A Citadel equity fund has grown its AUM by over 1,000% in 20 months

George Herman, Chief Investment Officer at Citadel

The Citadel SA Multi-Factor Equity H4 Fund saw its assets under management dramatically increase from R76-million (end-July 2019) to R967-million at the end of March 2022.

George Herman, Citadel’s Chief Investment Officer, has witnessed significant investor interest in the fund because of its systematic quant process, but says the fund was not always this attractive to investors. Born from academic studies analysing different factors, the fund had to “earn its stripes first” by showing consistent returns over a long period of time.

Citadel launched the fund on 18 June 2015 with assets of only R1-million since investors were not yet convinced of the product. As at the end of March 2022, the Citadel SA Multi-Factor Equity H4 Fund has, since inception:

• Outperformed its benchmark, the FTSE/JSE Capped All Share Total Return Index, after costs;
• Outperformed the average of its peer group, South African equity general funds, by 3.44% per annum;
• Delivered a performance that was in the top 25% of all the funds in the South African general equity peer group.

The Citadel SA Multi-Factor Equity H4 Fund provides valuable style, sector and manager diversification to its investors. It is exposed to a slightly larger universe than funds benchmarked against the JSE’s Top40. The fund also has constant exposures to the specific factors such as value, size, momentum and quality, whereas the market fluctuates dramatically through time. Think how Naspers dominated exposures two years ago and how mining and resources shares now dominate the indices. Interestingly, Citadel opted against using volatility as a factor since low liquidity in the South African market can be considered as low volatility.

Citadel currently has a total assets under management of R80-billion invested in over 40 local and global funds.