Goldman Sachs anual report

Goldman Sachs Funds IISICAVSemi-Annual Report

Unaudited Financial Statements

0514

Directors and Other Information 1

Investment Advisor’s Report 2

Statement of Assets and Liabilities 4

Statement of Operations 5

Statement of Changes in Shareholders’ Equity 6

Statistical Information 7

Notes to the Financial Statements 9

Schedule of Investments 30

GOLDMAN SACHS FUNDS II—EQUITY PORTFOLIOS

Goldman Sachs Funds II—Global Manager Strategies Portfolios

Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio 30

Goldman Sachs Funds II—GMS Europe Equity Portfolio 34

Goldman Sachs Funds II—GMS Global Equity Portfolio 37

Goldman Sachs Funds II—GMS Japan Equity Portfolio 43

Goldman Sachs Funds II—GMS US Equity Portfolio 45

GOLDMAN SACHS FUNDS II—SPECIALIST PORTFOLIOS

Goldman Sachs Funds II—Dynamic Alternative Strategies Portfolio 48

GOLDMAN SACHS FUNDS II—DEDICATED PORTFOLIOS

Goldman Sachs Funds II—Tactical Tilt Portfolio 49

GOLDMAN SACHS FUNDS II—FIXED INCOME PORTFOLIOS

Goldman Sachs Funds II—Europe High Income Bond Portfolio 52

Appendix I—Advisory Fee Rates, Expense Caps and Total Net Expense Ratios 55

Appendix II—Portfolio and Share Class Launches, Closures and Mergers 57

Appendix III—Shareholder Concentration 58

Additional Information 59

Goldman Sachs Funds II

Table of Contents

Page

____________________________________________________________________________________________________________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.

1


Directors and Other Information

GOLDMAN SACHS FUNDS IISociété d’Investissement à CapitalVariableAn undertaking for collective investmentorganised under the laws of the GrandDuchy of Luxembourg

Board of DirectorsFrank 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

Management CompanyGoldman Sachs Asset ManagementGlobal Services Limited2,3

Peterborough Court133 Fleet StreetLondon EC4A 2BBUnited Kingdom

Custodian, Domiciliary Agent,Administrator, Listing Agent andLuxembourg Paying AgentState Street Bank Luxembourg S.A.49, avenue J.F. KennedyL-1855 LuxembourgGrand Duchy of Luxembourg

DistributorGoldman Sachs International2


AuditorPricewaterhouseCoopers, Sociétécoopérative400, route d’EschL-1471 LuxembourgGrand Duchy of Luxembourg

Investment AdviserGoldman Sachs Asset ManagementInternational2

Peterborough Court133 Fleet StreetLondon, EC4A 2BBUnited Kingdom

Sub-Advisers4:Goldman Sachs Asset Management, L.P.2

200 West Street10282 New YorkUnited States of America

Goldman Sachs (Singapore) Pte.2

1 Raffles Link#07-01 South LobbySingapore 039393

Goldman Sachs Asset Management Co.,Ltd.2

Roppongi Hills Mori Tower10-1, Roppongi 6-chomeMinato-Ku, Tokyo 106-6144, Japan

Goldman Sachs Asset ManagementAustralia Pty Ltd.2

Level 17, 101 Collins StreetMelbourne VIC 3000, Australia

Goldman Sachs (Asia) L.L.C. – Hong Kong Branch2

68th Floor Cheung Kong Center,2 Queen’s RoadCentral, Hong Kong

Goldman Sachs International2


Goldman Sachs Hedge Fund Strategies LLC2

One New York Plaza10004 New YorkUnited States of America

Legal Advisers to the Fund and theInvestment AdviserArendt & Medernach14, rue ErasmeL-2082 LuxembourgGrand Duchy of Luxembourg

Registered Officec/o State Street Bank Luxembourg S.A.49, avenue J.F. KennedyL-1855 LuxembourgR.C.S. Luxembourg B 133 806Grand Duchy of Luxembourg

Registrar and Transfer AgentRBC Investor Services Bank S.A.14, Rue Porte de FranceL-4360 Esch-sur AlzetteGrand Duchy of Luxembourg

Shareholder Services AgentEuropean Shareholder ServicesGoldman Sachs International2

Peterborough Court133 Fleet StreetLondon, EC4A 2BBUnited Kingdom

Paying and Information Agent inAustriaRaiffeisen Bank International AGAm Stadtpark 91030 Vienna, Austria

Paying and Information Agent inBelgiumRBC Investor ServicesPlace Rogier II1210 Brussels, Belgium

Paying and Information Agent inFranceRBC Investor Services Bank France S.A.105, rue Réaumur75002 Paris, France

Paying and Information Agent inGermanyState Street Bank GmbHBrienner Strasse 5980333 Munich, Germany

Paying Agent in ItalySociété Générale Securities Services S.p.A.Maciachini Center MAC 2Via Benigno Crespi, 19/A20159 Milan, Italy

Paying Agent in SwedenGlobal Transaction ServicesSEB Merchant BankingSergels Torg 2SE-10640 Stockholm, Sweden

Paying Agent in SwitzerlandGoldman Sachs Bank AG2

Münsterhof 48001 Zurich, Switzerland

Representative in SwitzerlandFirst Independent Fund Services AGKlausstrasse 338008 Zurich, Switzerland

The Fund’s Prospectus with itsSupplements, Key Investor InformationDocuments, Articles of Incorporation,Annual Report, Semi-Annual Report and thelist of all transactions carried out by theInvestment Adviser during the year areavailable free of charge at the offices of thelocal Paying and Information Agents and theSwiss Representative.

2


Investment Advisor’s 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 2014–15, 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.

3

B. Performance Overview1

Average Annualised Net Return

Since

Launch 6-Months2 1-Year 3-Years 5-Years Inception

Currency Date (%) (%) (%) (%) (%)

Goldman Sachs Funds II—Equity Portfolios

GMS Emerging Markets Equity Portfolio (“P” Share Class) EUR 31-Jan-12 2.34 4.89 — — 2.52

MSCI EM Index EUR 31-Jan-12 1.89 4.27 — — 2.91

GMS Europe Equity Portfolio (“P” Share Class) EUR 18-Dec-09 6.04 15.31 9.60 — 10.34

MSCI Europe Index— EUR EUR 18-Dec-09 7.71 16.98 9.90 — 10.80

GMS Global Equity Portfolio (“P” Share Class) USD 7-Mar-08 4.13 13.50 7.70 12.26 2.01

MSCI World Index—USD USD 7-Mar-08 6.52 18.87 10.55 14.47 5.29

GMS Japan Equity Portfolio (“P” Share Class) JPY 27-May-09 (4.05) 7.92 13.07 7.59 7.68

Topix JPY 27-May-09 (3.49) 7.88 15.20 8.18 8.28

GMS US Equity Portfolio (“P” Share Class) USD 16-May-08 6.68 20.50 13.68 16.80 5.78

S&P 500 Index Net—USD USD 16-May-08 7.29 19.69 14.38 17.64 6.72

Goldman Sachs Funds II—Specialist Portfolios

Dynamic Alternative Strategies Portfolio (Base Share Class Weekly) EUR 24-Mar-10 1.08 1.22 0.82 — 0.86

3 Months Euro LIBOR EUR 24-Mar-10 0.14 0.22 0.55 — 0.66

Goldman Sachs Funds II—Dedicated Portfolios

Tactical Tilt Portfolio ("P" Share Class) USD 31-Oct-11 1.75 7.06 — — 9.35

3 Months USD LIBOR USD 31-Oct-11 0.12 0.25 — — 0.35

Goldman Sachs Funds II—Fixed Income Portfolios

Europe High Income Bond Portfolio (Base Share Class) EUR 26-Mar-12 2.09 2.96 — — 6.15

3 Months EURIBOR EUR 26-Mar-12 0.15 0.27 — — 0.31


Investment Advisor’s Report

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 month-

end 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.

2 Cumulative Net Returns.

3 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.

4

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


Statement of Assets and Liabilities (Unaudited)

As at 31 May 2014

AssetsInvestments, at value, excluding derivativesUnrealised gain on forward currency contracts and

share class specific forward currency contractsUnrealised gain on futuresUnrealised gain on swap contractsUpfront payments paid on swap transactionsMarket value of purchased optionsCashDue from BrokersReceivable for investments soldReceivable for shares soldDividends receivableInterest receivable excluding Swap ContractsInterest receivable on Swap ContractsDividend tax reclaim receivableInvestment Advisor fees waived receivableOther assets

Total Assets

LiabilitiesBank overdraftDue to BrokersUnrealised loss on forward currency contracts and

share class specific forward currency contractsUnrealised loss on futuresMarket value of written optionsPayable for investments purchasedPayable for shares redeemedDistributions payableInvestment Advisor fee payablePerformance fees payableAdministration and Custody fees payableTransfer Agent fee payableTaxe d'abonnement payableAudit fee payableShareholder Services fees payableDirectors fees payableLegal fees payableInsurance fees payablePrinting fees payablePublishing fees payablePayable for Withholding Tax on Dividend and

Interest IncomeOther liabilities

Total Liabilities

Shareholders' Equity

Alternative Net Asset Value Calculation Method

Shareholders' Equity (after Alternative Net AssetValue Calculation Method)

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(c) — — 482,056 — — 5,200,072 1,905,270 4,710 9,476,5043(c),12 — — 126,443 — — — 12,378,713 — 12,505,1563(c),12 — — — — — — 4,093,317 — 4,093,317

— — — — — — 25,196,732 — 25,196,7323(c) — — — — — — 4,362,203 — 4,362,2033(d) 3,244,325 2,864,961 9,035,740 31,018 1,490,828 2,129,885 71,680,333 500,121 93,240,3313(e) — — 315,669 — — — 38,404,016 — 38,719,685

4,216 1,455,208 589,736 7,399 639,890 — 355,619 — 3,644,206507,423 691,401 — 21,299 2,384,336 — — — 4,042,696

3(b) 673,903 875,246 1,014,905 27,217 566,063 3,009 — 128 3,718,6183(b) — — — — — — 56,860 1,374,584 1,929,1133(b) — — — — — — 3,488,891 — 3,488,891

5 — 386,356 376,415 — — — — — 902,6526 9,315 26,306 24 4,863 4,424 662 — 1,333 100,078

— — — — — — — 741 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 — — — — — — 7,1533(e) — — — — — 1,827,806 18,809,462 — 21,299,027

3(c) — — 429,076 — — 2,072,484 9,450,739 442,660 13,305,5693(c),12 — — — — — — 11,741,770 — 11,741,770

— — — — — — 208,704 — 208,704105,715 1,539,778 566,013 13,977 1,869,227 609,452 — — 5,605,607623,288 56,301 — — 827,510 23,644 — 80,300 1,669,060

— — — — — — — 1,169,884 1,593,4416 875,555 576,862 1,241,667 5,638 877,893 158,130 1,092,397 44,712 5,204,8896 — — — — — 28,661 — — 39,0386 63,328 43,829 48,068 1,962 34,438 22,413 69,532 7,699 335,3506 3,180 2,612 2,219 70 1,846 9,828 10,243 — 35,1205 22,050 24,485 23,734 194 31,536 7,563 130,082 8,153 264,063

21,571 10,319 14,004 1,404 14,003 15,734 25,213 10,319 138,1236 9,677 10,087 12,291 100 14,640 5,713 62,273 3,252 125,8136 2,238 2,089 3,859 19 2,633 1,424 10,789 1,217 26,148

52,441 54,402 92,431 4,287 72,503 56,502 149,254 28,233 598,2513,823 4,837 3,406 31 5,506 863 11,969 506 33,461

16,345 16,808 17,873 109 20,236 6,388 59,074 6,075 154,4673,271 2,358 3,036 336 3,266 1,043 1,607 2,711 22,805

60,414 112 176,235 4,168 149,991 — — — 427,73418,285 11,740 24,415 1,527 17,514 27,025 28,090 23,390 187,962

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

3(h) — — — — — — — — —

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

(a) Expressed in ‘000.(b) 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.

GMS

Emerging Dynamic Europe

Market GMS Europe GMS Global GMS Japan GMS US Alternative Tactical High Income Combined Total

Equity Equity Equity Equity Equity Strategies Tilt Bond Period Ended

Portfolio Portfolio Portfolio Portfolio(a) Portfolio Portfolio(b) Portfolio Portfolio 31 May 2014

Notes USD EUR USD JPY USD EUR USD EUR USD

Equity Portfolios Specialist

Portfolio

Dedicated

Portfolio

Fixed Income

Portfolio


5


Statement of Operations (Unaudited)

For the Period Ended 31 May 2014

IncomeDividend IncomeInterest Income excluding Swap ContractsInterest Income on Swap ContractsNet (amortisation)/ Net accretion

ExpensesBank overdraft interest expenseInvestment Advisor feePerformance feesAdministration and Custody feesTransfer Agent feesTaxe d' abonnementAudit feeShareholder Services feesDirectors feesLegal feesInsurance feesPrinting feesPublishing feesOther expenses

Less: Investment Advisor fee waived

Total expensesWithholding tax on dividends and other investment

income

Net income/(expense) for the Period

Net realised gain/(loss) on investment securitiesNet realised gain/(loss) on futures transactionsNet realised gain/(loss) on foreign currencies,

forward currency contracts and share classspecific forward currency contracts

Net realised gain/(loss) on swap contracts Net realised gain/(loss) on options contracts

Net realised gain/(loss)

Net change in unrealised gain/(loss) on investmentsecurities

Net change in unrealised gain/(loss) on futurestransactions

Net change in unrealised gain/(loss) on foreigncurrencies, forward currency contracts and shareclass specific forward currency contracts

Net change in unrealised gain/(loss) on swapcontracts

Net change in unrealised gain/(loss) on optionscontracts

Net change in unrealised gain/(loss)

Net investment income gain/(loss)

3(b) 579 3,482,839 5,298,512 6,268,111 30,509 2,562,434 14,432 20,298,529 1,497 40,204,1003(b) 103 — — 193 — — — 175,379 1,970,493 2,880,3283(b) — — — — — — — 5,087,614 — 5,087,6143(b) — — — — — — — (2,161,166) (359,448) (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

3(b) — 25 2,892 — — — 1,577 3,004 — 9,1636 — 1,772,002 1,419,495 2,240,184 12,212 1,999,472 981,429 5,739,770 269,109 15,535,1876 — — — — — — 188,284 — — 258,4346 1,287 197,174 135,768 154,925 6,262 99,663 79,712 198,549 23,821 1,041,0436 — 17,653 12,937 12,115 767 15,099 13,790 41,342 2,642 133,9905 69 66,814 71,713 90,267 685 102,477 19,459 359,769 23,987 784,132

— 13,150 5,933 8,440 918 8,440 9,085 15,415 5,933 83,1426 1,246 51,320 53,233 75,647 453 74,372 35,053 325,423 19,572 680,4636 — 2,761 2,056 4,143 11 2,883 1,577 15,105 588 30,793

10,057 46,337 38,912 66,616 3,420 53,265 33,423 102,933 26,887 448,705— 2,297 2,787 2,048 19 3,308 495 7,190 292 19,934— 7,935 7,330 9,147 204 10,433 2,454 32,620 342 76,020— 4,723 3,423 4,949 488 4,717 4,512 6,444 3,056 40,672

(424) 33,263 24,185 26,540 3,166 31,748 29,920 55,899 21,950 282,251

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

6 9,579 9,315 26,306 62 12,433 4,424 792 — 1,333 183,489

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

(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

13,166 546,231 13,353,331 16,333,900 80,625 26,886,252 (1,013,340) 4,125,412 265,404 65,992,046(1,567,188) — — (158,233) — — — 8,983,741 — 7,258,320

(147,110) (1,157,927) 481,551 (1,178,770) — (33) (1,334,466) 29,473,358 70,323 25,915,350— — — — — — — 6,086,273 — 6,086,273— — — — — — — (12,338,269) — (12,338,269)

(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

(a) Refer to Appendix II.(b) Expressed in ‘000.(c) 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.

GMS Asia GMS Dynamic Europe

(ex-Japan) Emerging GMS Europe GMS Global GMS Japan GMS US Alternative Tactical High Income Combined Total

Equity Market Equity Equity Equity Equity Equity Strategies Tilt Bond Period Ended

Portfolio(a) Portfolio Portfolio Portfolio Portfolio(b) Portfolio Portfolio(c) Portfolio Portfolio 31 May 2014

Notes USD USD EUR USD JPY USD EUR USD EUR USD


Portfolio

Dedicated

Portfolio

Fixed Income

Portfolio

6



Statement of Changes in Shareholders’ Equity (Unaudited)


Shareholders' equity at the start of the PeriodReinvestment from distributionsProceeds from shares issuedPayment for shares redeemedNet investment income gain/(loss) for the PeriodDistributionsCurrency adjustments

Shareholders' equity at 31 May 2014

Alternative Net Asset Value Calculation Method

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

(a) Refer to Appendix II.(b) Expressed in '000.(c) Statement of Assets and Liabilities as at 28 May 2014, the last tradable date of the period.

68,753,778 272,095,456 229,405,643 438,009,736 1,698,980 301,545,491 166,193,480 1,402,088,423 101,933,581 3,175,719,633— 39,251 92,199 128,922 10 508 — 529,743 — 825,072

7 2,426 92,129,573 88,873,482 38,140,159 2,332,928 166,606,547 41,394,245 598,329,883 — 1,096,731,5847 (66,307,558) (45,846,923) (18,719,820) (78,708,880) (825,701) (26,958,206) (18,018,718) (94,732,444) (8,266,967) (382,369,078)

(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(115,938) (415,026) (556,244) (676,765) (119) (14,265) — (2,347,191) (1,169,884) (5,939,587)

15 — — — — — — — — — 122,407

— 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

3(h) — — — — — — — — — —

— 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

GMS Asia GMS Dynamic Europe

(ex-Japan) Emerging GMS Europe GMS Global GMS Japan GMS US Alternative Tactical High Income Combined Total

Equity Market Equity Equity Equity Equity Equity Strategies Tilt Bond Period Ended

Portfolio(a) Portfolio Portfolio Portfolio Portfolio(b) Portfolio Portfolio(c) Portfolio Portfolio 31 May 2014

Notes USD USD EUR USD JPY USD EUR USD EUR USD


Portfolio

Dedicated

Portfolio

Fixed Income

Portfolio

7


Statistical Information (Unaudited)

As at 31 May 2014

Equity Portfolios

Global Manager Strategies Portfolios

GMS Asia (ex-Japan) Equity Portfolio(a)

“P” Accumulation Share Class(a) USD — — 9.42 8.76 — 38,171,999 35,563,776 —“P” Share Class(a) USD — — 9.21 8.63 — 18,915,740 20,170,423 —“R” Accumulation Share Class(a) USD — — 10.53 — — 8,039,205 — —“R” Share Class(a) USD — — 10.53 — — 3,626,833 — —

GMS Emerging Market Equity Portfolio

“I” Accumulation Share Class(a) USD 995,763 10.53 — — 10,480,499 — — 10.53“IO” Accumulation Share Class USD 3,903,782 10.18 9.92 — 39,758,023 45,529,311 — 10.18“P” Accumulation Share Class USD 15,139,932 10.59 10.36 9.77 160,374,934 142,817,275 107,351,590 10.59“P” Share Class USD 4,847,054 10.49 10.30 9.77 50,828,284 51,952,531 43,382,377 10.49“R” Accumulation Share Class USD 3,365,680 10.58 10.31 — 35,600,809 17,948,563 — 11.16“R” Share Class USD 2,858,197 10.46 10.31 — 29,893,836 13,847,776 — 11.04

GMS Europe Equity Portfolio

“I” Accumulation Share Class(a) EUR 1,630,020 11.08 — — 18,053,218 — — 11.08“P” Accumulation Share Class EUR 11,486,132 15.50 14.62 12.06 178,018,785 151,317,125 117,095,773 15.50“P” Share Class EUR 3,363,782 14.89 14.17 11.84 50,077,855 49,162,677 53,722,453 14.89“R” Accumulation Share Class EUR 3,162,237 12.91 12.13 — 40,808,703 20,259,982 — 13.62“R” Share Class EUR 2,310,895 12.72 12.14 — 29,396,665 8,665,855 — 13.42

GMS Global Equity Portfolio

“I” Accumulation Share Class USD 1,198,000 13.30 12.75 10.31 15,937,279 15,270,584 12,349,304 13.30“IO” Accumulation Share Class USD 3,877,563 12.45 11.91 — 48,278,802 46,190,093 — 12.45“P” Accumulation Share Class EUR 3,190,422 19.42 18.68 15.88 61,953,752 60,316,661 48,482,246 19.42“P” Accumulation Share Class USD 13,031,164 11.33 10.88 8.84 147,578,363 180,881,679 161,226,213 11.33“P” Share Class USD 8,021,360 11.04 10.66 8.71 88,584,663 89,502,783 63,001,129 11.04“R” Accumulation Share Class USD 287,437 12.84 12.29 — 3,690,960 7,176,474 — 13.55“R” Share Class USD 1,997,304 12.68 12.28 — 25,334,204 16,960,460 — 13.38

GMS Japan Equity Portfolio

“P” Accumulation Share Class JPY 93,771 14,492.88 15,103.22 9,188.07 1,359,012,071 1,140,885,008 817,428,436 14,492.88“P” Share Class JPY 32,642 14,271.34 14,872.52 9,109.58 465,846,600 408,398,886 673,216,113 14,271.34“R” Accumulation Share Class JPY 77,793 15,575.00 16,174.38 — 1,211,627,318 134,513,409 — 16,431.63“R” Share Class JPY 6,097 15,452.78 16,175.54 — 94,204,972 15,182,848 — 16,302.97

GMS US Equity Portfolio

“I” Accumulation Share Class(a) USD 2,882,640 10.86 — — 31,292,196 — — 10.86“P” Accumulation Share Class USD 16,891,473 14.05 13.17 9.63 237,367,212 170,026,191 118,145,958 14.05“P” Share Class USD 6,263,496 14.05 13.17 9.62 87,993,325 83,688,877 84,375,955 14.05“R” Accumulation Share Class USD 4,624,506 14.58 13.62 — 67,411,947 32,451,949 — 15.38“R” Share Class USD 2,923,689 14.56 13.61 — 42,560,574 15,378,472 — 15.36

Specialist Portfolios

Dynamic Alternative Strategies Portfolio(b)

Base Accumulation Share Class (Weekly) EUR 37,968 103.65 102.49 98.57 3,935,477 3,723,291 3,702,354 109.35Base Currency Share Class (Weekly) EUR 22,561 103.66 102.50 98.58 2,338,603 2,214,562 773,876 109.36“IO” Accumulation Share Class

(USD Hedged Class) (Weekly) USD 67,614 104.33 102.37 — 7,054,361 5,300,836 — 104.33Other Currency Accumulation Share Class

(CHF Hedged Class) (Weekly) CHF 5,839 101.49 100.56 96.88 592,591 543,234 659,356 107.07Other Currency Accumulation Share Class

(USD Hedged Class) (Weekly) USD 6,115 103.24 102.11 97.82 631,308 614,854 833,441 108.92Other Currency Share Class

(GBP Hedged Class) (Weekly) GBP 2,074 104.19 102.95 98.70 216,093 264,990 228,483 109.92“P” Accumulation Share Class (Weekly) EUR 483,766 104.68 103.43 99.23 50,640,507 34,975,571 21,874,516 104.68“P” Accumulation Share Class

(USD Hedged Class) (Weekly) USD 179,974 104.81 103.52 98.94 18,862,938 19,323,949 16,812,556 104.81“P” Share Class (Weekly) EUR 55,406 104.70 103.45 99.25 5,801,129 6,544,752 5,276,153 104.70“P” Share Class (GBP Hedged Class) (Weekly) GBP 383,523 105.24 103.88 99.35 40,362,488 42,637,701 45,325,781 105.24“P” Share Class (USD Hedged Class) (Weekly) USD 72,989 104.61 103.36 98.85 7,635,044 14,447,095 15,669,190 104.61“R” Share Class (Weekly) EUR 58,499 105.31 103.83 — 6,160,500 4,138,632 — 111.10“R” Accumulation Share Class (Weekly) EUR 93,058 105.34 103.85 — 9,802,535 8,796,769 — 111.13“R” Share Class (GBP Hedged Class) (Weekly) GBP 211,288 105.82 104.25 — 22,359,298 14,297,286 — 111.64“R” Share Class (USD Hedged Class) (Weekly) USD 156,071 102.67 101.27 — 16,024,372 10,215,242 — 108.32

Currency

Outstanding Shares

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

Net Asset Value per Shareas at Net Asset as at

Max. publicoffering

price per share as at31-May-1430-Nov-13 31-May-1430-Nov-12


Statistical Information (Unaudited)

As at 31 May 2014 (Continued)

8

Dedicated Portfolio

Tactical Tilt Portfolio

“I” Accumulation Share Class USD 416,997 127.83 125.60 111.03 53,305,193 32,083,786 11,102,527 127.83“IO” Accumulation Share Class USD 331,704 132.55 129.75 113.84 43,967,891 41,655,195 35,770,041 132.55“IO” Accumulation Share Class (GBP Hedged Class) GBP 44,392 125.48 122.74 107.48 5,570,114 7,364,548 6,448,943 125.48“P” Accumulation Share Class (CHF Hedged Class) CHF 69,761 126.53 124.57 110.63 8,826,555 4,922,871 7,188,184 126.53“P” Accumulation Share Class (EUR Hedged Class) EUR 2,367,485 124.70 122.55 108.77 295,225,485 188,279,162 121,665,221 124.70“P” Accumulation Share Class (GBP Hedged Class) GBP 231,812 126.15 123.89 109.37 29,242,972 42,811,040 35,709,210 126.15“P” Accumulation Share Class USD 6,689,004 126.03 123.87 109.57 843,035,861 600,650,572 181,462,393 126.03“P” Share Class USD 827,889 124.33 123.26 109.54 102,932,618 69,652,216 53,686,670 124.33“P” Share Class (EUR Hedged Class) EUR 275,581 122.85 121.74 108.73 33,855,700 25,496,322 16,381,871 122.85“P” Share Class (GBP Hedged Class) GBP 774,665 124.43 123.27 109.35 96,389,747 97,757,455 79,044,371 124.43“R” Share Class USD 76,140 114.22 112.34 — 8,696,925 4,869,310 — 120.50“R” Accumulation Share Class USD 915,059 114.57 112.33 — 104,840,805 61,915,140 — 120.87“R” Share Class (EUR Hedged Class) EUR 39,146 111.15 109.25 — 4,350,978 2,365,983 — 117.26“R” Accumulation Share Class (EUR Hedged Class) EUR 336,286 111.39 109.19 — 37,460,142 15,470,378 — 117.52“R” Share Class (GBP Hedged Class) GBP 241,415 111.64 109.65 — 26,951,815 13,842,166 — 117.78“R” Accumulation Share Class (GBP Hedged Class) GBP 33,039 111.96 109.69 — 3,699,167 4,013,625 — 118.12“R” Accumulation Share Class (CHF Hedged Class) CHF 1,000 111.15 109.15 — 111,146 109,155 — 117.26

Fixed Income Portfolios

Europe High Income Bond Portfolio

Base Currency (S-Dis) Share Class EUR 877,153 107.76 106.86 105.03 94,525,760 101,933,581 123,561,892 113.69

(a) Refer to Appendix II.(b) Stated as at 28 May 2014, the last tradable date in the period.

Currency

Outstanding Shares

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

Net Asset Value per Shareas at Net Asset as at

Max. publicoffering

price per share as at31-May-1430-Nov-13 31-May-1430-Nov-12

9

1 Organisat ion

Goldman Sachs Funds II (“the Fund”) was incorporated on 20 November 2007 under the laws of the Grand

Duchy of Luxembourg as a “Société d’Investissement à Capital Variable” (“SICAV”), for an unlimited period of

time. The Fund is registered and qualifies as a self-managed company in accordance with Part I of the Law of

17 December 2010.

As at 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 Object ive

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 Signif icant Accounting Pol ic ies

(a) Basis of Preparat ion 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) Investment Transact ions, Related Investment Income and Operat ing Expenses

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.


Notes to the Financial Statements (Unaudited)


10

3 Signif icant Accounting Pol ic ies (cont inued)

(c) Financial Investment in Securi t ies and Valuat ion

i. Recognition and DerecognitionThe 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 PrinciplesThe value of all securities and derivatives is determined according to the following policies:

(ii.1) Exchange Listed Assets and LiabilitiesThe 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 SecuritiesDebt 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 InvestmentsCertificates of Deposit, comprising Time Deposits, and Money Market Investments are valued at amortised cost,

which approximates market value.

(ii.4) Shares in Collective Investment SchemesThe value of investments in open-ended investment funds, comprising Mutual Funds, is based upon the official

published net asset values per share.

(ii.5) DerivativesA 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.



For the Period Ended 31 May 2014 (Continued)

11


(c) Financial Investment in Securi t ies and Valuat ion (cont inued)

ii. Value Measurement Principles (continued)(ii.5) (a) Option ContractsThe 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 ContractsFutures contracts are contracts to buy or sell a standardised quantity of a specified commodity and valued

based on exchange settlement prices or independent market quotes. Initial margin deposits, in either cash or

securities, are required to trade in the futures market. Unrealised gains or losses on futures contracts are

recognised to reflect the market value of the contracts and are included as a component of the unrealised gains

or losses on the Portfolio’s Statement of Operations. Variation margin is received or paid, depending on whether

unrealised gains or losses are incurred. When the contract is terminated, the Portfolio will recognise a realised

gain or loss equal to the difference between the value of the contract at the time it was entered into and the time

it is closed.

(ii.5) (c) Swap ContractsSwaps, 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 ContractsIn 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.




12


(c) Financial Investment in Securi t ies and Valuat ion (cont inued)

ii. Value Measurement Principles (continued)(ii.6) All Securities and DerivativesIf 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 Fund’s clearing brokers and various

counterparties. Due to brokers consists primarily of cash payable to the Fund’s clearing brokers and various

counterparties.

Due from/to broker balances are valued at cost.

( f ) Foreign Currency Translat ion

The books and records of all Portfolios are maintained in their base currency. Please refer to Appendix I for the

base currency of each Portfolio. Transactions in foreign currencies are translated at the foreign currency

exchange rate in effect at the date of the transaction. Assets and liabilities denominated in foreign currencies

are translated into the base currency at the foreign currency closing exchange rate in effect at the year-end date.

Foreign currency exchange differences arising on translation and realised gains and losses on disposals or

settlements of assets and liabilities are recognised in the Statement of Operations. Foreign currency exchange

gains or losses relating to investments, derivative financial investments, and all other foreign currency exchange

gains or losses relating to monetary items, including cash and cash equivalents, are reflected in the net realised

gain/(loss) or net change in unrealised gain/(loss) in the Statement of Operations.

(g) Expenses

Expenses incurred by the Fund that do not specifically relate to an individual Portfolio or Share Class of a

Portfolio are charged to the Portfolios based on an allocation basis depending upon the nature of the charges.

Expenses directly attributable to a Portfolio or Share Class are charged to that Portfolio or Share Class.




13





(h) Alternat ive Net Asset Value Calculat ion Method 1

On any Business Day the Directors through their appointed delegate, Goldman Sachs Asset Management

International (“GSAMI”) as Investment Adviser, may determine to apply an alternative net asset value calculation

method (to include such reasonable factors as they see fit) to the net asset value per Share. This method of

valuation is intended to pass the estimated costs of underlying investment activity of the Portfolio to the active

Shareholders by adjusting the net asset value of the relevant Share and thus to protect the Portfolio’s long-term

Shareholders from costs associated with ongoing redemption and subscription activity.

This alternative net asset value calculation method may take account of any duties and charges incurred as a

result of trading and may include an estimate of market impact. In addition it may take into account trading

spreads on the Portfolio’s investments to the extent they are not already included in the investment valuation.

Where GSAMI, based on the prevailing market conditions and the level of subscriptions or redemptions

requested by Shareholders or potential Shareholders in relation to the size of the relevant Portfolio, have

determined for a particular Portfolio to apply an alternative net asset value calculation method, the Portfolio may

be valued either on a bid or offer basis.

Because the determination of whether to value the Portfolio’s net asset value on a bid or offer basis is based on

the net transaction activity of the relevant day, Shareholders transacting in the opposite direction of the Portfolio’s

net transaction activity may benefit at the expense of the other Shareholders in the Portfolio. In addition, the

Portfolio’s net asset value and short-term performance may experience greater volatility as a result of this

alternative net asset value calculation method.

The following Portfolios are able to apply an alternative net asset value calculation method:

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”).

4 Competent Person Valuat ion

The following table sets forth the securities where the Competent Person was used to determine value.

As at 31 May 2014

Number of % ofAssets Shareholders’

Portfolios Currency valued Value equity

GMS Emerging Markets Equity Portfolio USD 4 6,047,242 1.85%

GMS Global Equity Portfolio USD 1 24,835 0.01%

GMS Emerging Markets Equity Portfolio GMS Japan Equity Portfolio

GMS Europe Equity Portfolio GMS US Equity Portfolio


14




5 Taxat ion

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.

15




5 Taxat ion (cont inued)

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 Signif icant Agreements and Related Part ies

Investment Adviser and Sub-Investment Adviser

Goldman Sachs Asset Management International (“GSAMI”), an affiliate of Goldman, Sachs & Co. (“Goldman

Sachs”), acts as each Portfolio’s investment adviser pursuant to an Investment Advisory Agreement dated 20

November 2007. Under the Investment Advisory Agreement, GSAMI, subject to the general supervision of the

Fund’s Board of Directors, manages the Fund’s Portfolios.

GSAMI may rely upon Goldman Sachs Asset Management L.P., the U.S. sub-adviser, in connection with the

selection of securities of U.S. issuers and issuers in many emerging market countries; upon the asset

management division of Goldman Sachs (Singapore) PTE and Goldman Sachs (Asia) LLC. - Hong Kong

Branch, the Asian subadvisers, in connection with the selection of securities of Asian issuers; upon Goldman

Sachs Asset Management Co., Ltd, the Japanese sub-adviser, in connection with the selection of securities of

Japanese issuers; upon Goldman Sachs Asset Management Australia Pty Ltd., in connection with the selection

of securities of Australasian issuers and upon Goldman Sachs Hedge Fund Strategies LLC, in connection with

selection of investments in Dynamic Alternative Strategies Portfolio. All these entities are affiliates of Goldman

Sachs.

GSAMI has entered into sub-advisory agreements with each of the following sub-advisers (“the External

Managers”):

1 None of these investment advisers are an affiliate of GSAMI. As compensation for the services rendered under the Investment

Advisory Agreement, GSAMI receives a fee, payable monthly, at an annual rate. A portion of the Investment Adviser’s fees may be

remitted to the sub-adviser.

Portfolios Sub-Advisor1

GMS Emerging Markets Equity Portfolio Fisher Asset Management LLCWells Capital Management, Inc. Lazard Asset Management LLC

GMS Europe Equity Portfolio Mandarine GestionWellington 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

16




6 Signif icant Agreements and Related Part ies (cont inued)

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.

Director’s Remuneration

Mr. Frank Ennis and Mr. Eugene Regan are independent Directors and have no executive function with the

Investment Adviser or its affiliated companies. The Fund pays each independent Director an annual fee for their

services as a Director of the Fund. Mr. Mark Heaney, Mr. Alan Shuch, Mr. Theodore Sotir and Mrs. Katherine

Uniacke 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 Portfolio’s

investment in the Goldman Sachs Funds.

17





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.

Aggregate Aggregate

Portfolios Currency Value* Percent Value Percent

Security Transactions

Security Transactions Brokerage Commissions

Equity 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

Expenses during the period USD

Financial Reporting Services fees 35,783

Administration, Custodian, Domiciliary and Listing Agent fees 1,005,260

Total 1,041,043

18





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.

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 Agent’s fee consists of both a fixed and variable fee.

The fixed portion consists of an annual charge for maintenance and shareholder account charges. Variable

costs are determined by the level of transactions in each Portfolio.

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

Portfolios Currency Sales Charge

Equity 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

Dedicated Portfolios

Tactical Tilt Portfolio USD 287,914

Total (in USD) 341,509

19





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 Fund’s Shares:

Balance at Balance at

Currency 30-Nov-2013 Subscriptions Redemptions 31-May-2014

Equity Portfolios


GMS Asia (ex-Japan) Equity Portfolio*“P” Accumulation Share Class* USD 4,053,037 — 4,053,037 —“P” Share Class* USD 2,054,678 — 2,054,678 —“R” Accumulation Share Class* USD 763,542 — 763,542 —“R” Share Class* USD 344,534 — 344,534 —

GMS Asia (ex-Japan) Equity Portfolio Total 7,215,791 — 7,215,791 —

GMS Emerging Market Equity Portfolio“I” Accumulation Share Class* USD — 995,763 — 995,763“IO” Accumulation Share Class USD 4,590,000 — 686,218 3,903,782“P” Accumulation Share Class USD 13,790,295 4,294,997 2,945,360 15,139,932“P” Share Class USD 5,043,075 538,398 734,419 4,847,054“R” Accumulation Share Class USD 1,741,498 1,806,227 182,045 3,365,680“R” Share Class USD 1,343,472 1,654,269 139,544 2,858,197

GMS Emerging Market Equity Portfolio Total 26,508,340 9,289,654 4,687,586 31,110,408

GMS Europe Equity Portfolio“I” Accumulation Share Class* EUR — 1,630,020 — 1,630,020“P” Accumulation Share Class EUR 10,353,200 1,771,786 638,854 11,486,132“P” Share Class EUR 3,470,354 328,953 435,525 3,363,782“R” Accumulation Share Class EUR 1,670,394 1,673,750 181,907 3,162,237“R” Share Class EUR 713,942 1,665,782 68,829 2,310,895

GMS Europe Equity Portfolio Total 16,207,890 7,070,291 1,325,115 21,953,066

GMS Global Equity Portfolio“I” Accumulation Share Class USD 1,198,000 — — 1,198,000“IO” Accumulation Share Class USD 3,877,563 — — 3,877,563“P” Accumulation Share Class EUR 3,228,963 311,682 350,223 3,190,422“P” Accumulation Share Class USD 16,629,962 1,603,381 5,202,179 13,031,164“P” Share Class USD 8,392,511 222,643 593,794 8,021,360“R” Accumulation Share Class USD 584,145 229,217 525,925 287,437“R” Share Class USD 1,381,472 627,000 11,168 1,997,304

GMS Global Equity Portfolio Total 35,292,616 2,993,923 6,683,289 31,603,250

GMS Japan Equity Portfolio“P” Accumulation Share Class JPY 75,539 21,881 3,649 93,771“P” Share Class JPY 27,460 62,402 57,220 32,642“R” Accumulation Share Class JPY 8,316 69,477 — 77,793“R” Share Class JPY 939 5,158 — 6,097

GMS Japan Equity Portfolio Total 112,254 158,918 60,869 210,303

GMS US Equity Portfolio“I” Accumulation Share Class* USD — 2,984,360 101,720 2,882,640“P” Accumulation Share Class USD 12,908,338 4,945,804 962,669 16,891,473“P” Share Class USD 6,355,521 514,558 606,583 6,263,496“R” Accumulation Share Class USD 2,383,379 2,528,623 287,496 4,624,506“R” Share Class USD 1,129,955 1,832,991 39,257 2,923,689

GMS US Equity Portfolio Total 22,777,193 12,806,336 1,997,725 33,585,804

20




Balance at Balance at

Currency 30-Nov-2013 Subscriptions Redemptions 31-May-2014


Dynamic Alternative Strategies PortfolioBase Accumulation Share Class (Weekly) EUR 36,327 2,864 1,223 37,968Base Currency Share Class (Weekly) EUR 21,606 955 — 22,561“IO” Accumulation Share Class

(USD Hedged Class) (Weekly) USD 51,780 17,912 2,078 67,614Other Currency Accumulation Share Class

(CHF Hedged Class) (Weekly) CHF 5,402 437 — 5,839Other Currency Accumulation Share Class

(USD Hedged Class) (Weekly) USD 6,023 1,092 1,000 6,115Other Currency Share Class

(GBP Hedged Class) (Weekly) GBP 2,574 — 500 2,074“P” Accumulation Share Class (Weekly) EUR 338,156 153,620 8,010 483,766“P” Accumulation Share Class

(USD Hedged Class) (Weekly) USD 186,673 20,286 26,985 179,974“P” Share Class (Weekly) EUR 63,263 6,500 14,357 55,406“P” Share Class (GBP Hedged Class) (Weekly) GBP 410,470 21,010 47,957 383,523“P” Share Class (USD Hedged Class) (Weekly) USD 139,772 — 66,783 72,989“R” Share Class (Weekly) EUR 39,861 18,638 — 58,499“R” Accumulation Share Class (Weekly) EUR 84,704 12,482 4,128 93,058“R” Share Class (GBP Hedged Class) (Weekly) GBP 137,143 79,257 5,112 211,288“R” Share Class (USD Hedged Class) (Weekly) USD 100,875 67,791 12,595 156,071

Dynamic Alternative Strategies Portfolio Total 1,624,629 402,844 190,728 1,836,745


Tactical Tilt Portfolio“I” Accumulation Share Class USD 255,450 166,647 5,100 416,997“IO” Accumulation Share Class USD 321,042 20,613 9,951 331,704“IO” Accumulation Share Class (GBP Hedged Class) GBP 60,000 — 15,608 44,392“P” Accumulation Share Class (CHF Hedged Class) CHF 39,520 31,141 900 69,761“P” Accumulation Share Class (EUR Hedged Class) EUR 1,536,370 878,441 47,326 2,367,485“P” Accumulation Share Class (GBP Hedged Class) GBP 345,566 90,546 204,300 231,812“P” Accumulation Share Class USD 4,848,941 2,002,040 161,977 6,689,004“P” Share Class USD 565,063 277,418 14,592 827,889“P” Share Class (EUR Hedged Class) EUR 209,425 68,476 2,320 275,581“P” Share Class (GBP Hedged Class) GBP 793,013 13,111 31,459 774,665“R” Share Class USD 43,346 36,045 3,251 76,140“R” Accumulation Share Class USD 551,188 393,378 29,507 915,059“R” Share Class (EUR Hedged Class) EUR 21,656 17,490 — 39,146“R” Accumulation Share Class (EUR Hedged Class) EUR 141,677 211,473 16,864 336,286“R” Share Class (GBP Hedged Class) GBP 126,240 129,031 13,856 241,415“R” Accumulation Share Class (GBP Hedged Class) GBP 36,592 6,194 9,747 33,039“R” Accumulation Share Class (CHF Hedged Class) CHF 1,000 — — 1,000

Tactical Tilt Portfolio Total 9,896,089 4,342,044 566,758 13,671,375


Europe High Income Bond PortfolioBase Currency (S-Dis) Share Class EUR 953,930 — 76,777 877,153

Europe High Income Bond Portfolio Total 953,930 — 76,777 877,153

7 Share Capital (cont inued)

* Refer to Appendix II.

21




8 Distr ibut ions

The Fund intends that substantially all the net investment income, if any, of each Portfolio will be declared as a

dividend and paid at least annually to the Shareholders of the Distribution Share Class of the Portfolio. Net

capital and currency gains realised on each Portfolio’s investments are expected to be retained by each

Portfolio.

Dividends distributed by each Portfolio may be paid in cash or reinvested in additional Shares of the Portfolio at

the net asset value of the Shares as of the date on which such dividends are declared. When Shareholders

make use of this reinvestment facility, each dividend due to the Shareholder will be paid by the Portfolio to State

Street Bank Luxembourg S.A. at its Luxembourg office to the account of the relevant Shareholder, and additional

Shares will be issued to the Shareholder. State Street Bank Luxembourg S.A. will, as paying agent for the

Shareholders, credit such monies to the Portfolio for subscription in further Shares.

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

9 Financial Investments and Associated Risks

The Fund’s investing activities expose it to various types of risks that are associated with the financial

investments and markets in which it and its underlying Portfolios invest (the “Investment Risks”). These may be

both derivative and non-derivative financial investments. The Fund’s underlying Portfolios’ investments are

comprised of equity investments, investments in other funds, forward foreign currency contracts, options and

swap contracts at the year end. The Board has appointed the Investment Adviser to manage the investment

risks of the Fund. The significant types of financial risks which the Fund is exposed to are market risk, liquidity

risk and credit risk. The Prospectus provides details of these and other types of risk some of which are additional

to that information provided in these financial statements.

Asset allocation is determined by the Fund’s Investment Adviser who manages the allocation of assets to

achieve the investment objectives as detailed in Note 2. Achievement of the investment objectives involves

taking risks. The Investment Adviser exercises judgment based on analysis, research and risk management

techniques when making investment decisions. Divergence from the benchmark and/or the target asset

allocations and the composition of the portfolio is monitored by the Fund’s Investment Adviser.

The risk management policies employed by the Investment Adviser are detailed below:

(a) Market Risk

The potential for changes in the market value of the Fund’s underlying Portfolios’ investments is referred to as

market risk. Commonly used categories of market risk include currency risk and other price risk.

(i) Currency risks may result from exposures to changes in spot prices, forward prices and volatilities

of currency rates.

(ii) Interest rate risks may result from exposures to changes in the level, slope and curvature of the

various yield curves, the volatility of interest rates, mortgage prepayment speeds and credit spreads.

(iii) Other price risks are the risk that the value of an investment will fluctuate as a result of changes in

market prices other than those arising from currency risk and may result from exposures to changes

in the prices and volatilities of individual equities, equity baskets, equity indices, and commodities.

The Fund’s market risk strategy is driven by the Fund’s underlying Portfolios’ investment risk and return

objectives.

The Investment Adviser and Sub-Advisers manage market risk through the application of risk budgeting

principles.

22




9 Financial Investments and Associated Risks (cont inued)

(a) Market Risk (cont inued)

(i) Currency RiskThe Fund may invest in financial investments and enter into transactions denominated in currencies other than

its Portfolios’ base currencies. Consequently, a Portfolio may be exposed to the risk that the exchange rate of

its base currency relative to other foreign currencies may change in a manner that has an adverse effect on the

value of that portion of a Portfolio’s assets or liabilities denominated in currencies other than the base currency.

When an investor invests into a Share Class which is in a different currency to the base currency of the Portfolio

in which it invests, the currency risk of the investor will be different to the currency risk of the Portfolio.

(ii) Interest Rate RiskThe 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 RiskOther 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) Liquidi ty Risk

Liquidity risk is the risk that the Fund will encounter difficulty in meeting obligations associated with financial

liabilities that are settled by delivering cash or another financial asset. Among other things liquidity could be

impaired by an inability to access secured and /or unsecured sources of financing, an inability to sell assets or

unforeseen outflows of cash or collateral. This situation may arise due to circumstances outside of the Fund’s

control, such as a general market disruption or an operational problem affecting the Fund or third parties. Also,

the ability to sell assets may be impaired if other market participants are seeking to sell similar assets at the

same time.

The Fund’s investments include mutual funds, which may impose greater restrictions on redemptions than those

imposed by the Fund. This may include offering less frequent redemption dates than are offered by the Fund to

its shareholders.

23





(b) Liquidi ty Risk (cont inued)

The Fund’s financial investments include investments in derivative contracts traded over the counter, which are

not traded in an organised public market and which may be illiquid and in investments which may represent a

significant percentage of issue size. As a result, the Fund may not be able to liquidate quickly some of these

investments at an amount close to its market value in order to meet requirements, or to respond to specific

events such as deterioration in the creditworthiness of any particular issuer. The forced liquidation of investment

positions may cause financial losses.

The Fund provides for the subscription and redemption of shares and it is therefore exposed to the liquidity risk

associated with shareholder redemptions in accordance with the terms in the Prospectus. The Portfolios are

managed to include liquid investments which the Investment Adviser believes are sufficient to meet normal

liquidity needs although substantial redemptions of shares in the Portfolios could require the Portfolios to

liquidate their investments more rapidly than otherwise desirable in order to raise cash for the redemptions and

changes in the liquidity of the Portfolios’ underlying investments once acquired can adversely impact its position

in this respect.

These factors could adversely affect the value of the shares redeemed and the valuation of the shares that

remain outstanding and the liquidity of the Portfolios’ remaining assets if more liquid assets have to be sold to

meet redemptions.

The Fund’s Prospectus provides for the daily/weekly/bi-monthly subscription of shares and the daily/weekly/bi-

monthly 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 Fund’s financing arrangements, can result in adverse effects to the Fund’s access to

liquidity and ability to maintain leveraged positions, and may cause the Fund to incur material losses.

However, there is no guarantee that any such arrangements for obtaining leverage will be available, or, if

available, will be available on terms and conditions acceptable to the Fund. Unfavourable economic conditions

also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to

extend credit to the Fund.

The use of leverage also increases risk as it magnifies the effect of any volatility in market values on the Fund’s

equity.

A decline in the market value of the Fund’s assets may have particular adverse consequences in instances

where they have borrowed money on the market value of those assets. A decrease in the market value of those

assets may result in the lender (including derivative counterparties) requiring the Fund to post additional

collateral or otherwise sell assets at time when it may not be in the Fund’s best interest to do so.

24





(c) Credit Risk

Credit risk is the risk that one party to a financial investment will cause a financial loss for the other party by

failing to discharge an obligation.

The Investment Adviser has adopted procedures to reduce credit risk related to its dealings with counterparties.

Before transacting with any counterparty, the Investment Adviser or its affiliates evaluate both credit-worthiness

and reputation by conducting a credit analysis of the party, their business and reputation. The credit risk of

approved counterparties is then monitored on an ongoing basis, including periodic reviews of financial

statements and interim financial reports as needed.

In order to reduce exposure to credit losses, some over-the-counter derivative agreements entered into by the

Portfolios permit netting of transactions arising under such agreements, excluding those with counterparties

executing only spot foreign exchange contracts. These netting rights provide for the reduction of credit risk on

favourable over-the-counter transactions with a single counterparty to the extent of the value of unfavourable

over-the-counter transactions with the same counterparty upon the occurrence of an event of default or

termination event as all over-the-counter transactions with the counterparty under such agreement are

terminated and amounts owed from and amounts payable to the counterparty are settled on a net basis.

Debt securities are subject to the risk of an issuer’s or a guarantor’s inability to meet principal and interest

payments on its obligations and are subject to price volatility due to factors such as interest rate sensitivity,

market perception of the creditworthiness of the issuer, and general market liquidity.

The Fund is subject to a number of risks relating to the insolvency, administration, liquidation or other formal

protection from creditors (“Insolvency”) of the Custodian or any Sub-Custodian. These risks include without

limitation:

1. The loss of all cash held with the Custodian or Sub-Custodian which is not being treated as client money

both at the level of the Custodian and any Sub-Custodians (“client money”).

2. The loss of all cash which the Custodian or Sub-Custodian has failed to treat as client money in accordance

with procedures (if any) agreed with the Fund.

3. The loss of some or all of any securities held on trust which have not been properly segregated and so

identified both at the level of the Custodian and any sub-custodians (“trust assets”) or client money held by

or with the Custodian or Sub-Custodian.

4. The loss of some or all assets due to the incorrect operation of accounts by the Custodian or Sub-Custodian

or due to the process of identifying and transferring the relevant Trust Assets and/or client money including

any deduction to meet the administrative costs of an insolvency.

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

relevant assets.

An insolvency could cause severe disruption to the Fund’s investment activity. In some circumstances, this could

cause the Directors to temporarily suspend the calculation of the Net Asset Value and dealings in Shares.

25





(d) Addit ional Risks

(i) Concentration RiskThe 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 RiskOperational risk is the potential for loss caused by a deficiency in information, communications, transaction

processing and settlement, and accounting systems. The Fund’s service providers, including sub-custodians and

as shown on page 1, maintain controls and procedures for the purpose of helping to manage operational risk.

Reviews of the service levels of service providers are performed on a regular basis by the Investment Adviser.

No assurance is given that these measures will be 100% effective.

(iii) Legal, Tax and Regulatory RisksLegal, 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 RiskThe 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 RiskThe 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.

26





(d) Addit ional Risks (cont inued)

(vi) Investment Manager Selection RiskThe investment decisions in respect of each GMS Portfolio will be made by its External Managers. The

Investment Adviser in a GMS Portfolio will not make decisions with respect to the purchase, management,

disposition, or other realization of the GMS Portfolio’s investments. It is not intended that the External Managers

will be selected from the Goldman Sachs group or any of its affiliates. Consequently, the Investment Adviser has

no control, directly or indirectly, over the business affairs or market conduct of the External Managers. In

selecting the External Managers, the Investment Adviser has undertaken reasonable investigative and due

diligence procedures but is nevertheless reliant on information supplied to it by each of the External Managers

as well as information in relation to the External Managers obtained from independent sources and from the

public domain.

Additional details of risks not disclosed in these Financial Statements can be found in the Prospectus.

10 Statement of Changes in each Portfol io

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




27

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

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:


British Pound Sterling 0.813407

Danish Krona 7.463562

Swedish Krona 9.085764

Swiss Franc 1.220942

U.S. Dollars 1.362051

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:

28

13 Commissions for Research and/or Execut ion

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 Liabi l i t ies

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 Liabi l i t ies

There were no contingent liabilities as at 31 May 2014.




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:

12 Cash Col lateral 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:


Euro 0.728557

Japanese Yen 102.679297

Due from / Investment Cash collateralPortfolios Currency (due to) brokers type balances

GMS Global Equity Portfolio USD

Dynamic Alternative Strategies Portfolio USD

Tactical Tilt Portfolio USD

Due From Future Contracts 315,669

Due To Future Contracts —

Due From FX Contracts —

Due To FX Contracts 1,827,806

Due From Future Contracts 31,754,016

Due To Future Contracts —

Due From Swap Contracts 6,650,000

Due To Swap Contracts 18,809,462

11 Exchange Rates (cont inued)

29




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 Fund’s existing service providers,

including the Investment Adviser, will continue to provide services to the Fund.

19 Indemnif icat ions

The Fund may enter into contracts that contain a variety of indemnifications. The Fund’s maximum exposure

under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these

contracts.

20 Approval of Financial Statements

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

30


Schedule of Investments (Unaudited)

As at 31 May 2014

Goldman Sachs Funds II—GMS Emerging Markets Equity Portfolio

Transferable securities admitted to an official exchange listing

Common Stocks – 96.75%

Argentina

4,500 MercadoLibre, Inc. (Internet) 388,575 0.12

43,700 YPF S.A.—ADR(a) (Oil & Gas) 1,300,075 0.40

1,688,650 0.52

Brazil

283,000 ALL – America Latina Logistica S.A.

(Transportation) 1,027,830 0.31

576,375 Ambev S.A.—ADR(a)

(Food, Beverages & Tobacco) 4,132,609 1.26

47,000 B2W Cia Digital (Internet) 588,757 0.18

167,650 Banco Bradesco S.A.—ADR(a) (Banks) 2,370,571 0.73

390,200 Banco do Brasil S.A. (Banks) 4,008,070 1.23

190,000 BB Seguridade Participacoes S.A.

(Insurance) 2,395,321 0.73

220,000 BM&FBovespa S.A.

(Diversified Financial Services) 1,120,588 0.34

22,000 BRF S.A.—ADR(a)

(Food, Beverages & Tobacco) 476,960 0.15

256,600 CCR S.A. (Commercial Services) 2,006,832 0.61

87,009 CETIP S.A. – Mercados Organizados


319,320 Cielo S.A. (Commercial Services) 5,756,013 1.76

105,600 Companhia Energetica de

Minas Gerais—ADR(a) (Electric) 748,704 0.23

28,250 Embraer S.A.—ADR(a)

(Aerospace & Defence) 1,022,650 0.31

69,475 Gerdau S.A.—ADR(a) (Iron/Steel) 419,629 0.13

49,900 Localiza Rent a Car S.A.

(Commercial Services) 804,537 0.25

340,019 Lojas Americanas S.A.—Preferred (Retail) 2,054,659 0.63

30,000 Lojas Renner S.A. (Retail) 916,979 0.28

33,000 Multiplan Empreendimentos Imobiliarios S.A.

(Construction & Engineering) 714,706 0.22

57,700 Natura Cosmeticos S.A.

(Cosmetics/Personal Care) 1,027,235 0.31

54,000 Petroleo Brasileiro S.A.—ADR(a)

(Oil & Gas) 771,660 0.24

45,000 Petroleo Brasileiro S.A.—Sponsored ADR(a)

(Oil & Gas) 686,250 0.21

50,000 Raia Drogasil S.A. (Retail) 429,144 0.13

117,700 Souza Cruz S.A.


56,625 Ultrapar Participacoes S.A. (Chemicals) 1,357,587 0.42

115,000 Vale S.A.—ADR(a) (Iron/Steel) 1,462,225 0.45

22,000 Vale S.A.—Preferred ADR(a) (Iron/Steel) 253,660 0.08

86,600 Via Varejo S.A. (Retail) 929,676 0.28

39,843,592 12.19

Cayman Islands

5,271 Weibo Corp.—ADR(a) (Internet) 99,358 0.03

Chile

30,000 Banco Santander Chile—ADR(a) (Banks) 761,700 0.23

15,000 Inversiones La Construccion S.A.

(Holding Companies—Diversified) 185,068 0.06

75,000 SACI Falabella (Retail) 694,003 0.21

1,640,771 0.50

China

13,500 51job, Inc.—ADR(a) (Commercial Services) 851,175 0.26

24,000 Baidu, Inc.—ADR(a) (Internet) 3,985,680 1.22

6,363,000 China Construction Bank Corp. "H" (Banks) 4,680,631 1.43

723,500 China Life Insurance Co., Ltd. "H"

(Insurance) 1,992,670 0.61

Common Stocks – (continued)

China – (continued)

376,400 China Pacific Insurance Group Co., Ltd. "H"

(Insurance) 1,261,128 0.38

213,000 China Shenhua Energy Co., Ltd. "H" (Coal) 585,289 0.18

893,500 CITIC Securities Co., Ltd. "H"


1,963,000 CNOOC Ltd. (Oil & Gas) 3,392,560 1.04

19,453 Ctrip.com International Ltd.—ADR(a) (Internet) 1,068,553 0.33

150,000 First Tractor Co., Ltd. "H"

(Machinery—Diversified) 90,671 0.03

231,000 Hengan International Group Co., Ltd.

(Healthcare Products) 2,452,694 0.75

2,184,000 Industrial & Commercial Bank of China Ltd. "H"

(Banks) 1,432,465 0.44

3,068,000 Lenovo Group Ltd. (Computers) 3,813,955 1.17

480,000 Li Ning Co., Ltd. (Retail) 338,458 0.10

26,500 NetEase, Inc.—ADR(a) (Internet) 1,874,345 0.57

43,468 New Oriental Education &

Technology Group, Inc.—ADR(a)

(Commercial Services) 1,137,558 0.35

620,000 PetroChina Co., Ltd. "H" (Oil & Gas) 743,424 0.23

271,500 Ping An Insurance Group Co. of China Ltd. "H"

(Insurance) 2,105,212 0.64

300,000 Shandong Weigao Group Medical Polymer

Co., Ltd. "H" (Healthcare Products) 291,767 0.09

500,000 Sichuan Expressway Co., Ltd. "H"


35,390 SINA Corp. (Internet) 1,621,924 0.50

600,000 Sun Art Retail Group Ltd. (Retail) 705,206 0.21

298,500 Tencent Holdings Ltd. (Internet) 4,196,769 1.28

500,000 Tingyi Cayman Islands Holding Corp.


160,000 Tsingtao Brewery Co., Ltd. "H"


185,400 Weichai Power Co., Ltd. "H"

(Auto Parts & Equipment) 693,724 0.21

44,088,248 13.48

Colombia

14,300 Bancolombia S.A.—ADR(a) (Banks) 793,936 0.24

24,500 Ecopetrol S.A.—ADR(a) (Oil & Gas) 895,720 0.27

167,400 Pacific Rubiales Energy Corp. (Oil & Gas) 3,185,044 0.98

4,874,700 1.49

Cyprus

20,821 Eurasia Drilling Co., Ltd.—GDR(a)

(Oil & Gas Services) 620,466 0.19

Egypt

205,777 Commercial International Bank

Egypt SAE—GDR(a) (Banks) 988,141 0.30

Hong Kong

302,000 AIA Group Ltd. (Insurance) 1,514,080 0.46

1,360,000 Belle International Holdings Ltd. (Retail) 1,352,108 0.42

1,104,000 Brilliance China Automotive Holdings Ltd.

(Automobile Manufacturers) 1,831,278 0.56

424,000 China Mobile Ltd. (Telecommunications) 4,159,383 1.27

48,000 China Mobile Ltd.—ADR(a)

(Telecommunications) 2,357,760 0.72

460,000 Johnson Electric Holdings Ltd.

(Electrical Components & Equipment) 400,282 0.12

74,000 Shangri-La Asia Ltd. (Lodging) 116,038 0.04

11,730,929 3.59

Hungary

76,542 OTP Bank Plc. (Banks) 1,655,864 0.51

% of

Market Value Shareholders’

Holdings Security Description USD Equity

% of



31



As at 31 May 2014



India

49,483 Axis Bank Ltd.—GDR(a) (Banks) 1,549,313 0.47

232,525 Cipla Ltd.—GDR(a)(b) (Pharmaceuticals) 1,513,242 0.46

63,025 Dr Reddy's Laboratories Ltd.—ADR(a)

(Pharmaceuticals) 2,572,680 0.79

101,025 HDFC Bank Ltd.—ADR(a) (Banks) 4,545,115 1.39

28,000 ICICI Bank Ltd.—ADR(a) (Banks) 1,397,480 0.43

70,126 Infosys Ltd.—ADR(a) (Computers) 3,589,750 1.10

71,800 Tata Motors Ltd.—ADR(a)


17,859,362 5.46

Indonesia

2,342,600 Astra International Tbk PT (Retail) 1,420,518 0.43

490,000 Bank Central Asia Tbk PT (Banks) 452,689 0.14

4,731,100 Bank Mandiri Persero Tbk PT (Banks) 4,166,660 1.28

2,199,700 Bank Rakyat Indonesia Persero Tbk PT

(Banks) 1,922,877 0.59

143,000 Matahari Department Store Tbk PT (Retail) 177,937 0.05

520,700 Semen Indonesia Persero Tbk PT

(Building Materials) 657,138 0.20

5,641,800 Telekomunikasi Indonesia Persero Tbk PT


83,200 Telekomunikasi Indonesia Persero

Tbk PT—ADR(a) (Telecommunications) 3,664,128 1.12

576,300 United Tractors Tbk PT

(Machinery—Construction & Mining) 1,071,048 0.33

14,780,561 4.52

Korea

290 Amorepacific Corp.

(Cosmetics/Personal Care) 411,890 0.13

11,354 Coway Co., Ltd. (Environmental Control) 955,123 0.29

186,020 Hanwha Life Insurance Co., Ltd. (Insurance) 1,182,010 0.36

6,800 Hyundai Heavy Industries Co., Ltd.

(Shipbuilding) 1,234,558 0.38

6,889 Hyundai Mobis (Auto Parts & Equipment) 1,948,255 0.60

20,775 Hyundai Motor Co.—GDR(a)(b)


94,940 KB Financial Group, Inc.


7,300 KB Financial Group, Inc.—ADR(a)

(Diversified Financial Services) 249,295 0.08

95,000 KT Corp.—ADR(a) (Telecommunications) 1,418,350 0.43

53,877 KT&G Corp. (Food, Beverages & Tobacco) 4,383,250 1.34

5,925 LG Chem Ltd. (Chemicals) 1,511,606 0.46

4,751 NAVER Corp. (Internet) 3,530,348 1.08

6,674 Samsung Electronics Co., Ltd. (Electronics) 9,442,341 2.89

5,775 Samsung Electronics Co., Ltd.—GDR(a)

(Electronics) 4,100,250 1.25

33,275 Samsung Life Insurance Co., Ltd.

(Insurance) 3,258,960 1.00

102,630 Shinhan Financial Group Co., Ltd.


79,240 SK Hynix, Inc. (Semiconductors) 3,432,825 1.05

10,050 SK Innovation Co., Ltd. (Oil & Gas) 1,049,064 0.32

48,115,206 14.72

Luxembourg

17,482 Oriflame Cosmetics S.A.—

Swedish Depositary Receipt


Macau

524,400 Sands China Ltd. (Lodging) 3,830,223 1.17

348,800 Wynn Macau Ltd. (Lodging) 1,451,538 0.45

5,281,761 1.62


Malaysia

43,500 British American Tobacco Malaysia Bhd


647,700 CIMB Group Holdings Bhd (Banks) 1,480,093 0.45

656,300 Genting Bhd (Lodging) 1,988,166 0.61

400,000 Genting Malaysia Bhd (Lodging) 506,862 0.15

271,800 Malayan Banking Bhd (Banks) 835,947 0.26

130,000 Sime Darby Bhd


6,049,054 1.85

Mexico

81,000 America Movil SAB de CV—ADR—Series L(a)


2,098,590 Cemex SAB de CV (Building Materials) 2,737,614 0.84

110,076 Cemex SAB de CV—ADR(a)

(Building Materials) 1,432,089 0.44

433,283 Fibra Uno Administracion S.A. de CV

(Real Estate Investment Trust) 1,348,373 0.41

109,700 Fomento Economico Mexicano SAB de CV


25,600 Fomento Economico Mexicano

SAB de CV—ADR(a)


420,900 Grupo Bimbo SAB de CV—Series A


247,000 Grupo Financiero Banorte SAB de CV "O"

(Banks) 1,816,714 0.56

511,100 Grupo Financiero Santander Mexico

SAB de CV "B" (Banks) 1,377,566 0.42

44,000 Grupo Financiero Santander Mexico

SAB de CV "B"—ADR(a) (Banks) 594,000 0.18

255,200 Grupo Mexico SAB de CV—Series B

(Mining) 849,532 0.26

75,000 Grupo Sanborns SAB de CV (Retail) 139,818 0.04

104,200 Grupo Televisa SAB—ADR(a) (Media) 3,570,934 1.09

290,300 Kimberly-Clark de Mexico SAB de CV "A"

(Household Products/Wares) 793,503 0.24

1,256,850 Wal-Mart de Mexico SAB de CV—Series V

(Retail) 3,189,233 0.98

24,171,313 7.39

Netherlands

20,300 OCI NV (Chemicals) 766,309 0.23

35,488 Yandex NV "A" (Internet) 1,106,871 0.34

1,873,180 0.57

Peru

36,500 Cia de Minas Buenaventura SAA—ADR(a)

(Mining) 381,060 0.12

9,525 Credicorp Ltd. (Banks) 1,484,376 0.45

1,865,436 0.57

Philippines

38,000 Ayala Corp.


671,110 Metropolitan Bank & Trust Co. (Banks) 1,281,932 0.39

28,200 Philippine Long Distance Telephone

Co.—ADR(a) (Telecommunications) 1,844,562 0.56

85,830 SM Investments Corp. (Retail) 1,544,293 0.47

5,208,192 1.59

% of



% of



32



As at 31 May 2014



Russia

780,633 Alrosa AO (Mining) 941,514 0.29

314,646 Gazprom OAO—ADR(a) (Oil & Gas) 2,585,761 0.79

13,627 Lukoil OAO—ADR

(traded in United States)(a) (Oil & Gas) 775,649 0.24

23,000 Lukoil OAO—ADR

(traded in United Kingdom)(a) (Oil & Gas) 1,307,435 0.40

12,367 Magnit OJSC—GDR

(traded in United States)(a)


46,960 Magnit OJSC—GDR

(traded in United Kingdom)(a)


43,197 MegaFon OAO—GDR(a)


196,500 Mobile Telesystems OJSC—ADR(a)


135,125 Rosneft OAO—GDR(a) (Oil & Gas) 878,718 0.27

1,490,728 Sberbank of Russia (Banks) 3,649,429 1.12

225,000 Sberbank of Russia—ADR(a) (Banks) 2,280,509 0.70

20,847,426 6.38

South Africa

28,700 AngloGold Ashanti Ltd.—ADR(a) (Mining) 453,173 0.14

57,275 Aspen Pharmacare Holdings Ltd.


66,240 Bidvest Group Ltd.


30,000 Clicks Group Ltd. (Retail) 180,485 0.06

38,000 Impala Platinum Holdings Ltd. (Mining) 401,678 0.12

50,423 Imperial Holdings Ltd.


48,500 MTN Group Ltd. (Telecommunications) 1,024,738 0.31

41,224 Nedbank Group Ltd. (Banks) 883,043 0.27

243,963 PPC Ltd. (Building Materials) 752,595 0.23

154,127 Sanlam Ltd. (Insurance) 872,314 0.27

8,500 Sasol Ltd.—ADR(a) (Chemicals) 484,585 0.15

191,468 Shoprite Holdings Ltd.


118,405 Standard Bank Group Ltd. (Banks) 1,608,779 0.49

84,806 Tiger Brands Ltd.


92,423 Truworths International Ltd. (Retail) 700,166 0.21

99,008 Vodacom Group Ltd. (Telecommunications) 1,228,184 0.38

114,982 Woolworths Holdings Ltd. (Retail) 825,392 0.25

19,148,708 5.86

Taiwan

234,250 Advanced Semiconductor

Engineering, Inc.—ADR(a) (Semiconductors) 1,508,570 0.46

625,015 Far Eastern New Century Corp. (Apparel) 646,333 0.20

523,620 Hon Hai Precision Industry Co., Ltd.—GDR(a)

(Electronics) 3,259,535 1.00

49,000 MediaTek, Inc. (Semiconductors) 796,476 0.24

1,641,000 Mega Financial Holding Co., Ltd.


95,000 President Chain Store Corp. (Retail) 786,877 0.24

619,525 Taiwan Semiconductor Manufacturing Co.,

Ltd.—ADR(a) (Semiconductors) 12,743,629 3.90

839,936 Uni-President Enterprises Corp.


1,026,000 Yuanta Financial Holding Co., Ltd.


23,120,883 7.07


Thailand

122,000 Bangkok Bank PCL (Banks) 687,883 0.21

220,300 Bangkok Bank PCL—Foreign (Banks) 1,242,032 0.38

2,536,000 Bangkok Dusit Medical Services PCL

(Healthcare Services) 1,282,616 0.39

794,800 CP ALL PCL (Retail) 1,101,911 0.34

333,659 PTT Exploration & Production PCL

(Oil & Gas) 1,560,391 0.48

81,000 PTT PCL (Oil & Gas) 725,593 0.22

71,600 Siam Cement PCL


233,000 Siam Commercial Bank PCL (Banks) 1,129,123 0.34

2,400,000 Thai Beverage PCL


9,843,056 3.01

Turkey

272,071 Akbank TAS (Banks) 1,071,146 0.33

70,000 Anadolu Efes Biracilik Ve Malt Sanayii AS


371,800 KOC Holding AS

(Holding Companies—Diversified) 1,854,121 0.57

206,470 Turkcell Iletisim Hizmetleri AS


568,075 Turkiye Garanti Bankasi AS—ADR(a) (Banks) 2,308,089 0.70

560,369 Turkiye Is Bankasi "C" (Banks) 1,607,166 0.49

8,993,282 2.75

United Kingdom

66,647 Standard Chartered Plc. (Banks) 1,499,910 0.46

TOTAL COMMON STOCKS

(cost USD 297,303,037) 316,325,187 96.75

Warrants – 0.69%

India

125,000 Bharti Airtel Ltd.—HSBC Bank Plc.,

exp. 05/20—Warrants(b)

(Telecommunications) 728,034 0.22

84,300 Reliance Industries Ltd.—HSBC Bank Plc.,

exp. 02/22—Warrants(b) (Oil & Gas) 1,518,940 0.47

2,246,974 0.69

TOTAL WARRANTS

(cost USD 2,257,052) 2,246,974 0.69

Mutual Funds – 1.78%

Ireland

5,811,253 Goldman Sachs US$ Liquid Reserves Fund

(X Distribution Class)(c)(d) 5,811,253 1.78

TOTAL MUTUAL FUNDS

(cost USD 5,811,253) 5,811,253 1.78

TOTAL TRANSFERABLE SECURITIES ADMITTED

TO AN OFFICIAL EXCHANGE LISTING

(cost USD 305,371,342) 324,383,414 99.22

MARKET VALUE OF INVESTMENTS

(cost USD 305,371,342) 324,383,414 99.22

OTHER ASSETS AND LIABILITIES 2,552,970 0.78

SHAREHOLDERS' EQUITY 326,936,384 100.00

% of



% of



33



As at 31 May 2014


% of

Market Value Shareholders'

TOTAL INVESTMENTS USD Equity

Total Investments (cost USD 305,371,342) 324,383,414 99.22

Other Assets and Liabilities 2,552,970 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%.

% of

Shareholders'

Allocation of Portfolio as at 31 May 2014 Equity

Common StocksBanks 17.61

Food, Beverages & Tobacco 10.02

Telecommunications 7.56

Oil & Gas 6.09

Internet 5.65

Semiconductors 5.65

Retail 5.33

Electronics 5.14

Insurance 4.45

Diversified Financial Services 4.29

Others 24.96

TOTAL COMMON STOCKS 96.75

Mutual Funds 1.78

WarrantsOil & Gas 0.47


TOTAL WARRANTS 0.69

Other Net Assets 0.78

TOTAL 100.00

34



As at 31 May 2014

Goldman Sachs Funds II—GMS Europe Equity Portfolio



Austria

108,798 Erste Group Bank AG (Banks) 2,758,030 0.87

26,072 OMV AG (Oil & Gas) 788,417 0.25

3,546,447 1.12

Belgium

81,287 Anheuser-Busch InBev NV


63,845 KBC Groep NV (Banks) 2,782,046 0.88

24,495 UCB S.A. (Pharmaceuticals) 1,433,692 0.46

63,854 Umicore S.A. (Mining) 2,251,811 0.71

13,022,533 4.12

Denmark

493 AP Moeller – Maersk A/S "B" (Transportation) 941,934 0.30

23,448 Carlsberg A/S "B"


108,390 DSV A/S (Transportation) 2,648,914 0.84

76,979 FLSmidth & Co. A/S

(Machinery—Diversified) 3,282,939 1.04

93,836 Novo Nordisk A/S "B" (Pharmaceuticals) 2,914,317 0.92

11,575,710 3.66

Finland

54,477 Kone OYJ "B" (Machinery—Diversified) 1,655,556 0.52

25,411 Metso OYJ (Machinery—Diversified) 717,098 0.23

206,913 Outotec OYJ


35,986 Sampo OYJ "A" (Insurance) 1,336,520 0.42

98,975 Valmet Corp. (Machinery—Diversified) 812,585 0.26

6,229,826 1.97

France

48,994 Accor S.A. (Lodging) 1,888,964 0.60

392,697 Alcatel-Lucent (Telecommunications) 1,173,771 0.37

40,780 AXA S.A. (Insurance) 735,060 0.23

40,447 BNP Paribas S.A. (Banks) 2,049,854 0.65

53,137 Bureau Veritas S.A. (Commercial Services) 1,168,748 0.37

49,731 Cap Gemini S.A. (Computers) 2,652,652 0.84

8,813 Casino Guichard Perrachon S.A.


73,728 Cie de St-Gobain (Building Materials) 3,078,144 0.97

10,105 Cie Generale des Etablissements Michelin


63,910 Edenred (Commercial Services) 1,468,971 0.46

86,606 GDF Suez (Electric) 1,771,093 0.56

20,040 L'Oreal S.A. (Cosmetics/Personal Care) 2,564,118 0.81

62,630 Lafarge S.A. (Building Materials) 3,940,053 1.25

110,814 Legrand S.A.

(Electrical Components & Equipment) 5,108,525 1.61

41,360 Pernod Ricard S.A.


18,354 Renault S.A. (Automobile Manufacturers) 1,259,819 0.40

77,835 Sanofi (Pharmaceuticals) 6,068,795 1.92

43,819 Schneider Electric S.A.

(Electrical Components & Equipment) 3,007,736 0.95

75,412 Societe Generale S.A. (Banks) 3,184,649 1.01

161,061 Total S.A. (Oil & Gas) 8,336,517 2.63

258,639 Veolia Environnement S.A. (Water) 3,609,307 1.14

57,290 Vinci S.A. (Construction & Engineering) 3,099,389 0.98

57,566 Vivendi S.A. (Telecommunications) 1,105,843 0.35

44,347 Zodiac Aerospace (Aerospace & Defence) 1,157,457 0.37

63,876,548 20.19


Germany

49,525 Bayer AG (Pharmaceuticals) 5,229,840 1.65

30,227 Bayerische Motoren Werke AG


12,094 Beiersdorf AG (Cosmetics/Personal Care) 898,947 0.28

4,748 Bertrandt AG (Commercial Services) 541,984 0.17

6,011 Continental AG (Auto Parts & Equipment) 1,040,204 0.33

217,393 Deutsche Telekom AG


66,979 E.ON SE (Electric) 952,441 0.30

13,174 Fresenius SE & Co. KGaA


14,374 Gerry Weber International AG (Apparel) 561,233 0.18

59,598 HeidelbergCement AG (Building Materials) 3,770,170 1.19

18,874 Hugo Boss AG (Apparel) 1,961,009 0.62

300,698 Infineon Technologies AG

(Semiconductors) 2,728,534 0.86

29,911 LEG Immobilien AG (Real Estate) 1,545,501 0.49

12,613 Norma Group SE


56,400 ProSiebenSat.1 Media AG (Media) 1,881,786 0.60

26,592 Siemens AG

(Miscellaneous Manufacturing) 2,591,922 0.82

8,698 United Internet AG (Internet) 291,296 0.09

31,087 Volkswagen AG—Preferred


37,476,892 11.85

Ireland

180,182 C&C Group Plc.


310,408 Ryanair Holdings Plc. (Airlines) 2,232,765 0.70

3,042,683 0.96

Italy

36,711 Atlantia SpA (Commercial Services) 742,663 0.23

22,242 DiaSorin SpA (Healthcare Products) 691,059 0.22

2,189,743 Intesa Sanpaolo SpA (Banks) 5,404,286 1.71

31,090 Luxottica Group SpA (Healthcare Products) 1,297,697 0.41

902,897 Telecom Italia SpA (Telecommunications) 827,505 0.26

1,066,343 UniCredit SpA (Banks) 6,829,927 2.16

15,793,137 4.99

Luxembourg

323,424 ArcelorMittal (Iron/Steel) 3,632,051 1.15

5,841 RTL Group S.A. (Media) 494,149 0.15

4,126,200 1.30

Netherlands

37,077 Akzo Nobel NV (Chemicals) 2,035,527 0.64

51,083 ASML Holding NV (Semiconductors) 3,218,740 1.02

79,853 Heineken NV (Food, Beverages & Tobacco) 4,105,243 1.30

282,212 ING Groep NV (Insurance) 2,899,728 0.91

78,927 Royal Dutch Shell Plc. "A" (Oil & Gas) 2,275,465 0.72

218,890 Royal Dutch Shell Plc. "B" (Oil & Gas) 6,543,230 2.07

21,077,933 6.66

Portugal

488,697 Banco Espirito Santo S.A. (Banks) 480,389 0.15

261,638 Jeronimo Martins SGPS S.A.


306,292 Portugal Telecom SGPS S.A.


4,575,205 1.45

% of


Holdings Security Description EUR Equity

% of



35



As at 31 May 2014


Spain

158,361 Banco Santander S.A. (Banks) 1,187,074 0.37

18,111 Inditex S.A. (Retail) 1,936,066 0.61

395,355 Melia Hotels International S.A. (Lodging) 3,720,291 1.18

6,843,431 2.16

Sweden

96,366 Alfa Laval AB


90,833 Assa Abloy AB "B"

(Metal Fabricate/Hardware) 3,386,081 1.07

141,707 Atlas Copco AB "A"


24,613 Axis Communications AB (Electronics) 530,686 0.17

125,809 Nordea Bank AB (Banks) 1,363,912 0.43

170,114 SKF AB "B" (Metal Fabricate/Hardware) 3,197,912 1.01

106,394 Svenska Cellulosa AB SCA "B"

(Forest Products & Paper) 2,180,396 0.69

125,571 Trelleborg AB "B"


17,573,661 5.56

Switzerland

62,850 ABB Ltd. (Construction & Engineering) 1,096,967 0.35

262 Belimo Holding AG (Building Materials) 517,587 0.16

464 Bossard Holding AG "A"

(Metal Fabricate/Hardware) 43,514 0.01

43,242 Cie Financiere Richemont S.A. (Retail) 3,329,189 1.05

384 Daetwyler Holding AG


8,087 Geberit AG (Building Materials) 1,969,188 0.62

598 Givaudan S.A. (Chemicals) 718,515 0.23

34,213 Holcim Ltd. (Building Materials) 2,188,502 0.69

1,217 Inficon Holding AG


63,768 Julius Baer Group Ltd.


5,371 Kuehne + Nagel International AG

(Transportation) 538,885 0.17

405 LEM Holding S.A. (Electronics) 230,207 0.07

113 Lindt & Spruengli AG


60,104 Nestle S.A. (Food, Beverages & Tobacco) 3,453,313 1.09

34,809 Roche Holding AG (Pharmaceuticals) 7,543,732 2.39

584 SGS S.A. (Commercial Services) 1,071,913 0.34

3,713 Swatch Group AG (Retail) 1,604,177 0.51

7,438 Syngenta AG (Chemicals) 2,104,182 0.67

9,429 Tecan Group AG (Healthcare Products) 828,648 0.26

441,294 UBS AG (Banks) 6,498,641 2.05

6,686 Zurich Insurance Group AG (Insurance) 1,471,428 0.47

38,007,086 12.01

United Kingdom

78,989 AstraZeneca Plc. (Pharmaceuticals) 4,175,679 1.32

89,310 BG Group Plc. (Oil & Gas) 1,346,665 0.43

151,253 British American Tobacco Plc.


164,488 BT Group Plc. (Telecommunications) 803,222 0.25

34,919 Capita Plc. (Commercial Services) 473,510 0.15

164,100 Compass Group Plc.


43,637 Croda International Plc. (Chemicals) 1,405,985 0.44

83,115 Diageo Plc. (Food, Beverages & Tobacco) 1,960,348 0.62

86,484 Halma Plc. (Electronics) 625,180 0.20


United Kingdom – (continued)

131,061 Hargreaves Lansdown Plc.


122,073 Imperial Tobacco Group Plc.


37,846 Intertek Group Plc. (Commercial Services) 1,353,957 0.43

57,129 Jardine Lloyd Thompson Group Plc.

(Insurance) 724,115 0.23

67,252 Johnson Matthey Plc. (Chemicals) 2,686,253 0.85

1,687,951 Lloyds Banking Group Plc. (Banks) 1,607,005 0.51

1,070,785 Melrose Industries Plc.


212,249 Merlin Entertainments Plc. 144A(a)

(Entertainment) 947,206 0.30

320,591 Prudential Plc. (Insurance) 5,466,631 1.73

44,913 Reckitt Benckiser Group Plc.

(Household Products/Wares) 2,816,010 0.89

124,682 Rio Tinto Plc. (Mining) 4,716,537 1.49

251,906 Smith & Nephew Plc. (Healthcare Products) 3,247,781 1.03

48,209 Spectris Plc. (Electronics) 1,356,051 0.43

34,898 Spirax-Sarco Engineering Plc.

(Machinery—Diversified) 1,237,641 0.39


38,618 SuperGroup Plc. (Retail) 546,458 0.17

194,305 Tesco Plc. (Food, Beverages & Tobacco) 726,893 0.23

79,259 Unilever Plc.


15,852 Victrex Plc. (Chemicals) 351,571 0.11

54,915 WH Smith Plc. (Retail) 700,778 0.22

15,837 Whitbread Plc. (Lodging) 813,260 0.26

63,770,906 20.16

TOTAL COMMON STOCKS

(cost EUR 281,643,925) 310,538,198 98.16

Rights – 0.02%

Portugal

488,697 Banco Espirito Santo S.A.—Rights (Banks) 65,485 0.02

TOTAL RIGHTS

(cost EUR nil) 65,485 0.02


Ireland

1,810,243 Goldman Sachs Euro Liquid Reserves Fund

(X Distribution Class)(b)(c) 1,810,243 0.57

TOTAL MUTUAL FUNDS

(cost EUR 1,810,243) 1,810,243 0.57



(cost EUR 283,454,168) 312,413,926 98.75


(cost EUR 283,454,168) 312,413,926 98.75




% of



% of



36



As at 31 May 2014


% of


TOTAL INVESTMENTS EUR Equity

Total Investments (cost EUR 283,454,168) 312,413,926 98.75



(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%.

% of

Shareholders'


Common StocksFood, Beverages & Tobacco 13.59

Banks 11.63

Pharmaceuticals 8.66

Oil & Gas 6.10

Building Materials 4.88

Insurance 3.99

Automobile Manufacturers 3.20

Miscellaneous Manufacturing 3.20

Chemicals 2.94

Electrical Components & Equipment 2.57

Others 37.40


Mutual Funds 0.57

RightsBanks 0.02

TOTAL RIGHTS 0.02


TOTAL 100.00

37



As at 31 May 2014



Argentina

49,155 Arcos Dorados Holdings, Inc. "A" (Retail) 437,480 0.11

Australia

9,444 Australia & New Zealand Banking

Group Ltd.—ADR(a) (Banks) 294,464 0.07

4,611 BHP Billiton Ltd.—ADR(a) (Mining) 313,271 0.08

5,597 Brambles Ltd.—ADR(a)


3,344 CSL Ltd.—ADR(a) (Biotechnology) 109,483 0.03

31,751 National Australia Bank Ltd.—ADR(a)

(Banks) 492,458 0.12

14,096 Telstra Corp., Ltd.—ADR(a)


7,054 Wesfarmers Ltd.—ADR(a) (Retail) 141,715 0.03

16,408 Westfield Group—ADR(a)

(Real Estate Investment Trust) 325,371 0.08

12,072 Westpac Banking Corp.—ADR(a) (Banks) 386,062 0.09

2,512,622 0.61

Belgium

4,910 Anheuser-Busch InBev NV


6,509 Belgacom S.A. (Telecommunications) 215,744 0.05

755,038 0.18

Bermuda

94,900 Genpact Ltd. (Commercial Services) 1,594,320 0.38

54,453 Marvell Technology Group Ltd.

(Semiconductors) 857,090 0.21

2,451,410 0.59

Brazil

179,900 BM&FBovespa S.A.


26,150 Embraer S.A.—ADR(a)

(Aerospace & Defence) 946,630 0.23

1,862,966 0.45

Canada

9,526 Barrick Gold Corp. (Mining) 153,059 0.04

13,983 BCE, Inc. (Telecommunications) 638,310 0.15

25,090 Canadian Natural Resources Ltd.

(Oil & Gas) 1,014,077 0.25

2,718 Centerra Gold, Inc. (Mining) 11,525 0.00

3,263 Domtar Corp. (Forest Products & Paper) 300,261 0.07

3,500 Eldorado Gold Corp. (Mining) 19,875 0.01

3,487 Fairfax Financial Holdings Ltd. (Insurance) 1,627,069 0.39

3,975 Goldcorp, Inc. (Mining) 92,083 0.02

182,580 Kinross Gold Corp. (Mining) 681,646 0.17

6,491 Pan American Silver Corp. (Mining) 80,060 0.02

31,075 Ritchie Bros Auctioneers, Inc.


7,233 Rogers Communications, Inc. "B"


193,040 Talisman Energy, Inc. (Oil & Gas) 1,982,361 0.48

8,134 TELUS Corp. (Telecommunications) 308,324 0.07

6,184 TransCanada Corp. (Pipelines) 289,191 0.07

4,323 Yamana Gold, Inc. (Mining) 30,805 0.01

8,235,333 1.99


China

9,800 Baidu, Inc.—ADR(a) (Internet) 1,627,486 0.39

39,862 Mindray Medical International Ltd.—ADR(a)


632,000 Shandong Weigao Group Medical Polymer

Co., Ltd. "H" (Healthcare Products) 614,657 0.15

92,000 Tsingtao Brewery Co., Ltd. "H"


4,187,276 1.01

Denmark

20 AP Moeller – Maersk A/S "B"

(Transportation) 52,047 0.01

13,469 Carlsberg A/S "B"


1,980 Coloplast A/S "B" (Healthcare Products) 170,551 0.04

14,873 Jyske Bank A/S (Banks) 821,596 0.20

14,688 Novo Nordisk A/S "B" (Pharmaceuticals) 621,331 0.15

3,064,129 0.74

France

2,944 BNP Paribas S.A. (Banks) 203,221 0.05

31,113 Carrefour S.A.


24,000 Danone S.A. (Food, Beverages & Tobacco) 1,787,446 0.43

522 Essilor International S.A.

(Healthcare Products) 54,768 0.01

2,213 GDF Suez (Electric) 61,641 0.02

1,057 LVMH Moet Hennessy Louis Vuitton S.A.

(Apparel) 208,683 0.05

4,584 Orange S.A. (Telecommunications) 76,797 0.02

42,938 Sanofi (Pharmaceuticals) 4,559,977 1.10

27,761 Total S.A. (Oil & Gas) 1,957,143 0.47

10,040,519 2.43

Germany

11,099 Adidas AG (Apparel) 1,186,716 0.29

12,251 Allianz SE (Insurance) 2,075,799 0.50

6,871 BASF SE (Chemicals) 788,654 0.19

6,955 Bayer AG (Pharmaceuticals) 1,000,355 0.24

1,748 Bayerische Motoren Werke AG

(Automobile Manufacturers) 219,254 0.05

9,550 Daimler AG (Automobile Manufacturers) 909,620 0.22

7,204 Deutsche Bank AG (Banks) 291,128 0.07

49,913 Deutsche Boerse AG


3,147 Deutsche Post AG (Transportation) 115,968 0.03

23,259 Deutsche Telekom AG


59,118 E.ON SE (Electric) 1,145,019 0.28

7,964 Henkel AG & Co. KGaA—Preferred


947 Merck KGaA (Pharmaceuticals) 162,458 0.04

1,065 Muenchener Rueckversicherungs AG

(Insurance) 236,300 0.06

2,347 Osram Licht AG


3,612 RWE AG (Electric) 145,206 0.04

22,893 SAP AG (Software) 1,750,837 0.42

20,577 Siemens AG


948 Volkswagen AG—Preferred


18,234,818 4.41

Goldman Sachs Funds II—GMS Global Equity Portfolio

% of



% of



38



As at 31 May 2014


Hong Kong

179,592 AIA Group Ltd. (Insurance) 900,386 0.22

84,814 Cheung Kong Holdings Ltd. (Real Estate) 1,516,887 0.37

87,500 China Mobile Ltd. (Telecommunications) 858,363 0.21

348,000 China Resources Enterprise Ltd. (Retail) 976,299 0.23

17,600 Jardine Matheson Holdings Ltd.

(Holding Companies—Diversified) 1,083,015 0.26

49,000 SJM Holdings Ltd. (Lodging) 140,968 0.03

10,662 Swire Pacific Ltd. "A"


5,602,652 1.35

India

58,518 ICICI Bank Ltd. (Banks) 1,406,942 0.34

Indonesia

1,035,500 Bank Negara Indonesia Persero Tbk PT

(Banks) 423,724 0.10

Ireland

3,677 Accenture Plc. "A" (Computers) 296,109 0.07

1,880,477 Bank of Ireland (Banks) 719,727 0.17

25,769 Covidien Plc. (Healthcare Products) 1,879,591 0.45

48,699 CRH Plc. (Building Materials) 1,345,262 0.33

261,952 Ryanair Holdings Plc. (Airlines) 2,566,404 0.62

9,757 Shire Plc. (Pharmaceuticals) 558,926 0.14

7,366,019 1.78

Israel

9,787 Teva Pharmaceutical Industries Ltd.

(Pharmaceuticals) 494,777 0.12

Italy

18,302 Enel SpA (Electric) 104,100 0.02

5,996 Eni SpA (Oil & Gas) 153,537 0.04

1,482 Luxottica Group SpA


341,892 0.08

Japan

5,400 Aeon Co., Ltd. (Retail) 65,441 0.02

3,600 Aisin Seiki Co., Ltd.


2,000 Asahi Group Holdings Ltd.


22,000 Astellas Pharma, Inc. (Pharmaceuticals) 283,163 0.07

665,301 Bank of Yokohama Ltd. (Banks) 3,725,276 0.90

4,000 Bridgestone Corp.


4,000 Canon, Inc. (Office/Business Equipment) 131,800 0.03

1,400 Central Japan Railway Co. (Transportation) 186,019 0.04

10,200 Chubu Electric Power Co., Inc. (Electric) 123,025 0.03

9,600 Daiichi Sankyo Co., Ltd. (Pharmaceuticals) 163,291 0.04

3,000 Denso Corp. (Auto Parts & Equipment) 138,317 0.03

2,400 FamilyMart Co., Ltd. (Retail) 103,225 0.02

800 FANUC Corp. (Machinery—Diversified) 136,911 0.03

34,000 Hitachi Ltd.


9,000 Honda Motor Co., Ltd.


4,400 Hoya Corp. (Electronics) 136,539 0.03

259,427 Inpex Corp. (Oil & Gas) 3,758,410 0.91

11,000 ITOCHU Corp. (Distribution/Wholesale) 130,549 0.03

27,300 Japan Exchange Group, Inc.


14,100 Japan Tobacco, Inc.



Japan – (continued)

5,500 Kao Corp. (Cosmetics/Personal Care) 218,255 0.05

3,400 KDDI Corp. (Telecommunications) 203,235 0.05

11,000 Kirin Holdings Co., Ltd.


2,900 Komatsu Ltd.

(Machinery—Construction & Mining) 63,487 0.02

175,007 Kyowa Hakko Kirin Co., Ltd.

(Pharmaceuticals) 2,133,858 0.52

123,512 Mitsubishi Corp. (Distribution/Wholesale) 2,447,862 0.59

11,000 Mitsubishi Electric Corp.

(Machinery—Construction & Mining) 128,725 0.03

22,000 Mitsubishi Heavy Industries Ltd.


72,999 Mitsubishi UFJ Financial Group, Inc. (Banks) 413,364 0.10

11,005 Mitsui & Co., Ltd. (Distribution/Wholesale) 167,455 0.04

159,900 Mizuho Financial Group, Inc. (Banks) 312,776 0.08

55,297 MS&AD Insurance Group Holdings

(Insurance) 1,317,834 0.32

1,100 Murata Manufacturing Co., Ltd. (Electronics) 93,820 0.02

50,800 Namco Bandai Holdings, Inc.

(Toys/Games/Hobbies) 1,112,086 0.27

9,751 Nintendo Co., Ltd. (Toys/Games/Hobbies) 1,139,216 0.28

3,200 Nippon Telegraph & Telephone Corp.


23,800 Nissan Motor Co., Ltd.


49,330 NKSJ Holdings, Inc. (Insurance) 1,379,558 0.33

12,200 NTT DoCoMo, Inc. (Telecommunications) 203,400 0.05

29,500 Olympus Corp. (Healthcare Products) 955,083 0.23

8,400 ORIX Corp. (Diversified Financial Services) 134,228 0.03

32,000 Osaka Gas Co., Ltd. (Gas) 127,786 0.03

14,900 Rohm Co., Ltd. (Semiconductors) 854,101 0.21

1,800 Santen Pharmaceutical Co., Ltd.


6,400 Seven & I Holdings Co., Ltd.


1,400 Shin-Etsu Chemical Co., Ltd. (Chemicals) 83,739 0.02

12,322 SMC Corp. (Hand/Machine Tools) 3,234,839 0.78

1,200 Softbank Corp. (Telecommunications) 87,300 0.02

10,700 Sumitomo Corp. (Distribution/Wholesale) 140,571 0.03

6,000 Sumitomo Metal Mining Co., Ltd. (Mining) 91,249 0.02

8,587 Sumitomo Mitsui Financial Group, Inc.

(Banks) 348,455 0.08

655,718 Sumitomo Mitsui Trust Holdings, Inc. (Banks) 2,664,677 0.64

53,724 Suzuki Motor Corp.


6,000 Takeda Pharmaceutical Co., Ltd.


49,500 THK Co., Ltd. (Hand/Machine Tools) 1,098,179 0.27

39,148 Tokio Marine Holdings, Inc. (Insurance) 1,244,397 0.30

18,200 Tokyo Electron Ltd. (Semiconductors) 1,102,987 0.27

29,000 Tokyo Gas Co., Ltd. (Gas) 164,720 0.04

4,000 Toyo Suisan Kaisha Ltd.


11,427 Toyota Motor Corp.


2,800 Unicharm Corp.


1,600 West Japan Railway Co. (Transportation) 68,227 0.02

3,200 Yamato Holdings Co., Ltd. (Transportation) 68,398 0.02

38,773,890 9.37

Jersey

428 Randgold Resources Ltd. (Mining) 31,613 0.01


% of



% of



39



As at 31 May 2014


Korea

3,697 Samsung Electronics Co., Ltd.—GDR(a)

(Electronics) 2,624,870 0.64

18,440 SK Hynix, Inc. (Semiconductors) 798,855 0.19

3,423,725 0.83

Macau

35,600 Wynn Macau Ltd. (Lodging) 148,150 0.04

Mexico

67,370 Grupo Televisa SAB—ADR(a) (Media) 2,308,770 0.56

Netherlands

1,288 Akzo Nobel NV (Chemicals) 96,312 0.02

32,746 Heineken NV (Food, Beverages & Tobacco) 2,292,974 0.55

17,954 ING Groep NV (Insurance) 251,268 0.06

7,902 Koninklijke Ahold NV


5,125 Koninklijke Philips NV (Electronics) 161,634 0.04

31,400 QIAGEN NV (Healthcare Products) 718,432 0.17

3,917 Royal Dutch Shell Plc. "A" (Oil & Gas) 153,812 0.04

9,148 Royal Dutch Shell Plc. "A"

(traded in United Kingdom) (Oil & Gas) 359,291 0.09

15,254 Royal Dutch Shell Plc. "B" (Oil & Gas) 621,074 0.15

15,607 Unilever NV (Food, Beverages & Tobacco) 677,052 0.16

5,475,373 1.32

Norway

125,835 Norsk Hydro ASA (Mining) 682,645 0.16

14,760 Schibsted ASA (Media) 850,547 0.21

16,886 Statoil ASA (Oil & Gas) 517,572 0.13

9,496 Telenor ASA (Telecommunications) 225,041 0.05

2,275,805 0.55

Portugal

16,410 Portugal Telecom SGPS S.A.


Russia

38,920 Sberbank of Russia—ADR(a) (Banks) 394,454 0.09

48,831 Sberbank of Russia—ADR(a)

(traded in United Kingdom) (Banks) 494,932 0.12

889,386 0.21

Singapore

1,915,595 Golden Agri-Resources Ltd. (Agriculture) 878,400 0.21

48,000 Singapore Telecommunications Ltd.


9,000 United Overseas Bank Ltd. (Banks) 162,035 0.04

1,188,956 0.29

South Africa

47,065 MTN Group Ltd. (Telecommunications) 994,419 0.24

36,294 Naspers Ltd. "N" (Media) 4,073,894 0.98

5,068,313 1.22

Spain

26,849 Banco Bilbao Vizcaya Argentaria S.A. (Banks) 343,719 0.08

146,337 Distribuidora Internacional de Alimentacion S.A.


55,049 Iberdrola S.A. (Electric) 394,617 0.10

682 Inditex S.A. (Retail) 99,301 0.02

27,893 Mapfre S.A. (Insurance) 113,367 0.03

5,914 Repsol S.A. (Oil & Gas) 167,024 0.04

33,492 Telefonica S.A. (Telecommunications) 561,099 0.14

3,019,743 0.73


Sweden

62,215 Atlas Copco AB "B"


3,983 Hennes & Mauritz AB "B" (Retail) 169,754 0.04

43,418 Investor AB "B" (Investment Companies) 1,709,214 0.41

19,579 Nordea Bank AB (Banks) 289,107 0.07

7,448 Sandvik AB (Hand/Machine Tools) 106,461 0.03

7,857 Skandinaviska Enskilda Banken AB "A"

(Banks) 106,418 0.03

4,149 Skanska AB "B"


6,996 Svenska Cellulosa AB SCA "B"

(Forest Products & Paper) 195,282 0.05

42,806 Svenska Handelsbanken AB "A" (Banks) 2,183,086 0.53

4,021 Swedbank AB "A" (Banks) 107,296 0.03

2,190 Swedish Match AB


14,335 Telefonaktiebolaget LM Ericsson "B"


36,677 TeliaSonera AB (Telecommunications) 272,054 0.06

79,285 Volvo AB "B" (Automobile Manufacturers) 1,157,662 0.28

8,361,057 2.02

Switzerland

6,127 ABB Ltd. (Construction & Engineering) 145,656 0.03

15,276 Cie Financiere Richemont S.A. (Retail) 1,601,901 0.39

3,407 Coca-Cola HBC AG


8,218 Credit Suisse Group AG (Banks) 243,863 0.06

45,465 Glencore Plc. (Mining) 246,284 0.06

2,410 Julius Baer Group Ltd.


92,205 Nestle S.A. (Food, Beverages & Tobacco) 7,215,731 1.74

58,623 Novartis AG (Pharmaceuticals) 5,248,210 1.27

468 Partners Group Holding AG


27,297 Roche Holding AG (Pharmaceuticals) 8,057,548 1.95

11,130 Schindler Holding AG

(Hand/Machine Tools) 1,718,420 0.41

170 Swatch Group AG (Retail) 100,039 0.02

386 Swisscom AG (Telecommunications) 230,162 0.06

332 Syngenta AG (Chemicals) 127,926 0.03

8,524 Transocean Ltd. (Oil & Gas) 359,883 0.09

26,609 UBS AG (Banks) 533,724 0.13

34,178 Wolseley Plc. (Distribution/Wholesale) 1,902,934 0.46

1,372 Zurich Insurance Group AG (Insurance) 411,263 0.10

28,450,936 6.88

Taiwan

147,400 Taiwan Semiconductor Manufacturing

Co., Ltd.—ADR(a) (Semiconductors) 3,032,018 0.73

Thailand

101,600 Bangkok Bank PCL—NVDR (Banks) 572,859 0.14

Turkey

148,590 Turkiye Garanti Bankasi AS (Banks) 609,818 0.15

United Arab Emirates

55,807 Dragon Oil Plc. (Oil & Gas) 566,767 0.14

United Kingdom

15,380 Aggreko Plc. (Commercial Services) 428,930 0.10

44,652 Anglo American Plc. (Mining) 1,102,481 0.27

24,945 Aon Plc. (Insurance) 2,237,566 0.54

6,113 AstraZeneca Plc. (Pharmaceuticals) 440,158 0.11

10,195 Balfour Beatty Plc.



% of



% of



40



As at 31 May 2014



United Kingdom – (continued)

144,008 Barclays Plc. (Banks) 592,485 0.14

24,572 BG Group Plc. (Oil & Gas) 504,654 0.12

10,771 BHP Billiton Plc. (Mining) 338,627 0.08

89,756 BP Plc. (Oil & Gas) 756,696 0.18

36,337 British American Tobacco Plc.


7,598 British Sky Broadcasting Group Plc. (Media) 111,579 0.03

33,534 BT Group Plc. (Telecommunications) 223,039 0.05

45,269 Bunzl Plc. (Commercial Services) 1,265,151 0.31

4,060 Burberry Group Plc. (Apparel) 103,949 0.02

43,189 Centrica Plc. (Gas) 241,869 0.06

3,509 Compass Group Plc.


100,722 Diageo Plc. (Food, Beverages & Tobacco) 3,235,724 0.78

6,698 Ensco Plc. "A" (Oil & Gas) 353,052 0.09

158,717 GlaxoSmithKline Plc. (Pharmaceuticals) 4,260,320 1.03

370,974 Hays Plc. (Commercial Services) 931,794 0.23

115,988 HSBC Holdings Plc. (Banks) 1,222,239 0.30

11,482 Imperial Tobacco Group Plc.


3,033 InterContinental Hotels Group Plc.

(Lodging) 119,046 0.03

12,069 J Sainsbury Plc.


4,705 London Stock Exchange Group Plc.


16,997 National Grid Plc. (Gas) 253,637 0.06

73,915 Noble Corp., Plc. (Oil & Gas) 2,312,800 0.56

10,515 Pearson Plc. (Media) 204,774 0.05

209,130 Prudential Plc. (Insurance) 4,857,112 1.17

4,502 Reckitt Benckiser Group Plc.


4,590 Reed Elsevier Plc. (Media) 73,401 0.02

5,304 Rio Tinto Plc. (Mining) 273,285 0.07

110,681 Rolls-Royce Holdings Plc.

(Aerospace & Defence) 1,924,968 0.46

5,050 SABMiller Plc.


19,604 Smith & Nephew Plc.


8,234 SSE Plc. (Electric) 214,952 0.05


30,786 Standard Life Plc. (Insurance) 206,256 0.05

49,626 Tesco Plc. (Food, Beverages & Tobacco) 252,865 0.06

48,308 Tullow Oil Plc. (Oil & Gas) 681,715 0.16

6,601 Unilever Plc.


220,537 Vodafone Group Plc. (Telecommunications) 773,661 0.19

35,787 Vodafone Group Plc.—ADR(a)


73,736 Willis Group Holdings Plc. (Insurance) 3,073,316 0.74

47,888 WM Morrison Supermarkets Plc.


41,149,100 9.94

United States

9,107 AbbVie, Inc. (Pharmaceuticals) 492,507 0.12

14,170 ADT Corp.


9,202 AES Corp. (Electric) 127,080 0.03

4,093 Aflac, Inc. (Insurance) 250,942 0.06

29,840 Allstate Corp. (Insurance) 1,744,148 0.42

6,858 Amazon.com, Inc. (Internet) 2,128,929 0.51

7,400 Ameren Corp. (Electric) 288,970 0.07

3,246 American Electric Power Co., Inc. (Electric) 171,648 0.04

15,109 American Express Co.


27,684 AOL, Inc. (Internet) 1,010,189 0.24


United States – (continued)

24,506 Apache Corp. (Oil & Gas) 2,273,422 0.55

3,889 Apple, Inc. (Computers) 2,478,187 0.60

16,534 Archer-Daniels-Midland Co. (Agriculture) 739,070 0.18

2,431 Assurant, Inc. (Insurance) 165,478 0.04

43,764 AT&T, Inc. (Telecommunications) 1,548,808 0.37

19,263 Baker Hughes, Inc. (Oil & Gas Services) 1,357,656 0.33

3,547 Berkshire Hathaway, Inc. "B" (Insurance) 455,186 0.11

20,764 BioMarin Pharmaceutical, Inc.

(Biotechnology) 1,182,510 0.29

8,769 Broadcom Corp. "A" (Semiconductors) 279,556 0.07

46,550 Brown & Brown, Inc. (Insurance) 1,410,465 0.34

7,079 Calpine Corp. (Electric) 163,737 0.04

3,552 Capital One Financial Corp. (Banks) 280,466 0.07

10,134 Cardinal Health, Inc. (Pharmaceuticals) 715,562 0.17

33,062 CarMax, Inc. (Retail) 1,487,129 0.36

46,910 Carnival Corp. (Leisure Time) 1,866,549 0.45

17,200 CenturyLink, Inc. (Telecommunications) 648,784 0.16

23,603 Chevron Corp. (Oil & Gas) 2,886,411 0.70

88,104 Cisco Systems, Inc. (Telecommunications) 2,160,310 0.52

20,573 Citigroup, Inc. (Banks) 976,806 0.24

26,966 Coach, Inc. (Retail) 1,100,213 0.27

47,986 Coca-Cola Co.


21,104 Colgate-Palmolive Co.


44,395 Comcast Corp. "A" (Media) 2,305,432 0.56

7,005 ConAgra Foods, Inc.


7,825 Consolidated Edison, Inc. (Electric) 427,871 0.10

20,498 Cooper Tire & Rubber Co.


1,931 Costco Wholesale Corp. (Retail) 222,142 0.05

3,839 CVS Caremark Corp. (Retail) 299,135 0.07

17,106 Deere & Co. (Machinery—Diversified) 1,555,449 0.38

7,376 Diamond Offshore Drilling, Inc. (Oil & Gas) 376,397 0.09

3,532 Dick's Sporting Goods, Inc. (Retail) 157,633 0.04

4,032 Discover Financial Services


36,285 Dolby Laboratories, Inc. "A"

(Entertainment) 1,504,739 0.36

1,840 DTE Energy Co. (Electric) 138,865 0.03

8,876 Duke Energy Corp. (Electric) 625,847 0.15

47,535 eBay, Inc. (Internet) 2,384,831 0.58

10,244 Edison International (Electric) 557,888 0.13

28,796 Eli Lilly & Co. (Pharmaceuticals) 1,714,226 0.41

3,801 Entergy Corp. (Electric) 285,645 0.07

21,802 EOG Resources, Inc. (Oil & Gas) 2,304,907 0.56

132,644 Exelon Corp. (Electric) 4,845,485 1.17

26,929 Exxon Mobil Corp. (Oil & Gas) 2,706,634 0.65

10,370 Facebook, Inc. "A" (Internet) 660,569 0.16

4,276 Family Dollar Stores, Inc. (Retail) 248,778 0.06

9,708 FedEx Corp. (Transportation) 1,402,223 0.34

2,661 Fifth Third Bancorp (Banks) 55,136 0.01

41,420 First Republic Bank (Banks) 2,116,148 0.51

9,725 FirstEnergy Corp. (Electric) 325,885 0.08

51,112 FLIR Systems, Inc. (Electronics) 1,769,497 0.43

5,089 Fluor Corp. (Construction & Engineering) 382,744 0.09

61,921 Ford Motor Co.


110,643 General Electric Co.


22,981 General Motors Co.


2,405 Google, Inc. "A" (Internet) 1,364,621 0.33

2,405 Google, Inc. "C" (Internet) 1,340,282 0.32

33,437 Harley-Davidson, Inc. (Leisure Time) 2,378,875 0.58

34,548 HealthSouth Corp.


% of



% of



41



As at 31 May 2014



18,667 Symantec Corp. (Internet) 412,541 0.10

12,884 Sysco Corp. (Food, Beverages & Tobacco) 478,769 0.12

4,161 T-Mobile USA, Inc. (Telecommunications) 144,803 0.04

28,460 Target Corp. (Retail) 1,602,013 0.39

82,169 TD Ameritrade Holding Corp.


10,199 Teradata Corp. (Computers) 425,604 0.10

67,676 Teradyne, Inc. (Semiconductors) 1,214,784 0.29

5,431 Tesla Motors, Inc.


96,850 TIBCO Software, Inc. (Internet) 2,085,180 0.50

34,149 Time Warner, Inc. (Media) 2,408,870 0.58

10,209 Torchmark Corp. (Insurance) 827,848 0.20

7,342 Travelers Cos., Inc. (Insurance) 689,047 0.17

8,606 TripAdvisor, Inc. (Internet) 837,020 0.20

9,254 Twitter, Inc. (Internet) 306,076 0.07

68,709 Ultra Petroleum Corp. (Oil & Gas) 1,846,211 0.45

78,600 Unum Group (Insurance) 2,670,042 0.65

19,733 US Bancorp (Banks) 833,917 0.20

42,290 Verizon Communications, Inc.


6,991 Visa, Inc. "A"


62,410 Wal-Mart Stores, Inc. (Retail) 4,759,387 1.15

24,590 Walt Disney Co. (Media) 2,073,429 0.50

13,118 Waters Corp. (Electronics) 1,312,849 0.32

21,067 WellPoint, Inc. (Healthcare Services) 2,281,767 0.55

24,841 Wells Fargo & Co. (Banks) 1,253,477 0.30

8,399 Xcel Energy, Inc. (Electric) 256,337 0.06

28,691 Xilinx, Inc. (Semiconductors) 1,347,616 0.33

176,449,101 42.64

TOTAL COMMON STOCKS

(cost USD 322,786,114) 389,272,655 94.07


Ireland



United States

64,197 iShares MSCI Australia Index Fund 1,701,220 0.41

187,431 iShares MSCI Japan Index Fund 2,170,451 0.52

4,705 iShares MSCI Switzerland Capped Index Fund 165,381 0.04

14,290 iShares MSCI United Kingdom Index Fund 310,236 0.08

4,347,288 1.05

TOTAL MUTUAL FUNDS

(cost USD 15,040,601) 15,208,280 3.68



(cost USD 337,826,715) 404,480,935 97.75

Other Transferable Securities


United Kingdom

14,831,254 Rolls-Royce Holding Plc. "C"—Preferred(d) 24,835 0.01

TOTAL COMMON STOCKS

(cost USD nil) 24,835 0.01

TOTAL OTHER TRANSFERABLE SECURITIES

(cost USD nil) 24,835 0.01


EXCLUDING DERIVATIVES

(cost USD 337,826,715) 404,505,770 97.76




16,222 Hewlett-Packard Co. (Computers) 543,924 0.13

4,800 Howard Hughes Corp. /The (Real Estate) 703,200 0.17

42,515 Intel Corp. (Semiconductors) 1,160,234 0.28

3,534 International Business Machines Corp.

(Computers) 647,712 0.16

844 Intuitive Surgical, Inc. (Healthcare Products) 314,120 0.08

4,470 Jacobs Engineering Group, Inc.


21,948 Johnson & Johnson (Pharmaceuticals) 2,210,822 0.53

24,490 JPMorgan Chase & Co. (Banks) 1,367,032 0.33

62,760 Juniper Networks, Inc. (Telecommunications) 1,569,628 0.38

13,068 KBR, Inc. (Construction & Engineering) 316,246 0.08

3,559 Kohl's Corp. (Retail) 194,748 0.05

6,367 Kroger Co. (Food, Beverages & Tobacco) 300,013 0.07

20,656 Lincoln Electric Holdings, Inc.

(Hand/Machine Tools) 1,359,784 0.33

2,615 Lockheed Martin Corp.


13,380 Lorillard, Inc.


9,640 LyondellBasell Industries NV "A"

(Chemicals) 958,120 0.23

17,720 M&T Bank Corp. (Banks) 2,156,347 0.52

12,503 Marathon Petroleum Corp. (Oil & Gas) 1,117,768 0.27

3,440 Markel Corp. (Insurance) 2,190,214 0.53

6,251 Martin Marietta Materials, Inc.

(Building Materials) 770,186 0.19

20,851 MasterCard, Inc. "A"

(Commercial Services) 1,599,272 0.39

8,655 McDonald's Corp. (Retail) 872,943 0.21

31,173 Merck & Co., Inc. (Pharmaceuticals) 1,799,617 0.44

7,897 MetLife, Inc. (Insurance) 403,221 0.10

63,568 Microsoft Corp. (Software) 2,570,690 0.62

23,783 Molson Coors Brewing Co. "B"


29,420 Moody's Corp. (Commercial Services) 2,501,877 0.60

43,741 Myriad Genetics, Inc. (Biotechnology) 1,465,761 0.35

7,893 NASDAQ OMX Group, Inc.


89,270 New York Community Bancorp, Inc.


28,429 Newmont Mining Corp. (Mining) 647,897 0.16

2,146 NextEra Energy, Inc. (Electric) 207,497 0.05

2,656 Northrop Grumman Corp.


3,337 Occidental Petroleum Corp. (Oil & Gas) 331,164 0.08

79,085 Oracle Corp. (Software) 3,312,080 0.80

43,472 PepsiCo, Inc.


65,465 Pfizer, Inc. (Pharmaceuticals) 1,935,145 0.47

12,149 PG&E Corp. (Electric) 553,387 0.13

26,460 Philip Morris International, Inc.


3,961 PNC Financial Services Group, Inc.

(Banks) 338,309 0.08

5,407 PPL Corp. (Electric) 188,596 0.05

8,681 Praxair, Inc. (Chemicals) 1,145,197 0.28

26,724 Procter & Gamble Co.


12,657 Prudential Financial, Inc. (Insurance) 1,043,570 0.25

51,234 Public Service Enterprise Group, Inc.

(Electric) 1,976,095 0.48

26,126 QUALCOMM, Inc. (Semiconductors) 2,088,774 0.50

7,787 Quanta Services, Inc.


70,928 Royal Caribbean Cruises Ltd.

(Leisure Time) 3,869,122 0.94

19,800 Seattle Genetics, Inc. (Biotechnology) 674,586 0.16

7,427 Southern Co. (Electric) 322,629 0.08

44,760 Stillwater Mining Co. (Mining) 757,339 0.18

% of



% of



42



As at 31 May 2014


Futures Contracts – 0.03%

Commitment Unrealised % of

Number of Market Value Gain Shareholders’

Contracts Security Description USD USD Equity

EUR

18 DJ Euro STOXX 50

Index Futures

20/06/2014 Long 793,613 47,277 0.01

GBP

4 FTSE 100

Index Futures

20/06/2014 Long 457,875 18,553 0.00

USD

16 E-Mini S&P 500

Index Futures

20/06/2014 Long 1,533,200 60,613 0.02

UNREALISED GAIN ON FUTURES CONTRACTS 126,443 0.03

Forward Currency Contracts – 0.01%

Unrealised % of

Amount Amount Maturity Gain Shareholders'

Currency Bought Currency Sold Date USD Equity

AUD 1,108,000 HKD 7,917,831 18/06/2014 7,215 0.00

AUD 631,000 JPY 57,931,479 18/06/2014 16,650 0.01

CAD 11,562,114 USD 10,480,094 18/06/2014 174,059 0.04

GBP 242,439 USD 400,000 18/06/2014 5,918 0.00

HKD 24,972,384 USD 3,218,319 18/06/2014 2,875 0.00

JPY 188,272,398 USD 1,824,015 18/06/2014 25,502 0.01

SGD 318,932 USD 251,438 18/06/2014 2,872 0.00

USD 1,875,016 CHF 1,645,458 18/06/2014 39,111 0.01

USD 11,955,185 EUR 8,625,055 18/06/2014 207,854 0.05

UNREALISED GAIN ON FORWARD

CURRENCY CONTRACTS 482,056 0.12

Unrealised % of

Amount Amount Maturity Loss Shareholders'


AUD 4,484,000 USD 4,167,039 18/06/2014 (4,615) (0.00)

EUR 1,152,211 USD 1,588,000 18/06/2014 (18,688) (0.00)

HKD 9,083,577 AUD 1,266,000 18/06/2014 (3,514) (0.00)

HKD 31,424,077 CAD 4,432,000 18/06/2014 (30,561) (0.01)

USD 6,990,665 AUD 7,666,086 18/06/2014 (125,638) (0.03)

USD 9,803,984 CAD 10,845,291 18/06/2014 (189,637) (0.05)

USD 3,060,197 GBP 1,840,781 18/06/2014 (21,842) (0.01)

USD 6,137,119 JPY 627,039,000 18/06/2014 (22,675) (0.01)

USD 5,165,087 JPY 526,968,000 26/06/2014 (11,906) (0.00)

UNREALISED LOSS ON FORWARD

CURRENCY CONTRACTS (429,076) (0.11)


(cost USD 337,826,715) 404,685,193 97.80



% of



Total Investments excluding derivatives

(cost USD 337,826,715) 404,505,770 97.76

Unrealised gain on futures contracts 126,443 0.03

Unrealised gain on forward currency contracts 482,056 0.12

Unrealised loss on forward currency contracts (429,076) (0.11)



The Futures Commission Merchant was Newedge Canada, Inc.

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

Bank & Trust

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





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

% of

Shareholders'


Common StocksPharmaceuticals 9.01

Food, Beverages & Tobacco 8.96

Insurance 7.68

Banks 7.62

Oil & Gas 7.29


Retail 3.53

Media 3.49

Internet 3.40

Electric 3.30

Others 35.72


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)


TOTAL 100.00

43



As at 31 May 2014



Aerospace & Defence

41,000 IHI Corp. 17,625 0.56

Airlines

3,400 Japan Airlines Co., Ltd. 18,086 0.58

Auto Parts & Equipment

12,600 JTEKT Corp. 19,746 0.63

37,900 Sumitomo Electric Industries Ltd. 52,184 1.66

16,000 Sumitomo Rubber Industries Ltd. 24,332 0.78

96,262 3.07

Automobile Manufacturers

16,900 Honda Motor Co., Ltd. 60,569 1.94

79,000 Mazda Motor Corp. 35,075 1.12

49,800 Nissan Motor Co., Ltd. 45,956 1.47

11,800 Toyota Motor Corp. 68,386 2.18

209,986 6.71

Banks

254,700 Mitsubishi UFJ Financial Group, Inc. 146,830 4.69

303,600 Mizuho Financial Group, Inc. 60,458 1.93

22,300 Sumitomo Mitsui Financial Group, Inc. 92,125 2.94

118,000 Sumitomo Mitsui Trust Holdings, Inc. 48,818 1.56

348,231 11.12

Building Materials

68,000 Asahi Glass Co., Ltd. 38,644 1.23

4,000 Daikin Industries Ltd. 24,440 0.78

15,300 LIXIL Group Corp. 40,532 1.29

23,000 Nice Holdings, Inc. 4,316 0.14

3,000 Rinnai Corp. 26,851 0.86

134,783 4.30

Chemicals

12,000 Air Water, Inc. 18,981 0.61

37,000 Asahi Kasei Corp. 28,276 0.90

79,000 Denki Kagaku Kogyo KK 29,347 0.94

9,900 Hitachi Chemical Co., Ltd. 15,700 0.50

11,900 JSR Corp. 20,476 0.65

18,000 Mitsubishi Gas Chemical Co., Inc. 10,785 0.34

16,000 Nippon Shokubai Co., Ltd. 20,565 0.66

5,200 Nissan Chemical Industries Ltd. 8,050 0.26

1,700 Nitto Denko Corp. 8,033 0.26

2,100 Shin-Etsu Chemical Co., Ltd. 12,787 0.41

53,000 Showa Denko KK 6,918 0.22

72,000 Teijin Ltd. 16,726 0.53

58,000 Ube Industries Ltd. 9,741 0.31

206,385 6.59

Computers

65,000 Fujitsu Ltd. 45,025 1.44

3,200 SCSK Corp. 8,448 0.27

53,473 1.71

Construction & Engineering

34,000 Taisei Corp. 17,894 0.57

Cosmetics/Personal Care

4,100 Kao Corp. 16,564 0.53


Distribution/Wholesale

49,000 Mitsubishi Corp. 98,865 3.16

19,000 Mitsui & Co., Ltd. 29,433 0.94

128,298 4.10

Diversified Financial Services

70,400 Nomura Holdings, Inc. 47,485 1.52

63,500 ORIX Corp. 103,302 3.30

150,787 4.82

Electric

5,500 Electric Power Development Co., Ltd. 16,686 0.53

Electrical Components & Equipment

83,000 Hitachi Ltd. 57,113 1.83

9,000 Nidec Corp. 53,619 1.71

110,732 3.54

Electronics

600 Keyence Corp. 23,918 0.77

89,000 Toshiba Corp. 37,342 1.19

61,260 1.96

Entertainment

7,500 Toho Co., Ltd. 16,445 0.53

Food, Beverages & Tobacco

17,000 Ajinomoto Co., Inc. 27,086 0.87

9,900 Japan Tobacco, Inc. 34,252 1.09

4,200 Seven & I Holdings Co., Ltd. 17,187 0.55

78,525 2.51

Gas

37,000 Tokyo Gas Co., Ltd. 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

Investment Companies

13,400 Jafco Co., Ltd. 54,530 1.74

Iron/Steel

145,000 Nippon Steel & Sumitomo Metal Corp. 41,838 1.34

Machinery—Construction & Mining

18,600 Komatsu Ltd. 41,454 1.32

31,000 Mitsubishi Electric Corp. 36,932 1.18

78,386 2.50

Goldman Sachs Funds II—GMS Japan Equity Portfolio

% of


Holdings Security Description (‘000) JPY Equity

% of



44



As at 31 May 2014


Machinery—Diversified

17,000 Amada Co., Ltd. 16,490 0.52

1,200 FANUC Corp. 20,907 0.67

37,397 1.19

Mining

27,000 Dowa Holdings Co., Ltd. 24,453 0.78

Miscellaneous Manufacturing

9,500 FUJIFILM Holdings Corp. 25,143 0.80

Office Furnishings

7,000 Okamura Corp. 6,170 0.20

Office/Business Equipment

25,200 Canon, Inc. 84,533 2.70

20,800 Ricoh Co., Ltd. 25,985 0.83

110,518 3.53

Oil & Gas

132,000 JX Holdings, Inc. 70,178 2.24

Pharmaceuticals

24,600 Astellas Pharma, Inc. 32,234 1.03

11,300 Daiichi Sankyo Co., Ltd. 19,568 0.63

2,000 Mitsubishi Tanabe Pharma Corp. 2,969 0.09

54,771 1.75

Real Estate

6,700 Aeon Mall Co., Ltd. 17,197 0.55

5,000 Mitsui Fudosan Co., Ltd. 16,225 0.52

7,600 NTT Urban Development Corp. 7,807 0.25

57,500 Tokyu Fudosan Holdings Corp. 46,359 1.48

87,588 2.80

Real Estate Investment Trust

65 Japan Retail Fund Investment Corp. 14,576 0.47

Retail

6,400 Izumi Co., Ltd. 20,463 0.65

16,100 Marui Group Co., Ltd. 15,565 0.50

2,500 Shimamura Co., Ltd. 24,672 0.79

20,000 Takashimaya Co., Ltd. 20,106 0.64

107,800 Yamada Denki Co., Ltd. 40,617 1.30

121,423 3.88

Semiconductors

18,000 Nippon Chemi-Con Corp. 5,532 0.18

41,800 Sumco Corp. 33,482 1.07

5,500 Tokyo Electron Ltd. 33,934 1.08

72,948 2.33


Software

12,200 Capcom Co., Ltd. 21,083 0.67

7,400 Square Enix Holdings Co., Ltd. 11,797 0.38

32,880 1.05

Telecommunications

13,400 Nippon Telegraph & Telephone Corp. 81,259 2.60

18,900 NTT DoCoMo, Inc. 32,079 1.02

113,338 3.62

Textiles

29,000 Toray Industries, Inc. 18,895 0.60

Toys/Games/Hobbies

5,500 Namco Bandai Holdings, Inc. 12,258 0.39

5,600 Nintendo Co., Ltd. 66,606 2.13

78,864 2.52

Transportation

2,100 Central Japan Railway Co. 28,407 0.91

6,200 East Japan Railway Co. 48,292 1.54

115,000 Nippon Yusen KK 34,680 1.11

111,379 3.56

TOTAL COMMON STOCKS

(cost ('000) JPY 2,791,980) 3,072,717 98.15



(cost ('000) JPY 2,791,980) 3,072,717 98.15


(cost ('000) JPY 2,791,980) 3,072,717 98.15

OTHER ASSETS AND LIABILITIES 57,974 1.85


% of


TOTAL INVESTMENTS ('000) JPY Equity

Total Investments (cost ('000) JPY 2,791,980) 3,072,717 98.15

Other Assets and Liabilities 57,974 1.85


Goldman Sachs Funds II—GMS Japan Equity Portfolio

% of



% of



45



As at 31 May 2014

Goldman Sachs Funds II—GMS US Equity Portfolio



Aerospace & Defence

19,440 B/E Aerospace, Inc. 1,846,994 0.40

78,990 United Technologies Corp. 9,151,782 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 Citigroup, Inc. 3,083,114 0.66

225,630 Popular, Inc. 6,852,383 1.47

9,935,497 2.13

Biotechnology

39,115 Celgene Corp. 5,937,657 1.27

61,450 Cubist Pharmaceuticals, Inc. 4,067,990 0.87

10,005,647 2.14

Chemicals

39,250 Axiall Corp. 1,799,613 0.39

30,950 Eastman Chemical Co. 2,711,839 0.58

35,810 FMC Corp. 2,744,478 0.59

13,040 Huntsman Corp. 349,342 0.07

47,790 Monsanto Co. 5,811,264 1.25

28,410 Mosaic Co. 1,415,386 0.30

35,520 Rockwood Holdings, Inc. 2,710,886 0.58

17,542,808 3.76

Coal

74,060 CONSOL Energy, Inc. 3,273,452 0.70

76,800 Peabody Energy Corp. 1,267,200 0.27

4,540,652 0.97

Commercial Services

12,035 Alliance Data Systems Corp. 3,064,111 0.65

32,680 Apollo Education Group, Inc. 871,249 0.19

13,200 Equifax, Inc. 932,712 0.20

9,200 MasterCard, Inc. "A" 705,640 0.15

5,573,712 1.19

Computers

24,239 Apple, Inc. 15,445,818 3.31

96,640 EMC Corp. 2,576,422 0.55

23,420 IHS, Inc. "A" 2,951,857 0.63

62,860 International Business Machines Corp. 11,520,981 2.47

97,820 VeriFone Systems, Inc. 3,240,777 0.70

35,735,855 7.66

Distribution/Wholesale

28,690 Fastenal Co. 1,401,506 0.30

Diversified Financial Services

22,420 Ameriprise Financial, Inc. 2,529,424 0.54

52,170 Evertec, Inc. 1,249,993 0.27

93,365 Franklin Resources, Inc. 5,150,947 1.11

11,450 McGraw Hill Financial, Inc. 929,397 0.20

16,190 Visa, Inc. "A" 3,466,279 0.74

13,326,040 2.86


Electrical Components & Equipment

57,290 AMETEK, Inc. 3,032,360 0.65

14,380 Energizer Holdings, Inc. 1,660,890 0.36

4,693,250 1.01

Electronics

13,330 FLIR Systems, Inc. 461,485 0.10

29,850 Thermo Fisher Scientific, Inc. 3,488,868 0.75

3,950,353 0.85

Food, Beverages & Tobacco

71,910 B&G Foods, Inc. 2,460,041 0.53

47,330 Coca-Cola Co. 1,924,438 0.41

34,090 Hershey Co. 3,312,525 0.71

16,580 Ingredion, Inc. 1,256,764 0.27

74,350 Mondelez International, Inc. "A" 2,793,701 0.60

56,960 PepsiCo, Inc. 4,997,671 1.07

62,585 Philip Morris International, Inc. 5,540,024 1.19

22,285,164 4.78

Healthcare Products

45,300 Alere, Inc. 1,628,988 0.35

10,210 Becton Dickinson and Co. 1,199,777 0.26

573,995 Boston Scientific Corp. 7,473,415 1.60

22,780 Cooper Cos, Inc. 2,926,774 0.63

1,880 Intuitive Surgical, Inc. 699,698 0.15

64,940 Volcano Corp. 1,145,542 0.24

15,074,194 3.23

Healthcare Services

23,360 Catamaran Corp. 1,015,459 0.22

20,130 DaVita HealthCare Partners, Inc. 1,409,905 0.30

2,425,364 0.52

Home Builders

21,260 DR Horton, Inc. 508,752 0.11

11,640 Lennar Corp. "A" 475,145 0.10

12,960 Toll Brothers, Inc. 471,096 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 American International Group, Inc. 8,752,582 1.88

153,205 Brown & Brown, Inc. 4,642,111 0.99

86,295 Endurance Specialty Holdings Ltd. 4,483,025 0.96

73,365 MetLife, Inc. 3,746,017 0.80

65,140 Navigators Group, Inc. 4,060,828 0.87

216,190 Willis Group Holdings Plc. 9,010,799 1.93

34,695,362 7.43

Internet

3,670 Amazon.com, Inc. 1,139,278 0.24

105,170 eBay, Inc. 5,276,379 1.13

8,690 F5 Networks, Inc. 955,466 0.21

56,890 Facebook, Inc. "A" 3,623,893 0.78

8,267 Google, Inc. "A" 4,690,778 1.01

8,317 Google, Inc. "C" 4,634,981 0.99

14,290 HomeAway, Inc. 441,990 0.10

4,680 LinkedIn Corp. "A" 760,874 0.16

4,023 Priceline Group, Inc. 5,153,342 1.10

81,850 Shutterfly, Inc. 3,367,309 0.72

30,044,290 6.44

% of



% of



46



As at 31 May 2014


Leisure Time

19,770 Polaris Industries, Inc. 2,565,355 0.55

Machinery—Construction & Mining

25,500 Caterpillar, Inc. 2,607,885 0.56

18,650 Joy Global, Inc. 1,069,764 0.23

3,677,649 0.79

Machinery—Diversified

17,100 Xylem, Inc. 634,068 0.14

Media

29,940 AMC Networks, Inc. "A" 1,855,980 0.40

51,130 Comcast Corp. "A" 2,655,181 0.57

46,850 Liberty Global Plc.—Series C 2,022,514 0.43

11,610 Nexstar Broadcasting Group, Inc. "A" 536,034 0.12

34,790 Sinclair Broadcast Group, Inc. "A" 1,052,050 0.23

30,850 Starz "A" 941,542 0.20

26,970 Time Warner, Inc. 1,902,464 0.41

9,010 Tribune Co. 711,339 0.15

51,640 Twenty-First Century Fox, Inc. "A" 1,830,121 0.39

114,195 Twenty-First Century Fox, Inc. "B" 3,932,876 0.84

40,670 Viacom, Inc. "B" 3,481,759 0.75

38,390 Walt Disney Co. 3,237,045 0.69

24,158,905 5.18

Mining

164,790 Alcoa, Inc. 2,223,017 0.48

Miscellaneous Manufacturing

38,820 Danaher Corp. 3,033,783 0.65

41,915 Dover Corp. 3,649,120 0.78

50,610 General Electric Co. 1,347,744 0.29

21,715 Parker Hannifin Corp. 2,694,832 0.58

10,725,479 2.30

Oil & Gas

21,710 Apache Corp. 2,014,037 0.43

57,055 Cimarex Energy Co. 7,469,070 1.60

40,910 EOG Resources, Inc. 4,325,005 0.93

30,770 Hess Corp. 2,794,839 0.60

4,770 Range Resources Corp. 436,479 0.09

63,020 Suncor Energy, Inc. 2,413,036 0.52

49,490 Tesoro Corp. 2,791,731 0.60

22,244,197 4.77

Oil & Gas Services

37,540 Baker Hughes, Inc. 2,645,819 0.57

37,290 Cameron International Corp. 2,373,509 0.51

49,850 Halliburton Co. 3,185,914 0.68

44,110 National Oilwell Varco, Inc. 3,605,992 0.77

37,380 Weatherford International Ltd. 809,464 0.17

12,620,698 2.70

Pharmaceuticals

12,940 Express Scripts Holding Co. 919,710 0.20

80,490 GlaxoSmithKline Plc.—ADR(a) 4,341,631 0.93

20,910 Jazz Pharmaceuticals Plc. 2,948,101 0.63

19,040 Johnson & Johnson 1,917,899 0.41

13,300 Mead Johnson Nutrition Co. 1,181,173 0.25

187,665 Pfizer, Inc. 5,547,377 1.19

217,610 Teva Pharmaceutical Industries Ltd.—ADR(a) 11,028,475 2.36

36,955 Valeant Pharmaceuticals International, Inc. 4,746,870 1.02

32,631,236 6.99


Pharmaceuticals & Biotechnology

23,560 Actavis Plc. 5,029,589 1.08

Real Estate

74,350 Alexander & Baldwin, Inc. 2,879,576 0.62

113,170 CBRE Group, Inc. "A" 3,340,778 0.71

37,130 Realogy Holdings Corp. 1,390,704 0.30

7,611,058 1.63

Real Estate Investment Trust

2,410 Alexandria Real Estate Equities, Inc. 182,702 0.04

8,500 BioMed Realty Trust, Inc. 183,515 0.04

6,680 Corporate Office Properties Trust 184,635 0.04

3,100 Digital Realty Trust, Inc. 179,149 0.04

7,080 DuPont Fabros Technology, Inc. 182,310 0.04

321,981 iStar Financial, Inc. 4,636,526 0.99

84,370 Starwood Property Trust, Inc. 2,051,035 0.44

32,420 Weyerhaeuser Co. 1,017,988 0.22

8,617,860 1.85

Retail

75,630 Copart, Inc. 2,684,865 0.58

36,960 Home Depot, Inc. 2,942,755 0.63

26,650 Signet Jewelers Ltd. 2,837,159 0.61

24,930 Starbucks Corp. 1,816,150 0.39

60,065 TJX Cos., Inc. 3,279,549 0.70

21,490 Yum! Brands, Inc. 1,655,160 0.35

15,215,638 3.26

Semiconductors

49,200 QUALCOMM, Inc. 3,933,540 0.84

Software

37,110 Autodesk, Inc. 1,934,915 0.42

53,570 Cerner Corp. 2,920,637 0.63

39,450 Electronic Arts, Inc. 1,372,071 0.29

155,325 Microsoft Corp. 6,281,343 1.35

21,860 MSCI, Inc. 945,226 0.20

29,830 Nuance Communications, Inc. 485,931 0.10

89,810 Oracle Corp. 3,761,243 0.81

62,310 Qlik Technologies, Inc. 1,352,127 0.29

34,810 Red Hat, Inc. 1,745,025 0.37

32,220 Salesforce.com, Inc. 1,740,202 0.37

45,120 ServiceNow, Inc. 2,362,483 0.51

24,901,203 5.34

Telecommunications

91,960 Aruba Networks, Inc. 1,712,295 0.37

275,795 Cisco Systems, Inc. 6,762,493 1.45

62,210 Fortinet, Inc. 1,403,458 0.30

258,665 Juniper Networks, Inc. 6,469,212 1.38

76,690 Verizon Communications, Inc. 3,815,327 0.82

20,162,785 4.32

Transportation

29,730 CH Robinson Worldwide, Inc. 1,775,773 0.38

123,255 HUB Group, Inc. "A" 5,823,799 1.25

34,520 Norfolk Southern Corp. 3,477,890 0.74

11,077,462 2.37

TOTAL COMMON STOCKS

(cost USD 387,170,585) 450,636,959 96.58


% of



% of



47



As at 31 May 2014


% of




United States Dollar



TOTAL MUTUAL FUNDS

(cost USD 14,845,498) 14,845,498 3.18



(cost USD 402,016,083) 465,482,457 99.76


(cost USD 402,016,083) 465,482,457 99.76



% of



Total Investments (cost USD 402,016,083) 465,482,457 99.76







48



As at 31 May 2014

Goldman Sachs Funds II—Dynamic Alternative Strategies Portfolio



Ireland

150,033 ABD Managers Plc. – TDM UCITS Fund

(B1 Accumulation Class) 14,289,147 7.39

25,000 ABD Managers Plc. – TDM UCITS Fund

(B2 Accumulation Class) 2,468,500 1.28

146,735 Adelphi Investment Funds Plc. –

Adelphi European Select Equity Fund 20,560,092 10.63

1,849,432 GAM Star Fund Plc. – Global Rates 22,229,439 11.49

13,480,787 Goldman Sachs Euro Liquid Reserves Fund

(X Distribution Class)(a)(b) 13,480,787 6.97

100,529 Lyxor Dimension IRL Plc. –

Canyon Credit Strategy Fund 11,263,180 5.82

75,173 Lyxor/WNT Fund 7,849,567 4.06

92,140,712 47.64

Luxembourg

78,983 Brevan Howard Invest Fund –

Emerging Markets Local Fixed Income Fund 8,212,404 4.25

153,172 Merrill Lynch Investment Solutions –

Marshall Wace Tops UCITS Fund 18,143,206 9.38


Och-Ziff European Multi-Strategy UCITS Fund 24,065,537 12.44


York Event Driven UCITS Fund

(B Accumulation Class) 18,615,022 9.62


York Event Driven UCITS Fund

(E Accumulation Class) 8,690,227 4.49

139,154 Schroder GAIA Egerton Equity 21,106,832 10.91

98,833,228 51.09

TOTAL MUTUAL FUNDS

(cost EUR 173,247,848) 190,973,940 98.73



(cost EUR 173,247,848) 190,973,940 98.73


EXCLUDING DERIVATIVES

(cost EUR 173,247,848) 190,973,940 98.73

Share Class Specific Forward Currency Contracts – 1.62%

Unrealised % of


Currency Bought Currency Sold Date EUR Equity

EUR 487,793 CHF 594,493 25/06/2014 1,177 0.00

GBP 62,319,438 EUR 74,184,331 25/06/2014 2,395,479 1.24

USD 56,834,886 EUR 40,905,273 25/06/2014 884,832 0.46

EUR 78,523,574 GBP 63,863,544 25/07/2014 63,657 0.03

GBP 63,863,544 EUR 77,479,172 25/07/2014 980,745 0.51

USD 50,551,745 EUR 36,552,840 25/07/2014 617,557 0.32

CHF 594,493 EUR 486,810 22/08/2014 87 0.00

USD 49,973,287 EUR 36,487,292 22/08/2014 256,538 0.13

UNREALISED GAIN ON FORWARD CURRENCY

CONTRACTS HELD FOR HEDGING PURPOSES 5,200,072 2.69

Unrealised % of



CHF 594,493 EUR 489,136 25/06/2014 (2,520) (0.00)

EUR 75,602,860 GBP 62,319,438 25/06/2014 (976,950) (0.51)

EUR 41,065,501 USD 56,834,886 25/06/2014 (724,603) (0.37)

CHF 594,493 EUR 487,981 25/07/2014 (1,214) (0.00)

EUR 486,671 CHF 594,493 25/07/2014 (96) (0.00)

EUR 36,905,714 USD 50,551,745 25/07/2014 (264,682) (0.14)

GBP 62,193,307 EUR 76,490,818 22/08/2014 (102,419) (0.05)

UNREALISED LOSS ON FORWARD CURRENCY

CONTRACTS HELD FOR HEDGING PURPOSES (2,072,484) (1.07)


(cost EUR 173,247,848) 194,101,528 100.35

OTHER ASSETS AND LIABILITIES (668,633) (0.35)

SHAREHOLDERS' EQUITY(c) 193,432,895 100.00

% of



Total Investments excluding derivatives

(cost EUR 173,247,848) 190,973,940 98.73

Unrealised gain on forward currency contracts

held for hedging purposes 5,200,072 2.69

Unrealised loss on forward currency contracts

held for hedging purposes (2,072,484) (1.07)

Other Assets and Liabilities (668,633) (0.35)

Shareholders' Equity(c) 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.

% of




As at 31 May 2014

49


Goldman Sachs Funds II—Tactical Tilt Portfolio



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) 154,988,775 7.98

21,285,719 Goldman Sachs Funds – Global High Yield Portfolio (IO Distribution Class)(c) 195,828,615 10.08

350,817,390 18.06

United States

4,845,590 Financial Select Sector SPDR Fund 108,008,201 5.56

2,069,896 SPDR S&P Bank ETF 66,091,779 3.40

1,808,587 SPDR S&P Regional Banking ETF 69,250,796 3.56

6,558,245 Technology Select Sector SPDR Fund 248,032,826 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

Transferable securities dealt in another regulated market

Government Bonds – 2.53%

United States

49,084,000 United States Treasury Note/Bond USD 0.250% 15/05/2015 49,155,908 2.53

TOTAL GOVERNMENT BONDS

(cost USD 49,069,875) 49,155,908 2.53

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET

(cost USD 49,069,875) 49,155,908 2.53

Time Deposits – 32.92%

Netherlands

212,102,748 Rabobank Nederland USD Time Deposit USD 0.000% 06/02/2014 212,102,748 10.91

212,102,748 10.91

United Kingdom

80,923,836 Barclays Bank Plc. USD Time Deposit USD 0.050% 02/06/2014 80,923,836 4.17

287,448,044 BNP Paribas SA USD Time Deposit USD 0.030% 02/06/2014 287,448,044 14.79

368,371,880 18.96

United States

59,194,625 Northern Trust Company USD Time Deposit USD 0.050% 02/06/2014 59,194,625 3.05

TOTAL TIME DEPOSITS

(cost USD 639,669,253) 639,669,253 32.92

MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES

(cost USD 1,755,938,975) 1,822,887,662 93.82

Futures Contracts – 0.04%


Number of Market Value Gain Shareholders'


EUR

2,674 DJ Euro STOXX 50 Index Futures 20/06/2014 Long 118,004,813 8,324,042 0.43

1,673 IBEX 35 Index Futures 20/06/2014 Long 245,362,487 4,054,671 0.21

363,367,300 12,378,713 0.64

UNREALISED GAIN ON FUTURES CONTRACTS 12,378,713 0.64

% of


Holdings Security Description Currency Coupon Rate(a)

Maturity Date(b)

USD Equity


As at 31 May 2014

50



Futures Contracts – (continued)


Number of Market Value Loss Shareholders'


USD

(3,823) E-Mini S&P 500 Index Futures 20/06/2014 Short (367,294,725) (11,741,770) (0.60)

UNREALISED LOSS ON FUTURES CONTRACTS (11,741,770) (0.60)

Share Class Specific Forward Currency Contracts – (0.39%)

Unrealised % of



GBP 186,448,280 USD 310,267,097 18/06/2014 1,905,219 0.10

USD 2,283 CHF 2,000 18/06/2014 51 0.00

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES 1,905,270 0.10

Unrealised % of



CHF 8,862,114 USD 10,097,763 18/06/2014 (209,935) (0.01)

EUR 367,196,916 USD 509,105,561 18/06/2014 (8,983,064) (0.46)

USD 43,265,961 GBP 25,995,000 18/06/2014 (257,740) (0.02)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES (9,450,739) (0.49)

Purchased Options – 0.21%

Unrealised % of

Gain/Loss Market Value Shareholders’

Holdings Security Description USD USD Equity

Purchased Options

AUD

144,130,000 AUD PUT / USD CALL Expires 20/11/2014 Strike 0.90 (820,204) 1,873,585 0.09

USD

1,519,390 Put iShares MSCI Emerging Markets ETF Expires 19/09/2014 Strike 40.50 (1,438,223) 1,615,750 0.08

154,707 Put S&P 500 Index Expires 18/07/2014 Strike 1,793.63 (981,915) 872,868 0.05

(2,420,138) 2,488,618 0.13

TOTAL PURCHASED OPTIONS

(cost USD 7,602,545) 4,362,203 0.22

Written Options

USD

(1,519,390) Put iShares MSCI Emerging Markets ETF Expires 20/06/2014 Strike 40.50 1,341,074 (208,704) (0.01)

TOTAL WRITTEN OPTIONS

(cost USD (1,549,778)) (208,704) (0.01)

Swap Contracts – 0.21%

Net Local Unrealised % of

Notional Gain Shareholders'

Amount Pay Receive Currency Maturity Date USD Equity

Credit Default Swaps

349,519,500 Floating (CDX.NA.HY.22-V1 Index) Fixed 5.000% USD 20/06/2019 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


(cost USD 1,761,991,742) 1,824,225,952 93.89


SHAREHOLDERS' EQUITY 1,942,948,418 100.00


As at 31 May 2014

51



% of



Total Investments excluding derivatives (cost USD 1,755,938,975) 1,822,887,662 93.82

Unrealised gain on futures contracts 12,378,713 0.64

Unrealised loss on futures contracts (11,741,770) (0.60)

Unrealised gain on forward currency contracts held for hedging purposes 1,905,270 0.10

Unrealised loss on forward currency contracts held for hedging purposes (9,450,739) (0.49)

Market value of purchased options (cost USD 7,602,545) 4,362,203 0.22

Market value of written options (cost USD 1,549,778)) (208,704) (0.01)

Unrealised gain on swap contracts 4,093,317 0.21


Shareholders' Equity 1,942,948,418 100.00

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%.


As at 31 May 2014

52


Goldman Sachs Funds II—Europe High Income Bond Portfolio

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

France

3,100,000 Alcatel-Lucent EUR 8.500% 15/01/2016 3,418,773 3.62

300,000 Carrefour S.A. EUR 1.875% 19/12/2017 310,308 0.33

1,400,000 Electricite de France EUR 5.000% 05/02/2018 1,612,932 1.70

1,500,000 Eutelsat S.A. EUR 4.125% 27/03/2017 1,630,000 1.72

1,550,000 GDF Suez EUR 2.750% 18/10/2017 1,651,136 1.75

1,500,000 Pernod Ricard S.A. EUR 5.000% 15/03/2017 1,665,030 1.76

1,200,000 Vivendi S.A. EUR 4.125% 18/07/2017 1,324,173 1.40

11,612,352 12.28

Ireland

2,200,000 Ardagh Packaging Finance Plc. EUR 7.375% 15/10/2017 2,310,660 2.44

Italy

1,200,000 Terna Rete Elettrica Nazionale SpA EUR 4.125% 17/02/2017 1,301,858 1.38

Jersey

1,200,000 Heathrow Funding Ltd. EUR 4.375% 25/01/2017 1,309,404 1.39

Luxembourg

1,600,000 Glencore Finance Europe S.A. EUR 4.625% 03/04/2018 1,786,943 1.89

1,600,000 HeidelbergCement Finance Luxembourg S.A. EUR 8.000% 31/01/2017 1,855,019 1.96

2,200,000 Sunrise Communications International S.A. EUR 7.000% 31/12/2017 2,315,456 2.45

5,957,418 6.30

Netherlands

1,400,000 E.ON International Finance BV EUR 5.500% 02/10/2017 1,611,929 1.71

1,400,000 RWE Finance BV EUR 5.125% 23/07/2018 1,625,964 1.72

2,300,000 Schaeffler Finance BV EUR 7.750% 15/02/2017 2,622,414 2.77

1,500,000 TenneT Holding BV EUR 3.875% 21/02/2018 1,661,279 1.76

7,521,586 7.96

Norway

3,000,000 DNB Boligkreditt AS EUR 2.375% 11/04/2017 3,163,590 3.34

3,000,000 SpareBank 1 Boligkreditt AS EUR 3.250% 17/03/2017 3,230,940 3.42

6,394,530 6.76

Sweden

3,000,000 Nordea Hypotek AB EUR 3.500% 18/01/2017 3,243,930 3.43

1,500,000 SKF AB EUR 3.875% 25/05/2018 1,659,427 1.76

3,000,000 Stadshypotek AB EUR 1.875% 21/03/2017 3,121,170 3.30

2,000,000 Swedbank Hypotek AB EUR 3.375% 22/03/2017 2,165,080 2.29

1,400,000 Vattenfall AB EUR 5.000% 18/06/2018 1,619,712 1.71

11,809,319 12.49

Switzerland

1,200,000 UBS AG EUR 2.250% 10/01/2017 1,256,436 1.33

United Kingdom

3,000,000 Abbey National Treasury Services Plc. EUR 3.625% 05/10/2017 3,300,330 3.49

350,000 Abbey National Treasury Services Plc. EUR 1.750% 15/01/2018 358,202 0.38

1,200,000 Bank of Scotland Plc. EUR 4.625% 08/06/2017 1,347,972 1.43

1,400,000 BAT International Finance Plc. EUR 5.375% 29/06/2017 1,587,428 1.68

1,600,000 BG Energy Capital Plc. EUR 3.000% 16/11/2018 1,732,280 1.83

1,500,000 BP Capital Markets Plc. EUR 3.830% 06/10/2017 1,647,731 1.74

1,500,000 Imperial Tobacco Finance Plc. EUR 4.500% 05/07/2018 1,695,449 1.80

2,000,000 Inmarsat Finance Plc. 144A(c) USD 7.375% 01/12/2017 1,532,952 1.62

1,450,000 National Grid Plc. EUR 5.000% 02/07/2018 1,676,130 1.77

200,000 Royal Bank of Scotland Group Plc. USD 2.550% 18/09/2015 149,926 0.16

1,550,000 Tesco Plc. EUR 3.375% 02/11/2018 1,692,545 1.79

1,400,000 Vodafone Group Plc. EUR 5.000% 04/06/2018 1,622,838 1.72

18,343,783 19.41

% of



Maturity Date(b)

EUR Equity


As at 31 May 2014

53



Corporate Bonds – (continued)

United States

1,500,000 Constellation Brands, Inc. USD 7.250% 15/05/2017 1,267,849 1.34

2,550,000 DR Horton, Inc. USD 4.750% 15/05/2017 1,985,678 2.10

1,500,000 HCA, Inc. USD 8.000% 01/10/2018 1,310,524 1.39

1,700,000 Sprint Communications, Inc. USD 8.375% 15/08/2017 1,463,418 1.55

6,027,469 6.38

TOTAL CORPORATE BONDS

(cost EUR 73,284,484) 77,138,114 81.60


Ireland

706,686 Goldman Sachs Euro Liquid Reserves Fund (X Distribution Class)(d)(e) 706,686 0.75

TOTAL MUTUAL FUNDS

(cost EUR 706,686) 706,686 0.75

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING

(cost EUR 73,991,170) 77,844,800 82.35

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 USD 7.250% 30/10/2017 1,242,244 1.31

1,500,000 Windstream Corp. USD 7.875% 01/11/2017 1,266,473 1.34

2,508,717 2.65

TOTAL CORPORATE BONDS

(cost EUR 3,740,840) 3,723,062 3.94

Non-Agencies Asset Backed Obligations – 13.65%

United States

969,644 American Home Mortgage Assets Trust "1A1"(f) USD 1.094% 25/10/2046 570,664 0.60

1,256,103 American Home Mortgage Assets Trust "A1"(f) USD 0.275% 25/03/2047 728,304 0.77

1,200,909 Bear Stearns Mortgage Funding Trust "1A1A"(f) USD 0.320% 25/06/2047 720,284 0.76

1,064,513 Bear Stearns Mortgage Funding Trust ''2A1''(f) USD 0.370% 25/08/2036 590,642 0.63

775,823 Countrywide Alternative Loan Trust "A1"(f) USD 1.624% 25/09/2035 522,335 0.55

916,435 Countrywide Alternative Loan Trust ''A2''(f) USD 0.340% 25/10/2046 572,673 0.61

1,140,040 Deutsche Alt-A Securities Mortgage Loan Trust "A1"(f) USD 0.300% 25/03/2037 507,310 0.54

616,197 First Horizon Alternative Mortgage Securities Trust "A9" USD 6.000% 25/07/2036 388,850 0.41

879,681 IndyMac INDA Mortgage Loan Trust "1A1"(f) USD 2.796% 25/11/2037 621,897 0.66

882,218 IndyMac INDX Mortgage Loan Trust "A3A"(f) USD 0.380% 25/07/2046 500,686 0.53

860,621 JP Morgan Alternative Loan Trust "2A1"(f) USD 2.550% 25/03/2036 467,732 0.49

250,598 JP Morgan Mortgage Trust ''1A1''(f) USD 2.776% 25/07/2035 183,184 0.19

904,880 RALI Trust "A1"(f) USD 0.310% 25/02/2037 571,871 0.61

950,614 RALI Trust "A1"(f) USD 0.310% 25/03/2047 558,896 0.59

1,443,376 Sequoia Mortgage Trust "2A1"(f) USD 2.433% 20/02/2047 919,314 0.97

681,646 Structured Adjustable Rate Mortgage Loan Trust "6A1"(f) USD 2.493% 25/09/2035 448,630 0.47

985,666 Structured Asset Mortgage Investments II Trust "A1A"(f) USD 0.360% 25/08/2036 568,823 0.60

280,394 WaMu Mortgage Pass-Through Certificates Trust "1A"(f) USD 1.084% 25/09/2046 179,538 0.19

1,579,563 WaMu Mortgage Pass-Through Certificates Trust "1A"(f) USD 1.004% 25/10/2046 956,397 1.01

397,007 WaMu Mortgage Pass-Through Certificates Trust "2A"(f) USD 1.104% 25/07/2046 248,574 0.26

915,269 Washington Mutual Mortgage

Pass-Through Certificates Trust "1A10"(f) USD 0.750% 25/03/2036 479,649 0.51

1,355,752 Washington Mutual Mortgage

Pass-Through Certificates Trust "A1A"(f) USD 0.400% 25/02/2036 752,208 0.80

1,480,678 Washington Mutual Mortgage

Pass-Through Certificates Trust "A1A"(f) 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

% of



Maturity Date(b)

EUR Equity


As at 31 May 2014

54



Forward Currency Contracts – (0.46%)

Unrealised % of



USD 2,978,375 EUR 2,182,049 17/06/2014 4,710 0.01

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 4,710 0.01

Unrealised % of



EUR 26,269,167 USD 36,381,619 17/06/2014 (442,660) (0.47)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (442,660) (0.47)


(cost EUR 88,351,765) 94,035,304 99.48

OTHER ASSETS AND LIABILITIES 490,456 0.52


% of



Total Investments excluding derivatives (cost EUR 88,351,765) 94,473,254 99.94

Unrealised gain on forward currency contracts 4,710 0.01

Unrealised loss on forward currency contracts (442,660) (0.47)

Other Assets and Liabilities 490,456 0.52


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.

Equity Portfolios


GMS Asia (ex-Japan) Equity Portfolio(c)

“P” Accumulation Share Class(c) USD 30 April 2008 — 0.40% 0.08%“P” Share Class(c) USD 30 April 2008 — 0.40% 0.08%“R” Accumulation Share Class(c) USD 13 December 2012 — 0.40% 0.10%“R” Share Class(c) USD 13 December 2012 — 0.40% 0.10%

GMS Emerging Markets Equity Portfolio“P” Accumulation Share Class USD 31 January 2012 0.70% 1.20% 1.74%“P” Share Class USD 31 January 2012 0.70% 1.20% 1.74%“R” Share Class USD 13 December 2012 — 0.50% 1.06%“R” Accumulation Share Class USD 13 December 2012 — 0.50% 1.06%“IO” Accumulation Share Class USD 08 January 2013 — 0.46% 0.97%“I” Accumulation Share Class(c) USD 12 December 2013 0.30% 0.76% 1.30%

GMS Europe Equity Portfolio“P” Accumulation Share Class EUR 18 December 2009 0.70% 1.00% 1.42%“P” Share Class EUR 18 December 2009 0.70% 1.00% 1.42%“R” Share Class EUR 13 December 2012 — 0.30% 0.73%“R” Accumulation Share Class EUR 13 December 2012 — 0.30% 0.73%“I” Accumulation Share Class(c) EUR 12 December 2013 0.30% 0.56% 0.97%

GMS Global Equity Portfolio“P” Accumulation Share Class EUR 08 December 2008 0.70% 1.00% 1.42%“P” Accumulation Share Class USD 07 March 2008 0.70% 1.00% 1.41%“P” Share Class USD 07 March 2008 0.70% 1.00% 1.42%“I” Accumulation Share Class USD 14 November 2012 0.30% 0.56% 0.95%“R” Share Class USD 13 December 2012 — 0.30% 0.72%“R” Accumulation Share Class USD 13 December 2012 — 0.30% 0.69%“IO” Accumulation Share Class USD 16 January 2013 — 0.26% 0.65%

GMS Japan Equity Portfolio“P” Accumulation Share Class JPY 28 May 2009 0.70% 1.05% 1.64%“P” Share Class JPY 28 May 2009 0.70% 1.05% 1.63%“R” Share Class JPY 13 December 2012 — 0.35% 0.93%“R” Accumulation Share Class JPY 13 December 2012 — 0.35% 0.92%

GMS US Equity Portfolio“P” Accumulation Share Class USD 16 May 2008 0.70% 1.00% 1.41%“P” Share Class USD 16 May 2008 0.70% 1.00% 1.41%“R” Share Class USD 13 December 2012 — 0.30% 0.71%“R” Accumulation Share Class USD 13 December 2012 — 0.30% 0.72%“I” Accumulation Share Class(c) USD 12 December 2013 0.30% 0.56% 0.94%


Dynamic Alternative Strategies PortfolioBase Accumulation Share Class (Weekly) EUR 24 March 2010 1.50% 1.90% 1.86%Base Currency Share Class (Weekly) EUR 24 March 2010 1.50% 1.90% 1.86%Other Currency Accumulation Share Class (CHF Hedged Class) (Weekly) CHF 02 March 2011 1.50% 1.90% 1.90%Other Currency Accumulation Share Class (USD Hedged Class) (Weekly) USD 05 May 2011 1.50% 1.90% 1.98%Other Currency Share Class (GBP Hedged Class) (Weekly) GBP 24 March 2010 1.50% 1.90% 1.89%“P” Accumulation Share Class (Weekly) EUR 24 March 2010 1.25% 1.65% 1.69%“P” Accumulation Share Class (USD Hedged Class) (Weekly) USD 24 March 2010 1.25% 1.65% 1.75%“P” Share Class (Weekly) EUR 24 March 2010 1.25% 1.65% 1.71%“P” Share Class (GBP Hedged Class) (Weekly) GBP 24 March 2010 1.25% 1.65% 1.73%“P” Share Class (USD Hedged Class) (Weekly) USD 31 March 2010 1.25% 1.65% 1.78%“R” Share Class (Weekly) EUR 12 December 2012 0.75% 1.15% 1.24%“R” Accumulation Share Class (Weekly) EUR 12 December 2012 0.75% 1.15% 1.27%“R” Share Class (GBP Hedged Class) (Weekly) GBP 12 December 2012 0.75% 1.15% 1.23%“IO” Accumulation Share Class (USD Hedged Class) (Weekly) USD 06 March 2013 — 0.36% 0.21%“R” Share Class (USD Hedged Class) (Weekly) USD 24 April 2013 0.75% 1.15% 1.25%


Tactical Tilt Portfolio“I” Accumulation Share Class USD 30 December 2011 0.75% 0.96% 0.82%“IO” Accumulation Share Class USD 15 December 2011 — 0.21% 0.07%“IO” Accumulation Share Class (GBP Hedged Class) GBP 31 January 2012 — 0.21% 0.07%“P” Accumulation Share Class (CHF Hedged Class) CHF 15 November 2011 0.75% 1.05% 0.90%“P” Accumulation Share Class (EUR Hedged Class) EUR 31 October 2011 0.75% 1.05% 0.89%“P” Accumulation Share Class (GBP Hedged Class) GBP 31 October 2011 0.75% 1.05% 0.88%“P” Accumulation Share Class USD 31 October 2011 0.75% 1.05% 0.89%“P” Share Class USD 31 October 2011 0.75% 1.05% 0.89%“P” Share Class (EUR Hedged Class) EUR 31 October 2011 0.75% 1.05% 0.89%“P” Share Class (GBP Hedged Class) GBP 31 October 2011 0.75% 1.05% 0.89%“R” Share Class USD 17 December 2012 0.25% 0.55% 0.39%

InvestmentInception Advisory Fee Expense Total Net

Currency Date Rate Cap(b) Expense Ratio(a)


Appendix I–Advisory Fee Rates, Expense Caps

and Total Net Expense Ratios (Unaudited)

As at 31 May 2014

55

“R” Accumulation Share Class USD 17 December 2012 0.25% 0.55% 0.39%“R” Share Class (EUR Hedged Class) EUR 15 January 2013 0.25% 0.55% 0.39%“R” Accumulation Share Class (EUR Hedged Class) EUR 15 January 2013 0.25% 0.55% 0.39%“R” Share Class (GBP Hedged Class) GBP 15 January 2013 0.25% 0.55% 0.39%“R” Accumulation Share Class (GBP Hedged Class) GBP 15 January 2013 0.25% 0.55% 0.38%“R” Accumulation Share Class (CHF Hedged Class) CHF 15 January 2013 0.25% 0.55% 0.39%


Europe High Income Bond PortfolioBase Currency (S-Dis) Share Class EUR 26 March 2012 0.55% 0.85% 0.81%

(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 thePortfolios’ 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. TER’s 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.

InvestmentInception Advisory Fee Expense Total Net

Currency Date Rate Cap(b) Expense Ratio(a)


Appendix I–Advisory Fee Rates, Expense Caps

and Total Net Expense Ratios (Unaudited)

As at 31 May 2014 (continued)

56

57


Appendix II–Portfolio 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


GMS Asia (ex-Japan) Equity Portfolio USD 19 December 2013

Portfolios Classes Currency Launch Date

Equity 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

Portfolios Classes Currency Closing Date

Equity Portfolios


GMS Asia (ex-Japan) Equity Portfolio “P” Accumulation Share Class USD 19 December 2013

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

During the period, the following share classes were launched:

During the period, the following share classes were closed:

The following tables set forth details of shareholders with holdings greater than 10% of the Portfolio’s net assets as

at 31 May 2014:

% of Shareholders’ Investor /

Portfolios Equity Distributor

GMS Emerging Markets Equity Portfolio

Shareholder 1 12.16% Investor

Other Shareholders 87.84%

Total 100.00%

GMS Europe Equity Portfolio

Shareholder 11 12.88% Distributor


Total 100.00%



Shareholder 2 11.68% Investor


Total 100.00%

GMS Japan Equity Portfolio




Total 100.00%

Dynamic Alternative Strategies Portfolio





Total 100.00%

Europe High Income Bond Portfolio




Total 100.00%


Appendix III–Shareholder Concentration (Unaudited)

As at 31 May 2014

58

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.

This material is provided at your request for informational purposes only and does not constitute a solicitation

in any jurisdiction in which such a solicitation is unlawful or to any person to whom it is unlawful. It only

contains selected information with regards to the fund and does not constitute an offer to buy shares in the

fund. Prior to an investment, prospective investors should carefully read the latest Key Investor Information

Document (KIID) as well as the offering documentation, including but not limited to the fund’s prospectus

which contains inter alia a comprehensive disclosure of applicable risks. The relevant articles of association,

prospectus, supplement, KIID and latest annual/semi-annual report are available free of charge from the

fund’s paying and information agent and/or from your financial adviser.

Shares of the fund may not be registered for public distribution in a number of jurisdictions (including but not

limited to any Latin American, African or Asian countries). Therefore, the shares of the fund must not be

marketed or offered in or to residents of any such jurisdictions unless such marketing or offering is made in

compliance with applicable exemptions for the private placement of collective investment schemes and other

applicable jurisdictional rules and regulations.

Financial advisers generally suggest a diversified portfolio of investments. The fund described herein does

not represent a diversified investment by itself. An investor should only invest if he/she has the necessary

financial resources to bear a complete loss of this investment.

This material must not be construed as investment or tax advice. Prospective investors should consult their

financial and tax adviser before investing in order to determine whether an investment would be suitable for

them.

Past performance does not guarantee future results, which may vary. The value of investments and

the income derived from investments will fluctuate and can go down as well as up. A loss of principal

may occur.

Index Benchmarks

Indices are unmanaged. The figures for the index reflect the reinvestment of all income or dividends, as

applicable, but do not reflect the deduction of any fees or expenses which would reduce returns. Investors

cannot invest directly in indices.

The indices referenced herein have been selected because they are well known, easily recognized by

investors, and reflect those indices that the Investment Manager believes, in part based on industry practice,

provide a suitable benchmark against which to evaluate the investment or broader market described herein.

The exclusion of “failed” or closed hedge funds may mean that each index overstates the performance of

hedge funds generally.

References to indices, benchmarks or other measures of relative market performance over a specified period

of time are provided for your information only and do not imply that the portfolio will achieve similar results.

The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks

to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate

from those of the benchmark.

59


Additional Information


Additional Information (continued)

60

Confidentiality

No part of this material may, without GSAM’s prior written consent, be (i) copied, photocopied or duplicated

in any form, by any means, or (ii) distributed to any person that is not an employee, officer, director, or

authorized agent of the recipient.

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.

SICAVIISAENG

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