Monthly Performance Review

RNS Number : 3903S

BlueCrest AllBlue Fund Ltd

18 November 2011

 



FOR IMMEDIATE RELEASE

18 November 2011

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR OCTOBER 2011

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.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 October 2011 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6609	-1.76%	0.65%	69.45%
Euro Shares	€1.6100	-1.71%	0.84%	64.26%
US Dollar Shares	$1.5983	-1.79%	0.54%	63.07%

*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 OCTOBER 2011

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

In October AllBlue posted an estimated monthly return of -1.76%, bringing the YTD performance to +0.85% (Class A GBP). The market's performance in October was driven by prevailing optimism of a resolution to the European debt crisis, which led to

significant gains in 'risky assets'. However, there were considerable swings in sentiment throughout the month, triggered in part by uncertainties around Greece's ability to implement austerity measures, bank recapitalization plans and delays by European leaders in critical EU crisis meetings. These events led to sharp market reversals and high volatility.

One of the most striking market reversals came on the 31st of October, driven by the news that Greek Prime Minister, George Papandreou, proposed a public referendum in order to accept the EU bail out conditions. This surprise, combined with news of the MF Global bankruptcy and doubts on China's willingness to fund the E.F.S.F. led to a sharp decline in risky assets and flight to core government bonds. Also on the 31st, the Bank of Japan intervened in currency markets causing the largest slide in the Yen in three years, as USD-JPY leapt from 75.8 to 79.5 before settling back to 78.2.

As an illustration of the magnitude of moves, in currency markets the US dollar, as observed through the trade weighted index, fell heavily losing around 3% over October (the peak to trough range was about 6%); whilst commodity markets saw significant increases with WTI crude, Copper and Corn up over 17%, 15% and 9% respectively. The S&P500 rose by more than 10%.

This month the largest contribution came from Mercantile (Trade Finance), where the positive returns from the credit sub-strategies (Bank Basel II and Trade Credit Opportunities) were augmented by strong returns from the Commodity Finance sub -strategy where bids were received for one of the assets.

BlueCrest Capital International (Global Macro) saw a strong contribution from the Rates desk, which was able to benefit from the heightened volatility in fixed income markets and also the increasing concerns over funding issues in Europe. In addition a number of tactical trading opportunities presented themselves as the FOMC implemented "Operation Twist" and as further QE was announced in the UK. The Relative Value desk made money across all of its core markets, with trading related to the expiry of futures contracts being the most successful sub-strategy. Meanwhile, the Equity Derivatives desk gave back some of the gains from September as equity markets surged over the month.

Multi Strategy Credit, experienced losses as the short‐bias positions that performed well in September, reversed in October. There were also some losses on value-driven relative value positions that suffered in the low liquidity environment. It was also credit related positions that detracted from the performance of the Emerging Markets fund, the losses from these positions were partially offset by gains from local market interest rate positions in Asia as well as performance of the FX strategies.

Within the systematic strategies, BlueTrend (Systematic Trend Following) experienced a challenging month as the broad market reversals moved against the established positions of the fund. The fund saw loses coming from all sectors, and over the course of the month reduced risk in the equity sector whilst adding to the energy and FX sectors. The equity markets in October saw correlation between stocks reduce, whilst volatility levels remained high. This environment created many trading opportunities for BlueMatrix (Equity Statistical Arbitrage), which was able to capitalise on the market volatility and generated profits across all regions.

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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