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BlueBay to close Emerging Market Total Return Fund as manager quits over valuation issue

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BlueBay Asset Management has announced that it plans to wind down the BlueBay Emerging Market Total Return Fund, which has lost more than half of its value this year, and the resignation o

BlueBay Asset Management has announced that it plans to wind down the BlueBay Emerging Market Total Return Fund, which has lost more than half of its value this year, and the resignation of the fund’s manager for what BlueBay says are unrelated reason.

The Emerging Market Total Return Fund, which has run a relative value strategy in emerging markets fixed income since 2003, had lost around 53 per cent of its value up to November 21 amid ‘dramatic deterioration’ in financing and liquidity conditions in the markets in which it operates. Much of the decline is believes to have taken place over the past two months.

‘With such conditions likely to persist, the fund is not in the company’s view, nor that of the fund’s board, at this point viable as a standalone strategy,’ BlueBay says. At the end of September, the fund accounted for 23 per cent of the firm’s long/short assets under management and 6 per cent of its total assets, and BlueBay says its closure will mean that long/short fund revenues for the current year are likely to be below market expectations.

The firm has also announced the resignation of the fund’s portfolio manager Simon Treacher ‘following a breach of internal valuation policy’. BlueBay says breach of policy was recent, but limited and resulted in no material impact on the net asset value of the fund, and adds: ‘The company would like to stress that there is no connection between the breach concerned and either the recent losses incurred on the fund or the intention to wind the fund down.’

Says chief executive Hugh Willis: ‘While we regret these developments, we should like to stress that they do not affect in any way our commitment to emerging markets – which remains a core area of specialisation for the company.

‘Nor do they affect our corporate strategy of further developing our specialist credit franchise at a time of great pending opportunity in the asset class. We are operating, as has been the case for some time now, in extremely challenging credit market conditions. We remain focused, however, on the cyclical opportunity ahead and on our ability to capitalise on this.’

Founded in 2001, BlueBay is an independent manager of long-only and long/short fixed-income credit funds and managed accounts and has been listed on the London Stock Exchange since November 2006. With offices in London, Tokyo and New York, the firm specialises in European corporate debt and emerging markets debt and had around USD20.5bn in assets under management at the end of September.

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