GS Challenging Hedge Fund Performance amid Momentum; AI sell off

We see challenging performance across hedge fund strategies today.

As of noon EST, we are tracking Fundamental L/S down 1.3%, Systematic L/S down 1.0% and Multi-Strats down 1.7%.

We have to look back to March 2020 (COVID sell-off) for the last time all three strategies were down more than 1% on the same day.

• Fundamental L/S down 1.3% (alpha: -0.9%), down 5.9% MTD but still up 11.6% YTD. Today's underperformance primarily across US and Asia with alpha losses driven by the broad momentum sell-off and losses from Korean stocks.

• Systematic L/S down 1.0% today, up 0.5% MTD and up 11.8% YTD. Losses were seen across all regions, with momentum the primary factor driving the losses.

• Multi-Strats (equity portfolio) down 1.7% today, down 5.4% MTD but still up 11.9% YTD. Losses primarily from Asian exposure. From a factor standpoint momentum drove the losses.

Fundamental L/S momentum exposure has come roughly down to start of the year levels, still in 89th percentile vs. past five years.

Systematic L/S exposure to momentum (who are short the losers) sits in 34th percentile vs. past five years.

Yesterday on 27th July, our overall book saw largest de-grossing since September 2025 (-3 SD) driven primarily by de-grossing in single names.

Single names saw the largest de-grossing since March 2025 and was led by de-grossing in Info Tech names (AI/Momentum). All sectors barring Energy and all regions saw hedge funds cutting gross.