Interim Management Statement

RNS Number : 2231M

BlueCrest AllBlue Fund Ltd

19 May 2010

 



BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 January 2010 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 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 in respect of which BlueCrest Capital Management LLP ("BlueCrest") acts as investment manager.

NAV Performance as at 31 March 2010

	Final NAV 31 March 2010	QTD %	YTD %	ITD %
Sterling Share NAV	157.74p	3.61	3.61	60.93
Euro Share NAV	€1.5226	3.65	3.65	55.35
US$ Share NAV	US$1.5264	3.53	3.53	55.73

Source: BlueCrest AllBlue Fund Limited

As announced on 12 May 2010, the estimated 7 May 2010 NAVs of the Sterling Shares, Euro Shares and US$ Shares were 158.73p, €1.5320 and US$1.5356, representing an increase in the period since 31 March  2010 of 3.61%, 3.65% and 3.53% respectively. As at 7 May 2010, the Sterling Shares, Euro Shares and US$ Shares were trading at premiums to their respective NAVs of 2.69%, 1.17 % and 5.50%.

Quarterly review of AllBlue

AllBlue (US$ class) made 3.58% in the first quarter of 2010. This period has seen continued focus on the actions of the world's central banks, and further questions have been raised about the financial standing of some sovereigns.  This backdrop has led to significant volatility and uncertainty in the fixed income markets which has continued to present opportunities for AllBlue.

The sources of return and risk within AllBlue have remained consistent with those which existed during the second half of 2009, whilst the overall level of volatility decreased to slightly below its target range.  AllBlue's volatility fell from the 5% observed in Q4 2009 to 4% in Q1 2010.

The VaR (Monte Carlo 99% daily) of the fund remained approximately stable at under 1% of assets.

Cash levels ended the period ranging from 14% of assets (in the case of Mercantile) to 84% (in the case of BlueMatrix). The imputed level for AllBlue was 61% which is in line with the long term average.

Reviewing each strategy in turn:

BlueCrest Capital International was up 5.41% for the quarter, contributing 1.94% to overall performance. Volatility, annualised from weekly data, came in at 4%. The key driver of returns was the Rates desk, with strong contributions from the long volatility positions within the fixed income volatility trading book and from the short end interest rate trading.  Foreign exchange volatility trading also made useful contributions to returns. Elsewhere individual strategy impacts were minor. The allocation to this strategy remained stable at around 37%.

BlueTrend was up 7.25% for the quarter, contributing 0.88% to the overall performance.  Volatility fell slightly from Q4 2009 but remained high at just under 16%. The Fixed Income and Equity sectors were the main winners, with the Energy sector the main loser.  The allocation to BlueTrend remained towards the lower end of its historical allocation at 14%.

The Emerging Markets desk was up 0.81% for the quarter, with a contribution to AllBlue of +0.11%. The quarter started with a focus on the sovereigns in Southern Europe and Emerging Markets. A reversal of market sentiment then reversed the performance in the middle of the quarter.  BlueCrest's more bullish call on Emerging Markets from late February contributed to the positive returns in March.

Multi Strategy Credit was up 1.13% for the quarter, with a contribution to AllBlue for the quarter of 0.15%. The desk has continued to focused on Long/Short credit opportunities which have presented themselves, these strategies have benefited from the reduction in implied volatility.  Index curve steepeners and long risk positions in deeply subordinated financial entity capital also performed well. 

Mercantile was up 5.14% for the quarter, with a contribution to AllBlue for the quarter of 0.41%. The trade finance assets continue to generate positive carry.  The Basel II strategy has driven performance this quarter.  The rest of the portfolio also performed well and some opportunities were additionally captured in relative movements in CDS against the assets.

BlueMatrix was up 2.24% for the quarter, with a contribution to AllBlue for the quarter of 0.10%.  The strategy performs particularly well in periods of high levels of volatility and with the VIX index rally early in February, most of the performance was captured during this time.

Finally, BlueCube was down -0.87% for the quarter, with a contribution to AllBlue for the quarter of -0.04%. The fund has increased its weightings to the Revisions and Recommendations strategy, whilst the Value strategy has reduced its weighting in the portfolio.

Following the end of the first quarter AllBlue returned an estimated 1.83% in April, bringing the year to date return to 5.48%.  The largest contributors in April were BlueCrest Capital International, contributing 74bp, BlueTrend contributing 45bp and Multi Strategy Credit contributing 39bp.

With AllBlue having returned a solid 3.58% in Q1, with volatility slightly below the targeted range we continue to see the 10-15% return target with 6-8% volatility as reasonable for AllBlue.

Capital Allocation

The capital allocation by strategy of AllBlue Limited as at 1 May 2010 was as follows:

	%
BlueCrest Capital International	37.5
BlueTrend	13.0
Emerging Markets	14.0
Multi Strategy Credit	14.5
Mercantile	12.5
BlueMatrix	4.5
BlueCube	4.0

Placing and Offer for Subscription of C Shares

On 14 May 2010, the Company published a prospectus in relation to the proposed placing and offer for subscription of C Shares in the Company which is due to close on 17 June 2010.

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 May 2010

E&OE - In Transmission

END OF ANNOUNCEMENT

 

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