Home Hedge Funds The Biggest Hedge Fund Managers Posted The Worst April Returns

The Biggest Hedge Fund Managers Posted The Worst April Returns

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Most hedge funds reported positive returns for March, but April brought a reversal for funds administered by Citco. The firm reports that the overall weighted average return for April was -2.9%, compared to the March return of 1.5%.

April returns by strategy and size

Due to inflated commodity prices, commodities funds were the strongest performers, with a weighted average return of 4.4%. Event-driven funds came in second with a return of 1.6%, followed by global macro funds at 0.6%. All other hedge fund strategies were negative, with equities in last place at -4%.

According to Citco, the largest funds with more than $3 billion in assets under administration recorded the steepest losses at -4.1%. Funds with $500 million to $1 billion in assets under administration were the best performers, although they were still in the red with a return of -0.9%.

The firms adds that the gap between the overall weighted average return of -2.9% and the median return of -0.8% also demonstrates the underperformance of larger funds.

About 39% of the funds reporting to Citco recorded positive returns last month, compared to more than 57% in March. The gap between the 90th percentile of performers and the 10th percentile stood at 11.8% for April, increasing from 11.3% in March.

Investor flows

Investors poured money into Citco-administered funds in every quarter last year, with inflows more than offsetting outflows throughout the year. The firm said the trend continued in the first quarter. Hedge funds administered by the firm enjoyed net inflows in every intra-quarter month but net outflows in most quarter-end months.

This trend also repeated in the first quarter, with hedge funds recording net inflows in January and February but slight net outflows in March. In the first quarter, hedge funds racked up $52.5 billion in inflows, partially offset by $38.9 billion in outflows, resulting in net inflows of $13.6 billion.

In April, hedge funds administered by Citco again enjoyed net inflows but on a much smaller scale. Funds recorded $9.1 billion in allocations and $8.3 billion in redemptions, resulting in $800 million in net inflows.

Flow

FLOW2
s by size, strategy and geography

Hedge funds of all sizes recorded slight net inflows except those with $5 billion to $10 billion in assets under administration, which ended the month flat, and those with more than $10 billion in assets, which recorded $300 million in net outflows.

The continued popularity of hybrid capital funds dipped last month, with those funds recording net outflows of $800 million. Equities, global macro and multi-strategy were the only strategies to record net inflows, with multi-strategy funds bringing in the most at $1.3 billion in net inflows.

Americas-focused funds saw slight net outflows, while Asian funds recorded modest net inflows, and European funds gained $1.4 billion in net allocations.

According to Citco, $13.5 billion is scheduled to leave the hedge funds it administers during the second quarter, and another $6.3 billion in outflows is projected for later in the year.

Trade volumes

The relative calm that set in toward the end of March was short-lived. Volatility returned to the markets quickly, rising steadily toward the peak last observed in early March. Citco said overall daily average volumes across its client base declined 12% from March to April, although it was still 11% higher than April 2021, which it described as “very busy.”

High-frequency trading strategies have led the increases in trading activity seen since 2020. Equities and equity swaps, in particular, led the way. Last month, equity and equity swaps declined 13.4% on average volumes compared to the rest of Citco’s client base, which declined 5.2% month over month.

The firm said rates on futures, commodities, currencies and indices declined by 30% to 50%, while CDS trades plunged 44% month over month. Treasury volumes declined 13% month over month to 34,511 movements, although March was a record month for Treasury volumes, recording the highest number Citco has seen to date.

Amid higher market volatility, the firm is seeing tighter cash management across prime brokers and OTC counterparties, a trend it expects to last until the markets calm down.

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