TIDMGSDO TIDMGSDE TIDMGSDU
RNS Number : 2546L
Goldman Sachs Dynamic Opportunities
28 July 2011
Goldman Sachs Dynamic Opportunities Limited
Performance Highlight
May 2011
Market Overview
Goldman Sachs Dynamic Opportunities Limited ("GSDO" or the
"Fund") generated negative performance of -0.48% (US Dollar, net of
fees) in May as the majority of managers contributed
negatively.
The majority of Equity Long/Short managers experienced negative
performance in May. The only manager with positive performance over
the month benefitted from long exposure in the telecom, media and
materials sectors whereas positions in the financials sector
detracted from performance. Underperforming managers generally
experienced losses in their long positions with the worst
performers primarily in the energy, industrials and consumer
sectors. Geographically, losses of global managers were primarily
driven by positions in Asia. While short positions generally
contributed positively, managers also had select long positions in
the media and technology sectors that contributed positively.
Event Driven managers collectively realized flat performance in
May. Performance for multi-strategy managers largely ranged from
negative to flat, with special situations equity investments
generally detracting the most. While the overall equity market
backdrop was weak, negative performance in May was largely driven
by sizeable losses in specific positions as selloffs in certain
names from negative idiosyncratic news were exacerbated by negative
economic data points released throughout the month. Managers with
significant credit exposure generated modestly positive
performance, as credit spreads were more resilient to negative risk
sentiment and as benchmark treasury yields continued to decrease.
Leveraged corporate credit performed relatively well in May,
although experiencing some softness in the second half of the month
as the negative macro backdrop persisted.
The Tactical Trading sector experienced negative performance
overall in May as the macro manager performance was mixed and the
systematic trading manager and the fundamental commodities manager
both contributed losses. Macro trading in currencies detracted as
broadly short U.S. dollar positioning suffered from a strong U.S.
dollar rally. Trading in commodities also led to losses following
sharp reversals in many commodities, most notably energies and
precious metals. Macro managers had low levels of risk in equities,
but lost on long positions. Fixed income performance was mixed in
May. The systematic trading manager generated losses in currencies,
commodities and equities, while long positions in fixed income
contributed positively. The fundamental commodities manager's
losses were primarily driven by long positions in agricultural
commodities. Gains from trading in energies and coffee were too
small to offset these losses.
The Fund's Relative Value manager generated positive performance
in May. Short positions drove positive performance with
contributions from a number of the portfolio's core short
positions. The largest contributors included short positions in a
Turkish oil and gas company, a South East Asian ports and
infrastructure operator and a Korean technology company. Detractors
came from the long book and were mainly the result of exposures to
Eastern Europe with detractions from long telecom exposures. Select
Middle Eastern financials and Latin American telecoms also
detracted during the month.
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) 2.1208 -0.48% 0.64% 1.64% 17.70% 3.43% 6.81% Aug-06
3 Month USD
LIBOR N/A 0.03% 0.05% 0.13% 13.00% 2.56% 0.62% Aug-06
Goldman Sachs
Dynamic
Opportunities
Limited -
(EUR) Net(1) 1.4314 2.67% -0.60% -5.08% -0.13% -0.03% 11.79% Aug-06
3 Month EUR
LIBOR N/A 0.10% 0.20% 0.43% 13.60% 2.67% 0.50% Aug-06
Goldman Sachs
Dynamic
Opportunities
Limited -
(GBP) Net(1) 1.1424 -0.40% 0.76% 1.76% 16.27% 3.17% 8.56% Aug-06
3 Month GBP
LIBOR N/A 0.07% 0.14% 0.32% 17.44% 3.38% 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 6.21% 6.56% 3.68% 1.69 0.25 -0.53
Since
Inception 0.87% 3.43% 6.81% 0.13 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-11 18.26%
-------- ----------- ------- -----------
Apr-08 17.03% May-11 17.70%
-------- ----------- ------- -----------
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) 3.43% 6.81%
MSCI World (Hgd
to USD) -0.82% 17.10%
Barclays Agg 6.53% 3.64%
----------------- --------------------- -------
Weights(4)
# of # of
Core Niche
Sectors % Managers Managers
------------------ ------- ---------- ----------
Equity Long
/ Short 32.40% 4 2
Event Driven 41.15% 4 6
Relative Value 0.21% 1 0
Tactical Trading 26.25% 3 2
------------------ ------- ---------- ----------
# of
Overall % Managers
----------------- ------- ----------
Core Allocation 66.49% 12
Niche Exposure 33.51% 10
----------------- ------- ----------
Attribution (Reflects USD Share Class)(5,6)
Contribution to Fund
Returns
-------------------------
Sector MTD QTD YTD
--------------------- -------- ------- ------
Equity Long / Short -0.19% 0.19% 0.20%
Event Driven 0.08% 0.62% 1.89%
Relative Value 0.00% 0.00% 0.00%
Tactical Trading -0.23% 0.38% 0.73%
--------------------- -------- ------- ------
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 32.40% -0.59% 0.58% 0.30% 38.90% 7.03% 11.17% Aug-06
Event
Driven 41.15% 0.20% 1.51% 4.35% 31.96% 5.91% 7.65% Aug-06
Relative
Value 0.21% 0.00% 0.00% 0.32% 4.86% 0.99% 11.47% Aug-06
Tactical
Trading 26.25% -0.86% 1.44% 2.86% 87.62% 13.90% 6.63% 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 66.49% -0.24% 0.99% 3.30% 31.26% 5.79% 7.73% Aug-06
Niche
Exposure 33.51% -0.52% 1.58% 1.84% 54.54% 9.42% 7.31% 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% 1.12% -0.48% 1.64%
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 Opportunity) Multi-Strategy Niche
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:
20
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 31/05/2011, calculated as of 30/06/2011, 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 31/05/2011, calculated as of
30/06/2011. Figures may not sum to 100% due to rounding.
(5) Performance is final and unaudited. The figures published
here are final as of 31/05/2011, calculated as of 30/06/2011, 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 31/05/2011, calculated as of 30/06/2011. 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
Investment.
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.
This document has been communicated outside of the United States
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
Goldman Sachs Asset Management International which is authorised
and regulated by the Financial Services Authority (FSA).
Prospective investors should inform themselves as to any
applicable legal requirements and taxation and exchange control
regulations in the countries of their citizenship, residence or
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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