Goldman Sachs Structured Investments SICAV. Audited Annual Financial Statements. For the Year Ended 30 November 2013

Transcription

1 Audited Annual Financial Statements For the Year Ended 30 November 2013 R.C.S Luxembourg: B No subscription can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current full prospectus and Relevant Supplement and Key Investor Information Documents ( KIID ) which will be accompanied by a copy of the latest available report, if published after such annual report.

2 Table of Contents Page Directors and Other Information... 2 Investment Administrator s Report... 3 Audit report... 5 Schedule of Investments... 7 Goldman Sachs Structured Investments SICAV - Goldman Sachs Absolute Return Tracker Portfolio 7 Goldman Sachs Structured Investments SICAV - GSQuartix Dow Jones - UBS Enhanced Strategy Portfolio 8 Goldman Sachs Structured Investments SICAV - GSQuartix Dividend Linked Portfolio on the Dow Jones EURO STOXX 50 Index 9 Goldman Sachs Structured Investments SICAV - GSQuartix Commodity ALPHA-BETA Portfolio 10 Goldman Sachs Structured Investments SICAV - Goldman Sachs Alternative Beta Trend UCITS Portfolio 11 Goldman Sachs Structured Investments SICAV - Goldman Sachs Alternative Beta Macro UCITS Portfolio 12 Goldman Sachs Structured Investments SICAV - Goldman Sachs Alternative Beta Equity Long Short UCITS Portfolio 13 Goldman Sachs Structured Investments SICAV - Goldman Sachs Alternative Beta Event Driven UCITS Portfolio 14 Goldman Sachs Structured Investments SICAV - Goldman Sachs Alternative Beta Composite I UCITS Portfolio 15 Goldman Sachs Structured Investments SICAV - Goldman Sachs Alternative Beta Relative Value UCITS Portfolio 16 Goldman Sachs Structured Investments SICAV Goldman Sachs Multi-Asset Dynamic Strategy Portfolio 17 Goldman Sachs Structured Investments SICAV - GSQuartix Multi-Asset Dynamic Protection Strategy Portfolio 18 Statement of Assets and Liabilities Statement of Operations Statement of Changes in Shareholders Equity Statistical Information Notes to the Financial Statements Additional Information (unaudited) Appendix I: Portfolio Total Return (unaudited) Appendix II: Calculation method used from Global Exposure (unaudited) Appendix III: Funds performance for three years (unaudited) Appendix IV: Index Trading Portfolios (unaudited)

3 Goldman Sachs Structured Investments SICAV, Société d Investissement à Capital Variable A fund organised under the laws of the Grand Duchy of Luxembourg Board of Directors Francesco Adiliberti 1 & 3 Andreas Koernlein 1 Claude Kremer 2 Richard Taylor 1 & 4 Patrick Zurstrassen 2 Laurent Lellouche 1 & 5 Glenn Thorpe 1 & 9 Board of Directors of Management Company Kevin Brown Jonathan Carey Lorna Cassidy Özgul Gülbey 6 Henry Kelly Antonio Thomas 7 Michel Vareika Revel Wood Andy Wright 8 Custodian, Domiciliary, Corporate Agent and Fund Administrator The Bank of New York Mellon (Luxembourg) S.A. Vertigo Building - Polaris 2-4, rue Eugene Ruppert L-2453 Luxembourg Grand Duchy of Luxembourg Goldman Sachs Structured Investments SICAV Directors and Other Information Transfer Agent and Registrar RBC Investor Services Bank S.A. 14, Porte de France L-4360 Esch-sur-Alzette Grand Duchy of Luxembourg Global Distributor Goldman Sachs International 1 Peterborough Court 133 Fleet Street London EC4A 2BB United Kingdom Hedging Agent (For Portfolios under Passive Portfolio Administration) The Bank of New York Mellon One Wall Street New York, United States of America (For Portfolios under Active Portfolio Management) Goldman Sachs International 1 Peterborough Court 133 Fleet Street London EC4A 2BB United Kingdom Auditor PricewaterhouseCoopers, Société coopérative 400, route d Esch B.P L-1014 Luxembourg Grand Duchy of Luxembourg 1 Related parties to Goldman Sachs Structured Investments SICAV. 2 Independent Directors. 3 Francesco Adiliberti resigned from the Board of Directors on 22 May Richard Taylor resigned from the Board of Directors on 7 November Laurent Lellouche co-opted in replacement of Francesco Adiliberti on 18 September Özgul Gülbey resigned from the Board of Directors of the Management Company on 10 April Antonio Thomas resigned from the Board of Directors of the Management Company on 4 October Andy Wright was appointed to the Board of Directors of the Management Company on 8 May Glenn Thorpe was appointed as a member of the Board of Directors on 24 December Investment Administrator Goldman Sachs International 1 Peterborough Court 133 Fleet Street London EC4A 2BB United Kingdom Investment Advisor Goldman Sachs International 1 Peterborough Court 133 Fleet Street London EC4A 2BB United Kingdom Luxembourg Legal Advisor Arendt & Medernach 14, rue Erasme L-2082 Luxembourg Grand Duchy of Luxembourg Management Company RBS (Luxembourg) S.A. 33, rue de Gasperich L-5826 Hesperange Grand Duchy of Luxembourg Registered Office Vertigo building - Polaris 2-4, rue Eugene Ruppert L-2453 Luxembourg Grand Duchy of Luxembourg 2

4 Investment Administrator and Investment Advisor s Report For the Year Ended 30 November 2013 Dear Shareholders: Enclosed is the report for the year ended 30 November A. Market Review Global economic growth was mixed during the 12 months ended 30 November Growth in the U.S. accelerated as the economy was highly resilient in the face of several headwinds, including the "fiscal cliff" sequestration, the partial government shutdown and rising interest rates. Looking back, gross domestic product ( GDP ) growth in the U.S. was a tepid 0.1% in the fourth quarter of The U.S. Department of Commerce then reported that first and second quarter 2013 GDP growth was 1.1% and 2.5%, respectively. GDP growth in the third quarter then rose to 4.1%. Growth in many other developed countries improved, albeit from depressed levels. In its October 2013 World Economic Outlook, the International Monetary Fund ("IMF") stated that "Advanced economies are gradually strengthening. At the same time, growth in emerging market economies has slowed." From a regional perspective, the IMF anticipates 2013 growth will be -0.4% in the Eurozone and 1.0% in While growth in emerging market countries is expected to remain higher than in their developed country counterparts, the IMF projects that the difference is narrowing. The IMF now forecasts that emerging market growth will moderate from 4.9% in 2012 to 4.5% in In particular, China's economy is expected to grow 7.6% in 2013 versus 7.7% in The global equity markets experienced periods of volatility but, in aggregate, produced strong results during the reporting period. While there were a number of setbacks, they proved to be only temporary in nature and investor demand quickly resumed. Also supporting developed market equities were continued monetary policy accommodation and corporate profits that often exceeded expectations. The U.S. stock market, as measured by the S&P 500 Index Net (the "Index"), reached several new all-time highs and gained 29.45% during the 12 months ended 30 November International developed equities also produced very strong returns, as the MSCI EAFE Index gained 25.36%. Emerging market equities, however, produced less robust results, as the MSCI Emerging Markets Index gained 3.66% during the reporting period. This was due to a number of issues, including signs of moderating growth in China and falling prices for many commodities. The global fixed income markets generally posted weak results during the 12 months ended 30 November The reporting period began on a positive note, as global central banks continued to pursue highly accommodative monetary policies and investors looked to generate incremental yield in the low interest rate environment. However, the global fixed income markets generally sold off from May through August U.S. Treasury yields moved higher given the U.S. Federal Reserve Board's ("Fed") plan to begin tapering its quantitative easing program later in the year. However, yields then moved lower in September and October, as the Fed surprised the market by delaying the taper. 3

5 Investment Administrator and Investment Advisor s Report For the Year Ended 30 November 2013 A. Market Review (continued) Given mix global economic growth, inflation remained well contained during the reporting period. For example, a barrel of oil, which began the period at approximately $89, was $93 a barrel at the end of November Elsewhere, the price of gold fell sharply, moving from $1,726 an ounce to $1,253 an ounce during the period. For the 12 months ended 30 November 2013, the Barclays U.S. Aggregate Bond Index and Barclays Global Aggregate Bond Index returned -1.61% and 0.51%, respectively. Riskier fixed income securities generated mixed returns during the reporting period. The U.S. high yield bond market, as measured by the Barclays U.S. Corporate High Yield Bond Index, gained 8.55% during the period. However, the emerging market debt asset class, as measured by the JPMorgan EMBI Global Diversified Index, declined 5.06%. B. Performance Overview (Annualised Net Returns) 1 For the Year Ended 30 November 2013 Portfolio Share Class Goldman Sachs Absolute "C" Return Tracker Portfolio Share GSQuartix Dow Jones - UBS "C" Enhanced Strategy Portfolio Share GSQuartix Dividend Linked "I" Portfolio on the Dow Jones Share GSQuartix Commodity "C" ALPHA-BETA Portfolio Share Goldman Sachs Alternative "C" Beta Trend UCITS Portfolio Share Goldman Sachs Alternative "C" Beta Macro UCITS Portfolio Share Goldman Sachs Alternative "C" Beta Equity Long Short UCITS Share Goldman Sachs Alternative "C" Beta Event Driven UCITS Share Goldman Sachs Alternative "C" Beta Composite I UCITS Share Goldman Sachs Alternative "C" Beta Relative Value UCITS Share Goldman Sachs Multi-Asset "A" Dynamic Strategy Portfolio Share GSQuartix Multi-Asset "A" Dynamic Protection Strategy Share Currency 1-Year 1 3-Years 1 5-Years 1 Since Inception 1 Launch Date USD 8.08% 3.08% 2.78% (0.39%) 5 December 2007 USD (13.14%) (4.56)% NA 1.79% 14 May 2009 EUR 11.71% 9.80% NA 11.53% 14 June 2010 USD (1.42%) (0.03)% NA 1.25% 7 September 2010 USD (2.96%) (4.33)% NA (5.04%) 27 October 2010 USD (1.59%) NA NA (3.14%) 12 August 2011 USD 11.10% NA NA 6.29% 12 August 2011 USD 11.11% NA NA 10.22% 17 August 2011 USD 7.03% NA NA 4.15% 1 September 2011 USD 6.30% NA NA 6.68% 21 December 2012 GBP 3.60% NA NA 10.97% 30 July 2013 GBP 3.10% NA NA 9.40% 30 July 2013 Goldman Sachs International 10 January Past performance is not indicative of future results. Returns are net of expenses and inclusive of dividends, where applicable. 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 67. 4

6 Audit report To the Shareholders of Goldman Sachs Structured Investments SICAV Following our appointment by the General Meeting of the Shareholders dated 28 March 2013, we have audited the accompanying financial statements of Goldman Sachs Structured Investments SICAV (the SICAV ) and of each of its sub-funds, which comprise the statement of assets and liabilities and the schedule of investments as at 30 November 2013 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: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU

7 -.e wc Opinion In our opinion, the financial statements give a true and fair view of the financial position of Goldman Sachs Stuctured Investments SICAV and of each of its sub-funds as of 3o November zorg, 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 6nancial statements. Emphasis of matter We draw your attention to Note 3,(c) (ii.3) (a) to the financial statements relating to the valuation of Swap Contracts. This note explains that the valuation model used for valuing these Swap Contracts considers various inputs including the market value of the under$ng, the risk associated with the underlying and the specific terms of the contract, Our opinion is not qualified in respect of this matter. Other matters Supplementary information included in t}le 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 iniormationln the context of the financial statements taken as a whole. Luxembourg, 13 March 2ot4

8 - Goldman Sachs Absolute Return Tracker Portfolio Schedule of Investments Swap Contracts 0.30% Net Local Unrealised % Notional Maturity Gain Shareholders Amount Pay Receive Currency Date USD Equity Total Return Swap Performance of the 223,050,151 Federal rate+0.5% GS ART Index USD 2 December , Unrealised results on swap contracts 681, Other assets and liabilities 224,350, Shareholders Equity 225,032, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date USD 219,500,000 Federal Rate 29 November December 2013 The counterparty for reverse repurchase agreements is BNP Paribas. 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 7

9 - GSQuartix Dow Jones - UBS Enhanced Strategy Portfolio Schedule of Investments Government Bonds: 98.06% Holdings United States %of Shareholders Equity Market Value Security USD USD140,000,000 United States Treasury Bill 12 December ,999, USD140,000,000 United States Treasury Bill 9 January ,999, USD138,000,000 United States Treasury Bill 6 February ,991, USD 140,000,000 United States Treasury Bill 5 December ,999, USD 140,000,000 United States Treasury Bill 19 December ,999, USD 141,000,000 United States Treasury Bill 2 January ,999, USD 133,800,000 United States Treasury Bill 16 January ,798, USD 139,200,000 United States Treasury Bill 23 January ,197, USD 134,500,000 United States Treasury Bill 30 January ,495, USD 130,000,000 United States Treasury Bill 13 February ,988, Total Government Bonds 1,376,468, Swap Contracts: 0.41% Net Local Unrealised % of Notional Maturity Gain/(Loss) Shareholders Amount Pay Receive Currency Date USD Equity 1,410,926,334 (14,105,124) Total Return Swap Performance of the USD T-BILL Goldman Sachs DJ-UBS Auction High Rate 3 TR Enhanced Strategy Months+0.45% E166 Performance of the USD T-BILL Goldman Sachs DJ-UBS Auction High Rate 3 TR Enhanced Strategy Months+0.45% E166 USD USD 4 December ,701, December 2013 (56,997) (0.00) Unrealised results on swap contracts 5,644, Total Investments 1,382,113, Other assets and liabilities 21,528, Shareholders' Equity 1,403,641, The counterparty for swap contracts is Goldman Sachs International. 1 1 A related party to Goldman Sachs Structured Investments SICAV. The accompanying notes are an integral part of these financial statements. 8

10 - GSQuartix Dividend Linked Portfolio on the Dow Jones EURO STOXX 50 Index Schedule of Investments Swap Contracts: 5.28% Net Local Unrealised % Notional Maturity Gain Shareholders Amount Pay Receive Currency Date EUR Equity Total Return Swap 19,294,394 EONIA Performance of Dow Jones EURO STOXX 50 Index EUR 18 December ,059, Unrealised results on swap contracts 1,059, Other assets and liabilities 19,018, Shareholders Equity 20,078, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date EUR 20,565,044 EONIA % 22 August December 2013 The counterparty for reverse repurchase agreements is Goldman Sachs International. 1 & 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 9

11 - GSQuartix Commodity ALPHA-BETA Portfolio Schedule of Investments Government Bonds: 99.73% Holdings United States % of Shareholders Equity Market Value Security USD USD10,000,000 United States Treasury Bill 12 December ,999, USD 9,500,000 United States Treasury Bill 9 January ,499, USD 9,600,000 United States Treasury Bill 6 February ,599, USD 10,000,000 United States Treasury Bill 5 December ,999, USD 9,500,000 United States Treasury Bill 19 December ,499, USD 10,000,000 United States Treasury Bill 2 January ,999, USD 9,760,000 United States Treasury Bill 16 January ,759, USD 9,830,000 United States Treasury Bill 23 January ,829, USD 9,450,000 United States Treasury Bill 30 January ,449, USD 9,740,000 United States Treasury Bill 13 February ,739, Total Government Bonds 97,377, Swap Contracts: 0.14% Net Local Unrealised % of Notional Maturity Gain/Loss Shareholders Amount Pay Receive Currency Date USD Equity 99,081, % (987,440) 0.90% Excess Return Swap Performance of the Alpha- Beta Basket B444 Excess Return Strategy Performance of the Alpha- Beta Basket B444 Excess Return Strategy USD USD 4 December , December 2013 (1,317) (0.00) Unrealised results on swap contracts 131, Total Investments 97,508, Other assets and liabilities 130, Shareholders' Equity 97,639, The counterparty for swap contracts is Goldman Sachs International. 1 1 A related party to Goldman Sachs Structured Investments SICAV. The accompanying notes are an integral part of these financial statements. 10

12 - Goldman Sachs Alternative Beta Trend UCITS Portfolio Schedule of Investments Swap Contracts: 1.61% Net Local Unrealised % Notional Maturity Gain Shareholders Amount Pay Receive Currency Date USD Equity Total Return Swap 63,511,021 Federal Rate Performance of the GS Alternative Beta Trend UCITS Strategy USD 5 December ,046, Unrealised results on swap contracts 1,046, Other assets and liabilities 63,348, Shareholders Equity 64,394, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date Federal Rate-Daily Reset USD 63,400,000 at Market Rate 29 November December 2013 The counterparty for reverse repurchase agreements is BNP Paribas. 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 11

13 - Goldman Sachs Alternative Beta Macro UCITS Portfolio Schedule of Investments Swap Contracts: 0.67% Net Local Unrealised % Notional Maturity Gain Shareholders Amount Pay Receive Currency Date USD Equity Total Return Swap 85,027,660 Federal Rate Performance of GS Alternative Beta Macro UCITS Strategy USD 5 December , Unrealised results on swap contracts 573, Other assets and liabilities 84,968, Shareholders Equity 85,542, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date Federal Rate-Daily Reset USD 85,400,000 at Market Rate 29 November December 2013 The counterparty for reverse repurchase agreements is BNP Paribas. 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 12

14 - Goldman Sachs Alternative Beta Equity Long Short UCITS Portfolio Schedule of Investments Swap Contracts: 0.70% Net Local Unrealised % Notional Maturity Gain Shareholders Amount Pay Receive Currency Date USD Equity Total Return Swap 94,323,668 Federal Rate Performance of GS Alternative Beta Equity Long Short UCITS Strategy USD 5 December , Unrealised results on swap contracts 669, Other assets and liabilities 94,336, Shareholders Equity 95,005, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date Federal Rate-Daily Reset USD 94,300,000 at Market Rate 29 November December 2013 The counterparty for reverse repurchase agreements is BNP Paribas. 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 13

15 - Goldman Sachs Alternative Beta Event Driven UCITS Portfolio Schedule of Investments Swap Contracts: 0.63% Net Local Unrealised % Notional Maturity Gain Shareholders Amount Pay Receive Currency Date USD Equity Total Return Swap 109,222,629 Federal Rate Performance of GS Alternative Beta Event Driven UCITS Strategy USD 5 December , Unrealised results on swap contracts 692, Other assets and liabilities 109,183, Shareholders Equity 109,876, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date USD 109,400,000 Federal Rate 29 November December 2013 The counterparty for reverse repurchase agreements is BNP Paribas. 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 14

16 - Goldman Sachs Alternative Beta Composite I UCITS Portfolio Schedule of Investments Swap Contracts: 0.61% Net Local Unrealised % Notional Maturity Gain Shareholders Amount Pay Receive Currency Date USD Equity Total Return Swap 10,917,359 Federal Rate Performance of GS Alternative Beta Composite I UCITS Strategy USD 5 December , Unrealised results on swap contracts 67, Other assets and liabilities 10,891, Shareholders Equity 10,958, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date Federal Rate - Daily Reset USD 11,000,000 at Market Rate 29 November December 2013 The counterparty for reverse repurchase agreements is BNP Paribas. 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 15

17 - Goldman Sachs Alternative Beta Relative Value UCITS Portfolio Schedule of Investments Swap Contracts: 0.31% Net Local Unrealised % Notional Maturity Gain Shareholders Amount Pay Receive Currency Date USD Equity Total Return Swap 43,115,896 Federal Rate Performance of GS Alternative Beta Relative Value UCITS Strategy USD 5 December , Unrealised results on swap contracts 133, Other assets and liabilities 43,081, Shareholders Equity 43,215, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date Federal Rate - Daily Reset USD 43,000,000 at Market Rate 29 November December 2013 The counterparty for reverse repurchase agreements is BNP Paribas. 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 16

18 - Goldman Sachs Multi-Asset Dynamic Strategy Portfolio Schedule of Investments Government Bonds: 71.81% Holdings United States % of Shareholders Equity Market Value Security USD USD2,000,000 United States Treasury Bill 29 May ,999, USD1,000,000 United States Treasury Bill 16 January , USD1,900,000 United States Treasury Bill 23 January ,899, USD1,900,000 United States Treasury Bill 17 April ,899, USD1,900,000 United States Treasury Bill 24 April ,899, USD2,000,000 United States Treasury Bill 22 May ,999, USD1,900,000 United States Treasury Bill 30 April ,913, USD1,900,000 United States Treasury Bill 15 January ,902, USD1,500,000 United States Treasury Bill 15 April ,506, USD3,150,000 United States Treasury Bill 15 May ,162, Total Government Bonds 19,181, Swap Contracts: 0.32% Net Local Unrealised % of Notional Maturity Gain/Loss Shareholders Amount Pay Receive Currency Date USD Equity Excess Return Swap 25,892,948 Federal Rate 366,667 Federal Rate Performance of GS Quartix Multi Asset Dynamic Strategy USD 5 December , Performance of GS Quartix Multi Asset Dynamic Strategy USD 5 December 2013 (136) 0.00 Unrealised results on swap contracts 85, Total Investments 19,267, Other assets and liabilities 7,446, Shareholders' Equity 26,713, The counterparty for swap contracts is Goldman Sachs International. 1 Reverse Repurchase Agreement Currency Notional Amount Interest Rate Trade Date Maturity Date USD 5,100,000 Federal Rate 29 November December 2013 The counterparty for reverse repurchase agreements is Merill Lynch. 2 1 A related party to Goldman Sachs Structured Investments SICAV. 2 The tri-party collateral agent is Bank of New York Mellon. The accompanying notes are an integral part of these financial statements. 17

19 - GSQuartix Multi-Asset Dynamic Protection Strategy Portfolio Schedule of Investments Government Bonds: 93.48% Holdings United Kingdom % of Shareholders Equity Market Value Security GBP GBP1,040,000 United Kingdom Treasury Bill 16 December ,039, GBP850,000 United Kingdom Treasury Bill 20 January , GBP600,000 United Kingdom Treasury Bill 2 December , GBP600,000 United Kingdom Treasury Bill 9 December , GBP930,000 United Kingdom Treasury Bill 23 December , GBP830,000 United Kingdom Treasury Bill 30 December , GBP850,000 United Kingdom Treasury Bill 6 January , GBP710,000 United Kingdom Treasury Bill 13 January , GBP920,000 United Kingdom Treasury Bill 27 January , GBP730,000 United Kingdom Treasury Bill 3 February , Total Government Bonds 8,057, Swap Contracts: 0.25% Net Local Unrealised % of Notional Maturity Gain/Loss Shareholders Amount Pay Receive Currency Date GBP Equity 8,298,437 SONIA* 286,000 SONIA* Excess Return Swap Performance of GS Quartix Multi Asset Dynamic Protection Strategy Performance of GS Quartix Multi Asset Dynamic Protection Strategy GBP GBP 5 December , December 2013 (187) 0.00 Unrealised results on swap contracts 21, Total Investments 8,078, Other assets and liabilities 540, Shareholders' Equity 8,618, The counterparty for swap contracts is Goldman Sachs International. 1 *SONIA: Sterling OverNight Index Average 1 A related party to Goldman Sachs Structured Investments SICAV. The accompanying notes are an integral part of these financial statements. 18

20 Assets Goldman Sachs Structured Investments SICAV Statement of Assets and Liabilities Goldman Sachs GSQuartix GSQuartix Dividend GSQuartix Goldman Sachs Absolute Dow Jones-UBS Linked Portfolio Commodity Alternative Beta Return Tracker Enhanced Strategy on the Dow Jones ALPHA-BETA Trend UCITS Portfolio Portfolio EURO STOXX 50 Index Portfolio Portfolio Notes USD USD EUR USD USD Value of reverse repurchase agreements 3 (c), 4 219,500,000-20,565,044-63,400,000 Investments, at market value, excluding derivatives 3 (c) - 1,376,468,818-97,377,761 - Swap Notional Unrealised gain on swap contracts 3 (c) 681,585 5,644,373 1,059, ,211 1,046,133 Unrealised gain on forward foreign exchange contracts 3 (c), 12 1,652,121 10,838, ,804-31,404 Cash 3 (d) 1,304, ,445,735-9,841, ,842 Due from broker 2,421, ,648 Interest receivable Receivable from Swap Counterparty - 12,594, ,888 - Receivable for subscriptions - 344, Other assets 61, ,857 17,480 20,481 31,132 Total Assets 225,621,112 1,539,493,580 21,853, ,642,704 64,883,282 Liabilities Bank overdraft 3 (d) , Due to Brokers 3 (e) - - 1,370, Interest Payable 14,622 40,651 79,579 4,823 1,270 Securities purchased payable - 129,989,587-9,739,220 - Payable to Swap Counterparty - 141, Payable for shares redeemed - 427, Unrealised loss on swap contracts 3 (c) Unrealised loss on forward foreign exchange contracts 3 (c), Management Company fee payable 6 2, ,522 13,278 17,670 17,670 Investment Administrator/Advisor fee payable 6 132, ,282 48,299 23,230 75,239 Fund Administration and Custody fees payable 6 83, ,958 17,834 45,793 56,700 Taxe d abonnement payable 5 7,623 42, ,714 1,081 Transfer Agency fee payable 6 88, ,133 23,866 8,904 15,031 Other liabilities 259, , , , ,255 Total Liabilities 588, ,333,969 1,774,954 10,003, ,246 Shareholders Equity prior to Swing Adjustment 225,032,147 1,407,159,611 20,078,310 97,639,042 64,491,036 Swing Adjustment 3 (i) - (3,517,899) - - (96,849) Shareholders Equity after Swing Adjustment 225,032,147 1,403,641,712 20,078,310 97,639,042 64,394,187 The accompanying notes are an integral part of these financial statements 19

21 Assets Goldman Sachs Structured Investments SICAV Statement of Assets and Liabilities Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs Alternative Beta Alternative Beta Equity Alternative Beta Alternative Beta Alternative Beta Macro UCITS Long Short UCITS Event Driven UCITS Composite I UCITS Relative Value UCITS Portfolio Portfolio Portfolio Portfolio Portfolio** Notes USD USD USD USD USD Value of reverse repurchase agreements 3 (c), 4 85,400,000 94,300, ,400,000 11,000,000 43,000,000 Investments, at market value, excluding derivatives 3 (c) Swap Notional Unrealised gain on swap contracts 3 (c) 573, , ,867 67, ,781 Unrealised gain on forward foreign exchange contracts 3 (c), Cash 3 (d) 311, , ,813 76, ,665 Due from broker Interest receivable Receivable from Swap Counterparty Receivable for subscriptions 35,000 10,000 10,000-10,000 Other assets 10,744 10,550 6,725 23,766 18,773 Total Assets 86,331,331 95,270, ,388,618 11,167,304 43,351,303 Liabilities Bank overdraft 3 (d) Due to Brokers 3 (e) 380, , , Interest Payable 1,701 1,886 2, Securities purchased payable Payable to Swap Counterparty Payable for shares redeemed Unrealised loss on swap contracts 3 (c) Unrealised loss on forward foreign exchange contracts 3 (c), Management Company fee payable 6 18,073 18,073 18,073 18,073 18,511 Investment Administrator/Advisor fee payable 6 67,514 74,588 86,526 8,635 34,152 Fund Administration and Custody fees payable 6 45,253 46,526 45,274 40,725 42,305 Taxe d'abonnement payable 5 1,176 1,611 1, Transfer Agency fee payable 6 11,627 12,269 11,696 11,532 11,908 Other liabilities 134, , , ,537 92,557 Total Liabilities 660, , , , ,295 Shareholders Equity prior to Swing Adjustment 85,671,236 94,863, ,711,560 10,958,406 43,151,008 Swing Adjustment 3 (i) (128,507) 142, ,567-64,727 Shareholders Equity after Swing Adjustment 85,542,729 95,005, ,876,127 10,958,406 43,215,735 **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements. 20

22 Assets Goldman Sachs Structured Investments SICAV Statement of Assets and Liabilities GSQuartix Goldman Sachs Multi-Asset Dynamic Combined Combined Multi-Asset Dynamic Protection Strategy 30 November 30 November Strategy Portfolio** Portfolio** Notes USD GBP EUR EUR Value of reverse repurchase agreements 3 (c), 4 5,100, ,097,912 1,424,125,112 Investments, at market value, excluding derivatives 3 (c) 19,181,785 8,057,255 1,106,299,004 - Swap Notional ,113,433 Unrealised gain on swap contracts 3 (c) 85,933 21,071 8,229,153 5,470,273 Unrealised gain on forward foreign exchange contracts 3 (c), ,207-9,686,867 11,316,578 Cash 3 (d) 404, , ,900,207 5,760,511 Due from broker 1,604,856-3,017,811 - Interest receivable 13,765 2,787 14,357 2,163 Receivable from Swap Counterparty - 2,490 9,453,277 2,391,020 Receivable for subscriptions - 285, ,195 3,876,738 Other assets 23,005 15, , ,964 Total Assets 26,792,586 8,680,233 1,729,646,199 1,461,499,792 Liabilities Bank overdraft 3 (d) ,758 3,057,374 Due to Brokers 3 (e) - - 2,016,346 4,454,916 Interest Payable ,827 96,285 Securities purchased payable ,628,577 - Payable to Swap Counterparty , ,445 Payable for shares redeemed ,432 7,463,853 Unrealised loss on swap contracts 3 (c) ,906 Unrealised loss on forward foreign exchange contracts 3 (c), ,170 Management Company fee payable 6 13,515 8, , ,399 Investment Administrator/Advisor fee payable 6 12,282 22, , ,367 Fund Administration and Custody fees payable 6 30,952 3, , ,255 Taxe d'abonnement payable 5 1, ,794 39,917 Transfer Agency fee payable 6 3,111 1, , ,729 Other liabilities 57,229 37,412 1,373, ,170 Total Liabilities 118,787 74, ,798,760 18,557,786 Shareholders Equity prior to Swing Adjustment 26,673,799 8,605,452 1,620,847,439 1,442,942,006 Swing Adjustment 3 (i) 40,029 12,908 (2,431,505) 2,331,030 Shareholders Equity after Swing Adjustment 26,713,828 8,618,360 1,618,415,934 1,445,273,036 **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements. 21

23 Statement of Operations For the Year Ended 30 November 2013 Goldman Sachs GSQuartix GSQuartix GSQuartix Dividend Absolute Dow Jones-UBS Multi-Strategy GSQuartix Linked Portfolio Return Tracker Enhanced Strategy (managed by Pioneer Commodity Alpha on the Dow Jones Portfolio Portfolio Investments) Portfolio* Portfolio EURO STOXX 50 Index Notes USD USD USD USD EUR Income Interest income 3 (b) - 2, Income from reverse repurchase agreements 3 (c) 234, Total Income 234,298 2, Expenses Interest Expense 14, , Payments for Swap contracts 3 (c) 1,697,707 6,667,654-23,167 11,266 Payments for reverse repurchase agreements 3 (c) - 412,446-3,552 75,737 Management Company fees 6 68, ,368 15,060 18,812 30,939 Investment Administrator/Advisor fees 6 1,942,927 5,458,518 42,136 14, ,393 Fund Administration and Custody fees 6 249, ,019 32,178 47,790 94,957 Taxe d'abonnement 5 30, , ,349 Transfer Agency fees 6 171, ,313 3,099-27,273 Director fees 6 3,549 3,549 1,984 1,425 2,717 Other expenses 3 (h) 306, ,337 79,256 67, ,335 4,485,232 15,131, , , ,002 Less: Fee waived/reimbursed by Investment Administrator/Advisor 6 (407,118) (630,296) (124,847) (130,583) (205,225) Total Expenses 4,078,114 14,501,491 51,810 46, ,777 Net (loss) for the Year (3,843,816) (14,499,390) (51,810) (46,485) (508,777) Net realised gain/(loss) on: Investment securities - 114, swap contracts 23,763,727 (169,811,719) 150, ,328 7,538,756 forward foreign exchange contracts 2,412,874 17,967,072 (1,645,457) 134,342 (747,797) other transactions 4,503,685 4,749,687 90, ,804 (881,837) Net change in unrealised gain/(loss) on: Investment securities - 26, swap contracts 198,667 5,192,457 (73,797) (123,260) (3,105,695) forward foreign exchange contracts (1,367,977) 207, ,699 (215,557) 727,302 other transactions (46) Net investment gain/(loss) 25,667,114 (156,053,154) (1,257,171) 148,172 3,021,952 *Portfolio name was changed during the year; see Note 1 for further details. Portfolio liquidated during the year, see Note 1 for further details. **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements. 22

24 Statement of Operations For the Year Ended 30 November 2013 GSQuartix GSQuartix GSQuartix Goldman Sachs GSQuartix Commodity BRICs Nifty 50 BRICs Nifty 50 Alternative Beta Diversified ALPHA-BETA Developed Markets Emerging Markets Trend UCITS Strategies Portfolio Portfolio Portfolio Portfolio Portfolio Notes USD USD USD USD USD Income Interest income 3 (b) Income from reverse repurchase agreements 3 (c) ,281 - Total Income ,281 - Expenses Interest Expense Payments for Swap contracts 3 (c) 874, ,029 2,627 Payments for reverse repurchase agreements 3 (c) 78, ,016 Management Company fees 6 41,594 8,715 14,976 40,875 - Investment Administrator/Advisor fees 6 290,086 10,725 13,934 1,112,277 20,226 Fund Administration and Custody fees 6 106,641 27,036 43, ,714 9,825 Taxe d'abonnement 5 9, , Transfer Agency fees 6 11,123 1, ,321 1,540 Director fees 6 3, ,425 3, Other expenses 3 (h) 197,929 61,360 99, ,683 22,850 1,613, , ,516 1,681,401 58,698 Less: Fee waived/reimbursed by Investment Administrator/Advisor 6 (225,210) (95,409) (154,674) (293,481) (32,575) Total Expenses 1,388,397 15,182 18,842 1,387,920 26,123 Net (loss) for the Year (1,388,397) (15,182) (18,842) (1,324,639) (26,123) Net realised gain/(loss) on: Investment securities (7,944) swap contracts (41,550) 807,501 61,152 (1,611,624) 289,245 forward foreign exchange contracts , , ,163 other transactions - - 1, , ,646 Net change in unrealised gain/(loss) on: Investment securities 1, swap contracts 6,529 (257,371) (85,396) 1,103,478 (97,478) forward foreign exchange contracts - - (11,725) (422,244) (386,314) other transactions (1) - Net investment gain/(loss) (1,429,522) 534,948 (42,815) (1,178,102) 369,139 *Portfolio name was changed during the year; see Note 1 for further details. Portfolio liquidated during the year, see Note 1 for further details. **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements. 23

25 Statement of Operations For the Year Ended 30 November 2013 Income Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs Alternative Beta Alternative Beta Equity Alternative Beta Alternative Beta Alternative Beta Macro UCITS Long Short UCITS Event Driven UCITS Composite I UCITS Relative Value UCITS Portfolio Portfolio Portfolio Portfolio Portfolio** Notes USD USD USD USD USD Interest income 3 (b) Income from reverse repurchase agreements 3 (c) 40,437 53,483 38,132 8,385 13,752 Total Income 40,437 53,483 38,132 8,385 13,756 Expenses Interest Expense Payments for Swap contracts 3 (c) 63,265 81,479 63,525 12,223 22,079 Payments for reverse repurchase agreements 3 (c) Management Company fees 6 37,796 37,796 37,881 37,846 42,996 Investment Administrator/Advisor fees 6 557, , , , ,093 Fund Administration and Custody fees 6 103, , ,572 94,602 93,870 Taxe d'abonnement 5 6,608 8,998 7,367 1,060 - Transfer Agency fees 6 20,770 23,368 21,460 12,660 16,682 Director fees 6 3,548 3,549 3,549 3,549 3,317 Other expenses 3 (h) 132, , , , , ,294 1,106, , , ,297 Less: Fee waived/reimbursed by Investment Administrator/Advisor 6 (165,750) (135,641) (149,371) (255,081) (203,888) Total Expenses 759, , , , ,409 Net (loss) for the Year (719,107) (917,376) (805,007) (135,756) (274,653) Net realised gain/(loss) on: Investment securities swap contracts (223,574) 7,528,354 5,953, ,599 1,614,733 forward foreign exchange contracts other transactions Net change in unrealised gain/(loss) on: Investment securities swap contracts 584, , ,593 76, ,781 forward foreign exchange contracts other transactions Net investment gain/(loss) (358,100) 7,291,298 5,857, ,289 1,473,861 *Portfolio name was changed during the year; see Note 1 for further details. Portfolio liquidated during the year, see Note 1 for further details. **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements. 24

26 Income Goldman Sachs Structured Investments SICAV Statement of Operations For the Year Ended 30 November 2013 GSQuartix Goldman Sachs Multi-Asset Dynamic Combined Combined Multi-Asset Dynamic Protection Strategy 30 November 30 November Strategy Portfolio** Portfolio** Notes USD GBP EUR EUR Interest income 3 (b) 38 14,546 19,074 1,818 Income from reverse repurchase agreements 3 (c) 10,999 1, , ,616 Total Income 11,037 15, , ,434 Expenses Interest Expense ,949 2,598 Payments for Swap contracts 3 (c) 3,503 5,008 7,069,624 8,913,829 Payments for reverse repurchase agreements 3 (c) - 439,867 3,732,090 Management Company fees 6 13,515 8, , ,611 Investment Administrator/Advisor fees 6 29,340 11,700 8,540,641 10,431,805 Fund Administration and Custody fees 6 30,952 20,158 1,626,332 1,883,788 Taxe d'abonnement 5 3, , ,715 Transfer Agency fees 6 3,111 1, , ,697 Director fees 6 1, ,244 33,588 Other expenses 3 (h) 58,053 36,683 1,740,933 3,056, ,240 85,380 21,157,730 29,981,696 Less: Fee waived/reimbursed by Investment Administrator/Advisor 6 (97,652) (65,745) (2,577,499) (4,201,471) Total Expenses 45,588 19,635 18,580,231 25,780,225 Net (loss) for the Year (34,551) (3,882) (18,219,810) (25,566,791) Net realised gain/(loss) on: Investment securities ,447 - swap contracts 469,997 97,437 (87,888,432) 2,726,276 forward foreign exchange contracts 438,628-14,228,459 (3,058,179) other transactions 53,544-6,627,784 (4,866,498) Net change in unrealised gain/(loss) on: Investment securities (9,555) (178) 13,412 - swap contracts 85,933 21,071 2,875,188 (18,273,251) forward foreign exchange contracts 379,207 - (411,327) 23,910,646 other transactions - - (35) - Net investment gain/(loss) 1,383, ,574 (82,696,314) (25,127,797) *Portfolio name was changed during the year; see Note 1 for further details. Portfolio liquidated during the year, see Note 1 for further details. **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements. 25

27 Statement of Changes in Shareholders Equity For the Year Ended 30 November 2013 Goldman Sachs GSQuartiX GSQuartix GSQuartix Dividend Absolute Dow Jones-UBS Multi-Strategy GSQuartix Linked Portfolio Return Tracker Enhanced Strategy (managed by Pioneer Commodity Alpha on the Dow Jones Portfolio Portfolio Investments) Portfolio* Portfolio EURO STOXX 50 Index Notes USD USD USD USD EUR Shareholders' Equity at Start of the Year after 377,129,379 1,155,348,683 10,031,948 18,345,094 38,705,435 Swing Adjustment Reversal of prior year Swing Adjustment - (2,881,169) - - (115,769) Proceeds from shares issued 120,860, ,557, ,587,792 Payment for shares redeemed (298,625,297) (524,812,493) (8,774,777) (18,493,266) (27,121,100) Currency adjustment Net investment gain/(loss) for the Year 25,667,114 (156,053,154) (1,257,171) 148,172 3,021,952 Shareholders Equity at End of the Year 225,032,147 1,407,159, ,078,310 Swing Adjustment - (3,517,899) Shareholders Equity at End of the Year after Swing Adjustment 225,032,147 1,403,641, ,078,310 Portfolio liquidated during the year, see Note 1 for further details. *Portfolio name was changed during the year; see Note 1 for further details. **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements. 26

28 Statement of Changes in Shareholders Equity For the Year Ended 30 November 2013 GSQuartix GSQuartix GSQuartix Goldman Sachs GSQuartix Commodity BRICs Nifty 50 BRICs Nifty 50 Alternative Beta Diversified ALPHA-BETA Developed Markets Emerging Markets Trend UCITS Strategies Portfolio Portfolio Portfolio Portfolio Portfolio Notes USD USD USD USD USD Shareholders' Equity at Start of the Year after Swing Adjustment 99,068,564 6,068,334 4,746,126 89,571,436 24,755,949 Reversal of prior year Swing Adjustment Proceeds from shares issued ,986,692 - Payment for shares redeemed - (6,603,282) (4,703,311) (52,888,990) (25,125,088) Currency adjustment Net investment gain/(loss) for the Year (1,429,522) 534,948 (42,815) (1,178,102) 369,139 Shareholders Equity at End of the Year 97,639, ,491,036 - Swing Adjustment (96,849) - Shareholders Equity at End of the Year after Swing Adjustment 97,639, ,394,187 - Portfolio liquidated during the year, see Note 1 for further details. *Portfolio name was changed during the year; see Note 1 for further details. **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements 27

29 Statement of Changes in Shareholders Equity For the Year Ended 30 November 2013 Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs Goldman Sachs Alternative Beta Alternative Beta Equity Alternative Beta Alternative Beta Alternative Beta Macro UCITS Long Short UCITS Event Driven UCITS Composite I UCITS Relative Value UCITS Portfolio Portfolio Portfolio Portfolio Portfolio** Notes USD USD USD USD USD Shareholders' Equity at Start of the Year after Swing Adjustment 9,440,870 13,383,259 11,255,063 10,237,117 - Reversal of prior year Swing Adjustment Proceeds from shares issued 169,767, ,041, ,862,297-52,177,147 Payment for shares redeemed (93,179,413) (81,852,323) (14,263,048) - (10,500,000) Currency adjustment Net investment gain/(loss) for the Year (358,100) 7,291,298 5,857, ,289 1,473,861 Shareholders Equity at End of the Year 85,671,236 94,863, ,711,560 10,958,406 43,151,008 Swing Adjustment (128,507) 142, ,567-64,727 Shareholders Equity at End of the Year after Swing Adjustment 85,542,729 95,005, ,876,127 10,958,406 43,215,735 Portfolio liquidated during the year, see Note 1 for further details. *Portfolio name was changed during the year; see Note 1 for further details. **Portfolio commenced operations during the year; see Note 1 for further details. The accompanying notes are an integral part of these financial statements 28