Monthly Performance Update

RNS Number : 6985N

BlueCrest AllBlue Fund Ltd

16 June 2010

 



FOR IMMEDIATE RELEASE

16 June 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR MAY 2010

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 net asset values ("NAV") of the Company's Shares as at the close of business on 31 May 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.5882	-1.16%	3.61%	62.03%
Euro Shares	€1.5327	-1.17%	3.65%	56.37%
US Dollar Shares	$1.5361	-1.18%	3.53%	56.72%

*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 MAY 2010

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

This month saw some violent moves in the world's financial markets and saw AllBlue suffer its first down month since September 2008.

The beginning of the month saw fears of default on European sovereign debt reaching new highs, and was coupled with the "flash crash" that hit the US equity markets on the May 6th 2010 where the S&P 500 dropped 9.5% in one session. These caused a wave of risk aversion and violent reversals in the markets which hit the positions held by BlueTrend on the back of some long established trends. BlueTrend finished the month -8.25% after the reversals caused losses in a number of sectors. The sectors hardest hit were energies, where WTI dropped over $22/barrel, and equities, where the Dow Jones Industrial Average was down 7%, these led to losses of approximately -7.07% and -4.78% in these sectors. The losses were only partially offset by the fixed income positions which provided a contribution of 3.73%. The BlueTrend program has responded as expected in a period of sharp reversals and heightened volatility and has cut the risk being placed in the markets, the Margin to Equity has fallen from 17.0 to 7.6 bringing it to the lowest levels seen this year.

Elsewhere in the systematic strategies, BlueMatrix profited from the high levels of volatility and the sharp dislocations in the market producing a positive performance of +3.99%. BlueCube struggled as the mean reversion and value strategies delivered negative returns, these were partly offset by the positive returns from the revisions and recommendations strategy.

Within the discretionary trading strategies the returns were held in a fairly tight range as the traders reduced risk and looked to take opportunistic positions as they arose.

BlueCrest Capital International saw profits within the Rates desk being offset by losses from the FX Volatility and Equity Derivatives desks, leaving the fund -0.13% for the month. The Rates desk had profited from long positions in EUR and USD curves, as well as a number of short term tactical trading opportunities that arose during the month. The FX Volatility desk suffered losses from long vega positions in USD-CHF against short vega positions in other currency pairs, whilst the Equity Derivatives desk took loses in their dividend trading and their dispersion trades.

Emerging Markets was effectively flat in May returning 0.04%. The fund's long-short and tactical trades mostly broke even, EUR vs EM trades and credit short positions did well, however the losses from long positions in local EM fixed income offset most of these gains. Multi-Strategy Credit finished the month -0.77% as it found the tighter liquidity in some of the markets caused losses in the Long Short strategy as the long cash positions underperformed CDS hedges, offsetting this loss were gains from the volatility and index arbitrage strategies. And finally, Mercantile finished the month -0.03%, with the Bank Basel II strategy performing well as the hedges outperformed the trade finance assets, whilst the Trade Credit Opportunities strategy experienced losses as we saw basis widening in Russia and Ukraine in particular.

During May BlueCrest had the pleasure to welcome a number of new portfolio managers to the firm including Dario Villani, Kharen Musaelian and Stephen Waugh for the Multi-Strategy Credit fund; Daniel Kajiya for the Emerging Markets fund and David Curtin on the Rates team for BlueCrest Capital International.

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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