Following very strong performance throughout 2021 and a weak first quarter, hedge funds had further muted returns in Q2 – with commodities and hybrid capital funds again coming out on top – according to data from Citco.
Analysing funds it administers, Citco’s 2022 Q2 Hedge Fund Report found that funds fell into negative territory for a second quarter running with a -6.81% overall weighted average quarterly return, with all AUA categories and all strategies – bar commodities at 4.58% and global macro at 0.79% – delivering negative returns. Over the quarter, 32.81% of funds delivered a positive return, a drop from 40.21% in Q1.
Capital flows for the second quarter saw an end to the trend of net inflows into hedge funds, which had been consistently been the case each quarter throughout 2021 and in the first quarter of this year. In total, there were $7.8 billion of net redemptions to Citco administered funds in Q2, with gross subscriptions of $40.1 billion and gross redemptions of $47.9 billion. Looking at flows on a strategy level, Hybrid Capital Funds benefited the most from inflows – with net subscriptions of $1.7 billion.
On an AUA basis, the largest funds suffered the biggest losses in terms of performance and redemptions.
In terms of trade volumes, the second quarter was interesting in that it eclipsed the previous quarter both in terms of volatility as well as the shift in asset classes deployed both on long and short sides. Volumes for the quarter were the highest ever on Citco’s record – up 2.9% from Q1 this year.
Another record was broken in Q2 on the Treasury side, with 109,277 payments, a 6% rise on the previous quarter, 24% increase on the same period last year and an impressive increase of 83% over the past two years.
