585 1,993,479
863,459 775,282
931,543 431,913
4,058,501 2,336,848
6,120,064
1,638,741
1,363,456
6,395,349
— —
12,502,602 5,236,344
1,516,133 797,242
10,986,469 4,439,102
—
17,738,946
2,313,375
15,425,571
9,932,400 4,468,860
2,213,608 1,223,458
2,438,763 1,156,160
9,707,245 4,536,158
14,401,260
3,437,066
3,594,923
14,243,403
Equity Portfolios Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio “P” Accumulation Share Class “P” Share Class GMS Asia (ex-Japan) Equity Portfolio Total
GMS Emerging Markets Equity Portfolio* “P” Accumulation Share Class “P” Share Class
USD USD
GMS Emerging Markets Equity Portfolio Total
GMS Europe Equity Portfolio “P” Accumulation Share Class “P” Share Class
EUR EUR
GMS Europe Equity Portfolio Total
20
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
7
Share Capital (continued)
Currency
Balance at 30-Nov-2011
Subscriptions
Redemptions
Balance at 30-Nov-2012
USD USD EUR USD USD
321,433 — 2,222,166 18,369,107 9,255,984
— 1,198,000 1,148,832 2,464,456 673,657
321,433 — 318,535 2,590,331 2,700,017
— 1,198,000 3,052,463 18,243,232 7,229,624
30,168,690
5,484,945
5,930,316
29,723,319
112,221 75,807
13,063 4,257
36,318 6,162
88,966 73,902
188,028
17,320
42,480
162,868
14,771,228 8,683,304
2,450,933 2,021,359
4,951,745 1,937,702
12,270,416 8,766,961
23,454,532
4,472,292
6,889,447
21,037,377
EUR EUR
88,514 1,700
30,175 6,150
81,130 —
37,559 7,850
CHF
80,481
4,170
77,845
6,806
USD
30,647
2,876
25,002
8,521
GBP EUR
3,910 230,519
815 54,738
2,410 64,811
2,315 220,446
USD EUR GBP USD
187,423 43,253 458,253 120,921
57,778 13,669 75,853 65,431
75,276 3,762 77,890 27,831
169,925 53,160 456,216 158,521
1,245,621
311,655
435,957
1,121,319
— — — 31,550 142,504 88,878 182,468 159,675 62,444 198,005
100,000 319,028 60,000 33,427 1,048,006 241,713 1,515,161 356,541 92,913 547,700
— 4,816 — — 71,970 4,082 41,549 26,089 4,690 22,854
100,000 314,212 60,000 64,977 1,118,540 326,509 1,656,080 490,127 150,667 722,851
865,524
4,314,489
176,050
5,003,963
—
1,294,343
117,953
1,176,390
—
1,294,343
117,953
1,176,390
GMS Global Equity Portfolio “I” Accumulation Share Class1 “I” Accumulation Share Class1 “P” Accumulation Share Class “P” Accumulation Share Class “P” Share Class GMS Global Equity Portfolio Total
GMS Japan Equity Portfolio “P” Accumulation Share Class “P” Share Class
JPY JPY
GMS Japan Equity Portfolio Total
GMS US Equity Portfolio “P” Accumulation Share Class “P” Share Class
USD USD
GMS US Equity Portfolio Total
Specialist Portfolios 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) Dynamic Alternative Strategies Portfolio Total
Dedicated Portfolios 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)
USD USD GBP CHF EUR GBP USD USD EUR GBP
Tactical Tilt Portfolio Total
Europe High Income Bond Portfolio* Base Currency (S-Dis) Share Class
EUR
Europe High Income Bond Portfolio Total
* Refer to Appendix II. 1
Share class closed and relaunched during the year.
21
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
8
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.
(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 Portfolios 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
22
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
8
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 )
(ii) Interest Rate Risk (continued) coupon and maturity date are disclosed in the Schedule of Investments. The Portfolios 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 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.
23
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
8
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)
The Fund’s prospectus provides for the daily/weekly/bi-monthly subscription of shares and the daily/weekly 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 2012. 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. 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.
24
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
8
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)
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 SubCustodian 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.
(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 NAV 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.
25
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
8
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)
(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. Additional details of risks not disclosed in these Financial Statements can be found in the Prospectus. 9
Distributions
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. 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
S h a r e C l a s s S p e c i f i c Fo r wa r d C u r r e n c y C o n t r a c t s
Certain Portfolios of the Fund engage in forward currency contracts for the purpose of hedging the currency exposure of certain Share Classes. Gains and losses on these forward currency transactions are allocated to the respective Share Classes. Details of these transactions are found in their respective Schedule of Investments.
26
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
12
E xc h a n ge R a t e s
The following exchange rates (against USD) as at 3:00 p.m. Central European Time were used to convert the investments and other assets and liabilities denominated in currencies other than USD:
Currency
30-Nov-2012
Australian Dollar
0.959877
Brazilian Real
2.108700
British Pound Sterling
0.625059
Canadian Dollar
0.994050
Chilean Peso
480.650000
Danish Krone
5.739900
Egyptian Pound
6.111000
Euro
0.769438
Hong Kong Dollar
7.750050
Hungarian Forint
216.081250
Indian Rupee
54.395000
Indonesian Rupiah
9,593.500000
Israeli Shekel
3.818250
Japanese Yen
82.515000
Malaysian Ringgit
3.039750
Mexican Peso
12.918700
Norwegian Kroner
5.675800
Philippines Peso
40.890000
Singapore Dollar
1.220700
South African Rand
8.847000
South Korean Won
1,082.850000
Swedish Krona
6.659050
Swiss Franc
0.927400
Taiwan Dollar
29.054000
Thailand Baht
30.690000
Turkish Lira
1.787000
The following exchange rates (against EUR) as at 3:00 p.m. Central European Time were used to convert the investments and other assets and liabilities denominated in currencies other than EUR: Currency
30-Nov-2012
British Pound Sterling
0.812358
Danish Krona
7.459860
Norwegian Kroner
7.376553
Swedish Krona
8.654433
Swiss Franc
1.205295
U.S. Dollars
1.299650
27
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
12
E xc h a n ge R a t e s ( c o n t i n u e d )
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 2012: Currency
30-Nov-2012
Euro
0.778044
Japanese Yen 13
79.327672
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 did pay commissions for research and/or execution for the year ended 30 November 2012 where the Investment Adviser believed that this was in accordance with local law or regulations.
14
Prospectus
The latest Prospectus on the Fund was updated in August 2012. 15
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 2012: Portfolios
Dynamic Alternative Strategies Portfolio
Tactical Tilt Portfolio
16
Currency
USD
USD
Due from / (due to) brokers
Investment type
Cash collateral balances
Due from
FX contracts
—
Due to
FX contracts
(1,784,335)
Due from
Swap contracts
353,099
Due to
Swap contracts
(27)
Currency Adjustment
The opening value of the Fund has been restated at the exchange rate ruling at 30 November 2012. The resulting loss of USD 12,590,557 represents the movement in exchange rates between 1 December 2011 and 30 November 2012. This is a notional loss, 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. 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 2012.
28
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
19
S u b s e q u e n t E ve n t s
Since 30 November 2012, the following share classes were launched: Currency of Share Class
Portfolios
Class
Dynamic Alternative Strategies Portfolio
“R” Accumulation Share Class (Weekly)
EUR
12 December 2012
Launch Date
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
GMS Asia (ex-Japan) Equity Portfolio
“R” Snap Share Class
USD
13 December 2012
GMS Asia (ex-Japan) Equity Portfolio
“R” Accumulation Snap Share Class
USD
13 December 2012
GMS Emerging Markets Equity Portfolio
“IO” Accumulation Snap Share Class
USD
8 January 2013
GMS Emerging Markets Equity Portfolio
“R” Snap Share Class
USD
13 December 2012
GMS Emerging Markets Equity Portfolio
“R” Accumulation Snap Share Class
USD
13 December 2012
GMS Europe Equity Portfolio
“R” Snap Share Class
EUR
13 December 2012
GMS Europe Equity Portfolio
“R” Accumulation Snap Share Class
EUR
13 December 2012
GMS Global Equity Portfolio
“IO” Accumulation Snap Share Class
USD
16 January 2013
GMS Global Equity Portfolio
“R” Snap Share Class
USD
13 December 2012
GMS Global Equity Portfolio
“R” Accumulation Snap Share Class
USD
13 December 2012
GMS Japan Equity Portfolio
“R” Snap Share Class
JPY
13 December 2012
GMS Japan Equity Portfolio
“R” Accumulation Snap Share Class
JPY
13 December 2012
GMS US Equity Portfolio
“R” Snap Share Class
USD
13 December 2012
GMS US Equity Portfolio
“R” Accumulation Snap Share Class
USD
13 December 2012
Tactical Tilt Portfolio
“R” Close Share Class
USD
17 December 2012
Tactical Tilt Portfolio
“R” Accumulation Close Share Class
USD
17 December 2012
Tactical Tilt Portfolio
“R” Accumulation Close Share Class (CHF Hedged Class)
CHF
15 January 2013
Tactical Tilt Portfolio
“R” Accumulation Close Share Class (EUR Hedged Class)
EUR
15 January 2013
Tactical Tilt Portfolio
“R” Accumulation Close Share Class (GBP Hedged Class)
GBP
15 January 2013
Tactical Tilt Portfolio
“R” Close Share Class (EUR Hedged Class)
EUR
15 January 2013
Tactical Tilt Portfolio
“R” Close Share Class (GBP Hedged Class)
GBP
15 January 2013
From 1 December 2012 to 12 March 2013, the following Portfolio have had movements greater than 25% in Shareholders’ Equity: % Movement in Shareholders’ Equity
% Movement in Gross Performance
GMS Emerging Markets Equity Portfolio
43%
7%
GMS Japan Equity Portfolio
33%
33%
GMS Global Equity Portfolio
27%
8%
Portfolio
29
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
20
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. The following is a summary of total return, expense and investment income results for the year ended 30 November 2012: Goldman Sachs Funds II, SICAV—Tactical Tilt Portfolio
Total return1
“P” Share Class USD
“P” Share Class GBP
“P” Share Class EUR
“P” Accumulation Share Class USD
12.37%
12.16%
11.51%
12.38%
Expense before waivers/reimbursements to average net assets2,3
0.94%
0.94%
0.94%
0.94%
Expense after waivers/reimbursements to average net assets2,3
0.93%
0.93%
0.93%
0.92%
Net investment income/(loss) to average net assets2,3
0.60%
0.65%
0.77%
0.27%
“P” Accumulation Share Class GBP
“P” Accumulation Share Class EUR
“P” Accumulation Share Class CHF
“I” Accumulation Share Class* USD
Total return1
12.17%
11.55%
11.43%
11.03%
Expense before waivers/reimbursements to average net assets2,3
0.95%
0.94%
0.94%
0.87%
Expense after waivers/reimbursements to average net assets2,3
0.93%
0.92%
0.93%
0.86%
Net investment income/(loss) to average net assets2,3
0.76%
0.37%
0.87%
0.13%
“IO” Accumulation Share Class* USD
“IO” Accumulation Share Class* GBP
Total return1
13.84%
7.48%
Expense before waivers/reimbursements to average net assets2,3
0.14%
0.12%
Expense after waivers/reimbursements to average net assets2,3
0.11%
0.11%
Net investment income/(loss) to average net assets2,3
0.83%
0.85%
* 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.
30
Goldman Sachs Funds II, SICAV Notes to the Financial Statements For the Year Ended 30 November 2012 (Continued)
20
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-2012
Level 1
Level 2
Level 3
Total
USD
USD
USD
USD
Financial Assets at fair value Mutual Funds
306,035,497
—
—
306,035,497
Time deposits
—
333,069,743
—
333,069,743
Purchased Options
—
1,259,460
—
1,259,460
Unrealised Gain on Forward Currency Contracts
—
1,844,364
—
1,844,364
Unrealised Gain on Swap Contracts Unrealised Gain on Futures Contracts Total
—
90,208
—
90,208
9,582,737
—
—
9,582,737
315,618,234
336,263,775
—
651,882,009
Financial Liabilities at fair value
21
Written Options
—
(35,986)
—
(35,986)
Unrealised Loss on Forward Currency Contracts
—
(991,731)
—
(991,731)
Unrealised Loss on Swap Contracts
—
(65,729)
—
(65,729)
Total
—
(1,093,446)
—
(1,093,446)
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 Financial Statements on 12 March 2013.
31
Goldman Sachs Funds II SICAV—GMS Asia (ex-Japan) Equity Portfolio Schedule of Investments As at 30 November 2012
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 – 98.35%
India
China 645,000 50,000
5,461,905 126,000 2,731,000 477,000 190,000 541,000 356,000 142,500 748,000 328,000 521,000 279,000 717,835 74,000 406,000 98,500 532,000 80,400 164,000 8,814 304,000 830,000
Hong Kong 1,072,000
197,000 146,000 89,000 138,000 674,000 312,000 46,000 92,000 1,085,000 292,000 189,000 240,000 38,000 732,000
Agricultural Bank of China Ltd. “H” (Banks) Anhui Conch Cement Co., Ltd. “H” (Building Materials) Bank of China Ltd. “H” (Banks) Biostime International Holdings Ltd. (Household Products/Wares) China Construction Bank Corp. “H” (Banks) China Liansu Group Holdings Ltd. (Building Materials) China Life Insurance Co., Ltd. “H” (Insurance) China Minsheng Banking Corp., Ltd. “H” (Banks) China National Building Material Co., Ltd. “H” (Building Materials) China Shenhua Energy Co., Ltd. “H” (Coal) CNOOC Ltd. (Oil & Gas) Evergrande Real Estate Group Ltd. (Real Estate) Greatview Aseptic Packaging Co., Ltd. (Packaging & Containers) Guangzhou R&F Properties Co., Ltd. “H” (Real Estate) Industrial & Commercial Bank of China Ltd. “H” (Banks) Jiangxi Copper Co., Ltd. “H” (Mining) Lenovo Group Ltd. (Computers) Longfor Properties Co., Ltd. (Real Estate) Shanghai Electric Group Co., Ltd. “H” (Machinery—Diversified) Sinopharm Group Co., Ltd. “H” (Pharmaceuticals) Sunac China Holdings Ltd. (Real Estate) Tencent Holdings Ltd. (Internet) Yanzhou Coal Mining Co., Ltd. “H” (Coal) Zijin Mining Group Co., Ltd. “H” (Mining)
Beijing Enterprises Water Group Ltd. (Environmental Control) BOC Hong Kong Holdings Ltd. (Banks) Cheung Kong Holdings Ltd. (Real Estate) China Mengniu Dairy Co., Ltd. (Food, Beverages & Tobacco) China Mobile Ltd. (Telecommunications) China Power International Development Ltd. (Electric) China Unicom Hong Kong Ltd. (Telecommunications) Hutchison Whampoa Ltd. (Holding Companies—Diversified) Hysan Development Co., Ltd. (Real Estate) K Wah International Holdings Ltd. (Real Estate) Kunlun Energy Co., Ltd. (Oil & Gas) PCCW Ltd. (Telecommunications) Skyworth Digital Holdings Ltd. (Home Furnishings) Wheelock & Co., Ltd. (Real Estate) Yuexiu Property Co., Ltd. (Holding Companies—Diversified)
282,944
0.51
166,434 2,304,471
0.30 4.13
381,189 2,092,747
0.68 3.76
283,056
0.51
559,651
1.00
530,381
0.95
464,874 583,770 1,597,401
0.83 1.05 2.87
163,765
0.29
282,401
0.51
475,807
0.85
484,352 190,001 382,393 188,871
0.87 0.34 0.69 0.34
209,352
0.38
249,517 106,464 287,841 465,092 334,045
0.45 0.19 0.52 0.83 0.60
13,066,819
23.45
7,654 7,354 48,187 77,532 5,812 47,727 20,536 67,000 288,750 7,721 125,863
Indonesia 656,000 213,500 309,500
273,500 316,000
Axis Bank Ltd. (Banks) Bata India Ltd. (Apparel) Coal India Ltd. (Coal) DLF Ltd. (Real Estate) GlaxoSmithKline Consumer Healthcare Ltd. (Food, Beverages & Tobacco) ICICI Bank Ltd. (Banks) Lupin Ltd. (Pharmaceuticals) Power Finance Corp., Ltd. (Diversified Financial Services) Satyam Computer Services Ltd. (Software) Strides Arcolab Ltd. (Pharmaceuticals) Tata Motors Ltd. (Automobile Manufacturers)
Astra International Tbk PT (Retail) Bank Mandiri Persero Tbk PT (Banks) Bank Rakyat Indonesia Persero Tbk PT (Banks) Indosat Tbk PT (Telecommunications) Telekomunikasi Indonesia Persero Tbk PT (Telecommunications)
Market Value USD
% of Shareholders’ Equity
185,597 124,469 324,552 298,836
0.33 0.22 0.58 0.54
393,795 960,139 223,055
0.71 1.72 0.40
236,883 541,191 160,461
0.42 0.97 0.29
633,321
1.14
4,082,299
7.32
495,359 183,462
0.89 0.33
227,228 158,189
0.41 0.28
298,055
0.53
1,362,293
2.44
249,265
0.45
228,115
0.41
130,602 226,560
0.23 0.41
231,789 182,216
0.42 0.33
189,327 212,808 697,282
0.34 0.38 1.25
359,175 207,862
0.64 0.37
331,071
0.59
308,543 346,083 157,670
0.55 0.62 0.28
654,118 153,398 181,527 272,030 329,528 460,418
1.17 0.28 0.33 0.49 0.59 0.83
4,222,199 288,858
7.58 0.52
295,900 708,809 678,668
0.53 1.27 1.22
Korea
3,167 509 5,021 919 10,320 2,322 5,040 3,814 42,160 11,630
251,705 604,915 2,228,688
0.45 1.08 4.00
249,237 1,573,959
0.45 2.82
178,273
0.32
483,938
0.87
472,970 443,329
0.85 0.80
536,193 594,508 79,486
0.96 1.07 0.14
15,960 17,770 7,820 19,023 1,540 3,250
127,891 184,319
0.23 0.33
3,363 9,230
235,200
0.42
8,244,611
14.79
4,273 4,433 52,720
788 1,590 12,100 14,030 23,390 17,970
Able C&C Co., Ltd. (Cosmetics/Personal Care) AMOREPACIFIC Group (Cosmetics/Personal Care) CJ E&M Corp. (Holding Companies—Diversified) CJ O Shopping Co., Ltd. (Retail) Daewoo Shipbuilding & Marine Engineering Co., Ltd. (Shipbuilding) Daum Communications Corp. (Internet) Doosan Heavy Industries & Construction Co., Ltd. (Machinery—Diversified) Fila Korea Ltd. (Apparel) Hyundai Greenfood Co., Ltd. (Retail) Hyundai Marine & Fire Insurance Co., Ltd. (Insurance) Hyundai Mobis (Auto Parts & Equipment) Hyundai Motor Co. (Automobile Manufacturers) Korea Aerospace Industries Ltd. (Aerospace & Defence) Korea Electric Power Corp. (Electric) Korea Exchange Bank (Banks) Korea Investment Holdings Co., Ltd. (Diversified Financial Services) Korean Reinsurance Co. (Insurance) KP Chemical Corp. (Chemicals) KT Corp. (Telecommunications) Paradise Co., Ltd. (Lodging) POSCO (Iron/Steel) Samsung Electronics Co., Ltd. (Semiconductors) Samsung Life Insurance Co., Ltd. (Insurance) Shinhan Financial Group Co., Ltd. (Diversified Financial Services) SK Holdings Co., Ltd. (Oil & Gas) SK Innovation Co., Ltd. (Oil & Gas) Woori Finance Holdings Co., Ltd. (Diversified Financial Services)
495,497
0.89
12,799,318
22.97
The accompanying notes are an integral part of these financial statements.
32
Goldman Sachs Funds II, SICAV—GMS Asia (ex-Japan) Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) Malaysia 41,400 81,900 65,400
KLCC Property Holdings Bhd (Real Estate) Maxis Bhd (Telecommunications) UMW Holdings Bhd (Automobile Manufacturers)
78,312 173,243
312,900 228,489
0.41
480,044
0.86
240,427
0.43
Philippines 216,767 13,630
BDO Unibank, Inc. (Banks) SM Investments Corp. (Retail)
379,075 292,837
0.68 0.53
671,912
1.21
169,000 1,100,000 132,000 83,000 85,000 64,000 43,000 151,000 56,000 21,000
Taiwan 193,000 16,000 88,345 571,123 618,050
81,000 28,000 229,000 10,000 49,000 462,847 685,000 484,000 89,000 76,000 122,000 343,000
Ambassador Hotel (Lodging) Asustek Computer, Inc. (Computers) Chicony Electronics Co., Ltd. (Computers) China Life Insurance Co., Ltd. (Insurance) China Petrochemical Development Corp. (Chemicals) Chong Hong Construction Co. (Real Estate) Hiwin Technologies Corp. (Miscellaneous Manufacturing) King Yuan Electronics Co., Ltd. (Semiconductors) Largan Precision Co., Ltd. (Miscellaneous Manufacturing) MediaTek, Inc. (Semiconductors) Prince Housing & Development Corp. (Real Estate) Taiwan Semiconductor Manufacturing Co., Ltd. (Semiconductors) Teco Electric and Machinery Co., Ltd. (Home Furnishings) Tripod Technology Corp. (Electronics) TSRC Corp. (Chemicals) Unimicron Technology Corp. (Electronics) United Microelectronics Corp. (Semiconductors)
Thailand 78,100
0.14 0.31
STX OSV Holdings Ltd. (Shipbuilding)
Ascendas Real Estate Investment Trust (Real Estate Investment Trust) Biosensors International Group Ltd. (Healthcare Products) Gallant Venture Ltd. (Investment Companies) Keppel Corp., Ltd. (Holding Companies—Diversified) Mapletree Commercial Trust (Real Estate Investment Trust) Mapletree Industrial Trust (Real Estate Investment Trust) Oversea-Chinese Banking Corp., Ltd. (Banks) SembCorp Industries Ltd. (Construction & Engineering) Singapore Telecommunications Ltd. (Telecommunications) StarHub Ltd. (Telecommunications) UOL Group Ltd. (Real Estate)
% of Shareholders’ Equity
Common Stocks – (continued)
Norway 212,000
Singapore 172,000
Security Description
Market Value USD
338,093
0.61
161,224
0.29
238,638
0.43
32,800 40,900 143,300 855,500 172,000 220,400 362,000 17,100 2,135,500 252,400 37,300 9,000 303,300 67,400
Airports of Thailand PCL (Construction & Engineering) Asian Property Development PCL (Home Builders) Bangkok Bank PCL (Banks) Bumrungrad Hospital Pcl. (Healthcare Services) Kasikornbank PCL (Banks) Land and Houses PCL (Home Builders) LPN Development PCL (Real Estate) Major Cineplex Group PCL (Entertainment) Major Cineplex Group PCL—NVDR (Entertainment) PTT PCL (Oil & Gas) Sansiri PCL (Real Estate) Shin Corp. PCL (Telecommunications) Siam Commercial Bank PCL (Banks) Siam Makro PCL (Retail) Thanachart Capital PCL (Banks) Tisco Financial Group PCL (Diversified Financial Services)
239,109
0.43
90,191 195,474
0.16 0.35
100,217 872,926 263,374 103,151
0.18 1.57 0.47 0.19
141,353
0.25
232,168 178,249 247,543 528,168 197,371 141,925 353,167
0.42 0.32 0.44 0.95 0.35 0.26 0.63
99,979
0.18
3,984,365
7.15
54,814,188
98.35
80,733
0.14
1,157,817
2.08
81,233
0.14
TOTA L C O M M O N S TO C K S (cost USD 50,231,561)
95,744 493,175
0.17 0.88
Mutual Funds – 0.14%
182,366
0.33
406,865 171,018 100,107
0.73 0.31 0.18
80,733
0.14
3,426,280
6.15
TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost USD 50,312,294)
54,894,921
98.49
205,159 176,684 207,229 495,738
0.37 0.32 0.37 0.89
M A R K E T VA LU E O F I N V E S T M E N T S (cost USD 50,312,294)
54,894,921
98.49
363,242 217,664
0.65 0.39
SHAREHOLDERS’ EQUITY
205,471
0.37
Ireland 80,733
Goldman Sachs US$ Liquid Reserves Fund (X Accumulation Class)(a)(b)
TOTA L M U T U A L F U N D S (cost USD 80,733)
OT H E R A S S E T S A N D L I A B I L I T I E S
TOTA L I N V E S T M E N T S
129,725
0.23
273,506 558,019
0.49 1.00
323,827
0.58
(a)
The yield for this fund as at 30 November 2012 was 0.283%.
2,332,567
4.19
(b)
A related party to Goldman Sachs Funds II, SICAV.
352,519 184,304 164,351 132,834
0.63 0.33 0.29 0.24
132,981
0.24
6,455,820
11.58
839,279
1.51
55,734,200
100.00
Market Value USD
% of Shareholders’ Equity
Total Investments (cost USD 50,312,294) Other Assets and Liabilities
54,894,921 839,279
98.49 1.51
Shareholders’ Equity
55,734,200
100.00
The accompanying notes are an integral part of these financial statements.
33
Goldman Sachs Funds II, SICAV—GMS Asia (ex-Japan) Equity Portfolio Schedule of Investments As at 30 November 2012
Allocation of Portfolio as at 30 November 2012
% of Shareholders’ Equity
Common Stocks Banks Semiconductors Real Estate Telecommunications Oil & Gas Holding Companies—Diversified Retail Insurance Diversified Financial Services Coal Others
18.83 13.24 10.22 7.43 6.75 3.58 3.34 3.33 3.19 2.46 25.98
TOTA L C O M M O N S TO C K S
98.35
Other Net Assets TOTA L
1.65 100.00
The accompanying notes are an integral part of these financial statements.
34
Goldman Sachs Funds II, SICAV—GMS Emerging Markets Equity Portfolio Schedule of Investments As at 30 November 2012
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 – 92.29%
China – (continued) 19,900 NetEase, Inc.—ADR(a) (Internet) 31,468 New Oriental Education & Technology Group—ADR(a) (Commercial Services) 7,700 PetroChina Co., Ltd.—ADR(a) (Oil & Gas) 500,000 Sichuan Expressway Co., Ltd. “H” (Commercial Services) 29,900 Sina Corp. (Internet) 290,000 Sun Art Retail Group Ltd. (Retail) 140,000 Tingyi Cayman Islands Holding Corp. (Food, Beverages & Tobacco) 206,000 Tsingtao Brewery Co., Ltd. “H” (Food, Beverages & Tobacco) 140,400 Weichai Power Co., Ltd. “H” (Auto Parts & Equipment)
Argentina 2,000 28,100
Brazil 176,000
32,000 116,500 277,900 26,500 26,000 125,000 157,000 47,009 61,300 88,700 10,800 5,000 176,015 13,000 30,000 37,600 44,000 45,000 63,900 76,000 137,000 22,000
Canada 21,100 Chile 10,000
China 16,000 9,100 3,626,000 32,900
740,000 407,000 6,500 35,000 150,000 60,000 220,000
MercadoLibre, Inc. (Internet) YPF S.A. (Oil & Gas)
All America Latina Logistica S.A. (Transportation) B2W Companhia Global Do Varejo (Internet) Banco Bradesco S.A.—ADR(a) (Banks) Banco do Brasil S.A. (Banks) Banco do Estado do Rio Grande do Sul—Preferred “B” (Banks) BRF – Brasil Foods 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) Cia de Bebidas das Americas—ADR(a) (Food, Beverages & Tobacco) Cielo S.A. (Commercial Services) Companhia Siderurgica Nacional S.A.—ADR(a) (Iron/Steel) CPFL Energia S.A.—ADR(a) (Electric) Lojas Americanas S.A.—Preferred (Retail) Lojas Renner S.A. (Retail) MRV Engenharia e Participacoes S.A. (Home Builders) Natura Cosmeticos S.A. (Cosmetics/Personal Care) Petroleo Brasileiro S.A.—ADR(a) (Oil & Gas) Petroleo Brasileiro S.A.—Sponsored ADR(a) (Oil & Gas) Souza Cruz S.A. (Food, Beverages & Tobacco) Tim Participacoes S.A. (Telecommunications) Vale S.A.—ADR(a) (Iron/Steel) Vale S.A.—Preferred ADR(a) (Iron/Steel)
142,620 319,778
0.10 0.21
462,398
0.31
662,702 224,593 1,914,095 2,861,104
0.44 0.15 1.27 1.90
193,532
0.13
471,640
0.31
193,247 1,368,454
0.13 0.91
480,412
0.32
2,521,882 2,350,947
1.67 1.56
Colombia 3,800 39,400
Egypt 114,780
21,808
55,188 108,300 1,545,046 478,522
0.04 0.07 1.02 0.32
158,486
0.11
Hong Kong 70,700
984,800
0.65
360,000
805,640
0.53
807,300
0.54
74,000 214,000 200,000
922,727 274,634 2,407,090 378,400
0.61 0.18 1.60 0.25
Hungary 58,741
22,168,741
14.71
First Quantum Minerals Ltd. (Mining)
434,502
0.29
Inversiones La Construccion S.A. (Holding Companies—Diversified)
187,038
0.12
847,840 896,259 2,778,580
0.56 0.60 1.84
1,450,561
0.96
51job, Inc.—ADR(a) (Commercial Services) Baidu, Inc.—ADR(a) (Internet) China Construction Bank Corp. “H” (Banks) China Life Insurance Co., Ltd.—ADR(a) (Insurance) China Telecom Corp., Ltd. “H” (Telecommunications) CNOOC Ltd. (Oil & Gas) CNOOC Ltd.—ADR(a) (Oil & Gas) Ctrip.com International Ltd.—ADR(a) (Internet) First Tractor Co., Ltd. “H” (Machinery—Diversified) Hengan International Group Co., Ltd. (Healthcare Products) Li Ning Co., Ltd. (Retail)
Bancolombia S.A.—ADR(a) (Banks) Pacific Rubiales Energy Corp. (Oil & Gas)
Commercial International Bank Egypt SAE (Banks) Orascom Construction Industries (Construction & Engineering)
Market Value USD
% of Shareholders’ Equity
866,048
0.57
630,304 1,029,336
0.42 0.68
162,583 1,375,998 447,479
0.11 0.91 0.30
409,126
0.27
1,158,660
0.77
528,026
0.35
16,701,510
11.08
241,490 855,738
0.16 0.57
1,097,228
0.73
611,183
0.41
772,969
0.51
1,384,152
0.92
4,017,881
2.67
242,456 143,195 181,913 138,066
0.16 0.09 0.12 0.09
4,723,511
3.13
OTP Bank Plc. (Banks)
1,084,125
0.72
ICICI Bank Ltd.—ADR(a) (Banks) Infosys Ltd.—ADR(a) (Computers)
1,499,785 1,035,728
0.99 0.69
2,535,513
1.68
140,662 1,235,683
0.09 0.82
662,180
0.44
2,323,152
1.54
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)
India
36,500 23,401
Indonesia 75,000 1,438,000 429,500
61,200 425,500
402,925 869,174 1,378,455
0.27 0.58 0.91
670,250
0.45
158,090
141,643
0.09
5,112 39,950
541,886 116,377
0.36 0.08
Astra Agro Lestari Tbk PT (Agriculture) Bank Mandiri Persero Tbk PT (Banks) Semen Gresik Persero Tbk PT (Building Materials) Telekomunikasi Indonesia Persero Tbk PT—ADR(a) (Telecommunications) United Tractors Tbk PT (Machinery—Construction & Mining)
755,272
0.50
5,116,949
3.39
328,264
0.22
1,099,226 1,348,465
0.73 0.89
1,317,865
0.87
439,299
0.29
Korea
290
13,300
Amorepacific Corp. (Cosmetics/Personal Care) Hanwha Life Insurance Co., Ltd. (Insurance) Hyundai Mobis (Auto Parts & Equipment) KB Financial Group, Inc. (Diversified Financial Services) KB Financial Group, Inc.—ADR(a) (Diversified Financial Services)
The accompanying notes are an integral part of these financial statements.
35
Goldman Sachs Funds II, SICAV—GMS Emerging Markets Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Market Value USD
Security Description
% of Shareholders’ Equity
Holdings
Korea – (continued) 83,000 KT Corp.—ADR(a) (Telecommunications) 33,000 KT&G Corp. (Food, Beverages & Tobacco) 200 Lotte Chilsung Beverage Co., Ltd. (Food, Beverages & Tobacco) 150 Lotte Confectionery Co., Ltd. (Food, Beverages & Tobacco) 4,972 NHN Corp. (Internet) 4,639 Samsung Electronics Co., Ltd. (Semiconductors) 8,700 Samsung Life Insurance Co., Ltd. (Insurance) 75,050 Shinhan Financial Group Co., Ltd. (Diversified Financial Services) 23,900 Woongjin Coway Co., Ltd. (Environmental Control)
1,440,050 2,607,115
0.95 1.73
262,271
0.17
203,136 1,156,711
0.13 0.77
6,026,703 747,268
4.00 0.50
2,405,988
1.60
883,107
0.59
20,265,468
13.44
374,449
0.25
Macau 213,200
609,237
0.40
Mexico 92,000
63,680 138,283 13,800
135,000 18,000 257,300 118,300 263,900 80,000
Wynn Macau Ltd. (Lodging)
British American Tobacco Malaysia Bhd (Agriculture) Genting Bhd (Lodging) Genting Malaysia Bhd (Lodging) Sime Darby Bhd (Holding Companies—Diversified)
Russia 142,316 23,735 18,696
31,800
Luxembourg 13,235 Oriflame Cosmetics S.A.—Swedish Depositary Receipt (Cosmetics/Personal Care)
140,000 300,000 130,000
561,796 414,390 337,408
0.37 0.28 0.22
383,513
0.26
1,697,107
1.13
143,000 824,641 46,000 14,435 20,000
L(a)
America Movil SAB de CV—ADR—Series (Telecommunications) 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—ADR(a) (Food, Beverages & Tobacco) Grupo Financiero Banorte SAB de CV “O” (Banks) Grupo Financiero Santander Mexico SAB de CV—ADR(a) (Banks) Grupo Mexico SAB de CV—Series B (Mining) 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)
2,171,200
1.44
574,394
0.38
358,587
0.24
1,344,534
0.89
Taiwan 612,760 1,056,820
782,180
0.52
122,489
259,560 846,666 2,819,089
0.17 0.56 1.87
83,000 60,000 200,000
655,322
0.44
317,100
256,373
0.17
205,600
10,067,905
6.68
170,000 1,426,000
Philippines 22,000 50,000 25,900
7,000
Companhia de Minas Buenaventura S.A.—ADR(a) (Mining)
Ayala Corp. (Holding Companies—Diversified) Metropolitan Bank & Trust (Banks) Philippine Long Distance Telephone Co.—ADR(a) (Telecommunications) SM Investments Corp. (Retail)
780,670
0.52
258,965 122,262
0.17 0.08
1,606,836 150,393
1.07 0.10
2,138,456
1.42
Gazprom OAO—ADR(a) (Oil & Gas) Lukoil OAO—ADR(a) (Oil & Gas) Magnit OJSC—GDR(a) (Food, Beverages & Tobacco) MegaFon OAO—GDR(a) (Telecommunications) Mobile Telesystems OJSC—ADR(a) (Telecommunications) Sberbank of Russia (Banks) Sberbank of Russia—ADR(a) (Banks) Uralkali OJSC—GDR(a) (Chemicals) Yandex NV “A” (Internet)
South Africa 8,000 Anglo American Platinum Ltd. (Mining) 28,700 AngloGold Ashanti Ltd.—ADR(a) (Mining) 49,763 Bidvest Group Ltd. (Holding Companies—Diversified) 32,000 Gold Fields Ltd.—ADR(a) (Mining) 38,000 Impala Platinum Holdings Ltd. (Mining) 34,500 MTN Group Ltd. (Telecommunications) 185,837 Murray & Roberts Holdings Ltd. (Construction & Engineering) 37,040 Nedbank Group Ltd. (Banks) 159,520 PPC Ltd. (Building Materials) 154,573 Sanlam Ltd. (Insurance) 16,500 Sasol Ltd.—ADR(a) (Chemicals) 86,100 Shoprite Holdings Ltd. (Food, Beverages & Tobacco) 90,340 Standard Bank Group Ltd. (Banks) 53,576 Tiger Brands Ltd. (Food, Beverages & Tobacco) 89,914 Truworths International Ltd. (Retail) 62,373 Vodacom Group Ltd. (Telecommunications) 100,081 Woolworths Holdings Ltd (Retail)
Peru
23,500
% of Shareholders’ Equity
Common Stocks – (continued)
Common Stocks – (continued)
Malaysia 32,100
Security Description
Market Value USD
Thailand 109,000 477,300 200,300 73,000 74,800
Far Eastern New Century Corp. (Apparel) First Financial Holding Co., Ltd. (Diversified Financial Services) Hon Hai Precision Industry Co., Ltd.—GDR(a) (Electronics) MediaTek, Inc. (Semiconductors) President Chain Store Corp. (Retail) Siliconware Precision Industries Co. (Semiconductors) Taiwan Semiconductor Manufacturing Co., Ltd.—ADR(a) (Semiconductors) Uni-President Enterprises Corp. (Food, Beverages & Tobacco) United Microelectronics Corp.—ADR(a) (Semiconductors) Yuanta Financial Holding Co., Ltd. (Diversified Financial Services)
Bangkok Bank PCL (Banks) CP ALL PCL (Retail) PTT Exploration & Production PCL (Oil & Gas) PTT PCL (Oil & Gas) Siam Cement PCL (Holding Companies—Diversified)
1,274,042 1,491,745
0.85 0.99
670,252
0.44
674,160
0.45
2,466,750 2,441,572 541,880 534,817 433,200
1.64 1.62 0.36 0.35 0.29
10,528,418
6.99
349,949
0.23
904,624
0.60
1,180,149 398,720 618,300 638,291
0.78 0.27 0.41 0.42
451,621 750,806 527,586 714,597 700,095
0.30 0.50 0.35 0.48 0.47
1,868,566 1,073,726
1.24 0.71
1,813,723 967,538
1.20 0.64
833,050 801,938
0.55 0.53
14,593,279
9.68
729,108
0.48
645,972
0.43
776,274 945,216 307,846
0.52 0.63 0.20
217,905
0.15
5,504,856
3.65
367,490
0.24
331,500
0.22
722,124
0.48
10,548,291
7.00
684,871 614,276 1,036,977 760,948
0.45 0.41 0.69 0.50
988,220
0.66
The accompanying notes are an integral part of these financial statements.
36
Goldman Sachs Funds II, SICAV—GMS Emerging Markets Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Common Stocks – (continued) Thailand – (continued) 80,000 Siam Commercial Bank PCL (Banks) 1,600,000 Thai Beverage PCL (Food, Beverages & Tobacco)
Turkey 208,241 40,000
207,449 258,895 50,000 428,470
Akbank TAS (Banks) Anadolu Efes Biracilik Ve Malt Sanayii AS (Food, Beverages & Tobacco) KOC Holding AS (Holding Companies—Diversified) Turkcell Iletisim Hizmetleri AS (Telecommunications) Turkcell Iletisim Hizmetleri AS—ADR(a) (Telecommunications) Turkiye Is Bankasi “C” (Banks)
United Kingdom 16,000 Standard Chartered Plc. (Banks)
TOTA L C O M M O N S TO C K S (cost USD 137,549,098)
423,315
0.28
524,289
0.35
5,032,896
3.34
974,200
0.65
579,743
0.38
956,564
0.64
1,557,426
1.03
753,500 1,376,283
0.50 0.91
6,197,716
4.11
375,644
0.25
139,105,203
92.29
PTT Exploration & Production PCL—Rights(b) (Oil & Gas)
TOTA L R I G H T S (cost USD nil)
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)
TOTA L W A R R A N T S (cost USD 2,257,051)
Total Investments (cost USD 145,772,599) Other Assets and Liabilities
147,096,242 3,637,725
97.59 2.41
Shareholders’ Equity
150,733,967
100.00
(a)
Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt).
(b)
This security is fair valued. See Note 4.
(c)
The yield for this fund as at 30 November 2012 was 0.283%.
(d)
A related party to Goldman Sachs Funds II, SICAV.
20,940 20,940
% of Shareholders’ Equity
Common Stocks Banks Telecommunications Food, Beverages & Tobacco Semiconductors Oil & Gas Diversified Financial Services Retail Internet Commercial Services Mining Others
14.74 12.71 10.40 8.65 7.05 3.99 3.86 3.84 3.56 2.88 20.61
TOTA L C O M M O N S TO C K S
92.29
Rights
0.01 0.01
Oil & Gas
0.01
TOTA L R I G H T S
0.01
Warrants
Warrants – 1.33% India 125,000
Market Value USD
Allocation of Portfolio as at 30 November 2012
Rights – 0.01% Thailand 38,059
% of Shareholders’ Equity
TOTA L I N V E S T M E N T S
Oil & Gas Telecommunications
0.82 0.51
TOTA L W A R R A N T S
1.33
774,234
0.51
Other Net Assets
1,229,415
0.82
TOTA L
2,003,649
1.33
2,003,649
1.33
5,966,450
3.96
6.37 100.00
Mutual Funds – 3.96% Ireland 5,966,450
Goldman Sachs US$ Liquid Reserves Fund (X Accumulation Class)(c)(d)
TOTA L M U T U A L F U N D S (cost USD 5,966,450)
5,966,450
3.96
TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost USD 145,772,599) 147,096,242
97.59
M A R K E T VA LU E O F I N V E S T M E N T S (cost USD 145,772,599)
97.59
OT H E R A S S E T S A N D L I A B I L I T I E S SHAREHOLDERS’ EQUITY
147,096,242 3,637,725
2.41
150,733,967
100.00
The accompanying notes are an integral part of these financial statements.
37
Goldman Sachs Funds II, SICAV—GMS Europe Equity Portfolio Schedule of Investments As at 30 November 2012
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 – 97.62%
Germany – (continued) 9,208 Hugo Boss AG (Apparel) 309,773 Infineon Technologies AG (Semiconductors) 18,084 K+S AG (Chemicals) 20,795 Kabel Deutschland Holding AG (Media) 15,690 Lanxess AG (Chemicals) 11,023 Linde AG (Chemicals) 16,005 Merck KGaA (Pharmaceuticals) 14,899 Metro AG (Food, Beverages & Tobacco) 8,212 MTU Aero Engines Holding AG (Aerospace & Defence) 3,997 Muenchener Rueckversicherungs AG (Insurance) 17,111 NORMA Group AG (Auto Parts & Equipment) 5,883 Pfeiffer Vacuum Technology AG (Machinery—Diversified) 1,122 Rational AG (Home Furnishings) 91,897 SAP AG (Software) 14,514 Siemens AG (Miscellaneous Manufacturing) 139,995 Telefonica Deutschland Holding AG 144A(a) (Telecommunications)
Belgium 27,156
23,853 10,423
Denmark 6,870
9,246 64,479 30,166 1,822
Finland 42,736 36,331
France 10,879 12,178 76,936 82,707 37,823
9,925 13,329 45,480 20,724 8,037 10,879 36,096 38,037 69,592 3,675 37,126 60,212 46,777 4,806 10,503 16,672 13,783 9,400
Germany 10,119 11,904 5,572 23,612 47,787 52,210 15,310 10,527
12,031
Anheuser-Busch InBev NV (Food, Beverages & Tobacco) KBC Groep NV (Banks) UCB S.A. (Pharmaceuticals)
Carlsberg A/S “B” (Food, Beverages & Tobacco) Danske Bank A/S (Banks) DSV A/S (Transportation) Novo Nordisk A/S “B” (Pharmaceuticals) Novozymes A/S “B” (Biotechnology)
Kone OYJ “B” (Machinery—Diversified) Wartsila OYJ (Miscellaneous Manufacturing)
Accor S.A. (Lodging) AtoS (Computers) 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) Carrefour S.A. (Food, Beverages & Tobacco) Cie Generale des Etablissements Michelin (Auto Parts & Equipment) Dassault Systemes S.A. (Software) Edenred (Commercial Services) France Telecom S.A. (Telecommunications) Lafarge S.A. (Building Materials) Legrand S.A. (Electrical Components & Equipment) LVMH Moet Hennessy Louis Vuitton S.A. (Apparel) Pernod-Ricard S.A. (Food, Beverages & Tobacco) Renault S.A. (Automobile Manufacturers) Sanofi (Pharmaceuticals) Schneider Electric S.A. (Electrical Components & Equipment) Sodexo (Commercial Services) Veolia Environnement S.A. (Water) Vivendi S.A. (Telecommunications) Zodiac Aerospace (Aerospace & Defence)
Allianz SE (Insurance) Bayer AG (Pharmaceuticals) Bertrandt AG (Commercial Services) Continental AG (Auto Parts & Equipment) Deutsche Bank AG (Banks) E.ON SE (Electric) ElringKlinger AG (Auto Parts & Equipment) Fresenius Medical Care AG & Co. KGaA (Healthcare Services) Gerresheimer AG (Packaging & Containers)
1,836,832 560,307 455,329
1.07 0.33 0.27
2,852,468
1.67
514,799 121,464 1,168,596 3,681,858 38,224
0.30 0.07 0.68 2.16 0.02
5,524,941
3.23
2,474,415 1,182,574
1.45 0.69
3,656,989
2.14
279,101 669,303 978,626 3,568,807
0.16 0.39 0.57 2.09
719,961
0.42
850,870 437,058
0.50 0.26
874,580
0.51
1,484,460 703,479 259,247 296,059 1,699,874
0.87 0.41 0.15 0.17 1.00
2,183,797
1.28
501,821
0.29
3,248,525 2,338,032 3,236,968
1.90 1.37 1.90
261,879 656,332 141,078 229,694 806,896
0.15 0.39 0.08 0.14 0.47
26,426,447
15.47
1,015,948 831,613 414,000 2,000,645 1,630,253 724,153 378,080
0.59 0.49 0.24 1.17 0.95 0.42 0.22
556,247 473,540
0.33 0.28
Ireland 82,740 302,880
Ryanair Holdings Plc. (Airlines) Ryanair Holdings Plc. (traded in United Kingdom) (Airlines)
Market Value EUR
% of Shareholders’ Equity
743,178 1,830,139 629,414 1,156,618 1,049,504 1,467,712 1,645,314 323,457
0.43 1.07 0.37 0.68 0.61 0.86 0.96 0.19
561,619
0.33
527,004
0.31
335,547
0.20
512,762 231,469 5,551,498 1,155,895
0.30 0.14 3.25 0.68
799,791
0.47
26,545,400
15.54
393,346
0.23
1,438,983
0.84
1,832,329
1.07
1,155,570 2,864,616 57,746 1,145,279 842,715 1,707,051 456,523 1,226,188 322,216
0.67 1.68 0.03 0.67 0.49 1.00 0.27 0.72 0.19
9,777,904
5.72
535,463 2,274,167
0.31 1.33
Italy
88,077 156,195 44,352 36,243 94,369 49,351 134,035 1,741,744 89,059
Atlantia SpA (Commercial Services) ENI SpA (Oil & Gas) Intesa Sanpaolo SpA (Banks) Luxottica Group SpA (Healthcare Products) Pirelli & C. SpA (Auto Parts & Equipment) Saipem SpA (Oil & Gas Services) Snam SpA (Gas) Telecom Italia SpA (Telecommunications) UniCredit SpA (Banks)
Netherlands 120,032 Aegon NV (Insurance) 46,948 ASML Holding NV (Semiconductors) 14,323 European Aeronautic Defence and Space Co. NV (Aerospace & Defence) 33,330 Heineken NV (Food, Beverages & Tobacco) 126,953 ING Groep NV (Insurance) 87,241 Koninklijke KPN NV (Telecommunications) 22,118 Koninklijke Vopak NV (Transportation) 42,854 Royal Dutch Shell Plc. “A” (Oil & Gas) 23,559 Royal Dutch Shell Plc. “B” (Oil & Gas) 59,113 TNT Express NV (Transportation) 41,003 Unilever NV (Food, Beverages & Tobacco) 19,465 Wolters Kluwer NV (Media)
Norway 48,637 15,694
84,214 36,483 24,673
DNB ASA (Banks) Kongsberg Gruppen AS (Aerospace & Defence) Orkla ASA (Miscellaneous Manufacturing) Statoil ASA (Oil & Gas) Yara International ASA (Chemicals)
370,035
0.22
1,702,830 886,767 380,109 1,262,495 1,109,490 629,172 444,352 1,202,208 289,347
1.00 0.52 0.22 0.74 0.65 0.37 0.26 0.70 0.17
11,086,435
6.49
465,169
0.27
244,668 526,983 683,510 948,582
0.14 0.31 0.40 0.56
2,868,912
1.68
The accompanying notes are an integral part of these financial statements.
38
Goldman Sachs Funds II, SICAV—GMS Europe Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value EUR
% of Shareholders’ Equity
Holdings
Security Description
Common Stocks – (continued)
Common Stocks – (continued)
Portugal 120,616
United Kingdom – (continued) 117,441 Compass Group Plc. (Food, Beverages & Tobacco) 19,763 Croda International Plc. (Chemicals) 53,542 Diageo Plc. (Food, Beverages & Tobacco) 138,758 GlaxoSmithKline Plc. (Pharmaceuticals) 23,682 Halma Plc. (Electronics) 38,004 Imperial Tobacco Group Plc. (Food, Beverages & Tobacco) 16,739 Intertek Group Plc. (Commercial Services) 46,099 Jardine Lloyd Thompson Group Plc. (Insurance) 56,298 Johnson Matthey Plc. (Chemicals) 93,480 Kingfisher Plc. (Retail) 26,933 Land Securities Group Plc. (Real Estate Investment Trust) 855,014 Legal & General Group Plc. (Insurance) 1,412,987 Lloyds Banking Group Plc. (Banks) 43,130 Pearson Plc. (Media) 290,253 Prudential Plc. (Insurance) 13,331 Reckitt Benckiser Group Plc. (Household Products/Wares) 16,781 Renishaw Plc. (Electronics) 13,586 Rio Tinto Plc. (Mining) 192,559 Rolls-Royce Holdings Plc. (Aerospace & Defence) 21,204,380 Rolls-Royce Holdings Plc. “C”(b) (Aerospace & Defence) 10,101 Rotork Plc. (Electronics) 70,206 Smith & Nephew Plc. (Healthcare Products) 24,350 Smiths Group Plc. (Miscellaneous Manufacturing) 48,544 Spectris Plc. (Electronics) 26,157 Spirax-Sarco Engineering Plc. (Machinery—Diversified) 133,043 Tesco Plc. (Food, Beverages & Tobacco) 104,218 Tullow Oil Plc. (Oil & Gas) 19,947 Victrex Plc. (Chemicals) 1,055,084 Vodafone Group Plc. (Telecommunications)
Jeronimo Martins SGPS S.A. (Food, Beverages & Tobacco)
1,736,267
1.02
105,875 705,506 830,818 379,391
0.06 0.41 0.49 0.22
2,021,590
1.18
Spain
5,900 6,662 50,706 37,638
Sweden 104,702
88,628 94,436 31,118 95,875 109,555 26,781 49,842
Switzerland 146 59,380
11,626 4,310 86 9,770 31,258 4,039 13,408 430 3,935 23,626 5,456 6,765 144,722 40,858 110,031 2,869
Amadeus IT Holding S.A. “A” (Software) Inditex S.A. (Retail) Repsol S.A. (Oil & Gas) Telefonica S.A. (Telecommunications)
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) Swedish Match AB (Food, Beverages & Tobacco) Telefonaktiebolaget LM Ericsson “B” (Telecommunications)
Belimo Holding AG (Building Materials) Compagnie Financiere Richemont S.A. “A” (Retail) Credit Suisse Group AG (Banks) Kuehne + Nagel International AG (Transportation) Lindt & Spruengli AG “LISP” (Food, Beverages & Tobacco) Lonza Group AG (Chemicals) Nestle S.A. (Food, Beverages & Tobacco) Panalpina Welttransport Holding AG (Transportation) Roche Holding AG (Pharmaceuticals) SGS S.A. (Commercial Services) Swatch Group AG “BR” (Retail) Swiss Re AG (Insurance) Syngenta AG (Chemicals) Tecan Group AG (Healthcare Products) UBS AG (Banks) Wolseley Plc. (Distribution/Wholesale) Xstrata Plc. (Mining) Zurich Insurance Group AG (Insurance)
United Kingdom 42,267 Anglo American Plc. (Mining) 113,175 Antofagasta Plc. (Mining) 16,836 AstraZeneca Plc. (Pharmaceuticals) 287,149 AZ Electronic Materials S.A. (Chemicals) 53,211 Babcock International Group Plc. (Commercial Services) 1,059,337 Barclays Plc. (Banks) 14,177 Berkeley Group Holdings Plc. (Home Builders) 128,118 BG Group Plc. (Oil & Gas) 37,790 British American Tobacco Plc. (Food, Beverages & Tobacco) 58,347 Burberry Group Plc. (Apparel) 203,486 Capita Plc. (Commercial Services)
1,586,058
0.93
2,474,168
1.45
1,885,570 600,467 680,752 2,031,742
1.10 0.35 0.40 1.19
729,370
0.43
356,202
0.21
10,344,329
6.06
202,291
0.12
3,547,147 212,496
2.08 0.12
400,857
0.23
213,271 360,631 1,578,078
0.13 0.21 0.92
283,834 2,022,388 747,054 1,473,386 1,317,243 1,689,361 390,085 1,737,439 1,458,944 1,414,738 564,852
0.17 1.18 0.44 0.86 0.77 0.99 0.23 1.02 0.85 0.83 0.33
19,614,095
11.48
TOTA L C O M M O N S TO C K S (cost EUR 151,636,031)
655,674 3,230,728
Germany 255,447
0.53 1.05 0.36 0.76 0.38 1.89
iShares Euro STOXX Banks
0.17 1.00
1,528,379 938,743 1,931,263
0.90 0.55 1.13
1,050,287 581,195
0.62 0.34
1,230,528 2,295,672 127,363
0.72 1.34 0.07
1,172,365
0.69
639,799
0.37
436,953 1,675,029 320,707
0.26 0.98 0.19
269,211 1,541,926 815,240 627,919 3,251,402
0.16 0.90 0.48 0.37 1.90
644,759 373,431 520,623
0.38 0.22 0.31
2,116,979
1.24
26,102 307,932
0.02 0.18
570,821
0.33
329,719 1,161,077
0.19 0.68
703,223 536,278 1,780,676 378,139
0.41 0.31 1.04 0.22
2,098,199
1.23
42,475,352
24.87
166,763,458
97.62
2,863,561
1.68
2,863,561
1.68
TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost EUR 154,160,041) 169,627,019
99.30
M A R K E T VA LU E O F I N V E S T M E N T S (cost EUR 154,160,041)
99.30
OT H E R A S S E T S A N D L I A B I L I T I E S 287,778 1,699,339
% of Shareholders’ Equity
Mutual Funds – 1.68%
TOTA L M U T U A L F U N D S (cost EUR 2,524,010) 911,046 1,801,365 615,528 1,291,955
Market Value EUR
SHAREHOLDERS’ EQUITY
169,627,019 1,191,207
0.70
170,818,226
100.00
The accompanying notes are an integral part of these financial statements.
39
Goldman Sachs Funds II, SICAV—GMS Europe Equity Portfolio Schedule of Investments As at 30 November 2012
% of Shareholders’ Equity
TOTA L I N V E S T M E N T S
Market Value EUR
Total Investments (cost EUR 154,160,041) Other Assets and Liabilities
169,627,019 1,191,207
99.30 0.70
Shareholders’ Equity
170,818,226
100.00
(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)
This security is fair valued. See Note 4.
Allocation of Portfolio as at 30 November 2012
% of Shareholders’ Equity
Common Stocks Food, Beverages & Tobacco Pharmaceuticals Banks Insurance Chemicals Oil & Gas Commercial Services Software Retail Telecommunications Others
11.41 8.66 7.84 6.46 5.90 5.63 4.27 3.72 3.54 3.38 36.81
TOTA L C O M M O N S TO C K S
97.62
Other Net Assets TOTA L
2.38 100.00
The accompanying notes are an integral part of these financial statements.
40
Goldman Sachs Funds II, SICAV—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2012
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 – 93.78%
Canada – (continued) 17,706 Eldorado Gold Corp. (Mining) 3,215 Fairfax Financial Holdings Ltd. (Insurance) 10,131 Goldcorp, Inc. (Mining) 98,980 IAMGOLD Corp. (Mining) 302,492 Kinross Gold Corp. (Mining) 247,130 Lundin Mining Corp. (Mining) 30,130 Osisko Mining Corp. (Mining) 5,273 Pan American Silver Corp. (Mining) 2,125 Pan American Silver Corp. (traded in United States) (Mining) 14,232 Research In Motion Ltd. (Computers) 30,197 Ritchie Bros Auctioneers, Inc. (Commercial Services) 32,312 SEMAFO, Inc. (Mining) 160,760 Talisman Energy, Inc. (Oil & Gas) 4,934 Yamana Gold, Inc. (Mining)
Argentina 41,240 Australia 25,906
2,779 9,876 12,478 255,230 11,771 10,528 10,727 19,331 27,342 5,223 2,022
Austria 1,576 Belgium 1,416
1,553 1,189
Bermuda 102,703
11,995
Arcos Dorados Holdings, Inc. “A” (Retail)
Australia & New Zealand Banking Group Ltd.—ADR(a) (Banks) BHP Billiton Ltd.—ADR(a) (Mining) Brambles Ltd.—ADR(a) (Commercial Services) Coca-Cola Amatil Ltd.—ADR(a) (Food, Beverages & Tobacco) Incitec Pivot Ltd.—ADR(a) (Chemicals) National Australia Bank Ltd.—ADR(a) (Banks) Newcrest Mining Ltd.—ADR(a) (Mining) QBE Insurance Group Ltd.—ADR(a) (Insurance) Telstra Corp., Ltd.—ADR(a) (Telecommunications) Westfield Group—ADR(a) (Real Estate Investment Trust) Westpac Banking Corp.—ADR(a) (Banks) Woodside Petroleum Ltd.—ADR(a) (Oil & Gas)
504,365
0.17
659,049 200,950
0.22 0.07
147,942
0.05
354,999 811,631
0.12 0.27
297,806 278,992
0.10 0.09
121,215
0.04
432,048
0.15
Cayman Islands 2,973 Herbalife Ltd. (Pharmaceuticals)
590,587 695,025
0.20 0.23
China
70,831
0.02
4,100 37,372
4,661,075
1.56
536,000 40,000
OMV AG (Oil & Gas)
Anheuser-Busch InBev NV (Food, Beverages & Tobacco) Belgacom S.A. (Telecommunications) Delhaize Group S.A. (Food, Beverages & Tobacco)
Marvell Technology Group Ltd. (Semiconductors) Nabors Industries Ltd. (Oil & Gas)
56,142
124,478 45,898
0.02
Denmark 12,179
0.04 0.02
44,303
0.01
214,679
0.07
865,273 177,286
0.29 0.06
1,042,559
0.35
35,160
0.01
930,303
0.31
85,571 46,452 525,913 583,785 944,280
0.03 0.02 0.18 0.19 0.31
3,151,464
1.05
1,702,760 1,220,073 843,525
0.57 0.41 0.28
623,487 622,504
0.21 0.21
1,746,335 42,167 273,031
0.58 0.02 0.09
179 13,686 764
Finland 9,589 1,774
Brazil
2,140 153,500 2,080 3,103 102,400 32,541 54,900
Canada 16,839 154,302 24,095 17,819
22,750 59,716 4,591 3,377
Banco Bradesco S.A.—ADR(a) (Banks) BM&FBovespa S.A. (Diversified Financial Services) Cia de Bebidas das Americas—ADR(a) (Food, Beverages & Tobacco) Itau Unibanco Holding S.A.—ADR(a) (Banks) Odontoprev S.A. (Insurance) Petroleo Brasileiro S.A.—ADR(a) (Oil & Gas) Vale S.A.—ADR(a) (Iron/Steel)
Agrium, Inc. (Chemicals) AuRico Gold, Inc. (Mining) Barrick Gold Corp. (Mining) Barrick Gold Corp. (traded in United States) (Mining) Bell Aliant, Inc. (Telecommunications) Canadian Natural Resources Ltd. (Oil & Gas) Centerra Gold, Inc. (Mining) Domtar Corp. (Forest Products & Paper)
France 1,759 1,259 1,325
43,487 704 3,044 1,045 20,606 1,236 13,759 5,248 1,186 1,085 2,878 1,497 290
Baidu, Inc.—ADR(a) (Internet) 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)
Nokia OYJ (Telecommunications) Sampo OYJ “A” (Insurance)
Alstom S.A. (Machinery—Diversified) BNP Paribas S.A. (Banks) Bouygues S.A. (Construction & Engineering) Carrefour S.A. (Food, Beverages & Tobacco) Casino Guichard Perrachon S.A. (Food, Beverages & Tobacco) Cie de St-Gobain (Building Materials) Cie Generale d’Optique Essilor International S.A. (Healthcare Products) Danone S.A. (Food, Beverages & Tobacco) Eutelsat Communications S.A. (Telecommunications) France Telecom S.A. (Telecommunications) GDF Suez (Electric) JCDecaux S.A. (Advertising) L’Oreal S.A. (Cosmetics/Personal Care) Lagardere SCA (Media) LVMH Moet Hennessy Louis Vuitton S.A. (Apparel) Neopost S.A. (Office/Business Equipment)
Market Value USD
% of Shareholders’ Equity
257,918 1,138,110 396,455 1,177,942 3,091,714 1,300,226 247,332 101,529
0.09 0.38 0.13 0.39 1.03 0.43 0.08 0.03
40,864 163,645
0.01 0.06
686,378 115,069 1,840,399 94,059
0.23 0.04 0.62 0.03
17,725,522
5.92
136,907
0.05
403,809
0.13
1,268,406
0.42
554,147
0.19
224,982
0.08
2,451,344
0.82
1,186,094 42,038 392,704 121,191
0.40 0.01 0.13 0.04
1,742,027
0.58
31,754 56,809
0.01 0.02
88,563
0.03
64,559 70,605
0.02 0.02
32,779
0.01
1,086,839
0.36
64,504 122,640
0.02 0.04
101,616 1,311,713
0.03 0.44
38,304 146,667 118,916 27,144 148,063 86,964
0.01 0.05 0.04 0.01 0.05 0.03
265,668 15,225
0.09 0.01
The accompanying notes are an integral part of these financial statements.
41
Goldman Sachs Funds II, SICAV—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Security Description
Common Stocks – (continued)
Common Stocks – (continued)
France – (continued) 1,514 Pernod-Ricard S.A. (Food, Beverages & Tobacco) 5,828 Sanofi (Pharmaceuticals) 1,167 Schneider Electric S.A. (Electrical Components & Equipment) 807 Sodexo (Commercial Services) 24,735 Total S.A. (Oil & Gas) 2,221 Vinci S.A. (Construction & Engineering) 10,903 Vivendi S.A. (Telecommunications)
Italy
Germany 10,650 8,417 923 1,368 29,867 1,282 45,512
8,310 50,698 7,694 232 1,049 856 19,924 169
Greece 64,583
Hong Kong 65,800 80,391 76,000 76,000 15,000
16,400 11,000
Indonesia 854,500
Ireland 29,515 16,138 155,516 6,424 4,965
Adidas AG (Apparel) Allianz SE (Insurance) BASF SE (Chemicals) Bayer AG (Pharmaceuticals) Daimler AG (Automobile Manufacturers) Deutsche Bank AG (Banks) Deutsche Boerse AG (Diversified Financial Services) Deutsche Telekom AG (Telecommunications) E.ON SE (Electric) Henkel AG & Co. KGaA—Preferred (Household Products/Wares) Merck KGaA (Pharmaceuticals) Metro AG (Food, Beverages & Tobacco) SAP AG (Software) Siemens AG (Miscellaneous Manufacturing) Volkswagen AG—Preferred (Automobile Manufacturers)
Coca Cola Hellenic Bottling Co. S.A. (Food, Beverages & Tobacco)
172,171 524,146
0.06 0.18
82,644 65,541 1,247,458 98,849 236,144
0.03 0.02 0.42 0.03 0.08
6,129,159
2.05
938,992 1,098,291 82,843 124,206 1,478,720 56,841
0.31 0.37 0.03 0.04 0.49 0.02
2,570,940
0.86
91,714 913,889
0.03 0.30
645,268 30,996 29,598 67,206 2,062,216
0.22 0.01 0.01 0.02 0.69
36,790
0.01
10,228,510
3.41
1,485,655
0.50
34,881 12,397
Bank Negara Indonesia Persero Tbk PT (Banks)
5,300 9,000 7,100 11,000 7,000 458,544 9,600 8,000 1,303 8,500 3,100 10,300 6,100 4,400 4,100 900 5,100 6,700 367 6,300 15,100 7,300 9,400 5,107 15,000
255,970 1,227,167 866,818 271,129
0.09 0.41 0.29 0.09
1,400 2,700 120,707 15,000
154,230
0.05
6,500
967,598 160,981
0.32 0.05
71,299
3,903,893
1.30
12,005 88,300 57,077
329,393
0.11
48,300 1,900
Covidien Plc. (Healthcare Products) CRH Plc. (Building Materials) Ryanair Holdings Plc. (Airlines) Shire Plc. (Pharmaceuticals) WPP Plc. (Advertising)
1,711,870 295,104 960,861 186,844 68,232
0.57 0.10 0.32 0.06 0.03
3,222,911
1.08
9,311 9,500 47,290 360 27,000
Israel
4,208
Teva Pharmaceutical Industries Ltd. (Pharmaceuticals)
167,802
% of Shareholders’ Equity
59,024 58,292
0.02 0.02
117,316
0.04
59,298 68,731
0.02 0.02
159,745 62,890 354,209 2,180,596
0.05 0.02 0.12 0.73
232,589 280,555
0.08 0.09
103,243 115,002
0.03 0.04
61,526 159,249 201,582 288,865 182,065 152,302
0.02 0.05 0.07 0.10 0.06 0.05
169,659 128,955 1,971,865 63,154
0.06 0.04 0.66 0.02
452,672 69,473 258,033 378,720
0.15 0.02 0.09 0.13
184,289
0.06
148,815 129,452 182,641 2,296,542
0.05 0.04 0.06 0.77
117,170
0.04
88,493
0.03
326,943 166,572 141,894
0.11 0.05 0.05
994,641
0.33
677,786
0.23
115,594 1,118,831
0.04 0.37
426,385 900,728 522,228
0.14 0.30 0.17
452,012 287,035 94,256 379,789
0.15 0.10 0.03 0.13
115,786
0.04
Japan
6,600 AIA Group Ltd. (Insurance) Cheung Kong Holdings Ltd. (Real Estate) China Mobile Ltd. (Telecommunications) China Resources Enterprise Ltd. (Retail) Hutchison Whampoa Ltd. (Holding Companies—Diversified) Jardine Matheson Holdings Ltd. (Holding Companies—Diversified) Sun Hung Kai Properties Ltd. (Real Estate)
Intesa Sanpaolo SpA (Banks) UniCredit SpA (Banks)
Market Value USD
73,000 19,200 13,300 2,700
0.06
Aeon Co., Ltd. (Retail) Asahi Glass Co., Ltd. (Building Materials) Asahi Group Holdings Ltd. (Food, Beverages & Tobacco) Asahi Kasei Corp. (Chemicals) Astellas Pharma, Inc. (Pharmaceuticals) 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) Chugai Pharmaceutical Co., Ltd. (Healthcare Products) Daiichi Sankyo Co., Ltd. (Pharmaceuticals) Denso Corp. (Auto Parts & Equipment) East Japan Railway Co. (Transportation) FamilyMart Co., Ltd. (Retail) FANUC Corp. (Machinery—Diversified) Honda Motor Co., Ltd. (Automobile Manufacturers) Hoya Corp. (Electronics) Inpex Corp. (Oil & Gas) ITOCHU Corp. (Distribution/Wholesale) Japan Tobacco, Inc. (Food, Beverages & Tobacco) Kansai Electric Power Co., Inc. (Electric) Kao Corp. (Cosmetics/Personal Care) KDDI Corp. (Telecommunications) Kirin Holdings Co., Ltd. (Food, Beverages & Tobacco) Komatsu Ltd. (Machinery—Construction & Mining) Kyocera Corp. (Electronics) Lawson, Inc. (Retail) Mitsubishi Corp. (Distribution/Wholesale) Mitsubishi Electric Corp. (Electrical Components & Equipment) Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals) Mitsubishi UFJ Financial Group, Inc. (Banks) Mitsui & Co., Ltd. (Distribution/Wholesale) Mizuho Financial Group, Inc. (Banks) MS&AD Insurance Group Holdgings (Insurance) Namco Bandai Holdings, Inc. (Toys/Games/Hobbies) Nidec Corp. (Electrical Components & Equipment) Nintendo Co., Ltd. (Toys/Games/Hobbies) Nippon Telegraph & Telephone Corp. (Telecommunications) NKSJ Holdings, Inc. (Insurance) NTT DoCoMo, Inc. (Telecommunications) Olympus Corp. (Miscellaneous Manufacturing) Osaka Gas Co., Ltd. (Gas) Panasonic Corp. (Home Furnishings) Rohm Co., Ltd. (Semiconductors) Santen Pharmaceutical Co., Ltd. (Pharmaceuticals)
The accompanying notes are an integral part of these financial statements.
42
Goldman Sachs Funds II, SICAV—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Market Value USD
Security Description
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) 481,148 118,074 1,319,859 349,201 115,634 168,189
0.16 0.04 0.44 0.12 0.04 0.06
400,042
0.13
1,703,555
0.57
1,145,336
0.38
425,596 190,617 528,726 240,688
0.14 0.06 0.18 0.08
539,636 59,994 887,127 231,053
0.18 0.02 0.30 0.08
26,927,335
8.99
Norway 111,886 13,325 12,184 9,843
Russia 9,862 Singapore 75,000 1,810,596 111,000
6,000
South Africa 1,558 149,411 811 59,915 6,771
Korea
2,447 91
Korea Electric Power Corp.—ADR(a) (Electric) Samsung Electronics Co., Ltd.—GDR(a) (Semiconductors) Samsung Electronics Co., Ltd.—GDR 144A(a)(b) (Semiconductors)
Luxembourg 754 ArcelorMittal (Iron/Steel) Malaysia 168,920
Mexico 37,357
899
% of Shareholders’ Equity
Common Stocks – (continued)
Japan – (continued) 16,500 Seven & I Holdings Co., Ltd. (Retail) 2,000 Shin-Etsu Chemical Co., Ltd. (Chemicals) 7,791 SMC Corp. (Hand/Machine Tools) 9,300 Softbank Corp. (Telecommunications) 6,700 Sony Financial Holdings, Inc. (Insurance) 13,500 Sumitomo Corp. (Distribution/Wholesale) 12,387 Sumitomo Mitsui Financial Group, Inc. (Banks) 558,947 Sumitomo Mitsui Trust Holdings, Inc. (Banks) 48,074 Suzuki Motor Corp. (Automobile Manufacturers) 9,300 Takeda Pharmaceutical Co., Ltd. (Pharmaceuticals) 7,400 Tokio Marine Holdings, Inc. (Insurance) 11,800 Tokyo Electron Ltd. (Semiconductors) 49,000 Tokyo Gas Co., Ltd. (Gas) 12,527 Toyota Motor Corp. (Automobile Manufacturers) 1,500 West Japan Railway Co. (Transportation) 84,400 Yamaha Motor Co., Ltd. (Leisure Time) 15,400 Yamato Holdings Co., Ltd. (Transportation)
3,842
Security Description
Market Value USD
Sime Darby Bhd (Holding Companies—Diversified)
31,170 47,410
0.02
1,600,338
0.53
59,514
0.02
1,707,262
0.57
11,539
0.00
498,331
Spain 13,200
21,268 6,112 949 9,649
Sweden 57,430
0.17
3,771 40,335 17,330 3,171
(a)
America Movil SAB de CV—ADR “L” (Telecommunications) Wal-Mart de Mexico SAB de CV—ADR(a) (Retail)
Netherlands 987 Akzo Nobel NV (Chemicals) 29,394 Heineken NV (Food, Beverages & Tobacco) 7,316 ING Groep NV (Insurance) 2,414 Koninklijke Ahold NV (Food, Beverages & Tobacco) 10,906 Koninklijke KPN NV (Telecommunications) 6,897 Koninklijke Philips Electronics NV (Electronics) 27,000 QIAGEN NV (Healthcare Products) 1,944 Royal Dutch Shell Plc. “A” (Oil & Gas) 3,160 Royal Dutch Shell Plc. “A” (traded in United Kingdom) (Oil & Gas) 7,621 Royal Dutch Shell Plc. “B” (Oil & Gas) 8,512 Unilever NV (Food, Beverages & Tobacco) 18,102 VistaPrint NV (Commercial Services)
881,625
0.29
28,738
0.01
910,363
0.30
56,762
0.02
1,951,735 66,415
0.65 0.02
30,734 61,756
0.01 0.02
179,408 502,740 65,412
0.06 0.17 0.02
106,318 264,515
0.03 0.09
324,356 565,506
0.11 0.19
4,175,657
1.39
4,748 68,984 3,717 1,880 151,444 26,979 32,747
Switzerland 11,162 932 31,011
7,223 52,675 156 74
Norsk Hydro ASA (Mining) Schibsted ASA (Media) Statoil ASA (Oil & Gas) Telenor ASA (Telecommunications)
Gazprom OAO—ADR(a) (Oil & Gas)
DBS Group Holdings Ltd. (Banks) Golden Agri-Resources Ltd. (Agriculture) Singapore Telecommunications Ltd. (Telecommunications) United Overseas Bank Ltd. (Banks)
AngloGold Ashanti Ltd.—ADR(a) (Mining) Clicks Group Ltd. (Retail) Gold Fields Ltd.—ADR(a) (Mining) MTN Group Ltd. (Telecommunications) MTN Group Ltd.—ADR(a) (Telecommunications) Naspers Ltd. “N” (Media)
Banco Bilbao Vizcaya Argentaria S.A. (Banks) Banco Santander S.A. (Banks) Iberdrola S.A. (Electric) Repsol S.A. (Oil & Gas) 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) Skandinaviska Enskilda Banken AB “A” (Banks) Skanska AB “B” (Construction & Engineering) 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) Adecco S.A. (Commercial Services) Compagnie Financiere Richemont S.A. “A” (Retail) Credit Suisse Group AG (Banks) Foster Wheeler AG (Construction & Engineering) Geberit AG (Building Materials) Givaudan S.A. (Chemicals)
535,794 554,289 296,668 199,434
0.18 0.18 0.10 0.07
1,586,185
0.53
88,265
0.03
887,625 978,963
0.29 0.33
299,086 91,991
0.10 0.03
2,257,665
0.75
49,108 1,063,964 10,105 1,108,499
0.02 0.35 0.00 0.37
125,941 1,934,252
0.04 0.65
4,291,869
1.43
112,196 164,381 30,288 20,209 126,406
0.04 0.05 0.01 0.01 0.04
453,480
0.15
1,335,050 122,320 935,833 159,922
0.45 0.04 0.31 0.05
25,643
0.01
75,294 2,469,690 68,992
0.03 0.82 0.02
66,543
0.02
1,406,629 180,899 465,703
0.47 0.06 0.16
7,312,518
2.44
218,811 46,288
0.07 0.02
2,407,582 171,579
0.80 0.06
1,190,455 33,155 74,926
0.40 0.01 0.02
The accompanying notes are an integral part of these financial statements.
43
Goldman Sachs Funds II, SICAV—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Security Description
Common Stocks – (continued)
Common Stocks – (continued)
Switzerland – (continued) 2,068 Julius Baer Group Ltd. (Diversified Financial Services) 72,390 Nestle S.A. (Food, Beverages & Tobacco) 53,178 Noble Corp. (Oil & Gas) 43,239 Novartis AG (Pharmaceuticals) 182 Partners Group Holding AG (Diversified Financial Services) 23,852 Roche Holding AG (Pharmaceuticals) 10,029 Schindler Holding AG (Hand/Machine Tools) 482 Swisscom AG (Telecommunications) 202 Syngenta AG (Chemicals) 8,356 UBS AG (Banks) 42,151 Wolseley Plc. (Distribution/Wholesale) 4,860 Xstrata Plc. (Mining) 544 Zurich Insurance Group AG (Insurance)
United Kingdom – (continued) 6,929 J Sainsbury Plc. (Food, Beverages & Tobacco) 10,556 Kingfisher Plc. (Retail) 18,374 Man Group Plc. (Diversified Financial Services) 4,500 Pearson Plc. (Media) 183,778 Prudential Plc. (Insurance) 5,107 Reckitt Benckiser Group Plc. (Household Products/Wares) 11,714 Reed Elsevier Plc. (Media) 4,131 Rio Tinto Plc. (Mining) 95,463 Rolls-Royce Holdings Plc. (Aerospace & Defence) 6,106,828 Rolls-Royce Holdings Plc. “C”(c) (Aerospace & Defence) 3,365 SABMiller Plc. (Food, Beverages & Tobacco) 15,493 Smith & Nephew Plc. (Healthcare Products) 5,975 Standard Chartered Plc. (Banks) 50,459 Tesco Plc. (Food, Beverages & Tobacco) 4,241 Unilever Plc. (Food, Beverages & Tobacco) 460,258 Vodafone Group Plc. (Telecommunications) 46,978 Vodafone Group Plc.—ADR(a) (Telecommunications) 56,716 Willis Group Holdings Plc. (Insurance) 17,978 WM Morrison Supermarkets Plc. (Food, Beverages & Tobacco)
Taiwan 1,869
7,867 87,624
Turkey 15,999
121,229
Chunghwa Telecom Co., Ltd.—ADR(a) (Telecommunications) Hon Hai Precision Industry Co., Ltd.—GDR(a) (Electronics) Taiwan Semiconductor Manufacturing Co., Ltd.—ADR(a) (Semiconductors)
BIM Birlesik Magazalar AS (Food, Beverages & Tobacco) Turkiye Garanti Bankasi AS (Banks)
United Arab Emirates 53,855 Dragon Oil Plc. (Oil & Gas) United Kingdom 16,313 Aggreko Plc. (Commercial Services) 40,842 Anglo American Plc. (Mining) 28,205 Aon Plc. (Insurance) 8,927 AstraZeneca Plc. (Pharmaceuticals) 13,278 Aviva Plc. (Insurance) 15,689 BAE Systems Plc. (Aerospace & Defence) 8,746 Balfour Beatty Plc. (Construction & Engineering) 27,149 Barclays Plc. (Banks) 15,412 BG Group Plc. (Oil & Gas) 4,704 BHP Billiton Plc. (Mining) 69,108 BP Plc. (Oil & Gas) 23,090 BP Plc.—ADR(a) (Oil & Gas) 24,467 British American Tobacco Plc. (Food, Beverages & Tobacco) 8,225 British Sky Broadcasting Group Plc. (Media) 45,691 BT Group Plc. (Telecommunications) 66,269 Bunzl Plc. (Commercial Services) 2,050 Cairn Energy Plc. (Oil & Gas) 12,115 Compass Group Plc. (Food, Beverages & Tobacco) 78,931 Diageo Plc. (Food, Beverages & Tobacco) 92,152 GlaxoSmithKline Plc. (Pharmaceuticals) 341,470 Hays Plc. (Commercial Services) 134,750 HSBC Holdings Plc. (Banks) 5,182 Imperial Tobacco Group Plc. (Food, Beverages & Tobacco) 6,017 Inmarsat Plc. (Telecommunications)
71,000 4,749,764 1,829,323 2,690,199
0.02 1.59 0.61 0.90
38,896 4,675,753
0.01 1.56
1,391,775 203,267 81,288 130,377 1,956,121 81,213 139,197
0.46 0.07 0.03 0.04 0.65 0.03 0.05
22,180,969
7.40
60,144
0.02
49,857
0.01
1,521,153
0.51
1,631,154
0.54
731,907 573,922
0.25 0.19
1,305,829
0.44
483,788
0.16
587,735 1,144,121 1,607,121 424,171 75,369 83,106
0.20 0.38 0.54 0.14 0.02 0.03
36,352 107,608 265,678 149,159 476,855 956,619
0.01 0.04 0.09 0.05 0.16 0.32
1,286,060
0.43
100,862 170,174 1,099,431 8,872
0.03 0.06 0.37 0.00
140,811 2,357,604 1,981,450 425,295 1,379,710
0.05 0.79 0.66 0.14 0.46
207,758 57,036
0.07 0.02
United States 21,587 Abbott Laboratories (Pharmaceuticals) 81,054 Advanced Micro Devices, Inc. (Semiconductors) 3,237 Allied Nevada Gold Corp. (Mining) 14,610 Allstate Corp. (Insurance) 18,490 Altera Corp. (Semiconductors) 8,628 Amazon.com, Inc. (Internet) 14,300 American Electric Power Co., Inc. (Electric) 6,656 AmerisourceBergen Corp. (Pharmaceuticals) 27,649 AOL, Inc. (Internet) 23,166 Apache Corp. (Oil & Gas) 18,970 Archer-Daniels-Midland Co. (Agriculture) 60,323 AT&T, Inc. (Telecommunications) 48,419 Baker Hughes, Inc. (Oil & Gas Services) 10,074 Bed Bath & Beyond, Inc. (Retail) 21,626 Best Buy Co., Inc. (Retail) 24,721 BioMarin Pharmaceutical, Inc. (Pharmaceuticals) 9,159 Bristol-Myers Squibb Co. (Pharmaceuticals) 13,064 Bunge Ltd. (Agriculture) 13,968 Calpine Corp. (Electric) 28,884 CarMax, Inc. (Retail) 5,903 Chevron Corp. (Oil & Gas) 142,358 Cisco Systems, Inc. (Telecommunications) 3,354 Coca-Cola Enterprises, Inc. (Food, Beverages & Tobacco) 36,069 Comcast Corp. “A” (Media) 5,752 Consolidated Edison, Inc. (Electric) 15,351 Dean Foods Co. (Food, Beverages & Tobacco) 8,672 Deere & Co. (Machinery—Diversified) 61,522 Dell, Inc. (Computers) 16,419 Dolby Laboratories, Inc. “A” (Electronics) 4,836 Dominion Resources, Inc. (Electric) 4,513 DTE Energy Co. (Electric)
Market Value USD
% of Shareholders’ Equity
38,256 47,067
0.01 0.01
23,781 85,146 2,675,555
0.01 0.03 0.89
321,016 120,971 205,737
0.11 0.04 0.07
1,363,999
0.45
9,770
0.00
152,810
0.05
163,715 140,280 264,340 164,875 1,189,563
0.05 0.05 0.09 0.05 0.40
1,213,911 1,943,657
0.40 0.65
77,859
0.03
25,331,265
8.45
1,401,860
0.47
174,428 106,907 593,458 597,597 2,154,843 605,033
0.06 0.04 0.20 0.20 0.72 0.20
277,955 1,045,962 1,788,879 507,448 2,067,872 2,102,353 591,948 282,219
0.09 0.35 0.60 0.17 0.69 0.70 0.20 0.09
1,210,093
0.40
298,767 952,758 239,272 1,048,200 626,544 2,701,243
0.10 0.32 0.08 0.35 0.21 0.90
103,941 1,329,323 318,948
0.03 0.44 0.11
264,344 736,426 597,071 541,827 245,330 272,314
0.09 0.25 0.20 0.18 0.08 0.09
The accompanying notes are an integral part of these financial statements.
44
Goldman Sachs Funds II, SICAV—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) United States – (continued) 7,824 Duke Energy Corp. (Electric) 41,905 eBay, Inc. (Internet) 9,965 Edison International (Electric) 33,023 Eli Lilly & Co. (Pharmaceuticals) 9,302 Entergy Corp. (Electric) 9,976 EOG Resources, Inc. (Oil & Gas) 37,609 Exelon Corp. (Electric) 9,020 Express Scripts Holding Co. (Pharmaceuticals) 18,102 Exxon Mobil Corp. (Oil & Gas) 2,661 Fifth Third Bancorp (Banks) 44,484 FLIR Systems, Inc. (Electronics) 80,428 Ford Motor Co. (Automobile Manufacturers) 91,723 General Electric Co. (Miscellaneous Manufacturing) 32,057 General Motors Co. (Automobile Manufacturers) 2,122 Google, Inc. “A” (Internet) 12,421 Green Mountain Coffee Roasters, Inc. (Food, Beverages & Tobacco) 22,316 Halliburton Co. (Oil & Gas Services) 21,373 Harley-Davidson, Inc. (Leisure Time) 36,220 HealthSouth Corp. (Healthcare Services) 47,919 Hewlett-Packard Co. (Computers) 2,617 HJ Heinz Co. (Food, Beverages & Tobacco) 5,698 Hormel Foods Corp. (Food, Beverages & Tobacco) 9,096 Illumina, Inc. (Biotechnology) 222 Intel Corp. (Semiconductors) 700 Intuitive Surgical, Inc. (Healthcare Products) 30,831 Johnson & Johnson (Pharmaceuticals) 17,006 JPMorgan Chase & Co. (Banks) 72,790 Juniper Networks, Inc. (Telecommunications) 46,834 Key Corp. (Banks) 2,291 Kimberly-Clark Corp. (Household Products/Wares) 3,842 Kraft Foods Group, Inc. (Food, Beverages & Tobacco) 17,493 Kroger Co. (Food, Beverages & Tobacco) 18,850 Life Technologies Corp. (Biotechnology) 9,982 Lockheed Martin Corp. (Aerospace & Defence) 11,720 Lorillard, Inc. (Food, Beverages & Tobacco) 3,082 Markel Corp. (Insurance) 3,342 Mastercard, Inc. “A” (Commercial Services) 12,543 Medtronic, Inc. (Healthcare Products) 83,156 Merck & Co., Inc. (Pharmaceuticals) 14,825 MetLife, Inc. (Insurance) 70,428 Microsoft Corp. (Software) 12,859 Mohawk Industries, Inc. (Textiles) 28,263 Molson Coors Brewing Co. “B” (Food, Beverages & Tobacco) 11,526 Mondelez International, Inc. “A” (Food, Beverages & Tobacco) 26,104 Moody’s Corp. (Commercial Services) 11,680 Mosaic Co. (Chemicals) 9,506 National Oilwell Varco, Inc. (Oil & Gas Services) 81,130 New York Community Bancorp, Inc. (Diversified Financial Services) 30,681 Newmont Mining Corp. (Mining) 10,114 NextEra Energy, Inc. (Electric)
Security Description
Market Value USD
% of Shareholders’ Equity
Common Stocks – (continued) 495,416 2,200,432 450,219 1,616,806 590,584 1,178,565 1,127,142
0.17 0.73 0.15 0.54 0.20 0.39 0.38
483,472 1,598,588 39,223 907,029
0.16 0.53 0.01 0.30
920,096
0.31
1,942,693
0.65
829,956 1,462,589
0.28 0.49
457,838 741,561 1,007,096 798,651 615,759
0.15 0.25 0.34 0.27 0.21
153,147
0.05
175,954 476,812 4,362
0.06 0.16 0.00
371,179 2,136,897 700,307
0.12 0.71 0.23
1,302,213 380,292
0.43 0.13
196,476
0.07
176,578 453,943 936,845
0.06 0.15 0.31
937,509
0.31
1,411,908 1,505,742
0.47 0.50
1,624,479 529,942 3,699,610 496,489 1,889,583 1,102,659
0.54 0.18 1.23 0.17 0.63 0.37
1,158,500
0.39
298,293 1,261,345 634,107
0.10 0.42 0.21
661,998
0.22
1,054,690 1,455,813 691,697
0.35 0.49 0.23
United States – (continued) 6,291 Northern Trust Corp. (Banks) 8,846 Northrop Grumman Corp. (Aerospace & Defence) 13,137 NRG Energy, Inc. (Electric) 25,032 Omnicom Group, Inc. (Advertising) 53,284 Oracle Corp. (Software) 62,052 PepsiCo., Inc. (Food, Beverages & Tobacco) 85,441 Pfizer, Inc. (Pharmaceuticals) 22,843 PG&E Corp. (Electric) 23,608 Philip Morris International, Inc. (Food, Beverages & Tobacco) 4,057 Pinnacle West Capital Corp. (Electric) 7,425 Praxair, Inc. (Chemicals) 25,959 Principal Financial Group, Inc. (Insurance) 23,966 Procter & Gamble Co. (Cosmetics/Personal Care) 23,102 Progressive Corp. (Insurance) 25,537 Prudential Financial, Inc. (Insurance) 44,121 Public Service Enterprise Group, Inc. (Electric) 16,435 Reynolds American, Inc. (Food, Beverages & Tobacco) 32,527 Royal Caribbean Cruises Ltd. (Leisure Time) 23,277 Safeway, Inc. (Food, Beverages & Tobacco) 7,340 Schlumberger Ltd. (Oil & Gas Services) 19,400 Seattle Genetics, Inc. (Biotechnology) 2,115 Southern Co. (Electric) 149,347 Sprint Nextel Corp. (Telecommunications) 44,426 State Street Corp. (Banks) 71,660 Stillwater Mining Co. (Mining) 10,119 Stryker Corp. (Healthcare Products) 8,969 Sysco Corp. (Food, Beverages & Tobacco) 23,570 Target Corp. (Retail) 5,789 Teradata Corp. (Computers) 33,018 Teradyne, Inc. (Semiconductors) 42,289 Time Warner, Inc. (Media) 29,179 Torchmark Corp. (Insurance) 8,253 Travelers Cos, Inc. (Insurance) 14,188 TripAdvisor, Inc. (Internet) 9,386 Tyson Foods, Inc. “A” (Food, Beverages & Tobacco) 38,732 Ultra Petroleum Corp. (Oil & Gas) 98,340 Unum Group (Insurance) 6,282 US Bancorp (Banks) 12,507 Verizon Communications, Inc. (Telecommunications) 4,952 Visa, Inc. “A” (Commercial Services) 53,143 Wal-Mart Stores, Inc. (Retail) 45,605 Walgreen Co. (Retail) 21,581 Walt Disney Co. (Media) 11,811 Waters Corp. (Electronics) 11,158 WellPoint, Inc. (Healthcare Services) 15,003 Wells Fargo & Co. (Banks) 24,796 Xilinx, Inc. (Semiconductors) 7,208 Zimmer Holdings, Inc. (Healthcare Products)
TOTA L C O M M O N S TO C K S (cost USD 268,373,820)
302,597
0.10
588,613 277,322 1,242,338 1,697,095
0.20 0.09 0.41 0.57
4,338,676 2,122,354 930,167
1.45 0.71 0.31
2,121,887 207,516 790,837 700,114
0.71 0.07 0.26 0.23
1,670,191 494,614 1,335,585
0.56 0.16 0.45
1,322,748
0.44
714,101
0.24
1,152,757
0.38
395,709 524,737 497,610 91,347 852,771 1,984,954 829,106 546,122
0.13 0.18 0.17 0.03 0.28 0.66 0.28 0.18
283,869 1,469,118 344,561 518,713 1,989,275 1,517,600 587,036 536,306
0.09 0.49 0.11 0.17 0.66 0.51 0.20 0.18
179,179 782,386 2,013,020 202,657
0.06 0.26 0.67 0.07
553,310 736,808 3,809,290 1,544,641 1,071,928 994,959 618,042 497,199 857,446
0.18 0.25 1.27 0.52 0.36 0.33 0.21 0.17 0.29
473,421
0.16
122,440,879
40.87
280,953,639
93.78
The accompanying notes are an integral part of these financial statements.
45
Goldman Sachs Funds II, SICAV—GMS Global Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Market Value USD
Security Description
% of Shareholders’ Equity
Mutual Funds – 4.04% Ireland 6,218,100
Goldman Sachs US$ Liquid Reserves Fund (X Accumulation Class)(d)(e)
United States 7,954 iShares FTSE China 25 Index Fund 73,672 iShares MSCI Australia Index Fund 1,892 iShares MSCI Brazil Index Fund 5,423 iShares MSCI Germany Index Fund 6,348 iShares MSCI Malaysia Index Fund 3,255 iShares MSCI South Korea Index Fund 19,665 iShares MSCI Switzerland Index Fund 25,588 iShares MSCI United Kingdom Index Fund 1,286 iShares S&P India Nifty 50 Index Fund 32,039 Market Vectors Gold Miners ETF 4,912 SPDR S&P 500 ETF Trust
6,218,100
2.07
296,127 1,841,063 97,495 127,820 92,840 194,616 515,223 454,187 31,803 1,541,717 698,290
0.10 0.62 0.03 0.04 0.03 0.07 0.17 0.15 0.01 0.52 0.23
5,891,181 TOTA L M U T U A L F U N D S (cost USD 11,987,979)
12,109,281
4.04
97.82
M A R K E T VA LU E O F I N V E S T M E N T S E XC LU D I N G D E R I VAT I V E S (cost USD 280,361,799)
Currency
AUD CAD DKK EUR GBP GBP HKD SGD USD USD USD INR
324,014 936,000 636,000 220,000 173,976 551,394 38,090,053 346,193 9,348,624 3,183,314 2,281,596 15,497,000
293,062,920
97.82
Maturity Date
Unrealised Gain USD
% of Shareholders’ Equity
USD 337,000 USD 934,868 USD 109,967 USD 279,624 CAD 275,609 USD 879,880 USD 4,913,242 USD 281,658 CAD 9,126,903 JPY 248,646,945 JPY 187,246,000 USD 282,328
19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 27/12/2012 28/12/2012
165 6,427 877 6,345 1,162 2,251 1,664 1,942 170,093 169,398 11,712 1,378
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.06 0.06 0.01 0.00
373,414
0.13
UNREALISED GAIN ON FORWARD CURRENCY C O N T R AC T S
Currency
CHF GBP HKD JPY SEK USD USD USD USD
Amount Bought
Currency
Amount Sold
Maturity Date
Unrealised Loss USD
% of Shareholders’ Equity
603,250 311,493 1,464,181 72,320,000 1,371,664 2,570,071 357,018 6,259,600 322,230
USD HKD AUD USD USD AUD CHF EUR NOK
651,036 3,900,000 186,000 922,270 207,106 2,485,413 334,749 4,861,485 1,863,812
19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012 19/12/2012
(412) (4,900) (4,621) (45,660) (1,210) (16,223) (4,019) (59,664) (5,969)
(0.00) (0.00) (0.00) (0.02) (0.00) (0.01) (0.00) (0.02) (0.00)
(142,678)
(0.05)
293,293,656
97.90
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 M A R K E T VA LU E O F I N V E S T M E N T S (cost USD 280,361,799) OT H E R A S S E T S A N D L I A B I L I T I E S SHAREHOLDERS’ EQUITY
293,062,920 373,414 (142,678) 6,292,937
97.82 0.13 (0.05) 2.10
Shareholders’ Equity
299,586,593
100.00
The maximum individual counterparty exposure as at 30 November 2012 is 0.07% of the NAV. (a)
Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt).
(b)
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.
(c)
This security is fair valued. See Note 4.
(d)
The yield for this fund as at 30 November 2012 was 0.283%.
(e)
A related party to Goldman Sachs Funds II, SICAV.
Allocation of Portfolio as at 30 November 2012
Amount Sold
Currency
Total Investments excluding derivatives (cost USD 280,361,799) Unrealised gain on forward currency contracts Unrealised loss on forward currency contracts Other Assets and Liabilities
The counterparties for forward currency contracts were Mellon Bank NA and State Street Trust Company Canada.
6,292,937
2.10
299,586,593
100.00
% of Shareholders’ Equity
Common Stocks
Forward Currency Contracts – 0.08% Amount Bought
TOTA L I N V E S T M E N T S
1.97
TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost USD 280,361,799) 293,062,920
% of Shareholders’ Equity
Market Value USD
Food, Beverages & Tobacco Pharmaceuticals Insurance Telecommunications Oil & Gas Banks Mining Retail Electric Internet Others
10.76 8.49 7.07 6.32 6.18 6.01 4.88 4.69 3.06 2.60 33.72
TOTA L C O M M O N S TO C K S
93.78
Other Net Assets TOTA L
6.22 100.00
The accompanying notes are an integral part of these financial statements.
46
Goldman Sachs Funds II, SICAV—GMS Japan Equity Portfolio Schedule of Investments As at 30 November 2012
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 – 99.10%
Electric 4,100
Auto Parts & 13,000 27,100 11,500
Equipment NGK Spark Plug Co., Ltd. Sumitomo Electric Industries Ltd. Sumitomo Rubber Industries Ltd.
Automobile Manufacturers 8,600 Honda Motor Co., Ltd. 158,000 Mazda Motor Corp. 39,800 Nissan Motor Co., Ltd. 10,700 Toyota Motor Corp.
Banks 184,400 244,800 9,000 95,000
Mitsubishi UFJ Financial Group, Inc. Mizuho Financial Group, Inc. Sumitomo Mitsui Financial Group, Inc. Sumitomo Mitsui Trust Holdings, Inc.
Building Materials 56,000 Asahi Glass Co., Ltd. 10,000 Daikin Industries Ltd. 11,300 LIXIL Group Corp. 18,000 Nice Holdings, Inc. 2,600 Rinnai Corp. 41,000 Taiheiyo Cement Corp.
Chemicals 10,000 36,000 64,000 47,000 3,800 6,700 33,000 3,800 61,000 92,000
Computers 52,000
Air Water, Inc. Asahi Kasei Corp. Denki Kagaku Kogyo KK DIC Corp. Hitachi Chemical Co., Ltd. JSR Corp. Mitsubishi Gas Chemical Co., Inc. Nissan Chemical Industries Ltd. Showa Denko KK Ube Industries Ltd.
Fujitsu Ltd.
Construction & Engineering 4,500 Asunaro Aoki Construction Co., Ltd. 95,000 Taisei Corp.
Cosmetics/Personal Care 3,500 Kao Corp. Distribution/Wholesale 29,400 Mitsubishi Corp. 16,400 Mitsui & Co., Ltd.
Diversified Financial Services 43,800 Nomura Holdings, Inc. 4,290 ORIX Corp.
Electric Power Development Co., Ltd.
% of Shareholders’ Equity
8,572
0.57
29,134 17,403 11,546
1.95 1.17 0.78
58,083
3.90
11,554 7,630 20,628
0.78 0.51 1.38
39,812
2.67
7,780
0.52
10,954 19,047
0.73 1.28
30,001
2.01
5,515 20,266
0.37 1.36
25,781
1.73
Hand/Machine Tools 5,000 Makita Corp.
17,493
1.17
Healthcare Services 4,500 Miraca Holdings, Inc.
15,094
1.01
Home Builders 17,000 Daiwa House Industry Co., Ltd. 3,700 Takamatsu Construction Group Co., Ltd.
21,495 4,841
1.44 0.33
26,336
1.77
11,338 12,895
0.76 0.87
24,233
1.63
14,220
0.95
13,019 24,254 11,254
0.87 1.63 0.75
48,527
3.25
23,607 20,664 31,979 38,034
1.58 1.39 2.15 2.55
114,284
7.67
69,772 32,460 23,984 23,891
4.68 2.18 1.61 1.60
150,107
10.07
35,288 26,014 19,778 3,473 14,974 7,564
2.37 1.74 1.33 0.23 1.00 0.51
107,091
7.18
10,402 16,983 17,301 6,993 4,496 10,250 16,125 3,786 7,293 15,771
0.70 1.14 1.16 0.47 0.30 0.69 1.08 0.25 0.49 1.06
109,400
7.34
16,303
1.09
Insurance 151
Dai-ichi Life Insurance Co., Ltd.
2,188 21,328
0.15 1.43
Internet 9,700
Rakuten, Inc.
23,516
1.58
7,928
Market Value (‘000) JPY
Electrical Components & Equipment 61,000 Hitachi Ltd. 27,000 Mitsubishi Electric Corp. 2,300 Nidec Corp.
Electronics 500 1,000 73,000
Keyence Corp. Kyocera Corp. Toshiba Corp.
Entertainment 5,600 Toho Co., Ltd. Food, Beverages & Tobacco 5,900 Asahi Group Holdings Ltd. 7,700 Japan Tobacco, Inc.
Gas
17,000 50,000
Osaka Gas Co., Ltd. Tokyo Gas Co., Ltd.
Home Furnishings 66,000 Sharp Corp. 16,000 Sony Corp.
6,739
0.45
Investment Companies 11,800 Jafco Co., Ltd.
24,342
1.63
Iron/Steel 66,000
12,549
0.84
8,558
0.57
4,262 12,567 15,814
0.29 0.84 1.06
32,643
2.19
0.53
46,155 18,777
3.10 1.26
64,932
4.36
15,043 35,662
1.01 2.39
50,705
3.40
Nippon Steel & Sumitomo Metal Corp.
Machinery—Construction & Mining 4,600 Komatsu Ltd. Machinery—Diversified 9,000 Amada Co., Ltd. 900 FANUC Corp. 86,000 IHI Corp.
The accompanying notes are an integral part of these financial statements.
47
Goldman Sachs Funds II, SICAV—GMS Japan Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value (‘000) JPY
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) 3,214
0.22
Mining 14,000
7,545
0.51
10,626 10,065
0.71 0.68
20,691
1.39
Miscellaneous Manufacturing 7,000 FUJIFILM Holdings Corp. 17,000 Konica Minolta Holdings, Inc.
% of Shareholders’ Equity
Common Stocks – (continued)
Metal Fabricate/Hardware 8,400 Kitz Corp.
Dowa Holdings Co., Ltd.
Security Description
Market Value (‘000) JPY
Toys/Games/Hobbies 3,700 Namco Bandai Holdings, Inc. 3,800 Nintendo Co., Ltd.
Transportation 3,500 East Japan Railway Co. 73,000 Nippon Yusen KK 14,000 Sankyu, Inc. 22,000 Tokyu Corp.
4,284 37,678
0.28 2.53
41,962
2.81
18,960 12,845 4,726 9,314
1.27 0.86 0.32 0.63
45,845
3.08
Office Furnishings 6,000 Okamura Corp.
3,659
0.25
TOTA L C O M M O N S TO C K S (cost (‘000) JPY 1,618,186)
1,477,292
99.10
Office/Business Equipment 6,000 Canon, Inc. 21,000 Ricoh Co., Ltd.
17,363 16,161
1.17 1.08
33,524
2.25
TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost (‘000) JPY 1,618,186)
1,477,292
99.10
M A R K E T VA LU E O F I N V E S T M E N T S (cost (‘000) JPY 1,618,186)
1,477,292
99.10
Oil & Gas 81,800
JX Holdings, Inc.
Pharmaceuticals 7,100 Mitsubishi Tanabe Pharma Corp. 9,200 Shionogi & Co., Ltd.
36,142
2.42
OT H E R A S S E T S A N D L I A B I L I T I E S SHAREHOLDERS’ EQUITY
Aeon Mall Co., Ltd. Tokyu Land Corp.
Real Estate Investment Trust 142 Japan Retail Fund Investment Corp.
0.90
1,490,645
100.00
7,976 12,869
0.54 0.86
20,845
1.40
7,261 21,849
0.49 1.46
Total Investments (cost (‘000) JPY 1,618,186) Other Assets and Liabilities
1,477,292 13,353
99.10 0.90
29,110
1.95
Shareholders’ Equity
1,490,645
100.00
21,319
1.43
5,402 14,166 4,795 12,512 10,011 4,189 16,150
0.36 0.95 0.32 0.84 0.67 0.28 1.09
67,225
4.51
2,144 13,010 10,722
0.15 0.87 0.72
25,876
1.74
8,000
0.54
41,849 13,287
2.81 0.89
55,136
3.70
12,170
0.82
TOTA L I N V E S T M E N T S
Real Estate 3,400 45,000
13,353
Market Value (‘000) JPY
% of Shareholders’ Equity
Retail
3,600 7,700 4,100 5,200 1,200 8,000 5,530
Aoyama Trading Co., Ltd. Izumi Co., Ltd. Nafco Co., Ltd. Seven & I Holdings Co., Ltd. Shimamura Co., Ltd. Takashimaya Co., Ltd. Yamada Denki Co., Ltd.
Semiconductors 15,000 Nippon Chemi-Con Corp. 22,400 Sumco Corp. 2,900 Tokyo Electron Ltd.
Software 7,200
Square Enix Holdings Co., Ltd.
Telecommunications 11,300 Nippon Telegraph & Telephone Corp. 111 NTT DoCoMo, Inc.
Textiles 64,000
Teijin Ltd.
The accompanying notes are an integral part of these financial statements.
48
Goldman Sachs Funds II, SICAV—GMS US Equity Portfolio Schedule of Investments As at 30 November 2012
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 – 95.75%
Electrical Components & Equipment 3,230 Acuity Brands, Inc. 22,035 Energizer Holdings, Inc.
Aerospace & Defence 20,410 B/E Aerospace, Inc. 40,420 United Technologies Corp.
Airlines 350,125 24,860 30,190
Banks 75,900 47,720 70,980
Southwest Airlines Co. Spirit Airlines, Inc. US Airways Group, Inc.
Citigroup, Inc. JPMorgan Chase & Co. Wells Fargo & Co.
Biotechnology 34,480 Celgene Corp. 15,640 Myriad Genetics, Inc. 20,590 Vertex Pharmaceuticals, Inc.
Chemicals 3,790 17,580 34,730 12,030 8,440 10,850
Commercial 13,740 13,940 5,590 1,200 50,700 16,070 12,990 33,380
Computers 9,960 19,670 103,920 12,075 50,680
Air Products & Chemicals, Inc. Eastman Chemical Co. Monsanto Co. PPG Industries, Inc. Sigma-Aldrich Corp. Westlake Chemical Corp.
Services Alliance Data Systems Corp. Huron Consulting Group, Inc. Manpower, Inc. Mastercard, Inc. “A” MoneyGram International, Inc. Moody’s Corp. Visa, Inc. “A” Western Union Co.
Apple, Inc. Cognizant Technology Solutions Corp. “A” EMC Corp. International Business Machines Corp. Riverbed Technology, Inc.
Distribution/Wholesale 12,160 Fastenal Co. 23,680 WESCO International, Inc.
Diversified Financial Services 7,250 American Express Co. 16,870 Ameriprise Financial, Inc. 235,015 Charles Schwab Corp. 13,590 Discover Financial Services
965,801 3,231,983
0.48 1.59
4,197,784
2.07
3,322,686 419,388 390,659
1.64 0.21 0.19
4,132,733
2.04
2,670,921 1,965,110 2,352,277
1.32 0.97 1.16
6,988,308
3.45
2,728,058 469,044 826,688
1.35 0.23 0.41
4,023,790
1.99
314,418 1,065,700 3,181,615 1,481,735 611,647 787,276
0.15 0.53 1.57 0.73 0.30 0.39
7,442,391
3.67
1,956,713 458,208 211,526 583,296 623,103 776,502 1,932,782 427,598
0.97 0.23 0.10 0.29 0.31 0.38 0.95 0.21
6,969,728
3.44
5,836,460 1,312,973 2,577,216 2,312,121 911,226
2.88 0.65 1.27 1.14 0.45
12,949,996
6.39
510,842 1,531,622
0.25 0.76
2,042,464
1.01
405,710 1,040,035 3,081,047 565,752
0.20 0.51 1.52 0.28
5,092,544
2.51
Market Value USD
% of Shareholders’ Equity
214,569 1,753,105
0.11 0.87
1,967,674
0.98
377,895 1,937,174 302,421
0.19 0.95 0.15
2,617,490
1.29
1,190,860 627,397 3,353,434 1,620,791 1,649,699 1,197,534 2,036,756 1,630,884 1,646,749 460,642
0.59 0.31 1.66 0.80 0.81 0.59 1.01 0.80 0.81 0.23
15,414,746
7.61
907,782
0.45
Hand/Machine Tools 22,350 Stanley Black & Decker, Inc.
1,617,469
0.80
Healthcare Products 62,300 Alere, Inc. 54,550 ArthroCare Corp. 48,275 Baxter International, Inc. 12,370 Becton Dickinson and Co. 304,480 Boston Scientific Corp. 14,820 Cooper Cos, Inc. 56,755 Medtronic, Inc. 18,740 Volcano Corp.
1,134,483 1,803,423 3,176,495 947,295 1,717,267 1,425,536 2,397,899 508,416
0.56 0.89 1.57 0.47 0.85 0.70 1.18 0.25
13,110,814
6.47
1,598,519 303,174
0.79 0.15
1,901,693
0.94
97,810 100,899 1,297,440 97,104
0.05 0.05 0.64 0.05
1,593,253
0.79
Household Products/Wares 24,110 Kimberly-Clark Corp.
2,067,674
1.02
Insurance 49,100 32,145 173,545 148,740 55,595
1,643,868 1,092,287 2,414,011 3,156,263 2,907,618
0.81 0.54 1.19 1.56 1.44
11,214,047
5.54
Electronics 6,100 30,430 3,590
Amphenol Corp. “A” Thermo Fisher Scientific, Inc. Waters Corp.
Food, Beverages & Tobacco 41,050 B&G Foods, Inc. 16,611 Coca-Cola Co. 112,080 ConAgra Foods, Inc. 39,735 General Mills, Inc. 22,720 Hershey Co. 26,056 Kraft Foods Group, Inc. 78,700 Mondelez International, Inc. “A” 23,325 PepsiCo., Inc. 52,030 Sysco Corp. 24,130 Tyson Foods, Inc. “A”
Forest Products & Paper 24,370 International Paper Co.
Healthcare Services 29,293 UnitedHealth Group, Inc. 6,790 Universal Health Services, Inc. “B”
Home Builders 5,060 DR Horton, Inc. 2,670 Lennar Corp. “A” 1,466 NVR, Inc. 3,070 Toll Brothers, Inc.
American International Group, Inc. Assurant, Inc. Assured Guaranty Ltd. Hartford Financial Services Group, Inc. Prudential Financial, Inc.
The accompanying notes are an integral part of these financial statements.
49
Goldman Sachs Funds II, SICAV—GMS US Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Holdings
Common Stocks – (continued) Internet 7,300 23,470 4,835 9,670 2,990
Amazon.com, Inc. Facebook, Inc. “A” Google, Inc. “A” HomeAway, Inc. LinkedIn Corp. “A”
Leisure Time 14,620 Carnival Corp. Machinery—Construction & Mining 13,650 Joy Global, Inc. Media 11,030 15,450 45,360 7,840 16,350 13,750 8,090 37,350
Mining 56,820
AMC Networks, Inc. “A” DIRECTV Gannett Co., Inc. McGraw-Hill Companies, Inc. News Corp. “A” Time Warner, Inc. Viacom, Inc. “B” Walt Disney Co.
Alcoa, Inc.
Miscellaneous Manufacturing 17,840 3M Co. 28,440 Danaher Corp. 25,935 Dover Corp. 54,450 General Electric Co. 42,180 Hexcel Corp. 25,340 Illinois Tool Works, Inc. 9,460 Pall Corp. 14,615 Parker Hannifin Corp.
Oil & Gas 41,445 11,440 19,075 26,310 41,490 3,540 29,490 19,550 30,350 4,220 53,180 56,540
Apache Corp. Chesapeake Energy Corp. Cimarex Energy Co. Denbury Resources, Inc. Devon Energy Corp. EOG Resources, Inc. Hess Corp. HollyFrontier Corp. Occidental Petroleum Corp. Range Resources Corp. Tesoro Corp. Valero Energy Corp.
Oil & Gas Services 34,260 Baker Hughes, Inc. 10,760 Cameron International Corp. 37,620 Halliburton Co. 14,130 National Oilwell Varco, Inc. 85,760 Weatherford International Ltd.
Security Description
Market Value USD
% of Shareholders’ Equity
Common Stocks – (continued) 1,823,175 638,619 3,332,524 202,973 319,750
0.90 0.31 1.65 0.10 0.16
6,317,041
3.12
568,279
0.28
Pharmaceuticals 31,025 Abbott Laboratories 37,065 Johnson & Johnson 5,670 Mead Johnson Nutrition Co. 12,690 Medivation, Inc. 61,255 Merck & Co., Inc. 82,340 Pfizer, Inc. 15,100 Watson Pharmaceuticals, Inc.
Real Estate 71,610
777,777
CBRE Group, Inc. “A”
2,014,763 2,568,975 386,751 656,707 2,725,235 2,045,326 1,328,649
0.99 1.27 0.19 0.32 1.35 1.01 0.66
11,726,406
5.79
1,349,132
0.67
123,750 122,157 117,738 117,179 134,756 773,735
0.06 0.06 0.06 0.06 0.07 0.38
1,389,315
0.69
309,682 847,786 407,088 1,300,252 1,514,809 921,471 1,336,330 187,347 1,723,711
0.15 0.42 0.20 0.64 0.75 0.46 0.66 0.09 0.85
8,548,476
4.22
863,463 1,739,970
0.43 0.86
2,603,433
1.29
198,588 473,907 798,662 954,096 955,387 2,145,595 1,188,397 1,581,671 1,286,034 1,140,372 365,722
0.10 0.23 0.40 0.47 0.47 1.06 0.59 0.78 0.64 0.56 0.18
11,088,431
5.48
895,430 1,124,387 783,785
0.44 0.55 0.39
2,803,602
1.38
794,888 766,476 408,096
0.39 0.38 0.20
1,969,460
0.97
193,914,210
95.75
0.38
571,023 767,556 818,748 408,150 405,153 646,800 416,150 1,855,175
0.28 0.38 0.40 0.20 0.20 0.32 0.21 0.92
5,888,755
2.91
478,993
0.24
1,620,407 1,524,669 1,663,471 1,153,251 1,075,168 1,569,053 561,924 1,207,345
0.80 0.75 0.82 0.57 0.53 0.77 0.28 0.60
10,375,288
5.12
3,200,383 201,458 1,157,662 406,226 2,181,129 418,216 1,483,052 888,548 2,303,869 276,748 2,240,473 1,827,938
1.58 0.10 0.57 0.20 1.08 0.21 0.73 0.44 1.14 0.14 1.10 0.90
16,585,702
8.19
1,487,569 579,856 1,250,113 984,013 890,189
0.73 0.29 0.62 0.48 0.44
5,191,740
2.56
Real Estate Investment Trust 1,810 Alexandria Real Estate Equities, Inc. 6,300 BioMed Realty Trust, Inc. 4,790 Corporate Office Properties Trust 1,810 Digital Realty Trust, Inc. 5,710 DuPont Fabros Technology, Inc. 100,485 iStar Financial, Inc.
Retail
8,940 8,310 7,710 20,250 17,490 16,970 26,090 3,170 38,390
BJ’s Restaurants, Inc. Costco Wholesale Corp. Dick’s Sporting Goods, Inc. Home Depot, Inc. McDonald’s Corp. Signet Jewelers Ltd. Starbucks Corp. Tiffany & Co Williams-Sonoma, Inc.
Semiconductors 29,260 Maxim Integrated Products, Inc. 27,440 QUALCOMM, Inc.
Software 16,080 14,270 10,340 15,290 63,650 79,970 53,969 49,660 25,970 7,240 12,110
Allscripts Healthcare Solutions, Inc. Autodesk, Inc. Cerner Corp. Citrix Systems, Inc. Electronic Arts, Inc. Microsoft Corp. Nuance Communications, Inc. Oracle Corp. Red Hat, Inc. Salesforce.com, Inc. VeriFone Systems, Inc.
Telecommunications 47,190 Cisco Systems, Inc. 62,850 Juniper Networks, Inc. 23,320 NICE Systems Ltd.—ADR(a)
Transportation 13,400 JB Hunt Transport Services, Inc. 15,100 Landstar System, Inc. 6,770 Norfolk Southern Corp.
TOTA L C O M M O N S TO C K S (cost USD 175,571,753)
The accompanying notes are an integral part of these financial statements.
50
Goldman Sachs Funds II, SICAV—GMS US Equity Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value USD
% of Shareholders’ Equity
Mutual Funds – 2.49% Ireland 5,050,508
Goldman Sachs US$ Liquid Reserves Fund (X Accumulation Class)(b)(c)
TOTA L M U T U A L F U N D S (cost USD 5,050,508)
Total Investments (cost USD 180,622,261) Other Assets and Liabilities
198,964,718 3,557,195
98.24 1.76
Shareholders’ Equity
202,521,913
100.00
2.49
(a)
Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global Depositary Receipt).
5,050,508
2.49
(b)
The yield for this fund as at 30 November 2012 was 0.283%.
(c)
A related party to Goldman Sachs Funds II, SICAV.
98.24
M A R K E T VA LU E O F I N V E S T M E N T S (cost USD 180,622,261)
98.24
SHAREHOLDERS’ EQUITY
TOTA L I N V E S T M E N T S
5,050,508
TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost USD 180,622,261) 198,964,718
OT H E R A S S E T S A N D L I A B I L I T I E S
% of Shareholders’ Equity
Market Value USD
198,964,718 3,557,195
1.76
202,521,913
100.00
The accompanying notes are an integral part of these financial statements.
51
Goldman Sachs Funds II, SICAV—Dynamic Alternative Strategies Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Market Value EUR
% of Shareholders’ Equity
Currency
Amount Bought
Currency
Amount Sold
Maturity Date
Unrealised Gain EUR
Transferable securities admitted to an official exchange listing
Share Class Specific Forward Currency Contracts – 0.17%
Mutual Funds – 97.65%
CHF USD CHF EUR EUR GBP USD CHF
Ireland 968,836 6,342,620
GAM Star Fund Plc. – Global Rates Goldman Sachs Euro Liquid Reserves Fund (X Accumulation Class)(a)(b)
Luxembourg 60,847 Brevan Howard Investment Fund – Emerging Markets Local Fixed Income Fund 118,314 Brevan Howard Investment Fund II – Macro FX Fund 59,485 Fulcrum UCITS III SICAV – Fulcrum Alternative Beta Plus Daily Fund 117,630 JPMorgan Investment Funds – Highbridge Statistical Market Neutral Fund 79,093 Merrill Lynch Investment Solutions – Marshall Wace Tops UCITS Fund 141,177 Merrill Lynch Investment Solutions – Och-Ziff European Multi-Strategy UCITS Fund 47,909 Merrill Lynch Investment Solutions – QFS Currency UCITS Fund 124,900 Merrill Lynch Investment Solutions – York Event Driven UCITS Fund 139,154 Schroder GAIA Egerton Equity
TOTA L M U T U A L F U N D S (cost EUR 108,052,031)
11,061,400
9.67
6,342,620
5.54
17,404,020
15.21
6,495,467
5.67
12,461,967
10.89
5,699,351
4.98
11,600,657
10.14
8,735,872
7.63
14,193,945
12.40
4,540,852
3.97
13,456,673 17,164,607
11.76 15.00
94,349,391
82.44
EUR EUR EUR GBP USD EUR EUR EUR
539,935 26,391,266 539,935 46,644,755 36,992,927 57,895,106 27,273,270 539,935
21/12/2012 21/12/2012 24/01/2013 24/01/2013 24/01/2013 24/01/2013 24/01/2013 21/02/2013
UNREALISED GAIN ON FORWARD CURRENCY 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
Currency
EUR EUR EUR GBP EUR GBP USD
97.65
TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost EUR 108,052,031) 111,753,411
97.65
1,427,675
1.25
Amount Sold
Maturity Date
Unrealised Loss EUR
% of Shareholders’ Equity
539,935 57,870,516 26,391,266 46,613,944 539,935 46,504,782 34,512,416
CHF GBP USD EUR CHF EUR EUR
652,304 47,056,831 34,485,307 57,870,516 650,406 57,701,462 26,914,505
21/12/2012 21/12/2012 21/12/2012 21/12/2012 24/01/2013 21/02/2013 21/02/2013
(2,282) (404,487) (348,788) (143,982) (815) (157,323) (173,426)
(0.00) (0.35) (0.31) (0.13) (0.00) (0.14) (0.15)
(1,231,103)
(1.08)
111,949,983
97.82
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 M A R K E T VA LU E O F I N V E S T M E N T S (c) (cost EUR 108,052,031)
S H A R E H O L D E R S ’ E Q U I T Y (c)
2,491,493
2.18
114,441,476
100.00
Market Value(c) EUR
Total Investments excluding derivatives (cost EUR 108,052,031) Unrealised gain on forward currency contracts held for hedging purposes Unrealised loss on forward currency contracts held for hedging purposes Other Assets and Liabilities
97.65
0.00 0.29 0.00 0.14 0.16 0.36 0.30 0.00
Currency
TOTA L I N V E S T M E N T S
111,753,411
3,049 335,168 2,258 156,081 183,908 407,761 338,690 760
Amount Bought
OT H E R A S S E T S A N D L I A B I L I T I E S 111,753,411
M A R K E T VA LU E O F I N V E S T M E N T S E XC LU D I N G D E R I VAT I V E S (c) (cost EUR 108,052,031)
653,227 34,467,742 652,142 57,895,106 28,856,089 47,100,258 35,625,028 650,244
% of Shareholders’ Equity
Shareholders’ Equity(c)
% of Shareholders’ Equity
111,753,411
97.65
1,427,675
1.25
(1,231,103) 2,491,493
(1.08) 2.18
114,441,476
100.00
The counterparties for forward currency contracts were Deutsche Bank AG London, Morgan Stanley & Co., Inc., Nomura Securities Co., Ltd., Societe Generale and State Street Bank & Trust. The maximum individual counterparty exposure as at 30 November 2012 is 0.16% of the NAV. (a)
A related party to Goldman Sachs Funds II, SICAV.
(b)
The yield for this fund as at 30 November 2012 was 0.095%.
(c)
Market Value and Shareholders’ Equity is stated as at 28 November 2012, the last tradable date in the period.
The accompanying notes are an integral part of these financial statements.
52
Goldman Sachs Funds II, SICAV—Tactical Tilt Portfolio Schedule of Investments As at 30 November 2012
Holdings
Market Value USD
Security Description
% of Shareholders’ Equity
Transferable securities admitted to an official exchange listing Mutual Funds – 46.15% Ireland 82,174,436 Goldman Sachs Funds Plc. – US Treasury Liquid Reserves Fund (X Distribution Class)(a)(b) Luxembourg 2,824,003 Goldman Sachs Funds – Global Emerging Markets Debt Local Portfolio(b) 13,006,061 Goldman Sachs Funds – Global High Yield Portfolio(b)
United States 2,750,759 SPDR S&P Bank ETF
82,174,436
12.39
41,625,808 118,225,091
6.28 17.83
159,850,899
24.11
64,010,162
9.65
TOTA L M U T U A L F U N D S (cost USD 288,936,116)
306,035,497
46.15
TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost USD 288,936,116)
306,035,497
46.15
Time Deposits – 50.23% Holdings
Security Description
Currency
(a)
Coupon Rate
(b)
Market Value USD
Maturity Date
% of Shareholders’ Equity
France 79,199,779 Societe Generale USD Time Deposit
USD
0.170%
03/12/2012
79,199,779
11.94
Netherlands 75,201,466 Rabobank Nederland USD Time Deposit
USD
0.100%
03/12/2012
75,201,466
11.34
United Kingdom 78,878,114 Barclays Bank Plc. USD Time Deposit 25,738,151 JP Morgan Chase Bank USD Time Deposit 74,052,233 Deutsche Bank AG London USD Time Deposit
USD USD USD
0.150% 0.010% 0.100%
03/12/2012 03/12/2012 03/12/2012
78,878,114 25,738,151 74,052,233
11.90 3.88 11.17
178,668,498
26.95
TOTA L T I M E D E P O S I T S (cost USD 333,069,743)
333,069,743
50.23
M A R K E T VA LU E O F I N V E S T M E N T S E XC LU D I N G D E R I VAT I V E S (cost USD 622,005,859)
639,105,240
96.38
Futures Contracts – 1.45% Number of Contracts
Security Description
3,879 871 (895) 218 966
Commitment Market Value USD
Unrealised Gain USD
% of Shareholders’ Equity
EUR DJ Euro Stoxx 50 Index Future 21/12/2012
Long
130,016,206
1,823,544
0.28
JPY Topix Index Future 14/12/2012
Long
82,439,678
5,880,000
0.89
USD E-Mini S&P 500 Index Future 21/12/2012 US Treasury Bond 10YR 19/03/2013 US Treasury Bond 5YR 28/03/2013
Short Long Long
(63,294,400) 29,133,656 120,478,313
1,464,483 127,734 286,976
0.22 0.02 0.04
86,317,313 U N R E A L I S E D G A I N O N F U T U R E S C O N T R AC T S
1,879,193
0.28
9,582,737
1.45
Share Class Specific Forward Currency Contracts – 0.13%
Currency
CHF EUR
Amount Bought
7,171,624 138,116,316
Currency
USD USD
Amount Sold
Maturity Date
Unrealised Gain USD
% of Shareholders’ Equity
7,635,300 177,787,409
19/12/2012 19/12/2012
99,520 1,744,844
0.02 0.26
1,844,364
0.28
U N R E A L I S E D G A I N 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
The accompanying notes are an integral part of these financial statements.
53
Goldman Sachs Funds II, SICAV—Tactical Tilt Portfolio Schedule of Investments As at 30 November 2012
Share Class Specific Forward Currency Contracts – (continued) Amount Bought
Currency
GBP USD USD USD
120,432,024 108,800 2,830,500 2,260,600
Currency
USD CHF EUR GBP
Amount Sold
Maturity Date
193,607,502 101,540 2,208,141 1,421,340
19/12/2012 19/12/2012 19/12/2012 19/12/2012
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
Unrealised Loss USD
% of Shareholders’ Equity
(937,948) (714) (39,780) (13,289)
(0.14) (0.00) (0.01) (0.00)
(991,731)
(0.15)
Options – 0.18%
Holdings
Unrealised Gain/Loss USD
Security Description
Market Value USD
% of Shareholders’ Equity
Purchased Options
56,200 4,300 3,800 18,770,000 799,917
USD PUT S&P 500 Index PUT S&P 500 Index PUT S&P 500 Index USD CALL/INR PUT USD PUT/ INR CALL
Expires 22/12/2012 Expires 22/12/2012 Expires 31/12/2012 Expires 28/01/2013 Expires 28/01/2013
Strike 1,400.00 Strike 1,425.00 Strike 1,350.00 Strike 54.89 Strike 54.93
(2,668,269) (30,520) (35,340) (126,208) 4,116
786,800 109,220 28,880 320,704 13,856
0.12 0.02 0.00 0.05 0.00
(2,856,221)
1,259,460
0.19
1,259,460
0.19
10,450 (480) 40,503
(8,550) (1,120) (26,316)
(0.00) (0.00) (0.01)
50,473
(35,986)
(0.01)
(35,986)
(0.01)
TOTA L P U R C H A S E D O P T I O N S (cost USD 4,115,681) Written Options
(3,800) (854,352) (18,770,000)
USD PUT S&P 500 Index USD PUT/INR CALL USD PUT/INR CALL
Expires 31/12/2012 Expires 28/01/2013 Expires 28/01/2013
Strike 1,280.00 Strike 51.43 Strike 51.50
TOTA L W R I T T E N O P T I O N S (cost USD (86,459))
Swap Contracts – 0.00% Net Local Notional Amount
Currency
Maturity Date
Unrealised Gain USD
USD USD
20/12/2017 20/12/2017
17,531 72,677
0.00 0.01
U N R E A L I S E D G A I N O N C R E D I T D E FAU LT S W A P S
90,208
0.01
TOTA L U N R E A L I S E D G A I N O N S W A P C O N T R AC T S
90,208
0.01
3,000,000 2,600,000
Net Local Notional Amount
40,100,000 1,000,000
Pay
Receive
Credit Default Swaps Floating (CDX.NA.HY.19 5.00 Index) Floating (CDX.NA.HY.19 5.00 Index)
Fixed 5.000% Fixed 5.000%
Pay
Receive
Credit Default Swaps Floating (CDX.NA.HY.19 5.00 Index) Floating (CDX.NA.HY.19 5.00 Index)
Fixed 5.000% Fixed 5.000%
Currency
Maturity Date
USD USD
20/12/2017 20/12/2017
Unrealised Loss USD
(62,965) (2,764)
% of Shareholders’ Equity
% of Shareholders’ Equity
(0.01) (0.00)
U N R E A L I S E D LO S S O N C R E D I T D E FAU LT S W A P S
(65,729)
(0.01)
TOTA L U N R E A L I S E D LO S S O N S W A P C O N T R AC T S
(65,729)
(0.01)
650,788,563
98.14
M A R K E T VA LU E O F I N V E S T M E N T S (cost USD 626,035,081) OT H E R A S S E T S A N D L I A B I L I T I E S SHAREHOLDERS’ EQUITY
12,302,604
1.86
663,091,167
100.00
The accompanying notes are an integral part of these financial statements.
54
Goldman Sachs Funds II, SICAV—Tactical Tilt Portfolio Schedule of Investments As at 30 November 2012
% of Shareholders’ Equity
TOTA L I N V E S T M E N T S
Market Value USD
Total Investments excluding derivatives (cost USD 622,005,859) Unrealised gain 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 4,115,681) Market value of written options (cost USD (86,459)) Unrealised gain on swap contracts Unrealised loss on swap contracts Other Assets and Liabilities
639,105,240 9,582,737 1,844,364 (991,731) 1,259,460 (35,986) 90,208 (65,729) 12,302,604
96.38 1.45 0.28 (0.15) 0.19 (0.01) 0.01 (0.01) 1.86
Shareholders’ Equity
663,091,167
100.00
Rates disclosed for Time Deposits are those that were in effect at 30 November 2012. The counterparties for forward currency contracts were Deutsche Bank AG London, Morgan Stanley and Co., Inc., Nomura Securities Co., Ltd. and Standard Chartered Bank. The counterparty for options contracts was Goldman, Sachs & Co. The counterparties for swap contracts were Bank of America NA and Deutsche Bank AG London. The Futures Commission Merchant was Goldman, Sachs & Co. The maximum individual counterparty exposure as at 30 November 2012 is 1.63% of the NAV. (a)
The yield for this fund as at 30 November 2012 was 0.184%.
(b)
A related party to Goldman Sachs Funds II, SICAV.
(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.
55
Goldman Sachs Funds II, SICAV—Europe High Income Bond Portfolio Schedule of Investments As at 30 November 2012
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 – 81.22% Australia 1,450,000 Telstra Corp., Ltd.
EUR
4.750%
21/03/2017
1,682,733
1.36
Belgium 1,250,000 Anheuser-Busch InBev NV
EUR
8.625%
30/01/2017
1,632,069
1.32
Denmark 1,500,000 TDC A/S
EUR
4.375%
23/02/2018
1,698,673
1.38
EUR EUR EUR EUR EUR EUR
8.500% 5.000% 4.125% 2.750% 5.000% 4.125%
15/01/2016 05/02/2018 27/03/2017 18/10/2017 15/03/2017 18/07/2017
3,015,060 1,651,082 1,666,948 1,664,935 1,711,500 1,311,992
2.44 1.34 1.35 1.35 1.38 1.06
11,021,517
8.92
France
3,100,000 1,400,000 1,500,000 1,550,000 1,500,000 1,200,000
Alcatel-Lucent Electricite de France S.A. Eutelsat S.A. GDF Suez Pernod-Ricard S.A. Vivendi S.A.
Germany 2,100,000 Unitymedia Hessen GmbH & Co. KG
EUR
8.125%
01/12/2017
2,261,490
1.83
2,200,000 Ardagh Packaging Finance Plc.
EUR
7.375%
15/10/2017
2,367,750
1.92
1,200,000 Terna Rete Elettrica Nazionale SpA
EUR
4.125%
17/02/2017
1,299,182
1.05
1,200,000 Heathrow Funding Ltd.
EUR
4.375%
25/01/2017
1,336,224
1.08
2,300,000 Royal Caribbean Cruises Ltd.
EUR
5.625%
27/01/2014
2,397,750
1.94
EUR EUR EUR
4.125% 8.875% 7.000%
03/04/2018 15/12/2017 31/12/2017
1,727,105 1,685,250 2,360,094
1.40 1.36 1.91
5,772,449
4.67
1,678,626 1,868,380 1,669,492 2,515,625 1,676,579
1.36 1.51 1.35 2.04 1.36
9,408,702
7.62
3,192,041 3,295,285
2.58 2.67
6,487,326
5.25
3,326,290 1,685,770 3,133,273 3,318,302 1,674,725
2.69 1.36 2.54 2.69 1.35
13,138,360
10.63
3,167,317 2,545,627
2.56 2.06
5,712,944
4.62
3,328,001 1,390,304 3,171,500 1,654,136 1,729,892
2.69 1.13 2.57 1.34 1.40
Ireland Italy Jersey Liberia Luxembourg 1,600,000 Glencore Finance Europe S.A. 1,575,000 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 3,000,000 1,400,000
Nordea Hypotek AB SKF AB Stadshypotek AB Swedbank Hypotek AB Vattenfall AB
Switzerland 3,000,000 Credit Suisse AG 2,400,000 UBS AG
United Kingdom 3,000,000 1,200,000 3,000,000 1,400,000 1,600,000
Abbey National Treasury Services Plc. Bank of Scotland Plc. Barclays Bank Plc. BAT International Finance Plc. BG Energy Capital Plc.
EUR EUR EUR EUR EUR
EUR EUR
EUR EUR EUR EUR EUR
EUR EUR
EUR EUR EUR EUR 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% 4.625% 2.250% 5.375% 3.000%
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 08/06/2017 22/02/2017 29/06/2017 16/11/2018
The accompanying notes are an integral part of these financial statements.
56
Goldman Sachs Funds II, SICAV—Europe High Income Bond Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Currency
(a)
Coupon Rate
% of Shareholders’ Equity
(b)
Market Value EUR
06/10/2017 05/07/2018 01/12/2017 11/01/2017 02/07/2018 18/09/2015 02/11/2018 04/06/2018
1,687,418 1,707,976 1,635,056 3,311,132 1,715,147 157,292 1,705,529 1,672,668
1.37 1.38 1.32 2.68 1.39 0.13 1.38 1.35
24,866,051
20.13
1,356,134 1,229,177 1,335,937 1,308,045 1,281,576 1,249,375 1,510,791
1.10 0.99 1.08 1.06 1.04 1.01 1.22
9,271,035
7.50
100,354,255
81.22
178,990
0.14
178,990
0.14
100,533,245
81.36
Maturity Date
Corporate Bonds – (continued) United Kingdom – 1,500,000 1,500,000 2,000,000 3,000,000 1,450,000 200,000 1,550,000 1,400,000
United States 1,500,000 1,500,000 1,500,000 1,600,000 1,600,000 1,500,000 1,700,000
(continued) BP Capital Markets Plc. Imperial Tobacco Finance Plc. Inmarsat Finance Plc. 144A(c) Lloyds TSB Bank Plc. National Grid Plc. Royal Bank of Scotland Group Plc. Tesco Plc. Vodafone Group Plc.
Constellation Brands, Inc. Denbury Resources, Inc. HCA, Inc. Plains Exploration & Production Co. Range Resources Corp. Rite Aid Corp. Sprint Nextel Corp.
EUR EUR USD EUR EUR USD EUR EUR
USD USD USD USD USD USD USD
3.830% 4.500% 7.375% 3.500% 5.000% 2.550% 3.375% 5.000%
7.250% 9.750% 8.000% 7.625% 7.500% 9.750% 8.375%
15/05/2017 01/03/2016 01/10/2018 01/06/2018 01/10/2017 12/06/2016 15/08/2017
TOTA L C O R P O R AT E B O N D S (cost EUR 96,136,722)
Mutual Funds – 0.14% Ireland
178,990 Goldman Sachs Euro Liquid Reserves Fund (X Accumulation Class)(d)(e) TOTA L M U T U A L F U N D S (cost EUR 178,990) TOTA L T R A N S F E R A B L E S E C U R I T I E S A D M I T T E D TO A N O F F I C I A L E XC H A N G E L I S T I N G (cost EUR 96,315,712)
Transferable securities dealt in another regulated market Corporate Bonds – 5.22% Bermuda 1,600,000 Digicel Ltd. 144A(c)
USD
8.250%
01/09/2017
1,317,278
1.07
United States 1,600,000 1,500,000 1,400,000 1,500,000
USD USD USD USD
7.250% 10.625% 11.375% 7.875%
30/10/2017 15/06/2016 15/06/2018 01/11/2017
1,341,900 1,265,244 1,244,181 1,278,229
1.09 1.02 1.01 1.03
5,129,554
4.15
6,446,832
5.22
CCO Holdings LLC Clearwater Paper Corp. TransUnion LLC Windstream Corp.
TOTA L C O R P O R AT E B O N D S (cost EUR 6,339,226)
Non-Agencies Asset Backed Obligations – 11.19% Cayman Islands 280,607 Lightpoint CLO Ltd. “A1A”(f)
USD
0.649%
15/09/2017
212,636
0.17
United States 1,081,689 1,473,439 1,341,358 1,240,824 900,323 1,054,845 1,372,019 755,806 1,044,701 1,071,821 1,125,857 324,886 1,054,937 1,096,366 1,842,212
USD USD USD USD USD USD USD USD USD USD USD USD USD USD USD
1.130% 0.333% 0.378% 0.428% 1.660% 0.398% 0.358% 6.000% 3.248% 0.438% 2.814% 3.048% 0.368% 0.368% 2.701%
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
549,916 732,903 720,921 556,822 511,950 574,560 564,531 496,273 701,371 548,943 546,361 254,232 559,183 585,967 1,169,585
0.45 0.59 0.58 0.45 0.41 0.47 0.46 0.40 0.57 0.45 0.44 0.21 0.45 0.47 0.95
American Home Mortgage Assets LLC “1A1”(f) American Home Mortgage Assets LLC “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, Inc. Alternate Loan Trust “A1”(f) First Horizon Alternative Mortgage Securities “A9” Indymac INDA Mortgage Loan Trust “1A1”(f) Indymac Index 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)
The accompanying notes are an integral part of these financial statements.
57
Goldman Sachs Funds II, SICAV—Europe High Income Bond Portfolio Schedule of Investments As at 30 November 2012
Holdings
Security Description
Currency
(a)
Coupon Rate
(b)
Market Value EUR
Maturity Date
% of Shareholders’ Equity
Non-Agencies Asset Backed Obligations – (continued) United States – (continued) 815,805 Structured Adjustable Rate Mortgage Loan Trust “6A1”(f) 1,097,635 Structured Asset Mortgage Investments, Inc. “A1A”(f) 1,817,768 WaMu Mortgage Pass Through Certificates “1A”(f) 479,912 WaMu Mortgage Pass Through Certificates “2A”(f) 326,517 WaMu Mortgage Pass Through Certificates “1A”(f) 1,271,981 Washington Mutual Alternative Mortgage Pass-Through Certificates “1A10”(f) 1,506,527 Washington Mutual Alternative Mortgage Pass-Through Certificates “A1A”(f) 1,672,770 Washington Mutual Alternative Mortgage Pass-Through Certificates “A1A”(f)
USD USD USD USD USD
2.819% 0.418% 1.040% 1.140% 1.120%
25/09/2035 25/08/2036 25/10/2046 25/07/2046 25/09/2046
540,591 541,113 991,839 275,940 196,967
0.44 0.44 0.80 0.22 0.16
USD
0.808%
25/03/2036
631,804
0.51
USD
0.458%
25/02/2036
692,526
0.56
USD
0.913%
25/04/2047
669,484
0.54
13,613,782
11.02
TOTA L N O N - AG E N C I E S A S S E T BAC K E D O B L I G AT I O N S (cost EUR 12,395,666)
13,826,418
11.19
TOTA L T R A N S F E R A B L E S E C U R I T I E S D E A LT I N A N OT H E R R E G U L AT E D M A R K E T (cost EUR 18,734,892)
20,273,250
16.41
120,806,495
97.77
M A R K E T VA LU E O F I N V E S T M E N T S E XC LU D I N G D E R I VAT I V E S (cost EUR 115,050,604)
Forward Currency Contracts – 0.52%
Currency
EUR
Amount Bought
32,096,295
Currency
USD
Amount Sold
Maturity Date
Unrealised Gain EUR
% of Shareholders’ Equity
40,893,472
20/12/2012
636,801
0.52
636,801
0.52
121,443,296
98.29
U N R E A L I S E D G A I N 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 M A R K E T VA LU E O F I N V E S T M E N T S (cost EUR 115,050,604) OT H E R A S S E T S A N D L I A B I L I T I E S
2,118,596
1.71
SHAREHOLDERS’ EQUITY
123,561,892
100.00
TOTA L I N V E S T M E N T S
Market Value EUR
Total Investments excluding derivatives (cost EUR 115,050,604) Unrealised gain on forward currency contracts Other Assets and Liabilities
120,806,495 636,801 2,118,596
97.77 0.52 1.71
Shareholders’ Equity
123,561,892
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 2012. The counterparty for forward currency contract was JP Morgan Chase Bank NA. The maximum individual counterparty exposure as at 30 November 2012 is 0.52% of the NAV. (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)
The yield for this fund as at 30 November 2012 was 0.095%.
(e)
A related party to Goldman Sachs Funds II, SICAV.
(f)
Variable and floating coupon rates are those quoted as of 30 November 2012.
The accompanying notes are an integral part of these financial statements.
58
Goldman Sachs Funds II, SICAV Appendix I (Unaudited) As at 30 November 2012
Portfolios
Inception Date
Advisory Fee Rate
Expense Cap(b)
Total Net Expense Ratio(a)
USD USD
30 April 2008 30 April 2008
0.70% 0.70%
1.10% 1.10%
1.79% 1.79%
USD USD
31 January 2012 31 January 2012
0.70% 0.70%
1.20% 1.20%
1.76% 1.77%
EUR EUR
18 December 2009 18 December 2009
0.70% 0.70%
1.05% 1.05%
1.48% 1.48%
USD EUR USD USD
14 November 2012 8 December 2008 7 March 2008 7 March 2008
0.30% 0.70% 0.70% 0.70%
0.56% 1.00% 1.00% 1.00%
1.08% 1.49% 1.49% 1.49%
JPY JPY
28 May 2009 28 May 2009
0.70% 0.70%
1.05% 1.05%
1.63% 1.63%
USD USD
16 May 2008 16 May 2008
0.70% 0.70%
1.00% 1.00%
1.53% 1.53%
EUR EUR CHF USD GBP EUR USD EUR GBP USD
24 March 2010 24 March 2010 4 May 2011 2 May 2011 24 March 2010 24 March 2010 24 March 2010 24 March 2010 24 March 2010 31 March 2010
1.50% 1.50% 1.50% 1.50% 1.50% 1.25% 1.25% 1.25% 1.25% 1.25%
1.90% 1.90% 1.90% 1.90% 1.90% 1.65% 1.65% 1.65% 1.65% 1.65%
1.84% 1.83% 1.87% 1.83% 1.82% 1.56% 1.56% 1.56% 1.56% 1.56%
USD USD GBP CHF EUR GBP USD USD EUR GBP
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
0.75% 0.00% 0.00% 0.75% 0.75% 0.75% 0.75% 0.75% 0.75% 0.75%
0.96% 0.21% 0.21% 1.05% 1.05% 1.05% 1.05% 1.05% 1.05% 1.05%
0.86% 0.12% 0.11% 0.93% 0.93% 0.93% 0.93% 0.93% 0.93% 0.93%
EUR
26 March 2012
0.55%
0.85%
0.77%
Currency
Goldman Sachs Fund II—Equity Portfolios Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio “P” Accumulation Share Class “P” Share Class GMS Emerging Markets Equity Portfolio(d) “P” Accumulation Share Class(d) “P” Share Class(d) GMS Europe Equity Portfolio “P” Accumulation Share Class “P” Share Class GMS Global Equity Portfolio “I” Accumulation Share Class “P” Accumulation Share Class “P” Accumulation Share Class “P” Share Class GMS Japan Equity Portfolio “P” Accumulation Share Class “P” Share Class GMS US Equity Portfolio “P” Accumulation Share Class “P” Share Class
Goldman Sachs Funds II—Specialist Portfolio Dynamic Alternative Strategies Portfolio(e) 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)
Goldman Sachs Funds II—Dedicated Portfolio Tactical Tilt Portfolio “I” Accumulation Share Class(d) “IO” Accumulation Share Class(d) “IO” Accumulation Share Class (GBP Hedged Class)(d) “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)
Goldman Sachs Fund II—Fixed Income Portfolios Europe High Income Bond Portfolio(d) Base Currency (S-Dis) Share Class(d) (a)
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 2011 to 30 November 2012. TER’s are annualised for Portfolios operating less than one year. * CU = Currency units in the Portfolio’ s base currency.
(b) (c) (d) (e)
The expense cap does not include the GSAMI fee portion paid to external Sub-Investment Advisers. The expense cap does not include performance fees. Refer to Appendix II. The last tradable date in the period was 28 November 2012.
The above expense ratios are average throughtout the year to 30 November 2012. The above Expense Caps represent the expense cap levels at the year ended 30 November 2012.
59
Goldman Sachs Funds II, SICAV Appendix II (Unaudited) As at 30 November 2012
During the year, the following Portfolios were launched: Portfolios
Currency
Launch Date
Goldman Sachs Funds II—Equity Portfolios
GMS Emerging Markets Equity Portfolio
USD
31 January 2012
EUR
26 March 2012
Goldman Sachs Funds II—Fixed Income Portfolios
Europe High Income Bond Portfolio
During the period, the following share classes were launched:
Portfolios
Classes
Currency
Launch Date
Goldman Sachs Funds II—Equity Portfolios
GMS Emerging Markets Equity Portfolio
“P” Accumulation Share Class
USD
31 January 2012
GMS Emerging Markets Equity Portfolio
“P” Share Class
USD
31 January 2012
USD
14 November 2012
GMS Global Equity Portfolio
“I” Accumulation Share
Class1
Goldman Sachs Funds II—Dedicated Portfolios
Tactical Tilt Portfolio
“I” Accumulation Share Class
USD
30 December 2011
Tactical Tilt Portfolio
“IO” Accumulation Share Class
USD
15 December 2011
Tactical Tilt Portfolio
“IO” Accumulation Share Class (GBP Hedged Class)
GBP
31 January 2012
Base Currency (S-Dis) Share Class
EUR
26 March 2012
Goldman Sachs Funds II—Fixed Income Portfolios
Europe High Income Bond Portfolio
During the year, the following share class was closed: Portfolios
Classes
Currency
Close Date
Goldman Sachs Funds II—Equity Portfolios
GMS Global Equity Portfolio 1
“I” Accumulation Share Class1
Share class closed and relaunched during the year.
60
USD
03 July 2012
Goldman Sachs Funds II, SICAV Appendix III (Unaudited) As at 30 November 2012
The following table sets forth details of shareholders with holdings greater than 10% of the Portfolios’ net assets as at 30 November 2012: % of Shareholders’ Equity
Investor / Distributor
Goldman Sachs Funds II—GMS Asia (ex-Japan) Equity Portfolio Shareholder 1 Shareholder 2 Shareholder 31 Other Shareholders Total
48.95% 31.89% 10.71% 8.45% 100.00%
Distributor Distributor Distributor
Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio Shareholder 11 Other Shareholders Total
14.98% 85.02% 100.00%
Distributor
Goldman Sachs Funds II—GMS Europe Equity Portfolio Shareholder 11 Other Shareholders Total
16.72% 83.28% 100.00%
Distributor
Goldman Sachs Funds II—GMS Global Equity Portfolio Shareholder 11 Other Shareholders Total
26.82% 73.18% 100.00%
Distributor
Goldman Sachs Funds II—GMS Japan Equity Portfolio Shareholder 1 Shareholder 2 Shareholder 31 Other Shareholders Total
41.66% 38.20% 11.32% 8.82% 100.00%
Distributor Distributor Distributor
Goldman Sachs Funds II—GMS US Equity Portfolio Shareholder 11 Other Shareholders Total
12.12% 87.88% 100.00%
Distributor
Goldman Sachs Funds II—Dynamic Alternative Strategies Portfolio Shareholder 1 Shareholder 2 Other Shareholders Total
60.65% 32.35% 7.00% 100.00%
Distributor Distributor
Goldman Sachs Funds II—Tactical Tilt Portfolio Shareholder 11 Other Shareholders Total
10.76% 89.24% 100.00%
Distributor
Goldman Sachs Funds II—Europe High Income Bond Portfolio Shareholder 1 Other Shareholders Total
90.17% 9.83% 100.00%
Distributor
Portfolios
1
A related party to Goldman Sachs Funds II, SICAV.
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Goldman Sachs Funds II, SICAV Appendix IV (Unaudited) Disclosure of Transaction Costs For the Year Ended 30 November 2012
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
Goldman Sachs Funds II – Equity Portfolios Goldman Sachs Funds II – Global Manager Strategies Portfolios GMS Asia (ex-Japan) Equity Portfolio
USD
273,171
GMS Emerging Markets Equity Portfolio
USD
343,609
GMS Europe Equity Portfolio
EUR
634,343
GMS Global Equity Portfolio
USD
541,114
GMS Japan Equity Portfolio
JPY
878,654
GMS US Equity Portfolio
USD
259,335
USD
30,934
Goldman Sachs Funds II – Dedicated Portfolios Tactical Tilt Portfolio Total (in USD)
1
2,274,544
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 and 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.
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Goldman Sachs Funds II, SICAV Appendix V (Unaudited) Calculation Method Used for Global Exposure For the Year Ended 30 November 2012
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: Goldman Sachs—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 Goldman Sachs—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
Reference Portfolio / Benchmark
Model
Confidence Interval
Holding period
Observation period
Leverage1
6%
3-month LIBOR (USD)
Monte Carlo Simulation
99%
1 month
1 year
54%
2%
3m EURIBOR
Monte Carlo Simulation
99%
1 month
1 year
0%
VaR approach
Maximum Limit
Lowest
Highest
Average
Absolute VaR
20%
3%
8%
Absolute VaR
20%
0%
2%
Dedicated Portfolios Tactical Tilt Portfolio Specialist Portfolios Europe High Income Bond Portfolio 1
The commitment 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, SICAV Additional Information
Shares of the Goldman Sachs Funds II, SICAV Portfolios are issued solely on the basis of information set out in the current Prospectus of Goldman Sachs Funds II, SICAV, which is available free of charge at the Fund’s registered office. Prospective investors should review the Prospectus and the Key Investor Information Document (“KIID”) carefully and consult their financial adviser before investing to determine that an investment in the Portfolios would be suitable for them. Past performance is not a guide to future performance and the value of investments and the income derived from them can go down as well as up. Future returns are not guaranteed and a loss of principal may occur. No subscriptions can be received on the basis of financial reports alone. Subscriptions are only valid if made on the basis of the current Prospectus and KIID supplemented by the most recent Annual Report and the latest Semi-Annual report if published thereafter. Opinions expressed are current opinions as of the date appearing in this material only. This document does not constitute a solicitation in any jurisdiction in which such a solicitation is unlawful or to any person to whom it is unlawful. Moreover, this document neither constitutes an offer to enter into an investment agreement with the recipient of this document nor an invitation to respond to it by making an offer to enter into an investment agreement. This information does not constitute tax advice and as such, shareholders should be advised to consult their own tax advisers regarding the tax consequences of their investment activities. Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this material and may be subject to change, they should not be construed as investment advice. No part of this material may 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 authorised agent of the recipient, without GSAM’s prior written consent. In the United Kingdom, this material has been communicated by Goldman Sachs International, which is authorised and regulated by the Financial Services Authority. © 2013 Goldman Sachs. All rights reserved.
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