Hedge fund manager Paolo Pellegrini — whose PSQR Capital Management has an office in Bermuda and who helped Paulson & Co. to make $3 billion out of the bets on the US housing crash — is to return money to investors in his fund by next month.

The PSQR Master Fund, which Pellegrini started in April 2008, plans to return the money by the end of next month, after it lost 11 percent this year and 7.9 percent in July alone, according to a letter sent to investors and revealed by AR Magazine on Friday.

The fund had previously achieved remarkable performance, gaining 40 percent in 2008 and 61.6 percent last year.

The macro hedge fund, seeks to profit from broad economic trends by trading stocks, commodities and currencies, and holds his trades for an average of a week. Mr. Pellegrini is bearish on the global economy and has voiced particular concerns about the likely consequences of massive borrowing by governments around the world.

"While my views on global economies haven't changed, I've concluded that substantial additional work is required to position the fund to profit consistently from those views," Mr. Pellegrini said in a letter sent to his investors on Friday morning, the Hedge Fund Intelligence website reported.

Italy-born Mr. Pellegrini, a Harvard Business School graduate started the fund in 2008, after his mathematical prowess famously helped John Paulson to find a way to make money out of the sub-prime mortgage collapse.

When the crash arrived in 2007, Paulson and Pellegrini's hedge funds gained as much as 590 percent.

Mr. Pellegrini started his own fund with some of his personal fortune.

Apart from PSQR's office in Jardine House, in Reid Street, Hamilton, Mr. Pellegrini has other ties with Bermuda.

In 1996, he set up Select Reinsurance Ltd. in Bermuda with William Michaelcheck, the founder and chairman of New Yorked-based hedge fund firm Mariner Investment Group.

In the same year, Mr. Pellegrini married his second wife, Beth Rudin DeWoody on the Island, at the Four Ways Restaurant in Paget, in a ceremony performed by former New York Mayor David Dinkins, according to the New York Times society pages.

Mr. Pellegrini, now 53, lives in Manhattan with his third wife, Henrietta.