OREANDA-NEWS. Fitch Ratings has affirmed BlueBay Global Convertible Bond (CB) Fund at 'Strong'. The fund is managed by BlueBay Asset Management LLP.

KEY RATING DRIVERS
The 'Strong' rating is driven by the fund's disciplined investment process and its differentiated profile compared with some peers, notably in terms of its derivative usage and absolute return style mind-set. The rating is also supported by the depth of BlueBay's dedicated CB and wider fixed income resources.

FUND PROFILE
The fund is a sub-fund of a Luxembourg Part I SICAV, UCITS IV compliant SICAV. It was launched in December 2008 and had USD777m as at end September 2015. The fund aims to outperform its index (the Thomson Reuters Global Convertible Focus Index USD) by 300 basis points with a target tracking error of 0%-6% and a target information ratio in excess of 0.5.

INVESTMENT PROCESS
The investment process is disciplined and collaborative. It builds in macro views, fundamental credit and equity research and CB valuation analysis. There is a close interaction between the analysts and portfolio manager (PM), with the analysts providing fundamental credit and equity analysis and the PM providing technical and valuation analysis.

RESOURCES
The lead PM has over 25 years' investment experience and eight years' company tenure. The CB team consists of 10 staff: four dedicated analysts, two senior PMs (the lead PMs for this strategy), one junior PM, two traders and one institutional PM (comparable to a product specialist).

TRACK RECORD
The fund has performed well, with a first quintile performance relative to peers over one and five years. However, it has not achieved its performance objective in all calendar years, although it has met the objective on an annualised basis since inception. It has consistently been one of the lowest volatility funds in its peer group over multiple time periods. It has generated positive (Jensen's) alpha on a rolling 12 month basis over the past year, although the alpha trend has been negative since May 2015.

FUND MANAGER
Founded in 2001 and 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 USD58.1bn as at end-September 2015 (USD2.5bn in convertible bonds). BlueBay has been investing in convertible bonds since 2008.

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, notable structural deterioration in the fund's performance or departure of key investment professionals could lead to a downgrade. Fitch would consider upgrading the fund to 'Excellent' if its strong long-term performance track-record continues, leading to improved Lipper Leader scores for Consistent Return in combination with a positive trend in risk-adjusted performance indicators such as Jensen's alpha. Conversely, the departure of senior investment professionals could lead the agency to placing the fund 'Under Review' or downgrading it.