Quantitative Investing

Ibbotson Asset Allocation Conference

Robert Litterman
March, 2008
 Clearly Articulated Investment Beliefs Should
Drive Investment Strategy

Our Investment Beliefs (an example)

1) There is only one basic source of long run wealth creation, the growth of
the economy.

2) In equilibrium the investment portfolios of all individuals should reflect

that source of wealth. The portfolios would all have weights proportional to
market capitalizations which would reflect the economy’s expected future
productive capacity.

3) The world is clearly (given, among other indications, the diversity of

portfolios) not in equilibrium.

4) The market as a whole has shown itself to be subject to extended

periods of overreaction. Nonetheless, capital markets are competitive, and
though not entirely efficient, are becoming more efficient over time.
 Clearly Articulated Investment Beliefs Should
Drive Investment Strategy (continued)

Our Investment Beliefs (an example)

5) Deviations from equilibrium provide opportunities for some disciplined

investors with superior skills and information and typically a longer than
average investment horizon to outperform the market return on a risk
adjusted basis.

6 ) The key to superior investment performance is superior fundamental

research through which we can identify disequilibrium phenomena.

7) Systematically capturing returns from such phenomena requires rigorous

objective research, state of art risk measurement and portfolio construction,
efficient trading, and patience.
Risk Is a Scarce Resource

Risk provides the energy that creates returns

However, risk also creates the opportunity for losses

Losses should be limited in a bad scenario

Thus, risk appetite is limited

How much pain is too much?

Imagine a very bad economic scenario:

• Equity markets decline globally by 50%
• This decline reflects extensive defaults and depressed economic
activity for several years

In this environment long term investors should be increasing their

allocation to equity.

Will the investor be able to?

How much can an individual afford to lose? (10%, 20%, …?)

The answer to this question is the most important determinant of long

term asset allocation.
 An Optimal Portfolio

Maximizes return for a given level of risk

For illustrative purposes only.

 The Mathematics of Risk & Return

The Utility Function (Expected Return) is Linear

A B

The Constraint Function (Risk) is Nonlinear

(And Depends on the Correlation of Returns)

C
B
A

correlation = .6

correlation = .2

correlation = -.2
A = Old Portfolio B = New Investment C = New Portfolio
Different Levels of Portfolio Aggregation
Can Highlight Different Dimensions of Risk

In understanding the sources of risk and return at times it may be

useful to focus on:
• Each cash flow
• Individual securities

However, the most important determinants are:

• Asset class allocations
• Factors driving overall valuations
 In particular, beta, the exposure to global market returns
When Is a Portfolio Optimal?

A portfolio is optimal when, at the margin the following ratio is

identical for each asset or other investment activity:

Change in Expected Excess Return

Change in Portfolio Risk

Why Should This Be True?

If not, the fund can be improved:

• Take funds from the lowest (per unit of contribution to portfolio
risk) returning activity
• Move funds into a higher returning activity
• Adjust cash to keep portfolio risk constant
 Focus on the Risk / Return Frontier
Portfolio Expected Return

Portfolio Risk
For illustrative purposes only.
The Bottom Line

Ultimately there is a risk budget

Every decision depends on:

• Expected excess return
• And the marginal impact on portfolio risk

Efficient allocations require this ratio to be the same at every

margin
Quantitative Models Measure Marginal
Contribution to Risk

The marginal contribution to risk of each asset

• Depends on:
 The covariance of that asset with every other asset
 The amounts invested in each asset
• Can be calculated given:
 Portfolio holdings
 Volatilities and correlations
The Marginal Risk Contribution Determines
“Implied Views”

If a portfolio is optimal, the implied expected excess returns must

be proportional to the marginal contribution to portfolio risk

We refer to these expected excess returns for which the portfolio is

optimal as the “implied views” of the portfolio

We call this a “risk based” approach to asset allocation because

risk is measurable and risk measurement implies a set of views for
which any portfolio is optimal.

Are those implied views reasonable?

Implied Views Guide Behavior

If these “implied views” conform with current expectations

• Portfolio structure is appropriate

Otherwise
• Adjustments should be made to increase expected portfolio
return
 Consider increasing investments in assets with expected
returns above the implied views; decreasing those below
Equilibrium Theory provides
a neutral starting point for Expected Returns
 Modern Investment Management
An Equilibrium Approach

A book by Bob Litterman and 22 Goldman Sachs

Asset Management investment professionals

A re-examination of investment strategy with a focus on alpha vs. beta

• Institutional investors are adjusting to an environment of low interest rates and reduced expected returns from
equities.

• What does the equilibrium theory suggest?

 There are Three Fundamental
Sources Of Portfolio Return

Sources of Total Return in a $1 Million Portfolio:

1 Real Risk Free Rate

Risk free rate = 4.5%

$ 45,000

2 Market Risk Premium

20% Equity Allocation 70% Equity Allocation

0.82% ER 2.58% ER Beta
3.6% Vol 9.6% Vol

$ 8189 $ 25,779

3 Active Manager Return

100% Indexed 1.5% Tracking Error

Alpha
0.0% ER at IR = 0.5

$0 $ 7500

For illustrative purposes only.

And Three Sources of Portfolio Risk

Interest rate risk, usually from liabilities:

• Uncompensated risk
• Can be hedged via derivatives or bonds

Market risk:

• Basically available for free (no fees)

• Has relatively low expected return per unit of risk

Active risk:

• Uncorrelated risk implies low impact on portfolio risk

• Skill-based
• Opportunities require deviations from equilibrium
• Active management fees
Which Risks Should Be Compensated?

An answer was provided by the capital asset pricing model: an

equilibrium model
When all investors maximize expected return subject to a risk
constraint and markets are efficient
Expected excess return (the equilibrium risk premium) is
proportional to the beta of an asset
Why?
• Beta measures the marginal impact of increasing asset weight
on the risk of the market portfolio
Why Focus on Equilibrium?

The world is not “in equilibrium”

The academic theory is nonetheless relevant for investors
Deviations from equilibrium provide opportunities
But investors taking advantage of these opportunities push the
capital markets back toward equilibrium and greater efficiency
So the equilibrium framework helps investors to identify
opportunities…it provides the hurdle rate, the required expected
return for taking additional risk
 Equilibrium Expected Excess Returns

There are several versions of Global CAPM Equilibrium

We focus on a particularly simple one: Fischer Black’s “Universal Hedging”

• An assumption on risk aversion determines:
 A constant degree of currency hedging
 A risk premium or excess return on all assets
• Fischer’s model is calibrated to long run market returns
 Forward Looking Equilibrium Risk Premia Lead to
Better Behaved Optimal Asset Allocations

Equilibrium risk premia justify market capitalization portfolio weights

Asset Class Market Equilibrium Risk
Capitalization Premium
US Equity 23.7% 3.53%
Non-US Developed Equity 26.3% 3.51%
Non-China Emerging Equity 4.8% 4.08%
China Equity 0.9% 4.51%
Global Fixed Income 42.5% 0.03%
High Yield 1.7% 1.27%
Private Equity 0% 4.69%
Real Estate 0% 2.63%
Hedge Funds 0% 0.48%
Market Cap above as of Sept 30th , 2007.
All numbers reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic long-term assumptions are
subject to high levels of uncertainty regarding future economic and market factors that may affect future performance. They are
hypothetical indications of a broad range of possible returns. Please see p68 for a summary of the assumptions.
Expected returns are estimates of hypothetical average returns of economic asset classes derived from statistical models. There can be
no assurance that these returns can be achieved. Actual returns are likely to vary. Please see additional disclosures.
 Current Estimates of Global CAPM
Equilibrium Risk Premia

5.00%

4.50%
All numbers reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic long-term assumptions are
subject to high levels of uncertainty regarding future economic and market factors that may affect future performance. They are
hypothetical indications of a broad range of possible returns. Please see p68 for a summary of the assumptions.
Expected returns are estimates of hypothetical average returns of economic asset classes derived from statistical models. There can be
no assurance that these returns can be achieved. Actual returns are likely to vary. Please see additional disclosures.
Strategic Asset Allocation provides
a long term neutral anchor for
fund investment policy
Steps toward a Strategic Asset Allocation

Specify the liability structure or fund objective: e.g. maximize real

wealth creation

Determine a risk tolerance

Start with global equilibrium risk premia

Tilt in the direction of long-term views

Optimize
 The Equity Allocation Drives the Overall Level of Risk

Market Capitalization Weights Risk¹ Decomposition

1 The risk decomposition is the contribution of each asset class to the total portfolio variance.
All numbers reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic long-term assumptions
are subject to high levels of uncertainty regarding future economic and market factors that may affect future performance. They are
hypothetical indications of a broad range of possible returns. Please see p68 for a summary of the assumptions.
For illustrative purpose only
Black-Litterman Model combines
Market Equilibrium with Investor Views
Incorporating Views In Portfolios
Step 1. Define What a View Is

A simple view:
• UST yields will decline 50 bps in six months
• Equivalently the Expected Return µ UST = 3.3%

If the view is uncertain:

µ UST = 3.3% + ε UST

where
µ UST = Expected Return
ε UST = Uncertainty in the Expected Return
ε UST ∼ N ( 0, σ ) σ Measures Uncertainty
Incorporating Views In Portfolios
Step 2. Create a General Representation

A more complicated view:

• Globally bonds will outperform stocks by about 3%
• Equivalently: µ FI - µ MSCI = 3.0% + ε

• Or: (1, -1) * (µ FI ,µ MSCI ) = 3.0% + ε

• In general a view is represented as:

pv * µ = q + ε

where the weights pv define the “view” portfolio.

Views Can Reflect Long-Run or Short-Run
Opportunities

In forming a Strategic Benchmark, views should reflect long-term

deviations from equilibrium

Examples:
• Emerging markets will outperform developed markets
• Infrastructure returns will exceed their beta
• Excess returns to commodities will be positive
Tactical Views

In forming a Tactical Asset Allocation, views should reflect short-

term deviations from equilibrium

Examples:
• Global stock markets will outperform global bond markets by
only 2 percent this year (a relatively bearish view on stocks)
• Real estate will underperform US equities by 5 percent this year
• Chinese equities will outperform other emerging markets by 5
percent this year
Incorporating Views in Portfolios
Step 3. The Black-Litterman Model

Start with neutral expected returns derived from the global CAPM
equilibrium

Add a set of views:

p1 * µ = q1 + ε 1 ε 1 ∼ N ( 0, σ 1 )

p2 * µ = q2 + ε 2 ε 2 ∼ N ( 0, σ 2 )

p3 * µ = q3 + ε 3 ε 3 ∼ N ( 0, σ 3 )

Black-Litterman combines the views with equilibrium and provides

as output

µ BL = Black-Litterman Expected Returns

 An Example: Using the Black-Litterman model

In this example there are nine assets.

We start with the equilibrium risk premia -- a set of expected excess returns that are
for each asset proportional to the beta of that asset with the global market portfolio:
Asset Class Symbol Volatility Equilibrium Risk
Premium
China Equity C 35.7% 4.51%

US Equity US 14.5% 3.53%

Non-US Developed Equity DE 14.3% 3.51%

Non-China Emerging Equity EE 22.0% 4.08%

Global Fixed Income GFI 3.0% 0.03%

High Yield HY 8.4% 1.27%

Private Equity PE 20.9% 4.69%
Real Estate RE 16.0% 2.63%
Hedge Fund Portfolio HF 3.6% 0.48%
All numbers reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic long-term assumptions are
subject to high levels of uncertainty regarding future economic and market factors that may affect future performance. They are
hypothetical indications of a broad range of possible returns. Please see p68 for a summary of the assumptions.
Expected returns are estimates of hypothetical average returns of economic asset classes derived from statistical models. There can be
no assurance that these returns can be achieved. Actual returns are likely to vary. Please see additional disclosures.
 Equilibrium Risk Premia Provide a Reasonable
Starting Point for Asset Allocation Exercises

Equilibrium Expected
Excess Returns

Optimizer maximizes expected 7%

return for a given level of risk

6%
Implies Market
Capitalization
Weights

Market Cap above as of Sept 30th, 2007. 45%

5%
All numbers reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic long-term assumptions are
subject to high levels of uncertainty regarding future economic and market factors that may affect future performance. They are
hypothetical indications of a broad range of possible returns. Please see p68 for a summary of the assumptions.
Expected returns are estimates of hypothetical average returns of economic asset classes derived from statistical models. There can be
no assurance that these returns can be achieved. Actual returns are likely to vary. Please see additional disclosures.
Suppose you have the view described below.
How would you adjust your expected returns?

1. Global stock markets will outperform global bond markets by

only 2 percent this year

One approach is to make adjustments directly to the

expected excess returns that drive an asset allocation
exercise.
Another approach is to use the Black-Litterman Global Asset
Allocation Model.
 The direct adjustment of expected excess returns
is a complex and often frustrating exercise

5.0%

4.5%
Equilibrium expected returns above reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic
long-term assumptions are subject to high levels of uncertainty regarding future economic and market factors that may affect future
performance. They are hypothetical indications of a broad range of possible returns. Please see p68 for a summary of the assumptions.
Expected returns are estimates of hypothetical average returns of economic asset classes derived from statistical models. There can be
no assurance that these returns can be achieved. Actual returns are likely to vary. Please see additional disclosures.
For illustrative purposes only.
 The optimal portfolio does something strange:
It allocates 10 percent to real estate

?
70%
Market Cap above as of Sept 30th, 2007. For illustrative purposes only.
 The Black-Litterman Model converts the views into a
set of consistent expected excess returns…

One not entirely

obvious implication of

5.0%
stocks doing poorly is
that real estate is
likely to do less well

4.5%
Equilibrium expected returns above reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic
long-term assumptions are subject to high levels of uncertainty regarding future economic and market factors that may affect future
performance. They are hypothetical indications of a broad range of possible returns. Please see p68 for a summary of the assumptions.
Expected returns are estimates of hypothetical average returns of economic asset classes derived from statistical models. There can be
no assurance that these returns can be achieved. Actual returns are likely to vary. Please see additional disclosures.
For illustrative purposes only.
 One can also specify higher or lower degrees of
confidence in a view

5.0%

4.5%
Equilibrium expected returns above reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic
long-term assumptions are subject to high levels of uncertainty regarding future economic and market factors that may affect future
performance. They are hypothetical indications of a broad range of possible returns. Please see p68 for a summary of the assumptions.
Expected returns are estimates of hypothetical average returns of economic asset classes derived from statistical models. There can be
no assurance that these returns can be achieved. Actual returns are likely to vary. Please see additional disclosures.
For illustrative purposes only.
 The Black-Litterman expected excess returns
lead to a well behaved optimal portfolio

70%

Market Cap above as of Sept 30th, 2007. For illustrative purposes only.
 In fact, in the simplest context the deviations from
the market cap portfolio are the view portfolio

The bearish equity view is expressed in the Black-Litterman model as the following equation:
1.7%*C + 42.6%*US + 47.2% * DE + 8.6% * EE = GFI + 2.0

14.00%
For illustrative purposes only.
More generally, the Black-Litterman model
allocates risk to a combination of view portfolios

In the absence of:

• A benchmark
• Constraints
• Transactions costs

The optimal portfolio is a linear combination of the market and

the view portfolios
PBL = λ 0 x M + λ 1 x p1 + λ 2 x p2 + λ 3 x p3
 Where is the Value Added?

In this simplest context the optimal portfolio is intuitive and obvious:

• Tilt away from the market portfolio
• Tilt toward an optimal combination of the view portfolios which we call the OTP,
or “Optimal Tilt Portfolio”
• Black-Litterman determines these optimal weights

• The value added also shows up in more complex environments

 When transactions costs matter
 Or when there are constraints
 In more complicated contexts the optimal portfolio
is not so obvious

Here we show the optimal portfolio, based on three views, and with
and without a constraint on the allocation to Private Equity

When private equity

60%
is constrained the
allocations to public
equity increase

Market Cap above as of Sept 30th, 2007. For illustrative purposes only.
The Role of Active Management
 Adding Active Risk Can Dramatically Shift the
Portfolio Frontier Upward

Excess Volatility Sharpe

Return (%) (%) Ratio
Original Portfolio (50% equity) 1.7 8.1
Additional Market Risk (25% equity) 0.8 3.9
Benefit from Diversification – (0.2)
New Portfolio 2.5 11.8 0.21 Sharpe
Ratio
improves
Original Portfolio (50% equity) 1.7 8.1 with the
1.5% Active Risk (assumed IR = 0.5) .7 1.5 addition of
market
Benefit from Diversification – (1.4)
independen
New Portfolio 2.4 8.2 0.29 t return

Adding exposure to active risk can boost long-run expected

returns without meaningfully increasing fund volatility.

Note: Simulated performance results do not reflect actual trading and have certain inherent limitations. Please see appendix for further disclosures.
 Active risk typically makes a very small
contribution to overall portfolio volatility

12%

For illustrative purposes only.

Simulated performance results do not reflect actual trading and have inherent limitations. Please see additional disclosures.
 The Active Risk Puzzle:
Why do funds have such modest expectations?

Allocations to
Optimal Risk Allocations Reveal Modest IR Expectations
active risk of
typical funds
range between 9.00% Volatility = 9.0%
Optimal Allocation to Active Risk

50 and 200 8.00%

basis points
7.00%
Volatility = 6.0%
6.00%
5.00%
4.00%
3.00%
2.00%
1.00%
0.00%
0 0.1 0.2 0.3 0.4 0.5 0.6
Source: Goldman Sachs Asset Management.
Aggregate Active Risk Information Ratio

Possible Explanations:
• Funds may be unsure of their ability to select skilled managers
For illustrative purposes only.
• Career risk
Simulated performance results
do not reflect actual trading • Governance restrictions
and have inherent limitations.
Please see additional • Active risk and strategic asset allocation have historically been linked
disclosures.
Alternative investments encompass a diverse range of
strategies and are a good source of active risk

Private Equity

Real Estate

Hedge Funds

Commodities

Overlays such as GTAA (Global Tactical Asset Allocation) and

Active Currency Management
What Makes Alternative Investments Attractive?

Attributes of Alternative Investments include:

• Historically attractive absolute returns versus traditional asset
classes
• Lower correlations that can provide protection in bear markets
• Therefore may provide excess returns above the equilibrium
hurdle rate
Appendix
 Strategic Long-Term Assumptions
Risk and Return characteristics

All tracking error assumptions reflect GSAM Global Investment Strategies estimates for above-average active managers and are based
on a historical study of the results of active management [see Active Risk Budgeting in Action: Evaluating Historical Characteristics of
Traditional Managers by Yoel Lax, Tarun Tyagi, and Kurt Winkelmann (GSAM Strategic Research, October 2003)], which is available

Asset Class
upon request. Expected returns are estimates of hypothetical average returns of economic asset classes derived from statistical
models. There can be no assurance that these returns can be achieved. Actual returns are likely to vary. Please see additional
disclosures. All numbers reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic long-term
assumptions are subject to high levels of uncertainty regarding future economic and market factors that may affect future performance.
They are hypothetical indications of a broad range of possible returns. Please see additional disclosures.
Strategic Long-Term Assumptions
Correlations

All numbers reflect GSAM Global Investment Strategies strategic assumptions as of a certain date. Strategic long-term
assumptions are subject to high levels of uncertainty regarding future economic and market factors that may affect future
performance. They are hypothetical indications of a broad range of possible returns. Please see additional disclosures.
 Appendix

The currency market affords investors a substantial degree of leverage. This leverage presents the potential for
substantial profits but also entails a high degree of risk including the risk that losses may be similarly substantial. Such
transactions are considered suitable only for investors who are experienced in transactions of that kind. Currency
fluctuations will also affect the value of an investment.

Emerging markets securities may be less liquid and more volatile and are subject to a number of additional risks,
including but not limited to currency fluctuations and political instability.

High-yield, lower-rated securities involve greater price volatility and present greater credit risks than higher-rated fixed
income securities.

An investment in real estate securities is subject to greater price volatility and the special risks associated with direct
ownership of real estate.

The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.

Indices are unmanaged. The figures for the index reflect the reinvestment of dividends but do not reflect the deduction of
any fees or expenses which would reduce returns. Investors cannot invest directly in indices.

References to indices, benchmarks or other measures of relative market performance over a specified period of time are
provided for your information only and do not imply that the portfolio will achieve similar results. The index composition
may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects
appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
 Appendix

There may be conflicts of interest relating to the Alternative Investment and its service providers, including Goldman Sachs
and its affiliates, who are engaged in businesses and have interests other than that of managing, distributing and otherwise
providing services to the Alternative Investment. These activities and interests include potential multiple advisory,
transactional and financial and other interests in securities and instruments that may be purchased or sold by the
Alternative Investment, or in other investment vehicles that may purchase or sell such securities and instruments. These
are considerations of which investors in the Alternative Investment should be aware. Additional information relating to
these conflicts is set forth in the offering materials for the Alternative Investment.

Past performance is not indicative of future results, which may vary. The value of investments and the income derived from
investments can go down as well as up. Future returns are not guaranteed, and a loss of principal may occur.

Effect of Fees

The following table provides a simplified example of the effect of management fees on portfolio returns. Assume a portfolio
has a steady investment return, gross of fees, of 0.5% per month and total management fees of 0.05% per month of the
market value of the portfolio on the last day of the month. Management fees are deducted from the market value of the
portfolio on that day. There are no cash flows during the period. The table shows that, assuming all other factors remain
constant, the difference increases due to the compounding effect over time. Of course, the magnitude of the difference
between gross-of-fee and net-of-fee returns will depend on a variety of factors, and this example is purposely simplified.

Gross Net
Period Return Return Differential
1 year 6.17% 5.54% 0.63%
2 years 12.72 11.38 1.34
10 years 81.94 71.39 10.55
 Appendix

Alternative Investments such as hedge funds are subject to less regulation than other types of pooled investment
vehicles such as mutual funds, may make speculative investments, may be illiquid and can involve a significant use
of leverage, making them substantially riskier than the other investments. An Alternative Investment Fund may incur
high fees and expenses which would offset trading profits. Alternative Investment Funds are not required to provide
periodic pricing or valuation information to investors. The Manager of an Alternative Investment Fund has total
investment discretion over the investments of the Fund and the use of a single advisor applying generally similar
trading programs could mean a lack of diversification, and consequentially, higher risk. Investors may have limited
rights with respect to their investments, including limited voting rights and participation in the management of the
Fund.

Alternative Investments by their nature, involve a substantial degree of risk, including the risk of total loss of an
investor's capital. Fund performance can be volatile. There may be conflicts of interest between the Alternative
Investment Fund and other service providers, including the investment manager and sponsor of the Alternative
Investment. Similarly, interests in an Alternative Investment are highly illiquid and generally are not transferable
without the consent of the sponsor, and applicable securities and tax laws will limit transfers.

Strategic Long Term Assumptions

The data regarding strategic assumptions has been generated by GSAM for informational purposes. As such data is
estimated and based on a number of assumptions; it is subject to significant revision and may change materially with
changes in the underlying assumptions. GSAM has no obligation to provide updates or changes. The strategic long-
term assumptions shown are largely based on proprietary models and do not provide any assurance as to future
returns. They are not representative of how we will manage any portfolios or allocate funds to the asset classes.
 Appendix

These examples are for illustrative purposes only and are not actual results. If any assumptions used do not prove to
be true, results may vary substantially.

This material is provided for educational purposes only and should not be construed as investment advice or an offer
or solicitation to buy or sell securities.

Simulated Performance

Simulated performance is hypothetical and may not take into account material economic and market factors that
would impact the adviser’s decision-making. Simulated results are achieved by retroactively applying a model with
the benefit of hindsight. The results reflect the reinvestment of dividends and other earnings, but do not reflect fees,
transaction costs, and other expenses, which would reduce returns. Actual results will vary.
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM
to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be
subject to change, they should not be construed as investment advice.

Opinions expressed are current opinions as of the date appearing in this material only. No part of this material may,
without GSAM’s prior written consent, be (i) copied, photocopied or duplicated in any form, by any means, or (ii)
distributed to any person that is not an employee, officer, director, or authorized agent of the recipient.
Copyright © 2007, Goldman, Sachs & Co. All rights reserved.