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Value investing hedge fund Three Bays is said to close

Hedge fund Three Bays Capital plans to close after years of weak performance.

According to people with knowledge of the matter, the company, which was started in 2013 by former Highfields Capital Management money manager Matthew Sidman, will return capital to investors on Dec. 1, said one of the people, who asked not to be identified because the matter is private. Three Bays, which at its peak managed about $1.6 billion, already has liquidated the majority of its holdings, said the person.

Value investing, which was pioneered by Benjamin Graham and Warren Buffett, has struggled since 2015 as so-called growth stocks beat out their inexpensive brethren. Mr. Sidman joins a growing list of managers that have given up on the strategy. In the last week alone, Bloomberg has reported plans by both Chieftain Capital Management and SPO Partners & Co. to return client money. Blue Ridge Capital was closed last year. Another longtime value investor, Eddie Lampert, has been flailing after his bet on Sears Holdings Corp. went awry.

Performance at Three Bays, which now oversees less than $1 billion, has been flat for the past three years, and the fund fell about 4% this year through September, said one of the people. A representative for the Boston-based firm declined to comment.