Exclusive: BlueCrest's BlueTrend hedge fund slumps 16.9 percent

Thu Jul 4, 2013 8:16am EDT
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By Laurence Fletcher

LONDON (Reuters) - BlueCrest Capital Management's BlueTrend fund, one of the world's biggest computer-driven hedge funds, has suffered one of its worst ever peak-to-trough losses over the past six weeks.

A listed feeder fund BBTS.L that channels capital into the $16 billion BlueTrend fund lost 16.9 percent between May 17 and June 28, regulatory filings show.

The feeder fund closely replicates the performance of BlueTrend's flagship fund, headed by Brazilian-born Leda Braga, one of the hedge fund industry's highest-profile women.

A BlueCrest spokesman declined to comment.

The losses reflect the difficulties faced by computer-driven funds amid the recent sell-off in financial markets.

The feeder fund's performance equates to a loss of roughly $2.7 billion in the main fund, which was launched in 2004 and has never had a losing calendar year.

Data from HSBC Alternative Investment Group shows the fund's worst historical peak-to-trough loss since launch is 12.55 percent in 2006.

These so-called managed futures funds, which use complex computer models to try to profit from trends in global futures markets, can suffer when markets reverse suddenly or when equity and bond markets move in the same direction.   Continued...