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November 14, 2012

Europe

Strategy in Style Portfolio Strategy Research

Implementing styles, themes and industry views with baskets

We refresh our basket constituents and highlight recent basket performance. Since our last Strategy in Style, our UK domestic

exposure basket (GSSTUKDE) has been the best relative performer. Periphery stocks also outperformed as sovereign spreads

tightened with both our periphery exposure (GSSTPEXP) and our periphery exporters (GSSTPEMU) baskets being in the top 5

relative performers. On the other hand, our stable growers (GSSTGRTH) and core Euro area exposure (GSSTCEMU) underperformed

as the risk premium contracted.

UK domestic outperformed while core Euro area exposure underperformed

Top/bottom 5 baskets Performance since our last Strategy in Style, relative

to SXXP

* Except UK baskets which are relative to FTSE All-Share. Last Strategy in Style was published on June 21, 2012

Source: Bloomberg, Goldman Sachs Global ECS Research.

Combining thematic trade ideas in a report

“Strategy in Style” is a quarterly publication that

combines all the baskets from European

Economic, Commodities and Strategy (ECS)

Research. It includes thematic, regional exposure,

sub-sector and Wavefront baskets. Basket

constituents are all screened for liquidity, shorting

constraints and borrowing costs.

The homepage for our baskets can be accessed by

typing GSPM <GO> on Bloomberg.

Our European Strategy baskets allow investors to

monitor or implement various styles and macro,

thematic and regional exposures across the

market. Our sub-sector baskets offer a more

targeted vehicle to access or hedge exposure to

specific industry groups. Long/short combinations

can also help capture alpha opportunities

Matthieu Walterspiler

+44(20)7552-3403 [email protected] Goldman Sachs International

Gerald Moser


Christian Mueller-Glissmann, CFA


Peter Oppenheimer


Sharon Bell, CFA


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

UK Domestic

Periphery

Pension Risk

Periphery Exporters

BRIC Exposure

Defensive Yield

Operating Leverage

Financial Leverage

Core

Stable Growers

6.7

4.3

4.1

3.3

2.5

-0.8

-1.0

-1.6

-3.3

-3.5

-4.0 -2.0 0.0 2.0 4.0 6.0 8.0

%

November 14, 2012 Europe

Goldman Sachs Global Economics, Commodities and Strategy Research 2

Strategy in Style: Our publication for thematic and customised trade ideas

Where to find all baskets from European Economics, Commodities and Strategy (ECS) Research Our baskets of European stocks allow investors to trade investment themes, regional exposure and sectors in the equity market

more efficiently. All stocks included in our thematic, regional and sub-sector baskets are screened for liquidity, shorting constraints

and borrowing costs. All our baskets are equally weighted at initiation rather than market cap-weighted. The homepage for our

baskets can be accessed by typing GSPM <GO> on Bloomberg.

Shortcuts can be used to skip to one type of thematic basket. For example, to go directly to the Portfolio Strategy thematic baskets,

type GSPM1<GO>; for the basket components, type GSPM2<GO>. See Exhibit 1 for the complete list.

If you need access to the GSPM page or for any other questions regarding trading our baskets, please contact your Goldman Sachs

sales representative. The next few pages show you how to navigate our GSPM Bloomberg page.

Exhibit 1: Our GSPM page


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

trade.

Main page on Bloomberg:

GSPM

Fundamental theme baskets

European sub sector baskets

Regional exposure baskets

WavefrontEurope baskets

Overall Baskets

Menu Option: 3

Ticker prefix: GSTW

For component long/short legs

Menu Option: 4

Ticker prefix: GSTC

Overall Baskets

Menu Option: 1

Ticker prefix: GSST

For component long/short legs

Menu Option: 2

Ticker prefix: GSBB

Overall Baskets

Menu Option: 5

Ticker prefix: GSSB

Overall Baskets

Menu Option: 6

Ticker prefix: GSST



Exhibit 2: Navigating our baskets




It is possible to view the constituents of our baskets on Bloomberg. For example, for the Portfolio Strategy high dividend yield

basket, first select option 1 (Portfolio Strategy baskets) from the GSPM page. Select the basket and then type MEMB<GO> to see the

index composition page as shown below. Please note that for long/short baskets you will need to access the specific component

before you can view the members.

Exhibit 3: Viewing constituents Sample page




Our trade ideas – Portfolio Strategy baskets

Exhibit 4: Europe Portfolio Strategy thematic trade recommendations

Prices as of November 13, 2012

Exhibit 5: Strategy basket performance and average valuation data

Prices as of November 13, 2012

Top thematic ideas

Long GSSTBRIC vs. Short GSSTDOME: We recommend a long position in

our GSSTBRIC basket of European companies with high BRIC sales exposure

vs. a short in our GSSTDOME basket of European companies with high Euro

area sales exposure. We believe GSSTBRIC is better positioned long-term due

to higher economic growth in the BRICs and our anticipation of turning

growth momentum in China.

Long GSSTHIDY: We recommend a long position in our GSSTHIDY basket

of European companies with high dividend yields and the potential for future

growth vs. the STOXX Europe 600 index. We see this as a long-term strategy

that is particularly interesting in the current low yield environment.

Long GSSTPEXP vs. SXXP: We recommend a long position in our

GSSTPEXP basket of companies from Euro area periphery with high sales

exposure outside Europe ex-UK vs. the STOXX Europe 600 index. We do not

expect these markets to outperform sustainably until their economies turn,

and therefore prefer to gain exposure to the potential for a modest

improvement in global activity via external facing stocks domiciled in the

periphery.

Long GSSTGRTH vs. SXXP: We recommend a long position in our

GSSTGRTH basket of European companies with high and stable growth. We

expect the European market to post positive but moderating returns, which is

a supportive for our basket. The current relative valuation is in line with long

run average and below the more recent history.

Results presented should not and cannot be viewed as an indicator of future performance. Further

details on performance calculations can be provided upon request. Note: The ability to trade these

baskets will depend upon market conditions, including liquidity and borrow constraints at the time

of trade.

The relative performance of our European baskets is computed against the STOXX Europe 600, for

our UK baskets, the performance is computed against the FTSE All-Shares index. Our EM Nifty 50 is

benchmarked against the MSCI BRIC index and our DM Nifty 50 basket against the MSCI World

index. STOXX Europe 600 performance in absolute terms

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

WeeklyDate Perf. Perf.

GSSTBRIC vs. GSSTDOME 29-Jul-11 15.0% 0.4%GSSTHIDY vs. SXXP 09-Jan-12 1.8% -0.2%GSSTPEXP vs. SXXP 14-Sep-12 -0.4% -1.1%GSSTGRTH vs. SXXP 28-Sep-12 -3.1% -0.5%

Thematic Trade RecommendationsInitiation

Bloomberg Relative Performance P/E P/B Div yldTicker -1 Wk -1 mth YTD NTM LTM (%)

Fundamental theme baskets

Capex Growers GSSTCAPX -1.2 0.5 -2.0 12.5 1.7 4.0

Financial Leverage GSSTFNLV -0.9 -1.7 2.8 10.2 1.3 4.8High Dividend Yield + Growth GSSTHIDY -0.2 0.0 2.9 9.3 1.4 5.5Pension Risk GSSTPENS -1.2 0.1 16.0 8.5 0.8 3.9

German Consumption GSSTGCON -1.6 -2.8 12.2 10.5 1.1 3.4Operating Leverage GSSTOPLV -1.2 -0.8 1.8 10.3 0.9 3.7Stable Growers GSSTGRTH -0.5 -1.1 4.2 11.8 2.2 4.1Energy Hedge GSSTENGY -2.0 -2.0 -6.2 11.3 1.6 3.0

Defensive High Dividend Yield GSSTHDDY -0.5 -0.6 -3.7 9.6 1.7 5.2Recovery Basket GSSTRCOV -1.2 -0.5 3.2 10.3 1.2 3.8

Regional exposure baskets

BRIC exposure GSSTBRIC -0.5 1.2 -1.1 11.4 1.3 3.6

US exposure GSSTAMER 0.0 1.0 5.4 11.9 2.0 4.0Domestic exposure GSSTDOME -0.9 -2.7 -4.8 11.1 1.0 5.4Core Eurozone exposure GSSTCEMU -0.7 -1.4 1.1 11.5 1.4 5.9

Peripheral Eurozone exposure GSSTPEMU -1.1 -4.1 -12.7 10.4 0.8 5.0DM Nifty 50 GSSTDM50 1.7 3.1 -2.1 11.8 1.9 2.3EM Nifty 50 GSSTEM50 0.3 0.5 4.3 10.9 2.0 3.0UK domestic exposure GSSTUKDE 0.1 0.2 19.3 12.5 1.7 4.0

UK international exposure GSSTUKIE -0.2 1.0 -4.2 12.1 2.1 3.5Peripheral Exporters GSSTPEXP -1.1 -0.4 1.1 10.2 1.3 4.1

STOXX Europe 600 -1.1 -0.3 10.6 10.9 1.5 3.8

UK DomesticPeripheryPension RiskPeriphery ExportersBRIC ExposureHIDYUK InternationalGerman ConsumerEM Nifty 50DOMEUS ExposureDividend RiskDM Nifty 50Capex BeneficiariesRecoveryDefensive YieldOperating LeverageFinancial LeverageCoreStable Growers

Relative performance since last Strategy in Style (21/06/2012)

6.7

4.3

4.1

3.3

2.5

1.2

0.7

0.6

0.6

0.4

0.2

0.0

-0.3

-0.6

-0.8

-0.8

-1.0

-1.6

-3.3

-3.5

-4.0 -2.0 0.0 2.0 4.0 6.0 8.0

%



GSSTOPLV: Operating leverage basket

Key criteria: We screen for companies with a median historical operating leverage above the 88th percentile of the STOXX Europe

600 ex-financials.

Sector exposure: Industrial goods & services 23%, basic resources 14%.

Exhibit 6: Constituents of GSSTOPLV

Source: Datastream, Goldman Sachs Global ECS Research, Goldman Sachs Research estimates, Quantum database.

Current Market

Cap

Historical Degree of operating Sales Growth EBIT Growth

Current Market

Cap

Historical Degree of operating Sales Growth EBIT Growth

Name Weight (EUR Bn) leverage 2013E 2014E 2013E 2014E Name Weight (EUR Bn) leverage 2013E 2014E 2013E 2014EAutomobiles & Parts 11.4% Media 8.6%

Daimler (Xet) 2.9% 39.4 3.3 4% 7% 5% 27% Eutelsat Communications 2.9% 5.4 2.7 7% 7% 6% 7%Porsche Aml.Hldg. (Xet) Pref. 2.9% 14.3 3.6 NA NA NA NA Modern Times Gp.Mtg 'B' 2.9% 1.7 4.2 5% 5% -13% 25%Renault 2.9% 10.3 3.5 5% 6% 69% 25% Reed Elsevier (Ams) 2.9% 7.7 2.8 1% 4% 2% 8%Volkswagen Pref. (Xet) 2.9% 70.1 3.1 5% 5% 27% 17% Oil & Gas 5.7%

Basic Resources 14.3% Aker Solutions 2.9% 4.1 2.3 14% 8% 33% 21%Anglo American 2.9% 29.2 2.6 20% 0% 42% -16% Cie.Gl.De Gphyq.-Vert. 2.9% 3.9 3.3 35% 9% 93% 23%Boliden 2.9% 3.7 6.5 5% -3% 23% 11% Personal & Household Goods 8.6%Salzgitter (Xet) 2.9% 1.8 3.6 1% 5% 104% 65% Philips Eltn.Koninklijke 2.9% 18.4 5.7 4% 3% 28% 8%Ssab 'A' 2.9% 1.9 3.7 7% 7% 557% 43% The Swatch Group 'B' 2.9% 17.3 2.7 12% 12% 21% 22%Upm-Kymmene 2.9% 4.4 2.9 -4% 0% 0% -2% Adidas (Xet) 2.9% 13.9 2.2 8% 8% 25% 19%

Construction & Materials 2.9% Retail 8.6%Ferrovial 2.9% 8.0 2.4 NA NA NA NA Dufry 'R' 2.9% 2.7 2.5 25% 23% 35% 30%

Chemicals 8.6% Technology 2.9%K + S (Xet) 2.9% 6.9 3.2 3% 3% 7% 5% Asml Holding 2.9% 18.1 2.4 2% 21% -1% 42%Dsm Koninklijke 2.9% 6.5 2.2 5% 7% 26% 10% Telecommunications 2.9%Umicore 2.9% 4.5 3.5 4% 9% 17% 15% Tdc 2.9% 4.2 3.7 0% 1% -1% 1%

Industrial Goods & Services 22.9% Travel & Leisure 2.9%A P Moller - Maersk 'B' 2.9% 23.8 4.0 9% -3% 31% 6% Deutsche Lufthansa (Xet) 2.9% 5.6 2.1 5% 3% 47% 25%Deutsche Post (Xet) 2.9% 18.5 2.8 4% 5% 8% 12%Eads (Par) 2.9% 22.1 16.5 NA NA NA NAMan (Xet) 2.9% 11.6 2.8 10% 1% 83% 1%Mtu Aero Engines (Xet) Hldg. 2.9% 3.2 2.7 NA NA NA NANexans 2.9% 0.9 11.8 5% 3% 17% 0%Hexagon 'B' 2.9% 6.6 2.4 8% 9% 14% 17%Thyssenkrupp (Xet) 2.9% 9.2 2.9 -5% 5% 119% 24%Outotec 2.9% 1.7 2.9 4% 10% 10% 14%Skf 'B' 2.9% 8.2 2.2 4% 7% 11% 13%

Median 6.9 2.9 5% 6% 25% 19%



GSSTFNLV: Financial leverage basket

Key criteria: We screen for companies with 2013E and 2014E net debt/equity and 2013E and 2014E net debt/market cap above 70th

percentile and interest cover below the median (based on GS coverage).

Sector exposure: Industrial goods & services 16%, telecommunications 16%, retail 16%.

Exhibit 7: Constituents of GSSTFNLV

Source: Goldman Sachs Global ECS Research, Goldman Sachs Research estimates, Quantum database.

FINANCIAL LEVERAGE BASKET (GSSTFNLV)

Company name Basket weights (%)Current market cap

(€Bn)

Net debt/equity

13E

Net debt/equity

14E

Interest cover 13E

Interest cover 14E

Net debt/market

cap 13E

Net debt/market

cap 14EBasic Resources 8.0%

SSAB 4.0% 1.9 61% 55% 2.7 3.9 105% 99%Nyrstar 4.0% 0.8 59% 60% 2.5 4.7 103% 98%

Chemicals 4.0%Clariant 4.0% 2.4 60% 62% 2.4 2.8 71% 72%

Construction & Materials 12.0%Vinci 4.0% 18.7 93% 88% 4.7 5.0 70% 67%Lafarge 4.0% 13.2 60% 53% 2.8 3.5 80% 73%Eiffage 4.0% 2.4 NM NM 1.8 2.0 573% 563%

Health Care 4.0%Fresenius SE & Co KGaA 4.0% 14.8 72% 61% 5.4 6.3 58% 53%

Industrial Goods & Services 16.0%Securitas AB 4.0% 2.1 100% 89% 5.4 6.0 55% 52%Rexel 4.0% 3.8 61% 53% 3.2 3.8 64% 56%G4S Plc 4.0% 4.6 116% 103% 4.1 4.8 51% 48%Fraport AG 4.0% 4.0 120% 118% 3.0 3.3 75% 78%

Media 8.0%Mediaset 4.0% 1.5 67% 58% 3.2 3.3 103% 92%Eutelsat Communications 4.0% 5.4 146% 187% 5.5 5.6 55% 64%

Oil & Gas 4.0%SeaDrill Ltd 4.0% 14.4 163% 172% 5.9 6.1 62% 65%

Retail 16.0%Metro 4.0% 7.2 68% 58% 2.8 2.9 52% 46%Marks & Spencer 4.0% 7.7 89% 87% 6.2 7.0 39% 35%Casino 4.0% 7.5 76% 69% 3.3 4.0 81% 68%Carrefour 4.0% 12.8 95% 81% 3.1 3.2 55% 50%

Technology 4.0%Neopost 4.0% 1.4 104% 99% 7.2 7.2 57% 56%

Telecommunications 16.0%Telefonica 4.0% 45.7 179% 142% 3.1 3.2 100% 93%TDC A/S 4.0% 4.2 94% 95% 4.1 4.3 67% 63%Portugal Telecom 4.0% 3.3 NM NM 1.7 1.8 234% 236%Inmarsat Plc 4.0% 3.1 163% 180% 4.0 5.3 48% 45%

Utilities 8.0%Suez Environnement 4.0% 3.9 116% 115% 2.5 2.8 188% 187%GDF SUEZ 4.0% 38.9 60% 59% 3.5 3.8 104% 104%Median 4.2 93% 87% 3.2 3.9 70% 67%



GSSTRCOV: Recovery basket

Key criteria: Companies with both high operating leverage and high financial leverage.

Sector exposure: Industrial goods & services 25%, basic resources 11%, retail 9%.

Exhibit 8: Constituents of GSSTRCOV


Recovery (GSSTRCOV)

Company Name Weight Market Cap (€ Bn) P/E 2013 P/B 2013 Dividend Yield

2013 Company Name Weight Market Cap (€ Bn) P/E 2013 P/B 2013 Dividend Yield

2013Automobiles & Parts 7.0% Media 7.0%

Daimler (Xet) 1.8% 38.4 7.6 0.9 6.1% Eutelsat Communications 1.8% 5.3 14.1 3.6 5.4%Porsche Aml.Hldg. (Xet) Pref. 1.8% 13.9 5.1 0.7 0.0% Mediaset 1.8% 1.4 20.9 0.8 1.4%Renault 1.8% 10.1 3.1 0.4 8.0% Modern Times Gp.Mtg 'B' 1.8% 1.6 10.3 2.3 3.4%Volkswagen Pref. (Xet) 1.8% 66.7 6.4 0.9 3.2% Reed Elsevier (Ams) 1.8% 7.8 10.7 4.0 4.4%

Basic Resources 10.5% Oil & Gas 5.3%Anglo American 1.8% 27.6 10.5 0.9 2.8% Aker Solutions 1.8% 3.9 9.9 1.9 3.5%Boliden 1.8% 3.6 7.3 1.2 4.5% Cie.Gl.De Gphyq.-Vert. 1.8% 3.7 10.1 1.0 0.0%Nyrstar 1.8% 0.8 11.6 0.6 2.5% SeaDrill Ltd 1.8% 14.0 11.0 2.9 9.1%Salzgitter (Xet) 1.8% 1.9 23.5 0.5 0.4% Personal & Household Goods 5.3%SSAB 1.8% 1.9 12.1 0.5 1.7% Adidas (Xet) 1.8% 13.5 12.5 2.1 2.1%Upm-Kymmene 1.8% 4.3 15.5 0.6 7.3% Philips Eltn.Koninklijke 1.8% 18.2 12.9 1.4 3.4%

Chemicals 7.0% The Swatch Group 'B' 1.8% 17.8 12.6 2.1 2.0%Clariant 1.8% 2.5 11.8 0.9 2.6% Retail 8.8%Dsm Koninklijke 1.8% 6.8 11.8 1.1 2.5% Carrefour 1.8% 12.5 13.0 1.6 3.5%K + S (Xet) 1.8% 6.9 10.5 1.8 4.8% Casino 1.8% 7.5 10.7 1.4 5.1%Umicore 1.8% 4.4 14.4 2.2 2.5% Dufry 'R' 1.8% 2.7 8.5 2.4 0.0%

Construction & Materials 7.0% Marks & Spencer 1.8% 7.6 9.7 2.2 5.3%Eiffage 1.8% 2.3 8.8 0.9 5.8% Metro 1.8% 7.0 9.1 1.1 6.1%Ferrovial 1.8% 8.0 34.3 1.3 4.5% Technology 3.5%Lafarge 1.8% 13.0 12.8 0.8 2.7% Asml Holding 1.8% 17.9 17.4 4.2 1.3%Vinci 1.8% 18.0 9.5 1.3 5.4% Neopost 1.8% 1.4 7.1 1.8 10.3%

Health Care 1.8% Telecommunications 7.0%Fresenius SE & Co KGaA 1.8% 14.6 14.4 1.8 1.7% Inmarsat Plc 1.8% 3.0 15.8 3.6 5.6%

Industrial Goods & Services 24.6% Portugal Telecom 1.8% 3.2 11.8 1.7 8.6%A P Moller - Maersk 'B' 1.8% 24.2 5.9 0.7 2.4% TDC A/S 1.8% 4.1 9.1 1.4 8.8%Deutsche Post (Xet) 1.8% 18.1 10.2 1.4 5.1% Telefonica 1.8% 45.1 10.4 1.6 0.0%Eads (Par) 1.8% 21.2 10.2 1.8 3.0% Travel & Leisure 1.8%Fraport AG 1.8% 4.0 15.6 1.3 2.9% Deutsche Lufthansa (Xet) 1.8% 5.7 15.5 0.7 3.9%G4S Plc 1.8% 4.4 10.5 2.1 3.5% Utilties 3.5%Hexagon 'B' 1.8% 6.5 14.9 2.1 0.0% GDF SUEZ 1.8% 37.1 10.5 0.6 9.0%Man (Xet) 1.8% 11.5 14.3 1.9 2.7% Suez Environnement 1.8% 4.0 13.2 0.8 8.1%Mtu Aero Engines (Xet) Hldg. 1.8% 3.1 12.6 2.5 2.4%Nexans 1.8% 0.9 7.5 0.5 4.0%Outotec 1.8% 1.6 11.1 2.8 2.9%Rexel 1.8% 3.8 9.1 0.8 4.9%Securitas AB 1.8% 2.2 9.9 1.8 5.4%Skf 'B' 1.8% 8.1 12.7 2.6 4.6%Thyssenkrupp (Xet) 1.8% 8.9 8.8 1.1 2.6%

Median 6.8 10.7 1.4 3.5%



GSSTHIDY: High dividend yield + growth basket

Key criteria: Stocks with a 2012E dividend yield (payable in 2013) above 4% based on our analysts’ forecasts. We exclude companies

with: a market cap below €1 bn; 2012/13E payout ratios above 70%; 2012E FCF coverage of less than 0.75x (1x in 2013E); 2012E net

debt/EBITDA above 3.5x; forecast dividend growth below 5%; option-implied dividend growth below 20%; and CDS above 300 bp. We

also exclude stocks rated Sell by our analysts. We include financials. We have relaxed some criteria for oil & gas stocks.

Sector exposure: Media 15%, insurance 15%, industrial goods & services 10%.

Exhibit 9: Constituents of GSSTHIDY

Source: Bloomberg, Quantum database, Goldman Sachs Research estimates, Goldman Sachs Global ECS Research.

HIGH DIVIDEND YIELD AND GROWTH BASKET (GSSTHIDY)

Company name 2012E 2013E 2012E 2013E 2012 2013 2012E 2013E 2012E 2013E 2012E 2013EAutomobiles & Parts 4.9%

BMW 2.4% 41.0 1.57 4.6% 4.8% 29.4% 4.6% 5.9% 5.7% 40% 40% 1.9x 1.7x -0.7x -0.8x 95 bpsDaimler AG 2.4% 38.6 1.54 6.1% 6.1% 0.0% 0.0% -9.1% -11.5% 48% 46% 0.7x 0.7x -0.7x -0.6x 115 bps

Construction & Materials 9.8%Bouygues 2.4% 5.7 1.43 8.9% 8.9% 0.0% 0.0% -14.1% 7.3% 50% 48% 1.9x 3.6x 1.5x 1.3x 168 bpsRoyal Boskalis Westminster N.V 2.4% 3.0 1.40 4.3% 4.5% 0.0% 4.8% 0.0% 3.2% 57% 53% 1.3x 1.4x 0.6x 0.5xSaint-Gobain 2.4% 15.2 1.73 4.6% 5.1% 4.8% 11.5% -7.2% -5.3% 47% 47% 1.2x 1.4x 3.1x 2.8x 183 bpsVinci 2.4% 18.1 1.62 5.4% 5.4% 0.0% 0.0% -12.4% 3.2% 52% 52% 1.6x 2.0x 2.7x 2.6x 133 bps

Financial Services 4.9%Groupe Bruxelles Lambert 2.4% 9.3 1.00 4.7% 4.9% 5.0% 5.0% 3.8% 3.7% 64% 58% 1.9x 2.2x 1.0x 0.7xICAP plc 2.4% 2.5 1.29 7.1% 7.5% 2.8% 6.6% 5.0% 5.8% 61% 63% -0.7x -0.9x

Food & Beverage 2.4%Britvic Plc 2.4% 1.1 0.76 5.4% 5.8% 9.5% 6.3% 3.4% 4.1% 53% 54% 1.2x 1.4x 2.9x 2.7x

Health Care 7.3%AstraZeneca 2.4% 49.8 0.49 6.4% 6.4% 5.5% -0.6% 11.4% 7.1% 46% 46% 1.6x 1.2x 0.4x 0.4x 57 bpsGlaxoSmithKline 2.4% 87.1 0.33 5.5% 5.9% -0.1% 7.0% -5.1% 0.0% 68% 68% 2.0x 1.8x 1.3x 1.4x 51 bpsRoche 2.4% 129.2 0.42 4.3% 5.0% 13.1% 17.6% 3.9% 1.8% 55% 58% 2.5x 1.9x 0.8x 0.5x

Industrial Goods & Services 9.8%Deutsche Post 2.4% 18.0 1.17 4.7% 5.1% 0.9% 8.1% -0.7% -6.5% 55% 52% 0.5x 1.1x 1.1x 1.0x 59 bpsRandstad Holdings 2.4% 4.4 1.67 4.9% 4.9% 0.0% 0.0% 0.0% 0.0% 61% 55% 1.5x 1.8x 2.0x 1.6xSandvik 2.4% 13.6 1.58 4.3% 5.4% 23.1% 25.0% 23.1% 0.0% 51% 63% 1.2x 1.2x 1.2x 1.1xSiemens AG 2.4% 66.4 1.04 4.0% 4.3% 5.1% 8.6% -1.0% -4.5% 43% 44% 1.4x 2.1x 0.3x 0.1x 60 bps

Insurance 14.6%Allianz SE 2.4% 42.2 1.31 4.8% 5.4% 0.0% 11.1% -4.5% -4.0% 40% 41% 105 bpsLegal & General Group 2.4% 10.4 1.18 5.1% 5.4% 12.0% 7.0% 10.4% 6.1% 51% 51% 132 bpsMunich Re (reg) 2.4% 22.5 1.12 5.3% 5.3% 8.0% 0.0% 0.8% -4.8% 38% 43% 73 bpsSampo 2.4% 13.4 1.13 5.0% 5.0% 0.0% 0.0% -16.7% 0.0% 51% 51% SCOR 2.4% 3.8 0.90 5.9% 5.9% 9.1% 0.0% 4.5% 13.0% 56% 47% 141 bpsZurich Insurance Group 2.4% 28.2 0.77 7.3% 7.3% 0.0% 0.0% -5.9% -6.7% 70% 57% 147 bps

Media 14.6%Axel Springer AG 2.4% 3.2 0.89 5.4% 5.5% 3.9% 1.0% 60% 63% 2.6x 3.0x 1.0x 0.8xInforma 2.4% 3.0 1.02 4.5% 4.6% 4.9% 2.9% 6.7% 7.9% 45% 45% 2.9x 2.7x 2.3x 1.8xReed Elsevier (NL) 2.4% 7.8 0.69 4.2% 4.4% 14.6% 4.3% 12.7% 9.3% 47% 47% 2.0x 2.2x 1.7x 1.3xSES SA 2.4% 8.6 0.46 4.6% 5.1% 14.2% 9.5% 0.0% 0.0% 65% 65% 0.9x 1.2x 2.9x 3.0x 69 bpsUBM plc 2.4% 2.1 1.33 4.1% 4.6% 9.0% 10.9% 5.8% 3.5% 50% 46% 2.4x 2.6x 1.9x 1.3x 151 bpsVivendi 2.4% 17.4 1.03 6.7% 7.5% 0.0% 12.4% -20.0% -13.3% 52% 53% 3.3x 4.2x 1.7x 1.4x 162 bps

Oil & Gas 9.8%ENI 2.4% 63.2 1.35 6.2% 6.3% 3.8% 2.0% -5.2% -10.4% 52% 49% 1.3x 1.3x 0.4x 0.3x 141 bpsOMV 2.4% 9.0 1.12 4.2% 4.4% 4.5% 4.3% 9.1% 12.5% 24% 29% 5.7x 4.9x 0.9x 0.8xRoyal Dutch Shell plc (A) 2.4% 168.7 0.58 5.0% 5.2% 11.1% 3.5% 1.8% -1.4% 40% 42% 1.2x 0.9x 0.3x 0.3x 54 bpsStatoil 2.4% 60.1 1.02 4.9% 5.0% 3.0% 3.0% 3.8% 6.7% 40% 48% 0.7x 0.0x 0.2x 0.4x 62 bps

Personal & Household Goods 2.4%British American Tobacco 2.4% 77.7 0.50 4.2% 4.7% 6.1% 10.9% 8.0% 10.6% 65% 65% 1.5x 1.5x 1.6x 1.5x 51 bps

Retail 4.9%Casino 2.4% 7.5 1.06 4.5% 5.1% 1.3% 12.9% 6.7% 0.0% 57% 55% 3.9x 13.0x 2.4x 1.9x 153 bpsMarks & Spencer 2.4% 7.6 0.88 4.7% 5.3% 6.3% 13.0% 11.1% 6.4% 51% 51% 1.0x 1.0x 1.8x 1.7x 220 bps

Telecommunications 7.3%Swisscom 2.4% 16.3 0.42 5.8% 5.8% 0.0% 0.0% -6.3% -4.2% 61% 64% 1.5x 1.3x 1.8x 1.7x 64 bpsTelenor 2.4% 25.8 0.62 4.8% 5.7% 10.0% 18.2% 0.0% 0.0% 66% 62% 1.8x 2.5x 0.6x 0.5x 52 bpsTeliaSonera 2.4% 22.7 0.82 6.9% 9.9% 5.3% 43.3% 0.0% 0.0% 75% 99% 2.6x 1.1x 1.5x 1.4x 53 bps

Travel & Leisure 2.4%TUI Travel Plc 2.4% 3.5 1.21 4.8% 5.0% 4.9% 3.9% 5.3% 9.2% 48% 48% 2.0x 2.0x 0.6x 0.4x

Utilities 4.9%Centrica 2.4% 20.7 0.46 4.9% 5.0% 2.7% 0.7% 8.0% 4.4% 63% 58% 1.4x 2.0x 1.7x 1.7x 62 bpsFortum 2.4% 12.4 0.75 7.2% 7.2% 0.0% 0.0% 0.0% 0.0% 74% 67% 1.7x 1.9x 3.2x 3.1x 63 bps

Median 15.2 1.03 4.9% 5.3% 4.8% 4.6% 1.3% 0.9% 52% 52% 1.6x 1.8x 1.3x 1.3x 84 bps

Payout ratio Free cash flow cover Net debt/EBITDABasket weights (%)

Market cap (€Bn)

Beta (6 month)

Dividend yield DPS growth (forecast) DPS growth (implied) 5 year CDS



GSSTHDDY: High and defensive dividend yield

Key criteria: Stocks with a 2012E dividend yield (payable in 2013) above 4.5% based on our analysts’ forecasts. We exclude companies

with: a market cap below €1 bn; 2012/13E payout ratios above 80%; 2013E net debt/EBITDA above 3.5x; and CDS above 300 bp. We also

exclude stocks rated Sell by our analysts. In addition, we exclude financials and cyclicals. We have relaxed some criteria for oil & gas

stocks.

Sector exposure: Media 19%, retail 19%, utilities 13%, oil & gas 13%.

Exhibit 10: Constituents of GSSTHDDY

Source: Bloomberg, Quantum database, Goldman Sachs Research estimates, Goldman Sachs Global ECS Research.

HIGH AND DEFENSIVE DIVIDEND YIELD BASKET (GSSTHDDY)

Company name 2012E 2013E 2012E 2013E 2012 2013 2012E 2013E 2012E 2013E 2012E 2013EFood & Beverage 3.1%

Britvic Plc 3.1% 1.1 0.76 5.4% 5.8% 9.5% 6.3% 3.4% 4.1% 53% 54% 1.2x 1.4x 2.9x 2.7xHealth Care 9.4%

AstraZeneca 3.1% 49.8 0.49 6.4% 6.4% 5.5% -0.6% 11.4% 7.1% 46% 46% 1.6x 1.2x 0.4x 0.4x 57 bpsGlaxoSmithKline 3.1% 87.1 0.33 5.5% 5.9% -0.1% 7.0% -5.1% 0.0% 68% 68% 2.0x 1.8x 1.3x 1.4x 51 bpsRoche 3.1% 129.2 0.42 4.3% 5.0% 13.1% 17.6% 3.9% 1.8% 55% 58% 2.5x 1.9x 0.8x 0.5x

Media 18.8%Axel Springer AG 3.1% 3.2 0.89 5.4% 5.5% 3.9% 1.0% 60% 63% 2.6x 3.0x 1.0x 0.8xInforma 3.1% 3.0 1.02 4.5% 4.6% 4.9% 2.9% 6.7% 7.9% 45% 45% 2.9x 2.7x 2.3x 1.8xReed Elsevier (NL) 3.1% 7.8 0.69 4.2% 4.4% 14.6% 4.3% 12.7% 9.3% 47% 47% 2.0x 2.2x 1.7x 1.3xSES SA 3.1% 8.6 0.46 4.6% 5.1% 14.2% 9.5% 0.0% 0.0% 65% 65% 0.9x 1.2x 2.9x 3.0x 69 bpsUBM plc 3.1% 2.1 1.33 4.1% 4.6% 9.0% 10.9% 5.8% 3.5% 50% 46% 2.4x 2.6x 1.9x 1.3x 151 bpsVivendi 3.1% 17.4 1.03 6.7% 7.5% 0.0% 12.4% -25.0% -13.3% 52% 53% 3.3x 4.2x 1.7x 1.4x 162 bps

Oil & Gas 12.5%ENI 3.1% 63.2 1.35 6.2% 6.3% 3.8% 2.0% -5.2% -10.4% 52% 49% 1.3x 1.3x 0.4x 0.3x 141 bpsOMV 3.1% 9.0 1.12 4.2% 4.4% 4.5% 4.3% 9.1% 12.5% 24% 29% 5.7x 4.9x 0.9x 0.8xRoyal Dutch Shell plc (A) 3.1% 168.7 0.58 5.0% 5.2% 11.1% 3.5% 1.8% -1.4% 40% 42% 1.2x 0.9x 0.3x 0.3x 54 bpsStatoil 3.1% 60.1 1.02 4.9% 5.0% 3.0% 3.0% 3.8% 6.7% 40% 48% 0.7x 0.0x 0.2x 0.4x 62 bps

Personal & Household Goods 6.3%British American Tobacco 3.1% 77.7 0.50 4.2% 4.7% 6.1% 10.9% 8.0% 10.6% 65% 65% 1.5x 1.5x 1.6x 1.5x 51 bpsElectrolux 3.1% 5.5 1.46 4.0% 4.1% 3.1% 0.7% -15.4% 18.2% 51% 39% 1.1x 2.0x 1.1x 0.8x 69 bps

Retail 18.8%Ahold 3.1% 10.8 0.40 4.6% 5.0% 11.0% 9.3% 0.0% 10.0% 44% 44% 0.5x 1.9x 1.2x 1.2x 126 bpsCasino 3.1% 7.5 1.06 4.5% 5.1% 1.3% 12.9% 6.7% 0.0% 57% 55% 3.9x 13.0x 2.4x 1.9x 153 bpsDelhaize 3.1% 2.8 0.75 5.0% 5.4% -19.0% 7.2% 0.0% 0.0% 35% 35% 2.7x 1.2x 2.0x 1.8xMarks & Spencer 3.1% 7.6 0.88 4.7% 5.3% 6.3% 13.0% 11.1% 6.4% 51% 51% 1.0x 1.0x 1.8x 1.7x 220 bpsMetro 3.1% 7.0 0.93 6.1% 6.1% -3.8% 0.0% 7.4% 0.0% 55% 55% -0.2x 2.2x 1.6x 1.4x 230 bpsTesco 3.1% 32.6 0.55 4.5% 5.0% 0.4% 9.6% -6.8% 0.0% 46% 46% 0.7x 1.2x 1.6x 1.2x 101 bps

Technology 3.1%Eutelsat Communications 3.1% 5.3 0.64 4.6% 5.4% 16.1% 18.0% 15.0% 8.7% 71% 76% 1.1x 1.2x 2.6x 2.7x

Telecommunications 9.4%Royal KPN NV 3.1% 6.8 0.35 7.5% 0.0% -58.8% -100.0% -59.4% -3.6% 43% 0% 2.0x 2.8x 2.8x 167 bpsSwisscom 3.1% 16.3 0.42 5.8% 5.8% 0.0% 0.0% -6.3% -4.2% 61% 64% 1.5x 1.3x 1.8x 1.7x 64 bpsTelenor 3.1% 25.8 0.62 4.8% 5.7% 10.0% 18.2% 0.0% 0.0% 66% 62% 1.8x 2.5x 0.6x 0.5x 52 bps

Travel & Leisure 6.3%Lottomatica 3.1% 3.0 0.99 4.7% 4.8% 3.0% 3.0% 79% 78% 4.5x 4.2x 2.5x 2.0xTUI Travel Plc 3.1% 3.5 1.21 4.8% 5.0% 4.9% 3.9% 5.3% 9.2% 48% 48% 2.0x 2.0x 0.6x 0.4x

Utilities 12.5%Centrica 3.1% 20.7 0.46 4.9% 5.0% 2.7% 0.7% 8.0% 4.4% 63% 58% 1.4x 2.0x 1.7x 1.7x 62 bpsDrax Group Plc 3.1% 2.7 0.57 4.2% 3.1% -17.9% -26.9% -26.7% -24.5% 47% 50% -1.0x -3.9x -0.7x -0.1xEnel SpA 3.1% 26.1 1.22 5.2% 5.2% -44.1% 0.0% -25.6% -11.8% 40% 45% 4.2x 7.2x 3.4x 3.3x 265 bpsFortum 3.1% 12.4 0.75 7.2% 7.2% 0.0% 0.0% 0.0% 0.0% 74% 67% 1.7x 1.9x 3.2x 3.1x 63 bps

Median 8.8 0.75 4.8% 5.1% 3.9% 4.1% 2.6% 0.9% 51% 51% 1.6x 1.9x 1.7x 1.4x 69 bps

Basket weights (%)

Market cap (€Bn)

Beta (6 month)

Dividend yield DPS growth (forecast) DPS growth (implied) Payout ratio Free cash flow cover Net debt/EBITDA 5 year CDS



GSSTGRTH: Stable growers basket

Key criteria: Within each sector, we look for companies with the highest average growth to standard deviation on growth and

return metrics (net income growth, sales growth, ROE).

Sector exposure: Banks 9%, healthcare 9%, oil & gas 9%.

Exhibit 11: Constituents of GSSTGRTH


STABLE GROWERS BASKETS (GSSTGRTH)

Company nameBasket

weights (%)Market cap

(€Bn) Average (%)Standard

Deviation (%)Avg / St Dev

Ratio Average (%)

Standard Deviation

(%)Avg / St Dev

Ratio Average (%)Standard

Deviation (%)Avg / St Dev

RatioAutomobiles & Parts 2.9%

Nokian Renkaat 2.9% 4.2 15% 17% 0.9 40% 63% 0.6 20% 6% 3.5Banks 8.6%

Standard Chartered 2.9% 44.3 15% 10% 1.5 21% 15% 1.4 NM NM NMSvenska Handelsbanken 2.9% 17.6 5% 4% 1.1 5% 9% 0.5 NM NM NMNordea 2.9% 28.1 4% 5% 0.9 13% 28% 0.5 NM NM NM

Basic Resources 5.7%BHP Billiton Plc 2.9% 132.5 15% 14% 1.1 24% 36% 0.7 31% 9% 3.5Antofagasta plc 2.9% 16.0 25% 30% 0.8 47% 77% 0.6 20% 9% 2.2

Chemicals 5.7%Yara 2.9% 10.5 12% 21% 0.6 27% 46% 0.6 24% 6% 4.1Linde AG 2.9% 24.2 12% 23% 0.5 22% 37% 0.6 9% 2% 3.5

Construction & Materials 2.9%Vinci 2.9% 18.7 8% 7% 1.0 14% 13% 1.1 16% 2% 7.2

Financial Services 2.9%ICAP plc 2.9% 2.6 9% 11% 0.8 10% 13% 0.8 20% 1% 14.9

Food & Beverages 5.7%SABMiller 2.9% 52.3 19% 29% 0.6 25% 19% 1.3 12% 2% 7.3Anheuser-Busch InBev 2.9% 102.4 19% 18% 1.1 29% 16% 1.7 12% 3% 3.9

Healthcare 8.6%Rhoen-Klinikum 2.9% 2.1 18% 14% 1.3 9% 7% 1.3 13% 1% 11.8Getinge 2.9% 5.7 16% 7% 2.2 16% 11% 1.5 19% 3% 5.9Fresenius Medical Care 2.9% 15.6 10% 6% 1.7 15% 6% 2.5 12% 1% 10.2

Industrial Goods & Services 5.7%Aggreko 2.9% 7.2 20% 12% 1.6 30% 18% 1.7 24% 5% 4.5Serco 2.9% 3.5 14% 11% 1.3 19% 9% 2.0 21% 3% 6.0

Insurance 5.7%Admiral Group Plc 2.9% 3.6 NM NM NM 10% 10% 1.0 NM NM NMMapfre S.A. 2.9% 6.4 NM NM NM 27% 41% 0.7 NM NM NM

Media 2.9%Aegis Group PLC 2.9% 3.3 9% 10% 0.9 13% 9% 1.5 35% 11% 3.1

Oil & Gas 8.6%Petrofac 2.9% 6.7 33% 18% 1.8 35% 19% 1.8 42% 7% 6.0Dragon Oil PLC 2.9% 3.7 47% 48% 1.0 57% 42% 1.4 19% 6% 3.1SeaDrill Ltd 2.9% 14.4 592% 1495% 0.4 52% 79% 0.7 15% 9% 1.6

Personal & Household Goods 5.7%Reckitt Benckiser 2.9% 34.2 10% 7% 1.3 17% 7% 2.3 35% 3% 11.4Christian Dior 2.9% 21.0 11% 8% 1.3 16% 32% 0.5 6% 1% 7.7

Real Estate 2.9%Corio 2.9% 3.3 6% 6% 1.0 6% 5% 1.1 7% 1% 6.2

Retail 5.7%Tesco 2.9% 32.7 10% 4% 2.4 12% 9% 1.4 16% 1% 11.6Hennes & Mauritz 2.9% 43.1 11% 4% 2.6 15% 14% 1.1 37% 4% 8.7

Technology 5.7%Sage Group 2.9% 5.2 10% 9% 1.1 10% 7% 1.5 15% 1% 16.2Iliad 2.9% 6.7 31% 20% 1.5 29% 46% 0.6 33% 25% 1.3

Telecoms 5.7%Inmarsat Plc 2.9% 3.1 15% 25% 0.6 80% 134% 0.6 21% 10% 2.1Telenor 2.9% 25.4 9% 10% 0.9 19% 39% 0.5 15% 6% 2.5

Travel & Leisure 2.9%Sodexo 2.9% 9.1 6% 3% 2.3 10% 5% 2.2 16% 2% 6.8

Utilities 5.7%Red Electrica de Espana 2.9% 4.8 11% 10% 1.0 17% 6% 2.6 19% 5% 4.1SSE Plc 2.9% 16.9 22% 18% 1.2 11% 22% 0.5 27% 5% 5.7Median 10.5 12% 11% 1.1 17% 16% 1.1 19% 4% 5.8

Sales Growth 2002-2012E Earnings Growth 2002-2012E ROE 2002-2012E



GSSTCAPX: Capex basket

Key criteria: Companies with high correlation between their sales growth and share of investment in world GDP.

Sector exposure: Industrial goods & services 59%, Construction & Materials 9%.

Exhibit 12: Constituents of GSSTCAPX


CAPEX BENEFICARIES BASKET (GSSTCAPX)

Name Weights ICB Level 4 sub‐sectorCorrelation of sales

with investment share of GDP

NTM P/E

Chemicals 3.1%Linde AG 3.1% Commodity Chemicals 0.43 14.8

Construction & Materials 9.4%Acciona S.A. 3.1% Heavy Construction 0.52 20.2FLSmidth & Co. A/S 3.1% Building Materials & Fixtures 0.43 10.3Sika AG 3.1% Building Materials & Fixtures 0.41 15.4

Industrial Goods & Services 59.4%Rolls‐Royce Holdings PLC 3.1% Aerospace 0.46 13.8Aggreko PLC 3.1% Business Support Services 0.75 19.6Bilfinger SE 3.1% Business Support Services 0.50 13.0Michael Page International PLC 3.1% Business Training & Employment Agencies 0.73 23.9Randstad Holding N.V. 3.1% Business Training & Employment Agencies 0.55 11.6Scania AB B 3.1% Commercial Vehicles & Trucks 0.54 13.4Nexans 3.1% Electrical Components & Equipment 0.63 10.3Rexel S.A. 3.1% Electrical Components & Equipment 0.58 9.1ABB Ltd. 3.1% Industrial Machinery 0.80 12.3Sulzer AG 3.1% Industrial Machinery 0.64 14.2Weir Group PLC 3.1% Industrial Machinery 0.58 12.0Metso Corp. 3.1% Industrial Machinery 0.58 9.8Atlas Copco AB 3.1% Industrial Machinery 0.50 14.3GEA Group AG 3.1% Industrial Machinery 0.49 12.1Andritz Ag 3.1% Industrial Machinery 0.49 16.1Georg Fischer AG 3.1% Industrial Machinery 0.45 8.8Schindler‐Hldg AG Ptg 3.1% Industrial Machinery 0.44 19.1SKF AB 3.1% Industrial Machinery 0.43 12.9Koninklijke Vopak N.V. 3.1% Marine Transportation 0.46 18.3

Media 3.1%Vivendi 3.1% Broadcasting & Entertainment 0.51 7.6

Oil & Gas 9.4%Fugro N.V. 3.1% Oil Equipment & Services 0.50 12.6CGG Veritas 3.1% Oil Equipment & Services 0.48 11.6Cairn Energy PLC 3.1% Exploration & Production 0.42 ‐74.9

Technology 9.4%Ericsson LM Shs B 3.1% Telecommunications Equipment 0.47 12.3SAP AG 3.1% Software 0.47 16.0Capgemini 3.1% Computer Services 0.43 11.5

Travel & Leisure 6.3%Deutsche Lufthansa AG 3.1% Airlines 0.49 12.6InterContinental Hotels Group PLC 3.1% Hotels 0.44 15.9

Median 0.49 12.7



GSSTGCON: German consumer basket

Key criteria: Consumer-facing companies with at least 23% exposure to Germany

Sector exposure: Retail 19%, media 19%, automobiles & parts 15%.

Exhibit 13: Constituents of GSSTGCON

Source: Worldscope, Datastream, Goldman Sachs Global ECS Research.

German Consumer (GSSTGCON)

Company Name Basket Weights Country Market Cap

(€ Bn)Sales Exposure to

GermanyAutomobiles & Parts 14.8%

Porsche Aml.Hldg. (Xet) Pref. 3.7% Germany 15.5 29 %Daimler (Xet) 3.7% Germany 38.5 23 %Continental (Xet) 3.7% Germany 15.2 26 %Rheinmetall (Xet) 3.7% Germany 1.3 30 %

Construction & Materials 3.7%Geberit 'R' 3.7% Switzerland 6.1 34 %

Food & Beverage 7.4%Suedzucker (Xet) 3.7% Germany 5.8 29 %Baywa 3.7% Germany 1.2 65 %

Industrial Goods & Services 3.7%Tomra Systems 3.7% Norway 0.9 43 %

Insurance 3.7%Allianz (Xet) 3.7% Germany 43.0 34 %

Media 18.5%Sky Deutschland 3.7% Germany 2.6 NAAxel Springer 3.7% Germany 3.2 67 %Prosieben Sat 1 Pf.(Xet) 3.7% Germany 4.6 70 %Kabel Deutschland Hldg. 3.7% Germany 4.9 100 %Ses Fdr (Par) 3.7% Luxembourg 8.7 24 %

Personal & Household Goods 7.4%Loewe 3.7% Germany 0.0 62 %Gerry Weber Intl. 3.7% Germany 1.6 60 %

Real Estate 3.7%Gagfah 3.7% Luxembourg 1.8 100 %

Retail 18.5%Fielmann 3.7% Germany 3.1 80 %Praktiker Bauheim.Hldg. 3.7% Germany 0.1 71 %Douglas Holding 3.7% Germany 1.5 67 %Metro (Xet) 3.7% Germany 7.0 39 %Charles Vogele 3.7% Switzerland 0.1 39 %

Technology 3.7%Wincor Nixdorf (Xet) 3.7% Germany 1.1 26 %

Telecommunications 11.1%Deutsche Telekom (Xet) 3.7% Germany 36.2 39 %Freenet (Xet) 3.7% Germany 1.8 100 %Kpn kon 3.7% Netherlands 6.7 25 %

Travel & Leisure 3.7%Tui Travel 3.7% United Kingdom 3.5 29 %

Median 3.2 39 %



GSSTPENS: Companies with high pension risk

Key criteria: Stocks with high pension risk (see Strategy Matters Pension apprehension – risks from lower bond yields and

regulation, June 14 2012.)

Exhibit 14: Constituents of GSSTPENS

Source: Datastream, Worldscope, Goldman Sachs Global ECS Research

Company SEDOL Country Sector Diff. Bonds Equities Property OtherAlcatel-Lucent/France 5975006 France Technology 31/12/2011 1519% -90% 94% 3.9% 6.4% 2.5% Yes 66% 15% 7% 12%Air France-KLM 4916039 France Travel & Leisure 31/12/2011 646% 32% 105% 4.9% 5.6% 0.7% Yes 52% 36% 12%Fiat SpA 5748521 Italy Automobiles & Parts 31/12/2011 605% -139% 77% 4.7% 7.2% 2.5% Yes 43% 25% 32%IAG Group B5M6XQ7 Britain Travel & Leisure 31/12/2011 507% -11% 98% 4.9% 4.6% -0.3% Yes 47% 33% 20%PostNL NV 5481558 Netherlands Industrial Goods & Services 31/12/2011 505% 8% 102% 4.8% 6.5% 1.7% Yes 38% 36% 17% 9%Invensys PLC B19DVX6 Britain Industrial Goods & Services 31/03/2012 326% -22% 93% 4.7% 4.5% -0.2% 72% 9% 19%Peugeot SA 7103526 France Automobiles & Parts 31/12/2011 239% -41% 83% 4.7% 5.2% 0.5% Yes 65% 35%BT Group PLC 3091357 Britain Telecommunications 31/03/2012 228% -14% 94% 5.0% 5.4% 0.5% 38% 21% 11% 30%Deutsche Lufthansa AG 5287488 Germany Travel & Leisure 31/12/2011 224% -82% 63% 4.3% 5.3% 1.0% Yes 46% 31% 4% 19%BAE Systems PLC 0263494 Britain Industrial Goods & Services 31/12/2011 221% -53% 76% 4.8% 5.7% 0.9% 40% 51% 8% 1%RBS Group PLC B7T7721 Britain Banks 31/12/2011 154% -12% 92% 5.2% 5.6% 0.4% Yes 49% 44% 4% 3%Akzo Nobel NV 5458314 Netherlands Chemicals 31/12/2011 150% -5% 97% 4.6% 5.3% 0.7% Yes 73% 15% 2% 10%RSA Group PLC 0661689 Britain Insurance 31/12/2011 144% -5% 97% 4.9% 6.1% 1.2% Yes 46% 35% 12% 7%Koninklijke KPN NV 5956078 Netherlands Telecommunications 31/12/2011 126% -16% 87% 3.8% 4.2% 0.4% Yes 41% 37% 8% 14%Philips Electronics NV 5986622 Netherlands Personal & Household Goods 31/12/2011 116% -6% 95% 4.1% 5.6% 1.5% Yes 73% 16% 4% 7%DMGT PLC 0945736 Britain Media 02/10/2011 112% -20% 82% 5.2% 6.7% 1.5% 36% 54% 10% 1%Georg Fischer AG 4341783 Switzerland Industrial Goods & Services 31/12/2011 108% -20% 82% 2.9% 3.9% 1.0% Yes 43% 25% 25% 7%Aviva PLC 0216238 Britain Insurance 31/12/2011 104% 12% 112% 4.9% 4.2% -0.7% 77% 7% 6% 11%Lonza Group AG 7333378 Switzerland Health Care 31/12/2011 103% -17% 84% 3.4% 4.2% 0.8% Yes 13% 42% 4% 41%Delta Lloyd NV B574ZG0 Netherlands Insurance 31/12/2011 102% -2% 98% 4.2% 3.5% -0.7% 70% 14% 4% 13%GKN PLC 3064650 Britain Automobiles & Parts 31/12/2011 101% -25% 76% 4.7% 5.5% 0.8% 47% 32% 4% 17%Electricite de France SA B0NJJ17 France Utilities 31/12/2011 100% -56% 45% 4.9% 4.9% -0.1% Yes 61% 33% 2% 4%Marks & Spencer PLC 3127489 Britain Retail 31/03/2012 98% 1% 101% 4.6% 4.9% 0.3% 51% 17% 11% 21%RWE AG 4768962 Germany Utilities 31/12/2011 96% -20% 79% 5.3% 5.1% -0.2% Yes 60% 19% 3% 18%Smiths Group PLC B1WY233 Britain Industrial Goods & Services 31/07/2012 94% -14% 85% 4.0% 5.4% 1.4% 14% 46% 5% 34%Salzgitter AG 5465358 Germany Basic Resources 31/12/2011 93% -93% 0% 4.3%Thales SA 4162791 France Industrial Goods & Services 31/12/2011 89% -29% 67% 4.7% 5.7% 1.0% Yes 55% 32% 1% 11%Volkswagen AG 5497168 Germany Automobiles & Parts 31/12/2011 88% -63% 28% 5.0% 5.5% 0.5% 59% 25% 4% 13%ThyssenKrupp AG 5636927 Germany Industrial Goods & Services 30/09/2011 88% -68% 23% 4.8% 6.1% 1.2% Yes 55% 36% 9%Babcock Intl PLC 0969703 Britain Industrial Goods & Services 31/03/2012 87% -7% 92% 4.8% 6.6% 1.8% 55% 42% 6% -2%J Sainsbury PLC B019KW7 Britain Retail 17/03/2012 86% -7% 92% 5.0% 5.3% 0.3% 48% 36% 3% 13%National Grid PLC B08SNH3 Britain Utilities 31/03/2012 85% -6% 93% 5.0% 6.1% 1.1% 50% 41% 6% 4%Finmeccanica SpA B0DJNG0 Italy Industrial Goods & Services 31/12/2011 84% -10% 88% 4.0% 5.5% 1.5% Yes 37% 20% 3% 40%Lloyds Group PLC 0870612 Britain Banks 31/12/2011 83% 2% 102% 5.0% 5.0% 0.0% Yes 40% 37% 6% 17%Commerzbank AG 4325538 Germany Banks 31/12/2011 79% -6% 92% 4.8% 5.4% 0.6% Yes 67% 13% 20%Rexam PLC 0425045 Britain Industrial Goods & Services 31/12/2011 79% -10% 87% 4.4% 4.7% 0.3% 67% 32% 1%ITV PLC 3398649 Britain Media 31/12/2011 79% -10% 87% 4.7% 5.9% 1.2% 53% 47%Barclays PLC 3134865 Britain Banks 31/12/2011 76% -1% 99% 4.7% 5.1% 0.4% Yes 49% 22% 6% 23%Nexans SA 7130836 France Industrial Goods & Services 31/12/2011 73% -34% 53% 4.5% 5.1% 0.5% YesDeutsche Post AG 4617859 Germany Industrial Goods & Services 31/12/2011 73% -33% 56% 4.8% 5.2% 0.4% Yes 45% 18% 17% 20%Clariant AG 7113990 Switzerland Chemicals 31/12/2011 73% -21% 71% 3.9% 4.6% 0.7% Yes 39% 31% 16% 14%AtoS 5654781 France Technology 31/12/2011 73% -4% 94% 4.7% 5.6% 0.9% Yes 63% 19% 2% 16%Swiss Life Holding AG 7437805 Switzerland Insurance 31/12/2011 70% -42% 40% 2.7% 3.6% 0.9% Yes 45% 22% 18% 15%Baloise Holding AG 7124594 Switzerland Insurance 31/12/2011 68% -18% 74% 2.8% 2.5% -0.3% Yes 21% 50% 18% 11%Aegon NV 5927375 Netherlands Insurance 31/12/2011 66% -36% 46% 4.6% 6.5% 1.9% Yes 39% 53% 8%Cie de St-Gobain 7380482 France Construction & Materials 31/12/2011 65% -21% 67% 4.6% 6.3% 1.7% Yes 37% 42% 21%Alstom SA B0DJ8Q5 France Industrial Goods & Services 31/03/2012 65% -17% 74% 4.3% 5.1% 0.8% Yes 53% 35% 9% 3%ING Groep NV 7154182 Netherlands Insurance 31/12/2011 62% 15% 124% 5.3% 4.9% -0.4% Yes 60% 27% 13%AXA SA 7088429 France Insurance 31/12/2011 58% -25% 57% 3.9% 4.3% 0.4% 47% 28% 7% 18%Michelin 4588364 France Automobiles & Parts 31/12/2011 56% -15% 73% 4.7% 6.9% 2.2% Yes 47% 37% 5% 11%Median 94% -16% 86% 4.7% 5.3% 0.7% 49% 32% 6% 13%STOXX Europe 600 28% -6% 77% 4.6% 5.5% 0.9% 50% 32% 6% 13%

Exp. LT return

Corridor accounting

Asset allocationLast reporting

Pension obl. % of mkt cap.

Deficit % of mkt cap. Solvency

Discount rate



GSSTBRIC: EM exposure basket

Key criteria: Companies with high sales exposure to emerging markets.

Sector exposure: Oil & gas 13%, industrial goods & services 13%, banks 11%, basic resources 11%.

Exhibit 15: Constituents of GSSTBRIC


BRIC EXPOSURE BASKET (GSSTBRIC)

Company nameBasket weights

(%)

Current market

cap (€Bn)

EM Sales exposure

P/E 2013E

P/B 2013E Company name

Basket weights

(%)

Current market

cap (€Bn)

EM Sales exposure

P/E 2013E

P/B 2013E

Automobiles & Parts 4.4% Oil & Gas 13.3%Volkswagen (Pref) 2.2% 70.1 45% 6.7 0.9 ENI 2.2% 63.6 46% 7.7 0.9

Pirelli 2.2% 4.3 40% 8.0 1.6 SBM Offshore 2.2% 1.8 68% 5.1 1.3Banks 11.1% Petroleum Geo Services ASA 2.2% 3.0 46% 10.5 1.7

Standard Chartered 2.2% 44.3 73% 10.5 1.2 Repsol YPF 2.2% 18.7 40% 10.3 0.7HSBC 2.2% 140.3 50% 9.1 1.0 Petrofac 2.2% 6.7 81% 12.1 4.2

Grupo Santander 2.2% 57.7 50% 7.4 0.7 Technip 2.2% 9.2 50% 12.6 2.0BBVA 2.2% 34.1 51% 6.4 0.8 Personal & Household Goods 8.9%

Erste Bank 2.2% 8.0 48% 7.0 0.7 British American Tobacco 2.2% 75.9 48% 13.6 7.2Basic Resources 11.1% Richemont 2.2% 29.2 46% 12.4 2.5

Vedanta Resources 2.2% 3.8 73% 4.2 0.8 Henkel (pref) 2.2% 24.2 44% 15.4 1.0BHP Billiton Plc 2.2% 132.5 45% 10.8 2.2 The Swatch Group (Bearer share) 2.2% 17.3 44% 12.3 2.1

Anglo American plc 2.2% 29.2 42% 11.1 0.9 Retail 2.2%Kazakhmys 2.2% 4.8 40% 6.2 0.6 Casino 2.2% 7.5 44% 10.8 1.4

Antofagasta plc 2.2% 16.0 45% 12.6 2.5 Technology 8.9%Chemicals 6.7% Nokia 2.2% 8.0 57% 1.0

Lanxess AG 2.2% 5.4 47% 8.8 2.5 ASML Holding NV 2.2% 18.1 57% 17.5 4.3Syngenta 2.2% 27.5 47% 13.6 3.5 STMicroelectronics 2.2% 4.1 52% 39.0 0.8Clariant 2.2% 2.4 46% 11.4 0.9 Ericsson 2.2% 22.2 50% 13.0 1.3

Construction & Materials 6.7% Telecommunication 6.7%FLSmidth & Co. A/S 2.2% 2.5 74% 8.6 1.7 Telenor 2.2% 25.4 55% 10.7 2.2

Holcim 2.2% 17.4 60% 15.9 1.1 Portugal Telecom 2.2% 3.3 47% 12.0 1.7Lafarge 2.2% 13.2 40% 13.0 0.8 Millicom International Cellular SA 2.2% 7.1 100% 14.3 4.3

Food & Beverage 6.7%SABMiller 2.2% 52.3 53% 15.8 2.4

Unilever (plc) 2.2% 80.2 52% 15.3 4.4Danone 2.2% 29.3 50% 14.9 2.4

Industrial Goods & Services 13.3%Wartsila (B) 2.2% 6.2 60% 16.8 3.0Weir Group 2.2% 4.8 54% 11.6 2.5Atlas Copco 2.2% 23.6 51% 13.7 4.5

ABB Ltd 2.2% 32.6 52% 11.2 2.2Alfa Laval 2.2% 6.0 50% 12.3 2.7Outotec 2.2% 1.7 84% 11.7 3.0Median 50% 11.7 1.7



GSSTDM50: Global EM exposure basket (DM Nifty 50)

Key criteria: Companies in developed markets with high sales exposure to emerging markets. The estimates in Exhibit 16 are based

on consensus forecasts.

Exhibit 16: Constituents of GSSTDM50

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

Company name Country Weight Current market cap ($bn) 2012E 2013E 2012E 2013E 2012E 2013E 2012E 2013E 2012E 2013E

Automobiles & Parts 4.3%Suzuki Motor Corp. Japan 1.1% 12.4 14.3 12.2 33.3 17.1 1.0 0.9 0.9 1.0 6.9 7.5Hyundai Motor Co. Ltd. Korea 2.4% 43.3 6.5 6.1 89.2 6.5 1.4 1.2 0.8 0.9 23.1 20.8Pirelli & C. S.p.A. Italy 0.9% 5.3 9.3 7.9 27.6 18.1 1.7 1.5 4.1 4.9 18.5 19.6Banks 8.7%HSBC Holdings PLC United Kingdom 3.1% 175.9 10.6 9.3 ‐0.5 13.3 1.1 1.0 4.6 5.0 10.2 11.0Standard Chartered PLC United Kingdom 2.4% 55.2 10.6 9.7 11.2 8.9 1.3 1.2 3.7 4.0 12.3 12.9Banco Santander S.A. Spain 3.3% 72.1 14.9 8.4 ‐52.1 77.0 0.7 0.7 10.7 10.7 4.5 8.1Basic Resources 10.3%BHP Billiton PLC United Kingdom 2.8% 65.5 10.6 10.7 ‐22.0 ‐1.3 NA 2.1 3.7 3.9 23.9 19.9Vedanta Resources PLC United Kingdom 0.7% 4.6 10.0 6.4 ‐0.1 55.9 1.0 0.9 3.3 3.4 9.4 14.1Fortescue Metals Group Ltd. Australia 1.7% 12.7 9.6 8.2 ‐14.6 18.2 2.9 2.1 2.0 2.0 35.9 28.7POSCO Korea 1.4% 26.2 10.5 8.7 ‐24.4 20.8 0.7 0.7 3.0 3.1 6.8 7.7Anglo American PLC United Kingdom 2.1% 41.3 13.5 10.3 ‐54.6 31.4 0.9 0.9 2.6 2.7 7.0 8.6OZ Minerals Ltd. Australia 0.7% 2.4 14.5 15.6 ‐48.4 ‐7.1 0.9 0.8 2.6 2.6 6.0 5.4Iluka Resources Limited Australia 0.9% 3.8 8.3 6.0 ‐19.3 38.8 2.2 1.8 5.8 8.1 25.8 28.3Chemicals 3.2%Avery Dennison Corp. United States 0.8% 3.3 16.4 13.7 ‐6.7 19.1 2.2 2.0 3.3 3.3 12.7 12.9Mosaic Co. United States 2.4% 15.3 11.1 10.2 5.1 8.6 1.7 1.5 1.4 1.9 15.8 15.2Construction & Materials 2.5%FLSmidth & Co. A/S Denmark 0.9% 3.1 11.0 10.0 16.9 10.0 1.8 1.7 2.9 3.5 16.3 16.9Holcim Ltd. Switzerland 1.6% 22.0 18.9 14.5 56.7 30.3 1.2 1.1 1.7 2.3 6.3 8.0Health Care 6.5%Pfizer Inc. United States 3.4% 178.0 11.1 10.5 ‐6.1 6.5 2.2 2.1 3.6 3.8 19.8 20.6Mylan Inc. United States 1.9% 10.5 10.0 9.3 26.5 7.8 2.6 2.4 0.0 0.0 30.3 27.2Waters Corp. United States 1.3% 7.2 16.8 15.4 2.5 9.6 5.2 4.4 0.0 0.0 33.1 30.8Industrial Goods & Services 12.2%Emerson Electric Co. United States 2.7% 36.8 14.6 13.6 5.0 7.1 NA 3.1 3.2 3.3 23.9 24.1Atlas Copco Sweden 2.0% 28.7 14.2 14.3 7.9 ‐0.4 5.4 4.5 3.4 3.6 42.5 34.4Daikin Industries Ltd. Japan 1.2% 8.0 13.4 11.3 31.2 18.3 1.2 1.1 1.7 1.7 9.1 10.1Hitachi Construction Machinery Co. Ltd. Japan 0.9% 3.6 9.9 10.0 41.7 ‐1.0 0.8 0.8 2.8 3.0 8.2 7.6Sumitomo Rubber Japan 0.5% 2.9 6.5 5.9 23.3 11.2 1.0 0.9 2.6 2.9 16.4 15.7Komatsu Ltd. Japan 2.4% 21.0 10.4 9.8 ‐3.5 6.1 1.5 1.4 2.7 2.8 15.1 14.8ABB Ltd. Switzerland 2.5% 42.4 13.8 12.1 ‐13.1 13.5 2.5 2.2 3.8 4.1 17.9 18.4Oil & Gas 5.1%Schlumberger Ltd. United States 3.3% 90.8 16.2 13.8 15.6 17.0 2.6 2.3 1.6 1.6 17.0 18.0Diamond Offshore Drilling Inc. United States 1.8% 9.0 13.7 12.4 ‐31.5 11.0 2.0 1.9 5.4 5.4 14.9 15.4Personal & Household Goods 17.8%Philip Morris International Inc. United States 3.3% 142.7 16.4 14.7 6.8 11.5 NM NM 3.8 4.2 NM NMBritish American Tobacco PLC United Kingdom 2.8% 98.4 15.4 14.2 6.4 9.1 7.6 7.2 4.2 4.6 48.3 50.9Shiseido Co. Ltd. Japan 0.7% 5.4 22.9 19.5 32.4 17.3 1.5 1.4 4.7 4.7 6.4 7.5Unicharm Corp. Japan 0.7% 10.8 24.5 21.1 10.2 16.2 3.3 3.0 0.8 0.9 14.2 15.0LG Electronics Inc. Korea 1.6% 11.6 17.5 10.3 ‐252.6 69.7 1.0 0.9 0.3 0.3 5.7 8.7Swatch Group AG Switzerland 1.8% 22.9 15.2 13.8 16.4 9.7 2.5 2.2 1.6 1.8 17.1 16.5Compagnie Financiere Richemont S.A. Switzerland 2.2% 35.5 16.7 14.7 25.6 13.4 3.1 2.6 1.1 1.3 19.7 18.6Colgate‐Palmolive Co. United States 2.7% 49.1 19.4 17.6 6.4 10.3 19.5 20.7 2.3 2.6 106.3 113.9Mead Johnson Nutrition United States 1.9% 13.3 21.6 19.5 9.0 10.9 85.3 25.5 1.8 2.0 NA NAFood & Beverage 7.2%Unilever N.V. Netherlands 2.7% 62.1 18.0 16.3 12.1 10.1 5.0 4.4 3.3 3.6 29.9 28.3SABMiller PLC United Kingdom 2.0% 67.6 18.3 16.3 11.9 12.5 NA 2.4 2.3 2.6 14.5 14.6Danone S.A. France 2.5% 40.7 16.5 15.3 4.5 7.9 2.3 2.2 2.9 3.1 14.4 14.4Technology 11.9%Texas Instruments Incorporated United States 3.0% 33.1 18.2 16.9 ‐26.7 8.0 3.0 2.9 2.4 2.8 16.4 16.3QUALCOMM Inc. United States 3.5% 105.0 16.0 14.0 15.8 13.9 3.0 2.7 1.5 1.7 20.6 18.2Ericsson LM Shs B Sweden 2.2% 29.1 16.4 12.3 ‐23.9 33.0 1.3 1.2 4.5 4.8 8.9 9.8Samsung Electronics Co. Ltd. Korea 3.2% 198.1 8.8 7.7 71.8 13.7 1.8 1.5 0.5 0.5 21.1 20.8Telecommunications 1.3%Telenor Norway 1.3% 30.8 13.6 11.2 28.5 20.5 2.2 2.1 4.8 5.7 13.2 19.3Travel & Leisure 7.3%Yum! Brands Inc. United States 2.8% 32.5 22.0 19.2 13.9 14.7 14.2 12.1 1.7 1.9 71.8 69.1Wynn Resorts Ltd. United States 2.6% 10.9 19.8 17.7 ‐2.2 12.3 NM 22.0 8.8 3.7 46.8 62.3Whirlpool Corp. United States 1.9% 7.5 13.8 10.9 4.2 27.0 1.7 1.5 2.1 2.1 9.4 15.0Utilities 1.5%AES Corp. United States 1.5% 7.4 8.2 7.8 17.3 4.9 1.1 1.0 0.4 1.5 14.1 12.9

Median 24.5 14.3 12.2 6.6 12.4 1.8 1.9 2.7 2.9 16.3 16.0

Dividend Yield (%) Return on Equity (%)DM NIFTY 50 (GSSTDM50)

P/E (x) EPS Growth (%) P/B (x)



GSSTEM50: EM Nifty 50

Key criteria: Emerging market companies with attractive valuation and potential to grow as global leaders in their sector. The

estimates in Exhibit 17 are based on consensus forecasts.

Exhibit 17: Constituents of GSSTEM50

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

Company name Country Weight Current market cap ($bn) 2012E 2013E 2012E 2013E 2012E 2013E 2012E 2013E 2012E 2013E

Automobiles & Parts 2.0%Hero MotoCorp Ltd. India 2.0% 7.0 16.3 15.3 2.0 7.0 7.3 5.9 2.6 2.7 51.4 42.5Banks 15.8%Itau Unibanco Holding S/A ADS Brazil 3.2% 63.3 9.1 8.3 ‐7.6 9.7 1.6 1.5 3.2 3.8 18.6 18.6State Bank of India India 2.7% 26.4 8.3 7.1 18.0 16.4 NA 1.1 1.8 2.1 16.5 17.0China Construction Bank Corp. China Offshore 3.2% 184.6 6.1 6.0 11.8 1.6 1.2 1.1 5.6 5.7 21.8 19.3Industrial & Commercial Bank of China Ltd. China Offshore 3.2% 219.8 6.2 6.1 10.8 2.4 1.3 1.1 5.6 5.6 22.3 20.0Sberbank of Russia OJSC Russia 3.4% 60.6 5.5 5.3 7.0 3.3 1.2 1.0 3.0 3.6 23.9 20.7Basic Resources 14.6%Vale S.A. ADS Brazil 3.0% 97.6 8.4 7.9 ‐50.7 7.0 1.1 1.1 6.5 3.6 13.2 13.6Evraz Russia 1.0% 5.0 35.8 13.6 ‐78.1 163.8 0.9 0.9 2.5 2.1 5.0 6.3Sterlite Industries (India) Ltd. India 1.2% 6.2 6.1 5.3 7.4 13.4 NA 0.6 NA 2.0 11.7 11.7JSW Steel Ltd. India 1.8% 3.0 10.1 8.3 16.3 20.9 0.9 0.9 1.3 1.4 9.7 10.8Jiangxi Copper Co. Ltd. China Offshore 1.8% 10.5 10.2 9.7 ‐16.8 4.5 1.3 1.1 2.1 2.1 13.5 12.9Angang Steel Co. Ltd. China Offshore 0.6% 4.0 NM 99.6 38.1 ‐109.2 0.6 0.6 0.0 0.0 NM 1.0China Shenhua Energy Co. Ltd. China Offshore 2.7% 73.8 10.8 10.2 3.1 5.6 2.0 1.8 3.6 3.7 19.4 17.8Companhia Siderurgica Nacional ADS Brazil 1.8% 7.9 NM 19.8 ‐111.0 ‐296.8 2.0 1.7 2.2 2.2 NM 13.6Fibria Celulose S.A. ADS Brazil 0.8% 5.1 NM 318.6 ‐41.2 ‐105.5 0.7 0.7 0.0 0.0 NM 0.0Construction & Materials 6.3%Larsen & Toubro Ltd. India 2.2% 18.2 19.9 17.9 8.6 10.9 3.1 2.7 1.1 1.2 16.8 16.4Jaiprakash Associates Ltd. India 1.5% 3.5 18.9 15.2 1.8 24.9 1.6 1.5 0.7 0.9 8.4 10.1China National Building Material Co. Ltd. China Offshore 2.6% 3.8 8.6 6.7 ‐34.5 28.2 1.5 1.2 1.7 2.2 17.7 18.0Financial Services 4.5%Housing Development Finance Corp. Ltd. India 1.8% 22.3 25.8 22.0 15.6 17.6 5.2 4.5 1.5 1.8 22.4 21.9Cielo S/A Brazil 2.7% 17.3 15.2 14.0 ‐2.7 8.7 14.0 11.8 4.4 5.2 117.1 90.8Food & Beverage 3.6%China Mengniu Dairy Co. Ltd. China Offshore 1.6% 5.1 21.9 17.0 ‐8.7 28.9 2.5 2.3 1.0 1.3 12.2 13.9Want Want China Holdings Ltd. China Offshore 2.0% 18.4 33.9 27.8 28.1 22.0 11.6 9.9 1.9 2.2 37.8 39.6Health Care 1.2%Mindray Medical International Ltd. ADS China Offshore 1.2% NA 19.8 16.9 17.3 17.3 2.9 2.5 1.2 1.4 16.1 16.3Industrial Goods & Services 0.5%China Shipping Development Co. Ltd. China Offshore 0.5% 2.1 NM 26.2 ‐129.7 ‐248.3 0.5 0.5 0.0 1.7 0.1 1.8Insurance 2.4%China Life Insurance Co. Ltd. (China) China Offshore 2.4% 82.0 38.5 16.8 ‐25.7 129.8 2.4 2.1 0.9 2.0 9.3 13.2Oil & Gas 13.5%Gazprom OAO ADS Russia 2.9% 109.1 2.8 2.8 ‐15.5 ‐1.8 0.4 0.4 5.3 5.5 14.9 13.2Novatek Jt Stk Co Spon Gdr Reg S Russia 2.9% 30.6 13.1 10.4 21.3 26.6 3.4 2.7 2.3 3.1 26.4 26.7Reliance Industries Ltd. India 2.0% 46.6 12.3 12.0 ‐4.1 3.2 1.4 1.3 1.1 1.2 11.6 11.1Cairn India Ltd. India 1.6% 11.5 6.3 6.3 32.4 ‐0.3 1.2 1.0 2.6 3.1 19.7 17.2CNOOC Ltd. China Offshore 2.8% 91.9 8.8 8.8 ‐7.0 0.1 1.8 1.6 2.4 2.6 22.7 19.8China High Speed Transmission Equipment Group CChina Offshore 0.6% 0.5 8.6 7.7 ‐38.2 11.6 0.4 0.4 0.0 2.7 4.4 5.0Petrobras Petroleo Brasileiro Brazil 0.6% 10.2 NA NA NA NA NA NA NA NA NA NAPersonal & Household Goods 4.3%ITC Ltd. India 2.2% 41.4 31.9 26.9 19.1 18.6 11.0 9.6 1.8 2.2 35.8 37.5Belle International Holdings Ltd. China Offshore 2.1% 15.3 20.1 17.3 11.9 16.0 4.2 3.6 1.5 1.8 22.5 22.4Real Estate 5.2%Unitech Ltd. India 0.7% 1.3 18.9 13.9 10.0 35.9 NA 0.5 NA 0.4 NA 4.1China Overseas Land & Investment Ltd. China Offshore 2.7% 21.9 10.9 9.5 18.6 15.3 2.0 1.7 1.8 2.1 20.2 19.9PDG Realty S/A Empreendimentos e Participacoes Brazil 1.8% 2.2 NM 9.2 ‐135.4 ‐271.4 0.6 0.5 1.2 2.3 5.7 9.0Retail 7.4%X5 Retail Group N.V. Russia 1.3% NA 17.6 13.4 ‐10.8 31.3 1.9 1.7 0.0 0.0 11.5 13.4Magnit Gdr Russia 2.1% 13.5 24.0 20.5 58.3 16.8 5.4 4.5 0.5 0.5 24.9 22.5China Dongxiang Group Co. Ltd. China Offshore 0.7% 0.7 20.7 16.9 122.2 22.5 0.7 0.7 3.5 3.7 3.7 4.0Localiza Rent A Car S/A Brazil 1.7% 3.5 29.1 18.6 ‐17.1 57.0 5.5 4.5 1.0 1.3 19.4 25.3Titan Industries India 1.6% 4.7 36.4 29.5 26.6 23.2 14.1 10.7 0.7 0.9 43.8 40.6Technology 8.5%Baidu Inc. ADS China Offshore 3.4% NA 21.9 17.2 57.0 27.5 8.7 5.8 0.0 0.0 50.5 40.6Lenovo Group Ltd. China Offshore 2.3% 9.3 16.3 13.4 33.3 21.8 3.5 3.0 2.0 2.5 23.1 24.1Tencent Holdings Ltd. China Offshore 2.8% 63.7 30.5 24.0 28.7 27.1 9.6 6.9 0.4 0.5 36.5 33.4Telecommunications 7.4%VimpelCom Ltd. ADS Russia 1.7% NA 10.2 9.3 72.1 9.5 1.2 1.1 7.5 7.5 11.6 12.7China Mobile Ltd. China Offshore 2.9% 223.4 11.1 11.0 0.8 0.6 1.9 1.8 3.9 3.9 18.4 16.8Mobile TeleSystems ADS Russia 2.9% 15.0 9.6 9.1 37.3 5.8 5.2 3.6 6.8 8.3 45.2 45.6Utilities 2.8%China Resources Power Holdings Co. Ltd. China Offshore 1.3% 9.8 11.1 9.3 52.4 19.3 1.4 1.3 2.8 3.3 13.1 14.1CPFL Energia S.A. Brazil 1.4% 10.5 14.7 15.5 ‐4.1 ‐5.6 3.0 3.0 6.2 6.2 20.7 18.7Median 12.5 13.9 13.4 7.4 13.4 1.9 1.6 1.8 2.2 18.6 17.0

Dividend Yield (%) Return on Equity (%)EM NIFTY 50 (GSSTEM50)

P/E (x) EPS Growth (%) P/B (x)



GSSTCHNA: China exposure basket

Key criteria: Companies with high sales exposure to China.

Sector exposure: Industrial goods & services 37%, basic resources 17%, personal & household goods 14%.

Exhibit 18: Constituents of GSSTCHNA


CHINA EXPOSURE BASKET (GSSTCHNA)

Company name Basket weights (%)

Current market cap (€Bn)

China Sales exposure

P/E 2013E

P/B 2013E Company name Basket

weights (%)

Current market cap

(€Bn)

China Sales exposure

P/E 2013E

P/B 2013E

Automobiles & Parts 2.9% Insurance 2.9%Volkswagen (Pref) 2.9% 70.1 27.5% 6.7 0.9 Ageas SA/NV 2.9% 4.9 22.4% 75.7 4.9

Banks 5.7% Personal & Household Goods 14.3%HSBC 2.9% 140.3 23.3% 9.1 1.0 Richemont 2.9% 29.2 23.6% 12.4 2.5Standard Chartered 2.9% 44.3 22.4% 10.5 1.2 Hermes International 2.9% 23.2 28.5% 28.4 8.4

Basic Resources 17.1% LVMH Moet-Hennessy Louis Vuitton 2.9% 63.1 25.0% 14.7 2.6Kazakhmys 2.9% 4.8 31.0% 6.2 0.6 Burberry 2.9% 6.8 20.4% 16.4 4.7Rio Tinto plc 2.9% 75.6 30.0% 9.3 1.5 The Swatch Group (Bearer share) 2.9% 17.3 41.1% 12.3 2.1Vedanta Resources 2.9% 3.8 23.0% 4.2 0.8 Technology 11.4%BHP Billiton Plc 2.9% 132.5 20.0% 10.8 2.2 STMicroelectronics 2.9% 4.1 26.0% NA 0.8Antofagasta plc 2.9% 16.0 19.2% 12.6 2.5 Infineon 2.9% 6.3 15.0% 22.5 1.7Anglo American plc 2.9% 29.2 15.4% 11.1 0.9 Nokia 2.9% 8.0 15.7% NA 1.0

Chemicals 5.7% ASM International NV 2.9% 1.4 30.9% 16.4 2.0Johnson Matthey 2.9% 5.9 15.0% 13.8 2.6DSM 2.9% 6.5 16.0% 11.4 1.0

Food & Beverages 2.9%Remy Cointreau 2.9% 3.9 26.0% 18.7 3.3

Industrial Goods & Services 37.1%Intertek Group 2.9% 5.7 22.1% 18.4 5.6Kuehne & Nagel 2.9% 11.2 20.0% 20.0 5.0SGS 2.9% 12.7 20.0% 20.8 6.9KONE Corporation 2.9% 14.4 16.4% 19.7 4.4ABB Ltd 2.9% 32.6 14.0% 11.2 2.2A.P. Moeller-Maersk 2.9% 23.8 13.9% 5.8 0.7MTU Aero Engines 2.9% 3.2 13.0% NA NAAlfa Laval 2.9% 6.0 12.7% 12.3 2.7Andritz AG 2.9% 5.0 12.0% 14.8 4.0Hexagon AB 2.9% 6.6 14.0% 15.2 2.2Vallourec 2.9% 3.7 12.0% 11.2 0.7Spectris 2.9% 2.6 13.0% 11.3 2.4Georg Fischer 2.9% 1.1 12.0% 9.8 1.0

Median 8.0 20% 12.4 2.2



GSSTAMER: US exposure basket

Key criteria: Companies with high sales exposure to the US. To avoid large sector bias, we cap maximum sector weight at 12%.

Sector exposure: Healthcare 12%, industrial goods & services 12%, media 11%.

Exhibit 19: Constituents of GSSTAMER


US EXPOSURE (GSSTAMER)

Company name Basket weights US Exposure Current Market Cap (€Bn) P/E 2013E P/B 2013E Company name Basket weights US Exposure Current Market

Cap (€Bn) P/E 2013E P/B 2013E

Automobiles & Parts 2.6% Insurance 5.2%Fiat SpA 2.6% 44% 4.7 5.9 0.4 Aegon N.V. 2.6% 36% 8.3 6.1

Basic Resources 2.6% Zurich Financial Services 2.6% 35% 28.1 7.7 SSAB 2.6% 36% 1.9 20.1 0.5 Media 10.5%

Chemicals 5.2% Pearson 2.6% 63% 12.4 14.3 1.6Brenntag AG 2.6% 33% 5.0 12.4 2.3 Reed Elsevier (NL) 2.6% 49% 7.9 10.8 4.1Lonza Group 2.6% 35% 2.1 11.3 1.0 Wolters Kluwer 2.6% 48% 4.3 9.4 2.4

Construction & Materials 5.2% Publicis 2.6% 46% 8.7 11.2 1.7CRH 2.6% 43% 10.5 15.6 1.0 Oil & Gas 5.2%Hochtief AG 2.6% 34% 2.6 7.9 0.9 John Wood Group Plc 2.6% 37% 3.8 12.0 2.1

Financial Services 2.6% TGS Nopec 2.6% 40% 2.6 11.0 2.6ICAP plc 2.6% 40% 2.6 8.7 1.6 Personal & Household Goods 7.9%

Food & Beverage 5.2% Luxottica (Italy) 2.6% 60% 13.7 19.9 3.1Tate & Lyle 2.6% 52% 4.4 12.5 Husqvarna AB 2.6% 40% 2.7 13.2 1.7Anheuser-Busch InBev 2.6% 40% 103.7 14.7 2.8 Société BIC 2.6% 42% 4.6 13.3 2.5

Health Care 12.0% Retail 5.2%Actelion 1.3% 40% 4.5 12.5 3.1 Delhaize 2.6% 74% 2.9 6.5 0.5AstraZeneca 1.3% 42% 50.5 7.4 2.3 Ahold 2.6% 60% 10.9 8.6 1.5Essilor 1.3% 43% 15.0 22.8 3.5 Technology 7.9%Fresenius Medical Care 1.3% 65% 16.2 16.6 2.1 Sage Group 2.6% 41% 5.3 12.9 2.9GlaxoSmithKline 1.3% 37% 88.8 11.7 10.7 ARM Holdings plc 2.6% 40% 12.2 46.6 7.5Novozymes 1.3% 34% 6.6 21.2 4.8 Neopost 2.6% 36% 1.4 7.9 1.8Roche 1.3% 38% 131.0 11.6 6.9 Travel & Leisure 7.9%Shire 1.3% 67% 12.2 11.4 2.8 InterContinental Hotels Group PLC 2.6% 40% 5.2 14.8 147.4Smith & Nephew 1.3% 42% 7.2 14.1 2.2 Compass Group 2.6% 43% 16.5 14.4 3.8

Industrial Goods & Services 12.0% Sodexo 2.6% 40% 9.1 14.9 2.8BAE Systems 1.7% 41% 12.9 Utilities 2.6%Bunzl 1.7% 48% 4.2 13.5 3.2 National Grid 2.6% 61% 31.6 12.3 2.5Cobham 1.7% 56% 3.1 Experian 1.7% 53% 13.1 19.2 5.0Meggitt 1.7% 50% 3.7 Rexam 1.7% 39% 4.9 11.4 1.4Wolseley 1.7% 41% 9.4 13.3 2.3Median 41% 7.2 12.4 2.4



GSSTUKDE: UK domestic exposure basket

Key criteria: UK companies with high sales exposure to the UK.

Sector exposure: Utilities 20%, retail 17%, industrial goods & services 13%, insurance 10%.

Exhibit 20: Constituents of GSSTUKDE


UK DOMESTIC EXPOSURE (GSSTUKDE)

Company name Basket weightsCurrent market cap (GBP Bn) 2012E P/E 2012E P/B

UK Sales Exposure

Banks 3.3%Lloyds Banking Group Plc 3.3% 30.5 0.7 97%

Industrial Goods & Services 13.3%Capita Group 3.3% 4.8 13.8 5.1 97%Travis Perkins 3.3% 2.7 11.7 1.2 100%Babcock International 3.3% 3.6 14.7 3.6 87%Serco 3.3% 2.8 13.7 2.4 66%

Insurance 10.0%Admiral Group Plc 3.3% 2.9 12.2 96%Legal & General Group 3.3% 8.2 9.5 92%Standard Life Plc 3.3% 7.0 17.1 75%

Media 6.7%British Sky Broadcasting 3.3% 13.3 14.0 18.2 100%ITV plc 3.3% 3.5 16.1 3.4 88%

Personal & Household Goods 10.0%Barratt Developments 3.3% 1.9 16.8 0.6 100%Persimmon 3.3% 2.4 15.2 1.2 100%Taylor Wimpey 3.3% 2.0 14.4 1.0 98%

Real Estate 10.0%Land Securities 3.3% 6.3 23.0 0.9 100%British Land 3.3% 4.8 18.1 0.9 96%Hammerson 3.3% 3.4 23.1 0.9 67%

Retail 16.7%J Sainsbury 3.3% 6.6 11.1 1.2 100%Morrison (Wm) 3.3% 6.8 9.7 1.2 100%Next 3.3% 6.6 13.4 19.5 98%Marks & Spencer 3.3% 6.2 11.0 2.4 90%Tesco 3.3% 26.0 9.3 1.4 67%

Telecommunications 3.3%BT Group 3.3% 17.6 8.6 7.3 78%

Travel & Leisure 6.7%Whitbread 3.3% 0.0 16.9 3.0 100%William Hill 3.3% 0.0 12.0 2.4 92%

Utilities 20.0%Drax Group Plc 3.3% 2.3 11.6 1.3 100%Centrica 3.3% 16.8 12.9 2.8 74%Pennon 3.3% 2.5 15.3 2.8 100%Severn Trent 3.3% 3.7 14.8 4.0 99%Scottish and Southern Energy 3.3% 13.5 12.4 2.4 99%United Utilities 3.3% 4.6 14.0 2.5 98%Median 4.7 13.8 2.4 98%



GSSTUKIE: UK International exposure basket

Key criteria: UK companies with high sales exposure outside the UK.

Sector exposure: Basic resources 17%, industrial goods & services 17%.

Exhibit 21: Constituents of GSSTUKIE


UK INTERNATIONAL EXPOSURE (GSSTUKIE)

Company name Basket weightsCurrent market cap (GBP Bn) 2012E P/E 2012E P/B

International Exposure

Automobiles & Parts 3.3%GKN 3.3% 3.5 10.0 2.1 94%

Banks 3.3%Standard Chartered 3.3% 35.8 11.4 1.3 91%

Basic Resources 16.7%Antofagasta plc 3.3% 13.0 15.8 3.0 100%Vedanta Resources 3.3% 3.2 9.9 1.0 98%BHP Billiton Plc 3.3% 107.6 11.7 2.5 98%Rio Tinto plc 3.3% 61.8 10.9 1.7 98%Anglo American plc 3.3% 23.4 14.0 1.0 88%

Financial Services 3.3%Man Group 3.3% 1.6 30.1 1.2 97%

Food & Beverage 10.0%SABMiller 3.3% 41.9 17.9 2.6 100%Unilever (plc) 3.3% 65.9 17.1 5.1 95%Tate & Lyle 3.3% 3.5 13.2 92%

Health Care 13.3%AstraZeneca 3.3% 40.3 7.3 2.5 96%GlaxoSmithKline 3.3% 69.2 12.1 9.1 96%Shire 3.3% 9.7 12.5 3.6 95%Smith & Nephew 3.3% 5.7 11.3 2.4 92%

Industrial Goods & Services 16.7%Aggreko 3.3% 5.8 21.4 100%Rexam 3.3% 3.9 12.7 1.5 96%Weir Group 3.3% 3.7 11.7 2.8 93%IMI plc 3.3% 3.1 11.9 4.5 93%Intertek Group 3.3% 4.6 22.0 7.0 90%

Media 6.7%WPP Group plc 3.3% 0.0 10.8 1.4 90%Reed Elsevier (UK) 3.3% 7.4 12.3 4.9 89%Aegis Group PLC 3.3% 2.7 17.8 92%

Personal & Household Goods 10.0%British American Tobacco 3.3% 60.1 14.9 7.3 99%Burberry 3.3% 5.5 19.0 5.6 93%Reckitt Benckiser 3.3% 27.5 15.2 4.2 91%Imperial Tobacco 3.3% 24.2 11.8 3.0 89%

Technology 3.3%ARM Holdings plc 3.3% 9.6 58.9 8.1 99%

Telecommunications 6.7%Inmarsat Plc 3.3% 2.5 15.7 3.8 95%Vodafone 3.3% 83.5 11.2 1.1 92%Median 8.5 12.6 2.8 94.1%



GSSTDOME: Euro area domestic exposure basket

Key criteria: Companies with high sales exposure to Europe ex-UK.

Sector exposure: Media 16%, real estate 16%, utilities 14%, telecommunications 12%.

Exhibit 22: Constituents of GSSTDOME

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

Europe Domestic Exposure (GSSTDOME)

Company name CountryBasket Weights

Market cap (EUR Bn)

Sales Exposure to Europe‐ ex UK

P/E 2013E P/B 2013EDivY 2013E

Company name CountryBasket Weights

Market cap (EUR Bn)


P/E 2013E

P/B 2013E

DivY 2013E

Banks 6.9% Real Estate 15.5%Banco Popolare Italy 1.7% 2.0 100% 16.9 0.2 0.6% Cofinimmo Belgium 1.7% 1.3 100% 11.9 1.0 7.5%Intesa Sanpaolo Italy 1.7% 19.9 100% 8.7 0.4 4.6% Corio Netherlands 1.7% 3.1 97% 11.9 0.8 8.5%UBI Banca Italy 1.7% 2.5 100% 12.3 0.3 2.0% Eurocommercial Netherlands 1.7% 1.1 100% 14.6 1.0 6.9%Banco Comercial Portugues Portugal 1.7% 1.4 79% NA 0.4 0.0% Foncière des Régions France 1.7% 3.3 100% 12.2 0.9 6.9%

Construction & Materials 3.4% Gecina France 1.7% 5.2 100% 17.6 0.9 5.1%Eiffage France 1.7% 2.4 96% 9.1 0.9 5.6% Icade France 1.7% 3.5 100% 15.3 1.4 5.7%Acciona SA Spain 1.7% 2.6 73% 31.3 0.5 3.3% Unibail‐Rodamco France 1.7% 15.6 98% 16.0 1.2 5.6%

Financial Services 1.7% Deutsche Wohnen AG Germany 1.7% 1.4 100% 17.2 1.1 2.4%Azimut Holding Italy 1.7% 1.4 100% 11.2 2.2 2.7% GSW Immobilien Germany 1.7% 1.5 100% 18.3 NA 3.3%

Healthcare 1.7% Retail 3.4%Almirall Spain 1.7% 1.1 82% 13.2 1.0 3.0% Colruyt Belgium 1.7% 5.6 100% 14.4 2.9 3.0%

Industrial Goods & Services 8.6% Douglas Holding AG Germany 1.7% 1.5 93% 19.7 1.6 2.6%Aeroports de Paris France 1.7% 5.9 100% 15.6 1.5 3.6% Technology 3.4%Fraport AG Germany 1.7% 4.0 100% 15.8 1.3 2.8% Iliad France 1.7% 6.7 100% 25.9 3.6 0.3%Zardoya Otis Spain 1.7% 3.7 97% 20.1 15.6 4.9% United Internet Germany 1.7% 2.9 100% 14.9 NA 1.2%Abertis Spain 1.7% 8.7 86% 0.0 0.0 0.0% Telecommunications 12.1%Smurfit Kappa Group Ireland 1.7% 1.8 73% 6.7 0.8 2.7% Belgacom Belgium 1.7% 7.2 100% 10.0 2.4 8.9%

Insurance 8.6% Elisa Corporation Finland 1.7% 2.7 100% 11.8 3.0 8.4%CNP Assurances France 1.7% 6.2 95% 5.9 NA 7.8% Mobistar Belgium 1.7% 1.2 100% 6.8 3.4 14.0%Delta Lloyd Netherlands 1.7% 2.0 100% 4.8 0.6 9.1% Royal KPN NV Netherlands 1.7% 6.8 100% 6.7 1.8 0.0%Sampo Finland 1.7% 13.4 98% 10.2 NA 5.0% Ziggo Netherlands 1.7% 5.0 100% 16.4 3.5 4.8%Mediolanum Italy 1.7% 2.6 100% 11.6 1.9 4.3% Telecom Italia Italy 1.7% 12.9 78% 5.7 0.5 6.2%Assicurazioni Generali Italy 1.7% 19.1 85% 9.3 NA 4.2% Jazztel Spain 1.7% 1.2 100% 11.3 2.7 0.0%

Media 15.5% Utilities 13.8%Axel Springer AG Germany 1.7% 3.2 95% 11.5 1.6 5.5% Verbund Austria 1.7% 6.0 100% 16.9 1.3 3.2%Kabel Deutschland AG Germany 1.7% 4.9 100% 12.8 NA 0.0% Enel SpA Italy 1.7% 26.1 76% 8.6 0.6 5.2%M6 ‐ Metropole Television France 1.7% 1.3 100% 10.3 1.5 8.7% A2a SPA Italy 1.7% 1.2 99% 7.9 0.4 5.1%ProSiebenSat.1 Germany 1.7% 4.6 96% 8.8 1.3 8.1% Snam Rete Gas SpA Italy 1.7% 12.0 100% 11.5 1.9 7.5%Telenet Belgium 1.7% 4.0 100% 22.3 NA 0.0% Terna Italy 1.7% 5.7 100% 12.3 2.0 6.7%TF1 France 1.7% 1.4 100% 8.5 0.9 8.2% Enagas Spain 1.7% 3.5 100% 8.3 1.6 8.4%Zon Multimedia Portugal 1.7% 0.8 100% 21.8 3.9 7.0% Energias de Portugal Portugal 1.7% 7.2 83% 7.2 0.8 9.4%Mediaset Italy 1.7% 1.5 100% 22.1 0.8 1.4% Red Electrica de Espana Spain 1.7% 4.8 98% 8.7 2.1 7.5%Mediaset Espana Spain 1.7% 1.7 100% 23.7 0.9 3.7%

Oil & Gas 5.2%Saras Italy 1.7% 0.8 100% 17.4 0.6 0.0%Galp Portugal 1.7% 10.0 90% 21.4 1.5 2.4%ERG Italy 1.7% 0.8 100% NA NA 0.0%Median 3.2 100% 12.1 1.1 4.6%



GSSTCEMU: Core Euro area domestic exposure basket

Key criteria: Companies from core Euro area countries with high sales exposure to Europe ex-UK.

Sector exposure: Real estate 23%, media 19%, telecommunications 16%.

Exhibit 23: Constituents of GSSTCEMU

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

EUROPE CORE (GSSTCEMU)

Company name Country Basket WeigthsSales Exposure to Europe‐ ex UK

Market cap (EUR Bn)

P/E 2013E P/B 2013EDivY 2012E

Construction & Materials 3.2%Eiffage France 3.2% 96% 2.4 9.1 0.9 5.6%

Industrial Goods & Services 6.5%Aeroports de Paris France 3.2% 100% 5.9 15.6 1.5 3.6%Fraport AG Germany 3.2% 100% 4.0 15.8 1.3 2.8%

Insurance 9.7%CNP Assurances France 3.2% 95% 6.2 5.9 7.8%Delta Lloyd Netherlands 3.2% 100% 2.0 4.8 0.6 9.1%Sampo Finland 3.2% 98% 13.4 10.2 5.0%

Media 19.4%Axel Springer AG Germany 3.2% 95% 3.2 11.5 1.6 5.5%Kabel Deutschland AG Germany 3.2% 100% 4.9 12.8 0.0%M6 ‐ Metropole Television France 3.2% 100% 1.3 10.3 1.5 8.7%ProSiebenSat.1 Germany 3.2% 96% 4.6 8.8 1.3 8.1%Telenet Belgium 3.2% 100% 4.0 22.3 0.0%TF1 France 3.2% 100% 1.4 8.5 0.9 8.2%

Real Estate 29.0%Cofinimmo Belgium 3.2% 100% 1.3 11.9 1.0 7.5%Corio Netherlands 3.2% 97% 3.1 11.9 0.8 8.5%Eurocommercial Netherlands 3.2% 100% 1.1 14.6 1.0 6.9%Foncière des Régions France 3.2% 100% 3.3 12.2 0.9 6.9%Gecina France 3.2% 100% 5.2 17.6 0.9 5.1%Icade France 3.2% 100% 3.5 15.3 1.4 5.7%Unibail‐Rodamco France 3.2% 98% 15.6 16.0 1.2 5.6%Deutsche Wohnen AG Germany 3.2% 100% 1.4 17.2 1.1 2.4%GSW Immobilien Germany 3.2% 100% 1.5 18.3 3.3%

Retail 6.5%Colruyt Netherlands 3.2% 100% 5.0 16.4 3.5 4.8%Douglas Holding AG Germany 3.2% 93% 1.5 19.7 1.6 2.6%

Technology 6.5%Iliad France 3.2% 100% 6.7 25.9 3.6 0.3%United Internet Germany 3.2% 100% 2.9 14.9 1.2%

Telecommunications 16.1%Belgacom Belgium 3.2% 100% 7.2 10.0 2.4 8.9%Elisa Corporation Finland 3.2% 100% 2.7 11.8 3.0 8.4%Mobistar Belgium 3.2% 100% 1.2 6.8 3.4 14.0%Royal KPN NV Netherlands 3.2% 100% 6.8 6.7 1.8 0.0%Ziggo Netherlands 3.2% 100% 5.0 16.4 3.5 4.8%

Utilities 3.2%Verbund Austria 3.2% 100% 6.0 16.9 1.3 3.2%Median 100% 3.5 12.8 1.3 5.5%



GSSTPEMU: Periphery Euro area domestic basket

Key criteria: Companies from periphery Euro area with high sales exposure to Europe ex-UK.

Sector exposure: Utilities 26%, banks 15%, oil & gas 11%.

Exhibit 24: Constituents of GSSTPEMU

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

EUROPE PERIPHERY (GSSTPEMU)

Company name Country Basket WeightsMarket Cap. (EUR Bn)


P/E 2013E P/B 2013EDivY 2013E

Banks 14.8%Banco Popolare Italy 3.7% 2.0 100% 16.9 0.2 0.6%Intesa Sanpaolo Italy 3.7% 19.9 100% 8.7 0.4 4.6%UBI Banca Italy 3.7% 2.5 100% 12.3 0.3 2.0%Banco Comercial Portugues Portugal 3.7% 1.4 79% 0.4 0.0%

Construction & Materials 3.7%Acciona SA Spain 3.7% 2.6 73% 31.3 0.5 3.3%

Financial Services 3.7%Azimut Holding Italy 3.7% 1.4 100% 11.2 2.2 2.7%

Industrial Goods & Services 11.1%Zardoya Otis Spain 3.7% 3.7 97% 20.1 15.6 4.9%Abertis Spain 3.7% 8.7 86%Smurfit Kappa Group Ireland 3.7% 1.8 73% 6.7 0.8 2.7%

Insurance 7.4%Mediolanum Italy 3.7% 2.6 100% 11.6 1.9 4.3%Assicurazioni Generali Italy 3.7% 19.1 85% 9.3 4.2%

Healthcare 3.7%Almirall Spain 3.7% 1.1 82% 13.2 1.0 3.0%

Media 11.1%Zon Multimedia Portugal 3.7% 0.8 100% 21.8 3.9 7.0%Mediaset Italy 3.7% 1.5 100% 22.1 0.8 1.4%Mediaset Espana Spain 3.7% 1.7 100% 23.7 0.9 3.7%

Oil & Gas 11.1%Saras Italy 3.7% 0.8 100% 17.4 0.6 0.0%Galp Portugal 3.7% 10.0 90% 21.4 1.5 2.4%ERG Italy 3.7% 0.8 100%

Telecommunications 7.4%Telecom Italia Italy 3.7% 12.9 78% 5.7 0.5 6.2%Jazztel Spain 3.7% 1.2 100% 11.3 2.7 0.0%

Utilities 25.9%Enel SpA Italy 3.7% 26.1 76% 8.6 0.6 5.2%A2a SPA Italy 3.7% 1.2 99% 7.9 0.4 5.1%Snam Rete Gas SpA Italy 3.7% 12.0 100% 11.5 1.9 7.5%Terna Italy 3.7% 5.7 100% 12.3 2.0 6.7%Enagas Spain 3.7% 3.5 100% 8.3 1.6 8.4%Energias de Portugal Portugal 3.7% 7.2 83% 7.2 0.8 9.4%Red Electrica de Espana Spain 3.7% 4.8 98% 8.7 2.1 7.5%Median 2.6 1.0 11.5 0.9 4.2%



GSSTPEXP: Periphery exporters basket

Key criteria: Companies from the Euro area periphery with high sales exposure outside Europe ex-UK.

Sector exposure: Industrial goods & services 11%, banks 11%, utilities 11%.

Exhibit 25: Constituents of GSSTPEXP

Source: Goldman Sachs Global ECS Research, Goldman Sachs Research estimates, Quantum database, I/B/E/S via FactSet.

Company name Country WeightsMarket Cap (€

Bn)Exposure Outside of Europe ex‐UK

P/E 2013E P/B 2013E

Automobiles & Parts 11.1%Pirelli Italy 3.7% 4.3 55% 8.0 1.6Fiat Industrial SPA Italy 3.7% 10.5 68% 7.8 1.7Fiat SpA Italy 3.7% 4.6 74% 5.7 0.4

Banks 11.1%BBVA Spain 3.7% 34.1 68% 6.4 0.8Grupo Santander Spain 3.7% 57.7 68% 7.4 0.7Banco Espirito Santo Portugal 3.7% 3.1 35% 16.0 0.4

Construction & Materials 7.4%CRH Ireland 3.7% 10.5 59% 15.6 1.0Tecnicas Reunidas Spain 3.7% 2.0 82% 13.9 4.3

Food & Beverage 7.4%Davide Campari Italy 3.7% 3.7 48% 18.2 2.2Kerry Ireland 3.7% 6.9 65% 14.0 2.8

Industrial Goods & Services 11.1%Amadeus IT Holding SA Spain 3.7% 8.5 67% 12.9 4.4Finmeccanica Italy 3.7% 2.2 57%Prysmian Italy 3.7% 3.2 39% 8.6 2.1

Oil & Gas 11.1%Saipem Italy 3.7% 15.4 80% 13.8 2.5Repsol YPF Spain 3.7% 18.7 60% 10.3 0.7ENI Italy 3.7% 63.6 83% 7.7 0.9

Personal & Household Goods 3.7%Luxottica (Italy) Italy 3.7% 13.6 85% 19.7 3.1

Retail 11.1%Inditex Spain 3.7% 62.3 42% 25.7 7.1Tod's Italy 3.7% 2.9 32% 15.7 3.4Jeronimo Martins Portugal 3.7% 8.7 59% 16.1 5.6

Telecommunications 7.4%Portugal Telecom Portugal 3.7% 3.3 60% 12.0 1.7Telefonica Spain 3.7% 45.7 54% 10.5 1.6

Travel & Leisure 7.4%International Consolidated Airlines Group Spain 3.7% 4.0 61% 20.2 0.8Ryanair Ireland 3.7% 7.1 30% 15.2 2.2

Utilities 11.1%Iberdrola SA Spain 3.7% 24.0 58% 9.7 0.7Endesa SA Spain 3.7% 17.2 31% 9.1 0.8Gas Natural Spain 3.7% 12.2 31% 9.2 0.9

Median 8.7 59% 12.4 1.6



Our sub-sector baskets

Exhibit 26: Performance of Goldman Sachs sub-sector baskets (%)

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


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Our sub-sector baskets aim to fill a gap in the market for sector products, providing focused yet

liquid exposure to “true” sectors

The market for sector products in Europe is less developed than in the US. As a result, mainly broad, market cap-weighted sector

indices are tradeable on-exchange with sufficient liquidity. Often these sector indices do not capture industry dynamics accurately,

as they include unrelated sub-sectors and they tend to be concentrated on large caps owing to their market cap weighting.

Sector indices are usually based on major European benchmark indices that are broken down according to a sector classification

system (shown in Exhibit 27), mainly according to their principal business activity, i.e., the business making the largest revenue

contribution. The two prevalent sector classification systems in Europe are ICB (Industry Classification Benchmark) and GICS (Global

Industry Classification Standard). STOXX and FTSE follow ICB, while MSCI and S&P follow GICS.

Exhibit 27: Benchmark indices are broken down into sectors based on ICB or GICS sector classification systems

Source: STOXX, FTSE, MSCI, S&P, Goldman Sachs Global ECS Research.

Exchange-listed sector indices in Europe are mainly at level 1 and 2, which are usually too broad and diverse to capture sub-sector

specific or industry dynamics. For example, the STOXX Europe 600 Household & Personal Products sector (SXQP) consists of the

household & personal products, luxury goods, tobacco and UK homebuilders sub-sectors as well as Philips. In our view, using

revenue as the classification criteria can be too crude to capture industry dynamics properly and is difficult to apply to

conglomerates.

For sector-based investment strategies, for example, capturing intra-sector relative value or sector rotation, companies within a

sector should be exposed to the same fundamental risk factors. Only then will the stocks have similar return characteristics and thus

high co-movement (for example, correlation or co-integration) – these are what we call “true” sectors. While level 3 and 4 sectors

can be narrow enough, they often do not have a sufficient number of companies to achieve diversification. Our sub-sectors consist

of companies that are driven by the same fundamental factors in order to create homogeneous peer groups. Fundamental factors

can be at the macro level (such as consumption, GDP growth, exposure to BRICs or commodity prices) or at the micro level (such as

corporate activity and LBOs, industry life cycle and restructuring).

Index provider Level Classification Index Market cap. (€, bn)

Bloomberg Region No of stocks

1 10 industries DJ EURO STOXX 3,252 SXXE EMU 3092 19 supersectors Stoxx Europe 600 6,727 SXXP Europe 6003 39 sectors FTSE 350 2,278 NMX UK 3564 104 subsectors FTSE All Share 2,306 ASX UK 6211 10 sectors MSCI Europe 6,548 MXEU Europe 4622 24 industry groups MSCI Pan-Euro 5,407 MSPE Europe 2013 67 industries S&P Europe 350 6,085 SPE Europe 3504 147 sub-industries S&P Euro 2,887 SPEU EMU 178

ICB

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S

FTSE

STOXX

MSCI

S&P



Concentration on large-cap companies can create specific risk in market cap-weighted indices

The distribution of market capitalisations in equity markets is usually skewed towards large-cap companies. This can lead to

undesired stock-specific risks in indices if they are market-cap weighted. This concentration in large-cap companies can make

benchmarking problematic for long-only managers and cause problems for hedging market exposures effectively.

As a result of a lower number of constituents, for sector indices the concentration in large-cap companies is often magnified (shown

in Exhibit 28). This will reduce the degree of diversification further and can lead to stock-specific risks. As a result, it is difficult for

investors seeking to gain or hedge sector exposure to do so via market capitalisation-weighted sector indices.

Based on current weightings, the most concentrated STOXX sectors (STOXX Europe 600 (SXXP) covering Pan-Europe and EURO

STOXX (SXXE) covering Euro area) appear to be oil & gas (SXEP), healthcare (SXNP), telecommunications (SXKP) and autos (SXAP).

Those sectors have effective Ns between 7 and 9 and are likely to be concentrated on a few large-cap stocks.

Exhibit 28: Sector indices concentration


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Effective N / Constituents (SXXP, RHS) Effective N / Constituents (SXXE, RHS)



Our equal weight sub-sectors provide focused and diversified exposure to “true” sectors – this is

illustrated by the larger dispersion of returns between them

To fill the gap in the European market for sector products, we have created tradable equally weighted sub-sector baskets around

narrowly defined industries that aim to decrease intra-sector dispersion and increase inter-sector dispersion. We allow overlaps

between the sub-sectors if companies have exposures to several industries, and aim to strike a balance between relevance and

diversification with the number of companies included.

Our sub-sectors can be used as peer groups for a variety of investment and valuation strategies and also for hedging single stock

positions. Stocks included in the sub-sectors are screened for liquidity and ‘borrowability’, allowing investors to gain either long or

short exposure at a reasonable transaction cost.

As shown in Exhibit 29, the rolling 6-month difference between lowest and highest returns since 1998 was higher for GSSBs than for

STOXX Europe 600 sectors. This also suggests a higher potential for sector-selection strategies. In this case, identifying the better

and worse performing sectors and constructing a long/short portfolio to implement this view should deliver higher potential alpha

relative to market returns.

Exhibit 29: The dispersion between the GSSB sectors is higher

Y-axis shows the difference between lowest and highest return (6-month rolling)


0%

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99 00 01 02 03 04 05 06 07 08 09 10 11

GSSB Stoxx Europe 600



GSSB updated directory

Exhibit 30: GSSB updated directory


ICB Level 1 GICS Level 1 GICS Level 2 Goldman Sachs Sub-Sector Basket (GSSB) Bloomberg Cyclical/ Defensive

Currency No. companies

Chemicals - Fertilizers GSSBCHFE Cyclical EUR 3Chemicals - Modern GSSBCHMO Defensive EUR 7Chemicals - Traditional GSSBCHTR Cyclical EUR 6Basic Resources - Mining GSSBMINE Cyclical GBP 10Basic Resources - Steel GSSBSTEL Cyclical EUR 8Paper & Forest Products GSSBPAPE Cyclical EUR 5Beverages GSSBBEVS Defensive EUR 8Food Products GSSBFOOP Defensive EUR 8Auto Components GSSBAUCO Cyclical EUR 8Automobiles GSSBAUTO Cyclical EUR 7

Consumer Discretionary Household & Personal Products GSSBHOUS Defensive EUR 10Consumer Discretionary Luxury Goods GSSBLUXG Cyclical EUR 9Consumer Staples Food, Beverage & Tobacco Tobacco GSSBTOBA Defensive EUR 3Consumer Discretionary Consumer Durables & Apparel UK Homebuilders GSSBUKHO Cyclical GBP 8

Media - Advertising GSSBMEAD Cyclical EUR 5Media - Broadcasters GSSBMEBR Cyclical EUR 10Media - Business Publishers GSSBMEPU Cyclical EUR 9

Consumer Staples Food & Staples Retailing Food Retail GSSBFORE Defensive EUR 10Consumer Discretionary Retailing General Retail GSSBGERE Cyclical EUR 8

Gaming GSSBGAMI Defensive GBP 6Hospitality & Leisure GSSBHOLR Cyclical EUR 7Transportation - Airlines GSSBTRAA Cyclical EUR 5Transportation - Road & Rail GSSBTRAR Defensive EUR 5Banks - Brokers & Asset Managers GSSBBKBR Financials EUR 9Banks - Domestic European GSSBBKDE Financials EUR 11Banks - Domestic United Kingdom GSSBBKDU Financials GBP 3Banks - Global Retail GSSBBKGL Financials EUR 4Banks - Nordic GSSBBKNO Financials EUR 5Banks - Investment Banks GSSBBKIB Financials EUR 6

Insurance GSSBINSE Financials EUR 11Life Assurance GSSBLASE Financials EUR 11Re-Insurance GSSBREIN Financials EUR 4Biotechnology GSSBBIOT Growth EUR 5Pharmaceuticals GSSBPHAR Defensive EUR 11

Health Care Equipment & Services Medical Technology GSSBMEDT Growth EUR 12Civil Aerospace GSSBCIVA Cyclical EUR 6Defense GSSBDEFE Cyclical EUR 5Business Services - Cyclical GSSBBUSC Cyclical EUR 8Business Services - Staffing GSSBSTAF Cyclical EUR 4Business Services - Outsourcing & Testing GSSBBSOT Defensive EUR 6

Electrical Equipment Electrical Equipment GSSBELEQ Cyclical EUR 10Capital Goods Machinery GSSBMACH Cyclical EUR 12Electrical Equipment Renewables GSSBRNEW Growth EUR 7Transportation Transportation - Infrastructure GSSBTINF Defensive EUR 7Capital Goods Trucks GSSBTRUC Cyclical EUR 5

Building materials GSSBBUIL Cyclical EUR 7Construction GSSBCONS Cyclical EUR 6Integrated Oil & Gas GSSBOILI Cyclical EUR 8Oil Exploration & Production GSSBOILE Cyclical GBP 7Oil Refiners GSSBOILR Cyclical EUR 4Oil Services GSSBOILS Cyclical EUR 16

Technology Hardware & Equipment Communications Equipment GSSBCOMM Cyclical EUR 3Software & Services IT Services GSSBITSE Cyclical EUR 5Technology Hardware & Equipment Semiconductors GSSBSEMI Cyclical EUR 6Software & Services Software GSSBSFTW Cyclical EUR 4

Telecoms - Wireless GSSBTELW Defensive EUR 7Telecoms - Wireline (Incumbents) GSSBTELI Defensive EUR 10Utilities - Hybrid GSSBUTHY Defensive EUR 7Utilities - Regulated GSSBUTRE Defensive EUR 7Utilities - Unregulated GSSBUTUR Defensive EUR 10Utilities - Water GSSBUTIW Defensive GBP 4

GSSBREAL Cyclical EUR 18

Exchanges GSSBEXCH Defensive EUR 3

SX86P Real Estate Financials Real Estate Real Estate

Capital Goods

STOXX 600 Supersector (ICB Level 2)

Utilities

Banks

Diversified Financial Services

Insurance

Health CarePharmaceuticals, Biotechnology & Life sciences

Transportation

Energy

Information Technology

Materials

Industrials

Materials

Materials

Consumer Staples

Utilities

Automobiles & Components

Consumer Durables & Apparel

Media

Consumer Services

Consumer Discretionary

Financials

Energy

MaterialsSXOP

SXEP

SXDP

Technology

Industrials

Oil & Gas

Financial Services

Financials

Retail

Travel & Leisure

Banks

Insurance

SXFP


Industrials

SXRP

SXTP

SX7P

Financials

Food, Beverage & Tobacco

Materials

Materials


Personal & Household Goods

Construction & Materials

Healthcare

Basic materials

Consumer goods

Consumer services

Financials

SX4P

SXPP

SX3P

SXAP

SXQP

Chemicals

Basic Resources

Food & Beverage

Automobiles & Parts

SXIP

Utilities

Media

Telecommunications SXKP Telecommunications Telecommunication Services Telecommunication Services

SXMP

Oil & Gas

Technology

Utilities

SX8P

Healthcare

SXNP

SX6P

Industrial Goods & Services



GSSB Constituents

Exhibit 31: GSSB Constituents


Name Ticker Currency Company name Bloomberg SEDOL RIC STOXX GSSBAnheuser-Busch InBev NV ABI BB 4755317 ABI.BR 10.0% 12.5% 135,482 146Carlsberg A/S CARLB DC 4169219 CARLb.CO 1.5% 12.5% 13,983 26Davide Campari-Milano SpA CPR IM B08BR25 CPRI.MI 0.3% 12.5% 4,337 12Diageo PLC DGE LN 0237400 DGE.L 11.7% 12.5% 72,452 116Heineken NV HEIA NA 7792559 HEIN.AS 2.2% 12.5% 36,433 56Pernod-Ricard SA RI FP 4682329 PERP.PA 3.6% 12.5% 28,366 58Remy Cointreau SA RCO FP 4741714 RCOP.PA 0.4% 12.5% 5,382 8SABMiller PLC SAB LN 0483548 SAB.L 7.0% 12.5% 68,405 87Associated British Foods PLC ABF LN 0673123 ABF.L 1.3% 12.5% 17,650 21Groupe Danone BN FP B1Y9TB3 DANO.PA 6.1% 12.5% 40,358 116Kerry Group PLC KYG ID 0490656 KYGa.I 1.2% 12.5% 8,817 12Nestle SA NESN VX 7123870 NESN.VX 29.9% 12.5% 204,379 253Nutreco Holding NV NUO NA 5183359 NUTR.AS 0.4% 12.5% 2,661 8Suedzucker AG SZU GY 5784462 SZUG.DE 0.4% 12.5% 7,423 12Tate & Lyle PLC TATE LN 0875413 TATE.L 0.9% 12.5% 5,604 17Unilever NV UNA NA B12T3J1 UNc.AS 9.3% 12.5% 109,157 134K+S AG SDF GY B54C017 SDFGn.DE 2.2% 33.3% 8,338 50Syngenta AG SYNN VX 4356646 SYNN.VX 10.6% 33.3% 35,314 73Yara International ASA YAR NO 7751259 YAR.OL 2.4% 33.3% 12,688 41Air Liquide AI FP B1YXBJ7 AIRP.PA 10.9% 14.3% 36,267 87Bayer AG BAYN GY 5069211 BAYGn.DE 15.6% 14.3% 70,032 198Givaudan SA GIVN VX 5980613 GIVN.VX 2.2% 14.3% 8,985 20Johnson Matthey PLC JMAT LN B70FPS6 JMAT.L 2.3% 14.3% 7,458 20Linde AG LIN GY 5740817 LING.DE 9.1% 14.3% 30,393 86Lonza Group AG LONN VX 7333378 LONN.VX 0.3% 14.3% 2,438 12Syngenta AG SYNN VX 4356646 SYNN.VX 10.6% 14.3% 35,314 73Akzo Nobel NV AKZA NA 5458314 AKZO.AS 3.8% 16.7% 12,816 50BASF AG BAS GY 5086577 BASFn.DE 22.5% 16.7% 74,876 228Clariant AG CLN VX 7113990 CLN.VX 0.9% 16.7% 3,121 26Koninklijke DSM NV DSM NA B0HZL93 DSMN.AS 2.6% 16.7% 10,024 45Lanxess AG LXS GY B05M8B7 LXSG.DE 1.9% 16.7% 6,461 47Solvay SA SOLB BB 4821100 SOLB.BR 2.1% 16.7% 10,087 34E.ON AG EOAN GY 4942904 EONGn.DE 12.5% 14.3% 37,488 142Endesa SA ELE SQ 5271782 ELE.MC 0.6% 14.3% 21,067 6Enel SpA ENEL IM 7144569 ENEI.MI 7.8% 14.3% 32,939 155Energias de Portugal SA EDP PL 4103596 EDP.LS 2.0% 14.3% 9,100 11Gas Natural SDG SA GAS SQ 5650422 GAS.MC 1.6% 14.3% 14,989 27GDF Suez GSZ FP B0C2CQ3 GSZ.PA 9.9% 14.3% 51,025 101Iberdrola SA IBE SQ B288C92 IBE.MC 6.6% 14.3% 30,180 166National Grid PLC NG/ LN B08SNH3 NG.L 14.2% 14.3% 39,977 66Pennon Group PLC PNN LN B18V863 PNN.L 1.3% 14.3% 3,853 11Red Electrica de Espana REE SQ 5723777 REE.MC 1.7% 14.3% 6,077 28Severn Trent PLC SVT LN B1FH8J7 SVT.L 2.0% 14.3% 5,786 15Snam Rete Gas SpA SRG IM 7251470 SRG.MI 2.5% 14.3% 14,356 44Terna Rete Elettrica Nazionale SpA TRN IM B01BN57 TRN.MI 1.6% 14.3% 7,337 24United Utilities PLC UU/ LN B39J2M4 UU.L 2.4% 14.3% 7,011 35Centrica PLC CNA LN B033F22 CNA.L 8.9% 11.1% 25,655 41Drax Group PLC DRX LN B1VNSX3 DRX.L 1.1% 11.1% 3,453 8Electricite de France EDF FP B0NJJ17 EDF.PA 1.8% 11.1% 35,777 24Fortum Oyj FUM1V FH 5579550 FUM1V.HE 2.6% 11.1% 15,401 30RWE AG RWE GY 4768962 RWEG.DE 7.0% 11.1% 25,585 108Scottish & Southern Energy PLC SSE LN 0790873 SSE.L 7.1% 11.1% 21,046 40Suez Environnement SA SEV FP B3B8D04 SEVI.PA 0.9% 11.1% 5,211 14Veolia Environnement VIE FP 4031879 VIE.PA 1.4% 11.1% 5,108 34Verbund - Oesterreichische Elektrizitaetswirtschafts AG VER AV 4661607 VERB.VI 0.5% 11.1% 7,604 3Pennon Group PLC PNN LN B18V863 PNN.L 1.3% 25.0% 3,853 11Severn Trent PLC SVT LN B1FH8J7 SVT.L 2.0% 25.0% 5,786 15United Utilities PLC UU/ LN B39J2M4 UU.L 2.4% 25.0% 7,011 35Veolia Environnement VIE FP 4031879 VIE.PA 1.4% 25.0% 5,108 34

GSSBCHMO

EUR

EUR

EUR

GSSBUTUR EUR

Weight

EUR

Chemicals - Fertilizers

EUR

Utilities - Hybrid GSSBUTHY

GSSBCHTR

Chemicals - Modern

Chemicals - Traditional

Utilities - Regulated

Utilities - Water GSSBUTIW

STOXX sector

3M ADV (US$, mn)

Market cap. (US$, mn)

GSSB

SX3P

SX4P

EUR

Food Products GSSBFOOP EUR

Beverages

EUR

GSSBBEVS

GSSBCHFE

SX6P

GSSBUTRE

Utilities - Unregulated



Exhibit 31 cont'd: GSSB Constituents


Name Ticker Currency Company name Bloomberg SEDOL RIC STOXX GSSBBNP Paribas SA BNP FP 7309681 BNPP.PA 6.5% 16.7% 64,538 255Societe Generale SA GLE FP 5966516 SOGN.PA 3.0% 16.7% 25,135 190Deutsche Bank AG DBK GY 5750355 DBKGn.DE 4.8% 16.7% 40,161 301UBS AG UBSN VX B18YFJ4 UBSN.VX 6.6% 16.7% 58,788 182Credit Suisse Group AG CSGN VX 7171589 CSGN.VX 3.4% 16.7% 30,331 145Barclays PLC BARC LN 3134865 BARC.L 4.7% 16.7% 46,125 160BNP Paribas BNP FP 7309681 BNPP.PA 6.5% 10.0% 64,538 255Credit Agricole SA ACA FP 7262610 CAGR.PA 0.9% 10.0% 17,939 120Commerzbank AG CBK GY 4325538 CBKG.DE 0.9% 10.0% 10,047 93Intesa Sanpaolo SpA ISP IM 4076836 ISP.MI 2.6% 10.0% 25,974 261KBC Groep NV KBC BB 4497749 KBC.BR 0.4% 10.0% 8,850 38Mediobanca SpA MB IM 4574813 MDBI.MI 0.3% 10.0% 4,910 40Natixis KN FP B1HDJL2 CNAT.PA 0.3% 10.0% 10,069 15Nordea Bank AB NDA SS 5380031 NDA.ST 2.7% 10.0% 35,456 55Societe Generale GLE FP 5966516 SOGN.PA 3.0% 10.0% 25,135 190UniCredit SpA UCG IM B5M1SM3 CRDI.MI 2.9% 10.0% 25,934 383Barclays PLC BARC LN 3134865 BARC.L 4.7% 33.3% 46,125 160Lloyds TSB Group PLC LLOY LN 0870612 LLOY.L 3.7% 33.3% 52,021 128Royal Bank of Scotland Group PLC RBS LN B7T7721 RBS.L 1.0% 33.3% 49,239 50Banco Bilbao Vizcaya Argentaria SA BBVA SQ 5501906 BBVA.MC 5.1% 25.0% 43,118 570Banco Santander Central Hispano SA SAN SQ 5705946 SAN.MC 8.5% 25.0% 73,829 773HSBC Holdings PLC HSBA LN 0540528 HSBA.L 21.0% 25.0% 177,856 186Standard Chartered PLC STAN LN 0408284 STAN.L 5.4% 25.0% 55,933 102Danske Bank A/S DANSKE DC 4588825 DANSKE.CO 1.1% 20.0% 16,038 24DnB NOR ASA DNB NO 4263304 DNB.OL 1.3% 20.0% 19,740 33Nordea Bank AB NDA SS 5380031 NDA.ST 2.7% 20.0% 35,456 55Skandinaviska Enskilda Banken AB SEBA SS 4813345 SEBa.ST 1.5% 20.0% 17,236 46Svenska Handelsbanken AB SHBA SS 5703661 SHBa.ST 2.0% 20.0% 21,839 45Bolsas y Mercados Espanoles BME SQ B18S767 BME.MC 1.5% 33.3% 1,698 6Deutsche Boerse AG DB1 GY 7021963 DB1Gn.DE 11.2% 33.3% 10,452 45London Stock Exchange Group PLC LSE LN B0SWJX3 LSE.L 2.9% 33.3% 4,195 7British Land Co PLC BLND LN 0136701 BLND.L 7.4% 5.6% 7,452 19Capital Shopping Centres Group PLC CSCG LN 0683434 CSCG.L 3.2% 5.6% 4,608 7Castellum AB CAST SS B0XP0T0 CAST.ST 2.2% 5.6% 2,254 3Corio NV CORA NA 4929286 COR.AS 2.7% 5.6% 4,070 16Derwent London PLC DLN LN 0265274 DLN.L 3.3% 5.6% 3,290 6Eurocommercial Properties NV ECMPA NA 4798271 SIPFc.AS 1.2% 5.6% 1,471 4Fonciere Des Regions FDR FP 7745638 FDR.PA 2.2% 5.6% 4,456 5Gecina SA GFC FP 7742468 GFCP.PA 2.3% 5.6% 6,929 5Hammerson PLC HMSO LN 0406501 HMSO.L 5.3% 5.6% 5,344 12ICADE ICAD FP 4554406 ICAD.PA 2.0% 5.6% 4,510 4IMMOFINANZ AG IIA AV 5679911 IMFI.VI 3.7% 5.6% 4,293 7Klepierre LI FP 7582556 LOIM.PA 3.4% 5.6% 7,142 6Land Securities Group PLC LAND LN 3180943 LAND.L 9.8% 5.6% 9,818 21PSP Swiss Property AG PSPN SE B012877 PSPN.S 3.4% 5.6% 4,028 7Segro PLC SGRO LN B5ZN1N8 SGRO.L 2.7% 5.6% 2,711 5Swiss Prime Site AG SPSN VX B083BH4 SPSN.VX 4.2% 5.6% 4,220 9Unibail-Rodamco UL FP 7076242 UNBP.PA 19.8% 5.6% 20,088 70Wereldhave NV WHA NA 4948623 WEHA.AS 1.2% 5.6% 1,261 6Alcatel-Lucent ALU FP 5975006 ALUA.PA 1.3% 33.3% 2,582 35Nokia OYJ NOK1V FH 5902941 NOK1V.HE 5.1% 33.3% 10,110 90Telefonaktiebolaget LM Ericsson ERICB SS 5959378 ERICb.ST 13.2% 33.3% 28,508 70Atos Origin SA ATO FP 5654781 ATOS.PA 1.8% 25.0% 5,747 18Cap Gemini SA CAP FP 4163437 CAPP.PA 3.1% 25.0% 6,472 32Indra Sistemas SA IDR SQ 4476210 IDR.MC NA 25.0% 1,792 6Tietoenator Oyj TIE1V FH 5479702 TIE1V.HE NA 25.0% 1,361 2Aixtron AG AIXA GY 5468346 AIXGn.DE 0.6% 16.7% 1,236 8ARM Holdings Plc ARM LN 0059585 ARM.L 7.9% 16.7% 15,772 53ASM International NV ASM NA 5165294 ASMI.AS 0.7% 16.7% 1,867 8ASML Holding NV ASML NA 5949368 ASML.AS 11.7% 16.7% 28,595 126Infineon Technologies AG IFX GY 5889505 IFXGn.DE 3.7% 16.7% 7,144 57STMicroelectronics NV STM FP 5962332 STM.PA NA 16.7% 5,078 20Dassault Systemes SA DSY FP 5330047 DAST.PA 3.3% 25.0% 13,100 19Sage Group PLC SGE LN 0802165 SGE.L 3.0% 25.0% 5,881 NASAP AG SAP GY 4846288 SAPG.DE 30.8% 25.0% 88,271 191Software AG SOW GY 4755135 SOWG.DE 1.2% 25.0% 3,527 7

EUR

EUR

GSSBBKDU GBP

GSSBCOMM EUR

GSSBSEMI EUR

Banks - Nordic

Exchanges GSSBEXCH EUR

Real Estate

GSSBBKGL

GSSBREAL

GSSBBKIB EUR

EUR

STOXX sector

SX86

PSX

8P

Communications Equipment

Software

IT Services

GSSB

Banks - Domestic UK

Investment banks

Banks - Global Retail

Banks - Domestic European GSSBBKDE EUR

SXFP

GSSBBKNO

Semiconductors

SX7P

Weight

EUR

GSSBITSE EUR

GSSBSFTW


3M ADV (US$, mn)





Name Ticker Currency Company name Bloomberg SEDOL RIC STOXX GSSBActelion Ltd ATLN VX B1YD5Q2 ATLN.VX 0.7% 20.0% 5,857 16Grifols SA GRF SQ B01SPF2 GRLS.MC 0.6% 20.0% 9,731 22Lonza Group AG LONN VX 7333378 LONN.VX 0.3% 20.0% 2,438 12Novozymes A/S NZYMB DC B798FW0 NZYMb.CO 0.8% 20.0% 8,591 12Qiagen NV QIA GY 5732825 QGEN.DE 0.5% 20.0% 4,090 6Cie Generale d'Optique Essilor International SA EI FP 7212477 ESSI.PA 2.5% 9.1% 19,309 51Coloplast A/S COLOB DC B04TZX0 COLOb.CO 0.6% 9.1% 10,070 13Elekta AB EKTAB SS B0M42T2 EKTAb.ST 0.6% 9.1% 5,188 23Fresenius AG FRE GY 4352097 FREG.DE 1.8% 9.1% 19,403 45Fresenius Medical Care AG & Co KGaA FME GY 5129074 FMEG.DE 1.8% 9.1% 20,565 47Getinge AB GETIB SS 7698356 GETIb.ST 0.8% 9.1% 7,160 16GN Store Nord A/S GN DC 4501093 GN.CO 0.3% 9.1% 2,902 11Nobel Biocare Holding AG NOBN SW 7385722 NOBN.S NA 9.1% 1,019 7Rhoen Klinikum AG RHK GY 4717629 RHKG.DE 0.3% 9.1% 2,574 17Smith & Nephew PLC SN/ LN 0922320 SN.L 1.2% 9.1% 9,469 19Sonova Holding AG SOON VX 7156036 SOON.VX 0.7% 9.1% 7,100 18AstraZeneca PLC AZN LN 0989529 AZN.L 7.3% 9.1% 56,845 93Bayer AG BAYN GY 5069211 BAYGn.DE 15.6% 9.1% 70,032 198GlaxoSmithKline PLC GSK LN 0925288 GSK.L 13.6% 9.1% 105,930 172Merck KGaA MRK GY 4741844 MRCG.DE 1.1% 9.1% 27,163 34Novartis AG NOVN VX 7103065 NOVN.VX 21.1% 9.1% 163,371 219Novo Nordisk A/S NOVOB DC 7077524 NOVOb.CO 8.4% 9.1% 87,233 102Roche Holding AG ROG VX 7110388 ROG.VX 15.5% 9.1% 164,789 189Sanofi-Aventis SAN FP 5671735 SASY.PA 13.6% 9.1% 115,635 228Shire PLC SHP LN B2QKY05 SHP.L 2.0% 9.1% 15,755 48Stada Arzneimittel AG SAZ GY 5386750 STAGn.DE 0.2% 9.1% 1,724 9UCB SA UCB BB 5596991 UCB.BR 0.7% 9.1% 9,963 11BG Group PLC BG/ LN 0876289 BG.L 9.4% 12.5% 56,337 132BP PLC BP/ LN 0798059 BP.L 21.7% 12.5% 129,766 173ENI SpA ENI IM 7145056 ENI.MI 10.1% 12.5% 80,926 401OMV AG OMV AV 4651459 OMVV.VI 0.8% 12.5% 11,214 9Repsol YPF SA REP SQ 5669354 REP.MC 2.6% 12.5% 24,364 134Royal Dutch Shell PLC RDSA NA B09CBL4 RDSa.AS 15.0% 12.5% 221,107 142Statoil ASA STL NO 7133608 STL.OL 4.3% 12.5% 75,741 73Total SA FP FP B15C557 TOTF.PA 14.8% 12.5% 114,209 224Afren PLC AFR LN B067275 AFRE.L 0.4% 14.3% 2,366 10Cairn Energy Plc CNE LN B74CDH8 CNE.L 0.4% 14.3% 2,632 7Lundin Petroleum AB LUPE SS 7187627 LUPE.ST 0.9% 14.3% 7,155 23Etablissements Maurel et Prom MAU FP B05DY78 MAUP.PA 0.2% 14.3% 1,754 4NovaTek OAO NVTK LI B0DK750 NVTKq.L NA 14.3% 30,970 53Premier Oil PLC PMO LN B43G057 PMO.L 0.5% 14.3% 2,832 8Tullow Oil PLC TLW LN 0150080 TLW.L 3.4% 14.3% 19,955 45ERG SpA ERG IM 5337093 ERG.MI NA 25.0% 1,016 1Essar Energy PLC ESSR LN B5SXPF5 ESSR.L NA 25.0% 2,755 3Neste Oil OYJ NES1V FH B06YV46 NES1V.HE 0.3% 25.0% 3,019 11Saras SpA SRS IM B04F679 SRS.MI NA 25.0% 1,088 3Aker Solutions ASA AKSO NO B1VLVW7 AKSO.OL 0.5% 6.3% 4,988 19AMEC PLC AMEC LN 0028262 AMEC.L 0.9% 6.3% 5,014 19Cie Generale de Geophysique-Veritas GA FP 4215394 GEPH.PA 0.8% 6.3% 5,145 27Fred Olsen Energy ASA FOE NO 5344101 FOE.OL NA 6.3% 2,938 7Fugro NV FUR NA B096LW7 FUGRc.AS 0.8% 6.3% 5,448 25John Wood Group PLC WG/ LN B5N0P84 WG.L 0.8% 6.3% 5,023 16Petrofac Ltd PFC LN B0H2K53 PFC.L 1.0% 6.3% 8,563 24Petroleum Geo-Services ASA PGS NO B1L7YL5 PGS.OL 0.6% 6.3% 3,631 32ProSafe SE PRS NO B1L9DW5 PRSO.OL NA 6.3% 1,832 4Saipem SpA SPM IM 4768768 SPMI.MI 1.8% 6.3% 19,255 72SBM Offshore NV SBMO NA B156T57 SBMO.AS 0.4% 6.3% 2,191 20SeaDrill Ltd SDRL NO B09RMQ1 SDRL.OL 2.3% 6.3% 17,948 35Subsea 7 SA SUBC NO 5258246 SUBC.OL 1.0% 6.3% 7,460 NATechnip SA TEC FP 4874160 TECF.PA 2.0% 6.3% 12,087 40Tecnicas Reunidas SA TRE SQ B16FTB9 TRE.MC 0.2% 6.3% 2,472 9TGS Nopec Geophysical Co ASA TGS NO B15SLC4 TGS.OL 0.6% 6.3% 3,206 14

GSSBBIOT EUR

Oil Services

Oil Exploration & Production

SXEP Oil Refiners

Biotechnology

SXD

PSTOXX sector

GSSBMEDT EURMedical Technology

EURPharmaceuticals GSSBPHAR

Weight Market cap. (US$, mn)

3M ADV (US$, mn)

GSSBOILI EUR

GSSB

Integrated Oil & Gas

GSSBOILR EUR

GSSBOILS EUR

GSSBOILE EUR





Name Ticker Currency Company name Bloomberg SEDOL RIC STOXX GSSBCompagnie Generale des Etablissements Michelin ML FP 4588364 MICP.PA 9.3% 12.5% 15,080 65Continental AG CON GY 4598589 CONG.DE 4.7% 12.5% 19,190 65Faurecia EO FP 4400446 EPED.PA NA 12.5% 1,597 5GKN PLC GKN LN 3064650 GKN.L 3.3% 12.5% 5,377 19Nokian Renkaat OYJ NRE1V FH B07G378 NRE1V.HE 3.2% 12.5% 5,129 26Pirelli & C SpA PC IM 4689803 PECI.MI 1.5% 12.5% 5,184 31Rheinmetall AG RHM GY 5334588 RHMG.DE 1.0% 12.5% 1,624 10Valeo SA FR FP 4937579 VLOF.PA 1.8% 12.5% 3,291 17Bayerische Motoren Werke AG BMW GY 5756029 BMWG.DE 16.1% 14.3% 51,537 196DaimlerChrysler AG DAI GY 5529027 DAIGn.DE 27.8% 14.3% 49,055 230Fiat SpA F IM 5748521 FIA.MI 2.3% 14.3% 5,454 82Peugeot SA UG FP 7103526 PEUP.PA 0.8% 14.3% 2,016 30Porsche AG PAH3 GY 7101069 PSHG_p.DE 6.0% 14.3% 19,456 32Renault SA RNO FP 4712798 RENA.PA 5.5% 14.3% 12,665 60Volkswagen AG VOW3 GY 5497168 VOWG_p.DE 16.5% 14.3% 87,682 204Admiral Group PLC ADM LN B02J639 ADML.L 0.9% 9.1% 4,695 217Allianz SE ALV GY 5231485 ALVG.DE 13.9% 9.1% 54,897 217Baloise Holding AG BALN VX 7124594 BALN.VX 1.0% 9.1% 4,074 14Fondiaria-Sai SpA FSA IM B89YH96 FOSA.MI NA 9.1% 1,456 12ING Groep NV INGA NA 7154182 ING.AS 8.5% 9.1% 32,821 195Mapfre SA MAP SQ B1G40S0 MAP.MC 0.4% 9.1% 7,871 15Old Mutual PLC OML LN B77J086 OML.L 3.3% 9.1% 13,184 23Royal & Sun Alliance Insurance Group RSA LN 0661689 RSA.L 1.6% 9.1% 6,335 18Sampo Oyj SAMAS FH 5226038 SAMAS.HE 3.8% 9.1% 17,232 24SCOR SE SCR FP B1LB9P6 SCOR.PA 1.2% 9.1% 4,936 9Zurich Financial Services AG ZURN VX 5983816 ZURN.VX 9.2% 9.1% 36,088 91Aegon NV AGN NA 5927375 AEGN.AS 2.4% 9.1% 10,564 45Ageas AGS BB B86S2N0 AGES.BR 1.5% 9.1% 6,214 18Assicurazioni Generali SpA G IM 4056719 GASI.MI 5.4% 9.1% 24,537 107Aviva PLC AV/ LN 0216238 AV.L 3.9% 9.1% 15,408 48AXA SA CS FP 7088429 AXAF.PA 7.2% 9.1% 35,644 123ING Groep NV INGA NA 7154182 ING.AS 8.5% 9.1% 32,821 195Legal & General Group PLC LGEN LN 0560399 LGEN.L 3.4% 9.1% 13,405 27Old Mutual PLC OML LN B77J086 OML.L 3.3% 9.1% 13,184 23Prudential PLC PRU LN 0709954 PRU.L 9.0% 9.1% 35,139 54Standard Life PLC SL/ LN B16KPT4 SL.L 2.9% 9.1% 11,457 19Swiss Life Holding SLHN VX 7437805 SLHN.VX 0.9% 9.1% 4,691 25Hannover Rueckversicherung AG HNR1 GY 4511809 HNRGn.DE 1.1% 25.0% 8,518 15Muenchener Rueckversicherungs AG MUV2 GY 5294121 MUVGn.DE 6.7% 25.0% 29,165 109SCOR SE SCR FP B1LB9P6 SCOR.PA 1.2% 25.0% 4,936 9Swiss Re AG SREN VX B545MG5 SRENH.VX 6.1% 25.0% 25,940 62Bouygues EN FP 4002121 BOUY.PA 3.9% 25.0% 7,168 26Mobistar SA MOBB BB 5541979 MSTAR.BR NA 25.0% 1,498 3Tele2 AB TEL2B SS B085590 TEL2b.ST 1.7% 25.0% 7,315 26Vodafone Group PLC VOD LN B16GWD5 VOD.L 30.2% 25.0% 126,903 200Belgacom SA BELG BB B00D9P6 BCOM.BR 1.3% 8.3% 9,596 15BT Group PLC BT/A LN 3091357 BT.L 9.9% 8.3% 28,510 65Deutsche Telekom AG DTE GY 5842359 DTEGn.DE 10.8% 8.3% 45,724 154France Telecom SA FTE FP 5176177 FTE.PA 6.9% 8.3% 27,654 102Portugal Telecom SGPS SA PTC PL 5817186 PTC.LS 1.1% 8.3% 4,289 15Royal KPN NV KPN NA 5956078 KPN.AS 2.1% 8.3% 8,380 37Swisscom AG SCMN VX 5533976 SCMN.VX 3.1% 8.3% 20,874 31Telecom Italia SpA TIT IM 7634394 TLIT.MI 3.3% 8.3% 17,088 59Telefonica SA TEF SQ 5732524 TEF.MC 15.0% 8.3% 58,595 273Telenor ASA TEL NO 4732495 TEL.OL 4.8% 8.3% 30,671 37TeliaSonera AB TLSN SS 5978384 TLSN.ST 4.9% 8.3% 27,863 48Vivendi SA VIV FP 4834777 VIV.PA 15.7% 8.3% 25,216 76

GSSBAUTO EUR

GSSBINSE

GSSBAUCOAuto Components

SXIP

SXA

P

Re-Insurance

Automobiles

Life Assurance

SXK

PSTOXX sector

EUR

GSSB Market cap. (US$, mn)

3M ADV (US$, mn)

EUR

GSSBLASE

GSSBREIN EUR

GSSBTELI EUR

EUR

Insurance

Weight

Telecoms - Wireless GSSBTELW EUR

Telecoms - Wireline (Incumbents)




Name Ticker Currency Company name Bloomberg SEDOL RIC STOXX GSSBEuropean Aeronautic Defence and Space Co NV EAD FP 4012250 EAD.PA 1.6% 9.1% 27,527 97Meggitt PLC MGGT LN 0575809 MGGT.L 0.6% 9.1% 4,663 8MTU Aero Engines Holding AG MTX GY B09DHL9 MTXGn.DE 0.6% 9.1% 4,229 9Rolls-Royce Group PLC RR/ LN B63H849 RR.L 3.6% 9.1% 26,044 55Safran SA SAF FP B058TZ6 SAF.PA 1.5% 9.1% 15,901 32Zodiac SA ZC FP 7294334 ZODC.PA 0.5% 9.1% 5,675 14BAE Systems PLC BA/ LN 0263494 BAES.L 2.2% 9.1% 15,916 43Cobham PLC COB LN B07KD36 COB.L 0.4% 9.1% 3,256 7Finmeccanica SpA FNC IM B0DJNG0 SIFI.MI 0.3% 9.1% 2,714 42Rheinmetall AG RHM GY 5334588 RHMG.DE 1.0% 9.1% 1,624 10Thales SA HO FP 4162791 TCFP.PA 0.4% 9.1% 6,820 5Bunzl PLC BNZL LN B0744B3 BNZL.L 0.7% 12.5% 5,430 10Compass Group PLC CPG LN 0533153 CPG.L 22.0% 12.5% 20,520 37Deutsche Post AG DPW GY 4617859 DPWGn.DE 2.4% 12.5% 22,950 71Experian Finance PLC EXPN LN B19NLV4 EXPN.L 2.3% 12.5% 16,888 26G4S PLC GFS LN B01FLG6 GFS.L 0.8% 12.5% 5,598 15Rentokil Initial PLC RTO LN B082RF1 RTO.L 0.3% 12.5% 2,496 5Securitas AB SECUB SS 5554041 SECUb.ST 0.3% 12.5% 2,819 11Sodexho Alliance SA SW FP 7062713 EXHO.PA 8.1% 12.5% 12,143 20Adecco SA ADEN VX 7110720 ADEN.VX 0.8% 25.0% 8,961 33Hays PLC HAS LN 0416102 HAYS.L 0.2% 25.0% 1,777 6Michael Page International Plc MPI LN 3023231 MPI.L 0.2% 25.0% 1,727 6Randstad Holding NV RAND NA 5228658 RAND.AS 0.4% 25.0% 5,590 17Capita Group PLC/The CPI LN B23K0M2 CPI.L 1.1% 16.7% 7,500 18Serco Group PLC SRP LN 0797379 SRP.L 0.6% 16.7% 4,314 9Babcock International Group PLC BAB LN 0969703 BAB.L 0.8% 16.7% 5,541 13Intertek Group PLC ITRK LN 3163836 ITRK.L 1.0% 16.7% 7,348 13SGS SA SGSN VX 4824778 SGSN.VX 1.6% 16.7% 16,652 18Bureau Veritas SA BVI FP B28DTJ6 BVI.PA 0.8% 16.7% 11,634 15ABB Ltd ABBN VX 7108899 ABBN.VX 5.8% 9.1% 42,117 100Alfa Laval AB ALFA SS 7332687 ALFA.ST 0.7% 9.1% 7,188 24Alstom ALO FP B0DJ8Q5 ALSO.PA 1.0% 9.1% 10,859 50Electrolux AB ELUXB SS B1KKBX6 ELUXb.ST 1.4% 9.1% 7,517 46Invensys PLC ISYS LN B19DVX6 ISYS.L 1.4% 9.1% 2,830 6Koninklijke Philips Electronics NV PHIA NA 5986622 PHG.AS 3.3% 9.1% 24,507 78Legrand SA LR FP B11ZRK9 LEGD.PA 1.3% 9.1% 9,734 30Nexans SA NEX FP 7130836 NEXS.PA NA 9.1% 1,191 8Prysmian SpA PRY IM B1W4V69 PRY.MI 0.5% 9.1% 3,904 24Schneider Electric SA SU FP 4834108 SCHN.PA 4.7% 9.1% 34,894 98Siemens AG SIE GY 5727973 SIEGn.DE 11.4% 9.1% 88,942 343Assa Abloy AB ASSAB SS 5698789 ASSAb.ST 7.8% 8.3% 12,542 32Atlas Copco AB ATCOA SS B1QGR41 ATCOa.ST 2.2% 8.3% 28,868 72FLSmidth & Co A/S FLS DC 5263574 FLS.CO 2.0% 8.3% 2,905 18GEA Group AG G1A GY 4557104 G1AG.DE 0.7% 8.3% 5,568 12IMI Plc IMI LN 0457963 IMI.L 0.7% 8.3% 4,771 16Invensys PLC ISYS LN B19DVX6 ISYS.L 1.4% 8.3% 2,830 6Kone OYJ KNEBV FH B09M9D2 KNEBV.HE 1.9% 8.3% 18,594 21Metso Oyj MEO1V FH 5713422 MEO1V.HE 0.6% 8.3% 5,181 33Sandvik AB SAND SS B1VQ252 SAND.ST 2.1% 8.3% 17,085 58SKF AB SKFB SS B1Q3J35 SKFb.ST 1.2% 8.3% 10,269 54Wartsila OYJ Abp WRT1V FH 4525189 WRT1V.HE 0.9% 8.3% 7,839 20Weir Group Plc (The) WEIR LN 0946580 WEIR.L 0.8% 8.3% 5,865 29Acciona SA ANA SQ 5579107 ANA.MC 1.0% 14.3% 3,316 8EDP Renovaveis SA EDPR PL B39GNW2 EDPR.LS NA 14.3% 4,211 3Enel Green Power SpA EGPW IM B4TWTW9 EGPW.MI 0.8% 14.3% 7,842 8Gamesa Corp Tecnologica SA GAM SQ B01CP21 GAM.MC NA 14.3% 542 5Solarworld AG SWV GY 5819869 SWVG.DE NA 14.3% 177 1Vestas Wind Systems A/S VWS DC 5964651 VWS.CO NA 14.3% 860 13Wacker Chemie AG WCH GY B11Y568 WCHG.DE 0.3% 14.3% 2,792 9Abertis Infraestructuras SA ABE SQ 4065663 ABE.MC 0.7% 14.3% 11,102 60Aeroports de Paris ADP FP B164FY1 ADP.PA 0.3% 14.3% 7,558 4Atlantia SpA ATL IM 7667163 ATL.MI 0.7% 14.3% 10,675 29Groupe Eurotunnel SA GET FP B292JQ9 GETP.PA 0.5% 14.3% 4,096 6Ferrovial SA FER SM B038516 FER.MC NA 14.3% 10,223 34Fraport AG Frankfurt Airport Services Worldwide FRA GY 7107551 FRAG.DE 0.3% 14.3% 5,038 7Koninklijke Vopak NV VPK NA 5809428 VOPA.AS 0.6% 14.3% 8,951 14Fiat Industrial SpA FI IM B52B4V4 FI.MI 1.2% 20.0% 12,501 42Konecranes OYJ KCR1V FH B11WFP1 KCR1V.HE 0.2% 20.0% 1,989 11MAN AG MAN GY 5563520 MANG.DE 0.5% 20.0% 14,561 24Scania AB SCVB SS B1RDYG2 SCVb.ST 0.8% 20.0% 15,144 23Volvo AB VOLVB SS B1QH830 VOLVb.ST 2.5% 20.0% 28,161 93

EURDefense

STOXX sector

SXN

P

Trucks

Business Services - Cyclical GSSBBUSC EUR

Electrical Equipment

Business Services - Outsourcing & Testing

GSSBELEQ

Machinery

Civil aerospace EUR

Weight Market cap. (US$, mn)

3M ADV (US$, mn)

GSSBTINF EUR

GSSBMACH EUR

GSSBSTAF

EUR

GSSBBSOT EUR

GSSBCIVA

EUR

GSSB

GSSBDEFE

Business Services - Staffing

GSSBRNEW

GSSBTRUC EUR

Transportation - Infrastructure

EURRenewables






Name Ticker Currency Company name Bloomberg SEDOL RIC STOXX GSSBBuzzi Unicem SpA BZU IM 5782206 BZU.MI NA 12.5% 2,078 10Cie de Saint-Gobain SGO FP 7380482 SGOB.PA 11.1% 12.5% 19,170 73CRH PLC CRH ID 0182704 CRH.I 9.0% 12.5% 13,167 22HeidelbergCement AG HEI GY 5120679 HEIG.DE 5.1% 12.5% 9,851 38Holcim Ltd HOLN VX 7110753 HOLN.VX 10.5% 12.5% 21,904 47Lafarge SA LG FP 4502706 LAFP.PA 7.5% 12.5% 16,789 53Wienerberger AG WIE AV 5699373 WBSV.VI NA 12.5% 859 2Wolseley PLC WOS LN B3YWCQ2 WOS.L 1.7% 12.5% 12,396 47Acciona SA ANA SQ 5579107 ANA.MC 1.0% 16.7% 3,316 8Balfour Beatty PLC BBY LN 0096162 BALF.L 1.8% 16.7% 2,604 8Bilfinger Berger AG GBF GY 5117381 GBFG.DE 0.5% 16.7% 4,281 12Hochtief AG HOT GY 5108664 HOTG.DE 0.9% 16.7% 3,720 7Skanska AB SKAB SS 7142091 SKAb.ST 4.3% 16.7% 6,485 21Vinci SA DG FP B1XH026 SGEF.PA 14.6% 16.7% 24,047 75Anglo American PLC AAL LN B1XZS82 AAL.L 14.1% 11.1% 39,091 109Antofagasta PLC ANTO LN 0045614 ANTO.L 2.8% 11.1% 19,552 36BHP Billiton PLC BLT LN 0056650 BLT.L 23.6% 11.1% 179,032 193Boliden AB BOL SS B1XCBX9 BOL.ST 1.6% 11.1% 4,570 33Kazakhmys PLC KAZ LN B0HZPV3 KAZ.L 0.8% 11.1% 5,680 26Lonmin Plc LMI LN 3119248 LMI.L 0.4% 11.1% 1,561 13Norsk Hydro ASA NHY NO B11HK39 NHY.OL 1.5% 11.1% 9,115 17Rio Tinto PLC RIO LN 0718875 RIO.L 15.4% 11.1% 95,446 261Vedanta Resources PLC VED LN 3327706 VED.L 0.7% 11.1% 4,600 17Arcelor Mittal MT NA B03XPL1 ISPA.AS 5.2% 12.5% 24,095 173Outokumpu OYJ OUT1V FH 4665148 OUT1V.HE NA 12.5% 1,313 5Rautaruukki OYJ RTRKS FH 4727662 RTRKS.HE NA 12.5% 870 4Salzgitter AG SZG GY 5465358 SZGG.DE 0.6% 12.5% 2,603 14Ssab Svenskt Stal AB SSABA SS B17H0S8 SSABa.ST 0.4% 12.5% 2,257 26ThyssenKrupp AG TKA GY 5636927 TKAG.DE 1.2% 12.5% 11,205 77Vallourec VK FP B197DR6 VLLP.PA 0.7% 12.5% 5,257 31Voestalpine AG VOE AV 4943402 VOES.VI 1.2% 12.5% 5,074 8Holmen AB HOLMB SS 5036066 HOLMb.ST 0.5% 20.0% 2,394 6Mondi PLC MNDI LN B1CRLC4 MNDI.L 1.3% 20.0% 4,921 8Stora Enso Oyj STERV FH 5072673 STERV.HE 1.3% 20.0% 5,013 19Svenska Cellulosa AB SCAB SS B1VVGZ5 SCAb.ST 2.8% 20.0% 13,756 47UPM-Kymmene Oyj UPM1V FH 5051252 UPM1V.HE 2.0% 20.0% 5,503 21Adidas AG ADS GY 4031976 ADSGn.DE 4.0% 10.0% 17,096 67Beiersdorf AG BEI GY 5107401 BEIG.DE 1.8% 10.0% 19,250 30Electrolux AB ELUXB SS B1KKBX6 ELUXb.ST 1.4% 10.0% 7,517 46Henkel KGaA HEN3 GY 5076705 HNKG_p.DE 3.4% 10.0% 31,086 48Husqvarna AB HUSQB SS B12PJ24 HUSQb.ST 0.5% 10.0% 3,331 12Koninklijke Philips Electronics NV PHIA NA 5986622 PHG.AS 3.3% 10.0% 24,507 78L'Oreal SA OR FP 4057808 OREP.PA 7.2% 10.0% 77,101 90Puma AG Rudolf Dassler Sport PUM GY 5064722 PUMG.DE 0.2% 10.0% 4,158 3Reckitt Benckiser PLC RB/ LN B24CGK7 RB.L 9.3% 10.0% 43,539 76Rexam PLC REX LN 0425045 REX.L 0.8% 10.0% 6,206 17Burberry Group PLC BRBY LN 3174300 BRBY.L 2.0% 11.1% 8,638 50Christian Dior SA CDI FP 4061393 DIOR.PA 1.8% 11.1% 26,701 14Compagnie Financiere Richemont SA CFR VX B3DCZF3 CFR.VX 8.5% 11.1% 39,997 110Hermes International RMS FP 5253973 HRMS.PA 0.7% 11.1% 30,298 9Luxottica Group SpA LUX IM 4800659 LUX.MI 1.4% 11.1% 17,852 35LVMH Moet Hennessy Louis Vuitton SA MC FP 4061412 LVMH.PA 10.2% 11.1% 82,543 135PPR PP FP 5505072 PRTP.PA 5.9% 11.1% 21,978 53Swatch Group AG UHR VX 7184725 UHR.VX 3.2% 11.1% 23,377 75Tod's SpA TOD IM 4643735 TOD.MI 0.2% 11.1% 3,424 12British American Tobacco PLC BATS LN 0287580 BATS.L 24.4% 33.3% 98,877 143Imperial Tobacco Group PLC IMT LN 0454492 IMT.L 9.1% 33.3% 38,349 89Swedish Match AB SWMA SS 5048566 SWMA.ST 1.6% 33.3% 6,717 31Barratt Developments PLC BDEV LN 0081180 BDEV.L 0.7% 14.3% 2,898 12Bellway PLC BWY LN 0090498 BWY.L 0.4% 14.3% 1,885 4Berkeley Group Holdings PLC BKG LN B02L3W3 BKGH.L 0.8% 14.3% 3,121 7Persimmon PLC PSN LN 0682538 PSN.L 0.9% 14.3% 3,685 13Taylor Wimpey PLC TW/ LN 0878230 TW.L 0.7% 14.3% 3,007 10Travis Perkins PLC TPK LN 0773960 TPK.L 0.6% 14.3% 4,252 10Wolseley PLC WOS LN B3YWCQ2 WOS.L 1.7% 14.3% 12,396 47

Weight

EUR

EURPaper & Forest Products GSSBPAPE

Building materials EUR

GSSBCONS EUR

GSSB

Construction

Basic Resources - Mining GSSBMINE EUR


3M ADV (US$, mn)

EUR

Tobacco GSSBTOBA

Luxury goods GSSBLUXG

EUR

UK Homebuilders GSSBUKHO GBP

GSSBBUIL

Basic Resources - Steel GSSBSTEL

Household & Personal Products GSSBHOUS EUR

SXO

P

STOXX sector

SXQ

PSX

PP





Name Ticker Currency Company name Bloomberg SEDOL RIC STOXX GSSBCarrefour SA CA FP 5641567 CARR.PA 6.2% 10.0% 15,641 72Casino Guichard Perrachon SA CO FP 4178419 CASP.PA 2.2% 10.0% 9,790 19Colruyt SA COLR BB 5806225 COLR.BR 1.6% 10.0% 7,614 6Delhaize Group DELB BB 4262118 DELB.BR 1.6% 10.0% 3,552 19J Sainsbury PLC SBRY LN B019KW7 SBRY.L 3.4% 10.0% 10,410 23Kesko OYJ KESBV FH 4490005 KESBV.HE 0.9% 10.0% 3,094 6Koninklijke Ahold NV AH NA 5252602 AHLN.AS 5.4% 10.0% 13,000 42Metro AG MEO GY 5041413 MEOG.DE 1.6% 10.0% 8,855 37Tesco PLC TSCO LN 0884709 TSCO.L 17.7% 10.0% 40,989 104WM Morrison Supermarkets PLC MRW LN 0604316 MRW.L 4.6% 10.0% 9,910 31Celesio AG CLS1 GY 5105182 CLSGn.DE 0.7% 11.1% 3,216 5Hennes & Mauritz AB HMB SS 5687431 HMb.ST 13.5% 11.1% 53,799 77Home Retail Group PLC HOME LN B19NKB7 HOME.L NA 11.1% 1,469 7Inditex SA ITX SQ 7111314 ITX.MC 12.3% 11.1% 79,146 516Jeronimo Martins SGPS SA JMT PL B1Y1SQ7 JMT.LS 1.7% 11.1% 11,106 11Kingfisher PLC KGF LN 3319521 KGF.L 4.8% 11.1% 10,870 32Marks & Spencer Group PLC MKS LN 3127489 MKS.L 4.4% 11.1% 9,837 29Next PLC NXT LN 3208986 NXT.L 4.3% 11.1% 9,349 30PPR PP FP 5505072 PRTP.PA 5.9% 11.1% 21,978 53Bwin.Party Digital Entertainment PLC BPTY LN B53TNH6 BPTY.L 1.3% 16.7% 1,450 5IG Group Holdings PLC IGG LN B06QFB7 IGG.L 2.7% 16.7% 2,556 7Ladbrokes PLC LAD LN B0ZSH63 LAD.L 3.0% 16.7% 2,754 9Lottomatica SpA LTO IM B0V3WR8 LTO.MI NA 16.7% 3,707 11Paddy Power PLC PWL ID 0258810 PAP.I 3.5% 16.7% 3,505 6William Hill PLC WMH LN 3169889 WMH.L 4.0% 16.7% 3,713 14Accor SA AC FP 5852842 ACCP.PA 5.3% 14.3% 6,989 21Carnival PLC CCL LN 3121522 CCL.L 7.7% 14.3% 32,205 25Intercontinental Hotels Group PLC IHG LN B85KYF3 IHG.L 7.2% 14.3% 6,843 27Mitchells & Butlers PLC MAB LN B1FP6H5 MAB.L NA 14.3% 2,125 2TUI AG TUI1 GY 5666292 TUIGn.DE NA 14.3% 2,291 8TUI Travel PLC TT/ LN B1Z7RQ7 TT.L 1.8% 14.3% 4,518 8Whitbread PLC WTB LN B1KJJ40 WTB.L 7.2% 14.3% 6,901 18Air France-KLM AF FP 4916039 AIRF.PA 2.5% 20.0% 2,769 40Deutsche Lufthansa AG LHA GY 5287488 LHAG.DE 3.9% 20.0% 7,307 47International Consolidated Airlines Group SA IAG LN B5M6XQ7 ICAG.L 2.6% 20.0% 5,000 16easyJet PLC EZJ LN B7KR2P8 EZJ.L 2.2% 20.0% 4,113 15Ryanair Holdings plc RYA ID B1GKF38 RYA.I 9.3% 20.0% 9,157 12DSV A/S DSV DC B1WT5G2 DSV.CO 0.6% 20.0% 4,249 10Firstgroup Plc FGP LN 0345217 FGP.L 1.5% 20.0% 1,385 8Go-Ahead Group Plc GOG LN 0375377 GOG.L NA 20.0% 843 1National Express Group PLC NEX LN 0621520 NEX.L 1.2% 20.0% 1,389 2Stagecoach Group PLC SGC LN B6YTLS9 SGC.L 2.0% 20.0% 2,488 3Aegis Group Plc AGS LN B4JV1B9 AEGS.L 1.9% 20.0% 4,359 19Havas SA HAV FP 5980958 EURC.PA 0.7% 20.0% 1,911 2JC Decaux SA DEC FP 7136663 JCDX.PA 0.8% 20.0% 4,712 4Publicis Groupe PUB FP 4380429 PUBP.PA 5.8% 20.0% 11,179 37WPP Group PLC WPP LN B3DMTY0 WPP.L 9.9% 20.0% 16,303 53British Sky Broadcasting Group PLC BSY LN 0141192 BSY.L 7.2% 10.0% 19,926 37Eutelsat Communications SA ETL FP B0M7KJ7 ETL.PA 2.5% 10.0% 6,737 12ITV PLC ITV LN 3398649 ITV.L 3.3% 10.0% 5,876 20Kabel Deutschland Holding AG KD8 GY B4T92J8 KD8Gn.DE 3.5% 10.0% 6,100 12M6-Metropole Television MMT FP 5993901 MMTP.PA NA 10.0% 1,729 2Mediaset SpA MS IM 5077946 MS.MI 0.7% 10.0% 1,914 32Modern Times Group AB MTGB SS B151P43 MTGb.ST 1.0% 10.0% 2,054 12ProSiebenSat.1 Media AG PSM GY 4579131 PSMG_p.DE 1.4% 10.0% 5,882 10SES SESG FP B00ZQQ2 SESFd.PA 5.4% 10.0% 11,006 14Societe Television Francaise 1 TFI FP 5997118 TFFP.PA NA 10.0% 1,811 3Axel Springer AG SPR GY 4647317 SPRGn.DE 1.0% 11.1% 4,098 5Daily Mail & General Trust DMGT LN 0945736 DMGOa.L 1.3% 11.1% 2,773 4Informa PLC INF LN B3WJHK4 INF.L 2.2% 11.1% 3,685 9Lagardere SCA MMB FP 4547213 LAGA.PA 1.7% 11.1% 3,551 8Pearson PLC PSON LN 0677608 PSON.L 9.5% 11.1% 15,841 35Reed Elsevier NV REN NA 4148810 ELSN.AS 6.0% 11.1% 10,463 30Schibsted ASA SCH NO 4790534 SBST.OL 1.8% 11.1% 4,148 6United Business Media PLC UBM LN B2R84W0 UBM.L 1.6% 11.1% 2,720 8Wolters Kluwer NV WKL NA 5671519 WLSNc.AS 3.4% 11.1% 5,514 15

EUR

SXTP

STOXX sector

SXR

PSX

MP

Media - Publishers GSSBMEPU EUR

Media - Broadcasters GSSBMEBR EUR

Media - Advertising EURGSSBMEAD

Transportation - Road & Rail GSSBTRAR

Hospitality & Leisure GSSBHOLR EUR

GSSB

Gaming GSSBGAMI EUR

EUR

Transportation - Airlines GSSBTRAA EUR

Food Retail GSSBFORE EUR

General Retail GSSBGERE


3M ADV (US$, mn)

Weight



European Wavefront baskets

Exhibit 32: Wavefront baskets: What they are and how they work

Source: Goldman Sachs Global ECS Research.

Strategy Description Long Short Expected to Rise … Notes

UK Cyclical Growth (GSTWUKGR)Index designed to be levered to changes in

market expectations of UK economic growthcycle

Group of industries with highleverage to GDP growth, with

an industrial tilt

Group of industries with lessleverage to economic growth

or the cycle

as expectations of UKgrowth improve

UK Housing(GSTWUKHO)

Index designed to be levered to parts of theeconomy sensitive to housing-related andhousehold-durables spending in the UK

Group of industries sensitiveto housing activity and the UK

housing cycle

Group of industries chosen toleave the index neutral to the

broader economic and interestrate cyle

if expectations of housing-related

activity improve

Through its exposure tohousing activity, the baskethas significant sensitivity to

interest rates

UK ConsumerGrowth

(GSTWUKCG)

Index designed to be levered to the UKconsumer cycle, with an explicit directional

growth view

Group of industries with highsensitivity to the UK consumer

spending cycle


or the consumer cycle

as market expectations ofconsumer-led economic

growth rise.

UK ConsumerRotation

(GSTWUKCR)

Index designed to be levered to the consumerspending cycle while remaining neutral to the

overall growth outlook

Group of industries with highsensitivity to the UK consumer

spending cycle


or the cycle

if UK consumer growthexpectations rise relativeto broader cyclical growth

expectations

Industries have been selectedto leave the basket broadlyneutral to the overall growth

cycle

Europe CyclicalGrowth (GSTWEUGR)

Index designed to be levered to changes inmarket expectations of European economic

growth cycle

Group of industries with highleverage to GDP growth, with

an industrial tilt


or the cycle

as expectations of Europe(ex UK) growth improve

Europe ConsumerGrowth (GSTWEUCG)

Index designed to be levered to the Europeanconsumer cycle, with an explicit directional

growth view

Group of industries with highsensitivity to the Europeanconsumer spending cycle


or the consumer cycle

as market expectations ofconsumer-led economic

growth rise in Europe

Europe ConsumerRotation

(GSTWEUCR)

Index designed to be levered to the Europeanconsumer spending cycle while remaining

neutral to the overall growth outlook

Group of industries with highsensitivity to the Europeanconsumer spending cycle


or the cycle

if consumer growthexpectations rise relativeto broader cyclical growth

expectations in Europe

Industries have been selectedto leave the basket broadlyneutral to the overall growth

cycle



Exhibit 33: UK Consumer Growth (GSTWUKCG)


Company Name Index Weight (%) Company Name Index Weight (%)Automobiles & Parts 5.30 Beverages 15.21

Gkn Plc 5.30 Britvic Plc 2.17General Financial 1.62 Diageo Plc 6.79

International Personal Finan 1.62 Sabmiller Plc 6.24General Retailers 22.52 Fixed Line Telecommunications 8.26

Carpetright Plc 0.36 Bt Group Plc 6.11Debenhams Plc 1.67 Colt Group Sa 0.29Halfords Group Plc 1.37 Cable & Wireless Communicati 1.86Kingfisher Plc 5.64 Food & Drug Retailers 10.87Marks & Spencer Group Plc 5.57 Wm Morrison Supermarkets 2.46Mothercare Plc 1.44 Sainsbury (J) Plc 2.81Next Plc 6.48 Tesco Plc 5.60

Household Goods 15.36 Household Goods 6.15Barratt Developments Plc 4.48 Reckitt Benckiser Group Plc 6.15Berkeley Group Holdings 2.34 Media 11.18Bovis Homes Group Plc 0.48 British Sky Broadcasting Gro 5.25Bellway Plc 1.18 Itv Plc 5.93Persimmon Plc 4.86 Mobile Telecommunications 13.49Taylor Wimpey Plc 2.04 Inmarsat Plc 7.02

Support Services 2.07 Vodafone Group Plc 6.47Howden Joinery Group Plc 2.07 Personal Goods 5.66

Technology Hardware & Equipment 0.50 Burberry Group Plc 5.18Spirent Communications Plc 0.50 Pz Cussons Plc 0.48

Travel & Leisure 52.63 Pharmaceuticals & Biotechnology 14.91888 Holdings Plc 0.47 Astrazeneca Plc 7.09Bwin.Party Digital Entertain 1.12 Glaxosmithkline Plc 6.62Carnival Plc 4.68 Hikma Pharmaceuticals Plc 0.35Compass Group Plc 7.63 Shire Plc 0.85Domino'S Pizza Group Plc 0.84 Tobacco 13.26Enterprise Inns Plc 0.93 British American Tobacco Plc 7.65Easyjet Plc 4.04 Imperial Tobacco Group Plc 5.61Greene King Plc 1.13 Travel & Leisure 1.02Intl Consolidated Airline-Di 8.44 Marston'S Plc 1.02Intercontinental Hotels Grou 3.34Wetherspoon (J.D.) Plc 0.21Ladbrokes Plc 2.75Mitchells & Butlers Plc 1.47Millennium & Copthorne Hotel 0.55National Express Group Plc 0.97Punch Taverns Plc 0.21Rank Group Plc 0.51Thomas Cook Group Plc 3.17Tui Travel Plc 2.85William Hill Plc 4.77Whitbread Plc 2.55

UK Consumer Growth Long (GSTCUCGL) UK Consumer Growth Short (GSTCUCGS)



Exhibit 34: UK Consumer Rotation (GSTWUKCR)


Company Name Index Weight (%) Company Name Index Weight (%)Automobiles & Parts 5.30 Aerospace & Defence 21.85

Gkn Plc 5.30 Bae Systems Plc 8.38General Financial 1.62 Chemring Group Plc 0.21

International Personal Finan 1.62 Cobham Plc 3.45General Retailers 22.52 Meggitt Plc 2.83

Carpetright Plc 0.36 Qinetiq Group Plc 0.69Debenhams Plc 1.67 Rolls-Royce Holdings Plc 5.92Halfords Group Plc 1.37 Ultra Electronics Hldgs Plc 0.37Kingfisher Plc 5.64 Chemicals 11.56Marks & Spencer Group Plc 5.57 Croda International Plc 2.29Mothercare Plc 1.44 Johnson Matthey Plc 8.54Next Plc 6.48 Victrex Plc 0.74

Household Goods 15.36 Construction & Materials 5.61Barratt Developments Plc 4.48 Balfour Beatty Plc 4.31Berkeley Group Holdings 2.34 Kier Group Plc 0.29Bovis Homes Group Plc 0.48 Keller Group Plc 0.90Bellway Plc 1.18 Morgan Sindall Group Plc 0.10Persimmon Plc 4.86 Electronic & Electrical Equipment 4.96Taylor Wimpey Plc 2.04 Halma Plc 1.31

Support Services 2.07 Renishaw Plc 0.68Howden Joinery Group Plc 2.07 Spectris Plc 2.97

Technology Hardware & Equipment 0.50 Forestry & Paper 5.50Spirent Communications Plc 0.50 Mondi Plc 5.50

Travel & Leisure 52.63 General Industrials 19.60888 Holdings Plc 0.47 Cookson Group Plc 5.22Bwin.Party Digital Entertain 1.12 Rexam Plc 6.05Carnival Plc 4.68 Smiths Group Plc 8.32Compass Group Plc 7.63 Industrial Engineering 1.40Domino'S Pizza Group Plc 0.84 Rotork Plc 1.40Enterprise Inns Plc 0.93 Mining 3.62Easyjet Plc 4.04 Randgold Resources Ltd 3.62Greene King Plc 1.13 Software & Computer Services 7.95Intl Consolidated Airline-Di 8.44 Aveva Group Plc 2.12Intercontinental Hotels Grou 3.34 Misys Ltd 1.46Wetherspoon (J.D.) Plc 0.21 Sage Group Plc/The 4.37Ladbrokes Plc 2.75 Support Services 16.31Mitchells & Butlers Plc 1.47 Carillion Plc 2.48Millennium & Copthorne Hotel 0.55 Electrocomponents Plc 2.03National Express Group Plc 0.97 Interserve Plc 0.58Punch Taverns Plc 0.21 Mitie Group Plc 1.28Rank Group Plc 0.51 Premier Farnell Plc 2.08Thomas Cook Group Plc 3.17 Rps Group Plc 0.60Tui Travel Plc 2.85 Rentokil Initial Plc 3.01William Hill Plc 4.77 Shanks Group Plc 0.38Whitbread Plc 2.55 Serco Group Plc 3.87

Technology Hardware & Equipment 1.63Laird Plc 1.63

UK Consumer Rotation Long (GSTCUCRL) UK Consumer Rotation Short (GSTCUCRS)



Exhibit 35: UK Housing (GSTWUKHO)


Company Name Index Weight (%) Company Name Index Weight (%) Company Name Index Weight (%)Automobiles & Parts 8.16 Aerospace & Defence 10.87 Life Insurance 20.50

Gkn Plc 8.16 Bae Systems Plc 5.02 Aviva Plc 6.90General Retailers 24.35 Chemring Group Plc 0.27 Legal & General Grou 2.66

Brown (N) Group Plc 1.64 Cobham Plc 1.01 Old Mutual Plc 1.95Carpetright Plc 2.01 Hampson Industries Plc 0.00 Prudential Plc 5.79Dunelm Group Plc 0.16 Meggitt Plc 0.58 Standard Life Plc 2.74Halfords Group Plc 2.18 Qinetiq Group Plc 0.58 St James'S Place Plc 0.46Home Retail Group 10.39 Rolls-Royce Holdings Plc 2.90 Media 9.59Kingfisher Plc 7.96 Ultra Electronics Hldgs Plc 0.51 Daily Mail&General Ts 0.69

Household Goods 48.56 Alternative Energy 0.12 Euromoney Instl Inves 0.07Barratt Developments Plc 7.63 Pv Crystalox Solar Plc 0.12 Hibu Plc 0.02Berkeley Group Holdings 4.43 Chemicals 10.57 Informa Plc 0.90Bovis Homes Group Plc 4.05 Croda International Plc 2.68 Pearson Plc 3.07Bellway Plc 5.60 Elementis Plc 0.25 Reed Elsevier Plc 3.61Persimmon Plc 11.02 Johnson Matthey Plc 6.92 Ubm Plc 1.22Reckitt Benckiser Group Plc 3.15 Victrex Plc 0.72 Mining 10.89Redrow Plc 1.93 Construction & Materials 5.31 Anglo American Plc 2.17Taylor Wimpey Plc 10.75 Balfour Beatty Plc 3.89 Antofagasta Plc 0.55

Media 1.42 Kier Group Plc 0.34 Bhp Billiton Plc 3.99Rightmove Plc 1.42 Keller Group Plc 1.00 Eurasian Natural Res 0.19

Personal Goods 0.45 Morgan Sindall Group Plc 0.09 Kazakhmys Plc 0.27Pz Cussons Plc 0.45 Gas, Water & Multiutilities 15.00 Rio Tinto Plc 2.37

Support Services 17.07 Centrica Plc 5.54 Vedanta Resources P 0.39Travis Perkins Plc 6.63 National Grid Plc 6.32 Nonlife Insurance 2.99Wolseley Plc 10.44 United Utilities Group Plc 3.14 Rsa Insurance Group 2.99

General Industrials 11.32 Support Services 2.86Cookson Group Plc 4.73 Carillion Plc 2.30Smiths Group Plc 6.59 Interserve Plc 0.56

UK Housing Long (GSTCUHOL) UK Housing Short (GSTCUHOS)



Exhibit 36: UK Cyclical Growth (GSTWUKGR)


Company Name Index Weight (%) Company Name Index Weight (%) Company Name Index Weight (%)Aerospace & Defence 0.31 Mining 4.50 Beverages 15.21

Senior Plc 0.31 Aquarius Platinum Ltd 0.44 Britvic Plc 2.17Electronic & Electrical Equipment 4.21 Gem Diamonds Ltd 0.13 Diageo Plc 6.79

Halma Plc 0.73 Hochschild Mining Plc 0.37 Sabmiller Plc 6.24Morgan Crucible Company Plc 0.36 Lonmin Plc 3.57 Fixed Line Telecommunications 8.26Renishaw Plc 0.80 Software & Computer Services 18.49 Bt Group Plc 6.11Spectris Plc 2.32 Aveva Group Plc 1.56 Colt Group Sa 0.29

Forestry & Paper 0.07 Invensys Plc 5.93 Cable & Wireless Communicati 1.86Mondi Plc 0.07 Logica Plc 6.16 Food & Drug Retailers 10.87

General Industrials 11.51 Micro Focus International 0.58 Wm Morrison Supermarkets 2.46Cookson Group Plc 1.71 Misys Ltd 1.04 Sainsbury (J) Plc 2.81Smiths Group Plc 9.79 Sage Group Plc/The 3.24 Tesco Plc 5.60

Industrial Engineering 5.51 Support Services 21.84 Household Goods 6.15Bodycote Plc 0.69 Ashtead Group Plc 0.90 Reckitt Benckiser Group Plc 6.15Fenner Plc 0.32 Bunzl Plc 2.67 Media 11.18Imi Plc 1.19 Filtrona Plc 0.82 British Sky Broadcasting Gro 5.25Rotork Plc 1.49 Northgate Plc 0.36 Itv Plc 5.93Spirax-Sarco Engineering Plc 0.65 Speedy Hire Plc 0.29 Mobile Telecommunications 13.49Weir Group Plc/The 1.16 Sig Plc 0.89 Inmarsat Plc 7.02

Industrial Metals 0.87 Travis Perkins Plc 6.21 Vodafone Group Plc 6.47Ferrexpo Plc 0.87 Wolseley Plc 9.70 Personal Goods 5.66

Industrial Transportation 0.17 Technology Hardware & Equipmen 12.78 Burberry Group Plc 5.18Wincanton Plc 0.17 Arm Holdings Plc 6.33 Pz Cussons Plc 0.48

Media 13.86 Csr Plc 3.71 Pharmaceuticals & Biotechnology 14.91Aegis Group Plc 2.02 Laird Plc 2.08 Astrazeneca Plc 7.09Wpp Plc 11.84 Spirent Communications Plc 0.67 Glaxosmithkline Plc 6.62

Travel & Leisure 5.86 Hikma Pharmaceuticals Plc 0.35Firstgroup Plc 2.98 Shire Plc 0.85Go-Ahead Group Plc 0.77 Tobacco 13.26Stagecoach Group Plc 2.11 British American Tobacco Plc 7.65

Imperial Tobacco Group Plc 5.61Travel & Leisure 1.02

Marston'S Plc 1.02

UK Cyclical Growth Short (GSTCUGRS)UK Cyclical Growth Long (GSTCUGRL)



Exhibit 37: EU Consumer Growth (GSTWEUCG)


Company Name Index Weight (%) Company Name Index Weight (%) Company Name Index Weight (%) Company Name Index Weight (%)Automobiles & Parts 16.17 Media 6.10 Beverages 25.01 Health Care Equipment & Services 13.61

Bayerische Motoren Werke Ag 2.78 Lagardere S.C.A. 1.64 Anheuser-Busch Inbev Nv 6.98 Coloplast-B 2.56Daimler Ag-Registered Shares 4.31 Reed Elsevier Nv 2.42 Carlsberg As-B 4.18 Essilor International 6.26Valeo Sa 3.91 Sanoma Oyj 0.41 C&C Group Plc 0.06 Fresenius Medical Care Ag & 4.79Michelin (Cgde) 2.47 Wolters Kluwer 1.63 Heineken Nv 5.81 Mobile Telecommunications 6.00Nokian Renkaat Oyj 1.09 Personal Goods 8.96 Heineken Holding Nv 2.07 Deutsche Telekom Ag-Reg 2.34Porsche Automobil Hldg-Prf 0.58 Beiersdorf Ag 1.15 Pernod-Ricard Sa 5.91 Mobistar Sa 2.28Renault Sa 0.85 L'Oreal 5.36 Chemicals 2.66 Telenor Asa 0.52Peugeot Sa 0.19 Oriflame Cosmetics Sa-Sdr 0.46 Bayer Ag-Reg 2.66 Tele2 Ab-B Shs 0.19

Banks 0.12 Puma Se 1.99 Fixed Line Telecommunications 6.16 Teliasonera Ab 0.67Banco De Valencia Sa 0.02 Software & Computer Services 6.59 Belgacom Sa 0.24 Pharmaceuticals & Biotechnology 13.95Valiant Holding Ag-Reg 0.10 Atos 1.78 Elisa Oyj 0.13 Meda Ab-A Shs 0.07

Construction & Materials 0.97 Cap Gemini 4.00 France Telecom Sa 1.51 Merck Kgaa 0.29Ferrovial Sa 0.97 Indra Sistemas Sa 0.81 Hellenic Telecommun Organiza 0.31 Novartis Ag-Reg 4.68

General Retailers 17.04 Support Services 0.05 Koninklijke Kpn Nv 0.62 Novo Nordisk A/S-B 1.06Arcandor Ag 0.01 Grafton Group Plc-Uts 0.05 Swisscom Ag-Reg 0.32 Roche Holding Ag-Genusschein 4.69Hennes & Mauritz Ab-B Shs 6.24 Technology Hardware & Equipment 4.01 Telefonica Sa 3.03 Sanofi 2.90Inditex 4.94 Alcatel-Lucent 0.39 Food & Drug Retailers 17.74 Stada Arzneimittel Ag 0.10Ppr 5.85 Ericsson Lm-B Shs 1.08 Koninklijke Ahold Nv 4.88 Ucb Sa 0.17

Household Goods 8.32 Nokia Oyj 2.54 Carrefour Sa 4.71 Tobacco 4.89Electrolux Ab-Ser B 5.26 Travel & Leisure 21.92 Casino Guichard Perrachon 2.18 Swedish Match Ab 4.89Husqvarna Ab-B Shs 3.06 Accor Sa 5.38 Colruyt Sa 1.88

Industrial Transportation 9.74 Air France-Klm 3.32 Delhaize Group 1.68Rieter Holding Ag-Reg 1.78 Deutsche Lufthansa-Reg 2.25 Kesko Oyj-B Shs 0.87Kloeckner & Co Se 2.98 Ryanair Holdings Plc 2.24 Metro Ag 1.54Abertis Infraestructuras Sa 0.11 Sodexo 5.99 Food Producers 9.98Adp 2.39 Tui Ag 2.74 Danone 1.68Fraport Ag 2.48 Csm 0.16

Kerry Group Plc-A 0.26Lindt & Spruengli Ag-Reg 0.19Nestle Sa-Reg 5.33Unilever Nv-Cva 2.36

EU Consumer Growth Long (GSTCECGL) EU Consumer Growth Short (GSTCECGS)



Exhibit 38: EU Consumer Rotation (GSTWEUCR)


Company Name Index Weight (%) Company Name Index Weight (%) Company Name Index Weight (%)Automobiles & Parts 19.04 Aerospace & Defence 10.51 Financial Services 0.39

Bayerische Motoren Werke Ag 2.58 Eads Nv 6.09 Wendel 0.39Continental Ag 4.09 Thales Sa 2.32 Forestry & Paper 9.04Daimler Ag-Registered Shares 4.00 Mtu Aero Engines Holding Ag 0.93 Holmen Ab-B Shares 0.89Valeo Sa 3.63 Zodiac Aerospace 1.16 Stora Enso Oyj-R Shs 3.56Michelin (Cgde) 2.28 Alternative Energy 0.82 Upm-Kymmene Oyj 4.59Nokian Renkaat Oyj 1.00 Global Pvq Se 0.05 General Industrials 9.54Porsche Automobil Hldg-Prf 0.52 Renewable Energy Corp Asa 0.44 Orkla Asa 0.84Renault Sa 0.77 Solarworld Ag 0.33 Koninklijke Philips Elec 3.44Peugeot Sa 0.17 Automobiles & Parts 0.16 Siemens Ag-Reg 5.26

Banks 0.10 Rheinmetall Ag 0.16 Industrial Engineering 0.78Banco De Valencia Sa 0.02 Chemicals 33.55 Outotec Oyj 0.23Valiant Holding Ag-Reg 0.08 Air Liquide Sa 4.83 Sgl Carbon Se 0.55

Construction & Materials 0.89 Akzo Nobel 4.59 Personal Goods 4.71Ferrovial Sa 0.89 Basf Se 6.20 Svenska Cellulosa Ab- 4.71

General Retailers 15.83 Clariant Ag-Reg 0.78 Pharmaceuticals & Biotechnolog 1.17Arcandor Ag 0.01 Koninklijke Dsm Nv 5.50 Novozymes A/S-B Sha 1.17Hennes & Mauritz Ab-B Shs 5.80 Givaudan-Reg 1.75 Software & Computer Services 8.15Inditex 4.58 Linde Ag 4.82 Dassault Systemes Sa 0.99Ppr 5.44 Lanxess Ag 0.74 Sap Ag 6.19

Household Goods 7.71 Solvay Sa 1.39 Wincor Nixdorf Ag 0.97Electrolux Ab-Ser B 4.88 Symrise Ag 0.78 Support Services 0.55Husqvarna Ab-B Shs 2.83 Umicore 1.62 Bilfinger Se 0.33

Industrial Engineering 1.65 Wacker Chemie Ag 0.55 Royal Imtech Nv 0.22Rieter Holding Ag-Reg 1.65 Construction & Materials 12.55 Technology Hardware & Equipment 0.76

Industrial Metals 2.76 Acs Actividades Cons Y Serv 0.66 Neopost Sa 0.76Kloeckner & Co Se 2.76 Acciona Sa 0.39

Industrial Transportation 5.09 Koninklijke Bam Groep Nv 0.23Abertis Infraestructuras Sa 0.09 Boskalis Westminster 0.42Adp 2.70 Vinci Sa 4.98Fraport Ag 2.30 Bouygues Sa 2.83

Media 5.62 Fomento De Construc Y Contra 0.13Lagardere S.C.A. 1.51 Flsmidth & Co A/S 0.49Reed Elsevier Nv 2.24 Hochtief Ag 0.37Sanoma Oyj 0.37 Sika Ag-Br 1.03Wolters Kluwer 1.51 Skanska Ab-B Shs 0.69

Personal Goods 8.29 Yit Oyj 0.33Beiersdorf Ag 1.06 Electronic & Electrical Equipment 7.33L'Oreal 4.98 Legrand Sa 0.70Oriflame Cosmetics Sa-Sdr 0.42 Nexans Sa 0.54Puma Se 1.84 Schneider Electric Sa 6.09

Software & Computer Services 6.10Atos 1.64Cap Gemini 3.71Indra Sistemas Sa 0.75

Support Services 0.06Grafton Group Plc-Uts 0.06

Technology Hardware & Equipment 3.71Alcatel-Lucent 0.36Ericsson Lm-B Shs 0.99Nokia Oyj 2.37

Travel & Leisure 23.15Accor Sa 5.00Air France-Klm 3.07Deutsche Lufthansa-Reg 2.07Opap Sa 2.85Ryanair Holdings Plc 2.07Sodexo 5.57Tui Ag 2.52

EU Consumer Rotation Long (GSTCECRL) EU Consumer Rotation Short (GSTCECRS)



Exhibit 39: EU Cyclical Growth (GSTWEUGR)


Company Name Index Weight (%) Company Name Index Weight (%) Company Name Index Weight (%)Alternative Energy 0.75 Industrial Metals 10.82 Beverages 24.78

Gamesa Corp Tecnologica Sa 0.19 Acerinox Sa 0.12 Anheuser-Busch Inbev Nv 6.87Vestas Wind Systems A/S 0.56 Kloeckner & Co Se 2.76 Carlsberg As-B 4.19

Automobiles & Parts 7.59 Arcelormittal 2.89 C&C Group Plc 0.06Bayerische Motoren Werke Ag 0.53 Norsk Hydro Asa 4.38 Heineken Nv 5.79Daimler Ag-Registered Shares 2.02 Outokumpu Oyj 0.13 Heineken Holding Nv 2.06Valeo Sa 3.62 Rautaruukki Oyj 0.11 Pernod-Ricard Sa 5.80Porsche Automobil Hldg-Prf 0.48 Ssab Ab-A Shares 0.18 Chemicals 2.66Rheinmetall Ag 0.08 Salzgitter Ag 0.26 Bayer Ag-Reg 2.66Renault Sa 0.72 Industrial Transportation 5.45 Fixed Line Telecommunications 6.20Peugeot Sa 0.15 Dsv A/S 5.45 Belgacom Sa 0.24

Chemicals 14.61 Media 5.97 Elisa Oyj 0.13Arkema 7.93 Jc Decaux Sa 1.03 France Telecom Sa 1.52Akzo Nobel 1.19 Publicis Groupe 4.94 Hellenic Telecommun Organiza 0.31Basf Se 4.50 Personal Goods 2.14 Koninklijke Kpn Nv 0.63Lanxess Ag 0.34 Svenska Cellulosa Ab-B Shs 2.14 Swisscom Ag-Reg 0.32Solvay Sa 0.64 Software & Computer Services 6.22 Telefonica Sa 3.04

Construction & Materials 4.98 Dassault Systemes Sa 0.45 Food & Drug Retailers 17.57Assa Abloy Ab-B 1.17 Sap Ag 5.77 Koninklijke Ahold Nv 4.82Geberit Ag-Reg 0.93 Support Services 0.06 Carrefour Sa 4.59Kingspan Group Plc 0.08 Grafton Group Plc-Uts 0.06 Casino Guichard Perrachon 2.23Compagnie De Saint-Gobain 2.80 Technology Hardware & Equipment 9.38 Colruyt Sa 1.90

Electronic & Electrical Equipment 0.35 Alcatel-Lucent 0.33 Delhaize Group 1.68Hexagon Ab-B Shs 0.27 Asml Holding Nv 6.49 Kesko Oyj-B Shs 0.86Nkt Holding A/S 0.08 Ericsson Lm-B Shs 0.96 Metro Ag 1.50

Financial Services 0.18 Nokia Oyj 1.59 Food Producers 10.05Wendel 0.18 Danone 1.69

Forestry & Paper 4.12 Csm 0.16Holmen Ab-B Shares 0.41 Kerry Group Plc-A 0.26Stora Enso Oyj-R Shs 1.62 Lindt & Spruengli Ag-Reg 0.20Upm-Kymmene Oyj 2.09 Nestle Sa-Reg 5.39

General Industrials 7.42 Unilever Nv-Cva 2.35Orkla Asa 0.39 Health Care Equipment & Services 13.62Koninklijke Philips Electron 2.53 Coloplast-B 2.53Siemens Ag-Reg 3.69 Essilor International 6.19Thyssenkrupp Ag 0.82 Fresenius Medical Care Ag & 4.90

Industrial Engineering 19.96 Mobile Telecommunications 6.01Abb Ltd-Reg 3.60 Deutsche Telekom Ag-Reg 2.34Alfa Laval Ab 0.26 Mobistar Sa 2.28Alstom 1.10 Telenor Asa 0.54Atlas Copco Ab-A Shs 0.64 Tele2 Ab-B Shs 0.19Cargotec Oyj-B Share 0.06 Teliasonera Ab 0.66Fischer (Georg)-Reg 0.08 Pharmaceuticals & Biotechnology 14.18Gea Group Ag 0.29 Meda Ab-A Shs 0.08Konecranes Oyj 0.21 Merck Kgaa 0.29Kone Oyj-B 0.32 Novartis Ag-Reg 4.82Man Se 0.66 Novo Nordisk A/S-B 1.07Metso Oyj 0.23 Roche Holding Ag-Genusschein 4.72Oc Oerlikon Corp Ag-Reg 0.99 Sanofi 2.95Rieter Holding Ag-Reg 1.63 Stada Arzneimittel Ag 0.10Sandvik Ab 0.90 Ucb Sa 0.16Schindler Holding-Part Cert 0.58 Tobacco 4.93Scania Ab-B Shs 2.05 Swedish Match Ab 4.93Skf Ab-B Shares 0.41Sulzer Ag-Reg 0.22Tognum Ag 0.09Vallourec 0.60Volvo Ab-B Shs 4.67Wartsila Oyj Abp 0.36

EU Cyclical Growth Long (GSTCEGRL) EU Cyclical Growth Short (GSTCEGRS)



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© 2012 Goldman Sachs.

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