BlueCrest BlueTrend Limited’s prospectus in relation to the proposed placing and offer for subscription of Sterling Shares USD Shares and Euro Shares of the Company has been approved by the UK Listing Authority.
The Company’s investment objective is to seek to achieve long term appreciation in the value of its assets. The Company will be a feeder fund and will pursue its investment objective by principally investing its assets in BlueTrend Fund Limited ("BlueTrend Fund") which in turn invests into the market through an investment in BlueTrend Master Fund Limited ("BlueTrend Master Fund"). The Company will also be permitted to retain up to 19.9 per cent of its total assets in cash or cash equivalents for working capital purposes and to enable it to fund its discount management policy.
Notwithstanding the retention of assets in cash or cash equivalents, it is the intention of Company to maintain a substantially similar economic exposure to that which would be achieved by investing 100 per cent of its available net assets in BlueTrend Fund. The Company will seek to maintain such a substantially similar economic exposure by investing an amount broadly equivalent to its total assets held in cash or cash equivalents (up to 19.9 per cent of its total assets) in BlueTrend 2x Leveraged Fund Limited ("BlueTrend Leveraged Fund"), which in turn invests into the market through an investment in BlueTrend 2x Leveraged Master Fund Limited ("BlueTrend Leveraged Master Fund").
BlueTrend Leveraged Master Fund has a substantially similar investment strategy to BlueTrend Master Fund (together, the "Master Funds"), save for the fact its aggregate investment exposure is approximately twice that of BlueTrend Master Fund (based on an investment of an equal amount in each of the Master Funds and excluding all fees and expenses attributable to such investments).
It is expected that in most market conditions the balance of cash and cash equivalents and the Company’s investment in BlueTrend Leveraged Fund will each be approximately 5 to 10 per cent of the Company’s total assets.
The trading models implemented by the Master Funds are the basis of all trades undertaken in respect of the Master Funds’ assets and trades occur across debt, equity, foreign exchange and commodity instruments and derivatives relating to those instruments, which may include swaps, indices, forwards, futures and option contracts. Overall portfolio diversification is achieved by trading in more than 150 markets across a number of key asset classes.
The Master Funds seek to construct a portfolio on a ‘bottom-up’ basis, starting with each individual market traded. Positions are taken proportional to the intensity of the trend signal found for each market and are interpreted in risk terms, taking into account the current volatility of each market. The BlueCrest Group seeks to achieve efficient asset allocation by varying the overall sector allocation and the level of risk to reflect current opportunities.
BlueTrend Fund has achieved an annualised return of 16.59 per cent on its (Class B USD share class from the date of inception of such share class since inception on 1 February 2005 up to 31 January 2012)1. Overall, BlueTrend is designed to target an annualised volatility of 15 to 20 per cent.
The following table shows the NAV performance of BlueTrend Fund (Class B USD) and corresponding levels of volatility as compared with a widely used composite hedge funds index and traditional equity and government bond indices as at 31 January 2012.
The Directors will implement a Share buy-back programme, subject to sufficient portfolio liquidity, to buy back Shares in the market, if they trade at a discount of two per cent or more to the latest published Net Asset Value. The price at which Shares are repurchased may be at a wider discount than two per cent to the latest published Net Asset Value to reflect market volatility. The implementation of the buyback policy will be subject to the Companies Laws and all other applicable legal and regulatory requirements.
In addition, if the Shares of a particular class trade at an average discount to Net Asset Value per Share in any calendar quarter of more than five per cent, the Directors will consider, subject to applicable law including the requirements of the Companies Laws, making a redemption offer to Shareholders of that class at the Net Asset Value per Share (less any costs attributable to such redemption offer).
When made, the terms of a redemption offer will provide that Shareholders requesting in excess of 25 per cent of their Shares to be redeemed will have their redemption requests in respect of such excess accepted, pro rata to the size of their shareholding, if, and then only to the extent that, total redemption requests are made for less than 25 per cent of the prevailing issued Share capital of the Company.
The costs and expenses of, and incidental to, the Issue which are payable by the Company are fixed at one per cent of the proceeds raised under the Issue, being an amount equal to the number of Shares issued at the Issue Price pursuant to the Issue.
As of 1 February 2012, BlueCrest’s assets under management were approximately $29.4 billion with approximately US$14 billion in the BlueTrend programme (which includes all assets under management in respect of which the BlueCrest Group utilises the model employed by BlueTrend Fund)1. The group has a global presence with c.400 staff located in Guernsey, London, Geneva, New York, Boston and Singapore.