Goldman Sachs Dynamic Opportunities Interim Management Statement (3700R)

TIDMGSDO TIDMTTM

RNS Number : 3700R

Goldman Sachs Dynamic Opportunities

16 November 2012

16 Nov 2012

Goldman Sachs Dynamic Opportunities Limited

(the "Company")

Interim Management Statement

This interim management statement relates to the period from 1 July 2012 to the date of this statement and has been prepared solely to provide additional information in order to meet the relevant requirements of the UK Listing Authority's Disclosure and Transparency Rules, and should not be relied on by Shareholders, or any other party, for any other purpose. In particular, this interim management statement does not form part of any contemporaneous or other offer of or for Shares in the Company and must not be relied upon for such purpose.

Overview

Goldman Sachs Dynamic Opportunities Limited is a Guernsey registered, closed-ended investment company listed on the London Stock Exchange. On 13 December 2011, pursuant to a Shareholder resolution, the Company's investment objective and policy was amended so that the Company is now managed with a view to realising its existing investments comprised in the Continuing Portfolio in an

orderly and timely manner (such realisations to be effected in such manner as the Investment Manager (in

its absolute discretion) may determine) and returning the proceeds of such realisations to Shareholders (in

accordance with their rights to the distributions on a winding up as set out in the Articles) at such times

and from time to time and in such manner as the Directors may (in their absolute discretion) determine.

The Company will not make any new investments (other than cash and near cash equivalent securities).

NAV Performance to 30 September 2012

 
                                          NAV                                                              Inception 
                                          per          MTD      QTD      YTD      Cum      Ann      Vol      Date 
                                          Share                                    ITD    ITD(2)    ITD 
---------  --------  --------- 
    Goldman Sachs Dynamic Opportunities 
           Limited - (USD) Net(1)            2.0232   0.67%    1.56%    2.94%    12.28%   1.90%    6.46%    Aug-06 
 3 Month USD 
  LIBOR                             N/A               0.04%    0.12%    0.38%    13.63%   2.09%    0.60%    Aug-06 
    Goldman Sachs Dynamic Opportunities 
           Limited - (GBP) Net(1)            1.0341   -0.98%   -1.35%   -2.28%   5.25%    0.83%    8.25%    Aug-06 
 3 Month GBP 
  LIBOR                             N/A               0.07%    0.22%    0.75%    18.93%   2.85%    0.67%    Aug-06 
 
 

(1) Performance is final and unaudited. The figures published here are final as of 30/09/2012, calculated as of 31/10/2012, but are potentially subject to revision. Returns are presented in the currency displayed.

References to market or composite indices, benchmarks or other measures of relative market performance over a specified period of time (each, an "index") are provided for your information only. References to the indices do not imply that the continuing portfolio will achieve returns, volatility or other results similar to the indices. The composition of the indices may not reflect the manner in which a portfolio is constructed in relation to expected or achieved returns, portfolio guidelines, restrictions, sectors, correlations, concentrations, volatility or tracking error targets, all of which are subject to change over time. Information regarding the Fund's investment objectives is contained in the Fund's latest report and accounts, but is subject to amendment. Source for index data: Bloomberg.

(2) Returns less than 12 months are cumulative, not annualised.

Please note the Company's GBP Share and EUR Share NAV were hedged from U.S.$ to GBP in the period from inception to 25 November 2008 and the NAV returns on such Shares include the effects of such currency hedging. The effect of the currency hedging arrangements which were reinstated in full for the GBP Share class only on 30 March 2010 were terminated with effect from 17 January 2012, are included in the NAV returns on the GBP Shares. There have never been any currency hedging arrangements in respect of the U.S.$ Shares. The statistics shown in the table above are for illustrative purposes only and do not represent forecasts of returns or volatility. Past performance is not indicative of future results, which may vary.

Strategy Allocation(3)

The strategy allocation for the Continuing Portfolio as at 30 September 2012 was as follows:

 
 Strategy             Portfolio weight 
                       % 
 Event Driven              87.74 
 Relative Value                   7.71 
 Equity Long/Short          4.55 
 Tactical Trading            - 
                       Portfolio weight 
                               % 
-------------------  -------------------- 
 Core                        60.90 
 Niche                       39.10 
 
 

(3) Allocations as of 30/09/2012. 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 Continuing Portfolio's valuations at month-end. Source of data: Investment Manager.

Investment Manager's review: July - September 2012

This information discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or investment advice or a recommendation to buy, sell or redeem investments in the Company or any other investments mentioned in this report or to follow any investment strategy. Furthermore, this report should not be construed as an invitation or inducement to engage in investment activity in the Company or its Shares.

The NAV of the Company's GBP Share class fell by 1.35% largely as a result of FX movements whilst the NAV of the U.S.$ Share class rose by 1.56% net of fees and expenses between July 2012 and September 2012.

Event Driven Allocation: 87.74%

The value of the Company's investments in the Event Driven sector rose by 3.20% between July 2012 and September 2012.

The Company's Event Driven Advisors generated positive returns over the third quarter of 2012. In July, long credit exposure was generally a contributor to performance for Event Driven Advisors, with a rally in rates, spread compression in corporate credit, idiosyncratic developments in certain liquidation investments and positive performance in structured credit. Equity special situations were generally a positive contributor to performance as well, and merger arbitrage exposure was generally a modest contributor to performance. Performance from hedges was mixed, with equity market hedges generally detracting but peripheral European sovereign hedges generally contributing positively, although partially reversing as markets rallied into month-end. Through August, credit market activity slowed into month-end, with limited new issuance activity and lower secondary trading volumes. Nonetheless, performance was positive in leveraged credit. However, structured credit attribution during August was generally muted following two strong months of performance in June and July. Equity exposure, in both merger arbitrage as well as equity special situations, was generally a source of positive returns. Performance from hedges, including equity market hedges and peripheral European sovereign hedges, was largely negative in August. In September, with stimulative monetary responses propelling markets and limited near term catalysts that might cause a market sell-off, many Event Driven Advisors benefited from having been positioned for positive market performance with long credit and equity exposures.

Equity Long/Short Allocation: 4.55%

The value of the Company's investments in the Equity Long/Short sector fell by 2.06% between July 2012 and September 2012.

At the end of the second quarter, the Company had fully redeemed its liquid investments in Equity Long/Short Advisors and the only remaining exposure to the sector over the third quarter was to a liquidating side pocket.

Tactical Trading Allocation: 0%

The value of the Company's investments in the Tactical Trading sector rose by 1.16% between July 2012 and August 2012. The Company fully redeemed from this investment at the end of August 2012.

The Company's Tactical Trading Advisor generated positive performance over the third quarter. Performance in July was positive across the board with gains led by interest rate and currency positions. In interest rates, gains were generated from long and short positions across the Eurozone interest rate curve whereas gains in currencies were primarily generated in developed market cross currency positions. Gains were partially offset in August when losses from currencies and cross-asset positions offset gains in commodities and equities.

Relative Value Allocation: 7.71%

The value of the Company's investments in the Relative Value sector rose by 1.29% between July 2012 and September 2012.

The Company's Relative Value Advisor generated positive performance over the third quarter as performance was flat or positive every month. After a flat start to the quarter, the Advisor generated positive performance in August as gains in MENA and Latin America were not fully offset by losses from positions in North America and Asia. In September, positions in MENA were again the most notable positive contributors to performance, including long positions in the telecommunication and financials sectors. Positive performance was partially offset by losses in Asia and Latin America, primarily in the consumer sector.

Material Events since 1 July 2012

There are no material events to report between 1 July 2012 and the date of publication of this statement.

Investor Information

Further information on the Company, including the interim and annual report and accounts, can be accessed by eligible Shareholders via www.gs.com/gsdo.

By order of the Board

Goldman Sachs Dynamic Opportunities Limited

Enquiries:

 
Robin Amer                               Tel: [phone] 
 RBC Offshore Fund Managers Limited 
Niklas Ekholm                            Tel: [phone] 
 Head of International Public Relations 
 Goldman Sachs Asset Management 
Anisha Patel                             Tel: [phone] 
 Media Relations 
 Goldman Sachs Asset Management 
Stuart Klein                             Tel: [phone] 
 Jeffries Hoare Govett 
 

Disclosures

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.

Goldman Sachs Hedge Fund Strategies LLC is a U.S. registered investment adviser, is part of Goldman Sachs Asset Management and is a wholly owned subsidiary of The Goldman Sachs Group, Inc.

THIS DOCUMENT DOES NOT CONSTITUTE AN OFFER OR SOLICITATION IN ANY JURISDICTION.

The calculation of GSDO's NAV is derived from estimates provided by underlying investment funds or their managers or administrators which are likely to be unaudited, stale or subject to little verification. Such estimates may not be considered "independent" or may be subject to potential conflicts of interest.

Opinions and views expressed are current opinions as of the date appearing in this material only. No part of this material may be i) copied, photocopied or duplicated in any form, by any means without the prior written consent of Goldman Sachs Hedge Fund Strategies LLC.

The Investment Manager's review has been prepared by Goldman Sachs Asset Management (GSAM) and/or Goldman Sachs International (GSI) and is not a product of the Goldman Sachs Global Investment Research (GIR) Department. The views and opinions expressed may differ from those of the GIR Department or other departments or divisions of Goldman Sachs and its affiliates. Investors are urged to consult with their financial advisors before buying or selling any securities. This information may not be current and none of the company, GSAM or GSI has an obligation to provide any updates or changes.

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.

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

In connection with your consideration of a direct or indirect investment in any Alternative Investment, you should be aware of the following risks:

Alternative Investments are not subject to the same regulatory requirements or governmental oversight as mutual funds. The sponsor or manager of any Alternative Investment may not be registered with any governmental agency.

Alternative Investments often engage in leverage and other investment practices that are extremely speculative and involve a high degree of risk. Such practices may increase the volatility of performance and the risk of investment loss, including the loss of the entire amount that is invested.

Alternative Investments may purchase instruments that are traded on exchanges located outside the United States that are "principal markets" and are subject to the risk that the counterparty will not perform with respect to contracts. Furthermore, since there is generally less government supervision and regulation of foreign exchanges, Alternative Investments are also subject to the risk of the failure of the exchanges and there may be a higher risk of financial irregularities and/or lack of appropriate risk monitoring and controls.

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 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 offer in the United States.

Alternative Investments may themselves invest in instruments that may be highly illiquid and extremely difficult to value. This also may limit your ability to transfer your investment.

Alternative Investments generally are not required to provide their investors with periodic pricing or valuation information.

There may be conflicts of interest between the Alternative Investment and other service providers, including the investment manager and sponsor of the Alternative Investment.

Alternative Investments may involve complex tax and legal structures. Investment in any particular Alternative Investment, or Alternative Investments generally, is only suitable for sophisticated investors for whom such an investment does not constitute a complete investment program and who fully understand and are willing to assume the risks involved in such Alternative Investment. You are urged to consult with your own tax, accounting and legal advisers regarding any investment in any Alternative Investment.

Investors are also urged to take appropriate advice regarding any applicable legal requirements and any applicable taxation and exchange control regulations in the country of their citizenship, residence or domicile which may be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any Alternative Investment.

You are referred to the Company's prospectus for a more complete discussion of the risks relating to an investment in the Company. You are urged to read all applicable offering materials, including the entire prospectus, prior to any investment in any Alternative Investment. Investment Restrictions apply to many of Goldman Sachs' Alternative Investments. Goldman Sachs Hedge Fund Strategies LLC (HFS) is the Investment Manager to the Fund referenced herein. HFS, a US registered investment adviser, is part of Goldman Sachs Asset Management and is a wholly owned subsidiary of The Goldman Sachs Group, Inc.

There may be conflicts of interest relating to the Company and its service providers, including Goldman Sachs and its affiliates, who are engaged in businesses and have interests other than that of managing, distributing and otherwise providing services to the Fund. These activities and interests include potential multiple advisory, transactional and financial and other interests in securities and instruments that may be purchased or sold by the Company, or in other investment vehicles that may purchase or sell such securities and instruments. These are considerations of which investors in the Company should be aware. Additional information relating to these conflicts is set forth in the latest prospectus for the Company.

Prospective investors should inform themselves as to any applicable legal requirements and taxation and exchange control regulations in the countries of their citizenship, residence or domicile which might be relevant.

Investors should consider that the returns that they will receive will be a function of the share price of the Company. While it is expected that the Company would trade substantially in line with its underlying NAV, investors should consider that the traded status of the Company could lead it to have a significantly higher volatility and correlation to equities and that the Company's Shares may trade at a considerable discount to their NAV.

Investors should consider that the liquidity of their investment will be a function of the market demand for the shares of the Company. There is the potential for the Shares to trade at a discount to NAV and lack of market demand may lead to their being a less liquid market.

Copyright 2012 Goldman, Sachs & Co. All Rights Reserved. 52822.HFS.OTU

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