Interim Management Statement

RNS Number : 4749H

BlueCrest AllBlue Fund Ltd

19 May 2014

 



BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 January 2014 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 31 March 2014

	Confirmed NAV 31 March 2014	QTD %	YTD %	ITD %
Sterling Share NAV	£1.8609	1.91	1.91	89.85
Euro Share NAV	€1.7951	1.89	1.89	83.14
US$ Share NAV	US$1.7793	1.88	1.88	81.53

Source: BlueCrest AllBlue Fund Limited

As announced on 14 May 2014, the estimated 9 May 2014 NAVs of the Sterling Shares, Euro Shares and US$ Shares were £1.8774, €1.8106 and US$1.7945, representing an increase in the period since 31 March 2014 of 0.89%, 0.86% and 0.85% respectively.

As at 10 May 2014 (being the latest date for prior to release of this management statement), for the purposes of the continuation mechanism the Sterling Shares, Euro Shares and US$ Shares were trading at a discount to their respective NAVs of 3.34%,3.00% and 2.62%.

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

AllBlue (Class A GBP) generated a net return of 1.82% for the first quarter.

Markets entered 2014 with a sense of optimism on the economy, with the US Federal Reserve's tapering actions widely accepted. However unfolding events in emerging markets soon began to unsettle investors, as political unrest in a number of countries and growth concerns in China weighed on risk appetite, leading to a fall in global stocks, a widening of credit spreads and a rally in core government bonds. Confidence returned in February and prompted a recovery in risky assets, with developed market equity and credit benchmarks regaining much of their losses. A period of range-bound trading then ensued for markets in March, with attention focused on potential ramifications of the fast-moving political events in Ukraine and Russia.

Economic data were mixed across countries during the quarter. Weak US numbers for employment and industrial production were blamed on exceptionally poor weather over the winter, and the US Federal Reserve continued to regularly reduce the pace of its asset purchases. Europe remained weak overall, with persistently low inflation and high unemployment rates, but the ECB refrained from making policy changes. Better data was reported in the UK, with lower unemployment and higher GDP growth figures, resulting in a modified policy stance from the Bank of England. The Bank of Japan continued its massive asset purchase program, while monitoring the impact of reforms including an increase in the sales tax.

Over the quarter, performance across asset classes and regions was mixed.  Equities returns were varied, with the US and Europe posting small gains (S&P500 +1.3% and EuroStoxx 50 +1.7%) whereas the FTSE 100 fell by -2.2% and the Nikkei saw the largest decline of -9%. Increased uncertainty, and demand for safe haven assets, was reflected in falling yields of major bond issues.

Five of the six underlying strategies posted positive returns during the quarter. BlueCrest Multi Strategy Credit and BlueMatrix made the greatest contribution, followed by smaller gains from BlueCrest Capital International, BlueCrest Mercantile and BlueCrest Emerging Markets.  BlueTrend detracted from performance in a challenging environment for the strategy. Further details on the drivers of performance for each strategy are covered below.

Over the course of the quarter the allocations to BlueMatrix, BlueCrest Multi Strategy Credit and BlueCrest Capital International were increased by approximately 5.6%, 2.6% and 0.5% respectively.  The allocations to BlueTrend and BlueCrest Emerging Markets were reduced by approximately 5% and 3.5% respectively.

AllBlue's VaR (95% confidence, 1 day VaR based on 3 year historical simulation) stood at 0.22% of assets as at the end of March, down from 0.38% at the end of the previous quarter.

Strategy Review By Fund

BlueCrest Capital International was up 0.78% (Class F GBP) for the first quarter, with a contribution of 0.15% to AllBlue. The Rates strategy continued to be the main driver of performance, and by region, North American and European strategies were equally successful, with more modest gains from Asian and Cross Market strategies.  In North America, directional and relative value rates trading were profitable, as was trading in the liquid mortgage markets.  In Europe, European yields traded within a tight range of the period, reducing tactical trading opportunities; however, directional positions benefited from increased expectations of future stimulus.

BlueCrest Emerging Marketswas up 0.82% (Class A GBP) for the first quarter, with a contribution of 0.13% to AllBlue. The Asian portfolio was the best contributor, outperforming more modest gains from the Latin American portfolio and small loses from the CEMEA portfolio.  By strategy, Local Rates and Sovereign debt strategies were the greatest contributors, with smaller gains from Credit and broadly flat performance from Equities and FX strategies. The Asian portfolio generated gains predominantly from currency strategies. Latin American trading was mixed, with no major themes, as tactical trading strategies across many markets contributed to modest gains. The CEMEA portfolio saw gains from positions in Hungary and South Africa, however positions relating to Russia detracted on concerns of the negative impact of sanctions.

BlueCrest Multi Strategy Creditwas up 5.56% (Class A GBP) for the first quarter, with a contribution of 1.22% to AllBlue.  All strategies, across both the European and North American portfolios, contributed positively to performance, with the exception of Macro Credit which had flat results. Long/Short and High Yield strategies were the greatest contributors, as numerous trading positions were profitable including specific single name credits within the Financials, Media and Telecoms sectors.  More modest contributions were made by the Convertible Arbitrage and Volatility strategies, as overall higher volatility benefitted the strategies, but risk aversion in March did lead to some dislocations in markets.

BlueCrest Mercantile was up 1.29% (Class A GBP) for the first quarter, with a contribution of 0.11% to AllBlue.  All three of the sub-strategies had positive performance during the quarter.  The Trade Credit Opportunities sub-strategy saw gains from trading positions in Kazakhstan and Indonesia in particular, although these were partially offset by losses in Russia as the credit curve adjusted following the annexation of Crimea.  The Bank Basel II sub-strategy had steady positive performance in the quarter; there was an overall mark down in the capital value of assets, however this was more than offset by an increase in the value of hedges, and full positive carry was consequently captured.  The Commodities Finance sub-strategy had modest positive performance in the quarter.

BlueTrend was down -3.65% (Class B GBP) for the first quarter, with a contribution of -0.48% to AllBlue.  Performance was mixed across the sectors traded, with two out of seven sectors providing a positive return. The bonds sector provided the largest positive contribution, benefitting from long positioning held over the quarter.  The crops sector also contributed modestly, delivering positive returns each month. The equities sector detracted from returns, particularly at the beginning of the year as established trends abruptly reversed course on concerns of a slowdown in growth and political unrest in emerging markets. The energies sector detracted, with losses at the beginning of the quarter as markets initially sold off in the face of a strengthening US dollar, and then at the end of the quarter as the US unexpectedly sold part of its strategic oil reserve.

BlueMatrix was up 3.50% (Class A GBP) for the first quarter, with a contribution of 0.70% to AllBlue.  Equity market cross sectional correlations remained at lower levels during the quarter, benefitting the strategy despite the more volatile macro environment.  This provided favourable conditions across regions, though returns were driven mostly by the North America and Europe regions.  All of BlueMatrix's signal families were positive. By individual signal, key contributions came from the value, industry specific and macro alpha signals; weaker performance came from the analyst estimate and company linkages signals.  Performance displayed a low correlation to equity indices over the quarter, and the net exposure of the fund was tightly bounded around zero, both in aggregate and at the regional level.

After the close of the quarter under review, AllBlue Limited, Class A GBP, stood at a YTD return of +1.81%, with the rolling 12 month return standing at +1.78%, delivered with an annualised volatility of 4.08%.  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 as at 1 April 2014 was as follows:

	%
BlueCrest Multi Strategy Credit	25.1
BlueMatrix	21.3
BlueCrest Capital International	20.7
BlueCrest Emerging Markets	14.0
BlueTrend	10.0
BlueCrest Mercantile	8.9

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 2014 to the date of this statement, the Company has purchased [•] of its Sterling Shares. In aggregate [•] Sterling Shares are currently held in Treasury.

Material Events

On 14 February 2014 the Company held an Extraordinary General Meeting where shareholders approved certain resolutions in order to ensure that the Company would be capable of qualifying as an investment trust if it was resident in the UK.  As a result of these steps, the Board believes that the retail distribution of its shares should be unaffected by the proposed changes promulgated by the FCA, as these are currently drafted.  It is the intention of the Board that the Company will continue to be operated going forward in such a manner as to ensure that the shares are not categorised as non-mainstream pooled investments and that, accordingly, the shares can continue to be recommended by IFAs to ordinary retail investors in accordance with the FCA's rules.

On 13 March 2014 Jonathan Hooley notified the Company of his resignation as Independent Non-Executive Director with effect from 25 April 2014. 

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:

JTC Fund Managers (Guernsey) Limited - Tel [phone]

19 May 2014

E&OE - In Transmission

END OF ANNOUNCEMENT

 

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