Goldman Sachs Funds II SICAV Annual Report Audited Financial Statements R.C.S. Luxembourg B 133 806 1117 Goldman Sachs Funds II Table of Contents Page Directors and Other Information 1 Investment Adviser’s Report 2 Audit Report (ISA ) 4 Report of Independent Auditor (US GAAS) 7 Statement of Assets and Liabilities 9 Statement of Operations 10 Statement of Changes in Shareholders’ Equity 11 Statistical Information 12 Notes to the Financial Statements 14 Schedule of Investments 45 GOLDMAN SACHS FUNDS II—GLOBAL MANAGER STRATEGIES PORTFOLIOS Goldman Sachs Funds II—Multi-Manager Emerging Markets Equity Portfolio 45 Goldman Sachs Funds II—Multi-Manager Europe Equity Portfolio 49 Goldman Sachs Funds II—Multi-Manager Global Equity Portfolio 52 Goldman Sachs Funds II—Multi-Manager US Equity Portfolio 59 Goldman Sachs Funds II—Multi-Manager US Small Cap Equity Portfolio 62 GOLDMAN SACHS FUNDS II—SPECIALIST PORTFOLIOS Goldman Sachs Funds II—Global Event Driven Portfolio 65 Goldman Sachs Funds II—Global Multi-Manager Alternatives Portfolio 69 GOLDMAN SACHS FUNDS II—DEDICATED PORTFOLIOS Goldman Sachs Funds II—Balanced Allocation Portfolio 100 Goldman Sachs Funds II—Tactical Tilt Overlay Portfolio 105 Goldman Sachs Funds II—Strategic Factor Allocation Portfolio 114 APPENDICIES Appendix I—Advisory Fee s Rates, Expense Caps and Total Net Expense Ratios (Unaudited) 117 Appendix II—Portfolio and Share Class Launches, Closures and Mergers (Unaudited) 119 Appendix III—Shareholder Concentration (Unaudited) 121 Appendix IV—Calculation Method Used for Global Exposure (Unaudited) 122 Appendix V—Management Company Annual Report Disclosures (Unaudited) 124 Appendix VI—Securities Financing Transactions Regulation (“SFTR”) Disclosures (Unaudited) 126 Additional Information (Unaudited) 133 Goldman Sachs Funds II Directors and Other Information Goldman Sachs Asset Management GOLDMAN SACHS FUNDS II 4 Paying and Information Agent in Société d’Investissement à Capital (Singapore) Pte Ltd . Germany Variable 1 Raffles Link State Street Bank GmbH An undertaking for collective investment #07-01 South Lobby Brienner Strasse 59 organised under the laws of the Grand Singapore 039393 80333 Munich, Germany Duchy of Luxembourg (from 1 April 2017) Goldman Sachs Asset Management Paying Agent in Italy Board of Directors 4 Société Générale Securities Services S.p.A. 1 Australia Pty Ltd . Grainne Alexander (Irish) Maciachini Center MAC 2 1 Level 17, 101 Collins Street Frank Ennis (Irish) Via Benigno Crespi, 19/A 2,3 Melbourne VIC 3000, Australia Theodore Sotir (UK/US ) 20159 Milan, Italy Katherine Uniacke (US) 2 2 Goldman Sachs Asset Management Karl Wianecki (US) Co., Ltd .4 AllFunds Bank S.A. Roppongi Hills Mori Tower Milan Branch Management Company 10-1, Roppongi 6-chome Via Santa Margherita 7 Goldman Sachs Asset Management 4 Minato-Ku, Tokyo 106-6144, Japan 20121 Milan, Italy Global Services Limite d Peterborough Court Goldman Sachs Asset Management, L.P .4 RBC Dexia Investor Services Bank S.A. 133 Fleet Street 200 West Street Milan Branch London EC4A 2BB 10282 New York Cia Vittor Pisani, 26 United Kingdom United States of America 20154 Milan, Italy Auditor Goldman Sachs Hedge Fund 4 State Street Bank S.p.A. PricewaterhouseCoopers, Société Strategies LL C Via Ferrante Aporti, 10 coopérative 1 New York Plaza 20125 Milan, Italy 2, rue Gerhard Mercator 10004 New York B.P. 1443 United States of America BNP Paribas Securities Services – L-1014 Luxembourg 4 Succursale di Milano Grand Duchy of Luxembourg Goldman Sachs Internationa l Peterborough Court Via Ansperto 5 20121 Milan, Italy Depositary, Domiciliary Agent, 133 Fleet Street Administrator, Listing Agent and London EC4A 2BB United Kingdom Banca Sella Holdings S.p.A. Luxembourg Paying Agent Piazza Gaudenzio Sella 1 State Street Bank Luxembourg S.C.A. I-13900 Biella, Italy 49, avenue J.F. Kennedy Legal Advisers Arendt & Medernach S.A. L-1855 Luxembourg Banca Monte Dei Paschi Grand Duchy of Luxembourg 41A, avenue J.F. Kennedy L-2082 Luxembourg Via Sassetti 4 50123 Firenze, Italy Distributor Grand Duchy of Luxembourg Goldman Sachs Internationa l4 Peterborough Court Registered Office Paying Agent in Liechtenstein 133 Fleet Street c/o State Street Bank Luxembourg S.C.A. LGT Bank AG London EC4A 2BB 49, avenue J.F. Kennedy Herrengasse 12 United Kingdom L-1855 Luxembourg FL-9490 Vaduz R.C.S. Luxembourg B 133 806 Investment Adviser Grand Duchy of Luxembourg Paying Agent in Sweden Goldman Sachs Asset Management Global Transaction Services Internationa l4 Registrar and Transfer Agent SEB Merchant Banking Peterborough Court RBC Investor Services Bank S.A. Sergels Torg 2 133 Fleet Street 14, Porte de France SE-10640 Stockholm, Sweden London, EC4A 2BB L-4360 Esch-sur Alzette United Kingdom Grand Duchy of Luxembourg Paying Agent in Switzerland Goldman Sachs Bank A G4 5 Sub-Adviser s : Paying and Information Agent in Austria Münsterhof 4 Goldman Sachs (Asia) L.L.C. – Hong Kong Raiffeisen Bank International AG 8001 Zurich, Switzerland Branc h4 Am Stadtpark 9 68th Floor Cheung Kong Center, 1030 Vienna, Austria Representative in Switzerland 2 Queen’s Road First Independent Fund Services AG Central, Hong Kong Paying and Information Agent in Belgium Klausstrasse 33 (until 31 March 2017 ) RBC Investor Services Belgium S.A. Place Rogier II 8008 Zurich, Switzerland 4 Goldman Sachs (Singapore) Pte . 1210 Brussels, Belgium 1 Raffles Link The Fund’s Prospectus with its Supplements, #07-01 South Lobby Representative in Denmark Key Investor Information Documents, Articles Singapore 039393 StockRate Asset Management A/S of Incorporation, Annual Report, Semi- (until 31 March 2017 ) 18D, sdr Jernbanevej Annual Report and the list of all transactions 3400 Hillerod, Denmark carried out by the Investment Adviser during Goldman Sachs Asset Management (Hong the year are available free of charge at the 4 Kong) Ltd. Paying and Information Agent in offices of the local Paying and Information 68th Floor Cheung Kong Center, France Agents and the Swiss Representative. 2 Queen’s Road RBC Investor Services Bank France S.A. Central, Hong Kong 105, rue Réaumur (from 1 April 2017) 75002 Paris, France ________________________________________________________________________________________________________________ 1 Independent Directors. 2 Director of the Fund employed by Goldman Sachs Group, Inc. or its direct or indirect subsiadiry. 3 Theodore Sotir resigned from the Board of Directors as of 31 December 2017. 4 A related party to Goldman Sachs Funds II. 5 Refer to Note 6 for non-affiliated Sub-Advisers. 1 Goldman Sachs Funds II Investment Advi ser’s Report Dear Shareholders: Enclosed is the report for the year ended 30 November 2017. A. Market Review 1 The global economy improved during the 12 months ended 30 November 2017. Looking back, the U.S. Department of Commerce reported that fourth quarter 2016 U.S. Gross Domestic Product (“GDP”) growth was 1.8%. U.S. GDP growth was 1.2% and 3.1%, respectively, during the first and second quarters of 2017, and then increased to 3.2% for the third quarter of 2017. In its October 2017 World Economic Outlook Update the International Monetary Fund (“IMF”) said, “the pickup in growth projected in the April 2017 World Economic Outlook is strengthening. The global growth forecast for 2017 and 2018—3.6 percent and 3.7 percent, respectively—is 0.1 percentage points higher in both years than in the April 2017 and July 2017 forecasts. Notable pickups in investment, trade, and industrial production, coupled with strengthening business and consumer confidence, are supporting the recovery.” From a regional perspective, the IMF estimates 2017 growth in the Eurozone will be 2.1%, versus 1.8% in 2016. Japan's economy is expected to expand 1.5% in 2017, compared to 1.0% in 2016. Elsewhere, the IMF projects that overall growth in emerging market countries will increase to 4.6% in 2017, versus 4.3% in 2016. The global equity market generated outstanding results during the reporting period. The U.S. stock market rose during all 12 months of the year. This was driven by overall solid corporate profits, expectations for improving economic growth and robust investor demand. These positives more than offset monetary tightening by the U.S. Federal Reserve (“Fed”), political uncertainties and several geopolitical events. For the 12 months ended 30 November 2017, the S&P 500 Index gained 22.13% . International equities produced even stronger results, as were positively impacted by, amongst other things, signs of accelerating global growth, overall strong corporate profits and continued monetary policy accommodation. During the period, international developed equities, as measured by the MSCI EAFE Index (net), returned 27.27%. Meanwhile, emerging market equities, as measured by the MSCI Emerging Markets Index (net) gained 32.82% during the reporting period.* The global fixed income market generated positive results over the 12 months ended 30 November 2017. Both short-term and long-term U.S. Treasury yields moved higher over the period. The Fed raised interest rates three times during the reporting period and initiated a plan to start reducing its balance sheet. In contrast, the European Central Bank and the Bank of Japan maintained their highly accommodative monetary policies. Inflation remained tame despite a pickup in global growth. For the 12 months ended 30 November 2017, the Bloomberg Barclays US Aggregate Bond Index and Bloomberg Barclays Global Aggregate Bond Index (hedged to USD) returned 3.21% and 6.53% respectively. Investors were rewarded for taking on additional risk in the fixed income market during the reporting period. The U.S. high yield bond market, as measured by the Bloomberg Barclays U.S. Corporate High Yield Bond Index, gained 9.16%, whereas the emerging market debt asset class, as measured by the JPMorgan EMBI Global Diversified Index, returned 10.82 % over the 12 months ended 30 November 2017.* Past performance is not indicative of future results, which may vary. 2 Goldman Sachs Funds II Investment Advi ser’s Report (Continued) B.