Performance Update

RNS Number : 3470Z

BlueCrest AllBlue Fund Ltd

18 September 2009

 



FOR IMMEDIATE RELEASE

18 September 2009

BLUECREST ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR AUGUST 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 28 August 2009 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.4298	2.11%	3.62%	45.88%
Euro Shares	€1.3788	2.16%	3.66%	40.67%
US Dollar Shares	$1.3855	2.07%	3.54%	41.35%

*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 AUGUST 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

Once again, AllBlue delivered a strong monthly return. Nearly all of the underlying funds posted positive performance above 2% on the month, with BlueCrest Capital International returning over 3%.

BlueCrest Capital International returned +3.20% in August. 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 sterling volatility and opportunistic trades. The volatility book benefitted significantly from rates (10yr10yr) rallying 40bp in August that we were able to capture. We initiated long short-term positions following non-farm payroll numbers in the US and the subsequent 20bp sell off in Euribor contracts. This position delivered a strong return as the contract rallied by 20bp.

 BlueTrend returned 2.34% in August. Nearly all the sectors delivered positive contribution to the fund with equities, bonds and short term interest rates being the best performers in the month. The sectors with the most risk weighting at the end of the month remained energies, equities and short interest rates. Our net long in energies has decreased from 30% to 25% with the difference accounted for by slight increases in our long exposures across equities 31%, bonds 15% and short rates 20%. Margin to equity increased to +19.5% from 13.6% a month ago as a result of falling market volatility and the model seeking to exploit multiple trends in different markets and sectors (bonds and short term interest rates) simultaneously.

The Emerging Markets fund was up an estimated 2.22% on the month. The long positions in the high yield corporate credit space and in Argentinian government bonds benefitted from the continuing recovery in global credit markets, with further tightening in Emerging Markets credit spreads and outperformance by the high yielding sector. Argentinian government bonds continued to outperform the global EM sovereign debt market as investors focus somewhat less on political risk and government liquidity constraints and more on quantitative measures of sovereign creditworthiness. In CEEMEA, the local market interest rates rally in Turkey also added to the month's positive returns.

The Mercantile Fund was up 1.21% in August. Some of the trade finance assets have matured and others are seeing an increase in mark-to-market as their maturity dates are approaching. Additionally, the fund is receiving carry, and some of the hedges have also moved in favour of the fund.

BlueMatrix posted positive returns of +2.37% in August. There was a repetition of some recurrent themes across equity markets and a continuation of the rally started in March 2009. Better than expected earnings figures and bullish macroeconomic data pushed the markets higher. The leverage evolved in a very tight range as the VIX index, the main volatility gauge, hardly deviated from the 25% mark. Volumes traded diminished slightly along with the usual summer lack of liquidity, a change from last year. We plan to extend our presence in the US in September with the release of additional strategies.

The Credit Relative Value team made a small negative contribution on the month (-0.08%). The portfolio is continuing to focus on long/short credit trading. 

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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