Half Yearly Report

RNS Number : 0277L

BlueCrest AllBlue Fund Ltd

29 August 2012

BlueCrest AllBlue Fund Limited

Half - yearly Financial Report

for the period ended 30 June 2012

(Unaudited)

Registered in Guernsey 44704

BlueCrest AllBlue Fund Limited (the "Company")

CONTENTS

About the Company	1
Investment Objective and Policy	1
Chairman's Statement	9
Report by the Manager of AllBlue Limited	12
Interim Management Report	21
Statement of Comprehensive Income	24
Statement of Financial Position	26
Statement of Changes in Net Assets Attributable to Shareholders	28
Statement of Cash Flows	30
Notes to the Financial Statements	34
Schedule of Investments	55
Shareholder Information	57
BlueCrest Capital Management (UK) LLP Disclaimer Contact Information and Advisors	58 61

ABOUT THE COMPANY

The Company is a self-managed closed-ended investment company incorporated on 21 April 2006 in Guernsey with registered number 44704 with an unlimited life. The Company currently has three classes of share in issue, being Sterling Shares, Euro Shares and US Dollar Shares (together the "Shares").

All Shares in issue have been admitted to the Official List of the United Kingdom Listing Authority and to trading on the London Stock Exchange's main market for listed securities.

As at 27 August 2012, the last practicable date prior to the publication of this report, the Company's total issued share capital consisted of 585,577,059 Ordinary Shares, of which 492,962,501 were designated as Sterling Shares (excluding 3,657,061 Sterling Shares which were held in treasury), 9,606,641 as Euro Shares and 83,007,917 as US Dollar Shares. As at 31 July 2012, the latest monthly NAV prior to the publication of this report, the confirmed unaudited aggregate net assets of the Company (in Sterling terms) were approximately £965,398,225.24 with an unaudited NAV per Sterling Share of £1.7498, per Euro Share of €1.6952 and per US Dollar Share of US$1.6777.

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. In the event that AllBlue changes its investment policy without Shareholder approval, the directors will consider removing the Company's assets from AllBlue or taking other appropriate action so that the Company is not in breach of any applicable regulation.

AllBlue Limited

AllBlue is a fund incorporated in the Cayman Islands with an investment objective to provide 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.

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 as part of a portfolio of assets, form a diversified basket of hedge fund investments. As at 30 June 2012, AllBlue was invested in six underlying funds comprising BlueCrest Capital International Limited, BlueTrend Alignment Fund Limited, BlueCrest Multi Strategy Credit Fund Limited, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited and BlueMatrix Fund Limited (together the "Underlying Funds"), all of which are managed by BlueCrest Capital Management LLP ("BlueCrest"). AllBlue may in the future exclude any or all of these funds or from time to time 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 has appointed on behalf of AllBlue, acting as its agent, certain members of its group ("AllBlue Sub-Investment Managers") as sub-investment managers to manage the assets of AllBlue, as agents of AllBlue. The AllBlue Sub-Investment Managers seek 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 on a monthly basis by AllBlue Sub-Investment Managers AllBlue committee, comprising a team of senior investment professionals of BlueCrest. On a monthly basis AllBlue Sub-Investment Managers also reviews the allocation of AllBlue's assets amongst the Underlying Funds and makes such adjustments as it deems appropriate.

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

AllBlue Leveraged Feeder Limited

As announced on 26 March 2012 and noted in the Annual Financial Report for the year ended 31 December 2011 the Company redeemed a portion of its investment in each share class of AllBlue (on a pro-rata basis) on 1 April 2012 in order to generate a cash reserve (the "Cash Reserve") for the purposes of managing day-to-day cash flows, meeting expenses of the Company and funding any repurchases of Shares.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged Feeder Limited ("AllBlue Leveraged"). AllBlue Leveraged invests all of its assets in the Ordinary Shares of AllBlue but with the addition of leverage of approximately 50% of AllBlue Leveraged's net asset value, giving investment exposure which is approximately 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

The effect of these arrangements are that that the Company's aggregate investment exposure to AllBlue remains broadly the same as the investment exposure prior to the redemption on 1 April 2012, whilst providing access to more immediate liquidity. The initial Cash Reserve amounted to approximately three per cent of the total assets of the Company as at 1 April 2012. The majority of the Cash Reserve has been placed in money market funds with a high degree of liquidity and extensive diversification as detailed in note 1(g). As at 28 August 2012, the last practicable date prior to the publication of this report, the Cash Reserve amounted to approximately 2.8% of the total assets of the Company.

Borrowing and Leverage

Although the Company has power under its Articles to borrow up to an amount equal to ten 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, meeting expenses of the Company and funding repurchases of Shares. During the period the Company had access to a revolving overdraft facility with Barclays Private Clients International Limited ("Barclays") in the amount of £500,000, which was cancelled following receipt of the Cash Reserve.

AllBlue does not employ any leverage but may be exposed to it in the Underlying Funds and 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.

AllBlue Leveraged employs leverage for the purpose of making investments. Whilst there is no limit on the extent of borrowings or leverage that AllBlue Leveraged may employ it is expected to be in an amount equal to approximately 50 per cent of AllBlue Leveraged's net asset value, but may vary from time to time.

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 has been appointed as the investment manager of AllBlue and the Underlying Funds. BlueCrest has the power (exercisable only with the consent of AllBlue) to appoint, on behalf of AllBlue, acting as its agent, one or more third parties to perform in its place and as agent or agents of AllBlue, any of its functions, powers and duties as investment manager. BlueCrest has appointed on behalf of AllBlue, acting as its agent, certain members of its group (the "AllBlue Sub-Investment Managers") as sub-investment managers to manage the assets of AllBlue, as agents of AllBlue.

BlueCrest is an English limited liability partnership incorporated on 11 August 2008 with number OC339259 and registered office at 40 Grosvenor Place, London SW1X 7AW acting solely through its office in Guernsey located at BlueCrest House, Glategny Esplanade, St Peter Port, Guernsey, GY1 1WR (tel: +44 (0)14 81733 800).

BlueCrest is licensed and regulated by the Guernsey Financial Services Commission and registered as an investment adviser with the United States Securities and Exchange Commission under the United States Investment Advisers Act of 1940.

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, the directors do not intend that the Company will carry out any additional hedging arrangements.

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. The Company held a general meeting of Shareholders on 3 August 2012 at which the pre-emption rights granted to Shareholders were disapplied in relation to up to 500 million new Shares for a period concluding on 31 December 2013, unless such resolution is previously revoked by the Company's shareholders in general meeting. This authority to allot up to 500 million new Shares on a non-pre-emptive basis has historically been sought and received by the Company and the directors intend to request that the authority to allot new Shares on a non-pre-emptive basis is reviewed at each subsequent general meeting of the Company.

The Board is of the view that as the Company is fully invested in AllBlue, whether the Company issues additional shares or not, the investment profile of the Company does not alter at all. However, as was experienced during 2010 and 2011, when the Company's share are trading at a premium it is an essential requirement in the armoury of the Board to control the premium that it has the ability, at will, to issue additional shares.

It is for this precise reason the Board advocates that all shareholders vote to waive pre-emption rights on a substantial number of shares.

Conversion Facility

The Company currently offers a conversion facility as at the first business day of each calendar month ("Conversion Day"). The Directors have the discretion not to operate the conversion facility with respect to any share class or possible share classes from time to time. Where the conversion facility is made available, shareholders are entitled to convert their Ordinary Shares in any currency class for Ordinary Shares in another currency class as at the Conversion Day. All new Shares created pursuant to the conversion are admitted to the Official List of the United Kingdom Listing Authority and to trading on the London Stock Exchange approximately 35 business days after the relevant Conversion Day.

Discount Management Provisions

At all previous annual general meetings the directors obtained shareholder approval to buy back up to 14.99% of each class of Shares in issue and they intend to seek annual renewal of this authority from shareholders at each future general meetingheld under section 199 of The Companies (Guernsey) Law, 2008, as amended (the "Law"). In accordance with the Law 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. Shares which are purchased may be cancelled or held in treasury.

Continuation Vote Mechanism

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, the relevant class of Shares 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).

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 period of 12 months from the date on which the requirement for a continuation vote was triggered.

As at 24 August 2012, the Sterling Shares had traded at an average 2.87 % discount to their net asset values, the Euro Shares at an average 2.49% discount and the US Dollar Shares at an average discount of 2.38%, all over the previous twelve month period. As at 17 August 2012, being the latest practicable date prior to the publication of this document, the Sterling Shares were trading at a discount of 4.967% to their net asset value, the Euro Shares at a discount of 5.221% to their net asset value and the US Dollar Shares at a discount of 5.361% to their net asset value.

Portfolio Summary

The Company's investments (excluding cash, cash equivalents, receivables and prepayments) as at 30 June 2012 were:

Investment	Number of Shares	Valuation in Local Currency*	Valuation £	Total Net Assets %
Sterling
AllBlue Limited Sterling Shares	4,130,760.235202	£761,416,424.94	761,416,424.94	80.05

AllBlue Leveraged Feeder Limited Sterling Shares	272,668.281331	£61,208,384.93	61,208,384.93	6.43

Institutional Sterling Government Liquidity Fund - Core (Acc) Shares	235,894	£23,706,510.37	23,706,510.37	2.49

Euro
AllBlue Limited Euro Shares	79,187.469367	€14,572,656.18	11,763,526.14	1.24

AllBlue Leveraged Feeder Limited Euro Shares	5,560.750786	€1,134,835.24	916,076.24	0.10

Institutional Euro Government Liquidity Fund - Core (Acc) Shares	5,322	€539,364.99	435,393	0.05

US Dollar
AllBlue Limited US$ Shares	661,869.400857	$122,450,803.18	78,083,664.83	8.21

AllBlue Leveraged Feeder Limited US$ Shares	49,521.085434	$9,976,805.09	6,361,946.88	0.67

Institutional US Treasury Fund - Core (Acc) Shares	47,391	$4,742,669.96	3,024,276	0.32

			946,916,204	99.56

As at 30 June 2012, the investment portfolio of AllBlue was allocated on the following basis amongst the Underlying Funds:

Underlying fund	Allocation %*
BlueCrest Capital International Limited	38.7
BlueCrest Emerging Markets Fund Limited	16.5
BlueCrest Multi-Strategy Credit Fund Limited	16.0
BlueTrend Alignment Fund Limited	14.0
BlueCrest Mercantile Fund Limited	11.6
BlueMatrix Limited	3.2

*Source AllBlue Fund Limited.

Net Asset Value per Share for Financial Statements Purposes

As at 30 June 2012, the net asset values of the Shares were:

	Sterling Share Class £	Euro Share Class €	US Dollar Share Class $
Net asset value at 1 January 2012	1.6834	1.6334	1.6187

Add: net movement in unrealised appreciation on investments	0.0342	0.0310	0.0282


Less: operating expenses	(0.0006)	(0.0004)	(0.0005)

Add: effect of share issues and conversions	0.0001	0.0003	0.0008

Net asset value as at 30 June 2012	1.7171	1.6643	1.6472

CHAIRMAN'S STATEMENT

Dear Shareholder,

The Company has continued to deliver positive NAV performance during the first six months of 2012 despite challenging market conditions.

Further price pressure on the investment trust sector has unfortunately resulted in a negative share price movement despite the positive NAV performance. The Company undertook steps in the first half of the year that, in combination, the Board hope will help to mitigate this situation going forward. On the 26^th March the Company announced an adjustment to its allocation policy, which results in the Company holding a cash reserve and an allocation to AllBlue Leveraged Feeder Limited to preserve the overall exposure to the AllBlue strategy. Following the creation of the cash reserve the Company announced the appointment of a buy back agent, who has a mandate that is intended, in part, to help alleviate any significant discount pressures through the repurchase of shares on behalf of the Company. Since the announcement of these measures the Sterling discount narrowed from a peak of -5.8% to -3.5% at the end of June and subsequent to the half year end, the Company has continued to purchase Sterling shares at around a 5% discount.

The frequency and pace of economic and geopolitical events facing market participants has not relented as this year has progressed. The most notable story has remained the European debt crisis; however that headline alone contained many sub-plots over the last six months. We have witnessed a massive injection of liquidity by the ECB through their LTRO operation; elections in both France and Greece showed a growing rejection of proposed or agreed austerity measures and we have seen Spain, the fifth largest European economy, seeking financial support for its banking sector.

With this backdrop, trading strategies have faced a challenging environment where markets have been driven by political factors, often resulting in severe sudden changes in sentiment and price dislocations. During this time BlueCrest has continued to focus on limiting downside risk and preserving investor capital, whilst taking advantage of trading opportunities that have presented themselves.

Over the period the strongest contributors to the AllBlue Fund were from discretionary trading strategies following the fixed income and credit markets.

Share Price Performance

In the six month period to 30 June 2012, the published Sterling Share NAV (calculated in accordance with the Company's Articles of Association) rose from £1.6834 to £1.7159, a return of 1.93% for the period which, whilst below the target performance of the Company, has been achieved against the backdrop of a challenging environment.

The price of a Sterling Share decreased from 167.10p to 165.50p during the period, a fall of -1.0%. This decrease has seen the trading discount widen from -0.7% at the end of 2011 to -3.5% at the end of the period. As mentioned earlier the board is actively monitoring the discount and has demonstrated a desire and willingness to take action in order to see the share price return towards NAV. The Company's shares have continued to trade well relative to their peer group, a large number of which have continued to trade at significant discounts. The average discounts over the period for each of the Sterling, Euro and US Dollar Share classes were -3.6%, -2.5% and -3.9%, respectively.

As at 30 June 2012, each of the Sterling, Euro and US Dollar Share classes were trading at discounts of -3.5%, -3.0% and -3.3%, respectively.

Investment Management

AllBlue has continued to invest in the same six underlying funds throughout the period. The investment allocations have seen an increase in the allocation to discretionary macro trading, and decreases to systematic trend following and the other discretionary trading strategies. The report by the Manager of AllBlue on pages 12 to 20 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 2012, the weighted average level of unencumbered cash in the Underlying Funds was approximately 48%.

Outlook

A number of the aforementioned significant events of the first half of 2012 are continuing to grip the markets. The short to medium term effects of almost all of these events remains uncertain. In looking forward to the remaining six months of the year, it is first worth noting that during the period to 30 June 2012, the appreciation of the NAV of the Sterling Shares of 1.9%, against the backdrop of these events, is in line with the HFRI Fund Weighted Composite Index (USD) which had also appreciated by 1.9%, and compares favourably with the FTSE 100 index which fell -0.02%. As the Company expected, given the current market uncertainty and notwithstanding the recent positive relative performance, BlueCrest has advised that the investment environment for trading-based strategies remains challenging. However, BlueCrest is confident that trading opportunities will continue to present themselves and that the constituent strategies within AllBlue will be well placed to benefit from these.

I look forward to reporting to you again in the Annual Financial Report for the year ended 31 December 2012.

Richard Crowder

Chairman

REPORT BY THE MANAGER OF ALLBLUE LIMITED

On the invitation of the directors of the Company, this commentary has been provided by BlueCrest as investment manager of AllBlue Limited and is provided without any warranty as to its accuracy and without any liability incurred on the part of the Company, BlueCrest or AllBlue Limited. The commentary is not intended to constitute, and should not be construed as, investment advice. Potential investors in the Company should seek their own independent financial advice and may not rely on this communication in evaluating the merits of investing in the Company. The commentary is provided as a source of 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 30 June 2012

AllBlue Limited (Class A, USD) generated an estimated NAV return of 1.75% in the period under review, the first half of 2012. AllBlue experienced positive returns over both the first and second quarter; the returns being 0.78% and 0.96% for Q1 and Q2 respectively. Four of the six underlying funds posted a positive return for the first half of 2012, with the systematic strategies BlueTrend Alignment and BlueMatrix being the only detractors over the period.

During the last 6 months, market participants have focused primarily on the Eurozone debt crisis. The year began with markets experiencing the effects of the ECB's Long Term Refinancing Operation (LTRO) aimed at eliminating the short term liquidity and refinancing risks of European banks. Meanwhile in the US, the FED announced that rates were likely to remain at extraordinary low levels at least until the end of 2014. March saw the restructuring of Greek sovereign debt as participation levels were sufficiently high to trigger collective action clauses. Q2 saw elections in France and Greece, both demonstrating a rejection by the population of the proposed austerity measures. Despite Eurozone authorities managing to secure further financial assistance, including $430bn from the IMF, the situation took a turn for the worse in June as Spain, which suffered severe ratings downgrades, was forced to request funds to shore up its banking system.

During the first half of the year BlueCrest Capital International, with its focus on interest rate trading, has been the largest single contributor to the performance of AllBlue, and has been held as the highest allocation within the portfolio.

The volatility of the strategy, measured on weekly estimate data, has remained low in the period under review, as AllBlue has delivered an annualised volatility of 2.5%.

Please refer to the BlueCrest disclaimer on pages 58 to 59

BlueCrest Capital International (Global Macro)

BlueCrest Capital International Limited generated an estimated return of 2.37% (Class A, USD) for the first half of 2012.

The Rates desk was the strongest contributor to performance during the first half of 2012. The team were able to capture a variety of opportunities in fixed income markets that presented themselves as a result of the uncertain economic environment and the activities taken by central banks and governments to address the situation. The Fixed Income Relative Value, Equity Derivatives, Cross Asset Convexity and Fixed Income Absolute Return allocations also provided a positive contribution to performance, whilst Macro Credit detracted slightly.

Emerging Markets

BlueCrest Emerging Markets Fund Limited generated a return of 2.32% (Class A, USD) for the first half of 2012.

Whilst a number of emerging market central banks remain on hold others, such as Brazil, have been actively engaged in rate adjustments, which presented a number of opportunities for the fund. Year to date performance remains balanced among different products with local market interest rates leading, followed by sovereign credit and FX. Geographically, Latin America is the largest regional contributor to performance followed closely by CEMEA.

Multi Strategy Credit

BlueCrest Multi Strategy Credit Fund Limited generated a return of 4.02% (Class A, USD) for the first half of 2012.

The Credit markets have seen high levels of volatility during the first half of the year as the asset class bore the brunt of global concerns over the European sovereign debt crisis. The injection of liquidity into markets as a result of the ECB's LTRO coupled with continued deleveraging of the financial sector have led to a number of trading opportunities. The returns for the fund have come from a variety directional and relative values strategies implemented across geographic regions.

Please refer to the BlueCrest disclaimer on pages 58 to 59

Mercantile (Trade Finance)

BlueCrest Mercantile Fund Limited generated a return of 1.88% (Class A, USD) for the first half of 2012.

Both the Bank Basel II and Trade Credit Opportunities strategies performed well through the first half of 2012. The Bank Basel II strategy, which produced slightly stronger returns, benefitted from earning carry whilst experiencing negligible defaults in the underlying portfolios. Trade Credit Opportunities performed well throughout the period as the team were able to take advantage of a steady level of asset availability from banks in the secondary market. The Commodities Finance strategy made a small loss over the first half of the year.

BlueTrend Alignment (Systematic Trend Follower)

BlueTrend Alignment Fund Limited generated a return of -2.23% (Class A, USD) for the first half of 2012.

The first half of the year has seen mixed results for BlueTrend with four positive months and two negative months.

The strategy saw positive returns from its trading in the fixed income sectors with both Bonds and Short Rates delivering solid returns as market participants continued to seek safe haven assets. Within the FX sector, despite some strong short term trends, the frequent reversals that were witnessed provided a challenging environment and led to the sector being the highest detractor from fund performance. The remaining sectors all contributed negatively to the fund over the first half of the year.

BlueMatrix (Equity Statistical Arbitrage)

BlueMatrix Limited generated a return of -1.16% (Class A, USD) for the first half of 2012.

High levels of single stock correlations continued to present a challenging environment for statistical arbitrage strategies (which are looking for short term anomalies between groups of stocks to mean revert) and resulted in the strategy posting a small loss for the first half of the year. Regionally the losses were concentrated in the European portfolios, whilst both the Asian and US portfolios produced modest gains.

Please refer to the BlueCrest disclaimer on pages 58 to 59

INTERIM MANAGEMENT REPORT FOR THE PERIOD FROM 1 JANUARY TO 30 JUNE 2012

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 9 to 11, and the notes to the financial statements on pages 34 to 54 and are 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.

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, liquidity risk, interest rate risk and the risk of leverage by Underlying Funds are set out at note 14 to the financial statements.

As detailed on page 3, the Company has redeemed a portion of its investment in each share class of AllBlue and reinvested a portion of the proceeds in AllBlue Leveraged in order to generate the Cash Reserve for the purposes of managing day-to-day cash flows meeting expenses of the Company and for funding any repurchases of Shares.

The Company's Articles incorporate a discount management provision (which applies to each class of Share individually) that requires a continuation vote to be proposed in respect

of the particular class of Shares at a class meeting of the relevant shareholders (by way of ordinary resolution) in the circumstances explained on pages 6 and 6.

As at 24 August 2012, the Sterling Shares had traded at an average 2.87% discount to their net asset values, the Euro Shares at an average 2.49% discount and the US Dollar Shares at an average discount of 2.38%, all over the previous twelve month period. As at 17 August 2012, being the latest practicable date prior to the publication of this document, the Sterling Shares were trading at a discount of 4.967% to their net asset value, the Euro Shares at a discount of 5.221% to their net asset value and the US Dollar Shares at a discount of 5.361% to their net asset value.

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.

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

Chairman Chairman of the Audit Committee

STATEMENT OF COMPREHENSIVE INCOME

for the period ended 30 June 2012

		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
Net gain on non current financial assets at fair value through profit or loss	7	16,952,522	302,668	2,439,860	18,645,866

Net gain on current financial assets at fair value through profit or loss	7	6,510	6	175	6,628

Operating expenses	3	(299,776)	(4,025)	(45,096)	(331,771)

Currency aggregation adjustment		-	-	-	(1,286,722)

Increase in net assets attributable to shareholders		16,659,256	298,649	2,394,939	17,034,001

Earnings per share for the period		Pence (£)	Cent (€)	Cents ($)
- Basic and Diluted	5	3.36	3.11	2.85

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

There is no Other Comprehensive Income for the year.

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

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class
	Pence (£)	Cent (€)	Cents ($)

Earnings per Share for investment purposes	3.42	3.16	2.91
Adjustment for amortisation of preliminary and other expenses on a straight line basis in accordance with Prospectus	(0.06)	(0.05)	(0.06)
Earnings per Share per the financial statements	3.36	3.11	2.85

The earnings per Share for investment purposes represents the earnings per Share attributable to shareholders in accordance with the Prospectus.

The notes on pages 34 to 54 form an integral part of these financial statements.

STATEMENT OF COMPREHENSIVE INCOME

for the period ended 30 June 2011

		Ordinary Shares
	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	17,105,237	451,634	1,424,662	18,318,110

Operating expenses	2	(342,918)	(4,141)	(55,355)	(380,744)

Currency aggregation adjustment		-	-	-	(455,706)

Increase in net assets attributable to shareholders		16,762,319	447,493	1,369,307	17,481,660

Earnings per share for the period		Pence (£)	Cent (€)	Cents ($)
- Basic and Diluted	4	3.30	4.04	2.21

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

There is no Other Comprehensive Income for the year.

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

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class
	Pence (£)	Cent (€)	Cents ($)

Earnings per Share for investment purposes	3.37	4.08	2.30
Adjustment for amortisation of preliminary and other expenses on a straight line basis in accordance with Prospectus	(0.07)	(0.04)	(0.09)
Earnings per Share per the financial statements	3.30	4.04	2.21

The earnings per Share for investment purposes represent the earnings per Share attributable to shareholders in accordance with the Prospectus.

The notes on pages 34 to 54 form an integral part of these financial statements.

STATEMENT OF FINANCIAL POSITION

as at 30 June 2012

		Ordinary Shares
	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	7	822,624,810	15,707,492	132,427,608	919,750,025

CURRENT ASSETS
Quoted financial assets designated as at fair value through profit or loss	7	23,706,510	539,365	4,742,670	27,166,179
Cash and cash equivalents		4,289,422	98	-	4,289,501
Receivables & prepayments	8	151,237	1,263	10,671	74,049

		28,147,169	540,726	4,753,341	31,529,729

CURRENT LIABILITIES
Bank overdraft		-	-	-	-
Payables & accrued liabilities	9	89,122	20,823	123,469	99,652

		89,122	20,823	123,469	99,652

NET CURRENT ASSETS		28,058,047	519,903	4,629,872	31,430,077

NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS		850,682,857	16,227,395	137,057,480	951,180,102

Represented by:
CAPITAL AND RESERVES
Share capital	10	-	-	-	-
Share premium	11	-	-	-	-
Treasury Shares	12	(1,351,582)	-	-	(1,351,582)
Distributable reserves	13	852,034,439	16,227,395	137,057,480	952,531,684

		850,682,857	16,227,395	137,057,480	951,180,102

SHARES IN ISSUE	10	495,413,456	9.749,920	83,201,382

NAV PER SHARE		£1.7171	€1.6643	$1.6472

The NAV per Share per the financial statements is equal to the published NAV per Share. The published NAV per Share represents the NAV per Share attributable to shareholders in accordance with the Prospectus.

The financial statements on pages 24 to 33 were approved and authorised for issue by the Board of Directors on 29 August 2012 and are signed on its behalf by:

Director Director

The notes on pages 34 to 54 form an integral part of these financial statements.

STATEMENT OF FINANCIAL POSITION

as at 31 December 2011

		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
FIXED ASSETS
Unquoted financial assets as at fair value through profit or loss	6	835,310,741	14,749,334	136,100,695	935,355,182

CURRENT ASSETS
Receivables & prepayments	7	71,490	695	6,416	44,102

		71,490	695	6,416	44,102

CURRENT LIABILITIES
Bank overdraft		262,113	4,623	42,698	293,496
Payables & accrued liabilities	8	81,435	18,414	41,093	91,184

		343,548	23,037	83,791	384,680

NET CURRENT LIABILITIES		(272,058)	(22,342)	(77,375)	(340,578)

NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS		835,038,683	14,726,992	136,023,320	935,014,604

Represented by:
CAPITAL AND RESERVES
Share capital	9	-	-	-	-
Share premium	10	-	-	-	-
Treasury Shares	11	(483,079)	-	-	(483,079)
Distributable reserves	12	835,521,762	14,726,992	136,023,320	935,497,683

		835,038,683	14,726,992	136,023,320	935,014,604

SHARES IN ISSUE	9	496,030,299	9,016,323	84,028,438

NAV PER SHARE		£1.6834	€1.6334	$1.6187

The notes on pages 34 to 54 form an integral part of these financial statements.

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS

for the period ended 30 June 2012

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

Opening balance	835,038,683	14,726,992	136,023,320	935,014,604

Adjustment to allocation of reserves brought forward	30,800	(227)	(55,896)	-

Increase in net assets attributable to shareholders	16,659,256	298,649	2,394,939	17,034,001

Share buy backs	(868,503)	-	-	(868,503)

Share conversions	(177,379)	1,201,981	(1,304,883)	-

Closing balance	850,682,857	16,227,395	137,057,480	951,180,102

The notes on pages 34 to 54 form an integral part of these financial statements.

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS

for the year ended 31 December 2011

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

Opening balance	832,358,416	21,243,863	98,289,970	913,609,435

Adjustment to allocation of reserves brought forward	804	(17,080)	14,758	-

Increase in net assets attributable to shareholders	18,639,053	531,957	1,368,847	21,405,169

Share conversions	(15,959,590)	(7,031,748)	36,349,745	-

Closing balance	835,038,683	14,726,992	136,023,320	935,014,604

The notes on pages 34 to 54 form an integral part of these financial statements.

STATEMENT OF CASH FLOWS

for the period ended 30 June 2012

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

Operating activities
Increase in net assets attributable to shareholders	16,659,256	298,649	2,394,939	17,034,001

Unrealised (appreciation) / depreciation on financial assets at fair value through profit or loss	491,241	(95,274)	(1,169,990)	(224,927)
Realised gains on conversions	(290,740)	(32,667)	(188,071)	(437,039)
Realised gains on sales of financial assets	(17,159,533)	(174,733)	(1,081,973)	(17,990,529)
Interest income	-	(99)	-	(77)
Interest expense	2,289	49	355	2,554
Currency aggregation adjustment	-	-	-	1,286,723
Adjustment to allocation of reserves brought forward	30,800	(227)	(55,896)	-
(Decrease) / Increase in accrued expenses and payables	7,687	2,409	82,376	8,468
Increase in prepayments and accrued income	(79,748)	(568)	(4,255)	(29,947)

Net cashflow from operating activities	(338,748)	(2,461)	(22,516)	(350,774)

Investing activities
Interest received	-	99	-	77
Purchase of financial assets	(84,051,750)	(1,662,891)	(14,621,467)	(94,717,814)
Proceeds from sale of financial assets	89,812,825	1,670,023	14,687,035	100,526,459

Net cashflow from investing activities	5,761,075	7,231	65,568	5,808,722

The notes on pages 34 to 54 form an integral part of these financial statements.

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

Financing activities
Purchase of own Shares	(868,503)	-	-	(868,503)
Interest paid	(2,289)	(49)	(355)	(2,554)

Net cashflow from financing activities	(870,792)	(49)	(355)	(871,057)


Cash and cash equivalents at beginning of period	(262,113)	(4,623)	(42,698)	(293,496)

Currency aggregation adjustment	-	-	-	(3,894)
Increase in cash and cash equivalents	4,551,535	4,721	42,698	4,586,891

Cash and cash equivalents at end of period	4,289,422	98	-	4,289,501

The notes on pages 34 to 54 form an integral part of these financial statements.

STATEMENT OF CASH FLOWS

for the period ended 30 June 2011

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

Operating activities
Increase in net assets attributable to shareholders	16,762,319	447,493	1,369,307	17,481,660

Unrealised (appreciation) / depreciation on financial assets at fair value through profit or loss	(11,778,659)	261,708	25,669	(11,444,172)
Realised gains on conversions	(5,294,471)	(713,136)	(1,448,157)	(6,840,292)
Realised gains on sales of financial assets	(32,106)	(472)	(2,175)	(33,886)
Interest income	-	-	-	-
Interest expense	2,265	44	364	2,528
Adjustment to allocation of reserves brought forward	(1,087)	(20,161)	25,820	-
Currency aggregation adjustment	-	-	-	455,706)
(Decrease) / increase in accrued expenses and payables	(49,635)	14,930	(20,180)	(53,501)
Increase in prepayments and accrued income	(43,961)	(497)	(7,598)	(44,539)

Net cashflow from operating activities	(435,335)	(10,091)	(56,950)	(476,496)

Investing activities
Interest received	-	-	-	-
Purchase of financial assets	182,689	4,618	21,383	166,285

Net cashflow from investing activities	182,689	4,618	21,383	166,285

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

Financing activities
Interest paid	(2,265)	(44)	(364)	(2,528)

Net cashflow from financing activities	(2,265)	(44)	(364)	(2,528)

Cash and cash equivalents at beginning of period	(52,526)	(191)	(13,144)	(61,120)

Currency aggregation adjustment	-	-	-	30,719

Decrease in cash and cash equivalents	(254,911)	(5,517)	(35,931)	(312,739)

Cash and cash equivalents at end of period	(307,437)	(5,708)	(49,075)	(343,140)

The notes on pages 34 to 54 form an integral part of these financial statements.

NOTES TO THE FINANCIAL STATEMENTS

for the period ended 30 June 2012

1 ACCOUNTING POLICIES

(a) Basis of preparation

The financial statements have been prepared in conformity with International Financial Reporting Standards ("IFRS") as adopted by the European Union 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 Sterling because that is the currency of the primary economic environment in which the Company operates.

Changes in accounting policy and disclosures:

The following Standards or Interpretations have been adopted in the current period. Their adoption has not had any impact on the amounts reported in these financial statements and is not expected to have any impact on future financial periods:

IFRS 7 Financial Instruments: Disclosures - amendments enhancing disclosures about transfers of financial assets.

The following Standards or Interpretations that are expected to affect the Company have been issued but not yet adopted by the Company are shown below. Other Standards or Interpretations issued by the IASB IFRIC are not expected to affect the Company:

IFRS 7 Financial Instruments: Disclosures - amendments related to the offsetting of assets and liabilities effective for annual periods beginning on or after 1 January 2013.

IFRS 9 Financial Instruments - original issue (classification and measurement of financial assets) effective for annual periods beginning on or after 1 January 2013.

IFRS 13 Fair Value Measurement - original issue effective for annual periods beginning on or after 1 January 2013.

IAS 1 Presentation of Financial Statements - amendments to revise the way other comprehensive income is presented effective for annual periods beginning on or after 1 July 2012.

No formal analysis has been completed on the impact of the adoption of any of the above standards or interpretations on the financial statements in the period of initial application.

(b) Going concern

As described in note 10, should the average 12 month discount at which the Shares of any class trade to their net asset value 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 27 February 2009, 31 March 2009 and 30 April 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 did not trigger the discount provisions in 2010, 2011 or 2012 to the date of this report.

The directors made an assessment of the Company having adequate financial resources to continue in operational existence for the foreseeable future. The directors believe the Company is well placed to manage its business risks successfully despite the current economic climate. Accordingly, the directors have adopted the going concern basis in preparing the financial information. The directors are not aware of any material uncertainty that may cast significant doubt upon the Company's ability to continue as a going concern.

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. Expenses relating to the Company are allocated across the three share classes proportionally based on their individual Net Asset Values.

(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 (on 'trade date' basis) at cost, being the fair value of the consideration given, excluding transaction costs associated with the investment, with unrealised gains and losses on investments arising from change in fair value of investments from prior years is recognised in the Statement of Comprehensive Income.

Realised gains or losses are determined on the disposal of investments. These are recognised in the Statement of Comprehensive Income.

In order to assess the fair value of non-current investments the net asset value of the underlying investment in AllBlue Limited and AllBlue Leveraged is taken into consideration.

The Company redeemed a portion of its investment in each share class of AllBlue (on a pro-rata basis) on 1 April 2012 in order to generate a cash reserve (the "Cash Reserve") for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares.

A substantial part of the Cash Reserve has been placed in funds of the Institutional Cash Series plc ("ICS") (an umbrella investment company with variable capital and having segregated liability between its funds) namely the Institutional Euro Government Liquidity Fund - Core (Acc), the Institutional Sterling Government Liquidity Fund - Core (Acc) and the Institutional US Treasury Fund - Core (Acc) (together the "ICS Funds") These are included in current assets as they are intended to be sold when required for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares. For accounting purposes, these funds are classified as Investments and not cash equivalents, as they are equity investments that cannot be converted to a known amount of cash.

The fair value of the shares in the ICS Funds are derived from quoted prices.

These are included in current assets as they are intended to be sold when required for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares.

Share conversions arise when the Company converts one class of AllBlue shares for another class of AllBlue shares. Upon conversion realised gains or losses are recognised in the Statement of Comprehensive Income as Net gains on financial assets through profit or loss.

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 of the Company, the Administrator relies on the 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. Operating expenses 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 reporting date. Investments in US Dollars and Euro share classes are initially recorded in their respective currencies and translated into the Company's functional currency at the reporting date. All differences are taken to the Statement of Comprehensive Income.

(i) Segment information

For management purposes, the Company is organised into one business unit, and hence no separate segment information has been presented. The Company determines that this operating segment is the investment in three Share classes of a fund of hedge funds incorporated in the Cayman Islands.

(j) Shares

Sterling, Euro and US Dollar Ordinary Shares have been classified as liabilities in accordance with IAS 32 because of the discount management provisions contained in the Company's Articles of Association as described in Note 10. 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, as amended.

2 CRITICAL ACCOUNTING JUDGEMENTS AND KEY SOURCES OF ESTIMATION UNCERTAINTY

In the application of the Company's accounting policies, which are described in Note 1, the directors are required to make judgements, estimates and assumptions about the carrying amounts of assets and liabilities that are not readily apparent from other sources. The estimates and associated assumptions are based on historical experience and other factors that are considered to be relevant. Actual results may differ from these estimates.

The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the period in which the estimate is revised if the revision affects only that period, or in the period of the revision and future periods if the revision affects both current and future periods.

Critical judgements in applying the Company's accounting policies

The following are the critical judgements and estimates that the directors have made in the process of applying the Company's accounting policies and that have the most significant effect on the amounts recognised in the financial statements.

Valuation of non-current investments

The directors consider that the confirmed NAV of AllBlue Limited as produced by AllBlue's administrator represents the fair value of the investments in the Company.

Different assumptions regarding the valuation techniques of AllBlue Limited could lead to different valuations of the investments produced by different parties.

3 OPERATING EXPENSES

	1 Jan 2012 to 30 Jun 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Administration fees	82,157	1,772	12,753	91,698
Directors' remuneration	77,158	1,664	11,977	86,118
Registration fees	41,191	888	6,394	45,974
Directors & Officers insurance	16,231	350	2,519	18,116
Broker fees	22,354	482	3,470	24,950
Audit fees	8,935	193	1,387	9,973
Annual & Regulatory fees	31,271	674	4,854	34,902
Legal & Professional fees	3,577	77	555	3,992
Printing of reports	6,257	135	972	6,984
Bank interest on overdraft facility	2,289	49	355	2,554
Bank facility fee and charges	5,243	123	749	5,818
(Profit) / Loss on exchange	-	(2,350)	(1,372)	(2,706)
Other operating expenses	3,113	67	483	3,474

	299,776	4,124	45,096	331,847

Less: Bank interest earned	-	(99)	-	(77)

Total expenses for the period	299,776	4,025	45,096	331,770

	1 Jan 2011 to 30 Jun 2011
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Administration fees	79,455	1,536	12,765	88,682
Directors' remuneration	75,260	1,455	12,091	84,000
Registration fees	44,248	855	7,109	49,386
Directors & Officers insurance	12,407	240	1,993	13,848
Broker fees	46,039	890	7,397	51,386
Audit fees	8,307	161	1,335	9,272
Annual & Regulatory fees	23,841	461	3,830	26,610
Legal & Professional fees	41,062	794	6,597	45,831
Printing of reports	3,110	60	500	3,471
Bank interest on overdraft facility	2,265	44	364	2,528
Bank facility fee and charges	4,525	126	747	5,096
(Profit) / Loss on exchange	-	(2,527)	242	(2,044)
Other operating expenses	2,399	46	385	2,678

	342,918	4,141	55,355	380,744

Less: Bank interest earned	-	-	-	-

Total expenses for the period	342,918	4,141	55,355	380,744

4 DIRECTORS' REMUNERATION

	Annual fee
	£
Richard Crowder, Chairman	50,000
Jonathan Hooley, Chairman Audit Committee	40,000
Paul Meader, Senior Independent Director	40,000
John Le Prevost	35,000
Andrew Dodd	Waived

	165,000

Each of the directors, with the exception of Andrew Dodd, earned additional ad-hoc fees of £1,000 each in the period.

The directors of the Company are considered key management personnel.

5 EARNINGS PER SHARE

The earnings per each class of Share is based on the net gain for the period of £16,659,256 (Jun 2011: £16,762,319) and 495,685,122 (Jun 2011: 507,328,999) shares in the Sterling Ordinary share class, €298,649 (Jun 2011: €447,493) and 9,579,673 (Jun 2011: 11,072,730) shares in the Euro Ordinary share class and $2,394,939 (Jun 2011: $1,369,307) and 83,754,413 (Jun 2011: 61,809,739) shares in the US Dollar Ordinary share class, being the weighted average number of shares in issue during the period.

6 RELATED PARTY TRANSACTIONS

Transactions with related parties are made on terms 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. £137,672 (Jun 2011: £138,068) of costs were incurred by the Company with these related parties in the period, of which £18,388 (Dec 2011: £23,535) was due to these related parties at 30 June 2012.

In accordance with IAS 28 the Company's investment transactions with AllBlue Limited represent a holding in excess of 20% (Dec 2011: 20%), therefore they are effectively transactions with a related party. The totals of such transactions are shown in Note 7.

In accordance with IAS 39 Financial Instruments: Recognition and Measurement, the Company has accounted for the holding in AllBlue Limited at fair value with changes in fair value recognised in profit or loss, rather than accounting for the holding as an Investment in an Associate (IAS 28).

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

	As at 30 June 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
UNQUOTED FINANCIAL ASSETS
Portfolio cost brought forward	681,588,156	13,165,885	126,950,862	774,412,963
Unrealised appreciation on valuation brought forward	153,722,585	1,583,449	9,149,833	160,942,219

Valuation brought forward	835,310,741	14,749,334	136,100,695	935,355,182

Movements in the period:
Gross share conversions in the period	(177,379)	1,201,981	(1,304,883)	-
Adjustment for realised gain on Share conversions	290,740	32,667	188,071	437,039
Purchases at fair value	60,351,750	1,120,222	9,849,819	67,537,001
Sales	(72,653,292)	(1,491,980)	(13,575,908)	(82,514,668)
Exchange losses on currency balances	-	-	-	(1,282,828)

Portfolio cost carried forward	669,399,976	14,028,775	122,107,960	758,589,506

Unrealised appreciation on valuation carried forward	153,224,834	1,678,717	10,319,648	161,160,518

Valuation carried forward	822,624,810	15,707,492	132,427,608	919,750,025

Realised gains on sales	17,450,273	207,400	1,270,045	18,427,567
Increase / (decrease) in unrealised appreciation	(497,751)	95,268	1,169,815	218,299

Net gains on financial assets at fair value through profit or loss	16,952,522	302,668	2,439,860	18,645,866

As at 31 December 2011
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
UNQUOTED FINANCIAL ASSETS
Portfolio cost brought forward	692,265,074	19,267,279	89,150,355	765,959,811
Unrealised appreciation on valuation brought forward	140,204,814	1,980,934	9,177,728	147,789,237

Valuation brought forward	832,469,888	21,248,213	98,328,083	913,749,048

Movements in the year:
Gross share conversions in the year	(15,959,590)	(7,031,748)	36,349,745	-
Adjustments for realised gains on Share conversions	5,702,637	939,761	1,501,682	7,454,763
Purchases at fair value	-	-	-	-
Sales	(419,965)	(9,407)	(50,920)	(460,640)
Exchange losses on currency balances	-	-	-	1,459,029

Portfolio cost carried forward	681,588,156	13,165,885	126,950,862	774,412,963

Unrealised appreciation on valuation carried forward	153,722,585	1,583,449	9,149,833	160,942,219

Valuation carried forward	835,310,741	14,749,334	136,100,695	935,355,182

Realised gains on sales	5,794,731	940,888	1,506,197	7,550,708
Increase in unrealised appreciation	13,517,771	(397,485)	(27,895)	13,152,982

Net gains on financial assets at fair value through profit or loss	19,312,502	543,403	1,478,302	20,703,690

As at 30 June 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
QUOTED FINANCIAL ASSETS
Portfolio cost brought forward	-	-	-	-
Unrealised appreciation on valuation brought forward	-	-	-	-

Valuation brought forward	-	-	-	-

Movements in the year:
Purchases at fair value	23,700,000	542,669	4,771,648	27,180,813
Sales	-	(3,310)	(29,153)	(21,262)

Portfolio cost carried forward	23,700,000	539,359	4,742,495	27,159,551

Unrealised appreciation on quoted investment valuation carried forward	6,510	6	175	6,628

Valuation carried forward	23,706,510	539,365	4,742,670	27,166,179

Realised gains on sales	-	-	-	-
Increase in unrealised appreciation	6,510	6	175	6,628

Net gains on financial assets at fair value through profit or loss	6,510	6	175	6,628

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); and

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

The quoted investments held by the Company have been classified as Level 1 and the unquoted investments held by the Company have been classified as Level 2. This is in accordance with the fair value hierarchy.

Details of the value of the classification are listed in the table below. Values are based on the market value of the investments as at the reporting date:

Financial assets at fair value through profit or loss	Fair Value as at 30 Jun 2012	Fair Value as at 31 Dec 2011
	GBP	GBP

Level 1	27,166,179	-
Level 2	919,750,025	935,355,182

There have not been any transfers between any levels of the fair value hierarchy during the period under review.

8 RECEIVABLES

30 Jun 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimination	Total
	£	€	$	£	£

Prepayments	57,661	1,100	9,291	-	64,474
Other receivables	8,564	163	1,380	-	9,575
Inter class loan accounts	85,012	-	-	(85,012)	-

	151,237	1,263	10,671	(85,012)	74,049

31 Dec 2011
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimination	Total
	£	€	$	£	£

Prepayments	30,834	544	5,023	-	34,526
Other receivables	8,552	151	1,393	-	9,576
Inter class loan accounts	32,104	-	-	(32,104)	-

	71,490	695	6,416	(32,104)	44,102

9 PAYABLES (AMOUNTS FALLING DUE WITHIN ONE YEAR)

30 Jun 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimination	Total
	£	€	$	£	£

Accrued administration fees	13,253	253	2,135	-	14,819
Accrued broker fees	23,458	448	3,780	-	26,230
Accrued registration fees	3,192	61	514	-	3,569
Accrued directors fees	1,447	28	233	-	1,618
Accrued audit fees	8,923	170	1,438	-	9,977
Accrued printing costs	16,014	306	2,580	-	17,906
Inter class loan accounts	-	19,121	109,110	(85,012)	-
Other sundry accruals	22,835	436	3,679	-	25,533

	89,122	20,823	123,469	(85,012)	99,652

31 Dec 2011
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimination	Total
	£	€	$	£	£

Accrued administration fees	13,874	245	2,260	-	15,535
Accrued broker fees	27,476	485	4,476	-	30,766
Accrued registration fees	7,145	126	1,164	-	8,000
Accrued directors fees	-	-	-	-	-
Accrued audit fees	17,886	315	2,914	-	20,027
Accrued printing costs	9,756	172	1,589	-	10,924
Inter class loan accounts	-	16,978	27,827	(32,104)	-
Other sundry accruals	5,298	93	863	-	5,932

	81,435	18,414	41,093	(32,104)	91,184

10 SHARE CAPITAL

Authorised

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

	Ordinary Shares
Issued	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total

Number of shares in issue at 30 June 2012	495,413,456	9,749,920	83,201,382	588,364,758

	Ordinary Shares
The movement in shares took place as follows:	Number of Sterling Shares	Number of Euro Shares	Number of US Dollar Shares
Date of movement

Sub-total brought forward as at 1 January 2011	505,390,176	13,360,975	61,803,190

Conversion 1 January 2011	38,297	(97,594)	68,620
Conversion 1 February 2011	114,446	1,937	(192,646)
Conversion 1 March 2011	4,526,017	(1,886,726)	(5,023,434)
Conversion 1 April 2011	2,589,084	(1,850,000)	(1,681,366)
Conversion 1 May 2011	270,521	-	(468,590)
Conversion 1 June 2011	(16,270,850)	6,484	27,751,909
Conversion 1 July 2011	(299,650)	23,907	464,692
Conversion 1 August 2011	188,968	(223,400)	-
Conversion 1 September 2011	(269,152)	(90,059)	584,160
Conversion 1 October 2011	77,140	(337,200)	330,395
Conversion 1 November 2011	69,693	(233,790)	210,989
Conversion 1 December 2011	(394,391)	341,789	180,519

As at 31 December 2011	496,030,299	9,016,323	84,028,438

	Ordinary Shares
The movement in shares took place as follows:	Number of Sterling Shares	Number of Euro Shares	Number of US Dollar Shares
Date of movement

Sub-total brought forward as at 1 January 2012	496,030,299	9,016,323	84,028,438

Conversion 1 January 2012	(183,615)	209,461	22,675
Conversion 1 February 2012	(225,547)	274,160	7,489
Conversion 1 March 2012	(92,419)	(3,661)	158,079
Conversion 1 April 2012	214,750	272,633	(724,751)
Conversion 1 May 2012	21,370	(19,782)	(9,679)
Share buy back 25 May 2012	(175,000)	-	-
Conversion 1 June 2012	174,265	786	(280,869)
Share buy back 12 June 2012	(100,000)	-	-
Share buy back 18 June 2012	(75,000)	-	-
Share buy back 21 June 2012	(64,462)	-	-
Share buy back 27 June 2012	(100,000)	-	-
Share buy back 29 June 2012	(11,185)	-	-

As at 30 June 2012	495,413,456	9,749,920	83,201,382

As explained in Note 1(j) above the share classes have been recognised as liabilities.

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 from the date on which the requirement for such a continuation vote was triggered.

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 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.

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).

11 SHARE PREMIUM

In April 2006 the shareholders of the Company passed a resolution to cancel the amount standing to the credit of the Company's share premium account (less any formation expenses set off against the share premium account) and the directors obtained from the Court in Guernsey an order confirming such cancellation of the share premium account in accordance with The Companies (Guernsey) Law, 1994 (as amended) (the "1994 Law"). The reserve created was thereafter available as distributable profits to be used for all purposes permitted by the 1994 Law, including the buy back of shares and the payment of dividends.

On 1 July 2008, The 1994 Law was replaced by The Companies (Guernsey) Law, 2008 (as amended) (the "2008 Law"). The 2008 Law does not require share premium to be held in a separate account and any premium at which shares are issued can be used for all purposes, including the buy back of Shares and the payment of dividends, provided that the Company would after any distribution still meet the statutory Solvency Test as such is defined in the 2008 Law. Accordingly, upon the issue of C Shares in August 2008, December 2009 and June 2010 the entire amount of share premium received on the issue of such C Shares was immediately transferred to distributable reserves.

12 TREASURY SHARES

30 Jun 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$

Balance as at 1 January 2011	483,079	-	-	483,079
Cancelled during the year	-	-	-	-
Acquired during the year	868,503	-	-	868,503

Balance as at 30 June 2012	1,351,582	-	-	1,351,582

31 Dec 2011
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$

Balance as at 1 January 2011	483,079	-	-	483,079
Cancelled during the year	-	-	-	-
Acquired during the year	-	-	-	-

Balance as at 31 December 2011	483,079	-	-	483,079

The treasury shares reserve represents 975,647 Sterling Shares purchased in the market at various prices per share ranging from £1.03 to £1.66 and held by the Company in treasury. No cancellation of Shares took place in the period.

13 DISTRIBUTABLE RESERVES

30 Jun 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	$

Balance as at 1 January 2012	835,521,762	14,726,992	136,023,320	935,497,683
Increase in net assets attributable to shareholders after other comprehensive income	16,659,256	298,649	2,394,939	17,034,001
Adjustment to allocation of reserves brought forward	30,800	(227)	(55,896)	-
Share conversions	(177,379)	1,201,981	(1,304,883)	-

Balance as at 30 June 2012	852,034,439	16,227,395	137,057,480	952,531,684

31 Dec 2011
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	$

Balance as at 1 January 2011	832,841,495	21,243,863	98,289,970	914,092,514
Increase in net assets attributable to shareholders after other comprehensive income	18,639,053	531,957	1,368,847	21,405,169
Adjustment to allocation of reserves brought forward	804	(17,080)	14,758	-
Share conversions	(15,959,590)	(7,031,748)	36,349,745	-

Balance as at 31 December 2011	835,521,762	14,726,992	136,023,320	935,497,683

14 FINANCIAL INSTRUMENTS

The Company's main financial instruments comprise:

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

(b) Shares held in AllBlue Limited and AllBlue Leveraged Feeder Limited; and

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES

The main risks arising from the Company's financial instruments concerns its holding of shares in AllBlue Limited ("AllBlue"), AllBlue Leveraged Feeder Limited ("AllBlue Leveraged") and ICS and the risks attaching to those shares which are market price risk, credit risk, liquidity risk, interest rate risk and increased volatility due to leverage employed by the underlying funds as explained below.

The Company is not exposed to foreign exchange risk as each class of Shares in the Company is directly invested in shares of AllBlue, AllBlue Leveraged and ICS denominated in the same corresponding currency.

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, AllBlue Leveraged and ICS for the purpose of meeting share buy backs and ongoing expenses of the Company. Thereafter the Board recognises that the Company has via its holding of shares in AllBlue, AllBlue Leveraged and ICS an indirect exposure to the risks summarised below.

For the shares held in the ICS Funds the Board notes that such shares may be realised on short notice on any business day with proceeds in respect thereof usually being transmitted by telegraphic transfer on the business day following receipt of the redemption notice by the ICS Fund subject to cut-off times depending on the specific ICS Fund in which shares are being redeemed.

It must also be noted that there is little or nothing which the Board can do to manage each of these risks within AllBlue and AllBlue Leveraged or the underlying funds in which AllBlue and AllBlue Leveraged invests (the "underlying fund(s)"), under the current investment objective of the Company.

(a) Price Risk

The success of 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.

Details of the Company's Investment Objectives and Policy are given on page 2.

Price sensitivity

The Company invests substantially all its assets in AllBlue, AllBlue Leveraged and ICS and does not undertake any structural 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 2012, (31 December 2011 for comparative) if the net asset value of AllBlue, AllBlue Leveraged and ICS had been 10% higher/lower with all other variables held constant, the net assets attributable to shareholders for the period would have been increased/decreased as stated below, arising due to the increase in the fair value of financial assets at fair value through profit or loss.

	Increase in net assets attributable to shareholders		Decrease in net assets attributable to shareholders
	30 Jun 2012	31 Dec 2011	30 Jun 2012	31 Dec 2011

Sterling Shareholders	84,633,132	83,531,074	(84,633,132)	(83,531,074)
Euro Shareholders	1,311,499	1,230,547	(1,311,499)	(1,230,547)
Dollar Shareholders	8,746,989	8,773,897	(8,746,989)	(8,773,897)

Total	94,691,620	93,535,518	(94,691,620)	(93,535,518)

The sensitivity is higher in 2012 than in 2011 because of an increase in the net financial assets and liabilities at fair value through profit or loss at the reporting 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 and AllBlue Leveraged or any of the underlying funds, the effects of such a default may have negative effects on other prime brokers with whom AllBlue and AllBlue Leveraged or such underlying fund deals. The underlying funds and, by extension, AllBlue and AllBlue Leveraged and the Company may, therefore be exposed to systemic risk when AllBlue, AllBlue Leveraged or an underlying fund deals with prime brokers and custodians whose creditworthiness may be interlinked.

The assets of 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, AllBlue Leveraged and ICS 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 year end was £951,215,280 (Dec 2011: £935,364,758).

The main concentration of risk for the Company relates to the investments in AllBlue, AllBlue Leveraged and ICS.

In some circumstances, investments held by the underlying funds of AllBlue and AllBlue Leveraged 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 AllBlue Leveraged and hence the Company's investment in AllBlue and AllBlue Leveraged. Settlement of transactions may be subject to delay and administrative formalities.

There can be no assurance that the liquidity of the investments of AllBlue, AllBlue Leveraged and ICS 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, AllBlue Leveraged and ICS and the value of Shares in the Company. For such reasons AllBlue's and AllBlue Leveraged'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 and AllBlue Leveraged 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. There was no gating or suspension of AllBlue or AllBlue Leveraged during the period under review or in the previous year.

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's Main Market for Listed Securities (the "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 table below details the residual contractual maturities of financial liabilities:

As at 30 June 2012	1-3 months	Over 1 year	Total
	£	£	£

Bank overdraft	-	-	-
Accrued expenses	99,652	-	99,652
Total	99,652	-	99,652


As at 31 December 2011	1-3 months	Over 1 year	Total
	£	£	£

Bank overdraft	293,496	-	293,496
Accrued expenses	91,184	-	91,184
Total	384,680	-	384,680

(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. However, the Company's investments designated as at fair value through profit or loss are non interest bearing, and therefore are not exposed to interest rate risk.

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 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 held pursuant to section 199 of The Companies (Guernsey) Law, 2008, as amended (the "Law"), 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 to be held pursuant to section 199 of the Law and renewal of such authority will be sought at the next general meeting. 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 be of material benefit to the Company.

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.

On 1 July 2008 The Companies (Guernsey) Law, 1994 (as amended) was replaced by the 2008 Law. The 2008 Law does not require share premium to be held in a separate account and any premium at which shares are issued can be used for all purposes, including the buy back of Shares and the payment of dividends, provided that the Company would after any distribution still meet the statutory Solvency Test as such is defined in the 2008 Law. Accordingly, upon the issue of C Shares in August 2008 and December 2009 the entire amount of share premium received on the issue of such C Shares was immediately transferred to distributable reserves.

The Company's authorised share capital is such that further issues of new Ordinary Shares could be made, subject to waiver of pre-emption rights. 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 1998 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 500 million further Shares on a non-pre-emptive basis for a period concluding on 31 December 2013, unless such power is previously revoked by the Company's shareholders in a general meeting pursuant to section 199 of the 2008 Law by a special resolution of Shareholders passed on 3 August 2012. The directors intend to request that the authority to allot Shares on a non-pre-emptive basis is renewed at each subsequent 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 reserves as presented on the face of the statement of financial position. Capital for the reporting period under review is summarised as follows:

	30 Jun 2012	31 Dec 2011
	GBP	GBP

Purchase of own shares	(1,351,582)	(483,079)
Distributable reserves	952,531,684	935,497,683

Total	951,180,102	935,014,604

16 SUBSEQUENT EVENTS

Between the period end and the date of this report, further share buy backs totalling £4,410,321 (2,681,414 shares) have been made in the Sterling Class. These shares are held in Treasury.

SCHEDULE OF INVESTMENTS

as at 30 June 2012

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

AllBlue Limited Sterling Shares	4,130,760	£761,416,425	£761,416,425	80.05%
AllBlue Leveraged Feeder Limited Sterling Shares	272,668	£61,208,385	£61,208,385	6.43%
Institutional Sterling Government Liquidity Fund - Core (Acc) Shares	235,894	£23,706,510	£23,706,510	2.49%

AllBlue Limited Euro Shares	79,187	€14,572,656	£11,763,525	1.24%
AllBlue Leveraged Feeder Limited Euro Shares	5,561	€1,134,835	£916,076	0.10%
Institutional Euro Government Liquidity Fund - Core (Acc) Shares	5,322	€539,365	£435,393	0.05%
AllBlue Limited US Dollar Shares	661,869	$122,450,803	£78,083,667	8.21%
AllBlue Leveraged Feeder Limited US Dollar Shares	49,521	$9,976,805	£6,361,947	0.67%
Institutional US Treasury Fund - Core (Acc) Shares	47,391	$4,742,670	£3,024,276	0.32%


			£946,916,204	99.56%

SCHEDULE OF INVESTMENTS

as at 31 December 2011

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

AllBlue Limited Sterling Shares	4,624,588	£835,310,741	£835,310,741	89.33%
AllBlue Leveraged Feeder Limited Sterling Shares	-	-	-	-

Institutional Sterling Government Liquidity Fund - Core (Acc) Shares	-	-	-	-

AllBlue Limited Euro Shares	81,714	€14,749,334	£12,305,468	1.32%
AllBlue Leveraged Feeder Limited Euro Shares	-	-	-	-

Institutional Euro Government Liquidity Fund - Core (Acc) Shares	-	-	-	-

AllBlue Limited US Dollar Shares	749,011	$136,100,695	£87,738,973	9.38%

AllBlue Leveraged Feeder Limited US Dollar Shares	-	-	-	-
Institutional US Treasury Fund - Core (Acc) Shares	-	-	-	-


			£935,335,182	100.03%

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

Conversion between Share Classes

The Company currently offers a monthly conversion between share classes. Conversion forms can be found on the Company's website at www.bluecrestallblue.com.

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 email at registrars@anson-group.com or by telephone on (44) 01481 711301.

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

BlueCrest Disclaimer

The report by the Investment Manager of AllBlue Limited contained in this documents at pages XX to XX is issued: (i) for all purposes, except for issue into the United States or issue to US persons, by BlueCrest Capital Management (UK) LLP ("BCM (UK) LLP"); and (ii) only for the purposes of issue into the United States or issue to US persons, by BlueCrest Capital Management LLP ("BCMLLP"). BCM (UK) LLP is authorised and regulated by the Financial Services Authority of the United Kingdom (the "FSA"). BCMLLP is registered with the U.S. Securities and Exchange Commission ("SEC") as an investment adviser under the Investment Advisers Act of 1940. BCMLLP is licensed and regulated by the Guernsey Financial Services Commission under the Protection of Investors (Bailiwick of Guernsey) Law, 1987 as amended (the "POI Law") to carry on controlled investment business in or from within the Bailiwick of Guernsey.

To the extent that this document is issued by BCM (UK) LLP, the following applies. None of the fund(s) described herein (each, a "Fund") is a recognised collective investment scheme for the purposes of the Financial Services and Markets Act 2000 of the United Kingdom (the "Act"). The promotion of the Fund(s) and the distribution of this document in the United Kingdom is accordingly restricted by law. This document is being issued inside and outside the United Kingdom by BCM (UK) LLP only to and/or is directed only at persons who are professional clients or eligible counterparties for the purposes of the FSA's Conduct of Business Sourcebook. This document is exempt from the scheme promotion restriction (in Section 238 of the Act) on the communication of invitations or inducements to participate in unrecognised collective investment schemes on the grounds that it is being issued only to and/or directed only at such persons. To the extent that this document is issued by BCM (UK) LLP, interests in the Fund are only available to such persons and this document must not be relied or acted upon by any other persons. BCM (UK) LLP 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.

To the extent that this document is issued by BCMLLP, this document constitutes promotion of controlled investments for the purposes of the POI Law and the rules and guidance issued from time to time by the Guernsey Financial Services Commission (the "GFSC Rules"). The information contained herein is directed by BCMLLP exclusively at persons who are professional clients or eligible counterparties for the purposes of the GFSC Rules, or to Qualified Purchasers, as defined in the U.S. Investment Company Act of 1940, as amended. Any of the Funds and other investments and investment services to which this document 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 dissemination or other unauthorised use of this information by any person or entity is strictly prohibited. The distribution of this document may be further restricted by law. No action has been or will be taken by any of BCM (UK) LLP, BCM LLP, or the Funds, to permit the possession or distribution of this document in any jurisdiction (other than as expressly described herein) where action for that purpose may be required. Accordingly, this document may not be used in any jurisdiction except under circumstances that will result in compliance with any applicable laws and regulations. Persons to whom this document is communicated should inform themselves about and observe any such restrictions.

This document 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. This document 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 document 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.

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 document 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 document is based on information obtained from sources considered to be reliable. However, any projections or analysis provided to assist the recipient of this document 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 document 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 document 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 from 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) the use of a single adviser could mean a lack of diversification and, consequently, higher risk, and may depend 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) the investment manager 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; (11) a substantial portion of the trades executed for the Funds take place on non-U.S. exchanges; and (12) changes in rates of exchange may also have an adverse effect on the value, price or income of the investments of each Fund.

Contact Information and Advisors

Directors

Richard Crowder

*Andrew Dodd

*Jonathan Hooley

Paul Meader

John R Le Prevost

*Jeremy Sambrook as alternate director for Andrew Dodd or Jonathan Hooley

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

Jefferies Hoare Govett

Vintners Place

68 Upper Thames Street

London

England EC4V 3BJ

Corporate Broker

Dexion Capital plc

1 Tudor Street

London

England EC4Y 0AH

Solicitors to the Company as to UK Law

Herbert Smith LLP

Exchange House

Primrose Street

London

England EC2A 2HS

Advocates to the Company as to Guernsey Law

Mourant Ozannes

PO Box 186

1 Le Marchant Street

St Peter Port

Guernsey GY1 4HP

This information is provided by RNS

The company news service from the London Stock Exchange

END

IR KMGZRFLNGZZM

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