RNS Number:3483E
Close AllBlue Fund Limited
24 September 2007
CLOSE ALLBLUE FUND LIMITED
PRELIMINARY ANNOUNCEMENT OF HALF-YEARLY RESULTS
The directors announce the statement of results for the period from 1 January to
30 June 2007 as follows:-
ABOUT THE COMPANY
Close AllBlue Fund Limited is a closed-ended investment company incorporated in
Guernsey on 21 April 2006 with an unlimited life. The Company has three classes
of shares in issue, being Sterling Shares, Euro Shares and US Dollar Shares. On
25 May 2006 all three classes were admitted to trading on AIM. Only the Sterling
Shares were admitted to listing and trading on the Channel Islands Stock
Exchange.
Pursuant to the Company's admission document dated 2 May 2006 the Company
offered its Shares for issue by means of a placing and on 26 May 2006 raised
approximately GBP144.3 million by the issue of 135,283,599 Sterling Shares at a
price of GBP 1 each, 5,676,877 Euro Shares at a price of EUR 1 each and
9,632,602 US Dollar Shares at a price of US Dollar 1 each.
INVESTMENT OBJECTIVE AND POLICY
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. The proceeds raised from the issue of Sterling Shares are substantially
invested in the Sterling share class of AllBlue. The proceeds raised from the
issue of Euro Shares are substantially invested in the Euro share class of
AllBlue. The proceeds raised from the issue of US Dollar Shares are
substantially invested in the US Dollar share class of AllBlue.
AllBlue is a fund of hedge funds incorporated in the Cayman Islands which seeks
to provide consistent long-term appreciation of its assets through investment in
a diversified portfolio of underlying funds, the majority of which are managed
by BlueCrest Capital Management L.P. ("BlueCrest") and the remainder of which
are managed by investment managers sharing close links with BlueCrest.
Investors in the Company are therefore offered an opportunity to participate
indirectly in the same investment portfolio as that of AllBlue.
BLUECREST
BlueCrest is an English limited partnership and acts through its general
partner, BlueCrest Capital Management Limited, which was incorporated in England
on 28 April 2000. BlueCrest Capital Management Limited is authorised and
regulated by the Financial Services Authority of the United Kingdom and is
registered with the Securities and Exchange Commission of the United States.
INVESTMENTS
The Company's investments in AllBlue as at 30 June 2007 were:
Total Net
*Valuation in Valuation Assets
INVESTMENT Nominal Local Currency GBP %
AllBlue Limited 1,381,738 146,733,471 146,733,471 94.26%
Sterling Shares
AllBlue Limited Euro 52,133 6,046,424 4,076,058 2.62%
Shares
AllBlue Limited US 87,185 10,470,954 5,212,542 3.35%
Dollar Shares
156,022,071 100.23%
* Source AllBlue Limited
NET ASSET VALUE PER SHARE
As at 30 June 2007, the net asset values of the shares were:
Sterling Shares GBP1.0829
Euro Shares EUR1.0633
US Dollar Shares USD1.0852
CHAIRMAN'S STATEMENT
Dear Shareholder
The period from 1 January to 30 June 2007 (the "Period") saw the net asset value
of a Sterling Share in the Company rise to 108.01 pence, an increase of
approximately 6.5% during the Period. The price at which the Sterling Shares
were trading rose to 104.13 pence at the end of the Period. This performance is
in line with the Company's stated target annualised return on its investment in
AllBlue Limited ("AllBlue") of 12 to 14 per cent. and the Board is comfortable
with this performance.
Since the end of the Period financial markets have seen considerable turmoil and
some markets have fallen substantially. Against this background we believe that
the performance of AllBlue has been satisfactory.
During September 2007 (after the end of the period under review) BlueCrest
Capital Management Limited ("BlueCrest") decided to close the BlueCrest Equity
Fund Ltd, in which AllBlue, and thereby the Company, was invested.
The Company has been advised by BlueCrest that this decision was motivated by
three factors. Firstly, performance of the fund had been lacklustre during the
second half of 2006 and the first half of 2007, during which period the return
was approximately flat. Secondly, during August of 2007 the de-levering stops
used to protect investors from deep draw downs were triggered, reducing the risk
taking capacity of the fund. Thirdly, the opportunities opened up within the
markets in the summer of 2007 are seen as largely in fixed income and foreign
exchange and the capital needed to be allocated to those new opportunities.
The Company has also been advised by BlueCrest that BlueCrest is constantly
looking for new investment opportunities and hopes in due course to find
appropriate ways of taking additional risk in the equity markets. The
diversifying characteristics of the assets and the depth of liquidity they
provide remain attractive. The expectation of BlueCrest over the medium term
has always been to introduce new funds to the AllBlue investment mix as
diversifying assets of sufficient quality and liquidity become available and
this remains the case.
After the end of the Period, the Board conducted a review of the fees payable by
the Company to Close Investments Limited for the provision of shareholder
liaison services. It was agreed with the Shareholder Liaison Agent to reduce
these fees from the previous rate of 0.80% of the Company's net asset value (the
"NAV") per annum to 0.45% of the NAV per annum, subject to a cap in any calendar
year of #700,000, provided that, if the NAV increases to #300 million or more,
the Shareholder Liaison Agent's fee will be reduced to 0.4% per annum. This
action was taken to reduce the Company's total expense ratio, which is now among
the lowest of the diversified hedge fund investments traded in London.
Close AllBlue Fund Limited is a company structured to allow shareholders access
to the investment management skills of BlueCrest without need of a high minimum
monetary investment, as is required for direct investment in AllBlue. Coupled
with the ability to trade shares daily on AIM and the Channel Islands Stock
Exchange, the Board believes that these features make the Company an attractive
and rewarding investment for shareholders.
As the Company is a minority investor in AllBlue, your Board cannot direct the
investment policy of AllBlue. However, AllBlue provides the Company with
regular information. The Company publishes weekly and monthly net asset values
and monthly fact sheets based on information provided to the Company by
BlueCrest and AllBlue.
The Board is pleased to note that for the benefit of existing and future
shareholders the Shareholder Liaison Agent has recently commenced a regular
series of seminars and conference calls involving BlueCrest, which is enhancing
the level of information available concerning AllBlue. Announcements
concerning these conference calls are now being released to a regulatory
information service.
In addition BlueCrest provides the Company with a commentary on AllBlue for
inclusion in the Company's own interim and annual reports to shareholders.
Their report is found below, which I recommend to you.
The Board has secured a facility from the Company's bankers to assist with the
buyback of shares should the Company's shares trade at a discount to net asset
value and if the Board believes that a buyback is warranted and is in the best
interests of shareholders. The Board has the authority to buy back up to 14.99%
of each class of shares in issue as at 14 May 2007, renewal of which authority
will be sought at the next annual general meeting of the Company.
The Board pays close attention to the volume of trades in the Company's shares
and the discount or premium at which such transactions occur. As at the date of
this statement the Company has made two purchases of its shares, totalling
198,000 Sterling Shares. The Board is also looking closely at the issue of
convertability between share classes.
I look forward to reporting to you again in the annual report and accounts for
the year ended 31 December 2007 and thank you for your continued support.
Richard Crowder
Chairman
21 September 2007
REPORT BY THE INVESTMENT MANAGER OF ALLBLUE LIMITED
On the invitation of the Directors of the Company, this commentary is provided
by BlueCrest Capital Management Limited ("BlueCrest"), General Partner of the
Investment Manager of AllBlue Limited and is provided without any warranty as to
its accuracy and without any liability incurred on the part of BlueCrest,
BlueCrest Capital Management L.P. or AllBlue Limited. The commentary is provided
as a source of useful information for shareholders of the Company but is not
attributable to the Company.
REPORT ON ALLBLUE LIMITED ("ALLBLUE" or "THE FUND") BY ITS MANAGER FOR THE
PERIOD JAN 1 - JUNE 30 2007
AllBlue Limited (US Dollar class) made 713bp during the period under review.
Allblue's quarterly annualised volatility averaged 5.43% during the period,
ranging between 3.43% and 7.11%.
The period was characterised by correlations (13 week average) in the mid teens;
the period average was 15.58% within a relatively stable range of -1.49% to
+34.26%.
Volatility in this range, i.e. close to the fund's target with correlations
stable and below average, describe an excellent operating environment. The VaR
of the fund remained at extremely low levels (78bp), similar to those seen
during H2 of 2006.
These conditions ended in August where a significant de-levering in global
financial markets drove volatility and correlations sharply higher and cost the
fund 3.47% (estimated) of performance.
Taking each sector in turn:
Mixed Arbitrage returned 3.64% on the period, its contribution to AllBlue
approximately 84bp. After a steady, albeit slow, start to the period Mixed
Arbitrage had its best monthly performance in three years in the month of April,
coming in at 2.21%. Positive contributions were also made in May although
performance was slightly down in June. The Equity Derivatives desk was one of
the main driving factors in performance for the period, and we have increased
allocation from the fund accordingly to over 10%. RV also performed well,
providing the most performance contribution, followed by Rates. FX, Equity and
Trade Finance all had small positive contributions.
Equity lost -2.64%, affecting the AllBlue performance by approximately -52bp.
After disappointing performance from the Equity desk, the team has been
restructured from three main PM's and supporting analysts to a current portfolio
representing a merging of the individual portfolios of both the sector
specialists and generalists. The allocation to AllBlue has been reduced since
June from around 19% to 17%. All sub-portfolios still adhere to investment and
risk criteria and are constructed within the objectives of the overall fund, the
only difference being that the implementation process has changed.
Systematic had a mixed start to the period followed by very strong performance
from April to June, finishing up 14.60%, approximately 335bp for AllBlue. The
main performance drivers across the period were Equities followed by Short
Interest Rates and FX (mainly Yen trades) and a smaller positive contribution
from Energies, Bonds and Crops. Losses were made within Metals and, to a smaller
extent, Meats.
Low Beta Systematic returns were 6.63%, adding approximately 6.6bps to AllBlue.
Short Interest Rates and FX were the main contributors to positive performance,
followed by Energies. Losses were concentrated in Metals, Equities, Crops; Meats
and Bonds were slightly down as well.
Emerging Markets returns were strong throughout the entire period (12.4%),
contributing approximately 272bp to AllBlue. Regional concentration of capital
was in Eastern Europe followed by LATAM and Asia, with positive performance
attribution coming mainly from Rates, followed by Issuer (credit risk), Equity
and FX.
Credit Arbitrage returned 10.81% for the period, approx 86bps for AllBlue.
Positive performance drivers across the period were Correlation, Inter-Credit,
Intra-Credit, Index Arbitrage and smaller positive contributions from Equity and
'Other'. There were no sectors which made losses over the period as a whole.
WestHarbor returned 4.99% for the period, contributing approximately 15bps to
AllBlue. The first quarter was very successful with a number of catalytic
events, including bids for positions in the portfolio, driving performance. The
second quarter was more challenging as adverse corporate events in Italy and the
underperformance of the German portfolio, relative to its hedges, weighed on
performance.
BlueCrest Capital Management Limited
21 September 2007
STATEMENT OF OPERATIONS FOR THE PERIOD FROM 1 JANUARY 2007 TO 30 JUNE 2007
Sterling Euro US Dollar
Share Share Share
Class Class Class Total
GBP EUR USD GBP
Net movement in investments 9,824,640 359,909 697,104 10,428,350
Operating expenses (681,877) (30,088) (51,485) (728,836)
Gain on ordinary activities
before
taxation 9,142,763 329,821 645,619 9,699,514
Taxation on ordinary - - - -
activities
Net gain for the period
attributable
to shareholders 9,142,763 329,821 645,619 9,699,514
Pence (GBP) Cent (EUR) Cent (USD)
Earnings per share
for the period - Basic and Diluted 6.76 5.81 6.70
In arriving at the results for the financial period, all amounts above relate to
continuing operations.
There are no recognised gains or losses for the period other than those
disclosed above.
STATEMENT OF OPERATIONS FOR THE PERIOD FROM INCORPORATION ON 21 APRIL 2006 TO 30
JUNE 2006
US Dollar
Sterling Share Euro Share Share
Class Class Class Total
GBP EUR USD GBP
Net movement in
unrealised
appreciation on (1,759,811) (81,969) (120,890) (1,881,506)
investments
Operating expenses (74,416) (3,796) (6,555) (80,569)
Gain before financing
costs and
taxation (1,834,227) (85,765) (127,445) (1,962,075)
Gain on ordinary
activities before
taxation (1,834,227) (85,765) (127,445) (1,962,075)
Taxation on ordinary - - - -
activities
Net gain for the
period attributable
to shareholders (1,834,227) (85,765) (127,445) (1,962,075)
Pence (GBP) Cent (EUR) Cent (USD)
Earnings per share for
the period - Basic and Diluted (1.36) (1.51) (1.32)
In arriving at the results for the financial period, all amounts above relate to
continuing operations.
There are no recognised gains or losses for the period other than those
disclosed above.
BALANCE SHEET AS AT 30 JUNE 2007
US Dollar
Sterling Share Euro Share Share
Class Class Class Total
GBP EUR USD GBP
FIXED ASSETS
Unquoted financial
assets designated as fair
value through profit
or loss 146,733,471 6,046,424 10,470,954 156,022,071
CURRENT ASSETS
Debtors 18,520 787 1,406 19,750
Cash at bank 55,149 2,364 4,195 58,831
73,669 3,151 5,601 78,581
CURRENT
LIABILITIES
Bank overdrafts 102,943 - - 102,943
Creditors - due 307,984 13,081 23,382 328,442
within one year
410,927 13,081 23,382 431,385
NET CURRENT ASSETS/ (337,258) (9,930) (17,781) (352,804)
(LIABILITIES)
TOTAL ASSETS LESS
CURRENT
LIABILITIES 146,396,213 6,036,494 10,453,173 155,669,267
NET ASSETS
ATTRIBUTABLE TO
SHAREHOLDERS 146,396,213 6,036,494 10,453,173 155,669,267
CAPITAL AND
RESERVES
Share capital - - - -
Share premium - - - -
Own shares (103,582) - - (103,582)
Retained earnings 146,499,795 6,036,494 10,453,173 155,772,849
146,396,213 6,036,494 10,453,173 155,669,267
SHARES IN ISSUE 135,183,599 5,676,877 9,632,602
NAV PER SHARE GBP1.0829 EUR1.0633 USD1.0852
The NAV per share is calculated in accordance with International Financial
Reporting Standards.
BALANCE SHEET AS AT 31 DECEMBER 2006
US Dollar
Sterling Share Euro Share Share
Class Class Class Total
GBP EUR USD GBP
FIXED ASSETS
Financial assets
designated as fair
value
through profit or loss 137,752,831 5,723,515 9,836,851 146,630,747
CURRENT ASSETS
Debtors 13,718 583 1,016 14,629
Cash at bank 1,100 23 88 1,160
14,818 606 1,104 15,789
CURRENT LIABILITIES
Bank overdrafts 118,063 5,017 8,741 125,905
Creditors - due 292,554 12,431 21,660 311,986
within one year
410,617 17,448 30,401 437,891
NET CURRENT ASSETS/ (395,799) (16,842) (29,297) (422,102)
(LIABILITIES)
TOTAL ASSETS LESS
CURRENT
LIABILITIES 137,357,032 5,706,673 9,807,554 146,208,645
NET ASSETS
ATTRIBUTABLE TO
SHAREHOLDERS 137,357,032 5,706,673 9,807,554 146,208,645
CAPITAL AND
RESERVES
Share capital - - - -
Share premium - - - -
Own shares - - - -
Retained earnings 137,357,032 5,706,673 9,807,554 146,208,645
137,357,032 5,706,673 9,807,554 146,208,645
SHARES IN ISSUE 135,283,599 5,676,877 9,632,602
NAV PER SHARE GBP1.0153 EUR1.0052 USD1.0181
The NAV per share is calculated in accordance with International Financial
Reporting Standards.
BALANCE SHEET AS AT 30 JUNE 2006
US Dollar
Sterling Share Euro Share Share
Class Class Class Total
GBP EUR USD GBP
FIXED ASSETS
Unquoted financial
assets designated
as fair value through
profit and loss 130,531,189 5,469,031 9,298,110 139,346,342
CURRENT ASSETS
Debtors 34,550 1,429 2,414 36,845
Cash at bank 517,750 21,419 36,171 552,142
552,300 22,848 38,585 588,987
CURRENT LIABILITIES
Creditors - due 297,049 12,288 20,753 316,780
within one year
297,049 12,288 20,753 316,780
NET CURRENT ASSETS/ 255,251 10,560 17,832 272,207
(LIABILITIES)
TOTAL ASSETS LESS
CURRENT
LIABILITIES 130,786,440 5,479,591 9,315,942 139,618,549
NET ASSETS
ATTRIBUTABLE TO
SHAREHOLDERS 130,786,440 5,479,591 9,315,942 139,618,549
CAPITAL AND
RESERVES
Share capital - - - -
Share premium 132,620,667 5,565,211 9,443,394 141,462,640
Own shares - - - -
Retained earnings (1,834,227) (85,765) (127,445) (1,962,075)
Exchange gains/ - 145 (7) 117,984
(losses)
130,786,440 5,479,591 9,315,942 139,618,549
SHARES IN ISSUE 135,283,599 5,676,877 9,632,602
NAV PER SHARE GBP0.9668 EUR0.9652 USD0.9671
The NAV per share is calculated in accordance with International Financial
Reporting Standards.
STATEMENT OF CHANGES IN EQUITY FOR THE PERIOD FROM 1 JANUARY 2007 TO 30 JUNE
2007
US Dollar
Sterling Euro Share Share
Share
Class Class Class Total
GBP EUR EUR GBP
Opening balance 137,357,032 5,706,673 9,807,554 146,208,645
Issue of shares - - - -
Share issue costs - - - -
Net gain for the period
attributable to
shareholders 9,142,763 329,821 645,619 9,699,514
Currency consolidation - - - (135,310)
adjustment
Purchase of own (103,582) - - (103,582)
shares
Closing balance 146,396,213 6,036,494 10,453,173 155,669,267
STATEMENT OF CHANGES IN EQUITY FOR THE PERIOD FROM INCORPORATION ON 21 APRIL
2006 TO 30 JUNE 2006
Sterling Euro Share US Dollar
Share Share
Class Class Class Total
GBP EUR EUR GBP
Issue of shares 135,283,599 5,676,877 9,632,602 144,304,624
Share issue costs (2,662,932) (111,666) (189,208) (2,841,984)
Net gain for the period
attributable to
shareholders (1,834,227) (85,765) (127,445) (1,962,075)
Exchange gains/(losses)
on currency
balances - 145 (7) 117,984
Purchase of own shares - - - -
Closing balance 130,786,440 5,479,591 9,315,942 139,618,549
STATEMENT OF CASH FLOWS FOR THE PERIOD FROM 1 JANUARY 2007 TO 30 JUNE 2007
US Dollar
Sterling Share Euro Share Share
Class Class Class Total
GBP EUR USD GBP
Operating activities
Net gain for the
period attributable to
shareholders 9,142,763 329,821 645,619 9,699,514
Less: Unrealised
depreciation on
investments (9,784,915) (358,610) (693,956) (10,386,119)
Add: Increase in 15,430 650 1,722 16,456
accrued expenses
Less: (Increase) in
prepayments and
accrued income (4,802) (204) (390) (5,121)
Net cashflow from (631,524) (28,343) (47,005) (675,270)
operating
activities
Investing activities
Purchase of financial (103,582) - - (103,582)
assets
Proceeds from sale of 804,275 35,701 59,853 858,139
financial assets
Net cashflow from 700,693 35,701 59,853 754,557
investing
activities
Financing
activities
Proceeds of issue of - - - -
shares
Share issue costs - - - -
Net cashflow from - - - -
financing
activities
Cash at beginning of (116,963) (4,994) (8,653) (124,745)
period
Exchange losses on - - - 1,346
currency balances
Increase in cash and 69,169 7,358 12,848 79,287
cash equivalents
Cash at end of (47,794) 2,364 4,195 (44,112)
period
Interest income in the period equivalent to GBP1,841 was received. Interest
income has been netted off against operating expenses.
STATEMENT OF CASH FLOWS FOR THE PERIOD FROM INCORPORATION ON 21 APRIL 2006 TO 30
JUNE 2006
US Dollar
Sterling Share Euro Share Share
Class Class Class Total
GBP EUR USD GBP
Operating activities
Loss on ordinary (1,834,227) (85,765) (127,445) (1,962,075)
activities after
taxation
Exchange gains /
(losses) on
currency
balances - 145 (7) 117,984
Add: Unrealised 1,759,811 81,968 120,890 1,881,506
depreciation on
investments
Exchange gains /
(losses) on
currency
balances - - - 433
Add: Increase in 297,049 12,289 20,753 316,780
accrued expenses
Less: (Increase) in
prepayments and
accrued income (34,550) (1,429) (2,414) (36,845)
Net cashflow from 188,083 7,208 11,777 317,783
operating
activities
Investing activities
Purchase of (132,291,000) (5,551,000) (9,419,000) (141,228,281)
financial assets
Net cash outflow (132,291,000) (5,551,000) (9,419,000) (141,228,281)
from investing
activities
Financing
activities
Proceeds of issue 135,283,599 5,676,877 9,632,602 144,304,624
of shares
Share issue costs (2,662,932) (111,666) (189,208) (2,841,984)
Net cash inflow 132,620,667 5,565,211 9,443,394 141,462,640
from financing
activities
Cash at beginning - - - -
of period
Increase in cash 517,750 21,419 36,171 552,142
and cash
equivalents
Cash at end of 517,750 21,419 36,171 552,142
period
Interest income in the period equivalent to GBP77,281 was received. Interest
income has been netted off against operating expenses.
For further information contact:
Anson Fund Managers Limited
Company Secretary
Tel: 44 (0)1481 722260
Collins Stewart Europe Limited
Nominated Adviser and Broker
Hugh Field
Tel: 44 (0)020 7523 8350
www.closeallbluefund.com
24 September 2007
E&OE - in transmission
END OF ANNOUNCEMENT
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