GS Global Equity Long Short Portfolio. Goldman Sachs AG

Transcription

1 GS Global Equity Long Short Portfolio Goldman Sachs AG May 2015

2 Executive Summary GS Global Equity Long Short Portfolio Current Market Environment With the equity markets at or near record highs, investors may desire a more cautious approach to equity investing. Solution Our GS Global Equity Long Short Portfolio focuses on security selection to seek to maximize alpha, and active downside management to control overall market exposure. Alternatives Expertise Our investment team has a long history extending back four decades and has managed a global long/short strategy since

3 Portfolio Risk Considerations GS Global Equity Long Short Portfolio Market risk - the value of assets in the Portfolio is typically dictated by a number of factors, including the confidence levels of the market in which they are traded. Operational risk - material losses to the Portfolio may arise as a result of human error, system and/or process failures, inadequate procedures or controls. Liquidity risk - the Portfolio may not always find another party willing to purchase an asset that the Portfolio wants to sell which could impact the Portfolio's ability to meet redemption requests on demand. Exchange rate risk - changes in exchange rates may reduce or increase the returns an investor might expect to receive independent of the performance of such assets. If applicable, investment techniques used to attempt to reduce the risk of currency movements (hedging), may not be effective. Hedging also involves additional risks associated with derivatives. Custodian risk - insolvency, breaches of duty of care or misconduct of a custodian or sub-custodian responsible for the safekeeping of the Portfolio's assets can result in loss to the Portfolio. Interest rate risk - when interest rates rise, bond prices fall, reflecting the ability of investors to obtain a more attractive rate of interest on their money elsewhere. Bond prices are therefore subject to movements in interest rates which may move for a number of reasons, political as well as economic. Credit risk - the failure of a counterparty or an issuer of a financial asset held within the Portfolio to meet its payment obligations will have a negative impact on the Portfolio. Derivatives risk - derivative instruments are highly sensitive to changes in the value of the underlying asset that they are based on. Certain derivatives may result in losses greater than the amount originally invested. Counterparty risk - a party that the Portfolio transacts with may fail to meet its obligations which could cause losses. Emerging markets risk - emerging markets are likely to bear higher risk due to lower liquidity and possible lack of adequate financial, legal, social, political and economic structures, protection and stability as well as uncertain tax positions. For more detailed information on the risks associated with an investment in the Portfolio, please refer to the section in the Prospectus entitled Risk Considerations and discuss with your professional advisers. 2

4 Current Market Environment

5 Record High Equity Markets MSCI World Index* Levels When the MSCI World reached the range in 2000 and 2007, investors were rightly concerned about a market correction But if an investor had sold out of equities when the MSCI breached 1400 again, he would have missed out on 27% in total return. During equity market peaks, investors may be concerned about the possibility of a market correction. But as the market continues to test new highs, the opportunity cost of not being invested can be substantial. Source: Bloomberg, GSAM as of February * MSCI World index Net of withholding tax. 4

6 Realized Correlation Decline in single stock correlations provides more opportunities for stock picking and alpha generation S&P 500 Single Stock Correlations Month 6 Month 12 Month Source: Goldman Sachs Global Investment Research as of 12/31/ S&P 500 single stock correlations measured the average realized correlations between all of the underlying names in the S&P 500 index over 3 months, 6 months, and 12 months. 5

7 Solution: GS Global Equity Long Short Portfolio

8 Portfolio Terms GS Global Equity Long Short Portfolio Fund Name GS Global Equity Long Short Portfolio Inception Date June, 2015 Vehicle Luxembourg domiciled UCITS compliant SICAV fund Portfolio Construction Invests primarily in global equity markets, with focus on securities listed in North America and European exchanges, through use of Long Short positions. Target Volatility Target Return Liquidity Minimum Investment Management Fee 7-9% (annual) 3 month LIBOR + 6-8% (annual, net) Daily $5,000 for Base share class, $1,000,000 for I share class Management Fee : 1% for Institutional share class, 1.75% for Base share class Performance Fee 20% As of 18/05/2015. Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. 7

9 Goal Implementation Why GS Global Equity Long Short Portfolio? Strategies that focus on security selection and alpha generation have the ability to generate outperformance during periods where equity returns are more muted and exhibit higher dispersion. In addition, market uncertainty calls for a more prudent approach. Actively managing market exposure and downside risk will be critical for successful equity investing. Experienced, Global Team Fundamental Stock Selection Active Risk Management Our investment team has a long history extending back over four decades. The Portfolio s senior investment team has worked closely together for over 10 years and has managed a global long/short strategy since The team has a global footprint with offices in New York, London, Hong Kong and Tokyo. The Portfolio s manager pursues high conviction investments in global equity markets, focusing on North America and Europe. Investment ideas are generated through fundamental, bottom up research, and generally based on secular changes that will positively or negatively impact companies. The manager seeks to identify idiosyncratic investments with asymmetric risk/return profiles and identifiable catalysts. The Portfolio s manager actively hedges the Portfolio s long positions against certain market and sector risks. The manager also dynamically adjusts the Portfolio s exposure to the broad equity markets, seeking to be less exposed to broader equity market moves. Seeks to benefit from the team s long/short experience and global insights. Seeks to generate attractive risk-adjusted returns. Seeks to hedge market risk and limit volatility. The Portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. 8

10 GS Global Equity Long Short Portfolio Pursuing Attractive Risk-Adjusted Returns through Stock Selection, Risk Management and Market Views Long Stocks with: High quality business models Strong management teams Substantial free cash flow generation Attractive valuation Identifiable catalysts that create value A Portfolio of high conviction investment ideas, with active hedging and dynamically managed with reduced market exposure Short Market hedges Sector hedges Select stocks The Portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk. 9

11 Experienced, Global Team Fundamental Stock Selection Active Risk Management Experienced, Global Investment Team Goldman Sachs Investment Strategies (GSIS) manages a $5.6 billion 1 global opportunistic equity long/short strategy launched in January 2008 The team has a long history extending back over four decades 2 The GSIS team is led by Raanan Agus and Kenneth Eberts, both partners of Goldman Sachs, who each have over 20 years of investing experience Raanan Agus Global Co-Heads Regional Team Heads Kenneth Eberts The regional teams are led by Hideki Kinuhata and Ryan Thall (Asia), Nick Advani (Europe) and Kenneth Eberts (US), all partners of Goldman Sachs Kenneth Eberts US 23 Professionals Nick Advani Europe (LDN) 8 Professionals Ryan Thall Asia (HK) 6 Professionals The broader GSIS team of 50 professionals maintains a global footprint with team members split across the major investment regions Hideki Kinuhata Asia (Tokyo) 8 Professionals Data as of April Including private investments. 2 Please note that the global opportunistic equity long/short strategy was launched in January 2008 but its team members were previously part of Goldman Sachs Principal Strategies (GSPS). 10

12 Experienced, Global Team Fundamental Stock Selection Active Risk Management Investment Process GSIS Investment Team (50 professionals) Senior GSIS Team (Regional team heads and global co-heads) Global Co-Heads (Raanan Agus and Kenneth Eberts) Bottom-up Research Generation and Sourcing of Investment Ideas Capital Allocation and Sizing of Top Positions Ongoing Review and Discussion of the Portfolio Initiation of Positions Ultimate Responsibility for Portfolio Thematic Top-Down Ideas Risk Management Portfolio Hedging Key forums to share information: weekly GSIS team calls, bi-weekly senior GSIS team calls, regional weekly meetings, ad-hoc calls based on company/market specific events For Illustrative Purposes Only. GSAM leverages the resources of Goldman Sachs & Co. subject to Chinese Wall restrictions. Solution: GS Global Equity Long Short Portfolio 11

13 Experienced, Global Team Fundamental Stock Selection Active Risk Management Investment Strategy and Portfolio Construction Investment Strategy Pursuing attractive risk-adjusted returns through stock selection, risk management and market views Creating a Portfolio of high conviction investment ideas, with active hedging and dynamically managed with reduced market exposure Portfolio will focus on Long Short Equity and Event Driven strategies based on the fundamental research and analysis of the GSIS team Investment ideas will be included in the Portfolio based on a minimum liquidity threshold driven by average daily trading volume and GSIS internal liquidity levels (across all strategies that the GSIS team manages). Annualized volatility is expected to be in the 7-9% range over the investment cycle Portfolio Construction GS Global Equity Long/Short Portfolio Net exposure We expect the net exposure to be between 0% and +50% of the Portfolio s NAV (this does not include certain hedges that reduce the Portfolio s net exposure significantly) Sector weights There are no restrictions on sector weights, but we monitor our sector exposure very closely Regional weights We expect to have a focus on North America and Europe, subject to liquidity considerations Positions Shorts Position Size We expect to hold approximately equity long positions Mostly market/sector hedges and select single name shorts (subject to UCITS regulation) We target a maximum long market value of 5-7% per position Targets are subject to change and are current as of the date of this presentation. Targets are objectives and do not provide any assurance as to future results. Please see additional disclosures. 12

14 Experienced, Global Team Fundamental Stock Selection Active Risk Management Focus on Security Selection Investment ideas are generated from the deep industry knowledge of the GSIS team 1 and the top-down views of the team s leadership Deep fundamental bottom-up research is at the core of every investment in the Portfolio Leveraging the Goldman Sachs brand to get access to company management teams 2 Team-based and opportunistic approach of the Portfolio seeks to drive allocations to the most attractive investment opportunities Sourcing Idea Generation Research Investment Execution Goldman Sachs network 2 Deep industry contacts Major market participants Strong fundamental research Bottom-up fundamental research Long/short equity Event Driven Geographic focus Industry focus 1 GS Investment Strategies, LLC, the investment manager of the Funds, is a US-registered investment adviser and is a wholly-owned subsidiary of The Goldman Sachs Group, Inc. 2 GSAM leverages the resources of Goldman, Sachs & Co. subject to legal, internal and regulatory restrictions. 13

15 Experienced, Global Team Fundamental Stock Selection Active Risk Management Investment Philosophy Seeking to identify secular changes in industries, markets and consumer behavior that will create winners and losers among the impacted companies Looking for investment opportunities with asymmetric risk/return profiles Disciplined hedging of unwanted exposures 1 Striving to build a Portfolio with active hedging and the goal to generate attractive performance in any market environment Targeting lower volatility than equity markets and low beta to equity markets Seeking to manage the downside in large market moves 1 There is no guarantee that these objectives will be met. There can be no guarantee that the team will be successful in its hedging activities. The ability of the Portfolio to hedge successfully will depend on the ability of the Portfolio s investment manager to predict market movements, which is speculative and cannot be assured. 14

16 Experienced, Global Team Fundamental Stock Selection Active Risk Management Case Study Healthcare Stock Background: Opportunity: Market continues to underestimate earnings This company is a stable, highly free cash flow generative diversified global healthcare company comprised largely of drugs, over-the-counter medications and medical devices. We believe the company s product portfolio can organically grow revenues by mid single digits and earnings by 10-15% on a sustainable basis. Current CEO joined the company in 2008 when earnings were expected to be well less than $1 per share vs current market expectation of ~$14 in Consensus EPS estimates for 2015 and 2016 over time Historical Mean 12/2015 Historical Mean 12/ Investment Thesis: The business is run by a management team with a differentiated view on the broader healthcare industry. We believe that management s strong operational execution and aggressive capital deployment strategy will continue to drive positive earnings revisions and outsized stock performance. We believe that earnings power for the current business as well as the contribution from recently announced acquisitions are underappreciated by the market. Management is very focused on creating shareholder value and its compensation agreement aligns incentives with investors. Risks: key man, company specific execution and sector rotation. Source: GS Investment Strategies, LLC (GSIS), Bloomberg For illustrative purposes only. Performance results vary depending on the client s investment goals, objectives, and constraints. There can be no assurance that the same or similar results to those presented above can or will be achieved. 15

17 Experienced, Global Team Fundamental Stock Selection Active Risk Management Case Study Bank Stock Background: Opportunity: Market is underestimating earnings power In 2007 this bank was one of the largest banking groups in the world. Majorly impacted by the global financial crisis, in 2009 this bank required a government bail-out. Over the past 5 years, this bank has significantly improved its funding position, asset quality, and capital position. However this has been at a heavy cost to shareholders. As a result, investors have been very bearish on this company. Bank Stock 10% 55% 35% Average of Top 20 European Banks 39% 42% 18% Investment Thesis: We believe the market is underestimating earnings power now that restructuring is coming to an end. This bank is becoming a highly focused retail and commercial bank in one of the most attractive banking markets. There are clear and specific opportunities for this bank to improve returns by increasing revenues, cutting costs, and optimizing the balance sheet. We believe this stock is trading at a meaningful discount to our estimate of intrinsic value. Risks: Greater than expected costs of resolving legacy regulation and litigation; government intervention; general political risks Source: GS Investment Strategies, LLC (GSIS) For illustrative purposes only. Performance results vary depending on the client s investment goals, objectives, and constraints. There can be no assurance that the same or similar results to those presented above can or will be achieved. 16

18 P/AFFO Experienced, Global Team Fundamental Stock Selection Active Risk Management Case Study Advertising Stock Background: Opportunity: Company FCF valuation versus REIT universe 1 This company owns and operates out-of-home (OOH) advertising structures, primarily billboards. The company sells 80% of its ad space to local small businesses, ensuring a stable, diversified revenue base. Over the past 100 years, the company has built dominant market share in many small markets. In 80% of the company s markets, the company controls >80% share e 2016e In 2014, after a protracted period of uncertainty, the company converted into a REIT. Our initial investment hinged on conviction that the IRS would allow the conversion Investors value the company at a significant discount to other REITs and the market overall. Investment Thesis: We believe the market significantly underestimates the defensibility and growth trajectory of the company s business model. In an era of mobile/digital innovation, many investors anticipate secular decline for OOH spending. In reality, the OOH segment has started to benefit from declining audiences for radio and TV and from cross-platform campaigns using online digital. GSIS tracks OOH trends through proprietary surveys and we expect continued acceleration through Market share and regulatory moat: The vast majority of the company s billboards reside in municipalities that have banned new billboards - and hence new competition. In many markets, the company is the only local option for OOH advertising, limiting price competition. Growth from consolidation and digital conversions: Acquisitions may create significant value, as the company's low-cost operating structure and superior local sales force improve margins and revenues for acquired billboards. Conversions to digital LED generate 30-50% ROICs. We believe the company s current ~5% dividend should grow 10% annually through at least Source: GS Investment Strategies, LLC (GSIS), Bloomberg 1 Each case valuations are reported net of expected dividends. For the Timber sector, CFO (cash from operations) is used in lieu of AFFO as timber REITs do not report AFFO figures. For all sectors, the P/AFFO figures are displayed on a market-cap weighted-average basis. AFFO means per-share adjusted funds from operation, a common REIT measure of free cash flow For illustrative purposes only. Performance results vary depending on the client s investment goals, objectives, and constraints. There can be no assurance that the same or similar results to those presented above can or will be achieved. 17

19 Experienced, Global Team Fundamental Stock Selection Active Risk Management Active Risk Management Supplemental Information GSIS has Historically Managed the Downside in Large Market Declines 0% Largest Equity Drawdowns -10% -20% -30% -40% -50% -60% Downcapture: 25% Downcapture: 4% Downcapture: 16% Jan 08 - Feb 09 May 11 - Oct 11 Apr 10 - Jul 10 MSCI World For Illustrative Purposes Only. Source: Bloomberg for MSCI World Index (MSCI World index Net of withholding tax ). Data shown for GS Global Opportunistic Equity Long/Short Strategy as of December 31, The data shown is of a representative account, which is chosen as most representative of the GS Global Opportunistic Equity Long/ Short Strategy, is for informational purposes only and is not indicative of future Portfolio characteristics/returns. Actual results may vary for each client due to specific client guidelines and other factors. Chart shows three largest drawdowns for MSCI World and corresponding gross performance estimates of GS Global Opportunistic Equity Long/Short Strategy based on daily Profit and Loss since inception in January 2, There can be no guarantee that the team will be successful in hedging activities. The ability of the GS Global Equity Long Short Strategy to hedge successfully will depend on the ability of the Portfolio s investment manager to predict market moves, which is speculative and cannot be assured. This information pertains to past performance. Past performance does not guarantee future results, which may vary. The information presented above is Supplemental Information shown for illustrative purposes to be used in consideration with the Multi-Disciplinary Fundamental Strategies ex Sidepockets composite presentation included in the Appendix. Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice. GSIS 18

20 1-Jan-08 1-Mar-08 1-May-08 1-Jul-08 1-Sep-08 1-Nov-08 1-Jan-09 1-Mar-09 1-May-09 1-Jul-09 1-Sep-09 1-Nov-09 1-Jan-10 1-Mar-10 1-May-10 1-Jul-10 1-Sep-10 1-Nov-10 1-Jan-11 1-Mar-11 1-May-11 1-Jul-11 1-Sep-11 1-Nov-11 1-Jan-12 1-Mar-12 1-May-12 1-Jul-12 1-Sep-12 1-Nov-12 1-Jan-13 1-Mar-13 1-May-13 1-Jul-13 1-Sep-13 1-Nov-13 1-Jan-14 1-Mar-14 1-May-14 Experienced, Global Team Fundamental Stock Selection Active Risk Management Active Risk Management The Team has Historically Actively Managed Net Market Exposure 200% 150% 100% 50% 0% -50% -100% -150% Historical Net and Gross Exposures 1 Equity LMV Equity SMV Net Equity Exposure 1 LMV = Long Market Value; SMV = Short Market Value; The data is in percentage of the NAV. The model Portfolio provided herein has certain limitations. Such Historical Net and Gross Exposure model is hypothetical and does not represent actual trading, and thus may not reflect material economic and market factors, such as liquidity constraints, that may have had an impact on the Adviser's actual decision-making. This model is shown for illustrative purposes only and is representative of the GS Global Opportunistic Equity Long/Short Strategy. It does not purport to show the holdings or sector weightings of an actual account. This information is shown for illustrative purposes only and does not constitute a recommendation of exposures for any client account. The exposures for the model Portfolio will differ from the exposures for a client account because of specific client guidelines, objectives and restrictions. 19

21 Performance

22 Simulated performance of GSAM Daily Liquid Global Equity Long/Short Strategy Supplemental Information Methodology and Details The following page shows the simulated performance of a GSAM Daily Liquid Global Equity Long/Short Strategy The simulated strategy consists of the long equity positions (North America, Europe and Asian ADRs) within the GSAM Global Opportunistic Equity Long/Short Strategy with average daily trading volume of more than $50 million since inception Note that the GSAM Global Opportunistic Equity Long/Short Strategy includes certain positions which are not included in the simulated performance for the GSAM Daily Liquid Global Equity Long/Short Strategy due to the different liquidity profile (e.g., long equity positions in Asia, single-stock short positions, nonequity positions such as credit) The short exposure of the simulated strategy consists of index hedges through equity index futures (S&P 500) The simulated strategy assumes 0.65x leverage of the GSAM Global Opportunistic Equity Long/Short Strategy (note that we assume lower leverage since the simulated strategy would be less diversified and is subject to leverage restrictions under the UCITS rules) and the net exposure of the simulated Strategy tracks the net exposure of the GSAM Global Opportunistic Equity Long/Short Strategy Maximum position size is 5% of long market value Simulated strategy is rebalanced on a daily basis Returns are gross of management fee, incentive fee, expenses and transaction costs Differences between simulated performance and actual performance experience Note that the simulated performance shown herein is not reflective of the actual performance history of a GSAM Daily Liquid Global Equity Long/Short Strategy managed for clients by the GSIS Team. The simulated performance has been adjusted in an effort to reflect some of the assumed impact of a GSAM Daily Liquid Global Equity Long/Short Strategy and has many inherent limitations. Specifically, the data presented are subject to significant assumptions: For the simulated strategy, we assume hedging using S&P 500 futures only, but a GSAM Daily Liquid Global Equity Long/Short Strategy could also include other hedging instruments For the simulated strategy, we assume that the net exposure exactly tracks the net exposure of the GSAM Global Opportunistic Equity Long/Short Strategy and assume 0.65x leverage, but GSAM Daily Liquid Global Equity Long/Short strategy will experience tracking error with regard to net exposure and leverage The simulated strategy does not include certain discretionary non-single stock positions (e.g., long index options) and certain product types (e.g., options, currency forwards, ETF) that could be added to a GSAM Daily Liquid Global Equity Long/Short strategy The simulated strategy assumes daily rebalancing but a GSAM Global Equity Long/Short Strategy would potentially be rebalanced less frequently While we believe that the assumptions used to generate the simulated performance are reasonable, other assumptions may also be reasonable, and different assumptions would result in materially different historical information. If any of the assumptions used in the simulated performance do not prove to be true, results may vary substantially from the examples shown. There can be no assurance that a GSAM Global Equity Long/Short Strategy will or is likely to achieve an investment history record similar to the one shown in this presentation. As of December 30, For discussion purposes only. The information presented above is Supplemental Information shown for illustrative purposes to be used in consideration with the Fundamental Strategies ex Asia composite presentation included in the Appendix. Simulated performance results do not reflect actual trading and have inherent limitations. No representation is made that a client will achieve results similar to those shown. These performance results are simulated based on an analysis of past market and realized data with the benefit of hindsight, do not reflect the performance of any GSAM product and are being shown for informational purposes only. The returns are gross and do not reflect the deduction of management fees.past performance does not guarantee future results, which may vary. Please see composite performance in the appendix for additional information and important disclosures. For discussion purposes only. This information is provided on the basis that it will not constitute investment advice and will not form a basis for any investment decision. 21

23 Simulated performance of GSAM Daily Liquid Global Equity Long/Short Strategy Supplemental Information Gross returns Volatility Ann. Return Beta Simulated performance of GSAM Daily Liquid Global Equity 11.34% 25.12% 4.39% -5.64% 3.46% 24.59% % 8.60% 6.83% 0.30 Long/Short Strategy 1 GSAM Global Opportunistic Equity 17.46% 19.51% -1.72% 2.98% 7.55% 35.05% % 8.90% 8.25% 0.16 Long/Short Strategy 2 MSCI World Index (with dividends, net of withholding tax) 4.94% 26.68% 15.83% -5.54% 11.76% 29.99% % 18.24% 3.27% HFRI 3 Equity Hedge 1.87% 14.26% 7.42% -8.38% 10.45% 24.57% % 9.50% 2.09% As of December 30, For discussion purposes only. 1 The simulated performance presented above is Supplemental Information shown for illustrative purposes to be used in consideration with the Fundamental Strategies ex Asia composite presentation included in the Appendix. Note that this composite has only been in existence since October Therefore, we believe that the simulated performance can be helpful information for investors. 2. The composite returns presented here are taken from the fully GIPS compliant Multi-Disciplinary Fundamental Strategies ex Sidepockets composite presentation included in the Appendix. 3. HFRI and HFRX and related indices are trademarks and service marks of Hedge Fund Research, Inc. ("HFR") which has no affiliation with GSAM. Information regarding HFR indices was obtained from HFR s website and other public sources and is provided for comparison purposes only. HFR does not endorse or approve any of the statements made herein. All calculations were made in USD. Simulated performance results do not reflect actual trading and have inherent limitations. No representation is made that a client will achieve results similar to those shown. These performance results are simulated based on an analysis of past market and realized data with the benefit of hindsight, do not reflect the performance of any GSAM product and are being shown for informational purposes only. The returns are gross and do not reflect the deduction of management fees, which will reduce returns. Past performance does not guarantee future results, which may vary. Please see composite performance in the appendix for additional information and important disclosures. For discussion purposes only. This information is provided on the basis that it will not constitute investment advice and will not form a basis for any investment decision. 22

24 Appendix

25 Simulated beta 1 of GSAM Daily Liquid Global Equity Long/Short Strategy Supplemental Information yr rolling beta of GS Global Opportunistic Equity Long/Short Strategy (2) 3yr rolling beta of GS Daily Liquid Global Equity Long/Short Strategy (3) As of December 30, For discussion purposes only. 1. Beta is estimated to MSCI World Index 2. The composite returns presented here are taken from or are Additional Information to the fully GIPS compliant Multi-Disciplinary Fundamental Strategies ex Sidepockets composite presentation included in the Appendix. 3. The simulated performance presented above is Supplemental Information shown for illustrative purposes to be used in consideration with the Fundamental Strategies ex Asia composite presentation included in the Appendix. Note that this composite has only been in existence since October Therefore, we believe that the simulated performance can be helpful information for investors. Inception for Beta data starts Dec 2010 because 3 year rolling beta is shown. Past performance does not guarantee future results, which may vary. For discussion purposes only. This information is provided on the basis that it will not constitute investment advice and will not form a basis for any investment decision. 24

26 Simulated performance of GSAM Daily Liquid Global Equity Long/Short Strategy Supplemental Information $200 $180 GSAM Global Opportunistic Equity Long/Short Strategy (1) GSAM Daily Liquid Global Equity Long/Short Strategy (2) MSCI World $160 $140 $120 $100 $80 $60 $40 $20 $ As of December 30, For discussion purposes only. The graph shows the growth of $100 if it was invested on 01/01/ The performance presented above is Supplemental Information shown for illustrative purposes to be used in consideration with the Multi-Disciplinary Fundamental Strategies ex Sidepockets composite presentation included in the Appendix 2.The simulated performance presented above is Supplemental Information shown for illustrative purposes to be used in consideration with the Fundamental Strategies ex Asia composite presentation included in the Appendix. Note that this composite has only been in existence since October Therefore, we believe that the simulated performance can be helpful information for investors. 3 All calculations were made in USD. Simulated performance results do not reflect actual trading and have inherent limitations. No representation is made that a client will achieve results similar to those shown. These performance results are simulated based on an analysis of past market and realized data with the benefit of hindsight, do not reflect the performance of any GSAM product and are being shown for informational purposes only. The returns are gross and do not reflect the deduction of management fees, which will reduce returns. Past performance does not guarantee future results, which may vary. Please see composite performance in the appendix for additional information and important disclosures. For discussion purposes only. This information is provided on the basis that it will not constitute investment advice and will not form a basis for any investment decision. 25

27 Investment Leadership Raanan Agus Managing Director, Co-Head of Goldman Sachs Investment Partners Raanan joined the firm in 1993 as an associate in Equities Arbitrage. Following that role, he co-headed the GS Principal Strategies group in the Securities Division in 2003, and later became head of the group until the end of He was named managing director in 1999 and partner in Raanan earned an AB from Princeton University in 1989 and a JD/MBA specializing in finance from Columbia University in Kenneth Eberts Managing Director, Co-Head of Goldman Sachs Investment Partners Ken joined the firm in 1989 as an analyst in the Investment Banking Division and worked in the Real Estate and Financial Institutions Groups. From 1992 to 1998, he worked on the Equity Derivatives desk and then moved to the GS Principal Strategies group in He was named managing director in 2001and partner in Ken earned an AB in Quantitative Economics and History from Stanford University in

28 Multi-Disciplinary Fundamental Strategies Ex-Sidepockets (Institutional) Returns Risk Metrics Portfolio Metrics Assets As of: December 31, 2014 Gross Rate of Return (%) Net Rate of Return (%) [2] Standard Deviation - Composite (%) [5] Dispersion (%) [3] No. of Portfolios End of Period Assets (MM) Percent of Firm Assets [4] Annualized Since Inception [1] Years (15.56) (17.04) N/A N/A < 5 4, N/A N/A < 5 5, N/A < 5 7, N/A < 5 6, (1.72) (3.43) 5.09 N/A < 5 5, N/A < 5 3, N/A < 5 2, [1] Composite inception date: 01/01/2008. Returns for periods of less than one year cannot be annualized. Where applicable, annual performance for up to 10 years is presented. Additional performance information is available upon request. Currency used to express end of period assets and composite performance: USD. [2] The composite net of fee returns are calculated based on the application of the highest applicable fee rate listed in the Form ADV, Part II schedule or internal product fee schedule applicable to the prospective investor type. As the standard fees include a performance based fee, the net return was calculated based on assumptions as to how the rate would be applied. Performance fee was calculated assuming the performance fee was based on gross absolute returns (after subtraction of base fees) accruing on a monthly basis with payment of the performance fee on an annual basis. These returns do not represent actual net returns. Actual net returns could vary significantly depending on the fee terms and performance for any individual client. Please note that historical presentations may have also differed due to application of alternative fee methodologies. Additional information regarding the alternative performance fee application is available upon request. [3] Dispersion represents an asset weighted standard deviation of annual portfolio returns. Dispersion is not considered meaningful where less than five portfolios have been in the composite for the entire year and therefore has not been presented in years where an N/A appears. [4] Percentage of Firm assets are presented on an annual basis. Additional Firm asset and % of Firm asset information is available upon request. [5] For annual and YTD periods, the three year annualized ex-post standard deviation is presented as of the date shown. For each period for which an annualized return is presented, the corresponding annualized ex-post standard deviation of the composite is also provided. N/A is shown for periods where historical monthly returns are not available for 36 months or the full time period presented as standard deviation is not considered meaningful in these cases. Continued on next page

29 Multi-Disciplinary Fundamental Strategies Ex-Sidepockets (Institutional) (Continued) GSAM claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. GSAM has been independently verified for the periods July 1, 2000 through June 30, 2006 by Deloitte & Touche, LLP and for the periods July 1, 2006 through December 31, 2013 by Ernst & Young LLP. The verification reports are available upon request. Verification assesses whether (1) the Firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the Firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. Goldman Sachs Asset Management (excluding the following two business units (i) Goldman Sachs Hedge Fund Strategies LLC and (ii) the Private Equity Group), is referred to herein as the 'Firm' or 'GSAM'. Established in 1988, GSAM provides advisory services globally to both individual and institutional clients and is defined as the 'Firm' for purposes of complying with the Global Investment Performance Standards (GIPS ). In July 2011, GSAM acquired Goldman Sachs & Partners, an affiliated Australian investment adviser and Benchmark Asset Management Company, an Indian investment adviser and ETF provider. In May 2012, GSAM acquired Dwight Asset Management Company LLC and retained substantially all the stable value strategies and associated investment team members. Effective October 2012, the Energy and Infrastructure team within Private Wealth Management (PWM), an affiliated investment adviser, moved to GSAM. In April 2014, GSAM acquired Deutsche Asset & Wealth Management Stable Value team and retained substantially all the stable value strategies and associated investment team members. In all instances, unless otherwise noted, GSAM retained substantially all of the assets, historical performance results and key investment team members. The Multi-Disciplinary Fundamental Strategies Ex-Sidepockets composite consists of global multi-strategy investment portfolios. These portfolios are characterized by a research intensive approach which emphasizes fundamental bottoms-up analysis. There are three possible sources of excess return: 1. Long/Short Strategies (generally emphasize individual security selection in equity, fixed income, commodity, credit and currency markets in addition to private financings on a global basis) 2. Relative Value and Arbitrage Strategies (may include convertible arbitrage, capital structure arbitrage, volatility trading and issuer-specific relative value trading strategies) and 3. Event-Driven Strategies (may include merger arbitrage, leveraged financings, special situations and bankruptcy/distressed investing). Portfolios avoid illiquid investments. Portfolios are included in the composite with no restrictions on asset size. Portfolios may include institutional accounts, pooled vehicles or private wealth accounts. These total return figures represent past performance and are not indicative of future returns which may vary. Performance results are calculated utilizing a time-weighted rate of return methodology and include the reinvestment of earnings. Effective April 2010, institutional and private wealth account returns are calculated by applying the true time-weighted return calculation methodology. Previously account returns were calculated applying the Modified BAI calculation methodology based on a monthly valuation and daily weighted cash flows. Accounts are valued pursuant to GSAM's Valuation Procedures and reflect GSAM's good faith estimate of fair market levels for all positions, which may not be realized upon liquidation. The circumstances of the transaction and transaction size will affect the price received upon liquidation. GSAM's valuation policies are available upon request. Gross performance results are presented before management and custodial fees but after all trading commissions and transaction costs. Net performance results are net of transaction costs and investment management fees as described in Note 2 above. Where composites include mutual fund portfolios, the mutual fund performance is calculated gross of management and other fund fees for all share classes. Gross mutual fund performance is derived from net fund performance, applying the funds' total expense ratio. All relevant funds' share class assets are reflected in the composite and total GSAM assets figures. Each share class is treated as one account. Account and mutual fund valuation sources and timing may sometimes differ causing dispersion within the composite. The composite may include portfolios of different base currencies which have been redenominated to a common currency using monthly exchange rates obtained from WM Reuters and Financial Times (FT). Composite monthly returns are the size-weighted averages of the portfolios' monthly returns. Composite monthly returns are geometrically linked to calculate composite annual returns. GSAM's policies for calculating performance and preparing compliant presentations are available upon request. Segments of multiple asset class portfolios which have been managed as stand alone portfolios with separately managed cash may be included in the composite. A complete list and description of GSAM's composites is available upon request. Portfolios may be valued using subjective unobservable inputs. The maximum fee schedule applied for this strategy reflects an investment management fee of 1.75% and an incentive fee of 20%. The composite included non-fee paying assets which represented 28.1% of the composite's assets for calendar year end 2008, 33.1% for 2009, 25.5% for 2010, 27.3% for 2011, 21.9% for 2012, and 15.3% for Effective January 1, 2012, GSAM changed its methodology for applying model fees changes for calculation of composite net returns on a prospective basis. When a fee increase occurs mid month, the highest applicable fee rate is applied effective the 1st of that month. When a fee decrease occurs mid month, the lowered fee rate is applied effective the 1st of the following month. Between July 1, 2005 and December 31, 2011, the methodology reflected the application of the highest model fee based on the applicable fee schedule in effect for that calendar year. Prior to July 1, 2005, the current highest fee in the Form ADV, Part II was applied retroactively across all periods. As a result, net returns presented through June 30, 2005 reflect the fees in effect on June 30, For the performance period presented, investment professionals may have changed or departed, none of which in the Firm's view have altered the composite's strategy. A benchmark has not been presented for this composite. There is currently no existing benchmark that the Investment Manager believes is a suitable index for comparison due to the multi-disciplinary nature of the strategy. Accounts within this composite may invest in strategies that are leveraged through the use of derivatives to implement their portfolio strategy. Exchange traded futures, FX forwards, options and swaps could be used to gain exposure to specific markets and to generate excess return. Composite creation date: 11/10/2010 Published Final on: 02/05/

30 Fundamental Strategies ex Asia (Institutional) Returns Risk Metrics Portfolio Metrics Assets As of: December 31, 2014 Gross Rate of Return (%) Net Rate of Return (%) [2] BofA ML USD LIBOR 3 Month Constant Maturity (Total Return, Unhedged, USD) Benchmark (%) [5] Gross Excess Return (bps) Standard Deviation - Composite (%) [6] Standard Deviation - BofA ML USD LIBOR 3 Month Constant Maturity (Total Return, Unhedged, USD) Benchmark (%) [6] Dispersion (%) [3] No. of Portfolios End of Period Assets (MM) Percent of Firm Assets [4] Cumulative Since Inception [1] Years 10/ / N/A N/A N/A N/A N/A [1] Composite inception date: 10/01/2014. Returns for periods of less than one year cannot be annualized. Where applicable, annual performance for up to 10 years is presented. Additional performance information is available upon request. Currency used to express end of period assets and composite and benchmark performance: USD. [2] The composite net of fee returns are calculated by adjusting each monthly gross of fee composite return by the highest applicable fee rate listed in the Form ADV, Part II schedule or internal product fee schedule applicable to the prospective investor type. Actual fees and expenses may differ from those reflected in this composite presentation which would cause performance to differ. Where performance fees exist, the calculation was based on assumptions as to how the rate was applied which could differ from how it was actually charged. The net performance may not reflect the deduction of custody, administrative and other fees and expenses or fund sales loads, if applicable. [3] Dispersion represents an asset weighted standard deviation of annual portfolio returns. Dispersion is not considered meaningful where less than five portfolios have been in the composite for the entire year and therefore has not been presented in years where an N/A appears. [4] Percentage of Firm assets are presented on an annual basis. Additional Firm asset and % of Firm asset information is available upon request. [5] Benchmark Source: BofA Merrill Lynch. The BofA Merrill Lynch US Dollar 3 Month LIBOR Constant Maturity Index tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day s fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. This benchmark is in Total Return, unhedged and expressed in USD. All Merrill Lynch Indices have been rebranded to BofA Merrill Lynch Indices effective September 26th, [6] For annual and YTD periods, the three year annualized ex-post standard deviation is presented as of the date shown. For each period for which an annualized return is presented, the corresponding annualized ex-post standard deviation of the composite and benchmark is also provided. N/A is shown for periods where historical monthly returns are not available for 36 months or the full time period presented as standard deviation is not considered meaningful in these cases. Continued on next page

31 Fundamental Strategies ex Asia (Institutional) (Continued) GSAM claims compliance with the Global Investment Performance Standards (GIPS ) and has prepared and presented this report in compliance with the GIPS standards. GSAM has been independently verified for the periods July 1, 2000 through June 30, 2006 by Deloitte & Touche, LLP and for the periods July 1, 2006 through December 31, 2013 by Ernst & Young LLP. The verification reports are available upon request. Verification assesses whether (1) the Firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the Firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. Goldman Sachs Asset Management (excluding the following two business units (i) Goldman Sachs Hedge Fund Strategies LLC and (ii) the Private Equity Group), is referred to herein as the 'Firm' or 'GSAM'. Established in 1988, GSAM provides advisory services globally to both individual and institutional clients and is defined as the 'Firm' for purposes of complying with the Global Investment Performance Standards (GIPS ). In July 2011, GSAM acquired Goldman Sachs & Partners, an affiliated Australian investment adviser and Benchmark Asset Management Company, an Indian investment adviser and ETF provider. In May 2012, GSAM acquired Dwight Asset Management Company LLC and retained substantially all the stable value strategies and associated investment team members. In October 2012, the Energy and Infrastructure team within Private Wealth Management (PWM), an affiliated investment adviser, moved to GSAM. In January 2014, Advanced Investment Strategies, a joint venture between Goldman Sachs Securities Division and GSAM, became integrated into GSAM. In April 2014, GSAM acquired Deutsche Asset & Wealth Management Stable Value team and retained substantially all the stable value strategies and associated investment team members. In all instances, unless otherwise noted, GSAM retained substantially all of the assets, historical performance results and key investment team members. The Fundamental Strategies ex Asia composite consists of global investment portfolios excluding Asia. These portfolios are characterized by a research intensive approach which emphasizes fundamental bottoms-up analysis. The main sources of excess return are: 1. Long/Short Strategies (generally emphasize individual security selection in equity in addition to private financings on a global basis excluding Asia) and 2. Event-Driven Strategies (may include merger arbitrage, leveraged financings, special situations and bankruptcy/distressed investing). Portfolios avoid illiquid investments. Portfolios are included in the composite with no restrictions on asset size. Portfolios may include institutional accounts, pooled vehicles or private wealth accounts. These total return figures represent past performance and are not indicative of future returns which may vary. Performance results are calculated utilizing a time-weighted rate of return methodology and include the reinvestment of earnings. Effective April 2010, institutional and private wealth account returns are calculated by applying the true time-weighted return calculation methodology. Previously account returns were calculated applying the Modified BAI calculation methodology based on a monthly valuation and daily weighted cash flows. Accounts are valued pursuant to GSAM's Valuation Procedures and reflect GSAM's good faith estimate of fair market levels for all positions, which may not be realized upon liquidation. The circumstances of the transaction and transaction size will affect the price received upon liquidation. GSAM's valuation policies are available upon request. Gross performance results are presented before management and custodial fees but after all trading commissions and transaction costs. Net performance results are net of transaction costs and investment management fees as described in Note 2 above. Where composites include mutual fund portfolios, the mutual fund performance is calculated gross of management and other fund fees for all share classes. Gross mutual fund performance is derived from net fund performance, applying the funds' total expense ratio. All relevant funds' share class assets are reflected in the composite and total GSAM assets figures. Each share class is treated as one account. Account and mutual fund valuation sources and timing may sometimes differ causing dispersion within the composite. The composite may include portfolios of different base currencies which have been redenominated to a common currency using monthly exchange rates obtained from WM Reuters and Financial Times (FT). Composite monthly returns are the size-weighted averages of the portfolios' monthly returns. Composite monthly returns are geometrically linked to calculate composite annual returns. GSAM's policies for calculating performance and preparing compliant presentations are available upon request. Segments of multiple asset class portfolios which have been managed as stand alone portfolios with separately managed cash may be included in the composite. A complete list and description of GSAM's composites is available upon request. References to market or composite indices, benchmarks or other measures of relative market performance over a specified period of time (each, an 'index') are provided for your information only. Reference to an index does not imply that the portfolio will achieve returns, volatility or other results similar to the index. The composition of the index may not reflect the manner in which a portfolio is constructed in relation to expected or achieved returns, portfolio guidelines, restrictions, sectors, correlations, concentrations, volatility or tracking error targets, all of which are subject to change over time. The maximum standard fee schedule applied for this product reflects 160 bps. Effective January 1, 2012, GSAM changed its methodology for applying model fees changes for calculation of composite net returns on a prospective basis. When a fee increase occurs mid month, the highest applicable fee rate is applied effective the 1st of that month. When a fee decrease occurs mid month, the lowered fee rate is applied effective the 1st of the following month. Between July 1, 2005 and December 31, 2011, the methodology reflected the application of the highest model fee based on the applicable fee schedule in effect for that calendar year. Prior to July 1, 2005, the current highest fee in the Form ADV, Part II was applied retroactively across all periods. As a result, net returns presented through June 30, 2005 reflect the fees in effect on June 30, For the performance period presented, investment professionals may have changed or departed, none of which in the Firm's view have altered the composite's strategy. A LIBOR benchmark has been presented for this composite. There is currently no existing benchmark that the Investment Manager believe is a more suitable index for comparison. Portfolios within this composite may be leveraged to implement the intended strategy. Portfolios may employ leverage through borrowings and through derivatives. Portfolios within this composite may use derivatives to implement the intended strategy. The derivative instruments used may include futures contracts, swaps, options, forward contracts, and other instruments. Composite creation date: 11/21/2014 Published Final on: 03/17/