Inv Obj & Perf Update
Close AllBlue Fund Limited
02 May 2007
FOR IMMEDIATE RELEASE
2 May 2007
CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')
MONTHLY PERFORMANCE REVIEW FOR MARCH 2007
INVESTMENT OBJECTIVE
Close AllBlue Fund Limited (the 'Company') is a Guernsey incorporated,
closed-ended investment company. The investment objective of the Company is to
provide its Sterling, US Dollar and Euro shareholders with consistent long-term
capital growth through an investment policy of investing substantially all of
each share class' assets in the Sterling, US Dollar and Euro shares in AllBlue
Limited respectively.
AllBlue Limited provides access to a portfolio of seven diversified strategies
managed by BlueCrest Capital Management L.P. and managers with close links to
BlueCrest. These include the BlueCrest flagship fund with a mixed arbitrage
strategy (BlueCrest Capital International Limited), an equity long/short fund
(BlueCrest Equity Fund Limited), an emerging markets macro strategy fund
(BlueCrest Emerging Markets Fund Limited) and a systematic trading process fund
(BlueTrend Fund Limited).
The net asset values ('NAV') of the Company's Shares as at the close of business
on 30 March 2007 were:-
Total Return Last Since
NAV Last Month Quarter Launch**
Sterling Shares £1.0218 0.02% 0.64% 4.24%
US Dollar Shares $1.0247 0.02% 0.65% 4.53%
Euro Shares €1.0077 -0.11% 0.25% 2.80%
**Based on opening NAV, being the Issue Price less Formation and Initial
Expenses, of £0.9802 per Sterling Share, $0.9802 per US Dollar Share and €0.9802
per Euro Share.
PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF MARCH 2007
The following portfolio performance report for AllBlue Limited has been provided
to the Company by BlueCrest Capital Management Limited. Whilst the Company
believes that the information has been received from a reliable source, the
Company is not able to verify the information and accepts no responsibility for
the accuracy of the comments made or figures given in the report, and neither
should any responsibility be implied.
REPORT BY BLUECREST ON ALLBLUE LIMITED
Investments in: Capital Free Cash Weighted
Allocation% By Sector % %Return Return
Mixed Arb 24 56 0.77 0.17
Systematic 24 88 -1.41 -0.34
Equity 20 43 -1.04 -0.21
Low Beta 1 94 -1.41 -0.01
Emerging Markets 22 47 1.07 0.23
Credit Arb 7 43 2.53 0.18
Event Driven 2 n/a 3.7 0.08
Total 100% 0.10%
Recovering from a difficult February, AllBlue posted a modest positive return
for March, up 0.10%. Main contributions came from Emerging Markets, Mixed
Arbitrage, Event Driven and Credit Arbitrage, but these returns were dampened by
drawdowns in Systematic and Equity.
The International fund was up 0.77% for the month. The main contributors within
Mixed Arbitrage were Rates and RV, with smaller contributions by Equity
Derivatives, FX and Mercantile. Gains were partially offset by small losses in
Equity and Systematic. Within RV, there was a continued normalisation of the
sterling curve following dislocation after the surprise January hikes. Strong
benefits emerged from long positions in cheap vol structures, especially in
Europe, which profited from the sharp asset price volatility at the start of
March. Gains continued in a variety of dollar bond relative value trades and
most of our smaller, high activity, mean reversion trades also worked well.
The drawdown in Systematic continued during early March and BlueTrend finished
down -1.41%. While the program ended the month down overall, it recovered well
mid month, given the strength of the downside moves and high volatility seen in
many markets.
Emerging Markets returned 1.07% for the month. From a local markets point of
view, Latin America took over from Asia to outperform by region. Top performers
were Hungary (6.17%), Slovakia (5.52%), Brazil (5.22%) and Mexico (4.35%). Local
markets long exposure was concentrated in Hungary (Rates and FX), Brazil (FX),
Mexico (FX), Turkey (FX) and Columbia (Rates and FX) and South Africa (Rates and
FX), with short positions in Poland (Rates), Romania (Rates and FX) and the
Czech Republic (Rates). On the external debt side, top performers were the Coite
d'Ivoire (7.07%), Ecuador (5.37%) and Uruguay (1.9%). Having reduced external
debt exposure during the market turbulence of late February, risk was added back
in Russia, Argentina, Turkey, Coite d'Ivoire, Columbia and Peru, as the markets
stabilized. Emerging Market equities finished the month up 3.75%, despite
outflows. The desk is confident that there will be a further rally in the
markets, led by the currencies and external debt as stale hedges are unwound.
March was a disappointing month within Equity, which posted a negative return of
-1.04%. The fund experienced a barrage of adverse news flow for some of our
largest longs and shorts. Negative factors within the portfolio eliminated
strong performance across the banking sector, chemicals, energy and utilities.
Credit Arbitrage posted positive returns of 2.53% with the largest contributions
coming from Inter-Credit, Correlation and Index Arbitrage strategies.
Inter-Credit performance was driven by single-name shorts in Homebuilders and
Rails and long positioning in Metals and Mining. Correlations gains were driven
by a rally in 7-yr equity tranches, gamma trading and correlation neutral RV
trading.
Event Driven had a good month, up 3.7%, as a number of trades worked well. These
included a position in Alliance Boots and a long-standing position in Suez. The
portfolio remains market neutral, although gross gearing, having previously
declined, has risen again towards the top of its typical range.
Disclaimer:
This publication is issued by Close AllBlue Fund Limited (the 'Company') for
informational purposes exclusively to and for the benefit only of shareholders
in the Company and to no one else; and accordingly the Company accepts no
responsibility for the use any third party might make of the information herein
contained and neither is any responsibility implied.
Information on AllBlue Limited and its underlying funds have been provided to
the Company by BlueCrest Capital Management Limited and the Company is not
responsible for, nor does it warrant, the accuracy of such information.
Although BlueCrest Capital Management Limited believes that the information on
AllBlue Limited and its underlying funds is materially correct, no warranty is
given as to the accuracy of the information provided.
This publication may not be relied upon in evaluating the merits of investing in
any securities referred to herein. Neither is it intended as and is not to be
taken as an offer or solicitation with respect to the purchase or sale of any
security, nor does it constitute an offer or solicitation in any jurisdiction,
including those in which such an offer or solicitation is not authorised or to
any person to whom it is unlawful to make such a solicitation or offer.
Where in this document an estimate of the Net Asset Value of a share in the
Company is given, although the information is believed to be materially correct,
no warranty is given as to the accuracy of the information provided.
The Company's underlying investment programme is speculative in nature and
entails substantial risks. The underlying investments may be subject to sudden
and large falls in price or value and there could be a large loss upon
realisation which could equal the total amount originally invested.
Further information about Shares in Close AllBlue Fund Limited may be found on
the Company's website at www.closeallbluefund.com.
For further Company shareholder information about investing in the Company
contact: Richard Killingbeck or Roland Kitson of Close Fund Management
(Investments) Limited, the Shareholder Liaison Agent, Tel: London 020 7426 4000.
Neither this press release nor any part of it may be released, mailed,
transmitted, copied, distributed, taken or otherwise sent in or into the United
States of America, Canada, Australia or Japan. Any failure to comply with these
restrictions may constitute a violation of United States of America, Canada,
Australia or Japanese Securities laws.
Anson Fund Managers Limited
Company Secretary.
Tel: Guernsey 01481 722260
END OF ANNOUNCEMENT
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