Monthly Performance Report

RNS Number : 7193O

BlueCrest AllBlue Fund Ltd

11 March 2009

 



FOR IMMEDIATE RELEASE

11 March 2009

BLUECREST ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR FEBRUARY 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 27 February 2009 were:-

		Total Return	Last	Since
	NAV	Last Month	Quarter	Launch**
Sterling Shares	£1.3111	2.12%	4.67%	33.76%
Euro Shares	€1.2641	2.13%	4.73%	28.96%
US Dollar Shares	$1.2724	2.04%	4.45%	29.81%

*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 FEBRUARY 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

The worsening global economic outlook continued into February, with the Bank of England reporting that business and household sentiment has deteriorated markedly and that the global banking and financial system remains fragile. Results released by the Royal Bank of Scotland revealed the biggest loss in British corporate history - more than £24bn - with suggestions that the taxpayer could end up owning 95% of the bank if its losses continue to mount. Lloyds Banking Group also disclosed that HBOS, which it absorbed in January, made a pre-tax loss of £10.8bn in 2008.

Once again, AllBlue defied market sentiment and produced strong returns in February. The main drivers of performance this month were the Emerging Markets fund and Capital International. The other funds made small contributions, except for BlueTrend and BlueMatrix which were flat. 

BlueCrest Capital International returned an estimated 1.95% in February. Performance was buoyed by the rates desk which again made money in front-end trades in Europe and the UK, curve steepeners in Europe and the US, and money market basis trades. Unfortunately, performance was hampered by the venture finance portion of the fund which suffered from a drop in value of the loans based on changes in similar loans observed in public market comparables, reflecting ongoing credit stress in the markets.  In addition, a more conservative view of recovery value in default contributed to losses here.

BlueCrest Emerging Markets Fund performed exceptionally well in February, returning an estimated 9.78%. A view that global credit stresses would have particularly strong repercussions in Eastern Europe played out with force this month. In FX, the team was short Russia and Ukraine and made money from the devaluations in these currencies. In addition, curve steepeners in Mexico and long positions in Turkish interest rates were successful.

The BlueCrest Multi Strategy Credit Fund returned an estimated 1.11% on the month. The move in credit was more pronounced in the high yield space where the indices printed new wides. Investors' appetite for cash-quality issuers was strong and the new issue markets witnessed very high levels of activity, with some jumbo issuance well received by the investors (Roche). However, the poor earnings data (AIG in particular) and the deteriorating macro environment resulted in a propagation of negative sentiment. In the fund itself, the long-short fundamental strategy performed well and the team benefitted from the flattening of some high yield curves. On the down side, the high grade curve positions moved adversely.

The Mercantile fund was relatively flat on the month, returning an estimated 0.06%. February saw steady returns in both the trade finance credit and commodities finance sub-strategies; however, a tightening in basis between trade finance spreads and CDS offset a portion of the net positive carry between trade finance assets and hedges. 

BlueTrend and BlueMatrix also remained flat, posting returns of 0.04% and -0.06% respectively. In BlueTrend, the month was fairly uneventful as markets had a tendency to produce a lot of volatile choppiness.  A small positive performance in equities was largely offset elsewhere.  Considerable intra-month volatility has meant that sustained exposures have been harder to hold.

 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

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