Goldman Sachs Funds - Euronext Funds360

Goldman Sachs FundsSemi-Annual Report

Unaudited Financial Statements

0515

R.C.S. B41 751

Directors and Other Information 1

Investment Advisor’s Report 2

Statement of Assets and Liabilities 7

Statement of Operations 15

Statement of Changes in Shareholders’ Equity 22

Statistical Information 31

Notes to the Financial Statements 46

Schedules of Investments 103

GOLDMAN SACHS FUNDS—EQUITY PORTFOLIOS

Goldman Sachs Funds—Regional Equity Portfolios

Goldman Sachs Funds–Asia Portfolio 103

Goldman Sachs Funds–BRICs Portfolio 106

Goldman Sachs Funds–China Opportunity Portfolio 108

Goldman Sachs Funds–Europe Equity Partners Portfolio 110

Goldman Sachs Funds–Global Equity Partners Portfolio 111

Goldman Sachs Funds–Global Equity Unconstrained Portfolio 113

Goldman Sachs Funds–Global Responsible Equity Portfolio 115

Goldman Sachs Funds–GMS Dynamic World Equity Portfolio 117

Goldman Sachs Funds–Growth & Emerging Markets Broad Equity Portfolio 120

Goldman Sachs Funds–Growth Markets Plus Equity Portfolio 124

Goldman Sachs Funds–India Equity Portfolio 127

Goldman Sachs Funds–Japan Equity Partners Portfolio 130

Goldman Sachs Funds–Japan Portfolio 131

Goldman Sachs Funds–N-11® Equity Portfolio 133

Goldman Sachs Funds–Strategic Global Equity Portfolio 135

Goldman Sachs Funds–US Equity Portfolio 137

Goldman Sachs Funds–US Focused Growth Equity Portfolio 139

Goldman Sachs Funds—Global and Regional CORE® Equity Portfolios

Goldman Sachs Funds–Europe CORE® Equity Portfolio 140

Goldman Sachs Funds–Global CORE® Equity Portfolio 143

Goldman Sachs Funds–Global Small Cap CORE® Equity Portfolio 148

Goldman Sachs Funds–Growth & Emerging Markets CORE® Equity Portfolio 156

Goldman Sachs Funds–US CORE® Equity Portfolio 159

Goldman Sachs Funds–US Small Cap CORE® Equity Portfolio 162

Goldman Sachs Funds—Global & Regional GIVI Equity Portfolios

Goldman Sachs Funds–GIVI Europe Equity Portfolio 166

Goldman Sachs Funds–GIVI Global Equity – Growth Markets Tilt Portfolio 176

Goldman Sachs Funds–GIVI Growth & Emerging Markets Equity Portfolio 200

Goldman Sachs Funds–Sector Equity Portfolio

Goldman Sachs Funds–North American Shale Revolution & Energy Infrastructure Portfolio 206

GOLDMAN SACHS FUNDS—FIXED INCOME PORTFOLIOS

Goldman Sachs Funds–Euro Fixed Income Portfolio 207

Goldman Sachs Funds–Euro Short Duration Bond Portfolio 213

Goldman Sachs Funds–Europe High Yield Bond Portfolio 218

Goldman Sachs Funds–Global Credit Portfolio (Hedged) 225

Goldman Sachs Funds–Global Fixed Income Portfolio 237

Goldman Sachs Funds–Global Fixed Income Portfolio (Hedged) 252

Goldman Sachs Funds–Global High Yield Portfolio 267

Page

Goldman Sachs Funds

Table of Contents

GOLDMAN SACHS FUNDS—FIXED INCOME PORTFOLIOS – (continued)

Goldman Sachs Funds–Global Sovereign Bond Portfolio 279

Goldman Sachs Funds–Growth & Emerging Markets Corporate Bond Portfolio 285

Goldman Sachs Funds–Growth & Emerging Markets Debt Blend Portfolio 293

Goldman Sachs Funds–Growth & Emerging Markets Debt Local Portfolio 309

Goldman Sachs Funds–Growth & Emerging Markets Debt Portfolio 321

Goldman Sachs Funds–Liberty Harbor Opportunistic Corporate Bond Portfolio 336

Goldman Sachs Funds–Sterling Broad Fixed Income Portfolio 340

Goldman Sachs Funds–Sterling Credit Portfolio 347

Goldman Sachs Funds–US Fixed Income Portfolio 358

Goldman Sachs Funds–US Mortgage Backed Securities Portfolio 369

GOLDMAN SACHS FUNDS—SPECIALIST PORTFOLIOS

Goldman Sachs Funds–CoCos & Capital Securities Portfolio 388

Goldman Sachs Funds–Global Currency Plus Portfolio 393

Goldman Sachs Funds–Global Fixed Income Plus Portfolio (Hedged) 396

Goldman Sachs Funds–Global Strategic Income Bond Portfolio 418

Goldman Sachs Funds–Global Strategic Macro Bond Portfolio 441

Goldman Sachs Funds–Sterling Broad Fixed Income Plus Portfolio 451

Goldman Sachs Funds–Strategic Absolute Return Bond I Portfolio 458

Goldman Sachs Funds–Strategic Absolute Return Bond II Portfolio 483

GOLDMAN SACHS FUNDS—SELECT PORTFOLIOS

Goldman Sachs Funds–Custom Emerging Markets Debt Blend Portfolio 500

Goldman Sachs Funds–Global Corporate Portfolio (Hedged) 507

GOLDMAN SACHS FUNDS—FLEXIBLE PORTFOLIOS

Goldman Sachs Funds–Global Income Builder Portfolio 518

Goldman Sachs Funds–US Real Estate Balanced Portfolio 526

Goldman Sachs Funds–Wealthbuilder Multi-Asset Balanced Portfolio 531

Goldman Sachs Funds–Wealthbuilder Multi-Asset Conservative Portfolio 534

Goldman Sachs Funds–Wealthbuilder Multi-Asset Growth Portfolio 537

GOLDMAN SACHS FUNDS—ALTERNATIVE PORTFOLIOS

Goldman Sachs Funds–Absolute Return Tracker Portfolio 540

Goldman Sachs Funds–Liquid Alternative Beta Equity Long Short Portfolio 544

Goldman Sachs Funds–Liquid Alternative Beta Event Driven Portfolio 546

Goldman Sachs Funds–Liquid Alternative Beta Macro Portfolio 548

Goldman Sachs Funds–Liquid Alternative Beta Relative Value Portfolio 552

Goldman Sachs Funds–Liquid Alternative Beta Trend Portfolio 554

Goldman Sachs Funds–Multi-Asset Dynamic Strategy Portfolio 557

APPENDICES

Appendix I–Advisory Fee Rates, Expense Caps and Total Net Expense Ratios 561

Appendix II–Portfolio and Share Class Launches, Closures and Mergers 578

Appendix III–Shareholder Concentration 582

Appendix IV–Index Tracking Portfolios 588

Additional Information 589

Page

Goldman Sachs Funds

Table of Contents

1

Goldman Sachs Funds

Directors and Other Information

__________________________________________________________________________________________________________________1 Independent Directors.2 Director of the Fund employed by Goldman Sachs.3 Related party to Goldman Sachs Funds SICAV.4 Refer to note 7 for non-affiliated Sub-Advisers.5 Alan Shuch resigned from the Board of Directors as of 5 March 2015.

GOLDMAN SACHS FUNDS SICAVSociété 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)2,5

Theodore Sotir (UK/US)2

Katherine Uniacke (US)2

Management CompanyGoldman Sachs Asset ManagementGlobal Services Limited3

Peterborough Court133 Fleet StreetLondon EC4A 2BBUnited Kingdom

AuditorPricewaterhouseCoopers, Sociétécoopérative2, rue Gerhard MercatorB.P. 1443L-1014 LuxembourgGrand Duchy of Luxembourg

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

DistributorGoldman Sachs International3

Peterborough Court133 Fleet StreetLondon EC4A 2BBUnited Kingdom

Investment AdviserGoldman Sachs Asset ManagementInternational3

Peterborough Court133 Fleet StreetLondon, EC4A 2BBUnited Kingdom

Sub-Advisers4:Goldman Sachs Asset Management, L.P.3

200 West StreetNew York, NY 10282USA

Goldman Sachs (Singapore) Pte.3

1 Raffles Link#07-01 South LobbySingapore 039393

Goldman Sachs Asset ManagementCo., Ltd.3

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

Goldman Sachs Asset Management &Partners Australia Pty Ltd3

Level 17, 101 Collins StreetMelbourne VIC 3000, Australia

Goldman Sachs (Asia) L.L.C –Hong Kong Branch.3

68th Floor Cheung Kong Center2 Queen’s RoadCentral, Hong Kong

Legal Adviser to the Fund andthe Investment AdviserArendt & Medernach14, rue ErasmeL-2082 LuxembourgGrand Duchy of Luxembourg

Registered Officec/o State Street Bank Luxembourg S.C.A.49, avenue J-F. KennedyL-1855 LuxembourgR.C.S. B41 751

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

Paying Agents:

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

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

Paying Agent in CyprusEurobank EFG Cyprus Ltd.Banking Institution41, Arch. MakariosAve, 1065 Nicosia, Cyprus

Representative in DenmarkStockRate Asset Management A/SSdr. Jernbanevej 18D3400 Hillerod, Denmark

Paying Agent in FranceRBC Investor Services BankFrance S.A.105, rue Réaumur75002 Paris, France

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

Paying Agent in GreecePiraeus Asset ManagementMutual Funds Management S.A.87 Syngrou AveGR-11745 Athens, Greece

Citibank International Plc.3, Achaias Street, Nea KifissiaGR-14564 Athens, Greece

Eurobank EFG Ergasias S.A.Stadiou 10, 3rd Floor,GR-10564 Athens, Greece

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

AllFunds Bank S.A. Milan BranchVia Santa Margherita 720121 Milan, Italy

RBC Dexia Investor Services Bank S.A.Milan BranchCia Vittor Pisani, 2620154 Milan, Italy

State Street Bank S.p.A.Via Ferrante Aporti, 1020125 Milan, Italy

BNP Paribas Securities Services –Succursale di MilanoVia Ansperto 520121 Milan, Italy

Banca Sella Holdings S.p.A.Piazza Gaudenzio Sella 1I-13900 Biella, Italy

Paying Agent in SpainBankinter S.A.Paseo de la Castellana, 2928046 Madrid, Spain

Paying Agent in SwitzerlandGoldman Sachs Bank AG3

Münsterhof 48001 Zurich, Switzerland

Representative in SwitzerlandFirst Independent Fund Services AGKlausstrasse 338008 Zurich, Switzerland

The Fund’s Prospectus with its Supplements,Key Investor Information Document, Articlesof Incorporation, Annual Report, Semi-Annual Report and the list of all transactionscarried out by the Investment Adviser duringthe year are available free of charge at theoffices of the local Paying and InformationAgents and Swiss Representative.

Goldman Sachs Funds

Investment Advisor’s Report

For the period ended 31 May 2015

2

Dear Shareholders:

Enclosed is the report for the period ended 31 May 2015.

A. Market Review*

Global economic growth was mixed during the six months ended 31 May 2015. After initially expanding, the U.S.

economy experienced a setback. Looking back, the U.S. Department of Commerce reported that gross domestic

product (“GDP”) growth was 5.0% and 2.2% during the third and fourth quarters of 2014, respectively. The U.S.

economy then contracted, as GDP was negative 0.7% during the first quarter of 2015 according to the U.S.

Department of Commerce's second estimate. In its April 2015 World Economic Outlook Update, the International

Monetary Fund (“IMF”) said: “Global growth remains moderate, with uneven prospects across the main countries

and regions...Relative to last year, the outlook for advanced economies is improving, while growth in emerging

market and developing economies is projected to be lower, primarily reflecting weaker prospects for some large

emerging market economies and oil-exporting countries.” From a regional perspective, the IMF projects that

2015 growth in the Eurozone will be 1.5%, versus 0.9% in 2014. Japan's economy is expected to expand 1.0%

in 2015, compared to negative 0.1% in 2014. Elsewhere, the IMF said that overall growth in emerging market

countries will decelerate in 2015, with growth of 4.3% versus 4.6% in 2014. From a geopolitical perspective, the

mounting crisis in Greece, which included a potential default on its debt obligations and leaving the Eurozone,

impacted the global financial markets and led to several investors “flights to quality.” The U.S. Dollar

strengthened against most major currencies, including the Euro, as the U.S. Federal Reserve Board (the “Fed”)

appeared closer to raising interest rates. In contrast, the European Central Bank announced that it would begin

a large quantitative easing program in March 2015 that would initially entail €60 billion-a-month of bond

purchases. Elsewhere, in January 2015, Swiss National Bank announced that it would no longer hold the Swiss

Franc at a fixed exchange rate with the Euro. This caused the two currencies to decouple, with the Swiss Franc

rising sharply versus the Euro.

The global equity market moved higher during the reporting period. Developed market equities were initially

dragged down by concerns over global growth, sharply falling oil prices and numerous geopolitical issues.

Investor sentiment then improved as oil prices stabilized and there were some signs of improving growth in a

number of regions. During the period, the MSCI EAFE Index returned 4.84%. In contrast, emerging market

equities posted a modest gain, as the MSCI Emerging Markets Index returned 0.82% during the reporting period.

Elsewhere, the U.S. stock market was volatile but it ultimately generated a positive return. Supporting U.S.

equities were corporate profits that often exceeded expectations, along with continued monetary policy

accommodation from the U.S. Federal Reserve Board (the “Fed”). All told, for the six months ended 31 May

2015, the S&P 500 Index gained 2.66%.

The global fixed income market posted positive results during the six months ended 31 May 2015. Demand for

global fixed income securities was solid at times as investors looked for safe havens given slowing global growth

and several geopolitical issues. The Fed ended its asset purchase program in October 2014, but the US central

bank appeared to be in no hurry to raise rates. Against this backdrop, longer-term US yields declined during the

reporting period. Elsewhere, the European Central Bank introduced an aggressive quantitative easing program

and the Bank of Japan maintained its highly accommodative monetary policy. For the six months ended

31 May 2015, the Barclays US Aggregate Bond Index and Barclays Global Aggregate Bond Index (hedged to

USD) returned 1.09% and 1.38%, respectively. Returns from riskier fixed income securities also moved higher

during the reporting period. The US high yield bond market, as measured by the Barclays US Corporate High

Yield Bond Index, returned 2.57% during the period, whereas the emerging market debt asset class, as

measured by the JPMorgan EMBI Global Diversified Index, returned 0.89%.

Past performance is not indicative of future results, which may vary.

Goldman Sachs Funds


For the period ended 31 May 2015 (continued)

3

B. Performance Overview (as at 31 May 2015)

Performance is calculated in the relevant Portfolio’s base currency.Average Annualised Net Return

Since

Launch 6-Months(1) 1-Year 3-Years 5-Years Inception

Currency date (%) (%) (%) (%) (%)

Goldman Sachs Funds—Equity Portfolios

Goldman Sachs Funds—Global and Regional Equity Portfolios

Goldman Sachs Funds – Asia Portfolio USD 31-May-94 10.33 11.03 11.61 7.64 4.55

MSCI AC Asia Free ex-Japan Index USD 31-May-94 7.23 10.35 12.07 8.62 4.10

Goldman Sachs Funds – BRICs Portfolio USD 17-Jan-06 5.60 5.68 8.02 1.17 4.74

MSCI BRICs Index USD 17-Jan-06 5.57 7.76 7.24 1.84 7.18

Goldman Sachs Funds – China Opportunity Portfolio USD 26-Aug-09 26.66 34.77 18.30 8.88 8.80

MSCI China Index USD 26-Aug-09 27.90 37.85 18.61 9.71 8.61

Goldman Sachs Funds – Europe Equity Partners Portfolio EUR 30-Sep-96 23.24 26.93 22.96 14.47 7.54

MSCI Europe Index(2)

EUR 30-Sep-96 16.55 18.46 21.24 13.06 7.98

Goldman Sachs Funds – Global Equity Partners Portfolio USD 23-Feb-06 5.43 8.33 19.53 11.66 3.05

MSCI World Index USD 23-Feb-06 3.38 5.7 17.09 12.83 3.43

Goldman Sachs Funds—Global Equity Unconstrained Portfolio(3)

USD 19-Sep-12 5.29 5.70 ― ― 11.89

MSCI All Country World Index USD 19-Sep-12 3.11 5.08 ― ― 11.97

Goldman Sachs Funds – Global Responsible Equity Portfolio(3)

USD 16-Sep-08 2.30 3.34 14.69 10.15 5.41

MSCI All Country World Index USD 16-Sep-08 3.11 5.08 15.76 11.75 7.26

Goldman Sachs Funds – GMS Dynamic World Equity Portfolio USD 30-Jul-04 4.06 4.78 19.19 14.31 7.70

MSCI World Index USD 30-Jul-04 3.38 5.7 17.09 12.83 5.40

Goldman Sachs Funds – Growth & Emerging Markets Broad Equity Portfolio USD 15-Dec-97 4.84 4.91 8.62 4.44 7.27

MSCI Emerging Markets Index USD 15-Dec-97 0.82 (0.01) 5.96 4.08 8.25

Goldman Sachs Funds – Growth Markets Plus Equity Portfolio USD 10-Sep-13 1.93 (1.49) ― ― 3.21

MSCI Emerging Markets Index USD 10-Sep-13 0.82 (0.01) ― ― 2.85

Goldman Sachs Funds – India Equity Portfolio USD 26-Mar-08 4.55 25.02 24.14 11.22 7.65

MSCI India Index USD 26-Mar-08 (3.65) 8.83 15.22 3.97 1.49

Goldman Sachs Funds – Japan Equity Partners Portfolio(1)

JPY 27-May-15 ― ― ― ― 0.28

Topix(1)

JPY 27-May-15 ― ― ― ― 0.74

Goldman Sachs Funds – Japan Portfolio JPY 30-Apr-96 17.47 35.98 34.79 15.14 2.14

Topix JPY 30-Apr-96 19.80 41.92 35.19 16.12 1.02

Goldman Sachs Funds–N-11®

Equity Portfolio USD 26-Jan-11 (6.11) (10.64) 4.68 ― (0.39)

MSCI Emerging Markets Index USD 26-Jan-11 0.82 (0.01) 5.96 ― (0.51)

Goldman Sachs Funds – Strategic Global Equity Portfolio USD 4-Dec-92 3.61 4.78 16.34 11.23 5.87

MSCI World Index USD 4-Dec-92 3.38 5.70 17.09 12.83 7.53

Goldman Sachs Funds – US Equity Portfolio USD 3-Feb-06 2.27 11.14 18.65 13.40 7.34

S&P 500 Index — Net USD 3-Feb-06 2.66 11.13 18.92 15.80 7.15

Goldman Sachs Funds – US Focused Growth Equity Portfolio USD 15-Nov-99 1.39 12.57 16.35 13.15 2.46

Russell 1000 Growth Index USD 15-Nov-99 4.49 14.22 19.18 17.11 3.02

Goldman Sachs Funds—Global and Regional CORE®

Equity Portfolios

Goldman Sachs Funds – Europe CORE®

Equity Portfolio EUR 1-Oct-99 19.40 20.61 22.44 12.31 4.48

MSCI Europe Index EUR 1-Oct-99 16.55 18.46 21.24 13.06 4.25

Goldman Sachs Funds – Global CORE®

Equity Portfolio(4)

USD 14-Oct-04 4.12 8.28 19.25 13.53 5.64

MSCI World Index USD 14-Oct-04 3.38 5.70 17.09 12.83 6.10

Goldman Sachs Funds – Global Small Cap CORE®

Equity Portfolio(4)

USD 3-Aug-06 8.33 6.75 19.75 15.44 6.51

S&P-Citigroup Developed Small Cap Index USD 3-Aug-06 7.90 6.58 18.56 14.01 6.91

Goldman Sachs Funds – Growth & Emerging Markets CORE®

Equity Portfolio(5)

USD 10-Aug-09 3.02 5.13 8.20 6.19 6.40

MSCI Emerging Markets Index USD 10-Aug-09 0.82 (0.01) 5.96 4.08 5.22

Goldman Sachs Funds – US CORE®

Equity Portfolio(4)

USD 19-Nov-96 1.45 10.07 19.05 15.30 5.73

S&P 500 Index — Net USD 19-Nov-96 2.66 11.13 18.92 15.80 7.17

Goldman Sachs Funds – US Small Cap CORE®

Equity Portfolio(5)

USD 5-Dec-05 7.33 11.72 17.97 15.55 6.39

Russell 2000 Index USD 5-Dec-05 6.74 10.90 18.98 14.58 7.50


Goldman Sachs Funds



4

Average Annualised Net Return

Since


Currency date (%) (%) (%) (%) (%)

Goldman Sachs Funds—Global and Regional GIVI Equity Portfolios

Goldman Sachs Funds – GIVI Europe Equity Portfolio(5)

EUR 15-May-12 15.77 17.53 20.23 ― 19.09

S&P GIVI Europe Index EUR 15-May-12 16.17 17.94 21.07 ― 19.96

Goldman Sachs – GIVI Global Equity – Growth Markets Tilt Portfolio(5)

USD 29-Jun-12 2.92 3.98 ― ― 12.53

S&P GIVI Global Growth Markets Tilt Index USD 29-Jun-12 3.89 5.10 ― ― 13.82

Goldman Sachs – GIVI Growth & Emerging Markets Equity Portfolio(5)

USD 29-Jun-12 3.60 3.78 ― ― 5.86

S&P GIVI Emerging Index USD 29-Jun-12 4.86 5.54 ― ― 7.94

Goldman Sachs Funds—Sector Equity Portfolios

Goldman Sachs North American Shale Revolution &

Energy Infrastructure Portfolio USD 14-Apr-14 (2.69) (11.35) ― ― (4.72)

Goldman Sachs Funds—Fixed Income Portfolios

Goldman Sachs Funds – Euro Fixed Income Portfolio EUR 24-Jan-06 1.06 4.39 6.14 4.74 4.06

Barclays Capital Euro Aggregate Bond Index EUR 24-Jan-06 1.84 6.80 6.66 5.42 4.81

Goldman Sachs Funds – Euro Short Duration Bond Portfolio USD 15-Jan-14 0.76 1.06 ― ― 1.21

Barclays Euro Aggregate 500mm 1-3 yr 15-Jan-14 0.47 1.18 ― ― 1.46

Goldman Sachs Funds – Europe High Yield Bond Portfolio EUR 17-Jun-14 3.62 ― ― ― 4.08

BOFAML European Currency High Yield Constrained Index (EUR Hedged) EUR 17-Jun-14 3.65 ― ― ― 3.70

Goldman Sachs Funds – Global Credit Portfolio (Hedged) USD 26-Jan-06 1.13 2.46 4.50 4.89 3.52

Barclays Capital Global Aggregate Credit Bond Index (USD Hedged) USD 26-Jan-06 1.27 3.69 4.90 5.53 5.23

Goldman Sachs Funds – Global Fixed Income Portfolio USD 26-Feb-93 (3.70) (7.80) (0.92) 1.68 4.42

Barclays Capital Global Aggregate Index USD 26-Feb-93 (3.32) (6.00) (0.50) 2.47 5.46

Goldman Sachs Funds – Global Fixed Income Portfolio (Hedged) EUR 17-Dec-01 0.58 1.83 2.48 3.18 3.58

Barclays Capital Global Aggregate Index (Hedged to Euro) EUR 17-Dec-01 1.35 4.51 3.51 4.19 4.35

Goldman Sachs Funds – Global High Yield Portfolio USD 27-Jan-98 1.67 0.97 7.26 7.93 6.26

Barclays Capital US High Yield 2% Issuer Capped Bond Index USD 27-Jan-98 2.57 1.96 8.09 9.17 6.82

Goldman Sachs Funds – Global Sovereign Bond Portfolio(1)

USD 22-May-15 ― ― ― ― (0.93)

Barclays 60% Emerging Market Local Currency Government (USD) /

40% Global Treasury Country Capped (USD-Hedged) Bond Index(1)

USD 22-May-15 ― ― ― ― (0.73)

Goldman Sachs Funds – Growth & Emerging Markets Corporate Bond Portfolio USD 17-May-11 2.88 3.50 6.21 ― 5.92

JPM CEMBI Broad Diversified Index USD 17-May-11 2.63 3.95 6.16 ― 5.46

Goldman Sachs Funds – Growth & Emerging Markets Debt Blend Portfolio USD 8-May-13 (4.87) (7.48) ― ― (5.80)

50% JP Morgan GBI-EM Global Diversified Index, 25% JPM EMBI

Global Diversified Index, 25% CEMBI Broad Diversified Index USD 8-May-13 (3.94) (5.44) ― ― (4.17)

Goldman Sachs Funds – Growth & Emerging Markets Debt Local Portfolio USD 29-Jun-07 (10.24) (15.51) (2.82) 0.31 1.17

JP Morgan GBI – EM – Global Diversified Index(6)

USD 29-Jun-07 (9.42) (13.49) (1.62) n/a n/a

Goldman Sachs Funds – Growth & Emerging Markets Debt Portfolio USD 3-May-00 0.02 0.76 5.33 7.11 10.09

JP Morgan Emerging Markets Bond Index – Global Diversified USD 3-May-00 0.88 2.42 6.00 7.51 9.72

Goldman Sachs Funds – Liberty Harbour Opportunistic Corporate Bond Portfolio USD 4-Apr-12 1.05 (0.65) 3.90 ― 3.81

Bank of America ML USD 1 Month LIBOR Constant Maturity Index USD 4-Apr-12 0.07 0.12 0.19 ― 0.20

Goldman Sachs Funds – Sterling Broad Fixed Income Portfolio GBP 10-Dec-01 1.90 8.21 4.09 5.88 4.51

Bank of America ML Sterling Broad Market Index GBP 10-Dec-01 2.52 10.14 4.69 6.80 5.85

Goldman Sachs Funds – Sterling Credit Portfolio GBP 18-Dec-08 2.52 7.40 7.95 7.48 8.91

iBoxx Sterling Non Gilts Index GBP 18-Dec-08 2.97 8.85 7.55 7.54 8.28

Goldman Sachs Funds – US Fixed Income Portfolio USD 27-Jul-98 0.74 1.55 1.88 3.66 4.48

Barclays Capital US Aggregate Index USD 27-Jul-98 1.09 2.84 2.20 3.86 5.33

Goldman Sachs Funds – US Mortgage Backed Securities Portfolio USD 30-Sep-02 1.30 2.62 2.21 3.16 4.15

Barclays Capital US Securitized Index USD 30-Sep-02 1.25 3.19 2.28 3.45 4.50


Goldman Sachs Funds



5


Since


Currency date (%) (%) (%) (%) (%)

Goldman Sachs Funds—Specialist Portfolios

Goldman Sachs Funds – CoCos & Capital Securities Portfolio USD 10-Jun-14 3.34 ― ― ― 4.45

65% Barclays Global Capital Securities (USD-Hedged) /

35% Barclays Global Contingent Capital Index USD 10-Jun-14 0.12 ― ― ― 0.23

Goldman Sachs Funds – Global Currency Plus Portfolio USD 2-Sep-08 (1.71) 0.70 0.95 (1.38) (0.47)

Overnight US LIBOR Index USD 2-Sep-08 0.06 0.11 0.12 0.15 0.23

Goldman Sachs Funds – Global Fixed Income Plus Portfolio (Hedged) EUR 25-Jan-06 0.67 2.07 4.11 4.22 4.00

Barclays Capital Global Aggregate Index (Hedged to Euro) EUR 25-Jan-06 1.35 4.51 3.51 4.19 4.35

Goldman Sachs Funds – Global Strategic Income Bond Portfolio USD 28-Mar-11 (0.90) (2.01) 4.75 ― 3.18

3 Months USD LIBOR Index USD 28-Mar-11 0.13 0.25 0.28 ― 0.32

Goldman Sachs Funds – Global Strategic Macro Bond Portfolio USD 22-Oct-14 0.38 ― ― ― (0.42)

3 Months USD LIBOR Index USD 22-Oct-14 0.13 ― ― ― 0.16

Goldman Sachs Funds – Sterling Broad Fixed Income Plus Portfolio GBP 23-Jan-06 2.21 8.67 5.50 6.60 4.88

Bank of America ML Sterling Broad Market Index GBP 23-Jan-06 2.52 10.14 4.69 6.80 5.21

Goldman Sachs Funds – Strategic Absolute Return Bond I Portfolio USD 28-Jun-06 (0.31) (1.72) 1.81 1.20 1.31

3 Months USD LIBOR Index USD 28-Jun-06 0.13 0.25 0.28 0.32 1.53

Goldman Sachs Funds – Strategic Absolute Return Bond II Portfolio USD 28-Jun-06 (1.17) (4.03) 2.55 1.60 2.15

3 Months USD LIBOR Index USD 28-Jun-06 0.13 0.25 0.28 0.32 1.53

Goldman Sachs Funds—Select Portfolios

Goldman Sachs Funds – Custom Emerging Markets Debt Blend Portfolio(7)

ILS 5-Nov-14 (5.94) ― ― ― (4.60)

50% JPMorgan GBI EM – Global Diversified Investment Grade (ILS) /

50% JPMorgan EMBI Global Investment Grade (ILS hedged) ILS 5-Nov-14 (4.96) ― ― ― (3.35)

Goldman Sachs Funds – Global Corporate Portfolio (Hedged)(7)

NOK 31-Dec-07 1.51 3.77 5.37 6.66 7.22

Barclays Capital Global Aggregate Index – NOK Hedged NOK 31-Dec-07 1.81 5.00 5.58 6.72 7.21

Goldman Sachs Funds—Flexible Portfolios

Goldman Sachs Funds – Global Income Builder Portfolio USD 18-Mar-14 2.40 2.74 ― ― 4.70

60% Barclays Capital US High Yield – 2% Issuer Cap and 40% MSCI World Index USD 18-Mar-14 2.92 3.48 ― ― 5.10

Goldman Sachs Funds – US Real Estate Balanced Portfolio(3)

USD 2-Oct-12 2.08 5.59 ― ― 8.99

35% BoAML US High Yield Building Materials + 35% BoAML US High Yield

Homebuilders/Real Estate + 30% MSCI Custom Real Estate Equity Index USD 2-Oct-12 2.34 6.35 ― ― 9.51

Goldman Sachs Funds – Wealthbuilder Multi-Asset Balanced Portfolio USD 30-Jun-14 2.20 ― ― ― 2.67

50% Barclays Capital Global Aggregate Bond Index (USD-Hedged) /

50% MSCI World Index (Net) (USD) USD 30-Jun-14 2.46 ― ― ― 4.15

Goldman Sachs Funds – Wealthbuilder Multi-Asset Conservative Portfolio USD 30-Jun-14 1.41 ― ― ― 1.61



Goldman Sachs Funds – Wealthbuilder Multi-Asset Growth Portfolio USD 30-Jun-14 3.36 ― ― ― 3.70




6

Goldman Sachs Asset Management International

12 June 2015

Performance returns are shown for the Base Currency Share Class, unless indicated.

All index returns are shown with income re-invested and, in contrast to the Share Classes, without the deduction of any fees or

expenses. Returns of the Share Classes are shown net of fees and expenses and after the reinvestment of dividends using 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.

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

where applicable.

*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.

Although certain information has been obtained from sources believed to be reliable, we do not guarantee its accuracy, completeness

or fairness. We have relied upon and assumed without independent verification, the accuracy and completeness of all information

available from public sources.

The economic and market forecasts presented herein are for informational purposes as of the date of this report. There can be no

assurance that the forecasts will be achieved.

Please see Additional Information section on page 589.

(1)Cumulative Net Returns.

(2)Prior to 1 March 2010, the benchmark associated with this Portfolio was the MSCI Europe Index – Gross.

(3)Performance shown is for the Base Accumulation Share Class.

(4)Performance shown is for the Base Currency Close Share Class.

(5)Performance shown is for the Base Accumulation Close Share Class.

(6)Please note that prior to 31 December 2009, the GS Growth & Emerging Markets Debt Local Portfolio was managed in a

benchmark-agnostic manner, i.e. not managed to a benchmark index. From 1 January 2010 the benchmark of the Portfolio is

the JPM GBI-EM Global Diversified Index.(7)

Performance shown is for the “I” Accumulation Share Class.

(8) GS Absolute Return Tracker Portfolio Base Accumulation share class launched on 13 January 2015. Prior to that date, the

performance is that of the A (USD) share class of the GS Absolute Return Tracker Portfolio which launched on 12 December

2007 and was merged to the Base Accumulation share class.

(9) GS Liquid Alternative Beta Equity Long Short Portfolio “I” Accumulation Share Class launched on 13 January 2015. Prior to

that date, the performance is that of the C (USD) share class of the GS Alternative Beta Equity Long Short UCITS Portfolio

which launched on 12 August 2011 and was merged to the “I” Accumulation Share Class.

Goldman Sachs Funds




Since


Currency date (%) (%) (%) (%) (%)

Goldman Sachs Funds—Alternative Portfolios

Goldman Sachs Funds – Absolute Return Tracker Portfolio(8)

USD 13-Jan-15 2.21 3.75 4.85 2.66 (0.45)

HFRX Global Hedge Fund Index (Net of fees, USD, Unhedged) USD 13-Jan-15 1.78 1.11 3.52 1.56 (0.88)

Goldman Sachs Funds – Liquid Alternative Beta Equity Long Short Portfolio(9)

USD 13-Jan-15 1.39 1.21 5.61 ― 4.40

HFRX Equity Hedge Index USD 13-Jan-15 2.68 4.96 6.61 — 3.65

Goldman Sachs Funds – Liquid Alternative Beta Event Driven Portfolio(10)

USD 13-Jan-15 1.74 2.44 7.55 ― 6.95

HFRX Event Driven Index USD 13-Jan-15 1.98 (4.39) 4.60 — 3.89

Goldman Sachs Funds – Liquid Alternative Beta Macro Portfolio(11)

USD 20-Jan-15 4.32 6.64 0.72 ― (0.21)

HFRX Macro-CTA Index USD 20-Jan-15 1.68 7.52 1.42 — 0.13

Goldman Sachs Funds – Liquid Alternative Beta Relative Value Portfolio(12)

USD 13-Jan-15 2.24 1.70 ― ― 4.36

HFRX Relative Value Arbitrage Index USD 13-Jan-15 0.69 (1.72) ― ― 1.13

Goldman Sachs Funds – Liquid Alternative Beta Trend Portfolio(13)

USD 20-Jan-15 11.67 26.92 2.23 ― 0.96

Newedge Trend Index USD 20-Jan-15 6.46 25.26 5.36 — 3.20

Goldman Sachs Funds – Multi-Asset Dynamic Strategy Portfolio(14)

GBP 20-Jan-15 3.80 6.07 ― ― 6.72

HFRX Global Hedge Fund Index (Net of fees, GBP, Unhedged) GBP 20-Jan-15 4.45 11.15 ― ― 2.41

7

(10) GS Liquid Alternative Beta Event Driven Portfolio “I” Accumulation Share Class launched on 13 January 2015. Prior to that

date, the performance is that of the C (USD) share class of the GS Alternative Beta Event Driven UCITS Portfolio which

launched on 17 August 2011 and was merged to the “I” Accumulation Share Class.

(11) GS Liquid Alternative Beta Macro Portfolio “I” Accumulation Share Class launched on 20 January 2015. Prior to that date, the

performance is that of the C (USD) share class of the GS Alternative Beta Macro UCITS Portfolio which launched on 12 August

2011 and was merged to the “I” Accumulation Share Class.

(12) GS Liquid Alternative Beta Relative Value Portfolio “I” Accumulation Share Class launched on 13 January 2015. Prior to that

date, the performance is that of the C (USD) share class of the GS Alternative Relative Value UCITS Portfolio which launched

on 20 December 2012 and was merged to the “I” Accumulation Share Class.

(13) GS Liquid Alternative Beta Trend Portfolio “I” Accumulation Share Class launched on 20 January 2015. Prior to that date,

the performance is that of the C (USD) share class of the GS Alternative Beta Trend UCITS Portfolio which launched on

27 October 2010 and was merged to the “I” Accumulation Share Class.

(14) GS Multi-Asset Dynamic Strategy Portfolio “R” Accumulation (GBP-Hedged) Share Class launched on 20 January 2015. Prior

to that date, the performance is that of the A (GBP) share class of the GS Multi-Asset Dynamic Strategy Portfolio which

launched on 30 July 2013 and was merged to the “R” Accumulation (GBP-Hedged) Share Class.

Goldman Sachs Funds



8T

he

ac

co

mp

an

yin

g n

ote

s a

re a

n in

teg

ral p

art o

f the

se

fina

nc

ial s

tate

me

nts

.

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Assets

an

d L

iab

ilities

As a

t 31 M

ay 2

015

3(c)89,866,200

257,530,6518,448,614

222,733,136786,432,862

5,918,82235,882,307

911,622,471167,741,785

27,367,4873(c)

——

——

——

——

——

3(c),13—

259,301—

—329,370

——

12,319—

—3(c)

——

——

——

——

——

3(c)—

——

——

——

——

—3(c)

——

——

——

——

——

3(c)—

——

——

——

——

—1,772,358

5,978,33084,803

2,394,730268,237

99,714507,875

13,297,0092,564,793

344,47014

3—

——

——

——

——

1,657,523—

——

——

—2,102,507

527,278327,752

5482,104

—3,797

3,272,395—

—121,354

629,603—

109,679633,082

9,757436,824

814,9502,532

74,8991,687,686

336,27859,047

3(b)—

——

——

——

—1

—3(b)

——

——

——

——

——

5—

——

240,158350,203

7,76928,891

487,549—

—5

——

——

——

——

——

7360

2,464—

33,8177,424

—1,580

9033,930

—7

4,186—

31,386—

—34,184

28,699—

—24,718

1,5806,356

9452,321

4450

8,310753

2,085829

93,411,943264,492,288

8,575,505225,844,783

791,475,4456,063,471

36,532,561929,332,551

171,805,75328,124,303

793219

——

12,969—

—1,578

8514

14—

——

——

——

——

—3(c)

——

——

——

——

——

3(c),13—

——

—44,186

——

271,890—

—3(c)

——

——

——

——

——

3(c)—

——

——

——

——

—3(c)

——

——

——

——

——

3(c)—

——

——

——

——

—3(c)

——

——

——

——

——

3(c)—

——

——

——

——

—1,271,796

5,318,73922,058

——

18,519—

2,063,9322,738,833

388,503—

——

——

——

——

—3,626

846,735—

17,815528,315

—267,502

2,040,348860,532

—3(b)

——

——

——

—163

——

——

——

——

——

——

208,703986,526

33,488473,168

2,014,01610,979

93,7352,494,383

414,38657,943

7—

——

——

——

——

—7

27,67852,363

11,04925,128

41,9826,346

8,72043,232

21,1848,948

718,195

147,808—

11,69332,530

—933

—12,470

267

12,77832,526

7,00215,174

29,4822,985

10,89410,975

16,8765,973

52,020

—494

8,62250,045

1041,977

58,1151,527

5135

119,783519,065

——

——

——

132,20223,002

15,13015,130

10,5947,737

15,12915,129

15,13010,594

21,62915,129

74,271

20,238793

10,42058,430

1492,917

68,2366,756

7007

255858

22472

2,32118

1213,286

44185

20,27988,794

13,86881,664

23,4972,389

21,88246,968

37,6929,263

15,50832,726

90715,628

30,978—

4,53510,828

24,7711,332

7,52715,095

71216,410

27,273120

3,18523,069

11,333583

——

——

1,103—

——

——

4,14641,904

1,09535,172

152,796386

13,771327,233

22,5794,702

13,04517,899

9,19012,738

16,6746,608

12,9838,968

19,3579,001

4,9063,778

4,6274,331

5,9745,387

5,5815,259

4,9305,206

2,4371,779

2,3012,761

2,3672,680

2,7762,616

2,4113,026

920481

792760

1,5561,271

—4,055

9431,096

1,753,7968,142,663

118,992739,693

3,091,62373,070

466,6427,495,728

4,350,937535,045

91,658,147256,349,625

8,456,513225,105,090

788,383,8225,990,401

36,065,919921,836,823

167,454,81627,589,258

3(j)(430,793)

—(26,215)

——

——

——

—

91,227,354256,349,625

8,430,298225,105,090

788,383,8225,990,401

36,065,919921,836,823

167,454,81627,589,258

Assets

Investments, at value, excluding derivatives

Unrealised gain on non-deliverable bond forw

ard contractsU

nrealised gain on forward currency contracts and share class specific forw

ard currency contractsU

nrealised gain on futures and futures on duration hedging share classesU

nrealised gain on swap contracts and sw

ap contracts on duration hedging share classesU

pfront payments paid on sw

ap transactionsM

arket value of purchased optionsC

ashD

ue from B

rokersR

eceivable for investments sold

Receivable for shares sold

Dividends receivable

Interest receivable excluding Sw

ap Contracts

Interest receivable on Sw

ap Contracts

Dividend tax reclaim

receivableInterest tax reclaim

receivableS

ecurities lending receivableInvestm

ent Adviser fees w

aived receivableO

ther assets

Total A

ssets

Liab

ilitiesB

ank overdraftD

ue to Brokers

Unrealised loss on non-deliverable bond forw

ard contractsU

nrealised loss on forward currency contracts and share class specific forw


nrealised loss on futures and futures on duration hedging share classesU

nrealised loss on swap contracts and sw


pfront payments received on non-deliverable bond forw

ard contractsU

pfront payments received on sw

ap transactionsM

arket value of written options

Market value of covered forw

ard mortgage backed securities

Payable for investm

ents purchasedP

ayable for repurchase agreements

Payable for shares redeem

edInterest payable on S

wap C

ontractsD

istributions payableInvestm

ent Adviser fee payable

Perform

ance fees payableA

dministration and C

ustody fees payableD

istribution and servicing fees payableTransfer A

gent fee payableTaxe d'abonnem

ent payableC

apital gains tax payableA

udit fee payableM

anagement C

ompany fees payable

Directors fees payable

Legal fees payableInsurance fees payableP

rinting fees payableP

ublishing fees payableP

ayable for Withholding Tax on D

ividend and Interest Income

Tax Reporting fees payable

Paying A

gency fee payableR

egulatory Reporting fees payable

Other liabilities

Total L

iabilities

Sh

areho

lders' E

qu

ity

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders' E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Please refer to S

tatistical information for O

utstanding Shares and N

et Asset V

alue Per S

hare as at 31 May 2015.

No

tes

Asia

Po

rtfolio

US

D

BR

ICs

Po

rtfolio

US

D

Ch

ina

Op

po

rtun

ity

Po

rtfolio

US

D

Eu

rop

e

Eq

uity

Partn

ers

Po

rtfolio

EU

R

Glo

bal

Eq

uity

Partn

ers

Po

rtfolio

US

D

Glo

bal

Eq

uity

Un

con

strained

Po

rtfolio

US

D

Glo

bal

Resp

on

sible

Eq

uity

Po

rtfolio

US

D

GM

S D

ynam

ic

Wo

rld E

qu

ity

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g

Markets B

road

Eq

uity P

ortfo

lio

US

D

Gro

wth

Markets

Plu

s Eq

uity

Po

rtfolio

US

D

Reg

ion

al Eq

uity P

ortfo

lios

9T

he

ac

co

mp

an

yin

g n

ote

s a

re a

n in

teg

ral p

art o

f the

se

fina

nc

ial s

tate

me

nts

.

3(c)1,615,486,109

751,585203,678,929

821,727,07322,539,450

3,110,041,80663,955,918

206,808,958536,623,960

468,809,5683(c)

——

——

——

——

——

3(c),13—

7133,540,059

——

4,382,032—

51,640605

—3(c)

1,806,018—

——

——

——

37,72151,158

3(c)—

——

——

——

——

288,0093(c)

——

——

——

——

——

3(c)—

——

——

——

——

—153,926,866

693,3951,046,376

8,077,931357,231

39,494,0831,543,348

6,125,8008,726,053

9,735,34014

6,509,507—

——

——

—405,568

749,109889,661

1,261,947—

4,768,9413,650,188

1,123,4776,779,274

228,630—

13,969—

11,920,785—

3,913,3046,390,391

—4,712,283

23,583240,194

610,9923,569,401

340,168—

1,563,8052,416,061

43,5923,945,013

42,299656,937

1,912,4841,197,767

3(b)30

——

——

——

——

—3(b)

——

——

——

——

——

5—

——

3,65121,629

——

493,631116,961

236,4275

——

——

——

——

——

7—

—2,349

5,172—

——

30,27542,110

23,0037

—275

——

22,715—

—20

——

4,593—

2802,806

1,2773,072

2,0581,808

2,0731,542

1,791,256,0231,445,968

218,514,043842,273,273

24,109,3713,169,357,563

65,795,836214,814,831

548,836,037484,801,876

——

—1,462

1,339—

——

——

14—

——

——

——

——

—3(c)

——

——

——

——

——

3(c),13—

49184,729

——

——

——

31,5343(c)

——

——

——

——

45,000134,025

3(c)—

——

——

——

——

—3(c)

——

——

——

——

——

3(c)—

——

——

——

——

—3(c)

——

——

——

——

——

3(c)—

——

——

——

——

—53,424,015

714,1718,957,775

8,667,767255,857

——

——

——

——

——

——

——

—3,309,554

—1,711,900

19,722,798983,124

6,610,34519,190

6,415,822449,452

476,0443(b)

——

——

——

—378

——

——

——

——

——

——

6,033,93062

611,5092,736,312

64,32011,005,486

223,626392,416

604,529918,463

7—

——

——

——

——

—7

244,16299

8,693187,300

6,92391,096

9,23719,005

51,03950,561

7189,361

—48,531

238,6773,891

61,74231,702

27,71891,873

23,6887

24,90611

3,38256,284

9,54832,244

11,21714,175

13,84714,081

598,487

1711,923

36,280981

180,6283,631

9,91817,606

20,8905

——

—352,698

——

——

——

73,54429

1,13615,129

10,59315,129

10,5947,737

15,13015,129

7113,409

113,695

55,2511,535

242,7265,473

11,78523,035

29,4667

3,015—

4393,821

7810,195

207603

1,1401,317

29,90526

3,56241,082

22,513104,792

12,26619,957

25,80829,884

8,169—

1,95016,719

7,82730,229

9,40218,155

3,6314,330

8,9981

3,24929,323

4,62444,803

5,43210,093

3,2209,281

—5

——

——

——

——

——

239,497315,319

7,8761,183,504

12,69040,268

337,651173,105

4,77436

1,49610,258

10,57512,432

11,9749,949

14,89211,145

44131

2812,565

5,0152,588

4,9273,936

4,1134,177

2167

1391,012

2,4741,257

2,3661,939

2,0452,072

—41

61735

8872,358

795362

6694,725

63,566,886714,586

11,803,94732,490,792

1,399,98019,631,554

374,7297,004,216

1,704,6801,953,917

1,727,689,137731,382

206,710,096809,782,481

22,709,3913,149,726,009

65,421,107207,810,615

547,131,357482,847,959

3(j)—

——

——

——

——

—

1,727,689,137731,382

206,710,096809,782,481

22,709,3913,149,726,009

65,421,107207,810,615

547,131,357482,847,959

Assets



ard contractsU







ap transactionsM


ashD

ue from B

rokersR





ap Contracts


ap Contracts



receivableS


ent Adviser fees w

aived receivableO

ther assets

Total A

ssets

Liab

ilitiesB

ank overdraftD

ue to Brokers


ard contractsU







ard contractsU


ap transactionsM




Payable for investm

ents purchasedP




wap C

ontractsD



Perform

ance fees payableA

dministration and C




ent payableC


udit fee payableM

anagement C

ompany fees payable








Paying A

gency fee payableR


Other liabilities

Total L

iabilities

Sh

areho

lders' E

qu

ity

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders' E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Please refer to S



et Asset V

alue Per S


No

tes

Ind

ia Eq

uity

Po

rtfolio

US

D

Japan

Po

rtfolio

(b)

JPY

N-11

®E

qu

ity

Po

rtfolio

US

D

Strateg

ic

Glo

bal E

qu

ity

Po

rtfolio

US

D

US

Eq

uity

Po

rtfolio

US

D

US

Fo

cused

Gro

wth

Eq

uity

Po

rtfolio

US

D

Eu

rop

e

CO

RE

®E

qu

ity

Po

rtfolio

EU

R

Glo

bal

CO

RE

®E

qu

ity

Po

rtfolio

(c)

US

D

Glo

bal S

mall C

ap

CO

RE

®E

qu

ity

Po

rtfolio

(c)

US

D

Japan

Eq

uity

Partn

ers

Po

rtfolio

(a)(b

)

JPY

Reg

ion

al Eq

uity P

ortfo

lios

Glo

bal an

d R

egio

nal C

OR

E®

Eq

uity P

ortfo

lios

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Assets

an

d L

iab

ilities

As a

t 31 M

ay 2

015

10

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(c)298,743,999

727,631,836103,616,021

97,378,90557,702,610

5,648,175368,498,214

17,408,73212,332,143

318,483,6253(c)

——

——

——

——

——

3(c),13—

——

——

——

40,67638,018

425,3363(c)

—35,750

——

942—

—15,112

7,450—

3(c)—

——

——

——

26,7345,692

101,6433(c)

——

——

——

—73,832

9,68463,833

3(c)—

——

——

——

——

—7,345,289

4,046,7451,047,663

200,698933,344

54,383330,034

144,410149,120

2,339,45414

—220,000

104,057—

36,973—

—214,362

47,9333,130,152

1,145,587—

310,78240,510

34,087—

763,872210,426

—1,006,183

248,5923,409,985

20,092—

——

398,73515,975

—703,108

1,403,1481,411,079

65,363320,286

194,56119,621

727,896—

—4,351

3(b)—

——

——

——

203,981171,431

5,246,7003(b)

——

——

——

—4,548

433—

5—

——

31,50625,992

—57,069

——

—5

——

——

——

—98

25—

73,634

291,345

6,8874,250

—22,243

——

—7

——

2,47738,676

—33,942

—46,977

52,2181,379

9822,094

1,4671,147

1,0942,306

9791,668

8971,313

308,891,231736,757,518

105,169,26798,018,615

58,933,8535,758,427

370,799,04218,407,531

12,815,044331,507,077

523,713—

——

—31,024

——

88696

14—

405,876—

1,538—

——

——

—3(c)

——

——

——

——

——

3(c),13—

——

——

——

24316,737

2,095,3793(c)

——

17,670—

14,565—

—15,938

107—

3(c)—

——

—45,547

——

30,1637,510

328,0023(c)

——

——

——

——

——

3(c)—

——

——

——

56,07517,644

1,419,5743(c)

——

——

——

——

——

3(c)—

——

——

——

——

—1,324,684

—257,679

10,03114,637

——

197,362—

1,285,750—

——

——

——

——

—393,066

3,165,60145,052

——

—1,397,826

8,489—

150,5703(b)

——

—34

——

—1,663

432755

——

——

——

——

—4,107

263,1062,101,356

207,979325

29,7755,077

1,484,20126,545

9,041489,312

7—

——

——

——

——

—7

53,61634,962

17,0144,585

5,9913,327

32,7127,124

7,05817,967

7—

126,41810,625

10348

6018,113

4,77017

1,1087

9,19414,169

11,2195,036

7,9645,202

22,5118,780

6,65210,599

57,219

49,0705,095

1,7082,111

9231,203

800573

7,5415

26,156—

——

——

——

——

15,13015,129

15,13011,052

15,12921,630

10,59415,799

7,7387,737

710,587

62,3236,919

1,8812,622

15536,432

1,171694

10,4637

8401,711

3339

16017

1,55859

42737

27,75529,655

18,2307,206

17,39013,466

31,1628,451

15,60512,530

2,18015,441

3,932244

389278

7584,455

7392,718

3,55112,224

5,679211

937246

5,2502,486

255504

——

——

——

——

——

120,687412,371

18,00316,040

28,3171,466

206,673—

—652

10,28911,373

10,9478,968

11,6718,699

11,55810,261

11,25316,704

4,9643,331

4,2475,588

5,9555,913

5,2794,929

5,0965,093

2,4691,654

2,1073,248

3,4623,438

2,80618,011

17,20412,877

1,730745

7651,253

1,3891,322

2,065905

1,030866

2,800,9366,463,409

658,62579,060

208,059101,412

3,300,701424,479

126,3135,881,641

306,090,295730,294,109

104,510,64297,939,555

58,725,7945,657,015

367,498,34117,983,052

12,688,731325,625,436

3(j)—

——

——

——

——

—

306,090,295730,294,109

104,510,64297,939,555

58,725,7945,657,015

367,498,34117,983,052

12,688,731325,625,436

Assets



ard contractsU







ap transactionsM


ashD

ue from B

rokersR





ap Contracts


ap Contracts



receivableS


ent Adviser fees w

aived receivableO

ther assets

Total A

ssets

Liab

ilitiesB

ank overdraftD

ue to Brokers


ard contractsU







ard contractsU


ap transactionsM




Payable for investm

ents purchasedP




wap C

ontractsD



Perform

ance fees payableA

dministration and C




ent payableC


udit fee payableM

anagement C

ompany fees payable








Paying A

gency fee payableR


Other liabilities

Total L

iabilities

Sh

areho

lders' E

qu

ity

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders' E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Please refer to S



et Asset V

alue Per S


No

tes

US

CO

RE

®

Eq

uity

Po

rtfolio

(c)

US

D

US

Sm

all Cap

CO

RE

®E

qu

ity

Po

rtfolio

(c)

US

D

GIV

I Eu

rop

e

Eq

uity

Po

rtfolio

(c)

EU

R

GIV

I Glo

bal E

qu

ity

–G

row

th M

arkets

Tilt P

ortfo

lio(c

)

US

D

GIV

I Gro

wth

&

Em

ergin

g

Markets E

qu

ity

Po

rtfolio

(c)

US

D

No

rth A

merican

Sh

ale Revo

lutio

n

& E

nerg

y

Infrastru

cture

Po

rtfolio

US

D

Eu

ro

Fixed

Inco

me

Po

rtfolio

EU

R

Eu

ro S

ho

rt

Du

ration

Bo

nd

Po

rtfolio

EU

R

Eu

rop

e

Hig

h Y

ield

Bo

nd

Po

rtfolio

EU

R

Gro

wth

&

Em

ergin

g

Markets

CO

RE

®E

qu

ity

Po

rtfolio

US

D

Glo

bal an

d R

egio

nal C

OR

E®

Eq

uity P

ortfo

lios

Glo

bal an

d R

egio

nal G

IVI E

qu

ity Po

rtfolio

sS

ector E

qu

ity P

ortfo

lioF

ixed In

com

e Po

rtfolio

s

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Assets

an

d L

iab

ilities

As a

t 31 M

ay 2

015

11

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(c)873,573,169

144,616,094429,103,249

8,601,990,249108,722,091

293,227,497238,824,552

2,066,404,1604,590,888,802

175,496,8953(c)

——

——

——

34,343235,910

——

3(c),135,598,345

114,3317,256,329

7,724,279226,630

649,9421,659,296

19,736,33952,882,776

521,7943(c)

767,185122,322

378,0401,296,058

33,82754,874

42,233200,939

4,779,664—

3(c)2,887,974

424,761907,709

117,88081,785

35,883622,561

15,390,1907,391,616

92,8163(c)

5,246,493358,326

1,578,2201,408,500

485,122—

65,806576,126

6,848,525—

3(c)31,410

—15,232

——

——

——

—1,924,565

1,215,1117,469,422

98,461,3692,265,362

5,005,6847,209,111

37,622,37014,411,794

1,889,28914

27,762,0952,427,956

4,737,23468,794,972

394,275809,582

1,341,15732,237,171

91,923,3401,064,533

923,0479,288,349

17,205,01715,020,947

2,298,5756,200,878

3,459,0754,962,512

41,438,9965,940,030

3,004,868188,875

1,467,04778,093,188

—476,549

—2,476,415

26,555,512198,322

4,576163

—66,825

924,493

2,04427,268

75,358—

3(b)8,955,492

995,9902,967,920

128,470,2101,004,870

3,399,4764,007,372

39,609,80763,477,009

2,222,4033(b)

167,74716,066

93,221—

5,0572,430

720,78411,375,817

1,508,994—

5—

——

——

——

——

—5

5,8991,166

824112,304

——

—194,317

——

7—

——

28,439—

——

——

—7

—16,490

—27,750

5,875—

11,443—

—37,963

4,7871,647

2,2597,190

—1,851

1,2083,003

5,0722,685

930,857,652159,787,647

473,181,7239,001,620,160

115,523,561309,869,139

258,000,9852,231,052,344

4,902,187,458187,466,730

493,038—

73,9156,630

211,09613

7,056363,261

13,500—

14223,469

192,914346,881

—58,949

154400

1,800,000210,060

39,9103(c)

——

——

——

2,87961,555

——

3(c),134,262,998

569,5003,836,298

40,976,188876,620

379,9562,300,161

18,571,97217,930,933

48,2373(c)

103,64987,086

190,652703,213

9,9048,578

23,798220,972

38,528—

3(c)2,971,576

421,0911,133,551

11,124,649120,609

93,108733,304

36,420,69915,449,049

—3(c)

——

——

——

31,572177,241

——

3(c)14,283,733

1,274,3492,346,275

25,443,984461,527

239,860330,662

4,169,85130,443,726

734,9843(c)

——

——

——

——

——

3(c)—

3,036,797—

——

——

——

—3,648,480

4,609,82122,457,502

72,632,4029,913,500

13,170,3217,721,181

55,368,16961,567,825

5,948,256—

——

34,605,000—

4,774,3201,416,338

—131,708,223

—240,569

23,5358,929,201

13,776,824—

71,995—

1,429,91321,653,952

512,9343(b)

36,54811,726

33,466—

22,89313,226

723,2189,727,285

1,777,34512,399

——

—2,091,447

——

—64

132,379—

1,069,533179,903

430,59316,271,839

13,429440,108

86,0533,735,413

10,072,601479,879

7—

——

——

——

——

—7

96,81039,671

29,597211,432

3,40623,498

50,945229,813

160,02623,755

726,767

16,3681,340

529,611—

5,219147

31,016281,144

13,3547

28,57210,225

13,153139,944

1,28815,469

8,35034,446

84,98323,728

553,283

3,68230,474

414,8191,750

11,1564,463

35,319195,356

12,5175

——

——

——

28,04282,975

969,855—

21,63021,630

15,79921,629

1,09215,129

15,13021,630

21,63021,630

769,670

7,74338,277

470,528244

11,4445,981

72,047248,066

17,2257

3,507525

1,22931,821

27398

7247,761

13,821943

58,49327,126

14,272423,799

64518,046

2,120154,924

157,9284,135

29,43011,459

7,899139,210

141,069

5,31958,142

53,9289,753

31,7686,462

12,907208,066

634,572

2,92344,814

52,21010,829

——

——

97—

——

——

—2

3—

——

——

——

25,45211,695

15,49060,958

50119,253

14,38133,327

33,65835,532

5,0534,639

4,59316,494

6164,980

5,8864,744

3,9255,856

19,15418,948

17,85218,817

42219,065

20,06218,844

18,0703,404

—956

51278,330

848829

1,7935,710

5,851777

27,803,18210,587,853

39,981,731220,397,634

11,699,54019,341,766

13,542,888132,881,907

293,298,5727,960,037

903,054,470149,199,794

433,199,9928,781,222,526

103,824,021290,527,373

244,458,0972,098,170,437

4,608,888,886179,506,693

3(j)1,896,414

——

——

——

——

—

904,950,884149,199,794

433,199,9928,781,222,526

103,824,021290,527,373

244,458,0972,098,170,437

4,608,888,886179,506,693

Assets



ard contractsU







ap transactionsM


ashD

ue from B

rokersR





ap Contracts


ap Contracts



receivableS


ent Adviser fees w

aived receivableO

ther assets

Total A

ssets

Liab

ilitiesB

ank overdraftD

ue to Brokers


ard contractsU







ard contractsU


ap transactionsM




Payable for investm

ents purchasedP




wap C

ontractsD



Perform

ance fees payableA

dministration and C




ent payableC


udit fee payableM

anagement C

ompany fees payable








Paying A

gency fee payableR


Other liabilities

Total L

iabilities

Sh

areho

lders' E

qu

ity

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders' E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Please refer to S



et Asset V

alue Per S


No

tes

Glo

bal F

ixed

Inco

me

Po

rtfolio

US

D

Glo

bal F

ixed

Inco

me

Po

rtfolio

(Hed

ged

)

EU

R

Glo

bal

Hig

h Y

ield

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g M

arkets

Co

rpo

rate

Bo

nd

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g

Markets D

ebt

Blen

d P

ortfo

lio

US

D

Gro

wth

&

Em

ergin

g

Markets D

ebt

Lo

cal Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g

Markets D

ebt

Po

rtfolio

US

D

Lib

erty Harb

or

Op

po

rtun

istic

Co

rpo

rate Bo

nd

Po

rtfolio

US

D

Glo

bal

Cred

it

Po

rtfolio

(Hed

ged

)

US

D

Glo

bal

So

vereign

Bo

nd

Po

rtfolio

(a)

US

D

Fixed

Inco

me P

ortfo

lios

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Assets

an

d L

iab

ilities

As a

t 31 M

ay 2

015

12

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(c)83,308,266

325,696,75282,100,859

215,770,118136,005,909

18,426,957437,581,540

8,040,426,926282,461,124

21,792,2393(c)

——

——

——

——

145,409—

3(c),135,061

106,777140,662

137,985162,722

1,083,7248,530,052

86,879,0076,202,064

83,3573(c)

211,002504,987

69,4218,663

——

751,55718,355,600

1,531,101100,080

3(c)359,138

1,360,71650,876

105,109—

—1,624,332

38,893,0036,487,825

85,3433(c)

562,5242,124,461

176,2057,134

——

2,482,70360,685,010

3,769,082302,699

3(c)—

11,549—

——

—23,456

38,106,6401,849,223

—1,051,310

3,352,681819,343

1,763,4331,419,316

826,8823,819,459

149,062,03831,892,450

384,84914

865,4285,363,969

391,1281,048,895

——

7,241,482111,012,342

11,733,824396,998

——

24,115,322413,249,640

——

6,263,19817,154,071

3,349,958—

—84,617

89,77717,500

5,259,404—

331,39117,610,090

18,389,702—

9459

1,5502,287

18,743315

347,226

4,51288

3(b)1,155,788

5,972,013437,242

461,2071,940,794

1073,337,126

43,913,2931,008,414

265,1293(b)

12,50333,191

17,932—

——

170,4164,796,467

1,207,0962,173

5—

——

——

——

——

—5

140944

——

——

725—

——

7—

——

——

——

——

—7

13,304—

56,30225,203

—36,765

——

53,14528,527

460386

1,9141,542

3352,575

2,6754,089

1,759538

87,544,933344,613,502

108,468,533632,598,716

144,807,22320,377,325

472,160,1158,626,945,802

370,086,68823,442,020

1,1871,553

2,012—

——

2,05233,953

205,1701,850

1495,236

154,620—

269,988—

160,328207,372

40,565,9381,319,957

54,3983(c)

——

——

——

——

10,939—

3(c),1324,857

190,732155,087

71514,528

835,1506,706,540

84,147,2423,356,433

99,5763(c)

22,47357,547

12,01726,562

——

251,3974,098,519

176,57010,313

3(c)254,354

1,646,07956,192

33,855—

—1,906,013

49,931,0824,809,798

137,1823(c)

——

——

——

——

141,035—

3(c)564,270

4,020,64279,205

492,953—

—3,376,217

87,053,1576,278,839

186,6053(c)

——

——

——

——

796,815—

3(c)—

——

2,024,531—

——

——

—139,250

668,12828,133,821

450,954,4201,426,981

—19,968,774

700,093,10739,547,430

——

——

——

——

——

—575

175,807247,175

10,640518,617

76,672441,224

25,613,90739,870

—3(b)

5,78064,668

2,8777,978

—42

67,8954,349,504

1,344,3062,082

——

1,110—

——

—201,748

——

29,298159,269

131,980118,619

8129,302

485,09414,357,803

281,11036,113

7—

——

——

243—

—25

—7

20,72140,726

12,88236,466

9,24613,203

33,965208,804

39,1106,418

7—

—13,766

3,002—

8638,714

516,299158

227

3,8486,194

13,44310,397

24,28211,672

18,43797,972

14,8254,343

52,079

9,6633,796

3,1562,595

—13,822

355,9076,688

2,7935

—938

——

——

1,606169,839

——

12,91713,193

21,63021,629

10,59421,630

15,79921,630

38,60513,193

72,767

11,8446,034

7,9703,190

63317,879

421,1085,803

1,0207

2981,100

249469

42970

1,26323,667

428838

31,16943,093

20,22052,371

18,97119,443

21,03461,912

7,09623,974

3,7286,740

10,95812,312

9002,980

6,5968,314

—3,557

1,9155,638

5,3464,276

1,5221,355

7,79192,188

—2,982

——

——

——

——

——

5,286—

——

4,637—

27,084

——

5,5076,700

25,10013,498

6,64816,470

19,45331,173

20,7005,670

3,5083,462

4,7775,208

5,6155,586

4,8371,114

5,6883,523

12,92512,902

19,01719,231

14,10019,416

17,97316,980

10,13012,933

9041,728

7231,061

1,732829

45931

1,331881

1,244,8527,302,966

28,979,417454,131,307

2,064,6681,215,887

33,602,2081,012,479,982

58,458,859610,266

86,300,081337,310,536

79,489,116178,467,409

142,742,55519,161,438

438,557,9077,614,465,820

311,627,82922,831,754

3(j)(129,450)

—71,540

——

——

12,183,145—

—

86,170,631337,310,536

79,560,656178,467,409

142,742,55519,161,438

438,557,9077,626,648,965

311,627,82922,831,754

Assets



ard contractsU







ap transactionsM


ashD

ue from B

rokersR





ap Contracts


ap Contracts



receivableS


ent Adviser fees w

aived receivableO

ther assets

Total A

ssets

Liab

ilitiesB

ank overdraftD

ue to Brokers


ard contractsU







ard contractsU


ap transactionsM




Payable for investm

ents purchasedP




wap C

ontractsD



Perform

ance fees payableA

dministration and C




ent payableC


udit fee payableM

anagement C

ompany fees payable








Paying A

gency fee payableR


Other liabilities

Total L

iabilities

Sh

areho

lders' E

qu

ity

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders' E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Please refer to S



et Asset V

alue Per S


No

tes

US

Fixed

Inco

me

Po

rtfolio

US

D

US

Mo

rtgag

e

Backed

Secu

rities

Po

rtfolio

US

D

Co

Co

s &

Cap

ital

Secu

rities

Po

rtfolio

US

D

Glo

bal

Cu

rrency P

lus

Po

rtfolio

US

D

Glo

bal

Fixed

Inco

me

Plu

s Po

rtfolio

(Hed

ged

)

EU

R

Glo

bal

Strateg

ic

Inco

me B

on

d

Po

rtfolio

US

D

Glo

bal

Strateg

ic

Macro

Bo

nd

Po

rtfolio

US

D

Sterlin

g

Bro

ad F

ixed

Inco

me P

lus

Po

rtfolio

GB

P

Sterlin

g

Bro

ad

Fixed

Inco

me

Po

rtfolio

GB

P

Sterlin

g C

redit

Po

rtfolio

GB

P

Fixed

Inco

me P

ortfo

lios

Sp

ecialist Po

rtfolio

s

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Assets

an

d L

iab

ilities

As a

t 31 M

ay 2

015

13

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(c)1,827,230,539

369,903,302346,086,588

12,060,266,333105,849,009

754,076,468120,027,952

26,616,78551,529,263

3(c)—

——

——

——

——

3(c),1311,716,538

5,533,8209,068,199

128,912,526218,068

331,136497,203

191,345162,885

3(c)3,386,771

1,273,50261,917

8,777,0575,842

74,085830,637

1,976408,858

3(c)6,628,692

2,885,714—

27,717,345—

15,95449,714

—24,572

3(c)5,446,494

2,595,034—

28,500,556—

122,842—

——

3(c)3,687,880

1,670,981—

336,476—

—637,944

120,412290,069

16,875,1133,156,353

4,288,973110,692,065

3,686,9625,854,824

1,338,055219,528

1,070,57814

18,700,5736,737,412

253,197139,276,086

35,00313,606,825

407,74338,888

227,00422,030,334

5,678,4582,612,217

61,125,710250

——

——

2,014,842—

——

848,065241,378

200,137—

—29,604

5,0353,474

42142,256

79,1195,775

4592,596

3(b)6,090,054

1,958,5704,989,302

114,141,636705,838

6,631,935—

——

3(b)654,977

297,687—

742,970—

51,189—

——

5—

——

—2,963

——

——

5—

——

—41

——

——

7—

——

——

——

——

7—

72,259—

—61,380

—19,167

50,99840,407

2,7322,522

276563

1,54991,747

5,4571,318

2,890

1,924,495,143401,770,649

367,364,14312,680,489,365

111,557,226781,177,502

124,019,78427,241,709

53,759,122

6,28053,208

330,580915,017

941545

——

—14

4,049,7212,654,640

—1,555,457

——

540,185240,028

—3(c)

——

——

——

——

—3(c),13

18,562,2285,940,163

2,655,438149,256,742

312,843482

88,0618,556

54,9903(c)

1,174,710202,327

61,6712,686,210

7,898223,976

39,028578

19,3633(c)

8,470,4973,437,899

—26,013,686

—2,279,717

——

—3(c)

——

——

——

——

—3(c)

13,017,7425,494,408

—93,845,383

—5,349,831

——

—3(c)

——

——

——

——

—3(c)

1,087,266—

——

——

——

—134,947,788

52,416,983998,642

57,688,6771,189,568

——

—134,251

——

——

——

——

—2,000,042

200,117—

—119,955

2,552,572250,720

13,087—

3(b)594,543

292,870—

463,370—

208,486—

——

——

——

322,827471,430

——

—135,536

321,184416,079

7,794,885201,060

2,212,291403,009

76,240197,765

7—

——

——

——

——

7160,792

103,729131,811

413,86511,675

33,7069,995

6,3257,451

71,065

41,640—

—35,800

2,449193

665232

716,290

14,1943,563

6,64813,060

18,4476,622

6,4664,452

527,519

14,5077,470

211,4438,921

44,357—

——

54,271

2,936—

——

——

——

21,63021,630

127,863126,322

10,59415,129

10,59410,594

10,5947

45,32019,026

9,246311,795

9,66558,705

11,9612,503

5,2857

5,6531,457

3,96242,849

2712,659

32654

148117,558

37,95816,534

1,132,90318,731

—12,890

11,39111,688

14,3996,455

190120,408

4,4087,979

4652,679

24323,248

8,3079,085

165,052548

25,3101,204

133389

——

——

——

——

——

——

—31,608

21,777—

——

20,63817,126

3,99116,818

22,764—

10,12510,559

10,4855,388

16,00621,612

38,1905,052

4,9004,958

5,2505,200

19,30219,300

37,053149,322

16,30619,489

18,12218,291

18,2633,813

1,3756,812

47,822807

2,9051,112

1,0651,100

184,533,23971,339,445

4,841,602343,002,864

2,345,30213,557,142

1,409,570414,464

481,899

1,739,961,904330,431,204

362,522,54112,337,486,501

109,211,924767,620,360

122,610,21426,827,245

53,277,223

3(j)—

——

——

(2,993,719)—

——

1,739,961,904330,431,204

362,522,54112,337,486,501

109,211,924764,626,641

122,610,21426,827,245

53,277,223

Assets



ard contractsU







ap transactionsM


ashD

ue from B

rokersR





ap Contracts


ap Contracts



receivableS


ent Adviser fees w

aived receivableO

ther assets

Total A

ssets

Liab

ilitiesB

ank overdraftD

ue to Brokers


ard contractsU







ard contractsU


ap transactionsM




Payable for investm

ents purchasedP




wap C

ontractsD



Perform

ance fees payableA

dministration and C




ent payableC


udit fee payableM

anagement C

ompany fees payable








Paying A

gency fee payableR


Other liabilities

Total L

iabilities

Sh

areho

lders' E

qu

ity

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders' E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Please refer to S



et Asset V

alue Per S


No

tes

Cu

stom

Em

ergin

g

Markets D

ebt

Blen

d P

ortfo

lio

ILS

Glo

bal

Co

rpo

rate

Po

rtfolio

(Hed

ged

)

NO

K

Glo

bal

Inco

me

Bu

ilder

Po

rtfolio

US

D

US

Real

Estate

Balan

ced

Po

rtfolio

US

D

Wealth

bu

ilder

Mu

lti-Asset

Balan

ced

Po

rtfolio

US

D

Wealth

bu

ilder

Mu

lti-Asset

Co

nservative

Po

rtfolio

US

D

Wealth

bu

ilder

Mu

lti-Asset

Gro

wth

Po

rtfolio

US

D

Strateg

ic

Ab

solu

te Retu

rn

Bo

nd

I

Po

rtfolio

US

D

Strateg

ic

Ab

solu

te Retu

rn

Bo

nd

II

Po

rtfolio

US

D

Select P

ortfo

lios

Sp

ecialist Po

rtfolio

sF

lexible P

ortfo

lios

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Assets

an

d L

iab

ilities

As a

t 31 M

ay 2

015

14

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(c)253,787,673

1,491,5954,946,222

5,900,8544,794,958

5,978,449101,747,280

45,860,192,5273(c)

——

——

——

—415,662

3(c),13362,861

——

38,612—

77,994111,496

273,728,4813(c)

794,0285,445

9,46642,320

—92,269

1,336,49341,115,135

3(c)85,195

4432,901

14,5284,237

—16,176

91,856,5043(c)

1,223,375—

139,192—

52,947—

458,891102,530,678

3(c)—

——

——

——

46,498,05249,845,219

323,434350,341

1,057,664399,501

347,13012,556,044

775,020,56314

25,230,00234,852

511,845313,757

645,388804,441

10,896,976483,106,718

——

——

——

—669,263,963

15,194,49338,000

38,000150,000

41,552120,000

209,184241,624,021

——

——

——

—32,153,180

3(b)134,114

2071,675

2,32817,954

3,15235,912

355,879,7813(b)

174,896—

20,04646

7,792—

66,86821,556,037

5—

——

——

——

2,180,5845

——

——

——

—317,223

7—

——

——

——

243,8947

17,11253,519

51,16851,854

50,72823,445

15,4541,180,046

—2,185

2,881—

3,166—

2,110225,880

346,848,9681,949,680

6,073,7377,571,963

6,018,2237,446,880

127,452,88448,999,088,929

2,907—

——

—3,834

—2,271,432

14—

—30,447

—36,269

——

54,075,6893(c)

——

——

——

—75,373

3(c),135,974,190

4,4825,624

9,4815,627

14,2563,177,933

244,712,5733(c)

252,3824,514

—21,219

—57,622

227,7348,955,402

3(c)847,377

1,4193,578

13,1533,165

—131,605

147,605,9063(c)

——

——

——

—349,848

3(c)—

——

——

——

222,453,8383(c)

622,320—

24,710—

38,210—

140,6701,622,725

3(c)—

——

——

——

6,148,594—

——

——

——

1,854,479,902—

——

——

——

172,503,8811,148,303

——

——

—124,624

143,387,1953(b)

—248

—41

——

40419,411,659

——

——

——

—3,225,521

342,6505,072

8,89612,101

9,60311,797

217,44992,341,977

7—

——

——

——

2687

16,2102,340

2,3402,793

2,3404,926

5,9942,959,987

712

——

——

——

2,980,7387

12,0989,452

9,45210,253

9,45210,252

11,8931,186,183

58,483

43115

139113

13810,099

2,015,5325

——

——

——

—2,434,024

10,31810,318

10,31810,012

10,31810,012

10,0131,067,597

78,209

91154

203165

19912,426

2,552,7827

35512

99

109

202146,166

5,3883,876

3,4983,211

3,4983,211

4,2872,460,876

378378

378359

378359

359722,655

1,653364

364350

364350

559873,632

1,031233

233230

233230

553,485

——

——

——

—5,494,228

7,8154,394

4,3924,116

4,3624,113

2,610884,304

8,33012,914

12,90612,166

12,79312,156

12,141380,791

2,1413,320

3,3173,127

3,2883,125

3,121626,183

3,4784,410

4,4124,165

4,3774,160

5,049193,194

9,276,02867,880

125,143107,128

144,565140,749

4,099,2273,000,604,141

337,572,9401,881,800

5,948,5947,464,835

5,873,6587,306,131

123,353,65745,998,484,788

3(j)—

——

——

——

10,502,450

337,572,9401,881,800

5,948,5947,464,835

5,873,6587,306,131

123,353,65746,008,987,238

Assets



ard contractsU







ap transactionsM


ashD

ue from B

rokersR





ap Contracts


ap Contracts



receivableS


ent Adviser fees w

aived receivableO

ther assets

Total A

ssets

Liab

ilitiesB

ank overdraftD

ue to Brokers


ard contractsU







ard contractsU


ap transactionsM




Payable for investm

ents purchasedP




wap C

ontractsD



Perform

ance fees payableA

dministration and C




ent payableC


udit fee payableM

anagement C

ompany fees payable








Paying A

gency fee payableR


Other liabilities

Total L

iabilities

Sh

areho

lders' E

qu

ity

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders' E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Please refer to S



et Asset V

alue Per S


No

tes

Liq

uid

Altern

ative Beta

Eq

uity L

on

g

Sh

ort

Po

rtfolio

(a)

US

D

Liq

uid

Altern

ative Beta

Even

t Driven

Po

rtfolio

(a)

US

D

Liq

uid

Altern

ative

Beta M

acro

Po

rtfolio

(a)

US

D

Liq

uid

Altern

ative Beta

Relative V

alue

Po

rtfolio

(a)

US

D

Liq

uid

Altern

ative

Beta Tren

d

Po

rtfolio

(a)

US

D

Mu

lti-Asset

Dyn

amic

Strateg

y

Po

rtfolio

(a)

US

D

Co

mb

ined

Total

Perio

d E

nd

ed

31 May 2015

US

D

Ab

solu

te

Retu

rn Tracker

Po

rtfolio

(a)

US

D

Altern

ative Po

rtfolio

s

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Assets

an

d L

iab

ilities

As a

t 31 M

ay 2

015

15

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(b)388,872

2,030,55614,699

3,450,0857,583,681

56,908421,859

10,532,9931,273,429

259,4323(b)

1—

——

89—

2951

76—

3(b)—

——

——

——

——

——

——

——

——

——

—3(b)

——

——

——

——

——

7997

14,317—

43,53133,513

—1,965

—16,884

—

389,8702,044,873

14,6993,493,616

7,617,28356,908

423,82610,533,944

1,290,389259,432

3(b)—

151—

394363

——

15885

—3(b)

——

——

——

—163

——

7400,631

1,897,01062,408

782,1073,769,100

21,276186,773

4,982,099751,190

111,9687

76,503147,608

35,27862,561

131,68322,418

30,301168,339

82,88435,084

734,979

291,396—

22,73463,757

—1,826

—23,832

507

15,76933,951

8,11319,587

36,0433,285

13,30811,476

20,8326,910

59,648

46,0301,860

23,471140,871

2977,046

171,90414,282

1,3369,229

9,2296,463

5,1989,229

9,2299,229

6,46313,195

9,2297

8,18140,216

1,46118,205

116,432289

5,813147,036

12,3701,366

7278

91235

7013,051

21139

3,914468

9910,187

12,5219,285

9,05917,835

16,2359,672

21,55710,930

9,5294,229

8,926248

6,69113,235

—1,236

2,9526,756

6645,668

9,5442,177

—15,782

1,8743,443

13,6287,617

2,11125

2,475—

1,6524,051

——

—343

—18,976

35,3845,913

16,01020,173

9,03011,093

11,62538,118

12,20814,081

14,5517,571

7,29110,811

6,1906,665

9,82613,530

10,3009,473

10,9165,321

6,5428,511

3,4785,778

6,1929,753

6,54614,028

15,79810,136

8,20812,518

8,9693,350

15,62015,788

12,726

631,8852,576,618

156,269990,411

4,373,445102,591

295,6725,572,952

1,021,973220,126

75,224

—12,171

——

70,54956,946

——

59,7517

13,394—

66,802—

—579

14,864—

—749

7—

68,264—

24,226273,896

——

—10,853

—

613,2672,644,882

77,2961,014,637

4,647,34131,463

223,8625,572,952

1,032,826159,626

45,450165,948

1,131348,946

1,438,07411,098

74,3461,782,228

99,63028,399

(268,847)(765,957)

(63,728)2,130,033

1,531,86814,347

125,6183,178,764

157,93371,407

5,575,29111,825,698

247,4016,259,545

26,728,632111,892

1,306,48965,137,750

5,252,494(261,325)

(24,111)—

—173,694

——

——

3,003—

(1,077,298)(6,919,081)

(4,119)754,345

(7,139,336)(65,467)

(445,032)(10,530,144)

(1,995,861)(338,808)

——

——

——

——

——

——

——

——

——

——

4,473,8824,906,617

243,2827,187,584

19,589,29646,425

861,45754,607,606

3,259,636(600,133)

4,229,6425,614,980

1,709,11225,494,146

17,669,966263,188

(178,680)(18,475,497)

4,899,0101,171,189

——

——

——

——

——

——

——

——

——

——

——

——

——

——

——

1,736720,799

(291)8,598

277,128(1,662)

(1,436)(3,160,934)

(4,005)(937)

——

——

——

——

——

——

——

——

——

——

4,231,3786,335,779

1,708,82125,502,744

17,947,094261,526

(180,116)(21,636,431)

4,895,0051,170,252

8,436,41310,476,439

1,888,37534,820,361

39,068,258322,298

806,95936,149,939

8,312,574641,526

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Gains and losses arose solely from

continuing operations. There w

ere no gains or losses other than those dealt with in the S

tatement of O

perations

Inco

me

Dividend Incom

eInterest Incom

e excluding Sw

ap Contracts

Interest Income on S

wap C

ontractsInterest Incom

e on Repurchase A

greements

Net (am

ortisation)/ Net accretion

Securities lending

Exp

enses

Bank overdraft interest expense

Interest Expense on S

wap C

ontractsInvestm

ent Adviser fee

Adm

inistration and Custody fees

Distribution and servicing fees

Transfer Agent fees

Taxe d' abonnement

Audit fee

Managem

ent Com

pany feesD

irectors feesLegal feesInsurance feesP

rinting feesP

ublishing feesTax R

eporting feesP

aying Agency fees

Regulatory R

eporting feesO

ther expenses

Less: Investment A

dviser fee waived

Less: Investment A

dviser fixed operating fee waived

Add: A

dditional fee to Investment A

dviser for fixed operating share classes

Total exp

enses

Withholding tax on dividends and other investm

ent income

Net in

com

e/(expen

se) for th

e Perio

d

Net realised gain/(loss) on investm

ent securitiesN

et realised gain/(loss) on futures transactions and futures contracts on duration hedging share classesN

et realised gain/(loss) on foreign currencies, forward currency contracts and share class specific forw

ard currency contractsN

et realised gain/(loss) on swap contracts and sw

ap contracts on duration hedging share classesN

et realised gain/(loss) on options contracts

Net realised

gain

/(loss)

Net change in unrealised gain/(loss) on investm

ent securitiesN

et change in unrealised gain/(loss) on covered forward m

ortgage backed securitiesN

et change in unrealised gain/(loss) on futures transactions and futures contracts on duration hedging share classesN

et change in unrealised gain/(loss) on non deliverable bond forward contracts

Net change in unrealised gain/(loss) on foreign currencies, forw

ard currency contracts and share class specific forward currency contracts

Net change in unrealised gain/(loss) on sw

ap contracts and swap contracts on duration hedging share classes

Net change in unrealised gain/(loss) on options contracts

Net ch

ang

e in u

nrealised

gain

/(loss)

Net in

vestmen

t inco

me g

ain/(lo

ss)

Reg

ion

al Eq

uity P

ortfo

lios

No

tes

Asia

Po

rtfolio

US

D

BR

ICs

Po

rtfolio

US

D

Ch

ina

Op

po

rtun

ity

Po

rtfolio

US

D

Eu

rop

e

Eq

uity

Partn

ers

Po

rtfolio

EU

R

Glo

bal

Eq

uity

Partn

ers

Po

rtfolio

US

D

Glo

bal

Eq

uity

Un

con

strained

Po

rtfolio

US

D

Glo

bal

Resp

on

sible

Eq

uity

Po

rtfolio

US

D

GM

S D

ynam

ic

Wo

rld E

qu

ity

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g

Markets

Bro

ad E

qu

ity

Po

rtfolio

US

D

Gro

wth

Markets

Plu

s Eq

uity

Po

rtfolio

US

D

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Op

era

tion

s

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

16

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(b)12,697,569

—1,789,929

15,224,615290,308

27,854,668471,066

5,521,9237,728,924

5,646,3183(b)

2,467—

—3

32,389

—447

9962,629

3(b)—

——

——

——

——

——

——

——

——

——

—3(b)

7,456—

——

——

——

——

7—

—26,982

15,216190

—1,689

77,68794,913

225,958

12,707,492—

1,816,91115,239,834

290,50127,857,057

472,7555,600,057

7,824,8335,874,905

3(b)—

—17

4,281—

——

2091,588

893(b)

——

—153

——

—413

—55

78,659,780

26,764980,938

5,610,237128,529

19,409,291413,944

722,6181,069,343

1,717,4827

641,97399

34,870577,510

32,564306,671

32,76763,109

139,665140,201

7313,225

—61,562

513,4617,618

128,21262,931

50,409166,705

44,3697

73,25710

4,90835,216

11,42437,871

13,77321,173

24,86817,590

5255,240

1734,031

121,6303,616

586,61112,832

26,77452,314

68,59427,448

29765

9,2296,463

9,2296,463

5,1989,229

9,2297

179,3451

24,581120,010

3,083486,931

10,79321,726

40,86756,829

74,592

—617

4,131100

13,020276

8902,066

1,56118,241

262,859

24,2269,491

46,8119,908

9,40713,037

14,3832,228

—744

4,5592,134

8,2442,564

7,772991

1,1816,421

12,092

16,8314,180

24,7604,594

7,6133,461

6,566—

5153

1,908—

2,320705

861721

—15,613

364,466

49,6539,959

31,2079,691

14,91316,761

16,8809,240

311,693

29,8167,279

13,8796,701

8,3367,225

9,8196,803

101,378

15,1995,364

10,7925,468

6,3697,461

7,34962,931

391,850

27,72810,508

19,53810,681

9,59410,947

14,766

10,276,33727,068

1,157,5247,165,778

242,31221,135,387

604,091977,384

1,567,2492,126,943

7—

——

—29,389

—595

1,375—

—7

—26,976

——

31,861—

2,1081,796

——

7959,740

—111,161

343,827—

2,724,166—

—24,959

61,080

11,236,07792

1,268,6857,509,605

181,06223,859,553

601,388974,213

1,592,2082,188,023

106—

273,7112,162,853

40,0768,294,233

141,273448,250

1,305,081961,132

1,471,309(92)

274,5155,567,376

69,363(4,296,729)

(269,906)4,177,594

4,927,5442,725,750

22,873,374—

9,902,36716,564,394

1,256,280136,487,338

3,953,3649,564,757

16,343,87425,934,316

(12,333,667)—

30,432—

——

—909,290

56,82088,460

(8,815,659)109

(2,200,276)(43,691,845)

(608,551)(55,311,862)

273,215,317

(9,653,419)(10,124,506)

——

——

——

——

——

——

——

——

——

——

1,724,048109

7,732,523(27,127,451)

647,72981,175,476

3,953,39113,689,364

6,747,27515,898,270

32,172,5942,174

18,647,662(47,181,765)

127,225(54,179,943)

(2,643,255)15,677,666

10,353,75417,572,902

——

——

——

——

——

1,153,974—

——

——

—(126,434)

(73,320)(254,142)

——

——

——

——

——

(70,654)665

(326,776)225,360

(2,702)12,145,296

(723)116,060

(170,458)(7,593)

——

——

——

——

—1,062,970

——

——

——

——

——

33,255,9142,839

18,320,886(46,956,405)

124,523(42,034,647)

(2,643,978)15,667,292

10,109,97618,374,137

36,451,2712,856

26,327,924(68,516,480)

841,61534,844,100

1,039,50733,534,250

21,784,79536,998,157

Inco

me

Dividend Incom

eInterest Incom

e excluding Sw

ap Contracts


wap C


e on Repurchase A

greements

Net (am


Securities lending

Exp

enses



wap C

ontractsInvestm

ent Adviser fee

Adm



Transfer Agent fees

Taxe d' abonnement

Audit fee

Managem

ent Com

pany feesD


rinting feesP

ublishing feesTax R

eporting feesP

aying Agency fees

Regulatory R

eporting feesO

ther expenses

Less: Investment A

dviser fee waived

Less: Investment A


Add: A



Total exp

enses


ent income

Net in

com

e/(expen

se) for th

e Perio

d


ent securitiesN







Net realised

gain

/(loss)


ent securitiesN










Net ch

ang

e in u

nrealised

gain

/(loss)

Net in

vestmen

t inco

me g

ain/(lo

ss)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).




tatement of O

perations

Reg

ion

al Eq

uity P

ortfo

lios

Glo

bal an

d R

egio

nal C

OR

E®

Eq

uity P

ortfo

lios

No

tes

Ind

ia Eq

uity

Po

rtfolio

US

D

Japan

Po

rtfolio

(b)

JPY

N-11

®E

qu

ity

Po

rtfolio

US

D

Strateg

ic

Glo

bal E

qu

ity

Po

rtfolio

US

D

US

Eq

uity

Po

rtfolio

US

D

US

Fo

cused

Gro

wth

Eq

uity

Po

rtfolio

US

D

Eu

rop

e

CO

RE

®

Eq

uity

Po

rtfolio

EU

R

Glo

bal

CO

RE

®

Eq

uity

Po

rtfolio

(c)

US

D

Glo

bal

Sm

all Cap

CO

RE

®E

qu

ity

Po

rtfolio

(c)

US

D

Japan

Eq

uity

Partn

ers

Po

rtfolio

(a)(b

)

JPY

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Op

era

tion

s

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

17

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(b)4,539,426

6,716,208723,340

1,374,723822,762

56,6408,597,471

3411

69,6213(b)

123933

——

——

55234,111

171,8857,101,088

3(b)—

——

——

——

9,9304

——

——

——

——

——

—3(b)

——

——

——

—(102,354)

(110,375)(774,658)

720,944

3,83027,683

10,6092,942

—88,988

——

—

4,560,4936,720,971

751,0231,385,332

825,70456,640

8,686,514141,721

61,5256,396,051

3(b)1,331

——

——

—224

25—

1,9613(b)

1,975—

—34

——

—454

2355,330

7439,668

3,573,156384,248

1,42656,964

9,9332,893,230

49,80016,949

862,5097

156,105114,702

49,62744,068

35,98225,780

95,76637,153

34,75568,681

7—

226,16714,902

17587

16439,235

8,70123

2,1447

11,60021,547

13,4756,190

9,1566,006

32,80811,401

11,38118,158

521,584

150,31815,787

3,2286,086

31184,955

2,7761,622

22,9399,229

9,2299,229

7,4269,229

13,1956,463

10,6145,198

5,1987

19,887112,799

12,5672,053

5,176306

75,3592,195

1,28019,079

71,109

2,656423

6209

213,009

7962

1,33612,411

14,58010,402

7,5519,814

9,26415,725

7,6427,628

9,978595

4,2111,072

104106

76464

1,908353

2,6523,631

8,0744,721

1,5942,292

1,9384,010

2,9811,520

340—

754—

——

—14

644566

1,28521,338

17,5546,606

9,4409,575

7,77923,404

8,34210,190

24,74915,698

9,9894,556

7,2667,052

7,06617,434

6,9798,457

11,7649,599

7,9104,502

4,8805,120

4,43614,745

12,13514,108

15,48015,131

12,47914,922

8,33210,477

9,75616,340

9,0059,514

11,393

740,8914,286,125

547,039103,773

167,32596,031

3,323,185172,834

123,8411,084,976

739

—22,793

71,44557,978

78,0193,119

46,71586,308

1,5017

——

10,724318

4641,026

—47,163

9,878—

718,493

217,523—

——

—216,812

——

203

759,3454,503,648

513,52232,010

108,88316,986

3,536,87878,956

27,6551,083,678

552,9241,932,225

179,764142,207

135,2405,516

1,667,623—

—6,014

3,248,224285,098

57,7371,211,115

581,58134,138

3,482,01362,765

33,8705,306,359

3,959,73626,140,365

6,239,827139,748

994,508(6,539)

(50,086,643)138,722

16,3272,067,056

—504,923

488,400206,195

(24,917)(373)

—95,625

(8,285)—

(10,668,990)—

(2)(40,337)

(369,798)(46,467)

(2,299,004)(306,591)

(60,844)121,572

——

——

——

—(72,956)

(46,079)(957,899)

——

——

——

——

——

(6,709,254)26,645,288

6,728,225305,606

599,793(53,379)

(52,385,647)(145,200)

(98,881)1,230,729

14,467,334(16,989,777)

104,8021,510,894

942,826239,027

34,219,769182,570

122,0108,632,203

——

——

——

——

——

—(72,536)

11,730—

(13,623)—

—(33,913)

17,827—

——

——

——

——

——

(57,101)—

(1)6,465

(403)284

(490)70,992

16,296(2,177,541)

——

——

(10,543)—

—30,987

12,913327,517

——

——

——

——

——

14,410,233(17,062,313)

116,5311,517,359

918,257239,311

34,219,279250,636

169,0466,782,179

10,949,2039,868,073

6,902,4933,034,080

2,099,631220,070

(14,684,355)168,201

104,03513,319,267

Inco

me

Dividend Incom

eInterest Incom

e excluding Sw

ap Contracts


wap C


e on Repurchase A

greements

Net (am


Securities lending

Exp

enses



wap C

ontractsInvestm

ent Adviser fee

Adm



Transfer Agent fees

Taxe d' abonnement

Audit fee

Managem

ent Com

pany feesD


rinting feesP

ublishing feesTax R

eporting feesP

aying Agency fees

Regulatory R

eporting feesO

ther expenses

Less: Investment A

dviser fee waived

Less: Investment A


Add: A



Total exp

enses


ent income

Net in

com

e/(expen

se) for th

e Perio

d


ent securitiesN







Net realised

gain

/(loss)


ent securitiesN










Net ch

ang

e in u

nrealised

gain

/(loss)

Net in

vestmen

t inco

me g

ain/(lo

ss)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).




tatement of O

perations

Glo

bal an

d R

egio

nal C

OR

E®

Eq

uity P

ortfo

lios

Glo

bal an

d R

egio

nal G

IVI E

qu

ity Po

rtfolio

sS

ector E

qu

ity P

ortfo

lioF

ixed In

com

e Po

rtfolio

s

No

tes

US

CO

RE

®

Eq

uity

Po

rtfolio

(c)

US

D

US

Sm

all Cap

CO

RE

®E

qu

ity

Po

rtfolio

(c)

US

D

GIV

I Eu

rop

e

Eq

uity

Po

rtfolio

(c)

EU

R

GIV

I Glo

bal E

qu

ity

–G

row

th M

arkets

Tilt P

ortfo

lio(c

)

US

D

GIV

I Gro

wth

&

Em

ergin

g

Markets E

qu

ity

Po

rtfolio

(c)

US

D

No

rth A

merican

Sh

ale Revo

lutio

n

& E

nerg

y

Infrastru

cture

Po

rtfolio

US

D

Eu

ro

Fixed

Inco

me

Po

rtfolio

EU

R

Eu

ro S

ho

rt

Du

ration

Bo

nd

Po

rtfolio

EU

R

Eu

rop

e

Hig

h Y

ield

Bo

nd

Po

rtfolio

EU

R

Gro

wth

&

Em

ergin

g

Markets

CO

RE

®E

qu

ity

Po

rtfolio

US

D

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Op

era

tion

s

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

18

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(b)9,425

2,0311,563

——

12,5004,963

25,108225,851

40,2173(b)

16,790,9652,161,006

4,960,543272,519,094

26,8504,616,495

6,302,23462,648,424

120,145,7265,887,332

3(b)824,937

53,433148,332

2,555,474—

——

5,116,004—

——

——

——

1,6581,949

11,693464,088

—3(b)

(1,921,143)(296,207)

(1,079,828)(13,831,099)

(5,275)(91,407)

395,366740,873

1,428,435(615,351)

7—

——

164,395—

——

11,2201,327

—

15,704,1841,920,263

4,030,610261,407,864

21,5754,539,246

6,704,51268,553,322

122,265,4275,312,198

3(b)266

275—

858—

—422

39382

2,4793(b)

12,5695,916

18,303—

16,68031,759

46,41241,054

1,096,71875,743

72,199,758

356,909778,085

31,053,12312,947

769,951140,168

7,878,36518,400,801

1,111,7387

268,594107,899

124,441692,197

3,40673,888

148,593689,918

578,30689,565

741,801

32,7722,550

1,134,761—

14,052290

84,223566,477

38,4417

41,26311,932

19,909176,808

1,28819,785

10,90744,497

137,46531,077

5151,148

17,12092,964

1,103,6631,750

26,55111,512

151,661565,765

41,69513,195

13,19510,614

13,1951,092

9,2299,229

13,19513,195

13,1957

135,12815,325

70,999950,916

24420,081

11,473153,072

481,66638,881

74,046

3551,477

35,09026

585806

9,35119,824

1,06022,450

11,23511,396

130,014645

10,63328,287

39,15651,510

12,9438,026

3,1253,381

37,96614

2922,652

15,85714,708

2,66118,083

5,1219,327

108,38263

4,1543,309

24,76528,553

7,3593,444

911,553

10,65097

662—

2,0765,401

2,00220,198

9,51918,816

183,065501

22,82611,912

70,927177,126

47,5188,506

6,3597,848

85,040616

9,3658,025

13,65246,407

7,82915,575

10,56414,004

27,278481

13,54311,550

16,82130,218

9,03018,609

10,7129,701

634,781789

13,23310,550

18,86497,915

11,924

2,982,659618,424

1,195,36836,377,787

40,6391,040,589

456,0979,267,493

22,312,4371,545,140

7—

29,949—

25,390

7,23130,524

——

40,3127

—14,706

—96

213,565

199—

—7,232

771,093

59221,353

1,860,628—

——

61,378943,019

29

3,053,752574,361

1,216,72138,238,317

35,2471,019,793

425,3749,328,871

23,255,4561,497,625

(12,111)4,709

1,6341,152,343

7,7041,662

34,496569,653

(9,862)14,976

12,662,5431,341,193

2,812,255222,017,204

(21,376)3,517,791

6,244,64258,654,798

99,019,8333,799,597

13,320,3641,461,651

(371,245,323)(74,586,497)

1,941(361,843)

1,146,45211,692,465

20,602,974(7,760,118)

1,234,356363,496

487,757(15,234,437)

(1,057)(176,710)

(86,657)(5,620,690)

3,829,101—

(69,187,752)(5,801,072)

378,147,057(240,425,747)

436,611(8,481,781)

(6,209,674)(126,677,459)

(338,099,645)(8,553,031)

(16,066,425)(388,599)

(1,145,333)(62,245,234)

—(212,112)

(2,588,204)(26,723,188)

(70,789,815)(1,465,050)

——

2,290—

——

——

——

(70,699,457)(4,364,524)

6,246,448(392,491,915)

437,495(9,232,446)

(7,738,083)(147,328,872)

(384,457,385)(17,778,199)

(26,155,504)(3,045,144)

18,181,119(98,675)

(718,047)1,269,275

(11,232,603)(161,738,160)

(123,521,936)5,594,627

—92,890

75,186—

——

——

——

(61,640)(241,757)

334,0913,743,073

23,92359,608

16,222587,620

3,740,701—

——

——

——

31,464174,355

——

10,740,797(60,689)

2,899,4294,235,323

(690,365)1,745,334

(829,037)4,557,184

58,457,2851,738,431

8,125,493390,200

944,90723,743,654

(38,824)165,912

1,568,586688,388

35,948,971754,721

(6,452)—

(2,890)—

——

——

——

(7,357,306)(2,864,500)

22,431,84231,623,375

(1,423,313)3,240,129

(10,445,368)(155,730,613)

(25,374,979)8,087,779

(65,394,220)(5,887,831)

31,490,545(138,851,336)

(1,007,194)(2,474,526)

(11,938,809)(244,404,687)

(310,812,531)(5,890,823)

Inco

me

Dividend Incom

eInterest Incom

e excluding Sw

ap Contracts


wap C


e on Repurchase A

greements

Net (am


Securities lending

Exp

enses



wap C

ontractsInvestm

ent Adviser fee

Adm



Transfer Agent fees

Taxe d' abonnement

Audit fee

Managem

ent Com

pany feesD


rinting feesP

ublishing feesTax R

eporting feesP

aying Agency fees

Regulatory R

eporting feesO

ther expenses

Less: Investment A

dviser fee waived

Less: Investment A


Add: A



Total exp

enses


ent income

Net in

com

e/(expen

se) for th

e Perio

d


ent securitiesN







Net realised

gain

/(loss)


ent securitiesN










Net ch

ang

e in u

nrealised

gain

/(loss)

Net in

vestmen

t inco

me g

ain/(lo

ss)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).




tatement of O

perations

Fixed

Inco

me P

ortfo

lios

No

tes

Glo

bal F

ixed

Inco

me

Po

rtfolio

US

D

Glo

bal F

ixed

Inco

me

Po

rtfolio

(Hed

ged

)

EU

R

Glo

bal

Hig

h Y

ield

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g

Markets

Co

rpo

rate Bo

nd

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g

Markets

Deb

t Blen

d

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g

Markets D

ebt

Lo

cal

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g

Markets D

ebt

Po

rtfolio

US

D

Lib

erty

Harb

or

Op

po

rtun

istic

Co

rpo

rate Bo

nd

Po

rtfolio

US

D

Glo

bal C

redit

Po

rtfolio

(Hed

ged

)

US

D

Glo

bal

So

vereign

Bo

nd

Po

rtfolio

(a)

US

D

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Op

era

tion

s

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

19

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(b)1,939

12,0881,364

12,929293,031

1,870—

1,674,25513,695

2,2543(b)

1,452,3687,015,740

1,135,7752,663,142

3,079,6336,970

5,072,701114,360,217

1,036,5601,643,444

3(b)37,621

242,52230,061

16,811—

—309,844

11,229,811—

54,997—

——

——

——

——

—3(b)

(263,085)(834,563)

(96,869)(55,793)

(141,750)—

(1,019,139)6,172,167

(799,464)(189,847)

7—

630—

——

——

——

—

1,228,8436,436,417

1,070,3312,637,089

3,230,9148,840

4,363,406133,436,450

250,7911,510,848

3(b)18

31—

12117

—2,073

1,264349

203(b)

4,48414,171

4447,972

—42

25,220252,142

139,2039,239

766,816

311,633219,299

224,634160

65,136902,384

27,061,624395,013

117,9417

58,106114,614

62,285103,755

32,89760,477

158,712832,428

195,41464,184

7—

—23,338

6,484—

2,65816,884

1,200,948301

357

6,4737,702

16,00111,721

14,46112,318

26,225164,485

21,8075,670

56,131

26,14913,562

18,2246,195

1,32240,010

985,65812,099

8,5078,409

8,40813,195

13,1956,463

13,19510,614

13,19513,195

8,4087

5,80623,484

11,20214,965

6,1931,265

33,793842,549

8,1347,347

768

1,282319

508270

751,564

35,456237

1,0596,976

9,81110,142

11,14210,863

9,46112,312

94,4329,667

8,7991,314

2,3732,989

3,358610

8132,825

2,267—

1,2532,264

4,2674,550

4,003866

2,5066,211

49,03180

2,798—

—485

——

8272,253

4,4361,252

—6,142

9,35244,418

10,1815,762

9,88532,598

248,61429,675

3,8454,462

5,2075,985

6,4119,710

5,15412,082

42,43914,009

2,5857,000

7,78510,853

10,83011,561

10,65717,123

34,91915,920

6,4836,453

6,37812,378

10,64510,323

13,63919,819

84,39213,723

10,645

190,922552,647

451,445458,040

116,451209,430

1,322,70231,950,279

870,078258,818

721,260

—80,586

60,401—

95,8521,244

—168,659

32,3327

2,829—

34,72411,956

19,498

7—

1,40813,837

7—

8,375—

——

—2,810

1,598,901217

—

166,833561,022

336,135385,683

116,450104,080

1,324,26133,549,180

700,228212,649

(1,032)(6,358)

—3,112

123,070—

2,487740,017

(469)(1,630)

1,063,0425,881,753

734,1962,248,294

2,991,394(95,240)

3,036,65899,147,253

(448,968)1,299,829

2,605,4784,979,682

257,629256,626

50,990(4,494)

4,493,97957,525,941

356,67223,283,370

149,542299,485

91,081392,581

——

596,18514,488,345

355,2351,482,554

(27,486)(1,723,760)

104,444(1,774,349)

174,282(2,952,637)

8,635,855(463,430,596)

(4,184,425)2,199,148

(196,778)(824,313)

(321,687)(445,954)

——

(1,794,149)(277,421,464)

1,297,130(2,313,497)

——

—(75,300)

—21,734

326(1,648,277)

(9,946)—

2,530,7562,731,094

131,467(1,646,396)

225,272(2,935,397)

11,932,196(670,486,051)

(2,185,334)24,651,575

56,711(3,340,093)

(682,706)(572,659)

1,586,326—

15,733,308(93,711,773)

(385,266)(15,027,806)

——

39,297152,587

——

65,643(48,897)

——

66,105327,551

24,944(50,655)

——

302,44114,644,057

1,398,382(233,003)

——

——

——

——

134,470—

(1,533)(317,445)

(60,464)384,104

(136,300)299,910

41,03826,734,421

3,580,335(453,758)

(1,501,773)435,213

194,951387,503

——

1,383,085150,249,649

1,931,3541,292,045

—(2,311)

——

—24,506

(4,450)(13,104,977)

(82,759)—

(1,380,490)(2,897,085)

(483,978)300,880

1,450,026324,416

17,521,06584,762,480

6,576,516(14,422,522)

2,213,3085,715,762

381,685902,778

4,666,692(2,706,221)

32,489,919(486,576,318)

3,942,21411,528,882

Inco

me

Dividend Incom

eInterest Incom

e excluding Sw

ap Contracts


wap C


e on Repurchase A

greements

Net (am


Securities lending

Exp

enses



wap C

ontractsInvestm

ent Adviser fee

Adm



Transfer Agent fees

Taxe d' abonnement

Audit fee

Managem

ent Com

pany feesD


rinting feesP

ublishing feesTax R

eporting feesP

aying Agency fees

Regulatory R

eporting feesO

ther expenses

Less: Investment A

dviser fee waived

Less: Investment A


Add: A



Total exp

enses


ent income

Net in

com

e/(expen

se) for th

e Perio

d


ent securitiesN







Net realised

gain

/(loss)


ent securitiesN










Net ch

ang

e in u

nrealised

gain

/(loss)

Net in

vestmen

t inco

me g

ain/(lo

ss)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).




tatement of O

perations No

tes

US

Fixed

Inco

me

Po

rtfolio

US

D

US

Mo

rtgag

e

Backed

Secu

rities

Po

rtfolio

US

D

Co

Co

s &

Cap

ital

Secu

rities

Po

rtfolio

US

D

Glo

bal

Cu

rrency P

lus

Po

rtfolio

US

D

Glo

bal

Fixed

Inco

me

Plu

s Po

rtfolio

(Hed

ged

)

EU

R

Glo

bal

Strateg

ic

Inco

me B

on

d

Po

rtfolio

US

D

Glo

bal

Strateg

ic

Macro

Bo

nd

Po

rtfolio

US

D

Sterlin

g

Bro

ad F

ixed

Inco

me P

lus

Po

rtfolio

GB

P

Sterlin

g

Cred

it

Po

rtfolio

GB

P

Sterlin

g

Bro

ad F

ixed

Inco

me

Po

rtfolio

GB

P

Sp

ecialist Po

rtfolio

sF

ixed In

com

e Po

rtfolio

s

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Op

era

tion

s

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

No

tes

Cu

stom

Em

ergin

g

Markets D

ebt

Blen

d P

ortfo

lio

ILS

Glo

bal

Co

rpo

rate

Po

rtfolio

(Hed

ged

)

NO

K

Glo

bal

Inco

me

Bu

ilder

Po

rtfolio

US

D

US

Real

Estate

Balan

ced

Po

rtfolio

US

D

Wealth

bu

ilder

Mu

lti-Asset

Balan

ced

Po

rtfolio

US

D

Wealth

bu

ilder

Mu

lti-Asset

Co

nservative

Po

rtfolio

US

D

Wealth

bu

ilder

Mu

lti-Asset

Gro

wth

Po

rtfolio

US

D

Strateg

ic

Ab

solu

te

Retu

rn B

on

d II

Po

rtfolio

US

D

Strateg

ic

Ab

solu

te

Retu

rn B

on

d I

Po

rtfolio

US

D

20

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(b)84,199

32,8368,765

15,0401,031,402

1,516,3521,320,525

182,760614,596

3(b)21,762,672

6,207,2939,241,781

224,300,4491,403,455

12,999,274—

——

3(b)859,598

531,051—

1,750,587—

——

——

——

——

——

——

—3(b)

717,78892,323

(178,779)(22,050,500)

(62,870)326,619

——

—7

——

—594

99427

——

—

23,424,2576,863,503

9,071,767204,016,170

2,372,98114,842,272

1,320,525182,760

614,596

3(b)465

2365,251

56,138—

—965

8682

3(b)60,201

168,793—

336,079—

120,1421,911

—700

7265,287

787,552830,042

15,342,177370,151

4,209,817760,467

137,950378,665

7394,622

279,875294,814

1,592,77169,698

121,88433,497

22,91225,434

72,749

120,677—

—61,946

8,385344

996393

721,655

18,4125,971

7,21234,135

16,07916,599

8,1779,309

591,541

46,41517,985

617,41723,913

143,5489,145

8194,901

13,19513,195

49,74289,422

6,4639,229

6,4636,463

6,4637

90,89443,704

18,445613,687

17,955120,939

22,5704,441

10,1267

6,1641,745

4,10152,824

5292,895

46784

18930,633

14,66836,757

209,63010,255

39,43710,386

9,3849,744

3,9271,761

—53,604

3,9793,978

3282,652

17113,720

6,0673,482

113,9681,602

14,776857

472440

1,7951,351

——

1,892—

——

—19,710

15,9506,421

34,19739,847

16,99818,109

17,43317,573

8,63623,618

36,84670,203

14,05410,339

16,30015,846

15,93913,729

12,76539,585

97,99321,200

13,10719,233

18,96919,023

11,95212,651

43,333156,744

13,68813,067

12,68812,285

12,398

1,050,8751,569,435

1,392,77519,444,066

691,3074,864,890

930,329258,891

512,1507

—88,452

——

12,965—

684

347

—32,070

——

99,052—

25,55493,642

68,2087

13,40712

——

—330,092

——

—

1,064,2821,448,925

1,392,77519,444,066

579,2905,194,982

904,769165,165

443,90856,180

30,76317,925

160,809212,840

529,30219,215

1,38915,866

22,303,7955,383,815

7,661,067184,411,295

1,580,8519,117,988

396,54116,206

154,822

18,395,6415,983,634

(1,328,424)98,507,196

807,45629,615,379

(389,646)(87,756)

(305,381)(10,575,342)

(3,146,765)267,778

16,963,055(167,982)

(78,364)1,440,394

35,846818,273

(65,323,502)(27,670,859)

(13,538,228)(539,222,079)

(1,753,150)(4,614,163)

(1,385,806)(520,834)

(360,324)(29,484,326)

(16,556,383)—

(66,327,097)—

(10,165,544)(654,875)

—(186,331)

(162,633)(81,317)

——

——

7,3001,125

3,488

(87,150,162)(41,471,690)

(14,598,874)(490,078,925)

(1,113,676)14,757,308

(982,633)(571,619)

(30,275)

(16,786,051)(5,082,957)

(27,210,812)127,839,701

774,882(11,578,163)

1,548,956351,010

1,217,514(8,281)

78—

——

——

——

5,355,6801,441,566

265,677(7,573,896)

32,986(561,590)

123,9711,398

(20,750)—

——

——

——

——

(10,070,844)(875,929)

11,015,781322,478,761

(48,337)1,033,379

833,187320,769

239,06415,288,694

8,316,106—

46,253,770—

4,585,83991,307

—34,675

(1,250,851)(591,347)

—(89,289)

——

91,13819,069

40,856

(7,471,653)3,207,517

(15,929,354)488,909,047

759,531(6,520,535)

2,688,559692,246

1,511,359

(72,318,020)(32,880,358)

(22,867,161)183,241,417

1,226,70617,354,761

2,102,467136,833

1,635,906

Inco

me

Dividend Incom

eInterest Incom

e excluding Sw

ap Contracts


wap C


e on Repurchase A

greements

Net (am


Securities lending

Exp

enses



wap C

ontractsInvestm

ent Adviser fee

Adm



Transfer Agent fees

Taxe d' abonnement

Audit fee

Managem

ent Com

pany feesD


rinting feesP

ublishing feesTax R

eporting feesP

aying Agency fees

Regulatory R

eporting feesO

ther expenses

Less: Investment A

dviser fee waived

Less: Investment A


Add: A



Total exp

enses


ent income

Net in

com

e/(expen

se) for th

e Perio

d


ent securitiesN







Net realised

gain

/(loss)


ent securitiesN










Net ch

ang

e in u

nrealised

gain

/(loss)

Net in

vestmen

t inco

me g

ain/(lo

ss)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).




tatement of O

perations

Sp

ecialist Po

rtfolio

sS

elect Po

rtfolio

sF

lexible P

ortfo

lios

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Op

era

tion

s

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

21

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

3(b)17,360

1,3141,180

96—

107134

8,513147,855,663

3(b)156,461

13,0009,820

2,1572,447

17,0763,323

84,384722,907,727

3(b)23,958

——

2,386—

5,537—

—22,517,796

——

——

——

——

479,3883(b)

(202,037)(31,959)

(21,298)(11,242)

(2,747)(22,072)

(9,515)(273,474)

(16,985,977)7

——

——

——

——

1,103,971

(4,258)(17,645)

(10,298)(6,603)

(300)648

(6,058)(180,577)

877,878,568

3(b)—

——

——

——

—31,268

3(b)—

4,1483,473

—189

67—

29,3652,261,159

7499,690

21,8429,311

12,99616,835

14,14616,532

309,406170,305,252

737,232

19,66121,099

20,20523,387

19,97621,386

36,9439,774,795

718

——

——

——

—5,907,325

712,098

9899,452

9,45210,253

9,45210,253

11,8931,597,844

516,222

254169

266354

287349

25,6835,918,981

10,31822,968

10,31810,318

10,01310,318

10,01210,012

679,6417

11,734350

163225

283243

27917,680

5,027,6337

35517

1210

910

9202

186,4797,561

1,5596,050

5,6725,384

5,6725,384

6,4611,131,540

3783

378378

359378

359359

231,2111,720

602430

430417

430417

626538,111

996250

265265

261265

26187

63,7269,613

6,6346,638

6,6386,356

6,6386,356

5,5331,716,788

9,8916,791

10,44710,446

9,97510,445

9,9759,979

822,3494,247

2,4442,850

2,8502,738

2,8502,738

2,740711,463

10,4596,052

10,34010,341

9,74310,342

9,7439,985

1,653,236

632,53294,564

91,39590,492

96,55691,519

94,053476,954

208,558,8017

12,01461,224

71,11969,418

71,29469,351

69,316—

1,758,5177

14,128—

4,5163,933

2,8513,439

2,91727,682

931,9857

——

——

——

——

10,796,690

606,39033,340

15,76017,141

22,41118,729

21,820449,272

216,664,9895,208

394354

——

——

2,55427,904,090

(615,856)(51,379)

(26,412)(23,744)

(22,711)(18,081)

(27,878)(632,403)

633,309,489

896,33015,008

10,407186

471119

1,7019,449

153,327,8017,468,070

66,34723,710

44,666106,936

(14,422)175,185

3,618,518(3,529,384)

(3,264,464)27,396

(581)(2,325)

60,427(2,326)

(343)3,850,446

(1,195,622,676)—

170,39524,032

76,754(11,380)

30,319—

494,383(531,907,704)

—58,450

—11,420

—121,913

—309,222

(1,439,860)

5,099,936337,596

57,568130,701

156,454135,603

176,5438,282,018

(1,579,171,823)

(71,113)—

4,900385

589516

665219,177

(202,025,761)—

——

——

——

—387,080

541,646—

9319,466

21,101—

34,6471,108,759

32,610,543—

——

——

——

—340,289

(5,552,070)—

(4,482)(5,624)

29,328(5,627)

64,981(3,045,477)

145,549,496(762,182)

—(976)

(677)1,375

1,072—

(115,429)262,031,908

(80,860)—

—11,725

—39,767

—115,543

(14,798,112)

(5,924,579)—

37315,275

52,39335,728

100,293(1,717,427)

224,095,443

(1,440,499)286,217

31,529122,232

186,136153,250

248,9585,932,188

(721,766,891)

Inco

me

Dividend Incom

eInterest Incom

e excluding Sw

ap Contracts


wap C


e on Repurchase A

greements

Net (am


Securities lending

Exp

enses



wap C

ontractsInvestm

ent Adviser fee

Adm



Transfer Agent fees

Taxe d' abonnement

Audit fee

Managem

ent Com

pany feesD


rinting feesP

ublishing feesTax R

eporting feesP

aying Agency fees

Regulatory R

eporting feesO

ther expenses

Less: Investment A

dviser fee waived

Less: Investment A


Add: A



Total exp

enses


ent income

Net in

com

e/(expen

se) for th

e Perio

d


ent securitiesN







Net realised

gain

/(loss)


ent securitiesN










Net ch

ang

e in u

nrealised

gain

/(loss)

Net in

vestmen

t inco

me g

ain/(lo

ss)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).




tatement of O

perations

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

ts o

f Op

era

tion

s

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

No

tes

Liq

uid

Altern

ative Beta

Eq

uity L

on

g

Sh

ort

Po

rtfolio

(a)

US

D

Liq

uid

Altern

ative Beta

Even

t Driven

Po

rtfolio

(a)

US

D

Liq

uid

Altern

ative

Beta M

acro

Po

rtfolio

(a)

US

D

Liq

uid

Altern

ative Beta

Relative V

alue

Po

rtfolio

(a)

US

D

Liq

uid

Altern

ative

Beta Tren

d

Po

rtfolio

(a)

US

D

Mu

lti-Asset

Dyn

amic

Strateg

y

Po

rtfolio

(a)

US

D

Co

mb

ined

Total

Perio

d E

nd

ed

31 May 2015

US

D

Liq

uid

Altern

ative

Beta C

om

po

site

Po

rtfolio

(a)

US

D

Ab

solu

te

Retu

rn Tracker

Po

rtfolio

(a)

US

D

Altern

ative Po

rtfolio

s

22

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

81,251,661271,817,747

6,972,315128,071,391

735,433,1355,658,756

38,515,0433(j)

——

——

——

—104,879

375,872651

451,58369,042

591,269

15,716,82024,501,192

920,25382,432,973

175,878,9089,347

926,711(13,746,097)

(50,409,167)(1,321,057)

(20,164,423)(161,684,088)

—(4,171,786)

8,436,41310,476,439

1,888,37534,820,361

39,068,258322,298

806,9599

(105,529)(412,458)

(4,024)(506,795)

(381,433)(59)

(12,277)17

——

——

——

—

91,658,147256,349,625

8,456,513225,105,090

788,383,8225,990,401

36,065,919

3(j)(430,793)

—(26,215)

——

——

91,227,354256,349,625

8,430,298225,105,090

788,383,8225,990,401

36,065,919

Sh

areho

lders' eq

uity at th

e start of th

e Perio

dR

eversal of Alternative N

et Asset V

alue Calculation M

ethodR

einvestment from

distributionsP

roceeds from shares issued

Paym

ent for shares redeemed

Net investm

ent income gain/(loss) for the P

eriodD

istributionsC

urrency adjustments

Sh

areho

lders' eq

uity at 31 M

ay 2015

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders’ E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

No

tes

Asia

Po

rtfolio

US

D

BR

ICs

Po

rtfolio

US

D

Ch

ina

Op

po

rtun

ity

Po

rtfolio

US

D

Eu

rop

e

Eq

uity

Partn

ers

Po

rtfolio

EU

R

Glo

bal

Eq

uity

Partn

ers

Po

rtfolio

US

D

Glo

bal

Eq

uity

Un

con

strained

Po

rtfolio

US

D

Glo

bal

Resp

on

sible

Eq

uity

Po

rtfolio

US

D

Reg

ion

al Eq

uity P

ortfo

lios

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

t of C

han

ges in

Sh

are

ho

lders

’ Eq

uity

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

23

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

1,041,545,741139,828,719

27,038,888816,407,634

—137,747,634

1,211,087,2743(j)

——

—(3,414,571)

——

—195,808

1,094,4892,359

66,613—

16,50884,475

91,205,20136,721,236

135,1761,421,823,922

728,526107,433,710

75,807,977(246,753,797)

(17,369,238)(224,301)

(534,147,901)—

(64,792,583)(407,913,735)

36,149,9398,312,574

641,52636,451,271

2,85626,327,924

(68,516,480)9

(506,069)(1,132,964)

(4,390)(9,497,831)

—(23,097)

(767,030)17

——

——

——

—

921,836,823167,454,816

27,589,2581,727,689,137

731,382206,710,096

809,782,481

3(j)—

——

——

——

921,836,823167,454,816

27,589,2581,727,689,137

731,382206,710,096

809,782,481

Sh

areho

lders' eq

uity at th

e start of th

e Perio

dR


et Asset V

alue Calculation M

ethodR

einvestment from

distributionsP


Paym


Net investm


eriodD

istributionsC

urrency adjustments

Sh

areho

lders' eq

uity at 31 M

ay 2015

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders’ E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

No

tes

GM

S D

ynam

ic

Wo

rld E

qu

ity

Po

rtfolio

US

D

Gro

wth

&

Em

ergin

g M

arkets

Bro

ad E

qu

ity

Po

rtfolio

US

D

Gro

wth

Markets

Plu

s Eq

uity

Po

rtfolio

US

D

Ind

ia Eq

uity

Po

rtfolio

US

D

Japan

Po

rtfolio

(b)

JPY

N-11

®E

qu

ity

Po

rtfolio

US

D

Japan

Eq

uity

Partn

ers

Po

rtfolio

(a)(b

)

JPY

Reg

ion

al Eq

uity P

ortfo

lios

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

t of C

han

ges in

Sh

are

ho

lders

’ Eq

uity

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

24

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

24,771,7783,231,737,092

65,680,648163,841,475

361,137,564415,941,651

266,136,1603(j)

——

26,283—

—376,246

—155

171—

367,586153,474

252,580112,076

1,665,960548,515,836

18,152,29474,486,372

262,224,937106,487,063

98,513,092(4,569,083)

(664,444,300)(19,477,625)

(63,036,744)(97,933,845)

(76,885,920)(69,172,890)

841,61534,844,100

1,039,50733,534,250

21,784,79536,998,157

10,949,2039

(1,034)(926,890)

—(1,382,324)

(235,568)(321,818)

(447,346)17

——

——

——

—

22,709,3913,149,726,009

65,421,107207,810,615

547,131,357482,847,959

306,090,295

3(j)—

——

——

——

22,709,3913,149,726,009

65,421,107207,810,615

547,131,357482,847,959

306,090,295

Sh

areho

lders' eq

uity at th

e start of th

e Perio

dR


et Asset V

alue Calculation M

ethodR

einvestment from

distributionsP


Paym


Net investm


eriodD

istributionsC

urrency adjustments

Sh

areho

lders' eq

uity at 31 M

ay 2015

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders’ E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

No

tes

US

Eq

uity

Po

rtfolio

US

D

US

Fo

cused

Gro

wth

Eq

uity

Po

rtfolio

US

D

Eu

rop

e

CO

RE

®

Eq

uity

Po

rtfolio

EU

R

Glo

bal

CO

RE

®

Eq

uity

Po

rtfolio

(c)

US

D

Glo

bal

Sm

all Cap

CO

RE

®E

qu

ity

Po

rtfolio

(c)

US

D

Gro

wth

&

Em

ergin

g M

arkets

CO

RE

®E

qu

ity

Po

rtfolio

US

D

Strateg

ic Glo

bal

Eq

uity P

ortfo

lio

US

D

Glo

bal an

d R

egio

nal C

OR

E®

Eq

uity P

ortfo

lios

Reg

ion

al Eq

uity P

ortfo

lios

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

t of C

han

ges in

Sh

are

ho

lders

’ Eq

uity

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

25

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

539,659,758104,280,975

2,361,80450,812,559

5,471,458493,705,672

15,860,95511,485,234

3(j)—

42,208—

——

543,674—

—208,208

719400,556

684456

124,68669,459

—443,670,485

28,879,73195,123,156

11,501,665213,100

39,584,4444,480,764

1,937,795(262,685,337)

(35,506,596)(2,579,485)

(5,688,061)(247,613)

(150,723,853)(2,446,412)

(836,071)9,868,073

6,902,4933,034,080

2,099,631220,070

(14,684,355)168,201

104,0359

(427,078)(88,888)

(400,556)(684)

(456)(1,051,927)

(149,915)(2,262)

17—

——

——

——

—

730,294,109104,510,642

97,939,55558,725,794

5,657,015367,498,341

17,983,05212,688,731

3(j)—

——

——

——

—

730,294,109104,510,642

97,939,55558,725,794

5,657,015367,498,341

17,983,05212,688,731

Sh

areho

lders' eq

uity at th

e start of th

e Perio

dR


et Asset V

alue Calculation M

ethodR

einvestment from

distributionsP


Paym


Net investm


eriodD

istributionsC

urrency adjustments

Sh

areho

lders' eq

uity at 31 M

ay 2015

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders’ E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

No

tes

GIV

I Eu

rop

e

Eq

uity

Po

rtfolio

(c)

EU

R

GIV

I Glo

bal E

qu

ity

–G

row

th M

arkets

Tilt P

ortfo

lio(c

)

US

D

GIV

I Gro

wth

&

Em

ergin

g

Markets E

qu

ity

Po

rtfolio

(c)

US

D

No

rth A

merican

Sh

ale Revo

lutio

n &

En

ergy In

frastructu

re

Po

rtfolio

US

D

Eu

ro

Fixed

Inco

me

Po

rtfolio

EU

R

Eu

ro S

ho

rt

Du

ration

Bo

nd

Po

rtfolio

EU

R

US

CO

RE

®

Eq

uity

Po

rtfolio

(c)

US

D

US

Sm

all

Cap

CO

RE

®

Eq

uity

Po

rtfolio

(c)

US

D

Glo

bal an

d R

egio

nal G

IVI E

qu

ity Po

rtfolio

sS

ector E

qu

ity Po

rtfolio

Fixed

Inco

me P

ortfo

lios

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

t of C

han

ges in

Sh

are

ho

lders

’ Eq

uity

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

Glo

bal an

d R

egio

nal C

OR

E®

Eq

uity P

ortfo

lios

26

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

200,452,0281,111,750,941

166,755,630334,070,738

10,086,305,406—

126,233,9163(j)

——

150,215(267,043)

——

—45,258

1,076,008199,189

1,737,47568,482,663

—532,322

138,068,159316,503,932

26,615,782209,751,580

2,297,168,172104,831,215

219,219,696(26,066,572)

(455,856,374)(36,831,882)

(140,014,377)(3,350,435,364)

—(51,830,512)

13,319,267(65,394,220)

(5,887,831)31,490,545

(138,851,336)(1,007,194)

(2,474,526)9

(192,704)(5,025,817)

(1,801,309)(3,568,926)

(181,447,015)—

(1,153,523)17

——

——

——

—

325,625,436903,054,470

149,199,794433,199,992

8,781,222,526103,824,021

290,527,373

3(j)—

1,896,414—

——

——

325,625,436904,950,884

149,199,794433,199,992

8,781,222,526103,824,021

290,527,373

Sh

areho

lders' eq

uity at th

e start of th

e Perio

dR


et Asset V

alue Calculation M

ethodR

einvestment from

distributionsP


Paym


Net investm


eriodD

istributionsC

urrency adjustments

Sh

areho

lders' eq

uity at 31 M

ay 2015

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders’ E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

Fixed

Inco

me P

ortfo

lios

No

tes

Glo

bal

Cred

it

Po

rtfolio

(Hed

ged

)

EU

R

Glo

bal F

ixed

Inco

me

Po

rtfolio

US

D

Glo

bal F

ixed

Inco

me

Po

rtfolio

(Hed

ged

)

EU

R

Glo

bal

Hig

h Y

ield

Po

rtfolio

US

D

Gro

wth

& E

merg

ing

Markets C

orp

orate

Bo

nd

Po

rtfolio

US

D

Eu

rop

e

Hig

h Y

ield

Bo

nd

Po

rtfolio

EU

R

Glo

bal

So

vereign

Bo

nd

Po

rtfolio

(a)

US

D

Go

ldm

an

Sach

s F

un

ds —

Sta

tem

en

t of C

han

ges in

Sh

are

ho

lders

’ Eq

uity

Fo

r the P

erio

d E

nd

ed

31 M

ay 2

015

27

Th

e a

cc

om

pa

ny

ing

no

tes

are

an

inte

gra

l pa

rt of th

es

e fin

an

cia

l sta

tem

en

ts.

Fixed

Inco

me P

ortfo

lios

229,615,7242,460,008,890

4,380,535,013298,844,305

89,701,705331,447,298

79,223,443148,766,196

3(j)—

——

——

—79,303

—21,663

39,112,52223,917,486

682,951444,459

2,337,078174,363

2,848,12056,480,609

457,765,7311,828,902,080

18,437,0154,022,722

18,303,59234,479,473

53,502,248(29,671,202)

(538,087,274)(1,228,580,876)

(131,632,350)(9,541,592)

(15,707,633)(34,507,835)

(24,076,488)(11,938,809)

(244,404,687)(310,812,531)

(5,890,823)2,213,308

5,715,762381,685

902,7789

(49,888)(76,224,745)

(85,072,286)(934,405)

(540,521)(4,785,561)

(341,316)(3,475,445)

17—

——

——

——

—

244,458,0972,098,170,437

4,608,888,886179,506,693

86,300,081337,310,536

79,489,116178,467,409

3(j)—

——

—(129,450)

—71,540

—

244,458,0972,098,170,437

4,608,888,886179,506,693

86,170,631337,310,536

79,560,656178,467,409

Sh

areho

lders' eq

uity at th

e start of th

e Perio

dR


et Asset V

alue Calculation M

ethodR

einvestment from

distributionsP


Paym


Net investm


eriodD

istributionsC

urrency adjustments

Sh

areho

lders' eq

uity at 31 M

ay 2015

Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

Sh

areho

lders’ E

qu

ity (after Altern

ative Net A

sset Valu

e Calcu

lation

Meth

od

)

(a)

Refer to A

ppendix II.(b

)E

xpressed in '000.(c

)R

efer to Note 3(h).

No

tes

Gro

wth

&

Em

ergin

g

Markets D

ebt

Po

rtfolio

US

D

Lib

erty Harb

or

Op

po

rtun

istic

Co

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135,871,06621,772,586

343,139,4317,501,861,460

29,738,528252,554,588

1,792,851,487462,187,640

3(j)—

——

—(2,974)

——

—155

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24,698,417—

338151,597

5,388,85137,668,346

842,568119,118,000

2,846,671,484279,306,765

36,024,733300,233,082

48,726,486(35,463,549)

(747,495)(55,636,432)

(2,219,041,728)(1,356,704)

(277,272,119)(280,768,321)

(147,232,517)4,666,692

(2,706,221)32,489,919

(486,576,318)3,942,214

11,528,882(72,318,020)

(32,880,358)9

(155)—

(1,007,424)(53,147,495)

—(4,668)

(187,921)(5,758,898)

17—

——

——

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142,742,55519,161,438

438,557,9077,614,465,820

311,627,82922,831,754

1,739,961,904330,431,204

3(j)—

——

12,183,145—

——

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142,742,55519,161,438

438,557,9077,626,648,965

311,627,82922,831,754

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385,389,70212,149,153,833

85,961,272842,735,565

103,458,83017,222,424

47,030,8083(j)

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(231,989)—

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556,37362,023

11,03716,816

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41,485,15280,879,197

27,644,53111,751,473

9,808,898—

—(17,744,675)

(170,551,654)(10,533,321)

(2,264,378)(5,182,831)

(22,867,161)183,241,417

1,226,70617,354,761

2,102,467136,833

1,635,9069

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(1,598,582)(3,353,882)

(124,316)(30,144)

(32,374)17

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362,522,54112,337,486,501

109,211,924767,620,360

122,610,21426,827,245

53,277,223

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(2,993,719)—

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362,522,54112,337,486,501

109,211,924764,626,641

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53,277,223

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456,036,28721,064,432

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(1,440,499)286,217

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337,572,940—

1,881,8005,948,594

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45,998,484,788

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337,572,940—

1,881,8005,948,594

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31

Global and Regional Equity Portfolios

Asia PortfolioBase Accumulation Share Class USD 333,706 17.66 16.00 15.20 5,891,649 3,374,847 4,238,191 18.63Base Currency Share Class USD 227,443 22.85 20.71 19.67 5,197,926 5,204,285 17,258,414 24.11“A” Share Class USD 211,440 27.90 25.35 24.20 5,899,985 6,527,237 7,346,290 29.02“B” Share Class USD 1,294 24.64 22.50 21.70 31,885 29,119 28,077 24.64“E” Accumulation Share Class EUR 223,168 23.97 19.24 16.88 5,350,014 3,741,645 3,901,037 24.93“I” Accumulation Share Class USD 425,535 9.33 8.42 7.94 3,971,754 4,211 3,969 9.33“I” Accumulation Share Class JPY 3,147,907 1,463.99 1,264.94 1,030.74 4,608,518,032 4,092,825,552 1,025,601,658 1,463.99“I” Share Class USD 617,590 32.90 29.87 28.37 20,319,942 20,250,376 30,298,915 32.90“P” Accumulation Share Class USD 303,848 14.43 13.06 12.38 4,385,217 4,394,342 4,731,287 14.43“P” Share Class USD 115,346 14.14 12.81 12.17 1,631,070 2,128,313 2,701,703 14.14“R” Accumulation Share Class USD 10,514 12.28 11.09 10.45 129,079 11,088 10,450 12.96“R” Accumulation Share Class EUR 33,920 14.56 11.59 10.02 493,863 11,594 10,018 15.36“R” Share Class USD 11,362 12.21 11.09 10.53 138,738 106,257 100,843 12.88

BRICs PortfolioBase Accumulation Share Class USD 2,468,698 15.42 14.60 14.49 38,057,815 41,570,034 51,618,740 16.27Base Accumulation Share Class

(Long BRICS CCY vs USD) EUR 1,256,270 12.25 11.60 11.51 15,394,825 17,394,084 30,273,243 12.92Base Currency Share Class USD 418,150 15.21 14.43 14.39 6,360,435 7,373,735 13,187,292 16.05Other Currency Share Class GBP 4,014 9.13 8.43 8.04 36,649 43,156 113,632 9.63Other Currency Share Class SGD 1,007 9.81 9.00 8.65 9,886 9,050 8,645 10.35“A” Share Class USD 1,052,734 14.72 13.97 13.94 15,494,264 15,258,236 15,327,145 15.31“E” Accumulation Share Class EUR 5,632,428 16.09 13.47 12.32 90,610,070 87,300,133 111,277,469 16.73“I” Accumulation Share Class USD 840,750 9.51 8.96 8.80 7,999,079 7,558,491 10,676,244 9.51“I” Accumulation Share Class EUR 591,535 14.31 11.89 10.71 8,462,546 10,472,724 6,997,396 14.31“I” Share Class USD 154,026 9.80 9.23 9.20 1,509,036 1,408,501 356,511 9.80“I” Share Class GBP 1,323,634 9.36 8.71 8.34 12,391,341 11,772,811 24,788,767 9.36“IO” Accumulation Share Class USD 1,315,163 8.39 7.87 7.67 11,031,777 2,854,971 4,740,351 8.39“IO” Accumulation Share Class GBP 5,245 14.12 12.92 12.08 74,063 71,207 66,743 14.12“IX” Share Class USD 3,582,239 7.81 7.40 7.38 27,961,296 29,816,963 42,065,271 7.81“P” Accumulation Share Class USD 166,824 10.91 10.30 10.17 1,820,525 2,457,548 3,191,135 10.91“P” Share Class USD 32,601 10.54 10.03 10.01 343,551 291,591 1,577,647 10.54“R” Accumulation Share Class USD 20,746 10.85 10.23 10.07 225,173 220,116 10,066 11.45“R” Accumulation Share Class EUR 1,577 12.84 10.67 9.63 20,246 222,019 9,629 13.55“R” Share Class USD 48,939 10.64 10.14 10.12 520,815 496,204 450,790 11.23“R” Share Class GBP 1,074 11.33 10.41 9.97 12,161 23,039 3,225,918 11.95

China Opportunity PortfolioBase Accumulation Share Class USD 441,773 16.28 12.84 12.68 7,190,401 5,675,958 7,484,688 17.18Base Currency Share Class USD 6,633 15.96 12.63 12.57 105,863 89,910 56,810 16.84“I” Accumulation Share Class USD 7,590 17.11 13.44 13.13 129,886 101,992 1,763,073 17.11“I” Share Class USD 1,841 16.23 12.89 12.79 29,889 305,683 573,048 16.23“P” Share Class USD 1,882 15.07 11.86 11.77 28,361 22,319 113,788 15.07“P” Accumulation Share Class USD 57,447 15.53 12.22 12.01 892,207 734,277 861,471 15.53“R” Accumulation Share Class USD 1,000 15.09 11.85 11.59 15,088 11,851 11,592 15.92“R” Accumulation Share Class GBP 1,028 15.01 11.53 11.04 15,429 11,727 11,044 15.84“R” Share Class USD 1,028 14.68 11.66 11.59 15,088 11,851 11,592 15.49

Europe Equity Partners PortfolioBase Accumulation Share Class EUR 25,419 17.57 14.26 13.14 446,635 220,479 523,700 18.54Base Currency Share Class EUR 77,324 166.77 136.06 126.51 12,894,888 11,524,856 32,107,803 175.94Base Currency Share Class USD 814,904 17.20 15.91 16.15 14,020,010 18,618,594 8,053,805 18.15Other Currency Share Class GBP 1,026 15.81 14.26 13.89 16,218 14,554 14,044 16.68“A” Share Class EUR 237,561 13.11 10.67 9.93 3,114,690 1,652,916 1,976,917 13.63“A” Share Class USD 211,611 17.16 15.84 16.07 3,630,738 3,982,830 2,375,772 17.85“E” Accumulation Share Class EUR 185,042 16.81 13.69 12.71 3,110,214 3,050,017 2,113,928 17.48“I” Accumulation Share Class EUR 9,083,284 13.34 10.77 9.84 121,211,123 44,941,027 9,174,576 13.34“I” Share Class EUR 1,825,051 16.09 13.17 12.24 29,364,785 22,646,512 4,950 16.09“P” Accumulation Share Class EUR 1,540,150 18.38 14.88 13.68 28,302,953 21,591,311 9,914,663 18.38“P” Share Class EUR 300,229 17.21 14.04 13.05 5,165,718 3,013,390 1,767,583 17.21“R” Accumulation Share Class EUR 138,075 16.40 13.25 12.11 2,263,991 236,179 215,801 17.30“R” Share Class EUR 51,025 15.88 13.00 12.08 810,178 656,737 620,478 16.75“R” Share Class GBP 96,956 14.08 12.77 12.43 1,365,461 142,229 58,014 14.85“R” Share Class USD 36,638 13.38 12.42 12.60 490,352 261,360 12,604 14.12

Global Equity Partners PortfolioBase Accumulation Share Class USD 2,911,791 15.40 14.61 13.71 44,828,511 68,716,888 19,738,448 16.25Base Accumulation Share Class

(USD Hedged Class)(b) USD 1,000 10.19 — — 10,194 — — 10.75Base Currency Share Class USD 1,144,001 12.62 11.97 11.24 14,432,008 14,334,092 17,571,657 13.31Base Currency Share Class (USD Hedged Class)(b) USD 1,000 10.19 — — 10,193 — — 10.75Other Currency Accumulation Share Class GBP 233,503 17.87 16.54 14.90 4,172,530 7,115,999 4,298,558 18.85Other Currency Accumulation Share Class EUR 1,334,800 16.62 13.91 11.97 22,187,432 17,318,497 14,209,957 17.53Other Currency Accumulation Share Class

(EUR Hedged Class)(b) EUR 50,000 10.17 — — 508,608 — — 10.73Other Currency Share Class GBP 908,277 17.82 16.49 14.86 16,182,959 15,971,098 10,002,479 18.80Other Currency Share Class (EUR Hedged Class)(b) EUR 50,000 10.17 — — 508,608 — — 10.73“A” Accumulation Share Class USD 160,563 19.94 18.97 17.90 3,202,286 3,561,343 1,425,974 20.74“A” Share Class USD 243,972 19.94 18.97 17.90 4,865,884 4,347,903 2,941,007 20.74“E” Accumulation Share Class EUR 487,604 23.30 19.58 16.97 11,360,825 9,942,314 3,063,321 24.23“I” Accumulation Share Class EUR 981,479 21.29 17.73 15.10 20,895,242 14,321,931 14,920,009 21.29“I” Accumulation Share Class USD 11,274,879 11.59 10.94 10.17 130,679,514 113,111,103 2,685,780 11.59“IO” Accumulation Share Class USD 1,454,062 14.78 13.90 12.81 21,491,551 18,612,600 32,801,276 14.78“IO” Accumulation Share Class GBP 102,410 13.25 12.16 10.76 1,357,344 1,432,753 735,593 13.25“IO” Accumulation Share Class

(USD Hedged Class)(b) USD 5,401,223 10.32 — — 55,736,930 — — 10.32

(a) Refer to Note 3(j).(b) Refer to Appendix II.

Goldman Sachs Funds

Statistical Information (Unaudited)

As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13

Net Asset Value per Share as at(a)

31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering

price per share as at31-May-15

32

Global Equity Partners Portfolio – (continued)“IO” Share Class USD 1,468,138 10.83 10.21 — 15,894,190 12,587,662 — 10.83“IO” Share Class GBP 1,295 12.10 11.21 10.00 15,660 14,421 12,859 12.10“P” Accumulation Share Class USD 10,671,293 21.07 19.95 18.64 224,831,850 230,922,789 159,074,213 21.07“P” Share Class USD 3,726,623 20.94 19.85 18.56 78,039,193 80,315,822 79,017,525 20.94“R” Accumulation Share Class USD 2,066,139 14.79 13.98 13.03 30,555,575 34,822,444 14,339,323 15.60“R” Share Class USD 2,226,217 14.69 13.95 13.02 32,710,238 30,677,914 20,153,436 15.50“R” Share Class GBP 1,555,206 15.52 14.37 12.85 24,129,068 21,142,913 39,196,499 16.37

Global Equity Unconstrained PortfolioBase Accumulation Share Class USD 1,722 13.54 12.86 12.21 23,317 12,861 15,624 14.28“I” Accumulation Share Class USD 429,356 13.83 13.09 12.32 5,939,378 5,619,675 5,205,098 13.83“R” Accumulation Share Class USD 1,000 13.86 13.12 12.35 13,859 13,115 12,351 14.62“R” Share Class USD 1,012 13.69 13.01 12.35 13,847 13,105 12,347 14.44

Global Responsible Equity PortfolioBase Accumulation Snap Share Class USD 11,858 14.24 13.92 13.25 168,872 168,756 68,620 15.02Other Currency Snap Share Class GBP 1,330 14.83 14.14 12.92 19,724 14,208 12,984 15.65“A” Accumulation Snap Share Class USD 10,686 13.77 13.48 12.90 147,092 40,186 29,005 14.32“A” Snap Share Class USD 6,185 13.76 13.48 12.90 85,136 54,623 38,145 14.31“E” Accumulation Snap Share Class EUR 9,031 17.61 15.22 13.33 159,025 104,916 94,521 18.31“E” Snap Share Class EUR 22,245 17.69 15.28 13.41 393,422 454,685 181,862 18.40“I” Accumulation Snap Share Class USD 627,053 15.00 14.60 13.79 9,404,067 9,275,005 7,937,754 15.00“P” Accumulation Snap Share Class USD 133,434 14.66 14.31 13.59 1,956,317 2,126,102 2,139,203 14.66“P” Accumulation Snap Share Class EUR 234,145 18.82 16.20 14.10 4,405,948 4,319,032 5,429,137 18.82“P” Snap Share Class USD 47,960 14.28 13.95 13.29 685,029 668,987 654,565 14.28“P” Snap Share Class EUR 561,738 18.39 15.84 13.83 10,328,769 10,747,755 10,316,556 18.39“R” Accumulation Snap Share Class USD 479,224 13.49 13.13 12.41 6,463,196 6,381,240 4,518,391 14.23“R” Snap Share Class USD 23,834 13.30 13.02 12.41 317,047 298,795 12,407 14.03

GMS Dynamic World Equity PortfolioBase Accumulation Share Class USD 19,198,832 16.78 16.13 15.20 322,147,033 426,790,848 266,431,167 17.70Base Currency Share Class USD 9,530,912 19.50 18.74 17.66 185,822,151 189,823,853 153,314,623 20.57Other Currency Accumulation Share Class EUR 2,584,033 19.54 16.57 14.31 50,502,375 56,512,380 43,424,617 20.61“I” Share Class USD 4,392,695 15.04 14.48 13.64 66,050,248 82,146,177 100,410,504 15.04“IO” Accumulation Share Class USD 15,732,671 15.45 14.79 13.83 243,018,750 238,717,532 199,779,889 15.45“R” Accumulation Share Class USD 418,871 14.63 14.01 13.11 6,128,970 1,477,594 746,489 15.43“R” Accumulation Share Class EUR 220,149 17.58 14.85 12.74 3,869,175 3,202,071 1,450,906 18.55“R” Share Class USD 2,687,561 14.47 13.95 13.12 38,885,435 28,152,679 21,124,108 15.27

Growth & Emerging Markets Broad Equity PortfolioBase Accumulation Share Class USD 262,140 17.02 16.23 15.35 4,461,909 3,946,463 3,679,095 17.96Base Currency Share Class USD 127,291 32.08 30.60 28.93 4,083,379 5,539,256 14,949,189 33.84Other Currency Snap Share Class GBP 1,000 11.40 10.61 9.63 11,404 10,612 102,993 12.03“A” Share Class USD 134,593 33.46 31.97 30.35 4,503,278 4,693,954 5,946,656 34.80“B” Share Class USD 3,673 29.25 28.09 26.93 107,459 136,458 130,824 29.25“E” Accumulation Share Class EUR 197,440 30.12 25.40 22.13 5,947,465 4,468,346 4,267,184 31.32“I” Accumulation Share Class USD 2,461,803 15.49 14.69 13.75 38,130,536 22,036,506 16,382,197 15.49“I” Share Class USD 1,463,398 38.69 36.91 34.83 56,614,552 40,011,461 28,022,936 38.69“IO” Accumulation Share Class USD 256,836 10.67 10.08 9.36 2,739,852 2,907,025 8,677,585 10.67“IO” Accumulation Share Class GBP 1,000 17.00 15.66 13.95 16,997 15,662 13,952 17.00“IO” Share Class USD — — — 14.44 — — 5,488,283 —“IX” Share Class USD 4,384,255 7.87 7.66 7.56 34,517,828 40,623,999 52,993,064 7.87“P” Accumulation Share Class USD 958,594 13.15 12.50 11.76 12,605,828 12,807,621 6,768,576 13.15“P” Share Class USD 110,050 12.96 12.33 11.64 1,425,806 1,454,369 4,090,994 12.96“R” Accumulation Share Class USD 1,584 11.19 10.62 9.95 17,713 16,818 44,883 11.81“R” Share Class USD 3,910 11.05 10.54 9.95 43,222 10,617 9,949 11.66“R” Share Class GBP 91,123 11.63 10.84 9.82 1,059,875 21,041 9,819 12.27

Growth Markets Plus Equity PortfolioBase Accumulation Share Class USD 1,000 10.56 10.36 10.38 10,555 10,357 10,383 11.14Base Currency Share Class USD 1,000 10.56 10.36 10.38 10,555 10,357 10,383 11.14“E” Accumulation Share Class EUR 1,000 12.57 10.93 10.11 12,574 10,927 10,111 13.07“I” Accumulation Share Class USD 2,540,169 10.72 10.47 10.40 27,240,656 26,543,682 3,049,764 10.72“IO” Share Class AUD 11,125 13.00 11.58 10.66 144,616 127,163 53,285 13.00“R” Accumulation Share Class USD 3,000 10.72 10.47 10.40 32,162 10,471 10,403 11.31“R” Share Class USD 1,008 10.64 10.47 10.40 10,721 10,471 10,403 11.23“R” Share Class GBP 9,572 10.94 10.51 10.02 104,704 211,693 65,206 11.54

India Equity PortfolioBase Accumulation Share Class USD 43,642,394 16.99 16.24 10.34 741,493,287 305,412,841 40,803,325 17.92Base Currency Share Class USD 5,309,605 16.99 16.25 10.34 90,232,497 29,083,009 1,028,572 17.92Other Currency Accumulation Share Class(b) SEK 1,301 97.93 — — 127,364 — — 103.32Other Currency Share Class GBP 77,682 16.13 15.05 9.20 1,253,134 289,499 57,990 17.02“A” Share Class USD 3,297,375 16.40 15.71 10.05 54,075,501 34,590,799 1,518,634 17.06“E” Accumulation Share Class EUR 3,679,650 23.52 19.88 11.67 86,539,686 34,441,880 3,583,646 24.46“I” Accumulation Share Class USD 33,317,861 18.12 17.21 10.84 603,768,959 323,436,874 119,309,361 18.12“I” Share Class USD 1,846,565 18.05 17.20 10.82 33,339,243 41,357,075 3,967,917 18.05“P” Accumulation Share Class USD 2,325,226 21.31 20.30 12.84 49,559,938 17,420,145 6,009,671 21.31“P” Share Class USD 409,540 21.28 20.27 12.82 8,716,713 14,174,936 1,149,054 21.28“R” Accumulation Share Class USD 1,578,802 15.29 14.55 9.18 24,135,613 4,484,387 9,175 16.13“R” Share Class USD 798,881 15.28 14.55 9.18 12,210,363 922,753 212,257 16.12“R” Share Class GBP 535,213 15.97 14.85 8.99 8,549,233 1,363,894 131,319 16.85


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


33

Japan Equity Partners PortfolioBase Accumulation Share Class(b) JPY 122 10,027.76 — — 1,218,975 — — 10,579.29Other Currency Accumulation Share Class

(CHF Hedged Class)(b) CHF 10,000 10.03 — — 100,250 — — 10.58Other Currency Accumulation Share Class

(EUR Hedged Class)(b) EUR 10,000 10.03 — — 100,263 — — 10.58“I” Accumulation Share Class(b) GBP 1,000 10.06 — — 10,058 — — 10.06“I” Accumulation Share Class(b) JPY 63,300 10,028.63 — — 634,812,265 — — 10,028.63“I” Accumulation Share Class

(EUR Hedged Class)(b) EUR 10,000 10.03 — — 100,271 — — 10.03“I” Accumulation Share Class

(GBP Hedged Class)(b) GBP 10,000 10.03 — — 100,292 — — 10.03“R” Accumulation Share Class(b) JPY 122 10,028.59 — — 1,219,075 — — 10,580.16“R” Accumulation Share Class

(EUR Hedged Class)(b) EUR 10,000 10.03 — — 100,271 — — 10.58“R” Accumulation Share Class

(GBP Hedged Class)(b) GBP 10,000 10.03 — — 100,291 — — 10.58Japan Portfolio

Base Accumulation Share Class JPY 2,310,634 12,988.35 11,057.08 9,862.56 30,011,329,257 27,004,731,503 31,367,298,081 13,702.71Base Currency Share Class JPY 6,109,019 1,493.71 1,271.60 1,134.23 9,125,082,745 3,798,646,330 3,114,778,604 1,575.86Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 13,104,325 19.97 17.04 15.31 261,651,908 191,430,615 69,099,456 21.07Other Currency Accumulation Share Class

(SEK Hedged Class) SEK 1,276,397 153.34 130.87 117.17 195,716,673 126,795,450 193,070,954 161.77Other Currency Accumulation Share Class

(USD Hedged Class) USD 859,869 14.14 12.06 10.85 12,160,335 7,710,266 9,691,230 14.92Other Currency Share Class USD 286,404 18.32 16.32 16.87 5,246,438 3,198,634 3,200,525 19.33Other Currency Share Class GBP 1,000 13.52 11.74 11.64 13,516 11,735 11,635 14.26“A” Share Class USD 1,205,745 13.33 11.90 12.36 16,073,607 15,417,107 14,113,399 13.86“B” Share Class USD 8,826 12.01 10.77 11.29 105,976 95,026 103,474 12.01“E” Accumulation Share Class EUR 14,172,470 11.27 8.89 8.49 159,775,692 11,831,349 11,326,346 11.72“E” Accumulation Share Class

(EUR Hedged Class) EUR 2,463,002 12.84 11.00 9.95 31,635,765 21,995,204 1,385,092 13.35“I” Accumulation Share Class JPY 4,393,323 12,549.92 10,622.20 9,368.30 55,135,834,879 32,489,406,307 11,932,534,687 12,549.92“I” Accumulation Share Class

(EUR Hedged Class) EUR 2,571,069 15.91 13.50 12.00 40,911,032 44,967,431 41,784,822 15.91“I” Accumulation Share Class

(USD Hedged Class) USD 8,205,502 14.86 12.60 11.21 121,968,435 96,384,741 53,961,820 14.86“I” Share Class JPY 3,023,482 1,832.98 1,560.73 1,385.11 5,541,982,658 3,151,774,591 2,082,147,522 1,832.98“P” Accumulation Share Class JPY 181,198 15,806.48 13,422.55 11,918.15 2,864,106,759 4,928,042,944 2,233,712,735 15,806.48“P” Accumulation Share Class

(USD Hedged Class) USD 5,656,145 14.27 12.14 10.87 80,735,583 49,709,658 22,721,569 14.27“P” Share Class JPY 85,832 15,615.57 13,261.06 11,784.33 1,340,307,937 751,108,586 577,400,347 15,615.57“R” Accumulation Snap Share Class JPY 1,283,410 2,245.68 1,903.68 1,683.66 2,882,122,710 2,887,589,869 189,283,415 2,369.19“R” Snap Share Class JPY 39,137 2,234.66 1,894.34 1,683.67 87,457,722 87,580,244 7,011,333 2,357.57“R” Snap Share Class GBP 108,050 15.46 13.42 13.28 1,670,331 1,464,036 57,678 16.31

N-11® Equity PortfolioBase Accumulation Share Class USD 6,833,427 9.83 10.46 10.30 67,153,846 119,118,668 132,329,486 10.37Base Currency Share Class USD 1,456,511 9.83 10.47 10.31 14,321,834 21,109,486 26,403,562 10.37Other Currency Accumulation Share Class EUR 6,882,880 12.18 11.44 10.32 83,832,148 97,286,150 125,937,530 12.85Other Currency Share Class GBP 59,697 10.15 10.54 9.95 605,688 872,678 1,155,005 10.71Other Currency Share Class EUR 549,032 13.12 12.32 11.12 7,205,086 7,791,833 11,219,557 13.84Other Currency Share Class SGD 1,000 10.98 11.30 10.70 10,977 11,298 10,701 11.58“E” Accumulation Share Class EUR 8,997,184 11.84 11.16 10.15 106,535,250 131,040,241 151,645,029 12.31“I” Accumulation Share Class USD 32,018,264 10.26 10.86 10.58 328,598,593 452,105,042 198,900,722 10.26“I” Share Class USD 3,076,092 10.02 10.70 10.48 30,833,688 70,870,255 95,056,277 10.02“I” Share Class GBP 976,254 11.46 11.94 11.25 11,188,528 10,622,856 15,590,516 11.46“IO” Accumulation Share Class USD 2,456,819 10.47 11.03 10.65 25,711,602 27,101,071 14,559,514 10.47“P” Accumulation Share Class USD 1,148,451 10.10 10.72 10.48 11,601,097 22,896,457 24,227,874 10.10“P” Share Class USD 209,494 9.97 10.62 10.43 2,088,443 2,799,436 1,915,735 9.97“R” Accumulation Share Class USD 659,761 9.95 10.54 10.29 6,563,793 10,748,880 10,563,616 10.50“R” Accumulation Share Class EUR 6,403,226 11.69 10.93 9.78 74,872,011 134,041,682 180,402,926 12.33“R” Share Class USD 361,636 9.66 10.30 10.05 3,494,300 3,161,577 4,237,252 10.19“R” Share Class EUR 76,695 11.56 10.87 9.79 886,245 755,421 369,277 12.20“R” Share Class GBP 52,893 10.31 10.73 10.12 545,200 502,021 827,475 10.88

Strategic Global Equity PortfolioBase Accumulation Share Class USD 1,760 15.24 14.71 13.97 26,823 25,889 32,977 16.08Base Currency Share Class USD 269,464 34.41 33.21 31.55 9,270,960 9,761,152 15,910,377 36.30“A” Share Class USD 72,557 14.97 14.49 13.83 1,086,183 1,546,069 1,241,490 15.57“E” Accumulation Share Class EUR 96,860 12.76 10.91 9.57 1,236,165 936,827 301,203 13.27“I” Accumulation Share Class USD 865,273 11.75 11.29 10.63 10,167,759 10,990,444 10,634 11.75“P” Accumulation Share Class USD 36,183 14.60 14.08 13.35 528,372 1,019,932 2,699,147 14.60“P” Share Class USD 1,015 14.36 13.85 13.12 14,580 14,055 1,425,444 14.36“R” Accumulation Share Class USD 1,000 14.00 13.45 12.67 13,997 13,453 12,672 14.77“R” Share Class USD 15,798 13.86 13.38 12.68 218,929 211,298 200,117 14.62“R” Share Class GBP 1,010 14.60 13.75 12.51 14,755 13,835 12,507 15.40


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


34

US Equity PortfolioBase Accumulation Share Class USD 76,613,323 19.32 18.90 16.69 1,480,162,801 1,546,842,605 1,034,511,382 20.38Base Currency Share Class USD 1,879,691 19.36 18.93 16.72 36,387,718 46,429,667 48,607,749 20.42Other Currency Accumulation Share Class EUR 23,164 20.93 18.05 14.62 484,774 245,568 320,754 22.08Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 11,645,314 21.49 21.04 18.57 250,269,031 293,386,627 269,928,138 22.67Other Currency Share Class GBP 53,212 17.33 16.54 14.02 922,250 909,113 591,462 18.28Other Currency Share Class SGD 28,119 17.70 16.75 14.25 497,837 470,936 728,556 18.67“A” Share Class USD 918,040 18.47 18.11 16.08 16,957,436 19,700,217 20,308,439 19.21“E” Accumulation Share Class EUR 742,002 19.66 17.02 13.89 14,586,050 13,616,824 13,275,544 20.45“E” Accumulation Share Class

(EUR Hedged Class) EUR 139,206 18.73 18.42 16.38 2,607,272 4,791,526 4,778,756 19.48“I” Accumulation Share Class USD 47,342,593 16.01 15.58 13.61 757,989,852 632,823,794 550,809,535 16.01“I” Share Class USD 3,620,905 19.73 19.25 16.88 71,438,565 72,199,614 48,542,431 19.73“I” Share Class GBP 8,527,046 19.23 18.31 15.41 163,979,328 149,694,706 88,015,963 19.23“IO” Accumulation Share Class USD 887,011 17.58 17.04 14.77 15,593,451 25,216,868 14,573,071 17.58“P” Accumulation Share Class USD 2,713,977 17.12 16.70 14.68 46,463,452 53,287,181 67,242,097 17.12“P” Share Class USD 1,833,591 17.14 16.72 14.69 31,428,414 36,285,110 34,503,023 17.14“R” Accumulation Share Class USD 1,945,980 15.22 14.83 12.99 29,609,645 29,224,959 3,274,513 16.06“R” Accumulation Share Class EUR 4,001,588 18.02 15.49 12.44 72,097,882 90,740,454 73,594,780 19.01“R” Accumulation Share Class

(EUR Hedged Class) EUR 14,206 15.35 14.99 13.12 218,018 465,041 131,247 16.19“R” Share Class USD 1,137,110 15.33 14.94 13.10 17,435,199 20,346,726 43,265,178 16.17“R” Share Class GBP 797,678 16.09 15.30 12.88 12,837,534 6,584,065 2,049,602 16.97

US Focused Growth Equity PortfolioBase Accumulation Share Class USD 255,405 18.17 17.92 15.84 4,641,325 8,431,935 9,863,891 19.17Base Currency Share Class USD 510,455 14.60 14.40 12.72 7,452,066 7,827,332 19,154,724 15.40“A” Share Class USD 1,455,834 14.45 14.28 12.68 21,030,064 20,946,004 18,523,613 15.03“B” Share Class USD 12,816 12.53 12.45 11.17 160,641 159,592 148,346 12.53“E” Accumulation Share Class EUR 112,168 20.49 17.89 14.60 2,298,615 1,931,793 1,728,458 21.31“I” Accumulation Share Class USD 689,272 15.40 15.12 13.26 10,618,167 2,508,415 705,969 15.40“I” Share Class USD 342,833 17.03 16.72 14.66 5,836,950 9,214,229 466,182 17.03“P” Accumulation Share Class USD 547,018 16.78 16.53 14.57 9,178,381 9,804,074 7,717,625 16.78“P” Share Class USD 234,010 16.77 16.51 14.55 3,923,262 4,329,103 3,815,786 16.77“R” Accumulation Share Class USD 1,000 14.58 14.33 12.57 14,583 14,332 12,568 15.38“R” Share Class USD 1,000 14.59 14.33 12.57 14,589 14,332 12,568 15.39“R” Share Class GBP 1,000 15.46 14.82 12.47 15,460 14,818 12,473 16.31

Global and Regional CORE® Equity Portfolios

Europe CORE® Equity PortfolioBase Accumulation Share Class EUR 473,801 16.45 13.78 12.45 7,792,100 7,320,072 7,428,742 17.35Base Currency Share Class EUR 1,778,849 15.16 12.98 11.94 26,961,942 24,052,065 24,411,279 15.99“A” Share Class EUR 585,945 13.61 11.63 10.66 7,976,532 6,962,623 7,097,703 14.15“A” Share Class USD 642,227 9.41 9.12 9.16 6,045,508 6,380,029 6,894,372 9.79“E” Accumulation Share Class EUR 343,139 18.98 15.93 14.48 6,512,486 5,452,921 4,984,431 19.74“I” Accumulation Share Class EUR 6,142,534 15.13 12.62 11.32 92,921,022 64,337,678 9,869,544 15.13“I” Share Class EUR 1,187,690 19.67 16.90 15.54 23,362,942 19,029,670 9,994,995 19.67“IO” Accumulation Share Class EUR 1,000 13.69 11.40 10.17 13,694 11,395 10,166 13.69“P” Accumulation Share Class EUR 2,563,719 12.13 10.14 9.15 31,086,411 25,869,883 18,001,224 12.13“R” Accumulation Share Class EUR 180,348 16.04 13.39 12.01 2,892,715 2,544,957 2,078,341 16.92“R” Share Class EUR 180,644 15.35 13.19 12.13 2,772,621 3,125,387 2,451,238 16.19“R” Share Class GBP 1,056 13.61 12.93 12.46 14,372 13,262 12,456 14.36

Global CORE® Equity PortfolioBase Accumulation Close Share Class USD 579,977 16.86 16.20 14.35 9,780,280 7,347,175 7,139,515 17.79Base Accumulation Snap Share Class USD 89,986 17.20 16.44 14.57 1,547,417 8,159,466 127,662 18.15Base Currency Close Share Class USD 199,522 14.04 13.55 12.05 2,801,610 2,394,919 2,289,931 14.81Base Currency Snap Share Class USD 1,297,118 18.84 18.10 16.11 24,441,032 5,826,735 2,070,949 19.88“A” Snap Share Class USD 309,893 14.42 13.82 12.32 4,469,707 1,096,053 88,196 15.00“E” Accumulation Close Share Class EUR 844,716 15.98 13.57 11.08 13,500,159 3,913,324 156,567 16.62“E” Accumulation Snap Share Class EUR 2,733,389 19.28 16.30 13.32 52,697,853 39,688,105 168,586 20.05“I” Accumulation Close Share Class USD 6,186,056 16.43 15.71 13.80 101,658,768 77,003,152 5,531 16.43“I” Accumulation Close Share Class EUR 2,498,158 16.67 14.06 11.33 41,646,036 30,533,825 828,707 16.67“I” Close Share Class USD 906 14.23 13.78 12.23 12,900 12,335 10,839 14.23“I” Snap Share Class USD 99,146 19.34 18.64 16.57 1,917,375 1,816,511 7,288 19.34“IO” Accumulation Close Share Class USD 7,579,451 13.89 13.25 11.58 105,308,670 8,710 15,155,809 13.89“IO” Accumulation Close Share Class GBP 241,263 20.70 19.26 16.16 4,993,561 5,104,393 3,465 20.70“IO” Accumulation Close Share Class EUR 4,732,546 24.08 20.26 16.24 113,972,662 91,907,293 25,587,011 24.08“IO” Accumulation Snap Share Class(b) USD 545,463 10.06 — — 5,486,891 — — 10.06“IO” Snap Share Class USD 1,893,543 10.74 10.26 — 20,338,677 16,459,031 — 10.74“P” Accumulation Snap Share Class USD 674,747 12.98 12.39 10.96 8,756,057 17,149,021 3,691,543 12.98“P” Snap Share Class USD 430,863 22.15 21.29 18.95 9,542,155 9,162,471 2,944,980 22.15“R” Accumulation Snap Share Class USD 22,458 15.50 14.76 13.00 348,155 35,871 12,996 16.35“R” Snap Share Class USD 1,022 15.16 14.62 13.00 15,501 14,766 1,717,604 15.99


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


35

Global Small Cap CORE® Equity PortfolioBase Currency Close Share Class USD 1,261,644 16.83 15.55 15.25 21,229,657 18,868,994 13,268,139 17.76Base Currency Snap Share Class USD 10,351,864 16.86 15.58 15.23 174,551,366 181,838,162 175,829,466 17.79“A” Close Share Class USD 118,979 14.02 12.98 12.73 1,668,374 1,817,019 1,035,472 14.58“A” Snap Share Class USD 51,252 13.38 12.38 12.12 685,660 728,863 2,356,903 13.92“E” Accumulation Close Share Class EUR 279,579 17.13 13.99 12.54 4,789,927 3,744,483 2,727,420 17.82“E” Accumulation Snap Share Class EUR 532,782 16.42 13.40 11.99 8,749,457 6,874,668 5,021,463 17.08“I” Accumulation Snap Share Class EUR 5,571,487 20.22 16.39 14.48 112,632,846 76,308,828 77,370,128 20.22“IO” Accumulation Close Share Class USD 6,387,958 17.60 16.14 15.50 112,417,673 76,820,459 14,925,665 17.60“IO” Accumulation Close Share Class GBP 6,981 25.43 22.75 20.97 177,544 180,741 173,256 25.43“IO” Accumulation Snap Share Class(b) USD 218,484 10.06 — — 2,198,057 — — 10.06“IO” Snap Share Class USD 1,877,645 10.53 9.70 — 19,769,282 19,273,549 — 10.53“P” Accumulation Snap Share Class USD 112,169 14.56 13.42 12.99 1,633,094 1,555,800 1,468,638 14.56“R” Accumulation Snap Share Class USD 288,361 15.62 14.37 13.86 4,504,711 1,561,197 286,201 16.48“R” Share Class USD 462,649 15.32 14.20 13.87 7,086,869 6,567,992 3,128,538 16.16

Growth & Emerging Markets CORE® Equity PortfolioBase Accumulation Close Share Class USD 814,624 14.34 13.92 13.56 11,683,999 7,604,822 12,152,982 15.13“I” Accumulation Close Share Class USD 6,432,712 15.20 14.66 14.10 97,765,834 50,873,303 67,321,627 15.20“P” Accumulation Close Share Class USD 614,005 11.69 11.29 10.89 7,180,512 7,342,281 757,763 11.69“P” Close Share Class USD 177,965 11.27 11.10 10.89 2,005,451 657,042 48,984 11.27“IO” Accumulation Close Share Class GBP 18,113 11.64 10.91 10.01 210,812 208,478 212,817 11.64“IO” Accumulation Close Share Class USD 10,041,442 16.00 15.38 14.70 160,664,541 173,020,394 136,983,296 16.00“IO” Close Share Class USD 741,133 10.17 9.90 — 7,536,270 8,639,217 — 10.17“R” Accumulation Close Share Class USD 93,086 11.29 10.90 10.50 1,051,299 913,675 10,503 11.91“R” Close Share Class USD 1,039 10.87 10.71 10.50 11,293 10,901 10,503 11.47“R” Close Share Class GBP 1,044,307 11.19 10.75 10.12 11,687,019 10,686,146 8,422,457 11.81

US CORE® Equity PortfolioBase Accumulation Close Share Class USD 9,459,531 17.02 16.77 14.34 160,979,539 104,958,264 4,721,521 17.96Base Accumulation Snap Share Class USD 6,543,792 17.37 17.08 14.63 113,651,645 98,315,030 58,676,902 18.33Base Currency Close Share Class USD 268,419 16.84 16.60 14.19 4,520,960 4,217,832 15,810,969 17.77Base Currency Snap Share Class USD 4,200,753 30.03 29.53 25.30 126,169,365 121,396,278 109,954,040 31.68“A” Snap Share Class USD 1,340,578 17.80 17.55 15.11 23,866,050 29,733,719 21,732,892 18.51“B” Snap Share Class USD 2,051 15.47 15.33 13.33 31,733 31,433 75,970 15.47“E” Accumulation Snap Share Class EUR 4,420,554 15.03 13.07 10.31 66,446,724 30,195,695 6,906,123 15.63“I” Accumulation Snap Share Class(b) USD 8,483,750 10.21 — — 86,604,558 — — 10.21“I” Snap Share Class USD 4,244,252 21.05 20.73 17.72 89,348,233 113,874,099 28,326,080 21.05“P” Accumulation Snap Share Class USD 3,466,725 14.69 14.40 12.28 50,918,937 27,190,660 17,885,047 14.69“P” Snap Share Class USD 102,341 16.12 15.85 13.57 1,649,546 1,416,499 536,508 16.12“R” Accumulation Snap Share Class USD 12,742 15.82 15.49 13.20 201,543 65,074 3,597,882 16.69“R” Snap Share Class USD 1,012 15.66 15.43 13.20 15,853 15,527 13,200 16.52“R” Snap Share Class GBP 17,388 16.44 15.82 12.99 285,884 15,920 12,989 17.34“U” Close Share Class USD 157,400 19.05 18.76 16.04 2,998,510 2,953,343 2,524,481 20.10

US Small Cap CORE® Equity PortfolioBase Accumulation Close Share Class USD 136,108 18.01 16.78 16.07 2,451,108 4,594,348 2,759,648 19.00Base Accumulation Snap Share Class USD 67,340 18.44 17.38 16.48 1,241,538 1,142,819 1,642,417 19.45Base Currency Snap Share Class USD 311,353 18.51 17.45 16.54 5,761,891 7,703,164 8,877,763 19.53“A” Close Share Class USD 380,834 17.18 16.04 15.44 6,541,626 796,237 1,111,239 17.87“E” Accumulation Close Share Class EUR 36,191 18.23 15.02 13.25 659,775 590,453 690,894 18.96“E” Accumulation Snap Share Class EUR 50,365 18.83 15.70 13.71 948,172 792,848 1,293,771 19.58“I” Accumulation Snap Share Class USD 301,534 17.74 16.66 15.69 5,350,476 21,544,907 23,142,658 17.74“I” Snap Share Class USD 2,642,270 17.13 16.13 15.30 45,268,882 41,062,186 56,924,328 17.13“P” Accumulation Snap Share Class USD 1,829,234 16.01 15.06 14.22 29,285,007 20,778,808 4,307,347 16.01“R” Accumulation Snap Share Class USD 152,599 15.56 14.63 13.78 2,375,107 2,490,662 484,065 16.42“R” Snap Share Class USD 269,335 15.42 14.52 13.77 4,153,936 3,314,556 1,590,863 16.27“R” Snap Share Class GBP 23,272 16.33 15.00 13.64 380,065 208,075 54,218 17.23

Global and Regional GIVI Equity Portfolios

GIVI Europe Equity PortfolioBase Accumulation Close Share Class EUR 1,000 17.03 14.71 13.32 17,034 14,706 13,317 17.97Base Accumulation Snap Share Class EUR 1,000 17.13 14.68 13.33 17,134 14,681 13,332 18.07Base Currency Snap Share Class EUR 1,052 16.10 14.14 13.17 16,931 14,507 13,175 16.99“E” Accumulation Snap Share Class EUR 10,856 16.99 14.58 13.27 184,461 96,332 84,754 17.67“I” Accumulation Close Share Class EUR 998 17.27 14.87 13.41 17,240 2,194,642 3,012,399 17.27“IO” (Dis) (Semi-Annual) Snap Share Class(b) EUR 9,200,788 10.71 — — 98,502,508 — — 10.71“R” Accumulation Snap Share Class EUR 1,000 15.54 13.30 12.03 15,545 13,296 12,030 16.39“R” Snap Share Class EUR 1,059 14.68 12.92 12.03 15,545 13,295 12,030 15.49

GIVI Global Equity – Growth Markets Tilt PortfolioBase Accumulation Close Share Class USD 1,000 14.12 13.72 12.87 14,124 13,716 12,871 14.90Base Accumulation Snap Share Class USD 991,958 14.19 13.73 12.88 14,071,073 13,950,004 357,178 14.97Base Snap Share Class USD 1,030 13.71 13.47 12.82 14,124 13,669 12,820 14.46“E” Accumulation Snap Share Class EUR 4,363 16.22 13.86 11.95 70,778 45,139 45,906 16.87“I” Accumulation Close Share Class USD 812,909 14.31 13.86 12.95 11,631,296 11,270,463 12,398,468 14.31“IO” Accumulation Close Share Class USD 2,695,260 12.02 11.64 10.84 32,406,778 24,401,141 10,851,504 12.02“P” Accumulation Snap Share Class USD 1,000 14.29 13.81 12.92 14,294 580,196 425,275 14.29“P” Snap Share Class USD 1,035 13.73 13.51 12.85 14,213 13,737 12,852 13.73“R” Accumulation Snap Share Class USD 40,090 13.37 12.92 12.07 536,057 517,900 12,072 14.11“R” Snap Share Class USD 1,037 12.89 12.69 12.07 13,373 12,918 12,071 13.60


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


36

GIVI Growth and Emerging Markets Equity PortfolioBase Accumulation Close Share Class USD 1,000 11.81 11.40 11.21 11,808 11,396 11,221 12.46Base Accumulation Snap Share Class USD 1,000 11.83 11.40 11.21 11,832 11,400 11,213 12.48Base Snap Share Class USD 1,035 11.37 11.16 11.16 11,773 11,343 11,159 12.00“E” Accumulation Snap Share Class EUR 3,399 13.53 11.51 10.40 45,978 141,218 804,962 14.07“I” Accumulation Close Share Class USD 456,855 12.03 11.57 11.32 5,496,540 5,189,550 4,478,713 12.03“R” Accumulation Snap Share Class USD 5,672 11.22 10.78 10.54 63,620 61,124 59,787 11.84“R” Snap Share Class USD 1,047 10.72 10.55 10.54 11,217 10,775 10,537 11.31

Sector Equity Portfolio

North American Shale Revolution & Energy Infrastructure PortfolioBase Accumulation Share Class USD 15,313,270 9.46 9.72 — 144,864,089 220,388,820 — 9.98Base Currency Share Class USD 1,096,776 9.33 9.73 — 10,228,863 15,033,532 — 9.84“E” Accumulation Share Class EUR 634,451 11.78 10.72 — 7,475,892 11,127,355 — 12.25“I” Accumulation Share Class USD 2,607,887 9.60 9.80 — 25,031,566 30,493,569 — 9.60“I” Share Class USD 1,921,796 9.37 9.80 — 18,005,372 10,280,401 — 9.37“P” Accumulation Share Class USD — — — — — — — —“P” Accumulation Share Class USD 13,296,254 8.97 9.18 — 119,231,935 147,159,925 — 8.97“P” Share Class USD — — — — — — — —“P” Share Class USD 3,001,603 8.84 9.18 — 26,538,248 33,942,555 — 8.84“R” Accumulation Share Class USD 740,041 9.57 9.79 — 7,080,565 11,654,272 — 9.57“R” Share Class USD 885,739 9.37 9.79 — 8,297,585 10,881,790 — 9.37

Fixed Income Portfolios

Euro Fixed Income PortfolioBase Accumulation Share Class EUR 29,212 14.52 14.36 13.31 424,154 536,362 178,701 15.32Base Currency Share Class EUR 99,818 10.03 10.05 9.47 1,001,596 1,104,047 4,877,017 10.58“A” Share Class EUR 274,864 11.76 11.76 11.07 3,231,546 3,618,712 2,691,038 12.23“E” Accumulation Share Class EUR 290,235 14.36 14.22 13.22 4,167,539 2,328,758 682,336 14.93“I” Accumulation Share Class EUR 173,285 15.02 14.81 13.67 2,601,912 2,221,167 2,042,561 15.02“I” Share Class EUR 534,675 11.72 11.76 11.26 6,265,139 5,738,379 11,623 11.72“P” Accumulation Share Class EUR 16,832 15.18 14.99 13.85 255,558 278,391 1,462,761 15.18“P” Share Class EUR 1,067 11.86 11.89 11.19 12,647 12,486 11,545 11.86“R” Accumulation Share Class EUR 1,000 11.48 11.33 10.46 11,482 11,328 10,461 12.11“R” Share Class EUR 1,037 11.07 11.11 10.46 11,478 11,324 10,456 11.68

Euro Short Duration Bond PortfolioBase Accumulation Share Class EUR 18,885 10.17 10.09 — 192,024 190,574 — 10.73Base Currency Share Class EUR 1,003 10.14 10.09 — 10,165 10,089 — 10.70“E” Accumulation Share Class EUR 3,188 10.13 10.07 — 32,305 10,071 — 10.54“I” Accumulation Share Class EUR 723,016 10.22 10.12 — 7,390,148 7,320,089 — 10.22“I” Share Class EUR 1,006 10.16 10.12 — 10,220 10,124 — 10.16“P” Accumulation Share Class EUR 408,376 10.14 10.05 — 4,141,899 2,619,154 — 10.14“P” Share Class EUR 1,005 10.09 10.05 — 10,134 10,046 — 10.09“R” Accumulation Share Class EUR 49,211 10.22 10.12 — 502,717 951,696 — 10.22“R” Share Class EUR 39,322 10.15 10.11 — 399,119 363,391 — 10.15

Europe High Yield Bond PortfolioBase Accumulation Share Class EUR 170 104.08 100.45 — 17,693 10,045 — 109.80Base Accumulation Share Class

(USD Hedged Class) USD 1,000 104.39 100.70 — 104,433 135,324 — 104.39Base Currency Share Class EUR 101 102.74 100.45 — 10,408 10,045 — 108.39“E” Accumulation Share Class EUR 7,088 103.49 100.19 — 733,564 310,300 — 107.63“I” Accumulation Share Class EUR 2,805,896 104.62 100.68 — 293,566,147 156,939,986 — 104.62“I” Share Class EUR 16,182 103.03 100.69 — 1,667,252 3,680,683 — 103.03“P” (Dis) (Monthly) Share Class

(USD Hedged Class) USD 15,108 101.29 99.27 — 1,530,317 7,497,868 — 101.29“P” Accumulation Share Class EUR 43,790 104.38 100.58 — 4,570,551 3,039,813 — 104.38“P” Accumulation Share Class

(USD Hedged Class) USD 190,484 104.59 100.67 — 19,922,754 32,143,881 — 104.59“P” Share Class EUR 41,739 102.90 100.58 — 4,294,801 4,175,125 — 102.90“R” Accumulation Share Class EUR 9,589 104.57 100.68 — 1,002,691 239,391 — 104.57“R” Share Class EUR 102 103.00 100.68 — 10,458 10,068 — 103.00“R” Share Class (GBP Hedged Class) GBP 1,015 103.51 100.89 — 105,082 100,892 — 103.51

Global Credit Portfolio (Hedged)Base Accumulation Share Class USD 224,349 13.84 13.68 12.92 3,105,330 5,599,431 1,135,859 14.60Base Currency Share Class USD 551,832 10.75 10.84 10.46 5,930,174 5,818,459 3,266,178 11.34Other Currency Accumulation Share Class

(SEK Hedged Class) SEK 6,630 103.82 102.81 — 688,342 681,689 — 103.82“A” Share Class USD 15,288 10.82 10.90 10.52 165,431 248,917 247,160 11.25“E” Accumulation Share Class

(EUR Hedged Class) EUR 1,845,652 15.05 14.92 14.13 27,774,695 31,568,543 22,969,945 15.65“I” (Dis) (Quarterly) Share Class

(Duration Hedged Class) USD 2,569,802 9.78 9.93 10.01 25,140,195 31,027,659 5,734,963 9.78“I” Accumulation Share Class USD 792,527 11.75 11.57 10.84 9,310,143 10,855,015 4,009,086 11.75“I” Accumulation Share Class (CHF Hedged Class) CHF 3,710,878 12.59 12.48 11.73 46,718,034 37,533,037 24,830,385 12.59“I” Accumulation Share Class (EUR Hedged Class) EUR 9,169,682 14.08 13.89 13.03 129,101,097 104,356,820 59,361,966 14.08“I” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 7,626 10.25 10.27 10.10 78,168 158,769,558 155,764,395 10.25“I” Share Class (GBP Hedged Class) GBP 1,447,124 10.37 10.50 9.99 15,010,660 7,291,259 1,144,275 10.37“IO” Accumulation Share Class USD 1,375,175 11.18 11.00 10.28 15,379,635 21,124,147 5,960,512 11.18“IO” Accumulation Share Class

(GBP Hedged Class) (Duration Hedged Class)(b) GBP 609,920 10.00 — — 6,099,000 — — 10.00“IO” Share Class USD 191,934 10.20 10.15 — 1,957,215 899,410 — 10.20“P” Accumulation Share Class USD 4,089,923 14.19 13.99 13.14 58,040,545 70,221,997 75,504,186 14.19


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


37

Global Credit Portfolio (Hedged) – (continued)“P” Accumulation Share Class

(Duration Hedged Class) USD 21,332,622 10.26 10.29 10.12 218,930,752 96,169,867 2,770,322 10.26“P” Accumulation Share Class

(EUR Hedged Class) EUR 5,550,065 16.06 15.86 14.90 89,157,530 114,908,944 117,050,127 16.06“P” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 1,745,466 10.12 10.16 10.01 17,672,583 25,379,545 12,902,526 10.12

“P” Accumulation Share Class (GBP Hedged Class) GBP 658,628 11.28 11.10 10.40 7,427,980 7,978,760 3,600,384 11.28

“P” Share Class USD 1,065,055 11.70 11.83 11.43 12,465,322 18,773,312 47,164,914 11.70“P” Share Class (EUR Hedged Class) EUR 149,018 10.14 10.10 — 1,510,890 1,494,729 — 10.14“P” Share Class (GBP Hedged Class) GBP 1,724,508 11.13 11.25 10.82 19,201,430 47,254,614 64,931,288 11.13“R” Accumulation Share Class USD 1,267,522 10.93 10.78 10.12 13,857,933 19,881,684 8,313,449 11.53“R” Accumulation Share Class

(Duration Hedged Class) USD 2,004,233 10.15 10.18 10.01 20,348,523 17,439,905 7,028,337 10.71“R” Accumulation Share Class

(EUR Hedged Class) EUR 508,198 10.89 10.76 10.10 5,536,665 9,629,502 13,060,304 11.49“R” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 4,235,077 10.25 10.28 10.12 43,403,036 43,085,159 32,194,669 10.81

“R” Share Class USD 2,694,431 10.37 10.49 10.11 27,942,691 16,839,704 6,470,486 10.94“R” Share Class (EUR Hedged Class) EUR 258,450 10.09 10.02 — 2,608,503 2,714,995 — 10.09“R” Share Class (GBP Hedged Class) GBP 971,872 10.44 10.56 10.15 10,150,885 20,037,420 10,190,329 11.01“R” Share Class (GBP Hedged Class)

(Duration Hedged Class) GBP 972,238 9.96 10.26 10.11 9,686,553 9,731,612 6,810,187 10.51Global Fixed Income Portfolio

Base Accumulation Share Class USD 597,273 13.81 14.34 14.45 8,245,551 9,127,635 13,599,583 14.57Base Currency Share Class USD 183,125 15.58 16.42 16.83 2,853,157 3,496,619 6,525,458 16.44“A” Share Class USD 1,940,960 12.14 12.78 13.10 23,567,069 25,452,049 28,878,221 12.63“B” Share Class USD 119 12.32 12.88 13.20 1,466 1,532 1,564 12.32“E” Accumulation Share Class EUR 210,723 7.26 6.66 6.17 1,529,547 1,188,624 1,600,146 7.55“I” Accumulation Share Class EUR 1,372,545 16.43 15.00 13.76 22,544,061 14,277,889 6,803,172 16.43“I” Share Class USD 4,036,484 13.08 13.84 14.19 52,801,322 60,871,318 181,621,444 13.08“IO” Accumulation Share Class USD 1,725,051 13.38 13.82 13.79 23,073,968 32,462,590 7,604,248 13.38“P” Accumulation Share Class USD 282,991 12.15 12.58 12.61 3,439,719 2,418,191 11,185,375 12.15“P” Share Class USD 586,301 10.38 10.98 11.26 6,086,898 6,094,457 7,381,903 10.38“R” Accumulation Share Class USD 98 9.53 9.86 9.88 931 7,541,582 5,696,507 10.05“R” Share Class USD 291,403 9.13 9.65 9.89 2,659,577 9,872 9,886 9.63

Global Fixed Income Portfolio (Hedged)Base Accumulation Share Class EUR 414,856 13.38 13.31 12.72 5,552,622 4,295,319 1,880,872 14.12Base Currency Share Class EUR 19,336 11.33 11.40 11.02 219,150 217,877 88,549 11.95“E” Accumulation Share Class EUR 174,123 13.07 13.01 12.46 2,275,612 1,878,873 1,345,338 13.59“I” Accumulation Share Class EUR 1,298,161 13.64 13.51 12.82 17,703,647 21,532,177 33,781,094 13.64“I” Share Class EUR 5,925,163 5.30 5.36 5.17 31,432,682 31,738,077 29,574,040 5.30“IO” Accumulation Share Class

(USD Hedged Class) USD 224,796 10.86 10.72 10.13 2,441,558 72,002 7,080,810 10.86“IO” Share Class (USD Hedged Class) USD 1,828,363 10.20 10.15 — 18,647,495 13,407,586 — 10.20“IXO” (Dis) (Monthly) Share Class

(USD Hedged Class)(b) USD 1,280,530 9.88 — — 12,656,636 — — 9.88“P” Accumulation Share Class EUR 6,548,265 13.38 13.26 12.60 87,609,301 75,334,316 82,019,669 13.38“P” Accumulation Share Class

(CHF Hedged Class) CHF 656,600 10.68 10.65 10.14 7,014,052 11,192,970 10,470,900 10.68“P” Share Class EUR 850,778 11.92 12.03 11.63 10,143,735 3,224,982 603,966 11.92“P” Share Class (GBP Hedged Class) GBP 3,230,671 11.25 11.32 10.90 36,357,817 36,391,538 40,326,886 11.25“P” Share Class (USD Hedged Class) USD 8,323,884 11.11 11.18 10.80 92,513,812 88,300,955 51,862,328 11.11“R” Accumulation Share Class EUR 1,002,722 10.73 10.64 10.10 10,760,846 8,558,810 14,084,710 11.32“R” Accumulation Share Class

(USD Hedged Class) USD 1,841,796 10.16 10.05 — 18,705,002 6,224,478 — 10.16“R” Share Class EUR 183,513 10.34 10.44 10.09 1,898,377 1,184,745 1,521,307 10.91“R” Share Class (GBP Hedged Class) GBP 3,678,489 10.45 10.51 10.12 38,447,544 24,890,171 12,183,588 11.02“R” Share Class (USD Hedged Class) USD 2,426,952 10.39 10.45 10.10 25,212,747 16,333,142 5,272,296 10.96

Global High Yield PortfolioBase Accumulation Share Class USD 26,278,821 18.35 18.05 17.40 482,255,795 448,669,278 473,407,734 19.36Base Accumulation Share Class

(Duration Hedged Class) USD 44,501,936 11.61 11.57 11.43 516,825,024 791,677,475 321,345,856 12.25Base Accumulation Share Class

(SEK Hedged Class) SEK 386,719 136.68 134.59 129.21 52,857,090 45,051,386 41,129,735 144.20Base Currency (Dis) (Monthly) Share Class USD 5,138,410 10.12 10.19 10.30 52,005,692 61,244,437 42,169,176 10.68Base Currency (Dis) (Monthly) Share Class

(Duration Hedged Class) USD 13,473,962 9.49 9.68 10.04 127,911,619 241,131,599 49,154,578 10.01Base Currency Share Class USD 34,519,734 8.39 8.67 8.81 289,665,331 320,137,654 390,332,783 8.85Base Currency Share Class

(Duration Hedged Class) USD 28,292,044 9.63 10.08 10.52 272,468,608 388,406,005 176,871,468 10.16Other Currency (Dis) (Monthly) Share Class

(AUD Hedged Class)(b) AUD 464,101 10.05 — — 4,666,049 — — 10.60Other Currency (Dis) (Monthly) Share Class

(HKD Hedged Class) (Duration Hedged Class) HKD 1,176,119 94.88 96.75 100.58 111,590,456 246,192,380 15,752,253 100.10Other Currency (Dis) (Monthly) Share Class

(RMB Hedged Class) (Duration Hedged Class) CNH 208,292 96.00 96.03 — 19,996,064 39,704,707 — 96.00


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


38

Global High Yield Portfolio – (continued)Other Currency (Dis) (Quarterly) Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 164,064 9.63 9.86 10.23 1,580,258 1,281,771 102,158 10.16Other Currency (Dis) (Quarterly) Share Class

(SGD Hedged Class) (Duration Hedged Class) SGD 6,032,604 9.66 9.82 10.18 58,245,646 78,608,127 29,945,562 10.19Other Currency Accumulation Share Class


(EUR Hedged Class) (Duration Hedged Class) EUR 4,100,302 11.54 11.52 11.39 47,325,315 109,175,625 47,742,533 12.17Other Currency Accumulation Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 348,023 10.31 10.32 10.23 3,588,846 2,747,288 101,785 10.88Other Currency Share Class (CHF Hedged Class) CHF 891,172 9.97 10.02 — 8,887,817 5,650,271 — 9.97Other Currency Share Class (GBP Hedged Class) GBP 3,332,954 11.65 12.06 12.19 38,834,773 31,903,135 23,156,368 12.29Other Currency Share Class (SGD Hedged Class) SGD 189,974 10.69 11.03 11.22 2,030,009 2,410,458 2,761,148 11.28“A” (Dis) (Monthly) Share Class USD 3,688,236 10.04 10.11 10.23 37,046,797 38,383,644 29,510,380 10.44“A” Share Class USD 17,034,545 10.16 10.48 10.67 173,035,209 193,860,835 218,178,299 10.57“B” Share Class USD 3,817 6.14 6.31 6.42 23,433 131,962 159,137 6.14“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 4,022,415 10.18 10.28 10.41 40,932,850 63,082,166 77,198,592 10.59“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 3,355,101 9.56 9.78 10.15 32,060,927 47,678,091 36,488,562 9.94“E” Accumulation Share Class EUR 2,605,734 27.75 24.13 21.43 72,317,183 65,635,242 79,021,520 28.86“E” Accumulation Share Class (EUR Hedged Class) EUR 6,216,032 13.76 13.59 13.17 85,539,747 126,421,087 163,935,969 14.31“E” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 3,771,864 11.34 11.34 11.27 42,759,878 63,151,927 35,429,111 11.79“E” Share Class (EUR Hedged Class) EUR 17,279,292 7.12 7.41 7.53 123,079,505 343,082,132 437,680,250 7.40“I” (Dis) (Monthly) Share Class USD 29,710,948 9.73 9.80 — 289,156,920 291,127,173 — 9.73“I” Accumulation Share Class USD 64,104,682 17.07 16.73 16.02 1,094,444,599 846,878,752 1,032,038,821 17.07“I” Accumulation Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 10,097 10.45 10.40 10.24 105,480 104,999 103,394 10.45“I” Accumulation Share Class

(Duration Hedged Class) USD 18,062,674 12.80 12.71 12.48 231,261,024 318,301,591 175,413,765 12.80“I” Accumulation Share Class (EUR Hedged Class) EUR 37,722,802 16.48 16.18 15.50 621,831,178 247,705,525 455,292,573 16.48“I” Accumulation Share Class (GBP Hedged Class) GBP 363,904 19.55 19.14 18.27 7,116,021 252,347 2,335,391 19.55“I” Share Class USD 38,098,941 10.71 11.11 11.31 408,146,816 513,376,970 668,086,221 10.71“I” Share Class (EUR Hedged Class) EUR 3,600,622 12.61 13.17 13.52 45,399,590 52,768,934 211,584,024 12.61“I” Share Class (GBP Hedged Class) GBP 10,379,181 9.98 10.37 10.50 103,557,800 127,338,625 184,594,186 9.98“I” Share Class (GBP Hedged Class)

(Duration Hedged Class) GBP 2,438,910 9.71 10.24 10.60 23,686,516 51,527 16,481,617 9.71“I” Share Class EUR 17,027,184 12.41 11.13 — 211,242,734 191,786,173 — 12.41“IO” (Dis) (Quarterly) Share Class

(AUD Hedged Class) AUD 1,757,917 10.48 10.46 10.33 18,424,555 17,177,129 18,031,297 10.48“IO” Accumulation Share Class USD 3,453,911 17.52 17.12 16.29 60,519,458 244,708,547 276,389,991 17.52“IO” Accumulation Share Class

(Duration Hedged Class) USD 180,608 10.60 10.49 10.21 1,914,887 72,506,300 23,116,544 10.60“IO” Accumulation Share Class (EUR Hedged Class) EUR 10,000 17.51 17.13 16.31 175,051 171,317 163,140 17.51“IO” Accumulation Share Class (GBP Hedged Class) GBP 670,008 17.39 16.97 16.11 11,648,370 11,980,527 21,228,101 17.39“IO” Share Class USD 40,549,887 8.84 9.19 9.37 358,330,607 417,492,613 482,655,033 8.84“IO” Share Class (Duration Hedged Class) USD 79,521 9.83 9.90 — 781,443 1,690,412 — 9.83“IS” Accumulation Share Class USD 50,935,627 10.23 10.02 — 521,145,337 632,399,059 — 10.23“IS” Accumulation Share Class (CHF Hedged Class) CHF 41,850,211 10.15 10.00 — 424,742,695 523,034,770 — 10.15“IS” Accumulation Share Class (EUR Hedged Class) EUR 39,045,068 10.20 10.01 — 398,306,789 438,392,720 — 10.20“IS” Accumulation Share Class (GBP Hedged Class) GBP 10,000 10.25 10.03 — 102,507 100,314 — 10.25“IS” Accumulation Share Class (SGD Hedged Class) SGD 646,508 10.27 10.02 — 6,637,018 8,112,757 — 10.27“IS” Share Class (GBP Hedged Class) GBP 1,609,136 10.07 10.02 — 16,201,665 17,986,446 — 10.07“IS” Share Class USD 3,991,231 9.96 9.95 — 39,762,083 49,003,803 — 9.96“IX” Share Class (JPY Hedged Class) JPY 38,225,702 1,028.74 1,037.48 1,053.06 39,324,148,119 41,971,126,320 50,219,725,780 1,028.74“R” (Dis) (Quarterly) Share Class

(EUR Hedged Class) (Duration Hedged Class)(b) EUR 10,205 9.99 — — 101,913 — — 10.54“R” Accumulation Share Class USD 5,920,726 11.59 11.37 10.90 68,605,346 44,295,294 136,996,187 12.23“R” Accumulation Share Class (CHF Hedged Class) CHF 16,863 10.60 10.44 10.05 178,772 268,498 137,982,960 11.18“R” Accumulation Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 317,919 10.41 10.38 10.24 3,309,026 777,096 101,981 10.98“R” Accumulation Share Class

(Duration Hedged Class)(b) USD 1,257 10.12 — — 12,723 — — 10.68“R” Accumulation Share Class

(EUR Hedged Class) EUR 1,912,345 11.49 11.29 10.84 21,970,676 34,737,908 146,679,167 12.12“R” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 1,845,003 10.70 10.65 10.48 19,733,747 48,854,229 12,774,855 11.29“R” Share Class USD 5,303,145 10.34 10.71 10.89 54,844,106 44,369,090 36,878,625 10.91“R” Share Class (CHF Hedged Class)(b) CHF 11,871 10.13 — — 120,297 — — 10.69“R” Share Class (Duration Hedged Class) USD 10,434,305 9.62 10.10 10.23 100,356,639 47,434,068 48,371,342 10.15“R” Share Class (EUR Hedged Class) EUR 1,744,818 10.24 10.68 10.84 17,863,318 16,196,074 2,602,956 10.80“R” Share Class (GBP Hedged Class) GBP 13,484,069 10.37 10.76 10.89 139,763,683 121,542,585 6,604,595 10.94

Global Sovereign Bond PortfolioBase Currency Share Class(b) USD 100 99.07 — — 9,907 — — 104.52Base Accumulation Share Class(b) USD 100 99.08 — — 9,908 — — 104.53“I” Share Class(b) USD 100 99.09 — — 9,909 — — 99.09“I” Accumulation Share Class(b) USD 100 99.09 — — 9,909 — — 99.09“I” Accumulation Share Class

(EUR Partially Hedged Class)(b) EUR 951,662 99.18 — — 94,388,061 — — 99.18


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


39

Growth & Emerging Markets Corporate Bond PortfolioBase Accumulation Share Class USD 429,906 126.17 122.65 115.74 54,240,725 4,973,694 815,250 133.11Base Currency Share Class USD 17,662 111.34 112.05 109.25 1,966,387 2,619,380 2,714,236 117.46Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 120,160 125.85 122.54 115.68 15,121,596 18,241,627 6,757,472 132.77Other Currency Share Class

(EUR Hedged Class) EUR 74,910 110.71 111.96 109.09 8,293,163 8,979,473 9,133,616 116.80Other Currency Share Class

(GBP Hedged Class) GBP 4,922 112.31 113.14 109.86 552,751 489,368 463,939 118.49“A” Share Class USD 12,589 111.20 111.77 108.97 1,399,826 1,854,388 1,558,024 115.65“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 12,159 103.56 102.63 100.32 1,259,182 1,871,578 2,093,135 107.70“E” Accumulation Share Class

(EUR Hedged Class) EUR 14,194 123.40 120.42 114.29 1,751,550 4,621,838 6,091,920 128.34“I” Accumulation Share Class USD 496,065 129.16 125.18 117.43 64,069,948 27,395,016 6,187,649 129.16“I” Accumulation Share Class

(EUR Hedged Class) EUR 109,781 128.92 125.09 117.39 14,152,730 22,248,074 14,593,086 128.92“I” Accumulation Share Class

(GBP Hedged Class)(b) GBP 270,413 103.02 — — 27,859,010 — — 103.02“I” Share Class USD 1,024 111.69 112.74 109.94 114,328 194,074 11,273 111.69“I” Share Class (EUR Hedged Class) EUR 1,114 110.99 112.64 109.72 123,646 120,029 112,632 110.99“IO” Accumulation Share Class(b) USD 700,000 100.10 — — 70,071,907 — — 100.10“IO” Share Class USD 44,447 106.22 107.62 100.40 4,721,128 10,797,279 12,749 106.22“P” Accumulation Share Class USD 48,695 107.64 104.50 98.37 5,241,530 7,086,292 9,801,875 107.64“P” Share Class USD 1,935 100.76 101.53 98.37 194,952 165,009 155,326 100.76“R” Accumulation Share Class USD 260 109.46 106.11 99.58 28,460 27,589 9,958 115.48“R” Share Class USD 1,139 101.29 102.23 99.56 115,377 100,159 93,092 106.86“R” Share Class (GBP Hedged Class) GBP 1,083 102.07 103.16 100.10 110,488 219,669 373,526 107.68

Growth & Emerging Markets Debt Blend PortfolioBase Accumulation Share Class USD 100 88.55 93.04 90.93 8,855 9,304 9,093 93.42Base Currency Share Class USD 112 83.02 91.42 90.94 9,279 659,840 8,366,131 87.59Other Currency Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,000 96.69 95.52 89.44 96,693 95,522 219,708 102.01Other Currency Share Class

(EUR Partially Hedged Class) EUR 1,067 90.69 94.00 89.43 96,748 95,532 89,433 95.68“E” Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,122 95.83 94.79 89.18 107,483 99,358 89,179 99.66“I” Accumulation Share Class USD 100 89.90 94.12 91.32 8,990 29,458,845 9,132 89.90“I” Accumulation Share Class

(GBP Partially Hedged Class)(b) GBP 366,315 98.69 — — 36,150,618 — — 98.69“I” Share Class USD 108 83.39 92.19 91.32 8,988 9,410 21,960,620 83.39“I” Share Class (GBP Partially Hedged Class) GBP 1,079 84.25 92.05 89.19 90,903 93,922 89,193 84.25“IO” Accumulation Share Class

(GBP Partially Hedged Class) GBP 1,200,000 102.62 105.65 — 123,145,565 126,785,154 — 102.62“R” Accumulation Share Class USD 1,263 89.81 94.07 91.29 113,463 108,471 9,129 94.75“R” Share Class USD 1,728 83.36 92.19 91.29 144,024 9,408 9,129 87.94“R” Share Class (GBP Hedged Class) GBP 1,078 84.23 92.01 89.17 90,828 93,863 89,173 88.86

Growth & Emerging Markets Debt Local PortfolioBase Accumulation Share Class USD 880,387 10.99 12.24 12.58 9,671,070 20,653,868 18,835,339 11.59Base Currency (Dis) (Monthly) Share Class USD 2,939 7.18 8.18 8.80 21,100 53,896 50,493 7.57Base Currency Share Class USD 616,702 7.53 8.81 9.43 4,640,873 6,194,837 16,269,574 7.94Other Currency Share Class GBP 1,452,271 7.91 9.03 9.28 11,483,565 10,152,387 11,942,214 8.35“A” Accumulation Share Class USD 318,576 10.76 12.01 12.37 3,428,720 5,432,487 11,314,352 11.19“A” Share Class USD 1,506,290 7.73 9.03 9.66 11,636,334 16,058,778 16,202,157 8.04“E” (Dis) (Quarterly) Share Class EUR 336,380 9.51 9.56 9.42 3,197,360 4,011,372 4,204,629 9.89“E” Accumulation Share Class EUR 873,295 13.13 12.92 12.21 11,469,761 12,443,413 21,917,263 13.66“E” Share Class EUR 742,468 9.54 9.86 9.67 7,080,910 43,585,486 43,401,484 9.92“I” (Dis) (Quarterly) Share Class EUR 7,260,268 10.01 10.08 — 72,692,630 14,860,689 — 10.01“I” Accumulation Share Class EUR 20,292,723 12.84 12.55 11.71 260,528,996 261,214,159 199,934,098 12.84“I” Accumulation Share Class(b) GBP 4,693,189 9.34 — — 43,836,457 — — 9.34“I” Accumulation Share Class USD 43,897,125 11.70 12.96 13.19 513,430,495 586,839,448 339,907,865 11.70“I” Share Class USD 40,192,211 8.07 9.50 10.18 324,540,329 538,511,627 696,782,237 8.07“IO” Accumulation Share Class USD 13,320,252 12.38 13.67 13.81 164,861,602 88,281,908 92,247,737 12.38“IO” Share Class AUD 5,956,404 9.74 10.36 10.24 58,022,893 48,316,939 21,765,591 9.74“IO” Share Class USD 654,635 8.26 9.39 — 5,409,718 7,062,122 — 8.26“IX” Share Class USD 55,344,122 4.17 5.05 6.09 230,755,065 301,687,621 475,062,179 4.17“IXO” Share Class USD 26,431,267 5.44 6.48 7.57 143,845,902 193,988,501 293,292,907 5.44“P” Accumulation Share Class USD 9,341,781 11.92 13.25 13.57 111,348,383 143,018,335 190,112,212 11.92“P” Share Class USD 2,690,064 9.15 10.74 11.49 24,626,850 28,875,254 25,330,647 9.15“R” Accumulation Share Class EUR 638,253 9.57 9.36 8.74 6,108,204 9,679,284 5,640,496 10.10“R” Accumulation Share Class USD 1,405,570 8.07 8.95 9.12 11,342,169 12,997,612 4,804,731 8.51“R” Share Class EUR 110,989 8.58 8.92 8.74 952,840 9,358 80,705 9.05“R” Share Class GBP 372,692 7.65 8.78 9.02 2,850,440 3,367,136 3,030,561 8.07“R” Share Class USD 991,389 7.25 8.53 9.12 7,187,682 17,008,822 11,560,399 7.65


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


40

Growth & Emerging Markets Debt PortfolioBase Accumulation Share Class USD 5,445,252 19.09 19.09 17.50 103,969,093 140,944,191 114,081,303 20.14Base Accumulation Share Class

(Duration Hedged Class) USD 2,475,821 10.76 11.00 10.62 26,650,138 38,140,804 26,281,344 11.35Base Accumulation Share Class

(EUR Hedged Class) EUR 9,109,128 15.49 15.51 14.22 141,092,521 167,530,720 283,847,695 16.34Base Currency (Dis) (Monthly) Share Class USD 1,105,720 10.85 11.08 10.54 11,994,945 9,939,278 598,892 11.45Base Currency Share Class USD 19,681,626 14.40 14.94 14.27 283,442,663 325,431,956 89,470,270 15.19Base Currency Share Class

(Duration Hedged Class) USD 3,906,457 9.35 9.93 9.98 36,543,963 21,530,717 21,337,269 9.86Other Currency Accumulation Share Class

(CHF Hedged Class)(b) CHF 10,653 10.19 — — 108,533 — — 10.75Other Currency Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 40,536,318 10.70 10.96 10.58 433,763,379 489,249,084 7,228,622 11.29Other Currency Share Class (EUR Hedged Class) EUR 2,585,457 10.13 10.57 10.08 26,196,519 23,152,844 7,298,110 10.69Other Currency Share Class (SGD Hedged Class) SGD 344,723 10.89 11.28 10.77 3,753,311 4,176,146 1,394,831 11.49“A” (Dis) (Monthly) Share Class USD 2,548,929 10.71 10.94 10.40 27,292,946 22,620,857 3,366,069 11.14“A” Share Class USD 4,260,207 17.07 17.69 16.85 72,704,299 68,164,815 30,565,204 17.75“B” Share Class USD 3,324 16.93 17.44 16.64 56,280 570,299 103,931 16.93“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 465,485 10.84 11.09 10.57 5,047,424 5,394,138 4,856,763 11.27“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 1,532,846 9.18 9.60 9.63 14,070,964 18,163,842 12,273,246 9.55“E” Accumulation Share Class EUR 4,104,932 23.05 20.38 17.21 94,601,353 70,640,949 31,715,095 23.97“E” Accumulation Share Class

(EUR Hedged Class) EUR 2,824,698 12.08 12.14 11.18 34,130,009 43,047,841 32,938,101 12.56“E” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 902,785 10.51 10.78 10.46 9,486,303 18,229,967 9,149,687 10.93“I” (Dis) (Quarterly) Share Class

(CHF Hedged Class)(b) CHF 5,591,048 9.87 — — 55,190,172 — — 9.87“I” Accumulation Share Class USD 66,456,142 13.29 13.25 12.06 883,254,257 299,126,305 88,679,771 13.29“I” Accumulation Share Class

(Duration Hedged Class)(b) EUR 3,507,049 10.04 — — 35,227,757 — — 10.04“I” Accumulation Share Class


(EUR Hedged Class) (Duration Hedged Class) EUR 12,677 9.63 9.83 — 122,144 124,799 — 9.63“I” Share Class USD 9,264,404 18.07 18.81 17.96 167,387,146 331,616,726 331,613,885 18.07“I” Share Class (EUR Hedged Class) EUR 21,654,492 10.35 10.84 10.34 224,183,834 297,092,529 207,073,229 10.35“I” Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 22,734,813 9.57 10.26 10.02 217,637,348 214,152,289 77,738,790 9.57“I” Share Class (GBP Hedged Class) GBP 1,918,712 11.52 12.01 11.44 22,104,625 27,642,048 30,659,814 11.52“I” Share Class (GBP Hedged Class)

(Duration Hedged Class) GBP 1,269,823 9.40 10.03 10.03 11,937,891 4,898,307 4,685,437 9.40“IO” Accumulation Share Class USD 3,572,731 18.03 17.90 16.18 64,414,642 54,006,815 25,056,812 18.03“IO” Accumulation Share Class

(EUR Hedged Class) EUR 10,000 17.17 17.05 15.41 171,679 170,541 154,103 17.17“IO” Accumulation Share Class

(GBP Hedged Class) GBP 502,479 17.22 17.05 15.37 8,651,076 8,562,995 7,047,420 17.22“IO” Share Class USD 358,219 12.70 13.29 12.70 4,548,747 2,845,359 136,830,542 12.70“IS” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 52,312,022 9.85 10.01 — 515,064,816 523,411,332 — 9.85“IX” Share Class USD 1,446,348 7.29 7.73 7.98 10,538,858 13,160,711 18,236,617 7.29“R” Accumulation Share Class EUR 228,517 12.34 10.86 9.07 2,819,354 4,860,427 548,101 13.02“R” Accumulation Share Class USD 5,460,955 10.44 10.42 9.50 57,029,062 40,082,084 95,498,069 11.01“R” Accumulation Share Class

(CHF Hedged Class)(b) CHF 10,751 10.20 — — 109,646 — — 10.76“R” Accumulation Share Class

(EUR Hedged Class) EUR 6,738,486 10.35 10.34 9.43 69,762,964 38,732,220 5,312,101 10.92“R” Share Class USD 17,984,645 9.57 9.96 9.50 172,118,548 148,228,496 28,208,609 10.10“R” Share Class (EUR Hedged Class) EUR 4,198,122 9.47 9.90 9.44 39,748,058 17,411,017 1,337,740 9.99“R” Share Class (GBP Hedged Class) GBP 7,344,010 9.57 9.97 9.47 70,291,188 41,854,791 94,738 10.10“R” Share Class (GBP Hedged Class)

(Duration Hedged Class) GBP 115,243 9.32 9.94 9.94 1,074,174 701,359 99,417 9.83Liberty Harbor Opportunistic Corporate

Bond PortfolioBase Accumulation Share Class USD 46,126 112.53 111.36 110.52 5,190,771 8,586,448 9,452,488 118.72Base Currency (Dis) (Quarterly) Share Class USD 106 104.69 105.14 107.21 11,098 10,982 10,899 110.45Base Currency Share Class USD 11,176 104.29 106.14 108.47 1,165,564 1,557,710 5,341,554 110.03Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 35,113 111.80 110.80 110.03 3,925,709 2,256,946 2,045,807 117.95Other Currency (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 181 102.74 103.17 105.26 18,590 345,838 107,621 108.39“A” (Dis) (Quarterly) Share Class USD 26,383 103.28 103.73 105.76 2,724,700 6,297,599 5,175,681 107.41“E” Accumulation Share Class

(EUR Hedged Class) EUR 31,272 110.06 109.37 109.15 3,441,942 12,048,628 9,609,509 114.46“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 18,366 100.52 101.16 103.20 1,846,150 3,972,507 3,523,155 104.54“I” (Dis) (Quarterly) Share Class

(GBP Hedged Class) GBP 2,200 104.60 104.69 106.43 230,157 21,688,551 21,266,035 104.60


Goldman Sachs Funds


As at 31 May 2015

Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


41

Goldman Sachs Funds


As at 31 May 2015

Liberty Harbor Opportunistic Corporate Bond Portfolio – (continued)“I” Accumulation Share Class USD 177,407 115.62 113.93 112.11 20,511,898 26,044,945 36,002,901 115.62“I” Accumulation Share Class (EUR Hedged Class) EUR 38,140 114.87 113.35 111.58 4,381,272 4,653,541 111,584 114.87“I” Share Class USD 108 104.73 107.08 109.44 11,289 11,123 10,944 104.73“IXO” (Dis) (Monthly) Share Class USD 10,526 92.63 94.90 — 975,010 1,255,644 — 92.63“P” (Dis) (Quarterly) Share Class USD 8,209 102.13 102.58 104.59 838,397 834,531 4,261,398 102.13“P” Accumulation Share Class USD 925,537 114.39 112.91 111.50 105,870,778 152,588,138 143,266,186 114.39“P” Accumulation Share Class (EUR Hedged Class) EUR 63,783 113.59 112.30 110.94 7,245,044 15,647,892 8,949,865 113.59“P” Share Class USD 23,435 104.55 106.71 109.07 2,450,257 2,367,706 7,163,142 104.55“P” Share Class (EUR Hedged Class) EUR 3,447 103.65 106.27 108.54 357,310 353,251 869,920 103.65“P” Share Class (GBP Hedged Class) GBP 40,857 105.18 107.45 109.36 4,297,254 4,379,117 3,813,773 105.18“R” (Dis) (Quarterly) Share Class USD 2,769 99.85 100.29 102.25 276,473 272,503 268,280 105.34“R” Accumulation Share Class USD 37,555 108.48 106.93 105.27 4,074,161 3,768,338 369,196 114.45“R” Accumulation Share Class (EUR Hedged Class) EUR 30,929 108.98 107.56 105.94 3,370,642 3,185,643 105,941 114.97“R” Share Class USD 107 100.86 103.10 105.27 10,840 62,232 1,563,681 106.41“R” Share Class (EUR Hedged Class) EUR 6,680 101.04 103.79 105.95 674,983 443,708 430,373 106.60“R” Share Class (GBP Hedged Class) GBP 4,457 102.25 104.65 106.42 455,763 539,110 528,368 107.87

Sterling Broad Fixed Income PortfolioBase Accumulation Share Class GBP 158,167 14.77 14.49 13.23 2,335,661 5,880,936 346,726 15.58Base Currency Share Class GBP 249,410 8.91 8.91 8.29 2,221,932 2,211,117 3,419,503 9.40“I” Share Class GBP 1,231,210 12.66 12.70 11.82 15,582,111 17,352,098 42,683,379 12.66“IO” Accumulation Share Class GBP 3,637,568 17.28 16.88 15.25 62,860,522 61,543,134 189,047,001 17.28“P” Share Class GBP 144,183 13.90 13.94 12.91 2,004,088 1,561,400 1,439,757 13.90“R” Accumulation Share Class GBP 5,051 11.18 10.94 9.93 56,467 32,413 9,929 11.79“R” Share Class GBP 104,450 10.63 10.66 9.92 1,109,849 1,120,608 329,634 11.21

Sterling Credit PortfolioBase Currency Share Class GBP 76,254 143.11 143.84 136.63 10,912,514 11,550,540 10,644,466 150.98“I” (Dis) (Quarterly) Share Class

(Duration Hedged Class)(b) GBP — — 104.51 107.14 — 5,268,466 33,604,439 —“I” Share Class GBP 478,699 138.57 139.60 132.24 66,333,118 62,172,776 19,244,994 138.57“I” Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 415,985 98.73 101.86 104.42 41,068,691 41,542,053 62,398,640 98.73“IO” Accumulation Share Class GBP 1,120,083 176.43 171.30 155.55 197,612,409 189,744,229 172,753,325 176.43“P” Share Class GBP 81,549 143.05 144.01 136.40 11,665,855 13,526,589 14,836,550 143.05“R” Accumulation Share Class GBP 21,410 116.41 113.32 103.43 2,492,337 431,455 293,942 122.81“R” Share Class GBP 173,266 108.27 109.03 103.20 18,759,584 15,711,783 7,960,375 114.22

US Fixed Income PortfolioBase Accumulation Share Class USD 123,497 14.48 14.38 13.85 1,788,609 2,615,938 16,454,160 15.28Base Currency (Dis) (Monthly) Share Class USD 1,044 10.67 10.68 10.47 11,142 11,900 10,654 11.26Base Currency Share Class USD 567,055 11.06 11.18 10.90 6,269,024 8,351,180 17,289,952 11.67“A” (Dis) (Monthly) Share Class USD 95,166 10.67 10.68 10.47 1,015,839 1,018,150 941,302 11.10“A” Share Class USD 280,382 12.79 12.92 12.61 3,586,218 4,425,245 5,495,100 13.30“B” Share Class USD 167,139 11.29 11.34 11.06 1,886,308 1,895,816 1,864,841 11.29“E” Accumulation Share Class EUR 922,825 10.97 9.63 8.52 10,121,517 572,911 281,778 11.41“I” Accumulation Share Class USD 1,117,049 14.47 14.32 13.70 16,164,391 28,420,285 12,576,304 14.47“I” Share Class USD 438,020 11.10 11.28 10.98 4,863,652 3,741,048 17,349,597 11.10“P” (Dis) (Monthly) Share Class USD 1,061 10.67 10.68 10.47 11,319 11,212 10,733 10.67“P” Accumulation Share Class USD 2,026,991 14.44 14.31 13.70 29,279,676 24,471,184 28,999,340 14.44“P” Share Class USD 90,823 12.67 12.85 12.53 1,150,494 1,166,680 1,545,905 12.67“R” Accumulation Share Class USD 228,273 10.49 10.38 9.94 2,394,375 2,370,256 9,938 11.07“R” Share Class USD 1,045 10.04 10.19 9.94 10,495 10,388 1,309,186 10.59

US Mortgage Backed Securities PortfolioBase Accumulation Share Class USD 511,658 15.21 15.02 14.38 7,784,795 11,319,996 11,830,350 16.05Base Currency Share Class USD 5,736,206 2.30 2.33 2.27 13,220,048 14,240,611 33,301,010 2.43“A” Share Class USD 467,140 7.62 7.72 7.50 3,561,407 3,737,268 5,514,124 7.92“E” Accumulation Share Class

(EUR Hedged Class) EUR 113,880 10.34 10.24 9.83 1,177,640 1,937,325 3,242,286 10.75“I” Accumulation Share Class


(GBP Hedged Class) GBP 5,218 13.44 13.21 12.54 70,145 68,941 65,416 13.44“I” Share Class USD 3,570,003 10.39 10.56 10.26 37,100,507 29,944,250 188,072,411 10.39“IO” Share Class USD 6,526,988 10.60 10.79 10.49 69,183,036 61,112,655 122,820,891 10.60“P” Accumulation Share Class USD 1,770,957 13.19 13.00 12.40 23,360,021 15,118,572 13,450,846 13.19“P” Share Class USD 51,586 11.62 11.79 11.47 599,386 542,229 585,660 11.62“R” Accumulation Share Class USD 254,574 10.58 10.42 9.92 2,693,586 10,416 9,917 11.16“R” Accumulation Share Class

(EUR Hedged Class) EUR 10,950 10.53 10.39 9.90 115,301 103,868 98,965 11.11“R” Share Class USD 1,053 10.05 10.20 9.92 10,578 10,415 9,917 10.60

Specialist Portfolios

CoCos & Capital Securities PortfolioBase Accumulation Share Class USD 100 104.49 101.07 — 10,449 10,107 — 110.24Base Currency Share Class USD 102 102.85 101.07 — 10,445 10,107 — 108.51“I” Accumulation Share Class USD 100 105.21 101.40 — 10,521 10,140 — 105.21“IO” Accumulation Share Class USD 1,348,858 105.80 101.68 — 142,711,140 135,840,713 — 105.80


Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


42

Goldman Sachs Funds


As at 31 May 2015

Global Currency Plus PortfolioBase Accumulation Share Class USD 51 96.84 98.55 95.89 4,980 5,068 4,932 102.17Base Currency Share Class USD 411 96.87 98.56 95.90 39,813 33,509 34,338 102.20Base Currency Share Class (EUR Hedged Class) EUR 96 95.41 97.18 94.53 9,130 9,298 9,045 100.66Base Currency Share Class (GBP Hedged Class) GBP 219 97.47 98.96 95.93 21,373 19,150 18,761 102.83Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 462 97.52 99.24 96.54 45,025 45,882 46,870 102.88“A” Accumulation Share Class

(EUR Hedged Class) EUR 2,320 94.23 96.20 93.96 218,593 287,850 449,928 98.00“A” Share Class USD 10,523 93.94 95.77 93.57 988,541 865,142 688,192 97.70“I” Accumulation Share Class USD 104 100.93 102.26 98.46 10,507 10,645 10,249 100.93“I” Accumulation Share Class

(EUR Hedged Class) EUR 152,795 102.67 104.20 100.12 15,687,519 15,910,745 15,239,282 102.67“I” Share Class (GBP Hedged Class) GBP 1,349 105.06 106.20 101.68 141,685 143,222 137,124 105.06“IO” Accumulation Share Class USD — — — 104.44 — — 687,095 —“P” Share Class USD 271 101.54 103.06 99.54 27,480 27,889 28,490 101.54“R” Accumulation Share Class USD 100 102.79 104.16 100.30 10,279 10,416 10,030 108.44“R” Accumulation Share Class

(EUR Hedged Class) EUR 1,000 102.44 103.97 100.12 102,442 103,972 100,121 108.07“R” Share Class USD 100 102.75 104.12 100.28 10,275 10,412 10,028 108.40“R” Share Class (GBP Hedged Class) GBP 1,000 103.66 104.81 100.56 103,665 104,812 100,559 109.36

Global Fixed Income Plus Portfolio (Hedged)Base Accumulation Share Class EUR 835,966 14.42 14.32 13.57 12,051,949 11,809,402 11,487,016 15.21Base Accumulation Share Class

(USD Hedged Class) USD 83,305 14.50 14.38 13.63 1,207,592 1,161,957 1,867,576 15.30Base Currency Share Class EUR 1,560,246 11.62 11.67 11.21 18,126,941 26,374,545 20,818,694 12.26Base Currency Share Class (USD Hedged Class) USD 663,965 10.40 10.43 10.02 6,907,712 4,241,620 4,098,989 10.97“A” Share Class EUR 269,056 12.01 12.05 11.58 3,232,276 3,818,336 2,446,963 12.49“A” Share Class (USD Hedged Class) USD 565,259 12.11 12.13 11.66 6,846,795 5,986,139 5,665,586 12.59“E” Accumulation Share Class EUR 287,065 13.77 13.70 13.02 3,953,447 4,975,414 1,589,583 14.32“I” Accumulation Share Class EUR 10,005,253 14.37 14.24 13.42 143,783,423 82,512,649 54,168,026 14.37“I” Accumulation Share Class

(JPY Hedged Class) JPY 3,196,553 1,063.97 1,055.25 997.26 3,401,051,475 3,374,389,678 3,191,239,667 1,063.97“I” Accumulation Share Class

(USD Hedged Class) USD 4,726,793 14.22 14.07 13.27 67,213,454 45,288,530 27,117,525 14.22“I” Share Class (GBP Hedged Class) GBP 1,414,371 11.40 11.44 10.95 16,128,042 16,917,474 38,704,138 11.40“IO” Accumulation Share Class EUR 1,000 14.98 14.81 13.88 14,985 14,806 14,346 14.98“IO” Accumulation Share Class

(GBP Hedged Class) GBP 100,613 15.26 15.04 14.06 1,535,203 1,467,006 911,792 15.26“IO” Accumulation Share Class

(USD Hedged Class) USD 5,538,404 14.79 14.59 13.68 81,904,979 101,443,210 36,730,308 14.79“IO” Share Class (USD Hedged Class) USD 1,508,266 10.22 10.16 — 15,416,217 10,385,398 — 10.22“P” Accumulation Share Class EUR 185,902 14.70 14.59 13.80 2,732,429 2,259,589 1,985,697 14.70“P” Accumulation Share Class

(USD Hedged Class) USD 707,983 14.58 14.46 13.67 10,325,274 7,774,612 7,920,846 14.58“P” Share Class (GBP Hedged Class) GBP 239,261 12.78 12.81 12.26 3,058,661 4,608,009 7,836,359 12.78“R” Accumulation Share Class EUR 108,827 11.00 10.90 10.28 1,197,352 895,655 495,529 11.61“R” Accumulation Share Class

(USD Hedged Class) USD 1,026,228 11.02 10.91 10.28 11,310,798 7,756,875 1,681,082 11.63“R” Share Class EUR 1,036 10.63 10.70 10.28 11,004 10,903 10,278 11.21“R” Share Class (GBP Hedged Class) GBP 1,121,762 10.74 10.77 10.31 12,043,087 8,809,239 1,185,273 11.33

Global Strategic Income Bond PortfolioBase Accumulation Share Class USD 5,083,965 113.95 114.98 114.35 579,307,679 694,988,490 75,511,286 120.22Base Currency (Dis) (Monthly) Share Class USD 855,830 105.94 108.06 109.01 90,662,727 96,391,775 5,967,756 111.77Base Currency Share Class USD 2,662,872 107.14 109.70 110.62 285,297,256 274,152,341 33,408,865 113.03Other Currency Accumulation Share Class

(CHF Hedged Class) CHF 293,440 100.33 101.57 101.24 29,441,303 23,210,224 34,161,265 105.85Other Currency Accumulation Share Class


(SEK Hedged Class) SEK 2,146,696 100.95 102.04 101.06 216,711,997 210,586,762 695,704 106.50Other Currency (Dis) (Quarterly) Share Class

(SGD Hedged Class) SGD 161,364 98.71 100.29 101.27 15,928,964 21,139,026 2,397,476 104.14Other Currency Share Class

(CHF Hedged Class)(b) CHF 2,245 100.29 — — 225,186 — — 105.81Other Currency Share Class

(EUR Hedged Class) EUR 4,142,948 99.20 101.87 102.06 410,978,065 310,210,684 67,121,695 104.66Other Currency Share Class

(GBP Hedged Class) GBP 41,335 107.97 110.48 111.06 4,463,042 3,897,040 810,030 113.91“A” (Dis) (Monthly) Share Class USD 305,509 105.88 108.00 108.96 32,347,245 35,139,024 5,543,593 110.12“A” Share Class USD 755,131 107.01 109.42 110.36 80,805,429 95,186,727 22,561,920 111.29“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 995,252 106.15 108.33 109.44 105,649,894 168,790,962 120,412,724 110.40“E” Accumulation Share Class (EUR Hedged Class) EUR 1,636,100 111.32 112.76 112.72 182,136,169 287,028,816 168,197,403 115.77“I” (Dis) (Quarterly) Share Class(b) USD 378,786 99.57 — — 37,716,465 — — 99.57“I” (Dis) (Semi-Annual) Share Class

(JPY Hedged Class) JPY 452,742 9,745.35 9,927.25 — 4,412,124,387 1,489,086,893 — 9,745.35“I” Accumulation Share Class USD 5,812,354 117.28 117.88 116.33 681,687,696 819,534,330 400,971,905 117.28“I” Accumulation Share Class (CHF Hedged Class) CHF 735,102 101.50 102.40 101.29 74,610,763 85,437,161 32,506,893 101.50“I” Accumulation Share Class (EUR Hedged Class) EUR 7,640,046 117.08 117.89 116.37 894,473,605 810,626,486 310,180,318 117.08“I” Accumulation Share Class (JPY Hedged Class) JPY 2,114,304 9,896.82 9,962.29 — 20,924,877,484 14,138,849,204 — 9,896.82“I” Accumulation Share Class (SEK Hedged Class) SEK 26,118,947 98.62 99.28 — 2,575,885,249 2,086,677,526 — 98.62“I” Share Class EUR 270,839 121.29 108.49 — 32,849,993 55,171,930 — 121.29“I” Share Class USD 4,789,468 107.59 110.59 111.42 515,300,629 463,176,330 33,570,758 107.59


Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


43

Goldman Sachs Funds


As at 31 May 2015

Global Strategic Income Bond Portfolio – (continued)“I” Share Class (AUD Hedged Class) AUD — — — 122.50 — — 10,191,629 —“I” Share Class (AUD Hedged Class) AUD 1,546,807 101.20 102.39 — 156,530,248 132,285,345 — 101.20“I” Share Class (EUR Hedged Class) EUR 724,709 107.15 110.56 111.31 77,655,423 122,170,316 82,454,009 107.15“I” Share Class (GBP Hedged Class) GBP 3,700,035 108.40 111.43 111.87 401,101,756 45,546,008 2,993,074 108.40“IO” (Dis) (Quarterly) Share Class

(AUD Hedged Class) AUD 234,549 101.56 102.30 100.39 23,821,964 18,098,261 50,197 101.56“IO” Accumulation Share Class USD 2,931,464 103.57 103.90 101.92 303,608,444 334,254,565 17,584,289 103.57“IO” Accumulation Share Class (CAD Hedged Class) CAD 571,429 104.97 104.87 101.97 59,983,110 56,318,395 63,844,760 104.97“IO” Accumulation Share Class (EUR Hedged Class) EUR 1,110,000 98.95 99.25 — 109,830,452 110,167,886 — 98.95“IO” Accumulation Share Class (GBP Hedged Class)(b) GBP 1,164,276 100.91 — — 117,483,006 — — 100.91“IO” Accumulation Share Class (JPY Hedged Class) JPY 261,981 9,949.69 9,985.09 — 2,606,635,304 3,292,396,481 — 9,949.69“IO” Share Class USD 154,394 98.20 99.54 — 15,161,947 12,646,875 — 98.20“IXO” (Dis) (Monthly) Share Class USD 3,724,520 89.40 94.74 99.90 332,968,424 175,218,178 1,910,898 89.40“P” (Dis) (Monthly) Share Class USD 160,917 105.90 108.02 108.98 17,040,848 19,623,461 4,255,609 105.90“P” Accumulation Share Class USD 1,875,239 116.10 116.85 115.62 217,710,760 284,260,392 169,517,849 116.10“P” Accumulation Share Class (EUR Hedged Class) EUR 637,793 115.89 116.84 115.64 73,914,415 97,699,954 60,239,404 115.89“P” Share Class USD 356,807 107.42 110.26 111.09 38,329,745 60,493,291 48,442,514 107.42“P” Share Class (EUR Hedged Class) EUR 117,923 106.98 110.16 110.93 12,615,496 19,091,351 2,383,004 106.98“P” Share Class (GBP Hedged Class) GBP 76,079 108.36 111.21 111.67 8,243,765 10,978,925 12,225,384 108.36“R” (Dis) (Monthly) Share Class(b) USD 102 100.28 — — 10,200 — — 105.80“R” Accumulation Share Class USD 841,883 106.70 107.34 106.11 89,826,422 66,641,073 9,739,683 112.57“R” Accumulation Share Class (CHF Hedged Class)(b) CHF 1,091 100.43 — — 109,575 — — 105.95“R” Accumulation Share Class (EUR Hedged Class) EUR 1,038,924 107.22 108.10 106.88 111,388,423 127,789,912 26,706,355 113.12“R” Share Class USD 381,073 102.57 105.34 106.12 39,087,062 38,279,559 11,124,845 108.21“R” Share Class (EUR Hedged Class) EUR 329,613 102.87 106.07 106.87 33,908,612 29,360,551 5,794,883 108.53“R” Share Class (GBP Hedged Class) GBP 277,650 104.06 106.86 107.33 28,892,996 32,460,377 12,675,652 109.78

Global Strategic Macro Bond PortfolioBase Accumulation Share Class USD 100 99.58 99.20 — 9,958 9,920 — 105.06Base Currency Share Class USD 2,275 99.58 99.20 — 226,549 9,920 — 105.06Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 1,000 99.41 99.17 — 99,413 99,174 — 104.88Other Currency Accumulation Share Class

(SEK Hedged Class)(b) SEK 1,708,317 99.74 — — 170,389,759 — — 105.23“E” Accumulation Share Class (EUR Hedged Class) EUR 1,257 99.11 99.12 — 124,610 99,120 — 103.07“I” Accumulation Share Class (EUR Hedged Class) EUR 377,121 99.59 99.13 — 37,557,980 99,807 — 99.59“I” Accumulation Share Class (GBP Hedged Class) GBP 91,549 100.07 99.29 — 9,161,638 104,254 — 100.07“I” Accumulation Share Class (GBP-Hedged Class)(b) GBP 1,021 100.29 — — 102,382 — — 100.29“I” Accumulation Share Class (SEK Hedged Class)(b) SEK 7,759 100.02 — — 776,026 — — 100.02“I” Accumulation Share Class USD 605,309 99.90 99.25 — 60,470,445 14,253,916 — 99.90“I” Share Class USD 982,552 99.90 99.25 — 98,159,480 14,258,879 — 99.90“I” Share Class (EUR Hedged Class) EUR 666,241 99.66 99.13 — 66,394,345 99,807 — 99.66“IO” Accumulation Share Class(b) USD 28,587 102.52 — — 2,930,690 — — 102.52“P” Accumulation Share Class USD 100 99.73 99.22 — 9,973 9,922 — 99.73“P” Accumulation Share Class (EUR Hedged Class) EUR 1,000 99.57 99.20 — 99,567 99,200 — 99.57“P” Share Class USD 100 99.73 99.22 — 9,973 9,922 — 99.73“R” Accumulation Share Class (EUR Hedged Class) EUR 1,000 99.72 99.23 — 99,719 99,227 — 99.72“R” Share Class (EUR Hedged Class) EUR 5,282 99.71 99.23 — 526,653 99,227 — 99.71“R” Share Class (GBP Hedged Class) GBP 1,000 100.04 99.28 — 100,035 99,285 — 100.04

Sterling Broad Fixed Income Plus PortfolioBase Accumulation Share Class GBP 261,745 15.56 15.24 13.84 4,073,708 5,852,468 361,181 16.42Base Currency Share Class GBP 23,748 8.11 8.07 7.49 192,572 247,437 154,203 8.56“A” Share Class GBP 7,262 12.13 12.05 11.19 88,083 21,672 6,463 12.62“I” Accumulation Share Class GBP 1,053,151 16.69 16.30 14.71 17,578,215 21,824,551 14,434,350 16.69“IO” Accumulation Share Class(b) GBP — — 17.56 15.78 — 223,572,557 200,816,267 —“P” Accumulation Share Class GBP 44,716 16.74 16.37 14.84 748,634 957,936 946,709 16.74“R” Accumulation Share Class GBP 12,200 11.41 11.14 10.06 139,154 66,849 10,059 12.04“R” Share Class GBP 1,049 10.85 10.83 10.04 11,388 11,118 221,174 11.45

Strategic Absolute Return Bond I PortfolioBase Accumulation Share Class USD 64,834 112.06 112.40 113.12 7,265,038 12,357,007 7,549,066 118.22Base Currency Share Class USD 6,153 88.93 90.62 92.32 547,182 569,844 679,970 93.82Base Accumulation Share Class

(EUR Hedged Class) EUR 15,459 110.75 111.29 111.71 1,712,121 7,553,516 7,551,437 116.84Base Currency Share Class (EUR Hedged Class) EUR 6,077 93.32 95.38 97.19 567,054 465,040 609,640 98.45Base Currency Share Class (GBP Hedged Class) GBP 7,388 90.96 92.62 94.07 671,964 885,091 894,279 95.96“A” Share Class USD 8,290 97.98 99.71 101.60 812,207 831,161 49,328 101.90“E” Accumulation Share Class (EUR Hedged Class) EUR 6,509 105.05 105.71 106.40 683,790 1,874,156 569,369 109.25“I” Accumulation Share Class USD 100 109.23 109.26 109.51 10,923 10,926 10,951 109.23“I” Accumulation Share Class (EUR Hedged Class) EUR 504,709 109.63 109.87 110.14 55,329,616 13,388,766 391,176 109.63“I” Share Class (EUR Hedged Class) EUR 722 75.50 77.39 78.78 54,491 54,587 54,521 75.50“I” Share Class (GBP Hedged Class) GBP 750,827 99.62 99.65 — 74,794,422 74,738,714 — 99.62“IO” Accumulation Share Class USD 1,905,688 113.79 113.70 113.26 216,839,788 262,530,214 190,192,220 113.79“IO” Accumulation Share Class (EUR Hedged Class) EUR 2,010,208 108.03 108.10 107.75 217,160,498 228,945,957 102,768,315 108.03“IO” Accumulation Share Class (GBP Hedged Class) GBP 5,449,499 116.77 116.54 115.76 636,360,476 621,076,762 607,794,847 116.77“IO” Accumulation Share Class (JPY Hedged Class) JPY 98,423 10,688.06 10,697.89 10,672.53 1,051,954,325 1,316,929,894 2,953,887,879 10,688.06“IO” Accumulation Share Class (NZD Hedged Class) NZD 1,029,480 120.64 118.36 114.35 124,192,899 117,153,839 191,775,992 120.64“IO” Share Class (AUD Hedged Class)(b) AUD 248,000 101.16 — — 25,088,146 — — 101.16“R” Accumulation Share Class USD 64,056 102.53 102.67 103.03 6,567,895 6,576,724 10,303 108.17“R” Accumulation Share Class (EUR Hedged Class) EUR 1,000 101.91 102.18 102.61 101,910 102,184 102,612 107.52“R” Share Class USD 103 99.73 101.47 103.03 10,256 10,268 10,303 105.22“R” Share Class (EUR Hedged Class) EUR 1,029 99.00 101.01 102.61 101,910 102,184 102,612 104.45“R” Share Class (GBP Hedged Class) GBP 1,029 100.14 101.82 103.02 102,995 102,969 103,025 105.65


Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


44

Goldman Sachs Funds


As at 31 May 2015

Strategic Absolute Return Bond II PortfolioBase Accumulation Share Class USD 157,544 120.21 121.64 123.56 18,938,553 31,214,455 3,312,713 126.82Base Accumulation Share Class

(EUR Hedged Class) EUR 148,356 119.28 120.87 122.79 17,695,697 30,154,935 25,653,124 125.84Base Currency Share Class USD 13,899 103.26 105.74 107.98 1,435,176 1,415,811 1,296,558 108.94Base Currency Share Class (EUR Hedged Class) EUR 1,234 103.20 105.95 108.30 127,359 454,086 2,033,626 108.88Base Currency Share Class (GBP Hedged Class) GBP 31,315 106.55 109.08 111.29 3,336,532 3,541,776 3,866,005 112.41“A” Share Class USD 42,293 107.40 109.91 112.19 4,542,268 14,676,290 2,173,978 111.70“E” Accumulation Share Class

(EUR Hedged Class) EUR 198,427 111.41 113.16 115.39 22,107,177 55,431,068 22,093,404 115.87“I” Accumulation Share Class USD 2,804 126.50 127.66 129.12 354,701 13,124,051 19,378,146 126.50“I” Accumulation Share Class

(EUR Hedged Class) EUR 150,313 126.54 127.91 129.41 19,020,671 43,097,837 27,328,610 126.54“IO” Accumulation Share Class

(GBP Hedged Class) GBP 546 130.26 130.96 130.44 71,110 71,489 71,207 130.26“IO” Accumulation Share Class

(JPY Hedged Class)(b) JPY 150,000 9,854.76 — — 1,478,213,437 — — 9,854.76“IO” Share Class (GBP Hedged Class) GBP 951,961 119.40 123.83 126.73 113,664,304 114,270,825 113,842,018 119.40“R” Accumulation Share Class USD 92,000 103.83 104.80 106.08 9,552,534 10,532,381 10,608 109.54“R” Accumulation Share Class

(EUR Hedged Class) EUR 339,261 103.15 104.36 105.62 34,994,642 35,644,739 1,223,755 108.82“R” Share Class USD 5,805 101.31 103.88 106.06 588,177 602,894 488,186 106.88“R” Share Class (EUR Hedged Class) EUR 5,083 100.55 103.42 105.61 511,160 104,337 277,324 106.08“R” Share Class (GBP Hedged Class) GBP 1,476 101.63 104.16 106.02 149,964 209,225 233,240 107.22

Select Portfolios

Custom Emerging Markets Debt Blend Portfolio“I” Accumulation Share Class ILS 3,800,000 95.40 101.42 — 362,522,541 385,389,702 — 95.40

Global Corporate Portfolio (Hedged)“I” Accumulation Share Class NOK 84,803,700 145.48 143.32 153.78 12,337,486,500 12,149,153,832 11,293,589,803 145.48

Flexible Portfolios

Global Income Builder PortfolioBase Currency (Dis) (Gross Monthly) Share Class USD 1,655 100.74 100.40 — 166,698 48,134 — 100.74Base Accumulation Share Class USD 5,426 105.71 103.23 — 573,583 726,347 — 111.52Base Currency Share Class USD 350 103.86 103.22 — 36,328 35,921 — 109.57Other Currency Share Class

(EUR Partially Hedged Class) EUR 1,859 116.68 108.94 — 216,865 142,296 — 116.68“A” (Dis) (Monthly) Share Class(b) USD 100 100.28 — — 10,028 — — 100.28“E” (Dis) (Quarterly) Share Class

(EUR Partially Hedged Class) EUR 94,221 114.39 106.24 — 10,778,201 6,963,973 — 114.39“E” Accumulation Share Class

(EUR Partially Hedged Class) EUR 91,019 117.98 108.49 — 10,738,855 5,060,210 — 117.98“I” Accumulation Share Class USD 72,766 106.59 103.73 — 7,756,144 8,851,776 — 106.59“I” Share Class USD 44,303 104.22 103.73 — 4,617,412 4,503,233 — 104.22“I” Accumulation Share Class

(EUR Partially Hedged Class) EUR 8,326 113.66 103.73 — 946,261 136,884 — 113.66“P” Accumulation Share Class USD 100 106.05 103.42 — 10,605 10,342 — 106.05“P” Share Class USD 102 104.01 103.42 — 10,605 10,342 — 104.01“R” (Dis) (Gross Monthly) Share Class

(GBP Partially Hedged Class) GBP 430,261 106.47 104.42 — 45,811,385 35,840,849 — 106.47“R” Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,000 119.87 109.51 — 119,872 109,507 — 119.87“R” Share Class (EUR Partially Hedged Class) EUR 1,163 117.18 109.50 — 136,318 124,834 — 117.18“R” Share Class (GBP Partially Hedged Class) GBP 4,622 108.62 106.72 — 502,017 106,716 — 108.62

US Real Estate Balanced PortfolioBase Currency (Dis II) (Monthly) Share Class USD 552,848 119.98 118.54 111.25 66,328,569 92,404,660 156,043,598 126.58Base Currency (Dis) (Monthly) Share Class USD 104 112.59 111.25 104.30 11,722 11,487 10,614 118.78Base Accumulation Share Class USD 1,124,599 125.77 123.21 113.88 141,435,468 180,043,759 280,768,102 132.69Other Currency (Dis II) (Monthly) Share Class

(SGD Hedged Class) SGD 142,344 120.37 118.52 111.25 17,134,415 24,048,962 35,944,772 126.99“E” Accumulation Share Class

(EUR Hedged Class) EUR 14,019 123.27 121.27 112.68 1,728,072 4,248,308 5,836,931 128.20“I” (Dis II) (Monthly) Share Class USD 645,065 118.32 116.91 109.72 76,323,140 85,607,415 77,067,451 118.32“I” (Dis) (Monthly) Share Class USD 83,536 112.58 111.23 104.32 9,404,468 11,074,227 14,954,529 112.58“I” Accumulation Share Class USD 1,267,938 129.51 126.18 115.34 164,212,221 128,529,132 123,101,708 129.51“I” Accumulation Share Class

(EUR Hedged Class) EUR 164,773 118.57 115.65 105.72 19,537,025 16,617,361 16,269,794 118.57“P” (Dis II) (Monthly) Share Class USD 765,078 119.98 118.55 111.26 91,796,734 97,251,205 124,420,478 119.98“P” (Dis) (Monthly) Share Class USD 1,434 112.57 111.22 104.31 161,380 11,632 10,673 112.57“P” Accumulation Share Class USD 1,299,389 128.25 125.18 114.86 166,652,688 195,654,678 223,421,074 128.25“R” Accumulation Share Class USD 65,205 125.09 122.06 111.91 8,156,186 4,216,603 1,981,323 131.97“R” Share Class USD 33,886 119.64 119.36 111.91 4,054,336 3,480,331 3,673,508 126.22

Wealthbuilder Multi-Asset Balanced PortfolioBase Accumulation Share Class USD 757,735 102.67 100.46 — 77,800,012 77,974,741 — 108.32Base Currency Share Class USD 1,502 102.19 100.47 — 153,454 138,483 — 107.81Other Currency Share Class

(EUR Partially Hedged Class) EUR 39,559 110.07 103.46 — 4,354,451 2,423,560 — 110.07Other Currency Share Class

(GBP Partially Hedged Class) GBP 242,019 105.98 103.19 — 25,650,216 13,920,341 — 105.98“E” Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,324 110.02 103.21 — 145,684 103,213 — 110.02“I” Accumulation Share Class USD 159 103.38 100.78 — 16,392 15,978 — 103.38“I” Share Class USD 101 102.58 100.79 — 10,340 10,079 — 102.58“R” Share Class (GBP Partially Hedged Class) GBP 2,852 106.40 103.52 — 303,488 225,321 — 106.40


Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


45

Goldman Sachs Funds


As at 31 May 2015

Wealthbuilder Multi-Asset Conservative PortfolioBase Accumulation Share Class USD 100,226 101.59 100.19 — 10,181,864 9,900,528 — 107.18Base Currency Share Class USD 100 101.21 100.19 — 10,160 10,019 — 106.78Other Currency Share Class

(EUR Partially Hedged Class) EUR 11,984 105.87 102.00 — 1,268,744 514,144 — 105.87Other Currency Share Class



Wealthbuilder Multi-Asset Growth PortfolioBase Accumulation Share Class USD 380,876 103.69 100.33 — 39,494,509 38,114,198 — 109.39Base Currency Share Class USD 100 103.33 100.33 — 10,370 10,033 — 109.01Other Currency Share Class

(EUR Partially Hedged Class) EUR 9,917 114.03 104.29 — 1,130,860 533,034 — 114.03Other Currency Share Class



Alternative Portfolios

Absolute Return Tracker PortfolioBase Accumulation Share Class(b) USD 119,062 9.67 — — 1,151,829 — — 10.20Other Currency Accumulation Share Class

(EUR Hedged Class)(b) EUR 313,156 9.84 — — 3,082,221 — — 10.38“E” Accumulation Share Class (EUR Hedged Class)(b) EUR 840 10.37 — — 8,713 — — 10.78“I” Accumulation Share Class(b) USD 1,166,582 10.45 — — 12,192,983 — — 10.45“I” Accumulation Share Class (AUD Hedged Class)(b) AUD 20,000,000 10.13 — — 202,512,459 — — 10.13“I” Accumulation Share Class (CHF Hedged Class)(b) CHF 6,232,638 10.37 — — 64,659,497 — — 10.37“I” Accumulation Share Class (EUR Hedged Class)(b) EUR 2,953,658 11.15 — — 32,921,176 — — 11.15“I” Accumulation Share Class (GBP Hedged Class)(b) GBP 523,837 10.95 — — 5,735,969 — — 10.95“I” Accumulation Share Class (SEK Hedged Class)(b) SEK 1,146,342 100.58 — — 115,303,323 — — 100.58“P” Accumulation Share Class (EUR Hedged Class)(b) EUR 217,042 10.59 — — 2,299,215 — — 10.59“R” Share Class(b) USD 3,392,572 10.28 — — 34,886,800 — — 10.85“R” Share Class (GBP Hedged Class)(b) GBP 96,344 10.44 — — 1,005,906 — — 11.01

Liquid Alternative Beta Composite Portfolio(b)

“I” Accumulation Share Class(b) USD — — — — — — — —Liquid Alternative Beta Equity Long Short Portfolio

Other Currency Accumulation Share Class (EUR Hedged Class)(b) EUR 6,590 10.30 — — 67,849 — — 10.87

“I” Accumulation Share Class(b) USD 142,123 11.78 — — 1,674,036 — — 11.78“R” Share Class (GBP Hedged Class)(b) GBP 8,450 10.34 — — 87,406 — — 10.91

Liquid Alternative Beta Event Driven PortfolioOther Currency Accumulation Share Class

(EUR Hedged Class)(b) EUR 10,000 10.22 — — 102,226 — — 10.78“I” Accumulation Share Class(b) USD 440,337 12.90 — — 5,679,838 — — 12.90“R” Share Class (GBP Hedged Class)(b) GBP 10,000 10.27 — — 102,678 — — 10.83

Liquid Alternative Beta Macro PortfolioOther Currency Accumulation Share Class


Liquid Alternative Beta Relative Value PortfolioOther Currency Accumulation Share Class


Liquid Alternative Beta Trend PortfolioOther Currency Accumulation Share Class


Multi-Asset Dynamic Strategy Portfolio“R” Accumulation Share Class (GBP Hedged Class)(b) GBP 7,170,543 11.27 — — 80,837,229 — — 11.89


Currency

Outstanding Shares

as at 31-May-15

Net Assets as at(a)

31-May-15 30-Nov-14 30-Nov-13


31-May-15 30-Nov-14 30-Nov-13

Max. publicoffering


46

1 Organisation

Goldman Sachs Funds (the “Fund”) was incorporated on 5 November 1992 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 in accordance with the Law of 17 December 2010, as amended. Effective 31 July 2014, the

Fund appointed Goldman Sachs Asset Management Global Services Limited (“GSAMGS”) as its Management

Company. GSAMGS is authorised and regulated by the UK Financial Conduct Authority, and is a wholly owned

indirect subsidiary of The Goldman Sachs Group Inc.

The Management Company is responsible for the portfolio management of the Fund. The Management

Company has delegated certain portfolio management functions to Goldman Sachs Asset Management

International (“GSAMI”) (the “Investment Advisor”), a related party to the Fund.

The Management Company is responsible for exercising the risk management function in respect of each

Portfolio. In addition, the Management Company’s responsibilities include valuation, fund administration, transfer

agency, distribution and shareholder services. The Management Company has delegated certain functions with

respect to these responsibilities to certain affiliates and third parties. Refer to Note 7 for details of these delegated

functions.

The Goldman Sachs India Equity Portfolio invests through a wholly-owned special purpose subsidiary Goldman

Sachs India Limited (the “Subsidiary”), a private company incorporated in Mauritius with limited liability. The

Subsidiary is administered by Intercontinental Trust Limited, based in Mauritius. Intercontinental Trust Limited

has sub-delegated the administration function to State Street Bank Luxembourg S.C.A. The Subsidiary has

obtained from the Financial Services Commission of Mauritius (the “FSC”) status as a Category 1 Global

Business Company. The Subsidiary has obtained a tax residence certificate from the Commissioner of Income

Tax in Mauritius. Accordingly, the objective is that the Subsidiary qualifies as a resident of Mauritius for the

purposes of receiving the benefits of the India-Mauritius Double Taxation Avoidance Agreement (the “India-

Mauritius Treaty”) but this cannot be guaranteed.

The India Equity Portfolio’s continued ability to invest in India is dependent on it continuing to meet current and

future requirements placed on foreign portfolio investors by the Securities and Exchange Board of India. If the

India Equity Portfolio (or the Investment Adviser) were to fail to meet applicable requirements in the future, the

India Equity Portfolio would no longer be permitted to invest directly in Indian securities, may not be able to

pursue its principal strategy and may be forced to liquidate.

The underlying investments of the Subsidiary comply with the investment guidelines and restrictions applicable

to the India Equity Portfolio. Appropriate procedures have been put in place in order to allow the Custodian of

the Fund to fulfill its supervisory and monitoring functions as regards the assets held by the Subsidiary on behalf

of the India Equity Portfolio. The costs and expenses borne by the Subsidiary are allocated to the relevant

Portfolio of the Fund, which invests its assets through the Subsidiary. As a wholly owned subsidiary of the

Portfolio, all assets and liabilities, income and expenses of the Subsidiary are consolidated in the statement of

assets and liabilities and statement of operations of the India Equity Portfolio, allocated to the relevant Portfolio

as appropriate and all intercompany balances and transactions have been eliminated. All investments held by

the Subsidiary are disclosed in the financial statements and accounts of the India Equity Portfolio and all the

assets held by the Subsidiary on behalf of the Fund are to be considered as assets held directly by the Fund.

The Subsidiary’s accounts are audited by PricewaterhouseCoopers Ltd., Mauritius. The Subsidiary incurs and

pays certain fees and expenses relating to its investment activity in India. These fees and expenses may include

brokerage costs and commissions, transaction costs associated with converting currency to and from Indian

Rupee to US Dollars, fees incurred by its standing proxy, corporate and registration fees and taxes associated

with the establishment and operation of the Subsidiary.

As at 31 May 2015, the Fund is comprised of sixty-six different portfolios (“the Portfolios”).

As at 31 May 2015, the Fund offered shares in the Portfolios as detailed in Appendix I.

Please refer to Appendix II for Portfolios and share classes launched, merged or liquidated during the period.

Goldman Sachs Funds

Notes to the Financial Statements (Unaudited)

For the Period Ended 31 May 2015

47

2 Investment Objective Policies

The primary investment objective of the Equity Portfolios is long-term capital appreciation through investing in

any Permitted Investments.

The investment objective of the Goldman Sachs North American Shale Revolution & Energy Infrastructure

Portfolio is to generate a higher level of current income with capital appreciation.

The primary investment objective of the Regional CORE® Equity Portfolios is to utilise the CORE strategy, a

multi-factor proprietary model developed by Goldman Sachs which aims to forecast returns on securities.

Security combinations are calculated to aim to construct the most efficient risk/return portfolio given the forecast

of return and risk relative to each CORE Portfolio benchmark.

The primary investment objective of the Global and Regional GIVI Equity Portfolios is to seek to track the

performance of the relevant sub-index of the Standard and Poor’s Global Intrinsic Value Index (“S&P GIVI”) as

detailed in the Supplements of the Prospectus.

The primary investment objective of the Fixed Income Portfolios is a high level of total return consisting of income

and capital appreciation through investment in Permitted Investments.

The primary investment objective of the Specialist Portfolios is customised for each Specialist Portfolios as

detailed in Supplements of the Prospectus.

The primary investment objective of each Select Portfolio is to seek to achieve a high level of total return

consisting of income and capital appreciation through investment in Permitted Investments.

The primary investment objective of the Flexible Portfolios is customised for each Flexible Portfolio as detailed

in the Supplement of the Prospectus.

The primary investment objective of the Alternative Portfolios is customised for each Alternative Portfolio as

detailed in the Supplement of the Prospectus.

3 Signif icant Accounting Policies

(a) Basis of Preparation of Financial Statements

The financial statements of the individual Portfolios are presented in their base currency while the Combined

Total of all the Portfolios is presented in United States Dollars. The Management Company 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 of Directors 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 where the Board of Directors was required to make certain estimates and assumptions to determine

value. Actual results may differ from those estimates.

(b) Investment Transactions, Related Investment Income and Operating Expenses

Investment transactions are recorded on a trade date plus one basis. Realised gains and losses are based on

the Weighted Average Cost Method. Dividend income and dividend expense are recorded on the ex- dividend

date and interest income and interest expense are accrued over the life of the investment. Interest income

includes accretion of market discount, original issue discounts and amortisation of premiums and is recorded

into income over the life of the underlying investment. Interest income and dividend income are recognised on

a gross basis before withholding tax, if any.

Operating expenses are recognised on an accrual basis.

Transaction costs, when incurred, are recognised in the Statement of Operations.

Goldman Sachs Funds


For the Period Ended 31 May 2015 (continued)

48

3 Signif icant Accounting Policies (continued)

(c) Financial Investment in Securit ies and Valuation

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, comprising transferable securities admitted to an official

exchange listing or dealt in on any other regulated market that operates regularly, which comprise Common

Stocks, Corporate Bonds, Government Bonds, Preferred Stocks, Options and Futures Contracts, 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, Government Bonds, Supranationals, Municipal Bonds,

Participatory Notes, Equity Linked Notes, Non Agency Asset Backed Obligations and Agencies Asset Backed

Obligations, are valued on the basis of dealer supplied quotations or by using a third party pricing service.

Included within debt securities are mortgage-backed security To Be Announced (“TBA”) commitments. These

commitments reflect future dated purchases and sales of agency Mortgage Backed Securities (“MBS”). Certain

Portfolios use these forward commitments to efficiently manage exposure to MBS. In addition, certain Portfolios

may enter into “Dollar Roll” transactions, principally using TBAs, in which the Portfolios commit to simultaneously

sell and repurchase MBS for delivery in future months. The Portfolios must maintain liquid securities having a

value not less than the repurchase price (including accrued interest) for such forward commitments. The market

value of the securities that the Portfolios are committed to purchase may decline below the agreed upon

purchase price of those securities. Certain Portfolios had TBAs outstanding as of 31 May 2015, which are

included in receivable on investments sold and payable on investments purchased categories in the Statement

of Assets and Liabilities.

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) Bank LoansThe Portfolios may invest in bank loans from U.S. and non-U.S. companies (the “Borrowers”). The investment

of the Portfolios in a bank loan may take the form of participation interests or assignments. In a syndicated bank

loan transaction, the Portfolios purchase a participation interest from a group of lenders (the “Lenders”) or one

of the participants in the syndicate (the “Participant”), one or more of which administers the loan on behalf of all

the Lenders (the “Agent Bank”). The Portfolios are required to rely on the Lender that sold the participation

interest for the receipt and processing of payments due to the Portfolios under the loans. Income, including

amendment fees, commitment fees and letter of credit fees, is included in the Statements of Operations and is

recorded as income when accrued by the Portfolios. Bank loans are valued based on prices obtained from third

party pricing services selected by the Investment Adviser.

Unfunded commitments represent the remaining obligation of the Portfolios to the borrower. At any point in time,

up to maturity date of issue, the borrower may demand the unfunded portion. There were no unfunded

commitments as at 31 May 2015.

Goldman Sachs Funds



49


(c) Financial Investment in Securit ies and Valuation

ii. Value Measurement Principles (continued)(ii.4) 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.5) Shares in Collective Investment SchemesThe value of investments in open-ended investment funds, comprising Mutual Funds, is based upon the net

asset values per share as supplied by the funds, in accordance with the valuation policy of the applicable fund

as outlined in its prospectus.

(ii.6) Securities Sold Under Agreements to RepurchaseThe Portfolio sells securities under agreements to repurchase (“repurchase agreements”). Under the terms of

a repurchase agreement, the counterparty takes possession of an underlying security subject to an obligation

of the Portfolio to repurchase, and the counterparty to resell, the security at an agreed-upon price and time. The

Portfolio pays the counterparty interest over the term of the repurchase agreement.

(ii.7) 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.

(ii.7) (a) Option ContractsThe Portfolio enters 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.

Goldman Sachs Funds



50


(c) Financial Investment in Securit ies and Valuation (continued)

ii. Value Measurement Principles (continued)(ii.7) Derivatives (continued)(ii.7) (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 was closed.

(ii.7) (c) Swap ContractsSwaps, comprising Interest Rate Swaps, Credit Default Swaps, Total Return Swaps and Equity Basket 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 price, 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.7) (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 affected at the close of business

in the principal currency markets in which these currencies are traded.

(ii.7) (e) Non-Deliverable Forward ContractsNon-Deliverable Forward Contracts are financial derivative instruments which differ from normal forward

contracts in that there is no physical settlement of the reference security at maturity. Instead, a net cash

settlement (usually in USD) will be made by one party to the other based on the movement of the reference

security. Any realised gain and losses are recognised on trade date plus one. Non-Deliverable Forward Contracts

are valued on prices provided by a third party pricing service selected by the Valuer.

Goldman Sachs Funds



51


(c) Financial Investment in Securit ies and Valuation (continued)

ii. Value Measurement Principles (continued)(ii.8) 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 Management Company (“the Valuer”). Such a Valuer may be the Investment Adviser itself,

independent pricing agents or others, subject to applicable law. The Valuer during the period ended 31 May

2015 was Goldman Sachs Investment Management Division Controllers group (“IMD Controllers”).

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 Valuer was used to determine probable realisation value.

(d) Cash

Cash is valued at cost, which approximates market value.

(e) Due from/to Brokers

Due from brokers consists primarily of cash receivable for collateral from the Portfolios’ clearing brokers and

various counterparties. Due to brokers consists primarily of cash payable for collateral to the Portfolios’ clearing

brokers and various counterparties.

Due from/to broker balances are valued at cost. See Note 14 for details.

( f ) Foreign Currency Translation

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 base currency at the foreign currency closing exchange rate in effect at the period 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

investment gain/(loss) or net change in unrealised investment 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 the Fund

are allocated to the Portfolios depending upon the nature of the charges. Expenses directly attributable to a

Portfolio or Share Class are charged to that Portfolio or Share Class.

Goldman Sachs Funds



52

Goldman Sachs Funds




(h) “Snap” and “Close” Valuation

In the case of certain Portfolios, the Fund may decide to issue Share Classes which have different Valuation

Points, termed “snap” and “close”, where the “snap” Valuation Point takes a value at a time other than at market

close and “close” takes the value based on market closing prices. In consequence, the net asset values and

performance per Share of such Share Classes are expected to differ from each other as a result of the

application of different Valuation Points.

For the period ended 31 May 2015, such “snap” and “close” Share Classes as described above are applicable

to:

• Global CORE® Equity Portfolio

• Global Small Cap CORE® Equity Portfolio

• US CORE® Equity Portfolio

• US Small Cap CORE® Equity Portfolio

• GIVI Europe Equity Portfolio

• GIVI Global Equity – Growth Markets Tilt Portfolio

• GIVI Growth & Emerging Markets Equity Portfolio

For financial reporting purposes only, the Statement of Assets and Liabilities, the Statement of Operations, the

Statement of Changes in Shareholders’ Equity and the Schedules of Investments have been presented using

prices as of “close” of all markets. If the Schedules of Investments, the Statement of Assets and Liabilities, the

Statement of Operations and the Statement of Changes in Shareholders’ Equity were to be presented using the

“snap” prices, then the total market value and the Shareholders’ Equity would vary as follows:

Market Value of Investments and

Foreign Currencies including

Unrealised Gain/Loss on Futures Shareholders’ Equity

PercentageSnap Close Variation Snap Close Variation Variation

Global CORE® Equity Portfolio USD 547,777,144 544,507,152 (3,269,992) 550,401,349 547,131,357 (3,269,992) (0.59%)

Global Small Cap CORE® Equity Portfolio USD 475,683,946 473,636,913 (2,047,033) 484,894,992 482,847,959 (2,047,033) (0.42%)

US CORE® Equity Portfolio USD 731,710,310 727,667,586 (4,042,724) 734,336,833 730,294,109 (4,042,724) (0.55%)

US Small Cap CORE® Equity Portfolio USD 103,777,452 103,598,358 (179,094) 104,689,736 104,510,642 (179,094) (0.17%)

GIVI Europe Equity Portfolio EUR 98,465,963 97,617,752 (848,211) 98,787,766 97,939,555 (848,211) (0.86%)

GIVI Global Equity – Growth Markets

Tilt Portfolio USD 58,273,347 57,998,808 (274,539) 59,000,333 58,725,794 (274,539) (0.47%)

GIVI Growth & Emerging Markets

Equity Portfolio USD 5,715,160 5,702,534 (12,626) 5,669,641 5,657,015 (12,626) (0.22%)

53


(i) Income Equalisation Arrangements

Income equalisation arrangements may be applied in the case of Shares in some or all of the Portfolios of the

Fund. Where they are applied these arrangements are intended to ensure that the income per Share which is

distributed or deemed distributed in respect of a distribution period is not affected by changes in the number of

Shares in issue during that period, and the amount of the first distribution received by a Shareholder in an

impacted Portfolio following the purchase of Shares in that Portfolio will represent partly participation in income

received by the Portfolio and partly a return of capital (the “equalisation amount”). The equalisation amounts are

included within the proceeds from shares issued and the payment for shares redeemed in the Statements of

Changes in Shareholders’ Equity.

( j ) Alternative Net Asset Value Calculation Method (Swing Pricing) (1)

On any Business Day the Management Company in consultation with 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 reversal of the alternative net asset value calculation method represents the reversal of the amount applied

as at 31 May 2015.

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

Goldman Sachs Funds



54

Goldman Sachs Funds




(j) Alternative Net Asset Value Calculation Method (Swing Pricing) (continued)

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

Asia Portfolio Euro Fixed Income Portfolio

BRICs Portfolio Euro Short Duration Bond Portfolio

China Opportunity Portfolio Europe High Yield Bond Portfolio

Europe Portfolio Global Credit Portfolio (Hedged)

Global Equity Partners Portfolio Global Fixed Income Portfolio

Global Equity Unconstrained Portfolio Global Fixed Income Portfolio (Hedged)

Global Responsible Equity Portfolio Global High Yield Portfolio

GMS Dynamic World Equity Portfolio Global Sovereign Bond Portfolio

Growth & Emerging Markets Broad Equity Portfolio Growth & Emerging Markets Corporate Bond Portfolio

Growth Markets Plus Equity Portfolio Growth & Emerging Markets Debt Blend Portfolio

India Equity Portfolio Growth & Emerging Markets Debt Local Portfolio

Japan Equity Partners Portfolio Growth & Emerging Markets Debt Portfolio

Japan Portfolio Liberty Harbor Opportunistic Corporate Bond Portfolio

N-11® Equity Portfolio Sterling Broad Fixed Income Portfolio

Strategic Global Equity Portfolio Sterling Credit Portfolio

US Equity Portfolio US Fixed Income Portfolio

US Focused Growth Equity Portfolio US Mortgage Backed Securities Portfolio

Europe CORE® Equity Portfolio CoCos & Capital Securities Portfolio

Global CORE® Equity Portfolio Global Fixed Income Plus Portfolio (Hedged)

Global Small Cap CORE® Equity Portfolio Global Strategic Income Bond Portfolio

Growth & Emerging Markets CORE® Equity Portfolio Global Strategic Macro Bond Portfolio

US CORE® Equity Portfolio Sterling Broad Fixed Income Plus Portfolio

US Small Cap CORE® Equity Portfolio Strategic Absolute Return Bond I Portfolio

GIVI Europe Equity Portfolio Strategic Absolute Return Bond II Portfolio

GIVI Global Equity – Growth Markets Tilt Portfolio Global Income Builder Portfolio

GIVI Growth and Emerging Markets Equity Portfolio US Real Estate Balanced Portfolio

Absolute Return Tracker Portfolio Liquid Alternative Beta Event Driven Portfolio

Liquid Alternative Beta Equity Long Short Portfolio Liquid Alternative Beta Relative Value Portfolio

Liquid Alternative Beta Macro Portfolio Liquid Alternative Beta Trend Portfolio

North American Shale Revolution & Energy Multi-Asset Dynamic Strategy Portfolio

Infrastructure Portfolio

Refer to the Statement of Assets and Liabilities for the Portfolios that applied the alternative net asset calculation

method as at 31 May 2015.

55

4 Valuation Determined by the Valuer

The following table sets forth the securities where certain estimates and assumptions were used to determine

probable realization value as at 31 May 2015:

Goldman Sachs Funds



As at 31 May 2015

Number of % of Shareholders’

Portfolios Currency Assets valued Value Equity

Asia Portfolio USD 11 7,021,535 7.69%

BRICs Portfolio USD 5 18,600,449 7.26%

China Opportunity Portfolio USD 6 700,944 8.31%

Global Equity Unconstrained Portfolio USD 2 162,345 2.71%

Growth & Emerging Markets Broad Equity Portfolio USD 10 9,737,954 5.81%

Growth Markets Plus Equity Portfolio USD 7 1,211,394 4.38%

India Equity Portfolio USD 11 204,874,236 11.85%

N-11® Equity Portfolio USD 3 3,148,531 0.39%

Strategic Global Equity Portfolio USD 2 117,946 0.52%

Europe CORE® Equity Portfolio EUR 1 37,793 0.02%

Global CORE® Equity Portfolio USD 1 1,231,367 0.22%

Global Small Cap CORE® Equity Portfolio USD 1 0 0.00%

Growth & Emerging Markets CORE® Equity Portfolio USD 1 292,993 0.10%

GIVI Europe Equity Portfolio EUR 3 4,276 0.01%

GIVI Global Equity – Growth Markets Tilt Portfolio USD 13 161,350 0.27%

GIVI Growth & Emerging Markets Equity Portfolio USD 4 24,192 0.42%

Global High Yield Portfolio USD 13 33 0.00%

Growth & Emerging Markets Debt Portfolio USD 2 495 0.00%

US Fixed Income Portfolio USD 3 0 0.00%

US Mortgage Backed Securities Portfolio USD 2 0 0.00%

US Small Cap Core Equity Portfolio USD 1 0 0.00%

Global Income Builder Portfolio USD 1 780,443 0.71%

5 Taxation

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 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 of 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

56

5 Taxation (continued)

Taxation — Luxembourg (continued)

• individual compartments of undertakings for collective investment (“UCI”) with multiple compartments

referred to in the law dated 17 December 2010, as amended, 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, as amended, or

13 February 2007, as amended, 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 proposition, the Fund makes an application to the HM Revenue & Customs (“HMRC”) in the United

Kingdom in respect of distributing share classes and a number of other share classes to be treated as reporting

Share Classes. Reporting Share Classes are not required to make distributions, but are required to provide HMRC

with full details of reportable income each period and publish those figures to those investors. Income will be

reported to investors within six months of the period end via the website mentioned below. Investors will be able

to access the reportable income figure at https://assetmanagement.gs.com/content/gsam/uk/en/advisers/literature-

and-forms/forms-and-notifications.html.

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 period.

Taxation — Subsidiary

There can be no assurance that any future changes to the India-Mauritius Treaty or future interpretations of

such Treaty or a change in the Mauritius or Indian domestic tax laws, or a change of policy of the Mauritian or

Indian tax authorities will not adversely affect the tax position of the Subsidiary’s investments, which may have

a material effect on the Fund or the tax position of the investors in the Fund. The Fund will continue to actively

monitor developments and assess the impact of tax law changes to the subsidiary and its eligibility under the

India-Mauritius Treaty.

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, interest is earned or capital gains are realised. At each valuation date, taxation

on realised and unrealised appreciation of securities may be accrued for at statutory rates. Please also refer to

Note 19.

Goldman Sachs Funds



57

5 Taxation (continued)

Taxation — General (continued)

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 Repurchase Agreements

The table below shows the holdings of the underlying securities sold and amounts received for the repurchase

agreements as of 31 May 2015:

Goldman Sachs Funds



Period Ended 31-May-2015

% ofShareholders’

Portfolio Counterparty Description Holdings Value USD Equity

Global High Yield Portfolio Citigroup Peabody Energy Corp. 10,000,000 7,912,500 0.09%

Global High Yield Portfolio Credit Suisse FMG Resources August 2006 Pty Ltd. 5,000,000 8,850,000 0.10%

Global High Yield Portfolio Credit Suisse Gulfmark Offshore, Inc. 9,500,000 7,742,500 0.09%

Global High Yield Portfolio RBC Capital Markets Chesapeake Energy Corp 10,000,000 10,100,000 0.11%

Subfund Total 34,605,000 0.38%

Growth & Emerging Markets

Corporate Bond Portfolio Credit Suisse Arcos Dorados Holdings, Inc. 1,450,680 1,192,320 0.41%


Corporate Bond Portfolio Credit Suisse Pacific Rubiales Energy 1,600,000 1,462,000 0.50%


Corporate Bond Portfolio JP Morgan Securities Plc. YPF S.A. 2,000,000 2,120,000 0.73%



Debt Blend Portfolio Credit Suisse Arcos Dorados Holdings, Inc. 650,000 598,000 0.25%


Debt Blend Portfolio Credit Suisse Pacific Rubiales Energy 350,000 319,812 0.13%


Debt Blend Portfolio JP Morgan Securities Plc. Republic of South Africa 510,000 498,526 0.20%


Growth & Emerging Markets Debt Portfolio Citibank Argentine Republic Government International Bond 4,500,000 6,201,900 0.13%

Growth & Emerging Markets Debt Portfolio Citibank Republic of Ghana 1,670,000 1,665,825 0.04%

Growth & Emerging Markets Debt Portfolio Citibank Ukraine Government International Bond 3,100,000 1,480,250 0.03%

Growth & Emerging Markets Debt Portfolio Citibank Ukraine Government International Bond 5,000,000 2,075,500 0.05%

Growth & Emerging Markets Debt Portfolio Citibank Ukraine Government International Bond 2,200,000 922,240 0.02%

Growth & Emerging Markets Debt Portfolio Credit Suisse Arcos Dorados Holdings, Inc. 5,525,000 5,083,000 0.11%

Growth & Emerging Markets Debt Portfolio Credit Suisse Argentine Republic Government International Bond 24,440,000 33,391,150 0.72%

Growth & Emerging Markets Debt Portfolio Credit Suisse Gruma SAB de CV 1,000,000 1,028,750 0.02%

Growth & Emerging Markets Debt Portfolio Credit Suisse Lukoil International Finance 2,772,000 2,834,370 0.06%

Growth & Emerging Markets Debt Portfolio Credit Suisse Republic of Ghana 8,220,000 7,685,700 0.17%

Growth & Emerging Markets Debt Portfolio Credit Suisse Republic of Nigeria 10,590,000 10,470,863 0.23%

Growth & Emerging Markets Debt Portfolio Credit Suisse Republic of Turkey 5,430,000 5,525,025 0.12%

Growth & Emerging Markets Debt Portfolio Credit Suisse Republic of Venezuela 30,530,000 14,578,075 0.32%

Growth & Emerging Markets Debt Portfolio Credit Suisse Ukraine Government International Bond 6,250,000 2,781,250 0.06%

Growth & Emerging Markets Debt Portfolio JP Morgan Securities Plc. Arcos Dorados Holdings, Inc. 3,000,000 2,637,000 0.06%

Growth & Emerging Markets Debt Portfolio JP Morgan Securities Plc. Lukoil International Finance 2,000,000 2,038,000 0.04%

Growth & Emerging Markets Debt Portfolio JP Morgan Securities Plc. Republic of South Africa 10,930,000 10,684,075 0.23%

Growth & Emerging Markets Debt Portfolio JP Morgan Securities Plc. Ukraine Government International Bond 17,000,000 7,650,000 0.17%

Subfund Total 118,732,973 2.58%

Total 159,528,631

58

7 Signif icant Agreements and Related Parties

Management Company

As outlined in Note 1, effective 31 July 2014, the Fund has appointed GSAMGS, a wholly-owned indirect

subsidiary of The Goldman Sachs Group, Inc., as its Management Company.

The Portfolios will pay the Management Company an annual fee which shall be accrued daily and paid monthly

in arrears.

Investment Adviser and Sub-Investment Adviser

The Management Company has delegated certain portfolio management functions to GSAMI (the “Investment

Adviser”), a related party to the Fund.

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

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

management division of Goldman Sachs (Singapore) Pte and Goldman Sachs (Asia) LLC.—Hong Kong Branch,

the Asian sub-advisers, in connection with the selection of Asian issuers; and, Goldman Sachs Asset

Management Co., Ltd, the Japanese sub-adviser, in connection with the selection of Japanese issuers; upon

Goldman Sachs Asset Management Australia Pty Ltd. and in connection with the selection of securities of

Australasian issuers. 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”) in connection with the management of the Goldman Sachs GMS Dynamic World Equity Portfolio:

Artisan Partners Limited Partnership; Eagle Capital Management; Harris Associates L.P. None of these

investment advisers are an affiliate of GSAMI. As compensation for the services rendered under the Investment

Advisory Agreement, GSAMI receives a fee, payable monthly, at an annual rate. A portion of the Investment

Adviser’s fees may be remitted to the sub-adviser.

GSAMI has voluntarily agreed to limit total expenses in respect of certain Portfolios and certain Share Classes.

Therefore, to the extent that total ordinary expenses would exceed the expense cap, GSAMI has voluntarily

agreed to reduce its advisory fees accordingly for the period ended 31 May 2015. 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. In addition, the

Portfolios are not obliged to reimburse GSAMI for prior fiscal year expense reimbursement, if any.

The fees and expenses charged to Base, Other Currency, A, B and E Share Classes are set at a fixed

percentage of the total net assets of each Share Class. The fixed percentage covers operating costs, which are

detailed in the Prospectus of the Fund in the Fees and Expenses section. It excludes any fees payable to the

Investment Adviser and Distributor and any extraordinary expenses. To the extent the actual operating costs are

less than the fixed percentage, the difference is paid to the Investment Adviser and will be separately disclosed

as “Additional fee to Investment Adviser for fixed fee Share Classes” in the Statement of Operations. To the

extent that the actual operating costs exceed the fixed percentage, the excess amount borne by the Investment

Adviser will be separately disclosed as “Investment Adviser fixed operating fee waived” in the Statement of

Operations.

Details of advisory fee rates and the expense caps as at 31 May 2015 are detailed in Appendix I.

Goldman Sachs Funds



59

7 Signif icant Agreements and Related Parties (continued)

Directors’ Remuneration

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

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

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

Uniacke are affiliated with the Investment Adviser and receive no compensation from the Fund. Mr. Alan Shuch

resigned from the Board of Directors on 5 March 2015.

Performance Fees

GSAMI is entitled to a performance fee on certain Portfolios. For the Strategic Absolute Return Bond I Portfolio

and Strategic Absolute Return Bond II Portfolio the performance fee accrues daily and is paid annually out of

the assets attributable to each Share Class of the Portfolios. The performance fee is equal to 20% of the amount

by which the Class NAV per Share exceeds such Class’s Benchmark Value per Share, as defined within the

Prospectus. For the Global Strategic Macro Bond and Global Currency Plus Portfolio the performance fee

accrues daily and is paid annually out of the assets attributable to each Share Class of the Portfolios. The

performance fee is equal to 10% of the amount by which the Class NAV per Share exceeds such Class’s

Benchmark Value per Share, as defined within the Prospectus.

Fees Earned on Other Goldman Sachs Funds

To the extent permitted by applicable law and the terms of the Prospectus, any Portfolio may invest all or some

of its short term cash investments in any money market fund advised or managed by Goldman Sachs and may

invest in other investment funds advised or managed by Goldman Sachs (together “Goldman Sachs Funds”).

Subject to applicable law and the terms of the Prospectus, the Fund may be required to bear its proportionate

share of any fees (including investment advisory and management fees) applicable to its investment in such

investment funds.

The Portfolios may invest in Goldman Sachs US$ Liquid Reserves Fund, Goldman Sachs Sterling Liquid

Reserves Fund, Goldman Sachs Euro Liquid Reserves Fund and Goldman Sachs Yen Liquid Reserves Fund

(“the Liquid Reserves Funds”), sub-funds of Goldman Sachs Funds, plc. This is a collective investment scheme

promoted by the Investment Adviser which is authorised by the Financial Regulator in Ireland as an Undertaking

for Collective Investments in Transferable Securities under the European Communities (Undertaking for

Collective Investments in Transferable Securities) Regulations 2011.

Wealthbuilder Multi-Asset Balanced Portfolio invests in Global CORE® Equity Portfolio, Global Equity Partners

Portfolio, Global Fixed Income Plus Portfolio (Hedged), Global Fixed Income Portfolio (Hedged), Global High

Yield Portfolio, Global Small Cap CORE® Equity Portfolio, Global Strategic Income Bond Portfolio, Growth &

Emerging Markets CORE® Equity Portfolio, Growth & Emerging Markets Debt Local Portfolio, Growth &

Emerging Markets Debt Portfolio, sub-funds of Goldman Sachs Funds, SICAV.

Wealthbuilder Multi-Asset Conservative Portfolio invests in Global CORE® Equity Portfolio, Global Credit Portfolio

(Hedged), Global Equity Partners Portfolio, Global Fixed Income Plus Portfolio (Hedged), Global Fixed Income

Portfolio (Hedged), Global High Yield Portfolio, Global Small Cap CORE® Equity Portfolio, Global Strategic

Income Bond Portfolio, Growth & Emerging Markets Debt Local Portfolio, Growth & Emerging Markets Debt

Portfolio, sub-funds of Goldman Sachs Funds, SICAV.

Goldman Sachs Funds



60


Fees Earned on Other Goldman Sachs Funds (continued)

Wealthbuilder Multi-Asset Growth Portfolio invests in Global CORE® Equity Portfolio, Global Equity Partners

Portfolio, Global Fixed Income Portfolio (Hedged), Global High Yield Portfolio, Global Small Cap CORE® Equity

Portfolio, Global Strategic Income Bond Portfolio, Growth & Emerging Markets CORE® Equity Portfolio, Growth &

Emerging Markets Debt Local Portfolio, Growth & Emerging Markets Debt Portfolio, sub-funds of Goldman

Sachs Funds, SICAV.

Any Portfolios invested in the Goldman Sachs Funds were invested in the non-Investment Advisory fee bearing

share classes. For the period ended 31 May 2015, there were no Investment Advisory fees earned on each

Portfolio’s investment in the Goldman Sachs Funds.

Commissions

In the normal course of its operations, each Portfolio may enter into transactions on securities or other

investments with Goldman Sachs or other Goldman Sachs affiliates (together “Goldman Sachs Affiliates”). For

the period ended 31 May 2015, the following transactions were entered into with Goldman Sachs Affiliates with

total brokerage commissions paid to Goldman Sachs Affiliates being split between commissions related to

security transactions and futures contracts:

Goldman Sachs Funds



Aggregate Aggregate Futures

Portfolios Currency Value* Percent Value Percent Commissions**

EQUITY PORTFOLIOS

Regional Equity Portfolios

Asia Portfolio USD — — — — 160

Europe Equity Partners Portfolio EUR 6,343,662 4.08% 9,521 10.16% 786

Global Responsible Equity Portfolio USD 63,560 0.26% 39 0.23% —

GMS Dynamic World Equity Portfolio USD 5,489,872 0.02% 3,568 0.03% —

Growth & Emerging Markets Broad Equity Portfolio USD 35,440 0.02% 25 0.01% —

Growth Markets Plus Equity Portfolio USD 5,840 0.03% 4 0.01% —

India Equity Portfolio USD 31,178,190 2.82% 77,778 5.03% 238,294

Japan Portfolio JPY 11,931,491,998 5.25% 14,219,743 7.43% 1,216,500

N-11® Equity Portfolio USD 174,655 0.03% 122 0.01% —

Strategic Global Equity Portfolio USD 5,624 0.03% 4 0.03% —

US Focused Growth Equity Portfolio USD 1,096,760 1.93% 191 1.00% —


Europe CORE® Equity Portfolio EUR — — — — 3,206

Global CORE® Equity Portfolio USD — — — — 10,728

Global Small Cap CORE® Equity Portfolio USD — — — — 5,208

US CORE® Equity Portfolio USD — — — — 11,064

US Small Cap CORE® Equity Portfolio USD — — — — 1,032


GIVI Europe Equity Portfolio EUR — — — — 942

GIVI Global Equity – Growth Markets Tilt Portfolio USD — — — — 79

Security TransactionsSecurity Transactions Brokerage

Commissions

61


Commissions (continued)

Goldman Sachs Funds



FIXED INCOME PORTFOLIOS

Euro Fixed Income Portfolio EUR — — — — 904

Euro Short Duration Bond Portfolio EUR — — — — 428

Europe High Yield Bond Portfolio EUR 15,963,726 1.04% — — —

Global Credit Portfolio (Hedged) USD 29,984,841 0.43% — — 26,565

Global Fixed Income Portfolio USD 124,310 0.01% — — 2,340

Global Fixed Income Portfolio (Hedged) EUR 510,536 0.01% — — 16,900

Global High Yield Portfolio USD — — — — 112,414

Growth & Emerging Markets Corporate

Bond Portfolio USD — — — — 5,634

Growth & Emerging Markets Debt Local Portfolio USD — — — — 53,099

Growth & Emerging Markets Debt Portfolio USD — — — — 139,620

Sterling Broad Fixed Income Portfolio GBP 23,837,964 3.10% — — 3,088

Sterling Credit Portfolio GBP 112,312,461 3.61% — — 4,427

US Fixed Income Portfolio USD — — — — 2,980

US Mortgage Backed Securities Portfolio USD — — — — 5,652

SPECIALIST PORTFOLIOS

Global Fixed Income Plus Portfolio (Hedged) EUR 1,330,762 0.02% — — 22,429

Global Strategic Income Bond Portfolio USD — — — — 719,835

Sterling Broad Fixed Income Plus Portfolio GBP 1,398,415 0.07% — — 7,803

Strategic Absolute Return Bond I Portfolio USD — — — — 130,827

Strategic Absolute Return Bond II Portfolio USD — — — — 55,090

SELECT PORTFOLIOS

Global Corporate Portfolio (Hedged) NOK 76,145,698 0.10% — — 336,032

FLEXIBLE PORTFOLIOS

Global Income Builder Portfolio USD 28,345 0.04% 11 0.07% —

US Real Estate Balanced Portfolio USD — — — — 19,749

ALTERNATIVE PORTFOLIOS

Liquid Alternative Beta Composite Portfolio USD 30,185,171 31.29% — — —

Liquid Alternative Beta Equity Long Short Portfolio USD 15,418,370 21.28% — — —

Liquid Alternative Beta Event Driven Portfolio USD 9,093,803 29.52% — — —

Liquid Alternative Beta Macro Portfolio USD 7,742,083 54.23% — — —

Liquid Alternative Beta Relative Value Portfolio USD 9,890,264 51.71% — — —

Multi-Asset Dynamic Strategy Portfolio USD 114,974,247 39.60% — — —

Total (in USD) 207,006 1,666,982

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

** All portfolio futures transactions disclosed in the table above were affected through Goldman Sachs.

Aggregate Aggregate Futures

Portfolios Currency Value* Percent Value Percent Commissions**

Security TransactionsSecurity Transactions Brokerage

Commissions

62

Goldman Sachs Funds




Commissions (continued)

Transactions costs for fixed income investments, forward currency contracts and other derivative contracts

excluding futures contracts, are not separately identifiable. For these investments, transaction costs are included

in the purchase and sales price and are part of the gross investment performance of each Portfolio.

For all the remaining Portfolios, there were no transactions with Goldman Sachs Affiliates, for the period ended

31 May 2015.

The Investment Adviser also undertakes forward currency contracts with a number of counterparties including

Goldman Sachs International.

All such transactions, including those with GS Affiliates, were entered into the ordinary course of business and

on normal commercial terms.

Securities Lending

The securities lending agent is Goldman Sachs Agency Lending (“GSAL”), an affiliate of Goldman Sachs.

Approved borrowers of GSAL may include Goldman Sachs International (“GSI”), an affiliate of the Investment

Adviser, as well as other third parties.

The Portfolios may lend portions of investments to third parties. In return, the Portfolios receive a fee that is

negotiated for each transaction. The Portfolios receive G-10 (excluding Italy and Japan) government securities

as collateral against the securities loaned. G-10 is made of eleven industrial countries (Belgium, Canada, France,

Germany, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom and the United States) which

consult and co-operate on economic, monetary and financial matters. This collateral is maintained over the life

of the loan for an amount not less than 102% of the value of lent securities in the case of lent securities

denominated in US Dollars or whose primary trading market is located in the United States, and not less than

105% in the case of lent securities which are not denominated in US Dollars or whose primary trading market

is not located in the United States. In general, loans may only be affected via recognised clearing houses, or

through the intermediary of prime financial institutions that specialise in such activities and in the way specified

by them.

63


Securities Lending (continued)

The following summarises the securities lent as at 31 May 2015 and the income earned by each Portfolio that

is part of the Securities Lending program:

Goldman Sachs Funds



EQUITY PORTFOLIOS


Asia Portfolio USD 823,422 864,885 105% 1,108 111 997

BRICs Portfolio USD 15,070,244 15,823,962 105% 15,908 1,591 14,317

Europe Equity Partners Portfolio EUR 4,180,234 4,390,333 105% 48,368 4,837 43,531

Global Equity Partners Portfolio USD 13,870,074 14,564,107 105% 37,237 3,724 33,513

Global Responsible Equity Portfolio USD — — — 2,183 218 1,965

Growth & Emerging Markets Broad Equity Portfolio USD 5,212,134 5,473,563 105% 18,760 1,876 16,884

Japan Portfolio JPY 35,527,089 37,304,409 105% 29,979,749 2,997,975 26,981,774

N-11® Equity Portfolio USD 10,727,241 11,264,643 105% 16,907 1,691 15,216

Strategic Global Equity Portfolio USD — — — 211 21 190

US Focused Growth Equity Portfolio USD — — — 2,077 208 1,869


Europe CORE® Equity Portfolio EUR 6,274,663 6,588,740 105% 86,319 8,632 77,687

Global CORE® Equity Portfolio USD 3,202,628 3,363,608 105% 105,459 10,546 94,913

Global Small Cap CORE® Equity Portfolio USD 16,362,399 17,180,570 105% 251,064 25,106 225,958

Growth & Emerging Markets CORE® Equity Portfolio USD 7,271,195 7,635,554 105% 23,271 2,327 20,944

US CORE® Equity Portfolio USD 172,395 181,314 105% 4,256 426 3,830

US Small Cap CORE® Equity Portfolio USD 2,805,676 2,946,077 105% 30,759 3,076 27,683

GIVI Europe Equity Portfolio EUR 2,364,251 2,482,651 105% 11,788 1,179 10,609

GIVI Global Equity – Growth Markets Tilt Portfolio USD 336,299 353,390 105% 3,269 327 2,942

SECTOR EQUITY PORTFOLIOS

North American Shale Revolution &

Energy Infrastructure Portfolio USD 19,371,875 20,340,707 105% 98,876 9,888 88,988


Global High Yield Portfolio USD 1,466,512 1,540,578 105% 182,661 18,266 164,395

Growth & Emerging Markets Debt Local Portfolio USD — — — 12,467 1,247 11,220

Growth & Emerging Markets Debt Portfolio USD — — — 1,474 147 1,327

Sterling Credit Portfolio GBP — — — 700 70 630

SELECT PORTFOLIOS

Global Corporate Portfolio (Hedged) NOK — — — 660 66 594

FLEXIBLE PORTFOLIOS

Global Income Builder Portfolio USD — — — 1,104 110 994

US Real Estate Balanced Portfolio USD — — — 30 3 27

Total (in USD) 1,226,633 122,663 1,103,970

Collateral asMarket Value a Percentage Net

Market Value of Collateral of the Gross Income Fees Incomeof Securities Received Market Value Earned Charged for Earned

Lent as at as at of Securities for the Period for the Period for the Period31-May-2015 31-May-2015 Lent as at Ended Ended Ended

Portfolios Currency (in USD) (in USD) 31-May-2015 31-May-2015 31-May-2015 31-May-2015

64

Goldman Sachs Funds




Administrator, Domiciliary Agent and Listing Agent

The Management Company has delegated the Administrator, Domiciliary Agent and Listing Agent functions to

State Street Bank Luxembourg S.C.A.

For its services as an Administrator, Domiciliary Agent and Listing Agent, State Street Bank Luxembourg S.C.A.

receives a fee payable monthly and calculated on the Monthly Average Net Assets of each Portfolio.

For India Equity Portfolio, State Street Bank Luxembourg S.C.A. receives a flat fee of USD 15,000 for

Administrator services. State Street Bank Luxembourg S.C.A. may also receive Custodian fees in respect of

any residual assets held by the India Equity Portfolio.

For its Financial Reporting Services, State Street Bank Luxembourg S.C.A. receives a fixed fee per annum per

Portfolio payable monthly in arrears.

Depositary

The Fund has appointed State Street Bank Luxembourg S.C.A., as Depositary. For its services as Depositary,

State Street Bank Luxembourg S.C.A. charges a fee which is a combination of basis point charge on assets and

transactions dependent on the country.

Distributor

The Management Company has delegated GSI, an affiliate to the Investment Adviser, to act as the Distributor

of shares of each Portfolio pursuant to a Distribution Agreement. GSI may receive a portion of the sales charge

imposed on the sale of Portfolio shares. Please see the table below which details the value of retained sales

charges per Portfolio.

Portfolios Currency Sales Charge

EQUITY PORTFOLIOS


China Opportunity Portfolio USD 1,910

Europe Equity Partners Portfolio EUR 11,380

Global Equity Partners Portfolio USD 83,512

GMS Dynamic World Equity Portfolio USD 26,822

Growth & Emerging Markets Broad Equity Portfolio USD 50

India Equity Portfolio USD 284,882

Japan Portfolio JPY 26,488,653

US Equity Portfolio USD 5,825


Europe CORE® Equity Portfolio EUR 43,696

US CORE® Equity Portfolio USD 5,975


North American Shale Revolution & Energy Infrastructure Portfolio USD 16,500

65

Portfolios Currency Sales Charge


Euro Fixed Income Portfolio EUR 19,872

Europe High Yield Bond Portfolio EUR 2,687

Global Credit Portfolio (Hedged) USD 51,254

Global Fixed Income Portfolio USD 1,125

Global Fixed Income Portfolio (Hedged) EUR 7,185

Global High Yield Portfolio USD 84,997

Growth & Emerging Markets Debt Portfolio USD 3,700

Liberty Harbor Opportunistic Corporate Bond Portfolio USD 10,638

Global Fixed Income Plus Portfolio (Hedged) EUR 2,842


Global Strategic Income Bond Portfolio USD 1,701

FLEXIBLE PORTFOLIOS

US Real Estate Balanced Portfolio USD 5,290

Total (in USD) 894,412

Goldman Sachs Funds




Distributor (continued)

For the period ended 31 May 2015, there were no retained sales charges for all other remaining Portfolios.

In respect of “A” and “E” Share Classes of a Portfolio, the Distributor receives an additional monthly distribution

fee for its services payable out of the Share Class assets and charged at a rate of up to 0.50% and 1%

respectively per annum by reference to the Share Class’ average daily net asset value.

In respect of “B” Share Classes of a Portfolio, the Distributor receives an additional monthly distribution fee and

a shareholder services fee payable out of the Share Class assets of that Portfolio and charged at the rate of up

to 0.50% and 1.00% respectively per annum by reference to the Share Class’ average daily net asset value.

Other Share Classes have no distribution fees.

Out of its fees, the Distributor is responsible for remunerating third party sub-distributors.

Transfer Agent

The Management Company has delegated the registrar and transfer agent functions for the Fund to RBC Investor

Services Bank S.C.A. (the “Transfer Agent”) pursuant to the Registrar and Transfer Agent Agreement between

the Fund, the Management Company 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 Portfolios. 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.

66

Goldman Sachs Funds



Balance at Balance at Currency 30-Nov-2014 Subscriptions Redemptions 31-May-2015


Asia PortfolioBase Accumulation Share Class USD 210,885 214,277 91,456 333,706Base Currency Share Class USD 251,239 1,689 25,485 227,443“A” Share Class USD 257,435 6,239 52,234 211,440“B” Share Class USD 1,294 — — 1,294“E” Accumulation Share Class EUR 194,479 83,978 55,289 223,168“I” Accumulation Share Class USD 500 425,035 — 425,535“I” Accumulation Share Class JPY 3,235,595 340,720 428,408 3,147,907“I” Share Class USD 677,903 16,991 77,304 617,590“P” Accumulation Share Class USD 336,347 21,150 53,649 303,848“P” Share Class USD 166,109 124 50,887 115,346“R” Accumulation Share Class USD 1,000 9,514 — 10,514“R” Accumulation Share Class EUR 1,000 40,215 7,295 33,920“R” Share Class USD 9,581 1,781 — 11,362

Asia Portfolio Total 5,343,367 1,161,713 842,007 5,663,073

BRICs PortfolioBase Accumulation Share Class USD 2,848,146 114,452 493,900 2,468,698Base Accumulation Share Class

(Long BRICS CCY vs USD) EUR 1,499,209 26,234 269,173 1,256,270Base Currency Share Class USD 511,072 33,500 126,422 418,150Other Currency Share Class GBP 5,118 — 1,104 4,014Other Currency Share Class SGD 1,005 2 — 1,007“A” Share Class USD 1,092,239 205,893 245,398 1,052,734“I” Share Class USD 152,634 10,846 9,454 154,026“I” Accumulation Share Class USD 843,498 74,230 76,978 840,750“E” Accumulation Share Class EUR 6,481,762 352,262 1,201,596 5,632,428“IO” Accumulation Share Class USD 362,945 1,110,602 158,384 1,315,163“IX” Share Class USD 4,027,688 134,483 579,932 3,582,239“IO” Accumulation Share Class GBP 5,512 19 286 5,245“P” Share Class USD 29,085 3,725 209 32,601“P” Accumulation Share Class USD 238,556 178 71,910 166,824“I” Accumulation Share Class EUR 881,162 107,076 396,703 591,535“I” Share Class GBP 1,351,882 22,771 51,019 1,323,634“R” Share Class USD 48,929 10 — 48,939“R” Accumulation Share Class USD 21,517 909 1,680 20,746“R” Share Class GBP 2,213 60 1,199 1,074“R” Accumulation Share Class EUR 20,805 112 19,340 1,577

BRICs Portfolio Total 20,424,977 2,197,364 3,704,687 18,917,654


Shareholder Services

The Management Company is responsible for shareholder services. This service is included within the

Management Company fee.

Prior to the Management Company’s appointment, GSI, through its European Shareholder Services Group,

received a fee from the Portfolios. This was in respect of investor services provided to shareholders in the

Portfolios and was payable monthly in arrears. Investors should note that this fee was in addition to the fee

payable to GSI in its capacity as Distributor.

Valuer

The Management Company has appointed IMD Controllers as its delegate to act as the Valuer during the period

ended 31 May 2015. Please also refer to Note 3.

8 Share capital

The following summarises the activity in the Portfolios’ shares for the period ended 31 May 2015.

67


China Opportunity PortfolioBase Accumulation Share Class USD 441,967 4,555 4,749 441,773Base Currency Share Class USD 7,119 17,262 17,748 6,633“I” Accumulation Share Class USD 7,590 — — 7,590“I” Share Class USD 23,708 21 21,888 1,841“R” Accumulation Share Class USD 1,000 — — 1,000“R” Share Class GBP 1,017 11 — 1,028“R” Share Class USD 1,016 12 — 1,028“P” Accumulation Share Class USD 60,069 46,030 48,652 57,447“P” Share Class USD 1,882 — — 1,882

China Opportunity Portfolio Total 545,368 67,891 93,037 520,222

Europe Equity Partners PortfolioBase Accumulation Share Class EUR 15,463 13,996 4,040 25,419Base Currency Share Class EUR 84,705 4,603 11,984 77,324Base Currency Share Class USD 1,169,955 87,923 442,974 814,904Other Currency Snap Share Class GBP 1,020 6 — 1,026“A” Share Class EUR 154,854 103,621 20,914 237,561“A” Share Class USD 251,514 36,267 76,170 211,611“E” Accumulation Share Class EUR 222,787 132,431 170,176 185,042“I” Accumulation Share Class EUR 4,172,033 5,205,199 293,948 9,083,284“I” Share Class EUR 1,718,923 170,329 64,201 1,825,051“P” Accumulation Share Class EUR 1,450,649 262,653 173,152 1,540,150“P” Share Class EUR 214,610 151,189 65,570 300,229“R” Accumulation Share Class EUR 17,823 136,196 15,944 138,075“R” Share Class EUR 50,506 519 — 51,025“R” Share Class GBP 11,140 85,866 50 96,956“R” Share Class USD 21,036 15,602 — 36,638

Europe Equity Partners Portfolio Total 9,557,018 6,406,400 1,339,123 14,624,295

Global Equity Partners PortfolioBase Accumulation Share Class USD 4,703,081 265,140 2,056,430 2,911,791Base Accumulation Share Class

(USD Hedged Class)* USD — 1,000 — 1,000Base Currency Share Class USD 1,197,338 54,827 108,164 1,144,001Base Currency Share Class (USD Hedged Class)* USD — 1,000 — 1,000Other Currency Accumulation Share Class GBP 430,206 18,195 214,898 233,503Other Currency Accumulation Share Class EUR 1,244,666 279,014 188,880 1,334,800Other Currency Accumulation Share Class

(EUR Hedged Class)* EUR — 50,000 — 50,000Other Currency Share Class GBP 968,250 35,671 95,644 908,277Other Currency Share Class (EUR Hedged Class)* EUR — 50,000 — 50,000“A” Accumulation Share Class USD 187,697 7,053 34,187 160,563“A” Share Class USD 229,149 37,467 22,644 243,972“E” Accumulation Share Class EUR 507,878 82,476 102,750 487,604“I” Accumulation Share Class EUR 807,865 565,962 392,348 981,479“I” Accumulation Share Class USD 10,337,533 2,427,605 1,490,259 11,274,879“IO” Accumulation Share Class USD 1,338,928 293,339 178,205 1,454,062“IO” Accumulation Share Class GBP 117,817 — 15,407 102,410“IO” Accumulation Share Class

(USD Hedged Class)* USD — 5,401,223 — 5,401,223“IO” Share Class USD 1,232,388 255,833 20,083 1,468,138“IO” Share Class GBP 1,286 9 — 1,295“P” Accumulation Share Class USD 11,577,442 1,980,197 2,886,346 10,671,293“P” Share Class USD 4,046,718 424,302 744,397 3,726,623“R” Accumulation Share Class USD 2,490,534 147,105 571,500 2,066,139“R” Share Class USD 2,199,719 252,310 225,812 2,226,217“R” Share Class GBP 1,471,663 286,040 202,497 1,555,206

Global Equity Partners Portfolio Total 45,090,158 12,915,768 9,550,451 48,455,475

Global Equity Unconstrained PortfolioBase Accumulation Share Class USD 1,000 722 — 1,722“I” Accumulation Share Class USD 429,356 — — 429,356“R” Accumulation Share Class USD 1,000 — — 1,000“R” Share Class USD 1,007 5 — 1,012

Global Equity Unconstrained Portfolio Total 432,363 727 — 433,090

8 Share Capital (continued)

Goldman Sachs Funds



68

Goldman Sachs Funds




Global Responsible Equity PortfolioBase Accumulation Snap Share Class USD 12,128 — 270 11,858Other Currency Snap Share Class GBP 1,005 325 — 1,330“A” Accumulation Snap Share Class USD 2,981 7,705 — 10,686“A” Snap Share Class USD 4,052 7,948 5,815 6,185“E” Accumulation Snap Share Class EUR 6,895 2,905 769 9,031“E” Snap Share Class EUR 29,749 3,511 11,015 22,245“I” Accumulation Snap Share Class USD 635,451 25,506 33,904 627,053“P” Accumulation Snap Share Class USD 148,601 — 15,167 133,434“P” Accumulation Snap Share Class EUR 266,643 — 32,498 234,145“P” Snap Share Class USD 47,959 1 — 47,960“P” Snap Share Class EUR 678,578 66 116,906 561,738“R” Accumulation Snap Share Class USD 486,070 16,141 22,987 479,224“R” Snap Share Class USD 22,942 892 — 23,834

Global Responsible Equity Portfolio Total 2,343,054 65,000 239,331 2,168,723

GMS Dynamic World Equity PortfolioBase Accumulation Share Class USD 26,462,146 3,697,043 10,960,357 19,198,832Base Currency Share Class USD 10,128,257 340,782 938,127 9,530,912Other Currency Accumulation Share Class EUR 3,410,753 337,804 1,164,524 2,584,033“I” Share Class USD 5,673,917 12,803 1,294,025 4,392,695“IO” Accumulation Share Class USD 16,138,395 — 405,724 15,732,671“R” Accumulation Share Class USD 105,432 313,439 — 418,871“R” Accumulation Share Class EUR 215,609 16,988 12,448 220,149“R” Share Class USD 2,018,665 896,998 228,102 2,687,561

GMS Dynamic World Equity Portfolio Total 64,153,174 5,615,857 15,003,307 54,765,724

Growth & Emerging Markets Broad Equity PortfolioBase Accumulation Share Class USD 243,098 38,393 19,351 262,140Base Currency Share Class USD 181,048 332 54,089 127,291Other Currency Snap Share Class GBP 1,000 — — 1,000“A” Share Class USD 146,819 1,851 14,077 134,593“B” Share Class USD 4,857 — 1,184 3,673“E” Accumulation Share Class EUR 175,887 48,311 26,758 197,440“I” Accumulation Share Class USD 1,499,835 1,111,662 149,694 2,461,803“I” Share Class USD 1,084,043 446,221 66,866 1,463,398“IO” Accumulation Share Class USD 288,497 — 31,661 256,836“IO” Accumulation Share Class GBP 1,000 — — 1,000“IX” Share Class USD 5,299,939 161,230 1,076,914 4,384,255“P” Accumulation Share Class USD 1,024,289 1,829 67,524 958,594“P” Share Class USD 117,927 7,898 15,775 110,050“R” Accumulation Share Class USD 1,584 — — 1,584“R” Share Class USD 1,007 2,903 — 3,910“R” Share Class GBP 1,941 89,182 — 91,123

Growth & Emerging Markets Broad Equity Portfolio Total 10,072,771 1,909,812 1,523,893 10,458,690

Growth Markets Plus Equity PortfolioBase Accumulation Share Class USD 1,000 — — 1,000Base Currency Share Class USD 1,000 — — 1,000“E” Accumulation Share Class EUR 1,000 — — 1,000“I” Accumulation Share Class USD 2,534,310 5,859 — 2,540,169“IO” Share Class AUD 10,986 190 51 11,125“R” Accumulation Share Class USD 1,000 2,000 — 3,000“R” Share Class USD 1,000 8 — 1,008“R” Share Class GBP 20,146 3,538 14,112 9,572

Growth Markets Plus Equity Portfolio Total 2,570,442 11,595 14,163 2,567,874

India Equity PortfolioBase Accumulation Share Class USD 18,805,524 40,601,296 15,764,426 43,642,394Base Currency Share Class USD 1,790,238 4,363,294 843,927 5,309,605Other Currency Accumulation Share Class* SEK — 1,301 — 1,301Other Currency Share Class GBP 19,233 60,871 2,422 77,682“A” Share Class USD 2,201,174 2,641,382 1,545,181 3,297,375“E” Accumulation Share Class EUR 1,732,209 3,953,987 2,006,546 3,679,650“I” Accumulation Share Class USD 18,788,125 20,585,785 6,056,049 33,317,861“I” Share Class USD 2,405,172 842,096 1,400,703 1,846,565


69


India Equity Portfolio (continued)“P” Accumulation Share Class USD 858,168 2,627,707 1,160,649 2,325,226“P” Share Class USD 699,468 684,544 974,472 409,540“R” Accumulation Share Class USD 308,243 1,503,157 232,598 1,578,802“R” Share Class USD 63,412 782,544 47,075 798,881“R” Share Class GBP 91,847 487,822 44,456 535,213

India Equity Portfolio Total 47,762,813 79,135,786 30,078,504 96,820,095

Japan Equity Partners Portfolio*Base Accumulation Share Class* JPY — 122 — 122Other Currency Accumulation Share Class

(CHF Hedged Class)* CHF — 10,000 — 10,000Other Currency Accumulation Share Class

(EUR Hedged Class)* EUR — 10,000 — 10,000“I” Accumulation Share Class* GBP — 1,000 — 1,000“I” Accumulation Share Class* JPY — 63,300 — 63,300“I” Accumulation Share Class

(EUR Hedged Class)* EUR — 10,000 — 10,000“I” Accumulation Share Class

(GBP Hedged Class)* GBP — 10,000 — 10,000“R” Accumulation Share Class* JPY — 122 — 122“R” Accumulation Share Class

(EUR Hedged Class)* EUR — 10,000 — 10,000“R” Accumulation Share Class

(GBP Hedged Class)* GBP — 10,000 — 10,000

Japan Equity Partners Portfolio Total — 124,544 — 124,544

Japan PortfolioBase Accumulation Share Class JPY 2,442,302 1,105,049 1,236,717 2,310,634Base Currency Share Class JPY 2,987,287 3,924,605 802,873 6,109,019Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 11,232,607 10,790,680 8,918,962 13,104,325Other Currency Accumulation Share Class

(SEK Hedged Class) SEK 968,894 1,205,575 898,072 1,276,397Other Currency Accumulation Share Class

(USD Hedged Class) USD 639,477 228,619 8,227 859,869Other Currency Share Class GBP 1,000 — — 1,000Other Currency Share Class USD 195,936 507,047 416,579 286,404“A” Share Class USD 1,295,990 350,682 440,927 1,205,745“B” Share Class USD 8,826 — — 8,826“E” Accumulation Share Class EUR 1,330,727 13,975,068 1,133,325 14,172,470“E” Accumulation Share Class

(EUR Hedged Class) EUR 2,000,205 1,168,392 705,595 2,463,002“I” Accumulation Share Class JPY 3,058,634 1,869,768 535,079 4,393,323“I” Accumulation Share Class

(EUR Hedged Class) EUR 3,330,970 3,234,026 3,993,927 2,571,069“I” Accumulation Share Class

(USD Hedged Class) USD 7,647,309 643,491 85,298 8,205,502“I” Share Class JPY 2,019,419 1,119,885 115,822 3,023,482“P” Accumulation Share Class JPY 367,147 27,917 213,866 181,198“P” Accumulation Share Class

(USD Hedged Class) USD 4,093,931 2,640,588 1,078,374 5,656,145“P” Share Class JPY 56,640 139,682 110,490 85,832“R” Accumulation Snap Share Class JPY 1,516,846 106,226 339,662 1,283,410“R” Snap Share Class GBP 109,130 32,963 34,043 108,050“R” Snap Share Class JPY 46,233 34,969 42,065 39,137

Japan Portfolio Total 45,349,510 43,105,232 21,109,903 67,344,839


Goldman Sachs Funds



70

Goldman Sachs Funds




N-11® Equity PortfolioBase Accumulation Share Class USD 11,387,872 890,774 5,445,219 6,833,427Base Currency Share Class USD 2,016,788 49,109 609,386 1,456,511Other Currency Accumulation Share Class EUR 8,506,885 375,360 1,999,365 6,882,880Other Currency Share Class EUR 632,357 14,948 98,273 549,032Other Currency Share Class GBP 82,829 2,000 25,132 59,697Other Currency Share Class SGD 1,000 — — 1,000“E” Accumulation Share Class EUR 11,742,437 1,052,151 3,797,404 8,997,184“I” Accumulation Share Class USD 41,617,010 3,053,849 12,652,595 32,018,264“I” Share Class GBP 889,889 130,865 44,500 976,254“I” Share Class USD 6,621,908 694,815 4,240,631 3,076,092“IO” Accumulation Share Class USD 2,456,819 — — 2,456,819“P” Accumulation Share Class USD 2,136,604 18,574 1,006,727 1,148,451“P” Share Class USD 263,701 593 54,800 209,494“R” Accumulation Share Class EUR 12,261,497 383,820 6,242,091 6,403,226“R” Accumulation Share Class USD 1,019,611 55,864 415,714 659,761“R” Share Class EUR 69,495 11,572 4,372 76,695“R” Share Class GBP 46,808 19,020 12,935 52,893“R” Share Class USD 306,856 65,238 10,458 361,636

N-11® Equity Portfolio Total 102,060,366 6,818,552 36,659,602 72,219,316

Strategic Global Equity PortfolioBase Accumulation Share Class USD 1,760 — — 1,760Base Currency Share Class USD 293,940 2,119 26,595 269,464“A” Share Class USD 106,732 10,283 44,458 72,557“E” Accumulation Share Class EUR 85,895 20,819 9,854 96,860“I” Accumulation Share Class USD 973,270 96,305 204,302 865,273“P” Accumulation Share Class USD 72,464 3,190 39,471 36,183“P” Share Class USD 1,015 — — 1,015“R” Accumulation Share Class USD 1,000 — — 1,000“R” Share Class USD 15,793 5 — 15,798“R” Share Class GBP 1,006 4 — 1,010

Strategic Global Equity Portfolio Total 1,552,875 132,725 324,680 1,360,920

US Equity PortfolioBase Accumulation Share Class USD 81,863,574 13,980,853 19,231,104 76,613,323Base Currency Share Class USD 2,452,423 256,639 829,371 1,879,691Other Currency Accumulation Share Class EUR 13,603 11,300 1,739 23,164Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 13,943,096 688,377 2,986,159 11,645,314Other Currency Share Class GBP 54,976 — 1,764 53,212Other Currency Share Class SGD 28,119 — — 28,119“A” Share Class USD 1,087,772 102,011 271,743 918,040“E” Accumulation Share Class EUR 799,917 115,182 173,097 742,002“E” Accumulation Share Class

(EUR Hedged Class) EUR 260,147 67,274 188,215 139,206“I” Accumulation Share Class USD 40,630,491 12,288,451 5,576,349 47,342,593“I” Share Class GBP 8,177,230 1,363,365 1,013,549 8,527,046“I” Share Class USD 3,750,576 570,397 700,068 3,620,905“IO” Accumulation Share Class USD 1,480,152 65,790 658,931 887,011“P” Accumulation Share Class USD 3,190,581 90,843 567,447 2,713,977“P” Share Class USD 2,170,003 2,936 339,348 1,833,591“R” Accumulation Share Class EUR 5,859,785 106,168 1,964,365 4,001,588“R” Accumulation Share Class USD 1,971,210 28,052 53,282 1,945,980“R” Accumulation Share Class

(EUR Hedged Class) EUR 31,033 1,759 18,586 14,206“R” Share Class GBP 430,240 371,667 4,229 797,678“R” Share Class USD 1,361,914 198,245 423,049 1,137,110

US Equity Portfolio Total 169,556,842 30,309,309 35,002,395 164,863,756


71


US Focused Growth Equity PortfolioBase Accumulation Share Class USD 470,506 65,743 280,844 255,405Base Currency Share Class USD 543,674 34,477 67,696 510,455“A” Share Class USD 1,466,889 347,790 358,845 1,455,834“B” Share Class USD 12,816 — — 12,816“E” Accumulation Share Class EUR 107,968 14,482 10,282 112,168“I” Accumulation Share Class USD 165,873 695,996 172,597 689,272“I” Share Class USD 551,069 24,854 233,090 342,833“P” Accumulation Share Class USD 593,281 3,911 50,174 547,018“P” Share Class USD 262,197 — 28,187 234,010“R” Accumulation Share Class USD 1,000 21,800 21,800 1,000“R” Share Class GBP 1,000 — — 1,000“R” Share Class USD 1,000 — — 1,000

US Focused Growth Equity Portfolio Total 4,177,273 1,209,053 1,223,515 4,162,811


Europe CORE® Equity PortfolioBase Accumulation Share Class EUR 531,375 32,789 90,363 473,801Base Currency Share Class EUR 1,853,042 329,503 403,696 1,778,849“A” Share Class EUR 598,667 29,783 42,505 585,945“A” Share Class USD 699,775 859 58,407 642,227“E” Accumulation Share Class EUR 342,214 532,955 532,030 343,139“I” Accumulation Share Class EUR 5,098,007 3,265,372 2,220,845 6,142,534“I” Share Class EUR 1,125,761 90,637 28,708 1,187,690“IO” Accumulation Share Class EUR 1,000 — — 1,000“P” Accumulation Share Class EUR 2,550,225 1,058,548 1,045,054 2,563,719“R” Accumulation Share Class EUR 190,126 20,350 30,128 180,348“R” Share Class EUR 236,984 14,992 71,332 180,644“R” Share Class GBP 1,026 30 — 1,056

Europe CORE® Equity Portfolio Total 13,228,202 5,375,818 4,523,068 14,080,952

Global CORE® Equity PortfolioBase Accumulation Close Share Class USD 453,621 191,762 65,406 579,977Base Accumulation Snap Share Class USD 496,398 266,862 673,274 89,986Base Currency Close Share Class USD 176,719 30,947 8,144 199,522Base Currency Snap Share Class USD 321,920 1,431,950 456,752 1,297,118“A” Snap Share Class USD 79,304 264,298 33,709 309,893“E” Accumulation Close Share Class EUR 288,313 712,341 155,938 844,716“E” Accumulation Snap Share Class EUR 2,435,197 470,699 172,507 2,733,389“I” Accumulation Close Share Class EUR 2,171,556 912,867 586,265 2,498,158“I” Accumulation Close Share Class USD 4,900,107 3,604,891 2,318,942 6,186,056“I” Close Share Class USD 895 11 — 906“I” Snap Share Class USD 97,456 1,690 — 99,146“IO” Accumulation Close Share Class EUR 4,535,616 349,926 152,996 4,732,546“IO” Accumulation Close Share Class GBP 265,016 — 23,753 241,263“IO” Accumulation Close Share Class USD 658 7,743,242 164,449 7,579,451“IO” Accumulation Snap Share Class* USD — 545,463 — 545,463“IO” Snap Share Class USD 1,603,516 832,143 542,116 1,893,543“P” Accumulation Snap Share Class USD 1,384,051 127,290 836,594 674,747“P” Snap Share Class USD 430,309 554 — 430,863“R” Accumulation Snap Share Class USD 2,430 21,458 1,430 22,458“R” Snap Share Class USD 1,010 12 — 1,022

Global CORE® Equity Portfolio Total 19,644,092 17,508,406 6,192,275 30,960,223

Global Small Cap CORE® Equity PortfolioBase Currency Close Share Class USD 1,213,331 164,327 116,014 1,261,644Base Currency Snap Share Class USD 11,673,886 617,833 1,939,855 10,351,864“A” Close Share Class USD 139,979 12,262 33,262 118,979“A” Snap Share Class USD 58,879 7,178 14,805 51,252“E” Accumulation Close Share Class EUR 267,662 352,484 340,567 279,579“E” Accumulation Snap Share Class EUR 512,932 251,100 231,250 532,782“I” Accumulation Snap Share Class EUR 4,654,534 2,238,513 1,321,560 5,571,487“IO” Accumulation Close Share Class USD 4,759,886 1,718,273 90,201 6,387,958“IO” Accumulation Close Share Class GBP 7,943 — 962 6,981


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Global Small Cap CORE® Equity Portfolio (continued)“IO” Accumulation Snap Share Class* USD — 218,484 — 218,484“IO” Snap Share Class USD 1,987,638 210,299 320,292 1,877,645“P” Accumulation Snap Share Class USD 115,956 525 4,312 112,169“R” Accumulation Snap Share Class USD 108,621 210,480 30,740 288,361“R” Snap Share Class USD 462,642 7 — 462,649

Global Small Cap CORE® Equity Portfolio Total 25,963,889 6,001,765 4,443,820 27,521,834

Growth & Emerging Markets CORE® Equity PortfolioBase Accumulation Close Share Class USD 546,189 410,061 141,626 814,624“I” Accumulation Close Share Class USD 3,470,966 5,099,630 2,137,884 6,432,712“IO” Accumulation Close Share Class GBP 19,103 300 1,290 18,113“IO” Accumulation Close Share Class USD 11,249,299 578,640 1,786,497 10,041,442“IO” Close Share Class USD 872,478 211,540 342,885 741,133“P” Accumulation Close Share Class USD 650,240 366,480 402,715 614,005“P” Close Share Class USD 59,203 118,762 — 177,965“R” Accumulation Close Share Class USD 83,801 11,771 2,486 93,086“R” Close Share Class USD 1,018 21 — 1,039“R” Close Share Class GBP 993,896 141,494 91,083 1,044,307

Growth & Emerging Markets CORE® Equity Portfolio Total 17,946,193 6,938,699 4,906,466 19,978,426

US CORE® Equity PortfolioBase Accumulation Close Share Class USD 6,257,430 4,215,874 1,013,773 9,459,531Base Accumulation Snap Share Class USD 5,757,233 2,581,825 1,795,266 6,543,792Base Currency Close Share Class USD 254,065 31,354 17,000 268,419Base Currency Snap Share Class USD 4,110,489 3,463,949 3,373,685 4,200,753“A” Snap Share Class USD 1,694,437 234,244 588,103 1,340,578“B” Snap Share Class USD 2,051 — — 2,051“E” Accumulation Snap Share Class EUR 2,310,428 3,597,597 1,487,471 4,420,554“I” Accumulation Snap Share Class* USD — 8,483,750 — 8,483,750“I” Snap Share Class USD 5,492,442 2,382,798 3,630,988 4,244,252“P” Accumulation Snap Share Class USD 1,887,825 1,827,049 248,149 3,466,725“P” Snap Share Class USD 89,345 63,993 50,997 102,341“R” Accumulation Snap Share Class USD 4,200 9,732 1,190 12,742“R” Snap Share Class GBP 1,007 16,381 — 17,388“R” Snap Share Class USD 1,006 6 — 1,012“U” Close Share Class USD 157,404 — 4 157,400

US CORE® Equity Portfolio Total 28,019,362 26,908,552 12,206,626 42,721,288

US Small Cap CORE® Equity PortfolioBase Accumulation Close Share Class USD 273,830 66,047 203,769 136,108Base Accumulation Snap Share Class USD 65,760 105,920 104,340 67,340Base Currency Snap Share Class USD 441,478 6,761 136,886 311,353“A” Close Share Class USD 49,633 414,210 83,009 380,834“E” Accumulation Close Share Class EUR 39,300 23,417 26,526 36,191“E” Accumulation Snap Share Class EUR 50,504 23,934 24,073 50,365“I” Accumulation Snap Share Class USD 1,292,921 29,638 1,021,025 301,534“I” Snap Share Class USD 2,545,465 196,120 99,315 2,642,270“P” Accumulation Snap Share Class USD 1,379,562 744,072 294,400 1,829,234“R” Accumulation Snap Share Class USD 170,281 54,908 72,590 152,599“R” Snap Share Class GBP 13,870 9,402 — 23,272“R” Snap Share Class USD 228,292 68,128 27,085 269,335

US Small Cap CORE® Equity Portfolio Total 6,550,896 1,742,557 2,093,018 6,200,435


GIVI Europe Equity PortfolioBase Accumulation Close Share Class EUR 1,000 — — 1,000Base Accumulation Snap Share Class EUR 1,000 — — 1,000Base Currency Snap Share Class EUR 1,026 26 — 1,052“E” Accumulation Snap Share Class EUR 6,608 5,004 756 10,856“I” Accumulation Close Share Class EUR 147,566 — 146,568 998“IO” (Dis) (Semi-Annual) Snap Share Class* EUR — 9,219,781 18,993 9,200,788“R” Accumulation Snap Share Class EUR 1,000 — — 1,000“R” Snap Share Class EUR 1,029 30 — 1,059

GIVI Europe Equity Portfolio Total 159,229 9,224,841 166,317 9,217,753

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GIVI Global Equity – Growth Markets Tilt PortfolioBase Accumulation Close Share Class USD 1,000 — — 1,000Base Accumulation Snap Share Class USD 1,016,128 — 24,170 991,958Base Snap Share Class USD 1,015 15 — 1,030“E” Accumulation Snap Share Class EUR 3,256 2,105 998 4,363“I” Accumulation Close Share Class USD 812,909 — — 812,909“IO” Accumulation Close Share Class USD 2,097,169 1,006,650 408,559 2,695,260“P” Accumulation Snap Share Class USD 42,022 — 41,022 1,000“P” Snap Share Class USD 1,017 18 — 1,035“R” Accumulation Snap Share Class USD 40,090 — — 40,090“R” Snap Share Class USD 1,018 19 — 1,037

GIVI Global Equity – Growth Markets Tilt Portfolio Total 4,015,624 1,008,807 474,749 4,549,682

GIVI Growth and Emerging Markets Equity PortfolioBase Accumulation Close Share Class USD 1,000 — — 1,000Base Accumulation Snap Share Class USD 1,000 — — 1,000Base Snap Share Class USD 1,016 19 — 1,035“E” Accumulation Snap Share Class EUR 12,267 5,968 14,836 3,399“I” Accumulation Close Share Class USD 448,406 11,226 2,777 456,855“R” Accumulation Snap Share Class USD 5,672 — — 5,672“R” Snap Share Class USD 1,021 26 — 1,047

GIVI Growth and Emerging Markets Equity Portfolio Total 470,382 17,239 17,613 470,008


North American Shale Revolution & Energy Infrastructure Portfolio

Base Accumulation Share Class USD 22,666,270 884,731 8,237,731 15,313,270Base Currency Share Class USD 1,545,415 47,074 495,713 1,096,776“E” Accumulation Share Class EUR 1,037,675 215,826 619,050 634,451“I” Accumulation Share Class USD 3,110,359 223,576 726,048 2,607,887“I” Share Class USD 1,049,173 1,740,819 868,196 1,921,796“P” Accumulation Share Class USD 16,022,488 682,624 3,408,858 13,296,254“P” Share Class USD 3,696,553 10,363 705,313 3,001,603“R” Accumulation Share Class USD 1,191,015 313,426 764,400 740,041“R” Share Class USD 1,110,987 102,753 328,001 885,739

North American Shale Revolution &

Energy Infrastructure Portfolio Total 51,429,935 4,221,192 16,153,310 39,497,817


Euro Fixed Income PortfolioBase Accumulation Share Class EUR 37,362 9,344 17,494 29,212Base Currency Share Class EUR 109,896 2,114 12,192 99,818“A” Share Class EUR 307,801 63,336 96,273 274,864“E” Accumulation Share Class EUR 163,813 165,461 39,039 290,235“I” Accumulation Share Class EUR 149,979 24,195 889 173,285“I” Share Class EUR 487,975 73,101 26,401 534,675“P” Accumulation Share Class EUR 18,573 — 1,741 16,832“P” Share Class EUR 1,050 17 — 1,067“R” Accumulation Share Class EUR 1,000 — — 1,000“R” Share Class EUR 1,020 17 — 1,037

Euro Fixed Income Portfolio Total 1,278,469 337,585 194,029 1,422,025

Euro Short Duration Bond PortfolioBase Accumulation Share Class EUR 18,885 — — 18,885Base Currency Share Class EUR 1,000 3 — 1,003“E” Accumulation Share Class EUR 1,000 2,188 — 3,188“I” Accumulation Share Class EUR 723,016 — — 723,016“I” Share Class EUR 1,000 6 — 1,006“P” Accumulation Share Class EUR 260,528 172,328 24,480 408,376“P” Share Class EUR 1,000 5 — 1,005“R” Accumulation Share Class EUR 93,997 13,160 57,946 49,211“R” Share Class EUR 35,926 3,396 — 39,322

Euro Short Duration Bond Portfolio Total 1,136,352 191,086 82,426 1,245,012

Goldman Sachs Funds



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Europe High Yield Bond PortfolioBase Accumulation Share Class EUR 100 70 — 170Base Accumulation Share Class

(USD Hedged Class) USD 1,344 — 344 1,000Base Currency Share Class EUR 100 1 — 101“E” Accumulation Share Class EUR 3,097 3,991 — 7,088“I” Accumulation Share Class EUR 1,558,749 1,270,791 23,644 2,805,896“I” Share Class EUR 36,555 17,474 37,847 16,182“P” (Dis) (Monthly) Share Class

(USD Hedged Class) USD 75,532 91 60,515 15,108“P” Accumulation Share Class EUR 30,224 20,903 7,337 43,790“P” Accumulation Share Class

(USD Hedged Class) USD 319,292 28,022 156,830 190,484“P” Share Class EUR 41,512 1,002 775 41,739“R” Accumulation Share Class EUR 2,378 7,211 — 9,589“R” Share Class EUR 100 2 — 102“R” Share Class (GBP Hedged Class) GBP 1,000 15 — 1,015

Europe High Yield Bond Portfolio Total 2,069,983 1,349,573 287,292 3,132,264

Global Credit Portfolio (Hedged)Base Accumulation Share Class USD 409,275 826,201 1,011,127 224,349Base Currency Share Class USD 536,877 18,730 3,775 551,832Other Currency Accumulation Share Class

(SEK Hedged Class) SEK 6,630 — — 6,630“A” Share Class USD 22,838 12,074 19,624 15,288“E” Accumulation Share Class

(EUR Hedged Class) EUR 2,115,511 445,610 715,469 1,845,652“I” (Dis) (Quarterly) Share Class

(Duration Hedged Class) USD 3,123,573 139,212 692,983 2,569,802“I” Accumulation Share Class USD 937,944 505,532 650,949 792,527“I” Accumulation Share Class

(CHF Hedged Class) CHF 3,007,951 702,927 — 3,710,878“I” Accumulation Share Class

(EUR Hedged Class) EUR 7,510,446 2,649,863 990,627 9,169,682“I” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 15,456,833 20,494 15,469,701 7,626“I” Share Class (GBP Hedged Class) GBP 694,414 762,353 9,643 1,447,124“IO” Accumulation Share Class USD 1,919,594 1,378,740 1,923,159 1,375,175“IO” Accumulation Share Class

(GBP Hedged Class) (Duration Hedged Class)* GBP — 609,920 — 609,920“IO” Share Class USD 88,601 103,333 — 191,934“P” Accumulation Share Class USD 5,017,903 748,210 1,676,190 4,089,923“P” Accumulation Share Class

(Duration Hedged Class) USD 9,348,335 13,541,691 1,557,404 21,332,622“P” Accumulation Share Class

(EUR Hedged Class) EUR 7,244,053 874,100 2,568,088 5,550,065“P” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 2,496,990 133,192 884,716 1,745,466“P” Accumulation Share Class

(GBP Hedged Class) GBP 718,644 37,000 97,016 658,628“P” Share Class USD 1,586,483 276,486 797,914 1,065,055“P” Share Class (EUR Hedged Class) EUR 148,039 278,947 277,968 149,018“P” Share Class (GBP Hedged Class) GBP 4,198,936 54,610 2,529,038 1,724,508“R” Accumulation Share Class USD 1,844,484 342,829 919,791 1,267,522“R” Accumulation Share Class

(Duration Hedged Class) USD 1,713,886 354,007 63,660 2,004,233“R” Accumulation Share Class

(EUR Hedged Class) EUR 895,268 54,272 441,342 508,198“R” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 4,189,891 598,968 553,782 4,235,077“R” Share Class USD 1,605,420 1,486,888 397,877 2,694,431“R” Share Class (EUR Hedged Class) EUR 270,830 — 12,380 258,450“R” Share Class (GBP Hedged Class) GBP 1,897,130 341,513 1,266,771 971,872“R” Share Class (GBP Hedged Class)

(Duration Hedged Class) GBP 948,631 72,881 49,274 972,238

Global Credit Portfolio (Hedged) Total 79,955,410 27,370,583 35,580,268 71,745,725

75



Global Fixed Income PortfolioBase Accumulation Share Class USD 636,661 114,728 154,116 597,273Base Currency Share Class USD 212,927 5,234 35,036 183,125“A” Share Class USD 1,991,559 17,229 67,828 1,940,960“B” Share Class USD 118 — (1) 119“E” Accumulation Share Class EUR 178,547 145,237 113,061 210,723“I” Accumulation Share Class EUR 952,118 928,881 508,454 1,372,545“I” Share Class USD 4,398,176 7,929 369,621 4,036,484“IO” Accumulation Share Class USD 2,349,430 22,896 647,275 1,725,051“P” Accumulation Share Class USD 192,179 153,400 62,588 282,991“P” Share Class USD 555,158 147,992 116,849 586,301“R” Accumulation Share Class USD 764,630 — 764,532 98“R” Share Class USD 1,023 290,380 — 291,403

Global Fixed Income Portfolio Total 12,232,526 1,833,906 2,839,359 11,227,073

Global Fixed Income Portfolio (Hedged)Base Accumulation Share Class EUR 322,745 134,673 42,562 414,856Base Currency Share Class EUR 19,104 1,666 1,434 19,336“E” Accumulation Share Class EUR 144,400 52,403 22,680 174,123“I” Accumulation Share Class EUR 1,594,003 2,221,169 2,517,011 1,298,161“I” Share Class EUR 5,925,118 45 — 5,925,163“IO” Accumulation Share Class

(USD Hedged Class) USD 6,714 1,817,459 1,599,377 224,796“IO” Share Class (USD Hedged Class) USD 1,321,058 1,015,004 507,699 1,828,363“IXO” (Dis) (Monthly) Share Class

(USD Hedged Class)* USD — 1,304,920 24,390 1,280,530“P” Accumulation Share Class EUR 5,680,845 1,837,925 970,505 6,548,265“P” Accumulation Share Class

(CHF Hedged Class) CHF 1,051,274 136,000 530,674 656,600“P” Share Class EUR 267,968 1,059,041 476,231 850,778“P” Share Class (GBP Hedged Class) GBP 3,215,457 695,317 680,103 3,230,671“P” Share Class (USD Hedged Class) USD 7,900,312 4,716,044 4,292,472 8,323,884“R” Accumulation Share Class EUR 804,647 276,503 78,428 1,002,722“R” Accumulation Share Class

(USD Hedged Class) USD 619,306 1,222,490 — 1,841,796“R” Share Class EUR 113,459 91,474 21,420 183,513“R” Share Class (GBP Hedged Class) GBP 2,367,326 1,586,155 274,992 3,678,489“R” Share Class (USD Hedged Class) USD 1,562,324 1,105,771 241,143 2,426,952

Global Fixed Income Portfolio (Hedged) Total 32,916,060 19,274,059 12,281,121 39,908,998

Global High Yield PortfolioBase Accumulation Share Class USD 24,863,309 9,238,756 7,823,244 26,278,821Base Accumulation Share Class

(Duration Hedged Class) USD 68,441,225 9,441,267 33,380,556 44,501,936Base Accumulation Share Class

(SEK Hedged Class) SEK 334,732 64,534 12,547 386,719Base Currency (Dis) (Monthly) Share Class USD 6,010,497 710,825 1,582,912 5,138,410Base Currency (Dis) (Monthly) Share Class

(Duration Hedged Class) USD 24,905,523 1,303,532 12,735,093 13,473,962Base Currency Share Class USD 36,928,779 7,045,992 9,455,037 34,519,734Base Currency Share Class

(Duration Hedged Class) USD 38,515,137 2,516,232 12,739,325 28,292,044Other Currency (Dis) (Monthly) Share Class

(HKD Hedged Class) (Duration Hedged Class) HKD 2,544,611 71,206 1,439,698 1,176,119

Other Currency (Dis) (Monthly) Share Class (RMB Hedged Class) (Duration Hedged Class) CNH 413,458 — 205,166 208,292

Other Currency (Dis) (Quarterly) Share Class (CHF Hedged Class) (Duration Hedged Class) CHF 129,971 34,093 — 164,064

Other Currency (Dis) (Quarterly) Share Class (SGD Hedged Class) (Duration Hedged Class) SGD 8,007,701 69,571 2,044,668 6,032,604

Other Currency Accumulation Share Class (EUR Hedged Class) EUR 8,249,919 4,224,538 3,679,711 8,794,746

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Goldman Sachs Funds




Global High Yield Portfolio (continued)Other Currency Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 9,478,196 1,319,652 6,697,546 4,100,302Other Currency Accumulation Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 266,282 105,786 24,045 348,023Other Currency Share Class (CHF Hedged Class) CHF 563,979 380,186 52,993 891,172Other Currency Share Class (GBP Hedged Class) GBP 2,644,691 914,892 226,629 3,332,954Other Currency Share Class (SGD Hedged Class) SGD 218,625 720 29,371 189,974“A” (Dis) (Monthly) Share Class USD 3,795,540 304,158 411,462 3,688,236“A” Share Class USD 18,498,621 2,819,732 4,283,808 17,034,545“B” Share Class USD 20,929 360 17,472 3,817“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 6,136,129 189,468 2,303,182 4,022,415“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 4,876,928 162,485 1,684,312 3,355,101“E” Accumulation Share Class EUR 2,719,765 807,904 921,935 2,605,734“E” Accumulation Share Class

(EUR Hedged Class) EUR 9,303,519 394,763 3,482,250 6,216,032“E” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 5,569,268 637,319 2,434,723 3,771,864“E” Share Class (EUR Hedged Class) EUR 46,307,882 1,908,932 30,937,522 17,279,292“I” (Dis) (Monthly) Share Class USD 29,710,948 — — 29,710,948“I” Accumulation Share Class USD 50,616,000 23,736,143 10,247,461 64,104,682“I” Accumulation Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 10,097 — — 10,097“I” Accumulation Share Class

(Duration Hedged Class) USD 25,045,203 4,577,805 11,560,334 18,062,674“I” Accumulation Share Class

(EUR Hedged Class) EUR 15,313,457 25,939,185 3,529,840 37,722,802“I” Accumulation Share Class

(GBP Hedged Class) GBP 13,185 352,425 1,706 363,904“I” Share Class EUR 17,224,257 31,447 228,520 17,027,184“I” Share Class USD 46,206,092 8,454,125 16,561,276 38,098,941“I” Share Class (EUR Hedged Class) EUR 4,008,004 141,693 549,075 3,600,622“I” Share Class (GBP Hedged Class) GBP 12,273,871 4,169,914 6,064,604 10,379,181“I” Share Class (GBP Hedged Class)

(Duration Hedged Class) GBP 5,031 2,438,853 4,974 2,438,910“IO” (Dis) (Quarterly) Share Class

(AUD Hedged Class) AUD 1,642,633 115,284 — 1,757,917“IO” Accumulation Share Class USD 14,293,448 89,738 10,929,275 3,453,911“IO” Accumulation Share Class

(Duration Hedged Class) USD 6,914,797 1,144,000 7,878,189 180,608“IO” Accumulation Share Class

(EUR Hedged Class) EUR 10,000 — — 10,000“IO” Accumulation Share Class

(GBP Hedged Class) GBP 705,984 1,107 37,083 670,008“IO” Share Class USD 45,406,428 6,813,021 11,669,562 40,549,887“IO” Share Class (Duration Hedged Class) USD 170,685 43,928 135,092 79,521“IS” Accumulation Share Class USD 63,101,956 10,028,397 22,194,726 50,935,627“IS” Accumulation Share Class

(CHF Hedged Class) CHF 52,308,471 5,572,340 16,030,600 41,850,211“IS” Accumulation Share Class

(EUR Hedged Class) EUR 43,782,869 10,950,231 15,688,032 39,045,068“IS” Accumulation Share Class

(GBP Hedged Class) GBP 10,000 — — 10,000“IS” Accumulation Share Class

(SGD Hedged Class) SGD 809,818 367,597 530,907 646,508“IS” Share Class USD 4,923,181 479,861 1,411,811 3,991,231“IS” Share Class (GBP Hedged Class) GBP 1,794,661 392,362 577,887 1,609,136“IX” Share Class (JPY Hedged Class) JPY 40,454,786 2,130,135 4,359,219 38,225,702“R” (Dis) (Quarterly) Share Class

(EUR Hedged Class) (Duration Hedged Class)* EUR — 10,205 — 10,205“R” Accumulation Share Class USD 3,897,250 2,546,289 522,813 5,920,726“R” Accumulation Share Class

(CHF Hedged Class) CHF 25,708 — 8,845 16,863“R” Accumulation Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 74,850 485,554 242,485 317,919“R” Accumulation Share Class (EUR Hedged Class) EUR 3,076,953 1,067,094 2,231,702 1,912,345

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Global High Yield Portfolio (continued)“R” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 4,586,488 1,386,808 4,128,293 1,845,003“R” Share Class USD 4,141,536 2,518,015 1,356,406 5,303,145“R” Share Class (Duration Hedged Class) USD 4,696,437 6,109,888 372,020 10,434,305“R” Share Class (EUR Hedged Class) EUR 1,516,723 962,966 734,871 1,744,818“R” Share Class (GBP Hedged Class) GBP 11,294,745 4,466,068 2,276,744 13,484,069

Global High Yield Portfolio Total 839,811,768 172,189,381 290,669,559 721,331,590

Global Sovereign Bond Portfolio*Base Currency Share Class* USD — 100 — 100Base Accumulation Share Class* USD — 100 — 100“I” Share Class* USD — 100 — 100“I” Accumulation Share Class* USD — 100 — 100“I” Accumulation Share Class

(EUR Partially Hedged Class)* EUR — 951,662 — 951,662

Global Sovereign Bond Portfolio Total — 952,062 — 952,062

Growth & Emerging Markets Corporate Bond PortfolioBase Accumulation Share Class USD 40,553 409,894 20,541 429,906Base Currency Share Class USD 23,377 616 6,331 17,662Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 148,866 1,559 30,265 120,160Other Currency Share Class (EUR Hedged Class) EUR 80,202 1,029 6,321 74,910Other Currency Share Class (GBP Hedged Class) GBP 4,325 597 — 4,922“A” Share Class USD 16,591 3,603 7,605 12,589“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 18,235 999 7,075 12,159“E” Accumulation Share Class (EUR Hedged Class) EUR 38,380 1,227 25,413 14,194“I” Accumulation Share Class USD 218,846 390,712 113,493 496,065“I” Accumulation Share Class (EUR Hedged Class) EUR 177,859 31,894 99,972 109,781“I” Accumulation Share Class (GBP Hedged Class)* GBP — 276,776 6,363 270,413“I” Share Class USD 1,721 68 765 1,024“I” Share Class (EUR Hedged Class) EUR 1,066 48 — 1,114“IO” Accumulation Share Class* USD — 700,000 — 700,000“IO” Share Class USD 100,325 4,919 60,797 44,447“P” Accumulation Share Class USD 67,809 2,701 21,815 48,695“P” Share Class USD 1,625 310 — 1,935“R” Accumulation Share Class USD 260 — — 260“R” Share Class USD 980 159 — 1,139“R” Share Class (GBP Hedged Class) GBP 2,129 46 1,092 1,083

Growth & Emerging Markets Corporate Bond Portfolio Total 943,149 1,827,157 407,848 2,362,458

Growth & Emerging Markets Debt Blend PortfolioBase Accumulation Share Class USD 100 — — 100Base Currency Share Class USD 7,218 5 7,111 112Other Currency Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,000 — — 1,000Other Currency Share Class

(EUR Partially Hedged Class) EUR 1,016 51 — 1,067“E” Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,048 122 48 1,122“I” Accumulation Share Class USD 312,997 — 312,897 100“I” Accumulation Share Class

(GBP Partially Hedged Class)* GBP — 367,849 1,534 366,315“I” Share Class USD 102 6 — 108“I” Share Class (GBP Partially Hedged Class) GBP 1,020 59 — 1,079“IO” Accumulation Share Class

(GBP Partially Hedged Class) GBP 1,200,000 — — 1,200,000“R” Accumulation Share Class USD 1,153 110 — 1,263“R” Share Class USD 102 1,626 — 1,728“R” Share Class (GBP Partially Hedged Class) GBP 1,020 58 — 1,078

Growth & Emerging Markets Debt Blend Portfolio Total 1,526,776 369,886 321,590 1,575,072

78



Growth & Emerging Markets Debt Local PortfolioBase Accumulation Share Class USD 1,687,777 1,128,619 1,936,009 880,387Base Currency (Dis) (Monthly) Share Class USD 6,592 773 4,426 2,939Base Currency Share Class USD 703,515 141,117 227,930 616,702Other Currency Share Class GBP 1,124,303 327,968 — 1,452,271“A” Accumulation Share Class USD 452,513 73,706 207,643 318,576“A” Share Class USD 1,779,320 73,033 346,063 1,506,290“E” (Dis) (Quarterly) Share Class EUR 419,487 37,681 120,788 336,380“E” Accumulation Share Class EUR 962,775 337,253 426,733 873,295“E” Share Class EUR 4,419,549 202,441 3,879,522 742,468“I” (Dis) (Quarterly) Share Class EUR 1,474,175 6,056,805 270,712 7,260,268“I” Accumulation Share Class EUR 20,810,699 1,358,316 1,876,292 20,292,723“I” Accumulation Share Class USD 45,269,003 8,510,900 9,882,778 43,897,125“I” Accumulation Share Class* GBP — 4,693,189 — 4,693,189“I” Share Class USD 56,657,703 2,181,419 18,646,911 40,192,211“IO” Accumulation Share Class USD 6,457,075 7,749,304 886,127 13,320,252“IO” Share Class AUD 4,661,550 1,498,878 204,024 5,956,404“IO” Share Class USD 751,785 398,805 495,955 654,635“IX” Share Class USD 59,784,880 5,547,047 9,987,805 55,344,122“IXO” Share Class USD 29,927,397 4,967,373 8,463,503 26,431,267“P” Accumulation Share Class USD 10,792,573 697,342 2,148,134 9,341,781“P” Share Class USD 2,689,498 427,383 426,817 2,690,064“R” Accumulation Share Class EUR 1,033,968 104,119 499,834 638,253“R” Accumulation Share Class USD 1,452,232 389,535 436,197 1,405,570“R” Share Class EUR 1,049 109,940 — 110,989“R” Share Class GBP 383,460 46,282 57,050 372,692“R” Share Class USD 1,994,391 290,988 1,293,990 991,389

Growth & Emerging Markets Debt Local Portfolio Total 255,697,269 47,350,216 62,725,243 240,322,242

Growth & Emerging Markets Debt PortfolioBase Accumulation Share Class USD 7,382,360 843,928 2,781,036 5,445,252Base Accumulation Share Class

(Duration Hedged Class) USD 3,466,530 370,347 1,361,056 2,475,821Base Accumulation Share Class

(EUR Hedged Class) EUR 10,799,419 1,427,545 3,117,836 9,109,128Base Currency (Dis) (Monthly) Share Class USD 897,101 364,380 155,761 1,105,720Base Currency Share Class USD 21,777,416 2,326,968 4,422,758 19,681,626Base Currency Share Class

(Duration Hedged Class) USD 2,167,568 2,095,600 356,711 3,906,457Other Currency (Dis) (Monthly) Share Class

(AUD Hedged Class)* AUD — 464,101 — 464,101Other Currency Accumulation Share Class

(CHF Hedged Class)* CHF — 10,653 — 10,653Other Currency Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 44,645,852 13,877,687 17,987,221 40,536,318Other Currency Share Class (EUR Hedged Class) EUR 2,190,612 664,804 269,959 2,585,457Other Currency Share Class (SGD Hedged Class) SGD 370,236 7,644 33,157 344,723“A” (Dis) (Monthly) Share Class USD 2,068,597 779,611 299,279 2,548,929“A” Share Class USD 3,854,224 1,073,516 667,533 4,260,207“B” Share Class USD 32,694 37 29,407 3,324“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 486,185 67,504 88,204 465,485“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 1,891,457 330,938 689,549 1,532,846“E” Accumulation Share Class EUR 3,466,357 1,775,903 1,137,328 4,104,932“E” Accumulation Share Class (EUR Hedged Class) EUR 3,547,197 548,022 1,270,521 2,824,698“E” Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 1,690,583 44,573 832,371 902,785“I” (Dis) (Quarterly) Share Class

(CHF Hedged Class)* CHF — 5,591,048 — 5,591,048“I” Accumulation Share Class USD 22,579,828 59,194,303 15,317,989 66,456,142“I” Accumulation Share Class

(Duration Hedged Class)* EUR — 3,507,049 — 3,507,049“I” Accumulation Share Class (EUR Hedged Class) EUR 14,472,842 10,184,181 4,260,655 20,396,368“I” Accumulation Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 12,700 — 23 12,677“I” Share Class USD 17,630,293 3,257,478 11,623,367 9,264,404“I” Share Class (EUR Hedged Class) EUR 27,402,936 6,111,105 11,859,549 21,654,492

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79



Growth & Emerging Markets Debt Portfolio (continued)“I” Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 20,869,801 2,357,873 492,861 22,734,813“I” Share Class (GBP Hedged Class) GBP 2,302,365 670,049 1,053,702 1,918,712“I” Share Class (GBP Hedged Class)

(Duration Hedged Class) GBP 488,184 781,639 — 1,269,823“IO” Accumulation Share Class USD 3,016,963 820,697 264,929 3,572,731“IO” Accumulation Share Class

(EUR Hedged Class) EUR 10,000 — — 10,000“IO” Accumulation Share Class

(GBP Hedged Class) GBP 502,088 474 83 502,479“IO” Share Class USD 214,121 145,551 1,453 358,219“IS” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 52,311,558 464 — 52,312,022“IX” Share Class USD 1,702,376 149,528 405,556 1,446,348“R” Accumulation Share Class EUR 447,715 19,765 238,963 228,517“R” Accumulation Share Class USD 3,848,035 2,686,393 1,073,473 5,460,955“R” Accumulation Share Class

(CHF Hedged Class)* CHF — 10,751 — 10,751“R” Accumulation Share Class

(Duration Hedged Class)* USD — 1,257 — 1,257“R” Accumulation Share Class

(EUR Hedged Class) EUR 3,745,433 4,135,877 1,142,824 6,738,486“R” Share Class USD 14,889,736 5,390,858 2,295,949 17,984,645“R” Share Class (CHF Hedged Class)* CHF — 11,871 — 11,871“R” Share Class (EUR Hedged Class) EUR 1,758,873 2,632,165 192,916 4,198,122“R” Share Class (GBP Hedged Class) GBP 4,197,060 4,906,493 1,759,543 7,344,010“R” Share Class (GBP Hedged Class)

(Duration Hedged Class) GBP 70,532 74,698 29,987 115,243

Growth & Emerging Markets Debt Portfolio Total 303,207,827 139,715,328 87,513,509 355,409,646

Liberty Harbor Opportunistic Corporate Bond PortfolioBase Accumulation Share Class USD 77,104 — 30,978 46,126Base Currency (Dis) (Quarterly) Share Class USD 104 2 — 106Base Currency Share Class USD 14,675 — 3,499 11,176Other Currency (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 3,352 31 3,202 181Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 20,369 30,253 15,509 35,113“A” (Dis) (Quarterly) Share Class USD 60,713 35,739 70,069 26,383“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 39,270 3,299 24,203 18,366“E” Accumulation Share Class

(EUR Hedged Class) EUR 110,167 1,543 80,438 31,272“I” (Dis) (Quarterly) Share Class

(GBP Hedged Class) GBP 207,162 1,955 206,917 2,200“I” Accumulation Share Class USD 228,596 195 51,384 177,407“I” Accumulation Share Class

(EUR Hedged Class) EUR 41,056 2,125 5,041 38,140“I” Share Class USD 104 4 — 108“IXO” (Dis) (Monthly) Share Class USD 13,232 1,993 4,699 10,526“P” (Dis) (Quarterly) Share Class USD 8,135 74 — 8,209“P” Accumulation Share Class USD 1,351,361 53,916 479,740 925,537“P” Accumulation Share Class

(EUR Hedged Class) EUR 139,334 11,009 86,560 63,783“P” Share Class USD 22,187 1,248 — 23,435“P” Share Class (EUR Hedged Class) EUR 3,324 123 — 3,447“P” Share Class (GBP Hedged Class) GBP 40,754 1,463 1,360 40,857“R” (Dis) (Quarterly) Share Class USD 2,717 52 — 2,769“R” Accumulation Share Class USD 35,242 11,970 9,657 37,555“R” Accumulation Share Class (EUR Hedged Class) EUR 29,618 4,921 3,610 30,929“R” Share Class USD 604 4 501 107“R” Share Class (EUR Hedged Class) EUR 4,275 2,980 575 6,680“R” Share Class (GBP Hedged Class) GBP 5,151 286 980 4,457

Liberty Harbor Opportunistic Corporate Bond Portfolio Total 2,458,606 165,185 1,078,922 1,544,869

Goldman Sachs Funds



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Sterling Broad Fixed Income PortfolioBase Accumulation Share Class GBP 405,811 149,026 396,670 158,167Base Currency Share Class GBP 248,082 12,692 11,364 249,410“I” Share Class GBP 1,366,067 121,034 255,891 1,231,210“IO” Accumulation Share Class GBP 3,646,148 — 8,580 3,637,568“P” Share Class GBP 111,990 43,989 11,796 144,183“R” Accumulation Share Class GBP 2,963 2,088 — 5,051“R” Share Class GBP 105,102 26 678 104,450

Sterling Broad Fixed Income Portfolio Total 5,886,163 328,855 684,979 5,530,039

Sterling Credit PortfolioBase Currency Share Class GBP 80,302 16,497 20,545 76,254“I” (Quarterly) Share Class (Duration Hedged)* GBP 50,413 35 50,448 —“I” Share Class GBP 445,353 61,765 28,419 478,699“I” Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 407,838 8,147 — 415,985“IO” Accumulation Share Class GBP 1,107,701 15,035 2,653 1,120,083“P” Share Class GBP 93,931 1,302 13,684 81,549“R” Accumulation Share Class GBP 3,807 18,678 1,075 21,410“R” Share Class GBP 144,106 38,410 9,250 173,266

Sterling Credit Portfolio Total 2,333,451 159,869 126,074 2,367,246

US Fixed Income PortfolioBase Accumulation Share Class USD 181,862 52,608 110,973 123,497Base Currency (Dis) (Monthly) Share Class USD 1,115 8 79 1,044Base Currency Share Class USD 746,944 48,569 228,458 567,055“A” (Dis) (Monthly) Share Class USD 95,336 3,313 3,483 95,166“A” Share Class USD 342,526 11,627 73,771 280,382“B” Share Class USD 167,134 5 — 167,139“E” Accumulation Share Class EUR 59,503 902,739 39,417 922,825“I” Accumulation Share Class USD 1,984,594 835,471 1,703,016 1,117,049“I” Share Class USD 331,555 118,426 11,961 438,020“P” (Dis) (Monthly) Share Class USD 1,050 11 — 1,061“P” Accumulation Share Class USD 1,710,477 610,586 294,072 2,026,991“P” Share Class USD 90,823 — — 90,823“R” Accumulation Share Class USD 228,273 — — 228,273“R” Share Class USD 1,019 26 — 1,045

US Fixed Income Portfolio Total 5,942,211 2,583,389 2,465,230 6,060,370

US Mortgage Backed Securities PortfolioBase Accumulation Share Class USD 753,486 1,006,683 1,248,511 511,658Base Currency Share Class USD 6,098,954 49,665 412,413 5,736,206“A” Share Class USD 484,410 98,966 116,236 467,140“E” Accumulation Share Class

(EUR Hedged Class) EUR 189,228 2,887 78,235 113,880“I” Accumulation Share Class

(EUR Hedged Class) EUR 565,858 659,517 6,380 1,218,995“I” Accumulation Share Class

(GBP Hedged Class) GBP 5,218 — — 5,218“I” Share Class USD 2,835,696 882,129 147,822 3,570,003“IO” Share Class USD 5,665,878 861,110 — 6,526,988“P” Accumulation Share Class USD 1,162,905 671,470 63,418 1,770,957“P” Share Class USD 45,983 8,285 2,682 51,586“R” Accumulation Share Class USD 1,000 253,574 — 254,574“R” Accumulation Share Class

(EUR Hedged Class) EUR 10,000 950 — 10,950“R” Share Class USD 1,021 32 — 1,053

US Mortgage Backed Securities Portfolio Total 17,819,637 4,495,268 2,075,697 20,239,208


CoCos & Capital Securities PortfolioBase Accumulation Share Class USD 100 — — 100Base Currency Share Class USD 100 2 — 102“I” Accumulation Share Class USD 100 — — 100“IO” Accumulation Share Class USD 1,335,930 357,225 344,297 1,348,858

CoCos & Capital Securities Portfolio Total 1,336,230 357,227 344,297 1,349,160

81

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Global Currency Plus PortfolioBase Accumulation Share Class USD 51 — — 51Base Currency Share Class USD 340 174 103 411Base Currency Share Class (EUR Hedged Class) EUR 96 — — 96Base Currency Share Class (GBP Hedged Class) GBP 194 35 10 219Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 462 — — 462“A” Accumulation Share Class

(EUR Hedged Class) EUR 2,992 927 1,599 2,320“A” Share Class USD 9,034 7,399 5,910 10,523“I” Accumulation Share Class USD 104 — — 104“I” Accumulation Share Class (EUR Hedged Class) EUR 152,693 102 — 152,795“I” Share Class (GBP Hedged Class) GBP 1,349 — — 1,349“P” Share Class USD 271 — — 271“R” Accumulation Share Class USD 100 — — 100“R” Accumulation Share Class (EUR Hedged Class) EUR 1,000 — — 1,000“R” Share Class USD 100 — — 100“R” Share Class (GBP Hedged Class) GBP 1,000 — — 1,000

Global Currency Plus Portfolio Total 169,786 8,637 7,622 170,801

Global Fixed Income Plus Portfolio (Hedged)Base Accumulation Share Class EUR 824,539 169,971 158,544 835,966Base Accumulation Share Class

(USD Hedged Class) USD 80,807 7,606 5,108 83,305Base Currency Share Class EUR 2,260,378 163,987 864,119 1,560,246Base Currency Share Class

(USD Hedged Class) USD 406,744 349,275 92,054 663,965“A” Share Class EUR 316,831 38,785 86,560 269,056“A” Share Class (USD Hedged Class) USD 493,626 80,032 8,399 565,259“E” Accumulation Share Class EUR 363,243 99,553 175,731 287,065“I” Accumulation Share Class EUR 5,795,712 4,428,535 218,994 10,005,253“I” Accumulation Share Class (JPY Hedged Class) JPY 3,197,731 — 1,178 3,196,553“I” Accumulation Share Class (USD Hedged Class) USD 3,218,399 1,508,394 — 4,726,793“I” Share Class (GBP Hedged Class) GBP 1,478,855 48,810 113,294 1,414,371“IO” Accumulation Share Class EUR 1,000 — — 1,000“IO” Accumulation Share Class

(GBP Hedged Class) GBP 97,565 8,170 5,122 100,613“IO” Accumulation Share Class

(USD Hedged Class) USD 6,951,435 213,907 1,626,938 5,538,404“IO” Share Class (USD Hedged Class) USD 1,021,962 760,269 273,965 1,508,266“P” Accumulation Share Class EUR 154,902 31,000 — 185,902“P” Accumulation Share Class

(USD Hedged Class) USD 537,708 400,187 229,912 707,983“P” Share Class (GBP Hedged Class) GBP 359,746 1,531 122,016 239,261“R” Accumulation Share Class EUR 82,160 64,523 37,856 108,827“R” Accumulation Share Class (USD Hedged Class) USD 711,000 443,033 127,805 1,026,228“R” Share Class EUR 1,019 17 — 1,036“R” Share Class (GBP Hedged Class) GBP 818,157 469,238 165,633 1,121,762

Global Fixed Income Plus Portfolio (Hedged) Total 29,173,519 9,286,823 4,313,228 34,147,114

Global Strategic Income Bond PortfolioBase Accumulation Share Class USD 6,044,430 873,057 1,833,522 5,083,965Base Currency (Dis) (Monthly) Share Class USD 892,047 147,009 183,226 855,830Base Currency Share Class USD 2,499,174 813,856 650,158 2,662,872Other Currency (Dis) (Quarterly) Share Class

(SGD Hedged Class) SGD 210,776 5,811 55,223 161,364Other Currency Accumulation Share Class

(CHF Hedged Class) CHF 228,506 120,322 55,388 293,440Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 3,118,632 1,173,567 1,883,650 2,408,549Other Currency Accumulation Share Class

(SEK Hedged Class) SEK 2,063,788 113,600 30,692 2,146,696Other Currency Share Class

(CHF Hedged Class)* CHF — 2,245 — 2,245Other Currency Share Class

(EUR Hedged Class) EUR 3,045,236 2,186,539 1,088,827 4,142,948Other Currency Share Class

(GBP Hedged Class) GBP 35,272 13,385 7,322 41,335


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Global Strategic Income Bond Portfolio (continued)“A” (Dis) (Monthly) Share Class USD 325,365 65,005 84,861 305,509“A” Share Class USD 869,892 252,253 367,014 755,131“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) EUR 1,558,115 119,607 682,470 995,252“E” Accumulation Share Class

(EUR Hedged Class) EUR 2,545,421 318,551 1,227,872 1,636,100“I” (Dis) (Quarterly) Share Class* USD — 750,224 371,438 378,786“I” (Dis) (Semi-Annual) Share Class

(JPY Hedged Class) JPY 150,000 302,742 — 452,742“I” Accumulation Share Class USD 6,952,180 1,956,525 3,096,351 5,812,354“I” Accumulation Share Class (CHF Hedged Class) CHF 834,333 92,958 192,189 735,102“I” Accumulation Share Class (EUR Hedged Class) EUR 6,876,214 3,102,751 2,338,919 7,640,046“I” Accumulation Share Class (JPY Hedged Class) JPY 1,419,237 792,377 97,310 2,114,304“I” Accumulation Share Class (SEK Hedged Class) SEK 21,018,108 5,100,839 — 26,118,947“I” Share Class USD 4,188,325 1,358,229 757,086 4,789,468“I” Share Class EUR 508,536 115,044 352,741 270,839“I” Share Class (AUD Hedged Class) AUD 1,292,011 254,796 — 1,546,807“I” Share Class (EUR Hedged Class) EUR 1,104,970 171,814 552,075 724,709“I” Share Class (GBP Hedged Class) GBP 408,735 3,327,919 36,619 3,700,035“IO” (Dis) (Quarterly) Share Class

(AUD Hedged Class) AUD 176,905 67,857 10,213 234,549“IO” Accumulation Share Class USD 3,217,153 536,905 822,594 2,931,464“IO” Accumulation Share Class (CAD Hedged Class) CAD 537,022 34,407 — 571,429“IO” Accumulation Share Class (EUR Hedged Class) EUR 1,110,000 — — 1,110,000“IO” Accumulation Share Class (GBP Hedged Class)* GBP — 1,164,276 — 1,164,276“IO” Accumulation Share Class (JPY Hedged Class) JPY 329,731 37,239 104,989 261,981“IO” Share Class USD 127,058 36,607 9,271 154,394“IXO” (Dis) (Monthly) Share Class USD 1,849,421 1,932,385 57,286 3,724,520“P” (Dis) (Monthly) Share Class USD 181,665 7,447 28,195 160,917“P” Accumulation Share Class USD 2,432,783 164,010 721,554 1,875,239“P” Accumulation Share Class (EUR Hedged Class) EUR 836,156 54,861 253,224 637,793“P” Share Class USD 548,640 96,847 288,680 356,807“P” Share Class (EUR Hedged Class) EUR 173,311 6,278 61,666 117,923“P” Share Class (GBP Hedged Class) GBP 98,718 1,072 23,711 76,079“R” (Dis) (Monthly) Share Class* USD — 102 — 102“R” Accumulation Share Class USD 620,833 361,366 140,316 841,883“R” Accumulation Share Class (CHF Hedged Class)* CHF — 1,091 — 1,091“R” Accumulation Share Class (EUR Hedged Class) EUR 1,182,173 123,163 266,412 1,038,924“R” Share Class USD 363,375 75,344 57,646 381,073“R” Share Class (EUR Hedged Class) EUR 276,815 101,477 48,679 329,613“R” Share Class (GBP Hedged Class) GBP 303,759 35,069 61,178 277,650

Global Strategic Income Bond Portfolio Total 82,554,821 28,368,828 18,900,567 92,023,082

Global Strategic Macro Bond PortfolioBase Accumulation Share Class USD 100 — — 100Base Currency Share Class USD 100 2,175 — 2,275Other Currency Accumulation Share Class

(EUR Hedged Class) EUR 1,000 — — 1,000Other Currency Accumulation Share Class

(SEK Hedged Class)* SEK — 1,730,089 21,772 1,708,317“E” Accumulation Share Class (EUR Hedged Class) EUR 1,000 257 — 1,257“I” Accumulation Share Class USD 143,611 463,704 2,006 605,309“I” Accumulation Share Class (EUR Hedged Class) EUR 1,007 376,114 — 377,121“I” Accumulation Share Class (GBP Hedged Class) GBP 1,050 94,156 3,657 91,549“I” Accumulation Share Class (GBP-Hedged Class)* GBP — 1,021 — 1,021“I” Accumulation Share Class (SEK Hedged Class)* SEK — 7,759 — 7,759“I” Share Class USD 143,661 842,504 3,613 982,552“I” Share Class (EUR Hedged Class) EUR 1,007 665,234 — 666,241“IO” Accumulation Share Class* USD — 28,587 — 28,587“P” Accumulation Share Class USD 100 — — 100“P” Accumulation Share Class (EUR Hedged Class) EUR 1,000 — — 1,000“P” Share Class USD 100 — — 100“R” Accumulation Share Class (EUR Hedged Class) EUR 1,000 — — 1,000“R” Share Class (EUR Hedged Class) EUR 1,000 4,282 — 5,282“R” Share Class (GBP Hedged Class) GBP 1,000 — — 1,000

Global Strategic Macro Bond Portfolio Total 296,736 4,215,882 31,048 4,481,570

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Sterling Broad Fixed Income Plus PortfolioBase Accumulation Share Class GBP 383,998 2,107,243 2,229,496 261,745Base Currency Share Class GBP 30,643 — 6,895 23,748“A” Share Class GBP 1,799 6,674 1,211 7,262“I” Accumulation Share Class GBP 1,339,270 198,713 484,832 1,053,151“IO” Accumulation Share Class* GBP 12,728,969 — 12,728,969 —“P” Accumulation Share Class GBP 58,502 — 13,786 44,716“R” Accumulation Share Class GBP 6,000 6,200 — 12,200“R” Share Class GBP 1,026 442 419 1,049

Sterling Broad Fixed Income Plus Portfolio Total 14,550,207 2,319,272 15,465,608 1,403,871

Strategic Absolute Return Bond I PortfolioBase Accumulation Share Class USD 109,934 899 45,999 64,834Base Accumulation Share Class

(EUR Hedged Class) EUR 67,872 1 52,414 15,459Base Currency Share Class USD 6,288 25 160 6,153Base Currency Share Class (EUR Hedged Class) EUR 4,876 1,253 52 6,077Base Currency Share Class (GBP Hedged Class) GBP 9,556 58 2,226 7,388“A” Share Class USD 8,336 1,771 1,817 8,290“E” Accumulation Share Class

(EUR Hedged Class) EUR 17,728 131 11,350 6,509“I” Accumulation Share Class USD 100 — — 100“I” Accumulation Share Class (EUR Hedged Class) EUR 121,856 477,667 94,814 504,709“I” Share Class (EUR Hedged Class) EUR 705 17 — 722“I” Share Class (GBP Hedged Class) GBP 750,000 827 — 750,827“IO” Accumulation Share Class USD 2,308,947 725,209 1,128,468 1,905,688“IO” Accumulation Share Class

(EUR Hedged Class) EUR 2,117,931 177,499 285,222 2,010,208“IO” Accumulation Share Class

(GBP Hedged Class) GBP 5,329,351 549,461 429,313 5,449,499“IO” Accumulation Share Class

(JPY Hedged Class) JPY 123,102 — 24,679 98,423“IO” Accumulation Share Class

(NZD Hedged Class) NZD 989,834 208,263 168,617 1,029,480“IO” Share Class (AUD Hedged Class)* AUD — 248,000 — 248,000“R” Accumulation Share Class USD 64,056 — — 64,056“R” Accumulation Share Class

(EUR Hedged Class) EUR 1,000 — — 1,000“R” Share Class USD 101 2 — 103“R” Share Class (EUR Hedged Class) EUR 1,012 17 — 1,029“R” Share Class (GBP Hedged Class) GBP 1,011 18 — 1,029

Strategic Absolute Return Bond I Portfolio Total 12,033,596 2,391,118 2,245,131 12,179,583

Strategic Absolute Return Bond II PortfolioBase Accumulation Share Class USD 256,623 8,000 107,079 157,544Base Accumulation Share Class

(EUR Hedged Class) EUR 249,490 14,655 115,789 148,356Base Currency Share Class USD 13,389 1,323 813 13,899Base Currency Share Class (EUR Hedged Class) EUR 4,286 1,001 4,053 1,234Base Currency Share Class (GBP Hedged Class) GBP 32,469 15 1,169 31,315“A” Share Class USD 133,527 17,416 108,650 42,293“E” Accumulation Share Class

(EUR Hedged Class) EUR 489,826 25,126 316,525 198,427“I” Accumulation Share Class USD 102,804 — 100,000 2,804“I” Accumulation Share Class (EUR Hedged Class) EUR 336,938 165,437 352,062 150,313“IO” Accumulation Share Class

(GBP Hedged Class) GBP 547 — 1 546“IO” Accumulation Share Class

(JPY Hedged Class)* JPY — 150,000 — 150,000“IO” Share Class (GBP Hedged Class) GBP 922,833 29,128 — 951,961“R” Accumulation Share Class USD 100,500 1,300 9,800 92,000“R” Accumulation Share Class (EUR Hedged Class) EUR 341,564 30,151 32,454 339,261“R” Share Class USD 5,804 1 — 5,805“R” Share Class (EUR Hedged Class) EUR 1,009 4,074 — 5,083“R” Share Class (GBP Hedged Class) GBP 2,009 142 675 1,476

Strategic Absolute Return Bond II Portfolio Total 2,993,618 447,769 1,149,070 2,292,317

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Select Portfolios

Custom Emerging Markets Debt Blend Portfolio“I” Accumulation Share Class ILS 3,800,000 — — 3,800,000

Custom Emerging Markets Debt Blend Portfolio Total 3,800,000 — — 3,800,000

Global Corporate Portfolio (Hedged)“I” Accumulation Share Class NOK 84,768,608 35,092 — 84,803,700

Global Corporate Portfolio (Hedged) Total 84,768,608 35,092 — 84,803,700

Flexible Portfolios

Global Income Builder PortfolioBase Accumulation Share Class USD 7,036 1,484 3,094 5,426Base Currency (Dis) (Gross Monthly) Share Class USD 479 1,176 — 1,655Base Currency Share Class USD 348 16 14 350Other Currency Share Class

(EUR Partially Hedged Class) EUR 1,306 608 55 1,859“A” (Dis) (Monthly) Share Class* USD — 100 — 100“E” (Dis) (Quarterly) Share Class

(EUR Partially Hedged Class) EUR 64,093 50,607 20,479 94,221“E” Accumulation Share Class

(EUR Partially Hedged Class) EUR 46,643 82,977 38,601 91,019“I” Accumulation Share Class USD 85,337 6,356 18,927 72,766“I” Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,320 7,537 531 8,326“I” Share Class USD 43,415 985 97 44,303“P” Accumulation Share Class USD 100 — — 100“P” Share Class USD 100 2 — 102“R” (Dis) (Gross Monthly) Share Class

(GBP Partially Hedged Class) GBP 343,242 136,150 49,131 430,261“R” Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,000 — — 1,000“R” Share Class (EUR Partially Hedged Class) EUR 1,140 23 — 1,163“R” Share Class (GBP Partially Hedged Class) GBP 1,000 3,622 — 4,622

Global Income Builder Portfolio Total 596,559 291,643 130,929 757,273

US Real Estate Balanced PortfolioBase Accumulation Share Class USD 1,461,261 53,942 390,604 1,124,599Base Currency (Dis II) (Monthly) Share Class USD 779,524 35,325 262,001 552,848Base Currency (Dis) (Monthly) Share Class USD 103 1 — 104Other Currency (Dis II) (Monthly) Share Class

(SGD Hedged Class) SGD 202,905 313 60,874 142,344“E” Accumulation Share Class

(EUR Hedged Class) EUR 35,031 991 22,003 14,019“I” (Dis II) (Monthly) Share Class USD 732,270 2,228 89,433 645,065“I” (Dis) (Monthly) Share Class USD 99,558 2 16,024 83,536“I” Accumulation Share Class USD 1,018,628 432,538 183,228 1,267,938“I” Accumulation Share Class

(EUR Hedged Class) EUR 143,688 28,221 7,136 164,773“P” (Dis II) (Monthly) Share Class USD 820,352 6,182 61,456 765,078“P” (Dis) (Monthly) Share Class USD 105 1,329 — 1,434“P” Accumulation Share Class USD 1,562,941 33,639 297,191 1,299,389“R” Accumulation Share Class USD 34,546 37,190 6,531 65,205“R” Share Class USD 29,159 7,302 2,575 33,886

US Real Estate Balanced Portfolio Total 6,920,071 639,203 1,399,056 6,160,218

85



Wealthbuilder Multi-Asset Balanced PortfolioBase Accumulation Share Class USD 776,159 69,555 87,979 757,735Base Currency Share Class USD 1,378 124 — 1,502Other Currency Share Class

(EUR Partially Hedged Class) EUR 23,425 18,112 1,978 39,559Other Currency Share Class

(GBP Partially Hedged Class) GBP 134,898 116,358 9,237 242,019“E” Accumulation Share Class

(EUR Partially Hedged Class) EUR 1,000 343 19 1,324“I” Accumulation Share Class USD 159 — — 159“I” Share Class USD 100 1 — 101“R” Share Class (GBP Partially Hedged Class) GBP 2,177 675 — 2,852

Wealthbuilder Multi-Asset Balanced Portfolio Total 939,296 205,168 99,213 1,045,251

Wealthbuilder Multi-Asset Conservative PortfolioBase Accumulation Share Class USD 98,818 16,028 14,620 100,226Base Currency Share Class USD 100 359 359 100Other Currency Share Class

(EUR Partially Hedged Class) EUR 5,041 7,169 226 11,984Other Currency Share Class


(EUR Partially Hedged Class) EUR 1,000 4,508 330 5,178“I” Accumulation Share Class USD 100 — — 100“I” Share Class USD 100 1 — 101“R” Share Class (GBP Partially Hedged Class) GBP 1,657 245 — 1,902

Wealthbuilder Multi-Asset Conservative Portfolio Total 145,965 83,782 19,861 209,886

Wealthbuilder Multi-Asset Growth PortfolioBase Accumulation Share Class USD 379,885 41,979 40,988 380,876Base Currency Share Class USD 100 — — 100Other Currency Share Class

(EUR Partially Hedged Class) EUR 5,111 5,556 750 9,917Other Currency Share Class


(EUR Partially Hedged Class) EUR 1,000 667 32 1,635“I” Accumulation Share Class USD 155 — — 155“I” Share Class USD 100 1 — 101“R” Share Class (GBP Partially Hedged Class) GBP 1,690 22 207 1,505

Wealthbuilder Multi-Asset Growth Portfolio Total 436,003 78,665 47,671 466,997


Absolute Return Tracker Portfolio*Base Accumulation Share Class* USD — 138,230 19,168 119,062Other Currency Accumulation Share Class

(EUR Hedged Class)* EUR — 1,184,367 871,211 313,156“E” Accumulation Share Class

(EUR Hedged Class)* EUR — 840 — 840“I” Accumulation Share Class* USD — 1,860,260 693,678 1,166,582“I” Accumulation Share Class

(AUD Hedged Class)* AUD — 20,000,000 — 20,000,000“I” Accumulation Share Class

(CHF Hedged Class)* CHF — 7,578,031 1,345,393 6,232,638“I” Accumulation Share Class

(EUR Hedged Class)* EUR — 9,335,931 6,382,273 2,953,658“I” Accumulation Share Class

(GBP Hedged Class)* GBP — 947,174 423,337 523,837“I” Accumulation Share Class

(SEK Hedged Class)* SEK — 1,161,252 14,910 1,146,342“P” Accumulation Share Class

(EUR Hedged Class)* EUR — 243,216 26,174 217,042“R” Share Class* USD — 3,493,021 100,449 3,392,572“R” Share Class (GBP Hedged Class)* GBP — 96,344 — 96,344

Absolute Return Tracker Portfolio Total — 46,038,666 9,876,593 36,162,073

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86

* Refer to Appendix II.

Goldman Sachs Funds





Liquid Alternative Beta Composite Portfolio*“I” Accumulation Share Class* USD — 897,666 897,666 —

Liquid Alternative Beta Composite Portfolio Total — 897,666 897,666 —

Liquid Alternative Beta Equity Long Short Portfolio*Other Currency Accumulation Share Class

(EUR Hedged Class)* EUR — 6,590 — 6,590“I” Accumulation Share Class* USD — 610,182 468,059 142,123“R” Share Class (GBP Hedged Class)* GBP — 8,450 — 8,450

Liquid Alternative Beta Equity Long Short Portfolio Total — 625,222 468,059 157,163

Liquid Alternative Beta Event Driven Portfolio*Other Currency Accumulation Share Class

(EUR Hedged Class)* EUR — 10,000 — 10,000“I” Accumulation Share Class* USD — 506,980 66,643 440,337“R” Share Class (GBP Hedged Class)* GBP — 10,000 — 10,000

Liquid Alternative Beta Event Driven Portfolio Total — 526,980 66,643 460,337

Liquid Alternative Beta Macro Portfolio*Other Currency Accumulation Share Class

(EUR Hedged Class)* EUR — 10,000 — 10,000“I” Accumulation Share Class* USD — 725,540 — 725,540“R” Share Class (GBP Hedged Class)* GBP — 10,000 — 10,000

Liquid Alternative Beta Macro Total — 745,540 — 745,540

Liquid Alternative Beta Relative Value Portfolio*Other Currency Accumulation Share Class


Liquid Alternative Beta Relative Value Portfolio Total — 524,738 — 524,738

Liquid Alternative Beta Trend Portfolio*Other Currency Accumulation Share Class


Liquid Alternative Beta Trend Portfolio Total — 693,017 — 693,017

Multi-Asset Dynamic Strategy Portfolio*“R” Accumulation Share Class

(GBP Hedged Class)* GBP — 7,880,791 710,248 7,170,543

Multi-Asset Dynamic Strategy Portfolio Total — 7,880,791 710,248 7,170,543

87

Goldman Sachs Funds



9 Distributions

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

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

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

except in the case of “IX” Shares where at the discretion of the Board of Directors of the Fund, the Portfolio may

also distribute to its Shareholders the Portfolio’s capital gains, if any, and capital attributable to such Shares. For

shares denoted with “Dist II” in the US Real Estate Balanced Portfolio, the Board of Directors currently intends

for any realised gains, net of losses on prepayments from mortgage backed securities, attributable to such

Shares, to also be declared as a dividend.

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.C.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.C.A. will, as paying agent

for the Shareholders, credit such monies to the Portfolio for subscription in further Shares. Any CDSC of “B”

Shares due as the result of reinvestment of dividends will be waived.

No distributions will be made in respect of the Accumulation Share Classes.

10 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 debt,

equity, derivative investments and investments in other funds at the period end. The Board of Directors has

appointed the Management Company to be responsible for, among other things, investment management and

risk management. The Management Company has delegated certain investment management functions to the

Investment Adviser.

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 allocation and the

composition of the Portfolio is monitored in accordance with the Fund’s risk management policy.

The risk management policies employed in relation to the Fund are outlined 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, interest rate 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 yield

curve, the volatility of interest rates, mortgage prepayment speeds and credit spreads.

88

Goldman Sachs Funds



10 Financial Investments and Associated Risks (continued)

(a) Market Risk (continued)

(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 or interest rate 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.

Market risk is managed through the application of risk budgeting principles. The Investment Adviser determines

an appropriate risk target, commonly referred to as Tracking Error, employing a risk budgeting framework.

A Market Risk Analysis group at Goldman Sachs (“IMD MRA”) is responsible for independently monitoring,

analyzing and reporting the market risks taken by the Investment Advisers. IMD MRA uses a number of risk

metrics to monitor the market risks including monitoring sensitivities and Tracking Error. IMD MRA presents on

the market risks to the Board no less frequently than semi-annually.

(i) Currency Risk

The Fund may invest in financial investments and enter into transactions denominated in currencies other than

its Portfolios’ base currencies. Consequently, the Fund may be exposed to risks 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 the Fund’s assets or liabilities denominated in currencies other than the base currency.

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

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

(ii) Interest Rate Risk

The Fund may invest in fixed income securities and interest rate swaps contracts. Any change to relevant interest

rates for particular securities may result in the Investment Adviser being unable to secure similar returns upon

the expiry of contracts or the sale of securities. In addition, changes to prevailing interest rates or changes in

expectations of future rates may result in an increase or decrease in the value of the securities held. In general,

if interest rates rise, the value of fixed income securities will decline. A decline in interest rates will in general,

have the opposite effect. All fixed income securities and floating rate securities, together with their coupon and

maturity date are disclosed in the Schedule of Investments. The Fund may invest in instruments in desired

currencies at fixed, floating and zero rates of interest.

(iii) Other Price Risk

Other price risk is the risk that the value of a financial investment will fluctuate as a result of changes in market

prices, other than those arising from currency risk or interest rate 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 is based upon the net asset value as supplied by the funds, in

accordance with the valuation policy of the applicable fund as outlined in its prospectus.

89


(b) Liquidity Risk

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

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

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

unforeseen outflows of cash or collateral or violations of counterparty or prime broker terms or covenants. 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 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 Fund’s underlying

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 Fund could require the Fund to

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

changes in the liquidity of the Portfolio’s 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 Portfolio’s remaining assets if more liquid assets have to be sold to

meet redemptions.

The Fund’s prospectus provides for the daily/weekly subscription of shares and the daily/weekly redemption of

shares. The Fund is therefore exposed to the liquidity risk of meeting shareholder redemptions.

Please refer to Appendix III for details of Shareholders with holdings greater than 10% of the Portfolio’s net

assets as at 31 May 2015.

Financing arrangements include repurchase agreements, derivative transactions and lines of credit. 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.

Goldman Sachs Funds



90

Goldman Sachs Funds




(b) Liquidity Risk (continued)

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

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

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

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

(c) Credit Risk

Credit and counterparty 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.

Procedures have been adopted 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

Fund 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 Depositary or any Sub-Depositary. These risks include without

limitation:

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

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

2. The loss of all cash which the Depositary or Sub-Depositary 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 Depositary and any Sub-Depositary (“Trust Assets”) or client money

held by or with the Depositary or Sub-Depositary.

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

Depositary 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.

91


(d) Addit ional Risks

(i) Concentration RiskThe Fund 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-depositarys,

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 judgements 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 a Fund in the future and these additional liabilities may

be material. Because of the foregoing uncertainties, the NAV may not reflect the tax liabilities ultimately borne

by the Fund, including at the time of any subscriptions, redemptions or exchanges of interests in the Fund,

which could have an adverse impact on investors at that time. Please also refer to Note 19.

(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.

Goldman Sachs Funds



92

Goldman Sachs Funds




(d) Addit ional Risks

(vi) Bank Loan RiskLoan obligations are subject to the credit risk of non-payment of principal or interest. Substantial increases in

interest rates may cause an increase in loan obligation defaults.

Participations typically will result in the Portfolio having a contractual relationship only with the selling institution

and not with the borrower and therefore generally will have no right directly to enforce compliance by the borrower

with the terms of the loan agreement. The Portfolio may not directly benefit from the collateral supporting the

related loan and may be subject to any rights of set-off the borrower has against the selling institution. In addition,

the Portfolio may be subject to the credit risk of the selling institution as well as that of the borrower and be

subject to the insolvency laws of the jurisdiction of the selling institution. The Investment Adviser may not perform

independent credit analyses of selling institutions.

Such loans may be secured or unsecured. Loans that are fully secured offer a Portfolio more protection than an

unsecured loan in the event of non-payment of scheduled interest or principal. However, there is no assurance

that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation. In addition,

investments in loans through a direct assignment include the risk that if a loan is terminated, a Portfolio could

become part owner of any collateral, and would bear the costs and liabilities associated with owning and

disposing of the collateral.

Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are

offered by banks or other financial institutions or lending syndicates. A loan is often administered by an agent

bank acting as agent for all holders. Unless, under the terms of the loan or other indebtedness, a Portfolio has

direct recourse against the corporate borrower, the Portfolio may have to rely on the agent bank or other financial

intermediary to apply appropriate credit remedies against a corporate borrower.

The loan participations or assignments in which a Portfolio invests may not be rated by any internationally

recognised rating service.

Loan obligations are subject to unique risks, including the possible invalidation of an investment as a fraudulent

conveyance under relevant creditors’ rights laws. Further, where exposure to loans is gained by purchase of

participations there is the additional credit and bankruptcy risk of the direct participant and its failure for whatever

reason to account to the Portfolio for monies received in respect of loans directly held by it. In analysing each

loan or participation, the Investment Adviser will compare the relative significance of the risks against the

expected benefits of the investment.

(vii) Sub-Investment Adviser Selection RiskThe investment decisions in respect of the GMS Portfolio will be made by its External Managers. The External

Managers in a GMS Portfolio will 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.

93

12 Statement of Changes in each Portfol io

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

13 Exchange Rates

The following exchange rates (against USD) as at 4 pm Central European Time were used to convert the

investments and other assets and liabilities denominated in currencies other than USD:

Goldman Sachs Funds



11 Commission Recapture

All Portfolios may direct trades, subject to obtaining best price and execution, to various brokers who have

agreed to rebate a portion of the commissions generated. Such rebates are made directly to the applicable

Portfolio as cash payments and are included in net realised gain and loss on investments in the Statement of

Operations.

Commissions Commissionspaid on securities reimbursed to Percentage

in the program the portfolio reimbursedPortfolios (USD) (USD) in the program

US Focused Growth Equity Portfolio 3,374 2,500 74.10%

US Equity Portfolio 48,867 36,173 74.02%

Total 52,241 38,673 74.03%

Currency 31-May-2015

Argentine Peso 8.991150

Australian Dollar 1.306421

Bangladeshi Taka 77.775000

Brazilian Real 3.170050

Canadian Dollar 1.248350

Chilean Peso 614.300000

Colombian Peso 2,527.825000

Costa Rican Colon 531.450000

Czech Koruna 24.890600

Danish Krone 6.784300

Dominican Peso 44.625000

Egyptian Pound 7.630050

Euro 0.909463

Hong Kong Dollar 7.754250

Hungarian Forint 281.210500

Indian Rupee 63.866250

Indonesian Rupiah 13,224.000000

Israeli Shekel 3.869800

Japanese Yen 123.870000

Malaysian Ringgit 3.666000

Mexican Peso 15.321750

Moroccan Dirham 9.827750

New Taiwan Dollar 30.693000

New Zealand Dollar 1.402525

Nigerian Naira 199.050000

Norwegian Krone 7.771550

94

The following exchange rates (against EUR) as at 4 pm Central European Time were used to convert the

investments and other assets and liabilities denominated in currencies other than EUR:

Goldman Sachs Funds



13 Exchange Rates (continued)


Pakistan Rupee 101.955000

Peruvian Nouveau Sol 3.156950

Philippine Peso 44.585000

Polish Zloty 3.750050

Qatari Riyal 3.639700

Romanian Leu 4.038950

Russian Ruble 52.510000

Singapore Dollar 1.348350

South African Rand 12.129500

South Korean Won 1,108.250000

Swedish Krona 8.495300

Swiss Franc 0.935950

Thailand Baht 33.640000

Turkish Lira 2.649950

United Arab Emirates Dirham 3.673050

United Kingdom Pound 0.654044

Vietnamese Dong 21,815.000000

Yuan Renminbi 6.198500

Zambian Kwacha 7.275000








Czech Koruna 27.368458

Danish Krone 7.459677


Hong Kong Dollar 8.526185









95

The following exchange rates (against NOK) as at 4 pm Central European Time were used to convert the

investments and other assets and liabilities denominated in currencies other than NOK:

Goldman Sachs Funds








Russian Ruble 57.737368







US Dollar 1.099550


Yuan Renminbi Offshore 6.819739

The following exchange rates (against GBP) as at 4 pm Central European Time were used to convert the

investments and other assets and liabilities denominated in currencies other than GBP:




Euro 0.117025







US Dollar 0.128674







Euro 1.390523




96








New Russian Ruble 80.285118











US Dollar 1.528949





Colombian Peso 653.218513


Euro 0.235016







New Romanian Leu 1.043710

New Russian Ruble 13.569177

Peruvian Nouveau Sol 0.815792






The following exchange rates (against ILS) as at 4 pm Central European Time were used to convert the

investments and other assets and liabilities denominated in currencies other than ILS:

Goldman Sachs Funds



97


South Korean Won 286.384309

Thailand Baht 8.692956


US Dollar 0.258411



Euro 0.006759


US Dollar 0.008426


Euro 0.883463






The following exchange rates (against JPY) as at 4 pm Central European Time were used to convert the

investments and other assets and liabilities denominated in currencies other than JPY:

The following average exchange rates (against USD) were used to calculate the Combined Total, in the

Statement of Operations and Statement of Changes in Shareholders’ Equity, for the Period Ended 31 May 2015:

Goldman Sachs Funds



14 Cash Collateral Information

The table below provides the cash collateral balances due from / (due to) brokers in relation to the following

investments held as at 31 May 2015:

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

Asia Portfolio USD

India Equity Portfolio USD

Europe CORE® Equity Portfolio EUR

Global CORE® Equity Portfolio USD

Global Small Cap CORE® Equity Portfolio USD

US CORE® Equity Portfolio USD

US Small Cap CORE® Equity Portfolio USD

GIVI Europe Equity Portfolio EUR

GIVI Global Equity Growth Market Tilt Portfolio USD

Due from Future Contracts 3

Due to Future Contracts —

Due from Future Contracts 6,509,507


Due from Future Contracts 405,568







Due to Future Contracts 405,876



Due from Future Contracts —




98


Euro Fixed Income Portfolio EUR

Euro Short Duration Bond Portfolio EUR

Euro Short Duration Bond Portfolio EUR

Europe High Yield Bond Portfolio EUR

Global Credit Portfolio (Hedged) USD

Global Credit Portfolio (Hedged) USD

Global Fixed Income Portfolio USD

Global Fixed Income Portfolio USD

Global Fixed Income Portfolio (Hedged) EUR

Global Fixed Income Portfolio (Hedged) EUR

Global High Yield Portfolio USD

Global High Yield Portfolio USD

Global Sovereign Bond Portfolio USD

Global Sovereign Bond Portfolio USD

Growth & Emerging Markets Corporate Bond Portfolio USD

Growth & Emerging Markets Corporate Bond Portfolio USD

Growth & Emerging Markets Debt Blend Portfolio USD



Growth & Emerging Markets Debt Local Portfolio USD

Growth & Emerging Markets Debt Local Portfolio USD

Growth & Emerging Markets Debt Portfolio USD



Liberty Harbor Opportunistic Corporate Bond Portfolio USD

Sterling Broad Fixed Income Portfolio GBP

Sterling Broad Fixed Income Portfolio GBP

Sterling Credit Portfolio GBP

Sterling Credit Portfolio GBP





Due from Swap Contracts 33,142

Due to Swap Contracts —

Due from Swap Contracts 3,130,152





Due to Swap Contracts 223,469















Due from Swap Contracts —





Due to Swap Contracts 154



Due from Repurchase Agreements —

Due to Repurchase Agreements 400






Due to Swap Contracts 1,800,000



Due from Repurchase Agreements 2,568,257

Due to Repurchase Agreements 210,013


Due to Swap Contracts 47











14 Cash Collateral Information (continued)

Goldman Sachs Funds



99


US Fixed Income Portfolio USD

US Fixed Income Portfolio USD

US Mortgage Backed Securities Portfolio USD

US Mortgage Backed Securities Portfolio USD

Global Currency Plus Portfolio USD

Global Fixed Income Plus Portfolio (Hedged) EUR

Global Fixed Income Plus Portfolio (Hedged) EUR

Global Strategic Income Bond Portfolio USD

Global Strategic Income Bond Portfolio USD

Global Strategic Macro Bond Portfolio USD

Global Strategic Macro Bond Portfolio USD

Sterling Broad Fixed Income Plus Portfolio GBP

Sterling Broad Fixed Income Plus Portfolio GBP

Strategic Absolute Return Bond I Portfolio USD

Strategic Absolute Return Bond I Portfolio USD

Strategic Absolute Return Bond II Portfolio USD

Strategic Absolute Return Bond II Portfolio USD

Custom Emerging Markets Debt Blend Portfolio ILS

Global Corporate Portfolio (Hedged) NOK

Global Corporate Portfolio (Hedged) NOK

Global Income Builder Portfolio USD

US Real Estate Balanced Portfolio USD

US Real Estate Balanced Portfolio USD

Wealthbuilder Multi-Asset Balanced Portfolio USD

Wealthbuilder Multi-Asset Balanced Portfolio USD

Wealthbuilder Multi-Asset Conservative Portfolio USD

Wealthbuilder Multi-Asset Growth Portfolio USD

Absolute Return Tracker Portfolio USD









Due from Forward Contracts —

Due to Forward Contracts 160,328






Due to Future Contracts 9,420,164

































Due from Swap Contracts —









Goldman Sachs Funds



100

Goldman Sachs Funds



15 Commissions for Research and/or Execution

Certain Portfolios pay commissions 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 2015.

16 Prospectus

The latest prospectus of the Fund was issued in 27 April 2015.

17 Currency Adjustment

In the Statement of Changes in Shareholders’ Equity, the opening value of the Fund has been restated at the

exchange rates ruling at 30 November 2014, and the combined figures have been calculated using the average

exchange rates throughout the period. The resulting loss of USD 471,131,783 represents the movement in

exchange rates between 1 December 2014 and 31 May 2015. This is a notional loss, which has no impact on

the Net Asset Value of the individual Portfolios.

18 Cross Liabil 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.



Absolute Return Tracker Portfolio USD

Liquid Alternative Beta Equity Long ShortPortfolio USD

Liquid Alternative Beta Equity Long ShortPortfolio USD

Liquid Alternative Beta Event Driven Portfolio USD

Liquid Alternative Beta Macro Portfolio USD

Liquid Alternative Beta Relative Value Portfolio USD

Liquid Alternative Beta Relative Value Portfolio USD

Multi-Asset Dynamic Strategy Portfolio USD





Due from Swap Contracts 8












101

19 Contingent Liabil i t ies

Taxation – India

In March 2015 certain Portfolios within the Fund received draft proposed orders of assessment from the Indian

Tax Commissioners assessing those Portfolios for Minimum Alternative Tax (“MAT”) on their book profits for the

year 2012/2013. MAT is tax levied on book profits where the actual tax paid by the company in question falls

below a minimum threshold. The minimum threshold tax rate is 20%. The Fund has received advice from counsel

that it is more likely than not that the Fund is not liable to MAT and these draft proposed assessments will not

result in any tax payment being due and payable. Therefore, no tax has been accrued in respect of these

assessments. It is considered possible, although not probable, that other Portfolios may receive draft proposed

orders of assessment, although in this regard, the Fund notes that the Indian Government is reported to have

ordered a moratorium on further assessments being raised on Foreign Portfolio Investors (“FPIs”), like the Fund,

in respect of MAT until certain judicial proceedings involving third parties unrelated to the Fund or Goldman

Sachs but concerning the application of MAT have been concluded and the findings of the Shah Committee, set

up to examine, inter alia, MAT on FPIs has reported its findings.

The draft proposed orders of assessment received to date are as follows:

Should MAT ultimately be applicable to the Portfolios, which is considered possible but not probable, the Fund

has been advised that the Indian tax authorities assess tax for the prior seven years. If the Indian tax authorities

were to do this and if the assessments were upheld, which the Fund has been advised is unlikely, the prospective

liability for certain of the Portfolios could be material. The table below sets out the exposure for certain of the

Portfolios based upon the Fund’s current interpretation and best estimate of MAT. Should it be concluded that

these Portfolios are liable for MAT, the amounts may be more or less than those stated below due to the

uncertainties in the application of the requirements.

Goldman Sachs Funds



Tax Year Liability Liability

Portfolio Assessed Assessed (INR) Assessed (USD)

BRICs Portfolio 2012-13 39,061,400 625,392

Growth & Emerging Markets Core Equity Portfolio 2012-13 924,840 14,807

MAT Exposure % of

Portfolio (USD) Shareholders’ Equity

BRICs Portfolio 12,229,118 4.78%

Growth & Emerging Markets Broad Equity Portfolio 6,641,220 3.97%

Asia Portfolio 2,416,289 2.65%

Growth & Emerging Markets Core Equity Portfolio 593,444 0.19%

Growth Markets Plus Equity Portfolio 35,759 0.13%

GMS Dynamic World Equity Portfolio 8,951 0.00%

Global Responsible Equity Portfolio 1,979 0.01%

For those investors invested in the India Equity Portfolio, it is important to note that the Portfolio invests in India

through a Mauritian entity, Goldman Sachs India Limited. Mauritius has a double tax treaty with India. The Fund

has been advised and the Indian government have asserted that treaty relief should be available in respect of

MAT assessments where there is an applicable treaty. For the avoidance of doubt there is no applicable treaty

between Luxembourg and India.

Goldman Sachs Funds



21 Subsequent Events

Since 31 May 2015, the following Portfolio was launched:

From 1 June 2015 to 21 July 2015, the following Portfolios have had movements greater than 25% in

Shareholders’ Equity:

Goldman Sachs Custom Emerging Market Debt Blend Portfolio changed to Custom Emerging Market Debt Blend

Portfolio on 1 June 2015.

Custom Emerging Market Debt Blend Portfolio changed its base currency from ILS to USD on 1 July 2015.

22 Indemnifications

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

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

contracts.

23 Approval of Financial Statements

The Board of Directors approved the Semi-Annual Financial Statements on 21 July 2015.

Portfolio Movement in Movement in Gross

Shareholder’s Equity Portfolio Performance

Liquid Alternative Beta Trend Portfolio 25% (3%)

Portfolio Currency of Fund Launch Date

GS Global Equity Long Short Portfolio USD 4 June 2015

102

103

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

Schedule of Investments (Unaudited)

As at 31 May 2015

Transferable securities admitted to an official exchange listing

Common Stocks – 90.62%

China

12,732 Alibaba Group Holding Ltd.—ADR(a) (Internet) 1,155,174 1.27

830,000 ANTA Sports Products Ltd. (Retail) 1,924,545 2.11

4,711 Baidu, Inc.—ADR(a) (Internet) 935,793 1.02

497,500 Bloomage BioTechnology Corp., Ltd.

(Biotechnology) 1,145,868 1.26

81,000 China Mengniu Dairy Co., Ltd.

(Food, Beverages & Tobacco) 462,230 0.51

696,000 China Merchants Bank Co., Ltd. "H" (Banks) 2,111,490 2.31

1,320,000 China Petroleum & Chemical Corp. "H"

(Oil & Gas) 1,162,975 1.27

329,500 CITIC Securities Co., Ltd. "H"

(Diversified Financial Services) 1,398,136 1.53

128,500 Great Wall Motor Co., Ltd. "H"

(Automobile Manufacturers) 829,008 0.91

3,554,535 Industrial & Commercial Bank of China Ltd. "H"

(Banks) 3,090,383 3.39

13,825 JD.com, Inc.—ADR(a) (Internet) 473,230 0.52

905,920 PICC Property & Casualty Co., Ltd. "H"

(Insurance) 2,076,249 2.28

118,000 Ping An Insurance Group Co. of China Ltd. "H"

(Insurance) 1,734,401 1.90

+ 352,000 Shanghai Electric Group Co., Ltd. "H"

(Machinery—Diversified) 370,359 0.41

163,000 Shanghai Fosun Pharmaceutical Group

Co., Ltd. "H" (Pharmaceuticals) 701,529 0.77

97,000 Shenzhou International Group Holdings Ltd.

(Apparel) 479,161 0.52

250,900 Tencent Holdings Ltd. (Internet) 5,027,390 5.51

11,118 Vipshop Holdings Ltd.—ADR(a) (Internet) 276,282 0.30

25,354,203 27.79

Hong Kong

694,729 AIA Group Ltd. (Insurance) 4,570,245 5.01

35,000 Cheung Kong Property Holdings Ltd.(b)

(Real Estate) 212,593 0.23

163,000 China Mobile Ltd. (Telecommunications) 2,151,698 2.36

35,000 CK Hutchison Holdings Ltd.

(Investment Companies) 546,152 0.60

436,000 Galaxy Entertainment Group Ltd. (Lodging) 2,084,551 2.28

23,400 Hong Kong Exchanges and Clearing Ltd.

(Diversified Financial Services) 899,766 0.99

2,936,000 Sino Biopharmaceutical Ltd.

(Pharmaceuticals) 3,477,156 3.81

13,942,161 15.28

India

124,133 Ashiana Housing Ltd. (Real Estate) 446,551 0.49

26,624 Atul Auto Ltd. (Leisure Time) 191,165 0.21

28,405 Aurobindo Pharma Ltd. (Pharmaceuticals) 610,982 0.67

3,396 Bajaj Finance Ltd.


3,774 Bayer CropScience Ltd. (Chemicals) 213,205 0.23

8,984 Britannia Industries Ltd.


6,670 Container Corp. Of India Ltd.

(Transportation) 190,727 0.21

3,308 Dynamatic Technologies Ltd.


826 Eicher Motors Ltd.


3,815 Gillette India Ltd.

(Cosmetics/Personal Care) 270,573 0.30

2,601 Grasim Industries Ltd.—GDR(a)(b)

(Building Materials) 148,246 0.16

59,910 HCL Technologies Ltd. (Software) 948,138 1.04

31,956 Indiabulls Housing Finance Ltd.


13,968 Info Edge India Ltd. (Commercial Services) 178,607 0.19

Common Stocks – (continued)

India – (continued)

31,537 Inox Wind Ltd. (Energy-Alternate Sources) 215,172 0.24

12,277 MPS Ltd. (Media) 163,625 0.18

10,392 Multi Commodity Exchange of India Ltd.(b)


15,952 Poddar Developers Ltd. (Apparel) 338,856 0.37

59,478 Prestige Estates Projects Ltd.

(Real Estate) 226,899 0.25

6,127 Sharda Cropchem Ltd. (Chemicals) 34,739 0.04

15,043 Thermax Ltd. (Machinery—Diversified) 226,913 0.25

125,910 VRL Logistics Ltd. (Transportation) 609,872 0.67

6,500,144 7.12

Indonesia

519,500 Bank Rakyat Indonesia Persero Tbk PT

(Banks) 462,815 0.51

3,233,700 Kalbe Farma Tbk PT (Pharmaceuticals) 449,918 0.49

3,045,700 Summarecon Agung Tbk PT (Real Estate) 455,068 0.50

1,913,800 Wijaya Karya Persero Tbk PT

(Construction & Engineering) 454,532 0.50

1,822,333 2.00

Israel

1,667 Taro Pharmaceutical Industries Ltd.

(Pharmaceuticals) 250,933 0.27

Korea

4,898 Amorepacific Corp.

(Cosmetics/Personal Care) 1,781,668 1.95

+ 3,987 BGF retail Co., Ltd. (Retail) 548,628 0.60

221,894 Byucksan Corp. (Building Materials) 1,623,100 1.78

8,011 CJ CheilJedang Corp.

(Food, Beverages & Tobacco) 2,956,628 3.24

16,614 Grand Korea Leisure Co., Ltd. (Lodging) 619,857 0.68

10,924 GS Engineering & Construction Corp.


16,296 Hana Financial Group, Inc.


4,104 Hana Tour Service, Inc. (Leisure Time) 453,099 0.50

2,024 Hanssem Co., Ltd. (Home Furnishings) 410,460 0.45

16,334 Hanwha Chemical Corp. (Chemicals) 280,579 0.31

18,824 Kia Motors Corp.


1,472 LG Chem Ltd. (Chemicals) 330,909 0.36

1,679 Lotte Chemical Corp. (Chemicals) 357,106 0.39

9,652 OCI Materials Co., Ltd. (Chemicals) 996,701 1.09

1,131 Samsung Electronics Co., Ltd.

(Semiconductors) 1,335,229 1.46

25,777 SK Hynix, Inc. (Semiconductors) 1,190,726 1.31

14,395,767 15.78

Malaysia

438,600 Gamuda Bhd (Construction & Engineering) 597,003 0.66

72,530 Public Bank Bhd (Banks) 366,014 0.40

963,017 1.06

Philippines

2,051,100 Lafarge Republic, Inc. (Building Materials) 463,723 0.51

8,849,200 Megaworld Corp. (Real Estate) 942,517 1.03

110,680 Universal Robina Corp.


1,879,763 2.06

Singapore

131,465 DBS Group Holdings Ltd. (Banks) 1,979,863 2.17

428,900 Silverlake Axis Ltd. (Software) 370,632 0.41

2,350,495 2.58

% of

Market Value Shareholders’

Holdings Security Description USD Equity

% of



Goldman Sachs Funds—Asia Portfolio

104



As at 31 May 2015


Taiwan

421,000 Chipbond Technology Corp.

(Semiconductors) 975,218 1.07

51,040 Eclat Textile Co., Ltd. (Apparel) 751,142 0.82

19,000 Hermes Microvision, Inc.

(Electrical Components & Equipment) 1,495,262 1.64

104,654 PChome Online, Inc. (Internet) 1,527,710 1.67

78,000 Poya International Co., Ltd. (Retail) 984,667 1.08

100,314 Silergy Corp. (Electronics) 1,002,134 1.10

126,721 Superalloy Industrial Co., Ltd.

(Metal Fabricate/Hardware) 504,935 0.55

465,639 Taiwan Semiconductor Manufacturing Co., Ltd.


3,232,000 Yuanta Financial Holding Co., Ltd.


11,348,173 12.44

Thailand

159,900 Airports of Thailand PCL

(Construction & Engineering) 1,416,225 1.55

701,800 CP ALL PCL (Retail) 954,466 1.05

2,370,691 2.60

United States

9,490 Cognizant Technology Solutions Corp. "A"

(Computers) 613,529 0.67

242,100 Samsonite International S.A.

(Household Products/Wares) 879,598 0.97

1,493,127 1.64

TOTAL COMMON STOCKS

(cost USD 71 ,666 ,712) 82,670,807 90.62

Warrants – 7.08%

China

25,700 Aisino Co., Ltd.—Morgan Stanley

Asia Products Ltd.,

exp. 05/17—Warrants(b) (Computers) 390,909 0.43

110,041 Kweichow Moutai Co., Ltd.—

Deutsche Bank AG London,

exp. 12/24—Warrants(b)


147,300 Midea Group Co., Ltd.—Morgan

Stanley Asia Products Ltd.,


(Home Furnishings) 879,609 0.97

5,951,381 6.53

India

42,469 Inox Wind Ltd.—UBS AG London,


(Energy-Alternate Sources) 289,760 0.32

25,120 Sharda Cropchem Ltd.—Citigroup

Global Markets Holdings, Inc.,

exp. 02/16—Warrants(b) (Chemicals) 142,426 0.16

14,051 VRL Logistics Ltd.—Morgan


exp. 04/18—Warrants(b) (Transportation) 68,059 0.07

910 VRL Logistics Ltd.—UBS AG London,



504,653 0.55

TOTAL WARRANTS

(cost USD 5 ,154 ,825) 6,456,034 7.08

Mutual Funds – 0.81%

Ireland

739,359 Goldman Sachs US$ Liquid Reserves Fund

(X Distribution Class)(c)(d) 739,359 0.81

TOTAL MUTUAL FUNDS

(cost USD 739 ,359) 739,359 0.81

TOTAL TRANSFERABLE SECURITIES

ADMITTED TO AN OFFICIAL EXCHANGE LISTING

(cost USD 77 ,560 ,896) 89,866,200 98.51

Other Transferable Securities


Hong Kong

2,888,000 Peace Mark Holdings Ltd.(b)

(Miscellaneous Manufacturing) 0 0.00

TOTAL COMMON STOCKS

(cost USD 4 ,530 ,266) 0 0.00

TOTAL OTHER TRANSFERABLE SECURITIES

(cost USD 4 ,530 ,266) 0 0.00

MARKET VALUE OF INVESTMENTS

(cost USD 82 ,091 ,162) 89,866,200 98.51

OTHER ASSETS AND LIABILITIES 1,361,154 1.49

SHAREHOLDERS’ EQUITY 91,227,354 100.00

% of


TOTAL INVESTMENTS USD Equity

Total Investments (cost USD 82,091,162) 89,866,200 98.51

Other Assets and Liabilities 1,361,154 1.49

Shareholders’ Equity 91,227,354 100.00

+ A portion of these securities were on loan at 31 May 2015. See Note 6.

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

Depositary Receipt).

(b) This security is determined by the Valuer. See Note 4.

(c) A related party to Goldman Sachs Funds.

(d) The yield for this fund as at 31 May 2015 was 0.230%

% of



% of




105



As at 31 May 2015


% of

Shareholders’

Allocation of Portfolio as at 31 May 2015 Equity

Common StocksInternet 10.29

Insurance 9.19

Banks 8.78

Semiconductors 6.27

Pharmaceuticals 6.01

Diversified Financial Services 5.87

Retail 4.84

Food, Beverages & Tobacco 4.66

Construction & Engineering 3.00

Lodging 2.96

Others 40.95

TOTAL COMMON STOCKS 90.62

Mutual Funds 0.81

WarrantsFood, Beverages & Tobacco 5.13

Home Furnishings 0.97

Computers 0.43

Energy-Alternate Sources 0.32

Chemicals 0.16

Transportation 0.07

TOTAL WARRANTS 7.08

Other Assets and Liabilities 1.49

TOTAL 100.00

106



As at 31 May 2015



Brazil

1,222,266 AmBev S.A. (Food, Beverages & Tobacco) 7,040,449 2.75

633,579 Banco Bradesco S.A.—Preferred (Banks) 5,698,122 2.22

671,141 BB Seguridade Participacoes S.A.

(Insurance) 7,177,073 2.80

979,984 BM&FBovespa S.A.


370,389 CETIP S.A. – Mercados Organizados


104,046 Companhia Brasileira de

Distribuicao—Preferred


181,191 Itau Unibanco Holding S.A.—Preferred

(Banks) 1,986,211 0.78

1,296,628 Odontoprev S.A. (Insurance) 4,761,045 1.86

179,662 TOTVS S.A. (Software) 2,185,381 0.85

39,264,497 15.32

China

18,304,200 Agricultural Bank of China Ltd. "H" (Banks) 9,929,574 3.87


1,436,000 ANTA Sports Products Ltd. (Retail) 3,329,694 1.30

1,078,000 CAR, Inc. (Commercial Services) 2,586,639 1.01

8,026,910 China Construction Bank Corp. "H" (Banks) 8,057,505 3.14



4,170,600 China Petroleum & Chemical Corp. "H"

(Oil & Gas) 3,674,472 1.43

+ 1,824,500 China Vanke Co., Ltd. "H" (Real Estate) 4,805,610 1.88


(Automobile Manufacturers) 3,074,105 1.20

561,500 Hengan International Group Co., Ltd.

(Healthcare Products) 6,447,236 2.52

10,583,835 Industrial & Commercial Bank of China Ltd. "H"

(Banks) 9,201,794 3.59

92,741 JD.com, Inc.—ADR(a) (Internet) 3,174,524 1.24

3,600,000 PetroChina Co., Ltd. "H" (Oil & Gas) 4,257,057 1.66

1,266,580 PICC Property & Casualty Co., Ltd. "H"

(Insurance) 2,902,833 1.13


(Insurance) 3,123,391 1.22


Co., Ltd. "H" (Pharmaceuticals) 3,815,373 1.49


(Apparel) 3,531,960 1.38

1,139,100 Tencent Holdings Ltd. (Internet) 22,824,632 8.90

111,500 Vipshop Holdings Ltd.—ADR(a) (Internet) 2,770,775 1.08

104,641,273 40.82

Cyprus

136,553 Globaltrans Investment Plc.—GDR(a)


Hong Kong

860,000 Alibaba Health Information Technology Ltd.

(Computers) 1,187,956 0.46

326,500 China Mobile Ltd. (Telecommunications) 4,309,996 1.68

346,000 Galaxy Entertainment Group Ltd. (Lodging) 1,654,254 0.65





21,897,327 8.54


India

118,359 Aurobindo Pharma Ltd. (Pharmaceuticals) 2,545,861 0.99

342,258 Axis Bank Ltd.(b) (Banks) 3,150,664 1.23



4,614 Bosch Ltd. (Auto Parts & Equipment) 1,709,950 0.67


(Transportation) 1,310,756 0.51

89,030 CRISIL Ltd. (Commercial Services) 2,928,948 1.14

3,818 Eicher Motors Ltd.





(Building Materials) 2,588,232 1.01

264,874 HCL Technologies Ltd. (Software) 4,191,907 1.64



130,688 Info Edge India Ltd. (Commercial Services) 1,671,094 0.65

70,684 Infosys Ltd. (Computers) 2,239,743 0.87

+ 50,619 Infosys Ltd.—ADR(a) (Computers) 1,607,153 0.63

1,341,522 KSK Energy Ventures Ltd. (Electric) 1,006,618 0.39

822,413 Prestige Estates Projects Ltd. (Real Estate) 3,137,378 1.22

41,786 Siemens Ltd.

(Electrical Components & Equipment) 895,344 0.35

374,586 Sobha Ltd. (Home Builders) 2,517,311 0.98

408,609 Thermax Ltd. (Machinery—Diversified) 6,163,585 2.40

150,141 Titan Co., Ltd.(b) (Retail) 912,882 0.36

46,233,961 18.03

Russia

1,369,503 Alrosa AO (Mining) 1,742,713 0.68

409,312 Gazprom OAO—ADR

(traded in United Kingdom)(a) (Oil & Gas) 2,211,513 0.86


(traded in United States)(a) (Oil & Gas) 45,655 0.02

115,795 Lukoil OAO—ADR(a) (Oil & Gas) 5,592,898 2.18

31,858 Magnit PJSC


3,042,026 Moscow Exchange MICEX-RTS PJSC


95,184 Novolipetsk Steel OJSC—GDR(a) (Iron/Steel) 1,356,372 0.53

279,986 Rosneft OAO—GDR(a) (Oil & Gas) 1,283,456 0.50

22,839,736 8.91

TOTAL COMMON STOCKS

(cost USD 204 ,683 ,431) 235,638,760 91.92

Rights – 0.00%

Brazil

170 CETIP S.A. – Mercados Organizados—Rights

(Diversified Financial Services) 125 0.00

TOTAL RIGHTS

(cost USD n i l ) 125 0.00

Warrants – 4.66%

China

222,400 Kweichow Moutai Co., Ltd.—Deutsche Bank AG

London, exp. 12/24—Warrants(b)


416,700 Midea Group Co., Ltd.—Morgan Stanley Asia

Products Ltd., exp. 12/15—Warrants(b)

(Home Furnishings) 2,488,343 0.97

11,948,671 4.66

TOTAL WARRANTS

(cost USD 9 ,726 ,401) 11,948,671 4.66

Goldman Sachs Funds—BRICs Portfolio

% of



% of



107



As at 31 May 2015


Ireland



United States

+ 161,685 iShares China Large-Cap ETF 7,971,070 3.11

31,862 iShares MSCI Brazil Capped ETF 1,044,118 0.41

9,015,188 3.52

TOTAL MUTUAL FUNDS

(cost USD 10 ,494 ,256) 9,943,095 3.88



(cost USD 224 ,904 ,088) 257,530,651 100.46


EXCLUDING DERIVATIVES

(cost USD 224 ,904 ,088) 257,530,651 100.46

Share Class Specific Forward Currency Contracts – 0.10%

Unrealised % of

Amount Amount Maturity Gain Shareholders’

Currency Bought Currency Sold Date USD Equity

EUR 16,441,053 USD 17,835,761 15/06/2015 244,936 0.09

USD 1,218,692 EUR 1,095,113 15/06/2015 14,365 0.01

UNREALISED GAIN ON FORWARD CURRENCY

CONTRACTS HELD FOR HEDGING PURPOSES 259,301 0.10


(cost USD 224 ,904 ,088) 257,789,952 100.56

OTHER ASSETS AND LIABILITIES (1,440,327) (0.56)


% of



Total Investments excluding derivatives

(cost USD 224,904,088) 257,530,651 100.46

Unrealised gain on forward currency contracts

held for hedging purposes 259,301 0.10

Other Assets and Liabilities (1,440,327) (0.56)


The counterparties for forward currency contracts were Citibank NA, JP Morgan Chase Bank,

Royal Bank of Canada, , State Street Bank & Trust, UBS AG London and Westpac Banking Corp.

The maximum individual counterparty exposure as at 31 May 2015 is 0.04% of the NAV.




(b) Valuation of this security is determined by the Valuer. See Note 4.


(d) The yield for this fund as at 31 May 2015 was 0.230%.

% of

Shareholders’


Common StocksBanks 14.83

Internet 11.86



Insurance 7.01

Oil & Gas 6.65


Real Estate 3.10

Commercial Services 2.80

Healthcare Products 2.52

Others 20.35


Mutual Funds 3.88

RightsDiversified Financial Services 0.00

TOTAL RIGHTS 0.00



TOTAL WARRANTS 4.66

Unrealised Gain On Forward Currency Contracts Held for Hedging Purposes 0.10

Other Assets and Liabilities (0.56)

TOTAL 100.00

Goldman Sachs Funds—BRICs Portfolio

% of



108



As at 31 May 2015



Airlines

262,000 China Eastern Airlines Corp., Ltd. "H" 199,973 2.37

Automobile Manufacturers

36,500 Great Wall Motor Co., Ltd. "H" 248,235 2.94

Banks

425,000 Agricultural Bank of China Ltd. "H" 232,877 2.76

287,450 China Construction Bank Corp. "H" 289,812 3.44

65,500 China Minsheng Banking Corp., Ltd. "H" 90,528 1.08

839,020 Industrial & Commercial Bank of China Ltd. "H" 737,743 8.75

1,350,960 16.03

Commercial Services

35,000 CAR, Inc. 86,008 1.02

3,751 China Distance Education Hldg. Ltd.—ADR(a) 59,641 0.71

145,649 1.73

Computers

28,000 Alibaba Health Information Technology Ltd. 39,349 0.47

Construction & Engineering

155,000 China Communications Construction Co., Ltd. "H" 272,580 3.23

Cosmetics/Personal Care

226 Amorepacific Corp. 78,882 0.94

Diversified Financial Services

311,000 China Cinda Asset Management Co., Ltd. "H" 197,276 2.34

59,000 CITIC Securities Co., Ltd. "H" 248,741 2.95

446,017 5.29

Electric

154,000 Datang International Power Generation

Co., Ltd. "H" 93,120 1.10

152,000 Huadian Fuxin Energy Corp., Ltd. "H" 80,544 0.96

173,664 2.06

Electrical Components & Equipment

1,000 Hermes Microvision, Inc. 78,903 0.94

Environmental Control

99,000 China Everbright International Ltd. 184,822 2.19

478,000 SIIC Environment Holdings Ltd. 72,542 0.86

257,364 3.05

Food, Beverages & Tobacco

20,000 China Mengniu Dairy Co., Ltd. 112,168 1.33

Healthcare Products

12,500 Hengan International Group Co., Ltd. 145,850 1.73

Insurance

77,220 PICC Property & Casualty Co., Ltd. "H" 181,595 2.15

37,000 Ping An Insurance Group Co. of China Ltd. "H" 555,268 6.59

736,863 8.74

Internet

1,030 Alibaba Group Holding Ltd.—ADR(a) 93,267 1.11

1,210 Ctrip.com International Ltd.—ADR(a) 98,434 1.17

2,449 JD.com, Inc.—ADR(a) 83,315 0.99

8,000 momo.com, Inc. 75,226 0.89

39,000 Tencent Holdings Ltd. 784,902 9.31

3,696 Vipshop Holdings Ltd.—ADR(a) 92,326 1.09

1,227,470 14.56


Machinery—Diversified

83,000 China CNR Corp., Ltd. "H" 144A(b)(c) 176,567 2.09

216,000 Shanghai Electric Group Co., Ltd. "H" 237,548 2.82

414,115 4.91

Metal Fabricate/Hardware

13,503 Superalloy Industrial Co., Ltd. 53,293 0.63

Oil & Gas

174,200 China Petroleum & Chemical Corp. "H" 153,172 1.82

84,000 PetroChina Co., Ltd. "H" 99,311 1.18

252,483 3.00

Pharmaceuticals

104,000 China Traditional Chinese Medicine Co., Ltd. 88,631 1.05

13,400 Livzon Pharmaceutical Group, Inc. "H" 115,320 1.37


Co., Ltd. "H" 167,439 1.99

88,000 Sino Biopharmaceutical Ltd. 109,486 1.30

37,600 Sinopharm Group Co., Ltd. "H" 188,333 2.23

669,209 7.94

Real Estate

64,000 China Overseas Land & Investment Ltd. 238,053 2.82

73,800 China Vanke Co., Ltd. "H" 196,959 2.34

435,012 5.16

Semiconductors

5,000 MediaTek, Inc. 66,701 0.79

Telecommunications

28,500 China Mobile Ltd. 379,571 4.50

Water

74,000 Guangdong Investment Ltd. 103,230 1.22

TOTAL COMMON STOCKS

(cost USD 5 ,982 ,203) 7,887,541 93.56

Warrants – 6.22%

Banks

32,600 China Merchants Bank Co., Ltd.—Morgan


exp. 12/15—Warrants(c) 98,970 1.17

30,800 Shanghai Pudong Development Bank

Co., Ltd.—Deutsche Bank AG London,

exp. 11/24—Warrants(c) 89,037 1.06

188,007 2.23

Computers

10,400 Aisino Co., Ltd.—Deutsche Bank AG London,

exp. 04/25—Warrants(c) 169,353 2.01

Electric

5,600 Tongfang Guoxin Electronics Co., Ltd. "A"—


exp. 11/24—Warrants(c) 53,224 0.63




exp. 12/24—Warrants(c) 113,793 1.35

TOTAL WARRANTS

(cost USD 409 ,365) 524,377 6.22

% of



% of



Goldman Sachs Funds—China Opportunity Portfolio

109



As at 31 May 2015

Goldman Sachs Funds—China Opportunity Portfolio


United States Dollar

1,528 CSOP Source FTSE China A50 UCITS ETF 36,687 0.44

9 Goldman Sachs US$ Liquid Reserves Fund

(Institutional Distribution Class)(d)(e) 9 0.00

36,696 0.44

TOTAL MUTUAL FUNDS

(cost USD 28 ,741) 36,696 0.44



(cost USD 6 ,420 ,309) 8,448,614 100.22


(cost USD 6 ,420 ,309) 8,448,614 100.22

OTHER ASSETS AND LIABILITIES (18,316) (0.22)


% of




Other Assets and Liabilities (18,316) (0.22)




(b) 144A: This security is issued to qualified institutional investors, pursuant to private

placements, and is transferable as stated in rule 144A of the US Securities Act of 1933.

(c) Valuation of this security is determined by the Valuer. See Note 4.

(d) A related party to Goldman Sachs Funds.

(e) The yield for this fund as at 31 May 2015 was 0.053%.

% of



110



As at 31 May 2015



Belgium

90,120 Anheuser-Busch InBev NV


Denmark

144,305 Novo Nordisk A/S "B" (Pharmaceuticals) 7,410,944 3.29

France

49,384 Air Liquide S.A. (Chemicals) 5,871,758 2.61

151,088 Klepierre (Real Estate Investment Trust) 6,187,053 2.75

72,436 Publicis Groupe S.A. (Advertising) 5,366,059 2.38

117,390 Safran S.A. (Aerospace & Defence) 7,669,089 3.41

133,833 Total S.A. (Oil & Gas) 6,223,234 2.76

31,317,193 13.91

Germany

96,268 Adidas AG (Apparel) 6,913,005 3.07

70,592 Bayer AG (Pharmaceuticals) 9,261,670 4.11

94,688 Beiersdorf AG (Cosmetics/Personal Care) 7,862,892 3.49

103,256 GEA Group AG

(Holding Companies—Diversified) 4,603,669 2.05

28,641,236 12.72

Ireland

10,516,895 Bank of Ireland (Banks) 3,691,430 1.64

117,430 Kerry Group Plc. "A"


90,772 Shire Plc. (Pharmaceuticals) 7,188,259 3.19

18,953,002 8.42

Italy

2,140,763 Intesa Sanpaolo SpA (Banks) 7,145,867 3.18

Netherlands

251,538 Royal Dutch Shell Plc. "A" (Oil & Gas) 6,865,971 3.05

Spain

634,691 Banco Bilbao Vizcaya Argentaria S.A.

(Banks) 5,767,437 2.56

Sweden

246,355 Hennes & Mauritz AB "B" (Retail) 9,019,735 4.01

270,114 Svenska Cellulosa AB SCA "B"


385,668 Volvo AB "B" (Automobile Manufacturers) 4,628,343 2.06

20,163,081 8.96

Switzerland

27,551 Actelion Ltd. (Pharmaceuticals) 3,533,814 1.57

102,528 Julius Baer Group Ltd.


119,465 Novartis AG (Pharmaceuticals) 11,341,425 5.04

15,727 Syngenta AG (Chemicals) 6,540,667 2.91

494,167 UBS Group AG (Banks) 9,824,529 4.36

159,301 Wolseley Plc. (Distribution/Wholesale) 9,023,189 4.01

45,424,277 20.18

United Kingdom

478,349 BG Group Plc. (Oil & Gas) 7,632,655 3.39

1,632,468 ITV Plc. (Media) 6,237,915 2.77

5,257,446 Lloyds Banking Group Plc. (Banks) 6,461,106 2.87

1,027,399 RSA Insurance Group Plc. (Insurance) 6,250,219 2.78

362,643 Smith & Nephew Plc. (Healthcare Products) 5,884,753 2.61

2,029,039 Vodafone Group Plc. (Telecommunications) 7,260,937 3.23

39,727,585 17.65

TOTAL COMMON STOCKS

(cost EUR 184 ,506 ,527) 221,424,419 98.37


Ireland

1,308,717 Goldman Sachs Euro Liquid Reserves Fund

(X Accumulation Class)(a)(b) 1,308,717 0.58

TOTAL MUTUAL FUNDS

(cost EUR 1 ,308 ,717) 1,308,717 0.58



(cost EUR 185 ,815 ,244) 222,733,136 98.95


(cost EUR 185 ,815 ,244) 222,733,136 98.95



% of


TOTAL INVESTMENTS EUR Equity

Total Investments (cost EUR 185,815,244) 222,733,136 98.95



(a) A related party to Goldman Sachs Funds.

(b) The yield for this fund as at 31 May 2015 was (0.012%).

% of

Shareholders’


Common StocksPharmaceuticals 17.20

Banks 14.61


Cosmetics/Personal Care 6.38

Oil & Gas 6.15

Chemicals 5.52

Distribution/Wholesale 4.01

Retail 4.01

Aerospace & Defence 3.41

Telecommunications 3.23

Others 25.81


Mutual Funds 0.58


TOTAL 100.00

Goldman Sachs Funds—Europe Equity Partners Portfolio

% of


Holdings Security Description EUR Equity

% of



111



As at 31 May 2015



Denmark


France

197,198 Air Liquide S.A. (Chemicals) 25,780,974 3.27


47,184,154 5.98

Germany

+ 125,634 Bayer AG (Pharmaceuticals) 18,124,081 2.30

261,224 Beiersdorf AG (Cosmetics/Personal Care) 23,851,482 3.02

41,975,563 5.32

Japan

499,700 Hoya Corp. (Electronics) 18,447,628 2.34

1,397,000 Kubota Corp. (Machinery—Diversified) 23,286,807 2.95

983,000 Mitsubishi Estate Co., Ltd. (Real Estate) 21,974,556 2.79

320,500 Nidec Corp.


87,095,358 11.05

Sweden



Switzerland



1,038,231 UBS Group AG (Banks) 22,695,877 2.88


107,135,140 13.59

United Kingdom

780,795 BG Group Plc. (Oil & Gas) 13,698,807 1.74

United States

720,160 Abbott Laboratories (Pharmaceuticals) 35,302,243 4.48

68,493 Affiliated Managers Group, Inc.


274,916 American Tower Corp.

(Real Estate Investment Trust) 25,803,616 3.27

138,966 Boeing Co. (Aerospace & Defence) 19,655,351 2.49

135,182 Celgene Corp. (Biotechnology) 15,601,355 1.98

322,530 Devon Energy Corp. (Oil & Gas) 20,977,351 2.66

1,066,114 EMC Corp. (Computers) 28,177,393 3.57

88,443 FedEx Corp. (Transportation) 15,416,499 1.96

618,734 Gap, Inc. (Retail) 23,858,383 3.03

436,877 General Electric Co.

(Miscellaneous Manufacturing) 11,983,536 1.52

26,331 Google, Inc. "A" (Internet) 14,504,168 1.84

14,384 Google, Inc. "C" (Internet) 7,715,146 0.98

110,424 Intercontinental Exchange, Inc.


349,846 Mylan NV (Pharmaceuticals) 25,619,223 3.25

116,731 NIKE, Inc. "B" (Apparel) 11,878,547 1.51

401,621 Northern Trust Corp. (Banks) 30,205,916 3.83

262,493 PVH Corp. (Retail) 27,556,515 3.49

385,971 QUALCOMM, Inc. (Semiconductors) 27,292,009 3.46

335,670 Yum! Brands, Inc. (Retail) 30,441,912 3.86

413,315,497 52.42

TOTAL COMMON STOCKS

(cost USD 672 ,668 ,607) 750,662,474 95.21


Ireland

35,770,388 Goldman Sachs US$ Liquid Reserves Fund

(X Distribution Class)(a)(b) 35,770,388 4.54

TOTAL MUTUAL FUNDS

(cost USD 35 ,770 ,388) 35,770,388 4.54



(cost USD 708 ,438 ,995) 786,432,862 99.75



(cost USD 708 ,438 ,995) 786,432,862 99.75


Unrealised % of



USD 4,381,831 CHF 4,088,248 03/06/2015 13,684 0.01

USD 91,511 CHF 84,537 03/06/2015 1,186 0.00

USD 6,377,588 EUR 5,740,000 03/06/2015 66,097 0.01

USD 67,876 GBP 44,232 03/06/2015 249 0.00

USD 6,192,463 JPY 736,935,399 03/06/2015 243,165 0.03

USD 126,773 JPY 15,085,317 03/06/2015 4,989 0.00


CONTRACTS HELD FOR HEDGING PURPOSES 329,370 0.05

Unrealised % of

Amount Amount Maturity Loss Shareholders’


EUR 835,618 USD 929,779 03/06/2015 (10,964) (0.00)

USD 3,095,233 GBP 2,046,164 03/06/2015 (33,222) (0.01)

UNREALISED LOSS ON FORWARD CURRENCY

CONTRACTS HELD FOR HEDGING PURPOSES (44,186) (0.01)


(cost USD 708 ,438 ,995) 786,718,046 99.79



% of




(cost USD 708,438,995) 786,432,862 99.75


held for hedging purposes 329,370 0.05

Unrealised loss on forward currency contracts

held for hedging purposes (44,186) (0.01)



The counterparties for forward currency contracts were Bank of America NA, JP Morgan Chase

Bank NA London, Morgan Stanley and Co. International, Royal Bank of Canada, Royal Bank of

Scotland Plc., State Street Bank & Trust, UBS AG London.




(b) The yield for this fund as at 31 May 2015 was 0.230%.

% of



% of



Goldman Sachs Funds—Global Equity Partners Portfolio

112



As at 31 May 2015

Goldman Sachs Funds—Global Equity Partners Portfolio

% of

Shareholders’



Retail 10.38

Chemicals 7.16

Banks 6.71




Oil & Gas 4.40

Distribution/Wholesale 4.38

Computers 3.57

Other 27.57


Mutual Funds 4.54

Unrealised Gain on Forward Currency Contracts Held for Hedging Purposes 0.05

Unrealised Loss on Forward Currency Contracts Held for Hedging Purposes (0.01)


TOTAL 100.00

113



As at 31 May 2015

Goldman Sachs Funds—Global Equity Unconstrained Portfolio

% of



% of





Australia

21,602 Computershare Ltd.—ADR(a) (Computers) 212,564 3.55

Denmark

2,296 Novo Nordisk A/S "B" (Pharmaceuticals) 129,652 2.17

France

1,137 Air Liquide S.A. (Chemicals) 148,647 2.48

2,896 Safran S.A. (Aerospace & Defence) 208,030 3.47

356,677 5.95

Germany

1,050 Bayer AG (Pharmaceuticals) 151,474 2.53

2,503 Beiersdorf AG (Cosmetics/Personal Care) 228,540 3.81

380,014 6.34

Italy

26,725 Intesa Sanpaolo SpA (Banks) 98,089 1.64

Japan

3,700 Hoya Corp. (Electronics) 136,594 2.28

2,000 Nidec Corp.


2,200 Pola Orbis Holdings, Inc.


403,225 6.73

Korea



Netherlands

3,833 Royal Dutch Shell Plc. "A" (Oil & Gas) 115,041 1.92

Switzerland

2,279 Julius Baer Group Ltd.


430 Syngenta AG (Chemicals) 196,634 3.28

7,500 UBS Group AG (Banks) 163,951 2.74

3,312 Wolseley Plc. (Distribution/Wholesale) 206,275 3.44

692,991 11.57

United Kingdom

8,477 BG Group Plc. (Oil & Gas) 148,726 2.48

7,874 BTG Plc. (Pharmaceuticals) 85,672 1.43

1,945 Liberty Global Plc. "A" (Media) 111,799 1.87

25,807 Vodafone Group Plc. (Telecommunications) 101,544 1.70

447,741 7.48

United States

5,535 Abbott Laboratories (Pharmaceuticals) 271,326 4.53

658 Affiliated Managers Group, Inc.



(Real Estate Investment Trust) 185,749 3.10

3,510 CBRE Group, Inc. "A" (Real Estate) 133,942 2.24

1,674 Celgene Corp. (Biotechnology) 193,196 3.22

1,282 Costco Wholesale Corp. (Retail) 183,326 3.06

8,769 EMC Corp. (Computers) 231,765 3.87

1,364 Gilead Sciences, Inc. (Biotechnology) 153,859 2.57

5,204 Morgan Stanley (Banks) 200,822 3.35

2,972 Mylan NV (Pharmaceuticals) 217,639 3.63


United States – (continued)

1,502 PVH Corp. (Retail) 157,680 2.63

3,608 QUALCOMM, Inc. (Semiconductors) 255,122 4.26

2,211 Yum! Brands, Inc. (Retail) 200,516 3.35

2,532,992 42.28

TOTAL COMMON STOCKS

(cost USD 4 ,821 ,416) 5,504,296 91.89

Warrants – 2.71%

India

1,970 Hero Motocorp Ltd.—JP Morgan Structured

Products, exp. 02/17—Warrants(b)

(Leisure Time) 83,168 1.39

5,249 Thermax Ltd.—Morgan Stanley Asia

Products Ltd., exp. 05/17—Warrants(b)


162,345 2.71

TOTAL WARRANTS

(cost USD 144 ,643) 162,345 2.71


Ireland



United States

1,638 iShares MSCI Emerging Markets Index Fund 67,805 1.13

423 SPDR S&P 500 ETF Trust 89,735 1.50

157,540 2.63

TOTAL MUTUAL FUNDS

(cost USD 238 ,483) 252,181 4.21



(cost USD 5 ,204 ,542) 5,918,822 98.81


(cost USD 5 ,204 ,542) 5,918,822 98.81

OTHER ASSETS AND LIABILITIES 71,579 1.19


% of




Other Assets and Liabilities 71,579 1.19







114



As at 31 May 2015

Goldman Sachs Funds—Global Equity Unconstrained Portfolio

% of

Shareholders’



Retail 9.04

Banks 7.73

Computers 7.42


Biotechnology 5.79

Chemicals 5.76


Oil & Gas 4.40

Semiconductors 4.26

Others 22.80


Mutual Funds 4.21

WarrantsLeisure Time 1.39

Machinery—Diversified 1.32

TOTAL WARRANTS 2.71


TOTAL 100.00

115



As at 31 May 2015

Goldman Sachs Funds—Global Responsible Equity Portfolio

% of



% of





Australia

13,664 Australia & New Zealand Banking

Group Ltd.—ADR(a) (Banks) 346,383 0.96


1,061,731 2.94

Denmark


France


Germany

5,196 Adidas AG (Apparel) 410,269 1.14



1,538 Volkswagen AG


2,123,382 5.89

Hong Kong

81,200 AIA Group Ltd. (Insurance) 534,171 1.48

Ireland

901,422 Bank of Ireland (Banks) 347,896 0.97

921 Kerry Group Plc. "A"



(traded in United Kingdom)


945,088 2.62

Italy

181,094 Intesa Sanpaolo SpA (Banks) 664,669 1.84

Japan


43,000 Kubota Corp. (Machinery—Diversified) 716,774 1.99

33,300 Nomura Real Estate Holdings, Inc.

(Real Estate) 683,125 1.89

12,700 Sumitomo Mitsui Financial Group, Inc.

(Banks) 577,332 1.60

2,586,368 7.17

Korea





855,398 2.37

Netherlands

7,974 Sensata Technologies Holding NV

(Electronics) 442,238 1.23

Singapore

37,255 DBS Group Holdings Ltd. (Banks) 561,060 1.56

Sweden

12,713 Hennes & Mauritz AB "B" (Retail) 511,794 1.42

42,886 Volvo AB "B" (Automobile Manufacturers) 565,904 1.57

1,077,698 2.99

Switzerland



1,604,153 4.45


Taiwan

34,000 MediaTek, Inc. (Semiconductors) 458,103 1.27

United Kingdom


9,046 Liberty Global Plc. "C" (Media) 482,152 1.34

4,168 Reckitt Benckiser Group Plc.


43,274 RSA Insurance Group Plc. (Insurance) 289,466 0.80

18,531 Unilever NV (Cosmetics/Personal Care) 798,526 2.21

204,744 Vodafone Group Plc.

(Telecommunications) 805,617 2.23

3,149,591 8.73

United States


5,515 Adobe Systems, Inc. (Software) 440,152 1.22

7,893 American International Group, Inc.

(Insurance) 466,713 1.29



2,148 Amgen, Inc. (Biotechnology) 337,988 0.94

6,928 Apple, Inc. (Computers) 909,508 2.52




11,375 Devon Energy Corp. (Oil & Gas) 739,830 2.05


16,333 Gap, Inc. (Retail) 629,800 1.75



1,606 Google, Inc. "A" (Internet) 884,649 2.45

4,413 Hubbell, Inc. "B"




1,951 McKesson Corp. (Pharmaceuticals) 466,094 1.29

11,367 Microsoft Corp. (Software) 537,318 1.49



5,132 NIKE, Inc. "B" (Apparel) 522,232 1.45

15,939 Pfizer, Inc. (Pharmaceuticals) 551,330 1.53

5,882 Principal Financial Group, Inc. (Insurance) 305,452 0.85

6,603 Prudential Financial, Inc. (Insurance) 559,076 1.55

6,307 PVH Corp. (Retail) 662,109 1.83

7,477 Range Resources Corp. (Oil & Gas) 413,777 1.15

25,149 Southwestern Energy Co. (Oil & Gas) 642,808 1.78

12,383 Starbucks Corp. (Retail) 644,287 1.79

5,176 TJX Cos., Inc. (Retail) 340,167 0.94

4,390 United Parcel Service, Inc. "B"


6,285 Walgreens Boots Alliance, Inc. (Retail) 538,939 1.49

12,048 Whole Foods Market, Inc.


18,700,644 51.85

TOTAL COMMON STOCKS

(cost USD 32 ,141 ,251) 35,882,307 99.49



(cost USD 32 ,141 ,251) 35,882,307 99.49


(cost USD 32 ,141 ,251) 35,882,307 99.49



116



As at 31 May 2015

Goldman Sachs Funds—Global Responsible Equity Portfolio

% of








% of

Shareholders’



Retail 11.27

Banks 8.83

Computers 6.76

Oil & Gas 6.08

Insurance 5.97


Automobile Manufacturers 3.87

Miscellaneous Manufacturing 3.52

Real Estate 3.27

Others 34.06


Other Net Assets 0.51

TOTAL 100.00

117



As at 31 May 2015

Goldman Sachs Funds—GMS Dynamic World Equity Portfolio



Belgium

66,984 Groupe Bruxelles Lambert S.A.

(Investment Companies) 5,582,104 0.61

Bermuda

173,436 Arch Capital Group Ltd. (Insurance) 11,158,872 1.21

Canada

183,248 Imperial Oil Ltd. (Oil & Gas) 7,119,420 0.77

China


Denmark

72,837 Carlsberg A/S "B"


237,189 ISS A/S (Commercial Services) 8,191,469 0.89

14,896,171 1.62

France

203,721 BNP Paribas S.A. (Banks) 12,503,759 1.36

7,000 Christian Dior SE (Apparel) 1,424,302 0.16

90,030 Danone S.A.


43,425 Kering (Retail) 7,658,772 0.83

13,400 LVMH Moet Hennessy Louis Vuitton SE

(Apparel) 2,433,315 0.26

25,800 Pernod Ricard S.A.


6,817 Publicis Groupe S.A. (Advertising) 555,277 0.06


135,434 Vivendi S.A. (Media) 3,489,857 0.38

38,798,668 4.21

Germany


66,105 Allianz SE (Insurance) 10,484,919 1.14

77,750 Bayerische Motoren Werke AG


87,079 Daimler AG (Automobile Manufacturers) 8,255,368 0.90

27,753 SAP SE (Software) 2,066,531 0.22

30,251,259 3.28

Hong Kong

219,900 Melco Crown Entertainment Ltd.—ADR(a)

(Lodging) 4,288,050 0.47

Ireland

26,593 Accenture Plc. "A" (Computers) 2,561,172 0.28

331,660 Experian Plc. (Commercial Services) 6,353,853 0.69

152,692 Medtronic Plc. (Healthcare Products) 11,778,661 1.27

20,693,686 2.24

Israel

5,800 Check Point Software Technologies Ltd.

(Software) 488,592 0.05

Italy

31,600 EXOR SpA (Investment Companies) 1,578,848 0.17

1,935,188 Intesa Sanpaolo SpA (Banks) 7,102,716 0.77

924,500 Prada SpA (Apparel) 5,068,486 0.55

13,750,050 1.49


Japan

1,105,000 Daiwa Securities Group, Inc.


311,900 Honda Motor Co., Ltd.


56,600 Komatsu Ltd.

(Machinery—Construction & Mining) 1,194,369 0.13

18,500 Meitec Corp. (Commercial Services) 675,629 0.07

620,500 Nomura Holdings, Inc.


39,000 Olympus Corp. (Healthcare Products) 1,329,321 0.15

2,700 Omron Corp. (Electronics) 125,404 0.01

10,800 Secom Co., Ltd. (Commercial Services) 721,616 0.08

6,200 Tokyo Electron Ltd. (Semiconductors) 398,311 0.04

148,400 Toyota Motor Corp.


38,256,526 4.15

Korea



15,770 Samsung Electronics Co., Ltd. (Electronics) 18,617,651 2.02

23,354,868 2.53

Netherlands

5,402 Akzo Nobel NV (Chemicals) 416,794 0.05

17,722 Heineken Holding NV


528,661 ING Groep NV (Banks) 8,765,841 0.95

270,072 Koninklijke Philips NV (Electronics) 7,461,061 0.81

17,882,630 1.94

Norway

498,736 Orkla ASA (Food, Beverages & Tobacco) 3,933,902 0.43

South Africa

3,882 Lonmin Plc. (Mining) 8,191 0.00

Sweden

51,868 Atlas Copco AB "B"



194,800 SKF AB "B" (Metal Fabricate/Hardware) 4,778,680 0.52

25,400 Swedish Match AB


8,185,807 0.89

Switzerland

370,262 ABB Ltd.


94,349 Adecco S.A. (Commercial Services) 7,570,500 0.82

113,100 Cie Financiere Richemont S.A. (Retail) 9,896,779 1.07

584,789 Credit Suisse Group AG (Banks) 15,651,439 1.70

633,300 Glencore Plc. (Mining) 2,776,553 0.30

78,966 Holcim Ltd. (Building Materials) 6,310,868 0.68

36,136 Kuehne + Nagel International AG


55,893 Nestle S.A. (Food, Beverages & Tobacco) 4,389,268 0.48

80,700 Nestle S.A.—ADR(a)



15,850 Schindler Holding AG

(Hand/Machine Tools) 2,797,607 0.30

77,667 TE Connectivity Ltd. (Electronics) 5,397,080 0.59

423,482 UBS Group AG (Banks) 9,257,377 1.00


90,737,755 9.84

% of



% of



118



As at 31 May 2015


United Kingdom

298,702 Amec Foster Wheeler Plc.

(Oil & Gas Services) 4,329,517 0.47

211,394 Aon Plc. (Insurance) 21,648,860 2.35

1,077,703 CNH Industrial NV

(Machinery—Diversified) 9,628,030 1.04

304,576 Compass Group Plc.


461,593 Diageo Plc. (Food, Beverages & Tobacco) 12,876,449 1.40

153,400 G4S Plc. (Commercial Services) 704,091 0.08

154,762 GlaxoSmithKline Plc. (Pharmaceuticals) 3,449,967 0.37

410,850 Liberty Global Plc. "C" (Media) 21,898,305 2.38

10,419,710 Lloyds Banking Group Plc. (Banks) 14,080,000 1.53

311,368 Meggitt Plc. (Aerospace & Defence) 2,437,457 0.26

2,121,755 Royal Bank of Scotland Group Plc. (Banks) 11,337,974 1.23

76,400 Schroders Plc.


300 Schroders Plc.—Non Voting


717,848 Serco Group Plc. (Computers) 1,512,428 0.16

269,649 Smiths Group Plc.


3,199,073 Tesco Plc. (Food, Beverages & Tobacco) 10,374,277 1.13

169,700 Willis Group Holdings Plc. (Insurance) 8,104,872 0.88

120,500 WPP Plc. (Advertising) 2,885,173 0.31

139,621,292 15.15

United States

22,600 3M Co. (Miscellaneous Manufacturing) 3,621,198 0.39

141,930 Altera Corp. (Semiconductors) 6,937,538 0.75

21,816 Amazon.com, Inc. (Internet) 9,398,333 1.02

92,801 American Express Co.


43,100 Anadarko Petroleum Corp. (Oil & Gas) 3,618,245 0.39

349,700 Applied Materials, Inc. (Semiconductors) 7,105,904 0.77

342,745 Bank of New York Mellon Corp. (Banks) 14,995,094 1.63

127,866 Berkshire Hathaway, Inc. "B" (Insurance) 18,448,506 2.00

80,406 Chubb Corp. (Insurance) 7,898,281 0.86

378,655 Cisco Systems, Inc.

(Telecommunications) 11,143,817 1.21

526,144 Citigroup, Inc. (Banks) 28,627,495 3.11

3,435 Citizens Financial Group, Inc. (Banks) 91,989 0.01

225,500 Coca-Cola Co.


66,000 Constellation Brands, Inc. "A"


105,450 Discovery Communications, Inc. "A" (Media) 3,508,321 0.38

160,008 DISH Network Corp. "A" (Media) 11,256,563 1.22

106,184 Ecolab, Inc. (Chemicals) 12,176,119 1.32

257,229 Flextronics International Ltd. (Electronics) 3,122,760 0.34

12,795 Google, Inc. "A" (Internet) 7,047,998 0.76


92,199 Johnson & Johnson (Pharmaceuticals) 9,342,525 1.01

86,013 Joy Global, Inc.


140,900 JPMorgan Chase & Co. (Banks) 9,312,081 1.01

173,420 Marsh & McLennan Cos, Inc. (Insurance) 10,197,096 1.11

78,282 MasterCard, Inc. "A"

(Commercial Services) 7,267,701 0.79

613,306 Microsoft Corp. (Software) 28,990,975 3.14

288,300 Mondelez International, Inc. "A"


83,900 Morgan Stanley (Banks) 3,237,701 0.35

210,625 Noble Energy, Inc. (Oil & Gas) 9,183,250 1.00

898,389 Oracle Corp. (Software) 39,142,809 4.25

101,200 PepsiCo, Inc. (Food, Beverages & Tobacco) 9,762,764 1.06

67,320 Praxair, Inc. (Chemicals) 8,252,759 0.90

206,561 Progressive Corp. (Insurance) 5,649,443 0.61



172,239 QUALCOMM, Inc. (Semiconductors) 12,179,020 1.32

53,600 Thermo Fisher Scientific, Inc. (Electronics) 6,961,032 0.76

443,700 Twenty-First Century Fox, Inc. "B" (Media) 14,934,942 1.62

95,248 UnitedHealth Group, Inc.

(Healthcare Services) 11,326,892 1.23

30,275 Valeant Pharmaceuticals International, Inc.


116,647 WR Berkley Corp. (Insurance) 5,721,535 0.62

398,538,753 43.23

TOTAL COMMON STOCKS

(cost USD 728 ,209 ,441) 874,088,229 94.82


Ireland


(X Distribution Class)(b)(c) 37,534,242 4.07

TOTAL MUTUAL FUNDS

(cost USD 37 ,534 ,242) 37,534,242 4.07



(cost USD 765 ,743 ,683) 911,622,471 98.89



(cost USD 765 ,743 ,683) 911,622,471 98.89

Forward Currency Contracts – (0.03%)

Unrealised % of



USD 424,379 JPY 50,995,442 13/08/2015 12,319 0.00

UNREALISED GAIN ON FORWARD

CURRENCY CONTRACTS 12,319 0.00

Unrealised % of



JPY 16,182,129 USD 136,069 13/08/2015 (5,313) (0.00)

USD 17,946,626 CHF 16,975,000 16/09/2015 (266,577) (0.03)

UNREALISED LOSS ON FORWARD

CURRENCY CONTRACTS (271,890) (0.03)


(cost USD 765 ,743 ,683) 911,362,900 98.86



% of



% of




119



As at 31 May 2015


% of




(cost USD 765,743,683) 911,622,471 98.89

Unrealised gain on forward currency contracts 12,319 0.00

Unrealised loss on forward currency contracts (271,890) (0.03)



The counterparty for forward currency contracts was State Street Bank & Trust.



(b) A related party to Goldman Sachs Funds.

(c) The yield for this fund as at 31 May 2015 was 0.230%.

% of

Shareholders’




Insurance 10.78

Software 7.66

Media 5.98


Electronics 4.53

Internet 3.70


Semiconductors 2.88

Others 25.72


Mutual Funds 4.07

Unrealised Gain On Forward Currency Contracts 0.00

Unrealised Loss On Forward Currency Contracts (0.03)


TOTAL 100.00

120



As at 31 May 2015



Austria

11,955 DO & CO AG (Food, Beverages & Tobacco) 1,018,090 0.61

Brazil

163,186 Banco Bradesco S.A.—Preferred (Banks) 1,467,618 0.88


(Insurance) 2,209,775 1.32



160,785 CETIP S.A.—Mercados Organizados





57,994 Ez Tec Empreendimentos e Participacoes S.A.

(Real Estate) 305,150 0.18

119,193 LPS Brasil Consultoria de Imoveis S.A.

(Real Estate) 203,790 0.12

54,200 Mahle-Metal Leve S.A.

(Auto Parts & Equipment) 389,823 0.23

302,623 Odontoprev S.A. (Insurance) 1,111,191 0.66

38,900 Sao Martinho S.A.


102,481 TOTVS S.A. (Software) 1,246,563 0.75

11,695,736 6.98

Chile

+ 11,519 Banco de Chile—ADR(a) (Banks) 803,796 0.48

China


9,797 Alibaba Group Holding Ltd.—ADR(a) (Internet) 888,882 0.53

588,000 ANTA Sports Products Ltd. (Retail) 1,363,412 0.81


(Biotechnology) 541,264 0.32

417,000 CAR, Inc. (Commercial Services) 1,000,583 0.60



+ 643,300 China Vanke Co., Ltd. "H" (Real Estate) 1,694,409 1.01





48,513 JD.com, Inc.—ADR(a) (Internet) 1,660,600 0.99

74,000 Livzon Pharmaceutical Group, Inc. "H"



(Insurance) 1,168,852 0.70


(Insurance) 1,624,163 0.97


Co., Ltd. "H" (Pharmaceuticals) 1,020,015 0.61



22,725,387 13.57

Colombia

26,661 Banco de Bogota S.A. (Banks) 654,547 0.39

41,841 Grupo Aval Acciones y Valores S.A.—ADR(a)


841,778 Grupo Aval Acciones y

Valores S.A.—Preferred


1,481,682 0.89


Cyprus



Georgia

12,665 Bank of Georgia Holdings Plc. (Banks) 364,627 0.22

73,541 TBC Bank JSC—GDR(a) (Banks) 823,659 0.49

1,188,286 0.71

Greece

135,675 Hellenic Exchanges – Athens Stock

Exchange S.A. Holding


48,544 Sarantis S.A. (Cosmetics/Personal Care) 420,074 0.25

1,212,227 0.72

Hong Kong


(Computers) 450,318 0.27

116,000 Galaxy Entertainment Group Ltd.

(Lodging) 554,605 0.33





330,000 Vinda International Holdings Ltd.


6,436,425 3.84

India

364,581 Ashiana Housing Ltd. (Real Estate) 1,311,530 0.78

61,471 Atul Auto Ltd. (Leisure Time) 441,374 0.27

76,352 Aurobindo Pharma Ltd. (Pharmaceuticals) 1,642,305 0.98






9,298 Dynamatic Technologies Ltd.


2,114 Eicher Motors Ltd.









36,869 Info Edge India Ltd. (Commercial Services) 471,440 0.28

30,902 MPS Ltd. (Media) 411,854 0.25



40,231 Poddar Developers Ltd. (Apparel) 854,596 0.51

251,487 Prestige Estates Projects Ltd. (Real Estate) 959,384 0.57

119,632 Sobha Ltd. (Home Builders) 803,957 0.48


255,745 VRL Logistics Ltd. (Transportation) 1,238,756 0.74

15,520,142 9.27

Indonesia

2,514,200 Bank Central Asia Tbk PT (Banks) 2,686,503 1.60

9,160,600 Summarecon Agung Tbk PT (Real Estate) 1,368,717 0.82

4,055,220 2.42

Goldman Sachs Funds—Growth & Emerging Markets Broad Equity Portfolio

% of



% of



121



As at 31 May 2015


Israel

3,312 Taro Pharmaceutical Industries Ltd.


Jersey

209,401 Integrated Diagnostics Holdings Plc.

(Aerospace & Defence) 1,245,308 0.74

Korea



183,345 Byucksan Corp. (Building Materials) 1,341,124 0.80



2,685 Cuckoo Electronics Co., Ltd.



9,710 Hana Tour Service, Inc. (Leisure Time) 1,072,025 0.64

9,511 Hanssem Co., Ltd. (Home Furnishings) 1,928,797 1.15



9,086 OCI Materials Co., Ltd.

(Miscellaneous Manufacturing) 938,254 0.56

39,106 Samchuly Bicycle Co., Ltd. (Leisure Time) 832,554 0.50




16,677,995 9.96

Malaysia

521,600 7-Eleven Malaysia Holdings Bhd (Retail) 244,837 0.15

764,500 Bursa Malaysia Bhd


1,996,555 1.19

Mexico

510,605 Alsea SAB de CV (Retail) 1,545,970 0.92

884,800 Bolsa Mexicana de Valores SAB de CV


1,287,215 Cemex SAB de CV (Building Materials) 1,219,018 0.73

551,358 Gentera SAB de CV (Banks) 946,774 0.57

838,354 Unifin Financiera SAPI de CV SOFOM ENR


7,042,980 4.21

Peru

640,098 BBVA Banco Continental S.A. (Banks) 861,723 0.51

12,600 Credicorp Ltd. (Banks) 1,787,940 1.07

19,739 Intercorp Financial Services, Inc.


3,212,225 1.92

Philippines

2,029,400 Lafarge Republic, Inc. (Building Materials) 458,817 0.27




2,180,615 1.30

Poland

13,721 Bank Pekao S.A. (Banks) 686,041 0.41

102,803 Warsaw Stock Exchange


2,106,074 1.26


Russia

19,089 Lukoil OAO—ADR(a) (Oil & Gas) 921,998 0.55

7,680 Magnit PJSC


1,413,611 Moscow Exchange MICEX-RTS PJSC


35,975 Novolipetsk Steel OJSC—GDR(a) (Mining) 512,644 0.30

4,907,613 2.93

Singapore

324,300 Singapore Exchange Ltd.


South Africa

1,689,870 Alexander Forbes Group Holdings Ltd.


121,556 JSE Ltd. (Diversified Financial Services) 1,317,729 0.79

212,020 Metair Investments Ltd.


18,650 Naspers Ltd. "N" (Media) 2,762,866 1.65

442,776 Petra Diamonds Ltd. (Mining) 1,170,502 0.70

65,731 Santam Ltd. (Insurance) 1,176,162 0.70

8,350,124 4.99

Taiwan

395,000 Chipbond Technology Corp.


24,000 Hermes Microvision, Inc.


408,520 Hon Hai Precision Industry Co., Ltd.

(Electronics) 1,319,458 0.79

154,000 MediaTek, Inc. (Semiconductors) 2,074,935 1.24

109,200 Merida Industry Co., Ltd. (Leisure Time) 787,448 0.47

145,000 momo.com, Inc. (Internet) 1,366,362 0.82

261,337 PChome Online, Inc. (Internet) 3,814,925 2.28

131,000 Poya International Co., Ltd. (Retail) 1,653,736 0.99

87,000 President Chain Store Corp. (Retail) 627,934 0.37

149,727 Silergy Corp. (Electronics) 1,495,769 0.89

237,035 Superalloy Industrial Co., Ltd.


1,009,444 Taiwan Semiconductor Manufacturing Co., Ltd.


21,688,141 12.95

Thailand



207,000 Kasikornbank PCL—NVDR (Banks) 1,199,670 0.72

4,151,689 2.48

Turkey

64,976 BIM Birlesik Magazalar AS


183,706 Ulker Biskuvi Sanayi AS


2,509,879 1.50

United Arab Emirates

45,239 Al Noor Hospitals Group Plc.

(Healthcare Services) 657,616 0.39


% of



% of



122



As at 31 May 2015


United States


(Computers) 1,127,173 0.67


(Household Products/Wares) 1,415,859 0.85

2,543,032 1.52

TOTAL COMMON STOCKS

(cost USD 128 ,705 ,927) 148,114,998 88.45

Rights – 0.00%

Brazil

74 CETIP S.A.—Mercados Organizados—Rights


TOTAL RIGHTS

(cost USD n i l ) 54 0.00

Warrants – 4.96%

China

121,100 Kweichow Moutai Co., Ltd.—Deutsche

Bank AG London, exp. 12/24—Warrants(b)






6,744,493 4.03

India

99,764 Inox Wind Ltd.—UBS AG London,



76,853 Sharda Cropchem Ltd.—Citigroup

Global Markets Holding,

exp. 02/16—Warrants(b) (Chemicals) 435,745 0.26

27,287 VRL Logistics Ltd.—Morgan Stanley

Asia Products Ltd.,


9,183 VRL Logistics Ltd.—UBS AG London,


1,293,070 0.77

Vietnam

12,700 Vietnam Dairy Products JSC—Citigroup

Global Markets Holding,



40,500 Vietnam Dairy Products JSC—




274,943 0.16

TOTAL WARRANTS

(cost USD 6 ,804 ,832) 8,312,506 4.96


United States

+ 80,227 iShares China Large-Cap ETF 3,955,191 2.36

71,040 iShares MSCI Russia Capped ETF 1,047,130 0.63

95,508 iShares MSCI South Korea Capped ETF 5,532,778 3.30

10,535,099 6.29

TOTAL MUTUAL FUNDS

(cost USD 10 ,059 ,602) 10,535,099 6.29



(cost USD 145 ,570 ,361) 166,962,657 99.70

Time Deposits – 0.47%

Market % of

Security Coupon Maturity Value Shareholders’

Holdings Description Currency Rate(a)

Date(b)

USD Equity

United States

779,128 State Street

Bank USD

Time Deposit USD 0.010% 01/06/2015 779,128 0.47

TOTAL TIME DEPOSITS

(cost USD 779 ,128) 779,128 0.47


(cost USD 146 ,349 ,489) 167,741,785 100.17



% of






Rates disclosed for Time Deposits are those that were in effect at 31 May 2015.





(c) Interest rates represent either the stated coupon rate, annualised discounted yield on date of

purchase for discounted securities, or, for floating rate securities, the current reset rate which

is based upon interest rates indices.

(d) Maturity dates represent either the stated date on the security, or the next interest reset date

for floating rate securities or the prerefunded date for those type of securities.


% of



% of



123



As at 31 May 2015


% of

Shareholders’


Common StocksDiversified Financial Services 13.27

Internet 8.51

Banks 8.08

Semiconductors 6.75


Insurance 4.35

Real Estate 4.04


Retail 3.24


Others 27.74


Mutual Funds 6.29



Energy-Alternate Sources 0.40

Chemicals 0.26

Transportation 0.11

TOTAL WARRANTS 4.96


TOTAL RIGHTS 0.00

TOTAL TIME DEPOSITS 0.47


TOTAL 100.00

124



As at 31 May 2015



Bangladesh

16,600 GrameenPhone Ltd. (Telecommunications) 68,982 0.25

22,425 Square Pharmaceuticals Ltd.


47,000 Titas Gas Transmission & Distribution Co., Ltd.

(Pipelines) 42,035 0.15

181,745 0.66

Brazil

30,115 AmBev S.A. (Food, Beverages & Tobacco) 173,467 0.63

44,864 Banco Bradesco S.A.—Preferred (Banks) 403,490 1.46


(Insurance) 399,212 1.45



23,762 CETIP S.A. – Mercados Organizados





10,216 Ez Tec Empreendimentos e

Participacoes S.A. (Real Estate) 53,755 0.20


(Banks) 200,264 0.73

22,513 LPS Brasil Consultoria de Imoveis S.A.

(Real Estate) 38,492 0.14

10,900 Mahle-Metal Leve S.A.


52,758 Odontoprev S.A. (Insurance) 193,721 0.70

6,200 Sao Martinho S.A.


16,120 TOTVS S.A. (Software) 196,081 0.71

2,526,345 9.16

China

565,000 Agricultural Bank of China Ltd. "H" (Banks) 306,499 1.11

1,947 Alibaba Group Holding Ltd.—ADR(a) (Internet) 176,651 0.64

58,000 ANTA Sports Products Ltd. (Retail) 134,486 0.49



69,000 CAR, Inc. (Commercial Services) 165,564 0.60

557,000 China Construction Bank Corp. "H" (Banks) 559,123 2.03



246,000 China Petroleum & Chemical Corp. "H"

(Oil & Gas) 216,736 0.79

137,200 China Vanke Co., Ltd. "H" (Real Estate) 361,376 1.31




(Healthcare Products) 384,653 1.39

777,000 Industrial & Commercial Bank of China Ltd. "H"

(Banks) 675,539 2.45

7,168 JD.com, Inc.—ADR(a) (Internet) 245,361 0.89

14,200 Livzon Pharmaceutical Group, Inc. "H"



(Insurance) 265,857 0.96


(Insurance) 433,600 1.57

56,500 Shanghai Fosun Pharmaceutical

Group Co., Ltd. "H" (Pharmaceuticals) 243,168 0.88


7,098 Vipshop Holdings Ltd.—ADR(a) (Internet) 176,385 0.64

6,686,173 24.23


Cyprus



Egypt

43,496 Commercial International Bank Egypt

SAE—GDR(a) (Banks) 304,472 1.10

97,890 Talaat Moustafa Group (Real Estate) 125,729 0.46

430,201 1.56

Hong Kong


(Computers) 77,355 0.28

49,500 China Mobile Ltd. (Telecommunications) 653,430 2.37

23,000 Galaxy Entertainment Group Ltd. (Lodging) 109,965 0.40



392,000 Sino Biopharmaceutical Ltd.


69,000 Vinda International Holdings Ltd.


1,857,951 6.73

India

13,293 Aurobindo Pharma Ltd. (Pharmaceuticals) 285,928 1.04






387 Eicher Motors Ltd.









11,884 IndusInd Bank Ltd.(b) (Banks) 164,097 0.59

7,930 Info Edge India Ltd.

(Commercial Services) 101,400 0.37

11,639 Infosys Ltd.—ADR(a) (Computers) 369,538 1.34

8,718 Inox Wind Ltd.




51,931 Prestige Estates Projects Ltd. (Real Estate) 198,109 0.72

11,793 Sharda Cropchem Ltd. (Chemicals) 66,864 0.24

8,941 Sobha Ltd. (Home Builders) 60,086 0.22

5,523 Tata Consultancy Services Ltd. (Computers) 225,672 0.82


3,279,723 11.89

Indonesia

292,000 Bank Central Asia Tbk PT (Banks) 312,011 1.13

242,500 Bank Mandiri Persero Tbk PT (Banks) 197,633 0.72

217,700 Bank Rakyat Indonesia Persero Tbk PT

(Banks) 193,946 0.70

826,500 Kalbe Farma Tbk PT (Pharmaceuticals) 114,994 0.42

87,500 Matahari Department Store Tbk PT (Retail) 115,546 0.42

2,300 Mitra Keluarga Karyasehat Tbk PT


1,911,400 Summarecon Agung Tbk PT (Real Estate) 285,589 1.03

1,224,154 4.44

% of



% of



Goldman Sachs Funds—Growth Markets Plus Equity Portfolio

125



As at 31 May 2015


Israel

401 Taro Pharmaceutical Industries Ltd.


Jersey

34,644 Integrated Diagnostics Holdings Plc.


Korea

980 Amorepacific Corp.


323 CJ CheilJedang Corp.


519 Cuckoo Electronics Co., Ltd.




1,020 Hanssem Co., Ltd. (Home Furnishings) 206,852 0.75





4,580 SK Hynix, Inc. (Semiconductors) 211,566 0.77

1,666,995 6.04

Mexico

83,930 Alsea SAB de CV (Retail) 254,117 0.92

11,257 America Movil SAB de CV—ADR—Series L(a)


136,379 Bolsa Mexicana de Valores SAB de CV


324,153 Cemex SAB de CV (Building Materials) 306,979 1.11

160,591 Gentera SAB de CV (Banks) 275,761 1.00

8,414 Grupo Televisa SAB—ADR(a) (Media) 319,732 1.16

32,610 Masan Group Corp.


70,338 Unifin Financiera SAPI de CV SOFOM ENR


1,911,445 6.93

Nigeria

20,121 Dangote Cement Plc. (Building Materials) 18,195 0.07

612,197 FBN Holdings Plc. (Banks) 28,849 0.10

1,399,461 Guaranty Trust Bank Plc. (Banks) 203,539 0.74

10,646 Nestle Nigeria Plc.


123,360 Nigerian Breweries Plc.


753,786 Zenith Bank Plc. (Banks) 81,192 0.29

470,260 1.70

Pakistan

66,300 Habib Bank Ltd. (Banks) 132,190 0.48

38,430 MCB Bank Ltd. (Banks) 101,221 0.37

90,300 Oil & Gas Development Co., Ltd.

(Oil & Gas) 163,484 0.59

30,500 Pakistan Petroleum Ltd. (Oil & Gas) 50,793 0.18

67,000 United Bank Ltd. (Banks) 103,784 0.38

551,472 2.00


Philippines

6,550 Ayala Corp. (Real Estate) 116,038 0.42

119,600 Ayala Land, Inc. (Real Estate) 107,468 0.39


5,710 SM Investments Corp. (Retail) 112,675 0.41



609,208 2.21

Russia

218,077 Alrosa AO (Mining) 277,506 1.01


(traded in United Kingdom)(a) (Oil & Gas) 298,078 1.08


(traded in United States)(a) (Oil & Gas) 73,178 0.26


2,307 Magnit PJSC


246,600 Moscow Exchange MICEX-RTS PJSC


6,798 Novolipetsk Steel OJSC—GDR(a) (Mining) 96,872 0.35

2,182,775 7.91

Turkey

43,438 Akbank TAS (Banks) 132,611 0.48



71,596 Turkiye Garanti Bankasi AS (Banks) 232,624 0.84

154,474 Turkiye Sinai Kalkinma Bankasi AS


34,082 Ulker Biskuvi Sanayi AS


990,684 3.59

United States


(Computers) 113,525 0.41



346,777 1.26

Vietnam

11,940 PetroVietnam Gas JSC (Oil & Gas) 34,208 0.12

28,692 Vingroup JSC (Real Estate) 62,386 0.23

96,594 0.35

TOTAL COMMON STOCKS

(cost USD 23 ,757 ,028) 25,329,950 91.81

Rights – 0.00%

Brazil

10 CETIP S.A.—Mercados Organizados—Rights


TOTAL RIGHTS


% of



% of




126



As at 31 May 2015

Warrants – 2.79%

China









714,875 2.59

Vietnam


Citigroup Global Markets Holding,







55,593 0.20

TOTAL WARRANTS

(cost USD 595 ,272) 770,468 2.79


United States

15,009 iShares China Large-Cap ETF 739,944 2.68

2,467 iShares MSCI Brazil Capped ETF 80,844 0.30

1,942 iShares MSCI India ETF 59,600 0.22

26,233 iShares MSCI Russia Capped ETF 386,674 1.40

1,267,062 4.60

TOTAL MUTUAL FUNDS

(cost USD 1 ,168 ,720) 1,267,062 4.60



(cost USD 25 ,521 ,020) 27,367,487 99.20


(cost USD 25 ,521 ,020) 27,367,487 99.20



% of









% of

Shareholders’





Internet 7.24

Real Estate 5.33

Oil & Gas 5.32


Insurance 4.68


Computers 2.85

Others 25.27


Mutual Funds 4.60



TOTAL WARRANTS 2.79


TOTAL RIGHTS 0.00


TOTAL 100.00


% of



127



As at 31 May 2015

Goldman Sachs Funds—India Equity Portfolio

% of



Market % of

Security Coupon Maturity Value Shareholders’

Holdings Description Currency Rate(a)

Date(b)

USD Equity


Corporate Bonds – 0.02%

Lodging

266,762 Indian Hotels

Co., Ltd. INR 0.000% 01/03/2016 382,143 0.02

TOTAL CORPORATE BONDS

(cost USD 242 ,011) 382,143 0.02

% of




Agriculture

5,724,061 ITC Ltd. 29,316,585 1.70

Apparel

451,863 Monte Carlo Fashions Ltd. 4,070,331 0.24

277,218 Poddar Developers Ltd. 5,888,726 0.34

9,959,057 0.58

Auto Parts & Equipment

60,421 Bosch Ltd. 22,392,039 1.30


116,147 Eicher Motors Ltd. 34,350,191 1.99

347,423 Maruti Suzuki India Ltd.(c) 21,081,614 1.22

189,321 VST Tillers Tractors Ltd. 4,289,890 0.25

59,721,695 3.46

Banks

3,968,146 Axis Bank Ltd.(c) 36,528,857 2.11

6,625,509 Bank of Baroda(c) 17,028,425 0.99

2,052,193 HDFC Bank Ltd.(c) 39,556,970 2.29

292,317 HDFC Bank Ltd.—ADR(d) 17,427,939 1.01

5,343,915 ICICI Bank Ltd. 26,519,070 1.54

2,106,973 IndusInd Bank Ltd.(c) 29,093,606 1.68

2,227,336 Yes Bank Ltd. 30,756,189 1.78

196,911,056 11.40

Building Materials

2,151,443 Century Plyboards India Ltd. 7,049,371 0.41

525,849 Grasim Industries Ltd.—GDR(c)(d) 29,971,135 1.73

786,892 Grindwell Norton Ltd. 8,856,905 0.51

2,356,607 JK Lakshmi Cement Ltd. 12,586,282 0.73

1,070,102 Kajaria Ceramics Ltd. 14,172,032 0.82

8,929,650 Prism Cement Ltd. 15,969,939 0.92

1,321,245 Ramco Cements Ltd. 6,682,482 0.39

26,990 Shree Cement Ltd. 4,790,700 0.28

100,078,846 5.79

Chemicals

132,991 Bayer CropScience Ltd. 7,513,069 0.44

4,617,577 Kansai Nerolac Paints Ltd. 15,921,705 0.92

1,614,068 Sharda Cropchem Ltd. 9,151,521 0.53

1,557,421 United Phosphorus Ltd. 13,474,002 0.78

46,060,297 2.67

Coal

4,752,377 Coal India Ltd. 29,092,409 1.68

Commercial Services

139,187 CRISIL Ltd. 4,579,035 0.26

1,022,811 Info Edge India Ltd. 13,078,577 0.76

17,657,612 1.02


Computers

653,266 Cognizant Technology Solutions Corp. "A" 42,233,647 2.44

1,998,759 Infosys Ltd. 63,334,067 3.67

1,079,329 Infosys Ltd.—ADR(d) 34,268,696 1.98

1,129,424 Tata Consultancy Services Ltd. 46,148,669 2.67

185,985,079 10.76


1,057,399 J Kumar Infraprojects Ltd. 11,506,556 0.66

2,608,719 Voltas Ltd. 13,594,095 0.79

25,100,651 1.45


1,753,317 Bajaj Corp., Ltd. 12,698,362 0.74

171,247 Gillette India Ltd. 12,145,413 0.70

191,140 Procter & Gamble Hygiene & Health Care Ltd. 19,079,076 1.10

43,922,851 2.54


329,711 Bajaj Finance Ltd. 21,768,037 1.26

1,575,646 Capital First Ltd. 10,037,893 0.58

1,632,744 Housing Development Finance Corp., Ltd. 31,595,638 1.83

1,944,668 Indiabulls Housing Finance Ltd. 18,139,864 1.05

538,420 Multi Commodity Exchange of India Ltd.(c) 10,603,755 0.61

5,858,142 Muthoot Finance Ltd. 17,882,601 1.04

1,540,451 Repco Home Finance Ltd. 14,857,892 0.86

124,885,680 7.23

Electric

3,004,248 KSK Energy Ventures Ltd. 2,254,253 0.13


1,808,893 Alstom T&D India Ltd. 14,995,644 0.87

1,049,443 Apar Industries Ltd. 5,490,387 0.32

3,391,484 Eveready Industries India Ltd. 16,532,443 0.95

959,172 Siemens Ltd. 20,552,070 1.19

57,570,544 3.33

Energy-Alternate Sources

2,212,489 Inox Wind Ltd. 15,095,486 0.87

39,448,508 RattanIndia Power Ltd. 5,002,557 0.29

20,098,043 1.16

Entertainment

4,065,827 Inox Leisure Ltd. 9,972,667 0.58

Environmental Control

586,063 VA Tech Wabag Ltd. 6,724,928 0.39


285,919 Agro Tech Foods Ltd. 2,684,298 0.15

671,939 Britannia Industries Ltd. 26,765,808 1.55

29,450,106 1.70

Holding Companies—Diversified

1,087,404 Century Textile & Industries Ltd. 11,457,437 0.66

Home Builders

3,643,478 Kolte-Patil Developers Ltd. 12,317,923 0.71

1,551,094 Sobha Ltd. 10,423,735 0.61

22,741,658 1.32

Insurance

1,693,728 PNC Infratech Ltd. 10,601,339 0.61

Investment Companies

421,442 Bajaj Holdings and Investment Ltd. 8,786,266 0.51

128



As at 31 May 2015


% of



% of




Leisure Time

671,641 Atul Auto Ltd. 4,822,512 0.28

Lodging

4,096,274 Indian Hotels Co., Ltd. 6,545,316 0.38


168,441 Dynamatic Technologies Ltd. 7,982,237 0.46

3,518,023 Greaves Cotton Ltd. 6,880,544 0.40

117,874 Isgec Heavy Engineering Ltd. 11,985,576 0.69

1,413,318 Thermax Ltd. 21,318,928 1.24

48,167,285 2.79

Media

564,052 MPS Ltd. 7,517,532 0.43

8,969,569 Siti Cable Network Ltd. 4,950,617 0.29

12,468,149 0.72


276,269 SKF India Ltd. 6,095,815 0.35

Miscellaneous Manufacturing

2,938,542 Escorts Ltd. 5,119,217 0.30

5,165,844 Texmaco Rail & Engineering Ltd. 10,409,945 0.60

15,529,162 0.90

Pharmaceuticals

101,128 Abbott India Ltd. 6,398,182 0.37

1,495,392 Alembic Pharmaceuticals Ltd. 12,925,937 0.75

1,452,454 Aurobindo Pharma Ltd. 31,241,785 1.81

644,381 Emami Ltd. 11,301,870 0.65

1,450,534 Indoco Remedies Ltd. 8,957,676 0.52

673,131 Ipca Laboratories Ltd. 6,900,340 0.40

295,808 Lupin Ltd. 8,489,770 0.49

770,624 Sequent Scientific Ltd. 8,039,117 0.47

955,388 Strides Arcolab Ltd. 18,908,492 1.09

4,254,337 Sun Pharmaceutical Industries Ltd. 64,355,039 3.72

446,566 Wockhardt Ltd. 10,111,792 0.59

187,630,000 10.86

Real Estate

3,092,979 Ashiana Housing Ltd. 11,126,564 0.65

1,202,972 Godrej Properties Ltd. 5,047,558 0.29

3,215,447 Prestige Estates Projects Ltd. 12,266,430 0.71

28,440,552 1.65

Retail

2,702,015 Titan Co., Ltd.(c) 16,428,699 0.95

989,168 Tribhovandas Bhimji Zaveri Ltd. 2,262,814 0.13

18,691,513 1.08

Software

236,909 eClerx Services Ltd. 5,858,958 0.34

17,159,849 Firstsource Solutions Ltd. 8,326,876 0.48

4,402,419 HCL Technologies Ltd. 69,672,871 4.03

685,410 Ramco Systems Ltd. 7,143,729 0.42

3,341,749 Sonata Software Ltd. 7,616,482 0.44

98,618,916 5.71

Telecommunications

2,461,059 Bharti Infratel Ltd. 18,452,283 1.07

Textiles

1,180,609 SRF Ltd. 20,345,644 1.18

2,227,889 Welspun India Ltd. 19,730,202 1.14

40,075,846 2.32


Transportation

806,278 Container Corp. Of India Ltd. 23,055,338 1.34

989,204 Gati Ltd. 2,826,650 0.16

3,182,080 VRL Logistics Ltd. 15,413,093 0.89

41,295,081 2.39

TOTAL COMMON STOCKS

(cost USD 1 ,423 ,726 ,482) 1,597,573,528 92.47

Warrants – 0.27%

Banks

282,003 Monte Carlo Fashions Ltd.—


exp. 12/24—Warrants(c) 2,540,251 0.15

Chemicals

127,963 Sharda Cropchem Ltd.—

Citigroup Global Markets Holdings, Inc.,

exp. 02/16—Warrants(c) 725,531 0.04

Transportation

271,567 VRL Logistics Ltd.—Morgan


exp. 04/18—Warrants(c) 1,315,393 0.08

TOTAL WARRANTS

(cost USD 4 ,205 ,595) 4,581,175 0.27


Indian Rupee

827,021 Goldman Sachs Liquid Exchange

Traded Scheme – GS Liquid BeES(e) 12,949,263 0.75

TOTAL MUTUAL FUNDS

(cost USD 13 ,451 ,767) 12,949,263 0.75



(cost USD 1 ,441 ,625 ,855) 1,615,486,109 93.51


(cost USD 1 ,441 ,625 ,855) 1,615,486,109 93.51

Futures Contracts – 0.10%

Commitment Unrealised % of

Number of Market Value Gain Shareholders’

Contracts Security Description USD USD Equity

USD

7,512 SGX CNX Nifty

Index Futures

25/06/2015 Long 127,388,496 1,806,018 0.10

UNREALISED GAIN ON FUTURES CONTRACTS 1,806,018 0.10


(cost USD 1 ,441 ,625 ,855) 1,617,292,127 93.61


SHAREHOLDERS’ EQUITY 1,727,689,137 100.00

129



As at 31 May 2015


% of



Total Investments (cost USD 1,441,625,855) 1,615,486,109 93.51

Unrealised gain on futures contracts 1,806,018 0.10


Shareholders’ Equity 1,727,689,137 100.00

Rates disclosed for Corporate Bonds are those that were in effect at 31 May 2015.

The Futures Commission Merchant was Goldman, Sachs & Co.

The maximum individual counterparty exposure for derivative instruments as at 31 May 2015 is

0.10% 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) Valuation of this security is determined by the Valuer. See Note 4.

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


(e) A related party to Goldman Sachs Funds SICAV.

130



As at 31 May 2015



Advertising

3,500 Dentsu, Inc. 21,886 2.99

Apparel

10,600 Asics Corp. 34,915 4.77


3,100 Bridgestone Corp. 15,984 2.19

3,800 Denso Corp. 24,606 3.36

40,590 5.55

Building Materials

2,800 Daikin Industries Ltd. 26,576 3.63

1,000 Rinnai Corp. 9,537 1.31

36,113 4.94

Chemicals

3,100 Nitto Denko Corp. 29,795 4.07

21,000 Toray Industries, Inc. 21,669 2.96

51,464 7.03

Commercial Services

1,700 Secom Co., Ltd. 14,070 1.92

Computers

4,900 Obic Co., Ltd. 24,892 3.41

5,100 Otsuka Corp. 30,667 4.19

55,559 7.60


16,700 ORIX Corp. 32,705 4.47


3,800 Mabuchi Motor Co., Ltd. 28,567 3.91

4,900 Nidec Corp. 44,289 6.05

72,856 9.96

Electronics

7,300 Hoya Corp. 33,383 4.57


5,900 Japan Tobacco, Inc. 26,569 3.63

5,200 Seven & I Holdings Co., Ltd. 26,703 3.65

53,272 7.28

Hand/Machine Tools

1,000 SMC Corp. 37,474 5.12

Healthcare Products

4,800 Sysmex Corp. 34,400 4.70

Internet

10,100 Rakuten, Inc. 20,513 2.81


1,000 FANUC Corp. 27,341 3.74


6,100 MISUMI Group, Inc. 31,522 4.31

Mining

28,000 Dowa Holdings Co., Ltd. 31,124 4.26

Pharmaceuticals

16,000 Astellas Pharma, Inc. 28,806 3.94

16,400 Santen Pharmaceutical Co., Ltd. 28,221 3.86

57,027 7.80


Retail

4,200 ABC-Mart, Inc. 30,131 4.12

TOTAL COMMON STOCKS

(cost ( ‘000) JPY 714 ,171) 716,345 97.94


Japanese Yen

3,524 Goldman Sachs JPY Liquid Reserves Fund

(X Distribution Class)(a)(b) 35,240 4.82

TOTAL MUTUAL FUNDS

(cost ( ‘000) JPY 35 ,240) 35,240 4.82



(cost ( ‘000) JPY 749 ,411) 751,585 102.76



(cost ( ‘000) JPY 749 ,411) 751,585 102.76


Unrealised % of

Amount Amount Maturity Gain Shareholders'

Currency Bought Currency Sold Date (‘000) JPY Equity

EUR 300,000 JPY 40,369,920 15/06/2015 491 0.07

CHF 100,000 JPY 13,019,294 25/06/2015 222 0.03


CONTRACTS HELD FOR HEDGING PURPOSES 713 0.10

Unrealised % of

Amount Amount Maturity Loss Shareholders'


GBP 200,000 JPY 37,893,404 15/07/2015 (49) (0.01)


CONTRACTS HELD FOR HEDGING PURPOSES (49) (0.01)


(cost ( ‘000) JPY 749 ,411) 752,249 102.85


SHAREHOLDERS’ EQUITY 731,382 100.00

% of


TOTAL INVESTMENTS (‘000) JPY Equity


(cost (‘000) JPY 749,411) 751,585 102.76


held for hedging purposes 713 0.10


held for hedging purposes (49) (0.01)


Shareholders’ Equity 731,382 100.00

The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc.,

Citibank NA London, HSBC Bank Plc., Royal Bank of Scotland Plc. and State Street Bank &

Trust.




Goldman Sachs Funds—Japan Equity Partners Portfolio

% of


Holdings Security Description (’000) JPY Equity

% of



131



As at 31 May 2015



Advertising

426,500 Dentsu, Inc. 2,666,932 1.29

Airlines

771,300 Japan Airlines Co., Ltd. 3,280,148 1.59

Apparel

479,200 Asics Corp. 1,578,426 0.76


323,900 Bridgestone Corp. 1,670,037 0.81

289,700 Denso Corp. 1,875,885 0.91

3,545,922 1.72


728,500 Fuji Heavy Industries Ltd. 3,391,841 1.64

1,712,600 Isuzu Motors Ltd. 2,880,901 1.40

1,847,900 Nissan Motor Co., Ltd. 2,380,304 1.15

1,519,400 Toyota Motor Corp. 13,005,527 6.29

21,658,573 10.48

Banks

3,404,000 77 Bank Ltd. 2,360,958 1.14

6,039,300 Mitsubishi UFJ Financial Group, Inc. 5,526,707 2.67

3,296,000 Nishi-Nippon City Bank Ltd. 1,148,282 0.56

865,300 Sumitomo Mitsui Financial Group, Inc. 4,872,530 2.36

6,013,000 Sumitomo Mitsui Trust Holdings, Inc. 3,374,636 1.63

17,283,113 8.36

Building Materials

235,400 Daikin Industries Ltd. 2,234,293 1.08

60,600 Rinnai Corp. 577,919 0.28

2,812,212 1.36

Chemicals

3,099,000 Denki Kagaku Kogyo KK 1,741,873 0.84

376,600 Nitto Denko Corp. 3,619,566 1.75

4,737,000 Sumitomo Chemical Co., Ltd. 3,421,154 1.66

406,800 Tokyo Ohka Kogyo Co., Ltd. 1,529,722 0.74

10,312,315 4.99

Commercial Services

208,600 Secom Co., Ltd. 1,726,485 0.83

344,200 Temp Holdings Co., Ltd. 1,501,770 0.73

3,228,255 1.56

Computers

394,700 Obic Co., Ltd. 2,005,079 0.97

459,200 Otsuka Corp. 2,761,273 1.34

4,766,352 2.31


1,574,000 Kandenko Co., Ltd. 1,205,916 0.58

2,582,000 Obayashi Corp. 2,095,938 1.01

1,022,000 Takuma Co., Ltd. 839,010 0.41

4,140,864 2.00

Distribution/Wholesale

2,516,500 Mitsui & Co., Ltd. 4,375,503 2.12


254,900 Century Tokyo Leasing Corp. 983,743 0.48

2,190,900 ORIX Corp. 4,290,693 2.07

5,274,436 2.55



+ 1,387,900 Casio Computer Co., Ltd. 3,237,150 1.56

324,500 Mabuchi Motor Co., Ltd. 2,439,504 1.18

557,500 Nidec Corp. 5,039,016 2.44

10,715,670 5.18

Electronics

+ 479,800 Alps Electric Co., Ltd. 1,522,798 0.74

755,000 Hoya Corp. 3,452,584 1.67

291,300 Yamatake Corp. 982,804 0.47

5,958,186 2.88


419,900 Asahi Group Holdings Ltd. 1,665,039 0.81

601,700 House Foods Group, Inc. 1,417,463 0.69

635,800 Japan Tobacco, Inc. 2,863,143 1.38

565,300 Seven & I Holdings Co., Ltd. 2,902,964 1.40

8,848,609 4.28

Gas

2,509,000 Tokyo Gas Co., Ltd. 1,718,591 0.83

Hand/Machine Tools

83,200 SMC Corp. 3,117,867 1.51

Healthcare Products

127,000 Asahi Intecc Co., Ltd. 926,336 0.45

237,800 Sysmex Corp. 1,704,247 0.82

2,630,583 1.27

Home Builders

1,501,500 Sekisui House Ltd. 3,103,081 1.50

Home Furnishings

966,200 Sony Corp. 3,701,620 1.79

Insurance

1,789,200 Dai-ichi Life Insurance Co., Ltd. 3,884,600 1.88

542,800 Sompo Japan Nipponkoa Holdings, Inc. 2,443,555 1.18

6,328,155 3.06

Internet

2,078,600 kabu.com Securities Co., Ltd. 1,779,810 0.86

697,800 Rakuten, Inc. 1,417,224 0.69

702,500 Start Today Co., Ltd. 2,340,090 1.13

5,537,124 2.68

Iron/Steel

4,378,000 Nippon Steel & Sumitomo Metal Corp. 1,489,626 0.72

Leisure Time

395,200 HIS Co., Ltd. 1,530,089 0.74


1,099,800 Daifuku Co., Ltd. 2,067,288 1.00

190,100 FANUC Corp. 5,197,618 2.51

1,723,000 Makino Milling Machine Co., Ltd. 2,101,183 1.02

3,083,000 Mitsubishi Heavy Industries Ltd. 2,420,563 1.17

11,786,652 5.70

Media

72,900 Tv Tokyo Holdings Corp. 146,258 0.07


539,000 MISUMI Group, Inc. 2,785,266 1.35

Goldman Sachs Funds—Japan Portfolio

% of



% of



132



As at 31 May 2015

Goldman Sachs Funds—Japan Portfolio

% of




Mining

1,587,000 Dowa Holdings Co., Ltd. 1,764,039 0.85


1,287,000 Konica Minolta Holdings, Inc. 2,002,625 0.97

Pharmaceuticals

1,913,300 Astellas Pharma, Inc. 3,444,659 1.67

216,000 Nippon Shinyaku Co., Ltd. 818,508 0.39

1,272,800 Santen Pharmaceutical Co., Ltd. 2,190,210 1.06

632,100 Shionogi & Co., Ltd. 2,774,338 1.34

9,227,715 4.46

Real Estate

969,700 Aeon Mall Co., Ltd. 2,205,943 1.07

808,000 Mitsubishi Estate Co., Ltd. 2,237,402 1.08

2,915,000 Tokyo Tatemono Co., Ltd. 2,794,816 1.35

7,238,161 3.50

Retail

+ 510,700 ABC-Mart, Inc. 3,663,733 1.77

1,197,500 J Front Retailing Co., Ltd. 2,614,082 1.27

170,000 Matsumotokiyoshi Holdings Co., Ltd. 850,411 0.41

546,200 Toridoll.corp 825,232 0.40

7,953,458 3.85

Semiconductors

944,900 Sumco Corp. 1,768,621 0.86

Telecommunications

491,000 Nippon Telegraph & Telephone Corp. 4,206,138 2.04

149,900 SoftBank Corp. 1,102,264 0.53

5,308,402 2.57

Textiles

2,928,000 Toray Industries, Inc. 3,021,247 1.46

Transportation

379,700 East Japan Railway Co. 4,302,025 2.08

1,449,000 Mitsui OSK Lines Ltd. 616,214 0.30

1,808,000 Nankai Electric Railway Co., Ltd. 1,015,336 0.49

1,099,000 Sotetsu Holdings, Inc. 628,168 0.31

6,561,743 3.18

TOTAL COMMON STOCKS

(cost ( ‘000) JPY 162 ,758 ,815) 199,166,439 96.35


Japanese Yen

451,249 Goldman Sachs JPY Liquid Reserves Fund


TOTAL MUTUAL FUNDS

(cost ( ‘000) JPY 4 ,512 ,490) 4,512,490 2.19



(cost ( ‘000) JPY 167 ,271 ,305) 203,678,929 98.54



(cost ( ‘000) JPY 167 ,271 ,305) 203,678,929 98.54

Unrealised % of

Amount Amount Maturity Gain Shareholders'



USD 222,204,874 JPY 26,487,625,302 09/06/2015 1,035,804 0.50

EUR 390,355,548 JPY 50,686,564,526 15/06/2015 2,481,454 1.20

SEK 196,333,145 JPY 2,840,290,306 26/06/2015 22,801 0.01


CONTRACTS HELD FOR HEDGING PURPOSES 3,540,059 1.71

Unrealised % of

Amount Amount Maturity Loss Shareholders'


JPY 736,413,981 USD 6,174,669 09/06/2015 (28,412) (0.01)

JPY 7,323,539,566 EUR 54,914,723 15/06/2015 (156,070) (0.08)

JPY 27,270,546 SEK 1,887,000 26/06/2015 (247) (0.00)


CONTRACTS HELD FOR HEDGING PURPOSES (184,729) (0.09)


(cost ( ‘000) JPY 167 ,271 ,305) 207,034,259 100.16



% of


TOTAL INVESTMENTS (‘000) JPY Equity


(cost (‘000) JPY 167,271,305) 203,678,929 98.54


held for hedging purposes 3,540,059 1.71


held for hedging purposes (184,729) (0.09)



The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc.,

BNP Paribas S.A., Citibank NA London, Credit Suisse International, Goldman Sachs International,

HSBC Bank Plc., JP Morgan Chase Bank NA London, Morgan Stanley And Co. International,

Royal Bank of Canada, Royal Bank of Scotland Plc., State Street Bank & Trust, UBS AG London.

The maximum individual counterparty exposure as at 31 May 2015 is 0.39 % of the NAV.



(b) The yield for this fund as at 31 May 2015 was (0.053%).

133



As at 31 May 2015



Bangladesh

1,419,214 GrameenPhone Ltd. (Telecommunications) 5,897,653 0.73

6,520,275 Islami Bank Bangladesh Ltd. (Banks) 1,450,347 0.18

3,902,704 Square Pharmaceuticals Ltd.


3,807,437 Titas Gas Transmission & Distribution Co., Ltd.

(Pipelines) 3,405,202 0.42

23,062,213 2.85

Egypt

3,779,833 Commercial International Bank Egypt SAE

(Banks) 28,123,160 3.47

100,000 Commercial International Bank

Egypt SAE—GDR(a) (Banks) 700,000 0.09

6,564,341 Talaat Moustafa Group (Real Estate) 8,431,209 1.04

37,254,369 4.60

Indonesia

22,013,800 Astra International Tbk PT (Retail) 12,155,521 1.50

28,122,200 Bank Central Asia Tbk PT (Banks) 30,049,474 3.71

4,821,200 Bank Mandiri Persero Tbk PT (Banks) 3,929,185 0.49

24,462,800 Bank Rakyat Indonesia Persero Tbk PT

(Banks) 21,793,543 2.69

2,656,300 Indocement Tunggal Prakarsa Tbk PT


13,375,600 Indofood Sukses Makmur Tbk PT


13,446,465 Jasa Marga Persero Tbk PT


31,645,200 Kalbe Farma Tbk PT (Pharmaceuticals) 4,402,928 0.54

5,475,800 Matahari Department Store Tbk PT (Retail) 7,230,921 0.89

84,100 Mitra Keluarga Karyasehat Tbk PT


7,890,300 Semen Indonesia Persero Tbk PT


27,965,500 Summarecon Agung Tbk PT (Real Estate) 4,178,422 0.52

26,266,300 Telekomunikasi Indonesia Persero Tbk PT


116,058,101 14.33

Jersey

1,059,229 Integrated Diagnostics Holdings Plc.


Korea





154,722 Grand Korea Leisure Co., Ltd. (Lodging) 5,772,575 0.71



50,090 Hana Tour Service, Inc. (Leisure Time) 5,530,146 0.68


76,996 Hyundai Motor Co.


276,550 KB Financial Group, Inc.




193,716 Korea Electric Power Corp. (Electric) 8,076,838 1.00

156,621 KT Corp. (Telecommunications) 4,098,696 0.51

23,100 LG Chem Ltd. (Chemicals) 5,192,935 0.64

68,434 LG Electronics, Inc.


9,199 LG Household & Health Care Ltd.



Korea – (continued)





30,620 Samsung Life Insurance Co., Ltd.

(Insurance) 3,093,257 0.38


173,681,726 21.45

Mexico

4,225,600 Alfa SAB de CV "A"


2,565,518 Alsea SAB de CV (Retail) 7,767,675 0.96

2,040,569 America Movil SAB de CV—ADR—Series L(a)


1,037,200 Arca Continental SAB de CV


1,195,400 Bolsa Mexicana de Valores SAB de CV


+ 2,148,375 Cemex SAB de CV—ADR(a)


456,300 El Puerto de Liverpool SAB de CV "C1"

(Retail) 5,101,221 0.63

3,071,345 Fibra Uno Administracion S.A. de CV


149,066 Fomento Economico Mexicano

SAB de CV—ADR(a)


2,996,005 Gentera SAB de CV (Banks) 5,144,640 0.64

519,661 Grupo Aeroportuario del Sureste

SAB de CV "B"


972,100 Grupo Financiero Inbursa SAB de CV "O"

(Banks) 2,278,337 0.28

2,887,253 Grupo Mexico SAB de CV—Series "B"

(Mining) 9,082,879 1.12

494,782 Grupo Televisa SAB—ADR(a) (Media) 18,801,716 2.32

3,285,230 Masan Group Corp.

(Investment Companies) 12,649,980 1.56

2,125,375 Unifin Financiera SAPI de CV SOFOM ENR


5,882,456 Wal-Mart de Mexico SAB de CV (Retail) 14,439,550 1.78

189,219,131 23.37

Nigeria

3,741,189 Dangote Cement Plc. (Building Materials) 3,383,140 0.42

116,902,409 FBN Holdings Plc. (Banks) 5,508,890 0.68

105,889,155 Guaranty Trust Bank Plc. (Banks) 15,400,608 1.90

1,783,674 Lafarge Africa Plc. (Building Materials) 878,172 0.11

2,190,965 Nestle Nigeria Plc.


19,345,921 Nigerian Breweries Plc.


157,373,571 United Bank for Africa Plc. (Banks) 4,269,366 0.53

131,328,427 Zenith Bank Plc. (Banks) 14,145,599 1.75

67,530,226 8.34

Pakistan

2,424,366 Engro Corp., Ltd. (Chemicals) 6,623,105 0.82

4,302,800 Habib Bank Ltd. (Banks) 8,579,012 1.06

51,779,463 K-Electric Ltd. (Electric) 3,849,623 0.47

919,485 MCB Bank Ltd. (Banks) 2,421,838 0.30

6,886,400 Oil & Gas Development Co., Ltd. (Oil & Gas) 12,467,483 1.54

1,803,240 Pakistan Petroleum Ltd. (Oil & Gas) 3,003,013 0.37

2,622,600 United Bank Ltd. (Banks) 4,062,451 0.50

41,006,525 5.06

Goldman Sachs Funds—N-11® Equity Portfolio

% of



% of



134



As at 31 May 2015


Philippines

9,191,600 Alliance Global Group, Inc.


350,990 Ayala Corp. (Real Estate) 6,218,022 0.77

11,378,900 Ayala Land, Inc. (Real Estate) 10,224,634 1.26

71,404,900 Megaworld Corp. (Real Estate) 7,605,241 0.94

2,027,490 Metropolitan Bank & Trust Co. (Banks) 4,069,649 0.50

67,470 Philippine Long Distance Telephone Co.


261,508 SM Investments Corp. (Retail) 5,160,307 0.64



45,102,095 5.57

Turkey

+ 5,770,398 Akbank TAS (Banks) 17,616,378 2.17

1,088,000 Aygaz AS (Gas) 4,208,381 0.52



8,382,555 Emlak Konut Gayrimenkul Yatirim Ortakligi AS

(Real Estate) 9,521,497 1.18

1,334,752 Turk Hava Yollari (Airlines) 4,644,017 0.57

1,364,865 Turk Telekomunikasyon AS


854,247 Turkcell Iletisim Hizmetleri AS


6,347,637 Turkiye Garanti Bankasi AS (Banks) 20,624,221 2.55

1,043,113 Turkiye Halk Bankasi AS (Banks) 5,314,072 0.66

9,153,334 Turkiye Sinai Kalkinma Bankasi AS


1,458,541 Ulker Biskuvi Sanayi AS


104,386,385 12.89

Vietnam

2,028,328 Bank for Foreign Trade of Vietnam JSC

(Banks) 4,025,973 0.50

530,914 PetroVietnam Drilling and Well Services JSC


932,610 PetroVietnam Gas JSC (Oil & Gas) 2,671,929 0.33

745,833 Saigon Thuong Tin Commercial JSB (Banks) 618,821 0.08

515,226 Vietnam Dairy Products JSC(b)


1,023,386 Vingroup JSC (Real Estate) 2,225,197 0.27

13,448,489 1.66

TOTAL COMMON STOCKS

(cost USD 805 ,716 ,813) 817,048,495 100.90

Warrants – 0.06%

Vietnam


Citigroup Global Markets Holding,







495,052 0.06

TOTAL WARRANTS

(cost USD 524 ,522) 495,052 0.06


United States

80,492 iShares MSCI Indonesia Investable

Market Index Fund 2,071,059 0.26

44,074 iShares MSCI Turkey ETF 2,112,467 0.26

4,183,526 0.52

TOTAL MUTUAL FUNDS

(cost USD 4 ,331 ,366) 4,183,526 0.52



(cost USD 810 ,572 ,701) 821,727,073 101.48


(cost USD 810 ,572 ,701) 821,727,073 101.48



% of










% of

Shareholders’



Food, Beverages & Tobacco Telecommunications 11.37


Semiconductors 7.42

Retail 6.40

Real Estate 5.98

Building Materials 4.58



Media 2.32

Others 22.96


Mutual Funds 0.52


TOTAL WARRANTS 0.06


TOTAL 100.00

% of



% of



Goldman Sachs Funds—N-11® Equity Portfolio

135



As at 31 May 2015

Goldman Sachs Funds—Strategic Global Equity Portfolio



Australia


Belgium



1,552 Solvay S.A. (Chemicals) 217,152 0.96

534,747 2.36

China



Denmark


France


Germany



3,376 GEA Group AG

(Holding Companies—Diversified) 165,503 0.73

756 Volkswagen AG—Preferred


994,931 4.38

Ireland

751 Actavis Plc. (Pharmaceuticals) 233,944 1.03

430,610 Bank of Ireland (Banks) 166,191 0.73

3,096 Shire Plc. (Pharmaceuticals) 269,580 1.19

669,715 2.95

Japan


17,000 Kubota Corp. (Machinery—Diversified) 283,375 1.25

41,500 Mitsubishi UFJ Financial Group, Inc. (Banks) 306,593 1.35

3,700 Nidec Corp.


15,000 ORIX Corp.


7,100 Start Today Co., Ltd. (Internet) 190,932 0.84

22,900 Tokyu Fudosan Holdings Corp.

(Real Estate) 171,960 0.76

1,681,501 7.40

Korea





340,078 1.50

Netherlands


Russia

612 Magnit PJSC (Food, Beverages & Tobacco) 125,085 0.55

Spain

25,994 Banco Bilbao Vizcaya Argentaria S.A. (Banks) 259,722 1.14

47,524 Banco Popular Espanol S.A. (Banks) 237,133 1.05

46,161 Iberdrola S.A. (Electric) 322,557 1.42

819,412 3.61


Sweden


13,283 Volvo AB "B"


525,235 2.31

Switzerland

2,961 Novartis AG (Pharmaceuticals) 309,087 1.36

640 Swatch Group AG (Retail) 256,629 1.13


18,393 UBS Group AG (Banks) 402,074 1.77


1,610,311 7.09

Taiwan


United Kingdom



44,346 ITV Plc. (Media) 186,322 0.82

27,693 Just Eat Plc. (Internet) 196,632 0.87

5,966 Liberty Global Plc. "C" (Media) 317,988 1.40

92,875 Vodafone Group Plc.


1,728,101 7.61

United States


1,414 Adobe Systems, Inc. (Software) 112,851 0.50

5,437 American International Group, Inc.

(Insurance) 321,490 1.42



1,822 Amgen, Inc. (Biotechnology) 286,692 1.26


1,396 Boeing Co. (Aerospace & Defence) 197,450 0.87



3,329 Church & Dwight Co., Inc.


7,427 Citigroup, Inc. (Banks) 404,103 1.78


8,582 Devon Energy Corp. (Oil & Gas) 558,173 2.46

2,313 Ecolab, Inc. (Chemicals) 265,232 1.17


5,081 Estee Lauder Cos., Inc. "A"


1,210 FedEx Corp. (Transportation) 210,915 0.93

9,639 Gap, Inc. (Retail) 371,680 1.64

610 Google, Inc. "A" (Internet) 336,012 1.48

254 Google, Inc. "C" (Internet) 136,238 0.60



1,429 Kansas City Southern (Transportation) 130,582 0.57

7,645 Kate Spade & Co. (Apparel) 192,272 0.85

1,090 McKesson Corp. (Pharmaceuticals) 260,401 1.15





6,289 Prudential Financial, Inc. (Insurance) 532,490 2.34

3,903 PVH Corp. (Retail) 409,737 1.80


9,137 Southwestern Energy Co. (Oil & Gas) 233,542 1.03

7,559 Starbucks Corp. (Retail) 393,295 1.73

6,908 Toll Brothers, Inc. (Home Builders) 252,349 1.11

4,495 Voya Financial, Inc. (Insurance) 204,343 0.90

4,287 Walgreens Boots Alliance, Inc. (Retail) 367,610 1.62

% of



% of



136



As at 31 May 2015

Goldman Sachs Funds—Strategic Global Equity Portfolio



6,485 Whole Foods Market, Inc.


4,798 Yum! Brands, Inc. (Retail) 435,130 1.92

11,371,968 50.08

TOTAL COMMON STOCKS

(cost USD 20 ,087 ,285) 22,076,238 97.21

Warrants – 0.50%

India

7,541 Thermax Ltd.—Morgan Stanley

Asia Products Ltd.,



TOTAL WARRANTS

(cost USD 114 ,739) 113,751 0.50


United States

12,451 iShares MSCI Canada ETF 345,266 1.52

TOTAL MUTUAL FUNDS

(cost USD 357 ,569) 345,266 1.52



(cost USD 20 ,559 ,593) 22,535,255 99.23


Rights – 0.02%

United Kingdom

6,964 Just Eat Plc.—Rights(b) (Internet) 4,195 0.02

TOTAL RIGHTS

(cost USD n i l ) 4,195 0.02


(cost USD n i l ) 4,195 0.02


(cost USD 20 ,559 ,593) 22,539,450 99.25



% of









% of



% of



137



As at 31 May 2015



Aerospace & Defence

200,170 Boeing Co. 28,312,045 0.90

Apparel

844,348 NIKE, Inc. "B" 85,920,852 2.73


1,146,112 General Motors Co. 41,867,471 1.33

Banks

5,998,152 Bank of America Corp. 99,689,286 3.17

233,692 Capital One Financial Corp. 19,644,150 0.62

876,983 Citigroup, Inc. 47,716,645 1.52

1,954,966 JPMorgan Chase & Co. 129,203,703 4.10

296,253,784 9.41

Biotechnology

186,329 Alexion Pharmaceuticals, Inc. 30,841,176 0.98

110,586 Biogen, Inc. 44,399,173 1.41

75,240,349 2.39

Commercial Services

1,419,327 Hertz Global Holdings, Inc. 28,372,347 0.90

Computers

1,145,945 Apple, Inc. 150,439,659 4.78

2,243,248 EMC Corp. 59,289,045 1.88

209,728,704 6.66


322,391 Colgate-Palmolive Co. 21,590,525 0.69

358,008 Procter & Gamble Co. 28,139,429 0.89

49,729,954 1.58


295,853 Intercontinental Exchange, Inc. 69,433,741 2.20

Electric

928,063 FirstEnergy Corp. 33,595,881 1.07

Electronics

819,746 Sensata Technologies Holding NV 45,463,113 1.44


1,214,432 ConAgra Foods, Inc. 46,816,354 1.49

541,627 McCormick & Co., Inc. 42,674,791 1.36

1,450,192 Whole Foods Market, Inc. 60,937,068 1.93

150,428,213 4.78

Insurance

1,268,449 American International Group, Inc. 75,003,389 2.38

1,914,120 Genworth Financial, Inc. "A" 14,930,136 0.47

573,758 MetLife, Inc. 30,047,706 0.96

952,965 Prudential Financial, Inc. 80,687,547 2.56

200,668,778 6.37

Internet

150,674 Amazon.com, Inc. 64,910,359 2.06

98,347 Google, Inc. "A" 54,173,461 1.72

68,937 Google, Inc. "C" 36,975,739 1.17

249,583 LinkedIn Corp. "A" 49,060,530 1.56

39,839 Priceline Group, Inc. 47,213,996 1.50

252,334,085 8.01


Media

698,522 CBS Corp. "B" 43,315,349 1.37

1,725,287 Twenty-First Century Fox, Inc. "A" 58,366,459 1.85

440,120 Viacom, Inc. "B" 29,488,040 0.94

131,169,848 4.16


377,993 Eaton Corp. Plc. 27,389,373 0.87

4,981,147 General Electric Co. 136,632,862 4.34

164,022,235 5.21

Oil & Gas

1,444,348 Devon Energy Corp. 93,940,394 2.98

636,045 Exxon Mobil Corp. 54,108,348 1.72

2,698,630 Southwestern Energy Co. 68,976,983 2.19

217,025,725 6.89

Oil & Gas Services

555,739 Halliburton Co. 25,286,125 0.80

Pharmaceuticals

1,406,830 Abbott Laboratories 68,962,806 2.19

251,394 McKesson Corp. 60,058,027 1.91

1,188,345 Mylan NV 87,022,504 2.76

2,279,964 Pfizer, Inc. 78,863,955 2.50

294,907,292 9.36

Real Estate

1,008,383 CBRE Group, Inc. "A" 38,479,895 1.22

Real Estate Investment Trust

679,750 American Tower Corp. 63,801,335 2.03

152,548 Equinix, Inc. 40,730,316 1.29

104,531,651 3.32

Retail

437,972 Costco Wholesale Corp. 62,629,996 1.99

1,821,647 Gap, Inc. 70,242,709 2.23

316,834 PVH Corp. 33,261,233 1.06

941,009 Starbucks Corp. 48,960,698 1.55

275,747 Wal-Mart Stores, Inc. 20,565,211 0.65

620,929 Walgreens Boots Alliance, Inc. 53,244,662 1.69

591,268 Yum! Brands, Inc. 53,622,095 1.70

342,526,604 10.87

Software

1,933,066 Microsoft Corp. 91,376,030 2.90

382,398 ServiceNow, Inc. 29,505,830 0.94

120,881,860 3.84

Telecommunications

703,247 Cisco Systems, Inc. 20,696,559 0.66

605,556 Verizon Communications, Inc. 29,981,078 0.95

50,677,637 1.61

Transportation

582,005 Kansas City Southern 53,183,617 1.69

TOTAL COMMON STOCKS

(cost USD 2 ,555 ,173 ,502) 3,110,041,806 98.74



(cost USD 2 ,555 ,173 ,502) 3,110,041,806 98.74



(cost USD 2 ,555 ,173 ,502) 3,110,041,806 98.74

% of



% of



Goldman Sachs Funds—US Equity Portfolio

138



As at 31 May 2015

Unrealised % of




EUR 270,475,609 USD 293,453,234 15/06/2015 3,996,537 0.13

USD 18,903,928 EUR 16,839,092 15/06/2015 385,495 0.01


CONTRACTS HELD FOR HEDGING PURPOSES 4,382,032 0.14


(cost USD 2 ,555 ,173 ,502) 3,114,423,838 98.88


% of




(cost USD 2,555,173,502) 3,110,041,806 98.74


held for hedging purposes 4,382,032 0.14


Shareholders’ Equity 3,149,726,009 100.00

The counterparties for forward currency contracts were Citibank NA London, JP Morgan Chase

Bank NA London, Royal Bank of Canada, Royal Bank of Scotland Plc., State Street Bank & Trust,

UBS AG London and Westpac Banking Corp.


Goldman Sachs Funds—US Equity Portfolio

139



As at 31 May 2015



Apparel

24,616 NIKE, Inc. "B" 2,504,924 3.83

Banks

22,882 First Republic Bank 1,390,310 2.12

Biotechnology

3,638 Biogen, Inc. 1,460,621 2.23

Computers

46,123 Apple, Inc. 6,055,028 9.26

116,840 EMC Corp. 3,088,081 4.72

9,143,109 13.98


10,912 Intercontinental Exchange, Inc. 2,560,937 3.92

218,841 SLM Corp. 2,245,309 3.43

4,806,246 7.35


46,637 Whole Foods Market, Inc. 1,959,687 3.00

Internet

7,298 Amazon.com, Inc. 3,143,978 4.81

13,670 Equinix, Inc. 3,649,890 5.58

6,740 Google, Inc. "A" 3,712,662 5.67

11,535 LinkedIn Corp. "A" 2,267,435 3.47

2,513 Priceline Group, Inc. 2,978,206 4.55

15,752,171 24.08

Oil & Gas

22,626 Anadarko Petroleum Corp. 1,899,453 2.90

Pharmaceuticals

68,462 Abbott Laboratories 3,356,007 5.13

33,207 Mylan NV 2,431,749 3.72

5,787,756 8.85




Retail

22,904 Costco Wholesale Corp. 3,275,272 5.00

80,903 Kate Spade & Co. 2,034,710 3.11

29,954 PVH Corp. 3,144,571 4.81

33,129 Walgreens Boots Alliance, Inc. 2,840,812 4.34

24,019 Yum! Brands, Inc. 2,178,283 3.33

13,473,648 20.59

Transportation

29,229 Kansas City Southern 2,670,946 4.08

TOTAL COMMON STOCKS

(cost USD 57 ,166 ,816) 63,955,918 97.76



(cost USD 57 ,166 ,816) 63,955,918 97.76


(cost USD 57 ,166 ,816) 63,955,918 97.76



% of






% of



% of



Goldman Sachs Funds—US Focused Growth Equity Portfolio

140



As at 31 May 2015



Australia

101,547 BHP Billiton Plc. (Mining) 1,951,431 0.94

101,547 South32 Ltd. (Mining) 154,265 0.07

2,105,696 1.01

Austria

26,256 ams AG (Semiconductors) 1,437,656 0.69

Belgium

7,104 Delhaize Group S.A.



1,196,770 0.58

Denmark

1,421 AP Moeller – Maersk A/S "A"


1,566 AP Moeller – Maersk A/S "B"


2,160 NKT Holdings A/S



4,113 Schouw & Co.


59,625 Vestas Wind Systems A/S

(Energy-Alternate Sources) 2,786,351 1.34

13,803,525 6.64

Finland

38,129 Orion OYJ "B" (Pharmaceuticals) 1,167,129 0.56

166,639 UPM-Kymmene OYJ

(Forest Products & Paper) 2,749,543 1.33

3,916,672 1.89

France

24,261 Airbus Group NV (Aerospace & Defence) 1,529,656 0.74

37,269 BNP Paribas S.A. (Banks) 2,080,356 1.00

15,407 Cie Generale des Etablissements Michelin

(Auto Parts & Equipment) 1,518,976 0.73

9,049 Fonciere Des Regions


1,551 Guerbet (Healthcare Products) 62,862 0.03

1,854 L’Oreal S.A. (Cosmetics/Personal Care) 323,059 0.16

26,647 Natixis S.A. (Banks) 183,731 0.09

182,862 Orange S.A. (Telecommunications) 2,667,957 1.28

129,128 Peugeot S.A. (Automobile Manufacturers) 2,481,840 1.19

13,268 Plastic Omnium S.A.


29,928 Renault S.A. (Automobile Manufacturers) 2,848,846 1.37


4,942 Saft Groupe S.A.


48,466 Sanofi (Pharmaceuticals) 4,411,375 2.12

34,155 Schneider Electric SE


68,567 SCOR SE (Insurance) 2,157,118 1.04

25,875 Technicolor S.A. (Home Furnishings) 152,662 0.07

16,140 Valeo S.A. (Auto Parts & Equipment) 2,382,264 1.15

41,374 Vivendi S.A. (Media) 969,600 0.47

30,220,331 14.54

Germany


9,796 Axel Springer SE (Media) 496,069 0.24

31,285 BASF SE (Chemicals) 2,654,845 1.28



Germany – (continued)



22,535 Beiersdorf AG


8,987 CTS Eventim AG & Co. KGaA


915 Daimler AG (Automobile Manufacturers) 78,891 0.04

101,104 Deutsche Bank AG (Banks) 2,788,954 1.34

120,546 Deutsche Telekom AG


46,612 Dialog Semiconductor Plc.


19,425 Duerr AG (Machinery—Diversified) 1,843,627 0.89

3,316 Elmos Semiconductor AG


52,414 Fresenius SE & Co. KGaA


19,745 Gerresheimer AG

(Packaging & Containers) 1,040,561 0.50

15,811 Grammer AG (Auto Parts & Equipment) 534,254 0.26

5,739 Hamburger Hafen und Logistik AG


17,533 Hannover Rueck SE (Insurance) 1,557,632 0.75

1,036 Henkel AG & Co. KGaA—Preferred


455 Hochtief AG (Construction & Engineering) 31,859 0.02

75,759 K&S AG (Chemicals) 2,297,013 1.10

4,922 Krones AG (Machinery—Diversified) 490,576 0.24

18,039 Merck KGaA (Pharmaceuticals) 1,779,908 0.86

6,397 Muenchener Rueckversicherungs AG

(Insurance) 1,083,332 0.52

51,283 Nordex SE (Energy-Alternate Sources) 1,136,431 0.55

33,726 ProSiebenSat.1 Media AG (Media) 1,489,172 0.72

3,666 SHW AG (Auto Parts & Equipment) 153,642 0.07

7,489 Software AG (Software) 194,602 0.09

3,661 TLG Immobilien AG (Real Estate) 55,995 0.03

12,089 United Internet AG (Internet) 517,047 0.25

395 XING AG (Internet) 66,301 0.03

36,313,668 17.47

Ireland

14,123 Shire Plc. (Pharmaceuticals) 1,118,404 0.54

Italy

2,401 Brembo SpA (Auto Parts & Equipment) 92,991 0.04

12,982 DiaSorin SpA (Healthcare Products) 539,013 0.26

+ 162,761 Eni SpA (Oil & Gas) 2,695,322 1.30

+ 374,244 Intesa Sanpaolo SpA (Banks) 1,249,227 0.60

135,334 Mediobanca SpA (Banks) 1,279,583 0.62

53,922 Recordati SpA (Pharmaceuticals) 1,054,714 0.51

11,005 Sorin SpA (Healthcare Products) 29,515 0.01

6,940,365 3.34

Jordan

15,711 Hikma Pharmaceuticals Plc.


Netherlands

45,895 Boskalis Westminster NV


1,686 Euronext NV 144A(a)




40,804 ING Groep NV (Banks) 615,324 0.30

73,323 Koninklijke Ahold NV (

Food, Beverages & Tobacco) 1,378,106 0.66

2,985 Koninklijke DSM NV (Chemicals) 161,459 0.08

% of



% of



Goldman Sachs Funds—Europe CORE® Equity Portfolio

141



As at 31 May 2015


Netherlands – (continued)

116,934 Royal Dutch Shell Plc. "A"

(traded in Netherlands) (Oil & Gas) 3,200,484 1.54

11,344 Royal Dutch Shell Plc. "A"

(traded in United Kingdom) (Oil & Gas) 309,645 0.15

93,293 Royal Dutch Shell Plc. "B" (Oil & Gas) 2,579,602 1.24

88,797 Wolters Kluwer NV (Media) 2,544,478 1.22

15,116,600 7.27

Norway

27,655 DNB ASA (Banks) 440,786 0.21

27,873 Orkla ASA (Food, Beverages & Tobacco) 199,950 0.10

38,281 Yara International ASA (Chemicals) 1,762,362 0.85

2,403,098 1.16

South Africa

120,954 Mondi Plc. (Forest Products & Paper) 2,489,201 1.20

Spain

59,751 ACS Actividades de Construccion y

Servicios S.A.


5,056 Almirall S.A. (Pharmaceuticals) 95,407 0.05

553,005 Banco Santander S.A. (Banks) 3,627,160 1.74

137,287 CaixaBank S.A. (Banks) 603,514 0.29

39,022 Ence Energia y Celulosa S.A.


148,556 Gamesa Corp. Tecnologica S.A.


19,432 Grifols S.A. (Pharmaceuticals) 710,628 0.34

13,628 Mediaset Espana Comunicacion S.A.

(Media) 158,834 0.08

9,180,785 4.42

Sweden

17,251 Assa Abloy AB "B"


60,647 BillerudKorsnas AB

(Forest Products & Paper) 947,913 0.46

94,059 Boliden AB (Mining) 1,850,769 0.89

24,417 Electrolux AB "B" (Home Furnishings) 684,334 0.33

33,014 JM AB (Construction & Engineering) 857,070 0.41

242,319 Skandinaviska Enskilda Banken AB "A"

(Banks) 2,754,979 1.32



8,686,660 4.18

Switzerland

51,788 ABB Ltd. (Machinery—Construction & Mining) 1,042,681 0.50


5,867 Adecco S.A. (Commercial Services) 428,143 0.21

7,667 Credit Suisse Group AG (Banks) 186,623 0.09

516 Flughafen Zuerich AG


72,162 Logitech International S.A. (Computers) 1,069,328 0.51

17,206 Lonza Group AG (Chemicals) 2,242,028 1.08

25 Metall Zug AG "B"


12,981 Nestle S.A. (Food, Beverages & Tobacco) 927,103 0.45

3,623 Partners Group Holding AG


2,147 Roche Holding AG (Pharmaceuticals) 584,565 0.28

226,849 STMicroelectronics NV (Semiconductors) 1,776,228 0.86

6,634 Swiss Re AG (Insurance) 547,932 0.26

1,098 Syngenta AG (Chemicals) 456,645 0.22

5,359 Zurich Insurance Group AG (Insurance) 1,566,889 0.75

14,962,607 7.20


United Kingdom

13,739 Aberdeen Asset Management Plc.


249,819 Amlin Plc. (Insurance) 1,705,978 0.82

23,892 Ashmore Group Plc.


32,062 AstraZeneca Plc. (Pharmaceuticals) 1,973,464 0.95

5,942 AstraZeneca Plc.—ADR(b)


78,107 BAE Systems Plc. (Aerospace & Defence) 564,227 0.27

43,973 Berkeley Group Holdings Plc.

(Home Builders) 1,905,292 0.92

88,038 British American Tobacco Plc.


53,702 BT Group Plc. (Telecommunications) 337,638 0.16

101,344 Dixons Carphone Plc. (Retail) 674,525 0.32

15,894 Fiat Chrysler Automobiles NV


54,403 Henderson Group Plc.


473,028 HSBC Holdings Plc. (Banks) 4,136,628 1.99

75,154 IG Group Holdings Plc.


59,092 Imperial Tobacco Group Plc.


122,236 Indivior Plc. (Pharmaceuticals) 395,015 0.19

59,333 InterContinental Hotels Group Plc.

(Lodging) 2,295,258 1.10

568,400 ITV Plc. (Media) 2,171,945 1.05

350,136 Legal & General Group Plc. (Insurance) 1,309,686 0.63

376,710 Man Group Plc.


258,396 National Grid Plc. (Gas) 3,376,753 1.63



46,352 Reed Elsevier NV (Media) 1,034,577 0.50

31,253 Rio Tinto Plc. (Mining) 1,246,376 0.60

+ 46,415 Rio Tinto Plc.—ADR(b) (Mining) 1,855,249 0.89

192,758 Rolls-Royce Holdings Plc.


180,131 Standard Chartered Plc. (Banks) 2,635,761 1.27

19,766 Tullett Prebon Plc.


135,865 Unilever NV (Cosmetics/Personal Care) 5,324,549 2.56

27,007 Unilever Plc. (Food, Beverages & Tobacco) 1,092,817 0.53

5,783 Unilever Plc.—ADR(b)


125,771 Vodafone Group Plc.—ADR(b)


55,300,120 26.61

TOTAL COMMON STOCKS

(cost EUR 181 ,555 ,080) 205,648,531 98.96


Ireland

1,122,634 Goldman Sachs Euro Liquid Reserves Fund

(X Distribution Class)(c)(d) 1,122,634 0.54

TOTAL MUTUAL FUNDS

(cost EUR 1 ,122 ,634) 1,122,634 0.54



(cost EUR 182 ,677 ,714) 206,771,165 99.50

% of



% of




142



As at 31 May 2015




United Kingdom

27,178,878 Rolls-Royce Holdings Plc.

(Aerospace & Defence)(e) 37,793 0.02

TOTAL COMMON STOCKS

(cost EUR n i l ) 37,793 0.02


(cost EUR n i l ) 37,793 0.02



(cost EUR 182 ,677 ,714) 206,808,958 99.52

Forward Currency Contracts – 0.02%

Unrealised % of


Currency Bought Currency Sold Date EUR Equity

EUR 3,849,008 GBP 2,733,000 01/06/2015 48,710 0.02

EUR 260,033 NOK 2,197,000 01/06/2015 2,930 0.00


CURRENCY CONTRACTS 51,640 0.02


(cost EUR 182 ,677 ,714) 206,860,598 99.54



% of



% of




(cost EUR 182,677,714) 206,808,958 99.52




The counterparty for forward currency contracts was Deutsche Bank AG.



(a) 144A: This security is issued to qualified institutional investors, pursuant to private


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



(d) The yield for this fund as at 31 May 2015 was (0.012%).

(e) Valuation of this security is determined by the Valuer. See Note 4.

% of

Shareholders’



Banks 10.86


Insurance 6.99

Chemicals 4.91


Media 4.28

Oil & Gas 4.23



Others 37.51


Mutual Funds 0.54

Unrealised Gain On Futures Contracts 0.02


TOTAL 100.00

143



As at 31 May 2015



Australia

292,700 OceanaGold Corp. (Mining) 708,155 0.13

Austria

21,986 ams AG (Semiconductors) 1,302,822 0.24

4,251 Austria Technologie & Systemtechnik AG


1,374,968 0.25

Belgium


Bermuda

20,534 Aspen Insurance Holdings Ltd. (Insurance) 951,956 0.18

2,382 Assured Guaranty Ltd. (Insurance) 68,102 0.01

1,020,058 0.19

Canada

10,800 Alimentation Couche-Tard, Inc. "B" (Retail) 419,281 0.08

46,100 Canaccord Genuity Group, Inc.


24,500 Catamaran Corp. (Healthcare Services) 1,461,266 0.27

13,300 CCL Industries, Inc. "B"


+ 17,800 Centerra Gold, Inc. (Mining) 109,517 0.02

19,400 Empire Co., Ltd. "A"


23,000 FirstService Corp. (Commercial Services) 1,495,991 0.27

50,500 Jean Coutu Group PJC, Inc. "A" (Retail) 943,449 0.17

411,600 Lake Shore Gold Corp. (Mining) 398,987 0.07

18,200 Linamar Corp. (Auto Parts & Equipment) 1,235,253 0.23

111,800 Lucara Diamond Corp. (Mining) 185,400 0.03

9,600 Magellan Aerospace Corp.

(Aerospace & Defence) 129,205 0.02

16,500 Martinrea International, Inc.


8,000 Suncor Energy, Inc. (Oil & Gas) 232,966 0.04

10,500 Transcontinental, Inc. "A"


10,118,777 1.85

Denmark

89 AP Moeller – Maersk A/S "A"


1,213 AP Moeller – Maersk A/S "B"




6,199 Sydbank A/S (Banks) 239,863 0.04

95,794 Vestas Wind Systems A/S


8,444,208 1.54

Faeroe Islands

4,325 Bakkafrost P/F


Finland

15,724 UPM-Kymmene OYJ


France

13,838 BNP Paribas S.A. (Banks) 833,360 0.15

18,881 Coface S.A. (Insurance) 211,556 0.04

3,414 Fonciere Des Regions


16,971 IPSOS (Advertising) 453,153 0.08


France – (continued)

82,692 Natixis S.A. (Banks) 618,841 0.11

42,478 Renault S.A. (Automobile Manufacturers) 4,402,336 0.80



6,462 UBISOFT Entertainment (Software) 116,471 0.02


15,031,542 2.75

Germany

3,941 Aareal Bank AG (Banks) 156,043 0.03


920 Amadeus Fire AG (Commercial Services) 79,794 0.01

28,791 Aurubis AG (Metal Fabricate/Hardware) 1,784,055 0.33

39,988 Axel Springer SE (Media) 2,174,069 0.40




9,508 Duerr AG (Machinery—Diversified) 970,171 0.18



13,565 Gerresheimer AG

(Packaging & Containers) 772,451 0.14

19,206 Grammer AG (Auto Parts & Equipment) 705,604 0.13



40,299 Hannover Rueck SE (Insurance) 3,907,883 0.71

3,606 Jungheinrich AG—Preferred


105,521 K&S AG (Chemicals) 3,432,463 0.63


(Insurance) 3,480,027 0.64

85,157 Nordex SE (Energy-Alternate Sources) 2,036,224 0.37

48,177 ProSiebenSat.1 Media AG (Media) 2,299,734 0.42


2,142 Stratec Biomedical Ag


4,092 United Internet AG (Internet) 190,487 0.03

4,679 Wacker Neuson SE

(Machinery—Construction & Mining) 107,701 0.02

39,313,029 7.19

Hong Kong

222,600 AIA Group Ltd. (Insurance) 1,465,994 0.27

83,000 Hutchison Whampoa Ltd.(a)


262,000 Truly International Holdings (Electronics) 131,481 0.02

24,500 Yue Yuen Industrial Holdings Ltd. (Apparel) 84,232 0.02

2,913,074 0.53

Israel

+ 22,692 Plus500 Ltd. (Diversified Financial Services) 128,119 0.02

Italy

15,432 Eni SpA (Oil & Gas) 277,301 0.05

Japan

7,700 Aderans Co., Ltd.


123,500 Alfresa Holdings Corp.


4,400 Arcs Co., Ltd.


29,000 ASKA Pharmaceutical Co., Ltd.


16,600 Bandai Namco Holdings, Inc.

(Toys/Games/Hobbies) 341,645 0.06

6,800 BML, Inc. (Healthcare Services) 208,228 0.04

19,600 Chugoku Electric Power Co., Inc. (Electric) 297,566 0.05

% of



% of



Goldman Sachs Funds—Global CORE® Equity Portfolio

144



As at 31 May 2015


Japan – (continued)

148,400 Daiichi Sankyo Co., Ltd. (Pharmaceuticals) 2,806,081 0.51

236,100 Dainippon Sumitomo Pharma Co., Ltd.


3,630 Daito Pharmaceutical Co., Ltd.


300,000 Daiwa Securities Group, Inc.


43,000 DCM Holdings Co., Ltd. (Retail) 394,327 0.07

16,700 Fuji Soft, Inc. (Software) 342,088 0.06

70,800 Funai Electric Co., Ltd.


9,700 Fuyo General Lease Co., Ltd.


+ 107,500 Gree, Inc. (Software) 673,960 0.12

34,600 Hisamitsu Pharmaceutical Co., Inc.


34,000 Hokkaido Gas Co., Ltd. (Gas) 77,811 0.01

16,000 Hokko Chemical Industry Co., Ltd.

(Chemicals) 61,115 0.01

16,300 Hokuriku Electric Power Co. (Electric) 247,859 0.05

224,100 Ibiden Co., Ltd. (Electronics) 4,200,464 0.77

11,900 Iida Group Holdings Co., Ltd

(Home Builders) 194,761 0.04

8,900 Jafco Co., Ltd. (Investment Companies) 344,252 0.06

113,500 Japan Airlines Co., Ltd. (Airlines) 3,910,008 0.72

10,300 Jastec Co., Ltd. (Software) 80,677 0.02

943,000 JX Holdings, Inc. (Oil & Gas) 4,175,660 0.76

173,000 Kadokawa Dwango (Media) 2,457,786 0.45

97,500 KDDI Corp. (Telecommunications) 2,208,570 0.40

26,700 Kohnan Shoji Co., Ltd. (Retail) 305,094 0.06

34,000 Kyokuto Securities Co., Ltd.


29,300 Marusan Securities Co., Ltd.


67,800 Medipal Holdings Corp. (Pharmaceuticals) 1,053,374 0.19

113,000 Mitsubishi Electric Corp.


755,000 Mitsubishi Gas Chemical Co., Inc.

(Chemicals) 4,392,683 0.80

156,000 Mitsubishi Heavy Industries Ltd.


237,400 Mitsubishi Tanabe Pharma Corp.


14,500 Mitsubishi UFJ Lease & Finance Co., Ltd.


765,700 Mizuho Financial Group, Inc. (Banks) 1,694,357 0.31

22,300 MS&AD Insurance Group Holdings Inc.

(Insurance) 694,545 0.13

145,500 Nexon Co., Ltd. (Software) 1,961,574 0.36

506,000 Nippon Electric Glass Co., Ltd. (Electronics) 2,699,319 0.49

30,200 Nippon Telegraph & Telephone Corp.


7,400 Nissha Printing Co., Ltd. (Electronics) 134,470 0.03

6,500 Nitto Kogyo Corp. (Electronics) 151,376 0.03

14,000 Ohsho Food Service Corp. (Retail) 472,702 0.09

289,800 ORIX Corp. (Diversified Financial Services) 4,611,065 0.84

29,000 Otsuka Holdings Co., Ltd.


5,100 Paltac Corp. (Distribution/Wholesale) 80,510 0.02

15,100 Parco Co., Ltd. (Retail) 141,637 0.03

159,900 Sega Sammy Holdings, Inc. (Entertainment) 2,314,198 0.42

12,500 Shinko Electric Industries Co. Ltd.


21,300 Sompo Japan Nipponkoa Holdings, Inc.

(Insurance) 777,541 0.14

111,600 Sumitomo Mitsui Financial Group, Inc.

(Banks) 5,099,093 0.93

232,500 T&D Holdings, Inc. (Insurance) 3,486,704 0.64

4,800 Tamron Co., Ltd.




7,500 Toa Corp. (Home Furnishings) 77,360 0.01

7,800 Tohoku Electric Power Co., Inc. (Electric) 109,556 0.02

65,000 Tokio Marine Holdings, Inc. (Insurance) 2,694,387 0.49

290,000 Tokuyama Corp. (Chemicals) 623,957 0.11

35,000 Toppan Printing Co., Ltd.


57,200 Towa Corp.


8,000 Wacom Co., Ltd. (Computers) 31,137 0.01

77,917,425 14.24

Netherlands

23,473 AMG Advanced Metallurgical Group NV


42,701 BinckBank NV


+ 82,941 Boskalis Westminster NV


213,840 ING Groep NV (Banks) 3,510,793 0.64

119,858 Koninklijke Ahold NV



16,751 Koninklijke Vopak NV (Pipelines) 831,933 0.15

+ 45,858 Randstad Holding NV




7,416 Vastned Retail NV


128,664 Wolters Kluwer NV (Media) 3,996,959 0.73

25,024,625 4.57

Norway

73,899 DNB ASA (Banks) 1,293,614 0.24

5,430 Kongsberg Gruppen ASA


11,843 Leroy Seafood Group ASA


83,511 Marine Harvest ASA


25,396 Salmar ASA (Food, Beverages & Tobacco) 410,364 0.07

24,340 Yara International ASA (Chemicals) 1,224,226 0.22

4,377,856 0.80

Singapore

52,400 Singapore Airlines Ltd. (Airlines) 440,907 0.08

South Africa


Spain




6,049,225 1.11

Sweden

212,240 Boliden AB (Mining) 4,540,929 0.83

16,612 Dustin Group AB 144A(b) (Retail) 115,686 0.02

5,362 Haldex AB (Auto Parts & Equipment) 76,094 0.02



290,016 TeliaSonera AB (Telecommunications) 1,705,687 0.31

8,095,590 1.48

% of



% of




145



As at 31 May 2015


Switzerland



81 Forbo Holding AG (Building Materials) 98,916 0.02

84,981 Garmin Ltd. (Electronics) 3,864,936 0.71

403 Partners Group Holding AG


22,943 STMicroelectronics NV (Semiconductors) 195,066 0.04

40,375 Swiss Re AG (Insurance) 3,612,286 0.66

7,981,453 1.46

United Kingdom

15,561 Aberdeen Asset Management Plc.


19,380 Ashmore Group Plc.


7,998 AstraZeneca Plc. (Pharmaceuticals) 533,644 0.10

4,931 AstraZeneca Plc.—ADR(c)


3,673 BP Plc.—ADR(c) (Oil & Gas) 152,283 0.03



20,992 Dart Group Plc. (Airlines) 132,776 0.03



68,986 HSBC Holdings Plc. (Banks) 655,512 0.12



68,444 Inchcape Plc. (Distribution/Wholesale) 882,536 0.16

87,281 Londonmetric Property Plc.


45,946 Lookers Plc. (Retail) 113,405 0.02

143,248 National Grid Plc. (Gas) 2,041,625 0.37

36,023 Pace Plc. (Home Furnishings) 226,529 0.04

11,772 Reed Elsevier NV (Media) 284,970 0.05



209,573 Unilever NV (Cosmetics/Personal Care) 8,921,793 1.63

11,845 Unilever Plc.


3,879 Unilever Plc.—ADR(c)


55,668 United Utilities Group Plc. (Water) 846,069 0.16

87,904 William Hill Plc. (Entertainment) 564,583 0.10

24,949,013 4.56

United States

31,634 3M Co. (Miscellaneous Manufacturing) 5,032,337 0.92

35,188 Adobe Systems, Inc. (Software) 2,783,019 0.51

31,363 Aetna, Inc. (Healthcare Services) 3,699,893 0.68

27,123 Alaska Air Group, Inc. (Airlines) 1,753,231 0.32

83,980 Alcoa, Inc. (Mining) 1,049,750 0.19

100,272 Altria Group, Inc.


4,994 Amazon.com, Inc. (Internet) 2,143,575 0.39

28,354 American Electric Power Co., Inc.

(Electric) 1,596,047 0.29

8,662 American Express Co.




8,848 Ameriprise Financial, Inc.


10,490 AmerisourceBergen Corp.


35,507 Amgen, Inc. (Biotechnology) 5,548,324 1.01

78,954 Apple, Inc. (Computers) 10,286,127 1.88

51,748 Automatic Data Processing, Inc. (Software) 4,424,971 0.81



28,852 Baker Hughes, Inc. (Oil & Gas Services) 1,859,800 0.34

18,634 Bank of America Corp. (Banks) 307,461 0.06

7,486 Berkshire Hathaway, Inc. "B" (Insurance) 1,070,498 0.20

57,521 Best Buy Co., Inc. (Retail) 1,995,979 0.36

8,430 Biogen, Inc. (Biotechnology) 3,346,626 0.61

27,187 Boeing Co. (Aerospace & Defence) 3,820,317 0.70

65,863 Bristol-Myers Squibb Co.


8,868 Bunge Ltd. (Agriculture) 820,822 0.15

88,715 Cameron International Corp.


54,908 Capital One Financial Corp. (Banks) 4,588,112 0.84

86,478 Carnival Corp. (Leisure Time) 4,006,526 0.73


46,154 Celgene Corp. (Biotechnology) 5,281,864 0.97

115,384 CenturyLink, Inc. (Telecommunications) 3,835,364 0.70

53,009 Charles Schwab Corp.


7,394 Citrix Systems, Inc. (Software) 480,684 0.09

9,754 Colgate-Palmolive Co.


35,385 Comcast Corp. "A" (Media) 2,068,607 0.38

1,130 Comcast Corp. Special "A" (Media) 65,540 0.01

131,659 Corning, Inc. (Electronics) 2,754,306 0.50

22,606 Crown Castle International Corp.


6,325 CSX Corp. (Transportation) 215,556 0.04

55,137 CVS Health Corp. (Retail) 5,644,926 1.03

52,579 Danaher Corp.


59,874 Delta Air Lines, Inc. (Airlines) 2,569,792 0.47

3,797 DIRECTV (Media) 345,679 0.06

2,176 DR Horton, Inc. (Home Builders) 56,837 0.01

19,522 eBay, Inc. (Internet) 1,197,870 0.22

50,022 Eli Lilly & Co. (Pharmaceuticals) 3,946,736 0.72

173,610 EMC Corp. (Computers) 4,572,887 0.84

5,492 Equity Residential


55,188 Exxon Mobil Corp. (Oil & Gas) 4,702,018 0.86

5,450 F5 Networks, Inc. (Internet) 685,010 0.13

69,273 FMC Technologies, Inc.


34,227 Ford Motor Co.


8,471 Gaming and Leisure Properties, Inc.

(Entertainment) 310,039 0.06

40,200 Gap, Inc. (Retail) 1,540,866 0.28



57,159 Gilead Sciences, Inc. (Biotechnology) 6,417,241 1.17


107,060 Hewlett-Packard Co. (Computers) 3,575,804 0.65

20,263 HollyFrontier Corp. (Oil & Gas) 843,954 0.15

7,046 Hospitality Properties Trust


39,786 Host Hotels & Resorts, Inc.


97,562 Intel Corp. (Semiconductors) 3,361,986 0.61

3,911 International Business Machines Corp.

(Computers) 663,501 0.12

75,441 International Paper Co.


77,789 Johnson & Johnson (Pharmaceuticals) 7,789,790 1.42

6,763 Johnson Controls, Inc.



7,038 Kellogg Co.


% of



% of




146



As at 31 May 2015




26,929 Kimberly-Clark Corp.


56,195 Kroger Co.


3,281 L Brands, Inc. (Retail) 283,872 0.05

11,776 Lear Corp. (Auto Parts & Equipment) 1,366,252 0.25

47,709 Liberty Interactive Corp. "A" (Internet) 1,334,421 0.24

57,443 Lowe’s Cos., Inc. (Retail) 4,019,861 0.73

40,952 Marathon Petroleum Corp. (Oil & Gas) 4,236,894 0.77

18,966 Merck & Co., Inc. (Pharmaceuticals) 1,154,840 0.21


21,891 Mohawk Industries, Inc. (Textiles) 4,085,736 0.75

39,135 NASDAQ OMX Group, Inc.


56,909 NetApp, Inc. (Computers) 1,900,761 0.35

1,707 Norfolk Southern Corp. (Transportation) 157,044 0.03

15,015 Nuance Communications, Inc. (Software) 253,303 0.05

51,257 Nucor Corp. (Iron/Steel) 2,424,456 0.44

26,051 Oceaneering International, Inc.


78,058 Oracle Corp. (Software) 3,394,742 0.62

61,863 PepsiCo, Inc.


203,025 Pfizer, Inc. (Pharmaceuticals) 7,055,119 1.29

24,019 Phillips 66 (Oil & Gas) 1,900,383 0.35

13,686 Rackspace Hosting, Inc. (Software) 548,672 0.10

20,817 Reinsurance Group of America, Inc.

(Insurance) 1,947,430 0.36

28,397 Salesforce.com, Inc. (Software) 2,065,882 0.38

95,077 Southwest Airlines Co. (Airlines) 3,522,603 0.64

8,708 Spectra Energy Corp. (Pipelines) 306,260 0.06

58,066 Target Corp. (Retail) 4,605,795 0.84

15,622 Tesoro Corp. (Oil & Gas) 1,382,547 0.25

66,404 Texas Instruments, Inc. (Semiconductors) 3,713,312 0.68

2,463 Time Warner Cable, Inc. (Media) 445,532 0.08

38,144 TJX Cos., Inc. (Retail) 2,455,711 0.45

31,714 Travelers Cos., Inc. (Insurance) 3,206,920 0.59

9,919 Union Pacific Corp. (Transportation) 1,000,926 0.18



73,225 Valero Energy Corp. (Oil & Gas) 4,337,849 0.79

139,428 Verizon Communications, Inc.


60,853 Viacom, Inc. "B" (Media) 4,069,849 0.74

69,720 Wal-Mart Stores, Inc. (Retail) 5,178,104 0.95

16,528 Walgreens Boots Alliance, Inc. (Retail) 1,418,763 0.26

21,774 Walt Disney Co. (Media) 2,403,196 0.44

29,100 Western Digital Corp. (Computers) 2,833,176 0.52

309,800 Xerox Corp.

(Office/Business Equipment) 3,537,916 0.65

294,676,254 53.86

TOTAL COMMON STOCKS

(cost USD 505 ,913 ,589) 533,350,887 97.48


Ireland


(X Distribution Class)(d)(e) 3,273,073 0.60

TOTAL MUTUAL FUNDS

(cost USD 3 ,273 ,073) 3,273,073 0.60



(cost USD 509 ,186 ,662) 536,623,960 98.08



(cost USD 509 ,186 ,662) 536,623,960 98.08

Futures Contracts – (0.00%)




GBP

13 FTSE 100

Index Futures

19/06/2015 Long 1,411,138 1,998 0.00

JPY

9 TOPIX Index

Futures 11/06/2015 Long 1,256,272 35,723 0.01

UNREALISED GAIN ON FUTURES CONTRACTS 37,721 0.01


Number of Market Value Loss Shareholders’


CAD

1 S&P TSX 60 Index

Futures 18/06/2015 Long 145,078 (3,301) (0.00)

EUR

76 DJ Euro STOXX 50

Index Futures

19/06/2015 Long 3,043,787 (11,699) (0.00)

USD

64 E-Mini S&P 500

Index Futures

19/06/2015 Long 6,739,200 (30,000) (0.01)

UNREALISED LOSS ON FUTURES CONTRACTS (45,000) (0.01)


Unrealised % of



EUR 125,000 USD 136,839 02/06/2015 605 0.00


CURRENCY CONTRACTS 605 0.00


(cost USD 509 ,186 ,662) 536,617,286 98.08



% of



% of



147



As at 31 May 2015


% of




(cost USD 509,186,662) 536,623,960 98.08

Unrealised gain on futures contracts 37,721 0.01

Unrealised loss on futures contracts (45,000) (0.01)

Unrealised gain on forward currency contracts 605 0.00




The counterparties for forward currency contracts was Deutsche Bank AG London.


(a) This security is valued by the Valuer. See Note 4.



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




% of

Shareholders’



Insurance 7.03

Retail 5.49


Banks 5.26

Oil & Gas 5.11

Computers 4.37

Software 4.27

Biotechnology 3.76

Media 3.76

Others 44.95


Mutual Funds 0.60


Unrealised Loss On Futures Contracts (0.01)

Unrealised Gain On Forward Currency Contracts 0.00


TOTAL 100.00

148



As at 31 May 2015



Australia

33,500 OceanaGold Corp. (Mining) 81,049 0.02

Austria

7,210 Austria Technologie & Systemtechnik AG


Belgium

32 Banque Nationale de Belgique (Banks) 112,266 0.02

Bermuda

9,862 Argo Group International Holdings Ltd.

(Insurance) 519,234 0.11

66,352 Aspen Insurance Holdings Ltd. (Insurance) 3,076,079 0.63

119,514 Assured Guaranty Ltd. (Insurance) 3,416,905 0.71

18,177 Endurance Specialty Holdings Ltd.

(Insurance) 1,104,798 0.23

8,117,016 1.68

Canada

16,700 Absolute Software Corp. (Software) 123,887 0.03

12,600 Bird Construction, Inc.


+ 317,707 Canaccord Financial, Inc.


32,500 Canfor Pulp Products, Inc.


36,900 Capital Power Corp. (Electric) 710,951 0.15

28,700 CCL Industries, Inc. "B"


+ 93,400 Centerra Gold, Inc. (Mining) 574,654 0.12

35,900 Chorus Aviation, Inc. (Airlines) 182,628 0.04

84,600 Dominion Diamond Corp. (Mining) 1,577,799 0.33

9,800 FirstService Corp. (Commercial Services) 637,422 0.13

101,100 Fortuna Silver Mines, Inc. (Mining) 386,338 0.08

11,400 GMP Capital, Inc.


41,200 Intertape Polymer Group, Inc.


97,600 Kirkland Lake Gold, Inc. (Mining) 507,450 0.10

340,300 Lake Shore Gold Corp. (Mining) 329,872 0.07

561,000 Lucara Diamond Corp. (Mining) 930,318 0.19

244,600 Nevsun Resources Ltd. (Mining) 1,011,124 0.21

26,700 North West Co., Inc.


11,200 Parkland Fuel Corp. (Oil & Gas) 227,275 0.05

10,100 RONA, Inc. (Retail) 126,306 0.03

132,600 SEMAFO, Inc. (Mining) 391,984 0.08

24,400 TransAlta Renewables, Inc.

(Utilities—Electric & Gas) 247,274 0.05

116,700 Transcontinental, Inc. "A"


6,200 Whistler Blackcomb Holdings, Inc.


16,490,841 3.42

China

666,000 Daphne International Holdings Ltd. (Retail) 193,316 0.04

Denmark



607 PER Aarsleff A/S "B"


384,296 0.08


Faeroe Islands

5,581 Bakkafrost P/F (Food, Beverages & Tobacco) 147,439 0.03

Finland

120,800 Sponda OYJ (Real Estate) 471,748 0.10

6,699 Tikkurila OYJ (Chemicals) 128,455 0.02

600,203 0.12

France

48,371 ABC Arbitrage


+ 82,837 Air France-KLM (Airlines) 684,862 0.14

7,475 Altamir (Investment Companies) 91,786 0.02

1,031 Boiron S.A. (Pharmaceuticals) 106,320 0.02

8,476 Cegid Group (Software) 376,260 0.08

2,988 Cie des Alpes (Entertainment) 56,345 0.01



3,559 Lectra (Software) 53,066 0.01

22,726 Metropole Television S.A. (Media) 432,411 0.09

4,300 MGI Coutier (Auto Parts & Equipment) 73,072 0.01

954 Norbert Dentressangle S.A. (Transportation) 229,684 0.05

110,149 Peugeot S.A. (Automobile Manufacturers) 2,294,476 0.48


45,030 Technicolor S.A. (Home Furnishings) 288,264 0.06


1,514 Vetoquinol S.A. (Pharmaceuticals) 60,004 0.01

13,223,351 2.74

Germany

+ 16,171 Amadeus Fire AG (Commercial Services) 1,402,548 0.29

822 Cewe Stiftung 2 Co. KGAA (Retail) 49,611 0.01

5,534 Deutsche Beteiligungs AG




6,417 Dic Asset Ag (Real Estate) 60,025 0.01

27,408 Duerr AG (Machinery—Diversified) 2,796,640 0.58

16,629 Elmos Semiconductor AG


1,970 Isra Vision AG (Electronics) 129,848 0.03

70,800 K&S AG (Chemicals) 2,303,033 0.48

5,251 Krones AG (Machinery—Diversified) 574,427 0.12

23,087 Nordex SE (Energy-Alternate Sources) 552,043 0.11

99,087 Rhoen Klinikum AG (Healthcare Services) 2,758,220 0.57

321 STO SE & Co. KGaA—Preferred


1,847 Stratec Biomedical Ag


8,688 Suss Microtec AG (Semiconductors) 51,597 0.01

14,381,281 2.98

Hong Kong

+ 1,053,000 Brightoil Petroleum Holdings Ltd.

(Oil & Gas) 585,487 0.12

9,600 Dah Sing Financial Holdings Ltd. (Banks) 70,902 0.02

280,000 Emperor Entertainment Hotel Ltd.

(Lodging) 69,354 0.01

368,000 Emperor International Holdings


7,886,000 Get Nice Hldg. Ltd.


10,000 Guoco Group Ltd.


299,000 Road King Infrastructure Ltd.

(Real Estate) 292,769 0.06

398,000 Sun Hung Kai & Co., Ltd.


Goldman Sachs Funds—Global Small Cap CORE® Equity Portfolio

% of



% of



149



As at 31 May 2015



Hong Kong – (continued)

185,000 TAI Cheung Holdings (Real Estate) 166,586 0.03

1,312,000 TCC International Holdings Ltd.


592,000 Truly International Holdings (Electronics) 297,086 0.06

197,000 Varitronix International Ltd. (Electronics) 175,359 0.04

3,300,579 0.68

Ireland

117,188 Aer Lingus Group Plc. (Airlines) 312,204 0.06

45,735 Alkermes Plc. (Pharmaceuticals) 2,794,409 0.58

11,038 Allegion Plc. (Electronics) 689,213 0.14

3,565 XL Group Plc. (Insurance) 134,329 0.03

3,930,155 0.81

Israel

128,030 Delek Automotive Systems Ltd. (Retail) 1,555,107 0.32

Italy

11,670 Banca IFIS SpA


189,609 Banca Popolare di Milano SCARL

(Banks) 195,925 0.04

68,096 Biesse SpA (Machinery—Diversified) 1,244,534 0.26

2,276 Brembo SpA (Auto Parts & Equipment) 96,543 0.02

87,546 Credito Emiliano SpA (Banks) 723,698 0.15

+ 48,235 ERG SpA (Oil & Gas) 598,101 0.12

27,594 Recordati SpA (Pharmaceuticals) 579,339 0.12

7,716 Reply SpA (Internet) 765,579 0.16

+ 12,267 SAVE SpA (Construction & Engineering) 164,211 0.04

259,303 Societa Cattolica di Assicurazioni SCRL

(Insurance) 2,029,809 0.42

6,648,509 1.38

Japan

30,600 Aderans Co., Ltd.


10,800 Aizawa Securities Co., Ltd.


97,000 Alpine Electronics, Inc.


14,000 Arcs Co., Ltd.


4,300 Argo Graphics, Inc. (Software) 62,579 0.01

7,200 Artnature, Inc.


4,100 Chiyoda Integre Co., Ltd. (Electronics) 107,377 0.02

28,000 Chuetsu Pulp & Paper Co., Ltd.


6,900 Cocokara Fine, Inc. (Retail) 190,161 0.04

8,800 Daiichikosho Co., Ltd. (Leisure Time) 288,972 0.06

+ 107,000 Daishinku Corp. (Electronics) 267,295 0.06

15,720 Daito Pharmaceutical Co., Ltd.


29,000 DCM Holdings Co., Ltd. (Retail) 265,941 0.06

11,100 Doutor Nichires Holdings Co., Ltd. (Retail) 212,706 0.04

10,600 DTS Corp. (Computers) 227,384 0.05

480,800 Ferrotec Corp. (Computers) 2,669,497 0.55

8,400 Fuji Soft, Inc. (Software) 172,068 0.04

10,700 Fujikura Kasei Co., Ltd. (Chemicals) 50,786 0.01

211,000 Fujikura Ltd.


30,700 Funai Electric Co., Ltd.


9,100 Fuyo General Lease Co., Ltd.


8,000 Geo Holdings Corp. (Retail) 91,285 0.02

+ 641 Global One Real Estate Investment Corp.




1,700 Hamakyorex Co., Ltd. (Transportation) 65,962 0.01

20,500 Information Services International-Dentsu Ltd.

(Computers) 214,424 0.04

11,400 Iriso Electronics Co., Ltd. (Electronics) 768,911 0.16

32,600 IT Holdings Corp. (Software) 639,942 0.13

30,000 Jafco Co., Ltd. (Investment Companies) 1,160,401 0.24

10,800 Japan Securities Finance Co., Ltd.


4,300 Kaga Electronics Co., Ltd. (Electronics) 55,511 0.01

969,000 Kawasaki Kisen Kaisha Ltd.


9,700 Keihanshin Building Co., Ltd.


13,200 Kissei Pharmaceutical Co., Ltd.


51,200 Kitz Corp. (Metal Fabricate/Hardware) 247,965 0.05

37,200 Kohnan Shoji Co., Ltd. (Retail) 425,074 0.09

88,700 Kokuyo Co., Ltd.


34,000 Kurabo Industries Ltd. (Textiles) 71,784 0.02

187,000 Kureha Corp.


60,400 Kyokuto Securities Co., Ltd.


27,200 KYORIN Holdings, Inc. (Pharmaceuticals) 572,078 0.12

43,900 Kyowa Exeo Corp.


18,000 Marudai Food Co., Ltd.


57,100 Marusan Securities Co., Ltd.


+ 148,700 Meiko Electronics Co., Ltd. (Electronics) 448,155 0.09

1,042 MID REIT, Inc.


60,900 Mirait Holdings Corp.


54,000 Mito Securities Co., Ltd.


24,000 Morinaga Milk Industry Co., Ltd.


42,400 NEC Networks & System Integration Corp.

(Computers) 906,802 0.19

130,500 NET One Systems Co., Ltd. (Computers) 973,794 0.20

46,700 Nichi-iko Pharmaceutical Co., Ltd.


51,000 Nichireki Co., Ltd. (Building Materials) 438,100 0.09

25,200 NIFTY Corp. (Internet) 282,471 0.06

+ 79,900 Nihon Dempa Kogyo Co., Ltd.


13,000 Nippon Flour Mills Co., Ltd.


2,900 Nippon Konpo Unyu Soko Co., Ltd.


8,000 Nippon Signal Co., Ltd.


49,000 Nippon Thompson Co., Ltd.


4,800 Nissha Printing Co., Ltd. (Electronics) 87,224 0.02

23,100 Nitto Kogyo Corp. (Electronics) 537,967 0.11

18,500 Nittoku Engineering Co., Ltd.


36,000 Noritake Co., Ltd. (Housewares) 86,450 0.02

15,900 Okamura Corp. (Office Furnishings) 138,634 0.03

4,500 Okinawa Electric Power Co., Inc. (Electric) 116,403 0.02

34,600 Paltac Corp. (Distribution/Wholesale) 546,206 0.11

19,800 Parco Co., Ltd. (Retail) 185,722 0.04

25,900 Plenus Co., Ltd. (Retail) 478,574 0.10

24,500 Pola Orbis Holdings, Inc.


% of



% of



150



As at 31 May 2015




114,400 Rohto Pharmaceutical Co., Ltd.


103,000 Sankyu, Inc. (Transportation) 550,296 0.11

58,100 Sanshin Electronics Co., Ltd. (Electronics) 575,405 0.12

42,000 Shindengen Electric Manufacturing Co., Ltd.


5,200 Shinko Shoji Co., Ltd. (Electronics) 52,044 0.01

368 SIA Reit, Inc.


41,700 Studio Alice Co., Ltd. (Retail) 756,074 0.16

16,000 Tayca Corp. (Chemicals) 64,854 0.01

20,000 Toagosei Co., Ltd. (Chemicals) 86,224 0.02

364,000 Tokuyama Corp. (Chemicals) 783,174 0.16

15,200 Tokyo Seimitsu Co., Ltd. (Electronics) 354,109 0.07

231 Top REIT, Inc.


44,000 Toppan Forms Co., Ltd.


14,100 Towa Corp.


11,700 Towa Pharmaceutical Co., Ltd.


19,700 TV Asahi Holdings Corp. (Media) 336,549 0.07

89,000 Uchida Yoko Co., Ltd.

(Office/Business Equipment) 299,069 0.06

9,300 Wacom Co., Ltd. (Computers) 36,197 0.01

5,900 Warabeya Nichiyo Co., Ltd.


68,200 Zuken, Inc. (Computers) 659,495 0.14

45,959,094 9.52

Korea

2,241 AK Holdings, Inc. (Chemicals) 186,236 0.04

213,377 Asiana Airlines, Inc. (Airlines) 1,328,492 0.28

49,551 Avatec Co., Ltd. (Building Materials) 427,437 0.09

53,716 Bukwang Pharmaceutical Co., Ltd.


11,583 Chongkundang Holdings Corp.


1,769 Dae Han Flour Mills Co., Ltd.


52,313 Daeduck Electronics Co. (Electronics) 406,420 0.08

82,600 Daishin Securities Co., Ltd.


10,460 Dongwha Pharm Co., Ltd.


2,745 Dongwon F&B Co., Ltd.


63,578 e-LITECOM Co., Ltd. (Electronics) 1,356,751 0.28

5,154 Golfzon Yuwon Holdings Co., Ltd.


47,856 Hana Micron, Inc. (Semiconductors) 449,089 0.09

964 Hanil Cement Co., Ltd.


49,771 Hansol Paper Co., Ltd.


11,865 Huchems Fine Chemical Corp.

(Chemicals) 278,358 0.06

25,180 Il Dong Pharmaceutical Co., Ltd.


10,117 InBody Co., Ltd. (Healthcare Products) 345,069 0.07

49,957 Korea Real Estate Investment Trust Co., Ltd.

(Real Estate) 141,543 0.03

133,180 Kwang Dong Pharmaceutical Co., Ltd.


256,147 Kyobo Securities Co., Ltd.


2,588 Kyungdong Pharm Co., Ltd.




3,568 Medy-Tox, Inc. (Biotechnology) 1,499,638 0.31

+ 165,315 Meritz Securities Co., Ltd.


53,103 Nice Information & Telecommunication, Inc.


2,286 Noroo Holdings Co., Ltd. (Chemicals) 65,491 0.01

8,803 Sajo Industries Co., Ltd.


28,275 Sam Chun Dang Pharm Co. Ltd.


96,081 Samjin Pharmaceutical Co., Ltd.


749 Samyang Holdings Corp.


606,916 Seohee Construction Co., Ltd.


18,723 Silicon Works Co., Ltd.


7,119 Whanin Pharmaceutical CoLtd.


24,320,436 5.04

Luxembourg

48,691 eDreams ODIGEO S.A. (Computers) 172,906 0.04

55,469 Oriflame Cosmetics S.A.—SDR


1,007,153 0.21

Netherlands

22,703 AMG Advanced Metallurgical Group NV


11,224 AVG Technologies NV (Software) 275,213 0.06

4,720 BE Semiconductor Industries NV


93,873 BinckBank NV


+ 64,040 Boskalis Westminster NV


5,121 KAS Bank NV


60,666 Ordina NV (Commercial Services) 112,138 0.02

40,026 SNS Reaal Groep NV(a) (Banks) 0 0.00

9,318 Telegraaf Media Groep NV (Media) 57,821 0.01

4,882,787 1.01

Norway

+ 397,974 ABG Sundal Collier Holding ASA


8,979 Atea ASA (Internet) 100,180 0.02

36,546 Austevoll Seafood ASA


37,965 Borregaard ASA (Chemicals) 272,650 0.06

+ 2,187,904 Kongsberg Automotive Holding ASA


+ 256,016 Norske Skogindustrier ASA


207,463 Sparebank 1 Nord Norge (Banks) 1,162,667 0.24

31,622 Veidekke ASA


4,098,543 0.85

Portugal

39,208 Altri SGPS S.A.


268,423 CTT-Correios de Portugal S.A.


2,870,774 0.59

% of



% of



151



As at 31 May 2015



Puerto Rico

146,556 OFG Bancorp (Banks) 1,925,746 0.40

Singapore

324,700 Chip Eng Seng Corp., Ltd. (Real Estate) 202,200 0.04

140,000 GuocoLeisure Ltd. (Lodging) 104,826 0.02

4,891 REC Solar ASA


1,155,000 UMS Holdings Ltd. (Semiconductors) 466,658 0.10

3,765 XP Power Ltd. (Electric) 95,485 0.02

935,343 0.19

South Africa


9,249 Mota-Engil Africa NV


4,176,781 0.87

Spain

1,177 Baron de Ley


12,739 Bolsas y Mercados Espanoles S.A.


31,398 Cia de Distribucion Integral Logista

Holdings S.A. (Transportation) 651,459 0.14

12,986 Ebro Foods S.A.






19,197 Lar Espana Real Estate Socimi S.A.


92,231 Mediaset Espana Comunicacion S.A.

(Media) 1,158,301 0.24

11,574 Papeles y Cartones de Europa S.A.


6,407,934 1.33

Sweden

45,882 Betsson AB (Entertainment) 684,690 0.14

15,294 Betsson AB—RED (Entertainment) 21,301 0.00

4,440 Bilia AB (Retail) 87,304 0.02

49,748 BillerudKorsnas AB


5,328 Boliden AB (Mining) 113,994 0.02

15,113 JM AB (Construction & Engineering) 427,178 0.09

2,440 Loomis AB "B" (Commercial Services) 71,538 0.02

43,650 Mycronic AB (Electronics) 312,919 0.07

16,517 NetEnt AB (Software) 636,983 0.13

3,197,273 0.66

Switzerland


33,685 Allied World Assurance Co. Holdings AG

(Insurance) 1,431,276 0.30

26,326 Ascom Holding AG


3,962 Autoneum Holding AG


23 Conzzeta AG (Machinery—Diversified) 87,455 0.02

1,798 Flughafen Zuerich AG


993 Forbo Holding AG (Building Materials) 1,212,632 0.25

1,880 Georg Fischer AG


26,987 Kardex AG (Machinery—Diversified) 1,649,230 0.34

59,563 Logitech International S.A. (Computers) 956,569 0.20


Switzerland – (continued)

23,897 Lonza Group AG (Chemicals) 3,343,832 0.69

182 Metall Zug AG "B"


16,392,790 3.39


351,058 Lamprell Plc. (Oil & Gas Services) 816,938 0.17

United Kingdom

154,011 3i Group Plc. (Investment Companies) 1,323,125 0.27

51,659 Amlin Plc. (Insurance) 384,371 0.08

45,865 Berendsen Plc. (Commercial Services) 711,775 0.15


(Home Builders) 3,094,099 0.64

10,053 Big Yellow Group Plc.


35,038 Bodycote Plc.


10,446 British Polythene Industries Plc.


54,210 Chesnara Plc. (Insurance) 269,673 0.06

9,120 CLS Holdings Plc. (Real Estate) 279,029 0.06

12,629 DS Smith Plc. (Forest Products & Paper) 68,432 0.01

21,718 E2V Technologies Plc. (Semiconductors) 83,846 0.02

23,271 Galliford Try Plc. (Home Builders) 587,697 0.12

4,563 Go-Ahead Group Plc. (Transportation) 184,865 0.04

21,421 Greggs Plc.


122,857 Halfords Group Plc. (Retail) 902,874 0.19



10,317 Hilton Food Group Plc.




262,262 Inchcape Plc. (Distribution/Wholesale) 3,381,681 0.70

14,689 Keller Group Plc.



627,480 Man Group Plc.


15,280 Micro Focus International Plc. (Software) 308,711 0.06

39,590 Morgan Sindall Group Plc.



2,700 Rank Group Plc. (Entertainment) 8,607 0.00

154,606 Safestore Holdings Plc.

(Storage/Warehousing) 643,475 0.13

39,132 Segro Plc.


28,321 Soco International Plc. (Oil & Gas) 79,950 0.02

144,266 Speedy Hire Plc. (Commercial Services) 168,409 0.04

109,173 Spirit Pub Co., Plc. (Retail) 190,749 0.04

253,016 SVG Capital Plc. (Investment Companies) 1,984,503 0.41

162,714 Trinity Mirror Plc. (Media) 389,200 0.08



34,320 WH Smith Plc. (Retail) 810,698 0.17

37,242 WS Atkins Plc. (Commercial Services) 831,983 0.17

24,285,432 5.03

United States

5,374 A Schulman, Inc. (Chemicals) 229,846 0.05

8,840 Acorda Therapeutics, Inc. (Biotechnology) 269,443 0.06

1,231 Advent Software, Inc. (Software) 53,869 0.01

6,750 Aegion Corp. (Construction & Engineering) 120,285 0.03

76,607 AG Mortgage Investment Trust, Inc.


% of



% of



152



As at 31 May 2015




10,541 Aircastle Ltd.


52,400 Alacer Gold Corp. (Mining) 118,800 0.02

59,899 Alaska Air Group, Inc. (Airlines) 3,871,871 0.80

3,710 Alexander & Baldwin, Inc. (Real Estate) 152,370 0.03

130,015 Alon USA Energy, Inc. (Oil & Gas) 2,292,164 0.47

71,002 American Assets Trust, Inc.


21,204 American Water Works Co., Inc. (Water) 1,121,055 0.23

+ 55,084 Amtrust Financial Services, Inc.

(Insurance) 3,314,955 0.69

136,973 Anworth Mortgage Asset Corp.


23,893 Apollo Residential Mortgage, Inc.


38,967 Argan, Inc. (Construction & Engineering) 1,394,239 0.29

39,641 Armstrong World Industries, Inc.


20,447 Ashland, Inc. (Chemicals) 2,604,948 0.54

38,629 Barnes Group, Inc.


6,920 Benchmark Electronics, Inc. (Electronics) 160,821 0.03

2,881 Berry Plastics Group, Inc.


33,872 BioSpecifics Technologies Corp.


62,230 BJ’s Restaurants, Inc. (Retail) 2,848,889 0.59

9,347 Blount International, Inc.


8,034 Blucora, Inc. (Internet) 127,419 0.03

19,676 Brinker International, Inc. (Retail) 1,085,722 0.23

8,382 Brookline Bancorp, Inc.


35,208 Build-A-Bear Workshop, Inc. (Retail) 566,497 0.12

20,863 Cabot Corp. (Chemicals) 865,189 0.18

44,663 Cabot Microelectronics Corp.


12,208 California Water Service Group (Water) 291,649 0.06

273,107 Calix, Inc. (Telecommunications) 2,184,856 0.45

14,929 Cantel Medical Corp.


4,185 Carter’s, Inc. (Apparel) 431,976 0.09

131,014 Cash America International, Inc. (Retail) 3,521,656 0.73

76,235 Cato Corp. "A" (Retail) 2,842,803 0.59

10,371 Cavco Industries, Inc. (Home Builders) 752,209 0.16

16,484 Central Garden and Pet Co. "A"


5,443 Central Pacific Financial Corp. (Banks) 127,475 0.03

4,638 Charter Financial Corp.


6,397 Checkpoint Systems, Inc. (Electronics) 62,499 0.01

77,981 Cinemark Holdings, Inc. (Entertainment) 3,160,570 0.65

32,058 Cintas Corp. (Commercial Services) 2,759,873 0.57

5,126 Citi Trends, Inc. (Retail) 123,280 0.03

89,659 Constant Contact, Inc. (Software) 2,444,104 0.51

82,454 Cooper Tire & Rubber Co.


18,005 Coresite Realty Corp.


47,664 CRA International, Inc.


10,048 Cracker Barrel Old Country Store, Inc.

(Retail) 1,417,572 0.29

3,305 Cubic Corp. (Aerospace & Defence) 157,979 0.03

19,498 Curtiss-Wright Corp.


30,706 CVB Financial Corp. (Banks) 503,578 0.10

+ 23,969 CVR Energy, Inc. (Oil & Gas) 929,038 0.19

82,860 Delek US Holdings, Inc. (Oil & Gas) 3,137,080 0.65



7,858 Denny’s Corp. (Retail) 81,959 0.02

259,150 DHI Group, Inc. (Internet) 2,195,000 0.45

83,109 DiamondRock Hospitality Co.


10,013 Diodes, Inc. (Semiconductors) 265,144 0.06

3,001 DTS Inc. (Home Furnishings) 95,222 0.02

37,786 DYAX Corp. (Pharmaceuticals) 995,283 0.21

203,725 Dynex Capital, Inc.


359,126 EarthLink Holdings Corp.


65,167 EMCOR Group, Inc.


84,507 Emergent Biosolutions, Inc.

(Biotechnology) 2,692,393 0.56

38,300 Empire State Realty Trust, Inc. "A"


58,193 Equity Lifestyle Properties, Inc.


88,309 Ethan Allen Interiors, Inc.


5,712 Evercore Partners, Inc. "A"


65,093 First Industrial Realty Trust, Inc.


28,187 Gaming and Leisure Properties, Inc.

(Entertainment) 1,031,644 0.21

8,761 Genesco, Inc. (Retail) 579,891 0.12

953 Genesee & Wyoming, Inc. "A"


14,605 Genomic Health, Inc.


18,929 Geo Group, Inc.


101,593 Green Plains, Inc.


54,796 Groupon, Inc. (Internet) 349,598 0.07

55,065 Health Net, Inc. (Healthcare Services) 3,427,246 0.71

92,273 Heidrick & Struggles International, Inc.


+ 68,963 hhgregg, Inc. (Retail) 265,508 0.06

8,865 Hill-Rom Holdings, Inc.


12,986 Hooker Furniture Corp.


91,912 Hospitality Properties Trust


11,284 Hudson Pacific Properties, Inc.


6,288 II-VI, Inc. (Semiconductors) 117,397 0.02

139,766 Infinity Pharmaceuticals, Inc.


38,800 Innophos Holdings, Inc. (Chemicals) 2,021,868 0.42

58,465 Insperity, Inc. (Commercial Services) 3,076,428 0.64

41,535 Integrated Device Technology, Inc.


63,874 Investment Technology Group, Inc.


14,000 Iron Mountain, Inc.


11,155 Ironwood Pharmaceuticals, Inc.


53,685 Isis Pharmaceuticals, Inc. (Biotechnology) 3,614,074 0.75

34,182 Jack in the Box, Inc. (Retail) 2,967,339 0.61

3,220 John B. Sanfilippo & Son, Inc.


4,283 John Wiley & Sons, Inc. "A" (Media) 248,500 0.05

79,125 K12, Inc. (Commercial Services) 1,083,221 0.22

751 Kirby Corp. (Transportation) 57,609 0.01

2,414 KMG Chemicals, Inc. (Chemicals) 71,720 0.02

% of



% of



153



As at 31 May 2015




94,496 Korn/Ferry International


54,551 Lamar Advertising Co. "A"


31,604 Lear Corp. (Auto Parts & Equipment) 3,666,696 0.76

40,113 Leggett & Platt, Inc. (Home Furnishings) 1,896,543 0.39

15,287 Lincoln Electric Holdings, Inc.

(Hand/Machine Tools) 1,027,439 0.21

37,695 LogMeIn, Inc. (Telecommunications) 2,392,502 0.50

3,209 Lydall, Inc.


5,777 Magellan Health Services, Inc.


15,771 Marriott Vacations Worldwide Corp.

(Entertainment) 1,392,264 0.29

68,545 Medifast, Inc. (Commercial Services) 2,206,464 0.46

68,963 Methode Electronics, Inc. (Electronics) 3,236,434 0.67

7,283 Microsemi Corp. (Semiconductors) 265,028 0.06

1,206 MicroStrategy, Inc. "A" (Software) 212,232 0.04

12,463 Monarch Casino & Resort, Inc.

(Lodging) 241,533 0.05

2,724 Moog, Inc. "A" (Aerospace & Defence) 186,948 0.04

4,160 MSCI, Inc. (Software) 258,128 0.05

31,096 NASDAQ OMX Group, Inc.


21,571 National Instruments Corp. (Electronics) 645,189 0.13

981 National Presto Industries, Inc.


8,544 Natus Medical, Inc. (Healthcare Products) 333,729 0.07

+ 9,386 NetScout Systems, Inc. (Computers) 376,191 0.08

+ 69,498 NTELOS Holdings Corp.


104,697 Nuance Communications, Inc. (Software) 1,766,238 0.37

34,010 NuVasive, Inc. (Healthcare Products) 1,719,206 0.36

50,483 Oceaneering International, Inc.


6,470 Olympic Steel, Inc.


104,952 Omnivision Technologies, Inc.


39,931 OSI Systems, Inc. (Electronics) 2,884,615 0.60

39,433 OUTFRONT Media, Inc.


80,616 Owens Corning (Building Materials) 3,414,894 0.71

109,021 PBF Energy, Inc. "A" (Oil & Gas) 2,923,943 0.61

18,977 Pericom Semiconductor Corp.


38,819 Perry Ellis International, Inc. (Apparel) 953,395 0.20

+ 36,277 Pilgrim’s Pride Corp.


38,792 Pinnacle Foods, Inc.


34,223 Pinnacle West Capital Corp. (Electric) 2,084,865 0.43

12,181 Pioneer Energy Services Corp.

(Oil & Gas Services) 85,511 0.02

15,762 Piper Jaffray Cos


241,739 Polycom, Inc. (Telecommunications) 3,256,224 0.67

2,293 Polypore International, Inc.


115,406 Progress Software Corp. (Software) 3,038,640 0.63

17,921 Prosperity Bancshares, Inc. (Banks) 960,028 0.20

3,718 PS Business Parks, Inc.


78,722 QLogic Corp. (Semiconductors) 1,221,765 0.25

92,536 QuinStreet, Inc. (Internet) 548,738 0.11

19,686 Quintiles Transnational Holdings, Inc.


67,878 Rackspace Hosting, Inc. (Software) 2,721,229 0.56



8,284 Rayonier Advanced Materials


16,404 Regal Entertainment Group "A"


148,214 Regis Corp. (Retail) 2,395,138 0.50

39,059 Reinsurance Group of America, Inc.

(Insurance) 3,653,969 0.76

25,774 Repligen Corp. (Biotechnology) 1,050,548 0.22

36,363 REX American Resources Corp.


8,658 RR Donnelley & Sons Co.


14,033 Sagent Pharmaceuticals, Inc.


107,816 Schnitzer Steel Industries, Inc. "A"

(Iron/Steel) 1,930,985 0.40

116,165 Sciclone Pharmaceuticals, Inc.


22,227 Seattle Genetics, Inc. (Biotechnology) 957,761 0.20

39,407 SEI Investments Co.


95,566 Select Comfort Corp.


98,781 Sonic Corp. (Retail) 2,977,259 0.62

+ 95,914 Spectrum Pharmaceuticals, Inc.


50,524 SS&C Technologies Holdings, Inc.

(Software) 2,977,379 0.62

23,180 Steel Dynamics, Inc. (Iron/Steel) 505,556 0.10

1,799 Strayer Education, Inc.


120,297 Sunstone Hotel Investors, Inc.


72,555 Superior Energy Services, Inc.


8,904 Synopsys, Inc. (Computers) 444,221 0.09

4,593 Tempur-Pedic International, Inc.


90,139 Tower International, Inc.


2,614 Trinity Industries, Inc.


23,423 United Therapeutics Corp. (Biotechnology) 4,303,274 0.89

39,263 Universal Electronics, Inc.


1,009 Universal Forest Products, Inc.


5,218 Vail Resorts, Inc. (Entertainment) 541,315 0.11

1,677 Vectren Corp. (Gas) 71,390 0.01

65,557 Vectrus, Inc. (Software & Services) 1,644,825 0.34

19,717 Wabash National Corp.


50,694 Weingarten Realty Investors


69,381 Western Refining, Inc. (Oil & Gas) 3,051,376 0.63

+ 30,291 World Acceptance Corp.


13,933 World Fuel Services Corp. (Retail) 697,068 0.14

41,117 WP Glimcher, Inc.


31,023 Zumiez, Inc. (Retail) 926,347 0.19

242,410,709 50.20

TOTAL COMMON STOCKS

(cost USD 415 ,133 ,836) 452,975,506 93.81

% of



% of



154



As at 31 May 2015



Ireland


(X Distribution Class)(b)(c) 15,834,062 3.28

TOTAL MUTUAL FUNDS

(cost USD 15 ,834 ,062) 15,834,062 3.28



(cost USD 430 ,967 ,898) 468,809,568 97.09



(cost USD 430 ,967 ,898) 468,809,568 97.09





GBP

13 FTSE 100 Index

Futures 19/06/2015 Long 1,392,304 6,191 0.00

JPY

10 TOPIX Index

Futures 11/06/2015 Long 1,385,127 44,967 0.01





CAD

5 S&P TSX 60 Index

Futures 18/06/2015 Long 711,467 (2,083) (0.00)

EUR

82 DJ Euro STOXX 50

Index Futures

19/06/2015 Long 3,221,415 (92,747) (0.01)

HKD

1 Hang Seng Index

Futures 29/06/2015 Long 175,205 (1,960) (0.00)

USD

55 Mini-Russell 2000

Index Futures

19/06/2015 Long 6,843,650 (37,235) (0.01)



Unrealised % of



USD 3,057,484 EUR 2,809,000 01/06/2015 (31,152) (0.01)

USD 86,482 EUR 79,000 02/06/2015 (382) (0.00)

UNREALISED LOSS ON FORWARD

CURRENCY CONTRACTS (31,534) (0.01)

% of



Net Local Unrealised % of

Notional Maturity Gain/Loss Shareholders’

Amount Security Description Date USD Equity

Swap Contracts – 0.06%

Equity Basket Swap 31/05/2016

223,833 Austral Ltd. (40,130) (0.01)

153,011 Australian Pharmaceutical Industries Ltd. 6,737 0.00

3,438 Blackmores Ltd. 31,861 0.01

16,577 BT Investment Management Ltd. (2,743) (0.00)

321,800 Cabcharge Australia Ltd. 59,373 0.01

82,623 CSR Ltd. 26,807 0.01

597,348 Downer EDI Ltd. 253,662 0.05

22,979 Independence Group NL (22,339) (0.01)

73,403 M2 Group Ltd. (15,706) (0.00)

179,227 NIB Holdings Ltd. (14,561) (0.00)

270,469 Northern Star Resources Ltd. 13,989 0.00

23,014 Nufarm Ltd. 3,313 0.00

200,409 RCR Tomlinson Ltd. (16,864) (0.00)

1,940,800 Saracen Mineral Holdings Ltd. 12,205 0.00

379,230 Sigma Pharmaceuticals Ltd. (9,419) (0.00)

64,871 Thorn Group Ltd. 11,993 0.00

TOTAL 298,178 0.06

Other (10,169) (0.00)

TOTAL EQUITY BASKET SWAP 288,009 0.06

(Commitment Market Va lue USD 7 ,917 ,308)


(cost USD 430 ,967 ,898) 468,983,176 97.13



% of




(cost USD 430,967,898) 468,809,568 97.09




Unrealised gain on swap contracts 288,009 0.06




The counterparty for forward currency contracts was Deutsche Bank AG.

The counterparty for swap contracts was Morgan Stanley International.



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

(b) A related party to Goldman Sachs Funds.


155



As at 31 May 2015

% of

Shareholders’


Common StocksReal Estate Investment Trust 7.36

Retail 6.27




Insurance 4.82

Auto Parts & Equipment 3.48

Software 3.34

Biotechnology 3.11

Electronics 2.96

Others 46.34


Mutual Funds 3.28



Unrealised Gain On Forward Currency Contracts (0.01)

Unrealised Gain On Swap Contracts 0.06


TOTAL 100.00


156



As at 31 May 2015

Goldman Sachs Funds—Growth & Emerging Markets CORE® Equity Portfolio



Brazil

234,480 Banco Bradesco S.A. (Banks) 1,924,255 0.63

227,660 Banco Bradesco S.A.—ADR(a) (Banks) 2,003,408 0.65

570,100 Banco do Brasil S.A. (Banks) 4,060,663 1.32

283,500 BRF S.A. (Food, Beverages & Tobacco) 5,723,102 1.87

34,300 Cosan S.A. Industria e Comercio


75,300 Fibria Celulose S.A.


18,100 Itau Unibanco Holding S.A. (Banks) 184,027 0.06

514,030 Itau Unibanco Holding S.A.—ADR(a) (Banks) 5,500,121 1.80


(Banks) 480,659 0.16

274,400 JBS S.A. (Food, Beverages & Tobacco) 1,340,801 0.44

102,600 Ultrapar Participacoes S.A. (Chemicals) 2,205,871 0.72

24,724,858 8.08

Chile

155,859 Empresa Nacional de Electricidad S.A.

(Electric) 232,853 0.08

China


2,640,000 Air China Ltd. "H" (Airlines) 3,245,699 1.06


12,021,000 Bank of China Ltd. "H" (Banks) 7,986,551 2.61

4,210,000 Bank of Communications Co., Ltd. "H"

(Banks) 4,008,205 1.31

860,000 Beijing Capital International Airport Co., Ltd. "H"


9,114,000 China Construction Bank Corp. "H" (Banks) 9,159,208 2.99

679,000 China Medical System Holdings Ltd.


504,000 China Southern Airlines Co., Ltd. "H"

(Airlines) 516,903 0.17

6,984,000 China Telecom Corp., Ltd. "H"


4,302,000 Chongqing Rural Commercial Bank "H"

(Banks) 3,496,410 1.14

638,000 Datang International Power

Generation Co., Ltd. "H" (Electric) 373,670 0.12

2,536,000 Dongfeng Motor Group Co., Ltd. ‘‘H’’


442,800 Haitong Securities Co., Ltd. "H"




154,000 Huadian Power International Corp., Ltd. "H"

(Electric) 178,008 0.06


(Banks) 216,828 0.07

1,472,500 KWG Property Holding Ltd. (Real Estate) 1,405,719 0.46

1,795,000 Metallurgical Corp. of China Ltd. "H"


13,200 NetEase, Inc.—ADR(a) (Software) 1,866,612 0.61

2,080,000 PICC Property & Casualty Co., Ltd. "H"

(Insurance) 4,770,968 1.56

966,000 Shenzhen Expressway Co., Ltd.


515,000 Sihuan Pharmaceutical Holdings Group Ltd.(b)


638,000 Sinopec Shanghai Petrochemical Co., Ltd.

(Chemicals) 312,763 0.10

705,000 Sunac China Holdings Ltd. (Real Estate) 828,551 0.27



China – (continued)

181,000 Travelsky Technology Ltd. "H" (Software) 313,826 0.10


1,418,000 Zhejiang Expressway Co., Ltd. "H"


71,032,745 23.21

Czech Republic

7,025 Komercni Banka AS (Banks) 1,506,229 0.49

Greece

5,966 FF Group (Retail) 162,866 0.06

63,549 OPAP S.A. (Entertainment) 620,081 0.20

782,947 0.26

Hong Kong

310,000 China Everbright Ltd.


772,000 China Overseas Land & Investment Ltd.

(Real Estate) 2,798,563 0.92

372,000 China Travel International Investment

Hong Kong Ltd. (Leisure Time) 181,884 0.06

520,000 Far East Horizon Ltd.


394,000 Guangdong Investment Ltd. (Water) 551,998 0.18

1,973,000 Huabao International Holdings Ltd.

(Chemicals) 1,903,882 0.62



1,640,000 Skyworth Digital Holdings Ltd.


13,495,389 4.41

Hungary

7,474 MOL Hungarian Oil & Gas Plc. (Oil & Gas) 389,648 0.13

India

233,813 Bharat Petroleum Corp., Ltd. (Oil & Gas) 3,112,381 1.02

56,016 Cadila Healthcare Ltd. (Pharmaceuticals) 1,651,021 0.54

94,951 Idea Cellular Ltd. (Telecommunications) 257,499 0.08

426,643 IFCI Ltd. (Diversified Financial Services) 207,088 0.07

+ 214,517 Infosys Ltd.—ADR(a) (Computers) 6,836,657 2.23

528,588 Rural Electrification Corp., Ltd.


168,191 Tata Motors Ltd. "A"


52,085 Wockhardt Ltd. (Pharmaceuticals) 1,179,260 0.39

16,488,626 5.39

Indonesia

8,961,300 Bank Negara Indonesia Persero Tbk PT

(Banks) 4,658,873 1.52

Korea

8,974 AK Holdings, Inc. (Chemicals) 745,775 0.24



28,127 AMOREPACIFIC Group


237,589 Asiana Airlines, Inc. (Airlines) 1,479,237 0.48

8,559 Bukwang Pharmaceutical Co., Ltd.


1,526 CJ Corp.


94,726 Daewoo Securities Co., Ltd.


39,701 Golfzon Yuwon Holdings Co., Ltd.


% of



% of



157



As at 31 May 2015





1,823 Hanil Cement Co., Ltd.


8,716 Hanjin Transportation Co., Ltd.



6,327 Huchems Fine Chemical Corp. (Chemicals) 148,434 0.05

23,026 Hyosung Corp.

(Metal Fabricate/Hardware) 2,389,344 0.78

57,981 Hyundai Development Co-Engineering &

Construction (Home Builders) 3,165,216 1.03

1,153 Hyundai Motor Co.—2nd Preferred


22,200 Hyundai Securities Co., Ltd.


23,193 Korea Electric Power Corp. (Electric) 966,855 0.32

31,220 Korea Investment Holdings Co., Ltd.


+ 217,015 Korea Real Estate Investment Trust Co., Ltd.

(Real Estate) 614,868 0.20



6,539 LG Household & Health Care Ltd.


781 LG Household & Health Care Ltd.—Preferred


11,068 Lotte Chemical Corp. (Chemicals) 2,356,912 0.77

5,067 Medy-Tox, Inc. (Biotechnology) 2,129,672 0.70

+ 134,072 Meritz Securities Co., Ltd.


13,705 S-Oil Corp. (Oil & Gas) 816,179 0.27



1,624 Samsung Electronics Co., Ltd.—Preferred



51,159,108 16.71

Malaysia

80,300 Lafarge Malaysia Bhd


303,500 Top Glove Corp. Bhd


656,798 0.21

Mexico

325,235 America Movil SAB de CV—ADR—Series L(a)


52,300 El Puerto de Liverpool SAB de CV "C1"

(Retail) 587,217 0.19

334,200 Gruma SAB de CV "B"


14,200 Grupo Aeroportuario del Pacifico

SAB de CV—ADR(a)


22,180 Grupo Aeroportuario del

Sureste SAB de CV—ADR(a)


411,900 Grupo Mexico SAB de CV—Series "B"

(Mining) 1,273,630 0.42

983,000 Wal-Mart de Mexico SAB de CV (Retail) 2,423,202 0.79

19,725,921 6.44

Peru

23,791 Credicorp Ltd. (Banks) 3,357,862 1.10


Poland

46,649 Energa S.A. (Electric) 284,709 0.09

41,250 KGHM Polska Miedz S.A. (Mining) 1,265,378 0.42

82,741 Polski Koncern Naftowy Orlen S.A.

(Oil & Gas) 1,556,599 0.51

295,077 Polskie Gornictwo Naftowe i Gazownictwo S.A.

(Oil & Gas) 498,945 0.16

3,605,631 1.18

Qatar

9,741 Qatar National Bank SAQ (Banks) 502,880 0.16

Russia


(traded in United States)(a)

(Oil & Gas) 1,670,049 0.54

62,702 Lukoil OAO—ADR


(Oil & Gas) 2,993,394 0.98

297,270 MMC Norilsk Nickel OJSC—ADR(a) (Mining) 5,236,411 1.71

49,022 Tatneft OAO—ADR(a) (Oil & Gas) 1,643,217 0.54

11,543,071 3.77

Singapore

298,100 Silverlake Axis Ltd. (Software) 257,459 0.08

South Africa

30,737 Barclays Africa Group Ltd. (Banks) 443,912 0.14

73,627 Clicks Group Ltd. (Retail) 521,354 0.17

22,728 DataTec Ltd. (Computers) 124,308 0.04

1,229,203 FirstRand Ltd. (Banks) 5,253,112 1.71

128,933 Investec Ltd.


264,321 MMI Holdings Ltd. (Insurance) 665,161 0.22

74,282 Mondi Ltd. (Forest Products & Paper) 1,681,330 0.55

13,483 Nedbank Group Ltd. (Banks) 267,050 0.09

802,709 Netcare Ltd. (Healthcare Services) 2,566,901 0.84

80,408 Rand Merchant Insurance Holdings Ltd.


49,522 RMB Holdings Ltd.


145,268 Standard Bank Group Ltd. (Banks) 1,887,520 0.62

339,722 Super Group Ltd. (Transportation) 915,213 0.30

16,044,500 5.24

Taiwan

3,390,000 Advanced Semiconductor Engineering, Inc.


1,146,000 Cathay Financial Holding Co., Ltd.

(Insurance) 2,049,829 0.67

135,000 China Synthetic Rubber Corp.

(Chemicals) 141,189 0.05

1,121,000 Elite Material Co., Ltd. (Electronics) 1,939,371 0.63

138,000 Formosan Rubber Group, Inc.

(Chemicals) 138,481 0.05

2,620,000 Fubon Financial Holding Co., Ltd.


284,000 Grand Pacific Petrochemical (Chemicals) 176,731 0.06

35,000 Grape King Bio Ltd.


143,000 Greatek Electronics, Inc.


136,000 Highwealth Construction Corp.

(Real Estate) 341,185 0.11


(Electronics) 2,004,666 0.65

50,000 Kung Long Batteries Industrial Co. Ltd.


164,000 Nien Hsing Textile Co., Ltd. (Apparel) 137,856 0.05

% of



% of



158



As at 31 May 2015


% of



% of




Taiwan – (continued)

2,193,000 Siliconware Precision Industries Co., Ltd.


73,000 Simplo Technology Co., Ltd. (Electronics) 336,542 0.11

375,000 Sitronix Technology Corp.


102,000 Soft-World International Corp. (Software) 258,880 0.08

602,000 Taiwan Paiho Ltd. (Textiles) 1,784,837 0.58

304,600 Taiwan Semiconductor Manufacturing

Co., Ltd.—ADR(a) (Semiconductors) 7,395,688 2.42

352,000 United Integrated Services Co., Ltd.


721,000 Wan Hai Lines Ltd. (Transportation) 688,277 0.22

33,674,097 11.00

Thailand



207,900 Delta Electronics Thailand PCL


284,600 PTT PCL (Oil & Gas) 2,935,678 0.96

259,400 Supalai PCL (Real Estate) 141,112 0.05

5,138,599 1.68

Turkey

132,360 Aksa Akrilik Kimya Sanayii AS

(Chemicals) 541,970 0.18

+ 2,627,602 Eregli Demir ve Celik Fabrikalari TAS

(Iron/Steel) 4,224,694 1.38

236,365 TAV Havalimanlari Holding AS


420,785 Tofas Turk Otomobil Fabrikasi AS


124,283 Tupras Turkiye Petrol Rafinerileri AS

(Oil & Gas) 3,109,409 1.02

407,813 Turk Hava Yollari AO (Airlines) 1,381,846 0.45

14,073,410 4.60

United States

+ 149,100 Southern Copper Corp. (Mining) 4,475,982 1.46

TOTAL COMMON STOCKS

(cost USD 278 ,122 ,656) 297,527,486 97.20


United States

28,732 Vanguard FTSE Emerging Markets ETF 1,216,513 0.40

TOTAL MUTUAL FUNDS

(cost USD 1 ,150 ,872) 1,216,513 0.40



(cost USD 279 ,273 ,528) 298,743,999 97.60


(cost USD 279 ,273 ,528) 298,743,999 97.60



% of









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

% of

Shareholders’



Semiconductors 9.57



Oil & Gas 4.61

Mining 4.01



Internet 3.69


Others 35.04


Mutual Funds 0.40


TOTAL 100.00

159



As at 31 May 2015

Goldman Sachs Funds—US CORE® Equity Portfolio

% of



% of





Aerospace & Defence

63,331 Boeing Co. 8,899,272 1.22

Agriculture

23,326 Archer-Daniels-Midland Co. 1,232,779 0.17

30,960 Bunge Ltd. 2,865,658 0.39

4,098,437 0.56

Airlines

83,347 Alaska Air Group, Inc. 5,387,550 0.74

66,526 Delta Air Lines, Inc. 2,855,296 0.39

175,486 Southwest Airlines Co. 6,501,756 0.89

14,744,602 2.02

Apparel

88,650 VF Corp. 6,243,620 0.86


39,309 Delphi Automotive Plc. 3,419,097 0.47

135,726 Johnson Controls, Inc. 7,060,466 0.97

2,727 Lear Corp. 316,387 0.04

10,795,950 1.48


319,899 Ford Motor Co. 4,852,868 0.66

Banks

581,593 Bank of America Corp. 9,596,285 1.31

14,187 Bank of Hawaii Corp. 890,518 0.12

89,269 Capital One Financial Corp. 7,459,318 1.02

232,125 JPMorgan Chase & Co. 15,269,182 2.09

50,273 Wells Fargo & Co. 2,813,277 0.39

149,071 Zions Bancorporation 4,305,170 0.59

40,333,750 5.52

Biotechnology

64,239 Amgen, Inc. 10,037,986 1.37

10,932 Biogen, Inc. 4,339,895 0.59

79,062 Celgene Corp. 9,047,855 1.24

109,944 Gilead Sciences, Inc. 12,343,413 1.69

18,981 Isis Pharmaceuticals, Inc. 1,277,801 0.18

37,046,950 5.07

Building Materials

85,876 Owens Corning 3,637,707 0.50

Chemicals

18,478 Ashland, Inc. 2,354,097 0.32

112,564 E.I. du Pont de Nemours & Co. 7,993,170 1.10

10,347,267 1.42

Computers

64,048 Accenture Plc. "A" 6,151,170 0.84

254,072 Apple, Inc. 33,100,500 4.53

283,613 EMC Corp. 7,470,367 1.02

231,395 Hewlett-Packard Co. 7,728,593 1.06

121,031 NetApp, Inc. 4,042,435 0.56

31,276 Western Digital Corp. 3,045,031 0.42

61,538,096 8.43


114,063 Colgate-Palmolive Co. 7,618,268 1.04

15,596 Procter & Gamble Co. 1,222,570 0.17

8,840,838 1.21



93,569 American Express Co. 7,459,321 1.02

24,474 Ameriprise Financial, Inc. 3,049,215 0.42

10,508,536 1.44

Electric

19,532 AES Corp. 265,635 0.04

118,161 American Electric Power Co., Inc. 6,651,283 0.91

22,030 Edison International 1,339,644 0.18

6,107 Public Service Enterprise Group, Inc. 260,342 0.04

8,516,904 1.17

Electronics

12,079 Corning, Inc. 252,693 0.04

170,679 Flextronics International Ltd. 2,073,750 0.28

122,756 Garmin Ltd. 5,582,943 0.76

21,770 Thermo Fisher Scientific, Inc. 2,822,045 0.39

10,731,431 1.47

Entertainment

7,123 Cinemark Holdings, Inc. 288,695 0.04

10,680 Gaming and Leisure Properties, Inc. 390,888 0.05

679,583 0.09


185,234 Altria Group, Inc. 9,483,981 1.30

8,352 Hormel Foods Corp. 477,902 0.06

94,429 Kroger Co. 6,874,431 0.94

114,994 PepsiCo, Inc. 11,088,871 1.52

27,925,185 3.82

Forest Products & Paper

9,595 International Paper Co. 497,309 0.07

Healthcare Products

6,366 Edwards Lifesciences Corp. 832,163 0.11

9,999 Medtronic Plc. 763,124 0.11

1,595,287 0.22

Healthcare Services

17,048 Aetna, Inc. 2,011,152 0.27

52,052 UnitedHealth Group, Inc. 6,257,171 0.86

8,268,323 1.13

Insurance

11,914 Assured Guaranty Ltd. 340,621 0.05

109,565 Berkshire Hathaway, Inc. "B" 15,667,795 2.15

4,080 Lincoln National Corp. 232,601 0.03

41,559 Reinsurance Group of America, Inc. 3,887,844 0.53

62,346 Travelers Cos., Inc. 6,304,428 0.86

26,433,289 3.62

Internet

19,239 Amazon.com, Inc. 8,257,956 1.13

12,415 Facebook, Inc. "A" 983,144 0.13

14,857 Google, Inc. "A" 8,101,819 1.11

15,789 Google, Inc. "C" 8,401,485 1.15

17,360 Symantec Corp. 427,490 0.06

26,171,894 3.58

Iron/Steel

124,797 Nucor Corp. 5,902,898 0.81

Leisure Time

134,495 Carnival Corp. 6,231,153 0.85

160



As at 31 May 2015



Media

194,889 Comcast Corp. "A" 11,393,211 1.56

22,329 DIRECTV 2,032,832 0.28

10,622 Time Warner Cable, Inc. 1,921,414 0.26

83,915 Twenty-First Century Fox, Inc. "A" 2,819,544 0.39

46,324 Twenty-First Century Fox, Inc. "B" 1,549,074 0.21

96,547 Viacom, Inc. "B" 6,457,063 0.88

70,548 Walt Disney Co. 7,786,383 1.07

33,959,521 4.65

Mining

113,797 Alcoa, Inc. 1,422,463 0.20


58,781 3M Co. 9,350,881 1.28

87,750 Danaher Corp. 7,574,580 1.04

599,991 General Electric Co. 16,361,755 2.24

33,287,216 4.56

Office/Business Equipment

384,747 Xerox Corp. 4,393,811 0.60

Oil & Gas

45,005 California Resources Corp. 353,289 0.05

6,303 Chevron Corp. 649,209 0.09

+ 5,663 CVR Energy, Inc. 219,498 0.03

79,732 Exxon Mobil Corp. 6,793,166 0.93

131,481 HollyFrontier Corp. 5,476,184 0.75

62,441 Marathon Petroleum Corp. 6,460,146 0.88

96,864 PBF Energy, Inc. "A" 2,597,892 0.35

90,205 Phillips 66 7,137,020 0.98

36,276 Tesoro Corp. 3,210,426 0.44

111,939 Valero Energy Corp. 6,631,266 0.91

39,528,096 5.41

Oil & Gas Services

24,682 Baker Hughes, Inc. 1,591,002 0.22

112,779 Cameron International Corp. 5,788,946 0.79

141,156 FMC Technologies, Inc. 5,898,909 0.81

98,835 Oceaneering International, Inc. 5,020,818 0.69

42,535 Oil States International, Inc. 1,738,831 0.24

56,842 Schlumberger Ltd. 5,159,548 0.70

93,033 Superior Energy Services, Inc. 2,148,132 0.29

27,346,186 3.74

Pharmaceuticals

136,025 Abbott Laboratories 6,610,815 0.91

59,042 AbbVie, Inc. 3,931,607 0.54

28,340 AmerisourceBergen Corp. 3,189,950 0.44

146,025 Bristol-Myers Squibb Co. 9,433,215 1.29

65,251 Cardinal Health, Inc. 5,753,181 0.79

163,635 Johnson & Johnson 16,386,409 2.24

188,623 Merck & Co., Inc. 11,485,254 1.57

402,186 Pfizer, Inc. 13,975,964 1.91

70,766,395 9.69

Pipelines

47,604 Spectra Energy Corp. 1,674,233 0.23

Real Estate

87,305 CBRE Group, Inc. "A" 3,338,543 0.46




65,484 Crown Castle International Corp. 5,340,220 0.73

10,657 Equity Residential 792,028 0.11

89,502 Hospitality Properties Trust 2,702,065 0.37

40,872 Lamar Advertising Co. "A" 2,477,661 0.34

62,820 OUTFRONT Media, Inc. 1,740,742 0.24

7,873 Post Properties, Inc. 447,265 0.06

92,305 Weingarten Realty Investors 3,113,448 0.43

23,427,927 3.21

Retail

81,534 Best Buy Co., Inc. 2,829,230 0.39

98,659 CVS Health Corp. 10,100,709 1.38

62,670 Gap, Inc. 2,402,141 0.33

7,699 L Brands, Inc. 666,118 0.09

97,049 Lowe’s Cos., Inc. 6,791,489 0.93

93,604 Target Corp. 7,424,669 1.02

41,124 TJX Cos., Inc. 2,647,563 0.36

73,231 Wal-Mart Stores, Inc. 5,438,866 0.74

55,011 World Fuel Services Corp. 2,752,200 0.38

41,052,985 5.62

Semiconductors

356,845 Intel Corp. 12,296,879 1.68

136,402 Texas Instruments, Inc. 7,627,600 1.05

19,924,479 2.73

Software

82,084 Automatic Data Processing, Inc. 7,019,003 0.96

52,450 Citrix Systems, Inc. 3,409,775 0.47

11,383 Electronic Arts, Inc. 714,340 0.10

7,159 Fiserv, Inc. 573,794 0.08

166,030 Microsoft Corp. 7,780,166 1.06

11,423 MSCI, Inc. 708,797 0.10

123,369 Oracle Corp. 5,365,318 0.73

41,825 Rackspace Hosting, Inc. 1,676,764 0.23

51,371 Salesforce.com, Inc. 3,737,240 0.51

30,985,197 4.24

Telecommunications

171,603 CenturyLink, Inc. 5,704,084 0.78

380,349 Cisco Systems, Inc. 11,148,029 1.53

276,924 Verizon Communications, Inc. 13,691,122 1.87

30,543,235 4.18

Textiles

31,949 Mohawk Industries, Inc. 5,962,961 0.82

Transportation

16,460 United Parcel Service, Inc. "B" 1,633,161 0.22

TOTAL COMMON STOCKS

(cost USD 689 ,976 ,598) 714,087,558 97.78

% of



% of



161



As at 31 May 2015





TOTAL MUTUAL FUNDS

(cost USD 13 ,544 ,278) 13,544,278 1.86



(cost USD 703 ,520 ,876) 727,631,836 99.64



(cost USD 703 ,520 ,876) 727,631,836 99.64





USD

50 E-Mini S&P 500

Index Futures

19/06/2015 Long 5,265,000 35,750 0.00



(cost USD 703 ,520 ,876) 727,667,586 99.64



% of




(cost USD 703,520,876) 727,631,836 99.64









% of



162



As at 31 May 2015



Advertising

19,042 Harte-Hanks, Inc. 119,203 0.12

11,463 Marchex, Inc. "B" 55,710 0.05

174,913 0.17

Aerospace & Defence

3,051 Cubic Corp. 145,838 0.14

9,794 Curtiss-Wright Corp. 706,049 0.68

4,965 Ducommun, Inc. 115,635 0.11

9,664 Moog, Inc. "A" 663,240 0.63

1,630,762 1.56

Airlines

3,409 Allegiant Travel Co. 536,815 0.51

22,871 JetBlue Airways Corp. 461,080 0.44

997,895 0.95

Apparel

2,606 Unifi, Inc. 84,747 0.08


17,783 Cooper Tire & Rubber Co. 652,814 0.63

6,723 Miller Industries, Inc. 137,889 0.13

25,218 Modine Manufacturing Co. 282,189 0.27

13,395 Tower International, Inc. 368,496 0.35

1,441,388 1.38


41,222 Wabash National Corp. 558,146 0.53

Banks

640 Bancfirst Corp. 37,306 0.04

1,207 Banner Corp. 54,339 0.05

23,513 Central Pacific Financial Corp. 550,674 0.53

41,926 CVB Financial Corp. 687,586 0.66

213 First Citizens BancShares, Inc. "A" 51,354 0.05

21,572 First Interstate Bancsystem, Inc. "A" 587,621 0.56

10,603 First Midwest Bancorp, Inc. 188,309 0.18

2,332 Glacier Bancorp, Inc. 65,623 0.06

41,922 OFG Bancorp 550,855 0.53

4,153 PrivateBancorp, Inc. 158,354 0.15

13,765 Prosperity Bancshares, Inc. 737,391 0.71

1,489 Trustmark Corp. 35,513 0.03

1,268 UMB Financial Corp. 65,670 0.06

11,744 Wilshire Bancorp, Inc. 129,654 0.12

3,900,249 3.73

Biotechnology

13,598 Acorda Therapeutics, Inc. 414,467 0.40

3,450 Aegerion Pharmaceuticals, Inc. 67,206 0.06

22,150 Emergent Biosolutions, Inc. 705,699 0.68

6,205 Halozyme Therapeutics, Inc. 107,657 0.10

+ 15,781 Isis Pharmaceuticals, Inc. 1,062,377 1.02

5,497 Ligand Pharmaceuticals, Inc. "B" 484,341 0.46

4,342 NewLink Genetics Corp. 187,357 0.18

+ 44,546 PDL BioPharma, Inc. 297,567 0.28

6,052 Prothena Corp. Plc. 238,691 0.23

18,662 Repligen Corp. 760,663 0.73

1,359 Synageva BioPharma Corp. 290,024 0.28

4,616,049 4.42


Building Materials

1,670 Apogee Enterprises, Inc. 89,729 0.09

11,937 Continental Building Products, Inc. 266,195 0.25

9,754 LSI Industries, Inc. 92,371 0.09

10,578 Universal Forest Products, Inc. 585,598 0.56

1,033,893 0.99

Chemicals

15,140 A Schulman, Inc. 647,538 0.62

10,313 Innophos Holdings, Inc. 537,410 0.51

5,889 Intrepid Potash, Inc. 68,430 0.07

19,686 OM Group, Inc. 522,466 0.50

4,429 PolyOne Corp. 172,244 0.17

5,785 Sensient Technologies Corp. 391,645 0.37

2,339,733 2.24

Commercial Services

12,233 Bridgepoint Education, Inc. 113,767 0.11

672 Capella Education Co. 35,798 0.03

7,051 Heidrick & Struggles International, Inc. 177,262 0.17

11,994 Insperity, Inc. 631,124 0.60

28,003 K12, Inc. 383,361 0.37

22,473 Korn/Ferry International 721,159 0.69

3,281 Medifast, Inc. 105,615 0.10

910 Multi-Color Corp. 58,286 0.06

10,911 PAREXEL International Corp. 725,254 0.69

25,623 Quad/Graphics, Inc. 523,990 0.50

31,606 RPX Corp. 502,852 0.48

5,627 Strayer Education, Inc. 257,885 0.25

4,236,353 4.05

Computers

8,774 Insight Enterprises, Inc. 257,341 0.24

1,084 Manhattan Associates, Inc. 59,457 0.06

+ 16,269 NetScout Systems, Inc. 652,062 0.62

25,719 Sykes Enterprises, Inc. 623,171 0.60

21,418 TeleTech Holdings, Inc. 544,446 0.52

2,136,477 2.04


28,882 Aegion Corp. 514,677 0.49

15,007 EMCOR Group, Inc. 680,868 0.65

4,564 Granite Construction, Inc. 163,619 0.16

1,359,164 1.30


1,157 Inter Parfums, Inc. 38,678 0.04

Distribution/Wholesale

1,076 Hyster-Yale Materials 76,353 0.07

4,058 Watsco, Inc. 510,983 0.49

587,336 0.56


11,006 Aircastle Ltd. 267,006 0.26

2,932 Beneficial Bancorp, Inc. 35,917 0.03

5,562 BGC Partners, Inc. "A" 52,561 0.05

59,661 Brookline Bancorp, Inc. 652,691 0.63

12,677 Evercore Partners, Inc. "A" 646,147 0.62

1,345 Greenhill & Co., Inc. 52,374 0.05

20,859 Investment Technology Group, Inc. 560,273 0.54

27,828 Oritani Financial Corp. 409,628 0.39

1,220 WageWorks, Inc. 52,314 0.05

+ 2,618 World Acceptance Corp. 213,550 0.20

2,942,461 2.82

% of



% of



Goldman Sachs Funds—US Small Cap CORE® Equity Portfolio

163



As at 31 May 2015



8,416 General Cable Corp. 158,978 0.15

14,880 GrafTech International Ltd. 75,442 0.07

21,490 Kimball Electronics, Inc. 334,814 0.32

569,234 0.54

Electronics

26,309 Benchmark Electronics, Inc. 611,421 0.58

15,737 Methode Electronics, Inc. 738,537 0.71

8,509 OSI Systems, Inc. 614,690 0.59

28,403 Sanmina Corp. 615,209 0.59

5,227 Stoneridge, Inc. 62,358 0.06

24,362 TTM Technologies, Inc. 240,697 0.23

2,882,912 2.76

Energy-Alternate Sources

11,450 FutureFuel Corp. 137,400 0.13

23,617 Green Plains, Inc. 776,055 0.74

5,607 REX American Resources Corp. 358,119 0.35

1,271,574 1.22

Entertainment

8,455 Marriott Vacations Worldwide Corp. 746,408 0.71

4,731 Pinnacle Entertainment, Inc. 174,905 0.17

7,211 Vail Resorts, Inc. 748,069 0.72

1,669,382 1.60


2,737 John B. Sanfilippo & Son, Inc. 138,520 0.13

6,739 Lancaster Colony Corp. 601,388 0.58

1,206 Weis Markets, Inc. 52,063 0.05

791,971 0.76

Forest Products & Paper

16,741 PH Glatfelter Co. 393,246 0.38

Gas

2,648 New Jersey Resources Corp. 79,626 0.07

733 Southwest Gas Corp. 39,919 0.04

119,545 0.11

Healthcare Products

540 Atrion Corp. 202,435 0.19

13,967 Cantel Medical Corp. 650,304 0.62

1,490 Cepheid, Inc. 82,203 0.08

3,245 Cyberonics, Inc. 207,712 0.20

19,943 Genomic Health, Inc. 540,256 0.52

11,898 Greatbatch, Inc. 618,458 0.59

7,334 ICU Medical, Inc. 711,398 0.68

6,077 Invacare Corp. 132,053 0.13

2,225 Masimo Corp. 78,098 0.07

19,314 Meridian Bioscience, Inc. 351,515 0.34

17,125 Natus Medical, Inc. 668,903 0.64

14,870 NuVasive, Inc. 751,678 0.72

6,142 Orthofix International NV 201,273 0.19

3,064 SurModics, Inc. 75,620 0.07

2,290 Thoratec Corp. 103,943 0.10

5,375,849 5.14

Healthcare Services

10,267 Magellan Health Services, Inc. 694,357 0.66

9,039 Molina Healthcare, Inc. 657,497 0.63

10,524 Triple-S Management Corp. "B" 252,576 0.24

9,095 WellCare Health Plans, Inc. 779,169 0.75

2,383,599 2.28


Home Builders

8,535 Cavco Industries, Inc. 619,044 0.59

Home Furnishings

7,327 American Woodmark Corp. 376,168 0.36

2,252 DTS Inc. 71,456 0.07

22,568 Ethan Allen Interiors, Inc. 566,457 0.54

32,159 Kimball International, Inc. "B" 392,018 0.37

22,438 Select Comfort Corp. 698,944 0.67

10,830 Universal Electronics, Inc. 561,210 0.54

2,666,253 2.55

Household Products/Wares

1,614 CSS Industries, Inc. 44,530 0.04

5,332 Helen of Troy Ltd. 466,497 0.45

511,027 0.49

Insurance

17,479 American Equity Investment Life Holding Co. 444,141 0.42

+ 11,549 Amtrust Financial Services, Inc. 695,019 0.66

12,590 Argo Group International Holdings Ltd. 662,864 0.63

9,390 Maiden Holdings Ltd. 131,272 0.13

3,322 Selective Insurance Group, Inc. 90,060 0.09

28,494 Symetra Financial Corp. 696,963 0.67

2,720,319 2.60

Internet

9,085 Blucora, Inc. 144,088 0.14

25,904 Web.com Group, Inc. 587,244 0.56

2,946 WebMD Health Corp. 135,221 0.13

866,553 0.83

Iron/Steel

22,867 Schnitzer Steel Industries, Inc. "A" 409,548 0.39

Leisure Time

4,755 Callaway Golf Co. 44,887 0.04

1,397 Steiner Leisure Ltd. 68,537 0.07

113,424 0.11

Lodging

28,933 Boyd Gaming Corp. 414,031 0.40


5,522 Albany International Corp. "A" 218,560 0.21

6,464 Altra Holdings, Inc. 177,760 0.17

1,188 Kadant, Inc. 55,955 0.05

1,588 Tennant Co. 101,251 0.10

553,526 0.53

Media

13,529 Entercom Communications Corp. "A" 153,960 0.15

1,887 Scholastic Corp. 83,877 0.08

237,837 0.23


9,488 Mueller Industries, Inc. 330,752 0.32

Mining

3,847 Globe Specialty Metals, Inc. 74,362 0.07

17,652 Materion Corp. 656,478 0.63

3,577 RTI International Metals, Inc. 126,161 0.12

857,001 0.82

% of



% of




164



As at 31 May 2015



16,675 Barnes Group, Inc. 671,335 0.64

17,289 Blount International, Inc. 200,034 0.19

5,803 Federal Signal Corp. 86,349 0.08

6,241 Hillenbrand, Inc. 191,723 0.19

6,399 Polypore International, Inc. 383,364 0.37

4,772 Trimas Corp. 137,911 0.13

1,670,716 1.60

Oil & Gas

40,976 Alon USA Energy, Inc. 722,407 0.69

12,114 Bill Barrett Corp. 106,967 0.10

6,322 Contango Oil & Gas Co. 87,117 0.09

20,226 Delek US Holdings, Inc. 765,756 0.73

14,693 Western Refining, Inc. 646,198 0.62

2,328,445 2.23

Oil & Gas Services

28,110 Forum Energy Technologies, Inc. 583,001 0.55

41,315 Key Energy Services, Inc. 92,959 0.09

45,822 Pioneer Energy Services Corp. 321,671 0.31

997,631 0.95

Packaging & Containers

20,646 Berry Plastics Group, Inc. 691,021 0.66

33,636 Graphic Packaging Holding Co. 478,977 0.46

1,169,998 1.12

Pharmaceuticals

61,073 Array BioPharma, Inc. 467,208 0.45

7,085 Catalent, Inc. 226,437 0.22

29,813 DYAX Corp. 785,274 0.75

8,597 Impax Laboratories, Inc. 404,145 0.39

42,676 Infinity Pharmaceuticals, Inc. 553,081 0.53

45,700 Ironwood Pharmaceuticals, Inc. 644,827 0.62

7,231 Ophthotech Corp. 361,695 0.34

43,340 Orexigen Therapeutics, Inc. 212,366 0.20

5,263 Phibro Animal Health Corp. "A" 182,258 0.17

15,891 Prestige Brands Holdings, Inc. 697,933 0.67

21,074 Sagent Pharmaceuticals, Inc. 470,582 0.45

19,412 Sciclone Pharmaceuticals, Inc. 179,755 0.17

5,288 Sucampo Pharmaceuticals, Inc. "A" 85,824 0.08

5,271,385 5.04

Pharmaceuticals & Biotechnology

1,952 Enanta Pharmaceuticals, Inc. 79,798 0.08

Real Estate

4,388 Alexander & Baldwin, Inc. 180,215 0.17

10,169 Hilltop Holdings, Inc. 221,989 0.21

4,741 Marcus & Millichap, Inc. 222,401 0.22

624,605 0.60


15,161 American Assets Trust, Inc. 596,585 0.57

2,643 American Capital Mortgage Investment Corp. 46,173 0.04

101,996 Anworth Mortgage Asset Corp. 530,379 0.51

12,702 Coresite Realty Corp. 599,534 0.57

58,640 Cousins Properties, Inc. 565,876 0.54

31,519 CubeSmart 749,837 0.72

20,476 CyrusOne, Inc. 660,761 0.63

51,188 DiamondRock Hospitality Co. 674,146 0.65

6,947 DuPont Fabros Technology, Inc. 223,971 0.21

35,440 Empire State Realty Trust, Inc. "A" 640,755 0.61

33,135 First Industrial Realty Trust, Inc. 646,464 0.62


Real Estate Investment Trust – (continued)

17,211 Geo Group, Inc. 652,813 0.63

31,387 Hatteras Financial Corp. 563,711 0.54

20,765 Hudson Pacific Properties, Inc. 633,125 0.61

40,983 Invesco Mortgage Capital, Inc. 650,400 0.62

9,078 Parkway Properties, Inc. 156,051 0.15

7,031 PS Business Parks, Inc. 513,966 0.49

+ 17,847 Rouse Properties, Inc. 308,218 0.30

2,618 Sovran Self Storage, Inc. 238,788 0.23

15,778 Strategic Hotels & Resorts, Inc. 190,598 0.18

46,118 Sunstone Hotel Investors, Inc. 703,761 0.67

10,545,912 10.09

Retail

38,668 American Eagle Outfitters, Inc. 632,995 0.61

12,310 BJ’s Restaurants, Inc. 563,552 0.54

3,504 Bob Evans Farms, Inc. 160,939 0.15

8,890 Caleres, Inc. 274,968 0.26

26,732 Cash America International, Inc. 718,556 0.69

15,643 Cato Corp. "A" 583,328 0.56

5,052 Cracker Barrel Old Country Store, Inc. 712,736 0.68

47,309 Denny’s Corp. 493,433 0.47

48,428 Ezcorp, Inc. "A" 384,518 0.37

8,925 Genesco, Inc. 590,746 0.57

19,638 Haverty Furniture Cos., Inc. 412,594 0.39

+ 9,899 hhgregg, Inc. 38,111 0.04

9,140 Jack in the Box, Inc. 793,443 0.76

11,000 Papa John’s International, Inc. 755,810 0.72

3,945 Red Robin Gourmet Burgers, Inc. 328,974 0.31

32,574 Regis Corp. 526,396 0.50

21,088 Sonic Corp. 635,592 0.61

19,445 Stage Stores, Inc. 314,815 0.30

19,073 Texas Roadhouse, Inc. 667,936 0.64

18,499 Zumiez, Inc. 552,380 0.53

10,141,822 9.70

Semiconductors

14,686 Amkor Technology, Inc. 99,277 0.09

12,585 Cabot Microelectronics Corp. 581,175 0.56

20,742 Diodes, Inc. 549,248 0.53

22,760 II-VI, Inc. 424,929 0.41

34,903 Integrated Device Technology, Inc. 825,631 0.79

23,036 Microsemi Corp. 838,280 0.80

22,548 Omnivision Technologies, Inc. 607,894 0.58

34,997 QLogic Corp. 543,154 0.52

4,469,588 4.28

Software

9,195 Advent Software, Inc. 402,373 0.38

22,449 AVG Technologies NV 550,450 0.53

3,792 BroadSoft, Inc. 138,446 0.13

3,892 Computer Programs & Systems, Inc. 203,669 0.19

20,532 Constant Contact, Inc. 559,702 0.54

14,379 CSG Systems International, Inc. 448,481 0.43

6,839 Epiq Systems, Inc. 114,690 0.11

2,069 Imperva, Inc. 125,816 0.12

14,240 Mantech International Corp. "A" 405,555 0.39

3,559 MicroStrategy, Inc. "A" 626,313 0.60

5,145 Monotype Imaging Holdings, Inc. 133,461 0.13

25,905 Pegasystems, Inc. 566,283 0.54

24,040 Progress Software Corp. 632,973 0.61

4,655 Qlik Technologies, Inc. 168,371 0.16

13,622 SS&C Technologies Holdings, Inc. 802,745 0.77

5,879,328 5.63

% of



% of




165



As at 31 May 2015


Telecommunications

17,898 Calix, Inc. 143,184 0.14

2,784 Comtech Telecommunications Corp. 83,631 0.08

30,658 EarthLink Holdings Corp. 212,767 0.20

6,081 General Communication, Inc. "A" 97,722 0.09

74,263 Harmonic, Inc. 505,731 0.49

11,816 LogMeIn, Inc. 749,962 0.72

15,070 NETGEAR, Inc. 467,019 0.45

48,344 Polycom, Inc. 651,194 0.62

81,575 Vonage Holdings Corp. 380,139 0.36

3,291,349 3.15

Telecommunications Services

9,343 Spok Holdings, Inc. 162,101 0.15

Textiles

8,644 G&K Services, Inc. 602,314 0.58

Transportation

9,477 Air Transport Services Group, Inc. 99,698 0.10

7,848 ARCBEST Corp. 268,323 0.26

8,117 Atlas Air Worldwide Holdings, Inc. 442,214 0.42

21,062 Nordic American Tankers Ltd. 271,911 0.26

1,082,146 1.04

Water

14,416 California Water Service Group 344,398 0.33

TOTAL COMMON STOCKS

(cost USD 95 ,665 ,807) 102,496,407 98.08





TOTAL MUTUAL FUNDS

(cost USD 1 ,119 ,614) 1,119,614 1.07



(cost USD 96 ,785 ,421) 103,616,021 99.15



(cost USD 96 ,785 ,421) 103,616,021 99.15





USD

14 Mini-Russell

2000 Index Futures

19/06/2015 Long 1,742,020 (17,670) (0.02)



(cost USD 96 ,785 ,421) 103,598,351 99.13



% of












% of



% of



166



As at 31 May 2015

Goldman Sachs Funds—GIVI Europe Equity Portfolio

% of



% of





Austria

506 ams AG (Semiconductors) 27,349 0.03

845 Andritz AG (Machinery—Diversified) 47,565 0.05

2,020 BUWOG AG (Real Estate) 37,027 0.04

2,443 CA Immobilien Anlagen AG (Real Estate) 40,163 0.04

3,054 Conwert Immobilien Invest SE


389 Flughafen Wien AG


37,248 Immofinanz AG (Real Estate) 90,326 0.09

1,188 Oesterreichische Post AG (Transportation) 53,377 0.06

6,118 OMV AG (Oil & Gas) 158,150 0.16

697 RHI AG (Miscellaneous Manufacturing) 17,181 0.02

318 Schoeller-Bleckmann Oilfield Equipment AG


599 Semperit AG Holding


5,145 UNIQA Insurance Group AG (Insurance) 45,904 0.05

2,214 Verbund AG (Electric) 32,302 0.03

1,265 Vienna Insurance Group AG Wiener

Versicherung Gruppe (Insurance) 43,782 0.05

2,699 Voestalpine AG (Iron/Steel) 102,211 0.10

566 Zumtobel Group AG


819,946 0.84

Belgium

243 Aedifica S.A.




6 Banque Nationale de Belgique (Banks) 19,200 0.02

598 Befimmo S.A.


1,710 Belgacom S.A. (Telecommunications) 54,079 0.05

1,732 bpost S.A. (Transportation) 45,517 0.05

692 Cofinimmo S.A.


1,160 Colruyt S.A.


1,175 D’ieteren S.A. (Distribution/Wholesale) 41,971 0.04

2,586 Delhaize Group S.A.


1,262 Elia System Operator S.A. (Electric) 49,830 0.05

449 Fagron (Pharmaceuticals) 18,503 0.02

499 Financiere de Tubize S.A.


714 Galapagos NV (Pharmaceuticals) 37,378 0.04

1,205 Gimv NV (Investment Companies) 52,020 0.05

2,498 Groupe Bruxelles Lambert S.A.


129 Kinepolis Group NV (Entertainment) 4,348 0.00

1,378 Ontex Group NV


803 Sofina S.A.


1,655 UCB S.A. (Pharmaceuticals) 107,740 0.11

2,118,016 2.16

Bermuda

815 Golar LNG Ltd. (Transportation) 35,318 0.04

4,600 Hiscox Ltd. (Insurance) 54,613 0.06

119 Ocean Wilsons Holdings Ltd.


11,844 Seadrill Ltd. (Oil & Gas) 129,814 0.13

221,273 0.23


Cyprus

2,011 Ocean Rig UDW, Inc. (Oil & Gas) 14,216 0.01

Denmark

247 Auriga Industries A/S "B" (Chemicals) 10,628 0.01

993 Bang & Olufsen A/S


3,059 Carlsberg A/S "B"


822 Chr Hansen Holding A/S


995 Coloplast A/S "B" (Healthcare Products) 68,420 0.07

314 Dfds A/S (Transportation) 33,461 0.03

2,875 DSV A/S (Transportation) 91,025 0.09

2,918 GN Store Nord A/S (Telecommunications) 57,419 0.06

829 H Lundbeck A/S (Pharmaceuticals) 14,757 0.02

1,435 ISS A/S (Commercial Services) 44,875 0.05

2,716 Jyske Bank A/S (Banks) 119,229 0.12

1,151 Matas A/S (Retail) 24,145 0.03


1,845 Novozymes A/S "B" (Chemicals) 80,795 0.08

137 Ringkjoebing Landbobank A/S (Banks) 29,125 0.03

295 Rockwool International A/S "B"


735 Royal Unibrew A/S (Software) 23,911 0.02

431 Schouw & Co.


425 SimCorp A/S (Software) 14,527 0.02

2,449 Spar Nord Bank A/S (Banks) 23,307 0.02

2,448 Sydbank A/S (Banks) 86,398 0.09

17,765 TDC A/S (Telecommunications) 120,968 0.12

1,201 Topdanmark A/S (Insurance) 29,975 0.03

4,200 Tryg A/S (Insurance) 76,396 0.08

392 William Demant Holding A/S


2,026,960 2.07

Faeroe Islands

852 Bakkafrost P/F


Finland

2,251 Amer Sports OYJ (Leisure Time) 52,223 0.05

1,968 Caverion Corp. (Commercial Services) 17,889 0.02

5,364 Citycon OYJ (Real Estate) 14,139 0.01

1,689 Elisa OYJ (Telecommunications) 47,208 0.05

1,359 Fiskars OYJ Abp


6,758 Fortum OYJ (Electric) 117,049 0.12

1,415 Huhtamaki OYJ (Packaging & Containers) 43,398 0.04

2,895 Kemira OYJ (Chemicals) 31,063 0.03

1,481 Kesko OYJ "B"


3,015 Kone OYJ "B" (Machinery—Diversified) 115,083 0.12

762 Lassila & Tikanoja OYJ

(Environmental Control) 12,192 0.01

1,995 Neste Oil OYJ (Oil & Gas) 46,005 0.05

36,077 Nokia OYJ (Telecommunications) 239,732 0.24

1,124 Orion OYJ "B" (Pharmaceuticals) 34,170 0.04

5,933 Raisio OYJ "V"


6,603 Sampo OYJ "A" (Insurance) 283,137 0.29

3,735 Sanoma OYJ (Media) 16,195 0.02

9,623 Sponda OYJ (Real Estate) 34,277 0.04

1,813 Stockmann OYJ Abp "B" (Retail) 11,875 0.01

1,473 Tieto OYJ (Computers) 30,697 0.03

3,155 Valmet OYJ (Machinery—Diversified) 32,181 0.03

1,990 Wartsila OYJ Abp


1,361,540 1.39

167



As at 31 May 2015



France

1,504 ABC Arbitrage


2,083 Accor S.A. (Lodging) 103,931 0.11

631 Aeroports de Paris



7,231 Airbus Group NV


3,065 Altamir (Investment Companies) 34,328 0.04

823 Alten S.A. (Computers) 35,282 0.04

+ 1,784 Areva S.A. (Energy-Alternate Sources) 15,360 0.02

573 Assystem (Commercial Services) 10,348 0.01

1,879 AtoS (Computers) 131,586 0.13

19,313 Bollore S.A.


3,437 Bouygues S.A.


2,730 Bureau Veritas S.A.


2,482 Cap Gemini S.A. (Computers) 196,128 0.20

8,907 Carrefour S.A.


2,324 Casino Guichard Perrachon S.A.


815 Christian Dior SE (Apparel) 148,982 0.15

1,250 Cie des Alpes (Entertainment) 21,500 0.02

6,169 CNP Assurances (Insurance) 92,874 0.09


210 Criteo S.A.—ADR(a) (Internet) 9,200 0.01

8,831 Danone S.A.


1,291 Dassault Systemes S.A. (Software) 91,880 0.09

6,597 Electricite de France S.A. (Electric) 147,641 0.15

1,608 Elior Participations SCA 144A(b)


1,185 Essilor International S.A.


2,879 Etablissements Maurel et Prom (Oil & Gas) 20,524 0.02

312 Euler Hermes Group (Insurance) 31,450 0.03

2,375 Eutelsat Communications S.A.


825 Fonciere Des Regions


34,533 GDF Suez (Electric) 634,544 0.65

654 Gecina S.A.


284 Groupe Fnac (Retail) 17,347 0.02

4,909 Havas S.A. (Advertising) 36,621 0.04

209 Hermes International (Apparel) 74,331 0.08

642 ICADE (Real Estate Investment Trust) 45,576 0.05

211 ID Logistics Group


257 Iliad S.A. (Internet) 53,032 0.05

671 Imerys S.A. (Building Materials) 45,729 0.05

406 Ingenico Group (Computers) 45,858 0.05

553 Ipsen S.A. (Pharmaceuticals) 26,892 0.03


1,076 JCDecaux S.A. (Advertising) 39,973 0.04

1,690 Kering (Retail) 270,315 0.28

1,458 Klepierre (Real Estate Investment Trust) 58,976 0.06

974 Korian-Medica (Healthcare Services) 30,764 0.03

3,387 L’Oreal S.A. (Cosmetics/Personal Care) 582,395 0.59

3,631 Lagardere SCA (Media) 100,179 0.10

748 Le Noble Age (Healthcare Services) 15,386 0.02

2,841 Legrand S.A.


3,317 LVMH Moet Hennessy Louis Vuitton SE

(Apparel) 537,852 0.55



850 Mersen


1,671 Metropole Television S.A. (Media) 29,000 0.03

3,756 MPI (Oil & Gas) 11,606 0.01

1,079 Neopost S.A.


767 Nexity S.A. (Real Estate) 28,130 0.03

72 Norbert Dentressangle S.A. (Transportation) 15,811 0.02

192 Numericable-SFR SAS (Media) 10,086 0.01

45,442 Orange S.A. (Telecommunications) 652,547 0.67

746 Orpea (Healthcare Services) 47,871 0.05

3,876 Pernod Ricard S.A.


3,360 Publicis Groupe S.A. (Advertising) 244,642 0.25

914 Rallye S.A. (Retail) 26,689 0.03

405 Remy Cointreau S.A.


697 Rubis SCA (Gas) 42,970 0.04


648 Saft Groupe S.A.



4,788 SCOR SE (Insurance) 149,386 0.15

623 SEB S.A. (Home Furnishings) 50,270 0.05

323 Societe BIC S.A.


5,151 Societe d’Edition de Canal + (Media) 39,405 0.04

1,257 Sodexo S.A.


328 Sopra Steria Group (Computers) 26,214 0.03

5,335 Suez Environnement Co. (Water) 93,683 0.10

2,574 Technip S.A. (Oil & Gas Services) 154,672 0.16

1,011 Teleperformance (Advertising) 67,798 0.07

136 Tessi S.A. (Computers) 12,675 0.01

1,858 Thales S.A. (Aerospace & Defence) 105,237 0.11

43,343 Total S.A. (Oil & Gas) 1,992,694 2.03

2,487 UBISOFT Entertainment (Software) 40,886 0.04

48 Unibail Rodamco SE


1,364 Unibail-Rodamco SE


614 Vicat (Building Materials) 39,357 0.04

7,322 Vinci S.A. (Construction & Engineering) 395,974 0.40

65 Virbac S.A. (Pharmaceuticals) 14,258 0.01

25,963 Vivendi S.A. (Media) 602,082 0.61

2,777 Zodiac Aerospace (Aerospace & Defence) 92,238 0.09

14,617,854 14.93

Germany


2,426 AIXTRON SE (Semiconductors) 16,756 0.02

2,260 Alstria Office REIT AG


282 Aurelius AG (Investment Companies) 12,642 0.01

870 Aurubis AG (Metal Fabricate/Hardware) 49,172 0.05

664 Axel Springer SE (Media) 32,928 0.03

12,105 BASF SE (Chemicals) 1,019,241 1.04




1,175 Bayerische Motoren Werke AG—Preferred


677 BayWa AG (Agriculture) 21,593 0.02

351 Bechtle AG (Computers) 23,478 0.02


1,391 Bilfinger SE (Construction & Engineering) 53,832 0.06

184 Biotest AG (Biotechnology) 14,578 0.02

2,146 Brenntag AG (Chemicals) 118,009 0.12

% of



% of



168



As at 31 May 2015




1,218 Celesio AG (Pharmaceuticals) 32,271 0.03

3,504 Deutsche Annington Immobilien SE

(Real Estate) 100,880 0.10

1,460 Deutsche Boerse AG


997 Deutsche Euroshop AG (Real Estate) 43,873 0.05

12,249 Deutsche Lufthansa AG (Airlines) 156,787 0.16

13,024 Deutsche Post AG (Transportation) 357,444 0.37

36,018 Deutsche Telekom AG (Telecommunications) 563,502 0.58

4,708 Deutsche Wohnen AG (Real Estate) 104,423 0.11

170 Draegerwerk AG & Co. KGaA—Preferred


266 Duerr AG (Machinery—Diversified) 24,757 0.03

56,245 E.ON SE (Electric) 751,996 0.77

1,230 Fraport AG Frankfurt Airport Services Worldwide


2,281 Freenet AG (Telecommunications) 68,305 0.07

2,778 Fresenius Medical Care AG & Co. KGaA




640 Gerresheimer AG


916 Gerry Weber International AG (Apparel) 26,463 0.03

83 Gesco AG


573 GFK SE (Commercial Services) 20,069 0.02

1,630 Hamborner REIT AG




1,012 Hannover Rueck SE (Insurance) 89,511 0.09

368 Hawesko Holding AG


9,124 Heidelberger Druckmaschinen AG


1,410 Henkel AG & Co. KGaA


2,275 Henkel AG & Co. KGaA—Preferred


754 Hornbach Baumarkt AG (Retail) 27,909 0.03

318 Hornbach Holding AG—Preferred (Retail) 25,300 0.03

418 Hugo Boss AG (Retail) 43,451 0.04

505 Indus Holding AG


1,834 Jenoptik AG (Computers) 21,348 0.02

3,435 K&S AG (Chemicals) 101,916 0.10

651 KION Group AG (Machinery—Diversified) 28,139 0.03

858 Koenig & Bauer AG


330 Krones AG (Machinery—Diversified) 32,927 0.03

303 KUKA AG (Hand/Machine Tools) 21,846 0.02

1,070 LEG Immobilien AG (Real Estate) 71,358 0.07

2,506 Linde AG (Chemicals) 438,174 0.45

562 MAN SE (Machinery—Diversified) 52,884 0.05

1,619 Merck KGaA (Pharmaceuticals) 157,642 0.16

820 MTU Aero Engines AG



(Insurance) 658,896 0.67

1,891 Osram Licht AG


271 Pfeiffer Vacuum Technology AG


2,257 Rhoen Klinikum AG


10,042 RWE AG (Electric) 213,493 0.22

13,407 SAP SE (Software) 903,498 0.92

136 Sartorius AG—Preferred (Electronics) 21,801 0.02



12,397 Siemens AG



1,284 Stada Arzneimittel AG (Pharmaceuticals) 40,568 0.04

98 STO SE & Co. KGaA—Preferred


3,919 Suedzucker AG


912 Symrise AG (Chemicals) 52,860 0.05

3,501 TAG Immobilien AG (Real Estate) 40,997 0.04

1,314 Takkt AG (Retail) 22,483 0.02

13,682 Telefonica Deutschland Holding AG


598 TLG Immobilien AG (Real Estate) 9,209 0.01

1,061 Volkswagen AG (Automobile Manufacturers) 232,889 0.24

4,749 Volkswagen AG—Preferred


492 Vossloh AG


664 Wacker Neuson SE


694 Wincor Nixdorf AG (Computers) 23,568 0.02

884 Wirecard AG (Commercial Services) 33,353 0.03

13,175,545 13.45

Guernsey

30,724 Renewables Infrastructure Group Ltd.


Ireland

12,331 Beazley Plc. (Insurance) 51,060 0.05

13,897 C&C Group Plc.


10,144 CRH Plc. (Building Materials) 258,875 0.26

941 DCC Plc. (Oil & Gas) 68,106 0.07

7,892 Experian Plc. (Commercial Services) 136,866 0.14

423 Fleetmatics Group Plc. (Software) 16,131 0.02

2,165 Fly Leasing Ltd.—ADR(a)


2,011 Glanbia Plc.


22,267 Green REIT Plc.


5,092 Greencore Group Plc.


724 ICON Plc. (Healthcare Services) 42,838 0.04




(traded in United Kingdom)


1,170 King Digital Entertainment Plc. (Software) 15,730 0.02

2,387 Kingspan Group Plc. (Building Materials) 49,602 0.05

552 Paddy Power Plc. (Entertainment) 44,574 0.05

186 Shire Plc. (Pharmaceuticals) 14,588 0.01

1,718 Shire Plc.—ADR(a) (Pharmaceuticals) 407,659 0.42

3,679 UDG Healthcare Plc. (Pharmaceuticals) 27,165 0.03

80 XL Group Plc. (Insurance) 2,750 0.00

1,424,655 1.45

Italy

+ 38,903 A2A SpA (Electric) 44,116 0.04

4,289 Anima Holding SpA 144A(b)


4,108 Ansaldo STS SpA (Transportation) 38,595 0.04

+ 27,665 Assicurazioni Generali SpA (Insurance) 487,181 0.50

2,346 Astaldi SpA (Construction & Engineering) 18,615 0.02

2,000 ASTM SpA (Commercial Services) 24,760 0.03

% of



% of



169



As at 31 May 2015



Italy – (continued)

63 Atlantia SpA (Commercial Services) 1,475 0.00

2,518 Autogrill SpA (Retail) 21,126 0.02

1,257 Azimut Holding SpA


4,252 Banca Carige SpA (Banks) 28,021 0.03

855 Banca Generali SpA (Banks) 27,685 0.03

794 Banca IFIS SpA


1,040 Banca Monte dei Paschi di Siena SpA

(Banks) 1,919 0.00

114,666 Banca Popolare di Milano SCARL (Banks) 108,073 0.11

18,343 Banca Popolare di Sondrio SCARL

(Banks) 80,269 0.08

32,570 Beni Stabili SpA SIIQ


652 Brembo SpA (Auto Parts & Equipment) 25,226 0.03

2,329 Buzzi Unicem SpA (Building Materials) 32,443 0.03

2,652 Cementir Holding SpA


21,885 CIR-Compagnie Industriali Riunite SpA


2,636 Credito Emiliano SpA (Banks) 19,875 0.02

49,362 Credito Valtellinese SC (Banks) 61,456 0.06

6,169 Davide Campari-Milano SpA


840 De’Longhi (Home Furnishings) 18,169 0.02

594 DiaSorin SpA (Healthcare Products) 24,479 0.02

507 Ei Towers SpA (Telecommunications) 28,138 0.03

34,573 Enel Green Power SpA (Electric) 59,569 0.06

154,149 Enel SpA (Electric) 681,030 0.70

+ 54,558 Eni SpA (Oil & Gas) 894,206 0.91

2,004 ERG SpA (Oil & Gas) 22,665 0.02

13,077 Fincantieri SpA (Shipbuilding) 9,965 0.01

3,360 FinecoBank Banca Fineco SpA (Banks) 22,966 0.02

6,833 Finmeccanica SpA


20,544 Hera SpA (Electric) 49,388 0.05

367 Industria Macchine Automatiche SpA

(Hand/Machine Tools) 17,587 0.02

1,573 Interpump Group SpA


20,730 Iren SpA (Electric) 27,177 0.03

1,202 Luxottica Group SpA (Retail) 73,683 0.08

1,139 MARR SpA (Distribution/Wholesale) 19,112 0.02

16,468 Mediobanca SpA (Banks) 154,305 0.16

1,484 Moncler SpA (Apparel) 25,703 0.03

14,009 Parmalat SpA


5,968 Pirelli & C. SpA (Auto Parts & Equipment) 92,206 0.09

6,100 Prada SpA (Apparel) 30,542 0.03

2,890 Prysmian SpA


1,408 Recordati SpA (Pharmaceuticals) 26,963 0.03

122 Reply SpA (Internet) 11,041 0.01

1,172 Safilo Group SpA (Distribution/Wholesale) 15,423 0.02

8,339 Saipem SpA (Oil & Gas Services) 96,399 0.10

6,195 Salini Impregilo SpA


7,601 Saras SpA (Oil & Gas) 11,485 0.01

+ 30,664 Snam SpA (Gas) 138,111 0.14

4,453 Societa Cattolica di Assicurazioni SCRL

(Insurance) 31,794 0.03

2,505 Societa Iniziative Autostradali e Servizi SpA


6,320 Sorin SpA (Healthcare Products) 17,001 0.02

259,261 Telecom Italia SpA (Telecommunications) 289,335 0.30

167,880 Telecom Italia SpA—RSP




19,971 Terna Rete Elettrica Nazionale SpA

(Electric) 86,674 0.09

203 Tod’s SpA (Apparel) 17,042 0.02

8,652 Unipol Gruppo Finanziario SpA (Insurance) 42,654 0.04

7,518 Unipol Gruppo Finanziario SpA—Preferred

(Insurance) 37,470 0.04

10,651 UnipolSai SpA (Insurance) 26,351 0.03

1,551 Zignago Vetro SpA


4,714,719 4.81

Jersey

31,436 Centamin Plc. (Mining) 30,672 0.03

5,957 Phoenix Group Holdings (Insurance) 70,973 0.07

32 Randgold Resources Ltd. (Mining) 2,109 0.00

1,685 Randgold Resources Ltd.—ADR(a) (Mining) 111,011 0.11

19,247 Redefine International Plc.


229,499 0.23

Jordan

855 Hikma Pharmaceuticals Plc.


Liechtenstein

842 Liechtensteinische Landesbank AG (Banks) 30,652 0.03

Luxembourg

35,744 ArcelorMittal (Iron/Steel) 346,645 0.36

4,102 B&M European Value Retail S.A. (Retail) 18,627 0.02

359 Brederode S.A. (Investment Companies) 13,613 0.01

1,879 eDreams ODIGEO S.A. (Computers) 6,086 0.01

80 Eurofins Scientific SE


1,708 Grand City Properties S.A. (Real Estate) 27,174 0.03

6,750 L’Occitane International S.A.


797 Millicom International Cellular S.A.—SDR


1,552 Oriflame Cosmetics S.A.—SDR


592 RTL Group S.A. (Media) 48,508 0.05

5,810 SES S.A. (Telecommunications) 187,314 0.19

8,338 Tenaris S.A. (Metal Fabricate/Hardware) 109,895 0.11

877,708 0.90

Mexico

2,405 Fresnillo Plc. (Mining) 25,423 0.03

Netherlands

1,290 AerCap Holdings NV


2,780 Akzo Nobel NV (Chemicals) 192,793 0.20

536 Amsterdam Commodities NV


1,197 Arcadis NV (Construction & Engineering) 30,954 0.03

5,262 ASML Holding NV (Semiconductors) 535,409 0.55

4,683 Atrium European Real Estate Ltd.


690 BE Semiconductor Industries NV


3,119 BinckBank NV


383 Cimpress NV (Software & Services) 28,758 0.03

1,442 Corbion NV (Chemicals) 25,509 0.03

1,222 Eurocommercial Properties NV


% of



% of



170



As at 31 May 2015




961 Euronext NV 144A(b)


2,331 Fugro NV (Oil & Gas Services) 56,189 0.06

32 Gemalto NV (Computers) 2,548 0.00

1,508 Gemalto NV (traded in France)

(Computers) 120,097 0.12



2,274 Heineken NV


773 InterXion Holding NV (Software) 21,638 0.02

631 Kendrion NV (Machinery—Diversified) 17,277 0.02




55,785 Koninklijke KPN NV (Telecommunications) 184,314 0.19

15,340 Koninklijke Philips NV (Electronics) 380,509 0.39

1,429 Koninklijke Ten Cate NV


1,016 Koninklijke Vopak NV (Pipelines) 46,025 0.05

6,779 NN Group NV (Insurance) 172,627 0.18

580 OCI NV (Chemicals) 15,579 0.02

3,673 QIAGEN NV (Healthcare Products) 81,834 0.08



2,058 Royal Imtech NV


951 TKH Group NV


10,568 TNT Express NV (Transportation) 81,162 0.08

635 Vastned Retail NV


973 Wereldhave NV


3,296 Wolters Kluwer NV (Media) 93,392 0.09

6,861,753 7.01

Norway

1,246 Aker ASA "A"


2,827 Aker Solutions ASA (Oil & Gas Services) 15,086 0.02

2,074 Atea ASA (Internet) 21,106 0.02

5,342 Austevoll Seafood ASA


2,288 Det Norske Oljeselskap ASA (Oil & Gas) 13,663 0.01

3,383 Gjensidige Forsikring ASA (Insurance) 47,486 0.05

1,491 Kongsberg Gruppen ASA


665 Leroy Seafood Group ASA




605 Norwegian Air Shuttle ASA (Airlines) 21,365 0.02

2,023 Opera Software ASA (Software) 15,926 0.02

17,941 Orkla ASA


725 Salmar ASA


653 Schibsted ASA (Media) 38,153 0.04

1,586 Ship Finance International Ltd.


8,875 Sparebank 1 Nord Norge (Banks) 45,366 0.05

6,820 SpareBank 1 SMN (Banks) 53,051 0.05

6,651 SpareBank 1 SR-Bank ASA (Banks) 43,178 0.04

20,491 Statoil ASA (Oil & Gas) 349,466 0.36

9,632 Telenor ASA (Telecommunications) 198,521 0.20

1,755 Tomra Systems ASA



Norway – (continued)

1,228 Veidekke ASA


3,760 Wilh Wilhelmsen ASA (Transportation) 22,211 0.02

2,963 Yara International ASA (Chemicals) 135,933 0.14

1,373,227 1.40

Portugal

2,780 CTT-Correios de Portugal S.A.


49,989 EDP – Energias de Portugal S.A. (Electric) 177,711 0.18

4,921 Galp Energia SGPS S.A. (Oil & Gas) 52,753 0.05

2,866 Jeronimo Martins SGPS S.A.


3,655 NOS SGPS S.A. (Media) 24,580 0.02

38,158 Portugal Telecom SGPS S.A.


13,269 Redes Energeticas Nacionais SGPS S.A.

(Electric) 35,322 0.04

1,245 Semapa-Sociedade de Investimento e

Gestao (Forest Products & Paper) 16,260 0.02

387,301 0.40

Spain

5,205 Abertis Infraestructuras S.A.


1,942 Acerinox S.A. (Iron/Steel) 26,994 0.03

2,583 ACS Actividades de Construccion y

Servicios S.A.


891 Aena S.A. 144A(b)


1,255 Almirall S.A. (Pharmaceuticals) 23,594 0.02

4,149 Amadeus IT Holding S.A. "A" (Software) 171,914 0.18

1,897 Applus Services S.A.


115,811 Banco de Sabadell S.A. (Banks) 267,060 0.27


83,562 Bankia S.A. (Banks) 98,352 0.10

116 Bolsas y Mercados Espanoles S.A.



1,059 Cia de Distribucion Integral Logista

Holdings S.A. (Transportation) 20,042 0.02

1,581 Cie Automotive S.A.


66 Construcciones y Auxiliar de Ferrocarriles S.A.


567 Corp Financiera Alba S.A.


2,660 Duro Felguera S.A.


3,225 Ebro Foods S.A.


4,886 EDP Renovaveis S.A.


2,235 Enagas S.A. (Gas) 58,523 0.06



5,093 Ferrovial S.A.


6,537 Gas Natural SDG S.A. (Gas) 146,396 0.15

1,656 Grifols S.A. (Pharmaceuticals) 60,129 0.06

1,364 Grifols S.A. "B"—Preferred


968 Grupo Catalana Occidente S.A.

(Insurance) 27,714 0.03

1,695 Hispania Activos Inmobiliarios SAU


% of



% of



171



As at 31 May 2015



Spain – (continued)


6,933 Inditex S.A. (Retail) 209,099 0.21

3,130 Indra Sistemas S.A. (Computers) 27,607 0.03

42,226 Liberbank S.A. (Banks) 31,036 0.03

2,101 Melia Hotels International S.A. (Lodging) 24,886 0.03

73 Pescanova S.A.(c)

(Food, Beverages & Tobacco) 0 0.00

4,338 Prosegur Cia de Seguridad S.A.


1,043 Red Electrica Corp S.A. (Electric) 79,873 0.08

27,852 Repsol S.A. (Oil & Gas) 482,954 0.49

611 Tecnicas Reunidas S.A.


49,597 Telefonica S.A. (Telecommunications) 638,809 0.65

5,994 Tubos Reunidos S.A. (Iron/Steel) 10,070 0.01

632 Viscofan S.A.


1,235 Zardoya Otis S.A.


6,086,430 6.21

Sweden

442 AarhusKarlshamn AB


3,865 Alfa Laval AB


2,647 Assa Abloy AB "B"


4,328 Atlas Copco AB "A’’


4,328 Atlas Copco AB "A-Redemption"


2,578 Atlas Copco AB "B-Redemption"


2,578 Atlas Copco AB "B"


2,516 Axfood AB


1,314 B&B Tools AB "B"


728 Bilia AB (Retail) 13,057 0.01

4,098 Castellum AB (Real Estate) 53,505 0.05

8,814 Cloetta AB "B"


679 Duni AB (Housewares) 9,152 0.01

2,775 Electrolux AB "B" (Home Furnishings) 77,054 0.08

4,821 Elekta AB "B" (Healthcare Products) 30,906 0.03

3,063 Fabege AB (Real Estate) 38,912 0.04

2,496 Getinge AB "B" (Healthcare Products) 54,918 0.06


2,330 Hexpol AB (Miscellaneous Manufacturing) 22,996 0.02

2,616 Holmen AB "B"


3,664 Hufvudstaden AB "A" (Real Estate) 42,753 0.04

7,169 Husqvarna AB "B"


2,165 ICA Gruppen AB


4,460 Industrivarden AB "C"


1,053 Intrum Justitia AB (Commercial Services) 29,284 0.03

8,119 Investment AB Kinnevik "B"


449 Investment AB Oresund


2,255 Investor AB "A" (Investment Companies) 79,129 0.08

9,505 Investor AB "B" (Investment Companies) 341,655 0.35

2,969 Kungsleden AB (Real Estate) 17,433 0.02


Sweden – (continued)

1,209 L E Lundbergforetagen AB "B"


1,268 Loomis AB "B" (Commercial Services) 33,909 0.03

2,236 Lundin Petroleum AB (Oil & Gas) 32,034 0.03

3,764 Meda AB "A" (Pharmaceuticals) 49,063 0.05

1,904 NCC AB "B"


1,523 Nibe Industrier AB "B"


609 Nobia AB (Home Furnishings) 6,063 0.01

1,990 Saab AB "B" (Aerospace & Defence) 46,568 0.05

3,605 Securitas AB "B" (Commercial Services) 44,566 0.05

4,574 Skanska AB "B"


4,922 SKF AB "B" (Metal Fabricate/Hardware) 108,138 0.11

612 SkiStar AB (Entertainment) 6,517 0.01

1,126 Svenska Cellulosa AB SCA "A"




22,824 Svenska Handelsbanken AB "A" (Banks) 312,859 0.32

15,530 Swedbank AB "A" (Banks) 331,584 0.34

1,237 Swedish Orphan Biovitrum AB


7,183 Tele2 AB "B" (Telecommunications) 76,836 0.08

52,446 Telefonaktiebolaget LM Ericsson "B"


50,034 TeliaSonera AB (Telecommunications) 268,407 0.27

4,310 Wallenstam AB (Real Estate) 30,713 0.03

4,405,434 4.50

Switzerland

807 Actelion Ltd. (Pharmaceuticals) 102,529 0.11

462 Allreal Holding AG (Real Estate) 58,652 0.06

335 Alpiq Holding AG (Electric) 25,896 0.03

2,170 Aryzta AG


1,810 Ascom Holding AG


93 Banque Cantonale Vaudoise (Banks) 49,052 0.05

42 Barry Callebaut AG


19 Basellandschaftliche Kantonalbank (Banks) 16,644 0.02

29 Basler Kantonalbank (Banks) 1,949 0.00

6 Belimo Holding AG (Building Materials) 13,511 0.01

153 Berner Kantonalbank AG (Banks) 28,196 0.03

414 Bobst Group S.A.


66 Burckhardt Compression Holding AG


720 Cembra Money Bank AG (Transportation) 41,596 0.04

8 Chocoladefabriken Lindt & Sprungli AG


168 Daetwyler Holding AG


69 Emmi AG (Food, Beverages & Tobacco) 20,432 0.02



27 Forbo Holding AG (Building Materials) 30,074 0.03

66 Galenica AG

(Pharmaceuticals & Biotechnology) 60,050 0.06

258 Geberit AG (Building Materials) 84,317 0.09

73 Givaudan S.A. (Chemicals) 121,544 0.12

395 Implenia AG


113 Intershop Holding AG (Real Estate) 43,703 0.05

56 Kaba Holding AG "B" (Electronics) 31,973 0.03

506 Kuehne + Nagel International AG


% of



% of



172



As at 31 May 2015



Switzerland – (continued)

108 Kuoni Reisen Holding AG "B"


100 Leonteq AG


1,635 Logitech International S.A. (Computers) 23,950 0.02

1,295 Mobilezone Holding AG (Retail) 20,410 0.02

288 Mobimo Holding AG (Real Estate) 55,136 0.06

42,327 Nestle S.A.



270 Orior AG


190 Panalpina Welttransport Holding AG


133 Partners Group Holding AG


1,057 PSP Swiss Property AG (Real Estate) 82,527 0.08

6,132 Roche Holding AG (Pharmaceuticals) 1,637,584 1.67

295 Schindler Holding AG


32 Schweiter Technologies AG


46 SGS S.A. (Commercial Services) 80,325 0.08

136 Siegfried Holding AG (Chemicals) 22,552 0.02

464 Sonova Holding AG


126 St Galler Kantonalbank AG (Banks) 40,660 0.04


1,527 Swiss Prime Site AG (Real Estate) 111,102 0.11

229 Swisscom AG (Telecommunications) 120,562 0.12

1,037 Syngenta AG (Chemicals) 426,634 0.44

173 Tecan Group AG (Healthcare Products) 21,076 0.02

671 Valiant Holding AG (Banks) 55,439 0.06

193 Valora Holding AG (Retail) 37,602 0.04

553 Vontobel Holdings AG


3,121 Zurich Insurance Group AG (Insurance) 904,999 0.92

10,777,143 11.00


4,699 Dragon Oil Plc. (Oil & Gas) 44,894 0.05

United Kingdom

5,586 Acacia Mining Plc. (Mining) 23,706 0.02

2,083 Admiral Group Plc. (Insurance) 43,169 0.04

3,897 Alent Plc. (Chemicals) 20,584 0.02

9,931 Amlin Plc. (Insurance) 67,398 0.07

9,462 Anite Plc. (Computers) 13,071 0.01

181 ARM Holdings Plc. (Semiconductors) 2,910 0.00

3,118 ARM Holdings Plc.—ADR(a)


5,248 Arrow Global Group Plc.


3,873 Associated British Foods Plc.


10,316 AstraZeneca Plc.—ADR(a)


780 AVEVA Group Plc. (Software) 21,116 0.02

5,115 Babcock International Group Plc.


32,845 BAE Systems Plc.


8,346 BBA Aviation Plc.


3,136 Bellway Plc. (Home Builders) 102,443 0.10

1,996 Berendsen Plc. (Commercial Services) 28,254 0.03





United Kingdom – (continued)

2,517 Big Yellow Group Plc.


16,220 Booker Group Plc.


4,296 Bovis Homes Group Plc.


65,451 BP Plc.—ADR(a) (Oil & Gas) 2,475,119 2.53

1,965 Brammer Plc. (Distribution/Wholesale) 8,478 0.01

4,071 Brewin Dolphin Hldg. Plc.




14,630 British Land Co., Plc.



3,136 Bunzl Plc. (Commercial Services) 82,757 0.08

22,297 Cable & Wireless Communications Plc.


6,369 Capita Plc. (Commercial Services) 110,986 0.11

8,042 Capital & Counties Properties Plc.


71,279 Centrica Plc. (Gas) 275,405 0.28

5,446 Chemring Group Plc.


2,268 Chesnara Plc. (Insurance) 10,291 0.01

2,620 Cineworld Group Plc. (Entertainment) 18,871 0.02

2,256 Close Brothers Group Plc.


24,547 CNH Industrial NV


13,689 Cobham Plc. (Aerospace & Defence) 56,340 0.06

21,910 Colt Group S.A. (Telecommunications) 45,682 0.05



1,569 Computacenter Plc. (Computers) 15,887 0.02

3,061 Countrywide Plc. (Real Estate) 25,520 0.03

962 Cranswick Plc.


7,155 Crest Nicholson Holdings Plc.


1,007 Croda International Plc. (Chemicals) 40,996 0.04

190 Daejan Hldg. Plc. (Real Estate) 15,219 0.02

3,649 Daily Mail & General Trust Plc. "A" (Media) 48,859 0.05

4,520 Dairy Crest Group Plc.


37,371 Debenhams Plc. (Retail) 49,336 0.05

1,164 Dechra Pharmaceuticals Plc.


1,312 Derwent London Plc.


2,636 Devro Plc.


21,851 Diageo Plc.


1,143 Diploma Plc. (Distribution/Wholesale) 12,862 0.01

26,692 Direct Line Insurance Group Plc.

(Insurance) 125,274 0.13


1,509 Domino Printing Sciences Plc.

(Computers) 19,176 0.02

1,172 Domino’s Pizza Group Plc. (Retail) 12,977 0.01

8,798 Drax Group Plc.


3,644 E2V Technologies Plc. (Semiconductors) 12,832 0.01

4,067 easyJet Plc. (Airlines) 91,080 0.09

6,303 Elementis Plc. (Chemicals) 26,818 0.03

2,661 Essentra Plc. (Chemicals) 37,037 0.04

8,718 esure Group Plc. (Insurance) 31,440 0.03

518 Fidessa Group Plc. (Software) 16,078 0.02

% of



% of



173



As at 31 May 2015




1,505 Findel Plc. (Retail) 4,708 0.00

35,905 Firstgroup Plc. (Transportation) 56,721 0.06

10,868 Flybe Group Plc. (Airlines) 8,357 0.01

14,977 G4S Plc. (Commercial Services) 62,162 0.06

1,599 Galliford Try Plc. (Home Builders) 36,833 0.04

1,837 Gem Diamonds Ltd. (Mining) 3,835 0.00

9,182 Genel Energy Plc. (Oil & Gas) 67,478 0.07

12,188 GlaxoSmithKline Plc.—ADR(a)


351 Go-Ahead Group Plc. (Transportation) 12,971 0.01

9,902 Grainger Plc. (Real Estate) 29,314 0.03

3,976 Great Portland Estates Plc.


5,239 Greene King Plc. (Retail) 59,793 0.06

1,553 Greggs Plc.


4,194 Halfords Group Plc. (Retail) 28,113 0.03

3,235 Halma Plc. (Electronics) 34,378 0.04

12,798 Hammerson Plc.


17,724 Hansteen Holdings Plc.


958 Hargreaves Lansdown Plc.


3,037 HellermannTyton Group Plc.


1,221 Hill & Smith Holdings Plc.


366,200 HSBC Holdings Plc. (Banks) 3,173,864 3.24





2,475 Inmarsat Plc. (Telecommunications) 34,207 0.04

18,898 Innovation Group Plc. (Software) 7,562 0.01

2,103 International Game Technology Plc.


3,918 Interserve Plc.


1,895 Intertek Group Plc.


50,659 J Sainsbury Plc.


577 James Fisher & Sons Plc. (Transportation) 10,689 0.01

1,143 Jardine Lloyd Thompson Group Plc.

(Insurance) 16,545 0.02

2,007 JD Wetherspoon Plc. (Retail) 21,984 0.02

1,897 John Menzies Plc.

(Distribution/Wholesale) 11,769 0.01

3,368 Just Retirement Group Plc. (Insurance) 8,321 0.01

1,183 Keller Group Plc.


1,093 Kier Group Plc.


55,197 Kingfisher Plc. (Retail) 284,255 0.29

18,667 Ladbrokes Plc. (Entertainment) 31,126 0.03

4,736 Laird Plc.


5,284 Lancashire Holdings Ltd. (Insurance) 47,437 0.05

14,460 Land Securities Group Plc.


20,607 Liberty International Plc.





1,383 Markit Ltd. (Media) 33,820 0.03

23,345 Marks & Spencer Group Plc. (Retail) 189,432 0.19

17,814 Marston’s Plc. (Food, Beverages & Tobacco) 41,382 0.04



15,167 Meggitt Plc. (Aerospace & Defence) 107,345 0.11

8,572 Merlin Entertainments Plc. 144A


4,273 Millennium & Copthorne Hotels Plc.

(Lodging) 34,792 0.04

6,769 Mitchells & Butlers Plc. (Retail) 42,632 0.04

8,511 Mitie Group Plc.


4,009 Moneysupermarket.com Group Plc.

(Internet) 16,902 0.02

1,032 Morgan Sindall Group Plc.


2,166 N Brown Group Plc. (Retail) 10,099 0.01

10,266 National Express Group Plc.


45,830 National Grid Plc. (Gas) 595,783 0.61

820 NCC Group Plc. (Computers) 2,420 0.00

511 Next Plc. (Retail) 53,485 0.05

2,815 Northgate Plc. (Commercial Services) 24,664 0.03

1,909 Novae Group Plc. (Insurance) 19,303 0.02

879 Oxford Instruments Plc. (Electronics) 13,311 0.01


13,345 Pearson Plc. (Media) 242,765 0.25

27,867 Pendragon Plc. (Retail) 14,448 0.01

4,619 Pennon Group Plc.


4,764 Pets at Home Group Plc. (Retail) 18,732 0.02

3,616 Poundland Group Plc. (Retail) 15,451 0.02

2,460 Primary Health Properties Plc.


1,149 Provident Financial Plc.


5,693 PZ Cussons Plc.


15,797 QinetiQ Group Plc.


18,910 Quintain Estates & Development Plc.


446 Rathbone Brothers Plc.




5,871 Redrow Plc. (Home Builders) 35,636 0.04


8,648 Reed Elsevier Plc.


2,806 Restaurant Group Plc. (Retail) 26,948 0.03

2,236 Rexam Plc. (Packaging & Containers) 17,397 0.02



9,990 Rotork Plc. (Electronics) 35,234 0.04

13,513 Royal Mail Plc. (Transportation) 98,554 0.10

2,882 RPC Group Plc.


6,228 RPS Group Plc. (Commercial Services) 20,371 0.02


9,873 SABMiller Plc.


4,124 Safestore Holdings Plc.


3,550 Saga Plc. (Leisure Time) 10,470 0.01

11,468 Sage Group Plc. (Software) 90,742 0.09

1,764 Savills Plc. (Commercial Services) 23,889 0.02

2,128 SDL Plc. (Computers) 12,018 0.01

18,576 Serco Group Plc. (Computers) 35,576 0.04

2,506 Severn Trent Plc. (Water) 76,631 0.08

4,601 Shaftesbury Plc.


% of



% of



174



As at 31 May 2015




8,092 Shanks Group Plc.


6,461 Sky Plc. (Media) 94,873 0.10

5,900 Smith & Nephew Plc.


5,395 Smiths Group Plc.


5,991 Soco International Plc. (Oil & Gas) 15,426 0.02

624 Spirax-Sarco Engineering Plc.


8,704 Spirent Communications Plc.


1,669 Spirit Pub Co., Plc. (Retail) 2,660 0.00

3,565 Sports Direct International Plc. (Retail) 33,543 0.03

12,825 SSE Plc. (Electric) 297,210 0.30

3,324 ST Modwen Properties Plc. (Real Estate) 20,523 0.02

4,540 Stagecoach Group Plc. (Transportation) 25,560 0.03

6,869 Stock Spirits Group Plc.


2,461 Stolt-Nielsen Ltd. (Transportation) 39,726 0.04

575 Synergy Health Plc.


3,646 TalkTalk Telecom Group Plc.


8,519 Tate & Lyle Plc.


2,061 Telecity Group Plc. (Telecommunications) 30,923 0.03

853 Telecom Plus Plc. (Telecommunications) 9,664 0.01

179,623 Tesco Plc.


50,177 Tritax Big Box REIT Plc.




2,224 Tyman Plc. (Building Materials) 10,107 0.01

1,445 Ultra Electronics Holdings Plc.


20,615 Unilever NV


19,027 Unilever Plc.—ADR(a)


2,877 Unite Group Plc. (Real Estate) 24,927 0.03


996 Victrex Plc. (Chemicals) 28,932 0.03

64,261 Vodafone Group Plc.—ADR(a)


1,447 WH Smith Plc. (Retail) 31,177 0.03

1,576 Whitbread Plc. (Lodging) 112,310 0.11

12,695 William Hill Plc. (Entertainment) 74,371 0.08

78,485 WM Morrison Supermarkets Plc.


1,185 Workspace Group Plc.


1,587 WS Atkins Plc. (Commercial Services) 32,338 0.03

6,189 Xchanging Plc. (Computers) 10,897 0.01

24,771,013 25.29

United States

2,322 APR Energy Plc. (Electric) 11,917 0.01

246 Carnival Plc. (Leisure Time) 10,844 0.01

9,249 Carnival Plc.—ADR(a) (Leisure Time) 406,117 0.42

428,878 0.44

TOTAL COMMON STOCKS

(cost EUR 94 ,891 ,294) 96,885,629 98.92

Rights – 0.01%

France

697 Rubis SCA – Rights (Gas) 635 0.00

Italy

1,040 Banca Monte dei Paschi di

Siena SpA – Rights (Banks) 6,281 0.01

13,846 Unipol Gruppo Finanziario

SpA—Rights(c) (Insurance) 0 0.00

6,281 0.01

TOTAL RIGHTS

(cost EUR n i l ) 6,916 0.01


Guernsey

19,503 F&C Commercial Property Trust Ltd. 37,487 0.04

10,736 Schroder Real Estate Investment Trust Ltd. 8,742 0.01

46,229 0.05

Ireland

279,404 Goldman Sachs Euro Liquid Reserves

Fund (X Distribution Class)(d)(e) 279,404 0.28

3,294 Grafton Group Plc. 37,457 0.04

316,861 0.32

Switzerland

260 HBM Healthcare Investments AG "A" 27,176 0.03

95 Solvalor 61 22,155 0.02

49,331 0.05

TOTAL MUTUAL FUNDS

(cost EUR 405 ,936) 412,421 0.42



(cost EUR 95 ,297 ,230) 97,304,966 99.35



United Kingdom

3,072,249 Rolls-Royce Holdings Plc.(c)


TOTAL COMMON STOCKS

(cost EUR n i l ) 4,276 0.01


(cost EUR n i l ) 4,276 0.01


Guernsey

24,263 UK Commercial Property Trust Ltd. 29,380 0.03

Ireland

213 SPDR MSCI Europe UCITS ETF 40,283 0.04

TOTAL MUTUAL FUNDS

(cost EUR 62 ,840) 69,663 0.07


(cost EUR 95 ,360 ,070) 97,378,905 99.43



% of



% of



175



As at 31 May 2015


% of



Total Investments (cost EUR 95,360,070) 97,378,905 99.43








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


(e) The yield for this fund as at 31 May 2015 was (0.012%).

% of

Shareholders’


Common StocksFood, Beverages & Tobacco 12.70

Oil & Gas 11.31


Banks 7.59


Electric 4.50

Insurance 4.04

Chemicals 3.63



Others 33.12


Mutual Funds 0.49

RightsBanks 0.01

Gas 0.00

Insurance 0.00

TOTAL RIGHTS 0.01


TOTAL 100.00

176



As at 31 May 2015

Goldman Sachs Funds—GIVI Global Equity – Growth Markets Tilt Portfolio



Austria

172 AMAG Austria Metall AG 144A(a) (Iron/Steel) 5,657 0.01

392 ams AG (Semiconductors) 23,229 0.04

322 Andritz AG (Machinery—Diversified) 19,872 0.03

654 BUWOG AG (Real Estate) 13,143 0.02

801 CA Immobilien Anlagen AG (Real Estate) 14,437 0.02

858 Conwert Immobilien Invest SE


122 Flughafen Wien AG


10,337 Immofinanz AG (Real Estate) 27,482 0.05

17 Lenzing AG (Chemicals) 1,129 0.00

93 Mayr Melnhof Karton AG


264 Oesterreichische Post AG (Transportation) 13,004 0.02

1,558 OMV AG (Oil & Gas) 44,155 0.08

26 Palfinger AG

(Machinery—Construction & Mining) 773 0.00

95 RHI AG (Miscellaneous Manufacturing) 2,567 0.00

43 Schoeller-Bleckmann Oilfield Equipment AG


1,696 UNIQA Insurance Group AG (Insurance) 16,590 0.03

221 Vienna Insurance Group AG Wiener

Versicherung Gruppe (Insurance) 8,386 0.01

519 Voestalpine AG (Iron/Steel) 21,548 0.04

247,850 0.42

Belgium



182 Befimmo S.A.


128 Cofinimmo S.A.


21 D’ieteren S.A. (Distribution/Wholesale) 822 0.00

572 Delhaize Group S.A.


76 Econocom Group S.A. (Computers) 653 0.00

285 Elia System Operator S.A. (Electric) 12,338 0.02

8 EVS Broadcast Equipment S.A. (Electronics) 255 0.00

303 Gimv NV (Investment Companies) 14,341 0.02

426 Groupe Bruxelles Lambert S.A.


11 Lotus Bakeries


194 Sofina S.A.


301 UCB S.A. (Pharmaceuticals) 21,483 0.04

372,388 0.63

Bermuda

562 Arch Capital Group Ltd. (Insurance) 35,906 0.06

306 Aspen Insurance Holdings Ltd. (Insurance) 14,186 0.03

611 Axis Capital Holdings Ltd. (Insurance) 33,629 0.06

200 Endurance Specialty Holdings Ltd.

(Insurance) 12,156 0.02

139 Everest Re Group Ltd. (Insurance) 25,230 0.04

66 Golar LNG Ltd. (Transportation) 3,136 0.01

10 Helen of Troy Ltd.

(Household Products/Wares) 875 0.00

308 Montpelier Re Holdings Ltd. (Insurance) 11,726 0.02

256 PartnerRe Ltd. (Insurance) 33,646 0.06

295 RenaissanceRe Holdings Ltd. (Insurance) 30,123 0.05

941 Seadrill Ltd. (Oil & Gas) 11,307 0.02

16 Textainer Group Holdings Ltd.

(Trucking&Leasing) 451 0.00

601 Validus Holdings Ltd. (Insurance) 25,789 0.04

238,160 0.41


Brazil

2,100 Aliansce Shopping Centers S.A.


8,900 Ambev S.A.—ADR(b)


2,364 Banco Bradesco S.A. (Banks) 19,400 0.03

9,300 Banco Santander Brasil S.A.—ADR(b)

(Banks) 46,221 0.08

5,800 BR Properties S.A. (Real Estate) 19,166 0.03

200 Brasil Insurance Participacoes e

Administracao S.A. (Insurance) 100 0.00

300 Brasil Pharma S.A. (Pharmaceuticals) 80 0.00

1,100 Braskem S.A.—Preferred "A" (Chemicals) 4,469 0.01

2,600 BRF S.A. (Food, Beverages & Tobacco) 52,487 0.09

2,700 CCR S.A. (Commercial Services) 13,058 0.02

2,400 Centrais Eletricas Brasileiras

S.A.—Preferred "B" (Electric) 7,006 0.01

400 Cia Brasileira de Distribuicao—ADR(b)


3,500 Companhia de Saneamento Basico do

Estado de Sao Paulo—ADR(b) (Water) 20,335 0.04

3,528 Companhia Energetica de Minas

Gerais—Preferred (Electric) 15,670 0.03

2,500 Companhia Energetica de

Sao Paulo—Preferred "B" (Electric) 15,497 0.03

1,800 Companhia Paranaense de

Energia—Preferred "B" (Electric) 18,476 0.03

900 Cosan S.A. Industria e Comercio


929 CPFL Energia S.A. (Electric) 5,626 0.01

1,031 CPFL Energia S.A.—ADR(b) (Electric) 12,372 0.02

1,800 Diagnosticos da America S.A.


2,200 EcoRodovias Infraestrutura e Logistica S.A.


1,250 Embraer S.A.—ADR(b)


1,300 Equatorial Energia S.A. (Electric) 13,759 0.02

200 Eternit S.A. (Building Materials) 173 0.00

2,400 Fibria Celulose S.A.—ADR(b)


2,800 Fleury S.A. (Healthcare Services) 15,172 0.03

4,500 Gerdau S.A.—ADR(b) (Iron/Steel) 12,465 0.02

5,200 Gerdau S.A.—Preferred (Iron/Steel) 14,121 0.02

1,200 Hypermarcas S.A. (Pharmaceuticals) 8,179 0.01


(Banks) 118,283 0.20

8,300 JBS S.A.


4,900 Klabin S.A. (Forest Products & Paper) 29,161 0.05

6,000 Kroton Educacional S.A.


1,600 Lojas Renner S.A. (Retail) 53,649 0.09

300 Magnesita Refratarios S.A.

(Building Materials) 301 0.00

6,200 Metalurgica Gerdau S.A.—Preferred

(Iron/Steel) 15,147 0.03

3,000 Natura Cosmeticos S.A.


2,100 Porto Seguro S.A. (Insurance) 23,818 0.04

1,300 Profarma Distribuidora de Produtos

Farmaceuticos S.A. (Pharmaceuticals) 3,127 0.01

21,019 Rumo Logistica Operadora Multimodal S.A.


3,000 Suzano Papel e Celulose S.A.—Preferred "A"


2,900 Telefonica Brasil S.A.—ADR(b)


560 Tim Participacoes S.A.—ADR(b)


% of



% of



177



As at 31 May 2015



Brazil – (continued)

1,500 Transmissora Alianca de Energia Eletrica S.A.

(Electric) 9,674 0.02

900 Ultrapar Participacoes S.A. (Chemicals) 19,350 0.03

500 Usinas Siderurgicas de Minas Gerais S.A.

(Iron/Steel) 2,490 0.00

1,200 Usinas Siderurgicas de Minas

Gerais S.A.—Preferred "A" (Iron/Steel) 1,917 0.00

+ 10,500 Vale S.A.—ADR(b) (Iron/Steel) 66,150 0.11

14,700 Vale S.A.—Preferred (Iron/Steel) 77,170 0.13

2,600 WEG S.A. (Machinery—Diversified) 14,015 0.02

1,070,302 1.82

British Virgin Islands

200 Michael Kors Holdings Ltd. (Apparel) 9,300 0.02

Canada

100 5N Plus, Inc. (Mining) 99 0.00

500 Agnico Eagle Mines Ltd. (Mining) 16,030 0.03

800 Alimentation Couche-Tard, Inc. "B" (Retail) 31,058 0.05

900 AltaGas Ltd. (Pipelines) 28,595 0.05

100 Amaya, Inc. (Entertainment) 2,740 0.00

2,400 Artis REIT


100 Avigilon Corp. (Electronics) 1,451 0.00

1,400 Bank of Montreal (Banks) 85,138 0.14

2,400 Bank of Nova Scotia (Banks) 125,744 0.21

3,800 Barrick Gold Corp. (Mining) 44,812 0.08

100 BCE, Inc. (Telecommunications) 4,366 0.01

400 Boston Pizza Royalties Income Fund

(Retail) 6,951 0.01

1,500 Brookfield Asset Management, Inc. "A"


700 Canadian Apartment Properties REIT


800 Canadian Imperial Bank of Commerce

(Banks) 60,821 0.10

1,200 Canadian National Railway Co.


200 Canadian Pacific Railway Ltd.


300 Canadian Tire Corp. Ltd. "A" (Retail) 30,991 0.05

400 Catamaran Corp. (Healthcare Services) 23,857 0.04

800 Centerra Gold, Inc. (Mining) 4,922 0.01

800 CGI Group, Inc. "A" (Computers) 33,763 0.06

1,000 CI Financial Corp.


1,600 Cominar REIT


100 Continental Gold Ltd. (Mining) 213 0.00

1,500 Detour Gold Corp. (Mining) 15,970 0.03

1,500 Eldorado Gold Corp. (Mining) 7,198 0.01

700 Emera, Inc. (Electric) 23,132 0.04

800 Enbridge, Inc. (Pipelines) 38,121 0.06

800 Fortis, Inc. (Electric) 24,341 0.04

800 Franco-Nevada Corp. (Mining) 40,992 0.07

200 Genworth MI Canada, Inc. (Insurance) 5,417 0.01

2,800 Goldcorp, Inc. (Mining) 49,529 0.08

700 Great-West Lifeco, Inc. (Insurance) 20,205 0.03

400 Intact Financial Corp. (Insurance) 28,581 0.05

3,600 Kinross Gold Corp. (Mining) 8,479 0.01

300 Laurentian Bank of Canada (Banks) 11,486 0.02

477 Loblaw Companies Ltd.


400 Medical Facilities Corp.


900 Metro, Inc. (Food, Beverages & Tobacco) 24,781 0.04

600 National Bank of Canada (Banks) 23,318 0.04

1,400 Northland Power, Inc. (Electric) 18,786 0.03


Canada – (continued)

1,400 NorthWest Healthcare Properties



1,300 Potash Corp. of Saskatchewan, Inc.

(Chemicals) 40,763 0.07

1,100 Power Corp. of Canada (Insurance) 28,367 0.05

1,400 Power Financial Corp. (Insurance) 40,264 0.07

160 Restaurant Brands International, Inc. (Retail) 6,173 0.01

3,100 Retrocom Mid-Market REIT


1,200 RioCan Real Estate Investment Trust


400 Rogers Communications, Inc. "B"


2,900 Royal Bank of Canada (Banks) 183,700 0.31

600 Saputo, Inc.


1,000 Shaw Communications, Inc. "B" (Media) 21,991 0.04

1,000 Sienna Senior Living, Inc.


700 Telus Corp.(c) (Telecommunications) 23,809 0.04

3,900 Toronto-Dominion Bank (Banks) 169,185 0.29

1,300 TransCanada Corp. (Pipelines) 56,135 0.10

700 Valener, Inc. (Gas) 9,589 0.02

600 Whistler Blackcomb Holdings, Inc.


2,100 Yamana Gold, Inc. (Mining) 7,520 0.01

1,806,822 3.08

Cayman Islands

439 Home Loan Servicing Solutions Ltd.


Chile

192,839 Banco de Chile (Banks) 22,196 0.04

1,149 Companhia Cervecerias Unidas S.A.


383 Empresa Nacional de Electricidad S.A.—ADR(b)

(Electric) 17,109 0.03

4,125 Enersis S.A.—ADR(b) (Electric) 70,166 0.12

1,000 ENTEL Chile S.A. (Telecommunications) 12,014 0.02

29,562 Grupo Security S.A.


6,410 Inversiones Aguas Metropolitanas S.A.

(Water) 10,070 0.02

8,042 Parque Arauco S.A. (Real Estate) 15,562 0.02

737 SACI Falabella (Retail) 5,527 0.01

175,443 0.30

China

3,000 AAC Technologies Holdings, Inc.



18,000 Air China Ltd. "H" (Airlines) 22,130 0.04

200 Alibaba Group Holding Ltd.—ADR(b) (Internet) 17,864 0.03


2,000 Anton Oilfield Services Group

(Oil & Gas Services) 464 0.00

12,000 AviChina Industry & Technology Co., Ltd.


641,000 Bank of China Ltd. "H" (Banks) 425,870 0.73

18,000 Bank of Chongqing Co., Ltd. "H" (Banks) 17,950 0.03

260,000 Bank of Communications Co., Ltd. "H"

(Banks) 247,538 0.42

3,000 Baoxin Auto Group Ltd. (Retail) 2,508 0.00



% of



% of



178



As at 31 May 2015




16,000 Beijing Jingneng Clean Energy Co., Ltd. "H"


2,500 Biostime International Holdings Ltd.


1,000 Boyaa Interactive International Ltd.

(Software) 1,029 0.00

15,000 Changshouhua Food Co., Ltd.


1,000 Chaowei Power Holdings Ltd.

(Electrical Components & Equipment) 824 0.00

20,000 China BlueChemical Ltd. "H" (Chemicals) 8,953 0.02

99,000 China Cinda Asset Management Co., Ltd. "H"


58,000 China Communications Construction Co., Ltd. "H"


30,000 China Communications Services Corp., Ltd. "H"


3,000 China Conch Venture Holdings Ltd.


617,000 China Construction Bank Corp. "H" (Banks) 620,060 1.06

72,000 China Dongxiang Group Co. (Retail) 20,435 0.04

400 China Gold International Resources Corp., Ltd.

(Mining) 788 0.00

17,500 China Hongqiao Group Ltd. (Mining) 17,745 0.03

100 China Lodging Group Ltd.—ADR(b)

(Lodging) 2,478 0.00

31,000 China Longyuan Power Group Corp. "H"


4,000 China Machinery Engineering Corp. "H"


7,000 China Medical System Holdings Ltd.




4,000 China Minzhong Food Corp., Ltd.


29,000 China Modern Dairy Holdings Ltd.



(Oil & Gas) 172,170 0.29

5,000 China Sanjiang Fine Chemicals Co., Ltd.

(Chemicals) 1,864 0.00

16,000 China Southern Airlines Co., Ltd. "H"

(Airlines) 16,410 0.03

104,000 China Telecom Corp., Ltd. "H"



14,500 China Yongda Automobiles Services

Holdings Ltd. (Retail) 11,149 0.02

19,600 China Zhongwang Holdings Ltd.


2,000 Chinasoft International Ltd. (Software) 1,409 0.00

3,500 Chongqing Changan Automobile Co., Ltd.


100 CNinsure, Inc.—ADR(b) (Insurance) 809 0.00

4,000 Coolpad Group Ltd. (Telecommunications) 1,440 0.00

18,000 CSPC Pharmaceutical Group Ltd.


11,000 CSR Corp. Ltd. "H"(c)


5,500 Dalian Wanda Commercial Properties

Co., Ltd. 144A(a) (Real Estate) 45,126 0.08

2,000 Daphne International Holdings Ltd. (Retail) 581 0.00

30,000 Datang International Power Generation

Co., Ltd. "H" (Electric) 17,571 0.03

30,000 Dongfeng Motor Group Co., Ltd. ‘‘H’’


300 Forgame Holdings Ltd. (Internet) 948 0.00

4,000 Fufeng Group Ltd. (Chemicals) 3,282 0.01



25,000 Geely Automobile Holdings Ltd.


10,000 Golden Eagle Retail Group Ltd. (Retail) 15,378 0.03

54,826 GOME Electrical Appliances Holding Ltd.

(Retail) 14,358 0.02

2,000 Goodbaby International Holdings Ltd.


8,000 Greatview Aseptic Packaging Co., Ltd.


2,000 Guangshen Railway Co., Ltd. "H"


24,000 Guangzhou Automobile Group Co., Ltd. "H"


3,000 Guodian Technology & Environment

Group Corp. Ltd.




3,000 Hilong Holding Ltd. (Oil & Gas Services) 960 0.00

2,000 Hisense Kelon Electrical Holdings Co., Ltd.


34,000 Huaneng Power International, Inc. ‘‘H’’

(Electric) 45,529 0.08

18,000 Huaneng Renewables Corp. Ltd. (Electric) 8,429 0.01

49,000 Huishang Bank Corp. Ltd. "H" (Banks) 25,981 0.04

12,000 Hydoo International Holdings Ltd.



(Banks) 561,662 0.96

7,000 Inner Mongolia Yitai Coal Co., Ltd. "B"

(Coal) 12,075 0.02

25,500 Intime Retail Group Co., Ltd. (Retail) 43,555 0.07

2,000 Jiangnan Group Ltd.


2,000 Jintian Pharmaceutical Group Ltd. (Retail) 1,089 0.00

2,000 Kingdee International Software Group Co., Ltd.

(Software) 1,600 0.00

300 Kongzhong Corp.—ADR(b) (Entertainment) 1,881 0.00

26,000 Lenovo Group Ltd. (Computers) 41,256 0.07

15,583 Li Ning Co., Ltd. (Retail) 9,127 0.02

1,200 Mindray Medical International Ltd.—ADR(b)


6,000 Minth Group Ltd. (Auto Parts & Equipment) 14,784 0.03

400 NetEase, Inc.—ADR(b) (Software) 56,564 0.10

1,300 New Oriental Education &

Technology Group, Inc.—ADR(b)


3,500 Parkson Retail Group Ltd. (Retail) 853 0.00

64,000 People’s Insurance Co. Group of

China Ltd. "H" (Insurance) 45,410 0.08

1,600 Perfect World Co., Ltd.—ADR(b) (Software) 31,648 0.05

112,000 PetroChina Co., Ltd. "H" (Oil & Gas) 132,784 0.23

140,000 Semiconductor Manufacturing

International Corp. (Semiconductors) 16,074 0.03

5,800 Shanda Games Ltd.—ADR(b) (Software) 40,339 0.07

4,000 Shandong Weigao Group Medical

Polymer Co., Ltd. "H"


10,000 Shanghai Electric Group Co., Ltd. "H"


6,300 Shanghai Pharmaceuticals Holding Co., Ltd. "H"

(Retail) 20,887 0.04


(Apparel) 24,705 0.04

19,000 Sihuan Pharmaceutical Holdings Group Ltd.(c)


500 SINA Corp. (Internet) 20,365 0.03

1,000 SinoMedia Holdings Ltd. (Advertising) 618 0.00

% of



% of



179



As at 31 May 2015




24,500 Sinopec Engineering Group Co., Ltd. "H"


2,000 Sinopec Shanghai Petrochemical Co., Ltd.

(Chemicals) 980 0.00

6,000 Sinopharm Group Co., Ltd. "H"


16,000 Sinotrans Ltd. (Transportation) 12,488 0.02

45,000 SOHO China Ltd. (Real Estate) 30,710 0.05

300 Sohu.com, Inc. (Internet) 19,104 0.03

1,000 Springland International Holdings Ltd.

(Retail) 364 0.00

4,000 SPT Energy Group, Inc. (Oil & Gas Services) 820 0.00

18,500 Sun Art Retail Group Ltd. (Retail) 16,277 0.03

5,000 Sunny Optical Technology Group Co., Ltd.


500 TAL Education Group—ADR(b)


11,000 TCL Communication Technology Holdings Ltd.


8,900 Tencent Holdings Ltd. (Internet) 178,768 0.30

4,000 Tianneng Power International Ltd.


8,000 Tingyi Cayman Islands Holding Corp.


2,000 Travelsky Technology Ltd. "H" (Software) 3,468 0.01

2,000 Trigiant Group Ltd. (Electronics) 671 0.00

12,000 Uni-President China Holdings Ltd.


25,000 Want Want China Holdings Ltd.


1,000 Wisdom Holdings Group


11,000 Wumart Stores, Inc. "H"


700 WuXi PharmaTech Cayman, Inc.—ADR(b)


1,000 Xinchen China Power Holdings Ltd.

(Auto Parts & Equipment) 451 0.00

18,000 Xinyi Solar Holdings Ltd.


43,000 Yangzijiang Shipbuilding Holdings Ltd.

(Shipbuilding) 46,063 0.08

100 Yantai Changyu Pioneer Wine Co., Ltd.


56,000 Yuzhou Properties Co., Ltd.


4,500 Zhaojin Mining Industry Co., Ltd. "H"

(Mining) 3,750 0.01

3,000 Zhongsheng Group Holdings Ltd. (Retail) 2,512 0.00

4,281,744 7.29

Colombia

297 Almacenes Exito S.A. (Retail) 2,638 0.01

100 Banco de Bogota S.A. (Banks) 2,455 0.00

1,818 Bancolombia S.A.—ADR(b) (Banks) 74,047 0.13

7,616 Empresa de Energia de Bogota S.A.

(Electric) 5,042 0.01

124 Grupo Argos S.A. (Building Materials) 795 0.00




2,767 Grupo de Inversiones Suramericana S.A.


278 Grupo Nutresa S.A.


126,904 0.22


Cyprus

1,097 Globaltrans Investment Plc.—GDR


308 Ocean Rig UDW, Inc. (Oil & Gas) 2,387 0.00

900 QIWI Plc.—ADR(b) (Internet) 27,198 0.05

35,871 0.06

Czech Republic

2,369 CEZ AS (Electric) 58,925 0.10

187 Komercni Banka AS (Banks) 40,095 0.07

146 Pegas Nonwovens S.A. (Textiles) 4,672 0.01

1,393 Telefonica Czech Republic AS(c)


113,588 0.19

Denmark

71 Auriga Industries A/S "B" (Chemicals) 3,349 0.01

455 Carlsberg A/S "B"


125 Coloplast A/S "B" (Healthcare Products) 9,424 0.02

15 Dfds A/S (Transportation) 1,752 0.00

837 DSV A/S (Transportation) 29,053 0.05

523 GN Store Nord A/S (Telecommunications) 11,283 0.02

11 IC Group A/S (Apparel) 316 0.00

490 Jyske Bank A/S (Banks) 23,583 0.04


379 Novozymes A/S "B" (Chemicals) 18,196 0.03

52 Rockwool International A/S "B"


532 Spar Nord Bank A/S (Banks) 5,551 0.01

226 Sydbank A/S (Banks) 8,745 0.01

4,335 TDC A/S (Telecommunications) 32,363 0.05

575 Topdanmark A/S (Insurance) 15,734 0.03

870 Tryg A/S (Insurance) 17,350 0.03

337,357 0.57

Egypt

354 Alexandria Mineral Oils Co. (Chemicals) 2,155 0.00

7,242 Commercial International Bank Egypt SAE

(Banks) 53,883 0.09

17,732 Talaat Moustafa Group (Real Estate) 22,775 0.04

78,813 0.13

Finland

364 Amer Sports OYJ (Leisure Time) 9,259 0.02

79 Caverion Corp. (Commercial Services) 787 0.00

1,093 Fortum OYJ (Electric) 20,755 0.04

616 Kone OYJ "B" (Machinery—Diversified) 25,778 0.04

462 Neste Oil OYJ (Oil & Gas) 11,680 0.02

5,039 Nokia OYJ (Telecommunications) 36,710 0.06

44 PKC Group OYJ (Telecommunications) 1,092 0.00

1,177 Sampo OYJ "A" (Insurance) 55,333 0.09

41 Stockmann OYJ Abp "B" (Retail) 294 0.00

566 Tikkurila OYJ (Chemicals) 10,853 0.02

48 Uponor OYJ


318 Valmet OYJ (Machinery—Diversified) 3,556 0.01

335 Wartsila OYJ Abp


191,813 0.33

France

503 Air Liquide S.A. (Chemicals) 64,687 0.11

1,302 Airbus Group NV


301 AtoS SE (Computers) 23,110 0.04

3,259 Bollore S.A.


% of



% of



180



As at 31 May 2015




673 Bouygues S.A.


465 Cap Gemini S.A. (Computers) 40,285 0.07

1,281 Carrefour S.A.


200 Casino Guichard Perrachon S.A.


148 Christian Dior SE (Apparel) 29,661 0.05

10 Criteo S.A.—ADR(b) (Internet) 480 0.00

1,315 Danone S.A.


746 Electricite de France S.A. (Electric) 18,304 0.03

258 Essilor International S.A.


5,136 GDF Suez (Electric) 103,467 0.18

29 Hermes International (Apparel) 11,308 0.02

54 Iliad S.A. (Internet) 12,216 0.02

120 Ingenico (Computers) 14,860 0.03

110 IPSOS (Advertising) 2,937 0.01

255 Kering (Retail) 44,717 0.08

400 Korian-Medica (Healthcare Services) 13,851 0.02

484 L’Oreal S.A. (Cosmetics/Personal Care) 91,242 0.16

440 Lagardere SCA (Media) 13,309 0.02

548 Legrand S.A.


616 LVMH Moet Hennessy Louis Vuitton SE

(Apparel) 109,508 0.19

23 Mersen (Electrical Components & Equipment) 622 0.00

7,929 Orange S.A. (Telecommunications) 124,831 0.21

647 Pernod Ricard S.A.


731 Publicis Groupe S.A. (Advertising) 58,352 0.10

335 Rubis SCA (Gas) 22,643 0.04

774 Safran S.A. (Aerospace & Defence) 54,657 0.09

2,878 Sanofi (Pharmaceuticals) 281,295 0.48

1,159 SCOR SE (Insurance) 39,645 0.07

1,272 Societe d’Edition de Canal + (Media) 10,668 0.02

348 Sodexo S.A.


29 Ste Industrielle d’Aviation Latecoere S.A.

(Aerospace & Defence) 324 0.00

460 Technip S.A. (Oil & Gas Services) 30,305 0.05

191 Teleperformance (Advertising) 14,043 0.02

411 Thales S.A. (Aerospace & Defence) 25,522 0.04

7,158 Total S.A. (Oil & Gas) 360,797 0.61

254 UBISOFT Entertainment (Software) 4,578 0.01

236 Unibail-Rodamco SE


1,090 Vinci S.A. (Construction & Engineering) 64,627 0.11

3,527 Vivendi S.A. (Media) 89,672 0.15

516 Zodiac Aerospace


2,316,455 3.94

Germany

679 Adidas AG (Apparel) 53,249 0.09

14 Aurelius AG (Investment Companies) 688 0.00

61 Aurubis AG (Metal Fabricate/Hardware) 3,780 0.01

114 Axel Springer SE (Media) 6,198 0.01

2,047 BASF SE (Chemicals) 188,964 0.32




53 Bayerische Motoren Werke AG—Preferred


50 BayWa AG (Agriculture) 1,748 0.00

31 Bechtle AG (Computers) 2,273 0.00

14 Bertrandt AG (Commercial Services) 1,836 0.00

184 Bilfinger SE (Construction & Engineering) 7,807 0.01



3 Biotest AG (Biotechnology) 261 0.00

441 Brenntag AG (Chemicals) 26,587 0.05

50 Cancom SE (Computers) 1,865 0.00

5 Cewe Color Holding AG (Retail) 302 0.00

277 Deutsche Annington Immobilien SE


508 Deutsche Beteiligungs AG


486 Deutsche Boerse AG


287 Deutsche Euroshop AG (Real Estate) 13,846 0.02

1,899 Deutsche Lufthansa AG (Airlines) 26,649 0.05

2,577 Deutsche Post AG (Transportation) 77,540 0.13

5,314 Deutsche Telekom AG


1,118 Deutsche Wohnen AG (Real Estate) 27,186 0.05

76 Dic Asset Ag (Real Estate) 711 0.00

5 Draegerwerk AG & Co. KGaA—Preferred

(Healthcare Products) 549 0.00

78 Duerr AG (Machinery—Diversified) 7,959 0.01

9,247 E.ON SE (Electric) 135,544 0.23

211 Fraport AG Frankfurt Airport Services Worldwide


584 Freenet AG (Telecommunications) 19,173 0.03

722 Fresenius Medical Care AG & Co. KGaA


997 Fresenius SE & Co. KGaA


79 Fuchs Petrolub SE—Preferred (Chemicals) 3,459 0.01

87 Gerresheimer AG


61 Gerry Weber International AG (Apparel) 1,932 0.00

79 Gesco AG (Miscellaneous Manufacturing) 6,660 0.01

34 GFT Technologies AG (Software) 729 0.00

358 Hannover Rueck SE (Insurance) 34,716 0.06

607 Heidelberger Druckmaschinen AG


213 Henkel AG & Co. KGaA


492 Henkel AG & Co. KGaA—Preferred


19 Homag Group AG

(Machinery—Diversified) 729 0.00

15 Hornbach Holding AG—Preferred (Retail) 1,308 0.00

16 Hugo Boss AG (Retail) 1,823 0.00

32 Indus Holding AG


72 Jenoptik AG (Computers) 919 0.00

690 K&S AG (Chemicals) 22,445 0.04

27 Krones AG (Machinery—Diversified) 2,954 0.01

53 KUKA AG (Hand/Machine Tools) 4,189 0.01

430 Linde AG (Chemicals) 82,430 0.14

167 MAN SE (Machinery—Diversified) 17,229 0.03

308 Merck KGaA (Pharmaceuticals) 32,880 0.06

32 Morphosys AG (Biotechnology) 2,345 0.01

257 MTU Aero Engines AG


709 Muenchener Rueckversicherungs AG

(Insurance) 130,589 0.22

21 Norma Group SE


349 Osram Licht AG


30 Pfeiffer Vacuum Technology AG


210 PNE Wind AG

(Energy-Alternate Sources) 521 0.00

500 Rhoen Klinikum AG


% of



% of



181



As at 31 May 2015




1,819 RWE AG (Electric) 42,398 0.07

2,104 SAP SE (Software) 155,450 0.27

88 SGL Carbon SE (Chemicals) 1,441 0.00

18 SHW AG (Auto Parts & Equipment) 829 0.00

2,057 Siemens AG


259 Software AG (Software) 7,296 0.01

216 Stada Arzneimittel AG (Pharmaceuticals) 7,482 0.01

543 Suedzucker AG


283 Symrise AG (Chemicals) 17,983 0.03

992 TAG Immobilien AG (Real Estate) 12,736 0.02

2,066 Telefonica Deutschland Holding AG


51 Tom Tailor Holding AG (Retail) 579 0.00

150 United Internet AG (Internet) 6,983 0.01

172 Volkswagen AG


752 Volkswagen AG—Preferred


23 Vossloh AG


53 Wacker Neuson SE


50 Wincor Nixdorf AG (Computers) 1,862 0.00

258 Wirecard AG (Commercial Services) 10,672 0.02

2,463,370 4.19

Greece

382 Aegean Marine Petroleum Network, Inc.


1,488 Diana Shipping, Inc. (Transportation) 9,553 0.01

2,266 Ellaktor S.A. (Commercial Services) 4,223 0.01

399 FF Group (Retail) 10,892 0.02

1,761 GEK Terna Holding Real Estate

Construction S.A. (Real Estate) 3,302 0.01

944 Hellenic Petroleum S.A. (Oil & Gas) 5,009 0.01

1,192 Hellenic Telecommunications Organization S.A.


2,934 Intralot S.A. – Integrated Lottery

Systems & Services (Entertainment) 5,340 0.01

721 JUMBO S.A. (Retail) 6,798 0.01

254 Metka S.A. (Metal Fabricate/Hardware) 2,186 0.00

168 Motor Oil Hellas Corinth Refineries S.A.

(Oil & Gas) 1,520 0.00

453 Mytilineos Holdings S.A.


900 Navios Maritime Holdings, Inc.


1,106 OPAP S.A. (Entertainment) 10,792 0.02

416 Safe Bulkers, Inc. (Transportation) 1,385 0.00

461 Titan Cement Co. S.A. (Building Materials) 10,599 0.02

1,654 Tsakos Energy Navigation Ltd.


109,420 0.19

Hong Kong

12,800 AIA Group Ltd. (Insurance) 84,298 0.14

2,000 Ajisen China Holdings Ltd. (Retail) 1,213 0.00

19,432 Asian Citrus Holdings Ltd. (Agriculture) 3,083 0.01

600 Bank of East Asia Ltd. (Banks) 2,709 0.01

2,000 Beijing Development HK Ltd.

(Holding Companies—Diversified) 702 0.00

4,500 Beijing Enterprises Holdings Ltd. (Gas) 39,389 0.07

24,000 Beijing Enterprises Water Group Ltd. (Water) 20,280 0.04

34,000 Belle International Holdings Ltd. (Retail) 43,424 0.07

10,000 Carnival Group International Holdings Ltd.


2,000 Cathay Pacific Airways Ltd. (Airlines) 5,124 0.01



20,000 Chigo Holding Ltd. (Home Furnishings) 555 0.00

2,000 China Foods Ltd.


14,000 China Gas Holdings Ltd. (Gas) 24,129 0.04


40,000 China Power International Development Ltd.

(Electric) 29,104 0.05

6,000 China Precious Metal Resources

Holdings Co., Ltd. (Mining) 542 0.00

16,064 China Resources Enterprise Ltd. (Retail) 48,286 0.08

16,000 China Resources Power Holdings Co., Ltd.

(Electric) 44,481 0.08

52,000 China South City Holdings Ltd.


4,000 China Travel International Investment

Hong Kong Ltd. (Leisure Time) 1,956 0.00

36,000 China Unicom Hong Kong Ltd.


3,500 CLP Holdings Ltd. (Electric) 30,613 0.05

13,200 Comba Telecom Systems Holdings Ltd.


5,000 Dah Chong Hong Holdings Ltd.


11,000 Digital China Holdings Ltd.


1,500 Esprit Holdings Ltd. (Retail) 1,500 0.00

5,500 Fairwood Holdings Ltd. (Retail) 16,248 0.03

48,000 Franshion Properties China Ltd.


2,000 Giordano International Ltd. (Retail) 1,133 0.00


40,000 Hanergy Thin Film Power Group Ltd.(c)




3,700 Hongkong Land Holdings Ltd.


25,700 Hopewell Highway Infrastructure Ltd.


4,000 Hopewell Holdings Ltd. (Real Estate) 15,636 0.03

16,000 Huabao International Holdings Ltd.

(Chemicals) 15,439 0.03

5,000 Hutchison Whampoa Ltd.(c)


408 Jardine Matheson Holdings Ltd.


501 Jardine Strategic Holdings Ltd.


14,000 Ju Teng International Holdings Ltd.

(Computers) 8,651 0.02

30,000 Kunlun Energy Co., Ltd. (Oil & Gas) 32,587 0.06

500 Lifestyle International Holdings Ltd.

(Retail) 908 0.00

6,000 Lijun International Pharmaceutical

Holdings Co., Ltd. (Pharmaceuticals) 2,322 0.00

4,500 Link REIT


500 Louis XIII Holdings Ltd.


4,092 MTR Corp., Ltd. (Transportation) 19,611 0.03

1,000 NetDragon Websoft, Inc. (Software) 5,012 0.01

2,000 New World China Land Ltd. (Real Estate) 1,324 0.00

20,000 Newocean Energy Holdings Ltd. (Retail) 10,062 0.02

1,000 Pacific Textile Holdings Ltd. (Textiles) 1,401 0.00

2,500 Power Assets Holdings Ltd. (Electric) 23,963 0.04

9,000 Real Nutriceutical Group Ltd.


100,000 REXLot Holdings Ltd. (Entertainment) 7,353 0.01

10,000 Road King Infrastructure Ltd. (Real Estate) 9,792 0.02

% of



% of



182



As at 31 May 2015




6,360 Rotam Global Agrosciences Ltd.


9,000 Shanghai Industrial Holdings Ltd.


2,000 Shangri-La Asia Ltd. (Lodging) 3,060 0.01

11,750 Shenzhen International Holdings Ltd.


18,000 Shougang Fushan Resources Group Ltd.

(Coal) 4,226 0.01

12,000 Sino Biopharmaceutical Ltd.


12,000 Sinopec Kantons Holdings Ltd.


1,000 SITC International Holdings Co., Ltd.

(Transportation) 677 0.00

5,031 Sun Hung Kai Properties Ltd.


15,000 Sunlight Real Estate Investment Trust


1,500 Swire Pacific Ltd. "A"


2,000 TCL Multimedia Technology Holdings Ltd.


31,200 Tech Pro Technology Development Ltd.


300 Television Broadcasts Ltd. (Media) 1,844 0.00

2,000 Texhong Textile Group Ltd. (Apparel) 2,237 0.00

10,000 Tianjin Development Holdings Ltd.

(Electric) 10,062 0.02

2,000 Tibet 5100 Water Resources Holdings Ltd.


200 VTech Holdings Ltd. (Telecommunications) 2,637 0.00

11,500 Yingde Gases Group Co., Ltd.


2,000 Yip’s Chemical Holdings Ltd. (Chemicals) 1,189 0.00

500 Yue Yuen Industrial Holdings Ltd.

(Apparel) 1,719 0.00

110,000 Yuexiu Property Co., Ltd. (Real Estate) 25,543 0.04

34,000 Yuexiu Real Estate Investment Trust


1,697,873 2.89

Hungary

3,966 Magyar Telekom Telecommunications Plc.


627 MOL Hungarian Oil & Gas Plc.

(Oil & Gas) 32,688 0.06

2,684 OTP Bank Plc. (Banks) 54,202 0.09

1,446 Richter Gedeon Nyrt (Pharmaceuticals) 23,566 0.04

116,301 0.20

Indonesia

5,100 Astra Agro Lestari Tbk PT (Agriculture) 9,564 0.02

104,300 Astra International Tbk PT (Retail) 57,576 0.10


33,800 Bank Danamon Indonesia Tbk PT

(Banks) 11,297 0.02


60,200 Bank Negara Indonesia Persero Tbk PT

(Banks) 31,297 0.05

77,600 Gajah Tunggal Tbk PT


5,200 Gudang Garam Tbk PT


129,300 Indah Kiat Pulp & Paper Corp. Tbk PT


13,100 Indocement Tunggal Prakarsa Tbk PT



Indonesia – (continued)

7,200 Indofood CBP Sukses Makmur Tbk PT


37,100 Indofood Sukses Makmur Tbk PT


4,700 Inovisi Infracom Tbk PT(c)

(Telecommunications) 42 0.00

14,300 Japfa Comfeed Indonesia Tbk PT

(Agriculture) 735 0.00

3,900 Malindo Feedmill Tbk PT (Agriculture) 550 0.00

50,000 Matahari Putra Prima Tbk PT (Retail) 13,801 0.02

35,200 Pembangunan Perumahan Persero Tbk PT


41,800 Perusahaan Gas Negara Persero Tbk PT

(Gas) 13,576 0.02

61,300 Perusahaan Perkebunan London Sumatra

Indonesia Tbk PT (Agriculture) 7,718 0.01

24,100 Semen Indonesia Persero Tbk PT


642,500 Sugih Energy Tbk PT (Oil & Gas) 20,066 0.03

241,300 Telekomunikasi Indonesia Persero Tbk PT


40,200 Wijaya Karya Persero Tbk PT


11,000 XL Axiata Tbk PT


450,654 0.77

Ireland

487 Accenture Plc. "A" (Computers) 46,772 0.08

415 Beazley Plc. (Insurance) 1,884 0.00

2,259 CRH Plc. (Building Materials) 63,204 0.11

319 DCC Plc. (Oil & Gas) 25,312 0.04

159 Endo International Plc.


52 Fleetmatics Group Plc. (Software) 2,174 0.00

603 Fly Leasing Ltd.—ADR(b)


3,119 Greencore Group Plc.


208 ICON Plc. (Healthcare Services) 13,493 0.02



85 Mallinckrodt Plc. (Pharmaceuticals) 11,002 0.02

658 Medtronic Plc. (Healthcare Products) 50,219 0.09

190 Perrigo Co., Plc. (Pharmaceuticals) 36,157 0.06

467 Shire Plc. (Pharmaceuticals) 40,156 0.07

38 Shire Plc.—ADR(b) (Pharmaceuticals) 9,886 0.02

633 XL Group Plc. (Insurance) 23,851 0.04

382,733 0.65

Israel

6,161 Bank Hapoalim BM (Banks) 32,322 0.05

8,850 Bank Leumi Le-Israel BM (Banks) 34,605 0.06

6,666 Bezeq The Israeli Telecommunication Corp., Ltd.


794 First International Bank Of Israel Ltd.

(Banks) 10,662 0.02

714 Gazit-Globe Ltd. (Real Estate) 8,894 0.01

11,929 Israel Discount Bank Ltd. "A" (Banks) 21,241 0.04

49 Mazor Robotics Ltd. (Healthcare Products) 316 0.00

1,295 Mizrahi Tefahot Bank Ltd. (Banks) 14,732 0.02

597 NICE Systems Ltd.—ADR(b)


20 Paz Oil Co., Ltd. (Oil & Gas) 2,972 0.01

1,712 Teva Pharmaceutical Industries Ltd.—ADR(b)


277,230 0.47

% of



% of



183



As at 31 May 2015



Italy

17,861 A2A SpA (Electric) 22,206 0.04

1,296 Ansaldo STS SpA (Transportation) 13,349 0.02

6,702 Assicurazioni Generali SpA (Insurance) 129,394 0.22

830 Astaldi SpA (Construction & Engineering) 7,221 0.01

527 Atlantia SpA (Commercial Services) 13,531 0.02

470 Autogrill SpA (Retail) 4,323 0.01

25,735 Banca Popolare di Milano SCARL

(Banks) 26,592 0.05

4,565 Banca Popolare di Sondrio SCARL

(Banks) 21,901 0.04

168 Brembo SpA (Auto Parts & Equipment) 7,126 0.01

984 Brunello Cucinelli SpA (Apparel) 18,599 0.03

574 Buzzi Unicem SpA (Building Materials) 8,766 0.01

79 Cementir Holding SpA


2,133 Davide Campari-Milano SpA


10,856 Enel Green Power SpA (Electric) 20,507 0.03

33,561 Enel SpA (Electric) 162,559 0.28

+ 13,990 Eni SpA (Oil & Gas) 251,389 0.43

2,076 Finmeccanica SpA


417 Industria Macchine Automatiche SpA


795 Interpump Group SpA


377 Luxottica Group SpA (Retail) 25,337 0.04

3,684 Mediobanca SpA (Banks) 37,845 0.06

202 Piaggio & C SpA (Leisure Time) 653 0.00

8,072 Piccolo Credito Valtellinese SC (Banks) 11,018 0.02

1,489 Pirelli & C. SpA


1,800 Prada SpA (Apparel) 9,881 0.02

825 Prysmian SpA


480 RCS MediaGroup SpA (Media) 648 0.00

70 Safilo Group SpA


2,636 Saipem SpA (Oil & Gas Services) 33,408 0.06

138 Salvatore Ferragamo Italia SpA (Retail) 4,342 0.01

+ 8,839 Snam SpA (Gas) 43,647 0.07

70,891 Telecom Italia SpA (Telecommunications) 86,737 0.15

39,434 Telecom Italia SpA—RSP


6,445 Terna Rete Elettrica Nazionale SpA

(Electric) 30,666 0.05

15 Tod’s SpA (Apparel) 1,380 0.00

2,849 Unipol Gruppo Finanziario SpA (Insurance) 15,399 0.03

1,910 Unipol Gruppo Finanziario SpA—Preferred

(Insurance) 10,437 0.02

1,862 UnipolSai SpA (Insurance) 5,050 0.01

3,604 UnipolSai SpA—RSP "B" (Insurance) 9,918 0.02

470 World Duty Free SpA (Retail) 5,194 0.01

165 Yoox SpA (Internet) 5,351 0.01

1,207,840 2.06

Japan

3,000 77 Bank Ltd. (Banks) 16,826 0.03

900 ADEKA Corp. (Chemicals) 12,503 0.02

6 Advance Residence Investment Corp.


3,400 Aeon Co., Ltd. (Retail) 45,509 0.08

600 Aeon Financial Service Co., Ltd.


1,000 Ajinomoto Co., Inc.


1,200 Alfresa Holdings Corp. (Pharmaceuticals) 18,421 0.03

100 AltPlus, Inc. (Internet) 745 0.00

700 Anritsu Corp. (Electronics) 4,975 0.01



500 Aoyama Trading Co., Ltd. (Retail) 19,118 0.03

5,000 Aozora Bank Ltd. (Banks) 19,300 0.03

5,000 Asahi Glass Co., Ltd.


1,400 Asahi Group Holdings Ltd.


500 Asahi Holdings, Inc.


6,000 Asahi Kasei Corp. (Chemicals) 53,403 0.09

4,300 Astellas Pharma, Inc. (Pharmaceuticals) 62,787 0.11

500 Avex Group Holdings, Inc.


2,000 Awa Bank Ltd. (Banks) 12,249 0.02

700 Bandai Namco Holdings, Inc.


2,000 Bank of Kyoto Ltd. (Banks) 22,918 0.04

5,000 Bank of Yokohama Ltd. (Banks) 31,170 0.05

1,800 Bridgestone Corp.


600 Can Do Co., Ltd. (Retail) 7,359 0.01

3,100 Canon, Inc.


400 Capcom Co., Ltd. (Software) 7,759 0.01

300 Central Japan Railway Co.


3,000 Chiba Bank Ltd. (Banks) 23,716 0.04

2,300 Chubu Electric Power Co., Inc. (Electric) 34,807 0.06

1,600 Chugoku Bank Ltd. (Banks) 24,678 0.04

1,500 Chugoku Electric Power Co., Inc.

(Electric) 22,773 0.04

800 Citizen Holdings Co., Ltd. (Retail) 5,841 0.01

1,200 Colowide Co., Ltd. (Retail) 17,725 0.03

500 Credit Saison Co., Ltd.


200 CyberAgent, Inc. (Internet) 9,299 0.02

1,000 Dai Nippon Printing Co., Ltd.


1,700 Daihatsu Motor Co., Ltd.


2,200 Daiichi Sankyo Co., Ltd.


400 Dainippon Sumitomo Pharma Co., Ltd.


200 Daito Trust Construction Co., Ltd.


1,600 Daiwa House Industry Co., Ltd.


1,300 Denso Corp. (Auto Parts & Equipment) 68,208 0.12

600 Dentsu, Inc. (Advertising) 30,364 0.05

800 Duskin Co., Ltd. (Commercial Services) 13,164 0.02

600 Dynam Japan Holdings Co., Ltd.


400 Earth Chemical Co., Ltd. (Chemicals) 14,714 0.03

800 East Japan Railway Co. (Transportation) 73,266 0.12

200 Eisai Co., Ltd. (Pharmaceuticals) 12,571 0.02

400 Eizo Corp. (Electronics) 9,412 0.02

400 Electric Power Development Co., Ltd.

(Electric) 13,925 0.02

300 FANUC Corp. (Machinery—Diversified) 66,578 0.11

100 Fast Retailing Co., Ltd. (Retail) 41,339 0.07

1,400 Fuji Media Holdings, Inc. (Media) 19,100 0.03

400 Fuji Soft, Inc. (Software) 8,194 0.01

2,200 FUJIFILM Holdings Corp.


5,000 Fujitsu Ltd. (Computers) 28,083 0.05

5,000 Fukuoka Financial Group, Inc. (Banks) 26,955 0.05

900 Gree, Inc. (Software) 5,642 0.01

3,000 Gunma Bank Ltd. (Banks) 21,081 0.04

3,000 Hachijuni Bank Ltd. (Banks) 22,821 0.04

% of



% of



184



As at 31 May 2015




4,000 Hankyu Hanshin Holdings, Inc.


15 Hankyu Reit, Inc.


1,100 Hazama Ando Corp.


700 Heiwado Co., Ltd. (Retail) 15,659 0.03

4,000 Hiroshima Bank Ltd. (Banks) 23,627 0.04

16,000 Hitachi Ltd.


1,100 Hokkaido Electric Power Co., Inc.

(Electric) 11,178 0.02

8,000 Hokuhoku Financial Group, Inc. (Banks) 18,953 0.03

700 Hokuriku Electric Power Co. (Electric) 10,644 0.02

6,300 Honda Motor Co., Ltd.


1,000 House Foods Group, Inc.


800 Hoya Corp. (Electronics) 29,626 0.05

300 Ichibanya Co., Ltd. (Retail) 12,353 0.02

1,800 Idemitsu Kosan Co., Ltd. (Oil & Gas) 35,639 0.06

600 Inaba Denki Sangyo Co., Ltd.


4,300 Inpex Corp. (Oil & Gas) 53,016 0.09

1,500 Isetan Mitsukoshi Holdings Ltd. (Retail) 25,239 0.04

600 IT Holdings Corp. (Software) 11,778 0.02

1,500 Ito En Ltd.—Preferred


1,900 Iyo Bank Ltd. (Banks) 23,288 0.04

1,000 J Front Retailing Co., Ltd. (Retail) 17,640 0.03

700 Japan Airlines Co., Ltd. (Airlines) 24,115 0.04

3 Japan Real Estate Investment Corp.


9 Japan Retail Fund Investment Corp.


2,100 Japan Tobacco, Inc.


900 JBCC Holdings, Inc. (Computers) 5,896 0.01

3,000 Joyo Bank Ltd. (Banks) 16,270 0.03

400 K’s Holdings Corp. (Retail) 15,037 0.03

1,500 Kagome Co., Ltd.


1,000 Kagoshima Bank Ltd. (Banks) 7,035 0.01

2,000 Kaneka Corp. (Chemicals) 14,650 0.03

1,000 Kanematsu Electronics Ltd.


2,500 Kansai Electric Power Co., Inc. (Electric) 27,811 0.05

1,000 Kansai Paint Co., Ltd. (Chemicals) 17,309 0.03

800 Kao Corp. (Cosmetics/Personal Care) 36,469 0.06

4,300 KDDI Corp. (Telecommunications) 97,404 0.17

2,000 Keio Corp. (Transportation) 14,795 0.03

1,000 Keisei Electric Railway Co., Ltd.


8 Kenedix Residential Investment Corp.


600 Kewpie Corp.


1,400 KEY Coffee, Inc.


100 Keyence Corp. (Electronics) 54,071 0.09

3,400 Kirin Holdings Co., Ltd.


400 Kissei Pharmaceutical Co., Ltd.


1,900 Kokuyo Co., Ltd.


300 Komatsu Wall Industry Co., Ltd.

(Office Furnishings) 6,058 0.01

2,000 Kumagai Gumi Co., Ltd.




1,200 Kyocera Corp. (Electronics) 65,514 0.11

700 Kyowa Exeo Corp.


1,800 Kyushu Electric Power Co., Inc. (Electric) 21,076 0.04

700 Lawson, Inc. (Retail) 48,962 0.08

1,200 LIXIL Group Corp. (Building Materials) 22,976 0.04

400 Mars Engineering Corp. (Entertainment) 7,117 0.01

500 Maruichi Steel Tube Ltd.


1,200 Matsuya Foods Co., Ltd. (Retail) 22,531 0.04

2,600 McDonald’s Japan Holdings Co., Ltd.

(Retail) 54,495 0.09

1,000 Medipal Holdings Corp. (Pharmaceuticals) 15,536 0.03

1,100 Megmilk Snow Brand Co., Ltd.


700 Ministop Co., Ltd. (Retail) 10,740 0.02

1,800 Mitsubishi Motors Corp.


1,500 Mitsubishi UFJ Lease & Finance Co., Ltd.


90,800 Mizuho Financial Group, Inc. (Banks) 200,924 0.34

1,100 MOS Food Services, Inc. (Retail) 22,657 0.04

400 Murata Manufacturing Co., Ltd.


500 Musashino Bank Ltd. (Banks) 18,172 0.03

1,200 Nagase & Co., Ltd.


1,300 NET One Systems Co., Ltd. (Computers) 9,701 0.02

600 NGK Spark Plug Co., Ltd.


500 Nidec Corp.


1,700 Nikon Corp.


300 Nintendo Co., Ltd.


3 Nippon Building Fund, Inc.


3,000 Nippon Express Co., Ltd. (Transportation) 16,608 0.03

800 Nippon Paper Industries Co., Ltd.


2,000 Nippon Telegraph & Telephone Corp.


1,000 Nipro Corp. (Healthcare Products) 9,638 0.02

9,400 Nissan Motor Co., Ltd.


200 Nitori Co., Ltd. (Retail) 15,424 0.03

400 Nitto Kogyo Corp. (Electronics) 9,315 0.02

3 Nomura Real Estate Office Fund, Inc.


500 Nomura Research Institute Ltd.

(Computers) 19,239 0.03

2,100 North Pacific Bank Ltd. (Banks) 8,850 0.02

3,700 NTT DOCOMO, Inc.


3,000 Obayashi Corp.


2,000 Odakyu Electric Railway Co., Ltd.


3,000 Oji Holdings Corp.


300 Olympus Corp. (Healthcare Products) 10,262 0.02

200 Ono Pharmaceutical Co., Ltd.


400 Oriental Land Co., Ltd. (Entertainment) 25,819 0.04

7,000 Osaka Gas Co., Ltd. (Gas) 28,103 0.05

1,900 Otsuka Holdings Co., Ltd.


4,100 Panasonic Corp. (Home Furnishings) 60,495 0.10

% of



% of



185



As at 31 May 2015




1,200 Raito Kogyo Co., Ltd.


1,100 Rakuten, Inc. (Internet) 18,109 0.03

8,600 Resona Holdings, Inc. (Banks) 49,398 0.08

400 Rohm Co., Ltd. (Semiconductors) 28,398 0.05

900 Royal Holdings Co., Ltd. (Retail) 15,745 0.03

500 Ryosan Co., Ltd. (Electronics) 12,934 0.02

400 SCSK Corp. (Computers) 10,879 0.02

400 Secom Co., Ltd. (Commercial Services) 26,789 0.05

1,000 Sega Sammy Holdings, Inc.


1,000 Seiko Epson Corp.


1,000 Seino Holdings Co., Ltd. (Transportation) 12,370 0.02

2,000 Sekisui Chemical Co., Ltd.


3,100 Sekisui House Ltd. (Home Builders) 51,848 0.09

1,500 Seven & I Holdings Co., Ltd.


500 Shimachu Co., Ltd. (Retail) 13,095 0.02

6,000 Shimizu Corp.


800 Shin-Etsu Chemical Co., Ltd.

(Chemicals) 48,982 0.08

700 Shionogi & Co., Ltd. (Pharmaceuticals) 24,848 0.04

800 Shiseido Co., Ltd.


2,000 Shizuoka Bank Ltd. (Banks) 21,951 0.04

200 SHO-BOND Holdings Co., Ltd.


600 Showa Shell Sekiyu KK (Oil & Gas) 5,618 0.01

5 SIA Reit, Inc.


1,600 SoftBank Corp. (Telecommunications) 96,017 0.16

500 Square Enix Holdings Co., Ltd. (Software) 10,947 0.02

12 Starts Proceed Investment Corp.


400 Studio Alice Co., Ltd. (Retail) 7,252 0.01

3,000 Sumitomo Bakelite Co., Ltd. (Chemicals) 14,021 0.02

1,000 Sumitomo Forestry Co., Ltd.


1,300 Sumitomo Rubber Industries Ltd.


2,000 Taiheiyo Cement Corp.


5,000 Taisei Corp.


200 Taisho Pharmaceutical Holdings Co., Ltd.


2,000 Takashimaya Co., Ltd. (Retail) 19,276 0.03

1,200 Takeda Pharmaceutical Co., Ltd.


2,000 Tobishima Corp.


1,500 Tohoku Electric Power Co., Inc. (Electric) 21,069 0.04

1,800 Tokio Marine Holdings, Inc. (Insurance) 74,614 0.13

400 Tokyo Electron Ltd. (Semiconductors) 25,616 0.04

6,000 Tokyo Gas Co., Ltd. (Gas) 33,270 0.06

2,000 Toppan Printing Co., Ltd.


5,000 Toray Industries, Inc. (Textiles) 41,722 0.07

600 Toyo Tire & Rubber Co., Ltd.


600 Toyota Industries Corp.


6,700 Toyota Motor Corp.


200 Trusco Nakayama Corp.




700 TSI Holdings Co., Ltd. (Retail) 5,065 0.01

500 Tsumura & Co. (Pharmaceuticals) 10,939 0.02

500 TV Asahi Holdings Corp. (Media) 8,542 0.01

1,000 Unicharm Corp.


500 Valor Co., Ltd. (Retail) 10,266 0.02

1,000 Wacoal Holdings Corp. (Apparel) 12,031 0.02

600 Warabeya Nichiyo Co., Ltd.


800 West Japan Railway Co. (Transportation) 47,641 0.08

2,000 Yahoo Japan Corp. (Internet) 8,961 0.02

200 Yakult Honsha Co., Ltd.


6,900 Yamada Denki Co., Ltd. (Retail) 29,080 0.05

2,000 Yamaguchi Financial Group, Inc. (Banks) 25,464 0.04

500 Yamatake Corp. (Electronics) 13,639 0.02

900 Yamato Holdings Co., Ltd. (Transportation) 18,454 0.03

2,600 Yokohama Reito Co., Ltd.


3,600 Yoshinoya Holdings Co., Ltd. (Retail) 41,339 0.07

6,324,731 10.77

Jersey

1,482 Phoenix Group Holdings (Insurance) 19,358 0.03

150 Randgold Resources Ltd. (Mining) 10,838 0.02

30,196 0.05

Korea

12 Actoz Soft Co., Ltd. (Internet) 370 0.00

204 Celltrion, Inc. (Pharmaceuticals) 12,701 0.02

622 Daewoo International Corp.


2,277 Daishin Securities Co., Ltd.


1,200 Daishin Securities Co., Ltd.—Preferred


963 DGB Financial Group, Inc.


59 E-Mart Co., Ltd. (Retail) 13,123 0.02

112 E1 Corp. (Gas) 7,478 0.01

80 Eo Technics Co., Ltd. (Semiconductors) 7,933 0.01

308 GS Retail Co., Ltd. (Retail) 10,964 0.02

350 Hankook Tire Co., Ltd.


69 Hanmi Pharm Co., Ltd. (Pharmaceuticals) 25,651 0.04

963 Hite Jinro Co., Ltd.


88 Hyundai Department Store Co., Ltd.

(Retail) 12,149 0.02

115 Hyundai Hysco Co., Ltd.


252 Hyundai Mobis Co., Ltd.


664 Hyundai Motor Co.


665 Hyundai Rotem Co., Ltd.


26 Hyundai Wia Corp.


1,193 Iljin Display Co., Ltd. (Electronics) 11,464 0.02

1,474 Industrial Bank of Korea (Banks) 19,352 0.03

21 KCC Corp. (Chemicals) 10,384 0.02



332 Kolon Industries, Inc. (Chemicals) 19,981 0.03

1,258 Korea Electric Power Corp. (Electric) 52,443 0.09

323 Korea Gas Corp. (Gas) 15,155 0.03

250 Korea Line Corp. (Transportation) 5,335 0.01

% of



% of



186



As at 31 May 2015




1,685 Korea Real Estate Investment Trust Co., Ltd.


875 KT Corp. (Telecommunications) 22,857 0.04

226 KT&G Corp.


47 Kumho Industrial Co., Ltd.

(Construction & Engineering) 729 0.00

1,589 Kumho Tire Co, Inc.




477 LG Fashion Corp. (Apparel) 13,407 0.02

715 LG Uplus Corp. (Telecommunications) 6,013 0.01

650 LIG Insurance Co., Ltd. (Insurance) 15,660 0.03

54 Lotte Shopping Co., Ltd. (Retail) 12,328 0.02

4,777 Macquarie Korea Infrastructure Fund


39 MegaStudy Co., Ltd.


23 MegaStudyEdu Co., Ltd.


29 NAVER Corp. (Internet) 15,936 0.03

6 Nexen Corp. (Auto Parts & Equipment) 486 0.00

66 NHN Entertainment Corp. (Internet) 3,329 0.01

261 POSCO (Iron/Steel) 57,464 0.10

1,377 Posco ICT Co., Ltd.


306 S&T Motiv Co., Ltd.


34 Samho International Co., Ltd.


9 Samkwang Glass

(Packaging & Containers) 885 0.00

274 Samsung Electronics Co., Ltd.


49 Samsung Electronics Co., Ltd.—Preferred


77 Samsung Fire & Marine Insurance Co., Ltd.

(Insurance) 21,122 0.04

278 Samsung Life Insurance Co., Ltd.

(Insurance) 28,095 0.05

143 Samsung SDI Co., Ltd.


144 SeAH Steel Corp.


290 Simm Tech Co., Ltd. (Electronics) 2,525 0.00

1,432 SK Broadband Co., Ltd. (Internet) 5,388 0.01

1,592 SK Hynix, Inc. (Semiconductors) 73,405 0.13

106 SK Telecom Co., Ltd. (Telecommunications) 23,577 0.04

291 Soulbrain Co., Ltd. (Chemicals) 12,079 0.02

60 Taeyoung Engineering & Construction Co., Ltd.


698 Young Poong Precision Corp.


61 Youngone Holdings Co., Ltd. (Apparel) 5,416 0.01

1,391,919 2.37

Luxembourg

8 Altice S.A. (Telecommunications) 1,039 0.00

6 Altisource Portfolio Solutions S.A.


4,348 ArcelorMittal (Iron/Steel) 46,230 0.08

23 RTL Group S.A. (Media) 2,066 0.01

710 SES S.A. (Telecommunications) 25,096 0.04

1,643 Tenaris S.A.


98,337 0.17


Malaysia

4,800 AMMB Holdings Bhd (Banks) 8,249 0.01

2,500 Batu Kawan Bhd (Chemicals) 12,343 0.02

14,427 Berjaya Sports Toto Bhd


12,600 KPJ Healthcare Bhd


6,200 Malayan Banking Bhd (Banks) 15,272 0.03

400 Nestle Malaysia Bhd


3,300 PPB Group Bhd



8,800 Scientex Bhd (Chemicals) 16,563 0.03

5,900 Sime Darby Bhd


24,100 Star Publications Malaysia Bhd (Media) 16,238 0.03

6,800 Tenaga Nasional Bhd (Electric) 24,781 0.04

4,400 UMW Holdings Bhd


184,354 0.31

Mexico

4,855 America Movil SAB de CV—

ADR—Series L(b) (Telecommunications) 101,955 0.17

2,800 Arca Continental SAB de CV


3,500 Banregio Grupo Financiero SAB de CV

(Banks) 19,282 0.03

180 Coca-Cola Femsa SAB de CV—ADR(b)


800 Coca-Cola Femsa SAB de CV—Series L


16,600 Fibra Uno Administracion S.A. de CV


1,510 Fomento Economico Mexicano

SAB de CV—ADR(b)


530 Grupo Aeroportuario del Pacifico

SAB de CV—ADR(b)


110 Grupo Aeroportuario del Sureste

SAB de CV—ADR(b)


4,700 Grupo Bimbo SAB de CV—Series A


9,900 Grupo Financiero Inbursa

SAB de CV "O" (Banks) 22,575 0.04

2,020 Grupo Televisa SAB—ADR(b) (Media) 76,457 0.13

1,900 Industrias CH SAB de CV—Series B


27,800 Mexico Real Estate Management S.A. de CV


23,600 Wal-Mart de Mexico SAB de CV (Retail) 58,177 0.10

608,646 1.04

Morocco

54 Attijariwafa Bank (Banks) 1,946 0.00

511 Banque Centrale Populaire (Banks) 11,729 0.02

13,675 0.02

Netherlands

203 AerCap Holdings NV


525 Akzo Nobel NV (Chemicals) 39,917 0.07

793 ASML Holding NV (Semiconductors) 88,462 0.15

54 Brunel International NV


% of



% of



187



As at 31 May 2015




51 Cimpress NV (Software & Services) 4,198 0.01

288 Eurocommercial Properties NV


44 Frank’s International NV


42 Gemalto NV (Computers) 3,667 0.01

164 Gemalto NV (traded in France)

(Computers) 14,319 0.02

347 Heineken NV




617 Koninklijke DSM NV (Chemicals) 36,521 0.06

7,236 Koninklijke KPN NV


2,553 Koninklijke Philips NV (Electronics) 69,429 0.12

37 Koninklijke Ten Cate NV


208 Koninklijke Vopak NV (Pipelines) 10,330 0.02

664 NN Group NV (Insurance) 18,538 0.03

62 OCI NV (Chemicals) 1,826 0.00

846 QIAGEN NV (Healthcare Products) 20,665 0.03


6,274 Royal Dutch Shell Plc. "B" (Oil & Gas) 188,939 0.32

273 Sensata Technologies Holding NV


331 Sligro Food Group NV


21 TKH Group NV


1,832 TNT Express NV (Transportation) 15,425 0.03

1,900 VimpelCom Ltd.—ADR(b)


1,114 Wolters Kluwer NV (Media) 34,607 0.06

1,012,065 1.72

Norway

930 Atea ASA (Internet) 10,376 0.02

833 Gjensidige Forsikring ASA (Insurance) 12,819 0.02



246 Opera Software ASA (Software) 2,123 0.00

2,618 Orkla ASA


254 Schibsted ASA (Media) 16,271 0.03

3,594 Siem Offshore, Inc. (Oil & Gas Services) 963 0.00

1,160 SpareBank 1 SMN (Banks) 9,893 0.02

5,138 Statoil ASA (Oil & Gas) 96,070 0.16

2,227 Telenor ASA (Telecommunications) 50,322 0.09

701 Yara International ASA (Chemicals) 35,258 0.06

270,189 0.46

Peru

2,100 Cia de Minas Buenaventura SAA—ADR(b)

(Mining) 23,520 0.04

400 Credicorp Ltd. (traded in United States)

(Banks) 56,456 0.10

62 Credicorp Ltd. (Banks) 8,754 0.01

6,801 Ferreycorp SAA


394 Grana y Montero SAA


92,434 0.16


Philippines

6,610 Bank of the Philippine Islands (Banks) 14,529 0.03

4,980 BDO Unibank, Inc. (Banks) 12,063 0.02

4,600 Cosco Capital, Inc. (Real Estate) 802 0.00

11,810 JG Summit Holdings, Inc.


6,476 Metropolitan Bank & Trust Co. (Banks) 13,000 0.02

375 Philippine Long Distance Telephone Co.—ADR(b)


1,200 Puregold Price Club, Inc. (Retail) 1,023 0.00

7,710 San Miguel Corp.


31,200 SM Prime Holdings, Inc. (Real Estate) 13,464 0.02

107,872 0.18

Poland

196 Alior Bank S.A.


1,229 Asseco Poland S.A. (Computers) 19,636 0.03

41 Bank Handlowy w Warszawie S.A. (Banks) 1,189 0.00

60 Bank Zachodni WBK S.A. (Banks) 5,432 0.01

3,501 Enea S.A. (Electric) 15,606 0.03

2,630 Energa S.A. (Electric) 16,051 0.03

5 Grupa Kety S.A. (Mining) 429 0.00

3,444 Grupa Lotos S.A. (Oil & Gas) 27,705 0.05

36 ING Bank Slaski S.A. (Banks) 1,390 0.00

254 Integer.pl S.A. (Transportation) 8,813 0.02

1 LPP S.A. (Apparel) 2,059 0.00

635 Lubelski Wegiel Bogdanka S.A. (Coal) 14,234 0.03

6,550 Orange Polska S.A. (Telecommunications) 18,104 0.03

6,394 PGE S.A. (Electric) 34,989 0.06

821 PKP Cargo S.A. (Transportation) 19,752 0.03


(Oil & Gas) 17,575 0.03

6,862 Powszechna Kasa Oszczednosci

Bank Polski S.A. (Banks) 59,714 0.10

239 Powszechny Zaklad Ubezpieczen S.A.

(Insurance) 28,512 0.05

19,187 Tauron Polska Energia S.A. (Electric) 24,320 0.04

320,362 0.55

Portugal

704 CTT-Correios de Portugal S.A.


12,675 EDP – Energias de Portugal S.A. (Electric) 49,401 0.08

1,370 Galp Energia SGPS S.A. (Oil & Gas) 16,102 0.03

851 Jeronimo Martins SGPS S.A.


1,048 NOS SGPS S.A. (Media) 7,727 0.01

5,083 Portugal Telecom SGPS S.A.


3,074 Redes Energeticas Nacionais SGPS S.A.

(Electric) 8,971 0.02

854 Semapa-Sociedade de Investimento e

Gestao (Forest Products & Paper) 12,228 0.02

116,015 0.20

Puerto Rico

76 OFG Bancorp (Banks) 999 0.00

Qatar

1,489 Al Khaliji Commercial Bank QSC (Banks) 9,000 0.02

256 Al Meera Consumer Goods Co. QSC

(Retail) 16,001 0.03

1,119 Commercial Bank of Qatar QSC (Banks) 16,602 0.03

801 Doha Bank QSC (Banks) 11,774 0.02

373 Industries Qatar QSC (Chemicals) 13,743 0.02

943 Ooredoo QSC (Telecommunications) 22,903 0.04

% of



% of



188



As at 31 May 2015



Qatar – (continued)

226 Qatar Electricity & Water Co. QSC

(Electric) 13,226 0.02

277 Qatar Islamic Bank SAQ (Banks) 8,128 0.01

804 Qatar National Bank SAQ (Banks) 41,507 0.07

1,167 Vodafone Qatar QSC


157,886 0.27

Russia

3,008 Black Earth Farming Ltd.—SDR

(Agriculture) 1,387 0.00

200 CTC Media, Inc. (Media) 640 0.00

508 Gazprom Neft OAO—ADR(b) (Oil & Gas) 6,711 0.01


(traded in United States)(b) (Oil & Gas) 377,166 0.64

5,051 Lukoil OAO—ADR(b) (Oil & Gas) 242,246 0.41

1,100 Magnit PJSC—GDR

(traded in United States)(b)


1,886 MD Medical Group Investments Plc.—GDR(b)


3,600 MMC Norilsk Nickel OJSC—ADR(b)

(Mining) 63,414 0.11

509 NovaTek OAO—GDR(b) (Oil & Gas) 51,358 0.09

1,356 Phosagro OAO—GDR(b) (Agriculture) 17,967 0.03

12,777 Surgutneftegas OAO—ADR(b) (Oil & Gas) 77,684 0.13

1,944 Uralkali OJSC—GDR(b) (Chemicals) 26,497 0.05

30,055 VTB Bank OJSC—GDR (Banks) 89,414 0.15

793 X5 Retail Group NV—GDR(b)


1,600 Yandex NV "A" (Internet) 28,848 0.05

1,067,908 1.82

Singapore

6,318 Cityspring Infrastructure Trust (Gas) 2,506 0.01

4,132 DBS Group Holdings Ltd. (Banks) 62,184 0.11

10,000 Fortune REIT


7,099 Oversea-Chinese Banking Corp., Ltd.

(Banks) 53,681 0.09

8,000 Sabana Shari’ah Compliant Industrial



7,000 Singapore Airlines Ltd. (Airlines) 58,900 0.10

4,000 Singapore Press Holdings Ltd. (Media) 12,336 0.02

16,000 Singapore Telecommunications Ltd.


6,000 SMRT Corp., Ltd. (Transportation) 7,117 0.01

10,000 Suntec Real Estate Investment Trust


9,000 Technics Oil & Gas Ltd.


3,000 United Engineers Ltd.


3,800 United Overseas Bank Ltd. (Banks) 65,188 0.11

2,000 Venture Corp., Ltd. (Electronics) 11,580 0.02

1,000 Yanlord Land Group Ltd. (Real Estate) 879 0.00

362,716 0.62

South Africa

120 Absa Bank Ltd.—Preferred (Banks) 7,885 0.01

2,782 AngloGold Ashanti Ltd.—ADR(b) (Mining) 26,651 0.05

957 Astral Foods Ltd. (Agriculture) 12,994 0.02

329 Bidvest Group Ltd.


190 DRD Gold Ltd.—ADR(b) (Mining) 332 0.00

11,311 Emira Property Fund



South Africa – (continued)

1,585 EOH Holdings Ltd. (Computers) 20,623 0.03

5,123 Gold Fields Ltd.—ADR(b) (Mining) 17,469 0.03

3,941 Growthpoint Properties Ltd.


3,768 Harmony Gold Mining Co., Ltd.—ADR(b)

(Mining) 5,577 0.01

1,645 Hyprop Investments Ltd. (Real Estate) 15,465 0.03

1,211 JSE Ltd. (Diversified Financial Services) 13,187 0.02

253 Liberty Holdings Ltd. (Insurance) 3,263 0.01

1,353 MTN Group Ltd. (Telecommunications) 23,931 0.04

729 Pioneer Foods Ltd.


729 Quantum Foods Holdings Ltd.


730 Remgro Ltd.


2,831 Standard Bank Group Ltd. (Banks) 36,784 0.06

7,359 Steinhoff International Holdings Ltd.


288,502 0.49

Spain

1,143 Abertis Infraestructuras S.A.


716 Acerinox S.A. (Iron/Steel) 10,911 0.02

471 ACS Actividades de Construccion y

Servicios S.A.


534 Adveo Group International S.A.

(Materials) 5,380 0.01

836 Amadeus IT Holding S.A. "A" (Software) 37,977 0.06

15,207 Banco de Sabadell S.A. (Banks) 38,446 0.07

43,420 Banco Santander S.A. (Banks) 308,661 0.53

13,750 Bankia S.A. (Banks) 17,743 0.03


25 Construcciones y Auxiliar de

Ferrocarriles S.A. (Transportation) 8,223 0.01

622 Ebro Foods S.A.


2,241 EDP Renovaveis S.A.


1,297 Ferrovial S.A.


842 Gas Natural SDG S.A. (Gas) 20,674 0.03

247 Grifols S.A. (Pharmaceuticals) 9,833 0.02


1,402 Inditex S.A. (Retail) 46,359 0.08

695 Indra Sistemas S.A. (Computers) 6,721 0.01

594 Melia Hotels International S.A. (Lodging) 7,714 0.01

223 Red Electrica Corp S.A. (Electric) 18,723 0.03

3,520 Repsol S.A. (Oil & Gas) 66,918 0.11

7,936 Telefonica S.A. (Telecommunications) 112,064 0.19

186 Viscofan S.A.


1,029,830 1.75

Sweden

675 Alfa Laval AB


610 Assa Abloy AB "B"


767 Atlas Copco AB "A’’


767 Atlas Copco AB "A-Redemption"

(Machinery—Construction & Mining) 534 0.00

294 Avanza Bank Holding AB


40 Bilia AB (Retail) 787 0.00

% of



% of



189



As at 31 May 2015



Sweden – (continued)

3,737 Dios Fastigheter AB (Real Estate) 25,696 0.04

920 East Capital Explorer AB


351 Electrolux AB "B" (Home Furnishings) 10,685 0.02

1,399 Fastighets AB Balder "B" (Real Estate) 23,170 0.04

443 Getinge AB "B" (Healthcare Products) 10,686 0.02

787 Hennes & Mauritz AB "B" (Retail) 30,968 0.05

60 Hexpol AB


362 Intrum Justitia AB


836 Investment AB Kinnevik "B"


204 Investment AB Oresund


982 Investor AB "B" (Investment Companies) 38,699 0.07

327 L E Lundbergforetagen AB "B"


192 Lundin Petroleum AB (Oil & Gas) 3,016 0.01

165 Saab AB "B" (Aerospace & Defence) 4,233 0.01

457 SAS AB (Airlines) 818 0.00

611 Securitas AB "B" (Commercial Services) 8,281 0.01

774 Skanska AB "B"


712 SKF AB "B" (Metal Fabricate/Hardware) 17,150 0.03

477 SkiStar AB (Entertainment) 5,569 0.01



2,898 Svenska Handelsbanken AB "A" (Banks) 43,552 0.07

2,060 Swedbank AB "A" (Banks) 48,221 0.08

6,200 Telefonaktiebolaget LM Ericsson "B"


3,859 TeliaSonera AB (Telecommunications) 22,696 0.04

579 Wihlborgs Fastigheter AB (Real Estate) 9,708 0.02

587,053 1.00

Switzerland

657 ACE Ltd. (Insurance) 69,957 0.12

160 Actelion Ltd. (Pharmaceuticals) 22,287 0.04

456 Allied World Assurance Co. Holdings AG

(Insurance) 19,375 0.03

134 Allreal Holding AG (Real Estate) 18,651 0.03

185 Aryzta AG


61 Basler Kantonalbank (Banks) 4,494 0.01

27 Berner Kantonalbank AG (Banks) 5,455 0.01

29 Emmi AG (Food, Beverages & Tobacco) 9,415 0.02



228 Garmin Ltd. (Electronics) 10,369 0.02

3 Graubuendner Kantonalbank (Banks) 4,866 0.01

47 Intershop Holding AG (Real Estate) 19,929 0.03

2 Kuoni Reisen Holding AG "B"

(Leisure Time) 637 0.00

26 Luzerner Kantonalbank AG (Banks) 9,888 0.02

455 Mobilezone Holding AG (Retail) 7,862 0.01

72 Mobimo Holding AG (Real Estate) 15,112 0.03

4,133 Nestle S.A.



220 Orior AG (Food, Beverages & Tobacco) 13,176 0.02

613 Roche Holding AG (Pharmaceuticals) 179,478 0.31

7 SGS S.A. (Commercial Services) 13,401 0.02


360 Swiss Prime Site AG (Real Estate) 28,717 0.05


75 Valiant Holding (Banks) 6,794 0.01

304 Zurich Insurance Group AG (Insurance) 96,645 0.16

1,210,996 2.06


Taiwan

9,800 Asia Polymer Corp. (Chemicals) 6,466 0.01

2,000 Asustek Computer, Inc. (Computers) 19,679 0.03

7,200 Audix Corp. (Electronics) 9,372 0.02

7,000 BES Engineering Corp.


17,000 C Sun Manufacturing Ltd.


53,000 Carnival Industrial Corp. (Retail) 13,348 0.02

9,000 Cathay Financial Holding Co., Ltd.

(Insurance) 16,098 0.03

76,000 Cathay No 1 REIT


3,040 Center Laboratories, Inc. (Pharmaceuticals) 7,567 0.01

17,000 Chia Chang Co., Ltd. (Electronics) 14,318 0.02

69,000 China Steel Corp. (Iron/Steel) 57,101 0.10

13,000 China Steel Structure Co., Ltd.


19,000 Chunghwa Telecom Co., Ltd.


21,166 Founding Construction & Development

Co., Ltd. (Real Estate) 13,964 0.02

9,000 Fullerton Technology Co., Ltd. (Electronics) 7,844 0.01

2,000 Globe Union Industrial Corp.


3,000 Hey Song Corp.




6,307 Ibase Technology, Inc. (Computers) 14,281 0.02

22,000 Kinpo Electronics


1,000 Lealea Enterprise Co., Ltd. (Apparel) 336 0.00


4,000 Nak Sealing Technologies Corp.


10,000 Pou Chen Corp. (Apparel) 14,335 0.02

12,000 Promate Electronic Co., Ltd. (Electronics) 14,583 0.02

7,000 ShenMao Technology, Inc. (Electronics) 6,728 0.01

33,000 Shih Wei Navigation Co., Ltd.


128,216 Shin Kong Financial Holding Co., Ltd.

(Insurance) 41,648 0.07

14,000 Shinkong Insurance Co., Ltd. (Insurance) 10,879 0.02

22,000 Sinon Corp. (Chemicals) 11,504 0.02

5,400 Sinphar Pharmaceutical Co., Ltd.


10,000 Stark Technology, Inc. (Electronics) 9,790 0.02

34,000 Ta Chong Bank Ltd. (Banks) 12,241 0.02

102,400 Taiwan Business Bank (Banks) 33,529 0.06

7,000 Taiwan Chinsan Electronic Industrial Co., Ltd.


57,862 Taiwan Cooperative Financial Holding Co., Ltd.


8,000 Taiwan PCB Techvest Co., Ltd. (Electronics) 12,055 0.02

26,000 Taiwan Pulp & Paper Corp.



Co., Ltd.—ADR(b) (Semiconductors) 106,832 0.18

45,000 Tatung Co., Ltd.


1,000 Ton Yi Industrial Corp. (Mining) 678 0.00

20,000 Walton Advanced Engineering, Inc.


15,000 Weikeng Industrial Co., Ltd. (Electronics) 11,387 0.02

33,660 Yieh Phui Enterprise Co., Ltd.


25,000 Zenitron Corp. (Electronics) 16,127 0.03

859,592 1.46

% of



% of



190



As at 31 May 2015



Thailand

12,800 Bangkok Expressway PCL


386,500 Bangkok Metro PCL (Transportation) 21,485 0.04

15,600 Charoen Pokphand Foods PCL


400,003 LH Financial Group PCL (Banks) 19,620 0.03

29,000 MBK PCL (Real Estate) 13,966 0.02

9,900 MCOT PCL (Media) 3,620 0.01

5,400 PTT Exploration & Production PCL

(Oil & Gas) 17,337 0.03

3,000 PTT PCL (Oil & Gas) 30,945 0.05

20,400 Samart Corp. PCL (Telecommunications) 15,615 0.03

71,086 SVI PCL (Electronics) 10,566 0.02

21,000 Thai Beverage PCL


8,900 TICON Industrial Connection PCL


46,900 TTW PCL (Water) 15,475 0.03

191,119 0.33

Turkey

4,278 Akfen Holding AS


6,244 Alarko Holding AS (Electric) 9,007 0.02

1,488 Anadolu Efes Biracilik Ve Malt Sanayii AS


2,700 Arcelik AS (Home Furnishings) 14,656 0.03

2,258 Bizim Toptan Satis Magazalari AS


19,852 Emlak Konut Gayrimenkul Yatirim

Ortakligi AS (Real Estate) 22,298 0.04

18,158 Enka Insaat ve Sanayi AS


14,810 Eregli Demir ve Celik Fabrikalari TAS

(Iron/Steel) 23,812 0.04

19,987 Haci Omer Sabanci Holding AS


6,876 NET Holding AS (Lodging) 8,317 0.01

2,448 Tupras Turkiye Petrol Rafinerileri AS

(Oil & Gas) 61,246 0.11

10,577 Turcas Petrol AS (Retail) 8,344 0.01

6,592 Turk Hava Yollari (Airlines) 22,337 0.04




9,687 Turkiye Sise ve Cam Fabrikalari AS

(Housewares) 12,955 0.02

398,321 0.68


14,125 Abu Dhabi Commercial Bank PJSC

(Banks) 29,303 0.05

33,471 Air Arabia PJSC (Airlines) 14,580 0.02

293 Dragon Oil Plc. (Oil & Gas) 3,069 0.01

16,194 Dubai Islamic Bank PJSC (Banks) 29,936 0.05

25,678 Emaar Properties PJSC (Real Estate) 54,529 0.09

8,472 First Gulf Bank PJSC (Banks) 33,791 0.06

4,402 National Bank of Abu Dhabi PJSC (Banks) 12,524 0.02

21,201 Union National Bank PJSC (Banks) 38,096 0.07

215,828 0.37

United Kingdom

620 Acacia Mining Plc. (Mining) 2,885 0.00

390 Aon Plc. (Insurance) 39,476 0.07

442 ARM Holdings Plc.—ADR(b)


480 Associated British Foods Plc.




1,177 AstraZeneca Plc. (Pharmaceuticals) 78,532 0.13

170 AstraZeneca Plc.—ADR(b)


123 AVEVA Group Plc. (Software) 3,651 0.01

3,033 Aviva Plc. (Insurance) 24,229 0.04

486 Babcock International Group Plc.


4,707 BAE Systems Plc. (Aerospace & Defence) 36,991 0.06

2,497 BBA Aviation Plc. (Aerospace & Defence) 12,490 0.02

514 Bellway Plc. (Home Builders) 18,408 0.03

529 Berkeley Group Holdings Plc.



458 Bovis Homes Group Plc.


6,137 BP Plc.—ADR(b) (Oil & Gas) 254,440 0.43



2,575 British Land Co., Plc.


512 Bunzl Plc. (Commercial Services) 14,813 0.03

925 Capita Plc. (Commercial Services) 17,672 0.03

4,981 Centrica Plc. (Gas) 21,100 0.04

1,186 Cineworld Group Plc. (Entertainment) 9,366 0.02

403 Close Brothers Group Plc.


6,804 CNH Industrial NV


1,948 Cobham Plc. (Aerospace & Defence) 8,790 0.02



3,521 Debenhams Plc. (Retail) 5,096 0.01

144 Derwent London Plc.


2,227 Diageo Plc. (Food, Beverages & Tobacco) 61,696 0.11


402 easyJet Plc. (Airlines) 9,870 0.02

304 esure Group Plc. (Insurance) 1,202 0.00

432 Firstgroup Plc. (Transportation) 748 0.00

944 GlaxoSmithKline Plc.—ADR(b)


255 Go-Ahead Group Plc. (Transportation) 10,331 0.02

163 HellermannTyton Group Plc.


39,423 HSBC Holdings Plc. (Banks) 374,601 0.64



734 International Game Technology Plc.


294 Intertek Group Plc.


5,155 J Sainsbury Plc.


111 Keller Group Plc.


31 Kier Group Plc.


7,206 Kingfisher Plc. (Retail) 40,685 0.07

894 Lancashire Holdings Ltd. (Insurance) 8,799 0.02

865 Land Securities Group Plc.


229 Liberty Global Plc. "A" (Media) 13,174 0.02

731 Liberty Global Plc. "C" (Media) 39,291 0.07



2,681 Marks & Spencer Group Plc. (Retail) 23,851 0.04

1,303 Mears Group Plc.


1,777 Meggitt Plc. (Aerospace & Defence) 13,789 0.02

% of



% of



191



As at 31 May 2015




554 Mitchells & Butlers Plc. (Retail) 3,825 0.01

334 Moneysupermarket.com Group Plc.

(Internet) 1,544 0.00

934 N Brown Group Plc. (Retail) 4,775 0.01

1,202 National Express Group Plc.


3,896 National Grid Plc. (Gas) 55,527 0.09

90 Northgate Plc. (Commercial Services) 865 0.00

770 Pace Plc. (Home Furnishings) 4,842 0.01

2,022 Pearson Plc. (Media) 40,327 0.07

995 Pennon Group Plc.


583 Reckitt Benckiser Group Plc.


71 Redrow Plc. (Home Builders) 472 0.00


296 Restaurant Group Plc. (Retail) 3,117 0.01



1,800 Rotork Plc. (Electronics) 6,960 0.01

1,593 RPS Group Plc. (Commercial Services) 5,712 0.01


1,113 SABMiller Plc.


1,996 Sage Group Plc. (Software) 17,315 0.03

1,005 Shaftesbury Plc.


1,320 Smith & Nephew Plc.


498 Smiths Group Plc.


74 Spirax-Sarco Engineering Plc.


1,027 SSE Plc. (Electric) 26,093 0.04

411 Stolt-Nielsen Ltd. (Transportation) 7,274 0.01

391 Telecity Group Plc. (Telecommunications) 6,432 0.01

22,936 Tesco Plc.


338 Tullett Prebon Plc.


345 Ultra Electronics Holdings Plc.



1,958 Unilever Plc.


1,041 Unilever Plc.—ADR(b)



6,753 Vodafone Group Plc.—ADR(b)


436 Whitbread Plc. (Lodging) 34,064 0.06

316 Willis Group Holdings Plc. (Insurance) 14,997 0.03

7,979 WM Morrison Supermarkets Plc.


41 Zeal Network SE (Entertainment) 2,109 0.00

2,863,835 4.88

United States

435 3M Co. (Miscellaneous Manufacturing) 69,200 0.12

314 Aaron’s, Inc. (Commercial Services) 10,999 0.02


410 AbbVie, Inc. (Pharmaceuticals) 27,302 0.05

34 Aceto Corp. (Chemicals) 801 0.00

279 Actavis Plc. (Pharmaceuticals) 85,600 0.15

719 Activision Blizzard, Inc. (Software) 18,162 0.03

346 Adobe Systems, Inc. (Software) 27,365 0.05

204 ADTRAN, Inc. (Telecommunications) 3,513 0.01

100 Advance Auto Parts, Inc. (Retail) 15,322 0.03

10 Advisory Board Co. (Commercial Services) 508 0.00



171 AES Corp. (Electric) 2,326 0.00

478 Aetna, Inc. (Healthcare Services) 56,390 0.10

592 AGL Resources, Inc. (Gas) 29,819 0.05

197 Air Products & Chemicals, Inc. (Chemicals) 28,912 0.05

83 Airgas, Inc. (Chemicals) 8,461 0.01

15 Akorn, Inc. (Pharmaceuticals) 689 0.00

38 Alexander & Baldwin, Inc. (Real Estate) 1,561 0.00

34 Alleghany Corp. (Insurance) 16,162 0.03

296 ALLETE, Inc. (Electric) 14,904 0.03

29 Allscripts Healthcare Solutions, Inc.

(Software) 408 0.00

792 Allstate Corp. (Insurance) 53,317 0.09

309 Altria Group, Inc.


339 Amdocs Ltd. (Telecommunications) 18,594 0.03

374 Ameren Corp. (Electric) 15,046 0.03

362 American Campus Communities, Inc.


1,105 American Capital Agency Corp.


142 American Capital Mortgage Investment Corp.


823 American Electric Power Co., Inc.

(Electric) 46,327 0.08

722 American Express Co.


29 American Financial Group, Inc. (Insurance) 1,842 0.00

9 American Science & Engineering, Inc.

(Electronics) 352 0.00

181 American Tower Corp.


262 American Water Works Co., Inc. (Water) 13,852 0.02

184 AmerisourceBergen Corp.


766 Amgen, Inc. (Biotechnology) 119,695 0.20

63 Amtrust Financial Services, Inc.

(Insurance) 3,791 0.01

442 Analog Devices, Inc. (Semiconductors) 30,038 0.05

68 ANN, Inc. (Retail) 3,179 0.01

2,264 Annaly Capital Management, Inc.


148 ANSYS, Inc. (Software) 13,172 0.02

23 Antero Resources Corp. (Oil & Gas) 920 0.00

450 Anthem, Inc. (Healthcare Services) 75,532 0.13

290 Apollo Education Group, Inc.



1,419 Archer-Daniels-Midland Co. (Agriculture) 74,994 0.13

84 Arena Pharmaceuticals, Inc.

(Biotechnology) 330 0.00

1,300 Argonaut Gold, Inc. (Mining) 1,812 0.00

88 Arlington Asset Investment Corp. "A"


384 Ascena Retail Group, Inc. (Retail) 5,676 0.01

497 Assurant, Inc. (Insurance) 32,727 0.06

57 Astoria Financial Corp.


55 Astronics Corp. (Aerospace & Defence) 3,844 0.01

6,427 AT&T, Inc. (Telecommunications) 221,989 0.38

200 Atlantic Power Corp. (Electric) 590 0.00

448 Atmos Energy Corp. (Gas) 24,201 0.04

329 Automatic Data Processing, Inc. (Software) 28,133 0.05

224 AutoNation, Inc. (Retail) 13,980 0.02

137 AvalonBay Communities, Inc.


469 Avista Corp. (Electric) 15,008 0.03

266 Avon Products, Inc.


% of



% of



192



As at 31 May 2015




14 B&G Foods, Inc.


262 Babcock & Wilcox Co.


299 Ball Corp. (Packaging & Containers) 21,226 0.04

41 Bancorp, Inc. (Banks) 396 0.00

141 Bancorpsouth, Inc. (Banks) 3,411 0.01

282 Bank of Hawaii Corp. (Banks) 17,701 0.03

2,154 Bank of New York Mellon Corp. (Banks) 93,397 0.16

305 BankUnited, Inc. (Banks) 10,245 0.02

22 Barnes & Noble, Inc. (Retail) 517 0.00

617 Baxter International, Inc.


1,741 BB&T Corp. (Banks) 68,717 0.12

209 Becton Dickinson and Co.


325 Bed Bath & Beyond, Inc. (Retail) 23,179 0.04

548 Bemis Co., Inc. (Packaging & Containers) 25,175 0.04

2,833 Berkshire Hathaway, Inc. "B" (Insurance) 405,119 0.69

432 Best Buy Co., Inc. (Retail) 14,990 0.03

69 Big Lots, Inc. (Retail) 3,029 0.01

1 Biglari Holdings, Inc. (Retail) 353 0.00

64 Blackhawk Network Holdings “I”


28 Blackstone Mortgage Trust "A"

(Real Estate Investment Trust) 846 0.00

32 Blucora, Inc. (Internet) 508 0.00

48 Bob Evans Farms, Inc. (Retail) 2,205 0.00

747 Boeing Co. (Aerospace & Defence) 104,968 0.18

25 BofI Holding, Inc.


240 Boston Properties, Inc.


1,065 Boston Scientific Corp.


22 Brady Corp. "A" (Electronics) 557 0.00

162 Bravo Brio Restaurant Group, Inc.

(Retail) 2,171 0.00

1,001 Bristol-Myers Squibb Co.


20 Bristow Group, Inc.


271 Broadridge Financial Solutions, Inc.

(Software) 14,683 0.03

462 Bunge Ltd. (Agriculture) 42,763 0.07

680 CA, Inc. (Software) 20,706 0.04

536 Cabot Oil & Gas Corp. (Oil & Gas) 18,203 0.03

104 CACI International, Inc. "A" (Computers) 8,904 0.02

322 California Water Service Group (Water) 7,693 0.01

305 Camden Property Trust


318 Campbell Soup Co.


1,338 Capital One Financial Corp. (Banks) 111,803 0.19

307 Cardinal Health, Inc. (Pharmaceuticals) 27,068 0.05

1,520 Carnival Corp. (Leisure Time) 70,422 0.12

879 Carnival Plc. (Leisure Time) 42,479 0.07

561 Carnival Plc.—ADR(b) (Leisure Time) 27,007 0.05

108 Carter’s, Inc. (Apparel) 11,148 0.02

41 Cash America International, Inc. (Retail) 1,102 0.00

125 CBOE Holdings, Inc.


132 Cdk Global, Inc. (Commercial Services) 7,034 0.01

758 Celgene Corp. (Biotechnology) 86,746 0.15

170 Centene Corp. (Healthcare Services) 12,808 0.02

39 Central Pacific Financial Corp. (Banks) 913 0.00

1,040 CenturyLink, Inc. (Telecommunications) 34,570 0.06

238 Cerner Corp. (Software) 16,015 0.03



179 CH Robinson Worldwide, Inc.


159 Cheesecake Factory, Inc. (Retail) 8,200 0.01

2,395 Chevron Corp. (Oil & Gas) 246,685 0.42

6 Childrens Place Retail Stores, Inc. (Retail) 392 0.00

15 Chipotle Mexican Grill, Inc. (Retail) 9,233 0.02

477 Chubb Corp. (Insurance) 46,507 0.08

310 Church & Dwight Co., Inc.


344 Cigna Corp. (Healthcare Services) 48,446 0.08

268 Cintas Corp. (Commercial Services) 23,072 0.04

8,184 Cisco Systems, Inc. (Telecommunications) 239,873 0.41

589 CIT Group, Inc. (Banks) 27,247 0.05

45 City National Corp. (Banks) 4,148 0.01

127 Clean Harbors, Inc.


528 Cleco Corp. (Electric) 28,644 0.05

528 CME Group, Inc.


3,637 Coca-Cola Co.


391 Coca-Cola Enterprises, Inc.


321 Colgate-Palmolive Co.


46 Columbia Banking System, Inc. (Banks) 1,390 0.00

227 Columbia Property Trust, Inc.


3,532 Comcast Corp. "A" (Media) 206,481 0.35

473 Commerce Bancshares, Inc. (Banks) 21,101 0.04

59 CommScope Holdings Co, Inc.


242 Community Bank System, Inc. (Banks) 8,545 0.01

138 Community Health Systems, Inc.


255 Computer Sciences Corp. (Computers) 17,493 0.03

980 ConAgra Foods, Inc.


1,312 ConocoPhillips (Oil & Gas) 83,548 0.14

697 Consolidated Edison, Inc. (Electric) 43,102 0.07

217 Constellation Brands, Inc. "A"


17 Container Store Group, Inc.


59 Cooper Cos., Inc. (Healthcare Products) 10,724 0.02

255 Copart, Inc. (Retail) 8,823 0.02

110 Coresite Realty Corp.


183 Corrections Corp. of America


360 Costco Wholesale Corp. (Retail) 51,332 0.09

134 CR Bard, Inc. (Healthcare Products) 22,823 0.04

68 Cracker Barrel Old Country Store, Inc.

(Retail) 9,593 0.02

199 Crown Castle International Corp.


1,304 CSX Corp. (Transportation) 44,440 0.08

202 Cubic Corp. (Aerospace & Defence) 9,656 0.02

306 Cullen/Frost Bankers, Inc. (Banks) 22,463 0.04

1,457 CVS Health Corp. (Retail) 149,168 0.25

806 Danaher Corp.


331 Darden Restaurants, Inc. (Retail) 21,694 0.04

269 Darling International, Inc.


239 DaVita HealthCare Partners, Inc.


57 Dean Foods Co.


% of



% of



193



As at 31 May 2015


% of



% of





537 Deere & Co. (Machinery—Diversified) 50,306 0.09

282 Dentsply International, Inc.


147 DeVry Education Group, Inc.


129 Diamond Offshore Drilling, Inc. (Oil & Gas) 3,914 0.01

143 Dick’s Sporting Goods, Inc. (Retail) 7,682 0.01

130 Digital Realty Trust, Inc.


36 Dillard’s, Inc. "A" (Retail) 4,176 0.01

643 Discover Financial Services


273 Discovery Communications, Inc. "A"

(Media) 9,266 0.02

493 Discovery Communications, Inc. "C"

(Media) 15,502 0.03

411 Dollar General Corp. (Retail) 29,834 0.05

200 Dollar Tree, Inc. (Retail) 14,998 0.03

413 Dominion Resources, Inc. (Electric) 29,125 0.05

236 Donaldson Co., Inc.


322 Dr Pepper Snapple Group, Inc.


144 DSW, Inc. "A" (Retail) 4,990 0.01

456 DTE Energy Co. (Electric) 36,129 0.06

42 Ducommun, Inc. (Aerospace & Defence) 978 0.00

1,044 Duke Energy Corp. (Electric) 79,062 0.13

180 Dunkin’ Brands Group, Inc. (Retail) 9,605 0.02

171 DuPont Fabros Technology, Inc.


638 E.I. du Pont de Nemours & Co.

(Chemicals) 45,304 0.08

1,493 eBay, Inc. (Internet) 91,610 0.16

17 Echo Global Logistics, Inc.

(Transportation) 547 0.00

186 Ecolab, Inc. (Chemicals) 21,325 0.04

546 Edison International (Electric) 33,202 0.06

91 Edwards Lifesciences Corp.


406 Electronic Arts, Inc. (Software) 25,479 0.04

775 Eli Lilly & Co. (Pharmaceuticals) 61,147 0.10


784 Emerson Electric Co.


439 Empire District Electric Co. (Electric) 10,246 0.02

37 Encore Capital Group, Inc.


145 Energizer Holdings, Inc.


37 Enova International, Inc.


524 Entergy Corp. (Electric) 40,070 0.07

125 EQT Corp. (Oil & Gas) 10,634 0.02

296 Equifax, Inc. (Commercial Services) 29,698 0.05

23 Equinix, Inc.


293 Equity Commonwealth


429 Equity Residential


161 Estee Lauder Cos., Inc. "A"


398 EverBank Financial Corp.

(Savings & Loans) 7,339 0.01

676 Eversource Energy (Electric) 33,293 0.06

1,803 Exelon Corp. (Electric) 60,995 0.10

262 Expeditors International of Washington, Inc.




963 Express Scripts Holding Co.


170 Extra Space Storage, Inc.


4,095 Exxon Mobil Corp. (Oil & Gas) 348,894 0.59

1,429 Facebook, Inc. "A" (Internet) 113,163 0.19

132 Family Dollar Stores, Inc. (Retail) 10,233 0.02

343 Fastenal Co. (Distribution/Wholesale) 14,238 0.02

357 FedEx Corp. (Transportation) 61,840 0.11

421 Fidelity National Information Services, Inc.

(Software) 26,397 0.05

1,657 Fifth Third Bancorp (Banks) 33,538 0.06

366 First American Financial Corp.

(Insurance) 13,070 0.02

923 First Niagara Financial Group, Inc.


282 First Republic Bank (Banks) 17,075 0.03

1,061 FirstEnergy Corp. (Electric) 37,856 0.06

532 FirstMerit Corp. (Banks) 10,448 0.02

402 Fiserv, Inc. (Software) 32,220 0.06

9 Five Below (Retail) 299 0.00

69 FleetCor Technologies, Inc.


315 FLIR Systems, Inc. (Electronics) 9,623 0.02

325 Flowers Foods, Inc.


512 FNF Group


208 Foot Locker, Inc. (Retail) 13,146 0.02

29 Francesca’s Holdings Corp. (Retail) 454 0.00

52 Fresh Market, Inc.


153 FTI Consulting, Inc. (Commercial Services) 6,013 0.01

118 Fulton Financial Corp. (Banks) 1,494 0.00

260 GameStop Corp. "A" (Retail) 11,287 0.02

413 Gap, Inc. (Retail) 15,830 0.03

108 Generac Holdings, Inc.




198 General Growth Properties, Inc.


583 General Mills, Inc.


27 Genpact Ltd. (Computers) 607 0.00

315 Genuine Parts Co. (Distribution/Wholesale) 28,498 0.05

166 Geo Group, Inc.


1,667 Gilead Sciences, Inc. (Biotechnology) 187,154 0.32

21 Glacier Bancorp, Inc. (Banks) 591 0.00

133 Global Payments, Inc.


190 GNC Holdings, Inc. "A" (Retail) 8,463 0.01

250 Google, Inc. "A" (Internet) 136,330 0.23

236 Google, Inc. "C" (Internet) 125,578 0.21

302 Government Properties Income Trust


1 Graham Holdings Co. "B" (Media) 1,071 0.00

27 Grand Canyon Education, Inc.


46 Green Dot Corp. "A"

(Commercial Services) 674 0.00

8 Greif, Inc. "A" (Packaging & Containers) 306 0.00

456 H&R Block, Inc.


260 Haemonetics Corp.


90 Hain Celestial Group, Inc.


194



As at 31 May 2015




49 Halyard Health, Inc.


92 Hancock Holding Co. (Banks) 2,680 0.00

680 Hanesbrands, Inc. (Apparel) 21,665 0.04

26 Hanmi Financial Corp. (Banks) 575 0.00

215 Hanover Insurance Group, Inc. (Insurance) 15,304 0.03

105 HarrisCorp. (Telecommunications) 8,318 0.01

213 Hasbro, Inc. (Toys/Games/Hobbies) 15,364 0.03

667 Hatteras Financial Corp.


129 Hawaiian Holdings, Inc. (Airlines) 3,124 0.01

324 HCC Insurance Holdings, Inc. (Insurance) 18,526 0.03

654 HCP, Inc.


337 Health Care REIT, Inc.


151 Health Net, Inc. (Healthcare Services) 9,398 0.02

233 Hershey Co.


3,701 Hewlett-Packard Co. (Computers) 123,613 0.21

7 Hibbett Sports, Inc. (Retail) 326 0.00

726 Highwoods Properties, Inc.


180 Hillenbrand, Inc.


381 Hologic, Inc. (Healthcare Products) 13,628 0.02

10 Home BancShares, Inc. (Banks) 341 0.00

980 Home Depot, Inc. (Retail) 109,192 0.19

176 Home Properties, Inc.


166 Hospira, Inc. (Healthcare Products) 14,678 0.03

12 Hospitality Properties Trust


237 Houghton Mifflin Harcourt Co. (Media) 6,252 0.01

369 Hudson Pacific Properties, Inc.


243 Humana, Inc. (Healthcare Services) 52,160 0.09

358 Huntington Ingalls Industries, Inc.


115 IAC / InterActive Corp. (Internet) 8,633 0.01

149 Iberiabank Corp. (Banks) 9,576 0.02

88 IHS, Inc. "A" (Computers) 10,859 0.02

283 Illinois Tool Works, Inc.


196 Ingredion, Inc.


6,766 Intel Corp. (Semiconductors) 233,156 0.40

264 Interactive Brokers Group, Inc. "A"


181 Intercontinental Exchange, Inc.


51 InterDigital, Inc. (Telecommunications) 2,990 0.01

978 International Business Machines Corp.

(Computers) 165,918 0.28

132 International Flavors & Fragrances, Inc.

(Chemicals) 15,713 0.03

333 Intuit, Inc. (Software) 34,682 0.06

22 Intuitive Surgical, Inc.


640 Invesco Mortgage Capital, Inc.


787 Investors Real Estate Trust


62 Iridium Communications, Inc.


414 ITC Holdings Corp. (Electric) 14,610 0.03

18 j2 Global, Inc. (Computers) 1,195 0.00

214 JB Hunt Transport Services, Inc.




178 JM Smucker Co.


257 John Wiley & Sons, Inc. "A" (Media) 14,911 0.03

2,729 Johnson & Johnson (Pharmaceuticals) 273,282 0.47

280 KAR Auction Services, Inc.


403 Kellogg Co.


14 Kennedy-Wilson Holdings, Inc.

(Real Estate) 358 0.00

117 Kimberly-Clark Corp.


576 Kinder Morgan, Inc. (Pipelines) 23,898 0.04

104 Kite Realty Group Trust


113 Knowles Corp.


416 Kohl’s Corp. (Retail) 27,244 0.05

527 Kraft Foods Group, Inc.


639 Kroger Co.


130 Laboratory Corp. of America Holdings


16 Lands End, Inc.

(Distribution/Wholesale) 471 0.00

230 Landstar System, Inc. (Transportation) 15,042 0.03

27 Leidos Holdings, Inc.

(Software & Services) 1,148 0.00

10 LendingTree, Inc.


154 Lexmark International, Inc. "A"


42 Liberty Broadband "A" (Media) 2,264 0.00

85 Liberty Broadband "C" (Media) 4,546 0.01

526 Liberty Interactive Corp. "A" (Internet) 14,712 0.03

878 Liberty Property Trust


155 Linear Technology Corp.


45 Liquidity Services, Inc. (Internet) 446 0.00

479 LKQ Corp. (Distribution/Wholesale) 13,685 0.02

25 LMI Aerospace, Inc.


1,173 Loews Corp. (Insurance) 47,061 0.08

754 Lowe’s Cos., Inc. (Retail) 52,765 0.09

304 M&T Bank Corp. (Banks) 36,748 0.06

677 Mack-Cali Realty Corp.


607 Macy’s, Inc. (Retail) 40,639 0.07

111 Madison Square Garden, Inc.


18 Markel Corp. (Insurance) 13,910 0.02

12 MarketAxess Holdings, Inc.


124 Marriott Vacations Worldwide Corp.


418 Marsh & McLennan Cos, Inc.

(Insurance) 24,340 0.04

28 Marten Transport Ltd. (Transportation) 635 0.00

708 MasterCard, Inc. "A"


658 Mattel, Inc. (Toys/Games/Hobbies) 16,983 0.03

388 Maxim Integrated Products, Inc.


218 MAXIMUS, Inc. (Commercial Services) 14,251 0.02

65 MB Financial, Inc. (Banks) 2,094 0.00

288 McCormick & Co., Inc.


% of



% of



195



As at 31 May 2015




910 McDonald’s Corp. (Retail) 87,296 0.15

128 McGraw Hill Financial, Inc.


243 McKesson Corp. (Pharmaceuticals) 57,647 0.10

271 MeadWestvaco Corp.


28 Medicines Co. (Biotechnology) 794 0.00

257 Mednax, Inc. (Healthcare Services) 18,293 0.03

87 Men’s Wearhouse, Inc. (Retail) 5,047 0.01

3,025 Merck & Co., Inc. (Pharmaceuticals) 184,192 0.31

275 Mercury General Corp. (Insurance) 15,312 0.03

136 Meredith Corp. (Media) 7,181 0.01

177 MGE Energy, Inc. (Electric) 6,855 0.01


170 Mid-America Apartment Communities, Inc.


325 Molson Coors Brewing Co. "B"


2,513 Mondelez International, Inc. "A"


438 Monsanto Co. (Chemicals) 51,237 0.09

110 Monster Beverage Corp.


404 Motorola Solutions, Inc.


142 MSC Industrial Direct Co., Inc. "A"

(Retail) 9,851 0.02

100 MSCI, Inc. (Software) 6,205 0.01

17 MYR Group, Inc.


370 NASDAQ OMX Group, Inc.


31 National Penn Bancshares, Inc. (Banks) 332 0.00

532 National Retail Properties, Inc.


776 Navient Corp.


26 Navigant Consulting, Inc.


321 NBT Bancorp, Inc. (Banks) 7,903 0.01

627 NetApp, Inc. (Computers) 20,942 0.04

259 NeuStar, Inc. "A" (Telecommunications) 7,076 0.01

971 New York Community Bancorp, Inc.


413 Newell Rubbermaid, Inc. (Housewares) 16,326 0.03

721 Newmont Mining Corp. (Mining) 19,640 0.03

1,248 News Corp. "A" (Media) 18,907 0.03

465 NextEra Energy, Inc. (Electric) 47,588 0.08

448 Nicholas Financial, Inc.


496 Nielsen NV (Media) 22,315 0.04

509 NIKE, Inc. "B" (Apparel) 51,750 0.09

285 Nordstrom, Inc. (Retail) 20,702 0.04

402 Norfolk Southern Corp. (Transportation) 36,984 0.06

369 Northern Trust Corp. (Banks) 27,509 0.05

292 Northstar Realty Finance


204 NorthWestern Corp. (Electric) 10,612 0.02

95 Now, Inc. (Oil & Gas Services) 2,196 0.00

644 NRG Energy, Inc. (Electric) 16,229 0.03

9 NVR, Inc. (Home Builders) 12,245 0.02

115 O’Reilly Automotive, Inc. (Retail) 25,246 0.04

113 Old Dominion Freight Line, Inc.


36 Old Republic International Corp.

(Insurance) 557 0.00

577 Omega Healthcare Investors, Inc.


226 Omnicare, Inc. (Pharmaceuticals) 21,536 0.04



478 Omnicom Group, Inc. (Advertising) 35,625 0.06

30 ONE GAS, Inc.

(Utilities—Electric & Gas) 1,330 0.00

4,289 Oracle Corp. (Software) 186,529 0.32

0 Ormat Technologies, Inc. (Electric) 16 0.00

36 Outerwall, Inc.


227 Packaging Corp of America


62 PacWest Bancorp (Banks) 2,783 0.00

199 Pall Corp. (Miscellaneous Manufacturing) 24,764 0.04

10 Papa John’s International, Inc. (Retail) 687 0.00

130 Paragon Offshore Plc.


275 Patterson, Inc. (Healthcare Products) 13,156 0.02

392 Paychex, Inc. (Software) 19,369 0.03

435 PennyMac Mortgage Investment Trust


1,142 PepsiCo, Inc.


276 PerkinElmer, Inc. (Electronics) 14,553 0.02


961 PG&E Corp. (Electric) 51,385 0.09

192 PH Glatfelter Co.


101 PHH Corp. (Commercial Services) 2,787 0.00

28 Pinnacle Financial Partners, Inc. (Banks) 1,386 0.00

482 Pinnacle West Capital Corp. (Electric) 29,363 0.05

450 Plum Creek Timber Co., Inc.


1,083 PNC Financial Services Group, Inc.

(Banks) 103,632 0.18

26 Popeyes Louisiana Kitchen, Inc.


180 Post Holdings, Inc.


106 PPG Industries, Inc. (Chemicals) 24,262 0.04

1,000 PPL Corp. (Electric) 34,710 0.06

100 PRA Group, Inc.


227 Praxair, Inc. (Chemicals) 27,889 0.05

396 Precision Castparts Corp.


246 Primerica, Inc. (Insurance) 10,881 0.02

3,281 Procter & Gamble Co.


185 Prosperity Bancshares, Inc. (Banks) 9,910 0.02

383 Provident Financial Services, Inc.


711 Public Service Enterprise Group, Inc.

(Electric) 30,310 0.05


218 Quest Diagnostics, Inc.


85 Ralph Lauren Corp. (Apparel) 11,084 0.02

103 Range Resources Corp. (Oil & Gas) 5,707 0.01

363 Rayonier, Inc.


18 RCS Capital Corp.


498 Realty Income Corp.


6 Red Robin Gourmet Burgers, Inc. (Retail) 500 0.00

206 Regency Centers Corp.


194 Reinsurance Group of America, Inc.

(Insurance) 18,149 0.03

124 Rent-A-Center, Inc.


% of



% of



196



As at 31 May 2015




175 Republic Airways Holdings, Inc. (Airlines) 1,831 0.00

648 Republic Services, Inc.


265 ResMed, Inc. (Healthcare Products) 15,587 0.03

38 Restoration Hardware Holding, Inc.


713 Retail Opportunity Investments Corp.


348 Reynolds American, Inc.


112 RLI Corp. (Insurance) 5,451 0.01

263 Rock Tenn Co. "A"


696 Rockwell Collins, Inc.


106 Roper Industries, Inc.


227 Ross Stores, Inc. (Retail) 21,944 0.04

97 Royal Gold, Inc. (Mining) 6,283 0.01

106 RPM International, Inc. (Chemicals) 5,303 0.01



520 SCANA Corp. (Electric) 27,643 0.05

23 Schweitzer-Mauduit International, Inc.

(Forest Products & Paper) 928 0.00

286 Scripps Networks Interactive, Inc. "A"

(Media) 19,165 0.03

95 SEACOR Holdings, Inc.


152 SEI Investments Co.


244 Sempra Energy (Gas) 26,223 0.04

513 Senior Housing Properties Trust


218 Sensient Technologies Corp.

(Chemicals) 14,759 0.03

73 Sherwin-Williams Co. (Chemicals) 21,037 0.04

81 Sigma-Aldrich Corp. (Chemicals) 11,283 0.02

70 Signature Bank (Banks) 9,776 0.02

60 Simon Property Group, Inc.


249 Six Flags Entertainment Corp.


228 SL Green Realty Corp.


564 SLM Corp.


85 Sonic Corp. (Retail) 2,562 0.00

104 South Jersey Industries, Inc. (Gas) 2,745 0.00

1,144 Southern Co. (Electric) 49,981 0.09

1,064 Southwest Airlines Co. (Airlines) 39,421 0.07

667 Southwestern Energy Co. (Oil & Gas) 17,189 0.03

33 Sparton Corp. (Electronics) 875 0.00

460 Spectra Energy Corp. (Pipelines) 16,178 0.03

239 St Joe Co. (Real Estate) 3,807 0.01

303 St. Jude Medical, Inc.


1,489 Staples, Inc. (Retail) 24,516 0.04

932 Starbucks Corp. (Retail) 48,427 0.08

633 Starwood Property Trust, Inc.


93 Starwood Waypoint Residential Trust


318 Stryker Corp. (Healthcare Products) 30,569 0.05

13 Sturm Ruger & Co., Inc.


1,131 Symantec Corp. (Internet) 27,851 0.05

41 Symetra Financial Corp. (Insurance) 1,003 0.00

390 Synopsys, Inc. (Computers) 19,457 0.03



621 Sysco Corp.


867 Target Corp. (Retail) 68,770 0.12

280 Taser International, Inc. (Electronics) 8,842 0.02

267 Teledyne Technologies, Inc.


115 Teleflex, Inc. (Healthcare Products) 14,805 0.03

452 Terreno Realty Corp.


1,019 Texas Instruments, Inc. (Semiconductors) 56,982 0.10

223 Texas Roadhouse, Inc. (Retail) 7,809 0.01

438 Thermo Fisher Scientific, Inc. (Electronics) 56,778 0.10

1,200 Thomson Reuters Corp. (Media) 47,740 0.08

194 Tidewater, Inc. (Transportation) 4,761 0.01

280 Time Warner Cable, Inc. (Media) 50,649 0.09

1,284 Time Warner, Inc. (Media) 108,472 0.18

134 Time, Inc. (Media) 3,016 0.01

662 TJX Cos., Inc. (Retail) 42,620 0.07

372 Torchmark Corp. (Insurance) 21,230 0.04

154 Toro Co. (Agricultural Equipment) 10,532 0.02

150 Towers Watson & Co. "A"


118 Tractor Supply Co. (Retail) 10,283 0.02

611 Travelers Cos., Inc. (Insurance) 61,784 0.11

540 Triumph Group, Inc.


105 Trustmark Corp. (Banks) 2,504 0.00

85 Tupperware Brands Corp.


145 Twitter, Inc. (Internet) 5,317 0.01

530 Tyco International Plc. (Electronics) 21,391 0.04

613 Tyson Foods, Inc. "A"


350 UGI Corp. (Gas) 13,090 0.02

66 Ulta Salon Cosmetics & Fragrance, Inc.

(Retail) 10,073 0.02

82 Umpqua Holdings Corp. (Banks) 1,442 0.00

772 Union Pacific Corp. (Transportation) 77,903 0.13

45 United Community Banks, Inc. (Banks) 862 0.00

86 United Natural Foods, Inc.


225 United Parcel Service, Inc. "B"


52 United Therapeutics Corp.




237 Unitil Corp. (Electric) 8,020 0.01

55 Universal Health Realty Income Trust


107 Universal Health Services, Inc. "B"


921 Unum Group (Insurance) 32,198 0.05

122 Urban Edge Properties Reit


75 Urban Outfitters, Inc. (Retail) 2,579 0.00

2,926 US Bancorp (Banks) 126,140 0.21

75 Valmont Industries, Inc.


313 Vantiv, Inc. "A" (Commercial Services) 12,520 0.02

412 Vectren Corp. (Gas) 17,539 0.03

43 Vectrus, Inc. (Software & Services) 1,079 0.00

359 Ventas, Inc.


242 Verisk Analytics, Inc. "A"


1,282 Verizon Communications, Inc.


% of



% of



197



As at 31 May 2015




52 Vertex Pharmaceuticals, Inc.


342 VF Corp. (Apparel) 24,087 0.04

665 Viacom, Inc. "B" (Media) 44,475 0.08

1,476 Visa, Inc. "A"


13 Vitamin Shoppe, Inc. (Retail) 516 0.00

244 Vornado Realty Trust


2,249 Wal-Mart Stores, Inc. (Retail) 167,033 0.28

929 Walgreens Boots Alliance, Inc. (Retail) 79,745 0.14

1,667 Walt Disney Co. (Media) 183,987 0.31

407 Washington Federal, Inc.


338 Waste Connections, Inc.


619 Waste Management, Inc.


162 Waters Corp. (Electronics) 21,646 0.04

7,599 Wells Fargo & Co. (Banks) 425,240 0.72

97 Wesco Aircraft Holdings, Inc.


254 West Pharmaceutical Services, Inc.


178 Westamerica Bancorporation (Banks) 8,145 0.01

564 Western Union Co.


507 Weyerhaeuser Co.


345 WGL Holdings, Inc. (Gas) 19,851 0.03

274 Whole Foods Market, Inc.


304 William Lyon Homes "A"


66 Williams-Sonoma, Inc. (Retail) 5,188 0.01

60 Wilshire Bancorp, Inc. (Banks) 662 0.00

29 Wintrust Financial Corp. (Banks) 1,453 0.00

523 Wisconsin Energy Corp. (Electric) 25,250 0.04

284 Wolverine World Wide, Inc. (Apparel) 8,344 0.01

10 World Acceptance Corp.


125 WP Carey, Inc. (Real Estate) 7,961 0.01

50 WP Glimcher, Inc.


438 WR Berkley Corp. (Insurance) 21,462 0.04

91 WW Grainger, Inc.


741 Xcel Energy, Inc. (Electric) 25,231 0.04

392 Xilinx, Inc. (Semiconductors) 18,589 0.03

334 Xylem, Inc. (Machinery—Diversified) 12,214 0.02

118 York Water Co. (Water) 2,638 0.00

251 Yum! Brands, Inc. (Retail) 22,618 0.04

173 Zebra Technologies Corp. "A"


195 Zimmer Holdings, Inc.


303 Zoetis, Inc.


18,138,582 30.89

TOTAL COMMON STOCKS

(cost USD 50 ,998 ,852) 56,052,495 95.45

Rights – 0.00%

France

335 Rubis SCA – Rights (Gas) 334 0.00

Italy

4,759 Unipol Gruppo Finanziario SpA—Rights(c)

(Insurance) 0 0.00

Sweden

920 East Capital Explorer AB – Rights


TOTAL RIGHTS

(cost USD n i l ) 458 0.00

Warrants – 0.00%

Hong Kong

1,750 Ju Teng International Holdings Ltd.,

exp. 10/16—Warrants (Computers) 145 0.00

Thailand

4,080 Samart Corp. PCL, exp. 02/18—Warrants


TOTAL WARRANTS

(cost USD n i l ) 470 0.00


Ireland


(X Distribution Class)(d)(e) 847,999 1.45

562 Grafton Group Plc. 7,007 0.01

855,006 1.46

Switzerland

51 Solvalor 61 13,040 0.02

Thailand

10,800 Samui Airport Property Fund Leasehold 5,682 0.01

United States

25,479 iShares S&P India Nifty 50 Index Fund 774,307 1.32

TOTAL MUTUAL FUNDS

(cost USD 1 ,515 ,597) 1,648,035 2.81



(cost USD 52 ,514 ,449) 57,701,458 98.26



United Kingdom

346,860 Rolls-Royce Holdings Plc.(c)


United States

579 Safeway Casa Ley CVR(c) (Retail) 588 0.00

579 Safeway PDC LLC CVR(c) (Retail) 28 0.00

616 0.00

TOTAL COMMON STOCKS

(cost USD 614) 1,145 0.00

% of



% of



198



As at 31 May 2015


Rights – 0.00%

Singapore

486 Keppel Infrastructure Trust – Rights(c)


TOTAL RIGHTS



(cost USD 614) 1,152 0.00



(cost USD 52 ,515 ,063) 57,702,610 98.26





CAD

(1) S&P/TSX 60

Index Futures

18/06/2015 Short (138,970) 48 0.00

EUR

(1) DJ Euro STOXX 50

Index Futures

19/06/2015 Short (38,732) 894 0.00

UNREALISED GAIN ON FUTURES CONTRACTS 942 0.00




GBP

(1) FTSE 100

Index Futures

19/06/2015 Short (103,339) (2,974) (0.01)

JPY

(1) Topix Index

Futures 11/06/2015 Short (139,209) (9,163) (0.01)

USD

(1) E-Mini S&P 500

Index Futures

19/06/2015 Short (105,300) (2,428) (0.00)



Notional Maturity Gain/Loss Shareholders’

Amount Security Description Date USD Equity

Swap Contracts – (0.08%)

Equity Basket Swap 25/06/2015

2,763 AGL Energy Ltd. 839 0.00

1,619 Amcor Ltd. (312) (0.00)

2,116 APA Group (2) (0.00)

1,732 ASX Ltd. (4,359) (0.01)

5,149 Auckland International Airport Ltd. 151 0.00

4,902 Australia and New Zealand Banking Group Ltd. (6,393) (0.01)

1,552 Bendigo and Adelaide Bank (978) (0.00)

2,027 Brambles Ltd. (481) (0.00)

150 Cochlear Ltd. 605 0.00

2,583 Commomwealth Bank of Australia (8,251) (0.02)

1,389 Computershare Ltd. (65) (0.00)

575 CSL Ltd. (251) (0.00)

6,253 Federation Centres (1,062) (0.00)

3,769 Goodman Group (229) (0.00)

9,039 Goodman Property Trust (214) (0.00)

6,638 GPT Group (445) (0.00)

1,276 Invocare Ltd. (652) (0.00)

1,383 Lend Lease Group (744) (0.00)

282 McMillan Shakespeare Ltd. (22) (0.00)

11,784 Mirvac Group (728) (0.00)

4,775 National Australia Bank Ltd. (7,469) (0.01)

382 Nationall Australia Bank Ltd.(c) (157) (0.00)

2,503 Oil Search Ltd. (622) (0.00)

2,157 Origin Energy Ltd. (740) (0.00)

2,872 Orora Ltd. (192) (0.00)

1,197 Port of Tauranga Ltd. (455) (0.00)

1,793 Recall Holding Ltd. 52 0.00

1,646 Ryman Healthcare Ltd. (481) (0.00)

10,704 Scentre Group (1,450) (0.00)

2,321 SKY Network Television Ltd. (387) (0.00)

811 Sonic Healthcare Ltd. (312) (0.00)

5,613 Stockland (1,265) (0.00)

3,659 Tabcorp Holdings Ltd. (121) (0.00)

7,387 Telstra Corp. Ltd. (1,736) (0.01)

4,225 Transurban Group (1,397) (0.00)

2,686 Wesfarmers Ltd. (7,619) (0.02)

5,921 Westfield Corp. (622) (0.00)

4,551 Westpac Banking Corporation (4,217) (0.01)

1,718 Woodside Petroleum Ltd. (316) (0.00)

1,843 Woolworths Ltd. (3,556) (0.01)

TOTAL (56,655) (0.10)

Other 11,108 0.02

TOTAL EQUITY BASKET SWAP (45,547) (0.08)

(Commitment Market Va lue USD 1 ,342 ,766)


(cost USD 52 ,515 ,063) 57,643,440 98.16



% of



199



As at 31 May 2015


% of




(cost USD 52,515,063) 57,702,610 98.26

Unrealised gain on futures contracts 942 0.00


Unrealised loss on swap contracts (45,547) (0.08)




The counterparty for swap contracts was Citibank NA.


(a) 144A: This security is issued to qualified institutional investors, pursuant to private


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





% of

Shareholders’




Oil & Gas 6.49



Retail 4.86

Electric 4.46

Insurance 4.23

Computers 3.08


Others 39.94


Mutual Funds 2.81



Unrealised Loss On Swap Contracts (0.08)

WarrantsComputers 0.00


TOTAL WARRANTS 0.00

RightsGas 0.00

Insurance 0.00


Real Estate Investment Trust 0.00

TOTAL RIGHTS 0.00


TOTAL 100.00

200



As at 31 May 2015

Goldman Sachs Funds—GIVI Growth & Emerging Markets Equity Portfolio



Brazil

1,300 Ambev S.A.—ADR(a)


468 Banco Bradesco S.A. (Banks) 3,841 0.07

316 Banco Bradesco S.A.—ADR(a) (Banks) 2,781 0.05

2,300 Banco Santander Brasil S.A.—ADR(a)

(Banks) 11,431 0.20

1,700 BR Properties S.A. (Real Estate) 5,618 0.10

300 BRF S.A.


1,100 CCR S.A. (Commercial Services) 5,320 0.09

2,800 Centrais Eletricas

Brasileiras S.A.—Preferred "B" (Electric) 8,174 0.14

100 Cia Brasileira de Distribuicao—ADR(a)


1,900 Cia Providencia Industria e Comercio S.A.


1,300 Companhia de Saneamento Basico do

Estado de Sao Paulo—ADR(a) (Water) 7,553 0.13

700 Companhia Energetica de Minas

Gerais—ADR(a) (Electric) 3,164 0.06

1,189 Companhia Energetica de Minas

Gerais—Preferred (Electric) 5,281 0.09

900 Companhia Energetica de

Sao Paulo—Preferred "B" (Electric) 5,579 0.10

600 Companhia Paranaense de

Energia—Preferred "B" (Electric) 6,159 0.11

600 Cosan Ltd. (Food, Beverages & Tobacco) 3,665 0.06

275 Embraer S.A.—ADR(a)


5,700 Eternit S.A. (Building Materials) 4,928 0.09

2,100 Eucatex S.A. Industria e

Comercio—Preferred (Building Materials) 2,236 0.04

2,400 Gerdau S.A.—ADR(a) (Iron/Steel) 6,648 0.12

1,000 Gerdau S.A.—Preferred (Iron/Steel) 2,716 0.05

1,100 Grupo BTG Pactual Ltd.


1,200 Hypermarcas S.A. (Pharmaceuticals) 8,179 0.14

121 Itau Unibanco Holding S.A. (Banks) 1,230 0.02


(Banks) 19,355 0.34

2,396 Itausa – Investimentos Itau S.A.


5,200 Log-in Logistica Intermodal S.A.


2,700 Profarma Distribuidora de Produtos

Farmaceuticos S.A. (Pharmaceuticals) 6,495 0.11

13,245 Rumo Logistica Operadora Multimodal S.A.


7,800 T4F Entretenimento S.A. (Entertainment) 8,062 0.14

400 Telefonica Brasil S.A.—ADR(a)


440 Tim Participacoes S.A.—ADR(a)


400 Ultrapar Participacoes S.A. (Chemicals) 8,600 0.15

3,560 Unipar Carbocloro S.A.—Preferred


3,400 Vale S.A.—ADR(a) (Iron/Steel) 21,420 0.38

4,300 Vale S.A.—Preferred (Iron/Steel) 22,573 0.40

256,491 4.53

Cayman Islands

2,007 O2Micro International Ltd.—ADR(a)



Chile

904 Antarchile S.A. (Investment Companies) 10,824 0.19

78,803 Banco de Chile (Banks) 9,070 0.16

188 Banco de Credito e Inversiones (Banks) 8,757 0.15

1,336 Cencosud S.A.


29,892 Colbun S.A. (Electric) 8,946 0.16

236 Empresa Nacional de

Electricidad S.A.—ADR(a) (Electric) 10,542 0.19

963 Enersis S.A.—ADR(a) (Electric) 16,381 0.29

2,080 SACI Falabella (Retail) 15,600 0.28

2,801 Sonda S.A. (Computers) 6,435 0.11

89,943 1.59

China


500 BAIC Motor Corp. Ltd. "H" 144A(b)

(Automobile Manufacturers) 716 0.01

207,000 Bank of China Ltd. "H" (Banks) 137,527 2.43

14,000 Bank of Chongqing Co., Ltd. "H" (Banks) 13,961 0.25

85,000 Bank of Communications Co., Ltd. "H"

(Banks) 80,926 1.43



39,000 China Aoyuan Property Group Ltd.


41,000 China Cinda Asset Management Co., Ltd. "H"


12,000 China Communications Construction

Co., Ltd. "H" (Construction & Engineering) 20,744 0.37

24,000 China Communications Services Corp., Ltd. "H"


4,500 China Conch Venture Holdings Ltd.


209,000 China Construction Bank Corp. "H"

(Banks) 210,037 3.71

300 China Lodging Group Ltd.—ADR(a)

(Lodging) 7,434 0.13

11,000 China Longyuan Power Group Corp. "H"




23,000 China Modern Dairy Holdings Ltd.



(Oil & Gas) 51,986 0.92

20,000 China Rare Earth Holdings Ltd. (Mining) 4,102 0.07

37,200 China SCE Property Holdings Ltd.


6,000 China Shenhua Energy Co., Ltd. "H" (Coal) 14,753 0.26

50,000 China Telecom Corp., Ltd. "H"



12,000 China Yongda Automobiles Services

Holdings Ltd. (Retail) 9,227 0.16

8,000 Consun Pharmaceutical Group Ltd.


800 Dalian Wanda Commercial Properties

Co., Ltd. 144A(b) (Real Estate) 6,564 0.12

14,000 Dongfeng Motor Group Co., Ltd. ‘‘H’’


11,000 Fu Shou Yuan International Group Ltd.


52,000 Future Land Development Hldg. Ltd.


25,000 Geely Automobile Holdings Ltd.


82,439 GOME Electrical Appliances Holding Ltd.

(Retail) 21,589 0.38

% of



% of



201



As at 31 May 2015




12,000 Guangzhou Automobile Group Co., Ltd. "H"


5,220 Hangzhou Steam Turbine Co. "B"(c)




14,000 Huaneng Power International, Inc. ‘‘H’’

(Electric) 18,747 0.33

47,000 Huishang Bank Corp. Ltd. "H" (Banks) 24,920 0.44


(Banks) 189,833 3.36

6,000 Inner Mongolia Yitai Coal Co., Ltd. "B" (Coal) 10,350 0.18

13,000 Kangda International Environmental

Co., Ltd. 144A(b) (Environmental Control) 7,346 0.13

10,000 Lenovo Group Ltd. (Computers) 15,868 0.28

18,000 Logan Property Holdings Co., Ltd.


4,500 Luthai Textile Co., Ltd. "B" (Apparel) 7,402 0.13

400 Mindray Medical International Ltd.—ADR(a)


100 NetEase, Inc.—ADR(a) (Software) 14,141 0.25

500 New Oriental Education &

Technology Group, Inc.—ADR(a)


10,500 Parkson Retail Group Ltd. (Retail) 2,560 0.05

25,000 People’s Insurance Co. Group of China Ltd. "H"

(Insurance) 17,738 0.31

400 Perfect World Co., Ltd.—ADR(a) (Software) 7,912 0.14

34,000 PetroChina Co., Ltd. "H" (Oil & Gas) 40,309 0.71

206,000 Renhe Commercial Holdings Co., Ltd.


157,000 Semiconductor Manufacturing International

Corp. (Semiconductors) 18,026 0.32

1,000 Shanda Games Ltd.—ADR(a) (Software) 6,955 0.12

10,200 Shandong Chenming Paper Holdings Ltd. "B"


8,100 Shanghai Highly Group Co., Ltd. "B"


3,900 Shanghai Jinjiang International

Industrial Investment Co., Ltd. "B"


2,200 Shanghai Jinjiang International Travel Co., Ltd.


3,300 Shanghai Jinqiao Export Processing

Zone Development Co., Ltd. "B"


26,500 Shui On Land Ltd. (Real Estate) 8,376 0.15

13,000 Sinopec Engineering Group Co., Ltd. "H"


2,800 Sinopharm Group Co., Ltd. "H"


16,000 SOHO China Ltd. (Real Estate) 10,919 0.19

32,000 SPT Energy Group, Inc.


3,200 Tencent Holdings Ltd. (Internet) 64,276 1.14

4,000 Tingyi Cayman Islands Holding Corp.


12,000 Want Want China Holdings Ltd.


200 WuXi PharmaTech Cayman, Inc.—ADR(a)


7,000 Xinhua Winshare Publishing and

Media Co., Ltd. "H" (Retail) 9,139 0.16

14,000 Yangzijiang Shipbuilding Holdings Ltd.


18,000 Zall Development Group Ltd. (Real Estate) 6,595 0.12

1,541,614 27.25


Colombia

1,092 Almacenes Exito S.A. (Retail) 9,700 0.17

336 Banco de Bogota S.A. (Banks) 8,249 0.15

42 Bancolombia S.A.—ADR(a) (Banks) 1,711 0.03

1,306 Grupo Argos S.A. (Building Materials) 8,369 0.15

8,375 Grupo Aval Acciones y Valores S.A.





968 Grupo de Inversiones Suramericana S.A.


891 Grupo Nutresa S.A.


54,962 0.97

Cyprus

400 QIWI Plc.—ADR(a) (Internet) 12,088 0.21

Czech Republic

331 CEZ AS (Electric) 8,233 0.15

43 Komercni Banka AS (Banks) 9,220 0.16

213 Pegas Nonwovens S.A. (Textiles) 6,816 0.12

560 Telefonica Czech Republic AS(c)


28,247 0.50

Egypt

1,293 Commercial International Bank Egypt SAE

(Banks) 9,620 0.17

3,888 Oriental Weavers (Textiles) 5,600 0.10

1,848 Sidi Kerir Petrochemicals Co. (Chemicals) 3,355 0.06

18,575 0.33

Greece

2,144 Ellaktor S.A. (Commercial Services) 3,996 0.07

3,227 Intralot S.A. – Integrated Lottery

Systems & Services (Entertainment) 5,873 0.10

22,066 Marfin Investment Group S.A.


568 Metka S.A. (Metal Fabricate/Hardware) 4,888 0.09

747 Motor Oil Hellas Corinth Refineries S.A.

(Oil & Gas) 6,757 0.12

613 OPAP S.A. (Entertainment) 5,981 0.10

30,713 0.54

Hong Kong

66,033 Asian Citrus Holdings Ltd. (Agriculture) 10,478 0.19

60,000 AVIC International Holding HK Ltd.


2,000 Beijing Enterprises Holdings Ltd. (Gas) 17,506 0.31

14,000 Belle International Holdings Ltd. (Retail) 17,880 0.32

36,000 Century Ginwa Retail Holdings Ltd. (Retail) 4,969 0.09

242,000 Chigo Holding Ltd. (Home Furnishings) 6,712 0.12

50,000 China Financial International Investments Ltd.


3,905 China Merchants China Direct Investments Ltd.


4,000 China Merchants Holdings International Co., Ltd.



56,000 China Precious Metal Resources

Holdings Co., Ltd. (Mining) 5,057 0.09

6,038 China Resources Enterprise Ltd. (Retail) 18,149 0.32

8,000 China Resources Power Holdings Co., Ltd.

(Electric) 22,241 0.39

16,000 China Unicom Hong Kong Ltd.


% of



% of



202



As at 31 May 2015




14,000 China Water Affairs Group Ltd.


1,000 CITIC Ltd. (Iron/Steel) 1,930 0.03

100,000 Concord New Energy Group Ltd.


54,000 CP Pokphand Co., Ltd. (Agriculture) 8,638 0.15

34,000 Franshion Properties China Ltd.


43,112 Golden Meditech Holdings Ltd.



14,000 Hanergy Thin Film Power Group Ltd.(c)


9,000 Jinmao Investments and Jinmao China

Investments Holdings Ltd. (Lodging) 5,921 0.10

500 Kingboard Chemical Holdings Ltd.

(Chemicals) 973 0.02

14,000 Kunlun Energy Co., Ltd. (Oil & Gas) 15,207 0.27

20,000 Qingling Motors Co., Ltd. "H"


103,308 REXLot Holdings Ltd. (Entertainment) 7,597 0.13

4,000 Shanghai Industrial Holdings Ltd.


5,500 Shenzhen International Holdings Ltd.


12,271 Skyworth Digital Holdings Ltd.


7,600 Tech Pro Technology Development Ltd.


19,000 WH Group Ltd. 144A(b)


10,000 Yingde Gases Group Co., Ltd.


68,000 Yuexiu Property Co., Ltd. (Real Estate) 15,790 0.28

10,000 Yuexiu Transport Infrastructure Ltd.


527,363 9.32

Hungary

273 MOL Hungarian Oil & Gas Plc.

(Oil & Gas) 14,233 0.25

943 OTP Bank Plc. (Banks) 19,043 0.34

128 Richter Gedeon Nyrt (Pharmaceuticals) 2,086 0.04

35,362 0.63

Indonesia

31,000 Astra International Tbk PT (Retail) 17,113 0.30



19,300 Bank Negara Indonesia Persero Tbk PT

(Banks) 10,034 0.18

1,900 Gudang Garam Tbk PT


4,200 Indocement Tunggal Prakarsa Tbk PT


13,100 Indofood Sukses Makmur Tbk PT


25,000 Perusahaan Gas Negara Persero Tbk PT

(Gas) 8,120 0.14

7,300 Semen Indonesia Persero Tbk PT


37,200 Telekomunikasi Indonesia Persero Tbk PT


92,572 1.64


Malaysia

4,300 AMMB Holdings Bhd (Banks) 7,390 0.13

2,800 Axiata Group Bhd (Telecommunications) 5,026 0.09

1,100 Batu Kawan Bhd (Chemicals) 5,431 0.10

8,800 CIMB Group Holdings Bhd (Banks) 13,610 0.24

3,600 KLCCP Stapled Group (Real Estate) 6,923 0.12

1,400 Kuala Lumpur Kepong Bhd (Agriculture) 7,905 0.14

3,800 Latexx Partners Bhd(c)


7,700 Malayan Banking Bhd (Banks) 18,966 0.34

3,500 Maxis Bhd (Telecommunications) 6,578 0.12

4,200 Oriental Holdings Bhd (Retail) 8,707 0.15

3,600 PPB Group Bhd



4,400 RHB Capital Bhd (Banks) 9,242 0.16

6,100 Sime Darby Bhd


4,900 Telekom Malaysia Bhd (Telecommunications) 9,731 0.17

7,700 Tenaga Nasional Bhd (Electric) 28,061 0.50

24,100 YTL Corp. Bhd


20,720 YTL Power International Bhd (Electric) 8,930 0.16

189,268 3.35

Mexico

1,510 America Movil SAB de CV—

ADR—Series L(a) (Telecommunications) 31,710 0.56

1,200 Arca Continental SAB de CV


80 Coca-Cola Femsa SAB de CV—ADR(a)


700 Coca-Cola Femsa SAB de CV—Series L


3,400 Corp Inmobiliaria Vesta SAB de CV


2,213 Credito Real SAB de CV


200 El Puerto de Liverpool SAB de CV "C1"

(Retail) 2,246 0.04

5,100 Fibra Uno Administracion S.A. de CV


430 Fomento Economico Mexicano

SAB de CV—ADR(a)


120 Grupo Aeroportuario del Pacifico

SAB de CV—ADR(a)


3,000 Grupo Bimbo SAB de CV—Series A


4,300 Grupo Financiero Inbursa SAB de CV "O"

(Banks) 9,805 0.17

500 Grupo Televisa SAB—ADR(a) (Media) 18,925 0.33

400 Megacable Holdings SAB de CV (Media) 1,678 0.03

7,300 Wal-Mart de Mexico SAB de CV (Retail) 17,995 0.32

181,534 3.21

Morocco

231 Attijariwafa Bank (Banks) 8,321 0.15

350 Banque Centrale Populaire (Banks) 8,034 0.14

16,355 0.29

Peru

4,106 Alicorp SAA


84 Credicorp Ltd. (Banks) 11,861 0.21

28 Credicorp Ltd. (traded in the United States)

(Banks) 3,952 0.07

% of



% of



203



As at 31 May 2015



Peru – (continued)

15,414 Ferreycorp SAA


2,346 Grana y Montero SAA


414 Grana y Montero SAA—ADR(a)


37,131 0.66

Philippines

4,004 Bank of the Philippine Islands (Banks) 8,801 0.16

3,900 BDO Unibank, Inc. (Banks) 9,447 0.17

35,500 Energy Development Corp. (Electric) 6,298 0.11

2,910 First Philippine Holdings Corp. (Electric) 5,855 0.10

68,000 Global Ferronickel Holdings, Inc.


1,320 Jollibee Foods Corp. (Retail) 5,951 0.11

30,719 Megawide Construction Corp.


8,700 Nickel Asia Corp. (Mining) 4,430 0.08

135 Philippine Long Distance Telephone Co.—ADR(a)


6,900 Puregold Price Club, Inc. (Retail) 5,881 0.10

6,240 San Miguel Corp.


71,383 1.26

Poland

680 Asseco Poland S.A. (Computers) 10,864 0.19

347 Emperia Holding S.A.


81 Grupa Kety S.A. (Mining) 6,956 0.12

3,514 Orange Polska S.A. (Telecommunications) 9,713 0.17

3,180 PGE S.A. (Electric) 17,401 0.31

311 PKP Cargo S.A. (Transportation) 7,482 0.13


(Oil & Gas) 13,842 0.25

2,093 Powszechna Kasa Oszczednosci Bank

Polski S.A. (Banks) 18,213 0.32

124 Powszechny Zaklad Ubezpieczen S.A.

(Insurance) 14,793 0.26

10,335 Tauron Polska Energia S.A. (Electric) 13,100 0.23

419 Warsaw Stock Exchange


124,699 2.20

Qatar

879 Al Khaliji Commercial Bank QSC (Banks) 5,313 0.09

297 Ooredoo QSC (Telecommunications) 7,214 0.13

111 Qatar Electricity & Water Co. QSC (Electric) 6,496 0.11

978 Qatar Gas Transport Co., Ltd.


375 Qatar National Bank SAQ (Banks) 19,359 0.34

266 Qatar Navigation QSC (Transportation) 7,089 0.13

51,463 0.91

Russia

612 Gazprom Neft OAO—ADR(a) (Oil & Gas) 8,085 0.14



(Oil & Gas) 95,586 1.69

2,341 Hydraulic Machines and Systems

Group Plc.—GDR(a)



340 Magnit PJSC—GDR



1,200 MMC Norilsk Nickel OJSC—ADR(a)

(Mining) 21,138 0.37


Russia – (continued)

127 NovaTek OAO—GDR(a) (Oil & Gas) 12,814 0.23

764 Pharmstandard—GDR(a)


584 Phosagro OAO—GDR(a) (Agriculture) 7,738 0.14

1,428 Rosneft OAO—GDR(a) (Oil & Gas) 6,539 0.12

3,762 Surgutneftegas OAO—ADR(a) (Oil & Gas) 22,873 0.41

666 Uralkali OJSC—GDR(a) (Chemicals) 9,105 0.16

2,865 VTB Bank OJSC—GDR (Banks) 8,523 0.15

283,260 5.01

South Africa

79 Absa Bank Ltd.—Preferred (Banks) 5,191 0.09

1,184 AngloGold Ashanti Ltd.—ADR(a) (Mining) 11,343 0.20

322 Aspen Pharmacare Holdings Ltd.


6,580 Aveng Ltd. (Construction & Engineering) 4,624 0.08

338 Barclays Africa Group Ltd. (Banks) 4,882 0.09

326 Bidvest Group Ltd.


10,577 Business Connexion Group Ltd.


6,770 Capital Property Fund (Real Estate) 7,734 0.14

1,827 Curro Holdings Ltd.


793 Discovery Holdings Ltd. (Insurance) 7,939 0.14

2,064 FirstRand Ltd. (Banks) 8,821 0.16

2,488 Gold Fields Ltd.—ADR(a) (Mining) 8,484 0.15

3,266 Growthpoint Properties Ltd.


3,872 Harmony Gold Mining Co., Ltd.—ADR(a)

(Mining) 5,731 0.10

1,277 Holdsport Ltd. (Retail) 5,683 0.10

564 Hudaco Industries Ltd.


2,416 JD Group Ltd. (Retail) 6,711 0.12

2,902 MMI Holdings Ltd. (Insurance) 7,303 0.13

565 Mondi Ltd. (Forest Products & Paper) 12,788 0.23

1,307 MTN Group Ltd. (Telecommunications) 23,118 0.41

362 Nedbank Group Ltd. (Banks) 7,170 0.13

2,671 Peregrine Holdings Ltd.


10,930 Redefine Properties Ltd. (Real Estate) 9,612 0.17

677 Remgro Ltd.


925 Resilient Property Income Fund Ltd.


1,175 Sanlam Ltd. (Insurance) 6,612 0.12

475 Shoprite Holdings Ltd.


1,323 Standard Bank Group Ltd. (Banks) 17,190 0.30

4,090 Steinhoff International Holdings Ltd.


1,192 Telkom S.A. Ltd. (Telecommunications) 6,810 0.12

296 Tiger Brands Ltd.


2,939 Tsogo Sun Holdings Ltd. (Lodging) 6,280 0.11

281,551 4.98

Taiwan

8,000 Advanced Semiconductor Engineering, Inc.


7,000 Advancetek Enterprise Co., Ltd.


3,000 Apex Biotechnology Corp. (Biotechnology) 4,868 0.09

9,000 Asia Cement Corp. (Building Materials) 11,407 0.20

2,000 Asustek Computer, Inc. (Computers) 19,679 0.35

4,000 Audix Corp. (Electronics) 5,206 0.09

26,000 BES Engineering Corp.


% of



% of



204



As at 31 May 2015




8,000 C Sun Manufacturing Ltd.


19,000 Cathay Financial Holding Co., Ltd.

(Insurance) 33,985 0.60

14,000 Cathay No 1 REIT


1,743 Center Laboratories, Inc.


22,335 Chang Hwa Commercial Bank Ltd. (Banks) 13,062 0.23

18,000 Cheng Loong Corp.


5,405 Cheng Shin Rubber Industry Co., Ltd.


10,420 Chia Hsin Cement Corp.


9,000 China Chemical & Pharmaceutical Co., Ltd.


31,000 China Development Financial Holding Corp.


33,440 China Steel Corp. (Iron/Steel) 27,673 0.49

6,000 China Steel Structure Co., Ltd.


6,000 China Synthetic Rubber Corp. (Chemicals) 6,275 0.11

6,000 Chunghwa Telecom Co., Ltd.


50,000 CMC Magnetics Corp. (Computers) 5,897 0.10

11,000 CSBC Corp. (Shipbuilding) 5,698 0.10

33,000 CTBC Financial Holding Co., Ltd.


3,000 Delta Electronics, Inc.


2,000 Depo Auto Parts Ind Co., Ltd.


25,451 E.Sun Financial Holding Co., Ltd.


4,000 Everspring Industry Co., Ltd. (Electronics) 3,473 0.06

3,000 Excelsior Medical Co., Ltd.


27,053 Far Eastern International Bank (Banks) 9,784 0.17

2,000 Far Eastern New Century Corp.

(Apparel) 2,206 0.04

4,000 Far EasTone Telecommunications Co., Ltd.


27,781 First Financial Holding Co., Ltd.


8,270 Formosa Chemicals & Fibre Corp.

(Chemicals) 20,235 0.36

9,440 Formosa Plastics Corp. (Chemicals) 23,159 0.41

8,000 Formosa Taffeta Co., Ltd. (Textiles) 8,679 0.15

8,450 Founding Construction & Development Co., Ltd.


6,000 Fullerton Technology Co., Ltd. (Electronics) 5,229 0.09

4,500 Highwealth Construction Corp.




27,253 Hua Nan Financial Holdings Co., Ltd.


4,000 Inpaq Technology Co., Ltd.


13,805 Inventec Corp. (Computers) 9,895 0.18

9,000 King Yuan Electronics Co., Ltd.


22,901 Lealea Enterprise Co., Ltd. (Apparel) 7,685 0.14

4,000 Lelon Electronics Corp. (Electronics) 4,516 0.08

10,000 Lien Hwa Industrial Corp.


10,130 Lite-On Technology Corp. (Computers) 13,004 0.23




26,669 Mega Financial Holding Co., Ltd.


6,000 Micro-Star International Co., Ltd.


10,500 Mitac Holdings Corp. (Computers) 9,921 0.18

3,000 Mobiletron Electronics Co., Ltd.


3,000 Nexcom International Co., Ltd. (Computers) 3,968 0.07

2,000 Pegatron Corp. (Electronics) 5,969 0.11

3,000 Pihsiang Machinery Manufacturing Co., Ltd.


9,000 Pou Chen Corp. (Apparel) 12,902 0.23

5,000 Powertech Technology, Inc.


13,250 Prime Electronics Satellitics, Inc.


4,000 Promate Electronic Co., Ltd. (Electronics) 4,861 0.09

2,000 QST International Corp.


7,000 Quanta Computer, Inc. (Computers) 17,766 0.31

14,000 Sampo Corp. (Home Furnishings) 6,158 0.11

9,000 Shih Wei Navigation Co., Ltd.


55,329 Shin Kong Financial Holding Co., Ltd.

(Insurance) 17,973 0.32

6,000 Sigurd Microelectronics Corp.


8,000 Siliconware Precision Industries Co., Ltd.


4,000 Sinbon Electronics Co., Ltd. (Electronics) 7,194 0.13

3,000 Sinher Technology, Inc. (Semiconductors) 5,522 0.10

21,000 SinoPac Financial Holdings Co., Ltd.


7,000 Synnex Technology International Corp.


44,000 Taishin Financial Holding Co., Ltd.


35,360 Taiwan Business Bank (Banks) 11,578 0.21

3,000 Taiwan Cement Corp. (Building Materials) 4,076 0.07

35,163 Taiwan Cooperative Financial Holding Co., Ltd.


2,000 Taiwan Mobile Co., Ltd.



Co., Ltd.—ADR(a) (Semiconductors) 150,536 2.66

1,000 Taiwan Taxi Co., Ltd. (Transportation) 3,388 0.06

31,000 Tatung Co., Ltd.


4,000 Thye Ming Industrial Co., Ltd. (Mining) 4,991 0.09

4,000 TYC Brother Industrial Co., Ltd.


11,000 Tyntek Corp. (Semiconductors) 5,663 0.10

7,670 Uni-President Enterprises Corp.


22,882 Union Bank Of Taiwan (Banks) 8,052 0.14

29,157 Waterland Financial Holdings Co., Ltd.


7,000 Weikeng Industrial Co., Ltd. (Electronics) 5,314 0.09

4,782 Yageo Corp. (Electronics) 9,068 0.16

17,000 YFY, Inc. (Forest Products & Paper) 6,619 0.12

22,890 Yieh Phui Enterprise Co., Ltd.


3,000 Yungshin Construction & Development

Co., Ltd. (Real Estate) 5,649 0.10

9,000 Zenitron Corp. (Electronics) 5,806 0.10

1,146,693 20.27

% of



% of



205



As at 31 May 2015

% of



% of





Thailand

1,200 Advanced Info Service PCL


900 Airports of Thailand PCL


1,200 Bangkok Bank PCL—Foreign (Banks) 6,492 0.11

4,900 Bangkok Expressway PCL


11,500 Charoen Pokphand Foods PCL


6,800 CP ALL PCL (Retail) 9,248 0.16

2,500 Glow Energy PCL (Electric) 6,651 0.12

4,300 PTT Exploration & Production PCL

(Oil & Gas) 13,805 0.24

1,900 PTT PCL (Oil & Gas) 19,599 0.35

6,100 Samart Corp. PCL (Telecommunications) 4,669 0.08

17,700 Thai Airways International PCL (Airlines) 7,208 0.13

20,000 Thai Beverage PCL


12,800 Thai Union Frozen Products PCL


6,900 Thanachart Capital PCL (Banks) 7,025 0.12

94,500 TMB Bank PCL (Banks) 7,135 0.13

131,237 2.32

Turkey

1,025 Anadolu Efes Biracilik Ve Malt Sanayii AS


1,323 Arcelik AS (Home Furnishings) 7,181 0.13

194 Goltas Goller Bolgesi Cimento Sanayi ve

Ticaret A/S (Building Materials) 5,892 0.10

4,162 Haci Omer Sabanci Holding AS


48,853 Ihlas Holding AS (Commercial Services) 4,955 0.09

129 KOC Holding AS


3,693 TAT Gida Sanayi AS


2,927 Turk Hava Yollari (Airlines) 9,918 0.17




801 Yazicilar Holding AS "A"


89,326 1.58


5,675 Abu Dhabi Commercial Bank PJSC (Banks) 11,773 0.21

55,431 Dana Gas PJSC (Oil & Gas) 6,489 0.11

9,641 Emaar Properties PJSC (Real Estate) 20,473 0.36

3,257 First Gulf Bank PJSC (Banks) 12,991 0.23

3,514 National Bank of Abu Dhabi PJSC (Banks) 9,998 0.18

7,286 Union National Bank PJSC (Banks) 13,092 0.23

74,816 1.32

TOTAL COMMON STOCKS

(cost USD 5 ,076 ,214) 5,371,122 94.95

Warrants – 0.01%

Hong Kong

4,807 Golden Meditech Holdings Ltd.,

exp. 07/15—Warrants

(Healthcare Products) 279 0.01

Thailand

1,220 Samart Corp. PCL, exp. 02/18—Warrants


TOTAL WARRANTS

(cost USD n i l ) 376 0.01


Thailand

15,100 CPN Retail Growth Leasehold Property Fund 7,406 0.13

16,900 Tesco Lotus Retail Growth Freehold &

Leasehold Property Fund 6,632 0.12

14,038 0.25

United States

7,142 iShares S&P India Nifty 50 Index Fund 217,045 3.83

2,406 Market Vectors Russia ETF 45,594 0.80

262,639 4.63

TOTAL MUTUAL FUNDS

(cost USD 224 ,756) 276,677 4.88



(cost USD 5 ,300 ,970) 5,648,175 99.84


(cost USD 5 ,300 ,970) 5,648,175 99.84



% of











% of

Shareholders’




Oil & Gas 7


Semiconductors 4.8

Real Estate 4.38


Electric 3.65

Electronics 3.47

Retail 3.33

Others 30.96


Mutual Funds 4.88

WarrantsHealthcare Products 0.01


TOTAL WARRANTS 0.01


TOTAL 100.00

206




Chemicals

137,784 Dow Chemical Co. 7,102,765 1.93

Electric

122,120 Dominion Resources, Inc. 8,654,644 2.35

+ 115,024 NRG Yield, Inc. ‘‘A’’ 3,021,681 0.82

115,024 NRG Yield, Inc. "C" 3,107,949 0.85

14,784,274 4.02

Energy Sources

229,028 Pattern Energy Group, Inc. 6,527,298 1.77

Gas

199,576 NiSource, Inc. 9,473,873 2.58

Oil & Gas

143,371 Antero Resources Corp. 5,779,285 1.57

46,992 Chevron Corp. 4,846,050 1.32

+ 428,632 Crescent Point Energy Corp. 9,624,348 2.62

204,050 Delek US Holdings, Inc. 7,698,806 2.10

86,098 EQT Corp. 7,338,132 2.00

82,258 Phillips 66 6,546,092 1.78

267,187 Rice Energy, Inc. 5,886,130 1.60

131,425 Western Refining, Inc. 5,823,442 1.58

53,542,285 14.57

Oil & Gas Services

164,772 Halliburton Co. 7,497,126 2.04

170,758 Schlumberger Ltd. 15,556,054 4.23

148,011 Targa Resources Corp. 13,726,540 3.74

36,779,720 10.01

Pipelines

290,344 Enbridge, Inc. 13,965,546 3.80

280,955 EnLink Midstream LLC 9,296,801 2.53

333,036 Gibson Energy, Inc. 6,464,102 1.76

626,031 Kinder Morgan, Inc. 26,067,931 7.09

162,151 ONEOK, Inc. 6,774,669 1.84

+ 339,371 Pembina Pipeline Corp. 10,882,382 2.96

137,584 SemGroup Corp. "A" 10,893,901 2.97

474,425 Spectra Energy Corp. 16,538,456 4.50

304,704 Williams Cos, Inc. 15,570,374 4.24

116,454,162 31.69

Transportation

350,008 GasLog Ltd. 7,199,664 1.96

317,475 Teekay Corp. 14,340,346 3.90

21,540,010 5.86

TOTAL COMMON STOCKS

(cost USD 290 ,919 ,625) 266,204,387 72.43

Master Limited Partnership – 26.81%

Oil & Gas

274,071 Transocean Partners LLC 4,322,099 1.18

468,401 VTTI Energy Partners 12,131,586 3.30

16,453,685 4.48

Pipelines

1,067,786 Plains GP Holdings "A" 29,748,518 8.09

1,014,124 Tallgrass Energy GP 31,965,188 8.70

61,713,706 16.79

Transportation

319,291 Capital Product Partners 2,918,320 0.80

221,292 Dynagas LNG Partners 4,233,316 1.15

265,319 Golar LNG Partners 7,468,730 2.03

249,428 Teekay Offshore Partners 5,729,361 1.56

20,349,727 5.54

TOTAL MASTER LIMITED PARTNERSHIP

(cost USD 104 ,015 ,476) 98,517,118 26.81





TOTAL MUTUAL FUNDS

(cost USD 3 ,776 ,709) 3,776,709 1.03



(cost USD 398 ,711 ,810) 368,498,214 100.27


(cost USD 398 ,711 ,810) 368,498,214 100.27



% of








(b) The yield for this fund as at 31 May 2015 was 0.230%

% of



% of



Goldman Sachs Funds—North American Shale Revolution &

Energy Infrastructure Portfolio


As at 31 May 2015

207



As at 31 May 2015

Goldman Sachs Funds—Euro Fixed Income Portfolio



Belgium

100,000 KBC Groep NV(c) EUR 1.875% 11/03/2027 98,274 0.55

France

50,000 BNP Paribas S.A.(c) EUR 4.730% 29/04/2049 51,373 0.29

100,000 Electricite de France S.A.(c) EUR 5.375% 29/01/2049 115,023 0.64

100,000 TOTAL S.A.(c) EUR 2.250% 29/12/2049 101,063 0.56

267,459 1.49

Italy

300,000 Banca Monte dei Paschi di Siena SpA EUR 3.500% 20/03/2017 315,930 1.76

100,000 CDP Reti SpA EUR 1.875% 29/05/2022 101,241 0.56

100,000 Intesa Sanpaolo SpA EUR 3.000% 28/01/2019 107,350 0.60

524,521 2.92

Japan

100,000 Sumitomo Mitsui Banking Corp. EUR 2.250% 16/12/2020 107,523 0.60

Netherlands

50,000 Generali Finance BV(c) GBP 6.214% 31/12/2049 71,855 0.40

New Zealand

200,000 ANZ New Zeland Int’l Ltd. EUR 1.375% 05/10/2017 206,154 1.14

Norway

100,000 Eika Boligkreditt AS EUR 1.250% 06/11/2017 102,897 0.57

400,000 Sparebank 1 Boligkreditt AS USD 1.750% 15/11/2019 361,735 2.01

464,632 2.58

Spain

100,000 BBVA Subordinated Capital SAU(c) EUR 3.500% 11/04/2024 105,539 0.58

50,000 Telefonica Emisiones SAU EUR 3.661% 18/09/2017 53,630 0.30

159,169 0.88

Switzerland

100,000 Credit Suisse AG(c) EUR 0.477% 15/12/2017 100,526 0.56

United Kingdom

100,000 Abbey National Treasury Services Plc. EUR 3.625% 08/09/2016 104,570 0.58


200,000 Bank of Scotland Plc. USD 5.250% 21/02/2017 194,646 1.08

100,000 BP Capital Markets Plc. EUR 4.154% 01/06/2020 116,673 0.65

300,000 Bradford & Bingley Plc. EUR 4.875% 28/06/2017 329,781 1.83

100,000 FCE Bank Plc. EUR 1.625% 09/09/2016 101,167 0.56

100,000 Imperial Tobacco Finance Plc. EUR 5.000% 02/12/2019 117,925 0.66

100,000 Nationwide Building Society EUR 3.125% 13/10/2016 104,258 0.58


200,000 NRAM Plc. EUR 4.125% 27/03/2017 214,880 1.19

1,705,292 9.48

United States

50,000 American Tower Corp. USD 5.000% 15/02/2024 48,801 0.27

100,000 Bank of America Corp.—Series L USD 2.650% 01/04/2019 92,668 0.51

50,000 HCP, Inc. USD 4.250% 15/11/2023 46,807 0.26

100,000 JPMorgan Chase & Co. USD 3.625% 13/05/2024 92,722 0.52

100,000 Morgan Stanley USD 3.700% 23/10/2024 92,717 0.52


50,000 Philip Morris International, Inc. USD 3.600% 15/11/2023 47,393 0.26

465,308 2.59


(cost EUR 3 ,892 ,425) 4,170,713 23.19

% of


Holdings Security Description Currency Coupon Rate(a)

Maturity Date(b)

EUR Equity

208



As at 31 May 2015


Government Bonds – 60.01%

Austria

240,000 Austria Government Bond 144A(d) EUR 4.350% 15/03/2019 279,840 1.55


475,168 2.64

Belgium

150,000 Belgium Government Bond—Series 31 EUR 5.500% 28/03/2028 230,446 1.28

50,000 Belgium Government Bond—Series 44 144A(d) EUR 5.000% 28/03/2035 81,639 0.45


80,000 Belgium Government Bond—Series 72 144A(d) EUR 2.600% 22/06/2024 93,456 0.52

552,863 3.07

France

130,000 France Government Bond OAT EUR 4.250% 25/10/2017 143,832 0.80







2,040,895 11.35

Germany

40,000 Bundesrepublik Deutschland EUR 2.250% 04/09/2021 45,321 0.25





20,000 Bundesrepublik Deutschland—Series 2007 EUR 4.250% 04/07/2039 33,596 0.19


1,464,675 8.15

Italy

230,237 Italy Buoni Poliennali Del Tesoro EUR 2.150% 12/11/2017 240,447 1.34


960,000 Italy Buoni Poliennali Del Tesoro EUR 4.500% 01/08/2018 1,082,777 6.02






60,000 Italy Buoni Poliennali Del Tesoro 144A(d) EUR 4.750% 01/08/2023 74,164 0.41

2,642,843 14.70

Mexico

372,700 Mexican Bonos—Series M30 MXN 10.000% 20/11/2036 30,748 0.17

30,000 Mexico Government International Bond USD 4.750% 08/03/2044 27,454 0.15

58,202 0.32

Netherlands

260,000 Netherlands Government Bond EUR 2.000% 15/07/2024 293,046 1.63

110,000 Netherlands Government Bond 144A(d) EUR 4.500% 15/07/2017 121,006 0.67




894,093 4.97

South Africa

530,000 South Africa Government Bond—Series 2023 ZAR 7.750% 28/02/2023 39,194 0.22

% of



Maturity Date(b)

EUR Equity

209



As at 31 May 2015


Government Bonds – (continued)

Spain

635,000 Spain Government Bond EUR 3.750% 31/10/2015 644,663 3.58


420,000 Spain Government Bond 144A(d) EUR 4.000% 30/04/2020 483,425 2.69






2,624,340 14.59

TOTAL GOVERNMENT BONDS

(cost EUR 10 ,345 ,982) 10,792,273 60.01

Supranationals – 6.78%

100,000 European Financial Stability Facility EUR 0.875% 16/04/2018 102,605 0.57





300,000 European Stability Mechanism EUR 0.000% 17/10/2017 300,583 1.67

1,219,799 6.78

TOTAL SUPRANATIONALS

(cost EUR 1 ,176 ,581) 1,219,799 6.78

TOTAL TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL EXCHANGE LISTING

(cost EUR 15 ,414 ,988) 16,182,785 89.98

Transferable securities dealt in another regulated market


France

150,000 Pernod Ricard S.A. 144A(d) USD 4.250% 15/07/2022 146,052 0.81

Norway

200,000 DNB Boligkreditt AS USD 2.900% 29/03/2016 185,359 1.03

200,000 DNB Boligkreditt AS USD 1.450% 21/03/2018 182,327 1.02

367,686 2.05


(cost EUR 404 ,409) 513,738 2.86


United States

40,502 United States Treasury Inflation Indexed Bonds USD 1.375% 15/02/2044 40,567 0.23


(cost EUR 35 ,545) 40,567 0.23

Agencies Asset Backed Obligations – 1.10%

United States

100,000 Federal Home Loan Mortgage Corp. (FHLMC)(c) USD 4.084% 25/11/2020 100,264 0.56


196,583 1.10

TOTAL AGENCIES ASSET BACKED OBLIGATIONS

(cost EUR 162 ,267) 196,583 1.10

% of



Maturity Date(b)

EUR Equity

210



As at 31 May 2015


Non-Agencies Asset Backed Obligations – 2.64%

United Kingdom

76,212 Aire Valley Mortgages Plc. "2A2"(c) EUR 0.285% 20/09/2066 74,397 0.41

14,657 Granite Master Issuer Plc. "A7"(c) GBP 0.827% 20/12/2054 20,331 0.11

125,792 Granite Mortgages Plc. "2A1"(c) EUR 0.305% 20/06/2044 125,568 0.70

18,894 Granite Mortgages Plc. "3A"(c) GBP 0.949% 20/01/2044 26,248 0.15

52,357 Paragon Mortgages No 8 Plc. "A2B"(c) EUR 0.371% 16/04/2035 50,199 0.28

296,743 1.65

United States

225,142 JP Morgan Alternative Loan Trust "A1" 144A(d) USD 6.000% 25/11/2036 178,316 0.99

TOTAL NON-AGENCIES ASSET BACKED OBLIGATIONS

(cost EUR 411 ,555) 475,059 2.64

TOTAL TRANSFERABLE SECURITIES DEALT IN ANOTHER REGULATED MARKET

(cost EUR 1 ,013 ,776) 1,225,947 6.83

MARKET VALUE OF INVESTMENTS EXCLUDING DERIVATIVES

(cost EUR 16 ,428 ,764) 17,408,732 96.81




Contracts Security Description EUR EUR Equity

CAD

4 Canadian Government Bond 10YR Futures 21/09/2015 Long 408,532 2,892 0.02

EUR

7 German Federal Republic Bonds 10YR Futures 08/06/2015 Long 1,087,100 3,350 0.02



4,196,400 11,850 0.06

USD

1 US Treasury Long Bond Futures 21/09/2015 Long 140,796 370 0.00





EUR

3 Euro BTP Italian Government Bond Futures 08/06/2015 Long 404,970 (11,470) (0.07)

3 Euro OAT Futures 08/06/2015 Long 457,260 (2,010) (0.01)

862,230 (13,480) (0.08)

USD

(1) US Treasury Bond Ultra Long Futures 21/09/2015 Short (144,804) (710) (0.00)

(3) US Treasury Notes 10YR Futures 21/09/2015 Short (347,571) (298) (0.00)



(1,415,359) (2,458) (0.01)


% of



Maturity Date(b)

EUR Equity

211



As at 31 May 2015



Unrealised % of



EUR 32,054 MXN 534,000 12/06/2015 384 0.00

EUR 41,529 ZAR 547,000 12/06/2015 590 0.01

EUR 2,274,625 USD 2,463,763 15/06/2015 34,288 0.19

USD 237,521 EUR 212,818 15/06/2015 3,163 0.02

EUR 139,790 GBP 99,000 15/07/2015 2,251 0.01

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 40,676 0.23

Unrealised % of



JPY 2,524,899 EUR 18,780 09/06/2015 (243) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (243) (0.00)



Notional Gain Shareholders’

Amount Pay Receive Currency Maturity Date EUR Equity

Interest Rate Swaps

30,000 Fixed 3.000% Floating (AUD 6 month BBSW) AUD 17/06/2025 232 0.00

2,250,000 Floating (CAD 3 month CDOR) Fixed 1.000% CAD 21/04/2017 290 0.00

60,000 Floating (EUR 6 month EURIBOR) Fixed 0.550% EUR 22/05/2020 23 0.00

1,210,000 Floating (EUR 6 month EURIBOR) Fixed 0.500% EUR 16/09/2020 3,416 0.02


550,000 Floating (EUR 6 month EURIBOR) Fixed 1.250% EUR 16/09/2025 4,427 0.03

130,000 Fixed 1.350% Floating (EUR 6 month LIBOR) EUR 27/02/2030 3,349 0.02

50,000 Fixed 1.500% Floating (EUR 6 month LIBOR) EUR 03/02/2045 759 0.00


160,000 Fixed 2.000% Floating (GBP 6 month LIBOR) GBP 17/06/2045 4,388 0.03

2,100,000 Floating (NOK 6 month NIBOR) Fixed 1.000% NOK 01/07/2017 171 0.00

3,830,000 Fixed 0.500% Floating (SEK 3 month STIBOR) SEK 17/06/2020 2,057 0.01

40,000 Fixed 2.500% Floating (USD 3 month LIBOR) USD 03/02/2045 1,802 0.01

UNREALISED GAIN ON INTEREST RATE SWAPS 22,969 0.13

Credit Default Swaps

100,000 Floating (CDX.NA.IG.16-V1 Index) Fixed 1.000% USD 20/06/2016 837 0.00

150,000 Floating (CDX.NA.IG.16-V1 Index) Fixed 1.000% USD 20/06/2016 1,258 0.01


UNREALISED GAIN ON CREDIT DEFAULT SWAPS 3,765 0.02

TOTAL UNREALISED GAIN ON SWAP CONTRACTS 26,734 0.15


Notional Loss Shareholders’


Interest Rate Swaps

290,000 Fixed 0.750% Floating (EUR 6 month EURIBOR) EUR 16/09/2022 (1,858) (0.01)

350,000 Fixed 0.700% Floating (EUR 6 month EURIBOR) EUR 15/02/2024 (112) (0.00)

140,000 Floating (EUR 6 month LIBOR) Fixed 1.150% EUR 27/02/2025 (2,002) (0.01)



60,000 Fixed 1.250% Floating (GBP 6 month LIBOR) GBP 17/06/2020 (763) (0.00)

40,000 Floating (GBP 6 month LIBOR) Fixed 1.500% GBP 17/06/2025 (452) (0.00)

12,410,000 Floating (JPY 6 month LIBOR) Fixed 1.750% JPY 03/02/2045 (1,624) (0.01)


6,100,000 Floating (NOK 6 month LIBOR) Fixed 1.000% NOK 11/05/2017 (2,947) (0.02)

60,000 Fixed 1.250% Floating (USD 3 month LIBOR) USD 17/06/2017 (15) (0.00)

920,000 Fixed 2.250% Floating (USD 3 month LIBOR) USD 17/06/2020 (7,091) (0.04)






50,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2045 (315) (0.00)

UNREALISED LOSS ON INTEREST RATE SWAPS (28,360) (0.16)

212



As at 31 May 2015


Swap Contracts – (continued)





750,000 Floating (CDX.NA.IG.24-V1 Index) Fixed 1.000% USD 20/06/2020 (1,803) (0.01)

UNREALISED LOSS ON CREDIT DEFAULT SWAPS (1,803) (0.01)

TOTAL UNREALISED LOSS ON SWAP CONTRACTS (30,163) (0.17)


(cost EUR 16 ,428 ,764) 17,444,910 97.01



% of



Total Investments excluding derivatives (cost EUR 16,428,764) 17,408,732 96.81




Unrealised loss on forward currency contracts (243) (0.00)




Shareholders ’ Equi ty 17,983,052 100.00

Rates disclosed for Corporate Bonds, Government Bonds, Supranationals, Agencies and Non-Agencies Backed Obligations are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Credit Suisse International, HSBC Bank Plc., Morgan Stanley And Co. International, Royal Bank of Scotland Plc. and State

Street Bank London.

The counterparties for swap contracts were Bank of America NA, Credit Suisse Debt Capital Markets and Morgan Stanley and Co. International.


(a) Interest rates represent either the stated coupon rate, annualised discounted yield on date of purchase for discounted securities, or, for floating rate securities, the current reset

rate which is based upon interest rates indices.

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

(c) Variable and floating coupon rates are those quoted as of 31 May 2015.

(d) 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.

213



As at 31 May 2015

Goldman Sachs Funds—Euro Short Duration Bond Portfolio



France


210,000 Cie de Financement Foncier S.A. EUR 2.875% 14/01/2016 213,738 1.68

100,000 Labco S.A. EUR 8.500% 15/01/2018 105,479 0.83

150,000 Pernod Ricard S.A. EUR 4.875% 18/03/2016 155,534 1.23

525,461 4.14

Ireland

50,000 GE Capital European Funding EUR 2.875% 17/09/2015 50,405 0.40

Italy

100,000 2i Rete Gas SpA EUR 1.750% 16/07/2019 103,813 0.82

400,000 Banca Monte dei Paschi di Siena SpA EUR 3.500% 20/03/2017 421,240 3.32

75,000 Enel SpA EUR 5.250% 20/06/2017 82,404 0.65


100,000 Snam SpA EUR 3.875% 19/03/2018 109,338 0.86

100,000 Telecom Italia SpA EUR 6.125% 14/12/2018 115,907 0.91

885,007 6.97

Luxembourg

100,000 Altice Financing S.A. EUR 8.000% 15/12/2019 106,891 0.84

100,000 ArcelorMittal EUR 5.875% 17/11/2017 109,982 0.87

100,000 Fiat Chrysler Finance Europe EUR 7.000% 23/03/2017 109,209 0.86

100,000 FMC Finance VIII S.A. EUR 6.500% 15/09/2018 117,038 0.92

100,000 KBC Internationale Financieringsmaatschappij NV EUR 2.125% 10/09/2018 105,587 0.83

548,707 4.32

Netherlands

100,000 Koninklijke KPN NV EUR 6.500% 15/01/2016 103,877 0.82

100,000 Schaeffler Holding Finance BV EUR 6.875% 15/08/2018 104,698 0.82

208,575 1.64

Norway

200,000 DNB Boligkreditt AS EUR 2.500% 18/10/2016 206,842 1.63

230,000 SpareBank 1 Boligkreditt AS EUR 2.375% 22/11/2016 238,075 1.88

444,917 3.51

Spain

200,000 Banco Santander S.A. EUR 4.500% 29/07/2016 210,250 1.66

100,000 Telefonica Emisiones SAU(c) EUR 0.671% 26/03/2016 100,231 0.79


362,643 2.86

Sweden

100,000 Svenska Handelsbanken AB(c) EUR 2.656% 15/01/2024 105,150 0.83

Switzerland

75,000 Credit Suisse AG EUR 3.875% 25/01/2017 79,503 0.63


100,000 Glencore Finance Dubai Ltd. EUR 1.750% 19/05/2016 101,161 0.80

United Kingdom


50,000 Barclays Bank Plc. EUR 4.125% 15/03/2016 51,559 0.40

200,000 Bradford & Bingley Plc. EUR 4.875% 28/06/2017 219,854 1.73


200,000 Lloyds Bank Plc. EUR 4.125% 06/04/2016 206,960 1.63

100,000 Lloyds Bank Plc.(c) EUR 11.875% 16/12/2021 116,600 0.92


400,000 NRAM Plc. EUR 4.125% 27/03/2017 429,760 3.39

100,000 Royal Bank of Scotland Group Plc. EUR 1.500% 28/11/2016 101,494 0.80

1,500,097 11.82

% of



Maturity Date(b)

EUR Equity

214



As at 31 May 2015


Corporate Bonds – (continued)

United States

100,000 AT&T, Inc. EUR 1.875% 04/12/2020 105,325 0.83

100,000 Bank of America Corp. EUR 7.000% 15/06/2016 107,006 0.84

50,000 Citigroup, Inc.(c) EUR 0.686% 31/05/2017 49,844 0.39

50,000 HSBC Finance Corp. EUR 3.750% 04/11/2015 50,759 0.40

100,000 JPMorgan Chase & Co. EUR 3.750% 15/06/2016 103,723 0.82

50,000 Morgan Stanley EUR 4.375% 12/10/2016 52,783 0.42

150,000 Verizon Communications, Inc. EUR 2.375% 17/02/2022 162,470 1.28

631,910 4.98


(cost EUR 5 ,394 ,759) 5,443,536 42.90


Austria



179,479 1.41

Croatia

100,000 Croatia Government International Bond EUR 5.875% 09/07/2018 110,375 0.87

France


490,000 French Treasury Note BTAN EUR 2.500% 25/07/2016 505,214 3.98

1,230,704 9.70

Germany

350,000 Bundesobligation Bonds—Series 165 EUR 0.500% 23/02/2018 356,755 2.81


200,000 FMS Wertmanagement AoeR EUR 1.625% 22/02/2017 205,858 1.62

100,000 KFW EUR 0.875% 13/10/2017 102,342 0.81

674,962 5.32

Italy









1,522,175 12.00

Netherlands


Spain






1,182,416 9.32


(cost EUR 5 ,026 ,706) 5,057,905 39.86




100,000 European Financial Stability Facility—Series 5Y EUR 0.875% 16/04/2018 102,605 0.81

100,000 European Stability Mechanism EUR 0.000% 17/10/2017 100,195 0.79

515,062 4.06


(cost EUR 512 ,370) 515,062 4.06

% of



Maturity Date(b)

EUR Equity

215



As at 31 May 2015



Ireland

218,973 Goldman Sachs Euro Liquid Reserves Fund (X Distribution Class)(e)(f) 218,973 1.73

TOTAL MUTUAL FUNDS

(cost EUR 218 ,973) 218,973 1.73


(cost EUR 11 ,152 ,808) 11,235,476 88.55



Cayman Islands

100,000 ICG US CLO Ltd.(c) USD 1.545% 20/04/2026 89,391 0.70

100,000 OFSI Fund VI Ltd.(c) USD 1.417% 20/03/2025 88,817 0.70

178,208 1.40

United Kingdom


59,165 Aire Valley Mortgages Plc. "2A1"(c) GBP 0.926% 20/09/2066 80,184 0.63


20,157 Granite Mortgages Plc. "3A2"(c) GBP 0.946% 20/09/2044 28,000 0.22

249,780 1.97

United States

173,233 Access to Loans for Learning Student Loan Corp. "A"(c) USD 0.981% 25/02/2041 158,792 1.25

150,000 BA Credit Card Trust "A1A"(c) USD 0.566% 15/06/2021 136,627 1.08

151,893 Brazos Higher Education Authority "2A2"(c) USD 1.127% 25/07/2029 139,453 1.10

78,279 Missouri Higher Education Loan Authority "A1"(c) USD 1.105% 25/06/2036 71,746 0.56

175,498 Montana Higher Education Student Assistance Corp. "1A2"(c) USD 1.184% 20/05/2030 162,061 1.28

668,679 5.27


(cost EUR 904 ,806) 1,096,667 8.64


(cost EUR 904 ,806) 1,096,667 8.64


(cost EUR 12 ,057 ,614) 12,332,143 97.19





CAD

1 Canadian Government Bond 10YR Futures 21/09/2015 Long 102,133 721 0.01

EUR

(2) German Federal Republic Bonds 10YR Futures 08/06/2015 Short (310,600) 2,700 0.02

34 German Federal Republic Bonds 2YR Futures 08/06/2015 Long 3,780,460 790 0.01

4 German Federal Republic Bonds 5YR Futures 08/06/2015 Long 515,400 1,920 0.01


4,505,860 6,530 0.06

USD

1 US Treasury Notes 2YR Futures 30/09/2015 Long 198,960 199 0.00





USD


UNREALISED LOSS ON FUTURES CONTRACTS (107) (0.00)

% of



Maturity Date(b)

EUR Equity

216



As at 31 May 2015



Unrealised % of



EUR 873,270 USD 945,883 15/06/2015 13,164 0.11

CHF 7,388 CAD 9,581 17/06/2015 204 0.00

EUR 123,000 GBP 88,336 17/06/2015 205 0.00

EUR 913,000 USD 1,000,240 17/06/2015 3,491 0.03

GBP 90,234 EUR 125,000 17/06/2015 434 0.00

SEK 44,551 NZD 7,000 17/06/2015 238 0.00

USD 1,112,806 EUR 1,008,920 17/06/2015 2,944 0.02

USD 650,174 JPY 78,593,184 17/06/2015 14,168 0.11

USD 5,180 NZD 7,000 17/06/2015 178 0.00

EUR 185,875 GBP 131,637 15/07/2015 2,992 0.03


Unrealised % of



CAD 19,623 CHF 15,437 17/06/2015 (716) (0.01)

GBP 110,000 USD 169,072 17/06/2015 (825) (0.01)

JPY 78,860,834 USD 653,070 17/06/2015 (14,836) (0.11)

USD 192,229 GBP 126,000 17/06/2015 (360) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (16,737) (0.13)





Interest Rate Swaps

605,000 Floating (CAD 3 month CDOR) Fixed 1.000% CAD 21/04/2017 79 0.00





620,000 Floating (NOK 6 month NIBOR) Fixed 1.000% NOK 01/07/2017 50 0.00

60,000 Floating (NZD 3 month NZDBB) Fixed 3.500% NZD 17/06/2020 19 0.00

1,300,000 Fixed 0.500% Floating (SEK 3 month STIBOR) SEK 17/06/2020 672 0.01

20,000 Fixed 2.250% Floating (USD 3 month LIBOR) USD 17/06/2020 76 0.00








Interest Rate Swaps

40,000 Floating (CAD 3 month CDOR) Fixed 2.750% CAD 17/06/2025 (566) (0.01)






30,000 Floating (EUR 6 month LIBOR) Fixed 1.400% EUR 27/02/2035 (892) (0.01)


3,650,000 Floating (JPY 6 month LIBOR) Fixed 1.750% JPY 03/02/2045 (254) (0.00)

5,280,000 Floating (JPY 6 month LIBOR) Fixed 1.500% JPY 17/06/2045 (436) (0.01)

1,980,000 Floating (NOK 6 month LIBOR) Fixed 1.000% NOK 11/05/2017 (965) (0.01)







(cost EUR 12 ,057 ,614) 12,358,949 97.40



217



As at 31 May 2015


% of





Unrealised loss on futures contracts (107) (0.00)







Rates disclosed for Corporate Bonds, Government Bonds, Supranationals and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A., Citibank NA London, Credit Suisse International, HSBC Bank

Plc., JP Morgan Chase Bank NA London, Royal Bank of Scotland Plc., State Street Bank & Trust and Westpac Banking Corp.

The counterparty for swap contracts was Credit Suisse Debt Capital Markets.







(e) A related party to Goldman Sachs Funds.

(f) The yield for this fund as at 31 May 2015 was 0.230%.

218



As at 31 May 2015

Goldman Sachs Funds—Europe High Yield Bond Portfolio



Austria

2,000,000 Heta Asset Resolution AG CHF 2.500% 13/06/2016 1,894,816 0.58

2,000,000 Sappi Papier Holding GmbH EUR 3.375% 01/04/2022 1,972,500 0.61

3,867,316 1.19

Belgium

1,350,000 Ontex Group NV EUR 4.750% 15/11/2021 1,453,086 0.45

Bermuda

400,000 Aircastle Ltd. USD 5.500% 15/02/2022 387,431 0.12

Canada

2,000,000 Valeant Pharmaceuticals International, Inc. EUR 4.500% 15/05/2023 2,028,370 0.62

Cayman Islands

1,000,000 UPCB Finance IV Ltd. EUR 4.000% 15/01/2027 984,375 0.30

Denmark

1,000,000 Danske Bank A/S(c) GBP 5.563% 29/03/2049 1,447,562 0.45

550,000 Danske Bank A/S(c) EUR 5.875% 29/10/2049 565,362 0.17

1,700,000 TDC A/S(c) EUR 3.500% 26/02/3015 1,689,213 0.52

3,702,137 1.14

France

1,000,000 BPCE S.A.(c) EUR 2.750% 08/07/2026 1,033,950 0.32

2,000,000 Crown European Holdings S.A. EUR 3.375% 15/05/2025 1,952,770 0.60

1,500,000 Electricite de France S.A.(c) EUR 5.000% 22/01/2049 1,675,987 0.51

700,000 Europcar Groupe S.A. EUR 11.500% 15/05/2017 788,886 0.24

1,855,000 Europcar Groupe S.A. EUR 9.375% 15/04/2018 1,956,283 0.60

800,000 Europcar Groupe S.A. EUR 5.750% 15/06/2022 815,288 0.25

1,000,000 Faurecia EUR 3.125% 15/06/2022 1,000,340 0.31

1,250,000 Labco S.A. EUR 8.500% 15/01/2018 1,318,488 0.40

3,000,000 Lafarge S.A. EUR 6.750% 16/12/2019 3,607,650 1.11

1,500,000 Loxam SAS EUR 7.000% 23/07/2022 1,563,240 0.48

1,000,000 Novalis SAS EUR 3.000% 30/04/2022 995,185 0.31

2,500,000 Numericable-SFR SAS EUR 5.375% 15/05/2022 2,613,837 0.80

1,300,000 Oberthur Technologies Holdings SAS EUR 9.250% 30/04/2020 1,430,351 0.44

700,000 Orange S.A.(c) EUR 5.000% 29/10/2049 768,437 0.24

500,000 Paprec Holding EUR 5.250% 01/04/2022 523,255 0.16

500,000 Paprec Holding EUR 7.375% 01/04/2023 528,550 0.16

1,550,000 Rexel S.A. EUR 5.125% 15/06/2020 1,656,764 0.51

1,200,000 SPCM S.A. EUR 2.875% 15/06/2023 1,198,800 0.37

25,428,061 7.81

Germany

550,000 Bayer AG(c) EUR 2.375% 02/04/2075 545,075 0.17

1,000,000 CeramTec Group GmbH EUR 8.250% 15/08/2021 1,103,250 0.34

2,100,000 Commerzbank AG EUR 7.750% 16/03/2021 2,609,355 0.80

1,100,000 FTE Verwaltungs GmbH EUR 9.000% 15/07/2020 1,179,794 0.36

1,500,000 Pfleiderer GmbH EUR 7.875% 01/08/2019 1,564,530 0.48

500,000 ProGroup AG EUR 5.125% 01/05/2022 521,595 0.16

700,000 Techem GmbH EUR 6.125% 01/10/2019 742,497 0.23

800,000 Trionista TopCo GmbH EUR 6.875% 30/04/2021 861,576 0.26

400,000 Unitymedia Hessen GmbH & Co. KG Via Unitymedia NRW GmbH USD 5.500% 15/01/2023 378,708 0.12

1,575,000 Unitymedia Hessen GmbH & Co. KG Via Unitymedia NRW GmbH EUR 5.125% 21/01/2023 1,676,052 0.51

1,500,000 Unitymedia Hessen GmbH & Co. KG Via Unitymedia NRW GmbH EUR 4.000% 15/01/2025 1,526,940 0.47

750,000 Unitymedia Hessen GmbH & Co. KG Via Unitymedia NRW GmbH EUR 3.500% 15/01/2027 731,850 0.23

13,441,222 4.13

Iceland

2,500,000 Arion Banki HF EUR 3.125% 12/03/2018 2,475,850 0.76

Ireland

800,000 Ardagh Packaging Finance Plc. EUR 9.250% 15/10/2020 857,384 0.26

5,000,000 Bank of Ireland(c) EUR 4.250% 11/06/2024 5,141,350 1.58

1,750,000 Smurfit Kappa Acquisitions EUR 2.750% 01/02/2025 1,744,006 0.54

7,742,740 2.38

% of



Maturity Date(b)

EUR Equity

219



As at 31 May 2015



Italy

950,000 Autostrada Brescia Verona Vicenza Padova SpA EUR 2.375% 20/03/2020 955,391 0.29

2,000,000 Banca Monte dei Paschi di Siena SpA EUR 3.625% 01/04/2019 2,065,290 0.64

3,000,000 Banca Popolare di Vicenza EUR 2.750% 20/03/2020 2,967,030 0.91

3,000,000 Banco Popolare SC EUR 3.500% 14/03/2019 3,117,810 0.96

900,000 Cerved Group SpA EUR 6.375% 15/01/2020 954,252 0.29

3,000,000 Enel SpA(c) EUR 5.000% 15/01/2075 3,263,595 1.00

1,000,000 Enel SpA 144A(c)(d) USD 8.750% 24/09/2073 1,088,855 0.34


2,000,000 Intesa Sanpaolo SpA EUR 3.928% 15/09/2026 2,121,900 0.65

250,000 Intesa Sanpaolo SpA(c) EUR 8.047% 29/06/2049 287,723 0.09

2,500,000 Intesa Sanpaolo SpA(c) EUR 8.375% 29/10/2049 3,033,050 0.93

1,000,000 Rhino Bondco S.P.A EUR 7.250% 15/11/2020 1,073,610 0.33

800,000 Telecom Italia SpA GBP 7.375% 15/12/2017 1,242,766 0.38

500,000 Telecom Italia SpA EUR 4.000% 21/01/2020 546,200 0.17

2,000,000 Telecom Italia SpA EUR 4.875% 25/09/2020 2,285,570 0.70



2,200,000 UniCredit SpA(c) USD 6.375% 02/05/2023 2,141,856 0.66

3,000,000 UniCredit SpA(c) EUR 5.750% 28/10/2025 3,321,345 1.02

550,000 UniCredit SpA(c) USD 8.000% 03/04/2049 510,389 0.16

1,250,000 Veneto Banca S.c.p.a. EUR 4.000% 20/05/2019 1,280,525 0.39

35,639,694 10.94

Japan

750,000 SoftBank Corp. USD 4.500% 15/04/2020 703,981 0.22

Jersey

1,000,000 AA Bond Co., Ltd. GBP 5.500% 31/07/2022 1,418,333 0.44

1,600,000 Bank of Scotland Capital Funding LP(c) GBP 7.754% 29/03/2049 2,616,408 0.80

300,000 HBOS Capital Funding LP(c) GBP 6.461% 29/11/2049 450,429 0.14

4,485,170 1.38

Luxembourg

1,000,000 Aguila 3 S.A. CHF 7.875% 31/01/2018 990,921 0.31

1,500,000 Altice Financing S.A. EUR 6.500% 15/01/2022 1,627,500 0.50

1,050,000 Altice Financing S.A. EUR 5.250% 15/02/2023 1,099,875 0.34

500,000 Altice S.A. EUR 7.250% 15/05/2022 517,345 0.16

500,000 Altice S.A. EUR 6.250% 15/02/2025 495,625 0.15

1,500,000 ArcelorMittal EUR 2.875% 06/07/2020 1,498,297 0.46

1,250,000 ArcelorMittal USD 7.000% 25/02/2022 1,244,827 0.38

1,500,000 Ardagh Finance Holdings S.A. EUR 8.375% 15/06/2019 1,601,250 0.49

800,000 ConvaTec Healthcare E S.A. EUR 7.375% 15/12/2017 834,024 0.26

450,000 ConvaTec Healthcare E S.A. EUR 10.875% 15/12/2018 478,022 0.15

500,000 Dufry Finance SCA EUR 4.500% 15/07/2022 526,423 0.16

1,500,000 Fiat Chrysler Finance Europe EUR 7.000% 23/03/2017 1,638,135 0.50


500,000 Fiat Chrysler Finance Europe EUR 7.375% 09/07/2018 573,060 0.18


1,500,000 FMC Finance VIII S.A. EUR 6.500% 15/09/2018 1,755,570 0.54

1,250,000 Gazprom OAO Via Gaz Capital S.A. EUR 3.600% 26/02/2021 1,190,625 0.37

1,000,000 GCS Holdco Finance I S.A. EUR 6.500% 15/11/2018 1,049,790 0.32

1,000,000 Gestamp Funding Luxembourg S.A. USD 5.625% 31/05/2020 943,568 0.29

1,000,000 HeidelbergCement Finance Luxembourg S.A. EUR 2.250% 12/03/2019 1,041,915 0.32

750,000 JH-Holding Finance S.A. EUR 8.250% 01/12/2022 794,265 0.24

300,000 Matterhorn Telecom Holding S.A. EUR 4.875% 01/05/2023 294,525 0.09

1,000,000 Matterhorn Telecom S.A. EUR 3.875% 01/05/2022 982,630 0.30

1,500,000 Picard Bondco S.A. EUR 7.750% 01/02/2020 1,636,410 0.50

1,850,000 Play Finance 2 S.A. EUR 5.250% 01/02/2019 1,916,692 0.59

1,585,523 Servus Luxembourg Holding SCA EUR 7.750% 15/06/2018 1,657,855 0.51

1,100,000 SIG Combibloc Holdings EUR 7.750% 15/02/2023 1,161,826 0.36

1,700,000 Telenet Finance V Luxembourg SCA EUR 6.250% 15/08/2022 1,850,127 0.57

1,250,000 Tupy Overseas S.A. USD 6.625% 17/07/2024 1,136,829 0.35

500,000 UniCredit Bank Luxembourg S.A.(c) EUR 8.125% 29/12/2049 593,160 0.18

2,000,000 VTG Finance S.A.(c) EUR 5.000% 29/01/2049 1,992,500 0.61

3,900,000 Wind Acquisition Finance S.A. EUR 4.000% 15/07/2020 3,969,888 1.22


41,997,826 12.90

% of



Maturity Date(b)

EUR Equity

220



As at 31 May 2015



Mexico

800,000 Cemex SAB de CV EUR 4.750% 11/01/2022 815,000 0.25

1,000,000 Cemex SAB de CV EUR 4.375% 05/03/2023 988,750 0.30

1,803,750 0.55

Netherlands

1,900,000 ABN AMRO Bank NV USD 6.250% 27/04/2022 1,963,484 0.60

1,750,000 Carlson Wagonlit BV EUR 7.500% 15/06/2019 1,861,142 0.57

1,500,000 Constellium NV EUR 4.625% 15/05/2021 1,441,140 0.44

1,000,000 Constellium NV EUR 7.000% 15/01/2023 1,033,190 0.32

2,000,000 Gas Natural Fenosa Finance BV(c) EUR 4.125% 29/11/2049 2,092,720 0.64

2,250,000 Generali Finance BV(c) EUR 5.479% 29/12/2049 2,352,015 0.72


2,000,000 Grupo Isolux Corsan Finance BV EUR 6.625% 15/04/2021 1,715,080 0.53

700,000 Hema Bondco I BV EUR 6.250% 15/06/2019 610,271 0.19

2,000,000 ING Groep NV(c) USD 6.000% 29/12/2049 1,832,568 0.56

1,500,000 Koninklijke KPN NV(c) EUR 6.125% 29/03/2049 1,634,100 0.50

3,750,000 Petrobras Global Finance BV EUR 3.250% 01/04/2019 3,614,062 1.11

1,000,000 Polish Television Holding BV EUR 11.000% 15/01/2021 1,204,810 0.37

1,000,000 Portugal Telecom International Finance BV EUR 5.000% 04/11/2019 1,033,455 0.32

1,000,000 Schaeffler Finance BV EUR 3.250% 15/05/2025 997,130 0.31

2,000,000 Schaeffler Holding Finance BV EUR 6.875% 15/08/2018 2,093,960 0.64

2,000,000 Schaeffler Holding Finance BV EUR 5.750% 15/11/2021 2,167,940 0.67

750,000 Stichting AK Rabobank Certificaten EUR 6.500% 29/12/2049 851,250 0.26

2,500,000 Telefonica Europe BV(c) EUR 7.625% 29/09/2049 3,025,000 0.93

1,000,000 Telefonica Europe BV(c) EUR 4.200% 29/12/2049 1,047,507 0.32

1,300,000 UPC Holding BV EUR 6.375% 15/09/2022 1,410,565 0.43

1,000,000 Ziggo Bond Finance BV EUR 4.625% 15/01/2025 1,022,440 0.32

1,000,000 Ziggo Secured Finance BV EUR 3.750% 15/01/2025 1,004,350 0.31

36,726,725 11.28

Norway

1,350,000 Silk Bidco AS EUR 7.500% 01/02/2022 1,410,750 0.43

Portugal

1,000,000 Novo Banco S.A. EUR 2.625% 08/05/2017 985,135 0.30

2,000,000 Novo Banco S.A. EUR 5.000% 23/04/2019 2,057,500 0.63

3,042,635 0.93

Spain

500,000 Abengoa Greenfield S.A. EUR 5.500% 01/10/2019 468,860 0.14

1,400,000 Banco Bilbao Vizcaya Argentaria S.A.(c) EUR 7.000% 29/12/2049 1,431,500 0.44

1,000,000 Bankia S.A.(c) EUR 4.000% 22/05/2024 997,640 0.31

1,600,000 Campofrio Food Group S.A. EUR 3.375% 15/03/2022 1,632,960 0.50

750,000 Mapfre S.A.(c) EUR 5.921% 24/07/2037 806,178 0.25

5,337,138 1.64

Sweden

3,250,000 Svenska Handelsbanken AB(c) USD 5.250% 29/12/2049 2,926,197 0.90

1,000,000 TVN Finance Corp. III AB EUR 7.375% 15/12/2020 1,109,410 0.34

500,000 Verisure Holding AB EUR 8.750% 01/12/2018 536,250 0.16

1,500,000 Volvo Treasury AB(c) EUR 4.200% 10/06/2075 1,548,465 0.48

6,120,322 1.88

Switzerland

700,000 Credit Suisse AG USD 6.500% 08/08/2023 723,460 0.22

250,000 Credit Suisse Group AG(c) USD 7.500% 31/12/2049 243,281 0.08

1,500,000 UBS AG Via Stamford CT USD 7.625% 17/08/2022 1,632,826 0.50

2,599,567 0.80

United Kingdom

1,200,000 Alliance Automotive Finance Plc. EUR 6.250% 01/12/2021 1,258,350 0.39

1,000,000 Barclays Bank Plc. GBP 5.750% 14/09/2026 1,604,427 0.49

3,000,000 Barclays Plc. USD 4.375% 11/09/2024 2,721,818 0.84

600,000 Barclays Plc.(c) EUR 8.000% 15/12/2049 654,291 0.20

500,000 Boparan Finance Plc. GBP 5.500% 15/07/2021 651,376 0.20

1,500,000 Boparan Finance Plc. EUR 4.375% 15/07/2021 1,416,735 0.44

700,000 Centrica Plc.(c) EUR 3.000% 10/04/2076 690,438 0.21

% of



Maturity Date(b)

EUR Equity

221



As at 31 May 2015




1,000,000 Debenhams Plc. GBP 5.250% 15/07/2021 1,404,483 0.43

1,750,000 Gala Electric Casinos Plc. GBP 11.500% 01/06/2019 2,603,754 0.80

400,000 HJ Heinz Finance UK Plc. GBP 6.250% 18/02/2030 689,844 0.21

1,411,000 HSS Financing Plc. GBP 6.750% 01/08/2019 2,050,260 0.63

1,500,000 International Game Technology Plc. EUR 4.750% 15/02/2023 1,499,085 0.46

1,000,000 Keystone Financing Plc. GBP 9.500% 15/10/2019 1,473,954 0.45

600,000 Lloyds Banking Group Plc.(c) GBP 7.000% 29/12/2049 859,343 0.26

2,000,000 Merlin Entertainments Plc. EUR 2.750% 15/03/2022 1,991,740 0.61

850,000 Moy Park Bondco Plc. GBP 6.250% 29/05/2021 1,180,207 0.36

1,250,000 Odeon & UCI Finco Plc. GBP 9.000% 01/08/2018 1,818,160 0.56

1,000,000 OTE Plc. EUR 7.875% 07/02/2018 1,029,230 0.32

1,000,000 Pizzaexpress Financing 2 Plc. GBP 6.625% 01/08/2021 1,472,550 0.45

153,051 Priory Group No 3 Plc. GBP 7.000% 15/02/2018 222,291 0.07

750,000 Priory Group No 3 Plc. GBP 8.875% 15/02/2019 1,092,815 0.34

1,250,000 R&R Pik Plc. EUR 9.250% 15/05/2018 1,272,712 0.39

1,450,000 Royal Bank of Scotland Group Plc. EUR 5.500% 29/11/2049 1,460,875 0.45

1,500,000 Royal Bank of Scotland Group Plc.—Series U(c) USD 7.640% 31/12/2049 1,480,151 0.45

1,500,000 Royal Bank of Scotland Plc. GBP 9.625% 22/06/2015 2,095,608 0.64

2,000,000 Royal Bank of Scotland Plc.(c) USD 9.500% 16/03/2022 2,046,292 0.63

1,000,000 RSA Insurance Group Plc.(c) GBP 6.701% 29/05/2049 1,488,735 0.46

600,000 TA MFG. Ltd. EUR 3.625% 15/04/2023 609,462 0.19

750,000 Tesco Plc. GBP 5.000% 24/03/2023 1,085,937 0.33

1,000,000 Travis Perkins Plc. GBP 4.375% 15/09/2021 1,450,023 0.45

500,000 Virgin Media Finance Plc. EUR 4.500% 15/01/2025 511,580 0.16

1,350,000 Virgin Media Secured Finance Plc. GBP 6.000% 15/04/2021 1,981,841 0.61



1,000,000 Virgin Money Holding UK Plc.(c) GBP 7.875% 29/07/2049 1,443,043 0.44

1,000,000 Vougeot Bidco Plc. GBP 7.875% 15/07/2020 1,505,130 0.46

51,322,971 15.76

United States

1,500,000 Celanese US Holdings LLC USD 5.875% 15/06/2021 1,488,677 0.46

950,000 Cemex Finance LLC EUR 5.250% 01/04/2021 991,563 0.30

3,500,000 Chemours Co. EUR 6.125% 15/05/2023 3,609,375 1.11

700,000 Concho Resources, Inc. USD 5.500% 01/10/2022 653,335 0.20

1,850,000 Gates Global LLC Via Gates Global Co. EUR 5.750% 15/07/2022 1,746,973 0.54

550,000 HCA, Inc. USD 6.500% 15/02/2020 560,229 0.17

450,000 HCA, Inc. USD 7.500% 15/02/2022 479,344 0.15

1,500,000 Huntsman International LLC EUR 5.125% 15/04/2021 1,590,420 0.49


1,500,000 IMS Health, Inc. EUR 4.125% 01/04/2023 1,504,650 0.46

1,000,000 Infor US, Inc. EUR 5.750% 15/05/2022 1,032,750 0.32

700,000 Jarden Corp. EUR 3.750% 01/10/2021 741,601 0.23

1,250,000 Kloeckner Pentaplast of America, Inc. EUR 7.125% 01/11/2020 1,285,106 0.39

1,000,000 Lennar Corp. USD 4.500% 15/11/2019 936,747 0.29

700,000 Magnum Hunter Resources Corp. USD 9.750% 15/05/2020 550,680 0.17

1,000,000 MGM Resorts International USD 6.750% 01/10/2020 990,178 0.30

1,700,000 PSPC Escrow Corp. EUR 6.000% 01/02/2023 1,760,231 0.54

1,050,000 Sprint Corp. USD 7.250% 15/09/2021 964,486 0.30

2,000,000 VWR Funding, Inc. EUR 4.625% 15/04/2022 1,988,590 0.61

1,665,000 WMG Acquisition Corp. EUR 6.250% 15/01/2021 1,699,965 0.52

1,000,000 ZF North America Capital, Inc. EUR 2.250% 26/04/2019 1,015,465 0.31

1,000,000 ZF North America Capital, Inc. EUR 2.750% 27/04/2023 989,435 0.30

27,881,119 8.56


(cost EUR 272 ,095 ,808) 280,582,236 86.17

Preferred Stocks – 0.85%

Netherlands

53,000 ING Groep NV USD 6.125% 1,228,223 0.38

55,000 ING Groep NV USD 6.200% 1,276,522 0.39

12,000 ING Groep NV USD 6.375% 276,659 0.08

2,781,404 0.85

TOTAL PREFERRED STOCKS

(cost EUR 2 ,492 ,395) 2,781,404 0.85

% of



Maturity Date(b)

EUR Equity

222



As at 31 May 2015



Ireland

13,883,893 Goldman Sachs Euro Liquid Reserves Fund (X Distribution Class)(e)(f) 13,883,893 4.26

TOTAL MUTUAL FUNDS

(cost EUR 13 ,883 ,893) 13,883,893 4.26


(cost EUR 288 ,472 ,096) 297,247,533 91.28



Brazil

1,000,000 Banco do Brasil S.A.(c) USD 9.000% 29/06/2049 842,799 0.26

Canada

700,000 MEG Energy Corp. USD 6.500% 15/03/2021 620,709 0.19

France

1,750,000 BPCE S.A. USD 5.150% 21/07/2024 1,672,287 0.51

Japan

1,250,000 Nippon Life Insurance Co. 144A(c)(d) USD 5.100% 16/10/2044 1,219,249 0.37

Luxembourg

250,000 DH Services Luxembourg SARL USD 7.750% 15/12/2020 239,302 0.07

600,000 Intelsat Jackson Holdings S.A. USD 6.625% 15/12/2022 508,845 0.16

500,000 Intelsat Luxembourg S.A. USD 7.750% 01/06/2021 409,258 0.13

1,157,405 0.36

Netherlands

1,000,000 Fiat Chrysler Automobiles NV 144A(d) USD 4.500% 15/04/2020 929,926 0.29

United Kingdom

2,000,000 Santander UK Plc. USD 5.000% 07/11/2023 1,919,584 0.59

United States

600,000 Antero Resources Corp. 144A(d) USD 5.625% 01/06/2023 562,048 0.17

700,000 CCO Holdings LLC Via CCO Holdings Capital Corp. 144A(d) USD 5.875% 01/05/2027 644,582 0.20

1,000,000 Citigroup, Inc.—Series O(c) USD 5.875% 29/12/2049 919,694 0.28

400,000 Compass Bank USD 3.875% 10/04/2025 357,385 0.11

500,000 Family Tree Escrow LLC 144A(d) USD 5.750% 01/03/2023 482,584 0.15

700,000 First Data Corp. USD 6.750% 01/11/2020 679,596 0.21

1,500,000 HD Supply, Inc. USD 11.500% 15/07/2020 1,602,929 0.49

1,100,000 Morgan Stanley—Series J(c) USD 5.550% 29/12/2049 1,007,912 0.31

700,000 Neiman Marcus Group Ltd. LLC USD 8.750% 15/10/2021 690,737 0.21

1,050,000 Neiman Marcus Group Ltd. LLC 144A(d) USD 8.000% 15/10/2021 1,028,944 0.32

750,000 Nielsen Finance LLC Via Nielsen Finance Co. USD 5.000% 15/04/2022 687,213 0.21

400,000 Nielsen Finance LLC Via Nielsen Finance Co. 144A(d) USD 5.000% 15/04/2022 366,514 0.11

700,000 Prudential Financial, Inc.(c) USD 5.375% 15/05/2045 641,001 0.20

1,000,000 Sirius XM Radio, Inc. 144A(d) USD 5.375% 15/04/2025 916,284 0.28

200,000 Steel Dynamics, Inc. USD 5.125% 01/10/2021 185,985 0.06

200,000 Steel Dynamics, Inc. USD 5.500% 01/10/2024 189,623 0.06

300,000 VeriSign, Inc. 144A(d) USD 5.250% 01/04/2025 279,319 0.08

350,000 ZF North America Capital, Inc. 144A(d) USD 4.500% 29/04/2022 323,883 0.10

500,000 ZF North America Capital, Inc. 144A(d) USD 4.750% 29/04/2025 455,868 0.14

12,022,101 3.69


(cost EUR 18 ,646 ,073) 20,384,060 6.26


(cost EUR 18 ,646 ,073) 20,384,060 6.26

% of



Maturity Date(b)

EUR Equity

223



As at 31 May 2015




United States

800,000 Axalta Coating Systems US Holdings, Inc. EUR 5.750% 01/02/2021 852,032 0.26


(cost EUR 843 ,691) 852,032 0.26


(cost EUR 843 ,691) 852,032 0.26


(cost EUR 307 ,961 ,860) 318,483,625 97.80


Unrealised % of



GBP 2,608,150 EUR 3,625,237 03/06/2015 1,382 0.00

USD 1,553,320 EUR 1,384,328 03/06/2015 28,343 0.01


Unrealised % of



EUR 2,870,873 CHF 2,979,030 03/06/2015 (23,902) (0.01)

EUR 43,681,583 GBP 32,162,115 03/06/2015 (1,039,668) (0.32)

EUR 52,651,199 USD 58,833,283 03/06/2015 (854,869) (0.26)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS (1,918,439) (0.59)


Unrealised % of



GBP 105,448 EUR 143,167 03/06/2015 3,458 0.00

USD 28,174,358 EUR 25,231,084 03/06/2015 392,153 0.12

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES 395,611 0.12

Unrealised % of



EUR 5,844,660 USD 6,621,127 03/06/2015 (176,940) (0.05)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES (176,940) (0.05)





Interest Rate Swaps




4,500,000 Floating (GBP 6 month LIBOR) Fixed 1.000% GBP 17/06/2018 6,833 0.00





% of



Maturity Date(b)

EUR Equity

224



As at 31 May 2015






Interest Rate Swaps

11,350,000 Fixed 0.750% Floating (EUR 6 month EURIBOR) EUR 16/09/2022 (42,595) (0.01)


3,835,000 Floating (GBP 6 month LIBOR) Fixed 1.250% GBP 17/06/2020 (6,779) (0.00)

10,620,000 Fixed 1.750% Floating (USD 3 month LIBOR) USD 17/06/2018 (81,713) (0.02)








(cost EUR 307 ,961 ,860) 316,587,223 97.22



% of





Unrealised loss on forward currency contracts (1,918,439) (0.59)

Unrealised gain on forward currency contracts held for hedging purposes 395,611 0.12

Unrealised loss on forward currency contracts held for hedging purposes (176,940) (0.05)





Rates disclosed for Corporate Bonds and Preferred Stocks are those that were in effect at 31 May 2015.

The counterparties for forward currency contracts were Bank of America NA, BNP Paribas S.A., Citibank NA London, Credit Suisse International, Royal Bank of Canada, Royal Bank

of Scotland Plc., Standard Chartered Bank, Westpac Banking Corp.









(f) The yield for this fund as at 31 May 2015 was (0.012%).

225



As at 31 May 2015



Armenia

142,850 Dolphin Energy Ltd. USD 5.888% 15/06/2019 156,501 0.02

Australia

1,150,000 APT Pipelines Ltd. EUR 1.375% 22/03/2022 1,259,671 0.14


1,600,000 Aurizon Network Pty Ltd. EUR 2.000% 18/09/2024 1,784,376 0.19

50,000 Rio Tinto Finance USA Ltd. USD 9.000% 01/05/2019 62,988 0.01

500,000 Scentre Group Trust 1 EUR 1.500% 16/07/2020 566,024 0.06

6,100,000 SGSP Australia Assets Pty Ltd. USD 3.300% 09/04/2023 5,959,877 0.66

2,450,000 Transurban Finance Co., Pty Ltd. EUR 2.000% 28/08/2025 2,727,665 0.30

17,498,618 1.93

Belgium

2,400,000 KBC Bank NV(c) USD 8.000% 25/01/2023 2,668,512 0.29

4,600,000 KBC Groep NV(c) EUR 1.875% 11/03/2027 4,970,630 0.55

7,639,142 0.84

Bermuda

1,350,000 Weatherford International Ltd. USD 9.625% 01/03/2019 1,588,406 0.18


2,897,892 0.32

Cayman Islands

460,000 SMFG Preferred Capital GBP 2 Ltd.(c) GBP 10.231% 29/07/2049 1,111,240 0.12

1,900,000 Southern Water Services Finance Ltd.(c) GBP 4.500% 31/03/2038 3,061,496 0.34

500,000 Sun Hung Kai Properties Capital Market Ltd. USD 4.500% 14/02/2022 539,783 0.06

500,000 Transocean, Inc. USD 6.500% 15/11/2020 479,219 0.05

1,611,000 Transocean, Inc. USD 6.375% 15/12/2021 1,526,422 0.17

1,150,000 Yorkshire Power Finance Ltd. GBP 7.250% 04/08/2028 2,440,368 0.27

9,158,528 1.01

Chile

220,000 ENTEL Chile S.A. USD 4.875% 30/10/2024 226,820 0.03

1,860,000 GNL Quintero S.A. USD 4.634% 31/07/2029 1,906,500 0.21

2,133,320 0.24

Denmark

1,150,000 TDC A/S GBP 5.625% 23/02/2023 2,044,559 0.22

1,850,000 TDC A/S EUR 1.750% 27/02/2027 1,976,509 0.22

4,021,068 0.44

France

3,800,000 BNP Paribas S.A. EUR 2.375% 20/05/2024 4,569,649 0.50

550,000 Credit Agricole S.A. EUR 3.900% 19/04/2021 690,035 0.08

1,650,000 Credit Agricole S.A. GBP 7.375% 18/12/2023 3,225,129 0.36

1,550,000 Credit Agricole S.A. EUR 2.625% 17/03/2027 1,690,395 0.19

350,000 Credit Agricole S.A. 144A(d) USD 4.375% 17/03/2025 348,005 0.04



900,000 Electricite de France S.A.(c) EUR 5.375% 29/01/2049 1,138,262 0.13

2,550,000 Electricite de France S.A. 144A(c)(d) USD 5.250% 29/01/2049 2,653,594 0.29

200,000 GDF Suez—Series NC10(c) EUR 3.875% 02/06/2049 237,165 0.03

700,000 La Banque Postale S.A.(c) EUR 2.750% 23/04/2026 804,259 0.09

450,000 Orange S.A. USD 5.375% 13/01/2042 496,661 0.05

3,966,000 Orange S.A. USD 5.500% 06/02/2044 4,444,347 0.49

3,550,000 TOTAL S.A.(c) EUR 2.625% 29/12/2049 3,898,523 0.43

4,600,000 TOTAL S.A.(c) EUR 2.250% 29/12/2049 5,111,696 0.56

32,932,498 3.64

Germany

600,000 Allianz SE(c) EUR 4.750% 31/12/2049 743,714 0.08

2,450,000 Bayer AG(c) EUR 2.375% 02/04/2075 2,669,774 0.29

100,000 Muenchener Rueckversicherungs AG(c) EUR 6.250% 26/05/2042 140,500 0.02

3,553,988 0.39

% of



Maturity Date(b)

USD Equity

Goldman Sachs Funds—Global Credit Portfolio (Hedged)

226



As at 31 May 2015


Hong Kong

2,500,000 AIA Group Ltd. 144A(d) USD 3.200% 11/03/2025 2,485,217 0.28

1,500,000 CITIC Ltd. USD 6.375% 10/04/2020 1,706,337 0.19

640,000 CITIC Ltd. USD 6.800% 17/01/2023 754,247 0.08

4,945,801 0.55

Ireland

200,000 Aquarius and Investments Plc. for Zurich Insurance Co., Ltd.(c) EUR 4.250% 02/10/2043 253,275 0.03

1,500,000 FCA Capital Ireland Plc. EUR 1.375% 17/04/2020 1,639,643 0.18

200,000 Phosagro OAO via Phosagro Bond Funding Ltd. USD 4.204% 13/02/2018 194,000 0.02

2,086,918 0.23

Italy

2,300,000 Assicurazioni Generali SpA EUR 4.125% 04/05/2026 2,775,501 0.31

200,000 Assicurazioni Generali SpA(c) GBP 6.416% 29/12/2049 322,003 0.03


2,900,000 CDP Reti SpA EUR 1.875% 29/05/2022 3,228,267 0.36

3,150,000 Enel SpA GBP 5.750% 22/06/2037 5,835,849 0.64


24,459,976 2.70

Japan

6,450,000 Sumitomo Mitsui Financial Group, Inc. 144A(d) USD 4.436% 02/04/2024 6,812,013 0.75

Jersey

800,000 Heathrow Funding Ltd. GBP 6.000% 20/03/2020 1,411,868 0.15

2,000,000 Heathrow Funding Ltd. GBP 7.125% 14/02/2024 3,898,270 0.43

1,550,000 Heathrow Funding Ltd. EUR 1.500% 11/02/2030 1,608,223 0.18

6,918,361 0.76

Luxembourg

450,000 Actavis Funding SCS USD 2.450% 15/06/2019 450,907 0.05

1,050,000 Actavis Funding SCS USD 3.000% 12/03/2020 1,066,312 0.12







150,000 ArcelorMittal USD 6.125% 01/06/2018 161,070 0.02

11,745,014 1.30

Mexico

21,740,000 America Movil SAB de CV MXN 6.000% 09/06/2019 1,425,659 0.16

14,290,000 America Movil SAB de CV MXN 6.450% 05/12/2022 909,662 0.10

2,335,321 0.26

Netherlands

7,650,000 ABN AMRO Bank NV(c) USD 6.250% 13/09/2022 8,319,375 0.92

1,500,000 Allianz Finance II BV(c) EUR 5.750% 08/07/2041 2,004,128 0.22

3,550,000 Citycon Treasury BV EUR 2.500% 01/10/2024 4,012,834 0.44

3,750,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA EUR 1.375% 03/02/2027 4,104,036 0.45

2,500,000 Corio NV EUR 3.250% 26/02/2021 3,071,442 0.34

750,000 EDP Finance BV EUR 4.875% 14/09/2020 953,376 0.11

2,050,000 EDP Finance BV EUR 4.125% 20/01/2021 2,518,965 0.28



500,000 Enel Finance International NV GBP 5.625% 14/08/2024 911,460 0.10

1,700,000 Enel Finance International NV GBP 5.750% 14/09/2040 3,174,315 0.35

1,899,000 ING Bank NV(c) EUR 6.125% 29/05/2023 2,391,992 0.26

6,700,000 ING Bank NV(c) USD 4.125% 21/11/2023 6,967,330 0.77

250,000 Lukoil International Finance BV USD 3.416% 24/04/2018 240,625 0.03

800,000 LYB International Finance BV USD 5.250% 15/07/2043 851,203 0.09

3,400,000 Nomura Europe Finance NV EUR 1.500% 12/05/2021 3,768,714 0.42

1,800,000 Shell International Finance BV USD 6.375% 15/12/2038 2,345,915 0.26

49,286,939 5.45

% of



Maturity Date(b)

USD Equity


227



As at 31 May 2015


Norway

300,000 DNB Bank ASA GBP 4.250% 27/01/2020 504,746 0.06

Portugal

2,300,000 Brisa Concessao Rodoviaria S.A. EUR 1.875% 30/04/2025 2,431,979 0.27

Spain

5,500,000 BBVA Subordinated Capital SAU(c) EUR 3.500% 11/04/2024 6,382,527 0.70

500,000 Telefonica Emisiones SAU GBP 5.597% 12/03/2020 871,925 0.10

850,000 Telefonica Emisiones SAU GBP 5.289% 09/12/2022 1,500,702 0.17

8,755,154 0.97

Switzerland

1,199,000 Credit Suisse USD 5.400% 14/01/2020 1,335,717 0.15


1,519,000 Credit Suisse AG(c) GBP 6.750% 16/01/2023 2,550,169 0.28

3,250,000 UBS AG(c) EUR 4.750% 12/02/2026 3,919,277 0.43

12,191,233 1.35


200,000 Ruwais Power Co. PJSC 144A(d) USD 6.000% 31/08/2036 237,000 0.03

United Kingdom

50,000 Anglian Water Services Financing Plc. GBP 5.250% 30/10/2015 77,705 0.01

2,750,000 Arqiva Financing Plc. GBP 4.040% 30/06/2020 4,483,796 0.49

650,000 Arqiva Financing Plc. GBP 5.340% 30/06/2030 1,145,777 0.13

600,000 Aviva Plc.(c) GBP 6.125% 29/09/2049 996,153 0.11


2,050,000 Barclays Bank Plc.(c) GBP 6.750% 16/01/2023 3,446,464 0.38

2,250,000 BP Capital Markets Plc. EUR 4.154% 01/06/2020 2,886,488 0.32

1,200,000 Centrica Plc.(c) EUR 3.000% 10/04/2076 1,301,436 0.14

1,150,000 FCE Bank Plc. EUR 1.134% 10/02/2022 1,250,952 0.14

3,850,000 Hammerson Plc. EUR 2.750% 26/09/2019 4,577,474 0.50


50,000 HSBC Bank Plc.(c) GBP 4.750% 29/09/2020 77,145 0.01

4,200,000 HSBC Holdings Plc.(c) EUR 3.375% 10/01/2024 4,938,976 0.54

650,000 HSBC Holdings Plc. USD 6.800% 01/06/2038 842,707 0.09

1,600,000 Lloyds Bank Plc.(c) GBP 10.750% 16/12/2021 2,793,378 0.31

4,550,000 Lloyds Bank Plc.(c) USD 9.875% 16/12/2021 5,097,865 0.56




550,000 Royal Bank of Scotland Plc.(c) EUR 10.500% 16/03/2022 702,777 0.08

1,709,000 Scottish Widows Plc.(c) GBP 5.125% 29/09/2049 2,631,814 0.29

1,250,000 Standard Chartered Bank(c) GBP 5.375% 29/06/2049 1,993,883 0.22

1,850,000 Standard Life Plc.(c) GBP 6.546% 29/11/2049 3,141,422 0.35

54,256,454 5.99

United States

850,000 AbbVie, Inc. USD 3.200% 06/11/2022 853,291 0.09

2,600,000 AbbVie, Inc. USD 2.500% 14/05/2020 2,602,727 0.29

1,650,000 AbbVie, Inc. USD 3.600% 14/05/2025 1,662,791 0.18

2,250,000 ABBVIE, Inc. USD 4.700% 14/05/2045 2,285,649 0.25

2,850,000 Albemarle Corp. EUR 1.875% 08/12/2021 3,170,570 0.35

2,200,000 American International Group, Inc. USD 4.875% 01/06/2022 2,453,438 0.27

1,650,000 American International Group, Inc. GBP 5.000% 26/04/2023 2,919,395 0.32

2,350,000 American Tower Corp. USD 5.000% 15/02/2024 2,522,001 0.28

2,450,000 AmerisourceBergen Corp. USD 3.250% 01/03/2025 2,430,633 0.27

2,850,000 Anadarko Petroleum Corp. USD 3.450% 15/07/2024 2,858,750 0.32


250,000 Anheuser-Busch InBev Worldwide, Inc. USD 3.750% 15/07/2042 229,940 0.03

1,800,000 Apache Corp. USD 3.250% 15/04/2022 1,809,589 0.20

950,000 Apache Corp. USD 4.750% 15/04/2043 931,089 0.10

1,600,000 Apache Corp. USD 4.250% 15/01/2044 1,468,171 0.16

3,650,000 AT&T, Inc. USD 2.450% 30/06/2020 3,612,427 0.40

4,600,000 AT&T, Inc. USD 3.000% 30/06/2022 4,515,204 0.50

3,100,000 AT&T, Inc. USD 3.400% 15/05/2025 3,005,397 0.33

450,000 AT&T, Inc. USD 4.500% 15/05/2035 428,818 0.05

650,000 AT&T, Inc. GBP 4.875% 01/06/2044 1,078,783 0.12

700,000 AT&T, Inc. USD 4.750% 15/05/2046 665,568 0.07

% of



Maturity Date(b)

USD Equity


228



As at 31 May 2015



1,300,000 Bank of America Corp. USD 5.625% 01/07/2020 1,486,185 0.16

6,100,000 Bank of America Corp. EUR 2.500% 27/07/2020 7,237,866 0.80


1,250,000 Bank of America Corp. GBP 6.125% 15/09/2021 2,298,880 0.25

425,000 Bank of America Corp. USD 5.700% 24/01/2022 492,760 0.06


10,300,000 Bank of America Corp.—Series L USD 2.650% 01/04/2019 10,495,020 1.16

510,000 Berkshire Hathaway Energy Co. USD 6.125% 01/04/2036 626,678 0.07

200,000 Brinker International, Inc. USD 2.600% 15/05/2018 200,601 0.02

4,600,000 Buckeye Partners LP USD 4.150% 01/07/2023 4,560,859 0.50

2,050,000 Burlington Northern Santa Fe LLC USD 4.375% 01/09/2042 2,054,403 0.23

100,000 Capital One Financial Corp. USD 4.750% 15/07/2021 110,496 0.01

1,500,000 Citigroup, Inc.(c) EUR 0.686% 31/05/2017 1,644,163 0.18

641,000 Citigroup, Inc. GBP 5.125% 12/12/2018 1,078,724 0.12

750,000 Citigroup, Inc. USD 8.500% 22/05/2019 924,035 0.10

800,000 Citigroup, Inc. EUR 7.375% 04/09/2019 1,124,668 0.12

1,950,000 Citigroup, Inc. USD 3.375% 01/03/2023 1,983,222 0.22

400,000 Commonwealth Edison Co. USD 3.800% 01/10/2042 381,566 0.04

5,400,000 Compass Bank USD 2.750% 29/09/2019 5,439,382 0.60

325,000 Compass Bank USD 5.500% 01/04/2020 354,928 0.04

1,900,000 CVS Health Corp. USD 5.750% 15/05/2041 2,270,929 0.25

500,000 Devon Energy Corp. USD 4.000% 15/07/2021 531,234 0.06


1,550,000 Devon Energy Corp. USD 5.600% 15/07/2041 1,699,804 0.19


4,550,000 Eastman Chemical Co. USD 3.800% 15/03/2025 4,646,765 0.51

3,850,000 Eaton Corp. USD 4.150% 02/11/2042 3,811,858 0.42

150,000 Ecolab, Inc. USD 4.350% 08/12/2021 164,208 0.02

200,000 Energy Transfer Partners LP USD 5.200% 01/02/2022 213,689 0.02

1,000,000 Energy Transfer Partners LP USD 3.600% 01/02/2023 973,768 0.11



950,000 Enterprise Products Operating LLC USD 3.350% 15/03/2023 950,924 0.11

7,100,000 Enterprise Products Operating LLC USD 3.750% 15/02/2025 7,173,144 0.79


900,000 EPR Properties USD 7.750% 15/07/2020 1,081,229 0.12

5,650,000 Ford Motor Credit Co., LLC USD 4.375% 06/08/2023 6,027,618 0.67

4,175,000 Freeport-McMoRan, Inc. USD 2.375% 15/03/2018 4,162,145 0.46


450,000 Freeport-McMoRan, Inc. USD 4.550% 14/11/2024 435,043 0.05

2,150,000 General Electric Capital Corp. USD 5.550% 04/05/2020 2,498,150 0.28




1,050,000 General Electric Co. USD 4.125% 09/10/2042 1,051,484 0.12

150,000 Halliburton Co. USD 3.500% 01/08/2023 154,765 0.02

5,600,000 HCP, Inc. USD 2.625% 01/02/2020 5,611,099 0.62

7,182,000 HCP, Inc. USD 5.375% 01/02/2021 8,041,017 0.89

2,100,000 HCP, Inc. USD 4.250% 15/11/2023 2,161,597 0.24

1,800,000 Hess Corp. USD 5.600% 15/02/2041 1,919,612 0.21

100,000 International Paper Co. USD 7.500% 15/08/2021 125,889 0.01

4,800,000 JPMorgan Chase & Co USD 4.250% 15/10/2020 5,205,125 0.58

2,550,000 JPMorgan Chase & Co. USD 3.875% 01/02/2024 2,652,745 0.29


850,000 Kinder Morgan Energy Partners LP USD 6.500% 01/04/2020 979,263 0.11

8,750,000 Kinder Morgan Energy Partners LP USD 4.150% 01/02/2024 8,796,147 0.97

1,700,000 Laboratory Corp of America Holdings USD 4.700% 01/02/2045 1,636,444 0.18

2,550,000 Molson Coors Brewing Co. USD 5.000% 01/05/2042 2,556,997 0.28

850,000 Mondelez International, Inc. EUR 2.375% 06/03/2035 896,845 0.10

1,250,000 Monsanto Co. USD 4.200% 15/07/2034 1,216,894 0.14

3,500,000 Monsanto Co. USD 4.400% 15/07/2044 3,333,613 0.37

3,200,000 Morgan Stanley EUR 2.375% 31/03/2021 3,781,590 0.42


10,300,000 Morgan Stanley USD 3.700% 23/10/2024 10,500,479 1.16



2,650,000 Morgan Stanley—Series F USD 3.875% 29/04/2024 2,727,433 0.30

28,000 ONEOK Partners LP USD 6.850% 15/10/2037 29,897 0.00

3,250,000 Oracle Corp. USD 2.950% 15/05/2025 3,193,346 0.35

450,000 Pfizer, Inc. USD 7.200% 15/03/2039 636,219 0.07

% of



Maturity Date(b)

USD Equity


229



As at 31 May 2015



50,000 Philip Morris International, Inc. USD 4.375% 15/11/2041 49,952 0.01

16,000 Progress Energy, Inc. USD 7.750% 01/03/2031 22,259 0.00

2,700,000 Prologis LP EUR 1.375% 07/10/2020 2,989,032 0.33

1,900,000 Prologis LP EUR 3.000% 18/01/2022 2,262,774 0.25

4,150,000 Prologis LP EUR 3.375% 20/02/2024 5,091,292 0.56

600,000 Prologis LP EUR 3.000% 02/06/2026 718,321 0.08

3,700,000 Realty Income Corp. USD 3.250% 15/10/2022 3,667,518 0.41


3,400,000 Regions Financial Corp. USD 2.000% 15/05/2018 3,401,017 0.38

2,650,000 Senior Housing Properties Trust USD 3.250% 01/05/2019 2,686,915 0.30

1,700,000 Spectra Energy Partners LP USD 2.950% 25/09/2018 1,748,142 0.19


750,000 Sysco Corp. USD 2.350% 02/10/2019 761,647 0.08

550,000 Sysco Corp. USD 3.000% 02/10/2021 560,343 0.06

1,650,000 Sysco Corp. USD 3.500% 02/10/2024 1,684,794 0.19

1,100,000 Sysco Corp. USD 4.350% 02/10/2034 1,131,604 0.13

3,000,000 Sysco Corp. USD 4.500% 02/10/2044 3,043,125 0.34

4,850,000 Thermo Fisher Scientific, Inc. USD 2.400% 01/02/2019 4,887,786 0.54

750,000 Time Warner Cable, Inc. USD 5.000% 01/02/2020 804,423 0.09



1,700,000 Time Warner Cable, Inc. USD 5.875% 15/11/2040 1,732,208 0.19


1,400,000 Travelers Cos, Inc. USD 4.600% 01/08/2043 1,528,321 0.17

4,750,000 UnitedHealth Group, Inc. USD 2.875% 15/12/2021 4,820,238 0.53

5,650,000 Ventas Realty LP Via Ventas Capital Corp. USD 2.000% 15/02/2018 5,707,816 0.63


3,700,000 Verizon Communications, Inc. USD 4.500% 15/09/2020 4,037,877 0.45




310,000 Verizon Communications, Inc. USD 6.400% 15/09/2033 370,275 0.04



3,300,000 Wal-Mart Stores, Inc. USD 5.000% 25/10/2040 3,725,822 0.41

3,000,000 Wal-Mart Stores, Inc. USD 4.000% 11/04/2043 2,964,543 0.33

2,600,000 Walgreens Boots Alliance, Inc. EUR 2.125% 20/11/2026 2,908,202 0.32

3,250,000 Wells Fargo & Co. USD 3.300% 09/09/2024 3,274,434 0.36


2,710,000 Western Gas Partners LP USD 5.450% 01/04/2044 2,829,825 0.31

4,300,000 Williams Partners LP USD 3.900% 15/01/2025 4,231,978 0.47

342,782,886 37.88


(cost USD 621 ,397 ,888) 609,741,350 67.38


Brazil

1,500,000 Brazilian Government International Bond USD 8.250% 20/01/2034 1,957,500 0.22


3,424,275 0.38

Chile

860,000 Chile Government International Bond USD 3.625% 30/10/2042 813,775 0.09

Indonesia

623,000 Indonesia Government International Bond USD 5.875% 15/01/2024 702,432 0.08

1,190,000 Indonesia Government International Bond USD 4.125% 15/01/2025 1,190,000 0.13

1,892,432 0.21

Italy


2,400,000 Italy Buoni Poliennali Del Tesoro EUR 5.500% 01/11/2022 3,369,954 0.37

3,382,171 0.37

Korea

850,000 Republic of Korea USD 7.125% 16/04/2019 1,018,593 0.11

% of



Maturity Date(b)

USD Equity


230



As at 31 May 2015


Mexico

6,150,300 Mexican Bonos—Series M MXN 7.750% 29/05/2031 452,883 0.05

4,400 Mexican Bonos—Series M MXN 7.750% 13/11/2042 325 0.00

5,212,000 Mexican Bonos—Series M 20 MXN 8.500% 31/05/2029 408,206 0.04







2,446,401 0.27

South Africa

29,390,000 South Africa Government Bond—Series 2023 ZAR 7.750% 28/02/2023 2,389,747 0.26

Spain


Turkey

200,000 Turkey Government International Bond USD 6.250% 26/09/2022 226,000 0.03


855,138 0.10


(cost USD 16 ,937 ,213) 16,234,762 1.79


(cost USD 638 ,335 ,101) 625,976,112 69.17



Australia

1,100,000 Newcrest Finance Pty Ltd. 144A(d) USD 4.450% 15/11/2021 1,105,666 0.12

600,000 Newcrest Finance Pty Ltd. 144A(d) USD 4.200% 01/10/2022 577,035 0.07

1,682,701 0.19

Canada

150,000 Glencore Finance Canada Ltd. 144A(d) USD 5.800% 15/11/2016 158,941 0.02

1,500,000 Glencore Finance Canada Ltd. 144A(d) USD 4.950% 15/11/2021 1,613,050 0.18


2,077,605 0.23

Colombia

300,000 Transportadora de Gas Internacional S.A. ESP USD 5.700% 20/03/2022 321,000 0.04

France

2,450,000 Pernod Ricard S.A. 144A(d) USD 5.750% 07/04/2021 2,804,927 0.31



955,000 Pernod Ricard S.A. 144A(d) USD 5.500% 15/01/2042 1,089,140 0.12

14,491,982 1.60

Italy

9,650,000 Intesa Sanpaolo SpA USD 3.875% 16/01/2018 10,039,580 1.11



14,491,797 1.60

Japan

970,000 Nippon Life Insurance Co. 144A(c)(d) USD 5.100% 16/10/2044 1,040,325 0.11

Mexico

110,000 Petroleos Mexicanos USD 8.000% 03/05/2019 130,735 0.01


570,000 Trust F/1401 USD 5.250% 15/12/2024 602,490 0.07

744,050 0.08

% of



Maturity Date(b)

USD Equity


231



As at 31 May 2015


Netherlands

50,000 E.ON International Finance BV 144A(d) USD 5.800% 30/04/2018 55,579 0.01

Peru

910,000 Corp. Financiera de Desarrollo S.A. USD 4.750% 08/02/2022 969,150 0.11


177,134 Dolphin Energy Ltd. 144A(d) USD 5.888% 15/06/2019 194,047 0.02

United Kingdom

100,000 HSBC Bank Plc. 144A(d) USD 3.500% 28/06/2015 100,228 0.01

850,000 PPL WEM Holdings Ltd. 144A(d) USD 3.900% 01/05/2016 871,015 0.10

5,450,000 PPL WEM Holdings Ltd. 144A(d) USD 5.375% 01/05/2021 6,159,993 0.68

1,656,000 Sky Plc. 144A(d) USD 9.500% 15/11/2018 2,044,614 0.22

9,175,850 1.01

United States

3,150,000 21st Century Fox America, Inc. USD 3.700% 15/09/2024 3,263,898 0.36


4,600,000 American Express Co.(c) USD 6.800% 01/09/2066 4,807,000 0.53

6,800,000 Apple, Inc. USD 3.850% 04/05/2043 6,361,754 0.70

4,750,000 ARC Properties Operating Partnership LP USD 2.000% 06/02/2017 4,659,037 0.51

7,000 Archer-Daniels-Midland Co. USD 4.479% 01/03/2021 7,802 0.00

1,800,000 Archer-Daniels-Midland Co. USD 4.016% 16/04/2043 1,782,729 0.20

5,850,000 Blackstone Holdings Finance Co., LLC 144A(d) USD 4.750% 15/02/2023 6,420,369 0.71

2,350,000 Carlyle Holdings Finance LLC 144A(d) USD 3.875% 01/02/2023 2,410,313 0.27

400,000 Columbia Pipeline Group, Inc. 144A(d) USD 2.450% 01/06/2018 403,380 0.04


1,075,000 Comcast Corp. USD 6.450% 15/03/2037 1,368,256 0.15

1,450,000 Comcast Corp. USD 6.950% 15/08/2037 1,933,990 0.21

1,200,000 Comcast Corp. USD 4.750% 01/03/2044 1,271,900 0.14

1,500,000 Compass Bank USD 3.875% 10/04/2025 1,473,610 0.16

1,650,000 DIRECTV Holdings LLC Via DIRECTV Financing Co., Inc. USD 6.000% 15/08/2040 1,794,005 0.20


900,000 ERAC US.A. Finance LLC 144A(d) USD 2.800% 01/11/2018 926,060 0.10

3,075,000 Forest Laboratories, Inc. 144A(d) USD 4.375% 01/02/2019 3,281,446 0.36


2,450,000 Gilead Sciences, Inc. USD 4.800% 01/04/2044 2,619,648 0.29

3,950,000 Glencore Funding LLC 144A(d) USD 4.125% 30/05/2023 3,941,492 0.44

2,300,000 McGraw Hill Financial, Inc.(d) USD 4.000% 15/06/2025 2,334,454 0.26

1,100,000 NBCUniversal Media LLC USD 2.875% 15/01/2023 1,091,772 0.12


396,000 NBCUniversal Media LLC USD 4.450% 15/01/2043 397,169 0.04

2,000,000 Penske Truck Leasing Co. LP Via PTL Finance Corp. 144A(d) USD 3.375% 01/02/2022 1,977,544 0.22

3,550,000 Penske Truck Leasing Co. Lp Via PTL Finance Corp.. 144A(d) USD 4.875% 11/07/2022 3,811,894 0.42

2,950,000 Prudential Financial, Inc.(c) USD 5.375% 15/05/2045 2,970,281 0.33

1,700,000 Reliance Standard Life Global Funding II 144A(d) USD 2.500% 24/04/2019 1,714,020 0.19

850,000 Reliance Standard Life Global Funding II 144A(d) USD 2.500% 15/01/2020 853,047 0.09

400,000 SABMiller Holdings, Inc. 144A(d) USD 4.950% 15/01/2042 425,741 0.05

550,000 Santander Holdings USA, Inc. USD 3.450% 27/08/2018 571,400 0.06

4,930,000 Teachers Insurance & Annuity Association of America 144A(d) USD 4.900% 15/09/2044 5,256,307 0.58

5,077,000 Verizon Communications, Inc. 144A(d) USD 4.522% 15/09/2048 4,649,720 0.51

49,000 Verizon Communications, Inc. 144A(d) USD 4.672% 15/03/2055 44,055 0.01

8,000,000 Walgreen Co. USD 3.100% 15/09/2022 7,927,480 0.88

950,000 Walgreens Boots Alliance, Inc. USD 2.700% 18/11/2019 962,090 0.11

1,300,000 Walgreens Boots Alliance, Inc. USD 3.300% 18/11/2021 1,313,878 0.15




2,100,000 WEA Finance LLC Via Westfield UK & Europe Finance Plc. 144A(d) USD 2.700% 17/09/2019 2,124,448 0.23

2,250,000 WEA Finance LLC Via Westfield UK & Europe Finance Plc. 144A(d) USD 3.750% 17/09/2024 2,293,218 0.25

107,188,517 11.84


(cost USD 149 ,253 ,503) 152,432,603 16.84


% of



Maturity Date(b)

USD Equity

232



As at 31 May 2015


Cayman Islands

4,344,245 Aberdeen Loan Funding Ltd. "1AA" 144A(c)(d) USD 0.928% 01/11/2018 4,324,731 0.48

4,950,000 Acis CLO Ltd. "1A" 144A(c)(d) USD 1.502% 18/04/2024 4,826,047 0.53


1,750,000 Acis CLO Ltd. "2AA" 144A(c)(d) USD 0.777% 14/10/2022 1,726,667 0.19

334,159 Columbus Nova CLO Ltd. "1AA" 144A(c)(d) USD 0.535% 18/07/2018 332,759 0.04

1,575,631 Crown Point CLO Ltd. "1A" 144A(c)(d) USD 1.496% 21/11/2022 1,560,078 0.17

23,729 Gleneagles CLO Ltd. "1AA1" 144A(c)(d) USD 0.553% 01/11/2017 23,704 0.00

1,105,512 Goldentree Loan Opportunities V Ltd. "5AA" 144A(c)(d) USD 0.970% 18/10/2021 1,102,905 0.12

902,411 Golub Capital Management CLO Ltd. "1AA" 144A(c)(d) USD 0.518% 31/07/2021 896,062 0.10

1,156,920 Hewett’s Island CDO Ltd. "1RAA" 144A(c)(d) USD 0.680% 12/11/2019 1,152,732 0.13

6,500,000 ICG US CLO Ltd. "1A" 144A(c)(d) USD 1.545% 20/04/2026 6,388,798 0.71

129,199 Jasper CLO Ltd. "1AA" 144A(c)(d) USD 0.548% 01/08/2017 129,103 0.01

1,238,370 KKR Financial CLO Ltd. "1AA" 144A(c)(d) USD 0.624% 15/05/2021 1,229,974 0.14

2,386,022 Ocean Trails CLO I(c) USD 0.526% 12/10/2020 2,367,971 0.26

3,550,000 OCP CLO Ltd. "2A" 144A(c)(d) USD 1.524% 22/11/2023 3,527,099 0.39

3,100,000 OFSI Fund V Ltd. "5A" 144A(c)(d) USD 0.000% 17/04/2025 3,046,167 0.34

6,450,000 OFSI Fund VI Ltd. "6A" 144A(c)(d) USD 1.440% 20/03/2025 6,299,005 0.70

3,150,000 OFSI Fund VII Ltd. "7A" 144A(c)(d) USD 1.772% 18/10/2026 3,116,038 0.34

1,843,919 Red River CLO Ltd. "1AA" 144A(c)(d) USD 0.548% 27/07/2018 1,836,374 0.20

7,900,000 Regatta IV Funding Ltd. "1A" 144A(c)(d) USD 1.787% 25/07/2026 7,864,853 0.87

63,682,931 7.04

United Kingdom

4,330,580 Aire Valley Mortgages Plc. "1A" 144A(c)(d) USD 0.490% 20/09/2066 4,193,841 0.46

2,537,415 Aire Valley Mortgages Plc. "2A1"(c) EUR 0.325% 20/09/2066 2,727,856 0.30

2,743,626 Aire Valley Mortgages Plc. "2A1" 144A(c)(d) USD 0.510% 20/09/2066 2,659,020 0.29

2,756,432 EMF-UK Plc. "A1A"(c) GBP 1.542% 13/03/2046 4,141,825 0.46

804,462 Eurosail PRIME-UK Plc. "A1"(c) GBP 0.962% 13/09/2045 1,171,704 0.13

1,343,599 Leek Finance Number Eighteen Plc. "A2B"(c) USD 0.525% 21/09/2038 1,396,591 0.15

277,986 Leek Finance Number Eighteen Plc. "A2C"(c) EUR 0.284% 21/09/2038 319,013 0.04

275,202 Leek Finance Number Seventeen Plc. "A2A"(c) GBP 0.844% 21/12/2037 443,879 0.05

611,560 Leek Finance Number Seventeen Plc. "A2C"(c) EUR 0.304% 21/12/2037 710,014 0.08

17,763,743 1.96

United States

26,353 Alternative Loan Trust "A2"(c) USD 0.375% 25/10/2046 22,794 0.00

506,012 Banc of America Commercial Mortgage Trust "A1A"(c) USD 5.774% 10/02/2051 546,456 0.06

3,016,393 GS Mortgage Securities Trust "A1A"(c) USD 5.795% 10/08/2045 3,252,992 0.36

2,109,136 JP Morgan Chase Commercial Mortgage Securities Trust "A1A"(c) USD 5.811% 12/06/2043 2,184,751 0.24

701,116 JP Morgan Chase Commercial Mortgage Securities Trust "A1A"(c) USD 5.885% 12/02/2049 749,296 0.09

6,756,289 0.75


(cost USD 89 ,167 ,740) 88,202,963 9.75

Municipal Bonds – 0.36%

United States

65,000 Bay Area Toll Authority USD 6.263% 01/04/2049 87,851 0.01

300,000 Los Angeles Unified School District USD 6.758% 01/07/2034 403,377 0.04

80,000 Metropolitan Transportation Authority USD 7.336% 15/11/2039 118,099 0.01

550,000 Metropolitan Transportation Authority USD 6.668% 15/11/2039 744,716 0.08

250,000 Regents of the University of California

Medical Center Pooled Revenue USD 6.583% 15/05/2049 323,628 0.04

875,000 State of California USD 7.625% 01/03/2040 1,313,349 0.15

250,000 State of Illinois USD 6.725% 01/04/2035 262,290 0.03

3,253,310 0.36

TOTAL MUNICIPAL BONDS

(cost USD 2 ,400 ,690) 3,253,310 0.36


(cost USD 240 ,821 ,933) 243,888,876 26.95


% of



Maturity Date(b)

USD Equity

233



As at 31 May 2015



Netherlands

3,150,000 ING Bank NV(c) EUR 3.500% 21/11/2023 3,708,181 0.41


(cost USD 4 ,453 ,161) 3,708,181 0.41


(cost USD 4 ,453 ,161) 3,708,181 0.41


(cost USD 883 ,610 ,195) 873,573,169 96.53





CAD

61 Canadian Government Bond 10YR Futures 21/09/2015 Long 6,850,314 48,472 0.01

EUR

(18) Euro OAT Futures 08/06/2015 Short (3,016,681) 107,129 0.01




72,465,994 591,932 0.07

USD

205 US Treasury Notes 2YR Futures 30/09/2015 Long 44,846,953 44,844 0.00


77,835,422 126,781 0.01





AUD

38 Australian Treasury Bonds 10YR Futures 15/06/2015 Long 3,737,647 (14,006) (0.00)

EUR

9 Euro BTP Italian Government Bond Futures 08/06/2015 Long 1,335,854 (54,010) (0.01)

USD

(15) US Treasury Long Bond Futures 21/09/2015 Short (2,322,187) (5,039) (0.00)

(254) US Treasury Notes 10YR Futures 21/09/2015 Short (32,357,219) (30,594) (0.00)

(34,679,406) (35,633) (0.00)



Unrealised % of



USD 77,742,628 GBP 50,539,000 15/07/2015 494,933 0.06


Unrealised % of



USD 3,388,462 MXN 52,459,497 12/06/2015 (32,829) (0.00)

USD 2,447,284 ZAR 30,090,361 12/06/2015 (29,256) (0.00)

EUR 32,574,726 USD 36,091,720 15/06/2015 (268,360) (0.03)

USD 218,891,292 EUR 201,471,084 15/06/2015 (2,672,227) (0.30)



% of



Maturity Date(b)

USD Equity

234



As at 31 May 2015


Unrealised % of



EUR 330,438,809 USD 358,507,992 15/06/2015 4,885,026 0.54

USD 10,695,818 EUR 9,527,288 15/06/2015 218,386 0.02

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES 5,103,412 0.56

Unrealised % of



CHF 46,421,599 USD 50,282,944 25/06/2015 (644,608) (0.07)

SEK 686,373 USD 82,861 26/06/2015 (2,029) (0.00)

GBP 62,782,452 USD 96,575,217 15/07/2015 (613,689) (0.07)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES (1,260,326) (0.14)

Purchased Options – 0.00%

Unrealised % of

Gain/Loss Market Value Shareholders'

Holdings Security Description USD USD Equity

Purchased Options

USD

5,870,000 Call 3 month LIBOR Swaption Expires 30/10/2015 Strike 1.47 (6,452) 31,410 0.00

TOTAL PURCHASED OPTIONS

(cost USD 37 ,862) 31,410 0.00




Amount Pay Receive Currency Maturity Date USD Equity

Interest Rate Swaps

960,000 Fixed 3.000% Floating (AUD 6 month BBSW) AUD 17/06/2025 9,873 0.00

45,320,000 Floating (CAD 3 month CDOR) Fixed 1.000% CAD 21/04/2017 6,241 0.00

3,970,000 Floating (CHF 6 month LIBOR) Fixed 0.250% CHF 17/06/2020 15,807 0.00

3,310,000 Fixed 1.500% Floating (CHF 6 month LIBOR) CHF 18/12/2024 37,398 0.01








5,070,000 Fixed 1.500% Floating (EUR 6 month LIBOR) EUR 20/02/2030 86,872 0.01


6,430,000 Fixed 1.695% Floating (EUR 6 month EURIBOR) EUR 11/05/2035 17,527 0.00




2,410,000 Fixed 2.000% Floating (GBP 6 month LIBOR) GBP 17/06/2045 74,883 0.01

848,715,000 Floating (JPY 6 month LIBOR) Fixed 0.250% JPY 17/06/2020 7,347 0.00

39,320,000 Floating (NOK 6 month NIBOR) Fixed 1.000% NOK 01/07/2017 3,901 0.00

2,290,000 Floating (NZD 3 month NZDBB) Fixed 3.750% NZD 17/06/2025 1,393 0.00



96,000,000 Floating (SEK 3 month STIBOR) Fixed 1.500% SEK 16/12/2025 87,204 0.01

24,530,000 Floating (USD 3 month LIBOR) Fixed 1.750% USD 17/06/2018 206,857 0.02


15,060,000 Fixed 2.250% Floating (USD 3 month LIBOR) USD 17/06/2020 33,570 0.00





UNREALISED GAIN ON INTEREST RATE SWAPS 2,086,841 0.23


235



As at 31 May 2015






4,300,000 Floating (CDX.NA.IG.16-V1 Index) Fixed 1.000% USD 20/06/2016 38,916 0.01




TOTAL UNREALISED GAIN ON SWAP CONTRACTS 2,167,672 0.24




Interest Rate Swaps

13,945,000 Floating (CAD 3 month CDOR) Fixed 1.250% CAD 17/06/2020 (117,784) (0.01)




4,620,000 Floating (EUR 6 month LIBOR) Fixed 1.100% EUR 20/02/2025 (60,351) (0.01)





8,490,000 Fixed 1.000% Floating (GBP 6 month LIBOR) GBP 17/06/2018 (75,575) (0.01)


331,470,000 Fixed 0.900% Floating (JPY 6 month LIBOR) JPY 20/02/2025 (411) (0.00)

163,950,000 Fixed 0.750% Floating (JPY 6 month LIBOR) JPY 17/06/2025 (4,514) (0.00)








16,930,000 Floating (USD 3 month LIBOR) Fixed 2.250% USD 17/06/2035 (89,182) (0.01)

UNREALISED LOSS ON INTEREST RATE SWAPS (1,849,278) (0.21)


55,200,000 Floating (CDX.NA.IG.24-V1 Index) Fixed 1.000% USD 20/06/2020 (106,960) (0.01)


TOTAL UNREALISED LOSS ON SWAP CONTRACTS (1,956,238) (0.22)

Share Class Specific Swap Contracts – (0.03%)




Interest Rate Swaps

4,860,000 Fixed 1.250% Floating (CAD 3 month CDOR) CAD 17/06/2020 41,764 0.01




365,940,000 Fixed 0.250% Floating (JPY 6 month LIBOR) JPY 17/06/2018 87 0.00




UNREALISED GAIN ON INTEREST RATE SWAPS HELD FOR HEDGING PURPOSES 720,302 0.08

TOTAL UNREALISED GAIN ON SWAPS HELD FOR HEDGING PURPOSES 720,302 0.08


236



As at 31 May 2015

Share Class Specific Swap Contracts – (continued)




Interest Rate Swaps

1,725,000 Fixed 0.250% Floating (CHF 6 month LIBOR) CHF 17/06/2020 (4,299) (0.00)



12,910,000 Fixed 0.500% Floating (EUR 6 month EURIBOR) EUR 16/09/2020 (885) (0.00)














UNREALISED LOSS ON INTEREST RATE SWAPS HELD FOR HEDGING PURPOSES (1,015,338) (0.11)

TOTAL UNREALISED LOSS ON SWAPS HELD FOR HEDGING PURPOSES (1,015,338) (0.11)


(cost USD 883 ,648 ,057) 875,519,860 96.75



% of



Total Investments excluding derivatives (cost USD 883,610,195) 873,573,169 96.53





Unrealised gain on forward currency contracts held for hedging purposes 5,103,412 0.56

Unrealised loss on forward currency contracts held for hedging purposes (1,260,326) (0.14)

Market value of purchased options (cost USD 37,862) 31,410 0.00

Unrealised gain on swap contracts 2,167,672 0.24

Unrealised loss on swap contracts (1,956,238) (0.22)

Unrealised gain on swaps held for hedging purposes 720,302 0.08

Unrealised loss on swaps held for hedging purposes (1,015,338) (0.11)



Rates disclosed for Corporate Bonds, Government Bonds, Non-Agencies Asset Backed Obligations and Municipal Bonds are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Barclays Bank Plc., Citibank NA London, Deutsche Bank AG, JP Morgan Chase Bank NA London, Royal Bank of Canada,

Royal Bank of Scotland Plc., Standard Chartered Bank, State Street Bank & Trust, UBS AG London and Westpac Banking Corp.

The counterparty for options was Deutsche Bank AG Frankfurt.

The counterparties for swap contracts were Bank of America NA, Credit Suisse Debt Capital Markets and Morgan Stanley And Co., Inc.








237



As at 31 May 2015



Australia

200,000 APT Pipelines Ltd. EUR 1.375% 22/03/2022 219,073 0.15


100,000 QBE Insurance Group Ltd. GBP 6.125% 28/09/2015 155,227 0.10



400,000 SGSP Australia Assets Pty Ltd. USD 3.300% 09/04/2023 390,812 0.26

200,000 Transurban Finance Co., Pty Ltd. EUR 2.000% 28/08/2025 222,666 0.15

450,000 Westpac Banking Corp. USD 2.000% 14/08/2017 457,978 0.31

2,271,131 1.52

Belgium

400,000 KBC Groep NV(c) EUR 1.875% 11/03/2027 432,229 0.29

Bermuda

7,000 Endurance Specialty Holdings Ltd. USD 6.150% 15/10/2015 7,137 0.00

100,000 Weatherford International Ltd. USD 9.625% 01/03/2019 117,659 0.08

124,796 0.08

Cayman Islands


Denmark

600,000 TDC A/S EUR 1.750% 27/02/2027 641,030 0.43

France


300,000 BPCE S.A. EUR 0.750% 22/01/2020 330,805 0.22



1,100,000 Dexia Credit Local S.A. USD 1.500% 07/10/2017 1,107,439 0.74




100,000 Gecina S.A. EUR 4.250% 03/02/2016 113,026 0.08

100,000 Klepierre EUR 1.000% 17/04/2023 108,244 0.07

50,000 Orange S.A. USD 5.375% 13/01/2042 55,185 0.04

150,000 Orange S.A. USD 5.500% 06/02/2044 168,092 0.11

300,000 TOTAL S.A.(c) EUR 2.625% 29/12/2049 329,453 0.22

400,000 TOTAL S.A.(c) EUR 2.250% 29/12/2049 444,495 0.30

3,970,643 2.66

Germany

200,000 Bayer AG(c) EUR 2.375% 02/04/2075 217,941 0.15

Hong Kong

250,000 AIA Group Ltd. 144A(d) USD 3.200% 11/03/2025 248,522 0.17

Ireland

150,000 FCA Capital Ireland Plc. EUR 1.375% 17/04/2020 163,964 0.11


800,000 Ryanair Ltd. EUR 1.125% 10/03/2023 856,409 0.58

1,205,250 0.81

Italy

200,000 2i Rete Gas SpA EUR 1.125% 02/01/2020 220,820 0.15

100,000 Assicurazioni Generali SpA EUR 4.125% 04/05/2026 120,674 0.08


200,000 CDP Reti SpA EUR 1.875% 29/05/2022 222,639 0.15


2,855,823 1.91

Japan

500,000 Bank of Tokyo-Mitsubishi UFJ Ltd. EUR 0.875% 11/03/2022 544,915 0.37

350,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 144A(d) USD 1.700% 05/03/2018 350,567 0.23

895,482 0.60

Goldman Sachs Funds—Global Fixed Income Portfolio

% of



Maturity Date(b)

USD Equity

238



As at 31 May 2015


Jersey

350,000 Delphi Automotive Plc. EUR 1.500% 10/03/2025 372,196 0.25

Luxembourg








604,303 0.41

Mexico


Netherlands

150,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA EUR 1.375% 03/02/2027 164,161 0.11





400,000 Gas Natural Fenosa Finance BV EUR 1.375% 21/01/2025 432,200 0.29

100,000 Iberdrola International BV EUR 1.125% 27/01/2023 108,996 0.07

200,000 ING Bank NV(c) EUR 0.399% 20/11/2019 220,946 0.15

50,000 ING Bank NV(c) EUR 6.125% 29/05/2023 62,980 0.04

650,000 ING Bank NV(c) USD 4.125% 21/11/2023 675,935 0.45

150,000 ING Bank NV(c) EUR 3.625% 25/02/2026 180,980 0.12


150,000 Nomura Europe Finance NV EUR 1.500% 12/05/2021 166,267 0.11

2,969,760 1.99

Spain


Switzerland



100,000 UBS AG(c) EUR 4.750% 12/02/2026 120,593 0.08

752,737 0.50



220,000 Ruwais Power Co. PJSC USD 6.000% 31/08/2036 260,700 0.18

342,081 0.23

United Kingdom

300,000 BAT International Finance Plc.(c) EUR 0.538% 06/03/2018 332,118 0.22

550,000 BAT International Finance Plc. EUR 1.250% 13/03/2027 579,930 0.39

200,000 British Telecommunications Plc. USD 1.625% 28/06/2016 201,626 0.14


500,000 FCE Bank Plc. EUR 1.625% 09/09/2016 556,188 0.37

350,000 Hammerson Plc. EUR 2.000% 01/07/2022 403,371 0.27


50,000 Standard Life Plc.(c) GBP 6.546% 29/11/2049 84,903 0.06

2,877,995 1.93

United States

350,000 AbbVie, Inc. USD 1.750% 06/11/2017 351,444 0.24

150,000 AbbVie, Inc. USD 2.500% 14/05/2020 150,157 0.10

50,000 AbbVie, Inc. USD 3.200% 06/11/2022 50,194 0.03

50,000 AbbVie, Inc. USD 3.600% 14/05/2025 50,388 0.03

100,000 Albemarle Corp. EUR 1.875% 08/12/2021 111,248 0.08

150,000 Anadarko Petroleum Corp. USD 3.450% 15/07/2024 150,461 0.10


50,000 Apache Corp. USD 3.250% 15/04/2022 50,266 0.03

50,000 Apache Corp. USD 4.750% 15/04/2043 49,005 0.03

150,000 Apache Corp. USD 4.250% 15/01/2044 137,641 0.09

50,000 AT&T, Inc. USD 2.450% 30/06/2020 49,485 0.03

% of



Maturity Date(b)

USD Equity


239



As at 31 May 2015



100,000 AT&T, Inc. USD 3.000% 30/06/2022 98,157 0.07

150,000 AT&T, Inc. USD 3.400% 15/05/2025 145,422 0.10

50,000 AT&T, Inc. USD 4.500% 15/05/2035 47,646 0.03










100,000 Becton Dickinson and Co. USD 3.734% 15/12/2024 102,280 0.07


200,000 Buckeye Partners LP USD 4.150% 01/07/2023 198,298 0.13

450,000 Caterpillar Financial Services Corp. USD 1.250% 06/11/2017 451,709 0.30

300,000 Cellco Partnership Via Verizon Wireless Capital LLC EUR 8.750% 18/12/2015 345,047 0.23

200,000 CVS Health Corp. USD 4.000% 05/12/2023 211,683 0.14




200,000 Eastman Chemical Co. USD 3.800% 15/03/2025 204,253 0.14



350,000 Ford Motor Credit Co., LLC USD 3.984% 15/06/2016 360,113 0.24





300,000 HCP, Inc. USD 2.625% 01/02/2020 300,595 0.20

500,000 HCP, Inc. USD 5.375% 01/02/2021 559,803 0.38

50,000 HCP, Inc. USD 4.250% 15/11/2023 51,467 0.03

100,000 Hewlett-Packard Co. USD 2.600% 15/09/2017 102,369 0.07

150,000 Humana, Inc. USD 3.850% 01/10/2024 154,581 0.10



100,000 Kinder Morgan, Inc. USD 3.050% 01/12/2019 100,568 0.07


200,000 Monsanto Co. USD 4.400% 15/07/2044 190,492 0.13








50,000 Morgan Stanley—Series F USD 3.875% 29/04/2024 51,461 0.03

100,000 Mosaic Co. USD 4.250% 15/11/2023 105,491 0.07

300,000 Oracle Corp. USD 2.950% 15/05/2025 294,770 0.20

100,000 Prologis LP EUR 3.375% 20/02/2024 122,682 0.08

150,000 Roper Industries, Inc. USD 2.050% 01/10/2018 150,170 0.10

50,000 Simon Property Group LP USD 6.125% 30/05/2018 56,614 0.04

50,000 Synchrony Financial USD 1.875% 15/08/2017 50,201 0.03


50,000 Sysco Corp. USD 2.350% 02/10/2019 50,776 0.03

50,000 Sysco Corp. USD 3.000% 02/10/2021 50,940 0.03

50,000 Sysco Corp. USD 3.500% 02/10/2024 51,054 0.03

50,000 Sysco Corp. USD 4.350% 02/10/2034 51,437 0.03

50,000 Sysco Corp. USD 4.500% 02/10/2044 50,719 0.03




250,000 UnitedHealth Group, Inc. USD 2.875% 15/12/2021 253,697 0.17

450,000 Ventas Realty LP USD 3.500% 01/02/2025 442,177 0.30

100,000 Ventas Realty LP Via Ventas Capital Corp. USD 3.250% 15/08/2022 99,475 0.07





% of



Maturity Date(b)

USD Equity


240



As at 31 May 2015





200,000 Walgreens Boots Alliance, Inc. EUR 2.125% 20/11/2026 223,708 0.15

150,000 Wells Fargo & Co. USD 2.100% 08/05/2017 153,090 0.10


200,000 Williams Partners LP USD 3.900% 15/01/2025 196,836 0.13

16,162,003 10.83


(cost USD 38 ,910 ,365) 37,520,906 25.15


Austria

780,000 Austria Government Bond 144A(d) EUR 4.350% 15/03/2019 1,000,019 0.67


1,617,491 1.08

Belgium



733,005 0.49

Brazil

400,000 Brazilian Government International Bond USD 4.250% 07/01/2025 395,500 0.26



432,400 0.29

Canada

1,600,000 Canada Housing Trust No 1 144A(d) CAD 2.350% 15/12/2018 1,338,586 0.90

Colombia

190,000 Colombia Government International Bond USD 8.125% 21/05/2024 249,613 0.17

Czech Republic

6,360,000 Czech Republic Government Bond—Series 6Y CZK 1.500% 29/10/2019 270,024 0.18

Denmark

5,600,000 Denmark Government Bond DKK 4.000% 15/11/2019 974,822 0.65

France

920,000 France Government Bond OAT EUR 4.500% 25/04/2041 1,665,677 1.12

Germany

610,000 Bundesrepublik Deutschland—Series 5 EUR 4.000% 04/01/2037 1,057,446 0.71

700,000 KFW AUD 6.000% 20/08/2020 620,278 0.42

2,000,000 KFW SEK 5.000% 01/12/2020 289,868 0.19

1,967,592 1.32

Italy




420,000 Italy Buoni Poliennali Del Tesoro 144A(d) EUR 3.500% 01/03/2030 530,335 0.36

3,467,236 2.32

Japan

691,150,000 Japan Government Bond—Series 110 JPY 0.300% 20/03/2018 5,628,685 3.77




35,700,000 Japan Government Bond—Series 5 JPY 2.000% 20/03/2052 324,116 0.22

15,314,352 10.26

% of



Maturity Date(b)

USD Equity


241



As at 31 May 2015


Korea

1,471,000,000 Korea Treasury Bond—Series 2006 KRW 5.000% 10/06/2020 1,549,605 1.04

350,000 Republic of Korea USD 7.125% 16/04/2019 419,421 0.28

1,969,026 1.32

Mexico

7,047,400 Mexican Bonos MXN 10.000% 20/11/2036 639,285 0.43


6,907,700 Mexico Cetes MXN 0.000% 04/06/2015 45,058 0.03

66,274,700 Mexico Cetes MXN 0.000% 11/06/2015 432,051 0.29

35,527,600 Mexico Cetes MXN 0.010% 18/06/2015 231,471 0.16

7,340,800 Mexico Cetes MXN 0.010% 02/07/2015 47,771 0.03

11,678,500 Mexico Cetes MXN 0.000% 16/07/2015 75,905 0.05

27,255,900 Mexico Cetes MXN 0.000% 23/07/2015 177,045 0.12

7,414,200 Mexico Cetes MXN 0.000% 01/10/2015 47,865 0.03



2,050,938 1.37

Netherlands

1,020,000 Netherlands Government Bond EUR 2.000% 15/07/2024 1,264,089 0.85

Poland

160,000 Poland Government Bond—Series 1023 PLN 4.000% 25/10/2023 46,382 0.03



247,935 0.17

South Africa

9,160,000 South Africa Government Bond—Series 2023 ZAR 7.750% 28/02/2023 744,814 0.50

Spain


960,000 Spain Government Bond 144A(d) EUR 3.800% 30/04/2024 1,233,530 0.82



2,215,430 1.48

Thailand

15,402,770 Thailand Government Bond THB 1.200% 14/07/2021 441,933 0.30

Turkey


United Kingdom

1,500,000 United Kingdom Gilt GBP 1.250% 22/07/2018 2,318,307 1.55

920,000 United Kingdom Gilt GBP 4.500% 07/09/2034 1,867,798 1.25


5,627,403 3.77

United States

200,000 Tennessee Valley Authority USD 5.375% 01/04/2056 251,648 0.17


755,639 0.51


(cost USD 46 ,063 ,038) 43,811,305 29.36



695,000 European Investment Bank CHF 2.375% 10/07/2020 845,952 0.57

2,500,000 European Investment Bank SEK 5.000% 01/12/2020 362,877 0.24

760,000 Inter-American Development Bank USD 7.000% 15/06/2025 1,053,513 0.71

2,397,016 1.61


(cost USD 2 ,121 ,717) 2,397,016 1.61

% of



Maturity Date(b)

USD Equity


242



As at 31 May 2015


Ireland

984,633 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(e)(f) 984,633 0.66

TOTAL MUTUAL FUNDS

(cost USD 984 ,633) 984,633 0.66


(cost USD 88 ,079 ,753) 84,713,860 56.78



Australia


200,000 QBE Insurance Group Ltd. 144A(d) USD 2.400% 01/05/2018 201,916 0.14

442,347 0.30

Canada


France




562,117 0.38

Italy

500,000 Intesa Sanpaolo SpA USD 2.375% 13/01/2017 504,620 0.34


972,787 0.65

Mexico

200,000 Trust F/1401 USD 5.250% 15/12/2024 211,400 0.14

Netherlands

500,000 ING Bank NV 144A(d) USD 4.000% 15/03/2016 511,814 0.34

Qatar

75,350 Ras Laffan Liquefied Natural Gas Co., Ltd. III USD 5.832% 30/09/2016 78,227 0.05



United Kingdom


250,000 Standard Chartered Plc. 144A(d) USD 3.200% 12/05/2016 255,247 0.17

701,849 0.47

United States

50,000 21st Century Fox America, Inc. USD 4.000% 01/10/2023 53,109 0.04




350,000 Comcast Corp. USD 4.500% 15/01/2043 359,170 0.24

50,000 DIRECTV Holdings LLC Via DIRECTV Financing Co., Inc. USD 6.000% 15/08/2040 54,364 0.04


550,000 EMD Finance LLC 144A(d) USD 3.250% 19/03/2025 543,825 0.36

200,000 Forest Laboratories, Inc. 144A(d) USD 4.375% 01/02/2019 213,427 0.14


50,000 Medtronic, Inc. 144A(d) USD 2.500% 15/03/2020 50,729 0.03



700,000 Penske Truck Leasing Co. LP Via PTL Finance Corp. 144A(d) USD 3.375% 01/02/2022 692,140 0.46




250,000 Teachers Insurance & Annuity Association of America 144A(d) USD 4.900% 15/09/2044 266,547 0.18



% of



Maturity Date(b)

USD Equity


243



As at 31 May 2015








200,000 WEA Finance LLC Via Westfield UK & Europe Finance Plc. 144A(d) USD 2.700% 17/09/2019 202,328 0.14


6,058,938 4.06


(cost USD 9 ,917 ,834) 10,104,313 6.77


United States

400,000 Federal Farm Credit Banks USD 3.500% 20/12/2023 437,667 0.29

1,547,396 United States Treasury Inflation Indexed Bonds USD 0.625% 15/01/2024 1,590,433 1.07


3,020,583 2.02


(cost USD 2 ,910 ,757) 3,020,583 2.02

Agencies Asset Backed Obligations –12.85%

United States

1,772 Federal Home Loan Mortgage Corp. (FHLMC) USD 5.500% 01/12/2017 1,859 0.00











































% of



Maturity Date(b)

USD Equity


244



As at 31 May 2015

Agencies Asset Backed Obligations – (continued)









82,678 Federal National Mortgage Association (FNMA) USD 1.520% 25/12/2019 83,275 0.06


1,202,522 Federal National Mortgage Association (FNMA) USD 3.416% 01/10/2020 1,284,778 0.86







257 Federal National Mortgage Association (FNMA) USD 5.500% 01/04/2034 294 0.00

95,554 Federal National Mortgage Association (FNMA)(c) USD 2.437% 01/07/2034 102,512 0.07






















1,239,858 Federal National Mortgage Association (FNMA)(c) USD 4.820% 25/11/2040 247,007 0.17






























% of



Maturity Date(b)

USD Equity


245



As at 31 May 2015

















































2,000,000 Federal National Mortgage Association (FNMA) TBA(g) USD 3.500% 11/06/2045 2,088,281 1.40

3,035 Government National Mortgage Association (GNMA)(c) USD 1.625% 20/06/2023 3,102 0.00























% of



Maturity Date(b)

USD Equity


246



As at 31 May 2015



328,677 Government National Mortgage Association (GNMA) USD 3.950% 15/07/2025 353,310 0.24



96 Government National Mortgage Association (GNMA)(c) USD 1.625% 20/07/2026 99 0.00

























973 Government National Mortgage Association (GNMA)(c) USD 1.625% 20/04/2030 1,007 0.00




993 Government National Mortgage Association (GNMA)(c) USD 1.625% 20/06/2030 1,028 0.00




19,164,268 12.85


(cost USD 18 ,094 ,302) 19,164,268 12.85


Cayman Islands

1,050,000 B&M CLO Ltd. "A1" 144A(c)(d) USD 1.654% 16/04/2026 1,043,843 0.70

200,000 B&M CLO Ltd. "A2" 144A(c)(d) USD 2.226% 16/04/2026 198,446 0.13

600,000 CIFC Funding Ltd. "A1L" 144A(c)(d) USD 1.762% 24/05/2026 600,340 0.40

850,000 Crown Point CLO Ltd. "A" 144A(c)(d) USD 1.803% 31/12/2027 842,480 0.57

1,950,000 Halcyon Loan Advisors Funding Ltd. "A1B" 144A(c)(d) USD 1.653% 28/04/2025 1,940,771 1.30

500,000 Halcyon Loan Advisors Funding Ltd. "A2" 144A(c)(d) USD 2.233% 28/04/2025 496,357 0.33

350,000 Magnetite Ltd. "B" 144A(c)(d) USD 2.275% 15/04/2026 350,442 0.24

700,000 OFSI Fund VII Ltd. "7A" 144A(c)(d) USD 1.772% 18/10/2026 692,453 0.46

2,200,000 Shackleton CLO Ltd. "A" 144A(c)(d) USD 1.776% 07/05/2026 2,204,110 1.48

450,000 Shackleton CLO Ltd. "B1" 144A(c)(d) USD 2.276% 07/05/2026 450,247 0.30

800,000 Trinitas CLO Ltd. "A1" 144A(c)(d) USD 1.805% 15/04/2026 799,483 0.54

200,000 Trinitas CLO Ltd. "B1" 144A(c)(d) USD 2.175% 15/04/2026 197,033 0.13

1,500,000 WhiteHorse Ltd. "A" 144A(c)(d) USD 1.778% 01/05/2026 1,495,948 1.00

450,000 WhiteHorse Ltd. "B" 144A(c)(d) USD 2.328% 01/05/2026 445,467 0.30

11,757,420 7.88

United Kingdom

866,116 Aire Valley Mortgages Plc. "1A" 144A(c)(d) USD 0.490% 20/09/2066 838,768 0.56

685,906 Aire Valley Mortgages Plc. "2A1" 144A(c)(d) USD 0.510% 20/09/2066 664,755 0.45



250,000 Celeste Mortgage Funding Plc. "A"(c) GBP 1.405% 15/03/2045 378,984 0.25

590,664 EMF-UK Plc. "A1A"(c) GBP 1.542% 13/03/2046 887,534 0.59

401,252 Eurohome UK Mortgages Plc. "A2"(c) GBP 0.754% 15/09/2044 593,586 0.40

321,785 Eurosail PRIME-UK Plc. "A1"(c) GBP 0.962% 13/09/2045 468,682 0.31

300,000 Granite Master Issuer Plc. "2B1"(c) USD 0.423% 17/12/2054 295,599 0.20


% of



Maturity Date(b)

USD Equity

247



As at 31 May 2015

Non-Agencies Asset Backed Obligations – (continued)





200,000 Residential Mortgage Securities 28 Plc. "A"(c) GBP 1.710% 15/06/2046 305,939 0.20

500,000 Warwick Finance Residential Mortgages Number One Plc. "A"(c) GBP 1.634% 21/09/2049 758,847 0.51

6,183,027 4.14

United States

771,597 Access Group, Inc. "A2"(c) USD 0.427% 25/01/2016 747,360 0.50

185,319 Alternative Loan Trust "2A1"(c) USD 0.375% 25/11/2046 154,006 0.10


571,551 American Home Mortgage Assets Trust "1A1"(c) USD 1.107% 25/09/2046 412,336 0.28

300,000 Banc of America Commercial Mortgage Trust "AM"(c) USD 5.623% 10/04/2049 318,635 0.21

235,123 Banc of America Funding Trust "6A1"(c) USD 0.374% 20/10/2046 178,026 0.12

278,893 Deutsche Alt-A Securities Mortgage Loan Trust "A1"(c) USD 0.385% 25/02/2047 231,373 0.15

47,083 GMAC Mortgage Home Equity Loan Trust "1A1"(c) USD 7.000% 25/09/2037 47,388 0.03


239,051 Goal Capital Funding Trust "A" 144A(c)(d) USD 0.982% 25/08/2048 240,748 0.16

450,000 Home Equity Asset Trust "2A3"(c) USD 0.425% 25/08/2037 370,925 0.25

100,000 Invitation Homes Trust "D" 144A(c)(d) USD 2.484% 17/06/2032 100,956 0.07

323,828 KnowledgeWorks Foundation "A"(c) USD 1.232% 25/02/2042 326,075 0.22

654,475 Lehman Mortgage Trust "2A1"(c) USD 0.535% 25/09/2036 262,202 0.18

205,232 Lehman XS Trust Series "1A1A"(c) USD 0.375% 25/09/2046 171,115 0.11

370,165 Merrill Lynch First Franklin Mortgage Loan Trust "A2B"(c) USD 0.315% 25/06/2037 241,538 0.16

50,000 Morgan Stanley Capital I Trust "AM"(c) USD 5.478% 12/02/2044 53,051 0.04


384,240 Nelnet Student Loan Trust "A" 144A(c)(d) USD 1.057% 27/07/2048 387,179 0.26

145,939 Sequoia Mortgage Trust "A3A"(c) USD 1.063% 20/11/2034 142,464 0.10

39,139 US Education Loan Trust LLC "A2" 144A(c)(d) USD 0.413% 01/03/2025 39,116 0.03

242,581 Wells Fargo Mortgage Backed Securities Trust ‘‘2A1’’(c) USD 2.623% 25/04/2036 236,529 0.16

5,027,624 3.37


(cost USD 23 ,469 ,767) 22,968,071 15.39


United States

600,000 State of California USD 7.625% 01/03/2040 900,582 0.60


1,267,788 0.85


(cost USD 963 ,202) 1,267,788 0.85


(cost USD 55 ,355 ,862) 56,525,023 37.88



Canada

400,000 Canadian Government Bond CAD 4.000% 01/06/2041 429,546 0.29

300,000 Province of British Columbia CAD 3.250% 18/12/2021 262,873 0.18

500,000 Province of Quebec Canada CAD 4.250% 01/12/2021 460,183 0.31


1,637,038 1.10

Israel

400,000 Israel Government AID Bond USD 5.500% 18/09/2023 490,173 0.33

490,173 0.33


(cost USD 2 ,310 ,592) 2,127,211 1.43


(cost USD 2 ,310 ,592) 2,127,211 1.43


% of



Maturity Date(b)

USD Equity

248



As at 31 May 2015

Commercial Papers – 0.84%

United Kingdom

1,250,000 Barclays Bank Plc USD 0.886% 13/04/2016 1,250,000 0.84

TOTAL COMMERCIAL PAPERS

(cost USD 1 ,250 ,000) 1,250,000 0.84


(cost USD 146 ,996 ,207) 144,616,094 96.93

Covered Forward Mortgage Backed Securities – (2.04%)

(3,000,000) Federal National Mortgage Association (FNMA) TBA(g) 3.000% (3,036,797) (2.04)

TOTAL COVERED FORWARD MORTGAGE BACKED SECURITIES

(cost USD (3 ,036 ,562) ) (3,036,797) (2.04)





AUD

21 Australian Treasury Bonds 3YR Futures 15/06/2015 Long 1,798,750 749 0.00

CAD


EUR

8 Euro OAT 08/06/2015 Long 1,340,747 17,142 0.01



18,583,724 71,218 0.05

GBP

17 UK Long Gilt Bond Futures 28/09/2015 Long 3,060,834 23,454 0.01

USD



8,890,430 9,422 0.01





EUR


44 German Federal Republic Bonds 10YR Futures 08/06/2015 Long 7,513,445 (1,133) (0.00)


15,311,035 (84,946) (0.06)

USD



(1,338,469) (2,140) (0.00)



% of



Maturity Date(b)

USD Equity

249



As at 31 May 2015


Unrealised % of



USD 45,236 MXN 685,548 04/06/2015 499 0.00

USD 1,879,178 JPY 224,704,593 09/06/2015 65,070 0.04

ILS 881,000 USD 223,519 10/06/2015 4,140 0.00

TRY 698,000 USD 254,889 12/06/2015 7,671 0.01

USD 1,659,049 EUR 1,489,818 15/06/2015 20,653 0.02

USD 327,424 CAD 393,528 25/06/2015 12,312 0.01

SGD 363,548 USD 269,344 13/07/2015 33 0.00

USD 620,851 GBP 403,603 15/07/2015 3,953 0.00




JPY 1,170,031,910 USD 9,824,887 09/06/2015 (378,869) (0.26)

USD 328,399 MXN 5,135,176 11/06/2015 (6,531) (0.01)

USD 434,704 MXN 6,730,000 12/06/2015 (4,212) (0.00)

USD 401,613 ZAR 4,938,000 12/06/2015 (4,801) (0.00)

EUR 6,533,580 USD 7,244,234 15/06/2015 (59,069) (0.04)

PLN 467,000 USD 125,157 18/06/2015 (681) (0.00)

USD 535,882 DKK 3,712,000 18/06/2015 (11,522) (0.01)

USD 320,399 MXN 4,964,904 18/06/2015 (3,256) (0.00)

USD 74,234 PLN 281,000 18/06/2015 (665) (0.00)

CAD 1,833,000 USD 1,515,070 25/06/2015 (47,318) (0.03)

CHF 322,000 USD 348,806 25/06/2015 (4,493) (0.00)

NOK 1,609,000 USD 212,530 26/06/2015 (5,633) (0.00)

USD 47,257 MXN 728,218 02/07/2015 (165) (0.00)

AUD 1,763,000 USD 1,372,099 13/07/2015 (25,567) (0.02)

NZD 332,859 USD 241,612 13/07/2015 (5,166) (0.00)

USD 250,320 MXN 3,861,685 23/07/2015 (780) (0.00)

KRW 373,021,000 USD 343,292 24/07/2015 (8,629) (0.01)

MYR 1,713,000 USD 467,611 24/07/2015 (1,993) (0.00)

USD 47,010 MXN 728,867 01/10/2015 (150) (0.00)






Interest Rate Swaps


460,000 Floating (CHF 6 month LIBOR) Fixed 0.250% CHF 17/06/2020 1,832 0.00



1,600,000 Floating (EUR 6 month EURIBOR) Fixed 0.550% EUR 22/05/2020 688 0.00









162,250,000 Floating (JPY 6 month LIBOR) Fixed 0.250% JPY 17/06/2020 482 0.00







30,000 Floating (USD 3 month LIBOR) Fixed 2.250% USD 17/06/2020 261 0.00





250



As at 31 May 2015













Interest Rate Swaps

480,000 Floating (AUD 6 month BBSW) Fixed 3.000% AUD 17/06/2025 (10,010) (0.01)


325,000 Floating (CHF 6 month LIBOR) Fixed 0.250% CHF 17/06/2025 (3,803) (0.00)





3,170,000 Floating (EUR 6 month EURIBOR) Fixed 1.567% EUR 11/05/2025 (6,938) (0.00)




520,000 Floating (GBP 6 month LIBOR) Fixed 1.500% GBP 17/06/2025 (6,926) (0.00)












255,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2045 (2,699) (0.00)




(cost USD 143 ,959 ,645) 141,163,034 94.62



% of



Total Investments excluding derivatives (cost USD (3,036,562)) 144,616,094 96.93

Market value of covered forward mortgage backed securities (cost USD 145,746,207) (3,036,797) (2.04)









Rates disclosed for Corporate Bonds, Government Bonds, Municipal Bonds, Agencies and Non-Agencies Asset Backed Obligations, Commercial Papers and Covered Forward

Mortgage Backed Securities are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc. Wholesale, Barclays Capital, Inc., BNP Paribas S.A., Citibank NA London, Credit

Suisse International, Deutsche Bank AG, HSBC Bank Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley and Co. International, Royal Bank of

Canada, Royal Bank of Scotland Plc., State Street Bank London, UBS AG London and Westpac Banking Corp.,




251



As at 31 May 2015








(g) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/–2.5%) principal amount and no defined maturity date. The

actual principal amount and maturity date will be determined upon settlement when the specific mortgage pools are assigned.

(h) These represent TBA sales covered by long FNMA positions. These amounts are disclosed separately as Covered Forward Mortgage Backed Securities in the Statement of

Assets and Liabilities.


252



As at 31 May 2015



Australia









4,122,518 0.95

Belgium

1,200,000 KBC Groep NV(c) EUR 1.875% 11/03/2027 1,179,288 0.27

Bermuda





723,575 0.17

Cayman Islands


Denmark

1,850,000 TDC A/S EUR 1.750% 27/02/2027 1,797,562 0.41

France


1,100,000 BPCE S.A. EUR 0.750% 22/01/2020 1,103,135 0.26







200,000 Gecina S.A. EUR 4.250% 03/02/2016 205,586 0.05

400,000 Klepierre EUR 1.000% 17/04/2023 393,776 0.09

50,000 Orange S.A. USD 5.375% 13/01/2042 50,188 0.01

300,000 Orange S.A. USD 5.500% 06/02/2044 305,746 0.07

800,000 TOTAL S.A.(c) EUR 2.625% 29/12/2049 799,000 0.18

1,100,000 TOTAL S.A.(c) EUR 2.250% 29/12/2049 1,111,693 0.26

8,448,599 1.95

Germany

750,000 Bayer AG(c) EUR 2.375% 02/04/2075 743,284 0.17

1,500,000 KFW EUR 0.050% 30/11/2017 1,505,145 0.35

2,248,429 0.52

Hong Kong


Ireland

100,000 Aquarius and Investments Plc. for Zurich Insurance Co., Ltd.(c) EUR 4.250% 02/10/2043 115,172 0.03



2,200,000 Ryanair Ltd. EUR 1.125% 10/03/2023 2,141,898 0.49

3,040,706 0.70

Italy

500,000 2i Rete Gas SpA EUR 1.125% 02/01/2020 502,068 0.11



800,000 CDP Reti SpA EUR 1.875% 29/05/2022 809,928 0.19



5,865,412 1.35

% of



Maturity Date(b)

EUR Equity

Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged)

253



As at 31 May 2015


Japan

1,500,000 Bank of Tokyo-Mitsubishi UFJ Ltd. EUR 0.875% 11/03/2022 1,486,740 0.34

1,000,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 144A(d) USD 1.700% 05/03/2018 910,935 0.21

2,397,675 0.55

Jersey

1,100,000 Delphi Automotive Plc. EUR 1.500% 10/03/2025 1,063,854 0.25

Luxembourg









1,464,834 0.34

Mexico


Netherlands








1,400,000 Gas Natural Fenosa Finance BV EUR 1.375% 21/01/2025 1,375,745 0.32


300,000 Iberdrola International BV EUR 1.125% 27/01/2023 297,383 0.07

400,000 ING Bank NV(c) EUR 0.399% 20/11/2019 401,884 0.09

250,000 ING Bank NV(c) EUR 6.125% 29/05/2023 286,391 0.07

2,300,000 ING Bank NV(c) USD 4.125% 21/11/2023 2,175,226 0.50

250,000 ING Bank NV(c) EUR 3.625% 25/02/2026 274,325 0.06


350,000 LyondellBasell Industries NV USD 5.000% 15/04/2019 349,250 0.08


8,257,623 1.91

Spain


Switzerland

1,200,000 Credit Suisse AG(c) EUR 0.477% 15/12/2017 1,206,312 0.28


150,000 UBS AG(c) EUR 4.750% 12/02/2026 164,513 0.04

1,543,632 0.36



United Kingdom



1,650,000 BAT International Finance Plc. EUR 1.250% 13/03/2027 1,582,276 0.37

50,000 British Telecommunications Plc. GBP 6.625% 23/06/2017 76,692 0.02


50,000 FCE Bank Plc. GBP 5.125% 16/11/2015 70,707 0.02

1,550,000 FCE Bank Plc. EUR 1.625% 09/09/2016 1,568,081 0.36


160,000 HSBC Holdings Plc. USD 6.800% 01/06/2038 188,655 0.04




6,535,670 1.51

% of



Maturity Date(b)

EUR Equity


254



As at 31 May 2015


United States

200,000 AbbVie, Inc. USD 3.200% 06/11/2022 182,597 0.04

450,000 AbbVie, Inc. USD 1.750% 06/11/2017 410,947 0.10

500,000 AbbVie, Inc. USD 2.500% 14/05/2020 455,208 0.11

250,000 AbbVie, Inc. USD 3.600% 14/05/2025 229,128 0.05




200,000 Apache Corp. USD 3.250% 15/04/2022 182,862 0.04

100,000 Apache Corp. USD 4.750% 15/04/2043 89,136 0.02

400,000 Apache Corp. USD 4.250% 15/01/2044 333,812 0.08

50,000 AT&T, Inc. USD 2.950% 15/05/2016 46,340 0.01

300,000 AT&T, Inc. USD 2.450% 30/06/2020 270,030 0.06

350,000 AT&T, Inc. USD 3.000% 30/06/2022 312,444 0.07

250,000 AT&T, Inc. USD 3.400% 15/05/2025 220,427 0.05

50,000 AT&T, Inc. USD 4.500% 15/05/2035 43,333 0.01

50,000 AT&T, Inc. USD 5.550% 15/08/2041 48,028 0.01

50,000 AT&T, Inc. USD 4.750% 15/05/2046 43,236 0.01













500,000 Caterpillar Financial Services Corp. USD 1.250% 06/11/2017 456,459 0.11



















2,000,000 General Electric Capital Corp. MXN 8.500% 06/04/2018 129,856 0.03

300,000 General Electric Capital Corp. USD 4.650% 17/10/2021 307,587 0.07


950,000 HCP, Inc. USD 2.625% 01/02/2020 865,702 0.20

1,215,000 HCP, Inc. USD 5.375% 01/02/2021 1,237,163 0.29

150,000 HCP, Inc. USD 4.250% 15/11/2023 140,421 0.03



150,000 Humana, Inc. USD 3.850% 01/10/2024 140,586 0.03




400,000 Molson Coors Brewing Co. USD 3.500% 01/05/2022 372,653 0.09


550,000 Monsanto Co. USD 4.400% 15/07/2044 476,425 0.11







% of



Maturity Date(b)

EUR Equity


255



As at 31 May 2015






200,000 Mosaic Co. USD 4.250% 15/11/2023 191,880 0.04

950,000 Oracle Corp. USD 2.950% 15/05/2025 848,929 0.20

150,000 Prologis LP EUR 3.000% 18/01/2022 162,466 0.04

350,000 Prologis LP EUR 3.375% 20/02/2024 390,511 0.09

450,000 Regions Financial Corp. USD 2.000% 15/05/2018 409,381 0.09


850,000 SABMiller Holdings, Inc. EUR 1.875% 20/01/2020 894,319 0.21



100,000 Sysco Corp. USD 2.350% 02/10/2019 92,359 0.02

50,000 Sysco Corp. USD 3.000% 02/10/2021 46,328 0.01

200,000 Sysco Corp. USD 3.500% 02/10/2024 185,728 0.04

150,000 Sysco Corp. USD 4.350% 02/10/2034 140,339 0.03

150,000 Sysco Corp. USD 4.500% 02/10/2044 138,380 0.03





1,500,000 Ventas Realty LP USD 3.500% 01/02/2025 1,340,478 0.31










40,311,564 9.31


(cost EUR 85 ,006 ,245) 90,955,780 21.00


Australia

2,300,000 Australia Government Bond—Series 133 AUD 5.500% 21/04/2023 1,937,950 0.45

Austria


2,880,000 Austria Government Bond 144A(d) EUR 3.400% 22/11/2022 3,515,904 0.81

4,262,144 0.98

Belgium



2,320,000 Belgium Government Bond—Series 68 EUR 2.250% 22/06/2023 2,629,128 0.61


3,802,329 0.88

Brazil



839,161 0.19

Canada


50,000 Province of Quebec Canada USD 5.125% 14/11/2016 48,362 0.01

3,852,720 0.89

Chile

160,000 Chile Government International Bond USD 3.625% 30/10/2042 137,693 0.03


% of



Maturity Date(b)

EUR Equity

256



As at 31 May 2015


Colombia

1,113,000 Colombia Government International Bond USD 4.000% 26/02/2024 1,032,477 0.24

Czech Republic


Denmark



761,340 0.18

Finland

170,000 Finland Government Bond 144A(d) EUR 4.375% 04/07/2019 200,504 0.05

France

5,800,000 France Government Bond OAT EUR 2.500% 25/10/2020 6,520,650 1.51




14,408,041 3.33

Germany

1,200,000 Bundesrepublik Deutschland EUR 2.250% 04/09/2021 1,359,636 0.31






3,335,000 Bundesrepublik Deutschland—Series 5 EUR 4.000% 04/01/2037 5,257,861 1.21

3,700,000 FMS Wertmanagement AoeR EUR 1.625% 22/02/2017 3,808,373 0.88

200,000 KFW AUD 6.000% 20/08/2020 161,177 0.04

1,000,000 KFW SEK 5.000% 01/12/2020 131,812 0.03

25,724,894 5.94

Indonesia



835,751 0.19

Italy






2,140,000 Italy Buoni Poliennali Del Tesoro 144A(d) EUR 3.500% 01/03/2030 2,457,535 0.57

18,927,300 4.37

Japan

2,334,900,000 Japan Government Bond—Series 110 JPY 0.300% 20/03/2018 17,293,701 3.99









56,894,786 13.13

Korea

663,000,000 Korea Treasury Bond—Series 2006 KRW 5.000% 10/06/2020 635,195 0.15


907,657 0.21


% of



Maturity Date(b)

EUR Equity

257



As at 31 May 2015


Mexico










2,932,691 0.68

Netherlands

2,900,000 Netherlands Government Bond EUR 2.000% 15/07/2024 3,268,590 0.75

1,520,000 Netherlands Government Bond 144A(d) EUR 4.500% 15/07/2017 1,672,076 0.39

4,940,666 1.14

Poland



1,170,000 Poland Government Bond—Series 725 PLN 3.250% 25/07/2025 291,708 0.07

602,035 0.14

South Africa

4,360,000 South Africa Government Bond—Series R186 ZAR 10.500% 21/12/2026 383,447 0.08


1,360,325 0.31

Spain

6,540,000 Spain Government Bond EUR 4.500% 31/01/2018 7,274,195 1.68

1,840,000 Spain Government Bond 144A(d) EUR 5.400% 31/01/2023 2,354,277 0.55







13,474,152 3.11

Sweden

11,475,000 Sweden Government Bond—Series 1058 SEK 2.500% 12/05/2025 1,444,410 0.33

Turkey




515,597 0.12

United Kingdom





30,000 United Kingdom Gilt GBP 3.500% 22/01/2045 50,188 0.01


17,745,517 4.10

United States



9,250,000 United States Treasury Note/Bond USD 2.125% 30/06/2021 8,589,987 1.98

40,000 United States Treasury Note/Bond USD 2.500% 15/05/2024 37,621 0.01


13,779,279 3.18


(cost EUR 183 ,619 ,350) 191,627,934 44.24


% of



Maturity Date(b)

EUR Equity

258



As at 31 May 2015




900,000 European Financial Stability Facility—Series 5Y EUR 0.875% 16/04/2018 923,445 0.21

600,000 European Investment Bank SEK 5.000% 01/12/2020 79,206 0.02

2,220,484 0.51


(cost EUR 2 ,182 ,153) 2,220,484 0.51


Ireland


TOTAL MUTUAL FUNDS

(cost EUR 1 ,694 ,763) 1,694,763 0.39


(cost EUR 272 ,502 ,511) 286,498,961 66.14



Australia


200,000 QBE Insurance Group Ltd. 144A(d) USD 2.400% 01/05/2018 183,635 0.04

402,298 0.09

Canada


France




1,337,095 0.31

Italy



1,961,494 0.45

Mexico


230,000 Trust F/1401 USD 5.250% 15/12/2024 221,100 0.05

458,897 0.11



United Kingdom



388,794 0.09

United States




350,000 Apple, Inc. USD 3.850% 04/05/2043 297,797 0.07

3,500,000 Barclays Bank Plc. USD 0.000% 13/04/2016 3,183,251 0.74



60,000 Comcast Corp. USD 6.400% 15/05/2038 69,208 0.02

700,000 Comcast Corp. USD 4.500% 15/01/2043 653,303 0.15



1,650,000 EMD Finance LLC 144A(d) USD 3.250% 19/03/2025 1,483,767 0.34



% of



Maturity Date(b)

EUR Equity

259



As at 31 May 2015




50,000 Glencore Funding LLC 144A(d) USD 4.125% 30/05/2023 45,375 0.01











350,000 Staples, Inc. USD 2.750% 12/01/2018 321,191 0.07


800,000 US Bank NA USD 2.800% 27/01/2025 714,526 0.17



200,000 Walgreen Co. USD 1.800% 15/09/2017 183,314 0.04








19,403,380 4.48


(cost EUR 22 ,405 ,827) 24,715,133 5.71


United States

500,000 Federal Farm Credit Banks USD 3.500% 20/12/2023 497,553 0.12



7,450,008 1.72


(cost EUR 6 ,042 ,219) 7,450,008 1.72


United States





2,600,000 Federal Home Loan Mortgage Corp. (FHLMC) USD 3.111% 25/02/2023 2,483,947 0.57













1,000,000 Federal National Mortgage Association (FNMA) USD 2.377% 25/05/2022 911,701 0.21











% of



Maturity Date(b)

EUR Equity

260



As at 31 May 2015










































































% of



Maturity Date(b)

EUR Equity

261



As at 31 May 2015































37,468,606 8.65


(cost EUR 32 ,043 ,080) 37,468,606 8.65


Australia

120,328 Reds EHP Trust "A"(c) AUD 3.050% 18/03/2019 83,939 0.02

Cayman Islands



2,100,000 CIFC Funding Ltd. "A1L" 144A(c)(d) USD 1.762% 24/05/2026 1,910,954 0.44

2,650,000 Crown Point CLO Ltd. "A" 144A(c)(d) USD 1.803% 31/12/2027 2,388,756 0.55

1,600,000 Greywolf CLO V Ltd. "A1" 144A(c)(d) USD 1.871% 25/04/2027 1,457,437 0.34

350,000 Greywolf CLO V Ltd. "A2" 144A(c)(d) USD 2.671% 25/04/2027 320,026 0.07

1,900,000 Halcyon Loan Advisors Funding Ltd. "A" 144A(c)(d) USD 1.721% 20/04/2027 1,718,564 0.40

1,350,000 Halcyon Loan Advisors Funding Ltd. "A1" 144A(c)(d) USD 1.805% 18/04/2026 1,223,865 0.28




2,300,000 Magnetite VIII Ltd. "A" 144A(c)(d) USD 1.755% 15/04/2026 2,093,228 0.48





1,150,000 Trinitas CLO Ltd. "A1" 144A(c)(d) USD 1.805% 15/04/2026 1,045,207 0.24




27,422,948 6.33

Italy

825,958 Quadrivio Finance Srl "A1"(c) EUR 0.498% 25/07/2060 825,507 0.19


% of



Maturity Date(b)

EUR Equity

262



As at 31 May 2015


United Kingdom



1,066,966 Aire Valley Mortgages Plc. "2A1" 144A(c)(d) USD 0.510% 20/09/2066 940,442 0.22



984,440 EMF-UK Plc. "A1A"(c) GBP 1.542% 13/03/2046 1,345,299 0.31




2,051,922 Granite Master Issuer Plc. "6A1"(c) GBP 0.697% 20/12/2054 2,842,438 0.66

322,445 Granite Master Issuer Plc. 3A1(c) USD 0.363% 17/12/2054 292,026 0.07

555,972 Leek Finance Number Eighteen Plc. "A2B"(c) USD 0.525% 21/09/2038 525,578 0.12




280,718 Paragon Mortgages No 19 Plc. "A"(c) GBP 1.417% 15/08/2041 390,400 0.09


182,310 Thrones Plc. "A"(c) GBP 2.069% 20/07/2044 255,485 0.06

1,500,000 Warwick Finance Residential Mortgages Number One Plc. "A"(c) GBP 1.634% 21/09/2049 2,070,429 0.48

17,138,827 3.96

United States


1,111,913 Alternative Loan Trust "2A1"(c) USD 0.375% 25/11/2046 840,378 0.19


1,668,930 American Home Mortgage Assets Trust "1A1"(c) USD 1.107% 25/09/2046 1,095,013 0.25


90,896 Banc of America Commercial Mortgage Trust ‘‘A4’’ USD 5.451% 15/01/2049 87,492 0.02

838,561 Bear Stearns Asset Backed Securities I Trust "A2" USD 6.000% 25/03/2037 504,650 0.12

2,331,931 COMM Mortgage Trust "A1A"(c) USD 5.796% 10/12/2049 2,281,744 0.53

674,868 Credit Suisse Commercial Mortgage Trust "A1A" USD 5.361% 15/02/2040 643,938 0.15

3,958,689 Credit Suisse Commercial Mortgage Trust "A1A"(c) USD 5.526% 15/01/2049 3,783,707 0.87


1,125,858 Deutsche Alt-A Securities Mortgage Loan Trust "A1"(c) USD 0.325% 25/07/2047 878,925 0.20

280,000 Freddie Mac Structured Agency Credit Risk Debt Notes "M3"(c) USD 3.480% 25/10/2027 255,009 0.06


161,914 KnowledgeWorks Foundation "A"(c) USD 1.232% 25/02/2042 148,276 0.03

2,126,120 LB Commercial Mortgage Trust "A1A"(c) USD 5.858% 15/07/2044 2,094,611 0.48

814,246 Lehman XS Trust Series "1A1"(c) USD 0.485% 25/11/2035 642,855 0.15

1,128,778 Lehman XS Trust Series "1A1A"(c) USD 0.375% 25/09/2046 855,924 0.20

300,000 Morgan Stanley Bank of America Merrill Lynch Trust "A4" USD 3.102% 15/05/2046 280,605 0.07



1,123,917 RALI Trust "A3"(c) USD 0.781% 25/06/2037 659,804 0.15

1,100,000 RASC Trust "A4"(c) USD 0.425% 25/09/2036 868,062 0.20

700,000 Soundview Home Loan Trust 2007-NS1 "A3"(c) USD 0.385% 25/01/2037 517,187 0.12


18,564,870 4.28


(cost EUR 56 ,733 ,163) 64,036,091 14.78


United States



347,887 0.08


(cost EUR 227 ,039) 347,887 0.08


(cost EUR 117 ,451 ,328) 134,017,725 30.94


% of



Maturity Date(b)

EUR Equity

263



As at 31 May 2015



Cayman Islands

641,000 Brazil Minas SPE via State of Minas Gerais USD 5.333% 15/02/2028 569,120 0.13

United States

530,000 HSBC Bank USA NA Via New York NY—Series CLN BRL 6.000% 15/08/2040 416,217 0.10


(cost EUR 986 ,159) 985,337 0.23


Canada

1,400,000 Canadian Government Bond CAD 2.750% 01/06/2022 1,117,288 0.26




200,000 Province of Ontario Canada CAD 4.400% 02/06/2019 163,674 0.04

2,000,000 Province of Ontario Canada CAD 4.000% 02/06/2021 1,645,769 0.38



7,601,226 1.75


(cost EUR 7 ,045 ,351) 7,601,226 1.75


(cost EUR 14 ,058 ,529) 14,579,551 3.36


(cost EUR 397 ,985 ,349) 429,103,249 99.06





AUD

14 Australian Treasury Bonds 3YR Futures 15/06/2015 Long 956,090 454 0.00

CAD


EUR




50,780,890 264,550 0.06

GBP

6 UK Long Gilt Bond Futures 28/09/2015 Long 982,488 7,537 0.00

JPY

2 Japan Government Bonds 10YR Futures 11/06/2015 Long 2,167,821 6,901 0.00

USD

20 US Treasury Bond Ultra Long Futures 21/09/2015 Long 2,896,071 4,682 0.00



32,685,859 50,923 0.02



% of



Maturity Date(b)

EUR Equity

264



As at 31 May 2015

Futures Contracts – (continued)




AUD


EUR


(10) German Federal Republic Bonds 10YR Futures 08/06/2015 Short (1,553,000) (2,600) (0.00)

2,091,730 (146,910) (0.03)

USD




Unrealised % of



EUR 60,237,041 JPY 7,684,404,125 09/06/2015 3,819,945 0.88

EUR 1,526,093 MXN 25,424,000 12/06/2015 18,300 0.01

EUR 1,387,522 ZAR 18,275,893 12/06/2015 19,704 0.01

EUR 188,784,978 USD 204,718,293 15/06/2015 2,631,518 0.61

USD 9,760,175 EUR 8,850,951 15/06/2015 24,124 0.01

EUR 689,737 DKK 5,139,878 18/06/2015 530 0.00

EUR 610,696 PLN 2,488,431 18/06/2015 7,592 0.00

EUR 11,994,479 CAD 16,341,330 25/06/2015 97,529 0.02

EUR 1,735,665 SEK 16,047,000 26/06/2015 17,509 0.00

USD 450,855 BRL 1,427,000 02/07/2015 4,951 0.00

EUR 2,245,743 AUD 3,150,000 13/07/2015 58,874 0.01

EUR 30,574,481 GBP 21,653,000 15/07/2015 492,226 0.11

USD 768,718 KRW 835,289,000 24/07/2015 17,560 0.00

UNREALISED GAIN ON FORWARD CURRENCY CONTRACTS 7,210,362 1.66

Unrealised % of



EUR 353,418 CZK 9,699,000 18/06/2015 (962) (0.00)

CAD 749,984 EUR 548,048 25/06/2015 (2,038) (0.00)


Share Class Specific Forward Currency Contracts – (0.88%)

Unrealised % of



CHF 7,097,000 EUR 6,855,132 25/06/2015 44,534 0.01

EUR 2,370,632 GBP 1,705,333 15/07/2015 1,433 0.00


Unrealised % of



EUR 11,897,955 USD 13,280,186 15/06/2015 (177,919) (0.04)

USD 183,030,118 EUR 168,389,301 15/06/2015 (1,957,229) (0.46)

EUR 109,317 CHF 113,782 25/06/2015 (1,301) (0.00)

GBP 76,254,917 EUR 107,636,897 15/07/2015 (1,696,849) (0.39)



265



As at 31 May 2015



Unrealised % of


Holdings Security Description EUR EUR Equity

Purchased Options

USD


(2,890) 15,232 0.00


(cost EUR 18 ,122) 15,232 0.00





Interest Rate Swaps

2,390,000 Fixed 3.000% Floating (AUD 6 month BBSW) AUD 17/06/2025 13,406 0.00


















49,200,000 Floating (JPY 6 month LIBOR) Fixed 0.750% JPY 17/06/2025 109 0.00


1,060,000 Floating (NZD 3 month NZDBB) Fixed 3.750% NZD 17/06/2025 352 0.00

















Interest Rate Swaps

1,375,000 Floating (CHF 6 month LIBOR) Fixed 0.250% CHF 17/06/2025 (3,684) (0.00)














266



As at 31 May 2015






Interest Rate Swaps – (continued)















(cost EUR 398 ,003 ,471) 432,500,058 99.84



% of






Unrealised gain on forward currency contracts 7,210,362 1.66




Market value of purchased options (cost EUR 18,122) 15,232 0.00





Rates disclosed for Corporate Bonds, Government Bonds, Supranationals, Agencies and Non-Agencies Asset Backed Obligations and Municipal Bonds are those that were in effect

at 31 May 2015.


The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A., Citibank NA London, Credit Suisse International, Deutsche Bank

AG, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank NA London, Morgan Stanley and Co. International, Royal Bank of Scotland Plc., State Street Bank &

Trust, UBS AG London and Westpac Banking Corp.


The counterparty for options contracts was Deutsche Bank AG Frankfurt.








(f) The yield for this fund as at 31 May 2015 was (0.012%).



267



As at 31 May 2015



Australia

16,600,000 Emeco Pty Ltd. 144A(c) USD 9.875% 15/03/2019 13,010,250 0.15

Bermuda

5,000,000 Aircastle Ltd. USD 4.625% 15/12/2018 5,237,500 0.06



29,590,000 0.34

Cayman Islands



47,892,125 0.55

France



45,000,000 Numericable-SFR SAS 144A(c) USD 6.000% 15/05/2022 45,534,600 0.52

62,408,557 0.71

Ireland

6,275,000 Ardagh Packaging Finance Plc. 144A(c) USD 6.250% 31/01/2019 6,431,875 0.07


18,851,875 0.21

Italy

30,000,000 Telecom Italia SpA 144A(c) USD 5.303% 30/05/2024 31,350,000 0.36

Japan

63,000,000 SoftBank Corp. 144A(c) USD 4.500% 15/04/2020 65,021,250 0.74

Luxembourg

8,000,000 Aguila 3 S.A. CHF 7.875% 31/01/2018 8,716,534 0.10

9,400,000 Altice Financing S.A. 144A(c) USD 6.500% 15/01/2022 9,693,750 0.11


15,000,000 Altice Finco S.A. 144A(c) USD 8.125% 15/01/2024 16,012,500 0.18

2,000,000 Altice Finco S.A. 144A(c) USD 7.625% 15/02/2025 2,060,000 0.02



7,900,000 Matterhorn Telecom Holding S.A. EUR 4.875% 01/05/2023 8,527,917 0.10

10,050,000 SIG Combibloc Holdings SCA EUR 7.750% 15/02/2023 11,671,569 0.13

5,600,000 Telecom Italia Capital S.A. USD 6.999% 04/06/2018 6,214,093 0.07



26,000,000 Wind Acquisition Finance S.A. 144A(c) USD 4.750% 15/07/2020 26,192,400 0.30

37,950,000 Wind Acquisition Finance S.A. 144A(c) USD 7.375% 23/04/2021 39,942,375 0.45

183,566,896 2.09

Netherlands

23,500,000 Constellium NV 144A(c) USD 5.750% 15/05/2024 22,325,000 0.25

25,000,000 ING Groep NV(d) USD 6.500% 29/12/2049 24,937,500 0.28

10,750,000 Schaeffler Finance BV 144A(c) USD 4.750% 15/05/2023 10,911,250 0.13

27,000,000 Schaeffler Holding Finance BV 144A(c) USD 6.750% 15/11/2022 29,666,250 0.34

5,000,000 UPC Holding BV CHF 6.750% 15/03/2023 5,877,718 0.07

93,717,718 1.07

Switzerland

14,000,000 Credit Suisse Group AG 144A(c)(d) USD 6.250% 29/12/2049 13,825,000 0.15


24,950,000 UBS Group AG(d) USD 7.125% 29/12/2049 26,163,693 0.30

68,851,943 0.78

% of



Maturity Date(b)

USD Equity

Goldman Sachs Funds—Global High Yield Portfolio

268



As at 31 May 2015


United Kingdom

16,700,000 HSBC Holdings Plc.(d) USD 6.375% 29/12/2049 17,201,000 0.20

20,000,000 Inmarsat Finance Plc. 144A(c) USD 4.875% 15/05/2022 19,950,000 0.23

1,400,000 International Game Technology Plc. 144A(c) USD 5.625% 15/02/2020 1,382,500 0.01



15,000,000 R&R Ice Cream Plc. AUD 8.250% 15/05/2020 11,673,151 0.13

11,000,000 Royal Bank of Scotland Plc.(d) USD 9.500% 16/03/2022 12,375,000 0.14

19,300,000 Standard Chartered Plc.(d) USD 6.500% 29/12/2049 19,654,734 0.22

29,709,000 Virgin Media Secured Finance Plc. 144A(c) USD 5.375% 15/04/2021 31,342,995 0.36

133,921,630 1.52

United States

13,500,000 AK Steel Corp. USD 7.625% 15/05/2020 12,082,500 0.14

9,000,000 AK Steel Corp. USD 7.625% 01/10/2021 7,650,000 0.09

8,000,000 Alcatel-Lucent USA, Inc. USD 6.450% 15/03/2029 8,680,000 0.10

6,757,000 Alcoa, Inc. USD 6.150% 15/08/2020 7,618,146 0.09

20,400,000 Alcoa, Inc. USD 5.125% 01/10/2024 21,904,500 0.25

20,000,000 Ally Financial, Inc. USD 6.250% 01/12/2017 21,500,000 0.24



15,000,000 Antero Resources Corp. USD 5.375% 01/11/2021 15,225,000 0.17

10,850,000 Asbury Automotive Group, Inc. USD 6.000% 15/12/2024 11,392,500 0.13

2,000,000 Ashland, Inc. USD 3.875% 15/04/2018 2,070,000 0.02

25,000,000 Ashtead Capital, Inc. 144A(c) USD 5.625% 01/10/2024 26,125,000 0.30

20,000,000 Berry Petroleum Co. LLC USD 6.375% 15/09/2022 16,700,000 0.19

20,000,000 Calpine Corp. USD 5.375% 15/01/2023 20,200,000 0.23

14,550,000 CBRE Services, Inc. USD 5.250% 15/03/2025 15,604,875 0.18

11,000,000 Chesapeake Energy Corp. USD 6.625% 15/08/2020 11,632,500 0.13




9,000,000 Cimarex Energy Co. USD 4.375% 01/06/2024 9,292,500 0.11

20,000,000 CIT Group, Inc. USD 5.250% 15/03/2018 20,950,000 0.24

15,479,000 CIT Group, Inc. USD 5.375% 15/05/2020 16,485,135 0.19

6,300,000 Clearwater Paper Corp. USD 4.500% 01/02/2023 6,205,500 0.07

12,150,000 Cloud Peak Energy Resources LLC

Via Cloud Peak Energy Finance Corp. USD 8.500% 15/12/2019 11,664,000 0.13

2,050,000 CNO Financial Group, Inc. USD 4.500% 30/05/2020 2,121,750 0.02

2,100,000 CNO Financial Group, Inc. USD 5.250% 30/05/2025 2,184,000 0.03

2,350,000 Commercial Metals Co. USD 4.875% 15/05/2023 2,226,625 0.03

41,375,000 Community Health Systems, Inc. USD 5.125% 15/08/2018 42,823,125 0.49



14,950,000 Concho Resources, Inc. USD 5.500% 01/10/2022 15,342,437 0.17

9,000,000 Concho Resources, Inc. USD 5.500% 01/04/2023 9,202,500 0.10

3,550,000 Constellation Brands, Inc. USD 3.750% 01/05/2021 3,576,625 0.04



20,000,000 CoreLogic, Inc. USD 7.250% 01/06/2021 21,425,000 0.24

27,250,000 Crown Castle International Corp. USD 5.250% 15/01/2023 28,885,000 0.33

7,000,000 CSC Holdings LLC USD 8.625% 15/02/2019 8,015,000 0.09

15,500,000 CVR Refining LLC Via Coffeyville Finacne, Inc. USD 6.500% 01/11/2022 15,887,500 0.18

10,000,000 DR Horton, Inc. USD 3.750% 01/03/2019 10,150,000 0.12

7,200,000 DR Horton, Inc. USD 4.000% 15/02/2020 7,272,000 0.08

7,000,000 DR Horton, Inc. USD 4.750% 15/02/2023 7,113,750 0.08

7,850,000 ExamWorks Group, Inc. USD 5.625% 15/04/2023 8,105,125 0.09

17,250,000 Felcor Lodging LP USD 5.625% 01/03/2023 18,112,500 0.21

5,350,000 Frontier Communications Corp. USD 8.125% 01/10/2018 5,925,125 0.07


20,863,000 Gulfmark Offshore, Inc. USD 6.375% 15/03/2022 17,055,502 0.19

5,050,000 HCA, Inc. USD 3.750% 15/03/2019 5,144,688 0.06

60,000,000 HCA, Inc. USD 6.500% 15/02/2020 67,200,000 0.77

40,000,000 HCA, Inc. USD 7.500% 15/02/2022 46,850,000 0.53

20,000,000 HCA, Inc. USD 4.750% 01/05/2023 20,750,000 0.24

32,200,000 HCA, Inc. USD 5.000% 15/03/2024 33,689,250 0.38

43,450,000 HCA, Inc. USD 5.250% 15/04/2025 46,057,000 0.52

21,850,000 HRG Group, Inc. USD 7.875% 15/07/2019 23,161,000 0.26

25,875,000 Huntsman International LLC USD 4.875% 15/11/2020 26,327,812 0.30


17,000,000 Illinois Power Generating Co. USD 6.300% 01/04/2020 16,086,250 0.18

7,015,000 Illinois Power Generating Co.—Series H USD 7.000% 15/04/2018 6,830,856 0.08

% of



Maturity Date(b)

USD Equity


269



As at 31 May 2015



40,000,000 International Lease Finance Corp USD 5.875% 01/04/2019 43,900,000 0.50



9,950,000 iStar Financial, Inc. USD 4.000% 01/11/2017 9,850,500 0.11

20,000,000 L Brands, Inc. USD 6.625% 01/04/2021 22,725,000 0.26

23,450,000 Laredo Petroleum, Inc. USD 5.625% 15/01/2022 23,743,125 0.27



5,000,000 Lennar Corp. USD 6.950% 01/06/2018 5,525,000 0.06

9,000,000 Lennar Corp. USD 4.500% 15/11/2019 9,270,000 0.11

15,000,000 Level 3 Financing, Inc. USD 7.000% 01/06/2020 16,143,750 0.18


28,000,000 Magnum Hunter Resources Corp. USD 9.750% 15/05/2020 24,220,000 0.28

7,000,000 Meritage Homes Corp. USD 7.150% 15/04/2020 7,603,750 0.09


35,000,000 MGM Resorts International USD 6.750% 01/10/2020 38,106,250 0.43




20,000,000 MPT Operating Partnership LP Via MPT Finance Corp. USD 6.875% 01/05/2021 21,525,000 0.25

35,000,000 MPT Operating Partnership LP Via MPT Finance Corp. USD 6.375% 15/02/2022 37,843,750 0.43

28,000,000 Nationstar Mortgage LLC Via Nationstar Capital Corp. USD 6.500% 01/08/2018 28,420,000 0.32



9,560,000 NCR Corp. USD 5.000% 15/07/2022 9,464,400 0.11

2,778,000 NCR Corp. USD 6.375% 15/12/2023 2,882,175 0.03

13,250,000 Newfield Exploration Co. USD 5.375% 01/01/2026 13,746,875 0.16

10,450,000 NRG Energy, Inc. USD 6.250% 01/05/2024 10,711,250 0.12

10,350,000 Oasis Petroleum, Inc. USD 6.875% 15/03/2022 10,660,500 0.12

20,000,000 Peabody Energy Corp. USD 6.000% 15/11/2018 14,500,000 0.17

9,300,000 Prestige Brands, Inc. USD 8.125% 01/02/2020 10,067,250 0.11

20,200,000 Regal Entertainment Group USD 5.750% 15/03/2022 20,907,000 0.24

24,795,000 Resolute Energy Corp. USD 8.500% 01/05/2020 15,124,950 0.17

57,000,000 Reynolds Group Issuer, Inc. USD 9.000% 15/04/2019 59,636,250 0.68




12,800,000 Rice Energy, Inc. USD 6.250% 01/05/2022 13,152,000 0.15

5,000,000 Rite Aid Corp. USD 8.000% 15/08/2020 5,262,500 0.06

1,750,000 Ryland Group, Inc. USD 5.375% 01/10/2022 1,787,188 0.02

33,365,000 Sally Holdings LLC Via Sally Capital, Inc. USD 5.750% 01/06/2022 35,575,431 0.41

2,733,000 Sally Holdings LLC Via Sally Capital, Inc. USD 5.500% 01/11/2023 2,910,645 0.03

7,350,000 SM Energy Co. USD 6.500% 15/11/2021 7,717,500 0.09

15,000,000 SM Energy Co. USD 6.500% 01/01/2023 15,675,000 0.18

36,000,000 SM Energy Co. USD 5.000% 15/01/2024 35,460,000 0.40

19,150,000 Sprint Capital Corp. USD 6.900% 01/05/2019 19,963,875 0.23

15,000,000 Sprint Capital Corp. USD 8.750% 15/03/2032 15,262,500 0.17

30,000,000 Sprint Communications, Inc. USD 8.375% 15/08/2017 32,925,000 0.38



52,800,000 Sprint Corp. USD 7.250% 15/09/2021 53,328,000 0.61

71,250,000 Sprint Corp. USD 7.875% 15/09/2023 72,853,125 0.83

12,250,000 Standard Pacific Corp. USD 6.250% 15/12/2021 13,168,750 0.15

14,900,000 Synovus Financial Corp. USD 7.875% 15/02/2019 16,948,750 0.19

2,900,000 T-Mobile USA, Inc. USD 5.250% 01/09/2018 3,005,125 0.03





20,000,000 Toll Brothers Finance Corp. USD 4.375% 15/04/2023 20,475,000 0.23

22,000,000 TransDigm, Inc. USD 6.000% 15/07/2022 22,385,000 0.26

27,600,000 Vanguard Natural Resources LLC Via VNR Finance Corp. USD 7.875% 01/04/2020 27,358,500 0.31

6,450,000 WhiteWave Foods Co. USD 5.375% 01/10/2022 7,014,375 0.08

6,100,000 Whiting Petroleum Corp. USD 6.500% 01/10/2018 6,267,750 0.07



12,000,000 William Carter Co. USD 5.250% 15/08/2021 12,480,000 0.14

2,303,434,144 26.23


(cost USD 3 ,004 ,346 ,635) 3,051,616,388 34.75


% of



Maturity Date(b)

USD Equity

270



As at 31 May 2015


% of



Maturity Date(b)

USD Equity


United States

127,085 General Motors Co. (Automobile Manufacturers) 4,642,415 0.05

5,123,626 Halcon Resources Corp. (Oil & Gas) 5,277,335 0.06

663,805 Houghton Mifflin Harcourt Co. (Media) 17,637,299 0.20

566,300 Huntsman Corp. (Chemicals) 12,849,347 0.15

26,755 Motors Liquidation Co. GUC Trust (Automobile Manufacturers) 543,127 0.01

45,145 Verso Corp. (Forest Products & Paper) 36,567 0.00

40,986,090 0.47

TOTAL COMMON STOCKS

(cost USD 42 ,452 ,055) 40,986,090 0.47

Warrants – 0.03%

United States

51,580 General Motors Co., exp. 07/16—Warrants (Automobile Manufacturers) 1,367,902 0.02

51,580 General Motors Co., exp. 07/19—Warrants (Automobile Manufacturers) 951,651 0.01

17,862 Masonite International Corp., exp. 06/16—Warrants (Building Materials) 339,378 0.00

2,658,931 0.03

TOTAL WARRANTS

(cost USD 3 ,019 ,729) 2,658,931 0.03


Ireland

296,450,115 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(e)(f) 296,450,115 3.38

TOTAL MUTUAL FUNDS

(cost USD 296 ,450 ,115) 296,450,115 3.38


(cost USD 3 ,346 ,268 ,534) 3,391,711,524 38.63



Australia

3,511,111 FMG Resources August 2006 Pty Ltd. 144A(c) USD 6.875% 01/02/2018 3,651,556 0.04

+ 12,000,000 FMG Resources August 2006 Pty Ltd. 144A(c) USD 8.250% 01/11/2019 11,100,000 0.13

15,000,000 FMG Resources August 2006 Pty Ltd. 144A(c) USD 9.750% 01/03/2022 15,881,250 0.18

9,450,000 Transfield Services Ltd. 144A(c) USD 8.375% 15/05/2020 10,111,500 0.11

40,744,306 0.46

Bermuda

24,750,000 Digicel Group Ltd. 144A(c) USD 8.250% 30/09/2020 25,722,675 0.29

15,000,000 Digicel Group Ltd. 144A(c) USD 7.125% 01/04/2022 14,625,000 0.16

10,000,000 Digicel Ltd. 144A(c) USD 7.000% 15/02/2020 10,400,000 0.12

16,500,000 Digicel Ltd. 144A(c) USD 6.750% 01/03/2023 16,458,750 0.19

67,206,425 0.76

Canada

9,150,000 Air Canada 144A(c) USD 6.750% 01/10/2019 9,816,120 0.11

6,550,000 Air Canada 144A(c) USD 8.750% 01/04/2020 7,263,295 0.08

10,926,810 Air Canada Pass Through Trust "B" 144A(c) USD 5.375% 15/05/2021 11,377,540 0.13

19,500,000 Brookfield Residential Properties, Inc. 144A(c) USD 6.500% 15/12/2020 20,237,100 0.23



11,650,000 Concordia Healthcare Corp. 144A(c) USD 7.000% 15/04/2023 11,766,500 0.13

5,400,000 Lundin Mining Corp. 144A(c) USD 7.500% 01/11/2020 5,833,620 0.07

9,800,000 Masonite International Corp. 144A(c) USD 5.625% 15/03/2023 10,192,000 0.12

12,500,000 MEG Energy Corp. 144A(c) USD 6.500% 15/03/2021 12,187,500 0.14



26,550,000 New Gold, Inc. 144A(c) USD 6.250% 15/11/2022 26,782,312 0.31

19,650,000 New Red Finance, Inc. 144A(c) USD 4.625% 15/01/2022 19,748,250 0.23

40,900,000 New Red Finance, Inc. 144A(c) USD 6.000% 01/04/2022 42,587,125 0.49

4,450,000 Norbord, Inc. 144A(c) USD 6.250% 15/04/2023 4,531,542 0.05

16,800,000 Paramount Resources Ltd. 144A(c) USD 6.875% 30/06/2023 17,036,040 0.19

2,000,000 Stone Container Finance Co. of Canada II(g) USD 7.375% 15/07/2014 0 0.00

271



As at 31 May 2015


Canada – (continued)

10,995,000 Valeant Pharmaceuticals International, Inc. 144A(c) USD 6.750% 15/08/2018 11,654,700 0.13






107,000 Videotron Ltd. USD 9.125% 15/04/2018 109,541 0.00

14,300,000 Videotron Ltd. USD 5.000% 15/07/2022 14,836,250 0.17

17,050,000 Videotron Ltd. 144A(c) USD 5.375% 15/06/2024 17,882,040 0.20

25,561,000 Whiting Canadian Holding Co., ULC USD 8.125% 01/12/2019 27,158,562 0.31

433,709,237 4.94

Cayman Islands

25,050,000 UPCB Finance IV Ltd. 144A(c) USD 5.375% 15/01/2025 25,081,313 0.29

France

6,350,000 SPCM S.A. 144A(c) USD 6.000% 15/01/2022 6,699,250 0.08

Ireland


950,000 Ardagh Packaging Finance Plc.

Via Ardagh Holdings USA, Inc. 144A(c) USD 9.125% 15/10/2020 1,012,937 0.01

3,452,647 Ardagh Packaging Finance Plc.

Via Ardagh Holdings USA, Inc. 144A(c) USD 7.000% 15/11/2020 3,556,227 0.04

10,250,000 James Hardie International Finance Ltd. 144A(c) USD 5.875% 15/02/2023 10,711,250 0.12

30,599,289 0.35

Luxembourg

9,800,000 Accudyne Industries Borrower

Via Accudyne Industries LLC 144A(c) USD 7.750% 15/12/2020 9,052,750 0.10

16,200,000 Aguila 3 S.A. 144A(c) USD 7.875% 31/01/2018 16,362,000 0.19


25,626,364 Ardagh Finance Holdings S.A. 144A(c) USD 8.625% 15/06/2019 27,420,209 0.31

5,394,000 Bumble Bee Holdco SCA 144A(c) USD 9.625% 15/03/2018 5,603,018 0.06

26,500,000 DH Services Luxembourg SARL 144A(c) USD 7.750% 15/12/2020 27,891,250 0.32

50,000,000 Intelsat Jackson Holdings S.A. USD 6.625% 15/12/2022 46,625,000 0.53

1,400,000 Intelsat Luxembourg S.A. USD 6.750% 01/06/2018 1,386,000 0.02



10,000,000 Nielsen Co. Luxembourg SARL 144A(c) USD 5.500% 01/10/2021 10,300,000 0.12

231,307,727 2.63

Malta

24,600,000 VistaJet Malta Finance Plc.

Via VistaJet Co. Finance LLC 144A(c) USD 7.750% 01/06/2020 24,415,500 0.28

Netherlands

11,300,000 JLL Via Delta Dutch Pledgeco BV 144A(c) USD 8.750% 01/05/2020 11,469,500 0.13

21,700,000 Schaeffler Finance BV 144A(c) USD 4.250% 15/05/2021 21,960,400 0.25


19,600,000 VTR Finance BV 144A(c) USD 6.875% 15/01/2024 20,504,540 0.24

6,850,000 Ziggo Bond Finance BV 144A(c) USD 5.875% 15/01/2025 6,978,437 0.08

70,829,927 0.81

United Kingdom

15,000,000 Barclays Plc.(d) USD 8.250% 29/12/2049 16,125,000 0.18

3,300,000 HSBC Holdings Plc.(d) USD 6.375% 29/03/2049 3,403,125 0.04

19,528,125 0.22

United States

15,300,000 21st Century Oncology, Inc. 144A(c) USD 11.000% 01/05/2023 15,300,000 0.17

20,000,000 Acosta, Inc. 144A(c) USD 7.750% 01/10/2022 20,500,000 0.23

35,000,000 ADS Waste Holdings, Inc. USD 8.250% 01/10/2020 37,143,750 0.42

7,900,000 AECOM 144A(c) USD 5.750% 15/10/2022 8,209,846 0.09

7,000,000 AECOM 144A(c) USD 5.875% 15/10/2024 7,322,056 0.08

32,300,000 Ahern Rentals, Inc. 144A(c) USD 7.375% 15/05/2023 32,582,625 0.37

9,000,000 Alcatel-Lucent USA, Inc. 144A(c) USD 8.875% 01/01/2020 9,933,750 0.11

11,625,000 Alphabet Holding Co., Inc. USD 7.750% 01/11/2017 11,799,375 0.13

12,000,000 Ancestry.com, Inc. USD 11.000% 15/12/2020 13,740,000 0.16


% of



Maturity Date(b)

USD Equity

272



As at 31 May 2015



27,000,000 Antero Resources Corp. 144A(c) USD 5.625% 01/06/2023 27,810,000 0.32

18,000,000 APX Group, Inc. USD 6.375% 01/12/2019 18,045,000 0.21

10,000,000 APX Group, Inc. USD 8.750% 01/12/2020 9,125,000 0.10

28,000,000 Ashland, Inc. USD 4.750% 15/08/2022 28,700,000 0.33

12,300,000 Aspect Software, Inc. USD 10.625% 15/05/2017 10,731,750 0.12

20,000,000 Atrium Windows & Doors, Inc. 144A(c) USD 7.750% 01/05/2019 16,800,000 0.19

20,000,000 Bank of America Corp.—Series X(d) USD 6.250% 29/09/2049 20,475,000 0.23

25,000,000 Bank of America Corp.—Series Z(d) USD 6.500% 29/10/2049 26,625,000 0.30

4,000,000 Beazer Homes USA, Inc. USD 5.750% 15/06/2019 3,945,000 0.05



13,550,000 BI-LO LLC Via BI-LO Finance Corp. 144A(c) USD 9.250% 15/02/2019 14,041,187 0.16

29,000,000 BMC Software Finance, Inc. 144A(c) USD 8.125% 15/07/2021 26,317,500 0.30

24,350,000 Boxer Parent Co., Inc. 144A(c) USD 9.000% 15/10/2019 19,906,125 0.23

11,950,000 Builders FirstSource, Inc. 144A(c) USD 7.625% 01/06/2021 12,547,500 0.14

60,000 Bumble Bee Holdings, Inc. 144A(c) USD 9.000% 15/12/2017 63,300 0.00

38,950,000 BWAY Holdings Co. 144A(c) USD 9.125% 15/08/2021 40,410,625 0.46

4,950,000 Calpine Corp. USD 5.500% 01/02/2024 4,962,375 0.06

14,860,000 Calpine Corp. 144A(c) USD 6.000% 15/01/2022 15,974,500 0.18

2,150,000 Calpine Corp. 144A(c) USD 5.875% 15/01/2024 2,313,938 0.03

8,500,000 Carrizo Oil & Gas, Inc. USD 6.250% 15/04/2023 8,755,000 0.10

25,000,000 Casella Waste Systems, Inc. USD 7.750% 15/02/2019 25,812,500 0.29

7,586,000 CCO Holdings LLC Via CCO Holdings Capital Corp. USD 7.000% 15/01/2019 7,927,370 0.09



34,250,000 CCO Holdings LLC Via CCO Holdings Capital Corp. 144A(c) USD 5.875% 01/05/2027 34,678,125 0.40

9,550,000 CDW LLC Via CDW Finance Corp. USD 5.000% 01/09/2023 9,824,562 0.11

10,000,000 Century Communities, Inc. USD 6.875% 15/05/2022 9,962,500 0.11

10,000,000 Cequel Communications Holdings I LLC 144A(c) USD 5.125% 15/12/2021 9,500,000 0.11

7,850,000 Chaparral Energy, Inc. USD 9.875% 01/10/2020 6,849,125 0.08

20,000,000 Chaparral Energy. Inc. USD 8.250% 01/09/2021 16,400,000 0.19

6,000,000 Chaparral Energy. Inc. USD 7.625% 15/11/2022 4,860,000 0.06

8,600,000 Chemours Co. 144A(c) USD 6.625% 15/05/2023 8,600,000 0.10

30,850,000 Chemours Co. 144A(c) USD 7.000% 15/05/2025 31,351,312 0.36


40,000,000 CIT Group, Inc. 144A(c) USD 5.500% 15/02/2019 42,350,000 0.48

19,475,000 Citigroup, Inc.—Series O(d) USD 5.875% 29/12/2049 19,694,094 0.22

30,000,000 Citigroup. Inc.(d) USD 5.900% 29/12/2049 30,262,500 0.35

5,525,000 Citigroup. Inc.—Series M(d) USD 6.300% 29/12/2049 5,580,250 0.06

26,778,000 Clearwater Paper Corp. 144A(c) USD 5.375% 01/02/2025 27,246,615 0.31

8,000,000 Cleaver-Brooks, Inc. 144A(c) USD 8.750% 15/12/2019 8,060,000 0.09

22,000,000 CommScope, Inc. 144A(c) USD 5.000% 15/06/2021 21,945,000 0.25

21,000,000 Communications Sales & Leasing, Inc. 144A(c) USD 8.250% 15/10/2023 21,367,500 0.24

18,000,000 Comstock Resources, Inc. 144A(c) USD 10.000% 15/03/2020 17,505,000 0.20

9,400,000 Constellation Enterprises LLC 144A(c) USD 10.625% 01/02/2016 8,554,000 0.10

20,000,000 Continental Airlines 2012-3 Class C Pass Thru Certificates USD 6.125% 29/04/2018 21,050,000 0.24

26,800,000 Cott Beverages, Inc. 144A(c) USD 5.375% 01/07/2022 26,431,500 0.30

8,000,000 CPG Merger Sub LLC 144A(c) USD 8.000% 01/10/2021 8,430,000 0.10

43,225,000 Crimson Merger Sub, Inc. 144A(c) USD 6.625% 15/05/2022 38,146,062 0.43

35,500,000 CrownRock LP Via CrownRock Finance, Inc. 144A(c) USD 7.125% 15/04/2021 37,275,000 0.42

30,000,000 CSC Holdings LLC 144A(c) USD 5.250% 01/06/2024 29,550,000 0.34

22,750,000 CyrusOne LP Via CyrusOne Finance Corp. USD 6.375% 15/11/2022 24,058,125 0.27

7,500,000 DISH DBS Corp. USD 4.250% 01/04/2018 7,743,750 0.09

650,000 DISH DBS Corp. USD 7.875% 01/09/2019 732,875 0.01

25,000,000 DISH DBS Corp. USD 6.750% 01/06/2021 26,750,000 0.30

39,000,000 DISH DBS Corp. USD 5.875% 15/11/2024 39,000,000 0.44

23,050,000 Downstream Development Authority of

the Quapaw Tribe of Oklahoma 144A(c) USD 10.500% 01/07/2019 22,877,125 0.26

30,000,000 DuPont Fabros Technology LP USD 5.875% 15/09/2021 31,350,000 0.36

11,300,000 Dynegy, Inc. 144A(c) USD 6.750% 01/11/2019 12,006,250 0.14

4,475,000 Dynegy, Inc. 144A(c) USD 7.375% 01/11/2022 4,799,438 0.06

25,850,000 Eagle Spinco, Inc. USD 4.625% 15/02/2021 25,850,000 0.29

9,300,000 EnPro Industries, Inc. 144A(c) USD 5.875% 15/09/2022 9,706,875 0.11

22,050,000 EP Energy LLC Via Everest Acquisition Finance, Inc. 144A(c) USD 6.375% 15/06/2023 22,187,812 0.25

15,000,000 Equinix Inc. USD 4.875% 01/04/2020 15,525,000 0.18

13,500,000 Equinix Inc. USD 5.375% 01/01/2022 14,023,125 0.16

20,000,000 Equinix Inc. USD 5.375% 01/04/2023 20,750,000 0.24

16,000,000 Equinix Inc. USD 5.750% 01/01/2025 16,560,000 0.19

2,350,000 Family Tree Escrow LLC 144A(c) USD 5.250% 01/03/2020 2,479,250 0.03

15,850,000 Family Tree Escrow LLC 144A(c) USD 5.750% 01/03/2023 16,820,812 0.19


% of



Maturity Date(b)

USD Equity

273



As at 31 May 2015




12,200,000 FCA US LLC Via CG Co-Issuer Inc USD 8.250% 15/06/2021 13,481,000 0.15

3,450,000 Felcor Lodging LP 144A(c) USD 6.000% 01/06/2025 3,557,813 0.04

10,000,000 Fidelity & Guaranty Life Holdings, Inc. 144A(c) USD 6.375% 01/04/2021 10,625,000 0.12

18,950,000 First Data Corp. USD 11.250% 15/01/2021 21,318,750 0.24

36,000,000 First Data Corp. 144A(c) USD 6.750% 01/11/2020 38,430,000 0.44

45,000,000 First Data Corp. 144A(c) USD 8.750% 15/01/2022 48,318,750 0.55

4,000,000 Freescale Semiconductor, Inc. 144A(c) USD 6.000% 15/01/2022 4,330,000 0.05

15,000,000 Fresenius Medical Care US Finance II, Inc. 144A(c) USD 5.625% 31/07/2019 16,425,000 0.19


10,000,000 Fresenius Medical Care US Finance, Inc. 144A(c) USD 5.750% 15/02/2021 10,875,000 0.12


16,300,000 FTS International, Inc. USD 6.250% 01/05/2022 13,203,000 0.15

8,000,000 FTS International, Inc. 144A(c)(d) USD 7.808% 15/06/2020 8,040,000 0.09

57,500,000 Gates Global LLC Via Gates Global Co. 144A(c) USD 6.000% 15/07/2022 53,331,250 0.61

30,000,000 Getty Images, Inc. 144A(c) USD 7.000% 15/10/2020 17,250,000 0.20

5,551,000 Gibraltar Industries, Inc. USD 6.250% 01/02/2021 5,745,285 0.07

20,000,000 GLP Capital LP Via GLP Financing II, Inc. USD 4.875% 01/11/2020 20,863,560 0.24


9,325,000 Halcon Resources Corp. USD 9.750% 15/07/2020 6,947,125 0.08



9,200,000 Halcon Resources Corp. 144A(c) USD 8.625% 01/02/2020 9,361,000 0.11

4,450,000 Halyard Health, Inc. 144A(c) USD 6.250% 15/10/2022 4,683,625 0.05

18,400,000 Hardwoods Acquisition, Inc. 144A(c) USD 7.500% 01/08/2021 17,940,000 0.20

11,000,000 HD Supply, Inc. USD 11.000% 15/04/2020 12,485,000 0.14

42,000,000 HD Supply, Inc. USD 11.500% 15/07/2020 49,350,000 0.56

19,000,000 HD Supply, Inc. USD 7.500% 15/07/2020 20,591,250 0.23

29,950,000 HD Supply, Inc. 144A(c) USD 5.250% 15/12/2021 31,297,750 0.36

40,000,000 Hexion, Inc. USD 8.875% 01/02/2018 37,000,000 0.42

10,000,000 Hexion, Inc. USD 9.000% 15/11/2020 8,050,000 0.09

35,000,000 HJ Heinz Co. 144A(c) USD 4.875% 15/02/2025 37,800,000 0.43

6,150,000 HRG Group, Inc. 144A(c) USD 7.875% 15/07/2019 6,519,000 0.07

7,900,000 Huntsman International LLC 144A(c) USD 5.125% 15/11/2022 7,959,250 0.09

24,000,000 iHeartCommunications, Inc. USD 9.000% 15/12/2019 23,700,000 0.27

17,341,700 iHeartCommunications, Inc. USD 14.000% 01/02/2021 13,526,526 0.15

18,050,000 iHeartCommunications, Inc. 144A(c) USD 10.625% 15/03/2023 18,140,250 0.21

21,000,000 IHS, Inc. 144A(c) USD 5.000% 01/11/2022 21,262,500 0.24

15,000,000 Infor Software Parent LLC Via Infor Software Parent, Inc. 144A(c) USD 7.125% 01/05/2021 15,262,500 0.17

20,000,000 Infor US, Inc. 144A(c) USD 6.500% 15/05/2022 20,875,000 0.24

1,000,000 InterActiveCorp. USD 4.750% 15/12/2022 1,005,000 0.01

20,000,000 Jefferies Finance LLC Via JFIN Co-Issuer Corp. 144A(c) USD 7.375% 01/04/2020 20,150,000 0.23

10,000,000 Jefferies LoanCore LLC Via JLC Finance Corp. 144A(c) USD 6.875% 01/06/2020 9,725,000 0.11

10,000,000 JPMorgan Chase & Co.—Series 1(d) USD 7.900% 29/12/2049 10,680,000 0.12

30,000,000 JPMorgan Chase & Co.—Series X(d) USD 6.100% 29/10/2049 30,825,000 0.35

24,000,000 Jurassic Holdings III, Inc. 144A(c) USD 6.875% 15/02/2021 20,130,000 0.23

12,000,000 Lennar Corp. USD 4.750% 15/11/2022 12,015,000 0.14

40,000,000 LifePoint Hospitals, Inc. USD 5.500% 01/12/2021 42,300,000 0.48

27,000,000 Linn Energy LLC Via Linn Energy Finance Corp. USD 6.250% 01/11/2019 23,287,500 0.27

5,000,000 Linn Energy LLC Via Linn Energy Finance Corp. USD 7.750% 01/02/2021 4,350,000 0.05

10,000,000 Marina District Finance Co., Inc. USD 9.875% 15/08/2018 10,425,000 0.12

5,300,000 Matador Resources Co. 144A(c) USD 6.875% 15/04/2023 5,472,250 0.06

10,000,000 McGraw-Hill Global Education Holdings LLC

Via McGraw-Hill Global Education Finance USD 9.750% 01/04/2021 11,087,500 0.13

8,400,000 Mercer International, Inc. USD 7.000% 01/12/2019 8,904,000 0.10

17,752,000 Mercer International, Inc. USD 7.750% 01/12/2022 19,216,540 0.22

21,300,000 Micron Technology, Inc. 144A(c) USD 5.250% 01/08/2023 21,353,250 0.24

14,320,000 Midcontinent Communications &

Midcontinent Finance Corp. 144A(c) USD 6.250% 01/08/2021 14,928,600 0.17

32,000,000 Milacron LLC Via Mcron Finance Corp. 144A(c) USD 7.750% 15/02/2021 33,280,000 0.38

27,000,000 Momentive Performance Materials, Inc. USD 3.880% 24/10/2021 24,468,750 0.28

19,000,000 Moog, Inc. 144A(c) USD 5.250% 01/12/2022 19,760,000 0.23

15,900,000 Morgan Stanley—Series J(d) USD 5.550% 29/12/2049 16,019,250 0.18

13,150,000 Murray Energy Corp. 144A(c) USD 11.250% 15/04/2021 12,755,500 0.15

20,000,000 Navient Corp. USD 5.500% 15/01/2019 20,750,000 0.24

20,650,000 Navient Corp. USD 4.875% 17/06/2019 20,804,875 0.24

9,000,000 Navient Corp. USD 5.875% 25/03/2021 9,101,250 0.10

12,000,000 Navient Corp. USD 6.125% 25/03/2024 11,775,000 0.13

5,775,000 NCR Corp. USD 4.625% 15/02/2021 5,731,688 0.07

40,000,000 Neiman Marcus Group Ltd. LLC 144A(c) USD 8.000% 15/10/2021 43,100,000 0.49

40,000,000 Neiman Marcus Group Ltd. LLC 144A(c) USD 8.750% 15/10/2021 43,400,000 0.49

10,300,000 Netflix, Inc. 144A(c) USD 5.500% 15/02/2022 10,802,125 0.12

% of



Maturity Date(b)

USD Equity

274



As at 31 May 2015




32,250,000 Netflix, Inc. 144A(c) USD 5.875% 15/02/2025 33,781,875 0.39

9,820,847 New Cotai LLC 144A(c) USD 10.625% 01/05/2019 8,887,867 0.10

16,150,000 NGPL PipeCo LLC 144A(c) USD 7.119% 15/12/2017 16,715,250 0.19

3,550,000 NGPL PipeCo LLC 144A(c) USD 9.625% 01/06/2019 3,665,375 0.04

35,000,000 Nielsen Finance LLC Via Nielsen Finance Co. 144A(c) USD 5.000% 15/04/2022 35,262,500 0.40

19,350,000 NRG Energy, Inc. USD 6.625% 15/03/2023 20,365,875 0.23

22,000,000 Nuance Communications, Inc. 144A(c) USD 5.375% 15/08/2020 22,275,000 0.25

21,000,000 OneMain Financial Holdings, Inc. 144A(c) USD 6.750% 15/12/2019 22,417,500 0.26

6,800,000 Oshkosh Corp. 144A(c) USD 5.375% 01/03/2025 7,038,000 0.08

13,800,000 Outfront Media Capital LLC Via Outfront Media Capital Corp. USD 5.875% 15/03/2025 14,662,500 0.17

25,000,000 Park-Ohio Industries, Inc. USD 8.125% 01/04/2021 26,750,000 0.30

5,000,000 Peabody Energy Corp. USD 4.750% 15/12/2041 1,281,250 0.01

24,350,000 Peabody Energy Corp. 144A(c) USD 10.000% 15/03/2022 18,871,250 0.22

25,000,000 Post Holdings, Inc. 144A(c) USD 6.750% 01/12/2021 24,968,750 0.28

6,500,000 Post Holdings, Inc. 144A(c) USD 6.000% 15/12/2022 6,134,375 0.07

12,000,000 PPL Energy Supply LLC 144A(c) USD 6.500% 01/06/2025 12,196,446 0.14

12,600,000 Prestige Brands, Inc. 144A(c) USD 5.375% 15/12/2021 12,852,000 0.15

14,200,000 Quintiles Transnational Corp. 144A(c) USD 4.875% 15/05/2023 14,519,500 0.17

12,200,000 Radio Systems Corp. 144A(c) USD 8.375% 01/11/2019 13,206,500 0.15

10,000,000 Regency Energy Partners LP Via Regency Energy Finance Corp. USD 5.750% 01/09/2020 11,043,750 0.13





4,250,000 RHP Hotel Properties LP Via RHP Finance Corp. 144A(c) USD 5.000% 15/04/2023 4,276,563 0.05

28,459,000 Rialto Holdings LLC Via Rialto Corp. 144A(c) USD 7.000% 01/12/2018 30,024,245 0.34

3,150,000 Rice Energy, Inc. 144A(c) USD 7.250% 01/05/2023 3,299,625 0.04

12,400,000 Rite Aid Corp. USD 6.750% 15/06/2021 13,144,000 0.15

21,250,000 Rite Aid Corp. 144A(c) USD 6.125% 01/04/2023 22,179,687 0.25

9,400,000 Rosetta Resources, Inc. USD 5.625% 01/05/2021 10,034,500 0.11

6,250,000 Rosetta Resources, Inc. USD 5.875% 01/06/2024 6,812,500 0.08

6,750,000 RR Donnelley & Sons Co. USD 7.875% 15/03/2021 7,796,250 0.09

15,250,000 RSI Home Products, Inc. 144A(c) USD 6.500% 15/03/2023 15,783,750 0.18

17,750,000 RSP Permian, Inc. 144A(c) USD 6.625% 01/10/2022 18,593,125 0.21


30,000,000 Sabine Pass Liquefaction LLC USD 6.250% 15/03/2022 31,800,000 0.36

12,300,000 Sabine Pass Liquefaction LLC USD 5.750% 15/05/2024 12,576,750 0.14

22,100,000 Sabine Pass Liquefaction LLC 144A(c) USD 5.625% 01/03/2025 22,293,375 0.25

5,000,000 Safway Group Holding LLC Via Safway Finance Corp. 144A(c) USD 7.000% 15/05/2018 5,125,000 0.06

37,000,000 Samson Investment Co. USD 9.750% 15/02/2020 3,330,000 0.04

18,000,000 SBA Communications Corp. 144A(c) USD 4.875% 15/07/2022 18,157,500 0.21

16,000,000 SBA Telecommunications, Inc. USD 5.750% 15/07/2020 16,880,000 0.19

22,000,000 Scientific Games International, Inc. USD 10.000% 01/12/2022 21,505,000 0.25

4,700,000 Sealed Air Corp. 144A(c) USD 4.875% 01/12/2022 4,758,750 0.05

9,300,000 Sealed Air Corp. 144A(c) USD 5.125% 01/12/2024 9,509,250 0.11

27,350,000 Seminole Hard Rock Entertainment, Inc.

Via Seminole Hard Rock International LLC 144A(c) USD 5.875% 15/05/2021 27,623,500 0.31

14,000,000 Serta Simmons Holdings LLC 144A(c) USD 8.125% 01/10/2020 14,927,500 0.17

11,842,000 Shearer’s Foods LLC Via Chip Finance Corp 144A(c) USD 9.000% 01/11/2019 12,907,780 0.15

14,664,000 Sirius XM Radio, Inc. 144A(c) USD 5.875% 01/10/2020 15,323,880 0.17




10,000,000 SITEL LLC Via Sitel Finance Corp. 144A(c) USD 11.000% 01/08/2017 10,375,000 0.12

4,000,000 SM Energy Co. 144A(c) USD 6.125% 15/11/2022 4,220,000 0.05

20,800,000 Southern Graphics, Inc. 144A(c) USD 8.375% 15/10/2020 21,424,000 0.24

5,000,000 Spectrum Brands, Inc. USD 6.375% 15/11/2020 5,350,000 0.06

9,000,000 Spectrum Brands, Inc. USD 6.625% 15/11/2022 9,663,750 0.11

23,950,000 Speedy Cash Intermediate Holdings Corp. 144A(c) USD 10.750% 15/05/2018 23,590,750 0.27

23,000,000 SPL Logistics Escrow LLC Via SPL Logistics Finance Corp. 144A(c) USD 8.875% 01/08/2020 24,610,000 0.28

20,000,000 Sprint Communications, Inc. 144A(c) USD 9.000% 15/11/2018 22,950,000 0.26

15,000,000 Sprint Communications, Inc. 144A(c) USD 7.000% 01/03/2020 16,612,500 0.19

3,870,000 Steel Dynamics, Inc. USD 6.125% 15/08/2019 4,150,575 0.05




7,140,000 Summit Materials LLC Via Summit Materials Finance Corp. USD 10.500% 31/01/2020 7,809,375 0.09

29,000,000 Sun Products Corp. 144A(c) USD 7.750% 15/03/2021 26,607,500 0.30

8,850,000 Surgical Care Affiliates, Inc. 144A(c) USD 6.000% 01/04/2023 9,038,062 0.10

6,650,000 Tesoro Logistics LP Via Tesoro Logistics Finance Corp. 144A(c) USD 6.250% 15/10/2022 7,098,875 0.08

40,000,000 Time, Inc. 144A(c) USD 5.750% 15/04/2022 39,250,000 0.45

% of



Maturity Date(b)

USD Equity

275



As at 31 May 2015




13,000,000 TRI Pointe Holdings, Inc. 144A(c) USD 4.375% 15/06/2019 12,821,250 0.15


18,700,000 United Rentals North America, Inc. USD 4.625% 15/07/2023 18,863,625 0.22


8,150,000 Univision Communications, Inc.(c) USD 5.125% 15/02/2025 8,139,813 0.09

5,500,000 Univision Communications, Inc. 144A(c) USD 8.500% 15/05/2021 5,898,750 0.07



35,000,000 Valeant Pharmaceuticals International 144A(c) USD 6.375% 15/10/2020 37,406,250 0.43


9,375,000 VeriSign, Inc. 144A(c) USD 5.250% 01/04/2025 9,597,656 0.11

16,400,000 Waterjet Holdings, Inc. 144A(c) USD 7.625% 01/02/2020 17,179,000 0.20

18,608,000 Wells Enterprises, Inc. 144A(c) USD 6.750% 01/02/2020 19,305,800 0.22

24,100,000 Wells Fargo & Co.—Series U(d) USD 5.875% 29/12/2049 25,395,375 0.29

20,000,000 WESCO Distribution, Inc. USD 5.375% 15/12/2021 20,525,000 0.23

15,000,000 WEX, Inc. 144A(c) USD 4.750% 01/02/2023 14,625,000 0.17

19,000,000 Whiting Petroleum Corp. 144A(c) USD 6.250% 01/04/2023 19,665,000 0.22

14,000,000 William Lyon Homes, Inc. USD 8.500% 15/11/2020 15,312,500 0.17

18,570,000 Windstream Corp. USD 7.750% 01/10/2021 17,641,500 0.20

2,175,000 Windstream Corp. USD 7.500% 01/06/2022 1,990,125 0.02

11,900,000 Windstream Services LLC USD 7.750% 15/10/2020 12,078,500 0.14

11,200,000 WMG Acquisition Corp. 144A(c) USD 6.750% 15/04/2022 10,864,000 0.12

3,671,000 Woodside Homes Co. LLC

Via Woodside Homes Finance, Inc. 144A(c) USD 6.750% 15/12/2021 3,519,571 0.04

6,150,000 WR Grace & Co-Conn 144A(c) USD 5.125% 01/10/2021 6,357,563 0.07

4,600,000 WR Grace & Co-Conn 144A(c) USD 5.625% 01/10/2024 4,853,000 0.06

21,950,000 Zachry Holdings, Inc. 144A(c) USD 7.500% 01/02/2020 21,950,000 0.25

15,750,000 ZF North America Capital, Inc. 144A(c) USD 4.500% 29/04/2022 16,025,625 0.18


4,044,600,549 46.06


(cost USD 5 ,018 ,826 ,629) 4,994,721,648 56.88


(cost USD 5 ,018 ,826 ,629) 4,994,721,648 56.88



Canada

10,400,000 River Cree Enterprises LP 144A(c) CAD 11.000% 20/01/2021 8,630,079 0.10

United States

1,500,000 Adelphia Communications Corp. USD 10.250% 15/06/2049 15,000 0.00

13,200,000 Axalta Coating Systems US Holdings, Inc. EUR 5.750% 01/02/2021 15,458,054 0.17

2,000,000 GCB General Motors – Escrow Shares(g) USD 7.125% 15/07/2013 0 0.00



500,000 General Motors Corp.(g) USD 7.700% 15/04/2016 0 0.00

27,000,000 MPM Escrow LLC(g) USD 8.875% 15/10/2020 0 0.00

15,473,054 0.17


(cost USD 29 ,705 ,088) 24,103,133 0.27


Germany

33 Nycomed ASA(g) (Pharmaceuticals) 0 0.00

United States

368 Atrium Cos, Inc.(g) (Building Materials) 0 0.00

26 Dawn Holdings, Inc.(g) (Investment Companies) 0 0.00

3,277 Panolam Holdings Co.(g) (Building Materials) 33 0.00

1,500 Port Townsend Holdings Co., Inc.(g) (Forest Products & Paper) 0 0.00

33 0.00

TOTAL COMMON STOCKS

(cost USD 5 ,311 ,112) 33 0.00

% of



Maturity Date(b)

USD Equity

276



As at 31 May 2015



United States

774 Spanish Broadcasting System, Inc.—Series B USD 10.750% 905,967 0.01


(cost USD 747 ,958) 905,967 0.01

Warrants – 0.00%

Ireland

6,819 Truvo Subsidiary Corp.—Wdac Pik Lender

exp. 12/20—Warrants(g) EUR 0.000% 31/12/2020 0 0.00

TOTAL WARRANTS



United States

25 New Cotai LLC(g) 0 0.00

TOTAL MUTUAL FUNDS



(cost USD 35 ,764 ,158) 25,009,133 0.28

Bank Loans – 2.17%

United States

2,000,000 21st Century Oncology Holdings USD 0.055% 30/04/2022 2,000,000 0.02

12,625,000 Asurion LLC USD 0.075% 03/03/2021 12,962,340 0.15

21,569,998 Atkore International, Inc. USD 0.045% 09/04/2021 21,156,609 0.24

12,436,387 Delta Air Lines, Inc. USD 0.033% 18/10/2018 12,453,114 0.14

9,450,000 Dollar Tree, Inc. USD 0.043% 09/03/2022 9,554,989 0.11

3,325,000 Dynacast International LLC USD 0.053% 28/01/2022 3,341,625 0.04

6,218,750 Gates Global LLC USD 0.043% 03/07/2021 6,204,011 0.07

25,714,180 Getty Images, Inc. USD 0.048% 18/10/2019 21,281,698 0.24

24,114,106 J. Crew Group, Inc. USD 0.030% 05/03/2021 22,034,264 0.25

16,550,000 Murray Energy Corp. USD 0.075% 19/03/2021 16,120,776 0.18

7,825,000 PetSmart, Inc. USD 0.043% 11/03/2022 7,857,748 0.09

14,680,265 Renaissance Learning, Inc. USD 0.045% 09/04/2021 14,521,277 0.17

23,800,000 Rue21, Inc. USD 0.056% 09/10/2020 22,114,127 0.25

18,790,625 Valeant Pharmaceuticals International, Inc. USD 0.040% 01/04/2022 18,945,366 0.22

190,547,944 2.17

TOTAL BANK LOANS

(cost USD 193 ,194 ,756) 190,547,944 2.17


(cost USD 8 ,594 ,054 ,077) 8,601,990,249 97.96





EUR

(108) German Federal Republic Bonds 10YR Futures 08/06/2015 Short (18,442,092) 160,314 0.00


(8,853,961) 183,680 0.00

USD


39 US Treasury Long Bond Futures 21/09/2015 Long 6,037,688 32,602 0.00


2,194 US Treasury Notes 5YR Futures 30/09/2015 Long 262,234,423 443,885 0.01

581,444,002 1,112,378 0.02


% of



Maturity Date(b)

USD Equity

277



As at 31 May 2015






EUR


GBP

(63) UK Long Gilt Bond Futures 28/09/2015 Short (11,343,090) (101,844) (0.00)

USD

(2,886) US Treasury Notes 10YR Futures 21/09/2015 Short (367,649,344) (584,744) (0.01)



Unrealised % of



USD 9,973,477 CAD 12,024,632 03/06/2015 341,453 0.00

USD 14,967,250 CHF 13,964,444 03/06/2015 46,742 0.00

USD 54,151,667 EUR 48,737,953 03/06/2015 561,227 0.01



Unrealised % of



CNH 19,968,542 USD 3,209,768 03/06/2015 9,563 0.00

GBP 366,409,666 USD 554,979,001 03/06/2015 5,238,025 0.06

USD 6,944,738 CHF 6,420,911 03/06/2015 84,225 0.00

USD 47,897,081 EUR 42,801,011 03/06/2015 834,681 0.01

USD 39,955,184 GBP 25,934,295 03/06/2015 303,301 0.01

USD 580,691 HKD 4,502,000 03/06/2015 108 0.00

USD 8,585,386 JPY 1,027,641,657 03/06/2015 289,209 0.00

USD 29,803 SEK 247,049 03/06/2015 721 0.00

USD 34,477,142 SGD 46,471,540 03/06/2015 12,349 0.00

SGD 44,664,906 USD 33,100,072 03/07/2015 2,675 0.00


Unrealised % of



AUD 23,033,122 USD 18,216,117 03/06/2015 (586,367) (0.01)

CHF 446,209,920 USD 480,492,325 03/06/2015 (3,733,032) (0.04)

EUR 1,758,871,505 USD 1,957,062,131 03/06/2015 (23,072,434) (0.26)

HKD 116,504,484 USD 15,031,230 03/06/2015 (6,688) (0.00)

JPY 40,231,161,204 USD 337,845,815 03/06/2015 (13,058,630) (0.15)

SEK 53,020,251 USD 6,344,654 03/06/2015 (103,418) (0.00)

SGD 68,803,994 USD 51,442,881 03/06/2015 (415,619) (0.01)






Interest Rate Swaps

138,200,000 Fixed 2.250% Floating (USD 3 month LIBOR) USD 17/06/2020 (1,593,823) (0.02)




278



As at 31 May 2015






Interest Rate Swaps







Interest Rate Swaps











(cost USD 8 ,594 ,054 ,077) 8,558,324,416 97.46



% of



Total Investments excluding derivatives (cost USD 8,594,054,077) 8,601,990,249 97.96










Shareholders ’ Equi ty 8,781,222,526 100.00

Rates disclosed for Corporate Bonds, Preferred Stocks and Bank Loans are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A., Citibank NA London, Goldman Sachs International, HSBC Bank

Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley And Co. International Plc., Royal Bank of Canada, Royal Bank of Scotland Plc., Standard

Chartered Bank, State Street Bank & Trust, UBS AG London and Westpac Banking Corp.







(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) Variable and floating coupon rates are those quoted as of 31 May 2015.



(g) Valuation of this security is determined by the Valuer. See Note 4.

279



As at 31 May 2015

Goldman Sachs Funds—Global Sovereign Bond Portfolio



Australia

500,000 Australia Government Bond—Series 133 AUD 5.500% 21/04/2023 463,233 0.45

Austria

400,000 Austria Government Bond 144A(c) EUR 3.400% 22/11/2022 536,932 0.52

Belgium


Brazil

1,200,000 Brazil Notas do Tesouro Nacional—Series B BRL 6.000% 15/08/2050 1,042,178 1.00

4,800,000 Brazil Notas do Tesouro Nacional—Series F BRL 10.000% 01/01/2023 1,416,356 1.37


4,901,650 4.72

Colombia

1,300,000,000 Colombian TES "B" COP 7.000% 04/05/2022 526,778 0.51


1,487,414 1.43

Denmark


France




2,983,299 2.87

Germany




3,145,069 3.03

Hungary

230,000,000 Hungary Government Bond HUF 5.500% 20/12/2018 906,331 0.87

Israel

6,300,000 Israel Government Bond – Fixed Bonds—Series 122 ILS 5.500% 31/01/2022 2,094,247 2.02

Italy






3,992,723 3.85

Japan





8,414,390 8.10

Korea

2,260,444,250 Inflation Linked Korea Treasury Bond—Series 2306 KRW 1.125% 10/06/2023 1,947,135 1.87

4,768,000,000 Korea Treasury Bond—Series 2003 KRW 2.000% 10/03/2020 4,335,260 4.18

6,282,395 6.05

% of



Maturity Date(b)

USD Equity

280



As at 31 May 2015



Mexico


66,240,300 Mexican Bonos—Series M MXN 4.750% 14/06/2018 4,337,673 4.18




8,261,895 7.96

Netherlands

600,000 Netherlands Government Bond EUR 7.500% 15/01/2023 1,013,015 0.98

Norway

825,000 Norway Government Bond 144A(c) NOK 1.750% 13/03/2025 108,354 0.10

Peru

1,275,000 Peruvian Government International Bond PEN 6.950% 12/08/2031 409,625 0.39

Philippines

102,000,000 Philippine Government International Bond PHP 4.950% 15/01/2021 2,430,750 2.34

Poland


8,860,000 Poland Government Bond—Series 420 PLN 1.500% 25/04/2020 2,260,924 2.18


3,737,130 3.60

Russia

90,000,000 Russian Federal Bond – Eurobond RUB 7.850% 10/03/2018 1,592,268 1.53

40,300,000 Russian Federal Bond – OFZ Bonds—Series 6212 RUB 7.050% 19/01/2028 596,718 0.58

2,188,986 2.11

South Africa


24,820,000 South Africa Government Bond—Series R207 ZAR 7.250% 15/01/2020 2,013,584 1.94

2,636,141 2.54

Spain

700,000 Spain Government Bond 144A(c) EUR 4.000% 30/04/2020 885,917 0.85




1,770,791 1.71

Sweden

800,000 Sweden Government Bond—Series 1058 SEK 2.500% 12/05/2025 110,724 0.11

Thailand

75,000,000 Thailand Government Bond THB 3.875% 13/06/2019 2,387,805 2.30




4,824,740 4.65

Turkey

5,980,000 Turkey Government Bond TRY 8.300% 20/06/2018 2,202,980 2.12

2,400,000 Turkey Government Bond TRY 10.400% 20/03/2024 979,490 0.94

3,182,470 3.06

United Kingdom





3,504,604 3.37

% of



Maturity Date(b)

USD Equity

281



As at 31 May 2015



United States






7,875,623 7.59


(cost USD 79 ,715 ,322) 79,084,038 76.17


Ireland

8,182,911 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(d)(e) 8,182,911 7.88

TOTAL MUTUAL FUNDS

(cost USD 8 ,182 ,911) 8,182,911 7.88


(cost USD 87 ,898 ,233) 87,266,949 84.05



United States



(cost USD 1 ,087 ,049) 1,092,352 1.05


(cost USD 1 ,087 ,049) 1,092,352 1.05



Australia

38,000,000,000 Australia & New Zealand Banking Group IDR 9.000% 17/03/2029 3,044,267 2.94


(cost USD 3 ,085 ,964) 3,044,267 2.94


Canada

225,000 Canadian Government Bond CAD 5.000% 01/06/2037 267,686 0.26

Malaysia

7,880,000 Malaysia Government Bond—Series 414 MYR 3.654% 31/10/2019 2,151,631 2.07


(cost USD 2 ,469 ,686) 2,419,317 2.33


(cost USD 5 ,555 ,650) 5,463,584 5.27

% of



Maturity Date(b)

USD Equity

282



As at 31 May 2015



France

8,557,912 BNP Paribas S.A. USD Time Deposit USD 0.060% 01/06/2015 8,557,912 8.24

United States

6,341,294 State Street Bank USD Time Deposit USD 0.010% 01/06/2015 6,341,294 6.11

TOTAL TIME DEPOSITS

(cost USD 14 ,899 ,206) 14,899,206 14.35


(cost USD 109 ,440 ,138) 108,722,091 104.72





CAD


EUR



18,218,993 25,784 0.02





EUR

(5) Euro OAT Futures 08/06/2015 Short (837,967) (2,529) (0.00)

USD

(3) US Treasury Long Bond Futures 21/09/2015 Short (464,437) (1,008) (0.00)



(4,963,961) (7,375) (0.01)



Unrealised % of



ILS 9,202,882 USD 2,371,273 17/06/2015 6,865 0.01

JPY 45,983,403 USD 370,804 17/06/2015 485 0.00

PLN 243,947 EUR 59,000 17/06/2015 139 0.00

RON 3,145,431 USD 777,456 17/06/2015 1,240 0.00

SEK 982,429 NZD 160,000 17/06/2015 1,747 0.00

USD 470,331 AUD 601,595 17/06/2015 10,209 0.01

USD 270,327 CAD 334,405 17/06/2015 2,524 0.00

USD 523,379 CNH 3,249,032 17/06/2015 71 0.00

USD 3,511,722 GBP 2,280,739 17/06/2015 24,984 0.03

USD 8,478,885 JPY 1,039,419,150 17/06/2015 86,201 0.08

USD 108,163 NOK 839,177 17/06/2015 229 0.00

USD 115,644 NZD 160,000 17/06/2015 1,715 0.00

USD 110,531 SEK 933,177 17/06/2015 654 0.00

USD 407,207 SGD 544,395 17/06/2015 3,589 0.01

USD 3,282,882 TRY 8,731,009 17/06/2015 3,308 0.00

USD 2,814,052 ZAR 33,851,246 17/06/2015 30,300 0.03

USD 327,467 TWD 9,961,546 22/06/2015 2,893 0.00

INR 4,111,101 USD 63,887 30/06/2015 121 0.00

USD 64,000 INR 4,110,080 01/07/2015 21 0.00

BRL 11,064,741 USD 3,443,634 02/07/2015 9,996 0.01

USD 511,525 RUB 26,072,429 17/07/2015 23,311 0.02

USD 6,235,519 KRW 6,903,342,838 24/07/2015 16,028 0.02


% of



Maturity Date(b)

USD Equity

283



As at 31 May 2015


Forward Currency Contracts – (continued)

Unrealised % of



BRL 26,572,408 USD 8,623,609 02/06/2015 (241,278) (0.23)

USD 8,355,183 BRL 26,572,408 02/06/2015 (27,148) (0.03)

INR 17,883,532 USD 280,570 15/06/2015 (1,296) (0.00)

CAD 204,000 CHF 155,698 17/06/2015 (3,067) (0.00)

CZK 40,269,557 USD 1,620,958 17/06/2015 (2,814) (0.00)

HUF 139,448,886 USD 501,146 17/06/2015 (5,441) (0.01)

MXN 128,232,307 USD 8,364,764 17/06/2015 (4,867) (0.01)

PLN 14,993,512 USD 4,022,117 17/06/2015 (25,566) (0.02)

TRY 7,618,485 USD 2,915,362 17/06/2015 (53,678) (0.05)

USD 206,908 DKK 1,413,786 17/06/2015 (1,575) (0.00)

USD 15,457,073 EUR 14,148,155 17/06/2015 (102,476) (0.10)

USD 917,411 HUF 259,555,460 17/06/2015 (5,242) (0.01)

USD 2,090,253 ILS 8,095,500 17/06/2015 (1,724) (0.00)

USD 8,122,005 MXN 124,744,397 17/06/2015 (10,503) (0.01)

USD 3,509,034 PLN 13,385,947 17/06/2015 (59,017) (0.06)

ZAR 44,485,209 USD 3,733,492 17/06/2015 (75,258) (0.07)

COP 6,383,828,466 USD 2,549,712 22/06/2015 (29,562) (0.03)

MYR 1,431,100 USD 391,011 26/06/2015 (1,442) (0.00)

USD 628,983 THB 21,303,654 26/06/2015 (3,756) (0.00)

USD 266,367 RUB 14,190,010 29/06/2015 (1,114) (0.00)

USD 64,000 CLP 39,545,600 30/06/2015 (189) (0.00)

IDR 3,947,346,020 USD 295,903 24/07/2015 (217) (0.00)

KRW 11,175,977,908 USD 10,183,316 24/07/2015 (114,442) (0.11)

MYR 10,956,130 USD 3,034,771 24/07/2015 (59,302) (0.06)

USD 1,525,200 COP 3,898,412,000 24/07/2015 (8,881) (0.01)



Unrealised % of



EUR 38,056,556 USD 41,888,649 15/06/2015 (36,765) (0.03)






Interest Rate Swaps

30,720,000 Floating (BRL 1 month BRCDI) Fixed 13.810% BRL 04/01/2016 2,328 0.00



500,000 Floating (CAD 3 month CDOR) Fixed 2.750% CAD 17/06/2025 1,411 0.00





5,950,000 Floating (EUR 6 month LIBOR) Fixed 1.150% EUR 27/02/2025 14,978 0.02


1,600,000 Floating (EUR 6 month LIBOR) Fixed 1.400% EUR 27/02/2035 9,362 0.01

666,890,000 Fixed 7.369% Floating (INR 6 month LIBOR) INR 28/05/2016 847 0.00

3,653,000,000 Floating (KRW 3 month KSDA) Fixed 1.875% KRW 26/05/2018 11,705 0.01

36,200,000 Floating (NOK 6 month LIBOR) Fixed 1.000% NOK 11/05/2017 134 0.00



6,300,000 Floating (USD 3 month LIBOR) Fixed 2.175% USD 05/05/2020 570 0.00

700,000 Floating (USD 3 month LIBOR) Fixed 3.250% USD 17/06/2045 7,264 0.01



284



As at 31 May 2015






Interest Rate Swaps

800,000,000 Fixed 4.280% Floating (CLP 6 month CLICP) CLP 16/09/2020 (4,357) (0.00)




5,500,000 Fixed 1.350% Floating (EUR 6 month LIBOR) EUR 27/02/2030 (25,583) (0.03)



300,000 Fixed 1.500% Floating (EUR 6 month LIBOR) EUR 03/02/2045 (2,179) (0.00)




24,500,000 Fixed 0.500% Floating (SEK 3 month STIBOR) SEK 17/06/2020 (7,453) (0.01)

350,000,000 Floating (THB 6 month LIBOR) Fixed 1.470% THB 26/05/2017 (8,181) (0.01)




2,050,000 Fixed 2.606% Floating (USD 3 month LIBOR) USD 05/05/2027 (307) (0.00)





(cost USD 109 ,440 ,138) 108,057,200 104.08



% of













Rates disclosed for Corporate Bonds, Government Bonds and Time Deposits are those that were in effect at 31 May 2015.

The Futures Commission Merchant was Morgan Stanley Co., Inc.

The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A., Citibank NA London, Deutsche Bank AG, HSBC Bank Plc., JP

Morgan Chase Bank NA London, Royal Bank of Canada, Royal Bank of Scotland Plc., Standard Chartered Bank, State Street Bank & Trust, UBS AG London and Westpac Banking

Corp.

The counterparties for swap contracts were Bank of America NA, BNP Paribas S.A. London, Citibank NA, JP Morgan Chase Bank NA and Morgan Stanley Capital Services, Inc.








285



As at 31 May 2015

Goldman Sachs Funds—Growth & Emerging Markets Corporate Bond Portfolio



Argentina

2,060,000 YPF S.A. USD 8.875% 19/12/2018 2,219,032 0.76

1,310,000 YPF S.A. USD 8.500% 28/07/2025 1,339,475 0.46

3,558,507 1.22

Azerbaijan

1,430,000 State Oil Co. of the Azerbaijan Republic USD 6.950% 18/03/2030 1,533,675 0.53

Bangladesh

770,000 Banglalink Digital Communications Ltd. USD 8.625% 06/05/2019 800,800 0.28

Bermuda

2,430,000 Digicel Ltd. USD 6.750% 01/03/2023 2,423,925 0.83

2,080,000 Kosmos Energy Ltd. 144A(c) USD 7.875% 01/08/2021 2,052,918 0.71

4,476,843 1.54

Brazil

3,910,000 Banco do Brasil S.A.(d) USD 6.250% 29/10/2049 2,911,777 1.00

750,000 Banco Santander Brasil S.A. BRL 8.000% 18/03/2016 224,696 0.08

3,136,473 1.08


820,000 China Resources Power East Foundation Co. Ltd.(d) USD 7.250% 09/05/2049 847,675 0.29

2,730,000 PCCW-HKT Capital No 3 Ltd. USD 5.250% 20/07/2015 2,744,155 0.94


1,920,000 Studio City Finance Ltd. 144A(c) USD 8.500% 01/12/2020 1,948,800 0.67

6,927,567 2.38

Cayman Islands

830,000 Agromercantil Senior Trust USD 6.250% 10/04/2019 866,196 0.30

360,000 Alliance Global Group, Inc. USD 6.500% 18/08/2017 384,293 0.13

6,000,000 Biostime International Holdings Ltd. HKD 4.929% 20/02/2019 743,109 0.26

3,100,000 China Resources Cement Holdings Ltd. ‘H’ USD 2.125% 05/10/2017 3,117,112 1.07

2,030,000 Comcel Trust via Comunicaciones Celulares S.A. USD 6.875% 06/02/2024 2,197,475 0.76

2,370,000 Golden Eagle Retail Group Ltd. USD 4.625% 21/05/2023 2,039,219 0.70

400,000 Hutchison Whampoa International 10 Ltd.(d) USD 6.000% 29/04/2049 407,500 0.14

260,000 MAF Global Securities Ltd.(d) USD 7.125% 29/10/2049 281,775 0.10

140,625 Pemex Finance Ltd. USD 10.610% 15/08/2017 156,472 0.05

244,755 Peru Enhanced Pass-Through Finance Ltd. USD 1.287% 31/05/2018 234,728 0.08

307,000 Peru Enhanced Pass-Through Finance Ltd. USD 2.736% 02/06/2025 232,322 0.08

800,000 SOHO China Ltd. USD 7.125% 07/11/2022 808,000 0.28

1,205,000 Sun Hung Kai Properties Capital Market Ltd. USD 3.500% 02/11/2016 1,240,333 0.43

370,000 Sun Hung Kai Properties Capital Market Ltd. USD 5.375% 08/03/2017 393,879 0.13

830,000 Sunac China Holdings Ltd. USD 8.750% 05/12/2019 825,850 0.28

2,000,000 UOB Cayman I Ltd.(d) USD 5.796% 29/12/2049 2,055,000 0.71

15,983,263 5.50

Chile

3,840,000 Corpbanca S.A. USD 3.875% 22/09/2019 3,916,800 1.35


890,000 Sociedad Quimica y Minera de Chile S.A. USD 3.625% 03/04/2023 863,491 0.29

9,915,541 3.41

China

770,000 Bluestar Finance Holdings Ltd. USD 3.875% 03/06/2020 770,839 0.27

Colombia

3,190,000 Banco de Bogota S.A. USD 5.000% 15/01/2017 3,322,385 1.15

2,880,000 Bancolombia S.A. USD 5.950% 03/06/2021 3,205,814 1.10

490,000 Ecopetrol S.A. USD 5.875% 18/09/2023 525,525 0.18

7,053,724 2.43

% of



Maturity Date(b)

USD Equity

286



As at 31 May 2015

% of



Maturity Date(b)

USD Equity



Hong Kong

1,640,000 CITIC Ltd. USD 6.625% 15/04/2021 1,899,755 0.65

590,000 CITIC Ltd. USD 6.800% 17/01/2023 695,321 0.24

1,340,000 CITIC Ltd.(d) USD 8.625% 29/05/2049 1,551,050 0.53

2,590,000 Wharf Finance Ltd. USD 4.625% 08/02/2017 2,715,058 0.94

300,000 Wharf Finance Ltd. USD 3.500% 23/01/2019 309,257 0.11

7,170,441 2.47

India

780,000 ICICI Bank Ltd.(d) USD 6.375% 30/04/2022 809,777 0.28

3,012,000 State Bank of India(d) USD 6.439% 29/11/2049 3,094,830 1.06

3,904,607 1.34

Ireland

2,280,000 EDC Finance Ltd. USD 4.875% 17/04/2020 2,109,000 0.73

1,120,000 Mobile Telesystems OJSC via MTS International Funding Ltd. USD 5.000% 30/05/2023 1,033,200 0.35

2,520,000 Phosagro OAO via Phosagro Bond Funding Ltd. USD 4.204% 13/02/2018 2,444,400 0.84

5,586,600 1.92

Israel

4,780,000 Delek & Avner Tamar Bond Ltd. 144A(c) USD 2.803% 30/12/2016 4,809,875 1.66

3,940,000 Delek & Avner Tamar Bond Ltd. 144A(c) USD 3.839% 30/12/2018 4,004,025 1.38

460,000 Israel Electric Corp., Ltd. USD 5.625% 21/06/2018 495,650 0.17




10,568,542 3.64

Kazakhstan

2,340,000 KazMunayGas National Co. JSC USD 9.125% 02/07/2018 2,661,750 0.92

Korea

1,370,000 Kookmin Bank USD 1.625% 14/07/2017 1,368,527 0.47

Luxembourg

3,560,000 361 Degrees International CNH 7.500% 12/09/2017 554,302 0.19

680,000 Altice Financing S.A. USD 7.875% 15/12/2019 724,200 0.25



1,080,000 Altice Financing S.A. USD 6.625% 15/02/2023 1,121,850 0.39


1,050,000 Gazprom Neft OAO Via GPN Capital S.A. USD 4.375% 19/09/2022 921,375 0.32

110,000 Gazprom OAO Via Gaz Capital S.A. USD 8.625% 28/04/2034 125,950 0.04

1,720,000 MHP S.A. USD 8.250% 02/04/2020 1,450,751 0.50


350,000 Tupy Overseas S.A. 144A(c) USD 6.625% 17/07/2024 350,000 0.12

3,630,000 Wind Acquisition Finance S.A. USD 7.375% 23/04/2021 3,820,575 1.32

620,000 Wind Acquisition Finance S.A. 144A(c) EUR 4.000% 15/07/2020 693,937 0.24

15,081,505 5.19

Mexico


590,000 Cemex SAB de CV USD 7.250% 15/01/2021 635,165 0.22



2,480,000 Gruma SAB de CV USD 4.875% 01/12/2024 2,627,312 0.91

420,000 Grupo Cementos de Chihuahua SAB de CV USD 8.125% 08/02/2020 454,650 0.16

1,092,000 Grupo Televisa SAB USD 6.000% 15/05/2018 1,221,621 0.42

2,130,000 JB y Co. S.A. de CV USD 3.750% 13/05/2025 2,130,213 0.73

951,000 Metalsa S.A. de CV USD 4.900% 24/04/2023 919,997 0.32

13,202,200 Petroleos Mexicanos MXN 7.470% 12/11/2026 830,644 0.29

10,182,659 3.51

287



As at 31 May 2015



Netherlands

1,840,000 Greenko Dutch BV USD 8.000% 01/08/2019 1,774,809 0.61

2,170,000 Helios Towers Finance Netherlands BV USD 8.375% 15/07/2019 1,943,322 0.67

160,000 Indosat Palapa Co. BV USD 7.375% 29/07/2020 166,600 0.06

4,690,000 Lukoil International Finance BV USD 3.416% 24/04/2018 4,514,125 1.55


1,970,000 Petrobras Global Finance BV USD 5.750% 20/01/2020 1,979,495 0.68

640,000 Petrobras Global Finance BV EUR 4.250% 02/10/2023 670,286 0.23

13,253,862 4.56

Paraguay

3,653,000 Banco Regional SAECA USD 8.125% 24/01/2019 3,951,870 1.36

Peru

4,845,000 Abengoa Transmision Sur S.A. USD 6.875% 30/04/2043 5,474,850 1.89

770,000 Abengoa Transmision Sur S.A. 144A(c) USD 6.875% 30/04/2043 871,063 0.30

280,000 SAN Miguel Industrias Pet S.A. USD 7.750% 06/11/2020 300,300 0.10

6,646,213 2.29

Philippines

3,360,000 Energy Development Corp. USD 6.500% 20/01/2021 3,726,139 1.28

750,000 San Miguel Corp. USD 4.875% 26/04/2023 733,125 0.25

240,000 SM Investments Corp. USD 5.500% 13/10/2017 252,600 0.09

1,880,000 SMC Global Power Holdings Corp.(d) USD 7.500% 07/11/2049 1,996,908 0.69

6,708,772 2.31

Singapore

1,480,000 Bumi Investment Pte Ltd. USD 10.750% 06/10/2017 429,200 0.15

900,000 Olam International Ltd. USD 6.000% 15/10/2016 945,000 0.33

2,310,000 Pratama Agung Pte Ltd. USD 6.250% 24/02/2020 2,269,575 0.78

1,050,000 TBG Global Pte Ltd. USD 5.250% 10/02/2022 1,044,750 0.36

680,000 TBG Global Pte Ltd. USD 5.250% 10/02/2022 676,600 0.23

5,365,125 1.85

Turkey

790,000 Anadolu Efes Biracilik Ve Malt Sanayii AS USD 3.375% 01/11/2022 704,088 0.24

1,020,000 Anadolu Efes Biracilik Ve Malt Sanayii AS USD 3.375% 01/11/2022 909,075 0.31

400,000 Export Credit Bank of Turkey USD 5.000% 23/09/2021 406,500 0.14

2,850,000 Global Liman Isletmeleri USD 8.125% 14/11/2021 2,654,248 0.91

2,030,000 Turkiye Vakiflar Bankasi Tao USD 3.750% 15/04/2018 2,017,312 0.70

6,691,223 2.30


660,000 DP World Ltd. USD 3.250% 18/05/2020 663,135 0.23

5,705,000 Ruwais Power Co. PJSC USD 6.000% 31/08/2036 6,760,425 2.32

390,000 Ruwais Power Co. PJSC 144A(c) USD 6.000% 31/08/2036 462,150 0.16

7,885,710 2.71

United States


Venezuela

3,170,000 Petroleos de Venezuela S.A. USD 5.375% 12/04/2027 1,129,313 0.39

Vietnam

2,210,000 Debt and Asset Trading Corp. USD 1.000% 10/10/2025 1,248,650 0.43


(cost USD 162 ,660 ,283) 164,097,408 56.48


Argentina

140,204 Argentine Republic Government International Bond USD 8.280% 31/12/2033 140,905 0.05

Bulgaria

860,000 Bulgaria Government International Bond EUR 2.000% 26/03/2022 929,065 0.32

Croatia

5,330,000 Croatia Government International Bond USD 6.250% 27/04/2017 5,663,125 1.95

% of



Maturity Date(b)

USD Equity

288



As at 31 May 2015



Dominican Republic

213,000 Dominican Republic International Bond USD 7.450% 30/04/2044 235,897 0.08

1,810,000 Dominican Republic International Bond USD 6.850% 27/01/2045 1,873,350 0.64

100,000 Dominican Republic International Bond 144A(c) USD 6.850% 27/01/2045 103,500 0.04

2,212,747 0.76

Indonesia



894,188 0.31

Mexico

697,736,400 Mexico Cetes MXN (1.081%) 04/06/2015 4,551,254 1.57

82,065,700 Mexico Cetes MXN 2.985% 11/06/2015 534,994 0.18

200,935,200 Mexico Cetes MXN 4.335% 18/06/2015 1,309,143 0.45

75,995,500 Mexico Cetes MXN 3.409% 02/07/2015 494,544 0.17

1,038,327,700 Mexico Cetes MXN 3.139% 20/08/2015 6,728,164 2.32

76,755,500 Mexico Cetes MXN 3.267% 01/10/2015 495,517 0.17

14,113,616 4.86

Turkey


United States






3,297,461 1.13


(cost USD 27 ,512 ,238) 27,528,607 9.48


Ireland


TOTAL MUTUAL FUNDS

(cost USD 22 ,960 ,058) 22,960,058 7.90


(cost USD 213 ,132 ,579) 214,586,073 73.86



Argentina

1,856 Transportadora de Gas del Sur S.A. USD 9.625% 14/05/2020 1,893 0.00

Bermuda

3,000,000 Digicel Group Ltd. USD 8.250% 30/09/2020 3,117,900 1.07

500,000 Digicel Ltd. USD 6.000% 15/04/2021 493,262 0.17

950,000 Digicel Ltd. 144A(c) USD 6.750% 01/03/2023 947,625 0.33

4,558,787 1.57

Brazil


2,930,000 Banco do Estado do Rio Grande do Sul S.A. USD 7.375% 02/02/2022 2,963,387 1.02

5,669,351 1.95


1,296,000 Arcos Dorados Holdings, Inc. USD 6.625% 27/09/2023 1,302,869 0.45

993,000 Central American Bottling Corp. USD 6.750% 09/02/2022 1,056,055 0.36

2,358,924 0.81

Canada

1,610,000 Pacific Rubiales Energy Corp. USD 7.250% 12/12/2021 1,513,400 0.52

% of



Maturity Date(b)

USD Equity

289



As at 31 May 2015



Chile

1,659,000 AES Gener S.A. USD 5.250% 15/08/2021 1,787,573 0.62

3,500,000 Cencosud S.A. USD 6.625% 12/02/2045 3,412,500 1.17

890,000 E.CL S.A. USD 5.625% 15/01/2021 986,832 0.34

1,270,000 Embotelladora Andina S.A. USD 5.000% 01/10/2023 1,393,825 0.48

1,175,000 Sociedad Quimica y Minera de Chile S.A. USD 5.500% 21/04/2020 1,245,500 0.43


11,940,470 4.11

Colombia

420,000 Empresas Publicas de Medellin ESP USD 7.625% 29/07/2019 495,338 0.17

420,000 Transportadora de Gas Internacional S.A. ESP USD 5.700% 20/03/2022 449,400 0.15

944,738 0.32

Dominican Republic

4,723,000 Aeropuertos Dominicanos Siglo XXI S.A.(d) USD 9.750% 13/11/2019 4,841,075 1.67

Luxembourg

1,060,000 Millicom International Cellular S.A. USD 4.750% 22/05/2020 1,059,913 0.37

210,000 Millicom International Cellular S.A. 144A(c) USD 4.750% 22/05/2020 209,983 0.07

1,269,896 0.44

Mexico

1,370,000 Sixsigma Networks Mexico S.A. de CV USD 8.250% 07/11/2021 1,469,325 0.50

1,780,000 Trust F/1401 USD 5.250% 15/12/2024 1,881,460 0.65

200,000 Trust F/1401 USD 6.950% 30/01/2044 225,500 0.08

3,576,285 1.23

Netherlands

1,020,000 Listrindo Capital BV USD 6.950% 21/02/2019 1,074,488 0.37

Paraguay

1,940,000 Banco Continental SAECA USD 8.875% 15/10/2017 2,037,834 0.70

530,000 Telefonica Celular del Paraguay S.A. USD 6.750% 13/12/2022 564,450 0.19

2,602,284 0.89

Peru

6,268,000 Corp Lindley S.A. USD 6.750% 23/11/2021 7,020,160 2.42

Qatar

532,611 Ras Laffan Liquefied Natural Gas Co., Ltd. II USD 5.298% 30/09/2020 579,215 0.20

2,110,000 Ras Laffan Liquefied Natural Gas Co., Ltd. III USD 6.332% 30/09/2027 2,506,627 0.86

690,000 Ras Laffan Liquefied Natural Gas Co., Ltd. III 144A USD 5.838% 30/09/2027 797,312 0.28

3,883,154 1.34


1,540,000 Dolphin Energy Ltd. USD 5.500% 15/12/2021 1,773,464 0.61


(cost USD 52 ,393 ,630) 53,028,369 18.25


United States











19,825,536 6.83


(cost USD 19 ,933 ,677) 19,825,536 6.83

% of



Maturity Date(b)

USD Equity

290



As at 31 May 2015



Puerto Rico

10,000 Commonwealth of Puerto Rico "A" USD 5.125% 01/07/2031 7,163 0.00







15,000 Commonwealth of Puerto Rico "B" USD 5.750% 01/07/2038 10,913 0.00

100,000 Commonwealth of Puerto Rico "C" USD 6.000% 01/07/2039 73,750 0.03

265,000 Commonwealth of Puerto Rico "D" USD 5.750% 01/07/2041 193,124 0.07

10,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority "A" USD 5.000% 01/07/2033 7,275 0.00




25,000 Puerto Rico Sales Tax Financing Corp.(g) USD 0.000%/6.250% 01/08/2033 10,859 0.00

45,000 Puerto Rico Sales Tax Financing Corp. "A" USD 5.500% 01/08/2028 27,902 0.01


75,000 Puerto Rico Sales Tax Financing Corp. "A"(g) USD 0.000%/6.750% 01/08/2032 45,216 0.02






5,000 Puerto Rico Sales Tax Financing Corp. "B" USD 6.375% 01/08/2039 3,325 0.00

1,743,266 0.60

United States

500,000 Puerto Rico Sales Tax Financing Corp. "C" USD 5.375% 01/08/2036 313,760 0.11





377,006 0.13


(cost USD 2 ,229 ,415) 2,120,272 0.73


(cost USD 74 ,556 ,722) 74,974,177 25.81



Australia

2,980,000 Toyota Finance Australia Ltd. MXN 3.760% 20/07/2017 190,323 0.07

Cayman Islands

3,373,000 Brazil Minas SPE via State of Minas Gerais USD 5.333% 15/02/2028 3,292,891 1.13

Hong Kong

1,140,000 China Unicom Hong Kong Ltd. CNH 4.000% 16/04/2017 184,033 0.06


(cost USD 3 ,705 ,062) 3,667,247 1.26


(cost USD 3 ,705 ,062) 3,667,247 1.26


(cost USD 291 ,394 ,363) 293,227,497 100.93

% of



Maturity Date(b)

USD Equity

291



As at 31 May 2015






USD




52,166,883 54,874 0.02





USD

(12) US Treasury Bond Ultra Long Futures 21/09/2015 Short (1,910,625) (6,656) (0.00)


(2,220,250) (8,578) (0.00)



Unrealised % of



USD 4,746,582 MXN 71,934,457 04/06/2015 52,363 0.02

USD 231,563 BRL 735,305 02/07/2015 2,052 0.00

USD 723,250 HKD 5,607,500 13/07/2015 151 0.00

USD 6,727,062 MXN 103,047,821 20/08/2015 39,522 0.01


Unrealised % of



USD 1,436,721 MXN 22,243,024 12/06/2015 (13,920) (0.00)

USD 4,165,838 EUR 3,836,000 15/06/2015 (52,721) (0.02)

USD 1,812,098 MXN 28,080,274 18/06/2015 (18,412) (0.01)

USD 702,226 CNH 4,376,694 23/06/2015 (2,407) (0.00)

USD 489,228 MXN 7,538,862 02/07/2015 (1,704) (0.00)

USD 486,671 MXN 7,545,597 01/10/2015 (1,554) (0.00)



Unrealised % of



EUR 40,826,436 USD 44,346,018 15/06/2015 551,982 0.19

USD 208,780 EUR 186,326 15/06/2015 3,872 0.00


Unrealised % of



GBP 28,435,625 USD 43,752,435 15/07/2015 (289,238) (0.10)


292



As at 31 May 2015






Interest Rate Swaps

7,300,000 Fixed 6.145% Floating (MXN 1 month TIIE) MXN 28/05/2024 369 0.00

11,990,000 Fixed 5.660% Floating (MXN 1 month LIBOR) MXN 24/01/2025 35,514 0.01






Interest Rate Swaps





4,480,000 Fixed 1.000% Floating (People’s Republic of China) USD 20/12/2019 (8,498) (0.00)




(cost USD 286 ,620 ,043) 293,486,554 101.02



% of














Rates disclosed for Corporate Bonds, Government Bonds and Municipal Bonds are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., Citibank NA London, Deutsche Bank AG, JP Morgan Chase Bank NA London,

Merrill Lynch International, Royal Bank of Canada, Royal Bank of Scotland Plc., State Street Bank & Trust, UBS AG London and Westpac Banking Corp.

The counterparties for swap contracts were Barclays Bank Plc, Credit Suisse Debt Capital Markets and JP Morgan Chase Bank NA.









(g) These securities are issued with the first indicated rate which increases to the second rate at a set date in the future.

293



As at 31 May 2015

Goldman Sachs Funds—Growth & Emerging Markets Debt Blend Portfolio



Azerbaijan

570,000 State Oil Co. of the Azerbaijan Republic USD 6.950% 18/03/2030 611,325 0.25

Bangladesh

370,000 Banglalink Digital Communications Ltd. USD 8.625% 06/05/2019 384,800 0.16

Bermuda

620,000 Kosmos Energy Ltd. 144A(c) USD 7.875% 01/08/2021 611,928 0.25

Brazil

940,000 Banco do Brasil S.A.(d) USD 6.250% 29/10/2049 700,018 0.29


739,000 PCCW-HKT Capital No 3 Ltd. USD 5.250% 20/07/2015 742,832 0.31

250,000 Studio City Finance Ltd. 144A(c) USD 8.500% 01/12/2020 253,750 0.10

996,582 0.41

Cayman Islands

430,000 Agromercantil Senior Trust USD 6.250% 10/04/2019 448,752 0.18

190,000 Agromercantil Senior Trust 144A(c) USD 6.250% 10/04/2019 198,286 0.08

130,000 Alliance Global Group, Inc. USD 6.500% 18/08/2017 138,772 0.06

2,000,000 Biostime International Holdings Ltd. HKD 4.929% 20/02/2019 247,703 0.10

310,000 China Resources Cement Holdings Ltd. ‘H’ USD 2.125% 05/10/2017 311,711 0.13

370,000 Comcel Trust via Comunicaciones Celulares S.A. USD 6.875% 06/02/2024 400,525 0.16

650,000 Golden Eagle Retail Group Ltd. USD 4.625% 21/05/2023 559,280 0.23

200,000 Hutchison Whampoa International 10 Ltd.(d) USD 6.000% 29/04/2049 203,750 0.08

200,000 MAF Global Securities Ltd.(d) USD 7.125% 29/10/2049 216,750 0.09

1,437,333 Mestenio Ltd. USD 8.500% 02/01/2020 1,509,200 0.62

1,010,000 SOHO China Ltd. USD 7.125% 07/11/2022 1,020,100 0.42

590,000 Sunac China Holding Ltd. USD 8.750% 05/12/2019 587,050 0.24

5,841,879 2.39

Chile

1,286,000 Corpbanca S.A. USD 3.875% 22/09/2019 1,311,720 0.54

842,000 E.CL S.A. USD 4.500% 29/01/2025 879,890 0.36

400,000 Empresa Electrica Guacolda S.A. USD 4.560% 30/04/2025 396,000 0.16


200,000 Sociedad Quimica y Minera de Chile S.A. USD 3.625% 03/04/2023 194,043 0.08

5,057,153 2.07

China

230,000 Bluestar Finance Holdings Ltd. USD 3.875% 03/06/2020 230,251 0.09

Colombia

510,000 Banco de Bogota S.A. USD 5.000% 15/01/2017 531,165 0.22


190,000 Ecopetrol S.A. USD 5.875% 18/09/2023 203,775 0.08

320,000 Ecopetrol S.A. USD 7.375% 18/09/2043 346,243 0.14

200,000 Empresa de Energia de Bogota S.A. ESP USD 6.125% 10/11/2021 215,000 0.09

2,743,252 1.12

Hong Kong

220,000 CITIC Ltd. USD 6.875% 21/01/2018 244,447 0.10

920,000 CITIC Ltd. USD 6.375% 10/04/2020 1,046,553 0.43

1,030,000 CITIC Ltd. USD 6.800% 17/01/2023 1,213,866 0.50

480,000 CITIC Ltd.(d) USD 8.625% 29/05/2049 555,600 0.23



3,517,529 1.44

India

160,000 ICICI Bank Ltd.(d) USD 6.375% 30/04/2022 166,108 0.07

880,000 State Bank of India(d) USD 6.439% 29/11/2049 904,200 0.37

1,070,308 0.44

% of



Maturity Date(b)

USD Equity

294



As at 31 May 2015



Ireland

700,000 EDC Finance Ltd. USD 4.875% 17/04/2020 647,500 0.26

200,000 Mobile Telesystems OJSC via MTS International Funding Ltd. USD 5.000% 30/05/2023 184,500 0.08

770,000 Phosagro OAO via Phosagro Bond Funding Ltd. USD 4.204% 13/02/2018 746,900 0.31

200,000 Saderea Ltd. USD 12.500% 30/11/2026 181,000 0.07

1,759,900 0.72

Israel

970,000 Delek & Avner Tamar Bond Ltd. 144A(c) USD 2.803% 30/12/2016 976,063 0.40

970,000 Delek & Avner Tamar Bond Ltd. 144A(c) USD 3.839% 30/12/2018 985,762 0.40


2,599,525 1.06

Kazakhstan

980,000 KazMunayGas National Co. JSC USD 7.000% 05/05/2020 1,049,825 0.43

Korea

410,000 Kookmin Bank USD 1.625% 14/07/2017 409,559 0.17

Luxembourg

2,530,000 361 Degrees International CNH 7.500% 12/09/2017 393,928 0.16




1,070,000 Gazprom Neft OAO Via GPN Capital S.A. USD 4.375% 19/09/2022 938,925 0.38

910,000 Gazprom Neft OAO Via GPN Capital S.A. USD 6.000% 27/11/2023 871,325 0.36

450,000 MHP S.A. USD 8.250% 02/04/2020 379,557 0.16

930,000 Tupy Overseas S.A. USD 6.625% 17/07/2024 930,000 0.38

530,000 Wind Acquisition Finance S.A. EUR 4.000% 15/07/2020 593,205 0.24

810,000 Wind Acquisition Finance S.A. USD 7.375% 23/04/2021 852,525 0.35

5,874,417 2.40

Mexico


400,000 Cemex SAB de CV USD 7.250% 15/01/2021 430,620 0.18


930,000 Gruma SAB de CV USD 4.875% 01/12/2024 985,242 0.40

650,000 JB y Co. S.A. de CV USD 3.750% 13/05/2025 650,065 0.27

477,000 Metalsa S.A. de CV USD 4.900% 24/04/2023 461,450 0.19

12,788,600 Petroleos Mexicanos MXN 7.470% 12/11/2026 804,621 0.33

4,362,249 1.79

Netherlands

720,000 Greenko Dutch BV USD 8.000% 01/08/2019 694,491 0.28

380,000 Helios Towers Finance Netherlands BV USD 8.375% 15/07/2019 340,305 0.14



620,000 Petrobras Global Finance BV USD 5.750% 20/01/2020 622,988 0.25

2,280,659 0.93

Paraguay


Peru


240,000 SAN Miguel Industrias Pet S.A. USD 7.750% 06/11/2020 257,400 0.11

2,142,240 0.88

Philippines


300,000 San Miguel Corp. USD 4.875% 26/04/2023 293,250 0.12

180,000 SM Investments Corp. USD 5.500% 13/10/2017 189,450 0.08

600,000 SMC Global Power Holdings Corp.(d) USD 7.500% 07/11/2049 637,311 0.26

2,350,968 0.96

% of



Maturity Date(b)

USD Equity

295



As at 31 May 2015



Singapore

800,000 Bumi Investment Pte Ltd. USD 10.750% 06/10/2017 232,000 0.09


740,000 Pratama Agung Pte Ltd. USD 6.250% 24/02/2020 727,050 0.30

580,000 TBG Global Pte Ltd. USD 5.250% 10/02/2022 577,100 0.24

1,956,150 0.80

Turkey

200,000 Anadolu Efes Biracilik Ve Malt Sanayii AS USD 3.375% 01/11/2022 178,250 0.07

880,000 Global Liman Isletmeleri USD 8.125% 14/11/2021 819,557 0.34

620,000 Turkiye Vakiflar Bankasi Tao USD 3.750% 15/04/2018 616,125 0.25

1,613,932 0.66


290,000 DP World Ltd. USD 3.250% 18/05/2020 291,377 0.12


2,696,927 1.10

United States

1,691,797 Brazil Loan Trust 1 USD 5.477% 24/07/2023 1,696,026 0.69


2,050,652 0.84

Venezuela

390,000 Petroleos de Venezuela S.A. USD 6.000% 16/05/2024 146,250 0.06


174,750 0.07

Vietnam

230,000 Debt and Asset Trading Corp. USD 1.000% 10/10/2025 129,950 0.05


(cost USD 53 ,957 ,774) 54,362,370 22.24


Argentina


137,610 Argentine Republic Government International Bond EUR 7.820% 31/12/2033 140,340 0.06


6,090,000 Argentine Republic Government International Bond(d) USD 9.075% 15/12/2035 555,712 0.23

1,361,179 0.56

Azerbaijan

1,150,000 Republic of Azerbaijan International Bond USD 4.750% 18/03/2024 1,191,687 0.49

Brazil

1,166,000 Brazil Letras do Tesouro Nacional BRL 13.845% 01/01/2016 340,415 0.14

26,880,000 Brazil Letras do Tesouro Nacional BRL 13.225% 01/01/2017 6,949,685 2.84


444,000 Brazil Notas do Tesouro Nacional—Series B BRL 6.000% 15/05/2055 379,514 0.16

2,500,000 Brazil Notas do Tesouro Nacional—Series F BRL 10.000% 01/01/2023 737,686 0.30


12,934,726 5.29

Bulgaria





1,279,189 0.52

% of



Maturity Date(b)

USD Equity

296



As at 31 May 2015



Colombia

464,000,000 Colombia Government International Bond COP 7.750% 14/04/2021 203,280 0.08


3,200,000 Colombian TES "B" COP 11.250% 24/10/2018 1,492 0.00


12,425,900,000 Colombian TES "B" COP 7.000% 04/05/2022 5,035,148 2.06




8,076,484 3.30

Costa Rica

80,000 Costa Rica Government International Bond USD 9.995% 01/08/2020 101,800 0.04



1,387,937 0.57

Croatia

520,000 Croatia Government International Bond USD 6.250% 27/04/2017 552,500 0.23




980,000 Croatia Government International Bond EUR 3.875% 30/05/2022 1,108,129 0.45



580,000 Croatia Government International Bond EUR 3.000% 11/03/2025 598,678 0.25

4,604,026 1.88

Dominican Republic



7,000,000 Dominican Republic International Bond DOP 14.500% 10/02/2023 190,337 0.08




220,000 Dominican Republic International Bond 144A(c) USD 6.850% 27/01/2045 227,700 0.09

2,942,121 1.20

Ecuador

210,000 Ecuador Government International Bond USD 10.500% 24/03/2020 219,450 0.09

El Salvador

100,000 El Salvador Government International Bond USD 7.375% 01/12/2019 109,687 0.05




429,987 0.18

Ethiopia

200,000 Federal Democratic Republic of Ethiopia USD 6.625% 11/12/2024 200,700 0.08

Gabon

100,000 Gabonese Republic USD 8.200% 12/12/2017 107,250 0.04

Guatemala

330,000 Guatemala Government Bond USD 5.750% 06/06/2022 359,288 0.15

Honduras

220,000 Honduras Government International Bond USD 7.500% 15/03/2024 240,350 0.10

380,000 Republic of Honduras USD 8.750% 16/12/2020 433,200 0.18

673,550 0.28

% of



Maturity Date(b)

USD Equity

297



As at 31 May 2015



Hungary


547,910,000 Hungary Government Bond HUF 6.500% 24/06/2019 2,244,896 0.92






560,000 Hungary Government International Bond EUR 4.375% 04/07/2017 658,807 0.27

250,000 Hungary Government International Bond USD 4.125% 19/02/2018 262,232 0.11

1,170,000 Hungary Government International Bond EUR 5.750% 11/06/2018 1,465,473 0.60

560,000 Hungary Government International Bond EUR 6.000% 11/01/2019 721,084 0.29





9,448,256 3.86

Indonesia



370,000 Perusahaan Penerbit SBSN Indonesia III USD 3.300% 21/11/2022 358,068 0.15

1,849,430 0.76

Kazakhstan

200,000 Kazakhstan Government International Bond USD 4.875% 14/10/2044 180,750 0.07

Kenya

200,000 Kenya Government International Bond USD 6.875% 24/06/2024 210,000 0.09

Latvia

320,000 Latvia Government International Bond USD 5.250% 22/02/2017 342,800 0.14

Lithuania

620,000 Lithuania Government International Bond USD 7.375% 11/02/2020 754,131 0.31

270,000 Lithuania Government International Bond USD 6.125% 09/03/2021 319,315 0.13

1,073,446 0.44

Mexico

68,363,400 Mexican Bonos MXN 8.500% 13/12/2018 4,983,239 2.04





12,465,400 Mexican Bonos—Series M 20 MXN 10.000% 05/12/2024 1,050,669 0.43



1,450,983 Mexican Udibonos—Series S MXN 5.000% 16/06/2016 99,074 0.04

567,063 Mexican Udibonos—Series S MXN 3.500% 14/12/2017 39,191 0.02



1,290,815,100 Mexico Cetes MXN 3.139% 20/08/2015 8,364,234 3.42


120,000 Mexico Government International Bond EUR 4.000% 15/03/2115 125,089 0.05

22,273,427 9.11

Nigeria

53,880,000 Nigeria Government Bond—Series 7 NGN 16.000% 29/06/2019 286,128 0.12

200,000 Nigeria Government International Bond USD 6.375% 12/07/2023 206,300 0.08

492,428 0.20

Pakistan

330,000 Pakistan Government International Bond USD 7.250% 15/04/2019 346,244 0.14

% of



Maturity Date(b)

USD Equity

298



As at 31 May 2015



Panama

200,000 Panama Government International Bond USD 3.750% 16/03/2025 201,250 0.08

840,000 Panama Government International Bond USD 9.375% 01/04/2029 1,273,650 0.52


50,000 Panama Notas del Tesoro USD 4.875% 05/02/2021 53,663 0.02

1,643,650 0.67

Paraguay

330,000 Republic of Paraguay USD 4.625% 25/01/2023 339,075 0.14

Peru


40,000 Peruvian Government International Bond USD 5.625% 18/11/2050 47,200 0.02

826,291 0.34

Philippines

160,000 Philippine Government International Bond USD 6.375% 23/10/2034 222,800 0.09

280,000 Philippine Government International Bond USD 5.000% 13/01/2037 339,850 0.14

562,650 0.23

Poland






8,518,292 3.48

Romania

2,610,000 Romania Government Bond RON 5.900% 26/07/2017 701,720 0.29

1,720,000 Romania Government Bond RON 4.750% 24/06/2019 462,896 0.19

290,000 Romanian Government International Bond EUR 5.250% 17/06/2016 334,654 0.14


60,000 Romanian Government International Bond USD 6.125% 22/01/2044 73,050 0.03

1,901,264 0.78

Russia

40,000,000 Russian Federal Bond – Eurobond RUB 7.850% 10/03/2018 707,675 0.29




110,930,000 Russian Federal Bond – OFZ Bonds—Series 6212 RUB 7.050% 19/01/2028 1,642,529 0.67



5,842,022 2.39

Serbia & Montenegro

150,000 Montenegro Government International Bond EUR 3.875% 18/03/2020 159,224 0.07

Slovenia

350,000 Slovenia Government Bond EUR 1.500% 25/03/2035 336,368 0.14

South Africa

10,000 South Africa Government Bond ZAR 8.000% 21/12/2018 839 0.00







510,000 South Africa Government International Bond USD 5.375% 24/07/2044 532,950 0.22

3,514,047 1.44

Sri Lanka

530,000 Sri Lanka Government International Bond USD 6.000% 14/01/2019 544,162 0.22




2,004,607 0.82

% of



Maturity Date(b)

USD Equity

299



As at 31 May 2015



Thailand








13,242,337 5.42

Turkey




430,000 Turkey Government Bond TRY 8.500% 10/07/2019 158,535 0.06







1,510,000 Turkey Government International Bond USD 6.750% 03/04/2018 1,674,212 0.69




12,716,462 5.20

Ukraine

1,330,000 Ukraine Government International Bond USD 6.250% 17/06/2016 641,725 0.26

200,000 Ukraine Government International Bond USD 9.250% 24/07/2017 96,500 0.04

410,000 Ukraine Government International Bond USD 7.750% 23/09/2020 196,287 0.08

934,512 0.38

Uruguay

32,840 Uruguay Government International Bond USD 5.100% 18/06/2050 33,251 0.01

Venezuela

80,000 Venezuela Government International Bond USD 7.750% 13/10/2019 34,000 0.01











1,821,867 0.75

Vietnam

870,000 Vietnam Government International Bond USD 6.750% 29/01/2020 977,445 0.40

Zambia

1,610,000 Zambia Government Bond—Standard Chartered Bank 144A(c) ZMW 13.000% 03/09/2024 149,224 0.06


(cost USD 139 ,632 ,515) 127,506,943 52.16


930,000 Corp. Andina de Fomento USD 1.500% 08/08/2017 932,067 0.38


(cost USD 933 ,767) 932,067 0.38

% of



Maturity Date(b)

USD Equity

300



As at 31 May 2015



Ireland


TOTAL MUTUAL FUNDS

(cost USD 1 ,291 ,102) 1,291,102 0.53


(cost USD 195 ,815 ,158) 184,092,482 75.31



Bermuda

890,000 Digicel Group Ltd. 144A(c) USD 8.250% 30/09/2020 924,977 0.38

900,000 Digicel Ltd. 144A(c) USD 6.750% 01/03/2023 897,750 0.37

1,822,727 0.75

Brazil



2,517,780 1.03


670,000 Arcos Dorados Holdings, Inc. USD 6.625% 27/09/2023 673,551 0.27

750,000 Central American Bottling Corp. USD 6.750% 09/02/2022 797,625 0.33

1,471,176 0.60

Canada

350,000 Pacific Rubiales Energy Corp. USD 7.250% 12/12/2021 329,000 0.13

Chile

1,540,000 AES Gener S.A. USD 5.250% 15/08/2021 1,659,350 0.68

230,000 Banco del Estado de Chile USD 3.875% 08/02/2022 238,912 0.10

530,000 E.CL S.A. USD 5.625% 15/01/2021 587,664 0.24


3,704,166 1.52

Colombia


Costa Rica

1,240,000 Banco Nacional de Costa Rica USD 6.250% 01/11/2023 1,262,320 0.52

Dominican Republic

1,150,000 Aeropuertos Dominicanos Siglo XXI S.A.(g) USD 9.750% 13/11/2019 1,178,750 0.48

Luxembourg

370,000 Millicom International Cellular S.A. USD 4.750% 22/05/2020 369,970 0.15

Mexico

570,000 Sixsigma Networks Mexico S.A. de CV USD 8.250% 07/11/2021 611,325 0.25

450,000 Trust F/1401 USD 5.250% 15/12/2024 475,650 0.19

1,086,975 0.44

Netherlands

220,000 Listrindo Capital BV USD 6.950% 21/02/2019 231,752 0.09

Paraguay

540,000 Banco Continental SAECA USD 8.875% 15/10/2017 567,232 0.23

460,000 Telefonica Celular del Paraguay S.A. USD 6.750% 13/12/2022 489,900 0.20

1,057,132 0.43

Peru

15,000 Banco de Credito del Peru USD 2.750% 09/01/2018 15,225 0.01


760,000 Corp Lindley S.A. USD 4.625% 12/04/2023 744,800 0.30


3,435,225 1.41

% of



Maturity Date(b)

USD Equity

301



As at 31 May 2015



Qatar

143,175 Ras Laffan Liquefied Natural Gas Co., Ltd. II USD 5.298% 30/09/2020 155,703 0.06


963,526 0.39

Singapore

150,000 Bumi Capital Pte Ltd. USD 12.000% 10/11/2016 43,500 0.02



Venezuela

2,140,000 Petroleos de Venezuela S.A. USD 6.000% 15/11/2026 778,425 0.32


(cost USD 20 ,615 ,675) 20,742,207 8.48


Indonesia

4,800,000,000 Indonesia Treasury Bond—Deutsche Bank AG 144A(c) IDR 7.875% 18/04/2019 362,069 0.15

16,600,000,000 Indonesia Treasury Bond—Deutsche Bank AG 144A(c) IDR 8.375% 20/03/2024 1,275,723 0.52

16,600,000,000 Indonesia Treasury Bond—Deutsche Bank AG 144A(c) IDR 9.000% 20/03/2029 1,329,864 0.54

8,100,000,000 Indonesia Treasury Bond—JPMorgan Chase Bank NA IDR 7.000% 18/05/2027 555,099 0.23

5,100,000,000 Indonesia Treasury Bond—JPMorgan Chase Bank NA 144A(c) IDR 7.875% 17/04/2019 384,698 0.16

38,903,000,000 Indonesia Treasury Bond—JPMorgan Chase Bank NA 144A(c) IDR 9.000% 19/03/2029 3,116,609 1.28

19,763,000,000 Indonesia Treasury Bond—JPMorgan Chase Bank NA 144A(c) IDR 9.000% 19/03/2029 1,583,259 0.65

10,221,000,000 Indonesia Treasury Bond—Standard Chartered Bank Ltd. 144A(c) IDR 9.000% 19/03/2029 818,828 0.33



10,180,807 4.17

Malaysia

920,000 Malaysia Government Bond—Series 111 MYR 4.160% 15/07/2021 255,472 0.10

1,150,000 Malaysia Government Bond—Series 213 MYR 3.260% 01/03/2018 311,890 0.13



890,882 0.36

Netherlands

200,000 Mozambique EMATUM Finance 2020 BV USD 6.305% 11/09/2020 192,500 0.08

Peru


403,000 Peruvian Government International Bond PEN 8.200% 12/08/2026 146,357 0.06

298,000 Peruvian Government International Bond 144A(c) PEN 5.700% 12/08/2024 92,018 0.04

896,399 0.37

United States








12,661,691 5.18


(cost USD 26 ,002 ,339) 24,822,279 10.16

% of



Maturity Date(b)

USD Equity

302



As at 31 May 2015



Puerto Rico





2,005,000 Commonwealth of Puerto Rico "A" USD 8.000% 01/07/2035 1,691,739 0.69







10,000 Commonwealth of Puerto Rico "E" USD 5.625% 01/07/2032 7,275 0.00





100,000 Puerto Rico Sales Tax Financing Corp.(h) USD 11.213%/6.250% 01/08/2033 43,435 0.02

15,000 Puerto Rico Sales Tax Financing Corp. USD 11.106% 01/08/2035 1,983 0.00



295,000 Puerto Rico Sales Tax Financing Corp. "A"(h) USD 11.013%/6.750% 01/08/2032 177,850 0.07









3,577,986 1.46

United States






477,324 0.20


(cost USD 4 ,568 ,919) 4,055,310 1.66


(cost USD 51 ,186 ,933) 49,619,796 20.30



Australia


Cayman Islands


Hong Kong

1,990,000 China Unicom Hong Kong Ltd. CNH 4.000% 16/04/2017 321,250 0.13


(cost USD 2 ,106 ,400) 2,144,830 0.88

% of



Maturity Date(b)

USD Equity

303



As at 31 May 2015



Dominican Republic

26,500,000 Dominican Republic Bond DOP 11.375% 06/07/2029 624,806 0.25



800,000 Dominican Republic International Bond DOP 16.950% 04/02/2022 23,934 0.01



2,252,054 0.92

Malaysia



(cost USD 2 ,960 ,070) 2,967,444 1.21


(cost USD 5 ,066 ,470) 5,112,274 2.09


(cost USD 252 ,068 ,561) 238,824,552 97.70





EUR


USD





12,735,438 22,639 0.01





EUR

(4) German Federal Republic Bonds 30YR Futures 08/06/2015 Short (711,101) (9,852) (0.01)


(2,269,548) (16,142) (0.01)

USD



Non-Deliverable Bond Forward Contracts – 0.02%Commitment Unrealised % of



COP

617,000,000 BFS Finance COP Bond Forward 11/06/2015 Long (788) 13,510 0.01

963,500,000 BFS Finance COP Bond Forward 11/06/2015 Long 1,494 18,768 0.01

427,200,000 BFS Finance COP Bond Forward 11/06/2015 Long 1,320 1,320 0.00

585,200,000 BFS Finance COP Bond Forward 11/06/2015 Long 745 745 0.00

UNREALISED GAIN ON NON-DELIVERABLE BOND FORWARD CONTRACTS 34,343 0.02

% of



Maturity Date(b)

USD Equity

304



As at 31 May 2015


Non-Deliverable Bond Forward Contracts – (continued)




COP

567,400,000 BFS Finance COP Bond Forward 02/06/2015 Long (2,879) (2,879) (0.00)

UNREALISED LOSS ON NON-DELIVERABLE BOND FORWARD CONTRACTS (2,879) (0.00)


Unrealised % of



USD 5,566,046 BRL 16,689,830 02/06/2015 301,199 0.12

USD 176,463 MXN 2,674,304 04/06/2015 1,947 0.00

USD 628,000 INR 40,035,000 05/06/2015 1,054 0.00

USD 630,000 MYR 2,249,100 05/06/2015 16,827 0.01

USD 631,000 MYR 2,283,343 08/06/2015 8,826 0.00

INR 137,997,892 USD 2,152,166 11/06/2015 8,536 0.00

USD 1,242,538 KRW 1,342,549,485 11/06/2015 36,315 0.02

USD 1,265,000 TWD 38,896,979 11/06/2015 1,549 0.00

USD 629,000 CLP 379,337,320 15/06/2015 12,323 0.01

USD 1,225,478 KRW 1,345,635,850 15/06/2015 16,633 0.01

USD 1,262,000 TWD 38,820,761 15/06/2015 722 0.00

USD 940,932 COP 2,240,472,123 16/06/2015 55,880 0.02

CNH 35,862,695 USD 5,763,682 17/06/2015 12,567 0.01

EUR 2,825,000 PLN 11,470,599 17/06/2015 49,306 0.02

EUR 7,315,000 USD 7,817,773 17/06/2015 226,958 0.09

HUF 710,103,732 USD 2,503,271 17/06/2015 20,966 0.01

MXN 337,153,945 USD 21,946,122 17/06/2015 34,081 0.02

NGN 68,031,251 USD 305,800 17/06/2015 31,385 0.01

PLN 32,563,609 USD 8,558,584 17/06/2015 121,312 0.05

RON 7,082,799 USD 1,722,393 17/06/2015 31,053 0.01

SGD 3,299,592 USD 2,444,000 17/06/2015 2,340 0.00

TRY 33,999,730 USD 12,735,330 17/06/2015 35,777 0.02

USD 1,828,867 JPY 221,217,889 17/06/2015 42,665 0.02

USD 14,515,623 MXN 220,354,332 17/06/2015 149,981 0.06

USD 6,189,366 PLN 22,901,700 17/06/2015 84,872 0.04

USD 641,000 CLP 384,597,051 19/06/2015 16,030 0.01

USD 618,142 MYR 2,244,660 19/06/2015 6,792 0.00

USD 1,145,716 COP 2,836,556,164 22/06/2015 25,926 0.01

USD 639,000 TWD 19,506,625 22/06/2015 4,968 0.00

USD 631,323 MYR 2,267,315 26/06/2015 13,925 0.01

USD 3,007,308 THB 98,832,755 26/06/2015 71,881 0.03

USD 1,975,009 RUB 104,425,329 29/06/2015 7,308 0.00

INR 40,536,533 USD 629,938 30/06/2015 2,676 0.00

USD 1,214,785 KRW 1,343,467,510 30/06/2015 8,454 0.00

BRL 189,285 USD 58,910 02/07/2015 171 0.00

CLP 131,970,228 USD 210,630 17/07/2015 3,233 0.00

COP 4,940,428,158 USD 1,915,637 17/07/2015 29,790 0.01

USD 509,034 RUB 26,989,594 17/07/2015 3,755 0.00

USD 1,150,969 IDR 15,290,623,000 24/07/2015 5,926 0.00

USD 574,940 PEN 1,823,996 24/07/2015 1,866 0.00

USD 2,457,042 THB 80,093,414 24/07/2015 80,156 0.03

USD 8,374,452 MXN 127,978,375 20/08/2015 68,983 0.03


Unrealised % of



BRL 16,689,830 USD 5,405,216 02/06/2015 (140,369) (0.06)

INR 149,641,160 USD 2,356,842 05/06/2015 (13,468) (0.01)

INR 90,179,009 USD 1,414,351 08/06/2015 (1,950) (0.00)

USD 1,337,000 INR 85,536,714 08/06/2015 (2,692) (0.00)

KRW 842,781,485 USD 770,268 11/06/2015 (13,066) (0.01)

USD 1,391,000 INR 89,981,602 11/06/2015 (17,886) (0.01)

MYR 3,934,148 USD 1,095,375 12/06/2015 (23,666) (0.01)

INR 39,962,500 USD 627,059 15/06/2015 (1,781) (0.00)

KRW 1,383,988,269 USD 1,267,512 15/06/2015 (24,214) (0.01)

USD 634,000 INR 40,797,900 15/06/2015 (4,350) (0.00)

HUF 1,279,879,602 EUR 4,207,788 17/06/2015 (77,903) (0.03)

JPY 156,918,453 USD 1,268,633 17/06/2015 (1,611) (0.00)

PLN 20,834,016 EUR 5,084,761 17/06/2015 (38,659) (0.02)

USD 11,181,669 CNH 70,534,180 17/06/2015 (178,966) (0.07)

305



As at 31 May 2015



Unrealised % of



USD 19,909,986 EUR 18,435,031 17/06/2015 (364,090) (0.15)

USD 239,199 HKD 1,855,000 17/06/2015 (15) (0.00)

USD 2,160,135 HUF 608,398,033 17/06/2015 (2,564) (0.00)

USD 6,014,899 SGD 8,244,331 17/06/2015 (97,506) (0.04)

USD 11,020,051 TRY 29,509,280 17/06/2015 (64,336) (0.03)

USD 8,271,044 ZAR 101,730,973 17/06/2015 (94,787) (0.04)

ZAR 203,449,775 USD 16,943,786 17/06/2015 (213,125) (0.09)

CLP 766,806,329 USD 1,250,296 19/06/2015 (4,236) (0.00)

MYR 4,584,060 USD 1,282,000 19/06/2015 (33,496) (0.01)

COP 1,125,686,895 USD 448,678 22/06/2015 (4,290) (0.00)

MYR 14,505,668 USD 4,005,836 26/06/2015 (55,893) (0.02)

NGN 51,703,426 USD 255,704 26/06/2015 (1,496) (0.00)

THB 30,069,611 USD 896,919 26/06/2015 (3,823) (0.00)

USD 634,000 CLP 391,748,600 30/06/2015 (1,870) (0.00)

USD 645,000 INR 41,421,900 01/07/2015 (1,319) (0.00)

RUB 86,285,417 USD 1,647,925 17/07/2015 (32,554) (0.01)

IDR 11,771,154,312 USD 891,030 24/07/2015 (9,543) (0.01)

MYR 13,688,435 USD 3,744,281 24/07/2015 (23,568) (0.01)

PEN 2,408,805 USD 760,235 24/07/2015 (3,423) (0.00)

PHP 27,283,081 USD 614,553 24/07/2015 (3,603) (0.00)

NGN 77,616,000 USD 375,138 30/07/2015 (6,361) (0.00)



Unrealised % of



EUR 152,015 USD 164,879 15/06/2015 2,297 0.00

USD 2,564 EUR 2,254 15/06/2015 85 0.00


Unrealised % of



GBP 79,460,445 USD 122,191,137 15/07/2015 (737,682) (0.30)






Interest Rate Swaps

14,670,000 Fixed 13.155% Floating (BRL 1 month LIBOR) BRL 04/01/2016 10,894 0.01


9,280,000 Floating (BRL 3 month BZDIO) Fixed 13.760% BRL 04/01/2016 28 0.00






2,080,000 Floating (BRL 3 month BZDIO) Fixed 12.900% BRL 04/01/2021 15,106 0.01




1,290,000 Fixed 11.410% Floating (BRL 1 month BZDIO) BRL 04/01/2021 8,290 0.00

4,500,000 Floating (BRL 1 month LIBOR) Fixed 12.130% BRL 04/01/2021 2,453 0.00

1,514,980,000 Fixed 3.850% Floating (CLP 6 month CLICP) CLP 08/08/2019 8,251 0.00

285,780,000 Fixed 4.180% Floating (CLP 6 month CLICP) CLP 16/09/2020 543 0.00

5,966,710,000 Fixed 4.310% Floating (COP 3 month LIBOR) COP 26/02/2016 1,596 0.00

256,830,000 Fixed 4.900% Floating (COP 3 month COOVI) COP 04/12/2019 800 0.00

354,290,000 Fixed 4.880% Floating (COP 3 month COOVR) COP 04/12/2019 1,218 0.00

263,530,000 Fixed 4.850% Floating (COP 3 month COOVI) COP 04/12/2019 1,034 0.00

234,580,000 Fixed 5.920% Floating (COP 3 month DTF) COP 16/04/2024 676 0.00

270,770,000 Fixed 7.550% Floating (INR 6 month LIBOR) INR 02/03/2016 4,799 0.00


1,031,220,000 Fixed 7.369% Floating (INR 6 month LIBOR) INR 28/05/2016 1,310 0.00

710,200,000 Floating (KRW 3 month KSDA) Fixed 2.850% KRW 03/03/2017 13,042 0.01

2,086,260,000 Floating (KRW 3 month KWCDC) Fixed 2.245% KRW 13/10/2017 23,359 0.01

306



As at 31 May 2015







357,650,000 Floating (KRW 3 month KWCDC) Fixed 2.250% KRW 13/10/2017 4,042 0.00






1,184,620,000 Floating (KRW 3 month LIBOR) Fixed 2.175% KRW 29/10/2017 11,647 0.01

605,990,000 Floating (KRW 3 month LIBOR) Fixed 2.075% KRW 04/11/2017 4,663 0.00



129,440,000 Floating (MXN 1 month TIIE) Fixed 3.510% MXN 11/09/2015 4,049 0.00





65,260,000 Floating (THB 6 month LIBOR) Fixed 1.905% THB 17/11/2016 13,022 0.01









19,790,000 Floating (THB 6 month THFX) Fixed 1.778% THB 07/04/2017 2,323 0.00

5,640,000 Floating (ZAR 3 month LIBOR) Fixed 7.640% ZAR 13/06/2019 1,982 0.00

4,970,000 Fixed 7.890% Floating (ZAR 1 month LIBOR) ZAR 18/12/2024 6,062 0.00



280,000 Floating (Russian Federation) Fixed 1.000% USD 20/06/2020 5,298 0.00






Interest Rate Swaps

5,810,000 Floating (BRL 1 month BZDIO) Fixed 11.650% BRL 04/01/2016 (21,587) (0.01)



7,820,000 Floating (BRL 1 month LIBOR) Fixed 11.665% BRL 04/01/2016 (14,671) (0.01)








7,500,000 Floating (BRL 1 month LIBOR) Fixed 12.090% BRL 04/01/2021 (122) (0.00)


1,930,000 Fixed 12.340% Floating (BRL 12 month LIBOR) BRL 02/01/2025 (8,808) (0.00)




217,560,000 Fixed 4.040% Floating (CLP 6 month LIBOR) CLP 13/06/2018 (3,549) (0.00)









893,600,000 Fixed 5.110% Floating (COP 3 month DTF) COP 15/04/2019 (2,368) (0.00)

616,030,000 Fixed 5.190% Floating (COP 3 month COOVI) COP 22/04/2019 (2,296) (0.00)

475,170,000 Fixed 5.320% Floating (COP 3 month LIBOR) COP 17/06/2019 (2,462) (0.00)

568,970,000 Fixed 5.350% Floating (COP 3 month LIBOR) COP 18/06/2019 (3,196) (0.00)

307



As at 31 May 2015







187,250,000 Fixed 7.375% Floating (INR 6 month LIBOR) INR 29/05/2016 (210) (0.00)

362,190,000 Fixed 2.735% Floating (KRW 3 month KWCDC) KRW 10/05/2023 (16,495) (0.01)

5,440,310,000 Fixed 3.126% Floating (KRW 3 month KWCDC) KRW 19/09/2024 (168,050) (0.07)

155,860,000 Fixed 3.565% Floating (MXN 1 month LIBOR) MXN 27/08/2015 (6,083) (0.00)



9,080,000 Floating (ZAR 3 month JIBAR) Fixed 7.280% ZAR 05/09/2019 (7,534) (0.00)



55,500,000 Floating (ZAR 3 month LIBOR) Fixed 7.710% ZAR 15/05/2021 (19,867) (0.01)

3,690,000 Fixed 8.550% Floating (ZAR 3 month LIBOR) ZAR 14/03/2024 (9,498) (0.00)



470,000 Fixed 1.000% Floating (People’s Republic of China) USD 20/03/2019 (4,472) (0.00)

50,000 Fixed 1.000% Floating (People’s Republic of China) USD 20/03/2019 (530) (0.00)










































(cost USD 250 ,652 ,223) 238,122,843 97.41



308



As at 31 May 2015


% of






Unrealised gain on non deliverable bond forward contracts 34,343 0.02

Unrealised loss on non deliverable bond forward contracts (2,879) (0.00)









Rates disclosed for Corporate Bonds, Government Bonds, Supranationals and Municipal Bonds are those that were in effect at 31 May 2015.

The Futures Commission Merchant was Morgan Stanley And Co., Inc.


AG, HSBC Bank Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley And Co. International, Royal Bank of Canada, Royal Bank of Scotland Plc.,

Standard Chartered Bank, State Street Bank & Trust, UBS AG London and Westpac Banking Corp.

The counterparties for swap contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A., BNP Paribas S.A. London, Citibank NA, Credit Suisse International,

Deutsche Bank AG Frankfurt, JP Morgan Chase Bank NA, JP Morgan Chase Bank NA London, Morgan Stanley And Co. International and Morgan Stanley Capital Services, Inc.









(g) These securities are issued with the first indicated rate which increases to the second rate at a set date in the future.

(h) These securities are issued with the first indicated rate which decreases to the second rate at a set date in the future.

309



As at 31 May 2015

Goldman Sachs Funds—Growth & Emerging Markets Debt Local Portfolio



Brazil

14,250,000 Banco Santander Brasil S.A. BRL 8.000% 18/03/2016 4,269,224 0.20

Cayman Islands

3,260,000 Alliance Global Group, Inc. USD 6.500% 18/08/2017 3,479,985 0.17

5,366,666 Mestenio Ltd. USD 8.500% 02/01/2020 5,635,000 0.27

9,114,985 0.44

Hong Kong

5,900,000 CITIC Ltd. USD 6.800% 17/01/2023 6,953,213 0.33

Mexico


200,032,700 Petroleos Mexicanos—Series 14-2 MXN 7.470% 12/11/2026 12,585,476 0.60

21,739,466 1.04

South Africa

10,000,000 Transnet SOC Ltd. ZAR 9.250% 14/11/2017 842,846 0.04

35,000,000 Transnet SOC Ltd. ZAR 10.500% 17/09/2020 3,004,982 0.14


8,000,000 Transnet SOC Ltd. ZAR 9.500% 19/08/2025 642,935 0.03


25,263,200 1.20

United States

17,000,000 General Electric Capital Corp. MXN 8.500% 06/04/2018 1,213,658 0.06

Venezuela




1,944,088 0.09


(cost USD 87 ,008 ,228) 70,497,834 3.36


Brazil






2,836,000 Brazil Notas do Tesouro Nacional—Series F BRL 10.000% 01/01/2018 880,041 0.04




218,326,595 10.41

Chile

1,805,594,375 Bonos del Banco Central de Chile en UF CLP 3.000% 01/03/2022 3,237,945 0.15

Colombia

8,394,000,000 Colombia Government International Bond COP 12.000% 22/10/2015 3,405,301 0.16

4,883,000,000 Colombia Government International Bond COP 12.000% 22/10/2015 1,980,949 0.10







26,033,600,000 Colombian TES Bonds COP 7.250% 15/06/2016 10,557,623 0.50

120,623,911 5.75

% of



Maturity Date(b)

USD Equity

310



As at 31 May 2015



Costa Rica

4,760,000 Costa Rica Government International Bond USD 7.158% 12/03/2045 4,754,050 0.23

Croatia

15,450,000 Croatia Government International Bond EUR 3.875% 30/05/2022 17,469,998 0.83


19,366,560 0.92

Dominican Republic


Hungary


3,195,970,000 Hungary Government Bond HUF 6.500% 24/06/2019 13,094,521 0.62






702,800,000 Hungary Government Bond Bonds HUF 3.000% 26/06/2024 2,416,585 0.12

81,291,877 3.87

Indonesia

11,000,000 Indonesia Treasury Bond IDR 6.125% 15/05/2028 692 0.00

Latvia

2,260,000 Latvia Government International Bond USD 5.250% 22/02/2017 2,421,025 0.12

Mexico

14,800 Mexican Bonos MXN 6.250% 16/06/2016 993 0.00






1,973,778,200 Mexican Bonos—Series M MXN 4.750% 14/06/2018 129,250,682 6.16



10,855,129 Mexican Udibonos MXN 3.500% 14/12/2017 750,221 0.04

73,546,262 Mexican Udibonos—Series S MXN 5.000% 16/06/2016 5,021,759 0.24



214,140,764 10.21

Peru

22,144,000 Peruvian Government International Bond PEN 6.950% 12/08/2031 7,114,302 0.34

Philippines

57,000,000 Philippine Government International Bond PHP 3.900% 26/11/2022 1,281,653 0.06

Poland

5,030,000 Poland Government Bond PLN 5.500% 25/10/2019 1,519,174 0.07






149,208,617 7.11

Romania

53,810,000 Romania Government Bond RON 5.900% 26/07/2017 14,467,262 0.69

31,720,000 Romania Government Bond RON 4.750% 24/06/2019 8,536,665 0.41

23,003,927 1.10

Russia

1,165,000,000 Russian Federal Bond – Eurobond RUB 7.850% 10/03/2018 20,611,026 0.98

872,480,000 Russian Federal Bond – OFZ Bonds RUB 6.200% 31/01/2018 14,912,413 0.71


% of



Maturity Date(b)

USD Equity

311



As at 31 May 2015



Russia – (continued)


49,290,000 Russian Federal Bond – OFZ Bonds RUB 7.600% 14/04/2021 822,038 0.04



1,475,010,000 Russian Federal Bond – OFZ Bonds RUB 7.000% 16/08/2023 23,037,516 1.10

1,134,210,000 Russian Federal Bond – OFZ Bonds RUB 7.050% 19/01/2028 16,794,127 0.80

107,689,371 5.13

South Africa

8,950,000 South Africa Government Bond ZAR 8.000% 21/12/2018 750,466 0.04

69,020,000 South Africa Government Bond ZAR 8.500% 31/01/2037 5,537,228 0.26

96,370,000 South Africa Government Bond ZAR 8.750% 31/01/2044 7,846,803 0.37





55,854,619 2.66

Thailand

70,850,000 Bank of Thailand THB 2.950% 14/01/2016 2,126,260 0.10






2,760,475,000 Thailand Government Bond THB 3.650% 17/12/2021 87,722,545 4.18





196,663,192 9.37

Turkey











186,649,759 8.90

United States


Venezuela

3,010,000 Venezuela Government International Bond USD 7.750% 13/10/2019 1,279,250 0.06






1,570,000 Venezuela Government International Bond USD 9.250% 07/05/2028 616,225 0.03



5,358,575 0.25

Zambia

18,800,000 Zambia Government Bond—Standard Chartered Bank 144A(e) ZMW 13.000% 03/09/2024 1,742,495 0.08


(cost USD 1 ,701 ,142 ,160) 1,438,830,925 68.57

% of



Maturity Date(b)

USD Equity

312



As at 31 May 2015



Ireland

60,682,376 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(c)(d) 60,682,376 2.89

TOTAL MUTUAL FUNDS

(cost USD 60 ,682 ,376) 60,682,376 2.89


(cost USD 1 ,848 ,832 ,764) 1,570,011,135 74.82



Venezuela



(cost USD 1 ,493 ,090) 1,145,812 0.06


Colombia

11,276,000,000 Colombian TES—Citigroup Funding, Inc. COP 11.000% 27/07/2020 5,452,332 0.26

4,360,000,000 Colombian TES—Citigroup Funding, Inc. COP 11.000% 25/07/2024 2,079,578 0.10

27,653,000,000 Colombian TES—Citigroup Funding, Inc. 144A(e) COP 11.250% 25/10/2018 12,887,431 0.61

26,914,000,000 Colombian TES—Citigroup Funding, Inc. 144A(e) COP 11.250% 25/10/2018 12,543,026 0.60

32,962,367 1.57

Indonesia

232,000,000,000 Indonesia Treasury Bond—Barclays Bank Plc. IDR 10.000% 17/07/2017 18,311,403 0.87

96,500,000,000 Indonesia Treasury Bond—Deutsche Bank AG 144A(e) IDR 7.875% 18/04/2019 7,279,095 0.35







242,000,000,000 Indonesia Treasury Bond—JPMorgan Chase Bank NA IDR 10.000% 17/07/2017 19,100,688 0.91





175,000,000,000 Indonesia Treasury Bond—JPMorgan Chase Bank NA 144A(e) IDR 10.000% 18/07/2017 13,812,481 0.66





10,792,000,000 Indonesia Treasury Bond—JPMorgan Chase Bank NA 144A(e) IDR 6.625% 17/05/2033 684,701 0.03

25,900,000,000 Indonesia Treasury Bond—Standard Chartered Bank 144A(e) IDR 9.000% 19/03/2029 2,074,908 0.10




9,869,000,000 Indonesia Treasury Bond—Standard Chartered Bank Ltd. 144A(e) IDR 9.000% 19/03/2029 790,628 0.04

109,700,000,000 Indonesia Treasury Bond—Standard Chartered Bank Ltd. 144A(e) IDR 9.000% 19/03/2029 8,788,319 0.42

375,279,000,000 Indonesia Treasury Bond—Standard Chartered Bank Ltd. 144A(e) IDR 9.000% 19/03/2029 30,064,462 1.43

218,376,081 10.41

Malaysia









33,000,000 Malaysia Government Investment Issue—Series 813 MYR 4.444% 22/05/2024 9,249,182 0.44

62,696,983 2.99

% of



Maturity Date(b)

USD Equity

313



As at 31 May 2015



Nigeria

530,000,000 Nigeria Treasury Bond—Citigroup, Inc. 144A(e) NGN 16.000% 03/07/2019 2,814,552 0.14

613,000,000 Nigeria Treasury Bond—Citigroup, Inc. 144A(e) NGN 10.000% 27/07/2030 2,316,804 0.11

327,490,000 Nigeria Treasury Bond—HSBC Bank Plc. 144A(e) NGN 7.000% 23/10/2019 1,267,677 0.06

6,399,033 0.31

Peru





4,800,000 Peruvian Government International Bond 144A(e) PEN 5.700% 12/08/2024 1,482,176 0.07

25,743,672 1.23

United States







75,422,296 3.59


(cost USD 515 ,960 ,546) 421,600,432 20.10


Puerto Rico





















550,000 Puerto Rico Sales Tax Financing Corp.(f) USD 0.000%/6.250% 01/08/2033 238,893 0.01


1,565,000 Puerto Rico Sales Tax Financing Corp. "A" USD 5.500% 01/08/2028 970,363 0.05


2,065,000 Puerto Rico Sales Tax Financing Corp. "A"(f) USD 0.000%/6.750% 01/08/2032 1,244,947 0.06



2,805,000 Puerto Rico Sales Tax Financing Corp. "A" USD 5.500% 01/08/2042 1,739,128 0.08




1,330,000 Puerto Rico Sales Tax Financing Corp. "B" USD 5.750% 01/08/2037 844,563 0.04




18,730,866 0.89

% of



Maturity Date(b)

USD Equity

314



As at 31 May 2015


Municipal Bonds – (continued)

United States




1,625,000 Puerto Rico Sales Tax Financing Corp. "C" USD 5.250% 01/08/2041 991,266 0.05

1,241,011 0.06


(cost USD 22 ,561 ,398) 19,971,877 0.95


(cost USD 540 ,015 ,034) 442,718,121 21.11



Australia

41,200,000 Toyota Finance Australia Ltd. MXN 3.760% 20/07/2017 2,631,309 0.13

Hong Kong

47,780,000 China Unicom Hong Kong Ltd. CNH 4.000% 16/04/2017 7,713,223 0.37

50,000,000 Maikun Investment Co., Ltd. CNH 4.500% 06/06/2017 8,081,680 0.38

15,794,903 0.75


(cost USD 18 ,498 ,513) 18,426,212 0.88


Dominican Republic

258,000,000 Dominican Republic International Bond DOP 16.950% 04/02/2022 7,718,724 0.37





26,339,696 1.26

Thailand

295,900,000 Bank of Thailand THB 3.220% 01/03/2016 8,908,996 0.42


(cost USD 33 ,933 ,864) 35,248,692 1.68


(cost USD 52 ,432 ,377) 53,674,904 2.56


(cost USD 2 ,441 ,280 ,175) 2,066,404,160 98.49

% of



Maturity Date(b)

USD Equity

315



As at 31 May 2015






EUR


USD






USD





(120,150,008) (220,972) (0.01)


Non-Deliverable Bond Forward Contracts (0.01%)




COP

9,886,200,000 BFS Finance COP Bond Forward 11/06/2015 Long 15,331 192,571 0.01



235,910 0.01





COP

12,132,600,000 BFS Finance COP Bond Forward 02/06/2015 Long (61,555) (61,555) (0.00)



Unrealised % of



USD 69,221,711 BRL 207,016,620 02/06/2015 3,917,813 0.19

USD 1,700,523 MXN 25,771,429 04/06/2015 18,760 0.00

USD 7,173,000 INR 457,278,750 05/06/2015 12,035 0.00

USD 7,219,000 MYR 25,771,830 05/06/2015 192,819 0.01

USD 7,159,000 MYR 25,905,629 08/06/2015 100,136 0.00

NGN 515,924,000 USD 2,323,982 09/06/2015 251,571 0.01

INR 1,074,218,449 USD 16,774,406 11/06/2015 45,165 0.00

USD 18,119,986 KRW 19,578,464,082 11/06/2015 529,582 0.03

USD 14,412,000 TWD 443,148,823 11/06/2015 17,650 0.00

USD 7,151,000 CLP 4,312,625,080 15/06/2015 140,093 0.01

USD 14,366,771 KRW 15,775,433,050 15/06/2015 194,997 0.01

USD 14,340,000 TWD 441,117,042 15/06/2015 8,206 0.00

USD 5,301,855 COP 12,624,352,978 16/06/2015 314,865 0.02

CNH 413,468,434 USD 66,466,688 17/06/2015 128,881 0.01

EUR 33,203,000 PLN 134,821,439 17/06/2015 578,346 0.03

EUR 86,375,000 USD 92,290,448 17/06/2015 2,701,166 0.13

MXN 3,608,500,551 USD 234,993,881 17/06/2015 256,438 0.01

NGN 2,135,906,885 USD 9,600,876 17/06/2015 985,367 0.05

PLN 524,605,394 USD 138,137,669 17/06/2015 1,696,953 0.08

RON 118,386,779 USD 29,090,079 17/06/2015 218,231 0.01

SGD 39,721,079 USD 29,405,000 17/06/2015 44,483 0.00

TRY 407,835,767 USD 152,742,257 17/06/2015 450,556 0.02

USD 29,647,908 HUF 8,151,623,851 17/06/2015 670,966 0.03

316



As at 31 May 2015



Unrealised % of



USD 87,202,036 PLN 323,108,447 17/06/2015 1,076,830 0.05

USD 7,568,000 CLP 4,540,765,187 19/06/2015 189,259 0.01

USD 7,060,406 MYR 25,638,454 19/06/2015 77,579 0.00

USD 29,620,308 COP 74,155,996,418 22/06/2015 345,671 0.02

USD 7,482,000 TWD 228,401,518 22/06/2015 58,166 0.00

USD 7,128,986 MYR 25,602,827 26/06/2015 157,249 0.01

USD 32,455,866 THB 1,063,886,217 26/06/2015 857,435 0.04

USD 17,720,342 RUB 936,600,189 29/06/2015 71,853 0.00

INR 469,601,036 USD 7,297,607 30/06/2015 30,997 0.00

USD 14,302,856 KRW 15,817,957,330 30/06/2015 99,538 0.00

USD 5,551,733 RUB 294,359,546 17/07/2015 40,957 0.00

THB 268,189,000 USD 7,920,479 24/07/2015 38,408 0.00

USD 55,166,867 IDR 729,240,285,183 24/07/2015 557,467 0.03

USD 4,707,339 PEN 14,934,033 24/07/2015 15,280 0.00

USD 29,369,482 THB 957,371,700 24/07/2015 958,126 0.05

USD 3,689,883 COP 7,752,443,278 06/10/2015 662,138 0.03


Unrealised % of



BRL 207,016,620 USD 67,231,613 02/06/2015 (1,927,715) (0.09)

INR 1,877,361,171 USD 29,568,355 05/06/2015 (168,963) (0.01)

INR 1,591,380,000 USD 24,958,908 08/06/2015 (34,414) (0.00)

USD 17,755,560 INR 1,135,940,360 08/06/2015 (35,753) (0.00)

KRW 4,269,024,959 USD 3,901,717 11/06/2015 (66,183) (0.01)

USD 13,383,000 INR 865,819,219 11/06/2015 (173,561) (0.01)

MYR 104,512,635 USD 29,099,186 12/06/2015 (628,711) (0.03)

INR 450,840,940 USD 7,074,234 15/06/2015 (20,092) (0.00)

KRW 12,632,118,215 USD 11,569,000 15/06/2015 (221,006) (0.01)

USD 7,230,000 INR 465,250,500 15/06/2015 (49,603) (0.00)

HUF 15,293,605,364 EUR 50,266,036 17/06/2015 (915,621) (0.05)

HUF 13,152,575,230 USD 47,239,780 17/06/2015 (485,732) (0.02)

JPY 1,818,510,981 USD 14,702,042 17/06/2015 (18,659) (0.00)

PLN 236,769,461 EUR 57,763,027 17/06/2015 (413,987) (0.02)

USD 140,134,221 CNH 884,167,402 17/06/2015 (2,274,791) (0.11)

USD 147,669,023 EUR 137,332,632 17/06/2015 (3,363,664) (0.16)

USD 72,600,361 SGD 99,522,584 17/06/2015 (1,186,372) (0.06)

USD 190,272,969 TRY 507,986,275 17/06/2015 (538,756) (0.03)

USD 104,363,082 ZAR 1,277,244,555 17/06/2015 (670,923) (0.03)

ZAR 2,431,252,009 USD 202,716,883 17/06/2015 (2,783,257) (0.13)

CLP 8,488,240,840 USD 13,840,275 19/06/2015 (46,888) (0.00)

MYR 52,573,664 USD 14,703,000 19/06/2015 (384,163) (0.02)

COP 13,240,753,449 USD 5,277,584 22/06/2015 (50,518) (0.00)

MYR 178,648,549 USD 49,329,814 26/06/2015 (683,202) (0.03)

NGN 704,217,886 USD 3,482,779 26/06/2015 (20,377) (0.00)

THB 147,428,314 USD 4,441,649 26/06/2015 (62,888) (0.00)

USD 7,350,000 CLP 4,541,565,000 30/06/2015 (21,677) (0.00)

USD 7,316,000 INR 469,833,520 01/07/2015 (14,964) (0.00)

USD 733,883 BRL 2,358,041 02/07/2015 (2,130) (0.00)

CLP 2,748,790,535 USD 4,484,161 17/07/2015 (29,645) (0.00)

COP 42,036,710,317 USD 16,574,564 17/07/2015 (21,471) (0.00)

RUB 775,310,448 USD 14,810,135 17/07/2015 (295,360) (0.02)

USD 3,827,832 CLP 2,398,328,325 17/07/2015 (58,747) (0.00)

IDR 160,168,298,605 USD 12,061,805 24/07/2015 (67,549) (0.00)

KRW 12,083,479,199 USD 11,120,448 24/07/2015 (279,516) (0.02)

MYR 189,173,307 USD 51,797,611 24/07/2015 (377,586) (0.02)

PEN 23,131,000 USD 7,300,300 24/07/2015 (32,871) (0.00)

PHP 476,920,027 USD 10,742,652 24/07/2015 (62,983) (0.00)

USD 2,082,156 COP 5,338,648,000 24/07/2015 (18,679) (0.00)

NGN 768,672,500 USD 3,715,189 30/07/2015 (62,995) (0.00)


317



As at 31 May 2015






Interest Rate Swaps

120,900,000 Fixed 12.000% Floating (BRL 1 month BCSWA) BRL 04/01/2016 341,306 0.02









33,110,000 Fixed 11.410% Floating (BRL 1 month BZDIO) BRL 04/01/2021 212,766 0.01










2,111,080,000 Fixed 4.900% Floating (COP 3 month COOVI) COP 04/12/2019 6,572 0.00

3,658,280,000 Fixed 4.880% Floating (COP 3 month COOVR) COP 04/12/2019 12,575 0.00

2,165,480,000 Fixed 4.850% Floating (COP 3 month COOVI) COP 04/12/2019 8,496 0.00

5,326,640,000 Fixed 5.920% Floating (COP 3 month DTF) COP 16/04/2024 15,350 0.00

















23,667,810,000 Floating (KRW 3 month KSDA) Fixed 3.620% KRW 23/08/2023 2,564,130 0.12

18,184,210,000 Floating (KRW 3 month LIBOR) Fixed 2.940% KRW 11/07/2024 1,157,761 0.06

1,170,980,000 Floating (MXN 1 month TIIE) Fixed 3.510% MXN 11/09/2015 36,826 0.00




499,970,000 Floating (MXN 1 month TIIE) Fixed 9.300% MXN 22/04/2027 1,751,010 0.08













1,431,160,000 Floating (THB 6 month LIBOR) Fixed 1.872% THB 08/01/2017 256,982 0.01




126,890,000 Floating (ZAR 3 month LIBOR) Fixed 7.640% ZAR 13/06/2019 44,588 0.00

52,740,000 Fixed 7.890% Floating (ZAR 1 month LIBOR) ZAR 18/12/2024 64,332 0.00



318



As at 31 May 2015





Interest Rate Swaps

26,300,000 Floating (BRL 1 month BCSWA) Fixed 8.265% BRL 04/01/2016 (525,259) (0.03)


131,900,000 Floating (BRL 1 month BCSWA) Fixed 9.980% BRL 04/01/2016 (1,176,493) (0.06)

113,870,000 Fixed 12.640% Floating (BRL 1 month BCSWA) BRL 04/01/2016 (320,661) (0.02)












6,842,500,000 Fixed 3.860% Floating (CLP 6 month CLICP) CLP 28/03/2016 (67,768) (0.00)



10,064,410,000 Fixed 3.640% Floating (CLP 6 month LIBOR) CLP 28/07/2017 (40,149) (0.00)












24,229,380,000 Fixed 5.110% Floating (COP 3 month DTF) COP 15/04/2019 (64,208) (0.00)

10,055,690,000 Fixed 5.190% Floating (COP 3 month COOVI) COP 22/04/2019 (37,483) (0.00)

7,711,310,000 Fixed 5.320% Floating (COP 3 month LIBOR) COP 17/06/2019 (39,962) (0.00)

11,875,400,000 Fixed 5.350% Floating (COP 3 month LIBOR) COP 18/06/2019 (66,698) (0.00)

1,993,410,000 Fixed 7.375% Floating (INR 6 month LIBOR) INR 29/05/2016 (2,234) (0.00)

28,395,500,000 Fixed 3.210% Floating (KRW 3 month KSDA) KRW 14/09/2022 (1,230,752) (0.06)


32,195,000,000 Fixed 3.120% Floating (KRW 3 month KWCDC) KRW 09/10/2022 (1,260,545) (0.06)

7,153,000,000 Fixed 3.150% Floating (KRW 3 month KSDA) KRW 21/11/2022 (284,414) (0.01)






1,599,410,000 Fixed 3.373% Floating (MXN 1 month LIBOR) MXN 24/07/2015 (12,046) (0.00)

1,409,960,000 Fixed 3.565% Floating (MXN 1 month LIBOR) MXN 27/08/2015 (55,030) (0.00)

216,170,000 Fixed 5.190% Floating (MXN 1 month TIIE) MXN 02/10/2017 (254,288) (0.01)


160,500,000 Floating (MXN 1 month TIIE) Fixed 5.720% MXN 21/03/2028 (818,549) (0.04)












439,600,000 Floating (ZAR 3 month JIBAR) Fixed 6.775% ZAR 02/11/2020 (1,539,522) (0.07)



319



As at 31 May 2015















































UNREALISED LOSS ON CREDIT DEFAULT SWAPS (1,025,702) (0.05)

Currency Swaps

14,370,000 Floating (USD 3 month LIBOR) Fixed 11.070% USD 10/03/2016 (1,139,700) (0.05)




65,110,000 Floating (USD 3 month LIBOR) Floating (ZAR 3 month JIBAR + 0.385%) ZAR 12/05/2024 (970,814) (0.05)




56,670,000 Floating (USD 3 month LIBOR) Floating (ZAR 3 month LIBOR) ZAR 15/07/2024 (647,823) (0.03)



UNREALISED LOSS ON CURRENCY SWAPS (14,615,670) (0.70)



(cost USD 2 ,441 ,280 ,175) 2,046,692,340 97.55



320



As at 31 May 2015


% of

















AG, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley and Co.

International, Royal Bank of Canada, Royal Bank of Scotland Plc., Standard Chartered Bank, State Street Bank & Trust, UBS AG London and Westpac Banking Corp.

The counterparties for swap contracts were Bank of America NA, Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG, Deutsche Bank AG Frankfurt, JP

Morgan Chase Bank NA, JP Morgan Chase Bank NA London and Morgan Stanley and Co. International.






(d) The yield for this fund as at 31 May 2015 was 0.230%

(e) 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.

(f) These securities are issued with the first indicated rate which increases to the second rate at a set date in the future.

321



As at 31 May 2015



Azerbaijan




58,558,787 1.27

Brazil

9,810,000 Banco do Brasil S.A.(c) USD 6.250% 29/10/2049 7,305,507 0.16



6,032,000 Sinopec Group Overseas Development 2013 Ltd. USD 4.375% 17/10/2023 6,478,124 0.14

19,172,607 0.42

Cayman Islands

6,310,000 Agromercantil Senior Trust USD 6.250% 10/04/2019 6,585,179 0.14

2,000,000 Agromercantil Senior Trust 144A(d) USD 6.250% 10/04/2019 2,087,220 0.04

2,970,000 Alliance Global Group, Inc. USD 6.500% 18/08/2017 3,170,416 0.07

32,000,000 Biostime International Holdings Ltd. HKD 7.829% 20/02/2019 3,963,246 0.09

2,580,000 Comcel Trust via Comunicaciones Celulares S.A. USD 6.875% 06/02/2024 2,792,850 0.06

75,525,331 Mestenio Ltd. USD 8.500% 02/01/2020 79,301,597 1.72

97,900,508 2.12

Chile

15,743,000 Corpbanca S.A. USD 3.875% 22/09/2019 16,057,860 0.35

7,023,000 E.CL S.A. USD 4.500% 29/01/2025 7,339,035 0.16

2,020,000 Empresa de Transporte de Pasajeros Metro S.A. USD 4.750% 04/02/2024 2,186,650 0.05

42,630,000 Empresa Electrica Angamos S.A. USD 4.875% 25/05/2029 42,885,780 0.93

6,950,000 Empresa Electrica Guacolda S.A. USD 4.560% 30/04/2025 6,880,500 0.15



116,945,311 2.54

Colombia

9,894,000 Banco de Bogota S.A. USD 5.000% 15/01/2017 10,304,601 0.23


3,002,000 Ecopetrol S.A. USD 7.375% 18/09/2043 3,248,194 0.07

27,530,368 0.60

Costa Rica

9,751,000 Banco de Costa Rica USD 5.250% 12/08/2018 10,019,152 0.22

920,000 Banco de Costa Rica 144A(d) USD 5.250% 12/08/2018 945,300 0.02

10,964,452 0.24

Croatia

3,334,000 Hrvatska Elektroprivreda USD 6.000% 09/11/2017 3,509,035 0.08

Hong Kong

11,130,000 CITIC Ltd. USD 6.875% 21/01/2018 12,366,807 0.26

12,140,000 CITIC Ltd. USD 6.375% 10/04/2020 13,809,954 0.30

18,350,000 CITIC Ltd. USD 6.800% 17/01/2023 21,625,671 0.47

210,000 CITIC Ltd.(c) USD 8.625% 29/05/2049 243,075 0.01

3,120,000 Wharf Finance Ltd. USD 4.625% 08/02/2017 3,270,649 0.07

51,316,156 1.11

Indonesia

800,000 Lembaga Pembiayaan Ekspor Indonesia USD 3.750% 26/04/2017 824,200 0.02

9,988,000 Pertamina Persero PT USD 5.625% 20/05/2043 9,366,247 0.20

10,190,447 0.22

Ireland

3,812,000 EDC Finance Ltd. USD 4.875% 17/04/2020 3,526,100 0.08

10,642,000 Mobile Telesystems OJSC via MTS International Funding Ltd. USD 5.000% 30/05/2023 9,817,245 0.21

10,580,000 Phosagro OAO via Phosagro Bond Funding Ltd. USD 4.204% 13/02/2018 10,262,600 0.22

9,460,000 Saderea Ltd. USD 12.500% 30/11/2026 8,561,300 0.19

32,167,245 0.70

Goldman Sachs Funds—Growth & Emerging Markets Debt Portfolio

% of



Maturity Date(b)

USD Equity

322



As at 31 May 2015


Israel

2,380,000 Delek & Avner Tamar Bond Ltd. 144A(d) USD 2.803% 30/12/2016 2,394,875 0.05

2,380,000 Delek & Avner Tamar Bond Ltd. 144A(d) USD 3.839% 30/12/2018 2,418,675 0.05


5,201,450 0.11

Kazakhstan




28,215,084 0.61

Luxembourg

2,900,000 Altice Financing S.A. USD 6.625% 15/02/2023 3,012,375 0.06

3,440,000 Altice Financing S.A. 144A(d) USD 6.500% 15/01/2022 3,547,500 0.08

20,356,000 Gazprom Neft OAO Via GPN Capital S.A. USD 4.375% 19/09/2022 17,862,390 0.39

45,210,000 Gazprom Neft OAO Via GPN Capital S.A. USD 6.000% 27/11/2023 43,288,575 0.94

3,610,000 MHP S.A. USD 8.250% 02/04/2020 3,044,891 0.07




6,040,000 Wind Acquisition Finance S.A. USD 7.375% 23/04/2021 6,357,100 0.14

118,236,980 2.57

Mexico


1,450,185 Bank of New York Mellon S.A. Institucion de Banca Multiple USD 9.625% 02/05/2021 65,258 0.00

4,220,000 Cemex SAB de CV EUR 4.750% 11/01/2022 4,727,103 0.10

10,800,000 Gruma SAB de CV USD 4.875% 01/12/2024 11,441,520 0.25

1,180,000 Grupo Cementos de Chihuahua SAB de CV USD 8.125% 08/02/2020 1,277,350 0.03

8,478,000 Metalsa S.A. de CV USD 4.900% 24/04/2023 8,201,617 0.18

28,031,020 0.61

Netherlands

14,790,000 Greenko Dutch BV USD 8.000% 01/08/2019 14,265,990 0.31

780,000 Greenko Dutch BV 144A(d) USD 8.000% 01/08/2019 752,365 0.02





28,352,755 0.61

Paraguay


Peru


Philippines

2,557,000 Development Bank of the Philippines USD 5.500% 25/03/2021 2,864,070 0.06


5,341,000 San Miguel Corp. USD 4.875% 26/04/2023 5,220,827 0.11

22,141,092 0.48

Singapore

5,200,000 Olam International Ltd. USD 6.000% 15/10/2016 5,460,000 0.12


6,235,200 0.13

Turkey

3,943,000 Export Credit Bank of Turkey USD 5.375% 04/11/2016 4,115,506 0.09



5,300,000 DP World Ltd. USD 3.250% 18/05/2020 5,325,175 0.12


1,434,000 Ruwais Power Co. PJSC 144A(d) USD 6.000% 31/08/2036 1,699,290 0.04

31,593,769 0.69


% of



Maturity Date(b)

USD Equity

323



As at 31 May 2015


United States


789,827 Brazil Loan Trust 1 144A(d) USD 5.477% 24/07/2023 791,802 0.02

27,603,235 0.60

Venezuela





19,106,700 0.41

Vietnam

4,600,000 Debt and Asset Trading Corp. USD 1.000% 10/10/2025 2,599,000 0.06


(cost USD 795 ,897 ,968) 794,921,335 17.25


Argentina

8,780,906 Argentine Republic Government International Bond EUR 7.820% 31/12/2033 8,955,054 0.19

63,347,862 Argentine Republic Government International Bond USD 8.280% 31/12/2033 63,208,628 1.37

208,955,527 Argentine Republic Government International Bond(c) EUR 1.985% 15/12/2035 20,965,330 0.46

37,777,821 Argentine Republic Government International Bond(c) USD 1.000% 15/12/2035 3,447,226 0.08

3,448,689 Argentine Republic Government International Bond(c) USD 1.000% 15/12/2035 313,831 0.01

19,870,000 Argentine Republic Government International Bond(c) USD 1.000% 15/12/2035 1,808,170 0.04

2,550,000 Argentine Republic Government International Bond—Series 1(c) USD 8.750% 02/06/2017 2,499,000 0.05

101,197,239 2.20

Azerbaijan

49,230,000 Republic of Azerbaijan International Bond USD 4.750% 18/03/2024 51,014,587 1.11

2,720,000 Republic of Azerbaijan International Bond 144A(d) USD 4.750% 18/03/2024 2,818,600 0.06

53,833,187 1.17

Belize

3,253,400 Belize Government International Bond 144A(d)(e) USD 5.000%/6.767% 20/02/2038 2,456,317 0.05

Brazil



920,000 Brazilian Government International Bond USD 7.125% 20/01/2037 1,097,100 0.03



54,200,932 1.18

Bulgaria

24,330,000 Bulgaria Government International Bond EUR 2.000% 26/03/2022 26,283,890 0.57




64,764,963 1.41

Colombia




968,000 Colombia Government International Bond USD 7.375% 18/09/2037 1,257,190 0.03




75,989,281 1.65


% of



Maturity Date(b)

USD Equity

324



As at 31 May 2015


Costa Rica






109,958,781 2.39

Croatia










278,256,683 6.04

Dominican Republic








7,040,000 Dominican Republic International Bond 144A(d) USD 6.850% 27/01/2045 7,286,400 0.16

174,983,505 3.80

Ecuador

13,840,000 Ecuador Government International Bond USD 10.500% 24/03/2020 14,462,800 0.31

Egypt

1,261,000 Egypt Government International Bond USD 6.875% 30/04/2040 1,297,254 0.03

El Salvador

3,590,000 El Salvador Government International Bond USD 7.375% 01/12/2019 3,937,781 0.09





33,103,825 0.72

Ethiopia

11,200,000 Federal Democratic Republic of Ethiopia USD 6.625% 11/12/2024 11,239,200 0.25

1,040,000 Federal Democratic Republic of Ethiopia 144A(d) USD 6.625% 11/12/2024 1,043,640 0.02

12,282,840 0.27

Gabon

2,434,720 Gabonese Republic USD 6.375% 12/12/2024 2,394,547 0.05

Ghana

6,467,000 Republic of Ghana USD 8.500% 04/10/2017 6,685,261 0.14

Guatemala

25,787,000 Guatemala Government Bond USD 5.750% 06/06/2022 28,075,596 0.61

14,203,000 Guatemala Government Bond USD 4.875% 13/02/2028 14,380,538 0.31

42,456,134 0.92

Honduras

19,530,000 Honduras Government International Bond USD 7.500% 15/03/2024 21,336,525 0.46

29,600,000 Republic of Honduras USD 8.750% 16/12/2020 33,744,000 0.73

55,080,525 1.19


% of



Maturity Date(b)

USD Equity

325



As at 31 May 2015


Hungary


4,640,000 Hungary Government International Bond USD 4.125% 19/02/2018 4,867,019 0.11








170,931,387 3.71

Indonesia










2,300,000 Indonesia Government International Bond 144A(d) USD 6.875% 17/01/2018 2,596,125 0.06

1,979,000 Indonesia Government International Bond 144A(d) USD 7.750% 17/01/2038 2,605,354 0.06

830,000 Perusahaan Penerbit SBSN Indonesia III USD 3.300% 21/11/2022 803,233 0.02

5,450,000 Perusahaan Penerbit SBSN Indonesia III USD 4.350% 10/09/2024 5,448,637 0.12

20,540,000 Perusahaan Penerbit SBSN Indonesia III USD 4.325% 28/05/2025 20,534,865 0.44

148,079,890 3.21

Iraq

28,588,000 Republic of Iraq USD 5.800% 15/01/2028 23,692,305 0.51

Kazakhstan

18,590,000 Kazakhstan Government International Bond USD 4.875% 14/10/2044 16,800,713 0.36

Kenya

13,369,000 Kenya Government International Bond USD 6.875% 24/06/2024 14,037,450 0.30

Latvia

14,860,000 Latvia Government International Bond USD 5.250% 22/02/2017 15,918,775 0.35

Lithuania

17,030,000 Lithuania Government International Bond USD 7.375% 11/02/2020 20,714,270 0.45



6,850,000 Lithuania Government International Bond 144A(d) USD 7.375% 11/02/2020 8,331,929 0.18

76,548,742 1.66

Malaysia

5,883,000 Wakala Global Sukuk Bhd USD 4.646% 06/07/2021 6,519,564 0.14

Mexico




610,700 Mexican Bonos—Series M 20 MXN 8.500% 31/05/2029 47,830 0.00


44,635,216,300 Mexico Cetes MXN 0.000% 04/06/2015 291,150,344 6.32

3,858,953,100 Mexico Cetes MXN 3.139% 20/08/2015 25,005,276 0.54

2,278,000 Mexico Government International Bond USD 6.050% 11/01/2040 2,725,058 0.06




5,170,000 Mexico Government International Bond EUR 4.000% 15/03/2115 5,389,241 0.12

387,116,990 8.40


% of



Maturity Date(b)

USD Equity

326



As at 31 May 2015



Nigeria

2,010,000 Nigeria Government International Bond USD 6.750% 28/01/2021 2,113,515 0.04

10,590,000 Nigeria Government International Bond USD 6.375% 12/07/2023 10,923,585 0.24

13,037,100 0.28

Pakistan

4,160,000 Pakistan Government International Bond USD 7.250% 15/04/2019 4,364,776 0.09



31,034,712 0.67

Panama

3,720,000 Panama Government International Bond USD 4.000% 22/09/2024 3,836,250 0.08






1,830,000 Panama Notas del Tesoro USD 4.875% 05/02/2021 1,964,048 0.04

98,843,174 2.14

Paraguay

18,700,000 Republic of Paraguay USD 4.625% 25/01/2023 19,214,250 0.42

Peru

9,079,000 Peruvian Government International Bond USD 8.750% 21/11/2033 14,231,378 0.31


54,179,098 1.18

Philippines

9,910,000 Philippine Government International Bond USD 9.875% 15/01/2019 12,673,552 0.28



39,057,835 0.85

Romania

5,630,000 Romanian Government International Bond EUR 5.250% 17/06/2016 6,496,894 0.14

10,800,000 Romanian Government International Bond EUR 3.625% 24/04/2024 13,093,529 0.28

10,200,000 Romanian Government International Bond USD 6.125% 22/01/2044 12,418,500 0.27

32,008,923 0.69

Russia

14,200,000 Russian Foreign Bond – Eurobond USD 4.875% 16/09/2023 14,058,000 0.30

Serbia & Montenegro

8,110,000 Montenegro Government International Bond EUR 3.875% 18/03/2020 8,608,721 0.19

Slovenia

19,120,000 Slovenia Government Bond EUR 1.500% 25/03/2035 18,375,288 0.40

South Africa

10,930,000 South Africa Government International Bond USD 5.375% 24/07/2044 11,421,850 0.25

Sri Lanka

6,160,000 Sri Lanka Government International Bond USD 6.000% 14/01/2019 6,324,595 0.14






2,810,000 Sri Lanka Government International Bond 144A(d) USD 6.250% 04/10/2020 2,890,788 0.06

114,391,306 2.48

% of



Maturity Date(b)

USD Equity

327



As at 31 May 2015



Turkey









104,666,469 2.27

Ukraine

7,376,000 Financing of Infrastrucural Projects State Enterprise USD 8.375% 03/11/2017 3,453,403 0.07



57,158,000 Ukraine Government International Bond USD 6.250% 17/06/2016 27,578,735 0.60







67,501,464 1.46

Uruguay

23,601,549 Uruguay Government International Bond USD 5.100% 18/06/2050 23,896,568 0.52

Venezuela












108,091,424 2.35

Vietnam

2,750,000 Vietnam Government International Bond USD 6.750% 29/01/2020 3,089,625 0.07

843,000 Vietnam Government International Bond USD 4.800% 19/11/2024 861,335 0.02

47,570,000 Vietnam Government International Bond 144A(d) USD 6.750% 29/01/2020 53,444,895 1.16

10,982,000 Vietnam Government International Bond 144A(d) USD 4.800% 19/11/2024 11,220,859 0.24

68,616,714 1.49

Zambia

20,883,000 Zambia Government International Bond USD 5.375% 20/09/2022 19,243,684 0.42


(cost USD 2 ,880 ,437 ,784) 2,789,296,470 60.52


1,389,000 Corp. Andina de Fomento USD 3.750% 15/01/2016 1,416,780 0.03



17,536,228 0.38


(cost USD 17 ,451 ,371) 17,536,228 0.38

% of



Maturity Date(b)

USD Equity

328



As at 31 May 2015



Ireland

299,508,521 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(f)(g) 299,508,521 6.50

TOTAL MUTUAL FUNDS

(cost USD 299 ,508 ,521) 299,508,521 6.50


(cost USD 3 ,992 ,995 ,644) 3,901,262,554 84.65



Bermuda

15,100,000 Digicel Ltd. 144A(d) USD 6.750% 01/03/2023 15,062,250 0.33

Brazil

21,500,000 Banco do Brasil S.A.(c) USD 9.000% 29/06/2049 19,924,050 0.43


9,008,000 Banco do Estado do Rio Grande do Sul S.A. 144A(d) USD 7.375% 02/02/2022 9,110,646 0.20

42,958,571 0.93


8,526,000 Arcos Dorados Holdings, Inc. USD 6.625% 27/09/2023 8,571,188 0.18

7,350,000 Central American Bottling Corp. USD 6.750% 09/02/2022 7,816,725 0.17

16,387,913 0.35

Cayman Islands

2,637,330 Independencia International Ltd. 144A(d)(h) USD 12.000% 30/12/2016 0 0.00

700,000 Raizen Energy Finance Ltd. USD 7.000% 01/02/2017 747,250 0.02

747,250 0.02

Chile

12,006,000 AES Gener S.A. USD 5.250% 15/08/2021 12,936,465 0.28

4,655,000 Banco del Estado de Chile USD 4.125% 07/10/2020 4,957,575 0.11

11,921,000 Banco del Estado de Chile USD 3.875% 08/02/2022 12,382,939 0.27

5,886,000 E.CL S.A. USD 5.625% 15/01/2021 6,526,397 0.14

2,220,000 Embotelladora Andina S.A. USD 5.000% 01/10/2023 2,436,450 0.05



1,105,000 Sociedad Quimica y Minera de Chile S.A. 144A(d) USD 5.500% 21/04/2020 1,171,300 0.03

54,233,266 1.18

Colombia

510,000 Banco de Bogota S.A. 144A(d) USD 5.000% 15/01/2017 531,165 0.01

4,473,000 Empresas Publicas de Medellin ESP USD 7.625% 29/07/2019 5,275,344 0.12

5,806,509 0.13

Costa Rica



26,119,550 0.57

Dominican Republic

8,146,000 Aeropuertos Dominicanos Siglo XXI S.A. USD 9.750% 13/11/2019 8,349,650 0.18

Luxembourg

5,165,000 Millicom International Cellular S.A. USD 4.750% 22/05/2020 5,164,578 0.11

Mexico

9,260,000 Sixsigma Networks Mexico S.A. de CV USD 8.250% 07/11/2021 9,931,350 0.22

8,380,000 Trust F/1401 USD 6.950% 30/01/2044 9,448,450 0.20

19,379,800 0.42

Netherlands

7,288,000 Listrindo Capital BV USD 6.950% 21/02/2019 7,677,325 0.17

% of



Maturity Date(b)

USD Equity

329



As at 31 May 2015



Paraguay

10,788,000 Banco Continental SAECA USD 8.875% 15/10/2017 11,332,039 0.24

3,284,000 Telefonica Celular del Paraguay S.A. USD 6.750% 13/12/2022 3,497,460 0.08

14,829,499 0.32

Peru




10,811,000 Corp. Financiera de Desarrollo S.A. USD 4.750% 08/02/2022 11,513,715 0.25

34,235,190 0.74

Venezuela



44,955,545 0.97


(cost USD 309 ,047 ,537) 295,906,896 6.42


Netherlands

9,774,000 Mozambique EMATUM Finance 2020 BV USD 6.305% 11/09/2020 9,407,475 0.20

United States




144,993,789 3.15


(cost USD 154 ,471 ,798) 154,401,264 3.35


Puerto Rico



1,175,000 Commonwealth of Puerto Rico "A" USD 5.750% 01/07/2028 869,500 0.02











2,130,000 Commonwealth of Puerto Rico "B" USD 5.750% 01/07/2038 1,549,596 0.03


1,820,000 Commonwealth of Puerto Rico "D" USD 5.750% 01/07/2041 1,326,361 0.03



1,145,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority "A" USD 5.750% 01/07/2037 844,437 0.02



2,790,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority "A" USD 6.000% 01/07/2044 2,057,653 0.05


1,375,000 Puerto Rico Sales Tax Financing Corp. 144A(d) USD 10.725% 01/08/2033 597,231 0.01








% of



Maturity Date(b)

USD Equity

330



As at 31 May 2015



Puerto Rico – (continued)




4,930,000 Puerto Rico Sales Tax Financing Corp. "B" USD 6.000% 01/08/2042 3,155,249 0.07


70,307,322 1.53

United States





10,000,000 Puerto Rico Sales Tax Financing Corp. "C" USD 5.250% 01/08/2041 6,100,100 0.13

7,014,255 0.15


(cost USD 85 ,644 ,952) 77,321,577 1.68


(cost USD 549 ,164 ,287) 527,629,737 11.45



Cayman Islands


11,833,579 EP PetroEcuador via Noble Sovereign Funding I Ltd.(c) USD 5.897% 24/09/2019 10,768,557 0.23

61,099,126 1.32

Chile

2,513,000 Banco del Estado de Chile 144A(d) USD 4.125% 07/10/2020 2,676,345 0.06

Hong Kong

23,000,000 China Unicom Hong Kong Ltd. CNH 4.000% 16/04/2017 3,712,937 0.08

United States

16,350,000 HSBC Bank USA NA BRL 6.000% 15/08/2040 14,118,102 0.31


(cost USD 85 ,723 ,166) 81,606,510 1.77


Croatia

4,120,000 Croatia USD 6.625% 14/07/2020 4,568,050 0.10

Dominican Republic

206,800,000 Dominican Republic Bond DOP 11.375% 06/07/2029 4,875,846 0.10






36,300,000 Dominican Republic International Bond 144A(d) DOP 18.500% 04/02/2028 1,177,706 0.02

22,627,617 0.49

El Salvador

2,910,000 Republic of El Salvador USD 7.750% 24/01/2023 3,250,106 0.07

Indonesia


Malaysia


Pakistan


% of



Maturity Date(b)

USD Equity

331



As at 31 May 2015



Peru


Philippines



12,341,280 0.27

Turkey



(cost USD 79 ,332 ,519) 80,390,001 1.74


(cost USD 165 ,055 ,685) 161,996,511 3.51


(cost USD 4 ,707 ,215 ,616) 4,590,888,802 99.61





EUR

(905) German Federal Republic Bonds 10YR Futures 08/06/2015 Short (154,537,898) 2,612,410 0.05

USD


1,139 US Treasury Long Bond Futures 21/09/2015 Long 176,331,437 952,132 0.02

5,233 US Treasury Notes 10YR Futures 21/09/2015 Long 666,635,141 1,031,831 0.03



1,025,724,563 2,167,254 0.05





EUR



(146,189,686) (38,528) (0.00)



Unrealised % of



USD 100,051,173 BRL 297,541,852 02/06/2015 6,190,871 0.14

USD 292,298,296 MXN 4,429,780,681 04/06/2015 3,224,541 0.07

USD 7,653,000 INR 487,878,750 05/06/2015 12,841 0.00

USD 7,622,000 MYR 27,210,540 05/06/2015 203,583 0.01

USD 7,671,000 MYR 27,758,357 08/06/2015 107,297 0.00

INR 1,655,240,903 USD 25,816,373 11/06/2015 100,555 0.00

USD 14,538,202 KRW 15,708,381,464 11/06/2015 424,899 0.01

USD 15,278,000 TWD 469,777,111 11/06/2015 18,711 0.00

USD 7,299,045 MYR 26,215,250 12/06/2015 157,702 0.00

USD 7,593,000 CLP 4,579,186,440 15/06/2015 148,752 0.00

USD 17,849,063 KRW 19,599,164,000 15/06/2015 242,262 0.01

USD 15,200,000 TWD 467,571,760 15/06/2015 8,698 0.00

USD 4,554,600 COP 10,845,049,152 16/06/2015 270,488 0.01

CNH 396,891,144 USD 63,768,698 17/06/2015 156,839 0.00

EUR 34,523,000 PLN 140,162,872 17/06/2015 606,257 0.01

EUR 83,963,000 USD 89,728,164 17/06/2015 2,610,833 0.06

MXN 3,052,509,224 USD 198,602,493 17/06/2015 400,876 0.01

% of



Maturity Date(b)

USD Equity

332



As at 31 May 2015



Unrealised % of



SGD 39,389,276 USD 29,172,000 17/06/2015 31,482 0.00

TRY 254,270,627 USD 94,993,960 17/06/2015 516,134 0.01

USD 21,564,436 JPY 2,608,412,660 17/06/2015 503,072 0.01

USD 61,278,328 MXN 937,962,196 17/06/2015 129,410 0.00

USD 7,719,000 CLP 4,631,364,493 19/06/2015 193,035 0.01

USD 7,532,872 MYR 27,354,118 19/06/2015 82,770 0.00

USD 2,943,255 COP 7,154,463,525 22/06/2015 118,880 0.00

USD 7,620,000 TWD 232,614,216 22/06/2015 59,239 0.00

USD 7,823,138 MYR 28,095,782 26/06/2015 172,560 0.01

USD 15,383,000 RUB 812,437,308 29/06/2015 74,130 0.00

INR 491,581,762 USD 7,639,188 30/06/2015 32,448 0.00

USD 14,273,474 KRW 15,785,463,120 30/06/2015 99,333 0.00

USD 3,665,067 HKD 28,416,000 13/07/2015 764 0.00

USD 30,032,551 MYR 110,018,244 24/07/2015 128,010 0.00

USD 25,056,799 MXN 382,918,006 20/08/2015 206,401 0.01


Unrealised % of



BRL 297,541,852 USD 95,298,818 02/06/2015 (1,438,515) (0.03)

INR 1,887,447,978 USD 29,727,222 05/06/2015 (169,871) (0.00)

INR 1,125,345,883 USD 17,649,716 08/06/2015 (24,336) (0.00)

USD 15,648,000 INR 1,001,105,837 08/06/2015 (31,509) (0.00)

KRW 2,751,115,989 USD 2,514,409 11/06/2015 (42,651) (0.00)

USD 16,806,000 INR 1,087,153,976 11/06/2015 (216,109) (0.01)

USD 25,307,372 MXN 391,803,666 12/06/2015 (245,191) (0.01)

EUR 14,502,088 USD 16,233,416 15/06/2015 (285,054) (0.01)

INR 492,977,400 USD 7,735,406 15/06/2015 (21,970) (0.00)

KRW 16,682,026,361 USD 15,278,068 15/06/2015 (291,861) (0.01)

USD 383,161,803 EUR 351,019,113 15/06/2015 (2,863,965) (0.06)

USD 7,639,000 INR 491,569,650 15/06/2015 (52,409) (0.00)

HUF 15,448,035,906 EUR 50,793,298 17/06/2015 (946,522) (0.02)

JPY 1,903,627,190 USD 15,390,177 17/06/2015 (19,532) (0.00)

PLN 249,542,225 EUR 60,907,356 17/06/2015 (467,382) (0.01)

USD 126,553,385 CNH 797,814,569 17/06/2015 (1,947,150) (0.04)

USD 134,451,946 EUR 124,829,387 17/06/2015 (2,830,195) (0.06)

USD 71,349,921 SGD 97,761,368 17/06/2015 (1,131,035) (0.02)

USD 94,677,709 TRY 252,839,844 17/06/2015 (294,949) (0.01)

USD 72,162,815 ZAR 887,598,977 17/06/2015 (828,748) (0.02)

ZAR 789,251,795 USD 65,769,957 17/06/2015 (865,960) (0.02)

CLP 9,215,352,859 USD 15,025,848 19/06/2015 (50,904) (0.00)

MYR 39,744,017 USD 11,115,000 19/06/2015 (290,415) (0.01)

COP 13,448,218,743 USD 5,360,141 22/06/2015 (51,174) (0.00)

MYR 34,824,068 USD 9,639,000 26/06/2015 (156,287) (0.00)

USD 7,694,000 CLP 4,754,122,600 30/06/2015 (22,691) (0.00)

USD 7,689,000 INR 493,787,580 01/07/2015 (15,727) (0.00)

USD 37,715,323 BRL 121,183,106 02/07/2015 (109,480) (0.00)

KRW 10,419,719,062 USD 9,589,287 24/07/2015 (241,030) (0.01)



Unrealised % of



EUR 2,288,909,121 USD 2,484,450,339 15/06/2015 32,728,552 0.71

USD 207,439,615 EUR 186,030,251 15/06/2015 2,856,822 0.06

SGD 3,772,852 USD 2,795,039 13/07/2015 515 0.00

USD 9,092,282 GBP 5,907,233 15/07/2015 63,214 0.00


Unrealised % of



CHF 55,531,969 USD 60,151,159 25/06/2015 (771,159) (0.02)

GBP 120,304,452 USD 185,089,730 15/07/2015 (1,207,152) (0.02)


333



As at 31 May 2015






Interest Rate Swaps



















20,320,000 Fixed 3.785% Floating (MYR 3 month LIBOR) MYR 24/09/2018 4,703 0.00



7,770,000 Floating (Russian Federation) Fixed 1.000% USD 20/12/2019 659,487 0.02


28,520,000 Floating (Republic of Colombia) Fixed 1.000% USD 20/12/2019 616,940 0.01



UNREALISED GAIN ON CREDIT DEFAULT SWAPS 2,738,829 0.06





Interest Rate Swaps















24,600,000,000 Fixed 2.767% Floating (KRW 3 month LIBOR) KRW 11/11/2024 (390,057) (0.01)


32,870,000 Fixed 3.920% Floating (MYR 3 month KLIBOR) MYR 13/09/2018 (31,639) (0.00)

47,530,000 Fixed 3.830% Floating (MYR 3 month LIBOR) MYR 17/09/2018 (8,791) (0.00)






38,520,000 Fixed 4.100% Floating (MYR 3 month MIBOR) MYR 15/04/2019 (85,329) (0.00)







334



As at 31 May 2015














































Interest Rate Swaps








Interest Rate Swaps










(cost USD 4 ,575 ,507 ,393) 4,622,524,348 100.30



335



As at 31 May 2015

% of
















Rates disclosed for Corporate Bonds, Government Bonds, Supranationals and Municipal Bonds are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Barclays Bank Plc., BNP Paribas S.A., Citibank NA London, Credit Suisse Debt Capital Markets, Deutsche Bank AG, HSBC

Bank Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley And Co., Inc., Royal Bank of Canada, Royal Bank of Scotland Plc., Standard Chartered

Bank, State Street Bank & Trust, UBS AG London and Westpac Banking Corp.

The counterparties for swap contracts were Bank of America NA, Citibank NA, Credit Suisse Debt Capital Markets, Deutsche Bank AG Frankfurt, JP Morgan Chase Bank NA, JP

Morgan Chase Bank NA London and Morgan Stanley And Co., Inc.







(e) These securities are issued with the first indicated rate which increases to the second rate at a set date in the future.

(f) A related party to Goldman Sachs Funds.

(g) The yield for this fund as at 31 May 2015 was 0.230%.

(h) Valuation of this security is determined by the valuer. See Note 4.


336



As at 31 May 2015

Goldman Sachs Funds—Liberty Harbor Opportunistic Corporate Bond Portfolio



France



5,202,516 2.90

Luxembourg

393,000 Altice Financing S.A. 144A(c) USD 7.875% 15/12/2019 417,563 0.23


803,000 Altice S.A. 144A(c) USD 7.750% 15/05/2022 814,041 0.45

3,302,354 1.84

United Kingdom

423,000 Ineos Finance Plc. EUR 4.000% 01/05/2023 460,872 0.26

435,000 International Game Technology Plc. 144A(c) USD 5.625% 15/02/2020 429,563 0.24

1,057,000 International Game Technology Plc.144A(c) USD 6.250% 15/02/2022 1,030,575 0.57

612,000 International Game Technology Plc.144A(c) USD 6.500% 15/02/2025 578,340 0.32

856,170 MU Finance Plc. USD 8.375% 01/02/2017 885,066 0.49

1,258,913 MU Finance Plc. 144A(c) USD 8.375% 01/02/2017 1,290,386 0.72

4,674,802 2.60

United States

956,000 ADT Corp. USD 3.500% 15/07/2022 881,910 0.49



863,000 Ally Financial, Inc. USD 4.125% 30/03/2020 869,473 0.48


1,870,000 Bonanza Creek Energy, Inc. USD 6.750% 15/04/2021 1,830,262 1.02

548,000 Calpine Corp. USD 5.375% 15/01/2023 553,480 0.31

1,200,000 Chemtura Corp. USD 5.750% 15/07/2021 1,240,500 0.69

1,364,000 Cimarex Energy Co. USD 5.875% 01/05/2022 1,472,694 0.82

1,144,000 Cinemark USA, Inc. USD 5.125% 15/12/2022 1,175,460 0.65

259,000 CIT Group, Inc. USD 5.000% 15/05/2017 269,036 0.15

3,849,000 CIT Group, Inc. USD 5.250% 15/03/2018 4,031,827 2.25

170,000 Dana Holding Corp. USD 6.750% 15/02/2021 180,625 0.10

1,214,000 Dana Holding Corp. USD 5.375% 15/09/2021 1,268,630 0.71

583,000 Dana Holding Corp. USD 6.000% 15/09/2023 619,438 0.35

770,000 DaVita HealthCare Partners, Inc. USD 5.750% 15/08/2022 820,050 0.46

422,000 DaVita HealthCare Partners, Inc. USD 5.000% 01/05/2025 419,890 0.23

1,217,000 Graphic Packaging International, Inc. USD 4.750% 15/04/2021 1,262,637 0.70

385,000 HCA, Inc. USD 3.750% 15/03/2019 392,219 0.22

1,216,000 HCA, Inc. USD 6.500% 15/02/2020 1,361,920 0.76

1,800,000 Lear Corp. USD 5.250% 15/01/2025 1,831,500 1.02

990,000 Regal Entertainment Group USD 5.750% 15/03/2022 1,024,650 0.57

430,000 Springleaf Finance Corp. USD 6.900% 15/12/2017 460,638 0.26

315,000 T-Mobile USA, Inc. USD 6.625% 15/11/2020 330,750 0.18

436,000 Tenet Healthcare Corp. USD 6.250% 01/11/2018 476,330 0.27

28,067,870 15.64


(cost USD 41 ,084 ,861) 41,247,542 22.98

Warrants – 0.00%

United States

11,894 Everyware Global, Inc., exp. 07/21—Warrants 0 0.00

TOTAL WARRANTS


% of



Maturity Date(b)

USD Equity

337



As at 31 May 2015


Ireland

2,052 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(d)(e) 2,052 0.00

TOTAL MUTUAL FUNDS

(cost USD 2 ,052) 2,052 0.00


(cost USD 41 ,086 ,913) 41,249,594 22.98



Canada

38,000 Bombardier, Inc. 144A(c) USD 7.500% 15/03/2018 40,137 0.02

4,900,000 Bombardier, Inc. 144A(c) USD 5.500% 15/09/2018 4,912,250 2.74

1,375,000 Bombardier, Inc. 144A(c) USD 7.750% 15/03/2020 1,424,844 0.79

300,000 Sanjel Corp. 144A(c) USD 7.500% 19/06/2019 225,750 0.13

2,232,000 Seven Generations Energy Ltd. 144A(c) USD 8.250% 15/05/2020 2,402,860 1.34

499,000 Seven Generations Energy Ltd. 144A(c) USD 6.750% 01/05/2023 506,734 0.28

1,030,000 Teine Energy Ltd. 144A(c) USD 6.875% 30/09/2022 1,019,700 0.57



14,553,455 8.11

Luxembourg

3,175,000 Beverage Packaging Holdings Luxembourg II S.A. 144A(c) USD 5.625% 15/12/2016 3,206,750 1.78

1,129,000 Beverage Packaging Holdings Luxembourg II S.A. 144A(c) USD 6.000% 15/06/2017 1,144,524 0.64

1,833,000 INEOS Group Holdings S.A. 144A(c) USD 6.125% 15/08/2018 1,897,155 1.06

6,248,429 3.48

Netherlands

3,676,000 Fiat Chrysler Automobiles NV 144A(c) USD 4.500% 15/04/2020 3,758,710 2.09


6,857,005 3.82

United Kingdom

400,000 Jaguar Land Rover Automotive Plc. 144A(c) USD 4.250% 15/11/2019 413,560 0.23

United States

2,685,000 APX Group, Inc. USD 6.375% 01/12/2019 2,691,712 1.50


770,000 Calpine Corp. 144A(c) USD 6.000% 15/01/2022 827,750 0.46

1,215,000 Cequel Communications Holdings I LLC 144A(c) USD 6.375% 15/09/2020 1,248,413 0.69

342,000 CIT Group, Inc. 144A(c) USD 5.500% 15/02/2019 362,093 0.20

1,175,000 E*TRADE Financial Corp. USD 5.375% 15/11/2022 1,233,750 0.69

1,101,000 E*TRADE Financial Corp. USD 4.625% 15/09/2023 1,114,763 0.62

2,196,000 Endeavor Energy Resources LP Via EER Finance, Inc. 144A(c) USD 7.000% 15/08/2021 2,206,980 1.23



690,000 Gulfport Energy Corp. 144A(c) USD 6.625% 01/05/2023 707,250 0.39

1,194,000 HD Supply, Inc. 144A(c) USD 5.250% 15/12/2021 1,247,730 0.69

752,000 Hexion, Inc. USD 6.625% 15/04/2020 716,280 0.40

1,640,000 International Lease Finance Corp. 144A(c) USD 7.125% 01/09/2018 1,849,100 1.03

2,089,000 Intrepid Aviation Group Holdings LLC Via Intrepid Finance Co. 144A(c)USD 6.875% 15/02/2019 2,031,552 1.13

1,667,000 Jack Cooper Holdings Corp. 144A(c) USD 10.250% 01/06/2020 1,475,295 0.82

2,876,000 Lamar Media Corp. USD 5.375% 15/01/2024 2,983,850 1.66

2,888,000 LifePoint Hospitals, Inc. USD 5.500% 01/12/2021 3,054,060 1.70

1,620,000 Memorial Resource Development Corp. 144A(c) USD 5.875% 01/07/2022 1,599,750 0.89

1,641,000 Navient Corp. USD 8.450% 15/06/2018 1,846,125 1.03

1,592,000 Navient Corp. USD 5.500% 15/01/2019 1,651,700 0.92

212,000 Navient Corp. USD 5.875% 25/03/2021 214,385 0.12

2,965,000 Nexstar Broadcasting, Inc. USD 6.875% 15/11/2020 3,172,550 1.77

1,146,000 Nortek, Inc. USD 8.500% 15/04/2021 1,244,843 0.69

121,000 Parsley Energy LLC Via Parsley Finance Corp. 144A(c) USD 7.500% 15/02/2022 127,050 0.07

284,000 Quicken Loans, Inc. 144A(c) USD 5.750% 01/05/2025 284,710 0.16

948,000 Rayonier AM Products, Inc. 144A(c) USD 5.500% 01/06/2024 860,310 0.48

3,601,000 Rite Aid Corp. USD 6.750% 15/06/2021 3,817,060 2.13

168,000 Rite Aid Corp. 144A(c) USD 6.125% 01/04/2023 175,350 0.10

4,754,000 Rockwood Specialties Group, Inc. USD 4.625% 15/10/2020 4,967,930 2.77

368,000 SandRidge Energy, Inc. 144A(c) USD 8.750% 01/06/2020 366,160 0.20


% of



Maturity Date(b)

USD Equity

338



As at 31 May 2015



1,702,000 Springleaf Finance Corp. USD 5.250% 15/12/2019 1,719,020 0.96

688,000 TMX Finance LLC Via TitleMax Finance Corp. 144A(c) USD 8.500% 15/09/2018 553,840 0.31


1,575,000 Vector Group Ltd. USD 7.750% 15/02/2021 1,704,937 0.95

569,000 Windstream Services LLC USD 7.875% 01/11/2017 617,365 0.34

3,117,000 Windstream Services LLC USD 7.750% 15/10/2020 3,163,755 1.76


330,000 ZF North America Capital, Inc. 144A(c) USD 4.500% 29/04/2022 335,775 0.19

63,233,083 35.22


(cost USD 91 ,052 ,211) 91,305,532 50.86


(cost USD 91 ,052 ,211) 91,305,532 50.86



United States

10,523 Liberty Harbor LLC 592,395 0.33

TOTAL COMMON STOCKS

(cost USD 1 ,052 ,321) 592,395 0.33


(cost USD 1 ,052 ,321) 592,395 0.33


United Kingdom

350,000 Hanson Building Products Ltd. USD 6.500% 18/02/2022 351,971 0.20

867,000 Hyperion Insurance Group Ltd. USD 5.500% 29/04/2022 874,586 0.49

1,226,557 0.69

United States

2,268,738 Cengage Learning Acquisitions, Inc. USD 8.250% 31/03/2020 2,279,469 1.27

1,198,661 DaVita HealthCare Partners, Inc. USD 3.500% 24/06/2021 1,203,683 0.67

597,680 FairPoint Communications, Inc. USD 7.500% 14/02/2019 604,218 0.34


1,153,386 HD Supply, Inc. USD 4.000% 28/06/2018 1,156,702 0.64

1,879,240 JC Penney Corp., Inc. USD 5.000% 20/06/2019 1,877,897 1.05

512,614 Kate Spade & Co. USD 4.000% 10/04/2021 512,806 0.28

1,540,850 Lands’ End Inc. USD 4.250% 04/04/2021 1,518,223 0.85

285,840 Michaels Stores, Inc. USD 4.000% 28/01/2020 287,531 0.16

971,000 Rite Aid Corp. USD 4.875% 21/06/2021 974,340 0.54

641,774 Univision Communications, Inc. USD 4.000% 01/03/2020 641,729 0.36

612,000 Valeant Pharmaceuticals International, Inc. USD 4.000% 01/04/2022 617,040 0.34

12,947,968 7.21

TOTAL BANK LOANS

(cost USD 14 ,133 ,166) 14,174,525 7.90


Netherlands

1,429,807 Rabobank Nederland USD Time Deposit USD 0.080% 01/06/2015 1,429,807 0.80

United Kingdom

26,745,042 Barclays Bank Plc. USD Time Deposit USD 0.120% 01/06/2015 26,745,042 14.90

TOTAL TIME DEPOSITS

(cost USD 28 ,174 ,849) 28,174,849 15.70


(cost USD 175 ,499 ,460) 175,496,895 97.77


% of



Maturity Date(b)

USD Equity

339



As at 31 May 2015


Unrealised % of



USD 392,630 EUR 350,000 05/11/2015 6,860 0.00



Unrealised % of



EUR 28,198,014 USD 30,580,467 15/06/2015 429,696 0.24

USD 3,400,824 EUR 3,014,913 15/06/2015 85,238 0.05


Unrealised % of



GBP 4,979,538 USD 7,659,346 15/07/2015 (48,237) (0.03)






Interest Rate Swaps







(cost USD 175 ,499 ,460) 176,063,268 98.08



% of










Rates disclosed for Corporate Bonds, Time Deposits and Bank Loans are those that were in effect at 31 May 2015.

The counterparties for forward currency contracts were Bank of America NA, Citibank NA, Citibank NA London, JP Morgan Chase Bank NA London, Royal Bank of Canada, Royal

Bank of Scotland Plc., State Street Bank London, UBS AG London, Westpac Banking Corp.










340



As at 31 May 2015

Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio



Australia

350,000 APT Pipelines Ltd. GBP 4.250% 26/11/2024 380,933 0.44



300,000 Scentre Group Trust 1 GBP 2.375% 08/04/2022 297,433 0.34

250,000 Scentre Group Trust 1 GBP 3.875% 16/07/2026 271,874 0.32

1,158,111 1.34

Belgium

150,000 Anheuser-Busch InBev NV GBP 9.750% 30/07/2024 230,838 0.27


340,467 0.39

Canada

100,000 Glencore Canada Financial Corp. GBP 7.375% 27/05/2020 120,773 0.14

100,000 Talisman Energy, Inc. GBP 6.625% 05/12/2017 110,998 0.13

231,771 0.27

Cayman Islands

365,000 Dwr Cymru Financing Ltd.—Series B1 GBP 6.907% 31/03/2021 457,308 0.53

400,000 Thames Water Utilities Cayman Finance Ltd.(c) GBP 5.750% 13/09/2030 460,912 0.53

100,000 Thames Water Utilities Cayman Finance Ltd.—Series 16 GBP 4.000% 19/06/2025 109,621 0.13

140,000 Yorkshire Power Finance Ltd. GBP 7.250% 04/08/2028 194,309 0.23

1,222,150 1.42

Denmark

200,000 TDC A/S GBP 5.625% 23/02/2023 232,562 0.27

France

200,000 AXA S.A.(c) GBP 5.625% 16/01/2054 219,214 0.25

250,000 Credit Agricole S.A. GBP 7.375% 18/12/2023 319,602 0.37



1,100,000 Dexia Credit Local S.A. GBP 1.875% 17/07/2017 1,117,644 1.30

250,000 Electricite de France S.A. GBP 6.875% 12/12/2022 327,000 0.38




100,000 Electricite de France S.A.(c) GBP 5.875% 22/07/2049 106,323 0.12

50,000 Orange S.A. GBP 5.250% 05/12/2025 59,982 0.07

50,000 Orange S.A. GBP 8.125% 20/11/2028 75,358 0.09

200,000 Orange S.A. GBP 5.625% 23/01/2034 249,537 0.29

100,000 TOTAL S.A.(c) EUR 2.625% 29/12/2049 71,826 0.08

300,000 TOTAL S.A.(c) EUR 2.250% 29/12/2049 218,040 0.25

3,640,353 4.22

Italy


300,000 Atlantia SpA GBP 6.250% 09/06/2022 367,935 0.43

200,000 CDP Reti SpA EUR 1.875% 29/05/2022 145,616 0.17

200,000 Telecom Italia SpA GBP 6.375% 24/06/2019 223,244 0.26

842,359 0.98

Jersey

400,000 Heathrow Funding Ltd. GBP 3.000% 08/06/2015 402,112 0.47



390,000 Porterbrook Rail Finance Ltd. GBP 6.500% 20/10/2020 467,004 0.54

1,494,472 1.73

Luxembourg





362,004 0.42

% of



Maturity Date(b)

GBP Equity

341



As at 31 May 2015


Netherlands

300,000 ABN AMRO Bank NV GBP 2.500% 18/12/2018 308,943 0.36

250,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA GBP 4.625% 13/01/2021 281,665 0.33

150,000 Deutsche Telekom International Finance BV GBP 6.500% 08/04/2022 187,093 0.22






450,000 ING Bank NV(c) GBP 6.875% 29/05/2023 509,238 0.59

100,000 Koninklijke KPN NV GBP 5.000% 18/11/2026 113,100 0.13


250,000 RWE Finance BV GBP 6.500% 20/04/2021 300,014 0.35

2,514,620 2.92

Spain




556,065 0.65

Sweden

750,000 Nordea Bank AB GBP 2.125% 13/11/2019 764,152 0.89

Switzerland

100,000 UBS AG(c) EUR 4.750% 12/02/2026 78,873 0.09



United Kingdom

550,000 Abbey National Treasury Services Plc. GBP 4.125% 14/09/2017 584,895 0.68




244,000 Anglian Water Services Financing Plc.—Series A1 GBP 5.837% 30/07/2022 298,031 0.35

250,000 Arqiva Financing Plc. GBP 5.340% 30/06/2030 288,226 0.33

190,000 Aviva Plc.(c) GBP 6.125% 29/09/2049 206,317 0.24

50,000 Bank of Scotland Plc.—Series B(c) GBP 7.281% 29/05/2049 60,052 0.07

100,000 Barclays Bank Plc.(c) GBP 6.375% 29/04/2049 105,043 0.12


363,000 BAT International Finance Plc. GBP 6.375% 12/12/2019 434,028 0.50

300,000 BG Energy Capital Plc. GBP 5.125% 01/12/2025 361,077 0.42

379,000 BP Capital Markets Plc. GBP 4.325% 10/12/2018 412,790 0.48



106,489 Canary Wharf Finance II Plc.—Series A1 GBP 6.455% 22/04/2030 138,435 0.16

451,000 Centrica Plc. GBP 7.000% 19/09/2018 527,413 0.61


505,000 ENW Capital Finance Plc. GBP 6.750% 20/06/2015 506,555 0.59

650,000 FCE Bank Plc. GBP 4.825% 15/02/2017 684,658 0.79

70,000 Firstgroup Plc. GBP 8.750% 08/04/2021 89,293 0.10

200,000 Great Rolling Stock Co., Ltd. GBP 6.250% 27/07/2020 235,566 0.27

122,000 Hammerson Plc. GBP 5.250% 15/12/2016 129,182 0.15

200,000 HSBC Holdings Plc. GBP 7.000% 07/04/2038 271,076 0.31


100,000 Imperial Tobacco Finance Plc. GBP 4.875% 07/06/2032 112,006 0.13

350,000 Land Securities Capital Markets Plc.—Series A11(c) GBP 5.125% 07/02/2036 445,742 0.52

450,000 Legal & General Group Plc.(c) GBP 6.385% 29/05/2049 479,630 0.56

134,000 Lloyds Bank Plc.(c) GBP 10.750% 16/12/2021 153,011 0.18


500,000 Lloyds Bank Plc. GBP 6.000% 08/02/2029 694,160 0.81

400,000 Manchester Airport Group Funding Plc. GBP 4.125% 02/04/2024 436,380 0.51

210,000 National Grid Gas Plc. GBP 6.000% 13/05/2038 298,396 0.35

190,000 Northern Powergrid Holdings Co. GBP 7.250% 15/12/2022 242,974 0.28

100,000 Northumbrian Water Finance Plc. GBP 5.125% 23/01/2042 124,823 0.14

1,100,000 Prudential Plc. GBP 1.250% 16/11/2015 1,100,704 1.28

100,000 Prudential Plc.(c) GBP 5.700% 19/12/2063 115,701 0.13

250,000 RL Finance Bonds No. 2 Plc.(c) GBP 6.125% 30/11/2043 272,505 0.32

300,000 RL Finance Bonds Plc.(c) GBP 6.125% 29/12/2049 303,858 0.35

% of



Maturity Date(b)

GBP Equity


342



As at 31 May 2015



450,000 Royal Bank of Scotland Plc. GBP 9.625% 22/06/2015 452,119 0.52

45,000 Royal Bank of Scotland Plc.(c) GBP 5.625% 29/06/2049 42,919 0.05


596,000 RSA Insurance Group Plc.(c) GBP 6.701% 29/05/2049 638,095 0.74

271,096 Sceptre Funding No. 1 Plc. GBP 5.253% 09/02/2027 321,450 0.37

150,000 Scottish Widows Plc. GBP 5.500% 16/06/2023 161,018 0.19

150,000 Scottish Widows Plc.(c) GBP 5.125% 29/09/2049 151,082 0.18

652,708 Telereal Secured Finance Plc. GBP 4.010% 10/12/2031 674,332 0.78

28,830 Telereal Securitisation Plc.—Series B5 GBP 5.425% 10/12/2031 33,199 0.04

100,000 Vodafone Group Plc. GBP 5.375% 05/12/2017 108,320 0.13

400,000 Wales & West Utilities Finance Plc. GBP 4.625% 13/12/2023 455,616 0.53

350,000 Western Power Distribution East Midlands Plc. GBP 6.250% 10/12/2040 490,723 0.57

16,439,777 19.08

United States

50,000 AbbVie, Inc. USD 3.200% 06/11/2022 32,829 0.04

100,000 AbbVie, Inc. USD 2.500% 14/05/2020 65,473 0.08

50,000 AbbVie, Inc. USD 3.600% 14/05/2025 32,956 0.04

50,000 American International Group, Inc. GBP 5.000% 26/04/2023 57,861 0.07

50,000 AT&T, Inc. USD 2.450% 30/06/2020 32,366 0.04

50,000 AT&T, Inc. USD 3.000% 30/06/2022 32,099 0.04

150,000 AT&T, Inc. USD 3.400% 15/05/2025 95,113 0.11

100,000 AT&T, Inc. GBP 7.000% 30/04/2040 140,687 0.16

100,000 Bank of America Corp. GBP 5.500% 04/12/2019 114,632 0.13



360,000 Citigroup, Inc. GBP 5.125% 12/12/2018 396,243 0.46


350,000 General Electric Capital Corp. GBP 5.500% 07/06/2021 413,051 0.48


150,000 Health Care REIT, Inc. GBP 4.800% 20/11/2028 168,857 0.20

300,000 JPMorgan Chase & Co. GBP 1.875% 10/02/2020 297,733 0.34

394,000 Mondelez International, Inc. GBP 7.250% 18/07/2018 460,054 0.53

100,000 Mondelez International, Inc. GBP 3.875% 06/03/2045 97,633 0.11

125,000 Morgan Stanley GBP 5.750% 14/02/2017 134,248 0.16




50,000 Time Warner Cable, Inc. GBP 5.750% 02/06/2031 54,396 0.06


413,000 Verizon Communications, Inc. GBP 4.073% 18/06/2024 445,156 0.52

200,000 Walgreens Boots Alliance, Inc. GBP 2.875% 20/11/2020 202,897 0.24

4,354,909 5.05


(cost GBP 32 ,047 ,000) 34,403,154 39.92


France

350,000 SNCF Reseau GBP 5.250% 07/12/2028 453,818 0.53

Italy


Mexico



95,826 0.11

United Kingdom










% of



Maturity Date(b)

GBP Equity


343



As at 31 May 2015






720,000 United Kingdom Gilt Inflation Linked Bonds GBP 2.500% 16/04/2020 2,613,636 3.03

34,424,978 39.95


(cost GBP 32 ,198 ,103) 35,525,646 41.23


522,000 European Investment Bank GBP 4.875% 07/09/2016 550,027 0.64




1,200,000 European Investment Bank GBP 5.000% 15/04/2039 1,719,996 2.00

3,377,245 3.92


(cost GBP 3 ,358 ,368) 3,377,245 3.92


Ireland

534,112 Goldman Sachs Sterling Liquid Reserves Fund (X Distribution Class)(e)(f) 534,112 0.62

TOTAL MUTUAL FUNDS

(cost GBP 534 ,112) 534,112 0.62


(cost GBP 68 ,137 ,583) 73,840,157 85.69



Mexico

200,000 Trust F/1401 USD 5.250% 15/12/2024 138,265 0.16

United States



(cost GBP 186 ,587) 202,935 0.24


United States



(cost GBP 465 ,383) 495,963 0.58


Cayman Islands

1,000,000 Acis CLO Ltd. "4A" 144A(c)(d) USD 1.764% 01/05/2026 646,713 0.75

1,150,000 Anchorage Capital CLO Ltd. "A1A" 144A(c)(d) USD 1.729% 28/07/2026 749,936 0.87

250,000 Anchorage Capital CLO Ltd. "A2" 144A(c)(d) USD 2.439% 28/07/2026 163,459 0.19



900,000 CIFC Funding Ltd. "A1L" 144A(c)(d) USD 1.762% 24/05/2026 588,973 0.68

1,150,000 Halcyon Loan Advisors Funding Ltd. "A1B" 144A(c)(d) USD 1.653% 28/04/2025 748,591 0.87



1,300,000 Shackleton CLO Ltd. "A" 144A(c)(d) USD 1.776% 07/05/2026 851,845 0.99


500,000 Trinitas CLO Ltd. "A1" 144A(c)(d) USD 1.805% 15/04/2026 326,811 0.38


900,000 WhiteHorse Ltd. "A" 144A(c)(d) USD 1.778% 01/05/2026 587,050 0.68


5,898,992 6.85

% of



Maturity Date(b)

GBP Equity


344



As at 31 May 2015


United Kingdom

442,998 EMF-UK Plc. "A1A"(c) GBP 1.542% 13/03/2046 435,365 0.51





400,000 Warwick Finance Residential

Mortgages Number One Plc. "1A"(c) GBP 1.634% 21/09/2049 397,055 0.46

1,447,592 1.68

United States



500,000 FREMF Mortgage Trust "B" 144A(c)(d) USD 3.685% 25/01/2048 325,200 0.38


849,271 0.98


(cost GBP 7 ,687 ,606) 8,195,855 9.51


(cost GBP 8 ,339 ,576) 8,894,753 10.33



United States

150,000 DIRECTV Holdings LLC Via DIRECTV Financing Co., Inc. GBP 4.375% 14/09/2029 161,388 0.18


573,356 0.66


(cost GBP 548 ,197) 573,356 0.66


(cost GBP 548 ,197) 573,356 0.66


(cost GBP 77 ,025 ,356) 83,308,266 96.68




Contracts Security Description GBP GBP Equity

CAD


EUR

(9) Euro OAT Futures 08/06/2015 Short (986,521) 28,939 0.03


14 German Federal Republic Bonds 2YR Futures 08/06/2015 Long 1,119,478 252 0.00



10,418,586 86,471 0.10

GBP




% of



Maturity Date(b)

GBP Equity

345



As at 31 May 2015

Futures Contracts – (continued)Commitment Unrealised % of



EUR


USD





(4,920,240) (7,256) (0.01)



Unrealised % of


Currency Bought Currency Sold Date GBP Equity

GBP 2,303,685 EUR 3,195,451 15/06/2015 5,061 0.01


Unrealised % of



GBP 9,022,058 USD 13,828,000 15/07/2015 (24,857) (0.03)





Amount Pay Receive Currency Maturity Date GBP Equity

Interest Rate Swaps



370,000 Floating (CAD 3 month CDOR) Fixed 2.750% CAD 17/06/2025 804 0.00










840,000 Fixed 1.695% Floating (EUR 6 month EURIBOR) EUR 11/05/2035 110 0.00




2,650,000 Floating (GBP 12 month UK RPI) Fixed 2.905% GBP 16/10/2019 54,400 0.06





















346



As at 31 May 2015





Interest Rate Swaps






















(cost GBP 77 ,025 ,356) 83,581,783 97.00



% of


TOTAL INVESTMENTS GBP Equity

Total Investments excluding derivatives (cost GBP 77,025,356) 83,308,266 96.68











The counterparties for forward currency contracts were HSBC Bank Plc., Merrill Lynch International and State Street Bank London.

The counterparties for swap contracts were Bank of America NA, BNP Paribas S.A., Credit Suisse Debt Capital Markets and Morgan Stanley and Co. International.










347



As at 31 May 2015

% of



Maturity Date(b)

GBP Equity



Australia

1,100,000 APT Pipelines Ltd. GBP 4.250% 26/11/2024 1,197,218 0.35

1,050,000 APT Pipelines Ltd. GBP 3.500% 22/03/2030 1,031,347 0.31

1,060,000 Commonwealth Bank of Australia(c) GBP 4.875% 19/12/2023 1,146,628 0.34

2,350,000 Scentre Group Trust 1 GBP 3.875% 16/07/2026 2,555,613 0.76

5,930,806 1.76

Belgium

1,000,000 Anheuser-Busch InBev NV GBP 9.750% 30/07/2024 1,538,920 0.46


1,400,000 KBC Bank NV(c) USD 8.000% 25/01/2023 1,018,106 0.30

3,434,058 1.02

Canada

850,000 Glencore Canada Financial Corp. GBP 7.375% 27/05/2020 1,026,571 0.31

1,250,000 Talisman Energy, Inc. GBP 6.625% 05/12/2017 1,387,475 0.41

2,414,046 0.72

Cayman Islands

50,000 Dwr Cymru Financing Ltd.—Series A1 GBP 6.015% 31/03/2028 65,794 0.02

1,514,000 Dwr Cymru Financing Ltd.—Series B1 GBP 6.907% 31/03/2021 1,896,891 0.56

150,000 Southern Water Services Finance Ltd. GBP 6.125% 31/03/2019 172,624 0.05

600,000 Southern Water Services Finance Ltd. GBP 5.000% 31/03/2021 682,194 0.20

1,000,000 Southern Water Services Finance Ltd.(c) GBP 4.500% 31/03/2038 1,053,870 0.31

550,000 Southern Water Services Finance Ltd.—Series A1 GBP 6.192% 31/03/2029 725,178 0.22

2,550,000 Thames Water Utilities Cayman Finance Ltd.(c) GBP 5.750% 13/09/2030 2,938,314 0.87

300,000 Thames Water Utilities Cayman Finance Ltd. GBP 5.500% 11/02/2041 385,596 0.11

850,000 Thames Water Utilities Cayman Finance Ltd.—Series 16 GBP 4.000% 19/06/2025 931,778 0.28


750,000 Yorkshire Power Finance Ltd. GBP 7.250% 04/08/2028 1,040,940 0.31

861,000 Yorkshire Water Services Bradford Finance Ltd.(c) GBP 6.000% 24/04/2025 926,380 0.28

850,000 Yorkshire Water Services Bradford Finance Ltd. GBP 3.625% 01/08/2029 892,687 0.26

11,991,114 3.55

Denmark

2,150,000 TDC A/S GBP 5.625% 23/02/2023 2,500,042 0.74

France

50,000 AXA S.A.(c) GBP 6.686% 29/07/2049 57,787 0.02

1,623,000 AXA S.A.(c) GBP 5.453% 29/11/2049 1,745,374 0.52

900,000 AXA S.A.(c) GBP 5.625% 16/01/2054 986,463 0.29

100,000 BNP Paribas S.A. GBP 5.750% 24/01/2022 114,425 0.03

900,000 BPCE S.A. GBP 5.250% 16/04/2029 978,898 0.29


1,700,000 Credit Agricole S.A.(c) GBP 5.000% 29/06/2049 1,765,569 0.52



2,000,000 Electricite de France S.A. GBP 6.125% 02/06/2034 2,596,760 0.77





700,000 GDF Suez(c) EUR 3.875% 29/07/2049 534,871 0.16

650,000 Orange S.A. GBP 5.250% 05/12/2025 779,763 0.23

750,000 Orange S.A. GBP 8.125% 20/11/2028 1,130,377 0.34

950,000 Orange S.A. GBP 5.625% 23/01/2034 1,185,301 0.35

700,000 Orange S.A.(c) GBP 5.750% 29/10/2049 741,945 0.22

1,800,000 TOTAL S.A.(c) EUR 2.625% 29/12/2049 1,292,859 0.38

2,200,000 TOTAL S.A.(c) EUR 2.250% 29/12/2049 1,598,957 0.47

23,035,069 6.83

Germany

500,000 RWE AG(c) GBP 7.000% 29/03/2049 536,485 0.16

Hong Kong

800,000 CITIC Ltd. USD 6.800% 17/01/2023 616,638 0.18

Goldman Sachs Funds—Sterling Credit Portfolio

348



As at 31 May 2015


Ireland

1,950,000 Bank of Ireland EUR 1.250% 09/04/2020 1,395,871 0.41

1,400,000 ESB Finance Ltd. GBP 6.500% 05/03/2020 1,658,629 0.49


1,350,000 GE Capital UK Funding GBP 6.250% 05/05/2038 1,973,646 0.59

5,635,839 1.67

Italy



2,100,000 Atlantia SpA GBP 6.250% 09/06/2022 2,575,545 0.76


1,700,000 CDP Reti SpA EUR 1.875% 29/05/2022 1,237,734 0.37

500,000 Enel SpA GBP 5.750% 22/06/2037 605,857 0.18

550,000 Enel SpA(c) GBP 7.750% 10/09/2075 619,844 0.18

800,000 Enel SpA(c) GBP 6.625% 15/09/2076 861,720 0.26




1,150,000 Telecom Italia SpA GBP 6.375% 24/06/2019 1,283,653 0.38

10,374,803 3.08

Jersey




250,000 HSBC Bank Capital Funding Sterling 1 LP(c) GBP 5.844% 29/11/2049 282,348 0.08

550,000 HSBC Bank Capital Funding Sterling 2 LP(c) GBP 5.862% 29/04/2049 595,887 0.18


1,450,000 Porterbrook Rail Finance Ltd. GBP 6.500% 20/10/2020 1,736,295 0.51



9,953,059 2.95

Luxembourg

1,050,000 Actavis Funding SCS USD 3.000% 12/03/2020 697,415 0.21






3,195,451 0.95

Mexico



1,158,003 0.34

Netherlands

600,000 ABN AMRO Bank NV EUR 7.125% 06/07/2022 575,840 0.17

650,000 ABN AMRO Bank NV(c) GBP 5.000% 29/12/2049 664,911 0.20

1,100,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA GBP 4.625% 13/01/2021 1,239,326 0.37


1,150,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA GBP 5.250% 14/09/2027 1,302,266 0.39


1,300,000 Deutsche Telekom International Finance BV GBP 6.500% 08/04/2022 1,621,470 0.48

700,000 E.ON International Finance BV GBP 6.375% 07/06/2032 927,322 0.27





1,300,000 EDP Finance BV EUR 2.000% 22/04/2025 899,865 0.27




2,550,000 ING Bank NV(c) GBP 6.875% 29/05/2023 2,885,682 0.86

2,550,000 ING Bank NV(c) USD 4.125% 21/11/2023 1,734,358 0.51

2,050,000 Koninklijke KPN NV GBP 5.750% 17/09/2029 2,480,910 0.74



% of



Maturity Date(b)

GBP Equity

349



As at 31 May 2015



1,200,000 RWE Finance BV GBP 5.500% 06/07/2022 1,395,996 0.41



22,733,613 6.74

Norway

300,000 DNB Bank ASA(c) GBP 7.250% 23/06/2020 301,977 0.09

50,000 Statoil ASA GBP 6.875% 11/03/2031 72,621 0.02

374,598 0.11

Portugal

1,300,000 Brisa Concessao Rodoviaria S.A. EUR 1.875% 30/04/2025 899,047 0.27

Spain

600,000 Banco Bilbao Vizcaya Argentaria S.A.(c) EUR 7.000% 29/12/2049 441,201 0.13

800,000 BBVA Subordinated Capital SAU EUR 3.500% 11/04/2024 607,193 0.18

650,000 Iberdrola Finanzas SAU GBP 7.375% 29/01/2024 859,973 0.25

2,000,000 Telefonica Emisiones SAU GBP 5.597% 12/03/2020 2,281,110 0.68


950,000 Telefonica Emisiones SAU GBP 5.375% 02/02/2026 1,115,652 0.33

6,806,284 2.02

Switzerland


650,000 UBS AG(c) EUR 4.750% 12/02/2026 512,676 0.15

885,502 0.26

United Kingdom

1,050,000 Anglian Water Services Financing Plc. GBP 4.500% 22/02/2026 1,144,012 0.34


8,000 Anglian Water Services Financing Plc.—Series A1 GBP 5.837% 30/07/2022 9,772 0.00

58,800 Annington Finance No 4 Plc.—Series B3(c) GBP 1.539% 10/01/2023 59,094 0.02



1,340,000 Aviva Plc.(c) GBP 6.125% 29/09/2049 1,455,079 0.43

1,606,000 Aviva Plc.(c) GBP 5.902% 29/11/2049 1,716,188 0.51

700,000 Bank of Scotland Plc. GBP 9.375% 15/05/2021 914,410 0.27

700,000 Barclays Bank Plc. GBP 10.000% 21/05/2021 934,619 0.28

950,000 Barclays Bank Plc.(c) GBP 6.750% 16/01/2023 1,044,601 0.31

50,000 Barclays Bank Plc. GBP 5.750% 14/09/2026 57,692 0.02



925,000 BAT International Finance Plc. GBP 7.250% 12/03/2024 1,243,561 0.37

825,000 BG Energy Capital Plc. GBP 5.125% 01/12/2025 992,962 0.29

850,000 BG Energy Capital Plc. GBP 5.125% 01/12/2025 1,023,051 0.30


1,698,000 British Telecommunications Plc. GBP 6.375% 23/06/2037 2,326,387 0.69

110,774 Broadgate Financing Plc.—Series A2 GBP 4.949% 05/04/2029 128,479 0.04



435,894 Canary Wharf Finance II Plc.—Series A1 GBP 6.455% 22/04/2030 566,662 0.17

800,000 Centrica Plc. GBP 4.375% 13/03/2029 874,904 0.26


520,000 Direct Line Insurance Group Plc.(c) GBP 9.250% 27/04/2042 664,586 0.20

2,400,000 Eastern Power Networks Plc. GBP 4.750% 30/09/2021 2,719,512 0.81



2,053,000 Great Rolling Stock Co., Ltd. GBP 6.250% 27/07/2020 2,418,085 0.72

1,050,000 HJ Heinz Finance UK Plc. GBP 6.250% 18/02/2030 1,302,273 0.39

300,000 Holmes Master Issuer Plc. GBP 4.009% 15/10/2054 317,840 0.09

50,000 HSBC Bank Plc.(c) GBP 5.375% 04/11/2030 56,217 0.02

1,700,000 HSBC Holdings Plc.(c) GBP 6.375% 18/10/2022 1,849,311 0.55


1,400,000 HSBC Holdings Plc. GBP 7.000% 07/04/2038 1,897,532 0.56

1,000,000 HSBC Holdings Plc. GBP 6.000% 29/03/2040 1,234,220 0.37

1,023,000 Imperial Tobacco Finance Plc. GBP 9.000% 17/02/2022 1,398,866 0.41

850,000 Imperial Tobacco Finance Plc. GBP 4.875% 07/06/2032 952,047 0.28

100,000 Land Securities Capital Markets Plc.(c) GBP 5.391% 27/02/2026 122,008 0.04

% of



Maturity Date(b)

GBP Equity


350



As at 31 May 2015



550,000 Land Securities Capital Markets Plc.—Series A11(c) GBP 5.125% 07/02/2036 700,453 0.21

950,000 Legal & General Group Plc.(c) GBP 5.875% 29/03/2049 1,025,449 0.30

2,650,000 Legal & General Group Plc.(c) GBP 6.385% 29/05/2049 2,824,489 0.84




1,300,000 Lloyds Bank Plc. GBP 7.625% 22/04/2025 1,698,671 0.50


2,850,000 Manchester Airport Group Funding Plc. GBP 4.125% 02/04/2024 3,109,207 0.92

1,300,000 National Express Group Plc. GBP 6.625% 17/06/2020 1,539,531 0.46

408,000 National Grid Electricity Transmission Plc. GBP 5.875% 02/02/2024 514,398 0.15


1,000,000 Next Plc. GBP 4.375% 02/10/2026 1,119,965 0.33

300,000 NGG Finance Plc.(c) GBP 5.625% 18/06/2073 332,757 0.10

209,000 Northern Gas Networks Finance Plc. GBP 4.875% 30/06/2027 242,802 0.07

880,000 Northern Powergrid Holdings Co. GBP 7.250% 15/12/2022 1,125,353 0.33

500,000 Northumbrian Water Finance Plc. GBP 5.125% 23/01/2042 624,115 0.18

35,723 Octagon Healthcare Funding Plc. GBP 5.333% 31/12/2035 43,275 0.01

200,000 Permanent Master Issuer Plc.—Series 3A GBP 4.805% 15/07/2042 211,392 0.06

801,000 Prudential Plc.(c) GBP 11.375% 29/05/2039 1,048,513 0.31

1,300,000 Prudential Plc.(c) GBP 5.700% 19/12/2063 1,504,113 0.45

1,950,000 RL Finance Bonds No. 2 Plc.(c) GBP 6.125% 30/11/2043 2,125,539 0.63

400,000 Royal Bank of Scotland Group Plc.(c) EUR 3.625% 25/03/2024 299,134 0.09





298,000 Santander UK Plc.(c) GBP 9.625% 30/10/2023 362,922 0.11

750,726 Sceptre Funding No. 1 Plc. GBP 5.253% 09/02/2027 890,170 0.26




2,350,000 Severn Trent Utilities Finance Plc. GBP 3.625% 16/01/2026 2,484,913 0.74

850,000 Southern Gas Networks Plc. GBP 2.500% 03/02/2025 826,612 0.24

1,150,000 Southern Gas Networks Plc.—Series A7 GBP 4.875% 21/03/2029 1,366,660 0.40

600,000 SPD Finance UK Plc. GBP 5.875% 17/07/2026 748,551 0.22

550,000 SSE Plc. GBP 6.250% 27/08/2038 762,135 0.23

400,000 Standard Chartered Bank GBP 7.750% 03/04/2018 458,664 0.14

964,000 Standard Chartered Bank(c) GBP 5.375% 29/06/2049 1,005,712 0.30

100,000 Standard Chartered Bank(c) GBP 7.750% 29/10/2049 119,053 0.03

565,000 Standard Chartered Plc. GBP 4.375% 18/01/2038 602,064 0.18

950,000 Standard Life Plc.(c) GBP 6.546% 29/11/2049 1,055,079 0.31

1,958,124 Telereal Secured Finance Plc. GBP 4.010% 10/12/2031 2,022,995 0.60

1,512,400 Telereal Securitisation Plc.—Series A8 GBP 4.974% 10/09/2027 1,753,774 0.52



450,000 Telereal Securitisation Plc.—Series B6(c) GBP 1.302% 10/12/2031 361,800 0.11

315,000 Virgin Media Secured Finance Plc. GBP 5.500% 15/01/2025 323,382 0.10



401,000 Vodafone Group Plc. GBP 5.900% 26/11/2032 487,949 0.14

650,000 Wales & West Utilities Finance Plc. GBP 5.000% 07/03/2028 771,716 0.23

550,000 Wales & West Utilities Finance Plc.(c) GBP 6.750% 17/12/2036 629,849 0.19

700,000 Western Power Distribution East Midlands Plc. GBP 6.250% 10/12/2040 981,446 0.29

1,100,000 Western Power Distribution West Midlands Plc. GBP 3.875% 17/10/2024 1,190,750 0.35

200,000 Western Power Distribution West Midlands Plc. GBP 5.750% 16/04/2032 255,458 0.08

50,000 William Hill Plc. GBP 7.125% 11/11/2016 53,395 0.02

90,675,875 26.88

United States

700,000 AbbVie, Inc. USD 2.500% 14/05/2020 458,311 0.14

250,000 AbbVie, Inc. USD 3.200% 06/11/2022 164,144 0.05

450,000 AbbVie, Inc. USD 3.600% 14/05/2025 296,601 0.09



350,000 Apache Corp. USD 3.250% 15/04/2022 230,135 0.07

1,200,000 AT&T, Inc. USD 2.450% 30/06/2020 776,774 0.23

1,500,000 AT&T, Inc. USD 3.000% 30/06/2022 962,981 0.28

1,200,000 AT&T, Inc. USD 3.400% 15/05/2025 760,901 0.22

% of



Maturity Date(b)

GBP Equity


351



As at 31 May 2015



200,000 AT&T, Inc. USD 4.500% 15/05/2035 124,651 0.04

450,000 AT&T, Inc. GBP 7.000% 30/04/2040 633,092 0.19

400,000 AT&T, Inc. GBP 4.250% 01/06/2043 396,738 0.12

875,000 AT&T, Inc. GBP 4.875% 01/06/2044 949,808 0.28

200,000 AT&T, Inc. USD 4.750% 15/05/2046 124,375 0.04




100,000 Cargill, Inc. GBP 5.375% 02/03/2037 126,256 0.04

500,000 Chesapeake Energy Corp. USD 5.750% 15/03/2023 326,204 0.10


1,525,000 Comcast Corp. GBP 5.500% 23/11/2029 1,918,084 0.57

250,000 Comcast Corp. GBP 5.500% 23/11/2029 314,440 0.09

150,000 Community Health Systems, Inc. USD 8.000% 15/11/2019 104,729 0.03




1,400,000 Eastman Chemical Co. USD 3.800% 15/03/2025 935,135 0.28


750,000 General Electric Capital Corp. GBP 5.375% 18/12/2040 1,010,010 0.30

800,000 General Electric Capital Corp.(c) GBP 6.500% 15/09/2067 865,088 0.26

100,000 HCA Holdings, Inc. USD 7.750% 15/05/2021 70,310 0.02

2,100,000 HCP, Inc. USD 3.400% 01/02/2025 1,325,005 0.39

2,700,000 Health Care REIT, Inc. GBP 4.800% 20/11/2028 3,039,430 0.90


1,250,000 Mondelez International, Inc. GBP 3.875% 06/03/2045 1,220,412 0.36


1,250,000 Morgan Stanley USD 3.950% 23/04/2027 799,657 0.24


1,250,000 Sysco Corp. USD 3.000% 02/10/2021 832,929 0.25



950,000 Time Warner Cable, Inc. GBP 5.750% 02/06/2031 1,033,514 0.31



1,300,000 Verizon Communications, Inc. GBP 4.073% 18/06/2024 1,401,218 0.41




1,000,000 Wal-Mart Stores, Inc. GBP 4.875% 19/01/2039 1,260,805 0.37

1,700,000 Walgreens Boots Alliance, Inc. GBP 2.875% 20/11/2020 1,724,624 0.51

450,000 Wells Fargo & Co. GBP 4.875% 29/11/2035 515,835 0.15

550,000 Western Gas Partners LP USD 5.375% 01/06/2021 398,909 0.12


44,290,833 13.13

Venezuela




139,875 0.04


(cost GBP 229 ,940 ,518) 247,581,040 73.40


Brazil


1,741,000 Brazil Notas do Tesouro Nacional—Series B BRL 6.000% 15/08/2050 988,931 0.29

1,143,676 0.34

Croatia



% of



Maturity Date(b)

GBP Equity

352



As at 31 May 2015


Dominican Republic



440,139 0.13

France

4,400,000 SNCF Reseau GBP 5.250% 07/12/2028 5,705,141 1.69

Germany

1,400,000 KFW GBP 5.500% 18/06/2025 1,844,304 0.54

500,000 KFW GBP 5.750% 07/06/2032 734,703 0.22

2,579,007 0.76

Honduras


Indonesia


Italy

808,000 Italy Government International Bond GBP 6.000% 04/08/2028 995,553 0.30

Mexico





612,298 0.18

Venezuela









287,174 0.09


(cost GBP 12 ,504 ,704) 12,553,605 3.72





13,742,379 4.07


(cost GBP 14 ,037 ,185) 13,742,379 4.07


(cost GBP 256 ,482 ,407) 273,877,024 81.19



Canada

100,000 MEG Energy Corp. 144A(d) USD 6.375% 30/01/2023 62,134 0.02

Costa Rica

200,000 Banco Nacional de Costa Rica USD 6.250% 01/11/2023 133,163 0.04

France

1,300,000 Pernod Ricard S.A. 144A(d) USD 4.450% 15/01/2022 918,701 0.27


% of



Maturity Date(b)

GBP Equity

353



As at 31 May 2015


Italy

1,600,000 Intesa Sanpaolo SpA 144A(d) USD 5.017% 26/06/2024 1,049,523 0.31

Luxembourg


Mexico

590,000 Trust F/1401 USD 5.250% 15/12/2024 407,881 0.12

United States


1,200,000 Prudential Financial, Inc.(c) USD 5.375% 15/05/2045 790,249 0.24



3,321,661 0.99

Venezuela



(cost GBP 6 ,134 ,392) 6,142,982 1.82


Cayman Islands


3,500,000 Anchorage Capital CLO Ltd. "A1A" 144A(c)(d) USD 1.729% 28/07/2026 2,282,412 0.68




2,500,000 Madison Park Funding X Ltd. "A1A" 144A(c)(d) USD 1.645% 20/01/2025 1,633,703 0.48

3,900,000 Monroe Capital BSL CLO Ltd. "1A" 144A(d) USD 0.010% 22/05/2027 2,522,713 0.75





3,000,000 Silvermore CLO Ltd. "A1" 144A(c)(d) USD 1.724% 15/05/2026 1,954,984 0.58

550,000 Silvermore CLO Ltd. "A2" 144A(c)(d) USD 2.324% 15/05/2026 359,405 0.11



2,450,000 Zais CLO 1 Ltd. "1A" 144A(c)(d) USD 1.753% 15/04/2026 1,595,167 0.47

24,854,357 7.37

Ireland

1,290,527 Credit Suisse European Mortgage Capital Ltd. "A"(c) EUR 2.790% 20/04/2020 909,526 0.27

United Kingdom

1,230,550 EMF-UK Plc. "A1A"(c) GBP 1.542% 13/03/2046 1,209,346 0.36

1,789,132 Equity Release Funding No 1 Plc. "A2" GBP 5.700% 26/02/2031 2,164,190 0.64






5,830,108 1.73

United States

4,151,279 Alternative Loan Trust "A1B"(c) USD 1.397% 25/11/2047 2,063,292 0.61

1,484,566 Countrywide Home Loan Mortgage Pass Through Trust "1A1" USD 6.000% 25/05/2037 865,237 0.26

840,495 Credit Suisse Mortgage Capital Certificates "8A1" 144A(d) USD 6.000% 27/08/2036 581,866 0.17

1,381,735 Deutsche Alt-A Securities Mortgage Loan Trust "A1"(c) USD 0.325% 25/07/2047 775,738 0.23

207,850 DSLA Mortgage Loan Trust "2A1A"(c) USD 0.476% 19/10/2045 117,736 0.03

109,493 Fannie Mae Connecticut Avenue Securities "2M1"(c) USD 1.685% 25/02/2025 71,782 0.02



100,000 GSAMP Trust "A2C"(c) USD 0.355% 25/01/2037 55,885 0.02

50,918 Morgan Stanley Mortgage Loan Trust "2A4" USD 5.750% 25/02/2036 31,919 0.01


% of



Maturity Date(b)

GBP Equity

354



As at 31 May 2015



319,424 Nomura Asset Acceptance Corp.

Alternative Loan Trust Series "4A1"(c) USD 3.089% 25/08/2035 204,308 0.06

453,539 RALI Trust "1A1" USD 6.500% 25/09/2036 220,489 0.07

132,921 RALI Trust "1A4" USD 6.000% 25/01/2037 75,443 0.02

3,297,934 RALI Trust "A1"(c) USD 0.345% 25/04/2037 1,799,844 0.53

7,284,723 2.16


(cost GBP 35 ,628 ,086) 38,878,714 11.53


(cost GBP 41 ,762 ,478) 45,021,696 13.35



Cayman Islands


United States

1,800,000 DIRECTV Holdings LLC Via DIRECTV Financing Co., Inc. GBP 4.375% 14/09/2029 1,936,656 0.57


3,800,000 Walgreens Boots Alliance, Inc. GBP 3.600% 20/11/2025 3,913,696 1.16

6,546,918 1.94


(cost GBP 6 ,587 ,204) 6,783,805 2.01


Dominican Republic



(cost GBP 11 ,588) 14,227 0.01


(cost GBP 6 ,598 ,792) 6,798,032 2.02


(cost GBP 304 ,843 ,677) 325,696,752 96.56





CAD


EUR





33,234,899 309,042 0.09

GBP




% of



Maturity Date(b)

GBP Equity

355



As at 31 May 2015





EUR


USD




(11,167,505) (18,461) (0.01)



Unrealised % of



GBP 1,473,817 MXN 34,376,329 12/06/2015 7,368 0.00

EUR 3,824,582 GBP 2,726,067 15/06/2015 25,118 0.01

GBP 21,398,429 EUR 29,746,063 15/06/2015 816 0.00

USD 1,521,167 BRL 4,814,647 02/07/2015 12,020 0.00


Unrealised % of



GBP 69,229,282 USD 106,106,890 15/07/2015 (190,732) (0.06)



Unrealised % of



EUR 41,029,525 GBP 29,452,835 15/06/2015 61,455 0.02



Unrealised % of


Holdings Security Description GBP GBP Equity

Purchased Options

USD



(cost GBP 13 ,860) 11,549 0.00





Interest Rate Swaps



















356



As at 31 May 2015


































Interest Rate Swaps



















179,980,000 Fixed 3.440% Floating (KRW 3 month KSDA) KRW 09/08/2023 (11,229) (0.00)





2,160,000 Fixed 3.880% Floating (MYR 3 month KLIBOR) MYR 14/11/2018 (725) (0.00)



550,000 Fixed 4.485% Floating (MYR 3 month KLIBOR) MYR 14/08/2023 (1,547) (0.00)



770,000 Fixed 4.330% Floating (MYR 3 month KLIBOR) MYR 26/09/2023 (592) (0.00)









357



As at 31 May 2015






Interest Rate Swaps







Interest Rate Swaps







UNREALISED LOSS ON INTEREST RATE SWAPS HELD FOR HEDGING PURPOSES (291,106) (0.09)

TOTAL UNREALISED LOSS ON SWAPS HELD FOR HEDGING PURPOSES (291,106) (0.09)


(cost GBP 304 ,857 ,537) 325,786,423 96.58



% of









Market value of purchased options (cost GBP 13,860) 11,549 0.00




Unrealised loss on swaps held for hedging purposes (291,106) (0.09)





The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., Citibank NA London, Goldman Sachs International, HSBC Bank Plc., Merrill Lynch

International, Morgan Stanley and Co. International and State Street Bank London.

The counterparties for swap contracts were Bank of America NA, Barclays Capital, Citibank NA, Credit Suisse Debt Capital Markets, Deutsche Bank AG Frankfurt, HSBC Bank Plc.,

JP Morgan Chase Bank NA and Morgan Stanley and Co. International.








358



As at 31 May 2015

Goldman Sachs Funds—US Fixed Income Portfolio

% of



Maturity Date(b)

USD Equity



Belgium

200,000 KBC Bank NV(c) USD 8.000% 25/01/2023 222,376 0.28

Bermuda


Canada

100,000 Canadian Natural Resources Ltd. USD 3.450% 15/11/2021 102,690 0.13

Cayman Islands


Japan

325,000 Resona Bank Ltd. 144A(c)(d) USD 5.850% 29/09/2049 337,188 0.42

Luxembourg






707,278 0.89

Netherlands

200,000 ING Bank NV(c) USD 4.125% 21/11/2023 207,980 0.26

Spain

125,000 Telefonica Emisiones SAU USD 5.462% 16/02/2021 141,462 0.18

Sweden

500,000 Stadshypotek AB 144A(d) USD 1.875% 02/10/2019 501,013 0.63

Switzerland

225,000 Credit Suisse AG 144A(d) USD 6.500% 08/08/2023 255,690 0.32

United Kingdom

225,000 Barclays Bank Plc. USD 2.500% 20/02/2019 229,517 0.29

125,000 Lloyds Bank Plc. USD 2.300% 27/11/2018 126,808 0.16

1,000,000 NRAM Plc. 144A(d) USD 5.625% 22/06/2017 1,088,595 1.37

100,000 Royal Bank of Scotland Plc.(c) USD 9.500% 16/03/2022 112,500 0.14

1,557,420 1.96

United States

250,000 AbbVie, Inc. USD 2.500% 14/05/2020 250,262 0.31

75,000 AbbVie, Inc. USD 3.200% 06/11/2022 75,290 0.09

75,000 Alexandria Real Estate Equities, Inc. USD 2.750% 15/01/2020 74,911 0.09

175,000 American Campus Communities Operating Partnership LP USD 4.125% 01/07/2024 179,827 0.23

100,000 American Express Co. USD 3.625% 05/12/2024 100,238 0.13

50,000 American International Group, Inc. USD 4.500% 16/07/2044 50,151 0.06



25,000 Apache Corp. USD 3.250% 15/04/2022 25,133 0.03

175,000 Apache Corp. USD 4.250% 15/01/2044 160,581 0.20

175,000 AT&T, Inc. USD 2.950% 15/05/2016 178,337 0.22

225,000 AT&T, Inc. USD 3.400% 15/05/2025 218,134 0.27



300,000 Camden Property Trust USD 5.700% 15/05/2017 324,462 0.41


150,000 Compass Bank USD 5.500% 01/04/2020 163,813 0.21

150,000 ConAgra Foods, Inc. USD 3.200% 25/01/2023 145,281 0.18

125,000 ConocoPhillips Co. USD 3.350% 15/11/2024 126,385 0.16

75,000 ConocoPhillips Co. USD 4.150% 15/11/2034 75,479 0.10

80,000 Continental Resources, Inc. USD 4.500% 15/04/2023 78,805 0.10



355,000 DDR Corp. USD 7.500% 01/04/2017 391,774 0.49



359



As at 31 May 2015


% of



Maturity Date(b)

USD Equity




150,000 Discover Financial Services USD 3.750% 04/03/2025 147,045 0.19


50,000 Ecolab, Inc. USD 5.500% 08/12/2041 57,602 0.07



150,000 EnLink Midstream Partners LP USD 4.150% 01/06/2025 150,173 0.19

168,000 Florida Power & Light Co. USD 4.125% 01/02/2042 173,009 0.22





249,000 General Motors Financial Co., Inc. USD 3.500% 10/07/2019 254,184 0.32

75,000 Genworth Holdings, Inc. USD 8.625% 15/12/2016 80,389 0.10

225,000 HCP, Inc. USD 6.000% 30/01/2017 242,101 0.30

78,000 Health Care REIT, Inc. USD 4.125% 01/04/2019 83,220 0.10

200,000 Healthcare Trust of America Holdings LP USD 3.700% 15/04/2023 198,574 0.25



250,000 International Lease Finance Corp. USD 5.750% 15/05/2016 258,750 0.33


125,000 Kilroy Realty LP USD 5.000% 03/11/2015 127,028 0.16

175,000 Kilroy Realty LP USD 6.625% 01/06/2020 204,792 0.26


150,000 MDC Holdings, Inc. USD 5.625% 01/02/2020 160,331 0.20


150,000 Monsanto Co. USD 4.400% 15/07/2044 142,869 0.18



150,000 Oracle Corp. USD 2.500% 15/05/2022 147,985 0.19

300,000 Regions Financial Corp. USD 5.750% 15/06/2015 300,551 0.38

25,000 Select Income REIT USD 2.850% 01/02/2018 25,347 0.03



100,000 Senior Housing Properties Trust USD 3.250% 01/05/2019 101,393 0.13

150,000 Southern California Edison Co. USD 4.050% 15/03/2042 151,973 0.19

50,000 Sunoco Logistics Partners Operations LP USD 4.250% 01/04/2024 50,645 0.06

150,000 SunTrust Banks, Inc. USD 3.600% 15/04/2016 153,290 0.19


100,000 Sysco Corp. USD 2.350% 02/10/2019 101,553 0.13

75,000 Sysco Corp. USD 3.500% 02/10/2024 76,582 0.10

150,000 Sysco Corp. USD 4.500% 02/10/2044 152,156 0.19

175,000 TD Ameritrade Holding Corp. USD 2.950% 01/04/2022 176,656 0.22

25,000 Tennessee Gas Pipeline Co., LLC USD 8.375% 15/06/2032 31,085 0.04



100,000 Transatlantic Holdings, Inc. USD 5.750% 14/12/2015 102,326 0.13

100,000 Valero Energy Corp. USD 3.650% 15/03/2025 99,587 0.13

75,000 Ventas Realty LP USD 3.500% 01/02/2025 73,696 0.09



75,000 Western Gas Partners LP USD 3.950% 01/06/2025 74,584 0.09

25,000 Williams Cos, Inc. USD 4.550% 24/06/2024 25,467 0.03


175,000 Xylem, Inc. USD 3.550% 20/09/2016 180,147 0.23

12,510,736 15.72


(cost USD 16 ,329 ,092) 16,685,883 20.97

360



As at 31 May 2015


% of



Maturity Date(b)

USD Equity


Brazil



111,825 0.14

Colombia


Italy


Mexico




438,988 0.55

Norway

300,000 Kommunalbanken AS 144A(d) USD 1.000% 26/09/2017 300,347 0.38

United States










9,967,818 12.53


(cost USD 11 ,167 ,644) 11,569,007 14.54


Ireland


TOTAL MUTUAL FUNDS

(cost USD 7 ,557 ,259) 7,557,259 9.50


(cost USD 35 ,053 ,995) 35,812,149 45.01



Canada

25,000 Enbridge, Inc. USD 3.500% 10/06/2024 24,143 0.03


425,000 TransCanada PipeLines Ltd.(c) USD 6.350% 15/05/2067 406,406 0.51

836,776 1.05

France

225,000 BNP Paribas S.A. USD 2.375% 21/05/2020 225,036 0.28


396,766 0.50

Italy



404,281 0.51

Mexico


361



As at 31 May 2015


% of



Maturity Date(b)

USD Equity




United Kingdom

225,000 Santander UK Plc. 144A(d) USD 5.000% 07/11/2023 237,087 0.30

United States


175,000 Amazon.com, Inc. USD 3.300% 05/12/2021 180,496 0.23

175,000 American Express Co.(c) USD 6.800% 01/09/2066 182,875 0.23

125,000 Brixmor Operating Partnership LP USD 3.850% 01/02/2025 124,145 0.16

280,000 CBA Capital Trust II 144A(c)(d) USD 6.024% 29/03/2049 289,100 0.36

100,000 DENTSPLY International, Inc. USD 2.750% 15/08/2016 101,771 0.13




325,000 Enterprise Products Operating LLC—Series A(c) USD 8.375% 01/08/2066 343,687 0.43

75,000 Enterprise Products Operating LLC—Series B(c) USD 7.034% 15/01/2068 81,187 0.10

100,000 Fiserv, Inc. USD 2.700% 01/06/2020 100,152 0.12

100,000 GE Capital Trust I(c) USD 6.375% 15/11/2067 109,170 0.14



300,000 NCUA Guaranteed Notes—Series A4 USD 3.000% 12/06/2019 317,193 0.40

160,000 Northwestern Mutual Life Insurance Co. 144A(d) USD 6.063% 30/03/2040 199,906 0.25


75,000 Puget Sound Energy, Inc.—Series A(c) USD 6.974% 01/06/2067 71,344 0.09

200,000 QUALCOMM, Inc. USD 3.000% 20/05/2022 201,088 0.25

450,000 Rensselaer Polytechnic Institute USD 5.600% 01/09/2020 515,628 0.65




275,000 Wells Fargo & Co.—Series S(c) USD 5.900% 29/12/2049 284,193 0.36

4,937,159 6.20


(cost USD 6 ,626 ,493) 6,908,265 8.68


Jordan

600,000 Hashemite Kingdom of Jordan Government AID Bond USD 2.503% 30/10/2020 623,628 0.78

United States

400,000 Federal Home Loan Banks USD 3.000% 10/09/2021 424,180 0.53











5,590,391 7.03


(cost USD 6 ,162 ,849) 6,214,019 7.81


United States

6 Federal Home Loan Mortgage Corp. (FHLMC) USD 7.500% 01/09/2015 6 0.00


1,800,000 Federal Home Loan Mortgage Corp. (FHLMC)(c) USD 3.882% 25/11/2017 1,913,541 2.41







362



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

363



As at 31 May 2015




910 Federal National Mortgage Association (FNMA) USD 5.500% 01/06/2038 1,034 0.00





































































% of



Maturity Date(b)

USD Equity

364



As at 31 May 2015


































1,000,000 Government National Mortgage Association (GNMA) TBA(g) USD 3.000% 18/06/2045 1,022,813 1.29

18,168,132 22.84


(cost USD 17 ,490 ,803) 18,168,132 22.84


Italy


United Kingdom

50,948 Aire Valley Mortgages Plc. "1A" 144A(c)(d) USD 0.490% 20/09/2066 49,339 0.06



131,909 Granite Master Issuer Plc. ‘‘2A1’’(c) USD 0.324% 20/12/2054 131,227 0.17





335,587 Paragon Mortgages No 13 Plc. "A2B"(c) EUR 0.251% 15/01/2039 346,551 0.44



1,585,922 1.99

United States

555,529 Banc of America Commercial Mortgage Trust "A4"(c) USD 5.889% 10/07/2044 576,420 0.72

870,344 Citigroup Commercial Mortgage Trust "A1A"(c) USD 6.058% 10/12/2049 950,685 1.20

490,933 COMM Mortgage Trust "A1A"(c) USD 5.796% 10/12/2049 528,188 0.66

472,407 Credit Suisse Commercial Mortgage Trust "A1A" USD 5.361% 15/02/2040 495,630 0.62

15,878 Credit Suisse First Boston Mortgage Securities Corp. "1A2" USD 5.250% 25/07/2033 587 0.00

47,019 Credit Suisse First Boston Mortgage Securities Corp. "2A2"(c) USD 2.235% 25/03/2033 47,186 0.06

136,144 Credit Suisse First Boston Mortgage Securities Corp. "2X"(c)(h) USD 0.000% 25/07/2033 0 0.00

145,827 Credit Suisse First Boston Mortgage Securities Corp. "2X"(c)(h) USD 0.000% 25/08/2033 0 0.00



9,186 GreenPoint Home Equity Loan Trust "A"(c) USD 0.645% 25/07/2029 9,035 0.01

1,796,307 GS Mortgage Securities Trust "A4"(c) USD 5.795% 10/08/2045 1,927,801 2.42

227,284 HarborView Mortgage Loan Trust "2A1A"(c) USD 0.426% 19/01/2036 149,071 0.19

% of



Maturity Date(b)

USD Equity

365



As at 31 May 2015




85,399 Impac CMB Trust "1A"(c) USD 0.905% 25/10/2034 70,845 0.09

92,704 Impac CMB Trust "2A"(c) USD 0.825% 25/03/2035 75,449 0.10

812,928 LB Commercial Mortgage Trust "A1A"(c) USD 5.858% 15/07/2044 880,608 1.11

76,594 MASTR Adjustable Rate Mortgages Trust "3AX"(c) USD 0.123% 25/08/2033 473 0.00

13,258 MASTR Adjustable Rate Mortgages Trust "4AX"(c) USD 0.320% 25/07/2033 152 0.00

308,076 Mississippi Higher Education Assistance Corp."A1"(c) USD 0.865% 25/10/2035 309,093 0.39

467,042 Nelnet Student Loan Trust "A" 144A(c)(d) USD 0.785% 27/10/2036 467,006 0.59

18,129 Structured Adjustable Rate Mortgage Loan Trust "3A3"(c) USD 2.508% 25/02/2034 18,368 0.02

6,818,372 8.57


(cost USD 8 ,858 ,181) 8,499,840 10.68


United States

300,000 City of San Francisco CA Public Utilities

Commission Water Revenue "B" USD 6.000% 01/11/2040 370,155 0.47




747,074 0.94


(cost USD 654 ,679) 747,074 0.94


(cost USD 39 ,793 ,005) 40,537,330 50.95



Israel



981,132 1.23


(cost USD 978 ,506) 981,132 1.23


200,000 Inter-American Development Bank USD 1.000% 27/02/2018 198,321 0.25


(cost USD 198 ,919) 198,321 0.25


(cost USD 1 ,177 ,425) 1,179,453 1.48


Netherlands


TOTAL TIME DEPOSITS

(cost USD 4 ,571 ,927) 4,571,927 5.75


(cost USD 80 ,596 ,352) 82,100,859 103.19

% of



Maturity Date(b)

USD Equity

366



As at 31 May 2015






CAD


EUR





4,742,271 43,553 0.05

USD





8,469,336 21,895 0.03





EUR


USD

(2) US Treasury Bond Ultra Long Futures 21/09/2015 Short (318,438) (1,109) (0.00)



Unrealised % of



USD 103,514 JPY 12,337,414 09/06/2015 3,911 0.00

AUD 93,781 EUR 65,000 17/06/2015 243 0.00

CAD 1,552,315 USD 1,238,303 17/06/2015 4,843 0.01

EUR 131,000 AUD 187,680 17/06/2015 524 0.00

EUR 408,000 GBP 293,010 17/06/2015 754 0.00

EUR 354,550 SEK 3,273,362 17/06/2015 4,497 0.01

EUR 2,591,457 USD 2,821,832 17/06/2015 28,144 0.03

GBP 204,377 EUR 283,000 17/06/2015 1,215 0.00

SEK 267,306 NZD 42,000 17/06/2015 1,567 0.00

USD 1,394,530 AUD 1,817,145 17/06/2015 4,712 0.01

USD 1,821,142 JPY 220,073,530 17/06/2015 44,180 0.06

USD 1,065,634 NZD 1,440,551 17/06/2015 39,880 0.05

USD 70,035 SEK 580,000 26/06/2015 1,731 0.00

USD 700,710 GBP 455,518 15/07/2015 4,461 0.01


Unrealised % of



JPY 14,708,000 USD 123,602 09/06/2015 (4,860) (0.01)

EUR 36,621 USD 41,822 15/06/2015 (1,548) (0.00)

USD 1,229,386 EUR 1,124,779 15/06/2015 (7,566) (0.01)

AUD 1,636,000 USD 1,254,960 17/06/2015 (3,688) (0.00)

CAD 56,362 CHF 43,462 17/06/2015 (1,323) (0.00)

EUR 231,000 NOK 2,010,494 17/06/2015 (4,544) (0.01)

GBP 329,973 USD 504,720 17/06/2015 (266) (0.00)

JPY 219,252,221 USD 1,822,154 17/06/2015 (51,824) (0.06)

NOK 2,223,813 EUR 264,602 17/06/2015 (4,974) (0.01)

NZD 1,313,000 USD 974,832 17/06/2015 (39,902) (0.05)

SEK 3,046,908 EUR 331,697 17/06/2015 (6,028) (0.01)

USD 1,419,000 CAD 1,778,004 17/06/2015 (4,886) (0.01)

USD 3,299,209 EUR 3,016,929 17/06/2015 (18,683) (0.02)

USD 448,641 GBP 294,864 17/06/2015 (2,139) (0.00)

SEK 469,149 USD 56,587 26/06/2015 (1,338) (0.00)

GBP 155,000 USD 238,432 15/07/2015 (1,518) (0.00)


367



As at 31 May 2015






Interest Rate Swaps

90,000 Fixed 3.000% Floating (AUD 6 month BBSW) AUD 17/06/2025 732 0.00
























Interest Rate Swaps

100,000 Floating (CAD 3 month CDOR) Fixed 2.750% CAD 17/06/2025 (2,311) (0.00)





















(cost USD 80 ,596 ,352) 82,138,522 103.24



368



As at 31 May 2015


% of












Rates disclosed for Corporate Bonds, Government Bonds, Agencies and Non-Agencies Asset Backed Obligations, Municipal Bonds and Time Deposits are those that were in effect

at 31 May 2015.


The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A., Citibank NA London, Deutsche Bank AG, JP Morgan Chase

Bank NA London, Merrill Lynch International, Morgan Stanley and Co. International, Royal Bank of Canada, Royal Bank of Scotland Plc., State Street Bank & Trust and Westpac

Banking Corp.

The counterparties for swap contracts were Bank of America NA and Credit Suisse Debt Capital Markets.











(h) Valuation of this security is determined by the Valuer. See Note 4.

369



As at 31 May 2015

% of



Maturity Date(b)

USD Equity



United States



610,250 0.34


(cost USD 652 ,494) 610,250 0.34


Ireland


TOTAL MUTUAL FUNDS

(cost USD 15 ,147 ,691) 15,147,691 8.49


(cost USD 15 ,800 ,185) 15,757,941 8.83



United States




1,000,000 United States Treasury Note/Bond USD 1.375% 30/04/2020 994,062 0.56








11,496,693 6.44


(cost USD 11 ,559 ,305) 11,496,693 6.44


United States




























Goldman Sachs Funds—US Mortgage Backed Securities Portfolio

370



As at 31 May 2015

% of



Maturity Date(b)

USD Equity































































990 Federal Home Loan Mortgage Corp. (FHLMC) USD 5.000% 01/10/2017 1,038 0.00










371



As at 31 May 2015








































































% of



Maturity Date(b)

USD Equity


372



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

373



As at 31 May 2015

% of



Maturity Date(b)

USD Equity









































































374



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

375



As at 31 May 2015




























800,000 Federal Home Loan Mortgage Corp. (FHLMC)(e) USD 3.034% 25/10/2020 844,010 0.47














894,718 Federal Home Loan Mortgage Corp. (FHLMC) USD 5.500% 01/03/2033 1,010,735 0.57






























% of



Maturity Date(b)

USD Equity

376



As at 31 May 2015



































































961,833 Federal Home Loan Mortgage Corp. (FHLMC) USD 3.500% 01/04/2043 1,004,815 0.56





% of



Maturity Date(b)

USD Equity

377



As at 31 May 2015













































291,606 Federal National Mortgage Association (FNMA)(e) USD 2.369% 01/06/2033 311,335 0.18







148,242 Federal National Mortgage Association (FNMA)(e) USD 2.270% 01/12/2033 157,063 0.09




















% of



Maturity Date(b)

USD Equity

378



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

379



As at 31 May 2015





1,617,480 Federal National Mortgage Association (FNMA)(e) USD 4.820% 25/11/2040 322,238 0.18











919,075 Federal National Mortgage Association (FNMA) USD 7.000% 25/07/2042 1,081,254 0.61























































2,275,950 Federal National Mortgage Association (FNMA) USD 3.500% 25/01/2043 499,889 0.28


% of



Maturity Date(b)

USD Equity

380



As at 31 May 2015






































































5,000,000 Federal National Mortgage Association (FNMA) TBA(f) USD 2.500% 16/06/2030 5,103,906 2.86



% of



Maturity Date(b)

USD Equity

381



As at 31 May 2015




28,828 Government National Mortgage Association (GNMA)(e) USD 1.625% 20/06/2023 29,473 0.02





























767 Government National Mortgage Association (GNMA)(e) USD 1.625% 20/07/2026 789 0.00















335 Government National Mortgage Association (GNMA) USD 7.000% 15/06/2028 345 0.00
























% of



Maturity Date(b)

USD Equity


382



As at 31 May 2015







1,121,916 Government National Mortgage Association (GNMA) USD 5.500% 15/04/2033 1,288,325 0.72















































918 Government National Mortgage Association (GNMA) USD 6.500% 15/08/2036 1,067 0.00



















% of



Maturity Date(b)

USD Equity

383



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

384



As at 31 May 2015






























4,143,489 Government National Mortgage Association (GNMA)(e) USD 5.917% 16/07/2041 822,296 0.46






997,900 Government National Mortgage Association (GNMA) USD 3.500% 15/04/2045 1,046,737 0.59


14,000,000 Government National Mortgage Association (GNMA) TBA(f) USD 3.000% 18/06/2045 14,319,375 8.02



142,627,389 79.92


(cost USD 139 ,157 ,692) 142,627,389 79.92


Cayman Islands

900,000 Acis CLO Ltd. "4A" 144A(e)(g) USD 1.764% 01/05/2026 889,912 0.50

1,050,000 Anchorage Capital CLO 4 Ltd. "A1A" 144A(e)(g) USD 1.729% 28/07/2026 1,046,908 0.59

250,000 Anchorage Capital CLO 4 Ltd. "A2" 144A(e)(g) USD 2.439% 28/07/2026 249,921 0.14

750,000 Cutwater Ltd. "A2" 144A(e)(g) USD 1.900% 15/07/2027 747,000 0.42

750,000 Monroe Capital BSL CLO Ltd. "1A" 144A(e)(g) USD 0.010% 22/05/2027 741,750 0.42

2,050,000 Regatta IV Funding Ltd. "1A" 144A(e)(g) USD 1.787% 25/07/2026 2,040,879 1.14

900,000 Silvermore CLO Ltd. "A1" 144A(e)(g) USD 1.724% 15/05/2026 896,721 0.50

2,050,000 Trinitas CLO II Ltd. "2A" 144A(e)(g) USD 1.651% 15/07/2026 2,019,232 1.13

8,632,323 4.84

United States

4,629,000 Banc of America Commercial Mortgage Trust "A4" USD 5.414% 10/09/2047 4,757,369 2.67

875,554 Bear Stearns Commercial Mortgage Securities "A1A" USD 5.533% 11/09/2041 913,935 0.51

864,163 Brazos Higher Education Authority, Inc. "A2"(e) USD 1.062% 25/02/2030 871,960 0.49

4,400,000 Citigroup Commercial Mortgage Trust "A3B"(e) USD 5.711% 10/12/2049 4,414,619 2.47

300,000 COMM Mortgage Trust "A4" USD 3.147% 15/08/2045 312,171 0.18

6,351 Credit Suisse First Boston Mortgage Securities Corp. "1A2" USD 5.250% 25/07/2033 235 0.00

121,963 Credit Suisse First Boston Mortgage Securities Corp. "2X"(e)(h) USD 0.000% 25/07/2033 0 0.00

130,637 Credit Suisse First Boston Mortgage Securities Corp. "2X"(e)(h) USD 0.000% 25/08/2033 0 0.00

686 FNT Mortgage-Backed Pass-Through Certificate Trust "1A1" USD 6.750% 21/09/2031 684 0.00

700,000 Ford Credit Auto Owner Trust "A" 144A(g) USD 2.120% 15/07/2026 701,791 0.39

64,049 Impac CMB Trust "1A"(e) USD 0.905% 25/10/2034 53,134 0.03

485,743 KnowledgeWorks Foundation "A"(e) USD 1.232% 25/02/2042 489,112 0.27

76,594 MASTR Adjustable Rate Mortgages Trust "3AX"(e) USD 0.123% 25/08/2033 473 0.00

% of



Maturity Date(b)

USD Equity

385



As at 31 May 2015




15,468 MASTR Adjustable Rate Mortgages Trust "4AX"(e) USD 0.320% 25/07/2033 178 0.00

7,108 Securitized Asset Backed Receivables LLC "A2"(e) USD 0.885% 25/08/2034 6,944 0.00

113,752 Sequoia Mortgage Trust "1A2"(e) USD 1.015% 20/07/2033 111,489 0.06

1,851,612 Structured Asset Mortgage Investments Trust "A2"(e) USD 1.594% 25/02/2036 1,620,384 0.91

614,531 Student Loan Consolidation Center "A" 144A(e)(g) USD 1.405% 25/10/2027 624,585 0.35

29,354 US Education Loan Trust LLC "A2" 144A(e)(g) USD 0.413% 01/03/2025 29,337 0.02

380,528 Wells Fargo Mortgage Backed Securities Trust "3A2"(e) USD 2.677% 25/06/2035 387,444 0.22

15,295,844 8.57


(cost USD 24 ,726 ,305) 23,928,167 13.41


(cost USD 175 ,443 ,302) 178,052,249 99.77


United Kingdom


TOTAL TIME DEPOSITS

(cost USD 21 ,959 ,928) 21,959,928 12.30


(cost USD 213 ,203 ,415) 215,770,118 120.90

Covered Forward Mortgage Backed Securities – (1.13%)

(2,000,000) Federal National Mortgage Association (FNMA) TBA(f)(i) 3.000% (2,024,531) (1.13)


(cost USD (2 ,041 ,823) ) (2,024,531) (1.13)





USD

5 US Treasury Long Bond Futures 21/09/2015 Long 774,062 4,180 0.00



6,331,906 8,663 0.00





USD



(9,836,680) (26,562) (0.02)


% of



Maturity Date(b)

USD Equity

386



As at 31 May 2015



Unrealised % of



EUR 19,021,175 USD 20,780,715 15/06/2015 137,415 0.08

USD 34,277 EUR 30,650 15/06/2015 570 0.00


Unrealised % of



GBP 70,285 USD 108,144 15/07/2015 (715) (0.00)

UNREALISED LOSS ON FORWARD CURRENCY CONTRACTS HELD FOR HEDGING PURPOSES (715) (0.00)





Interest Rate Swaps





10,000,000 Floating (CMBX-NA-AAA.7 Index) Fixed 0.500% USD 17/01/2047 85,933 0.05

1,000,000 Floating (CMBX.NA-AAA.7 Index) Fixed 0.500% USD 17/01/2047 6,804 0.00


Total Return Swaps

820,115 Fixed 3.000% Floating (IOS.FN30.300.12 Index) USD 12/01/2043 6,485 0.01

UNREALISED GAIN ON TOTAL RETURN SWAPS 6,485 0.01





Interest Rate Swaps






(cost USD 211 ,161 ,592) 213,936,212 119.87



387



As at 31 May 2015


% of




Market value of covered forward mortgage backed securities (cost USD (2,041,823)) (2,024,531) (1.13)




Unrealised loss on forward currency contracts held for hedging purposes (715) (0.00)





Rates disclosed for Government Bonds, Agencies and Non-Agencies Asset Backed Obligations and Time Deposits are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Citibank NA London, JP Morgan Chase Bank NA London, Morgan Stanley and Co. International, Royal Bank of Scotland

Plc., UBS AG London and Westpac Banking Corp.

The counterparties for swap contracts were Credit Suisse Debt Capital Markets, Deutsche Bank AG Frankfurt and JP Morgan Chase Bank NA London.







(e) Variable and floating coupon rates are those quoted as of 31 May 2015.

(f) TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate (generally +/–2.5%) principal amount and no defined maturity date. The


(g) 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.

(h) Valuation of this security is determined by the Valuer. See Note 4.

(i) These represent TBA sales covered by long FNMA positions. These amounts are disclosed separately as Covered Forward Mortgage Backed Securities in the Statement of


388



As at 31 May 2015

Goldman Sachs Funds—CoCos & Capital Securities Portfolio



Australia

250,000 National Australia Bank Ltd.(c) GBP 7.125% 12/06/2023 436,981 0.31

Belgium

400,000 KBC Bank NV(c) USD 8.000% 25/01/2023 444,752 0.31

Cayman Islands

2,200,000 Mizuho Financial Group Cayman 3 Ltd. USD 4.600% 27/03/2024 2,336,635 1.64

550,000 Mizuho Financial Group Cayman 3 Ltd. 144A(d) USD 4.600% 27/03/2024 584,159 0.41

2,920,794 2.05

Denmark

404,000 Danske Bank A/S(c) GBP 5.375% 29/09/2021 657,065 0.46

550,000 Danske Bank A/S(c) EUR 5.875% 29/10/2049 621,643 0.44

1,278,708 0.90

France

100,000 AXA S.A.(c) GBP 5.453% 29/11/2049 164,423 0.11

400,000 AXA S.A.(c) GBP 5.625% 16/01/2054 670,334 0.47

450,000 Credit Agricole S.A.(c) GBP 7.500% 29/04/2049 698,348 0.49


1,575,000 Credit Agricole S.A. 144A(d) USD 4.375% 17/03/2025 1,566,023 1.10

750,000 Credit Agricole S.A. 144A(c)(d) USD 6.625% 29/09/2049 759,375 0.53

4,571,479 3.20

Germany

1,100,000 Deutsche Bank AG(c) GBP 7.125% 30/05/2049 1,664,454 1.17

100,000 RWE AG(c) USD 7.000% 12/10/2072 108,125 0.07

1,772,579 1.24

Ireland


Italy



574,258 0.40

Japan

250,000 Fukoku Mutual Life Insurance Co.(c) USD 6.500% 29/09/2049 288,512 0.20

750,000 Mitsui Sumitomo Insurance Co., Ltd.(c) USD 7.000% 15/03/2072 900,000 0.63

300,000 Nippon Life Insurance Co.(c) USD 5.000% 18/10/2042 321,375 0.23

1,000,000 Sompo Japan Insurance, Inc.(c) USD 5.325% 28/03/2073 1,087,500 0.76

700,000 Sumitomo Life Insurance Co.(c) USD 6.500% 20/09/2073 819,875 0.58

600,000 Sumitomo Mitsui Financial Group, Inc. 144A(d) USD 4.436% 02/04/2024 633,676 0.44

4,050,938 2.84

Jersey

350,000 Macquarie Capital Funding LP(c) GBP 6.177% 29/04/2049 549,848 0.39

Netherlands

750,000 ABN AMRO Bank NV(c) EUR 4.310% 29/03/2049 846,285 0.59


550,000 ING Groep NV(c) GBP 5.140% 29/03/2049 856,143 0.60

1,004,000 ING Groep NV(c) EUR 4.176% 29/06/2049 1,102,210 0.77

650,000 ING Groep NV(c) USD 6.000% 29/12/2049 654,875 0.46

900,000 Stichting AK Rabobank Certificaten EUR 6.500% 29/12/2049 1,123,190 0.79

4,819,726 3.38

Norway

4,200,000 DNB Bank ASA(c) USD 5.750% 29/12/2049 4,176,102 2.93

Spain

800,000 Banco Bilbao Vizcaya Argentaria S.A.(c) USD 9.000% 29/05/2049 870,791 0.61

3,400,000 Banco Santander S.A.(c) USD 6.375% 29/05/2049 3,417,000 2.40

900,000 Banco Santander S.A.(c) EUR 6.250% 31/12/2049 987,121 0.69

5,274,912 3.70

% of



Maturity Date(b)

USD Equity

389



As at 31 May 2015



Sweden

650,000 Nordea Bank AB(c) USD 5.250% 29/12/2049 638,463 0.45

600,000 Nordea Bank AB 144A(c)(d) USD 6.125% 29/12/2049 618,378 0.43

3,500,000 Svenska Handelsbanken AB(c) USD 5.250% 29/12/2049 3,465,000 2.43

2,000,000 Swedbank AB(c) USD 5.500% 29/12/2049 2,023,056 1.41

6,744,897 4.72

Switzerland

1,000,000 Credit Suisse Group AG(c) USD 6.250% 29/12/2049 987,500 0.69

950,000 Credit Suisse Group AG(c) USD 6.250% 29/12/2049 938,125 0.66


725,000 Credit Suisse Group AG 144A(c)(d) USD 7.500% 29/12/2049 775,750 0.54

600,000 UBS AG(c) USD 4.750% 22/05/2023 616,049 0.43

5,045,549 3.53

United Kingdom

150,000 Aviva Plc.(c) GBP 6.125% 29/09/2049 249,038 0.17

500,000 Aviva Plc.(c) GBP 5.902% 29/11/2049 816,925 0.57


600,000 Barclays Plc.(c) GBP 7.000% 15/06/2049 921,956 0.65

1,900,000 Barclays Plc.(c) USD 6.625% 29/06/2049 1,895,250 1.33

1,200,000 Direct Line Insurance Group Plc.(c) GBP 9.250% 27/04/2042 2,344,888 1.64

800,000 Legal & General Group Plc.(c) GBP 10.000% 23/07/2041 1,648,990 1.15



1,800,000 Lloyds Banking Group Plc.(c) GBP 7.000% 29/12/2049 2,834,672 1.99



650,000 RL Finance Bonds No. 2 Plc.(c) GBP 6.125% 30/11/2043 1,083,280 0.76

1,250,000 Royal Bank of Scotland Group Plc. USD 6.125% 15/12/2022 1,379,959 0.97

441,000 Royal Bank of Scotland Group Plc. USD 6.000% 19/12/2023 479,874 0.34


800,000 RSA Insurance Group Plc.(c) GBP 6.701% 29/05/2049 1,309,551 0.92

675,000 Scottish Widows Plc.(c) GBP 5.125% 29/09/2049 1,039,482 0.73


800,000 Standard Life Plc.(c) GBP 6.546% 29/11/2049 1,358,453 0.95

21,758,483 15.24

United States

200,000 Antero Resources Corp. USD 6.000% 01/12/2020 206,500 0.14



900,000 Berkshire Hathaway Finance Corp. USD 5.750% 15/01/2040 1,119,741 0.78

400,000 Chemours Co. EUR 6.125% 15/05/2023 453,564 0.32


300,000 Compass Bank USD 5.500% 01/04/2020 327,626 0.23

200,000 Hartford Financial Services Group, Inc. USD 4.300% 15/04/2043 197,555 0.14

600,000 HRG Group, Inc. USD 7.875% 15/07/2019 636,000 0.45


300,000 MGM Resorts International USD 6.625% 15/12/2021 323,625 0.23




400,000 National Capital Trust I(c) GBP 5.620% 29/09/2049 658,518 0.46

708,000 Reynolds Group Issuer, Inc. USD 9.875% 15/08/2019 754,020 0.53


500,000 Sprint Corp. USD 7.250% 15/09/2021 505,000 0.35

1,250,000 Sprint Corp. USD 7.875% 15/09/2023 1,278,125 0.89

400,000 Sprint Corp. USD 7.125% 15/06/2024 389,000 0.27


12,878,860 9.02


(cost USD 80 ,420 ,334) 77,946,997 54.61

% of



Maturity Date(b)

USD Equity

390



As at 31 May 2015



Netherlands

17,703 ING Groep NV USD 6.125% 451,090 0.32

7,944 ING Groep NV USD 6.375% 201,380 0.14

652,470 0.46

United States

37,000 Capital One Financial Corp.—Series B USD 6.000% 918,340 0.64

11,780 Citigroup Capital XIII(c) USD 7.875% 305,809 0.21

3,855 CoBank ACB—Series H(c) USD 6.200% 393,210 0.27

70,700 GMAC Capital Trust I—Series 2(c) USD 8.125% 1,835,372 1.29

18,096 HSBC USA, Inc. USD 2.858% 913,848 0.64

9,874 Merrill Lynch Capital Trust I—Series K(c) USD 6.450% 252,774 0.18

70,564 Morgan Stanley—Series E(c) USD 7.125% 1,996,961 1.40

103,512 Morgan Stanley—Series I(c) USD 6.375% 2,705,804 1.90

12,000 Public Storage—Series T USD 5.750% 304,080 0.21

9,626,198 6.74


(cost USD 10 ,179 ,544) 10,278,668 7.20


Ireland


TOTAL MUTUAL FUNDS

(cost USD 3 ,453 ,582) 3,453,582 2.42


(cost USD 94 ,053 ,461) 91,679,247 64.23



Australia

1,450,000 Australia & New Zealand Banking Group Ltd. USD 4.500% 19/03/2024 1,493,994 1.05

500,000 Macquarie Bank Ltd. USD 6.625% 07/04/2021 585,485 0.41

2,079,479 1.46

Canada


France

1,400,000 BPCE S.A. USD 5.150% 21/07/2024 1,471,011 1.03

650,000 BPCE S.A. 144A(d) USD 4.625% 11/07/2024 655,647 0.46

1,850,000 Societe Generale S.A. 144A(c)(d) USD 6.000% 27/10/2049 1,771,375 1.24

3,898,033 2.73

Ireland

250,000 Ardagh Packaging Finance Plc. 144A(d) USD 9.125% 15/10/2020 267,813 0.19

Italy



3,981,892 2.79

Japan

550,000 Nippon Life Insurance Co. 144A(c)(d) USD 5.100% 16/10/2044 589,875 0.41

Luxembourg

650,000 Aguila 3 S.A. 144A(d) USD 7.875% 31/01/2018 656,500 0.46

100,000 Beverage Packaging Holdings Luxembourg II S.A. 144A(d) USD 5.625% 15/12/2016 101,000 0.07





3,317,625 2.32

% of



Maturity Date(b)

USD Equity

391



As at 31 May 2015



Netherlands

500,000 ING Bank NV USD 5.800% 25/09/2023 564,404 0.40

United Kingdom

3,300,000 HSBC Holdings Plc.(c) USD 6.375% 29/03/2049 3,403,125 2.38

United States

600,000 American Express Co.(c) USD 6.800% 01/09/2066 627,000 0.44

1,625,000 American Express Co.—Series C(c) USD 4.900% 29/12/2049 1,598,334 1.12

2,275,000 Bank of America Corp.—Series AA(c) USD 6.100% 29/12/2049 2,311,969 1.62

1,475,000 Bank of America Corp.—Series V(c) USD 5.125% 29/12/2049 1,463,937 1.03

750,000 Bank of America Corp.—Series X(c) USD 6.250% 29/09/2049 767,812 0.54

300,000 BWAY Holdings Co. 144A(d) USD 9.125% 15/08/2021 311,250 0.22

1,000,000 CBA Capital Trust II(c) USD 6.024% 29/03/2049 1,032,500 0.72

500,000 CCO Holdings LLC / CCO Holdings Capital Corp. 144A(d) USD 5.125% 01/05/2023 505,000 0.35

300,000 Chubb Corp.(c) USD 6.375% 29/03/2067 318,750 0.22


2,250,000 Citigroup, Inc.—Series O(c) USD 5.875% 29/12/2049 2,275,312 1.59

1,250,000 Citigroup. Inc.(c) USD 5.900% 29/12/2049 1,260,937 0.88

550,000 Citigroup. Inc.(c) USD 6.300% 29/12/2049 555,500 0.39

400,000 HRG Group, Inc. 144A(d) USD 7.875% 15/07/2019 424,000 0.30

600,000 JPMorgan Chase & Co.—Series Q(c) USD 5.150% 29/12/2049 587,940 0.41

1,800,000 JPMorgan Chase & Co.—Series U(c) USD 6.125% 29/12/2049 1,858,590 1.30

1,425,000 JPMorgan Chase & Co.—Series X(c) USD 6.100% 29/10/2049 1,464,187 1.03

300,000 JPMorgan Chase & Co.—Series Z(c) USD 5.300% 29/12/2049 301,875 0.21

500,000 Microsoft Corp. USD 3.750% 12/02/2045 457,942 0.32

450,000 Morgan Stanley—Series J(c) USD 5.550% 29/12/2049 453,375 0.32




600,000 Speedy Cash Intermediate Holdings Corp. USD 10.750% 15/05/2018 591,000 0.41

1,300,000 Speedy Cash Intermediate Holdings Corp. 144A(d) USD 10.750% 15/05/2018 1,280,500 0.90

50,000 Sprint Communications, Inc. 144A(d) USD 9.000% 15/11/2018 57,375 0.04


250,000 Voya Financial, Inc.(c) USD 5.650% 15/05/2053 261,250 0.18

650,000 Wells Fargo & Co.—Series S(c) USD 5.900% 29/12/2049 671,730 0.47

1,325,000 Wells Fargo & Co.—Series U(c) USD 5.875% 29/12/2049 1,396,219 0.98

25,464,416 17.84


(cost USD 44 ,226 ,584) 44,326,662 31.05


(cost USD 44 ,226 ,584) 44,326,662 31.05


(cost USD 138 ,280 ,044) 136,005,909 95.28


Unrealised % of



USD 25,559,894 GBP 16,616,000 15/07/2015 162,722 0.11


Unrealised % of



USD 6,951,144 EUR 6,333,992 15/06/2015 (14,528) (0.01)



(cost USD 138 ,280 ,044) 136,154,103 95.38



% of



Maturity Date(b)

USD Equity

392



As at 31 May 2015


% of








Rates disclosed for Corporate Bonds and Preferred Stocks are those that were in effect at 31 May 2015.

The counterparties for forward currency contracts were Citibank NA London, JP Morgan Chase Bank NA London, Royal Bank of Canada and State Street Bank London.









393



As at 31 May 2015

Goldman Sachs Funds—Global Currency Plus Portfolio



Ireland


TOTAL MUTUAL FUNDS

(cost USD 1 ,623 ,319) 1,623,319 8.47


(cost USD 1 ,623 ,319) 1,623,319 8.47


France


Netherlands

1,802,610 ING Bank NV USD Time Deposit USD 0.130% 01/06/2015 1,802,610 9.41

2,656,445 Northern Trust Company USD Time Deposit USD 0.050% 01/06/2015 2,656,445 13.86


7,115,566 37.14

United Kingdom


2,667,280 Royal Bank of Scotland Plc. USD Time Deposit USD 0.080% 01/06/2015 2,667,280 13.92

5,323,857 27.78

United States


TOTAL TIME DEPOSITS

(cost USD 16 ,803 ,638) 16,803,638 87.69


(cost USD 18 ,426 ,957) 18,426,957 96.16


Unrealised % of



USD 1,237,274 BRL 3,758,566 02/06/2015 51,625 0.27

USD 152,000 INR 9,690,000 05/06/2015 255 0.00

USD 152,000 MYR 542,640 05/06/2015 4,060 0.02

USD 153,000 MYR 553,647 08/06/2015 2,140 0.01

INR 22,753,584 USD 355,332 11/06/2015 933 0.01

USD 250,494 KRW 270,656,458 11/06/2015 7,321 0.04

USD 304,000 TWD 9,347,574 11/06/2015 372 0.00

USD 485,899 MYR 1,739,236 12/06/2015 12,111 0.06

USD 152,000 CLP 91,668,160 15/06/2015 2,978 0.02

USD 308,877 KRW 339,161,900 15/06/2015 4,192 0.02

USD 306,690 TWD 9,425,704 15/06/2015 451 0.00

USD 91,200 COP 217,158,144 16/06/2015 5,416 0.03

AUD 312,374 CAD 296,954 17/06/2015 1,104 0.01

AUD 270,153 NOK 1,597,775 17/06/2015 1,119 0.01

AUD 368,515 NZD 372,170 17/06/2015 16,847 0.09

CAD 124,130 AUD 128,554 17/06/2015 1,085 0.01

CAD 99,207 GBP 51,882 17/06/2015 133 0.00

CAD 94,861 NZD 105,971 17/06/2015 511 0.00

CNH 7,586,708 USD 1,220,000 17/06/2015 1,958 0.01

EUR 286,000 AUD 409,555 17/06/2015 1,288 0.01

EUR 251,800 CAD 331,027 17/06/2015 11,822 0.06

EUR 355,543 JPY 45,408,913 17/06/2015 24,362 0.13

EUR 127,949 NZD 188,862 17/06/2015 6,233 0.03

EUR 698,000 PLN 2,834,346 17/06/2015 12,131 0.06

EUR 919,122 SEK 8,467,876 17/06/2015 13,764 0.07

EUR 8,745,854 USD 9,495,832 17/06/2015 122,493 0.64

GBP 113,188 AUD 216,943 17/06/2015 7,112 0.04

GBP 999,544 EUR 1,375,943 17/06/2015 14,874 0.08

GBP 90,123 NZD 180,529 17/06/2015 9,231 0.05

MXN 61,403,083 USD 3,993,462 17/06/2015 9,612 0.05

% of



Maturity Date(b)

USD Equity

394



As at 31 May 2015


Unrealised % of



NOK 1,914,933 CAD 296,974 17/06/2015 8,470 0.04

NOK 612,052 GBP 50,740 17/06/2015 1,151 0.01

NOK 4,675,873 JPY 70,002,527 17/06/2015 36,178 0.19

NOK 8,637,204 USD 1,088,614 17/06/2015 22,295 0.12

SEK 594,687 AUD 88,657 17/06/2015 2,213 0.01

SEK 633,926 JPY 8,936,898 17/06/2015 2,481 0.01

SEK 3,234,535 NZD 499,609 17/06/2015 25,100 0.13

SGD 828,691 USD 613,000 17/06/2015 1,398 0.01

TRY 5,312,858 USD 1,985,499 17/06/2015 10,137 0.05

USD 3,942,131 AUD 5,111,808 17/06/2015 32,434 0.17

USD 6,180,640 JPY 746,390,604 17/06/2015 153,985 0.80

USD 1,365,546 MXN 20,905,842 17/06/2015 2,624 0.01

USD 908,927 NOK 6,866,186 17/06/2015 25,805 0.13

USD 3,523,765 NZD 4,749,174 17/06/2015 142,085 0.74

USD 1,286,027 SEK 10,625,983 17/06/2015 34,872 0.18

USD 152,000 CLP 91,199,301 19/06/2015 3,801 0.02

USD 112,211 MYR 407,470 19/06/2015 1,233 0.01

USD 57,958 COP 140,883,334 22/06/2015 2,341 0.01

USD 152,000 TWD 4,640,074 22/06/2015 1,182 0.01

USD 154,031 MYR 553,181 26/06/2015 3,398 0.02

USD 306,000 RUB 16,161,099 29/06/2015 1,474 0.01

INR 9,762,120 USD 151,703 30/06/2015 644 0.00

USD 314,081 KRW 347,351,900 30/06/2015 2,186 0.01

BRL 1,027,378 USD 319,747 02/07/2015 928 0.00


Unrealised % of



BRL 3,758,566 USD 1,217,673 02/06/2015 (32,024) (0.17)

INR 33,528,189 USD 528,067 05/06/2015 (3,018) (0.02)

INR 41,291,898 USD 647,614 08/06/2015 (893) (0.00)

USD 378,200 INR 24,195,950 08/06/2015 (762) (0.00)

KRW 127,786,331 USD 116,792 11/06/2015 (1,981) (0.01)

USD 334,000 INR 21,605,955 11/06/2015 (4,295) (0.02)

INR 9,782,820 USD 153,504 15/06/2015 (436) (0.00)

KRW 333,017,424 USD 304,991 15/06/2015 (5,826) (0.03)

USD 152,000 INR 9,781,200 15/06/2015 (1,043) (0.01)

AUD 386,731 EUR 269,990 17/06/2015 (1,137) (0.01)

AUD 168,473 SEK 1,107,011 17/06/2015 (1,491) (0.01)

AUD 5,611,409 USD 4,317,606 17/06/2015 (25,798) (0.13)

CAD 432,934 EUR 316,901 17/06/2015 (1,806) (0.01)

CAD 110,933 NOK 709,677 17/06/2015 (2,439) (0.01)

CAD 197,000 SEK 1,376,728 17/06/2015 (4,338) (0.02)

CAD 4,787,184 USD 3,841,429 17/06/2015 (7,691) (0.04)

EUR 1,470,912 GBP 1,062,115 17/06/2015 (6,088) (0.03)

EUR 553,000 NOK 4,812,274 17/06/2015 (10,784) (0.06)

GBP 216,681 NOK 2,590,981 17/06/2015 (1,993) (0.01)

GBP 58,561 SEK 761,200 17/06/2015 (101) (0.00)

GBP 927,042 USD 1,422,823 17/06/2015 (5,584) (0.03)

HUF 322,973,609 EUR 1,061,779 17/06/2015 (19,611) (0.10)

JPY 48,832,042 AUD 521,410 17/06/2015 (4,504) (0.02)

JPY 29,011,538 EUR 219,124 17/06/2015 (6,733) (0.04)

JPY 7,265,297 GBP 38,775 17/06/2015 (615) (0.00)

JPY 36,553,052 NOK 2,382,354 17/06/2015 (11,272) (0.06)

JPY 66,813,034 SEK 4,755,400 17/06/2015 (20,449) (0.11)

JPY 669,469,867 USD 5,561,201 17/06/2015 (155,634) (0.81)

NOK 4,735,800 EUR 562,624 17/06/2015 (9,636) (0.05)

NOK 643,288 SEK 713,072 17/06/2015 (1,222) (0.01)

NZD 394,315 AUD 377,466 17/06/2015 (7,925) (0.04)

NZD 305,732 CAD 286,921 17/06/2015 (12,077) (0.06)

NZD 466,794 EUR 321,083 17/06/2015 (20,730) (0.11)

NZD 289,663 GBP 145,732 17/06/2015 (16,534) (0.09)

NZD 96,980 JPY 8,766,298 17/06/2015 (1,728) (0.01)

NZD 930,528 NOK 5,556,258 17/06/2015 (52,052) (0.27)

NZD 213,324 SEK 1,373,585 17/06/2015 (9,833) (0.05)

NZD 4,153,413 USD 3,085,945 17/06/2015 (128,481) (0.67)

PLN 5,136,498 EUR 1,253,468 17/06/2015 (9,368) (0.05)

SEK 8,993,951 EUR 976,465 17/06/2015 (14,884) (0.08)

SEK 3,577,865 GBP 277,589 17/06/2015 (3,096) (0.02)

SEK 8,682,483 USD 1,025,850 17/06/2015 (3,532) (0.02)


395



As at 31 May 2015


Unrealised % of



USD 4,303,502 CAD 5,381,110 17/06/2015 (5,872) (0.03)

USD 2,410,987 CNH 15,150,540 17/06/2015 (29,244) (0.15)

USD 10,600,179 EUR 9,708,114 17/06/2015 (76,399) (0.40)

USD 1,891,230 GBP 1,243,646 17/06/2015 (10,025) (0.05)

USD 1,586,339 SGD 2,174,889 17/06/2015 (26,139) (0.14)

USD 1,988,486 TRY 5,309,212 17/06/2015 (5,780) (0.03)

USD 1,505,237 ZAR 18,527,224 17/06/2015 (18,346) (0.10)

ZAR 16,621,962 USD 1,385,163 17/06/2015 (18,259) (0.10)

CLP 191,937,750 USD 312,959 19/06/2015 (1,060) (0.01)

MYR 1,087,016 USD 304,000 19/06/2015 (7,943) (0.04)

COP 316,990,867 USD 126,011 22/06/2015 (872) (0.00)

MYR 549,150 USD 152,000 26/06/2015 (2,465) (0.01)

USD 153,000 CLP 94,538,700 30/06/2015 (451) (0.00)

USD 153,000 INR 9,825,660 01/07/2015 (313) (0.00)



Unrealised % of



EUR 16,012,911 USD 17,392,080 15/06/2015 217,776 1.14


Unrealised % of



USD 7,199 EUR 6,567 15/06/2015 (23) (0.00)

GBP 268,303 USD 412,610 15/07/2015 (2,515) (0.01)



(cost USD 18 ,426 ,957) 18,675,531 97.46



% of










Rates disclosed for Time Deposits are those that were in effect at 31 May 2015.


AG, HSBC Bank Plc., JP Morgan Chase Bank NA London, Morgan Stanley and Co. International Plc., Royal Bank of Canada, Royal Bank of Scotland Plc., Standard Chartered

Bank, State Street Bank & Trust Co., UBS AG London, Westpac Banking Corp.








396



As at 31 May 2015



Australia



600,000 Aurizon Network Pty Ltd. EUR 2.000% 18/09/2024 608,559 0.14








4,573,945 1.04

Belgium

600,000 KBC Bank NV(c) USD 8.000% 25/01/2023 606,728 0.14

200,000 KBC Groep NV(c) EUR 1.875% 11/03/2027 196,548 0.04

803,276 0.18

Bermuda




754,739 0.17

Cayman Islands


Denmark

1,650,000 TDC A/S EUR 1.750% 27/02/2027 1,603,231 0.37

France


1,900,000 BPCE S.A. EUR 0.750% 22/01/2020 1,905,415 0.44





100,000 Gecina S.A. EUR 4.250% 03/02/2016 102,793 0.02

300,000 Orange S.A. USD 5.500% 06/02/2044 305,747 0.07

700,000 TOTAL S.A.(c) EUR 2.625% 29/12/2049 699,125 0.16

1,000,000 TOTAL S.A.(c) EUR 2.250% 29/12/2049 1,010,630 0.23

7,345,085 1.68

Germany

550,000 Bayer AG(c) EUR 2.375% 02/04/2075 545,075 0.12

Hong Kong


620,000 CITIC Ltd. USD 6.800% 17/01/2023 664,523 0.15

1,252,179 0.29

Ireland

1,100,000 Bank of Ireland EUR 1.250% 09/04/2020 1,094,918 0.25

650,000 Bank of Ireland(c) EUR 4.250% 11/06/2024 668,375 0.15

150,000 ESB Finance Ltd. EUR 4.375% 21/11/2019 174,103 0.04



2,050,000 Ryanair Ltd. EUR 1.125% 10/03/2023 1,995,859 0.46

4,604,210 1.05

Italy




800,000 CDP Reti SpA EUR 1.875% 29/05/2022 809,928 0.18

250,000 Enel SpA(c) EUR 5.000% 15/01/2075 271,966 0.06

300,000 Enel SpA(c) GBP 7.750% 10/09/2075 470,132 0.11


% of



Maturity Date(b)

EUR Equity

Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged)

397



As at 31 May 2015




500,000 UniCredit SpA EUR 2.250% 16/12/2016 512,825 0.12

8,002,286 1.82

Japan

1,400,000 Bank of Tokyo-Mitsubishi UFJ Ltd. EUR 0.875% 11/03/2022 1,387,624 0.31

900,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 144A(d) USD 1.700% 05/03/2018 819,842 0.19

2,207,466 0.50

Jersey

1,000,000 Delphi Automotive Plc. EUR 1.500% 10/03/2025 967,140 0.22

Luxembourg









250,000 ArcelorMittal USD 4.500% 05/08/2015 228,645 0.05

190,000 Rosneft Finance S.A. USD 7.875% 13/03/2018 181,870 0.04

1,828,334 0.42

Mexico


Netherlands









1,300,000 Gas Natural Fenosa Finance BV EUR 1.375% 21/01/2025 1,277,477 0.29

150,000 General Motors Financial International BV EUR 1.875% 15/10/2019 153,058 0.03


400,000 ING Bank NV(c) EUR 0.399% 20/11/2019 401,884 0.09

1,750,000 ING Bank NV(c) USD 4.125% 21/11/2023 1,655,063 0.38

600,000 ING Bank NV(c) EUR 3.625% 25/02/2026 658,380 0.15


250,000 LyondellBasell Industries NV USD 5.000% 15/04/2019 249,464 0.06


7,550,221 1.72

Spain

200,000 Banco Bilbao Vizcaya Argentaria S.A.(c) EUR 7.000% 29/12/2049 204,500 0.05

Switzerland

1,250,000 Credit Suisse AG(c) EUR 0.477% 15/12/2017 1,256,575 0.29


150,000 UBS AG USD 5.875% 20/12/2017 150,803 0.03

100,000 UBS AG(c) EUR 4.750% 12/02/2026 109,675 0.03

1,689,861 0.39

United Kingdom

1,600,000 Abbey National Treasury Services Plc. EUR 3.625% 05/10/2017 1,733,888 0.39


1,450,000 BAT International Finance Plc. EUR 1.250% 13/03/2027 1,390,485 0.32


1,500,000 FCE Bank Plc. EUR 1.625% 09/09/2016 1,517,497 0.35





% of



Maturity Date(b)

EUR Equity


398



As at 31 May 2015





8,424,814 1.92

United States

450,000 AbbVie, Inc. USD 2.500% 14/05/2020 409,688 0.09

150,000 AbbVie, Inc. USD 3.200% 06/11/2022 136,948 0.03

300,000 AbbVie, Inc. USD 3.600% 14/05/2025 274,954 0.06


250,000 American Express Credit Corp. USD 2.800% 19/09/2016 232,980 0.05

200,000 American Tower Corp. USD 3.500% 31/01/2023 179,298 0.04



100,000 Apache Corp. USD 3.250% 15/04/2022 91,431 0.02

100,000 Apache Corp. USD 4.750% 15/04/2043 89,136 0.02

500,000 Apache Corp. USD 4.250% 15/01/2044 417,265 0.10

200,000 AT&T, Inc. USD 2.950% 15/05/2016 185,361 0.04

250,000 AT&T, Inc. USD 2.450% 30/06/2020 225,025 0.05

300,000 AT&T, Inc. USD 3.000% 30/06/2022 267,809 0.06

250,000 AT&T, Inc. USD 3.400% 15/05/2025 220,427 0.05

50,000 AT&T, Inc. USD 5.550% 15/08/2041 48,028 0.01

50,000 AT&T, Inc. USD 4.750% 15/05/2046 43,236 0.01















75,000 Crown Castle International Corp. USD 5.250% 15/01/2023 72,302 0.02

100,000 CVS Caremark Corp. USD 4.125% 15/05/2021 99,140 0.02
















550,000 General Motors Financial Co, Inc. USD 3.250% 15/05/2018 512,979 0.12




100,000 HCA Holdings, Inc. USD 7.750% 15/05/2021 97,767 0.02

400,000 HCP, Inc. USD 2.625% 01/02/2020 364,506 0.08

1,135,000 HCP, Inc. USD 5.375% 01/02/2021 1,155,704 0.26

150,000 HCP, Inc. USD 4.250% 15/11/2023 140,421 0.03



100,000 Humana, Inc. USD 3.850% 01/10/2024 93,724 0.02





550,000 Monsanto Co. USD 4.400% 15/07/2044 476,425 0.11

% of



Maturity Date(b)

EUR Equity


399



As at 31 May 2015











150,000 Mosaic Co. USD 4.250% 15/11/2023 143,910 0.03

900,000 Oracle Corp. USD 2.950% 15/05/2025 804,248 0.18

300,000 Prologis LP EUR 3.000% 18/01/2022 324,933 0.07

350,000 Prologis LP EUR 3.375% 20/02/2024 390,511 0.09




100,000 Sysco Corp. USD 2.350% 02/10/2019 92,359 0.02

100,000 Sysco Corp. USD 3.000% 02/10/2021 92,657 0.02

200,000 Sysco Corp. USD 3.500% 02/10/2024 185,728 0.04

150,000 Sysco Corp. USD 4.350% 02/10/2034 140,339 0.03

200,000 Sysco Corp. USD 4.500% 02/10/2044 184,507 0.04





1,400,000 Ventas Realty LP USD 3.500% 01/02/2025 1,251,113 0.29










40,167,546 9.16

Venezuela




180,949 0.04


(cost EUR 86 ,867 ,611) 93,124,184 21.23


Austria



4,600,436 1.05

Belgium




4,399,610 1.00

Brazil


Canada



6,940,822 1.58

% of



Maturity Date(b)

EUR Equity


400



As at 31 May 2015


Costa Rica



389,404 0.09

Croatia



292,733 0.07

Czech Republic


Denmark

8,500,000 Denmark Government Bond DKK 4.000% 15/11/2019 1,345,679 0.31

Dominican Republic


1,020,000 Dominican Republic International Bond USD 5.875% 18/04/2024 974,035 0.22


1,768,566 0.40

Finland

1,100,000 Finland Government Bond 144A(d) EUR 4.375% 04/07/2019 1,297,379 0.30

France



900,000 France Government Bond OAT EUR 4.500% 25/04/2041 1,481,940 0.34

17,655,058 4.03

Germany




2,500,000 KFW EUR 0.050% 30/11/2017 2,508,575 0.57

400,000 KFW AUD 6.000% 20/08/2020 322,354 0.08

2,000,000 KFW SEK 5.000% 01/12/2020 263,625 0.06

10,339,726 2.36

Honduras


Italy








15,678,023 3.57

Japan










58,374,383 13.31

Korea

700,000,000 Korea Treasury Bond—Series 2006 KRW 5.000% 10/06/2020 670,643 0.15


888,613 0.20

% of



Maturity Date(b)

EUR Equity


401



As at 31 May 2015


Mexico








2,053,684 0.47

Netherlands





7,559,319 1.72

South Africa

2,990,000 South Africa Government Bond—Series R186 ZAR 10.500% 21/12/2026 262,960 0.06

100,163 South Africa Government Bond—Series R186 ZAR 10.500% 21/12/2026 8,809 0.00



331,592 0.08

Spain

2,900,000 Spain Government Bond EUR 4.500% 31/01/2018 3,225,560 0.74





10,466,976 2.39

Turkey




505,661 0.11

United Kingdom







27,154,812 6.19

United States




3,517,652 0.80

Venezuela








706,289 0.16


(cost EUR 171 ,904 ,807) 178,015,691 40.59

% of



Maturity Date(b)

EUR Equity


402



As at 31 May 2015






1,200,000 European Financial Stability Facility—Series 5Y EUR 0.875% 16/04/2018 1,231,260 0.28

2,050,000 European Investment Bank SEK 5.000% 01/12/2020 270,619 0.06

570,000 Inter-American Development Bank USD 7.000% 15/06/2025 718,599 0.17

4,053,374 0.93


(cost EUR 3 ,694 ,125) 4,053,374 0.93


Ireland


TOTAL MUTUAL FUNDS

(cost EUR 18 ,345 ,407) 18,345,407 4.18


(cost EUR 280 ,811 ,950) 293,538,656 66.93



Australia


Canada



688,612 0.16

France






2,933,480 0.67

Italy





1,867,964 0.43

Japan

340,000 Nippon Life Insurance Co. 144A(c)(d) USD 5.100% 16/10/2044 331,636 0.07

Luxembourg


Mexico

390,000 Trust F/1401 USD 5.250% 15/12/2024 374,908 0.08

Qatar


United Kingdom



671,703 0.15

% of



Maturity Date(b)

EUR Equity


403



As at 31 May 2015


United States



1,000,000 Bank of America Corp.—Series X(c) USD 6.250% 29/09/2049 931,063 0.21



200,000 Comcast Corp. USD 6.400% 15/05/2038 230,694 0.05

100,000 Comcast Corp. USD 4.500% 15/01/2043 93,329 0.02






1,100,000 Kinder Morgan, Inc. 144A(d) USD 5.000% 15/02/2021 1,072,262 0.25














750,000 US Bank NA USD 2.800% 27/01/2025 669,868 0.15


150,000 Walgreen Co. USD 1.800% 15/09/2017 137,485 0.03








15,184,363 3.46

Venezuela



(cost EUR 19 ,561 ,748) 22,646,259 5.16


United States

400,000 Federal Home Loan Banks USD 5.625% 14/03/2036 477,748 0.11



7,275,145 1.66


(cost EUR 5 ,800 ,906) 7,275,145 1.66


United States













% of



Maturity Date(b)

EUR Equity


404



As at 31 May 2015




1,041 Federal Home Loan Mortgage Corp. (FHLMC) USD 5.000% 01/03/2017 992 0.00






































































% of



Maturity Date(b)

EUR Equity

405



As at 31 May 2015










































































% of



Maturity Date(b)

EUR Equity

406



As at 31 May 2015










































































% of



Maturity Date(b)

EUR Equity

407



As at 31 May 2015










































































% of



Maturity Date(b)

EUR Equity

408



As at 31 May 2015










































































% of



Maturity Date(b)

EUR Equity

409



As at 31 May 2015



































36,533,665 8.33


(cost EUR 31 ,104 ,475) 36,533,665 8.33


Cayman Islands



300,000 Acis CLO Ltd. "2AA" 144A(c)(d) USD 0.777% 14/10/2022 269,201 0.06








567,586 KKR Financial CLO Ltd. "1AA" 144A(c)(d) USD 0.624% 15/05/2021 512,699 0.12

855,856 Ocean Trails CLO I(c) USD 0.526% 12/10/2020 772,481 0.18



950,000 OFSI Fund V Ltd. "5A" 144A(c)(d) USD 0.000% 17/04/2025 848,986 0.19



581,639 Red River CLO Ltd. "1AA" 144A(c)(d) USD 0.548% 27/07/2018 526,814 0.12



3,800,000 Sound Point CLO VI Ltd. "2A" 144A(c)(d) USD 1.725% 20/10/2026 3,431,120 0.78

1,050,000 Trinitas CLO Ltd. "A1" 144A(c)(d) USD 1.805% 15/04/2026 954,319 0.22




32,376,671 7.38


% of



Maturity Date(b)

EUR Equity

410



As at 31 May 2015


Ireland

1,091,984 Credit Suisse European Mortgage Capital Ltd. "A"(c) EUR 2.790% 20/04/2020 1,070,145 0.25

Italy


United Kingdom





1,132,106 EMF-UK Plc. "A1A"(c) GBP 1.542% 13/03/2046 1,547,094 0.35



366,415 Granite Master Issuer Plc. 3A1(c) USD 0.363% 17/12/2054 331,848 0.08









13,989,483 3.19

United States



739,063 American Home Mortgage Assets Trust "A1"(c) USD 0.310% 25/03/2047 543,584 0.12




300,000 Bayview Opportunity Master Fund Trust "A1" 144A(c)(d) USD 3.623% 28/04/2030 272,911 0.06

95,986 Countrywide Home Equity Loan Trust "2A1A"(c) USD 0.302% 15/11/2036 75,875 0.02

242,232 Credit Suisse First Boston Mortgage Securities Corp. "9A9"(c) USD 0.835% 25/09/2035 177,846 0.04


316,196 Edsouth Indenture No 1 LLC "A1" 144A(c)(d) USD 1.127% 25/07/2023 289,474 0.07





1,400,000 GSAMP Trust "A2C"(c) USD 0.355% 25/01/2037 1,087,937 0.25


1,800,000 Home Equity Loan Trust(c) USD 0.415% 25/04/2037 991,274 0.23

828,439 HomeBanc Mortgage Trust "A1"(c) USD 0.445% 25/01/2036 637,956 0.15

1,402,697 Impac Secured Assets Trust "A2"(c) USD 0.345% 25/03/2037 1,003,427 0.23

917,016 JP Morgan Chase Commercial Mortgage Securities Trust "A1A"(c) USD 5.811% 12/06/2043 863,891 0.20

300,000 Morgan Stanley Bank of America Merrill Lynch Trust "A4" USD 3.102% 15/05/2046 280,605 0.06



1,186,660 Morgan Stanley Mortgage Loan Trust "2A1"(c) USD 2.904% 25/11/2037 908,593 0.21

906,987 RALI Trust "A3"(c) USD 0.781% 25/06/2037 532,454 0.12

900,000 RAMP Trust "A3"(c) USD 0.475% 25/08/2036 743,711 0.17

303,089 Structured Asset Mortgage Investments II Trust "1A1"(c) USD 1.035% 25/05/2047 206,201 0.05

1,058,522 Structured Asset Mortgage Investments II Trust "5A1"(c) USD 1.607% 25/03/2046 827,007 0.19

1,091,838 Structured Asset Mortgage Investments II Trust "A1"(c) USD 1.647% 25/08/2047 846,325 0.19


658,353 Wachovia Bank Commercial Mortgage Trust "A1A"(c) USD 5.608% 15/05/2046 635,134 0.14

15,578,183 3.55


(cost EUR 54 ,869 ,083) 63,405,511 14.46


% of



Maturity Date(b)

EUR Equity

411



As at 31 May 2015


Puerto Rico



















75,000 Puerto Rico Sales Tax Financing Corp.(d) USD 11.213% 01/08/2033 29,627 0.01
















4,258,093 0.97

United States








940,528 0.22


(cost EUR 4 ,611 ,796) 5,198,621 1.19


(cost EUR 115 ,948 ,008) 135,059,201 30.80


% of



Maturity Date(b)

EUR Equity

412



As at 31 May 2015



Cayman Islands


United States

970,000 HSBC Bank USA NA BRL 6.000% 15/08/2040 761,755 0.17


(cost EUR 1 ,520 ,256) 1,481,812 0.34


Canada








4,773,482 1.09


(cost EUR 4 ,433 ,809) 4,773,482 1.09


(cost EUR 5 ,954 ,065) 6,255,294 1.43

Commercial Papers – 0.62%

United Kingdom

3,000,000 Barclays Bank Plc. USD 0.000% 13/04/2016 2,728,389 0.62

TOTAL COMMERCIAL PAPERS

(cost EUR 2 ,827 ,920) 2,728,389 0.62


(cost EUR 405 ,541 ,943) 437,581,540 99.78





AUD

33 Australian Treasury Bonds 3YR Futures 15/06/2015 Long 2,570,694 1,071 0.00

CAD


EUR





88,615,580 602,300 0.14

USD




46,835,099 65,112 0.01



% of



Maturity Date(b)

EUR Equity

413



As at 31 May 2015





AUD


EUR



11,856,430 (237,080) (0.06)

GBP

(2) UK Long Gilt Bond Futures 28/09/2015 Short (327,496) (2,934) (0.00)

USD

(2) US Treasury Long Bond Futures 21/09/2015 Short (281,593) (611) (0.00)


(6,190,303) (5,684) (0.00)



Unrealised % of



USD 4,492,065 BRL 13,667,219 02/06/2015 164,347 0.04

USD 524,000 INR 33,405,000 05/06/2015 800 0.00

USD 528,000 MYR 1,884,960 05/06/2015 12,826 0.00

USD 533,000 MYR 1,928,719 08/06/2015 6,780 0.00

EUR 61,529,057 JPY 7,900,645,000 09/06/2015 3,524,371 0.80

INR 101,673,337 USD 1,586,267 11/06/2015 5,167 0.00

USD 1,038,005 KRW 1,121,553,685 11/06/2015 27,587 0.01

USD 1,111,000 TWD 34,161,695 11/06/2015 1,237 0.00

EUR 1,436,344 MXN 23,928,821 12/06/2015 17,224 0.00

EUR 360,653 ZAR 4,750,379 12/06/2015 5,121 0.00

USD 1,693,033 MYR 6,059,700 12/06/2015 38,465 0.01

EUR 179,979,608 USD 195,244,721 15/06/2015 2,440,611 0.56

USD 579,000 CLP 349,183,320 15/06/2015 10,314 0.00

USD 5,154,000 EUR 4,579,352 15/06/2015 107,258 0.03

USD 1,168,548 KRW 1,283,124,000 15/06/2015 14,422 0.00

USD 1,157,000 TWD 35,590,824 15/06/2015 602 0.00

USD 350,400 COP 834,344,448 16/06/2015 18,922 0.00

AUD 675,439 EUR 468,000 17/06/2015 1,740 0.00

CAD 13,128,960 USD 10,462,592 17/06/2015 46,941 0.01

CHF 133,439 CAD 173,046 17/06/2015 3,692 0.00

CNH 26,597,008 USD 4,277,000 17/06/2015 6,242 0.00

EUR 939,000 AUD 1,344,659 17/06/2015 3,845 0.00

EUR 3,403,000 GBP 2,442,262 17/06/2015 8,007 0.00

EUR 2,460,000 PLN 9,987,732 17/06/2015 39,241 0.01

EUR 2,914,935 SEK 26,853,912 17/06/2015 39,840 0.01

EUR 26,681,841 USD 28,982,412 17/06/2015 328,401 0.08

GBP 1,748,175 EUR 2,422,000 17/06/2015 8,141 0.00

MXN 218,462,452 USD 14,206,005 17/06/2015 33,005 0.01

SEK 4,635,764 NZD 727,543 17/06/2015 25,259 0.01

SGD 2,984,241 USD 2,211,000 17/06/2015 1,398 0.00

TRY 17,978,748 USD 6,719,146 17/06/2015 32,754 0.01

USD 10,991,913 AUD 14,331,769 17/06/2015 27,694 0.01

USD 16,935,876 JPY 2,046,947,476 17/06/2015 370,995 0.09

USD 4,208,556 MXN 64,363,239 17/06/2015 11,366 0.00

USD 9,070,581 NZD 12,271,282 17/06/2015 302,447 0.07

EUR 1,394,403 DKK 10,391,000 18/06/2015 1,071 0.00

USD 586,000 CLP 351,597,304 19/06/2015 13,325 0.00

USD 515,775 MYR 1,872,933 19/06/2015 5,153 0.00

USD 223,442 COP 543,142,327 22/06/2015 8,206 0.00

USD 575,000 TWD 17,552,910 22/06/2015 4,064 0.00

EUR 14,132,989 CAD 19,235,388 25/06/2015 129,084 0.03

EUR 628,634 SEK 5,812,000 26/06/2015 6,342 0.00

USD 521,880 MYR 1,874,265 26/06/2015 10,466 0.00

USD 1,131,000 RUB 59,732,935 29/06/2015 4,951 0.00

INR 36,120,241 USD 561,309 30/06/2015 2,167 0.00

USD 1,060,784 KRW 1,173,153,030 30/06/2015 6,711 0.00

BRL 4,075,259 USD 1,268,326 02/07/2015 3,347 0.00


414



As at 31 May 2015


Unrealised % of



USD 2,004,992 BRL 6,346,000 02/07/2015 22,018 0.01

EUR 405,660 AUD 569,000 13/07/2015 10,635 0.00

EUR 36,855,693 GBP 26,101,386 15/07/2015 593,349 0.14

USD 702,202 KRW 763,013,000 24/07/2015 16,041 0.00


Unrealised % of



BRL 13,667,219 USD 4,427,754 02/06/2015 (105,859) (0.02)

INR 141,363,242 USD 2,226,465 05/06/2015 (11,570) (0.00)

INR 70,029,350 USD 1,098,327 08/06/2015 (1,377) (0.00)

USD 1,321,840 INR 84,566,829 08/06/2015 (2,421) (0.00)

KRW 467,258,407 USD 427,055 11/06/2015 (6,587) (0.00)

USD 603,000 INR 39,030,677 11/06/2015 (7,386) (0.00)

INR 33,184,860 USD 520,710 15/06/2015 (1,345) (0.00)

KRW 1,201,065,087 USD 1,099,984 15/06/2015 (19,108) (0.00)

TWD 3,322,080 USD 109,322 15/06/2015 (1,263) (0.00)

USD 550,000 INR 35,392,500 15/06/2015 (3,431) (0.00)

AUD 12,765,000 USD 9,791,496 17/06/2015 (25,788) (0.01)

CAD 1,123,300 CHF 883,700 17/06/2015 (40,978) (0.01)

EUR 1,897,000 NOK 16,506,128 17/06/2015 (33,426) (0.01)

GBP 2,880,048 USD 4,406,491 17/06/2015 (3,222) (0.00)

HUF 1,235,591,124 EUR 4,057,406 17/06/2015 (63,610) (0.02)

JPY 1,989,064,570 USD 16,494,442 17/06/2015 (394,579) (0.09)

NOK 16,173,863 EUR 1,921,485 17/06/2015 (29,918) (0.01)

NZD 10,755,000 USD 7,970,147 17/06/2015 (283,588) (0.07)

PLN 18,162,875 EUR 4,432,603 17/06/2015 (30,408) (0.01)

SEK 26,502,720 EUR 2,884,218 17/06/2015 (46,722) (0.01)

USD 12,258,000 CAD 15,353,061 17/06/2015 (33,979) (0.01)

USD 8,555,709 CNH 53,905,443 17/06/2015 (115,121) (0.03)

USD 35,943,310 EUR 32,918,557 17/06/2015 (235,637) (0.05)

USD 3,787,055 GBP 2,481,632 17/06/2015 (6,186) (0.00)

USD 5,234,656 SGD 7,172,975 17/06/2015 (75,869) (0.02)

USD 6,898,859 TRY 18,405,976 17/06/2015 (15,304) (0.00)

USD 5,151,277 ZAR 63,347,067 17/06/2015 (52,791) (0.01)

ZAR 55,626,498 USD 4,636,271 17/06/2015 (56,227) (0.01)

CLP 653,415,363 USD 1,065,409 19/06/2015 (3,282) (0.00)

MYR 4,190,732 USD 1,172,000 19/06/2015 (27,844) (0.01)

COP 1,020,951,524 USD 406,947 22/06/2015 (3,550) (0.00)

CAD 3,476,725 EUR 2,542,121 25/06/2015 (10,966) (0.00)

MYR 2,070,152 USD 573,000 26/06/2015 (8,447) (0.00)

USD 565,000 CLP 349,113,500 30/06/2015 (1,515) (0.00)

USD 566,000 INR 36,348,520 01/07/2015 (1,052) (0.00)



Unrealised % of



EUR 453,827 JPY 60,989,104 09/06/2015 6,060 0.00


Unrealised % of



JPY 3,433,268,022 EUR 26,997,338 09/06/2015 (1,791,088) (0.41)

EUR 1,844,112 USD 2,071,099 15/06/2015 (39,170) (0.01)

USD 201,854,111 EUR 185,940,117 15/06/2015 (2,391,101) (0.54)

GBP 32,615,065 EUR 46,036,545 15/07/2015 (724,825) (0.17)



415



As at 31 May 2015



Unrealised % of


Holdings Security Description EUR EUR Equity

Purchased Options

USD



(cost EUR 27 ,906) 23,456 0.01





Interest Rate Swaps









































416



As at 31 May 2015






Interest Rate Swaps



1,300,000 Floating (CHF 6 month LIBOR) Fixed 0.250% CHF 17/06/2025 (14,375) (0.00)

















663,670,000 Fixed 3.450% Floating (KRW 3 month KWCDC) KRW 08/08/2023 (57,985) (0.01)

























(cost EUR 405 ,569 ,849) 439,646,987 100.25



417



As at 31 May 2015


% of










Market value of purchased options (cost EUR 27,906) 23,456 0.01





Rates disclosed for Corporate Bonds, Government Bonds, Supranationals, Agencies and Non-Agencies Asset Backed Obligations, Commercial Papers and Municipal Bonds are

those that were in effect at 31 May 2015.



AG, Goldman, Sachs International, HSBC Bank Plc., JP Morgan Chase Bank NA London, Morgan Stanley And Co. International, Royal Bank of Canada, Royal Bank of Scotland

Plc., Standard Chartered Bank, State Street Bank & Trust, UBS AG London and Westpac Banking Corp.

The counterparties for swap contracts were Bank of America NA, Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG Frankfurt, HSBC Bank Plc., JP

Morgan Chase Bank NA, Morgan Stanley And Co. International and Royal Bank of Scotland Plc.

The counterparties for options were Deutsche Bank AG Frankfurt,











418



As at 31 May 2015

Goldman Sachs Funds—Global Strategic Income Bond Portfolio



Germany

11,150,000 RWE AG(c) USD 7.000% 12/10/2072 12,055,937 0.16

Hong Kong

19,860,000 CITIC Ltd. USD 6.800% 17/01/2023 23,405,222 0.31

Ireland

4,450,000 Ardagh Packaging Finance Plc. EUR 9.250% 15/10/2020 5,243,972 0.07

Italy


Japan

7,200,000 SoftBank Corp. EUR 4.625% 15/04/2020 8,744,457 0.12

18,525,000 SoftBank Corp. 144A(d) USD 4.500% 15/04/2020 19,119,344 0.25

27,863,801 0.37

Luxembourg

6,250,000 Aguila 3 S.A. CHF 7.875% 31/01/2018 6,809,792 0.09

Mexico


Netherlands

10,400,000 ABN AMRO Bank NV(c) EUR 4.310% 29/03/2049 11,735,154 0.15

11,045,000 ABN AMRO Bank NV(c) GBP 5.000% 29/12/2049 17,274,636 0.23

5,006,000 Barclays SLCSM Funding BV(c) GBP 6.140% 29/06/2049 7,739,490 0.10

36,749,280 0.48

Switzerland


United Kingdom



100,000 Abbey National Treasury Services Plc.(c) GBP 2.270% 05/04/2017 157,165 0.00

4,350,000 Barclays Plc.(c) USD 6.625% 29/06/2049 4,339,125 0.06


4,580,000 Lloyds Bank Plc.(c) USD 9.875% 16/12/2021 5,131,478 0.07

300,000 NRAM Plc. 144A(d) USD 5.625% 22/06/2017 326,579 0.00



10,705,000 Royal Bank of Scotland Plc.(c) EUR 10.500% 16/03/2022 13,678,592 0.18


94,962,655 1.24

United States

2,250,000 AbbVie, Inc. USD 2.500% 14/05/2020 2,252,360 0.03

3,075,000 AbbVie, Inc. USD 3.600% 14/05/2025 3,098,837 0.04


10,575,000 Antero Resources Corp. USD 5.375% 01/11/2021 10,733,625 0.14

450,000 Beazer Homes USA, Inc. USD 9.125% 15/05/2019 469,125 0.01

20,800,000 Berry Plastics Corp. USD 9.750% 15/01/2021 22,984,000 0.30




21,000,000 General Electric Capital Corp. MXN 8.500% 06/04/2018 1,499,225 0.02

5,625,000 General Motors Co. USD 5.200% 01/04/2045 5,761,761 0.08

1,050,000 HCA, Inc. USD 6.500% 15/02/2016 1,088,063 0.01


5,800,000 MetLife, Inc. USD 3.000% 01/03/2025 5,705,657 0.07

6,750,000 MetLife, Inc. USD 4.050% 01/03/2045 6,423,212 0.08







% of



Maturity Date(b)

USD Equity

419



As at 31 May 2015






9,100,000 Rite Aid Corp. USD 9.250% 15/03/2020 9,998,625 0.13

9,374,000 Rite Aid Corp. USD 8.000% 15/08/2020 9,866,135 0.13

11,100,000 Sabine Pass LNG LP USD 7.500% 30/11/2016 11,863,125 0.16



8,175,000 Sprint Corp. USD 7.250% 15/09/2021 8,256,750 0.11

14,750,000 Sprint Corp. USD 7.875% 15/09/2023 15,081,875 0.20

2,750,000 Sprint Corp. USD 7.125% 15/06/2024 2,674,375 0.04

12,650,000 Sysco Corp. USD 4.500% 02/10/2044 12,831,844 0.17





406,848,269 5.33

Venezuela




8,439,962 0.11


(cost USD 654 ,331 ,898) 643,011,299 8.43


Brazil



59,989,740 0.79

Costa Rica





11,301,700 0.15

Croatia





13,684,588 0.18

Dominican Republic







47,377,659 0.62

Germany


48,200,000 FMS Wertmanagement AoeR(c) USD 0.501% 30/06/2015 48,214,557 0.63

142,193,435 1.86

Honduras

6,500,000 Republic of Honduras USD 8.750% 16/12/2020 7,410,000 0.10

% of



Maturity Date(b)

USD Equity

420



As at 31 May 2015



Indonesia



16,416,197 0.21

Italy



130,661,707 1.71

Mexico







2,767,198,800 Mexican Cetes MXN 3.149% 27/08/2015 17,926,727 0.24



1,892,265,100 Mexico Cetes MXN 0.000% 04/06/2015 12,343,026 0.16

11,735,375,500 Mexico Cetes MXN 0.000% 11/06/2015 76,504,071 1.00

9,166,118,100 Mexico Cetes MXN 0.010% 18/06/2015 59,719,532 0.78

2,561,139,900 Mexico Cetes MXN 0.000% 25/06/2015 16,676,599 0.22

5,280,475,300 Mexico Cetes MXN 0.010% 02/07/2015 34,362,942 0.45

956,239,600 Mexico Cetes MXN 0.000% 16/07/2015 6,215,160 0.08

3,166,017,000 Mexico Cetes MXN 0.000% 23/07/2015 20,565,395 0.27

843,830,100 Mexico Cetes MXN 0.010% 30/07/2015 5,477,936 0.07

9,458,879,200 Mexico Cetes MXN 0.000% 20/08/2015 61,291,722 0.80

5,333,280,100 Mexico Cetes MXN 0.000% 01/10/2015 34,430,519 0.45

6,103,230,300 Mexico Cetes—Series B MXN 0.000% 06/08/2015 39,596,737 0.52

453,110,809 5.94

Spain



28,066,475 0.37

United Kingdom


United States










275,170,138 3.61

Venezuela








17,532,900 0.23


(cost USD 1 ,239 ,838 ,837) 1,202,946,225 15.77

% of



Maturity Date(b)

USD Equity

421



As at 31 May 2015



97,000,000 European Financial Stability Facility EUR 2.000% 15/05/2017 110,960,996 1.45





111,600,000 European Stability Mechanism EUR 0.000% 17/10/2017 122,948,445 1.61

289,846,919 3.80


(cost USD 289 ,064 ,256) 289,846,919 3.80


United States

5,027,473 Halcon Resources Corp. (Oil & Gas) 5,178,297 0.07

TOTAL COMMON STOCKS

(cost USD 8 ,287 ,026) 5,178,297 0.07


Netherlands

107,339 ING Groep NV USD 6.200% 2,739,291 0.03

180,581 ING Groep NV USD 6.125% 4,601,385 0.06

118,529 ING Groep NV USD 6.375% 3,004,710 0.04

10,345,386 0.13

United States

189,317 Citigroup Capital XIII(c) USD 7.875% 4,914,669 0.06


421,305 Morgan Stanley—Series I(c) USD 6.375% 11,012,913 0.15

41,090,117 0.54


(cost USD 51 ,916 ,877) 51,435,503 0.67


Ireland


TOTAL MUTUAL FUNDS

(cost USD 577 ,117 ,780) 577,117,780 7.57


(cost USD 2 ,820 ,556 ,674) 2,769,536,023 36.31



Bermuda

15,150,000 Seadrill Ltd. 144A(d) USD 6.125% 15/09/2017 13,559,250 0.18

1,500,000 Seadrill Ltd. 144A(d) USD 6.625% 15/09/2020 1,200,000 0.01

14,759,250 0.19

Canada

4,600,000 Bank of Nova Scotia 144A(d) USD 1.650% 29/10/2015 4,624,968 0.06

8,800,000 Canadian Imperial Bank of Commerce 144A(d) USD 2.600% 02/07/2015 8,817,263 0.11

31,195,000 MEG Energy Corp. 144A(d) USD 6.375% 30/01/2023 29,635,250 0.39

43,077,481 0.56

Costa Rica


Ireland

47,046,000 Ardagh Packaging Finance Plc. 144A(d) USD 9.125% 15/10/2020 50,398,028 0.66

6,925,000 Ardagh Packaging Finance Plc.

Via Ardagh Holdings USA, Inc. 144A(d) USD 9.125% 15/10/2020 7,383,781 0.10

57,781,809 0.76

% of



Maturity Date(b)

USD Equity

422



As at 31 May 2015



Italy


Luxembourg

7,875,000 Aguila 3 S.A. 144A(d) USD 7.875% 31/01/2018 7,953,750 0.10

23,731,000 Beverage Packaging Holdings Luxembourg II S.A. 144A(d) USD 5.625% 15/12/2016 23,968,310 0.32

3,689,000 Bumble Bee Holdco SCA 144A(d) USD 9.625% 15/03/2018 3,831,949 0.05





120,354,240 1.58

Mexico

3,600,000 Trust F/1401 USD 5.250% 15/12/2024 3,805,200 0.05

United States




350,000 Alphabet Holding Co., Inc. USD 7.750% 01/11/2017 355,250 0.01

6,625,000 Amazon.com, Inc. USD 4.950% 05/12/2044 6,778,574 0.09

11,125,000 Antero Resources Corp. 144A(d) USD 5.625% 01/06/2023 11,458,750 0.15

11,475,000 Apple, Inc. USD 3.200% 13/05/2025 11,577,150 0.15

10,450,000 Axalta Coating Systems US Holdings, Inc.

Via Axalta Coating Systems Dutch Holding 144A(d) USD 7.375% 01/05/2021 11,338,250 0.15

19,050,000 Bank of America Corp.—Series AA(c) USD 6.100% 29/12/2049 19,359,562 0.25


9,925,000 Bank of America Corp.—Series X(c) USD 6.250% 29/09/2049 10,160,719 0.13

12,325,000 BI-LO LLC 144A(d) USD 8.625% 15/09/2018 11,754,969 0.16

11,109,000 Bumble Bee Holdings, Inc. 144A(d) USD 9.000% 15/12/2017 11,719,995 0.15


18,525,000 Citigroup, Inc.—Series O(c) USD 5.875% 29/12/2049 18,733,406 0.25

2,225,000 Citigroup. Inc.—Series M(c) USD 6.300% 29/12/2049 2,247,250 0.03

13,250,000 Comcast Corp. USD 4.650% 15/07/2042 13,822,387 0.18

12,725,000 Comstock Resources, Inc. 144A(d) USD 10.000% 15/03/2020 12,375,063 0.16

1,050,000 Crimson Merger Sub, Inc. 144A(d) USD 6.625% 15/05/2022 926,625 0.01

3,050,000 DISH DBS Corp. USD 7.125% 01/02/2016 3,156,750 0.04

3,800,000 Enterprise Products Operating LLC—Series A(c) USD 8.375% 01/08/2066 4,018,500 0.05

2,925,000 Enterprise Products Operating LLC—Series B(c) USD 7.034% 15/01/2068 3,166,313 0.04



25,435,000 First Data Corp. 144A(d) USD 7.375% 15/06/2019 26,515,987 0.35


450,000 General Motors Co. USD 3.500% 02/10/2018 463,748 0.01


5,275,000 General Motors Financial Co., Inc. USD 4.000% 15/01/2025 5,245,816 0.07

11,662,000 Getty Images, Inc. 144A(d) USD 7.000% 15/10/2020 6,705,650 0.09



6,450,000 HD Supply, Inc. USD 11.000% 15/04/2020 7,320,750 0.10

9,625,000 HD Supply, Inc. USD 11.500% 15/07/2020 11,309,375 0.15

4,150,000 HRG Group, Inc. 144A(d) USD 7.875% 15/07/2019 4,399,000 0.06

2,300,000 ING Capital Funding Trust III—Series 9(c) USD 3.875% 29/12/2049 2,297,125 0.03

17,600,000 JPMorgan Chase & Co.—Series Z(c) USD 5.300% 29/12/2049 17,710,000 0.23

11,875,000 Microsoft Corp. USD 3.750% 12/02/2045 10,876,111 0.14

22,000,000 Morgan Stanley—Series J(c) USD 5.550% 29/12/2049 22,165,000 0.29


19,800,000 PNC Preferred Funding Trust II 144A(c)(d) USD 1.493% 29/03/2049 18,315,000 0.24

15,375,000 QUALCOMM, Inc. USD 3.450% 20/05/2025 15,355,305 0.20


4,324,000 Sealed Air Corp. 144A(d) USD 8.375% 15/09/2021 4,891,525 0.06

3,100,000 Sprint Communications, Inc. 144A(d) USD 9.000% 15/11/2018 3,557,250 0.05

45,150,000 Univision Communications, Inc. 144A(d) USD 8.500% 15/05/2021 48,423,375 0.64

2,350,000 US Foods, Inc. USD 8.500% 30/06/2019 2,467,500 0.03

12,365,000 Verizon Communications, Inc. 144A(d) USD 4.672% 15/03/2055 11,117,198 0.15



500,728,719 6.57

% of



Maturity Date(b)

USD Equity

423



As at 31 May 2015



Venezuela



(cost USD 793 ,937 ,721) 778,575,967 10.21


United States

10,000,000 Federal Farm Credit Banks USD 0.250% 02/12/2015 10,004,800 0.13

250,000,000 Federal Home Loan Bank Discount Notes USD 0.070% 12/08/2015 249,972,500 3.28


17,000,000 Federal Home Loan Banks USD 0.300% 04/01/2016 17,005,576 0.22







1,537,753,663 20.16


(cost USD 1 ,534 ,146 ,718) 1,537,753,663 20.16


United States












6,358,775 Federal Home Loan Mortgage Corp. (FHLMC)(c) USD 5.864% 15/11/2038 815,367 0.01

































% of



Maturity Date(b)

USD Equity

424



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

425



As at 31 May 2015


































15,493,413 Federal National Mortgage Association (FNMA)(c) USD 0.586% 15/07/2039 15,583,088 0.20







































% of



Maturity Date(b)

USD Equity


426



As at 31 May 2015









8,918,069 Government National Mortgage Association (GNMA)(c) USD 5.917% 16/12/2039 1,407,024 0.02





2,560,189 Government National Mortgage Association (GNMA)(c) USD 5.606% 20/01/2040 425,001 0.01












17,499,397 Government National Mortgage Association (GNMA) USD 4.500% 16/12/2042 2,904,141 0.04





2,082,685 Government National Mortgage Association (GNMA) USD 4.500% 20/12/2043 438,470 0.01




449,444,279 5.89


(cost USD 434 ,299 ,251) 449,444,279 5.89


Cayman Islands






2,100,000 Acis CLO Ltd. "C" 144A(c)(d) USD 2.828% 01/05/2026 2,016,748 0.03


5,950,000 Anchorage Capital CLO Ltd. "A2" 144A(c)(d) USD 2.439% 28/07/2026 5,948,114 0.08



2,772,295 BlueMountain CLO Ltd. "A1B" 144A(c)(d) USD 0.521% 17/03/2021 2,750,256 0.04

4,562,733 Brentwood CLO Corp. "A1A" 144A(c)(d) USD 0.548% 01/02/2022 4,505,867 0.06

11,067,054 Brentwood CLO Corp. "A1B" 144A(c)(d) USD 0.548% 01/02/2022 10,897,539 0.14

11,540,454 Callidus Debt Partners Clo Fund VI Ltd. "A1D" 144A(c)(d) USD 0.537% 23/10/2021 11,351,872 0.15



4,000,000 Covenant Credit Partners CLO I Ltd. "1A" 144A(c)(d) USD 3.195% 20/07/2026 3,953,662 0.05



232,564 Crown Point CLO Ltd. "A1LA" 144A(c)(d) USD 1.026% 21/11/2022 229,352 0.00

8,250,000 Crown Point CLO Ltd. "B" 144A(c)(d) USD 3.317% 31/12/2027 8,048,370 0.11

13,750,000 Cutwater Ltd. "A1B" 144A(c)(d) USD 1.635% 15/07/2026 13,566,286 0.18

3,050,000 Cutwater Ltd. "A2"(c) USD 2.403% 15/07/2026 3,047,252 0.04

32,000,000 Cutwater Ltd. "A2" 144A(c)(d) USD 1.900% 15/07/2027 31,872,000 0.42

3,650,000 Cutwater Ltd. "B" 144A(c)(d) USD 3.125% 15/07/2026 3,592,662 0.05



2,369,346 Grayson CLO Ltd. "A1A" 144A(c)(d) USD 0.523% 01/11/2021 2,330,664 0.03




% of



Maturity Date(b)

USD Equity

427



As at 31 May 2015


Cayman Islands – (continued)





1,539,279 KKR Financial CLO Corp. "A1"(c) USD 0.542% 26/11/2017 1,537,787 0.02


27,000,000 Madison Park Funding X Ltd. "A1A" 144A(c)(d) USD 1.645% 20/01/2025 26,976,762 0.35

22,450,000 Magnetite Ltd. "A" 144A(c)(d) USD 1.755% 15/04/2026 22,465,697 0.29

4,650,000 Magnetite Ltd. "B" 144A(c)(d) USD 2.275% 15/04/2026 4,655,878 0.06

51,500,000 MidOcean Credit CLO III "3A" 144A(c)(d) USD 1.736% 21/07/2026 51,366,615 0.67

28,000,000 Monroe Capital BSL CLO Ltd. "1A" 144A(d) USD 0.010% 22/05/2027 27,692,000 0.36

1,900,000 Neuberger Berman CLO XVII Ltd. "17A" 144A(c)(d) USD 3.039% 04/08/2025 1,881,493 0.03

648,376 Ocean Trails CLO I(c) USD 0.526% 12/10/2020 643,471 0.01



750,000 OCP CLO Ltd."2X"(c) USD 1.524% 22/11/2023 745,162 0.01





1,654,479 OHA Park Avenue CLO I Ltd. "A1A" 144A(c)(d) USD 0.521% 14/03/2022 1,646,412 0.02

2,500,000 OZLM Funding III Ltd. "A1" 144A(c)(d) USD 1.606% 22/01/2025 2,497,710 0.03




3,000,000 Saratoga Investment Corp. CLO Ltd. "A1" 144A(c)(d) USD 1.575% 20/10/2023 2,990,848 0.04


6,500,000 Shackleton CLO Ltd. "B1" 144A(c)(d) USD 2.276% 07/05/2026 6,503,567 0.09





45,450,000 Sound Point CLO VIII Ltd. "A" 144A(c)(d) USD 1.792% 15/04/2027 45,500,449 0.60

8,000,000 Sound Point CLO VIII Ltd. "B" 144A(c)(d) USD 2.312% 15/04/2027 7,919,088 0.10

980,320 Symphony CLO V Ltd. "A1" 144A(c)(d) USD 1.025% 15/01/2024 972,931 0.01

1,250,000 Symphony CLO XI Ltd. "A" 144A(c)(d) USD 1.574% 17/01/2025 1,244,284 0.02

39,000,000 Trinitas CLO II Ltd. "2A" 144A(c)(d) USD 1.651% 15/07/2026 38,414,649 0.50




2,650,000 Trinitas CLO Ltd. "B1" 144A(c)(d) USD 2.175% 15/04/2026 2,610,685 0.03

37,016,571 Wasatch Ltd. "1A" 144A(c)(d) USD 0.515% 14/11/2022 36,014,866 0.47

998,752 Westchester CLO Ltd. "A1A"(c) USD 0.503% 01/08/2022 986,542 0.01


6,400,000 WhiteHorse Ltd. "B" 144A(c)(d) USD 2.328% 01/05/2026 6,335,533 0.08

25,000,000 York CLO 1 Ltd. 144A(c)(d) USD 1.826% 22/01/2027 24,992,275 0.33


949,910,964 12.46

Ireland


Luxembourg

1,564,728 Black Diamond Luxembourg S.A. "AD"(c) USD 0.529% 29/04/2019 1,533,007 0.02

2,682,392 Black Diamond Luxembourg S.A. "AD" 144A(c)(d) USD 0.529% 29/04/2019 2,628,011 0.03

4,161,018 0.05

United Kingdom



354,992 Aire Valley Mortgages Plc. "2A1"(c) GBP 0.926% 20/09/2066 529,001 0.01

6,440,662 Aire Valley Mortgages Plc. "2A1" 144A(c)(d) USD 0.510% 20/09/2066 6,242,049 0.08



1,302,997 Aire Valley Mortgages Plc. "2A2"(c) GBP 0.866% 20/09/2066 1,937,318 0.03

769,150 Aire Valley Mortgages Plc. "2A3"(c) USD 0.610% 20/09/2066 748,271 0.01


4,223,428 Eurosail PRIME-UK Plc. "A1"(c) GBP 0.962% 13/09/2045 6,151,448 0.08

29,313 Granite Master Issuer Plc. "3A2"(c) EUR 0.149% 20/12/2054 32,156 0.00


% of



Maturity Date(b)

USD Equity

428



As at 31 May 2015





1,685,947 Granite Master Issuer Plc. "A6"(c) GBP 0.727% 20/12/2054 2,568,773 0.03



1,256,775 Kenrick No 2 Plc. "A"(c) GBP 1.219% 18/04/2049 1,929,375 0.03




1,834,680 Leek Finance Number Seventeen Plc. "A2B" 144A(c)(d) USD 0.545% 21/12/2037 1,934,141 0.03


8,500,000 Residential Mortgage Securities 28 Plc. "A"(c) GBP 1.710% 15/06/2046 13,002,415 0.17

50,053 Silk Road Finance Number Three Plc. "A"(c) GBP 1.914% 21/06/2055 77,162 0.00

76,941,188 1.01

United States

4,410,291 ACE Securities Corp. Home Equity Loan Trust "A2C"(c) USD 0.345% 25/08/2036 3,681,671 0.05

2,502,240 ACE Securities Corp. Home Equity Loan Trust "A2C"(c) USD 0.445% 25/03/2037 1,513,313 0.02

3,000,000 ACE Securities Corp. Home Equity Loan Trust "A2D"(c) USD 0.455% 25/05/2036 2,171,756 0.03

2,036,254 Alternative Loan Trust "1A1"(c) USD 0.514% 20/11/2035 1,671,733 0.02

330,921 Alternative Loan Trust "1A1" USD 5.500% 25/11/2035 317,420 0.00







1,749,612 Alternative Loan Trust "2A1A"(c) USD 0.495% 25/08/2035 1,383,403 0.02

1,225,125 Alternative Loan Trust "4A3"(c) USD 0.685% 25/08/2037 944,834 0.01


1,015,525 Alternative Loan Trust "A1"(c) USD 1.792% 25/06/2035 910,587 0.01


4,328,887 Alternative Loan Trust "A1"(c) USD 0.465% 25/02/2037 3,487,935 0.05


5,300,863 Alternative Loan Trust "A1A"(c) USD 1.527% 25/11/2047 4,021,999 0.05

2,261,212 Alternative Loan Trust "A1D"(c) USD 0.391% 25/04/2047 1,746,637 0.02

1,090,750 Alternative Loan Trust "A22" USD 6.000% 25/08/2036 965,614 0.01


3,327,809 Alternative Loan Trust "A4"(c) USD 0.425% 25/06/2035 2,926,254 0.04

696,807 Alternative Loan Trust "A4" USD 5.750% 25/04/2047 623,621 0.01

708,009 Alternative Loan Trust "A7" USD 6.000% 25/08/2036 626,784 0.01



2,751,648 American Home Mortgage Assets Trust "A1A"(c) USD 0.375% 25/12/2046 1,948,862 0.03

78,364 American Home Mortgage Investment Trust "11A1"(c) USD 0.361% 25/12/2046 66,276 0.00

1,019,315 American Home Mortgage Investment Trust "11A1"(c) USD 0.415% 25/03/2047 639,290 0.01

2,631,954 American Home Mortgage Investment Trust "1A1"(c) USD 0.765% 25/11/2045 2,279,282 0.03

400,000 American Home Mortgage Investment Trust "2A4"(c) USD 2.033% 25/09/2035 257,754 0.00

1,030,000 Ameriquest Mortgage Securities, Inc.

Asset-Backed Pass-Through Certificates "M2"(c) USD 0.675% 25/10/2035 935,822 0.01

1,674,269 Banc of America Funding "2A1"(c) USD 5.878% 25/10/2036 1,403,035 0.02

4,396,832 Banc of America Funding Trust "6A1"(c) USD 0.374% 20/10/2036 3,339,280 0.04

3,291,725 Banc of America Funding Trust "6A1"(c) USD 0.374% 20/10/2046 2,492,359 0.03

1,900,000 Bayview Financial Mortgage Pass-Through Trust "M3"(c) USD 0.836% 28/02/2041 1,475,614 0.02

5,150,000 Bayview Opportunity Master Fund Trust "A1" 144A(c)(d) USD 3.623% 28/04/2030 5,151,365 0.07

1,186,157 BCAP LLC "12A1"(c) USD 0.395% 25/05/2047 860,156 0.01

4,170,165 BCAP LLC "2A1A"(c) USD 0.405% 25/05/2047 3,172,308 0.04

5,564,951 BCAP LLC "2A7" USD 6.000% 25/04/2037 4,883,714 0.06

2,816,905 Bear Stearns ALT-A Trust "11A1"(c) USD 0.665% 25/02/2036 2,333,583 0.03

2,096,402 Bear Stearns Asset Backed Securities I Trust "A2" USD 6.000% 25/03/2037 1,387,221 0.02

1,295,741 Bear Stearns Mortgage Funding Trust "1A1"(c) USD 0.345% 25/01/2037 1,010,145 0.01

1,225,864 Bella Vista Mortgage "1A1"(c) USD 0.785% 22/01/2045 1,148,482 0.02

316,830 Brazos Higher Education Authority, Inc. "A10"(c) USD 0.387% 26/12/2019 316,302 0.00

9,354,000 Carrington Mortgage Loan Trust "A4"(c) USD 0.425% 25/05/2036 7,683,747 0.10

5,000,000 Centex Home Equity Loan Trust "AV4"(c) USD 0.435% 25/06/2036 4,612,935 0.06

2,350,000 CGBAM Commercial Mortgage Trust "E" 144A(c)(d) USD 3.912% 10/04/2028 2,322,041 0.03

81,767 ChaseFlex Trust "1A2"(c) USD 0.645% 25/07/2037 49,341 0.00

1,282,569 Chevy Chase Funding LLC

Mortgage-Backed Certificates "A1" 144A(c)(d) USD 0.385% 25/10/2036 1,110,638 0.01


% of



Maturity Date(b)

USD Equity

429



As at 31 May 2015











948,677 CHL Mortgage Pass-Through Trust "1A1"(c) USD 0.485% 25/05/2035 831,961 0.01

911,235 CHL Mortgage Pass-Through Trust "1A1"(c) USD 0.385% 25/04/2046 777,087 0.01

1,149,028 CHL Mortgage Pass-Through Trust "2A2" USD 6.500% 25/09/2037 970,436 0.01

919,268 CHL Mortgage Pass-Through Trust "A22" USD 6.000% 25/07/2037 858,592 0.01



3,300,000 Citigroup Commercial Mortgage Trust "D" 144A(c)(d) USD 3.232% 15/09/2017 3,309,849 0.04

3,900,000 Citigroup Commercial Mortgage Trust "E" 144A(c)(d) USD 3.582% 15/09/2017 3,841,330 0.05


1,766,671 Citigroup Mortgage Loan Trust "1A1" 144A(d) USD 5.750% 25/04/2047 1,512,681 0.02

100,000 Citigroup Mortgage Loan Trust "A4"(c) USD 0.535% 25/03/2037 90,920 0.00

800,000 Citigroup Mortgage Loan Trust, Inc. "M3"(c) USD 0.585% 25/01/2036 673,011 0.01

1,988,047 CitiMortgage Alternative Loan Trust "1A1"(c) USD 6.000% 25/12/2036 1,836,734 0.02

698,843 CitiMortgage Alternative Loan Trust "1A13" USD 6.000% 25/07/2036 638,303 0.01

620,486 CitiMortgage Alternative Loan Trust "1A4" USD 6.000% 25/11/2036 529,996 0.01

1,367,181 CitiMortgage Alternative Loan Trust "1A5" USD 5.750% 25/04/2037 1,193,596 0.02

1,549,957 CitiMortgage Alternative Loan Trust "1A7" USD 5.750% 25/03/2037 1,341,055 0.02

3,200,000 COMM Mortgage Trust "F" 144A(d)(c) USD 3.680% 11/06/2027 3,197,382 0.04

8,000,000 COMM Mortgage Trust 144A(d) USD 3.807% 10/05/2048 7,593,717 0.10

170,474 Countrywide Asset-Backed Certificates "A2"(c) USD 0.345% 25/05/2036 170,600 0.00

721,574 Countrywide Home Loan Mortgage Pass-Through Trust "A19" USD 6.000% 25/09/2037 691,181 0.01

1,020,322 Credit Based Asset Servicing "A23"(c) USD 0.331% 25/07/2036 913,613 0.01

20,853,415 Credit Suisse Commercial Mortgage Trust "A1A" USD 5.361% 15/02/2040 21,878,507 0.29


14,263,239 Credit Suisse Commercial Mortgage Trust "A1A1"(c) USD 5.700% 15/06/2039 15,165,846 0.20

4,598,320 Credit-Based Asset Servicing and Securitization LLC "AF2" USD 4.162% 25/12/2035 4,637,646 0.06

5,400,000 Credit-Based Asset Servicing and Securitization LLC "AF3" USD 4.162% 25/12/2035 5,193,046 0.07

7,800,000 CSMC Trust "E" 144A(d) USD 4.373% 15/09/2037 7,438,326 0.10

3,904,504 Deutsche Alt-A Securities Mortgage Loan Trust "A1"(c) USD 0.385% 25/02/2047 3,239,220 0.04

655,423 Deutsche Alt-A Securities, Inc. Alternate Loan Trust "A1"(c) USD 0.907% 25/04/2047 570,837 0.01

2,367,724 Deutsche Alt-A Securities, Inc. Alternate Loan Trust "A1A"(c) USD 0.385% 25/08/2047 2,050,339 0.03

2,241,254 DSLA Mortgage Loan Trust "2A1A"(c) USD 0.516% 19/09/2045 1,663,878 0.02

5,193,607 DSLA Mortgage Loan Trust "2A1A"(c) USD 0.476% 19/10/2045 4,498,008 0.06

5,127,640 Fannie Mae Connecticut Avenue Securities(c) USD 1.385% 25/07/2024 5,124,792 0.07

1,573,965 Fannie Mae Connecticut Avenue Securities "2M1"(c) USD 1.685% 25/02/2025 1,577,669 0.02

4,598,000 First Frankin Mortgage Loan Trust "A4"(c) USD 0.435% 25/04/2036 3,786,364 0.05

578,070 First Franklin Mortgage Loan Trust "A4"(c) USD 0.325% 25/09/2036 529,474 0.01

1,500,000 First Franklin Mortgage Loan Trust "M6"(c) USD 1.910% 25/01/2035 1,367,411 0.02

582,114 First Horizon Mortgage Pass-Through Trust, Inc. "1A2"(c) USD 2.650% 25/08/2037 495,255 0.01

5,050,000 Freddie Mac Structured Agency Credit Risk Debt Notes "M3"(c) USD 3.985% 25/03/2025 5,101,366 0.07


5,700,000 FREMF Mortgage Trust "B" 144A(c)(d) USD 3.830% 25/11/2047 5,701,523 0.07

2,050,000 FREMF Mortgage Trust "C" 144A(c)(d) USD 4.072% 25/11/2047 2,042,215 0.03

370,247 GCO Education Loan Funding Trust "A8L"(c) USD 0.412% 25/05/2025 365,361 0.00


1,806,639 GMAC Mortgage Home Equity Loan Trust "2A1"(c) USD 6.739% 25/09/2037 1,856,649 0.02

6,250,000 GRACE Mortgage Trust "F" 144A(c)(d) USD 3.590% 10/06/2028 6,111,081 0.08

1,264,497 GreenPoint Mortgage Funding Trust "3A1"(c) USD 0.415% 25/04/2036 1,048,011 0.01


1,980,733 GSAA Home Equity Trust "A1"(c) USD 0.245% 25/11/2036 1,074,534 0.01

818,480 GSAA Home Equity Trust "A2A" USD 6.500% 25/11/2037 629,730 0.01

695,417 GSAA Trust "2A3"(c) USD 0.455% 25/03/2036 473,633 0.01

3,500,000 GSAMP Trust "A2C"(c) USD 0.355% 25/01/2037 2,990,603 0.04

2,411,249 HarborView Mortgage Loan Trust "1A1A"(c) USD 0.496% 19/07/2045 2,077,271 0.03

715,735 Harborview Mortgage Loan Trust "2A1A"(c) USD 3.108% 19/06/2036 501,857 0.01


2,565,100 Harborview Mortgage Loan Trust "A1A"(c) USD 0.356% 19/12/2036 1,922,053 0.03

4,000,000 HILT Mortgage Trust "E" 144A(c)(d) USD 3.436% 15/07/2029 3,999,607 0.05

2,625,000 Home Equity Loan Trust(c) USD 0.415% 25/04/2037 1,589,517 0.02

4,941,510 HomeBanc Mortgage Trust "3A2"(c) USD 2.299% 25/04/2037 3,149,539 0.04

3,797,012 HomeBanc Mortgage Trust "A1"(c) USD 0.445% 25/01/2036 3,215,048 0.04


% of



Maturity Date(b)

USD Equity

430



As at 31 May 2015



1,400,000 HSI Asset Securitization Corp. Trust "2A4"(c) USD 0.485% 25/12/2035 1,263,245 0.02

1,100,000 HSI Asset Securitization Corp. Trust "M2"(c) USD 0.575% 25/01/2036 924,047 0.01

6,050,389 Impac Secured Assets Trust "1A1B"(c) USD 0.385% 25/02/2037 4,760,801 0.06

21,125,834 Impac Secured Assets Trust "A2"(c) USD 0.345% 25/03/2037 16,616,928 0.22

4,706,123 IndyMac IMJA Mortgage Loan Trust "A1" USD 6.000% 25/08/2037 4,242,321 0.06

1,513,781 IndyMac INDA Mortgage Loan Trust "1A1"(c) USD 2.831% 25/03/2037 1,420,192 0.02

866,520 IndyMac Index Mortgage Loan Trust "1A1A"(c) USD 0.405% 25/04/2046 687,856 0.01

618,692 Indymac Index Mortgage Loan Trust "2A1"(c) USD 0.365% 25/07/2037 543,248 0.01

4,889,276 IndyMac Index Mortgage Loan Trust ‘‘A1’’(c) USD 0.425% 25/06/2037 4,330,330 0.06

2,870,000 Invitation Homes Trust "D" 144A(c)(d) USD 2.484% 17/06/2032 2,897,445 0.04

4,520,000 Invitation Homes Trust "E"(c) USD 3.328% 17/06/2032 4,571,647 0.06

398,912 JP Morgan Alternative Loan Trust "1A1"(c) USD 0.705% 25/01/2036 364,169 0.00

2,216,420 JP Morgan Alternative Loan Trust "1A1"(c) USD 0.345% 25/12/2036 1,803,077 0.02


1,900,000 JP Morgan Chase Commercial

Mortgage Securities Trust "D" 144A(c)(d) USD 2.782% 15/12/2028 1,907,112 0.02


Mortgage Securities Trust "E" 144A(c)(d) USD 3.682% 15/12/2028 3,458,736 0.05



900,000 JP Morgan Mortgage Acquisition Trust "AV5"(c) USD 0.445% 25/01/2037 714,464 0.01

183,585 JP Morgan Mortgage Trust ‘‘1A1’’(c) USD 2.533% 25/07/2035 185,527 0.00

183,805 JP Morgan Mortgage Trust ‘‘5A2’’(c) USD 2.556% 25/07/2035 187,240 0.00

4,015,234 Lehman XS Trust "1A1"(c) USD 0.485% 25/11/2035 3,485,645 0.05

2,086,689 Lehman XS Trust "1A1A"(c) USD 0.455% 25/12/2035 1,823,813 0.02

5,660,991 Lehman XS Trust "1A1A"(c) USD 0.375% 25/09/2046 4,719,916 0.06



977,811 Lehman XS Trust ‘‘1A1’’(c) USD 0.455% 25/02/2036 829,149 0.01

5,324,155 LSTAR Securities Investment Trust "A" 144A(c) USD 2.184% 01/03/2020 5,330,035 0.07

6,829,511 LSTAR Securities Investment Trust 144A(c)(d) USD 2.180% 01/12/2021 6,810,210 0.09

344,231 Luminent Mortgage Trust "1A1"(c) USD 0.345% 25/11/2036 282,330 0.00

1,083,917 Luminent Mortgage Trust "1A1"(c) USD 0.365% 25/12/2036 839,235 0.01

782,803 MASTR Adjustable Rate Mortgages Trust "1A1"(c) USD 0.947% 25/12/2046 545,517 0.01

306,684 MASTR Adjustable Rate Mortgages Trust "4A1A"(c) USD 0.997% 25/12/2046 239,069 0.00

1,485,849 MASTR Adjustable Rate Mortgages Trust "A1"(c) USD 0.495% 25/09/2037 1,331,790 0.02



5,995,000 Morgan Stanley Capital I Trust "F" 144A(c)(d) USD 3.560% 13/07/2029 5,853,017 0.08

8,469,147 Morgan Stanley Mortgage Loan Trust "1A"(c) USD 0.355% 25/11/2036 3,570,513 0.05

1,598,823 Morgan Stanley Mortgage Loan Trust "2A1"(c) USD 0.265% 25/09/2046 708,672 0.01

2,327,403 Morgan Stanley Mortgage Loan Trust "2A3"(c) USD 2.606% 25/06/2037 1,636,489 0.02

569,709 Nomura Resecuritization Trust "2A" 144A(c)(d) USD 8.806% 26/12/2036 413,705 0.01

2,126,083 RALI Series 2006-QA10 Trust "A2"(c) USD 0.365% 25/12/2036 1,641,047 0.02

1,251,946 RALI Trust "1A1"(c) USD 0.937% 25/09/2046 878,853 0.01

2,924,252 RALI Trust "1A4" USD 6.000% 25/01/2037 2,537,654 0.03

3,772,831 RALI Trust "2A8"(c) USD 0.481% 25/01/2037 2,452,787 0.03

87,631 RALI Trust "3A1"(c) USD 0.685% 25/08/2035 66,716 0.00

2,383,987 RALI Trust "3A1"(c) USD 0.455% 25/02/2046 1,518,601 0.02

2,144,638 RALI Trust "A1"(c) USD 0.370% 25/12/2036 1,641,233 0.02

8,748,765 RALI Trust "A1"(c) USD 1.390% 25/11/2037 5,650,986 0.07

1,076,424 RALI Trust "A1A"(c) USD 0.335% 25/06/2037 784,100 0.01

1,783,611 RALI Trust "A1A"(c) USD 0.375% 25/05/2047 1,472,759 0.02

561,505 RALI Trust "A9" USD 6.000% 25/04/2036 486,228 0.01

1,451,916 RALI Trust "CB3"(c) USD 3.526% 25/12/2035 1,200,770 0.02

2,964,599 Residential Asset Securitization Trust "2A1" USD 4.850% 25/10/2035 2,166,892 0.03

1,254,154 Residential Asset Securitization Trust "2A3" USD 6.000% 25/08/2036 797,577 0.01

1,572,868 Residential Asset Securitization Trust "A13" USD 6.250% 25/01/2037 1,190,574 0.02

752,207 RFMSI Trust "2A"(c) USD 3.015% 25/11/2035 672,144 0.01

1,454,739 Saxon Asset Securities Trust "A2C"(c) USD 0.665% 25/05/2047 1,050,428 0.01

1,092,417 Securitized Asset Backed Receivables LLC Trust "M1"(c) USD 1.160% 25/07/2034 987,272 0.01

3,199,031 Skopos Auto Receivables Trust 2015-1A 144A(d) USD 3.100% 15/12/2023 3,199,051 0.04

1,741,694 Structured Adjustable Rate Mortgage Loan Trust "1A1"(c) USD 1.335% 25/12/2037 1,160,836 0.02


1,014,999 Structured Adjustable Rate Mortgage Loan Trust "5A1"(c) USD 5.124% 25/05/2036 900,698 0.01

639,362 Structured Adjustable Rate Mortgage Loan Trust ‘‘1A1’’(c) USD 0.345% 25/12/2036 530,806 0.01

2,787,819 Structured Asset Mortgage Investments II Trust "1A1"(c) USD 0.395% 25/05/2046 2,062,970 0.03




% of



Maturity Date(b)

USD Equity

431



As at 31 May 2015




1,303,873 Structured Asset Mortgage Investments II Trust "A4A"(c) USD 0.365% 25/09/2047 1,120,025 0.01

4,915,176 Structured Asset Securities Co. 2007-EQ1 "A1"(c) USD 0.400% 25/03/2037 3,693,082 0.05

640,000 Tricon American Homes Trust "D" 144A(c)(d) USD 2.380% 17/05/2032 645,247 0.01

1,250,000 Tricon American Homes Trust "E" 144A(c)(d) USD 3.180% 17/05/2032 1,255,251 0.02

8,293,148 Vericrest Opportunity Loan Trust (Volt) "A1" 144A(d) USD 3.125% 27/04/2054 8,297,963 0.11

14,893,936 Wachovia Bank Commercial Mortgage Trust "A1A" USD 5.559% 15/10/2048 15,592,007 0.20

900,000 Wachovia Mortgage Loan Trust "M1"(c) USD 0.845% 25/10/2035 839,172 0.01

2,059,219 WaMu Mortgage Pass Through Certificates Trust "1A"(c) USD 0.887% 25/01/2047 1,692,933 0.02

1,399,467 WaMu Mortgage Pass-Through Certificates Trust "1A"(c) USD 1.027% 25/10/2046 1,149,782 0.02

201,370 WaMu Mortgage Pass-Through Certificates Trust "1A"(c) USD 0.956% 25/12/2046 163,655 0.00



3,868,523 WaMu Mortgage Pass-Through Certificates Trust "1A1"(c) USD 2.246% 25/09/2036 3,516,527 0.05

2,042,114 WaMu Mortgage Pass-Through Certificates Trust "1A1A"(c) USD 0.455% 25/07/2045 1,935,371 0.03

1,109,420 WaMu Mortgage Pass-Through Certificates Trust "2A"(c) USD 1.950% 25/07/2047 816,659 0.01

11,446 WaMu Mortgage Pass-Through Certificates Trust "2A1A"(c) USD 0.415% 25/04/2045 10,803 0.00

1,277,143 WaMu Mortgage Pass-Through Certificates Trust "2A1A"(c) USD 0.475% 25/07/2045 1,203,263 0.02

726,465 WaMu Mortgage Pass-Through Certificates Trust "2A21"(c) USD 0.515% 25/01/2045 691,730 0.01

683,826 WaMu Mortgage Pass-Through Certificates Trust "A1A"(c) USD 0.505% 25/07/2045 657,170 0.01

4,698,885 WaMu Mortgage Pass-Through Certificates Trust "A1A1"(c) USD 0.455% 25/12/2045 4,474,755 0.06

32,476 WaMu Mortgage Pass-Through Certificates Trust "A1A1"(c) USD 0.455% 25/12/2045 31,172 0.00

498,625 WaMu Mortgage Pass-Through Certificates Trust "A2A1"(c) USD 0.525% 25/01/2045 472,728 0.01

2,366,867 Washington Mutual Mortgage

Pass-Through Certificates Trust "1CB3"(c) USD 0.635% 25/05/2035 1,907,271 0.02

263,967 Washington Mutual Mortgage

Pass-Through Certificates Trust "2A"(c) USD 0.897% 25/02/2047 188,955 0.00


Pass-Through Certificates Trust "A1A"(c) USD 1.077% 25/04/2046 1,670,339 0.02


Pass-Through Certificates Trust "A1A"(c) USD 0.907% 25/04/2047 1,027,187 0.01


Pass-Through Certificates Trust ‘‘CB1’’(c) USD 0.635% 25/06/2035 35,216 0.00

1,180,269 Wells Fargo Alternative Loan Trust "2A1"(c) USD 0.611% 25/06/2037 895,169 0.01

636,216 Wells Fargo Alternative Loan Trust "A1"(c) USD 2.572% 28/12/2037 544,572 0.01

3,325,000 Wells Fargo Home Equity Asset-Backed Securities(c) USD 0.815% 25/11/2035 2,968,859 0.04

200,000 WFRBS Commercial Mortgage Trust "B" USD 4.697% 15/04/2045 219,855 0.00

506,939,974 6.65


(cost USD 1 ,547 ,676 ,801) 1,558,491,514 20.44


Puerto Rico














1,430,000 Commonwealth of Puerto Rico "B" USD 5.750% 01/07/2038 1,040,339 0.01







1,030,000 Puerto Rico Commonwealth Aqueduct & Sewer Authority "A" USD 6.000% 01/07/2038 768,658 0.01




% of



Maturity Date(b)

USD Equity

432



As at 31 May 2015



1,775,000 Puerto Rico Sales Tax Financing Corp.(d)(h) USD 11.213%/6.250% 01/08/2033 770,971 0.01




8,385,000 Puerto Rico Sales Tax Financing Corp. "A"(h) USD 11.013%/6.750% 01/08/2032 5,055,149 0.07












150,490,581 1.97

United States






24,020,704 0.32


(cost USD 191 ,909 ,598) 174,511,285 2.29


(cost USD 4 ,501 ,970 ,089) 4,498,776,708 58.99



United States

230,000 HSBC Bank USA NA BRL 6.000% 15/08/2040 198,603 0.00


(cost USD 287 ,690) 198,603 0.00


(cost USD 287 ,690) 198,603 0.00


Canada

7,265,815 MEG Energy Corp. USD 0.038% 31/03/2020 7,167,290 0.09

Luxembourg


7,675,000 Onex Wizard Acquisition Co. EUR 0.043% 13/03/2022 8,548,332 0.11

450,000 Ortho Clinical Diagnostics S.A. USD 0.038% 30/06/2021 445,181 0.01

12,876,569 0.17

United Kingdom

3,433,938 Virgin Media Investment Holdings Ltd. USD 0.035% 07/06/2020 3,429,646 0.05

United States


6,425,000 American Energy – Marcellus LLC USD 0.053% 04/08/2020 4,968,645 0.07

16,092,447 BMC Software Finance, Inc. USD 0.050% 10/09/2020 15,844,301 0.21

4,697,657 Burlington Coat Factory Warehouse Corp. USD 0.043% 13/08/2021 4,721,451 0.06

4,502,318 Checkout Holding Corp. USD 0.045% 04/04/2021 4,088,690 0.05

13,850,000 Chemours Co. USD 0.038% 22/05/2022 13,893,281 0.18

492,600 Delta Air Lines, Inc. USD 0.033% 18/10/2018 493,262 0.01

2,675,000 EP ENERGY LLC USD 0.028% 24/05/2018 2,662,040 0.03



% of



Maturity Date(b)

USD Equity

433



As at 31 May 2015

Bank Loans – (continued)



6,168,687 HCA, Inc. USD 0.027% 02/02/2016 6,170,229 0.08

1,478,788 HCA, Inc. USD 0.027% 02/05/2016 1,479,446 0.02

3,679,110 HCA, Inc. USD 0.030% 31/03/2017 3,683,488 0.05

1,597,020 HD Supply, Inc. USD 0.040% 28/06/2018 1,601,612 0.02

2,800,511 Men’s Wearhouse, Inc. USD 0.045% 18/06/2021 2,817,580 0.04


4,488,235 MPH Acquisition Holdings LLC USD 0.038% 31/03/2021 4,486,642 0.06



1,000,000 PetSmart, Inc. USD 0.033% 11/03/2022 1,004,185 0.01

2,014,695 Sabre, Inc. USD 0.040% 19/02/2019 2,020,517 0.03

809,430 SBA Senior Finance II LLC USD 0.033% 24/03/2021 807,763 0.01

4,203,769 Sedgwick Claims Management Services, Inc. USD 0.038% 01/03/2021 4,165,935 0.05

3,134,051 Seminole Hard Rock Entertainment, Inc. USD 0.035% 14/05/2020 3,132,092 0.04

2,084,480 Transdigm, Inc. USD 0.038% 28/02/2020 2,083,959 0.03

1,731,579 Transdigm, Inc. USD 0.038% 02/06/2021 1,732,462 0.02

4,336,962 True Religion Apparel, Inc. USD 0.059% 30/07/2019 3,892,423 0.05

5,122,879 Univision Communications, Inc. USD 0.040% 01/03/2020 5,122,085 0.07

28,778,544 US Foods, Inc. USD 0.045% 29/03/2019 28,901,860 0.38


3,361,355 WMG Acquisition Corp. USD 0.038% 01/07/2020 3,339,994 0.04

193,645,887 2.54

TOTAL BANK LOANS

(cost USD 218 ,071 ,455) 217,119,392 2.85


United States

18,000,000 American Electric Power, Inc. USD Time Deposit USD 0.000% 01/06/2015 17,999,430 0.24

9,600,000 Autozone, Inc. USD Time Deposit USD 0.000% 05/06/2015 9,599,552 0.13

9,200,000 AutoZone, Inc. USD Time Deposit USD 0.000% 10/06/2015 9,199,034 0.12

60,654,000 Barclays Bank USD Time Deposit USD 1.020% 11/03/2016 60,654,000 0.79

304,921,529 BNP PARIBAS S.A. USD Time Deposit USD 0.060% 01/06/2015 304,921,529 4.00

10,000,000 Cabot Corp. USD Time Deposit USD 0.000% 05/06/2015 9,999,422 0.13

16,000,000 Eaton Corp. USD Time Deposit USD 0.000% 30/06/2015 15,993,600 0.21

6,000,000 Ecolab, Inc. USD Time Deposit USD 0.000% 17/08/2015 5,991,100 0.08

7,819,000 Hasbro, Inc. USD Time Deposit USD 0.000% 15/06/2015 7,817,662 0.10

17,150,000 Humana Inc. USD Time Deposit USD 0.630% 22/06/2015 17,142,395 0.22

14,750,000 Marsh & MCLennan Co. USD Time Deposit USD 0.000% 30/06/2015 14,743,707 0.19

8,000,000 Motiva Enterprises LLC USD Time Deposit USD 0.000% 04/06/2015 7,998,293 0.10

15,000,000 Time Warner Cable USD Time Deposit USD 0.000% 05/06/2015 14,999,250 0.20

4,750,000 Time Warner Cable, Inc. USD Time Deposit USD 0.000% 15/06/2015 4,749,169 0.06

6,000,000 Viacom, Inc. USD Time Deposit USD 0.000% 03/06/2015 5,999,837 0.08

31,000,000 Whirlpool Corp. USD Time Deposit USD 0.000% 22/06/2015 30,990,958 0.41

16,000,000 XEROX Corp. USD Time Deposit USD 0.000% 03/06/2015 15,997,262 0.21

554,796,200 7.27

TOTAL TIME DEPOSITS

(cost USD 554 ,796 ,200) 554,796,200 7.27


(cost USD 8 ,095 ,682 ,108) 8,040,426,926 105.42


% of



Maturity Date(b)

USD Equity

434



As at 31 May 2015





CAD

2,202 Canadian Government Bond 10YR Futures 21/09/2015 Long 247,285,120 1,748,981 0.02

EUR

(751) Euro OAT Futures 08/06/2015 Short (125,862,646) 4,460,577 0.06

2,626 German Federal Republic Bonds 10YR Futures 08/06/2015 Long 448,416,043 6,455,425 0.09



2,063,353,023 15,830,869 0.21

USD






EUR


USD

(1,750) US Treasury Bond Ultra Long Futures 21/09/2015 Short (278,632,812) (1,058,702) (0.02)



(5,306) US Treasury Notes 5YR Futures 30/09/2015 Short (634,191,362) (1,053,856) (0.01)

(200) USD 5YR Interest Rate Swap Futures 15/06/2015 Short (20,556,250) (182,251) (0.00)

(1,946,974,316) (3,381,019) (0.04)

UNREALISED LOSS ON FUTURES CONTRACTS (4,098,519) (0.05)


Unrealised % of



USD 99,257,688 BRL 301,417,287 02/06/2015 4,174,870 0.06

USD 12,391,692 MXN 187,796,096 04/06/2015 136,701 0.00

USD 12,225,000 INR 779,343,750 05/06/2015 20,512 0.00

USD 12,230,000 MYR 43,661,100 05/06/2015 326,663 0.01

INR 2,188,483,507 USD 34,235,174 08/06/2015 41,268 0.00

USD 12,263,000 MYR 44,375,014 08/06/2015 171,527 0.00

INR 2,094,621,015 USD 32,693,535 11/06/2015 102,985 0.00

USD 32,236,569 KRW 34,831,290,032 11/06/2015 942,159 0.01

USD 24,609,000 TWD 756,692,297 11/06/2015 30,139 0.00

MXN 608,470,500 USD 39,553,707 12/06/2015 129,384 0.00

USD 37,322,964 MYR 133,594,870 12/06/2015 930,146 0.01

ZAR 45,488,000 USD 3,699,592 12/06/2015 44,226 0.00

USD 13,134,000 CLP 7,920,852,720 15/06/2015 257,305 0.00

USD 791,922,398 EUR 718,443,907 15/06/2015 1,829,064 0.03

USD 21,154,033 KRW 23,228,185,450 15/06/2015 287,120 0.00

USD 24,673,000 TWD 758,973,555 15/06/2015 14,119 0.00

USD 7,387,200 COP 17,589,809,664 16/06/2015 438,709 0.01

AUD 16,575,669 EUR 11,485,000 17/06/2015 46,950 0.00

CAD 317,819,062 USD 253,163,115 17/06/2015 1,357,090 0.02

CNH 612,738,595 USD 98,533,000 17/06/2015 158,150 0.00

EUR 23,061,000 AUD 33,023,629 17/06/2015 103,854 0.00

EUR 83,080,000 GBP 59,624,361 17/06/2015 215,640 0.00

EUR 56,330,000 PLN 228,740,020 17/06/2015 978,267 0.01

EUR 70,170,227 SEK 646,272,812 17/06/2015 1,074,994 0.02

EUR 602,566,187 USD 653,952,592 17/06/2015 8,724,509 0.12

GBP 42,318,125 EUR 58,629,000 17/06/2015 217,195 0.00

MXN 4,901,459,318 USD 318,663,063 17/06/2015 879,598 0.01

SEK 123,013,458 NZD 19,307,590 17/06/2015 736,105 0.01

SGD 67,567,150 USD 49,973,000 17/06/2015 121,754 0.00

TRY 426,411,486 USD 159,381,612 17/06/2015 788,683 0.01

USD 260,336,281 AUD 339,502,516 17/06/2015 672,433 0.01

USD 401,291,678 JPY 48,495,684,428 17/06/2015 9,718,183 0.13

USD 107,591,192 MXN 1,646,979,749 17/06/2015 219,029 0.00

USD 211,536,764 NZD 286,113,524 17/06/2015 7,807,777 0.10

USD 3,714,791 PLN 13,861,000 18/06/2015 20,221 0.00

USD 12,316,000 CLP 7,389,543,346 19/06/2015 307,995 0.00


435



As at 31 May 2015


Unrealised % of



USD 10,994,666 MYR 39,924,931 19/06/2015 120,808 0.00

USD 4,696,091 COP 11,415,257,517 22/06/2015 189,678 0.00

USD 12,351,000 TWD 377,036,507 22/06/2015 96,018 0.00

USD 41,118,490 CAD 49,747,000 25/06/2015 1,284,203 0.02

USD 12,726,118 CHF 11,748,116 25/06/2015 163,929 0.00

USD 16,915,416 MXN 254,120,298 25/06/2015 358,369 0.01

USD 12,440,005 MYR 44,676,661 26/06/2015 274,397 0.00

USD 6,629,653 NOK 50,191,000 26/06/2015 175,725 0.00

USD 33,742,306 SEK 279,747,000 26/06/2015 797,742 0.01

USD 24,946,000 RUB 1,317,508,584 29/06/2015 120,001 0.00

INR 795,768,330 USD 12,366,252 30/06/2015 52,526 0.00

USD 25,389,925 KRW 28,079,479,400 30/06/2015 176,696 0.00

BRL 80,729,192 USD 25,125,017 02/07/2015 72,933 0.00

USD 55,676,843 BRL 176,222,774 02/07/2015 672,543 0.01

USD 23,541,981 NZD 32,432,778 13/07/2015 503,352 0.01

USD 308,083,735 GBP 200,279,362 15/07/2015 1,961,353 0.03

USD 61,272,071 MXN 938,590,096 20/08/2015 359,977 0.01


Unrealised % of



BRL 301,417,287 USD 97,656,662 02/06/2015 (2,573,845) (0.03)

INR 3,426,398,592 USD 53,965,626 05/06/2015 (308,377) (0.01)

USD 32,120,000 INR 2,054,928,392 08/06/2015 (64,677) (0.00)

JPY 1,600,239,549 USD 13,416,807 09/06/2015 (497,594) (0.01)

KRW 17,012,621,940 USD 15,548,853 11/06/2015 (263,747) (0.00)

USD 22,798,000 INR 1,474,929,357 11/06/2015 (295,700) (0.00)

USD 50,700,435 MXN 792,802,704 11/06/2015 (1,008,263) (0.01)

USD 111,168,287 MXN 1,721,085,192 12/06/2015 (1,077,057) (0.02)

EUR 95,063,997 USD 106,753,675 15/06/2015 (2,209,076) (0.03)

INR 784,863,500 USD 12,315,448 15/06/2015 (34,978) (0.00)

KRW 28,643,647,432 USD 26,233,000 15/06/2015 (501,137) (0.01)

USD 12,304,000 INR 791,762,400 15/06/2015 (84,414) (0.00)

AUD 309,859,000 USD 237,608,952 17/06/2015 (617,541) (0.01)

CAD 24,757,154 CHF 19,378,485 17/06/2015 (888,693) (0.01)

EUR 45,712,000 NOK 397,764,656 17/06/2015 (887,947) (0.01)

GBP 66,344,746 USD 101,448,694 17/06/2015 (22,464) (0.00)

HUF 25,815,204,850 EUR 84,873,164 17/06/2015 (1,573,494) (0.02)

JPY 47,261,179,752 USD 392,173,112 17/06/2015 (10,567,500) (0.14)

NOK 380,769,454 EUR 45,236,258 17/06/2015 (774,758) (0.01)

NZD 250,466,000 USD 185,622,482 17/06/2015 (7,276,546) (0.10)

PLN 415,359,917 EUR 101,357,775 17/06/2015 (754,023) (0.01)

SEK 648,300,284 EUR 70,550,271 17/06/2015 (1,254,226) (0.02)

USD 287,680,000 CAD 360,648,131 17/06/2015 (1,139,166) (0.02)

USD 194,762,700 CNH 1,227,828,300 17/06/2015 (2,998,284) (0.04)

USD 814,542,848 EUR 746,988,346 17/06/2015 (6,963,705) (0.09)

USD 86,288,828 GBP 56,612,060 17/06/2015 (258,309) (0.00)

USD 128,800,099 SGD 176,513,090 17/06/2015 (2,067,929) (0.03)

USD 159,244,000 TRY 424,636,821 17/06/2015 (259,688) (0.00)

USD 123,263,178 ZAR 1,517,206,406 17/06/2015 (1,504,052) (0.02)

ZAR 1,360,979,747 USD 113,418,923 17/06/2015 (1,498,967) (0.02)

USD 82,662,981 MXN 1,280,945,555 18/06/2015 (839,930) (0.01)

CLP 15,464,996,947 USD 25,216,039 19/06/2015 (85,426) (0.00)

MYR 88,076,889 USD 24,632,000 19/06/2015 (643,590) (0.01)

COP 21,673,542,855 USD 8,638,541 22/06/2015 (82,455) (0.00)

CAD 54,969,000 USD 45,434,746 25/06/2015 (1,419,007) (0.02)

MYR 38,014,197 USD 10,522,000 26/06/2015 (170,604) (0.00)

SEK 211,308,000 USD 25,515,359 26/06/2015 (630,553) (0.01)

USD 12,454,000 CLP 7,695,326,600 30/06/2015 (36,729) (0.00)

USD 12,492,000 INR 802,236,240 01/07/2015 (25,551) (0.00)

USD 33,993,569 MXN 523,830,693 02/07/2015 (118,431) (0.00)

NZD 35,720,297 USD 25,928,292 13/07/2015 (554,374) (0.01)

GBP 102,437,000 USD 157,575,764 15/07/2015 (1,003,174) (0.01)

USD 32,010,903 MXN 492,704,910 23/07/2015 (26,464) (0.00)

KRW 8,899,312,000 USD 8,190,053 24/07/2015 (205,860) (0.00)

USD 39,271,456 MXN 605,601,200 06/08/2015 (68,100) (0.00)

USD 17,762,903 MXN 274,578,955 27/08/2015 (48,059) (0.00)

USD 33,815,884 MXN 524,298,369 01/10/2015 (107,971) (0.00)



436



As at 31 May 2015


Unrealised % of



USD 8,166,834 JPY 971,828,774 09/06/2015 320,970 0.00

EUR 2,378,581,809 USD 2,582,537,835 15/06/2015 33,256,680 0.44

USD 109,110,131 EUR 97,493,603 15/06/2015 1,893,624 0.03

SGD 15,856,316 USD 11,746,826 13/07/2015 2,159 0.00


Unrealised % of



JPY 28,804,838,277 USD 241,902,789 09/06/2015 (9,352,714) (0.12)

CAD 59,709,267 USD 49,296,698 25/06/2015 (1,485,251) (0.02)

CHF 104,718,910 USD 113,405,183 25/06/2015 (1,429,884) (0.02)

USD 759,702 CHF 714,836 25/06/2015 (4,667) (0.00)

SEK 2,783,673,174 USD 335,676,635 26/06/2015 (7,855,791) (0.11)

AUD 179,733,549 USD 139,549,804 13/07/2015 (2,274,204) (0.03)

GBP 559,394,308 USD 860,473,558 15/07/2015 (5,452,271) (0.07)

USD 118,458 GBP 77,517 15/07/2015 (25) (0.00)



Unrealised % of



Purchased Options

USD

207,000,000 Call 3 month LIBOR Swaption Expires 24/08/2015 Strike 1.96 (1,749,357) 822,618 0.01


93,000,000 Call 3 month LIBOR Swaption Expires 17/02/2016 Strike 2.37 (843,026) 1,309,924 0.02






193,700,000 Call 3 month LIBOR Swaption Expires 22/02/2016 Strike 2.97 (1,222,073) 1,770,592 0.02






238,500,000 Call 3 month LIBOR Swaption Expires 24/02/2016 Strike 2.04 (1,157,918) 2,986,020 0.04

207,000,000 Put 3 month LIBOR Swaption Expires 24/08/2015 Strike 1.96 322,133 2,894,108 0.04


77,700,000 Put 3 month LIBOR Swaption Expires 19/02/2016 Strike 2.51 (54,475) 2,439,694 0.03





(13,104,977) 38,106,640 0.50


(cost USD 51 ,211 ,617) 38,106,640 0.50


437



As at 31 May 2015





Interest Rate Swaps


66,660,000 Floating (BRL 1 month BCSWA) Fixed 12.398% BRL 02/01/2017 29,618 0.00



1,469,825,000 Floating (CAD 3 month CDOR) Fixed 1.000% CAD 21/04/2017 175,881 0.00




337,070,000 Floating (EUR 6 month EURIBOR) Fixed 0.500% EUR 16/09/2020 1,593,328 0.02



212,380,000 Floating (EUR 6 month EURIBOR) Fixed 1.500% EUR 16/12/2025 2,127,191 0.03

109,310,000 Fixed 1.500% Floating (EUR 6 month LIBOR) EUR 20/02/2030 2,000,509 0.03









118,750,000 Fixed 2.000% Floating (GBP 6 month LIBOR) GBP 17/06/2045 3,474,549 0.05

1,803,430,000 Floating (JPY 6 month MLIBOR) Fixed 2.000% JPY 17/12/2035 23,631 0.00










13,740,000 Floating (MYR 3 month LIBOR) Fixed 4.780% MYR 01/11/2023 19,768 0.00




53,840,000 Fixed 4.321% Floating (MYR 3 month KLIBOR) MYR 06/01/2025 261,144 0.00

1,415,340,000 Floating (NOK 6 month NIBOR) Fixed 1.000% NOK 01/07/2017 140,405 0.00



29,670,000 Floating (PLN 6 month LIBOR) Fixed 3.048% PLN 17/06/2019 143,473 0.00

98,000,000 Floating (PLN 6 month WIBOR) Fixed 3.190% PLN 28/05/2025 66,738 0.00

3,126,870,000 Fixed 0.500% Floating (SEK 3 month STIBOR) SEK 17/06/2020 1,670,395 0.02


2,577,760,000 Floating (SEK 3 month STIBOR) Fixed 1.500% SEK 16/12/2025 2,409,600 0.03


188,600,000 Floating (USD 3 month MLIBOR) Fixed 2.750% USD 17/06/2025 911,368 0.01


27,245,000 Fixed 2.500% Floating (USD 3 month LIBOR) USD 03/02/2045 1,098,984 0.02





18,330,000 Fixed 1.000% Floating (People’s Republic of China) USD 20/09/2019 18,740 0.00

39,000,000 Fixed 1.000% Floating (People’s Republic of China) USD 20/09/2019 39,979 0.00


Total Return Swaps

711,122 Floating (MBX.FN30.650.67 Index) Fixed 6.500% USD 12/01/2038 8,931 0.00

5,139,790 Floating (MBX.FN30.650.67 Index) Fixed 6.500% USD 12/01/2038 13,201 0.00



5,740,808 Fixed 3.000% Floating (IOS.FN30.300.12 Index) USD 12/01/2043 45,394 0.00









438



As at 31 May 2015






Total Return Swaps – (continued)


3,112,055 Floating (IOS.FN.30.400.13 Index) Fixed 4.000% USD 12/01/2044 59,708 0.00






Interest Rate Swaps








99,590,000 Floating (EUR 6 month LIBOR) Fixed 1.100% EUR 20/02/2025 (1,375,275) (0.02)


142,160,000 Fixed 1.250% Floating (EUR 6 month EURIBOR) EUR 16/09/2025 (2,143,948) (0.03)




99,800,000 Floating (GBP 6 month LIBOR) Fixed 1.500% GBP 17/06/2025 (1,444,420) (0.02)




7,135,010,000 Fixed 0.900% Floating (JPY 6 month LIBOR) JPY 20/02/2025 (723) (0.00)

10,647,345,000 Fixed 0.750% Floating (JPY 6 month LIBOR) JPY 17/06/2025 (72,169) (0.00)

9,237,460,000 Floating (JPY 6 month LIBOR) Fixed 1.700% JPY 20/02/2030 (103,919) (0.00)


8,510,885,000 Floating (JPY 6 month LIBOR) Fixed 1.750% JPY 03/02/2045 (1,017,129) (0.01)

15,019,215,000 Floating (JPY 6 month LIBOR) Fixed 1.500% JPY 17/06/2045 (1,487,582) (0.02)






































439



As at 31 May 2015










53,840,000 Floating (MYR 3 month KLIBOR) Fixed 4.765% MYR 06/01/2025 (19,959) (0.00)


4,125,010,000 Floating (NOK 6 month LIBOR) Fixed 1.000% NOK 11/05/2017 (2,169,968) (0.03)

29,670,000 Fixed 3.045% Floating (PLN 6 month LIBOR) PLN 17/06/2019 (270,293) (0.00)





























































440



As at 31 May 2015






Total Return Swaps

1,056,121 Floating (MBX.FN30.650.67 Index) Fixed 6.500% USD 12/01/2038 (659) (0.00)

1,056,121 Floating (MBX.FN30.650.67 Index) Fixed 6.500% USD 12/01/2038 (3,823) (0.00)


6,548,479 Fixed 4.500% Floating (MBX.GII30.450.10 Index) USD 12/01/2041 (11,835) (0.00)





UNREALISED LOSS ON TOTAL RETURN SWAPS (498,552) (0.01)



(cost USD 8 ,146 ,893 ,725) 8,084,484,333 106.00



% of





Unrealised loss on futures contracts (4,098,519) (0.05)





Market value of purchased options (cost USD 51,211,617) 38,106,640 0.50





Rates disclosed for Corporate Bonds, Government Bonds, Agencies and Non-Agencies Asset Backed Obligations, Municipal Bonds and Bank Loans are those that were in effect at

31 May 2015.



AG, HSBC Bank Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley and Co. International, Royal Bank of Canada, Royal Bank of Scotland Plc.,

Standard Chartered Bank, State Street Bank London, UBS AG London and Westpac Banking Corp.

The counterparties for swap contracts were Bank of America NA, Barclays Bank Plc., Barclays Capital, Citibank NA, Credit Suisse Debt Capital Markets, Credit Suisse International,

Deutsche Bank AG Frankfurt, JP Morgan Chase Bank NA, JP Morgan Chase Bank NA London and Morgan Stanley and Co. International.

The counterparties for options were Citibank NA, Deutsche Bank AG Frankfurt, JP Morgan Chase Bank NA London and Morgan Stanley and Co. International.











(h) These securities are issued with the first indicated rate which increases to the second rate at a set date in the future.

441



As at 31 May 2015

Goldman Sachs Funds—Global Strategic Macro Bond Portfolio



Brazil


Canada


Germany


Italy



6,296,178 2.02

Mexico



977,487 0.31

Russia


Spain

1,000,000 Spain Government Bond 144A(c) EUR 4.400% 31/10/2023 1,335,881 0.43

Turkey


United States






70,381,006 22.59


(cost USD 127 ,337 ,733) 126,870,375 40.72




780,000 European Investment Bank GBP 5.000% 15/04/2039 1,709,361 0.55

3,122,364 1.00


(cost USD 3 ,178 ,022) 3,122,364 1.00


Ireland

26,336,950 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(d)(e) 26,336,950 8.45

TOTAL MUTUAL FUNDS

(cost USD 26 ,336 ,950) 26,336,950 8.45


(cost USD 156 ,852 ,705) 156,329,689 50.17

% of



Maturity Date(b)

USD Equity

442



As at 31 May 2015




United States

30,500,000 United States Treasury Bill USD 0.023% 15/10/2015 30,496,767 9.79






119,523,954 38.35


(cost USD 119 ,387 ,706) 119,523,954 38.35


United States

1,000,000 Federal Home Loan Mortgage Corp. (FHLMC)(f) USD 5.922% 15/05/2045 228,546 0.07

2,957,468 Federal National Mortgage Association (FNMA)(f) USD 5.914% 15/01/2045 710,122 0.23


989,932 Federal National Mortgage Association (FNMA)(f) USD 6.015% 25/04/2045 233,062 0.08


2,688,753 Government National Mortgage Association (GNMA)(f) USD 6.516% 20/08/2043 513,318 0.17

3,322,472 1.07


(cost USD 3 ,338 ,033) 3,322,472 1.07

Non-Agencies Asset Backed Obligation – 0.08%

United States

250,000 Freddie Mac Structured Agency Credit Risk Debt Notes "M3"(f) USD 3.480% 25/10/2027 250,352 0.08


(cost USD 250 ,000) 250,352 0.08


(cost USD 122 ,975 ,739) 123,096,778 39.50



Dominican Republic

31,700,000 Dominican Republic Bond DOP 11.375% 06/07/2029 747,410 0.24





3,034,657 0.97


(cost USD 2 ,999 ,321) 3,034,657 0.97


(cost USD 2 ,999 ,321) 3,034,657 0.97


(cost USD 282 ,827 ,765) 282,461,124 90.64

% of



Maturity Date(b)

USD Equity

443



As at 31 May 2015






CAD


EUR





164,098,143 1,435,671 0.46





EUR


USD





(73,379,383) (144,078) (0.05)


Non-Deliverable Bond Forward Contracts – 0.05%Commitment Unrealised % of



2,893,600,000 BFS Finance COP Bond Forward 11/06/2015 Long 46 72,053 0.02

1,257,700,000 BFS Finance COP Bond Forward 11/06/2015 Long (1,911) 27,321 0.01



4,374 145,409 0.05





2,156,000,000 BFS Finance COP Bond Forward 02/06/2015 Long (10,938) (10,939) (0.00)



Unrealised % of



USD 5,528,467 BRL 16,843,793 02/06/2015 215,051 0.07

USD 666,000 INR 42,457,500 05/06/2015 1,625 0.00

USD 666,000 MYR 2,377,620 05/06/2015 17,603 0.01

USD 671,000 MYR 2,429,020 08/06/2015 8,752 0.00

INR 260,709,501 USD 4,061,107 11/06/2015 13,472 0.00

USD 3,235,192 KRW 3,495,366,138 11/06/2015 82,202 0.03

TRY 9,270,111 USD 3,385,165 12/06/2015 101,878 0.03

USD 1,876,841 MYR 6,733,656 12/06/2015 41,608 0.01

USD 435,000 CLP 262,339,800 15/06/2015 8,522 0.00

USD 1,216,452 KRW 1,335,725,275 15/06/2015 11,710 0.00

USD 408,000 COP 971,496,960 16/06/2015 24,230 0.01

AUD 1,279,427 CAD 1,216,789 17/06/2015 4,106 0.00

AUD 1,049,470 NOK 6,178,855 17/06/2015 7,955 0.00

AUD 1,458,156 NZD 1,472,607 17/06/2015 66,671 0.02

CAD 349,569 AUD 362,027 17/06/2015 3,056 0.00

CAD 502,695 GBP 262,891 17/06/2015 674 0.00

CAD 424,969 NZD 474,741 17/06/2015 2,287 0.00

CNH 33,605,385 USD 5,404,000 17/06/2015 8,674 0.00

444



As at 31 May 2015



Unrealised % of



EUR 776,000 AUD 1,111,241 17/06/2015 3,495 0.00

EUR 998,633 CAD 1,312,843 17/06/2015 46,886 0.02

EUR 1,273,167 JPY 162,279,437 17/06/2015 89,867 0.03

EUR 441,944 NZD 656,237 17/06/2015 18,754 0.01

EUR 2,543,000 PLN 10,308,293 17/06/2015 48,989 0.02

EUR 2,992,617 SEK 27,658,921 17/06/2015 34,460 0.01

EUR 28,291,442 USD 30,842,756 17/06/2015 270,989 0.09

GBP 317,785 AUD 609,089 17/06/2015 19,969 0.01

GBP 3,096,319 EUR 4,249,585 17/06/2015 60,060 0.02

GBP 301,172 NZD 600,930 17/06/2015 32,529 0.01

MXN 276,763,497 USD 18,032,020 17/06/2015 11,125 0.00

NOK 6,356,802 CAD 985,154 17/06/2015 28,661 0.01

NOK 1,661,365 GBP 137,730 17/06/2015 3,125 0.00

NOK 14,189,117 JPY 212,676,482 17/06/2015 107,755 0.04

NOK 27,802,299 USD 3,518,389 17/06/2015 57,515 0.02

SEK 2,357,199 AUD 351,414 17/06/2015 8,774 0.00

SEK 1,716,926 JPY 24,204,707 17/06/2015 6,721 0.00

SEK 14,792,308 NZD 2,289,871 17/06/2015 111,201 0.04

SEK 36,101,030 USD 4,228,780 17/06/2015 21,930 0.01

TRY 16,668,236 USD 6,217,789 17/06/2015 43,197 0.01

USD 13,802,755 AUD 17,835,076 17/06/2015 161,841 0.05

USD 14,950,931 CAD 18,637,835 17/06/2015 25,126 0.01

USD 23,343,327 JPY 2,816,860,557 17/06/2015 598,872 0.19

USD 4,697,395 MXN 71,806,812 17/06/2015 16,067 0.01

USD 3,807,293 NOK 28,652,221 17/06/2015 122,073 0.04

USD 14,223,551 NZD 19,157,127 17/06/2015 582,594 0.19

USD 4,761,456 SEK 39,299,668 17/06/2015 134,123 0.04

USD 682,000 CLP 409,196,863 19/06/2015 17,055 0.01

USD 655,546 MYR 2,380,484 19/06/2015 7,147 0.00

USD 260,047 COP 632,121,275 22/06/2015 10,503 0.00

USD 684,000 TWD 20,880,331 22/06/2015 3,663 0.00

USD 35,308,502 CAD 42,717,815 25/06/2015 1,102,747 0.35

USD 616,123 MYR 2,212,725 26/06/2015 13,782 0.01

USD 94,455 NOK 715,090 26/06/2015 2,504 0.00

USD 163,133 SEK 1,351,000 26/06/2015 4,031 0.00

USD 3,094,847 RUB 163,839,266 29/06/2015 6,490 0.00

INR 46,511,692 USD 722,792 30/06/2015 1,372 0.00

USD 1,043,830 KRW 1,154,403,186 30/06/2015 3,107 0.00

USD 341,000 INR 21,899,020 01/07/2015 111 0.00

BRL 5,131,270 USD 1,596,984 02/07/2015 4,636 0.00

USD 7,149,173 BRL 22,346,000 02/07/2015 174,331 0.06

USD 4,430,677 GBP 2,880,299 15/07/2015 28,207 0.01


Unrealised % of



BRL 16,843,793 USD 5,458,481 02/06/2015 (145,065) (0.05)

INR 47,101,174 USD 742,206 05/06/2015 (5,167) (0.00)

INR 110,296,845 USD 1,729,875 08/06/2015 (5,019) (0.00)

USD 1,664,080 INR 106,462,181 08/06/2015 (808) (0.00)

JPY 128,879,978 USD 1,080,827 09/06/2015 (40,341) (0.01)

KRW 2,367,261,362 USD 2,163,582 11/06/2015 (28,197) (0.01)

USD 1,218,000 INR 78,818,430 11/06/2015 (13,838) (0.01)

USD 2,841,000 TWD 87,356,773 11/06/2015 (5,251) (0.00)

MXN 6,650,674 USD 435,462 12/06/2015 (1,720) (0.00)

USD 1,414,745 MXN 21,946,376 12/06/2015 (16,549) (0.01)

USD 3,135,702 TRY 8,505,342 12/06/2015 (63,666) (0.02)

EUR 4,581,212 USD 5,098,325 15/06/2015 (60,235) (0.02)

INR 42,392,220 USD 665,185 15/06/2015 (3,176) (0.00)

KRW 1,481,955,822 USD 1,357,235 15/06/2015 (20,602) (0.01)

TWD 45,804,820 USD 1,507,333 15/06/2015 (14,911) (0.01)

USD 23,165,197 EUR 21,122,365 15/06/2015 (63,672) (0.02)

USD 679,000 INR 43,693,650 15/06/2015 (3,333) (0.00)

USD 1,360,000 TWD 41,835,368 15/06/2015 (3,088) (0.00)

AUD 1,204,462 EUR 840,995 17/06/2015 (3,675) (0.00)

AUD 456,294 SEK 2,998,241 17/06/2015 (4,037) (0.00)

AUD 19,315,648 USD 14,883,169 17/06/2015 (109,860) (0.04)

CAD 1,149,862 CHF 901,175 17/06/2015 (42,483) (0.01)

CAD 1,710,590 EUR 1,252,820 17/06/2015 (7,901) (0.00)

CAD 486,005 NOK 3,109,144 17/06/2015 (10,686) (0.00)

CAD 865,000 SEK 6,045,022 17/06/2015 (19,049) (0.01)

445



As at 31 May 2015



Unrealised % of



CAD 15,095,147 USD 12,159,352 17/06/2015 (70,650) (0.02)

EUR 3,991,780 GBP 2,883,271 17/06/2015 (17,881) (0.01)

EUR 1,415,000 NOK 12,315,309 17/06/2015 (27,825) (0.01)

GBP 676,825 NOK 8,072,739 17/06/2015 (3,593) (0.00)

GBP 263,596 SEK 3,426,346 17/06/2015 (455) (0.00)

GBP 3,467,635 USD 5,319,349 17/06/2015 (18,113) (0.01)

HUF 1,102,420,220 EUR 3,619,375 17/06/2015 (61,614) (0.02)

HUF 555,099,746 USD 1,976,719 17/06/2015 (3,481) (0.00)

JPY 188,415,908 AUD 2,008,011 17/06/2015 (14,455) (0.01)

JPY 95,931,637 EUR 722,037 17/06/2015 (19,476) (0.01)

JPY 32,534,597 GBP 173,637 17/06/2015 (2,755) (0.00)

JPY 139,558,867 NOK 9,039,293 17/06/2015 (35,771) (0.01)

JPY 249,314,470 SEK 17,667,851 17/06/2015 (67,234) (0.02)

JPY 2,475,592,617 USD 20,526,544 17/06/2015 (537,622) (0.17)

NOK 19,764,076 EUR 2,347,963 17/06/2015 (40,156) (0.01)

NOK 2,888,133 SEK 3,201,438 17/06/2015 (5,484) (0.00)

NZD 1,242,219 AUD 1,192,221 17/06/2015 (27,324) (0.01)

NZD 941,311 CAD 882,772 17/06/2015 (36,687) (0.01)

NZD 2,041,768 EUR 1,404,339 17/06/2015 (90,579) (0.03)

NZD 1,158,242 GBP 582,719 17/06/2015 (66,113) (0.02)

NZD 387,783 JPY 35,052,831 17/06/2015 (6,907) (0.00)

NZD 3,459,228 NOK 20,621,622 17/06/2015 (189,167) (0.06)

NZD 790,048 SEK 5,098,448 17/06/2015 (37,757) (0.01)

NZD 16,421,276 USD 12,210,207 17/06/2015 (517,332) (0.17)

PLN 19,017,842 EUR 4,643,126 17/06/2015 (37,072) (0.01)

PLN 1,507,272 USD 403,700 17/06/2015 (1,934) (0.00)

SEK 26,766,432 EUR 2,902,957 17/06/2015 (40,941) (0.01)

SEK 12,689,864 GBP 983,638 17/06/2015 (9,596) (0.00)

SGD 2,943,796 USD 2,191,000 17/06/2015 (8,449) (0.00)

USD 11,516,576 CNH 72,109,577 17/06/2015 (97,802) (0.03)

USD 37,534,766 EUR 34,231,061 17/06/2015 (111,124) (0.04)

USD 8,274,246 GBP 5,451,288 17/06/2015 (59,551) (0.02)

USD 6,083,799 SGD 8,330,091 17/06/2015 (92,189) (0.03)

USD 6,363,391 TRY 17,012,822 17/06/2015 (27,030) (0.01)

USD 5,093,587 ZAR 62,445,993 17/06/2015 (41,649) (0.01)

ZAR 53,490,693 USD 4,458,982 17/06/2015 (60,183) (0.02)

CLP 675,178,670 USD 1,100,895 19/06/2015 (3,730) (0.00)

MYR 4,873,693 USD 1,363,000 19/06/2015 (35,497) (0.01)

COP 1,201,212,446 USD 478,772 22/06/2015 (4,569) (0.00)

CAD 744,891 USD 615,692 25/06/2015 (19,229) (0.01)

MYR 1,387,327 USD 384,000 26/06/2015 (6,347) (0.00)

USD 728,000 CLP 449,831,200 30/06/2015 (2,147) (0.00)

GBP 491,000 USD 755,291 15/07/2015 (4,808) (0.00)



Unrealised % of



EUR 104,214,405 USD 113,072,427 15/06/2015 1,535,137 0.49

USD 33,423 SEK 279,848 26/06/2015 467 0.00


Unrealised % of



GBP 9,329,799 USD 14,358,181 15/07/2015 (97,799) (0.03)

SEK 171,349,401 USD 20,183,086 26/06/2015 (4,027) (0.00)


446



As at 31 May 2015



Unrealised % of



Purchased Options

CAD

27,100,000 Put CAD Interest Rate Swap Expires 24/05/2016 Strike 0.75 5,815 23,476 0.01

27,100,000 Put CAD Interest Rate Swap Expires 24/05/2016 Strike 1.25 12,286 113,833 0.03

18,101 137,309 0.04

EUR

5,660,000 Put EUR Interest Rate Swap Expires 07/08/2015 Strike 1.07 49,893 132,828 0.04

5,660,000 Put EUR Interest Rate Swap Expires 07/08/2015 Strike 0.92 (3,374) 71,269 0.03

5,660,000 Put EUR Interest Rate Swap Expires 07/08/2015 Strike 1.07 46,488 129,424 0.04

93,007 333,521 0.11

JPY

3,996,000,000 Put JPY Interest Rate Swap Expires 03/04/2017 Strike 0.27 3,838 81,869 0.03

USD

28,900,000 Call 3 month LIBOR Swaption Expires 17/02/2016 Strike 2.19 109,491 126,831 0.04

28,900,000 Call 3 month LIBOR Swaption Expires 17/02/2016 Strike 2.19 69,935 86,553 0.03


28,900,000 Put 3 month LIBOR Swaption Expires 17/02/2016 Strike 2.19 89,740 104,190 0.03


28,600,000 Put 3 month LIBOR Swaption Expires 26/02/2016 Strike 2.08 (21,175) 476,465 0.15

38,300,000 Put USD Interest Rate Swap Expires 21/09/2015 Strike 0.55 (3,336) 5,282 0.00

38,300,000 Put USD Interest Rate Swap Expires 21/09/2015 Strike 1.05 (11,000) 94,325 0.03

127,334 1,296,524 0.41


(cost USD 1 ,606 ,942) 1,849,223 0.59

Written Options – (0.26%)

CAD

(54,200,000) Put CAD Interest Rate Swap Expires 24/05/2016 Strike 1.00 (19,289) (118,629) (0.04)

EUR

(1,470,000) Put EUR Interest Rate Swap Expires 07/08/2015 Strike 1.32 15,561 (59,000) (0.02)

(1,480,000) Put EUR Interest Rate Swap Expires 07/08/2015 Strike 1.49 (19,442) (102,851) (0.04)

(1,470,000) Put EUR Interest Rate Swap Expires 07/08/2015 Strike 1.49 (19,310) (102,156) (0.03)

(23,191) (264,007) (0.09)

USD

(28,900,000) Call 3 month LIBOR Swaption Expires 17/02/2016 Strike 2.19 (175,735) (204,635) (0.06)

(28,900,000) Put 3 month LIBOR Swaption Expires 17/02/2016 Strike 2.19 (144,278) (158,728) (0.05)

(76,600,000) Put USD Interest Rate Swap Expires 21/09/2015 Strike 0.80 29,614 (50,816) (0.02)

(290,399) (414,179) (0.13)

TOTAL WRITTEN OPTIONS

(cost USD (463 ,936) ) (796,815) (0.26)





Interest Rate Swaps






4,910,000 Floating (BRL 1 month LIBOR) Fixed 11.830% BRL 02/01/2018 243 0.00










660,000 Floating (BRL 1 month BZDIO) Fixed 12.290% BRL 02/01/2023 2,162 0.00


447



As at 31 May 2015











1,467,550,000 Fixed 3.920% Floating (CLP 6 month LIBOR) CLP 23/02/2020 13,149 0.01

440,650,000 Fixed 3.935% Floating (CLP 1 month LIBOR) CLP 25/02/2020 3,514 0.00





























1,170,340,000 Fixed 0.900% Floating (JPY 6 month LIBOR) JPY 20/02/2025 9,206 0.00

110,150,000 Floating (JPY 6 month MLIBOR) Fixed 2.000% JPY 17/12/2035 1,439 0.00









7,270,000 Floating (MXN 1 month TIIE) Fixed 7.260% MXN 22/10/2021 862 0.00

7,360,000 Floating (MXN 1 month LIBOR) Fixed 7.310% MXN 26/10/2021 1,226 0.00



3,410,000 Floating (MXN 1 month LIBOR) Fixed 7.370% MXN 02/11/2021 756 0.00



56,880,000 Floating (MXN 1 month TIIE) Fixed 7.300% MXN 27/04/2022 106 0.00







13,790,000 Fixed 6.730% Floating (MXN 1 month TIIE) MXN 12/02/2025 20,830 0.01







3,460,000 Fixed 3.915% Floating (MYR 1 month LIBOR) MYR 01/12/2019 771 0.00




448



As at 31 May 2015













































76,030,000 Fixed 7.482% Floating (ZAR 3 month JIBAR) ZAR 22/05/2020 48,026 0.02








270,000 Floating (Republic of Colombia) Fixed 1.000% USD 20/12/2019 1,052 0.00

270,000 Floating (Republic of Colombia) Fixed 1.000% USD 20/12/2019 1,053 0.00


Total Return Swaps



3,890,068 Floating (IOS.FN.30.400.13 Index) Fixed 4.000% USD 12/01/2044 74,612 0.02


Currency Swaps

4,750,000 Fixed 9.000% Floating (TRY 3 month LIBOR) TRY 15/04/2020 63,167 0.02

1,680,000 Fixed 8.585% Floating (TRY 3 month LIBOR) TRY 27/10/2019 146,737 0.05

UNREALISED GAIN ON CURRENCY SWAPS 209,904 0.07


449



As at 31 May 2015






Interest Rate Swaps

1,820,000 Floating (BRL 1 month LIBOR) Fixed 12.985% BRL 04/01/2016 (907) (0.00)





2,170,000 Fixed 12.340% Floating (BRL 12 month LIBOR) BRL 02/01/2025 (9,903) (0.00)


530,000,000 Fixed 3.990% Floating (CLP 6 month LIBOR) CLP 24/10/2019 (298) (0.00)



5,000,000,000 Fixed 4.665% Floating (COP 3 month COOV) COP 07/04/2017 (4,790) (0.00)









810,000 Fixed 2.500% Floating (GBP 6 month LIBOR) GBP 17/12/2035 (4,692) (0.00)


617,990,000 Fixed 7.375% Floating (INR 6 month LIBOR) INR 29/05/2016 (693) (0.00)











12,700,000 Floating (MXN 1 month LIBOR) Fixed 6.470% MXN 17/01/2022 (9,812) (0.00)







3,160,000 Fixed 7.385% Floating (MXN 1 month LIBOR) MXN 18/10/2024 (493) (0.00)





900,000 Fixed 7.460% Floating (MXN 1 month LIBOR) MXN 31/10/2024 (288) (0.00)






11,360,000 Fixed 3.955% Floating (MYR 3 month LIBOR) MYR 12/01/2020 (651) (0.00)


11,170,000 Floating (PLN 6 month WIBOR) Fixed 2.215% PLN 13/05/2020 (8,771) (0.00)

3,360,000 Floating (PLN 6 month WIBOR) Fixed 2.570% PLN 12/05/2025 (8,203) (0.00)










450



As at 31 May 2015






Currency Swaps

360,000 Floating (USD 3 month LIBOR) Fixed 8.930% USD 03/03/2020 (12,126) (0.00)

UNREALISED LOSS ON CURRENCY SWAPS (12,126) 0.00



(cost USD 283 ,970 ,771) 289,526,191 92.91



% of













Market value of written options (cost USD(463,936)) (796,815) (0.26)





Rates disclosed for Government Bonds, Supranationals, Agencies and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2015.

The Futures Commission Merchant was Morgan Stanley and Co., Inc.

The counterparties for forward currency contracts were Bank of America NA, BNP Paribas S.A., Citibank NA London, Credit Suisse International, Deutsche Bank AG, HSBC Bank

Plc., JP Morgan Chase Bank NA London, Royal Bank of Canada, Royal Bank of Scotland Plc., Standard Chartered Bank, State Street Bank London, UBS AG London and Westpac

Banking Corp.

The counterparties for swap contracts were Bank of America NA, Barclays Capital, Citibank NA, Credit Suisse Debt Capital Markets, Credit Suisse International, Deutsche Bank AG

Frankfurt, Deutsche Bank AG, JP Morgan Chase Bank NA, JP Morgan Chase Bank NA London, Morgan Stanley and Co. and Morgan Stanley and Co. International.

The counterparties for options were Bank of America NA, Credit Suisse International, Deutsche Bank AG Frankfurt and Morgan Stanley and Co. International.








(f) Variable and floating coupon rates are those quoted as of 31 May 2015.

451



As at 31 May 2015

Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio



Australia


Canada

75,000 Talisman Energy, Inc. GBP 6.625% 05/12/2017 83,249 0.36

Cayman Islands

30,000 Dwr Cymru Financing Ltd.—Series A1 GBP 6.015% 31/03/2028 39,476 0.17

10,000 Dwr Cymru Financing Ltd.—Series B1 GBP 6.907% 31/03/2021 12,529 0.06

100,000 Thames Water Utilities Cayman Finance Ltd. GBP 5.500% 11/02/2041 128,532 0.56

87,000 Yorkshire Power Finance Ltd. GBP 7.250% 04/08/2028 120,749 0.53

301,286 1.32

Denmark

100,000 TDC A/S GBP 5.625% 23/02/2023 116,281 0.51

France


300,000 Dexia Credit Local S.A. GBP 1.875% 17/07/2017 304,812 1.34



125,000 Orange S.A. GBP 5.625% 23/01/2034 155,961 0.68

100,000 TOTAL S.A.(c) EUR 2.250% 29/12/2049 72,680 0.32

100,000 TOTAL S.A.(c) EUR 2.625% 29/12/2049 71,826 0.31

998,470 4.37

Ireland

200,000 Bank of Ireland EUR 1.250% 09/04/2020 143,166 0.63

Italy


100,000 CDP Reti SpA EUR 1.875% 29/05/2022 72,808 0.32


150,000 Telecom Italia SpA GBP 6.375% 24/06/2019 167,433 0.73

388,863 1.70

Jersey



562,247 2.46

Luxembourg




132,080 0.58

Mexico


190,575 Bank of New York Mellon S.A. Institucion de Banca Multiple USD 9.625% 02/05/2021 5,609 0.03

161,731 0.71

Netherlands



350,000 Deutsche Telekom International Finance BV GBP 6.500% 08/04/2022 436,550 1.91



275,000 ING Bank NV(c) GBP 6.875% 29/05/2023 311,201 1.36


1,403,632 6.15

Norway

150,000 DNB Bank ASA(c) GBP 6.012% 29/01/2049 157,824 0.69

% of



Maturity Date(b)

GBP Equity

452



As at 31 May 2015



Spain


United Kingdom


56,000 Anglian Water Osprey Financing Plc. GBP 7.000% 31/01/2018 61,662 0.27



120,000 Aviva Plc.(c) GBP 6.125% 29/09/2049 130,306 0.57

25,000 Aviva Plc.(c) GBP 5.902% 29/11/2049 26,715 0.12

50,000 Bank of Scotland Plc. GBP 9.375% 15/05/2021 65,315 0.29





14,000 HBOS Plc.(c) GBP 5.750% 29/04/2049 13,860 0.06







10,000 Northern Powergrid Holdings Co. GBP 7.250% 15/12/2022 12,788 0.06


250,000 RL Finance Bonds Plc.(c) GBP 6.125% 29/12/2049 253,215 1.11




150,000 Standard Chartered Bank GBP 7.750% 03/04/2018 171,999 0.75

186,488 Telereal Secured Finance Plc. GBP 4.010% 10/12/2031 192,666 0.84

150,000 Telereal Securitisation Plc.—Series B6(c) GBP 1.302% 10/12/2031 120,600 0.53


3,546,552 15.53

United States

50,000 AbbVie, Inc. USD 3.200% 06/11/2022 32,829 0.15









300,000 General Motors Financial Co, Inc. USD 3.250% 15/05/2018 201,224 0.88






50,000 Wal-Mart Stores, Inc. USD 5.000% 25/10/2040 36,922 0.16

1,440,484 6.31


(cost GBP 9 ,319 ,121) 9,827,233 43.04


Brazil


Croatia


Dominican Republic


% of



Maturity Date(b)

GBP Equity

453



As at 31 May 2015



France

200,000 SNCF Reseau GBP 5.250% 07/12/2028 259,325 1.13

United Kingdom









170,000 United Kingdom Gilt Inflation Linked Bonds GBP 2.500% 16/04/2020 617,109 2.70

7,088,577 31.05

Venezuela



23,202 0.10


(cost GBP 7 ,221 ,747) 7,660,913 33.55




(cost GBP 444 ,715) 429,999 1.88


Ireland

100 Goldman Sachs Sterling Government Liquid Reserves Fund (I Distribution Class)(d)(e) 100 0.00

259,129 Goldman Sachs Sterling Liquid Reserves Fund (X Distribution Class)(d)(f) 259,129 1.14

259,229 1.14

TOTAL MUTUAL FUNDS

(cost GBP 259 ,229) 259,229 1.14


(cost GBP 17 ,244 ,812) 18,177,374 79.61



United States

50,000 Penske Truck Leasing Co. LP Via PTL Finance Corp. 144A(g) USD 3.375% 01/02/2022 32,335 0.14


(cost GBP 33 ,205) 32,335 0.14


Cayman Islands

1,112,210 Crown Point CLO Ltd. "1A" 144A(c)(g) USD 1.496% 21/11/2022 720,254 3.15

1,200,000 OFSI Fund VI Ltd. "6A" 144A(c)(g) USD 1.440% 20/03/2025 766,479 3.36

1,350,000 Regatta IV Funding Ltd. "1A" 144A(c)(g) USD 1.787% 25/07/2026 879,031 3.85

2,365,764 10.36

United Kingdom




56,261 Paragon Mortgages Plc. "A2A"(c) GBP 0.807% 15/11/2038 52,618 0.23

100,000 Warwick Finance Residential Mortgages Number One Plc. "A"(c) GBP 1.634% 21/09/2049 99,264 0.44

344,048 1.51

% of



Maturity Date(b)

GBP Equity

454



As at 31 May 2015



United States

1,219,736 Impac Secured Assets Trust "A2"(c) USD 0.345% 25/03/2037 627,494 2.75


(cost GBP 3 ,148 ,051) 3,337,306 14.62


(cost GBP 3 ,181 ,256) 3,369,641 14.76



United States

100,000 DIRECTV Holdings LLC Via DIRECTV Financing Co., Inc. GBP 4.375% 14/09/2029 107,592 0.47


236,332 1.04


(cost GBP 228 ,173) 236,332 1.04


Dominican Republic



(cost GBP 7 ,256) 8,892 0.04


(cost GBP 235 ,429) 245,224 1.08


(cost GBP 20 ,661 ,497) 21,792,239 95.45





CAD


EUR



2 German Federal Republic Bonds 2YR Futures 08/06/2015 Long 159,926 36 0.00



3,548,789 31,535 0.14

GBP


USD



% of



Maturity Date(b)

GBP Equity

455



As at 31 May 2015






EUR


USD



(12) US Treasury Notes 5YR Futures 30/09/2015 Short (938,083) (2,453) (0.01)

(1,223,911) (2,963) (0.01)



Unrealised % of



USD 273,029 BRL 827,639 02/06/2015 7,815 0.04

USD 36,000 MYR 128,520 05/06/2015 629 0.00

USD 33,000 MYR 119,414 08/06/2015 302 0.00

INR 5,445,041 USD 85,024 11/06/2015 151 0.00

USD 38,600 KRW 41,707,253 11/06/2015 738 0.00

USD 66,000 TWD 2,029,408 11/06/2015 53 0.00

GBP 157,135 MXN 3,665,132 12/06/2015 785 0.00

USD 94,824 MYR 339,445 12/06/2015 1,541 0.01

EUR 245,000 GBP 175,604 15/06/2015 634 0.00

GBP 1,031,012 EUR 1,432,032 15/06/2015 890 0.01

USD 34,000 CLP 20,504,720 15/06/2015 436 0.00

USD 70,199 KRW 77,082,250 15/06/2015 623 0.00

USD 78,746 TWD 2,418,315 15/06/2015 115 0.00

USD 20,400 COP 48,574,848 16/06/2015 792 0.00

AUD 47,627 EUR 33,000 17/06/2015 88 0.00

CAD 852,893 USD 679,825 17/06/2015 2,098 0.01

CHF 98,658 CAD 127,942 17/06/2015 1,964 0.01

CNH 2,003,402 USD 320,759 17/06/2015 1,256 0.01

EUR 66,000 AUD 94,513 17/06/2015 194 0.00

EUR 226,000 GBP 162,203 17/06/2015 375 0.00

EUR 155,000 PLN 629,243 17/06/2015 1,790 0.01

EUR 197,343 SEK 1,817,998 17/06/2015 1,943 0.01

EUR 1,704,115 USD 1,849,137 17/06/2015 16,338 0.07

GBP 114,016 EUR 158,000 17/06/2015 356 0.00

MXN 14,820,721 USD 964,015 17/06/2015 1,438 0.01

SEK 313,387 NZD 49,186 17/06/2015 1,227 0.01

SGD 187,970 USD 139,000 17/06/2015 237 0.00

TRY 1,208,356 USD 451,273 17/06/2015 1,795 0.01

USD 730,573 AUD 952,771 17/06/2015 1,216 0.01

USD 1,100,483 JPY 132,994,280 17/06/2015 17,422 0.08

USD 608,053 NZD 822,824 17/06/2015 14,495 0.06

USD 34,000 CLP 20,399,844 19/06/2015 556 0.00

USD 34,451 MYR 125,101 19/06/2015 248 0.00

USD 19,947 COP 49,340,377 22/06/2015 307 0.00

USD 34,000 TWD 1,037,911 22/06/2015 173 0.00

USD 35,468 MYR 127,377 26/06/2015 512 0.00

USD 121,000 RUB 6,403,461 29/06/2015 222 0.00

INR 2,156,284 USD 33,509 30/06/2015 93 0.00

USD 65,856 KRW 72,831,850 30/06/2015 300 0.00

BRL 198,912 USD 61,906 02/07/2015 117 0.00

USD 138,314 BRL 437,777 02/07/2015 1,093 0.01


Unrealised % of



BRL 827,639 USD 268,126 02/06/2015 (4,608) (0.02)

INR 12,144,397 USD 191,274 05/06/2015 (715) (0.00)

INR 3,272,000 USD 51,317 08/06/2015 (46) (0.00)

USD 113,000 INR 7,229,356 08/06/2015 (149) (0.00)

KRW 10,426,875 USD 9,530 11/06/2015 (106) (0.00)

USD 73,000 INR 4,722,241 11/06/2015 (614) (0.00)

456



As at 31 May 2015



Unrealised % of



INR 2,237,900 USD 35,115 15/06/2015 (65) (0.00)

KRW 73,797,863 USD 67,587 15/06/2015 (845) (0.00)

USD 34,000 INR 2,187,900 15/06/2015 (153) (0.00)

AUD 848,000 USD 650,359 17/06/2015 (1,163) (0.01)

CAD 194,512 CHF 153,023 17/06/2015 (5,104) (0.02)

EUR 126,000 NOK 1,096,355 17/06/2015 (1,598) (0.01)

GBP 179,722 USD 274,781 17/06/2015 (18) (0.00)

HUF 72,250,333 EUR 237,508 17/06/2015 (2,859) (0.01)

JPY 129,475,306 USD 1,073,942 17/06/2015 (18,647) (0.08)

NOK 1,102,711 EUR 131,005 17/06/2015 (1,468) (0.01)

NZD 713,000 USD 528,194 17/06/2015 (13,410) (0.06)

PLN 1,137,978 EUR 277,714 17/06/2015 (1,366) (0.01)

SEK 1,789,591 EUR 194,763 17/06/2015 (2,274) (0.01)

USD 791,000 CAD 990,872 17/06/2015 (1,656) (0.01)

USD 610,716 CNH 3,853,450 17/06/2015 (6,503) (0.03)

USD 2,269,510 EUR 2,081,534 17/06/2015 (12,869) (0.06)

USD 240,544 GBP 157,861 17/06/2015 (516) (0.00)

USD 379,807 MXN 5,826,966 17/06/2015 (47) (0.00)

USD 361,683 SGD 495,540 17/06/2015 (3,738) (0.02)

USD 450,899 TRY 1,203,722 17/06/2015 (900) (0.00)

USD 342,945 ZAR 4,220,743 17/06/2015 (2,713) (0.01)

ZAR 3,767,707 USD 313,963 17/06/2015 (2,699) (0.01)

CLP 42,729,294 USD 69,671 19/06/2015 (154) (0.00)

MYR 243,148 USD 68,000 19/06/2015 (1,162) (0.01)

COP 61,054,337 USD 24,336 22/06/2015 (152) (0.00)

MYR 122,836 USD 34,000 26/06/2015 (361) (0.00)

USD 34,000 CLP 21,008,600 30/06/2015 (66) (0.00)

USD 34,000 INR 2,183,480 01/07/2015 (45) (0.00)

GBP 3,915,344 USD 6,001,000 15/07/2015 (10,787) (0.05)






Interest Rate Swaps







300,000 Fixed 1.695% Floating (EUR 6 month EURIBOR) EUR 11/05/2035 1,952 0.01


25,000 Floating (GBP 6 month LIBOR) Fixed 1.000% GBP 17/06/2018 397 0.00

670,000 Floating (GBP 12 month UK RPI) Fixed 2.905% GBP 16/10/2019 13,754 0.06

295,000 Floating (GBP 6 month LIBOR) Fixed 1.250% GBP 17/06/2020 2,218 0.01















457



As at 31 May 2015






Interest Rate Swaps

85,000 Floating (CAD 3 month CDOR) Fixed 2.750% CAD 17/06/2025 (429) (0.00)





850,000 Floating (EUR 6 month EURIBOR) Fixed 1.567% EUR 11/05/2025 (1,158) (0.01)





40,000 Fixed 1.500% Floating (GBP 6 month LIBOR) GBP 17/06/2022 (80) (0.00)


460,000 Floating (GBP 6 month LIBOR) Fixed 2.000% GBP 17/06/2045 (14,162) (0.06)












(cost GBP 20 ,661 ,497) 21,813,948 95.54



% of














The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A., Citibank NA London, Credit Suisse Debt Capital Markets,

Deutsche Bank AG, Goldman Sachs International, HSBC Bank Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley And Co. International, Royal

Bank of Canada, Royal Bank of Scotland Plc., Standard Chartered Bank, State Street Bank & Trust, UBS AG London and Westpac Banking Corp.

The counterparties for swap contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A. London, Credit Suisse Debt Capital Markets, and Morgan Stanley And Co.

International.






(d) A related party to Goldman Sachs Fund.



(g) 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.

458



As at 31 May 2015

Goldman Sachs Funds—Strategic Absolute Return Bond I Portfolio



France

650,000 Credit Agricole S.A.(c) GBP 5.000% 29/06/2049 1,032,148 0.06

Germany

750,000 RWE AG(c) USD 7.000% 12/10/2072 810,937 0.05

Hong Kong

1,180,000 CITIC Ltd. USD 6.800% 17/01/2023 1,390,643 0.08

Ireland

1,295,000 Ardagh Packaging Finance Plc. EUR 9.250% 15/10/2020 1,526,055 0.09

Italy


Mexico


834,900 Bank of New York Mellon S.A. Institucion de Banca Multiple USD 9.625% 02/05/2021 37,571 0.00

1,406,833 0.08

Netherlands


800,000 ABN AMRO Bank NV(c) GBP 5.000% 29/12/2049 1,251,219 0.07

850,000 Barclays SLCSM Funding BV(c) GBP 6.140% 29/06/2049 1,314,136 0.07

3,411,640 0.19

Switzerland


United Kingdom

4,600,000 Abbey National Treasury Services Plc.(c) GBP 2.270% 05/04/2017 7,229,567 0.42

8,400,000 NRAM Plc. 144A(d) USD 5.625% 22/06/2017 9,144,199 0.52





26,223,043 1.51

United States

500,000 AbbVie, Inc. USD 2.500% 14/05/2020 500,525 0.03

700,000 AbbVie, Inc. USD 3.600% 14/05/2025 705,426 0.04

1,200,000 Berry Plastics Corp. USD 9.750% 15/01/2021 1,326,000 0.08





200,000 HCA, Inc. USD 6.500% 15/02/2016 207,250 0.01

800,000 Level 3 Financing, Inc. USD 8.625% 15/07/2020 868,000 0.05









2,300,000 Rite Aid Corp. USD 8.000% 15/08/2020 2,420,750 0.14


300,000 Sprint Corp. USD 7.125% 15/06/2024 291,750 0.02

800,000 Sysco Corp. USD 4.500% 02/10/2044 811,500 0.05


975,000 Verizon Communications, Inc. USD 5.150% 15/09/2023 1,093,880 0.06



36,087,404 2.07

% of



Maturity Date(b)

USD Equity

459



As at 31 May 2015



Venezuela




527,488 0.03


(cost USD 76 ,921 ,649) 74,364,171 4.27


Costa Rica


Croatia




847,125 0.05

Dominican Republic



3,210,450 0.18

Germany



43,155,321 2.48

Honduras


Indonesia


Italy



21,341,049 1.23

Mexico







483,181,300 Mexico Cetes MXN 0.000% 04/06/2015 3,151,736 0.18

2,409,439,100 Mexico Cetes MXN 0.000% 11/06/2015 15,707,371 0.90

1,591,369,400 Mexico Cetes MXN 0.010% 18/06/2015 10,368,166 0.60

722,845,200 Mexico Cetes MXN 0.000% 25/06/2015 4,706,732 0.27

1,133,398,600 Mexico Cetes MXN 0.010% 02/07/2015 7,375,645 0.42

354,952,000 Mexico Cetes MXN 0.000% 16/07/2015 2,307,040 0.13

668,318,000 Mexico Cetes MXN 0.000% 23/07/2015 4,341,172 0.25

264,906,400 Mexico Cetes MXN 0.010% 30/07/2015 1,719,707 0.10

373,102,500 Mexico Cetes MXN 0.000% 20/08/2015 2,417,633 0.14

1,144,732,600 Mexico Cetes MXN 0.000% 01/10/2015 7,390,149 0.43

819,659,500 Mexico Cetes—Series B MXN 0.000% 06/08/2015 5,317,814 0.31

76,674,844 4.41

Spain




4,516,320 0.26

% of



Maturity Date(b)

USD Equity

460



As at 31 May 2015



United States







249,458,764 14.34

Venezuela









1,009,850 0.06


(cost USD 400 ,074 ,173) 401,679,336 23.09








65,695,685 3.77


(cost USD 65 ,510 ,671) 65,695,685 3.77


United States

109,890 Halcon Resources Corp. (Oil & Gas) 113,187 0.01

TOTAL COMMON STOCKS

(cost USD 204 ,362) 113,187 0.01


United States



(cost USD 1 ,428 ,686) 1,411,289 0.08


Ireland


TOTAL MUTUAL FUNDS

(cost USD 148 ,394 ,409) 148,394,409 8.53


(cost USD 692 ,533 ,950) 691,658,077 39.75

% of



Maturity Date(b)

USD Equity

461



As at 31 May 2015




Australia

8,400,000 Australia & New Zealand Banking Group Ltd. 144A(d) USD 1.000% 06/10/2015 8,415,508 0.48

Bermuda

950,000 Seadrill Ltd. 144A(d) USD 6.125% 15/09/2017 850,250 0.05

Canada

13,500,000 Bank of Montreal 144A(d) USD 2.850% 09/06/2015 13,507,637 0.78

1,300,000 Bank of Nova Scotia 144A(d) USD 1.650% 29/10/2015 1,307,056 0.07

2,500,000 Canadian Imperial Bank of Commerce 144A(d) USD 2.600% 02/07/2015 2,504,904 0.14

1,040,000 MEG Energy Corp. 144A(d) USD 6.375% 30/01/2023 988,000 0.06

18,307,597 1.05

Costa Rica


Ireland

1,715,000 Ardagh Packaging Finance Plc. 144A(d) USD 9.125% 15/10/2020 1,837,193 0.10


Via Ardagh Holdings USA, Inc. 144A(d) USD 9.125% 15/10/2020 826,344 0.05

2,663,537 0.15

Italy


Luxembourg

2,750,000 Aguila 3 S.A. 144A(d) USD 7.875% 31/01/2018 2,777,500 0.16





9,049,125 0.52

Mexico

820,000 Trust F/1401 USD 5.250% 15/12/2024 866,740 0.05

United States




1,350,000 Alphabet Holding Co., Inc. USD 7.750% 01/11/2017 1,370,250 0.08


1,725,000 Antero Resources Corp. 144A(d) USD 5.625% 01/06/2023 1,776,750 0.10

575,000 Apple, Inc. USD 3.200% 13/05/2025 580,119 0.03

800,000 Axalta Coating Systems US Holdings, Inc.

Via Axalta Coating Systems Dutch Holding 144A(d) USD 7.375% 01/05/2021 868,000 0.05

675,000 Bank of America Corp.—Series AA(c) USD 6.100% 29/12/2049 685,969 0.04



935,000 Bumble Bee Holdings, Inc. 144A(d) USD 9.000% 15/12/2017 986,425 0.06

171,000 CCO Holdings LLC Via CCO Holdings Capital Corp. USD 7.000% 15/01/2019 178,695 0.01

800,000 Comcast Corp. USD 4.650% 15/07/2042 834,559 0.05

1,725,000 Comstock Resources, Inc. 144A(d) USD 10.000% 15/03/2020 1,677,563 0.10

2,500,000 Crimson Merger Sub, Inc. 144A(d) USD 6.625% 15/05/2022 2,206,250 0.13

250,000 DISH DBS Corp. USD 7.125% 01/02/2016 258,750 0.01

1,450,000 Enterprise Products Operating LLC—Series A(c) USD 8.375% 01/08/2066 1,533,375 0.09







1,281,000 Getty Images, Inc. 144A(d) USD 7.000% 15/10/2020 736,575 0.04


1,000,000 HD Supply, Inc. USD 11.000% 15/04/2020 1,135,000 0.06


2,800,000 International Lease Finance Corp. 144A(d) USD 6.750% 01/09/2016 2,966,250 0.17

% of



Maturity Date(b)

USD Equity

462



As at 31 May 2015






1,950,000 Par Pharmaceutical, Inc. USD 7.375% 15/10/2020 2,098,688 0.12

1,800,000 PNC Preferred Funding Trust II 144A(c)(d) USD 1.493% 29/03/2049 1,665,000 0.09

850,000 QUALCOMM, Inc. USD 3.450% 20/05/2025 848,911 0.05

3,300,000 Rensselaer Polytechnic Institute USD 5.600% 01/09/2020 3,781,272 0.22


3,670,000 Sealed Air Corp. 144A(d) USD 8.375% 15/09/2021 4,151,687 0.24

900,000 Sprint Communications, Inc. 144A(d) USD 9.000% 15/11/2018 1,032,750 0.06


3,950,000 US Foods, Inc. USD 8.500% 30/06/2019 4,147,500 0.24




54,500,050 3.13

Venezuela



(cost USD 98 ,347 ,916) 97,541,791 5.60


United States








159,329,904 9.16


(cost USD 158 ,235 ,609) 159,329,904 9.16


United States






























% of



Maturity Date(b)

USD Equity

463



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

464



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

465



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

466



As at 31 May 2015








































956,738 Federal Home Loan Mortgage Corp. (FHLMC)(c) USD 2.426% 01/06/2035 1,022,922 0.06

































% of



Maturity Date(b)

USD Equity

467



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

468



As at 31 May 2015









































































% of



Maturity Date(b)

USD Equity

469



As at 31 May 2015








596 Federal National Mortgage Association (FNMA)(c) USD 2.625% 01/09/2033 638 0.00

































































% of



Maturity Date(b)

USD Equity

470



As at 31 May 2015








































































% of



Maturity Date(b)

USD Equity

471



As at 31 May 2015



























































160,000,598 9.19


(cost USD 152 ,718 ,030) 160,000,598 9.19

% of



Maturity Date(b)

USD Equity

472



As at 31 May 2015



Cayman Islands






4,692,172 Brentwood CLO Corp. "A1A" 144A(c)(d) USD 0.548% 01/02/2022 4,633,693 0.27

4,336,214 Brentwood CLO Corp. "A1B" 144A(c)(d) USD 0.548% 01/02/2022 4,269,796 0.25



1,750,000 Crown Point CLO Ltd. "B" 144A(c)(d) USD 3.317% 31/12/2027 1,707,230 0.10

7,250,000 Cutwater Ltd. "A2" 144A(c)(d) USD 1.900% 15/07/2027 7,221,000 0.41


3,056,415 Goldentree Loan Opportunities V Ltd. "5AA" 144A(c)(d) USD 0.970% 18/10/2021 3,049,208 0.17

1,933,737 Golub Capital Management CLO Ltd. "1AA" 144A(c)(d) USD 0.518% 31/07/2021 1,920,132 0.11




6,500,000 Monroe Capital BSL CLO Ltd. "1A" 144A(c)(d) USD 0.010% 22/05/2027 6,428,500 0.37











2,650,000 WhiteHorse Ltd. "B" 144A(c)(d) USD 2.328% 01/05/2026 2,623,307 0.15


184,302,822 10.59

Ireland


Luxembourg

6,258,914 Black Diamond Luxembourg S.A. "AD" 144A(c)(d) USD 0.529% 29/04/2019 6,132,027 0.35

United Kingdom



1,448,033 Eurosail PRIME-UK Plc. "A1"(c) GBP 0.962% 13/09/2045 2,109,069 0.12


77,347 Granite Mortgages Plc. "2A1"(c) USD 0.550% 20/09/2044 77,169 0.00






2,000,000 Residential Mortgage Securities 28 Plc. "A"(c) GBP 1.710% 15/06/2046 3,059,392 0.18

26,146,696 1.50

United States


249,459 Alternative Loan Trust ‘‘A1’’(c) USD 0.364% 20/02/2047 186,141 0.01

1,500,000 BAMLL Commercial Mortgage Securities Trust "E" 144A(c)(d) USD 3.136% 15/06/2028 1,496,649 0.09

5,386,105 Brazos Higher Education Authority, Inc. "A10"(c) USD 0.387% 26/12/2019 5,377,141 0.31

5,907,945 Citigroup Commercial Mortgage Trust "A1A"(c) USD 5.776% 15/03/2049 6,069,108 0.35

700,000 Citigroup Commercial Mortgage Trust "D" 144A(c)(d) USD 3.232% 15/09/2017 702,089 0.04

900,000 Citigroup Commercial Mortgage Trust "E" 144A(c)(d) USD 3.582% 15/09/2017 886,461 0.05


1,200,000 COMM Mortgage Trust "F" 144A(c)(d) USD 3.680% 11/06/2027 1,199,018 0.07

335,951 Countrywide Home Equity Loan Trust "2A1B"(c) USD 0.305% 15/11/2036 297,469 0.02

2,650,000 CSMC Trust "E" 144A(d) USD 4.373% 15/09/2037 2,527,124 0.14

1,515,104 Edsouth Indenture No 1 LLC "A1" 144A(c)(d) USD 1.127% 25/07/2023 1,525,145 0.09




1,350,000 FREMF Mortgage Trust "B" 144A(c)(d) USD 3.830% 25/11/2047 1,350,361 0.08

% of



Maturity Date(b)

USD Equity

473



As at 31 May 2015




550,000 FREMF Mortgage Trust "C" 144A(c)(d) USD 4.072% 25/11/2047 547,911 0.03

3,406,263 GCO Education Loan Funding Trust "A8L"(c) USD 0.412% 25/05/2025 3,361,314 0.19





153,603 Indymac Index Mortgage Loan Trust ‘‘1A’’(c) USD 2.381% 25/08/2034 130,501 0.01


1,060,000 Invitation Homes Trust "E"(c) USD 3.328% 17/06/2032 1,072,112 0.06


Mortgage Securities Trust "D" 144A(c)(d) USD 2.782% 15/12/2028 1,104,118 0.06

750,000 JP Morgan Chase Commercial

Mortgage Securities Trust "E" 144A(c)(d) USD 3.682% 15/12/2028 751,899 0.04



1,100,210 Lehman XS Trust ‘‘1A1’’(c) USD 0.455% 25/02/2036 932,939 0.05

7,222 Lehman XS Trust ‘‘A4A’’(c) USD 0.375% 25/11/2046 5,848 0.00

1,777,544 LSTAR 144A(c)(d) USD 2.180% 01/12/2021 1,772,521 0.10

1,195,218 LSTAR Securities Investment Trust "A" 144A(c) USD 2.184% 01/03/2020 1,196,538 0.07

180,119 MASTR Asset Securitization Trust "1A1" USD 4.500% 25/12/2019 182,148 0.01




1,455,662 Morgan Stanley Mortgage Loan Trust "1A" USD 5.000% 25/08/2035 1,486,635 0.09

89,491 NCUA Guaranteed Notes Trust "2A" USD 1.840% 07/10/2020 89,671 0.01

5,462,192 Nelnet Student Loan Trust "A" 144A(c)(d) USD 0.985% 26/12/2033 5,519,808 0.32




280,000 Tricon American Homes Trust "E" 144A(c)(d) USD 3.180% 17/05/2032 281,176 0.02


657,434 Washington Mutual Alternative

Mortgage Pass-Through Certificates ‘‘2A’’(c) USD 0.997% 25/10/2046 474,504 0.03

1,073,035 Washington Mutual Alternative

Mortgage Pass-Through Certificates ‘‘2A’’(c) USD 0.987% 25/11/2046 762,316 0.04

61,521,195 3.54


(cost USD 282 ,733 ,157) 282,702,479 16.25

ASSET BACKED OBLIGATIONS

(cost USD 435 ,451 ,187) 442,703,077 25.44


Puerto Rico
























390,000 Puerto Rico Highways & Transportation Authority (PRHTA) USD 5.250% 01/07/2036 393,065 0.02

200,000 Puerto Rico Sales Tax Financing Corp.(h) USD 11.213% 01/08/2033 86,870 0.01

% of



Maturity Date(b)

USD Equity

474



As at 31 May 2015





2,410,000 Puerto Rico Sales Tax Financing Corp. USD 10.415% 01/08/2034 339,762 0.02




835,000 Puerto Rico Sales Tax Financing Corp. "A"(h) USD 7.347% 01/08/2032 503,405 0.03













16,854,209 0.97

United States







1,578,746 0.09


(cost USD 20 ,956 ,881) 18,432,955 1.06


(cost USD 712 ,991 ,593) 718,007,727 41.26



United States

12,428,000 HSBC Bank USA NA—Series CLN BRL 6.000% 15/08/2040 10,731,485 0.62


(cost USD 14 ,535 ,274) 10,731,485 0.62


Dominican Republic


Mexico

266,488,100 Mexican Cetes MXN 3.149% 27/08/2015 1,726,388 0.10


(cost USD 1 ,771 ,911) 1,778,051 0.10


Cayman Islands

8,500,000 Trinitas CLO Ltd. 2015-3A "A2" 144A(d)(c) USD 1.790% 15/07/2027 8,457,500 0.49

United States

716,201 Skopos Auto Receivables Trust 2015-1A 144A(d) USD 3.100% 15/12/2023 716,205 0.04


(cost USD 9 ,173 ,695) 9,173,705 0.53


(cost USD 25 ,480 ,880) 21,683,241 1.25

% of



Maturity Date(b)

USD Equity

475



As at 31 May 2015



Canada


Luxembourg


1,150,000 Onex Wizard Acquisition Co. EUR 0.043% 13/03/2022 1,280,857 0.07

125,000 Ortho Clinical Diagnostics S.A. USD 0.038% 30/06/2021 123,661 0.01

1,649,081 0.09

United Kingdom

201,996 Virgin Media Investment Holdings Ltd. USD 0.035% 07/06/2020 201,744 0.01

United States

961,768 ADS Waste Holdings, Inc. USD 0.038% 09/10/2019 960,307 0.06

375,000 American Energy – Marcellus LLC USD 0.053% 04/08/2020 289,999 0.02

3,693,328 BMC Software Finance, Inc. USD 0.040% 10/09/2020 3,636,377 0.21

300,547 Burlington Coat Factory Warehouse Corp. USD 0.043% 13/08/2021 302,069 0.02

3,125,000 Chemours Co. USD 0.038% 22/05/2022 3,134,766 0.18

600,000 EP ENERGY LLC USD 0.028% 24/05/2018 597,093 0.03



447,727 HCA, Inc. USD 0.027% 02/02/2016 447,839 0.03

96,970 HCA, Inc. USD 0.027% 02/05/2016 97,013 0.01

233,271 HCA, Inc. USD 0.030% 31/03/2017 233,548 0.01

119,105 HD Supply, Inc. USD 0.040% 28/06/2018 119,447 0.01

204,597 Men’s Wearhouse, Inc. USD 0.045% 18/06/2021 205,844 0.01


427,462 MPH Acquisition Holdings LLC USD 0.038% 31/03/2021 427,310 0.02


50,000 PetSmart, Inc. USD 0.033% 11/03/2022 50,209 0.00

124,364 Sabre, Inc. USD 0.040% 19/02/2019 124,723 0.01


223,869 Sedgwick Claims Management Services, Inc. USD 0.038% 01/03/2021 221,855 0.01

233,810 Seminole Hard Rock Entertainment, Inc. USD 0.035% 14/05/2020 233,664 0.01

155,227 Transdigm, Inc. USD 0.038% 28/02/2020 155,188 0.01


503,683 True Religion Apparel, Inc. USD 0.059% 30/07/2019 452,056 0.03


2,163,987 US Foods, Inc. USD 0.045% 29/03/2019 2,173,260 0.12


298,800 WMG Acquisition Corp. USD 0.038% 01/07/2020 296,901 0.02

19,605,223 1.13

TOTAL BANK LOANS

(cost USD 22 ,029 ,083) 21,996,055 1.26


United States

11,093,179 Bank of America USD Time Deposit USD 0.000% 01/06/2015 11,093,179 0.64


87,271,065 BNP Paribas USD Time Deposit USD 0.060% 01/06/2015 87,271,065 5.02


87,271,065 Royal Bank of Scotland USD Time Deposit USD 0.080% 01/06/2015 87,271,065 5.01


373,885,439 21.49

TOTAL TIME DEPOSITS

(cost USD 373 ,885 ,439) 373,885,439 21.49


(cost USD 1 ,826 ,920 ,945) 1,827,230,539 105.01

Covered Forward Mortgage Backed Securities – (0.06%)(1,000,000) Federal National Mortgage Association (FNMA) TBA(i) 4.500% (1,087,266) (0.06)


(cost USD (1 ,086 ,719) ) (1,087,266) (0.06)

% of



Maturity Date(b)

USD Equity

476



As at 31 May 2015






CAD


EUR


447 German Federal Republic Bonds 10YR Futures 08/06/2015 Long 76,329,768 1,114,823 0.07


1,199 German Federal Republic Bonds 5YR Futures 08/09/2015 Long 171,584,605 405,723 0.02

352,719,099 2,941,461 0.17

USD



93,220,250 154,606 0.01





EUR


(167) German Federal Republic Bonds 2YR 08/06/2015 Short (20,417,246) (6,427) (0.00)

(16,261,255) (178,528) (0.01)

USD




(511,470,157) (996,182) (0.06)



Unrealised % of



USD 14,582,814 BRL 44,310,588 02/06/2015 604,931 0.04

USD 3,164,162 MXN 47,952,880 04/06/2015 34,906 0.00

USD 1,772,000 INR 112,965,000 05/06/2015 2,973 0.00

USD 1,767,000 MYR 6,308,190 05/06/2015 47,197 0.00

USD 1,786,000 MYR 6,462,837 08/06/2015 24,981 0.00

INR 357,028,701 USD 5,569,512 11/06/2015 20,663 0.00

USD 4,349,393 KRW 4,699,475,687 11/06/2015 127,117 0.01

USD 3,586,000 TWD 110,264,480 11/06/2015 4,392 0.00

MXN 83,744,774 USD 5,443,925 12/06/2015 17,722 0.00

USD 6,100,111 MYR 21,835,028 12/06/2015 151,992 0.01

ZAR 12,121,486 USD 985,855 12/06/2015 11,785 0.00

USD 1,807,000 CLP 1,089,765,560 15/06/2015 35,400 0.00

USD 156,401,982 EUR 141,842,651 15/06/2015 413,558 0.03

USD 3,297,358 KRW 3,620,663,400 15/06/2015 44,754 0.00

USD 3,854,731 TWD 118,471,747 15/06/2015 5,611 0.00

USD 1,083,600 COP 2,580,181,632 16/06/2015 64,353 0.01

AUD 2,491,041 EUR 1,726,000 17/06/2015 7,056 0.00

CAD 46,413,341 USD 36,971,532 17/06/2015 197,834 0.01

CHF 725,366 CAD 940,666 17/06/2015 22,079 0.00

CNH 101,880,670 USD 16,381,035 17/06/2015 28,443 0.00

EUR 3,465,000 AUD 4,961,922 17/06/2015 15,604 0.00

EUR 12,189,000 GBP 8,747,806 17/06/2015 31,521 0.00

EUR 8,366,000 PLN 33,974,011 17/06/2015 144,736 0.01

EUR 10,200,334 SEK 93,944,100 17/06/2015 156,468 0.01

EUR 91,091,001 USD 98,861,039 17/06/2015 1,317,036 0.08

GBP 6,246,703 EUR 8,652,000 17/06/2015 34,700 0.00

GBP 9,710,978 USD 14,844,117 17/06/2015 1,790 0.00

MXN 726,352,021 USD 47,217,846 17/06/2015 135,492 0.01

SEK 21,095,318 NZD 3,311,048 17/06/2015 126,212 0.01

SGD 9,873,290 USD 7,303,000 17/06/2015 17,126 0.00

TRY 64,028,577 USD 23,931,738 17/06/2015 118,918 0.01

USD 38,266,716 AUD 49,905,619 17/06/2015 97,087 0.01

USD 58,702,873 JPY 7,092,876,849 17/06/2015 1,432,157 0.08

477



As at 31 May 2015



Unrealised % of



USD 15,735,176 MXN 240,869,678 17/06/2015 32,069 0.00

USD 31,449,260 NZD 42,528,932 17/06/2015 1,166,259 0.07

USD 1,803,258 PLN 6,745,841 18/06/2015 5,193 0.00

USD 1,807,000 CLP 1,084,191,688 19/06/2015 45,189 0.00

USD 1,070,922 MYR 3,888,838 19/06/2015 11,767 0.00

USD 689,009 COP 1,674,843,320 22/06/2015 27,830 0.00

USD 1,809,000 TWD 55,222,981 22/06/2015 14,063 0.00

USD 7,123,227 CAD 8,618,000 25/06/2015 222,471 0.01

USD 1,835,021 CHF 1,694,000 25/06/2015 23,637 0.00

USD 4,774,135 MXN 71,721,829 25/06/2015 101,144 0.01

USD 1,786,553 MYR 6,416,174 26/06/2015 39,407 0.00

USD 1,434,670 NOK 10,861,430 26/06/2015 38,027 0.00

USD 8,645,794 SEK 71,601,007 26/06/2015 213,661 0.01

USD 3,650,000 RUB 192,782,532 29/06/2015 17,372 0.00

INR 115,131,773 USD 1,789,150 30/06/2015 7,600 0.00

USD 3,747,699 KRW 4,144,692,510 30/06/2015 26,081 0.00

BRL 12,303,981 USD 3,829,318 02/07/2015 11,116 0.00

USD 9,864,771 BRL 31,222,986 02/07/2015 119,161 0.01

USD 5,936,165 NZD 8,178,000 13/07/2015 126,921 0.01

USD 56,125,523 GBP 36,486,133 15/07/2015 357,312 0.02

USD 6,291,574 MXN 96,706,220 23/07/2015 3,403 0.00

USD 2,399,212 MXN 36,752,096 20/08/2015 14,096 0.00


Unrealised % of



BRL 44,310,588 USD 14,355,674 02/06/2015 (377,791) (0.02)

INR 488,000,487 USD 7,685,986 05/06/2015 (43,920) (0.00)

INR 292,778,706 USD 4,591,887 08/06/2015 (6,331) (0.00)

USD 4,429,280 INR 283,370,275 08/06/2015 (8,919) (0.00)

JPY 184,289,000 USD 1,543,870 09/06/2015 (56,050) (0.00)

KRW 2,836,853,015 USD 2,592,770 11/06/2015 (43,980) (0.00)

USD 3,945,000 INR 255,195,895 11/06/2015 (50,729) (0.00)

USD 11,162,384 MXN 174,546,195 11/06/2015 (221,983) (0.01)

USD 19,569,172 MXN 302,966,000 12/06/2015 (189,596) (0.01)

EUR 16,981,967 USD 19,073,011 15/06/2015 (397,456) (0.02)

INR 112,981,980 USD 1,772,823 15/06/2015 (5,035) (0.00)

KRW 3,916,999,995 USD 3,587,346 15/06/2015 (68,530) (0.01)

USD 1,794,000 INR 115,443,900 15/06/2015 (12,308) (0.00)

AUD 45,630,000 USD 34,986,181 17/06/2015 (86,701) (0.01)

CAD 5,164,072 CHF 4,062,575 17/06/2015 (207,216) (0.01)

EUR 6,973,000 NOK 60,673,748 17/06/2015 (135,183) (0.01)

HUF 3,882,012,246 EUR 12,762,846 17/06/2015 (236,482) (0.01)

JPY 6,896,068,615 USD 57,219,698 17/06/2015 (1,538,090) (0.09)

NOK 55,624,436 EUR 6,608,344 17/06/2015 (113,221) (0.01)

NZD 36,707,000 USD 27,202,798 17/06/2015 (1,065,341) (0.06)

PLN 61,264,965 EUR 14,950,642 17/06/2015 (111,791) (0.01)

SEK 95,212,195 EUR 10,360,467 17/06/2015 (183,263) (0.01)

USD 42,319,000 CAD 53,042,695 17/06/2015 (159,376) (0.01)

USD 30,027,202 CNH 189,297,646 17/06/2015 (462,150) (0.03)

USD 121,245,458 EUR 111,178,922 17/06/2015 (1,024,473) (0.06)

USD 12,646,170 GBP 8,298,482 17/06/2015 (40,347) (0.00)

USD 18,404,580 SGD 25,225,178 17/06/2015 (297,542) (0.02)

USD 23,815,971 TRY 63,561,464 17/06/2015 (59,226) (0.00)

USD 17,500,326 ZAR 215,379,737 17/06/2015 (211,393) (0.01)

ZAR 193,036,681 USD 16,085,720 17/06/2015 (211,379) (0.01)

PLN 9,301,000 USD 2,495,308 18/06/2015 (16,180) (0.00)

USD 14,351,478 MXN 222,390,499 18/06/2015 (145,824) (0.01)

CLP 2,272,142,226 USD 3,704,781 19/06/2015 (12,551) (0.00)

MYR 12,919,040 USD 3,613,000 19/06/2015 (94,401) (0.01)

COP 3,178,891,673 USD 1,267,028 22/06/2015 (12,094) (0.00)

CAD 9,644,000 USD 7,971,269 25/06/2015 (248,957) (0.02)

MYR 6,535,609 USD 1,809,000 26/06/2015 (29,331) (0.00)

SEK 61,835,000 USD 7,466,552 26/06/2015 (184,519) (0.01)

USD 1,802,000 CLP 1,113,455,800 30/06/2015 (5,315) (0.00)

USD 1,848,000 INR 118,678,560 01/07/2015 (3,780) (0.00)

USD 7,296,363 MXN 112,434,760 02/07/2015 (25,420) (0.00)

NZD 8,527,776 USD 6,193,314 13/07/2015 (135,608) (0.01)

478



As at 31 May 2015



Unrealised % of



GBP 11,163,000 USD 17,171,708 15/07/2015 (109,320) (0.01)

USD 2,006,572 MXN 31,132,963 16/07/2015 (18,805) (0.00)

USD 5,274,129 MXN 81,331,812 06/08/2015 (9,146) (0.00)

USD 1,703,285 MXN 26,329,380 27/08/2015 (4,608) (0.00)

USD 7,258,225 MXN 112,535,142 01/10/2015 (23,175) (0.00)



Unrealised % of



EUR 275,294,553 USD 299,201,485 15/06/2015 3,547,816 0.21

USD 3,384,842 EUR 3,033,924 15/06/2015 48,349 0.00


Unrealised % of



JPY 1,043,011,604 USD 8,761,289 09/06/2015 (340,744) (0.02)

AUD 25,058,333 USD 19,456,915 13/07/2015 (318,041) (0.02)

NZD 124,005,154 USD 90,047,359 13/07/2015 (1,960,282) (0.11)

GBP 711,630,498 USD 1,094,949,115 15/07/2015 (7,238,325) (0.42)



Unrealised % of



Purchased Options

USD























(1,250,852) 3,687,880 0.21


(cost USD 4 ,938 ,732) 3,687,880 0.21

479



As at 31 May 2015






Interest Rate Swaps





































1,600,000 Floating (NZD 3 month NZDBB1) Fixed 3.750% NZD 17/06/2025 973 0.00






100,000 Floating (USD 3 month MLIBOR) Fixed 2.750% USD 17/06/2025 1,162 0.00








Total Return Swaps













480



As at 31 May 2015






Interest Rate Swaps
















1,085,870,000 Fixed 0.900% Floating (JPY 6 month LIBOR) JPY 20/02/2025 (100) (0.00)

1,843,840,000 Fixed 0.750% Floating (JPY 6 month LIBOR) JPY 17/06/2025 (11,653) (0.00)






















































481



As at 31 May 2015






Credit Default Swaps – (continued)





















1,080,000 Fixed 1.000% Floating (People’s Republic of China) USD 20/06/2019 (719) (0.00)


Total Return Swaps

492,857 Floating (MBX.FN30.650.67 Index) Fixed 6.500% USD 12/01/2038 (306) (0.00)

2,182,826 Fixed 4.500% Floating (MBX.GII30.450.10 Index) USD 12/01/2041 (3,945) (0.00)








(cost USD 1 ,830 ,772 ,958) 1,823,355,719 104.79



482



As at 31 May 2015


% of




Market value of covered forward mortgage backed securities (cost USD (1,086,719)) (1,087,266) (0.06)












Rates disclosed for Corporate Bonds, Government Bonds, Supranationals, Preferred Stocks, Agencies and Non-Agencies Asset Backed Obligations, Municipal Bonds, Time

Deposits, Covered Forward Mortgage Backed Securities and Bank Loans are those that were in effect at 31 May 2015.



AG, HSBC Bank Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley and Co. International, Royal Bank of Canada, Royal Bank of Scotland Plc.,


The counterparties for swap contracts were Bank of America NA, Barclays Bank Plc., Citibank NA, Credit Suisse Debt Capital Markets, Credit Suisse International, Deutsche Bank

AG Frankfurt, JP Morgan Chase Bank NA, JP Morgan Chase Bank NA London, Morgan Stanley and Co. International and Royal Bank of Scotland Plc..

The counterparties for options were Citibank NA, Deutsche Bank AG Frankfurt, JP Morgan Chase Bank NA London and Morgan Stanley and Co. International.












(i) These represent TBA sales covered by long FNMA positions. These amounts are disclosed separately as Covered Forward Mortgage Backed Securities in the Statement of


483



As at 31 May 2015

Goldman Sachs Funds—Strategic Absolute Return Bond II Portfolio



France


Germany

350,000 RWE AG(c) USD 7.000% 12/10/2072 378,438 0.11

Hong Kong

260,000 CITIC Ltd. USD 6.800% 17/01/2023 306,413 0.09

Ireland


Mexico


Netherlands



200,000 Barclays SLCSM Funding BV(c) GBP 6.140% 29/06/2049 309,209 0.10

1,407,952 0.43

Switzerland

400,000 Credit Suisse Group AG 144A(c)(d) USD 6.250% 29/12/2049 395,000 0.12

United Kingdom

800,000 Abbey National Treasury Services Plc.(c) GBP 2.270% 05/04/2017 1,257,316 0.38

700,000 NRAM Plc. 144A(d) USD 5.625% 22/06/2017 762,017 0.23





5,725,489 1.73

United States

100,000 AbbVie, Inc. USD 2.500% 14/05/2020 100,105 0.03

125,000 AbbVie, Inc. USD 3.600% 14/05/2025 125,969 0.04




575,000 Berry Plastics Corp. USD 9.750% 15/01/2021 635,375 0.19





50,000 HCA, Inc. USD 6.500% 15/02/2016 51,812 0.02


225,000 MetLife, Inc. USD 4.050% 01/03/2045 214,107 0.06





978,000 Prestige Brands, Inc. USD 8.125% 01/02/2020 1,058,685 0.32



325,000 Rite Aid Corp. USD 9.250% 15/03/2020 357,094 0.11

525,000 Rite Aid Corp. USD 8.000% 15/08/2020 552,562 0.17

400,000 Sprint Communications, Inc. USD 7.000% 15/08/2020 410,000 0.12

525,000 Sprint Corp. USD 7.875% 15/09/2023 536,812 0.16

200,000 Sprint Corp. USD 7.125% 15/06/2024 194,500 0.06

375,000 Sysco Corp. USD 4.500% 02/10/2044 380,391 0.11





12,212,636 3.70

% of



Maturity Date(b)

USD Equity

484



As at 31 May 2015



Venezuela




302,375 0.09


(cost USD 22 ,863 ,935) 22,127,825 6.70


Costa Rica


Croatia


Dominican Republic





1,517,663 0.46

Germany



14,285,560 4.32

Honduras


Indonesia


Italy




11,339,528 3.43

Mexico





50,699,200 Mexican Cetes MXN 3.149% 27/08/2015 328,444 0.10



17,245,400 Mexico Cetes MXN 0.000% 04/06/2015 112,490 0.03

173,587,400 Mexico Cetes MXN 2.985% 11/06/2015 1,131,633 0.34

88,782,500 Mexico Cetes MXN 4.335% 18/06/2015 578,440 0.17

55,391,500 Mexico Cetes MXN 3.712% 25/06/2015 360,676 0.11

84,241,800 Mexico Cetes MXN 3.409% 02/07/2015 548,208 0.17

27,208,600 Mexico Cetes MXN 3.055% 16/07/2015 176,845 0.05

182,773,800 Mexico Cetes MXN 3.333% 23/07/2015 1,187,238 0.36

107,723,600 Mexico Cetes MXN 3.095% 30/07/2015 699,315 0.21

90,605,200 Mexico Cetes MXN 3.139% 20/08/2015 587,104 0.18

85,084,200 Mexico Cetes MXN 3.267% 01/10/2015 549,285 0.17

191,596,300 Mexico Cetes—Series B MXN 3.111% 06/08/2015 1,243,045 0.38

11,392,598 3.45

Spain





2,483,708 0.75

% of



Maturity Date(b)

USD Equity

485



As at 31 May 2015



United States




4,342,791 1.31

Venezuela








420,125 0.13


(cost USD 49 ,689 ,016) 46,858,993 14.18






12,952,027 3.92


(cost USD 13 ,052 ,991) 12,952,027 3.92


United States

123,626 Halcon Resources Corp. (Oil & Gas) 127,335 0.04

TOTAL COMMON STOCKS

(cost USD 234 ,447) 127,335 0.04


United States

7,523 Citigroup Capital XIII(c) USD 7.875% 195,297 0.06

21,888 GMAC Capital Trust I—Series 2(c) USD 8.125% 568,212 0.17

22,156 Morgan Stanley—Series I(c) USD 6.375% 579,158 0.18

1,342,667 0.41


(cost USD 1 ,336 ,156) 1,342,667 0.41


Ireland


TOTAL MUTUAL FUNDS

(cost USD 28 ,109 ,887) 28,109,887 8.51


(cost USD 115 ,286 ,432) 111,518,734 33.76

% of



Maturity Date(b)

USD Equity

486



As at 31 May 2015




Australia

1,400,000 Australia & New Zealand Banking Group Ltd. 144A(d) USD 1.000% 06/10/2015 1,402,585 0.42

Bermuda

475,000 Seadrill Ltd. 144A(d) USD 6.125% 15/09/2017 425,125 0.13

Canada

3,200,000 Bank of Montreal 144A(d) USD 2.850% 09/06/2015 3,201,810 0.97

300,000 Bank of Nova Scotia 144A(d) USD 1.650% 29/10/2015 301,628 0.09

600,000 Canadian Imperial Bank of Commerce 144A(d) USD 2.600% 02/07/2015 601,177 0.18


4,532,115 1.37

Costa Rica

240,000 Banco Nacional de Costa Rica USD 6.250% 01/11/2023 244,320 0.07

Ireland

975,000 Ardagh Packaging Finance Plc. 144A(d) USD 9.125% 15/10/2020 1,044,469 0.31


Via Ardagh Holdings USA, Inc. 144A(d) USD 9.125% 15/10/2020 319,875 0.10

1,364,344 0.41

Italy


Luxembourg

650,000 Aguila 3 S.A. 144A(d) USD 7.875% 31/01/2018 656,500 0.20





3,220,875 0.98

Mexico

400,000 Trust F/1401 USD 5.250% 15/12/2024 422,800 0.13

United States




450,000 Alphabet Holding Co., Inc. USD 7.750% 01/11/2017 456,750 0.14


375,000 Antero Resources Corp. 144A(d) USD 5.625% 01/06/2023 386,250 0.12

225,000 Apple, Inc. USD 3.200% 13/05/2025 227,003 0.07


Via Axalta Coating Systems Dutch Holding 144A(d) USD 7.375% 01/05/2021 352,625 0.11

300,000 Bank of America Corp.—Series AA(c) USD 6.100% 29/12/2049 304,875 0.09

600,000 Bank of America Corp.—Series V(c) USD 5.125% 29/12/2049 595,500 0.18


231,000 Bumble Bee Holdings, Inc. 144A(d) USD 9.000% 15/12/2017 243,705 0.07

43,000 CCO Holdings LLC Via CCO Holdings Capital Corp. USD 7.000% 15/01/2019 44,935 0.01

125,000 Citigroup. Inc.—Series M(c) USD 6.300% 29/12/2049 126,250 0.04

475,000 Citigroup, Inc.—Series O(c) USD 5.875% 29/12/2049 480,344 0.15

375,000 Comcast Corp. USD 4.650% 15/07/2042 391,200 0.12

400,000 Comstock Resources, Inc. 144A(d) USD 10.000% 15/03/2020 389,000 0.12

1,000,000 Crimson Merger Sub, Inc. 144A(d) USD 6.625% 15/05/2022 882,500 0.27

100,000 DISH DBS Corp. USD 7.125% 01/02/2016 103,500 0.03

400,000 Enterprise Products Operating LLC—Series A(c) USD 8.375% 01/08/2066 423,000 0.13

575,000 Enterprise Products Operating LLC—Series B(c) USD 7.034% 15/01/2068 622,437 0.19



536,000 First Data Corp. 144A(d) USD 7.375% 15/06/2019 558,780 0.17

689,000 First Data Corp. 144A(d) USD 8.875% 15/08/2020 729,479 0.22




312,000 Getty Images, Inc. 144A(d) USD 7.000% 15/10/2020 179,400 0.05

% of



Maturity Date(b)

USD Equity

487



As at 31 May 2015




1,000,000 Halcon Resources Corp. USD 8.875% 15/05/2021 725,000 0.22

175,000 HD Supply, Inc. USD 11.000% 15/04/2020 198,625 0.06

175,000 HD Supply, Inc. USD 11.500% 15/07/2020 205,625 0.06


1,750,000 International Lease Finance Corp. 144A(d) USD 6.750% 01/09/2016 1,853,906 0.56

400,000 JPMorgan Chase & Co.—Series Z(c) USD 5.300% 29/12/2049 402,500 0.12


350,000 Morgan Stanley—Series J(c) USD 5.550% 29/12/2049 352,625 0.11


700,000 Par Pharmaceutical, Inc. USD 7.375% 15/10/2020 753,375 0.23

700,000 PNC Preferred Funding Trust II 144A(c)(d) USD 1.493% 29/03/2049 647,500 0.20

325,000 QUALCOMM, Inc. (Semiconductors) USD 3.450% 20/05/2025 324,584 0.10

650,000 Rensselaer Polytechnic Institute USD 5.600% 01/09/2020 744,796 0.22

750,000 Sealed Air Corp. 144A(d) USD 8.375% 15/09/2021 848,437 0.26

200,000 Sprint Communications, Inc. 144A(d) USD 9.000% 15/11/2018 229,500 0.07


800,000 US Foods, Inc. USD 8.500% 30/06/2019 840,000 0.25




20,767,971 6.29

Venezuela



(cost USD 33 ,845 ,700) 33,513,223 10.14


United States







58,348,376 17.66


(cost USD 58 ,076 ,812) 58,348,376 17.66


United States



























% of



Maturity Date(b)

USD Equity

488



As at 31 May 2015










































































% of



Maturity Date(b)

USD Equity

489



As at 31 May 2015

































37,787,729 11.43


(cost USD 35 ,859 ,853) 37,787,729 11.43


Cayman Islands



300,000 Acis CLO Ltd. "2AA" 144A(c)(d) USD 0.777% 14/10/2022 296,000 0.09


250,000 Acis CLO Ltd. "C" 144A(c)(d) USD 2.828% 01/05/2026 240,089 0.07



808,995 Brentwood CLO Corp. "A1A" 144A(c)(d) USD 0.548% 01/02/2022 798,913 0.24

400,000 Covenant Credit Partners CLO I Ltd. "1A" 144A(c)(d) USD 3.195% 20/07/2026 395,366 0.12






250,000 Neuberger Berman CLO XVII Ltd. "17A" 144A(c)(d) USD 3.039% 04/08/2025 247,565 0.07






400,000 OFSI Fund VII Ltd. "7A" 144A(c)(d) USD 3.245% 18/10/2026 398,917 0.12





500,000 Sound Point CLO VI Ltd. "2A" 144A(c)(d) USD 3.205% 20/10/2026 495,717 0.15


200,000 Trinitas CLO II Ltd. "2A" 144A(c)(d) USD 3.063% 15/07/2026 196,799 0.06



700,000 Zais CLO 1 Ltd. "1A" 144A(c)(d) USD 1.753% 15/04/2026 696,837 0.21

49,995,323 15.13

% of



Maturity Date(b)

USD Equity

490



As at 31 May 2015



Ireland

893,442 Credit Suisse European Mortgage Capital Ltd. "A"(c) EUR 2.790% 20/04/2020 962,736 0.29

United Kingdom





43,969 Granite Master Issuer Plc. "4A2"(c) GBP 0.724% 17/12/2054 66,995 0.02







6,414,038 1.94

United States


400,000 BAMLL Commercial Mortgage Securities Trust "E" 144A(c)(d) USD 3.136% 15/06/2028 399,107 0.12

698,801 Bear Stearns Asset Backed Securities I Trust "A2" USD 6.000% 25/03/2037 462,407 0.14

1,689,759 Brazos Higher Education Authority, Inc. "A10"(c) USD 0.387% 26/12/2019 1,686,946 0.51

307,640 Chase Mortgage Finance Trust ‘‘2A1’’(c) USD 2.499% 25/02/2037 310,692 0.09

940,321 ChaseFlex Trust "1A2"(c) USD 0.645% 25/07/2037 567,417 0.17

200,000 Citigroup Commercial Mortgage Trust "D" 144A(c)(d) USD 3.232% 15/09/2017 200,597 0.06



303,439 CitiMortgage Alternative Loan Trust "1A1"(c) USD 6.000% 25/12/2036 280,344 0.08

300,000 COMM Mortgage Trust "F" 144A(c)(d) USD 3.680% 11/06/2027 299,755 0.09

191,972 Countrywide Home Equity Loan Trust "2A1B"(c) USD 0.305% 15/11/2036 169,982 0.05


2,830,008 Credit Suisse Commercial Mortgage Trust "A1A1"(c) USD 5.700% 15/06/2039 3,009,096 0.91

600,000 CSMC Trust "E" 144A(d) USD 4.373% 15/09/2037 572,179 0.17

845,352 Downey Savings & Loan Association Mortgage Loan Trust "A2A"(c) USD 0.966% 19/11/2044 770,389 0.23




350,000 FREMF Mortgage Trust "B" 144A(c)(d) USD 3.960% 25/11/2047 350,094 0.11

150,000 FREMF Mortgage Trust "C" 144A(c)(d) USD 4.072% 25/11/2047 149,430 0.05

1,110,738 GCO Education Loan Funding Trust "A8L"(c) USD 0.412% 25/05/2025 1,096,081 0.33



500,000 GRACE Mortgage Trust "F" 144A(c)(d) USD 3.590% 10/06/2028 488,886 0.15


400,000 GSAMP Trust "A2C"(c) USD 0.355% 25/01/2037 341,783 0.10

300,000 HILT Mortgage Trust "E" 144A(c)(d) USD 3.436% 15/07/2029 299,971 0.09

931,994 HomeBanc Mortgage Trust "A1"(c) USD 0.445% 25/01/2036 789,148 0.24

61,442 Indymac Index Mortgage Loan Trust ‘‘1A’’(c) USD 2.381% 25/08/2034 52,202 0.02


220,000 Invitation Homes Trust "E"(c) USD 3.328% 17/06/2032 222,514 0.07



Mortgage Securities Trust "A1A"(c) USD 5.811% 12/06/2043 1,519,827 0.46


Mortgage Securities Trust "D" 144A(c)(d) USD 2.782% 15/12/2028 301,123 0.09





1,026,108 Lehman XS Trust "2A2"(c) USD 1.035% 25/09/2047 851,670 0.26

274,752 Lehman XS Trust ‘‘1A1’’(c) USD 0.455% 25/02/2036 232,980 0.07

4,815 Lehman XS Trust ‘‘A4A’’(c) USD 0.375% 25/11/2046 3,899 0.00

256,824 LSTAR Securities Investment Trust "A" 144A(c) USD 2.184% 01/03/2020 257,107 0.08

467,775 LSTAR Securities Investment Trust 144A(c)(d) USD 2.180% 01/12/2021 466,453 0.14

180,119 MASTR Asset Securitization Trust "1A1" USD 4.500% 25/12/2019 182,148 0.06



545,000 Morgan Stanley Capital I Trust "F" 144A(c)(d) USD 3.560% 13/07/2029 532,092 0.16

354,080 Morgan Stanley Mortgage Loan Trust "1A" USD 5.000% 25/08/2035 361,614 0.11

203,673 Morgan Stanley Mortgage Loan Trust "2A4" USD 5.750% 25/02/2036 195,213 0.06

% of



Maturity Date(b)

USD Equity

491



As at 31 May 2015




1,255,676 Nelnet Student Loan Trust "A" 144A(c)(d) USD 0.985% 26/12/2033 1,268,921 0.38

454,588 RALI Trust "1A4" USD 6.000% 25/01/2037 394,490 0.12

300,562 RALI Trust "A1"(c) USD 1.147% 25/01/2046 218,017 0.07





727,245 Vericrest Opportunity Loan Trust (Volt) "A1" 144A(d) USD 3.125% 27/04/2054 727,668 0.22

1,152,118 Wachovia Bank Commercial Mortgage Trust "A1A"(c) USD 5.608% 15/05/2046 1,222,133 0.37

1,000,000 Washington Mutual Alternative Mortgage

Pass-Through Certificates "1A3"(c) USD 2.400% 25/09/2035 958,116 0.29

328,717 Washington Mutual Alternative Mortgage

Pass-Through Certificates ‘‘2A’’(c) USD 0.997% 25/10/2046 237,252 0.07

357,678 Washington Mutual Alternative Mortgage

Pass-Through Certificates ‘‘2A’’(c) USD 0.987% 25/11/2046 254,105 0.08

31,783,856 9.62


(cost USD 89 ,764 ,388) 89,155,953 26.98


Puerto Rico





















165,000 Puerto Rico Highways & Transportation Authority (PRHTA) USD 5.250% 01/07/2036 166,297 0.05



1,330,000 Puerto Rico Sales Tax Financing Corp. USD 10.415% 01/08/2034 187,503 0.06














6,972,775 2.11

% of



Maturity Date(b)

USD Equity

492



As at 31 May 2015



United States







760,823 0.23


(cost USD 8 ,869 ,595) 7,733,598 2.34


(cost USD 226 ,416 ,348) 226,538,879 68.55



United States

2,560,000 HSBC Bank USA NA BRL 6.000% 15/08/2040 2,210,541 0.67


(cost USD 2 ,994 ,070) 2,210,541 0.67


(cost USD 2 ,994 ,070) 2,210,541 0.67


Canada


Luxembourg


450,000 Onex Wizard Acquisition Co. EUR 4.250% 13/03/2022 501,205 0.15

571,080 0.17

United Kingdom


United States


200,000 American Energy – Marcellus LLC USD 5.250% 04/08/2020 154,666 0.05

798,561 BMC Software Finance, Inc. USD 4.000% 10/09/2020 786,247 0.24


625,000 Chemours Co. USD 3.750% 22/05/2022 626,953 0.19

50,000 EP ENERGY LLC USD 2.750% 24/05/2018 49,758 0.02


591,962 Getty Images, Inc. USD 4.750% 18/10/2019 489,923 0.15

149,242 HCA, Inc. USD 2.646% 02/02/2016 149,280 0.05

96,970 HCA, Inc. USD 2.646% 02/05/2016 97,013 0.03

139,079 HCA, Inc. USD 2.935% 31/03/2017 139,244 0.04




650,000 Murray Energy Corp. USD 6.500% 19/03/2021 633,142 0.19

74,618 Sabre, Inc. USD 4.000% 19/02/2019 74,834 0.02


174,121 Sedgwick Claims Management Services, Inc. USD 3.750% 01/03/2021 172,553 0.05

74,620 Seminole Hard Rock Entertainment, Inc. USD 3.500% 14/05/2020 74,574 0.02



114,624 True Religion Apparel, Inc. USD 5.875% 30/07/2019 102,875 0.03


994,937 US Foods, Inc. USD 4.500% 29/03/2019 999,200 0.30


224,178 WMG Acquisition Corp. USD 3.750% 01/07/2020 222,754 0.07

6,927,240 2.10

TOTAL BANK LOANS

(cost USD 7 ,858 ,400) 7,846,155 2.38

% of



Maturity Date(b)

USD Equity

493



As at 31 May 2015



United States




21,788,993 6.59

TOTAL TIME DEPOSITS

(cost USD 21 ,788 ,993) 21,788,993 6.59


(cost USD 374 ,344 ,243) 369,903,302 111.95





CAD


EUR





149,230,919 1,136,264 0.34

USD






EUR

(1) German Federal Republic Bonds 2YR Futures 08/06/2015 Short (122,259) (38) (0.00)

GBP

(1) UK Long Gilt Bond Futures 28/09/2015 Short (180,049) (1,621) (0.00)

USD





(101,796,570) (200,668) (0.06)



Unrealised % of



USD 6,688,698 BRL 20,307,610 02/06/2015 282,613 0.09

USD 112,933 MXN 1,711,504 04/06/2015 1,246 0.00

USD 830,000 INR 52,912,500 05/06/2015 1,393 0.00

USD 827,000 MYR 2,952,390 05/06/2015 22,089 0.01

USD 831,000 MYR 3,007,065 08/06/2015 11,623 0.00

USD 773,383 JPY 92,176,261 09/06/2015 29,216 0.01

INR 134,643,286 USD 2,102,011 11/06/2015 6,166 0.00

USD 1,648,014 KRW 1,780,662,115 11/06/2015 48,165 0.01

USD 1,667,000 TWD 51,257,916 11/06/2015 2,042 0.00

MXN 19,101,470 USD 1,241,694 12/06/2015 4,062 0.00

USD 2,627,415 MYR 9,404,275 12/06/2015 65,580 0.02

ZAR 5,514,075 USD 448,466 12/06/2015 5,361 0.00

USD 829,000 CLP 499,953,320 15/06/2015 16,241 0.01

USD 1,567,448 KRW 1,721,136,525 15/06/2015 21,275 0.01

% of



Maturity Date(b)

USD Equity

494



As at 31 May 2015



Unrealised % of



USD 1,609,000 TWD 49,494,932 15/06/2015 921 0.00

USD 497,400 COP 1,184,369,088 16/06/2015 29,539 0.01

AUD 1,193,564 EUR 827,000 17/06/2015 3,381 0.00

CAD 23,096,768 USD 18,406,067 17/06/2015 90,602 0.03

CNH 48,367,213 USD 7,776,644 17/06/2015 13,653 0.00

EUR 1,661,000 AUD 2,378,572 17/06/2015 7,480 0.00

EUR 6,048,000 GBP 4,340,486 17/06/2015 15,708 0.01

EUR 3,920,000 PLN 15,920,791 17/06/2015 67,333 0.02

EUR 5,000,904 SEK 46,039,650 17/06/2015 78,854 0.02

EUR 43,948,238 USD 47,661,518 17/06/2015 670,917 0.20

GBP 3,072,701 EUR 4,257,000 17/06/2015 15,800 0.01

MXN 345,722,214 USD 22,460,942 17/06/2015 77,855 0.02

SEK 9,967,693 NZD 1,564,446 17/06/2015 59,670 0.02

SGD 5,865,123 USD 4,336,580 17/06/2015 11,863 0.00

TRY 30,837,990 USD 11,527,187 17/06/2015 56,295 0.02

USD 18,275,813 AUD 23,840,014 17/06/2015 42,105 0.01

USD 28,232,270 JPY 3,411,460,879 17/06/2015 686,774 0.21

USD 8,812,751 MXN 134,932,614 17/06/2015 16,039 0.01

USD 14,913,903 NZD 20,172,083 17/06/2015 550,241 0.17

USD 838,029 PLN 3,134,996 18/06/2015 2,413 0.00

USD 829,000 CLP 497,396,187 19/06/2015 20,731 0.01

USD 695,902 MYR 2,527,030 19/06/2015 7,646 0.00

USD 445,269 COP 1,098,144,289 22/06/2015 11,753 0.00

USD 802,000 TWD 24,482,494 22/06/2015 6,235 0.00

USD 3,666,585 CAD 4,436,000 25/06/2015 114,514 0.04

USD 782,118 CHF 722,012 25/06/2015 10,075 0.00

USD 365,841 MXN 5,496,031 25/06/2015 7,751 0.00

USD 851,222 MYR 3,057,054 26/06/2015 18,776 0.01

USD 800,610 NOK 6,061,167 26/06/2015 21,221 0.01

USD 4,889,756 SEK 40,495,000 26/06/2015 120,839 0.04

USD 1,614,000 RUB 85,246,279 29/06/2015 7,692 0.00

INR 51,013,757 USD 792,755 30/06/2015 3,367 0.00

USD 1,339,021 KRW 1,480,864,000 30/06/2015 9,319 0.00

BRL 5,363,296 USD 1,669,197 02/07/2015 4,845 0.00

USD 2,059,254 BRL 6,517,744 02/07/2015 24,875 0.01

USD 3,318,678 NZD 4,572,000 13/07/2015 70,957 0.02

USD 22,851,001 GBP 14,855,000 15/07/2015 145,476 0.04

USD 2,053,145 MXN 31,529,956 23/07/2015 2,959 0.00

USD 582,631 MXN 8,924,976 20/08/2015 3,423 0.00


Unrealised % of



BRL 20,307,610 USD 6,580,735 02/06/2015 (174,650) (0.05)

INR 255,218,438 USD 4,019,679 05/06/2015 (22,970) (0.01)

INR 149,781,137 USD 2,349,140 08/06/2015 (3,239) (0.00)

USD 2,256,000 INR 144,331,210 08/06/2015 (4,543) (0.00)

JPY 152,233,253 USD 1,276,542 09/06/2015 (47,517) (0.01)

KRW 365,216,481 USD 333,793 11/06/2015 (5,662) (0.00)

USD 1,678,000 INR 108,553,078 11/06/2015 (21,669) (0.01)

USD 871,214 MXN 13,623,177 11/06/2015 (17,326) (0.01)

USD 5,466,096 MXN 84,625,000 12/06/2015 (52,958) (0.02)

EUR 8,688,559 USD 9,696,178 15/06/2015 (141,121) (0.04)

INR 53,773,540 USD 843,771 15/06/2015 (2,397) (0.00)

KRW 1,814,258,820 USD 1,661,571 15/06/2015 (31,742) (0.01)

TWD 5,273,876 USD 173,551 15/06/2015 (2,204) (0.00)

USD 55,475,284 EUR 50,616,470 15/06/2015 (189,097) (0.06)

USD 831,000 INR 53,474,850 15/06/2015 (5,701) (0.00)

AUD 21,653,000 USD 16,601,060 17/06/2015 (40,059) (0.01)

CAD 1,993,643 CHF 1,553,785 17/06/2015 (64,376) (0.02)

EUR 3,343,000 NOK 29,088,237 17/06/2015 (64,808) (0.02)

GBP 4,563,193 USD 6,976,572 17/06/2015 (474) (0.00)

HUF 1,675,509,921 EUR 5,513,331 17/06/2015 (107,321) (0.03)

JPY 3,323,818,779 USD 27,604,103 17/06/2015 (766,265) (0.23)

NOK 26,101,003 EUR 3,100,867 17/06/2015 (53,118) (0.02)

NZD 17,602,000 USD 13,042,130 17/06/2015 (508,512) (0.15)

PLN 28,717,201 EUR 7,007,205 17/06/2015 (51,603) (0.02)

SEK 47,043,059 EUR 5,119,478 17/06/2015 (91,110) (0.03)

USD 20,678,000 CAD 25,933,267 17/06/2015 (90,233) (0.03)

USD 14,177,028 CNH 89,394,242 17/06/2015 (221,315) (0.07)

495



As at 31 May 2015



Unrealised % of



USD 57,950,745 EUR 53,191,127 17/06/2015 (546,632) (0.17)

USD 5,876,732 GBP 3,858,305 17/06/2015 (21,751) (0.01)

USD 9,283,183 SGD 12,731,301 17/06/2015 (155,892) (0.05)

USD 11,622,575 TRY 31,018,232 17/06/2015 (28,610) (0.01)

USD 8,462,147 ZAR 104,232,853 17/06/2015 (109,425) (0.03)

ZAR 95,157,935 USD 7,929,833 17/06/2015 (104,535) (0.03)

PLN 3,935,000 USD 1,055,697 18/06/2015 (6,845) (0.00)

USD 800,669 MXN 12,407,165 18/06/2015 (8,136) (0.00)

CLP 1,091,169,594 USD 1,779,178 19/06/2015 (6,027) (0.00)

MYR 5,928,527 USD 1,658,000 19/06/2015 (43,321) (0.01)

COP 1,406,349,672 USD 560,538 22/06/2015 (5,352) (0.00)

CAD 4,952,078 USD 4,093,151 25/06/2015 (127,836) (0.04)

CHF 622,000 USD 673,780 25/06/2015 (8,679) (0.00)

MYR 2,897,490 USD 802,000 26/06/2015 (13,004) (0.00)

NOK 7,639,000 USD 1,009,024 26/06/2015 (26,745) (0.01)

SEK 35,468,000 USD 4,282,747 26/06/2015 (105,838) (0.03)

USD 798,000 CLP 493,084,200 30/06/2015 (2,354) (0.00)

USD 816,000 INR 52,403,520 01/07/2015 (1,669) (0.00)

USD 542,315 MXN 8,356,907 02/07/2015 (1,889) (0.00)

NZD 4,715,851 USD 3,424,896 13/07/2015 (74,991) (0.02)

GBP 8,573,000 USD 13,187,589 15/07/2015 (83,956) (0.03)

USD 1,232,833 MXN 19,011,399 06/08/2015 (2,138) (0.00)

USD 323,504 MXN 5,000,723 27/08/2015 (875) (0.00)

USD 539,480 MXN 8,364,366 01/10/2015 (1,723) (0.00)



Unrealised % of



EUR 117,807,062 USD 128,163,338 15/06/2015 1,392,461 0.42

USD 26,445,475 EUR 23,579,531 15/06/2015 514,390 0.16


Unrealised % of



JPY 1,470,617,217 USD 12,352,078 09/06/2015 (479,345) (0.15)

GBP 117,051,696 USD 180,101,419 15/07/2015 (1,190,605) (0.36)



Unrealised % of



Purchased Options

USD












496



As at 31 May 2015


Purchased Options – (continued)

Unrealised % of



Purchased Options – (continued)

USD












(591,346) 1,670,981 0.51


(cost USD 2 ,262 ,327) 1,670,981 0.51





Interest Rate Swaps


5,680,000 Floating (BRL 1 month BCSWA) Fixed 12.398% BRL 02/01/2017 2,524 0.00
































2,160,000 Fixed 3.785% Floating (MYR 3 month LIBOR) MYR 24/09/2018 500 0.00




1,670,000 Floating (MYR 1 month LIBOR) Fixed 4.850% MYR 12/12/2024 964 0.00


103,710,000 Floating (NOK 6 month LIBOR) Fixed 1.000% NOK 01/07/2017 10,288 0.00


1,380,000 Floating (NZD 3 month NZDBB) Fixed 3.750% NZD 17/06/2025 839 0.00






497



As at 31 May 2015















Total Return Swaps
















Interest Rate Swaps






























7,390,000 Floating (MXN 1 month TIIE) Fixed 7.265% MXN 16/08/2024 (412) (0.00)


12,150,000 Floating (MXN 1 month TIIE) Fixed 7.280% MXN 03/10/2024 (938) (0.00)


1,480,000 Fixed 3.830% Floating (MYR 3 month LIBOR) MYR 17/09/2018 (274) (0.00)





498



As at 31 May 2015


































































499



As at 31 May 2015






Total Return Swaps

281,632 Floating (MBX.FN30.650.67 Index) Fixed 6.500% USD 12/01/2038 (176) (0.00)

727,609 Fixed 4.500% Floating (MBX.GII30.450.10 Index) USD 12/01/2041 (1,347) (0.00)

778,014 Floating (MBX.FN30.650.67 Index) Fixed 4.000% USD 12/01/2044 (2,902) (0.00)


778,014 Floating (MBX.FN30.650.67 Index) Fixed 4.000% USD 12/01/2044 (8,785) (0.00)




(cost USD 376 ,606 ,570) 371,686,930 112.49



% of















Rates disclosed for Corporate Bonds, Government Bonds, Preferred Stocks, Agencies and Non-Agencies Asset Backed Obligations and Bank Loans are those that were in effect at

at 31 May 2015.



AG, HSBC Bank Plc., JP Morgan Chase Bank NA London, Merrill Lynch International, Morgan Stanley And Co. International, Royal Bank of Canada, Royal Bank of Scotland Plc.,


The counterparties for swap contracts were Bank of America NA, Barclays Bank Plc., Citibank NA, Credit Suisse International, Deutsche Bank AG Frankfurt, JP Morgan Chase Bank

NA, JP Morgan Chase Bank NA London, Morgan Stanley And Co. International and Royal Bank of Scotland Plc.

The counterparties for options were Citibank NA, Deutsche Bank AG Frankfurt, JP Morgan Chase Bank NA London, Morgan Stanley and Co. International.












500



As at 31 May 2015

Goldman Sachs Funds—Custom Emerging Markets Debt Blend Portfolio




170,000 PCCW-HKT Capital No 3 Ltd. USD 5.250% 20/07/2015 661,100 0.18

Chile

270,000 Corpbanca S.A. USD 3.875% 22/09/2019 1,060,519 0.29

240,000 E.CL S.A. USD 4.500% 29/01/2025 963,580 0.27

750,000 Empresa Electrica Angamos S.A. USD 4.875% 25/05/2029 2,905,252 0.80


9,152,851 2.53

Colombia

260,000 Bancolombia S.A. USD 5.950% 03/06/2021 1,114,943 0.31

Hong Kong

710,000 CITIC Ltd. USD 6.800% 17/01/2023 3,227,988 0.89

Kazakhstan

320,000 KazMunayGas National Co. JSC USD 5.750% 30/04/2043 1,030,748 0.28

Luxembourg

200,000 Tupy Overseas S.A. USD 6.625% 17/07/2024 766,220 0.21

Mexico

200,000 Gruma SAB de CV USD 4.875% 01/12/2024 816,064 0.22

2,815,800 Petroleos Mexicanos—Series 14-2 MXN 7.470% 12/11/2026 682,025 0.19

1,498,089 0.41

Netherlands

200,000 Greenko Dutch BV USD 8.000% 01/08/2019 741,767 0.20

Peru

540,000 Abengoa Transmision Sur S.A. USD 6.875% 30/04/2043 2,350,903 0.65


362,000 Ruwais Power Co. PJSC USD 6.000% 31/08/2036 1,653,024 0.46

United States

831,397 Brazil Loan Trust 1 USD 5.477% 24/07/2023 3,209,298 0.89


(cost ILS 25 ,170 ,335) 25,406,931 7.01


Azerbaijan

650,000 Republic of Azerbaijan International Bond USD 4.750% 18/03/2024 2,597,120 0.72

Brazil


969,000 Brazil Notas do Tesouro Nacional—Series B BRL 6.000% 15/08/2050 3,248,881 0.90


746,000 Brazil Notas do Tesouro Nacional—Series F BRL 10.000% 01/01/2021 865,606 0.24




34,955,871 9.64

Bulgaria



1,162,104 0.32

Chile

390,000 Chile Government International Bond USD 3.625% 30/10/2042 1,420,555 0.39

% of



Maturity Date(b)

ILS Equity

501



As at 31 May 2015



Colombia

620,000 Colombia Government International Bond USD 5.625% 26/02/2044 2,579,222 0.71


5,150,000,000 Colombian TES—Series B COP 7.000% 04/05/2022 8,051,968 2.22

1,139,700,000 Colombian TES—Series B COP 10.000% 24/07/2024 2,098,109 0.58

964,300,000 Colombian TES—Series B COP 7.750% 18/09/2030 1,489,219 0.41

15,133,339 4.17

Costa Rica

360,000 Costa Rica Government International Bond USD 7.158% 12/03/2045 1,386,162 0.38

Croatia

230,000 Croatia Government International Bond EUR 3.875% 30/05/2022 1,002,847 0.28

430,000 Croatia Government International Bond USD 6.000% 26/01/2024 1,797,135 0.49

2,799,982 0.77

Dominican Republic

510,000 Dominican Republic International Bond USD 6.850% 27/01/2045 2,032,806 0.56

Indonesia


320,000 Indonesia Government International Bond USD 6.750% 15/01/2044 1,504,578 0.42


570,000 Perusahaan Penerbit SBSN Indonesia III USD 4.325% 28/05/2025 2,201,375 0.61

12,639,628 3.49

Latvia

860,000 Latvia Government International Bond USD 5.250% 22/02/2017 3,556,830 0.98

Lithuania


Mexico










207,904,300 Mexico Cetes MXN 3.333% 23/07/2015 5,219,513 1.44

187,772,400 Mexico Cetes MXN 3.095% 30/07/2015 4,715,271 1.30

135,000,000 Mexico Cetes MXN 3.126% 13/08/2015 3,388,542 0.93

363,735,500 Mexico Cetes MXN 3.139% 20/08/2015 9,116,554 2.52

900,000 Mexico Government International Bond USD 4.000% 02/10/2023 3,622,133 1.00




100,000 Mexico Government International Bond EUR 4.000% 15/03/2115 401,614 0.11

65,101,738 17.96

Panama

920,000 Panama Government International Bond USD 8.875% 30/09/2027 5,144,512 1.42


5,853,653 1.62

Peru


210,000 Peruvian Government International Bond USD 5.625% 18/11/2050 954,873 0.26

1,674,463 0.46

% of



Maturity Date(b)

ILS Equity

502



As at 31 May 2015



Poland





14,868,947 4.10

Romania


Russia



787,390 0.22

Serbia & Montenegro

170,000 Montenegro Government International Bond EUR 3.875% 18/03/2020 695,800 0.19

Slovenia

270,000 Slovenia Government Bond EUR 1.500% 25/03/2035 986,917 0.27

South Africa





8,690,000 South Africa Government Bond—Series R186 ZAR 10.500% 21/12/2026 3,250,110 0.90


14,817,514 4.09

Sri Lanka

370,000 Sri Lanka Government International Bond USD 6.250% 27/07/2021 1,455,093 0.40

Thailand




16,152,147 4.46

Turkey








41,743,155 11.52

Uruguay

560,000 Uruguay Government International Bond USD 5.100% 18/06/2050 2,186,050 0.60

United States

400,000 United States Treasury Note/Bond USD 3.000% 15/11/2044 1,578,987 0.44


(cost ILS 269 ,578 ,485) 253,163,946 69.84


Ireland


TOTAL MUTUAL FUNDS

(cost ILS 8 ,978 ,523) 8,953,603 2.47


(cost ILS 303 ,727 ,343) 287,524,480 79.32

% of



Maturity Date(b)

ILS Equity

503



As at 31 May 2015




Chile

410,000 AES Gener S.A. USD 5.250% 15/08/2021 1,701,648 0.47

280,000 Banco del Estado de Chile USD 3.875% 08/02/2022 1,120,113 0.31

2,821,761 0.78

Colombia


Malaysia

200,000 Petronas Capital Ltd. USD 4.500% 18/03/2045 786,538 0.22

Mexico


200,000 Trust F/1401 USD 6.950% 30/01/2044 866,835 0.24

1,408,898 0.39

Peru



1,027,471 0.28


(cost ILS 6 ,438 ,901) 6,499,611 1.79


United States






30,359,789 8.37


(cost ILS 31 ,117 ,406) 30,359,789 8.37


Puerto Rico

360,000 Commonwealth of Puerto Rico "A" USD 8.000% 01/07/2035 1,171,983 0.32








4,646,887 1.28


(cost ILS 5 ,079 ,884) 4,646,887 1.28


(cost ILS 42 ,636 ,191) 41,506,287 11.44

% of



Maturity Date(b)

ILS Equity

504



As at 31 May 2015




Australia


Cayman Islands



(cost ILS 6 ,073 ,388) 5,998,231 1.66


Dominican Republic


Malaysia

5,500,000 Malaysia Government Bond MYR 4.048% 30/09/2021 5,849,008 1.61

230,000 Malaysia Government Investment Issue—Series 813 MYR 4.444% 22/05/2024 248,953 0.07

6,097,961 1.68

Peru



(cost ILS 11 ,729 ,779) 11,057,590 3.05


(cost ILS 17 ,803 ,167) 17,055,821 4.71


(cost ILS 364 ,166 ,701) 346,086,588 95.47




Contracts Security Description ILS ILS Equity

EUR

(1) German Federal Republic Bonds 10YR Futures 08/06/2015 Short (660,807) 16,084 0.01

USD




27,604,039 45,833 0.01




Contracts Security Description ILS ILS Equity

EUR


USD



% of



Maturity Date(b)

ILS Equity

505



As at 31 May 2015



Unrealised % of


Currency Bought Currency Sold Date ILS Equity

USD 2,623,141 BRL 7,819,976 02/06/2015 604,889 0.17

USD 75,256 MXN 1,140,512 04/06/2015 3,213 0.00

USD 250,000 INR 15,937,500 05/06/2015 1,623 0.00

USD 252,000 MYR 899,640 05/06/2015 26,047 0.01

INR 31,907,358 USD 498,630 11/06/2015 3,711 0.00

USD 490,879 KRW 530,389,920 11/06/2015 55,519 0.01

USD 498,000 TWD 15,312,803 11/06/2015 2,360 0.00

USD 248,000 CLP 149,563,840 15/06/2015 18,801 0.01

USD 495,406 KRW 543,980,450 15/06/2015 26,021 0.01

USD 497,000 TWD 15,288,366 15/06/2015 1,101 0.00

USD 150,000 COP 357,168,000 16/06/2015 34,473 0.01

CNH 12,937,727 USD 2,078,491 17/06/2015 20,636 0.01

EUR 1,125,000 PLN 4,568,734 17/06/2015 75,162 0.02

EUR 3,153,000 USD 3,377,189 17/06/2015 349,629 0.10

HUF 78,254,282 USD 275,534 17/06/2015 10,218 0.00

ILS 196,196,144 USD 48,929,540 17/06/2015 6,849,352 1.89

PLN 17,298,704 USD 4,573,108 17/06/2015 146,651 0.04

RON 5,142,681 USD 1,263,050 17/06/2015 39,066 0.01

SGD 1,312,889 USD 972,000 17/06/2015 5,359 0.00

TRY 7,728,106 USD 2,886,524 17/06/2015 66,420 0.02

USD 712,886 JPY 86,230,000 17/06/2015 64,358 0.02

USD 2,501,155 PLN 9,240,144 17/06/2015 147,734 0.04

USD 251,000 CLP 150,598,845 19/06/2015 24,290 0.01

USD 246,035 MYR 893,575 19/06/2015 10,306 0.00

USD 551,154 COP 1,375,669,243 22/06/2015 31,266 0.01

USD 249,000 TWD 7,601,173 22/06/2015 7,491 0.00

USD 250,300 MYR 898,919 26/06/2015 21,365 0.01

USD 1,187,491 THB 38,975,962 26/06/2015 115,580 0.03

USD 493,000 RUB 26,054,647 29/06/2015 7,931 0.00

INR 15,770,191 USD 245,069 30/06/2015 4,028 0.00

USD 481,254 KRW 532,232,750 30/06/2015 12,960 0.00

CLP 38,130,777 USD 60,858 17/07/2015 3,614 0.00

COP 2,141,407,256 USD 830,325 17/07/2015 49,963 0.01

USD 1,962,863 RUB 104,029,565 17/07/2015 59,207 0.02

USD 2,563,392 MXN 39,277,576 23/07/2015 36,485 0.01

USD 119,874 PEN 380,301 24/07/2015 1,506 0.00

USD 432,568 THB 14,100,645 24/07/2015 54,602 0.01

USD 2,361,793 MXN 36,092,917 20/08/2015 75,262 0.02


Unrealised % of



BRL 7,819,976 USD 2,518,755 02/06/2015 (200,937) (0.06)

INR 58,089,071 USD 915,465 05/06/2015 (22,417) (0.01)

INR 60,740,299 USD 952,640 08/06/2015 (5,083) (0.00)

USD 499,000 INR 31,924,323 08/06/2015 (3,888) (0.00)

KRW 214,891,068 USD 196,402 11/06/2015 (12,892) (0.00)

USD 548,000 INR 35,449,260 11/06/2015 (27,269) (0.01)

MYR 3,857,965 USD 1,072,149 12/06/2015 (82,017) (0.02)

INR 15,857,120 USD 248,766 15/06/2015 (2,538) (0.00)

KRW 546,078,936 USD 500,121 15/06/2015 (36,972) (0.01)

USD 250,000 INR 16,087,500 15/06/2015 (6,637) (0.00)

HUF 512,483,944 EUR 1,686,012 17/06/2015 (125,598) (0.04)

JPY 61,090,837 USD 493,898 17/06/2015 (2,425) (0.00)

MXN 146,543,046 USD 9,557,772 17/06/2015 (16,009) (0.01)

PLN 8,239,249 EUR 2,010,811 17/06/2015 (58,889) (0.02)

USD 3,345,000 CNH 21,128,388 17/06/2015 (224,671) (0.06)

USD 5,925,637 EUR 5,505,021 17/06/2015 (497,478) (0.14)

USD 275,778 HUF 77,962,889 17/06/2015 (5,265) (0.00)

USD 2,874,000 ILS 11,427,886 17/06/2015 (306,125) (0.08)

USD 6,482,675 MXN 99,910,010 17/06/2015 (119,171) (0.03)

USD 2,397,532 SGD 3,296,906 17/06/2015 (181,173) (0.05)

USD 4,975,155 TRY 13,309,349 17/06/2015 (98,982) (0.03)

USD 3,347,357 ZAR 40,929,274 17/06/2015 (71,420) (0.02)

ZAR 62,226,286 USD 5,176,957 17/06/2015 (231,369) (0.06)

CLP 304,152,542 USD 495,928 19/06/2015 (6,502) (0.00)

506



As at 31 May 2015



Unrealised % of



MYR 1,795,006 USD 502,000 19/06/2015 (50,757) (0.01)

COP 442,086,273 USD 176,168 22/06/2015 (6,366) (0.00)

MYR 4,267,465 USD 1,178,655 26/06/2015 (64,275) (0.02)

THB 38,165,033 USD 1,139,033 26/06/2015 (21,264) (0.01)

USD 247,000 CLP 152,621,300 30/06/2015 (2,819) (0.00)

USD 246,000 INR 15,798,120 01/07/2015 (1,947) (0.00)

USD 506,095 BRL 1,626,133 02/07/2015 (5,685) (0.00)

RUB 92,738,000 USD 1,770,823 17/07/2015 (134,087) (0.04)

MYR 3,309,942 USD 903,541 24/07/2015 (14,902) (0.00)

PEN 592,073 USD 186,862 24/07/2015 (3,256) (0.00)

PHP 8,536,701 USD 192,290 24/07/2015 (4,353) (0.00)



(cost ILS 364 ,166 ,701) 352,499,595 97.24



% of


TOTAL INVESTMENTS ILS Equity

Total Investments excluding derivatives (cost ILS 364,166,701) 346,086,588 95.47









The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., Citibank NA London, Credit Suisse International, Deutsche Bank AG, HSBC Bank

Plc., JP Morgan Chase Bank NA London, Merril Lynch International, Morgan Stanley and Co. International, Standard Chartered Bank, State Street Bank & Trust, UBS AG London

and Westpac Banking Corp.







507



As at 31 May 2015

Goldman Sachs Funds—Global Corporate Portfolio (Hedged)



Australia



2,650,000 Aurizon Network Pty Ltd. EUR 2.000% 18/09/2024 22,827,543 0.19

700,000 Scentre Group Trust 1 EUR 1.500% 16/07/2020 6,149,735 0.05

12,800,000 SGSP Australia Assets Pty Ltd. USD 3.300% 09/04/2023 97,013,813 0.79

4,450,000 Transurban Finance Co., Pty Ltd. EUR 2.000% 28/08/2025 38,531,161 0.31

251,071,942 2.04

Belgium

300,000 Anheuser-Busch InBev NV EUR 8.625% 30/01/2017 2,918,026 0.02

Bermuda

3,551,000 Endurance Specialty Holdings Ltd. USD 6.150% 15/10/2015 28,129,392 0.23

1,232,000 Weatherford International Ltd USD 5.125% 15/09/2020 9,812,142 0.08


56,426,843 0.46


220,000 Talent Yield Investments Ltd. USD 4.500% 25/04/2022 1,803,785 0.02

Cayman Islands

2,900,000 Principal Financial Global Funding II LLC EUR 4.500% 26/01/2017 26,382,457 0.22

3,300,000 Sun Hung Kai Properties Capital Market Ltd. USD 4.500% 14/02/2022 27,598,938 0.22



2,350,000 Yorkshire Power Finance Ltd. GBP 7.250% 04/08/2028 38,647,124 0.31

114,526,600 0.93

Chile

280,000 ENTEL Chile S.A. USD 4.875% 30/10/2024 2,224,995 0.02

Denmark

1,800,000 TDC A/S GBP 5.625% 23/02/2023 24,779,153 0.20

3,150,000 TDC A/S EUR 1.750% 27/02/2027 26,086,760 0.21

50,865,913 0.41

France




500,000 BPCE S.A. EUR 2.000% 24/04/2018 4,473,634 0.04

7,300,000 BPCE S.A. EUR 0.750% 22/01/2020 62,511,137 0.51

7,000,000 BPCE S.A. EUR 2.125% 17/03/2021 63,985,719 0.52


350,000 Electricite de France S.A. EUR 4.000% 12/11/2025 3,740,742 0.03

2,800,000 Gecina S.A. EUR 4.250% 03/02/2016 24,567,526 0.20

1,500,000 Klepierre EUR 2.750% 17/09/2019 13,948,675 0.11

2,500,000 Klepierre EUR 1.000% 17/04/2023 20,955,006 0.17

450,000 Orange S.A. USD 5.375% 13/01/2042 3,793,314 0.03

4,950,000 Orange S.A. USD 5.500% 06/02/2044 42,746,902 0.35

3,200,000 Pernod Ricard S.A. EUR 5.000% 15/03/2017 29,583,645 0.24

402,038,889 3.26

Hong Kong

2,240,000 CITIC Ltd. USD 6.375% 10/04/2020 19,798,080 0.16

380,000 CITIC Ltd. USD 6.800% 17/01/2023 3,468,520 0.03

23,266,600 0.19

Indonesia

220,000 Perusahaan Penerbit SBSN Indonesia USD 4.000% 21/11/2018 1,790,954 0.01

Ireland

2,750,000 FCA Capital Ireland Plc. EUR 1.375% 17/04/2020 23,273,022 0.19

% of



Maturity Date(b)

NOK Equity

508



As at 31 May 2015



Italy

4,600,000 2i Rete Gas SpA EUR 1.125% 02/01/2020 39,430,438 0.32

5,300,000 CDP Reti SpA EUR 1.875% 29/05/2022 45,513,330 0.37

3,650,000 Enel SpA GBP 5.750% 22/06/2037 52,383,390 0.43


1,000,000 UniCredit SpA EUR 2.250% 16/12/2016 8,749,464 0.07

157,540,616 1.28

Japan

6,800,000 Bank of Tokyo-Mitsubishi UFJ Ltd. 144A(c) USD 1.700% 05/03/2018 52,942,456 0.43

5,850,000 Sumitomo Mitsui Banking Corp. EUR 2.250% 16/12/2020 53,651,942 0.43

13,850,000 Suntory Holdings Ltd. 144A(c) USD 2.550% 29/09/2019 108,517,506 0.88

215,111,904 1.74

Jersey


4,600,000 Heathrow Funding Ltd. EUR 1.500% 11/02/2030 36,818,071 0.30

52,071,725 0.42

Kazakhstan


Luxembourg

800,000 Actavis Funding SCS USD 2.450% 15/06/2019 6,231,664 0.05









192,511,194 1.56

Mexico

826,000 Petroleos Mexicanos USD 5.750% 01/03/2018 7,061,230 0.06

Netherlands

7,200,000 ABN AMRO Bank NV GBP 2.500% 18/12/2018 88,072,116 0.71

6,000,000 Citycon Treasury BV EUR 2.500% 01/10/2024 52,715,556 0.43

2,400,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA EUR 1.375% 03/02/2027 20,372,116 0.16







1,750,000 LYB International Finance BV USD 5.250% 15/07/2043 14,435,316 0.12

4,950,000 Nomura Europe Finance NV EUR 1.500% 12/05/2021 42,622,109 0.35

4,540,000 Petrobras Global Finance BV USD 4.875% 17/03/2020 34,052,019 0.28



469,097,438 3.80

Portugal

4,100,000 Brisa Concessao Rodoviaria S.A. EUR 1.875% 30/04/2025 33,540,357 0.27

Spain

400,000 Telefonica Emisiones SAU EUR 4.967% 03/02/2016 3,525,684 0.03

1,700,000 Telefonica Emisiones SAU EUR 5.811% 05/09/2017 16,255,665 0.13



41,960,986 0.34

Switzerland


% of



Maturity Date(b)

NOK Equity

509



As at 31 May 2015






200,000 Ruwais Power Co. PJSC 144A(c) USD 6.000% 31/08/2036 1,834,086 0.02

48,431,754 0.39

United Kingdom





371,000 British Telecommunications Plc. GBP 5.750% 07/12/2028 5,487,055 0.05

139,000 British Telecommunications Plc. GBP 6.375% 23/06/2037 2,256,861 0.02

3,095,000 FCE Bank Plc. EUR 1.875% 12/05/2016 26,822,124 0.22

3,400,000 FCE Bank Plc. EUR 1.134% 10/02/2022 28,687,745 0.23

1,803,000 Hammerson Plc. GBP 5.250% 15/12/2016 22,663,504 0.18



8,950,000 Lloyds Bank Plc. USD 6.375% 21/01/2021 83,181,050 0.67


4,000,000 Northern Powergrid Holdings Co. GBP 7.250% 15/12/2022 60,674,374 0.49

6,775,000 Royal Bank of Scotland Plc. EUR 5.375% 30/09/2019 69,278,593 0.56

3,750,000 WPP Finance 2013 EUR 0.430% 23/03/2018 31,934,936 0.26

622,778,254 5.05

United States

1,600,000 AbbVie, Inc. USD 3.200% 06/11/2022 12,510,666 0.10

4,600,000 AbbVie, Inc. USD 2.500% 14/05/2020 35,806,723 0.29

2,850,000 AbbVie, Inc. USD 3.600% 14/05/2025 22,355,420 0.18

4,450,000 Albemarle Corp. EUR 1.875% 08/12/2021 38,343,312 0.31

4,600,000 American International Group, Inc. USD 4.875% 01/06/2022 39,914,534 0.32

800,000 American Tower Corp. USD 4.500% 15/01/2018 6,624,876 0.05

600,000 American Tower Corp. USD 3.400% 15/02/2019 4,816,290 0.04

1,750,000 American Tower Corp. USD 5.000% 15/02/2024 14,609,294 0.12



2,949,000 Apache Corp. USD 3.250% 15/04/2022 22,991,548 0.19

1,450,000 Apache Corp. USD 4.750% 15/04/2043 10,983,610 0.09

3,005,000 Apache Corp. USD 4.250% 15/01/2044 21,306,106 0.17

5,500,000 AT&T, Inc. USD 2.450% 30/06/2020 42,347,670 0.34

6,900,000 AT&T, Inc. USD 3.000% 30/06/2022 52,860,652 0.43

4,800,000 AT&T, Inc. USD 3.400% 15/05/2025 36,303,708 0.29

700,000 AT&T, Inc. USD 4.500% 15/05/2035 5,187,121 0.04

1,050,000 AT&T, Inc. USD 5.550% 15/08/2041 8,702,568 0.07

1,000,000 AT&T, Inc. USD 4.750% 15/05/2046 7,354,218 0.06







3,050,000 Becton Dickinson and Co. USD 3.734% 15/12/2024 24,280,108 0.20

1,330,000 Berkshire Hathaway Energy Co. USD 6.125% 01/04/2036 12,437,551 0.10

550,000 Brinker International, Inc. USD 2.600% 15/05/2018 4,299,397 0.03

6,650,000 Buckeye Partners LP USD 4.150% 01/07/2023 51,288,085 0.42

3,740,000 Burlington Northern Santa Fe LLC USD 4.375% 01/09/2042 28,871,687 0.23

5,400,000 Cellco Partnership Via Verizon Wireless Capital LLC EUR 8.750% 18/12/2015 48,252,907 0.39

14,200,000 Chubb Corp. USD 5.750% 15/05/2018 123,955,945 1.00


2,500,000 Citigroup, Inc. EUR 7.375% 04/09/2019 27,287,838 0.22

1,600,000 Commonwealth Edison Co. USD 3.800% 01/10/2042 11,751,046 0.10

9,050,000 Compass Bank USD 2.750% 29/09/2019 70,710,703 0.57


250,000 CVS Health Corp. USD 3.375% 12/08/2024 1,954,669 0.02





700,000 Devon Energy Corp. USD 4.750% 15/05/2042 5,425,705 0.04

% of



Maturity Date(b)

NOK Equity

510



As at 31 May 2015




7,050,000 Eastman Chemical Co. USD 3.800% 15/03/2025 55,817,386 0.45

5,900,000 Eaton Corp. USD 4.150% 02/11/2042 45,204,792 0.37

300,000 Energy Transfer Partners LP USD 5.200% 01/02/2022 2,492,814 0.02

1,785,000 Energy Transfer Partners LP USD 3.600% 01/02/2023 13,502,592 0.11

525,000 Energy Transfer Partners LP USD 6.500% 01/02/2042 4,504,990 0.04

1,500,000 Energy Transfer Partners LP USD 5.950% 01/10/2043 12,200,393 0.10




150,000 Enterprise Products Operating LLC—Series J USD 5.750% 01/03/2035 1,279,606 0.01

2,550,000 EPR Properties USD 7.750% 15/07/2020 23,740,872 0.19







5,100,000 General Electric Co. USD 4.125% 09/10/2042 40,008,121 0.32

300,000 Halliburton Co. USD 3.500% 01/08/2023 2,397,126 0.02

11,050,000 HCP, Inc. USD 2.625% 01/02/2020 85,982,107 0.70

8,267,000 HCP, Inc. USD 5.375% 01/02/2021 71,779,313 0.58

4,100,000 HCP, Inc. USD 4.250% 15/11/2023 32,989,278 0.27

1,600,000 Hess Corp. USD 5.600% 15/02/2041 13,249,177 0.11

250,000 JPMorgan Chase & Co. USD 4.400% 22/07/2020 2,120,390 0.02


14,650,000 Kinder Morgan Energy Partners LP USD 4.150% 01/02/2024 113,633,592 0.92

2,550,000 Laboratory Corp of America Holdings USD 4.700% 01/02/2045 18,998,271 0.15

100,000 McDonald’s Corp. USD 3.625% 01/05/2043 684,578 0.01

4,450,000 Molson Coors Brewing Co. USD 5.000% 01/05/2042 34,544,445 0.28

1,100,000 Mondelez International, Inc. EUR 2.375% 06/03/2035 8,993,434 0.07

1,950,000 Monsanto Co. USD 4.200% 15/07/2034 14,448,892 0.12

5,400,000 Monsanto Co. USD 4.400% 15/07/2044 39,237,387 0.32






700,000 Morgan Stanley—Series F USD 3.875% 29/04/2024 5,605,027 0.05

5,000,000 New York Life Global Funding EUR 4.375% 19/01/2017 45,610,472 0.37

4,600,000 NIKE, Inc. USD 3.625% 01/05/2043 33,983,468 0.28

5,650,000 Oracle Corp. USD 2.950% 15/05/2025 43,184,755 0.35

4,500,000 Prologis LP EUR 1.375% 07/10/2020 38,675,310 0.31

5,400,000 Prologis LP EUR 3.000% 18/01/2022 49,927,477 0.40

5,959,000 Prologis LP EUR 3.375% 20/02/2024 56,896,763 0.46

1,100,000 Prologis LP EUR 3.000% 02/06/2026 10,210,436 0.08


9,050,000 Regions Financial Corp. USD 2.000% 15/05/2018 70,345,878 0.57

5,000,000 Roper Industries, Inc. USD 2.050% 01/10/2018 38,890,640 0.31

4,950,000 Senior Housing Properties Trust USD 3.250% 01/05/2019 39,015,358 0.32

2,150,000 Simon Property Group LP USD 6.125% 30/05/2018 18,926,919 0.15

5,250,000 Simon Property Group LP USD 4.375% 01/03/2021 45,068,325 0.37



1,250,000 Sysco Corp. USD 2.350% 02/10/2019 9,858,263 0.08

900,000 Sysco Corp. USD 3.000% 02/10/2021 7,126,818 0.06

2,650,000 Sysco Corp. USD 3.500% 02/10/2024 20,921,923 0.17

1,850,000 Sysco Corp. USD 4.350% 02/10/2034 14,529,354 0.12

4,900,000 Sysco Corp. USD 4.500% 02/10/2044 38,588,770 0.31




200,000 Time Warner Cable, Inc. USD 5.500% 01/09/2041 1,510,577 0.01

3,050,000 Travelers Cos, Inc. USD 4.600% 01/08/2043 25,723,725 0.21

7,750,000 UnitedHealth Group, Inc. USD 2.875% 15/12/2021 61,128,006 0.50





% of



Maturity Date(b)

NOK Equity

511



As at 31 May 2015






4,000,000 Walgreens Boots Alliance, Inc. EUR 2.125% 20/11/2026 34,603,647 0.28


5,389,000 Western Gas Partners LP USD 4.000% 01/07/2022 42,694,459 0.35



3,995,354,443 32.38


(cost NOK 5 ,873 ,315 ,634) 6,917,159,042 56.06


Brazil



54,398,519 0.44

Bulgaria


Chile

4,800,000 Chile Government International Bond USD 3.625% 30/10/2042 35,205,121 0.29

Colombia



158,536,978 1.29

France


Germany



2,200,000 KFW AUD 6.000% 20/08/2020 15,135,061 0.12

271,864,702 2.20

Indonesia



220,000 Indonesia Government International Bond USD 4.125% 15/01/2025 1,702,902 0.02


72,327,834 0.59

Italy



43,763,255 0.35

Mexico






109,925,738 0.89

Panama


Peru


% of



Maturity Date(b)

NOK Equity

512



As at 31 May 2015



South Africa


Spain


Turkey





168,613,783 1.37


(cost NOK 896 ,578 ,450) 1,058,676,685 8.58


3,720,000 European Investment Bank CHF 2.375% 10/07/2020 35,189,505 0.29


97,364,852 0.79


(cost NOK 66 ,027 ,493) 97,364,852 0.79


Ireland

48,060,109 Goldman Sachs Euro Liquid Reserves Fund (X Accumulation Class)(d)(e) 410,683,603 3.33

TOTAL MUTUAL FUNDS

(cost NOK 406 ,846 ,001) 410,683,603 3.33


(cost NOK 7 ,242 ,767 ,578) 8,483,884,182 68.76



Australia

4,050,000 Newcrest Finance Pty Ltd. 144A(c) USD 4.450% 15/11/2021 31,650,879 0.26

2,250,000 Newcrest Finance Pty Ltd. 144A(c) USD 4.200% 01/10/2022 16,830,962 0.13

48,481,841 0.39

Canada

5,500,000 Glencore Finance Canada Ltd. 144A(c) USD 5.800% 15/11/2016 45,275,523 0.37




226,713,759 1.84

Colombia

229,000 Transportadora de Gas Internacional S.A. ESP USD 5.700% 20/03/2022 1,897,144 0.02

1,897,144 0.02

France

5,700,000 Credit Agricole S.A. 144A(c) USD 2.125% 17/04/2018 44,893,597 0.36

800,000 Pernod Ricard S.A. 144A(c) USD 5.750% 07/04/2021 7,120,387 0.06

3,200,000 Pernod Ricard S.A. 144A(c) USD 4.450% 15/01/2022 26,890,931 0.22



247,188,909 2.00

Italy




600,000 Intesa Sanpaolo SpA USD 5.250% 12/01/2024 5,128,105 0.04

269,603,996 2.19

% of



Maturity Date(b)

NOK Equity

513



As at 31 May 2015



Mexico

1,120,000 Trust F/1401 USD 5.250% 15/12/2024 9,204,624 0.07

Netherlands

1,400,000 E.ON International Finance BV 144A(c) USD 5.800% 30/04/2018 12,088,761 0.10

555,000 Enel Finance International NV 144A(c) USD 6.250% 15/09/2017 4,753,011 0.04

10,600,000 ING Bank NV 144A(c) USD 4.000% 15/03/2016 84,306,909 0.68

101,148,681 0.82

United Kingdom

3,800,000 PPL WEM Holdings Ltd. 144A(c) USD 3.900% 01/05/2016 30,255,155 0.25

9,018,000 PPL WEM Holdings Ltd. 144A(c) USD 5.375% 01/05/2021 79,242,394 0.64

2,069,000 Sky Plc. 144A(c) USD 9.500% 15/11/2018 19,854,170 0.16

9,900,000 Standard Chartered Plc. 144A(c) USD 3.200% 12/05/2016 78,527,507 0.64

207,879,226 1.69

United States


5,100,000 Amazon.com, Inc. USD 2.600% 05/12/2019 40,308,809 0.33

5,300,000 Apple, Inc. USD 3.850% 04/05/2043 38,590,299 0.31

9,050,000 ARC Properties Operating Partnership LP USD 2.000% 06/02/2017 68,770,161 0.56

8,900,000 Blackstone Holdings Finance Co., LLC 144A(c) USD 4.750% 15/02/2023 76,024,129 0.62

6,500,000 Carlyle Holdings Finance LLC 144A(c) USD 3.875% 01/02/2023 51,891,409 0.42

8,650,000 Celgene Corp. USD 3.625% 15/05/2024 68,630,860 0.56

800,000 Columbia Pipeline Group, Inc. 144A(c) USD 2.450% 01/06/2018 6,265,104 0.05

900,000 Columbia Pipeline Group, Inc. 144A(c) USD 3.300% 01/06/2020 7,068,872 0.06

3,700,000 Comcast Corp. USD 6.400% 15/05/2038 36,926,172 0.30



2,150,000 ERAC US.A. Finance LLC 144A(c) USD 2.800% 01/11/2018 17,168,459 0.14

4,900,000 Forest Laboratories, Inc. 144A(c) USD 4.375% 01/02/2019 40,646,389 0.33

6,350,000 Forest Laboratories, Inc. 144A(c) USD 5.000% 15/12/2021 54,168,799 0.44

7,000,000 Gilead Sciences, Inc. USD 4.800% 01/04/2044 58,018,051 0.47

3,650,000 Medtronic, Inc. 144A(c) USD 3.500% 15/03/2025 29,084,921 0.23



5,860,000 Penske Truck Leasing Co. LP Via PTL Finance Corp. 144A(c) USD 2.500% 15/03/2016 45,980,529 0.37

4,400,000 Penske Truck Leasing Co. LP Via PTL Finance Corp. 144A(c) USD 3.375% 01/02/2022 33,837,929 0.27

3,250,000 Reliance Standard Life Global Funding II 144A(c) USD 2.500% 24/04/2019 25,482,607 0.21

950,000 Reliance Standard Life Global Funding II 144A(c) USD 2.500% 15/01/2020 7,415,214 0.06

700,000 SABMiller Holdings, Inc. 144A(c) USD 4.950% 15/01/2042 5,802,993 0.05

3,450,000 Santander Holdings USA, Inc. USD 3.000% 24/09/2015 26,937,917 0.22

3,150,000 Santander Holdings USA, Inc. USD 3.450% 27/08/2018 25,314,682 0.20

9,860,000 Verizon Communications, Inc. 144A(c) USD 4.522% 15/09/2048 70,975,966 0.57

103,000 Verizon Communications, Inc. 144A(c) USD 4.672% 15/03/2055 726,276 0.01

900,000 Walgreen Co. USD 3.100% 15/09/2022 6,883,655 0.06




850,000 Walgreens Boots Alliance, Inc. USD 4.500% 18/11/2034 6,506,845 0.05


3,450,000 WEA Finance LLC Via Westfield UK & Europe Finance Plc. 144A(c) USD 2.700% 17/09/2019 27,132,383 0.22

3,700,000 WEA Finance LLC Via Westfield UK & Europe Finance Plc. 144A(c) USD 3.750% 17/09/2024 29,247,620 0.24

1,157,810,426 9.38


(cost NOK 1 ,700 ,302 ,823) 2,269,928,606 18.40


United States



(cost NOK 60 ,996 ,161) 74,027,408 0.60

% of



Maturity Date(b)

NOK Equity

514



As at 31 May 2015



Cayman Islands

3,000,000 Acis CLO Ltd. "1A" 144A(c)(f) USD 1.502% 18/04/2024 22,694,481 0.18

9,500,000 Shackleton CLO Ltd. "A" 144A(c)(f) USD 1.776% 07/05/2026 73,893,883 0.60

96,588,364 0.78

Italy

1,999,688 Quadrivio Finance Srl "A1"(f) EUR 0.498% 25/07/2060 17,057,508 0.14

17,057,508 0.14

United Kingdom

10,972,603 Aire Valley Mortgages Plc. "2A1"(f) EUR 0.325% 20/09/2066 91,533,615 0.74

6,478,006 Aire Valley Mortgages Plc. "2A1" 144A(c)(f) USD 0.510% 20/09/2066 48,635,768 0.39

4,479,202 EMF-UK Plc. "A1A"(f) GBP 1.542% 13/03/2046 52,481,949 0.43

4,182,895 Eurohome UK Mortgages Plc. "A2"(f) GBP 0.754% 15/09/2044 48,118,471 0.39

1,448,032 Eurosail PRIME-UK 2007-A Plc. "A1"(f) GBP 0.962% 13/09/2045 16,369,734 0.13

256,006 Granite Mortgages Plc. "1B"(f) USD 1.255% 20/07/2043 1,991,158 0.02

123,376 Granite Mortgages Plc. "3A"(f) GBP 0.886% 20/06/2044 1,461,226 0.01

1,310,018 Paragon Mortgages No 19 Plc. "A"(f) GBP 1.417% 15/08/2041 15,560,433 0.13

5,100,000 Warwick Finance Residential

Mortgages Number One Plc. "A"(f) GBP 1.634% 21/09/2049 60,082,837 0.49

336,235,191 2.73

United States

4,739,988 Alternative Loan Trust "A5" USD 5.750% 25/07/2037 33,785,460 0.27

3,865,293 Banc of America Funding Trust "2A1"(f) USD 0.344% 20/02/2047 25,562,673 0.21

1,645,862 Banc of America Funding Trust "6A1"(f) USD 0.374% 20/10/2046 9,602,272 0.08

25,375,030 Credit Suisse Commercial Mortgage Trust "A1A" USD 5.361% 15/02/2040 206,730,006 1.67


Mortgage Securities Trust "A1A"(f) USD 5.811% 12/06/2043 85,538,587 0.69

4,565,453 Lehman XS Trust "1A2"(f) USD 0.425% 25/06/2047 24,030,749 0.19

4,153,311 Morgan Stanley Mortgage Loan Trust "2A1"(f) USD 2.904% 25/11/2037 26,983,319 0.22

111,865 NCUA Guaranteed Notes Trust "2A" USD 1.840% 07/10/2020 870,998 0.01

8,064,828 Wachovia Bank Commercial Mortgage Trust "A1A"(f) USD 5.608% 15/05/2046 66,442,766 0.54

18,320,241 Wachovia Bank Commercial Mortgage Trust "A1A" USD 5.559% 15/10/2048 148,956,175 1.21

628,503,005 5.09


(cost NOK 893 ,063 ,013) 1,078,384,068 8.74


United States

590,000 Bay Area Toll Authority USD 6.263% 01/04/2049 6,286,375 0.05

2,400,000 Los Angeles Unified School District USD 6.758% 01/07/2034 25,171,988 0.21

635,000 Metropolitan Transportation Authority USD 7.336% 15/11/2039 7,318,952 0.06

3,300,000 Metropolitan Transportation Authority USD 6.668% 15/11/2039 34,878,973 0.28

1,700,000 Regents of the University of California

Medical Center Pooled Revenue USD 6.583% 15/05/2049 17,184,109 0.14

1,125,000 State of California USD 7.500% 01/04/2034 12,630,478 0.10

3,025,000 State of California USD 7.625% 01/03/2040 35,446,778 0.29

1,850,000 State of Illinois USD 6.725% 01/04/2035 15,124,416 0.12

154,042,069 1.25


(cost NOK 87 ,087 ,922) 154,042,069 1.25


(cost NOK 2 ,741 ,449 ,919) 3,576,382,151 28.99


(cost NOK 9 ,984 ,217 ,497) 12,060,266,333 97.75

% of



Maturity Date(b)

NOK Equity

515



As at 31 May 2015





Contracts Security Description NOK NOK Equity

AUD

244 Australian Treasury Bonds 3YR Futures 15/06/2015 Long 162,423,530 67,639 0.00

CAD

111 Canadian Government Bond 10YR Futures 21/09/2015 Long 97,365,535 1,175,802 0.01

EUR





986,132,068 5,563,528 0.04

USD


462 US Treasury Notes 5YR Futures 30/09/2015 Long 429,872,969 1,795,228 0.02

552,336,083 1,970,088 0.02




Contracts Security Description NOK NOK Equity

EUR

53 Euro BTP Italian Government Bond Futures 08/06/2015 Long 61,113,786 (2,455,978) (0.02)

USD



(53,214,232) (230,232) (0.00)



Unrealised % of


Currency Bought Currency Sold Date NOK Equity

EUR 4,681,395 ZAR 61,661,476 12/06/2015 568,295 0.01

EUR 1,025,835,481 USD 1,114,237,752 15/06/2015 108,087,376 0.88

USD 53,564,000 EUR 48,080,748 15/06/2015 5,350,600 0.04

EUR 2,915,534 NOK 24,566,000 26/06/2015 372,457 0.00

EUR 1,452,247 AUD 2,037,000 13/07/2015 326,030 0.00

EUR 103,095,855 GBP 73,013,000 15/07/2015 14,207,768 0.12


Unrealised % of


Currency Bought Currency Sold Date NOK Equity

JPY 192,143,000 EUR 1,469,347 09/06/2015 (501,561) (0.01)

CAD 1,377,000 EUR 1,010,824 25/06/2015 (71,240) (0.00)

EUR 3,419,320 CHF 3,540,162 25/06/2015 (191,648) (0.00)

NOK 12,216,055,647 EUR 1,445,507,955 26/06/2015 (148,312,072) (1.20)

NZD 1,066,000 EUR 709,340 13/07/2015 (180,221) (0.00)



Unrealised % of


Holdings Security Description NOK NOK Equity

Purchased Options

USD



(cost NOK 425 ,764) 336,476 0.00

516



As at 31 May 2015





Amount Pay Receive Currency Maturity Date NOK Equity

Interest Rate Swaps


















8,070,000 Floating (GBP 6 month LIBOR) Fixed 1.750% GBP 17/06/2035 2,844,165 0.02



4,720,000 Fixed 2.000% Floating (GBP 6 month LIBOR) GBP 17/06/2045 1,051,617 0.01

2,110,940,000 Floating (JPY 6 month LIBOR) Fixed 0.250% JPY 17/06/2020 47,576 0.00




176,240,000 Floating (SEK 3 month STIBOR) Fixed 1.500% SEK 16/12/2025 1,044,078 0.01

36,750,000 Floating (USD 3 month LIBOR) Fixed 1.750% USD 17/06/2018 2,574,182 0.02



31,670,000 Floating (USD 3 month LIBOR) Fixed 2.250% USD 17/06/2035 1,046,178 0.01







UNREALISED GAIN ON CREDIT DEFAULT SWAPS 1,308,211 0.01





Interest Rate Swaps


20,720,000 Floating (CAD 3 month CDOR) Fixed 2.750% CAD 17/06/2025 (1,225,992) (0.01)























517



As at 31 May 2015
















(cost NOK 9 ,984 ,643 ,261) 12,048,053,099 97.65



% of


TOTAL INVESTMENTS NOK Equity

Total Investments excluding derivatives (cost NOK 9,984,217,497) 12,060,266,333 97.75





Market value of purchased options (cost NOK 425,764) 336,476 0.00





Rates disclosed Corporate Bonds, Government Bonds, Municipial Bonds, Supranationals and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., Credit Suisse Debt International, Deutsche Bank AG, Goldman, Sachs

International, HSBC Bank Plc., JP Morgan Chase Bank NA London, Morgan Stanley And Co. International, Royal Bank of Scotland Plc., UBS AG London and Westpac Banking

Corp.

The counterparties for swap contracts were Bank of America NA, Credit Suisse Debt Capital Markets, Morgan Stanley and Co. International and Royal Bank of Scotland Plc.








(e) The yield for this fund as at 31 May 2015 was (0.012%).

(f) Variable and floating coupon rates are those quoted as of 31 May 2015.

518



As at 31 May 2015

Goldman Sachs Funds—Global Income Builder Portfolio

% of



Maturity Date(b)

USD Equity




530,000 Proven Honour Capital Ltd. USD 4.125% 19/05/2025 536,950 0.49

France

200,000 Credit Agricole S.A. 144A(c) USD 4.375% 17/03/2025 198,860 0.18

200,000 Credit Agricole S.A. 144A(c)(d) USD 6.625% 29/09/2049 202,500 0.19

800,000 Numericable-SFR SAS USD 6.250% 15/05/2024 812,000 0.74

1,213,360 1.11

Ireland


Italy

600,000 Enel SpA 144A(c)(d) USD 8.750% 24/09/2073 718,350 0.66

Japan

300,000 SoftBank Corp. USD 4.500% 15/04/2020 309,625 0.29

Luxembourg

700,000 Aguila 3 S.A. CHF 7.875% 31/01/2018 762,697 0.70



250,000 Wind Acquisition Finance S.A. EUR 7.000% 23/04/2021 296,878 0.27

250,000 Wind Acquisition Finance S.A. USD 7.375% 23/04/2021 263,125 0.24

1,968,548 1.80

Netherlands

350,000 Carlson Wagonlit BV EUR 7.500% 15/06/2019 409,284 0.38

200,000 Grupo Isolux Corsan Finance BV EUR 6.625% 15/04/2021 188,582 0.17

275,000 ING Groep NV(d) USD 6.000% 29/12/2049 277,062 0.25

275,000 ING Groep NV(d) USD 6.500% 29/12/2049 274,312 0.25

1,149,240 1.05

Norway

550,000 DNB Bank ASA(d) USD 5.750% 29/12/2049 546,871 0.50

Spain

600,000 Banco Santander S.A.(d) USD 6.375% 29/05/2049 603,000 0.55

Sweden

450,000 Svenska Handelsbanken AB(d) USD 5.250% 29/12/2049 445,500 0.41

200,000 Swedbank AB(d) USD 5.500% 29/12/2049 202,306 0.19

647,806 0.60

Switzerland

400,000 Credit Suisse Group AG(d) USD 6.250% 29/12/2049 395,000 0.36

United Kingdom

400,000 Barclays Plc.(d) USD 6.625% 29/06/2049 399,000 0.36

200,000 Inmarsat Finance Plc. USD 4.875% 15/05/2022 199,500 0.18

400,000 Lloyds Banking Group Plc.(d) GBP 7.000% 29/12/2049 629,927 0.58

150,000 Royal Bank of Scotland Group Plc. USD 6.000% 19/12/2023 163,222 0.15


360,000 Virgin Media Secured Finance Plc. USD 5.375% 15/04/2021 379,800 0.35

2,062,000 1.89

United States


150,000 Ashland, Inc. USD 6.875% 15/05/2043 161,625 0.15

250,000 Ashtead Capital, Inc. USD 5.625% 01/10/2024 261,250 0.24


50,000 CNO Financial Group, Inc. USD 4.500% 30/05/2020 51,750 0.05


200,000 CoreLogic, Inc. USD 7.250% 01/06/2021 214,250 0.20

200,000 Frontier Communications Corp. USD 8.500% 15/04/2020 215,500 0.20

300,000 Gates Global LLC Via Gates Global Co. EUR 5.750% 15/07/2022 311,495 0.28

375,000 HCA, Inc. USD 5.000% 15/03/2024 392,344 0.36

350,000 Huntsman International LLC EUR 5.125% 15/04/2021 408,041 0.37

519



As at 31 May 2015




300,000 Infor US, Inc. EUR 5.750% 15/05/2022 340,668 0.31

150,000 Laredo Petroleum, Inc. USD 6.250% 15/03/2023 155,625 0.14






400,000 Nationstar Mortgage LLC Via Nationstar Capital Corp. USD 6.500% 01/08/2018 406,000 0.37

100,000 Nationstar Mortgage LLC Via Nationstar Capital Corp. USD 6.500% 01/07/2021 95,750 0.09

250,000 NCR Corp. USD 5.875% 15/12/2021 256,250 0.23

300,000 NRG Energy, Inc. USD 7.875% 15/05/2021 322,875 0.30

100,000 SM Energy Co. USD 5.000% 15/01/2024 98,500 0.09

300,000 Sprint Capital Corp. USD 6.875% 15/11/2028 272,250 0.25

1,000,000 Sprint Corp. USD 7.875% 15/09/2023 1,022,500 0.94

300,000 Sprint Corp. USD 7.125% 15/06/2024 291,750 0.27




300,000 VWR Funding, Inc. EUR 4.625% 15/04/2022 327,983 0.30

225,000 WMG Acquisition Corp. EUR 6.250% 15/01/2021 252,594 0.23

9,338,459 8.55


(cost USD 20 ,502 ,859) 20,078,419 18.39


United States

525,000 Post Holdings, Inc. USD 7.375% 15/02/2022 536,156 0.49


(cost USD 562 ,409) 536,156 0.49


Australia

34,772 Australia & New Zealand Banking Group Ltd.—ADR(e) (Banks) 881,470 0.81

Belgium

4,839 Anheuser-Busch InBev NV—ADR(e) (Food, Beverages & Tobacco) 590,697 0.54


1,161,981 1.07

France

16,303 Klepierre (Real Estate Investment Trust) 734,068 0.67



27,330 Total S.A. (Oil & Gas) 1,397,358 1.28

884 Unibail-Rodamco SE (Real Estate Investment Trust) 231,239 0.21

4,478,156 4.10

Mexico

291,100 Bolsa Mexicana de Valores SAB de CV (Diversified Financial Services) 521,716 0.48

Netherlands


Poland

9,037 Bank Pekao S.A. (Banks) 451,844 0.41

Spain

62,769 Banco Bilbao Vizcaya Argentaria S.A. (Banks) 627,164 0.58


1,503,861 1.38

% of



Maturity Date(b)

USD Equity

520



As at 31 May 2015


Sweden


30,726 Svenska Cellulosa AB SCA "B" (Cosmetics/Personal Care) 814,871 0.74

22,054 Volvo AB "B" (Automobile Manufacturers) 291,014 0.27

2,614,295 2.39

Switzerland

33,746 Credit Suisse Group AG (Banks) 903,186 0.83



2,960,939 2.71

United Kingdom

18,417 Admiral Group Plc. (Insurance) 423,788 0.39

179,661 Lloyds Banking Group Plc. (Banks) 242,773 0.22

11,253 Reckitt Benckiser Group Plc. (Household Products/Wares) 1,021,649 0.94


389,744 Vodafone Group Plc. (Telecommunications) 1,533,545 1.40

4,119,865 3.77

United States

20,224 Altria Group, Inc. (Food, Beverages & Tobacco) 1,042,952 0.95

9,326 Apple, Inc. (Computers) 1,224,317 1.12

78,826 Ares Capital Corp. (Investment Companies) 1,320,335 1.21

5,582 Boeing Co. (Aerospace & Defence) 789,518 0.72

48,370 Cisco Systems, Inc. (Telecommunications) 1,423,529 1.30

12,374 ConAgra Foods, Inc. (Food, Beverages & Tobacco) 477,018 0.44

12,807 Exxon Mobil Corp. (Oil & Gas) 1,089,491 1.00

22,667 FirstEnergy Corp. (Electric) 820,545 0.75

25,317 Gap, Inc. (Retail) 976,224 0.89

84,506 General Electric Co. (Miscellaneous Manufacturing) 2,318,000 2.12

16,722 General Motors Co. (Automobile Manufacturers) 610,855 0.56

6,897 Johnson & Johnson (Pharmaceuticals) 698,873 0.64


9,948 Merck & Co., Inc. (Pharmaceuticals) 596,383 0.55


50,933 New York Community Bancorp, Inc. (Diversified Financial Services) 903,551 0.83

6,378 NextEra Energy, Inc. (Electric) 651,959 0.60

10,376 Packaging Corp of America (Packaging & Containers) 723,518 0.66

5,932 PepsiCo, Inc. (Food, Beverages & Tobacco) 572,260 0.52

29,566 Pfizer, Inc. (Pharmaceuticals) 1,022,688 0.94

10,089 PG&E Corp. (Electric) 541,477 0.50

15,382 Prudential Financial, Inc. (Insurance) 1,302,394 1.19


42,944 Starwood Property Trust, Inc. (Real Estate Investment Trust) 1,029,797 0.94

41,499 Two Harbors Investment Corp. (Real Estate Investment Trust) 444,662 0.41

26,865 Verizon Communications, Inc. (Telecommunications) 1,330,086 1.22

12,342 Viacom, Inc. "B" (Media) 826,914 0.76

13,856 Wells Fargo & Co. (Banks) 776,352 0.71

9,650 Williams Cos, Inc. (Pipelines) 493,115 0.45

27,806,893 25.46

TOTAL COMMON STOCKS

(cost USD 46 ,416 ,735) 47,618,204 43.60


Germany

1,102 Volkswagen AG EUR 0.000% 271,240 0.25

United States

3,000 Capital One Financial Corp.—Series B USD 6.000% 74,460 0.07

1,940 Citigroup Capital XIII(d) USD 7.875% 50,362 0.05

3,000 DDR Corp.—Series K USD 6.250% 75,810 0.07

4,942 Exelon Corp. USD 6.500% 239,193 0.22

6,909 GMAC Capital Trust I—Series 2(d) USD 8.125% 179,358 0.16

646 Merrill Lynch Capital Trust I—Series K(d) USD 6.450% 16,537 0.02

7,636 Morgan Stanley—Series E(d) USD 7.125% 216,099 0.20

4,604 Morgan Stanley—Series I(d) USD 6.375% 120,348 0.11


% of



Maturity Date(b)

USD Equity

521



As at 31 May 2015

Preferred Stocks – (continued)


17,155 Public Storage—Series T USD 5.750% 434,708 0.40

6,000 SCE Trust III(d) USD 5.750% 165,120 0.15

16,479 Taubman Centers, Inc.—Series J USD 6.500% 430,926 0.39

8,400 Tyson Foods, Inc. USD 4.750% 436,548 0.40

4,000 Ventas Realty LP Via Ventas Capital Corp. USD 5.450% 100,240 0.09

12,000 Verizon Communications, Inc. USD 5.900% 315,600 0.29

15,487 Vornado Realty Trust—Series G USD 6.625% 396,932 0.36

3,252,241 2.98


(cost USD 3 ,398 ,264) 3,523,481 3.23

Warrants – 0.71%

Australia

179,382 Sydney Airport—Morgan Stanley Asia Products Ltd.,

exp. 04/20—Warrants(f) 780,443 0.71

TOTAL WARRANTS

(cost USD 776 ,994) 780,443 0.71


Ireland


(X Distribution Class)(g)(h) 2,014,744 1.85

TOTAL MUTUAL FUNDS

(cost USD 2 ,014 ,744) 2,014,744 1.85


(cost USD 73 ,672 ,006) 74,551,447 68.27



Bermuda

400,000 Digicel Group Ltd. USD 7.125% 01/04/2022 391,339 0.36

400,000 Seadrill Ltd. USD 6.625% 15/09/2020 320,000 0.29

711,339 0.65

Canada

275,000 Air Canada Pass Through Trust "C" 144A(c) USD 5.000% 15/03/2020 275,720 0.25

175,000 Brookfield Residential Properties, Inc.

Via Brookfield Residential US Corp. USD 6.125% 01/07/2022 177,678 0.16

50,000 Concordia Healthcare Corp. 144A(c) USD 7.000% 15/04/2023 50,500 0.05

90,000 Masonite International Corp. 144A(c) USD 5.625% 15/03/2023 93,600 0.09



150,000 MEG Energy Corp. 144A(c) USD 7.000% 31/03/2024 145,500 0.13

300,000 Valeant Pharmaceuticals International, Inc. 144A(c) USD 5.375% 15/03/2020 312,375 0.29

150,000 Valeant Pharmaceuticals International, Inc. 144A(c) USD 5.875% 15/05/2023 156,000 0.14

300,000 Videotron Ltd. USD 5.375% 15/06/2024 314,640 0.29

2,084,638 1.91

Cayman Islands

300,000 UPCB Finance IV Ltd. 144A(c) USD 5.375% 15/01/2025 300,375 0.27

180,000 UPCB Finance VI Ltd. USD 6.875% 15/01/2022 194,868 0.18

495,243 0.45

France

300,000 BPCE S.A. USD 4.625% 11/07/2024 302,606 0.28

300,000 Societe Generale S.A. 144A(c)(d) USD 6.000% 27/10/2049 287,250 0.26

589,856 0.54

Ireland

66,176 Ardagh Packaging Finance Plc. Via Ardagh Holdings USA, Inc. USD 7.000% 15/11/2020 68,162 0.06


% of



Maturity Date(b)

USD Equity

522



As at 31 May 2015


Italy

200,000 Intesa Sanpaolo SpA 114A(c) USD 5.017% 26/06/2024 200,583 0.18

Luxembourg






150,000 Mallinckrodt International Finance SA

Via Mallinckrodt CB LLC 144A(c) USD 4.875% 15/04/2020 154,313 0.14

1,467,563 1.34

Netherlands

200,000 Ziggo Bond Finance BV USD 5.875% 15/01/2025 203,750 0.19

250,000 Ziggo Bond Finance BV 144A(c) USD 5.875% 15/01/2025 254,688 0.23

458,438 0.42

United Kingdom

600,000 HSBC Holdings Plc.(d) USD 6.375% 29/03/2049 618,750 0.57

United States


100,000 AECOM Technology Corp. USD 5.750% 15/10/2022 103,922 0.10

150,000 Ahern Rentals, Inc. 144A(c) USD 7.375% 15/05/2023 151,313 0.14

250,000 Alcatel-Lucent USA, Inc. 144A(c) USD 6.750% 15/11/2020 266,250 0.24


350,000 Amsurg Corp. USD 5.625% 15/07/2022 359,625 0.33

325,000 Antero Resources Corp. 144A(c) USD 5.625% 01/06/2023 334,750 0.31

225,000 Bank of America Corp.—Series AA(d) USD 6.100% 29/12/2049 228,656 0.21

125,000 Bank of America Corp.—Series V(d) USD 5.125% 29/12/2049 124,063 0.11

375,000 Bank of America Corp.—Series X(d) USD 6.250% 29/09/2049 383,906 0.35


375,000 BI-LO LLC Via BI-LO Finance Corp. USD 8.625% 15/09/2018 357,656 0.33


250,000 BMC Software Finance, Inc. 144A(c) USD 8.125% 15/07/2021 226,875 0.21

300,000 BWAY Holdings Co. USD 9.125% 15/08/2021 311,250 0.29

50,000 Carrizo Oil & Gas, Inc. USD 6.250% 15/04/2023 51,500 0.05

400,000 Citigroup, Inc.—Series O(d) USD 5.875% 29/12/2049 404,500 0.37

150,000 Citigroup. Inc.(d) USD 5.900% 29/12/2049 151,313 0.14

50,000 Citigroup. Inc.—Series M(d) USD 6.300% 29/12/2049 50,500 0.05

300,000 Cott Beverages, Inc. USD 5.375% 01/07/2022 295,875 0.27

400,000 Crimson Merger Sub, Inc. USD 6.625% 15/05/2022 353,000 0.32

250,000 Crimson Merger Sub, Inc. 144A(c) USD 6.625% 15/05/2022 220,625 0.20

200,000 DISH DBS Corp. USD 5.875% 15/11/2024 200,000 0.18

250,000 DuPont Fabros Technology LP USD 5.875% 15/09/2021 261,250 0.24

250,000 Dynegy, Inc. 144A(c) USD 6.750% 01/11/2019 265,625 0.24

300,000 Equinix Inc. USD 5.375% 01/04/2023 311,250 0.29


500,000 Frontier Communications Corp. USD 6.875% 15/01/2025 460,000 0.42

300,000 Halcon Resources Corp. USD 8.875% 15/05/2021 217,500 0.20

50,000 Halcon Resources Corp. 144A(c) USD 8.625% 01/02/2020 50,875 0.05

250,000 HD Supply, Inc. USD 7.500% 15/07/2020 270,937 0.25

100,000 Hexion, Inc. USD 8.875% 01/02/2018 92,500 0.08

300,000 HRG Group, Inc. USD 7.875% 15/07/2019 318,000 0.29

400,000 iHeartCommunications, Inc. USD 9.000% 15/12/2019 395,000 0.36

400,000 IHS, Inc. 144A(c) USD 5.000% 01/11/2022 405,000 0.37

150,000 Ingles Markets, Inc. USD 5.750% 15/06/2023 156,563 0.14

575,000 JPMorgan Chase & Co.—Series U(d) USD 6.125% 29/12/2049 593,716 0.54

225,000 JPMorgan Chase & Co.—Series Z(d) USD 5.300% 29/12/2049 226,406 0.21



400,000 Morgan Stanley—Series J(d) USD 5.550% 29/12/2049 403,000 0.37

250,000 Neiman Marcus Group Ltd. LLC USD 8.000% 15/10/2021 269,375 0.25

300,000 Nielsen Finance LLC Via Nielsen Finance Co. USD 5.000% 15/04/2022 302,250 0.28

250,000 Nielsen Finance LLC Via Nielsen Finance Co. 144A(c) USD 5.000% 15/04/2022 251,875 0.23

200,000 Nuance Communications, Inc. USD 5.375% 15/08/2020 202,500 0.19

250,000 Nuance Communications, Inc. 144A(c) USD 5.375% 15/08/2020 253,125 0.23

150,000 PPL Energy Supply LLC 144A(c) USD 6.500% 01/06/2025 152,456 0.14


% of



Maturity Date(b)

USD Equity

523



As at 31 May 2015



150,000 Rite Aid Corp. 144A(c) USD 6.125% 01/04/2023 156,563 0.14

550,000 SBA Communications Corp. USD 4.875% 15/07/2022 554,812 0.51

400,000 Seminole Hard Rock Entertainment, Inc.

Via Seminole Hard Rock International LLC USD 5.875% 15/05/2021 404,000 0.37

550,000 Sirius XM Radio, Inc. USD 6.000% 15/07/2024 574,062 0.53

150,000 SM Energy Co. USD 6.125% 15/11/2022 158,250 0.14

225,000 Spectrum Brands, Inc. USD 6.625% 15/11/2022 241,594 0.22

50,000 Speedy Cash Intermediate Holdings Corp. USD 10.750% 15/05/2018 49,250 0.05

250,000 Speedy Cash Intermediate Holdings Corp. 144A(c) USD 10.750% 15/05/2018 246,250 0.22

200,000 TRI Pointe Holdings, Inc. USD 4.375% 15/06/2019 197,250 0.18

170,000 United Rentals North America, Inc. USD 5.500% 15/07/2025 171,487 0.16


150,000 VeriSign, Inc. 144A(c) USD 5.250% 01/04/2025 153,563 0.14

525,000 Wells Fargo & Co.—Series U(d) USD 5.875% 29/12/2049 553,219 0.51

150,000 WEX, Inc. USD 4.750% 01/02/2023 146,250 0.13

250,000 William Lyon Homes, Inc. USD 7.000% 15/08/2022 261,562 0.24

500,000 Williams Cos, Inc.—Series A USD 7.500% 15/01/2031 581,696 0.53

250,000 ZF North America Capital, Inc. 144A(c) USD 4.500% 29/04/2022 254,375 0.23

16,861,869 15.44


(cost USD 23 ,838 ,808) 23,556,441 21.57


United States

2,000,000 United States Treasury Bill USD (0.008%) 20/08/2015 2,000,000 1.83


(cost USD 1 ,999 ,711) 2,000,000 1.83


(cost USD 25 ,838 ,519) 25,556,441 23.40



United Kingdom

200,000 Iron Mountain Europe Plc. GBP 6.125% 15/09/2022 321,694 0.29

United States


Via Axalta Coating Systems Dutch Holding B EUR 5.750% 01/02/2021 292,766 0.27


(cost USD 652 ,202) 614,460 0.56


(cost USD 652 ,202) 614,460 0.56


Canada

99,492 Telesat LLC USD 3.500% 28/03/2019 99,579 0.09

Cayman Islands

238,062 Avago Technologies Cayman Ltd. USD 3.750% 06/05/2021 238,629 0.22

Luxembourg


225,000 Onex Wizard Acquisition Co. EUR 4.250% 13/03/2022 250,603 0.23

350,424 0.32

Netherlands

149,242 NXP BV USD 3.250% 11/01/2020 149,009 0.13


% of



Maturity Date(b)

USD Equity

524



As at 31 May 2015

Bank Loans – (continued)

United Kingdom

300,000 MA FinanceCo., LLC USD 4.500% 20/11/2019 300,626 0.28


401,498 0.37

United States

275,000 21st Century Oncology Holdings USD 5.500% 30/04/2022 275,000 0.25


91,066 Berry Plastics Group, Inc. USD 3.750% 06/01/2021 91,256 0.08



199,247 Checkout Holding Corp. USD 4.500% 04/04/2021 180,943 0.17

200,000 Chemours Co. USD 3.750% 22/05/2022 200,625 0.18

75,000 Dollar Tree, Inc. USD 4.250% 09/03/2022 75,833 0.07

224,094 Envision Healthcare Corp. USD 4.000% 25/05/2018 224,955 0.21


100,000 HD Supply, Inc. USD 4.000% 28/06/2018 100,288 0.09

112,981 Hilton Worldwide Finance LLC USD 3.500% 26/10/2020 113,345 0.10


49,875 MacDermid, Inc. USD 4.750% 07/06/2020 50,244 0.05



50,000 Murray Energy Corp. USD 6.500% 19/03/2021 48,703 0.04

249,369 Neiman Marcus Group, Inc. USD 4.250% 25/10/2020 249,889 0.23

114,222 New Red Finance, Inc. USD 4.500% 12/12/2021 114,460 0.10

75,000 PetSmart, Inc. USD 4.250% 11/03/2022 75,314 0.07


223,808 U.S. Coatings Acquisition, Inc. USD 3.750% 01/02/2020 224,076 0.21


3,887,522 3.56

TOTAL BANK LOANS

(cost USD 5 ,094 ,796) 5,126,661 4.69


(cost USD 105 ,257 ,522) 105,849,009 96.92





USD



7,539,437 5,842 0.01





USD




Unrealised % of



USD 783,188 CHF 723,000 25/06/2015 10,089 0.01

USD 1,246,732 GBP 810,476 15/07/2015 7,937 0.01



% of



Maturity Date(b)

USD Equity

525



As at 31 May 2015



Unrealised % of



USD 4,297,551 EUR 3,952,167 15/06/2015 (48,761) (0.05)



Unrealised % of



EUR 14,305,631 USD 15,533,157 15/06/2015 199,155 0.18

USD 1,893,244 EUR 1,720,749 15/06/2015 887 0.00


Unrealised % of



GBP 25,389,813 USD 39,071,824 15/07/2015 (264,082) (0.24)



(cost USD 105 ,257 ,522) 105,752,178 96.83



% of












Rates disclosed for Corporate Bonds, Government Bonds, Preferred Stocks and Bank Loans are those that were in effect at 31 May 2015.

The Futures Commission Merchant was Credit Suisse Securities.

The counterparties for forward currency contracts were Bank of America NA, Barclays Bank Plc., BNP Paribas S.A., Citibank NA London, Deutsche Bank AG, JP Morgan Chase

Bank NA London, Morgan Stanley and Co. International, Royal Bank of Canada, Royal Bank of Scotland Plc., Standard Chartered Bank, State Street Bank & Trust, UBS AG London

and Westpac Banking Corp.







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

(f) Valuation of this security is determined by the Valuer. See Note 4.

(g) A related party to Goldman Sachs Funds.

(h) The yield for this fund as at 31 May 2015 was 0.230%.

526



As at 31 May 2015

Goldman Sachs Funds—US Real Estate Balanced Portfolio



United States

3,300,000 Ashtead Capital, Inc. 144A(c) USD 5.625% 01/10/2024 3,448,500 0.45




8,700,000 CoreLogic, Inc. USD 7.250% 01/06/2021 9,319,875 1.22

8,000,000 DR Horton, Inc. USD 4.375% 15/09/2022 7,980,000 1.04

2,000,000 iStar Financial, Inc. USD 4.000% 01/11/2017 1,980,000 0.26

2,000,000 Masco Corp. USD 7.750% 01/08/2029 2,310,000 0.30

200,000 Masco Corp. USD 6.500% 15/08/2032 212,000 0.03

5,000,000 MDC Holdings, Inc. USD 6.000% 15/01/2043 4,400,197 0.58


400,000 Meritage Homes Corp. USD 7.000% 01/04/2022 431,500 0.06



6,000,000 Ply Gem Industries, Inc. USD 6.500% 01/02/2022 6,000,000 0.78



9,969,000 Standard Pacific Corp. USD 6.250% 15/12/2021 10,716,675 1.40

3,004,000 Synovus Financial Corp. USD 5.125% 15/06/2017 3,105,385 0.41



2,550,000 Vulcan Materials Co. USD 4.500% 01/04/2025 2,581,875 0.34


119,866,506 15.68


(cost USD 119 ,239 ,366) 119,866,506 15.68


Banks

342,043 Bank of America Corp. 5,684,755 0.74

112,391 Citigroup, Inc. 6,115,194 0.80

247,743 Citizens Financial Group, Inc. 6,634,557 0.87

97,814 JPMorgan Chase & Co. 6,464,527 0.85

227,620 Zions Bancorporation 6,640,813 0.87

31,539,846 4.13

Building Materials

154,590 Armstrong World Industries, Inc. 8,661,678 1.13

173,869 Fortune Brands Home & Security, Inc. 8,095,341 1.06

16,757,019 2.19

Hand/Machine Tools

62,146 Stanley Black & Decker, Inc. 6,374,315 0.83

Home Builders

627,221 DR Horton, Inc. 16,571,179 2.17

290,680 Lennar Corp. "A" 13,772,418 1.80

9,691 NVR, Inc. 13,276,670 1.74

783,528 PulteGroup, Inc. 15,294,467 2.00

1,204,346 Standard Pacific Corp. 10,056,289 1.31

416,059 Toll Brothers, Inc. 15,198,635 1.99

253,960 William Lyon Homes "A" 5,714,100 0.75

89,883,758 11.76

Home Furnishings

19,197 Whirlpool Corp. 3,604,621 0.47

Lodging

169,761 Hyatt Hotels Corp. "A" 9,842,743 1.29


119,163 AO Smith Corp. 8,505,855 1.11

% of



Maturity Date(b)

USD Equity

527



As at 31 May 2015




63,767 AvalonBay Communities, Inc. 10,678,422 1.40

82,608 Camden Property Trust 6,255,904 0.82

107,865 Chesapeake Lodging Trust 3,365,388 0.44

86,453 Equity Lifestyle Properties, Inc. 4,759,238 0.62

110,667 Mid-America Apartment Communities, Inc. 8,564,519 1.12

101,836 Post Properties, Inc. 5,827,056 0.76

270,747 RLJ Lodging Trust 8,198,219 1.07

47,648,746 6.23

Retail

130,336 Bed Bath & Beyond, Inc. 9,359,428 1.22

31,143 Home Depot, Inc. 3,497,359 0.46

47,917 Lowe’s Cos., Inc. 3,387,732 0.44

16,224,519 2.22

Textiles

22,467 Mohawk Industries, Inc. 4,246,038 0.56

TOTAL COMMON STOCKS

(cost USD 202 ,486 ,942) 234,647,460 30.69


United States

180,000 DDR Corp.—Series J USD 6.500% 4,577,400 0.60

100,000 Vornado Realty Trust—Series J USD 6.875% 2,596,000 0.34

2,000 Wells Fargo & Co.—Series L USD 7.500% 2,410,220 0.31

9,583,620 1.25


(cost USD 9 ,505 ,116) 9,583,620 1.25


(cost USD 331 ,231 ,424) 364,097,586 47.62



Canada


3,450,000 Masonite International Corp. 144A(c) USD 5.625% 15/03/2023 3,588,000 0.47

17,079,400 2.24

United States


2,200,000 Ahern Rentals, Inc. 144A(c) USD 7.375% 15/05/2023 2,219,250 0.29

3,000,000 American Builders & Contractors Supply Co., Inc. 144A(c) USD 5.625% 15/04/2021 3,082,500 0.40

4,000,000 American Realty Capital Properties, Inc. USD 3.000% 01/08/2018 3,855,000 0.50

4,150,000 Ashton Woods USA LLC Via Ashton Woods Finance Co. 144A(c) USD 6.875% 15/02/2021 3,921,750 0.51

6,000,000 Atrium Windows & Doors, Inc. 144A(c) USD 7.750% 01/05/2019 5,040,000 0.66

2,875,000 Bank of America Corp.—Series V(d) USD 5.125% 29/12/2049 2,853,437 0.37

125,000 Bank of America Corp.—Series X(d) USD 6.250% 29/09/2049 127,969 0.02



3,000,000 BlueLine Rental Finance Corp. 144A(c) USD 7.000% 01/02/2019 3,120,000 0.41


3,000,000 Building Materials Corp. of America 144A(c) USD 6.750% 01/05/2021 3,191,250 0.42

2,600,000 BWAY Holdings Co. 144A(c) USD 9.125% 15/08/2021 2,697,500 0.35

3,020,000 CPG Merger Sub LLC 144A(c) USD 8.000% 01/10/2021 3,182,325 0.42

4,350,000 Eagle Spinco, Inc. USD 4.625% 15/02/2021 4,350,000 0.57

1,600,000 Felcor Lodging LP 144A(c) USD 6.000% 01/06/2025 1,650,000 0.22

7,700,000 Gibraltar Industries, Inc. USD 6.250% 01/02/2021 7,969,500 1.04

6,000,000 Hardwoods Acquisition, Inc. 144A(c) USD 7.500% 01/08/2021 5,850,000 0.77

6,000,000 HD Supply, Inc. USD 11.000% 15/04/2020 6,810,000 0.89

17,012,000 HD Supply, Inc. USD 7.500% 15/07/2020 18,436,755 2.41

10,000,000 HD Supply, Inc. USD 11.500% 15/07/2020 11,750,000 1.54

5,400,000 Hexion, Inc. USD 8.875% 01/02/2018 4,995,000 0.65

2,200,000 Jefferies LoanCore LLC Via JLC Finance Corp. 144A(c) USD 6.875% 01/06/2020 2,139,500 0.28

4,000,000 Lennar Corp. USD 4.125% 01/12/2018 4,110,000 0.54

% of



Maturity Date(b)

USD Equity

528



As at 31 May 2015




10,000,000 Lennar Corp. USD 4.750% 15/11/2022 10,012,500 1.31


5,000,000 Realogy Group LLC 144A(c) USD 7.625% 15/01/2020 5,393,750 0.71

3,350,000 Realogy Group LLC Via Realogy Co-Issuer Corp. 144A(c) USD 4.500% 15/04/2019 3,433,750 0.45

1,550,000 RHP Hotel Properties LP Via RHP Finance Corp. 144A(c) USD 5.000% 15/04/2023 1,559,688 0.20

4,600,000 Rialto Holdings LLC Via Rialto Corp. 144A(c) USD 7.000% 01/12/2018 4,853,000 0.64

12,000,000 Roofing Supply Group LLC 144A(c) USD 10.000% 01/06/2020 12,480,000 1.63

2,000,000 RSI Home Products, Inc. 144A(c) USD 6.500% 15/03/2023 2,070,000 0.27


8,000,000 Safway Group Holding LLC Via Safway Finance Corp. 144A(c) USD 7.000% 15/05/2018 8,200,000 1.07

3,800,000 Shea Homes LP Via Shea Homes Funding Corp. 144A(c) USD 5.875% 01/04/2023 3,923,500 0.51

3,000,000 Starwood Property Trust, Inc. USD 3.750% 15/10/2017 3,131,250 0.41

4,088,000 Summit Materials LLC Via Summit Materials Finance Corp. USD 10.500% 31/01/2020 4,471,250 0.59




1,960,000 USG Corp. 144A(c) USD 7.875% 30/03/2020 2,129,050 0.28

5,000,000 USG Corp. 144A(c) USD 5.875% 01/11/2021 5,387,500 0.71

4,000,000 Wells Fargo & Co.—Series S(d) USD 5.900% 29/12/2049 4,133,720 0.54

8,000,000 WESCO Distribution, Inc. USD 5.375% 15/12/2021 8,210,000 1.07


222,455,163 29.09


(cost USD 238 ,576 ,095) 239,534,563 31.33


United States

7,110,727 Alternative Loan Trust "1A1"(d) USD 0.514% 20/11/2035 5,837,799 0.76


3,909,830 Alternative Loan Trust "2A1"(d) USD 0.394% 20/03/2046 3,053,270 0.40

5,000,000 Alternative Loan Trust "A1D"(d) USD 0.465% 25/10/2046 4,064,045 0.53

78,364 American Home Mortgage Investment Trust "11A1"(d) USD 0.361% 25/12/2046 66,277 0.01

1,200,000 BAMLL Commercial Mortgage Securities Trust "E" 144A(c)(d) USD 3.136% 15/06/2028 1,197,320 0.16

2,456,201 Banc of America Funding Trust "4A1"(d) USD 2.650% 20/02/2036 2,167,395 0.28

2,379,108 Banc of America Funding Trust "6A1"(d) USD 0.374% 20/10/2036 1,806,871 0.24

540,000 Bayview Opportunity Master Fund Trust "A1" 144A(c)(d) USD 3.623% 28/04/2030 540,143 0.07

5,853,872 Bear Stearns ALT-A Trust "21A1"(d) USD 2.746% 25/01/2047 4,570,627 0.60


100,000 Citigroup Mortgage Loan Trust "A4"(d) USD 0.535% 25/03/2037 90,920 0.01

550,000 COMM Mortgage Trust 144A(c) USD 3.807% 10/05/2048 522,068 0.07

7,000,000 Countrywide Asset-Backed Certificates "2A3"(d) USD 0.325% 25/07/2037 5,754,797 0.75

2,423,589 Countrywide Home Loan Mortgage Pass-Through Trust "2A1A"(d) USD 2.429% 20/05/2036 2,234,143 0.29

3,650,318 Countrywide Home Loan Mortgage Pass-Through Trust "A19" USD 6.000% 25/09/2037 3,496,561 0.46

2,278,747 Countrywide Home Loan Mortgage Pass-Through Trust "A4" USD 6.000% 25/03/2037 2,125,645 0.28

2,991,944 Credit Based Asset Servicing "A23"(d) USD 0.331% 25/07/2036 2,679,036 0.35

750,000 Credit Suisse Commercial Mortgage Trust "AM" USD 5.416% 15/02/2040 776,091 0.10

2,000,000 CSMC Trust "E" 144A(c) USD 4.373% 15/09/2037 1,907,263 0.25

524,051 Fannie Mae Connecticut Avenue Securities(d) USD 1.385% 25/07/2024 523,760 0.07

109,493 Fannie Mae Connecticut Avenue Securities "2M1"(d) USD 1.685% 25/02/2025 109,751 0.01

550,000 Freddie Mac Structured Agency Credit Risk Debt Notes "M3"(d) USD 3.985% 25/03/2025 555,594 0.07

450,000 Freddie Mac Structured Agency Credit Risk Debt Notes "M3"(d) USD 3.480% 25/10/2027 450,634 0.06


4,452,454 GreenPoint Mortgage Funding Trust "3A1"(d) USD 0.415% 25/04/2036 3,690,181 0.48

4,169,195 GreenPoint Mortgage Funding Trust "3A2"(d) USD 0.345% 25/02/2037 3,499,243 0.46

4,554,756 GSAMP Trust "A2C"(d) USD 0.485% 25/01/2047 2,747,249 0.36


3,209,853 Impac Secured Assets Trust "1A1B"(d) USD 0.385% 25/02/2037 2,525,701 0.33


470,000 Invitation Homes Trust "E"(d) USD 3.328% 17/06/2032 475,370 0.06

7,904,553 JP Morgan Alternative Loan Trust "1A1"(d) USD 0.345% 25/12/2036 6,430,425 0.84

4,247,786 JP Morgan Alternative Loan Trust "2A1"(d) USD 2.721% 25/05/2036 3,500,864 0.46





10,488,026 Lehman XS Trust "3A3"(d) USD 0.355% 25/02/2037 6,226,677 0.81

523,525 LSTAR Securities Investment Trust "A"(d) USD 2.184% 01/03/2020 524,104 0.07

3,506,957 MASTR Adjustable Rate Mortgages Trust "1A1"(d) USD 0.947% 25/12/2046 2,443,918 0.32

% of



Maturity Date(b)

USD Equity

529



As at 31 May 2015




749,674 MASTR Adjustable Rate Mortgages Trust "4A1A"(d) USD 0.997% 25/12/2046 584,391 0.08

6,115,610 Mastr Asset Backed Securities Trust "A5"(d) USD 0.415% 25/01/2037 2,812,184 0.37

2,000,000 ML-CFC Commercial Mortgage Trust "AM"(d) USD 5.747% 12/06/2050 2,092,576 0.27

6,488,151 Morgan Stanley ABS Capital I, Inc. Trust "A2B"(d) USD 0.325% 25/05/2037 4,757,492 0.62


10,269,510 RALI Trust "1A3A"(d) USD 0.385% 25/10/2046 7,183,100 0.94

2,900,636 RALI Trust "3A2"(d) USD 0.390% 25/09/2046 1,903,342 0.25

1,710,701 RALI Trust "A1"(d) USD 0.370% 25/12/2036 1,309,153 0.17

6,845,000 RALI Trust "A1"(d) USD 1.390% 25/11/2037 4,421,309 0.58

6,112,575 Residential Asset Securitization Trust "2A1" USD 4.850% 25/10/2035 4,467,819 0.58

4,823,000 Soundview Home Loan Trust "2A3"(d) USD 1.485% 25/10/2037 2,977,067 0.39

3,908,508 Structured Adjustable Rate Mortgage Loan Trust "1A4"(d) USD 2.443% 25/12/2035 3,146,691 0.41



6,612,733 Washington Mutual Mortgage Pass-Through Certificates "A1"(d) USD 0.285% 25/12/2036 4,441,826 0.58


Pass-Through Certificates Trust "2A"(d) USD 0.897% 25/02/2047 4,062,527 0.53


Pass-Through Certificates Trust ‘‘CB1’’(d) USD 0.635% 25/06/2035 35,216 0.01

128,868,075 16.85


(cost USD 110 ,430 ,323) 128,868,075 16.85


(cost USD 349 ,006 ,418) 368,402,638 48.18


France


TOTAL TIME DEPOSITS

(cost USD 21 ,576 ,244) 21,576,244 2.82


(cost USD 701 ,814 ,086) 754,076,468 98.62





USD






USD





(139,884,758) (223,976) (0.03)



Unrealised % of



EUR 21,311,520 USD 23,108,821 15/06/2015 328,068 0.05

USD 64,470 EUR 58,000 15/06/2015 686 0.00

SGD 17,498,618 USD 12,963,491 13/07/2015 2,382 0.00


% of



Maturity Date(b)

USD Equity

530



As at 31 May 2015


Share Class Specific Forward Currency Contracts – (continued)

Unrealised % of



USD 164,954 SGD 223,271 13/07/2015 (482) (0.00)






Interest Rate Swaps







Interest Rate Swaps









(cost USD 701 ,814 ,086) 751,993,468 98.35



% of












Rates disclosed for Corporate Bonds, Preferred Stocks and Non-Agencies Asset Backed Obligations are those that were in effect at 31 May 2015.


The counterparties for forward currency contracts were Citibank NA London, JP Morgan Chase Bank NA London, Morgan Stanley and Co. International, Royal Bank of Canada and

UBS AG London.

The counterparties for swap contracts were Barclays Bank Plc. and Credit Suisse Debt Capital Markets.







531



As at 31 May 2015

Goldman Sachs Funds—Wealthbuilder Multi-Asset Balanced Portfolio



Ireland

17,332,946 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(a)(b) 17,332,946 14.14

12,777,965 Goldman Sachs US$ Treasury Liquid Reserves Fund (X Distribution Class)(a)(c) 12,777,965 10.42

30,110,911 24.56

Luxembourg

846,787 Goldman Sachs Funds – Global CORE® Equity Portfolio (IO Distribution Snap Class)(a) 9,094,492 7.42

924,277 Goldman Sachs Funds – Global Equity Partners Portfolio (IO Distribution Snap Class)(a) 10,009,918 8.16

1,053,470 Goldman Sachs Funds – Global Fixed Income Plus Portfolio (Hedged) (IO Distribution Snap Class)(a) 10,766,465 8.78

1,325,261 Goldman Sachs Funds – Global Fixed Income Portfolio (Hedged) (IO Distribution Snap Class)(a) 13,517,666 11.02

1,129,730 Goldman Sachs Funds – Global High Yield Portfolio (IO Distribution Class)(a) 9,986,814 8.15

1,080,683 Goldman Sachs Funds – Global Small Cap CORE® Equity Portfolio (IO Distribution Snap Class)(a) 11,379,593 9.28

101,250 Goldman Sachs Funds – Global Strategic Income Bond Portfolio (IO Distribution Snap Class)(a) 9,942,769 8.11

465,661 Goldman Sachs Funds – Growth & Emerging Markets CORE® Equity Portfolio (IO Distribution Close Class)(a) 4,763,709 3.89

319,747 Goldman Sachs Funds – Growth & Emerging Markets Debt Local Portfolio (IO Distribution Class)(a) 2,641,112 2.15

125,535 Goldman Sachs Funds – Growth & Emerging Markets Debt Portfolio (IO Distribution Snap Class)(a) 1,594,299 1.30

83,696,837 68.26

United States

68,867 iShares Global Infrastructure ETF 2,987,450 2.43

60,565 SPDR Dow Jones International Real Estate ETF 2,647,902 2.16

6,515 SPDR Dow Jones REIT ETF 584,852 0.48

6,220,204 5.07

TOTAL MUTUAL FUNDS

(cost USD 118 ,285 ,751) 120,027,952 97.89


(cost USD 118 ,285 ,751) 120,027,952 97.89


(cost USD 118 ,285 ,751) 120,027,952 97.89





CAD

6 S&P TSX 60 Index Futures 18/06/2015 Long 841,110 11,439 0.01

EUR

4 Amsterdam Index Futures 19/06/2015 Long 438,457 666 0.00

18 CAC 40 Index Futures 19/06/2015 Long 1,000,975 14,399 0.01

3 IBEX 35 Index Futures 19/06/2015 Long 372,648 1,083 0.00

1,812,080 16,148 0.01

GBP

17 FTSE 100 Index Futures 19/06/2015 Long 1,827,507 78,298 0.06


4,528,243 107,934 0.09

JPY

16 TOPIX Index Futures 11/06/2015 Long 2,158,392 192,137 0.16

SEK

41 OMXS 30 Index Futures 18/06/2015 Long 800,907 20,570 0.02

USD

122 E-Mini S&P 500 Index Futures 19/06/2015 Long 12,901,500 482,300 0.39

48 SGX CNX NIFTY Index Futures 25/06/2015 Long 813,984 109 0.00

13,715,484 482,409 0.39


% of



Maturity Date(b)

USD Equity

532



As at 31 May 2015






EUR

2 Dax Index Futures 19/06/2015 Long 634,495 (24,108) (0.02)

77 DJ Euro STOXX 50 Index Futures 19/06/2015 Long 3,057,266 (2,909) (0.00)

3,691,761 (27,017) (0.02)

HKD

3 Hang Seng Index Futures 29/06/2015 Long 525,467 (174) (0.00)

SGD

7 MSCI Singapore Index Futures 29/06/2015 Long 392,064 (11,837) (0.01)



Unrealised % of



GBP 455,000 USD 677,554 17/06/2015 18,039 0.01

MXN 11,000,000 USD 707,248 17/06/2015 9,879 0.01

USD 1,070,490 EUR 950,000 17/06/2015 25,720 0.02

USD 1,076,505 JPY 129,000,000 17/06/2015 34,907 0.03

USD 685,267 NZD 960,000 17/06/2015 1,693 0.00


Unrealised % of



CAD 20,000 USD 16,441 17/06/2015 (425) (0.00)

INR 45,500,000 USD 712,537 17/06/2015 (862) (0.00)

USD 689,288 CAD 880,000 17/06/2015 (15,446) (0.01)

USD 1,011,105 CHF 990,000 17/06/2015 (47,177) (0.04)

USD 679,052 GBP 455,000 17/06/2015 (16,541) (0.01)

USD 1,043,388 KRW 1,170,000,000 17/06/2015 (7,610) (0.01)



Unrealised % of



EUR 2,895,000 USD 3,154,149 17/06/2015 29,651 0.02

GBP 16,256,000 USD 24,477,132 17/06/2015 374,645 0.31

USD 80,752 EUR 71,000 17/06/2015 2,669 0.00



Unrealised % of



Purchased Options

USD

222,500 Call 90-Day Eurodollar Expires 14/09/2015 Strike 98.88 48,812 157,975 0.13









425,000 Call IMM Euro Future Expires 15/06/2015 Strike 99.13 68,676 246,500 0.20


183,545 637,944 0.52


(cost USD 454 ,399) 637,944 0.52

533



As at 31 May 2015






Total Return Swaps

2,100,000 Floating (USD 3 month LIBOR) Floating (Bloomberg Commodity Index) USD 30/06/2015 49,714 0.04




(cost USD 118 ,740 ,150) 121,916,361 99.43



% of














The counterparties for forward currency contracts were BNP Paribas S.A. London, Deutsche Bank AG, Morgan Stanley and Co., Inc., Societe Generale S.A. and UBS AG London.

The counterparty for swap contracts was Credit Suisse International.

The counterparty for options was Morgan Stanley and Co., Inc.





534



As at 31 May 2015

Goldman Sachs Funds—Wealthbuilder Multi-Asset Conservative Portfolio



Ireland


Luxembourg


191,934 Goldman Sachs Funds – Global Credit Portfolio Hedged (IO Distribution Snap Class)(a) 1,957,723 7.30


454,796 Goldman Sachs Funds – Global Fixed Income Plus Portfolio (Hedged) (IO Distribution Snap Class)(a) 4,648,018 17.32

482,041 Goldman Sachs Funds – Global Fixed Income Portfolio (Hedged) (IO Distribution Snap Class)(a) 4,916,820 18.33

79,521 Goldman Sachs Funds – Global High Yield Portfolio (IO Distribution Snap Class)(a) 781,695 2.91

150,968 Goldman Sachs Funds – Global Small Cap CORE® Equity Portfolio (IO Distribution Snap Class)(a) 1,589,695 5.93


95,686 Goldman Sachs Funds – Growth & Emerging Markets Debt Local Portfolio (IO Distribution Class)(a) 790,369 2.95

47,300 Goldman Sachs Funds – Growth & Emerging Markets Debt Portfolio (IO Distribution Snap Class)(a) 600,712 2.24

23,219,973 86.55

United States

14,093 iShares Global Infrastructure ETF 611,354 2.28

11,064 SPDR Dow Jones International Real Estate ETF 483,718 1.80

405 SPDR Dow Jones REIT ETF 36,357 0.14

1,131,429 4.22

TOTAL MUTUAL FUNDS

(cost USD 26 ,154 ,360) 26,616,785 99.22


(cost USD 26 ,154 ,360) 26,616,785 99.22


(cost USD 26 ,154 ,360) 26,616,785 99.22





GBP






EUR

8 DJ Euro STOXX 50 Index Futures 19/06/2015 Long 317,638 (578) (0.00)

UNREALISED LOSS ON FUTURES CONTRACTS (578) (0.00)


Unrealised % of



GBP 45,000 USD 67,011 17/06/2015 1,784 0.01

MXN 1,125,000 USD 72,416 17/06/2015 927 0.00

USD 112,783 EUR 100,000 17/06/2015 2,808 0.01

USD 116,888 JPY 14,000,000 17/06/2015 3,847 0.01

USD 71,501 NZD 100,000 17/06/2015 295 0.00


% of



Maturity Date(b)

USD Equity

535



As at 31 May 2015



Unrealised % of



CAD 10,000 USD 8,237 17/06/2015 (229) (0.00)

INR 5,000,000 USD 78,221 17/06/2015 (14) (0.00)

USD 78,586 CAD 100,000 17/06/2015 (1,497) (0.01)

USD 113,138 CHF 110,000 17/06/2015 (4,449) (0.01)

USD 67,227 GBP 45,000 17/06/2015 (1,568) (0.01)

USD 116,039 KRW 130,000,000 17/06/2015 (739) (0.00)



Unrealised % of



EUR 10,903 USD 11,889 01/06/2015 100 0.00

USD 137,775 GBP 89,780 02/06/2015 506 0.00

EUR 1,426,000 USD 1,550,857 17/06/2015 17,398 0.06

GBP 7,244,000 USD 10,910,771 17/06/2015 163,680 0.61


Unrealised % of



USD 43,930 EUR 40,000 17/06/2015 (60) (0.00)



Unrealised % of



Purchased Options

USD






22,500 Call 90-Day Eurodollar Expires 13/06/2016 Strike 99.25 731 2,981 0.01






33,278 120,412 0.45


(cost USD 87 ,134) 120,412 0.45


(cost USD 26 ,241 ,494) 26,921,384 100.35



536



As at 31 May 2015


% of





Unrealised loss on futures contracts (578) (0.00)









The counterparties for forward currency contracts were BNP Paribas S.A. London, Deutsche Bank AG, Morgan Stanley And Co., Inc. and Societe Generale S.A.





537



As at 31 May 2015

Goldman Sachs Funds—Wealthbuilder Multi-Asset Growth Portfolio

Transferable securities admitted to an official exchange listing(a


Ireland


6,265,905 Goldman Sachs US$ Treasury Liquid Reserves Fund (X Distribution Class)(a)(c) 6,265,905 11.76

14,203,502 26.66

Luxembourg



21,061 Goldman Sachs Funds – Global Fixed Income Portfolio (Hedged) (IO Distribution Snap Class)(a) 214,821 0.40

585,507 Goldman Sachs Funds – Global High Yield Portfolio (IO Distribution Class)(a) 5,175,886 9.71

645,994 Goldman Sachs Funds – Global Small Cap CORE® Equity Portfolio (IO Distribution Snap Class)(a) 6,802,317 12.77


275,473 Goldman Sachs Funds – Growth & Emerging Markets CORE® Equity Portfolio (IO Distribution Close Class)(a) 2,818,085 5.29

37,976 Goldman Sachs Funds – Growth & Emerging Markets Debt Local Portfolio (IO Distribution Class)(a) 313,681 0.59

184,442 Goldman Sachs Funds – Growth & Emerging Markets Debt Portfolio (IO Distribution Snap Class)(a) 2,342,412 4.40

32,083,105 60.22

United States

57,232 iShares Global Infrastructure ETF 2,482,724 4.66

45,927 SPDR Dow Jones International Real Estate ETF 2,007,929 3.77

8,377 SPDR Dow Jones REIT ETF 752,003 1.41

5,242,656 9.84

TOTAL MUTUAL FUNDS

(cost USD 50 ,369 ,280) 51,529,263 96.72


(cost USD 50 ,369 ,280) 51,529,263 96.72


(cost USD 50 ,369 ,280) 51,529,263 96.72





CAD


EUR

1 Amsterdam Index Futures 19/06/2015 Long 109,614 2,018 0.00

9 CAC 40 Index Futures 19/06/2015 Long 500,487 7,200 0.01

1 IBEX 35 Index Futures 19/06/2015 Long 124,216 404 0.00

734,317 9,622 0.01

GBP

8 FTSE 100 Index Futures 19/06/2015 Long 860,003 36,848 0.07


2,300,396 52,654 0.10

JPY


KRW

19 OMXS 30 Index Futures 18/06/2015 Long 371,152 10,327 0.02

USD


29 SGX CNX NIFTY Index Futures 25/06/2015 Long 491,782 66 0.00

6,625,282 237,641 0.45


% of



Maturity Date(b)

USD Equity

538



As at 31 May 2015






EUR



2,103,962 (14,232) (0.02)

HKD

1 Hang Seng Index Futures 29/06/2015 Long 175,155 (58) (0.00)

SGD

3 MSCI Singapore Index Futures 29/06/2015 Long 168,028 (5,073) (0.01)



Unrealised % of



GBP 270,000 USD 402,297 17/06/2015 10,472 0.02

MXN 6,500,000 USD 417,793 17/06/2015 5,963 0.01

USD 631,367 EUR 560,000 17/06/2015 15,502 0.03

USD 626,342 JPY 75,000,000 17/06/2015 20,763 0.04

USD 406,778 NZD 570,000 17/06/2015 906 0.00


Unrealised % of



CAD 20,000 USD 16,491 17/06/2015 (475) (0.00)

INR 26,500,000 USD 415,184 17/06/2015 (692) (0.00)

NZD 10,000 USD 7,608 17/06/2015 (487) (0.00)

USD 406,438 CAD 520,000 17/06/2015 (9,995) (0.02)

USD 592,350 CHF 580,000 17/06/2015 (27,653) (0.05)

USD 402,309 GBP 270,000 17/06/2015 (10,460) (0.02)

USD 605,644 KRW 680,000,000 17/06/2015 (5,192) (0.01)

USD 8,138 MXN 125,000 17/06/2015 (12) (0.00)



Unrealised % of



EUR 684,000 USD 744,173 17/06/2015 8,061 0.01

GBP 4,158,000 USD 6,255,445 17/06/2015 101,204 0.19

USD 16,830 GBP 11,000 17/06/2015 14 0.00


Unrealised % of



USD 2,176 EUR 2,000 17/06/2015 (24) (0.00)


539



As at 31 May 2015



Unrealised % of



Purchased Options

USD












84,483 290,069 0.54


(cost USD 205 ,586) 290,069 0.54





Total Return Swaps

1,040,000 Floating (USD 3 month LIBOR) Floating (CTR Index) USD 30/06/2015 24,572 0.05




(cost USD 50 ,574 ,866) 52,341,294 98.24



% of















The counterparties for forward currency contracts were Barclays Bank Plc., BNP Paribas S.A. London, Deutsche Bank AG and Morgan Stanley and Co., Inc.

The counterparty for swap contracts was Credit Suisse International.

The counterparty for options was Morgan Stanley And Co., Inc.





540



As at 31 May 2015

Goldman Sachs Funds—Absolute Return Tracker Portfolio



United States



58,382,523 17.30


(cost USD 58 ,383 ,450) 58,382,523 17.30


United States

37,600 Energy Select Sector SPDR Fund 2,946,712 0.87

55,700 Health Care Select Sector SPDR Fund 4,177,500 1.24

7,124,212 2.11

TOTAL MUTUAL FUNDS

(cost USD 7 ,209 ,571) 7,124,212 2.11


(cost USD 65 ,593 ,021) 65,506,735 19.41



United States








149,782,363 44.37


(cost USD 149 ,768 ,588) 149,782,363 44.37


United States


38,498,575 11.40


(cost USD 38 ,497 ,177) 38,498,575 11.40


(cost USD 188 ,265 ,765) 188,280,938 55.77


(cost USD 253 ,858 ,786) 253,787,673 75.18





CAD


EUR

60 DJ Euro STOXX 50 Index Futures 19/06/2015 Long 2,343,120 915 0.00



19,792,230 52,318 0.01

% of



Maturity Date(b)

USD Equity

541



As at 31 May 2015






GBP

18 90-Day Sterling Futures 16/12/2015 Long 3,410,043 1,030 0.00

12 90-Day Sterling Futures 21/09/2016 Long 2,264,893 2,289 0.00

4 90-Day Sterling Futures 21/06/2017 Long 752,141 1,030 0.00



12,466,540 50,948 0.01

JPY

7 Japan Government Bonds 10YR Futures 11/06/2015 Long 8,327,572 5,077 0.00


10,616,705 131,392 0.04

USD

25 90-Day Euro Futures 14/12/2015 Long 6,214,687 100 0.00

20 90-Day Euro Futures 19/06/2017 Long 4,916,500 2,487 0.00

34 90-Day Euro Futures 19/09/2016 Long 8,401,400 358 0.00

(282) E-Mini S&P 500 Index Futures 19/06/2015 Short (29,694,600) 311,283 0.10

100 Mini-Russell 2000 Index Futures 19/06/2015 Long 12,443,000 204,655 0.06



7 US Treasury Notes 5YR Futures 30/09/2015 Long 838,086 4,499 0.00

5,672,589 530,968 0.16





CAD

8 S&P TSX 60 Index Futures 18/06/2015 Long 1,119,776 (15,750) (0.00)

EUR

17 CAC 40 Index Futures 19/06/2015 Long 929,009 (24,176) (0.01)

4 Dax Index Futures 19/06/2015 Long 1,251,320 (50,158) (0.02)

8 FTSE MIB Index Futures 19/06/2015 Long 1,031,578 (10,832) (0.00)


8 IBEX 35 Index Futures 19/06/2015 Long 979,892 (34,739) (0.01)

12,967,647 (121,453) (0.04)

HKD

8 Hang Seng Index Futures 29/06/2015 Long 1,401,732 (52,091) (0.01)

KRW

15 KOSPI 200 Index Futures 11/06/2015 Long 1,767,652 (6,158) (0.00)

USD

33 E-Mini NASDAQ 100 Index Futures 19/06/2015 Long 2,977,260 (11,831) (0.01)

27 E-Mini S&P MidCap 400 Index Futures 19/06/2015 Long 4,112,640 (45,099) (0.01)

7,089,900 (56,930) (0.02)


542



As at 31 May 2015



Unrealised % of



USD 1,244,503 AUD 1,600,000 23/06/2015 21,172 0.01

USD 2,487,246 CAD 3,070,000 23/06/2015 28,687 0.01

USD 6,214,529 EUR 5,620,000 23/06/2015 51,382 0.02

USD 782,366 GBP 500,000 23/06/2015 19,509 0.01

USD 1,179,447 HUF 331,300,000 23/06/2015 6,240 0.00

USD 4,492,898 JPY 544,310,000 23/06/2015 105,454 0.03

USD 982,088 MXN 14,980,000 23/06/2015 12,348 0.00

USD 2,732,786 NZD 3,750,000 23/06/2015 69,478 0.02

USD 385,040 PLN 1,420,000 23/06/2015 7,145 0.00

USD 931,967 SEK 7,910,000 23/06/2015 5,801 0.00

USD 944,658 SGD 1,270,000 23/06/2015 3,580 0.00

USD 588,120 BRL 1,800,000 24/06/2015 28,581 0.01

USD 983,064 KRW 1,092,360,000 24/06/2015 2,471 0.00


Unrealised % of



CHF 370,000 USD 395,647 23/06/2015 (3,140) (0.00)

GBP 400,000 USD 611,106 23/06/2015 (820) (0.00)

USD 762,332 CZK 19,180,000 23/06/2015 (5,090) (0.00)

TWD 66,110,000 USD 2,166,935 24/06/2015 (17,966) (0.01)



Unrealised % of



USD 200,599 GBP 130,815 23/06/2015 1,013 0.00


Unrealised % of



AUD 202,606,000 USD 159,264,898 23/06/2015 (4,356,100) (1.29)

CHF 64,814,447 USD 69,166,274 23/06/2015 (409,081) (0.12)

EUR 38,227,034 USD 42,521,074 23/06/2015 (599,576) (0.18)

GBP 6,874,896 USD 10,754,536 23/06/2015 (265,404) (0.08)

SEK 115,464,212 USD 13,836,471 23/06/2015 (317,013) (0.09)



Unrealised % of



Written Options

USD

(13,300) S&P 500 Index Expires 19/06/2015 Strike 1,975.00 (7,730) (43,890) (0.01)



(80,860) (622,320) (0.18)


(cost USD (541 ,460) ) (622,320) (0.18)

543



As at 31 May 2015







17,250,000 Floating (CDX.NA.HY.24-V1 Index) Fixed 5.000% USD 20/06/2020 2,178 0.00


Total Return Swaps

7,194,728 Floating (Russell Top 200 Index) Floating (USD 1 month LIBOR) USD 14/04/2016 83,017 0.02






Total Return Swaps

24,237,980 Floating (USD 1 month LIBOR) Floating (MSCI Emerging

Markets Islamic Index) USD 26/05/2016 (652,895) (0.19)

2,650,349 Floating (USD 1 month LIBOR) Floating (S&P Long Only Merger

Arbitrage Ex Cash Index) USD 26/05/2016 (29,905) (0.01)

7,182,759 Floating (USD 1 month LIBOR) Floating (Russell Top 200 Index) USD 14/04/2016 (78,627) (0.02)

53,239,273 Floating (USD 1 month LIBOR) Floating (DB-GSAM ALPS Index) USD 02/09/2015 (85,950) (0.03)




(cost USD 253 ,317 ,326) 247,333,488 73.27



% of










Market value of written options (cost USD (541,460)) (622,320) (0.18)





Rates disclosed for Government Bonds and Agencies Asset Backed Obligations are those that were in effect at 31 May 2015.

The Futures Commission Merchant was Newedge Group (UK Branch).

The counterparties for forward currency contracts were Deutsche Bank AG, Goldman Sachs International, HSBC Bank Plc., Morgan Stanley and Co. International, Royal Bank of

Scotland Plc., Societe Generale S.A., State Street Bank & Trust and UBS AG London.


The counterparties for swap contracts were Credit Suisse Debt Capital Markets, Deutsche Bank AG Frankfurt and Societe Generale S.A.





544



As at 31 May 2015

Goldman Sachs Funds—Liquid Alternative Beta Equity Long Short Portfolio



United States



150,059 7.97


(cost USD 150 ,060) 150,059 7.97


United States

500 Energy Select Sector SPDR Fund 39,185 2.08

700 Health Care Select Sector SPDR Fund 52,500 2.79

91,685 4.87

TOTAL MUTUAL FUNDS

(cost USD 86 ,936) 91,685 4.87


(cost USD 236 ,996) 241,744 12.84



United States

100,000 United States Treasury Bill USD 0.010% 30/07/2015 100,001 5.31






1,249,851 66.42


(cost USD 1 ,249 ,699) 1,249,851 66.42


(cost USD 1 ,249 ,699) 1,249,851 66.42


(cost USD 1 ,486 ,695) 1,491,595 79.26





USD

6 Mini MSCI Emerging Market Futures 19/06/2015 Long 299,070 3,615 0.19

1 Mini-Russell 2000 Index Futures 19/06/2015 Long 124,430 1,830 0.10

423,500 5,445 0.29





USD

(4) E-Mini S&P 500 Index Futures 19/06/2015 Short (421,200) (4,514) (0.24)


% of



Maturity Date(b)

USD Equity

545



As at 31 May 2015

Goldman Sachs Funds—Liquid Alternative Beta Equity Long Short Portfolio


Unrealised % of



EUR 68,000 USD 75,638 23/06/2015 (1,066) (0.06)

GBP 87,475 USD 136,878 23/06/2015 (3,416) (0.18)






Total Return Swaps

38,456 Floating (Russell Top 200 Index) Floating (USD 1 month LIBOR) USD 14/04/2016 443 0.02

UNREALISED GAIN ON TOTAL RETURN SWAPS 443 0.02

TOTAL UNREALISED GAIN ON SWAP CONTRACTS 443 0.02




Interest Rate Swaps

38,215 Floating (USD 1 month LIBOR) Floating (Russell Top 200 Index) USD 14/04/2016 (418) (0.02)

UNREALISED LOSS ON INTEREST RATE SWAPS (418) (0.02)

Total Return Swaps

620,033 Floating (USD 1 month LIBOR) Floating (DB-GSAM Index) USD 02/09/2015 (1,001) (0.05)




(cost USD 1 ,486 ,695) 1,487,068 79.02



% of







Unrealised gain on swap contracts 443 0.02




Rates disclosed for Government Bonds are those that were in effect at 31 May 2015.

The Futures Commission Merchant was Newedge Group.

The counterparty for forward currency contracts was UBS AG London.

The counterparties for swap contracts were Deutsche Bank AG Frankfurt and Societe Generale S.A.





546



As at 31 May 2015

Goldman Sachs Funds—Liquid Alternative Beta Event Driven Portfolio



Ireland

496,019 Goldman Sachs US$ Liquid Reserves Fund (X Distribution Class)(c)(d) 496,019 8.34

TOTAL MUTUAL FUNDS

(cost USD 496 ,019) 496,019 8.34


(cost USD 496 ,019) 496,019 8.34



United States







4,450,203 74.81


(cost USD 4 ,449 ,819) 4,450,203 74.81


(cost USD 4 ,449 ,819) 4,450,203 74.81


(cost USD 4 ,945 ,838) 4,946,222 83.15





USD

3 E-Mini S&P 500 Index Futures 19/06/2015 Long 315,900 4,070 0.07

2 E-Mini S&P MidCap 400 Index Futures 19/06/2015 Long 304,640 3,569 0.06


993,830 9,466 0.16



Unrealised % of



EUR 102,449 USD 113,957 23/06/2015 (1,607) (0.02)

GBP 102,864 USD 160,958 23/06/2015 (4,017) (0.07)


Purchased Options – (0.42%)

Unrealised % of



Written Options

USD

(600) Put S&P 500 Index Expires 19/06/2015 Strike 1,975.00 4,805 (1,980) (0.03)


(500) Put S&P 500 Index Expires 21/08/2015 Strike 2,025.00 20 (14,750) (0.25)

11,725 (24,710) (0.42)


(cost USD (36 ,435) ) (24,710) (0.42)

% of



Maturity Date(b)

USD Equity

547



As at 31 May 2015

Goldman Sachs Funds—Liquid Alternative Beta Event Driven Portfolio






350,000 Floating (CDX.NA.HY.24 Index) Fixed 5.000% USD 20/06/2020 599 0.01







Total Return Swaps

309,027 Floating (USD 1 month LIBOR + 0.60%) Floating (S&P Long Only Merger


91,447 Floating (USD 1 month LIBOR + 0.60%) Floating (S&P Long Only Merger

Arbitrage Ex Cash Index) USD 19/01/2016 (817) (0.01)




(cost USD 4 ,909 ,403) 4,924,677 82.79



% of













The counterparties for forward currency contracts were Morgan Stanley and Co., Inc. and UBS AG London.

The counterparties for swap contracts were Credit Suisse Debt Capital Markets, Goldman, Sachs & Co. and Societe Generale S.A.








548



As at 31 May 2015

Goldman Sachs Funds—Liquid Alternative Beta Macro Portfolio



United States



1,751,054 23.46


(cost USD 1 ,750 ,862) 1,751,054 23.46


(cost USD 1 ,750 ,862) 1,751,054 23.46



United States








4,149,800 55.59


(cost USD 4 ,149 ,403) 4,149,800 55.59


(cost USD 4 ,149 ,403) 4,149,800 55.59


(cost USD 5 ,900 ,265) 5,900,854 79.05





CAD



478,606 3,849 0.05

EUR

1 FTSE MIB Index Futures 19/06/2015 Long 128,947 4,210 0.06


980,976 8,135 0.11

GBP

2 90-Day Sterling Futures 16/12/2015 Long 378,894 76 0.00



927,149 2,626 0.04

JPY

1 Japan Government Bonds 10YR Futures 11/06/2015 Long 1,189,653 331 0.00

2 TOPIX Index Futures 11/06/2015 Long 269,310 16,238 0.22

1,458,963 16,569 0.22

% of



Maturity Date(b)

USD Equity

549



As at 31 May 2015






USD

2 90-Day Eurodollar Futures 14/12/2015 Long 497,175 250 0.00

2 90-Day Eurodollar Futures 19/06/2017 Long 491,650 134 0.00

2 E-Mini NASDAQ 100 Index Futures 19/06/2015 Long 180,440 3,970 0.05

1 E-Mini S&P MidCap 400 Index Futures 19/06/2015 Long 152,320 3,890 0.05




1,693,429 11,141 0.15





EUR


6 DJ Euro STOXX 50 Index Futures 19/06/2015 Long 234,312 (4,519) (0.06)

7 German Federal Republic Bonds 2YR Futures 08/06/2015 Long 853,207 (281) (0.00)

6 German Federal Republic Bonds 5YR Futures 08/06/2015 Long 847,589 (745) (0.01)


2,166,890 (9,103) (0.12)

GBP

2 FTSE 100 Index Futures 19/06/2015 Long 212,550 (1,160) (0.02)

HKD

1 Hang Seng Index Futures 29/06/2015 Long 175,216 (6,679) (0.09)

KRW

1 KOSPI 200 Index Futures 11/06/2015 Long 117,843 (3,609) (0.05)

USD

3 90-Day Eurodollar Futures 19/09/2016 Long 741,300 (74) (0.00)

1 E-Mini S&P 500 Index Futures 19/06/2015 Long 105,300 (594) (0.01)

846,600 (668) (0.01)



Unrealised % of



USD 170,185 AUD 220,000 23/06/2015 1,977 0.03

USD 283,385 CAD 350,000 23/06/2015 3,094 0.04

USD 619,412 EUR 560,000 23/06/2015 5,291 0.07

USD 78,238 GBP 50,000 23/06/2015 1,952 0.02

USD 142,018 HUF 39,900,000 23/06/2015 723 0.01

USD 492,055 JPY 59,710,000 23/06/2015 10,759 0.14

USD 147,100 MXN 2,250,000 23/06/2015 1,445 0.02

USD 42,808 NOK 330,000 23/06/2015 513 0.01

USD 291,367 NZD 400,000 23/06/2015 7,280 0.10

USD 93,505 SEK 790,000 23/06/2015 1,005 0.01

USD 96,774 SGD 130,000 23/06/2015 443 0.01

USD 47,258 ZAR 570,000 23/06/2015 578 0.01

USD 87,034 BRL 270,000 24/06/2015 3,103 0.04

USD 106,366 KRW 117,990,000 24/06/2015 449 0.01


550



As at 31 May 2015



Unrealised % of



CHF 40,000 USD 42,780 23/06/2015 (346) (0.01)

GBP 40,000 USD 61,733 23/06/2015 (705) (0.01)

USD 52,747 CHF 50,000 23/06/2015 (294) (0.00)

USD 101,529 CZK 2,540,000 23/06/2015 (100) (0.00)

USD 103,599 PLN 390,000 23/06/2015 (189) (0.00)

KRW 9,580,000 USD 8,747 24/06/2015 (148) (0.00)

TWD 6,560,000 USD 215,327 24/06/2015 (2,088) (0.03)



Unrealised % of



EUR 102,307 USD 113,799 23/06/2015 (1,604) (0.02)

GBP 102,598 USD 160,542 23/06/2015 (4,007) (0.06)






Total Return Swaps

312,963 Floating (Bloomberg Commodity

Index Total Return) Floating (USD 1 month LIBOR) USD 03/11/2015 8,449 0.11










Total Return Swaps

210,399 Floating (USD 1 month LIBOR) Floating (Bloomberg Commodity

Index Total Return) USD 03/11/2015 (5,680) (0.08)








(cost USD 5 ,900 ,265) 5,952,461 79.74



551



As at 31 May 2015


% of















The counterparties for forward currency contracts were Deutsche Bank AG, Goldman Sachs International, HSBC Bank Plc., Morgan Stanley And Co. International, Royal Bank of

Scotland Plc., Societe Generale S.A., State Street Bank & Trust and UBS AG London.

The counterparty for swap contracts was Goldman, Sachs & Co.





552



As at 31 May 2015

Goldman Sachs Funds—Liquid Alternative Beta Relative Value Portfolio



United States





3,703,984 63.06


(cost USD 3 ,703 ,583) 3,703,984 63.06


Ireland


TOTAL MUTUAL FUNDS

(cost USD 491 ,052) 491,052 8.36


(cost USD 4 ,194 ,635) 4,195,036 71.42



United States



599,922 10.22


(cost USD 599 ,808) 599,922 10.22


(cost USD 599 ,808) 599,922 10.22


(cost USD 4 ,794 ,443) 4,794,958 81.64


Unrealised % of



EUR 102,512 USD 114,028 23/06/2015 (1,608) (0.03)

GBP 102,913 USD 161,035 23/06/2015 (4,019) (0.07)



Unrealised % of



Written Options

USD




39,767 (38,210) (0.65)


(cost USD (77 ,977) ) (38,210) (0.65)

% of



Maturity Date(b)

USD Equity

553



As at 31 May 2015

Goldman Sachs Funds—Liquid Alternative Beta Relative Value Portfolio






196,000 Floating (LCDX.NA.21-V3 Index) Fixed 2.500% USD 20/12/2018 225 0.00

441,000 Floating (LCDX.NA.21-V3 Index) Fixed 2.500% USD 20/12/2018 556 0.01

350,000 Floating (CDX.NA.HY.24-V1 Index) Fixed 5.000% USD 20/06/2020 870 0.02

100,000 Floating (CDX.NA.HY.24 Index) Fixed 5.000% USD 20/06/2020 171 0.00


Total Return Swaps

762,750 Floating (USD 1 month LIBOR) Floating

(Markit iBoxx CVBX

Index Series 12) USD 23/10/2015 2,415 0.04






Total Return Swaps

350,000 Floating (Markit iBoxx

CVBX Index Series 12) Floating

(USD 6 month LIBOR) USD 28/10/2015 (3,165) (0.05)




(cost USD 4 ,716 ,466) 4,752,193 80.91



% of











The counterparties for forward currency contracts were Morgan Stanley and Co. International and UBS AG London.

The counterparties for swap contracts were Credit Suisse Debt Capital Markets and Goldman Sachs International.

The counterparty for options was Morgan Stanley and Co. International.







554



As at 31 May 2015

Goldman Sachs Funds—Liquid Alternative Beta Trend Portfolio



United States



1,250,293 17.12


(cost USD 1 ,250 ,301) 1,250,293 17.12


Ireland


TOTAL MUTUAL FUNDS

(cost USD 628 ,504) 628,504 8.60


(cost USD 1 ,878 ,805) 1,878,797 25.72



United States



1,000,000 United States Treasury Bill USD 0.008% 20/08/2015 999,989 13.69





4,099,652 56.11


(cost USD 4 ,098 ,979) 4,099,652 56.11


(cost USD 4 ,098 ,979) 4,099,652 56.11


(cost USD 5 ,977 ,784) 5,978,449 81.83





CAD


EUR



2,302,764 18,806 0.26

GBP




6 FTSE 100 Index Futures 19/06/2015 Long 637,649 2,487 0.03


3,048,480 9,810 0.13

JPY


4 TOPIX Index Futures 11/06/2015 Long 538,620 38,680 0.53

1,728,273 39,011 0.53

% of



Maturity Date(b)

USD Equity

555



As at 31 May 2015






USD

6 90-Day Eurodollar Futures 14/12/2015 Long 1,491,525 728 0.01




3 Mini-Russell 2000 Index Futures 19/06/2015 Long 373,290 370 0.01




5,958,607 17,851 0.25





CAD

2 S&P TSX 60 Index Futures 18/06/2015 Long 279,944 (2,538) (0.03)

EUR



14 DJ Euro STOXX 50 Index Futures 19/06/2015 Long 546,728 (10,713) (0.15)

16 German Federal Republic Bonds 2YR Futures 08/06/2015 Long 1,950,188 (654) (0.01)



5,305,664 (36,328) (0.50)

HKD

2 Hang Seng Index Futures 29/06/2015 Long 350,433 (13,359) (0.18)

KRW


USD

7 90-Day Eurodollar Futures 19/09/2016 Long 1,729,700 (98) (0.00)

3 E-Mini S&P MidCap 400 Index Futures 19/06/2015 Long 456,960 (3,472) (0.05)

2,186,660 (3,570) (0.05)



Unrealised % of



USD 394,394 AUD 510,000 23/06/2015 4,457 0.06

USD 639,836 CAD 790,000 23/06/2015 7,178 0.10

USD 548,323 EUR 500,000 23/06/2015 0 0.00

USD 187,772 GBP 120,000 23/06/2015 4,686 0.07

USD 324,953 HUF 91,290,000 23/06/2015 1,675 0.02

USD 1,129,399 JPY 137,050,000 23/06/2015 24,699 0.34

USD 336,076 MXN 5,140,000 23/06/2015 3,335 0.05

USD 98,948 NOK 760,000 23/06/2015 1,541 0.02

USD 656,047 NZD 900,000 23/06/2015 16,853 0.23

USD 239,752 PLN 900,000 23/06/2015 241 0.00

USD 213,203 SEK 1,800,000 23/06/2015 2,445 0.03

USD 215,878 SGD 290,000 23/06/2015 986 0.01

USD 108,822 ZAR 1,310,000 23/06/2015 1,540 0.02

USD 196,953 BRL 610,000 24/06/2015 7,331 0.10

USD 243,384 KRW 269,980,000 24/06/2015 1,027 0.02


556



As at 31 May 2015



Unrealised % of



CHF 80,000 USD 85,564 23/06/2015 (697) (0.01)

GBP 100,000 USD 154,333 23/06/2015 (1,761) (0.02)

JPY 3,930,000 USD 31,790 23/06/2015 (113) (0.00)

USD 105,408 CHF 100,000 23/06/2015 (675) (0.01)

USD 231,837 CZK 5,800,000 23/06/2015 (230) (0.00)

KRW 21,970,000 USD 20,060 24/06/2015 (338) (0.01)

TWD 15,000,000 USD 492,372 24/06/2015 (4,783) (0.07)



Unrealised % of



EUR 103,262 USD 114,861 23/06/2015 (1,619) (0.02)

GBP 103,453 USD 161,880 23/06/2015 (4,040) (0.06)



(cost USD 5 ,977 ,784) 6,076,834 83.17



% of













The counterparties for forward currency contracts were Deutsche Bank AG, Goldman Sachs International, HSBC Bank Plc., Morgan Stanley and Co. International, Royal Bank of

Scotland Plc., Societe Generale S.A., State Street Bank & Trust, UBS AG London.







557



As at 31 May 2015

Goldman Sachs Funds—Multi-Asset Dynamic Strategy Portfolio



United States



(cost USD 18 ,100 ,000) 18,100,000 14.67


United States

145,400 Vanguard FTSE Emerging Markets ETF 6,156,236 4.99

TOTAL MUTUAL FUNDS

(cost USD 5 ,947 ,892) 6,156,236 4.99


(cost USD 24 ,047 ,892) 24,256,236 19.66



United States









77,491,044 62.82


(cost USD 77 ,480 ,211) 77,491,044 62.82


(cost USD 77 ,480 ,211) 77,491,044 62.82


(cost USD 101 ,528 ,103) 101,747,280 82.48





CAD


EUR



3,624,552 28,626 0.02

GBP

7 90-Day Sterling Futures 16/12/2015 Long 1,326,128 515 0.00





46,930,130 857,179 0.70

JPY



7,473,951 267,080 0.22

% of



Maturity Date(b)

USD Equity

558



As at 31 May 2015






USD

9 90-Day Eurodollar Futures 14/12/2015 Long 2,237,287 1,117 0.00





11 E-Mini S&P MidCap 400 Index Futures 19/06/2015 Long 1,675,520 20,424 0.02




27,124,743 172,759 0.14





CAD

3 S&P TSX 60 Index Futures 18/06/2015 Long 419,916 (5,928) (0.00)

EUR







13,807,807 (89,155) (0.07)

HKD

18 Hang Seng Index Futures 29/06/2015 Long 3,153,898 (120,231) (0.10)

KRW


USD

12 Mini-Russell 2000 Index Futures 19/06/2015 Long 1,493,160 (3,915) (0.00)



Unrealised % of



USD 631,081 AUD 820,000 23/06/2015 4,124 0.00

USD 915,340 CAD 1,130,000 23/06/2015 10,398 0.01

USD 297,306 GBP 190,000 23/06/2015 7,420 0.01

USD 433,978 HUF 121,860,000 23/06/2015 2,444 0.00

USD 1,725,877 JPY 209,110,000 23/06/2015 40,333 0.03

USD 543,244 MXN 8,310,000 23/06/2015 5,290 0.01

USD 1,042,755 NZD 1,430,000 23/06/2015 27,147 0.02

USD 340,612 SEK 2,900,000 23/06/2015 1,057 0.00

USD 194,617 SGD 260,000 23/06/2015 1,956 0.00

USD 225,817 BRL 690,000 24/06/2015 11,327 0.01


Unrealised % of



CHF 140,000 USD 149,711 23/06/2015 (1,195) (0.00)

USD 280,608 CZK 7,060,000 23/06/2015 (1,874) (0.00)

USD 887,344 EUR 810,000 23/06/2015 (939) (0.00)

USD 385,646 PLN 1,450,000 23/06/2015 (233) (0.00)

USD 173,334 ZAR 2,120,000 23/06/2015 (282) (0.00)

TWD 14,680,000 USD 482,875 24/06/2015 (5,688) (0.01)


559



As at 31 May 2015



Unrealised % of



GBP 81,115,625 USD 126,927,047 23/06/2015 (3,167,722) (2.57)



Unrealised % of



Written Options

USD

(3,000) Put S&P 500 Index Expires 19/06/2015 Strike 1,975.00 50,523 (9,900) (0.01)



115,543 (140,670) (0.11)


(cost USD (256 ,213) ) (140,670) (0.11)






1,323,000 Floating (LCDX.NA.21-V3 Index) Fixed 2.500% USD 20/12/2018 1,365 0.00


3,900,000 Floating (CDX.NA.HY.24) Fixed 5.000% USD 20/06/2020 7,528 0.01


Total Return Swaps

1,576,350 Floating Floating

(USD 1 month LIBOR + (Markit iBoxx CVBX

0.60%) Index Series 12) USD 23/10/2015 4,991 0.00






Total Return Swaps

1,524,637 Floating (1 month LIBOR+ 0.60%) Floating (S&P Long Only Merger


1,919,321 Floating (1 month LIBOR) Floating (CTRB Bloomberg

Commodity Index) USD 03/11/2015 (51,810) (0.04)



750,000 Floating (Markit iBoxx

CVEX Index Series 12) Floating (6 month LIBOR) USD 28/10/2015 (6,783) (0.01)






(cost USD 101 ,271 ,890) 99,533,503 80.69




% of









Market value of written options (cost (USD 256,213)) (140,670) (0.11)







The counterparties for forward currency contracts were Deutsche Bank AG, Goldman Sachs International, HSBC Bank Plc., Morgan Stanley and Co. International, Societe Generale

S.A., State Street Bank & Trust and UBS AG London.

The counterparties for swap contracts were Credit Suisse Debt Capital Markets, Goldman Sachs International and Societe Generale S.A.

The counterparty for options was Morgan Stanley and Co. International.






As at 31 May 2015


560

561



Asia PortfolioBase Accumulation Share Class USD 14 November 2005 1.50% 1.90% 1.90%Base Currency Share Class USD 31 May 1994 1.50% 1.90% 1.90%“A” Share Class USD 5 March 2001 1.50% 2.40% 2.40%“B” Share Class USD 5 March 2001 1.50% 3.40% 3.40%“E” Accumulation Share Class EUR 31 July 2001 1.50% 2.65% 2.65%“I” Accumulation Share Class(b) USD 26 October 2007 0.75% 1.21% 1.18%“I” Accumulation Share Class(b) JPY 22 October 2013 0.75% 1.21% 1.20%“I” Share Class(b) USD 13 November 2001 0.75% 1.21% 1.20%“P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.65%“P” Share Class USD 8 September 2008 1.25% 1.65% 1.65%“R” Accumulation Share Class USD 13 December 2012 0.75% 1.15% 1.15%“R” Accumulation Share Class EUR 10 December 2012 0.75% 1.15% 1.15%“R” Share Class USD 10 December 2012 0.75% 1.15% 1.15%

BRICs PortfolioBase Accumulation Share Class USD 17 January 2006 1.75% 2.15% 2.15%Base Accumulation Share Class (Long BRICs CCY vs. USD) EUR 17 March 2006 1.75% 2.15% 2.15%Base Currency Share Class USD 17 January 2006 1.75% 2.15% 2.15%Other Currency Share Class GBP 9 April 2010 1.75% 2.15% 2.15%Other Currency Share Class SGD 21 June 2011 1.75% 2.15% 2.15%“A” Share Class USD 17 January 2006 1.75% 2.65% 2.65%“E” Accumulation Share Class EUR 17 January 2006 1.75% 2.65% 2.65%“I” Accumulation Share Class USD 31 July 2007 0.85% 1.21% 1.10%“I” Accumulation Share Class EUR 4 November 2009 0.85% 1.21% 1.10%“I” Share Class USD 25 March 2010 0.85% 1.21% 1.11%“I” Share Class GBP 24 March 2010 0.85% 1.21% 1.11%“IO” Accumulation Share Class(b) USD 30 November 2007 — 0.36% 0.25%“IO” Accumulation Share Class GBP 19 August 2008 — 0.36% 0.26%“IX” Share Class USD 21 January 2008 1.00% 1.36% 1.26%“P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.57%“P” Share Class USD 8 September 2008 1.25% 1.65% 1.58%“R” Accumulation Share Class USD 13 December 2012 0.85% 1.25% 1.25%“R” Accumulation Share Class EUR 10 December 2012 0.85% 1.25% 1.25%“R” Share Class USD 10 December 2012 0.85% 1.25% 1.25%“R” Share Class GBP 10 December 2012 0.85% 1.25% 1.25%

China Opportunity PortfolioBase Accumulation Share Class USD 26 August 2009 1.75% 2.15% 2.15%Base Currency Share Class USD 26 August 2009 1.75% 2.15% 2.15%“I” Accumulation Share Class USD 26 August 2009 0.85% 1.21% 1.21%“I” Share Class USD 26 August 2009 0.85% 1.21% 1.21%“P” Share Class USD 3 March 2010 1.25% 1.65% 1.65%“P” Accumulation Share Class USD 3 March 2010 1.25% 1.65% 1.65%“R” Accumulation Share Class USD 3 December 2012 0.85% 1.25% 1.25%“R” Accumulation Share Class GBP 10 December 2012 0.85% 1.25% 1.25%“R” Share Class USD 3 December 2012 0.85% 1.25% 1.25%

Europe Equity Partners PortfolioBase Accumulation Share Class EUR 14 November 2005 1.50% 1.90% 1.90%Base Currency Share Class EUR 30 September 1996 1.50% 1.90% 1.90%Base Currency Share Class USD 27 July 1998 1.50% 1.90% 1.90%Other Currency Share Class GBP 14 May 2010 1.50% 1.90% 1.90%“A” Share Class EUR 17 January 2001 1.50% 2.40% 2.40%“A” Share Class USD 25 April 2002 1.50% 2.40% 2.40%“E” Accumulation Share Class EUR 31 July 2001 1.50% 2.65% 2.65%“I” Accumulation Share Class EUR 15 June 2007 0.65% 1.01% 0.84%“I” Share Class EUR 13 November 2001 0.65% 1.01% 0.84%“P” Accumulation Share Class EUR 8 September 2008 1.25% 1.65% 1.52%“P” Share Class EUR 8 September 2008 1.25% 1.65% 1.51%“R” Accumulation Share Class EUR 13 December 2012 0.65% 1.05% 1.05%“R” Share Class EUR 10 December 2012 0.65% 1.05% 1.05%“R” Share Class GBP 13 December 2012 0.65% 1.05% 1.05%“R” Share Class USD 13 December 2012 0.65% 1.05% 1.05%

Total NetInception Advisory Fee Expense Expense

Currency Date Rate Cap Ratio(a)

Goldman Sachs Funds

Appendix I—Advisory Fee Rates, Expense Caps and

Total Net Expense Ratios (Unaudited)

As at 31 May 2015

(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 2014 to 31 May 2015. TER’s are annualised for Portfolios operating less than one year.** CU = Currency units in the Portfolio’s accounting currency.

(b)The annual TER of this share class is below expense cap but accrued waivers during the period.

(c)Refer to Appendix II.

(d)The expense cap does not include the GSAMI fee portion paid to external Sub-Investment Advisors.

(e)The expense cap does not include performance fees.

The above expense ratios are an average throughout the period to 31 May 2015. The above Expense Caps represent the expense cap levels at period end 31 May 2015.

562


Global Equity Partners PortfolioBase Accumulation Share Class USD 23 February 2006 1.50% 1.90% 1.90%Base Accumulation Share Class (USD Hedged Class)(c) USD 10 April 2015 1.50% 1.90% 1.90%Base Currency Share Class USD 25 July 2007 1.50% 1.90% 1.90%Base Currency Share Class (USD Hedged Class)(c) USD 10 April 2015 1.50% 1.90% 1.90%Other Currency Accumulation Share Class GBP 3 July 2006 1.50% 1.90% 1.90%Other Currency Accumulation Share Class EUR 23 February 2006 1.50% 1.90% 1.90%Other Currency Accumulation Share Class (EUR Hedged Class)(c) EUR 10 April 2015 1.50% 1.90% 1.90%Other Currency Share Class GBP 3 July 2006 1.50% 1.90% 1.90%Other Currency Share Class (EUR Hedged Class)(c) EUR 10 April 2015 1.50% 1.90% 1.90%“A” Accumulation Share Class USD 17 April 2009 1.50% 2.40% 2.40%“A” Share Class USD 17 April 2009 1.50% 2.40% 2.40%“E” Accumulation Share Class EUR 17 April 2009 1.50% 2.65% 2.65%“I” Accumulation Share Class EUR 13 December 2011 0.75% 1.11% 0.85%“I” Accumulation Share Class USD 25 October 2013 0.75% 1.11% 0.85%“IO” Accumulation Share Class USD 2 January 2013 — 0.36% 0.10%“IO” Accumulation Share Class GBP 5 June 2013 — 0.36% 0.10%“IO” Accumulation Share Class (USD Hedged Class)(c) USD 20 March 2015 0.00% 0.36% 0.10%“IO” Share Class GBP 14 November 2013 0.75% 1.11% 0.85%“IO” Share Class USD 30 June 2014 — 0.36% 0.10%“P” Accumulation Share Class USD 17 April 2009 1.25% 1.65% 1.42%“P” Share Class USD 17 April 2009 1.25% 1.65% 1.42%“R” Accumulation Share Class USD 13 December 2012 0.75% 1.15% 1.15%“R” Share Class USD 13 December 2012 0.75% 1.15% 1.15%“R” Share Class GBP 13 December 2012 0.75% 1.15% 1.15%

Global Equity Unconstrained PortfolioBase Accumulation Share Class USD 19 September 2012 1.50% 1.90% 1.90%“I” Accumulation Share Class USD 19 September 2012 0.75% 1.11% 1.11%“R” Accumulation Share Class USD 3 December 2012 0.75% 1.15% 1.15%“R” Share Class USD 3 December 2012 0.75% 1.15% 1.15%

Global Responsible Equity PortfolioBase Accumulation Snap Share Class USD 16 September 2008 1.50% 1.75% 1.75%Other Currency Snap Share Class GBP 14 May 2010 1.50% 1.75% 1.75%“A” Accumulation Snap Share Class USD 16 September 2008 1.50% 2.25% 2.25%“A” Snap Share Class USD 16 September 2008 1.50% 2.25% 2.25%“E” Accumulation Snap Share Class EUR 16 September 2008 1.50% 2.25% 2.25%“E” Snap Share Class EUR 16 September 2008 1.50% 2.25% 2.25%“I” Accumulation Snap Share Class USD 16 September 2008 0.75% 0.96% 0.96%“P” Accumulation Snap Share Class USD 16 September 2008 1.25% 1.50% 1.50%“P” Accumulation Snap Share Class EUR 16 September 2008 1.25% 1.50% 1.50%“P” Snap Share Class USD 16 September 2008 1.25% 1.50% 1.50%“P” Snap Share Class EUR 16 September 2008 1.25% 1.50% 1.50%“R” Accumulation Snap Share Class USD 3 December 2012 0.75% 1.00% 1.00%“R” Snap Share Class USD 3 December 2012 0.75% 1.00% 1.00%

GMS Dynamic World Equity Portfolio(d)

Base Accumulation Share Class USD 31 July 2007 0.70% 1.00% 1.41%Base Currency Share Class USD 15 March 2006 0.70% 1.00% 1.41%Other Currency Accumulation Share Class EUR 31 May 2011 0.70% 1.00% 1.41%“I” Share Class USD 31 May 2011 0.30% 0.56% 0.94%“IO” Accumulation Share Class USD 29 February 2012 — 0.26% 0.64%“R” Accumulation Share Class USD 31 December 2012 — 0.30% 0.72%“R” Accumulation Share Class EUR 31 December 2012 — 0.30% 0.71%“R” Share Class USD 31 December 2012 — 0.30% 0.72%

Growth & Emerging Markets Broad Equity PortfolioBase Accumulation Share Class USD 14 November 2005 1.75% 2.25% 2.25%Base Currency Share Class USD 15 December 1997 1.75% 2.25% 2.25%Other Currency Snap Share Class GBP 14 May 2010 1.75% 2.25% 2.25%“A” Share Class USD 5 March 2001 1.75% 2.63% 2.63%“B” Share Class USD 5 March 2001 1.75% 3.63% 3.63%“E” Accumulation Share Class EUR 31 July 2001 1.75% 2.75% 2.75%“I” Accumulation Share Class(b) USD 7 March 2006 0.85% 1.31% 1.16%“I” Share Class USD 6 July 2001 0.85% 1.31% 1.16%“IO” Accumulation Share Class USD 30 November 2007 — 0.46% 0.32%“IO” Accumulation Share Class GBP 19 August 2008 — 0.46% 0.32%“IX” Share Class USD 4 September 2007 1.00% 1.46% 1.32%

Goldman Sachs Funds



As at 31 May 2015









563


Growth & Emerging Markets Broad Equity Portfolio (continued)“P” Accumulation Share Class USD 8 September 2008 1.25% 1.75% 1.64%“P” Share Class USD 8 September 2008 1.25% 1.75% 1.63%“R” Accumulation Share Class USD 13 December 2012 0.85% 1.35% 1.35%“R” Share Class USD 13 December 2012 0.85% 1.35% 1.35%“R” Share Class GBP 13 December 2012 0.85% 1.35% 1.35%

Growth Markets Plus Equity PortfolioBase Accumulation Share Class USD 10 September 2013 1.75% 2.15% 2.15%Base Currency Share Class USD 10 September 2013 1.75% 2.15% 2.15%“E” Accumulation Share Class EUR 10 September 2013 1.75% 2.90% 2.90%“I” Accumulation Share Class USD 10 September 2013 0.85% 1.21% 1.21%“IO” Share Class AUD 30 September 2013 — 0.36% 0.36%“R” Accumulation Share Class USD 10 September 2013 0.85% 1.25% 1.25%“R” Share Class USD 10 September 2013 0.85% 1.25% 1.25%“R” Share Class GBP 4 October 2013 0.85% 1.25% 1.25%

India Equity PortfolioBase Accumulation Share Class USD 26 March 2008 1.75% 2.25% 2.25%Base Currency Share Class USD 26 March 2008 1.75% 2.25% 2.25%Other Currency Accumulation Share Class(c) SEK 23 February 2015 1.75% 2.25% 2.25%Other Currency Share Class GBP 14 May 2010 1.75% 2.25% 2.25%“A” Share Class USD 26 March 2008 1.75% 2.75% 2.75%“E” Accumulation Share Class EUR 26 March 2008 1.75% 2.75% 2.75%“I” Accumulation Share Class USD 26 March 2008 0.85% 1.31% 1.01%“I” Share Class USD 26 March 2008 0.85% 1.31% 1.01%“P” Accumulation Share Class USD 8 September 2008 1.25% 1.75% 1.49%“P” Share Class USD 8 September 2008 1.25% 1.75% 1.47%“R” Accumulation Share Class USD 3 December 2012 0.85% 1.35% 1.35%“R” Share Class USD 3 December 2012 0.85% 1.35% 1.35%“R” Share Class GBP 10 December 2012 0.85% 1.35% 1.35%

Japan Equity Partners Portfolio(c)

Base Accumulation Share Class(c) JPY 27 May 2015 1.50% 1.90% 1.90%Other Currency Accumulation Share Class (CHF Hedged Class)(c) CHF 27 May 2015 1.50% 1.90% 1.90%Other Currency Accumulation Share Class (EUR Hedged Class)(c) EUR 27 May 2015 1.50% 1.90% 1.90%“I” Accumulation Share Class(c) GBP 27 May 2015 0.75% 1.11% 1.11%“I” Accumulation Share Class(c) JPY 27 May 2015 0.75% 1.11% 1.11%“I” Accumulation Share Class (EUR Hedged Class)(c) EUR 27 May 2015 0.75% 1.11% 1.11%“I” Accumulation Share Class (GBP Hedged Class)(c) GBP 27 May 2015 0.75% 1.11% 1.11%“R” Accumulation Share Class(c) JPY 27 May 2015 0.75% 1.15% 1.15%“R” Accumulation Share Class (EUR Hedged Class)(c) EUR 27 May 2015 0.75% 1.15% 1.15%“R” Accumulation Share Class (GBP Hedged Class)(c) GBP 27 May 2015 0.75% 1.15% 1.15%

Japan PortfolioBase Accumulation Share Class JPY 14 November 2005 1.50% 1.90% 1.90%Base Currency Share Class JPY 30 April 1996 1.50% 1.90% 1.90%Other Currency Accumulation Share Class (EUR Hedged Class) EUR 26 April 2011 1.50% 1.90% 1.90%Other Currency Accumulation Share Class (SEK Hedged Class) SEK 12 June 2013 1.50% 1.90% 1.90%Other Currency Accumulation Share Class (USD Hedged Class) USD 2 May 2013 1.50% 1.90% 1.90%Other Currency Share Class USD 21 January 2002 1.50% 1.90% 1.90%Other Currency Share Class GBP 14 May 2010 1.50% 1.90% 1.90%“A” Share Class USD 5 March 2001 1.50% 2.40% 2.40%“B” Share Class USD 5 March 2001 1.50% 3.40% 3.40%“E” Accumulation Share Class EUR 31 July 2001 1.50% 2.65% 2.65%“E” Accumulation Share Class (EUR Hedged Class) EUR 17 May 2013 1.50% 2.65% 2.65%“I” Accumulation Share Class JPY 31 October 2007 0.65% 1.01% 0.74%“I” Accumulation Share Class (EUR Hedged Class) EUR 5 April 2013 0.65% 1.01% 0.74%“I” Accumulation Share Class (USD Hedged Class) USD 16 August 2013 0.65% 1.01% 0.74%“I” Share Class JPY 13 November 2001 0.65% 1.01% 0.74%“P” Accumulation Share Class JPY 8 September 2008 1.25% 1.65% 1.40%“P” Accumulation Share Class (USD Hedged Class) USD 2 May 2013 1.25% 1.65% 1.41%“P” Share Class JPY 8 September 2008 1.25% 1.65% 1.41%“R” Accumulation Snap Share Class JPY 3 December 2012 0.65% 1.05% 1.05%“R” Snap Share Class JPY 3 December 2012 0.65% 1.05% 1.05%“R” Snap Share Class GBP 10 December 2012 0.65% 1.05% 1.05%

Goldman Sachs Funds



As at 31 May 2015









564


N-11® Equity PortfolioBase Accumulation Share Class USD 26 January 2011 1.75% 2.15% 2.15%Base Currency Share Class USD 26 January 2011 1.75% 2.15% 2.15%Other Currency Accumulation Share Class EUR 26 January 2011 1.75% 2.15% 2.15%Other Currency Share Class GBP 26 January 2011 1.75% 2.15% 2.15%Other Currency Share Class EUR 2 March 2011 1.75% 2.15% 2.15%Other Currency Share Class SGD 21 June 2011 1.75% 2.15% 2.15%“E” Accumulation Share Class EUR 26 January 2011 1.75% 2.90% 2.90%“I” Accumulation Share Class USD 26 January 2011 0.85% 1.21% 1.03%“I” Share Class USD 26 January 2011 0.85% 1.21% 1.03%“I” Share Class GBP 5 December 2011 0.85% 1.21% 1.03%“IO” Accumulation Share Class USD 8 November 2012 — 0.36% 0.18%“P” Accumulation Share Class USD 26 January 2011 1.25% 1.65% 1.49%“P” Share Class USD 26 January 2011 1.25% 1.65% 1.50%“R” Accumulation Share Class USD 10 December 2012 0.85% 1.25% 1.25%“R” Accumulation Share Class EUR 10 December 2012 0.85% 1.25% 1.25%“R” Share Class USD 13 December 2012 0.85% 1.25% 1.25%“R” Share Class EUR 10 December 2012 0.85% 1.25% 1.25%“R” Share Class GBP 10 December 2012 0.85% 1.25% 1.25%

Strategic Global Equity PortfolioBase Accumulation Share Class USD 14 November 2005 1.50% 1.90% 1.90%Base Currency Share Class USD 4 December 1992 1.50% 1.90% 1.90%“A” Share Class USD 5 March 2001 1.50% 2.40% 2.40%“E” Accumulation Share Class EUR 31 July 2001 1.50% 2.65% 2.65%“I” Accumulation Share Class USD 26 October 2007 0.65% 1.01% 1.01%“P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.65%“P” Share Class USD 8 September 2008 1.25% 1.65% 1.65%“R” Accumulation Share Class USD 13 December 2012 0.65% 1.05% 1.05%“R” Share Class USD 13 December 2012 0.65% 1.05% 1.05%“R” Share Class GBP 13 December 2012 0.65% 1.05% 1.05%

US Equity PortfolioBase Accumulation Share Class USD 3 February 2006 1.50% 1.80% 1.80%Base Currency Share Class USD 3 February 2006 1.50% 1.80% 1.80%Other Currency Accumulation Share Class EUR 29 November 2010 1.50% 1.80% 1.80%Other Currency Accumulation Share Class (EUR Hedged Class) EUR 17 June 2009 1.50% 1.80% 1.80%Other Currency Share Class GBP 14 May 2010 1.50% 1.80% 1.80%Other Currency Share Class SGD 21 June 2011 1.50% 1.80% 1.80%“A” Share Class USD 3 February 2006 1.50% 2.30% 2.30%“E” Accumulation Share Class EUR 3 February 2006 1.50% 2.55% 2.55%“E” Accumulation Share Class (EUR Hedged Class) EUR 6 July 2010 1.50% 2.55% 2.55%“I” Accumulation Share Class USD 26 October 2007 0.75% 1.11% 0.80%“I” Share Class USD 11 June 2010 0.75% 1.11% 0.80%“I” Share Class GBP 27 September 2010 0.75% 1.11% 0.80%“IO” Accumulation Share Class USD 8 June 2011 — 0.36% 0.05%“P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.37%“P” Share Class USD 8 September 2008 1.25% 1.65% 1.37%“R” Accumulation Share Class USD 13 December 2012 0.75% 1.05% 1.05%“R” Accumulation Share Class EUR 10 December 2012 0.75% 1.05% 1.05%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.75% 1.05% 1.05%“R” Share Class USD 10 December 2012 0.75% 1.05% 1.05%“R” Share Class GBP 10 December 2012 0.75% 1.05% 1.05%

US Focused Growth Equity PortfolioBase Accumulation Share Class USD 14 November 2005 1.50% 1.90% 1.90%Base Currency Share Class USD 15 November 1999 1.50% 1.90% 1.90%“A” Share Class USD 5 March 2001 1.50% 2.40% 2.40%“B” Share Class USD 5 March 2001 1.50% 3.40% 3.40%“E” Accumulation Share Class EUR 10 January 2005 1.50% 2.65% 2.65%“I” Accumulation Share Class USD 26 October 2007 0.75% 1.11% 1.05%“I” Share Class USD 6 July 2001 0.75% 1.11% 1.10%“P” Accumulation Share Class USD 8 September 2008 1.25% 1.65% 1.65%“P” Share Class USD 8 September 2008 1.25% 1.65% 1.65%“R” Accumulation Share Class USD 13 December 2012 0.75% 1.15% 1.15%“R” Share Class USD 13 December 2012 0.75% 1.15% 1.15%“R” Share Class GBP 10 December 2012 0.75% 1.15% 1.15%

Goldman Sachs Funds



As at 31 May 2015









565


Goldman Sachs Funds



As at 31 May 2015


Europe CORE® Equity PortfolioBase Accumulation Share Class EUR 14 November 2005 1.25% 1.50% 1.50%Base Currency Share Class EUR 1 October 1999 1.25% 1.50% 1.50%“A” Share Class EUR 5 March 2001 1.25% 2.00% 2.00%“A” Share Class USD 31 October 2006 1.25% 2.00% 2.00%“E” Accumulation Share Class EUR 10 January 2005 1.25% 2.00% 2.00%“I” Accumulation Share Class(b) EUR 5 September 2006 0.50% 0.71% 0.68%“I” Share Class(b) EUR 28 October 2002 0.50% 0.71% 0.69%“IO” Accumulation Share Class EUR 10 December 2007 — 0.21% 0.21%“P” Accumulation Share Class EUR 11 June 2007 1.00% 1.25% 1.25%“R” Accumulation Share Class EUR 10 December 2012 0.50% 0.75% 0.75%“R” Share Class EUR 3 December 2012 0.50% 0.75% 0.75%“R” Share Class GBP 3 December 2012 0.50% 0.75% 0.75%

Global CORE® Equity PortfolioBase Accumulation Close Share Class USD 21 November 2005 1.25% 1.50% 1.50%Base Accumulation Snap Share Class USD 14 November 2005 1.25% 1.50% 1.50%Base Currency Close Share Class USD 21 November 2005 1.25% 1.50% 1.50%Base Currency Snap Share Class USD 14 October 2004 1.25% 1.50% 1.50%“A” Snap Share Class USD 8 March 2006 1.25% 2.00% 2.00%“E” Accumulation Close Share Class EUR 31 October 2006 1.25% 2.00% 2.00%“E” Accumulation Snap Share Class EUR 29 June 2005 1.25% 2.00% 2.00%“I” Accumulation Close Share Class USD 31 January 2006 0.50% 0.71% 0.62%“I” Accumulation Close Share Class EUR 26 October 2007 0.50% 0.71% 0.62%“I” Close Share Class USD 10 July 2006 0.50% 0.71% 0.62%“I” Snap Share Class USD 14 October 2004 0.50% 0.71% 0.62%“IO” Accumulation Close Share Class USD 30 November 2007 — 0.21% 0.12%“IO” Accumulation Close Share Class GBP 19 August 2008 — 0.21% 0.12%“IO” Accumulation Close Share Class EUR 25 September 2008 — 0.21% 0.12%“IO” Accumulation Snap Share Class(c) USD 21 April 2015 — 0.21% 0.12%“IO” Snap Share Class USD 30 June 2014 — 0.21% 0.12%“P” Accumulation Snap Share Class USD 11 June 2007 1.00% 1.25% 1.18%“P” Snap Share Class USD 3 April 2009 1.00% 1.25% 1.19%“R” Accumulation Snap Share Class USD 3 December 2012 0.50% 0.75% 0.75%“R” Snap Share Class USD 3 December 2012 0.50% 0.75% 0.75%

Global Small Cap CORE® Equity PortfolioBase Currency Close Share Class USD 3 August 2006 1.25% 1.50% 1.50%Base Currency Snap Share Class USD 3 August 2006 1.25% 1.50% 1.50%“A” Close Share Class USD 30 March 2007 1.25% 2.00% 2.00%“A” Snap Share Class USD 18 June 2007 1.25% 2.00% 2.00%“E” Accumulation Close Share Class EUR 30 March 2007 1.25% 2.00% 2.00%“E” Accumulation Snap Share Class EUR 18 June 2007 1.25% 2.00% 2.00%“I” Accumulation Snap Share Class EUR 31 October 2007 0.60% 0.81% 0.73%“IO” Accumulation Close Share Class USD 30 November 2007 — 0.21% 0.13%“IO” Accumulation Close Share Class(b) GBP 19 August 2008 — 0.21% 0.13%“IO” Accumulation Snap Share Class(c) USD 21 April 2015 — 0.21% 0.14%“IO” Snap Share Class(b) USD 30 June 2014 — 0.21% 0.13%“P” Accumulation Snap Share Class USD 11 June 2007 1.00% 1.25% 1.20%“R” Accumulation Snap Share Class USD 3 December 2012 0.60% 0.85% 0.85%“R” Share Class USD 3 December 2012 0.60% 0.85% 0.85%

Growth & Emerging Markets CORE® Equity PortfolioBase Accumulation Close Share Class USD 10 August 2009 1.75% 2.15% 2.15%“I” Accumulation Close Share Class USD 10 August 2009 0.65% 1.01% 0.85%“P” Accumulation Close Share Class USD 19 November 2012 0.80% 1.20% 1.07%“P” Close Share Class(b) USD 19 November 2012 0.80% 1.20% 1.08%“IO” Accumulation Close Share Class GBP 8 July 2011 — 0.36% 0.20%“IO” Accumulation Close Share Class USD 10 August 2009 — 0.36% 0.20%“IO” Close Share Class USD 30 June 2014 — 0.36% 0.20%“R” Accumulation Close Share Class USD 3 December 2012 0.65% 1.05% 1.05%“R” Close Share Class USD 3 December 2012 0.65% 1.05% 1.05%“R” Close Share Class GBP 10 December 2012 0.65% 1.05% 1.05%









566


US CORE® Equity PortfolioBase Accumulation Close Share Class USD 21 November 2005 1.25% 1.50% 1.50%Base Accumulation Snap Share Class USD 14 November 2005 1.25% 1.50% 1.50%Base Currency Close Share Class USD 21 November 2005 1.25% 1.50% 1.50%Base Currency Snap Share Class USD 18 November 1996 1.25% 1.50% 1.50%“A” Snap Share Class USD 5 March 2001 1.25% 2.00% 2.00%“B” Snap Share Class USD 5 March 2001 1.25% 3.00% 3.00%“E” Accumulation Snap Share Class EUR 31 July 2001 1.25% 2.00% 2.00%“I” Accumulation Snap Share Class(c) USD 3 December 2014 0.50% 0.71% 0.59%“I” Snap Share Class USD 22 February 2002 0.50% 0.71% 0.59%“P” Accumulation Snap Share Class(b) USD 11 June 2007 0.80% 1.05% 0.96%“P” Snap Share Class USD 25 April 2008 0.80% 1.05% 0.96%“R” Accumulation Snap Share Class USD 3 December 2012 0.50% 0.75% 0.75%“R” Snap Share Class USD 3 December 2012 0.50% 0.75% 0.75%“R” Snap Share Class GBP 3 December 2012 0.50% 0.75% 0.75%“U” Close Share Class USD 27 February 2004 1.05% 1.30% 1.21%

US Small Cap CORE® Equity PortfolioBase Accumulation Close Share Class USD 5 December 2005 1.25% 1.50% 1.50%Base Accumulation Snap Share Class USD 5 December 2005 1.25% 1.50% 1.50%Base Currency Snap Share Class USD 5 December 2005 1.25% 1.50% 1.50%“A” Close Share Class USD 5 December 2005 1.25% 2.00% 2.00%“E” Accumulation Close Share Class EUR 5 December 2005 1.25% 2.00% 2.00%“E” Accumulation Snap Share Class EUR 5 December 2005 1.25% 2.00% 2.00%“I” Accumulation Snap Share Class(b) USD 26 October 2007 0.60% 0.81% 0.80%“I” Snap Share Class USD 9 October 2006 0.60% 0.81% 0.81%“P” Accumulation Snap Share Class USD 11 June 2007 0.80% 1.05% 1.05%“R” Accumulation Snap Share Class USD 3 December 2012 0.60% 0.85% 0.85%“R” Snap Share Class USD 3 December 2012 0.60% 0.85% 0.85%“R” Snap Share Class GBP 10 December 2012 0.60% 0.85% 0.85%


GIVI Europe Equity PortfolioBase Accumulation Close Share Class EUR 15 May 2012 0.55% 0.80% 0.80%Base Accumulation Snap Share Class EUR 15 May 2012 0.55% 0.80% 0.80%Base Currency Snap Share Class EUR 15 May 2012 0.55% 0.80% 0.80%“E” Accumulation Snap Share Class EUR 15 May 2012 0.55% 1.05% 1.05%“I” Accumulation Close Share Class EUR 15 May 2012 0.20% 0.35% 0.35%“IO” (Dis) (Semi-Annual) Snap Share Class(c) EUR 6 February 2015 0.00% 0.15% 0.15%“R” Accumulation Snap Share Class EUR 3 December 2012 0.20% 0.45% 0.45%“R” Snap Share Class EUR 3 December 2012 0.20% 0.45% 0.45%

GIVI Global Equity – Growth Markets Tilt PortfolioBase Accumulation Close Share Class USD 29 June 2012 0.60% 0.85% 0.85%Base Accumulation Snap Share Class USD 29 June 2012 0.60% 0.85% 0.85%Base Snap Share Class USD 29 June 2012 0.60% 0.85% 0.85%“E” Accumulation Snap Share Class EUR 29 June 2012 0.60% 1.10% 1.10%“I” Accumulation Close Share Class USD 29 June 2012 0.25% 0.40% 0.40%“IO” Accumulation Close Share Class USD 31 July 2013 — 0.15% 0.15%“P” Accumulation Snap Share Class USD 29 June 2012 0.35% 0.60% 0.60%“P” Snap Share Class USD 29 June 2012 0.35% 0.60% 0.60%“R” Accumulation Snap Share Class USD 3 December 2012 0.25% 0.50% 0.50%“R” Snap Share Class USD 3 December 2012 0.25% 0.50% 0.50%

GIVI Growth and Emerging Markets Equity PortfolioBase Accumulation Close Share Class USD 29 June 2012 0.90% 1.25% 1.25%Base Accumulation Snap Share Class USD 29 June 2012 0.90% 1.25% 1.25%Base Snap Share Class USD 29 June 2012 0.90% 1.25% 1.25%“E” Accumulation Snap Share Class EUR 29 June 2012 0.90% 1.50% 1.50%“I” Accumulation Close Share Class USD 29 June 2012 0.35% 0.60% 0.60%“R” Accumulation Snap Share Class USD 3 December 2012 0.35% 0.70% 0.70%“R” Snap Share Class USD 3 December 2012 0.35% 0.70% 0.70%

Goldman Sachs Funds



As at 31 May 2015









Sector Equity Portfolios

North American Shale Revolution & Energy Infrastructure PortfolioBase Accumulation Share Class USD 14 April 2014 1.75% 2.15% 2.15%Base Currency Share Class USD 14 April 2014 1.75% 2.15% 2.15%“E” Accumulation Share Class EUR 14 April 2014 1.75% 2.90% 2.90%“I” Accumulation Share Class(b) USD 14 April 2014 0.75% 1.11% 0.88%“I” Share Class(b) USD 14 April 2014 0.75% 1.11% 0.88%“P” Accumulation Share Class(b) USD 23 May 2014 1.25% 1.61% 1.45%“P” Share Class(b) USD 23 May 2014 1.25% 1.61% 1.44%“R” Accumulation Share Class USD 14 April 2014 0.75% 1.15% 1.15%“R” Share Class USD 14 April 2014 0.75% 1.15% 1.15%


Euro Fixed Income Portfolio(b)

Base Accumulation Share Class EUR 24 January 2006 0.80% 1.05% 1.05%Base Currency Share Class EUR 24 January 2006 0.80% 1.05% 1.05%“A” Share Class EUR 24 January 2006 0.80% 1.30% 1.30%“E” Accumulation Share Class EUR 28 September 2007 0.80% 1.30% 1.30%“I” Accumulation Share Class EUR 31 October 2007 0.35% 0.56% 0.56%“I” Share Class EUR 21 December 2009 0.35% 0.56% 0.56%“P” Accumulation Share Class EUR 11 June 2007 0.50% 0.75% 0.75%“P” Share Class EUR 7 January 2010 0.50% 0.75% 0.75%“R” Accumulation Share Class EUR 3 December 2012 0.35% 0.60% 0.60%“R” Share Class EUR 3 December 2012 0.35% 0.60% 0.60%

Euro Short Duration Bond PortfolioBase Accumulation Share Class EUR 15 January 2014 0.60% 0.80% 0.80%Base Currency Share Class EUR 15 January 2014 0.60% 0.80% 0.80%“E” Accumulation Share Class EUR 15 January 2014 0.60% 1.05% 1.05%“I” Accumulation Share Class EUR 15 January 2014 0.25% 0.41% 0.41%“I” Share Class EUR 15 January 2014 0.25% 0.41% 0.41%“P” Accumulation Share Class EUR 13 May 2014 0.35% 0.55% 0.55%“P” Share Class EUR 13 May 2014 0.35% 0.55% 0.55%“R” Accumulation Share Class EUR 15 January 2014 0.25% 0.45% 0.45%“R” Share Class EUR 15 January 2014 0.25% 0.45% 0.45%

Europe High Yield Bond PortfolioBase Accumulation Share Class EUR 17 June 2014 1.10% 1.35% 1.35%Base Accumulation Share Class (USD Hedged Class) USD 25 July 2014 1.10% 1.35% 1.35%Base Currency Share Class EUR 17 June 2014 1.10% 1.35% 1.35%“E” Accumulation Share Class EUR 17 June 2014 1.10% 1.95% 1.95%“I” Accumulation Share Class(b) EUR 17 June 2014 0.60% 0.81% 0.75%“I” Share Class(b) EUR 17 June 2014 0.60% 0.81% 0.74%“P” (Dis) (Monthly) Share Class (USD Hedged Class)(b) USD 17 June 2014 0.80% 1.05% 1.00%“P” Accumulation Share Class(b) EUR 17 June 2014 0.80% 1.05% 1.02%“P” Accumulation Share Class (USD Hedged Class)(b) USD 17 June 2014 0.80% 1.05% 1.01%“P” Share Class(b) EUR 17 June 2014 0.80% 1.05% 1.01%“R” Accumulation Share Class EUR 17 June 2014 0.60% 0.85% 0.85%“R” Share Class EUR 17 June 2014 0.60% 0.85% 0.85%“R” Share Class (GBP Hedged Class) GBP 17 June 2014 0.60% 0.85% 0.85%

Global Credit Portfolio (Hedged)Base Accumulation Share Class USD 26 January 2006 1.00% 1.25% 1.25%Base Currency Share Class USD 26 January 2006 1.00% 1.25% 1.25%Other Currency Accumulation Share Class (SEK Hedged Class) SEK 11 April 2014 1.00% 1.25% 1.25%“A” Share Class USD 26 January 2006 1.00% 1.50% 1.50%“E” Accumulation Share Class (EUR Hedged Class) EUR 19 February 2009 1.00% 1.50% 1.50%“I” (Dis) (Quarterly) Share Class (Duration Hedged Class) USD 23 October 2013 0.40% 0.61% 0.51%“I” Accumulation Share Class USD 23 April 2012 0.40% 0.61% 0.51%“I” Accumulation Share Class (CHF Hedged Class) CHF 13 July 2010 0.40% 0.61% 0.51%“I” Accumulation Share Class (EUR Hedged Class) EUR 16 November 2007 0.40% 0.61% 0.51%“I” Accumulation Share Class (EUR Hedged Class) (Duration Hedged Class) EUR 23 July 2013 0.40% 0.61% 0.51%“I” Share Class (GBP Hedged Class) GBP 8 April 2013 0.40% 0.61% 0.52%“IO” Accumulation Share Class USD 17 September 2013 — 0.21% 0.11%“IO” Share Class(b) USD 30 June 2014 — 0.21% 0.12%“P” Accumulation Share Class USD 8 September 2008 0.50% 0.75% 0.68%

Goldman Sachs Funds



As at 31 May 2015







567




Goldman Sachs Funds



As at 31 May 2015

Global Credit Portfolio (Hedged) (continued)“P” Accumulation Share Class (Duration Hedged Class) USD 11 September 2013 0.50% 0.75% 0.69%“P” Accumulation Share Class (EUR Hedged Class) EUR 28 October 2008 0.50% 0.75% 0.68%“P” Accumulation Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 29 October 2013 0.50% 0.75% 0.68%“P” Accumulation Share Class (GBP Hedged Class) GBP 31 August 2012 0.50% 0.75% 0.68%“P” Share Class USD 8 September 2008 0.50% 0.75% 0.67%“P” Share Class (EUR Hedged Class) EUR 5 August 2014 0.50% 0.75% 0.69%“P” Share Class (GBP Hedged Class) GBP 19 October 2010 0.50% 0.75% 0.66%“R” Accumulation Share Class USD 10 December 2012 0.40% 0.65% 0.65%“R” Accumulation Share Class (Duration Hedged Class) USD 29 October 2013 0.40% 0.65% 0.65%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.40% 0.65% 0.65%“R” Accumulation Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 11 September 2013 0.40% 0.65% 0.65%“R” Share Class USD 10 December 2012 0.40% 0.65% 0.65%“R” Share Class (EUR Hedged Class) EUR 27 August 2014 0.40% 0.65% 0.65%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.40% 0.65% 0.65%“R” Share Class (GBP Hedged Class) (Duration Hedged Class) GBP 3 October 2013 0.40% 0.65% 0.65%

Global Fixed Income PortfolioBase Accumulation Share Class USD 14 November 2005 1.00% 1.25% 1.25%Base Currency Share Class USD 26 February 1993 1.00% 1.25% 1.25%“A” Share Class USD 17 January 2001 1.00% 1.50% 1.50%“B” Share Class USD 5 March 2001 1.00% 2.50% 2.50%“E” Accumulation Share Class EUR 31 July 2001 1.00% 1.50% 1.50%“I” Accumulation Share Class EUR 31 October 2007 0.35% 0.56% 0.56%“I” Share Class USD 5 December 2001 0.35% 0.56% 0.56%“IO” Accumulation Share Class USD 26 September 2007 — 0.21% 0.21%“P” Accumulation Share Class USD 29 May 2009 0.40% 0.65% 0.65%“P” Share Class USD 29 May 2009 0.40% 0.65% 0.65%“R” Accumulation Share Class USD 10 December 2012 0.35% 0.60% 0.60%“R” Share Class USD 10 December 2012 0.35% 0.60% 0.60%

Global Fixed Income Portfolio (Hedged)Base Accumulation Share Class EUR 14 November 2005 1.00% 1.25% 1.25%Base Currency Share Class EUR 17 December 2001 1.00% 1.25% 1.25%“E” Accumulation Share Class EUR 18 June 2007 1.00% 1.50% 1.50%“I” Accumulation Share Class EUR 28 September 2007 0.35% 0.56% 0.49%“I” Share Class(b) EUR 17 December 2001 0.35% 0.56% 0.48%“IO” Accumulation Share Class (USD Hedged Class) USD 2 January 2013 — 0.21% 0.12%“IO” Share Class (USD Hedged Class) USD 30 June 2014 — 0.21% 0.13%“IXO” (Dis) (Monthly) Share Class (USD Hedged Class)(c) USD 21 April 2015 — 0.21% 0.10%“P” Accumulation Share Class EUR 29 May 2009 0.40% 0.65% 0.60%“P” Accumulation Share Class (CHF Hedged Class) CHF 31 July 2013 0.40% 0.65% 0.59%“P” Share Class EUR 29 May 2009 0.40% 0.65% 0.62%“P” Share Class (GBP Hedged Class) GBP 31 December 2010 0.40% 0.65% 0.60%“P” Share Class (USD Hedged Class) USD 31 December 2010 0.40% 0.65% 0.60%“R” Accumulation Share Class EUR 3 December 2012 0.35% 0.60% 0.60%“R” Accumulation Share Class (USD Hedged Class) USD 17 October 2014 0.35% 0.60% 0.60%“R” Share Class EUR 3 December 2012 0.35% 0.60% 0.60%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.35% 0.60% 0.60%“R” Share Class (USD Hedged Class) USD 5 December 2012 0.35% 0.60% 0.60%

Global High Yield PortfolioBase Accumulation Share Class USD 14 November 2005 1.10% 1.28% 1.28%Base Accumulation Share Class (Duration Hedged Class) USD 13 July 2011 1.10% 1.28% 1.28%Base Accumulation Share Class (SEK Hedged Class) SEK 10 November 2010 1.10% 1.28% 1.28%Base Currency (Dis) (Monthly) Share Class USD 15 April 2011 1.10% 1.28% 1.28%Base Currency (Dis) (Monthly) Share Class (Duration Hedged Class) USD 25 October 2013 1.10% 1.28% 1.28%Base Currency Share Class USD 27 January 1998 1.10% 1.28% 1.28%Base Currency Share Class (Duration Hedged Class) USD 13 July 2011 1.10% 1.28% 1.28%Other Currency (Dis) (Monthly) Share Class (AUD Hedged Class)(c) AUD 27 March 2015 1.10% 1.28% 1.28%Other Currency (Dis) (Monthly) Share Class

(HKD Hedged Class) (Duration Hedged Class) HKD 8 November 2013 1.10% 1.28% 1.28%Other Currency (Dis) (Monthly) Share Class

(RMB Hedged Class) (Duration Hedged Class) CNH 7 July 2014 1.10% 1.28% 1.28%

568










Global High Yield Portfolio (continued)Other Currency (Dis) (Quarterly) Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 4 October 2013 1.10% 1.28% 1.28%Other Currency (Dis) (Quarterly) Share Class

(SGD Hedged Class) (Duration Hedged Class) SGD 16 August 2013 1.10% 1.28% 1.28%Other Currency Accumulation Share Class (EUR Hedged Class) EUR 18 December 2008 1.10% 1.28% 1.28%Other Currency Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 13 July 2011 1.10% 1.28% 1.28%Other Currency Accumulation Share Class

(CHF Hedged Class) (Duration Hedged Class) CHF 4 October 2013 1.10% 1.28% 1.28%Other Currency Share Class (CHF Hedged Class) CHF 7 August 2014 1.10% 1.28% 1.28%Other Currency Share Class (GBP Hedged Class) GBP 9 December 2009 1.10% 1.28% 1.28%Other Currency Share Class (SGD Hedged Class) SGD 21 June 2011 1.10% 1.28% 1.28%“A” (Dis) (Monthly) Share Class USD 5 May 2011 1.10% 1.53% 1.53%“A” Share Class USD 5 March 2001 1.10% 1.53% 1.53%“B” Share Class USD 5 March 2001 1.10% 2.53% 2.53%“E” (Dis) (Quarterly) Share Class (EUR Hedged Class) EUR 21 April 2011 1.10% 1.78% 1.78%“E” (Dis) (Quarterly) Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 13 July 2011 1.10% 1.78% 1.78%“E” Accumulation Share Class EUR 31 July 2001 1.10% 1.78% 1.78%“E” Accumulation Share Class (EUR Hedged Class) EUR 4 May 2010 1.10% 1.78% 1.78%“E” Accumulation Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 13 July 2011 1.10% 1.78% 1.78%“E” Share Class (EUR Hedged Class) EUR 7 May 1999 1.10% 1.28% 1.28%“I” (Dis) (Monthly) Share Class USD 17 January 2014 0.60% 0.86% 0.66%“I” Accumulation Share Class USD 13 September 2007 0.60% 0.86% 0.66%“I” Accumulation Share Class (CHF Hedged Class)

(Duration Hedged Class) CHF 4 October 2013 0.60% 0.86% 0.66%“I” Accumulation Share Class (Duration Hedged Class) USD 17 August 2011 0.60% 0.86% 0.66%“I” Accumulation Share Class (EUR Hedged Class) EUR 26 October 2007 0.60% 0.86% 0.67%“I” Accumulation Share Class (GBP Hedged Class) GBP 3 June 2009 0.60% 0.86% 0.67%“I” Share Class USD 3 May 2001 0.60% 0.86% 0.66%“I” Share Class (EUR Hedged Class) EUR 27 July 2009 0.60% 0.86% 0.66%“I” Share Class (GBP Hedged Class) GBP 25 October 2007 0.60% 0.86% 0.66%“I” Share Class (GBP Hedged Class) (Duration Hedged Class) GBP 28 July 2011 0.60% 0.86% 0.75%“I” Share Class EUR 1 April 2014 0.60% 0.86% 0.66%“IO” (Dis) (Quarterly) Share Class (AUD Hedged Class) AUD 25 March 2013 — 0.26% 0.06%“IO” Accumulation Share Class USD 26 September 2007 — 0.26% 0.06%“IO” Accumulation Share Class (Duration Hedged Class) USD 2 October 2013 — 0.26% 0.05%“IO” Accumulation Share Class (EUR Hedged Class) EUR 10 December 2007 — 0.26% 0.06%“IO” Accumulation Share Class (GBP Hedged Class) GBP 30 April 2008 — 0.26% 0.06%“IO” Share Class USD 20 June 2006 — 0.26% 0.06%“IO” Share Class (Duration Hedged Class) USD 12 August 2014 — 0.26% 0.06%“IS” Accumulation Share Class (CHF Hedged Class) CHF 9 May 2014 0.48% 0.58% 0.54%“IS” Accumulation Share Class (EUR Hedged Class) EUR 9 May 2014 0.48% 0.58% 0.54%“IS” Accumulation Share Class (GBP Hedged Class) GBP 9 May 2014 0.48% 0.58% 0.54%“IS” Accumulation Share Class (SGD Hedged Class) SGD 9 May 2014 0.48% 0.58% 0.54%“IS” Accumulation Share Class USD 9 May 2014 0.48% 0.58% 0.54%“IS” Share Class (GBP Hedged Class) GBP 12 August 2014 0.48% 0.58% 0.54%“IS” Share Class USD 22 July 2014 0.48% 0.58% 0.54%“IX” Share Class (JPY Hedged Class) JPY 22 December 2010 0.60% 0.86% 0.66%“R” (Dis) (Quarterly) Share Class (EUR Hedged Class)

(Duration Hedged Class)(b)(c) EUR 20 May 2015 0.60% 0.78% 0.18%“R” Accumulation Share Class USD 3 December 2012 0.60% 0.78% 0.78%“R” Accumulation Share Class (CHF Hedged Class) CHF 4 November 2013 0.60% 0.78% 0.78%“R” Accumulation Share Class (CHF Hedged Class)

(Duration Hedged Class) CHF 4 October 2013 0.60% 0.78% 0.78%“R” Accumulation Share Class (Duration Hedged Class)(c) USD 16 March 2015 0.60% 0.78% 0.78%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.60% 0.78% 0.78%“R” Accumulation Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 4 April 2013 0.60% 0.78% 0.78%“R” Share Class USD 3 December 2012 0.60% 0.78% 0.78%“R” Share Class (CHF Hedged Class)(c) CHF 13 March 2015 0.60% 0.78% 0.78%“R” Share Class (Duration Hedged Class) USD 21 May 2013 0.60% 0.78% 0.78%“R” Share Class (EUR Hedged Class) EUR 5 December 2012 0.60% 0.78% 0.78%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.60% 0.78% 0.78%

Goldman Sachs Funds



As at 31 May 2015







569




Goldman Sachs Funds



As at 31 May 2015

Global Sovereign Bond Portfolio(c)

Base Currency Share Class(c) USD 22 May 2015 1.10% 1.35% 1.35%Base Accumulation Share Class(c) USD 22 May 2015 1.10% 1.35% 1.35%“I” Share Class(c) USD 22 May 2015 0.55% 0.76% 0.76%“I” Accumulation Share Class(c) USD 22 May 2015 0.55% 0.76% 0.76%“I” Accumulation Share Class (EUR Partially Hedged Class)(c) EUR 22 May 2015 0.55% 0.76% 0.76%

Growth & Emerging Markets Corporate Bond PortfolioBase Accumulation Share Class USD 17 May 2011 1.25% 1.50% 1.50%Base Currency Share Class USD 17 May 2011 1.25% 1.50% 1.50%Other Currency Accumulation Share Class (EUR Hedged Class) EUR 17 May 2011 1.25% 1.50% 1.50%Other Currency Share Class (EUR Hedged Class) EUR 17 May 2011 1.25% 1.50% 1.50%Other Currency Share Class (GBP Hedged Class) GBP 17 May 2011 1.25% 1.50% 1.50%“A” Share Class USD 17 May 2011 1.25% 1.75% 1.75%“E” (Dis) (Quarterly) Share Class (EUR Hedged Class) EUR 8 August 2012 1.25% 2.00% 2.00%“E” Accumulation Share Class (EUR Hedged Class) EUR 17 May 2011 1.25% 2.00% 2.00%“I” Accumulation Share Class USD 17 May 2011 0.70% 0.91% 0.91%“I” Accumulation Share Class (EUR Hedged Class) EUR 17 May 2011 0.70% 0.91% 0.91%“I” Accumulation Share Class (GBP Hedged Class)(c) GBP 1 December 2014 0.70% 0.91% 0.91%“I” Share Class USD 17 May 2011 0.70% 0.91% 0.91%“I” Share Class (EUR Hedged Class) EUR 17 May 2011 0.70% 0.91% 0.91%“IO” Accumulation Share Class(c) USD 24 April 2015 — 0.21% 0.15%“IO” Share Class USD 15 November 2013 — 0.21% 0.21%“P” Accumulation Share Class USD 8 February 2013 1.00% 1.25% 1.25%“P” Share Class USD 8 February 2013 1.00% 1.25% 1.25%“R” Accumulation Share Class USD 13 December 2012 0.70% 0.95% 0.95%“R” Share Class USD 13 December 2012 0.70% 0.95% 0.95%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.70% 0.95% 0.95%

Growth & Emerging Markets Debt Blend PortfolioBase Accumulation Share Class USD 8 May 2013 1.40% 1.65% 1.65%Base Currency Share Class USD 8 May 2013 1.40% 1.65% 1.65%Other Currency Accumulation Share Class

(EUR Partially Hedged Class) EUR 8 May 2013 1.40% 1.65% 1.65%Other Currency Share Class (EUR Partially Hedged Class) EUR 8 May 2013 1.40% 1.65% 1.65%“E” Accumulation Share Class (EUR Partially Hedged Class) EUR 8 May 2013 1.40% 2.15% 2.15%“I” Accumulation Share Class(b) USD 8 May 2013 0.70% 0.91% 0.85%“I” Accumulation Share Class (GBP Partially Hedged Class)(c) GBP 8 December 2014 0.70% 0.91% 0.91%“I” Share Class USD 8 May 2013 0.70% 0.91% 0.91%“I” Share Class (GBP Partially Hedged Class) GBP 8 May 2013 0.70% 0.91% 0.91%“IO” Accumulation Share Class (GBP Partially Hedged Class) GBP 15 January 2014 — 0.21% 0.21%“R” Accumulation Share Class USD 8 May 2013 0.70% 0.95% 0.95%“R” Share Class USD 8 May 2013 0.70% 0.95% 0.95%“R” Share Class (GBP Hedged Class) GBP 8 May 2013 0.70% 0.95% 0.95%

Growth & Emerging Markets Debt Local PortfolioBase Accumulation Share Class USD 29 June 2007 1.60% 1.85% 1.85%Base Currency (Dis) (Monthly) Share Class USD 15 April 2011 1.60% 1.85% 1.85%Base Currency Share Class USD 29 June 2007 1.60% 1.85% 1.85%Other Currency Share Class GBP 4 June 2010 1.60% 1.85% 1.85%“A” Accumulation Share Class USD 29 June 2007 1.60% 2.10% 2.10%“A” Share Class USD 29 June 2007 1.60% 2.10% 2.10%“E” (Dis) (Quarterly) Share Class EUR 15 April 2011 1.60% 2.10% 2.10%“E” Accumulation Share Class EUR 29 June 2007 1.60% 2.10% 2.10%“E” Share Class EUR 29 June 2007 1.60% 2.10% 2.10%“I” (Dis) (Quarterly) Share Class EUR 24 June 2014 0.70% 0.91% 0.81%“I” Accumulation Share Class EUR 15 March 2010 0.70% 0.91% 0.81%“I” Accumulation Share Class(c) GBP 1 December 2014 0.70% 0.91% 0.82%“I” Accumulation Share Class USD 29 June 2007 0.70% 0.91% 0.81%“I” Share Class USD 29 June 2007 0.70% 0.91% 0.81%“IO” Accumulation Share Class USD 26 September 2007 — 0.21% 0.11%“IO” Share Class AUD 31 January 2013 — 0.21% 0.11%“IO” Share Class USD 30 June 2014 — 0.21% 0.11%“IX” Share Class USD 4 September 2007 1.00% 1.21% 1.11%“IXO” Share Class USD 15 October 2009 — 0.21% 0.11%“P” Accumulation Share Class USD 29 May 2009 1.25% 1.50% 1.42%“P” Share Class USD 29 May 2009 1.25% 1.50% 1.42%

570










Growth & Emerging Markets Debt Local Portfolio (continued)“R” Accumulation Share Class EUR 13 December 2012 0.70% 0.95% 0.95%“R” Accumulation Share Class USD 13 December 2012 0.70% 0.95% 0.95%“R” Share Class EUR 13 December 2012 0.70% 0.95% 0.95%“R” Share Class GBP 10 December 2012 0.70% 0.95% 0.95%“R” Share Class USD 13 December 2012 0.70% 0.95% 0.95%

Growth & Emerging Markets Debt PortfolioBase Accumulation Share Class USD 14 November 2005 1.25% 1.50% 1.50%Base Accumulation Share Class (Duration Hedged Class) USD 13 July 2011 1.25% 1.50% 1.50%Base Accumulation Share Class (EUR Hedged Class) EUR 12 October 2007 1.25% 1.50% 1.50%Base Currency (Dis) (Monthly) Share Class USD 15 April 2011 1.25% 1.50% 1.50%Base Currency Share Class USD 3 May 2000 1.25% 1.50% 1.50%Base Currency Share Class (Duration Hedged Class) USD 13 July 2011 1.25% 1.50% 1.50%Other Currency Accumulation Share Class (CHF Hedged Class)(c) CHF 13 March 2015 1.25% 1.50% 1.50%Other Currency Accumulation Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 13 July 2011 1.25% 1.50% 1.50%Other Currency Share Class (EUR Hedged Class) EUR 9 May 2012 1.25% 1.50% 1.50%Other Currency Share Class (SGD Hedged Class) SGD 21 June 2011 1.25% 1.50% 1.50%“A” (Dis) (Monthly) Share Class USD 5 May 2011 1.25% 1.75% 1.75%“A” Share Class USD 5 March 2001 1.25% 1.75% 1.75%“B” Share Class USD 5 March 2001 1.25% 2.75% 2.75%“E” (Dis) (Quarterly) Share Class (EUR Hedged Class) EUR 21 April 2011 1.25% 2.00% 2.00%“E” (Dis) (Quarterly) Share Class

(EUR Hedged Class) (Duration Hedged Class) EUR 13 July 2011 1.25% 2.00% 2.00%“E” Accumulation Share Class EUR 31 July 2001 1.25% 2.00% 2.00%“E” Accumulation Share Class (EUR Hedged Class) EUR 10 November 2010 1.25% 2.00% 2.00%“E” Accumulation Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 13 July 2011 1.25% 2.00% 2.00%“I” (Dis) (Quarterly) Share Class (CHF Hedged Class)(c) CHF 27 April 2015 0.75% 0.96% 0.87%“I” Accumulation Share Class USD 3 September 2010 0.75% 0.96% 0.83%“I” Accumulation Share Class (Duration Hedged Class)(c) EUR 11 May 2015 0.75% 0.96% 0.88%“I” Accumulation Share Class (EUR Hedged Class) EUR 7 February 2006 0.75% 0.96% 0.83%“I” Accumulation Share Class (EUR Hedged Class)

(Duration Hedged Class) EUR 19 August 2014 0.75% 0.96% 0.83%“I” Share Class USD 19 June 2001 0.75% 0.96% 0.82%“I” Share Class (EUR Hedged Class) EUR 27 November 2006 0.75% 0.96% 0.82%“I” Share Class (EUR Hedged Class) (Duration Hedged Class) EUR 5 July 2013 0.75% 0.96% 0.83%“I” Share Class (GBP Hedged Class) GBP 30 November 2005 0.75% 0.96% 0.83%“I” Share Class (GBP Hedged Class) (Duration Hedged Class) GBP 28 July 2011 0.75% 0.96% 0.83%“IO” Accumulation Share Class USD 30 November 2007 — 0.21% 0.08%“IO” Accumulation Share Class (EUR Hedged Class) EUR 10 December 2007 — 0.21% 0.08%“IO” Accumulation Share Class (GBP Hedged Class) GBP 30 April 2008 — 0.21% 0.08%“IO” Share Class USD 1 August 2006 — 0.21% 0.08%“IS” (Dis) (Quarterly) Share Class (EUR Hedged Class) EUR 6 November 2014 0.45% 0.66% 0.52%“IX” Share Class USD 4 September 2007 0.75% 0.96% 0.82%“R” Accumulation Share Class EUR 13 December 2012 0.75% 1.00% 1.00%“R” Accumulation Share Class USD 3 December 2012 0.75% 1.00% 1.00%“R” Accumulation Share Class (CHF Hedged Class)(c) CHF 13 March 2015 0.75% 1.00% 1.00%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.75% 1.00% 1.00%“R” Share Class USD 3 December 2012 0.75% 1.00% 1.00%“R” Share Class (EUR Hedged Class) EUR 5 December 2012 0.75% 1.00% 1.00%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.75% 1.00% 1.00%“R” Share Class (GBP Hedged Class) (Duration Hedged Class) GBP 5 December 2012 0.75% 1.00% 1.00%

Liberty Harbor Opportunistic Corporate Bond PortfolioBase Accumulation Share Class USD 4 April 2012 1.50% 1.75% 1.75%Base Currency (Dis) (Quarterly) Share Class USD 4 April 2012 1.50% 1.75% 1.75%Base Currency Share Class USD 4 April 2012 1.50% 1.75% 1.75%Other Currency Accumulation Share Class (EUR Hedged Class) EUR 4 April 2012 1.50% 1.75% 1.75%Other Currency (Dis) (Quarterly) Share Class (EUR Hedged Class) EUR 4 April 2012 1.50% 1.75% 1.75%“A” (Dis) (Quarterly) Share Class USD 4 April 2012 1.50% 2.25% 2.25%“E” Accumulation Share Class (EUR Hedged Class) EUR 4 April 2012 1.50% 2.25% 2.25%“E” (Dis) (Quarterly) Share Class (EUR Hedged Class) EUR 8 August 2012 1.50% 2.25% 2.25%“I” (Dis) (Quarterly) Share Class (GBP Hedged Class)(b) GBP 4 April 2012 0.70% 0.91% 0.89%“I” Accumulation Share Class(b) USD 4 April 2012 0.70% 0.91% 0.90%

Goldman Sachs Funds



As at 31 May 2015







571




Goldman Sachs Funds



As at 31 May 2015

Liberty Harbor Opportunistic Corporate Bond Portfolio (continued)“I” Accumulation Share Class (EUR Hedged Class)(b) EUR 4 April 2012 0.70% 0.91% 0.90%“I” Share Class(b) USD 4 April 2012 0.70% 0.91% 0.90%“IXO” (Dis) (Monthly) Share Class(b) USD 30 May 2014 — 0.21% 0.20%“P” (Dis) (Quarterly) Share Class USD 1 August 2012 1.00% 1.25% 1.25%“P” Accumulation Share Class USD 4 April 2012 1.00% 1.25% 1.25%“P” Accumulation Share Class (EUR Hedged Class) EUR 4 April 2012 1.00% 1.25% 1.25%“P” Share Class USD 4 April 2012 1.00% 1.25% 1.25%“P” Share Class (EUR Hedged Class) EUR 4 April 2012 1.00% 1.25% 1.25%“P” Share Class (GBP Hedged Class) GBP 4 April 2012 1.00% 1.25% 1.25%“R” (Dis) (Quarterly) Share Class USD 13 December 2012 0.70% 0.95% 0.95%“R” Accumulation Share Class USD 13 December 2012 0.70% 0.95% 0.95%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.70% 0.95% 0.95%“R” Share Class USD 13 December 2012 0.70% 0.95% 0.95%“R” Share Class (EUR Hedged Class) EUR 5 December 2012 0.70% 0.95% 0.95%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.70% 0.95% 0.95%

Sterling Broad Fixed Income PortfolioBase Accumulation Share Class GBP 14 November 2005 1.00% 1.25% 1.25%Base Currency Share Class GBP 10 December 2001 1.00% 1.25% 1.25%“I” Share Class GBP 10 December 2001 0.35% 0.56% 0.56%“IO” Accumulation Share Class GBP 24 March 2009 — 0.21% 0.21%“P” Share Class GBP 29 May 2009 0.40% 0.65% 0.65%“R” Accumulation Share Class GBP 3 December 2012 0.35% 0.60% 0.60%“R” Share Class GBP 3 December 2012 0.35% 0.60% 0.60%

Sterling Credit PortfolioBase Currency Share Class GBP 18 December 2008 0.80% 1.05% 1.05%“I” (Dis) (Quarterly) Share Class (Duration Hedged Class)(b)(c) GBP 2 November 2011 0.40% 0.61% 0.51%“I” Share Class GBP 18 December 2008 0.40% 0.61% 0.53%“I” Share Class (EUR Hedged Class) (Duration Hedged Class) EUR 11 January 2013 0.40% 0.61% 0.52%“IO” Accumulation Share Class(b) GBP 30 June 2009 — 0.21% 0.13%“P” Share Class GBP 18 December 2008 0.50% 0.75% 0.69%“R” Accumulation Share Class GBP 3 December 2012 0.40% 0.65% 0.65%“R” Share Class GBP 10 December 2012 0.40% 0.65% 0.65%

US Fixed Income PortfolioBase Accumulation Share Class USD 14 November 2005 1.00% 1.25% 1.25%Base Currency (Dis) (Monthly) Share Class USD 5 May 2011 1.00% 1.25% 1.25%Base Currency Share Class USD 27 July 1998 1.00% 1.25% 1.25%“A” (Dis) (Monthly) Share Class USD 5 May 2011 1.00% 1.50% 1.50%“A” Share Class USD 5 March 2001 1.00% 1.50% 1.50%“B” Share Class USD 5 March 2001 1.00% 2.50% 2.50%“E” Accumulation Share Class EUR 31 July 2001 1.00% 1.50% 1.50%“I” Accumulation Share Class USD 15 February 2007 0.35% 0.56% 0.56%“I” Share Class USD 13 November 2001 0.35% 0.56% 0.56%“P” (Dis) (Monthly) Share Class USD 5 May 2011 0.45% 0.70% 0.70%“P” Accumulation Share Class USD 29 May 2009 0.45% 0.70% 0.70%“P” Share Class USD 29 May 2009 0.45% 0.70% 0.70%“R” Accumulation Share Class USD 3 December 2012 0.35% 0.60% 0.60%“R” Share Class USD 3 December 2012 0.35% 0.60% 0.60%

US Mortgage Backed Securities PortfolioBase Accumulation Share Class USD 14 November 2005 0.80% 1.05% 1.05%Base Currency Share Class USD 30 September 2002 0.80% 1.05% 1.05%“A” Share Class USD 19 February 2003 0.80% 1.30% 1.30%“E” Accumulation Share Class (EUR Hedged Class) EUR 19 October 2012 0.80% 1.30% 1.30%“I” Accumulation Share Class (EUR Hedged Class) EUR 31 October 2007 0.30% 0.46% 0.46%“I” Accumulation Share Class (GBP Hedged Class) GBP 20 May 2009 0.30% 0.46% 0.46%“I” Share Class USD 30 September 2002 0.30% 0.46% 0.46%“IO” Share Class USD 3 July 2006 — 0.16% 0.16%“P” Accumulation Share Class USD 29 May 2009 0.45% 0.70% 0.70%“P” Share Class USD 29 May 2009 0.45% 0.70% 0.70%“R” Accumulation Share Class USD 3 December 2012 0.30% 0.55% 0.55%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.30% 0.55% 0.55%“R” Share Class USD 3 December 2012 0.30% 0.55% 0.55%

572











CoCos & Capital Securities PortfolioBase Accumulation Share Class USD 10 June 2014 1.25% 1.50% 1.50%Base Currency Share Class USD 10 June 2014 1.25% 1.50% 1.50%“I” Accumulation Share Class USD 10 June 2014 0.60% 0.81% 0.79%“IO” Accumulation Share Class USD 10 June 2014 — 0.21% 0.19%

Global Currency Plus Portfolio(e)

Base Accumulation Share Class USD 2 September 2008 1.25% 1.78% 1.78%Base Currency Share Class USD 2 September 2008 1.25% 1.78% 1.76%Base Currency Share Class (EUR Hedged Class) EUR 15 January 2010 1.25% 1.78% 1.78%Base Currency Share Class (GBP Hedged Class) GBP 15 January 2010 1.25% 1.78% 1.77%Other Currency Accumulation Share Class (EUR Hedged Class) EUR 2 September 2008 1.25% 1.78% 1.78%“A” Accumulation Share Class (EUR Hedged Class) EUR 15 January 2010 1.25% 2.18% 2.18%“A” Share Class USD 15 January 2010 1.25% 2.18% 2.16%“I” Accumulation Share Class USD 28 July 2010 0.55% 0.95% 0.95%“I” Accumulation Share Class (EUR Hedged Class) EUR 8 October 2009 0.55% 0.95% 0.96%“I” Share Class (GBP Hedged Class) GBP 29 October 2009 0.55% 0.95% 0.95%“P” Share Class USD 2 September 2008 0.80% 1.28% 1.28%“R” Accumulation Share Class USD 3 December 2012 0.55% 0.99% 0.99%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.55% 0.99% 0.99%“R” Share Class USD 3 December 2012 0.55% 0.99% 0.99%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.55% 0.99% 0.99%

Global Fixed Income Plus Portfolio (Hedged)Base Accumulation Share Class EUR 25 January 2006 1.00% 1.25% 1.25%Base Accumulation Share Class (USD Hedged Class) USD 21 November 2006 1.00% 1.25% 1.25%Base Currency Share Class EUR 25 January 2006 1.00% 1.25% 1.25%Base Currency Share Class (USD Hedged Class) USD 18 September 2006 1.00% 1.25% 1.25%“A” Share Class EUR 25 January 2006 1.00% 1.50% 1.50%“A” Share Class (USD Hedged Class) USD 31 October 2006 1.00% 1.50% 1.50%“E” Accumulation Share Class EUR 28 September 2007 1.00% 1.50% 1.50%“I” Accumulation Share Class(b) EUR 26 October 2007 0.50% 0.71% 0.67%“I” Accumulation Share Class (JPY Hedged Class)(b) JPY 31 October 2013 0.50% 0.71% 0.67%“I” Accumulation Share Class (USD Hedged Class)(b) USD 31 October 2007 0.50% 0.71% 0.67%“I” Share Class (GBP Hedged Class)(b) GBP 16 November 2010 0.50% 0.71% 0.67%“IO” Accumulation Share Class(b) EUR 10 December 2007 — 0.21% 0.17%“IO” Accumulation Share Class (GBP Hedged Class)(b) GBP 19 August 2008 — 0.21% 0.17%“IO” Accumulation Share Class (USD Hedged Class)(b) USD 30 November 2007 — 0.21% 0.17%“IO” Share Class (USD Hedged Class)(b) USD 30 June 2014 — 0.21% 0.17%“P” Accumulation Share Class EUR 11 June 2007 0.80% 1.05% 1.05%“P” Accumulation Share Class (USD Hedged Class)(b) USD 11 June 2007 0.80% 1.05% 1.04%“P” Share Class (GBP Hedged Class)(b) GBP 11 June 2007 0.80% 1.05% 1.04%“R” Accumulation Share Class EUR 3 December 2012 0.50% 0.75% 0.75%“R” Accumulation Share Class (USD Hedged Class) USD 5 December 2012 0.50% 0.75% 0.75%“R” Share Class EUR 3 December 2012 0.50% 0.75% 0.75%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.50% 0.75% 0.75%

Global Strategic Income Bond PortfolioBase Accumulation Share Class USD 28 March 2011 1.20% 1.45% 1.45%Base Currency (Dis) (Monthly) Share Class USD 8 April 2011 1.20% 1.45% 1.45%Base Currency Share Class USD 28 March 2011 1.20% 1.45% 1.45%Other Currency Accumulation Share Class (CHF Hedged Class) CHF 5 July 2013 1.20% 1.45% 1.45%Other Currency Accumulation Share Class (EUR Hedged Class) EUR 6 April 2011 1.20% 1.45% 1.45%Other Currency Accumulation Share Class (SEK Hedged Class) SEK 20 September 2013 1.20% 1.45% 1.45%Other Currency (Dis) (Quarterly) Share Class (SGD Hedged Class) SGD 13 September 2013 1.20% 1.45% 1.45%Other Currency Share Class (CHF Hedged Class)(c) CHF 12 January 2015 1.20% 1.45% 1.45%Other Currency Share Class (EUR Hedged Class) EUR 27 March 2013 1.20% 1.45% 1.45%Other Currency Share Class (GBP Hedged Class) GBP 6 April 2011 1.20% 1.45% 1.45%“A” (Dis) (Monthly) Share Class USD 5 May 2011 1.20% 1.70% 1.70%“A” Share Class USD 28 March 2011 1.20% 1.70% 1.70%“E” (Dis) (Quarterly) Share Class (EUR Hedged Class) EUR 8 April 2011 1.20% 1.95% 1.95%“E” Accumulation Share Class (EUR Hedged Class) EUR 28 March 2011 1.20% 1.95% 1.95%“I” (Dis) (Quarterly) Share Class(c) USD 18 December 2014 0.60% 0.81% 0.67%“I” (Dis) (Semi-Annual) Share Class (JPY Hedged Class) JPY 7 August 2014 0.60% 0.81% 0.67%“I” Accumulation Share Class USD 28 March 2011 0.60% 0.81% 0.66%

Goldman Sachs Funds



As at 31 May 2015







573




Global Strategic Income Bond Portfolio (continued)“I” Accumulation Share Class (CHF Hedged Class) CHF 10 July 2013 0.60% 0.81% 0.66%“I” Accumulation Share Class (EUR Hedged Class) EUR 28 March 2011 0.60% 0.81% 0.66%“I” Accumulation Share Class (JPY Hedged Class) JPY 3 March 2014 0.60% 0.81% 0.67%“I” Accumulation Share Class (SEK Hedged Class) SEK 28 May 2014 0.60% 0.81% 0.66%“I” Share Class USD 28 March 2011 0.60% 0.81% 0.66%“I” Share Class (AUD Hedged Class) AUD 6 February 2014 0.60% 0.81% 0.66%“I” Share Class (EUR Hedged Class) EUR 28 March 2011 0.60% 0.81% 0.66%“I” Share Class (GBP Hedged Class) GBP 6 April 2011 0.60% 0.81% 0.67%“I” Share Class EUR 11 July 2014 0.60% 0.81% 0.66%“IO” (Dis) (Quarterly) Share Class (AUD Hedged Class) AUD 31 October 2013 — 0.21% 0.06%“IO” Accumulation Share Class USD 14 August 2013 — 0.21% 0.06%“IO” Accumulation Share Class (CAD Hedged Class) CAD 31 July 2013 — 0.21% 0.06%“IO” Accumulation Share Class (EUR Hedged Class) EUR 2 July 2014 — 0.21% 0.06%“IO” Accumulation Share Class (GBP Hedged Class)(c) GBP 13 February 2015 — 0.21% 0.07%“IO” Accumulation Share Class (JPY Hedged Class) JPY 25 March 2014 — 0.21% 0.06%“IO” Share Class USD 30 June 2014 — 0.21% 0.06%“IXO” (Dis) (Monthly) Share Class USD 30 September 2013 — 0.21% 0.07%“P” (Dis) (Monthly) Share Class USD 5 May 2011 0.80% 1.05% 0.93%“P” Accumulation Share Class USD 28 March 2011 0.80% 1.05% 0.93%“P” Accumulation Share Class (EUR Hedged Class) EUR 28 March 2011 0.80% 1.05% 0.93%“P” Share Class USD 28 March 2011 0.80% 1.05% 0.93%“P” Share Class (EUR Hedged Class) EUR 28 March 2011 0.80% 1.05% 0.92%“P” Share Class (GBP Hedged Class) GBP 28 March 2011 0.80% 1.05% 0.93%“R” (Dis) (Monthly) Share Class(c) USD 20 May 2015 0.60% 0.85% 0.85%“R” Accumulation Share Class USD 13 December 2012 0.60% 0.85% 0.85%“R” Accumulation Share Class (CHF Hedged Class)(c) CHF 13 March 2015 0.60% 0.85% 0.85%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.60% 0.85% 0.85%“R” Share Class USD 13 December 2012 0.60% 0.85% 0.85%“R” Share Class (EUR Hedged Class) EUR 5 December 2012 0.60% 0.85% 0.85%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.60% 0.85% 0.85%

Global Strategic Macro Bond PortfolioBase Accumulation Share Class USD 22 October 2014 1.00% 1.25% 1.25%Base Currency Share Class USD 22 October 2014 1.00% 1.25% 1.25%Other Currency Accumulation Share Class (EUR Hedged Class) EUR 22 October 2014 1.00% 1.25% 1.25%Other Currency Accumulation Share Class (SEK Hedged Class)(c) SEK 22 December 2014 1.00% 1.25% 1.25%“E” Accumulation Share Class (EUR Hedged Class) EUR 22 October 2014 1.00% 1.75% 1.75%“I” Accumulation Share Class (EUR Hedged Class) EUR 14 November 2014 0.50% 0.71% 0.71%“I” Accumulation Share Class (GBP Hedged Class) GBP 22 October 2014 0.50% 0.71% 0.71%“I” Accumulation Share Class (Flat) (GBP-Hedged Class)(b)(c) GBP 21 May 2015 0.85% 1.06% 0.77%“I” Accumulation Share Class (SEK Hedged Class)(c) SEK 22 December 2014 0.50% 0.71% 0.71%“I” Accumulation Share Class USD 22 October 2014 0.50% 0.71% 0.71%“I” Share Class USD 22 October 2014 0.50% 0.71% 0.71%“I” Share Class (EUR Hedged Class) EUR 14 November 2014 0.50% 0.71% 0.71%“IO” Accumulation Share Class(b)(c) USD 21 April 2015 0.00% 0.21% 0.18%“P” Accumulation Share Class USD 22 October 2014 0.75% 1.00% 1.00%“P” Accumulation Share Class (EUR Hedged Class) EUR 22 October 2014 0.75% 1.00% 1.00%“P” Share Class USD 22 October 2014 0.75% 1.00% 1.00%“R” Accumulation Share Class (EUR Hedged Class) EUR 22 October 2014 0.50% 0.75% 0.75%“R” Share Class (EUR Hedged Class) EUR 22 October 2014 0.50% 0.75% 0.75%“R” Share Class (GBP Hedged Class) GBP 22 October 2014 0.50% 0.75% 0.75%

Sterling Broad Fixed Income Plus PortfolioBase Accumulation Share Class GBP 23 January 2006 1.00% 1.25% 1.25%Base Currency Share Class GBP 23 January 2006 1.00% 1.25% 1.25%“A” Share Class GBP 23 January 2006 1.00% 1.50% 1.50%“I” Accumulation Share Class(b) GBP 30 June 2006 0.50% 0.71% 0.69%“IO” Accumulation Share Class(c) GBP 25 June 2008 — 0.21% 0.20%“P” Accumulation Share Class GBP 11 June 2007 0.80% 1.05% 1.04%“R” Accumulation Share Class GBP 3 December 2012 0.50% 0.75% 0.75%“R” Share Class GBP 10 December 2012 0.50% 0.75% 0.75%

Goldman Sachs Funds



As at 31 May 2015

574










Strategic Absolute Return Bond I Portfolio(e)

Base Accumulation Share Class USD 28 June 2006 0.60% 0.85% 0.85%Base Currency Share Class USD 28 June 2006 0.60% 0.85% 0.85%Base Accumulation Share Class (EUR Hedged Class) EUR 28 June 2006 0.60% 0.85% 0.85%Base Currency Share Class (EUR Hedged Class) EUR 28 June 2006 0.60% 0.85% 0.85%Base Currency Share Class (GBP Hedged Class) GBP 18 September 2006 0.60% 0.85% 0.85%“A” Share Class USD 30 March 2007 0.60% 1.10% 1.10%“E” Accumulation Share Class (EUR Hedged Class) EUR 16 July 2007 0.60% 1.10% 1.10%“I” Accumulation Share Class USD 19 July 2007 0.25% 0.40% 0.33%“I” Accumulation Share Class (EUR Hedged Class) EUR 23 November 2007 0.25% 0.40% 0.34%“I” Share Class (EUR Hedged Class) EUR 5 September 2006 0.25% 0.40% 0.33%“I” Share Class (GBP Hedged Class) GBP 12 November 2014 0.25% 0.40% 0.33%“IO” Accumulation Share Class USD 25 August 2009 — 0.15% 0.08%“IO” Accumulation Share Class (EUR Hedged Class) EUR 9 June 2011 — 0.15% 0.08%“IO” Accumulation Share Class (GBP Hedged Class) GBP 16 July 2007 — 0.15% 0.08%“IO” Accumulation Share Class (JPY Hedged Class) JPY 18 May 2011 — 0.15% 0.08%“IO” Accumulation Share Class (NZD Hedged Class) NZD 20 April 2011 — 0.15% 0.08%“IO” Share Class (AUD Hedged Class)(c) AUD 19 March 2015 — 0.15% 0.10%“R” Accumulation Share Class USD 3 December 2012 0.25% 0.50% 0.50%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.25% 0.50% 0.50%“R” Share Class USD 3 December 2012 0.25% 0.50% 0.50%“R” Share Class (EUR Hedged Class) EUR 5 December 2012 0.25% 0.50% 0.50%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.25% 0.50% 0.50%

Strategic Absolute Return Bond II Portfolio(e)

Base Accumulation Share Class USD 28 June 2006 1.00% 1.25% 1.25%Base Accumulation Share Class (EUR Hedged Class) EUR 28 June 2006 1.00% 1.25% 1.25%Base Currency Share Class USD 28 June 2006 1.00% 1.25% 1.25%Base Currency Share Class (EUR Hedged Class) EUR 28 June 2006 1.00% 1.25% 1.25%Base Currency Share Class (GBP Hedged Class) GBP 17 July 2006 1.00% 1.25% 1.25%“A” Share Class USD 30 March 2007 1.00% 1.50% 1.50%“E” Accumulation Share Class (EUR Hedged Class) EUR 16 July 2007 1.00% 1.75% 1.75%“I” Accumulation Share Class USD 31 October 2006 0.50% 0.65% 0.65%“I” Accumulation Share Class (EUR Hedged Class) EUR 20 November 2006 0.50% 0.65% 0.65%“IO” Accumulation Share Class (GBP Hedged Class) GBP 12 September 2008 — 0.15% 0.15%“IO” Accumulation Share Class (JPY Hedged Class)(c) JPY 3 December 2014 — 0.15% 0.15%“IO” Share Class (GBP Hedged Class) GBP 26 November 2008 — 0.15% 0.15%“R” Accumulation Share Class USD 3 December 2012 0.50% 0.75% 0.75%“R” Accumulation Share Class (EUR Hedged Class) EUR 5 December 2012 0.50% 0.75% 0.75%“R” Share Class USD 3 December 2012 0.50% 0.75% 0.75%“R” Share Class (EUR Hedged Class) EUR 5 December 2012 0.50% 0.75% 0.75%“R” Share Class (GBP Hedged Class) GBP 5 December 2012 0.50% 0.75% 0.75%

Select Portfolios

Custom Emerging Market Debt Blend Portfolio“I” Accumulation Share Class ILS 5 November 2014 0.45% 0.95% 0.75%

Global Corporate Portfolio (Hedged)“I” Accumulation Share Class NOK 31 December 2007 0.25% 0.35% 0.31%

Flexible Portfolios

Global Income Builder PortfolioBase Currency (Dis) (Gross Monthly) Share Class USD 18 March 2014 1.25% 1.55% 1.55%Base Accumulation Share Class USD 18 March 2014 1.25% 1.55% 1.55%Base Currency Share Class USD 18 March 2014 1.25% 1.55% 1.55%Other Currency Share Class (EUR Partially Hedged Class) EUR 18 March 2014 1.25% 1.55% 1.55%“A” (Dis) (Monthly) Share Class(c) USD 10 April 2015 1.25% 2.05% 2.05%“E” (Dis) (Quarterly) Share Class (EUR Partially Hedged Class) EUR 25 April 2014 1.25% 2.15% 2.15%“E” Accumulation Share Class (EUR Partially Hedged Class) EUR 18 March 2014 1.25% 2.15% 2.15%“I” Accumulation Share Class USD 18 March 2014 0.60% 0.86% 0.86%“I” Share Class USD 18 March 2014 0.60% 0.86% 0.86%“I” Accumulation Share Class (EUR Partially Hedged Class) EUR 9 July 2014 0.60% 0.86% 0.86%“P” Accumulation Share Class USD 18 March 2014 1.00% 1.30% 1.30%“P” Share Class USD 18 March 2014 1.00% 1.30% 1.30%

Global Income Builder Portfolio (continued)

Goldman Sachs Funds



As at 31 May 2015







575




“R” (Dis) (Gross Monthly) Share Class (GBP Partially Hedged Class) GBP 11 April 2014 0.60% 0.90% 0.90%“R” Accumulation Share Class (EUR Partially Hedged Class) EUR 18 March 2014 0.60% 0.90% 0.90%“R” Share Class (EUR Partially Hedged Class) EUR 18 March 2014 0.60% 0.90% 0.90%“R” Share Class (GBP Partially Hedged Class) GBP 18 March 2014 0.60% 0.90% 0.90%

US Real Estate Balanced PortfolioBase Currency (Dis II) (Monthly) Share Class USD 2 October 2012 1.50% 1.90% 1.90%Base Currency (Dis) (Monthly) Share Class USD 12 February 2013 1.50% 1.90% 1.90%Base Accumulation Share Class USD 2 October 2012 1.50% 1.90% 1.90%Other Currency (Dis II) (Monthly) Share Class (SGD Hedged Class) SGD 2 October 2012 1.50% 1.90% 1.90%“E” Accumulation Share Class (EUR Hedged Class) EUR 2 October 2012 1.50% 2.40% 2.40%“I” (Dis II) (Monthly) Share Class USD 31 October 2012 0.70% 1.06% 0.79%“I” (Dis) (Monthly) Share Class USD 12 February 2013 0.70% 1.06% 0.79%“I” Accumulation Share Class USD 2 October 2012 0.70% 1.06% 0.79%“I” Accumulation Share Class (EUR Hedged Class) EUR 15 February 2013 0.70% 1.06% 0.79%“P” (Dis II) (Monthly) Share Class USD 2 October 2012 1.00% 1.40% 1.16%“P” (Dis) (Monthly) Share Class USD 12 February 2013 1.00% 1.40% 1.19%“P” Accumulation Share Class USD 2 October 2012 1.00% 1.40% 1.15%“R” Accumulation Share Class USD 13 December 2012 0.70% 1.10% 1.10%“R” Share Class USD 13 December 2012 0.70% 1.10% 1.10%

Wealthbuilder Multi-Asset Balanced PortfolioBase Accumulation Share Class USD 30 June 2014 1.35% 1.60% 1.60%Base Currency Share Class USD 30 June 2014 1.35% 1.60% 1.60%Other Currency Share Class (EUR Partially Hedged Class) EUR 30 June 2014 1.35% 1.60% 1.60%Other Currency Share Class (GBP Partially Hedged Class) GBP 30 June 2014 1.35% 1.60% 1.60%“E” Accumulation Share Class (EUR Partially Hedged Class) EUR 30 June 2014 1.35% 2.10% 2.10%“I” Accumulation Share Class USD 30 June 2014 0.65% 0.86% 0.86%“I” Share Class USD 30 June 2014 0.65% 0.86% 0.86%“R” Share Class (GBP Partially Hedged Class) GBP 30 June 2014 0.65% 0.90% 0.90%

Wealthbuilder Multi-Asset Conservative PortfolioBase Accumulation Share Class USD 30 June 2014 1.25% 1.50% 1.50%Base Currency Share Class USD 30 June 2014 1.25% 1.50% 1.50%Other Currency Share Class (EUR Partially Hedged Class) EUR 30 June 2014 1.25% 1.50% 1.50%Other Currency Share Class (GBP Partially Hedged Class) GBP 30 June 2014 1.25% 1.50% 1.50%“E” Accumulation Share Class (EUR Partially Hedged Class) EUR 30 June 2014 1.25% 2.00% 2.00%“I” Accumulation Share Class USD 30 June 2014 0.60% 0.81% 0.81%“I” Share Class USD 30 June 2014 0.60% 0.81% 0.81%“R” Share Class (GBP Partially Hedged Class) GBP 30 June 2014 0.60% 0.85% 0.85%

Wealthbuilder Multi-Asset Growth PortfolioBase Accumulation Share Class USD 30 June 2014 1.50% 1.75% 1.75%Base Currency Share Class USD 30 June 2014 1.50% 1.75% 1.75%Other Currency Share Class (EUR Partially Hedged Class) EUR 30 June 2014 1.50% 1.75% 1.75%Other Currency Share Class (GBP Partially Hedged Class) GBP 30 June 2014 1.50% 1.75% 1.75%“E” Accumulation Share Class (EUR Partially Hedged Class) EUR 30 June 2014 1.50% 2.25% 2.25%“I” Accumulation Share Class USD 30 June 2014 0.75% 0.96% 0.96%“I” Share Class USD 30 June 2014 0.75% 0.96% 0.96%“R” Share Class (GBP Partially Hedged Class) GBP 30 June 2014 0.75% 1.00% 1.00%


Absolute Return Tracker Portfolio(c)

Base Accumulation Share Class(c) USD 13 January 2015 1.35% 1.50% 1.50%Other Currency Accumulation Share Class (EUR Hedged Class)(c) EUR 13 January 2015 1.35% 1.50% 1.50%“E” Accumulation Share Class (EUR Hedged Class)(c) EUR 14 January 2015 1.35% 2.00% 2.00%“I” Accumulation Share Class(c) USD 13 January 2015 0.65% 0.80% 0.80%“I” Accumulation Share Class (AUD Hedged Class)(c) AUD 6 May 2015 0.65% 0.80% 0.77%“I” Accumulation Share Class (CHF Hedged Class)(c) CHF 13 January 2015 0.65% 0.80% 0.80%“I” Accumulation Share Class (EUR Hedged Class)(c) EUR 13 January 2015 0.65% 0.80% 0.80%“I” Accumulation Share Class (GBP Hedged Class)(c) GBP 13 January 2015 0.65% 0.80% 0.80%“I” Accumulation Share Class (SEK Hedged Class)(c) SEK 20 March 2015 0.65% 0.80% 0.80%“P” Accumulation Share Class (EUR Hedged Class)(c) EUR 13 January 2015 1.00% 1.15% 1.15%“R” Share Class(c) USD 23 January 2015 0.65% 0.80% 0.80%“R” Share Class (GBP Hedged Class)(c) GBP 14 January 2015 0.65% 0.80% 0.80%

Liquid Alternative Beta Composite Portfolio(c)

Goldman Sachs Funds



As at 31 May 2015

576










“I” Accumulation Share Class(c) USD 20 January 2015 0.00% 0.21% 0.21%

Liquid Alternative Beta Equity Long Short Portfolio(c)

Other Currency Accumulation Share Class (EUR Hedged Class)(c) EUR 14 January 2015 1.35% 1.60% 1.60%“I” Accumulation Share Class(c) USD 13 January 2015 0.65% 0.86% 0.86%“R” Share Class (GBP Hedged Class)(c) GBP 14 January 2015 0.65% 0.90% 0.90%

Liquid Alternative Beta Event Driven Portfolio(c)


Liquid Alternative Beta Macro Portfolio(c)


Liquid Alternative Beta Relative Value Portfolio(c)


Liquid Alternative Beta Trend Portfolio(c)


Multi-Asset Dynamic Strategy Portfolio(c)

“R” Accumulation Share Class (GBP Hedged Class)(c) GBP 20 January 2015 0.70% 0.95% 0.95%

Goldman Sachs Funds



As at 31 May 2015







577




During the period, the following Portfolios were launched:

Goldman Sachs Funds

Appendix II—Portfolio and Share Class Launches,

Closures and Mergers (Unaudited)

As at 31 May 2015

578


Portfolios Currency Launch Date

Absolute Return Tracker Portfolio USD 13 January 2015

Liquid Alternative Beta Composite Portfolio USD 20 January 2015

Liquid Alternative Beta Equity Long Short Portfolio USD 13 January 2015

Liquid Alternative Beta Event Driven Portfolio USD 13 January 2015

Liquid Alternative Beta Macro Portfolio USD 20 January 2015

Liquid Alternative Beta Relative Value Portfolio USD 13 January 2015

Liquid Alternative Beta Trend Portfolio USD 20 January 2015

Multi-Asset Dynamic Strategy Portfolio USD 20 January 2015

Global Sovereign Bond Portfolio USD 22 May 2015

Japan Equity Partners Portfolio JPY 27 May 2015

Portfolio Currency Close Date

Liquid Alternative Beta Composite Portfolio USD 26 May 2015

Currency

of the

Portfolios Classes Share Class Launch Date

GOLDMAN SACHS EQUITY PORTFOLIOS


Global Equity Partners Portfolio Base Accumulation Share Class (USD Hedged Class) USD 10 April 2015

Global Equity Partners Portfolio Base Currency Share Class (USD Hedged Class) USD 10 April 2015

Global Equity Partners Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 10 April 2015

Global Equity Partners Portfolio Other Currency Share Class (EUR Hedged Class) EUR 10 April 2015

Global Equity Partners Portfolio “IO” Accumulation Share Class (USD Hedged Class) USD 20 March 2015

India Equity Portfolio Other Currency Accumulation Share Class SEK 23 February 2015

Japan Equity Partners Portfolio Base Accumulation Share Class JPY 27 May 2015

Japan Equity Partners Portfolio Other Currency Accumulation Share Class (CHF Hedged Class) CHF 27 May 2015

Japan Equity Partners Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 27 May 2015

Japan Equity Partners Portfolio “I” Accumulation Share Class GBP 27 May 2015

Japan Equity Partners Portfolio “I” Accumulation Share Class JPY 27 May 2015

Japan Equity Partners Portfolio “I” Accumulation Share Class (EUR Hedged Class) EUR 27 May 2015

Japan Equity Partners Portfolio “I” Accumulation Share Class (GBP Hedged Class) GBP 27 May 2015

Japan Equity Partners Portfolio “R” Accumulation Share Class JPY 27 May 2015

Japan Equity Partners Portfolio “R” Accumulation Share Class (EUR Hedged Class) EUR 27 May 2015

Japan Equity Partners Portfolio “R” Accumulation Share Class (GBP Hedged Class) GBP 27 May 2015

During the period, the following Portfolios were closed:

During the period, the following share classes were launched:

Goldman Sachs Funds



As at 31 May 2015

579


Currency

of the



US CORE® Equity Portfolio “I” Accumulation Snap Share Class USD 3 December 2014

Global Small Cap CORE® Equity Portfolio “IO” Accumulation Snap Share Class USD 21 April 2015

Global CORE® Equity Portfolio “IO” Accumulation Snap Share Class USD 21 April 2015


GIVI Europe Equity Portfolio “IO” (Dis) (Semi-Annual) Snap Share Class EUR 6 February 2015

GOLDMAN SACHS FIXED INCOME PORTFOLIOS

Global High Yield Portfolio Other Currency (Dis) (Monthly) Share Class (AUD Hedged Class) AUD 27 March 2015

Global High Yield Portfolio “R” Accumulation Share Class (Duration Hedged Class) USD 16 March 2015

Global High Yield Portfolio “R” Share Class (CHF Hedged Class) CHF 13 March 2015

Global High Yield Portfolio “R” (Dis) (Quarterly) Share Class (EUR Hedged Class) (Duration Hedged Class) EUR 20 May 2015

Growth & Emerging Markets Debt Portfolio Other Currency Accumulation Share Class (CHF Hedged Class) CHF 13 March 2015

Growth & Emerging Markets Debt Portfolio “I” (Dis) (Quarterly) Share Class (CHF Hedged Class) CHF 27 April 2015

Growth & Emerging Markets Debt Portfolio “I” Accumulation Share Class (Duration Hedged Class) EUR 11 May 2015

Growth & Emerging Markets Debt Portfolio “R” Accumulation Share Class (CHF Hedged Class) CHF 13 March 2015

Growth & Emerging Markets Debt Local Portfolio “I” Accumulation Share Class GBP 1 December 2014

Growth & Emerging Markets Debt Blend Portfolio “I” Accumulation Share Class (GBP Partially Hedged Class) GBP 8 December 2014

Growth & Emerging Markets Corporate Bond Portfolio “I” Accumulation Share Class (GBP Hedged Class) GBP 1 December 2014

Growth & Emerging Markets Corporate Bond Portfolio “IO” Accumulation Share Class USD 24 April 2015

Global Fixed Income Portfolio (Hedged) “IXO” (Dis) (Monthly) Share Class (USD Hedged Class) USD 21 April 2015

Global Sovereign Bond Portfolio Base Currency Share Class USD 22 May 2015

Global Sovereign Bond Portfolio Base Accumulation Share Class USD 22 May 2015

Global Sovereign Bond Portfolio “I” Share Class USD 22 May 2015

Global Sovereign Bond Portfolio “I” Accumulation Share Class USD 22 May 2015

Global Sovereign Bond Portfolio “I” Accumulation Share Class (EUR Partially Hedged Class) EUR 22 May 2015

Global Credit Portfolio (Hedged) “IO” Accumulation Share Class (GBP Hedged Class) (Duration Hedged Class) GBP 29 May 2015

GOLDMAN SACHS SPECIALIST PORTFOLIOS

Global Strategic Income Bond Portfolio Other Currency Share Class (CHF Hedged Class) CHF 12 January 2015

Global Strategic Income Bond Portfolio “I” (Dis) (Quarterly) Share Class USD 18 December 2014

Global Strategic Income Bond Portfolio “IO” Accumulation Share Class (GBP Hedged Class) GBP 13 February 2015

Global Strategic Income Bond Portfolio “R” Accumulation Share Class (CHF Hedged Class) CHF 13 March 2015

Global Strategic Income Bond Portfolio “R” (Dis) (Monthly) Share Class USD 20 May 2015

Strategic Absolute Return Bond II Portfolio “IO” Accumulation Share Class (JPY Hedged Class) JPY 3 December 2014

Strategic Absolute Return Bond I Portfolio “IO” Share Class (AUD Hedged Class) AUD 19 March 2015

Global Strategic Macro Bond Portfolio Other Currency Accumulation Share Class (SEK Hedged Class) SEK 22 December 2014

Global Strategic Macro Bond Portfolio “I” Accumulation Share Class (SEK Hedged Class) SEK 22 December 2014

Currency

of the


Global Strategic Macro Bond Portfolio “IO” Accumulation Share Class USD 21 April 2015

Global Strategic Macro Bond Portfolio “I” Accumulation Share Class (GBP-Hedged Class) GBP 21 May 2015

GOLDMAN SACHS FLEXIBLE PORTFOLIOS

Global Income Builder Portfolio “A” (Dis) (Monthly) Share Class USD 10 April 2015

GOLDMAN SACHS ALTERNATIVE PORTFOLIOS

Absolute Return Tracker Portfolio Base Accumulation Share Class USD 13 January 2015

Absolute Return Tracker Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 13 January 2015

Absolute Return Tracker Portfolio “E” Accumulation Share Class (EUR Hedged Class) EUR 14 January 2015

Absolute Return Tracker Portfolio “I” Accumulation Share Class USD 13 January 2015

Absolute Return Tracker Portfolio “I” Accumulation Share Class (AUD Hedged Class) AUD 6 May 2015

Absolute Return Tracker Portfolio “I” Accumulation Share Class (CHF Hedged Class) CHF 13 January 2015

Absolute Return Tracker Portfolio “I” Accumulation Share Class (EUR Hedged Class) EUR 13 January 2015

Absolute Return Tracker Portfolio “I” Accumulation Share Class (GBP Hedged Class) GBP 13 January 2015

Absolute Return Tracker Portfolio “I” Accumulation Share Class (SEK Hedged Class) SEK 20 March 2015

Absolute Return Tracker Portfolio “P” Accumulation Share Class (EUR Hedged Class) EUR 13 January 2015

Absolute Return Tracker Portfolio “R” Share Class USD 23 January 2015

Absolute Return Tracker Portfolio “R” Share Class (GBP Hedged Class) GBP 14 January 2015

Liquid Alternative Beta Trend Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 21 January 2015

Liquid Alternative Beta Trend Portfolio “I” Accumulation Share Class USD 20 January 2015

Liquid Alternative Beta Trend Portfolio “R” Share Class (GBP Hedged Class) GBP 21 January 2015

Liquid Alternative Beta Macro Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 21 January 2015

Liquid Alternative Beta Macro Portfolio “I” Accumulation Share Class USD 20 January 2015

Liquid Alternative Beta Macro Portfolio “R” Share Class (GBP Hedged Class) GBP 21 January 2015

Liquid Alternative Beta Equity Long Short Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 14 January 2015

Liquid Alternative Beta Equity Long Short Portfolio “I” Accumulation Share Class USD 13 January 2015

Liquid Alternative Beta Equity Long Short Portfolio “R” Share Class (GBP Hedged Class) GBP 14 January 2015

Liquid Alternative Beta Event Driven Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 14 January 2015

Liquid Alternative Beta Event Driven Portfolio “I” Accumulation Share Class USD 13 January 2015

Liquid Alternative Beta Event Driven Portfolio “R” Share Class (GBP Hedged Class) GBP 14 January 2015

Liquid Alternative Beta Relative Value Portfolio Other Currency Accumulation Share Class (EUR Hedged Class) EUR 14 January 2015

Liquid Alternative Beta Relative Value Portfolio “I” Accumulation Share Class USD 13 January 2015

Liquid Alternative Beta Relative Value Portfolio “R” Share Class (GBP Hedged Class) GBP 14 January 2015

Multi-Asset Dynamic Strategy Portfolio “R” Accumulation Share Class (GBP Hedged Class) GBP 20 January 2015

Liquid Alternative Beta Composite Portfolio “I” Accumulation Share Class USD 20 January 2015

Goldman Sachs Funds



As at 31 May 2015

580


Goldman Sachs Funds



As at 31 May 2015

581


During the period, the following share classes were closed:

Currency

of the


GOLDMAN SACHS FIXED INCOME PORTFOLIOS

Sterling Credit Portfolio “I” (Dis) (Quarterly) Share Class (Duration Hedged Class) GBP 11 February 2015

GOLDMAN SACHS SPECIALIST PORTFOLIOS

Sterling Broad Fixed Income Plus Portfolio “IO” Accumulation Share Class GBP 26 January 2015

GOLDMAN SACHS ALTERNATIVE PORTFOLIOS

Liquid Alternative Beta Composite Portfolio “I” Accumulation Share Class USD 26 May 2015

582


Goldman Sachs Funds

Appendix III—Shareholder Concentration (Unaudited)

As at 31 May 2015

The following tables set forth details of shareholders with holdings greater than 10% of the Portfolio’s net

assets as at 31 May 2015:

% of Investor /

Portfolio Net assets Distributor

EQUITY PORTFOLIOS


Asia Portfolio

Shareholder 11 39.44% Investor


Other Shareholders 48.65%

Total 100.00%

BRICs Portfolio

Shareholder 1 29.73% Distributor



Total 100.00%

China Opportunity Portfolio

Shareholder 11,2 79.53% Investor


Total 100.00%

Europe Equity Partners Portfolio





Total 100.00%

Global Equity Unconstrained Portfolio



Total 100.00%

Global Responsible Equity Portfolio



Total 100.00%

GMS Dynamic World Equity Portfolio



Total 100.00%

Growth & Emerging Markets Broad Equity Portfolio




Total 100.00%

Growth Markets Plus Equity Portfolio



Total 100.00%

India Equity Portfolio



Total 100.00%

Goldman Sachs Funds


As at 31 May 2015

583


% of Investor /


Japan Equity Partners Portfolio*


Total 100.00%

Japan Portfolio



Total 100.00%

N-11® Equity Portfolio



Total 100.00%

Strategic Global Equity Portfolio




Total 100.00%

US Equity Portfolio



Total 100.00%

US Focused Growth Equity Portfolio




Total 100.00%

Global & Regional CORE® Equity Portfolios

Europe CORE® Equity Portfolio



Total 100.00%

Global CORE® Equity Portfolio





Total 100.00%

Global Small Cap CORE® Equity Portfolio





Total 100.00%

Growth & Emerging Market CORE® Equity Portfolio





Total 100.00%

Goldman Sachs Funds


As at 31 May 2015

584


% of Investor /


US CORE® Equity Portfolio



Total 100.00%

US Small Cap CORE® Equity Portfolio



Total 100.00%


GIVI Europe Equity Portfolio



Total 100.00%

GIVI Global Equity – Growth Markets Tilt Portfolio






Total 100.00%

GIVI Growth & Emerging Markets Equity Portfolio



Total 100.00%


North American Shale Revolution & Energy Infrastructure Portfolio



Total 100.00%


Europe Fixed Income Portfolio






Total 100.00%

Euro Short Duration Bond Portfolio



Total 100.00%

Europe High Yield Bond Portfolio



Total 100.00%

Global Fixed Income Portfolio




Total 100.00%

Goldman Sachs Funds


As at 31 May 2015

585


% of Investor /


Global High Yield Portfolio



Total 100.00%

Global Sovereign Bond Portfolio*



Total 100.00%

Growth & Emerging Markets Corporate Bond Portfolio




Total 100.00%

Growth & Emerging Markets Debt Blend Portfolio




Total 100.00%

Growth & Emerging Markets Debt Portfolio



Total 100.00%

Liberty Harbour Opportunistic Corporate Bond Portfolio



Total 100.00%

Sterling Broad Fixed Income Portfolio





Total 100.00%

Sterling Credit Portfolio





Total 100.00%

US Fixed Income Portfolio



Total 100.00%

US Mortgage Backed Securities Portfolio



Total 100.00%


CoCos & Capital Securities Portfolio



Total 100.00%

586


Goldman Sachs Funds


As at 31 May 2015

% of Investor /


Global Currency Plus Portfolio



Total 100.00%

Global Fixed Income Plus Portfolio (Hedged)




Total 100.00%

Global Strategic Macro Bond Portfolio





Total 100.00%

Sterling Broad Fixed Income Plus Portfolio




Total 100.00%

Strategic Absolute Return Bond I Portfolio




Total 100.00%

Strategic Absolute Return Bond II Portfolio




Total 100.00%

SELECT PORTFOLIOS

Custom Emerging Markets Debt Blend Portfolio


Total 100.00%

Global Corporate Portfolio (Hedged)


Total 100.00%

FLEXIBLE PORTFOLIOS

Global Income Builder Portfolio




Total 100.00%

Wealthbuilder Multi-Asset Balanced Portfolio





Total 100.00%

% of Investor /


Wealthbuilder Multi-Asset Conservative Portfolio





Total 100.00%

Wealthbuilder Multi-Asset Growth Portfolio





Total 100.00%

ALTERNATIVE PORTFOLIOS

Absolute Return Tracker Portfolio*




Total 100.00%

Liquid Alternative Beta Equity Long Short Portfolio*



Total 100.00%

Liquid Alternative Beta Event Driven Portfolio*





Total 100.00%

Liquid Alternative Beta Macro Portfolio*



Total 100.00%

Liquid Alternative Beta Relative Value Portfolio*



Total 100.00%

Liquid Alternative Beta Trend Portfolio*



Total 100.00%

Multi-Asset Dynamic Strategy Portfolio*


Total 100.00%

* Refer to Appendix II1

A related party to Goldman Sachs Funds, SICAV.2

Shareholding is seed capital investment to establish a track record for the Portfolio.

There were no shareholder concentrations greater than 10% for Global Equity Partners Portfolio, Global Credit

Portfolio (Hedged), Global Fixed Income Portfolio (Hedged), Growth & Emerging Markets Debt Local Portfolio,

Global Strategic Income Bond Portfolio and US Real Estate Balanced Portfolio as at 31 May 2015.

Goldman Sachs Funds


As at 31 May 2015

587


588


Goldman Sachs Funds

Appendix IV—Index Tracking Portfolios (Unaudited)

For the Period Ended 31 May 2015

The following disclosures are required for Index-Tracking Portfolio’s based on European Securities and Markets

Authority (“ESMA”) guidelines on ETFs and other UCITS issues (ESMA/2012/832), issued 18 December 2012:

I. Realised Tracking Error:

II. Performance of Index-Tracking Portfolio and Benchmark:

Refer to the Investment Advisor’s report for disclosures on the performance of the Index-Tracking Portfolios and

Benchmarks.

1 Tracking error is calculated as the volatility of the difference between the return of each Portfolio against the

return of the respective GIVI Sub-Index that the Portfolio is seeking to track.

Portfolios Benchmark Realised Net Tracking Error1

GIVI Europe Equity Portfolio S&P GIVI Europe Index

(Net Total return, unhedged, EUR) 0.58

GIVI Global Equity – Growth Markets Tilt Portfolio S&P GIVI Global Growth Markets Tilt Index

(NTR, unhedged, USD) 0.36

GIVI Growth & Emerging Markets Equity Portfolio S&P GIVI Emerging Index

(Net total return, unhedged, USD) 0.78

Goldman Sachs Funds

Additional Information

This material is provided at your request for informational purposes only and does not constitute a solicitation

in any jurisdiction in which such a solicitation is unlawful or to any person to whom it is unlawful. It only

contains selected information with regards to the fund and does not constitute an offer to buy shares in the

fund. Prior to an investment, prospective investors should carefully read the latest Key Investor Information

Document (KIID) as well as the offering documentation, including but not limited to the fund’s prospectus

which contains inter alia a comprehensive disclosure of applicable risks. The relevant articles of association,

prospectus, supplement, KIID and latest annual/semi-annual report are available free of charge from the

fund’s paying and information agent and/or from your financial adviser.

Shares of the fund may not be registered for public distribution in a number of jurisdictions (including but not

limited to any Latin American, African or Asian countries). Therefore, the shares of the fund must not be

marketed or offered in or to residents of any such jurisdictions unless such marketing or offering is made in

compliance with applicable exemptions for the private placement of collective investment schemes and other

applicable jurisdictional rules and regulations.

Financial advisers generally suggest a diversified portfolio of investments. The fund described herein does

not represent a diversified investment by itself. An investor should only invest if he/she has the necessary

financial resources to bear a complete loss of this investment.

This material must not be construed as investment or tax advice. Prospective investors should consult their

financial and tax adviser before investing in order to determine whether an investment would be suitable for

them.

Past performance does not guarantee future results, which may vary. The value of investments and

the income derived from investments will fluctuate and can go down as well as up. A loss of principal

may occur.

Index Benchmarks

Indices are unmanaged. The figures for the index reflect the reinvestment of all income or dividends, as

applicable, but do not reflect the deduction of any fees or expenses which would reduce returns. Investors

cannot invest directly in indices. The indices referenced herein have been selected because they are well

known, easily recognized by investors, and reflect those indices that the Investment Manager believes, in

part based on industry practice, provide a suitable benchmark against which to evaluate the investment or

broader market described herein. The exclusion of “failed” or closed hedge funds may mean that each index

overstates the performance of hedge funds generally. References to indices, benchmarks or other measures

of relative market performance over a specified period of time are provided for your information only and do

not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in

which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk

and return features, portfolio characteristics may deviate from those of the benchmark.

Confidentiality

No part of this material may, without GSAM’s prior written consent, be (i) copied, photocopied or duplicated

in any form, by any means, or (ii) distributed to any person that is not an employee, officer, director, or

authorized agent of the recipient.

589

Goldman Sachs Funds

Additional Information (continued)

This information discusses general market activity, industry or sector trends, or other broad-based economic,

market or political conditions and should not be construed as research or investment advice. 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.

© 2015 Goldman Sachs. All rights reserved.

590

SICAVSAENG

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