The Goldman Sachs Global Opportunities Fund, a $3.2bn hedge fund, declined in October after a bet on a rise in interest rates went bad.
The fund, which invests based on cues from Goldman's asset-management unit's fixed-income team, took a position that interest rates would rise.
However, when that did not happen, the fund declined 5.6%, unnamed sources told Bloomberg.
Pursued by the news agency, Andrea Raphael, a spokeswoman for the US-based bank did not comment on the fund's performance.
The Global Opportunities Fund, that has counted former US presidential contestant Mitt Romney among its investors, is a relative value pool that bets on rising and falling prices in the global fixed-income and forex markets.
The fund is overseen by Jonathan Beinner, co-head of global fixed income at Goldman Sachs Asset Management, and Samuel Finkelstein, head of macro strategies within the fixed-income team, according to a regulatory filing.
The fund has declined 2.6% in the 10 months through October.
In October, the US banking group was reportedly considering launching a new infrastructure fund.
Reuters reported that the New-York based bank's plans were tentative and that the new fund could have a global focus, with investments in a variety of infrastructure assets such as airports, power grids and toll roads.
Goldman Sachs's assets under management in alternative investments rose to about $146bn (£93bn, €117bn) as of 30 September, from $144bn a year ago.
The Global Opportunities Fund had assets worth $3.2bn as of June. It has generated a net internal rate of return of 9.1% since its inception in 2001.