Hedge funds administered by the Citco group of companies (Citco) achieved a weighted average return of 0.01% overall in the third quarter, to push year-to-date (YTD) returns to 8.12%, with global macro (3.07%) and fixed income arbitrage funds leading the way (3.02%).
Commodities funds were also among the best performers over the quarter with an average return of 1.85%.
The gains mark a significant improvement for global macro and commodities funds YTD, although weighted average returns are still negative at -1.67% and -2.57% respectively YTD. Fixed income arbitrage funds’ consistent performance throughout 2023 means their weighted average returns now stand at 8.61% YTD.
Multi-strategy and equities funds meanwhile, saw muted losses of -0.06% and -0.5%, but they remain the top two performers so far in 2023 with returns of 10.22% and 9.84%, respectively.
AUA categories were more mixed in Q3, as funds with between $500m-$1bn achieved weighted average returns of 1.41%, followed by the $200m-$500m category at 0.9%, while all other categories saw small declines. All AUA categories remain positive YTD.
The largest funds with more than $3bn of assets remain the best performers, at 10.29%, followed by the $500m-$1Bbn category at 8.07%. Funds with between $200m-$500m meanwhile, continue to enjoy a better spell of performance and are now the third best performers in terms of AUA YTD at 6.48%. Funds with between $1bn and $3bn of assets have dipped down YTD to 5.58%, while the smallest funds with assets below $200m continue to trail the rest, with a weighted average return of 1%.
Capital Flows were once again negative in Q3, with net outflows of $12.7bn after a spike in redemptions at the end of the quarter. Redemptions were driven by equities, which saw net outflows each month of the quarter to give a grand total of $7.4bn of net outflows. However, it was not all one-way traffic, with a number of areas seeing net inflows. Chief among them in Q3 were hybrid funds, which saw net inflows of $2.8bn, to make it three quarters of net inflows so far in 2023.
The third quarter also saw volatility once again start to climb, reaching its highest level since May. As the economic backdrop shifted, Citco saw trading volumes for Futures on Rates, Commodities and Indices climb. In contrast, Equity volumes for the quarter fell once again.
Treasury volumes maintained their year-on-year growth in Q3, climbing on a quarterly and annual basis as multi-year high interest rates in many countries continued to keep activity elevated.
Treasury payments came in at 125,716 in Q3, some 5% higher than the same quarter last year and above Q2’s figure of 123,037 transactions (and just 2% below the record 127,655 payments set in Q4 2022). For the first time in a single quarter, transactions were also above 40,000 for each of the three calendar months.
