Interim Management Statement

RNS Number : 4765R

BlueCrest AllBlue Fund Ltd

19 November 2012

 



BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 July 2012 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 September 2012

	Confirmed NAV 28 September 2012	QTD %	YTD %	ITD %
Sterling Share NAV	£1.7668	2.89	4.95	80.25
Euro Share NAV	€1.7096	2.72	4.67	74.42
US$ Share NAV	US$1.6924	2.74	4.55	72.66

Source: BlueCrest AllBlue Fund Limited

As announced on 14 November 2012, the estimated 9 November 2012 NAVs of the Sterling Shares, Euro Shares and US$ Shares were £1.7667, €1.7077 and US$1.6908, representing a decrease in the period since 28 September 2012 of 0.0057%, 0.1111% and 0.0945% respectively.

As at 9 November 2012, the Sterling Shares, Euro Shares and US$ Shares were trading at a discount to their respective NAVs of 5.813%, 5.867% and 6.110%.

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

AllBlue Limited (Class A, USD) generated a return of +2.77% in the third quarter of 2012.

In summary, through the period, markets were dominated by the Eurozone debt crisis and concerns over global growth.  Central banks increased their support through a combination of rate cuts, strong rhetoric and additional stimulus commitments.

The quarter started with data showing that, on balance the global economy had deteriorated further.  However, this data was overshadowed by optimism which came from the expectation of a meaningful response from central banks, with rhetoric of potential unlimited monetary stimulus from the US and Europe, which helped markets earlier in the quarter.  The anticipation and then the subsequent announcements of proposed support measures drove a significant rally in risky assets and also led to lower rates expectations that modestly reduced bond yields.

In the US, key events over the quarter were the Federal Reserve (Fed) minutes from the August policy meeting and then the Chairman's speech in Jackson Hole at the end of August, which gave clear indications that both an extension of 'lower for longer' interest rates and further balance sheet expansion would be just a matter of time.  These indications subsequently were delivered in September with the announcement of lower rates until 2015 and another round of quantitative easing, 'QE3'. In Europe, the ECB president outlined his plans to intervene in the debt markets of governments that requested support from the EFSF/ESM, subject to "strict conditionality".  These plans were formalised in September through the announcement of the Outright Monetary Transactions program (OMT), offering to buy shorter-dated government bonds to suppress bond yields.

The annualised volatility of AllBlue for the quarter, as measured on weekly data, has continued to remain low and relatively stable during 2012.  The volatility for this quarter was 2.2%, a marginal fall from the level of 2.5% experienced in Q2.  Within the portfolio the individual strategies did not see any significant changes in delivered volatility.  BlueMatrix and Multi Strategy Credit delivered a marginally lower volatility, whilst in the volatility of BlueTrend Alignment and Emerging Markets was marginally higher.

The 95% daily Value-at-Risk figure (Historical) stood at 0.24% of assets as at the end of the third quarter, compared to the range of 0.17% to 0.29% witnessed in 2012 to date.

Unencumbered cash levels for the underlying funds ranged from 20% for BlueTrend (via the BlueTrend Alignment fund) to 71% for BlueMatrix.  The weighted average unencumbered cash level at the end of the period was 41%.

Reviewing each strategy in turn:

BlueCrest Capital International (Class F, USD) was up +2.48% for the third quarter, with a contribution to AllBlue of +0.91%.  Fund Performance was predominantly driven by the Rates strategy, which benefitted from increased tactical yield curve and volatility trading opportunities arising as a result of market uncertainty around macro events (specifically the Eurozone sovereign debt situation).  Across the other trading teams within the fund, Fixed Income Relative Value, Cross Asset Convexity and Alignment (Fixed Income Absolute Return) all provided positive return contributions, whilst Venture Finance, Macro Credit and Equity Derivatives detracted.

BlueTrend (BlueTrend Alignment Class A, USD) was up +7.24% for the third quarter, with a contribution to AllBlue of +0.92%.  After a solid start to the quarter, with strong positive returns in July, market reversals and increased volatility led to smaller returns over the remainder of the quarter.  Looking across the sectors we saw six of the seven sectors returning a positive contribution to the strategy, with only metals detracting.  The largest contributions came from the equity and short term interest rate sectors.  At the end of the quarter the largest risk weighting in the portfolio was to the equity sector, followed by bonds, FX and the energy sector.

Emerging Markets (Class A, USD) was up +3.52% for the third quarter, with a contribution to AllBlue of +0.57%.  Overall, Emerging Markets as an asset class performed strongly over the quarter, supported by relatively attractive local economic fundamentals and substantial investment inflows from traditional investors.  However, given uncertainties in developed markets, particularly in the Eurozone, broader global growth concerns led to bouts of volatility.  The team was able to benefit from gains in a number of trading strategies as, across all regions, traders took advantage of tactical opportunities to trade around core positions, adding to the fund performance.  The strongest regional performance came from CEEMEA and Latin America, with the Rates strategies the highest asset class contributor, capturing opportunities from the global easing cycle.  The fund also benefited from Sovereign Credit and EM FX strategies.

Multi Strategy Credit (Class A, USD) was up +1.47% for the third quarter, with a contribution to AllBlue of +0.29%.  Credit markets rose with other risky asset classes over the quarter and the fund was able to capture trading opportunities that presented themselves, particularly in the US.  As markets stabilized at the start of the quarter, the team's active trading in US and European corporate credit indices and single names drove profits.  Then, as the environment improved and credit spreads tightened, the addition of some tactical long positions (including short dated US high yield exposures) performed well.  Following the Fed's announcement of QE3 and their intention to buy mortgages, valuations in ABS positions improved and contributed positively to performance; however, a short bias to European sovereigns within the macro credit strategies detracted from returns after spreads tightened following the ECB's announcement of further support.

Mercantile (Class A, USD) was up +0.62% for the third quarter, with a contribution to AllBlue of +0.08%.  The fund's Trade Credit Opportunities and Bank Basel II sub-strategies had positive performance during the quarter, whilst the Commodities Finance sub-strategy detracted from performance.  Within the Bank Basel II sub-strategy, performance of the underlying portfolios remained extremely good throughout the quarter with overall default rates continuing to be very low.  In the Trade Credit Opportunities sub-strategy, we continued to adopt a defensive position and with a shorter duration of assets in the portfolio, allowing the team to maintain an opportunistic and trading oriented approach to new asset acquisition.  The Commodities Finance sub-strategy saw losses on some of the gold related assets.

BlueMatrix (Class A, USD) was down -0.11% for the third quarter, with a contribution to AllBlue of -0.00%.  High levels of single stock correlations continued to present a challenging environment for statistical arbitrage strategies, and resulted in the strategy posting a small loss across the quarter,  Regionally, the US portfolios have provided a positive contribution whilst the European and Asian portfolios detracted.  Looking at the portfolio across sectors we saw Energies providing the largest gains whilst Technology was the largest detractor.

After the close of the quarter under review, AllBlue Limited, Class A USD, stood at a YTD return of 4.64%. Subsequent to the close of Q3 the fund delivered an estimated performance, through to 31 October 2012, of -0.19% taking the estimated YTD figure to 4.44%. The annualised volatility for 2012, after the close of Q3, was 2.4% which is below the target range of 6-8%.  AllBlue continues to deliver solid risk adjusted returns in a challenging environment as a result of the underlying funds' performance which is supported by the diversification obtained from the allocation process.

Source of data: BlueCrest Capital Management (UK) LLP

Capital Allocation

The capital allocation by strategy of AllBlue Limited as at 1 November 2012 was as follows:

	%
BlueCrest Capital International	35.0
BlueTrend	12.0
Emerging Markets	16.5
Multi Strategy Credit	20.0
Mercantile	11.2
BlueMatrix	5.3

Note: Exposure to BlueTrend is obtained via BlueTrend Alignment Fund Limited.

Source of data: BlueCrest Capital Management (UK) LLP

Share buy-back

As announced on the 26 March 2012, the Company redeemed a portion of its investment in each share class of AllBlue (on a pro rata basis) on 1 April 2012 in order to generate a cash reserve (the "Cash Reserve") for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of shares. Following the creation of the Cash Reserve the Company announced the appointment of 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 July 2012 to the date of this statement, the Company has purchased 11,955,111 of its Sterling Shares. In aggregate, 12,405,111 Sterling Shares are currently held in Treasury.

By order of the Board

BlueCrest AllBlue Fund Limited

Enquiries:

Anson Fund Managers Limited - Tel [phone]

19 November 2012

E&OE - In Transmission

END OF ANNOUNCEMENT

 

END

 

 

IMSFMMMMDLVGZZM