Statement re Monthly Performance Review

RNS Number : 9446T

BlueCrest AllBlue Fund Ltd

19 December 2012

 



FOR IMMEDIATE RELEASE

19 December 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR NOVEMBER 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 30 November 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7741	0.61%	2.89%	81.00%
Euro Shares	€1.7135	0.49%	2.72%	74.82%
US Dollar Shares	$1.6967	0.50%	2.74%	73.10%

*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 NOVEMBER 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

After the US presidential election at the beginning of November, which saw Barack Obama be voted in for a second term, investors' attention turned to the fiscal cliff.  As fears mounted over this pending issue, equity markets became weaker, credit spreads widened and treasuries rallied.  However, around mid-month investors began to chase yield and these moves started reversing. 

In Europe, official data indicated that the region slid into a double dip recession and whilst Eurozone manufacturing indicators improved these remained in contraction territory, with increasing divergence between the core and the periphery.  On a slightly more positive note, Greece is likely to finalise its debt buyback which will result in a reduction of its debt of approximately 10% of GDP.

November ended with major equity markets in positive territory; the Nikkei experienced the greatest gain returning 5.8%; in Europe the EuroStoxx was up 2.9% and the US was relatively flat with the S&P 500 up 0.3%.  Corporate credit saw the US markets underperforming Europe on the back of fiscal cliff worries. The European Investment Grade index spread moved 7bps tighter and the Crossover index spread moved 31bps tighter whereas the US Investment Grade index spread barely moved (-1bps) and US High Yield spread tightened by 20bps.  10 year government bond yields declined modestly, trading within a relatively narrow range for the month; yields in the US, UK and Germany all fell by approximately 8bps on the month.

Looking at other markets, currencies were relatively muted over the month with the exception of weakness in JPY.  The USD Index rose by 0.29%, EUR/USD by 0.12% but USD/JPY rallied 3.3% over the month, as the JPY continued to fall vs. USD.  Commodities were mixed, with many showing range bound performance through the month.  For example, WTI was up 2.5%, copper was up 3.4%, soybean was down 7.1% and gold was down 0.5%. 

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

BlueCrest Emerging Markets had a good month with performance driven by Sovereign credit strategies, in particular in the CEMEA and Latin America markets.  The CEMEA local rates strategy was also a significant contributor, making this region the most profitable performer for the month when including all strategies.  Asian FX strategies and rates and FX hedges in G7 markets, managed actively through the month, were a further source of profits.

BlueTrend Alignment (Systematic Trend Following) experienced mixed performance contributions across the sectors traded, with the combined portfolio generating a solid positive return.  Positive contributions came from the fixed income, equity and FX sectors, whilst the commodity sectors detracted from returns.  The fixed income sectors, both bonds and short term interest rates, profited as yields, in general, fell over the course of the month.  The rebound in equity markets during the second half of the month benefitted BlueTrend's net long position in the sector.  As mentioned above, commodity markets saw mixed performance, and whilst most moves were range bound they were not without oscillations, making it challenging for the model to pare losses in commodities. 

Within BlueCrest Capital International (Macro), the Rates, Relative Value and Alignment desks were the most profitable, whilst the returns from the other desks were more marginal.  In Rates, tactical yield curve trading strategies were the largest source of profits, followed by short term directional trades across a number of markets which benefitted from the decline in yields.  This month saw a further decline in implied interest rate volatility which detracted slightly from performance.  The Relative Value desk performed well in the North American and European markets, with the greatest contribution derived from swap curve strategies.  Alignment's positive contribution was achieved mainly through positions in high quality sovereign bonds, primarily in the US and UK markets. 

BlueCrest Mercantile (Trade Finance) saw positive returns from the Bank Basel II and Trade Credit Opportunities sub-strategies, whilst the Commodities Finance sub-strategy detracted.

BlueCrest Multi Strategy Credit experienced mixed results from the strategies and markets traded within the portfolio, resulting in a modestly negative performance for the month.  In Europe, index trading contributed positively, although European single name selection detracted given the influences of the political environment over corporate fundamentals.  In the US, where markets were more challenging, performance was impacted by mark to market losses earlier in the month.

BlueMatrix (Systematic Equity Market Neutral) saw positive performance generated by the European and US portfolios, however this was offset by negative performance from the 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

E&OE - in transmission

 

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