BlueBay in deep water

27 November 2008 By Chris Hughes

The quoted asset manager is shutting a hedge fund after dire performance and the drying up of funding for risky leveraged bets. The fund s portfolio manager also breached valuation policy . A controls failure in a listed asset manager looks really bad for hedge funds.

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BlueBay Asset Management said it would wind down its BlueBay Emerging Market Total Return Fund, which ran a relativevalue strategy in emerging markets fixed income on November 27.

The hedge fund is down 53% year to date.

BlueBay, which is quoted in London and mainly runs longonly funds, cited a deterioration in financing and liquidity conditions for the move.

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, it said.

The company added that Simon Treacher, the fund's portfolio manager, had resigned following a breach of internal valuation policy.
The breach was recent, limited and resulted in no material impact on the NAV of the Fund, or of any other funds managed by the Company, BlueBay said in a statement.

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.

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