Interim Management Statement

RNS Number : 7379C

BlueCrest AllBlue Fund Ltd

18 November 2009

 



BlueCrest AllBlue Fund Limited

(the "Company")

Interim Management Statement

This interim management statement relates to the period from 1 July 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 LLP. 

NAV Performance as at 30 September 2009

	Final NAV 30 September 2009	QTD %	YTD %	ITD %
Sterling Share NAV	£1.4907	3.62	19.01	52.08
Euro Share NAV	€1.4370	3.66	19.06	46.61
US$ Share NAV	US$1.4443	3.54	18.56	47.36

Source: BlueCrest AllBlue Fund Limited

As announced on 18 November 2009, the estimated 13 November 2009 NAVs of the Sterling Shares, Euro Shares and US$ Shares were 153.29p, €1.4793 and US$1.4851, representing an increase in the period since 30 September 2009 of 2.83%, 2.94% and 2.82% respectively. As at 13 November 2009, the Sterling Shares and Euro Shares were trading at discounts of 0.19% and 1.99% to NAV respectively and the US$ Shares were trading at a premium to NAV of 1.34%.

Quarterly review of AllBlue Limited provided by BlueCrest Capital Management LLP

AllBlue Limited (US$ class A) generated 8.76% in returns for the third quarter. Annualised volatility for the quarter increased from 6.10% in Q2 to 6.59%.

AllBlue saw positive returns generated by all of the underlying funds. The trading environment continues to be conducive to alpha generation for the discretionary funds and, additionally, Systematic trading is now in positive territory for the year after a recovery in Q3.

Fund correlations broadly remained the same relative to Q2. The funds exhibiting higher correlations to AllBlue tend to have higher allocation levels. Mixed Arbitrage had a relatively high allocation in AllBlue, and also had the highest correlation. The resulting diversification of the funds has worked well. This year the returns have been driven by the discretionary funds whereas last year Systematic trading dominated.

Taking each strategy in turn:

Mixed Arbitrage was up 11.30% for the third quarter, contributing 3.29% to the returns of AllBlue. For the third quarter, each desk within Mixed Arbitrage generated positive returns. The majority of the returns were generated by the Rates Desk, which saw a rich opportunity set in line with the rest of 2009. The volatility and front-end interest rate strategies both did well. Uncertainty has been mispriced as the markets were anticipating rate hikes in the developed markets too soon. The Bond Relative Value Desk also had a strong quarter. This desk's returns resulted from price anomalies across the interest rate spectrum. Trades were executed where the anomalies were closed as a result of exogenous events such as treasury bond auctions and treasury bond futures delivery. The FX Volatility Desk also did well as volatilities in these markets were mispriced across various dimensions: maturity dates, strike price, and currencies. 

Systematic trading generated 8.29% for the third quarter bringing the YTD return to 2.69%. The contribution to AllBlue was 1.71%. The quarter, mainly August and September, was marked with some of the highest conviction levels for the year indicating the emergence of several trends. The returns for the quarter were mostly attributable to the equities and short interest rates sectors. The energies sector was the primary driver of negative contributions. 

The Emerging Markets ("EM") strategy returned 15.74% for the third quarter bringing the YTD return to 36.75%. AllBlue saw a contribution of 2.32% as a result. Spread compression positions in EM corporate credit risk and Argentine sovereign debt performed well on the quarter. Additionally, some EM countries saw continued stifled growth leading to rate cuts, mainly in Mexico and Brazil, for which this strategy was well positioned.

Credit Relative Value generated 6.32% for the third quarter contributing 0.89% to AllBlue. The YTD return for the fund is 12.16%. The strategy has focused on fundamental thematic credit trading including views on single companies, sectors, and different parts of the capital structure. While technically driven trading was a major driver of returns in 2008, it has become a smaller part of the portfolio. 

Trade Finance generated 3.68% for the third quarter. The contribution to AllBlue was 0.42% and the YTD return for the strategy is 0.36%. The source of returns were threefold: trade finance assets generated carry, some of the assets matured paying face value, and there was a general tightening in credit spreads which also led to some losses on the hedges.

Finally, High Frequency Equity trading generated a return of 2.05% for the third quarter contributing 0.13% to AllBlue. The YTD return for the strategy is now 14.09%. The fund is performing well as mean-reversion strategies typically perform well in decreasing volatility environments.

After the close of the period under review, AllBlue stood at a YTD return of 18.64%. The annualised volatility YTD, after the close of Q3, was 6.60% which is in the target range of 6-8%. AllBlue continues to perform well as a result of the underlying funds' performance supported by the diversification achieved by the allocation process. AllBlue has captured the opportunities as they have presented themselves in the dynamic trading environment this year. 

AllBlue added a new fund to the portfolio with effect from the beginning of Q4.  BlueCube Limited is a systematic Equity Market Neutral fund which allocates across a number of equity strategies capturing fundamental, technical and sentiment signals.   The initial allocation made was 2% of the total portfolio.

Capital Allocation 

The capital allocation by strategy of AllBlue Limited as at 30 September 2009 was as follows: 

Underlying fund	Allocation %
BlueCrest Capital International Limited (Mixed Arbitrage)	31
BlueTrend Fund Limited (Systematic trading)	19
BlueCrest Multi-Strategy Credit Fund Limited (Credit Relative Value)	14
BlueCrest Emerging Markets Fund Limited (Emerging Markets)	16
BlueCrest Mercantile Fund Limited (Trade Finance)	11
BlueMatrix Fund Limited (High Frequency Equity trading)	7
BlueTrend UCITS Fund (Systematic trading)	2
Cash	0

Source: BlueCrest Capital Management LLP 

Continuation votes

Following the triggering of the Company's rolling 12 month discount floor provision for each of the Company's share classes in the first half of the year, continuation votes were proposed by way of ordinary resolutions in accordance with the articles of association. At the separate class meetings held on 12 August 2009, the continuation votes for all three classes were duly passed.

Proposed fundraising

On 11 November 2009, the Board of the Company announced that, in response to investor demand, the Company is considering, in the absence of unforeseen circumstances, a placing and offer for subscription of C Shares. A further announcement containing details of the issue and the proposed timetable will follow in due course. 

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

E&OE - In Transmission

END OF ANNOUNCEMENT

 

END

 

 

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