Interim Management Statement

RNS Number : 8746G

BlueCrest AllBlue Fund Ltd

18 May 2011

 



BlueCrest AllBlue Fund Limited

Interim Management Statement

This interim management statement relates to the period from 1 January 2011 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 2011

	Confirmed NAV 31 March 2011	QTD %	YTD %	ITD %
Sterling Share NAV	£1.6817	2.11	2.11	71.57
Euro Share NAV	€1.6243	2.16	2.16	65.72
US$ Share NAV	US$1.6226	2.03	2.03	65.54

Source: BlueCrest AllBlue Fund Limited

As at 31 March 2011, the Sterling Shares, Euro Shares and US$ Shares were trading at premiums to their respective NAVs of 1.2963%, 0.5818% and 1.8427%.

As announced on 18 May 2011, the estimated 13 May 2011 NAVs of the Sterling Shares, Euro Shares and US$ Shares were £1.6898, €1.6330 and US$1.6297, representing an increase in the period since 31 March 2011 of 0.482%, 0.536% and 0.438% respectively.

Quarterly review of AllBlue

AllBlue (US$ class) was up 2.05% in the first quarter of 2011.  The period started with further concerns surrounding the European Sovereign crisis, but a shift in tone from European policy makers then eased the markets concerns.  As January drew to a close we saw political unrest unfolding in Egypt, in what was to be a dominant story for the quarter. As the protests spread through the region to Bahrain, Yemen and Libya there were fears over disruptions to the supply of oil which saw energy prices rally dramatically.  The unrest continued into March, with the UN Security Council backing military action in Libya.  On 11th March the world attention suddenly turned to the tragic earthquake, tsunami and subsequent nuclear reactor meltdown in Japan.

The annualised volatility of AllBlue for the quarter, as measured on weekly data, continued to fall reaching 1.8% in Q1 down from 3.7% in Q4 2010.  Most funds saw their volatility levels fall by at least one third from the levels in Q4 2010. Within the portfolio the largest change was seen in Mercantile, where the strategy dropped below its typical levels after seeing heightened volatility in Q4 2010.  The only fund to see a significant increase in volatility since the last quarter was BlueMatrix, which saw an increase of 2.1%.

The historical VaR (Historical 95%, daily) of the fund stood at less than 0.4% of assets as at the end of the first quarter.

Unencumbered cash levels for the underlying funds ranged from 24% for Mercantile, to 87% for BlueTrend.  The weighted average unencumbered cash level at the end of the period was 56.9% for AllBlue.

Reviewing each strategy in turn:

BlueCrest Capital International was up 1.72% for the first quarter, with a contribution to AllBlue of +0.54%.  Returns were driven by the Rates desk which continued to hold long volatility positions in long dated interest rates curves. In February, the Rates desk started to trim its positions in Europe expressing the view that the ECB would hold rates lower. The Fixed Income Relative Value desk generated steady returns over the quarter with their focus on basis trades and on term structure curve trades.

BlueTrend was up 3.15% for the first quarter, with a contribution to AllBlue of +0.46%.  Over the quarter, the main contributor to the returns has been the energy sector, where we have seen prices rise on the back of the ongoing geopolitical issues within the Middle East and North Africa.  At the end of the quarter the fund's risk focus remained biased towards the energy and equity sectors.  At the end of the quarter the Margin to Equity sat around 14%.

Emerging Markets was up 0.71% for the first quarter, with a contribution to AllBlue of +0.12%.  In January we felt that some of the repricing of hiking cycles across the EM markets had become excessive; unfortunately the anticipated reversal did not materialise and this led to a difficult start for the fund.  Performance then picked up for the remainder of the quarter as the fund saw gains from FX positions (in particular in commodity producer currencies), local interest rates in CEMEA and Latin American sovereigns.

Multi Strategy Credit was up 3.35% for the first quarter, with a contribution to AllBlue of +0.61%.  As the year started, the fund was positioned relatively neutrally on outright direction; however, it had positioned itself well for the spread volatility that we saw as a result of the European sovereign debt fears.  In the US, the fund saw strong returns over the quarter from positions in monoline financial insurers which experienced a repricing at the short end of the CDS curve.

Mercantile was up 1.50% for the first quarter, with a contribution to AllBlue of +0.20%. The fund continued to see strong performance from the Trade Credit Opportunities and Bank Basel II sub-strategies, whilst there was slight negative performance for the Commodity Finance sub-strategy on the back of on-going maintenance costs.  The Bank Basel II sub-strategy saw some of the assets mature at par, and on the remaining assets the underlying portfolios continue to perform without defaults.  Within Trade Credit Opportunities, the fund continued to find good new asset opportunities, with the energy sector being one area of focus.

BlueMatrix was up 3.27% for the first quarter, with a contribution to AllBlue of +0.12%.  After a quiet January we entered a new period of high volatility in February and through March.  BlueMatrix enjoyed the heightened volatility in these months, producing strong returns in February and March.

BlueCube was down -1.13% for the first quarter, with a contribution to AllBlue of -0.02%.  The Momentum sub-strategy suffered over the quarter in the volatile equity markets, whilst the Mean Reversion sub-strategy managed to capture some of the reversals.  After extensive research by the Systematic team some changes were made to the BlueCube strategy in March, the most significant change being the decision to relax the market neutrality constraint, allowing the fund to run an equity long/short strategy.

After the close of the period under review, AllBlue, Class A USD, stood at a YTD return of 2.05%. Subsequent to the close of Q1 the fund delivered an estimated performance, to 30^th April 2011, of 1.44% taking the YTD figure to 3.52%. The annualised volatility for Q1 2011 was 1.82% which is below the target range of 6-8%. AllBlue continues to perform well as a result of the underlying funds' performance supported by the diversification sourced by the allocation process. AllBlue has captured the opportunities as they have presented themselves in the dynamic trading environment so far this year.

Source of data: BlueCrest Capital Management LLP

Capital Allocation

The capital allocation by strategy of AllBlue Limited as at 1^st April 2011 was as follows:

	%
BlueCrest Capital International	29.7
BlueTrend	15.3
Emerging Markets	18.7
Multi Strategy Credit	17.9
Mercantile	13.2
BlueMatrix	3.6
BlueCube	1.6

Source of data: BlueCrest Capital Management LLP

By order of the Board

BlueCrest AllBlue Fund Limited

Enquiries:

Anson Fund Managers Limited - Tel [phone]

18 May 2011

E&OE - In Transmission

END OF ANNOUNCEMENT

 

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