BlueCrest shuts down 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 online 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...

ISSN: 2151-1845 / CDC10004H

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