Hedge Fund of the Year: Winner

Best Global Macro Hedge Fund: Winner

BlueCrest Capital Management believes its edge in the market comes from the experience of its principals and their commitment and involvement in the business, its market specialists and the quality of the group's risk management and infrastructure.

It is this combination of elements that has enabled the BlueCrest Capital International fund, the group's macro flagship fund and its longest running vehicle, to achieve an annualised return over 12 months of 33.64% and since inception of 14.92%.

Michael Platt, chief executive officer, head of trading and co-founder of BlueCrest Capital Management, is the manager of the fund. Prior to establishing BlueCrest in April 2000, Platt was a managing director at JP Morgan in London where from February 1998 he was responsible for relative value proprietary trading.

Since launch in December 2000, the fund has attracted a substantial $6.1 billion in assets under management. It targets stable absolute returns of 10%-15% per annum, against a Sharpe Ratio of between 1.0 and 2.0 and volatility of 4-6% annualised.

The group's specialist traders drive the fund's investment process, exploiting a wide range of market opportunities. Platt emphasises the fund's use of relative value techniques and methodology in capturing market inefficiencies. The geographical focus of the BlueCrest Capital International is on G7 global - with the majority of the risk taken in US dollar, euro and sterling instruments.

BlueCrest's specialist trading model sees individual teams focus on a specific asset class or market segment, with each member focused on a sub-segment. The senior investment officers allocate capital to the teams and traders to ensure that capital is employed in the most optimal way. This approach ensures in-depth knowledge of each market segment, as well as more effective generation of alpha and more effective risk management.

Platt and the market analysts undertake extensive primary research, contact with policy makers and analysis of the output of buy-side economists, in creating the macro outlook. This fundamental economic analysis is then combined with quantitative valuation models, which seek to arbitrage differences in probabilities implied by the markets in specific instruments versus the estimated probabilities of these same outcomes within the core macro view.

Individual trades are generally flat to long volatility and so, says BlueCrest, exhibit superior risk/return characteristics often with downside protection built in on a trade by trade basis.

Platt says in the current environment the fund sees exceptional opportunities in fixed income strategies which make up over 60% of the risk allocated within the fund. As credit and equity markets shrink, the vast expansion of government balance sheets means that swaps and government bond curves continue to be very active.

He points out that central bank policy actions, which form a core driver of changes in the interest rate term structure, are currently subject to considerable uncertainty and volatility, creating a rich opportunity set.

In the past two years the fund has benefited from a surge in volatility across the major indices as well as increased government bond issuance. At the same time bank proprietary trading desks, which formed a large segment of the group's competitor, have been closed or significantly scaled back due to the huge reduction in bank capital.

Pure fixed income relative value hedge funds were severely damaged in 2008 due to levels of leverage and over-crowded trades. The departure of many of these and the reduction of bank capital focused on these types of trades, means BlueCrest is seeing attractive levels of risk reward in trades with historically low levels of leverage for the space.

This makes for an overall competitive environment for the fund which is exceptionally compelling.

Fund facts: BlueCrest Capital International

Full name of fund: BlueCrest Capital International
Name of portfolio manager: Michael Platt
Name of investment/management company: BlueCrest Capital Management
Contact: BlueCrest Investor Relations, 3rd Floor NatWest House, Le Truchot, St Peter Port,
Guernsey GY1 1WD, Channel Islands (+44 (0)20 3180 3000; BlueCrestInvestorRelations@bluecrestcapital.com)
Launch date: December 1, 2000
Assets under management: $6.1 billion (at April 1, 2010)
Net cumulative performance since inception: 266.1% (at March 31, 2010)
Annualised return (12 months): 33.64% (at March 31, 2010)
Annualised return (since inception): 14.92% (at March 31, 2010)
Annualised volatility (12 months): 5.2% (at March 31, 2010)
Annualised volatility (since inception): 6.14% (at March 31, 2010)
Sharpe ratio (12 months): 5.64
Sharpe ratio (since inception): 1.94
Strategy: macro
Share classes: US dollar, euro, sterling
Administrator: GlobeOp Financial Services
Auditor: Ernst & Young
Custodian: JP Morgan Chase Bank
Prime broker: JP Morgan Securities, Morgan Stanley & Co International, JP Morgan Markets, JP Morgan Clearing and affiliates
Domicile: Cayman Islands
Listing: No
Management fee: 2%
Performance fee: 20% performance fee (above high watermark)
Minimum investment: $1 million, €1 million, £1 million
Lock-in: 5% redemption fee within one year of issue
Redemption: monthly with 90 days' notice