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Bestinvest LogoA systematic and liquid hedge fund strategy that may out-perform in up or downward trending environments and underperform in choppy / whipsawing conditions.













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Prices as at 14 Dec 2015.

Fund commentary last updated 16 Mar 2012.

Past performance is not an indication of future performance.

Capital at risk.

This is a LSE-listed hedge fund and feeds into a CTA programme, run by Systematica, a group that spun out of BlueTrend in January 2015. This is a trend-following systematic strategy covering over 150 different markets including equity, debt, interest rate, currency, commodity and energy instruments. The strategy principally monitors highly liquid exchange traded futures. The computerised algorithms mean there is very little manual intervention. It targets 15-20% return pa and 15%-20% volatility. Investors should be aware that hedge funds do not guarantee a positive return and you could get back less than you invested, as with any other investment. Additionally, the underlying assets of these funds generally use complex hedging techniques through the use of derivative products, which can carry additional risks which may not be immediately apparent.

Fund summary

SectorHedge Funds
LaunchedMarch 2012
Dividends paidNone


Standard Initial Charge0%
Initial Charge Via BestInvest0%
Additional Bid/Offer Spread0%
Annual Management Charge2%
Ongoing Charges Figure2.3%

Investment Process

BlueTrend view its competitive edge as the depth of its research department and their risk management process. The team of 25 PhD level developers continually refine the programs to identity trends better and improve dealing efficiency. Unlike other trend follower programs the only inputs to their process are price series across the 150 different markets they currently track. The program aims to identify the strength of short, medium and long term trends across each market. A ‘Trend Conviction Curve’ for each time horizon dictates the size of the position that the trend follower takes – aiming to be at maximum weighting throughout the strongest part of the trend, and reducing position size as indicators are pointing towards the trend nearing an end. Position size is determined by strength of the trend and volatility of its market (a highly volatile market gets a lower allocation). The portfolio is built in 3 stages. Firstly the optimal composition between the various time horizons (ie short term vs medium and long term trends) is determined by the relative strength and correlation between each trend. Secondly the portfolio is optimized across markets (eg the S&P trend is optimized versus the CAC trend), once again correlations are considered. If correlations are high, the weighting is typically split between the various indices rather than placing a large bet into each index. The final stage of portfolio composition involves sector to sector optimization (eg analyzing the aggregated signal for equities versus bonds) to build the final BlueTrend portfolio. There is a monthly overlay systematic decision as to how much allocation is to be placed into each time frame (i.e. the 3-day trend versus the 3-month trend). This is an entirely systematic decision and is the primary driver of return (similar to market timing when purchasing equities).

The information on this website is not intended to be advice or a recommendation to buy, sell or hold any investment mentioned. The value of investments and the income from them can go down as well as up and you may not get back the amount invested.

Past performance is not a guide to future performance. View full risk warning