BlueCrest Capital Management has launched a multi-strategy equity market neutral fund called BlueCube.
The new fund currently trades a universe of 300-500 European stocks and will eventually expand to include the US and Japanese markets. The fund is looking to generate returns of ten to 15 per cent with volatility of five to eight per cent.
BlueCube has initially started trading with four sub-strategies that span three styles: technical, fundamental and sentiment-based. The firm has developed a dynamic rotation method for allocating between the sub-strategies that is based in part on methods employed in the BlueTrend managed futures programme.
The fund is seeded with an initial USD51min assets from BlueCrest’s USD2.7bn AllBlue Fund, which invests exclusively across a portfolio of funds managed by BlueCrest, including BlueCrest Capital International and BlueTrend. The fund is not currently open to external investors but marketing of the fund is likely to gain momentum during 2010.
Mike Platt, chief executive of BlueCrest, says: “We think it is a great time to launch BlueCube, the firm’s second systematic equity strategy following the highly successful launch of our BlueMatrix fund in 2007, and think it fits well into the growing and diversified range of strategies that we offer at BlueCrest.”