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1、PortfolioTurnover(%),Dec-01,Dec-02,Dec-03,Dec-04,Dec-05,Dec-06,Dec-07,Dec-08,Dec-09,Dec-10,Dec-11,Dec-12,Dec-13,60%,55%,50%,November 19,2012United States,Hedge Fund Trend Monitor,Portfolio Strategy Research,Turnover hits record low;fiscal cliff risk to 2013 hedge fund returnsThis report analyzes the
2、 positions of 696 hedge funds with$1.3 trillion of gross assets at the startof 3Q 2012($834 billion of long stock and ETF holdings and an estimated$434 billion of shortpositions).Net exposure rose to 48%but turnover of fund positions fell to a new low.The averagehedge fund underperformed the S&P 500
3、 YTD(6%vs.14%)through November 2nd.Overweightpositioning in the Consumer Discretionary sector represents a risk to 2013 hedge fund returnsbecause pending tax increases may affect consumer spending patterns next year.,Hedge fund turnover hit record low in 3QTurnover of all positions averaged 29%in 3Q
4、,the lowest level in at least 10years.This trend was also evident in our Hedge Fund VIP list.The top 25stocks that matter most to hedge funds were unchanged from last quarter.Funds continue to lag the market despite strong consensus picksThe average hedge fund has returned 6%YTD vs.14%for the S&P 50
5、0 and13%for the average large-cap core mutual fund.More than 20%of fundshave absolute losses.However,our VIP basket has returned 19%YTD,implying poor management of short books has hampered fund returns.Sector positioning presents risk if consumers fall off the fiscal cliffConsumer Discretionary rema
6、ins the sector with the largest aggregatehedge fund allocation and constitutes 24%of our VIP basket.Stocks inhighly-weighted consumer subsectors may underperform if rising taxesaffect consumer spending,representing risk to fund performance in 2013.Hedge fund turnover fell to an all-time low in 3Q 20
7、12,Amanda Sneider,CFA(212)357-9860 Goldman,Sachs&Co.David J.Kostin(212)902-6781 Goldman,Sachs&Co.Stuart Kaiser,CFA(212)357-6308 Goldman,Sachs&Co.Ben Snider(212)357-1744 Goldman,Sachs&Co.Peter Lewis(212)902-9693 Goldman,Sachs&Co.Rima Reddy(801)884-4794,45%40%35%30%25%20%15%,Hedge Fund Turnover,All po
8、sitionsLargest positions,Smallest positions,41%29%17%,Goldman,Sachs&Co.,10%Source:Lionshares via FactSet and Goldman Sachs Global ECS Research.Goldman Sachs does and seeks to do business with companies covered in its research reports.As a result,investorsshould be aware that the firm may have a conf
9、lict of interest that could affect the objectivity of this report.Investorsshould consider this report as only a single factor in making their investment decision.For Reg AC certification and otherimportant disclosures,see the Disclosure Appendix,or go to Analysts employed bynon-US affiliates are no
10、t registered/qualified as research analysts with FINRA in the U.S.,The Goldman Sachs Group,Inc.,Goldman Sachs Global Economics,Commodities and Strategy Research,3,4,5,6,8,10,12,14,16,18,19,32,33,34,35,36,2,November 19,2012Table of ContentsGoldman Sachs Hedge Fund Trend MonitorDistribution of hedge f
11、und performance in 2012Hedge fund Consumer Discretionary exposure and the fiscal cliff“Stocks that matter most”:The hedge fund VIP listEstimating the short side:The Very Important Short Position listThe impact of hedge funds:Look at the“concentrated”positionsExploring hedge fund net exposureSectors:
12、Funds increased cyclical overweightsSize:Large-cap stocks account for almost 50%of holdingsHedge funds and ETFs:Hedging tools,not investment vehiclesAppendix A:Hedge fund data tablesAppendix B:Drawbacks of our hedge fund holding analysisAppendix C:Hedge fund portfolio density and net long holdingsAp
13、pendix D:100 largest hedge funds ranked by equity assetsAppendix E:100 largest institutions ranked by equity assetsAppendix F:GS Portfolio Strategy Baskets on BloombergDisclosure Appendix,United States37,Turnover for our Hedge Fund VIP Basket()and Very Important Short Position Basket(),Turnover for
14、ourHedge Fund VIP Basket,Turnover for ourVery Important Short Position Basket,AddedIBMGEPMBRK.BEMCCSCOXOMCOFABXMDLZDTVMPCOXY,DroppedINTCWMTORCLDUKKMICBEUALARBADALDTGTRIPSUNCVS,AddedINTCWMTORCLISRGMCDDEORLYCERNSTXRRCTWCHNZMCOLLYMMMMTBSWNNEMNEEAZOPGRAETMYL,DroppedIBMGEPMBRK.BEMCCSCOXOMCRMETNPEPABTKSSU
15、PSUSBCMGWMKMBSPGITWBHIAAUTXHST,Goldman Sachs Global Economics,Commodities and Strategy Research,3,November 19,2012,United States,Goldman Sachs Hedge Fund Trend MonitorThis Hedge Fund Trend Monitor analyzes 696 hedge funds with$1.3 trillion of grossequity positions($834 billion long and$434 billion s
16、hort).This report focuses on hedgefund positions at the start of 4Q 2012 and is based on 13-F filings as of November 15,2012.We list eight conclusions below:1.LEVERAGE:The typical hedge fund operates 48%net long($400 billion net/$834billion long),up from 43%in 2Q 2012.Risk appetite by this metric in
17、creased during thequarter but remains below the 52%high in 1Q 2007.We estimate 14%of short positioningis conducted via ETFs with 10%at the broad index level.See Exhibit 11.2.PERFORMANCE:Hedge funds saw modest gains as longs outperformed but shortshampered returns.The average hedge fund returned 6%YT
18、D in 2012 through November2nd compared with 14%for the S see page 7 for the full list of 50 stocks.8.VERY IMPORTANT SHORT POSITIONS:Our Hedge Fund Very Important ShortPosition basket(Bloomberg ticker:)contains the 50 S&P 500 stocks withthe highest total dollar value of short interest outstanding tha
19、t are not in our VIP longbasket.The VISP basket returned 7.4%YTD.Our VIP pair trade has mirrored the HFREquity Hedge Index with an average quarterly return of 137 bp vs.123 bp since 2001 butthe Sharpe Ratio has been higher(0.42 vs.0.23).New top shorts include INTC,WMT,andISRG.Goldman Sachs Global Ec
20、onomics,Commodities and Strategy Research,%ofFunds,14,12,8,6,2,4,November 19,2012,United States,Distribution of hedge fund performance in 2012The typical hedge fund generated a 2012 YTD return of 5.9%through November 2ndcompared with a 14.5%gain for the S&P 500 and a 12.6%return for the average larg
21、e-cap core mutual fund(see Exhibit 1).The standard deviation of all hedge fund returnswas 9 percentage points so two-thirds of hedge funds have generated YTD returnsbetween-3%and+15%.Distribution of returns provides more perspective than a single point estimate.Only13%of hedge funds have generated Y
22、TD returns greater than 14.5%,outperforming theS&P 500.78%of funds have generated positive returns.Popular long positions have outperformed the index by 400 bp YTD in 2012.OurHedge Fund VIP Basket(Bloomberg ticker:),consisting of 50 stocks thatappear most frequently among hedge fund top ten holdings
23、,has returned 18.7%YTD,compared to 14.5%for the S&P 500.All the outperformance was generated in the last fewmonths as the basket lagged by 300 bp through July but outperformed by 680 bp since.Hedge funds increased risk in response to the 3Q market rally and suffered as themarket pulled back from its
24、 September highs.Hedge fund net long exposure sat at 43%at the start of 3Q 2012 as the market proceeded to reach five-year highs.Funds increasedtheir exposure to 48%by the start of 4Q,just as the rally stalled and concerns over thefiscal cliff sent the index lower.However,the distribution of fund re
25、turns combined withthe recent outperformance of long positions suggests that choice of shorts,not justmagnitude,has hampered fund performance.Exhibit 1:Distribution of 2012 hedge fund performanceas of November 2,201216,2012 YTDPerformanceas of 2-Nov,Hedge FundVIP Basket,18.7%10,40,AverageHedge Fund5
26、.9%,AverageMutual Fund12.6%,S&P 50014.5%,-8,-6,-4,-2,0,2,4,6,8,10,12,14,16,18,20,22,24,26,2012 YTD Returns(%)Source:Lipper,FactSet,Goldman Sachs Asset Management,and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics,Commodities and Strategy Research,5,November 19,2012,United States,He
27、dge fund Consumer Discretionary exposure and the fiscal cliffConsumer Discretionary consistently ranks as the sector with the largest hedge fundallocation.This quarter Consumer Discretionary again ranks first in terms of aggregatelong,gross,and net absolute positions as well as tilt relative to the
28、Russell 3000.Almostone in four stocks in our VIP basket is a Consumer Discretionary sector constituent.Thesector has outperformed the S pricing as of November 15,2012Single-Stock Holdings,%of Cap,Hedge Fund,Long,Owned by,Long,Russell 3000,Portfolio,YTD,Russell 3000 SubsectorCable&SatelliteInternet R
29、etailAuto Parts&EquipmentApparel Accessories&Luxury GoodsDepartment StoresSpecialty StoresGeneral Merchandise StoresAutomotive RetailMovies&EntertainmentBroadcastingConsumer Discretionary,Hedge Funds7%81391210911586%,Weight223 bp194119127929510078181852044 bp,Weight129 bp101375632394729137431277 bp,
30、Tilt94 bp938171615553504342768 bp,Return17%29(4)1410121511252716%,Source:Lionshares via FactSet and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics,Commodities and Strategy Research,HedgeFundStocksTotalReturn(100=Dec2003),Jun-04,Jun-05,Dec-03,Dec-04,Dec-05,Jun-06,Jun-07,Jun-08,Jun-0
31、9,Jun-10,Jun-11,Jun-12,Dec-06,Dec-07,Dec-08,Dec-09,Dec-10,Dec-11,Dec-12,Jun-13,125,120,6,November 19,2012,United States,“Stocks that matter most”:The hedge fund VIP listOur hedge fund VIP list(Bloomberg ticker:)consists of stocks in whichfundamentally-driven hedge funds have a large stake.We define
32、stocks that“mattermost”to hedge funds as the positions that appear most frequently among the top tenholdings within hedge fund portfolios.For this analysis,we limit our universe to hedgefunds with 10 to 200 distinct equity positions in an attempt to isolate fundamentally-driveninvestors from quantit
33、ative funds or funds that mirror private equity investments.Our hedge fund VIP list offers investment ideas and tracks long exposure of hedgefunds.By construction,the VIP list identifies the 50 stocks whose performance will largelyinfluence the long side of many fundamentally driven hedge funds.The
34、basket of the 50 stocks that“matter most”has outperformed the S&P 500 by 63bp on a quarterly basis since 2001,with a Sharpe ratio of 0.24.The VIP basket hasoutperformed the S&P 500 by 460 bp(14.3%vs.9.7%)YTD through November 15th.Asillustrated in Exhibit 3,the VIP basket lagged the S&P 500 by 12 pp
35、during 2H 2008(-41%vs.-29%).It outperformed the S&P 500 by 14 pp in 2009(40%vs.27%)and by 443 bp in 2010(19%vs.15%)but underperformed the S&P 500 by 519 bp in 2011(-3.1%vs.2.1%).From an implementation standpoint,the hedge fund VIP list offers an efficient vehiclefor investors seeking to“follow the s
36、mart money”based on 13-F filings.The VIPbasket has a large-cap bias with a median market capitalization of$48 billion comparedwith$12 billion for S&P 500.Top constituents include AAPL,GOOG,AIG and MSFT.Our hedge fund VIP basket is not sector neutral to the S&P 500.The VIP list containsstocks from ni
37、ne of the ten sectors with Utilities absent.The VIP basket overweights theConsumer Discretionary sector(24%)and underweights Consumer Staples(4%)relative tothe broad market index.Turnover for the basket during 3Q 2012 was below the historical average,with 13 newstocks entering the VIP list compared
38、with an average quarterly turnover of 17 stocks since2001.New constituents are ABX,BRK.B,COF,CSCO,DTV,EMC,GE,IBM,MDLZ,MPC,OXY,PM,and XOM(see Exhibit 4).However,all of the current top 25 stocks were alsoconstituents last quarter.Exhibit 3:Stocks that“matter most”have outperformed by 63 bp on average
39、each quarter since 2001(46 quarters)as of November 15,2012,Stocks that Matter MostBloomberg Quarterly Relative Return vs.SPX,Stocks that Matter MostBloomberg:(Relative Return vs.SPX),Maximum75th PercentileMedian25th PercentileMinimum,674 bp18582(104)(785),115110105,Current112,Standard DeviationAvera
40、ge Excess Return(bp)Sharpe Ratio,26563 bp0.24,10095,ReturnsVIP ListS&P 500,3Q YTD_9.5%14.3%6.4%9.7%,Hit rate of outperformance,63%,since May 2001Source:Lionshares via FactSet,IDC and Goldman Sachs Global ECS Research.Goldman Sachs Global Economics,Commodities and Strategy Research,8,9,7,November 19,
41、2012,United States,GSTHHVIP:50 stocks that“matter most”to hedge fundsExhibit 4:Very Important Positions(VIP)for hedge funds50 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,EquityCap,posit
42、ionsowning stock,with stock asTop 10 holding,when stockranks among,owned byHedge Funds,TotalReturn,CompanyApple Inc.Google Inc.American Intl GroupMicrosoft CQUALCOMM Inc.Citigroup Inc.JPMorgan ChaseExpress Scripts Holding CoVisa Inc.Pfizer Inc.Liberty Media CorpYahoo!Inc.Anadarko PetroleumGeneral Mo
43、tors Co.Tyco InternationalDollar General Corp.Equinix Inc.LyondellBasell Industries N.V.News Corp.ADelphi Automotive PLCeBay Inc.Liberty Interactive Corp.Interactive Series AVisteon Corp.Wells Fargo&Co.Capital One FinancialCisco SystemsFreeport-McMoRan Cp&GldSchlumberger Ltd.Barrick Gold Corp.Bank o
44、f AmericaCharter Communications Inc.Cl AHertz Global Holdings Inc.Johnson&JohnsonMondelez IntlSBA Communications Corp.BP PLC ADSBerkshire HathawayInternational Bus.MachinesMasterCardCIT Group Inc.DIRECTVEMC Corp.General ElectricMarathon PetroleumOccidental PetroleumPhilip Morris IntlSix Flags Entert
45、ainment Corp.Exxon Mobil Corp.AverageMedian,TickerAAPLGOOGAIGMSFTPCLNQCOMCJPMESRXVPFELMCAYHOOAPCGMTYCDGEQIXLYBNWSAAMZNDLPHEBAYLINTAVCWFCCOFCSCOFCXSLBABXBACCHTRHTZJNJMDLZSBACBPBRK.BIBMMACITDTVEMCGEMPCOXYPMSIXXOM,Sub-sectorComputer HardwareInternet Software&ServicesMulti-line InsuranceSystems Software
46、Internet RetailCommunications EquipmentOther Diversified Financial ServicesOther Diversified Financial ServicesHealth Care ServicesData Processing&Outsourced ServicesPharmaceuticalsBroadcastingInternet Software&ServicesOil&Gas Exploration&ProductionAutomobile ManufacturersSecurity&Alarm ServicesGene
47、ral Merchandise StoresInternet Software&ServicesSpecialty ChemicalsMovies&EntertainmentInternet RetailAuto Parts&EquipmentInternet Software&ServicesCatalog RetailAuto Parts&EquipmentDiversified BanksConsumer FinanceCommunications EquipmentDiversified Metals&MiningOil&Gas Equipment&ServicesGoldOther
48、Diversified Financial ServicesCable&SatelliteTruckingPharmaceuticalsPackaged Foods&MeatsWireless Telecommunication ServicesIntegrated Oil&GasProperty&Casualty InsuranceIT Consulting&Other ServicesData Processing&Outsourced ServicesRegional BanksCable&SatelliteComputer Storage&PeripheralsIndustrial C
49、onglomeratesOil&Gas Refining&MarketingIntegrated Oil&GasTobaccoLeisure FacilitiesIntegrated Oil&Gas,($bil)$493212462243110410315041941771121353712169265510010601031673295359233987619045128211212577314921218601423398$8848,30-Sep-121481109659466656514638443841424833343830304226392931383925243019392532
50、302523292222292221252320211920193831,30-Sep-12109767239313029272626252322212121202020201919191818161515151514141414141414131313131212121212121212122217,Top 10 holdings8%796656566589667589761257105457666874710845104455541046%6,30-Sep-123%519218442781272385132044341433651356182332146231414221414531922
