Monthly Performance Update

RNS Number : 5353W
BlueCrest AllBlue Fund Ltd
19 November 2010
 



FOR IMMEDIATE RELEASE

 

19 November 2010

 

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR OCTOBER 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 ESTIMATED net asset values ("NAV") of the Company's Shares as at the close of business on 29 October 2010 were:-

 



Total Return

Last

Since


NAV*

Last Month

Quarter

Launch**

Sterling Shares

£1.6490

0.57%

2.44%

68.23%

Euro Shares

€1.5914

0.57%

2.44%

62.36%

US Dollar Shares

$1.5932

0.54%

2.38%

62.54%

 

*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 OCTOBER 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

October saw risk assets continue to rally with the S&P up 3.7% during the month. The main focus for the market was the upcoming QE2 programme announced by the Fed at the start of October. However, as we drew closer to the FOMC meeting due to take place in early November, the market became concerned over the format and extent of the programme, fearing it would be weaker than expected and causing risk assets to retreat from their mid month highs.

 

The performance this month was driven by the returns of BlueTrend, largely attributable to gains in Equities. Short Rates, Metals, FX and Crops also yielded positive returns whilst Bonds and Energies were small detractors. Margin to Equity for the strategy remained steady across the month, falling very slightly from 18.7% to 18.4%. Elsewhere, within the Systematic strategy, BlueCube enjoyed its second best MTD performance this year with the Mean Reversion and Value factors being significant contributors to performance. BlueMatrix made money during the month having switched from a marginal long bias to a marginal short bias over the month. BlueMatrix also saw the addition of portfolio's trading the Australian market.

 

Emerging Markets posted the strongest returns among the discretionary strategies particularly in local market rates exposures to Brazil and South Africa and LatAm sovereign credit as markets rallied following the death of the former Argentinean president whose wife, the current president, is now deemed unlikely to be re-elected. Markets faded as the month wore on and the concern regarding the extent of the Fed's QE programme and the weakness in US treasuries spread to EM investors

 

BlueCrest Capital International was down on the month with losses primarily driven by steepening positions held by the Rates desk as curves flattened. This was slightly offset by positive returns generated from delta hedging on our core long end volatility position.

 

Mercantile had a solid month with positive contributions from credit sub strategies with basis widening in the fund's Russia and Ukraine exposures. Overall, basis remained tight and the team took on some new single name assets. The Bank Basel II strategy performed solidly with no reported defaults in the underlying portfolios.

 

Performance in the Multi-Strategy Credit fund was relatively flat with bullish positions profiting at the start of October as risky assets and US credit markets rallied on expectations of the QE2 programme and then tailing off in the latter half of the month as concerns of a funding crisis in peripheral Europe grew.

 

The allocation changes this month saw BlueCrest Capital International, BlueMatrix and BlueCube decrease slightly with offsetting increases in BlueTrend and Emerging Markets.

 

AllBlue has been closed to new commitments as of September 1st 2010 as we continue to monitor capacity in the programme.

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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