Goldman is closing its North American Equity Opportunities Fund, according to a source familiar with the fund. The source says the fund is one of many quantitative funds that made arbitrage bets in a bid to exploit inefficiencies in the market. These bets have been hammered in a market buckled by worries about liquidity.
A call to Goldman spokesman Peter Rose in New York was not immediately returned, and an assistant fielding the call was unable to comment.
The person familiar with the North American fund says it has been losing value steadily, with July proving to be the source of the most carnage.The news comes as Goldman Sachs has spent recent days denying scuttlebutt that the $10 billion Global Alpha Fund was liquidating. Global Alpha, which has been down by more than 16% on the year according to Bloomberg, and North American Equity are both run in part by Mark Carhart. Published reports pegged losses at Goldman's Alpha fund at more than 12% in the past few weeks. Alpha was created in order to provide returns that are not tied to indices such as the Standard & Poor's 500. Extreme volatility has caused many funds executing similar strategies to incur losses. Reports have suggested that Alpha has been shedding assets in order to meet margin calls, but its size and the liquidity of its portfolio have allowed it to stay afloat. At a much smaller $500 million under management, the equity fund has had a tougher time weathering the credit storm.