When it comes to hedge funds, I often think of Winston Churchill's quote about Britain's then-ally against Germany: "I cannot forecast to you the action of Russia. It is a riddle, wrapped in a mystery, inside an enigma."

But occasionally, a ray of light is shed on their activities. Last month, I wrote about the 20 most commonly held stocks by hedge funds as disclosed in a Goldman Sachs report by the bank's chief U.S. equity strategist, David Kostin.

Among other things, the list showed that more than 105 hedge funds owned shares in Apple (Nasdaq: AAPL), making it the most widely held stock by hedge funds -- which isn't necessarily surprising when you consider that it's the second-largest publically traded company by market capitalization and its share price has doubled in the last two years. It's also gotten off to a strong start in 2012, coming off what was likely a strong holiday season for the iPhone and iPad maker.

This month, we look at the 10 most popular hedge fund stocks by the size of their aggregate holdings. Notably, both the first and last positions on the list are inhabited by natural gas pipeline companies.

First on the list is El Paso (NYSE: EP), which returned 82.1% in 2011 due in large part to a mid-October price spike accompanying rival Kinder Morgan's (NYSE: KMI) acquisition announcement. Together, the two companies will make up the largest midstream energy company in North America.

And last on the list is Williams (NYSE: WMB), the Oklahoma-based natural gas transporter that owns and operates a 10,000-mile natural gas pipeline extending from Texas and Louisiana up to the Northeastern seaboard. Its share price took a dive earlier this month after Swiss bank UBS cut its rating on the company to neutral from buy.

Stock

Amount Held (Billions)

2011 Returns

Add to My Watchlist
El Paso $3.5 82.1% Add
Motorola Solutions $3.2 26.3% Add
Sears Holdings (Nasdaq: SHLD) $3.2 (18.2%) Add
Motorola Mobility Holdings $3.1 34% Add
Autozone $2.9 20.5% Add
News Corp. $2.7 21% Add
AutoNation $2.5 28% Add
Accenture $2.3 21.8% Add
Anadarko Petroleum $2.2 7.1% Add
Williams $2.2 33% Add

Source: Bloomberg Markets magazine, "The World's 100 Richest Hedge Funds."

As you can see, the only stock on the list to record a negative return is Sears Holdings, the parent company of Kmart and Sears. The stock, owned in large part by Bruce Berkowitz's Fairholme Capital, took a steep dive a month ago after the company reported that it will close at least 100 stores after a disappointing holiday season.

Foolish bottom line
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