Equity market neutral funds that look to exploit short-term inefficiencies in stock markets have experienced their worst two-day period on record this week, as rumours continued to circulate about Goldman Sachs' flagship Global Alpha fund after the bank's share price fell 5% in just one hour yesterday.

Data from Hedge Fund Research shows equity market neutral funds lost 1.15% on Monday and were down another 0.57% on Tuesday, which makes it the worst performing strategy this week.