MONTHLY PERFORMANCE REVIEW FOR JUNE 2012

RNS Number : 9880H

BlueCrest AllBlue Fund Ltd

18 July 2012

 



FOR IMMEDIATE RELEASE

18 July 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JUNE 2012

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.

As announced on the 26 March 2012 the Company redeemed a portion of its investment in each share class of AllBlue (on a pro rata basis) on 1 April 2012 in order to generate a cash reserve (the "Cash Reserve") for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged Feeder Limited ("AllBlue Leveraged"). AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of 50 per cent of its net asset value, giving investment exposure which is 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

The effect of these arrangements is that the Company's aggregate investment exposure to AllBlue remains broadly the same whilst providing access to more immediate liquidity. 

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 ESTIMATED net asset values ("NAV") of the Company's Shares as at the close of business on 29 June 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7159	-0.56%	0.89%	75.06%
Euro Shares	€1.6632	-0.59%	0.87%	69.69%
US Dollar Shares	$1.6462	-0.59%	0.77%	67.95%

*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 JUNE 2012

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

Early in June investor sentiment continued to deteriorate as economic activity showed more widespread signs of weakness, although late in the month markets recovered sharply as a seemingly constructive outcome in terms of future EU policy and governance from the Euro Summit delivered a positive surprise.

During the month, the financial crisis in the Eurozone remained the main concern.  Spain, which suffered severe ratings downgrades, was forced to request financial assistance to shore up its banking system, whereas in Greece, the results of the election were satisfactory for the markets as the left-wing Syriza party did not gain sufficient ground to risk destabilising the existing fiscal austerity agreements.  Outside of Europe, central banks started to react to weak data with the US Federal Reserve extending its "operation twist" to year end and the Chinese central bank cutting interest rates for the first time since December 2008. 

At month-end, the Euro Summit resulted in an agreement that bank recapitalisations would be made directly from the European Stability Mechanism (ESM) and the region would look to move forward with a banking union, leading to a broad risk-on rally in financial markets.  However, a functioning banking union would require substantial changes, therefore, while reforms seem to be moving in the right direction, it remains to be seen whether they can be implemented quickly enough to reduce sovereign risk premia to affordable levels.

The largest contributor to AllBlue's performance this month was BlueCrest Multi Strategy Credit, with a positive contribution also made by BlueCrest Mercantile.  The contribution from BlueMatrix was flat for the month, whereas BlueTrend, BlueCrest Capital International and BlueCrest Emerging Markets provided negative contributions to AllBlue's performance.

BlueCrest Multi Strategy Credit's profits in June were driven by a range of strategies, across global markets.  The US positions were the strongest contributors, as certain US CDX indices that were identified as mis-priced versus peer indices and the underlying constituents, continued to revert to fair value and be profitable.  Directional trading with a long bias, across US index positions and corporate credits, was also profitable as spreads tightened towards month end.  The rally in European sovereign credit detracted modestly from performance, as the portfolio maintains a modest short position in the region, given the negative view on the fundamental credit quality of a number of the countries and major corporations. 

In BlueCrest Mercantile (Trade Finance) all sub-strategies had steady positive performance during the month.  Trade finance and loan spreads mildly lagged the tightening in CDS spreads, moving the basis slightly lower over the month, however the specific selection of credits in the portfolio outperformed the broader market, leading to positive performance in the Trade Credit Opportunities and Bank Basel II sub-strategies.  The Commodities Finance sub-strategy benefitted from a recovery in the share prices of positions in Australian small-cap mining companies.

Following the reversal of a number of recent price trends, the BlueTrend strategy (Systematic Trend Following) experienced negative performance contributions this month from most of the sectors traded, with the short term interest rate sector providing the only positive contribution.  The FX and Bonds sectors were the largest detractors from performance. 

The returns of BlueCrest Capital International (Macro) were driven by the Rates strategy, which incurred negative performance.  Within the Rates desk, although profits were made from a variety of yield curve strategies, as well as tactical directional positions, volatility positions incurred mark to market losses which resulted in negative performance overall.  Alignment, the fixed income absolute return strategy, saw significant gains from credit positions.  Other strategies delivered mixed results, with a positive contribution from Equity Derivatives, whereas Macro Credit, Cross Asset and Venture Finance detracted modestly from returns.

Return contributions to AllBlue from the remaining two strategies were relatively small.  BlueMatrix (Equity Statistical Arbitrage) saw positive contributions from its European and Asian portfolios offset by losses from the US portfolios, whilst  BlueCrest Emerging Markets experienced positive contributions from rates positions in Europe and Latin America being offset by losses primarily from FX positions.

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 Jefferies Hoare Govett on Tel: London 020 7029 8687.

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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