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Goldman Sachs Funds II

SICAV
Semi-Annual Report
Unaudited Financial Statements

0514

Goldman Sachs Funds II


Table of Contents

Page

Directors and Other Information

Investment Advisors Report

Statement of Assets and Liabilities

Statement of Operations

Statement of Changes in Shareholders Equity

Statistical Information

Notes to the Financial Statements


Schedule of Investments

9
30

GOLDMAN SACHS FUNDS IIEQUITY PORTFOLIOS


Goldman Sachs Funds IIGlobal Manager Strategies Portfolios
Goldman Sachs Funds IIGMS Emerging Markets Equity Portfolio

30

Goldman Sachs Funds IIGMS Europe Equity Portfolio

34

Goldman Sachs Funds IIGMS Global Equity Portfolio

37

Goldman Sachs Funds IIGMS Japan Equity Portfolio

43

Goldman Sachs Funds IIGMS US Equity Portfolio

45

GOLDMAN SACHS FUNDS IISPECIALIST PORTFOLIOS


Goldman Sachs Funds IIDynamic Alternative Strategies Portfolio

48

GOLDMAN SACHS FUNDS IIDEDICATED PORTFOLIOS


Goldman Sachs Funds IITactical Tilt Portfolio

49

GOLDMAN SACHS FUNDS IIFIXED INCOME PORTFOLIOS


Goldman Sachs Funds IIEurope High Income Bond Portfolio

52

Appendix IAdvisory Fee Rates, Expense Caps and Total Net Expense Ratios

55

Appendix IIPortfolio and Share Class Launches, Closures and Mergers

57

Appendix IIIShareholder Concentration

58

Additional Information

59

Goldman Sachs Funds II


Directors and Other Information

GOLDMAN SACHS FUNDS II


Socit dInvestissement Capital
Variable
An undertaking for collective investment
organised under the laws of the Grand
Duchy of Luxembourg

Board of Directors
Frank Ennis (Irish)1
Mark Heaney (UK/Irish)2
Eugene Regan (Irish)1
Alan Shuch (US)2
Theodore Sotir (UK/US)2
Katherine Uniacke (US)2

Goldman Sachs Asset Management Co.,


Ltd.2
Roppongi Hills Mori Tower
10-1, Roppongi 6-chome
Minato-Ku, Tokyo 106-6144, Japan

Paying and Information Agent in


Belgium

Goldman Sachs Asset Management


Australia Pty Ltd.2
Level 17, 101 Collins Street
Melbourne VIC 3000, Australia

Paying and Information Agent in


France

Management Company

Goldman Sachs (Asia) L.L.C.


Hong Kong Branch2
68th Floor Cheung Kong Center,
2 Queens Road
Central, Hong Kong

Goldman Sachs Asset Management


Global Services Limited2,3
Peterborough Court
133 Fleet Street
London EC4A 2BB
United Kingdom

Goldman Sachs International2


Peterborough Court
133 Fleet Street
London EC4A 2BB
United Kingdom

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, Socit
cooprative
400, route dEsch
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
United States of America
Goldman Sachs (Singapore) Pte.2
1 Raffles Link
#07-01 South Lobby
Singapore 039393

Goldman Sachs Hedge Fund


Strategies LLC2
One New York Plaza
10004 New York
United States of America

Legal Advisers to the Fund and the


Investment Adviser
Arendt & Medernach
14, rue Erasme
L-2082 Luxembourg
Grand Duchy of Luxembourg

RBC Investor Services


Place Rogier II
1210 Brussels, Belgium

RBC Investor Services Bank France S.A.


105, rue Raumur
75002 Paris, France

Paying and Information Agent in


Germany
State Street Bank GmbH
Brienner Strasse 59
80333 Munich, Germany

Paying Agent in Italy


Socit Gnrale Securities Services S.p.A.
Maciachini Center MAC 2
Via Benigno Crespi, 19/A
20159 Milan, Italy

Paying Agent in Sweden


Global Transaction Services
SEB Merchant Banking
Sergels Torg 2
SE-10640 Stockholm, Sweden

Paying Agent in Switzerland


Goldman Sachs Bank AG2
Mnsterhof 4
8001 Zurich, Switzerland

Representative in Switzerland

Registered Office
c/o State Street Bank Luxembourg S.A.
49, avenue J.F. Kennedy
L-1855 Luxembourg
R.C.S. Luxembourg B 133 806
Grand Duchy of Luxembourg

Registrar and Transfer Agent


RBC Investor Services Bank S.A.
14, Rue Porte de France
L-4360 Esch-sur Alzette
Grand Duchy of Luxembourg

Shareholder Services Agent


European Shareholder Services
Goldman Sachs International2
Peterborough Court
133 Fleet Street
London, EC4A 2BB
United Kingdom

First Independent Fund Services AG


Klausstrasse 33
8008 Zurich, Switzerland
The Funds Prospectus with its
Supplements, Key Investor Information
Documents, Articles of Incorporation,
Annual Report, Semi-Annual Report and the
list of all transactions carried out by the
Investment Adviser during the year are
available free of charge at the offices of the
local Paying and Information Agents and the
Swiss Representative.

Paying and Information Agent in


Austria
Raiffeisen Bank International AG
Am Stadtpark 9
1030 Vienna, Austria

____________________________________________________________________________________________________________
1 Independent Directors.
2
A related party to Goldman Sachs Funds II.
3 Effective 31 July 2014, the Fund will appoint Goldman Sachs Asset Management Global Services Limited (GSAMGS), a wholly owned
subsidiary of the Goldman Sachs Group Inc., as its management company.
4 Refer to Note 6 for non-affiliated Sub-Advisers.

Goldman Sachs Funds II


Investment Advisors Report

Dear Shareholders,
Enclosed is the report for the period ended 31 May 2014.
A. Market Review
Global growth was mixed during the six months ended 31 May 2014. Looking back, the U.S. Department of
Commerce reported that gross domestic product (GDP) growth during the third and fourth quarters of 2013
was 4.1% and 2.6%, respectively. The second reading for first quarter 2014 GDP in the U.S. was negative
1.0%, the first negative reading since the first quarter of 2011. This was partially attributed to severe winter
weather in parts of the country. Growth outside the U.S. largely improved in developed countries. In its April
2014 World Economic Outlook Update, the International Monetary Fund ("IMF") stated that "Global activity
has broadly strengthened and is expected to improve further in 201415, with much of the impetus coming
from advanced economies." From a regional perspective, the IMF anticipates 2014 growth will be 1.2% in the
Eurozone, versus negative 0.5% in 2013. Economic activity in Japan is expected to be relatively stable, with
growth of 1.4% in 2014. After decelerating in 2013, the IMF projects that overall growth in emerging market
countries will improve somewhat in 2014, with growth of 4.9% versus 4.7% in 2013.
While the global equity market was volatile at times, stock prices generally moved higher during the reporting
period. Supporting global equities were overall solid demand, encouraging earnings reports and continued
monetary policy accommodation. The U.S. stock market, as measured by the S&P 500 Index (the "Index"),
gained 7.62% during the six months ended 31 May 2014 and ended the period at a new all-time high.
International developed equities also produced solid results, as the MSCI EAFE Index gained 5.68%.
Elsewhere, emerging market equities declined sharply during the first two months of the period given
concerns about global growth, especially in China. However, investor demand started to improve in February
2014 and the MSCI Emerging Markets Index returned 2.03% during the reporting period as a whole. *
The global fixed income market also experienced periods of volatility. Expectations for improving global
growth initially caused yields in many countries to rise and their bond markets to decline (yields and bond
prices move in the opposite direction). In addition, in December 2013, the U.S. Federal Reserve Board
("Fed") announced that it would begin tapering its monthly asset purchase program. However, yields in the
U.S. fell from their peak at the end of 2013, as economic data largely weakened and geopolitical issues
triggered several "flights to quality." Given mixed global economic growth, inflation remained well contained
during the reporting period. For example, the price of gold moved from approximately $1,251 an ounce to
$1,249 an ounce during the period. For the six months ended 31 May 2014, the Barclays U.S. Aggregate
Bond Index and Barclays Global Aggregate Bond Index returned 3.28% and 3.17%, respectively. Riskier fixed
income securities generated even stronger 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 5.15% during the period,
whereas the emerging market debt asset class, as measured by the JPMorgan EMBI Global Diversified
Index, returned 8.83%.*

*All returns in U.S. Dollar terms.

Past performance does not guarantee future results, which may vary.

Goldman Sachs Funds II


Investment Advisors Report

B. Performance Overview1

Average Annualised Net Return

Currency

Launch 6-Months2
Date
(%)

1-Year
(%)

3-Years
(%)

5-Years
(%)

Since
Inception
(%)

Goldman Sachs Funds IIEquity Portfolios


GMS Emerging Markets Equity Portfolio (P Share Class)
MSCI EM Index

EUR
EUR

31-Jan-12
31-Jan-12

2.34
1.89

4.89
4.27

2.52
2.91

GMS Europe Equity Portfolio (P Share Class)


MSCI Europe Index EUR

EUR
EUR

18-Dec-09
18-Dec-09

6.04
7.71

15.31
16.98

9.60
9.90

10.34
10.80

GMS Global Equity Portfolio (P Share Class)


MSCI World IndexUSD

USD
USD

7-Mar-08
7-Mar-08

4.13
6.52

13.50
18.87

7.70
10.55

12.26
14.47

2.01
5.29

GMS Japan Equity Portfolio (P Share Class)


Topix

JPY
JPY

27-May-09
27-May-09

(4.05)
(3.49)

7.92
7.88

13.07
15.20

7.59
8.18

7.68
8.28

GMS US Equity Portfolio (P Share Class)


S&P 500 Index NetUSD

USD
USD

16-May-08
16-May-08

6.68
7.29

20.50
19.69

13.68
14.38

16.80
17.64

5.78
6.72

EUR
EUR

24-Mar-10
24-Mar-10

1.08
0.14

1.22
0.22

0.82
0.55

0.86
0.66

USD
USD

31-Oct-11
31-Oct-11

1.75
0.12

7.06
0.25

9.35
0.35

EUR
EUR

26-Mar-12
26-Mar-12

2.09
0.15

2.96
0.27

6.15
0.31

Goldman Sachs Funds IISpecialist Portfolios


Dynamic Alternative Strategies Portfolio (Base Share Class Weekly)
3 Months Euro LIBOR

Goldman Sachs Funds IIDedicated Portfolios


Tactical Tilt Portfolio ("P" Share Class)
3 Months USD LIBOR

Goldman Sachs Funds IIFixed Income Portfolios


Europe High Income Bond Portfolio (Base Share Class)
3 Months EURIBOR

Goldman Sachs Asset Management International3


10 June 2014
All index returns are shown with income re-invested and, in contrast to the Share Classes, without the deduction of any fees or
expenses. Returns of the Share Classes are shown net of fees and expenses and after the reinvestment of dividends using monthend NAVs. For Share Classes where performance is shown relative to the index, it is for comparative purposes only. Reference to
these benchmarks does not imply that the Share Classes will achieve returns, volatility or other results similar to the benchmark.

__________________________________________________________________________________________________________________
1

Past performance does not guarantee future results, which may vary. Returns are net of expenses and inclusive of
dividends, where applicable.

Cumulative Net Returns.

Any mention of an investment decision is intended only to illustrate our investment approach or strategy, and is not indicative of
the performance of our strategy as a whole. Any such illustration is not necessarily representative of other investment decisions.
Please see Additional Information section on page 59.

Goldman Sachs Funds II


Statement of Assets and Liabilities (Unaudited)
As at 31 May 2014

Equity Portfolios

GMS Global
Equity
Portfolio
USD

GMS Japan
Equity
Portfolio(a)
JPY

GMS US
Equity
Portfolio
USD

Dynamic
Alternative
Strategies
Portfolio(b)
EUR

Tactical
Tilt
Portfolio
USD

Europe
High Income Combined Total
Bond
Period Ended
Portfolio
31 May 2014
EUR
USD

3(c) 324,383,414

312,413,926

404,505,770

3,072,717

465,482,457

190,973,940

1,822,887,662

94,473,254 3,861,758,905

3,244,325

4,216
507,423
673,903

9,315

2,864,961

1,455,208
691,401
875,246

386,356
26,306

482,056
126,443

9,035,740
315,669
589,736

1,014,905

376,415
24

31,018

7,399
21,299
27,217

4,863

1,490,828

639,890
2,384,336
566,063

4,424

5,200,072

2,129,885

3,009

662

1,905,270
12,378,713
4,093,317
25,196,732
4,362,203
71,680,333
38,404,016
355,619

56,860
3,488,891

4,710

500,121

128
1,374,584

1,333
741

9,476,504
12,505,156
4,093,317
25,196,732
4,362,203
93,240,331
38,719,685
3,644,206
4,042,696
3,718,618
1,929,113
3,488,891
902,652
100,078
1,009

328,822,596

318,713,404

416,446,758

3,164,513

470,567,998

198,307,568

1,984,809,616

96,354,871

4,067,180,096

5,031

1,558

1,827,806

18,809,462

7,153
21,299,027

105,715
623,288

875,555

63,328
3,180
22,050
21,571
9,677
2,238
52,441
3,823
16,345
3,271

1,539,778
56,301

576,862

43,829
2,612
24,485
10,319
10,087
2,089
54,402
4,837
16,808
2,358

429,076

566,013

1,241,667

48,068
2,219
23,734
14,004
12,291
3,859
92,431
3,406
17,873
3,036

13,977

5,638

1,962
70
194
1,404
100
19
4,287
31
109
336

1,869,227
827,510

877,893

34,438
1,846
31,536
14,003
14,640
2,633
72,503
5,506
20,236
3,266

2,072,484

609,452
23,644

158,130
28,661
22,413
9,828
7,563
15,734
5,713
1,424
56,502
863
6,388
1,043

9,450,739
11,741,770
208,704

1,092,397

69,532
10,243
130,082
25,213
62,273
10,789
149,254
11,969
59,074
1,607

442,660

80,300
1,169,884
44,712

7,699

8,153
10,319
3,252
1,217
28,233
506
6,075
2,711

13,305,569
11,741,770
208,704
5,605,607
1,669,060
1,593,441
5,204,889
39,038
335,350
35,120
264,063
138,123
125,813
26,148
598,251
33,461
154,467
22,805

60,414
18,285

112
11,740

176,235
24,415

4,168
1,527

149,991
17,514

27,025

28,090

23,390

427,734
187,962

3(c)
3(c),12
3(c),12
3(c)
3(d)
3(e)

3(b)
3(b)
3(b)
5
6

3(e)
3(c)
3(c),12

6
6
6
6
5
6
6

Total Liabilities
Shareholders' Equity
Alternative Net Asset Value Calculation Method
Shareholders' Equity (after Alternative Net Asset
Value Calculation Method)

(a)
(b)

Fixed Income
Portfolio

GMS Europe
Equity
Portfolio
EUR

Total Assets
Liabilities
Bank overdraft
Due to Brokers
Unrealised loss on forward currency contracts and
share class specific forward currency contracts
Unrealised loss on futures
Market value of written options
Payable for investments purchased
Payable for shares redeemed
Distributions payable
Investment Advisor fee payable
Performance fees payable
Administration and Custody fees payable
Transfer Agent fee payable
Taxe d'abonnement payable
Audit fee payable
Shareholder Services fees payable
Directors fees payable
Legal fees payable
Insurance fees payable
Printing fees payable
Publishing fees payable
Payable for Withholding Tax on Dividend and
Interest Income
Other liabilities

Dedicated
Portfolio

GMS
Emerging
Market
Equity
Portfolio
USD

Notes

Assets
Investments, at value, excluding derivatives
Unrealised gain on forward currency contracts and
share class specific forward currency contracts
Unrealised gain on futures
Unrealised gain on swap contracts
Upfront payments paid on swap transactions
Market value of purchased options
Cash
Due from Brokers
Receivable for investments sold
Receivable for shares sold
Dividends receivable
Interest receivable excluding Swap Contracts
Interest receivable on Swap Contracts
Dividend tax reclaim receivable
Investment Advisor fees waived receivable
Other assets

Specialist
Portfolio

3(h)

1,886,212

2,358,177

2,658,327

33,822

3,942,742

4,874,673

41,861,198

1,829,111

63,023,555

326,936,384

316,355,227

413,788,431

3,130,691

466,625,256

193,432,895

1,942,948,418

94,525,760

4,004,156,541

326,936,384

316,355,227

413,788,431

3,130,691

466,625,256

193,432,895

1,942,948,418

94,525,760

4,004,156,541

Expressed in 000.
Statement of Asset and Liabilities as at 28 May 2014, the last tradable date of the period.
Please refer to Statistical information for Outstanding Shares and Net Asset Value Per Share as at 31 May 2014.

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

Goldman Sachs Funds II


Statement of Operations (Unaudited)
For the Period Ended 31 May 2014

Equity Portfolios

Notes

Income
Dividend Income
Interest Income excluding Swap Contracts
Interest Income on Swap Contracts
Net (amortisation)/ Net accretion

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

Dedicated
Portfolio

Tactical
Tilt
Portfolio
USD

Fixed Income
Portfolio
Europe
High Income Combined Total
Bond
Period Ended
Portfolio
31 May 2014
EUR
USD

579
103

3,482,839

5,298,512

6,268,111
193

30,509

2,562,434

14,432

20,298,529
175,379
5,087,614
(2,161,166)

1,497
1,970,493

(359,448)

40,204,100
2,880,328
5,087,614
(2,654,536)

682

3,482,839

5,298,512

6,268,304

30,509

2,562,434

14,432

23,400,356

1,612,542

45,517,506

1,287

69

1,246

10,057

(424)

25
1,772,002

197,174
17,653
66,814
13,150
51,320
2,761
46,337
2,297
7,935
4,723
33,263

2,892
1,419,495

135,768
12,937
71,713
5,933
53,233
2,056
38,912
2,787
7,330
3,423
24,185

2,240,184

154,925
12,115
90,267
8,440
75,647
4,143
66,616
2,048
9,147
4,949
26,540

12,212

6,262
767
685
918
453
11
3,420
19
204
488
3,166

1,999,472

99,663
15,099
102,477
8,440
74,372
2,883
53,265
3,308
10,433
4,717
31,748

1,577
981,429
188,284
79,712
13,790
19,459
9,085
35,053
1,577
33,423
495
2,454
4,512
29,920

3,004
5,739,770

198,549
41,342
359,769
15,415
325,423
15,105
102,933
7,190
32,620
6,444
55,899

269,109

23,821
2,642
23,987
5,933
19,572
588
26,887
292
342
3,056
21,950

9,163
15,535,187
258,434
1,041,043
133,990
784,132
83,142
680,463
30,793
448,705
19,934
76,020
40,672
282,251

12,235

2,215,454

1,780,664

2,695,021

28,605

2,405,877

1,400,770

6,903,463

398,179

19,423,929

9,579

9,315

26,306

62

12,433

4,424

792

1,333

183,489

Total expenses
Withholding tax on dividends and other investment
income

2,656

2,206,139

1,754,358

2,694,959

16,172

2,401,453

1,399,978

6,903,463

396,846

19,240,440

406,239

597,239

1,045,756

4,672

656,160

1,014,347

3,987,759

Net income/(expense) for the Period

(1,974)

870,461

2,946,915

2,527,589

9,665

(495,179)

(1,385,546)

15,482,546

1,215,696

22,289,307

Net realised gain/(loss) on investment securities


Net realised gain/(loss) on futures transactions
Net realised gain/(loss) on foreign currencies,
forward currency contracts and share class
specific forward currency contracts
Net realised gain/(loss) on swap contracts
Net realised gain/(loss) on options contracts

13,166
(1,567,188)

546,231

13,353,331

16,333,900
(158,233)

80,625

26,886,252

(1,013,340)

4,125,412
8,983,741

265,404

65,992,046
7,258,320

(147,110)

(1,157,927)

481,551

(1,178,770)

(33)

(1,334,466)

29,473,358
6,086,273
(12,338,269)

70,323

25,915,350
6,086,273
(12,338,269)

Net realised gain/(loss)

(1,701,132)

(611,696)

13,834,882

14,996,897

80,625

26,886,219

(2,347,806)

36,330,515

335,727

92,913,720

8,675,419

474,434

(1,029,959)

(165,697)

(945,859)

4,454,994

11,762,175

590,185

24,424,136

(819,755)

126,443

(609,847)

(1,303,159)

190,153

(131)

3,736

274,289

3,142,246

(22,458,841)

(112,578)

(17,830,950)

(864,202)

(864,202)

(562,342)

(562,342)

(629,602)

8,675,288

478,170

(629,227)

(165,697)

(945,859)

7,597,240

(12,733,057)

477,607

3,863,483

(2,332,708)

8,934,053

17,259,967

16,895,259

(75,407)

25,445,181

3,863,888

39,080,004

2,029,030

119,066,510

Expenses
Bank overdraft interest expense
Investment Advisor fee
Performance fees
Administration and Custody fees
Transfer Agent fees
Taxe d' abonnement
Audit fee
Shareholder Services fees
Directors fees
Legal fees
Insurance fees
Printing fees
Publishing fees
Other expenses
Less: Investment Advisor 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, forward currency contracts and share
class specific forward currency contracts
Net change in unrealised gain/(loss) on swap
contracts
Net change in unrealised gain/(loss) on options
contracts
Net change in unrealised gain/(loss)
Net investment income gain/(loss)
(a)
(b)
(c)

3(b)
3(b)
3(b)
3(b)

GMS Asia
GMS
(ex-Japan)
Emerging
Equity Market Equity
Portfolio(a)
Portfolio
USD
USD

Specialist
Portfolio

3(b)
6
6
6
6
5
6
6

Refer to Appendix II.


Expressed in 000.
Net investment income gain/loss is stated as at 28 May 2014, the last tradable date in the period.
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.

Goldman Sachs Funds II


Statement of Changes in Shareholders Equity (Unaudited)
For the Period Ended 31 May 2014

Equity Portfolios

Notes

Shareholders' equity at the start of the Period


Reinvestment from distributions
Proceeds from shares issued
Payment for shares redeemed
Net investment income gain/(loss) for the Period
Distributions
Currency adjustments

7
7

15

Shareholders' equity at 31 May 2014


Alternative Net Asset Value Calculation Method
Shareholders' Equity (after Alternative Net Asset
Value Calculation Method)

(a)
(b)
(c)

3(h)

GMS Asia
GMS
(ex-Japan)
Emerging
Equity Market Equity
Portfolio(a)
Portfolio
USD
USD

GMS Europe
Equity
Portfolio
EUR

Specialist
Portfolio

GMS Global
Equity
Portfolio
USD

68,753,778 272,095,456 229,405,643 438,009,736

39,251
92,199
128,922
2,426
92,129,573 88,873,482
38,140,159
(66,307,558) (45,846,923) (18,719,820) (78,708,880)
(2,332,708)
8,934,053 17,259,967
16,895,259
(115,938)
(415,026)
(556,244)
(676,765)

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 Combined Total
Bond
Period Ended
Portfolio
31 May 2014
EUR
USD

1,698,980 301,545,491 166,193,480 1,402,088,423 101,933,581 3,175,719,633


10
508

529,743

825,072
2,332,928 166,606,547
41,394,245 598,329,883
1,096,731,584
(825,701) (26,958,206) (18,018,718) (94,732,444) (8,266,967) (382,369,078)
(75,407) 25,445,181
3,863,888
39,080,004
2,029,030
119,066,510
(119)
(14,265)

(2,347,191) (1,169,884)
(5,939,587)

122,407

326,936,384

316,355,227

413,788,431

3,130,691

466,625,256

326,936,384

316,355,227

413,788,431

3,130,691

466,625,256

193,432,895 1,942,948,418

193,432,895 1,942,948,418

94,525,760 4,004,156,541

94,525,760 4,004,156,541

Refer to Appendix II.


Expressed in '000.
Statement of Assets and Liabilities as at 28 May 2014, the last tradable date of the period.

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

Goldman Sachs Funds II


Statistical Information (Unaudited)
As at 31 May 2014

Currency

Outstanding
Shares
as at
31-May-14

31-May-14

30-Nov-13

30-Nov-12

Max. public
offering
price per
share as at
31-May-14

38,171,999
18,915,740
8,039,205
3,626,833

35,563,776
20,170,423

10,480,499

39,758,023 45,529,311

160,374,934 142,817,275 107,351,590


50,828,284 51,952,531 43,382,377
35,600,809 17,948,563

29,893,836 13,847,776

10.53
10.18
10.59
10.49
11.16
11.04

Net Asset Value per Share


as at

Net Asset as at

31-May-14 30-Nov-13 30-Nov-12

Equity Portfolios
Global Manager Strategies Portfolios
GMS Asia (ex-Japan) Equity Portfolio(a)
P Accumulation Share Class(a)
P Share Class(a)
R Accumulation Share Class(a)
R Share Class(a)
GMS Emerging Market Equity Portfolio
I Accumulation Share Class(a)
IO Accumulation Share Class
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class
GMS Europe Equity Portfolio
I Accumulation Share Class(a)
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class
GMS Global Equity Portfolio
I Accumulation Share Class
IO Accumulation Share Class
P Accumulation Share Class
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class
GMS Japan Equity Portfolio
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class
GMS US Equity Portfolio
I Accumulation Share Class(a)
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class

USD
USD
USD
USD

9.42
9.21
10.53
10.53

8.76
8.63

USD
USD
USD
USD
USD
USD

995,763
3,903,782
15,139,932
4,847,054
3,365,680
2,858,197

10.53
10.18
10.59
10.49
10.58
10.46

9.92
10.36
10.30
10.31
10.31

9.77
9.77

EUR
EUR
EUR
EUR
EUR

1,630,020
11,486,132
3,363,782
3,162,237
2,310,895

11.08
15.50
14.89
12.91
12.72

14.62
14.17
12.13
12.14

12.06
11.84

18,053,218

178,018,785 151,317,125
50,077,855 49,162,677
40,808,703 20,259,982
29,396,665
8,665,855

117,095,773
53,722,453

11.08
15.50
14.89
13.62
13.42

USD
USD
EUR
USD
USD
USD
USD

1,198,000
3,877,563
3,190,422
13,031,164
8,021,360
287,437
1,997,304

13.30
12.45
19.42
11.33
11.04
12.84
12.68

12.75
11.91
18.68
10.88
10.66
12.29
12.28

10.31

15.88
8.84
8.71

15,937,279 15,270,584 12,349,304


48,278,802 46,190,093

61,953,752 60,316,661 48,482,246


147,578,363 180,881,679 161,226,213
88,584,663 89,502,783 63,001,129
3,690,960
7,176,474

25,334,204 16,960,460

13.30
12.45
19.42
11.33
11.04
13.55
13.38

JPY
JPY
JPY
JPY

93,771
32,642
77,793
6,097

14,492.88
14,271.34
15,575.00
15,452.78

15,103.22
14,872.52
16,174.38
16,175.54

9,188.07
9,109.58

1,359,012,071 1,140,885,008 817,428,436


465,846,600 408,398,886 673,216,113
1,211,627,318 134,513,409

94,204,972 15,182,848

14,492.88
14,271.34
16,431.63
16,302.97

USD
USD
USD
USD
USD

2,882,640
16,891,473
6,263,496
4,624,506
2,923,689

10.86
14.05
14.05
14.58
14.56

13.17
13.17
13.62
13.61

9.63
9.62

EUR
EUR

37,968
22,561

103.65
103.66

102.49
102.50

98.57
98.58

3,935,477
2,338,603

USD

67,614

104.33

102.37

CHF

5,839

101.49

100.56

USD

6,115

103.24

GBP
EUR

2,074
483,766

USD
EUR
GBP
USD
EUR
EUR
GBP
USD

179,974
55,406
383,523
72,989
58,499
93,058
211,288
156,071

31,292,196

237,367,212 170,026,191
87,993,325 83,688,877
67,411,947 32,451,949
42,560,574 15,378,472

118,145,958
84,375,955

10.86
14.05
14.05
15.38
15.36

3,723,291
2,214,562

3,702,354
773,876

109.35
109.36

7,054,361

5,300,836

104.33

96.88

592,591

543,234

659,356

107.07

102.11

97.82

631,308

614,854

833,441

108.92

104.19
104.68

102.95
103.43

98.70
99.23

216,093
50,640,507

264,990
34,975,571

228,483
21,874,516

109.92
104.68

104.81
104.70
105.24
104.61
105.31
105.34
105.82
102.67

103.52
103.45
103.88
103.36
103.83
103.85
104.25
101.27

98.94
99.25
99.35
98.85

18,862,938
5,801,129
40,362,488
7,635,044
6,160,500
9,802,535
22,359,298
16,024,372

19,323,949
6,544,752
42,637,701
14,447,095
4,138,632
8,796,769
14,297,286
10,215,242

16,812,556
5,276,153
45,325,781
15,669,190

104.81
104.70
105.24
104.61
111.10
111.13
111.64
108.32

Specialist Portfolios
Dynamic Alternative Strategies Portfolio(b)
Base Accumulation Share Class (Weekly)
Base Currency Share Class (Weekly)
IO Accumulation Share Class
(USD Hedged Class) (Weekly)
Other Currency Accumulation Share Class
(CHF Hedged Class) (Weekly)
Other Currency Accumulation Share Class
(USD Hedged Class) (Weekly)
Other Currency Share Class
(GBP Hedged Class) (Weekly)
P Accumulation Share Class (Weekly)
P Accumulation Share Class
(USD Hedged Class) (Weekly)
P Share Class (Weekly)
P Share Class (GBP Hedged Class) (Weekly)
P Share Class (USD Hedged Class) (Weekly)
R Share Class (Weekly)
R Accumulation Share Class (Weekly)
R Share Class (GBP Hedged Class) (Weekly)
R Share Class (USD Hedged Class) (Weekly)

Goldman Sachs Funds II


Statistical Information (Unaudited)
As at 31 May 2014 (Continued)

Currency

Outstanding
Shares
as at
31-May-14

Net Asset Value per Share


as at
31-May-14 30-Nov-13 30-Nov-12

30-Nov-12

Max. public
offering
price per
share as at
31-May-14

Net Asset as at
31-May-14

30-Nov-13

Dedicated Portfolio
Tactical Tilt Portfolio
I Accumulation Share Class
IO Accumulation Share Class
IO Accumulation Share Class (GBP Hedged Class)
P Accumulation Share Class (CHF Hedged Class)
P Accumulation Share Class (EUR Hedged Class)
P Accumulation Share Class (GBP Hedged Class)
P Accumulation Share Class
P Share Class
P Share Class (EUR Hedged Class)
P Share Class (GBP Hedged Class)
R Share Class
R Accumulation Share Class
R Share Class (EUR Hedged Class)
R Accumulation Share Class (EUR Hedged Class)
R Share Class (GBP Hedged Class)
R Accumulation Share Class (GBP Hedged Class)
R Accumulation Share Class (CHF Hedged Class)

USD
USD
GBP
CHF
EUR
GBP
USD
USD
EUR
GBP
USD
USD
EUR
EUR
GBP
GBP
CHF

416,997
331,704
44,392
69,761
2,367,485
231,812
6,689,004
827,889
275,581
774,665
76,140
915,059
39,146
336,286
241,415
33,039
1,000

127.83
132.55
125.48
126.53
124.70
126.15
126.03
124.33
122.85
124.43
114.22
114.57
111.15
111.39
111.64
111.96
111.15

125.60
129.75
122.74
124.57
122.55
123.89
123.87
123.26
121.74
123.27
112.34
112.33
109.25
109.19
109.65
109.69
109.15

111.03
113.84
107.48
110.63
108.77
109.37
109.57
109.54
108.73
109.35

53,305,193 32,083,786 11,102,527


43,967,891 41,655,195 35,770,041
5,570,114
7,364,548
6,448,943
8,826,555
4,922,871
7,188,184
295,225,485 188,279,162 121,665,221
29,242,972 42,811,040 35,709,210
843,035,861 600,650,572 181,462,393
102,932,618 69,652,216 53,686,670
33,855,700 25,496,322 16,381,871
96,389,747 97,757,455 79,044,371
8,696,925
4,869,310

104,840,805 61,915,140

4,350,978
2,365,983

37,460,142 15,470,378

26,951,815 13,842,166

3,699,167
4,013,625

111,146
109,155

127.83
132.55
125.48
126.53
124.70
126.15
126.03
124.33
122.85
124.43
120.50
120.87
117.26
117.52
117.78
118.12
117.26

EUR

877,153

107.76

106.86

105.03

94,525,760 101,933,581 123,561,892

113.69

Fixed Income Portfolios


Europe High Income Bond Portfolio
Base Currency (S-Dis) Share Class
(a)
(b)

Refer to Appendix II.


Stated as at 28 May 2014, the last tradable date in the period.

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014

Organisation

Goldman Sachs Funds II (the Fund) was incorporated on 20 November 2007 under the laws of the Grand
Duchy of Luxembourg as a Socit dInvestissement Capital Variable (SICAV), for an unlimited period of
time. The Fund is registered and qualifies as a self-managed company in accordance with Part I of the Law of
17 December 2010.
As at 31 May 2014, the Fund is comprised of eight different portfolios (the Portfolios).
As at 31 May 2014, 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 or liquidated during the period.
2

Investment Objective

The primary investment objective of each Equity Portfolio is long-term capital appreciation through investing in
any Permitted Investments.
The investment objective for the Specialist Portfolio is customised for each Specialist Portfolio: Dynamic
Alternative Strategies Portfolio seeks to achieve attractive long-term risk-adjusted returns primarily through
allocating assets to a broad range of alternative investment strategies which may include one or more of the
following four sectors either directly or through investments in Permitted Funds: tactical trading, equity long/
short, relative value and event driven.
The primary investment objective of the Dedicated Portfolio is to seek to achieve long-term capital appreciation
from a portfolio of Permitted Investments including Transferable Securities, financial derivative instruments and
Permitted Funds.
The primary objective of the Fixed Income Portfolio is a high level of total return consisting of income and capital
appreciation through investment in Permitted Investments.
3

Significant Accounting Policies

(a) Basis of Preparation of Financial Statements

The financial statements of the individual Portfolios are presented in their base currency while the Combined
Total of all the Portfolios are presented in United States Dollars. The Investment Adviser considers that the
Portfolios base currencies most accurately represent the economic effects of the underlying transactions,
events and conditions of the Portfolios. The financial statements have been prepared in accordance with the
Luxembourg law on Undertakings for Collective Investment. The preparation of financial statements requires the
Board to make estimates and assumptions that may affect the amounts reported in the financial statements and
accompanying notes. Refer to the liabilities section of the Statement of Assets and Liabilities and Note 4 for
instances where the Board was required to make certain estimates and assumptions to determine value. Actual
results may differ from those estimates.
( b ) I n v e s t m e n t Tr a n s a c t i o n s , R e l a t e d I n v e s t m e n t I n c o m e a n d O p e r a t i n g E x p e n s e s

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.

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Significant Accounting Policies (continued)

( c ) F i n a n c i a l I n v e s t m e n t i n S e c u r i t i e s a n d Va l u a t i o n

i. Recognition and Derecognition


The Portfolios recognise financial assets and financial liabilities on the date they become a party to the
contractual provisions of the investment. Purchases and sales of financial assets and financial liabilities are
recognised using trade date plus one accounting. From trade date plus one, any gains and losses arising from
changes in value of the financial assets or financial liabilities are recorded in the Statement of Operations.
Financial assets are derecognised when the rights to receive cash flows from the investments have expired or
the Portfolio has transferred substantially all risks and rewards of ownership.
ii. Value Measurement Principles
The value of all securities and derivatives is determined according to the following policies:
(ii.1) Exchange Listed Assets and Liabilities
The value of exchange traded financial investments, including transferable securities admitted to an official
exchange listing or dealt in on any other regulated market that operates regularly, which comprise Common
Stocks and Preferred Stocks, is based upon quoted market prices at the period end date without any deduction
for estimated future transaction costs.
(ii.2) Debt Securities
Debt securities, comprising Corporate Bonds and Non-Agencies Asset Backed Obligations, are valued on the
basis of dealer supplied quotations or by using a third party pricing service.
When a debt security has been identified as being in default, the interest accrual on the defaulted security is
stopped. On confirmation of default from relevant parties, the amount receivable may be written off.
(ii.3) Certificates of Deposit and Money Market Investments
Certificates of Deposit, comprising Time Deposits, and Money Market Investments are valued at amortised cost,
which approximates market value.
(ii.4) Shares in Collective Investment Schemes
The value of investments in open-ended investment funds, comprising Mutual Funds, is based upon the official
published net asset values per share.
(ii.5) Derivatives
A derivative is an instrument whose value is derived from an underlying instrument, index reference rate or a
combination of these factors. Derivative instruments may be privately negotiated contracts which are often
referred to as over the counter (OTC) derivatives or they may be listed and traded on an exchange. Derivative
contracts may involve future commitments to purchase or sell financial instruments or commodities at specified
terms on a specified date, or to exchange interest payment streams or currencies based on a notional or
contractual amount.
Derivative contracts are stated at market value and recognised as assets and liabilities in the Statement of
Assets and Liabilities. Gains and losses resulting from the change in the market value are reflected in the
Statement of Operations as a component of change in unrealised gain/(loss). Realised gains or losses are
recorded on termination or from periodic cash flow payments.

10

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Significant Accounting Policies (continued)

( c ) F i n a n c i a l I n v e s t m e n t i n S e c u r i t i e s a n d Va l u a t i o n ( c o n t i n u e d )

ii. Value Measurement Principles (continued)


(ii.5) (a) Option Contracts
The Portfolios may enter into exchange traded and OTC option contracts with various counterparties. When the
Portfolio purchases an option, an amount equal to market value which is based on the premium paid is recorded
as an asset, the value of which is marked-to-market daily. When the Portfolio writes an option, an amount equal
to market value which is based on the premium received by the Portfolio is recorded as a liability and is adjusted
to the market value of the option written on each valuation date.
When options are closed, the difference between the premium and the amount paid or received, net of
brokerage commissions, or the full amount of the premium if the option expires worthless, is treated as 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 Portfolios 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 is closed.
(ii.5) (c) Swap Contracts
Swaps, comprising Credit Default Swaps, can be linked to any number of underlying investments and indexes,
and swap terms can vary greatly. Cash flows are exchanged based on the underlying. Upfront payments, which
represent a risk premium, are amortised straight-line over the contract term. Swap agreements are carried at
market value and the value of the swap agreement is based on a counterparty provided third party pricing
service or valuation model. The model considers various inputs including the market value of the underlying, the
risks associated with the underlying and the specific terms of the contract.
(ii.5) (d) Forward Foreign Currency Contracts
In a forward foreign currency contract, the Portfolio agrees to receive or deliver a fixed quantity of one currency
for another, at a pre-determined price at a future date. Purchases and sales of forward foreign currency
contracts having the same notional value, settlement date and counterparty and right to settle net are generally
offset (which result in a net foreign currency position of zero with the counterparty) and any realised gains or
losses are recognised on trade date plus one.
The market value of forward foreign currency contracts is based on the price at which a new forward foreign
currency contract of the same notional value, currency and maturity could be effected at the close of business
in the principal currency markets in which these currencies are traded.

11

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Significant Accounting Policies (continued)

( c ) F i n a n c i a l I n v e s t m e n t i n S e c u r i t i e s a n d Va l u a t i o n ( c o n t i n u e d )

ii. Value Measurement Principles (continued)


(ii.6) All Securities and Derivatives
If a quoted market price is not available from a third party pricing service or a dealer, or a quotation is believed
to be materially inaccurate, the market value of the investment is determined by using valuation techniques.
Valuation techniques include the use of recent market transactions, reference to the current market value of
another investment that is substantially the same, discounted cash flow analyses or any other techniques that
provides a reliable estimate of prices obtained in actual market transactions.
Such securities and derivatives shall be valued at their probable realisation value as determined by a person
appointed by the Directors (the Competent Person). Such a Competent Person may be the Investment Advisor
itself, independent pricing agents or others, subject to applicable law. The Competent Person during the period
ended 31 May 2014 was Goldman Sachs Valuation Oversight Group (VOG).
The investments have been valued in accordance with generally accepted accounting principles that may
require the use of certain estimates and assumptions to determine value. Although these estimates and
assumptions are based on the best available information, actual results could be materially different from these
estimates.
Refer to note 4 for securities where the Competent Person was used to determine value.
(d) Cash

Cash is valued at cost, which approximates market value.


(e) Due from/Due to Brokers

Due from brokers consists primarily of cash receivable from the Funds clearing brokers and various
counterparties. Due to brokers consists primarily of cash payable to the Funds clearing brokers and various
counterparties.
Due from/to broker balances are valued at cost.
(f)

F o 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.

12

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Significant Accounting Policies (continued)

( h ) A l t e r n a t i v e N e t A s s e t Va l u e C a l c u l a t i o n M e t h o d 1

On any Business Day the Directors through their appointed delegate, Goldman Sachs Asset Management
International (GSAMI) as Investment Adviser, may determine to apply an alternative net asset value calculation
method (to include such reasonable factors as they see fit) to the net asset value per Share. This method of
valuation is intended to pass the estimated costs of underlying investment activity of the Portfolio to the active
Shareholders by adjusting the net asset value of the relevant Share and thus to protect the Portfolios long-term
Shareholders from costs associated with ongoing redemption and subscription activity.
This alternative net asset value calculation method may take account of any duties and charges incurred as a
result of trading and may include an estimate of market impact. In addition it may take into account trading
spreads on the Portfolios investments to the extent they are not already included in the investment valuation.
Where GSAMI, based on the prevailing market conditions and the level of subscriptions or redemptions
requested by Shareholders or potential Shareholders in relation to the size of the relevant Portfolio, have
determined for a particular Portfolio to apply an alternative net asset value calculation method, the Portfolio may
be valued either on a bid or offer basis.
Because the determination of whether to value the Portfolios net asset value on a bid or offer basis is based on
the net transaction activity of the relevant day, Shareholders transacting in the opposite direction of the Portfolios
net transaction activity may benefit at the expense of the other Shareholders in the Portfolio. In addition, the
Portfolios net asset value and short-term performance may experience greater volatility as a result of this
alternative net asset value calculation method.
The following Portfolios are able to apply an alternative net asset value calculation method:
GMS Emerging Markets Equity Portfolio

GMS Japan Equity Portfolio

GMS Europe Equity Portfolio

GMS US Equity Portfolio

GMS Global Equity Portfolio

Refer to the Statement of Assets and Liabilities for the Portfolios that applied the alternative net asset calculation
method as at 31 May 2014.
1

Referred to as swing pricing by the Association of the Luxembourg Fund Industry (ALFI).

C o m p e t e n t P e 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 31 May 2014

Portfolios

Currency

Number of
Assets
valued

Value

% of
Shareholders
equity

GMS Emerging Markets Equity Portfolio

USD

6,047,242

1.85%

GMS Global Equity Portfolio

USD

24,835

0.01%

13

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Ta x a t i o n

Taxation Luxembourg
The Fund is not liable for any Luxembourg tax on profits or income, nor are the dividends paid by a Portfolio
liable to any Luxembourg withholding tax subject to the application of the Luxembourg laws dated 21 June 2005
(the Laws) implementing Council Directive 2003/48/EC on taxation of savings income in the form of interest
payments (EU Savings Directive) and several agreements concluded between Luxembourg and certain
associated territories of the European Union (the Associated Territories). However, the Fund is as a rule liable
in Luxembourg to an annual subscription tax (taxe d'abonnement) of 0.05% per annum. The taxable basis of
the subscription tax is the aggregate net assets of the Fund as valued on the last day of each quarter.
This rate is however 0.01% per annum for:

undertakings whose exclusive object is the collective investment in Money Market Instruments and the
placing of deposits with credit institutions;

undertakings whose exclusive object is the collective investment in deposits with credit institutions; and

individual compartments of undertakings for collective investment (UCI) with multiple compartments
referred to in the law dated 17 December 2010, as well as for individual classes of securities issued within
a UCI or within a compartment of a UCI with multiple compartments, provided that the securities of such
compartments or classes are reserved to one or more institutional investors.

The following assets/entities are further exempt from the subscription tax:

the value of the assets represented by units held in other UCI, provided such units have already been
subject to the subscription tax in accordance with the law dated 17 December 2010 or 13 February 2007
on specialised investment funds;

UCI, as well as individual compartments of umbrella funds (i) whose securities are reserved for institutional
investors and (ii) whose exclusive object is the collective investment in Money Market Instruments and the
placing of deposits with credit institutions and (iii) whose weighted residual portfolio maturity must not
exceed 90 days and (iv) which have obtained the highest possible rating from a recognised rating agency.
Where several classes of securities exist within the UCI or the compartment, the exemption only applies to
classes whose securities are reserved for institutional investors; and

UCI whose securities are reserved for (i) institutions for occupational retirement provision, or similar
investment vehicles, created on the initiative of a same group for the benefit of its employees and (ii)
undertakings of this same group investing funds they hold, to provide retirement benefits to their
employees.

Taxation UK
As a general matter, the Fund makes an application in respect of distributing share classes to be included in the
reporting fund regime upon the launch of new Portfolios or share classes of the Fund. Reporting share classes
are not required to make distributions, but are required to provide HMRC with full details of reportable income
each year and publish those figures to those investors. Income will be reported to investors within six months
of the year end via the website mentioned below. Investors will be able to access the reportable income figure
at www.gs.com/gsam.
Taxation Belgium
The Fund may incur a liability to subscription tax at the rate of 0.08% in respect of subscriptions made through
intermediaries situated in Belgium to the extent that net shares are outstanding as of 31 December of the
previous year.

14

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Ta x a t i o n ( c o n t i n u e d )

Taxation General
Each Portfolio may be subject to taxation on capital gains, interest and dividends in certain jurisdictions in which
each Portfolio invests. It is the policy of each Portfolio to accrue for any such taxes on dividends and interest
when the dividend is declared or interest is earned. At each valuation date, taxation on realised and 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 and Related Parties


Investment Adviser and Sub-Investment Adviser

Goldman Sachs Asset Management International (GSAMI), an affiliate of Goldman, Sachs & Co. (Goldman
Sachs), acts as each Portfolios 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
Funds Board of Directors, manages the Funds Portfolios.
GSAMI may rely upon Goldman Sachs Asset Management L.P., the U.S. sub-adviser, in connection with the
selection of securities of U.S. issuers and issuers in many emerging market countries; upon the asset
management division of Goldman Sachs (Singapore) PTE and Goldman Sachs (Asia) LLC. - Hong Kong
Branch, the Asian subadvisers, in connection with the selection of securities of Asian issuers; upon Goldman
Sachs Asset Management Co., Ltd, the Japanese sub-adviser, in connection with the selection of securities of
Japanese issuers; upon Goldman Sachs Asset Management Australia Pty Ltd., in connection with the selection
of securities of Australasian issuers and upon Goldman Sachs Hedge Fund Strategies LLC, in connection with
selection of investments in Dynamic Alternative Strategies Portfolio. All these entities are affiliates of Goldman
Sachs.
GSAMI has entered into sub-advisory agreements with each of the following sub-advisers (the External
Managers):
Portfolios

Sub-Advisor1

GMS Emerging Markets Equity Portfolio

Fisher Asset Management LLC


Wells Capital Management, Inc.
Lazard Asset Management LLC

GMS Europe Equity Portfolio

Mandarine Gestion
Wellington Management International Ltd.
Blackrock Investment Management (UK) Limited

GMS Global Equity Portfolio

Baillie Gifford & Co.


Altrinsic Global Advisors LLC
Hexavest, Inc.

GMS Japan Equity Portfolio

Lazard Asset Management LLC


AllianceBernstein L.P.

GMS US Equity Portfolio

Diamond Hill Capital Management Inc.


Manning & Napier Advisors, Inc.
Westfield Capital Management LLC

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 Advisers fees may be
remitted to the sub-adviser.

15

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Significant Agreements and Related Parties (continued)


Investment Adviser and Sub-Investment Adviser (continued)

GSAMI has voluntarily agreed to limit total expenses in respect of certain Portfolios and certain Share Classes.
Therefore, to the extent that total ordinary expenses would exceed the expense cap, GSAMI has voluntarily
agreed to reduce its advisory fees accordingly for the period ended 31 May 2014. 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 31 May 2014 are detailed in Appendix I.
Directors Remuneration

Mr. Frank Ennis and Mr. Eugene Regan are independent Directors and have no executive function with the
Investment Adviser or its affiliated companies. The Fund pays each independent Director an annual fee for their
services as a Director of the Fund. Mr. Mark Heaney, Mr. Alan Shuch, Mr. Theodore Sotir and Mrs. Katherine
Uniacke are affiliated with the Investment Adviser and receive no compensation from the Fund.
Performance Fees

GSAMI is entitled to a monthly performance fee on the Dynamic Alternative Strategies Portfolio. The
performance fee accrues every Wednesday (or the following Business Day if it falls on a day that is not a
Business Day) and is payable monthly in arrears out of the assets attributable to the Portfolio. The performance
fee is equal to up to 10% of the amount by which the net asset value per Share exceeds the Benchmark Value
per Share, as defined within the Prospectus.
Fees Earned on Other Goldman Sachs Funds

To the extent permitted by applicable law and the terms of the Prospectus, any Portfolio may invest all or some
of its short term cash investments in any money market fund advised or managed by Goldman Sachs and may
invest in other investment funds advised or managed by Goldman Sachs (together Goldman Sachs Funds).
Subject to applicable law and the terms of the Prospectus, the Fund may be required to bear its proportionate
share of any fees (including investment advisory and management fees) applicable to its investment in such
investment funds.
The Portfolios may invest in Goldman Sachs US$ Liquid Reserves Fund, Goldman Sachs Euro Liquid Reserves
Fund and Goldman Sachs US$ Treasury Liquid Reserves Fund (the Liquid Reserves Funds), sub-funds of
Goldman Sachs Funds, plc. This is a collective investment scheme promoted by the Investment Adviser which
is authorised by the Financial Regulator in Ireland as an Undertaking for Collective Investments in Transferable
Securities under the European Communities (Undertaking for Collective Investments in Transferable Securities)
Regulations 2011.
Tactical Tilt Portfolio invests in Goldman Sachs High Yield Portfolio, a sub-fund of Goldman Sachs Funds,
SICAV.
The Portfolios were invested in the non-Investment Advisory fee bearing share classes of the Goldman Sachs
Funds. For the period ended 31 May 2014, there were no Investment Advisory fees earned on each Portfolios
investment in the Goldman Sachs Funds.

16

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Significant Agreements and Related Parties (continued)


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 period ended 31 May 2014, the following transactions were entered into with Goldman Sachs Affiliates.
Security Transactions
Brokerage Commissions

Security Transactions
Portfolios

Aggregate
Value*

Currency

Percent

Aggregate
Value

Percent

Equity Portfolios
Global Manager Strategies Portfolios
GMS Emerging Markets Equity Portfolio

USD

5,143,972

4.56%

6,088

5.02%

GMS Europe Equity Portfolio

EUR

29,973,315

7.79%

26,036

6.14%

GMS Global Equity Portfolio

USD

6,083,703

2.54%

8,174

3.81%

GMS Japan Equity Portfolio

JPY

29,038,632

0.86%

22,372

1.41%

GMS US Equity Portfolio

USD

24,776,134

6.02%

10,909

5.83%

Total (in USD)

77,114,315

58,109

* Represents the cost of securities (excludes futures transactions and investments in the Liquid Reserves Funds) for transactions
entered into with Goldman Sachs Affiliates.

For all the remaining Portfolios, there were no transactions with Goldman Sachs Affiliates, for the period ended
31 May 2014.
All such transactions with Goldman Sachs Affiliates were entered into in the ordinary course of business and on
normal commercial terms.
Administrator, Custodian, Domiciliary Agent and Listing Agent

The Fund has appointed State Street Bank Luxembourg S.A. as Administrator, Custodian, Domiciliary Agent and
Listing Agent.
For its services as Administrator, Domiciliary Agent and Listing Agent, State Street Bank Luxembourg S.A.
receives a fee payable monthly and calculated on the Monthly Average Net Assets of each Portfolio.
For its services as Custodian, State Street Bank Luxembourg S.A. charges a fee which is a combination of basis
point charges on assets and transactions dependent on the country of such transaction.
For its financial reporting services, State Street Bank Luxembourg S.A. receives a fixed fee per annum per
Portfolio payable monthly in arrears.
31-May-2014
USD

Expenses during the period


Financial Reporting Services fees

35,783

Administration, Custodian, Domiciliary and Listing Agent fees

1,005,260

Total

1,041,043

17

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Significant Agreements and Related Parties (continued)


Distributor

GSI, an affiliate to the Investment Adviser, serves as the Distributor of shares of each Portfolio pursuant to a
Distribution Agreement. GSI may receive a portion of the sales charge imposed on the sale of Portfolio shares.
Please see the table below which details the value of retained sales charges per Portfolio.

Portfolios

Currency

Sales Charge

Equity Portfolios
Global Manager Strategies Portfolios
GMS Emerging Markets Equity Portfolio

USD

9,117

GMS Europe Equity Portfolio

EUR

19,160

GMS Global Equity Portfolio

USD

1,125

GMS US Equity Portfolio

USD

17,055

USD

287,914

Dedicated Portfolios
Tactical Tilt Portfolio
Total (in USD)

341,509

For the period ended 31 May 2014, 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 Agents 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 period ended 31 May 2014, the Transfer Agent fees charged to the Fund were USD 133,990.

18

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Significant Agreements and Related Parties (continued)


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 period ended 31 May 2014, the Shareholder Services fees charged to the Fund were USD 680,463.
Competent Person

The Directors have appointed Goldman Sachs VOG to act as the Competent Person during the period ended
31 May 2014.
7

Share Capital

The following tables summarise the activity in the Funds Shares:

Currency

Balance at
30-Nov-2013

Subscriptions

Redemptions

Balance at
31-May-2014

USD
USD
USD
USD

4,053,037
2,054,678
763,542
344,534

4,053,037
2,054,678
763,542
344,534

7,215,791

7,215,791

4,590,000
13,790,295
5,043,075
1,741,498
1,343,472

995,763

4,294,997
538,398
1,806,227
1,654,269

686,218
2,945,360
734,419
182,045
139,544

995,763
3,903,782
15,139,932
4,847,054
3,365,680
2,858,197

26,508,340

9,289,654

4,687,586

31,110,408

10,353,200
3,470,354
1,670,394
713,942

1,630,020
1,771,786
328,953
1,673,750
1,665,782

638,854
435,525
181,907
68,829

1,630,020
11,486,132
3,363,782
3,162,237
2,310,895

16,207,890

7,070,291

1,325,115

21,953,066

1,198,000
3,877,563
3,228,963
16,629,962
8,392,511
584,145
1,381,472

311,682
1,603,381
222,643
229,217
627,000

350,223
5,202,179
593,794
525,925
11,168

1,198,000
3,877,563
3,190,422
13,031,164
8,021,360
287,437
1,997,304

35,292,616

2,993,923

6,683,289

31,603,250

75,539
27,460
8,316
939

21,881
62,402
69,477
5,158

3,649
57,220

93,771
32,642
77,793
6,097

112,254

158,918

60,869

210,303

12,908,338
6,355,521
2,383,379
1,129,955

2,984,360
4,945,804
514,558
2,528,623
1,832,991

101,720
962,669
606,583
287,496
39,257

2,882,640
16,891,473
6,263,496
4,624,506
2,923,689

22,777,193

12,806,336

1,997,725

33,585,804

Equity Portfolios
Global Manager Strategies Portfolios
GMS Asia (ex-Japan) Equity Portfolio*
P Accumulation Share Class*
P Share Class*
R Accumulation Share Class*
R Share Class*
GMS Asia (ex-Japan) Equity Portfolio Total

GMS Emerging Market Equity Portfolio


I Accumulation Share Class*
IO Accumulation Share Class
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class

USD
USD
USD
USD
USD
USD

GMS Emerging Market Equity Portfolio Total

GMS Europe Equity Portfolio


I Accumulation Share Class*
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class

EUR
EUR
EUR
EUR
EUR

GMS Europe Equity Portfolio Total

GMS Global Equity Portfolio


I Accumulation Share Class
IO Accumulation Share Class
P Accumulation Share Class
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class

USD
USD
EUR
USD
USD
USD
USD

GMS Global Equity Portfolio Total

GMS Japan Equity Portfolio


P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class

JPY
JPY
JPY
JPY

GMS Japan Equity Portfolio Total

GMS US Equity Portfolio


I Accumulation Share Class*
P Accumulation Share Class
P Share Class
R Accumulation Share Class
R Share Class

USD
USD
USD
USD
USD

GMS US Equity Portfolio Total

19

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Share Capital (continued)

Balance at
30-Nov-2013

Subscriptions

Redemptions

EUR
EUR

36,327
21,606

2,864
955

1,223

37,968
22,561

USD

51,780

17,912

2,078

67,614

CHF

5,402

437

5,839

USD

6,023

1,092

1,000

6,115

GBP
EUR

2,574
338,156

153,620

500
8,010

2,074
483,766

USD
EUR
GBP
USD
EUR
EUR
GBP
USD

186,673
63,263
410,470
139,772
39,861
84,704
137,143
100,875

20,286
6,500
21,010

18,638
12,482
79,257
67,791

26,985
14,357
47,957
66,783

4,128
5,112
12,595

179,974
55,406
383,523
72,989
58,499
93,058
211,288
156,071

1,624,629

402,844

190,728

1,836,745

255,450
321,042
60,000
39,520
1,536,370
345,566
4,848,941
565,063
209,425
793,013
43,346
551,188
21,656
141,677
126,240
36,592
1,000

166,647
20,613

31,141
878,441
90,546
2,002,040
277,418
68,476
13,111
36,045
393,378
17,490
211,473
129,031
6,194

5,100
9,951
15,608
900
47,326
204,300
161,977
14,592
2,320
31,459
3,251
29,507

16,864
13,856
9,747

416,997
331,704
44,392
69,761
2,367,485
231,812
6,689,004
827,889
275,581
774,665
76,140
915,059
39,146
336,286
241,415
33,039
1,000

9,896,089

4,342,044

566,758

13,671,375

953,930

76,777

877,153

953,930

76,777

877,153

Currency

Balance at
31-May-2014

Specialist Portfolios
Dynamic Alternative Strategies Portfolio
Base Accumulation Share Class (Weekly)
Base Currency Share Class (Weekly)
IO Accumulation Share Class
(USD Hedged Class) (Weekly)
Other Currency Accumulation Share Class
(CHF Hedged Class) (Weekly)
Other Currency Accumulation Share Class
(USD Hedged Class) (Weekly)
Other Currency Share Class
(GBP Hedged Class) (Weekly)
P Accumulation Share Class (Weekly)
P Accumulation Share Class
(USD Hedged Class) (Weekly)
P Share Class (Weekly)
P Share Class (GBP Hedged Class) (Weekly)
P Share Class (USD Hedged Class) (Weekly)
R Share Class (Weekly)
R Accumulation Share Class (Weekly)
R Share Class (GBP Hedged Class) (Weekly)
R 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)
R Share Class
R Accumulation Share Class
R Share Class (EUR Hedged Class)
R Accumulation Share Class (EUR Hedged Class)
R Share Class (GBP Hedged Class)
R Accumulation Share Class (GBP Hedged Class)
R Accumulation Share Class (CHF Hedged Class)

USD
USD
GBP
CHF
EUR
GBP
USD
USD
EUR
GBP
USD
USD
EUR
EUR
GBP
GBP
CHF

Tactical Tilt Portfolio Total

Fixed Income Portfolios


Europe High Income Bond Portfolio
Base Currency (S-Dis) Share Class

EUR

Europe High Income Bond Portfolio Total

* Refer to Appendix II.

20

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

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 Portfolios 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.
Generally no distributions will be paid in respect of the Accumulation Share Class.
9

Financial Investments and Associated Risks

The Funds 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 Funds 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 Funds 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 Funds Investment Adviser.
The risk management policies employed by the Investment Adviser are detailed below:
(a) Market Risk

The potential for changes in the market value of the Funds 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 Funds market risk strategy is driven by the Funds underlying Portfolios investment risk and return
objectives.
The Investment Adviser and Sub-Advisers manage market risk through the application of risk budgeting
principles.

21

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Financial Investments and Associated Risks (continued)

(a) Market Risk (continued)

(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 Portfolios assets or liabilities denominated in currencies other than the base currency.
When an investor invests into a Share Class which is in a different currency to the base currency of the Portfolio
in which it invests, the currency risk of the investor will be different to the currency risk of the Portfolio.
(ii) Interest Rate Risk
The Fund may invest in fixed income securities and interest rate swaps contracts. Any change to relevant
interest rates for particular securities may result in the Investment Adviser being unable to secure similar returns
upon the expiry of contracts or the sale of securities. In addition, changes to prevailing interest rates or changes
in expectations of future rates may result in an increase or decrease in the value of the securities held. In
general, if interest rates rise, the value of fixed income securities will decline. A decline in interest rates will in
general, have the opposite effect. All fixed income securities and floating rate securities, together with their
coupon and maturity date are disclosed in the Schedule of Investments. The Fund may invest in instruments in
desired currencies at fixed, floating and zero rates of interest.
(iii) Other Price Risk
Other price risk is the risk that the value of a financial investment will fluctuate as a result of changes in market
prices, other than those arising from currency risk whether caused by factors specific to an individual
investment, its issuer or any factor affecting financial investments traded in the market. The Funds financial
investments are carried at Market Value with market value changes recognised in the Statement of Operations,
all changes in market conditions will directly affect Shareholders equity.
The Funds investments in mutual funds are based upon the net asset value as supplied by the mutual 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 Funds
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 Funds 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.

22

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Financial Investments and Associated Risks (continued)

(b) Liquidity Risk (continued)

The Funds 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.
The Funds Prospectus provides for the daily/weekly/bi-monthly subscription of shares and the daily/weekly/bimonthly redemption of shares. The Fund is therefore exposed to the liquidity risk of meeting shareholder
redemptions.
Please refer to Appendix III for details of Shareholders with holdings greater than 10% of the Portfolios net
assets as at 31 May 2014.
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 Funds financing arrangements, can result in adverse effects to the Funds 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 Funds
equity.
A decline in the market value of the Funds 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 Funds best interest to do so.

23

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Financial Investments and Associated Risks (continued)

(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 issuers or a guarantors inability to meet principal and interest
payments on its obligations and are subject to price volatility due to factors such as interest rate sensitivity,
market perception of the creditworthiness of the issuer, and general market liquidity.
The Fund is subject to a number of risks relating to the insolvency, administration, liquidation or other formal
protection from creditors (Insolvency) of the Custodian or any Sub-Custodian. These risks include without
limitation:
1.

The loss of all cash held with the Custodian or Sub-Custodian which is not being treated as client money
both at the level of the Custodian and any Sub-Custodians (client money).

2.

The loss of all cash which the Custodian or Sub-Custodian has failed to treat as client money in accordance
with procedures (if any) agreed with the Fund.

3.

The loss of some or all of any securities held on trust which have not been properly segregated and so
identified both at the level of the Custodian and any sub-custodians (trust assets) or client money held by
or with the Custodian or Sub-Custodian.

4.

The loss of some or all assets due to the incorrect operation of accounts by the Custodian or Sub-Custodian
or due to the process of identifying and transferring the relevant Trust Assets and/or client money including
any deduction to meet the administrative costs of an insolvency.

5.

Losses caused by prolonged delays in receiving transfers of balances and regaining control over the
relevant assets.

An insolvency could cause severe disruption to the Funds investment activity. In some circumstances, this could
cause the Directors to temporarily suspend the calculation of the Net Asset Value and dealings in Shares.

24

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Financial Investments and Associated Risks (continued)

(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 Funds 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 Net Asset Value may not reflect the tax liabilities
ultimately borne by the Fund, including at the time of any subscriptions, redemptions or exchanges of interests
in the Fund, which could have an adverse impact on investors at that time.
(iv) Non-Developed Markets Risk
The Fund may invest a portion of its capital in securities of companies based in non-developed or emerging
markets or issued by governments of such countries. Investing in the securities of such companies and countries
involves certain considerations not usually associated with investing in securities of developed market
companies or countries, including, without limitation, less liquidity, greater price and foreign currency volatility,
and greater legal, tax and regulatory risks.
(v) Small Capitalisation Companies Risk
The Fund may invest a portion of its capital in securities of companies with smaller capitalisation. Smaller
capitalisation companies are generally not as well known to the investing public and have less investor following
than larger capitalisation companies. Investing in the securities of such companies may involve certain
considerations, including, without limitation, less liquidity, greater price volatility, and risks associated with limited
operating histories and/or the availability of information pertaining to the Fund and its operations.

25

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

Financial Investments and Associated Risks (continued)

(d) Additional Risks (continued)

(vi) Investment Manager Selection Risk


The investment decisions in respect of each GMS Portfolio will be made by its External Managers. The
Investment Adviser in a GMS Portfolio will not make decisions with respect to the purchase, management,
disposition, or other realization of the GMS Portfolios investments. It is not intended that the External Managers
will be selected from the Goldman Sachs group or any of its affiliates. Consequently, the Investment Adviser has
no control, directly or indirectly, over the business affairs or market conduct of the External Managers. In
selecting the External Managers, the Investment Adviser has undertaken reasonable investigative and due
diligence procedures but is nevertheless reliant on information supplied to it by each of the External Managers
as well as information in relation to the External Managers obtained from independent sources and from the
public domain.
Additional details of risks not disclosed in these Financial Statements can be found in the Prospectus.
10

Statement of Changes in each Portfolio

A Statement of Changes in each Portfolio is available, free of charge, upon request from the registered office.

26

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

11

Exchange Rates

The following exchange rates (against USD) as at 3:00 pm Central European Time were used to convert the
investments and other assets and liabilities denominated in currencies other than USD:
Currency

31-May-2014

Brazilian Real

2.244000

British Pound Sterling

0.597193

Canadian Dollar

1.084800

Chilean Peso

551.150000

Danish Krone

5.479650

Egyptian Pound

7.150350

Euro

0.734187

Hong Kong Dollar

7.752750

Hungarian Forint

222.341350

Indian Rupee

59.090000

Indonesian Rupiah

11,675.000000

Israeli Shekel

3.471500

Japanese Yen

101.805000

Malaysian Ringgit

3.213000

Mexican Peso

12.863150

Norwegian Kroner

5.983500

Philippines Peso

43.755000

Singapore Dollar

1.254100

South African Rand

10.548250

South Korean Won

1,020.200000

Swedish Krona

6.670650

Swiss Franc

0.896400

Taiwan Dollar

29.985500

Thailand Baht

32.830000

Turkish lira

2.095500

The following exchange rates (against EUR) as at 3:00 pm Central European Time were used to convert the
investments and other assets and liabilities denominated in currencies other than EUR:
Currency

31-May-2014

British Pound Sterling

0.813407

Danish Krona

7.463562

Swedish Krona

9.085764

Swiss Franc

1.220942

U.S. Dollars

1.362051

27

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

11

Exchange Rates (continued)

The following average exchange rates (against USD) were used to calculate the Combined Total, in
theStatement of Operations and in the Statement of Changes in Shareholders Equity, for the period ended
31 May 2014:
Currency

31-May-2014

Euro

0.728557

Japanese Yen

12

102.679297

Cash Collateral Information

The table below provides the cash collateral balances due from / (due to) the brokers in relation to the following
investments held as at 31 May 2014:

Portfolios

GMS Global Equity Portfolio

Dynamic Alternative Strategies Portfolio

Tactical Tilt Portfolio

13

Currency

USD

USD

USD

Due from /
(due to) brokers

Investment
type

Cash collateral
balances

Due From

Future Contracts

315,669

Due To

Future Contracts

Due From

FX Contracts

Due To

FX Contracts

Due From

Future Contracts

31,754,016

Due To

Future Contracts

1,827,806

Due From

Swap Contracts

6,650,000

Due To

Swap Contracts

18,809,462

Commissions for Research and/or Execution

Certain Portfolios pay commission for execution only and/or execution and investment research. The Fund did
not otherwise enter into any third party commission arrangements for the period ended 31 May 2014.
14

Prospectus

The latest Prospectus on the Fund was updated in February 2014.


15

Currency Adjustment

The opening value of the Fund has been restated at the exchange rate ruling at 31 May 2014. The resulting gain
of USD 122,407 represents the movement in exchange rates between 1 December 2013 and 31 May 2014. This
is a notional gain, which has no impact on the Net Asset Value of the individual Portfolios.
16

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.
17

Contingent Liabilities

There were no contingent liabilities as at 31 May 2014.

28

Goldman Sachs Funds II


Notes to the Financial Statements (Unaudited)
For the Period Ended 31 May 2014 (Continued)

18

Subsequent Events

Effective 31 July 2014, the Fund will appoint Goldman Sachs Asset Management Global Services Limited
(GSAMGS), a wholly owned subsidiary of the Goldman Sachs Group Inc., as its management company.
The Management Company is authorised by the Financial Conduct Authority (FCA) to act as management
company in accordance with The Financial Services and Markets Act 2000, as amended. This appointment
will involve GSAMGS taking responsibility to the Fund for a number of key functions, including portfolio
management, risk management, administration, registrar and distribution functions. GSAMGS may in-turn
delegate some of these functions to other service providers. As a result, the Funds existing service providers,
including the Investment Adviser, will continue to provide services to the Fund.
19

Indemnifications

The Fund may enter into contracts that contain a variety of indemnifications. The Funds maximum exposure
under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these
contracts.
20

Approval of Financial Statements

The Board of Directors approved the unaudited Semi-Annual Financial Statements on 16 July 2014.

29

Goldman Sachs Funds IIGMS Emerging Markets Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

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 96.75%

China (continued)
376,400 China Pacific Insurance Group Co., Ltd. "H"
(Insurance)
213,000 China Shenhua Energy Co., Ltd. "H" (Coal)
893,500 CITIC Securities Co., Ltd. "H"
(Diversified Financial Services)
1,963,000 CNOOC Ltd. (Oil & Gas)
19,453 Ctrip.com International Ltd.ADR(a) (Internet)
150,000 First Tractor Co., Ltd. "H"
(MachineryDiversified)
231,000 Hengan International Group Co., Ltd.
(Healthcare Products)
2,184,000 Industrial & Commercial Bank of China Ltd. "H"
(Banks)
3,068,000 Lenovo Group Ltd. (Computers)
480,000 Li Ning Co., Ltd. (Retail)
26,500 NetEase, Inc.ADR(a) (Internet)
43,468 New Oriental Education &
Technology Group, Inc.ADR(a)
(Commercial Services)
620,000 PetroChina Co., Ltd. "H" (Oil & Gas)
271,500 Ping An Insurance Group Co. of China Ltd. "H"
(Insurance)
300,000 Shandong Weigao Group Medical Polymer
Co., Ltd. "H" (Healthcare Products)
500,000 Sichuan Expressway Co., Ltd. "H"
(Commercial Services)
35,390 SINA Corp. (Internet)
600,000 Sun Art Retail Group Ltd. (Retail)
298,500 Tencent Holdings Ltd. (Internet)
500,000 Tingyi Cayman Islands Holding Corp.
(Food, Beverages & Tobacco)
160,000 Tsingtao Brewery Co., Ltd. "H"
(Food, Beverages & Tobacco)
185,400 Weichai Power Co., Ltd. "H"
(Auto Parts & Equipment)

Argentina
4,500
43,700

Brazil
283,000

576,375
47,000
167,650
390,200
190,000
220,000
22,000
256,600
87,009
319,320
105,600
28,250
69,475
49,900
340,019
30,000
33,000
57,700
54,000
45,000
50,000
117,700
56,625
115,000
22,000
86,600

MercadoLibre, Inc. (Internet)


YPF S.A.ADR(a) (Oil & Gas)

ALL America Latina Logistica S.A.


(Transportation)
Ambev S.A.ADR(a)
(Food, Beverages & Tobacco)
B2W Cia Digital (Internet)
Banco Bradesco S.A.ADR(a) (Banks)
Banco do Brasil S.A. (Banks)
BB Seguridade Participacoes S.A.
(Insurance)
BM&FBovespa S.A.
(Diversified Financial Services)
BRF S.A.ADR(a)
(Food, Beverages & Tobacco)
CCR S.A. (Commercial Services)
CETIP S.A. Mercados Organizados
(Diversified Financial Services)
Cielo S.A. (Commercial Services)
Companhia Energetica de
Minas GeraisADR(a) (Electric)
Embraer S.A.ADR(a)
(Aerospace & Defence)
Gerdau S.A.ADR(a) (Iron/Steel)
Localiza Rent a Car S.A.
(Commercial Services)
Lojas Americanas S.A.Preferred (Retail)
Lojas Renner S.A. (Retail)
Multiplan Empreendimentos Imobiliarios S.A.
(Construction & Engineering)
Natura Cosmeticos S.A.
(Cosmetics/Personal Care)
Petroleo Brasileiro S.A.ADR(a)
(Oil & Gas)
Petroleo Brasileiro S.A.Sponsored ADR(a)
(Oil & Gas)
Raia Drogasil S.A. (Retail)
Souza Cruz S.A.
(Food, Beverages & Tobacco)
Ultrapar Participacoes S.A. (Chemicals)
Vale S.A.ADR(a) (Iron/Steel)
Vale S.A.Preferred ADR(a) (Iron/Steel)
Via Varejo S.A. (Retail)

Cayman Islands
5,271 Weibo Corp.ADR(a) (Internet)
Chile
30,000
15,000

75,000

China
13,500
24,000
6,363,000
723,500

ChileADR(a)

Banco Santander
(Banks)
Inversiones La Construccion S.A.
(Holding CompaniesDiversified)
SACI Falabella (Retail)

51job, Inc.ADR(a) (Commercial Services)


Baidu, Inc.ADR(a) (Internet)
China Construction Bank Corp. "H" (Banks)
China Life Insurance Co., Ltd. "H"
(Insurance)

388,575
1,300,075

0.12
0.40

1,688,650

0.52

1,027,830

0.31

4,132,609
588,757
2,370,571
4,008,070

1.26
0.18
0.73
1.23

2,395,321

0.73

1,120,588

0.34

476,960
2,006,832

0.15
0.61

1,122,897
5,756,013

0.34
1.76

748,704

0.23

1,022,650
419,629

0.31
0.13

804,537
2,054,659
916,979

0.25
0.63
0.28

714,706

0.22

1,027,235

0.31

771,660

0.24

686,250
429,144

0.21
0.13

1,237,843
1,357,587
1,462,225
253,660
929,676

0.38
0.42
0.45
0.08
0.28

39,843,592

12.19

99,358

0.03

761,700

0.23

185,068
694,003

0.06
0.21

1,640,771

0.50

851,175
3,985,680
4,680,631

0.26
1.22
1.43

1,992,670

0.61

Colombia
14,300
24,500
167,400

Cyprus
20,821

Egypt
205,777

% of
Shareholders
Equity

1,261,128
585,289

0.38
0.18

1,931,177
3,392,560
1,068,553

0.59
1.04
0.33

90,671

0.03

2,452,694

0.75

1,432,465
3,813,955
338,458
1,874,345

0.44
1.17
0.10
0.57

1,137,558
743,424

0.35
0.23

2,105,212

0.64

291,767

0.09

155,548
1,621,924
705,206
4,196,769

0.05
0.50
0.21
1.28

1,425,563

0.44

1,260,102

0.38

693,724

0.21

44,088,248

13.48

793,936
895,720
3,185,044

0.24
0.27
0.98

4,874,700

1.49

Eurasia Drilling Co., Ltd.GDR(a)


(Oil & Gas Services)

620,466

0.19

Commercial International Bank


Egypt SAEGDR(a) (Banks)

988,141

0.30

1,514,080
1,352,108

0.46
0.42

1,831,278
4,159,383

0.56
1.27

Bancolombia S.A.ADR(a) (Banks)


Ecopetrol S.A.ADR(a) (Oil & Gas)
Pacific Rubiales Energy Corp. (Oil & Gas)

Hong Kong
302,000 AIA Group Ltd. (Insurance)
1,360,000 Belle International Holdings Ltd. (Retail)
1,104,000 Brilliance China Automotive Holdings Ltd.
(Automobile Manufacturers)
424,000 China Mobile Ltd. (Telecommunications)
48,000 China Mobile Ltd.ADR(a)
(Telecommunications)
460,000 Johnson Electric Holdings Ltd.
(Electrical Components & Equipment)
74,000 Shangri-La Asia Ltd. (Lodging)

Hungary
76,542

Market Value
USD

OTP Bank Plc. (Banks)

2,357,760

0.72

400,282
116,038

0.12
0.04

11,730,929

3.59

1,655,864

0.51

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

30

Goldman Sachs Funds IIGMS Emerging Markets Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

Holdings

101,025
28,000
70,126
71,800

Indonesia
2,342,600
490,000
4,731,100
2,199,700

143,000
520,700
5,641,800
83,200
576,300

Axis Bank Ltd.GDR(a) (Banks)


Cipla Ltd.GDR(a)(b) (Pharmaceuticals)
Dr Reddy's Laboratories Ltd.ADR(a)
(Pharmaceuticals)
HDFC Bank Ltd.ADR(a) (Banks)
ICICI Bank Ltd.ADR(a) (Banks)
Infosys Ltd.ADR(a) (Computers)
Tata Motors Ltd.ADR(a)
(Automobile Manufacturers)

1,549,313
1,513,242

Malaysia
43,500

0.47
0.46

2,572,680
4,545,115
1,397,480
3,589,750

0.79
1.39
0.43
1.10

2,691,782

0.82

17,859,362

5.46

647,700
656,300
400,000
271,800
130,000

Mexico
81,000

Astra International Tbk PT (Retail)


Bank Central Asia Tbk PT (Banks)
Bank Mandiri Persero Tbk PT (Banks)
Bank Rakyat Indonesia Persero Tbk PT
(Banks)
Matahari Department Store Tbk PT (Retail)
Semen Indonesia Persero Tbk PT
(Building Materials)
Telekomunikasi Indonesia Persero Tbk PT
(Telecommunications)
Telekomunikasi Indonesia Persero
Tbk PTADR(a) (Telecommunications)
United Tractors Tbk PT
(MachineryConstruction & Mining)

1,420,518
452,689
4,166,660

0.43
0.14
1.28

1,922,877
177,937

0.59
0.05

2,098,590
110,076
433,283
109,700

657,138

0.20
25,600

1,247,566

0.38

3,664,128

1.12

420,900

1,071,048

0.33

247,000

14,780,561

4.52

511,100

Korea

290
11,354
186,020
6,800
6,889
20,775
94,940
7,300
95,000
53,877
5,925
4,751
6,674
5,775
33,275
102,630
79,240
10,050

Amorepacific Corp.
(Cosmetics/Personal Care)
Coway Co., Ltd. (Environmental Control)
Hanwha Life Insurance Co., Ltd. (Insurance)
Hyundai Heavy Industries Co., Ltd.
(Shipbuilding)
Hyundai Mobis (Auto Parts & Equipment)
Hyundai Motor Co.GDR(a)(b)
(Automobile Manufacturers)
KB Financial Group, Inc.
(Diversified Financial Services)
KB Financial Group, Inc.ADR(a)
(Diversified Financial Services)
KT Corp.ADR(a) (Telecommunications)
KT&G Corp. (Food, Beverages & Tobacco)
LG Chem Ltd. (Chemicals)
NAVER Corp. (Internet)
Samsung Electronics Co., Ltd. (Electronics)
Samsung Electronics Co., Ltd.GDR(a)
(Electronics)
Samsung Life Insurance Co., Ltd.
(Insurance)
Shinhan Financial Group Co., Ltd.
(Diversified Financial Services)
SK Hynix, Inc. (Semiconductors)
SK Innovation Co., Ltd. (Oil & Gas)

Luxembourg
17,482 Oriflame Cosmetics S.A.
Swedish Depositary Receipt
(Cosmetics/Personal Care)
Macau
524,400
348,800

Sands China Ltd. (Lodging)


Wynn Macau Ltd. (Lodging)

% of
Shareholders
Equity

Common Stocks (continued)

Common Stocks (continued)


India
49,483
232,525
63,025

Security Description

Market Value
USD

44,000
411,890
955,123
1,182,010

0.13
0.29
0.36

1,234,558
1,948,255

0.38
0.60

2,287,026

0.70

3,238,987

0.99

249,295
1,418,350
4,383,250
1,511,606
3,530,348
9,442,341

0.08
0.43
1.34
0.46
1.08
2.89

4,100,250

1.25

3,258,960

1.00

4,481,068
3,432,825
1,049,064

1.37
1.05
0.32

48,115,206

14.72

437,138

0.13

3,830,223
1,451,538

1.17
0.45

5,281,761

1.62

255,200
75,000
104,200
290,300
1,256,850

British American Tobacco Malaysia Bhd


(Food, Beverages & Tobacco)
CIMB Group Holdings Bhd (Banks)
Genting Bhd (Lodging)
Genting Malaysia Bhd (Lodging)
Malayan Banking Bhd (Banks)
Sime Darby Bhd
(Holding CompaniesDiversified)

America Movil SAB de CVADRSeries L(a)


(Telecommunications)
Cemex SAB de CV (Building Materials)
Cemex SAB de CVADR(a)
(Building Materials)
Fibra Uno Administracion S.A. de CV
(Real Estate Investment Trust)
Fomento Economico Mexicano SAB de CV
(Food, Beverages & Tobacco)
Fomento Economico Mexicano
SAB de CVADR(a)
(Food, Beverages & Tobacco)
Grupo Bimbo SAB de CVSeries A
(Food, Beverages & Tobacco)
Grupo Financiero Banorte SAB de CV "O"
(Banks)
Grupo Financiero Santander Mexico
SAB de CV "B" (Banks)
Grupo Financiero Santander Mexico
SAB de CV "B"ADR(a) (Banks)
Grupo Mexico SAB de CVSeries B
(Mining)
Grupo Sanborns SAB de CV (Retail)
Grupo Televisa SABADR(a) (Media)
Kimberly-Clark de Mexico SAB de CV "A"
(Household Products/Wares)
Wal-Mart de Mexico SAB de CVSeries V
(Retail)

Netherlands
20,300 OCI NV (Chemicals)
35,488 Yandex NV "A" (Internet)

851,587
1,480,093
1,988,166
506,862
835,947

0.26
0.45
0.61
0.15
0.26

386,399

0.12

6,049,054

1.85

1,590,435
2,737,614

0.49
0.84

1,432,089

0.44

1,348,373

0.41

1,053,323

0.32

2,457,344

0.75

1,220,835

0.37

1,816,714

0.56

1,377,566

0.42

594,000

0.18

849,532
139,818
3,570,934

0.26
0.04
1.09

793,503

0.24

3,189,233

0.98

24,171,313

7.39

766,309
1,106,871

0.23
0.34

1,873,180

0.57

381,060
1,484,376

0.12
0.45

1,865,436

0.57

537,405
1,281,932

0.17
0.39

1,844,562
1,544,293

0.56
0.47

5,208,192

1.59

Peru

36,500
9,525

Cia de Minas Buenaventura SAAADR(a)


(Mining)
Credicorp Ltd. (Banks)

Philippines
38,000 Ayala Corp.
(Holding CompaniesDiversified)
671,110 Metropolitan Bank & Trust Co. (Banks)
28,200 Philippine Long Distance Telephone
Co.ADR(a) (Telecommunications)
85,830 SM Investments Corp. (Retail)

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

31

Goldman Sachs Funds IIGMS Emerging Markets Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

Holdings

23,000
12,367

46,960

43,197
196,500
135,125
1,490,728
225,000

Alrosa AO (Mining)
Gazprom OAOADR(a) (Oil & Gas)
Lukoil OAOADR
(traded in United States)(a) (Oil & Gas)
Lukoil OAOADR
(traded in United Kingdom)(a) (Oil & Gas)
Magnit OJSCGDR
(traded in United States)(a)
(Food, Beverages & Tobacco)
Magnit OJSCGDR
(traded in United Kingdom)(a)
(Food, Beverages & Tobacco)
MegaFon OAOGDR(a)
(Telecommunications)
Mobile Telesystems OJSCADR(a)
(Telecommunications)
Rosneft OAOGDR(a) (Oil & Gas)
Sberbank of Russia (Banks)
Sberbank of RussiaADR(a) (Banks)

South Africa
28,700 AngloGold Ashanti Ltd.ADR(a) (Mining)
57,275 Aspen Pharmacare Holdings Ltd.
(Healthcare Products)
66,240 Bidvest Group Ltd.
(Food, Beverages & Tobacco)
30,000 Clicks Group Ltd. (Retail)
38,000 Impala Platinum Holdings Ltd. (Mining)
50,423 Imperial Holdings Ltd.
(Holding CompaniesDiversified)
48,500 MTN Group Ltd. (Telecommunications)
41,224 Nedbank Group Ltd. (Banks)
243,963 PPC Ltd. (Building Materials)
154,127 Sanlam Ltd. (Insurance)
8,500 Sasol Ltd.ADR(a) (Chemicals)
191,468 Shoprite Holdings Ltd.
(Food, Beverages & Tobacco)
118,405 Standard Bank Group Ltd. (Banks)
84,806 Tiger Brands Ltd.
(Food, Beverages & Tobacco)
92,423 Truworths International Ltd. (Retail)
99,008 Vodacom Group Ltd. (Telecommunications)
114,982 Woolworths Holdings Ltd. (Retail)

Taiwan
234,250

625,015
523,620
49,000
1,641,000
95,000
619,525
839,936
1,026,000

% of
Shareholders
Equity

Common Stocks (continued)

Common Stocks (continued)


Russia
780,633
314,646
13,627

Security Description

Market Value
USD

941,514
2,585,761

0.29
0.79

775,649

0.24

Thailand
122,000
220,300
2,536,000

1,307,435

0.40

794,800
333,659

726,561

0.22

81,000
71,600

2,758,900

0.84

233,000
2,400,000

1,295,910

0.40

3,647,040
878,718
3,649,429
2,280,509

1.11
0.27
1.12
0.70

Turkey
272,071
70,000

20,847,426

6.38

371,800
206,470

453,173

0.14

1,498,085

0.46

1,839,705
180,485
401,678

0.56
0.06
0.12

966,179
1,024,738
883,043
752,595
872,314
484,585

0.30
0.31
0.27
0.23
0.27
0.15

2,986,307
1,608,779

0.91
0.49

2,443,300
700,166
1,228,184
825,392

0.75
0.21
0.38
0.25

19,148,708

5.86

568,075
560,369

Bangkok Bank PCL (Banks)


Bangkok Bank PCLForeign (Banks)
Bangkok Dusit Medical Services PCL
(Healthcare Services)
CP ALL PCL (Retail)
PTT Exploration & Production PCL
(Oil & Gas)
PTT PCL (Oil & Gas)
Siam Cement PCL
(Holding CompaniesDiversified)
Siam Commercial Bank PCL (Banks)
Thai Beverage PCL
(Food, Beverages & Tobacco)

Akbank TAS (Banks)


Anadolu Efes Biracilik Ve Malt Sanayii AS
(Food, Beverages & Tobacco)
KOC Holding AS
(Holding CompaniesDiversified)
Turkcell Iletisim Hizmetleri AS
(Telecommunications)
Turkiye Garanti Bankasi ASADR(a) (Banks)
Turkiye Is Bankasi "C" (Banks)

United Kingdom
66,647 Standard Chartered Plc. (Banks)

TOTAL COMMON STOCKS


(cost USD 297,303,037)

687,883
1,242,032

0.21
0.38

1,282,616
1,101,911

0.39
0.34

1,560,391
725,593

0.48
0.22

907,326
1,129,123

0.28
0.34

1,206,181

0.37

9,843,056

3.01

1,071,146

0.33

871,868

0.27

1,854,121

0.57

1,280,892
2,308,089
1,607,166

0.39
0.70
0.49

8,993,282

2.75

1,499,910

0.46

316,325,187

96.75

728,034

0.22

Warrants 0.69%
India
125,000

84,300

Bharti Airtel Ltd.HSBC Bank Plc.,


exp. 05/20Warrants(b)
(Telecommunications)
Reliance Industries Ltd.HSBC Bank Plc.,
exp. 02/22Warrants(b) (Oil & Gas)

TOTAL WARRANTS
(cost USD 2,257,052)

1,518,940

0.47

2,246,974

0.69

2,246,974

0.69

5,811,253

1.78

5,811,253

1.78

Mutual Funds 1.78%


Advanced Semiconductor
Engineering, Inc.ADR(a) (Semiconductors)
Far Eastern New Century Corp. (Apparel)
Hon Hai Precision Industry Co., Ltd.GDR(a)
(Electronics)
MediaTek, Inc. (Semiconductors)
Mega Financial Holding Co., Ltd.
(Diversified Financial Services)
President Chain Store Corp. (Retail)
Taiwan Semiconductor Manufacturing Co.,
Ltd.ADR(a) (Semiconductors)
Uni-President Enterprises Corp.
(Food, Beverages & Tobacco)
Yuanta Financial Holding Co., Ltd.
(Diversified Financial Services)

Ireland
5,811,253

1,508,570
646,333

0.46
0.20

3,259,535
796,476

1.00
0.24

TOTAL MUTUAL FUNDS


(cost USD 5,811,253)

1,371,616
786,877

0.42
0.24

TOTAL TRANSFERABLE SECURITIES ADMITTED


TO AN OFFICIAL EXCHANGE LISTING
(cost USD 305,371,342)

324,383,414

99.22

12,743,629

3.90

MARKET VALUE OF INVESTMENTS


(cost USD 305,371,342)

324,383,414

99.22

1,472,003

0.45
2,552,970

0.78

326,936,384

100.00

Goldman Sachs US$ Liquid Reserves Fund


(X Distribution Class)(c)(d)

OTHER ASSETS AND LIABILITIES


535,844

0.16

23,120,883

7.07

SHAREHOLDERS' EQUITY

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

32

Goldman Sachs Funds IIGMS Emerging Markets Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

TOTAL INVESTMENTS

Market Value
USD

% of
Shareholders'
Equity

Total Investments (cost USD 305,371,342)


Other Assets and Liabilities

324,383,414
2,552,970

99.22
0.78

Shareholders' Equity

326,936,384

100.00

(a)

Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global


Depositary Receipt).

(b)

This security is valued by the Competent Person. See Note 4.

(c)

A related party to Goldman Sachs Funds II.

(d)

The yield for this fund as at 31 May 2014 was 0.171%.

Allocation of Portfolio as at 31 May 2014

% of
Shareholders'
Equity

Common Stocks
Banks
Food, Beverages & Tobacco
Telecommunications
Oil & Gas
Internet
Semiconductors
Retail
Electronics
Insurance
Diversified Financial Services
Others

17.61
10.02
7.56
6.09
5.65
5.65
5.33
5.14
4.45
4.29
24.96

TOTAL COMMON STOCKS

96.75

Mutual Funds

1.78

Warrants
Oil & Gas
Telecommunications

0.47
0.22

TOTAL WARRANTS

0.69

Other Net Assets


TOTAL

0.78
100.00

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

33

Goldman Sachs Funds IIGMS Europe Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
EUR

% of
Shareholders
Equity

Holdings

Security Description

Transferable securities admitted to an official exchange listing

Common Stocks (continued)

Common Stocks 98.16%

Germany
49,525
30,227

Austria
108,798
26,072

Belgium
81,287

63,845
24,495
63,854

Denmark
493
23,448

108,390
76,979
93,836

Finland
54,477
25,411
206,913

35,986
98,975

Erste Group Bank AG (Banks)


OMV AG (Oil & Gas)

Anheuser-Busch InBev NV
(Food, Beverages & Tobacco)
KBC Groep NV (Banks)
UCB S.A. (Pharmaceuticals)
Umicore S.A. (Mining)

AP Moeller Maersk A/S "B" (Transportation)


Carlsberg A/S "B"
(Food, Beverages & Tobacco)
DSV A/S (Transportation)
FLSmidth & Co. A/S
(MachineryDiversified)
Novo Nordisk A/S "B" (Pharmaceuticals)

Kone OYJ "B" (MachineryDiversified)


Metso OYJ (MachineryDiversified)
Outotec OYJ
(MachineryConstruction & Mining)
Sampo OYJ "A" (Insurance)
Valmet Corp. (MachineryDiversified)

2,758,030
788,417

0.87
0.25

3,546,447

1.12

6,554,984
2,782,046
1,433,692
2,251,811

2.07
0.88
0.46
0.71

13,022,533

4.12

941,934

0.30

1,787,606
2,648,914

0.56
0.84

3,282,939
2,914,317

1.04
0.92

11,575,710

3.66

1,655,556
717,098

0.52
0.23

1,708,067
1,336,520
812,585

0.54
0.42
0.26

6,229,826

1.97

12,094
4,748
6,011
217,393
66,979
13,174
14,374
59,598
18,874
300,698
29,911
12,613
56,400
26,592
8,698
31,087

Ireland
180,182

310,408

Bayer AG (Pharmaceuticals)
Bayerische Motoren Werke AG
(Automobile Manufacturers)
Beiersdorf AG (Cosmetics/Personal Care)
Bertrandt AG (Commercial Services)
Continental AG (Auto Parts & Equipment)
Deutsche Telekom AG
(Telecommunications)
E.ON SE (Electric)
Fresenius SE & Co. KGaA
(Healthcare Services)
Gerry Weber International AG (Apparel)
HeidelbergCement AG (Building Materials)
Hugo Boss AG (Apparel)
Infineon Technologies AG
(Semiconductors)
LEG Immobilien AG (Real Estate)
Norma Group SE
(Auto Parts & Equipment)
ProSiebenSat.1 Media AG (Media)
Siemens AG
(Miscellaneous Manufacturing)
United Internet AG (Internet)
Volkswagen AGPreferred
(Automobile Manufacturers)

C&C Group Plc.


(Food, Beverages & Tobacco)
Ryanair Holdings Plc. (Airlines)

Market Value
EUR

% of
Shareholders
Equity

5,229,840

1.65

2,783,604
898,947
541,984
1,040,204

0.88
0.28
0.17
0.33

2,679,369
952,441

0.85
0.30

1,441,894
561,233
3,770,170
1,961,009

0.46
0.18
1.19
0.62

2,728,534
1,545,501

0.86
0.49

507,421
1,881,786

0.16
0.60

2,591,922
291,296

0.82
0.09

6,069,737

1.92

37,476,892

11.85

809,918
2,232,765

0.26
0.70

3,042,683

0.96

742,663
691,059
5,404,286
1,297,697
827,505
6,829,927

0.23
0.22
1.71
0.41
0.26
2.16

15,793,137

4.99

3,632,051
494,149

1.15
0.15

4,126,200

1.30

2,035,527
3,218,740
4,105,243
2,899,728
2,275,465
6,543,230

0.64
1.02
1.30
0.91
0.72
2.07

21,077,933

6.66

480,389

0.15

3,277,016

1.04

817,800

0.26

4,575,205

1.45

Italy
France
48,994
392,697
40,780
40,447
53,137
49,731
8,813

73,728
10,105
63,910
86,606
20,040
62,630
110,814
41,360
18,354
77,835
43,819
75,412
161,061
258,639
57,290
57,566
44,347

Accor S.A. (Lodging)


Alcatel-Lucent (Telecommunications)
AXA S.A. (Insurance)
BNP Paribas S.A. (Banks)
Bureau Veritas S.A. (Commercial Services)
Cap Gemini S.A. (Computers)
Casino Guichard Perrachon S.A.
(Food, Beverages & Tobacco)
Cie de St-Gobain (Building Materials)
Cie Generale des Etablissements Michelin
(Auto Parts & Equipment)
Edenred (Commercial Services)
GDF Suez (Electric)
L'Oreal S.A. (Cosmetics/Personal Care)
Lafarge S.A. (Building Materials)
Legrand S.A.
(Electrical Components & Equipment)
Pernod Ricard S.A.
(Food, Beverages & Tobacco)
Renault S.A. (Automobile Manufacturers)
Sanofi (Pharmaceuticals)
Schneider Electric S.A.
(Electrical Components & Equipment)
Societe Generale S.A. (Banks)
Total S.A. (Oil & Gas)
Veolia Environnement S.A. (Water)
Vinci S.A. (Construction & Engineering)
Vivendi S.A. (Telecommunications)
Zodiac Aerospace (Aerospace & Defence)

1,888,964
1,173,771
735,060
2,049,854
1,168,748
2,652,652

0.60
0.37
0.23
0.65
0.37
0.84

825,778
3,078,144

0.26
0.97

913,795
1,468,971
1,771,093
2,564,118
3,940,053

0.29
0.46
0.56
0.81
1.25

5,108,525

1.61

3,707,510
1,259,819
6,068,795

1.17
0.40
1.92

3,007,736
3,184,649
8,336,517
3,609,307
3,099,389
1,105,843
1,157,457

0.95
1.01
2.63
1.14
0.98
0.35
0.37

63,876,548

20.19

36,711
22,242
2,189,743
31,090
902,897
1,066,343

Atlantia SpA (Commercial Services)


DiaSorin SpA (Healthcare Products)
Intesa Sanpaolo SpA (Banks)
Luxottica Group SpA (Healthcare Products)
Telecom Italia SpA (Telecommunications)
UniCredit SpA (Banks)

Luxembourg
323,424 ArcelorMittal (Iron/Steel)
5,841 RTL Group S.A. (Media)

Netherlands
37,077
51,083
79,853
282,212
78,927
218,890

Portugal
488,697
261,638

306,292

Akzo Nobel NV (Chemicals)


ASML Holding NV (Semiconductors)
Heineken NV (Food, Beverages & Tobacco)
ING Groep NV (Insurance)
Royal Dutch Shell Plc. "A" (Oil & Gas)
Royal Dutch Shell Plc. "B" (Oil & Gas)

Banco Espirito Santo S.A. (Banks)


Jeronimo Martins SGPS S.A.
(Food, Beverages & Tobacco)
Portugal Telecom SGPS S.A.
(Telecommunications)

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

34

Goldman Sachs Funds IIGMS Europe Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
EUR

% of
Shareholders
Equity

Holdings

Common Stocks (continued)


Spain
158,361
18,111
395,355

Sweden
96,366

90,833
141,707
24,613
125,809
170,114
106,394
125,571

Banco Santander S.A. (Banks)


Inditex S.A. (Retail)
Melia Hotels International S.A. (Lodging)

Alfa Laval AB
(Miscellaneous Manufacturing)
Assa Abloy AB "B"
(Metal Fabricate/Hardware)
Atlas Copco AB "A"
(MachineryConstruction & Mining)
Axis Communications AB (Electronics)
Nordea Bank AB (Banks)
SKF AB "B" (Metal Fabricate/Hardware)
Svenska Cellulosa AB SCA "B"
(Forest Products & Paper)
Trelleborg AB "B"
(Miscellaneous Manufacturing)

Switzerland
62,850 ABB Ltd. (Construction & Engineering)
262 Belimo Holding AG (Building Materials)
464 Bossard Holding AG "A"
(Metal Fabricate/Hardware)
43,242 Cie Financiere Richemont S.A. (Retail)
384 Daetwyler Holding AG
(Electrical Components & Equipment)
8,087 Geberit AG (Building Materials)
598 Givaudan S.A. (Chemicals)
34,213 Holcim Ltd. (Building Materials)
1,217 Inficon Holding AG
(MachineryDiversified)
63,768 Julius Baer Group Ltd.
(Diversified Financial Services)
5,371 Kuehne + Nagel International AG
(Transportation)
405 LEM Holding S.A. (Electronics)
113 Lindt & Spruengli AG
(Food, Beverages & Tobacco)
60,104 Nestle S.A. (Food, Beverages & Tobacco)
34,809 Roche Holding AG (Pharmaceuticals)
584 SGS S.A. (Commercial Services)
3,713 Swatch Group AG (Retail)
7,438 Syngenta AG (Chemicals)
9,429 Tecan Group AG (Healthcare Products)
441,294 UBS AG (Banks)
6,686 Zurich Insurance Group AG (Insurance)

United Kingdom
78,989 AstraZeneca Plc. (Pharmaceuticals)
89,310 BG Group Plc. (Oil & Gas)
151,253 British American Tobacco Plc.
(Food, Beverages & Tobacco)
164,488 BT Group Plc. (Telecommunications)
34,919 Capita Plc. (Commercial Services)
164,100 Compass Group Plc.
(Food, Beverages & Tobacco)
43,637 Croda International Plc. (Chemicals)
83,115 Diageo Plc. (Food, Beverages & Tobacco)
86,484 Halma Plc. (Electronics)

Security Description

Market Value
EUR

% of
Shareholders
Equity

Common Stocks (continued)


1,187,074
1,936,066
3,720,291

0.37
0.61
1.18

6,843,431

2.16

1,851,854

0.59

3,386,081

1.07

3,055,373
530,686
1,363,912
3,197,912

0.97
0.17
0.43
1.01

2,180,396

0.69

United Kingdom (continued)


131,061 Hargreaves Lansdown Plc.
(Diversified Financial Services)
122,073 Imperial Tobacco Group Plc.
(Food, Beverages & Tobacco)
37,846 Intertek Group Plc. (Commercial Services)
57,129 Jardine Lloyd Thompson Group Plc.
(Insurance)
67,252 Johnson Matthey Plc. (Chemicals)
1,687,951 Lloyds Banking Group Plc. (Banks)
1,070,785 Melrose Industries Plc.
(Miscellaneous Manufacturing)
212,249 Merlin Entertainments Plc. 144A(a)
(Entertainment)
320,591 Prudential Plc. (Insurance)
44,913 Reckitt Benckiser Group Plc.
(Household Products/Wares)
124,682 Rio Tinto Plc. (Mining)
251,906 Smith & Nephew Plc. (Healthcare Products)
48,209 Spectris Plc. (Electronics)
34,898 Spirax-Sarco Engineering Plc.
(MachineryDiversified)
161,217 Standard Chartered Plc. (Banks)
38,618 SuperGroup Plc. (Retail)
194,305 Tesco Plc. (Food, Beverages & Tobacco)
79,259 Unilever Plc.
(Food, Beverages & Tobacco)
15,852 Victrex Plc. (Chemicals)
54,915 WH Smith Plc. (Retail)
15,837 Whitbread Plc. (Lodging)

2,007,447

0.63

17,573,661

5.56

1,096,967
517,587

0.35
0.16

43,514
3,329,189

0.01
1.05

44,032
1,969,188
718,515
2,188,502

0.01
0.62
0.23
0.69

299,280

0.09

Rights 0.02%

2,043,702

0.65

Portugal
488,697

538,885
230,207

0.17
0.07

411,484
3,453,313
7,543,732
1,071,913
1,604,177
2,104,182
828,648
6,498,641
1,471,428

0.13
1.09
2.39
0.34
0.51
0.67
0.26
2.05
0.47

38,007,086

12.01

4,175,679
1,346,665

TOTAL COMMON STOCKS


(cost EUR 281,643,925)

2.12
0.25
0.15

2,007,353
1,405,985
1,960,348
625,180

0.63
0.44
0.62
0.20

0.62

4,049,054
1,353,957

1.28
0.43

724,115
2,686,253
1,607,005

0.23
0.85
0.51

3,683,341

1.16

947,206
5,466,631

0.30
1.73

2,816,010
4,716,537
3,247,781
1,356,051

0.89
1.49
1.03
0.43

1,237,641
2,663,803
546,458
726,893

0.39
0.84
0.17
0.23

2,615,309
351,571
700,778
813,260

0.83
0.11
0.22
0.26

63,770,906

20.16

310,538,198

98.16

65,485

0.02

65,485

0.02

1,810,243

0.57

Mutual Funds 0.57%


Ireland
1,810,243

Goldman Sachs Euro Liquid Reserves Fund


(X Distribution Class)(b)(c)

TOTAL MUTUAL FUNDS


(cost EUR 1,810,243)

1.32
0.43

6,699,775
803,222
473,510

Banco Espirito Santo S.A.Rights (Banks)

TOTAL RIGHTS
(cost EUR nil)

1,963,535

1,810,243

0.57

TOTAL TRANSFERABLE SECURITIES ADMITTED


TO AN OFFICIAL EXCHANGE LISTING
(cost EUR 283,454,168)

312,413,926

98.75

MARKET VALUE OF INVESTMENTS


(cost EUR 283,454,168)

312,413,926

98.75

OTHER ASSETS AND LIABILITIES


SHAREHOLDERS' EQUITY

3,941,301

1.25

316,355,227

100.00

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

35

Goldman Sachs Funds IIGMS Europe Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

TOTAL INVESTMENTS

Market Value
EUR

% of
Shareholders'
Equity

Total Investments (cost EUR 283,454,168)


Other Assets and Liabilities

312,413,926
3,941,301

98.75
1.25

Shareholders' Equity

316,355,227

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)

A related party to Goldman Sachs Funds II.

(c)

The yield for this fund as at 31 May 2014 was 0.263%.

Allocation of Portfolio as at 31 May 2014

% of
Shareholders'
Equity

Common Stocks
Food, Beverages & Tobacco
Banks
Pharmaceuticals
Oil & Gas
Building Materials
Insurance
Automobile Manufacturers
Miscellaneous Manufacturing
Chemicals
Electrical Components & Equipment
Others

13.59
11.63
8.66
6.10
4.88
3.99
3.20
3.20
2.94
2.57
37.40

TOTAL COMMON STOCKS

98.16

Mutual Funds

0.57

Rights
Banks

0.02

TOTAL RIGHTS

0.02

Other Net Assets


T O TA L

1.25
100.00

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

36

Goldman Sachs Funds IIGMS Global Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

Holdings

Security Description

Transferable securities admitted to an official exchange listing

Common Stocks (continued)

Common Stocks 94.07%

China

Argentina
49,155

9,800
39,862
Arcos Dorados Holdings, Inc. "A" (Retail)

437,480

0.11
632,000

Australia
9,444

4,611
5,597
3,344
31,751
14,096
7,054
16,408
12,072

Belgium
4,910

6,509

Bermuda
94,900
54,453

Brazil
179,900

26,150

Canada
9,526
13,983
25,090

2,718
3,263
3,500
3,487
3,975
182,580
6,491
31,075
7,233
193,040
8,134
6,184
4,323

Australia & New Zealand Banking


Group Ltd.ADR(a) (Banks)
BHP Billiton Ltd.ADR(a) (Mining)
Brambles Ltd.ADR(a)
(Commercial Services)
CSL Ltd.ADR(a) (Biotechnology)
National Australia Bank Ltd.ADR(a)
(Banks)
Telstra Corp., Ltd.ADR(a)
(Telecommunications)
Wesfarmers Ltd.ADR(a) (Retail)
Westfield GroupADR(a)
(Real Estate Investment Trust)
Westpac Banking Corp.ADR(a) (Banks)

Anheuser-Busch InBev NV
(Food, Beverages & Tobacco)
Belgacom S.A. (Telecommunications)

92,000
294,464
313,271

0.07
0.08

99,794
109,483

0.02
0.03

492,458

0.12

350,004
141,715

0.09
0.03

325,371
386,062

0.08
0.09

2,512,622

0.61

539,294
215,744

0.13
0.05

755,038

0.18

Denmark
20

13,469
1,980
14,873
14,688

France
2,944
31,113

24,000
522
2,213
1,057

Genpact Ltd. (Commercial Services)


Marvell Technology Group Ltd.
(Semiconductors)

BM&FBovespa S.A.
(Diversified Financial Services)
Embraer S.A.ADR(a)
(Aerospace & Defence)

Barrick Gold Corp. (Mining)


BCE, Inc. (Telecommunications)
Canadian Natural Resources Ltd.
(Oil & Gas)
Centerra Gold, Inc. (Mining)
Domtar Corp. (Forest Products & Paper)
Eldorado Gold Corp. (Mining)
Fairfax Financial Holdings Ltd. (Insurance)
Goldcorp, Inc. (Mining)
Kinross Gold Corp. (Mining)
Pan American Silver Corp. (Mining)
Ritchie Bros Auctioneers, Inc.
(Commercial Services)
Rogers Communications, Inc. "B"
(Telecommunications)
Talisman Energy, Inc. (Oil & Gas)
TELUS Corp. (Telecommunications)
TransCanada Corp. (Pipelines)
Yamana Gold, Inc. (Mining)

1,594,320

0.38

857,090

0.21

2,451,410

0.59

916,336

0.22

946,630

0.23

1,862,966

0.45

153,059
638,310

0.04
0.15

1,014,077
11,525
300,261
19,875
1,627,069
92,083
681,646
80,060

0.25
0.00
0.07
0.01
0.39
0.02
0.17
0.02

715,347

0.17

291,340
1,982,361
308,324
289,191
30,805

0.07
0.48
0.07
0.07
0.01

8,235,333

1.99

4,584
42,938
27,761

Germany
11,099
12,251
6,871
6,955
1,748

9,550
7,204
49,913
3,147
23,259
59,118
7,964
947
1,065
2,347
3,612
22,893
20,577
948

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)

AP Moeller Maersk A/S "B"


(Transportation)
Carlsberg A/S "B"
(Food, Beverages & Tobacco)
Coloplast A/S "B" (Healthcare Products)
Jyske Bank A/S (Banks)
Novo Nordisk A/S "B" (Pharmaceuticals)

BNP Paribas S.A. (Banks)


Carrefour S.A.
(Food, Beverages & Tobacco)
Danone S.A. (Food, Beverages & Tobacco)
Essilor International S.A.
(Healthcare Products)
GDF Suez (Electric)
LVMH Moet Hennessy Louis Vuitton S.A.
(Apparel)
Orange S.A. (Telecommunications)
Sanofi (Pharmaceuticals)
Total S.A. (Oil & Gas)

Adidas AG (Apparel)
Allianz SE (Insurance)
BASF SE (Chemicals)
Bayer AG (Pharmaceuticals)
Bayerische Motoren Werke AG
(Automobile Manufacturers)
Daimler AG (Automobile Manufacturers)
Deutsche Bank AG (Banks)
Deutsche Boerse AG
(Diversified Financial Services)
Deutsche Post AG (Transportation)
Deutsche Telekom AG
(Telecommunications)
E.ON SE (Electric)
Henkel AG & Co. KGaAPreferred
(Household Products/Wares)
Merck KGaA (Pharmaceuticals)
Muenchener Rueckversicherungs AG
(Insurance)
Osram Licht AG
(Electrical Components & Equipment)
RWE AG (Electric)
SAP AG (Software)
Siemens AG
(Miscellaneous Manufacturing)
Volkswagen AGPreferred
(Automobile Manufacturers)

Market Value
USD

% of
Shareholders
Equity

1,627,486

0.39

1,220,575

0.29

614,657

0.15

724,558

0.18

4,187,276

1.01

52,047

0.01

1,398,604
170,551
821,596
621,331

0.34
0.04
0.20
0.15

3,064,129

0.74

203,221

0.05

1,130,843
1,787,446

0.28
0.43

54,768
61,641

0.01
0.02

208,683
76,797
4,559,977
1,957,143

0.05
0.02
1.10
0.47

10,040,519

2.43

1,186,716
2,075,799
788,654
1,000,355

0.29
0.50
0.19
0.24

219,254
909,620
291,128

0.05
0.22
0.07

3,793,510
115,968

0.92
0.03

390,455
1,145,019

0.09
0.28

920,725
162,458

0.22
0.04

236,300

0.06

118,918
145,206
1,750,837

0.03
0.04
0.42

2,731,784

0.66

252,112

0.06

18,234,818

4.41

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

37

Goldman Sachs Funds IIGMS Global Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

Holdings

Common Stocks (continued)


Hong Kong
179,592
84,814
87,500
348,000
17,600

49,000
10,662

India
58,518
Indonesia
1,035,500

Ireland
3,677
1,880,477
25,769
48,699
261,952
9,757

AIA Group Ltd. (Insurance)


Cheung Kong Holdings Ltd. (Real Estate)
China Mobile Ltd. (Telecommunications)
China Resources Enterprise Ltd. (Retail)
Jardine Matheson Holdings Ltd.
(Holding CompaniesDiversified)
SJM Holdings Ltd. (Lodging)
Swire Pacific Ltd. "A"
(Holding CompaniesDiversified)

ICICI Bank Ltd. (Banks)

Bank Negara Indonesia Persero Tbk PT


(Banks)

Accenture Plc. "A" (Computers)


Bank of Ireland (Banks)
Covidien Plc. (Healthcare Products)
CRH Plc. (Building Materials)
Ryanair Holdings Plc. (Airlines)
Shire Plc. (Pharmaceuticals)

Teva Pharmaceutical Industries Ltd.


(Pharmaceuticals)

900,386
1,516,887
858,363
976,299

0.22
0.37
0.21
0.23

1,083,015
140,968

0.26
0.03

126,734

0.03

5,602,652

1.35

1,406,942

0.34

423,724

0.10

296,109
719,727
1,879,591
1,345,262
2,566,404
558,926

0.07
0.17
0.45
0.33
0.62
0.14

7,366,019

1.78

494,777

0.12

104,100
153,537

0.02
0.04

84,255

0.02

341,892

0.08

65,441

0.02

131,588

0.03

56,520
283,163
3,725,276

0.01
0.07
0.90

145,572
131,800
186,019
123,025
163,291
138,317
103,225
136,911

0.03
0.03
0.04
0.03
0.04
0.03
0.02
0.03

Japan (continued)
5,500 Kao Corp. (Cosmetics/Personal Care)
3,400 KDDI Corp. (Telecommunications)
11,000 Kirin Holdings Co., Ltd.
(Food, Beverages & Tobacco)
2,900 Komatsu Ltd.
(MachineryConstruction & Mining)
175,007 Kyowa Hakko Kirin Co., Ltd.
(Pharmaceuticals)
123,512 Mitsubishi Corp. (Distribution/Wholesale)
11,000 Mitsubishi Electric Corp.
(MachineryConstruction & Mining)
22,000 Mitsubishi Heavy Industries Ltd.
(MachineryDiversified)
72,999 Mitsubishi UFJ Financial Group, Inc. (Banks)
11,005 Mitsui & Co., Ltd. (Distribution/Wholesale)
159,900 Mizuho Financial Group, Inc. (Banks)
55,297 MS&AD Insurance Group Holdings
(Insurance)
1,100 Murata Manufacturing Co., Ltd. (Electronics)
50,800 Namco Bandai Holdings, Inc.
(Toys/Games/Hobbies)
9,751 Nintendo Co., Ltd. (Toys/Games/Hobbies)
3,200 Nippon Telegraph & Telephone Corp.
(Telecommunications)
23,800 Nissan Motor Co., Ltd.
(Automobile Manufacturers)
49,330 NKSJ Holdings, Inc. (Insurance)
12,200 NTT DoCoMo, Inc. (Telecommunications)
29,500 Olympus Corp. (Healthcare Products)
8,400 ORIX Corp. (Diversified Financial Services)
32,000 Osaka Gas Co., Ltd. (Gas)
14,900 Rohm Co., Ltd. (Semiconductors)
1,800 Santen Pharmaceutical Co., Ltd.
(Pharmaceuticals)
6,400 Seven & I Holdings Co., Ltd.
(Food, Beverages & Tobacco)
1,400 Shin-Etsu Chemical Co., Ltd. (Chemicals)
12,322 SMC Corp. (Hand/Machine Tools)
1,200 Softbank Corp. (Telecommunications)
10,700 Sumitomo Corp. (Distribution/Wholesale)
6,000 Sumitomo Metal Mining Co., Ltd. (Mining)
8,587 Sumitomo Mitsui Financial Group, Inc.
(Banks)
655,718 Sumitomo Mitsui Trust Holdings, Inc. (Banks)
53,724 Suzuki Motor Corp.
(Automobile Manufacturers)
6,000 Takeda Pharmaceutical Co., Ltd.
(Pharmaceuticals)
49,500 THK Co., Ltd. (Hand/Machine Tools)
39,148 Tokio Marine Holdings, Inc. (Insurance)
18,200 Tokyo Electron Ltd. (Semiconductors)
29,000 Tokyo Gas Co., Ltd. (Gas)
4,000 Toyo Suisan Kaisha Ltd.
(Food, Beverages & Tobacco)
11,427 Toyota Motor Corp.
(Automobile Manufacturers)
2,800 Unicharm Corp.
(Cosmetics/Personal Care)
1,600 West Japan Railway Co. (Transportation)
3,200 Yamato Holdings Co., Ltd. (Transportation)

Italy

18,302
5,996
1,482

Japan
5,400
3,600

2,000
22,000
665,301
4,000
4,000
1,400
10,200
9,600
3,000
2,400
800
34,000
9,000
4,400
259,427
11,000
27,300
14,100

Enel SpA (Electric)


Eni SpA (Oil & Gas)
Luxottica Group SpA
(Healthcare Products)

Aeon Co., Ltd. (Retail)


Aisin Seiki Co., Ltd.
(Auto Parts & Equipment)
Asahi Group Holdings Ltd.
(Food, Beverages & Tobacco)
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)
Daiichi Sankyo Co., Ltd. (Pharmaceuticals)
Denso Corp. (Auto Parts & Equipment)
FamilyMart Co., Ltd. (Retail)
FANUC Corp. (MachineryDiversified)
Hitachi Ltd.
(Electrical Components & Equipment)
Honda Motor Co., Ltd.
(Automobile Manufacturers)
Hoya Corp. (Electronics)
Inpex Corp. (Oil & Gas)
ITOCHU Corp. (Distribution/Wholesale)
Japan Exchange Group, Inc.
(Diversified Financial Services)
Japan Tobacco, Inc.
(Food, Beverages & Tobacco)

% of
Shareholders
Equity

Common Stocks (continued)

Israel

9,787

Security Description

Market Value
USD

229,807

0.06

316,838
136,539
3,758,410
130,549

0.08
0.03
0.91
0.03

658,438

0.16

479,185

0.12

218,255
203,235

0.05
0.05

156,320

0.04

63,487

0.02

2,133,858
2,447,862

0.52
0.59

128,725

0.03

128,876
413,364
167,455
312,776

0.03
0.10
0.04
0.08

1,317,834
93,820

0.32
0.02

1,112,086
1,139,216

0.27
0.28

190,611

0.05

215,734
1,379,558
203,400
955,083
134,228
127,786
854,101

0.05
0.33
0.05
0.23
0.03
0.03
0.21

97,282

0.02

257,259
83,739
3,234,839
87,300
140,571
91,249

0.06
0.02
0.78
0.02
0.03
0.02

348,455
2,664,677

0.08
0.64

1,608,932

0.39

272,268
1,098,179
1,244,397
1,102,987
164,720

0.07
0.27
0.30
0.27
0.04

121,968

0.03

650,506

0.16

170,353
68,227
68,398

0.04
0.02
0.02

38,773,890

9.37

31,613

0.01

Jersey

428

Randgold Resources Ltd. (Mining)

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

38

Goldman Sachs Funds IIGMS Global Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

Holdings

Security Description

Common Stocks (continued)

Common Stocks (continued)

Korea
3,697

Sweden
62,215

18,440

Macau
35,600
Mexico
67,370
Netherlands
1,288
32,746
17,954
7,902

5,125
31,400
3,917
9,148
15,254
15,607

Norway
125,835
14,760
16,886
9,496

Portugal
16,410

Russia
38,920
48,831

Singapore
1,915,595
48,000

9,000

Samsung Electronics Co., Ltd.GDR(a)


(Electronics)
SK Hynix, Inc. (Semiconductors)

Wynn Macau Ltd. (Lodging)

55,049
682
27,893
5,914
33,492

0.64
0.19

3,423,725

0.83

148,150

0.04

3,983
43,418
19,579
7,448
7,857
4,149

Grupo Televisa SABADR(a) (Media)

2,308,770

0.56

Akzo Nobel NV (Chemicals)


Heineken NV (Food, Beverages & Tobacco)
ING Groep NV (Insurance)
Koninklijke Ahold NV
(Food, Beverages & Tobacco)
Koninklijke Philips NV (Electronics)
QIAGEN NV (Healthcare Products)
Royal Dutch Shell Plc. "A" (Oil & Gas)
Royal Dutch Shell Plc. "A"
(traded in United Kingdom) (Oil & Gas)
Royal Dutch Shell Plc. "B" (Oil & Gas)
Unilever NV (Food, Beverages & Tobacco)

96,312
2,292,974
251,268

0.02
0.55
0.06

143,524
161,634
718,432
153,812

0.04
0.04
0.17
0.04

359,291
621,074
677,052

0.09
0.15
0.16

5,475,373

1.32

Norsk Hydro ASA (Mining)


Schibsted ASA (Media)
Statoil ASA (Oil & Gas)
Telenor ASA (Telecommunications)

Portugal Telecom SGPS S.A.


(Telecommunications)

Sberbank of RussiaADR(a) (Banks)


Sberbank of RussiaADR(a)
(traded in United Kingdom) (Banks)

Golden Agri-Resources Ltd. (Agriculture)


Singapore Telecommunications Ltd.
(Telecommunications)
United Overseas Bank Ltd. (Banks)

South Africa
47,065 MTN Group Ltd. (Telecommunications)
36,294 Naspers Ltd. "N" (Media)

Spain
26,849
146,337

2,624,870
798,855

Banco Bilbao Vizcaya Argentaria S.A. (Banks)


Distribuidora Internacional de Alimentacion S.A.
(Food, Beverages & Tobacco)
Iberdrola S.A. (Electric)
Inditex S.A. (Retail)
Mapfre S.A. (Insurance)
Repsol S.A. (Oil & Gas)
Telefonica S.A. (Telecommunications)

6,996
42,806
4,021
2,190
14,335

682,645
850,547
517,572
225,041

0.16
0.21
0.13
0.05

2,275,805

0.55

59,678

36,677
79,285

Switzerland
6,127 ABB Ltd. (Construction & Engineering)
15,276 Cie Financiere Richemont S.A. (Retail)
3,407 Coca-Cola HBC AG
(Food, Beverages & Tobacco)
8,218 Credit Suisse Group AG (Banks)
45,465 Glencore Plc. (Mining)
2,410 Julius Baer Group Ltd.
(Diversified Financial Services)
92,205 Nestle S.A. (Food, Beverages & Tobacco)
58,623 Novartis AG (Pharmaceuticals)
468 Partners Group Holding AG
(Diversified Financial Services)
27,297 Roche Holding AG (Pharmaceuticals)
11,130 Schindler Holding AG
(Hand/Machine Tools)
170 Swatch Group AG (Retail)
386 Swisscom AG (Telecommunications)
332 Syngenta AG (Chemicals)
8,524 Transocean Ltd. (Oil & Gas)
26,609 UBS AG (Banks)
34,178 Wolseley Plc. (Distribution/Wholesale)
1,372 Zurich Insurance Group AG (Insurance)

0.01

394,454

0.09

494,932

0.12

889,386

0.21

878,400

0.21

148,521
162,035

0.04
0.04

1,188,956

0.29

Atlas Copco AB "B"


(MachineryConstruction & Mining)
Hennes & Mauritz AB "B" (Retail)
Investor AB "B" (Investment Companies)
Nordea Bank AB (Banks)
Sandvik AB (Hand/Machine Tools)
Skandinaviska Enskilda Banken AB "A"
(Banks)
Skanska AB "B"
(Construction & Engineering)
Svenska Cellulosa AB SCA "B"
(Forest Products & Paper)
Svenska Handelsbanken AB "A" (Banks)
Swedbank AB "A" (Banks)
Swedish Match AB
(Food, Beverages & Tobacco)
Telefonaktiebolaget LM Ericsson "B"
(Telecommunications)
TeliaSonera AB (Telecommunications)
Volvo AB "B" (Automobile Manufacturers)

Taiwan
147,400

Taiwan Semiconductor Manufacturing


Co., Ltd.ADR(a) (Semiconductors)

Market Value
USD

1,712,378
169,754
1,709,214
289,107
106,461

% of
Shareholders
Equity

0.41
0.04
0.41
0.07
0.03

106,418

0.03

96,158

0.02

195,282
2,183,086
107,296

0.05
0.53
0.03

76,856

0.02

179,331
272,054
1,157,662

0.04
0.06
0.28

8,361,057

2.02

145,656
1,601,901

0.03
0.39

79,186
243,863
246,284

0.02
0.06
0.06

105,202
7,215,731
5,248,210

0.03
1.74
1.27

123,004
8,057,548

0.03
1.95

1,718,420
100,039
230,162
127,926
359,883
533,724
1,902,934
411,263

0.41
0.02
0.06
0.03
0.09
0.13
0.46
0.10

28,450,936

6.88

3,032,018

0.73

Thailand
101,600

Bangkok Bank PCLNVDR (Banks)

572,859

0.14

Turkiye Garanti Bankasi AS (Banks)

609,818

0.15

566,767

0.14

428,930
1,102,481
2,237,566
440,158

0.10
0.27
0.54
0.11

39,947

0.01

994,419
4,073,894

0.24
0.98

5,068,313

1.22

Turkey
148,590

343,719

0.08

United Arab Emirates


55,807 Dragon Oil Plc. (Oil & Gas)

1,340,616
394,617
99,301
113,367
167,024
561,099

0.32
0.10
0.02
0.03
0.04
0.14

3,019,743

0.73

United Kingdom
15,380 Aggreko Plc. (Commercial Services)
44,652 Anglo American Plc. (Mining)
24,945 Aon Plc. (Insurance)
6,113 AstraZeneca Plc. (Pharmaceuticals)
10,195 Balfour Beatty Plc.
(Construction & Engineering)

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

39

Goldman Sachs Funds IIGMS Global Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

Holdings

Common Stocks (continued)


United Kingdom (continued)
144,008 Barclays Plc. (Banks)
24,572 BG Group Plc. (Oil & Gas)
10,771 BHP Billiton Plc. (Mining)
89,756 BP Plc. (Oil & Gas)
36,337 British American Tobacco Plc.
(Food, Beverages & Tobacco)
7,598 British Sky Broadcasting Group Plc. (Media)
33,534 BT Group Plc. (Telecommunications)
45,269 Bunzl Plc. (Commercial Services)
4,060 Burberry Group Plc. (Apparel)
43,189 Centrica Plc. (Gas)
3,509 Compass Group Plc.
(Food, Beverages & Tobacco)
100,722 Diageo Plc. (Food, Beverages & Tobacco)
6,698 Ensco Plc. "A" (Oil & Gas)
158,717 GlaxoSmithKline Plc. (Pharmaceuticals)
370,974 Hays Plc. (Commercial Services)
115,988 HSBC Holdings Plc. (Banks)
11,482 Imperial Tobacco Group Plc.
(Food, Beverages & Tobacco)
3,033 InterContinental Hotels Group Plc.
(Lodging)
12,069 J Sainsbury Plc.
(Food, Beverages & Tobacco)
4,705 London Stock Exchange Group Plc.
(Diversified Financial Services)
16,997 National Grid Plc. (Gas)
73,915 Noble Corp., Plc. (Oil & Gas)
10,515 Pearson Plc. (Media)
209,130 Prudential Plc. (Insurance)
4,502 Reckitt Benckiser Group Plc.
(Household Products/Wares)
4,590 Reed Elsevier Plc. (Media)
5,304 Rio Tinto Plc. (Mining)
110,681 Rolls-Royce Holdings Plc.
(Aerospace & Defence)
5,050 SABMiller Plc.
(Food, Beverages & Tobacco)
19,604 Smith & Nephew Plc.
(Healthcare Products)
8,234 SSE Plc. (Electric)
81,070 Standard Chartered Plc. (Banks)
30,786 Standard Life Plc. (Insurance)
49,626 Tesco Plc. (Food, Beverages & Tobacco)
48,308 Tullow Oil Plc. (Oil & Gas)
6,601 Unilever Plc.
(Food, Beverages & Tobacco)
220,537 Vodafone Group Plc. (Telecommunications)
35,787 Vodafone Group Plc.ADR(a)
(Telecommunications)
73,736 Willis Group Holdings Plc. (Insurance)
47,888 WM Morrison Supermarkets Plc.
(Food, Beverages & Tobacco)

United States
9,107 AbbVie, Inc. (Pharmaceuticals)
14,170 ADT Corp.
(Electrical Components & Equipment)
9,202 AES Corp. (Electric)
4,093 Aflac, Inc. (Insurance)
29,840 Allstate Corp. (Insurance)
6,858 Amazon.com, Inc. (Internet)
7,400 Ameren Corp. (Electric)
3,246 American Electric Power Co., Inc. (Electric)
15,109 American Express Co.
(Diversified Financial Services)
27,684 AOL, Inc. (Internet)

Security Description

Market Value
USD

% of
Shareholders
Equity

Common Stocks (continued)


592,485
504,654
338,627
756,696

0.14
0.12
0.08
0.18

2,192,293
111,579
223,039
1,265,151
103,949
241,869

0.53
0.03
0.05
0.31
0.02
0.06

58,464
3,235,724
353,052
4,260,320
931,794
1,222,239

0.01
0.78
0.09
1.03
0.23
0.30

518,734

0.13

119,046

0.03

69,359

0.02

154,262
253,637
2,312,800
204,774
4,857,112

0.04
0.06
0.56
0.05
1.17

384,469
73,401
273,285

0.09
0.02
0.07

1,924,968

0.46

280,282

0.07

344,260
214,952
1,824,504
206,256
252,865
681,715

0.08
0.05
0.44
0.05
0.06
0.16

296,673
773,661

0.07
0.19

1,253,976
3,073,316

0.30
0.74

159,776

0.04

41,149,100

9.94

492,507

0.12

461,375
127,080
250,942
1,744,148
2,128,929
288,970
171,648

0.11
0.03
0.06
0.42
0.51
0.07
0.04

1,377,639
1,010,189

0.33
0.24

United States (continued)


24,506 Apache Corp. (Oil & Gas)
3,889 Apple, Inc. (Computers)
16,534 Archer-Daniels-Midland Co. (Agriculture)
2,431 Assurant, Inc. (Insurance)
43,764 AT&T, Inc. (Telecommunications)
19,263 Baker Hughes, Inc. (Oil & Gas Services)
3,547 Berkshire Hathaway, Inc. "B" (Insurance)
20,764 BioMarin Pharmaceutical, Inc.
(Biotechnology)
8,769 Broadcom Corp. "A" (Semiconductors)
46,550 Brown & Brown, Inc. (Insurance)
7,079 Calpine Corp. (Electric)
3,552 Capital One Financial Corp. (Banks)
10,134 Cardinal Health, Inc. (Pharmaceuticals)
33,062 CarMax, Inc. (Retail)
46,910 Carnival Corp. (Leisure Time)
17,200 CenturyLink, Inc. (Telecommunications)
23,603 Chevron Corp. (Oil & Gas)
88,104 Cisco Systems, Inc. (Telecommunications)
20,573 Citigroup, Inc. (Banks)
26,966 Coach, Inc. (Retail)
47,986 Coca-Cola Co.
(Food, Beverages & Tobacco)
21,104 Colgate-Palmolive Co.
(Cosmetics/Personal Care)
44,395 Comcast Corp. "A" (Media)
7,005 ConAgra Foods, Inc.
(Food, Beverages & Tobacco)
7,825 Consolidated Edison, Inc. (Electric)
20,498 Cooper Tire & Rubber Co.
(Auto Parts & Equipment)
1,931 Costco Wholesale Corp. (Retail)
3,839 CVS Caremark Corp. (Retail)
17,106 Deere & Co. (MachineryDiversified)
7,376 Diamond Offshore Drilling, Inc. (Oil & Gas)
3,532 Dick's Sporting Goods, Inc. (Retail)
4,032 Discover Financial Services
(Diversified Financial Services)
36,285 Dolby Laboratories, Inc. "A"
(Entertainment)
1,840 DTE Energy Co. (Electric)
8,876 Duke Energy Corp. (Electric)
47,535 eBay, Inc. (Internet)
10,244 Edison International (Electric)
28,796 Eli Lilly & Co. (Pharmaceuticals)
3,801 Entergy Corp. (Electric)
21,802 EOG Resources, Inc. (Oil & Gas)
132,644 Exelon Corp. (Electric)
26,929 Exxon Mobil Corp. (Oil & Gas)
10,370 Facebook, Inc. "A" (Internet)
4,276 Family Dollar Stores, Inc. (Retail)
9,708 FedEx Corp. (Transportation)
2,661 Fifth Third Bancorp (Banks)
41,420 First Republic Bank (Banks)
9,725 FirstEnergy Corp. (Electric)
51,112 FLIR Systems, Inc. (Electronics)
5,089 Fluor Corp. (Construction & Engineering)
61,921 Ford Motor Co.
(Automobile Manufacturers)
110,643 General Electric Co.
(Miscellaneous Manufacturing)
22,981 General Motors Co.
(Automobile Manufacturers)
2,405 Google, Inc. "A" (Internet)
2,405 Google, Inc. "C" (Internet)
33,437 Harley-Davidson, Inc. (Leisure Time)
34,548 HealthSouth Corp.
(Healthcare Services)

2,273,422
2,478,187
739,070
165,478
1,548,808
1,357,656
455,186

0.55
0.60
0.18
0.04
0.37
0.33
0.11

1,182,510
279,556
1,410,465
163,737
280,466
715,562
1,487,129
1,866,549
648,784
2,886,411
2,160,310
976,806
1,100,213

0.29
0.07
0.34
0.04
0.07
0.17
0.36
0.45
0.16
0.70
0.52
0.24
0.27

1,951,111

0.47

1,413,546
2,305,432

0.34
0.56

225,071
427,871

0.05
0.10

568,205
222,142
299,135
1,555,449
376,397
157,633

0.14
0.05
0.07
0.38
0.09
0.04

237,848

0.06

1,504,739
138,865
625,847
2,384,831
557,888
1,714,226
285,645
2,304,907
4,845,485
2,706,634
660,569
248,778
1,402,223
55,136
2,116,148
325,885
1,769,497
382,744

0.36
0.03
0.15
0.58
0.13
0.41
0.07
0.56
1.17
0.65
0.16
0.06
0.34
0.01
0.51
0.08
0.43
0.09

1,020,520

0.25

2,946,423

0.71

787,559
1,364,621
1,340,282
2,378,875

0.19
0.33
0.32
0.58

1,209,871

0.29

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

40

Goldman Sachs Funds IIGMS Global Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

Holdings

Common Stocks (continued)


United States (continued)
16,222 Hewlett-Packard Co. (Computers)
4,800 Howard Hughes Corp. /The (Real Estate)
42,515 Intel Corp. (Semiconductors)
3,534 International Business Machines Corp.
(Computers)
844 Intuitive Surgical, Inc. (Healthcare Products)
4,470 Jacobs Engineering Group, Inc.
(Construction & Engineering)
21,948 Johnson & Johnson (Pharmaceuticals)
24,490 JPMorgan Chase & Co. (Banks)
62,760 Juniper Networks, Inc. (Telecommunications)
13,068 KBR, Inc. (Construction & Engineering)
3,559 Kohl's Corp. (Retail)
6,367 Kroger Co. (Food, Beverages & Tobacco)
20,656 Lincoln Electric Holdings, Inc.
(Hand/Machine Tools)
2,615 Lockheed Martin Corp.
(Aerospace & Defence)
13,380 Lorillard, Inc.
(Food, Beverages & Tobacco)
9,640 LyondellBasell Industries NV "A"
(Chemicals)
17,720 M&T Bank Corp. (Banks)
12,503 Marathon Petroleum Corp. (Oil & Gas)
3,440 Markel Corp. (Insurance)
6,251 Martin Marietta Materials, Inc.
(Building Materials)
20,851 MasterCard, Inc. "A"
(Commercial Services)
8,655 McDonald's Corp. (Retail)
31,173 Merck & Co., Inc. (Pharmaceuticals)
7,897 MetLife, Inc. (Insurance)
63,568 Microsoft Corp. (Software)
23,783 Molson Coors Brewing Co. "B"
(Food, Beverages & Tobacco)
29,420 Moody's Corp. (Commercial Services)
43,741 Myriad Genetics, Inc. (Biotechnology)
7,893 NASDAQ OMX Group, Inc.
(Diversified Financial Services)
89,270 New York Community Bancorp, Inc.
(Diversified Financial Services)
28,429 Newmont Mining Corp. (Mining)
2,146 NextEra Energy, Inc. (Electric)
2,656 Northrop Grumman Corp.
(Aerospace & Defence)
3,337 Occidental Petroleum Corp. (Oil & Gas)
79,085 Oracle Corp. (Software)
43,472 PepsiCo, Inc.
(Food, Beverages & Tobacco)
65,465 Pfizer, Inc. (Pharmaceuticals)
12,149 PG&E Corp. (Electric)
26,460 Philip Morris International, Inc.
(Food, Beverages & Tobacco)
3,961 PNC Financial Services Group, Inc.
(Banks)
5,407 PPL Corp. (Electric)
8,681 Praxair, Inc. (Chemicals)
26,724 Procter & Gamble Co.
(Cosmetics/Personal Care)
12,657 Prudential Financial, Inc. (Insurance)
51,234 Public Service Enterprise Group, Inc.
(Electric)
26,126 QUALCOMM, Inc. (Semiconductors)
7,787 Quanta Services, Inc.
(Commercial Services)
70,928 Royal Caribbean Cruises Ltd.
(Leisure Time)
19,800 Seattle Genetics, Inc. (Biotechnology)
7,427 Southern Co. (Electric)
44,760 Stillwater Mining Co. (Mining)

Security Description

Market Value
USD

% of
Shareholders
Equity

Common Stocks (continued)


United States (continued)
18,667 Symantec Corp. (Internet)
12,884 Sysco Corp. (Food, Beverages & Tobacco)
4,161 T-Mobile USA, Inc. (Telecommunications)
28,460 Target Corp. (Retail)
82,169 TD Ameritrade Holding Corp.
(Diversified Financial Services)
10,199 Teradata Corp. (Computers)
67,676 Teradyne, Inc. (Semiconductors)
5,431 Tesla Motors, Inc.
(Automobile Manufacturers)
96,850 TIBCO Software, Inc. (Internet)
34,149 Time Warner, Inc. (Media)
10,209 Torchmark Corp. (Insurance)
7,342 Travelers Cos., Inc. (Insurance)
8,606 TripAdvisor, Inc. (Internet)
9,254 Twitter, Inc. (Internet)
68,709 Ultra Petroleum Corp. (Oil & Gas)
78,600 Unum Group (Insurance)
19,733 US Bancorp (Banks)
42,290 Verizon Communications, Inc.
(Telecommunications)
6,991 Visa, Inc. "A"
(Diversified Financial Services)
62,410 Wal-Mart Stores, Inc. (Retail)
24,590 Walt Disney Co. (Media)
13,118 Waters Corp. (Electronics)
21,067 WellPoint, Inc. (Healthcare Services)
24,841 Wells Fargo & Co. (Banks)
8,399 Xcel Energy, Inc. (Electric)
28,691 Xilinx, Inc. (Semiconductors)

543,924
703,200
1,160,234

0.13
0.17
0.28

412,541
478,769
144,803
1,602,013

0.10
0.12
0.04
0.39

647,712
314,120

0.16
0.08

2,491,364
425,604
1,214,784

0.60
0.10
0.29

245,448
2,210,822
1,367,032
1,569,628
316,246
194,748
300,013

0.06
0.53
0.33
0.38
0.08
0.05
0.07

1,156,260
2,085,180
2,408,870
827,848
689,047
837,020
306,076
1,846,211
2,670,042
833,917

0.28
0.50
0.58
0.20
0.17
0.20
0.07
0.45
0.65
0.20

1,359,784

0.33

424,964

0.10

816,849

0.20

958,120
2,156,347
1,117,768
2,190,214

0.23
0.52
0.27
0.53

2,103,927

0.51

1,496,773
4,759,387
2,073,429
1,312,849
2,281,767
1,253,477
256,337
1,347,616

0.36
1.15
0.50
0.32
0.55
0.30
0.06
0.33

770,186

0.19

1,599,272
872,943
1,799,617
403,221
2,570,690

0.39
0.21
0.44
0.10
0.62

176,449,101

42.64

1,555,527
2,501,877
1,465,761

0.38
0.60
0.35

389,272,655

94.07

297,566

0.07

1,372,080
647,897
207,497

0.33
0.16
0.05

10,860,992

2.63

318,959
331,164
3,312,080

0.08
0.08
0.80

1,701,220
2,170,451
165,381
310,236

0.41
0.52
0.04
0.08

3,814,233
1,935,145
553,387

0.92
0.47
0.13

4,347,288

1.05

TOTAL MUTUAL FUNDS


(cost USD 15,040,601)

2,342,239

0.57

338,309
188,596
1,145,197

0.08
0.05
0.28

TOTAL TRANSFERABLE SECURITIES ADMITTED


TO AN OFFICIAL EXCHANGE LISTING
(cost USD 337,826,715)

15,208,280

3.68

404,480,935

97.75

2,149,411
1,043,570

0.52
0.25

United Kingdom
14,831,254 Rolls-Royce Holding Plc. "C"Preferred(d)

1,976,095
2,088,774

24,835

0.01

0.48
0.50

TOTAL COMMON STOCKS


(cost USD nil)

24,835

0.01

263,278

0.06

TOTAL OTHER TRANSFERABLE SECURITIES


(cost USD nil)

24,835

0.01

3,869,122
674,586
322,629
757,339

0.94
0.16
0.08
0.18

404,505,770

97.76

TOTAL COMMON STOCKS


(cost USD 322,786,114)

Mutual Funds 3.68%


Ireland
10,860,992

Goldman Sachs US$ Liquid Reserves Fund


(X Distribution Class)(b)(c)

United States
64,197 iShares MSCI Australia Index Fund
187,431 iShares MSCI Japan Index Fund
4,705 iShares MSCI Switzerland Capped Index Fund
14,290 iShares MSCI United Kingdom Index Fund

Other Transferable Securities


Common Stocks 0.01%

MARKET VALUE OF INVESTMENTS


EXCLUDING DERIVATIVES
(cost USD 337,826,715)

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

41

Goldman Sachs Funds IIGMS Global Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Futures Contracts 0.03%


Number of
Contracts

Commitment
Market Value
USD

Security Description

Unrealised
Gain
USD

% of
Shareholders
Equity

TOTAL INVESTMENTS

EUR

18

16

DJ Euro STOXX 50
Index Futures
20/06/2014

Long

793,613

47,277

0.01

GBP
FTSE 100
Index Futures
20/06/2014

Long

457,875

18,553

0.00

USD
E-Mini S&P 500
Index Futures
20/06/2014

AUD
AUD
CAD
GBP
HKD
JPY
SGD
USD
USD

1,108,000
631,000
11,562,114
242,439
24,972,384
188,272,398
318,932
1,875,016
11,955,185

Long

1,533,200

60,613

0.02

126,443

0.03

Currency

Amount
Sold

Maturity
Date

Unrealised
Gain
USD

% of
Shareholders'
Equity

HKD
JPY
USD
USD
USD
USD
USD
CHF
EUR

7,917,831
57,931,479
10,480,094
400,000
3,218,319
1,824,015
251,438
1,645,458
8,625,055

18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014

7,215
16,650
174,059
5,918
2,875
25,502
2,872
39,111
207,854

0.00
0.01
0.04
0.00
0.00
0.01
0.00
0.01
0.05

482,056

0.12

UNREALISED GAIN ON FORWARD


CURRENCY CONTRACTS

Currency

AUD
EUR
HKD
HKD
USD
USD
USD
USD
USD

Amount
Bought

Currency

Amount
Sold

Maturity
Date

Unrealised
Loss
USD

% of
Shareholders'
Equity

4,484,000
1,152,211
9,083,577
31,424,077
6,990,665
9,803,984
3,060,197
6,137,119
5,165,087

USD
USD
AUD
CAD
AUD
CAD
GBP
JPY
JPY

4,167,039
1,588,000
1,266,000
4,432,000
7,666,086
10,845,291
1,840,781
627,039,000
526,968,000

18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014
18/06/2014
26/06/2014

(4,615)
(18,688)
(3,514)
(30,561)
(125,638)
(189,637)
(21,842)
(22,675)
(11,906)

(0.00)
(0.00)
(0.00)
(0.01)
(0.03)
(0.05)
(0.01)
(0.01)
(0.00)

UNREALISED LOSS ON FORWARD


CURRENCY CONTRACTS

(429,076)

MARKET VALUE OF INVESTMENTS


(cost USD 337,826,715)

404,685,193

OTHER ASSETS AND LIABILITIES


SHAREHOLDERS' EQUITY

Total Investments excluding derivatives


(cost USD 337,826,715)
Unrealised gain on futures contracts
Unrealised gain on forward currency contracts
Unrealised loss on forward currency contracts
Other Assets and Liabilities

404,505,770
126,443
482,056
(429,076)
9,103,238

97.76
0.03
0.12
(0.11)
2.20

Shareholders' Equity

413,788,431

100.00

The Futures Commission Merchant was Newedge Canada, Inc.

The maximum individual counterparty exposure as at 31 May 2014 is 0.03% of the NAV.

Forward Currency Contracts 0.01%

Currency

% of
Shareholders'
Equity

The counterparties for forward currency contracts were Bank of America NA and State Street
Bank & Trust

UNREALISED GAIN ON FUTURES CONTRACTS

Amount
Bought

Market Value
USD

(a)

Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global


Depositary Receipt).

(b)

A related party to Goldman Sachs Funds II.

(c)

The yield for this fund as at 31 May 2014 was 0.171%.

(d)

This security is valued by the Competent Person. See Note 4.

Allocation of Portfolio as at 31 May 2014

% of
Shareholders'
Equity

Common Stocks
Pharmaceuticals
Food, Beverages & Tobacco
Insurance
Banks
Oil & Gas
Telecommunications
Retail
Media
Internet
Electric
Others

9.01
8.96
7.68
7.62
7.29
4.08
3.53
3.49
3.40
3.30
35.72

TOTAL COMMON STOCKS

94.08

Mutuals Funds

3.68

Unrealised Gain On Futures Contracts

0.03

Unrealised Gain On Forward Currency Contracts

0.12

Unrealised Loss On Forward Currency Contracts

(0.11)

Other Net Assets


T O TA L

2.20
100.00

(0.11)
97.80

9,103,238

2.20

413,788,431

100.00

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

42

Goldman Sachs Funds IIGMS Japan Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

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 98.15%

Distribution/Wholesale
49,000 Mitsubishi Corp.
19,000 Mitsui & Co., Ltd.

Aerospace & Defence


41,000 IHI Corp.

17,625

0.56

Airlines
3,400

18,086

0.58

19,746
52,184
24,332

0.63
1.66
0.78

96,262

3.07

60,569
35,075
45,956
68,386

1.94
1.12
1.47
2.18

Japan Airlines Co., Ltd.

Auto Parts & Equipment


12,600 JTEKT Corp.
37,900 Sumitomo Electric Industries Ltd.
16,000 Sumitomo Rubber Industries Ltd.

Automobile
16,900
79,000
49,800
11,800

Banks
254,700
303,600
22,300
118,000

Manufacturers
Honda Motor Co., Ltd.
Mazda Motor Corp.
Nissan Motor Co., Ltd.
Toyota Motor Corp.

Mitsubishi UFJ Financial Group, Inc.


Mizuho Financial Group, Inc.
Sumitomo Mitsui Financial Group, Inc.
Sumitomo Mitsui Trust Holdings, Inc.

Building Materials
68,000 Asahi Glass Co., Ltd.
4,000 Daikin Industries Ltd.
15,300 LIXIL Group Corp.
23,000 Nice Holdings, Inc.
3,000 Rinnai Corp.

Chemicals
12,000
37,000
79,000
9,900
11,900
18,000
16,000
5,200
1,700
2,100
53,000
72,000
58,000

Air Water, Inc.


Asahi Kasei Corp.
Denki Kagaku Kogyo KK
Hitachi Chemical Co., Ltd.
JSR Corp.
Mitsubishi Gas Chemical Co., Inc.
Nippon Shokubai Co., Ltd.
Nissan Chemical Industries Ltd.
Nitto Denko Corp.
Shin-Etsu Chemical Co., Ltd.
Showa Denko KK
Teijin Ltd.
Ube Industries Ltd.

Computers
65,000 Fujitsu Ltd.
3,200 SCSK Corp.

Construction & Engineering


34,000 Taisei Corp.
Cosmetics/Personal Care
4,100 Kao Corp.

209,986

6.71

146,830
60,458
92,125
48,818

4.69
1.93
2.94
1.56

348,231

11.12

38,644
24,440
40,532
4,316
26,851

1.23
0.78
1.29
0.14
0.86

134,783

4.30

18,981
28,276
29,347
15,700
20,476
10,785
20,565
8,050
8,033
12,787
6,918
16,726
9,741

0.61
0.90
0.94
0.50
0.65
0.34
0.66
0.26
0.26
0.41
0.22
0.53
0.31

206,385

6.59

Market Value
(000) JPY

% of
Shareholders
Equity

98,865
29,433

3.16
0.94

128,298

4.10

47,485
103,302

1.52
3.30

150,787

4.82

16,686

0.53

57,113
53,619

1.83
1.71

110,732

3.54

23,918
37,342

0.77
1.19

61,260

1.96

Entertainment
7,500 Toho Co., Ltd.

16,445

0.53

Food, Beverages & Tobacco


17,000 Ajinomoto Co., Inc.
9,900 Japan Tobacco, Inc.
4,200 Seven & I Holdings Co., Ltd.

27,086
34,252
17,187

0.87
1.09
0.55

78,525

2.51

21,395

0.68

Hand/Machine Tools
6,000 Makita Corp.

33,423

1.07

Healthcare Services
6,100 Miraca Holdings, Inc.

29,323

0.94

Home Builders
21,000 Daiwa House Industry Co., Ltd.

40,172

1.28

Home Furnishings
27,700 Sony Corp.

45,421

1.45

Insurance
31,900

Dai-ichi Life Insurance Co., Ltd.

48,462

1.55

Internet
13,000

Rakuten, Inc.

17,224

0.55

Diversified Financial Services


70,400 Nomura Holdings, Inc.
63,500 ORIX Corp.

Electric
5,500

Electric Power Development Co., Ltd.

Electrical Components & Equipment


83,000 Hitachi Ltd.
9,000 Nidec Corp.

Electronics
600 Keyence Corp.
89,000 Toshiba Corp.

Gas

37,000

Tokyo Gas Co., Ltd.

45,025
8,448

1.44
0.27

53,473

1.71

Investment Companies
13,400 Jafco Co., Ltd.

54,530

1.74

17,894

0.57

Iron/Steel
145,000

41,838

1.34

41,454
36,932

1.32
1.18

78,386

2.50

16,564

Nippon Steel & Sumitomo Metal Corp.

MachineryConstruction & Mining


18,600 Komatsu Ltd.
31,000 Mitsubishi Electric Corp.

0.53

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

43

Goldman Sachs Funds IIGMS Japan Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
(000) JPY

% of
Shareholders
Equity

Holdings

Common Stocks (continued)


MachineryDiversified
17,000 Amada Co., Ltd.
1,200 FANUC Corp.

Mining
27,000

Dowa Holdings Co., Ltd.

Miscellaneous Manufacturing
9,500 FUJIFILM Holdings Corp.

16,490
20,907

0.52
0.67

37,397

1.19

24,453

0.78

25,143

0.80

6,170

0.20

Office/Business Equipment
25,200 Canon, Inc.
20,800 Ricoh Co., Ltd.

84,533
25,985

2.70
0.83

110,518

3.53

JX Holdings, Inc.

70,178

2.24

Pharmaceuticals
24,600 Astellas Pharma, Inc.
11,300 Daiichi Sankyo Co., Ltd.
2,000 Mitsubishi Tanabe Pharma Corp.

32,234
19,568
2,969

1.03
0.63
0.09

54,771

1.75

Real Estate
6,700
5,000
7,600
57,500

Aeon Mall Co., Ltd.


Mitsui Fudosan Co., Ltd.
NTT Urban Development Corp.
Tokyu Fudosan Holdings Corp.

Real Estate Investment Trust


65 Japan Retail Fund Investment Corp.

17,197
16,225
7,807
46,359

0.55
0.52
0.25
1.48

87,588

2.80

Software
12,200
7,400

Capcom Co., Ltd.


Square Enix Holdings Co., Ltd.

21,083
11,797

0.67
0.38

32,880

1.05

81,259
32,079

2.60
1.02

113,338

3.62

18,895

0.60

12,258
66,606

0.39
2.13

78,864

2.52

28,407
48,292
34,680

0.91
1.54
1.11

111,379

3.56

TOTAL COMMON STOCKS


(cost ('000) JPY 2,791,980)

3,072,717

98.15

TOTAL TRANSFERABLE SECURITIES ADMITTED


TO AN OFFICIAL EXCHANGE LISTING
(cost ('000) JPY 2,791,980)

3,072,717

98.15

MARKET VALUE OF INVESTMENTS


(cost ('000) JPY 2,791,980)

3,072,717

98.15

Telecommunications
13,400 Nippon Telegraph & Telephone Corp.
18,900 NTT DoCoMo, Inc.

Textiles
29,000

Toray Industries, Inc.

Toys/Games/Hobbies
5,500 Namco Bandai Holdings, Inc.
5,600 Nintendo Co., Ltd.

Transportation
2,100 Central Japan Railway Co.
6,200 East Japan Railway Co.
115,000 Nippon Yusen KK

OTHER ASSETS AND LIABILITIES


SHAREHOLDERS' EQUITY

14,576

Izumi Co., Ltd.


Marui Group Co., Ltd.
Shimamura Co., Ltd.
Takashimaya Co., Ltd.
Yamada Denki Co., Ltd.

Semiconductors
18,000 Nippon Chemi-Con Corp.
41,800 Sumco Corp.
5,500 Tokyo Electron Ltd.

57,974

1.85

3,130,691

100.00

0.47

Retail

6,400
16,100
2,500
20,000
107,800

% of
Shareholders
Equity

Common Stocks (continued)

Office Furnishings
7,000 Okamura Corp.

Oil & Gas


132,000

Security Description

Market Value
(000) JPY

20,463
15,565
24,672
20,106
40,617

0.65
0.50
0.79
0.64
1.30

121,423

3.88

5,532
33,482
33,934

0.18
1.07
1.08

72,948

2.33

TOTAL INVESTMENTS

Market Value
('000) JPY

% of
Shareholders'
Equity

Total Investments (cost ('000) JPY 2,791,980)


Other Assets and Liabilities

3,072,717
57,974

98.15
1.85

Shareholders' Equity

3,130,691

100.00

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

44

Goldman Sachs Funds IIGMS US Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

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 96.58%

Electrical Components & Equipment


57,290 AMETEK, Inc.
14,380 Energizer Holdings, Inc.

Aerospace & Defence


19,440 B/E Aerospace, Inc.
78,990 United Technologies Corp.

1,846,994
9,151,782

0.40
1.96

10,998,776

2.36

Airlines
64,880

United Continental Holdings, Inc.

2,901,434

0.62

Apparel
78,040

VF Corp.

4,935,250

1.06

Banks
64,935
225,630

Citigroup, Inc.
Popular, Inc.

3,083,114
6,852,383

0.66
1.47

9,935,497

2.13

5,937,657
4,067,990

1.27
0.87

10,005,647

2.14

1,799,613
2,711,839
2,744,478
349,342
5,811,264
1,415,386
2,710,886

0.39
0.58
0.59
0.07
1.25
0.30
0.58

17,542,808

3.76

3,273,452
1,267,200

0.70
0.27

4,540,652

0.97

3,064,111
871,249
932,712
705,640

0.65
0.19
0.20
0.15

5,573,712

1.19

Biotechnology
39,115 Celgene Corp.
61,450 Cubist Pharmaceuticals, Inc.

Chemicals
39,250
30,950
35,810
13,040
47,790
28,410
35,520

Axiall Corp.
Eastman Chemical Co.
FMC Corp.
Huntsman Corp.
Monsanto Co.
Mosaic Co.
Rockwood Holdings, Inc.

Commercial
12,035
32,680
13,200
9,200

Computers
24,239
96,640
23,420
62,860
97,820

CONSOL Energy, Inc.


Peabody Energy Corp.

Services
Alliance Data Systems Corp.
Apollo Education Group, Inc.
Equifax, Inc.
MasterCard, Inc. "A"

Apple, Inc.
EMC Corp.
IHS, Inc. "A"
International Business Machines Corp.
VeriFone Systems, Inc.

Distribution/Wholesale
28,690 Fastenal Co.
Diversified Financial Services
22,420 Ameriprise Financial, Inc.
52,170 Evertec, Inc.
93,365 Franklin Resources, Inc.
11,450 McGraw Hill Financial, Inc.
16,190 Visa, Inc. "A"

15,445,818
2,576,422
2,951,857
11,520,981
3,240,777

3.31
0.55
0.63
2.47
0.70

35,735,855

7.66

1,401,506

0.30

2,529,424
1,249,993
5,150,947
929,397
3,466,279

0.54
0.27
1.11
0.20
0.74

13,326,040

2.86

% of
Shareholders
Equity

3,032,360
1,660,890

0.65
0.36

4,693,250

1.01

461,485
3,488,868

0.10
0.75

3,950,353

0.85

2,460,041
1,924,438
3,312,525
1,256,764
2,793,701
4,997,671
5,540,024

0.53
0.41
0.71
0.27
0.60
1.07
1.19

22,285,164

4.78

1,628,988
1,199,777
7,473,415
2,926,774
699,698
1,145,542

0.35
0.26
1.60
0.63
0.15
0.24

15,074,194

3.23

1,015,459
1,409,905

0.22
0.30

2,425,364

0.52

508,752
475,145
471,096

0.11
0.10
0.10

1,454,993

0.31

Home Furnishings
37,810 Whirlpool Corp.

5,434,431

1.16

Household Products/Wares
99,870 Jarden Corp.

5,652,642

1.21

Insurance
162,205
153,205
86,295
73,365
65,140
216,190

8,752,582
4,642,111
4,483,025
3,746,017
4,060,828
9,010,799

1.88
0.99
0.96
0.80
0.87
1.93

34,695,362

7.43

1,139,278
5,276,379
955,466
3,623,893
4,690,778
4,634,981
441,990
760,874
5,153,342
3,367,309

0.24
1.13
0.21
0.78
1.01
0.99
0.10
0.16
1.10
0.72

30,044,290

6.44

Electronics
13,330 FLIR Systems, Inc.
29,850 Thermo Fisher Scientific, Inc.

Food, Beverages & Tobacco


71,910 B&G Foods, Inc.
47,330 Coca-Cola Co.
34,090 Hershey Co.
16,580 Ingredion, Inc.
74,350 Mondelez International, Inc. "A"
56,960 PepsiCo, Inc.
62,585 Philip Morris International, Inc.

Healthcare Products
45,300 Alere, Inc.
10,210 Becton Dickinson and Co.
573,995 Boston Scientific Corp.
22,780 Cooper Cos, Inc.
1,880 Intuitive Surgical, Inc.
64,940 Volcano Corp.

Healthcare Services
23,360 Catamaran Corp.
20,130 DaVita HealthCare Partners, Inc.

Coal

74,060
76,800

Market Value
USD

Home Builders
21,260 DR Horton, Inc.
11,640 Lennar Corp. "A"
12,960 Toll Brothers, Inc.

Internet
3,670
105,170
8,690
56,890
8,267
8,317
14,290
4,680
4,023
81,850

American International Group, Inc.


Brown & Brown, Inc.
Endurance Specialty Holdings Ltd.
MetLife, Inc.
Navigators Group, Inc.
Willis Group Holdings Plc.

Amazon.com, Inc.
eBay, Inc.
F5 Networks, Inc.
Facebook, Inc. "A"
Google, Inc. "A"
Google, Inc. "C"
HomeAway, Inc.
LinkedIn Corp. "A"
Priceline Group, Inc.
Shutterfly, Inc.

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

45

Goldman Sachs Funds IIGMS US Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

Holdings

Common Stocks (continued)


Leisure Time
19,770 Polaris Industries, Inc.
MachineryConstruction & Mining
25,500 Caterpillar, Inc.
18,650 Joy Global, Inc.

MachineryDiversified
17,100 Xylem, Inc.
Media
29,940
51,130
46,850
11,610
34,790
30,850
26,970
9,010
51,640
114,195
40,670
38,390

Mining
164,790

AMC Networks, Inc. "A"


Comcast Corp. "A"
Liberty Global Plc.Series C
Nexstar Broadcasting Group, Inc. "A"
Sinclair Broadcast Group, Inc. "A"
Starz "A"
Time Warner, Inc.
Tribune Co.
Twenty-First Century Fox, Inc. "A"
Twenty-First Century Fox, Inc. "B"
Viacom, Inc. "B"
Walt Disney Co.

Alcoa, Inc.

Miscellaneous Manufacturing
38,820 Danaher Corp.
41,915 Dover Corp.
50,610 General Electric Co.
21,715 Parker Hannifin Corp.

Oil & Gas


21,710
57,055
40,910
30,770
4,770
63,020
49,490

Apache Corp.
Cimarex Energy Co.
EOG Resources, Inc.
Hess Corp.
Range Resources Corp.
Suncor Energy, Inc.
Tesoro Corp.

Oil & Gas Services


37,540 Baker Hughes, Inc.
37,290 Cameron International Corp.
49,850 Halliburton Co.
44,110 National Oilwell Varco, Inc.
37,380 Weatherford International Ltd.

Pharmaceuticals
12,940 Express Scripts Holding Co.
80,490 GlaxoSmithKline Plc.ADR(a)
20,910 Jazz Pharmaceuticals Plc.
19,040 Johnson & Johnson
13,300 Mead Johnson Nutrition Co.
187,665 Pfizer, Inc.
217,610 Teva Pharmaceutical Industries Ltd.ADR(a)
36,955 Valeant Pharmaceuticals International, Inc.

Security Description

Market Value
USD

% of
Shareholders
Equity

Common Stocks (continued)


2,565,355

0.55

2,607,885
1,069,764

0.56
0.23

3,677,649

0.79

634,068

0.40
0.57
0.43
0.12
0.23
0.20
0.41
0.15
0.39
0.84
0.75
0.69

24,158,905

5.18

2,223,017

0.48

3,033,783
3,649,120
1,347,744
2,694,832

0.65
0.78
0.29
0.58

10,725,479

2.30

2,014,037
7,469,070
4,325,005
2,794,839
436,479
2,413,036
2,791,731

0.43
1.60
0.93
0.60
0.09
0.52
0.60

22,244,197

4.77

2,645,819
2,373,509
3,185,914
3,605,992
809,464

0.57
0.51
0.68
0.77
0.17

12,620,698

2.70

919,710
4,341,631
2,948,101
1,917,899
1,181,173
5,547,377
11,028,475
4,746,870

0.20
0.93
0.63
0.41
0.25
1.19
2.36
1.02

32,631,236

6.99

5,029,589

1.08

Real Estate
74,350 Alexander & Baldwin, Inc.
113,170 CBRE Group, Inc. "A"
37,130 Realogy Holdings Corp.

2,879,576
3,340,778
1,390,704

0.62
0.71
0.30

7,611,058

1.63

182,702
183,515
184,635
179,149
182,310
4,636,526
2,051,035
1,017,988

0.04
0.04
0.04
0.04
0.04
0.99
0.44
0.22

8,617,860

1.85

2,684,865
2,942,755
2,837,159
1,816,150
3,279,549
1,655,160

0.58
0.63
0.61
0.39
0.70
0.35

15,215,638

3.26

Semiconductors
49,200 QUALCOMM, Inc.

3,933,540

0.84

Software
37,110
53,570
39,450
155,325
21,860
29,830
89,810
62,310
34,810
32,220
45,120

1,934,915
2,920,637
1,372,071
6,281,343
945,226
485,931
3,761,243
1,352,127
1,745,025
1,740,202
2,362,483

0.42
0.63
0.29
1.35
0.20
0.10
0.81
0.29
0.37
0.37
0.51

24,901,203

5.34

1,712,295
6,762,493
1,403,458
6,469,212
3,815,327

0.37
1.45
0.30
1.38
0.82

20,162,785

4.32

1,775,773
5,823,799
3,477,890

0.38
1.25
0.74

11,077,462

2.37

450,636,959

96.58

Real Estate
2,410
8,500
6,680
3,100
7,080
321,981
84,370
32,420

0.14

1,855,980
2,655,181
2,022,514
536,034
1,052,050
941,542
1,902,464
711,339
1,830,121
3,932,876
3,481,759
3,237,045

Pharmaceuticals & Biotechnology


23,560 Actavis Plc.

Retail
75,630
36,960
26,650
24,930
60,065
21,490

Investment Trust
Alexandria Real Estate Equities, Inc.
BioMed Realty Trust, Inc.
Corporate Office Properties Trust
Digital Realty Trust, Inc.
DuPont Fabros Technology, Inc.
iStar Financial, Inc.
Starwood Property Trust, Inc.
Weyerhaeuser Co.

Copart, Inc.
Home Depot, Inc.
Signet Jewelers Ltd.
Starbucks Corp.
TJX Cos., Inc.
Yum! Brands, Inc.

Autodesk, Inc.
Cerner Corp.
Electronic Arts, Inc.
Microsoft Corp.
MSCI, Inc.
Nuance Communications, Inc.
Oracle Corp.
Qlik Technologies, Inc.
Red Hat, Inc.
Salesforce.com, Inc.
ServiceNow, Inc.

Telecommunications
91,960 Aruba Networks, Inc.
275,795 Cisco Systems, Inc.
62,210 Fortinet, Inc.
258,665 Juniper Networks, Inc.
76,690 Verizon Communications, Inc.

Transportation
29,730 CH Robinson Worldwide, Inc.
123,255 HUB Group, Inc. "A"
34,520 Norfolk Southern Corp.

TOTAL COMMON STOCKS


(cost USD 387,170,585)

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

46

Goldman Sachs Funds IIGMS US Equity Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Market Value
USD

% of
Shareholders
Equity

TOTAL INVESTMENTS

Mutual Funds 3.18%


United States Dollar
14,845,498 Goldman Sachs US$ Liquid Reserves Fund
(X Distribution Class)(b)(c)

14,845,498

3.18

TOTAL MUTUAL FUNDS


(cost USD 14,845,498)

14,845,498

3.18

TOTAL TRANSFERABLE SECURITIES ADMITTED


TO AN OFFICIAL EXCHANGE LISTING
(cost USD 402,016,083)

465,482,457

99.76

MARKET VALUE OF INVESTMENTS


(cost USD 402,016,083)

465,482,457

99.76

OTHER ASSETS AND LIABILITIES


SHAREHOLDERS' EQUITY

1,142,799

0.24

466,625,256

100.00

Market Value
USD

% of
Shareholders'
Equity

Total Investments (cost USD 402,016,083)


Other Assets and Liabilities

465,482,457
1,142,799

99.76
0.24

Shareholders' Equity

466,625,256

100.00

(a)

Security holding is traded/held in USD. (ADR: American Depositary Receipt/GDR: Global


Depositary Receipt).

(b)

A related party to Goldman Sachs Funds II.

(c)

The yield for this fund as at 31 May 2014 was 0.171%.

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

47

Goldman Sachs Funds IIDynamic Alternative Strategies Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Share Class Specific Forward Currency Contracts 1.62%

Holdings

Security Description

Market Value
EUR

% of
Shareholders
Equity

Currency

EUR
GBP
USD
EUR
GBP
USD
CHF
USD

Transferable securities admitted to an official exchange listing


Mutual Funds 98.73%
Ireland
150,033

25,000
146,735
1,849,432
13,480,787
100,529
75,173

ABD Managers Plc. TDM UCITS Fund


(B1 Accumulation Class)
ABD Managers Plc. TDM UCITS Fund
(B2 Accumulation Class)
Adelphi Investment Funds Plc.
Adelphi European Select Equity Fund
GAM Star Fund Plc. Global Rates
Goldman Sachs Euro Liquid Reserves Fund
(X Distribution Class)(a)(b)
Lyxor Dimension IRL Plc.
Canyon Credit Strategy Fund
Lyxor/WNT Fund

Luxembourg
78,983 Brevan Howard Invest Fund
Emerging Markets Local Fixed Income Fund
153,172 Merrill Lynch Investment Solutions
Marshall Wace Tops UCITS Fund
219,656 Merrill Lynch Investment Solutions
Och-Ziff European Multi-Strategy UCITS Fund
124,900 Merrill Lynch Investment Solutions
York Event Driven UCITS Fund
(B Accumulation Class)
65,355 Merrill Lynch Investment Solutions
York Event Driven UCITS Fund
(E Accumulation Class)
139,154 Schroder GAIA Egerton Equity

TOTAL MUTUAL FUNDS


(cost EUR 173,247,848)

14,289,147

7.39

2,468,500

1.28

20,560,092
22,229,439

10.63
11.49

13,480,787

6.97
5.82
4.06

92,140,712

47.64

Currency

Amount
Sold

Maturity
Date

Unrealised
Gain
EUR

% of
Shareholders'
Equity

487,793
62,319,438
56,834,886
78,523,574
63,863,544
50,551,745
594,493
49,973,287

CHF
EUR
EUR
GBP
EUR
EUR
EUR
EUR

594,493
74,184,331
40,905,273
63,863,544
77,479,172
36,552,840
486,810
36,487,292

25/06/2014
25/06/2014
25/06/2014
25/07/2014
25/07/2014
25/07/2014
22/08/2014
22/08/2014

1,177
2,395,479
884,832
63,657
980,745
617,557
87
256,538

0.00
1.24
0.46
0.03
0.51
0.32
0.00
0.13

5,200,072

2.69

UNREALISED GAIN ON FORWARD CURRENCY


CONTRACTS HELD FOR HEDGING PURPOSES

Currency

11,263,180
7,849,567

Amount
Bought

Amount
Bought

Currency

Amount
Sold

Maturity
Date

Unrealised
Loss
EUR

% of
Shareholders'
Equity

594,493
75,602,860
41,065,501
594,493
486,671
36,905,714
62,193,307

EUR
GBP
USD
EUR
CHF
USD
EUR

489,136
62,319,438
56,834,886
487,981
594,493
50,551,745
76,490,818

25/06/2014
25/06/2014
25/06/2014
25/07/2014
25/07/2014
25/07/2014
22/08/2014

(2,520)
(976,950)
(724,603)
(1,214)
(96)
(264,682)
(102,419)

(0.00)
(0.51)
(0.37)
(0.00)
(0.00)
(0.14)
(0.05)

8,212,404

4.25

CHF
EUR
EUR
CHF
EUR
EUR
GBP

18,143,206

9.38

UNREALISED LOSS ON FORWARD CURRENCY


CONTRACTS HELD FOR HEDGING PURPOSES

24,065,537

12.44

18,615,022

MARKET VALUE OF INVESTMENTS


(cost EUR 173,247,848)
OTHER ASSETS AND LIABILITIES

9.62

SHAREHOLDERS' EQUITY (c)


8,690,227
21,106,832

4.49
10.91

98,833,228

51.09

190,973,940

98.73

TOTAL TRANSFERABLE SECURITIES ADMITTED


TO AN OFFICIAL EXCHANGE LISTING
(cost EUR 173,247,848)

190,973,940

98.73

MARKET VALUE OF INVESTMENTS


EXCLUDING DERIVATIVES
(cost EUR 173,247,848)

190,973,940

98.73

TOTAL INVESTMENTS

Total Investments excluding derivatives


(cost EUR 173,247,848)
Unrealised gain on forward currency contracts
held for hedging purposes
Unrealised loss on forward currency contracts
held for hedging purposes
Other Assets and Liabilities
Shareholders' Equity(c)

(2,072,484)
194,101,528

(1.07)
100.35

(668,633)
193,432,895

Market Value
EUR

(0.35)
100.00
% of
Shareholders'
Equity

190,973,940

98.73

5,200,072

2.69

(2,072,484)
(668,633)

(1.07)
(0.35)

193,432,895

100.00

The counterparties for forward currency contracts were Barclays Bank Plc., Deutsche Bank AG
London and Morgan Stanley and Co.
The maximum individual counterparty exposure as at 31 May 2014 is 1.24% of the NAV.
(a)

A related party to Goldman Sachs Funds II.

(b)

The yield for this fund as at 31 May 2014 was 0.263%.

(c)

Market Value and Shareholders' Equity is stated as at 28 May 2014, the last tradable date in
the period.

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

48

Goldman Sachs Funds IITactical Tilt Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Currency

(a)

Coupon Rate

Maturity Date

(b)

Market Value
USD

% of
Shareholders
Equity

Transferable securities admitted to an official exchange listing


Mutual Funds 58.37%
Ireland
291,861,509 Goldman Sachs Funds Plc. US Treasury Liquid Reserves Fund (X Distribution Class)(c)(d)

291,861,509

15.02

Luxembourg
14,607,802 Goldman Sachs Funds Global High Yield Portfolio (IO Accumulation (Duration-Hedged) Class)(c)
21,285,719 Goldman Sachs Funds Global High Yield Portfolio (IO Distribution Class)(c)

154,988,775
195,828,615

7.98
10.08

350,817,390

18.06

108,008,201
66,091,779
69,250,796
248,032,826

5.56
3.40
3.56
12.77

491,383,602

25.29

TOTAL MUTUAL FUNDS


(cost USD 1,067,199,847)

1,134,062,501

58.37

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING


(cost USD 1,067,199,847)

1,134,062,501

58.37

United States
4,845,590
2,069,896
1,808,587
6,558,245

Financial Select Sector SPDR Fund


SPDR S&P Bank ETF
SPDR S&P Regional Banking ETF
Technology Select Sector SPDR Fund

Transferable securities dealt in another regulated market


Government Bonds 2.53%
United States
49,084,000 United States Treasury Note/Bond

49,155,908

2.53

TOTAL GOVERNMENT BONDS


(cost USD 49,069,875)

USD

0.250%

15/05/2015

49,155,908

2.53

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET


(cost USD 49,069,875)

49,155,908

2.53

212,102,748

10.91

212,102,748

10.91

80,923,836
287,448,044

4.17
14.79

368,371,880

18.96

59,194,625

3.05

639,669,253

32.92

1,822,887,662

93.82

Time Deposits 32.92%


Netherlands
212,102,748 Rabobank Nederland USD Time Deposit

United Kingdom
80,923,836 Barclays Bank Plc. USD Time Deposit
287,448,044 BNP Paribas SA USD Time Deposit

United States
59,194,625 Northern Trust Company USD Time Deposit

USD

USD
USD

USD

0.000%

0.050%
0.030%

0.050%

06/02/2014

02/06/2014
02/06/2014

02/06/2014

TOTAL TIME DEPOSITS


(cost USD 639,669,253)
MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES
(cost USD 1,755,938,975)

Futures Contracts 0.04%


Number of
Contracts

2,674
1,673

Security Description

EUR
DJ Euro STOXX 50 Index Futures 20/06/2014
IBEX 35 Index Futures 20/06/2014

Long
Long

UNREALISED GAIN ON FUTURES CONTRACTS

Commitment
Market Value
USD

Unrealised
Gain
USD

% of
Shareholders'
Equity

118,004,813
245,362,487

8,324,042
4,054,671

0.43
0.21

363,367,300

12,378,713

0.64

12,378,713

0.64

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

49

Goldman Sachs Funds IITactical Tilt Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Futures Contracts (continued)


Number of
Contracts

(3,823)

Commitment
Market Value
USD

Security Description

USD
E-Mini S&P 500 Index Futures 20/06/2014

Short

(367,294,725)

UNREALISED LOSS ON FUTURES CONTRACTS

Unrealised
Loss
USD

% of
Shareholders'
Equity

(11,741,770)

(0.60)

(11,741,770)

(0.60)

Share Class Specific Forward Currency Contracts (0.39%)

Currency

GBP
USD

Amount
Bought

186,448,280
2,283

Currency

USD
CHF

Amount
Sold

Maturity
Date

Unrealised
Gain
USD

% of
Shareholders'
Equity

310,267,097
2,000

18/06/2014
18/06/2014

1,905,219
51

0.10
0.00

1,905,270

0.10

Unrealised
Loss
USD

% of
Shareholders'
Equity

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES

Currency

CHF
EUR
USD

Amount
Bought

8,862,114
367,196,916
43,265,961

Currency

USD
USD
GBP

Amount
Sold

Maturity
Date

10,097,763
509,105,561
25,995,000

18/06/2014
18/06/2014
18/06/2014

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES

(209,935)
(8,983,064)
(257,740)

(0.01)
(0.46)
(0.02)

(9,450,739)

(0.49)

Purchased Options 0.21%

Holdings

Unrealised
Gain/Loss
USD

Security Description

Market Value
USD

% of
Shareholders
Equity

Purchased Options
AUD
144,130,000 AUD PUT / USD CALL
USD
1,519,390 Put iShares MSCI Emerging Markets ETF
154,707 Put S&P 500 Index

Expires 20/11/2014

Strike 0.90

(820,204)

1,873,585

0.09

Expires 19/09/2014
Expires 18/07/2014

Strike 40.50
Strike 1,793.63

(1,438,223)
(981,915)

1,615,750
872,868

0.08
0.05

(2,420,138)

2,488,618

0.13

4,362,203

0.22

(208,704)

(0.01)

(208,704)

(0.01)

TOTAL PURCHASED OPTIONS


(cost USD 7,602,545)
Written Options
USD
(1,519,390) Put iShares MSCI Emerging Markets ETF

Expires 20/06/2014

Strike 40.50

1,341,074

TOTAL WRITTEN OPTIONS


(cost USD (1,549,778))

Swap Contracts 0.21%


Net Local
Notional
Amount

349,519,500

Pay

Receive

Credit Default Swaps


Floating (CDX.NA.HY.22-V1 Index)

Fixed 5.000%

Currency

Maturity Date

USD

20/06/2019

Unrealised
Gain
USD

% of
Shareholders'
Equity

4,093,317

0.21

UNREALISED GAIN ON CREDIT DEFAULT SWAPS

4,093,317

0.21

TOTAL UNREALISED GAIN ON SWAP CONTRACTS

4,093,317

0.21

1,824,225,952

93.89

MARKET VALUE OF INVESTMENTS


(cost USD 1,761,991,742)
OTHER ASSETS AND LIABILITIES
SHAREHOLDERS' EQUITY

118,722,466

6.11

1,942,948,418

100.00

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

50

Goldman Sachs Funds IITactical Tilt Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Market Value
USD

TOTAL INVESTMENTS

Total Investments excluding derivatives (cost USD 1,755,938,975)


Unrealised gain on futures contracts
Unrealised loss on futures contracts
Unrealised gain on forward currency contracts held for hedging purposes
Unrealised loss on forward currency contracts held for hedging purposes
Market value of purchased options (cost USD 7,602,545)
Market value of written options (cost USD 1,549,778))
Unrealised gain on swap contracts
Other Assets and Liabilities

1,822,887,662
12,378,713
(11,741,770)
1,905,270
(9,450,739)
4,362,203
(208,704)
4,093,317
118,722,466

Shareholders' Equity

1,942,948,418

% of
Shareholders'
Equity

93.82
0.64
(0.60)
0.10
(0.49)
0.22
(0.01)
0.21
6.11
100.00

Rates disclosed for Government Bonds and Time Deposits are those that were in effect at 31 May 2014.
The Futures Commission Merchant was Morgan Stanley and Co.
The counterparties for forward currency contracts were Banc of America Securities, Deutsche Bank AG London, and Morgan Stanley and Co., Inc.
The counterparty for swap contracts was Credit Suisse Debt Capital Markets.
The counterparties for options were Barclays Bank Plc., Morgan Stanley Capital Services, Inc. and UBS AG.
The maximum individual counterparty exposure as at 31 May 2014 was 0.21% 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)

A related party to Goldman Sachs Funds II.

(d)

The yield for this fund as at 31 May 2014 was 0.047%.

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

51

Goldman Sachs Funds IIEurope High Income Bond Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Currency

(a)

Coupon Rate

Maturity Date

(b)

Market Value
EUR

% of
Shareholders
Equity

Transferable securities admitted to an official exchange listing(a)(b)


Corporate Bonds 81.60%
Australia
1,450,000 Telstra Corp., Ltd.

EUR

4.750%

21/03/2017

1,610,996

1.70

Denmark
1,500,000 TDC A/S

EUR

4.375%

23/02/2018

1,682,303

1.78

EUR
EUR
EUR
EUR
EUR
EUR
EUR

8.500%
1.875%
5.000%
4.125%
2.750%
5.000%
4.125%

15/01/2016
19/12/2017
05/02/2018
27/03/2017
18/10/2017
15/03/2017
18/07/2017

3,418,773
310,308
1,612,932
1,630,000
1,651,136
1,665,030
1,324,173

3.62
0.33
1.70
1.72
1.75
1.76
1.40

11,612,352

12.28

France

3,100,000
300,000
1,400,000
1,500,000
1,550,000
1,500,000
1,200,000

Alcatel-Lucent
Carrefour S.A.
Electricite de France
Eutelsat S.A.
GDF Suez
Pernod Ricard S.A.
Vivendi S.A.

Ireland

2,200,000 Ardagh Packaging Finance Plc.

EUR

7.375%

15/10/2017

2,310,660

2.44

1,200,000 Terna Rete Elettrica Nazionale SpA

EUR

4.125%

17/02/2017

1,301,858

1.38

1,200,000 Heathrow Funding Ltd.

EUR

4.375%

25/01/2017

1,309,404

1.39

EUR
EUR
EUR

4.625%
8.000%
7.000%

03/04/2018
31/01/2017
31/12/2017

1,786,943
1,855,019
2,315,456

1.89
1.96
2.45

5,957,418

6.30

1,611,929
1,625,964
2,622,414
1,661,279

1.71
1.72
2.77
1.76

7,521,586

7.96

3,163,590
3,230,940

3.34
3.42

6,394,530

6.76

3,243,930
1,659,427
3,121,170
2,165,080
1,619,712

3.43
1.76
3.30
2.29
1.71

11,809,319

12.49

Italy
Jersey
Luxembourg
1,600,000 Glencore Finance Europe S.A.
1,600,000 HeidelbergCement Finance Luxembourg S.A.
2,200,000 Sunrise Communications International S.A.

Netherlands
1,400,000
1,400,000
2,300,000
1,500,000

E.ON International Finance BV


RWE Finance BV
Schaeffler Finance BV
TenneT Holding BV

Norway
3,000,000 DNB Boligkreditt AS
3,000,000 SpareBank 1 Boligkreditt AS

Sweden
3,000,000
1,500,000
3,000,000
2,000,000
1,400,000

Nordea Hypotek AB
SKF AB
Stadshypotek AB
Swedbank Hypotek AB
Vattenfall AB

EUR
EUR
EUR
EUR

EUR
EUR

EUR
EUR
EUR
EUR
EUR

5.500%
5.125%
7.750%
3.875%

2.375%
3.250%

3.500%
3.875%
1.875%
3.375%
5.000%

02/10/2017
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

Switzerland
1,200,000 UBS AG

EUR

2.250%

10/01/2017

1,256,436

1.33

United Kingdom
3,000,000
350,000
1,200,000
1,400,000
1,600,000
1,500,000
1,500,000
2,000,000
1,450,000
200,000
1,550,000
1,400,000

EUR
EUR
EUR
EUR
EUR
EUR
EUR
USD
EUR
USD
EUR
EUR

3.625%
1.750%
4.625%
5.375%
3.000%
3.830%
4.500%
7.375%
5.000%
2.550%
3.375%
5.000%

05/10/2017
15/01/2018
08/06/2017
29/06/2017
16/11/2018
06/10/2017
05/07/2018
01/12/2017
02/07/2018
18/09/2015
02/11/2018
04/06/2018

3,300,330
358,202
1,347,972
1,587,428
1,732,280
1,647,731
1,695,449
1,532,952
1,676,130
149,926
1,692,545
1,622,838

3.49
0.38
1.43
1.68
1.83
1.74
1.80
1.62
1.77
0.16
1.79
1.72

18,343,783

19.41

Abbey National Treasury Services Plc.


Abbey National Treasury Services Plc.
Bank of Scotland Plc.
BAT International Finance Plc.
BG Energy Capital Plc.
BP Capital Markets Plc.
Imperial Tobacco Finance Plc.
Inmarsat Finance Plc. 144A(c)
National Grid Plc.
Royal Bank of Scotland Group Plc.
Tesco Plc.
Vodafone Group Plc.

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

52

Goldman Sachs Funds IIEurope High Income Bond Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Holdings

Security Description

Currency

(a)

Coupon Rate

% of
Shareholders
Equity

(b)

Market Value
EUR

15/05/2017
15/05/2017
01/10/2018
15/08/2017

1,267,849
1,985,678
1,310,524
1,463,418

1.34
2.10
1.39
1.55

6,027,469

6.38

77,138,114

81.60

706,686

0.75

706,686

0.75

77,844,800

82.35

Maturity Date

Corporate Bonds (continued)


United States
1,500,000
2,550,000
1,500,000
1,700,000

Constellation Brands, Inc.


DR Horton, Inc.
HCA, Inc.
Sprint Communications, Inc.

USD
USD
USD
USD

7.250%
4.750%
8.000%
8.375%

TOTAL CORPORATE BONDS


(cost EUR 73,284,484)

Mutual Funds 0.75%


Ireland

706,686 Goldman Sachs Euro Liquid Reserves Fund (X Distribution Class)(d)(e)


TOTAL MUTUAL FUNDS
(cost EUR 706,686)
TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING
(cost EUR 73,991,170)

Transferable securities dealt in another regulated market


Corporate Bonds 3.94%
Bermuda
1,600,000 Digicel Ltd. 144A(c)

USD

8.250%

01/09/2017

1,214,345

1.29

United States
1,600,000 CCO Holdings LLC
1,500,000 Windstream Corp.

USD
USD

7.250%
7.875%

30/10/2017
01/11/2017

1,242,244
1,266,473

1.31
1.34

2,508,717

2.65

3,723,062

3.94

TOTAL CORPORATE BONDS


(cost EUR 3,740,840)

Non-Agencies Asset Backed Obligations 13.65%


United States
969,644
1,256,103
1,200,909
1,064,513
775,823
916,435
1,140,040
616,197
879,681
882,218
860,621
250,598
904,880
950,614
1,443,376
681,646
985,666
280,394
1,579,563
397,007
915,269

American Home Mortgage Assets Trust "1A1"(f)


American Home Mortgage Assets Trust "A1"(f)
Bear Stearns Mortgage Funding Trust "1A1A"(f)
Bear Stearns Mortgage Funding Trust ''2A1''(f)
Countrywide Alternative Loan Trust "A1"(f)
Countrywide Alternative Loan Trust ''A2''(f)
Deutsche Alt-A Securities Mortgage Loan Trust "A1"(f)
First Horizon Alternative Mortgage Securities Trust "A9"
IndyMac INDA Mortgage Loan Trust "1A1"(f)
IndyMac INDX Mortgage Loan Trust "A3A"(f)
JP Morgan Alternative Loan Trust "2A1"(f)
JP Morgan Mortgage Trust ''1A1''(f)
RALI Trust "A1"(f)
RALI Trust "A1"(f)
Sequoia Mortgage Trust "2A1"(f)
Structured Adjustable Rate Mortgage Loan Trust "6A1"(f)
Structured Asset Mortgage Investments II Trust "A1A"(f)
WaMu Mortgage Pass-Through Certificates Trust "1A"(f)
WaMu Mortgage Pass-Through Certificates Trust "1A"(f)
WaMu Mortgage Pass-Through Certificates Trust "2A"(f)
Washington Mutual Mortgage
Pass-Through Certificates Trust "1A10"(f)
1,355,752 Washington Mutual Mortgage
Pass-Through Certificates Trust "A1A"(f)
1,480,678 Washington Mutual Mortgage
Pass-Through Certificates Trust "A1A"(f)

USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD

1.094%
0.275%
0.320%
0.370%
1.624%
0.340%
0.300%
6.000%
2.796%
0.380%
2.550%
2.776%
0.310%
0.310%
2.433%
2.493%
0.360%
1.084%
1.004%
1.104%

25/10/2046
25/03/2047
25/06/2047
25/08/2036
25/09/2035
25/10/2046
25/03/2037
25/07/2036
25/11/2037
25/07/2046
25/03/2036
25/07/2035
25/02/2037
25/03/2047
20/02/2047
25/09/2035
25/08/2036
25/09/2046
25/10/2046
25/07/2046

570,664
728,304
720,284
590,642
522,335
572,673
507,310
388,850
621,897
500,686
467,732
183,184
571,871
558,896
919,314
448,630
568,823
179,538
956,397
248,574

0.60
0.77
0.76
0.63
0.55
0.61
0.54
0.41
0.66
0.53
0.49
0.19
0.61
0.59
0.97
0.47
0.60
0.19
1.01
0.26

USD

0.750%

25/03/2036

479,649

0.51

USD

0.400%

25/02/2036

752,208

0.80

USD

0.884%

25/04/2047

846,931

0.90

12,905,392

13.65

TOTAL NON-AGENCIES ASSET BACKED OBLIGATIONS


(cost EUR 10,619,755)

12,905,392

13.65

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET


(cost EUR 14,360,595)

16,628,454

17.59

MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES


(cost EUR 88,351,765)

94,473,254

99.94

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

53

Goldman Sachs Funds IIEurope High Income Bond Portfolio


Schedule of Investments (Unaudited)
As at 31 May 2014

Forward Currency Contracts (0.46%)

Currency

USD

Amount
Bought

2,978,375

Currency

EUR

Amount
Sold

Maturity
Date

Unrealised
Gain
EUR

% of
Shareholders'
Equity

2,182,049

17/06/2014

4,710

0.01

4,710

0.01

Unrealised
Loss
EUR

% of
Shareholders'
Equity

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS

Currency

EUR

Amount
Bought

26,269,167

Currency

USD

Amount
Sold

Maturity
Date

36,381,619

17/06/2014

(442,660)

(0.47)

(442,660)

(0.47)

94,035,304

99.48

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS


MARKET VALUE OF INVESTMENTS
(cost EUR 88,351,765)
OTHER ASSETS AND LIABILITIES
SHAREHOLDERS' EQUITY

490,456

0.52

94,525,760

100.00

Market Value
EUR

TOTAL INVESTMENTS

Total Investments excluding derivatives (cost EUR 88,351,765)


Unrealised gain on forward currency contracts
Unrealised loss on forward currency contracts
Other Assets and Liabilities

94,473,254
4,710
(442,660)
490,456

Shareholders' Equity

94,525,760

% of
Shareholders'
Equity

99.94
0.01
(0.47)
0.52
100.00

Rates disclosed for Corporate Bonds and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2014.
The counterparties for forward currency contracts were HSBC Bank Plc., JP Morgan Chase Bank NA, UBS AG London and Westpac Banking Corp.
(a)

Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current
reset rate which is based upon interest rates indices.

(b)

Maturity dates represent either the stated date on the security, or the next interest reset date for floating rate securities or the prerefunded date for those type of securities.

(c)

144A: This security is issued to qualified institutional investors, pursuant to private placements, and is transferable as stated in rule 144A of the US Securities Act of 1933.

(d)

A related party to Goldman Sachs Funds II.

(e)

The yield for this fund as at 31 May 2014 was 0.263%.

(f)

Variable and floating coupon rates are those quoted as of 31 May 2014.

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

54

Goldman Sachs Funds II


Appendix IAdvisory Fee Rates, Expense Caps
and Total Net Expense Ratios (Unaudited)
As at 31 May 2014

Inception
Date

Investment
Advisory Fee
Rate

Expense
Cap(b)

Total Net
Expense Ratio(a)

USD
USD
USD
USD

30 April 2008
30 April 2008
13 December 2012
13 December 2012

0.40%
0.40%
0.40%
0.40%

0.08%
0.08%
0.10%
0.10%

USD
USD
USD
USD
USD
USD

31 January 2012
31 January 2012
13 December 2012
13 December 2012
08 January 2013
12 December 2013

0.70%
0.70%

0.30%

1.20%
1.20%
0.50%
0.50%
0.46%
0.76%

1.74%
1.74%
1.06%
1.06%
0.97%
1.30%

EUR
EUR
EUR
EUR
EUR

18 December 2009
18 December 2009
13 December 2012
13 December 2012
12 December 2013

0.70%
0.70%

0.30%

1.00%
1.00%
0.30%
0.30%
0.56%

1.42%
1.42%
0.73%
0.73%
0.97%

EUR
USD
USD
USD
USD
USD
USD

08 December 2008
07 March 2008
07 March 2008
14 November 2012
13 December 2012
13 December 2012
16 January 2013

0.70%
0.70%
0.70%
0.30%

1.00%
1.00%
1.00%
0.56%
0.30%
0.30%
0.26%

1.42%
1.41%
1.42%
0.95%
0.72%
0.69%
0.65%

JPY
JPY
JPY
JPY

28 May 2009
28 May 2009
13 December 2012
13 December 2012

0.70%
0.70%

1.05%
1.05%
0.35%
0.35%

1.64%
1.63%
0.93%
0.92%

USD
USD
USD
USD
USD

16 May 2008
16 May 2008
13 December 2012
13 December 2012
12 December 2013

0.70%
0.70%

0.30%

1.00%
1.00%
0.30%
0.30%
0.56%

1.41%
1.41%
0.71%
0.72%
0.94%

EUR
EUR
CHF
USD
GBP
EUR
USD
EUR
GBP
USD
EUR
EUR
GBP
USD
USD

24 March 2010
24 March 2010
02 March 2011
05 May 2011
24 March 2010
24 March 2010
24 March 2010
24 March 2010
24 March 2010
31 March 2010
12 December 2012
12 December 2012
12 December 2012
06 March 2013
24 April 2013

1.50%
1.50%
1.50%
1.50%
1.50%
1.25%
1.25%
1.25%
1.25%
1.25%
0.75%
0.75%
0.75%

0.75%

1.90%
1.90%
1.90%
1.90%
1.90%
1.65%
1.65%
1.65%
1.65%
1.65%
1.15%
1.15%
1.15%
0.36%
1.15%

1.86%
1.86%
1.90%
1.98%
1.89%
1.69%
1.75%
1.71%
1.73%
1.78%
1.24%
1.27%
1.23%
0.21%
1.25%

USD
USD
GBP
CHF
EUR
GBP
USD
USD
EUR
GBP
USD

30 December 2011
15 December 2011
31 January 2012
15 November 2011
31 October 2011
31 October 2011
31 October 2011
31 October 2011
31 October 2011
31 October 2011
17 December 2012

0.75%

0.75%
0.75%
0.75%
0.75%
0.75%
0.75%
0.75%
0.25%

0.96%
0.21%
0.21%
1.05%
1.05%
1.05%
1.05%
1.05%
1.05%
1.05%
0.55%

0.82%
0.07%
0.07%
0.90%
0.89%
0.88%
0.89%
0.89%
0.89%
0.89%
0.39%

Currency

Equity Portfolios
Global Manager Strategies Portfolios
GMS Asia (ex-Japan) Equity Portfolio(c)
P Accumulation Share Class(c)
P Share Class(c)
R Accumulation Share Class(c)
R Share Class(c)
GMS Emerging Markets Equity Portfolio
P Accumulation Share Class
P Share Class
R Share Class
R Accumulation Share Class
IO Accumulation Share Class
I Accumulation Share Class(c)
GMS Europe Equity Portfolio
P Accumulation Share Class
P Share Class
R Share Class
R Accumulation Share Class
I Accumulation Share Class(c)
GMS Global Equity Portfolio
P Accumulation Share Class
P Accumulation Share Class
P Share Class
I Accumulation Share Class
R Share Class
R Accumulation Share Class
IO Accumulation Share Class
GMS Japan Equity Portfolio
P Accumulation Share Class
P Share Class
R Share Class
R Accumulation Share Class
GMS US Equity Portfolio
P Accumulation Share Class
P Share Class
R Share Class
R Accumulation Share Class
I Accumulation Share Class(c)

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)
R Share Class (Weekly)
R Accumulation Share Class (Weekly)
R Share Class (GBP Hedged Class) (Weekly)
IO Accumulation Share Class (USD Hedged Class) (Weekly)
R Share Class (USD Hedged Class) (Weekly)

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)
R Share Class

55

Goldman Sachs Funds II


Appendix IAdvisory Fee Rates, Expense Caps
and Total Net Expense Ratios (Unaudited)
As at 31 May 2014 (continued)

Inception
Date

Investment
Advisory Fee
Rate

Expense
Cap(b)

Total Net
Expense Ratio(a)

USD
EUR
EUR
GBP
GBP
CHF

17 December 2012
15 January 2013
15 January 2013
15 January 2013
15 January 2013
15 January 2013

0.25%
0.25%
0.25%
0.25%
0.25%
0.25%

0.55%
0.55%
0.55%
0.55%
0.55%
0.55%

0.39%
0.39%
0.39%
0.39%
0.38%
0.39%

EUR

26 March 2012

0.55%

0.85%

0.81%

Currency

R Accumulation Share Class


R Share Class (EUR Hedged Class)
R Accumulation Share Class (EUR Hedged Class)
R Share Class (GBP Hedged Class)
R Accumulation Share Class (GBP Hedged Class)
R Accumulation Share Class (CHF Hedged Class)

Fixed Income Portfolios


Europe High Income Bond Portfolio
Base Currency (S-Dis) Share Class
(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 2013 to 31 May 2014. TERs are annualised for Portfolios operating less than one year.
* CU = Currency units in the Portfolio s base currency.
(b) The expense cap does not include the GSAMI fee portion paid to external Sub-Investment Advisors.
(c) Refer to Appendix II.
The above expense ratios are an average throughout the period to 31 May 2014. The above Expense Caps represent the expense cap levels at the period ended 31 May 2014.

56

Goldman Sachs Funds II


Appendix IIPortfolio and Share Class Launches,
Closures and Mergers (Unaudited)
As at 31 May 2014
During the period, the following Portfolio was closed:
Portfolio

Currency

Closing Date

Equity Portfolios
Global Manager Strategies Portfolios

GMS Asia (ex-Japan) Equity Portfolio

USD

19 December 2013

During the period, the following share classes were launched:

Portfolios

Classes

Currency

Launch Date

Equity Portfolios
Global Manager Strategies Portfolios

GMS Emerging Markets Equity Portfolio

I Accumulation Share Class

USD

12 December 2013

GMS Europe Equity Portfolio

I Accumulation Share Class

EUR

12 December 2013

GMS US Equity Portfolio

I Accumulation Share Class

USD

12 December 2013

During the period, the following share classes were closed:

Portfolios

Classes

Currency

Closing Date

Equity Portfolios
Global Manager Strategies Portfolios

GMS Asia (ex-Japan) Equity Portfolio

P Accumulation Share Class

GMS Asia (ex-Japan) Equity Portfolio

P Share Class

USD

19 December 2013

GMS Asia (ex-Japan) Equity Portfolio

R Accumulation Share Class

USD

19 December 2013

GMS Asia (ex-Japan) Equity Portfolio

R Share Class

USD

19 December 2013

57

USD

19 December 2013

Goldman Sachs Funds II


Appendix IIIShareholder Concentration (Unaudited)
As at 31 May 2014

The following tables set forth details of shareholders with holdings greater than 10% of the Portfolios net assets as
at 31 May 2014:
% of Shareholders
Equity

Investor /
Distributor

GMS Emerging Markets Equity Portfolio


Shareholder 1
Other Shareholders
Total

12.16%
87.84%
100.00%

Investor

GMS Europe Equity Portfolio


Shareholder 11
Other Shareholders
Total

12.88%
87.12%
100.00%

Distributor

GMS Global Equity Portfolio


Shareholder 11
Shareholder 2
Other Shareholders
Total

14.62%
11.68%
73.70%
100.00%

Distributor
Investor

GMS Japan Equity Portfolio


Shareholder 1
Shareholder 2
Other Shareholders
Total

30.67%
29.96%
39.37%
100.00%

Distributor
Distributor

Dynamic Alternative Strategies Portfolio


Shareholder 1
Shareholder 2
Shareholder 3
Other Shareholders
Total

18.27%
17.44%
10.53%
53.76%
100.00%

Distributor
Distributor
Distributor

Europe High Income Bond Portfolio


Shareholder 1
Shareholder 2
Other Shareholders
Total

88.93%
10.91%
0.16%
100.00%

Distributor
Distributor

Portfolios

There were no shareholder concentrations greater than 10% for GMS US Equity Portfolio and Tactical Tilt Portfolio
as at 31 May 2014.
1 A related

party to Goldman Sachs Funds II.

58

Goldman Sachs Funds II


Additional Information

This material is provided at your request for informational purposes only and does not constitute a solicitation
in any jurisdiction in which such a solicitation is unlawful or to any person to whom it is unlawful. It only
contains selected information with regards to the fund and does not constitute an offer to buy shares in the
fund. Prior to an investment, prospective investors should carefully read the latest Key Investor Information
Document (KIID) as well as the offering documentation, including but not limited to the funds prospectus
which contains inter alia a comprehensive disclosure of applicable risks. The relevant articles of association,
prospectus, supplement, KIID and latest annual/semi-annual report are available free of charge from the
funds paying and information agent and/or from your financial adviser.
Shares of the fund may not be registered for public distribution in a number of jurisdictions (including but not
limited to any Latin American, African or Asian countries). Therefore, the shares of the fund must not be
marketed or offered in or to residents of any such jurisdictions unless such marketing or offering is made in
compliance with applicable exemptions for the private placement of collective investment schemes and other
applicable jurisdictional rules and regulations.
Financial advisers generally suggest a diversified portfolio of investments. The fund described herein does
not represent a diversified investment by itself. An investor should only invest if he/she has the necessary
financial resources to bear a complete loss of this investment.
This material must not be construed as investment or tax advice. Prospective investors should consult their
financial and tax adviser before investing in order to determine whether an investment would be suitable for
them.
Past performance does not guarantee future results, which may vary. The value of investments and
the income derived from investments will fluctuate and can go down as well as up. A loss of principal
may occur.
Index Benchmarks
Indices are unmanaged. The figures for the index reflect the reinvestment of all income or dividends, as
applicable, but do not reflect the deduction of any fees or expenses which would reduce returns. Investors
cannot invest directly in indices.
The indices referenced herein have been selected because they are well known, easily recognized by
investors, and reflect those indices that the Investment Manager believes, in part based on industry practice,
provide a suitable benchmark against which to evaluate the investment or broader market described herein.
The exclusion of failed or closed hedge funds may mean that each index overstates the performance of
hedge funds generally.
References to indices, benchmarks or other measures of relative market performance over a specified period
of time are provided for your information only and do not imply that the portfolio will achieve similar results.
The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks
to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate
from those of the benchmark.

59

Goldman Sachs Funds II


Additional Information (continued)

Confidentiality
No part of this material may, without GSAMs prior written consent, be (i) copied, photocopied or duplicated
in any form, by any means, or (ii) distributed to any person that is not an employee, officer, director, or
authorized agent of the recipient.
This material is not financial research and was not prepared by the Goldman Sachs Global Investment
Research. It was not prepared in compliance with applicable provisions of law designed to promote the
independence of financial analysis and is not subject to a prohibition on trading following the distribution of
financial research. The views and opinions expressed herein are valid as of the date of this publication only
and may differ from the views and opinions expressed by the Global Investment Research or other
departments or divisions of Goldman Sachs and its affiliates. Goldman Sachs International has no obligation
to provide any updates.
2014 Goldman Sachs. All rights reserved.

60

SICAVIISAENG