Monthly Performance Announcem

RNS Number : 5581Q

BlueCrest AllBlue Fund Ltd

04 August 2010

 



FOR IMMEDIATE RELEASE

4 August 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JUNE 2010

INVESTMENT OBJECTIVE

BlueCrest 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 diversified strategies managed by BlueCrest Capital Management L.L.P. Funds currently included are BlueCrest Capital International Limited (relative value strategy), BlueTrend Fund Limited (systematic trend following strategy), Emerging Markets Fund Limited (global emerging macro strategy), Mercantile (trade finance strategy), Credit Relative Value (multi strategy credit), BlueMatrix (systematic high frequency equity strategy) and BlueCube (systematic multi strategy equity market neutral).

The net asset values ("NAV") of the Company's Shares as at the close of business on 30 June 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6006	0.76%	1.43%	63.30%
Euro Shares	€1.5447	0.77%	1.41%	57.59%
US Dollar Shares	$1.5478	0.74%	1.36%	57.91%

*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 JUNE 2010

The following portfolio performance report for AllBlue Limited has been provided to the Company by BlueCrest Capital Management LLP.  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

AllBlue recovered in June after a negative performance in May. The month started with the markets remaining nervous over the European sovereign debt crisis. Fears that US and global growth might be faltering then took hold which led to persistent volatility in the risky asset classes.

This month's performance was once again driven by the returns of BlueCrest Capital International, and within that fund it was the Rates desk that contributed the majority of the returns .  The trades that gave the largest contributions were conditional steepeners within EUR, where we saw both a steepening of the forward curve and also some normalisation of the long-dated volatility.  The Fixed Income Relative Value desk also posted a positive return with their USD relative value trading being the main contributor, whilst their volatility positions made small losses.  The Equity Derivatives desk within the fund saw further losses from some of its dispersion trades.

The Emerging Market Fund's estimated performance of 46bp was mostly driven by local currency long positions.  Given the European situation is still a major market risk, many of our EM currency positions were fully or partly hedged against the EUR, resulting in some of the gains being offset by the hedges as the EUR rallied slightly.  Multi Strategy Credit finished the month down an estimated 79bp; this was driven in a large part by the negative impact of the correlation strategy, with lower than expected recoveries from Ambac post-restructuring.  Within Mercantile, whose estimated performance was 88bp, the best performing sub-strategy was single-name credits where the basis which had widened in May and narrowed back in June, particularly in Ukraine and Russia.

Looking at the systematic strategies we saw positive performance from BlueTrend, which made profit in the fixed income sectors (bonds and short rates) that more than offset the losses within equities and energies.  BlueTrend steadily started redeploying risk after its large risk reduction in May; the margin to equity rose from 7.6% to 11.6% over the month.

BlueMatrix found June to be a more difficult month, as falling levels of volatility in the equity markets provided a less fertile ground for isolating reversion opportunities. The fund finished down 1.39%.  BlueCube on the other hand performed well with the majority of the returns coming from the mean reversion strategy, and with the capital dynamics also producing a solid contribution.  The strategy continues to revolve out of the Value sub-strategy which now holds the lowest weighting within the fund.

The latest allocation changes within AllBlue see us decreasing our allocation to BlueCrest Capital International and increasing allocations to Multi Strategy Credit and Emerging Markets as the new portfolio managers are creating more trading opportunities within these funds.

Disclaimer:

This publication is issued by BlueCrest 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 LLP and the Company is not responsible for, nor does it warrant, the accuracy of such information.  Although BlueCrest Capital Management LLP 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 BlueCrest AllBlue Fund Limited may be found on the Company's website at www.bluecrestallblue.co.uk

For further Company shareholder information about investing in the Company contact:  Alex Collins of RBS Hoare Govett on Tel: London 020 7678 1703.

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

E&OE - in transmission

 

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