TIDMGSDO TIDMGSDE TIDMGSDU
RNS Number : 7195G
Goldman Sachs Dynamic Opportunities
17 May 2011
Goldman Sachs Dynamic Opportunities Limited
Performance Highlight
March 2011
Market Overview
Goldman Sachs Dynamic Opportunities Limited ("GSDO" or the
"Fund") generated flat performance of 0.05% (US Dollar, net of
fees) in March as most sectors contributed positive
performance.
Equity Long/Short managers experienced mixed performance in
March, ending the month close to flat in aggregate. The performance
of global managers was mixed and managers with positive performance
generally benefitted from long positions in the technology,
industrials and media sectors. The worst performing managers
experienced losses primarily from long and short positions in North
America that were not fully offset by gains from positions in
Europe and emerging markets. For these managers, positions in
financials and energy largely detracted while positions in consumer
companies generated the largest gains. The manager focused on
Europe detracted over the month as losses were primarily generated
from long positions in the healthcare, retail and financials
sectors. The emerging markets focused manager also generated
negative performance with losses driven by short positions,
primarily index hedges, whereas long positions in Northern Africa
and Asia contributed positively.
Event Driven managers collectively experienced positive
performance in March although there was high dispersion in the
performance of the underlying managers. Intra-month performance of
both credit and multi-strategy managers was somewhat reflective of
market performance, albeit largely muted as managers had been
selectively increasing portfolio hedges through prior months.
However, direct and indirect exposure to Japan served as a
significant detractor for some managers. Heightened volatility in
early March likely led to some losses, but other event driven
positions in managers' portfolios were less correlated to market
movements and were more impacted by idiosyncratic developments.
M&A activity continued to increase and there has been some
uptick in distressed asset sales from European banks, which may
provide opportunities for attractive returns.
The Tactical Trading sector experienced flat performance in
March as macro managers' performance was mixed and managed futures
managers generated losses or were close to flat. Macro trading in
currencies was generally positive, driven by broad short USD
positioning across managers. Long risk positions in equities and
commodities broadly resulted in losses, while trading in fixed
income was mixed. CTAs generated largely negative performance in
March across short-, medium- and longer-term trend time horizons.
Losses were driven by long positions in equities and commodities as
trends in risk assets reversed sharply in the first half of the
month whilst returns in currencies was mixed. Fixed income trading
also mostly detracted as upward trends in yields reversed.
Sources: Bloomberg, Financial Times, Reuters, The New York
Times, The Wall Street Journal.
Performance
NAV
per Cum Ann Vol Inception
Share MTD QTD YTD ITD ITD(2) ITD Date
--------------- ------- ------- ------- ------- ------- ------- ------- ----------
Goldman Sachs
Dynamic
Opportunities
Limited -
(USD) Net(1) 2.1074 0.05% 1.00% 1.00% 16.95% 3.41% 6.91% Aug-06
3 Month USD
LIBOR N/A 0.03% 0.07% 0.07% 12.94% 2.64% 0.62% Aug-06
Goldman Sachs
Dynamic
Opportunities
Limited -
(EUR) Net(1) 1.4400 -2.62% -4.51% -4.51% 0.47% 0.10% 11.85% Aug-06
3 Month EUR
LIBOR N/A 0.08% 0.23% 0.23% 13.38% 2.73% 0.50% Aug-06
Goldman Sachs
Dynamic
Opportunities
Limited -
(GBP) Net(1) 1.1338 0.05% 1.00% 1.00% 15.40% 3.12% 8.70% Aug-06
3 Month GBP
LIBOR N/A 0.06% 0.19% 0.19% 17.28% 3.48% 0.69% Aug-06
--------------- ------- ------- ------- ------- ------- ------- ------- ----------
Portfolio Characteristics (Reflects USD Share Class)(1)
Beta
MSCI
Excess World
Return Fund (Hgd Beta
Annualized Annualized Standard to Barclays
(Net)(2,3) (Net)(2) Deviation Sharpe USD) Agg
----------- ----------- ----------- ---------
Last 12
Months 3.95% 4.30% 4.63% 0.85 0.27 -0.69
Since
Inception 0.77% 3.41% 6.91% 0.11 0.27 0.07
------------ ----------- ----------- ---------- ------- ------- ---------
Cumulative Performance (Reflects USD Share Class)(1)
Date Fund (Net) Date Fund (Net)
-------- ----------- ------- -----------
Aug-06 0.90% Sep-09 6.47%
-------- ----------- ------- -----------
Sep-06 -1.90% Oct-09 6.88%
-------- ----------- ------- -----------
Oct-06 -0.38% Nov-09 7.95%
-------- ----------- ------- -----------
Nov-06 1.88% Dec-09 9.52%
-------- ----------- ------- -----------
Dec-06 3.44% Jan-10 9.80%
-------- ----------- ------- -----------
Jan-07 4.97% Feb-10 10.20%
-------- ----------- ------- -----------
Feb-07 4.92% Mar-10 12.13%
-------- ----------- ------- -----------
Mar-07 6.83% Apr-10 13.21%
-------- ----------- ------- -----------
Apr-07 8.87% May-10 10.45%
-------- ----------- ------- -----------
May-07 11.67% Jun-10 9.37%
-------- ----------- ------- -----------
Jun-07 12.40% Jul-10 10.23%
-------- ----------- ------- -----------
Jul-07 13.11% Aug-10 10.02%
-------- ----------- ------- -----------
Aug-07 11.77% Sep-10 12.65%
-------- ----------- ------- -----------
Sep-07 13.54% Oct-10 14.06%
-------- ----------- ------- -----------
Oct-07 17.27% Nov-10 13.78%
-------- ----------- ------- -----------
Nov-07 16.79% Dec-10 15.79%
-------- ----------- ------- -----------
Dec-07 17.24% Jan-11 15.26%
-------- ----------- ------- -----------
Jan-08 15.76% Feb-11 16.89%
-------- ----------- ------- -----------
Feb-08 18.42% Mar-11 16.95%
-------- ----------- ------- -----------
Mar-08 16.69%
-------- ----------- ------- -----------
Apr-08 17.03%
-------- ----------- ------- -----------
May-08 17.85%
-------- ----------- ------- -----------
Jun-08 15.95%
-------- ----------- ------- -----------
Jul-08 13.29%
-------- ----------- ------- -----------
Aug-08 11.43%
-------- ----------- ------- -----------
Sep-08 3.09%
-------- ----------- ------- -----------
Oct-08 -2.71%
-------- ----------- ------- -----------
Nov-08 -5.22%
-------- ----------- ------- -----------
Dec-08 -7.08%
-------- ----------- ------- -----------
Jan-09 -5.66%
-------- ----------- ------- -----------
Feb-09 -5.37%
-------- ----------- ------- -----------
Mar-09 -4.94%
-------- ----------- ------- -----------
Apr-09 -3.51%
-------- ----------- ------- -----------
May-09 -0.18%
-------- ----------- ------- -----------
Jun-09 1.05%
-------- ----------- ------- -----------
Jul-09 2.71%
-------- ----------- ------- -----------
Aug-09 4.47%
-------- ----------- ------- -----------
Return Comparison (Inception-To-Date) (Reflects USD Share
Class)(1)
Annualized Return(2) Risk
----------------- --------------------- -------
Fund (Net) 3.41% 6.91%
MSCI World (Hgd
to USD) -0.93% 17.37%
Barclays Agg 6.19% 3.67%
----------------- --------------------- -------
Weights(4)
# of # of
Core Niche
Sectors % Managers Managers
------------------ ------- ---------- ----------
Equity Long
/ Short 30.44% 4 2
Event Driven 44.90% 5 6
Relative Value 0.20% 1 0
Tactical Trading 24.46% 3 2
------------------ ------- ---------- ----------
# of
Overall % Managers
----------------- ------- ----------
Core Allocation 68.44% 13
Niche Exposure 31.56% 10
----------------- ------- ----------
Attribution (Reflects USD Share Class)(5,6)
Contribution to Fund
Returns
-------------------------
Sector MTD QTD YTD
--------------------- -------- ------- ------
Equity Long / Short 0.04% 0.01% 0.01%
Event Driven 0.22% 1.26% 1.26%
Relative Value 0.00% 0.00% 0.00%
Tactical Trading -0.03% 0.35% 0.35%
--------------------- -------- ------- ------
Performance Analysis - Sectors (Reflects USD Share
Class)(5,7)
Portfolio Ann Vol Inception
Sector Weight(4) MTD QTD YTD ITD ITD(2) ITD Date
---------- ---------- ------- ------- -------
Equity
Long /
Short 30.44% 0.12% -0.28% -0.28% 38.09% 7.16% 11.35% Aug-06
Event
Driven 44.90% 0.50% 2.79% 2.79% 29.99% 5.78% 7.78% Aug-06
Relative
Value 0.20% 0.32% 0.32% 0.32% 4.86% 1.02% 11.67% Aug-06
Tactical
Trading 24.46% -0.11% 1.41% 1.41% 84.96% 14.09% 6.66% Aug-06
---------- ---------- ------- ------- ------- ------- ------- ------- ----------
Performance Analysis - Overall (Reflects USD Share
Class)(5,7)
Portfolio Ann Vol
Sector Weight(4) MTD QTD YTD ITD ITD(2) ITD Date
------------ ---------- ------ ------ ------
Core
Allocation 68.44% 0.17% 2.29% 2.29% 29.98% 5.78% 7.85% Aug-06
Niche
Exposure 31.56% 0.39% 0.25% 0.25% 52.13% 9.41% 7.39% Aug-06
------------ ---------- ------ ------ ------ ------- ------- ------ -------
Monthly Performance (Reflects USD Share Class)(5)
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
----- ------- ------- ------- ------ ------- ------- ------- ------- ------- ------- ------- ------- --------
2011 -0.46% 1.42% 0.05% 1.00%
2010 0.25% 0.36% 1.75% 0.96% -2.44% -0.98% 0.79% -0.20% 2.39% 1.26% -0.25% 1.77% 5.73%
2009 1.53% 0.31% 0.45% 1.51% 3.45% 1.24% 1.64% 1.71% 1.91% 0.39% 1.00% 1.46% 17.86%
2008 -1.26% 2.30% -1.46% 0.29% 0.71% -1.62% -2.29% -1.64% -7.49% -5.63% -2.58% -1.96% -20.74%
2007 1.48% -0.05% 1.82% 1.91% 2.57% 0.65% 0.64% -1.19% 1.58% 3.28% -0.40% 0.38% 13.34%
2006 - - - - - - - 0.90% -2.78% 1.54% 2.27% 1.53% 3.44%
----- ------- ------- ------- ------ ------- ------- ------- ------- ------- ------- ------- ------- --------
GSDO's Investments by Manager Name(8,9)
Sector / Manager Strategy Holding
Equity Long / Short
------------------------------- ------------------------------ --------
AKO Capital Europe Diversified Niche
Brookside Global Growth Core
Conatus Capital Global Growth Core
Highbridge Global Diversified Core
Moon Emerging Markets Diversified Niche
TPG-Axon Capital Global Diversified Core
Event Driven
------------------------------- ------------------------------ --------
Anchorage Credit Opportunities / Core
Distressed
Eton Park Multi-Strategy Core
Harbinger Credit Opportunities / Core
Distressed
Manikay Partners Multi-Strategy Niche
Perry Partners Multi-Strategy Core
Silver Point Credit Opportunities / Niche
Distressed
Spinnaker (Capital Pacnet Multi-Strategy Niche
Holdings Class A)
Spinnaker (Capital Pacnet Multi-Strategy Niche
Holdings Class R)
Spinnaker (Global Emerging Multi-Strategy Niche
Markets)
Spinnaker (Global Opportunity) Multi-Strategy Niche
The Children's Investment Multi-Strategy Core
Fund
Tactical Trading
------------------------------- ------------------------------ --------
Brevan Howard Macro - Discretionary Core
D.E. Shaw Macro - Model Core
Moore Macro - Discretionary Core
Transtrend Managed Futures - Model Niche
Yannix Capital Managed Futures - Fundamental Niche
Commodities
Total Number of Allocations:
22
Endnotes
Past performance is not indicative of future results, which may
vary. Please see Disclosures for important information.
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.
References to the indices do not imply that the portfolio will
achieve returns, volatility or other results similar to the
indices. The composition of the indices 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. Information regarding
the Fund's investment objectives is contained in the Fund's latest
report and accounts, but is subject to amendment. Source for index
data: Bloomberg.
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 or a recommendation to buy or sell investments in the Fund
or any other investments mentioned in this report or to follow any
investment strategy. Furthermore, this report should not be
construed as an invitation or inducement to engage in investment
activity in the Fund.
(1) Performance is final and unaudited. The figures published
here are final as of 31/03/2011, calculated as of 29/04/2011, but
are potentially subject to revision. Returns are presented in the
currency displayed.
(2) Returns less than 12 months are cumulative, not
annualized.
(3) This is the excess return over the risk-free rate (3 Month
USD LIBOR).
(4) Does not include cash. The Investment Manager may change the
allocations over time. The allocations noted before should not be
deemed representative of allocations in the future. Allocations
based upon month-end valuations as of 31/03/2011, calculated as of
29/04/2011. Figures may not sum to 100% due to rounding.
(5) Performance is final and unaudited. The figures published
here are final as of 31/03/2011, calculated as of 29/04/2011, but
are potentially subject to revision.
(6) Contribution data is geometrically calculated based on a
monthly time series. Data will not arithmetically sum to fund
total. Cumulative geometric returns for less than 12 months are
calculated as follows: (1+r1)*(1+r2)*...*(1+rn)-1. Annualized
geometric returns for returns greater than 12 months are calculated
as follows: [(1+r1)*(1+r2)*...*(1+m)](12/m) -1.
(7) Sector and overall returns are net of underlying manager
fees but gross of Goldman Sachs management and incentive fees.
Presented in USD unless otherwise stated.
(8) As of 31/03/2011, calculated as of 29/04/2011. 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 or a recommendation to buy or sell investments in the Fund
or any other investments mentioned in this report or to follow any
investment strategy. Furthermore, this report should not be
construed as an invitation or inducement to engage in investment
activity in the Fund.
(9) This is a list of all GSDO managers excluding Amaranth and
Tisbury. Amaranth and Tisbury have been excluded because each is a
holding (a) that comprises less than 1% of GSDO's assets and (b)
from which GSDO has submitted a full redemption form. The list is
subject to change without notice to investors and therefore may not
be an indication of the ten largest investments that currently
comprise the Fund's portfolio.
Disclosures
Opinions and views expressed are current opinions as of the date
appearing in this material only. No part of this material may be i)
copied, photocopied or duplicated in any form, by any means; or ii)
redistributed without the prior written consent of Goldman Sachs
Hedge Fund Strategies LLC.
The performance described herein is based in part on estimates
of the recovery value of such fund's assets currently held at
Lehman Brothers and/or amounts owed to such fund by Lehman
Brothers. In addition, these exposures are based on information we
have received from the majority, but not all of our underlying
hedge fund managers, and we have no way of independently verifying
or otherwise confirming the accuracy of the information provided.
There can be no guarantee that our estimate is accurate. There is
significant uncertainty with respect to the ultimate outcome of the
Lehman Brothers insolvency proceedings, and therefore the amounts
ultimately recovered from Lehman Brothers could be materially
different than our estimates. Accordingly, the estimated values set
forth herein may not completely reflect the impact of potential
losses. When realized, such losses could adversely impact the
performance of the fund. We continue to assess our funds' exposure
to the bankruptcy of Lehman Brothers and we may revise our
estimates of recovery value at any time.
This report does not form part of, and must not be used for the
purposes of, any offering of shares in the Fund.
This material has been prepared by Goldman Sachs Asset
Management (GSAM) and/or Goldman Sachs International (GSI) and is
not a product of the Goldman Sachs Global Investment Research (GIR)
Department. The views and opinions expressed may differ from those
of the GIR Department or other departments or divisions of Goldman
Sachs and its affiliates. Investors are urged to consult with their
financial advisors before buying or selling any securities. This
information may not be current and neither GSAM nor GSI has an
obligation to provide any updates or changes.
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.
References to the indices do not imply that the portfolio will
achieve returns, volatility or other results similar to the
indices. The composition of the indices 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. Information regarding
portfolio objectives is contained in the prospectus as amended from
time to time. Source for index data: Bloomberg.
Indices are unmanaged. The figures for the index reflect the
reinvestment of dividends but do not reflect the deduction of any
fees or expenses which would reduce returns. Investors cannot
invest directly in indices.
Effect of fees on performance:
The following table provides a simplified example of the effect
of management and incentive fees on portfolio returns. For example,
assume a portfolio has a steady investment return, gross of fees,
of 0.5% per month and total management fees of 0.1250% per month of
the market value of the portfolio on the last day of the month and
incentive fees of 10% of net profits. Management fees and incentive
fees are deducted from the market value of the portfolio on that
day. There are no cash flows during the period. The table shows
that, assuming that other factors such as investment return and
fees remain constant, the difference increases due to the
compounding effect over time. Of course, the magnitude of the
difference between gross-of-fee and net-of-fee returns will depend
on a variety of factors, and the example has been intentionally
simplified.
Period Gross Return Net Return Differential
1 year 6.17% 4.13% 2.04%
2 years 12.72% 8.42% 4.29%
10 years 81.94% 49.83% 32.11%
MSCI World Index: Morgan Stanley Capital International's market
capitalization weighted index is composed of companies
representative of the market structure of 22 developed market
countries in North America, Europe, and the Asia/Pacific Region.
The index is calculated without dividends, with net or with gross
dividends reinvested, in both US dollars and local currencies.
The Barclays Capital U.S. Aggregate Index represents securities
that are SEC-registered, taxable, and dollar denominated. The index
covers the U.S. investment grade fixed rate bond market, with index
components for government and corporate securities, mortgage
pass-through securities, and asset-backed securities. These major
sectors are subdivided into more specific indices that are
calculated and reported on a regular basis.
Supplemental Risk Disclosure for All Potential Investors in
Hedge Funds and other private investment funds (collectively,
"Alternative Investments")
In connection with your consideration of a direct or indirect
investment in any Alternative Investment, you should be aware of
the following risks:
Alternative Investments are not subject to the same regulatory
requirements or governmental oversight as mutual funds. The sponsor
or manager of any Alternative Investment may not be registered with
any governmental agency.
Alternative Investments often engage in leverage and other
investment practices that are extremely speculative and involve a
high degree of risk. Such practices may increase the volatility of
performance and the risk of investment loss, including the loss of
the entire amount that is invested.
Alternative Investments may purchase instruments that are traded
on exchanges located outside the United States that are "principal
markets" and are subject to the risk that the counterparty will not
perform with respect to contracts. Furthermore, since there is
generally less government supervision and regulation of foreign
exchanges, Alternative Investments are also subject to the risk of
the failure of the exchanges and there may be a higher risk of
financial irregularities and/or lack of appropriate risk monitoring
and controls.
Past performance is not a guide to future performance and the
value of Alternative Investments and the income derived from them
can go down as well as up. Future returns are not guaranteed and a
loss of principal may occur.
Alternative Investments may impose significant fees, including
incentive fees that are based upon a percentage of the realized and
unrealized gains, and such fees may offset all or a significant
portion of such Alternative Investment's trading profits.
Alternative Investments are offered in reliance upon an
exemption from registration under the Securities Act of 1933, as
amended, for offers and sales of securities that do not involve a
public offering in the United States.
Alternative Investments may themselves invest in instruments
that may be highly illiquid and extremely difficult to value. This
also may limit your ability to transfer your investment.
Alternative Investments generally are not required to provide
their investors with periodic pricing or valuation information.
There may be conflicts of interest between the Alternative
Investment and other service providers, including the investment
manager and sponsor of the Alternative Investment.
Alternative Investments may involve complex tax and legal
structures. Investment in any particular Alternative Investment, or
Alternative Investments generally, is only suitable for
sophisticated investors for whom such an investment does not
constitute a complete investment program and who fully understand
and are willing to assume the risks involved in such Alternative
Investment. You are urged to consult with your own tax, accounting
and legal advisers regarding any investment in any Alternative
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Investors are also urged to take appropriate advice regarding
any applicable legal requirements and any applicable taxation and
exchange control regulations in the country of their citizenship,
residence or domicile which may be relevant to the subscription,
purchase, holding, exchange, redemption or disposal of any
Alternative Investment.
We refer you to the prospectus for a more complete discussion of
the risks relating to an investment in any particular Alternative
Investment. You are urged to read all applicable offering
materials, including the entire prospectus, prior to any investment
in any Alternative Investment. Investment Restrictions apply to
many of Goldman Sachs' Alternative Investments. Goldman Sachs Hedge
Fund Strategies LLC (HFS) is the Investment Manager to the Fund
referenced herein. HFS, a US registered investment adviser, is part
of Goldman Sachs Asset Management and is a wholly owned subsidiary
of The Goldman Sachs Group, Inc.
There may be conflicts of interest relating to the Fund and its
service providers, including Goldman Sachs and its affiliates, who
are engaged in businesses and have interests other than that of
managing, distributing and otherwise providing services to the
Fund. These activities and interests include potential multiple
advisory, transactional and financial and other interests in
securities and instruments that may be purchased or sold by the
Fund, or in other investment vehicles that may purchase or sell
such securities and instruments. These are considerations of which
investors in the Fund should be aware. Additional information
relating to these conflicts is set forth in the latest prospectus
for the Fund.
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by Goldman Sachs International, Peterborough Court, 133 Fleet
Street, London, EC4A 2BB, authorised and regulated by the Financial
Services Authority.
This report may also be communicated in the United Kingdom by
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and regulated by the Financial Services Authority (FSA).
Prospective investors should inform themselves as to any
applicable legal requirements and taxation and exchange control
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domicile which might be relevant.
Investors should consider that the returns that they will
receive will be a function of the share price of the Fund. While we
would expect that the Fund would trade substantially in line with
its underlying NAV, investors should consider that the traded
status of the Fund could lead it to have a significantly higher
volatility and correlation to equities.
Investors should consider that the liquidity of their investment
will be a function of the market demand for the shares of the Fund.
There is the potential for the Fund to trade at a discount to NAV
and lack of market demand may lead to their being a less liquid
market.
a2011 Goldman Sachs. All Rights Reserved. 45292.UCITS.TMPL.
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