Monthly Performance Update

RNS Number : 6718I
BlueCrest AllBlue Fund Ltd
17 June 2011
 



FOR IMMEDIATE RELEASE

 

17 June 2011

 

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR MAY 2011

 

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 31 May 2011 were:-

 



Total Return

Last

Since


NAV*

Last Month

Quarter

Launch**

Sterling Shares

£1.6948

-0.66%

2.11%

72.91%

Euro Shares

€1.6384

-0.62%

2.16%

67.15%

US Dollar Shares

$1.6342

-0.71%

2.03%

66.73%

 

*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 2011

 

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

In May BlueCrest AllBlue Fund Limited posted an estimated monthly return of -0.66%, bringing the YTD performance to +2.91% (Sterling Class).

 

The general trend for risk assets over the month was to move lower. The month started with the CME continuing to raise the margin requirements on silver positions, announcing three increases in a little over a week, this followed the rapid rise in silver prices seen this year. News also emerged about the death of Al-Qaeda leader Osama Bin Laden triggering a reversal of the recent energy price moves. The moves in silver and crude formed part of a general retracement of commodity prices that saw the Goldman Sachs Commodity Index retreat over 10% in a week. Elsewhere continued uncertainty surrounding the Greek sovereign situation and the disbursement of EU/IMF funds and questions about global growth contributed to the overall risk-off sentiment.

 

The underlying funds within AllBlue experienced mixed results. The largest negative contribution came from BlueTrend, which had been successfully following the trends present in the commodity and equity sectors. However the sudden reversals in these sectors, as mentioned above, led to them posting a negative contribution for the month. The strong performance of BlueTrend's fixed income positions, which benefited from the risk-off sentiment was unfortunately not enough to offset the losses elsewhere. The strategy decreased its risk over the month with the energy and equity sectors experiencing the largest reductions.

 

Meanwhile the only positive contribution to AllBlue came from BlueCrest Capital International, with the Rates and Fixed Income Relative Value desks once again providing the main performance. The Rates desk continued to see strong positive P&L from long volatility positions monetising on the moves seen in the long end of the curve. The desk also benefited from steepening positions held in Europe and from tactical trading opportunities that presented themselves throughout the month. For the Fixed Income Relative Value desk the focus continues to be on curve trading and basis trading, with the European trading leading the way this month. The returns from other desks were relatively minor.

 

Across the other discretionary strategies we saw the Emerging Markets fund experience losses in CEMEA through rates, credit and FX trading, these were partially offset by positive returns from rates trading in Latin America. The common concerns for all EM central banks continue to be high commodity prices and the sovereign credit crisis in Europe. The Multi Strategy Credit fund kept its focus on the long / short trading strategies and saw their US positions remain flat on the month whilst they experienced some losses in Europe. The Mercantile fund saw modest positive contributions from the trade credit opportunities and Basel II sub-strategies , however, these were offset by losses in the commodity finance sub-strategy.

 

BlueMatrix started the month with a small net short bias following April's rally and as the month progressed this switched to a small long bias before finishing the month relatively neutral. Within BlueCube the strongest contribution came from the Capital Dynamics Strategy with the Value strategy posting the weakest performance.

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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