Monthly Performance Review for September 2012

RNS Number : 0313P

BlueCrest AllBlue Fund Ltd

18 October 2012

 



FOR IMMEDIATE RELEASE

18 October 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 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 28 September 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7672	0.68%	2.92%	80.29%
Euro Shares	€1.7100	0.61%	2.75%	74.46%
US Dollar Shares	$1.6928	0.62%	2.76%	72.70%

*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  SEPTEMBER 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

Over the month, global economic growth remained a concern despite recent improvements at the margin in a few countries. The ECB, the FED and the BOJ all increased monetary and liquidity support making stimuli commitments that were open-ended in terms of size and duration. The FED, concerned about the employment picture, indicated that it considered changing the content of its forward policy guidance, to eliminate its time commitment to keep low interest rates until a future date, (e.g. mid-2015) to one based on the behaviour of economic conditions linked to the labour market and inflation. The ECB said that the Outright Monetary Transactions program (OMT) would provide interventions in secondary sovereign debt markets when countries requested a full bailout or an ECCL (Enhanced Conditions Credit Line) program from the ESM. However, the ECB gave the decision to request aid to the local governments and thus the timing of any intervention is uncertain. Additionally since Spain now has a backstop, it has no incentive to actually request the support and the government may try to muddle through with a high, but bearable, cost of funding. The financial markets' reaction to this 'global monetary flush' was decidedly positive but potentially the extent of the rally in 'risky assets' has moved too far ahead of the recent economic data.

Positive contributors to AllBlue's performance this month were BlueCrest Emerging Markets, BlueCrest Capital International, BlueCrest Multi Strategy Credit and to a small extent BlueTrend Alignment.   BlueCrest Mercantile and BlueMatrix detracted modestly from performance.

BlueCrest Emerging Markets performed well and the largest positive contributors were local market interest rate positions in CEMEA and Latin America respectively, with specific opportunities identified in Poland, Brazil and Columbia.  EM foreign exchange strategies, including those in Russian Ruble and Indonesian Rupee, as well as sovereign credit positions also provided positive return contributions.  Regionally, in aggregate across all asset classes, CEMEA was the largest contributor, followed closely by Latin America and Asia.

BlueCrest Capital International (Macro) continued to generate steady returns, primarily driven by the Rates strategy where yield curve and tactical directional trading were the main performance contributors.  The allocation to Alignment also delivered a significant contribution to returns.  Macro credit detracted from the fund performance as positive sentiment triggered moves against the team's short biased positions.  The remaining strategies within BCI all provided more marginal contributions to the funds return (both positive and negative).

BlueCrest Multi Strategy Credit generated gains, predominantly from US focused portfolios covering a range of strategies including those focused on corporate credit indices and ABS markets.  US High Yield trading, where the fund held a long bias in shorter-dated names, benefitted from the optimistic market sentiment.  Similarly, long biased ABS positions added to profits as overall valuations continued to improve following the FED's QE3 announcement.

Mercantile (Trade Finance) saw positive returns from the Basel II sub-strategy, however these were offset by losses within the Trade Credit Opportunities and Commodities Finance sub-strategies.

The two systematic strategies within the AllBlue portfolio both saw small returns; BlueTrend Alignment (Systematic Trend Following) experienced mixed performance contributions across the sectors traded, with positive contributions from equities, foreign exchange and short term interest rates partially offset by negative performance in the bonds, energies, crops and metals sectors;  Meanwhile BlueMatrix (Systematic Equity Market Neutral) saw positive performance from the European and Asian portfolios offset by negative performance from the US portfolios, leaving the strategy with a small loss for the month.

After extensive research work by the Systematic Trading Team it has been decided to extend and enhance the signal set from which BlueMatrix seeks to generate its returns.  Going forward the strategy will combine several return sources based upon technical, fundamental and other signal styles.

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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