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Hedge Fund Trend Monitor Portfolio Strategy Research Average Hedge Fund Down 2% YTD, but Global Macro Outperforms November 21, 2011 United States Hedge Fund Trend Monitor Portfolio Strategy Research Average hedge fund down 2% YTD, but global macro outperforms This report analyzes the positions of 679 hedge funds with $1.1 trillion of gross assets ($655 billion of long stock and ETF holdings and an estimated $417 billion of short positions). Performance has been split as global macro hedge funds returned an average of +4% YTD while long/short funds have returned -5%. Hedge fund ownership of S&P 500 stocks represents one-half of single-stock long equity positions observed in this report but accounts for just 3% of S&P 500 market cap. Mutual funds own 21% of the US equity market while retirement funds own 17%. Hedge funds use ETFs more for hedging than as directional vehicle We estimate hedge funds hold $135 billion in gross exposure to ETFs David J. Kostin (212) 902-6781 [email protected] compared with $971 billion of gross exposure to single-stocks. We estimate Goldman, Sachs & Co. 20% of aggregate short positions are via ETFs with 15% at the index level. Stuart Kaiser, CFA Hedge Fund Performance (212) 357-6308 [email protected] Goldman, Sachs & Co. The typical hedge fund returned -2% in 2011 YTD through November 11 compared with a 2% gain for the S&P 500 and flat performance for the Amanda Sneider, CFA average large-cap core mutual fund. The standard deviation of hedge fund (212) 357-9860 [email protected] performance was 11 pp, so two-thirds of funds generated returns between Goldman, Sachs & Co. -13% and +9%. More than 15% of funds posted returns of -10% or worse. Ben Snider 2011 YTD distribution of hedge fund and mutual fund performance (212) 357-1744 [email protected] as of November 11, 2011 Goldman, Sachs & Co. 20 18 2011 YTD 16 as of 11-Nov Avg MF: 14 0% S&P 500: 2% 12 10 Avg HF: 8 Mutual % of Funds of % -2% 6 Funds Hedge 4 Funds 2 0 <-24 -20 -16 -12 -8 -4 0 4 8 12 16 >20 2011 YTD Return (%) Source: Compustat, Lipper, FactSet, Goldman Sachs Asset Management, and GS Global ECS. Goldman Sachs does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. For Reg AC see the end of the text. For other important disclosures, see the Disclosure Appendix, or go to www.gs.com/research/hedge.html. Analysts employed by non-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 Research November 21, 2011 United States Table of contents Goldman Sachs Hedge Fund Trend Monitor 3 Hedge fund ownership of the US equity market 4 Hedge fund performance in 2011: Style matters 6 “Stocks that matter most”: The hedge fund VIP List 8 The impact of hedge funds: Look at the “concentrated” positions 10 Take a walk on the short side: Exploring hedge fund net exposure 12 A “typical” hedge fund 14 Sectors: Funds increased Consumer Discretionary overweight 16 Size: Large-cap stocks account for almost 50% of holdings 18 Hedge funds and ETFs: Hedging tools, not investment vehicles 20 Appendix A: Hedge fund data tables 21 Appendix B: Drawbacks of our hedge fund holding analysis 34 Appendix C: Hedge fund portfolio density and net long holdings 35 Appendix D: 100 largest hedge funds ranked by equity assets 36 Appendix E: 100 largest institutions ranked by equity assets 37 Appendix F: GS Portfolio Strategy Baskets on Bloomberg 38 Disclosures 39 Goldman Sachs Global Economics, Commodities and Strategy Research 2 November 21, 2011 United States Goldman Sachs Hedge Fund Trend Monitor We inaugurated our Hedge Fund Trend Monitor publication almost six years ago. This report focuses on hedge fund positions at the start of 4Q 2011 and the meaningful changes from the previous quarter. The report is based on an analysis of 679 hedge funds with $638 billion of long stock-specific and ETF equity assets and an estimated $417 billion of short single-stock and ETF positions. Hedge fund holdings are priced as of September 30, 2011. Since the start of 4Q, the S&P 500 has risen by 11% while the typical hedge fund is flat. Hedge funds own 3% of US equity market At the end of 3Q 2011, hedge funds owned $320 billion of S&P 500 stocks, half of the $638 billion of long single-stock equity positions observed in this report. Hedge funds owned an additional $121 billion of Russell 1000 constituents excluding S&P 500 stocks and $89 billion of Russell 2000 constituents. We estimate an additional $27 billion of United States stocks outside of the Russell 3000 and $27 billion of ADRs. Disclosed foreign holdings represented $54 billion of assets. Return distribution offers perspective on hedge fund performance The mean 2011 YTD hedge fund return equaled -2% as of November 11 with a standard deviation of returns of 11 percentage points. More than 15% of hedge funds returned -10% or worse. During the same period, the S&P 500 index returned 2% and the average large-cap core mutual fund was flat. Style explains variation in YTD hedge fund performance. The average global macro fund returned 4% year to date, outperforming both the market and the average large-cap core mutual fund. Equity long/short funds returned an average of -5%. The two hedge fund categories posted similar returns during 1H 2011 with the average global macro fund falling 1% and equity long/short funds essentially flat. However, in 3Q while the S&P 500 plunged by 13.9% and equity long/short funds declined by 6.3%, global macro funds rallied by 5.5%. The divergence was partially reversed during 4Q through November 11, with global macro funds falling 0.8% while equity long/short funds rose 2.1%. Size: Large-cap stocks account for almost 50% of holdings The tilt of aggregate hedge fund holdings towards large-cap stocks has been trending higher for almost 10 years. Roughly 45% of the aggregate assets of hedge funds was invested in stocks with equity capitalizations greater than $10 billion as of 3Q 2011, up from 35% in 2002. Just 21% of aggregate assets is invested in small-cap stocks (below $2 billion). The typical hedge fund allocates 33% of its assets to large-cap stocks ($10+ billion) and 38% to small-cap stocks. The difference between the average and aggregate suggests that the hedge funds with the largest assets under management target large-cap stocks. ETFs: Hedge fund hedging tools, not investment vehicles Hedge funds continue to use ETFs more as a hedging tool than as a directional investment vehicle, based on our analysis of 13-F and short interest filings. We estimate that hedge funds hold $135 billion in gross exposure to ETFs compared with $971 billion of gross exposure to single-stocks. ETFs now represent 4% of long assets, down from 6% in 1Q 2009 but up relative to recent quarters. Our analysis suggests the typical hedge fund operates 36% net long (net/long), versus 46% in 2Q 2011. We estimate roughly 20% of short positioning is conducted via ETFs with 15% occurring at the broad index level. Goldman Sachs Global Economics, Commodities and Strategy Research 3 November 21, 2011 United States Hedge fund ownership of the US equity market Hedge Funds own approximately 3% of the US equity market (see Exhibit 1). Ownership by levered institutions compares with 33% for households, 21% for mutual funds, 17% for retirement funds, and 13% for international investors. ETFs represent 4% of the US equity market. At the end of 3Q 2011, hedge funds owned $320 billion of S&P 500 stocks, half of the $638 billion of long single-stock equity positions observed in this report (see Exhibit 2). Hedge fund holdings represent 3% of the equity market cap of S&P 500 stocks. Excluding S&P 500 stocks, hedge funds owned an additional $121 billion of Russell 1000 market cap. Hedge fund ownership of large-cap stocks is low relative to small-cap stocks as it requires more capital to own a sizable portion of market cap. Although hedge funds own a greater dollar value of S&P 500 stocks compared with Russell 2000 stocks ($320 billion vs. $89 billion), hedge funds own a higher percentage of small-cap stocks (8% for Russell 2000 in aggregate vs. 3% for the S&P 500). In total, hedge funds owned $529 billion or 4% of Russell 3000 market cap. Of the remaining $109 billion of single stock holdings captured in this report, we estimate $27 billion of United States stocks outside of the Russell 3000 and $27 billion of ADRs and $54 billion of disclosed foreign holdings. Our analysis does not capture all foreign holdings of hedge funds because hedge funds are not required to disclose foreign holdings. Only shares of a foreign issuer traded on a United States exchange or quoted on the NASDAQ National Market System are reported in 13-F filings. Five foreign companies are in our Hedge Fund Very Important Position (VIP) List (Bloomberg ticker: <GSTHHVIP>): ABX, VRX, BIDU, BP, and ESV. Hedge funds own 5.3% of the S&P 500 Consumer Discretionary sector (see Exhibit 3). This is not surprising as eight of the 20 stocks in our “most concentrated” hedge fund ownership basket (Bloomberg: <GSTHHFHI>) are Consumer Discretionary stocks (AZO, SHLD, AN, FDO, JCP, NFLX, EXPE and WYN).
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