Big Sky's Bad Weather

Its flagship Global Vision hedge fund is bombed with redemptions.
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Big Sky Capital, a Santa Monica, Calif.-based money manager, is having performance issues.

The company's flagship global macro fund, Global Vision, is down 7.9% for 2005. The firm's assets have shrunk by half, to about $200 million, due to investor redemptions. Three of the firm's eight employees have quit.

"It's pretty obvious that we are going through a very hard time," says Chris Gaughan, Big Sky's president. "We were flat last year and we have underperformed this year." Asked if he intended to shut down his business, Gaughan said: "Absolutely and unequivocally not."

Gaughan said he's in the process of making the situation public.

Many global macro managers, who make big bets on interest rates, currencies and commodities, have run into trouble this year. As of the end of last month, the HFRI Macro Index was down 2.42%, the second worse performing strategy after convertible arbitrage.

Among the people who left the fund is Paul Schulte, a former managing director and head of emerging market research. Schulte, who didn't return a phone call, returned to a consulting job at Taking Stock in Los Angeles. Tyler Hathaway and Jeff Rathel also left but were only "back office" staffers, said Gaughan. They couldn't be reached for comment.

"I am afraid of other employees leaving," said Gaughan. "But I am confident that we currently have a stable base of investors."