Goldman Sachs Absolute Return Tracker Portfolio

Investment Objective

The investment objective of the Portfolio is to implement a trading strategy that seeks to approximate the return pattern characteristic of hedge funds as a broad asset class. Returns of hedge funds can be viewed as being composed of both “beta” (or varying market exposures) and “alpha” (or manager skill). The Portfolio seeks to approximate this beta component in a relatively liquid, transparent, and cost efficient manner. In seeking to replicate the returns of hedge funds as a broad asset class, the Portfolio will not invest in hedge funds or hedge fund indices. Instead, the investment Adviser generally expects to use statistical analysis of historical performance data in respect of such funds, along with public market information obtained from hedge fund databases, regulatory filings and other sources, to identify relevant Factors for such funds as a broad asset class. The investment strategy of the Portfolio reflects the theory that returns of hedge funds are driven to a large extent by exposure to common factors.