Monthly Performance Review

RNS Number : 6667O

BlueCrest AllBlue Fund Ltd

21 September 2011

 



FOR IMMEDIATE RELEASE

21 September 2011

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR AUGUST 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 August 2011 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6829	-0.27%	-0.12%	71.69%
Euro Shares	€1.6295	-0.21%	0.01%	66.25%
US Dollar Shares	$1.6207	-0.31%	-0.23%	65.35%

*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 AUGUST 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's sentiment of risk aversion continued into August, although at heightened levels.  Lack of confidence in policy makers worldwide and concerns over the US and Eurozone sovereign debt crises caused global equity markets to fall heavily and saw investors pile into the safe haven assets of bonds, gold and certain currencies such as CHF and JPY.  The month started with ratings agency Standard and Poors downgrading their rating on US sovereign debt, citing that the spending cuts proposed by the senate were not sufficient for it to retain its AAA status.  Meanwhile in Europe, the sovereign debt fears spread to Italy, Spain and France, triggering the ECB to restart and broaden its securities markets program (SMP) to include Italy and Spain.  Economic data from Germany raised further concerns for Europe, as second quarter GDP showed the economy had expanded just 0.1%, lower than expected; data from the US also remained sluggish causing concerns over recession and a slowdown in global growth.

BlueCrest Multi Strategy Credit posted the largest contribution to AllBlue this month, having been expressing a bearish stance on the market for some time, this view most notably expressed in the Asia-Pacific region.  At the same time the fund has positioned defensively with regard to the evolving sovereign and banking crisis in Europe.

BlueCrest Capital International (Macro) saw most desks perform well led by the Rates desk that benefitted as heightened volatility in the fixed income markets allowed them to monetise their long volatility exposure through delta hedging of the position.  Elsewhere within the fund, the Fixed Income Relative Value desk saw profits across each of its three core markets, and the Fixed Income Absolute Return desk benefitted from their overweight positions in selective government bond markets, notably the US, UK, Australia and New Zealand.  These gains were partially offset by losses from the Equity Derivatives desk, after markets reassessed their views on future corporate growth and future dividends.

BlueTrend (Systematic Trend Following) was the largest detractor from performance this month, as reversals occurred across many markets.  The funds long positions in the energy and equity sector suffered as markets fell, for example WTI fell over 7.5% and the EuroStoxx Index fell by just under 14%.  These losses were partially offset by gains from the fixed income sectors, which benefitted from the flight to safe haven assets.

BlueMatrix (Equity Statistical Arbitrage) and BlueCube (Equity Long / Short) both experienced losses in August as they were caught by the heightened volatility seen at the beginning of the month.  BlueCrest Mercantile (Trade Finance) and BlueCrest Emerging Markets also made small negative contributions to the return for the month.

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

E&OE - in transmission

 

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