Performance Update

RNS Number : 9203X

BlueCrest AllBlue Fund Ltd

24 August 2009

 



FOR IMMEDIATE RELEASE

24 August 2009

BLUECREST ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR JULY 2009

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.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 30 July 2009 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.3986	2.06%	3.62%	42.69%
Euro Shares	€1.3488	2.03%	3.66%	37.61%
US Dollar Shares	$1.3555	2.08%	3.54%	38.29%

*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 2009

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

AllBlue had another impressive month in July. Nearly all of the underlying funds posted positive performance, with Emerging Markets and BlueCrest Capital International returning over 3%.

BlueCrest Capital International returned +4.30%. This strong performance was primarily led by Rates, with positive contributions also from RV and FX trading. Within the Rates team, key positions driving this strong performance were mainly in volatility and curve trades in Europe. The volatility book benefitted significantly from the richening of the middle of the curve (5yr5yr and 5y10yr) where we are long. Also, our long short-term rates positioning in Europe and UK have benefitted from the decline in rates across most maturities while the European Libor basis widened in the forward space (3s6s), typically out of 1 to 2 year forward start dates.

BlueTrend's performance improved in July, up 0.90%. Equities and short interest rates were the best performers, while Bonds and Energies delivered negative contributions to the Fund. The sectors with the most risk weighting at the end of the month included Energies, Equities and Short Interest Rates. Over the month, energy markets rose nearly every day. We had almost traded to a flat position following the gradual cooling off in prices, but since the equity rally began we have steadily added to the positions. Likewise, Equity markets increased almost every day over the last two weeks of July, and we have gradually built up our long position. In fixed income we were long, with Bonds and Short Rates finishing the month at fairly high conviction levels. Margin to equity, after dropping from 13% to 12.2%, increased to 13.6% in the last week of July.

The Emerging Markets fund was up an estimated 3.01% on the month. The main drivers of returns were curve steepeners in interest rates in Turkey (1.5 year bonds vs 5 year swaps worked very well). The team also made good gains in sovereign credit where we were long Argentina versus Colombia, Turkey and the US IG Index. Positions were initiated a few months ago - when prices in Argentina were around 20 cents on the dollar - and they are now around 53 cents on the dollar. Finally, the team is still making good progress on the legacy book; total holdings are now approximately $40m.

The Mercantile Fund, which has had a tough few months, was up 1.60% in July. Carry on the assets was responsible for most of the positive performance. Offsetting gains from carry, the fund lost money on the hedges in the market rally and the fund was hit with some markdowns on its Ukrainian trade finance assets, despite improving market conditions.

The Multi Strategy Credit Fund finished with an estimated +0.64%. The fundamental long/short strategy, long credit/short equity positioning, curve steepeners, and index arbitrage all contributed to the positive returns. We saw some losses in the volatility book as well as the short positioning in financials and sovereigns. The Fund continues to trade in the most liquid credit products, and sees good forward-looking opportunities in the space. 

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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