Monthly Performance Update

RNS Number : 4363B

BlueCrest AllBlue Fund Ltd

16 April 2012

 



FOR IMMEDIATE RELEASE

16 April 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR MARCH 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.

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 March 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6984	-0.50%	-0.43%	73.28%
Euro Shares	€1.6477	-0.52%	-0.29%	68.10%
US Dollar Shares	$1.6312	-0.54%	-0.54%	66.42%

*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 MARCH 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

The month began on a slightly risk-off tone following reports that the European economy contracted in the last quarter of 2011 and as uncertainty grew over the success of the previously agreed Greek bond swap deal.  However, by mid-month sentiment turned as a result of a Federal Open Market Committee (FOMC) statement which transmitted a more upbeat assessment of the US economy and omitted any reference to the need for further monetary stimulus; in addition data showed improvements in the US labour market. 

The optimism about the US outlook pushed stocks higher and induced a significant rotation away from treasuries which sold off to levels not seen since October of last year (intra-month the 10 year US Treasury yield moved from a low of 1.94% on 6th March to a high of 2.38% on 19th March, corresponding to a -3.8% fall in the bond price).  The upward move in treasury yields abated once the FED chairman tempered the market optimism by indicating that the predominantly cyclical nature of unemployment probably required the support of monetary policy to achieve further reductions.

In Europe, Greece's debt swap deal finally closed and financial market conditions continued to stabilize given the support from previous Long Term Refinancing Operations (LTRO) and Mario Draghi's indication that a third LTRO was possible.  However, the severity of economic challenges ahead were highlighted by Spain's announcement that it would not meet its 2012 deficit target thus calling into question the strength of the EU fiscal compact.

Credit moved gradually tighter early in the month, then widening in the later part of the month, resulting in spreads ending the month approximately flat in US investment grade, but moderately wider in European cross-over given recurring concerns on the weaker economies there.   However, the VIX equity volatility index did not show a reaction to the mid-month Treasury move and after declining at the start of the month, remained at relatively low levels between 14-16% until month end.

AllBlue saw positive contributions from BlueCrest Capital International, BlueCrest Multi Strategy Credit and Mercantile; whilst the main detractor from performance was the allocation to BlueTrend.

Within the BlueTrend (Systematic Trend Following) strategy it was the long positions in fixed income markets (bonds and short term interest rates) that were responsible for the majority of the losses.  As mentioned above, bond markets experienced a sudden sharp jump in yields towards the middle of the month driven primarily by the more optimistic outlook for the US; this move was against the prevailing trend of lower yields.

BlueCrest Capital International (Macro) saw all desks provide a positive contribution with the Rates and RV desk having the greatest impact, followed by the Equity Derivatives desk.  Within the Rates and RV desk, the majority of profits were captured from curve trading strategies, with relative value and volatility strategies also contributing to performance. The curve trades maintained an overall bias to a steepening in curves, modestly positioned to be short fixed income, which benefited from the significant rates sell off mid-month. Equity Derivatives performance came as several volatility strategies were successfully traded through the month, including relative value in the VIX and between single stock and index volatility.

It was a strong month of performance for BlueCrest Multi Strategy Credit as many trading strategies contributed to the gains, including European sovereign RV trades which benefited from widening spreads in peripheral countries; US High Yield single name trades and tactical European index trading strategies. BlueCrest Mercantile (Trade Finance) saw all sub-strategies providing a positive contribution as in general the market traded in a much better 'relative value' context, and specifically the Trade Credit Opportunities strategy (single name trade finance transactions) was profitable due to tactical trading which resulted in it being the best performing area.

The Emerging Market fund saw the positive contributions from sovereign credit positions, whilst local market interest rates and FX detracted from performance; regionally CEEMEA was the largest regional contributor.  BlueMatrix (Equity Statistical Arbitrage) posted a negative return for the month as regional stock indices saw higher levels of correlation between their constituents.

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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