Shares in the company dropped by approximately 30 per cent on the news - the fund represents around 23 per cent of long/short assets under BlueBay's management and as a result of its close, profits in this area are likely to fall below market forecasts.
The company added that the fund's portfolio manager, Simon Treacher, has resigned following a "breach of internal valuation policy". However, it said there is no link between this breach and the fund's recent losses or the decision to wind it down.
BlueBay chief executive Hugh Willis remarked that he "regrets" the fund's closure but insisted that it would not dilute the firm's commitment to emerging markets.
"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 capitalize on this," he commented.
BlueBay was founded in 2001.