Interim Management Statement

RNS Number : 5298S

BlueCrest AllBlue Fund Ltd

19 May 2009

 



BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 January 2009 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 31 March 2009

	Final NAV 31 March 2009	QTD %	YTD %	ITD %
Sterling Share NAV	132.25p	5.58	5.58	34.93
Euro Share NAV	€1.2753	5.66	5.66	30.12
US$ Share NAV	US$1.2825	5.28	5.28	30.85

Source: BlueCrest AllBlue Fund Limited

As announced on 13 May 2009, the estimated 8 May 2009 NAVs of the Sterling Shares, Euro Shares and US$ Shares were 133.43p, €1.2867 and US$1.2934, representing an increase in the period since 31 March 2009 of 0.89%, 0.89% and 0.85% respectively. As at 8 March 2009, the Sterling Shares, Euro Shares and US$ Shares were trading at discounts to their respective NAVs of 4.1%, 7.1% and 5.7%.

Quarterly review of AllBlue 

On the invitation of the Directors of the Company, this commentary has been provided by BlueCrest Capital Management LLP as investment manager of AllBlue Limited and is provided without any warranty as to its accuracy and without any liability incurred on the part of the Company, BlueCrest Capital Management L.L.P. or AllBlue Limited. The commentary is provided as a source of useful information for shareholders of the Company but is not attributable to the Company.

AllBlue (US$ class) made 5.32% in the period under review. The first quarter of 2009 marked significant reversals in some of the trends which had dominated capital markets during the second half of 2008. Government actions to free up the flow of interbank credit began to bear fruit, as did the vast increase in central bank balances. Other trends continued, private sector deleveraging continued at a furious pace and generalised credit deterioration persisted. 

The sources of return and risk within AllBlue changed considerably from those which had existed during the second half of 2008, whilst the overall level of volatility increased but within its target range.  AllBlue's volatility rose from the 6% observed in Q4 2008 to 7.16% in Q1 2009 as a result of two significant factors: the large rise in volatility of the mixed arbitrage allocation to nearly 11% in Q1 and an increase in the correlation between that allocation and the trend following systematic allocation during the quarter. This second factor will be closely watched in coming months. 

  The VaR (Monte Carlo 99% daily) of the fund remained approximately stable at about 1% of assets. 

Cash levels ended the period ranging from 11% of assets (in the cash of trade finance) to 91% (in the cash of trend following systematic). The imputed level for AllBlue was up to 59.3% from 57%, still a little lower than the long term average.

Reviewing each strategy in turn:

Mixed arbitrage was up 14.85% on the quarter, contributing 4.03%  to overall performance. Volatility was higher at 11%. The key driver of returns was the fixed income volatility trading book, which benefited from a normalisation of the European volatility curve. Also fixed income relative value trading and foreign exchange volatility trading, both made useful contributions to returns. Elsewhere individual strategy impacts were minor. The allocation to this strategy remained stable at around 29%.

Systematic trading lost 1.42%  basis points during the period with volatility slightly lower than that of the mixed arbitrage book at 10.63%. FX and equities were the main losers with small profits made in fixed income markets. The strategy cost AllBlue 0.33% during the period.  The allocation to systematic remained steady at 22%.

Emerging market trading recovered strongly from the very difficult environment of Q4 2008 posting a 9.12% positive quarter with appropriately high volatility, 18.46% resulting in a 1.36% contribution.  Major contributors to performance were provided by sovereign credit spreads widening and yield curves steepening. The allocation has remained stable at 14.5% during the period.

The trade finance strategy lost 0.23% in Q1 2009 at a cost to AllBlue of around 0.03%.  Hedges made money almost precisely offset by the diminution in the value of the assets. Annualised volatility was a stable 4.8%. 

High frequency equity trading posted a modestly positive quarter 1.04% contributing 0.08% to performance.  Falling volatility and a return to more predictable relationships between stocks has opened the way for both better performance and falling volatility in this strategy. 

Diversification of returns between the various strategies within AllBlue declined markedly during the first quarter of 2009. This was driven, in particular, by the large increase in the correlation between the trend following systematic and mixed arbitrage strategies, as referred to above.  At first sight this may look odd given that one is the best and the other the worst performing strategy. In fact the directions of returns were different on only 3 of the 13 weeks in Q1 2009.  A key to this may be that both are in their own independent ways looking for interest rates to decline and bond prices to rise. We are watching this situation with interest.

With AllBlue having returned an excellent 5.3% in Q1, with volatility in the centre of the targeted range we continue to see the 10-15% return target with 6-8% volatility as reasonable for the fund.

  Capital Allocation 

The capital allocation by strategy of AllBlue Limited as at 31 March 2009 was as follows: 

	%
Capital International	31
Blue Trend	21
Emerging Markets	15
Multi Strategy Credit	13
Mercantile	12
Blue Matrix	7
Cash	1

Continuation Votes 

As announced on 1 April 2009 and 28 April 2009, the rolling 12 month discount floor provision has been triggered for both the Euro and US Dollar classes of the Company's shares by reference to the final NAVs as at 27 February 2009 and 31 March 2009, respectively. This requires, in accordance with the Company's articles of association, a continuation vote to be proposed for these classes of shares by way of ordinary resolution. 

In the Board's opinion, it is likely that the Company's rolling 12 month discount floor provision will also be triggered for the Sterling class of the Company's shares by reference to the final NAV as at 30 April 2009. 

On the assumption that the Sterling class triggers the requirement for a continuation vote within the anticipated time-frame as referred to above, it is proposed that the continuation votes for all three share classes will be held at the same time. Accordingly, the Board intends to post a circular to Shareholders once all three share classes have triggered a requirement for a continuation vote. The circular will convene separate class meetings to be held at which the requisite continuation resolutions will be proposed.

Other than described above, the Board is not aware of any material events during the period from 1 January 2009 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 May 2009

E&OE - In Transmission

END OF ANNOUNCEMENT

 

END

 

 

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