Best Multi-Strategy Hedge Fund : Shortlisted

BlueBay Multi-Strategy Fund is managed by Bluebay chief investment officer Mark Poole and the head of hedge fund strategies David Zobel. Together they have nearly 45 years of combined investment experience between them.

The fund aims for a net of fees yearly return of 8%-12%with a Sharpe ratio of less than one through the cycle.

Multi-strategy hedge funds have seen strong growth and investor interest over the past few years. Bluebay attributes this to the correlation and diversification benefits as well as the ability to allocate capital dynamically across various strategies an flexibility to take advantage of changing market conditions.

BlueBay launched the fund in April 2007 with the aim of giving investors broad access to the company's hedge fund experience across a range of absolute return-oriented strategies.

Poole and Zobel are responsible for the overall decision making of the fund and look to capture medium-term views and high conviction opportunities. They invest in multiple strategies that offer exposure to asset classes and investment approaches with a strong credit cornerstone.

The strategies included in the portfolio are macro, emerging market debt (including sovereign and corporate), distressed, convertible arbitrage and credit long/short.

Emerging market debt is among the company's specialities. It has one of the longest running emerging market debt teams with a strong track record both at BlueBay and at previous employers.

The company points to the ability of emerging market debt to provide powerful diversification benefits to fixed income portfolios and that as an asset it has produced compound annual returns higher than those of equities and government bonds.

Emerging market debt is assuming growing importance to a wide range of investors and it has produced notable opportunities not just for the BlueBay Multi-Strategy Fund but also for several of Bluebay's other funds.

Within BlueBay Multi-Strategy, Poole and Zobel capitalise on the experience and track record the company has in managing many of the underlying strategies in other of its absolute return products. This combines bottom-up research carried out by the portfolio managers and analysts with top-down macro economic views established by the portfolio managers and the investment committee.

The investment committee meets formally on a weekly basis to discuss the strategic and tactical positioning of all portfolios across the firm. The committee is chaired by Poole and brings together the senior portfolio managers from each of the product areas to ensure accessibility to the best ideas and knowledge from across the company. These include investment grade debt, high yield debt and emerging market debt and convertible bonds as well as the portfolio manager from the hedge fund strategies.

Founded in 2001, BlueBay has assets under management of $37 billion (at March 31, 2010). It claims to be one of the largest independent managers of fixed income credit funds and products in Europe.

Fund facts: Bluebay Multi-Strategy Fund

Full name of fund: BlueBay Multi-Strategy Fund
Name of portfolio manager: Mark Poole, David Zobel
Name of investment/management Company: BlueBay Asset Management
Contact information: Carcie Rogers, 77 Grosvenor Street, London W1K 3JR (+44 (0)20 7389 3791; crogers@bluebayinvest.com)
Launch date: 2007
Strategy: multi-strategy
Assets under management: $1 billion (at March 31, 2010)
Annualised return: 6.92% (at March 31, 2010)
Annualised volatility: 10.52% (at March 31, 2010)
Sharpe ratio: 0.42
Share classes: US dollar
Administrator: GlobeOp
Auditor: Ernst & Young
Custodian: LaSalle Bank
Prime broker: Credit Suisse, Citigroup, Deutsche Bank
Domicile: Cayman Islands
Management fee: 2% a year (payable quarterly)
Performance fee: 20% a year (net of management fees and other costs) subject to high watermark
Minimum investment: $5 million
Lock-in (Class K): 12 months
Redemption/liquidity terms (Class K): quarterly with 90 days notice. 25% limit a quarter; 10% gate at the fund level.
Redemption fee (Class K): an early redemption fee of up to 6% is payable for redemptions made within 12 months of issue or acquisition. No redemption fee is payable on shares held for more than 12 months.