Interim Management Statement

RNS Number : 4959W

BlueCrest AllBlue Fund Ltd

19 November 2010

 



BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 July 2010 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, self-managed closed-ended investment company admitted to trading on the main market of 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") or any successor vehicle of AllBlue. AllBlue invests in a diversified portfolio of underlying funds, each of which has its own distinctive investment objective and approach, and in respect of which BlueCrest Capital Management LLP ("BlueCrest") acts as investment manager.

NAV Performance as at 30 September 2010

	Final NAV 30 September 2010	QTD %	YTD %	ITD %
Sterling Share NAV	£1.6396	2.44	7.70	67.28
Euro Share NAV	€1.5824	2.44	7.72	61.44
US$ Share NAV	US$1.5846	2.38	7.48	61.66

Source: BlueCrest AllBlue Fund Limited

As announced on 17 November 2010, the estimated 12 November 2010 NAVs of the Sterling Shares, Euro Shares and US$ Shares were £1.6551, €1.5973 and US$1.5989, representing an increase in the period since 30 September 2010 of 0.945%, 0.942% and 0.902% respectively. As at 12 November 2010, the Sterling Shares, Euro Shares and US$ Shares were trading at premiums to their respective NAVs of 5.43%, 6.43% and 6.32%.

Quarterly review of AllBlue

AllBlue (US$ class) made 2.44% in the third quarter of 2010.  This period started with the market squarely focused on European concerns, in particular the release of the European bank stress tests.  Despite some reservations over the magnitude of the stress tests and limitations to the trading books for sovereign stress, the market reacted positively.  The quarter also saw more signs that the Federal Reserve is likely to remain on hold for longer and there is the expectation of more QE down the line.

The annualised volatility of AllBlue for the quarter, as measured on weekly data, continued to fall reaching 1.6% in Q3 down from 4.0% in Q2.  Most funds saw their volatility levels fall by at least one third from the levels in Q2, within the portfolio the largest change was seen in BlueMatrix, where the strategy dropped back to its typical levels after the heightened volatility in Q2 (around the May market moves).  The only fund to see an increase in volatility since the last quarter was Emerging Markets, which saw an increase of 0.4%.

The historical VaR (Historical 95%, daily) of the fund stood at less than 0.5% of assets as at the end of the second quarter.

Unencumbered cash levels for the underlying funds ranged from 23% for Mercantile, to 89% for BlueTrend.  The weighted average unencumbered cash level at the end of the period was 63.5%.

Reviewing each strategy in turn:

BlueCrest Capital International was up 1.6% for the third quarter, with a contribution to AllBlue of +0.55%. During the third quarter the returns were driven by the Rates desk where the team continued to make good returns from core views around rates being held lower for longer; steepness of the yield curves; and the level of volatility in the long-dated fixed income markets.  The Relative Value desk also generated a positive contribution as the opportunities in RV trading continued in the EUR, USD and GBP markets.  There were no significant detractors to performance across any of the desks. The allocation to this strategy reduced slightly to around 31%.

BlueTrend was up 5.88% for the third quarter, with a contribution to AllBlue of +0.77%.  After the volatility of Q2 we saw a more favourable environment for BlueTrend in Q3.  The majority of the returns came late in the quarter, the last few weeks of September to be precise, as the strategy was able to capture the strong performance in the risky assets.  Over the quarter the strongest sectors continued to be the fixed income markets, although all bar one sector finished the month in positive territory.  The Margin to Equity of the programme has also responded to the opportunity set sitting at 18.7% at the end of the quarter.

Emerging Markets was up 5.33% for the third quarter, with a contribution to AllBlue of +0.87%.  Throughout the quarter the team has had the view that the market environment continues to become increasingly supportive of EM fixed income and therefore it is no surprise that it is the positioning within local interest rate markets that have driven returns.  Trading within the sovereign credit markets also added to the positive returns.  Positioning and hence returns within EM FX was relatively light.

Multi Strategy Credit was up 2.07% for the third quarter, with a contribution to AllBlue of +0.34%.  The desk started the quarter positioned fairly defensively with the impending release of the European bank stress tests; the strategy had a bearish stance entering August before turning that around in expectation of a market bounce in September.  The desk has continued to focus on Long/Short credit opportunities which have presented themselves and these performed well throughout the quarter.

Mercantile was down 0.76% for the third quarter, with a contribution to AllBlue of -0.10%. The trade credit opportunities sub-strategy was the best performing sub-strategy as the quarter presented many opportunities for basis trading.  The Bank Basel II sub-strategy continued to perform strongly with no defaults in any of the underlying portfolios.  These returns were offset by losses in the commodity finance sub-strategy with a reduction in asset value on positions and the ongoing cost of maintenance on the assets.

BlueMatrix was up 2.27% for the third quarter, with a contribution to AllBlue of +0.09%.  The strategy saw a good start to the quarter as the positions entered in June that went against the strategy saw a strong bounce in July.  The strategy continued to perform well through the quarter taking the opportunities that were presented to it.  It finished the quarter with a small net short position, whilst holding net long positions in some sectors.

Finally, BlueCube was down -1.84% for the third quarter, with a contribution to AllBlue of -0.04%.  The fund finished the quarter with the Momentum strategy taking the highest weighting having contributed highly in July and September.  The Capital Dynamics strategy also performed well.  Earnings Recommendations and Earnings Quality continue to have a small weighting in the fund.

After the close of the period under review, AllBlue, Class A USD, stood at a YTD return of 7.64%. Subsequent to the close of Q3 the fund delivered an estimated performance of 0.55% taking the YTD figure to 8.23%. The annualised volatility for 2010, after the close of Q3, was 3.42% which is below the target range of 6-8%. AllBlue continues to perform well as a result of the underlying funds' performance supported by the diversification sourced by the allocation process. AllBlue has captured the opportunities as they have presented themselves in the dynamic trading environment so far this year.

Source of data: BlueCrest Capital Management LLP

Capital Allocation

The capital allocation by strategy of AllBlue Limited as at 1st October 2010 was as follows:

	%
BlueCrest Capital International	31.2
BlueTrend	13.2
Emerging Markets	18.5
Multi Strategy Credit	18.5
Mercantile	12.9
BlueMatrix	3.9
BlueCube	1.8

Source of data: BlueCrest Capital Management LLP

Placing and Offer for Subscription of C Shares

On 21 June 2010 the Company announced it had raised approximately £348.6 million (using prevailing exchange rates as at 4.30 p.m. London time on 17 June 2010), comprising £309.5 million in respect of Sterling C Shares, EUR8.1 million in respect of Euro C Shares and US$47.8 million in respect of US$ C Shares.  The C Shares converted into new ordinary shares on 9 August 2010 with 0.6185 Sterling Shares for every one Sterling C Share, 0.6407 Euro Shares for every one Euro C Share and 0.6395 US Dollar Shares for every one US Dollar C Share.

.

Monthly Conversion Facility

As announced by the Company on 23 September 2010, at the Extraordinary General Meeting of the Company's shareholders held 22 September 2010, the shareholders passed a resolution amending the Company's Articles of Association so that the Company may, at the discretion of the Directors, offer a monthly conversion facility as at the first business day of each calendar month.

Placing and Offer for Subscription of new Ordinary Shares

On 23 September 2010 the Company announced the placing for cash of 46,363,168 Sterling Shares; 977,928 new Euro Shares and 5,251,553 new US$ Shares, representing 9.99 per cent. of the issued share capital, raising the equivalent of approximately £83.3 million of new monies (before expenses). Admission of these new shares became effective and dealings commenced on 28 September 2010. 

By order of the Board

BlueCrest AllBlue Fund Limited

Enquiries:

Anson Fund Managers Limited - Tel [phone]

19 November 2010

E&OE - In Transmission

END OF ANNOUNCEMENT

 

END

 

 

IMSZMMMMGLVGGZM