The investor who helped US hedge fund manager John Paulson to make $15 billion from accurately predicting the meltdown in the US sub-prime mortgage market has left Paulson & Co, the hedge fund firm, to set up his own fund, according to media reports.

Paolo Pellegrini was the right-hand man to Mr Paulson when the founder of Paulson & Co defied the rest of Wall Street and called the collapse of the US housing market in 2006.

As the co-manager of Paulson & Co’s two Credit Opportunities funds, Mr Pellegrini is credited with engineering complex trades in credit default swaps to take advantage of his boss’s hunch that investors had overvalued mortgage-backed securities. Their move made the funds $15 billion in 2007 when the US housing market began to collapse, giving Mr Paulson a $3 billion to $4 billion personal payday.

A spokesman for Paulson & Co said yesterday that Mr Pellegrini, 52, had left the fund manager on 31 December and the departure was described as amicable. The Italian former banker has set up a New York-based fund called PSQR, which is expected to follow an investment strategy called fundamental macro investing, in which fund managers trade a variety of assets in the hope of profiting from changes in global economies.

The stunning success of the Paulson hedge fund stands in stark contrast to the bulk of the hedge fund industry, which has suffered average losses over the past 12 months of more than 20 per cent, according to data from Chicago-based Hedge Fund Research.

In another indication of the stresses hitting the hedge fund industry, JD Capital Management is liquidating a fund of about $1 billion that suffered heavy losses recently, according to Reuters. The firm is closing down its Tempo Master Fund, Reuters said, citing David Rogers, the company’s founder.

Meanwhile, Och-Ziff Capital Management Group, led by former star Goldman Sachs trader Daniel Och, has disclosed that assets managed by the firm fell by about 20 per cent in December, according to media reports.

Och-Ziff estimated that total assets managed in its private investment funds fell by $5.5 billion to about $22.1 billion, reflecting market losses as well as clients withdrawing their money. Redemptions, which have roiled the industry, outpaced the modest decline in performance last month.