Interim Management Statement
18 Maio 2010 - 3:00AM
UK Regulatory
TIDMCROP
RNS Number : 0507M
Ceres Agriculture Fund Limited
18 May 2010
18 May 2010
Ceres Agriculture Fund Limited - Interim Management Statement
Ceres Agriculture Fund Limited ("Ceres" or the "Company"), a Guernsey domiciled,
Authorised Closed-ended investment scheme established to invest in an actively
managed portfolio of exchange-traded agricultural commodity contracts and
derivatives, managed by FourWinds Capital Management ("FourWinds"), today issues
its Interim Management Statement for the period from 1 January to 30 April 2010
(the "Period").
Performance during the Period
Overall, the net asset value ("NAV") per ordinary share ("Share") of Ceres
decreased by 3.98% over the Period. Performance during the Period was
negatively impacted by the Company's medium term fundamental traders
specializing in sugar, as well as by discretionary macro traders focusing across
all four agriculture complexes (grains, fibers, tropicals and livestock). Some
of these losses were offset by gains from the Company's medium to long term
fundamental traders in the grains and livestock markets.
The contribution by sector during the Period was as follows:
Grains -0.09%
Fibers -0.17%
Tropicals -3.38%
Livestock +0.32%
Other -0.66%
However, as a comparable, during the Period, the DJ UBS Agriculture Index (the
"Index") lost 10.78%. Price action across commodities heavily differed
depending on money flows, technicals (in terms of chart posture), and perceived
fundamentals. The Index declines were primarily driven by significantly lower
prices during the Period in the sugar markets and lower prices across the entire
grain and soy complex. Livestock markets including live cattle, feeder cattle,
and lean hogs, along with cotton, coffee, and orange juice provided positive
performance for the Index (as they did for Ceres). As expected, money flows
driven by increased overall interest in tangible exchange traded products, such
as commodity futures and options, played a key role in the short term price
movements during the Period. Additionally, traders watched, and managed risk
around, global macro economic factors such as the Greek debt crisis, whilst
measuring the repercussions from any additional U.S. financial regulation.
During the Period, most agriculture markets moved in favour of individual
fundamentals. Many commodity prices, such as corn, soybeans, cattle, and cotton
trended according to supply and demand numbers such as crop production, export
demand, and cattle on feed. The grain complex entered 2010 under fire as prices
tumbled due to bearish supply and demand reports. In the tropicals complex,
sugar made the most news as it soared to 30 year highs in January 2010 before
falling nearly 50% by the end of April 2010. This whipsaw in price action in
sugar negatively impacted the Company's bullish and relative value traders as
price action was adverse and highly volatile.
However, agriculture commodities' implied volatility levels continued to
decline, and as a result, ended the Period closer to historical averages. This
retracement negatively impacted the Company due to its long volatility strategy.
Entering the month of January 2010, the grain markets had to digest the bearish
news provided by the January 12th United States Agriculture Department ("USDA")
crop production and grain stocks reports. This, coupled with an expected record
level South American grain and soy harvest, sent prices sharply into decline.
Corn prices lost 11.6% and soybean prices lost 4.8%. During the Period, the
Company's fundamental traders let pre-positioned trades work in their favour,
while adding on to their bearish convictions on any bounces in prices.
Long term strategies in the livestock complex proved to be successful due to
decreasing market ready supplies and sharply higher beef and pork prices which
supported both the lean hogs and live cattle markets during the entire Period.
Live cattle prices rose 9.6% due to the drop in feeder cattle placements, market
ready fat cattle, and higher beef prices. These dynamics have positively
impacted pricing across the entire curve structure in the livestock markets,
which made for a conducive trading environment for the Company's fundamental
traders.
Tropicals and fibers were a mixed bag during the Period, with the headlining
commodity in those sectors being raw and white sugar. Varying supply deficits,
increased speculative participation, and forced liquidation all played a
significant role in the adverse conditions witnessed in the sugar markets. Sugar
prices gained 10% in January 2010 before toppling almost 50% by the end of April
2010. This was a result of increased speculative participation and changing
deficit fundamentals. As the market moved lower, the Company's traders were
forced to cover long positions in what they believed was still a bullish market.
Volatility rapidly increased in sugar during the Period due to this divergence
between bearish technicals and bullish fundamentals. Cotton prices increased
9.5% as increased demand, on the back of historically low U.S. ending stocks,
and generally low projections for seeded acres kept a bid underneath prices.
Traders found small positive returns on the long side of cotton during the
Period.
Latest estimated NAV
The unaudited estimated NAV per ordinary share of the Company as at 7 May 2010
(as announced on 14 May 2010) was US$0.96.
Performance since admission to trading
A summary of the monthly performance of the Company since its ordinary shares
were admitted to trading on the London Stock Exchange in November 2007 is set
out below.
Performance (USD Ordinary Shares):
+----------+------------+------------+-------------+---------+
| DATE | Official | NAV/share | Fund | DJ-UBS |
| | Rounded | to four |Performance | |
| |NAV/share* |decimals** | | AG TR |
| | | | | Index |
+----------+------------+------------+-------------+---------+
|31/12/07 | 1.02 | 1.0170 | 1.70% | 7.86% |
+----------+------------+------------+-------------+---------+
|31/01/08 | 1.03 | 1.0321 | 1.48% | 6.61% |
+----------+------------+------------+-------------+---------+
|29/02/08 | 1.06 | 1.0558 | 2.30% | 16.21% |
+----------+------------+------------+-------------+---------+
|31/03/08 | 1.04 | 1.0410 | -1.40% |-16.05% |
+----------+------------+------------+-------------+---------+
|30/04/08 | 1.05 | 1.0452 | 0.21% | 1.98% |
+----------+------------+------------+-------------+---------+
|31/05/08 | 1.05 | 1.0496 | 0.41% | -1.83% |
+----------+------------+------------+-------------+---------+
|30/06/08 | 1.09 | 1.0903 | 3.88% | 14.92% |
+----------+------------+------------+-------------+---------+
|31/07/08 | 1.07 | 1.0718 | -1.70% |-10.58% |
+----------+------------+------------+-------------+---------+
|31/08/08 | 1.07 | 1.0706 | -0.11% | -4.57% |
+----------+------------+------------+-------------+---------+
|30/09/08 | 1.05 | 1.0478 | -2.13% |-15.75% |
+----------+------------+------------+-------------+---------+
|31/10/08 | 1.04 | 1.0422 | -0.54% |-16.48% |
+----------+------------+------------+-------------+---------+
|30/11/08 | 1.04 | 1.0371 | -0.75% | -4.44% |
+----------+------------+------------+-------------+---------+
|31/12/08 | 1.04 | 1.0371 | 0.01% | 5.64% |
+----------+------------+------------+-------------+---------+
|31/01/09 | 1.03 | 1.0291 | -0.77% | -1.39% |
+----------+------------+------------+-------------+---------+
|28/02/09 | 1.02 | 1.0235 | -0.54% | -7.89% |
+----------+------------+------------+-------------+---------+
|31/03/09 | 1.02 | 1.0195 | -0.39% | 5.73% |
+----------+------------+------------+-------------+---------+
|30/04/09 | 1.03 | 1.0292 | 0.62% | 4.92% |
+----------+------------+------------+-------------+---------+
|31/05/09 | 1.05 | 1.0456 | 1.60% | 11.46% |
+----------+------------+------------+-------------+---------+
|30/06/09 | 1.03 | 1.0322 | -1.28% | -9.69% |
+----------+------------+------------+-------------+---------+
|31/07/09 | 1.03 | 1.0257 | -0.63% | 0.72% |
+----------+------------+------------+-------------+---------+
|31/08/09 | 1.01 | 1.0148 | -1.06% | 1.77% |
+----------+------------+------------+-------------+---------+
|30/09/09 | 1.01 | 1.0112 | -0.36% | -1.65% |
+----------+------------+------------+-------------+---------+
|31/10/09 | 0.98 | 0.9834 | -2.74% | 2.90% |
+----------+------------+------------+-------------+---------+
|30/11/09 | 0.98 | 0.9770 | -0.67% | 6.93% |
+----------+------------+------------+-------------+---------+
|31/12/09 | 0.98 | 0.9779 | 0.05% | 1.08% |
+----------+------------+------------+-------------+---------+
|31/01/10 | 0.99 | 0.9940 | 1.58% | -9.00% |
+----------+------------+------------+-------------+---------+
|28/02/10 | 0.98 | 0.9776 | -1.64% | 3.09% |
+----------+------------+------------+-------------+---------+
|31/03/10 | 0.96 | 0.9632 | -2.08% | -7.98% |
+----------+------------+------------+-------------+---------+
|30/04/10 | 0.94 | 0.9423 | -1.85% | 3.36% |
+----------+------------+------------+-------------+---------+
* Official NAV's are rounded to 2 decimals.
**NAV/share provided to 4 decimals for informational purposes.
Performance Statistics:
+-------------------+---------+----------+
| | Ceres | DJ UBS |
| | | AG TR |
+-------------------+---------+----------+
| Average Monthly | -0.21% | -0.79% |
| Return | | |
+-------------------+---------+----------+
| Largest Monthly | 3.81% | 16.21% |
| Return | | |
+-------------------+---------+----------+
| Largest Monthly | -2.97% | -16.48% |
| Loss | | |
+-------------------+---------+----------+
| Comp. Annualised | -2.53% | -9.12% |
| Return | | |
+-------------------+---------+----------+
| Percent Winning | 59% | 55% |
| Months* | | |
+-------------------+---------+----------+
| Sharpe Ratio (5%) | Neg. | Neg. |
+-------------------+---------+----------+
| Standard | 5.57% | 30.14% |
| Deviation | | |
+-------------------+---------+----------+
| Maximum Drawdown | -11.76% | -46.82% |
+-------------------+---------+----------+
| Months in Max | 22 | 26 |
| Drawdown | | |
+-------------------+---------+----------+
| Months to Recover | N/A | N/A |
+-------------------+---------+----------+
* Positive months or flat
Breakdown by sector:
+-------------------+------+
| Grains | 39% |
+-------------------+------+
| Fibers | 3% |
+-------------------+------+
| Tropicals | 19% |
+-------------------+------+
| Livestock | 21% |
+-------------------+------+
| Other | 13% |
+-------------------+------+
| Cash | 5% |
+-------------------+------+
Breakdown by strategy:
+-------------------+------+
| Discretionary | 93% |
| Trading | |
+-------------------+------+
| Systematic | 2% |
| Trading | |
+-------------------+------+
| Cash | 5% |
+-------------------+------+
Trade horizon allocation:
+-------------------+------+
| Short term | 41% |
+-------------------+------+
| Medium term | 46% |
+-------------------+------+
| Long term | 8% |
+-------------------+------+
| Cash | 5% |
+-------------------+------+
A full report is available on the Company's website: www.ceresagriculture.com
Tender Offer, Requisition and Winding-Up Proposals
On 29 March 2010, the Company announced a tender offer for up to 24.99 per cent.
of the Company's issued share capital (excluding any Shares held in treasury)
then in issue at a tender price equal to 95.5 per cent. of the latest published
estimated unaudited NAV per Share as at the close of business on 30 April 2010
("March Tender Offer"). The March Tender Offer closed at 1.00 p.m. on 30 April
2010 and was oversubscribed. 79,952,218 Shares (65.6 per cent. of the issued
Shares) were tendered by shareholders owning 97,784,474 Shares. The tender
price was US$0.8977 per Share, which was equal to 95.5 per cent. of the latest
published estimated unaudited NAV per Share as announced on 29 April 2010.
On 27 April 2010, the Company announced that it had received a requisition from
various shareholders, who at that time held in aggregate 10.42 per cent. of the
issued share capital of the Company (excluding Shares held in treasury),
requiring the Directors to convene an extraordinary general meeting to consider
resolutions (i) to voluntarily wind up the Company; and (ii) if the foregoing
resolution was not passed, to implement a tender offer for 50% of the Shares in
issue (the "Requisition").
In light of the Requisition and the results of the March Tender Offer, and after
a period of consultation with major shareholders, the Company announced on 10
May 2010 that it intended to post a circular to shareholders and to convene an
extraordinary general meeting of the Company to take place before the end of
June 2010, to consider a resolution to wind up the Company, which will be
recommended by the Directors of the Company. A circular and notice of
extraordinary general meeting will be posted to shareholders shortly.
Further enquiries:
FourWinds Capital Management, Investment Manager
Kimberly Tara info@fourwindscm.com
Cenkos Securities plc, Corporate Broker
Peter Hindmarsh +44 (0)20 7397 1983
Will Rogers +44 (0)20 7397 1920
HSBC Securities Services (Guernsey) Limited, Administrator
Tel: +44 (0) 1481 707 000
Citigate Dewe Rogerson, PR Advisor
Kevin Smith /Lindsay Noton +44 (0)207 638 9571
Important Information
This Interim Management Statement has been produced solely to provide additional
information to shareholders of the Company to meet the relevant requirements of
the U.K. Listing Authority's Disclosure and Transparency Rules. It should not
be relied upon by any other party for any other purpose. The information in
this statement has not been audited.
The Company is a Guernsey domiciled Authorised Closed-ended investment scheme
pursuant to section 8 of the Protection of Investors (Bailiwick of Guernsey) Law
1987, as amended and rule 6.02 of the Authorised closed-ended Investment Schemes
Rules 2008.
The information related to the Company included in this statement is provided
for information purposes only and does not constitute an invitation or offer to
subscribe for or purchase shares in the Company. This material is not intended
to provide a sufficient basis on which to make an investment decision. All
investments are subject to risk. An investment in the Company should be
regarded as long term in nature and is suitable only for sophisticated
investors, investment professionals, high net worth bodies corporate,
unincorporated associations and partnerships and trustees of high value trusts,
in each case, who can bear the economic risk of a substantial or entire loss of
their investment. Prospective investors are adviser to seek expert legal,
financial, tax and other professional advice before making any investment
decisions.
The information contained in this statement relating to the DJ AIG Agriculture
Index has been sourced from published information. Such information had been
accurately reproduced from the source materials and, as far as the Company is
able to ascertain from information published in respect of the Index, no facts
have been omitted, the omission of which would render the reproduced information
inaccurate or misleading.
The ordinary shares of the Company ("Shares") have not been and will not be
registered under the US Securities Act of 1933, as amended ("Securities Act") or
the US Investment Company Act of 1940, or with any securities regulatory body or
any state or other jurisdiction in the United States and, subject to certain
exceptions, may not be offered or sold in the United States or to or for the
account or benefit of US persons (as such term is defined in Regulation S under
the Securities Act) absent registration under the Securities Act or an
applicable exemption from such registration. No public offering of any shares in
the Company is being, or has been, made in the United States.
FUTURES AND OPTIONS TRADING HAS LARGE POTENTIAL REWARDS, BUT ALSO LARGE
POTENTIAL RISKS. YOU MUST BE AWARE OF THE RISKS AND BE WILLING TO ACCEPT THEM IN
ORDER TO INVEST IN THE FUTURES AND OPTIONS MARKETS AND IN ORDER TO INVEST IN THE
COMPANY. DO NOT TRADE OR INVEST WITH MONEY YOU CAN'T AFFORD TO LOSE. THIS
ANNOUNCEMENT AND ITS CONTENTS ARE NEITHER A SOLICITATION NOR AN OFFER TO BUY OR
SELL FUTURES, STOCKS OR OPTIONS ON THE FUTURES OR OPTIONS MARKETS. NO
REPRESENTATION IS BEING MADE THAT ANY ACCOUNT OR INVESTMENT WILL OR IS LIKELY TO
ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED IN THIS ANNOUNCEMENT (IF
ANY). THE PAST PERFORMANCE OF ANY TRADING SYSTEM OR METHODOLOGY IS NOT
NECESSARILY INDICATIVE OF FUTURE RESULTS.
PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN
CONNECTION WITH POOLS WHOSE PARTICIPANTS ARE LIMITED TO QUALIFIED ELIGIBLE
PERSONS, AN OFFERING MEMORANDUM FOR THE COMPANY IS NOT REQUIRED TO BE, AND HAS
NOT BEEN FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION
DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A POOL OR UPON THE ADEQUACY OR
ACCURACY OF AN OFFERING MEMORANDUM. CONSEQUENTLY, THE COMMODITY FUTURES TRADING
COMMISSION HAS NOT REVIEWED OR APPROVED ANY OFFERING BY THE COMPANY OR ANY
OFFERING MEMORANDUM FOR THE COMPANY.
End.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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