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 online version of the strategy and the original
offshore version is about to exceed its maximum permitted
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...