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1、PortfolioTurnover(%)Dec-01 Dec-02 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-1360%55%50%November 19, 2012United StatesHedge Fund Trend MonitorPortfolio Strategy ResearchTurnover hits record low; fiscal cliff risk to 2013 hedge fund returnsThis report analyzes the posit
2、ions of 696 hedge funds with $1.3 trillion of gross assets at the startof 3Q 2012 ($834 billion of long stock and ETF holdings and an estimated $434 billion of shortpositions). Net exposure rose to 48% but turnover of fund positions fell to a new low. The averagehedge fund underperformed the S&P 500
3、 YTD (6% vs. 14%) through November 2nd. Overweightpositioning in the Consumer Discretionary sector represents a risk to 2013 hedge fund returnsbecause pending tax increases may affect consumer spending patterns next year.Hedge fund turnover hit record low in 3QTurnover of all positions averaged 29%
4、in 3Q, the lowest level in at least 10years. This trend was also evident in our Hedge Fund VIP list. The top 25stocks that matter most to hedge funds were unchanged from last quarter.Funds continue to lag the market despite strong consensus picksThe average hedge fund has returned 6% YTD vs. 14% for
5、 the S&P 500 and13% for the average large-cap core mutual fund. More than 20% of fundshave absolute losses. However, our VIP basket has returned 19% YTD,implying poor management of short books has hampered fund returns.Sector positioning presents risk if consumers fall off the fiscal cliffConsumer D
6、iscretionary remains the sector with the largest aggregatehedge fund allocation and constitutes 24% of our VIP basket. Stocks inhighly-weighted consumer subsectors may underperform if rising taxesaffect consumer spending, representing risk to fund performance in 2013.Hedge fund turnover fell to an a
7、ll-time low in 3Q 2012Amanda Sneider, CFA(212) 357-9860 Goldman, Sachs & Co.David J. Kostin(212) 902-6781 Goldman, Sachs & Co.Stuart Kaiser, CFA(212) 357-6308 Goldman, Sachs & Co.Ben Snider(212) 357-1744 Goldman, Sachs & Co.Peter Lewis(212) 902-9693 Goldman, Sachs & Co.Rima Reddy(801) 884-4794 45%40
8、%35%30%25%20%15%Hedge Fund TurnoverAll positionsLargest positionsSmallest positions41%29%17%Goldman, Sachs & Co.10%Source: Lionshares via FactSet and Goldman Sachs Global ECS Research.Goldman Sachs does and seeks to do business with companies covered in its research reports. As a result, investorssh
9、ould be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investorsshould consider this report as only a single factor in making their investment decision. For Reg AC certification and otherimportant disclosures, see the Disclosure Appendix, or go
10、to Analysts employed bynon-US affiliates are not registered/qualified as research analysts with FINRA in the U.S.The Goldman Sachs Group, Inc.Goldman Sachs Global Economics, Commodities and Strategy Research3456810121416181932333435362November 19, 2012Table of ContentsGoldman Sachs Hedge Fund Trend
11、 MonitorDistribution of hedge fund performance in 2012Hedge fund Consumer Discretionary exposure and the fiscal cliff“Stocks that matter most”: The hedge fund VIP listEstimating the short side: The Very Important Short Position listThe impact of hedge funds: Look at the “concentrated” positionsExplo
12、ring hedge fund net exposureSectors: Funds increased cyclical overweightsSize: Large-cap stocks account for almost 50% of holdingsHedge funds and ETFs: Hedging tools, not investment vehiclesAppendix A: Hedge fund data tablesAppendix B: Drawbacks of our hedge fund holding analysisAppendix C: Hedge fu
13、nd portfolio density and net long holdingsAppendix D: 100 largest hedge funds ranked by equity assetsAppendix E: 100 largest institutions ranked by equity assetsAppendix F: GS Portfolio Strategy Baskets on BloombergDisclosure AppendixUnited States37Turnover for our Hedge Fund VIP Basket () and Very
14、Important Short Position Basket ()Turnover for ourHedge Fund VIP BasketTurnover for ourVery Important Short Position BasketAddedIBMGEPMBRK.BEMCCSCOXOMCOFABXMDLZDTVMPCOXYDroppedINTCWMTORCLDUKKMICBEUALARBADALDTGTRIPSUNCVSAddedINTCWMTORCLISRGMCDDEORLYCERNSTXRRCTWCHNZMCOLLYMMMMTBSWNNEMNEEAZOPGRAETMYLDro
15、ppedIBMGEPMBRK.BEMCCSCOXOMCRMETNPEPABTKSSUPSUSBCMGWMKMBSPGITWBHIAAUTXHSTGoldman Sachs Global Economics, Commodities and Strategy Research3November 19, 2012United StatesGoldman Sachs Hedge Fund Trend MonitorThis Hedge Fund Trend Monitor analyzes 696 hedge funds with $1.3 trillion of grossequity posit
16、ions ($834 billion long and $434 billion short). This report focuses on hedgefund positions at the start of 4Q 2012 and is based on 13-F filings as of November 15, 2012.We list eight conclusions below:1. LEVERAGE: The typical hedge fund operates 48% net long ($400 billion net/$834billion long), up f
17、rom 43% in 2Q 2012. Risk appetite by this metric increased during thequarter but remains below the 52% high in 1Q 2007. We estimate 14% of short positioningis conducted via ETFs with 10% at the broad index level. See Exhibit 11.2. PERFORMANCE: Hedge funds saw modest gains as longs outperformed but s
18、hortshampered returns. The average hedge fund returned 6% YTD in 2012 through November2nd compared with 14% for the S&P 500 and 13% for the average large-cap core mutualfund. The distribution of performance shows more than 20% of hedge funds have postednegative YTD returns, while 13% of funds outper
19、formed the S&P 500. See Exhibit 1.3. SECTOR: Hedge funds have the greatest net portfolio exposure to ConsumerDiscretionary (22%), Information Technology (18%), and Financials (13%), combininglong and short position data. Consumer Discretionary consistently ranks as the sector withthe largest hedge f
20、und allocation. Hedge funds are not benchmarked but relative to theRussell 3000 universe, they are 879 bp overweight Consumer Discretionary (22% vs. 13%),and 489 bp underweight Consumer Staples (5% vs. 10%). Aspects of the fiscal cliff arealmost certain to constrain consumer spending in 2013, and re
21、present a source of risk tofund performance in 2013 depending on the effects of the fiscal cliff. See page 5.4. TURNOVER: Turnover of all hedge fund positions averaged a record low of 29%during 3Q 2012, well below the 10-year average of 35%. The top quartile of positions(largest holdings) turned ove
22、r just 17% while the bottom-quartile of positions (smallestholdings) turned over 41%. These metrics all stand at 10-year lows. See Exhibit 32.5. DENSITY: Hedge fund returns are highly dependent on the performance of a fewkey stocks. The typical hedge fund has an average of 64% of long equity assets
23、in its 10largest positions compared with 36% for a typical large-cap mutual fund, 18% for a small-cap mutual fund, 21% for S&P 500 and just 2% for the Russell 2000 index. See Exhibit 4.6. CONCENTRATION: Our basket of the 20 “Most Concentrated” hedge fund stocks(Bloomberg ticker: ) outperformed S&P 5
24、00 by 686 bp YTD in 2012(16.6% vs. 9.7%). We define “concentration” as the share of equity capitalization owned intotal by hedge funds. Since 2001, the strategy has outperformed S&P 500 67% of the timeby an average of 255 bp per quarter (not annualized). A back-test shows this strategy worksin an up
25、ward trending market but performs poorly during choppy or flat markets.7. VERY IMPORTANT POSITIONS: Our Hedge Fund VIP list (Bloomberg ticker:) contains the 50 stocks that appear most frequently among the top 10holdings of fundamentally-driven hedge fund portfolios. The basket outperformed theS&P 50
26、0 by 460 bp YTD as of November 15th (14.3% vs. 9.7%). See Exhibit 4. Turnoverwas below the historical average with 13 new stocks entering the list compared with anaverage of 17 since 2001. New stocks are on page 2; see page 7 for the full list of 50 stocks.8. VERY IMPORTANT SHORT POSITIONS: Our Hedg
27、e Fund Very Important ShortPosition basket (Bloomberg ticker: ) contains the 50 S&P 500 stocks withthe highest total dollar value of short interest outstanding that are not in our VIP longbasket. The VISP basket returned 7.4% YTD. Our VIP pair trade has mirrored the HFREquity Hedge Index with an ave
28、rage quarterly return of 137 bp vs. 123 bp since 2001 butthe Sharpe Ratio has been higher (0.42 vs. 0.23). New top shorts include INTC, WMT, andISRG.Goldman Sachs Global Economics, Commodities and Strategy Research%ofFunds14128624November 19, 2012United StatesDistribution of hedge fund performance i
29、n 2012The typical hedge fund generated a 2012 YTD return of 5.9% through November 2ndcompared with a 14.5% gain for the S&P 500 and a 12.6% return for the average large-cap core mutual fund (see Exhibit 1). The standard deviation of all hedge fund returnswas 9 percentage points so two-thirds of hedg
30、e funds have generated YTD returnsbetween -3% and +15%.Distribution of returns provides more perspective than a single point estimate. Only13% of hedge funds have generated YTD returns greater than 14.5%, outperforming theS&P 500. 78% of funds have generated positive returns.Popular long positions h
31、ave outperformed the index by 400 bp YTD in 2012. OurHedge Fund VIP Basket (Bloomberg ticker: ), consisting of 50 stocks thatappear most frequently among hedge fund top ten holdings, has returned 18.7% YTD,compared to 14.5% for the S&P 500. All the outperformance was generated in the last fewmonths
32、as the basket lagged by 300 bp through July but outperformed by 680 bp since.Hedge funds increased risk in response to the 3Q market rally and suffered as themarket pulled back from its September highs. Hedge fund net long exposure sat at 43%at the start of 3Q 2012 as the market proceeded to reach f
33、ive-year highs. Funds increasedtheir exposure to 48% by the start of 4Q, just as the rally stalled and concerns over thefiscal cliff sent the index lower. However, the distribution of fund returns combined withthe recent outperformance of long positions suggests that choice of shorts, not justmagnit
34、ude, has hampered fund performance.Exhibit 1: Distribution of 2012 hedge fund performanceas of November 2, 2012162012 YTDPerformanceas of 2-NovHedge FundVIP Basket18.7%1040AverageHedge Fund5.9%AverageMutual Fund12.6%S&P 50014.5%-8-6-4-2024681012141618202224262012 YTD Returns (%)Source: Lipper, FactS
35、et, Goldman Sachs Asset Management, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research5November 19, 2012United StatesHedge fund Consumer Discretionary exposure and the fiscal cliffConsumer Discretionary consistently ranks as the sector with the la
36、rgest hedge fundallocation. This quarter Consumer Discretionary again ranks first in terms of aggregatelong, gross, and net absolute positions as well as tilt relative to the Russell 3000. Almostone in four stocks in our VIP basket is a Consumer Discretionary sector constituent. Thesector has outper
37、formed the S&P 500 by 650 bp YTD in 2012 (16% vs. 10%), but representsa source of risk to fund performance in 2013 depending on the effects of the fiscal cliff.Aspects of the fiscal cliff are almost certain to constrain consumer spending in 2013.Goldman Sachs economists believe spending cuts and exp
38、iring policies will create a $233billion fiscal headwind in 2013 (40% of the scheduled fiscal cliff). The greatest impact wouldcome from the expiration of the payroll tax cut, which affects all consumers, and theexpiration of the 2001/2003 tax cut for upper income consumers, which would raise thehig
39、hest marginal rate and impact the high end.Our Retail/Consumer equity research team recently analyzed the potential impact ofthe fiscal cliff on consumer spending (see Mapping the Fiscal Cliff for the US Consumer,November 16, 2012). Based on marginal propensities to spend, we expect an aggregateimpa
40、ct on consumer spending of $110 billion under our base case scenario, equal to 0.9%of PCE and 2.3% of retail sales. These assumptions will remain fluid until a final agreement.Based on historical sensitivity to changes in GDP and discretionary cash flow,categories that could be most impacted include
41、 autos, consumer electronics, homefurnishings, home improvement, lodging and gaming, specialty apparel, and sportinggoods. Categories that could be least impacted include drug stores, food, and tobacco. Thecombination of underlying momentum in house prices and housing turns, reducedconsumer leverage
42、, and ongoing low interest rates, should mitigate the impact of lowerincome on big-ticket categories.Among Consumer Discretionary subsectors, hedge funds have significant tilts inareas that could be most adversely affected. The top 10 subsectors ranked by tilt of theaggregate hedge fund single-stock
43、 long portfolio are listed below. Together, these make upalmost 650 bp of the total 768 bp tilt, and include sensitive categories such as auto parts &equipment, apparel accessories & luxury goods, and specialty stores.Exhibit 2: Consumer Discretionary subsector tilts indicate risk from the fiscal cl
44、iffHoldings as of September 30, 2012; pricing as of November 15, 2012Single-Stock Holdings% of CapHedge FundLongOwned byLongRussell 3000PortfolioYTDRussell 3000 SubsectorCable & SatelliteInternet RetailAuto Parts & EquipmentApparel Accessories & Luxury GoodsDepartment StoresSpecialty StoresGeneral M
45、erchandise StoresAutomotive RetailMovies & EntertainmentBroadcastingConsumer DiscretionaryHedge Funds7%81391210911586%Weight223 bp194119127929510078181852044 bpWeight129 bp101375632394729137431277 bpTilt94 bp938171615553504342768 bpReturn17 %29(4)1410121511252716 %Source: Lionshares via FactSet and
46、Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy ResearchHedgeFundStocksTotalReturn(100=Dec2003)Jun-04Jun-05Dec-03Dec-04Dec-05Jun-06Jun-07Jun-08Jun-09Jun-10Jun-11Jun-12Dec-06Dec-07Dec-08Dec-09Dec-10Dec-11Dec-12Jun-131251206November 19, 2012United States“Stoc
47、ks that matter most”: The hedge fund VIP listOur hedge fund VIP list (Bloomberg ticker: ) consists of stocks in whichfundamentally-driven hedge funds have a large stake. We define stocks that “mattermost” to hedge funds as the positions that appear most frequently among the top tenholdings within he
48、dge fund portfolios. For this analysis, we limit our universe to hedgefunds with 10 to 200 distinct equity positions in an attempt to isolate fundamentally-driveninvestors from quantitative funds or funds that mirror private equity investments.Our hedge fund VIP list offers investment ideas and trac
49、ks long exposure of hedgefunds. By construction, the VIP list identifies the 50 stocks whose performance will largelyinfluence the long side of many fundamentally driven hedge funds.The basket of the 50 stocks that “matter most” has outperformed the S&P 500 by 63bp on a quarterly basis since 2001, w
50、ith a Sharpe ratio of 0.24. The VIP basket hasoutperformed the S&P 500 by 460 bp (14.3% vs. 9.7%) YTD through November 15th. Asillustrated in Exhibit 3, the VIP basket lagged the S&P 500 by 12 pp during 2H 2008 (-41% vs.-29%). It outperformed the S&P 500 by 14 pp in 2009 (40% vs. 27%) and by 443 bp
51、in 2010(19% vs. 15%) but underperformed the S&P 500 by 519 bp in 2011 (-3.1% vs. 2.1%).From an implementation standpoint, the hedge fund VIP list offers an efficient vehiclefor investors seeking to “follow the smart money” based on 13-F filings. The VIPbasket has a large-cap bias with a median marke
52、t capitalization of $48 billion comparedwith $12 billion for S&P 500. Top constituents include AAPL, GOOG, AIG and MSFT.Our hedge fund VIP basket is not sector neutral to the S&P 500. The VIP list containsstocks from nine of the ten sectors with Utilities absent. The VIP basket overweights theConsum
53、er Discretionary sector (24%) and underweights Consumer Staples (4%) relative tothe broad market index.Turnover for the basket during 3Q 2012 was below the historical average, with 13 newstocks entering the VIP list compared with an average quarterly turnover of 17 stocks since2001. New constituents
54、 are ABX, BRK.B, COF, CSCO, DTV, EMC, GE, IBM, MDLZ, MPC, OXY,PM, and XOM (see Exhibit 4). However, all of the current top 25 stocks were alsoconstituents last quarter.Exhibit 3: Stocks that “matter most” have outperformed by 63 bp on average each quarter since 2001 (46 quarters)as of November 15, 2
55、012Stocks that Matter MostBloomberg Quarterly Relative Return vs. SPXStocks that Matter MostBloomberg: (Relative Return vs. SPX)Maximum75th PercentileMedian25th PercentileMinimum674 bp18582(104)(785)115110105Current112Standard DeviationAverage Excess Return (bp)Sharpe Ratio26563 bp0.2410095ReturnsVI
56、P ListS&P 5003Q YTD_9.5% 14.3%6.4% 9.7%Hit rate of outperformance63 %since May 2001Source: Lionshares via FactSet, IDC and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research897November 19, 2012United StatesGSTHHVIP: 50 stocks that “matter most” to hed
57、ge fundsExhibit 4: Very Important Positions (VIP) for hedge funds50 stocks that most frequently appear among the largest 10 holdings of hedge fundsNo. of fundsAveragewith 10 to 200No. of fundsportfolio weight% of Equity CapEquityCappositionsowning stockwith stock asTop 10 holdingwhen stockranks amon
58、gowned byHedge FundsTotalReturnCompanyApple Inc.Google Inc.American Intl GroupMicrosoft CQUALCOMM Inc.Citigroup Inc.JPMorgan ChaseExpress Scripts Holding CoVisa Inc.Pfizer Inc.Liberty Media CorpYahoo! Inc.Anadarko PetroleumGeneral Motors Co.Tyco InternationalDollar General Corp.Equinix Inc.LyondellB
59、asell Industries N.V.News Corp.ADelphi Automotive PLCeBay Inc.Liberty Interactive Corp. Interactive Series AVisteon Corp.Wells Fargo & Co.Capital One FinancialCisco SystemsFreeport-McMoRan Cp & GldSchlumberger Ltd.Barrick Gold Corp.Bank of AmericaCharter Communications Inc. Cl AHertz Global Holdings
60、 Inc.Johnson & JohnsonMondelez IntlSBA Communications Corp.BP PLC ADSBerkshire HathawayInternational Bus. MachinesMasterCardCIT Group Inc.DIRECTVEMC Corp.General ElectricMarathon PetroleumOccidental PetroleumPhilip Morris IntlSix Flags Entertainment Corp.Exxon Mobil Corp.AverageMedianTickerAAPLGOOGA
61、IGMSFTPCLNQCOMCJPMESRXVPFELMCAYHOOAPCGMTYCDGEQIXLYBNWSAAMZNDLPHEBAYLINTAVCWFCCOFCSCOFCXSLBABXBACCHTRHTZJNJMDLZSBACBPBRK.BIBMMACITDTVEMCGEMPCOXYPMSIXXOMSub-sectorComputer HardwareInternet Software & ServicesMulti-line InsuranceSystems SoftwareInternet RetailCommunications EquipmentOther Diversified F
62、inancial ServicesOther Diversified Financial ServicesHealth Care ServicesData Processing & Outsourced ServicesPharmaceuticalsBroadcastingInternet Software & ServicesOil & Gas Exploration & ProductionAutomobile ManufacturersSecurity & Alarm ServicesGeneral Merchandise StoresInternet Software & Servic
63、esSpecialty ChemicalsMovies & EntertainmentInternet RetailAuto Parts & EquipmentInternet Software & ServicesCatalog RetailAuto Parts & EquipmentDiversified BanksConsumer FinanceCommunications EquipmentDiversified Metals & MiningOil & Gas Equipment & ServicesGoldOther Diversified Financial ServicesCa
64、ble & SatelliteTruckingPharmaceuticalsPackaged Foods & MeatsWireless Telecommunication ServicesIntegrated Oil & GasProperty & Casualty InsuranceIT Consulting & Other ServicesData Processing & Outsourced ServicesRegional BanksCable & SatelliteComputer Storage & PeripheralsIndustrial ConglomeratesOil
65、& Gas Refining & MarketingIntegrated Oil & GasTobaccoLeisure FacilitiesIntegrated Oil & Gas($ bil)$493212462243110410315041941771121353712169265510010601031673295359233987619045128211212577314921218601423398$884830-Sep-121481109659466656514638443841424833343830304226392931383925243019392532302523292
66、22229222125232021192019383130-Sep-12109767239313029272626252322212121202020201919191818161515151514141414141414131313131212121212121212122217Top 10 holdings8%796656566589667589761257105457666874710845104455541046%630-Sep-123%51921844278127238513204434143365135618233214623141422141453192256112 %5YTD3
67、1 %0356321334221439143011(7)18181773533127475331(3)1830152(25)6420228551(1)1232341591566(20)1041420 %17Note: Based on our analysis of 569 hedge funds with $522 billion in equity assets that own between 10 and 200 individual stock positions.New stocks in basket listed in bold.Holdings as of September
68、 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy ResearchMay-01 May-02 May-03 May-04 May-05 May-06 May-07 May-08 May-09 May-10 May-11 May-12 May-138November 19, 2012United St
69、atesEstimating the short side: The Very Important Short Position listOur Very Important Short Position (Bloomberg ticker: ) list tracks shortexposure of hedge funds. The equal-weighted basket consists of 50 S&P 500 constituentswith the highest total dollar value of short interest outstanding. The VI
70、SP basket excludescompanies in our long VIP List and stocks with more than 10% of float-adjusted shares heldshort. The VISP basket has a large-cap bias with a median market capitalization of $33billion compared with $12 billion for the S&P 500 and $48 billion for the VIP List.Constituents of this ba
71、sket are not based on 13-F holdings and this is not a basket ofstocks most held short. The median stock has a higher value of short interest comparedwith the median S&P 500 company ($1.0 bil vs. $0.3 bil) and higher short interest as apercent of float-adjusted shares (2.8% vs. 2.4%). The top five VI
72、SP constituents are INTC,VZ, GILD, CVX, and DIS (see Exhibit 7).We use the total dollar value of short interest outstanding as an estimate of shortportfolio holdings. Short positions in large-cap stocks can still be significant on a totaldollar value basis even though the size of these stocks typica
73、lly leads to lower shortinterest as a percentage of shares outstanding. We did not adjust our analysis to take intoaccount the impact of convertible arbitrage strategies on short interest outstanding.However, when we incorporated these positions it did not significantly affect the results orthe comp
74、osition of the basket.The long GSTHHVIP/short S&P 500 pair tracks hedge fund performance given itreplicates the long/short nature of hedge fund holdings. But it represents a proxy withshortcomings. The Hedge Fund VIP List consists of an equal weighted basket of 50 stockswhereas the S&P 500 is market
75、 cap weighted. S&P 500 stocks with weights greater than 2%,such as Apple (AAPL), are implicitly short even if held on the long-side. It also fails toincorporate information about shorts disclosed by the exchanges. By addressing theseissues, we can create a better approximation of hedge fund short-si
76、de performance.The performance of a long GSTHHVIP / short GSTHVISP pair tracks hedge fundperformance better than the long GSTHHVIP / short S&P 500 pair. The long/short VIPpair has generated an average quarterly return of 137 bp (5.5% annualized) since 2001, in-line with the average return of the HFR
77、 Equity Hedge index. The Sharpe ratio of the pairwas 0.42, higher than the Equity Hedge index Sharpe ratio of 0.23.Exhibit 5: Hedge fund performance versus basket pairsas of October 31, 2012200Exhibit 6: Sharpe Ratio of GSTHHVIP/GSTHVISP is 0.42as of October 31, 2012Quarterly Relative Return175HFREq
78、uity Hedge IndexMaximumGSTHHVIPvs. SPX775 bpGSTHHVIPvs. GSTHVISP735 bpHFR EquityHedge Index1,542 bp15012510075GSTHHVIP /GSTHVISPGSTHHVIP /S&P 50075th PercentileMedian25th PercentileMinimumStandard DeviationAvg Return (bp)Sharpe RatioHit rate of Performance19389(110)(1057)28663 bp0.2265 %323151(44)(1
79、000)325137 bp0.4267 %500192(162)(1997)537123 bp0.2363 %since June 2001Source: Hedge Fund Research, IDC and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy ResearchSource: Hedge Fund Research, IDC and Goldman Sachs Global ECS Research.9November 19, 2012GSTHV
80、ISP: 50 stocks representing important short positionsExhibit 7: Very Important Short Positions (VISP) for hedge funds50 stocks that represent the largest short positionsUnited StatesSHORT InterestLONG Hedge Fund HoldingsShortValue ofAverageInterestShortNo. of fundsportfolio weight % of Equity CapEqu
81、ityCapTotalReturnas a % ofFloat CapInterest($bil)with stock asTop 10 holdingwhen stockranks amongowned byHedge FundsCompanyIntel Corp.Verizon CommunicationsGilead SciencesChevron Corp.Walt DisneyAT&T Inc.Ford Motor Co.Wal-Mart StoresCaterpillarIntuitive SurgicalConocoPhillipsProcter & GambleHewlett-
82、PackardAmgen Inc.Bristol-Myers SquibbTime WarnerAltria GroupMerck & Co IncPioneer Natural ResourcesMcDonalds Corp.E.I. DuPontOracle Corp.Coca-Cola Co.Comcast Corp.Sysco Corp.CenturyLinkHome DepotDeere & Co.MetLife Inc.OReilly AutomotiveAvalonBay CommunitiesCerner Corp.Seagate TechnologyRange Resourc
83、esTime Warner CableH.J. Heinz Co.Moodys Corp.Eli Lilly & Co.3M Co.M&T Bank Corp.Southwestern EnergyNewmont MiningNextEra Energy IncAutoZone Inc.Walgreen Co.Lockheed MartinHalliburtonProgressive Corp.Aetna Inc.Mylan Inc.TickerINTCVZGILDCVXDISTFWMTCATISRGCOPPGHPQAMGNBMYTWXMOMRKPXDMCDDDORCLKOCMCSASYYCT
84、LHDDEMETORLYAVBCERNSTXRRCTWCHNZMCOLLYMMMMTBSWNNEMNEEAZOWAGLMTHALPGRAETMYLSub-sectorSemiconductorsIntegrated Telecommunication ServicesBiotechnologyIntegrated Oil & GasMovies & EntertainmentIntegrated Telecommunication ServicesAutomobile ManufacturersHypermarkets & Super CentersConstruction & Farm Ma
85、chinery & Heavy TrucksHealth Care EquipmentOil & Gas Exploration & ProductionHousehold ProductsComputer HardwareBiotechnologyPharmaceuticalsMovies & EntertainmentTobaccoPharmaceuticalsOil & Gas Exploration & ProductionRestaurantsDiversified ChemicalsSystems SoftwareSoft DrinksCable & SatelliteFood D
86、istributorsIntegrated Telecommunication ServicesHome Improvement RetailConstruction & Farm Machinery & Heavy TrucksLife & Health InsuranceAutomotive RetailResidential REITsHealth Care TechnologyComputer Storage & PeripheralsOil & Gas Exploration & ProductionCable & SatellitePackaged Foods & MeatsSpe
87、cialized FinancePharmaceuticalsIndustrial ConglomeratesRegional BanksOil & Gas Exploration & ProductionGoldElectric UtilitiesAutomotive RetailDrug RetailAerospace & DefenseOil & Gas Equipment & ServicesProperty & Casualty InsuranceManaged Health CarePharmaceuticals($ bil)$100119551998519340231532166
88、1832665524262130138539146164941823923333111213111128191053611212232814302828141410YTD(15)%978(1)2716017(8)1333(48)34(9)2471715(14)(5)18650674812312(0)247094610381610308(23)1215012(11)16(2)1931-Oct-124%241214137215223219131115413297898349216633523265731-Oct-12$4.32.12.01.81.81.71.61.61.51.51.51.41.41
89、.31.31.31.31.21.21.21.21.11.11.11.01.01.00.90.90.90.90.90.80.80.80.80.80.80.80.80.80.80.70.70.70.70.70.70.70.730-Sep-12108745671160411626335834111171494811186111344077155011065Top 10 holdings5%3746485504652445577556664656644495507330664670405630-Sep-121%1412121121231241114112120212342199511331162111
90、32511212Total$2,905$58.8AverageMedian$583313 %114%3$1.21.0555%53%2New stocks in basket listed in bold.Short interest as of October 31, 2012; Pricing as of November 15, 2012.Source: FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy ResearchRe
91、lativeTotalReturn(100=Feb21,2007)Feb-07Feb-08Feb-09Feb-10Feb-11Feb-12Aug-07Aug-08Aug-09Aug-10Aug-11Aug-12Feb-1315014012010November 19, 2012United StatesThe impact of hedge funds: Look at the “concentrated” positionsWe define “concentration” as the share of market capitalization owned in aggregateby
92、hedge funds. The strategy of buying the 20 most concentrated stocks has a strong trackrecord over more than 10 years. Since 2001, the strategy has outperformed the market 67%of the time by an average of 255 bp per quarter (not annualized).The high hedge fund ownership concentration strategy works in
93、 an upward trendingmarket but tends to perform poorly during choppy or flat markets. The stocks in thebasket tend to be mid-caps (at the lower end of the S&P 500 capitalization distribution),which outperformed large-caps from 2004 to 2007, contributing to the attractive back-testresults. The baskets
94、 are not sector neutral versus the S&P 500.Stocks with the “most concentrated” hedge fund ownership have outperformed theS&P 500 in 2012 YTD through November 15th by 686 bp (16.6% vs. 9.7%). The “mostconcentrated” stocks lagged for most of 2007 and 2008, but significantly outperformed in2009 (81.4%
95、vs. 26.5%) and 2010 (15.9% vs. 15.1%). Our “most concentrated” basketunderperformed the S&P 500 by 391 bp in 2011 (-1.8% vs. 2.1%).Our “least concentrated” basket has underperformed the S&P 500 in 2012 YTD by 43bp (9.3% vs. 9.7%). The “least concentrated” basket underperformed the market by 377 bpin
96、 3Q 2012 (2.6% vs. 6.4%) and underperformed the “most concentrated” basket by 55 bp.Turnover for the “most concentrated” basket during 3Q 2012 was near the historicalaverage. Seven stocks entered the “most concentrated” basket this quarter (LYB, PCS, LIFE,AIG, WPX, PCLN, and CCE), compared with an a
97、verage quarterly turnover of six stockssince 2001. Nine stocks turned over in the “least concentrated” basket, near the historicalaverage of 10.Exhibit 8: “Most concentrated” outperformed SPX by 686 bp YTD; “Least concentrated” underperformed by 43 bpas of November 15, 2012Hedge Fund ConcentrationQu
98、arterly Relative Return vs. SPXS&P 500 Hedge Fund Baskets(relative returns vs. SPX)LEASTConcentratedMostLeast130 Maximum75th PercentileMedian2,413 bp6963421,225 bp2872011010025th PercentileMinimumStandard DeviationAvg Excess Return (bp)Sharpe RatioHit rate of outperformance(256)(1347)686255 bp0.3767
99、 %(176)(503)34157 bp0.1752 %9080706050MOSTConcentratedsince May 2001Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research293864892680986683719184366111November 19, 2012United StatesGoldman Sachs S&P 500 “concentra
100、ted” hedge fund basketsExhibit 9: The 20 most concentrated stocks in the S&P 500 Holdings as of September 30, 2012; Pricing as of November 15, 2012S&P 500: Twenty MOST CONCENTRATED Hedge Fund Holdings (Bloomberg Ticker: GSTHHFHI)% of equity capEquityTotal Returnowned byCapDuring2012Hedge FundsCompan
101、yTickerSectorSub-sector($ bil)3QYTD30-Sep-12TripAdvisorAutoNationTRIPANConsumer Discretionary Internet RetailConsumer Discretionary Automotive Retail55(26)2445950%45LyondellBasell Industries N.V.E*TRADE FinancialLYBETFCMaterialsFinancialsSpecialty ChemicalsInvestment Banking & Brokerage262953(1)3432
102、J.C. PenneyJCPConsumer Discretionary Department Stores44(53)29Tenet HealthcareTHCHealth CareHealth Care Facilities202323Yahoo! Inc.VeriSign Inc.Beam IncMetroPCS CommunicationsRalph Lauren Corp.Life TechnologiesYHOOVRSNBEAMPCSRLLIFEInformation Technology Internet Software & ServicesInformation Techno
103、logy Internet Software & ServicesConsumer StaplesDistillers & VintnersTelecommunication ServicWireless Telecommunication ServicesConsumer Discretionary Apparel Accessories & Luxury GoodsHealth CareLife Sciences Tools & Services21714112(8)948111620920232321202019American Intl GroupCBRE Group IncAIGCB
104、GFinancialsFinancialsMulti-line InsuranceReal Estate Services461335141919WPX EnergyWPXEnergyOil & Gas Exploration & Production33(17)19Family Dollar StoresFDOConsumer Discretionary General Merchandise SPCLNConsumer Discretionary Internet Retail31(7)3218Coca-Cola EnterprisesCCEConsumer StaplesSoft Dri
105、nks121718BMC SoftwareMotorola SolutionsGSTHHFHI Basket (average)S&P 500 (average)BMCMSIInformation Technology Systems SoftwareInformation Technology Communications Equipment6151126(3)610 %6191615 %10181724%5Source: Lionshares via FactSet, IDC and Goldman Sachs Global ECS Research.Exhibit 10: The 20
106、least concentrated stocks in the S&P 500 Holdings as of September 30, 2012; Pricing as of November 15, 2012S&P 500: Twenty LEAST CONCENTRATED Hedge Fund Holdings (Bloomberg Ticker: GSTHHFSL)% of equity capEquityTotal Returnowned byCapDuring2012Hedge FundsCompanyTECO EnergySigma-Aldrich Corp.TickerTE
107、SIALSectorUtilitiesMaterialsSub-sectorMulti-UtilitiesSpecialty Chemicals($ bil)43Q(1)(2)YTD(10)1230-Sep-120.3%0.3Sysco Corp.McCormick & Co.SYYMKCConsumer StaplesConsumer StaplesFood DistributorsPackaged Foods & Meats18280.40.4HCP Inc.SCANA Corp.HCPSCGFinancialsUtilitiesSpecialized REITsMulti-Utiliti
108、es206221140.40.4Varian Medical SystemsW.W. GraingerVARGWWHealth CareIndustrialsHealth Care EquipmentTrading Companies & Distributors13(1)0.40.5Carnival Corp.Exxon Mobil Corp.CCLXOMConsumer Discretionary Hotels Resorts & Cruise LinesEnergyIntegrated Oil & Gas223987170.50.5Air Products & ChemicalsAPDM
109、aterialsIndustrial Gases17(4)0.5Southern Co.Wal-Mart StoresFMC Corp.American ExpressSOWMTFMCAXPUtilitiesConsumer StaplesMaterialsFinancialsElectric UtilitiesHypermarkets & Super CentersDiversified ChemicalsConsumer Finance3723176114(2)(4)1720150.50.50.60.6AT&T Inc.Darden RestaurantsTDRITelecommunica
110、tion ServicIntegrated Telecommunication ServicesConsumer Discretionary Restaurants19371116150.60.6Waste ManagementXcel EnergyWMXELIndustrialsUtilitiesEnvironmental & Facilities ServicesElectric Utilities1413(3)(2)(2)(3)0.60.6Texas InstrumentsGSTHHFSL Basket (average)S&P 500 (average)TXNInformation T
111、echnology Semiconductors335626(3)3%67%100.70.5%5.1Source: Lionshares via FactSet, IDC and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research12November 19, 2012United StatesExploring hedge fund net exposureShort positions shed light on the “other side”
112、 of fund portfoliosWe combined $834 billion of single-stock and ETF long holdings in 13-F filings of 696hedge funds with our estimate of hedge fund short positions. We estimate hedge fundsaccounted for 85%, or $434 billion of the $510 billion in single-stock, ETF and market indexshort interest posit
113、ions filed with exchanges as of September 30, 2012. Our analysissuggests that hedge funds operate 48% net long (net/long), versus 43% in 2Q 2012. Weestimate roughly 14% of short positioning is conducted via ETFs with 10% occurring at thebroad index level.Short positions offer more comprehensive insi
114、ght to hedge fund sector tilts. Ouranalysis of short interest data suggests that hedge fund sector net exposure may differfrom what 13-F filings of long positions would indicate.Allocation differences between long and short positions skew sector positioningrelative to the Russell 3000 beyond what lo
115、ng holdings alone would suggest. Hedgefund long exposure shows funds are overweight Consumer Discretionary relative to theRussell 3000 (19.5% versus 12.8%). Short interest data indicates Consumer Discretionaryaccounts for 17.6% of all short positions. Combining long and short data, hedge fundsappear
116、 to hold a 21.5% net weighting in Consumer Discretionary and are more overweightrelative to the Russell 3000 than long exposure suggests. Similar portfolio skew occurs inthe overweights of the Energy and Materials sectors and underweights of the Financialsand Consumer Staples sectors, among others.H
117、edge funds raised net exposure to the Financials sector during 3Q 2012 but reducedexposure to Info Tech and Materials. Hedge funds are most overweight ConsumerDiscretionary relative to the Russell 3000 (22% vs. 13%). Mutual funds weightings to thesector are in-line with the index (13%).Exhibit 11: E
118、stimated hedge fund long, short, and net exposure, by sector ($ in billions)Holdings as of September 30, 2012; Pricing as of November 15, 2012Overweight / UnderweightConsumerTelecomInformationHealthConsumerDiscretionaryMaterialsEnergyIndustrialsServicesTechnologyUtilitiesCareFinancialsStaplesTOTALLO
119、NGStock PositionsETF PositionsHedge Fund LONG$1611$162$542$56$882$90$871$88$180$18$1473$151$140$15$891$90$1102$112$481$49$81815$834SHORTStock PositionsETF PositionsEstimated SHORTEXPOSUREGrossNet% Net Long (Net/Long)$716$76$2388653 %$173$20$763563 %$329$41$1314954 %$406$45$1344349 %$101$11$29740 %$6
120、911$81$2317046 %$82$10$25532 %$516$57$1483337 %$529$61$1735246 %$265$31$801938 %$37459$434$1,26740048 %Net Sector Weighting (%)Hedge Fund Net ExposureRussell 3000Over/(Under)weight22 %13879 bp9%4493 bp12 %10267 bp11 %11(3)bp2%3(96)bp17 %19(141)bp1%4(232)bp8%12(332)bp13 %16(347)bp5%10(489)bp100 %100S
121、ource: Lionshares via FactSet, IDC and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy ResearchPercentofS&P500MarketCapHeldShort(%)DollarsofS&P500Stocks($billions)ShortinterestratioofS&P500(daystocover)2003200420052006200720082009201020112012200320042005200
122、62007200820092010201120122013201313November 19, 2012Exhibit 12: The biggest discrepancy between long and short portfolio positioning is in Health CareHoldings as of September 30, 2012; Pricing as of November 15, 2012United StatesAggregate Asset Allocationvs. Russell 3000vs. Mutual FundsLongShortNetM
123、utualNetPortfolioPortfolioAllocationNetRussell 3000SectorFundSectorSector($834 bil)($434 bil)Difference WeightingWeightingTiltWeightingTiltConsumer Discretionary 19.5 %17.6 %191 bp21.5 %12.8 %879 bp12.5 %906 bpInformation TechnologyFinancialsEnergyIndustrialsMaterialsHealth CareConsumer StaplesTelec
124、om ServicesUtilitiesTotal18.113.510.810.66.710.95.92.21.8100.018.614.09.410.44.713.27.02.52.4100.0(56)(54)13721198(236)(111)(33)(56)017.512.912.310.98.88.34.71.81.2100.018.916.49.610.93.911.69.62.83.5100.0(141)(347)267(3)493(332)(489)(96)(232)017.017.810.210.66.011.68.63.42.4100.052(487)21325281(329
125、)(384)(154)(122)0Source: Lionshares via FactSet, IDC and Goldman Sachs Global ECS Research.We believe hedge funds account for the vast majority of short positions. The steadygrowth of shorts in the US equity market from 2002 to 2008 accompanied the rise in hedgefund assets (Exhibit 13). We estimate
126、that hedge funds account for 85% of all shortpositions. Short interest for the S&P 500 rose during most of 2010 before falling in 4Q 2010and 1Q 2011. It spiked in 3Q 2011 to the highest levels since late 2008 but retreated throughApril 2012. Currently, 2.1% of equity cap is held short.We acknowledge
127、 certain limitations to our hedge fund short position analysis. Thereis time delay, as short interest is filed bi-weekly with the exchanges and released with a 10-day delay. The short interest information we have represents positions reported by USbroker/dealers. Broker/dealers incorporated outside
128、the US do not have to report theirpositions. Swaps and other derivatives are also not captured in this analysis.Exhibit 13: Short interest by dollars and share of capas of October 31, 2012Exhibit 14: Short interest ratio (days to cover)as of October 31, 2012400350Share of S&P 500market cap held shor
129、t3.03.5 days300250200(right-hand axis)2.52.01.53.0 days2.5 days2.0 days150100Aggregate dollarsof short interest(left-hand axis)1.01.5 daysShort interest ratiobased on 1-year average daily volumeSource: Compustat, FactSet and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commoditi
130、es and Strategy ResearchSource: Compustat, FactSet and Goldman Sachs Global ECS Research.14November 19, 2012United StatesSectors: Funds increased cyclical overweightsConsumer Discretionary exposure remains the largest overweightDuring 3Q 2012, hedge fund long allocation to Consumer Discretionary ros
131、e by about7 bp. It is still the most overweight sector relative to the Russell 3000 (19% vs. 13%).Hedge funds decreased their position in Consumer Staples by 28 bp and it remains themost underweight sector. Hedge funds are currently 608 bp overweight ConsumerDiscretionary and 552 bp underweight Cons
132、umer Staples relative to sector weights in theRussell 3000 (see Exhibit 15). We recognize hedge funds do not manage assets based on abenchmark, but understanding and interpreting sector tilts requires an orientation to someindex.Info Tech represented the largest decrease in hedge funds long asset al
133、locationduring 3Q (-66 bp). Hedge funds also reduced exposure to Telecom Services, Health Care,Utilities, and Consumer Staples. The Health Care, Utilities, and Consumer Staples sectorsunderperformed the market in 3Q, accounting for some of the lower weighting in portfolios.Mutual funds made similar
134、adjustments to their sector allocations but differed onIndustrials and Health Care. Mutual funds and hedge funds made directionally-identicaladjustments to long asset allocation in most sectors. However, mutual funds decreasedallocations to Industrials but not to Health Care, while hedge funds did t
135、he opposite.Sub-sectors: What hedge funds are buying and sellingWe estimate the dollars invested by hedge funds in various sub-sectors based onchange in ownership during the quarter. Sub-sectors in which hedge funds added topositions slightly underperformed sub-sectors in which they sold during 3Q (
136、5% vs. 6%).Funds added to positions in Consumer Discretionary sub-sectors such as HouseholdAppliances and Advertising. Funds decreased positions in other ConsumerDiscretionary sub-sectors such as Catalog Retail, Textiles, and Homebuilding.Exhibit 15: Distribution of hedge fund long holdings by secto
137、r (equal-weighted average of 696 hedge funds)Holdings as of September 30, 2012; Pricing as of November 15, 2012Overweight / UnderweightConsumerTelecomInformationConsumerDiscretionaryMaterialsEnergyIndustrialsFinancialsServicesTechnologyHealth CareUtilitiesStaplesHedge Fund WeightOver/(Underweight) (
138、bp)Change vs. last quarter (bp)Mutual Fund WeightOver/(Underweight) (bp)Change vs. last quarter (bp)Russell 3000 WeightRussell 3000 - 3Q 2012 ReturnRussell 3000 - YTD Return18.8608712.5(27)(2)12.86.913.47.0309406.0212213.96.55.911.11486010.255509.66.3(13.2)10.6(31)010.6(27)(28)10.94.34.916.0(39)9817
139、.81402716.44.511.02.3(51)(2)3.458(3)2.89.38.518.2(71)(66)17.0(194)(10)18.92.5(1.8)10.4(124)(64)11.6(3)111.66.49.21.5(196)(46)2.4(110)(14)3.52.4(1.4)4.1(552)(28)8.6(104)(43)9.63.37.2Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Russell 3000 sector perform
140、ance is calculated as median stock in sector.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research5515November 19, 2012United StatesExhibit 16: Largest changes in hedge fund ownership concentration of Russell 3000
141、 sub-sectors during 3Q 2012as of September 30, 2012Top 20 Sub-sectors Hedge Funds BUYING% of Equity Capowned bySub-sectorHedge FundsChangeMktCap3Q30-Jun-1230-Sep-12(bps)($ mil)($ mil)PerformanceMulti-line Insurance5%14%836 bp $7,811$90,2551%Household AppliancesIndependent Power Producers & Energy Tr
142、adersAdvertisingConstruction & EngineeringDiversified Real Estate ActivitiesCommodity ChemicalsThrifts & Mortgage FinanceCoal & Consumable FuelsMotorcycle ManufacturersHome Entertainment SoftwareReal Estate Operating CompaniesConsumer FinanceHuman Resource & Employment ServicesManaged Health CareHou
143、sewares & SpecialtiesSpecialty StoresGeneral Merchandise StoresReal Estate ServicesMortgage REITs5956569655744710981358128878118669558111091463723332322122091701691581431221171151131121099594877830785461893074220767315143263331,5381851,504151615752954569,16325,97927,38446,0763,84313,74448,19119,2509
144、,58720,2512,955134,46916,134132,46614,27767,44680,37611,46562,305698716462(7)(7)812723(3)912Top 20 (median)Russell 3000 (median)Bottom 20 Sub-sectors Hedge Funds SELLING% of Equity Capowned bySub-sector5%Hedge FundsChangeMktCap3Q30-Jun-1230-Sep-12(bps)($ mil)($ mil)PerformanceForest ProductsCatalog
145、RetailSpecialized Consumer ServicesTextilesHomebuildingHealth Care ServicesApparel RetailAirlinesPaper PackagingElectronic Equipment & InstrumentsMarineConsumer ElectronicsEducation ServicesDepartment StoresElectric UtilitiesInsurance BrokersElectronic Manufacturing ServicesFootwearAluminumTrading C
146、ompanies & Distributors18%141141087138483101225345514%10929661273721012243344(411)bp(342)(171)(152)(131)(128)(125)(116)(112)(112)(98)(93)(74)(71)(68)(65)(65)(63)(62)(59)($99)(422)(340)(6)(458)(1,370)(1,551)(413)(225)(213)(48)(108)(96)(380)(2,025)(281)(157)(310)(72)(331)$2,55512,76219,69340637,672112
147、,764130,28633,36821,32719,1884,39312,16811,06354,755307,21444,48224,75251,00311,66257,90211 %1911412714(11)54(9)10(20)1131229(0)4Bottom 20 (median)Russell 3000 (median)Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy
148、Research6%Jan-88 Jan-90 Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-1415016November 19, 2012United StatesSize: Large-cap stocks account for almost 50% of holdingsThe tilt of aggregate hedge fund holdings towards large-cap stocks has been trendinghigher for almost
149、 10 years. Roughly 49% of the aggregate assets of hedge funds wasinvested in stocks with equity capitalizations greater than $10 billion as of 3Q 2012, up from46% in 2Q 2012 and from roughly 35% in 2002.On a longer-term basis, we expect the largest hedge funds with multiple billions of dollarsin ass
150、ets under management will increasingly seek investment opportunities among mid-and large-cap stocks given the difficulty of investing large amounts of capital in small-capcompanies. This trend may contribute to large-cap outperformance in coming quarters.Exhibit 17: Small-caps have performed in line
151、 with large-caps since 200617512510075Large-CapsOutperformingSmall-CapsS&P 500vsRussell 20006 years trading sideways50OutperformingSource: Compustat and Goldman Sachs Global ECS Research.Size: Smaller funds favor small caps, larger funds prefer large capsThe typical hedge fund allocates 34% of its a
152、ssets to stocks with less than $2 billionin equity capitalization and 36% to large-cap stocks ($10+ billion). Mid-cap stocks ($2-$10 billion) account for 30% of the average funds portfolio (Exhibit 18).On an aggregate asset basis, hedge funds allocate just 17% of their assets to small-cap stocks, wh
153、ile 49% is allocated to large caps. The difference between the averageand the aggregate suggests that the hedge funds with the largest assets undermanagement target large-cap stocks.For comparison, mutual funds invest an average of 13% of their portfolios in small-cap stocks and 68% in large-cap sto
154、cks. Similarly, on an aggregate asset basis 12% ofassets are invested in small-cap stocks and 67% is in large-cap stocks.Goldman Sachs Global Economics, Commodities and Strategy Research%ofhedgefundequityportfolio%ofhedgefundequityportfolioEQUAL-WEIGHTMar-01 Mar-02 Mar-03 Mar-04 Mar-05 Mar-06 Mar-07
155、 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Mar-13Mar-01 Mar-02 Mar-03 Mar-04 Mar-05 Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Mar-13 Mar-14%ofaggregatehedgefundassets%ofaggregatehedgefundassetsAGGREGATEMar-01 Mar-02 Mar-03 Mar-04 Mar-05 Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Mar-13 Mar-14M
156、ar-01 Mar-02 Mar-03 Mar-04 Mar-05 Mar-06 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Mar-13 Mar-14Mar-1480%55%17November 19, 2012Exhibit 18: Hedge fund asset allocation by Equity CapitalizationBY NUMERICAL BANDBY CAPITALIZATION BANDUnited States70%60%50%40%Equal-Weighted AverageLarge-cap (Top 500 Stoc
157、ks)49%55%50%45%40%Equal-Weighted AverageSmall-cap (Less than $2 Billion)30%20%Small-cap(Russell 2000)Mid-cap31%20%35%30%Large-cap (Greater than $10 Billion)36%34%30%10%(Bottom Half of Russell 1000)25%Mid-cap (Between $2 and $10 Billion)0%Aggregate Hedge Fund Assets20%Aggregate Hedge Fund Assets70%60
158、%50%40%30%Large-cap (Top 500 Stocks)Mid-cap65%50%45%40%35%30%Large-cap(Greater than $10 Billion)Mid-cap(Between $2 and $10 Billion)49%35%(Bottom Half of Russell 1000)20%20%16%25%10%0%Small-cap (Russell 2000)20%15%Small-cap (Less than $2 Billion)17%Less than$2 Billion to$10 BillionEqual Weighted Aver
159、ageHedge FundsMutual FundsRussell 3000$2 Billion34 %1364$10 Billion30 %2225and Greater36 %6811Aggregate AssetsHedge FundsMutual FundsRussell 300017 %12735 %211849 %6775Median PerformanceRussell 3000 - 2011Russell 3000 - 3Q 2012Russell 3000 - YTD(5)%584%7136%613Source: Lionshares via FactSet, IDC and
160、 Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy ResearchMar-07Mar-08Mar-09Mar-10Mar-11Mar-12Mar-137%618November 19, 2012United StatesHedge funds and ETFs: Hedging tools, not investment vehiclesHedge funds appear to use ETFs more as a hedging tool than as a
161、 directionalinvestment vehicle, based on our analysis of 13-F and short interest filings. Weestimate that hedge funds hold $112 billion in gross exposure to ETFs compared with $1.2trillion of gross exposure to single-stocks. ETFs represent 4% of long holdings, down fromnearly 6% in 1Q 2009 but up fr
162、om early 2011 levels (Exhibit 19).The $79 billion of short ETF positions accounts for 70% of the hedge fund gross ETFexposure. In contrast, single-stock short positions ($374 billion) represent 31% of hedgefund gross single-stock positions. The most shorted ETFs tend to be index hedges(representing
163、$41 billion of the $79 billion short positions). Commodity-related, bond funds,and Emerging Market ETFs appear to make up the majority of ETFs that hedge funds utilizeon the long side (see Exhibit 20).Exhibit 19: ETF long assets total $34 billion, or just 3.9% of total long exposure, as of September
164、 30, 2012Hedge Fund ETF Positioning ($ billions)Sector / DescriptionTelecom ServicesMaterialsConsumer StaplesUtilitiesConsumer DiscretionaryIndustrialsHealth CareInformation TechnologyFinancialsEnergyTotal Sector ETFsIndexOtherTotal ETF OwnershipLong$0.01.50.20.10.20.30.11.11.00.8$5.310.417.8$33.5Sh
165、ort$0.01.80.50.61.01.51.53.13.84.7$18.641.318.9$78.9Gross$0.03.20.70.71.31.71.74.34.85.5$24.051.736.8$112.4Net($0.0)(0.3)(0.3)(0.5)(0.8)(1.2)(1.4)(2.0)(2.8)(3.9)($13.3)(31.0)(1.1)($45.3)6%5%4%3%2%1%0%5.8%Hedge Fund ETF holdings(as % of long portfolio)3.9%Source: Compustat, Lionshares via FactSet, ID
166、C and Goldman Sachs Global ECS Research.Exhibit 20: Hedge fund ETF ownershipHoldings as of September 30, 2012; Pricing as of November 15, 2012Current ETF OwnershipChange from Jun-2012ChangeChangeChangeReturn# of HFLongShortNetin # of HF in Longin ShortETF NameTickerSector/Type3QYTDInvestors($ mil)($
167、 mil)($ mil)Investors HoldingsInterestSPDR S&P 500 ETFSPYIndex6%10 %100$7,831$25,060 $(17,229)$1,021($5,989)SPDR Gold TrustVanguard ETF Emerging MarketsiShares MSCI Emerging Markets Index FundiShares Russell 2000 Index FundPowerShares QQQMarket Vectors ETF Gold MinersEnergy Select Sector SPDR FundiS
168、hares MSCI Brazil (Free) Index FundiShares MSCI EAFE Index FundFinancial Select Sector SPDR FundSPDR S&P MidCap 400 ETF TrustVanguard ETF Dividend AppreciationiShares Gold TrustiShares iBoxx $ High Yield Corporate Bond FundVanguard Total Bond Market ETFiShares Silver TrustiShares Barclays 1-3 Year C
169、redit Bond FundiShares Barclays Lehman 1-3 Year Treasury Bond FundMarket Vectors Junior Gold Miners ETFSPDR S&P Regional Banking ETFiShares iBoxx $ InvesTop Investment Grade Bond FundVanguard Short-Term Bond ETFiShares DJ US Real Estate Index FundiShares Barclays 20+ Year Treasury Bond FundGLDVWOEEM
170、IWMQQQGDXXLEEWZEFAXLFMDYVIGIAUHYGBNDSLVCSJSHYGDXJKRELQDBSVIYRTLTCommoditiesEMEMIndexInfo TechMaterialsEnergyEMDMFinancialsIndexDividendsCommoditiesBondsBondsCommoditiesBondsBondsMaterialsFinancialsBondsBondsFinancialsBonds11665720115675611322610295512(0)988512(11)1(9)818969741720(14)9102107120244140
171、316536342932154922726710311414722157,2712,7192,2261,5611,0399835745135074243882852692602562432272252021931911901871832,6573561,95910,5812,4887672,5381,1671,2211,2761,218222558750332242657549266431,4681,4344,6152,363267(9,020)(1,448)216(1,963)(654)(715)(852)(830)263244(327)205(88)203198145(356)(75)14
172、6(1,281)(1,252)2237(10)34(1)46100(1)45(4)5(1)056(3)(1)3(4)(2,772)7656645016816020518318890174273863(16)1071(11)9173(68)1(18)59478(486)415(3,930)(707)337(309)(612)(417)(617)115(9)(8)(604)423622(99)25(108)(105)24(88)(181)Top 25Others75589128,9464,58656,17022,680(27,225)(18,093)6815781,59231,940(12,773
173、)59,121Total ETF Ownership1,646$33,532$78,850 ($45,318)1646$33,532$46,348Source: Compustat, Lionshares via FactSet, IDC and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research2021222324252628303119November 19, 2012Appendix A: Hedge fund data tablesPopu
174、larity: Most number of hedge fund investorsMost popular: 50 stocks with largest number of hedge fund investorsChange in popularity during 3Q 2012Concentration: Highest percent of market cap held by hedge fundsHighest concentration: Stocks under $1 billion market capHighest concentration: Stocks over
175、 $1 billion market capLargest increase in concentrationLargest decrease in concentrationHighest concentration by Equity Capitalization BandHighest concentration by sectorShort Interest: Highest percent shares outstanding held shortHighest Short Interest: Stocks under $1 billionHighest Short Interest
176、: Stocks over $1 billionGoldman Sachs Global Economics, Commodities and Strategy ResearchUnited States20November 19, 2012Popularity: Most number of hedge fund investorsExhibit 21:POPULARITY: 50 stocks with the largest NUMBER of hedge fund investorsUnited StatesPOPULARITYCONCENTRATIONNumber ofPercent
177、 ofShortAvg DaysEquityHedge FundsEquity Cap ownedTotal Interest Volume toCapOwning Stockby Hedge FundsReturn as % ofLiquidateCompanyTickerSub-sector($ mil)30-Sep-1230-Jun-12 30-Sep-12 ChgYTDMkt Cap HF PositionApple Inc.Google Inc. Cl AAmerican International Group Inc.Microsoft Corp.QUALCOMM Inc.JPMo
178、rgan Chase & Co.Citigroup Inc.Wells Fargo & Co.Bank of America Corp.Yahoo! I Inc.Anadarko Petroleum Corp.Express Scripts Holding CoGeneral Motors Co.Johnson & JohnsoneBay Inc.Pfizer Inc.Cisco Systems Inc.Visa Inc.EMC Corp.A Inc.Schlumberger Ltd.Coca-Cola Co.Oracle Corp.Capital One Financial Corp.Nex
179、en Inc.Freeport-McMoRan Copper & Gold Inc.MasterCard Inc. Cl AGeneral Electric Co.Intel Corp.Mondelez International Inc. Cl AOccidental Petroleum Corp.Valero Energy Corp.Halliburton Co.Procter & Gamble Co.Liberty Media CorpExxon Mobil Corp.National Oilwell Varco Inc.Tyco International Ltd.Equinix In
180、c.Merck & Co IncMonsanto Co.Devon Energy Corp.United Rentals Inc.Dollar General Corp.Hertz Global Holdings Inc.Delta Air Lines Inc.News Corp. Cl AVerizon Communications Inc.Abbott LaboratoriesAverageMedianAAPLGOOGAIGMSFTQCOMJPMCWFCBACYHOOPCLNAPCESRXGMJNJEBAYPFECSCOVEMCAMZNSLBKOORCLCOFNXYFCXMAGEINTCM
181、DLZOXYVLOHALPGLMCAXOMNOVTYCEQIXMRKMONDVNURIDGHTZDALNWSAVZABTComputer HardwareInternet Software & ServicesMulti-line InsuranceSystems SoftwareCommunications EquipmentOther Diversified Financial ServicesOther Diversified Financial ServicesDiversified BanksOther Diversified Financial ServicesInternet S
182、oftware & ServicesInternet RetailOil & Gas Exploration & ProductionHealth Care ServicesAutomobile ManufacturersPharmaceuticalsInternet Software & ServicesPharmaceuticalsCommunications EquipmentData Processing & Outsourced ServicesComputer Storage & PeripheralsInternet RetailOil & Gas Equipment & Ser
183、vicesSoft DrinksSystems SoftwareConsumer FinanceOil & Gas Exploration & ProductionDiversified Metals & MiningData Processing & Outsourced ServicesIndustrial ConglomeratesSemiconductorsPackaged Foods & MeatsIntegrated Oil & GasOil & Gas Refining & MarketingOil & Gas Equipment & ServicesHousehold Prod
184、uctsBroadcastingIntegrated Oil & GasOil & Gas Equipment & ServicesSecurity & Alarm ServicesInternet Software & ServicesPharmaceuticalsFertilizers & Agricultural ChemicalsOil & Gas Exploration & ProductionTrading Companies & DistributorsGeneral Merchandise StoresTruckingAirlinesMovies & Entertainment
185、Integrated Telecommunication ServicesPharmaceuticals$494,447171,49646,120224,389104,424149,737103,254166,19397,97321,15830,79335,17341,44037,396191,41160,196174,20095,13374,90049,63399,92291,815163,394144,33131,85913,34635,39154,528210,35599,66944,62359,88916,37428,174181,33411,157392,74230,07112,24
186、38,518130,11545,25921,2543,49716,0045,9998,07135,746118,79899,898$91,67757,2092311771661371321311261061031011001001009999969391919191898787868383828181807979777676767675757574737372727171707094853%552423121816685152172331231351132562271310411652915221716117%33%519242411231887515128333128243411425522
187、71213441552820231714118%4(0)%(0)14(0)(0)010(0)521(1)0(1)(0)(0)000(0)00(0)522(0)(1)0010(0)(1)11(0)(0)330(0)0(2)51(0)(1)001%031 %035613223418641132(7)1418853141399272618305952315(15)5(20)43(11)3304418731723(15)281722173191618 %172%2111121225114611122211110311411231111113112162712212%125183623311591089
188、263212335331025262174336432218213959221912142285Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Globa
189、l Economics, Commodities and Strategy Research21November 19, 2012Change in popularity during 3Q 2012Exhibit 22:20 stocks with largest POSITIVE changes in POPULARITYUnited StatesPOPULARITYCONCENTRATIONNumber ofPercent ofTotalShortAvg DaysEquityHedge FundsEquity Cap ownedReturnInterest Volume toCapOwn
190、ing Stockby Hedge Fundssinceas % ofLiquidateCompanyTickerSub-sector($ mil)30-Sep-12 Chg30-Sep-12Chg30-Jun-12 Mkt Cap HF PositionAmerican International Group Inc.Nexen Inc.Tronox LtdCapital One Financial Corp.Shaw Group Inc.Chicago Bridge & Iron Co. N.V.Coca-Cola Co.Valero Energy Corp.General Motors
191、Co.General Growth Properties Inc.American Realty Capital Trust IncSunrise Senior Living Inc.Michael Kors Holdings Ltd.Hartford Financial Services Group Inc.AMERIGROUP Corp.PVH Corp.Lamar Advertising Co. Cl ASempra EnergyPNC Financial Services Group Inc.Charles Schwab Corp.AverageMedianAIGNXYTROXCOFS
192、HAWCBIKOVLOGMGGPARCTSRZKORSHIGAGPPVHLAMRSREPNCSCHWMulti-line InsuranceOil & Gas Exploration & ProductionCommodity ChemicalsConsumer FinanceConstruction & EngineeringConstruction & EngineeringSoft DrinksOil & Gas Refining & MarketingAutomobile ManufacturersRetail REITsDiversified REITsHealth Care Fac
193、ilitiesApparel Accessories & Luxury GoodsMulti-line InsuranceManaged Health CareApparel Accessories & Luxury GoodsAdvertisingMulti-UtilitiesRegional BanksInvestment Banking & Brokerage$46,12013,34699631,8592,9073,564163,39416,37437,39617,3971,7088359,6858,9184,6787,6233,17015,76628,75416,232$21,5361
194、1,5151668354865254877999443531626241403937674663547861483228242221201919191717171717171616261919 %24338301715511223620132574223717 %1514 %223251150(0)0215641163111107%4(3)%49(34)060(3)(6)232141961617393841(4)(10)(1)17 %101%021341241310287281233%218252410161333925132013813539347131320 stocks with lar
195、gest NEGATIVE changes in POPULARITYPOPULARITYCONCENTRATIONNumber ofPercent ofTotalShortAvg DaysEquityHedge FundsEquity Cap ownedReturnInterest Volume toCapOwning Stockby Hedge Fundssinceas % ofLiquidateCompanyTickerSub-sector($ mil)30-Sep-12 Chg30-Sep-12Chg30-Jun-12 Mkt Cap HF PositionEastman Chemic
196、al Co.Catamaran CorpDuke Energy Corp.Texas Instruments IncorporatedWellPoint Inc.Kinder Morgan Inc.ON Semiconductor Corp.EOG Resources Inc.First Niagara Financial Group Inc.Williams Companies IncAT&T Inc.DSW Inc. Cl AMicron Technology Inc.Southwest Airlines Co.Panera Bread Co. Cl ADover Corp.NV Ener
197、gy Inc.Avon Products Inc.Entergy Corp.Liquidity Services Inc.AverageMedianEMNCTRXDUKTXNWLPKMIONNNEOGFNFGWMBTDSWMULUVPNRADOVNVEAVPETRLQDTDiversified ChemicalsHealth Care ServicesElectric UtilitiesSemiconductorsManaged Health CareOil & Gas Storage & TransportationSemiconductorsOil & Gas Exploration &
198、ProductionRegional BanksOil & Gas Storage & TransportationIntegrated Telecommunication ServicesApparel RetailSemiconductorsAirlinesRestaurantsIndustrial MachineryElectric UtilitiesPersonal ProductsElectric UtilitiesInternet Software & Services$8,4439,63042,16332,26816,59220,7722,63131,4662,53219,428
199、189,8262,0445,5666,5244,49310,8664,1205,96811,1971,149$21,3849,03646304425595527541949491546272618153016153329(48)(23)(19)(19)(17)(17)(17)(16)(16)(15)(15)(15)(14)(14)(14)(14)(14)(13)(13)(13)(17)(15)12 %4215912359165261111145%5(7)%(9)(6)(0)(3)(4)(1)(2)(3)30(3)(5)(2)(2)(1)(2)(2)(0)(3)(3)%(2)10 %(5)(11
200、)2(14)1(17)29(4)9(4)11(13)(4)14141(13)(5)(28)(1)%(4)2%112212132186363132173%2106315137348142241112744Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and
201、Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research43222November 19, 2012United StatesHighest concentration: Stocks under $1 billion market capExhibit 23:50 stocks UNDER $1 billion with largest hedge fund CONCENTRATION as % of market capPOPULARITYCONCE
202、NTRATIONNumber ofPercent ofShortAvg DaysEquity Hedge FundsEquity Cap ownedTotalInterest Volume toCapOwning Stockby Hedge FundsReturn as % ofLiquidateCompanyTicker Sub-sector($ mil)30-Sep-1230-Jun-12 30-Sep-12 ChgYTDMkt Cap HF PositionFederal-Mogul Corp.Metals USA Holdings Corp.Einstein Noah Restaura
203、nt Group Inc.FDML Auto Parts & EquipmentMUSA SteelBAGL Restaurants$90549630014161280 %766878 %6968(1)%(7)0(52)%27(5)1%11606112356FairPoint Communications Inc.American Railcar Industries Inc.Noranda Aluminum Holding Corp.FRPARIINORIntegrated Telecommunication ServicesConstruction & Farm Machinery & H
204、eavy TruckAluminum198605452202116636257636258(1)016820(23)1822116136118Leap Wireless International Inc.LEAP Wireless Telecommunication Services540195357(35)1923QLT Inc.MagnaChip Semiconductor Corp.QLTIMXBiotechnologySemiconductors3894292522535856564(2)8591018591Natures Sunshine Products Inc.Enzon Ph
205、armaceuticals Inc.Clearwire Corp. Cl ANATR Personal ProductsENZN BiotechnologyCLWR Wireless Telecommunication Services2553267961015334645484744441(1)(4)(3)(6)9361117111111Nordion Inc.NDZLife Sciences Tools & Services418224742(5)(22)0108Ameristar Casinos Inc.WebMD Health Corp.Repros Therapeutics Inc.
206、ASCA Casinos & GamingWBMD Internet Software & ServicesRPRX Pharmaceuticals586703259312911383834414040226(1)(63)1566913563148Central Pacific Financial Corp.CPFRegional Banks599164340(3)91206Career Education Corp.CECO Education Services2531936403(66)630Doral Financial Corp.DRLThrifts & Mortgage Financ
207、e121174139(2)(35)2122Take-Two Interactive Software Inc.TTWO Home Entertainment Software941374039(1)(15)1816Pain Therapeutics Inc.PennyMac Mortgage Investment TrustSunrise Senior Living Inc.Richardson Electronics Ltd.MPG Office Trust Inc.PTIEPMTSRZRELLMPGPharmaceuticalsMortgage REITsHealth Care Facil
208、itiesTechnology DistributorsOffice REITs226973832150191133231101640223134383837363636(2)1562(3)(27)53121(10)40341035196252011570PRGX Global Inc.PRGX Data Processing & Outsourced Services217113635(1)282162Wet Seal Inc. Cl AWTSLA Apparel Retail284203735(2)(10)429TPC Group Inc.TPCG Commodity Chemicals6
209、472828357105431Pendrell Corp.Unwired Planet IncPCOUPIPResearch & Consulting ServicesInternet Software & Services235174151834333434(0)1(57)(23)2213387State Bank Financial Corp.Net 1 U.E.P.S. Technologies Inc.STBZ Regional BanksUEPS Application Software523412161735323433(2)1262095141YM BioSciences Inc
210、.EPL Oil & Gas Inc.Accuride Corp.YMIEPLACWBiotechnologyOil & Gas Exploration & ProductionConstruction & Farm Machinery & Heavy Truck290793221252019343432333332(1)(1)0(7)35(66)145645681Air Transport Services Group Inc.ATSG Air Freight & Logistics283182932(26)123Forest Oil Corp.FSTOil & Gas Exploratio
211、n & Production9992823328(53)1812West Coast Bancorp (Oregon)WCBO Regional Banks435242632536379Harvest Natural Resources Inc.HNROil & Gas Exploration & Production3352429312141621AMAG Pharmaceuticals Inc.NTELOS Holdings CorpS IncAMAG BiotechnologyNTLS Wireless Telecommunication ServicesSPRT Internet So
212、ftware & Services3793692071813112933313131312(2)0(25)(26)92343726880Mueller Water Products Inc.Sealy Corp.Idenix Pharmaceuticals Inc.Zale Corp.Clear Channel Outdoor Holdings Inc.Syneron Medical Ltd.GP Strategies Corp.MWAZZIDIXZLCCCOELOSGPXIndustrial MachineryHome FurnishingsBiotechnologySpecialty St
213、oresAdvertisingHealth Care EquipmentHuman Resource & Employment Services768227595222251345366302126191813103331292829303131313131303029(2)02310(1)9827(38)81(8)(30)5341889411424921193414791Yelp Inc.YELP Internet Software & Services2222232926364AverageMedian$435367201939 %3440 %351%08%(3)6%49680Note:
214、Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman
215、Sachs Global Economics, Commodities and Strategy Research123November 19, 2012United StatesHighest concentration: Stocks over $1 billion market capExhibit 24:50 stocks OVER $1 billion with largest hedge fund CONCENTRATION as % of market capPOPULARITYCONCENTRATIONNumber ofPercent ofShortAvg DaysEquity
216、CapHedge FundsOwning StockEquity Cap ownedby Hedge FundsTotalReturnInterestas % ofVolume toLiquidateCompanyTicker Sub-sector($ mil)30-Sep-1230-Jun-12 30-Sep-12 ChgYTDMkt Cap HF PositionCVR Energy Inc.Nationstar Mortgage Holdings IncCVINSMOil & Gas Refining & MarketingThrifts & Mortgage Finance$3,191
217、2,959212686 %8285 %79(1)%(3)109 %2%34787Loral Space and Communications Inc.LORL Communications Equipment1,510236563(2)47137Dollar Thrifty Automotive Group Inc.Visteon Corp.Six Flags Entertainment Corp.TripAdvisor Inc.DTGVCSIXTRIPTruckingAuto Parts & EquipmentLeisure FacilitiesInternet Retail2,4222,3
218、423,1224,265465942567850554459565650(19)61624(3)414517471322468924SemGroup Corp. Cl ACharter Communications Inc. Cl ASEMG Oil & Gas Storage & TransportationCHTR Cable & Satellite1,5397,5654555414846465(2)3520315799AutoNation Inc.Equinix Inc.Lions Gate Entertainment Corp.Sears Holdings Corp.ANEQIXLGF
219、SHLDAutomotive RetailInternet Software & ServicesMovies & EntertainmentDepartment Stores5,2719,9062,2055,907167526274441424445444444032(1)97387986139772253133Lamar Advertising Co. Cl ALAMR Advertising2,9073931421146836PHH Corp.PHHSpecialized Finance1,1534039413772119Genomic Health Inc.ViaSat Inc.GHD
220、X BiotechnologyVSAT Communications Equipment1,0561,627151340404039(0)(1)8(24)9118466Carters Inc.Navistar International Corp.CRINAVApparel Accessories & Luxury GoodsConstruction & Farm Machinery & Heavy Truck3,1761,447412441353837(3)326(48)4123513Delphi Automotive PLCDLPH Auto Parts & Equipment10,176
221、494436(9)47152Pandora Media Inc.LyondellBasell Industries N.V. Cl AIMAX Corp.PLYBIMAXBroadcastingSpecialty ChemicalsMovies & Entertainment1,84929,7111,3123867303037333534335(3)0(26)531919120265318Tronox LtdTROX Commodity Chemicals1,7345413332(34)242WABCO Holdings Inc.WBCConstruction & Farm Machinery
222、 & Heavy Truck3,686403233132131E*TRADE Financial Corp.ViroPharma Inc.Questcor Pharmaceuticals Inc.ETFC Investment Banking & BrokerageVPHM PharmaceuticalsQCOR Pharmaceuticals2,5142,0741,0794625483129173232322315(1)(13)(39)5134519235NovaGold Resources Inc.NGGold1,5652629322(44)1032Advent Software Inc.
223、ADVS Application Software1,2451031320(13)3111W.R. Grace & CO.GRASpecialty Chemicals4,428463031134230Liberty Global Inc. Cl ALBTYA Cable & Satellite8,778563331(2)34254Macquarie Infrastructure Co. LLCMedicis Pharmaceutical Corp.MICMRXAirport ServicesPharmaceuticals1,9352,525334131153131(0)165430189512
224、Shaw Group Inc.SHAW Construction & Engineering2,879522930163316Fifth & Pacific Companies IncRyman Hospitality Properties Inc.Brookdale Senior Living Inc.J.C. Penney Co. Inc.FNPRHPBKDJCPApparel Accessories & Luxury GoodsHotels Resorts & Cruise LinesHealth Care FacilitiesDepartment Stores1,4451,7492,8
225、445,322353137513718282730302929(7)1112305924(53)131632616263013Comverse Technology Inc.VIVUS Inc.CMVT Application SoftwareVVUS Pharmaceuticals1,3481,787482732262929(3)2(15)55155111US Airways Group Inc.TiVo Inc.LCCTIVOAirlinesApplication Software1,6991,2985041282328280613891610516JDA Software Group I
226、nc.JDAS Application Software1,361212628238318SunCoke Energy Inc.Hillshire Brands CoGenOn Energy Inc.United Rentals Inc.SXCHSHGENURIDiversified Metals & MiningPackaged Foods & MeatsIndependent Power Producers & Energy TradeTrading Companies & Distributors1,1293,2681,9553,032404440733116262928282828(2
227、)121(2)414(11)28533162519228Liberty Media CorpChemtura Corp.AverageMedianLMCA BroadcastingCHMT Specialty Chemicals11,4231,691$3,6482,27476334040273236 %32272738 %331(4)2%1305926 %30138%544354031Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limit
228、ed to stocks with 10 or more hedge fund investors.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research324November 19, 2012Largest increase in con
229、centrationExhibit 25:50 stocks with largest INCREASE in hedge fund CONCENTRATIONUnited StatesPOPULARITYCONCENTRATIONNumber ofPercent ofTotalShortAvg DaysEquityHedge FundsEquity Cap ownedReturnInterest Volume toCapOwning Stockby Hedge Fundssinceas % ofLiquidateCompanyTickerSub-sector($ mil)30-Sep-123
230、0-Jun-12 30-Sep-12 Chg30-Jun-12Mkt Cap HF PositionTronox LtdYelp Inc.Nexen Inc.SeaBright Holdings Inc.Sunesis Pharmaceuticals Inc.Medicis Pharmaceutical Corp.AMERIGROUP Corp.PennyMac Mortgage Investment TrustQuestcor Pharmaceuticals Inc.NII Holdings Inc.American Realty Capital Trust IncChicago Bridg
231、e & Iron Co. N.V.Assisted Living Concepts Inc. Cl AAmerican International Group Inc.BLYTH Inc.Robbins & Myers Inc.Georgia Gulf Corp.Sagent Pharmaceuticals Inc.Hillshire Brands CoCasella Waste Systems Inc. Cl ARyman Hospitality Properties Inc.Lamar Advertising Co. Cl AB/E Aerospace Inc.Office Depot I
232、nc.Home Loan Servicing Solutions Ltd.Coventry Health Care Inc.Kenexa Corp.A.M. Castle & Co.SUPERVALU Inc.Infinity Pharmaceuticals Inc.Calix Inc.DigitalGlobe Inc.Digital Generation IncNRG Energy Inc.American Greetings Corp. Cl AIRIS International Inc.MetroPCS Communications Inc.Dunkin Brands Group In
233、c.Constellation Brands Inc. Cl AAchillion Pharmaceuticals Inc.Forest Oil Corp.GeoEye Inc.CYS Investments IncLogMeIn Inc.Armour Residential REIT Inc.Arch Coal Inc.Colfax CorpSarepta Therapeutics IncHudson City Bancorp Inc.Cincinnati Bell Inc.AverageMedianTROXYELPNXYSBXSNSSMRXAGPPMTQCORNIHDARCTCBIALCA
234、IGBTHRBNGGCSGNTHSHCWSTRHPLAMRBEAVODPHLSSCVHKNXACASSVUINFICALXDGIDGITNRGAMIRISPCSDNKNSTZACHNFSTGEOYCYSLOGMARRACICFXSRPTHCBKCBBCommodity ChemicalsInternet Software & ServicesOil & Gas Exploration & ProductionProperty & Casualty InsuranceBiotechnologyPharmaceuticalsManaged Health CareMortgage REITsPhar
235、maceuticalsWireless Telecommunication ServicesDiversified REITsConstruction & EngineeringHealth Care FacilitiesMulti-line InsuranceHousewares & SpecialtiesIndustrial MachineryCommodity ChemicalsPharmaceuticalsPackaged Foods & MeatsEnvironmental & Facilities ServicesHotels Resorts & Cruise LinesAdver
236、tisingAerospace & DefenseSpecialty StoresThrifts & Mortgage FinanceManaged Health CareApplication SoftwareSteelFood RetailBiotechnologyCommunications EquipmentAerospace & DefenseAdvertisingIndependent Power Producers & Energy TradersHousewares & SpecialtiesHealth Care EquipmentWireless Telecommunica
237、tion ServicesRestaurantsDistillers & VintnersBiotechnologyOil & Gas Exploration & ProductionAerospace & DefenseMortgage REITsInternet Software & ServicesMortgage REITsCoal & Consumable FuelsIndustrial MachineryBiotechnologyThrifts & Mortgage FinanceIntegrated Telecommunication Services$99629313,3462
238、472012,4994,6781,3441,4658701,7083,56416146,1202702,5071,3904163,2271581,4273,1704,4398445405,7031,2672705448352721,1212664,4724873533,8053,1445,1505907476532,0615181,9071,3523,3166624,152971$2,8471,19454228319124141324825355412166273442114420313931202238241131202034164220104136402628201815193426133
239、92232281%315615922173721351151231614183196171073121314155792128812235312461233169%933 %2924232331253732182217271925182415282530421916272017122223232414161810201617203213102011131910102321 %2032 %26221817161615151515151414131312121211111111111010101010109999999888888887777712 %10(34)%(24)492436263922
240、(53)(50)1(3)(44)(3)(54)4257(18)(8)(26)(0)41(2)3735345810(51)56(31)57(22)14187373(12)2420(14)87(12)(31)(4)(7)28593263122 %162%360298744533343114812331682102122040981122843231121418491532171611511 %8245253425121335671313331816131142195821392210191412137352023710101910121113910816522139291713Note: Base
241、d on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sach
242、s Global Economics, Commodities and Strategy Research9244425November 19, 2012Largest decrease in concentrationExhibit 26:50 stocks with largest DECREASE in hedge fund CONCENTRATIONUnited StatesPOPULARITYCONCENTRATIONNumber ofPercent ofTotalShortAvg DaysEquityHedge FundsEquity Cap ownedReturnInterest
243、 Volume toCapOwning Stockby Hedge Fundssinceas % ofLiquidateCompanyTicker Sub-sector($ mil)30-Sep-1230-Jun-12 30-Sep-12 Chg30-Jun-12 Mkt Cap HF PositionYouku Tudou Inc. ADRYOKU Internet Software & Services$2,2362147 %13 %(33)%(18)%4%Apollo Residential Mortgage Inc.AMTG Mortgage REITs46212319(22)345D
244、ollar Thrifty Automotive Group Inc.Aircastle Ltd.DTGAYRTruckingTrading Companies & Distributors2,441779462278275913(19)(14)7(6)1722220Cynosure Inc. Cl ACYNO Health Care Equipment220132613(13)0414Wellcare Health Plans Inc.FXCM Inc.Aeropostale Inc.Edgen Group Inc CL AWCGFXCMAROEDGManaged Health CareIn
245、vestment Banking & BrokerageApparel RetailTrading Companies & Distributors2,0153311,05511939103813271823401461129(13)(12)(12)(11)(12)(17)(27)(12)686378422Consolidated Communications Holdings Inc.CNSL Integrated Telecommunication Services5381013(11)(5)Pozen Inc.Oclaro Inc.Catamaran CorpSurModics Inc.
246、Amarin Corp. PLC ADSOnyx Pharmaceuticals Inc.Delphi Automotive PLCPOZN PharmaceuticalsOCLR Communications EquipmentCTRX Health Care ServicesSRDX Health Care EquipmentAMRN BiotechnologyONXX BiotechnologyDLPH Auto Parts & Equipment1601029,6302661,6834,82010,060111130123242492217131819234411749101436(1
247、1)(10)(9)(9)(9)(9)(9)(15)(63)(5)5(22)824661213911286203652Kemet Corp.Spectrum Pharmaceuticals Inc.OmniVision Technologies Inc.Shutterfly Inc.KEMSPPIOVTISFLYElectronic Manufacturing ServicesBiotechnologySemiconductorsInternet Retail177639702944202024312420192915121222(9)(8)(8)(8)(34)(31)(2)(15)451142
248、218437Metals USA Holdings Corp.BroadSoft Inc.MUSA SteelBSFT Application Software528863161576176910(7)(7)(10)71181194Fifth & Pacific Companies IncEastman Chemical Co.OCZ Technology Group Inc.Louisiana-Pacific Corp.Medley Capital Corp.Bonanza Creek Energy Inc.FNPEMNOCZLPXMCCBCEIApparel Accessories & L
249、uxury GoodsDiversified ChemicalsComputer Storage & PeripheralsForest ProductsAsset Management & Custody BanksOil & Gas Exploration & Production1,2668,443852,08431985135462540101137202327181430121720117(7)(7)(7)(7)(6)(6)410(76)3818281323916421410481210HeartWare International IncArkansas Best Corp.HTW
250、R Health Care EquipmentABFS Trucking1,1501681215121558(6)(6)(9)(48)13766PLX Technology Inc.PLXTSemiconductors185222417(6)(35)618SodaStream International Ltd.MedAssets Inc.SODA Household AppliancesMDAS Health Care Technology683931192027232116(6)(6)(17)17413418JAKKS Pacific Inc.Stoneridge Inc.PharMeri
251、ca Corp.Lender Processing Services Inc.InterMune Inc.CareFusion Corp.Allot Communications Ltd.Duke Energy Corp.KeyCorpCentene Corp.Walter Investment Management Corp.JAKKSRIPMCLPSITMNCFNALLTDUKKEYCNCWACLeisure ProductsAuto Parts & EquipmentHealth Care DistributorsData Processing & Outsourced Services
252、BiotechnologyHealth Care EquipmentSystems SoftwareElectric UtilitiesRegional BanksManaged Health CareAsset Management & Custody Banks2701283891,9955315,97467242,1637,4792,1821,3811416173822371744462724171816183518128111326111210122912625820(6)(6)(6)(6)(6)(6)(6)(6)(6)(6)(6)(23)(32)21(7)(33)4(25)(11)4
253、4065132622014117112610101115534422Alkermes PLCHeritage Financial Group Inc.ALKS BiotechnologyHBOS Thrifts & Mortgage Finance2,50110122121233628(6)(6)12(4)538109FreightCar America Inc.RAILConstruction & Farm Machinery & Heavy Truck2251094(5)(18)54Theravance Inc.S Inc.AverageMedianTHRX BiotechnologyST
254、MP Internet Software & Services1,978379$2,54974114102420251124 %2020515 %12(5)(5)(9)%(7)(9)(1)(7)%(6)1069%5383158Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors.Holdings as of September 30, 20
255、12; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research43118226November 19, 2012Highest concentration by Equity Capitalization BandExhibit 27:10 stocks in seven EQUITY CAP BANDS w
256、ith largest hedge fund CONCENTRATIONUnited StatesPOPULARITYCONCENTRATIONEquityNumber ofPercent ofShortAvg DaysCapHedge FundsEquity Cap ownedTotalInterest Volume to($ mil)Owning Stockby Hedge FundsReturnas % ofLiquidateCompanyTickerSub-sector30-Sep-1230-Sep-1230-Jun-12 30-Sep-12ChgYTDMkt Cap HF Posit
257、ion$100 to $500 MillionMetals USA Holdings Corp.Einstein Noah Restaurant Group Inc.FairPoint Communications Inc.Noranda Aluminum Holding Corp.QLT Inc.MagnaChip Semiconductor Corp.Natures Sunshine Products Inc.Enzon Pharmaceuticals Inc.Nordion Inc.Repros Therapeutics Inc.MUSABAGLFRPNORQLTIMXNATRENZNN
258、DZRPRXSteelRestaurantsIntegrated Telecommunication ServicesAluminumBiotechnologySemiconductorsPersonal ProductsBiotechnologyLife Sciences Tools & ServicesPharmaceuticals$4963001984523894292553264182591612201625221015221176 %68635753584645473469 %686358565647444240(7)%0(1)14(2)1(1)(5)627 %(5)68(23)85
259、9(3)(6)(22)1561%118210360131123561161181859117111110848$500 MIllion to $1 BillionFederal-Mogul Corp.American Railcar Industries Inc.Leap Wireless International Inc.Clearwire Corp. Cl AAmeristar Casinos Inc.WebMD Health Corp.Central Pacific Financial Corp.Take-Two Interactive Software Inc.PennyMac Mo
260、rtgage Investment TrustSunrise Senior Living Inc.FDMLARIILEAPCLWRASCAWBMDCPFTTWOPMTSRZAuto Parts & EquipmentConstruction & Farm Machinery & Heavy TrucksWireless Telecommunication ServicesWireless Telecommunication ServicesCasinos & GamingInternet Software & ServicesRegional BanksHome Entertainment S
261、oftwareMortgage REITsHealth Care Facilities$9056055407965867035999419738321421193331291637323180 %62534838384340223178 %625744414040393736(1)%0(4)22(3)(1)156(52)%20(35)9(1)(63)9(15)531211%219116911841060613623115631206162520$1 Billion to $5 BillionCVR Energy Inc.Nationstar Mortgage Holdings IncLoral
262、 Space and Communications Inc.Dollar Thrifty Automotive Group Inc.Visteon Corp.Six Flags Entertainment Corp.TripAdvisor Inc.SemGroup Corp. Cl ALions Gate Entertainment Corp.Lamar Advertising Co. Cl ACVINSMLORLDTGVCSIXTRIPSEMGLGFLAMROil & Gas Refining & MarketingThrifts & Mortgage FinanceCommunicatio
263、ns EquipmentTruckingAuto Parts & EquipmentLeisure FacilitiesInternet RetailOil & Gas Storage & TransportationMovies & EntertainmentAdvertising$3,1912,9591,5102,4222,3423,1224,2651,5392,2052,9072126234659425645263986 %82657850554441423185 %796359565650464442(1)%(3)(2)(19)6165211109 %4724(3)4145358746
264、2%174713398478713722468924573136$5 Billion to $10 BillionCharter Communications Inc. Cl AAutoNation Inc.Equinix Inc.Sears Holdings Corp.Liberty Global Inc. Cl AJ.C. Penney Co. Inc.CHTRANEQIXSHLDLBTYAJCPCable & SatelliteAutomotive RetailInternet Software & ServicesDepartment StoresCable & SatelliteDe
265、partment Stores$7,5655,2719,9065,9078,7785,32255167527565148 %444144332746 %4544443129(2)%03(1)(2)220 %9739834(53)1%6137226997225335413Sensata Technologies Holding N.V.STElectrical Components & Equipment5,28828242562TransDigm Group Inc.Liberty Global Class CHertz Global Holdings Inc.TDGLBTYKHTZAeros
266、pace & DefenseCable & SatelliteTrucking7,3006,2975,771353172252422252423(1)(0)14430222073210118$10 Billion to $20 BillionDelphi Automotive PLCLiberty Media CorpNexen Inc.Yahoo! Inc.Dollar General Corp.Michael Kors Holdings Ltd.Canadian Pacific Railway Ltd.Motorola Solutions Inc.Cigna CorporationPion
267、eer Natural Resources Co.DLPHLMCANXYYHOODGKORSCPMSICIPXDAuto Parts & EquipmentBroadcastingOil & Gas Exploration & ProductionInternet Software & ServicesGeneral Merchandise StoresApparel Accessories & Luxury GoodsRailroadsCommunications EquipmentManaged Health CareOil & Gas Exploration & Production$1
268、0,17611,42313,43018,92417,19910,62114,23114,47313,60212,84549768310172623347515344 %2711815161618141236 %272423202018171414(9)%1225542(0)0147 %3059111778351621151%1022212295244251324144022139Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limited
269、to stocks with 10 or more hedge fund investors.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research811127November 19, 2012Exhibit 27 contd:10 sto
270、cks in seven EQUITY CAP BANDS with largest hedge fund CONCENTRATIONUnited StatesPOPULARITYCONCENTRATIONEquityNumber ofPercent ofShortAvg DaysCapHedge FundsEquity Cap ownedTotalInterest Volume to($ mil)Owning Stockby Hedge FundsReturnas % ofLiquidateCompanyTickerSub-sector30-Sep-1230-Sep-1230-Jun-12
271、30-Sep-12ChgYTDMkt Cap HF Position$20 Billion to $50 BillionLyondellBasell Industries N.V. Cl A Inc.News Corp. Cl ATyco International Ltd.General Dynamics Corp.LYBPCLNNWSATYCGDSpecialty ChemicalsInternet RetailMovies & EntertainmentSecurity & Alarm ServicesAerospace & Defense$29,71130,84538,36625,99
272、223,3266710071754637 %1616101234 %18141312(3)%2(1)3153 %323118(4)1%5211539153828Cognizant Technology Solutions Corp.CTSHIT Consulting & Other Services20,867501012Kinder Morgan Inc.Williams Companies IncCapital One Financial Corp.Anadarko Petroleum Corp.KMIWMBCOFAPCOil & Gas Storage & TransportationO
273、il & Gas Storage & TransportationConsumer FinanceOil & Gas Exploration & Production20,14521,90833,12334,938554986100136369988(4)35131830(7)1211139109Greater than $50 BillionAmerican International Group Inc.Visa Inc.Express Scripts Holding CoGoogle Inc. Cl AeBay Inc.MasterCard Inc. Cl AQUALCOMM Inc.M
274、ondelez International Inc. Cl ACitigroup Inc.Gilead Sciences Inc.AIGVESRXGOOGEBAYMAQCOMMDLZCGILDMulti-line InsuranceData Processing & Outsourced ServicesHealth Care ServicesInternet Software & ServicesInternet Software & ServicesData Processing & Outsourced ServicesCommunications EquipmentPackaged F
275、oods & MeatsOther Diversified Financial ServicesBiotechnology$53,45270,82350,777197,65862,33354,035106,40873,38295,95150,18316691100177968213280126585%78555433419 %87554444414 %0(1)(0)(0)(1)(0)11035 %39140532313534781%21211112321111066661123Note: Based on analysis of 696 hedge funds with $818 billio
276、n of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Rese
277、arch28November 19, 2012United StatesHighest concentration by sectorExhibit 28:10 stocks in each SECTOR with largest hedge fund CONCENTRATION as % of market capPOPULARITYCONCENTRATIONNumber ofPercent ofShortAvg DaysEquityHedge FundsEquity Cap ownedTotal Interest Volume toCapOwning Stockby Hedge Funds
278、Return as % ofLiquidateCompanyTickerSub-sector($ mil)30-Sep-1230-Jun-12 30-Sep-12 ChgYTD Mkt Cap HF PositionConsumer DiscretionaryFederal-Mogul Corp.Einstein Noah Restaurant Group Inc.Visteon Corp.Six Flags Entertainment Corp.TripAdvisor Inc.Charter Communications Inc. Cl AAutoNation Inc.Lions Gate
279、Entertainment Corp.Sears Holdings Corp.Lamar Advertising Co. Cl AFDMLBAGLVCSIXTRIPCHTRANLGFSHLDLAMRAuto Parts & EquipmentRestaurantsAuto Parts & EquipmentLeisure FacilitiesInternet RetailCable & SatelliteAutomotive RetailMovies & EntertainmentDepartment StoresAdvertising$6932502,5642,9844,7416,9264,
280、9052,2706,2253,1701412594256551626273980 %68505544484442443178 %685656504645444442(1)%0616(2)02(1)11(52)%(5)(3)41452098798461%14713169784642975185279167323539Consumer StaplesNatures Sunshine Products Inc.Hillshire Brands CoHain Celestial Group Inc.Ralcorp Holdings Inc.Cott Corp.Rite Aid Corp.Central
281、 Garden & Pet Co.Alliance One International Inc.SUPERVALU Inc.Beam IncNATRHSHHAINRAHCOTRADCENTAOISVUBEAMPersonal ProductsPackaged Foods & MeatsPackaged Foods & MeatsPackaged Foods & MeatsSoft DrinksDrug RetailHousehold ProductsTobaccoFood RetailDistillers & Vintners$2363,2272,7263,854785922129263544
282、8,5361044303120341314314246 %16211924232325122247 %2827252423232322211%1266(1)(0)0(3)10(1)(3)%461(3)32(19)2910(68)63%3101041640115819223561254969742EnergyCVR Energy Inc.SemGroup Corp. Cl AEPL Oil & Gas Inc.Forest Oil Corp.Harvest Natural Resources Inc.Endeavour International Corp.Cheniere Energy Inc
283、.Energy XXI (Bermuda) Ltd.Nexen Inc.Quicksilver Resources Inc.CVISEMGEPLFSTHNRENDLNGEXXINXYKWKOil & Gas Refining & MarketingOil & Gas Storage & TransportationOil & Gas Exploration & ProductionOil & Gas Exploration & ProductionOil & Gas Exploration & ProductionOil & Gas Exploration & ProductionOil &
284、Gas Storage & TransportationOil & Gas Exploration & ProductionOil & Gas Exploration & ProductionOil & Gas Exploration & Production$3,4041,4737737473312853,2302,60613,3464642145202824183533832086 %4134232931192512085 %463332312725252423(1)%5(1)82(4)60223109 %3535(53)14(30)66459(60)2%34181618860175055
285、559211810192510FinancialsNationstar Mortgage Holdings IncNSMThrifts & Mortgage Finance$2,2732682 %79 %(3)%3%67PHH Corp.Central Pacific Financial Corp.Doral Financial Corp.PennyMac Mortgage Investment TrustMPG Office Trust Inc.State Bank Financial Corp.E*TRADE Financial Corp.West Coast Bancorp (Orego
286、n)Hudson Pacific Properties Inc.PHHCPFDRLPMTMPGSTBZETFCWCBOHPPSpecialized FinanceRegional BanksThrifts & Mortgage FinanceMortgage REITsOffice REITsRegional BanksInvestment Banking & BrokerageRegional BanksOffice REITs1,072587801,3441604902,245410829401617321616462453943412238353126304140393736343232
287、303(3)(2)15(3)(2)25(0)779(35)53402(1)363221124525331820280355890177576Health CareQLT Inc.Enzon Pharmaceuticals Inc.Nordion Inc.Repros Therapeutics Inc.Genomic Health Inc.Pain Therapeutics Inc.Sunrise Senior Living Inc.YM BioSciences Inc.ViroPharma Inc.Questcor Pharmaceuticals Inc.QLTIENZNNDZRPRXGHDX
288、PTIESRZYMIVPHMQCORBiotechnologyBiotechnologyLife Sciences Tools & ServicesPharmaceuticalsBiotechnologyPharmaceuticalsHealth Care FacilitiesBiotechnologyPharmaceuticalsPharmaceuticals$4012793972118451258352391,5681,4652515221115133125254853 %45473440403134291756 %4442404038363332324%(1)(5)6(0)(2)6(1)
289、3158%(6)(22)1568(27)121(7)(13)(39)1%60139310113451919510339671082053186Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source
290、: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research439329November 19, 2012United StatesExhibit 28 contd:10 stocks in each SECTOR with largest hedge fund CONCENTRATION as % of market capPOPULARITYCONCENTRATIONNumber of
291、Percent ofShortAvg DaysEquityHedge FundsEquity Cap ownedTotal Interest Volume toCapOwning Stockby Hedge FundsReturn as % ofLiquidateCompanyTickerSub-sector($ mil)30-Sep-1230-Jun-12 30-Sep-12 ChgYTD Mkt Cap HF PositionIndustrialsAmerican Railcar Industries Inc.Dollar Thrifty Automotive Group Inc.Navi
292、star International Corp.Pendrell Corp.WABCO Holdings Inc.Accuride Corp.Air Transport Services Group Inc.Mueller Water Products Inc.Macquarie Infrastructure Co. LLCShaw Group Inc.ARIIDTGNAVPCOWBCACWATSGMWAMICSHAWConstruction & Farm Machinery & HeaTruckingConstruction & Farm Machinery & HeaResearch &
293、Consulting ServicesConstruction & Farm Machinery & HeaConstruction & Farm Machinery & HeaAir Freight & LogisticsIndustrial MachineryAirport ServicesConstruction & Engineering$6122,4411,5662283,6271132257451,9232,9072146241540191830335262 %78353432322933312962 %5937343332323131300%(19)3(0)103(2)(0)12
294、0 %24(48)(57)32(66)(26)9854632%171221524131382214129314298419516Information TechnologyLoral Space and Communications Inc.MagnaChip Semiconductor Corp.Equinix Inc.WebMD Health Corp.ViaSat Inc.Take-Two Interactive Software Inc.Richardson Electronics Ltd.PRGX Global Inc.Unwired Planet IncNet 1 U.E.P.S.
295、 Technologies Inc.LORLMXEQIXWBMDVSATTTWORELLPRGXUPIPUEPSCommunications EquipmentSemiconductorsInternet Software & ServicesInternet Software & ServicesCommunications EquipmentHome Entertainment SoftwareTechnology DistributorsData Processing & Outsourced ServicInternet Software & ServicesApplication S
296、oftware$1,6794278,5186891,5481,0481351931093712322752913371011181765 %58413840403436333263 %564440393936353433(2)%(2)32(1)(1)2(1)1147 %5973(63)(24)(15)(10)28(23)61%013911183220152912130631810414455127MaterialsMetals USA Holdings Corp.Noranda Aluminum Holding Corp.TPC Group Inc.LyondellBasell Industr
297、ies N.V. Cl ATronox LtdNovaGold Resources Inc.W.R. Grace & CO.SunCoke Energy Inc.Chemtura Corp.Clearwater Paper Corp.MUSANORTPCGLYBTROXNGGRASXCCHMTCLWSteelAluminumCommodity ChemicalsSpecialty ChemicalsCommodity ChemicalsGoldSpecialty ChemicalsDiversified Metals & MiningSpecialty ChemicalsPaper Produ
298、cts$52837675826,1199961,2124,6391,1081,7678791616286754264640332076 %5728371293031322869 %583534333231282725(7)%17(3)3221(2)(4)(3)27 %(23)10553(34)(44)34415961%2412102532119983646242531243748Telecommunication ServicesFairPoint Communications Inc.Leap Wireless International Inc.Clearwire Corp. Cl ANT
299、ELOS Holdings CorpHawaiian Telcom Holdco Inc.Primus Telecommunications Group Inc.Cincinnati Bell Inc.MetroPCS Communications Inc.NII Holdings Inc.Vonage Holdings Corp.FRPLEAPCLWRNTLSHCOMPTGICBBPCSNIHDVGIntegrated Telecommunication ServiceWireless Telecommunication ServicesWireless Telecommunication
300、ServicesWireless Telecommunication ServicesIntegrated Telecommunication ServiceIntegrated Telecommunication ServiceIntegrated Telecommunication ServiceWireless Telecommunication ServicesWireless Telecommunication ServicesAlternative Carriers$1914751,4653091721889713,8058704882019331314162241252263 %
301、5348332927161231463 %574431292623201815(1)%(4)(2)(0)(1)715168 %(35)9(26)8146120(76)(10)18 %1911441533311221205768752910718UtilitiesGenOn Energy Inc.Calpine Corp.NRG Energy Inc.CenterPoint Energy Inc.CMS Energy Corp.ITC Holdings Corp.OGE Energy Corp.Southwest Gas Corp.National Fuel Gas Co.CH Energy G
302、roup Inc. (Holding Co.)GENCPNNRGCNPCMSITCOGESWXNFGCHGIndependent Power Producers & EnerIndependent Power Producers & EnerIndependent Power Producers & EnerMulti-UtilitiesMulti-UtilitiesElectric UtilitiesElectric UtilitiesGas UtilitiesGas UtilitiesMulti-Utilities$1,8017,7944,4728,1776,0443,8975,4881,
303、8234,0929694046423031152113161026 %187546445328 %201655555541%2911(1)11(0)1(11)%39(1)811(4)(10)153%1813912322028106671112711Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors.Holdings as of Septe
304、mber 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research30November 19, 2012United StatesHighest short interest: Stocks under $1 billionExhibit 29:50 stocks UNDER $1 bill
305、ion with largest SHORT INTEREST as % of market capPOPULARITYCONCENTRATIONNumber ofPercent ofShortAvg DaysEquityHedge FundsEquity Cap ownedTotal Interest Volume toCapOwning Stockby Hedge FundsReturn as % ofLiquidateCompanyTickerSub-sector($ mil)30-Sep-1230-Jun-12 30-Sep-12 ChgYTDMkt Cap HF PositionSp
306、ectrum Pharmaceuticals Inc.American Greetings Corp. Cl ASodaStream International Ltd.SUPERVALU Inc.OpenTable Inc.Sturm Ruger & Co.OCZ Technology Group Inc.Skullcandy Inc.RadioShack Corp.Yelp Inc.Diamond Foods Inc.MAKO Surgical Corp.Sequenom Inc.Dendreon Corp.ITT Educational Services Inc.GT Advanced
307、Technologies Inc.Valassis Communications Inc.AK Steel Holding Corp.Overseas Shipholding Group Inc.Corinthian Colleges Inc.World Acceptance Corp.Titan International Inc.Bio-Reference Laboratories Inc.Heckmann Corp.Blue Nile Inc.Radian Group Inc.Comstock Resources Inc.McClatchy Co. Cl AVelti PLCSilico
308、n Graphics International CorpGlu Mobile Inc.Constant Contact Inc.Hovnanian Enterprises Inc. Cl AHHGregg Inc.Rubicon Technology Inc.Vera Bradley Inc.Digital Generation IncBeazer Homes USA Inc.Abiomed Inc.Exelixis Inc.USANA Health Sciences Inc.Synaptics Inc.Monster Worldwide Inc.A.M. Castle & Co.Magnu
309、m Hunter Resources Corp.Goodrich Petroleum Corp.Basic Energy Services Inc.InterMune Inc.Barnes & Noble Inc.Quad/Graphics Inc.AverageMedianSPPIAMSODASVUOPENRGROCZSKULRSHYELPDMNDMAKOSQNMDNDNESIGTATVCIAKSOSGCOCOWRLDTWIBRLIHEKNILERDNCRKMNIVELTSGIGLUUCTCTHOVHGGRBCNVRADGITBZHABMDEXELUSNASYNAMWWCASMHRGDPBA
310、SITMNBKSQUADBiotechnologyHousewares & SpecialtiesHousehold AppliancesFood RetailInternet Software & ServicesLeisure ProductsComputer Storage & PeripheralsConsumer ElectronicsComputer & Electronics RetailInternet Software & ServicesPackaged Foods & MeatsHealth Care EquipmentLife Sciences Tools & Serv
311、icesBiotechnologyEducation ServicesSemiconductor EquipmentPublishingSteelOil & Gas Storage & TransportationEducation ServicesConsumer FinanceConstruction & Farm Machinery & HeaHealth Care ServicesOil & Gas Equipment & ServicesInternet RetailThrifts & Mortgage FinanceOil & Gas Exploration & Productio
312、nPublishingInternet Software & ServicesComputer HardwareHome Entertainment SoftwareInternet Software & ServicesHomebuildingComputer & Electronics RetailSemiconductor EquipmentApparel Accessories & Luxury GoodsAdvertisingHomebuildingHealth Care EquipmentBiotechnologyPersonal ProductsComputer Storage
313、& PeripheralsInternet Software & ServicesSteelOil & Gas Exploration & ProductionOil & Gas Exploration & ProductionOil & Gas Equipment & ServicesBiotechnologySpecialty StoresCommercial Printing$63948768354497593185234204293339631426627404386942402171748428966845314465237611762742561403775202821361,10
314、2266324550865632797641270578297389531881520$4985042020193128162510222211281623242620181219142710201323181515132013241016181622281518192311181813222614191920 %92712291723773122418632101681117227161113121910101741113475161223963418735172013 %1112 %182122291917362910211882891871016211225812918812142101
315、2711142015459412517529141613 %12(8)%9(6)1012(7)(4)(1)26(2)(3)02(4)(1)2(1)(2)(1)(1)51(0)(3)(1)(3)(1)(1)2(3)(2)(1)(1)34943120(2)100(2)(2)(6)(3)(5)0%(1)(27)%394(68)1049(81)(32)(78)(52)(45)(17)(47)(70)(55)25(55)(95)(6)(11)(3)52(49)(13)68321(36)(32)(32)(47)205(44)(36)(16)(19)6(25)(1)44(20)(31)23(36)(40)(
316、53)(36)216(15)%(25)51 %4341404040393837363633303029292828272726262525252525242424242323232222222222222121212020202020202028 %2541047784225277215491311197233321857413104675113761132511162365Note: Based on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limited to
317、 stocks with 10 or more hedge fund investors.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research684331November 19, 2012Highest short interest: S
318、tocks over $1 billionExhibit 30:50 stocks OVER $1 billion with largest SHORT INTEREST as % of market capUnited StatesPOPULARITYCONCENTRATIONNumber ofPercent ofShortAvg DaysEquityHedge FundsEquity Cap ownedTotalInterest Volume toCapOwning Stockby Hedge FundsReturn as % ofLiquidateCompanyTicker Sub-se
319、ctor($ mil)30-Sep-1230-Jun-12 30-Sep-12 ChgYTDMkt Cap HF PositionQuestcor Pharmaceuticals Inc.QCOR Pharmaceuticals$1,4654817 %32 %15 %(39)%45 %KB HomeKBHHomebuilding1,05123128(4)105401Deckers Outdoor Corp.DECK Footwear1,072373025(5)(60)374GameStop Corp. Cl APolypore International Inc.GMEPPOComputer
320、& Electronics RetailElectrical Components & Equipment3,0241,715311412141315114(16)373656Coinstar Inc.First Solar Inc.CSTR Specialized Consumer ServicesFSLR Semiconductors1,3372,02338342782313(4)5(3)(31)333352NII Holdings Inc.Safeway Inc.Zillow Inc. Cl ANIHDSWYZWireless Telecommunication ServicesFood
321、 RetailReal Estate Services8703,9056052539283525187261522(76)(20)43331297210Green Mountain Coffee Roasters Inc.GMCR Packaged Foods & Meats3,6473212(48)29Netflix Inc.NFLX Internet Retail4,526441212(0)18281Pitney Bowes Inc.R.R. Donnelley & Sons Co.PBIRRDOffice Services & SuppliesCommercial Printing2,2
322、061,7073530374811(34)(28)282835Westport Innovations Inc.WPRT Construction & Farm Machinery & Hea 1,42028560(23)272United States Steel Corp.Tesla Motors Inc.Molycorp Inc.J.C. Penney Co. Inc.XTSLAMCPJCPSteelAutomobile ManufacturersDiversified Metals & MiningDepartment Stores2,9063,5078363,617302727514
323、41127628292(2)(3)2(23)8(75)(53)272726261229Universal Display Corp.PANL Electronic Components1,068312320(2)(37)258DreamWorks Animation SKG Inc. Cl ACARBO Ceramics Inc.Alpha Natural Resources Inc.Frontier Communications Corp.Illumina Inc.Ciena Corp.Shutterfly Inc.DWACRRANRFTRILMNCIENSFLYMovies & Enter
324、tainmentOil & Gas Equipment & ServicesCoal & Consumable FuelsIntegrated Telecommunication ServiceLife Sciences Tools & ServicesCommunications EquipmentInternet Retail1,4811,6801,5634,3435,9551,412944181344273827319415881329941877822(0)(0)3(1)(1)(5)(8)17(40)(65)(9)581615252523232322229235427Arena Pha
325、rmaceuticals Inc.Vistaprint N.V.ARNA BiotechnologyVPRT Internet Software & Services1,7471,00113111175174(0)330(5)2222111Lennar Corp. Cl ALumber Liquidators Holdings Inc.PHH Corp.Arch Coal Inc.LENLLPHHACIHomebuildingHome Improvement RetailSpecialized FinanceCoal & Consumable Fuels5,5691,3831,0721,352
326、631740341493961154113(3)(4)377918977(55)2222212132182Seattle Genetics Inc.SGEN Biotechnology2,843151717(0)432118Lexmark International Inc.LXKComputer Storage & Peripherals1,50625352(27)212Clean Energy Fuels Corp.Insulet Corp.CLNE Oil & Gas Refining & MarketingPODD Health Care Equipment1,110984121527
327、28(0)1282120112USG Corp.USGBuilding Products2,5873512120137204Veeco Instruments Inc.VECO Semiconductor Equipment1,05320108(2)29203DeVry Inc.Advanced Micro Devices Inc.Bill Barrett Corp.IMAX Corp.DVAMDBBGIMAXEducation ServicesSemiconductorsOil & Gas Exploration & ProductionMovies & Entertainment1,586
328、1,3318461,4391927163010383313211332(1)30(35)(65)(48)192020202071420Alliance Data Systems Corp.ADSData Processing & Outsourced Service 6,9452376(0)34195Cliffs Natural Resources Inc.CLFSteel5,02342693(42)193C&J Energy Services Inc.CJES Oil & Gas Equipment & Services964211210(2)(13)195Regal Entertainme
329、nt Group3D Systems Corp.Fusion-io Inc.RGCDDDFIOMovies & EntertainmentComputer HardwareComputer Storage & Peripherals1,9472,1562,08127153312113143912(3)30162(10)1919191023Aruba Networks Inc.AverageMedianARUN Communications Equipment2,208$2,1721,574192828412 %10612 %1021%058%(7)1925 %22253Note: Based
330、on analysis of 696 hedge funds with $818 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors.Holdings as of September 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC, and Goldman Sachs Global ECS Research.Goldman Sachs
331、Global Economics, Commodities and Strategy Research32November 19, 2012United StatesAppendix B: Drawbacks of our hedge fund holding analysisData limitationsOne weakness of our analysis is that it excludes any synthetic positions thathedge funds may create through the use of derivative contracts (opti
332、ons, swaps,futures). Such financial instruments are not required to be disclosed in public filings.We track both natural and leveraged long positions based on filings of hedge fund holdings.However, a hedge fund could offset a long position that we are able to monitor with asynthetic short position
333、in options or futures on the underlying stock or an index of similarstocks that we currently are not able to monitor because the data on such trades andpositions is not disclosed. These positions could either magnify or reduce the conclusionsof our Hedge Fund Trend Monitor.Lack of international hold
334、ingsHedge funds are not required to include foreign holdings in their 13-F filings.Consequently, our analysis may not capture all the long equity positions of hedge funds.While we do not believe this lack of data significantly affects our analysis of holdings bysector and capitalization size, we may
335、 overestimate the “density” of hedge fund portfolios.Incomplete reporting of short positionsOur data is limited to publicly disclosed short interest statistics released by theexchanges. Only US broker-dealers are required to report short positions to theseexchanges, so we miss any shorts held in ove
336、rseas accounts. We assume that hedge fundsaccount for 85% of all short interest in the market and that the short side of hedge fundportfolios mirrors the overall short market in terms of sector allocation.TimelinessAnother potential weakness of our analysis relates to the timeliness of thereported d
337、ata. For example, the equity holdings for the 696 hedge funds we studied werebased on 13-F filings of positions owned as of September 30, 2012, although most of thesefilings were not made public until mid-November 2012.Importantly, we believe our analysis of September 30 hedge fund holdings basedon
338、filings made in mid-November 2012 is probably more reflective of actualcurrent holdings than many market participants are inclined to believe.Hedge fund holdings turnover is lower than most expect, as highlighted previously.Most securities (71%) that were in hedge fund portfolios on September 30, 20
339、12, alsoappeared in portfolios on June 30, 2012. Because the overall holdings picture wassurprisingly constant, we think it is reasonable for us to believe that the most recentholdings data is not so “out-of-date” as some might suggest.Goldman Sachs Global Economics, Commodities and Strategy Researc
340、h%oftotallongequityportfolioPortfolioTurnover(%)Jun-01Jun-02Jun-03Jun-04Jun-05Jun-06Jun-07Jun-08Jun-09Jun-10Jun-11Jun-12Jun-1333November 19, 2012United StatesAppendix C: Hedge fund portfolio density and net long holdingsHedge fund returns are highly dependent on the performance of a few keystocks. T
341、he typical hedge fund has an average of 64% of its long-equity assets invested inits 10 largest positions compared with 37% for the typical large-cap mutual fund, 21% for asmall-cap mutual fund, 21% for the S&P 500 and just 2% for the Russell 2000 Index.Exhibit 31: Top 10 holdings account for 64% of
342、 assets in Hedge fund portfolios100%80%60%Hedge Funds(Top 10 positions = 64% of portfolio)Small-cap mutualfunds(Top 10 =18%)S&P 500(Top 10 = 21%)40%20%0%Large-cap mutualfunds(Top 10 = 36%)Russell 2000(Top 10 = 2%)1102030405060708090100Largest stock positionsSource: Compustat and Goldman Sachs Global
343、 ECS Research.Turnover of holdings fell to new lows of 29% in 3Q. Quarterly turnover in 3Q rose inonly three sectors, with increases in Utilities, Telecom Services, and Industrials.Exhibit 32: Hedge turnover averaged 29% in 3Q 2012, a new low, as of September 30, 201260%55%50%Bottom quartileHedge Fu
344、nd Turnover by Sector45%40%41%SectorUtilities20123Q43 %Change since2Q 20127 pp2-yrAvg39 %35%30%25%20%15%10%All positionsTop quartile29%17%Telecom ServicesIndustrialsMaterialsConsumer StaplesConsumer DiscretionaryInformation TechnologyHealth CareFinancials2932333330292926210(1)(3)(3)(4)(5)33333635333
345、33232EnergyS&P 5003129 %(6)(2)pp3532 %Source: Compustat, Lionshares via FactSet and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research333333333733339393837373737363626262626262625252525252525252524242424242424242424234November 19, 2012Appendix D: 100
346、largest hedge funds ranked by equity assetsUnited StatesNumber ofSecuritiesEquityAssetsNumber ofSecuritiesEquityAssetsInstitution NameRenaissance Technologies LLCCitadel Advisors LLCAdage Capital Advisors LLCD. E. Shaw & Co., Inc.AQR Capital Management LLCLone Pine Capital LLCS.A.C. Capital Advisors
347、 LPViking Global Investors LPTwo Sigma Investments LLCMillennium Management LLCApollo Capital Management LPIcahn Associates Corp.Paulson & Co., Inc.International Value Advisers LLCGateway Investment Advisers LLCOZ Management LLCPershing Square Capital Management LPMaverick Capital Ltd.Highfields Cap
348、ital Management LPValueAct Capital Management LPSPO Partners & Co.Mason Capital Management LLCTiger Global Management LLCBlue Ridge Capital LLC (New York)Discovery Capital Management LLCGreenlight Capital, Inc.Coatue Management LLCGlenview Capital Management LLCESL Investments, Inc.Herndon Capital M
349、anagement LLCUBS OConnor LLCCarlson Capital LPOmega Advisors, Inc.Third Point Management Co. LLCLevin Capital Strategies LPScout Capital Management LLCPennant Capital Management LLCPointState Capital LPHighbridge Capital Management LLCCantillon Capital Management LLCGilder, Gagnon, Howe & Co. LLCFor
350、tress Investment Group (Investment ManaFarallon Capital Management LLCThe Baupost Group LLCElliott Management Corp.Chilton Investment Co. LLCAbsolute Return Capital LLCBaker Bros. Advisors LLCBrookside Capital LLCAppaloosa Management LPHeld2,7302,3986412,2622,964601,453672,1042,167231862158846281115
351、96414142849378543484710190445219783328329441246473721160692746162466614348($ Billions)$3228272623191615141312111010104Institution NameEminence Capital LLCEton Park Capital Management LPKensico Capital Management Corp.Vinik Asset Management LPTrian Fund Management LPWestchester Capital Management LLC
352、Steadfast Capital Management LPFir Tree, Inc.Partner Fund Management LPBalyasny Asset Management LLCA.R.T. Advisors LLCLongview Asset Management LLCCadian Capital Management LLCHorizon Asset Management LLCMarathon Asset Management LPJANA Partners LLCDiamondback Capital Management LLCKayne Anderson C
353、apital Advisors LPWeiss Multi-Strategy Advisers LLCClough Capital Partners LPSenator Investment GroupYork Capital Management Global Advisors LLHarbinger Capital Partners LLCAlyeska Investment Group LPPAR Capital Management, Inc.MHR Fund Management LLCSamlyn Capital LLCJAT Capital Management LPSoroba
354、n Capital Partners LLCWS Management LLLPValinor Management LLCWater Island Capital LLCLuxor Capital Group LPPassport Capital LLCMarketfield Asset Management LLCSigma Capital Management LLCHoplite Capital Management LLCConatus Capital Management LPTiger Consumer Management LLCVisium Asset Management
355、LPCushing MLP Asset Management LPAlpine AssociatesParadigm Capital Management, Inc.Seminole Management Co., Inc.Scopus Asset Management LPScopia Management, Inc.HAP Trading LLCZweig-DiMenna Associates LLCEnergy Income Partners LLCAscend Capital LLCHeld57433729510594145582791,085552098632432654722104
356、18211209651175472162529336172462224637313868147216511164145817559162($ Billions)$332Equity Assets($ Billions)As a %of TotalLargest 50Largest 100Total 696$457581$81856%71100%Note: Based on analysis of 13-Fs filed by 696 hedge funds with $818 billion of single-stock equity assets.Holdings as of Septem
357、ber 30, 2012; Pricing as of November 15, 2012.Source: Lionshares via FactSet, IDC and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research3532612235November 19, 2012Appendix E: 100 largest institutions ranked by equity assetsUnited StatesNumber ofSecuri
358、tiesEquityAssetsNumber ofSecuritiesEquityAssetsInstitution NameFidelity Management & Research Co.Capital Research & Management Co. (World InvesT. Rowe Price Associates, Inc.Capital Research & Management Co. (Global InveWellington Management Co. LLPBlackRock Advisors LLCTIAA-CREF Asset Management LLC
359、MFS Investment Management, Inc.Dimensional Fund Advisors, Inc.JPMorgan Investment Management, Inc.Invesco Advisers, Inc.Columbia Management Investment Advisers LLCAllianceBernstein LPMellon Capital Management Corp.Dodge & Cox, Inc.OppenheimerFunds, Inc.BNY Mellon Asset ManagementJennison Associates
360、LLCBerkshire Hathaway, Inc. Investment ManagementGoldman Sachs Asset Management LPNeuberger Berman LLCFranklin Advisers, Inc.American Century Investment Management, Inc.Janus Capital Management LLCGrantham, Mayo, Van Otterloo Co. LLCLazard Asset Management LLCPyramis Global Advisors LLCMorgan Stanle
361、y Investment Management, Inc.PRIMECAP Management Co.Harris Associates LPWaddell & Reed Investment Management Co.Artisan Partners LPManaged Account Advisors LLCClearBridge Advisors LLCThornburg Investment Management, Inc.Barrow, Hanley, Mewhinney & Strauss LLCState Farm Insurance Co. Asset Management
362、Wells Capital Management, Inc.UBS Global Asset ManagementFranklin Mutual Advisers LLCFirst Eagle Investment Management LLCLord, Abbett & Co. LLCDavis Selected Advisers LPJPMorgan Chase Bank NAPrincipal Global Investors LLCEaton Vance Management, Inc.Charles Schwab Investment Management, Inc.Delaware
363、 Management Business TrustINTECH Investment Management LLCLSV Asset ManagementHeld3,5681,0153,8841,1673,5064,8676,9121,8246,9603,3532,9204,6355,0686,4442471,4864,459816433,8371,5961,3922,1297262,8051,5362,6853,9772654047329112,1969449156301222,0374,1112864601,1422372,5873,8899816,5171,9941,3381,447(
364、$ Billions)$58244736831330220418917114913813412011411211098968781797777736968646361595957575453525252505050474644434141403938Institution NamePutnam Investment Management LLCQuantitative Management Associates LLCCohen & Steers Capital Management, Inc.Royce & Associates LLCNorthern Cross LLCFisher Ass
365、et Management LLCING Investment Management Co.Van Eck Associates Corp.Winslow Capital Management, Inc.William Blair & Co. LLC (Investment Management)Columbia Wanger Asset Management LLCPNC Bank NA (Trust Department)Southeastern Asset Management, Inc.NFJ Investment GroupManning & Napier Advisors LLCW
366、ells Fargo Bank, NAMarsico Capital Management LLCManulife Asset Management (United States) LLCFayez Sarofim & Co.Robeco Investment ManagementSands Capital Management LLCDreyfus Investment Advisors, Inc.GE Asset Management, Inc.Pioneer Investment Management, Inc.Templeton Investment Counsel LLCCapita
367、l International, Inc.Aberdeen Asset Management, Inc.Federated Investment Management Co.Evercore Trust Co.Victory Capital Management, Inc.RCM Capital Management LLCCapital Guardian Trust Co.Aronson & Johnson & Ortiz LPAcadian Asset Management LLCTCW Asset Management Co., Inc.Institutional Capital LLC
368、Calamos Advisors LLCLoomis, Sayles & Co. LPBrown Advisory LLCThe Boston Company Asset Management LLCEpoch Investment Partners, Inc.Arrowstreet Capital LPCBRE Clarion Securities LLCPanAgora Asset Management, Inc.Brown Brothers Harriman & Co. (Investment ManaMatthews International Capital Management L
369、LCUSAA Investment Management Corp.EARNEST Partners LLCUS Bancorp Asset Management, Inc.BMO Asset Management Corp.Held2,4203,4235371,843695624,9661,554681,7055932,311966395392,6253703,326250848842,2044727261,2015483,4391,5111201,0947751,0015144,041861764357426591,5885451,8101972,9384334301,1777812,52
370、32,433($ Billions)$3835353434343332303029282828272726262625252423232322212120202020191919191818181717171717161614Equity Assets($ Billions)As a %of TotalLargest 50Largest 100Total 1,822$5,5316,747$9,21960%73100%Note: Total includes Mutual Fund Institutions and Investment Advisors. Holdings as of Sept
371、ember 30, 2012; Pricing as of November 15, 2012.Excludes broker-dealers and organizations primarily managing Indexed assets.Source: Lionshares via FactSet, IDC and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy Research1.2.3.36November 19, 2012United State
372、sAppendix F: GS Portfolio Strategy Baskets on BloombergPermission to our GS Portfolio Strategy BasketsTo receive access to the Goldman Sachs US Portfolio Strategy Bloomberg page,please follow the directions below:Please go to your Bloomberg terminal and type IAM .Take a screen shot of the page.Send
373、the attachment and an e-mail to your Goldman Sachs salesperson requestingaccess to the US Portfolio Strategy Bloomberg page.Exhibit 33: Strategy baskets are listed on Bloomberg : Portfolio Strategy / Theme and Sector BasketsThematic BasketsBloombergMacroeconomicGSTHCARRGSTHAINTGSTHINTLGSTHBETAGSTHBR
374、ICGSTHWEURFundamentalGSTHQUALGSTHREVGGSTHGROEGSTHOPHIGSTHOPLOGSTHSBALGSTHWBALHedge FundGSTHHVIPGSTHVISPGSTHHFHIGSTHHFSLValuationGSTHDIVGGSTHSHRPGSTHSVLUGSTHAVLUGSTHGARPNote: The ability to trade baskets will depend upon market conditions, including liquidity and borrow constraints at the time of tra
375、de.Source: Bloomberg and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics, Commodities and Strategy ResearchSector BasketsBloombergCyclicalsGSSBCYCLDefensivesGSSBDEFSGlobalGSSBGLBLDomesticGSSBDOMSGlobal CyclicalsGSSBGCYCDomestic CyclicalGSSBDCYCGlobal DefensiveGSSBGDEFDomestic Defens
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