New data from the Citco group of companies (Citco), the leading asset-servicer with $2 trillion in assets under administration (AUA), reports that hedge fund performance dipped by a marginal -0.4% in October 2024. This follows a strong run of positive returns that stretched back to May.
All in all, hedge funds administered by Citco have achieved an overall weighted average return of 10.6% in 2024 to date.
Highlights:
- Global Macro funds led the way with a weighted average return of 1%. This was followed by Fixed Income Arbitrage funds at 0.7% and Equity strategies at 0.4%.
- Asset under administration categories were all marginally negative in October, with an overall weighted average return of -0.4%. Mid-sized funds, with between $200-500M and $500-1B were the best performers, each with -0.2%.
- Commodities driven funds were the biggest underperformers, with a -2.5% weighted average return. Followed by Multi-Strategy (-1.3%) and Event Driven funds (-0.6).
- Over half of funds were in positive territory (51%).
- Rate of return speed showed greater disparity as difference between 90th and 10th percentile fund returns widened to 8.2%.
- Hedge funds saw net inflows of $0.9 billion in October. There were strong subscriptions of $11.4 billion compared to $10.5 billion in redemptions.
- Monthly Treasury payment volumes reached a new record high in October with 55,161 treasury payments, well ahead of the previous peak of 52,650 seen in July.
- Regional capital flow: Funds in the Americas ($1.1B) and Europe ($0.3B) both saw positive net inflows in October; with a net outflow of $0.5B in Asia.
Executive Summary
Performance
Hedge fund performance dipped marginally in October, ending a strong run of positive returns that stretched back to May, as a number of strategy types experienced declines.
Hedge funds administered by the Citco group of companies (Citco) saw an overall weighted average return of -0.4%, marking only the second negative month of performance this year. Despite the dip in October, year-to-date (YTD) the overall weighted average return remains in double-figures, at 10.6%.
Commodities strategies delivered the lowest performance for the month, with a weighted average return of -2.5%, while Multi-Strategy and Event Driven funds were also in negative territory, at -1.3% and -0.6% respectively.
However, a number of strategies continued to make gains. Global Macro strategies were the top performers in October, with a weighted average return of 1%, followed by Fixed Income Arbitrage funds at 0.7%, and Equity strategies at 0.4%. Equity funds have now enjoyed a 6-month winning streak, the last negative month coming in April of this year.
All assets under administration (AUA) categories were marginally negative in October, bringing to an end a multi-month run of positive returns. The smallest funds with below $200M of AUA had the lowest weighted average return, at -0.7%, followed by the biggest funds with more than $3B of AUA at -0.4%. Funds with between $1-3B of AUA were next, at -0.3%, while funds with between $500M-$1B of AUA, and with between $200M-$500M of AUA, both came in at -0.2%.
Overall, 51% of funds were in positive territory for the month, a sharp drop from the 74.3% seen in September.
Meanwhile, the rate of return spread – the difference between the 90th and 10th percentile fund returns – widened out to 8.2%, showing greater disparity of returns in October.
Capital Flows
Flows into hedge funds turned positive again in October, getting the fourth quarter off to a solid start and building on the momentum seen for much of Q3.
Subscriptions of $11.4B were ahead of redemptions of $10.5B, to give overall net inflows of $0.9B. In total, funds have seen $2.8B of net inflows YTD.
At a strategy level, Hybrid funds were once again positive, with net inflows of $1.1B, while Arbitrage and Funds of Funds both had smaller net inflows of $0.2B, and Event Driven funds came in at $0.1B. Multi-Strategy funds saw the most activity in October, with $5.6B of subscriptions, but this was countered by the same amount of redemptions, to leave them flat for the month. Nonetheless, YTD they have been one of the more popular strategies, with net inflows of $4.8B. Emerging Market strategies were also flat in October.
Equity strategies, which suffered the biggest net outflows in September, had a small net outflow of $0.3B in October, while Global Macro strategies had net outflows of $0.4B.
On an Assets under Administration (AUA) basis, funds with between $1B-$5B of AUA saw further net inflows of $2.3B in October, building on recent momentum to take them to $5.1B YTD. The $5B-$10B AUA category also saw net inflows of $0.3B, keeping them in top spot YTD at $5.3B. Meanwhile, the largest funds with more than $10B of AUA had net outflows of $1.4B in October, while the smallest funds with less than $1B of AUA had muted net outflows of $0.2B.
Regionally, in October funds in the Americas reversed some of the quarter-end outflows, with net inflows of $1.1B, followed by Europe at $0.3B, while Asia saw net outflows of $0.5B.
Citco Q3 Hedge Fund Report
Hedge funds recorded their eighth successive quarter of positive returns in Q3 2024, with funds achieving an overall weighted average return of 3.22%, taking them into double figures year-to-date.
The overall weighted average return YTD for funds administered by Citco was 11.03% as at end of September, with 83% of funds in positive territory for the year.
Hedge funds saw net inflows of $1.1B overall in Q3, building on the $4.7B seen in Q2, as net inflows of $4.2B in July and August outweighed September's net outflows.
To read more insights from the report, please click here.
Performance
See the full report here.
About the Citco group of companies (Citco)
The Citco group of companies (Citco) is a network of independent companies worldwide. These companies are leading providers of asset-servicing solutions to the global alternative investment industry. With $2 trillion in assets under administration and operations spanning across 36 countries, Citco’s unique culture of innovation and client-driven solutions have provided Citco’s clients with a trusted partner for more than four decades.
