Fitch Affirms BlueBay IG Absolute Return Bond Fund's 'Strong' Fund Quality Rating

Tue Jun 17, 2014 11:33am EDT

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(The following statement was released by the rating agency) Link to Fitch Ratings' Report: BlueBay Investment Grade Absolute Return here PARIS/LONDON, June 17 (Fitch) Fitch Ratings has affirmed BlueBay Investment Grade Absolute Return Bond Fund's (BlueBay IGARF) 'Strong' Fund Quality Rating. The fund is managed by BlueBay Asset Management. KEY RATING DRIVERS The 'Strong' rating reflects the fund's research-driven investment approach, allowing an effective exploitation of diversified sources of global fixed income returns. The rating is also supported by the depth of BlueBay's dedicated fixed income resources. FUND PRESENTATION BlueBay IGARF is a sub-fund of a Luxembourg Part I SICAV, UCITS IV compliant. Launched in May 2011, it is BlueBay's absolute return credit flagship fund with EUR4.0bn of assets as of end-May 2014. The fund aims to be market neutral over a cycle and generate alpha in all credit environments (300bps per annum, gross of fees, over the Merrill Lynch Euro Currency Libor 3 Month Constant Maturity Index with a target volatility of 3%). INVESTMENT PROCESS The fund implements a well-balanced research-driven, capital preservation-oriented investment process combining macro, fundamental, technical and relative valuation inputs in a formalised, disciplined but also flexible and reactive manner. Fixed income alpha sources result from the implementation of high conviction, mainly relative value trades within a well-defined risk guidelines. Macro exposures are adjusted dynamically using a derivatives-based overlay approach. RESOURCES Lead Portfolio Manager (PM) Geraud Charpin has 19 years' investment experience. The fund benefits from the depth of BlueBay's IG fixed income resources (22 PMs and analysts with an average of 12 years' industry experience). TRACK RECORD Since its launch, the fund has exceeded its objectives, returning a gross annual 7.37%, with a tracking error of 2.51% as at end of May 2014. Directional and relative value trades contributed roughly evenly to performance. The fund benefits from credit return dispersion, but does not show a volatility bias. FUND MANAGER Founded in 2001 and now owned by the Royal Bank of Canada (AA/Stable/F1+), BlueBay Asset Management (BlueBay) is a specialist credit asset manager with assets under management of USD62.4bn as at March 2014 (USD27.6bn in IG credit). BlueBay has been investing in IG credit and managing long/short funds since 2002. RATING SENSITIVITIES The rating may be sensitive to material changes in the investment or operational processes or resources dedicated to the fund. A material adverse deviation from Fitch's guidelines for any key rating driver could result in a downgrade. For example, this may be manifested in significant structural deterioration in the fund's performance or excessive risk taking. Fitch sees limited key person dependency given the depth of the IG team but recognises the specialised skills of its lead PM for absolute return strategies. Conversely, an upgrade could result from the demonstration that the fund is able to outperform its peers consistently on a risk adjusted basis over five years. Fitch's Fund Quality Ratings combine Fitch's experience in qualitative fund analysis with rankings and performance data from Lipper, a Thomson Reuters company. Fitch's Fund Quality Ratings offer an independent, forward-looking assessment of a fund's key performance and risk attributes and consistency of longer-term returns, relative to peer group or benchmarks. The ratings focus on the fund manager's investment process, key fund performance drivers, risk management, and the quality of the fund's operational infrastructure. For more information, please see www.fundmanagement.fitchratings.com To receive forthcoming Fund Quality Rating research, opt in here Contacts: Primary Analyst Manuel Arrive, CFA Senior Director +33 1 44 29 91 77 Fitch France S.A.S. 60 rue de Monceau Paris 75008 Secondary Analyst Richard Woodrow, CFA Associate Director +44 203 530 1388 Committee Chairman Roger Merritt Managing Director +1 212 908 0636 Media Relations: Hannah Huntly, London, Tel: +44 20 3530 1153, Email: hannah.huntly@fitchratings.com. Additional information is available at www.fitchratings.com. Applicable criteria, 'Fund Quality Ratings Criteria', dated 19 September 2011, are available at www.fitchratings.com. Applicable Criteria and Related Research: Fund Quality Ratings Criteria: Assessing Funds’ Investment Processes and Operational Attributes here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

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