Interim Management Statement

RNS Number : 0375F

BlueCrest AllBlue Fund Ltd

17 May 2013

 



BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 January 2013 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 28 March 2013

	Confirmed NAV 28 March 2013	QTD %	YTD %	ITD %
Sterling Share NAV	£1.8274	1.92	1.92	86.43
Euro Share NAV	€1.7622	1.87	1.87	79.79
US$ Share NAV	US$1.7452	1.88	1.88	78.05

Source: BlueCrest AllBlue Fund Limited

As announced on 15 May 2013, the estimated 10 May 2013 NAVs of the Sterling Shares, Euro Shares and US$ Shares were £1.8531, €1.7878 and US$1.7708, representing a increase in the period since 28 March 2013 of 1.41%, 1.45% and 1.47% respectively.

As at 15 May 2013, the Sterling Shares, Euro Shares and US$ Shares were trading at a discount to their respective NAVs of 0.01%, 1.83% and 1.17%.

Quarterly review of AllBlue as issued by BlueCrest, its investment manager

AllBlue Limited (Class A GBP) generated an estimated return of +1.85% for the first quarter.

As 2013 began, an optimistic sentiment prevailed across global markets. Uncertainty surrounding the Eurozone crisis persisted; however, in contrast to the synchronised global moves of last year, domestic drivers were a strong influence on regional behaviour around the globe, reducing the correlation to Europe.

The quarter started with a strong risk-on move in reaction to the resolution of the negotiations to manage the US 'Fiscal Cliff'. The positive outlook continued through January with catalysts including better than expected corporate earnings releases and belief that the Eurozone crisis was stabilising both driving gains in risky assets. As the quarter progressed, Eurozone uncertainty reappeared, with inconclusive election results in Italy and increasing support of anti-austerity parties raising the spectre that the path to recovery for the broader Eurozone could be derailed. European concerns continued when Cyprus announced a levy on bank depositors and capital controls in order to meet Troika requirements for a $10bn bail-out. However, data from the US indicated better than expected economic performance and, despite concerns relating to the "sequestration" that came into effect in March, the upside surprise in figures continued through the quarter.

In Japan we witnessed a series of developments throughout the quarter that captured the market's attention and led to substantial moves across asset classes. At the beginning of the year, the Bank of Japan announced an increased formal inflation target of 2% and a policy of open ended bond buying in order to stimulate the economy. As speculation intensified around the identity of the new Bank of Japan governor and, specifically the methods that might be adopted to drive growth, market volatility increased. With the arrival of the new governor in March, JGB yields hit their lowest level since 2003.

During the first quarter, all six strategies posted positive returns and contributions to AllBlue, with the greatest contributions provided by Multi Strategy Credit and BlueTrend Alignment. Further details on the drivers of performance for each strategy are covered below.

In response to an environment that is anticipated to be more favourable to the systematic trend following approach of BlueTrend Alignment, coupled with the continuing research developments that are serving to enhance the underlying models, the Allocation Committee elected to increase the weighting of the strategy in the portfolio by approximately 4%.

AllBlue's VaR (95% confidence, 1 day VaR based on 3 year historical simulation) stood at 0.32% of assets as at the end of the first quarter, this was slightly lower than the previous quarter where the VaR stood at 0.35%.

Strategy Review by Fund

BlueCrest Capital International was up an estimated 0.28% (Class F GBP) for the first quarter, with a contribution of 0.03% to AllBlue.  Within the fund, the Rates strategy provided the greatest contribution to performance over the quarter, with a significant portion of the gains generated from the interest rate volatility trading and yield curve trading sub-strategies.  The Fixed Income Absolute Return (Alignment) strategy held a long bias to government bonds that led to losses at the start of the year although performance partially recovered in February and March after strength in bond markets resumed. The remaining strategies within the fund made modest positive contributions over the quarter, with no major themes driving performance.

BlueCrest Emerging Markets was up an estimated 1.34% (Class A GBP) for the first quarter, with a contribution of 0.22% to AllBlue. All regional strategies performed positively over the period.  Latin America was the most profitable region as the portfolio held long-biased positions in local markets rates that benefited from the reduction in yields over the quarter.  In other regions, Asia also contributed positively to performance, predominantly from FX trading around the moves in JPY and other Asian currencies.  Conversely, rising concerns on the Eurozone and the volatility caused by the Cypriot crisis negatively impacted the CEEMEA portfolios, resulting in only a modest contribution to performance this quarter.

BlueCrest Multi Strategy Credit was up an estimated 3.14% (Class A GBP) for the first quarter, with a contribution of 0.63% to AllBlue. The US portfolios made the greatest contribution to performance over the period, particularly from the High Yield trading strategy. Within the strategy, gains were driven by both tactical trading as well as positions based upon fundamental valuation analysis.  Macro Credit trading, in both European Sovereigns and US housing-related themes, contributed positively.  Meanwhile, the European portfolios made more modest gains, with performance driven by active trading of single name positions and indices with a short bias, benefitting from the deteriorating sentiment towards the Eurozone.

BlueCrest Mercantile was up an estimated 1.68%% (Class A GBP) for the first quarter, with a contribution to AllBlue of 0.18%.  The Trade Credit Opportunities and Bank Basel II sub-strategies had steady positive performance during the quarter, whilst the Commodities Finance substrategy had modestly negative performance.  Within the Bank Basel II sub-strategy the performance of all the underlying asset portfolios remained good and additionally there was a contribution from the net basis between positions, as hedges widened whilst the capital value of the assets was largely unchanged due to the low underlying default rates. The Commodities Finance sub-strategy had modest negative performance due to gold related assets.

BlueTrend Alignment was up an estimated 4.29% (Class A GBP) for the first quarter, with a contribution to AllBlue of 0.58%. The quarter started strongly for BlueTrend, although changes in market sentiment in February led to a short period of more challenging conditions, before many of the price trends that had been present in January re-emerged and persisted through March. Performance was mixed across the sectors traded, with three out of the seven providing a positive return for the quarter. The largest contribution came from the equity sector, benefitting from the strong rally witnessed this year, with FX and bond sectors also delivering positive returns. The short term interest rate sector was the largest detractor from fund performance, with the crop, energy and metal sectors also in negative territory.

BlueMatrix was up an estimated 3.38% (Class A GBP) for the first quarter, with a contribution to AllBlue of 0.18%. Over the course of the quarter the European and US portfolios were profitable, whilst the Asian portfolios detracted from returns. Within the Asian portfolios the Analyst Estimate, Value and BlueTrend Alpha signals provided positive contributions whilst the Financial Statement Analysis signal detracted; in Europe most signals added a positive contribution, with Analyst Estimates and Alpha Capture being the strongest; in the US most signals were also positive contributors for the quarter, with the Analyst Estimates, Value and Financial Statement Analysis being the strongest signals.

After the close of the quarter under review, AllBlue Limited, Class A GBP, stood at a YTD return of 1.85%,  with the rolling 12 month return standing at +7.36%, delivered with an annualised volatility of 2.13%.  AllBlue continues to deliver solid risk adjusted returns as a result of the underlying funds' performance which is supported by the diversification obtained from the allocation process.

Capital Allocation

The capital allocation by strategy of AllBlue Limited as at 1 April 2013 was as follows:

	%
BlueCrest Capital International	27.3
Multi Strategy Credit	21.5
Emerging Markets	18.0
BlueTrend Alignment	16.0
Mercantile	11.0
BlueMatrix	6.2

Source of data: BlueCrest Capital Management (UK) LLP

Share buy-back

As announced on 28 May 2012 the Company has appointed a buy back agent, who has a mandate that is intended, in part, to help alleviate any significant discount pressures through the repurchase of shares on behalf of the Company.

In the period from 1 January 2013 to the date of this statement, the Company has purchased 10,810,868 of its Sterling Shares. In aggregate, 29,314,797 Sterling Shares are currently held in Treasury.

Material Events

Pursuant to the Company's Articles of Incorporation (the "Articles"), if the Ordinary Shares of a particular class trade at more than an average discount of 5 per cent. to their Net Asset Value ("NAV") for a 12 month period, a continuation vote in respect of that particular class is triggered.  This provides the shareholders of a class the opportunity to vote on the continued existence of that class.  As announced on 31 January 2013, continuation votes were triggered for each of the Sterling and US Dollar share classes and on 28 February 2013 a continuation vote was triggered for the Euro share class.

On 17 April 2013, the Company convened the necessary class meetings proposing the respective continuation votes. The continuation votes in respect of the Euro share class and the Sterling share class were passed and therefore no further continuation vote is capable of being triggered until 31 December 2013 for the Sterling share class and 31 January 2014 for the Euro share class.

However, the Company did not receive sufficient votes from US Dollar shareholders to pass the continuation vote and therefore the Company published a circular on 1 May 2013 to the US Dollar shareholders offering to redeem their US Dollar Shares at the NAV calculated on 28 June 2013 (less the costs of all such redemptions). The Redemption Officer closes at1.00 p.m. on 22 May 2013. 

Pending conclusion of the Redemption Offer, the Board has suspended all future conversions of Euro Shares and Sterling Shares into the US Dollar Share class.

Disclaimer

The Company has used reasonable care to ensure that the information included in this document is accurate at the date of its issue, but does not undertake to update or revise the information, including any information relating to AllBlue Limited and its underlying funds provided by BlueCrest Capital Management (UK) LLP, or guarantee the accuracy of such information.  To the extent permitted by law neither the Company nor its directors or officers shall be liable for any loss or damage that anyone may suffer in reliance on such information. The information in this document may be changed by the Company at any time.

Past performance cannot be relied on as a guide to future performance.  The Company's investment strategy is speculative and entails substantial risks.  The value of an investment may go down as well as up and some or all of the total amount invested may be lost.

By order of the Board

BlueCrest AllBlue Fund Limited

Enquiries:

Anson Fund Managers Limited - Tel [phone]

17 May 2013

E&OE - In Transmission

END OF ANNOUNCEMENT

 

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