BlueCrest AllBlue Fund Limited Half-yearly Financial Report

Transcription

1 BlueCrest AllBlue Fund Limited Half-yearly Financial Report for the period ended 30 June 2013 (Unaudited) Guernsey Registered Number 44704

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3 CONTENTS Chairman s Statement 2 About the Company 5 Investment Objective and Policy 5 Report by the Investment Manager of AllBlue Limited 12 Interim Management Report 16 Statement of Comprehensive Income 18 Statement of Financial Position 20 Statement of Changes in Net Assets Attributable to Shareholders 22 Statement of Cash Flows 24 Notes to the Financial Statements 26 Schedule of Investments 52 Shareholder Information 54 Contact Information and Advisors 56 1

4 CHAIRMAN S STATEMENT Dear Shareholder, BlueCrest AllBlue Fund Limited ( BCAB or the Company ) saw a modest fall in its Net Asset Value ( NAV ) of 0.6 per cent. during the first half of 2013 in the face of heightened volatility and challenging conditions across financial markets. I am pleased to report, however, that shareholders saw a positive return of 1.7 per cent. in the Sterling Shares as the share price outperformed the NAV performance. Further small gains have been seen since the 30 June. It was central bank actions and statements that, once again, dominated investors thoughts and markets reactions, although underlying economic data from most regions have been improving in the last 6-12 months. The Bank of Japan announced significant quantitative easing ( QE ) activity in a bid to stimulate the Japanese economy, while the US Federal Reserve hinted at the ending, or at least tapering, of its own QE programme. These latter suggestions sparked sharp falls in bond and equity markets in May and June, reversing the more optimistic tone at the start of the year. Widespread deleveraging and forced selling was evident in fixed income and other asset classes. Against this backdrop, some of the trading strategies within AllBlue Limited ( AllBlue ) faced a challenging environment; others, however, flourished. In combination, AllBlue delivered a modest negative return during the six months but demonstrated, once again, the resilience of BlueCrest Capital Management LLP s ( BlueCrest ) risk management processes and the inherent diversification benefits of blending the six underlying funds. Past instances of similar market volatility have provided excellent opportunities for future profits. AllBlue remains well positioned if trading opportunities present themselves going forward but conditions remain treacherous. Importantly, the funds continue to maintain highly liquid positions and so can react nimbly to unfolding events. I alluded to the better performance of the share price in my opening comments. As a Board we remain alert to the variability between the share price and the NAV. This issue has been modest for BCAB in comparison to its listed company peers but nonetheless we are cognisant of the additional volatility of returns that this creates for our shareholders. We wish to be active to temper this where we can. We have continued to buy back shares during the period under review, albeit at a lesser pace than in late The creation of the Cash Reserve (as defined and described on page 6) in the first half of 2012 (by holding some AllBlue Leveraged Feeder Limited ( AllBlue Leveraged ) plus some cash, in addition to AllBlue) has proven its worth as this has provided the Board with the flexibility to move swiftly to buy back shares when appropriate. 2

5 CHAIRMAN S STATEMENT (continued) All buybacks have been at a discount to NAV and have been accretive to shareholder returns. The discount has subsequently narrowed significantly to a discount of 2.9% in the Sterling Shares at 30 June 2013 and, indeed, at the time of writing the Sterling Shares trade at a small premium to NAV. As I noted in my report to you with the Annual Financial Statements earlier in the year, the narrowing of the discount was, however, insufficient in 2012 to avoid the triggering of Continuation Votes in all three Classes. In the Sterling and Euro Classes these votes saw unanimous support but the Dollar Class saw the vote fail by a narrow margin and, therefore, in accordance with the Articles of the Company, the Directors made a Redemption Offer to holders of the Dollar Class. Some 61 per cent. of the Dollar Shares in issue at the time elected to take the Redemption Offer and the proceeds were paid on 8 August This had no impact on the Sterling Class shareholders, the Euro Class shareholders or the remaining Dollar Class shareholders and the Dollar Class remains in issue. AllBlue has continued to invest in the same six underlying funds throughout the period but BlueCrest have been pro-active in their management of the allocations, with a notable decrease in discretionary macro trading and increases to systematic trading and emerging markets. The report by the Manager of AllBlue on pages 12 to 15 contains a more detailed review of these changes and the returns for the period from the underlying funds. BlueCrest has advised the Company that the risk and leverage policies that have been consistently applied during the life of the AllBlue fund continue to function robustly, and that as at 30 June 2013, the weighted average level of unencumbered cash in the underlying funds was approximately 45 per cent. As I noted in my report to you in April, we have been anxious to improve the quality and relevance of the information that shareholders receive from us as well as to seek to meet many more of the Company s institutional shareholders on a more pro-active basis. The revised monthly fact sheet and the new quarterly key features document have been well received and I trust that you have found these to be improvements. If you would like to go on our regular mailing list for factsheets and other updates please send an request to info@bluecrestallblue.com. We expect to launch a revised website in the coming weeks. Just as importantly Paul Meader, the Senior Independent Director, has spent time this year meeting with principal shareholders. This is a process which we intend to continue, develop and broaden over time. We value interaction with all shareholders and we know that many shareholders have found these meetings to be very useful. Please feel free to contact me or Paul Meader if we have not yet made contact with you in this regard and you would like to meet with us. 3

6 CHAIRMAN S STATEMENT (continued) Regulatory change is accelerating and, once again, regulation and good governance has occupied considerable board time during the past six months. Significant preparatory work has been undertaken regarding the EU Alternative Investment Fund Managers Directive and also the US FATCA regime and we anticipate being able to report to you on the Company s decisions in the coming months. I look forward to reporting to you again with the Annual Financial Statements next year but in the meantime please feel free to contact me or other Board members if you have any queries or suggestions. Richard Crowder Chairman 30 August

7 ABOUT THE COMPANY The Company is a self-managed closed-ended investment company incorporated with an unlimited life on 21 April 2006 in Guernsey with registered number The Company has three classes of share in issue, being Sterling Shares, Euro Shares and US Dollar Shares (together the Shares ). All Shares in issue have been admitted to the Official List of the United Kingdom Listing Authority and to trading on the London Stock Exchange s main market for listed securities. As at 29 August 2013, the last practicable date prior to the publication of this report, the Company s total issued share capital consisted of 530,367,145 Ordinary Shares, of which 445,981,144 were designated as Sterling Shares (excluding 30,754,797 Sterling Shares which were held in treasury), 8,687,526 as Euro Shares and 40,449,311 as US Dollar Shares (excluding 4,494,367 US Dollar Shares which were held in treasury). As at 31 July 2013, the latest confirmed monthly NAV prior to the publication of this report, the confirmed unaudited aggregate net assets of the Company (in Sterling terms) were approximately million with an unaudited NAV per Sterling Share of , per Euro Share of and per US Dollar Share of US$7,016. 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 or any successor vehicle of AllBlue. Accordingly, the Company s published investment policy is consistent with that of AllBlue. In the event that AllBlue changes its investment policy without Shareholder approval, the directors will consider removing the Company s assets from AllBlue or taking other appropriate action so that the Company is not in breach of any applicable regulation. AllBlue Limited AllBlue is a fund incorporated in the Cayman Islands with an investment objective to provide consistent long-term appreciation of its assets through investment in a diversified portfolio of underlying funds. Investors in the Company are therefore offered an opportunity to participate indirectly in the same investment portfolio as that of AllBlue. AllBlue seeks to achieve its investment objective through investment in underlying funds, each of which on its own has a distinct investment objective and approach and which, as part of a portfolio of assets, form a diversified basket of hedge fund investments. As at 30 June 2013, AllBlue was invested in six underlying funds comprising BlueCrest Capital International Limited, BlueTrend Alignment Fund Limited, BlueCrest Multi Strategy Credit Fund Limited, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited and BlueMatrix Limited (together, including the master funds into which such funds invest, the Underlying Funds ), all of which are managed by BlueCrest. AllBlue may in the future exclude any or all of these funds or from time to time include any other investment fund established by BlueCrest or by managers with close links to BlueCrest. 5

8 ABOUT THE COMPANY (continued) BlueCrest is the appointed investment manager of AllBlue. BlueCrest has appointed on behalf of AllBlue, acting as its agent, certain members of its group ( AllBlue Sub-Investment Managers ) as sub-investment managers to manage the assets of AllBlue, as agents of AllBlue. The AllBlue Sub-Investment Managers seek to construct a portfolio of investments for AllBlue, comprising the Underlying Funds, by utilising proprietary optimisation techniques as well as an in-depth understanding of underlying positions, correlations and risks. Both allocations and risks are closely monitored on a monthly basis by the AllBlue Sub-Investment Managers AllBlue committee, comprising a team of senior investment professionals of BlueCrest. On a monthly basis the AllBlue Sub-Investment Managers AllBlue Committee also reviews the allocation of AllBlue s assets amongst the Underlying Funds and makes such adjustments as it deems appropriate. It is the policy of the AllBlue Sub-Investment Managers that the assets of AllBlue will be predominantly fully invested. However, AllBlue may from time to time hold certain assets in cash or cash equivalents, should it consider that this is required for efficient portfolio management or otherwise in the best interests of AllBlue. AllBlue Leveraged Feeder Limited As announced on the 26 March 2012, the Company redeemed a portion of its investment in each currency share class of AllBlue (on a pro rata basis) on 1 April 2012 in order to generate a cash reserve (the Cash Reserve ) for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares. In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged. AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of approximately 50 per cent. of its net asset value, giving investment exposure which is approximately 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments). The effect of these arrangements will be that the Company s aggregate investment exposure to AllBlue will remain broadly the same whilst providing access to more immediate liquidity. On 1 January 2013 the Company restructured the Cash Reserve and AllBlue Leveraged investments so that they were held solely within the Sterling class, but so that the Cash Reserve remained available for use by all three share classes. The Board reviews the Cash Reserve on a quarterly basis to maintain a substantially similar economic exposure to AllBlue. 6

9 ABOUT THE COMPANY (continued) Borrowing and Leverage Although the Company has power under its Articles of Incorporation to borrow up to an amount equal to 10 per cent. of its net assets at the time of the drawing, the Directors do not intend that the Company should engage in any structural borrowing and any borrowing would only be for the purpose of managing day-to-day cash flow, for meeting expenses of the Company and for funding repurchases of Shares. During the first quarter of 2013 the Company entered into a facility with HSBC Bank PLC (the Facility ) in the amount of Twenty Million Pounds Sterling which was repaid in full after one month. The Facility was obtained for the purpose of financing the Company s share buyback programme pending receipt of funds from a quarterly redemption of AllBlue. AllBlue does not employ any leverage but may be exposed to it in the Underlying Funds and may engage in short term borrowing, as is deemed necessary from time to time, pending the availability of subscription monies, to fund new allocations to the Underlying Funds, or in order to fund redemptions ahead of redemption proceeds being made available. AllBlue Leveraged employs leverage for the purpose of making investments. Whilst there is no limit on the extent of borrowings or leverage that AllBlue Leveraged may employ it is expected to be in an amount equal to approximately 50 per cent. of AllBlue Leveraged s net asset value, but may vary from time to time. None of the Underlying Funds is subject to any limits on the extent to which borrowings or leverage may be employed and they may leverage through the use of borrowings, options, futures, options on futures, swaps and other synthetic or derivative financial instruments. BlueCrest BlueCrest has been appointed as the investment manager of AllBlue and AllBlue Leveraged and the Underlying Funds. BlueCrest has the power (exercisable only with the consent of AllBlue) to appoint, on behalf of AllBlue, acting as its agent, one or more third parties to perform in its place and as agent or agents of AllBlue, any of its functions, powers and duties as investment manager. BlueCrest has appointed on behalf of AllBlue, acting as its agent, certain members of its group (the AllBlue Sub-Investment Managers ) as sub-investment managers to manage the assets of AllBlue, as agents of AllBlue. BlueCrest has a similar power in respect of AllBlue Leveraged and each of the Underlying Funds. BlueCrest is an English limited liability partnership incorporated on 11 August 2008 with number OC and registered office at 40 Grosvenor Place, London SW1X 7AW acting solely through its office in Guernsey located at BlueCrest House, Glategny Esplanade, St Peter Port, Guernsey GY1 1WR (tel: +44 (0) ). 7

10 ABOUT THE COMPANY (continued) BlueCrest is licensed and regulated by the Guernsey Financial Services Commission and registered as an investment adviser with the United States Securities and Exchange Commission under the United States Investment Advisers Act of 1940 and with the U.S. Commodity Futures Trading Commission as a commodity pool operator and is a member of the National Futures Association in such capacity. Currency Risk Management As AllBlue s base currency is the US Dollar, BlueCrest may from time to time enter into forward exchange contracts in order to hedge the US Dollar exposure of the assets attributable to its Sterling shares and Euro shares in order to neutralise, as far as possible, the impact of fluctuations in the exchange rates between Sterling or Euro, as the case may be, and the US Dollar. For as long as hedging of currency exposure may occur within AllBlue, the Directors do not intend that the Company will carry out any additional hedging arrangements. Further Issue of Shares Subject to the terms of the Companies Laws, the Listing Rules and the Articles, in order to manage any Share price premium to NAV if the Directors believe there is investor demand that cannot be satisfied through the secondary market and to raise additional capital for investment, the Company may seek to issue additional Shares either through the issue of shares held in treasury or the issue of new shares. Further issues of such Shares will only be made if the Directors determine such issues to be in the best interests of Shareholders and the Company as a whole. The Directors currently have authority to allot the authorised but unissued share capital of the Company and such authority shall only be exercised at prices which are not less than the prevailing net asset value of the relevant share class at the time. The Company held a general meeting of Shareholders on 3 August 2012 at which the pre-emption rights granted to Shareholders were dis-applied in relation to up to 500 million new Shares for a period concluding on 31 December 2013, unless such resolution is previously revoked by the Company s shareholders in general meeting. At the general meeting of Shareholders held on 8 August 2013 the special resolution to extend the disapplication of the pre-emption rights narrowly failed to pass. Accordingly the Directors intend to request the authority to issue 48 million shares on a non-pre-emptive basis for the forthcoming year in order to permit the management of any share price premium to NAV. A notice of extraordinary general meeting containing this resolution together with a letter from the Chairman providing greater information is included with this report. 8

11 ABOUT THE COMPANY (continued) Conversion Facility The Company has the ability to offer a conversion facility as at the first business day of each calendar month ( Conversion Day ). The Directors have the discretion not to operate the conversion facility with respect to any share class or possible share classes from time to time. Where the conversion facility is made available, shareholders are entitled to convert their Ordinary Shares in any currency class for Ordinary Shares in another currency class as at the Conversion Day. The Board will use reasonable endeavours to procure that new Shares created pursuant to the conversion are admitted to the Official List of the United Kingdom Listing Authority and to trading on the London Stock Exchange following the relevant conversion. Discount Management Provisions At all previous annual general meetings the Directors obtained shareholder approval to buy back up to 14.99% of each class of Shares in issue and they intend to seek annual renewal of this authority from shareholders at each future general meeting held under section 199 of The Companies (Guernsey) Law, 2008 (the Law ). In accordance with the Law any share buy backs will be effected by the purchase of Shares in the market for cash at a price below the prevailing net asset value of the relevant class of Shares where the Directors believe such a purchase will enhance shareholder value. Shares which are purchased may be held in treasury or cancelled. As announced on 13 June 2013, the Company has engaged a buy-back agent to effect share buy-backs on behalf of the Company, which appointment will continue until 25 November The previous appointment of a buy-back agent as announced on 28 May 2012 expired on 25 May As at 28 August 2013 the Company had brought back million through on market share repurchases of 30,304,797 Sterling Shares at an average discount to the prevailing NAV of 5.4 per cent. The Company currently holds 30,754,797 Sterling Shares and 4,494,367 US Dollar Shares in treasury which are available for re-sale at prices above the then prevailing NAV per share. Share Price Share Price Discount as at Discount as at BlueCrest AllBlue Fund Limited Share Class 4 January 2013* 30 June 2013* Sterling Class % % Euro Class % 1.181% US Dollar Class % 1.544% *Source:Bloomberg 9

12 ABOUT THE COMPANY (continued) Continuation Vote Mechanism The Company s Articles incorporate a discount management provision (which applies to each class of Share individually) that will require a continuation vote to be proposed in respect of the particular class of Shares at a class meeting of the relevant shareholders (by way of ordinary resolution) if, over the previous 12 month rolling period, the relevant class of Shares has traded, on average (calculated by averaging the closing mid-market share price on the dates which are 5 Business Days after the date on which each estimated NAV announcement is made for each NAV Calculation Date over the period) at a discount in excess of 5 per cent. to the average NAV per Share of that class (calculated by averaging the NAV per Share of that class as at the NAV Calculation Date at the end of each month during the period). In the event that a vote to continue is proposed and passed for any class of Ordinary Shares, no further continuation vote will be capable of being proposed for that class for a period of 12 months from the date on which the requirement for a continuation vote was triggered. Portfolio Summary The Company s investments (excluding cash, cash equivalents, receivables and prepayments) as at 30 June 2013 were: Valuation Total Net Number of in Local Valuation Assets Investment Shares Currency* % Sterling AllBlue Limited Sterling Shares 3,621, ,844, ,844, AllBlue Leveraged Feeder Limited Sterling Shares 340, ,516, ,516, Institutional Sterling Government Liquidity Fund Core (Acc) Shares 11, ,173, ,173, Euro AllBlue Limited Euro Shares 78, ,937, ,784, US Dollar AllBlue Limited US$ Shares 1,060, US$202,729, ,287, ,606,

13 ABOUT THE COMPANY (continued) The investment portfolio of AllBlue was allocated on the following basis amongst the Underlying Funds: Allocation % Allocation % as at as at Underlying Fund 1 January 2013* 30 June 2013* BlueCrest Capital International Limited BlueCrest Multi-Strategy Credit Fund Limited BlueCrest Emerging Markets Fund Limited BlueTrend Alignment Fund Limited BlueCrest Mercantile Fund Limited 11 9 BlueMatrix Limited 5 8 *Source BlueCrest Capital Management (UK) LLP, figures to nearest 1%. Net Asset Value per Share for Financial Statements Purposes As at 30 June 2013, the net asset values of the Shares were: Sterling Euro US Dollar Share Class Share Class Share Class $ Net asset value at 1 January Net movement in unrealised appreciation on investments (0.1083) (0.0120) (0.0182) Operating expenses (0.0009) (0.0006) (0.0009) Effect of share issues and conversions Net asset value as at 30 June

14 REPORT BY THE INVESTMENT MANAGER OF ALLBLUE LIMITED On the invitation of the Directors of the Company, this commentary has been provided by BlueCrest as investment manager of AllBlue Limited and is provided without any warranty as to its accuracy and without any liability incurred on the part of the Company, BlueCrest or AllBlue Limited. The commentary is not intended to constitute, and should not be construed as, investment advice. Potential investors in the Company should seek their own independent financial advice and may not rely on this communication in evaluating the merits of investing in the Company. The commentary is provided as a source of information for shareholders of the Company but is not attributable to the Company. Report on AllBlue Limited ( AllBlue ) by BlueCrest Capital Management (UK) LLP for the half year ending 30 June 2013 The year started with a strong risk on move in reaction to the resolution of the US fiscal cliff negotiations, reinforced by perceived improvements in the health of the European financial sector after larger than expected repayments of the ECB s LTRO financing were made. As the first quarter progressed the issues surrounding the Eurozone came into focus again with the bail-out of Cyprus, although this did not have the same level of impact on global markets as the Greek concerns of The second quarter of 2013 was a tale of two central banks, with the actions of the Bank of Japan (BoJ) and the US Fed driving significant moves in bond markets. Initially, the BoJ announced it would undertake a bond purchase programme of unprecedented size in a bid to stimulate the economy. Markets, domestically and internationally, welcomed these actions with the extent of the stimulus and expectations of domestic Japanese investors buying foreign assets boosted positive sentiment, particularly in bonds. 10 year yields in major markets hit record low levels at the end of April. However, in late May comments from the Fed sparked speculation that quantitative easing (QE) may be reduced and later in June Ben Bernanke surprised markets by reinforcing the hawkish views of the prior month. Investors interpreted the comments to be a significant turning point and dramatic selling of bond, credit and emerging markets followed (assets deemed the most sensitive to a tightening in financial conditions). During the first half of the year AllBlue Limited (Class A, USD) delivered a net return of -0.70%. Four out of the six underlying funds delivered a positive contribution to AllBlue, with only BlueCrest Capital International and BlueTrend Alignment detracting from returns. Further details on the drivers of performance for each strategy are covered below. Over the course of the first half of the year allocations to BlueCrest Capital International and BlueCrest Mercantile were decreased by about 11.5% and 2% respectively, with all other funds receiving increased allocations. BlueTrend Alignment saw the largest increase, approximately 5.5%, with BlueCrest Emerging Markets, BlueMatrix and BlueCrest Multi Strategy Credit seeing increases of around 3.5%, 3% and 1.5% respectively. 12

15 REPORT BY THE INVESTMENT MANAGER OF ALLBLUE LIMITED (continued) AllBlue s VaR (95% confidence, 1 day VaR based on 3 year historical simulation) stood at 0.17% of assets at the end of June, having been 0.35% at the end of 2012; the most notable change was BlueTrend Alignment s reduction of risk exposure in Q2. The volatility of the strategy, measured on a rolling 12 month basis, has remained low with the fund delivering an annualised volatility of 4.0%. Strategy Review by Fund BlueCrest Capital International was down -2.41% (Class F, USD) for the first half of The return contribution across most desks was relatively muted during the first half of the year, with small positive or negative contributions from most strategies. The exception, and the main detractor from performance, was the allocation to the Alignment (fixed income absolute return) strategy that performed negatively over the period as long government bond holdings were significantly impacted by the fall in bond prices in May and June. Elsewhere, over the period under review, the Rates strategies marginally detracted from performance whilst macro credit, cross asset convexity and the newly added mortgage strategies provided marginal positive contributions. BlueCrest Emerging Markets was up +2.28% (Class A, USD) for the first half of The emerging markets faced challenging conditions over the latter part of the review period as substantial volatility and price falls were driven by the anticipation of tighter monetary policy in the US and the negative impact of a withdrawal of global liquidity. The fund s performance started the year strongly and proved to be resilient through the turmoil, with the greatest profits by strategy generated by Asian currencies, followed by CEEMEA interest rates and developed market hedges. Latin American markets proved to be more difficult, resulting in flat performance for the period after gains in sovereign bonds were offset by losses in currencies and local interest rates strategies. BlueCrest Multi Strategy Credit was up +5.18% (Class A, USD) for the first half of The asset class benefitted in the early part of the year from calmer market conditions, aided by central banks support of the economy, that reversed dramatically in May leading to higher volatility and credit spread widening. Within the fund the focus on active trading reaped rewards from tactically capturing gains from long-biased US High Yield and ABS strategies in the first quarter, followed by profits from short-biased strategies in Asia and Europe after sentiment turned in the second quarter. Modest positive contributions were also made from European corporate credit trading and convertible bond arbitrage strategies. BlueCrest Mercantile was up +3.91% (Class A, USD) for the first half of Both the Bank Basel II and Trade Credit Opportunities strategies performed well through the first half of The Bank Basel II strategy, which produced slightly stronger returns, benefitted from earning carry whilst experiencing negligible defaults in the underlying portfolios. Trade Credit Opportunities performed well throughout the period as the team were able to take advantage of a steady level of asset availability from banks in the secondary market. The Commodities Finance strategy detracted over the first half of the year. 13

16 REPORT BY THE INVESTMENT MANAGER OF ALLBLUE LIMITED (continued) BlueTrend Alignment was down % (Class A, USD) for the first half of The year started well for the strategy with four positive months; however the reversals in fixed income markets, and subsequently other asset classes, in response to Bernanke s talks about QE tapering moved sharply against the fund s positions. The model reacted as designed by substantially reducing risk across the fund. In aggregate, over the first half of the year, the equity and metal sectors contributed positively to performance whilst the remaining sectors detracted from returns. BlueMatrix was up +7.01% (Class A, USD) for the first half of Over the course of the first half of 2013 the European and North American portfolios were profitable, whilst the Asian portfolios were broadly flat. The return contributions of different signals varied between regions and over time, although most were positive in aggregate over the first half of the year. Research continues to expand and enhance the line up of signals and markets contributing to the model, aiming to increase the diversification of potential return drivers within the strategy. AllBlue Allocation History December 2012 March 2013 June % 12% 20% 5% 17% 35% 5% 16% 11% 22% 28% 18% 18% 9% 8% 22% 23% 20% BlueCrest Capital International BlueCrest Mercantile BlueCrest Emerging Markets BlueTrend Alignment BlueCrest Multi Strategy Credit BlueMatrix AllBlue Performance and Attribution of Underlying Funds H H Fund Performance* Attribution** BlueCrest Capital International -2.41% -0.58% BlueCrest Emerging Markets 2.28% 0.39% BlueCrest Multi Strategy Credit 5.18% 1.07% BlueCrest Mercantile 3.90% 0.39% BlueTrend Alignment % -2.30% BlueMatrix 7.01% 0.44% AllBlue -0.70% * The figures shown are for the Class A USD share classes for each funds excluding BlueCrest Capital International which is for Class F USD. ** Attribution is for AllBlue Limited (Class A USD) net of manager s fees and expenses. 14

17 REPORT BY THE INVESTMENT MANAGER OF ALLBLUE LIMITED (continued) AllBlue Funds BlueCrest Capital International A global macro fund, with a strong fixed income focus. Strategies include directional and curve trading, driven by macro views around central bank activities, their likely actions and market reactions that will impact the level of rates and the shape of the yield curve. Also relative value which looks to identify anomalies across the fixed income markets. BlueCrest Emerging Markets A macro fund that looks to identify opportunities across currency, local interest rates, sovereign and quasi-sovereign credit markets with a focus on liquidity. The fund trades throughout Latin America, the Middle East, Central and Eastern Europe, Africa and Asia. BlueCrest Multi Strategy Credit Engages in opportunities across the full credit spectrum of corporate and sovereign debt markets, implementing strategies such as long/short credit, credit volatility and capital structure arbitrage. BlueCrest Mercantile Invests in bonds and loans associated with the production and trade of commercial goods and commodities and then hedges out the associated risks. The credits are purchased from commercial banks who are under pressure to remove them from their balance sheets in order to manage risk concentration and to adhere to regulatory requirements. BlueTrend Alignment A global systematic trend following fund that trades in excess of 150 liquid markets covering asset classes including equities, fixed income, foreign exchange, energy, metals and agricultural commodities. BlueMatrix A global systematic equity market neutral strategy that draws upon a wide variety of fundamental and technical inputs, as well as other sources. The portfolio construction process incorporates a sophisticated in-house risk model which seeks to maintain market neutrality at the regional level, as well as limiting exposures to other factors such as size or liquidity. 15

18 INTERIM MANAGEMENT REPORT for the period from 1 January to 30 June 2013 A description of important events that have occurred during the first six months of the financial year, their impact on the performance of the Company as shown in the financial statements and a description of the principal risks and uncertainties for the remaining six months of the annual financial year is given in the Chairman s Statement on pages 2 to 4, and the notes to the financial statements on pages 26 to 51 and are incorporated here by reference. There were no material related party transactions which took place in the first six months of the financial year, other than those disclosed at note 6 to the financial statements. This half-yearly financial report has not been audited or reviewed by auditors pursuant to the Auditing Practices Board guidance on Review of Interim Financial Information. Going Concern The performance of the investments held by the Company over the reporting period are described in the Statement of Operations and the outlook for the future is described in the Chairman s Statement. The Company s financial position, its cash flows and liquidity position are set out in the financial statements and the Company s financial risk management objectives and policies, details of its financial instruments and its exposures to price risk, credit risk, liquidity risk, interest rate risk and the risk of leverage by Underlying Funds are set out at note 15 to the financial statements. The Company s Articles incorporate a discount management provision (which applies to each class of Share individually) that requires a continuation vote to be proposed in respect of the particular class of Shares at a class meeting of the relevant shareholders (by way of ordinary resolution) in the circumstances explained on page 10. As at 12 August 2013, for the purposes of the continuation votes the Sterling Shares had traded at an average 4.09% discount to their net asset values, the Euro Shares at an average 3.65% discount and the US Dollar Shares at an average discount of 3.22%, all over the previous twelve month period. As at 29 August 2013, being the latest practicable date prior to the publication of this document, the Sterling Shares were trading at a discount of 2.86% to their net asset value, the Euro Shares at a discount of 0.36% to their net asset value and the US Dollar Shares at a discount of 0.53% to their net asset value. The continuation vote mechanism was triggered for the Sterling Shares and US Dollar Shares as announced on 31 January 2013 and for the Euro Shares as announced on 28 February Continuation resolutions were passed for Sterling and Euro Share classes of Ordinary Shares at separate Class meetings held on 17 April 2013 and accordingly no further continuation vote can be triggered for each class until 31 December 2013 (for the Sterling Share class) and 31 January 2014 (for the Euro Share class). The Continuation resolution was not passed for the US Dollar Share class and therefore the Directors formulated redemption proposals to be put to the shareholders of 16

19 INTERIM MANAGEMENT REPORT (continued) for the period from 1 January to 30 June 2013 that class only offering to redeem their shares at the relevant Net Asset Value (less the costs of all such redemptions). Acceptances of the redemption offer for US Dollar Shares were received for 75,413,387 US Dollar Shares (representing approximately per cent. of the US Dollar Shares in issue at 1 July 2013). The redemption proceeds of approximately $128million were paid to redeeming shareholders on 8 August After making enquiries, the Directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. Accordingly, they continue to adopt the going concern basis in the preparation of this annual financial report. Responsibility Statements The Board of directors jointly and severally confirm that, to the best of their knowledge: (a) The financial statements, prepared in accordance with International Financial Reporting Standards as adopted by the European Union, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and (b) This Interim Management Report includes or incorporates by reference: i. An indication of important events that have occurred during the first six months of the financial year, and their impact on the financial statements; ii. iii. a description of the principal risks and uncertainties for the remaining six months of the financial year; confirmation that there were no related party transactions in the first six months of the current financial year that have materially affected the financial position or the performance of the Company during that period; and iv. changes in the related parties transactions described in the last annual report that could have a material effect on the financial position or performance of the Company in the first six months of the current financial year. Jonathan Hooley Chairman of the Audit Committee 30 August

20 STATEMENT OF COMPREHENSIVE INCOME for the period ended 30 June 2013 Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Total Notes $ Net loss on non current financial assets at fair value through profit or loss 7 (4,775,364) (104,514) (2,167,876) (5,571,096) Net gain on current financial assets at fair value through profit or loss 7 1,079 1,079 Operating expenses 3 (383,580) (4,987) (112,587) (460,767) Currency aggregation adjustment 5,879,451 Decrease in net assets attributable to shareholders (5,157,865) (109,501) (2,280,463) (151,333) Loss per share for the period Pence ( ) Cent ( ) Cents ($) Basic and Diluted 5 (1.12) (1.18) (2.11) In arriving at the results for the financial period, all amounts above relate to continuing operations. There is no Other Comprehensive Income for the year. Reconciliation of basic and diluted loss per share for investment purposes to loss per share per the Financial Statements: Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Pence ( ) Cent ( ) Cents ($) Loss per share for investment purposes (1.04) (1.14) (2.01) Adjustment for amortisation of preliminary and other expenses on a straight line basis in accordance with the Prospectus (0.08) (0.04) (0.10) Loss per share per the Financial Statements (1.12) (1.18) (2.11) The loss per share for investment purposes represents the loss per share attributable to shareholders in accordance with the Prospectus. The notes on pages 26 to 51 form an integral part of these Financial Statements. 18

21 STATEMENT OF COMPREHENSIVE INCOME (continued) for the period ended 30 June 2012 Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Total Notes $ Net gain on non current financial assets at fair value through profit or loss 7 16,952, ,668 2,439,860 18,645,866 Net gain on current financial assets at fair value through profit or loss 7 6, ,628 Operating expenses 3 (299,776) (4,025) (45,096) (331,771) Currency aggregation adjustment (1,286,722) Increase in net assets attributable to shareholders 16,659, ,649 2,394,939 17,034,001 Earnings per share for the period Pence ( ) Cent ( ) Cents ($) Basic and Diluted In arriving at the results for the financial period, all amounts above relate to continuing operations. There is no Other Comprehensive Income for the year. Reconciliation of basic and diluted earnings per share for investment purposes to earnings per share per the Financial Statements: Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Pence ( ) Cent ( ) Cents ($) Earnings per share for investment purposes Adjustment for amortisation of preliminary and other expenses on a straight line basis in accordance with Prospectus (0.06) (0.05) (0.06) Earnings per share per the financial statements The earnings per Share for investment purposes represents the earnings per share attributable to shareholders in accordance with the Prospectus. The notes on pages 26 to 51 form an integral part of these Financial Statements. 19

22 STATEMENT OF FINANCIAL POSITION as at 30 June 2013 Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Total Notes $ NON CURRENT ASSETS Unquoted financial assets designated as at fair value through profit or loss 7 771,361,332 14,937, ,729, ,411,326 CURRENT ASSETS Quoted financial assets designated as at fair value through profit or loss 7 1,173,359 1,173,359 Cash and cash equivalents 18,822,370 5, ,742 18,901,511 Receivables & prepayments 8 50, ,070 59,508 20,045,953 6, ,812 20,134,378 TOTAL ASSETS 791,407,285 14,944, ,021, ,545,704 CURRENT LIABILITIES Payables & accrued liabilities 9 159,348 3,908 13,495 62, ,348 3,908 13,495 62,313 NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS 791,247,937 14,940, ,008, ,483,391 Represented by: CAPITAL AND RESERVES Share capital 10 Share premium 11 Treasury shares 12 (51,124,681) (51,124,681) Distributable reserves ,372,618 14,940, ,008, ,608, ,247,937 14,940, ,008, ,483,391 SHARES IN ISSUE ,098,238 8,687, ,151,694 NAV PER SHARE $ The Financial Statements on pages 18 to 52 were approved and authorised for issue by the Board of Directors on Thursday 29 August 2013 and are signed on its behalf by: Jonathan Hooley Chairman of the Audit Committee The notes on pages 26 to 51 form an integral part of these Financial Statements. 20

23 STATEMENT OF FINANCIAL POSITION (continued) as at 31 December 2012 Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Total Notes $ NON CURRENT ASSETS Unquoted financial assets designated as at fair value through profit or loss 7 856,201,904 17,298, ,754, ,941,685 CURRENT ASSETS Quoted financial assets designated as at fair value through profit or loss 2,222,281 2,222,281 Cash and cash equivalents 1,018,915 1,782 20,591 1,033,039 Receivables & prepayments 8 109, ,181 4,449,583 3,215,991 3,350, ,963 4,470,174 6,471,311 TOTAL ASSETS 859,552,471 17,840, ,224, ,412,996 CURRENT LIABILITIES Payables & accrued liabilities 9 96,214 15, , ,270 96,214 15, , ,270 NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS 859,456,257 17,825, ,112, ,305,726 Represented by: CAPITAL AND RESERVES Share capital 10 Share premium 11 Treasury shares 12 (30,453,679) (30,453,679) Distributable reserves ,909,936 17,825, ,112, ,759, ,456,257 17,825, ,112, ,305,726 SHARES IN ISSUE ,354,793 10,304,993 80,041,527 NAV PER SHARE $ The notes on pages 26 to 51 form an integral part of these Financial Statements. 21

24 STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the period ended 30 June 2013 Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Total Notes $ Opening balance 859,456,257 17,825, ,112, ,305,726 Adjustment to allocation of reserves brought forward (177,023) (546) 262,715 Accretive gain transfer between share classes (132,426) 17, ,440 Decrease in net assets attributable to shareholders (5,157,865) (109,501) (2,280,463) (151,333) Treasury shares 12 (20,671,002) (20,671,002) Share conversions (42,070,005) (2,792,461) 67,729,591 Closing balance 791,247,937 14,940, ,008, ,483,391 The notes on pages 26 to 51 form an integral part of these Financial Statements. 22

25 STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS for the year ended 31 December 2012 Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Total Notes $ Opening balance 835,038,683 14,726, ,023, ,014,604 Adjustment to allocation of reserves brought forward 153,777 15,534 (278,318) Increase in net assets attributable to shareholders 51,950, ,103 7,784,973 53,261,722 Treasury shares 12 (29,970,600) (29,970,600) Share conversions 2,283,926 2,135,954 (6,417,154) Closing balance 859,456,257 17,825, ,112, ,305,726 The notes on pages 26 to 51 form an integral part of these Financial Statements. 23

26 STATEMENT OF CASH FLOWS for the period ended 30 June 2013 Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Total $ Operating activities Decrease in net assets attributable to shareholders (5,157,865) (109,501) (2,280,463) (151,333) Unrealised (appreciation)/depreciation on financial assets at fair value through profit or loss 41,190, ,802 3,787,084 43,531,054 Realised gains on sales of financial assets (23,789,965) (73,406) (644,138) (24,276,201) Interest income (17,510) (333) (4,559) (20,747) Interest expense 42, ,074 50,398 Currency aggregation adjustment (5,879,451) Adjustment to allocation of reserves brought forward (177,023) (546) 262,715 Accretive gain transfer between share classes (132,426) 17, ,440 (Decrease)/increase in payables 63,134 (11,319) (98,377) (44,957) Decrease in receivables 59, ,232 4,270,513 3,156,484 Net cashflow from operating activities 12,080,847 1,028,410 5,487,289 16,365,247 Investing activities Interest received 17, ,559 20,747 Purchase of financial assets (71,140,944) (1,808,018) (14,534,971) (82,242,523) Proceeds from sale of financial assets 110,186,148 1,272,058 10,121, ,927,884 Net cashflow from investing activities 39,062,714 (535,627) (4,408,994) 35,706,108 Financing activities Purchase of own shares (20,671,002) (20,671,002) Realised gains on conversions (12,626,569) (487,882) (975,070) (13,684,837) Interest paid (42,535) (808) (11,074) (50,398) Net cashflow from financing activities (33,340,106) (488,690) (986,144) (34,406,237) Cash and cash equivalents at beginning of period 1,018,915 1,782 20,591 1,033,040 Currency aggregation adjustment 203,353 Increase in cash and cash equivalents 17,803,455 4,092 92,151 17,665,118 Cash and cash equivalents at end of period 18,822,370 5, ,742 18,901,511 The notes on pages 26 to 51 form an integral part of these Financial Statements. 24

27 STATEMENT OF CASH FLOWS for the period ended 30 June 2012 Ordinary Shares Sterling Euro US Dollar Share Share Share Class Class Class Total $ Operating activities Increase in net assets attributable to shareholders 16,659, ,649 2,394,939 17,034,001 Unrealised (appreciation)/depreciation on financial assets at fair value through profit or loss 491,241 (95,274) (1,169,990) (224,927) Realised gains on sales of financial assets (17,159,533) (174,733) (1,081,973) (17,990,529) Interest income (99) (77) Interest expense 2, ,554 Currency aggregation adjustment 1,286,722 Adjustment to allocation of reserves brought forward 30,800 (227) (55,896) (Decrease)/increase in accrued expenses and payables 7,687 2,409 82,376 8,468 Increase in prepayments and accrued income (79,748) (568) (4,255) (29,947) Net cashflow from operating activities (48,008) 30, ,556 86,265 Investing activities Interest received Purchase of financial assets (84,051,750) (1,662,891) (14,621,467) (94,717,814) Proceeds from sale of financial assets 89,812,825 1,670,023 14,687, ,526,459 Net cashflow from investing activities 5,761,075 7,231 65,568 5,808,722 Financing activities Purchase of own shares (868,503) (868,503) Realised gains on conversions (290,740) (32,667) (188,071) (437,039) Interest paid (2,289) (49) (355) (2,554) Net cashflow from financing activities (1,161,532) (32,716) (188,426) (1,308,096) Cash and cash equivalents at beginning of period (262,113) (4,623) (42,698) (293,496) Currency aggregation adjustment (3,894) Increase in cash and cash equivalents 4,551,535 4,721 42,698 4,586,891 Cash and cash equivalents at end of period 4,289, ,289,501 The notes on pages 26 to 51 form an integral part of these Financial Statements. 25