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

<-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: ): 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: ) are Consumer Discretionary stocks (AZO, SHLD, AN, FDO, JCP, NFLX, EXPE and WYN). These stocks represent 5% of the sector’s total market cap but excluding them reduces the sector’s hedge fund ownership to 4.2%, which is still the highest ownership of any sector.

Hedge funds own 3.5% of the S&P 500 Information Technology sector. Eleven S&P 500 Information Technology stock are in our Hedge Fund Very Important Position (VIP) List AAPL, GOOG, and MSFT rank as the top three stocks in the basket.

Goldman Sachs Global Economics, Commodities and Strategy Research 4 November 21, 2011 United States

Exhibit 1: Ownership of US corporate equity market as of June 30, 2011

100%

90% Share of US Corporate Equity Market

80% Households 33%

70%

60% Mutual Funds 21%

50%

Pension Funds 8% 40% Government Retirement Funds 8% 30%

International Investors 13% 20% Hedge Funds 3% 10% ETFs 4% Other 9% 0% 1945 1948 1951 1954 1957 1960 1963 1966 1969 1972 1975 1978 1981 1984 1987 1990 1993 1996 1999 2002 2005 2008 2011

Source: Federal Reserve, Lionshare via FactSet, and Goldman Sachs Global ECS Research.

Exhibit 2: Hedge Fund ownership of Russell 3000 Exhibit 3: Hedge Fund ownership of S&P 500 by sector as of September 30, 2011 as of September 30, 2011

Hedge Fund Hedge Fund Market Ownership Market Ownership Cap % Value Cap % Value ($Bil) of Cap ($Bil) ($Bil) of Cap ($Bil)

S&P 500 $10,535 3.0 % $320 Consumer Discretionary $1,117 5.3 % $59 Russell 1000 12,190 3.6 440 Information Technology 2,076 3.5 73 Russell 2000 1,118 8.0 89 Materials 350 3.3 11 Health Care 1,254 3.1 38 Russell 3000 $13,308 4.0 % $529 Financials 1,419 3.1 43 Energy 1,199 2.7 33 Other United States $27 Industrials 1,047 2.3 24 Canada 17 Utilities 410 2.1 8 United Kingdom 10 Consumer Staples 1,323 1.9 25 China 8 Telecommunication Services 339 1.4 5 Brazil 4 S&P 500 $10,535 3.0 % $320 Total $638

Source: Lionshare via FactSet and Goldman Sachs Global ECS Research. Source: Lionshare via FactSet and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 5 November 21, 2011 United States

Hedge fund performance in 2011: Style matters

As of November 11, the typical hedge fund had generated a YTD return of -2% compared with a 2% gain for the S&P 500 and flat performance for the average large- cap core mutual fund (see Exhibit 4). The mean 2011 YTD return for a universe of 85 hedge funds with current aggregate shareholder equity assets of $282 billion equaled -2%. The standard deviation of returns was 11 percentage points so two-thirds of the hedge funds have generated YTD returns between -13% and +9%.

Distribution of returns provides more perspective than a single point estimate. The 60-fund Dow Jones Credit Suisse Blue Chip Hedge Fund IndexSM has returned -2% YTD, in line with our sample average. The distribution of YTD performance indicates that more than 15% of hedge funds have generated returns of -10% or worse. As of November 11, the S&P 500 had returned 2% and the typical US large-cap core mutual fund had returned 0%.

The performance difference between hedge fund styles is substantial. 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% (see Exhibit 6). 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%.

Exhibit 4: 2011 YTD distribution of hedge fund and mutual fund performance as of November 11, 2011 20

18 2011 YTD 16 as of 11-Nov S&P 500: 14 Avg MF: 2% 0% 12

10 Avg HF: % of Funds of % 8 -2% Mutual Funds 6 Hedge 4 Funds

0 <-24 -20 -16 -12 -8 -4 0 4 8 12 16 >20 2011 YTD Return (%)

Source: Compustat, Lipper, Dow Jones Indexes, FactSet, Goldman Sachs Asset Management, and GS Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 6 November 21, 2011 United States

Exhibit 5: 4Q 2011 to-date distribution of hedge fund and mutual fund performance as of November 11, 2011

20 4QTD No. of Assets Mean Std 18 Funds ($bil) Return Dev Mutual Funds 262 $461 12.0 % 4.1 % Hedge Funds 85 282 1.3 4.1 16 S&P 500 12.0

14 2011 4QTD as of 11-Nov 12

10 S&P 500: 12%

% of Funds of % 8

6 Mutual Hedge Funds Funds 4 Avg MF: Avg HF: 12% 2 1%

0 <-6-4-202468101214>16 4Q 2011 QTD Return (%)

Source: Compustat, Lipper, Dow Jones Indexes, FactSet, Goldman Sachs Asset Management, and GS Global ECS Research.

Exhibit 6: Global macro hedge funds have outperformed S&P 500 and other funds YTD as of November 11, 2011 Average YTD No. of Assets Std Return Funds ($bil) Dev Global Macro Funds 3.7 % 21 $189 13 % S&P 500 2.3 Large Cap Core Mutual Funds 0.2 262 461 4 Hedge Funds (1.6) 85 282 11 Equity Long/Short Funds (4.9) 50 56 10

Source: Compustat, Lipper, Dow Jones Indexes, FactSet, Goldman Sachs Asset Management, and GS Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 7 November 21, 2011 United States

“Stocks that matter most”: The hedge fund VIP list

Our hedge fund VIP list (Bloomberg ticker: ) consists of stocks in which fundamentally-driven hedge funds have a large stake. We define stocks that “matter most” to hedge funds as the positions that appear most frequently among the top ten holdings within hedge fund portfolios. For this analysis, we limit our hedge fund universe to those funds with 10 to 200 distinct equity positions in an attempt to isolate fundamentally-driven investors from quantitative funds or funds that mirror private equity investments. Our hedge fund VIP list offers investment ideas and tracks long exposure of hedge funds. By construction, the VIP list identifies the 50 stocks whose performance will largely influence the long side of many fundamentally driven hedge funds. The VIP basket lagged the S&P 500 by 1,293 bp during 2H 2008 (-41% vs. -29%). It outperformed the S&P 500 by 1,391 bp in 2009 (40% vs. 27%) and by 443 bp in 2010 (19% vs. 15%). In 2011 YTD through November 15, the VIP basket underperformed the S&P 500 by 347 bp (-1.7% vs. +1.8%). The basket of the 50 stocks that “matter most” has outperformed the S&P 500 by 60 bp on a quarterly basis since 2001, with a Sharpe ratio of 0.22. As illustrated in Exhibit 7, the VIP list underperformed the S&P 500 during 3Q 2011 by 465 bp (-18.5% vs. -13.9%). Since then, the VIP list has outperformed the S&P 500 by 275 bp (14.2% vs. 11.5%). From an implementation standpoint, the hedge fund VIP list offers an efficient vehicle for investors seeking to “follow the smart money” based on 13-F filings. The VIP basket has a large-cap bias with a median market capitalization of $42 billion compared with $11 billion for the S&P 500.

Our hedge fund VIP basket is not sector neutral to the S&P 500. The VIP list contains stocks from nine of the ten sectors with Utilities absent. The VIP basket overweights the Consumer Discretionary sector (22%) and underweights Industrials (2%) relative to the broad market index.

Turnover for the basket during 3Q 2011 was slightly below the historical average, with 14 new stocks entering the VIP list compared with an average quarterly turnover of 17 stocks since 2001.

Exhibit 7: Stocks that “matter most” have outperformed by 60 bp on average each quarter since 2001 (42 quarters) as of November 15, 2011

125 Stocks that "Matter Most" Stocks that "Matter Most" Bloomberg Bloomberg: 120 (Relative Return vs. SPX) Quarterly Relative Return vs. SPX

Maximum 674 bp 115 75th Percentile 185

Median 92 110 25th Percentile (80)

Minimum (785) 105 Current = 110 Standard Deviation 269 100 Returns 3Q _ YTD Average Excess Return (bp) 60 bp VIP List -18.5% -1.7%

Hedge Fund StocksTotal Return (100= Dec2003) S&P 500 -13.9% +1.8% Sharpe Ratio 0.22 95 Hit rate of outperformance 64 % Jun-04 Jun-05 Jun-06 Jun-07 Jun-08 Jun-09 Jun-10 Jun-11 Jun-12 Dec-03 Dec-04 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 since May 2001

Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 8 November 21, 2011 United States

GSTHHVIP: 50 stocks that “matter most” to hedge funds

Exhibit 8: Very Important Positions (VIP) for hedge funds

50 stocks that most frequently appear among the largest 10 holdings of hedge funds

No. of funds Average with 10 to 200 No. of funds portfolio weight % of Equity Cap Equity positions with stock as when stock owned by Total Cap owning stock Top 10 holding ranks among Hedge Funds Return Company Ticker Sub-sector ($ bil) 30-Sep-11 30-Sep-11 Top 10 holdings 30-Sep-11 YTD Apple Inc. AAPL Computer Hardware $361 134 105 9 % 4 % 21 % Google Inc. Cl A GOOG Internet Software & Services 158 88 58 6 4 4 Microsoft Corp. MSFT Systems Software 225 78 50 6 2 (2) JPMorgan Chase & Co. JPM Other Diversified Financial Services 124 63 31 5 3 (21) Pfizer Inc. PFE Pharmaceuticals 153 50 29 6 2 18 QUALCOMM Inc. QCOM Communications Equipment 96 54 29 5 4 17 General Motors Co. GM Automobile Manufacturers 37 45 28 7 6 (37) LyondellBasell Industries N.V. Cl A LYB Specialty Chemicals 20 35 24 10 40 2 Liberty Interactive Corp. Interactive SeLINTA Catalog Retail 9 29 22 6 15 1 Baidu Inc. ADS BIDU Internet Software & Services 38 29 21 6 7 46 Amazon.com Inc. AMZN Internet Retail 99 33 20 7 3 21 Anadarko Petroleum Corp. APC Oil & Gas Exploration & Production 40 32 20 6 9 5 Las Vegas Sands Corp. LVS Casinos & Gaming 35 30 20 6 5 4 Visa Inc. V Data Processing & Outsourced Services 50 29 19 6 7 37 Wells Fargo & Co. WFC Diversified Banks 133 38 19 6 2 (17) Cisco Systems Inc. CSCO Communications Equipment 103 36 18 5 2 (4) Exxon Mobil Corp. XOM Integrated Oil & Gas 379 30 18 5 1 11 Citigroup Inc. C Other Diversified Financial Services 82 51 17 5 5 (41) Charter Communications Inc. Cl A CHTR Cable & Satellite 6 25 17 8 44 37 CIT Group Inc. CIT Regional Banks 6 24 17 7 17 (31) MasterCard Inc. Cl A MA Data Processing & Outsourced Services 45 29 17 7 4 66 Williams Cos. WMB Oil & Gas Storage & Transportation 18 30 17 7 23 29 BP PLC ADS BP Integrated Oil & Gas 138 32 16 9 2 3 Newmont Mining Corp. NEM Gold 34 29 16 6 4 15 Oracle Corp. ORCL Systems Software 166 31 16 5 1 6 Visteon Corp. VC Auto Parts & Equipment 3 26 16 12 37 (24) Yahoo! Inc. YHOO Internet Software & Services 20 31 16 7 11 (4) American Tower Corp. AMT Wireless Telecommunication Services 23 24 15 5 7 13 Comcast Corp. Cl A CMCSA Cable & Satellite 47 27 15 5 4 3 Expedia Inc. EXPE Internet Retail 7 21 15 6 18 13 Lear Corp. LEA Auto Parts & Equipment 4 23 15 6 18 (13) News Corp. Cl A NWSA Movies & Entertainment 30 29 15 8 14 21 Philip Morris International Inc. PM Tobacco 124 20 15 5 2 26 WellPoint Inc. WLP Managed Health Care 24 29 15 6 8 25 Barrick Gold Corp. ABX Gold 52 22 14 6 3 (1) Crown Castle International Corp. CCI Wireless Telecommunication Services 12 18 14 7 23 (4) CVS Caremark Corp. CVS Drug Retail 51 26 14 6 5 14 Dollar Thrifty Automotive Group IncDTG Trucking 2 24 14 7 73 38 Johnson & Johnson JNJ Pharmaceuticals 177 32 14 5 1 8 Procter & Gamble Co. PG Household Products 175 26 14 5 1 2 Sunoco Inc. SUN Oil & Gas Refining & Marketing 4 20 14 9 24 (7) Valeant Pharmaceuticals InternationalVRX Pharmaceuticals 13 19 14 11 16 53 Wal-Mart Stores Inc. WMT Hypermarkets & Super Centers 198 30 14 6 1 9 Chesapeake Energy Corp. CHK Oil & Gas Exploration & Production 17 21 13 7 5 (1) EMC Corp. EMC Computer Storage & Peripherals 50 27 13 5 3 7 ENSCO PLC ADS ESV Oil & Gas Drilling 12 17 13 7 15 (0) Hess Corp. HES Integrated Oil & Gas 22 21 13 5 5 (17) International Business Machines CoIBM IT Consulting & Other Services 222 21 13 4 1 31 Macy's Inc. M Department Stores 13 24 13 5 11 23 Occidental Petroleum Corp. OXY Integrated Oil & Gas 80 23 13 6 1 2

Average $79 34 20 6% 10% 8% Median 42 29 16 6 5 6 Note: Based on our analysis of 558 hedge funds with $429 billion in equity assets that own between 10 and 200 individual stock positions. New stocks in basket listed in bold. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 9 November 21, 2011 United States

The impact of hedge funds: Look at the “concentrated” positions

We define “concentration” as the share of market capitalization owned in aggregate by hedge funds. The strategy of buying the 20 most concentrated stocks has a strong track record over more than 10 years. Since 2001, the strategy has outperformed the market 69% of the time by an average of 271 bp per quarter (not annualized). The back test suggests that this strategy works in an upward trending market but tends to perform poorly during choppy or flat markets. The stocks in the basket tend to be mid-caps (at the lower end of the S&P 500 capitalization distribution), which have outperformed large-caps from 2004 to 2007, contributing to the attractive back-test results. The baskets are not sector neutral versus the S&P 500. Stocks with the “most concentrated” hedge fund ownership underperformed the S&P 500 in 2011 YTD by 62 bp (1.2% vs. 1.8%). The “most concentrated” stocks lagged for most of 2007 and 2008, but significantly outperformed in 2009 (81.4%% vs. 26.5%) and 2010 (+15.9% vs. +15.1%). Our “most concentrated” basket underperformed the S&P 500 by 322 bp in 3Q 2011 (-17.1% vs. -13.9%) after outperforming by 230 bp in 1H 2011 (8.3% vs. 6.0%). Our “least concentrated” basket underperformed the S&P 500 in 2011 YTD by 13 bp (1.7% vs. 1.8%). The “least concentrated” basket outperformed the market by 51 bp in 3Q 2011 (-13.4% vs. -13.9%) and outperformed by 92 bp in 1H 2011 (6.9% vs. 6.0%).

Exhibit 9: “Most concentrated” underperformed SPX by 62 bp YTD. “Least concentrated” underperformed by 13 bp as of November 15, 2011

Hedge Fund Concentration 150 S&P 500 Hedge Fund Baskets 140 Quarterly Relative Return vs. SPX (relative returns vs. SPX) LEAST 130 Concentrated "Most" "Least" 120

Maximum2,413 bp 1,225 bp 110 75th Percentile 726 287 100 Median 347 2 25th Percentile(240) (195) 90 Minimum(1347) (503) MOST 80 Concentrated Standard Deviation 709 354 70 Relative TotalReturn (100 Feb = 21, 2007)

Avg Excess Return (bp) 271 bp 54 bp 60

Sharpe Ratio 0.38 0.15 50

Hit rate of outperformance 69 % 50 % Feb-07 Feb-08 Feb-09 Feb-10 Feb-11 Feb-12 Aug-07 Aug-08 Aug-09 Aug-10 Aug-11 Nov-07 Nov-08 Nov-09 Nov-10 Nov-11 May-07 May-08 May-09 May-10 May-11 since May 2001

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 10 November 21, 2011 United States

Goldman Sachs S&P 500 “concentrated” hedge fund baskets

Exhibit 10: The 20 most concentrated stocks in the S&P 500 Holdings as of September 30, 2011; Pricing as of November 15, 2011

S&P 500: Twenty MOST CONCENTRATED Hedge Fund Holdings (Bloomberg Ticker: GSTHHFHI) % of equity cap Equity Total Return owned by Cap During 2011 Hedge Funds Company Ticker Sector Sub-sector ($ bil) 3Q YTD 30-Sep-11 Sears Holdings Corp. SHLD Consumer Discretionary Department Stores 7 (19) (5) 50% AutoNation Inc. AN Consumer Discretionary Automotive Retail 5 (10) 21 48 E*TRADE Financial Corp. ETFC Financials Investment Banking & Brokerage 2 (34) (46) 34 Family Dollar Stores Inc. FDO Consumer Discretionary General Merchandise Stores 7 (3) 17 29 AutoZone Inc. AZO Consumer Discretionary Automotive Retail 14 8 24 26 Beam Inc BEAM Consumer Staples Distillers & Vintners 8 (15) 11 25 Life Technologies Corp. LIFE Health Care Life Sciences Tools & Services 7 (26) (26) 24 Motorola Solutions Inc. MSI Information Technology Communications Equipment 15 (9) 25 24 Sunoco Inc. SUN Energy Oil & Gas Refining & Marketing 4 (25) (7) 24 CareFusion Corp. CFN Health Care Health Care Equipment 6 (12) (3) 24 VeriSign Inc. VRSN Information Technology Internet Software & Services 5 (14) 11 24 J.C. Penney Co. Inc. JCP Consumer Discretionary Department Stores 7 (22) 2 23 Williams Cos. WMB Energy Oil & Gas Storage & Transportation 18 (19) 29 23 Netflix Inc. NFLX Consumer Discretionary Internet Retail 5 (57) (51) 22 Tenet Healthcare Corp. THC Health Care Health Care Facilities 2 (34) (24) 19 SLM Corp. SLM Financials Consumer Finance 7 (25) 11 19 Expedia Inc. EXPE Consumer Discretionary Internet Retail 8 (11) 13 18 INVESCO Ltd. IVZ Financials Asset Management & Custody Banks 9 (33) (14) 18 Wyndham Worldwide Corp. WYN Consumer Discretionary Hotels Resorts & Cruise Lines 5 (15) 17 18 DaVita Inc. DVA Health Care Health Care Services 7 (28) 6 18

GSTHHFHI Basket (average) 7 (20)% 1 % 25% S&P 500 (average) 24 (18) 1 5

Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Exhibit 11: The 20 least concentrated stocks in the S&P 500 Holdings as of September 30, 2011; Pricing as of November 15, 2011

S&P 500: Twenty LEAST CONCENTRATED Hedge Fund Holdings (Bloomberg Ticker: GSTHHFSL) % of equity cap Equity Total Return owned by Cap During 2011 Hedge Funds Company Ticker Sector Sub-sector ($ bil) 3Q YTD 30-Sep-11 Cincinnati Financial Corp. CINF Financials Property & Casualty Insurance 5 (8) (4) 0.3% Sigma-Aldrich Corp. SIAL Materials Specialty Chemicals 8 (16) (4) 0.3 Public Storage PSA Financials Specialized REITs 21 (2) 26 0.4 Roper Industries Inc. ROP Industrials Electrical Components & Equipment 8 (17) 14 0.4 Equity Residential EQR Financials Residential REITs 17 (13) 15 0.4 Waste Management Inc. WM Industrials Environmental & Facilities Services 14 (12) (13) 0.5 Chevron Corp. CVX Energy Integrated Oil & Gas 206 (9) 16 0.5 Stericycle Inc. SRCL Industrials Environmental & Facilities Services 7 (9) (2) 0.5 BB&T Corp. BBT Financials Regional Banks 16 (20) (9) 0.5 International Business Machines CIBM Information Technology IT Consulting & Other Services 222 2 31 0.5 General Electric Co. GE Industrials Industrial Conglomerates 171 (19) (9) 0.6 C.H. Robinson Worldwide Inc. CHRW Industrials Air Freight & Logistics 11 (13) (13) 0.6 McCormick & Co. Inc. MKC Consumer Staples Packaged Foods & Meats 7 (6) 8 0.6 Vulcan Materials Co. VMC Materials Construction Materials 4 (28) (26) 0.6 Illinois Tool Works Inc. ITW Industrials Industrial Machinery 22 (26) (12) 0.6 Exxon Mobil Corp. XOM Energy Integrated Oil & Gas 379 (10) 11 0.6 AT&T Inc. T Telecom Services Integrated Telecommunication Services 173 (8) 5 0.6 T. Rowe Price Group Inc. TROW Financials Asset Management & Custody Banks 14 (20) (14) 0.6 Johnson & Johnson JNJ Health Care Pharmaceuticals 178 (3) 8 0.6 HCP Inc. HCP Financials Specialized REITs 16 (3) 9 0.6

GSTHHFSL Basket (average) 75 (12)% 2 % 0.5% S&P 500 (average) 24 (18) 1 5.1

Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 11 November 21, 2011 United States

Take a walk on the short side: Exploring hedge fund net exposure

Short positions shed light on the “other side” of fund portfolios We combined $655 billion of single-stock and ETF long holdings in 13-F filings of 679 hedge funds with our estimate of hedge fund short positions. We estimate hedge funds accounted for 85% of total short interest positions, or $417 billion of the $491 billion in single-stock, ETF and market index short interest positions filed with exchanges as of September 30, 2011. 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.

Short positions offer more comprehensive insight to hedge fund sector tilts. Our analysis of short interest data suggests that hedge fund sector net exposure may differ from what 13-F filings of long positions would indicate. During prior quarters, short interest data suggested that hedge funds used allocation differences between long and short portfolios to “hedge” their long exposure. Since 2010, large allocation differences further skew sector positioning relative to the Russell 3000. Hedge fund long exposure shows funds are overweight Consumer Discretionary relative to the Russell 3000 (18.5% versus 12.3%). Short interest data indicates Consumer Discretionary accounts for 15.8% of all short positions. Combining long and short data, hedge funds appear to hold a 23.2% net weighting in Consumer Discretionary and are more overweight relative to the Russell 3000 than long exposure suggests. Similar portfolio skew occurs in the overweights of the Materials and Energy sectors and underweights of the Financials, Consumer Staples, and Industrials sectors. Hedge funds’ net long weighting in Consumer Discretionary is the highest of all sectors. Hedge funds are most overweight the sector relative to the Russell 3000 (23% vs. 12%). Mutual funds are only 30 bp overweight relative to the index (13%).

Hedge Funds reduced net exposure to all S&P 500 sectors during 3Q 2011. Financials net long exposure in fell the most relative to 2Q 2011 (18% net long versus 39% last quarter).

Exhibit 12: Estimated hedge fund long, short, and net exposure, by sector ($ in billions) Holdings as of September 30, 2011; pricing as of November 15, 2011

Overweight / Underweight Consumer Information Health Telecom Consumer Discretionary Materials Energy Technology Care Services Utilities Industrials Staples Financials TOTAL

LONG Stock Positions $119 $46 $72 $121 $74 $14 $14 $59 $38 $79 $638 ETF Positions 1 2 2 320 112217 Hedge Fund LONG $121 $48 $74 $124 $76 $15 $15 $60 $40 $81 $655

SHORT Stock Positions $58 $16 $29 $58 $41 $7 $11 $36 $24 $53 $333 ETF Positions 8 31218923881384 Estimated SHORT $66 $19 $41 $76 $50 $9 $14 $43 $32 $66 $417

EXPOSURE Gross $187 $67 $115 $200 $126 $24 $30 $103 $72 $148 $1,072 Net 55293248256117815237 % Net Long (Net/Long) 45 % 60 % 44 % 39 % 34 % 40 % 6 % 28 % 21 % 18 % 36 %

Net Sector Weighting (%) Hedge Fund Net Exposure 23% 12% 14% 20% 11% 3% 0% 7% 4% 6% 100% Russell 3000 12 4 10 19 11 3 4 11 11 15 100 Over/(Under)weight 1,088 bp 859 bp 359 bp 147 bp (2)bp (44)bp (354)bp (368)bp (761)bp (924)bp

Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 12 November 21, 2011 United States

Exhibit 13: The biggest discrepancy between long and short portfolio positioning is in the Financials sector Holdings as of September 30, 2011; pricing as of November 15, 2011 Aggregate Asset Allocation vs. Russell 3000 vs. Mutual Funds Long Short Net Mutual Net Portfolio Portfolio Allocation Net Russell 3000 Sector Fund Sector Sector ($655 bil) ($417 bil) Difference Weighting Weighting Tilt Weighting Tilt Consumer Discretionary 18.5 % 15.8 % 266 bp 23.2 % 12.3 % 1,088 bp 12.6 % 1,057 bp Information Technology 18.9 18.2 74 20.2 18.8 147 17.0 327 Energy 11.3 9.9 136 13.7 10.1 359 10.7 297 Materials 7.3 4.5 279 12.3 3.7 859 6.3 595 Health Care 11.6 12.0 (47) 10.7 10.7 (2) 11.8 (108) Industrials 9.2 10.4 (117) 7.1 10.8 (368) 11.3 (419) Financials 12.4 15.9 (349) 6.2 15.5 (924) 15.3 (901) Consumer Staples 6.1 7.6 (146) 3.6 11.2 (761) 8.5 (490) Telecom Services 2.3 2.1 14 2.5 3.0 (44) 3.5 (97) Utilities 2.4 3.5 (110) 0.4 3.9 (354) 3.0 (262)

Total 100.0 100.0 0 100.0 100.0 0 100.0 0

Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

We believe hedge funds account for the vast majority of short positions. The steady growth of shorts in the US equity market during the past ten years has accompanied the rise in hedge fund assets (Exhibits 14 and 15). We estimate that hedge funds account for 85% of all short positions. Short interest for the S&P 500 rose during most of 2010 before falling in 4Q 2010 and 1Q 2011. It was mostly flat in 2Q. However, the short interest ratio spiked in 3Q 2011 to the highest levels since late 2008 before retreating in late September. Currently, 2.1% of equity cap is held short.

We construct a “typical” long/short hedge fund portfolio. Combining our hedge fund long and short data, we constructed two 50-stock equal-weighted portfolios (one long and one short) in an attempt to replicate a “typical” hedge fund (Exhibits 16 and 17).

We acknowledge certain limitations to our hedge fund short position analysis. There is 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 US broker/dealers. Broker/dealers incorporated outside the US do not have to report their positions. Swaps and other derivatives are also not captured in this analysis.

Exhibit 14: Short interest by dollars and share of cap Exhibit 15: Short interest ratio (days to cover) as of November 15, 2011 as of November 15, 2011

400 3.0 3.5 days Percent of S&P 500 Market Cap HeldShort (%)

350 Share of S&P 500 market cap held short 300 3.0 days

illions) (right-hand axis) 2.0 250

200 2.5 days

150 Aggregate Dollars 1.0 2.0 days 100 of Short Interest (left-hand axis) Short interest ratio of S&P 500 (days to cover) Dollars of S&P 500 Stocks ($ b ($ Stocks 500 S&P of Dollars 50 Short interest ratio based on 1-year average daily volume 1.5 days 0 0.0 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Source: Compustat, FactSet and Goldman Sachs Global ECS Research. Source: Compustat, FactSet and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 13 November 21, 2011 United States

A “typical” hedge fund: Long positions

Exhibit 16: A “typical” hedge fund: Long positions TYPICAL Hedge Fund Portfolio Number of % of equity cap Equity Total Hedge Funds owned by Weight Cap Return Owning Stock Hedge Funds (%) Company Ticker Sub-sector ($ mil) YTD 30-Sep-11 30-Sep-11 18% Consumer Discretionary 2 Federal-Mogul Corp FDML Auto Parts & Equipment 1,483 (27)% 16 81% 2 Six Flags Entertainment Corp SIX Leisure Facilities 1,997 35 33 66 2 Einstein Noah Restaurant Grp BAGL Restaurants 244 6 6 65 2 Sears Holdings Corp SHLD Department Stores 7,493 (5) 20 50 2 Autonation Inc AN Automotive Retail 4,830 21 20 48 2 Liz Claiborne Inc LIZ Apparel Accessories & Luxury Goods 825 22 33 47 2 Charter Communications Inc CHTR Cable & Satellite 5,724 37 40 44 2 Lions Gate Entertainment Cp LGF Movies & Entertainment 1,079 31 10 39 2 Ameristar Casinos Inc ASCA Casinos & Gaming 586 16 31 37 6% Consumer Staples 2 Harbinger Group Inc HRG Packaged Foods & Meats 674 (22)% 4 85% 2 Spectrum Brands Holdings Inc SPB Household Products 1,296 (19) 19 68 2 Natures Sunshine Prods Inc NATR Personal Products 249 78 12 44 12% Energy 2 Energy Partners Ltd EPL Oil & Gas Exploration & Production 589 (0)% 19 46% 2 Cvr Energy Inc CVI Oil & Gas Refining & Marketing 1,897 45 56 36 2 Harvest Natural Resources HNR Oil & Gas Exploration & Production 320 (23) 27 33 2 Scorpio Tankers Inc STNG Oil & Gas Storage & Transportation 218 (32) 9 31 2 Endeavour International Corp END Oil & Gas Exploration & Production 248 (52) 12 29 2 Energy Xxi (Bermuda) EXXI Oil & Gas Exploration & Production 2,412 14 40 29 12% Financials 2 State Bank Financial Corp STBZ Regional Banks 474 3 % 15 44% 2 Doral Financial Corp DRL Thrifts & Mortgage Finance 135 (23) 15 42 2 Hallmark Financial Services HALL Property & Casualty Insurance 156 (11) 7 42 2 Central Pacific Financial Cp CPF Regional Banks 541 (58) 11 40 2 Pennymac Mortgage Invest Tr PMT Mortgage REITs 468 3 19 38 2 Hudson Pacific Pptys Inc HPP Office REITs 419 (15) 5 34 12% Health Care 2 Enzon Pharmaceuticals Inc ENZN Biotechnology 317 (46)% 14 43% 2 Vivus Inc VVUS Pharmaceuticals 907 9 17 40 2 Amag Pharmaceuticals Inc AMAG Biotechnology 336 (12) 15 38 2 Intermune Inc ITMN Biotechnology 1,261 (43) 31 38 2 Auxilium Pharma Inc AUXL Pharmaceuticals 762 (25) 26 37 2 Medivation Inc MDVN Biotechnology 1,454 175 28 35 10% Industrials 2 Dollar Thrifty Automotive Gp DTG Trucking 1,893 38 % 50 73% 2 American Railcar Inds Inc ARII Construction & Farm Machinery & Heavy Trucks 534 13 12 61 2 Railamerica Inc RA Railroads 722 8 7 59 2 Quality Distribution Inc QLTY Trucking 257 19 24 46 2 Swift Transportation Co SWFT Trucking 1,297 (26) 32 41 18% Information Technology 2 Loral Space & Communications LORL Communications Equipment 1,839 (22)% 25 69% 2 Blue Coat Systems Inc BCSI Communications Equipment 673 (47) 29 42 2 Varian Semiconductor Equipmt VSEA Semiconductor Equipment 4,782 70 55 40 2 Prgx Global Inc PRGX Data Processing & Outsourced Services 135 (13) 11 39 2 Advanced Analogic Tech AATI Semiconductors 186 5 25 39 2 Viasat Inc VSAT Communications Equipment 1,986 6 15 38 2 Ciena Corp CIEN Communications Equipment 1,324 (35) 35 36 2 Openwave Systems Inc OPWV Internet Software & Services 140 (23) 11 34 2 Motorola Mobility Hldgs Inc MMI Communications Equipment 11,650 34 57 34 8% Materials 2 Metals Usa Holdings Corp MUSA Steel 407 (28)% 15 79% 2 Noranda Aluminum Holding Cp NOR Aluminum 585 (33) 14 71 2 Verso Paper Corp VRS Paper Products 81 (55) 8 71 2 Handy & Harman Ltd HNH Steel 157 (5) 4 61 2% Telecommunication Services 2 Fairpoint Communications Inc FRP Integrated Telecommunication Services 134 14 54% 2% Utilities 2 Dynegy Inc DYN Independent Power Producers & Energy Traders 329 (52)% 23 46%

100% Total/Equal Weighted Average (1)% 22 48% S&P 500 2 % Note: Based on analysis of 679 hedge funds with $655 billion of equity assets. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 14 November 21, 2011 United States

A “typical” hedge fund: Estimated short positions

Exhibit 17: A “typical” hedge fund: Estimated short positions Estimated SHORT Hedge Fund Portfolio Short Short Equity Total Interest Interest Weight Cap Return as a % of Ratio (a) (%) Company Ticker Sub-sector ($ mil) YTD Equity Cap 30-Sep-11 16% Consumer Discretionary 2 Sealy Corp ZZ Home Furnishings 176 (40)% 15 % 45 days 2 Mcclatchy Co -Cl A MNI Publishing 109 (73) 43 41 2 Crown Media Holdings Inc CRWN Broadcasting 579 (39) 1 40 2 School Specialty Inc SCHS Education Services 150 (43) 17 35 2 Gray Television Inc GTN Broadcasting 109 2 8 28 2 O'Charley'S Inc CHUX Restaurants 148 (7) 16 27 2 Westwood One Inc DIAL Broadcasting 95 (54) 1 25 2 Saga Communications -Cl A SGA Broadcasting 152 37 4 25 8% Consumer Staples 2 Lifeway Foods Inc LWAY Packaged Foods & Meats 164 5 % 5 % 42 2 Calavo Growers Inc CVGW Packaged Foods & Meats 362 6 13 34 2 Dole Food Co Inc DOLE Packaged Foods & Meats 941 (21) 11 27 2 Lancaster Colony Corp LANC Packaged Foods & Meats 1,901 23 11 25 10% Energy 2 Isramco Inc ISRL Oil & Gas Exploration & Production 223 (3)% 2 % 23 2 Gevo Inc GEVO Oil & Gas Refining & Marketing 192 6 19 2 Panhandle Oil & Gas Inc PHX Oil & Gas Exploration & Production 288 29 4 18 2 Amyris Inc AMRS Oil & Gas Refining & Marketing 558 (53) 8 18 2 Houston Amern Energy Corp HUSA Oil & Gas Exploration & Production 472 (16) 11 18 16% Financials 2 Taylor Capital Group Inc TAYC Regional Banks 215 (20)% 8 % 50 2 Townebank TOWN Regional Banks 363 (20) 10 48 2 First Finl Bankshares Inc FFIN Regional Banks 1,005 (4) 18 41 2 Capital City Bk Group Inc CCBG Regional Banks 179 (15) 8 39 2 Calif First National Bancorp CFNB Specialized Finance 179 19 1 35 2 Trico Bancshares TCBK Regional Banks 235 (7) 7 35 2 Bofi Holding Inc BOFI Thrifts & Mortgage Finance 167 6 9 34 2 St Joe Co JOE Diversified Real Estate Activities 1,365 (32) 21 34 12% Health Care 2 Cadence Pharmaceuticals Inc CADX Pharmaceuticals 239 (50)% 22 % 43 2 Quidel Corp QDEL Health Care Supplies 570 19 16 32 2 Unilife Corp UNIS Health Care Supplies 306 (10) 10 31 2 Sucampo Pharmaceuticals Inc SCMP Pharmaceuticals 163 1 5 30 2 Biotime Inc BTX Biotechnology 221 (46) 8 29 2 Osiris Therapeutics Inc OSIR Biotechnology 159 (38) 8 29 10% Industrials 2 Innerworkings Inc INWK Commercial Printing 409 34 % 16 % 34 2 Cbiz Inc CBZ Research & Consulting Services 295 (5) 14 28 2 Pmfg Inc PMFG Industrial Machinery 380 32 8 28 2 Houston Wire & Cable Co HWCC Trading Companies & Distributors 214 (8) 10 27 2 Aaon Inc AAON Building Products 541 17 8 27 18% Information Technology 2 Mosys Inc MOSY Semiconductors 130 (40)% 7 % 28 2 Kit Digital Inc KITD Internet Software & Services 550 (26) 24 23 2 Meru Networks Inc MERU Communications Equipment 89 (67) 19 22 2 Wave Systems Corp -Cl A WAVX Systems Software 225 (36) 10 21 2 Rosetta Stone Inc RST Home Entertainment Software 155 (66) 13 20 2 Echo Global Logistics Inc ECHO Data Processing & Outsourced Services 358 34 11 20 2 Dialogic Inc DLGC Communications Equipment 50 (59) 2 20 2 Srs Labs Inc SRSL Home Entertainment Software 83 (35) 8 20 2 Pulse Electronics Corp PULS Electronic Manufacturing Services 130 (40) 10 20 4% Materials 2 Chase Corp CCF Specialty Chemicals 118 (17)% 3 % 23 2 Zoltek Cos Inc ZOLT Specialty Chemicals 240 (40) 15 22 2% Telecommunication Services 2 Fairpoint Communications Inc FRP Integrated Telecommunication Services 134 16 % 25 4% Utilities 2 Cadiz Inc CDZI Water Utilities 128 (26)% 5 % 25 2 Black Hills Corp BKH Multi-Utilities 1,293 14 % 18 % 21

100% Total/Equal Weighted Average (16)% 11 % 29 days S&P 500 2 % Note: Based on analysis of 679 hedge funds with $655 billion of equity assets. Holdings as of September 30, 2011; Pricing as of November 15, 2011. (a) Short Interest Ratio calculated as Short Interest / 3Q Average Daily Volume.

Source: Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 15 November 21, 2011 United States

Sectors: Funds increased Consumer Discretionary overweight

Consumer Discretionary exposure remains the largest overweight During 3Q 2011, Hedge Fund long allocation to Consumer Discretionary rose by about 53 bp. It is still the most overweight sector relative to the Russell 3000 (17% vs. 12%). Hedge Funds reduced their underweight in Consumer Staples by 52 bp although it remains the most underweight sector. Hedge funds are currently 483 bp overweight Consumer Discretionary and 675 bp underweight Consumer Staples relative to sector weights in the Russell 3000 (see Exhibit 18). We recognize hedge funds do not manage assets based on a benchmark, but understanding and interpreting sector tilts requires an orientation to some index. Industrials and Financials represented the largest decreases in Hedge Funds’ long asset allocation during 3Q (-79 bp and -60 bp respectively). Hedge Funds also decreased exposure to Info Tech and Energy. Industrials, Financials, and Energy underperformed the market in 3Q, accounting for some of the lower weighting in portfolios. However, Info Tech outperformed during the quarter suggesting hedge funds sold shares. Both Mutual Funds and Hedge Funds increased long asset allocation to Consumer Discretionary, Consumer Staples, Utilities, Telecom Services, and Health Care. Mutual Fund and Hedge Fund exposure to the Energy, Industrials, and Financials sectors declined.

Sub-sectors: What hedge funds are buying and selling We estimate the dollars invested by hedge funds in various sub-sectors based on change in ownership during the quarter. Sub-sectors in which hedge funds added to positions underperformed sub-sectors in which they sold during 3Q (-27% vs. -22%).

Funds added to positions in Consumer Discretionary sub-sectors such as Movies & Entertainment, Broadcasting, Housewares & Specialties, and General Merchandise Stores. Funds also decreased positions in Consumer Discretionary sub-sectors such as Tires & Rubber, Motorcycle Manufacturers, Photographic Products, and Department Stores.

Exhibit 18: Distribution of hedge fund long holdings by sector (equal-weighted average of 679 hedge funds) Holdings as of September 30, 2011; pricing as of November 15, 2011

Overweight / Underweight

Consumer Information Telecom Consumer Discretionary Materials Energy Technology Health Care Services Industrials Financials Utilities Staples

Hedge Fund Weight 17.2 8.1 11.3 19.7 11.3 2.2 9.7 13.9 2.3 4.4 Over/(Underweight) (bp) 483 444 118 93 51 (73) (115) (160) (167) (675) Change vs. last quarter (bp) 53 13 (46) (35) 59 3 (79) (60) 40 52

Mutual Fund Weight 12.6 6.3 10.7 17.0 11.8 3.5 11.3 15.3 3.0 8.5 Over/(Underweight) (bp) 30 632 1073 1697 1180 349 1133 1525 302 847 Change vs. last quarter (bp) 16 (55) (58) 77 39 21 (80) (83) 32 90

Russell 3000 Weight 12.3 3.7 10.1 18.8 10.7 3.0 10.8 15.5 3.9 11.2

Russell 3000 - 3Q 2011 Return (20.1) (27.7) (31.1) (23.8) (20.7) (20.9) (24.4) (17.5) (1.4) (11.7) Russell 3000 - YTD Return (5.2) (5.4) (5.1) (5.4) (3.3) (9.3) (5.3) (8.4) 12.8 6.8 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Russell 3000 sector performance is calculated as median stock in sector.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 16 November 21, 2011 United States

Exhibit 19: Largest changes in hedge fund ownership concentration of Russell 3000 sub-sectors during 3Q 2011 as of September 30, 2011

Top 20 Sub-sectors Hedge Funds BUYING % of Equity Cap owned by Sub-sector Hedge Funds Change MktCap 3Q 30-Jun-11 30-Sep-11 (bps) ($ mil) ($ mil) Performance Health Care Services 6% 9% 329 bp $3,086 $81,485 (24)% Oil & Gas Storage & Transportation 9 12 252 2,137 77,878 (24) Heavy Electrical Equipment 14 16 222 102 3,774 (35) Movies & Entertainment 4 6 189 3,444 160,431 (17) Real Estate Development 20 22 186 50 2,088 (35) Paper Packaging 11 13 177 392 19,632 (23) Electronic Components 4 5 165 757 37,837 (32) Semiconductor Equipment 8 9 133 716 46,892 (31) Broadcasting 4 6 121 597 43,236 (27) Office Electronics 8 10 107 150 11,344 (30) Communications Equipment 6 7 97 2,655 251,495 (31) Oil & Gas Refining & Marketing 9 10 91 421 39,927 (26) Precious Metals & Minerals 5 6 88 63 5,736 (32) Marine 6 7 87 49 5,212 (21) Housewares & Specialties 7 8 87 108 10,988 (20) General Merchandise Stores 9 10 86 557 65,600 (3) Home Improvement Retail 3 4 83 684 76,361 (17) Homebuilding 10 11 82 158 15,731 (33) Home Entertainment Software 6 7 82 193 22,524 (34) Homefurnishing Retail 6 7 78 177 21,626 (15)

Top 20 (median) (27)% Russell 3000 (median) (21)

Bottom 20 Sub-sectors Hedge Funds SELLING % of Equity Cap owned by Sub-sector Hedge Funds Change MktCap 3Q 30-Jun-11 30-Sep-11 (bps) ($ mil) ($ mil) Performance Tires & Rubber 17% 13% (395)bp ($167) $3,140 (42)% Motorcycle Manufacturers 8 4 (367) (324) 7,977 (16) Photographic Products 8 5 (304) (18) 211 (78) Department Stores 16 13 (294) (1,573) 50,051 (18) Mortgage REITs 7 5 (233) (985) 41,278 (14) Building Products 9 7 (220) (448) 17,343 (30) Health Care Supplies 6 4 (216) (484) 20,184 (9) Leisure Facilities 23 21 (188) (129) 6,182 (16) Specialized Consumer Services 9 7 (166) (350) 18,322 (21) Household Appliances 7 6 (155) (104) 5,261 (29) Coal & Consumable Fuels 8 7 (154) (627) 29,642 (47) Security & Alarm Services 8 7 (146) (71) 4,558 (19) Fertilizers & Agricultural Chemicals 6 5 (145) (1,106) 67,183 (15) Real Estate Operating Companies 9 8 (144) (35) 1,803 (43) Commodity Chemicals 5 4 (119) (105) 6,712 (38) Construction & Farm Machinery & Heavy Trucks 4 3 (109) (1,882) 140,464 (34) Hotels Resorts & Cruise Lines 4 3 (108) (750) 59,568 (21) Thrifts & Mortgage Finance 5 4 (100) (413) 36,234 (17) Diversified Support Services 7 6 (99) (221) 19,813 (22) Human Resource & Employment Services 5 4 (94) (152) 13,822 (26)

Bottom 20 (median) (22)% Russell 3000 (median) (21)

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 17 November 21, 2011 United States

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, in line with exposure since 2010 and up from roughly 35% in 2002.

On a longer-term basis, we expect the largest hedge funds with multiple billions of dollars in assets under management will increasingly seek investment opportunities among mid- and large-cap stocks given the difficulty of investing large amounts of capital in small-cap companies. This trend may contribute to large-cap outperformance in coming quarters.

Exhibit 20: Small-caps have outperformed large-caps since 2002

175

Large-Caps Outperforming S&P 500 vs 150 Russell 2000

125

100

75 6-year small-cap rally Small-Caps Outperforming 50 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

Source: Compustat and Goldman Sachs Global ECS Research.

Size: Smaller funds favor small caps, larger funds prefer large caps The typical hedge fund allocates 38% of its assets to stocks with less than $2 billion in equity capitalization and 33% to large-cap stocks ($10+ billion). Mid-cap stocks ($2- $10 billion) account for 29% of the average fund’s portfolio (Exhibit 21). On an aggregate asset basis, hedge funds allocate just 21% of their assets to small- cap stocks, while 45% is allocated to large caps. The difference between the average and the aggregate suggests that the hedge funds with the largest assets under management target large-cap stocks. For comparison, mutual funds invest an average of 14% of their portfolios in small- cap stocks and 61% in large-cap stocks. On an aggregate asset basis 14% of assets are invested in small-cap stocks and 63% is in large-cap stocks.

Goldman Sachs Global Economics, Commodities and Strategy Research 18 November 21, 2011 United States

Exhibit 21: Hedge fund asset allocation by Equity Capitalization

70% 55% Equal-Weighted Average Equal-Weighted Average 60% Large-cap (Top 500 Stocks) 50%

50% 50% 45%

40% 40% 38% 32% Small-cap (Less than $2 Billion) 30% 35% Large-cap (Greater than $10 Billion) Small-cap 33% (Russell 2000)

20% 30% 18% 29%

% of% hedgefund equity portfolio Mid-cap 10% portfolio equity fund hedge of % 25% (Bottom Half of Russell 1000) Mid-cap (Between $2 and $10 Billion) 0% 20% Mar-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-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

80% 55% Aggregate Hedge Fund Assets Aggregate Hedge Fund Assets 70% 50% 67% Large-cap(Greater than $10 Billion) 60% 45% 45%

Large-cap (Top 500 Stocks) 50% 40% Mid-cap 40% 35% (Between $2 and $10 Billion) 34% Mid-cap 30% (Middle 1500 Stocks) 30%

20% 17% 25%

16% 21% 10% Small-cap (Russell 2000) fund assets hedge % of aggregate 20% % of aggregate hedge fund assets fund hedge aggregate of % Small-cap (Less than $2 Billion) 0% 15% Mar-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-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

Less than $2 Billion to $10 Billion Equal Weighted Average $2 Billion $10 Billion and Greater Hedge Funds 38 % 29 % 33 % Mutual Funds 14 27 61 Russell 3000 68 22 9 Aggregate Assets Hedge Funds 21 % 34 % 45 % Mutual Funds 14 23 63 Russell 3000 8 20 72 Median Performance Russell 3000 - 2010 36 % 31 % 22 % Russell 3000 - 3Q 2011 (24) (18) (13) Russell 3000 - YTD (7) 4 6

Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 19 November 21, 2011 United States

Hedge funds and ETFs: Hedging tools, not investment vehicles

Hedge funds appear 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 represent 4% of long holdings, down from nearly 6% in 1Q 2009 but up from 3% in recent quarters (Exhibit 22). The $106 billion of short ETF positions accounts for 78% of the hedge fund gross ETF exposure. In contrast, single-stock short positions ($333 billion) represent 31% of hedge fund gross single-stock positions. The most shorted ETFs tend to be index hedges (representing $63 billion of the $106 billion short positions). Commodity-related, bond funds, and Emerging Market ETFs appear to be the only ETFs that hedge funds utilize on the long side (see Exhibit 23).

Exhibit 22: ETF assets total $132 billion, or just 3% of total long exposure, as of September 30, 2011

Hedge Fund ETF Positioning ($ billions) 7% Sector / Description Long Short Gross Net Materials $1.3 $1.1 $2.4 $0.2 6% 5.8% Telecom Services 0.0 0.0 0.1 (0.0) Consumer Staples 0.3 0.5 0.8 (0.2) 5% 4.4% Utilities 0.4 0.7 1.0 (0.3) Consumer Discretionary 0.1 1.2 1.3 (1.2) 4% Industrials 0.1 1.3 1.3 (1.2) Health Care 0.1 1.7 1.9 (1.6) 3% Financials 0.3 4.5 4.8 (4.1) Energy 0.7 4.9 5.6 (4.2) 2% Information Technology 0.2 5.6 5.8 (5.4) 1% Hedge Fund ETF holdings (as % of long portfolio) Total Sector ETFs $3.5 $21.6 $25.1 ($18.1) Index 13.2 62.9 76.0 (49.7) 0% Other 12.5 21.5 33.9 (9.0) Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Total ETF Ownership $29.2 $105.9 $135.1 ($76.8) Source: Compustat, Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Exhibit 23: Hedge Fund ETF ownership, as of September 30, 2011

Current ETF Ownership Change from Jun-2011 Change Change Change 3Q # of HF Long Short Net in # of HF in Long in Short ETF Name Ticker Sector Return Investors ($ mil) ($ mil) ($ mil) Investors Holdings Interest SPDR S&P 500 ETF SPY Index (14)% 85 $11,552 $42,131 $(30,579) (4) $5,964 ($3,302) SPDR Gold Shares Trust GLD 8 105 6,721 2,632 4,089 7 (740) (1,813) Market Vectors ETF Gold Miners GDX Materials 1 70 1,235 469 766 18 316 (284) Vanguard ETF Emerging Markets VWO (26) 20 1,188 382 806 (1) (391) (44) iShares Russell 2000 Index Fund IWM Index (22) 38 912 15,147 (14,234) 3 557 (4,082) iShares MSCI Emerging Markets Index Fund EEM (26) 28 891 2,746 (1,855) (11) (1,145) 18 Energy Select Sector SPDR Fund XLE Energy (22) 35 481 3,358 (2,877) 4 30 (628) Utilities Select Sector SPDR Fund XLU Utilities 1 20 366 617 (252) (3) 137 (33) Vanguard Total Bond Market ETF BND 4 10 320 29 292 0 49 (30) iShares Silver Trust SLV (15) 29 320 494 (174) 2 (97) (638) iShares MSCI Brazil (Free) Index Fund EWZ (29) 32 293 695 (402) 1 51 (310) Consumer Staples Select Sector SPDR Fund XLP Consumer Staples (4) 18 275 511 (236) 3 188 (201) Financial Select Sector SPDR Fund XLF Financials (23) 30 246 2,212 (1,965) (3) (174) 506 Oil Service HOLDRS Trust OIH Energy (32) 22 240 598 (358) (2) (201) (454) iShares Barclays TIPS Bond Fund TIP 5 12 204 106 99 3 53 (78) iShares MSCI EAFE Index Fund EFA (21) 19 203 1,982 (1,778) (1) (209) 329 iShares DJ Select Dividend Index Fund DVY Index (8) 10 191 28 163 (1) 90 (1) iShares Barclays Aggregate Bond Fund AGG 4 9 189 132 57 0 68 18 iShares FTSE China 25 Index Fund FXI (28) 29 172 705 (533) (8) (165) (223) iShares Gold Trust IAU 8 10 156 26 130 3 21 (22) iShares Russell 2000 Growth Index Fund IWO Index (22) 9 149 398 (249) 3 124 (87) iShares iBoxx $ InvesTop Investment Grade Bond Fund LQD 3 15 140 192 (52) 5 16 (119) iShares MSCI Japan Index Fund EWJ (9) 24 134 141 (7) (2) 28 (260) iShares Barclays Lehman 1-3 Year Treasury Bond Fund SHY 1 5 132 61 71 (3) (24) (70) iShares iBoxx $ High Yield Corporate Bond Fund HYG (8) 14 106 385 (279) 0 47 (2) Top 25 698 26,818 76,176 (49,358) 13 4,594 (11,810) Others 605 2,344 29,751 (27,407) (37) (743) 11,187 Total ETF Ownership 1,303 $29,161 $105,926 ($76,765) (24) $3,851 ($624) Source: Compustat, Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 20 November 21, 2011 United States

Appendix A: Hedge fund data tables

Popularity: Most number of hedge fund investors Most popular: 50 stocks with largest number of hedge fund investors 22 Change in popularity during 3Q 2011 23 Concentration: Highest percent of market cap held by hedge funds Highest concentration: Stocks under $1 billion market cap 24 Highest concentration: Stocks over $1 billion market cap 25 Largest increase in concentration 26 Largest decrease in concentration 27 Highest concentration by Equity Capitalization Band 28 Highest concentration by sector 30 Short Interest: Highest percent shares outstanding held short Highest Short Interest: Stocks under $1 billion 32 Highest Short Interest: Stocks over $1 billion 33

Goldman Sachs Global Economics, Commodities and Strategy Research 21 November 21, 2011 United States

Popularity: Most number of hedge fund investors

Exhibit 24:

POPULARITY: 50 stocks with the largest NUMBER of hedge fund investors

POPULARITY CONCENTRATION Number of Percent of Short Avg Days EquityHedge Funds Equity Cap owned Total Interest Volume to CapOwning Stock by Hedge Funds Return as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg YTD Mkt Cap HF Position Apple Inc. AAPL Computer Hardware $361,382 209 3% 4% 0% 21% 1% 2 Microsoft Corp. MSFT Systems Software 224,942 158 220(2) 13 Google Inc. Cl A GOOG Internet Software & Services 157,840 156 441424 JPMorgan Chase & Co. JPM Other Diversified Financial Services 124,252 128 33(1) (21) 13 Pfizer Inc. PFE Pharmaceuticals 152,740 121 32(0) 18 1 4 QUALCOMM Inc. QCOM Communications Equipment 96,488 118 4401715 Citigroup Inc. C Other Diversified Financial Services 81,760 115 65(1)(41)23 Cisco Systems Inc. CSCO Communications Equipment 102,579 107 22(0)(4)21 Yahoo! Inc. YHOO Internet Software & Services 19,758 97 9112(4) 35 Wells Fargo & Co. WFC Diversified Banks 133,367 95 220(17) 13 Bank of America Corp. BAC Other Diversified Financial Services 62,123 94 22(1) (54) 21 Hewlett-Packard Co. HPQ Computer Hardware 56,112 91 341(32) 14 Oracle Corp. ORCL Systems Software 166,270 91 110612 eBay Inc. EBAY Internet Software & Services 40,600 90 55(0)1315 General Motors Co. GM Automobile Manufacturers 36,533 89 561(37)35 Halliburton Co. HAL Oil & Gas Equipment & Services 35,804 86 330(4) 22 Johnson & Johnson JNJ Pharmaceuticals 177,478 86 11(0) 82 1 Freeport-McMoRan Copper & GoFCX Diversified Metals & Mining 37,528 85 331(32) 22 Las Vegas Sands Corp. LVS Casinos & Gaming 34,855 84 352422 Schlumberger Ltd. SLB Oil & Gas Equipment & Services 101,961 84 221(8) 13 Express Scripts Inc. ESRX Health Care Services 22,783 83 8 14 6 (13) 14 11 Target Corp. TGT General Merchandise Stores 35,909 82 441(10)24 Williams Cos. WMB Oil & Gas Storage & Transportation 18,431 81 15 23 8 29 3 16 Exxon Mobil Corp. XOM Integrated Oil & Gas 379,095 81 1101111 Anadarko Petroleum Corp. APC Oil & Gas Exploration & Production 39,808 81 99(0) 52 10 Newmont Mining Corp. NEM Gold 33,999 80 44(0) 15 3 3 Medco Health Solutions Inc. MHS Health Care Services 22,008 79 4129(7) 211 Amazon.com Inc. AMZN Internet Retail 99,059 79 33(0)2122 CVS Caremark Corp. CVS Drug Retail 50,698 79 55(0)1436 WellPoint Inc. WLP Managed Health Care 24,364 77 98(1) 25 2 8 Goodrich Corp. GR Aerospace & Defense 15,446 76 15 20 5 41 2 14 Occidental Petroleum Corp. OXY Integrated Oil & Gas 80,213 76 110212 Wal-Mart Stores Inc. WMT Hypermarkets & Super Centers 198,044 76 11(0) 91 2 Merck & Co Inc MRK Pharmaceuticals 108,902 75 11(0) 31 2 Mosaic Co. MOS Fertilizers & Agricultural Chemicals 17,063 75 13 7 (6) (27) 2 3 BP PLC ADS BP Integrated Oil & Gas 138,116 74 220307 General Electric Co. GE Industrial Conglomerates 171,029 74 11(0) (9) 11 SanDisk Corp. SNDK Computer Storage & Peripherals 12,327 74 87(1) 34 2 Comcast Corp. Cl A CMCSA Cable & Satellite 46,665 73 44(0) 32 5 Intel Corp. INTC Semiconductors 129,031 73 11(0) 25 3 1 Procter & Gamble Co. PG Household Products 174,874 73 11(0) 21 2 Tyco International Ltd. TYC Industrial Conglomerates 21,263 72 10 11 1 13 2 11 National Oilwell Varco Inc. NOV Oil & Gas Equipment & Services 29,945 72 330633 MasterCard Inc. Cl A MA Data Processing & Outsourced Services 45,055 72 54(1) 66 2 4 LyondellBasell Industries N.V. Cl LYB Specialty Chemicals 20,164 72 42 40 (2) 21 50 Macy's Inc. M Department Stores 13,013 72 15 11 (4) 23 4 5 Viacom Inc. Cl B VIA.B Movies & Entertainment 22,671 71 11 11 (0) 16 2 13 Ford Motor Co. F Automobile Manufacturers 40,537 71 32(1) (35) 41 EMC Corp. EMC Computer Storage & Peripherals 50,081 70 230732 Chevron Corp. CVX Integrated Oil & Gas 205,661 70 11(0)1611

Average $89,413 89 5% 6% 0% 2% 2% 5 Median 50,390 81 3 4 (0) 3 2 3 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 22 November 21, 2011 United States

Change in popularity during 3Q 2011

Exhibit 25:

20 stocks with largest POSITIVE changes in POPULARITY

Average $31,357 66 21 13% 6% 13% 5% 10 Median 11,571 57 18 10 3 15 3 6 20 stocks with largest NEGATIVE changes in POPULARITY

Average $19,505 44 (23) 8% (3)% (16)% 3% 7 Median 14,744 39 (21) 6 (3) (11) 3 4 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 23 November 21, 2011 United States

Highest concentration: Stocks under $1 billion market cap

Exhibit 26:

50 stocks UNDER $1 billion with largest hedge fund CONCENTRATION as % of market cap

POPULARITY CONCENTRATION Number of Percent of Short Avg Days EquityHedge Funds Equity Cap owned Total Interest Volume to CapOwning Stock by Hedge Funds Return as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg YTD Mkt Cap HF Position Metals USA Holdings Corp. MUSA Steel $332 15 79% 79% 0% (28)% 2% 195 MagnaChip Semiconductor Corp MX Semiconductors 264 14 68 73 50186 Noranda Aluminum Holding Corp NOR Aluminum 561 14 72 71 (1) (33) 2 145 American Railcar Industries Inc. ARII Construction & Farm Machinery & Heavy Truck 328 12 60 61 1132 94 FairPoint Communications Inc. FRP Integrated Telecommunication Services 113 14 52 54 31664 Nordion Inc. NDZ Life Sciences Tools & Services 561 21 55 54 (1) (17) 0 191 Liz Claiborne Inc. LIZ Apparel Accessories & Luxury Goods 473 33 40 47 622238 Dynegy Inc. DYN Independent Power Producers & Energy Trade 504 23 46 46 0 (52) 7 29 Quality Distribution Inc. QLTY Trucking 214 24 49 46 (3) 19 3 67 Leap Wireless International Inc. LEAP Wireless Telecommunication Services 544 25 37 46 10 (23) 16 13 Energy Partners Ltd. EPL Oil & Gas Exploration & Production 445 19 45 46 0 (0) 10 49 QLT Inc. QLTI Biotechnology 365 19 39 45 6 (3) 2 115 Nature's Sunshine Products Inc. NATR Personal Products 219 12 46 44 (2) 78 5 142 State Bank Financial Corp. STBZ Regional Banks 399 15 42 44 334 128 Enzon Pharmaceuticals Inc. ENZN Biotechnology 343 14 44 43 (1) (46) 14 54 Doral Financial Corp. DRL Thrifts & Mortgage Finance 139 15 44 42 (1) (23) 4 63 Blue Coat Systems Inc. BCSI Communications Equipment 587 29 22 42 20 (47) 10 21 Swift Transportation Co. SWFT Trucking 511 32 42 41 (0) (26) 8 11 Accuride Corp. ACW Construction & Farm Machinery & Heavy Truck 242 32 37 41 4 (58) 5 31 Chemtura Corp. CHMT Specialty Chemicals 985 44 38 40 2 (26) 6 27 VIVUS Inc. VVUS Pharmaceuticals 717 17 33 40 8 9 19 14 Central Pacific Financial Corp. CPF Regional Banks 431 11 40 40 (0) (58) 2 154 Lions Gate Entertainment Corp. LGF Movies & Entertainment 946 10 64 39 (25) 31 2 100 PRGX Global Inc. PRGX Data Processing & Outsourced Services 115 11 39 39 (1) (13) 3 80 Advanced Analogic TechnologiesAATI Semiconductors 191 25 47 39 (8) 5 4 28 AMAG Pharmaceuticals Inc. AMAG Biotechnology 313 15 47 38 (8) (12) 11 24 PennyMac Mortgage Investment PMT Mortgage REITs 443 19 37 38 035 49 Ameristar Casinos Inc. ASCA Casinos & Gaming 524 31 36 37 1165 31 Auxilium Pharmaceuticals Inc. AUXL Pharmaceuticals 719 26 37 37 (0) (25) 14 23 MedCath Corp. MDTH Health Care Facilities 284 15 27 35 923 97 Medivation Inc. MDVN Biotechnology 593 28 35 35 01758 10 Wet Seal Inc. Cl A WTSLA Apparel Retail 405 23 36 34 (2) (12) 13 22 Openwave Systems Inc. OPWV Internet Software & Services 134 11 28 34 6 (23) 5 34 S1 Corp. SONE Application Software 501 27 18 34 16 43 4 23 Radware Ltd. RDWR Communications Equipment 454 18 37 33 (4) (27) 0 18 Agilysys Inc. AGYS Technology Distributors 164 10 34 33 (1) 58 3 38 Harvest Natural Resources Inc. HNR Oil & Gas Exploration & Production 292 27 36 33 (3) (23) 24 18 Xerium Technologies Inc. XRM Industrial Machinery 158 14 34 33 (1) (48) 3 85 Aircastle Ltd. AYR Trading Companies & Distributors 713 12 32 33 0185 33 Clear Channel Outdoor Holdings CCO Advertising 383 21 35 32 (2) (23) 1 62 Move Inc. MOVE Internet Software & Services 232 22 32 32 0 (34) 5 34 PAETEC Holding Corp. PAET Alternative Carriers 770 32 13 32 20 44 4 35 TPC Group Inc. TPCG Commodity Chemicals 321 26 34 32 (1) (17) 4 26 ChinaCast Education Corp. CAST Education Services 181 11 22 32 10 (35) 8 24 Natus Medical Inc. BABY Health Care Equipment 279 19 17 31 14 (42) 5 46 Cott Corp. COT Soft Drinks 646 18 34 31 (2) (26) 1 48 Rigel Pharmaceuticals Inc. RIGL Biotechnology 524 21 30 31 2(3)8 62 Staar Surgical Co. STAA Health Care Supplies 278 12 30 31 1426 55 VanceInfo Technologies Inc. (AD VIT Application Software 300 15 49 31 (18) (70) 21 10 iStar Financial Inc. SFI Mortgage REITs 469 17 23 31 8 (19) 25 16

Average $412 20 39% 41% 1% (6)% 7% 59 Median 391 19 37 39 0 (17) 5 36 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 24 November 21, 2011 United States

Highest concentration: Stocks over $1 billion market cap

Exhibit 27:

50 stocks OVER $1 billion with largest hedge fund CONCENTRATION as % of market cap

POPULARITY CONCENTRATION Number of Percent of Short Avg Days EquityHedge Funds Equity Cap owned Total Interest Volume to CapOwning Stock by Hedge Funds Return as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg YTD Mkt Cap HF Position Federal-Mogul Corp. FDML Auto Parts & Equipment $1,459 16 81% 81% (0)pp (27)% 0% 433 Dollar Thrifty Automotive Group I DTG Trucking 1,633 50 68 73 5381735 Loral Space and Communication LORL Communications Equipment 1,062 25 66 69 3 (22) 3 152 Spectrum Brands Holdings Inc SPB Household Products 1,236 19 77 68 (10) (19) 4 161 Six Flags Entertainment Corp. SIX Leisure Facilities 1,514 33 65 66 1351076 Sears Holdings Corp. SHLD Department Stores 6,149 20 49 50 0 (5) 11 69 AutoNation Inc. AN Automotive Retail 4,778 20 48 48 (0) 21 8 63 Youku.com Inc. Cl A ADS YOKU Internet Software & Services 1,262 16 46 45 (1) (42) 10 8 Charter Communications Inc. Cl ACHTR Cable & Satellite 5,153 40 43 44 1371 122 Yandex N.V. Cl A YNDX Internet Software & Services 2,901 19 52 41 (11) 1 24 Varian Semiconductor Equipmen VSEA Semiconductor Equipment 4,717 55 26 40 14 70 1 18 LyondellBasell Industries N.V. Cl LYB Specialty Chemicals 13,964 72 42 40 (2) 2 1 35 ViaSat Inc. VSAT Communications Equipment 1,403 15 35 38 3 6 10 50 InterMune Inc. ITMN Biotechnology 1,308 31 33 38 4 (43) 8 19 Visteon Corp. VC Auto Parts & Equipment 2,217 58 28 37 9 (24) 3 26 CVR Energy Inc. CVI Oil & Gas Refining & Marketing 1,830 56 44 36 (8) 45 8 13 Ciena Corp. CIEN Communications Equipment 1,085 35 30 36 7 (35) 28 4 Nalco Holding Co. NLC Specialty Chemicals 4,854 48 7 34 27 21 2 20 Motorola Mobility Holdings Inc. MMI Communications Equipment 11,303 57 17 34 17 34 3 19 E*TRADE Financial Corp. ETFC Investment Banking & Brokerage 2,598 49 30 34 4 (46) 3 19 Equinix Inc. EQIX Internet Software & Services 4,211 42 28 33 5229 18 Grifols S.A. ADS GRFS Biotechnology 1,071 28 36 32 (3) 0 43 Kinetic Concepts Inc. KCI Health Care Equipment 4,815 47 7 31 24 63 8 18 Domino's Pizza Inc. DPZ Restaurants 1,657 28 30 30 11097 16 OpenTable Inc. OPEN Internet Software & Services 1,089 22 10 30 20 (46) 38 7 Lamar Advertising Co. Cl A LAMR Advertising 1,325 17 29 29 0 (38) 10 20 Temple-Inland Inc. TIN Paper Packaging 3,439 44 21 29 8524 13 Avis Budget Group Inc. CAR Trucking 1,016 26 34 29 (5) (12) 10 11 Energy XXI (Bermuda) Ltd. EXXI Oil & Gas Exploration & Production 1,643 40 30 29 (2) 14 9 14 Family Dollar Stores Inc. FDO General Merchandise Stores 6,116 49 27 29 2173 18 Arcos Dorados Holdings Inc. Cl AARCO Restaurants 3,004 27 34 28 (6) 2 18 Southern Union Co. SUG Oil & Gas Storage & Transportation 5,061 52 27 28 1772 21 Take-Two Interactive Software In TTWO Home Entertainment Software 1,103 24 24 28 4161211 Macquarie Infrastructure Co. LLCMIC Airport Services 1,033 29 25 28 2321 48 Theravance Inc. THRX Biotechnology 1,707 13 31 27 (3) (7) 9 49 WebMD Health Corp. WBMD Internet Software & Services 1,769 35 14 27 13 (35) 4 17 Forest Oil Corp. FST Oil & Gas Exploration & Production 1,646 36 18 27 9 (41) 6 9 W.R. Grace & CO. GRA Specialty Chemicals 2,454 44 30 27 (3) 21 2 22 Howard Hughes Corp. HHC Real Estate Development 1,597 23 24 27 2 (15) 3 47 Liberty Global Class C LBTYK Cable & Satellite 4,309 25 30 26 (3) 19 0 67 ViroPharma Inc. VPHM Pharmaceuticals 1,278 21 24 26 3291117 Calpine Corp. CPN Independent Power Producers & Energy Trade 6,470 42 25 26 1132 42 AutoZone Inc. AZO Automotive Retail 12,804 44 26 26 (1) 24 3 24 Pandora Media Inc. P Broadcasting 2,363 11 26 26 (1) 5 30 Vector Group Ltd. VGR Tobacco 1,366 12 25 26 0136 51 Universal Display Corp. PANL Electronic Components 2,184 30 12 26 14 74 15 8 Solutia Inc. SOA Diversified Chemicals 1,572 34 22 26 3 (28) 2 14 Dana Holding Corp. DAN Auto Parts & Equipment 1,543 52 27 25 (2) (20) 7 10 Sensata Technologies Holding N ST Electrical Components & Equipment 4,654 30 26 25 (0) 4 2 51 Cosan Ltd. Cl A CZZ Agricultural Products 1,651 21 27 25 (2) (10) 1 27

Average $3,168 34 33% 36% 3% 9% 7% 43 Median 1,738 31 29 30 1 13 4 21 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 25 November 21, 2011 United States

Largest increase in concentration

Exhibit 28:

50 stocks with largest INCREASE in hedge fund CONCENTRATION

POPULARITY CONCENTRATION Number of Percent of Total Short Avg Days EquityHedge Funds Equity Cap owned Return Interest Volume to CapOwning Stock by Hedge Funds since as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg 30-Jun-11 Mkt Cap HF Position Nalco Holding Co. NLC Specialty Chemicals $5,367 48 7% 34% 27% 39% 2% 22 Kinetic Concepts Inc. KCI Health Care Equipment 5,004 47 7 31 24 19 8 18 Blue Coat Systems Inc. BCSI Communications Equipment 673 29 22 42 20 (27) 10 24 OpenTable Inc. OPEN Internet Software & Services 902 22 10 30 20 (54) 38 6 PAETEC Holding Corp. PAET Alternative Carriers 790 32 13 32 20 12 4 36 Sunstone Hotel Investors Inc. SHO Specialized REITs 903 20 8 27 19 (18) 6 21 NetLogic Microsystems Inc. NETL Semiconductors 3,437 40 4 21 17 22 7 8 Motorola Mobility Holdings Inc. MMI Communications Equipment 11,652 57 17 34 17 76 3 19 S1 Corp. SONE Application Software 545 27 18 34 16 32 4 25 Mitek Systems Inc. MITK Application Software 219 14 3 18 15 27 7 14 Natus Medical Inc. BABY Health Care Equipment 243 19 17 31 14 (45) 5 40 Varian Semiconductor Equipmen VSEA Semiconductor Equipment 4,860 55 26 40 14 31 19 Universal Display Corp. PANL Electronic Components 2,454 30 12 26 14 52 15 9 WebMD Health Corp. WBMD Internet Software & Services 1,902 35 14 27 13 (27) 4 19 Global Industries Ltd. GLBL Oil & Gas Equipment & Services 924 24 2 15 13 46 9 8 PharMerica Corp. PMC Health Care Distributors 464 24 10 23 13 24 6 18 IMAX Corp. IMAX Movies & Entertainment 1,244 24 14 26 12 (41) 5 13 InterDigital Inc. IDCC Communications Equipment 2,189 40 3 15 12 18 18 5 Array BioPharma Inc. ARRY Biotechnology 139 10 12 22 10 65 39 ChinaCast Education Corp. CAST Education Services 247 11 22 32 10 (3) 8 33 Leap Wireless International Inc. LEAP Wireless Telecommunication Services 743 25 37 46 10 (42) 16 18 OmniVision Technologies Inc. OVTI Semiconductors 770 41 10 20 10 (63) 11 4 Forest Oil Corp. FST Oil & Gas Exploration & Production 1,829 36 18 27 9 (17) 6 10 Collective Brands Inc. PSS Apparel Retail 852 29 21 30 9 (4) 30 12 JAKKS Pacific Inc. JAKK Leisure Products 502 16 3 12 9 61615 DemandTec Inc. DMAN Systems Software 256 16 11 20 9 (16) 7 23 Visteon Corp. VC Auto Parts & Equipment 2,909 58 28 37 9 (17) 3 34 Cal Dive International Inc. DVR Oil & Gas Equipment & Services 239 15 2 11 9 (58) 6 9 United Rentals Inc. URI Trading Companies & Distributors 1,670 30 16 24 9 5207 Medco Health Solutions Inc. MHS Health Care Services 22,008 79 4 12 9 12 11 MedCath Corp. MDTH Health Care Facilities 152 15 27 35 9 53 52 Promotora de Informaciones S.A PRIS.B Broadcasting 423 12 13 22 8 (56) 0 77 Williams-Sonoma Inc. WSM Homefurnishing Retail 3,965 32 4 13 8 63 8 Telephone & Data Systems Inc. ( TDS.S Wireless Telecommunication Services 1,126 15 3 11 8 (12) 0 44 iStar Financial Inc. SFI Mortgage REITs 520 17 23 31 8 (22) 25 17 Temple-Inland Inc. TIN Paper Packaging 3,490 44 21 29 8 84 13 Brocade Communications SystemBRCD Communications Equipment 2,375 35 5 13 8 (25) 3 5 Emdeon Inc EM Health Care Technology 1,731 21 9 16 8 45 3 39 Stillwater Mining Co. SWC Precious Metals & Minerals 1,361 27 7 14 8 (46) 12 5 VIVUS Inc. VVUS Pharmaceuticals 907 17 33 40 8 25 19 18 Accuray Inc. ARAY Health Care Equipment 284 18 10 17 8 (50) 9 18 Williams Cos. WMB Oil & Gas Storage & Transportation 18,431 81 15 23 8 43 16 MIPS Technologies Inc. MIPS Semiconductors 278 20 12 19 7 (24) 8 5 Retail Opportunity Investment CoROIC Diversified REITs 485 12 17 24 7 97 42 Capella Education Co. CPLA Education Services 497 19 6 13 7 (18) 11 8 Endeavour International Corp. END Oil & Gas Exploration & Production 252 12 22 29 7 (56) 16 33 Raptor Pharmaceutical Corp. RPTP Biotechnology 218 11 5 12 7 (25) 6 15 INVESCO Ltd. IVZ Asset Management & Custody Banks 9,142 33 11 18 7 (13) 2 16 El Paso Corp. EP Oil & Gas Storage & Transportation 19,164 59 13 20 7 23 3 14 Heckmann Corp. HEK Soft Drinks 751 23 11 17 7 61915

Average $2,872 30 13% 25% 11% (5)% 8% 20 Median 903 25 12 24 9 (1) 6 17 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 26 November 21, 2011 United States

Largest decrease in concentration

Exhibit 29:

50 stocks with largest DECREASE in hedge fund CONCENTRATION

POPULARITY CONCENTRATION Number of Percent of Total Short Avg Days EquityHedge Funds Equity Cap owned Return Interest Volume to CapOwning Stock by Hedge Funds since as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg 30-Jun-11 Mkt Cap HF Position Lions Gate Entertainment Cor LGF Movies & Entertainment $1,174 10 64% 39% (25)% 29% 2% 124 VanceInfo Technologies Inc. ( VIT Application Software 462 15 49 31 (18) (55) 21 15 SK Telecom Co. Ltd. ADS SKM Wireless Telecommunication Services 10,473 10 19 2 (18) (23) 0 7 Capital Product Partners L.P. CPLP Oil & Gas Storage & Transportation 429 16 35 20 (15) (28) 2 69 Medifast Inc. MED Personal Products 237 11 19 5 (14) (35) 26 2 ENSCO PLC ADS ESV Oil & Gas Drilling 12,013 53 29 15 (14) (2) 2 11 VeriFone Systems Inc. PAY Data Processing & Outsourced Services 4,649 40 22 9 (13) (0) 5 4 Golden Minerals Co. AUMN Precious Metals & Minerals 262 10 23 11 (12) (59) 6 25 American Capital Agency CorpAGNC Mortgage REITs 6,191 24 17 5 (11) 15 2 Yandex N.V. Cl A YNDX Internet Software & Services 3,518 19 52 41 (11) (30) 1 29 Ralcorp Holdings Inc. RAH Packaged Foods & Meats 4,531 36 30 19 (10) (5) 1 15 EXCO Resources Inc. XCO Oil & Gas Exploration & Production 2,595 38 24 13 (10) (31) 5 10 Charles River Laboratories Int CRL Life Sciences Tools & Services 1,435 22 24 14 (10) (29) 3 7 AK Steel Holding Corp. AKS Steel 1,003 33 18 8 (10) (42) 22 1 Alere Inc. ALR Health Care Supplies 2,255 25 18 8 (10) (28) 5 10 Spectrum Brands Holdings IncSPB Household Products 1,328 19 77 68 (10) (21) 4 173 MI Developments Inc. MIM Real Estate Operating Companies 1,541 22 30 21 (9) 90 58 AMAG Pharmaceuticals Inc. AMAG Biotechnology 336 15 47 38 (8) (16) 11 26 CVR Energy Inc. CVI Oil & Gas Refining & Marketing 1,900 56 44 36 (8) (11) 8 14 Advanced Analogic TechnologAATI Semiconductors 187 25 47 39 (8) (30) 4 28 LivePerson Inc. LPSN Internet Software & Services 687 11 21 13 (8) (9) 6 12 Willbros Group Inc. WG Oil & Gas Equipment & Services 230 16 21 13 (8) (44) 6 13 HollyFrontier Corp. HFC Oil & Gas Refining & Marketing 5,771 49 20 13 (8) (19) 3 9 Lattice Semiconductor Corp. LSCC Semiconductors 792 18 19 11 (8) 46 9 Coinstar Inc. CSTR Specialized Consumer Services 1,381 39 31 24 (7) (18) 36 5 Kratos Defense & Security So KTOS Aerospace & Defense 186 16 32 25 (7) (55) 11 41 Harbin Electric Inc. HRBN Electrical Components & Equipment 732 19 21 14 (7) 54 27 4 US Airways Group Inc. LCC Airlines 775 31 18 11 (7) (46) 15 3 SodaStream International Ltd. SODA Household Appliances 672 24 28 21 (7) (44) 35 3 RTI Biologics Inc. RTIX Health Care Supplies 238 19 17 10 (7) 59 5 15 Endologix Inc. ELGX Health Care Supplies 662 11 15 8 (7) 24 7 9 Sotheby's BID Specialized Consumer Services 2,145 33 13 6 (7) (27) 9 3 Wabash National Corp. WNC Construction & Farm Machinery & Heavy T 490 24 15 8 (7) (24) 14 4 Discovery Communications In DISCK Broadcasting 4,510 15 14 8 (6) 60 13 Liberty Global Inc. Cl A LBTYA Cable & Satellite 6,149 41 29 23 (6) (6) 4 21 Cheniere Energy Inc. LNG Oil & Gas Storage & Transportation 920 21 27 21 (6) 21 21 5 Iron Mountain Inc. IRM Diversified Support Services 5,600 24 19 13 (6) (11) 5 11 Invesco Mortgage Capital Inc. IVR Mortgage REITs 1,764 29 13 7 (6) (24) 6 4 Huntsman Corp. HUN Diversified Chemicals 2,744 33 15 9 (6) (38) 1 6 Amdocs Ltd. DOX IT Consulting & Other Services 5,486 24 16 10 (6) (3) 1 14 Greenbrier Cos. Inc. GBX Construction & Farm Machinery & Heavy T 560 16 13 7 (6) 13 9 4 Powerwave Technologies Inc. PWAVD Communications Equipment 68 16 32 26 (6) (85) 10 15 AMR Corp. AMR Airlines 644 24 11 5 (6) (64) 18 1 United Therapeutics Corp. UTHR Biotechnology 2,458 39 15 9 (6) (24) 11 5 Arcos Dorados Holdings Inc. CARCO Restaurants 2,850 27 34 28 (6) 52 17 Body Central Corp. BODY Apparel Retail 350 14 18 12 (6) (6) 7 10 Mosaic Co. MOS Fertilizers & Agricultural Chemicals 17,063 75 13 7 (6) (18) 2 3 Depomed Inc. DEPO Pharmaceuticals 274 13 15 9 (6) (39) 10 5 Goodyear Tire & Rubber Co. GT Tires & Rubber 3,399 39 20 14 (6) (17) 5 5 CapitalSource Inc. CSE Regional Banks 1,706 33 26 20 (5) (4) 2 16

Average $2,574 26 26% 17% (9)% (17)% 9% 18 Median 1,354 24 21 13 (7) (18) 6 10 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 27 November 21, 2011 United States

Highest concentration by Equity Capitalization Band

Exhibit 30:

10 stocks in seven EQUITY CAP BANDS with largest hedge fund CONCENTRATION

POPULARITY CONCENTRATION EquityNumber of Percent of Short Avg Days CapHedge Funds Equity Cap owned Total Interest Volume to ($ mil)Owning Stock by Hedge Funds Return as % of Liquidate Company Ticker Sub-sector 30-Sep-11 30-Sep-11 30-Jun-11 30-Sep-11 Chg YTD Mkt Cap HF Position

$100 to $500 Million Metals USA Holdings Corp. MUSA Steel $332 15 79% 79% 0% (28)% 2% 195 MagnaChip Semiconductor Corp. MX Semiconductors 264 14 68 73 5 0 186 American Railcar Industries Inc. ARII Construction & Farm Machinery & Heavy Trucks 328 12 60 61 1132 94 FairPoint Communications Inc. FRP Integrated Telecommunication Services 113 14 52 54 31664 Liz Claiborne Inc. LIZ Apparel Accessories & Luxury Goods 473 33 40 47 622238 Quality Distribution Inc. QLTY Trucking 214 24 49 46 (3) 19 3 67 Energy Partners Ltd. EPL Oil & Gas Exploration & Production 445 19 45 46 0 (0) 10 49 QLT Inc. QLTI Biotechnology 365 19 39 45 6 (3) 2 115 Nature's Sunshine Products Inc. NATR Personal Products 219 12 46 44 (2) 78 5 142 State Bank Financial Corp. STBZ Regional Banks 399 15 42 44 3 3 4 128

$500 MIllion to $1 Billion Noranda Aluminum Holding Corp. NOR Aluminum 561 14 72 71 (1) (33) 2 145 Nordion Inc. NDZ Life Sciences Tools & Services 561 21 55 54 (1) (17) 0 191 Dynegy Inc. DYN Independent Power Producers & Energy Traders 504 23 46 46 0 (52) 729 Leap Wireless International Inc. LEAP Wireless Telecommunication Services 544 25 37 46 10 (23) 16 13 Blue Coat Systems Inc. BCSI Communications Equipment 587 29 22 42 20 (47) 10 21 Swift Transportation Co. SWFT Trucking 511 32 42 41 (0) (26) 811 Chemtura Corp. CHMT Specialty Chemicals 985 44 38 40 2 (26) 6 27 VIVUS Inc. VVUS Pharmaceuticals 717 17 33 40 8 9 19 14 Lions Gate Entertainment Corp. LGF Movies & Entertainment 946 10 64 39 (25) 31 2 100 Ameristar Casinos Inc. ASCA Casinos & Gaming 524 31 36 37 1165 31

$1 Billion to $5 Billion Federal-Mogul Corp. FDML Auto Parts & Equipment 1,459 16 81 81 (0) (27) 0 433 Dollar Thrifty Automotive Group IncDTG Trucking 1,633 50 68 73 5381735 Loral Space and Communications LORL Communications Equipment 1,062 25 66 69 3 (22) 3 152 Spectrum Brands Holdings Inc SPB Household Products 1,236 19 77 68 (10) (19) 4 161 Six Flags Entertainment Corp. SIX Leisure Facilities 1,514 33 65 66 1351076 AutoNation Inc. AN Automotive Retail 4,778 20 48 48 (0) 21 8 63 Youku.com Inc. Cl A ADS YOKU Internet Software & Services 1,262 16 46 45 (1) (42) 10 8 Yandex N.V. Cl A YNDX Internet Software & Services 2,901 19 52 41 (11) 1 24 Varian Semiconductor Equipment AVSEA Semiconductor Equipment 4,717 55 26 40 14 70 1 18 ViaSat Inc. VSAT Communications Equipment 1,403 15 35 38 3 6 10 50

$5 Billion to $10 Billion Sears Holdings Corp. SHLD Department Stores 6,149 20 49 50 0 (5) 11 69 Charter Communications Inc. Cl A CHTR Cable & Satellite 5,153 40 43 44 1 37 1 122 Family Dollar Stores Inc. FDO General Merchandise Stores 6,116 49 27 29 2173 18 Southern Union Co. SUG Oil & Gas Storage & Transportation 5,061 52 27 28 1772 21 Calpine Corp. CPN Independent Power Producers & Energy Traders 6,470 42 25 26 1132 42 Beam Inc BEAM Distillers & Vintners 8,354 41 23 25 2112 39 Life Technologies Corp. LIFE Life Sciences Tools & Services 6,935 55 19 24 5 (26) 218 CareFusion Corp. CFN Health Care Equipment 5,363 51 18 24 6(3)1 25 J.C. Penney Co. Inc. JCP Department Stores 5,713 42 25 23 (2) 2 16 8 Liberty Global Inc. Cl A LBTYA Cable & Satellite 5,464 41 29 23 (6) 19 4 18

$10 Billion to $20 Billion LyondellBasell Industries N.V. Cl ALYB Specialty Chemicals 13,964 72 42 40 (2) 2 1 35 Motorola Mobility Holdings Inc. MMI Communications Equipment 11,303 57 17 34 17 34 3 19 AutoZone Inc. AZO Automotive Retail 12,804 44 26 26 (1) 24 3 24 Motorola Solutions Inc. MSI Communications Equipment 14,377 42 25 24 (1) 25 1 19 Williams Cos. WMB Oil & Gas Storage & Transportation 14,334 81 15 23 8293 13 Crown Castle International Corp. CCI Wireless Telecommunication Services 11,647 45 24 23 (1) (4) 3 30 Goodrich Corp. GR Aerospace & Defense 15,104 76 15 20 5412 13 El Paso Corp. EP Oil & Gas Storage & Transportation 13,464 59 13 20 7813 10 Valeant Pharmaceuticals InternatioVRX Pharmaceuticals 10,971 50 16 16 1532 14 Express Scripts Inc. ESRX Health Care Services 18,035 83 8 14 6 (13) 14 9 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 28 November 21, 2011 United States

Exhibit 30 cont'd:

10 stocks in seven EQUITY CAP BANDS with largest hedge fund CONCENTRATION

$20 Billion to $50 Billion News Corp. Cl A NWSA Movies & Entertainment 28,366 63 9 14 5213 10 priceline.com Inc. PCLN Internet Retail 22,370 69 13 13 0378 4 General Dynamics Corp. GD Aerospace & Defense 21,490 47 11 12 0(4)1 17 Viacom Inc. Cl B VIA.B Movies & Entertainment 20,268 71 11 11 (0) 16 2 11 Anadarko Petroleum Corp. APC Oil & Gas Exploration & Production 31,387 81 9 9 (0) 5 2 8 WellPoint Inc. WLP Managed Health Care 23,544 77 9 8 (1) 25 2 8 Lowe's Cos. LOW Home Improvement Retail 24,379 66 6 8 2 (5) 25 American Tower Corp. AMT Wireless Telecommunication Services 21,292 66 9 7 (2) 13 2 8 Baidu Inc. ADS BIDU Internet Software & Services 28,962 62 7 7 0462 2 Visa Inc. V Data Processing & Outsourced Services 44,684 67 6 7 1372 5

Greater than $50 Billion Citigroup Inc. C Other Diversified Financial Services 74,743 115 6 5 (1) (41) 23 Google Inc. Cl A GOOG Internet Software & Services 130,933 156 4 4 142 3 QUALCOMM Inc. QCOM Communications Equipment 81,553 118 4 4 0171 4 Apple Inc. AAPL Computer Hardware 353,518 209 3 4 0211 2 Kraft Foods Inc. KFT Packaged Foods & Meats 59,306 65 3 3 0161 6 Amazon.com Inc. AMZN Internet Retail 98,154 79 3 3 (0) 21 2 2 JPMorgan Chase & Co. JPM Other Diversified Financial Services 117,439 128 3 3 (1) (21) 13 Home Depot Inc. HD Home Improvement Retail 51,418 63 2 3 0112 3 Schlumberger Ltd. SLB Oil & Gas Equipment & Services 80,598 84 2 2 1(8)1 3 Pfizer Inc. PFE Pharmaceuticals 137,942 121 3 2 (0) 18 1 3 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 29 November 21, 2011 United States

Highest concentration by sector

Exhibit 31:

10 stocks in each SECTOR with largest hedge fund CONCENTRATION as % of market cap

POPULARITY CONCENTRATION Number of Percent of Short Avg Days EquityHedge Funds Equity Cap owned Total Interest Volume to CapOwning Stock by Hedge Funds Return as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg YTD Mkt Cap HF Position Consumer Discretionary Federal-Mogul Corp. FDML Auto Parts & Equipment 1,483 16 81 81 (0) (27) 0 440 Six Flags Entertainment Corp.SIX Leisure Facilities 2,013 33 65 66 1 35 10 101 Sears Holdings Corp. SHLD Department Stores 7,486 20 49 50 0 (5) 11 84 AutoNation Inc. AN Automotive Retail 4,778 20 48 48 (0) 21 8 63 Liz Claiborne Inc. LIZ Apparel Accessories & Luxury Goods 825 33 40 47 6222314 Charter Communications Inc. CHTR Cable & Satellite 5,724 40 43 44 1 37 1 135 Lions Gate Entertainment Cor LGF Movies & Entertainment 1,174 10 64 39 (25) 31 2 124 Ameristar Casinos Inc. ASCA Casinos & Gaming 583 31 36 37 1165 34 Visteon Corp. VC Auto Parts & Equipment 2,909 58 28 37 9(24)3 34 Wet Seal Inc. Cl A WTSLA Apparel Retail 293 23 36 34 (2) (12) 13 16 Consumer Staples Spectrum Brands Holdings IncSPB Household Products 1,328 19 77 68 (10) (19) 4 173 Nature's Sunshine Products InNATR Personal Products 249 12 46 44 (2) 78 5 161 Cott Corp. COT Soft Drinks 631 18 34 31 (2) (26) 1 47 Vector Group Ltd. VGR Tobacco 1,385 12 25 26 0136 52 Cosan Ltd. Cl A CZZ Agricultural Products 2,075 21 27 25 (2) (10) 1 34 Alliance One International Inc. AOI Tobacco 245 19 23 25 1(34)1041 Beam Inc BEAM Distillers & Vintners 7,922 41 23 25 2112 37 Sanderson Farms Inc. SAFM Packaged Foods & Meats 1,138 16 19 22 3332212 Ralcorp Holdings Inc. RAH Packaged Foods & Meats 4,531 36 30 19 (10) 26 1 15 Hain Celestial Group Inc. HAIN Packaged Foods & Meats 1,560 19 18 19 1316 23 Energy Energy Partners Ltd. EPL Oil & Gas Exploration & Production 596 19 45 46 0 (0) 10 66 CVR Energy Inc. CVI Oil & Gas Refining & Marketing 1,900 56 44 36 (8) 45 8 14 Harvest Natural Resources IncHNR Oil & Gas Exploration & Production 323 27 36 33 (3) (23) 24 20 Endeavour International Corp. END Oil & Gas Exploration & Production 252 12 22 29 7(52)1633 Energy XXI (Bermuda) Ltd. EXXI Oil & Gas Exploration & Production 2,412 40 30 29 (2) 14 9 20 Southern Union Co. SUG Oil & Gas Storage & Transportation 5,243 52 27 28 1772 22 Forest Oil Corp. FST Oil & Gas Exploration & Production 1,829 36 18 27 9(41)6 10 James River Coal Co. JRCC Coal & Consumable Fuels 294 15 20 24 4(67)25 6 Semgroup Corp. Cl A SEMG Oil & Gas Storage & Transportation 1,193 29 29 24 (5) 6 4 24 Sunoco Inc. SUN Oil & Gas Refining & Marketing 3,928 51 24 24 (1) (7) 9 10 Financials State Bank Financial Corp. STBZ Regional Banks 474 15 42 44 3 3 4 152 Doral Financial Corp. DRL Thrifts & Mortgage Finance 135 15 44 42 (1) (23) 4 61 Central Pacific Financial Corp CPF Regional Banks 541 11 40 40 (0) (58) 2 193 PennyMac Mortgage InvestmePMT Mortgage REITs 468 19 37 38 035 51 E*TRADE Financial Corp. ETFC Investment Banking & Brokerage 2,485 49 30 34 4(46)3 18 iStar Financial Inc. SFI Mortgage REITs 520 17 23 31 8(19)2517 United Community Banks Inc. UCBI Regional Banks 293 10 27 29 2(28)8 58 PHH Corp. PHH Specialized Finance 923 21 31 28 (3) (29) 11 17 MPG Office Trust Inc. MPG Office REITs 116 16 25 28 3(17)1123 Sunstone Hotel Investors Inc. SHO Specialized REITs 903 20 8 27 19 (26) 6 21 Health Care Nordion Inc. NDZ Life Sciences Tools & Services 581 21 55 54 (1) (17) 0 197 QLT Inc. QLTI Biotechnology 352 19 39 45 6 (3) 2 111 Enzon Pharmaceuticals Inc. ENZN Biotechnology 317 14 44 43 (1) (46) 14 50 VIVUS Inc. VVUS Pharmaceuticals 907 17 33 40 8 9 19 18 AMAG Pharmaceuticals Inc. AMAG Biotechnology 336 15 47 38 (8) (12) 11 26 InterMune Inc. ITMN Biotechnology 1,359 31 33 38 4(43)8 19 Auxilium Pharmaceuticals Inc.AUXL Pharmaceuticals 765 26 37 37 (0) (25) 14 24 MedCath Corp. MDTH Health Care Facilities 152 15 27 35 923 52 Medivation Inc. MDVN Biotechnology 1,454 28 35 35 01758 24 Grifols S.A. ADS GRFS Biotechnology 905 28 36 32 (3) 0 37 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 30 November 21, 2011 United States

Exhibit 31 cont'd:

10 stocks in each SECTOR with largest hedge fund CONCENTRATION as % of market cap

POPULARITY CONCENTRATION Number of Percent of Short Avg Days EquityHedge Funds Equity Cap owned Total Interest Volume to CapOwning Stock by Hedge Funds Return as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg YTD Mkt Cap HF Position Industrials Dollar Thrifty Automotive GrouDTG Trucking 1,894 50 68 73 5381741 American Railcar Industries InARII Construction & Farm Machinery & Hea 534 12 60 61 1 13 2 153 Quality Distribution Inc. QLTY Trucking 258 24 49 46 (3) 19 3 80 Swift Transportation Co. SWFT Trucking 738 32 42 41 (0) (26) 8 16 Accuride Corp. ACW Construction & Farm Machinery & Hea 314 32 37 41 4(58)5 41 Xerium Technologies Inc. XRM Industrial Machinery 126 14 34 33 (1) (48) 3 68 Aircastle Ltd. AYR Trading Companies & Distributors 866 12 32 33 0185 41 Pendrell Corp. PCO Research & Consulting Services 543 11 29 31 2 75 3 178 Air Transport Services Group ATSG Air Freight & Logistics 343 19 28 30 2(32)3 53 Avis Budget Group Inc. CAR Trucking 1,442 26 34 29 (5) (12) 10 16 Information Technology MagnaChip Semiconductor CoMX Semiconductors 315 14 68 73 5 0 222 Loral Space and Communicat LORL Communications Equipment 1,270 25 66 69 3 (22) 3 181 Youku.com Inc. Cl A ADS YOKU Internet Software & Services 1,565 16 46 45 (1) (42) 10 10 Blue Coat Systems Inc. BCSI Communications Equipment 673 29 22 42 20 (47) 10 24 Yandex N.V. Cl A YNDX Internet Software & Services 3,518 19 52 41 (11) 1 29 Varian Semiconductor EquipmVSEA Semiconductor Equipment 4,860 55 26 40 14 70 1 19 PRGX Global Inc. PRGX Data Processing & Outsourced Servic 135 11 39 39 (1) (13) 3 94 Advanced Analogic TechnologAATI Semiconductors 187 25 47 39 (8) 5 4 28 ViaSat Inc. VSAT Communications Equipment 1,993 15 35 38 3 6 10 71 Ciena Corp. CIEN Communications Equipment 1,324 35 30 36 7(35)28 5 Materials Metals USA Holdings Corp. MUSA Steel 407 15 79 79 0 (28) 2 239 Noranda Aluminum Holding C NOR Aluminum 586 14 72 71 (1) (33) 2 151 Chemtura Corp. CHMT Specialty Chemicals 1,162 44 38 40 2(26)6 32 LyondellBasell Industries N.V. LYB Specialty Chemicals 20,164 72 42 40 (2) 2 1 50 Nalco Holding Co. NLC Specialty Chemicals 5,367 48 7 34 27 21 2 22 TPC Group Inc. TPCG Commodity Chemicals 394 26 34 32 (1) (17) 4 32 Temple-Inland Inc. TIN Paper Packaging 3,490 44 21 29 8524 13 Clearwater Paper Corp. CLW Paper Products 784 25 23 27 4(12)5 33 W.R. Grace & CO. GRA Specialty Chemicals 3,127 44 30 27 (3) 21 2 28 Solutia Inc. SOA Diversified Chemicals 2,033 34 22 26 3(28)2 18 Telecommunication Services FairPoint Communications IncFRP Integrated Telecommunication Service 134 14 52 54 31676 Leap Wireless International In LEAP Wireless Telecommunication Services 743 25 37 46 10 (23) 16 18 PAETEC Holding Corp. PAET Alternative Carriers 790 32 13 32 20 44 4 36 Hawaiian Telcom Holdco Inc. HCOM Integrated Telecommunication Service 152 11 0 28 28 (47) 1 62 Primus Telecommunications GPTGI Integrated Telecommunication Service 161 10 1 28 27 (6) 1 104 Crown Castle International Co CCI Wireless Telecommunication Services 11,983 45 24 23 (1) (4) 3 31 Clearwire Corp. Cl A CLWR Wireless Telecommunication Services 449 24 23 21 (2) (65) 17 9 Level 3 Communications Inc. LVLT Alternative Carriers 4,269 44 16 16 (0) 40 10 16 Vonage Holdings Corp. VG Alternative Carriers 627 21 13 15 2244 12 USA Mobility Inc. USMO Wireless Telecommunication Services 321 13 16 14 (1) (14) 9 18 Utilities Dynegy Inc. DYN Independent Power Producers & Ener 330 23 46 46 0(52)7 19 Calpine Corp. CPN Independent Power Producers & Ener 7,337 42 25 26 1132 48 GenOn Energy Inc. GEN Independent Power Producers & Ener 2,138 36 21 21 1(27)4 20 Central Vermont Public ServicCV Electric Utilities 472 13 10 12 2664 20 Constellation Energy Group InCEG Independent Power Producers & Ener 8,095 37 7 10 3341 9 Nicor Inc. GAS Gas Utilities 2,548 22 9 10 1154 12 NRG Energy Inc. NRG Independent Power Producers & Ener 4,912 31 9 7 (2) 9 3 6 National Fuel Gas Co. NFG Gas Utilities 4,956 29 7 6 (1) (7) 1 9 DPL Inc. DPL Electric Utilities 3,551 20 5 6 1231 6 NV Energy Inc. NVE Electric Utilities 3,599 26 3 6 3111 6 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 31 November 21, 2011 United States

Highest short interest: Stocks under $1 billion

Exhibit 32:

50 stocks UNDER $1 billion with largest SHORT INTEREST as % of market cap

POPULARITY CONCENTRATION Number of Percent of Short Avg Days EquityHedge Funds Equity Cap owned Total Interest Volume to CapOwning Stock by Hedge Funds Return as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg YTD Mkt Cap HF Position KB Home KBH Homebuilding $580 22 17% 13% (4)% (43)% 37% 2 Savient Pharmaceuticals Inc. SVNT Biotechnology 183 17 21 23 1 (77) 36 8 ATP Oil & Gas Corp. ATPG Oil & Gas Exploration & Production 344 21 19 21 3 (60) 36 6 SodaStream International Ltd. SODA Household Appliances 672 24 28 21 (7) 7 35 3 OCZ Technology Group Inc. OCZ Computer Storage & Peripherals 391 23 21 25 4 57 34 8 ZAGG Inc. ZAGG Consumer Electronics 339 10 4 3 (2) 51 32 1 Blue Nile Inc. NILE Internet Retail 453 10 13 12 (2) (41) 32 6 Collective Brands Inc. PSS Apparel Retail 852 29 21 30 9 (33) 30 12 Eastman Kodak Co. EK Photographic Products 313 28 8 5 (3) (78) 29 1 Overseas Shipholding Group Inc.OSG Oil & Gas Storage & Transportation 437 15 9 8 (1) (57) 28 4 Corinthian Colleges Inc. COCO Education Services 228 15 7 7 (0) (48) 28 2 Alaska Communications SystemsALSK Integrated Telecommunication Service 228 12 5 7 2 (51) 28 4 Harbin Electric Inc. HRBN Electrical Components & Equipment 732 19 21 14 (7) 34 27 4 Brown Shoe Co. Inc. BWS Apparel Retail 382 11 5 6 1 (33) 27 4 Travelzoo Inc. TZOO Internet Software & Services 474 13 8 4 (4) (28) 27 1 Medifast Inc. MED Personal Products 237 11 19 5 (14) (47) 26 2 PetMed Express Inc. PETS Internet Retail 197 12 5 7 2 (43) 26 5 LinkedIn Corporation LNKD Internet Software & Services 676 18 22 18 (4) 26 1 James River Coal Co. JRCC Coal & Consumable Fuels 294 15 20 24 4 (67) 25 6 iStar Financial Inc. SFI Mortgage REITs 520 17 23 31 8 (19) 25 17 Lumber Liquidators Holdings Inc. LL Home Improvement Retail 471 12 14 12 (2) (32) 25 7 Titan International Inc. TWI Construction & Farm Machinery & Hea 946 22 12 7 (5) 15 24 3 Rex Energy Corp. REXX Oil & Gas Exploration & Production 730 16 6 6 (0) 20 24 3 Heico Corp. HEI Aerospace & Defense 1,019 10 1 2 1 49 24 2 Talbots Inc. TLB Apparel Retail 170 19 15 10 (4) (72) 24 2 Magnum Hunter Resources Corp MHR Oil & Gas Exploration & Production 601 27 13 11 (2) (35) 24 6 KIT digital Inc. KITD Internet Software & Services 550 15 5 6 1 (26) 24 6 Harvest Natural Resources Inc. HNR Oil & Gas Exploration & Production 323 27 36 33 (3) (23) 24 20 Trina Solar Ltd. ADS TSL Semiconductors 536 21 15 17 2 (71) 24 4 VirnetX Holding Corp. VHC Application Software 1,142 16 3 3 (0) 52 24 1 Sonic Automotive Inc. Cl A SAH Automotive Retail 612 19 17 18 1 14 23 11 Sourcefire Inc. FIRE Systems Software 977 11 6 11 5 31 23 7 Changyou.com Ltd. ADS CYOU Home Entertainment Software 256 10 13 20 6 (8) 23 7 Silicon Graphics International Co SGI Computer Hardware 467 21 15 14 (0) 64 23 8 Constant Contact Inc. CTCT Internet Software & Services 713 14 6 5 (1) (23) 23 3 P.F. Chang's China Bistro Inc. PFCB Restaurants 686 23 8 14 6 (31) 23 6 Liz Claiborne Inc. LIZ Apparel Accessories & Luxury Goods 825 33 40 47 6 22 23 14 Insulet Corp. PODD Health Care Equipment 886 16 10 8 (2) 21 23 10 Goodrich Petroleum Corp. GDP Oil & Gas Exploration & Production 547 14 3 3 0 (14) 22 1 Valassis Communications Inc. VCI Publishing 928 22 14 18 4 (36) 22 8 Penn Virginia Corp. PVA Oil & Gas Exploration & Production 264 20 10 12 2 (65) 22 6 Meredith Corp. MDP Publishing 1,016 15 5 4 (1) (17) 22 2 Synaptics Inc. SYNA Computer Storage & Peripherals 1,084 16 4 3 (1) 15 22 2 AK Steel Holding Corp. AKS Steel 1,003 33 18 8 (10) (43) 22 1 BroadSoft Inc. BSFT Application Software 1,127 16 11 8 (2) 74 22 3 Comstock Resources Inc. CRK Oil & Gas Exploration & Production 842 21 3 6 3 (28) 21 3 STEC Inc. STEC Computer Storage & Peripherals 484 15 11 12 1 (40) 21 3 American Greetings Corp. Cl A AM Housewares & Specialties 614 16 7 7 0 (25) 21 8 Approach Resources Inc. AREX Oil & Gas Exploration & Production 825 11 5 8 3 25 21 5 Cheniere Energy Inc. LNG Oil & Gas Storage & Transportation 920 21 27 21 (6) 101 21 5

Average $602 18 13% 13% (0)% (14)% 26% 5 Median 565 16 12 11 (0) (26) 24 4 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 32 November 21, 2011 United States

Highest short interest: Stocks over $1 billion

Exhibit 33:

50 stocks OVER $1 billion with largest SHORT INTEREST as % of market cap

POPULARITY CONCENTRATION Number of Percent of Short Avg Days EquityHedge Funds Equity Cap owned Total Interest Volume to CapOwning Stock by Hedge Funds Return as % of Liquidate Company Ticker Sub-sector ($ mil) 30-Sep-11 30-Jun-11 30-Sep-11 Chg YTD Mkt Cap HF Position Diamond Foods Inc. DMND Packaged Foods & Meats $799 25 11% 16% 5% (32)% 38% 8 OpenTable Inc. OPEN Internet Software & Services 902 22 10 30 20 (46) 38 6 Coinstar Inc. CSTR Specialized Consumer Services 1,381 39 31 24 (7) (21) 36 5 ITT Educational Services Inc. ESI Education Services 1,547 27 23 24 1 (9) 35 8 Northern Oil & Gas Inc. NOG Oil & Gas Exploration & Production 1,473 19 9 9 0 (14) 34 4 Ciena Corp. CIEN Communications Equipment 1,324 35 30 36 7 (35) 28 5 GameStop Corp. Cl A GME Computer & Electronics Retail 3,277 33 9 9 0 3 27 3 Veeco Instruments Inc. VECO Semiconductor Equipment 1,020 22 18 16 (2) (39) 26 4 Children's Place Retail Stores IncPLCE Apparel Retail 1,176 16 18 16 (2) (6) 25 6 Seattle Genetics Inc. SGEN Biotechnology 1,848 10 18 18 0 7 24 13 First Solar Inc. FSLR Semiconductors 3,890 43 6 9 2 (65) 24 3 Alliance Data Systems Corp. ADS Data Processing & Outsourced Service 5,064 24 7 4 (2) 43 23 2 SUPERVALU Inc. SVU Food Retail 1,738 29 6 5 (0) (12) 22 2 Sanderson Farms Inc. SAFM Packaged Foods & Meats 1,138 16 19 22 3 33 22 12 Aruba Networks Inc. ARUN Communications Equipment 2,514 17 4 5 0 13 22 1 Saks Inc. SKS Department Stores 1,659 26 7 4 (3) (3) 22 2 United States Steel Corp. X Steel 3,907 37 5 4 (1) (53) 22 1 St. Joe Co. JOE Diversified Real Estate Activities 1,365 11 1 1 1 (32) 21 1 Tesla Motors Inc. TSLA Automobile Manufacturers 3,539 16 4 4 0 27 21 3 Life Time Fitness Inc. LTM Leisure Facilities 1,792 13 9 7 (2) 3 21 7 United Rentals Inc. URI Trading Companies & Distributors 1,670 30 16 24 9 17 20 7 Lennar Corp. Cl A LEN Homebuilding 2,809 44 11 17 5 (3) 20 6 Vera Bradley Inc. VRA Apparel Accessories & Luxury Goods 1,721 10 9 9 (0) 29 19 9 InterOil Corp. IOC Integrated Oil & Gas 2,011 16 13 14 2 (35) 19 10 athenahealth Inc. ATHN Health Care Technology 2,003 16 5 2 (3) 38 19 1 Vulcan Materials Co. VMC Construction Materials 4,165 15 1 1 (0) (26) 19 0 Cheesecake Factory Inc. CAKE Restaurants 1,522 26 9 12 3 (10) 18 6 InterDigital Inc. IDCC Communications Equipment 2,189 40 3 15 12 17 18 5 MAKO Surgical Corp. MAKO Health Care Equipment 1,416 20 17 19 1 123 17 10 Western Refining Inc. WNR Oil & Gas Refining & Marketing 1,409 27 9 9 (0) 47 17 2 Quicksilver Resources Inc. KWK Oil & Gas Exploration & Production 1,373 22 22 23 1 (46) 17 12 Illumina Inc. ILMN Life Sciences Tools & Services 3,881 26 4 3 (1) (50) 17 2 Dollar Thrifty Automotive Group I DTG Trucking 1,894 50 68 73 5 38 17 41 Cree Inc. CREE Semiconductors 3,440 30 3 2 (1) (55) 17 1 Jos. A. Bank Clothiers Inc. JOSB Apparel Retail 1,516 20 4 6 2 35 17 4 Regal Entertainment Group RGC Movies & Entertainment 1,890 27 10 12 2 29 16 8 PSS World Medical Inc. PSSI Health Care Distributors 1,248 17 5 3 (2) 5 16 2 SuccessFactors Inc. SFSF Application Software 2,384 29 10 13 4 (2) 16 7 Ann Inc. ANN Apparel Retail 1,339 28 17 22 5 (6) 16 5 Martin Marietta Materials Inc. MLM Construction Materials 3,473 21 13 10 (3) (16) 16 11 Portfolio Recovery Associates IncPRAA Specialized Finance 1,254 20 6 8 3 (3) 16 14 J.C. Penney Co. Inc. JCP Department Stores 6,879 42 25 23 (2) 2 16 10 Netflix Inc. NFLX Internet Retail 4,530 48 17 22 5 (51) 15 2 Molycorp Inc. MCP Diversified Metals & Mining 2,780 25 10 10 1 (34) 15 2 AOL Inc. AOL Internet Software & Services 1,462 26 13 15 2 (37) 15 9 CACI International Inc. Cl A CACI IT Consulting & Other Services 1,482 17 17 17 0 5 15 12 Brinker International Inc. EAT Restaurants 1,896 28 4 8 4 15 15 4 Shutterfly Inc. SFLY Internet Retail 1,289 26 13 12 (1) 7 15 6 Dendreon Corp. DNDN Biotechnology 1,074 19 11 7 (5) (79) 15 2 Universal Display Corp. PANL Electronic Components 2,454 30 12 26 14 74 15 9

Average $2,196 26 12% 14% 2% (4)% 21% 6 Median 1,730 26 10 12 1 (3) 19 5 Note: Based on analysis of 679 hedge funds with $638 billion of single-stock equity assets. Table is limited to stocks with 10 or more hedge fund investors. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 33 November 21, 2011 United States

Appendix B: Drawbacks of our hedge fund holding analysis

Data limitations One weakness of our analysis is that it excludes any synthetic positions that hedge funds may create through the use of derivative contracts (options, 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 a synthetic short position in options or futures on the underlying stock or an index of similar stocks that we currently are not able to monitor because the data on such trades and positions is not disclosed. These positions could either magnify or reduce the conclusions of our Hedge Fund Trend Monitor.

Lack of international holdings Hedge 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 by sector and capitalization size, we may overestimate the “density” of hedge fund portfolios.

Incomplete reporting of short positions Our data is limited to publicly disclosed short interest statistics released by the exchanges. Only US broker-dealers are required to report short positions to these exchanges, so we miss any shorts held in overseas accounts. We assume that hedge funds account for 85% of all short interest in the market and that the short side of hedge fund portfolios mirrors the overall short market in terms of sector allocation.

Timeliness Another potential weakness of our analysis relates to the timeliness of the reported data. For example, the equity holdings for the 679 hedge funds we studied were based on 13-F filings of positions owned as of September 30, 2011, although most of these filings were not made public until mid-November 2011.

Importantly, we believe our analysis of September 30 hedge fund holdings based on filings made in mid-November 2011 is probably more reflective of actual current holdings than many market participants are inclined to believe.

Hedge fund holdings turnover is lower than most expect, as highlighted previously. Most securities (66%) that were in hedge fund portfolios on September 30, 2011, also appeared in portfolios on June 30, 2011. Because the overall holdings picture was surprisingly constant, we think it is reasonable for us to believe that the most recent holdings data is not so “out-of-date” as some might suggest.

Goldman Sachs Global Economics, Commodities and Strategy Research 34 November 21, 2011 United States

Appendix C: Hedge fund portfolio density and net long holdings

Hedge fund returns are highly dependent on the performance of a few key stocks. The typical hedge fund has an average of 64% of its long-equity assets invested in its 10 largest positions compared with 31% for the typical large-cap mutual fund, 20% for a small-cap mutual fund, 19% for the S&P 500 and just 2% for the Russell 2000 Index.

Exhibit 34: Top 10 holdings account for 64% of assets in Hedge fund portfolios

Hedge Funds 100% (Top 10 positions = 64% of portfolio)

80% Small-cap mutual funds (Top 10 =20%) 60% S&P 500 (Top 10 = 19%) 40%

Large-cap mutual Russell 2000

% of total long equity portfolio equity long total of % 20% funds (Top 10 = 2%) (Top 10 = 31%)

0% 1 10 20 30 40 50 60 70 80 90 100 Largest stock positions

Source: Compustat and Goldman Sachs Global ECS Research.

Turnover of holdings rose to 34% in 3Q. Quarterly turnover in 3Q rose in most sectors with the greatest increase in Industrials. Utilities, Staples, and Materials turnover fell.

Exhibit 35: Hedge turnover averaged 34% in 3Q 2011, at the two-year average, as of September 30, 2011 60% Hedge Fund Turnover by Sector 55% Bottom quartile 2011 Change since 2-yr 50% 47% Sector 3Q 2Q 2011 Avg 45% Industrials 36 % 5 pp 35 % 40% Financials 36 4 35 34% Consumer Discretionary 35 3 35 35% Telecom Services 35 2 35 All positions 30% Health Care 32 2 33 Information Technology 35 2 35 25% Portfolio Turnover (%) Turnover Portfolio 20% Energy 35 1 38 20% Utilities 34 (1) 38 15% Top quartile Consumer Staples 34 (1) 36 Materials 36 (3) 38 10% S&P 500 34 % 3 pp 34 % Jun-01 Jun-02 Jun-03 Jun-04 Jun-05 Jun-06 Jun-07 Jun-08 Jun-09 Jun-10 Jun-11 Jun-12

Source: Compustat, Lionshare via FactSet and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 35 November 21, 2011 United States

Appendix D: 100 largest hedge funds ranked by equity assets

Number of Equity Number of Equity Securities Assets Securities Assets Institution Name Held ($ Billions) Institution Name Held ($ Billions)

Renaissance Technologies LLC 2,556 $23 Scout Capital Management LLC 17 $3 Adage Capital Advisors LLC 622 21 HealthCor Management LP 50 3 Citadel Advisors LLC 2,416 19 Owl Creek Asset Management LP 26 3 D. E. Shaw & Co., Inc. 2,247 18 Trian Fund Management LP 15 3 Paulson & Co., Inc. 93 18 Bridgewater Associates LP 388 3 AQR Capital Management LLC 2,717 14 Levin Capital Strategies LP 240 3 Lone Pine Capital LLC 64 14 Kensico Capital Management Corp. 45 3 Icahn Associates Corp. 22 11 Samlyn Capital LLC 104 2 S.A.C. Capital Advisors LP 1,697 10 Soros Fund Management LLC 443 2 International Value Advisers LLC 145 9 Peak6 Advisors LLC 1,228 2 ESL Investments, Inc. 12 9 PAR Capital Management, Inc. 70 2 Viking Global Investors LP 55 8 Elliott Management Corp. 52 2 Millennium Management LLC 1,924 8 Alpine Associates 58 2 Two Sigma Investments LLC 1,179 8 Longview Asset Management LLC 5 2 Fir Tree, Inc. 54 8 Kingdon Capital Management LLC 158 2 Highfields Capital Management LP 81 7 Clough Capital Partners LP 244 2 Maverick Capital Ltd. 66 7 Weiss Multi-Strategy Advisers LLC 428 2 Gateway Investment Advisers LLC 589 7 Third Point Management Co. LLC 31 2 SPO Partners & Co. 15 7 JGD Management Corp. 52 2 Apollo Capital Management LP 21 7 Ivory Investment Management LP 54 2 Kayne Anderson Capital Advisors LP 107 7 Mason Capital Management LLC 18 2 Highbridge Capital Management LLC 832 6 Diamondback Capital Management LLC 515 2 Pershing Square Capital Management 14 6 Passport Capital LLC 131 2 Glenview Capital Management LLC 56 6 Caxton Associates LP 948 2 Eton Park Capital Management LP 52 5 Cadian Capital Management LLC 39 2 ValueAct Capital Management LP 22 5 JANA Partners LLC 26 2 Carlson Capital LP 461 5 WS Management LLLP 70 2 Tiger Global Management LLC 65 5 AlphaBet Management LLC 191 2 Blue Ridge Capital Holdings LLC 52 5 Merchants' Gate Capital LP 17 2 Brookside Capital LLC 54 5 Artis Capital Management LP 262 2 OZ Management LLC 292 5 Baker Bros. Advisors LLC 47 2 Greenlight Capital, Inc. 40 5 Elm Ridge Capital Management LLC 46 2 Farallon Capital Management LLC 75 4 TPG-Axon Capital 30 2 Chilton Investment Co. LLC 168 4 Hoplite Capital Management LLC 37 2 Pennant Capital Management LLC 52 4 Mayo Investment Advisers LLC 98 2 UBS O'Connor LLC 534 4 Conatus Capital 23 2 GMT Capital Corp. 162 4 Paradigm Capital Management, Inc. 224 2 Gilder, Gagnon, Howe & Co. LLC 196 4 MHR Fund Management LLC 14 2 Vinik Asset Management LP 227 3 Seminole Management Co., Inc. 43 2 Omega Advisors, Inc. 61 3 Visium Asset Management LLC 306 2 The Baupost Group LLC 26 3 Valinor Management LLC 56 2 Coatue Management LLC 37 3 Harbinger Capital Partners LLC 28 2 Aletheia Research & Management, Inc. 242 3 Prospector Partners LLC 161 2 Eminence Capital LLC 56 3 Technical Financial Services LLC 1,485 2 Cantillon Capital Management LLC 35 3 GEM Realty Capital, Inc. 33 2 Taconic Capital Advisors LLC 41 3 Balyasny Asset Management LLC 292 2 Discovery Capital Management LLC 63 3 Karsch Capital Management LP 26 2 Horizon Asset Management LLC 198 3 Luxor Capital Group LP 69 1 Alyeska Investment Group 162 3 Pentwater Capital Management LP 60 1 JAT Capital Management LLC 37 3 Tremblant Capital Group 39 1

Equity Assets As a % ($ Billions) of Total

Largest 50 $360 56% Largest 100 458 72

Total 679 $638 100% Note: Based on analysis of 13-Fs filed by 679 hedge funds with $638 billion of single-stock equity assets. Holdings as of September 30, 2011; Pricing as of November 15, 2011.

Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 36 November 21, 2011 United States

Appendix E: 100 largest institutions ranked by equity assets (a)

Number of Equity Number of Equity Securities Assets Securities Assets Institution Name Held ($ Billions) Institution Name Held ($ Billions)

Fidelity Management & Research Co. 4,317 $490 Manning & Napier Advisors, Inc. 530 $25 Capital World Investors 1,018 391 Capital International Research & Managemen 474 25 Capital Research Global Investors 1,140 281 GE Asset Management, Inc. 601 25 T. Rowe Price Associates, Inc. 3,943 281 Nuveen Asset Management LLC 3,195 24 Wellington Management Co. LLP 3,661 254 RhumbLine Advisers Ltd. Partnership 2,900 24 BlackRock Advisors LLC 5,480 218 Dreyfus Investment Advisors, Inc. 2,242 22 TIAA-CREF Asset Management LLC 6,910 151 Winslow Capital Management, Inc. 71 22 AllianceBernstein LP 5,703 129 NFJ Investment Group 377 21 MFS Investment Management, Inc. 1,732 120 Capital Guardian Trust Co. 857 20 Columbia Management Investment Advisers L 4,782 115 Templeton Investment Counsel LLC 1,201 20 Invesco Advisers, Inc. 2,989 113 Fayez Sarofim & Co. 224 20 Dimensional Fund Advisors, Inc. 6,965 112 Pioneer Investment Management, Inc. 728 20 Dodge & Cox, Inc. 257 98 Brandes Investment Partners LP 527 19 OppenheimerFunds, Inc. 1,738 84 Robeco Investment Management 820 17 Jennison Associates LLC 821 67 Aronson & Johnson & Ortiz LP 619 17 Neuberger Berman LLC 1,613 63 Harris Investment Management, Inc. 2,052 17 Janus Capital Management LLC 744 62 NWQ Investment Management Co. LLC 234 16 Grantham, Mayo, Van Otterloo Co. LLC 2,768 59 Federated Investment Management Co. 1,178 16 American Century Investment Management, I 2,187 59 Aberdeen Asset Management, Inc. 3,128 16 PRIMECAP Management Co. 254 58 Calamos Advisors LLC 451 16 Lazard Asset Management LLC 1,527 55 Acadian Asset Management LLC 3,449 16 Franklin Advisers, Inc. 1,470 55 Argyll Research LLC 554 15 Waddell & Reed Investment Management Co 720 51 Sands Capital Management LLC 77 15 Davis Selected Advisers LP 210 49 Institutional Capital LLC 88 15 Harris Associates LP 698 48 CBRE Clarion Securities 205 15 Eaton Vance Management, Inc. 1,010 47 BAMCO, Inc. 337 15 Pyramis Global Advisors LLC 2,799 46 The Boston Company Asset Management LL 1,884 14 UBS Global Asset Management 4,017 46 Loomis, Sayles & Co. LP 597 14 ClearBridge Advisors LLC 1,014 46 Hotchkis & Wiley Capital Management LLC 171 14 Franklin Mutual Advisers LLC 296 45 Matthews International Capital Management L 449 14 Thornburg Investment Management, Inc. 908 44 Rainier Investment Management, Inc. 195 14 Artisan Partners LP 951 43 Arrowstreet Capital LP 1,434 13 Barrow, Hanley, Mewhinney & Strauss LLC 211 42 Fred Alger Management, Inc. 619 13 First Eagle Investment Management LLC 465 39 Epoch Investment Partners, Inc. 543 13 Lord Abbett & Co. LLC 890 35 GAMCO Investors 1,196 13 INTECH Investment Management LLC 1,242 34 Westfield Capital Management Co. LP 269 13 Invesco PowerShares Capital Management L 6,155 33 Franklin Advisory Services LLC 348 12 Putnam Investment Management LLC 2,658 33 Brown Investment Advisory, Inc. 618 12 Marsico Capital Management LLC 642 32 Gabelli Funds LLC 998 12 Quantitative Management Associates LLC 3,312 31 Schroder Investment Management North Ame 2,114 12 Royce & Associates LLC 1,828 31 Columbus Circle Investors 240 11 Cohen & Steers Capital Management, Inc. 487 30 Ruane, Cunniff & Goldfarb, Inc. 184 11 Van Eck Global 1,324 29 PanAgora Asset Management, Inc. 2,919 11 Delaware Management Business Trust 1,676 29 Wentworth, Hauser & Violich, Inc. 1,176 11 Southeastern Asset Management, Inc. 83 27 Mason Street Advisors LLC 1,732 11 Northern Cross LLC 75 27 Cramer Rosenthal McGlynn LLC 262 11 William Blair & Co. LLC (Investment Managem 1,588 27 Security Investors LLC 3,428 11 Columbia Wanger Asset Management LLC 579 27 Turner Investment Partners, Inc. 1,097 11 Tradewinds Global Investors LLC 548 26 Standard Life Investments, Inc. (United States 623 10 ING Investment Management Co. 5,210 26 Thrivent Investment Management, Inc. 1,440 10

Equity Assets As a % ($ Billions) of Total

Largest 50 $4,336 67% Largest 100 5,120 79

Total 1,521 $6,505 100% (a) Total includes Mutual Fund Institutions and Investment Advisors. Holdings as of September 30, 2011; Pricing as of November 15, 2011. Excludes broker-dealers and organizations primarily managing Indexed assets.

Source: Lionshare via FactSet, IDC and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 37 November 21, 2011 United States

Appendix F: GS Portfolio Strategy Baskets on Bloomberg

Permission to our GS Portfolio Strategy Baskets

To receive access to the Goldman Sachs US Portfolio Strategy Bloomberg page, please follow the directions below:

1. Please go to your Bloomberg terminal and type IAM .

2. Take a screen shot of the page.

3. Send the attachment and an e-mail to your Goldman Sachs salesperson requesting access to the US Portfolio Strategy Bloomberg page.

Exhibit 36: Strategy baskets are listed on Bloomberg : Portfolio Strategy / Theme and Sector Baskets

Thematic Baskets Sector Baskets Bloomberg Bloomberg Macroeconomic Cyclicals GSTHBETA GSSBCYCL GSTHINTL GSTHAINT Defensives GSTHBRIC GSSBDEFS GSTHWEUR Global Fundamental GSSBGLBL GSTHQUAL GSTHREVG Domestic GSTHGROE GSSBDOMS GSTHOPHI GSTHOPLO Global Cyclicals GSTHSBAL GSSBGCYC GSTHWBAL Domestic Cyclical Hedge Fund GSSBDCYC GSTHHVIP GSTHHFHI Global Defensive GSTHHFSL GSSBGDEF Valuation Domestic Defensive GSTHDIVG GSSBDDEF GSTHSHRP GSTHSVLU GSTHAVLU GSTHGARP

Note: The ability to trade baskets will depend upon market conditions, including liquidity and borrow constraints at the time of trade.

Source: Bloomberg and Goldman Sachs Global ECS Research.

Goldman Sachs Global Economics, Commodities and Strategy Research 38 November 21, 2011 United States

Equity Basket Disclosure

The Equities Division of the firm has previously introduced the baskets of securities discussed in this report. The Equity Analyst may have been consulted as to the composition of the basket prior to its launch; however, the views expressed in this research and its timing were not shared with the Equities Division.

Goldman Sachs Global Economics, Commodities and Strategy Research 39 November 21, 2011 United States

Reg AC

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Goldman Sachs Global Economics, Commodities and Strategy Research 40 November 21, 2011 United States

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Goldman Sachs Global Economics, Commodities and Strategy Research 42