Asset Management

Goldman Sachs Funds II SICAV Annual Report

Audited Financial Statements

R.C.S. Luxembourg B 133 806

1119 Goldman Sachs Funds II Table of Contents

Page

Directors and Other Information 1 Investment Adviser’s Report 3 Audit Report (in relation to International Standards on Auditing) 5 Report of Independent Auditors (in relation to US Generally Accepted Auditing Standards) 8 Statement of Assets and Liabilities 10 Statement of Operations 12 Statement of Changes in Shareholders’ Equity 14 Statistical Information 16 Notes to the Financial Statements 18 Schedule of Investments 41

GOLDMAN SACHS FUNDS II—GLOBAL MANAGER STRATEGIES PORTFOLIOS Goldman Sachs Funds II—Multi-Manager Emerging Markets Equity Portfolio 41 Goldman Sachs Funds II—Multi-Manager Europe Equity Portfolio 45 Goldman Sachs Funds II—Multi-Manager Global Equity Portfolio 47 Goldman Sachs Funds II—Multi-Manager US Equity Portfolio 51 Goldman Sachs Funds II—Multi-Manager US Small Cap Equity Portfolio 53

GOLDMAN SACHS FUNDS II—SPECIALIST PORTFOLIOS Goldman Sachs Funds II—Global Multi-Manager Alternatives Portfolio 58

GOLDMAN SACHS FUNDS II—DEDICATED PORTFOLIOS Goldman Sachs Funds II—Balanced Allocation Portfolio 83 Goldman Sachs Funds II—Strategic Factor Allocation Portfolio 87 Goldman Sachs Funds II—Tactical Tilt Overlay Portfolio 90

GOLDMAN SACHS FUNDS II—FIXED INCOME PORTFOLIOS Goldman Sachs Funds II—Income Multi-Sector Bond Portfolio I 97

GOLDMAN SACHS FUNDS II—SELECT PORTFOLIOS II Goldman Sachs Funds II—G Emerging Markets Debt Broad Portfolio 104

APPENDICIES Appendix I—Advisory Fees Rates, Expense Caps and Total Net Expense Ratios (Unaudited) 109 Appendix II—Portfolio and Share Class Launches, Closures and Mergers (Unaudited) 111 Appendix III—Shareholder Concentration (Unaudited) 112 Appendix IV—Calculation Method Used for Global Exposure (Unaudited) 113 Appendix V—Management Company Annual Report Disclosures (Unaudited) 115 Appendix VI—Securities Financing Transactions Regulation (“SFTR”) Disclosures (Unaudited) 117 Additional Information (Unaudited) 123 Goldman Sachs Funds II Directors and Other Information

GOLDMAN SACHS FUNDS II Investment Sub-Advisers11 5 Société d’Investissement à Capital Variable Goldman Sachs Asset Management, L.P. An undertaking for collective investment organised under the laws of 200 West Street the Grand Duchy of Luxembourg 10282 New York United States of America Board of Directors Ms. Grainne Alexander (IRE)1 Goldman Sachs Asset Management (Hong Kong) Ltd.5 Mr. Frank Ennis (IRE)1 68th Floor Cheung Kong Center Mr. Glenn Thorpe (UK/AUS)2 2 Queen’s Road Central Ms. Katherine Uniacke (US)2 Hong Kong 2,3 Mr. Karl Wianecki (UK/US) 5 Mr. Jonathan Beinner (US)4 Goldman Sachs Asset Management (Singapore) Pte. Ltd. 1RafflesLink Management Company #07-01 South Lobby Goldman Sachs Asset Management Global Services Limited5,6 Singapore 039393

Peterborough Court 5 133 Fleet Street Goldman Sachs Asset Management Co., Ltd. London, EC4A 2BB Roppongi Hills Mori Tower United Kingdom 10-1, Roppongi 6-chome Minato-Ku, Tokyo, 106 6144, Japan 5,7 Goldman Sachs Asset Management Fund Services Limited 5 47-49 St. Stephen’s Green Goldman Sachs Hedge Fund Strategies, LLC Dublin 2 1 New York Plaza Ireland 10004 New York United States of America

Auditor 5 PricewaterhouseCoopers, Société Coopérative Goldman Sachs International 2, rue Gerhard Mercator Plumtree Court B.P.1443 25 Shoe Lane L-1014 Luxembourg London, EC4A 4AU Grand Duchy of Luxembourg United Kingdom 5 Depositary, Domiciliary Agent, Administrator, Listing Agent GS Investment Strategies, LLC and Luxembourg Paying Agent 200 West Street State Street Bank Luxembourg S.C.A.8 10282 New York 49, avenue J.F.Kennedy United States of America L-1855 Luxembourg Grand Duchy of Luxembourg Legal Adviser Arendt & Medernach S.A. State Street Bank International GmbH, Luxembourg Branch8 41A, avenue J.F.Kennedy 49, avenue J.F.Kennedy L-2082 Luxembourg L-1855 Luxembourg Grand Duchy of Luxembourg Grand Duchy of Luxembourg Registered Office 8 Distributor c/o State Street Bank Luxembourg S.C.A. Goldman Sachs International5,9 49, avenue J.F.Kennedy Plumtree Court L-1855 Luxembourg 25 Shoe Lane R.C.S. Luxembourg B 32 771 London, EC4A 4AU Grand Duchy of Luxembourg United Kingdom c/o State Street Bank International GmbH, Luxembourg Branch8 Goldman Sachs Asset Management Fund Services Limited5,10 49, avenue J.F.Kennedy 47-49 St. Stephen’s Green L-1855 Luxembourg Dublin 2 R.C.S. Luxembourg B 148 186 Ireland Grand Duchy of Luxembourg

Investment Adviser Registrar and Transfer Agent Goldman Sachs Asset Management International5 RBC Investor Services Bank S.A. Plumtree Court 14, Porte de France 25 Shoe Lane L-4360 Esch-sur Alzette London, EC4A 4AU Grand Duchy of Luxembourg United Kingdom

1 Goldman Sachs Funds II Directors and Other Information

Paying Agents: Paying Agents in Italy (Continued) BNP Paribas Securities Services – Succursale di Milano Paying and Information Agent in Austria Via Ansperto 5 Raiffeisen Bank International AG 20121 Milan, Italy Am Stadtpark 9 1030 Vienna, Austria Banca Sella Holdings S.p.A. Piazza Gaudenzio Sella 1 Paying and Information Agent in Belgium RBC Investor Services Belgium S.A. I-13900 Biella, Italy Place Rogier II Banca Monte Dei Paschi Di Siena S.p.A. 1210 Brussels, Belgium Via Sassetti 4 Representative in Denmark 50123 Firenze, Italy StockRate Asset Management A/S 18D, sdr. Jernbanevej Paying Agent in Liechtenstein 3400 Hillerod, Denmark LGT Bank AG Herrengasse 12 Paying and Information Agent in France FL-9490 Vaduz RBC Investor Services Bank France S.A. 105, rue Réaumur Paying Agent in Sweden 75002 Paris, France Global Transaction Services SEB Merchant Banking Paying and Information Agent in Germany Sergels Torg 2 State Street Bank GmbH SE-10640 Stockholm, Sweden Brienner Strasse 59 80333 Munich, Germany Paying Agent in Switzerland Goldman Sachs Bank AG4 Paying Agents in Italy Société Générale Securities Services S.p.A. Münsterhof 4 Maciachini Center MAC 2 8001 Zurich, Switzerland Via Benigno Crespi 19/A 20159 Milan, Italy Representative in Switzerland First Independent Fund Services AG AllFunds Bank S.A. Milan Branch Klausstrasse 33 Via Santa Margherita 7 8008 Zurich, Switzerland 20121 Milan, Italy The Fund’s Prospectus with its Supplements, Key Investor Information RBC Dexia Investor Services Bank S.A. Milan Branch Document, Articles of Incorporation, Annual Report, Semi-Annual Cia Vittor Pisani 26 Report and the list of all transactions carried out by the Investment 20154 Milan, Italy Adviser during the year are available free of charge at the offices of State Street Bank S.p.A. the local Paying and Information Agents and the Swiss Representative. Via Ferrante Aporti 10 20125 Milan, Italy

1 Independent Directors. 2 Director of the Fund employed by Goldman Sachs Group, Inc. or its direct or indirect subsidiary. 3 Mr. Karl Wianecki resigned as a member of the Board of Directors as of 18 November 2019. 4 Mr. Jonathan Beinner was appointed as a member of the Board of Directors as of 9 March 2020. 5 Related party to Goldman Sachs Funds II. 6 The Fund terminated the appointment of Goldman Sachs Asset Management Global Services Limited as the Management Company of the Fund on 28 February 2019. 7 The Fund appointed Goldman Sachs Asset Management Fund Services Limited (“GSAMFSL”) as the new Management Company of the Fund on 28 February 2019. 8 State Street Bank Luxembourg S.C.A. completed an internal restructure as of 4 November 2019. Refer to Note 6 for further details. 9 The Fund terminated the appointment of Goldman Sachs International as the Distributor of the Fund on 28 February 2019. 10 The Fund appointed GSAMFSL as the new Distributor of the Fund on 28 February 2019. 11Refer to Note 6 for non-affiliated Investment Sub-Advisers.

2 Goldman Sachs Funds II Investment Adviser’s Report For the Year Ended 30 November 2019

Dear Shareholders:

Enclosed is the report for the year ended 30 November 2019.

A. Market Review1

The global economy continued to expand at a moderate pace during the year ended 30 November 2019. In its October 2019 World Economic Outlook Update, the International Monetary Fund (IMF) said, “After slowing sharply in the last three quarters of 2018, the pace of global economic activity remains weak. Momentum in manufacturing activity, in particular, has weakened substantially, to levels not seen since the global financial crisis. Rising trade and geopolitical tensions have increased uncertainty about the future of the global trading system and international cooperation more generally, taking a toll on business confidence, investment decisions, and global trade. A notable shift towards increased monetary policy accommodation has cushioned the impact of these tensions on financial market sentiment and activity, while a generally resilient service sector has supported employment growth. That said, the outlook remains precarious.” From a regional perspective, the IMF expects the U.S. economy to expand 2.4% in 2019, compared to 2.9% in the prior calendar year. Elsewhere, the IMF anticipates 2019 GDP growth in the Eurozone, the U.K. and Japan will be 1.2%, 1.2% and 0.9%, respectively. For comparison purposes, these economies expanded 1.9%, 1.4% and 0.8%, respectively, in 2018.

The global equity market generated strong results during the reporting period. After falling sharply in December 2018, the U.S. market moved higher during nine of the next eleven months. This turnaround was partially driven by a “dovish pivot” from the Federal Reserve Board (“Fed”), as it moved from raising to lowering interest rates. Despite several setbacks, often triggered by the ongoing trade conflict between the U.S. and China, as well as other periodic geopolitical events, these declines were generally short-lived. For the year ended 30 November 2019, the S&P 500 Index (gross) gained 16.11% and posted several new all-time record highs. International equities experienced periods of volatility, but also generated solid returns. During the period, international developed equities, as measured by the MSCI EAFE Index (net), returned 12.44%. Meanwhile, emerging market equities, as measured by the MSCI Emerging Markets Index (net) returned 7.25% during the reporting period. *

The global fixed income market generated impressive results during the reporting period. After four rate hikes in 2018, the Fed lowered rates at its meetings in July, September and October 2019. Against this backdrop, two-year U.S. Treasury yields fell from 2.80% to 1.61% during the year ended 30 November 2019. Meanwhile, ten-year U.S. Treasury yields fell from 3.01% to 1.78% over the same period. Elsewhere, the Bank of Japan and Bank of England maintained their accommodative monetary policies. Meanwhile, in September 2019, the European Central Bank cut its deposit rate from (0.4%) to a record low (0.5%) and restarted bond purchases of €20 billion a month in November 2019. For the year ended 30 November 2019, the Bloomberg Barclays U.S Aggregate Bond Index and Bloomberg Barclays Global Aggregate Bond Index (hedged to USD) returned 10.79% and 8.37%, respectively. Riskier fixed income securities also performed well. The U.S. high-yield bond market, as measured by the Bloomberg Barclays U.S. Corporate High Yield — 2% Issuer Cap Index, returned 9.68%, whereas the emerging market debt asset class, as measured by the JPMorgan EMBI Global Index, gained 13.95% during the year ended 30 November 2019. *

3 Goldman Sachs Funds II Investment Adviser’s Report For the Year Ended 30 November 2019

B. Performance Overview (as at 30 November 2019)2 Average Annualised Net Return

Since Launch 1-Year 3-Years 5-Years Inception Currency Date (%) (%) (%) (%)

Multi-Manager Emerging Markets Equity Portfolio (P Accumulation Share Class) USD 31-Jan-12 7.48 6.91 1.74 1.80 MSCI EM Index USD 31-Jan-12 7.28 9.01 3.12 2.75

Multi-Manager Europe Equity Portfolio (P Accumulation Share Class) EUR 18-Dec-09 15.17 6.43 5.19 7.15 MSCI Europe Index—EUR EUR 18-Dec-09 16.67 8.82 5.91 7.93

Multi-Manager Global Equity Portfolio (P Accumulation Share Class) USD 7-Mar-08 14.26 11.45 7.69 4.49 MSCI World Index—USD USD 7-Mar-08 14.53 12.35 7.74 6.30

Multi-Manager US Equity Portfolio (P Accumulation Share Class) USD 16-May-08 17.51 14.67 8.97 7.46 S&P 500 Index Net—USD USD 16-May-08 15.41 14.20 10.29 8.69

Multi-Manager US Small Cap Equity Portfolio (P Accumulation Share Class) USD 8-Dec-16 16.65 — — 7.48 Russell 2000 Index—USD USD 8-Dec-16 7.06 — — 6.48

Global Multi-Manager Alternatives Portfolio (Base Accumulation Share Class) USD 16-Dec-15 6.23 1.05 — 1.95 3 Months USD LIBOR USD 16-Dec-15 2.47 1.99 — 1.68

Balanced Allocation Portfolio (P Accumulation Share Class) USD 3-Dec-14 9.35 5.86 — 3.91 50% JPM GBI 1-10 US Index / 50% MSCI World Index (70% Hedged to USD) USD 3-Dec-14 11.39 7.71 — 5.51

Strategic Factor Allocation Portfolio (I Accumulation Share Class) USD 30-Sep-16 10.85 6.54 — 5.89 50% US Agg Total Return / 50% S&P 500 Net Total Return USD 30-Sep-16 13.56 9.27 — 8.51

Tactical Tilt Overlay Portfolio (I Accumulation Share Class) USD 30-Dec-11 1.67 1.22 1.33 4.01 3 Months USD LIBOR USD 30-Dec-11 2.47 1.99 1.39 0.99

Income Multi-Sector Bond Portfolio I (I (Dis) (Stable Monthly) Share Class) EUR 31-Jan-18 10.35 — — 4.06

G Emerging Markets Debt Broad Portfolio(I (Dis) (Quarterly) Share Class)3 EUR 27-Jun-19 — — — 2.09 3 Month EUR ICE LIBOR EUR 27-Jun-19 — — — (0.19)

Goldman Sachs Asset Management International December 2019 All index returns are shown with income re-invested and, in contrast to the Share Classes, without the deduction of any fees or expenses. Returns of the Share Classes are shown net of fees and expenses and after the reinvestment of dividends where applicable using month end NAVs. For Share Classes where performance is shown relative to the index, it is for comparative purposes only. Reference to these benchmarks does not imply that the Share Classes will achieve returns, volatility or other results similar to the benchmark.

* All returns in United States Dollar terms. 1 Any mention of an investment decision is intended only to illustrate our investment approach or strategy, and is not indicative of the performance of our strategy as a whole. Any such illustration is not necessarily representative of other investment decisions.

This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions. Views, opinions and any economic and market forecasts presented herein are current as at the date of this report and may be subject to change. This material should not be construed as research or investment advice.

Although certain information has been obtained from sources believed to be reliable, we do not guarantee its accuracy, completeness or fairness. We have relied upon and assumed without independent verification, the accuracy and completeness of all information available from public sources.

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

Please see Additional Information section on page 123. 2 Past performance does not guarantee future results, which may vary. Returns are net of expenses and inclusive of dividends, where applicable.

3 Cumulative Net Returns.

4 Audit report

To the Shareholders of Goldman Sachs Funds II

Our opinion

In our opinion, the accompanying financial statements give a true and fair view of the financial position of Goldman Sachs Funds II (the “Fund”) and of each of its sub-funds as at 30 November 2019, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.

What we have audited

The Fund’s financial statements comprise:

 the statement of assets and liabilities as at 30 November 2019;  the schedule of investments as at 30 November 2019;  the statement of operations for the year then ended;  the statement of changes in shareholders’ equity for the year then ended; and  the notes to the financial statements, which include a summary of significant accounting policies.

Basis for opinion

We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier” (CSSF). Our responsibilities under the Law of 23 July 2016 and ISAs as adopted for Luxembourg by the CSSF are further described in the “Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements” section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

We are independent of the Fund in accordance with the International Ethics Standards Board for Accountants’ Code of Ethics for Professional Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical requirements.

Other information

The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our audit report thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T : +352 494848 1, F : +352 494848 2900, www.pwc.lu

Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n°10028256) R.C.S. Luxembourg B 65 477 - TVA LU25482518 5 In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors of the Fund for the financial statements

The Board of Directors of the Fund is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the Fund’s and each of its sub-funds' ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or close any of its sub-funds or to cease operations, or has no realistic alternative but to do so.

Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements

The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fr