Monthly Performance Review

RNS Number : 0904U

BlueCrest AllBlue Fund Ltd

15 December 2011

 



FOR IMMEDIATE RELEASE

15 December 2011

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR NOVEMBER 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 30 November were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6686	0.49%	0.65%	70.24%
Euro Shares	€1.6184	0.54%	0.84%	65.11%
US Dollar Shares	$1.6051	0.44%	0.54%	63.76%

*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 NOVEMBER 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

The majority of November was spent in "risk-off" mode as the continued lack of credible solutions to the Euro sovereign debt crisis left markets unsettled. Volatility remained high, as markets reacted to a sequence of news on political developments, economic releases and policy action.

In Europe, the severity of the crisis intensified. New ECB president Mario Draghi made a surprise 25bps rate cut and both the Greek and Italian prime ministers resigned so new leadership could try to implement tough austerity measures.  Market confidence in the Euro zone remained weak and Italian yields rose above 7% and Spanish yields above 6.5%.  US markets were highly correlated to developments in Europe, but also driven by their own deficit issues, particularly when the Super Committee failed to reach agreement late in the month.  Emerging markets remained hostage to the global uncertainty, although preliminary data indicated that inflows to EM recovered in November.  In Credit markets all major benchmarks widened considerably and consistently through the month, also reflecting reduced confidence in a credible resolution to the Euro zone crisis.   

Negative sentiment in the markets persisted until month end, when a number of positive catalysts led to a sharp rally in risky assets.  Triggers for the improvement included concerted action by the Fed and other central banks to reduce USD funding rates to European banks, Germany and France working on tighter fiscal union and better than expected 'Black Friday' sales in the US. The change of tone brought about a squeeze in risk assets which sent many equity and credit benchmarks back to the levels at which they had begun the month.

In commodity markets WTI crude surged above $100 / barrel mid-month, finishing the month up over 8%, whilst speculation of warmer-than-normal weather and high inventories helped drive down natural gas prices, which fell over 12% this month.  Base metals, including copper, tended to follow the prevailing market sentiment, with prices falling through the month before staging a rally into month end.  Agricultural markets fell, with corn down over 7%, on the back of concern that the European debt crisis may stall global growth.

Most funds contributed positively to the performance of AllBlue this month, with only Emerging Markets and Multi Strategy Credit detracting from the performance.

BlueCrest Capital International (Macro), which provided the largest contribution to AllBlue, continued to find attractive opportunities as volatility remained high in fixed income markets.  Positions expressing long volatility and funding pressure themes that drove the fund's returns.  The volatility views captured profits through successful gamma trading, allowing the team to monetise the higher levels of realised volatility.  Funding themes, expressed through various basis trades, added to the Rates desk's performance as basis continued to widen.  Tactical, short term trades, exploiting dislocations and anomalies across various yield curves also contributed to the performance.  Elsewhere the fixed income absolute return strategy saw profits from short positions in German government bonds and long positions in US and UK government bonds.  Relative Value trading also saw positive returns led by opportunities in Europe.

The contribution to AllBlue from BlueTrend (Systematic Trend Following) was similar in magnitude to BlueCrest Capital International.  The trend following strategy saw the largest returns coming from the energy and bond markets.  The risk-off sentiment that lasted most of the month favoured the fund's positioning (long fixed income markets and short equity markets), however the market's sharp switch to a more bullish stance towards the end of the month led to a retreat in performance; the equity sector for instance posted a negative contribution as a result of this rally, which left many equity indices back close to the levels at which they started the month.  Over the course of the month BlueTrend increased conviction in the trends it saw and added to the risk in most sectors.  Meanwhile in the other systematic strategy, BlueMatrix (Equity Statistical Arbitrage), the continued volatility and dispersion in equity markets presented mean-reversion opportunities which the fund was able to capture.  BlueMatrix saw profits in all geographic regions.

The Mercantile (Trade Finance) fund saw all sub-strategies post positive returns, with the Bank Basel II strategy, where trades are constructed to provide capital relief to commercial banks with large pools of trade finance transactions, posting the strongest performance.  The volatility in credit markets was beneficial to both the Bank Basel II and Trade Credit Opportunities strategies, as the CDS hedges made a positive capital contribution even as the assets, on the whole, held their value.

The Emerging Markets fund saw positive contributions from rates positions, specifically in CEEMEA, and also from FX positions; offsetting these were credit positions across all regions.    Whilst EM economies remain generally well supported by fundamentals they are still vulnerable to global conditions; liquidity in financial markets is likely to remain tight and therefore trading within Emerging Markets is likely to remain tactically focused.  Multi Strategy Credit saw positive returns from macro themes (such as the short Asia bias) and some specific idiosyncratic opportunities within the US mortgage sector offset by losses from positions in US High Yield credit issuers.

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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