Performance Update

RNS Number : 9146V

BlueCrest AllBlue Fund Ltd

20 January 2012

 



FOR IMMEDIATE RELEASE

20 January 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR DECEMBER 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 30 December 2011 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6833	0.80%	-0.43%	71.73%
Euro Shares	€1.6332	0.84%	-0.29%	66.62%
US Dollar Shares	$1.6186	0.76%	-0.55%	65.13%

*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 DECEMBER 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

December's market performance continued to be dominated by the Eurozone sovereign debt crisis, although towards the end of the month future expectations for non-Euro countries' growth prospects improved modestly.  In general risky asset classes delivered low positive returns, with the S&P500 +0.85%, however investors remained pessimistic on Europe, with the DJ EuroStoxx -0.60% on the month, and continued buying bonds as a safe haven.

The major event of the month was the ECB meeting on the 8th, where interest rates were cut to 1% and new credit support measures to improve funding and liquidity were announced.  These included a reduction in banks' reserve requirements, an increase in eligibility of a broader range of collateral and two, 3 year long term refinancing operations (LTRO), the first of which was heavily taken up at the end of the month. These actions did ease market concerns, but were still interpreted as insufficient by some who wanted a 'lender of last resort' to truly support the indebted economies.  Major bond market yields fell over the month, most notably in the UK where Gilts hit record lows at the end of the year (GBP 10 yr at 1.975%).  

The situation in the US appeared to be improving, as although deficit fears remain, investors took comfort from better economic data that supported US assets into year end. 

Currency markets saw continued strengthening of USD (Dollar Index (DXY) +2.29% over the month) and weakening of the EUR to the low point of the year, these moves coming on the back of flight to safety flows.  Commodities markets were mixed over the month. In the energy sector, most markets fell over the course of December, with the largest drop being seen in Natural Gas which fell almost 16% on the back of increasing production and slowing demand.  In general the metals sector, both precious and base metals, saw markets decline into year-end and the agricultural sector generally saw markets rally.

Credit spreads were broadly unchanged in December, with movements intra month driven by better sentiment in the US and policy actions and political developments in Europe. 

Most funds made positive contributions to performance this month, with Emerging Markets and BlueMatrix detracting from returns marginally. 

BlueTrend (Systematic Trend Following) was the largest contributor to AllBlue performance in December.  Mixed performance was experienced across sectors within the strategy.  BlueTrend's more defensive positions benefitted from the markets' general risk-off sentiment, with the fixed income sectors providing the strongest monthly returns.  The energy sector, however, detracted from performance the most.  These markets fell heavily in the middle of the month, causing BlueTrend to trim positions, before the markets bounced back to finish modestly down on the month.

Within BlueCrest Capital International (Macro), most desks contributed positively to the fund's performance.  The Rates desk captured profits from long directional positioning based on their expectations of reaction to ECB monetary policy.  Positive returns also came from several tactical trades made across markets.  The Relative Value desk saw the majority of its profits come from curve trades.  Elsewhere, the fixed income absolute return allocation (the Alignment strategy) benefitted from long positions in UK and US government debt on a flight to safety move from markets and UK inflation-linked bonds.  The other strategies, Credit, Equity Derivatives, Cross Asset Convexity and Venture Finance, all made small contributions. 

Multi Strategy Credit generated a positive return in December and saw profits from single-name credit selection in the US High Yield sector and relative value trades in CDS index tranches.   Short Asia strategies detracted from performance over the month.  The Mercantile (Trade Finance) fund experienced positive returns from the Commodities and Bank Basel II strategies, while Trade Credit Opportunities strategy saw negative performance.  BlueMatrix (Equity Statistical Arbitrage) saw positive returns from the European portfolios however these were offset by negative returns in the US portfolios.  In the Emerging Markets fund, the outperformers were rates positions in CEMEA and FX positions and the largest detractors from the fund's performance were credit positions in CEMEA and rates positions in Lat Am.

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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