Statement re Monthly Performance Review

RNS Number : 6718M

BlueCrest AllBlue Fund Ltd

19 September 2012

 



FOR IMMEDIATE RELEASE

19 September 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 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 August 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7555	0.33%	1.11%	79.11%
Euro Shares	€1.6999	0.28%	1.02%	73.43%
US Dollar Shares	$1.6826	0.29%	0.99%	71.66%

*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 AUGUST 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

Over the month, global economic activity remained weak and the latest economic data releases continued to disappoint: The global PMI (Purchasing Managers Index) stayed below 50 for the third month in a row and the US PMI declined again with weak momentum in employment and a worsening balance between inventories and new orders. Chinese PMI was also weaker and Eurozone GDP contracted, indicating a widespread, continued deterioration in conditions.

The response of central banks to address the worsening situation was significant, with rhetoric of potential unlimited monetary stimulus, particularly in the US and the Eurozone. Whilst the US Federal Reserve (Fed) kept its benchmark rate unchanged, the minutes of the latest policy meeting and the Chairman's speech in Jackson Hole gave clear indications that both an extension of 'lower for longer' interest rates and further balance sheet expansion would be just a matter of time. In particular the Fed expressed "grave concern" about the employment outlook and affirmed that the weakness was mainly cyclical, rather than structural, which justified further action.  In the meantime, the ECB president explained his plans to make interventions in the secondary debt markets of governments that requested support from the EFSF/ESM, subject to "strict conditionality". 

Market performance over the month was split into two halves; firstly risk on, supported by improved sentiment on the Eurozone crisis and subsequently risk off, as economic data releases disappointed the market.  The overall net result was positive performance in risky assets: volatility was subdued, equity markets were positive and similarly corporate credit spreads tightened, whereas high quality government bonds were modestly weaker.

Positive contributors to AllBlue's performance this month were BlueCrest Capital International, BlueCrest Emerging Markets, BlueCrest Mercantile and to a small degree BlueTrend Alignment and BlueMatrix.  BlueCrest Multi-Strategy Credit detracted modestly from performance. 

BlueCrest Capital International performed well, predominantly due to the Rates strategy as all the sub-strategies posted positive returns.  Within the Rates desk, curve trading strategies were the most profitable area, with tactical, short-term positions including those seeking to benefit from a steepening or flattening of specific curves, among others, contributing to performance.  Relative Value trading strategies in all of the major markets (USD, EUR and GBP) also performed well.  Alignment delivered positive performance, predominantly driven by credit strategies. The remaining strategies within BCI all provided more marginal contributions to the funds return (both positive and negative) with no major themes driving the performance of these desks.

BlueCrest Emerging Markets performed well, with the largest positive contributions from local interest rate positions in CEMEA and Latin America respectively, followed by credit and foreign exchange. Regionally CEMEA was the largest contributor followed closely by Latin America and Asia.  EM local fixed income was an area of strength, as shorter debt maturities benefited from policy easing in Hungary, Colombia and Brazil, although EM FX was mostly flat against the USD.

BlueCrest Mercantile's return was driven by the Credit sub-strategies, which had steady positive performance over the month.  Trade Credit Opportunities performed well as short-term credit exposures in the telecoms and transport sectors were particularly profitable.  The Bank Basel II and Commodities Finance sub-strategies also made a positive contribution to the gains. 

The two systematic strategies within the AllBlue portfolio both saw small positive net returns; BlueTrend Alignment experienced mixed performance contributions across the sectors traded, with the largest positive contribution coming from the energy sector.  Returns were also positive for the equity, short term interest rate and crops sectors, but this was offset by negative performance in the bond, metals and foreign exchange sectors.  BlueMatrix saw positive contributions from its US portfolios partially offset by the European and Asian portfolios, resulting in a small positive return overall. 

BlueCrest Multi-Strategy Credit was the only fund to negatively contribute to AllBlue's performance, as profits generated from a range of directional and relative value strategies, were more than offset by the negative impact of the fund's positions that expressed a short bias towards European sovereign debt, as these positions strengthened on expectations of support from the ECB. 

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

E&OE - in transmission

 

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