The decision to close down comes as the fund endured flack from investors stemming from its net return of 13.8 per cent, which compared unfavourably to the 20 per cent returns posted by the Nasdaq Composite Index and S&P 500.
The company's policy of concentrating on short selling was stymied by the predictability of the stock market, meaning there were fewer and fewer chances to make short-selling pay.
When investors began to withdraw money, and with the implementation of a fresh approach requiring a considerable new outlay, the company instead decided to call time on the fund.
Commenting on the decision, co-founder Jeff Bernstein said: ""We weren't happy managing such a low net-exposure strategy. We realized that if we were going to continue to do this, we should have fewer restrictions."
Bernstein has said he plans to return 95 per cent of the investors' money and is considering founding a new hedge fund which will be less hampered with restrictions.