Net Asset Values
Close AllBlue Fund Limited
07 April 2008
FOR IMMEDIATE RELEASE
7 April 2008
CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')
MONTHLY PERFORMANCE REVIEW FOR JANUARY 2008
INVESTMENT OBJECTIVE
Close 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 seven diversified strategies
managed by BlueCrest Capital Management L.P. and managers with close links to
BlueCrest. These include the BlueCrest flagship fund with a mixed arbitrage
strategy (BlueCrest Capital International Limited), an equity long/short fund
(BlueCrest Equity Fund Limited), an emerging markets macro strategy fund
(BlueCrest Emerging Markets Fund Limited) and a systematic trading process fund
(BlueTrend Fund Limited).
The net asset values ('NAV') of the Company's Shares as at the close of business
on 31 January 2008 were:-
Total Return Last Since
NAV Last Month Quarter Launch**
Sterling Shares £1.1528 3.19% -1.68% 17.61%
US Dollar Shares $1.1491 3.08% -2.14% 17.23%
Euro Shares €1.1208 3.06% -1.84% 14.34%
*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 JANUARY 2008
The following portfolio performance report for AllBlue Limited has been provided
to the Company by BlueCrest Capital Management Limited. 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
Investments in: % of Capital % cash free by * % Return ** Weighted Return%
Sector
Mixed Arb 31 54 2.04 0.61
Systematic 25 90 9.91 2.39
BlueMatrix 4 88 2.19 0.09
Low Beta 1 92 8.53 0.08
Emerging
Markets 18 38 -2.15 -0.37
Credit Arb 8 34 3.65 0.27
WestHarbor 6 0 -2.70 -0.15
Mercantile
(Trade
Finance) 5 22 1.37 0.06
Credit RV 4 58 4.54 0.18
Total 100 3.17
*estimated return
**Figures based on estimated weighted return
Estimated January
AllBlue made a strong start to the new year, achieving an estimated MTD return
of +3.11%. The majority of underlying funds experienced positive returns, and
the strongest positive performance attributions came from Systematic, Multi
Strategy Credit and Mixed Arbitrage.
Mixed Arbitrage returns for January were +2.07%. Equity Derivatives, Relative
Value and FX Volatility Arbitrage were the major contributors to returns,
although Mercantile and Rates also made positive returns. In Equity Derivatives,
the team was positioned delta short at the start of the month via puts on
indices and single names; in RV, money was made on options on US curve
steepeners, while the FX team continued to see great opportunities for their
strategies in skew and gamma markets.
BlueTrend had a record positive month since inception, finishing January at
9.98%. The key to this was correct positioning during the Christmas period which
enabled the model to take full advantage of the early January moves. By the end
of the first week of January, BlueTrend was up nearly 6% gross, with the
majority of P&L being made in interest rates and FX. By the end of the month the
dollar had regained some ground and left the interest rate sector as the clear
winner for January. Margin to Equity during the month was 12.1.
BlueMatrix returned +2.06% on the month. The increase in volatility and market
uncertainty during January was highly beneficial to the model and was reflected
in the strong return.
The BlueCrest Multi Strategy Credit Fund had a strong opening month to the year,
with returns of +4.54%. The team made money on options positions in credit and
equity indices, as well as on credit curve flatteners in Europe.
The market environment for EM in January was very negative. The MSCI was down
-12.5%. The release of bearish data in the US created a fast de-leveraging which
resulted in a downward re-pricing of some 7-8% in most equity indices over just
two sessions. The Equity book was hit, particularly some mid-cap Brazilian
stocks that became more illiquid as the meltdown accelerated, but due to the
good performance of the FX book, we managed to limit losses. The fund finished
January at -2.15%. The team remains cautious, buying protection and keeping
their trading short-term and in very liquid instruments. The traders have
lowered the risk profile of the fund and aim to maintain a highly liquid
portfolio, allowing them the flexibility to both quickly unwind positions and
seize market opportunities.
WestHarbor had a difficult month, declining -2.62% as market and sector hedges
struggled to protect the fund from massive sector volatility. The team had a
number of stocks underperforming in the month, mainly as a result of negative
sentiment in the retail, banking, auto and industrial sectors. With the market
continuing to be very volatile, the traders will increase their focus on
defensive plays but remain optimistic that the current environment will reveal
good investment opportunities.
Disclaimer:
This publication is issued by Close 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 Limited and the Company is not
responsible for, nor does it warrant, the accuracy of such information. Although
BlueCrest Capital Management Limited 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 Close AllBlue Fund Limited may be found on
the Company's website at www.closeallbluefund.com.
For further Company shareholder information about investing in the Company
contact: Richard Killingbeck or Roland Kitson of Close Investments Limited, the
Shareholder Liaison Agent, Tel: London 020 7426 4000.
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
Company Secretary.
Tel: Guernsey 01481 722260
END OF ANNOUNCEMENT
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