In the latest Goldman Sachs Prime Brokerage report analysts discussed estimates regarding long/short funds performance, the state of the net and gross leverage, and the landscape of the global market. They studied the impact of the Japanese market downturn as the major event that triggered several trends in the last week.
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Equity Fundamental Long/Short Down While Systematic Is On The Rise
According to GS estimates between 8/2 and 8/8 fundamental long/short equity funds fell -1.34%. The fallout came as a result of negative beta reaching -1.47% as a result of market exposure and sensitivity. The positive alpha of +0.13% that came on the back of long book gains partially offset these negatives.
