Cantab Capital Partners, a $5.2bn Cambridge-based quantitative hedge fund, saw its flagship fund suffer its largest monthly fall since it launched over six years ago, according to an estimate sent to investors.

The major share class of the Cantab Quantitative fund lost 8.37% in the month of May, according to an investor in the fund. It is now down 5.4% in the first five months of this year. The fund targets 20% volatility and there are three main clusters of returns: medium-term momentum, value and short-term strategies.