BlueCrest Capital Management, a Guernsey-based alternative asset management company established in 2000 by ex-J.P.
BlueCrest Capital Management, a Guernsey-based alternative asset management company established in 2000 by ex-J.P. Morgan prop traders, Michael Platt and William Reeves, is to have its BlueTrend UCITS fund liquidated. Merrill Lynch Investment Solutions (MLIS) host the fund. However, UCITS constraints have prevented it from accurately tracking opportunities in bonds and commodities in the firm’s Cayman-Islands BlueTrend hedge fund, the cumulative tracking error apparently having reached 3.5 per cent by September 30th. When it launched, the fund expected tracking errors of 1 to 2 per cent annually. It’s this widening tracking error that has led to the unfortunate decision. The fund was up an impressive +11.69 per cent this year, making it one of the star performers on what is widely regarded as one of the industry’s leading UCITS platforms. Hedgeweek spoke to a source at BAML who advised on referring to the on-the-record statement, which, on announcing plans to liquidate the fund read: “It is anticipated based on analysis by the investment manager BlueCrest that the tracking error may increase further in current economic conditions. In this context… the company and the investment manager have jointly agreed to terminate the sub-fund.” Following the surprise announcement the statement went on to say that Merrill Lynch’s board of directors, in consultation with BlueCrest Capital Management, would “work together within the appropriate regulatory frameworks to offer alternative investment options, including other sub-funds available on the BofA Merrill Lynch Ucits platform and where possible, direct investment into the offshore-domiciled BlueTrend Fund.” The fund’s assets were USD631.38 million as of October 25th
