BlueCrest to shut BlueTrend UCITS fund on tracking error fears
Wed Oct 27, 2010
BlueCrest is planning to shut down the $600 million UCITS version of its multi-billion dollar BlueTrend systematic trading CTA strategy because of fears that the tracking error between the onshore version of the strategy and the original offshore version is about to exceed its maximum permitted level
The BlueTrend UCITS Fund, which is managed by BlueCrest and which is on the Bank of America Merrill Lynch UCITS platform, is expected to close at the end of November – according to a letter sent to investors.
The tracking error of the UCITS fund compared to the original Cayman offshore version of the fund, which has $10.2 billion of assets under management, is expected to be a maximum of 3.5%. So far the UCITS fund has performed broadly in line with the expectations that...
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