BlueCrest model outperforms the sector

This investment model might be seen as narrow in scope to some, but it proved to be remarkably resilient as world markets unravelled last year. This is a point not lost on Mark James, a director of ABN Amro's alternative investment funds team: "This fund presents a strong case in favour of the internal fund-of-funds model and its exposure to a number of different underlying strategies, which prosper in different kinds of market environments, has contributed to steady NAV growth. So far this year the NAV [net asset value] has gained more than 7 per cent and this was one of the few funds in this sector to deliver positive NAV performance in 2008."

Another benefit of this type of in-house fund derives from the fact that it does not have a separate investment manager; therefore it isn't required to spring for any investment management fees. Nevertheless, its total expense ratio (TER) is higher than some rival funds at 2 per cent. The fund's administrator is entitled to an annual fee of £56,000 plus a further £500 for every £5m tranche of NAV in excess of £30m.

The strong performance over the early part of this year was largely attributable to ABL's 5.3 per cent return over the first quarter. There were significant contributions from both the Mixed Arbitrage and Emerging Markets allocations, the latter of which bounced back strongly after a lamentable final quarter in 2008. Volatility, at around 7 per cent, remains in the centre of ABL's targeted range, although it would have been somewhat lower but for an increase in the fund’s Mixed Arbitrage allocation.

BABS enjoys top ranking on Fundamental Data's league table for the sector, which is based on performance over a rolling three-year period. The discount to NAV has narrowed to just over 5 per cent.

Source: BlueCrest and *FT funds

Asset Allocation as at 1 June