Interim Management Statement

RNS Number : 6715D

BlueCrest AllBlue Fund Ltd

18 May 2012

 



BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 January 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 30 March 2012

	Confirmed NAV 30 March 2012	QTD %	YTD %	ITD %
Sterling Share NAV	£1.6983	0.89	0.89	73.26
Euro Share NAV	€1.6475	0.87	0.87	68.08
US$ Share NAV	US$1.6311	0.77	0.77	66.41

Source: BlueCrest AllBlue Fund Limited

As announced on 16 May 2012, the estimated 11 May 2012 NAVs of the Sterling Shares, Euro Shares and US$ Shares were £1.7146, €1.6628 and US$1.6460, representing an increase in the period since 30 March 2012 of 0.95%, 0.93% and 0.91% respectively.

As at 17 May 2012, the Sterling Shares, Euro Shares and US$ Shares were trading at a discount to their respective NAVs of -3.91%, -3.78% and -4.92%.

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

AllBlue Limited (Class A, USD) generated an estimated return of +0.78% for the period under review.

Through the period, markets generally reflected optimistic expectations for the economy, but continued to be dominated in the short-term by actions taken to avert a Eurozone debt crisis.  The ECB's first Long Term Refinancing Operation (LTRO) in December succeeded in eliminating the short term liquidity and refinancing risks of European banks; this was followed by a second round in February which was widely taken up as the ECB lowered the quality of acceptable collateral in an effort to provide more liquidity to a larger universe of banks.  In the sovereign debt markets, attention remained focused on Greece at the start of the year, with the debt restructuring negotiations being closely followed as the final details were discussed.  The debt swap deal finally closed in March with participation in the PSI (private sector involvement) officially reported at 85.8% before collective action clauses were enforced.  In January the FED announced that rates were likely to remain at extraordinarily low levels until at least the end of 2014, therefore extending the period of exceptional monetary accommodation.  However, in March, a change in the language of the FOMC statement (omitting any reference to the need for further monetary stimulus) together with a more upbeat assessment of the US economy and improved data from the US labour market, led to a sharp rally in bond yields (the 10 year US treasury yield moved from a low of 1.94% on 6 March 2012 to a high of 2.38% on the 19 March 2012).

The annualised volatility of AllBlue for the quarter, as measured on weekly data, has continued to remain low, and has fallen from the end of 2011.  The volatility for this quarter was 2.6%, down from 4.4% in Q4 2011.  Within the portfolio the largest changes in realised volatility were seen in BlueTrend and Multi-Strategy Credit, which both saw volatility return to more typical levels having spiked in Q4 2011 as a result of the sharp market moves seen in October 2011 in particular.

The 95% daily Value-at-Risk figure (Historical) stood at 0.27% of assets as at the end of the first quarter.

Unencumbered cash levels for the underlying funds ranged from 24% for BlueTrend (via the BlueTrend Alignment fund) to 84% for BlueMatrix.  The weighted average unencumbered cash level at the end of the period was 45%.

Reviewing each strategy in turn:

BlueCrest Capital International (Class F, USD) was up +1.85% for the first quarter, with a contribution to AllBlue of +0.60%.  Fund Performance was predominantly driven by the Rates and Fixed Income Relative Value strategies, which benefitted from increased tactical trading opportunities arising from the volatility around events and specific bond market dislocations caused by central bank stimulus programmes.  Across the other desks, only the macro credit allocation detracted from performance as the short China bias underperformed; all other desks made small positive contributions to the performance.

BlueTrend (BlueTrend Alignment Class A, USD) was down -2.36% for the first quarter, with a contribution to AllBlue of -0.39%.  After a solid start to the year, with positive returns in both January and February, market reversals in March led to losses for the strategy.  Looking across the sectors we saw the largest contributions coming from the Energy and Equity sectors, whilst the largest detractors were the Bond, Metals and FX sectors; the short term interest rate and crops sectors both made a small loss over the quarter.  At the end of the quarter the largest risk weightings in the portfolio were the energy and equity sectors.

Emerging Markets (Class A, USD) was up +2.38% for the first quarter, with a contribution to AllBlue of +0.38%.  The team had anticipated and positioned itself for the risk on rally at the start of the year, which led to strong performance in January and February; the strong emphasis on risk control coupled with the active trading and adjustment of strategies ensured that performance in March, where markets demonstrated risk off tendencies were contained.  The year to date performance has been fairly balanced across different products, with local market interest rate strategies leading the performance but closely followed by sovereign credit and foreign exchange strategies.  Regionally, CEEMEA was the largest contributor, followed by Latin America.

Multi Strategy Credit (Class A, USD) was up +0.19% for the first quarter, with a contribution to AllBlue of +0.04%.  January's risk on moves led to losses from the short directional bias and long volatility positioning within the macro credit book, the positions in the book being centred on a short China view.  Over the quarter the team saw profits derived from a number of trading strategies including US High Yield trading, European sovereign debt basis trading (looking at the basis between sovereign bonds and sovereign CDS) and index trading (indices vs. single names).

Mercantile (Class A, USD) was up +1.43% for the first quarter, with a contribution to AllBlue of +0.18%. The start of the year saw a general tightening of basis between trade finance spreads and the CDS spreads, reflecting the continued deleveraging by European banks.  All strategies provided a positive contribution to the performance in the quarter.  The team continued to see numerous opportunities for tactical trading within the Trade Credit Opportunities strategy, where the team trades single name trade finance assets, as a result of the volatility in the trade finance basis across different regions.  The Bank Basel II strategy continued to see steady performance throughout the quarter, and the Commodity Finance strategy benefitted as the sale of the Australian gold mine was completed for a combination of cash and stock.

BlueMatrix (Class A, USD) was down -0.43% for the first quarter, with a contribution to AllBlue of -0.01%.  The quarter started well as stock level correlation remained at low levels at the beginning of the year, this led to solid returns in January and February.  However the strongly correlated moves within regional equity markets in March erased these gains.  Regionally, the US portfolios have provided a positive contribution whilst the European and Asian portfolios detracted.

After the close of the quarter under review, AllBlue Limited, Class A USD, stood at a YTD return of 0.78%. Subsequent to the close of Q1 the fund delivered an estimated performance, through to 30 April 2012, of 1.02% taking the estimated YTD figure to 1.81%. The annualised volatility for 2011, after the close of Q1, was 2.6% 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 May 2012 was as follows:

	%
BlueCrest Capital International	34.4
BlueTrend	18.0
Emerging Markets	16.5
Multi Strategy Credit	16.0
Mercantile	11.8
BlueMatrix	3.2

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

Source of data: BlueCrest Capital Management (UK) LLP

AllBlue Leveraged Feeder Limited

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.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged Feeder Limited ("AllBlue Leveraged"). AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of 50 per cent of its net asset value, giving investment exposure which is 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

The effect of these arrangements is that the Company's aggregate investment exposure to AllBlue remains broadly the same whilst providing access to more immediate liquidity. 

The initial Cash Reserve amounted to approximately 3% of the total assets of the Company as at 5 April 2012. 

By order of the Board

BlueCrest AllBlue Fund Limited

Enquiries:

Anson Fund Managers Limited - Tel [phone]

18 May 2012

E&OE - In Transmission

END OF ANNOUNCEMENT

 

END

 

 

IMSFMGMKMRNGZZM