Interim Management Statement

RNS Number : 5390I

BlueCrest AllBlue Fund Ltd

19 November 2008

 

BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 July 2008 to the date of publication of this statement and has been prepared solely to provide additional information in order to meet the relevant requirement of the UK Listing Authority's Disclosure and Transparency Rules, and should not be relied on by Shareholders, or any other party, for any other purpose.  

Overview

BlueCrest AllBlue Fund Limited (the 'Company') is a Guernsey registered, closed-ended investment company listed on the London Stock Exchange. The Company's shares are denominated in Sterling, Euro and US Dollars. The investment objective of the Company is to seek to provide consistent long-term capital growth through an investment policy of investing substantially all of its assets in AllBlue Limited ('AllBlue'). AllBlue invests in a diversified portfolio of underlying funds, each of which has its own distinctive investment objective and approach, and which are currently managed by BlueCrest Capital Management Limited. 

NAV Performance as at 30 September 2008

	Final NAV 30 September 2008	QTD %	YTD %	ITD %
Sterling Share NAV	119.37p	0.28	6.85	21.78
Euro Share NAV	€1.1522	0.13	5.95	17.55
US$ Share NAV	US$1.1679	-0.10	4.76	19.15

Source: BlueCrest AllBlue Fund Limited

As announced on 19 November 2008, the estimated 14 November 2008 NAVs of the Sterling Shares, Euro Shares and US$ Shares were 123.11p, €1.1867 and US$1.2007, representing an increase in the period since 30 September 2008 of 3.13%, 2.99% and 2.81% respectively. As at 14 November 2008, the Sterling Shares, Euro Shares and US$ Shares were trading at discounts to NAV of 9.2%, 11.5% and 12.6% respectively.

Quarterly review of AllBlue Limited

AllBlue Limited (US$ class) lost 40 basis points in the period under review. Annualised volatility during Q3 was a low 3.7% and quarterly volatility dropped as low as 3.6% during the period, a level not seen since Q4 of 2006.

There was a break in the volatility trend in mid quarter. With the pressure on banking stocks leading up to the Lehman Brothers default, high frequency equity trading and credit relative value trading responded to these events most aggressively in volatility terms. Both rose more than 100% from the lows into the end of the period.

Correlation analysis shows the delivered correlations between components of the fund during the period broadly rose some what relative to the year as a whole, the stand out exception being the credit relative value process, where weekly observed correlations to AllBlue Limited fell to -67%, whilst providing a positive contribution to performance. 

Despite lower volatility in the programme itself VaR (Monte Carlo 99% daily) averaged around 70bp for the period, very much mid-range since inception.

Cash levels ended the period ranging from 17% in Trade Finance to 93% in low beta systematic. The imputed cash level for AllBlue Limited was 63.8%, a relatively high level, reflecting higher than usual liquidity preference by trading groups.

Taking each strategy in turn:

Mixed Arbitrage was up 201 basis points on the quarter, contributing around 60 basis points to the performance of the fund. Within the strategy equity volatility trading lost money due in part to a collapse in prices of the small convertible book, and in part to the sharp drop in liquidity in single name options. Venture finance (a small, unlevered allocation) cost 3 basis points as credit spreads widened over the period. Significant profits were made both in the interest rate volatility trading books and the government bond vs. futures and vs. swaps relative value books. FX volatility trading contributed modest but profitable returns. The allocation to this strategy remained relatively stable at around 30% during the period.

Systematic trading was up 34 basis points on the period, adding 10 basis points to performance. Volatility was lower than usual at 16.48% annualised relative to target volatility between 15% and 20%. The allocation to the strategy remained at 18% to 20% during the third quarter. 

July marked big breaks in some previously long standing trends. Carry Currency trades unwound quickly, commodity prices accelerated to the downside and stocks sustained a contra trend rally. This cost the strategy in July. By the end of August important trends had begun to establish themselves, especially in the short end of the rates market, which served the process well during September. 

Low Beta Systematic performed in a similar way to the above whilst delivering higher aggregate returns due to the lower equity exposure during the July rally. Return over the period was 250 basis points with a 13.89% volatility and a 1% allocation. 

Emerging markets trading was very challenging during the third quarter. The programme lost 840 basis points, with a volatility around normal. The sharp reversal in the carry currencies followed by deterioration in emerging market sovereign credit spreads damaged performance as liquidity declined and mass liquidations began. 

Allocations to the strategy remained stable at 16% during the period. 

Credit Relative value trading produced 226 basis points on a 15% allocation adding 34 basis points to performance of AllBlue. August was especially good as long standing correlation positions on the key indices paid off, at this point risk was reduced.

Trade Finance made 146 basis points on a 12% allocation providing 17 basis points with an annualised volatility of 2.59%. The same widening of sovereign credit spreads which so damaged the emerging market strategy aided the trade finance business as these high beta spreads widened more than the low beta long assets deteriorated. 

Finally the high frequency equity trading business lost money in the third quarter. The 4% allocation lost 343 basis points, reducing returns for the fund by 14 basis points. Volatility was somewhat above the targeted 10% (at 12.34%). The loss was driven by the breakdown in many usually stable relationships into and out of the Lehman Brothers default. The situation was not helped by the ban on short selling of financials, which necessitated the adjustment of some of the positions. 

In general the diversification of returns within the fund held up very well under unusual circumstances. Risk rules designed to protect the downside under these circumstances operated as expected and high liquidity preferences within the firm protected the business well. 

By the end of the period AllBlue Limited was up 5.43% on the year, an annualised 7.23% with an annualised volatility of 4.39% year to date. This is below target for returns by about 500 basis points and below target for volatility by about 170 basis points. We expect to make this up during the final part of the year and see double digit returns, with 6% volatility as an appropriate expectation for the fund. 

Capital Allocation 

The capital allocation by strategy of AllBlue Limited as at 30 September 2008 was as follows: 

	%
Mixed Arbitrage	28
Trend Following	19
Emerging Markets	16
Credit RV	14
Trade Finance	12
Equity Fast Frequency	5
Low Beta	1
Cash	5

Source of data: BlueCrest Capital Management Limited 

Placing and Offer for Subscription

On 25 July 2008, the Company announced that it had raised approximately GBP92.7 million (using prevailing exchange rates), comprising GBP86.4 million in respect of Sterling C Shares, EUR1.9 million in respect of Euro C Shares and US$9.5 million in respect of US$ C Shares. The C Shares converted into new ordinary shares on 5 September 2008.

Other than described above, the Board is not aware of any material events during the period from 1 July 2008 to the date of this announcement, which would have had a material impact on the financial position of the Company.

Investor Information

The latest available information on the Company can be accessed via www.bluecrestallblue.co.uk. 

By order of the Board

BlueCrest AllBlue Fund Limited

Enquiries:

Anson Fund Managers Limited  - Tel [phone]

19 November 2008

E&OE - In Transmission

END OF ANNOUNCEMENT

 

END

 

 

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