After several years as the top choice for many hedge fund investors, multi-strategy, multi-manager firms including Schonfeld Strategic Advisors, Balyasny Asset Management, and ExodusPoint Capital Management, are trailing the returns of other types of fund, according to a report by Bloomberg.

The report cites the PivotalPath Multi-Strategy Index – which includes a broad array of multi-strategy firms – as showing that multi-strats have posted average annualised returns of 7.4% since January 2019. This year though, the index is up an estimated 3.9% to the end of August.

And as PivotalPath's Head of Hedge Fund Research Jon Caplis points out, that performance looks even weaker considering Treasury bills can yield as much as 5.5%.

“When the risk-free rate is zero, a 7.4% return is great,” he said. “When the risk-free rate is 5.5%, it creates a lot more scepticism around the multi-strats – especially given the risks embedded in the strategy.”