Hedge Fund Returns Down -0.6% In August 2022

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The monthly Hedge Fund Report for April 2022 from the Citco group of companies (Citco), the asset servicer with $1.8 trillion in assets under administration (AuA).

Executive Summary

Hedge fund performance dipped marginally in August, with funds in the Equities and Multi-Strategy categories seeing declines in performance which countered gains made by most other types of strategy.

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Q2 2022 hedge fund letters, conferences and more

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In a partial reversal of the positive start to the quarter, the overall weighted average return for hedge funds administered by the Citco group of companies (Citco) came in at -0.6%,
down from the 3% seen in July.

Equities, one of the strongest performers last month, posted weighted average returns of -0.8%, while Multi-Strategy came in at -1.4%. All other strategies posted positive returns, with Event Driven leading the pack with 3.5%, followed by Commodities at 1.8%, Global Macro at 1.6% and Fixed income Arbitrage at 0.1%.

On an AUA basis, the largest funds also weighed on the overall group, with the $3B+ category seeing a weighted average return of -1.9%, and the smallest funds with less than $200m recording performance of -0.2%.

The gap between this month’s overall weighted average return of -0.6% and the median return of 0.2% further evidenced the worse performance in larger funds.

With performance more mixed overall compared to the previous month, it was no surprise to see 56.5% of funds had positive returns in August, down from 69.9% of funds in July.

Capital Flows

August saw overall activity dip marginally compared to July in line with previous years, as we entered one of the quieter months for capital activity.

In a reverse from last month, redemptions of $6.4B marginally outweighed subscriptions of $5.9B, resulting in net redemptions of $0.5B overall.

The largest funds in the $10B+ category saw the highest net redemptions of $1.3B, followed by funds in the $5-10B category which saw marginal net redemptions of $0.1B. However, funds with $1-5B saw net subscriptions of $0.9B.

Strategies were mixed, with either marginal net redemptions or subscriptions, bar Multi-Strategy and Equities. Multi-Strategy funds were popular, with subscriptions of $0.7B, while Equities once again saw redemptions, this time totaling $1.5B.

On a regional basis, the Americas saw net subscriptions of $0.3B, while in a copy of the previous month, Asia and Europe saw small net redemptions of $0.2B and $0.6B respectively.

For future trade dates, the end of Q3 is currently showing redemptions of $14.2B, and $10.2B for dates further out.

Citco Funds Swing Into Positive In July – Citco Covered In City AM

Last month, in an article in City AM, Citco’s latest monthly hedge fund update was reported on.

Looking at the figures for the first month of the third quarter, it reported on how Citco saw performance in the funds it administers swing back into positive territory in July.

As stated in the report from Citco, City AM noted that volatility had kept July busier than usual this year, but despite this the amount of investors pulling their cash from funds had remained subdued, with inflows of $8.6B and redemptions of $7.4bn – resulting in net subscriptions of $1.2bn.

Our Services

Once again this month 100% of our staff remain approved to work from our offices, with all 41 of our locations around the globe fully open, something we are very pleased about. As always, we continue to follow guidelines around the world and adjust our office staffing policies accordingly, while our global team enjoys the positive working environment and culture of Citco companies.

In August, 100% of client deliverables were achieved, with 96% of SLA’s hit on time, totaling some 2,898 specific service goals.

Performance

Hedge Fund Returns

Overview of Investor Flows

Hedge Fund Returns

Hedge Fund Returns

Insights into Trade Volumes

Hedge Fund Returns

The increasing trade volume trend seen throughout the middle of the year was finally broken in August, although processing volumes are still very high relative to 2021. Daily average volume was down 9% month-over-month, but 11.5% higher than the same period last year.

Volatility rose steadily in the second half of August but as a monthly average, volatility was still the lowest so far in 2022. We also saw no significant shift in trading patterns throughout the month.

Last month, we pointed out an increase that was amplified by trading in crypto and digital assets in a small selection of funds. This trend started to cool off in August and was the main contributor towards the drop-off relative to July.

Our trade ingestion STP rate for the period remained healthy at 98.7%.

Insights into Payments, Treasury and Collateral

Hedge Fund Returns

Volumes and overall activity in the treasury space continue to be elevated as we move through the third quarter of the year. There has been no summer slowdown and the numbers tell the story.

When comparing August 2022 against the same month the previous year, we have seen an increase in volumes of over 37%. The key driver is clients are moving more cash around to capture this new rate environment we are in, and the question now being asked is how much higher will rates go?

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Image and article originally from www.valuewalk.com. Read the original article here.

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