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Multi-Strategy Hedge Funds: Jack of All Trades?

Or Master of None?

Nicolas Rabener
10 min read
13 Mar 2023

This research note was originally published by the CAIA Association’s blog.

SUMMARY

  • A few select multi-strategy hedge funds generated outsized returns in 2022
  • However, the average fund lost money
  • The average fund can be simply replicated via the S&P 500 & cash

INTRODUCTION

Citadel made $16 billion in profits in 2022, Millenium $8.0 billion, and Point 72 $2.4 billion. These returns are spectacular as all three are multi-strategy funds that allocate capital to hundreds of trading teams. The goal is to harvest excess returns from many different sources and create a diversified portfolio. The expected return should be low, but consistently positive and not very volatile. Citadel’s 38% return in 2022 had anything but these features.

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