TIDMGSDO TIDMTTM

RNS Number : 9417U

Goldman Sachs Dynamic Opportunities

07 January 2013

Goldman Sachs Dynamic Opportunities Limited (USD Feeder)

Performance Highlight November 2012

Overview

Political risk took center stage in November, with a number of events across the world's largest economies impacting investor sentiment. Voters generally chose to maintain the status quo in the U.S. elections on November 6, but shortly thereafter market attention shifted toward the looming fiscal cliff. China witnessed a leadership transition, with Xi Jinping replacing Hu Jintao as the head of the Communist Party. Meanwhile, in Japan Prime Minister Noda called for elections in a move that some managers felt could drive a shift toward more aggressive policy, and the ongoing Greek debt negotiations continued to influence sentiment in Europe. While policy had often supported markets this year against a backdrop of weak data, in November political uncertainty served as a headwind for markets against a tentative improvement in data.

Equity markets sold off initially, but most indices rebounded to finish in positive territory on the month, with the MSCI World gaining 1.3%. U.S. markets generally lagged, as the S&P 500 Index rose 0.6%, while Japan outperformed as the Topix Index gained 5.3%. Fixed income markets rallied strongly to open the month, and yields finished lower despite partially retracing this move in the second half of November, with the U.S. 10-year yield declining 7 bps to 1.62% while the European 10-year yield fell 8 bps to 1.39%. Volatility was generally lower in currencies as the Dollar Index rose 0.3% on the month, with the notable exception of the Japanese yen, which sold off by 3.3% against the U.S. dollar. Performance of commodities was mixed, with gains in energy and metals leading the S&P GSCI to increase by 1.5% on the month.

Hedge funds generated positive performance in November, effectively navigating the choppy price action as gains were seen across all sectors. Markets traced a V-shaped path during the month, but most fundamental managers maintained consistent positioning and some funds were able to generate alpha through position-specific views. Trading-oriented managers also produced gains, with increased risk allocated to currencies as managers saw better trading opportunities. While managers generally have lower conviction in the near-term direction of risk assets due to concerns regarding the U.S. fiscal cliff, a number of funds have expressed excitement regarding more idiosyncratic opportunities across asset classes.

Event Driven managers generated modest gains in November, with lower volatility in credit markets translating to muted performance. The Equity Long/Short sector finished in positive territory, with most managers maintaining moderate exposure throughout the month and benefiting from strong stock selection as markets rallied into month-end. Tactical Trading strategies outperformed on the month, with strong performance from macro managers while most managed futures funds posted positive performance as well. Relative Value managers generated moderately positive performance on the month.

Sources: Bloomberg, Financial Times, Reuters, The New York Times, The Wall Street Journal.

Monthly & Cumulative Net Returns(1)

 
             Monthly     Cumulative               Monthly     Cumulative               Monthly     Cumulative 
 Date       Net Return    Net Return   Date      Net Return    Net Return   Date      Net Return    Net Return 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-06       0.90%         0.90%      Oct-08     -5.63%        -2.71%      Dec-10      1.77%        15.79% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Sep-06      -2.78%        -1.90%      Nov-08     -2.58%        -5.22%      Jan-11     -0.46%        15.26% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Oct-06       1.54%        -0.38%      Dec-08     -1.96%        -7.08%      Feb-11      1.42%        16.89% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Nov-06       2.27%         1.88%      Jan-09      1.53%        -5.66%      Mar-11      0.05%        16.95% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Dec-06       1.53%         3.44%      Feb-09      0.31%        -5.37%      Apr-11      1.12%        18.26% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jan-07       1.48%         4.97%      Mar-09      0.45%        -4.94%      May-11     -0.48%        17.70% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Feb-07      -0.05%         4.92%      Apr-09      1.51%        -3.51%      Jun-11     -1.36%        16.09% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Mar-07       1.82%         6.83%      May-09      3.45%        -0.18%      Jul-11      0.23%        16.36% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Apr-07       1.91%         8.87%      Jun-09      1.24%         1.05%      Aug-11     -3.22%        12.61% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 May-07       2.57%        11.67%      Jul-09      1.64%         2.71%      Sep-11     -2.82%         9.43% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jun-07       0.65%        12.40%      Aug-09      1.71%         4.47%      Oct-11      1.57%        11.15% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jul-07       0.64%        13.11%      Sep-09      1.91%         6.47%      Nov-11     -1.21%         9.81% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-07      -1.19%        11.77%      Oct-09      0.39%         6.88%      Dec-11     -0.66%         9.08% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Sep-07       1.58%        13.54%      Nov-09      1.00%         7.95%      Jan-12      1.63%        10.86% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Oct-07       3.28%        17.27%      Dec-09      1.46%         9.52%      Feb-12      1.11%        12.09% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Nov-07      -0.40%        16.79%      Jan-10      0.25%         9.80%      Mar-12      0.23%        12.34% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Dec-07       0.38%        17.24%      Feb-10      0.36%        10.20%      Apr-12     -0.07%        12.26% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jan-08      -1.26%        15.76%      Mar-10      1.75%        12.13%      May-12     -0.68%        11.50% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Feb-08       2.30%        18.42%      Apr-10      0.96%        13.21%      Jun-12     -0.85%        10.56% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Mar-08      -1.46%        16.69%      May-10     -2.44%        10.45%      Jul-12      0.40%        10.99% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Apr-08       0.29%        17.03%      Jun-10     -0.98%         9.37%      Aug-12      0.48%        11.53% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 May-08       0.71%        17.85%      Jul-10      0.79%        10.23%      Sep-12      0.67%        12.28% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jun-08      -1.62%        15.95%      Aug-10     -0.20%        10.02%      Oct-12      0.05%        12.34% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jul-08      -2.29%        13.29%      Sep-10      2.39%        12.65%      Nov-12      0.07%        12.41% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-08      -1.64%        11.43%      Oct-10      1.26%        14.06% 
--------  ------------  ------------  -------  ------------  ------------ 
 Sep-08      -7.49%         3.09%      Nov-10     -0.25%        13.78% 
--------  ------------  ------------  -------  ------------  ------------ 
 

Historical Sector Allocations(2)

 
             Equity     Event    Relative   Tactical                    Equity     Event    Relative   Tactical 
 Date      Long/Short   Driven     Value     Trading         Date     Long/Short   Driven     Value     Trading 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Aug-06      31.41%     33.12%    17.67%     17.79%          Nov-09     31.49%     45.65%    0.16%      22.69% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Sep-06      32.65%     34.46%    14.46%     18.43%          Dec-09     31.91%     45.58%    0.17%      22.34% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Oct-06      33.30%     34.20%    14.23%     18.27%          Jan-10     28.20%     48.38%    0.18%      23.25% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Nov-06      33.91%     34.08%    13.77%     18.23%          Feb-10     29.94%     50.23%    0.19%      19.64% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Dec-06      33.92%     34.36%    13.31%     18.40%          Mar-10     30.10%     50.38%    0.18%      19.33% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jan-07      32.95%     34.02%    14.66%     18.37%          Apr-10     30.26%     50.07%    0.18%      19.50% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Feb-07      32.38%     33.79%    16.21%     17.63%          May-10     30.37%     50.09%    0.19%      19.36% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Mar-07      32.59%     34.03%    15.95%     17.42%          Jun-10     30.36%     49.89%    0.19%      19.56% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Apr-07      32.67%     33.96%    15.78%     17.58%          Jul-10     23.00%     55.32%    0.21%      21.47% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 May-07      32.84%     33.87%    15.56%     17.73%          Aug-10     22.40%     55.06%    0.21%      22.33% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jun-07      32.44%     33.91%    15.56%     18.09%          Sep-10     22.86%     54.82%    0.22%      22.10% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jul-07      32.49%     34.08%    15.61%     17.82%          Oct-10     23.28%     49.32%    0.23%      27.17% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Aug-07      31.99%     34.02%    16.07%     17.92%          Nov-10     23.46%     49.19%    0.23%      27.11% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Sep-07      32.67%     34.13%    14.99%     18.21%          Dec-10     23.34%     49.37%    0.22%      27.07% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Oct-07      31.63%     34.43%    14.79%     19.15%          Jan-11     26.24%     47.59%    0.22%      25.96% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Nov-07      31.15%     34.17%    14.99%     19.70%          Feb-11     30.44%     44.85%    0.20%      24.51% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Dec-07      31.53%     34.10%    14.54%     19.83%          Mar-11     30.44%     44.90%    0.20%      24.46% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jan-08      31.98%     33.19%    13.87%     20.96%          Apr-11     32.47%     40.93%    0.21%      26.38% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Feb-08      32.40%     32.65%    13.35%     21.60%          May-11     32.40%     41.15%    0.21%      26.25% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Mar-08      31.53%     32.71%    13.46%     22.30%          Jun-11     29.15%     41.07%    3.53%      26.25% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Apr-08      31.91%     36.13%    9.89%      22.07%          Jul-11     29.88%     38.88%    3.63%      27.61% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 May-08      32.46%     36.47%    8.85%      22.22%          Aug-11     28.57%     38.87%    3.73%      28.83% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jun-08      32.03%     36.74%    7.90%      23.33%          Sep-11     28.39%     39.21%    3.87%      28.53% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jul-08      35.76%     43.87%    0.08%      20.29%          Oct-11     27.33%     41.38%    4.98%      26.31% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Aug-08      34.39%     45.85%    0.08%      19.68%          Nov-11     27.22%     41.27%    5.00%      26.51% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Sep-08      31.87%     44.27%    0.08%      23.79%          Dec-11     27.35%     40.66%    5.05%      26.94% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Oct-08      29.41%     44.42%    0.09%      26.08%          Jan-12     25.38%     49.72%    5.90%      18.99% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Nov-08      30.24%     45.11%    0.09%      24.56%          Feb-12     25.96%     49.21%    5.92%      18.91% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Dec-08      21.37%     50.55%    0.10%      27.98%          Mar-12     27.79%     52.74%    6.27%      13.20% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jan-09      23.73%     45.80%    0.11%      30.36%          Apr-12     7.57%      75.08%    7.36%      9.99% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Feb-09      23.58%     45.91%    0.12%      30.40%          May-12     7.38%      75.04%    7.45%      10.14% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Mar-09      23.95%     46.32%    0.12%      29.62%          Jun-12     7.84%      79.15%    7.75%      5.26% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Apr-09      27.31%     47.16%    0.13%      25.41%          Jul-12     4.30%      82.01%    7.21%      6.48% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 May-09      28.09%     46.75%    0.12%      25.04%          Aug-12     4.37%      81.96%    7.22%      6.45% 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jun-09      28.37%     46.93%    0.12%      24.58%          Sep-12     4.55%      87.74%    7.71%       N/A 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Jul-09      26.06%     50.41%    0.14%      23.39%          Oct-12     12.81%     71.91%    15.29%      N/A 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Aug-09      27.22%     51.00%    0.14%      21.64%          Nov-12     12.43%     72.56%    15.00%      N/A 
--------  -----------  -------  ---------  ---------        -------  -----------  -------  ---------  --------- 
 Sep-09      27.10%     51.42%    0.13%      21.36% 
--------  -----------  -------  ---------  --------- 
 
 

Performance & Characteristics(1)

 
                                                                                                -- MSCI 
                  ------ Cumulative            ----------------------                           World USD          --- Barclays 
                      (%) ------        Annualized (%) ----------------------     Max.             --                 Agg ---         Sharpe    Inception 
                                                                        Vol     Drawdown 
                 MTD    QTD     YTD     1Y      3Y     5Y     ITD(3)     ITD       (%)     Correlation   Beta   Correlation   Beta   Ratio(4)     Date 
--------------  -----  -----  ------  ------  -----  ------  -------  -------  ---------  ------------  -----  ------------  -----  ---------  ---------- 
 GSDO Limited                                                                                                                                      Aug 
  (USD Feeder)   0.07   0.12   3.06    2.38    1.36   -0.76    1.86     6.37     -21.53       0.69       0.27      0.01       0.02    -0.03         06 
 GSDO Limited                                                                                                                                      Aug 
  (GBP Feeder)   0.60   0.88   -1.42   -2.05   2.64   -1.77    0.95     8.14     -22.49       0.43       0.21      0.10       0.25    -0.23         06 
 MSCI World 
  Index                                                                                                                                            Aug 
  Hedged USD     1.24   0.68   11.18   11.67   4.83   -3.92   -0.72    16.42     -51.88       1.00       1.00      0.05       0.25    -0.17         06 
 Barclays 
  Aggregate                                                                                                                                        Aug 
  Bond Index     0.16   0.36   4.38    5.53    5.70   6.05     6.43     3.35     -3.82        0.05       0.01      1.00       1.00     1.31         06 
                                                                                                                                                   Aug 
 3 Month Libor   0.03   0.06   0.44    0.47    0.37   1.18     2.05     0.60      N/A          N/A       N/A        N/A       N/A      N/A          06 
--------------  -----  -----  ------  ------  -----  ------  -------  -------  ---------  ------------  -----  ------------  -----  ---------  ---------- 
 

Sector Level Returns - Equity Long/Short

Monthly & Cumulative Net Returns(5)

 
             Monthly     Cumulative               Monthly     Cumulative                Monthly     Cumulative 
 Date       Net Return    Net Return   Date      Net Return    Net Return   Date       Net Return    Net Return 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Aug-06       1.19%         1.19%      Oct-08     -7.71%        -6.69%      Dec-10       1.20%        38.49% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Sep-06       1.03%         2.23%      Nov-08     -2.31%        -8.84%      Jan-11      -2.36%        35.21% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Oct-06       3.72%         6.03%      Dec-08      0.28%        -8.58%      Feb-11       2.01%        37.92% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Nov-06       4.20%        10.48%      Jan-09      2.98%        -5.86%      Mar-11       0.12%        38.09% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Dec-06       1.35%        11.98%      Feb-09     -0.17%        -6.02%      Apr-11       1.18%        39.72% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Jan-07       0.42%        12.45%      Mar-09      1.25%        -4.85%      May-11      -0.59%        38.90% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Feb-07       0.14%        12.61%      Apr-09      6.38%         1.23%      Jun-11      -1.38%        36.98% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Mar-07       2.22%        15.10%      May-09      7.17%         8.49%      Jul-11      -0.66%        36.08% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Apr-07       2.54%        18.02%      Jun-09      2.60%        11.32%      Aug-11      -7.55%        25.80% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 May-07       3.54%        22.20%      Jul-09      3.13%        14.80%      Sep-11      -5.42%        18.98% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Jun-07      -0.37%        21.75%      Aug-09      3.65%        19.00%      Oct-11       5.67%        25.72% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Jul-07       0.89%        22.83%      Sep-09      2.25%        21.67%      Nov-11      -1.58%        23.74% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Aug-07      -2.89%        19.28%      Oct-09     -1.28%        20.11%      Dec-11      -0.37%        23.28% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Sep-07       3.20%        23.10%      Nov-09      2.20%        22.75%      Jan-12       4.15%        28.39% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Oct-07       4.95%        29.20%      Dec-09      3.20%        26.67%      Feb-12       3.64%        33.06% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Nov-07      -1.96%        26.67%      Jan-10     -0.01%        26.66%      Mar-12       0.30%        33.46% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Dec-07       1.84%        29.00%      Feb-10      1.58%        28.66%      Apr-12       0.73%        34.44% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Jan-08      -5.91%        21.38%      Mar-10      2.78%        32.24%      May-12      -3.84%        29.27% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Feb-08       4.04%        26.28%      Apr-10      1.87%        34.71%      Jun-12       0.49%        29.91% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Mar-08      -4.19%        21.00%      May-10     -2.44%        31.41%      Jul-12      -2.31%        26.90% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Apr-08       0.77%        21.93%      Jun-10     -1.15%        29.91%      Aug-12       1.95%        29.38% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 May-08       1.48%        23.74%      Jul-10      1.24%        31.51%      Sept-12     -1.66%        27.23% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Jun-08      -4.06%        18.72%      Aug-10     -2.86%        27.74%      Oct- 12     -0.70%        26.34% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Jul-08      -2.49%        15.76%      Sep-10      5.23%        34.42%      Nov- 12     -1.80%        24.07% 
--------  ------------  ------------  -------  ------------  ------------  --------  ------------  ------------ 
 Aug-08      -2.31%        13.09%      Oct-10      1.18%        36.01% 
--------  ------------  ------------  -------  ------------  ------------ 
 Sep-08      -10.59%        1.11%      Nov-10      0.61%        36.84% 
--------  ------------  ------------  -------  ------------  ------------ 
 

Performance & Characteristics(5)

 
                                                                                                           -- MSCI 
                             ------ Cumulative             --------------------                            World USD          --- Barclays 
                                 (%) ------         Annualized (%) --------------------      Max.             --                 Agg ---         Sharpe    Inception   End 
                Weight(6)                                                          Vol     Drawdown 
                   (%)       MTD     QTD    YTD     1Y     3Y     5Y     ITD(3)     ITD       (%)     Correlation   Beta   Correlation   Beta   Ratio(7)     Date      Date 
-------------  ----------  ------  ------  -----  -----  -----  ------  -------  -------  ---------  ------------  -----  ------------  -----  ---------  ----------  ----- 
                                                                                                                                                              Aug      Nov 
 Performance      3.06      -1.80   -2.48   0.65   0.27   0.36   -0.41    3.46    11.25     -29.45       0.77       0.52      0.02       0.05     0.13         06       12 
-------------  ----------  ------  ------  -----  -----  -----  ------  -------  -------  ---------  ------------  -----  ------------  -----  ---------  ----------  ----- 
 

Sector Level Returns - Event Driven

Monthly & Cumulative Net Returns(5)

 
             Monthly     Cumulative               Monthly     Cumulative               Monthly     Cumulative 
 Date       Net Return    Net Return   Date      Net Return    Net Return   Date      Net Return    Net Return 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-06       0.87%         0.87%      Oct-08     -7.76%        -1.29%      Dec-10      2.32%        26.46% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Sep-06       1.12%         2.00%      Nov-08     -3.48%        -4.72%      Jan-11      0.65%        27.29% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Oct-06       0.93%         2.95%      Dec-08     -2.65%        -7.25%      Feb-11      1.61%        29.34% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Nov-06       1.90%         4.91%      Jan-09      0.97%        -6.34%      Mar-11      0.50%        29.99% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Dec-06       2.15%         7.17%      Feb-09      0.74%        -5.65%      Apr-11      1.31%        31.69% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jan-07       2.36%         9.70%      Mar-09      0.58%        -5.10%      May-11      0.20%        31.96% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Feb-07       1.20%        11.01%      Apr-09      0.64%        -4.50%      Jun-11     -1.32%        30.21% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Mar-07       2.28%        13.54%      May-09      3.31%        -1.34%      Jul-11     -0.04%        30.16% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Apr-07       2.07%        15.90%      Jun-09      2.03%         0.66%      Aug-11     -3.16%        26.04% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 May-07       2.74%        19.08%      Jul-09      3.00%         3.68%      Sep-11     -3.49%        21.65% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jun-07       1.00%        20.27%      Aug-09      2.20%         5.97%      Oct-11      1.27%        23.19% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jul-07       1.24%        21.76%      Sep-09      3.55%         9.73%      Nov-11     -1.37%        21.50% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-07      -1.55%        19.87%      Oct-09      2.21%        12.16%      Dec-11     -2.34%        18.65% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Sep-07       1.36%        21.51%      Nov-09      1.53%        13.87%      Jan-12      1.98%        21.00% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Oct-07       2.51%        24.56%      Dec-09      2.04%        16.19%      Feb-12      0.46%        21.55% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Nov-07      -1.17%        23.10%      Jan-10      1.35%        17.76%      Mar-12      0.55%        22.22% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Dec-07       0.39%        23.58%      Feb-10      0.32%        18.13%      Apr-12      0.55%        22.89% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jan-08      -1.99%        21.12%      Mar-10      2.52%        21.11%      May-12     -1.32%        21.26% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Feb-08       1.01%        22.34%      Apr-10      0.71%        21.97%      Jun-12      0.31%        21.64% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Mar-08      -1.35%        20.69%      May-10     -2.43%        19.00%      Jul-12      1.01%        22.87% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Apr-08       0.91%        21.79%      Jun-10     -1.41%        17.33%      Aug-12      0.90%        23.97% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 May-08       0.69%        22.63%      Jul-10      1.58%        19.18%      Sep-12      1.26%        25.53% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jun-08      -2.05%        20.12%      Aug-10     -0.33%        18.79%      Oct-12      1.32%        27.18% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jul-08      -2.56%        17.05%      Sep-10      2.70%        21.99%      Nov-12      2.31%        30.11% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-08      -1.88%        14.85%      Oct-10      1.51%        23.84% 
--------  ------------  ------------  -------  ------------  ------------ 
 Sep-08      -6.82%         7.02%      Nov-10     -0.20%        23.59% 
--------  ------------  ------------  -------  ------------  ------------ 
 

Performance & Characteristics(5)

 
                                                                                                        -- MSCI 
                             ------ Cumulative           --------------------                           World USD          --- Barclays 
                                 (%) ------       Annualized (%) --------------------     Max.             --                 Agg ---          Sharpe    Inception   End 
                Weight(6)                                                        Vol    Drawdown 
                   (%)      MTD    QTD     YTD     1Y     3Y     5Y    ITD(3)    ITD       (%)     Correlation   Beta   Correlation   Beta    Ratio(7)     Date      Date 
-------------  ----------  -----  -----  ------  -----  -----  -----  -------  ------  ---------  ------------  -----  ------------  ------  ---------  ----------  ----- 
                                                                                                                                                            Aug      Nov 
 Performance      17.89     2.31   3.66   9.66    7.09   4.54   1.11    4.24    7.29     -25.54       0.72       0.32      -0.00      -0.01     0.30         06       12 
-------------  ----------  -----  -----  ------  -----  -----  -----  -------  ------  ---------  ------------  -----  ------------  ------  ---------  ----------  ----- 
 

Sector Level Returns - Relative Value

Monthly & Cumulative Net Returns(5)

 
             Monthly     Cumulative               Monthly     Cumulative               Monthly     Cumulative 
 Date       Net Return    Net Return   Date      Net Return    Net Return   Date      Net Return    Net Return 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-06       0.92%         0.92%      Oct-08      0.50%        -4.94%      Dec-10      0.00%         4.53% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Sep-06      -20.48%       -19.75%     Nov-08     -2.60%        -7.41%      Jan-11      0.00%         4.53% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Oct-06       0.10%        -19.67%     Dec-08     -1.50%        -8.80%      Feb-11      0.00%         4.53% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Nov-06       1.30%        -18.63%     Jan-09     -0.36%        -9.13%      Mar-11      0.32%         4.86% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Dec-06       2.29%        -16.77%     Feb-09      3.25%        -6.18%      Apr-11      0.00%         4.86% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jan-07       2.02%        -15.08%     Mar-09      0.00%        -6.18%      May-11      0.00%         4.86% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Feb-07       2.14%        -13.26%     Apr-09     -0.03%        -6.21%      Jun-11     -0.15%         4.70% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Mar-07       1.96%        -11.56%     May-09      0.20%        -6.02%      Jul-11     -0.20%         4.49% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Apr-07       1.19%        -10.51%     Jun-09      2.00%        -4.14%      Aug-11     -0.62%         3.85% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 May-07       1.55%        -9.12%      Jul-09     -0.05%        -4.19%      Sep-11     -1.36%         2.43% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jun-07       0.93%        -8.28%      Aug-09      0.00%        -4.19%      Oct-11     -1.23%         1.18% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jul-07       1.64%        -6.77%      Sep-09     -2.00%        -6.11%      Nov-11     -0.85%         0.31% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-07       1.56%        -5.32%      Oct-09     -1.64%        -7.65%      Dec-11      0.17%         0.48% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Sep-07      -1.57%        -6.80%      Nov-09     -1.25%        -8.80%      Jan-12      1.82%         2.31% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Oct-07       4.14%        -2.94%      Dec-09      4.75%        -4.47%      Feb-12      1.81%         4.16% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Nov-07       0.97%        -2.00%      Jan-10      0.50%        -3.99%      Mar-12     -0.86%         3.26% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Dec-07      -2.46%        -4.41%      Feb-10      0.29%        -3.71%      Apr-12     -0.18%         3.08% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jan-08       1.58%        -2.90%      Mar-10      0.00%        -3.71%      May-12     -0.19%         2.89% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Feb-08      -1.16%        -4.03%      Apr-10      0.00%        -3.71%      Jun-12     -1.62%         1.22% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Mar-08      -0.72%        -4.72%      May-10     -0.22%        -3.92%      Jul-12     -0.02%         1.20% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Apr-08      -1.23%        -5.89%      Jun-10      0.00%        -3.92%      Aug-12      0.56%         1.77% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 May-08       1.22%        -4.74%      Jul-10      0.00%        -3.92%      Sep-12      0.74%         2.53% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jun-08       0.00%        -4.74%      Aug-10      0.00%        -3.92%      Oct-12      0.63%         3.18% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jul-08       0.00%        -4.74%      Sep-10      9.29%         5.01%      Nov-12     -0.72%         2.43% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-08       0.00%        -4.74%      Oct-10      0.00%         5.01% 
--------  ------------  ------------  -------  ------------  ------------ 
 Sep-08      -0.70%        -5.42%      Nov-10     -0.45%         4.53% 
--------  ------------  ------------  -------  ------------  ------------ 
 

Performance & Characteristics(5)

 
                                                                                                          -- MSCI 
                             ------ Cumulative             --------------------                           World USD          --- Barclays 
                                 (%) ------         Annualized (%) --------------------     Max.             --                 Agg ---          Sharpe    Inception   End 
                Weight(6)                                                         Vol     Drawdown 
                   (%)       MTD     QTD    YTD     1Y     3Y     5Y    ITD(3)     ITD       (%)     Correlation   Beta   Correlation   Beta    Ratio(7)     Date      Date 
-------------  ----------  ------  ------  -----  -----  -----  -----  -------  -------  ---------  ------------  -----  ------------  ------  ---------  ----------  ----- 
                                                                                                                                                              Aug      Nov 
 Performance      3.70      -0.72   -0.09   1.94   2.11   3.95   0.89    0.38    10.13     -20.48       0.04       0.03      -0.15      -0.47    -0.16         06       12 
-------------  ----------  ------  ------  -----  -----  -----  -----  -------  -------  ---------  ------------  -----  ------------  ------  ---------  ----------  ----- 
 

Sector Level Returns - Tactical Trading

Monthly & Cumulative Net Returns(5)

 
             Monthly     Cumulative               Monthly     Cumulative               Monthly     Cumulative 
 Date       Net Return    Net Return   Date      Net Return    Net Return   Date      Net Return    Net Return 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-06       1.60%         1.60%      Oct-08      0.79%        49.76%      Dec-10      1.58%        82.40% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Sep-06       0.68%         2.29%      Nov-08      2.09%        52.89%      Jan-11      0.11%        82.60% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Oct-06       0.79%         3.10%      Dec-08     -1.04%        51.29%      Feb-11      1.40%        85.16% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Nov-06       2.15%         5.31%      Jan-09      2.07%        54.42%      Mar-11     -0.11%        84.96% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Dec-06       2.26%         7.69%      Feb-09      0.65%        55.43%      Apr-11      2.32%        89.25% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jan-07       3.24%        11.18%      Mar-09      0.27%        55.84%      May-11     -0.86%        87.62% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Feb-07      -2.26%         8.67%      Apr-09      0.28%        56.28%      Jun-11     -1.45%        84.90% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Mar-07       0.36%         9.06%      May-09      2.68%        60.46%      Jul-11      1.93%        88.47% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Apr-07       3.24%        12.59%      Jun-09     -0.28%        60.02%      Aug-11      0.96%        90.29% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 May-07       3.89%        16.97%      Jul-09      2.01%        63.24%      Sep-11     -0.08%        90.14% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jun-07       2.87%        20.33%      Aug-09      1.70%        66.01%      Oct-11     -0.86%        88.51% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jul-07      -0.72%        19.47%      Sep-09      1.37%        68.28%      Nov-11     -0.45%        87.66% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-07      -0.84%        18.46%      Oct-09      0.33%        68.83%      Dec-11      0.76%        89.08% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Sep-07       2.70%        21.66%      Nov-09      0.10%        69.01%      Jan-12      0.96%        90.89% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Oct-07       5.23%        28.02%      Dec-09      0.23%        69.40%      Feb-12      0.92%        92.66% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Nov-07       2.41%        31.11%      Jan-10     -1.05%        67.62%      Mar-12      0.29%        93.22% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Dec-07       1.27%        32.77%      Feb-10      0.33%        68.18%      Apr-12     -1.46%        90.40% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jan-08       6.46%        41.35%      Mar-10      0.60%        69.19%      May-12      0.12%        90.64% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Feb-08       5.76%        49.50%      Apr-10      2.20%        72.91%      Jun-12     -1.80%        87.21% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Mar-08       1.69%        52.02%      May-10     -3.48%        66.89%      Jul-12      1.38%        89.80% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Apr-08       0.15%        52.25%      Jun-10     -0.08%        66.76%      Aug-12     -0.22%        89.38% 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 May-08       0.46%        52.96%      Jul-10     -0.16%        66.49%      Sep-12       N/A           N/A 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jun-08       2.07%        56.13%      Aug-10      3.74%        72.71%      Oct-12       N/A           N/A 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Jul-08      -0.42%        55.47%      Sep-10      2.10%        76.33%      Nov-12       N/A           N/A 
--------  ------------  ------------  -------  ------------  ------------  -------  ------------  ------------ 
 Aug-08      -1.44%        53.23%      Oct-10      2.21%        80.23% 
--------  ------------  ------------  -------  ------------  ------------ 
 Sep-08      -3.03%        48.58%      Nov-10     -0.38%        79.55% 
--------  ------------  ------------  -------  ------------  ------------ 
 

Performance & Characteristics(5)

 
                                                         --------------------                          -- MSCI 
                              ------ Cumulative             Annualized (%)                             World USD          --- Barclays 
                                  (%) ------             --------------------            Max.             --                 Agg ---         Sharpe    Inception   End 
  Weight(6)                                                                    Vol     Drawdown 
      (%)      MTD           QTD            YTD    1Y    3Y    5Y    ITD(3)     ITD       (%)     Correlation   Beta   Correlation   Beta   Ratio(7)     Date      Date 
 -----------  -----  -------------------  ------  ----  ----  ----  -------  -------  ---------  ------------  -----  ------------  -----  ---------  ----------  ----- 
                                                                                                                                                          Aug      Aug 
 Performance       N/A       N/A    N/A    0.16    N/A   N/A   N/A   11.07     6.31     -4.83        0.07       0.03      0.05       0.09     1.42         06       12 
-------------  -----------  -----  -----  ------  ----  ----  ----  -------  -------  ---------  ------------  -----  ------------  -----  ---------  ----------  ----- 
 

Manager Level Performance(8) (%)

 
                                                   ------------                --------------------------- 
                                              Cumulative ------------     Annualized ---------------------------    Inception   End 
                                                                                                            Vol 
 Manager       Classification    Weight(6)    MTD     QTD      YTD        1Y       3Y      5Y     ITD(3)     ITD      Date      Date 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Equity 
 Long/Short 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 TPG-Axon                                                                                                              Jan      Nov 
  Capital      Global              3.06      -1.80   -2.48    -1.76     -1.87     0.81     N/A    -5.28    14.51        08       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Jan      Mar 
 AKO           Europe               N/A       N/A     N/A     11.94      N/A      N/A      N/A     7.40    13.92        08       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Brookside                                                                                                             Jan      Mar 
  Capital      Global               N/A       N/A     N/A      7.77      N/A      N/A      N/A    -7.55    11.84        11       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Aug      Nov 
 Overall                           3.06      -1.80   -2.48     0.65      0.27     0.36    -0.41    3.46    11.25        06       12 
------------------------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Event 
 Driven 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Aug      Nov 
 Eton Park     Multi-Strategy      5.69      -1.77   -1.09     4.29      2.39     0.93    0.78     7.01     7.25        06       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Spinnaker                                                                                                             Jul      Nov 
  GO           Multi-Strategy      5.16      1.60    2.90     11.42     10.88     N/A      N/A    -0.96    11.13        11       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Silver 
  Point        Credit Opps                                                                                             Aug      Nov 
  Capital       - Dist             3.66      13.22   14.75    25.85     27.33    18.37    9.22     8.93    11.00        06       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Harbinger 
  Special      Credit Opps                                                                                             Jul      Nov 
  Situations    - Dist             2.53      -0.11   2.72     -17.93    -39.81   -24.41    N/A    -31.32   32.44        08       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Feb      Nov 
 Spinnaker     Multi-Strategy      0.81      0.00    1.24     -27.70    -27.75    N/A      N/A    -16.69   18.58        11       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Feb      Nov 
 Spinnaker     Multi-Strategy      0.04      -0.06   1.22     -27.43    -27.47    N/A      N/A    -16.30   18.58        11       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Perry                                                                                                                 Jan      Sep 
  Partners     Multi-Strategy       N/A       N/A     N/A     10.49      N/A      N/A      N/A     1.27     7.72        11       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Aug      Sep 
 Tisbury       Multi-Strategy       N/A       N/A     N/A     -56.49     N/A      N/A      N/A    -27.22   22.96        06       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Anchorage 
  Capital      Credit Opps                                                                                             Apr      Jun 
  Partners      - Dist              N/A       N/A     N/A      7.41      N/A      N/A      N/A     6.17     8.40        08       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Aug      Nov 
 Overall                           17.89     2.31    3.66      9.66      7.09     4.54    1.11     4.24     7.29        06       12 
------------------------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Relative 
 Value 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Moon          Equity Market                                                                                           Jul      Nov 
  Capital       Neutral            3.27      -0.82   -0.10     1.88      2.06     N/A      N/A    -0.05     3.48        11       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Aug      Nov 
 Amaranth      Multi-Strategy      0.42      0.00    0.00      4.71      4.71    -8.59    -6.04   -21.46   31.92        06       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Aug      Nov 
 Overall                           3.70      -0.72   -0.09     1.94      2.11     3.95    0.89     0.38    10.13        06       12 
------------------------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Tactical 
 Trading 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Moore                                                                                                                 Apr      Aug 
  Capital      Macro                N/A       N/A     N/A      1.54      N/A      N/A      N/A     4.41     9.54        08       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 Brevan 
  Howard 
  Fund                                                                                                                 Aug      Mar 
  (Class B)    Macro                N/A       N/A     N/A      0.69      N/A      N/A      N/A     6.16     4.63        09       12 
------------  ----------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
                                                                                                                       Aug      Aug 
 Overall                            N/A       N/A     N/A      0.16      N/A      N/A      N/A    11.07     6.31        06       12 
------------------------------  ----------  ------  ------  ---------  -------  -------  ------  -------  -------  ----------  ----- 
 

Endnotes

For Existing Investors Only. Past performance does not guarantee future results, which may vary. Please refer to the Disclosures page for important information.

Sector returns are net of manager management and incentive fees, but do not reflect the fees paid to GS Hedge Fund Strategies LLC.

This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions. It also refers to specific securities which pertains to past performance or is the basis for previously made discretionary investment decisions. It should not be construed as research or investment advice, or recommendation to buy or sell investments in the strategy or any other investments mentioned in this report or to follow any investment strategy. Please see additional disclosures at the end of this report.

(1) This is the performance for Goldman Sachs Dynamic Opportunities Limited (USD Feeder), which includes the performance of the Fund since its inception. Not all investors may be holders of this Class and this Class currently may not be available for purchase. Please refer to the offering documents of the Fund for a discussion of the differences among Classes that might impact performance. Returns are presented in USD. Performance is final and unaudited. The figures published here are final as of November 2012.

(2) Based on invested assets. The investment manager may change the allocations over time. The allocations noted should not be deemed representative of allocations in the future. All the allocations were done using the portfolio's valuations at month-end.

(3) Returns less than 12 months are cumulative.

(4) The following risk free rates were used for this calculation: Fund - 3 Month Libor (USD), GSDO Limited (GBP Feeder) - 3 Month Libor (GBP), MSCI World Index Hedged USD- 3 Month Libor (USD), Barclays Aggregate Bond Index - 3 Month Libor (USD).

(5) This is the performance for the Fund classification of Goldman Sachs Dynamic Opportunities Limited (USD Feeder). Returns are presented in USD. Performance is final and unaudited. The figures published here are final as of November 2012.

(6) Based on the end equity value of the Fund. Allocations as of November 2012. The investment manager may change the allocations over time. The allocations noted should not be deemed representative of allocations in the future. All the allocations were done using the portfolio's valuations at month-end. Figures may not sum to 100%due to rounding.

(7) The 3 Month Libor (USD) rate is used for this calculation.

(8) The returns presented are net of manager management and incentive fees, but do not reflect the fees paid to GS Hedge Fund Strategies LLC.

Disclosures

Investors are reminded of their agreement in the Subscription Agreement pertaining to the Fund that, without the prior written consent of the Investment Manager, investors shall not disclose any information relating to the Fund to any person who is not an officer, employee, accountant, attorney or tax advisor involved in their investments except as otherwise provided in the Subscription Agreement. Each Investor acknowledges and agrees that the third party managers and their funds described herein, and the partners, employees, officers, and affiliates thereof, have made no representation or warranty with respect to these materials, and such parties do not assume any warranty of liability in connection with the distribution of these materials and shall not be held liable to any person for any losses resulting from the furnishing of these materials. Although certain information has been obtained from sources believed to be reliable, the Investment Manager does not guarantee its accuracy, completeness or fairness, and has relied upon and assumed without independent verification, the accuracy and completeness of all information available from public sources.

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

Although the Investment Manager is registered with the CFTC under the Commodity Exchange Act as a CPO with respect to other pools that it operates, the Investment Manager will operate the Fund as if it was exempt from such registration pursuant to Rule 4.13(a)(4) under the Commodity Exchange Act because (i) the Shares are exempt from registration under the Securities Act of 1933, as amended (the 'Securities Act') and are being offered and sold without marketing to the public in the United States, and (ii) Shares may be purchased only by persons who are 'qualified eligible persons' as defined in Rule 4.7 under the Commodity Exchange Act. Therefore, the Investment Manager is not required to deliver to Shareholders certified annual reports and a disclosure document that are required to be delivered pursuant to the Commodity Exchange Act, which would contain certain disclosures required thereby that may not be included herein or in the reports to be provided to Shareholders by the Fund.

This document may be communicated outside of the United States by Goldman Sachs International, Peterborough Court, 133 Fleet Street, London, EC4A 2BB, authorized and regulated by the Financial Services Authority, and is approved for use in the United States by Goldman, Sachs & Co. Hedge Funds are not schemes of the type described in section 238(4) of the UK Financial Services and Markets Act 2000. The Fund will therefore be made available in the UK only to persons to whom such investment may be promoted in accordance with rules or orders made pursuant to sections 238(5) or (6) of that Act.

To the extent this presentation is used by Private Wealth Management, this presentation is intended only to facilitate your discussions with Goldman Sachs as to the opportunities available to our Private Wealth Management clients. The presentation is not intended to be used as a general guide to investing. It makes no implied or express recommendations concerning the manner in which any client's account should or would be handled, as finding the appropriate investment strategies for a client will depend upon the client's investment objectives.

This presentation may also be communicated in the United Kingdom by Goldman Sachs Asset Management International which is authorized and regulated by the Financial Services Authority (FSA).

Past performance is not indicative of future results, which may vary. The value of investments and the income derived from investments can go down as well as up. Future returns are not guaranteed, and a loss of principal may occur.

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 0.1042% 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%                    4.61%                 1.56% 
   2 years             12.72%                    9.43%                 3.29% 
   10 years            81.94%                  56.89%               25.05% 

There may be conflicts of interest relating to the Alternative Investment 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 Alternative Investment. 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 Alternative Investment, or in other investment vehicles that may purchase or sell such securities and instruments. These are considerations of which investors in the Alternative Investment should be aware. Additional information relating to these conflicts is set forth in the offering materials for the Alternative Investment.

This material has been prepared by GSAM and is not a product of the Goldman Sachs Global Investment Research Division. The views and opinions expressed may differ from those of the Global Investment Research Division 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 GSAM has no obligation to provide any updates or changes.

Holdings are subject to change and should not be construed as research or investment advice.

References to market or composite indices or other measures of relative market performance over a specified period of time (each, an "index") are provided for your information only. Reference to this index does not imply that the portfolio will achieve returns, volatility or other results similar to the index. The composition of the index 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.

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.

Barclays Aggregate Bond Index

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.

MSCI World Index Hedged USD

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 USdollars and local currencies.

Supplemental Risk Disclosure for All Potential Investors in Hedge Funds and other private investment funds (collectively, "Alternative Investments")

In connection with your consideration of an 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.

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. No public or other market is available or will develop.

Similarly, interests in an Alternative Investment are highly illiquid and generally are not transferable without the consent of the sponsor, and applicable securities and tax laws will limit transfers.

Alternative Investments may themselves invest in instruments that may be highly illiquid and extremely difficult to value. This also may limit your ability to redeem or transfer your investment or delay receipt of redemption proceeds.

Alternative Investments 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.

Investors in Alternative Investments may have limited rights with respect to their investment interest, including limited voting rights and participation in the management 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 offering materials for a more complete discussion of the risks relating to an investment in any particular Alternative Investment. You are urged to read all of the offering materials, including the entire offering memorandum, prior to any investment in any Alternative Investment, and to ask questions of the investment manager or sponsor of such Alternative Investment. Investment Restrictions apply to many of Goldman Sachs' Alternative Investments. Goldman Sachs Hedge Fund Strategies LLC, a US registered investment adviser, is part of Goldman Sachs Asset Management and is a wholly owned subsidiary of The Goldman Sachs Group, Inc.

No part of this material may be (i) copied, photocopied or duplicated in any form, by any means, or (ii) distributed to any person that is not an employee, officer, director, or authorized agent of the recipient, without GSAM's prior written consent.

ã 2013 Goldman Sachs. All Rights Reserved.

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