Citco Monthly Hedge Fund Update

July 2024

The Citco Group
Originally published on 03 August 2024

Full Report

Citco Monthly Hedge Fund Update – July 2024

Executive Summary

Performance

Hedge fund performance remained buoyant in July with two-thirds of fund strategies in positive territory. There was an uptick in performance across the majority of strategy types when compared to June – with the exception of Commodities and Equities.

The overall weighted average return for funds administered by the Citco group of companies (Citco) came in at 0.6% in July, a slight increase from the 0.4% seen in June – maintaining the positive streak for consecutive months.

The top performing strategies in July were Fixed Income Arbitrage and Multi-Strategy, with weighted average returns of 1.4% and 1.0% respectively, closely followed by Global Macro at 0.9%.

Overall, 64.1% of funds achieved positive performance in July, a healthy increase from 55% in the previous month.

Citco

Following on from a strong performance from Equity strategies in June, with a weighted average return of 1.5%, there was a significant drop in July to just 0.1%. Meanwhile, Commodities and Event Driven funds remained in negative territory at -1.8% and -0.4%, respectively.

In contrast, assets under administration (AUA) categories were all positive in July. Funds between $1-$3B of AUA took the lead with a weighted average return of 1.1%, closely followed by funds in the $200-$500M of AUA range at 0.8%, and funds with less than $200M of AUA at 0.6%.

The largest funds with more than $3B of AUA dropped slightly from the previous month to achieve a weighted average of 0.5% in July. And lastly, funds in the $500M-$1B of AUA bucket edged back into the positive range at 0.1%.

Overall, 64.1% of funds achieved positive performance in July, a healthy increase from 55% in the previous month. And even more positively, the rate of return spread – the difference between the 90th and 10th percentile fund returns – also continued to widen marginally for the second month-in-a-row, from 7.2% in June to 7.7% in July.

Capital Flows

Capital flows into hedge funds administered by Citco turned positive in July, with the second highest level of net inflows seen so far this year. Getting the third quarter underway, hedge funds saw net inflows of $3.3B overall in July, with subscriptions of $10B ahead of redemptions of $6.7B. This took net inflows year-to-date to $3.1B.

Multi-Strategy funds were the focal point of activity in July; they saw the biggest net inflows, at $2.3B, reversing much of the previous month’s outflows, as subscriptions of $4.5B outweighed redemptions of $2.2B. Equity funds also saw net inflows of $0.8B, followed by Fund of Funds at $0.2B. Most other strategies were also positive, with Global Macro, Arbitrage and Event Driven funds also seeing $0.1B of net inflows, while Emerging Markets was the only strategy to see net outflows at $0.1B. Hybrid funds, which had seen the most net inflows prior to July, were flat as subscriptions of $2.1B matched redemptions at the same figure. Year-to-date they continue to stand out from other strategies, having seen net inflows of $8.2B, well ahead of all other strategies.

On an Assets under Administration (AUA) basis, all categories saw net inflows in July after a quarter end of net outflows in June.

The largest funds with more than $10B of AUA saw the highest net inflows of $1.8B, followed by the smallest funds with less than $1B of AUA which came in at $0.7B. Funds with between $5B-$10B of AUA were next, with net inflows of $0.5B, while funds with between $1B-$5B came in at $0.2B. On a year-to-date basis, funds with between $5B-$10B still have the highest net inflows, at $4.4B, far ahead of other categories.

Funds in the Americas and Europe both saw net inflows in July, at $1.9B and $1.6B respectively, while funds in Asia had net outflows of $0.2B. That pattern is mimicked on a YTD basis, with inflows of $3.5B and $3.6B for the Americas and Europe respectively, and net outflows of $4B for Asia. Current projections point to a spike in inflows in the remaining months of Q3, but with the quarter only one month old this is subject to change.

1.09%

Hedge funds achieved an overall weighted average return of 1.09% in the second quarter, marking a seventh consecutive quarter of positive returns.

Citco 2024 Q2 Hedge Fund Report

Hedge funds achieved an overall weighted average return of 1.09% in the second quarter, marking a seventh consecutive quarter of positive returns, while Q2 also saw a return to net inflows for the first time since early 2022. While overall performance was significantly below the returns seen in Q1, the gains in Q2 took the overall weighted average return year-to-date (YTD) to 7.62%, with 80.2% of funds administered by Citco achieving positive returns so far in 2024.

Global Macro and Equity funds stood out in Q2, with weighted average returns of 2.26% and 2.25%, to take their YTD performance to 7.45% and 10.86% respectively. Commodity, Fixed Income Arbitrage and Multi-Strategy funds were also positive in Q2, with weighted average returns of 1%, 0.53% and 0.09%. This took YTD returns for Commodities to 3.66%, with Fixed Income Arbitrage at 0.8%, and Multi-Strategy at 5.93%.

In Q2, hedge funds saw their first quarterly net inflows since the start of 2022, with inflows in April and May outweighing June’s outflows. In total, hedge funds had net inflows of $4.7B in Q2, with subscriptions of $50.3B outweighing redemptions of $45.6B. This was driven by net inflows of $6.6B and $7.1B in April and May respectively, which more than countered outflows of $8.9B.

To read the full report please click here.

Full Report

Citco Monthly Hedge Fund Update – July 2024