Monthly Performance Report

RNS Number : 7147O

BlueCrest AllBlue Fund Ltd

11 March 2009

 



FOR IMMEDIATE RELEASE

11 March 2009

BLUECREST ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR JANUARY 2009

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.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 January 2009 were:-

		Total Return	Last	Since
	NAV	Last Month	Quarter	Launch**
Sterling Shares	£1.2808	2.28%	4.91%	30.67%
Euro Shares	€1.2348	2.36%	4.70%	25.97%
US Dollar Shares	$1.2440	2.14%	4.28%	26.91%

*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 JANUARY 2009 

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 got off to a strong start in 2009. The largest contributor was BlueCrest Capital International which returned an exceptional 5.74%, driven mainly by the Rates desk, where the majority of the interest rate risk is now being run. Returns were led by trades in European volatility which were successful after European vega sold off dramatically from the squeezed December levels. The team also made money from curve steepeners following significant steepening in the US, EUR and GBP curves, whilst trading conditions in liquid swaptions and swaps have substantially improved from December. 

Emerging Markets also had an excellent month, up 4.96%.  Interest rate trades in Latin America performed well - steepeners in Mexico and outright longs in Brazil both benefitted from rate cuts, while FX trades such as short Ruble versus the basket also made money.  

Following its stellar performance last year, BlueTrend was unfortunately down slightly on the month (-0.49%). Futures markets were volatile in January, with markets either consolidating moves or rotating within wide ranges. This was reflected in January's performance with interest rate (-1.76%) and equity indices exposure (-0.52%) particularly affected; however, strong returns on FX (+0.64%) helped offset the move. Bond futures sold off throughout the month with the threat of relentless supply of US debt weighing on them and dragging the Sterling and European markets with it. The result was an aggressive steepening of yield curves. January was a particularly volatile month for FX with EUR/GBP closing 8% lower after downward revisions to the credit ratings of Spain and Portugal. GBP/USD also fell to its lowest level since 2001 on the banking sector sell-off sparked by fears over Barclays. Our AUD, CAD and NZD shorts performed well against JPY on carry trade unwinds and softer commodities markets. Involvement in the energies and agricultural sectors was minimal given the rotational price action after the strong downward trend in the second half of 2008. Precious metals were the exception with gold rallying strongly from mid January. Our core positioning remains similar to prior months with some reduction in exposure to bonds, short rates and equities, and a marginal increase in our risk to crops and energies.

For the BlueCrest Multi Strategy Credit Fund, January was a month marked by the decoupling of high grade credit and stocks. The month was very poor for equity market performance (the worst January on record for the S&P 500) whereas investment grade credit performed well. There was strong appetite for investment grade new issues - a record month in terms of issuance. The fund showed strong positive performance in January, returning an estimated 1.56%. Key contributions came from curve trades on the high yield and high grade, fundamental long-short relative value views on investment grade names and opportunistic gamma trading. Correlation and index skew trading were quiet. In the fundamental credit space, we are starting to see more differentiation at sector level between companies with sound balance sheets and companies with too much leverage.Overall, the systemic fear has receded, and the markets seem to be focusing again on fundamental data.

Finally, the Mercantile fund performed steadily (+1.17%) in both its trade finance credit and commodities finance strategies during January. As anticipated in December, spreads on single-name trade finance assets narrowed post the year end balance sheet date for banks, whilst CDS were largely unchanged over the month and subordinated trade finance portfolio exposure saw a modest widening in spreads. The team sold some single-name credit into the market during the month. On the commodities finance side, the fund benefitted from December's replacement (at attractive levels) of part of its futures delta hedge of copper market price risk with an options risk reversal hedge.

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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