Goldman Prime Brokerage - Insights & Analytics Chart Pack April 2023

Prime Insights & Analytics Chart Pack
April 2023
Vincent Lin, CFA Prime Services Securities Lending [email protected]
Marco Laicini, PhD Prime Services Strategies [email protected]
Freddie Parker, CFA Prime Services Capital Introduction [email protected]
Erin Tolar Prime Services Securities Lending [email protected]
Nick Bourdeau Prime Services Securities Lending [email protected]
Global Banking & Markets
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Long/Short Performance Estimates
Confidential
2
Hedge Fund Performance Estimates: Latest Snapshot
Both Fundamental L/S1 and Systematic L/S2 returns are up YTD though significantly lagging the
market benchmark.
Asset-Weighted Returns Asset-Weighted Returns

10% 10%
9% 9%
8%
8%
7%
7%
6%
6% 5%
5% 4%
4% 3%
3% 2%
1%
2%
0%
1%
-1%
0% -2%
-1% -3%
2023 2023
Jan Feb Mar Apr Jan Feb Mar Apr
Fundamental L/S MSCI TR Systematic L/S MSCI TR
GS Performance Estimate calculation - The proprietary performance estimates represent weighted averages of fund performance derived from aggregated Goldman Sachs Prime Services client cash, equity, synthetic, index and equity options positions for
(1) an anonymized basket of Equity Fundamental Long/Short funds and (2) an anonymized Systematic Long/Short basket that tracks a diversified/non-concentrated set of equity (close to) market neutral managers broadly factor-based.
Source: Goldman Sachs FICC and Equities and Prime Services data as of April 18, 2023. Past performance is not indicative of future results.
Confidential FICC&&Markets
Global Banking Equities 3
Hedge Fund Performance Estimates: Alpha vs. Beta
Fundamental L/S funds experienced modest drawdown YTD in long alpha and short alpha, both of
which have been moving sideways in the past month.
Fundamental L/S Total Returns Fundamental L/S Alpha Returns

4% 2%
3.5% 1.5%
3%
1%
2.5%
0.5%
2%
1.5% 0%
1% -0.5%
0.5%
-1%
0%
-1.5%
-0.5%
-1% -2%
-1.5% -2.5%
2023 2023
Beta Returns Alpha Returns Long Alpha Short Alpha
Hedge Fund Performance Estimates: Regions and Sectors
Europe focused L/S managers outperformed their regional peers in absolute terms YTD. By sector of
focus, TMT L/S funds posted solid gains while Health Care L/S returns have been more challenged.
Fundamental L/S Total Returns Fundamental L/S Total Returns

11% 10%
10% 8%
9%
6%
8%
4%
7%
6% 2%
5% 0%
4%
-2%
3%
-4%
2%
1% -6%
0% -8%
-1%
-10%
2023
-2%
2023 Jan Feb Mar Apr
Jan Feb Mar Apr Health Care Fundamental L/S
US Europe Asia Japan China Overall Fundamental L/S TMT Fundamental L/S
Overall Hedge Fund Positioning
Confidential
6
Hedge Fund Risk Exposures: Latest Snapshot
“Alpha over Beta” as managers increased Gross exposure but kept Net exposure in check at low levels.
Gross/Net: Overall Prime Book Gross/Net: Fundamental L/S

255 90 190 70
87.5 187.5 68
250 185 66
85
82.5 182.5 64
245
80 180 62
240 177.5 60
77.5
175 58
75
235 172.5 56
72.5
170 54
230 70
167.5 52
67.5 165 50
225 65 162.5 48
62.5 160 46
220
60 157.5 44
215 57.5 155 42
2018 2019 2020 2021 2022 2023 2018 2019 2020 2021 2022 2023
Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan
Gross Leverage (%, left) Net Leverage (%, right) Gross Leverage (%, left) Net Leverage (%, right)
Aggregate Long/Short Ratio (MV): Latest Snapshot
Measure of directional bias indicates hedge funds have yet to fully embrace the market rally.
Long/Short Ratio (MV): Overall Prime Book Long/Short Ratio (MV): Fundamental L/S
2.2 2.25
2.15 2.2
2.15
2.1
2.1
2.05
2.05
2 2
1.95 1.95
1.9 1.9
1.85
1.85
1.8
1.8
1.75
1.75 1.7
1.7 1.65
2018 2019 2020 2021 2022 2023 2018 2019 2020 2021 2022 2023
Long/Short Ratio (MV): Single Stocks vs. Macro Products
Single Stock L/S ratio is at the lowest level since early ’20, while L/S ratio in Macro Products has been
rising recently after seeing sharp declines in January and February.
Long/Short Ratio (MV): Single Stocks Long/Short Ratio (MV): Macro Products
3.1 0.9
3 0.85
2.9 0.8
2.8 0.75
0.7
2.7
0.65
2.6
0.6
2.5
0.55
2.4
0.5
2.3
0.45
2.2 0.4
2.1 0.35
2 0.3
1.9 0.25
2018 2019 2020 2021 2022 2023 2018 2019 2020 2021 2022 2023
Single Stocks Macro Products (Index and ETF Combined)
Cumulative Trading Flows YTD: Latest Snapshot
Overall Prime book is modestly net bought YTD, driven by risk-on flows with long buys outpacing short
sales. Net flows in Single Stocks and Macro Products have diverged so far this year.
Trading Flows: Overall Prime Book Net Trading Flow by Product: Overall Prime Book
12% 8%
10%
6%
8%
4%
% of Global Net MV at Start of 2023
% of Global Net MV at Start of 2023

6%
BUYING
2%
4%
2% 0%
0%
-2%
-2%
SELLING -4%
-4%
-6%
-6%
-8% -8%
2023 2023
Long Flow Short Flow Net Flow Single Stocks Macro Products (Index and ETF Combined)
Regional Positioning
Confidential
11
US Equities: Trading Flows vs. Over/Under-Weight
While US equities are modestly net bought on the Prime book YTD, hedge funds are now the most U/W
the market vs. MSCI World in more than five years.
Prime Book Trading Flows: US Equities Prime Book: Over/Under-Weight vs. MSCI World (%)
14% 7
12% 6
10% 5
8% 4
6% 3
% of US Net MV at Start of 2023
BUYING
4% 2
2% 1
0% 0
-2% -1
-4% -2
-6%
SELLING -3
-8% -4
-10% -5
-12% -6
2023
-7
Jan Feb Mar Apr 2018 2019 2020 2021 2022 2023
Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan
Long Flow Short Flow Net Flow US Equities
European Equities: Trading Flows vs. Over/Under-Weight
Europe is the most net bought region on the Prime book YTD in % terms, driven by long buys outpacing
short sales. Regional weight vs. MSCI World is in the 87th percentile vs. the past five years.
Prime Book Trading Flows: European Equities Prime Book: Over/Under-Weight vs. MSCI World (%)
10% 3
8% 2
6% 1
% of Europe Net MV at Start of 2023
BUYING
4% 0
2%
-1
0%
-2
-2% SELLING
-3
-4%
-4
-6%
-5
-8%
2023
-6
Jan Feb Mar Apr 2018 2019 2020 2021 2022 2023
Long Flow Short Flow Net Flow European Equities
Japanese Equities: Trading Flows vs. Over/Under-Weight
While hedge funds are still U/W the market, managers have aggressively net bought Japanese stocks
YTD, driven by short covers and to a lesser extent long buys.
Prime Book Trading Flows: Japanese Equities Prime Book: Over/Under-Weight vs. MSCI World (%)
45% 2
40% 1.5
35% 1
30% 0.5
% of Japan Net MV at Start of 2023
25% 0
20% -0.5
BUYING
15% -1
10% -1.5
5% -2
0% -2.5
-3
-5% SELLING
-3.5
-10%
2023
-4
Jan Feb Mar Apr 2018 2019 2020 2021 2022 2023
Long Flow Short Flow Net Flow Japanese Equities
Chinese Equities: Trading Flows vs. Over/Under-Weight
Hedge funds net sold Chinese stocks in each of the past two months, reversing ~45% of the
cumulative notional net buying from November ’22 to January ’23.
Prime Book Trading Flows: Chinese Equities Prime Book: Over/Under-Weight vs. MSCI World (%)
14% 12
12% 11
10% 10
% of China Net MV at Start of 2023
8% 9
6% 8
4%
7
2% BUYING
6
0%
5
-2%
SELLING 4
-4%
3
-6%
2023
2
Jan Feb Mar Apr 2018 2019 2020 2021 2022 2023
Long Flow Short Flow Net Flow Chinese Equities (Onshore and Offshore Combined)
US Sector and Subsector Highlights
Confidential
16
US Sector Long/Short Ratio vs. Over/Under-Weight
Hedge funds sharply rotated out of Cyclicals and into TMT & Defensives in Q1 on the back of
increased recession fears.
Prime Book: US Sector Long/Short Ratio (MV) Prime Book: Over/Under-Weight vs. S&P 500 Index (%)
3.6 12
3.4 10
3.2 8
3 6
4
2.8
2
2.6
0
2.4
-2
2.2
-4
2
-6
1.8 -8
1.6 -10
1.4 -12
2019 2020 2021 2022 2023 2019 2020 2021 2022 2023
Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan Jul Jan
TMT Consumer Disc Cyclicals Defensives TMT Consumer Discretionary Cyclicals Defensives
TMT = Information Technology + Communication Services
Defensives = Consumer Staples + Health Care + Utilities
Cyclicals = all other sectors except Consumer Discretionary
US Sector Highlight: Commodity Sensitive Stocks
Managers were not positioned for a rally in commodity sensitive sectors after reducing net length in
Q1. That said, Energy stocks have seen renewed net buying in April amid the rally in crude oil price.
Prime Book: US Sector Long/Short Ratio (MV) Prime Book: Over/Under-Weight vs. S&P 500 Index (%)
4.5 3
4.25
2.5
4
2
3.75
3.5 1.5
3.25 1
3
0.5
2.75
2.5 0
2.25 -0.5
2
-1
1.75
-1.5
1.5
1.25 -2
2019 2020 2021 2022 2023 2019 2020 2021 2022 2023
Energy Materials Energy Materials
US Sector Highlight: Consumer Discretionary vs. Staples
Managers net bought Staples at a faster pace than Consumer Disc stocks in Q1. However, Staples and
Consumer Disc are both net sold in April MTD, led by long sales and short sales, respectively.
Prime Book: Cumulative Net Trading Flow Prime Book US Sector Long/Short Ratio (MV)
2.25% 3 1.9
2% 1.8
1.75% 2.8
1.7
1.5%
% of Overall US Net MV at Start of 2023
2.6 1.6
1.25%
1% 2.4 1.5
0.75% 1.4
BUYING
0.5% 2.2
1.3
0.25%
2 1.2
0%
-0.25% 1.1
1.8
-0.5% 1
SELLING
-0.75% 1.6
0.9
-1%
2023
1.4 0.8
Jan Feb Mar Apr 2019 2020 2021 2022 2023
Jul Jan Jul Jan Jul Jan Jul Jan
US Consumer Discretionary US Consumer Staples Consumer Discretionary (left) Consumer Staples (right)
US Sector Highlight: Info Tech vs. Financials
Info Tech was by far the most net bought US sector in Q1 driven by long buys and to a lesser extent
short covers, while Financials was the most net sold US sector driven almost entirely by short sales.
Prime Book: Cumulative Net Trading Flow Prime Book: Over/Under-Weight vs. S&P 500 Index (%)
7% 10
6% 8
5% 6
% of Overall US Net MV at Start of 2023
4% 4
3% 2
2% BUYING 0
1% -2
-4
0%
-6
-1% SELLING
-8
-2%
-10
-3%
2023
-12
Jan Feb Mar Apr 2019 2020 2021 2022 2023
Jul Jan Jul Jan Jul Jan Jul Jan
US Info Tech US Financials Info Tech Financials
US Single Stock Positioning: Subsector Highlights
L/S ratios in Banks and REITs are still down substantially YTD, suggesting a cautious stance.
Difference between Software vs. Semis & Semi Equip net positioning is at the largest level in years.
Prime Book: US Long/Short Ratio (MV) Prime Book: Over/Under-Weight vs. S&P 500 Index (%)
2.8 8
2.6 6
2.4
4
2.2
2
2
0
1.8
-2
1.6
-4
1.4
1.2 -6
1 -8
2019 2020 2021 2022 2023 2019 2020 2021 2022 2023
Banks REITs Software & Services Semis & Semi Equip
Net Factor Exposure Highlights
Confidential
22
Factor Exposure: Growth vs. Value and Momentum
Hedge funds rotated into Growth and out of Value in Q1. Net exposure to Medium-Term Momentum
has been rising sharply to the highest level since November ’21.
Prime Book: Net Factor Exposure Prime Book: Net Factor Exposure
14% 50%
12% 45%
40%
10%
35%
8%
30%
6% 25%
% of Fund Equity
% of Fund Equity
4% 20%
2% 15%
10%
0%
5%
-2%
-0%
-4% -5%
-6% -10%
2018 2019 2020 2021 2022 2023 2018 2019 2020 2021 2022 2023
Growth Value Medium-Term Momentum
Factor Exposure: Market Sensitivity and Quality
Fundamental L/S managers have been shunning market sensitivity while moving into profitable and
large cap stocks YTD, both of which suggest a more defensive posture.
Fundamental L/S: Net Factor Exposure Fundamental L/S: Net Factor Exposure
100 100
90 90
80 80
% of Fund Equity (5-Year Percentile)
% of Fund Equity (5-Year Percentile)

70 70
60 60
50 50
40 40
30 30
20 20
10 10
0 0
2018 2019 2020 2021 2022 2023 2018 2019 2020 2021 2022 2023
Market Market Sensitivity Profitability Size
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What information is provided about hedge fund performance estimates?

What information is provided about hedge fund performance estimates?

What do the charts on pages 3-4 show about fundamental L/S fund performance?

What do the charts on pages 3-4 show about fundamental L/S fund performance?

Prime Insights & Analytics Chart Pack

Vincent Lin, CFA Prime Services Securities Lending [email protected]

Marco Laicini, PhD Prime Services Strategies [email protected]

Freddie Parker, CFA Prime Services Capital Introduction [email protected]

Erin Tolar Prime Services Securities Lending [email protected]

Nick Bourdeau Prime Services Securities Lending [email protected]

Global Banking & Markets

Asset-Weighted Returns Asset-Weighted Returns

Fundamental L/S Total Returns Fundamental L/S Alpha Returns

Fundamental L/S Total Returns Fundamental L/S Total Returns

Gross/Net: Overall Prime Book Gross/Net: Fundamental L/S

% of Global Net MV at Start of 2023

Growth Value Medium-Term Momentum

% of Fund Equity (5-Year Percentile)

Market Market Sensitivity Profitability Size

Notice to Brazilian Investors

Notice to Investors in Japan

© 2023 Goldman Sachs. All rights reserved.

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