Statement re Monthly Performance Update

RNS Number : 2789F

BlueCrest AllBlue Fund Ltd

20 April 2011

 



FOR IMMEDIATE RELEASE

20 April 2011

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR MARCH 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 31 March 2011 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6814	0.33%	2.09%	71.54%
Euro Shares	€1.6241	0.35%	2.14%	65.69%
US Dollar Shares	$1.6223	0.30%	2.01%	65.51%

*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 MARCH 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

AllBlue returned an estimated +0.33% during March with a YTD return of +2.09% (Class A GBP).

As we entered March the ongoing geopolitical tensions in the Middle East and North Africa continued as Colonel Gaddafi held his determined stance to retain power in Libya and protests sprouted in Saudi Arabia, Syria and Yemen. The tragic natural disaster, by the way of an earthquake and tsunami, along with the knock-on disaster of a nuclear reactor meltdown in Japan shook markets globally and created significant intra-month volatility. By mid-month we saw the S&P sell off by 5% but eventually it recovered to end the month just 0.1% lower. Elsewhere concerns over European sovereign debt resurfaced with S&P downgrading both Greece and Portugal during the month.

March was a mixed month for AllBlue with four of the underlying funds contributing positively (BlueMatrix, Emerging Markets, Mercantile and Multi Strategy Credit) and three contributing negatively (BlueCrest Capital International, BlueCube and BlueTrend).

Emerging Markets generated the largest return, followed closely by Multi Strategy Credit. March was a good month for Emerging Markets with the EMBI Global rising 1.27% and the GBI EM Global Diversified by 2.95%. and saw our fund post gains in CEMEA interest rate positions, Latin American sovereigns and FX. Multi Strategy Credit  returns driven by the European and US desks, which were able to take advantage of improved market liquidity conditions and some idiosyncratic volatility to express successful relative value views.

Other positive contributions came from BlueMatrix and Mercantile, with both funds benefiting from heightened volatility. BlueMatrix was well positioned to take advantage of equity market volatility, while Mercantile reaped the rewards of volatile credit spreads, widening on the Japanese earthquake and events in the Middle East earlier in March, and then tightening strongly towards the end of the month as the market put these events behind it and chased yield.

BlueTrend posted a negative contribution to AllBlue. The trend following systematic fund found positive returns in Energies but these were offset by negative returns in Equities. Unrest in the Middle East supported oil prices, however gave rise to increased risk aversion as investors considered the impact of rising  oil prices on global growth causing equities to retreat.  Within BlueCrest Capital International there were small positive and negative contributions amongst the desks.  During the month risk level was decreased as portfolio managers waited for opportunities to arise, with the Rates desk posting a small negative return on the early announcement of an ECB rate decision and the Relative Value desk posting a positive return.

BlueCube contributed a small loss to AllBlue's March return. The strongest performance came from the Mean Reversion strategy however this could not offset the loss from the Momentum strategy. Looking at the BlueCube strategy as a whole, after extensive research work by the systematic team it was concluded that there were more opportunities for the strategy should the market neutrality constraint be relaxed.

 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

E&OE - in transmission

 

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