31 December Performance Updat

RNS Number : 2842G

BlueCrest AllBlue Fund Ltd

28 January 2010

 



FOR IMMEDIATE RELEASE

28 January 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR DECEMBER 2009

INVESTMENT OBJECTIVE

BlueCrest AllBlue Fund Limited (the "Company") is a Guernsey incorporated, closed-ended investment company. The investment objective of the Company is to provide its Sterling, US Dollar and Euro shareholders with consistent long-term capital growth through an investment policy of investing substantially all of each share class' assets in the Sterling, US Dollar and Euro shares in AllBlue Limited respectively.

AllBlue Limited provides access to a portfolio of diversified strategies managed by BlueCrest Capital Management L.L.P. Funds currently included are BlueCrest Capital International  Limited (relative value strategy), BlueTrend Fund Limited (systematic trend following strategy), Emerging Markets Fund Limited (global emerging macro strategy), Mercantile (trade finance strategy), Credit Relative Value (multi strategy credit), BlueMatrix (systematic high frequency equity strategy) and BlueCube (systematic multi strategy equity market neutral).

The net asset values ("NAV") of the Company's Shares as at the close of business on 31 December 2009 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.5236	0.09%	8.78%	55.44%
Euro Shares	€1.4702	0.09%	8.70%	49.99%
US Dollar Shares	$1.4754	0.06%	8.77%	50.53%

C Shares	NAV*
Sterling C Shares	£0.9897
Euro C Shares	€0.9897
US Dollar C Shares	$0.9897

*The figures are based on the estimated NAV at the month end.

**Based on opening NAV, being the Issue Price less Formation and Initial Expenses, of £0.9802  per Sterling Share, $0.9802 per US Dollar Share and €0.9802 per Euro Share.

PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF DECEMBER 2009

The following portfolio performance report for AllBlue Limited has been provided to the Company by BlueCrest Capital Management LLP. Whilst the Company believes that the information has been received from a reliable source, the Company is not able to verify the information and accepts no responsibility for the accuracy of the comments made or figures given in the report, and neither should any responsibility be implied.

REPORT BY BLUECREST ON ALLBLUE LIMITED

In its 15th consecutive positive month, AllBlue delivered a performance which was mainly attributed to strong monthly performances from Emerging Markets and Mercantile. 

BlueCrest Capital International returned +0.25%, taking the YTD performance to +44.90%. The Relative Value desk and Emerging Markets desk have continued to contribute positively to the fund. The rates portfolio was relatively flat in risk and the markets were relatively quiet due to the holiday period and the seasonality of liquidity. The small losses on rates are attributed to curve flattening in the long end of the sterling curve. 

BlueTrend posted a negative performance of -4.64%, however, the fund remained positive for 2009 with +4.85%.  December proved to be a testing month for the fund as its long position in equities failed to offset the losses sustained from rising yields and volatile energy prices. Equities continued their upward path into year-end as investors put their concerns over sovereign risk (most notably Greece and Portugal) to one side and focused on the recovery that was validated by stronger economic data. 

The Emerging Markets Fund was a strong performer this month returning +2.17% and YTD performance of +33.56%. Performance was driven by gains in credit positions in Latin America, East Europe and the Middle East. The fund was stopped out of its exposure to Nakheel after the volatility in November and subsequently did not benefit from the surprise payment of bond principal made after the last minute bail out from Abu Dhabi. Other positions in the region did however benefit from the increase in confidence following the repayment.  

The Credit Fund finished the year with a positive month returning +0.71% to investors and +11.21% YTD. Most of the performance was driven by Long/Short, where the desk experienced a nice up draft into year-end from the credit curve steepeners. Each of the Volatility, Correlation and Index Arbitrage strategies were broadly flat on the month. 

The Mercantile Fund was the strongest performer this month returning +3.65% taking the YTD performance to +5.28%. This was due to the overall spread rally in emerging markets as well as a good amount of carry from long positions in the trade finance assets. 

BlueMatrix posted its second only negative month in H2 2009 this month with a return of -0.12%. However, the fund remained up for the year at +18.02%. December produced a positive start to the month as macro data showed manufacturing in China and Europe expanded for November, while US payrolls fell (for November) by the smallest amount since the recession started. These bullish macro figures offset negative sentiment toward sovereign exposure as Greece was downgraded by Fitch, S&P and Moody's while Spain was downgraded by S&P.  As expected in December, there was a lack of liquidity in the markets which reduced the gross gearing and traded volumes. 

BlueCube returned -1.45% in December.  On a broad strategy view, much of the negative performance was due to the Revisions and Recommendations strategy, which was down nearly 1% and which, along with the Value strategy, was the most heavily weighted.  The Momentum strategy, which was down over half a percent, also contributed to the negative performance.  The Reversion and Value strategies were flat on the month. 

The Alignment Fund made a positive return on the month with an estimated +0.10% taking the YTD to 5.99%. 2009 was a year which offered higher than average risk premia and consequently the fund was positioned more aggressively than the target average whilst delivered returns were also higher. Government bond yields rose significantly in December as equity markets performed well. There was also a marked increase in nervousness about fiscal sustainability with Greece at centre stage. This rise in yields resulted in losses across some key interest rate sensitive strategy books - inflation linked bonds (ILBs), global rates and mortgage backed securities (MBS). However, these losses were offset by a compression of credit spreads and the overall fund preserved its capital value with strong attribution came from Global Credit and Global Hybrid. The performance of corporate credit in December ended an exceptional year for credit returns. The Alignment allocation is scheduled to be removed in Q1 2010. 

Disclaimer:

This publication is issued by BlueCrest AllBlue Fund Limited (the "Company") for informational purposes exclusively to and for the benefit only of shareholders in the Company and to no one else; and accordingly the Company accepts no responsibility for the use any third party might make of the information herein contained and neither is any responsibility implied.

Information on AllBlue Limited and its underlying funds have been provided to the Company by BlueCrest Capital Management LLP and the Company is not responsible for, nor does it warrant, the accuracy of such information. Although BlueCrest Capital Management LLP believes that the information on AllBlue Limited and its underlying funds is materially correct, no warranty is given as to the accuracy of the information provided.

This publication may not be relied upon in evaluating the merits of investing in any securities referred to herein. Neither is it intended as and is not to be taken as an offer or solicitation with respect to the purchase or sale of any security, nor does it constitute an offer or solicitation in any jurisdiction, including those in which such an offer or solicitation is not authorised or to any person to whom it is unlawful to make such a solicitation or offer.  

Where in this document an estimate of the Net Asset Value of a share in the Company is given, although the information is believed to be materially correct, no warranty is given as to the accuracy of the information provided.

The Company's underlying investment programme is speculative in nature and entails substantial risks. The underlying investments may be subject to sudden and large falls in price or value and there could be a large loss upon realisation which could equal the total amount originally invested.

Further information about Shares in BlueCrest AllBlue Fund Limited may be found on the Company's website at www.bluecrestallblue.co.uk

For further Company shareholder information about investing in the Company contact:  Alex Collins of RBS Hoare Govett on Tel: London 020 7678 1703.

Neither this press release nor any part of it may be released, mailed, transmitted, copied, distributed, taken or otherwise sent in or into the United States of America, Canada, Australia or Japan. Any failure to comply with these restrictions may constitute a violation of United States of America, Canada, Australia or Japanese Securities laws.

Anson Fund Managers Limited

Secretary.

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT

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