Inv Obj & Perf Update

RNS Number : 0671V

Close AllBlue Fund Limited

22 May 2008

 



FOR IMMEDIATE RELEASE

22 May 2008

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR MARCH 2008

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 31 March 2008 were:-

		Total Return	Last	Since
	NAV	Last Month	Quarter	Launch**
Sterling Shares	£1.1732	-0.54%	4.73%	19.36%
US Dollar Shares	$1.1648	-0.75%	4.20%	18.51%
Euro Shares	€1.1382	-0.65%	4.39%	15.81%

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

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

PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF MARCH 2008 

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:	% of Capital	% cash free by Sector	* MTD% Return	** Weighted Return%
Mixed Arb	28	49	-0.23	-0.06
Systematic	20	91	1.90	0.36
BlueMatrix	5	87	-2.24	-0.11
Low Beta	1	93	1.36	0.01
Emerging Markets	16	53	-4.22	-0.67
Credit Arb	7	27	1.61	0.11
WestHarbor	2	N/A	-0.70	-0.02
Mercantile (Trade Finance)	10	35	-0.00	-0.00
Credit RV	10	56	0.02	0.00
Total	100

*estimated returns

**Figures based on estimated weighted return

March MTD estimated returns show that AllBlue was down slightly (-0.45%), following a very turbulent month in the markets. Most of the underlying funds made a small loss on the month; BlueTrend performed very well, although Emerging Markets did not. The YTD figures remain strong at +4.33%.

For BlueCrest Capital International (28% allocation), which finished the month down -0.19%, March proved a difficult period for the mean-reverting strategies of the relative value fixed income team. However, good returns from FX Vol, along with contributions from Equity Derivatives, limited any losses, as well as demonstrating the benefits of not being single-asset focused in terms of relative value opportunities. 

March was a volatile month for Systematic funds, which together account for 21% of the AllBlue allocation. BlueTrend's margin to equity reached a high of around 16% during the month, but had decreased to approximately 12% by the end of March, as the mid-month gains were unwound. BlueTrend registered a final MTD of +1.89%. The fall of Bear Stearns stock from more than $150 to $2 in less than 12 months, along with rumours about liquidity issues at Lehmans and HBOS, led many to fear financial meltdown in the US as the Dollar was pushed to new lows against the Euro. It was here that a majority of BlueTrend's monthly P&L was made. On the upside, equities were down across the board, dollar weakness continued and rapidly reducing interest rates in the US pushed bonds higher. On the downside, there was a reduction in 'riskier' commodity positions as hedge funds unwound recent speculative trades in order to free up cash. Gold, the traditional safe-haven, was also caught up in this commodity unwind. The low beta version of BlueTrend made a positive contribution of 1.49%, while BlueMatrix (5% allocation) made a negative contribution of -2.19%.

BlueCrest Emerging Markets (16% allocation) had a poor month in March, with an estimated MTD of -4.22%. Equity and FX were the biggest contributors to the decline. Equity losses came from the combination of mark downs in remaining mid- and small-cap equity positions in Russia, China and Brazil and their liquid hedges; the team is continuing to reduce these positions. FX negative performance derived from a combination of losses related to a basket position of long Malaysian ringgit, Taiwanese dollar against Indian rupee, and trading losses in Mexican peso and Brazilian real. 

During the extreme conditions in credit markets in March, the BlueCrest Mercantile Fund (10% allocation) took defensive positions to protect capital, despite a small loss of -0.25%. During the month, the fund managed to identify US$140m of new trade finance assets of exceptional value which were offered to the fund by distressed sellers at their quarter end. These assets are expected to realize their potential in the next quarter. 

BlueCrest Multi Strategy Credit Fund (10% allocation) achieved a final MTD of return of 0.86%, managing to weather the turbulent markets adequately.

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 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

Secretary

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT

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