Funds of hedge funds administered by the Citco group of companies (Citco) experienced negative performance in the first half of the year, with an average weighted return of -5% and a median return of -4.37%.
The largest portfolios bucked the trend, with funds with assets of more than $1B returning a gain of 0.17% over the first six months of the year – and 58% of this grouping delivering positive returns.
Funds holding between five and 20 underlying portfolio positions outperformed the more diversified funds, with an average return of -3.01%.
Results significantly varied between funds, with average returns for the bottom 10th percentile at -23.09%, compared to +10.81% in the top 90th percentile.
Overall, capital flows were broadly flat in the first six months, with a -0.2% decline in AuM from net capital activity.