| Kenneth Griffin, Citadel (Bloomberg) |
After getting off to a rough start this year, Citadel’s multistrategy funds, Kensington and Wellington, extended their recent winning streak last month in what has been a mediocre year for the strategy in general.
The Chicago hedge fund firm’s two flagship funds each posted a 2 percent gain in September. As a result, they are now up 2.6 percent for the year to date.
The September surge caps a strong third quarter for the funds, which gained 7.3 percent over the period. The multistrategy funds were down by about 9 percent back in early March. September’s gains came from strong performance in equities — both from Citadel’s global equities division and its Surveyor Capital unit — and fixed income. The funds also enjoyed positive contributions from Citadel’s credit, commodities and quantitative strategies.
Equities account for about half of the risk allocation of Citadel’s multistrategy funds, while fixed income accounts for about 20 percent. Commodities, credit and quantitative trading round out the remaining 30 percent of the risk.
Citadel’s Global Equities fund added 2.1 percent last month and returned 5.89 percent in the third quarter. Through September it was on the verge of becoming profitable, narrowing its losses to 0.17 percent for the year. The fund swung back into positive territory in early October, according to a person with knowledge of the fund’s performance.
All four of Citadel’s equities businesses run a long-short, market-neutral strategy, with an emphasis on stock selection.
Early this year Citadel put Todd Barker in charge of Surveyor after it suffered a period of underperformance. He was a former co-head of Citadel’s global equities business. Since then the firm has hired 30 people for its Surveyor unit.
Citadel’s other funds also fared well in September. Citadel Tactical Trading, which specializes in equities and employs some statistical arbitrage trading, rose 1.75 percent last month. As a result, it gained 7.2 percent in the third quarter. It is now up 1.8 percent for the year.
The fund’s gains came from strong performance in equities as well as quantitative strategies. The fund was down as much as 9.5 percent in early March.
Citadel’s best–performing fund is its Global Fixed Income Fund. It rose 3.22 percent in September, boosting its gain for the year to 7.47 percent.
Citadel’s multistrategy performance is more or less in line with several of the firm’s competitors. For example, Millennium International, managed by New York–based Millennium Management, returned about 0.85 percent last month. It is now up 1.9 percent for the year.
It has about 195 different trading teams managing its assets across several broad strategy areas: relative value, fundamental equity, statistical arbitrage and quantitative strategies, merger arbitrage and event driven, fixed income and commodities.
Paloma International, run by Greenwich, Connecticut–based Paloma Partners, rose 0.7 percent last month and is now up 2.8 percent for the year. Headed by Alpha Hedge Fund Hall of Famer S. Donald Sussman, Paloma typically runs with a low-volatility, hedged portfolio that mostly focuses on quantitative strategies. It generally does not devote much attention to the equities market.
We earlier reported that the OZ Master Fund, run by New York–based Och Ziff Capital Management Group, gained 0.65 percent last month and is up 1.1 percent for the year.
