Monthly Performance Update

RNS Number : 5997Y

BlueCrest AllBlue Fund Ltd

24 December 2010

 



FOR IMMEDIATE RELEASE

24 December 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR NOVEMBER 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 FINAL net asset values ("NAV") of the Company's Shares as at the close of business on 30 November 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6308	1.09%	2.44%	66.38%
Euro Shares	€1.5742	1.07%	2.44%	60.60%
US Dollar Shares	$1.5752	1.12%	2.38%	60.71%

*The figures are based on the final 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 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 AllBlue posted an estimated monthly return of -1.07%, bringing the YTD performance to +6.17% (Class B USD).

November was an eventful month, starting with the FOMC meeting and the QE2 announcement which caused the equity markets to rally strongly with the S&P and FTSE hitting levels not seen since before the start of the financial crisis. As the month progressed attention turned once again to European sovereign debt, with two main stories. Firstly, the decline in market confidence in the Irish sovereign situation and the ECB's subsequent 85 billion EUR rescue package. Secondly, the news that Germany is not committing to an extension of the European Financial Stability Fund at its 2013 maturity and the passage through German parliament of its version of the special resolution regime to deal with failing banks.

This month BlueCrest Capital International provided a positive contribution to AllBlue. Interest rate markets were extremely active in November which created many opportunities for our core rates traders. Elsewhere in BlueCrest Capital International, the fixed income absolute return strategies lost money as they suffered from rises in nominal yields in Australia and from real yields in the UK. It was an unexpectedly difficult month for the Emerging Markets asset class as shown by the 3.18% loss for the JP Morgan EMBI Global and the 4.65% loss for JP Morgan GBI EM Global Diversified.

The European sovereign stress continued to be the dominant feature in the credit landscape this month, and formed a challenging back drop for the Multi Strategy Credit fund. The loss of market confidence and subsequent bailout package of the Irish sovereign caused Irish bank Lower Tier 2 to suffer badly, additionally the news out of Germany put pressure on the credit markets. The lack of risk taking appetite into year end saw contagion quickly spread to the broader Investment Grade and High Yield sectors. The long-short strategy accounted for most of the negative performance for the month. On a similar note the Mercantile fund delivered a negative return in November, as strong positive returns from the credit sub-strategies were eroded by significant negative performance in the commodities finance sub-strategy.

Within the systematic strategies BlueTrend saw its margin to equity fall from 18.4% at the end of October to 13.6% at the end of November.  BlueTrend's losses in November came mainly from the fixed income sectors, where bonds and short interest rates lost money. The FX and Crops sectors also made negative contributions, whilst Equities, Energies and Metals all finished positive on the month. BlueMatrix started the month with a small net short position, which was extended as the markets rallied before turning around to finish the month with a small long bias. Finally BlueCube saw positive contributions from the Momentum strategy being offset by negative contributions from the Value and Mean Reversion strategies, the Capital Dynamics and Analyst Estimate strategies were flat on 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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