Half Yearly Financial Report

RNS Number : 7247X

BlueCrest AllBlue Fund Ltd

19 August 2009

BlueCrest AllBlue Fund Limited
(Formally Close AllBlue Fund Limited)

Half - yearly Financial Report

for the period ended 30 June 2009

(Unaudited)

Registered in Guernsey 44704

BlueCrest AllBlue Fund Limited (the 'Company')
CONTENTS
About the Company	1
Investment Objective and Policy
Chairman's Statement	7
Report by the Manager of AllBlue Limited	9
Interim Management Report	19
Statement of Operations	21
Balance Sheet	23
Statement of Changes in Net Assets Attributable to Shareholders	25
Statement of Cash Flows	27
Notes to the Financial Statements	29
Schedule of Investments	48
Shareholder Information	50
Directors and Service Providers	51

BlueCrest AllBlue Fund Limited (the 'Company')

ABOUT THE COMPANY

The Company is a self-managed closed-ended investment company incorporated in Guernsey on 21 April 2006 with an unlimited life. The Company has three classes of shares in issue being Sterling Shares, Euro Shares and US Dollar Shares. On 25 May 2006 all three classes were admitted to trading on AIM and the Sterling Shares only were admitted to listing and trading on the Channel Islands Stock Exchange. On 13 June 2008, the Company changed its name from Close AllBlue Fund Limited to BlueCrest AllBlue Fund Limited. On 19 June 2008, the trading of the Shares on AIM and the Company's listing on the Channel Islands Stock Exchange were cancelled and the Shares were admitted to the Official List of the UK Listing Authority and to trading on the London Stock Exchange's main market for listed securities.

As at 14 August 2009, being the latest practical date prior to the publication of this report, the Company's total issued share capital consisted of 231,188,317 Ordinary Shares, of which 206,418,289 were designated as Sterling Shares, 9,119,694 were designated as Euro Shares and 15,650,334 were designated as US Dollar Shares.

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 Limited ('AllBlue') or any successor vehicle of AllBlue. Accordingly, the Company's published investment policy is consistent with that of AllBlue.

AllBlue is an open-ended investment company incorporated in the Cayman Islands with an investment objective of providing 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.

BlueCrest AllBlue Fund Limited (the 'Company')

ABOUT THE COMPANY (continued)

Investment Objective and Policy (continued)

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 collectively form a diversified basket of hedge fund investments. As at 30 June 2009, AllBlue was invested in seven underlying funds comprising BlueCrest Capital International Limited, BlueTrend Fund Limited, Merrill Lynch Investment Solutions - BlueTrend UCITS Fund, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited, BlueMatrix Fund Limited and BlueCrest Multi Strategy Credit Fund Limited, (together the 'Underlying Funds') all of which are managed by BlueCrest Capital Management L.L.P. ('BlueCrest'). AllBlue may in the future from time to time exclude any or all of these funds or include any other investment fund established by BlueCrest or by managers with close links to BlueCrest.

BlueCrest is the appointed investment manager of AllBlue. BlueCrest seeks 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 by BlueCrest's AllBlue committee, comprising a team of senior investment professionals of BlueCrest, on a monthly basis. BlueCrest reviews the allocation of AllBlue's assets amongst the underlying funds on a monthly basis and makes such adjustments as it deems appropriate.

It is the policy of BlueCrest that the assets of AllBlue will be predominantly fully invested. However, AllBlue may hold certain assets in cash or cash equivalents from time to time, should it consider that this is required for efficient portfolio management or otherwise in the best interests of AllBlue.

Although the Company has power under its Articles 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. The Company has entered into a 364 day revolving

BlueCrest AllBlue Fund Limited (the 'Company')

ABOUT THE COMPANY (continued)

credit facility of £5,500,000 with Barclays Private Clients International Limited ('Barclays'). £500,000 is for the purpose of managing day-to-day cash flow when paying the ongoing operational expenses of the Company and £5 million to facilitate the buy back of its Shares as explained below.

AllBlue does not employ any leverage but 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.

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 options, futures, options on futures, swaps and other synthetic or derivative financial instruments.

BlueCrest

BlueCrest is an English limited liability partnership, which was incorporated in England on 11 August 2008, as the successor to the former investment manager of AllBlue, BlueCrest Capital Management L.P. BlueCrest is authorised and regulated by the Financial Services Authority of the United Kingdom and is registered with the Securities and Exchange Commission of the United States.

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. Whilst hedging of currency exposure may occur within AllBlue, your Directors do not intend that the Company will carry out any additional hedging arrangements.

BlueCrest AllBlue Fund Limited (the 'Company')

ABOUT THE COMPANY (continued)

Further Issue of Shares

The Directors 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.

Discount Management Provisions

The Directors have obtained shareholder approval to buy back up to 14.99% of each class of Shares in issue at the last General Meeting and 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, as amended. In accordance with applicable laws 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. The 364 day revolving credit facility will be used to finance any Share buy backs. Any borrowings would be repaid out of the proceeds of redemption of the required number of shares in AllBlue. Shares which are purchased may be cancelled or held in treasury.

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 Share at a class meeting of the relevant Shareholders (by way of ordinary resolution) if, over the previous 12 month rolling period commencing from 1 January 2008, the relevant class of Share has traded, on average (calculated by averaging the closing mid-market share price on the dates which are five 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 five per cent. to the average Net Asset Value 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 calculation period).

BlueCrest AllBlue Fund Limited (the 'Company')

ABOUT THE COMPANY (continued)

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 further 12 months. Continuation votes were proposed for all three classes of Ordinary Shares at separate class meetings held on 12 August 2009 and further information on those votes is provided in the Chairman's Statement.

Portfolio Summary

The Company's investments in AllBlue as at 30 June 2009 were:

Investment	Number of Shares	Valuation in Local Currency*	Valuation £	Total Net Assets %
AllBlue Limited Sterling Shares	1,922,574	£281,692,551	281,387,631	92.12

AllBlue Limited Euro Shares	56,029	€8,169,116	6,957,354	2.28

AllBlue Limited US$ Shares	178,362	$26,509,613	16,089,995	5.27

			304,434,980	99.67

*Source AllBlue Fund Limited.

As at 30 June 2009, the investment portfolio of AllBlue was allocated on the following basis amongst the underlying funds:

BlueCrest AllBlue Fund Limited (the 'Company')

ABOUT THE COMPANY (continued)

Portfolio Summary (continued)

Underlying fund	Allocation %*
BlueCrest Capital International Limited	30.9
BlueTrend Fund Limited	22.8
BlueCrest Multi-Strategy Credit Fund Limited	13.3
BlueCrest Emerging Markets Fund Limited	12.2
BlueCrest Mercantile Fund Limited	11.4
BlueMatrix Fund Limited	7.5
Merrill Lynch Investment Solutions - BlueTrend UCITS Fund	1.7
Cash	0.2

*Source AllBlue Fund Limited.

Net Asset Value per Share for Financial Statements Purposes

As at 30 June 2009, the net asset values of the Shares were:

	Sterling Share Class £	Euro Share Class €	US Dollar Share Class $
Net asset value at 1 January 2009	1.2525	1.2068	1.2171

Add: net movement in unrealised appreciation on investments	0.1173	0.1116	0.1111

Add: operating income	0.0000	0.0000	0.0007

Less: operating expenses	(0.0009)	(0.0011)	(0.0004)

Add: effect of share issues and conversions	0.0000	0.0033	(0.0021)

Net asset value as at 30 June 2009	1.3689	1.3206	1.3264

BlueCrest AllBlue Fund Limited (the 'Company')

CHAIRMAN'S STATEMENT

Dear Shareholder,

Following a successful year in 2008, the Company has continued to deliver strong financial performance during the first six months of 2009. Although investment markets demonstrated significant volatility, fears of systemic financial risk had, by the end of the period, diminished significantly in comparison to the fourth quarter of 2008. Opportunities for attractive returns in trading markets were evident during the period and those funds pursuing trading arbitrage strategies were the strongest contributors to the AllBlue Fund in the first half of the year.

Share Price Performance

In the six month period to 30 June 2009, the published Sterling Share NAV (calculated in accordance with the Company's Articles of Association) rose from £1.2526 to £1.3704, a return of 5.58% for the period, which is greater than for any half-year period since the launch of the Company in 2006.

The price of a Sterling Share increased from 103.75p to 129.75 p during the period, an appreciation of 25.1 %. This appreciation has seen the trading discount narrow significantly and the Company has continued to trade at a tight discount level relative to its peer group. The average discounts over the period for each of the Sterling, Euro and US Dollar Share classes were 7.6 %, 8.7 % and 8.4 %, respectively .

As at 30 June 2009, each of the Sterling, Euro and US Dollar Share classes were trading at discounts of 5.2 %, 5.3 % and 3.5 %, respectively

Despite the excellent underlying investment performance, the Company triggered its rolling 12 month discount floor provision for each of the Sterling, Euro and US Dollar Share classes, by reference to the final NAV as at 30 April 2009, 27 February 2009 and 31 March 2009, respectively. In accordance with the articles of incorporation of the Company, continuation votes were therefore proposed for all three classes of shares by way of ordinary resolutions. At the separate class meetings held on 12 August 2009, the continuation votes were duly passed.

Investment Management

BlueCrest AllBlue Fund Limited (the 'Company')

CHAIRMAN'S STATEMENT (Continued)

The first half of 2009 saw only minor changes in the investment management and investment allocations of the AllBlue Fund. The size of the AllBlue Fund increased during

the period following the redemptions of late 2008 and BlueCrest has advised the Board that this growth is expected to continue. The six principal underlying funds into which the AllBlue Fund invests have remained consistent throughout the period. The report by the Manager of AllBlue on page 9 contains a more detailed review of the returns for the period from the different underlying strategies.

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 2009, the weighted average level of unencumbered cash in the underlying funds was approximately 1.3%.

Outlook

The Company has been advised by BlueCrest that the investment environment for trading-based strategies, that has delivered strong performance so far in 2009, remains attractive.

I look forward to reporting to you again in the Annual Financial Report for the year ended 31 December 2009.

Richard Crowder

Chairman

BlueCrest AllBlue Fund Limited (the 'Company')

REPORT BY THE MANAGER OF ALLBLUE LIMITED

On the invitation of the Directors of the Company, this commentary has been provided by BlueCrest Capital Management L.L.P. ('BlueCrest') as manager of AllBlue Limited ('AllBlue') and is provided without any warranty as to its accuracy and without any liability incurred on the part of the Company, BlueCrest or AllBlue. The commentary is provided as a source of useful information for shareholders of the Company but is not attributable to the Company.

Report on AllBlue Limited ('AllBlue') by BlueCrest Capital Management LLP for the half year ending June 30, 2009

AllBlue Limited (Class A, USD) generated 8.96% in the period under review, the first half of 2009. AllBlue has seen consistent returns for the year with positive performance in each of the first two quarters: 5.3% and 3.4% for Q1 and Q2 respectively. The trading environment for the discretionary funds has been and remains very attractive for several reasons:

Volatile markets have offered significant arbitrage opportunities;
Markets have witnessed a substantial withdrawal of proprietary trading capital since the end of 2008, meaning that fewer participants are seeking to take advantage of the opportunities that exist;
Macro expectations have not yet been priced into the markets - we expect that the global economy will remain weak, and bank lending activity will continue to be limited and bank capital continue to be scarce; and
Government bond issuance is expected to increase significantly - e.g. the US government is expected to raise $2 trillion alone in 2009 - which is likely to sustain the levels of volatility in the system.

Of the seven underlying funds in which AllBlue invests, the four that are most focused on trading arbitrage strategies delivered positive performance, with the largest single contribution being from BlueCrest Capital International. The negative contributors were BlueCrest Mercantile (Trade Finance) and BlueTrend, which has been the largest single contributor to the Fund's performance in each of 2007 and 2008. This change in relative contribution reflects the increase in trading opportunities described above, as well as an

BlueCrest AllBlue Fund Limited (the 'Company')

REPORT BY THE MANAGER OF ALLBLUE LIMITED (Continued)

environment with less directional trends than 2008. AllBlue has delivered an annualised volatility of 6.50% YTD through June 2009, which is in line with the target volatility for the Fund.

BlueCrest Capital International (Mixed Arbitrage)

BlueCrest Capital International generated a return of 24.48% (Class A, USD) for the first half of 2009.

The Rates desk, led by CEO and Head of Trading Michael Platt, was the strongest performer during the first half of 2009, contributing 21.11% to BlueCrest Capital International. FX, Fixed Income Relative Value, Equity Derivatives, and Credit RV also contributed positive returns for the first half of 2009.

BlueTrend (Systematic Trading)

BlueTrend (Class A, USD) has generated a negative return of -5.17% for the first half of 2009.

The market environment has been relatively trendless as compared to 2008. The negative return has been driven by trading in the Bonds sector, followed by FX, Metals, and Crops. Short Interest Rates, Equities, and Energies all contributed positive returns to the fund.

The BlueCrest systematic team continues to monitor refine the models driving the process. The models have behaved according to predictions throughout 2009, and the Blue Trend Fund continues to outperform its peer group. The models are well positioned to identify trends and, at the moment trends reappear in the markets, positive returns should be generated.

BlueCrest AllBlue Fund Limited (the 'Company')

REPORT BY THE MANAGER OF ALLBLUE LIMITED (Continued)

Emerging Markets

After a challenging period in the fourth quarter of 2008, the first half of 2009 has been a successful period for the Emerging Markets Fund. The Emerging Markets Fund (Class A, USD) generated a return (through June 2009) of 18.15%. This has been achieved following the decision in Q4 2008 to focus on the most liquid EM markets, being FX, local interest rate markets, and sovereign credit. February was the best performing month in the first half of 2009, achieving a return of 9.49%.

Multi Strategy Credit Relative Value

The Multi Strategy Credit Relative Value Fund has continued to deliver positive returns with low volatility. For the first half of 2009, the fund (Class A, USD) has returned 5.50%.

June was the best performing month for the Multi Strategy Credit Relative Value Fund for the first half of 2009 returning 2.14%. January was a month marked by the decoupling of high grade credit and stocks. The month was very poor for equity market performance (the worst January on record for the S&P 500) whereas investment grade credit performed well. There was strong appetite for investment grade new issues - a record month in terms of issuance. Key contributions came from curve trades on the high yield and high grade names, fundamental long-short relative value views on investment grade names, and opportunistic gamma trading.

Mercantile (Trade Finance)

BlueCrest Mercantile Fund, the trade finance strategy, returned -3.20% (Class A, USD) through the end of June. This negative performance was driven by mark-to-market losses on underlying trade finance positions, which were not offset by profits on hedges as CDS spreads actually tightened over the period. The underlying assets continue to perform well and consequently these losses are expected to be reversed through to their maturity.

BlueCrest AllBlue Fund Limited (the 'Company')

REPORT BY THE MANAGER OF ALLBLUE LIMITED (Continued)

BlueMatrix (High Frequency Equity)

The BlueMatrix Fund has returned 11.78% for the first half of 2009. The strongest month for BlueMatrix was April with a 4.88% return while the weakest month was January with a -2.72% return.

This program, which is now trading nearly 600 single-name equities, typically witnesses its best performance in conditions of elevated but stable volatility, where the market has a potential for volatility to trend down. As market volatility declines, the relationship between the baskets and the single stocks begins to normalize, creating positive returns. As a result, BlueMatrix has been able to take full advantage of the current trading environment.

Disclaimer

This communication is issued by BlueCrest Capital Management LLP ('BCML'). BCML is authorised and regulated by the Financial Services Authority of the United Kingdom ('FSA'). This communication constitutes a financial promotion for the purposes of the Financial Services and Markets Act 2000 (the 'Act') and the handbook of rules and guidance issued from time to time by the FSA (the 'FSA Rules'). BCML is registered with the U.S. Securities Exchange Commission ('SEC') as an investment adviser under the Investment Advisers Act of 1940.

The information contained herein is directed exclusively at persons who are professional clients or eligible counterparties for the purposes of the FSA Rules, or to Qualified Purchasers, as defined in the U.S. Investment Company Act of 1940, as amended. Any of the funds described herein (each a 'Fund') and other investments and investment services to which this communication relates are only available to the persons referred to above and other persons should not act or rely on the information contained herein.

The information contained herein is intended only for the person or entity to which it is addressed and may contain confidential and/or privileged material. Any retransmission, dissemination or other unauthorised use of this information by any person or entity is strictly prohibited. If you have received this communication in error, please contact the sender immediately and delete this material in its entirety.

This communication is not intended to constitute, and should not be construed as, investment advice. Potential investors in the Funds should seek their own independent financial advice. BCML neither provides investment advice to, nor receives and transmits orders from, investors in the Funds nor does it carry on any other activities with or for such investors that constitute 'MiFID or equivalent third country business' for the purposes of the FSA Rules.

This communication has been provided to you for informational purposes only and may not be relied upon by you in evaluating the merits of investing in any securities or interests referred to herein. This communication is not intended as and is not to be taken as an offer or solicitation with respect to the purchase or sale of any security or interest, 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. Any decision to purchase securities or interests with respect to any of the Funds described herein must be based solely upon the information contained in the Prospectus or Private Placement Memorandum for that Fund, including any supplements thereto, which must be received and reviewed prior to any investment decision. Any person subscribing for an investment must be able to bear the risks involved and must meet the suitability requirements relating to such investments. Some or all alternative investment programs may not be suitable for certain investors.

BlueCrest AllBlue Fund Limited (the 'Company')

REPORT BY THE MANAGER OF ALLBLUE LIMITED (Continued)

Certain of the performance results provided herein were not achieved from the actual management of the Fund, but are instead simulated results achieved by means of the retroactive application of the adviser's investment methodology, or the real-time application of a hypothetical capital allocation to such strategy. This approach has inherent limitations, including that results may not reflect the impact that material economic and market factors might have had on the adviser's decision-making if the adviser actually had been managing client money.

Although the information in this communication is believed to be materially correct, no representation or warranty is given as to the accuracy of any of the information provided. Certain information included in this communication is based on information obtained from sources considered to be reliable. However, any projections or analysis provided to assist the recipient of this communication in evaluating the matters described herein may be based on subjective assessments and assumptions and may use one

among alternative methodologies that produce different results. Accordingly, any projections or analysis should not be viewed as factual and should not be relied upon as an accurate prediction of future results. Furthermore, to the extent permitted by law, neither the Funds nor any of their agents, service providers or professional advisers assumes any liability or responsibility nor owes any duty of care for any consequences of any person acting or refraining to act in reliance on the information contained in this communication or for any decision based on it.

Past performance is not necessarily indicative of future results. The actual performance realised by any given investor will depend on, amongst other things, the Fund invested into, the class of shares/interests subscribed for, the period during which such shares/interests are held and in what currency such shares/interests are held. This communication may include returns for various indices. These indices are not intended to be direct benchmarks for a particular Fund, nor are they intended to be indicative of the type of assets in which a particular Fund may invest. The assets invested in by the Funds will likely be materially different than the assets underlying these indices, and will likely have a significantly different risk profile. Target returns, volatility and Sharpe ratio figures quoted are targets only and are based over the long term on the performance projections of the investment strategy and market interest rates at time of modelling and therefore may change.

Among the risks we wish to call to the particular attention of prospective investors are the following: (1) Each Fund's investment programme is speculative in nature and entails substantial risks; (2) The investments of each Fund may be subject to sudden and large falls in price or value and there could be a large loss upon realisation of a holder's investment, which could equal the total amount invested; (3) As there is no recognised market for many of the investments of the Funds, it may be difficult or impossible for a Fund to obtain complete and/or reliable information about the value of such investments or the extent of the risks to which such investments are exposed; (4) BCML has total trading authority over the Funds, and the use of a single adviser could mean a lack of diversification and, consequently, higher risk, and BCML is dependent upon the services of key personnel, and if certain or all of them become unavailable, the Funds may prematurely terminate; (5) An investment in a Fund is illiquid and there is no secondary market for the sale of interests in a Fund and none is expected to develop; (6) There are restrictions on transferring interests in a Fund; (7) BCML will receive performance-based compensation, which may result in riskier investments, and the Funds' fees may offset trading profits; (8) The Funds are subject to certain conflicts of interest; (9) Certain securities and instruments in which Funds may invest can be highly volatile; (10) The Funds may be leveraged; and (11) A substantial portion of the trades executed for the Funds take place on non-U.S. exchanges.

Changes in rates of exchange may also have an adverse effect on the value, price or income of the investments of each Fund.

BlueCrest AllBlue Fund Limited (the 'Company')

REPORT BY THE MANAGER OF ALLBLUE LIMITED (Continued)

APPENDICES

	Period Return
Month Ending	Mixed Arb	Systematic	Emerging Markets	Trade Finance	High Frequency Equity Trading	Credit Relative Value	AllBlue
Jan-09	5.97%	-0.64%	4.91%	0.80%	-2.72%	2.00%	2.38%
Feb-09	1.71%	0.04%	9.49%	0.02%	-0.04%	1.38%	1.91%
Mar-09	6.40%	-0.82%	-4.93%	-1.03%	3.90%	-1.70%	0.94%
Apr-09	5.38%	-4.42%	-0.66%	-1.26%	4.88%	0.14%	0.92%
May-09	1.14%	3.20%	3.48%	-1.02%	3.11%	1.48%	1.70%
Jun-09	1.85%	-2.48%	5.25%	-0.73%	2.31%	2.14%	0.90%

Q1	14.68%	-1.42%	9.21%	-0.23%	1.04%	1.65%	5.32%
Q1 ann.	58.71%	-5.67%	36.83%	-0.90%	4.16%	6.58%	21.28%
Q2	8.55%	-3.81%	8.19%	-2.98%	10.63%	3.79%	3.57%
Q2 ann.	34.21%	-15.24%	32.75%	-11.93%	42.54%	15.18%	14.28%
YtD 2009	24.48%	-5.17%	18.15%	-3.20%	11.78%	5.50%	9.08%
YtD 2009 ann.	48.97%	-10.35%	36.30%	-6.40%	23.57%	11.00%	18.16%

	Annualised Volatility (based on weekly estimate data)
Month Ending	Mixed Arb	Systematic	Emerging Markets	Trade Finance	High Frequency Equity Trading	Credit Relative Value	AllBlue
Q1	10.94%	10.63%	18.46%	4.85%	16.48%	7.45%	7.16%
Q2	10.89%	10.82%	13.85%	4.22%	8.57%	6.71%	6.10%
YtD	10.73%	10.53%	15.91%	4.47%	12.99%	6.96%	6.50%


	Return / Volatility Ratio
Month Ending	Mixed Arb	Systematic	Emerging Markets	Trade Finance	High Frequency Equity Trading	Credit Relative Value	AllBlue
Q1	5.36	-0.53	1.99	-0.19	0.25	0.88	2.97
Q2	3.14	-1.41	2.37	-2.83	4.96	2.26	2.34
YtD	4.56	-0.98	2.28	-1.43	1.81	1.58	2.79

BlueCrest AllBlue Fund Limited (the 'Company')

REPORT BY THE MANAGER OF ALLBLUE LIMITED (Continued)

APPENDICES (Continued)

Mixed Arb	Period Return

Desks	31-Mar	30-Jun
Rates	12.89%	21.11%
Relative Value	1.39%	1.68%
FX	0.82%	1.63%
Equity Derivatives	0.10%	0.26%
Credit RV	0.12%	0.18%
Commodities	0.00%	0.01%
Trade Finance	-0.01%	-0.13%
Venture Finance	-0.70%	-0.79%
Cross Asset Convexity	-0.04%	0.36%
Property Derivatives	0.07%	0.04%
Alignment	0.04%	0.14%
YtD	14.68%	24.48%

Q1 Correlation Matrix
3/31/2009	Mixed Arb	Systematic	Emerging Markets	High Frequency Equity Trading	Trade Finance	Credit Relative Value	AllBlue
Mixed Arb	100%	76.72%	53.16%	-30.26%	52.45%	-14.56%	84.30%
Systematic	76.72%	100%	71.22%	-46.85%	23.32%	23.23%	91.13%
Emerging Markets	53.16%	71.22%	100%	-48.99%	43.41%	40.90%	81.80%
High Freq Equity Trading	-30.26%	-46.85%	-48.99%	100%	-32.67%	-10.91%	-31.15%
Trade Finance	52.45%	23.32%	43.41%	-32.67%	100%	-26.53%	42.42%
Credit Relative Value	-14.56%	23.23%	40.90%	-10.91%	-26.53%	100%	28.52%
AllBlue	84.30%	91.13%	81.80%	-31.15%	42.42%	28.52%	100%
Q1 Correlation Matrix
31/03/2009	Mixed Arb	Systematic	Emerging Markets	High Frequency Equity Trading	Trade Finance	Credit Relative Value	AllBlue
Mixed Arb	100%	76.72%	53.16%	-30.26%	52.45%	-14.56%	84.30%
Systematic	76.72%	100%	71.22%	-46.85%	23.32%	23.23%	91.13%
Emerging Markets	53.16%	71.22%	100%	-48.99%	43.41%	40.90%	81.80%
High Freq Equity Trading	-30.26%	-46.85%	-48.99%	100%	-32.67%	-10.91%	-31.15%
Trade Finance	52.45%	23.32%	43.41%	-32.67%	100%	-26.53%	42.42%
Credit Relative Value	-14.56%	23.23%	40.90%	-10.91%	-26.53%	100%	28.52%
AllBlue	84.30%	91.13%	81.80%	-31.15%	42.42%	28.52%	100%

BlueCrest AllBlue Fund Limited (the 'Company')

REPORT BY THE MANAGER OF ALLBLUE LIMITED (continued)

APPENDICES (Continued)

Q2 Correlation Matrix
30/06/2009	Mixed Arb	Systematic	Emerging Markets	High Frequency Equity Trading	Trade Finance	Credit Relative Value	AllBlue
Mixed Arb	100%	49.67%	-20.17%	25.94%	42.94%	26.30%	84.18%
Systematic	49.67%	100%	40.59%	7.96%	31.71%	9.42%	84.62%
Emerging Markets	-20.17%	40.59%	100%	-46.36%	-6.63%	-10.08%	24.38%
High Freq Equity Trading	25.94%	7.96%	-46.36%	100%	53.96%	14.35%	21.06%
Trade Finance	42.94%	31.71%	-6.63%	53.96%	100%	-22.63%	46.30%
Credit Relative Value	26.30%	9.42%	-10.08%	14.35%	-22.63%	100%	26.26%
AllBlue	84.18%	84.62%	24.38%	21.06%	46.30%	26.26%	100%

YtD Correlation Matrix
30/06/2009	Mixed Arb	Systematic	Emerging Markets	High Frequency Equity Trading	Trade Finance	Credit Relative Value	AllBlue
Mixed Arb	100%	62.58%	20.24%	-10.78%	48.10%	4.99%	83.90%
Systematic	62.58%	100%	56.71%	-25.55%	27.47%	16.05%	87.63%
Emerging Markets	20.24%	56.71%	100%	-46.91%	22.66%	19.09%	58.22%
High Freq Equity Trading	-10.78%	-25.55%	-46.91%	100%	-6.10%	-0.74%	-13.97%
Trade Finance	48.10%	27.47%	22.66%	-6.10%	100%	-25.36%	44.09%
Credit Relative Value	4.99%	16.05%	19.09%	-0.74%	-25.36%	100%	27.24%
AllBlue	83.90%	87.63%	58.22%	-13.97%	44.09%	27.24%	100%

BlueCrest AllBlue Fund Limited (the 'Company')

INTERIM MANAGEMENT REPORT FOR THE PERIOD FROM 1 JANUARY TO 30 JUNE 2009

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 7 and 8, and the notes to the financial statements on pages 29 to 47 and is 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 5 to the financial statements on page 34.

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, interest rate risk and the risk of leverage by underlying funds are set out at note 14 to the financial statements.

The continuation votes proposed at the class meetings held on 12 August 2009 were all passed and no further continuation vote is capable of being proposed for each class for a period of a further twelve months from 12 August 2009.

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 half-yearly financial report.

BlueCrest AllBlue Fund Limited (the 'Company')

INTERIM MANAGEMENT REPORT FOR THE PERIOD FROM 1 JANUARY TO 30 JUNE 2009

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, 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:

a. An indication of important events that have occurred during the first six months of the
financial year, and their impact on the financial statements;

b. a description of the principal risks and uncertainties for the remaining six months
of the financial year;

             c.     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

             d.     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.

Richard Crowder Jonathan Hooley

Director Director

BlueCrest AllBlue Fund Limited (the 'Company')

INCOME STATEMENT

for the period from 1 January 2009 to 30 June 2009

	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
Net gain on financial assets at fair value through profit or loss	6	24,207,536	690,287	2,219,321	26,474,768

Other operating income		-	-	14,937	9,991

Operating expenses	2	(196,682)	(6,760)	(8,533)	(208,427)

Increase in net assets attributable to shareholders		24,010,854	683,527	2,225,725	26,276,332


Earnings per share for the year		Pence (£)	Cent (€)	Cents ($)
- Basic and Diluted	4	11.64	11.32	10.96

In arriving at the results for the financial year, all amounts above relate to continuing operations.

There are no recognised gains or losses for the year other than those disclosed above.

Reconciliation of basic and diluted earnings per share for investment purposes to earnings per share per the financial statements:

	Pence (£)	Cent (€)	Cents ($)
Earnings per share for investment purposes	11.74	11.44	11.01
Adjustment to include expenses on an accruals basis	(0.10)	(0.12)	(0.05)
Earnings per share per the financial statements	11.64	11.32	10.96

The earnings per share for investment purposes represents the earnings per share attributable to shareholders in accordance with the Company's Articles of Association.

The notes on pages 29 to 47 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

INCOME STATEMENT

for the period from 1 January 2008 to 30 June 2008

	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
Net gain on financial assets at fair value through profit or loss		10,971,908	325,305	487,394	11,509,372

Operating expenses	2	(921,845)	(32,985)	(69,521)	(982,602)

Increase in net assets attributable to shareholders		10,050,063	292,320	417,873	10,526,770


Earnings per share for the year		Pence (£)	Cent (€)	Cents ($)
- Basic and Diluted	4	7.38	5.68	5.13

In arriving at the results for the financial year, all amounts above relate to continuing operations.

There are no recognised gains or losses for the year other than those disclosed above.

Reconciliation of basic and diluted earnings per share for investment purposes to earnings per share per the financial statements:

	Pence (£)	Cent (€)	Cents ($)
Earnings per share for investment purposes	7.98	6.32	5.99
Adjustment to include expenses on an accruals basis	(0.60)	(0.64)	(0.86)
Earnings per share per the financial statements	7.38	5.68	5.13

The earnings per share for investment purposes represent the earnings per share attributable to shareholders in accordance with the Company's Articles of Association.

The notes on pages 29 to 47 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

BALANCE SHEET

as at 30 June 2009

	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
FIXED ASSETS
Unquoted financial assets designated as at fair value through profit or loss	6	281,387,631	8,160,280	26,480,914	304,434,980

CURRENT ASSETS
Receivables	7	27,886	936	3,379	29,738
Cash at bank		1,011,944	4,495	20,159	1,028,025
		1,039,830	5,431	23,538	1,057,763

LIABILITIES EXCLUDING NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS
Payables	8	26,151	1,006	1,551	26,588
		26,151	1,006	1,551	26,588

NET CURRENT ASSETS		1,013,679	4,425	21,987	1,031,175

TOTAL ASSETS LESS CURRENT LIABILITIES		282,401,310	8,164,705	26,502,901	305,466,155

NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS		282,401,310	8,164,705	26,502,901	305,466,155

Represented by:
CAPITAL AND RESERVES
Share capital	9	-	-	-	-
Share premium	10	-	-	-	-
Purchase of own shares	11	(483,079)	-	-	(483,079)
Distributable reserves	12	282,884,389	8,164,705	26,502,901	305,949,234

		282,401,310	8,164,705	26,502,901	305,466,155

SHARES IN ISSUE		206,285,565	6,182,289	19,982,362

NAV PER SHARE		£1.3689	€1.3206	$1.3264

The financial statements were approved by the Board of Directors on 19 August 2009 and are signed on its behalf by:

Richard Crowder Jonathan Hooley

Director Director

The notes on pages 29 to 47 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

BALANCE SHEET

as at 31 December 2008

	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
FIXED ASSETS
Unquoted financial assets designated as at fair value through profit or loss	6	256,625,844	7,845,388	25,226,771	281,412,397

CURRENT ASSETS
Receivables	7	49,045	205	377	7,295
Cash at bank		837,331	13,610	43,391	880,075
		886,376	13,815	43,768	887,370

LIABILITIES EXCLUDING NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS
Payables	8	135,215	14,957	53,831	144,195
		135,215	14,957	53,831	144,195

NET CURRENT ASSETS / (LIABILITIES)		751,161	(1,142)	(10,063)	743,175

TOTAL ASSETS LESS CURRENT LIABILITIES		257,377,005	7,844,246	25,216,708	282,155,572

NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS		257,377,005	7,844,246	25,216,708	282,155,572

Represented by:
CAPITAL AND RESERVES
Share capital	9	-	-	-	-
Share premium	10	-	-	-	-
Purchase of own shares	11	(483,079)	-	-	(483,079)
Distributable reserves	12	257,860,084	7,844,246	25,216,708	282,638,651

		257,377,005	7,844,246	25,216,708	282,155,572

SHARES IN ISSUE		205,485,106	6,500,194	20,719,155

NAV PER SHARE		£1.2525	€1.2068	$1.2171

The notes on pages 29 to 47 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

STATEMENT OF CHANGES IN EQUITY

for the period from 1 January 2009 to 30 June 2009

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Opening balance	257,377,005	7,844,246	25,216,708	282,155,572

Increase in net assets attributable to shareholders excluding currency consolidation adjustment	24,010,854	683,527	2,225,725	26,276,332

Currency consolidation adjustment	-	-	-	(2,965,750)

	281,387,859	8,527,773	27,442,433	305,466,155

Share conversions*	1,013,451	(363,068)	(939,532)	-

Closing balance	282,401,310	8,164,705	26,502,901	305,466,155

* This does not include the 1 July 2009 share conversions.

The notes on pages 29 to 47 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

STATEMENT OF CHANGES IN EQUITY

for at the year ended 31 December 2008

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Opening balance	150,920,222	6,174,123	10,738,553	160,868,140

Issue of shares	86,411,419	1,930,000	9,544,950	94,797,140

Share issue costs	(864,114)	(19,300)	(95,450)	(947,972)

Increase in net assets attributable to shareholders excluding currency consolidation adjustment	22,806,195	714,913	1,535,218	24,966,246

Currency consolidation adjustment	-	-	-	2,955,097

	259,273,722	8,799,736	21,723,271	282,638,651

Purchases of own shares	(483,079)	-	-	(483,079)

Share conversions	(1,413,638)	(955,490)	3,493,437	-

Closing balance	257,377,005	7,844,246	25,216,708	282,155,572

The notes on pages 29 to 47 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

STATEMENT OF CASH FLOWS

for the period from 1 January 2009 to 30 June 2009

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
Operating activities

Increase in net assets attributable to shareholders	24,010,854	683,527	2,225,725	26,276,332

Less: Unrealised appreciation on financial assets at fair value through profit or loss	(24,014,223)	(566,035)	(2,006,603)	(26,046,270)
Less: Realised gains on conversions	(99,236)	(121,852)	(209,403)	(330,361)
Less: Interest income	(1,831)	(32)	(1)	(1,861)
Add: Interest expense	204	7	12	218
Less: Decrease in accrued expenses	(67,859)	(13,951)	(52,279)	(117,607)
Less: Increase in prepayments and accrued income	(20,046)	(731)	(3,002)	(22,443)

Net cashflow from operating activities	(192,137)	(19,067)	(45,551)	(241,991)

Investing activities

Interest received	1,831	32	1	1,861
Proceeds from sale of financial assets	365,124	9,927	22,330	387,155

Net cashflow from investing activities	366,955	9,959	22,331	389,016

Financing activities

Interest paid	(204)	(7)	(12)	(218)

Net cashflow from financing activities	(204)	(7)	(12)	(218)


Cash at beginning of period	837,331	13,610	43,391	880,075

Currency consolidation adjustment	-	-	-	1,144
Increase / (decrease) in cash and cash equivalents	174,613	(9,115)	(23,232)	146,806

Cash at end of period	1,011,944	4,495	20,159	1,028,025

The notes on pages 29 to 47 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

STATEMENT OF CASH FLOWS

for the period from 1 January 2008 to 30 June 2008

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
Operating activities

Increase in net assets attributable to shareholders	10,050,063	292,320	417,320	10,526,770

Less: Unrealised appreciation on financial assets at fair value through profit or loss	(10,971,908)	(325,305)	(487,394)	(11,470,716)
Less: Interest income	(300)	(10)	(21)	(318)
Add: Interest expense	5,446	201	407	5,808
Less: Increase in accrued expenses	446,121	15,638	33,647	475,754
Less: Increase in prepayments and accrued income	(8,764)	(291)	(663)	(9,347)

Net cashflow from operating activities	(479,342)	(17,447)	(36,151)	(472,049)


Investing activities

Interest received	300	10	21	318

Net cashflow from investing activities	300	10	21	318


Financing activities

Interest paid	(5,446)	(201)	(407)	(5,808)

Net cashflow from financing activities	(5,446)	(201)	(407)	(5,808)


Cash and cash equivalents at beginning of period	24,078	981	1,849	25,731

Exchange losses on currency balances	-	-	-	(39,182)
Decrease in cash and cash equivalents	(484,488)	(17,638)	(36,537)	(477,539)

Cash and cash equivalents at end of period	(460,410)	(16,657)	(34,688)	(490,990)

The notes on pages 29 to 47 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

1 ACCOUNTING POLICIES

(a) Basis of preparation

The financial statements have been prepared in conformity with International Financial Reporting Standards and applicable Guernsey law. The financial statements have been prepared on an historical cost basis except for the measurement at fair value of unquoted financial assets designated at fair value through profit or loss.

The financial statements are presented in GBP because that is the currency of the primary economic environment in which the Company operates.

Amendments to IFRS 7 were issued by the International Accounting Standards Board in March 2009, effective for annual periods beginning on or after 1 January 2009. The amendments to IFRS 7 requires fair value to be disclosed by the source of inputs, using a three-level hierarchy:

Quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1);

Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices) (Level 2);

Inputs for the assets or liability that are not based on observable market data (unobservable inputs) (Level 3).

The following Standards or Interpretations have been issued but not yet adopted by the Company:

IFRS 3 (revised 2008) Business Combinations effective for annual periods beginning on or after 1 July 2009.

IFRIC 17 Distribution of Non-cash Assets to owners effective for annual periods beginning on or after 1 July 2009.

IFRIC 18 Transfer of assets from customers effective for annual periods beginning on or after 1 July 2009.

IAS 27 (revised 2008) Consolidated and Separate Financial Statements effective for annual periods beginning on or after 1 July 2009.

IAS 28 (revised 2008) Investments in Associates effective for annual periods beginning on or after 1 July 2009.

IAS 31 (revised 2008) Interests in Joint Ventures effective for annual periods beginning on or after 1 July 2009.

Amendments to IAS 39 Eligible hedged items effective for annual periods beginning on or after 1 July 2009.

These Standards and Interpretations may require additional disclosure in future financial statements.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

1 ACCOUNTING POLICIES (continued)

(b) Going concern

As described in note 9, should the average 12 month discount of the share price of any class exceed 5% of net asset value per share, the Company is obliged to offer a continuation vote to class shareholders.

The Company triggered its rolling 12 month discount floor provision for each of the Sterling, Euro and US Dollar Share classes, by reference to the final NAV as at 30 April 2009, 27 February 2009 and 31 March 2009, respectively. In accordance with the articles of incorporation of the Company, continuation votes were proposed for all three classes of shares by way of ordinary resolutions at separate class meetings held on 12 August 2009 and each continuation vote was passed.

The Company has been granted exemption under the Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 from Guernsey Income Tax, and is charged an annual fee of £600.

(d) Expenses

All expenses are accounted for on an accruals basis.

(e) Interest income

Interest income is accounted for on an accruals basis.

(f) Cash and Cash Equivalents

Cash and cash equivalents are defined as call deposits and short term deposits readily convertible to known amounts of cash and subject to insignificant risk of changes in value, together with bank overdrafts. For the purposes of the Statement of Cash Flows, cash and cash equivalents consist of cash and deposits at bank, together with bank overdrafts.

(g) Investments

All investments are designated upon initial recognition as financial assets at 'fair value through profit or loss'. Investments are initially recognised on the date of purchase at cost, being the fair value of the consideration given, excluding transaction costs associated with the investment, with unrealised gains and losses on investments and impairment of investments recognised in the Statement of Operations. Investments are derecognised on disposal.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

1 ACCOUNTING POLICIES (continued)

(g) Investments (continued)

Realised gains or losses are determined on the disposal of investments and unrealised gains or losses are determined based on the change in value of investments since the prior period.

In order to assess whether any impairment of the unquoted investments has occurred and in order to determine the recoverable amount of the unquoted investments, the Directors consider the net asset value of the underlying investment in AllBlue Limited.

The Company's net asset value is based on valuations of unquoted investments. In calculating the net asset value and the net asset value per Share, the Administrator relies on net asset values of the shares in AllBlue Limited supplied by the administrator of AllBlue Limited. Those net asset values are based on the market value of the various investments held by AllBlue Limited.

(h) Foreign currency translation

The financial statements are presented in Sterling, which is the Company's functional and presentation currency. Transactions in foreign currencies are initially recorded at the functional currency rate ruling at the date of the transaction. Monetary assets and liabilities denominated in foreign currencies are translated at the functional currency rate of exchange ruling at the balance sheet date. All differences are taken to the Statement of Operations.

Income and expense items are translated at the average exchange rates for the period. Exchange differences arising on currency consolidation due to translation of foreign currency balances to presentation currency are taken to the Statement of Operations.

(i) Segment information

In the opinion of the directors, the Company has only one business and geographical segment, being investment in three share classes of a fund of hedge funds incorporated in the Cayman Islands.

(j) Shares

Sterling, Euro and US Dollar shares have been reclassified as liabilities in accordance with IAS 32 because the Company as a whole does not have the power to determine the outcome of the continuation votes by share class under the discount management provisions of the articles described in note 9. The Directors have been advised that this treatment does not result in the shares being treated as a liability for the purpose of applying the solvency test set out in Section 527 of the Companies (Guernsey) Law, 2008.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

2 OPERATING EXPENSES

	1 Jan 2009 to 30 Jun 2009
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Administration fees	42,700	1,369	2,413	45,537
Directors' remuneration	75,017	2,404	4,239	80,000
Registration fees	17,367	557	981	18,521
Directors & Officers insurance	7,078	227	400	7,548
Accountancy fees	2,813	90	159	3,000
Broker fees	11,516	369	651	12,281
Audit fees	18,216	584	1,029	19,426
Annual fees	16,095	516	909	17,164
Legal & Professional fees	2,153	69	122	2,296
Printing of annual reports	(1,056)	(34)	(60)	(1,127)
Printing of interim reports	1,500	48	85	1,600
Bank interest on overdraft facility	204	7	12	218
Bank facility fee and charges	55	3	3	60
(Profit) / Loss on exchange	3,166	529	(2,504)	1,963
Other operating expenses	1,689	54	95	1,801
	198,513	6,792	8,534	210,288

Less: Bank interest earned	(1,831)	(32)	(1)	(1,861)

Total expenses for the period	196,682	6,760	8,533	208,427

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

2 OPERATING EXPENSES (continued)

	1 Jan 2008 to 30 Jun 2008
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Shareholder liaison agent's fee	632,956	23,390	47,247	675,000
Administration fees	34,357	1,270	2,565	36,640
Directors' remuneration	67,987	2,512	5,075	72,503
Registration fees	7,547	279	563	8,048
Directors & Officers insurance	6,978	258	521	7,442
Broker fees	8,574	317	640	9,144
Audit fees	3,751	139	280	4,000
Annual fees	5,513	204	412	5,880
Legal & Professional fees	140,657	5,198	10,499	150,000
Nominated Advisor fees	8,205	303	612	8,750
Printing of annual reports	(3,048)	(113)	(227)	(3,250)
Printing of interim reports	1,500	55	112	1,599
Bank interest on overdraft facility	5,446	201	407	5,808
Bank facility fee and charges	68	-	4	70
(Profit) / Loss on exchange	(796)	(1,110)	650	(1,326)
Other operating expenses	2,450	92	182	2,613
	922,145	32,995	69,542	982,920

Less: Bank interest earned	(300)	(10)	(21)	(318)

Total expenses for the period	921,845	32,985	69,521	982,602

3 DIRECTORS' REMUNERATION

During the period 1 January 2009 to 30 June 2009 the directors each received a fee of £35,000 per annum from the Company, except for Richard Crowder who received £50,000 per annum. The Chairman of the Audit Committee is also paid an additional fee of £5,000 per annum.

Mr Dodd waived his entitlement to a fee.

The directors of the Company are considered key management personnel.

4 EARNINGS PER SHARE

The earnings per each class of share is based on the net gain for the period of £24,010,854 (2008: £10,050,063) and 206,206,873 (2008: 136,240,783) shares in the Sterling share class, €683,527 (2008: €292,320) and 6,033,351 (2008: 5,147,713) shares in the Euro share class and $2,225,725 (2008: $417,873) and 20,294,824 (2008: 8,140,874) shares in the US$ share class, each being the weighted average number of shares in issue during the period.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

5 RELATED PARTY TRANSACTIONS

Transactions with related parties are made on items equivalent to those that prevail in an arm's length transaction.

Anson Fund Managers Limited is the Company's administrator and secretary, Anson Registrars Limited is the Company's registrar, transfer agent and paying agent and Anson Administration (UK) Limited is the Company's UK Transfer agent. John R Le Prevost is a director and controller of Anson Fund Managers Limited, Anson Registrars Limited and Anson Administration (UK) Limited. £64,058 (June 2008: £44,688) of costs were incurred by the Company with these related parties in the year, of which £8,383 (December 2008: £25,379) was due to these related parties at 30 June 2009.

In accordance with IAS 28 the Company's investment transactions with AllBlue Limited represent a holding in excess of 20%, therefore they are effectively transactions with a related party. The totals of such transactions are shown in Note 6.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

6 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

	As at 30 June 2009
UNQUOTED FINANCIAL ASSETS	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Portfolio cost brought forward	213,155,443	6,611,498	22,823,717	229,839,542

Unrealised appreciation on valuation brought forward	43,470,401	1,233,890	2,403,054	45,652,287

Valuation brought forward	256,625,844	7,845,388	25,226,771	275,491,829

Movements in the period:

Gross share conversions in the period	1,013,451	(363,068)	(939,532)	-
Adjustment for realised gains on share conversions	99,236	121,852	209,403	330,361
Purchases at cost	-	-	-	-
Sales	(365,124)	(9,927)	(22,330)	(387,155)
Exchange gains on currency balances	-	-	-	2,953,676

Portfolio cost carried forward	213,903,007	6,360,355	22,071,258	232,736,424

Unrealised appreciation on valuation carried forward	67,484,624	1,799,925	4,409,657	71,698,557

Valuation carried forward	281,387,631	8,160,280	26,480,915	304,434,981


Realised gains on sales	193,313	124,252	212,718	428,498
Increase in unrealised appreciation	24,014,223	566,035	2,006,603	26,046,270

Gains on investments	24,207,536	690,287	2,219,321	26,474,768

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

6 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

	As at 31 December 2008
UNQUOTED FINANCIAL ASSETS	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Portfolio cost brought forward	130,773,126	5,492,777	9,319,964	139,505,585

Unrealised appreciation on valuation brought forward	20,301,412	687,314	1,430,123	21,527,068

Valuation brought forward	151,074,538	6,180,091	10,750,087	161,032,653

Movements in the period:

Gross share conversions in the year	(1,413,638)	(955,490)	3,493,437	-
Adjustment to opening valuation for share conversions	541,826	196,756	624,335	1,157,743
Purchase at cost	84,529,941	1,919,166	9,470,026	92,853,963
Sales	(1,275,812)	(41,711)	(84,045)	(1,373,278)
Exchange gains on currency balances	-	-	-	2,971,752

Portfolio cost carried forward	213,155,443	6,611,498	22,823,717	235,155,765

Unrealised appreciation on valuation carried forward	43,470,401	1,233,890	2,403,054	46,296,632

Valuation carried forward	256,625,844	7,845,388	25,226,771	281,412,397


Realised gains on sales	823,468	204,724	637,561	1,456,065

Increase in unrealised appreciation	23,168,989	546,576	972,931	24,769,564

Gains on investments	23,992,457	751,300	1,610,492	26,225,629

All securities held by the Company have been classified as Level 1 in accordance with the fair value hierarchy. There have been no transfers between Level 1 and Level 2 of the fair value hierarchy during the period under review.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

7 RECEIVABLES

	30 Jun 2009
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimina-tion	Total
	£	€	$	£	£

Prepayments	23,409	786	1,457	-	24,964
Sundry receivables	4,477	150	278	-	4,774
Inter class loan accounts	-	-	1,644	(999)	-

	27,886	936	3,379	(999)	29,738


	31 Dec 2008
	Sterling Share Class	Euro Share Class	US$ Share Class	Elimina-tion	Total
	£	€	$	£	£

Prepayments	6,841	205	377	-	7,295
Inter class loan accounts	42,204	-	-	(42,204)	-

	49,045	205	377	(42,204)	7,295

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

8 PAYABLES (AMOUNTS FALLING DUE WITHIN ONE YEAR)

	30 Jun 2009
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimina-tion	Total
	£	€	$	£	£

Accrued administration fees	6,936	233	431	-	7,397
Accrued registration fees	925	31	58	-	986
Accrued broker fees	-	-	-	-	-
Accrued bank facility fee	-	-	-	-	-
Accrued audit fees	8,370	281	521	-	8,926
Accrued printing costs	1,688	57	105	-	1,800
Inter class loan accounts	1,219	168	-	(1,362)	-
Other sundry accruals	7,013	236	436	-	7,479

	26,151	1,006	1,551	(1,362)	26,588

	31 Dec 2008
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimina-tion	Total
	£	€	$	£	£

Accrued administration fees	20,811	623	1,148	-	22,193
Accrued registration fees	2,988	89	165	-	3,186
Accrued broker fees	36,211	1,084	1,997	-	38,616
Accrued bank facility fee	51,574	1,545	2,845	-	55,000
Accrued audit fees	16,879	506	931	-	18,000
Accrued printing costs	4,689	140	259	-	5,000
Inter class loan accounts	-	10,908	46,372	(42,204)	-
Other sundry accruals	2,063	62	114	-	2,200

	135,215	14,957	53,831	(42,204)	144,195

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

9 SHARE CAPITAL

Authorised Share Capital

An unlimited number of Unclassified shares of no par value each.

Issued Share Capital	Sterling Share Class	Euro Share Class	US$ Share Class	Total
	£	€	$	£

Number of shares in issue at 30 June 2009	206,285,565	6,182,289	19,982,362	232,450,216

The movement in shares took place as follows:
Date of movement	Number of Sterling Shares	Number of Euro Shares	Number of US Dollar Shares
Issue 21 April 2006	2
Issue 25 May 2006	135,283,597	5,676,877	9,632,602
Conversion 1 April 2008	2,323,063	(1,064,142)	(2,999,848)
Cancellation 19 May 2008	(198,000)	-	-
Conversion 1 July 2008	(9,400)	-	19,068
Conversion of C shares 4 September 2008	71,997,994	1,663,467	8,086,481
Conversion 1 October 2008	(3,462,150)	223,992	5,980,852
Purchase of treasury shares 26 November 2008	(100,000)	-	-
Purchase of treasury shares 16 December 2008	(100,000)	-	-
Purchase of treasury shares 19 December 2008	(150,000)	-	-
Purchase of treasury shares 31 December 2008	(100,000)	-	-

As at 31 December 2008	205,485,106	6,500,194	20,719,155


Conversion 1 January 2009	643,075	(615,782)	(111,870)
Conversion 1 April 2009	157,384	297,877	(624,923)

As at 30 June 2009	206,285,565	6,182,289	19,982,362

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

9 SHARE CAPITAL (continued)

In the event of a return of capital on a winding-up or otherwise, shareholders are entitled to participate in the distribution of capital after paying all the debts and satisfying all the liabilities attributable to the relevant share class.

The holders of shares of the relevant share class shall be entitled to receive by way of capital any surplus assets of the share class in proportion to their holdings. In the event that the share class has insufficient funds or assets to meet all the debt and liabilities attributable to that share class, any such shortfall shall be paid out of funds or assets attributable to the other share classes in proportion to the respective net assets of the relevant share classes as at the date of winding-up.

The Company's Articles incorporate a discount management provision (which applies to each class of Ordinary Shares individually) that will require a continuation vote to be proposed in respect of the particular class of Ordinary Shares at a class meeting of the relevant Shareholders (by way of ordinary resolution) if, over the previous 12 month rolling period commencing from 1 January 2008, the relevant class of Ordinary 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 Published NAV announcement is made for each NAV Calculation date over the period) at a discount in excess of 5 per cent to the average Net Asset Value per Ordinary Share of that class (calculated by averaging the NAV per Ordinary 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 as a result of the operation of such mechanism, no further continuation vote will be capable of being proposed for that class for a further 12 months.

If such continuation vote is not passed, the Directors will be required to formulate redemption proposals to be put to the Shareholders of that class offering to redeem their Ordinary Shares at the relevant Published Net Asset Value on the NAV Calculation Date immediately preceding such redemption (less the costs of all such redemptions). However, where one or more such resolutions in respect of the same period is/are not passed and the class(es) of Ordinary Shares involved represent 75 per cent, or more of the Company's net assets attributable to all Ordinary Shares at the last NAV Calculation Date on or immediately preceding the date of the latest continuation resolution being defeated, the Directors may first (at their discretion) put forward alternative proposals to all Shareholders to offer to repurchase their Shares or to reorganise, reconstruct or wind up the Company. If, however, such alternative proposals are not passed by the necessary majority of shareholders of the relevant class, the Directors must proceed to offer to redeem the relevant class(es) of Ordinary Shares on the terms described above.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

9 SHARE CAPITAL (continued)

Where following redemption of any class of Ordinary Shares under the discount management provision, the number of Ordinary Shares of that class remaining in issue represent less than 25 per cent, of the Ordinary Shares of that class in issue immediately before such redemption or the listing for such class of Ordinary Shares on the Official List is withdrawn or threatened to be withdrawn or the Directors determine that the conditions for the continued listing of that class are not (or they believe will not be) met, then the Company may redeem the remaining issued Ordinary Shares of that class within 3 months of such determination at a redemption price equal to the Net Asset Value of Ordinary Shares of that class on the NAV Calculation Date selected by the Directors for such purpose (less the costs of such redemption).

10 SHARE PREMIUM

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Balance as at 30 June 2009	-	-	-	-

Share premium as at 1 January 2008	-	-	-	-
Share premium on shares issued	86,411,419	1,921,975	9,525,995	94,776,479
Less: Share issue costs	(864,114)	(11,275)	(76,495)	(927,311)
Transfer to retained earnings	(85,547,305)	(1,910,700)	(9,449,500)	(93,849,168)

Balance as at 31 December 2008	-	-	-	-

The Company has passed a shareholder resolution to cancel the amount standing to the credit of its share premium account (less any formation expenses set off against the share premium account). The Directors obtained from the Court in Guernsey an order confirming such cancellation of the share premium account in accordance with the Companies Laws. The reserve created is available as distributable profits to be used for all purposes permitted by the Companies Laws, including the buy back of shares and the payment of dividends.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

11 PURCHASE OF OWN SHARES

30 Jun 2009

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Balance as at 30 June 2009	483,079	-	-	483,079

31 Dec 2009

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Balance as at 1 January 2008	202,023	-	-	202,023
Cancelled during the year	(202,023)	-	-	(202,023)
Acquired during the year	483,079	-	-	483,079

Balance as at 31 December 2008	483,079	-	-	483,079

The treasury shares reserve represents 450,000 Sterling Shares purchased in the market at various prices per share ranging from £1.03 to £1.11 and held by the Company in treasury. No cancellation of shares took place in the period.

12 DISTRIBUTABLE RESERVES

30 Jun 2009

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Balance as at 1 January 2009	257,860,084	7,844,246	25,216,708	282,638,651
Increase in net assets attributable to shareholders	24,010,854	683,527	2,225,725	26,276,332
Share conversions	1,013,451	(363,068)	(939,532)	-
Currency consolidation adjustment	-	-	-	(2,965,750)

Balance as at 30 June 2009	282,884,389	8,164,705	26,502,901	305,949,234

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

12 DISTRIBUTABLE RESERVES (continued)

31 Dec 2008

	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Balance as at 1 January 2008	151,122,245	6,174,123	10,738,553	161,070,163
Transfer from share premium	85,547,305	1,910,700	9,449,500	93,849,168
Increase in net assets attributable to shareholders	22,806,195	714,913	1,535,218	24,966,246
Cancellation of treasury shares	(202,023)	-	-	(202,023)
Share conversions	(1,413,638)	(955,490)	3,493,437	-
Currency consolidation adjustment	-	-	-	2,955,097

Balance as at 31 December 2008	257,860,084	7,844,246	25,216,708	282,638,651

13 FINANCIAL INSTRUMENTS

The Company's main financial instruments comprise:

(a) Cash and cash equivalents that arise directly from the Company's operations; and

(b) Shares held in AllBlue Limited.

14 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES

The main risks arising from the Company's financial instruments concerns its shares in AllBlue Limited and the risks attaching to those shares which are market price risk, credit risk, liquidity risk and interest rate risk as explained below.

So far as the Company is concerned the only risk the Board can monitor and control is the liquidity risk attaching to its ability to realise shares in AllBlue Limited for the purpose of meeting ongoing expenses of the Company. Thereafter the Board recognises that the Company has via its holding of shares in AllBlue Limited an indirect exposure to the risks summarised below though it must be noted that there is little or nothing which the Board can do to manage each of these risks within AllBlue Limited ('AllBlue') or the underlying funds in which AllBlue invests (the 'underlying fund(s)').

(a) Price Risk

The success of AllBlue's and the underlying funds' and, therefore, the Company's activities will be affected by general economic and market conditions, such as interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws, trade barriers, currency exchange controls and national and international political circumstances. These factors may affect the level and volatility of securities' prices and the liquidity of the underlying funds' investments. Volatility or illiquidity could impair the underlying funds' profitability or result in losses.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

14 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(a) Price Risk

Details of the Company's Investment Objectives and Policy are given on page 1.

Price sensitivity

The Company invests substantially all its assets in AllBlue and does not undertake any significant borrowing or hedging activity at the Company level. Its performance is therefore directly linked to the net asset value of AllBlue, which itself is driven by the net asset values of the underlying funds, each of which hold a large number of positions in listed and unlisted securities.

At 30 June 2009, if the net asset value of AllBlue had been 10% higher with all other variables held constant, the net gain attributable to shareholders for the period would have been £30,443,498 (2008: £28,141,240) greater, arising due to the increase in the fair value of financial assets at fair value through profit or loss.

If the net asset value of AllBlue had been 10% lower with all other variables held constant, the net gain attributable to shareholders for the period would have been £30,443,498 (2008: £28,141,240) lower, arising due to the decrease in the fair value of financial assets at fair value through profit or loss.

The sensitivity is higher in 2009 than in 2008 because of an increase in the net financial assets and liabilities at fair value through profit or loss at the balance sheet date.

(b) Credit Risk

The nature of commercial arrangements made in the normal course of business between many prime brokers and custodians means that in the case of any one prime broker or custodian defaulting on its obligations to AllBlue or any of the underlying funds, the effects of such a default may have negative effects on other prime brokers with whom AllBlue or such underlying fund deals. The underlying funds and, by extension, AllBlue and the Company may, therefore be exposed to systemic risk when AllBlue or an underlying fund deals with prime brokers and custodians whose creditworthiness may be interlinked.

The assets of AllBlue and the underlying funds may be pledged as margin with prime brokers or other counterparties or held with prime brokers or banks. In the event of the default of any of these prime brokers, banks or counterparties, AllBlue or the underlying funds may not receive back all or any of the assets pledged or held with the defaulting party.

The maximum credit risk to which the Company was exposed at the period end was £304,434,980 (2008: £281,412,397).

The main concentration of risk for the Company relates to the investments in AllBlue, as these are the only investments the Company has.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

14 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

In some circumstances, investments may be relatively illiquid making it difficult to acquire or dispose of them at the prices quoted on the various exchanges. Accordingly, an underlying fund's ability to respond to market movements may be impaired and, consequently, the underlying fund may experience adverse price movements upon liquidation of its investments which may in turn affect the value of AllBlue and hence the Company's investment in AllBlue. Settlement of transactions may be subject to delay and administrative formalities.

There can be no assurance that the liquidity of the investments of AllBlue and the underlying funds will always be sufficient to meet redemption requests as, and when, made. Any such lack of liquidity may affect the ability of the Company to realise its shares in AllBlue and the value of Shares in the Company. For such reasons AllBlue's treatment of redemption requests may be deferred in exceptional circumstances including if a lack of liquidity may result in difficulties in determining the net asset value and the net asset value per share in AllBlue. This in turn would limit the ability of the Directors to realise the Company's investments in AllBlue should they consider it appropriate to do so and may result in difficulties in determining the net asset value of a Share in the Company.

The market prices, if any, for such illiquid investments tend to be volatile and may not be readily ascertainable and the relevant underlying fund may not be able to sell them when it desires to do so or to realise what it perceives to be their fair value in the event of a sale. The size of the underlying funds' positions may magnify the effect if a decrease in market liquidity for such instruments. Changes in overall market leverage, deleveraging as a consequence of a decision by the counterparties with which the underlying funds enter into repurchase/reverse repurchase agreements or derivative transactions, to reduce the level of leveraging, or the liquidation by other market participants of the same or similar positions, may also adversely affect the underlying funds' portfolios.

The sale of restricted and illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. The underlying funds may not be able readily to dispose of such illiquid investments and, in some cases, may be contractually prohibited from disposing of such investments for a specified period of time. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale.

The Company's shares in issue are traded on the London Stock Exchange ('LSE'). However, in certain circumstances there may be a limited market for the shares and it may not be possible for investors to achieve liquidation of their holding within a short time period or for the investor to realise the full anticipated value of the shares.

The Company has the use of an overdraft facility in order to settle share redemptions at times when no cash funds are available.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

14 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(d) Interest Rate Risk

The prices of securities tend to be sensitive to interest rate fluctuations. Unexpected fluctuations in interest rates could cause the corresponding prices of long positions and short positions adopted to move in directions which were not originally anticipated. In addition, interest rate increases generally increase the interest or carrying costs of investments.

The Company's own cash balances are not materially exposed to interest rate risk as cash and cash equivalents are held on floating interest rate deposits with banks and the Company does not rely on income from bank interest to meet day to day expenses.

(e) Leverage by Underlying Funds

Certain underlying funds in which the Company may have an economic interest operate with a substantial degree of leverage and are not limited in the extent to which they either may borrow or engage in margin transactions. The positions maintained by such underlying funds may in aggregate value be in excess of the net asset value of AllBlue. This leverage presents the potential for a higher rate of total return but will also increase the volatility of AllBlue and, as a consequence, the Company, including the risk of a total loss of the amount invested.

(f) Capital management

The investment objective of the Company is to provide shareholders with consistent long-term capital growth through an investment policy of investing substantially all of its assets in AllBlue Limited ('AllBlue') or any successor vehicle to AllBlue.

As the Company's Ordinary Shares are traded on the LSE, the Ordinary Shares may trade at a discount to their Net Asset Value per Share. However, in structuring the Company, the Directors have given detailed consideration to the discount risk and how this may be managed.

At the last annual general meeting, the Directors were granted authority to buy back up to 14.99 per cent of the Ordinary Shares in issue. The Company's authority to make purchases of its own issued Ordinary Shares will expire at the conclusion of the next general meeting of the Company. A renewal of such authority to make purchases of Ordinary Shares will be sought at the next Shareholder meeting of the Company. The timing of any purchases will be decided by the Board.

The Directors intend that purchases will only be made pursuant to this authority through the market, for cash, at prices below the prevailing Net Asset Value per Share where the Directors reasonably believe such purchases will result in an increase in the Net Asset Value per Share of the remaining Ordinary Shares.

Following approval of the Court in Guernsey, the Company resolved to cancel the amount standing to the credit of its share premium account following Admission. The amount released on cancellation has been credited as a distributable reserve in the books of account and may be used by the Company for the purpose of funding purchases of its Ordinary Shares as described above and the payment of dividends.

BlueCrest AllBlue Fund Limited (the 'Company')

NOTES TO THE FINANCIAL STATEMENTS

for the period from 1 January 2009 to 30 June 2009

14 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(f) Capital management

The Company's authorised share capital is such that further issues of new Ordinary Shares could be made. Subject to prevailing market conditions, the Board may decide to make one or more further such issues or reissues of Ordinary Shares for cash from time to time. Any further issues of new Ordinary Shares or reissues of Ordinary Shares held in treasury will rank pari passu with Ordinary Shares in issue.

There are no provisions of the Companies Laws which confer rights of pre-emption in respect of the allotment of Shares. There are, however, pre-emption rights contained in the Articles, but the Directors have been granted the power to issue further Shares on a non-pre-emptive basis until the time of the Company's annual general meeting in 2009 by a special resolution of Shareholders dated 30 May 2008. The Directors intend to request that the authority to allot Shares on a non-pre-emptive basis is renewed at each subsequent annual general meeting of the Company.

Unless authorised by Shareholders, the Company will not issue further Ordinary Shares or reissue Ordinary Shares out of treasury for cash at a price below the prevailing Net Asset Value per Share unless they are first offered pro rata to existing Shareholders.

The Company monitors capital on the basis of the carrying amount of equity as presented on the face of the balance sheet. Capital for the reporting period under review is summarised as follows:

	2009	2008
	GBP	GBP

Purchase of own shares	(483,079)	(483,079)
Retained earnings	305,949,234	282,638,651

Total	305,466,155	282,155,572

BlueCrest AllBlue Fund Limited (the 'Company')

SCHEDULE OF INVESTMENTS

as at 30 June 2009

SECURITIES PORTFOLIO	NOMINAL HOLDINGS	VALUATION SOURCE CURRENCY	VALUATION GBP	TOTAL NET ASSETS %

AllBlue Limited Sterling Shares	1,922,575	£281,387,631	£281,387,631	92.12%

AllBlue Limited Euro Shares	56,030	€8,160,280	£6,957,354	2.28%

AllBlue Limited US$ Shares	178,362	$26,480,914	£16,089,995	5.27%

			£304,434,980	99.66%

BlueCrest AllBlue Fund Limited (the 'Company')

SCHEDULE OF INVESTMENTS

as at 31 December 2008

SECURITIES PORTFOLIO	NOMINAL HOLDINGS	VALUATION SOURCE CURRENCY	VALUATION GBP	TOTAL NET ASSETS %

AllBlue Limited Sterling Shares	1,918,364	£256,625,844	£256,625,844	90.95%

AllBlue Limited Euro Shares	59,003	€7,845,388	£47,499,654	2.66%

AllBlue Limited US$Shares	185,140	$25,226,771	£17,286,899	6.13%

			£281,412,397	99.74%

BlueCrest AllBlue Fund Limited (the 'Company')

SHAREHOLDER INFORMATION

The Company's Sterling Shares, Euro Shares and US Dollar Shares are capable of being traded on the London Stock Exchange's main market for listed securities. All Shares may be dealt in directly through a stockbroker or professional adviser acting on an investor's behalf. The buying and selling of Shares may be settled through CREST.

Approximately 20 business days after the end of each month the confirmed net asset value for each class of Share is announced, together with information on the Company's investments and performance report, to a regulatory information service provider of the London Stock Exchange. In addition, on a weekly basis the Company announces in the same manner the estimated net asset value for each class of Share.

The ISIN, SEDOL and the London Stock Exchange mnemonic of each share class is:

ISIN SEDOL LSE mnemonic

Sterling share class GB00B13YVW48 B13YVW4 BABS

Euro share class GB00B13YXC81 B13YXC8 BABE

US Dollar share class GB00B13YXH37 B13YXH3 BABU

Shareholder Enquiries

The Company's CREST compliant registrar is Anson Registrars Limited in Guernsey which maintains the Company's registers of shareholders. They may be contacted by telephone on (44) 01481 711301.

Further information regarding the Company can be found on its website at www.bluecrestallblue.com.

BlueCrest AllBlue Fund Limited (the 'Company')

DIRECTORS AND SERVICE PROVIDERS

Directors

Richard Crowder

Andrew Dodd

Jonathan Hooley

Paul Meader

John Le Prevost

Registered Office of the Company

Anson Place

Mill Court

La Charroterie

St Peter Port

Guernsey GY1 1EJ

Telephone +44 (0)1481 722260

Administrator and Company Secretary

Anson Fund Managers Limited

PO Box 405

Anson Place

Mill Court

La Charroterie

St Peter Port

Guernsey GY1 3GF

Registrar, Paying Agent and Transfer Agent

Anson Registrars Limited

PO Box 426

Anson Place

Mill Court

La Charroterie

St Peter Port

Guernsey GY1 3WX

UK Transfer Agent

Anson Administration (UK) Limited

3500 Parkway

Whiteley

Hampshire

England PO15 7AL

Auditor

Ernst & Young LLP

14 New Street

St Peter Port

Guernsey GY1 4AF

Corporate Broker

RBS Hoare Govett Limited

250 Bishopsgate

London

England EC2M 4AA

This information is provided by RNS

The company news service from the London Stock Exchange

END

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