Performance Update

RNS Number : 2009K

BlueCrest AllBlue Fund Ltd

16 August 2012

 



FOR IMMEDIATE RELEASE

16 July 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JULY 2012

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.

As announced on the 26 March 2012 the Company redeemed a portion of its investment in each share class of AllBlue (on a pro rata basis) on 1 April 2012 in order to generate a cash reserve (the "Cash Reserve") for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged Feeder Limited ("AllBlue Leveraged"). AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of 50 per cent of its net asset value, giving investment exposure which is 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

The effect of these arrangements is that the Company's aggregate investment exposure to AllBlue remains broadly the same whilst providing access to more immediate liquidity. 

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 July 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7464	1.71%	1.11%	78.17%
Euro Shares	€1.6919	1.66%	1.02%	72.61%
US Dollar Shares	$1.6745	1.65%	0.99%	70.83%

*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 31 JULY 2012

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

During July, investor sentiment remained fragile with global economic indicators taking a turn for the worse, exemplified by a third consecutive monthly decline and second consecutive reading below 50 for the global manufacturing Purchasing Managers Index (PMI). The Eurozone economies continued to deteriorate and recent declines in Asian economic statistics were taken as a sign of weakness spreading to other regions.  Major central banks reacted by extending standard and non-standard stimulus measures; the ECB cut its lending rate to 75bp and took its deposit rate to zero, the Bank of England and the Bank of Japan increased their asset purchase programs and the FED's policy minutes indicated they would provide additional support if required. 

Developments in the Eurozone continued to influence investors' risk attitudes. Spanish yields reached record high levels during the month, despite anticipation of bank recapitalisations, as the economy continues to weaken.  Reflecting the severity of conditions, Moody's placed Germany, the Netherlands, Luxembourg and even the EFSF (the European Financial Stability Facility) on negative watch given contagion risks from the peripheral countries. 

Investor fears intensified through July, with the EuroStoxx European equity index reaching an intra-month loss of approximately 5% and 'safe haven' bond yields hitting record low levels.  Recognising the deterioration in confidence, Mario Draghi announced that the ECB would be prepared to take significant measures to lower sovereign spreads and preserve the integrity of the Euro, which led to an improvement in sentiment and a rally in risky assets towards month end.

All strategies contributed positively to AllBlue's performance this month.  The largest contributors were BlueTrend Alignment and BlueCrest Capital International, with more modest contributions from BlueCrest Emerging Markets and BlueCrest Multi-Strategy Credit.  BlueCrest Mercantile and BlueMatrix provided a small positive contribution for the month.

BlueTrend (Systematic Trend Following) experienced positive performance contributions from six of the seven sectors traded, with only the metals sector generating a small loss. The fixed income sectors (bonds and short term interest rates) posted the largest positive contributions to the fund's return as long rates positions were profitable as yields fell over the month, increasing prices. In agricultural markets, the portfolio benefitted as supply concerns led to corn and soybean prices rising by about 27% and 15% respectively due to the severe drought in the US.  The metals sector was the only negative contributor to fund performance, as gold prices rallied and moved against the short positions held.  In other sectors, FX, Equities and Energy all made modest positive contributions to the portfolio.

BlueCrest Capital International (Macro) performed well, predominantly due to the Rates strategy as all sub-strategies posted positive returns.  Within the Rates desk, the volatility strategies benefitted from increases in implied volatility and the yield curve trading strategies were profitable after capturing movements in yields across different maturities.  Alignment saw gains from directional rates trading positions, inflation linked bonds, global agency debt and credit strategies.

The remaining strategies within BCI all provided more marginal contributions to the funds return (both positive and negative) with no major themes to the performance of these desks,

BlueCrest Emerging Markets performed well, with the largest positive contributions from local interest rate positions in CEMEA (Central Europe, Middle East and Africa) and Latin America, followed by credit and foreign exchange.  Regionally CEMEA was the largest contributor followed by Latin America. 

EM local rates performed well across the board as the result of several countries taking policy actions in response to the challenging global economic environment (i.e. China added fresh monetary stimulus, South Africa started to cut rates and Brazil continued their monetary easing programme). 

BlueCrest Multi Strategy Credit profits in July were driven by a range of relative value strategies, predominantly in US markets.  The US focused strategies that performed well included CDX index trading and High Yield single name selection.  Directional trades contributed modestly to performance whereas single name credit selection in Europe proved to be more challenging.   

Return contributions to AllBlue from the remaining two strategies were relatively small.  BlueCrest Mercantile (Trade Finance) generated gains from both the Trade Credit Opportunities and Bank Basel II sub-strategies, whereas the Commodities Finance sub-strategy detracted from returns.  BlueMatrix (Equity Statistical Arbitrage) saw positive contributions from its US portfolios partially offset by the European and Asian portfolios. 

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 Jefferies Hoare Govett on Tel: London 020 7029 8687.

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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