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November was the best month for hedge funds since January. Funds managed by Citco generated a weighted average return of 3.3%, led by equity funds, which rose 5.1% for the month. Additionally, more than 75% of his Citco-managed funds were green in his November.
Meanwhile, the PivotalPath Composite Index rose 2% last month, another reversal from October’s broadly challenging environment. Almost all of PivotalPath’s indexes were positive in November, with only two exceptions: Managed Futures and Global Macro.
Year-to-date, the PivotalPath composite index is up 5.8%, led by equity diversified funds and equity sector funds, which have returned 8.8% and 8.7%, respectively.
Best month since January for Citco hedge funds
Among funds managed by Citco, equity funds significantly outperformed all other strategies in November on both a weighted average and median basis. The weighted average return for equity funds was 5.1%, twice as much as the next best strategy, and the weighted average return for multistrategy funds was 2.5%.
Bond arbitrage funds rose 2% in November, while the weighted average return for all other strategies was less than 1%. The worst-performing strategy was Commodities, which was the only one in the red in November, falling 0.4% after a tough year for resource-heavy strategies.
In most cases, the median return for each strategy closely matches the weighted average return, reflecting a relatively even distribution of returns between large and small funds. However, equity funds are up 4.3%, and multi-strategy funds are up 1.3% at the median, indicating slightly more dispersion among these strategies. In fact, commodity funds were flat on a median basis.
stock strategy
Citco lumps all equity strategies together, while PivotalPath categorizes equity strategies into three groups: Diversified Equity, Equity Sector, and Equity Quant. As mentioned earlier, two of his three equity strategies drove his November returns for PivotalPath, with equity sector returns of his 4.7% and equity diversification returns of his 4.1%.
However, event-driven was the third best-performing strategy in November with a return of 3.3%, and equity quant ranked a distant fourth with a return of 1.2%. His November return on volatility trading was 1%, while credit and multi-strategy’s monthly returns were the same at 1.1%. The worst performing strategy last month was managed futures, which fell 3.4%. The only other strategy to lose money in November was Global Macro, down 0.7%.
Year-to-date, the equity diversification strategy has been the best performer at 8.8%, followed closely by the equity sector at 8.7%. But year-to-date, the credit sector is his third-best strategy with a 7% return, followed by the equity quant sector with his 6.1% return.
Managed Futures is the only PivotalPath strategy to lose money year-to-date, down 2.3%, but it has also been a challenging year for global macroeconomics, with just 1% in the first 11 months. % increase.
Returns by size
Based on fund size, all Citco groups had positive returns in November. Funds with assets under management of $200 million to $500 million were the top performers, with a weighted average return of 3.9%. The largest funds, between $1 billion and $3 billion, came in second place with a return of 3.2%. Meanwhile, his $500 million to less than $1 billion fund and his less than $200 million fund each produced a weighted average return of 2.3%.
PivotalPath also reported positive returns across all size groups, led by $100 million to $250 million funds, up 2.76% in November. With the exception of the $2.5 billion to $5 billion group, all other size groups generated returns of more than 2%, while November’s returns were only 1.43%.
However, this size group has led the year year-to-date, gaining 7.27% in the first 11 months. Funds under $100 million rose 6.52%, followed by funds between $100 million and $250 million at 6.08%, and funds between $500 million and $1 billion at 6.07%.
Spills increase in November
Citco reported a slight increase in net outflows in November as investors benefited, particularly from equity funds. Overall, Citco reported total subscriptions of $6.6 billion and redemptions of $9.4 billion, with net outflows in November of $2.9 billion.
As in October, stocks were once again the biggest driver of investor flows, with just $900 million in subscriptions against $4.8 billion in redemptions. Citco reports that exits from equity funds have been the norm for much of this year, with more investors exiting funds than entering them.
While most other strategies have seen net outflows, with multi-strategy funds having the highest outflows of $500 million, followed by hybrid funds with net outflows of $400 million, it remains a popular choice among investors. It is extremely popular. Fund of funds and arbitrage strategies each recorded net outflows of $200 million.
Based on size, investors withdrew the most money from the largest funds. Companies with more than $10 billion under management received $2.2 billion in subscriptions against redemptions of $5.4 billion, resulting in net outflows of $3.2 billion. Funds with sizes between $1 billion and $5 billion and between $5 billion and $10 billion each had net outflows of $300 million, while the smallest funds under $1 billion saw net outflows of $200 million. .
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