The fund has about $1bn of assets, and has returned 1.75 per cent this year and 2.86 per cent annualised since its establishment in September 2007, according to a person close to the situation. But that is less than the almost 4 per cent average for managed futures funds and well below the industry’s best-known vehicles.
For example, Man Group’s $2.9bn AHL Evolution fund has returned more than 5 per cent this year and 15.3 per cent on an annualised basis since 2005, according to an HSBC report. Winton Capital’s flagship $11.8bn futures fund, managed by former physicist David Harding, has returned just 0.9 per cent in the year to September 23, but 13.85 per cent annually since 1997.
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