Goldman sachs 12 11-2011

Goldman Sachs Global Economics, Commodities and Strategy Research 1

December 9, 2011

United States

US Weekly Kickstart Portfolio Strategy Research

Client response to our 2012 US equity outlook

We met with a range of investors this week to discuss our outlook for US equities in the coming year. We expect sub-trend economic

growth, 3% growth in S&P 500 earnings (to $100), and flat valuation, leading to a year-end 2012 target of 1250. Most clients agreed

with our view, with pushback focused on margins and Europe. Bullish investors believe margins will grow from the current record

levels and boost earnings. Others expect resolution in Europe will buoy investor confidence and that the S&P 500 could reach 1400.

A small number of investors expect a collapse of the euro; we estimate the market could trade down to 900 in this scenario.

Performance

The S&P 500 fell 0.8% this week. Financials was

the best-performing sector (+0.8%) while Energy

was the worst-performing sector (-2.1%). We

expect the S&P 500 will trade at 1150 in three

months (-7%) and 1250 in 12 months (+1%).

S&P 500 Earnings

Our top-down EPS forecasts of $100 and $106 for

2012 and 2013 reflect +3% and +7% growth,

respectively. Bottom-up consensus forecasts a

10% increase in 2012 to $108, and a 10% increase

in 2013 to $119.

Valuation

Top-down, S&P 500 trades at an NTM P/E of

12.5X. Bottom-up, it trades at an NTM P/E of 11.8X

and an LTM P/B of 2.1X.

Sector views and performance

Our recommended sector weightings gained 3 bp

this week, and have generated -41 bp of alpha

YTD.

US Portfolio Strategy Baskets

Our recommended trades vs. the SPX: High

Sharpe Ratio <GSTHSHRP> was up 0.2%, High

Quality <GSTHQUAL> was down 0.5%, with

Defensives <GSSBDEFS> and Dividend Growth

<GSTHDIVG> trading flat.

Domestic Sales <GSTHAINT> vs. International

Sales <GSTHINTL> was up 0.3%.

S&P 500 stock performance this week

Leaders: GCI, MS, WDC, JPM, and DF.

Laggards: BHI, TSO, JNPR, BSX, and NFX.

Note: The ability to trade these baskets will depend upon market

conditions, including liquidity and borrow constraints at the time

of trade.

David J. Kostin

(212) 902-6781 [email protected] Goldman, Sachs & Co.

Stuart Kaiser, CFA


Amanda Sneider, CFA


Peter Lewis


Ben Snider


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 certification and 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

December 9, 2011 United States


Conversations we are having with clients: Client response to our 2012 US equity outlook

This week we met with a wide range of investors to discuss the outlook

for US equities in 2012. Roughly two thirds of the clients we met with

agree with our base case view that the S&P 500 will deliver lackluster

returns next year. Among those that do not, Europe is the key factor with

bulls outnumbering bears. Investors with global or cross-asset mandates

broadly see US equities as attractive in relative terms. Our outlook is based

on three central points:

1. Stagnant economy. Our US economics team expects a fifth straight year

of sub-trend economic growth with 1.6% GDP growth forecast in 2012 and

the environment persisting in 2013 with 2.2%. They expect unemployment

to remain elevated at 9%, fiscal drag from a divided Congress, and

restrained capex in the face of political and economic uncertainty.

2. Modest earnings growth. We expect margins to peak in 2011 and fall

slightly in 2012. Combined with weak sales growth, this means S&P 500

earnings should grow only 3% to $100 in 2012. Consensus expects $108.

3. Stable valuation. P/E multiples tended to remain flat during 17

“stagnation” periods of prolonged weak but positive economic growth in

OECD countries since 1980. A flat P/E of roughly 12x is supported by our

dividend discount model and uncertainty-based P/E model, although other

approaches such as the Fed model and the historical ROE vs. price/book

relationship suggest significant upside to fair value. Flat valuation along

with modest earnings growth translates into our S&P 500 year-end

2012 target of 1250, roughly unchanged from the current level.

For clients who agree with our outlook, we recommend three strategies

involving our thematic baskets. Buy: (1) High Quality Stocks (Bloomberg

ticker: <GSTHQUAL>) with safe balance sheets and a history of stable

growth; (2) Dividend Growth and Yield (<GSTHDIVG>) as investors navigate

an environment of weak price returns and low yields; (3) stocks with high US

sales exposure vs. firms with high international revenues (<GSTHAINT> vs.

<GSTHINTL>). These strategies have generally outperformed in 2011 and

should continue to work in 2012 given our outlook. Stocks that appear in at

least two of these baskets include ACN, OXY, WAG, CTL, JPM, and WFC.

Bullish investors hold more positive outlooks for margins and Europe,

and argue that our target is too low. Some investors generally agree with

our muted outlook for the economy and corporate earnings, but feel that an

agreement to end Europe’s debt crisis will inevitably be reached next year.

They argue that the stabilization of sovereign balance sheets,

recapitalization of European banks, and clarity in the region’s future will

cause a surge in investor confidence. Investors commonly quote 1400 as a

target S&P 500 price level in this “risk-on” scenario of multiple-expansion.

The divergence between this view and our own is the path to resolution.

Bulls expect clarity in the near term that will reassure investors. We expect

the situation to worsen before it gets better with market pressure necessary

for progress. Our global equity forecasts point to 3- and 6-month downside

in Europe, Asia and the US before recovery in 2H 2012. Clients with global or

cross-asset mandates broadly see equities as attractive relative to low bond

yields and the US as appealing globally due to recent growth momentum.

EU Summit demonstrates progress but lacked “regime change.”

Overall, policymakers are making progress and signaled a commitment to

address the twin sovereign and banking system crises. However, lack of

clarity on the IMF’s role and no clear change in the ECB’s activities in

sovereign debt markets will likely leave some investors disappointed.

Others who disagree with our forecast argue that margins will continue

to expand as sales grow, even in a sub-trend economic environment.

However, history shows that margins don’t always expand when sales grow.

During the last 40 years S&P 500 margins have hit cycle peaks and

contracted six times, and in each period sales continued to grow. Rather,

margins tend to contract in periods of positive but decelerating sales growth.

We expect significantly slower sales growth in 2012 than the 11% rate in

2011, as does consensus.

Margins are the key difference between our earnings forecast and the

consensus view for 2012. We have similar expectations for sales growth in

2012 at 3.7% vs. 5.1% for consensus (ex-Financials and Utilities). However,

we expect margins to contract to 8.7% in 2012 from 8.9% in 2011 while

consensus expects them to grow to 9.4%. Each 50 bp shift in margins equals

about $4 in S&P 500 EPS. The 70 bp gap between our margin forecast and

consensus explains 75% of the $8 difference in 2012 EPS estimates.

Fear of euro collapse frames more bearish views. A small minority of

investors expects a euro breakup and a deep recession in Europe. In this

case our uncertainty-based P/E model suggests the S&P 500 could fall by

roughly 25% to 900. Even if collapse is avoided, the continuation of “passive

containment” and delay of resolution continues to raise the costs in both

financial and economic terms, creating a poor condition for equity markets.


The charts we are watching: Our 2012 US equity outlook Exhibit 1: S&P 500 sales, margins and EPS forecasts vs. consensus as of December 8, 2011

Exhibit 2: Uncertainty-based P/E model points to possible downside as of November 25, 2011

Source: Compustat, FirstCall, I/B/E/S, and Goldman Sachs Global ECS Research. Source: Goldman Sachs Global ECS Research.

Exhibit 3: Margins often contract when sales growth is positive but slowingas of December 8, 2011

Exhibit 4: Each 50 bp shift in margins equals roughly $4 in 2012 S&P 500 EPS as of December 8, 2011

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

Top-down Bottom-UpGS Forecast Consensus

2011E 2012E 2013E 2011E 2012E 2013ES&P 500 ex-Financials and Utilities

Sales Per Share $873 $905 $949 $871 $915 $961Y/Y growth 11.2 % 3.7 % 4.9 % 11.0 % 5.1 % 5.0 %Y/Y growth ex- Energy 8.0 2.3 4.3 8.3 4.9 4.8

Profit Margin 8.9% 8.7% 8.9% 9.0% 9.4% 10.0%

EPS $78 $79 $84 $79 $86 $96Y/Y growth 16.6% 1.2% 6.9% 17.4% 9.8% 11.6%

Utilities EPS $3 $3 $3 $3 $3 $3Financials EPS 16 17 18 16 18 19

S&P 500 EPS $97 $100 $106 $98 $108 $119Y/Y growth 15.9% 2.7% 6.6% 16.5% 10.4% 10.5%

8

10

12

14

16

18

20

22

24

Jan-

92

Jan-

94

Jan-

96

Jan-

98

Jan-

00

Jan-

02

Jan-

04

Jan-

06

Jan-

08

Jan-

10

Jan-

12

Jan-

14

S&P

500

forw

ard

P/E

estim

ate

95% confidence range

Predicted P/E 8.2X

10.1X12.0X

(40)

(30)

(20)

(10)

0

10

20

30

40

1973

1975

1977

1979

1981

1983

1985

1987

1989

1991

1993

1995

1997

1999

2001

2003

2005

2007

2009

2011

2013

2015

Y/Y

Cha

nge

(%)

Sales growth

Margin growth

S&P 500 (Ex-Financials & Utilities)

Margins fall while sales growth remains positive

Sensitivity of 2012 EPS forecast tosales growth and margin

2012 Profit Margin7.7 % 8.2 % 8.7 % 9.2 % 9.7 %

5.7 % 92 97 101 106 111

4.7 91 96 101 105 110

3.7 91 95 100 104 109

2.7 90 95 99 103 108

1.7 89 94 98 103 1072012

Sal

es G

row

th



S&P 500 Performance

Exhibit 5: S&P 500 sector performance over the last week

as of December 8, 2011

Exhibit 6: S&P 500 price return and daily trading volume as of December 8, 2011

Source: FactSet and Goldman Sachs Global ECS Research.


Exhibit 7: S&P 500 sector performance over time as of December 8, 2011

Exhibit 8: BEST and WORST performing S&P 500 STOCKS BY SECTOR as of December 8, 2011



(2.1)

(1.9)

(1.7)

(1.6)(1.3)

(0.4)

(0.4)

(0.4)

(0.1)

0.8

(0.8)

(3.0) (2.0) (1.0) 0.0 1.0

Energy

Materials

Health Care

Utilities

Industrials

S&P 500

Consumer Staples

Telecom Services

Information Tech

Cons Discretionary

Financials

1-week Total Return (%)

0

1

2

3

4

5

6

7

800

900

1,000

1,100

1,200

1,300

1,400

8-D

ec-0

9

8-M

ar-1

0

8-Ju

n-10

8-Se

p-10

8-D

ec-1

0

8-M

ar-1

1

8-Ju

n-11

8-Se

p-11

8-D

ec-1

1

Shares traded (billions)S&P

500

Pric

e Le

vel

S&P 500 daily trading volume (rhs)

S&P 500 daily price level (lhs)

S&P 500200-day moving average

Total Return Percentage Change (%)1-Week 1-Month 3-Month 6-Month YTD 12-Month

Utilities (2)% (2)% 4 % 6 % 14 % 17 %

Consumer Staples (0) 0 4 3 10 12

Health Care (2) (2) 2 (4) 8 10

Cons Discretionary (0) (2) 7 2 5 5

Information Tech (0) (3) 8 4 4 4

Energy (2) (5) 4 (6) 3 7

Telecom Services (0) (2) 4 (2) 1 6

Industrials (1) (2) 8 (6) (3) (0)

Materials (2) (6) (1) (8) (10) (5)

Financials 1 (6) 2 (12) (19) (16)

S&P 500 (1)% (3)% 5 % (2)% 0 % 3 %

BEST STOCKS WORST STOCKSReturn (%) Return (%)

Sector Ticker 1-week YTD Ticker 1-week YTDCons Discr GCI 14 % (14)% DRI (9)% (4)%Consumer Staples DF 6 21 ADM (5) (2)Energy HP 2 22 BHI (11) (13)Financials MS 9 (41) CBG (9) (26)Health Care LLY 3 17 BSX (10) (30)Industrials RHI 4 (8) TXT (7) (24)Info Tech WDC 8 (7) JNPR (10) (46)Materials PX 2 10 ATI (5) (14)Telecom Services VZ 0 11 S (10) (42)Utilities NEE 2 13 NRG (5) (5)

S&P 500 GCI 14 % (14)% BHI (11)% (13)%



S&P 500 Performance (cont’d)

Exhibit 9: TOP 10 performing SUB-SECTORS over the last week as of December 8, 2011

Exhibit 10: BOTTOM 10 performing SUB-SECTORS over the last week as of December 8, 2011



Exhibit 11: TOP 10 performing S&P 500 STOCKS over the last week as of December 8, 2011

Exhibit 12: BOTTOM 10 performing S&P 500 STOCKS over the last week as of December 8, 2011



2

2

2 2

2

2

3

4

4 5

0 2 4 6

Semiconductor Equipment

Industrial REITs

Auto Parts & Equipment

Brewers

Homebuilding

Home Improvement Retail

Homefurnishing Retail

Other Diversified Financial Services

Human Resource & Employment …

Investment Banking & Brokerage


(9)

(8)

(7)

(6)

(5)

(5)

(5)

(5)

(5)

(5)

(10) (9) (8) (7) (6) (5) (4) (3) (2) (1) 0

Real Estate Services

Home Entertainment Software

Coal & Consumable Fuels

Casinos & Gaming

Oil & Gas Equipment & Services

Health Care Facilities

Electronic Equipment & Instruments

Agricultural Products

Life Sciences Tools & Services

Health Care Technology


Return (%)

Company Name Ticker Sector 1-week YTD

Gannett Inc. GCI Cons Discr 14 (14)

Morgan Stanley MS Financials 9 (41)

Western Digital WDC Info Tech 8 (7)

JPMorgan Chase JPM Financials 6 (22)

Dean Foods Co. DF Consumer Staples 6 21

Northern Trust NTRS Financials 5 (28)

CarMax Inc. KMX Cons Discr 5 (4)

eBay Inc. EBAY Info Tech 5 11

Lowe's Cos. LOW Cons Discr 4 1

Tellabs Inc. TLAB Info Tech 4 (39)

S&P 500 Average (1) (1)

Return (%)

Company Name Ticker Sector 1-week YTD

Baker Hughes BHI Energy (11) (13)

Tesoro Corp. TSO Energy (11) 17

Juniper Networks JNPR Info Tech (10) (46)

Boston Scientific BSX Health Care (10) (30)

Newfield Exploration NFX Energy (10) (43)

Sprint Nextel Corp. S Telecom Services (10) (42)

Darden Restaurants DRI Cons Discr (9) (4)

Halliburton HAL Energy (9) (18)

Agilent Technologies A Health Care (9) (17)

CBRE Group Inc CBG Financials (9) (26)

S&P 500 Average (1) (1)



Earnings and Sales Exhibit 13: EARNINGS GROWTH: S&P 500 bottom-up consensus estimates as of December 8, 2011

Exhibit 14: SALES GROWTH: S&P 500 bottom-up consensus estimates as of December 8, 2011



Exhibit 15: TOP-DOWN vs. BOTTOM-UP: Goldman Sachs vs. Consensus as of December 8, 2011

Exhibit 16: TOP-DOWN vs. BOTTOM-UP: Sales and Margins as of December 8, 2011

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

2011E Earnings Per Share Growth Annual1QA 2QA 3QE 4QE 2011E 2012E

Energy 30 42 68 34 43 2Materials 53 50 22 (2) 31 12Information Technology 27 23 9 15 18 16Industrials 25 24 17 4 17 13S&P 500 16 19 18 13 17 10Financials 8 11 20 25 16 16Consumer Discretionary 12 13 13 1 9 8Health Care 8 13 3 11 9 10Consumer Staples 8 8 6 3 6 8Utilities (10) 5 1 11 1 0Telecom Services (0) (10) 6 (7) (3) 9

S&P 500 (ex-Energy) 14 16 11 10 13 12

2011E Sales Per Share Growth Annual1QA 2QA 3QE 4QE 2011E 2012E

Energy 18 29 32 19 24 6Materials 14 13 13 10 13 8Information Technology 14 13 11 12 12 9S&P 500 10 13 13 9 11 5Industrials 12 13 10 8 10 6Consumer Staples 8 10 11 6 9 3Health Care 5 7 9 5 6 1Consumer Discretionary 4 6 6 4 5 5Telecom Services (1) 3 1 4 2 4

Contribution to EPS Annual earnings growth rates

GS Top-Down EPS Bottom-up GS Top-Down Bottom-Up

2012E 2013E 2012E 2013E 2012E 2013E 2012E 2013E

Telecom Services $3 $3 $2 $3 16 % 5 % 9 % 15 %

Information Technology 19 21 21 23 6 8 16 12

Energy 15 17 15 17 5 12 2 11

Health Care 12 13 13 14 3 3 10 8

Consumer Staples 9 10 10 11 1 3 8 10

Utilities 3 3 3 3 (1) 6 0 4

Industrials 9 10 11 12 (2) 3 13 12

Consumer Discretionary 8 9 10 11 (7) 5 8 16

Materials 2 3 4 5 (27) 22 12 14

S&P 500 ex-Financials 82 88 90 100 1 7 9 11

Financials 17 18 18 19 11 5 16 6

S&P 500 Operating EPS $100 $106 $108 $119 3 % 7 % 10 % 10 %

3%

4%

5%

6%

7%

8%

9%

10%

11%

1979

1984

1989

1994

1999

2004

2009

2014

Goldman SachsPortfolio StrategyForecast

S&P 500 Net Profit Margin(trailing four quarters)

Bottom-up ConsensusForecast

8.9

5.9

3.94.7

Goldman Sachs ConsensusPortfolio Strategy Bottom-Up2012E 2013E 2012E 2013E

Sales Growth 3.7 % 4.9 % 5.1 % 5.0 %Margin Level 8.7 % 8.9 % 9.4 % 10.0 %

Margin Change (%) Y/Y (2) 2 5 6Margin Change (bp) Y/Y (22) 17 41 59



Revisions

Exhibit 17: EARNINGS and SALES REVISIONS Aggregate dollars % change, as of December 8, 2011

Exhibit 18: Stocks with the most POSITIVE and NEGATIVE EPS REVISIONS as of December 8, 2011

Source: FirstCall, I/B/E/S, FactSet, and Goldman Sachs Global ECS Research.


Exhibit 19: S&P 500 1-Month EPS Revision Sentiment vs. 1-Month Return as of December 7, 2011

Exhibit 20: 1-Month Earnings Revision Sentiment by SECTOR as of December 7, 2011



EPS REVISIONS SALES REVISIONS1 month 3 month 1 month 3 month

12E 13E 12E 13E 12E 13E 12E 13E

Consumer Staples 0.1 % 0.1 % (1.3)% (1.7)% 0.4 % 0.4 % 0.0 % 0.1 %Industrials 0.0 (0.3) (3.0) (3.7) (0.4) (0.3) (1.1) (1.6)Consumer Discretionary (0.1) (0.2) (2.1) (2.3) (0.4) (0.4) (1.0) (1.0)Utilities (0.1) (0.4) (0.7) (0.6) NM NM NM NMHealth Care (0.1) (0.2) (0.6) (0.5) (0.7) 0.1 (0.7) (0.1)Energy (0.2) 0.5 (5.6) 1.5 (1.0) 4.2 (9.3) 1.3S&P 500 (0.3) (0.2) (3.6) (2.7) (0.4) 0.7 (2.4) (0.2)Information Technology (0.4) 0.1 (0.6) (0.5) (0.4) (0.4) (1.1) (0.6)Telecommunication Services (0.6) 0.2 (7.1) (8.2) 0.1 0.6 0.3 1.2Materials (0.7) (0.4) (9.1) (5.0) 0.4 0.6 0.0 0.1Financials (0.7) (1.1) (8.2) (8.8) NM NM NM NM

POSITIVE 2012 EPS REVISIONS NEGATIVE 2012 EPS REVISIONS1 month 3 month 1 month 3 month

Ticker Revis. Return Revis. Return Ticker Revis. Return Revis. Return

WDC 186 % 13 % 4 % 11 % SHLD (112)% (25)% (127)% 7 %

DE 10 2 7 (0) NFLX (53) (23) (86) (67)

SUN 9 2 8 1 MU (18) (2) (61) (7)

PHM 7 2 39 35 AMAT (18) (14) (18) 1

DNR 7 (8) (9) 8 TLAB (14) (9) NM 0

CTL 7 (5) 28 6 MPC (14) (11) (11) (10)

RAI 5 4 5 8 ADI (13) (6) (15) 6

DHI 5 2 0 25 WY (13) (4) (36) (3)

TSN 5 3 5 18 CSC (12) (24) (15) (12)

AKS 4 (9) (34) (3) HPQ (11) (1) (14) 16

S&P 500 (0)% (3)% (4)% 5 % (0)% (3)% (4)% 5 %

(30)%

(20)%

(10)%

0 %

10 %

20 %

30 %

(60)%

(40)%

(20)%

(0)%

20%

40%

60%

Jun-

06

Dec

-06

Jun-

07

Dec

-07

Jun-

08

Dec

-08

Jun-

09

Dec

-09

Jun-

10

Dec

-10

Jun-

11

Dec

-11

Jun-

12

S&P 500 Monthly %

Return1-M

onth

Rev

isio

n Se

ntim

ent

1-Month FY2 EPS Revision Sentiment (lhs)[(# pos. revisions - # neg. revisions)/ total revisions]

Price Performance (rhs)

S&P 500

(16)%

(14)%

(12)%

(10)%

(8)%

(6)%

(4)%

(2)%

0 %

2 %

4 %

Con

sum

er D

iscr

Indu

stria

ls

Con

sum

er S

tapl

es

Hea

lth C

are

S&P

500

Util

ities

Info

Tec

h

Ener

gy

Mat

eria

ls

Fina

ncia

ls

Tele

com

Ser

vice

s

Ear

ning

s Se

ntim

ent

1-Month Earnings Revision Sentiment by Sector[(# pos. revisions - # neg. revisions)/ total revisions]



Valuation

Exhibit 21: Aggregate valuation metrics for S&P 500 and sectors bottom-up consensus valuation, as of December 8, 2011

Exhibit 22: Standard deviation vs. 10-year history (Z-Score) bottom-up consensus, as of December 8, 2011

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

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

Exhibit 23: Historical NTM P/E and LTM P/B values for the S&P 500 aggregate bottom-up consensus valuation, as of December 8, 2011

Exhibit 24: Top stocks by fastest 2012E earnings growth and lowest NTM P/E by sector, as of December 8, 2011

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


EV/ Sales

EV/ EBITDA

Price/ Book

FCF Yield

PEG Ratio

NTM P/E

S&P 500 1.3x 7.1x 2.1x 6.5 % 1.0x 11.8xTelecommunication Services 1.8 5.9 1.8 9.7 2.7 16.9Consumer Staples 1.2 9.4 3.5 5.5 1.6 14.4Consumer Discretionary 1.3 7.2 2.9 6.4 1.0 14.0Utilities NM 7.5 1.5 1.9 3.9 13.9Industrials 1.5 8.6 2.5 6.5 0.8 12.3Information Technology 2.0 7.7 3.4 8.0 0.9 12.0Materials 1.3 6.6 2.4 6.4 0.9 11.8Health Care 1.1 7.1 2.4 9.5 1.3 11.1Energy 1.0 4.8 2.0 2.8 0.7 10.1Financials NM NM 0.9 NM 0.8 9.5

EV/ Sales

EV/ EBITDA

Price/ Book

FCF Yield P/E

PEG Ratio

Median Z-Score

S&P 500 (1.0) (1.7) (1.4) (1.2) (1.7) (1.9) (1.6)Financials NM NM (1.7) NM (1.0) (1.2) (1.2)Health Care (1.3) (1.0) (0.9) (2.2) (0.5) 2.6 (0.9)Information Technology (0.5) (1.0) 0.9 (1.4) (1.1) (0.6) (0.8)Energy (0.6) (0.5) 0.0 1.0 0.6 (0.7) (0.2)Materials 0.2 (0.4) 0.8 (0.1) 0.1 (0.5) 0.0Consumer Discretionary 2.5 0.8 2.4 (0.2) 0.0 (0.2) 0.4Industrials (1.1) 0.2 1.3 1.3 0.6 (1.4) 0.4Telecommunication Services (0.2) 1.8 1.0 0.2 3.4 2.6 1.4Utilities NM 1.4 0.6 0.0 1.7 3.8 1.4Consumer Staples 2.4 2.8 0.0 1.3 2.0 2.7 2.2

11.8

05

1015202530

1/76 1/79 1/82 1/85 1/88 1/91 1/94 1/97 1/00 1/03 1/06 1/09 1/12

NTM

P/E

(x)

10-yr rolling avg

P/E

2.10123456

1/76 1/79 1/82 1/85 1/88 1/91 1/94 1/97 1/00 1/03 1/06 1/09 1/12

LTM

P/B

(x)

10-yr rolling avg

P/B

GROWTH VALUEFastest EPS Growth (%) Lowest P/E (x)

Sector Ticker 2012E 2013E Ticker NTM Rel to SPX

Cons Discr AMZN 67 83 GCI 5.9 0.5

Consumer Staples DF 24 25 SVU 5.7 0.5

Energy NBR 54 17 VLO 4.8 0.4

Financials ZION 75 26 LNC 5.1 0.4

Health Care EW 39 28 CI 7.8 0.7

Industrials LUV 97 33 RRD 7.4 0.6

Info Tech MU 81 NM FSLR 5.5 0.5

Materials ATI 49 31 CLF 5.7 0.5

Telecom Services AMT 68 26 PCS 10.1 0.9

Utilities NRG 25 (20) AES 8.8 0.7



S&P 500 Factor Performance

Exhibit 25: S&P 500 factor return ranking for the week ended December 8, 2011 (a)

(a) Factor return analysis uses S&P 500 companies included in the Goldman Sachs Americas coverage universe with stock prices greater than $5 at the time of publication. (b) Growth, Value and Profitability analysis is based on Goldman Sachs Investment Profile scores (“IP Scores”). Growth, value and profitability metrics are indexed based on composites of several methodologies to determine the stocks percentile ranking within the region’s coverage universe. The precise calculation of each metric may vary depending on the fiscal year, industry and region but the standard approach is as follows: Growth is a composite of next year’s estimate over current year’s estimate, e.g. EPS, EBITDA, Revenue. Return is a year one prospective aggregate of various return on capital measures, e.g. CROCI, ROACE, and ROE. Multiple is a composite of one-year forward valuation ratios, e.g. P/E, dividend yield, EV/FCF, EV/EBITDA, EV/DACF, Price/Book. (c) “Other metric” analysis based on current market prices and data sourced from NASDAQ and NYSE via FactSet.

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

Last Week Spread (%) Performance Spread of Top Quintile Less Bottom Quintile (%)Last Last Five Trading Days Last Last

Growth Metrics(b) Week 2-Dec 5-Dec 6-Dec 7-Dec 8-Dec Month QuarterEPS Growth (0.5) 0.4 0.4 (0.2) (0.4) (0.8) (0.6) 3.2

GROWTH (1.3) 0.2 0.4 (0.2) (0.7) (1.0) (1.4) 1.3

EBITDA Growth (1.3) 0.1 0.2 (0.1) (0.9) (0.6) (0.8) 2.3

Sales Growth (1.9) (0.3) 0.3 (0.5) (0.6) (0.8) (1.7) (0.2)

Value Metrics(b)

EV/DACF 1.5 0.0 (0.3) 0.7 0.3 0.9 2.5 5.2

P/B 1.4 0.0 (0.2) 0.2 (0.2) 1.5 3.3 10.0

EV/EBITDA 1.2 (0.0) (0.2) 0.5 0.1 0.7 1.3 5.0

VALUATION 0.8 0.3 (0.2) 0.3 (0.2) 0.6 1.5 7.4

EV/FCF 0.6 0.5 (0.1) 0.5 (0.2) (0.1) 0.3 1.5

P/E 0.6 0.3 (0.1) (0.0) (0.0) 0.4 1.3 8.2

P/Div (1.1) (0.1) 0.1 (0.4) (0.3) (0.5) (1.3) 2.9

Profitability Metrics(b)

ROE 0.3 (0.1) (0.4) (0.1) (0.4) 1.3 3.6 5.1

ROCE 0.1 (0.3) (0.3) (0.1) (0.2) 1.0 2.0 6.5

CROCI (0.0) (0.1) 0.3 (0.6) (0.3) 0.6 1.1 6.4

PROFITABILITY (0.1) (0.2) (0.1) (0.3) (0.6) 1.0 2.5 7.3

Other Metrics(c)

Short Interest Level 0.1 0.3 1.3 (0.5) 0.3 (1.2) (2.9) (4.2)

Equity Capitalization 0.6 (0.1) (0.9) 0.5 0.1 0.9 3.6 4.6

(2) (1) 0 1 2



Style and Size

Exhibit 26: Total return by style and size over time as of December 8, 2011

Exhibit 27: Total return by SECTOR for S&P 500 vs. Russell 2000 as of December 8, 2011



Exhibit 28: GROWTH vs. VALUE relative performance over time Russell 1000 Growth vs. Value, as of December 8, 2011

Exhibit 29: LARGE CAP vs. SMALL CAP relative performance over time S&P 500 vs. Russell 2000, as of December 8, 2011



Total Return Percentage Change (%)1-Week 1-Month 3-Month 6-Month YTD

Large Cap vs. Small CapS&P 500 (1) (3) 5 (2) 0Russell 2000 (1) (4) 4 (8) (7)

Large vs. Small (bps) 31 116 30 517 679

Growth vs. ValueRussell 1000 Growth (1) (3) 4 (1) 2Russell 1000 Value (0) (3) 5 (5) (2)

Growth vs. Value (bps) (85) (25) (107) 363 414

Weight (%) 1-Week (% Return) YTD (% Return)Sector SP500 R2000 SP500 R2000 ∆ (bps) SP500 R2000 ∆ (bps)Materials 4 5 (2) (3) 113 (10) (13) 336Financials 13 22 1 (0) 113 (19) (9) (996)Energy 12 7 (2) (3) 98 3 (8) 1,110Consumer Staples 11 4 (0) (1) 97 10 4 647Health Care 12 13 (2) (3) 79 8 (1) 923Utilities 4 4 (2) (2) 66 14 10 345Telecom Services 3 1 (0) (1) 12 1 (9) 1,006Industrials 11 16 (1) (1) 12 (3) (9) 561Cons Discretionary 11 13 (0) 0 (36) 5 (8) 1,282Information Tech 20 17 (0) (0) (37) 4 (7) 1,054

Index 100 100 (1) (1) 31 0 (7) 679

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S&P 500 outperforming

Russell 2000 outperforming



Global Equity Market and Mutual Fund Performance

Exhibit 30: GLOBAL EQUITY MARKET performance over the past week as of December 8, 2011

Exhibit 31: US EQUITY MUTUAL FUND performance vs. benchmark as of December 8, 2011


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

Exhibit 32: GLOBAL EQUITY MARKET performance over time as of December 8, 2011

Exhibit 33: International and other MUTUAL FUND performance as of December 8, 2011


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

(4)(2)(2)

(1)

(1)(1)

(0)(0)

(0)1 1

(1)

(5) (4) (3) (2) (1) 0 1 2

Germany (Dax)France (CAC 40)Brazil (Bovespa)

Europe (DJ Stoxx 600)U.S. (S&P 500)

Spain (IBEX 35)Korea (KOSPI)Mexico (Bolsa)UK (FTSE 100)

China (MSCI China)Japan (Nikkei)

Australia (ASX 200)

% Weekly price change

Avg. Total Return (%) No. of AUMLipper Indices 1-week YTD Funds $ bilLarge-Cap Core Funds (1.1) (1.8) 30 468

Benchmark: S&P 500 (0.8) 0.1

Large-Cap Growth Funds (1.6) (2.6) 30 255Benchmark: Russell 1000 Growth (1.3) 1.7

Large-Cap Value Funds (0.8) (4.6) 30 192Benchmark: Russell 1000 Value (0.5) (2.5)

Small-Cap Core Funds (1.9) (5.7) 30 139Benchmark: Russell 2000 (1.1) (6.7)

Price Return (%) USD1-Week 1-Month 3-Month 2011 YTD 2010

U.S. (S&P 500) (1) (3) 4 (2) 13Korea (KOSPI) (1) (0) (2) (6) 25UK (FTSE 100) (0) (4) (0) (7) 6Australia (ASX 200) 1 (2) (2) (10) 11Japan (Nikkei) 1 0 (2) (11) 11Mexico (Bolsa) (0) (4) (4) (14) 27Europe (DJ Stoxx 600) (1) (5) (2) (14) 2Spain (IBEX 35) (1) (4) (3) (15) (23)China (MSCI China) (0) (2) (3) (15) 5Germany (Dax) (4) (5) 3 (16) 9France (CAC 40) (2) (5) (5) (19) (10)Brazil (Bovespa) (2) (6) (9) (24) 6

Average (1) (3) (2) (13) 7

Avg. Total Return (%) Stdev No. of AUM

Lipper Indices 1-week YTD 1-week YTD Funds $ bil

International Equity

Global Funds (1) (9) 0.5 5.9 30 161

International Funds (2) (14) 0.6 4.6 30 394

European Funds (2) (14) 0.4 4.7 10 11

Emerging Market Funds (2) (17) 0.6 3.5 30 121

Real Estate and Natural Resources

Real Estate (0) 2 0.3 3.5 30 50

Natural Resource (3) (8) 0.3 1.7 10 7

Fixed Income

General U.S. Government Funds Index 1 8 0.5 7.7 30 NA

A Rated Bond Funds Index 1 7 0.5 3.3 30 NA

BBB Rated Funds Index 1 7 0.5 8.5 30 NA



ETF Analysis: Composition, Valuation, Growth and Ownership

Exhibit 34: Selected ETF analysis for the week ended December 8, 2011 (a) (b)

(a) Performance of the underlying index. (b) Valuation, growth and ownership metrics are bottom-up aggregations of consensus forecasts, except where noted. (c) Hedge Fund ownership data based on 3Q 2011 13-F filings.

Source: Compustat, First Call, Lionshare via FactSet, IDC, and Goldman Sachs Global ECS Research. See our Goldman Sachs ETF Bloomberg page <GETFG> or contact the desk at 1-888-ETF-DESK for more information.

ETF Description Composition Performance (%) Valuation Growth (%) Ownership Market Top Stocks as Valuation Short Median

Cap No. of % of ETF Price Change (a) P/E P/B Div Sales Growth Earnings Growth Interest Hedge FundSector / sub-sector Index ETF $ mil Stocks 1 5 10 1 Wk YTD NTM LTM Yield 2012 2013 2012 2013 Days Own (%) (c)

S&P 500 SPX SPY 91,821 500 3 12 20 (1) (2) 12 2.0 2.2 3 5 10 12 2.2 3.3S&P 100 OEX OEF 2,948 100 5 19 31 (0) (1) 11 2.0 2.4 3 5 9 11 1.8 2.0Nasdaq-100 NDX QQQ 24,836 100 14 40 56 (1) 3 13 3.3 1.0 10 9 13 13 1.8 3.6

Consumer Discretionary IXY XLY 2,141 77 8 30 46 (0) 3 14 2.7 1.7 6 6 12 16 2.6 4.5Homebuilders SPHOME XHB 798 33 5 21 40 0 (4) 23 1.7 1.2 7 8 97 46 3.3 7.4Retail IRH RTH 142 18 19 59 84 (0) 5 14 2.9 1.9 5 5 12 14 2.4 3.2Retail SPSIRETR XRT 755 94 2 8 14 (0) 5 15 2.2 1.0 4 4 21 19 3.4 7.5

Consumer Staples IXR XLP 5,520 42 14 45 66 (1) 7 14 3.4 3.1 5 4 8 10 2.5 2.0

Energy IXE XLE 7,319 42 18 50 64 (3) 0 11 1.9 1.8 (5) 8 4 13 2.2 4.7Clean Energy ECO PBW 215 57 3 15 28 (4) (49) NM 0.9 0.6 1 19 411 NM 5.3 4.2Natural Resources SPGSSINR IGE 1,820 154 9 32 44 (3) (8) 11 1.8 1.7 (0) 8 12 16 2.3 6.2Oil & Gas E&P SPSIOP XOP 970 73 2 9 18 (4) 1 15 1.8 0.6 0 14 22 42 2.7 6.2Oil Services OXH OIH 1,922 14 20 65 92 (5) (16) 11 1.6 1.6 17 10 42 20 2.0 6.0

Financials IXM XLF 5,003 80 9 35 50 1 (20) 9 0.8 2.0 NM NM 23 13 2.3 2.6Banks BKX KBE 1,043 38 3 15 29 1 (27) 11 0.8 2.4 NM NM 31 16 1.7 2.7Broker-Dealers DJSINV IAI 53 24 8 35 60 0 (27) 11 1.1 1.8 NM NM 28 17 1.9 3.7Insurance KIX KIE 117 41 3 14 27 (0) (16) 9 0.8 2.3 NM NM 58 9 2.4 3.3Real Estate DJUSRE IYR 3,012 80 9 26 43 (0) (3) 14 2.1 4.8 NM NM 6 7 5.5 1.8Regional Banks KRX KRE 547 69 2 11 21 (1) (12) 12 0.9 2.1 NM NM 26 18 4.4 3.5REITs RMZ VNQ 8,730 110 10 29 47 (0) (1) 15 2.2 4.0 NM NM 9 7 6.3 2.1

Health Care IXV XLV 3,623 51 13 44 60 (2) 5 11 2.4 2.4 2 3 5 8 2.5 3.3Biotech SPSIBI XBI 395 44 5 21 38 (4) 0 NM 5.6 0.1 14 20 NM NM 4.0 8.4Pharmaceuticals IPH PPH 532 14 24 79 97 (0) 7 11 2.5 3.4 (4) (0) 1 5 2.3 2.0

Industrials IXI XLI 2,941 61 10 31 49 (2) (5) 12 2.6 2.4 7 6 13 14 2.6 1.8Transportation TRAN IYT 386 20 12 45 74 (1) (5) 14 2.4 1.6 6 6 30 20 2.8 3.8

Information Technology IXT XLK 7,352 83 14 43 64 (0) 1 13 3.0 1.8 7 6 10 12 1.6 3.8Semiconductors SOXXIV SOXX 218 30 10 40 63 (1) (10) 14 2.3 1.6 2 10 (2) 21 2.0 4.0Semiconductors XSH SMH 564 17 24 69 90 (1) (6) 13 2.7 2.3 1 9 (2) 16 2.0 3.6Software SPGSTISO IGV 529 54 10 36 57 (1) (2) 16 3.7 0.5 10 8 12 13 2.3 3.9Telecom Services DJSTELT IYZ 497 29 19 56 75 (2) (13) 30 1.8 3.8 4 2 28 46 2.9 6.2

Materials IXB XLB 1,692 31 11 45 66 (2) (13) 12 2.5 2.2 7 5 11 15 2.4 3.5Gold Miners GDM GDX 9,488 29 17 53 76 (5) (7) 12 2.3 1.1 24 4 41 6 1.3 3.5Metals & Mining SPSIMM XME 828 40 4 18 33 (4) (25) 13 1.5 1.3 7 6 43 33 2.1 6.2Steel STEEL SLX 187 26 12 44 68 (3) (33) 8 1.1 2.4 5 6 6 23 2.5 3.0

Utilities IXU XLU 7,074 33 9 35 56 (2) 9 14 1.5 4.2 NM NM (2) 4 3.0 1.9



Fund Flows

Exhibit 35: Domestic equity mutual fund flows, 4-week moving average week ended December 7, 2011

Exhibit 36: US EQUITY MUTUAL FUND performance vs. benchmark week ended December 7, 2011; excluding ETFs

Source: Lipper and Goldman Sachs Global ECS Research.

Source: Lipper and Goldman Sachs Global ECS Research.

Exhibit 37: Average daily TRADING TURNOVER over the last week by sector, as of December 8, 2011

Exhibit 38: Top ten S&P 500 STOCKS by daily average trading turnover as of December 8, 2011

Daily average turnover = daily avg. trading value / avg. market cap (over the past 5 trading days).

Daily average turnover = daily avg. trading value / avg. market cap (over the past 5 trading days).



(7.0)

(5.0)

(3.0)

(1.0)

1.0

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5.0

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$ bi

llion

s

Domestic Equities, 4-week moving avg

Lipper Weekly Mutual Fund Flows, ex-ETFs ($ billions)Total Lipper Weekly Flows 1-Week Flow Inflow/(Outflow)

Assets 4-Week Avg This week % of Assets (Cons. Weeks)

All Equity 1,866 (2.3) (4.8) (0.3)% (5)

U.S. Equity 1,415 (2.0) (4.4) (0.3) (5)

Int'l Equity 398 (0.3) (0.3) (0.1) (2)

Global 53 (0.0) (0.1) (0.2) (6)

Equity Income 94 0.3 0.4 0.4 30

Gold & Nat Res 40 (0.0) (0.0) (0.1) (2)

Money Market 2,399 8.1 25.3 1.1 2

All Taxable Bond 1,111 1.4 3.4 0.3 1

Govt Treas 29 0.2 0.1 0.4 5

0.50.6

0.70.80.80.8

0.91.0

1.11.2

0.8

0.0 1.0 2.0

Cons StaplesTelecom Services

UtilitiesIndustrials

EnergyHealth Care

S&P 500Info Tech

FinancialsCons Discr

Materials

% Daily Avg Trading Turnover

Avg Daily 1-WeekTrading Total

Company Ticker Sector Turnover (%) Return (%)Netflix Inc. NFLX Consumer Discretionary 14.8 3United States Steel X Materials 9.0 (2)AK Steel Holding AKS Materials 7.4 2Darden Restaurants DRI Consumer Discretionary 4.4 (9)Tesoro Corp. TSO Energy 4.1 (11)Alpha Natural Resources ANR Energy 4.0 (6)Big Lots Inc. BIG Consumer Discretionary 3.9 (7)Lennar Corp. LEN Consumer Discretionary 3.9 3MEMC Electronic Materials WFR Information Technology 3.8 1Gannett Inc. GCI Consumer Discretionary 3.8 14

S&P 500 Average 1.2 (1)



Correlation and Risk

Exhibit 39: S&P 500 stock and sector average correlation as of December 8, 2011

Exhibit 40: Credit Default Swaps, 5-Year On-the-Run Spreads as of December 8, 2011

Source: Goldman Sachs Global ECS Research. Source: Goldman Sachs Global ECS Research.

Exhibit 41: S&P 500 Cost of Equity = ERP + 10 Year Treasury Yield as of December 8, 2011

Exhibit 42: Risk Barometer and S&P 500 VIX Volatility Index, as of 8-Dec-11 Risk Barometer index is number of standard deviations from the average * 100

We estimate the equity risk premium (ERP) using our DDM framework to model expected future cash flows. We solve for the cost of equity that implies the market is at ‘fair value’ and then deduct the 10-year US treasury.

Note: Metrics included are implied option volatility (S&P 500 and NASDAQ 100), normalized skew, high yield credit spreads, credit derivative swap spreads, mutual fund net flows, and cash levels.

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

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

0.0

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Aver

age

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Average stock correlation

Average sector correlation 0.89

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High Yield C

DX (bps)

Inve

stm

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rade

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X (b

ps)

CDX (IG) (lhs)

CDX (HY) (rhs)

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Cost ofEquity

10 YearUS Treas.

Yield

ERP6.8 %

2.0 %

8.8 %

0

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(200)

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S&P 500 VIX

Risk

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Risk Aversion Increasing

Risk Aversion Decreasing

8-Dec-11

Risk Barometer (LHS)

S&P 500 VIX (RHS)

31

88



Goldman Sachs Recommendations and Forecasts

Exhibit 43: Goldman Sachs Recommended Sector Weightings (a) as of December 8, 2011

Exhibit 44: Goldman Sachs US Economics quarterly GDP forecasts as of December 8, 2011

(a) Sector weightings last rebalanced on September 14, 2011.


Source: Bloomberg and Goldman Sachs Global ECS Research.

Exhibit 45: Goldman Sachs 3-, 6-, and 12-month forecasts as of December 8, 2011

Exhibit 46: Goldman Sachs US Economics forecasts as of December 8, 2011

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

Sector Weightings

Total Goldman Sachs Current GS GSReturn Recommended S&P 500 Overweight / Alpha

Sectors YTD Sector Weightings Weight Underweight YTDInformation Technology 4 % 20 % 200 bp (3)bpConsumer Staples 10 11 200 5Telecom Services 1 3 100 (2)

Financials (19) 13 0 (5)Energy 3 12 0 6Health Care 8 12 0 (10)Utilities 14 4 0 (23)

Materials (10) 4 (100) 4Industrials (3) 11 (200) (5)Consumer Discretionary 5 11 (200) (7)

S&P 500 0 % 100 % 0 bp (41)bp

Overweight

Neutral

Underweight

0.4

1.3 2.0

2.5

0.5

1.5 2.0

2.5 2.0 2.0

2.5 2.5

0.0 %

0.5 %

1.0 %

1.5 %

2.0 %

2.5 %

3.0 %

3.5 %

4.0 %

Q1A Q2A Q3A Q4E Q1E Q2E Q3E Q4E Q1E Q2E Q3E Q4E

GD

P G

row

th (

qoq

annu

aliz

ed %

)

2011 2012 2013

Goldman SachsEconomics Consensus

Forecastsunits Current 3m 6m 12m

EquitiesS&P 500 level 1234 1150 1200 1250DJStoxx 600 level 238 195 225 250Asia Pac Ex-Japan level 408 340 375 445TOPIX level 745 700 725 800

Ten Year RatesUS % 2.0 2.0 2.3 2.5Euroland % 2.1 2.5 2.8 2.8Japan % 1.1 1.0 1.1 1.3

CurrenciesEuro / US Dollar EUR/$ 1.33 1.33 1.38 1.45Sterling / US Dollar £/$ 1.56 1.48 1.53 1.73US Dollar / Yen $/¥ 78 77 76 74

EnergyBrent Crude Oil $/bbl 108 118 120 128NYMEX Nat. Gas $/mmBtu 3.46 4.00 3.80 3.75

MetalsCOMEX Gold $/troy oz 1713 1785 1840 1940LME Copper $/mt 7710 8000 9000 9500

% Annual Change2011E 2012E 2013E

Real GDP 1.7% 1.6% 2.2%Consumer Spending 2.3 1.5 1.9Total Fixed Investment 6.7 5.5 7.5

Business Fixed Investment 8.8 5.7 6.9Residential Investment (1.6) 4.5 10.3

Federal Government Spending (1.6) (0.9) (2.1)Exports of Goods and Services 6.7 1.7 5.4Imports of Goods and Services 4.7 1.2 5.5

InflationProducer Price Index 6.2 3.3 2.6Headline CPI 3.2 2.2 1.6Core CPI 1.7 1.7 1.3Core PCE 1.5 1.5 1.2

Unemployment Rate 9.0 8.9 9.0Fed Funds Rate 0.1 0.1 0.12-year Treasury Rate 0.3 0.5 1.010-year Treasury Rate 2.0 2.5 3.3



Goldman Sachs Strategy Baskets

US Portfolio Strategy baskets are designed to provide portfolio managers with vehicles to monitor and implement thematic views in the U.S. equity markets. Our

baskets may be found on Bloomberg by typing <GSTH>. The Bloomberg page provides real-time basket performance and current basket constituents. To obtain

access to our baskets on Bloomberg, please contact your Goldman Sachs salesperson.

Exhibit 47: Strategy basket performance and average valuation data as of December 8, 2011

Exhibit 48: Strategy basket total return performance over the last week last week % total return, as of December 8, 2011


Exhibit 49: US Portfolio Strategy thematic trade recommendations as of December 8, 2011

Results presented should not and cannot be viewed as an indicator of future performance. Further details on performance calculations can be provided upon request.

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

Bloomberg Total Return % P/E P/B Div YldTicker 1 wk 1 mo YTD NTM LTM (%)

Macroeconomic Baskets

US Sales GSTHAINT (2)% (3)% 2 % 15x 2.7x 2.0 %International Sales GSTHINTL (2) (5) (7) 14 4.2 1.6Cyc. Attractive Risk-Reward GSTHCARR (1) 16 4.0 1.6Western Europe Sales GSTHWEUR (3) (5) 0 14 3.7 1.1BRICs Sales GSTHBRIC (1) (5) (8) 13 3.6 1.4Dual Beta GSTHBETA (3) (7) (18) 14 2.1 1.1

Fundamental Baskets

High Quality GSTHQUAL (1)% (4)% 14x 4.5x 2.0 %ROE Growth GSTHGROE (2) (5) (7) 13 2.9 1.8Revenue Growth GSTHREVG (2) (5) 19 4.2 1.1High Op Leverage GSTHOPHI (2) (4) 1 14 2.5 1.6Low Op Leverage GSTHOPLO (2) (2) 6 15 4.4 1.5Strong Balance Sheet GSTHSBAL (2) (4) 3 19 5.5 0.8Weak Balance Sheet GSTHWBAL (2) (4) (8) 14 2.2 1.9

Uses of Cash Baskets

Dividend Growth GSTHDIVG (1)% (2)% 2 % 12x 2.4x 3.0 %

Hedge Fund Baskets

High HF Concentration GSTHHFHI (1)% (6)% (2)% 15x 3.5x 1.0 %Low HF Concentration GSTHHFSL (0) (2) 1 15 3.3 2.8Hedge Fund VIP GSTHHVIP (1) (4) (4) 15 4.1 1.3

Valuation Baskets

GARP GSTHGARP (2)% (5)% (1)% 13x 3.0x 1.3 %High Sharpe Ratio GSTHSHRP (1) (4) (3) 12 2.5 1.5

Sector BasketsGlobal Cyclicals GSSBGCYC (1)% (4)% (0)% 14x 2.8x 1.6 %Global Defensives GSSBGDEF (0) (1) 9 15 5.1 1.7Domestic Cyclicals GSSBDCYC 0 (4) (12) 12 1.9 2.3Domestic Defensives GSSBDDEF (1) (2) 6 14 2.9 2.5

S&P 500 (1)% (3)% 0 % 12x 2.1x 2.2 %S&P 500 Average 14 3.1 2.0S&P 500 Median 13 2.2 1.8

(2.7)(2.6)

(2.1)(2.0)(1.9)(1.9)(1.8)(1.8)(1.8)(1.7)

(1.5)(1.5)(1.5)

(1.3)

(1.1)(0.8)

(0.6)

(0.1)

(0.8)

(1.4)

(1.3)

(0.4)

0.1

(4) (3) (2) (1) 0 1

Western Europe Sales <GSTHWEUR>Dual Beta <GSTHBETA>

Low Op Leverage <GSTHOPLO>GARP <GSTHGARP>

Strong B/S <GSTHSBAL>Revenue Growth <GSTHREVG>

Int'l Sales <GSTHINTL>High Op Leverage <GSTHOPHI>

Weak B/S <GSTHWBAL>ROE Growth <GSTHGROE>

US Sales <GSTHAINT>Hedge Fund VIP <GSTHHVIP>

BRIC Sales <GSTHBRIC>Global Cyclicals <GSSBGCYC>

High Quality <GSTHQUAL>Domestic Defensives <GSSBDDEF>

High HF Conc <GSTHHFHI>Dividend Growth <GSTHDIVG>

S&P 500High Sharpe Ratio <GSTHSHRP>Global Defensives <GSSBGDEF>

Low HF Conc <GSTHHFSL>Domestic Cyclicals <GSSBDCYC>

Thematic Trade RecommendationsInitiation Weekly

Date Return Return

BUY Domestic Sales Basket (GSTHAINT); SELL International Sales Basket (GSTHINTL)See 2012 Outlook: Strategies for stagnation (30-Nov-11) 30-Nov-11 (0.0)% 0.3 %

BUY High Quality Basket (GSTHQUAL); SELL S&P 500See US Equity Views (4-Oct-11) 4-Oct-11 0.2 % (0.5)%

BUY Defensives Basket (GSSBDEFS); SELL S&P 500See US Equity Views (4-Oct-11) 4-Oct-11 (3.7)% 0.0 %

BUY Dividend Growth Basket (GSTHDIVG); SELL S&P 500See US Equity Views (5-Aug-11) 5-Aug-11 (0.0)% (0.0)%

BUY High Sharpe Ratio Basket (GSTHSHRP); SELL S&P 500See 2010 Outlook: Cyclical start; defensive finish (7-Dec-09) 7-Dec-09 11.6 % 0.2 %



Constituents of our Domestic Sales Basket <GSTHAINT>

Exhibit 50: Domestic Sales Basket, as of December 8, 2011

Source: Company filings, FactSet and Goldman Sachs Global ECS Research.

Market Cap Non- Market Cap Non-Company Ticker ($ bil) US Sales Company Ticker ($ bil) US Sales

Consumer Discretionary (10% of the Basket) Industrials (11% of the Basket)Target Corp. TGT $ 36 0 % Southwest Airlines Co. LUV $ 7 0 %Lowe's Cos. LOW 31 0 CSX Corp. CSX 23 0Comcast Corp. Cl A CMCSA 62 0 Norfolk Southern Corp. NSC 25 0Time Warner Cable Inc. TWC 20 0 Republic Services Inc. RSG 10 0Kohl's Corp. KSS 14 0 Waste Management Inc. WM 14 6

Quanta Services Inc. PWR 4 7Basket Median 0 %Sector Median 22 Basket Median 0 %

Sector Median 32Consumer Staples (11% of the Basket)

CVS Caremark Corp. CVS $ 51 0 % Information Technology (16% of the Basket)Kroger Co. KR 14 0 Paychex Inc. PAYX $ 11 0 %Walgreen Co. WAG 31 0 SAIC Inc. SAI 4 1Altria Group Inc. MO 59 0 Intuit Inc. INTU 16 5Reynolds American Inc. RAI 24 0 Harris Corp. HRS 4 6

Fiserv Inc. FISV 8 6Basket Median 0 % Fidelity National Information Services Inc. FIS 8 17Sector Median 24 Automatic Data Processing Inc. ADP 25 19

Cognizant Technology Solutions Corp. CTSH 20 22Energy (16% of the Basket) Akamai Technologies Inc. AKAM 5 28

Chesapeake Energy Corp. CHK $ 16 0 %Southwestern Energy Co. SWN 12 0 Basket Median 6 %QEP Resources Inc. QEP 6 0 Sector Median 53Denbury Resources Inc. DNR 6 0EQT Corp. EQT 8 0 Materials (3% of the Basket)Range Resources Corp. RRC 11 0 Nucor Corp. NUE $ 13 0 %Cabot Oil & Gas Corp. COG 8 0 Vulcan Materials Co. VMC 4 1

Basket Median 0 % Basket Median 0 %Sector Median 24 Sector Median 49

Financials (15% of the Basket)Wells Fargo & Co. WFC $ 138 0 % Telecommunication Services (2% of the Basket)U.S. Bancorp USB 49 0 CenturyLink Inc. CTL $ 22 0 %PNC Financial Services Group Inc. PNC 29 0BB&T Corp. BBT 16 0 Basket Median 0 %Charles Schwab Corp. SCHW 15 0 Sector Median 0Simon Property Group Inc. SPG 36 0CME Group Inc. Cl A CME 16 0 Utilities (3% of the Basket)T. Rowe Price Group Inc. TROW 15 0 Southern Co. SO $ 38 0 %

Basket Median 0 % Basket Median 0 %Sector Median 5 Sector Median 0

Health Care (13% of the Basket)UnitedHealth Group Inc. UNH $ 52 0 %Medco Health Solutions Inc. MHS 22 0WellPoint Inc. WLP 24 0Aetna Inc. AET 15 0Humana Inc. HUM 14 0DaVita Inc. DVA 7 0

Basket Median 0 % Domestic Sales <GSTHAINT> Median 0 %Sector Median 35 S&P 500 Median 28



Recent US Portfolio Strategy Publications

Please contact your Goldman Sachs salesperson for access to additional research or if you wish to be added to the US Portfolio

Strategy research distribution list.

Exhibit 51: Recent research from US Portfolio Strategy

Source: Goldman Sachs Global ECS Research.

Latest Market Research Publication Date

US Thematic Views: GARP Update December 1, 2011

2012 US equity outlook: Strategies for stagnation November 30, 2011

US Thematic Views: S&P 500 ROE: Negative impact from Financials and lower leverage October 25, 2011

US Thematic Views: Introducing our High “Quality” Stock Basket <GSTHQUAL> October 13, 2011

US Equity Views: 3Q Earnings Preview: Peak earnings despite slow economic growth October 12, 2011

US Equity Views: S&P 500 earnings in 2012: $98 per share is more likely than $80 October 4, 2011

US Sector Views: Shift Defensive on slower growth and low bond yields September 14, 2011

Recent US Weekly Kickstart: "Conversations we are having with clients" Publication Date

2012 Global Equity Outlook: downside for 3 and 6 months but upside for the full year December 2, 2011

10 conclusions from our latest Hedge Fund Trend Monitor November 25, 2011

Investing in a politicized environment: Watch what they do, not what they say November 18, 2011

Investors uncertain about lower uncertainty; overwrite to enhance limited returns November 11, 2011

Takeaways from 3Q 2011 earnings season: New EPS peak reached, but negative revisions November 4, 2011

Stocks stage a powerful rally following the EU summit but uncertainty remains high October 31, 2011

S&P 500 earnings reach a new high but investors are underwhelmed by how we got there October 21, 2011

Franchise Research Publication Date

The multiple mystery: P/E based on uncertainty metrics August 9, 2011

Rebalancing our strong and weak Balance Sheet baskets July 29, 2011

Portfolio Strategy: The anatomy of ROE: Part 3: S&P 500 Stocks July 12, 2011

Portfolio Passport: US stocks for a growth market world April 12, 2011

Portfolio Strategy: GOAL: Global Opportunity Asset Locator October 6, 2011

Periodical Research Description Frequency Timing / Recent Release

Hedge Fund Trend Monitor Analysis of hedge fund holdings and positioning Quarterly November 21, 2011

Global Dividend Swap Monitor Summary of global dividend swap market and forecasts Monthly December 6, 2011

S&P 500 Beige Book Qualitative assessment of S&P 500 quarterly earnings reports Quarterly November 10, 2011

Strategy Baskets Overview of US Portfolio Strategy thematic baskets Quarterly September 8, 2011

US Monthly Chartbook Monthly report on where to invest in the S&P 500 Monthly December 6, 2011

US Weekly Kickstart Five minute guide to the US equity market Weekly Friday PM

Where to Invest Now Marketing presentation highlighting recent research and best trade ideas Monthly December 1, 2011



Equity basket disclosure

The Securities Division of the firm may have been consulted as to the various components of the baskets of securities discussed in this report prior to their launch; however, none of this research, the conclusions expressed herein, nor the timing of this report was shared with the Securities Division.



Reg AC

We, David J. Kostin, Stuart Kaiser, CFA, Amanda Sneider, CFA, Peter Lewis and Ben Snider, hereby certify that all of the views expressed in this report accurately reflect our personal views about the

subject company or companies and its or their securities. We also certify that no part of our compensation was, is or will be, directly or indirectly, related to the specific recommendations or views

expressed in this report.

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