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#1
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from a major investment bank that deals with hedge funds (in a private email...this was not published):
Yesterday saw broad market declines in US equity and bond markets, triggered initially by 9% decline in Chinese markets. We looked this morning at the impact on our US-based long-short equity clients and found the following averages: - Yesterday cost our clients on average 180bps of performance, driven primarily by decline of 350bps on their long positions - Clients short positions saved them, generating 411bps of return and capping clients losses at 52% of the broader market losses (S&P lost 347 bps) - Yesterday's losses reduced clients MTD performance from 250bps to 65bps - Losses were fairly evenly dispersed across all strategies. - Interestingly, "market neutral" funds lost 92bps despite - Net and gross exposures were down only slightly on the day, suggesting that clients did not dramatically change their exposures intra-day. |
#2
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SM:
It will be interesting to see if one fund or prop desk was overly long China and gets wacked. M |
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