Monthly performance review for May 2012

RNS Number : 8339G

BlueCrest AllBlue Fund Ltd

03 July 2012

 



FOR IMMEDIATE RELEASE

3 July 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR MAY 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 31 May 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7250	0.49%	0.89%	75.99%
Euro Shares	€1.6726	0.47%	0.87%	70.64%
US Dollar Shares	$1.6555	0.46%	0.77%	68.90%

*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 31 MAY 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

During May, the condition of global markets continued to deteriorate, as most leading indicators of economic activity weakened beyond expectations, particularly in the Euro area. The US economy grew at a slow pace during the first quarter and job generation seemed to falter. China's economy also slowed further and the central bank responded by lowering reserve requirements. In Europe, Spain's banking problems combined with Greece's inability to form a government intensified concerns on the Eurozone.  Risk aversion increased over the month, resulting in significant equity market falls, new lows in US treasury yields which rallied by more than 40bps and a sharply stronger USD (Dollar Index rose by more than +5%).

The Eurozone continued to languish as Spain launched a second bank provisioning effort and recognised a capitalization shortfall in Bankia equivalent to nearly 2% of GDP.  On the political front, the forthcoming elections in Greece are seen as a significant risk to the stability of Europe.  If the leftist party, Syriza, is able to form a government, then a chain reaction of events could follow that may result in the eventual exit of Greece from the Euro.  As concerns of potential contagion escalated, European leaders became ever more polarized about solutions proposed, such as the issuance of Eurobonds, further weakening investor confidence.

The largest contributor to AllBlue's performance this month was BlueCrest Multi Strategy Credit, with significant positive contributions also being made by BlueTrend Alignment and BlueCrest Capital International.  BlueCrest Emerging Markets performance was flat over the month, whereas BlueCrest Mercantile and BlueMatrix both provided small negative contributions to AllBlue's performance.

BlueCrest Multi Strategy Credit profits in May were driven by a range of strategies, across global markets, as short positions in US Credit indices, European corporates and Asian sovereigns all made significant contributions.  In the US, technical factors that had led to price dislocations in certain credit indices reversed over the month, providing further gains.  The deteriorating situation in Europe impacted both sovereign spreads and local corporates, although the short corporate positions were more profitable for the portfolio than the sovereign relative value strategy, which was broadly flat on the month.   The long-held theme of a negative view on China, expressed across a number of positions in Asia, benefited as concerns spread on the negative impact of European weakness on other regions coupled with indicators signalling that the global economy is slowing.

Within the BlueTrend (Systematic Trend Following) strategy, most of the sectors traded generated positive performance contributions this month, with only the equity and energy sectors detracting from performance.  The fund's long bias in fixed income markets saw both the bond and short term interest rate sectors deliver strong returns; the bond sector contained the three top performing positions (Gilts, Bunds and US long bonds) as the continuing financial crisis pushed yields ever lower, reaching record levels in several countries.  The fund's long positions in most of the energy markets detracted from returns as prices fell, resulting in negative performance for the sector overall.

The returns of BlueCrest Capital International (Macro) were driven by a number of strategies within the Rates desk, which benefitted from the volatility seen in fixed income markets as well as dislocations to yield curves.  Directional positioning within the fund benefitted as yields reduced over the month; dislocations in yield curves presented the team with short term tactical trading opportunities that were profitable as these anomalies corrected themselves; the long volatility positions benefitted as implied volatility increased, particularly in Europe and the team were able to capitalise on the movements in rates through gamma trading.  Alignment, the fixed income absolute return strategy, used to manage some of what would otherwise be unencumbered cash within BCI, saw significant gains from rates positions. 

Return contributions to AllBlue from the remaining three strategies were relatively small.  BlueMatrix saw positive contributions from its European and Asian portfolios offset by losses from the US portfolios, resulting in a small negative contribution to AllBlue.  BlueCrest Emerging Markets was relatively flat for the month with positive contributions from currency and credit positions being offset by weaker performance of rates positions in Europe and Asia.  Finally, BlueCrest Mercantile (Trade Finance) made positive returns from the credit sub-strategies, but losses were incurred in the Commodities Finance sub-strategy that resulted in negative performance overall.

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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