The closure of the Frost fund
Frost's concentrated portfolio was hit hard by the extreme turbulence in money markets in October. The NAV per unit fell during the month by 17.6 per cent, where the majority of losses occurred in the last few days, despite extensive work to reduce risk in particular during the last week. Without the reduction in risk in the portfolio, losses would have been greater in magnitude and resulted in a high degree of risk remaining in the fund in a turbulent market environment.
The current estimate for November shows additional losses, and it is likely that the NAV per unit as of end-November will have fallen by more than 20 per cent year-to-date (mid-month estimate is around -22 per cent year-to-date), which according to the fund rules means that the active risk taking shall be discontinued and existing positions closed.
The portfolio management team have come to the conclusion that the most responsible thing to do for the fund’s investors is to discontinue the risk taking in full as it is not possible to keep taking risk.
Frost Asset Management has therefore decided to cease the management of the Frost fund.
Frost started operations on January 2, 2020 and the fund's assets under management amounted to approximately USD 400 million as of October 31, 2021.
Unit holders in Frost have been contacted directly regarding the redemption process.