Monthly Performance Review

RNS Number : 6299M

BlueCrest AllBlue Fund Ltd

18 August 2011

 



FOR IMMEDIATE RELEASE

18 August 2011

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JULY 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 29 July 2011 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6876	0.48%	-0.12%	72.17%
Euro Shares	€1.6331	0.54%	0.01%	66.61%
US Dollar Shares	$1.6259	0.44%	-0.23%	65.88%

*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 JULY 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

July was dominated with concerns over the Eurozone and US debt crises, along with a host of disappointing economic data raising fears around global growth prospects.  In Europe, although the authorities completed a second aid package for Greece and broadened the EFSF's mandate to stabilise markets, this was not enough to prevent contagion and spreads widened significantly in the larger member countries of Spain and Italy.  This pushed the crisis to a different level with potential systemic consequences.  Portugal and Ireland were downgraded to junk and Spain was placed on negative watch for a possible downgrade joining Italy.  In the US, as the deadline for a decision whether to raise the country's debt ceiling and avoid going into default approached progress of negotiations seemed slow, causing apprehension in the markets.

BlueTrend posted the largest positive contribution to performance in July.  BlueTrend showed strong performance as a number of trends were evident through the month.  The fixed income sectors performed well, with both bonds and short term interest rates benefitting from the fear in the market and the search for safe haven assets.  The main detractor from the performance was the equity sector, with European indices in particular seeing large falls.

Emerging Markets also made a positive contribution with the rates strategy producing most of the P&L and smaller contributions coming from FX and credit strategies.  With robust credit fundamentals as well as the technical support of investor flows, we expect EM to remain in a strong position to face global risks to growth and unstable credit markets.  That said, while EM has been so far resilient to bouts of risks aversion, such a benign situation may not hold indefinitely. 

Elsewhere, Mercantile gained during the month with the credit sub-strategies producing solid returns.  BlueMatrix also made a small positive contribution to AllBlue.

Multi Strategy Credit was the largest detractor to performance in AllBlue.  The strategic decision was taken to cut some legacy positions and while this has materially reduced the number of FAS 157 Level 3 assets in the fund, increasing its liquidity profile, the majority of the monthly loss came as result of this.

BlueCrest Capital International and BlueCube also made small negative contributions to the month's performance.  Risk levels in BlueCrest Capital International continued to remain low in response to a highly uncertain macro environment and losses from the Rates

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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