LONDON BlueCrest Capital Management's BlueTrend fund, one of the world's biggest computer-driven hedge funds, has suffered one of its worst ever peak-to-trough losses over the past six weeks.
A listed feeder fund BBTS.L that channels capital into the $16 billion BlueTrend fund lost 16.9 percent between May 17 and June 28, regulatory filings show.
The feeder fund closely replicates the performance of BlueTrend's flagship fund, headed by Brazilian-born Leda Braga, one of the hedge fund industry's highest-profile women.
A BlueCrest spokesman declined to comment.
The losses reflect the difficulties faced by computer-driven funds amid the recent sell-off in financial markets.
The feeder fund's performance equates to a loss of roughly $2.7 billion in the main fund, which was launched in 2004 and has never had a losing calendar year.
Data from HSBC Alternative Investment Group shows the fund's worst historical peak-to-trough loss since launch is 12.55 percent in 2006.
These so-called managed futures funds, which use complex computer models to try to profit from trends in global futures markets, can suffer when markets reverse suddenly or when equity and bond markets move in the same direction.
Many have been struggling in recent weeks as stocks and bonds have sold off sharply on fears that the U.S. Federal Reserve could ease its monetary stimulus programme sooner rather than later.
U.S. 10-year bond yields, which move inversely to prices, hit 2.5 percent on Wednesday, having stood at 1.63 percent at the start of May. The FTSE 100 index .FTSE, meanwhile, is down 8.6 percent since achieving a post-crisis high in late May.
Shares in hedge fund company Man Group (EMG.L) fell sharply last month after its AHL fund posted one of its biggest weekly losses. The fund is down 3.8 percent since January 1.
Data on the performance of individual hedge funds is rarely made publicly available and the varying nature of funds' reporting periods can make exact like-for-like comparisons difficult.
However, funds in the Systematic Diversified CTA index have lost an average of 2.73 percent between the start of the year and July 2, according to Hedge Fund Research.
BlueTrend's losses mean that it is down 10.9 percent so far this year, as measured by the feeder fund. The main fund's annualised gain since launch to the end of June is about 12 percent, said a source who had seen the performance numbers.
A note from Oriel analyst Tom Tuite-Dalton described the performance of the listed BlueCrest feeder fund as "disappointing".
However, not all are suffering. Winton Capital, which manages $25 billion, has achieved a 4.5 percent gain with its main Winton Futures fund in the first six months of the year.
(Editing by Sinead Cruise and David Goodman)