Hedge Fund October Performance And Positioning

Earlier, we looked at the broader market positioning and found that with just two months left to go in the year, despite a modest bullish bias - framed as CTA selling "under every scenario" offset by a powerful wave of looming stock buybacks - traders were best described as "fatigued." We also showed the various criteria that Goldman's trading desk used to asses current market positioning and technicals. 

In this post we take a closer look at how hedge funds did in the month of October according to the latest Goldman Prime Brokerage analysis (full report available to pro subs) and how they are positioned for the rest of the year.

Performance: On an asset weighted basis, global Fundamental L/S total returns rose +1.75% in October (now up +13.86% YTD). Excluding beta, global Fundamental L/S funds experienced positive alpha returns for a 16th consecutive month (+0.55%), driven entirely by short side gains (+0.94%) partially offset by long side losses (-0.39%). Fundamental L/S alpha returns were down as much as -0.52% on a MTD basis thru Oct 22nd but staged a sharp rebound into month-end.