According to analysis of hedge fund performances conducted by Goldman Sachs during September Fundamental long/short asset weighted returns reached +2.2%. When compared to the MSCI TR benchmark +1.83% gains, hedge funds outperformed.
Fundamental L/S performances were driven by beta gains coming from market exposure and sensitivity. Some of the gains also came from alpha. These performances contributed to total YTD Fundamental L/S gains reaching 11.4%.
Alpha finished September with +0.73% driven entirely by positive long-side alpha (+1.19%). Short-side losses offset gains by -0.46%.
When looking at specific factors for positive alpha generation, clear standouts are China, Asset Selection, the Consumer Discretionary sector, volatility, and long concentration. US...
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