TIDMBBTS
RNS Number : 0410V
BlueCrest BlueTrend Limited
22 October 2014
22 October 2014
BLUECREST BLUETREND LIMITED (the "Company")
INTERIM MANAGEMENT STATEMENT
This interim management statement relates to the period from 1
July 2014 to the date of publication of this statement. It has been
prepared solely in order to meet the relevant requirements 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.
This statement provides:
1. An explanation of material events and transactions that have
taken place during the period under review and their impact on the
financial position of the Company; and
2. A general description of the financial position and
performance of the Company during the period under review.
Overview
BlueCrest BlueTrend Limited is a Guernsey authorised
closed-ended investment company listed on the main market of the
London Stock Exchange under the Premium listing regime and admitted
to trading. The Company's investment objective is to seek to
achieve long term appreciation in the value of its assets. The
Company is a feeder fund and pursues its investment objective by
principally investing its assets in BlueTrend Fund Limited which in
turn invests into the market through an investment in BlueTrend
Master Fund Limited ("BlueTrend"). The Company is also permitted to
retain up to 19.99 per cent of its total assets in cash or cash
equivalent for working capital purposes and to enable it to fund
its discount management policy. The Company's Shares are
denominated in Sterling.
NAV performance as of 30 September 2014
Performance
1 July - 30 September
Share Class 2014 YTD
Sterling Shares
NAV +4.25% +10.53%
Source: Dexion Capital (Guernsey) Limited
The latest available and published estimated NAV and YTD
performance as of 17 October 2014 was as follows:
Share Class NAV YTD
Sterling Shares
NAV GBP1.0056 +12.68%
Source: Dexion Capital (Guernsey) Limited
Investment Review: July - September 2014
The Sterling Share class of the Company returned +4.25%, net of
fees and expenses, for the third quarter of 2014.
The third quarter was characterised initially by range bound
trading; bonds strengthened broadly, on safe haven demand and
equities traded cautiously within a low volatility regime. By
September, as geopolitical tensions reduced, the approaching end of
US quantitative easing and expectations of rate hikes dominated
global markets and led to weakness in bonds and equities into the
end of the quarter.
Economic data continued to show a consistent picture of
strengthening conditions in the US and UK, against greater
fragility in the eurozone and Japan. Central banks maintained
relatively stable policies over the period, although in September
the ECB lowered the deposit facility rate further into negative
territory, as well as commencing an asset-backed securities
purchase programme. Whilst central bank policies continued to be
the principal driver of markets, there were a number of
geopolitical and idiosyncratic situations that also affected
specific financial assets and regions. These included: a default by
Argentina in July; escalating sanctions against Russia; an Israeli
ground assault on Gaza; the military strikes by Islamic State
militants in Syria and Iraq; and the Ebola outbreak in West
Africa.
Equities and commodities markets generally fell during the
quarter, though with differentiation across regions, while fixed
income assets were stable or stronger over the period. In
currencies the US dollar index was significantly stronger, posting
a gain of 7.7% over the quarter, gaining versus the EUR, GBP, JPY
and AUD amongst others. In commodities, it was a difficult quarter
across the board, agriculturals were notably weak, with both corn
and soybeans down over 20%, similarly oil fell approximately 14%
(Brent) and gold fell over 8%.
BlueTrend experienced minor negative performance for the
quarter, as periodic reversals led to challenging conditions in
some sectors. The Margin to Equity of the fund remained slightly
above average for most of the quarter, having begun at 17%, however
it fell below the long term average over the course of September,
finishing the quarter at 13.1%.
BlueTrend's performance for the quarter was mixed, with three of
the seven sectors providing a positive return, one essentially flat
and three detracting. The largest contributions to performance came
from the bond and crop sectors, whilst the energy sector was the
largest detractor. The most significant changes to the distribution
of risk within the portfolio (in terms of VaR) were an increase to
the bond sector and a decrease from the energy sector, with them
representing 41% and 4% of the risk at the end of the quarter
respectively.
Sector Gross Performance Risk Allocation Risk Allocation
Attribution(1) 30 June (2) 30 September(2)
Equities -1.13% 29% 25%
------------------ ----------------- ------------------
Bonds +2.50% 24% 41%
------------------ ----------------- ------------------
Energies -2.77% 22% 4%
------------------ ----------------- ------------------
Interest
Rates -0.50% 8% 9%
------------------ ----------------- ------------------
Metals -0.02% 5% 6%
------------------ ----------------- ------------------
Crops +2.03% 3% 7%
------------------ ----------------- ------------------
FX +0.33% 9% 8%
------------------ ----------------- ------------------
(1) Gross performance attribution for BlueTrend Master Fund
Limited.
(2) Sector risk allocation is for BlueTrend Master Fund Limited,
based on 95% confidence one day VaR from 3 year historical
simulation with no decay factor.
Material Events since 1 July 2014
July 2014
Compliance with Model Code (1 July 2014)
Pursuant to Listing Rule 15.5.1R (Compliance with the Model
Code) the Company notified the market that its close period
commenced on 1 July 2014 and ended on 27 August 2014, following the
release of its half year financial results for the six months ended
30 June 2014.
Tender Price (9 July 2014)
The Board of BlueCrest BlueTrend Limited (the "Company")
announced that the Tender Price for Sterling and US$ Shares validly
tendered under the Tender Offer was GBP0.9262 per tendered Sterling
Share and US$0.9160 per tendered US$ Share, being 98 per cent of
the final Net Asset Value of the relevant share class as at 30 June
2014, less the costs, fees and expenses attributable to the Tender
Offer. Payment under the Tender Offer was made to Shareholders on
17 July 2014. The uplift in NAV per Share arising from the Tender
Offer for the Sterling Share Class was 3.49 per cent and for the
US$ Share Class 4.23 per cent, based on the 30 June 2014 NAV as
released on 8 July 2014. These uplifts were reflected in the NAV
per Share as at 4 July 2014 which was announced on 9 July 2014.
Compulsory Conversion of US$ Shares (15 July 2014)
Pursuant to the announcement on 27 June 2014 of the results of
the Tender Offer the Company announced on 10 July 2014 the
conversion ratio in connection with the compulsory conversion into
Sterling Shares of the US$ Shares which were not tendered
("Conversion"), being:
US$ to Sterling: 0.582322
On the basis of the number of US$ Shares in issue which had not
been tendered pursuant to the Tender Offer, application was made to
the UK Listing Authority for 13,153,657 re-designated Sterling
Shares to be admitted to the Official List and 22,588,318 US$
Shares to be delisted from the Official List.
Such admissions were effective and dealings in the re-designated
Sterling Shares commenced on 18 July 2014.
The Tender Offer was completed on 17 July 2014.
August 2014
Interim Financial Report - 30 June 2014 (27 August 2014)
The Company released its Interim Financial Report for the half
year ended 30 June 2014.
Renewal of Buyback Authority (28 August 2014)
The Company posted a Circular to shareholders convening an
Extraordinary General Meeting for 19 September 2014 at which
proposals were put for the renewal of the Company's authority to
make market purchases of its Sterling Shares.
September 2014
Reduction in Management Fee (5 September 2014)
With effect from 1 August 2014, the baseline investment
management fee applicable to BlueCrest BlueTrend Limited's
investment in BlueTrend Fund Limited and BlueTrend 2x Leveraged
Fund Limited (each a "Fund") has been reduced from 2 per cent per
annum to 1.5 per cent. The reduction follows an assessment of the
CTA landscape and in particular the recent migration towards lower
fees. Where an investor's holding in a Fund exceeds certain
thresholds above US$50m the investment manager, BlueCrest Capital
Management Limited, will rebate part of the investment management
fee by paying up additional shares.
Result of EGM (19 September 2014)
The Board of the Company was pleased to announce that the
special resolution put to shareholders at the EGM on 19 September
2014 was passed unanimously.
BlueCrest to launch Systematica (29 September 2014)
The Company noted the announcement by BlueCrest Capital
Management Limited ("BlueCrest") of its intention to launch an
independent firm, Systematica Investments ("Systematica"), which
will comprise its systematic investment management business, under
the leadership and management of BlueCrest's current Head of
Systematic Trading, Leda Braga.
The launch of Systematica is expected in January 2015, and the
firm will initially have offices in Jersey, Geneva, New York,
London and Singapore. It is envisaged that, at inception, the firm
will have approximately 100 staff, including substantially all of
the existing Systematic team at BlueCrest. Subject to necessary
approvals, Systematica will become the investment manager of the
$8.3bn BlueTrend programme.
Systematica will be controlled and managed by Leda Braga and her
team. However, BlueCrest will retain an economic interest in the
business and the two organisations will continue to co-operate in
areas of mutual benefit and where operating efficiencies can be
achieved.
Accordingly, the day to day management of the Company and its
investment strategy will be unaffected.
A further announcement will be made once the management of the
BlueTrend programme has been transferred to Systematica.
Investor Information
The latest available portfolio information can be accessed by
eligible Shareholders via
http://www.bluecrestbluetrend.com/documents/fund.aspx
Enquiries:
Kellie Blondel
Dexion Capital (Guernsey) Limited
As Company Secretary to BlueCrest BlueTrend Limited
Tel: + 44 (0) 1481 743940
End of announcement
Important Notices
This announcement does not constitute or form part of, and
should not be construed as, any offer for sale or subscription of,
or solicitation of any offer to buy or subscribe for, any share in
the Company or securities in any other entity, in any jurisdiction,
including the United States, Australia, Canada and Japan, nor shall
it, or any part of it, or the fact of its distribution, form the
basis of, or be relied on in connection with, any contract or
investment decision whatsoever, in any jurisdiction. This
announcement does not constitute a recommendation regarding any
securities.
This announcement, and the information contained therein, is not
for viewing, release, distribution or publication in or into the
United States, Australia, Canada or Japan or any other jurisdiction
where applicable laws prohibit its release, distribution or
publication, and will not be made available to any national,
resident or citizen of the United States, Australia, Canada or
Japan. The distribution of this announcement in other jurisdictions
may be restricted by law and persons into whose possession this
announcement comes must inform themselves about, and observe, any
such restrictions. Any failure to comply with the restrictions may
constitute a violation of the federal securities law of the United
States and the laws of other jurisdictions.
All investments are subject to risk, including the loss of the
principal amount invested. Past performance is no guarantee of
future returns. All investments to be held by the Company involve a
substantial degree of risk, including the risk of total loss. You
should always seek expert legal, financial, tax and other
professional advice before making any investment decision.
Neither the Company, BlueCrest Capital Management Limited,
BlueCrest Capital Management LP or any member of its group
(collectively "BlueCrest"), Dexion Capital plc, their affiliates
nor any other person (including without limitation, the directors,
officers, employees, partners, agents, representatives, members and
advisers of the Company, BlueCrest, Dexion Capital plc and their
affiliates) undertakes any obligation to update or revise any
statement made in this announcement (including, without limitation,
any forward looking statements), whether as a result of new
information, future events or otherwise. Although the information
in this document is believed to be materially correct, no
representation or warranty is given as to the accuracy of any of
the information provided.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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