Goldman Sachs Prime Brokerage: Systematic Funds Hit Hard In Last Week’s Trading

According to Goldman Sachs's Prime Brokerage equity fundamental long/short performance fell -0.67% between 19 and 25 July when compared to -2.47% of MSCI World. These results were driven by a beta of 1.29% while alpha finished positive with 0.62% on the back of long side gains.

Equity systematic long/short estimates rose by 1.25% during last week driven by alpha (+1.10%) from the long side gains and beta 0.14%.

From the last report, fundamental funds were 1.7% in July, while systematic funds were in the red with negative -2.1% gains.

This week's overall book gross leverage went to 273.2% (-3.2 pts) and net leverage is at 74.8% (-0.7 pts). Overall book long/short ratio grew 0.1% to 1.752. Fundamental long/short...