Inv Obj & Perf Update

RNS Number : 5482V

Close AllBlue Fund Limited

29 May 2008

 



FOR IMMEDIATE RELEASE

29 May 2008

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR APRIL 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 30 April 2008 were:-

		Total Return	Last	Since
	NAV	Last Month	Quarter	Launch**
Sterling Shares	£1.1688	-0.38%	4.73%	19.24%
US Dollar Shares	$1.1321	-0.76%	4.20%	17.92%
Euro Shares	€1.1559	-0.54%	4.39%	15.50%

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

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

PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF APRIL 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	29	55	0.58	0.17
Systematic	15	89	-6.06	-0.90
BlueMatrix	5	85	1.85	0.09
Low Beta	1	91	-4.47	-0.04
Emerging Markets	15	53	1.62	0.24
Credit Arb	0	N/A	0.00	0.00
WestHarbor	0	N/A	0.00	0.00
Mercantile (Trade Finance)	10	33	0.89	0.09
Credit RV	15	59	-1.12	-0.13
Cash	11	N/A	0.00	0.00
Total	100

*estimated returns

**Figures based on estimated weighted return

Estimated April

 Amidst a more relaxed market outlook and highly variable volatility, April was a mixed month for the AllBlue funds. Overall, estimated returns show that AllBlue was down slightly (-0.58%), taking YTD returns to 4.01%. Within AllBlue, Emerging Markets, Capital International, BlueMatrix and Mercantile all made positive contributions, while BlueTrend and Multi Strategy Credit made losses. There were some large allocation changes within AllBlue in April, in particular, the removal of the two external funds, WestHarbor and BlueMountain. The decision was taken to remove these funds because of the need for greater transparency in current market conditions, and, as a result, the seven funds that now comprise AllBlue are all BlueCrest managed funds. AllBlue also significantly decreased its allocation to BlueTrend and increased the amount held in cash (11%); given the performance of BlueTrend in April, this re-allocation was timely. 

BlueCrest Capital International, which currently accounts for 29% of the allocation, finished the month up slightly with an estimated return of 0.61%. Within the fund, Relative Value was the largest contributor followed by Rates and Equity Derivatives. RV made good gains on the US 5 year treasury-future basis trade, while in Rates, the returns came from two main positions: caps versus payers (long cap, short payer), and short the Euribor market via put spreads. Both of these trades worked very well. In Equity Derivatives, gains were made on short volatility and short market trades; dispersion trades and single name pair trades with volatility also worked well.

BlueTrend (15% allocation) struggled during April, finishing the month down -6.06%. This was largely due to strong reversals in the primary risk areas of rate products and equities. These reversals caught the model offside on many positions; however, by month end the model had sold off its interest rate positions and risk was significantly reduced. 

Emerging Markets, which represents a 15% allocation, performed well, with estimated MTD returns of 1.62%. The themes of liquid risk-taking in local rates and FX produced a positive contribution. Fundamentally positive positions on various current account surplus countries in Latin America were balanced by tactically trading in and out of current account deficit countries. 

For Multi Strategy Credit, which also accounts for 15% of AllBlue's allocation, April was a month of recovery for credit markets, and the team saw a significant drop in volatility and correlation. Overall, the performance was negative (-1.27%). Liquidity was very poor in the OTC markets. The traders achieved positive performance in correlation but were hurt by the sharp drop in volatility. The long-short strategies were up slightly over the month.

The smaller allocations, Mercantile and BlueMatrix, performed well. Mercantile returned an estimated 0.89%; this was largely attributable to the structured commodity financing sub-strategy of the fund, which showed good returns from metals pre-payment financing. In the credit area, the month saw a strong rally in emerging market credit derivatives which caused the basis of trade finance assets to reduce significantly. The fund made a small reduction to its overall CDS cover but retained the bulk of its protection as the team sees continued stress in underlying cash asset markets and bank balance sheets. The basis is expected to return to more normal levels over the coming months which the team anticipates will release value from the trade finance assets that were bought at attractive prices in March. For BlueMatrix, which returned 1.85%, April saw lower volatility return to the markets in Europe and Japan amid lower than average traded volumes. With lower volatility gradually prevailing in all equity indices throughout the month, BlueMatrix deleveraged accordingly and ended the month with modest positions in all markets. 

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

Company Secretary.

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT

E&OE - in transmission

 

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