BlueCrest Capital Management is to float a feeder into one of its most successful hedge funds on the London Stock Exchange before April, helping the listed hedge fund market return to levels of activity more typical before the financial crisis.
It will be the second listed fund for BlueCrest, which already has AllBlue, a fund that invests only in BlueCrest’s own hedge funds.
It will also be the second try to give investors a different way to access the BlueTrend program.
BlueCrest opened, but then shut down, a Ucits version of BlueTrend on a bank platform, saying the tracking error between the offshore and onshore versions was too large.
BlueCrest plans to issue a prospectus for the listed product next month.
The $13.6m computer driven BlueTrend strategy will be accessible via a listed feeder fund. It represents about half the total $28.6bn assets of BlueCrest Capital Management.
The model-driven fund, managed by head of systematic trading Leda Braga, made 56% in the two years to June 2009, roughly the period of the global credit crunch. In 2008, when the hedge fund industry posted its worst year on record by falling 20%, BlueTrend made 43%, according to investors.
Since February 2005, it made 16.67% a year, on average, on annualised volatility of 14.36%. The MSCI World index made 0.5% annualised returns over the same period.
BlueTrend targets annualised net returns of 15% to 20% by trading in more than 150 markets for currencies, commodities, fixed income and equity indices.
BlueTrend seeks to identify trends in prices and forecast market movements based on research and technical analysis of historic price movements.
Braga said: “The proposed listing of BlueCrest BlueTrend is an exciting development for the systematic business, and we welcome the opportunity to open the programme to a new investor base.
Dexion Capital, which helps hedge and other alternative funds with a range of services, is sole financial advisor and placing agent for the listing.
The listing will give added impetus to the sector, which saw 17 fund of funds products close down since the crisis began.