Monthly Performance Review

RNS Number : 8763V

BlueCrest AllBlue Fund Ltd

18 January 2013

 



FOR IMMEDIATE RELEASE

18 January 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR DECEMBER 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 31 December 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7932	1.08%	2.89%	82.95%
Euro Shares	€1.7301	0.97%	2.72%	76.51%
US Dollar Shares	$1.7133	0.98%	2.74%	74.79%

*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 DECEMBER 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

December's market performance continued to reflect cautious expectations of an improving economic outlook, leading to modest gains in equities and credit and a decline in volatility.  Although the US economy continues to grow below trend with uninspiring employment figures, deleveraging appears less severe and the housing market is improving. The 'Fiscal Cliff' negotiations ended with a stripped down agreement, with the resolution of many issues being postponed until the end of February, thus prolonging market uncertainty. The Fed also launched unlimited quantitative easing (QE) earlier than expected and established unemployment and inflation thresholds as guideposts for future policy decisions, leading the bond market to reassess the potential timing of rate hikes.   The European economy continued to languish and the ECB indicated that rate cuts could be made if conditions deteriorate further.

The most significant market moves over the month were seen in Japan, where the new Prime Minister's commitment to end deflation through currency depreciation has led to substantial moves in JPY, weakening by 5% vs. USD, and saw the Nikkei up +10.1%.  Other equity markets showed more modest gains, with the EuroStoxx +2.4% and the S&P 500 +0.7%.  Corporate Credit spreads saw modest tightening; the European and US Investment Grade indices' spreads moved 6bps and 4bps tighter respectively.  10 year government bond yields in the US and UK rose modestly, by 14bps and 5bps respectively, but in Germany, 10 year yields declined by 7bps after expectations rose for interest rate cuts.  Currencies were relatively muted over the month, with the exception of JPY, as the USD Index fell by 0.5% and EUR/USD rose by 1.6%.  Commodities again delivered mixed performance across markets;   Gold declined 2.2% whereas Copper was broadly flat, within the energy complex WTI Crude rose 2.6%, whilst Natural Gas fell 5.8% and in Agriculturals, Corn and Wheat were down 7.2% and 9.9% respectively.

All underlying funds provided a positive contribution to AllBlue's performance this month.

BlueCrest Emerging Markets had a good month with performance driven by sovereign credit and local rates, followed by foreign exchange strategies. Regionally, positions in CEMEA were the largest contributors to performance, including longs in Russia and Greece, followed closely by Latin America, including longs in Brazil and Venezuela. Asian FX strategies were also profitable.

BlueCrest Multi Strategy Credit portfolio performed well due to trading profits from both the US and European books.  Successful US strategies included long positions in short-dated US High Yield corporate credits and from relative value positions across US ABS indices.  European positions, including relative value strategies in credit options and short-biased positions in single name corporates, also performed well.

BlueTrend Alignment (Systematic Trend Following) experienced mixed performance contributions across the sectors traded. In December, positive contributions came from the equity and FX sectors, whilst the fixed income and commodity sectors detracted from returns.  The rebound in equity markets at year-end driven by the US Fiscal Cliff deal, benefitted BlueTrend's net long position in the sector. In currencies, although the move in USD, as measured by the Dollar Index, was relatively modest, some specific markets including JPY, presented opportunities for the strategy.  The fixed income sectors, both bonds and short term interest rates, detracted from returns as in general bond prices fell (yields rose) impacting the long positions held by the fund. 

BlueCrest Capital International's (Macro) performance was predominantly driven by the Rates desk, from successful yield curve trades, capturing the relative movement in yields across different maturities.  This month, the US markets offered particularly good opportunities for this sub-strategy.  Volatility trading strategies were a modest detractor from performance as implied volatility levels fell over the month. Relative Value trading, including swap yield curve positions, also added to performance with profits from both the US and European markets.  The Macro Credit, Cross Asset Convexity and Alignment allocations made more limited contributions over the month. 

BlueCrest Mercantile (Trade Finance) saw positive returns across all sub-strategies, with the greatest gains from Bank Basel II, followed by Trade Credit Opportunities and Commodities Finance trades.

The positive performance of BlueMatrix (Systematic Equity Market Neutral) was driven by the US portfolios where several signals proved to be effective, whereas the European and Asian portfolios were broadly flat.

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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