SICAV_Annual_09_ENG 2/4/10 10:39 AM Page 1 checksum = 519418383 Goldman Sachs Funds Annual Report Audited Financial Statements 1109 SICAVAENG Goldman Sachs Funds Table of Contents Page Directors and Other Information 1 Investment Advisor’s Report 2 Independent Auditor’s Report 6 Schedules of Investments 8 GOLDMAN SACHS FUNDS—EQUITY PORTFOLIOS Goldman Sachs Funds—Regional Equity Portfolios Goldman Sachs Funds—Asia Portfolio 8 Goldman Sachs Funds—BRICsSM Portfolio 11 Goldman Sachs Funds—China Opportunity Portfolio 14 Goldman Sachs Funds—Europe Concentrated Equity Portfolio 15 Goldman Sachs Funds—Europe Portfolio 17 Goldman Sachs Funds—Global Emerging Markets Concentrated Equity Portfolio 19 Goldman Sachs Funds—Global Emerging Markets Equity Portfolio 21 Goldman Sachs Funds—Global Equity Portfolio 25 Goldman Sachs Funds—Global Equity Partners Portfolio 28 Goldman Sachs Funds—GMS Alpha+ World Equity Portfolio 30 Goldman Sachs Funds—GMS Alpha+ World Equity Portfolio II 33 Goldman Sachs Funds—India Equity Portfolio 35 Goldman Sachs Funds—Japan Portfolio 37 Goldman Sachs Funds—Japan Small Cap Portfolio 39 Goldman Sachs Funds—Sustain Portfolio 41 Goldman Sachs Funds—US Equity Portfolio 43 Goldman Sachs Funds—US Growth Equity Portfolio 45 Goldman Sachs Funds—US Value Equity Portfolio 47 Goldman Sachs Funds—Regional CORE Equity Portfolios Goldman Sachs Funds—Emerging Markets CORESM Equity Portfolio 49 Goldman Sachs Funds—Europe CORESM Equity Portfolio 52 Goldman Sachs Funds—Global CORESM Equity Portfolio 55 Goldman Sachs Funds—Global Small Cap CORESM Equity Portfolio 61 Goldman Sachs Funds—Japan CORESM Equity Portfolio 71 Goldman Sachs Funds—US CORESM Equity Portfolio 74 Goldman Sachs Funds—US Small Cap CORESM Equity Portfolio 77 GOLDMAN SACHS FUNDS—FIXED INCOME PORTFOLIOS Goldman Sachs Funds—Euro Aggregate Bond Portfolio (Hedged) 83 Goldman Sachs Funds—Euro Fixed Income Portfolio 87 Goldman Sachs Funds—Global Corporate Portfolio (Hedged) 92 Goldman Sachs Funds—Global Credit Portfolio (Hedged) 100 Goldman Sachs Funds—Global Emerging Markets Debt Local Portfolio 109 Goldman Sachs Funds—Global Emerging Markets Debt Portfolio 113 Goldman Sachs Funds—Global Fixed Income Portfolio 120 Goldman Sachs Funds—Global Fixed Income Portfolio (Hedged) 132 Goldman Sachs Funds—Global High Yield Portfolio 141 Goldman Sachs Funds—Specialised Fixed Income Portfolio 157 Goldman Sachs Funds—Sterling Broad Fixed Income Portfolio 161 Goldman Sachs Funds—Sterling Credit Portfolio 169 Goldman Sachs Funds—US Fixed Income Portfolio 179 Goldman Sachs Funds—US Mortgage Backed Securities Portfolio 192 Goldman Sachs Funds Table of Contents Page GOLDMAN SACHS FUNDS—SPECIALIST PORTFOLIOS Goldman Sachs Funds—Commodities Enhanced Index Portfolio 215 Goldman Sachs Funds—Euro Fixed Income Plus Portfolio 218 Goldman Sachs Funds—Europe CORESM Flex Portfolio 224 Goldman Sachs Funds—Global Currency Portfolio 227 Goldman Sachs Funds—Global Currency Plus Portfolio 231 Goldman Sachs Funds—Global Fixed Income Plus Portfolio (Hedged) 236 Goldman Sachs Funds—Global Libor Plus I Portfolio 252 Goldman Sachs Funds—Global Libor Plus II Portfolio 278 Goldman Sachs Funds—Japan CORESM Flex Portfolio 291 Goldman Sachs Funds—Sterling Broad Fixed Income Plus Portfolio 294 Goldman Sachs Funds—US CORESM Flex Portfolio 302 Goldman Sachs Funds—US Equity Absolute Return Portfolio 305 Statements of Assets and Liabilities 310 Statements of Operations 316 Statements of Changes in Shareholders’ Equity 323 Statistical Information 332 Notes to the Financial Statements 340 Appendix I 388 Appendix II 399 Additional Information 404 Goldman Sachs Funds SICAV Directors and Other Information GOLDMAN SACHS FUNDS SICAV Goldman Sachs (Asia) L.L.C.5 Paying and information Agents in Société d’Investissement à 68th Floor Cheung Kong Center, Italy Capital Variable 2 Queen’s Road Societe Generale Securities Services An undertaking for collective investment Central, Hong Kong S.p.A. (SGSS S.p.A.)—formerly organised under the laws of the Grand Legal Advisors to the Fund and the 2S Banca Duchy of Luxembourg Investment Advisor Maciachini Center—MAC 2 Board of Directors Arendt & Medernach Via Benigno Crespi, 19/A Frank Ennis (Irish)1 14, rue Erasme 20159 Milan, Italy John Perlowski (US)2 L-2010 Luxembourg AllFunds Bank S.A. Filiale di Milano Eugene Regan (Irish)1 Via Santa Margherita 7 1 Shareholder Services Agent David Shubotham (Irish) European Shareholder Services 20121 Milan, Italy Alan Shuch (US) Goldman Sachs International5 Banca Popolare Commercio e Industria Theodore Sotir (US/UK) Peterborough Court S.p.A. Alison Bott (UK)3 4 133 Fleet Street Via Moscova 33 Adam Broder (US) London, EC4A 2BB 20121 Milan, Italy Custodian, Domiciliary Agent, Registered Office Intesa Sanpaolo S.p.A.—formerly Banca Administrator, Listing Agent and c/o State Street Bank Luxembourg S.A. Intesa Luxembourg Paying Agent 49, avenue J-F. Kennedy Piazza San Carlo 156 State Street Bank Luxembourg S.A. L-1855 Luxembourg 10100 Torino, Italy 49, avenue J.F. Kennedy R.C. B41 751 L-1855 Luxembourg BNP Paribas Securities Services— Registrar and Transfer Agent Succursale di Milano Distributor 5 RBC Dexia Investor Services Bank S.A. Via Ansperto 5 Goldman Sachs International 14, Rue Porte de France 20121 Milan, Italy Peterborough Court L-4360 Esch-sur Alzette Paying Agent in Spain 133 Fleet Street Luxembourg London EC4A 2BB Bankinter S.A. Paying Agents: Gespayment Independent Auditor Seccion Oficio, no 28760 PricewaterhouseCoopers S.à r.l. Paying and information Agent in Austria Tres Cantos Réviseur d’entreprises Madrid, Spain 400, route d’Esch Raiffeisen Zentralbank O¨ sterreich L-1471 Luxembourg Aktiengesellschaft Paying Agent in Switzerland Am Stadpark 9 Clariden Leu AG Investment Advisor 1030 Vienna, Austria Bahnhofstrasse 32 Goldman Sachs Asset Management 8001 Zurich, Switzerland International5 Paying and information Agent in Peterborough Court Belgium Representative and Local Distributor 133 Fleet Street RBC Dexia Investor Services in Switzerland London, EC4A 2BB Place Rogier II Goldman Sachs Bank AG5 1210, Brussels, Belgium Mu¨nsterhof 4 Sub-Advisors: 8001 Zurich, Switzerland Goldman Sachs Asset Paying Agent in France Management, L.P.5 State Street Banque S.A. The Fund’s simplified Prospectus, 85 Broad Street 21 Rue Balzac Articles of Incorporation, Annual Report New York, 10004 75008 Paris, France and Semi-Annual Report are available New York, US Paying and information Agent in free of charge at the offices of the local 5 Germany Paying Agents and Swiss Goldman Sachs (Singapore) Pte. Representative. 50 Raffles Place State Street Bank GmbH #29-01 Shell Tower Brienner Strasse 59 For Swiss Investors, the list of all Singapore 048623 80333 Munich, Germany transactions carried out by the Paying Agent in Greece Investment Advisor during this financial Goldman Sachs Asset Management period shall be available free of charge Co., Ltd.5 Piraeus Bank S.A. 4 Amerikis Street at the offices of Goldman Sachs Bank Roppongi Hills Mori Tower AG in Zurich. 10-1 Roppongi 6-chome 10564 Athens, Greece Minato-Ku, Tokyo 106 6144, Japan For German Investors, the list of all Transactions carried out by the Goldman Sachs JBWere Asset Investment Advisors during this financial Management Pty Ltd Period shall be available free of charge Level 17, 101 Collins Street at the offices of the Paying and Melbourne VIC 3000, Australia Information Agent in Germany. 1 Independent directors. 2 John Perlowski resigned from the Board on 15 October 2009. 3 Alison Bott resigned from the Board on 22 December 2008. 4 Adam Broder was appointed to the Board on 18 November 2009. 5 Related party to Goldman Sachs Funds SICAV. 1 Goldman Sachs Funds Investment Advisor’s Report For the year ended 30 November 2009 Dear Shareholders: We are pleased to present the following report on the performance of the Goldman Sachs Funds, SICAV for the year ended 30 November 2009. Economic Conditions Improve Following a prolonged period of economic weakness, the US economy regained its footing and appeared to emerge from its recession toward the end of the fiscal year. After declining 2.7% in the third quarter of 2008, US gross domestic product (“GDP”) contracted 5.4% and 6.4% during the fourth quarter of 2008 and first quarter of 2009, respectively. GDP then fell a more modest 0.7% during the second quarter and the preliminary estimate for third quarter GDP was a 2.8% expansion. Economic conditions gradually improved outside of the US as well during the reporting period. The Eurozone economy grew 0.4% during the third quarter of 2009. This followed five consecutive quarters of negative GDP growth. Japan also emerged from its worst recession since World War II, as its economy expanded 0.7% and 0.3% during the second and third quarters of 2009, respectively. Equities Rally Sharply In sharp contrast to their poor performance in 2008, the global equity markets rallied sharply during the 12 months ended 30 November 2009. Optimism that massive government stimulus programs would stimulate economic growth and lead to improving corporate profits supported equity prices during the period. After reaching a 12-year low on 9 March 2009, US stocks (as measured by the return of the S&P 500 Index) surged higher and gained 25.39% during the 12-months reporting period. Stock prices outside the US also rebounded, with both developed and emerging countries outperforming their US counterparts. All told, during the 12-month reporting period, the MSCI EAFE Index gained 38.43% and MSCI EM (Emerging Markets) Index increased 85.68%.1 Strong Results for Certain Fixed Income Securities The global fixed income markets also experienced a reversal of fortune during the reporting period. In 2008, periods of extreme risk aversion led to increased demand for ultra-safe government securities. However, with the financial markets functioning better and economic conditions improving, risk aversion abated during the reporting period and investors were drawn to the compelling valuations and superior yields available from the spread sectors (non-government securities). In particular, high yield bonds and emerging market debt generated very strong returns during the fiscal year.