Goldman Sachs Prime Services Monthly First Look July 2026

Prime Insights & Analytics Global Banking & Markets Prime Services

July 2026: First Look on Hedge Fund Performance and Positioning

Prepared by Prime Brokerage. In evaluating this material, you should know that it could have been previously provided to other clients and/or internal Goldman Sachs personnel, who could have already acted on it. The views or ideas expressed here are those of the desk and/or author only and are not an official view of Goldman Sachs; others at Goldman Sachs may have opinions or may express views that are contrary to those herein. This material is not independent advice and is not a product of Global Investment Research. This material is a solicitation of derivatives business generally, only for the purposes of, and to the extent it would otherwise be subject to, CFTC Regulations 1.71 and 23.605. All references to “we/us/our” refer to the views and observations of the desk unless specified otherwise.

Erin Tolar Vincent Lin, CFA, FRM Marco Laicini, PhD Freddie Parker, CFA

Performance Estimates: 1 Global Fundamental L/S managers experienced their second-worst monthly drawdown in the last four years. Fundamental L/S 1 asset weighted returns -4.3% in July vs. MSCI TR +0.51% • On an asset weighted basis, global Fundamental L/S total returns fell -4.3% in July, driven by both alpha and beta losses. This month’s performance drawdown was the second largest in the last 4 years (only behind March 2026).

• Excluding beta, global Fundamental L/S funds alpha finished -2.5%, driven mostly by long side losses. This month’s alpha drawdown was the largest since January ’22.

• From a factor perspective, Medium-Term Momentum, Info Tech, and Volatility were among the largest alpha detractors to Fundamental L/S returns in July, which were partially offset by gains from Asset Selection, Health Care, and Long Crowdedness.

• Asia L/S managers experienced the most performance pain in July and were down -15.2%, which was the worst monthly drawdown on our record, while US L/S managers finished -2.9% and Europe L/S managers finished roughly in line with the broader market (+0.5%). YTD, Asia, US, and Europe L/S returns now stand at +22.2%, +8.8%, and +7.4%, respectively.

• TMT L/S funds lost -10.1% in July, the worst monthly drawdown since Apr ’22 (though still up +13.7% YTD), while Health Care L/S funds finished -2.5% (still up +8.2% YTD).

• The equally weighted average and median Fundamental L/S returns for July finished at +0.81% and -1.86%, respectively, suggesting larger managers underperformed on the month. YTD average and median Fundamental L/S returns now stand at +11.0% and +3.5%, respectively.

Systematic L/S 1 asset weighted returns +2% in July • Systematic L/S returns (our proxy for quant performance) rose +2.0% in July based on our estimates, driven by alpha of +1.12% and beta of +0.92%.

• From a factor perspective, Asset Selection, Long Crowdedness, and Short-Term Momentum factors were among the largest alpha contributors to Systematic L/S returns in July, which were partially offset by losses from Medium-Term Momentum, Domestic China, and Short Crowdedness.

Fundamental L/S Systematic L/S MSCI TR Long Alpha Short Alpha Net Alpha 20% 13%

-10% -3% Jan-26 Feb-26 Mar-26 Apr-26 May-26 Jun-26 Jul-26 Jan-26 Feb-26 Mar-26 Apr-26 May-26 Jun-26 Jul-26 Asset Weighted Returns: L/S Managers Asset Weighted Returns: Fundamental L/S

Source: Goldman Sachs Prime Services data as of 31-Jul-26. Past performance is not indicative of future results. All references to "we/us/our" refer to the views and observations of the desk. 1

MSCI Global Fundamental L/S (Weighted Average) Systematic L/S (Weighted Average) TR Total Beta Alpha Total Beta Alpha Jul '26 0.51% -4.31% -1.84% -2.48% 2.04% 0.92% 1.12% Q2 '26 13.80% 18.44% 7.99% 10.45% 4.79% 0.52% 4.27% Q1 '26 -3.57% -1.02% -1.74% 0.71% 6.49% 0.62% 5.86% 2026 YTD 10.74% 13.10% 4.42% 8.69% 13.31% 2.06% 11.25% 2025 21.09% 16.24% 7.71% 8.53% 19.11% 0.54% 18.57% 2024 18.67% 12.76% 4.41% 8.35% 19.89% 1.84% 18.05%

MSCI Global Fundamental L/S Total Returns TR Weighted Avg Simple Avg 25th Percentile Median 75th Percentile Dispersion* Jul '26 0.51% -4.31% 0.81% -8.76% -1.86% 2.92% 11.68% 2026 YTD 10.74% 13.10%…