Monthly Performance Update

RNS Number : 2861R

BlueCrest AllBlue Fund Ltd

18 August 2010

 



FOR IMMEDIATE RELEASE

18 August 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JULY 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 30 July 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6113	0.67%	1.47%	64.39%
Euro Shares	€1.5549	0.66%	1.45%	58.64%
US Dollar Shares	$1.5578	0.65%	1.40%	58.93%

*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 JULY 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

The month started off with markets focusing on European concerns and in particular the release of the European bank stress tests which provided some transparency into the major banks' capitalization. Although some reservations were expressed regarding the stress tests the markets reacted positively. July also saw a large number of second quarter earnings updates; with a significant number of firms surprising to the upside further adding to the rally in risky assets.

The performance this month was driven by the returns of BlueCrest Capital International and BlueCrest Emerging Markets. Within BlueCrest Capital International the Rates desk contributed the majority of the return with conditional steepeners in EUR being one of the key positions. The Fixed Income Relative Value desk also saw good returns with both EUR RV and USD RV performing well; in particular basis trading in USD was a strong contributor. The remaining Equity Derivative positions saw a strong recovery during July leaving it the third strongest performer within BlueCrest Capital International this month.

The Emerging Markets performance was driven mostly by positions in EM local interest rate markets, and to a lesser extent by the longs in EM sovereign credit. The EM FX contribution was lighter, in line with the funds current lower level of conviction on EM FX markets. The performance in Multi Strategy Credit was slightly negative with long short strategy delivering positive performance offset by the hedges and convexity strategy which were down on the month.  Mercantile experienced a fairly flat month with the positive performance in the Bank Basel II and Trade Credit Opportunities strategies offset by losses in the Commodities finance sub strategy.

Within the systematic strategies BlueTrend saw a positive month with performance driven by the fixed income sectors, particularly the short rates; Equities and Energies were relatively flat whilst the Metals and FX sectors were the main detractors of performance. The Margin to equity for the fund rose from 11.7% to 15.1% over the month. The high volatility in the equity markets at the beginning of the month presented numerous opportunities for BlueMatrix to take advantage of market dislocations, and this saw the fund post a strong performance for July of +2.05%. Meanwhile BlueCube found the conditions tough, with the Analyst Recommendations strategy performing strongly whilst the Mean Reversion and Value strategies were the biggest losers in July, BlueCube finished the month down -1.09%.

The allocation changes this month were relatively small with Multi Strategy Credit seeing a small increase and BlueCube and BlueMatrix seeing small decreases.

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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