Half Yearly Report

RNS Number : 9046M

BlueCrest AllBlue Fund Ltd

30 August 2013

BlueCrest AllBlue Fund Limited

Half - yearly Financial Report

for the period ended 30 June 2013

(Unaudited)

Registered in Guernsey 44704

BlueCrest AllBlue Fund Limited (the "Company")

CHAIRMAN' STATEMENT

Dear Shareholder,

BlueCrest AllBlue Fund Limited ("BCAB" or "the Company") saw a modest fall in its Net Asset Value ("NAV") of 0.6 per cent. during the first half of 2013 in the face of heightened volatility and challenging conditions across financial markets. I am pleased to report, however, that shareholders saw a positive return of 1.7 per cent. in the Sterling Shares as the share price outperformed the NAV performance. Further small gains have been seen since the 30 June.

It was central bank actions and statements that, once again, dominated investors' thoughts and markets' reactions, although underlying economic data from most regions have been improving in the last 6-12 months. The Bank of Japan announced significant quantitative easing ("QE") activity in a bid to stimulate the Japanese economy, while the US Federal Reserve hinted at the ending, or at least tapering, of its own QE programme. These latter suggestions sparked sharp falls in bond and equity markets in May and June, reversing the more optimistic tone at the start of the year. Widespread deleveraging and forced selling was evident in fixed income and other asset classes.

Against this backdrop, some of the trading strategies within AllBlue Limited ("AllBlue") faced a challenging environment; others, however, flourished. In combination, AllBlue delivered a modest negative return during the six months but demonstrated, once again, the resilience of BlueCrest Capital Management LLP's ("BlueCrest") risk management processes and the inherent diversification benefits of blending the six underlying funds.

Past instances of similar market volatility have provided excellent opportunities for future profits. AllBlue remains well positioned if trading opportunities present themselves going forward but conditions remain treacherous. Importantly, the funds continue to maintain highly liquid positions and so can react nimbly to unfolding events.

I alluded to the better performance of the share price in my opening comments. As a Board we remain alert to the variability between the share price and the NAV. This issue has been modest for BCAB in comparison to its listed company peers but nonetheless we are cognisant of the additional volatility of returns that this creates for our shareholders. We wish to be active to temper this where we can.

We have continued to buy back shares during the period under review, albeit at a lesser pace than in late 2012. The creation of the Cash Reserve (as defined and described on page 5) in the first half of 2012 (by holding some AllBlue Leveraged Feeder Limited ("AllBlue Leveraged") plus some cash, in addition to AllBlue) has proven its worth as this has provided the Board with the flexibility to move swiftly to buy back shares when appropriate.

All buybacks have been at a discount to NAV and have been accretive to shareholder returns. The discount has subsequently narrowed significantly to a discount of 2.9% in the Sterling Shares at 30 June 2013 and, indeed, at the time of writing the Sterling Shares trade at a small premium to NAV. As I noted in my report to you with the Annual Financial Statements earlier in the year, the narrowing of the discount was, however, insufficient in 2012 to avoid the triggering of Continuation Votes in all three Classes.

In the Sterling and Euro Classes these votes saw unanimous support but the Dollar Class saw the vote fail by a narrow margin and, therefore, in accordance with the Articles of the Company, the Directors made a Redemption Offer to holders of the Dollar Class. Some 61 per cent. of the Dollar Shares in issue at the time elected to take the Redemption Offer and the proceeds were paid on 8 August 2013. This had no impact on the Sterling Class shareholders, the Euro Class shareholders or the remaining Dollar Class shareholders and the Dollar Class remains in issue.

AllBlue has continued to invest in the same six underlying funds throughout the period but BlueCrest have been pro-active in their management of the allocations, with a notable decrease in discretionary macro trading and increases to systematic trading and emerging markets. The report by the Manager of AllBlue on pages 12 to 15 contains a more detailed review of these changes and the returns for the period from the underlying funds.

BlueCrest has advised the Company that the risk and leverage policies that have been consistently applied during the life of the AllBlue fund continue to function robustly, and that as at 30 June 2013, the weighted average level of unencumbered cash in the underlying funds was approximately 45 per cent.

As I noted in my report to you in April, we have been anxious to improve the quality and relevance of the information that shareholders receive from us as well as to seek to meet

many more of the Company's institutional shareholders on a more pro-active basis. The revised monthly fact sheet and the new quarterly key features document have been well received and I trust that you have found these to be improvements. If you would like to go on our regular mailing list for factsheets and other updates please send an email request to info@bluecrestallblue.com. We expect to launch a revised website in the coming weeks.

Just as importantly Paul Meader, the Senior Independent Director, has spent time this year meeting with principal shareholders. This is a process which we intend to continue, develop and broaden over time. We value interaction with all shareholders and we know that many shareholders have found these meetings to be very useful. Please feel free to contact me or Paul Meader if we have not yet made contact with you in this regard and you would like to meet with us.

Regulatory change is accelerating and, once again, regulation and good governance has occupied considerable board time during the past six months. Significant preparatory work has been undertaken regarding the EU Alternative Investment Fund Managers Directive and also the US "FATCA" regime and we anticipate being able to report to you on the Company's decisions in the coming months.

I look forward to reporting to you again with the Annual Financial Statements next year but in the meantime please feel free to contact me or other Board members if you have any queries or suggestions.

Richard Crowder

Chairman

BlueCrest AllBlue Fund Limited (the "Company")

ABOUT THE COMPANY

The Company is a self-managed closed-ended investment company incorporated with an unlimited life on 21 April 2006 in Guernsey with registered number 44704. The Company has three classes of share in issue, being Sterling Shares, Euro Shares and US Dollar Shares (together the "Shares").

All Shares in issue have been admitted to the Official List of the United Kingdom Listing Authority and to trading on the London Stock Exchange's main market for listed securities.

As at 29 August 2013, the last practicable date prior to the publication of this report, the Company's total issued share capital consisted of 530,367,145 Ordinary Shares, of which 445,981,144 were designated as Sterling Shares (excluding 30,754,797 Sterling Shares which were held in treasury), 8,687,526 as Euro Shares and 40,449,311 as US Dollar Shares (excluding 4,494,367 US Dollar Shares which were held in treasury). As at 31 July 2013, the latest confirmed monthly NAV prior to the publication of this report, the confirmed unaudited aggregate net assets of the Company (in Sterling terms) were approximately £852.87 million with an unaudited NAV per Sterling Share of £1.7818, per Euro Share of €1.7193 and per US Dollar Share of US$7016.

Investment Objective and Policy

The investment objective of the Company is to seek to provide consistent long-term capital growth through an investment policy of investing substantially all of its assets in AllBlue or any successor vehicle of AllBlue. Accordingly, the Company's published investment policy is consistent with that of AllBlue. In the event that AllBlue changes its investment policy without Shareholder approval, the directors will consider removing the Company's assets from AllBlue or taking other appropriate action so that the Company is not in breach of any applicable regulation.

AllBlue Limited

AllBlue is a fund incorporated in the Cayman Islands with an investment objective to provide consistent long-term appreciation of its assets through investment in a diversified portfolio of underlying funds. Investors in the Company are therefore offered an opportunity to participate indirectly in the same investment portfolio as that of AllBlue.

AllBlue seeks to achieve its investment objective through investment in underlying funds, each of which on its own has a distinct investment objective and approach and which, as

part of a portfolio of assets, form a diversified basket of hedge fund investments. As at 30 June 2013, AllBlue was invested in six underlying funds comprising BlueCrest Capital International Limited, BlueTrend Alignment Fund Limited, BlueCrest Multi Strategy Credit Fund Limited, BlueCrest Emerging Markets Fund Limited, BlueCrest Mercantile Fund Limited and BlueMatrix Limited (together, including the master funds into which such funds invest, the "Underlying Funds"), all of which are managed by BlueCrest. AllBlue may in the future exclude any or all of these funds or from time to time include any other investment fund established by BlueCrest or by managers with close links to BlueCrest.

BlueCrest is the appointed investment manager of AllBlue. BlueCrest has appointed on behalf of AllBlue, acting as its agent, certain members of its group ("AllBlue Sub-Investment Managers") as sub-investment managers to manage the assets of AllBlue, as agents of AllBlue. The AllBlue Sub-Investment Managers seek to construct a portfolio of investments for AllBlue, comprising the Underlying Funds, by utilising proprietary optimisation techniques as well as an in-depth understanding of underlying positions, correlations and risks. Both allocations and risks are closely monitored on a monthly basis by the AllBlue Sub-Investment Managers' AllBlue committee, comprising a team of senior investment professionals of BlueCrest. On a monthly basis the AllBlue Sub-Investment Managers' AllBlue Committee also reviews the allocation of AllBlue's assets amongst the Underlying Funds and makes such adjustments as it deems appropriate.

It is the policy of the AllBlue Sub-Investment Managers that the assets of AllBlue will be predominantly fully invested. However, AllBlue may from time to time hold certain assets in cash or cash equivalents, should it consider that this is required for efficient portfolio management or otherwise in the best interests of AllBlue.

AllBlue Leveraged Feeder Limited

As announced on the 26 March 2012, the Company redeemed a portion of its investment in each currency 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. AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of approximately 50 per cent. of its net asset value, giving investment exposure which is approximately 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

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

On 1 January 2013 the Company restructured the Cash Reserve and AllBlue Leveraged investments so that they were held solely within the Sterling class, but so that the Cash Reserve remained available for use by all three share classes. The Board reviews the Cash Reserve on a quarterly basis to maintain a substantially similar economic exposure to AllBlue.

Borrowing and Leverage

Although the Company has power under its Articles of Incorporation to borrow up to an amount equal to 10 per cent. of its net assets at the time of the drawing, the Directors do not intend that the Company should engage in any structural borrowing and any borrowing would only be for the purpose of managing day-to-day cash flow, for meeting expenses of the Company and for funding repurchases of Shares. During the first quarter of 2013 the Company entered into a facility with HSBC Bank PLC (the "Facility") in the amount of Twenty Million Pounds Sterling which was repaid in full after one month. The Facility was obtained for the purpose of financing the Company's share buyback programme pending receipt of funds from a quarterly redemption of AllBlue.

AllBlue does not employ any leverage but may be exposed to it in the Underlying Funds and may engage in short term borrowing, as is deemed necessary from time to time, pending the availability of subscription monies, to fund new allocations to the Underlying Funds, or in order to fund redemptions ahead of redemption proceeds being made available.

AllBlue Leveraged employs leverage for the purpose of making investments. Whilst there is no limit on the extent of borrowings or leverage that AllBlue Leveraged may employ it is expected to be in an amount equal to approximately 50 per cent. of AllBlue Leveraged's net asset value, but may vary from time to time.

None of the Underlying Funds is subject to any limits on the extent to which borrowings or leverage may be employed and they may leverage through the use of borrowings, options, futures, options on futures, swaps and other synthetic or derivative financial instruments.

BlueCrest

BlueCrest has been appointed as the investment manager of AllBlue and AllBlue Leveraged and the Underlying Funds. BlueCrest has the power (exercisable only with the consent of AllBlue) to appoint, on behalf of AllBlue, acting as its agent, one or more third parties to perform in its place and as agent or agents of AllBlue, any of its functions, powers and duties as investment manager. BlueCrest has appointed on behalf of AllBlue, acting as its agent, certain members of its group (the "AllBlue Sub-Investment Managers") as sub-investment managers to manage the assets of AllBlue, as agents of AllBlue. BlueCrest has a similar power in respect of AllBlue Leveraged and each of the Underlying Funds.

BlueCrest is an English limited liability partnership incorporated on 11 August 2008 with number OC339259 and registered office at 40 Grosvenor Place, London SW1X 7AW acting solely through its office in Guernsey located at BlueCrest House, Glategny Esplanade, St Peter Port, Guernsey, GY1 1WR (tel: +44 (0)14 81733 800).

BlueCrest is licensed and regulated by the Guernsey Financial Services Commission and registered as an investment adviser with the United States Securities and Exchange Commission under the United States Investment Advisers Act of 1940 and with the U.S. Commodity Futures Trading Commission as a commodity pool operator and is a member of the National Futures Association in such capacity.

Currency Risk Management

As AllBlue's base currency is the US Dollar, BlueCrest may from time to time enter into forward exchange contracts in order to hedge the US Dollar exposure of the assets attributable to its Sterling shares and Euro shares in order to neutralise, as far as possible, the impact of fluctuations in the exchange rates between Sterling or Euro, as the case may be, and the US Dollar. For as long as hedging of currency exposure may occur within AllBlue, the Directors do not intend that the Company will carry out any additional hedging arrangements.

Further Issue of Shares

Subject to the terms of the Companies Laws, the Listing Rules and the Articles, in order to manage any Share price premium to NAV if the Directors believe there is investor demand that cannot be satisfied through the secondary market and to raise additional capital for investment, the Company may seek to issue additional Shares either through the issue of shares held in treasury or the issue of new shares. Further issues of such Shares will only be made if the Directors determine such issues to be in the best interests of Shareholders and the Company as a whole.

The Directors currently have authority to allot the authorised but unissued share capital of the Company and such authority shall only be exercised at prices which are not less than the prevailing net asset value of the relevant share class at the time. The Company held a general meeting of Shareholders on 3 August 2012 at which the pre-emption rights granted to Shareholders were dis-applied in relation to up to 500 million new Shares for a period concluding on 31 December 2013, unless such resolution is previously revoked by the Company's shareholders in general meeting. At the general meeting of Shareholders held on 8 August 2013 the special resolution to extend the disapplication of the pre-emption rights narrowly failed to pass. Accordingly the Directors intend to request the authority to issue 48 million shares on a non-pre-emptive basis for the forthcoming year in order to permit the management of any share price premium to NAV. A notice of extraordinary general meeting containing this resolution together with a letter from the Chairman providing greater information is included with this report.

Conversion Facility

The Company has the ability to offer a conversion facility as at the first business day of each calendar month ("Conversion Day"). The Directors have the discretion not to operate the conversion facility with respect to any share class or possible share classes from time to time. Where the conversion facility is made available, shareholders are entitled to convert their Ordinary Shares in any currency class for Ordinary Shares in another currency class as at the Conversion Day. The Board will use reasonable endeavours to procure that new Shares created pursuant to the conversion are admitted to the Official List of the United Kingdom Listing Authority and to trading on the London Stock Exchange following the relevant conversion.

Discount Management Provisions

At all previous annual general meetings the Directors obtained shareholder approval to buy back up to 14.99% of each class of Shares in issue and they intend to seek annual renewal of this authority from shareholders at each future general meeting held under section 199 of The Companies (Guernsey) Law, 2008 (the "Law"). In accordance with the Law any share buy backs will be effected by the purchase of Shares in the market for cash at a price below the prevailing net asset value of the relevant class of Shares where the Directors believe such a purchase will enhance shareholder value. Shares which are purchased may be held in treasury or cancelled.

As announced on 13 June 2013, the Company has engaged a buy-back agent to effect share buy-backs on behalf of the Company, which appointment will continue until 25 November 2013. The previous appointment of a buy-back agent as announced on 28 May 2012 expired on 25 May 2013.

As at 28 August 2013 the Company had brought back £50.96 million through on market share repurchases of 30,304,797 Sterling Shares at an average discount to the prevailing NAV of 5.4 per cent. The Company currently holds 30,754,797 Sterling Shares and 4,494,367 US Dollar Shares in treasury which are available for re-sale at prices above the then prevailing NAV per share.

BlueCrest AllBlue Fund Limited Share Class	Share Price Discount as at 4 January 2013*	Share Price Discount as at 30 June 2013*
Sterling Class	-5.604%	-2.896%
Euro Class	-6.730%	1.181%
US Dollar Class	-6.916%	1.544%

*Source: Bloomberg

Continuation Vote Mechanism

The Company's Articles incorporate a discount management provision (which applies to each class of Share individually) that will require a continuation vote to be proposed in respect of the particular class of Shares at a class meeting of the relevant shareholders (by way of ordinary resolution) if, over the previous 12 month rolling period, the relevant class of Shares has traded, on average (calculated by averaging the closing mid-market share price

on the dates which are 5 Business Days after the date on which each estimated NAV announcement is made for each NAV Calculation Date over the period) at a discount in excess of 5 per cent. to the average NAV per Share of that class (calculated by averaging the NAV per Share of that class as at the NAV Calculation Date at the end of each month during the period).

In the event that a vote to continue is proposed and passed for any class of Ordinary Shares, no further continuation vote will be capable of being proposed for that class for a period of 12 months from the date on which the requirement for a continuation vote was triggered.

Portfolio Summary

The Company's investments (excluding cash, cash equivalents, receivables and prepayments) as at 30 June 2013 were:

Investment	Number of Shares	Valuation in Local Currency*	Valuation £	Total Net Assets %
Sterling
AllBlue Limited Sterling Shares	3,621,565.820047	£691,844,739.96	691,844,739.96	73.80

AllBlue Leveraged Feeder Limited Sterling Shares	340,469.679010	£79,516,591.39	79,516,591.39	8.48

Institutional Sterling Government Liquidity Fund - Core (Acc) Shares	11,654.18	£1,173,369.65	1,173,369.65	0.13

Euro
AllBlue Limited Euro Shares	78,657.599133	€14,937,833.19	12,784,862.37	1.36

US Dollar
AllBlue Limited US$ Shares	1,060,471.402879	$202,729,787.85	133,287,171.50	14.22
			918,606,734.87	97.98

The investment portfolio of AllBlue was allocated on the following basis amongst the Underlying Funds:

Underlying Fund	Allocation % as at 1 January 2013 *	Allocation % as at 30 June 2013 *
BlueCrest Capital International Limited	35	23
BlueCrest Multi-Strategy Credit Fund Limited	20	22
BlueCrest Emerging Markets Fund Limited	16	20
BlueTrend Alignment Fund Limited	12	18
BlueCrest Mercantile Fund Limited	11	9
BlueMatrix Limited	5	8

*Source BlueCrest Capital Management (UK) LLP, figures to nearest 1%.

Net Asset Value per Share for Financial Statements Purposes

As at 30 June 2013, the net asset values of the Shares were:

	Sterling Share Class £	Euro Share Class €	US Dollar Share Class $
Net asset value at 1 January 2013	1.7929	1.7298	1.7130
Net movement in unrealised appreciation on investments	(0.1083)	(0.0120)	(0.0182)
Operating expenses	(0.0009)	(0.0006)	(0.0009)
Effect of share issues and conversions	0.0979	0.0025	0.0098

Net asset value as at 30 June 2013	1.7816	1.7197	1.7037

BlueCrest AllBlue Fund Limited (the "Company")

REPORT BY THE MANAGER OF ALLBLUE LIMITED

On the invitation of the Directors of the Company, this commentary has been provided by BlueCrest as investment manager of AllBlue Limited and is provided without any warranty as to its accuracy and without any liability incurred on the part of the Company, BlueCrest or AllBlue Limited. The commentary is not intended to constitute, and should not be construed as, investment advice. Potential investors in the Company should seek their own independent financial advice and may not rely on this communication in evaluating the merits of investing in the Company. The commentary is provided as a source of information for shareholders of the Company but is not attributable to the Company.

Report on AllBlue Limited ("AllBlue") by BlueCrest Capital Management (UK) LLP for the half year ending 30 June 2013

The year started with a strong 'risk on' move in reaction to the resolution of the US 'fiscal cliff' negotiations, reinforced by perceived improvements in the health of the European financial sector after larger than expected repayments of the ECB's LTRO financing were made. As the first quarter progressed the issues surrounding the Eurozone came into focus again with the bail-out of Cyprus, although this did not have the same level of impact on global markets as the Greek concerns of 2012. The second quarter of 2013 was a tale of two central banks, with the actions of the Bank of Japan (BoJ) and the US Fed driving significant moves in bond markets. Initially, the BoJ announced it would undertake a bond purchase programme of unprecedented size in a bid to stimulate the economy. Markets, domestically and internationally, welcomed these actions with the extent of the stimulus and expectations of domestic Japanese investors buying foreign assets boosted positive sentiment, particularly in bonds. 10 year yields in major markets hit record low levels at the end of April. However, in late May comments from the Fed sparked speculation that quantitative easing (QE) may be reduced and later in June Ben Bernanke surprised markets by reinforcing the hawkish views of the prior month. Investors interpreted the comments to be a significant turning point and dramatic selling of bond, credit and emerging markets followed (assets deemed the most sensitive to a tightening in financial conditions).

During the first half of the year AllBlue Limited (Class A, USD) delivered a net return of -0.70%. Four out of the six underlying funds delivered a positive contribution to AllBlue, with only BlueCrest Capital International and BlueTrend Alignment detracting from returns. Further details on the drivers of performance for each strategy are covered below.

Over the course of the first half of the year allocations to BlueCrest Capital International and BlueCrest Mercantile were decreased by about 11.5% and 2% respectively, with all other funds receiving increased allocations. BlueTrend Alignment saw the largest increase, approximately 5.5%, with BlueCrest Emerging Markets, BlueMatrix and BlueCrest Multi Strategy Credit seeing increases of around 3.5%, 3% and 1.5% respectively.

AllBlue's VaR (95% confidence, 1 day VaR based on 3 year historical simulation) stood at 0.17% of assets at the end of June, having been 0.35% at the end of 2012; the most notable change was BlueTrend Alignment's reduction of risk exposure in Q2. The volatility of the strategy, measured on a rolling 12 month basis, has remained low with the fund delivering an annualised volatility of 4.0%.

Strategy Review by Fund

BlueCrest Capital International was down -2.41% (Class F, USD) for the first half of 2013. The return contribution across most desks was relatively muted during the first half of the year, with small positive or negative contributions from most strategies. The exception, and the main detractor from performance, was the allocation to the Alignment (fixed income absolute return) strategy that performed negatively over the period as long government bond holdings were significantly impacted by the fall in bond prices in May and June. Elsewhere, over the period under review, the Rates strategies marginally detracted from performance whilst macro credit, cross asset convexity and the newly added

mortgage strategies provided marginal positive contributions.

BlueCrest Emerging Markets was up +2.28% (Class A, USD) for the first half of 2013. The emerging markets faced challenging conditions over the latter part of the review period as substantial volatility and price falls were driven by the anticipation of tighter monetary policy in the US and the negative impact of a withdrawal of global liquidity. The fund's performance started the year strongly and proved to be resilient through the turmoil, with the greatest profits by strategy generated by Asian currencies, followed by CEEMEA interest rates and developed market hedges. Latin American markets proved to be more difficult, resulting in flat performance for the period after gains in sovereign bonds were offset by losses in currencies and local interest rates strategies.

BlueCrest Multi Strategy Credit was up +5.18% (Class A, USD) for the first half of 2013. The asset class benefitted in the early part of the year from calmer market conditions, aided by central banks support of the economy, that reversed dramatically in May leading to higher volatility and credit spread widening. Within the fund the focus on active trading reaped rewards from tactically capturing gains from long-biased US High Yield and ABS strategies in the first quarter, followed by profits from short-biased strategies in Asia and Europe after sentiment turned in the second quarter. Modest positive contributions were also made from European corporate credit trading and convertible bond arbitrage strategies.

BlueCrest Mercantile was up +3.91% (Class A, USD) for the first half of 2013. Both the Bank Basel II and Trade Credit Opportunities strategies performed well through the first half of 2013. The Bank Basel II strategy, which produced slightly stronger returns, benefitted from earning carry whilst experiencing negligible defaults in the underlying portfolios. Trade Credit Opportunities performed well throughout the period as the team were able to take advantage of a steady level of asset availability from banks in the secondary market. The Commodities Finance strategy detracted over the first half of the year.

BlueTrend Alignment was down -11.90% (Class A, USD) for the first half of 2013. The year started well for the strategy with four positive months; however the reversals in fixed income markets, and subsequently other asset classes, in response to Bernanke's talks about QE tapering moved sharply against the fund's positions. The model reacted as designed by substantially reducing risk across the fund. In aggregate, over the first half of the year, the equity and metal sectors contributed positively to performance whilst the remaining sectors detracted from returns.

BlueMatrix was up +7.01% (Class A, USD) for the first half of 2013. Over the course of the first half of 2013 the European and North American portfolios were profitable, whilst the Asian portfolios were broadly flat. The return contributions of different signals varied between regions and over time, although most were positive in aggregate over the first half of the year. Research continues to expand and enhance the line up of signals and markets contributing to the model, aiming to increase the diversification of potential return drivers within the strategy.

AllBlue Funds

BlueCrest Capital International

A global macro fund, with a strong fixed income focus. Strategies include directional and curve trading, driven by macro views around central bank activities, their likely actions and market reactions that will impact the level of rates and the shape of the yield curve. Also relative value which looks to identify anomalies across the fixed income markets.

BlueCrest Emerging Markets

A macro fund that looks to identify opportunities across currency, local interest rates, sovereign and quasi-sovereign credit markets with a focus on liquidity. The fund trades throughout Latin America, the Middle East, Central and Eastern Europe, Africa and Asia.

BlueCrest Multi Strategy Credit

Engages in opportunities across the full credit spectrum of corporate and sovereign debt markets, implementing strategies such as long / short credit, credit volatility and capital structure arbitrage.

BlueCrest Mercantile

Invests in bonds and loans associated with the production and trade of commercial goods and commodities and then hedges out the associated risks. The credits are purchased from commercial banks who are under pressure to remove them from their balance sheets in order to manage risk concentration and to adhere to regulatory requirements.

BlueTrend Alignment

A global systematic trend following fund that trades in excess of 150 liquid markets covering asset classes including equities, fixed income, foreign exchange, energy, metals and agricultural commodities.

BlueMatrix

A global systematic equity market neutral strategy that draws upon a wide variety of fundamental and technical inputs, as well as other sources. The portfolio construction process incorporates a sophisticated in-house risk model which seeks to maintain market neutrality at the regional level, as well as limiting exposures to other factors such as size or liquidity.

BlueCrest AllBlue Fund Limited (the "Company")

INTERIM MANAGEMENT REPORT FOR THE PERIOD FROM 1 JANUARY TO 30 JUNE 2013

A description of important events that have occurred during the first six months of the financial year, their impact on the performance of the Company as shown in the financial statements and a description of the principal risks and uncertainties for the remaining six months of the annual financial year is given in the Chairman's Statement on pages 1 to 3, and the notes to the financial statements on pages 29 to 50 and are incorporated here by reference.

There were no material related party transactions which took place in the first six months of the financial year, other than those disclosed at note 6 to the financial statements.

This half-yearly financial report has not been audited or reviewed by auditors pursuant to the Auditing Practices Board guidance on Review of Interim Financial Information.

Going Concern

The performance of the investments held by the Company over the reporting period are described in the Statement of Operations and the outlook for the future is described in the Chairman's Statement. The Company's financial position, its cash flows and liquidity position are set out in the financial statements and the Company's financial risk management objectives and policies, details of its financial instruments and its exposures to price risk, credit risk, liquidity risk, interest rate risk and the risk of leverage by Underlying Funds are set out at note 15 to the financial statements.

The Company's Articles incorporate a discount management provision (which applies to each class of Share individually) that requires a continuation vote to be proposed in respect of the particular class of Shares at a class meeting of the relevant shareholders (by way of ordinary resolution) in the circumstances explained on page 9.

As at 12 August 2013, for the purposes of the continuation votes the Sterling Shares had traded at an average 4.09% discount to their net asset values, the Euro Shares at an average 3.65% discount and the US Dollar Shares at an average discount of 3.22%, all over the previous twelve month period. As at 29 August 2013, being the latest practicable date prior to the publication of this document, the Sterling Shares were trading at a discount of

2.86% to their net asset value, the Euro Shares at a discount of 0.36% to their net asset value and the US Dollar Shares at a discount of 0.53% to their net asset value.

The continuation vote mechanism was triggered for the Sterling Shares and US Dollar Shares as announced on 31 January 2013 and for the Euro Shares as announced on 28 February 2013. Continuation resolutions were passed for Sterling and Euro Share classes of Ordinary Shares at separate Class meetings held on 17 April 2013 and accordingly no further continuation vote can be triggered for each class until 31 December 2013 (for the Sterling Share class) and 31 January 2014 (for the Euro Share class). The Continuation resolution was not passed for the US Dollar Share class and therefore the Directors formulated redemption proposals to be put to the shareholders of that class only offering to redeem their shares at the relevant Net Asset Value (less the costs of all such redemptions). Acceptances of the redemption offer for US Dollar Shares were received for 75,413,387 US Dollar Shares (representing approximately 60.84 per cent. of the US Dollar Shares in issue at 1 July 2013). The redemption proceeds of approximately $128million were paid to redeeming shareholders on 8 August 2013.

After making enquiries, the Directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. Accordingly, they continue to adopt the going concern basis in the preparation of this annual financial report.

Responsibility Statements

The Board of directors jointly and severally confirm that, to the best of their knowledge:

a) The financial statements, prepared in accordance with International Financial Reporting Standards as adopted by the European Union, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company; and

b) This Interim Management Report includes or incorporates by reference:

i. An indication of important events that have occurred during the first six months of the financial year, and their impact on the financial statements;

ii. a description of the principal risks and uncertainties for the remaining six months of the financial year;

iii. confirmation that there were no related party transactions in the first six months of the current financial year that have materially affected the financial position or the performance of the Company during that period; and

iv. changes in the related parties transactions described in the last annual report that could have a material effect on the financial position or performance of the Company in the first six months of the current financial year.

Jonathan Hooley

Chairman of the Audit Committee

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF COMPREHENSIVE INCOME

For the period ended 30 June 2013

		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
Net loss on non current financial assets at fair value through profit or loss	7	(4,775,364)	(104,514)	(2,167,876)	(5,571,096)

Net gain on current financial assets at fair value through profit or loss	7	1,079	-	-	1,079

Operating expenses	3	(383,580)	(4,987)	(112,587)	(460,767)

Currency aggregation adjustment		-	-	-	5,879,451

Decrease in net assets attributable to shareholders		(5,157,865)	(109,501)	(2,280,463)	(151,333)


Loss per share for the period		Pence (£)	Cent (€)	Cents ($)
- Basic and Diluted	5	(1.12)	(1.18)	(2.11)

In arriving at the results for the financial period, all amounts above relate to continuing operations.

There is no Other Comprehensive Income for the year.

Reconciliation of basic and diluted loss per share for investment purposes to loss per share per the Financial Statements:

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class
	Pence (£)	Cent (€)	Cents ($)

Loss per share for investment purposes	(1.04)	(1.14)	(2.01)
Adjustment for amortisation of preliminary and other expenses on a straight line basis in accordance with the Prospectus	(0.08)	(0.04)	(0.10)
Loss per share per the Financial Statements	(1.12)	(1.18)	(2.11)

The loss per share for investment purposes represents the loss per share attributable to shareholders in accordance with the Prospectus.

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF COMPREHENSIVE INCOME

For the period ended 30 June 2013

		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
Net gain on non current financial assets at fair value through profit or loss	7	16,952,522	302,668	2,439,860	18,645,866

Net gain on current financial assets at fair value through profit or loss	7	6,510	6	175	6,628

Operating expenses	3	(299,776)	(4,025)	(45,096)	(331,771)

Currency aggregation adjustment		-	-	-	(1,286,722)

Increase in net assets attributable to shareholders		16,659,256	298,649	2,394,939	17,034,001

Earnings per share for the period		Pence (£)	Cent (€)	Cents ($)
- Basic and Diluted	5	3.36	3.11	2.85

In arriving at the results for the financial period, all amounts above relate to continuing operations.

There is no Other Comprehensive Income for the year.

Reconciliation of basic and diluted earnings per share for investment purposes to earnings per share per the Financial Statements:

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class
	Pence (£)	Cent (€)	Cents ($)

Earnings per share for investment purposes	3.42	3.16	2.91
Adjustment for amortisation of preliminary and other expenses on a straight line basis in accordance with Prospectus	(0.06)	(0.05)	(0.06)
Earnings per share per the financial statements	3.36	3.11	2.85

The earnings per Share for investment purposes represents the earnings per share attributable to shareholders in accordance with the Prospectus.

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF FINANCIAL POSITION

As at 30 June 2013

		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
NON CURRENT ASSETS
Unquoted financial assets designated as at fair value through profit or loss	7	771,361,332	14,937,833	202,729,787	917,411,326

CURRENT ASSETS
Quoted financial assets designated as at fair value through profit or loss	7	1,173,359	-	-	1,173,359
Cash and cash equivalents		18,822,370	5,874	112,742	18,901,511
Receivables & prepayments	8	50,224	949	179,070	59,508

		20,045,953	6,823	291,812	20,134,378

TOTAL ASSETS		791,407,285	14,944,656	203,021,599	937,545,704

CURRENT LIABILITIES
Payables & accrued liabilities	9	159,348	3,908	13,495	62,313

		159,348	3,908	13,495	62,313

NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS		791,247,937	14,940,748	203,008,104	937,483,391

Represented by:
CAPITAL AND RESERVES
Share capital	10	-	-	-	-
Share premium	11	-	-	-	-
Treasury shares	12	(51,124,681)	-	-	(51,124,681)
Distributable reserves	13	842,372,618	14,940,748	203,008,104	988,608,072

		791,247,937	14,940,748	203,008,104	937,483,391

SHARES IN ISSUE	10	444,098,238	8,687,526	119,151,694

NAV PER SHARE		£1.7816	€1.7197	$1.7037

The Financial Statements on pages 19 to 50 were approved and authorised for issue by the Board of Directors on Thursday 29 August 2013 and are signed on its behalf by:

Jonathan Hooley

Chairman of the Audit Committee

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF FINANCIAL POSITION

As at 31 December 2012

		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£
NON CURRENT ASSETS
Unquoted financial assets designated as at fair value through profit or loss	7	856,201,904	17,298,847	132,754,520	951,941,685

CURRENT ASSETS
Quoted financial assets designated as at fair value through profit or loss		2,222,281	-	-	2,222,281
Cash and cash equivalents		1,018,915	1,782	20,591	1,033,039
Receivables & prepayments	8	109,371	540,181	4,449,583	3,215,991

		3,350,567	541,963	4,470,174	6,471,311

TOTAL ASSETS		859,552,471	17,840,810	137,224,694	958,412,996

CURRENT LIABILITIES
Payables & accrued liabilities	9	96,214	15,227	111,873	107,270

		96,214	15,227	111,873	107,270

NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS		859,456,257	17,825,583	137,112,821	958,305,726

Represented by:
CAPITAL AND RESERVES
Share capital	10	-	-	-	-
Share premium	11	-	-	-	-
Treasury shares	12	(30,453,679)	-	-	(30,453,679)
Distributable reserves	13	889,909,936	17,825,583	137,112,821	988,759,405

		859,456,257	17,825,583	137,112,821	958,305,726

SHARES IN ISSUE	10	479,354,793	10,304,993	80,041,527

NAV PER SHARE		£1.7929	€1.7298	$1.7130

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS

For the period ended 30 June 2013

		Ordinary Shares
	Notes	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£

Opening balance		859,456,257	17,825,583	137,112,821	958,305,726

Adjustment to allocation of reserves brought forward		(177,023)	(546)	262,715	-

Accretive gain transfer between share classes		(132,426)	17,673	183,440	-

Decrease in net assets attributable to shareholders		(5,157,865)	(109,501)	(2,280,463)	(151,333)

Treasury shares	12	(20,671,002)	-	-	(20,671,002)

Share conversions		(42,070,005)	(2,792,461)	67,729,591	-

Closing balance		791,247,937	14,940,748	203,008,104	937,483,391

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS

For the period ended 31 December 2012

	Notes	Ordinary Shares
		Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
		£	€	$	£

Opening balance		835,038,683	14,726,992	136,023,320	935,014,604

Adjustment to allocation of reserves brought forward		153,777	15,534	(278,318)	-

Increase in net assets attributable to shareholders		51,950,471	947,103	7,784,973	53,261,722

Treasury shares	12	(29,970,600)	-	-	(29,970,600)

Share conversions		2,283,926	2,135,954	(6,417,154)	-

Closing balance		859,456,257	17,825,583	137,112,821	958,305,726

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF CASH FLOWS

For the period ended 30 June 2013

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Operating activities
Decrease in net assets attributable to shareholders	(5,157,865)	(109,501)	(2,280,463)	(151,333)

Unrealised (appreciation) / depreciation on financial assets at fair value through profit or loss	41,190,819	665,802	3,787,084	43,531,054
Realised gains on sales of financial assets	(23,789,965)	(73,406)	(644,138)	(24,276,201)
Interest income	(17,510)	(333)	(4,559)	(20,747)
Interest expense	42,535	808	11,074	50,398
Currency aggregation adjustment	-	-	-	(5,879,451)
Adjustment to allocation of reserves brought forward	(177,023)	(546)	262,715	-
Accretive gain transfer between share classes	(132,426)	17,673	183,440	-
(Decrease) / increase in payables	63,134	(11,319)	(98,377)	(44,957)
Decrease in receivables	59,147	539,232	4,270,513	3,156,484
Net cashflow from operating activities	12,080,847	1,028,410	5,487,289	16,365,247

Investing activities
Interest received	17,510	333	4,559	20,747
Purchase of financial assets	(71,140,944)	(1,808,018)	(14,534,971)	(82,242,523)
Proceeds from sale of financial assets	110,186,148	1,272,058	10,121,418	117,927,884

Net cashflow from investing activities	39,062,714	(535,627)	(4,408,994)	35,706,108

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF CASH FLOWS (continued)

For the period ended 30 June 2013

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Financing activities
Purchase of own shares	(20,671,002)	-	-	(20,671,002)
Realised gains on conversions	(12,626,569)	(487,882)	(975,070)	(13,684,837)
Interest paid	(42,535)	(808)	(11,074)	(50,398)

Net cashflow from financing activities	(33,340,106)	(488,690)	(986,144)	(34,406,237)


Cash and cash equivalents at beginning of period	1,018,915	1,782	20,591	1,033,040

Currency aggregation adjustment	-	-	-	203,353
Increase in cash and cash equivalents	17,803,455	4,092	92,151	17,665,118

Cash and cash equivalents at end of period	18,822,370	5,874	112,742	18,901,511

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF CASH FLOWS

For the period ended 30 June 2012

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Operating activities
Increase in net assets attributable to shareholders	16,659,256	298,649	2,394,939	17,034,001

Unrealised (appreciation) / depreciation on financial assets at fair value through profit or loss	491,241	(95,274)	(1,169,990)	(224,927)
Realised gains on sales of financial assets	(17,159,533)	(174,733)	(1,081,973)	(17,990,529)
Interest income	-	(99)	-	(77)
Interest expense	2,289	49	355	2,554
Currency aggregation adjustment	-	-	-	1,286,722
Adjustment to allocation of reserves brought forward	30,800	(227)	(55,896)	-
(Decrease) / Increase in accrued expenses and payables	7,687	2,409	82,376	8,468
Increase in prepayments and accrued income	(79,748)	(568)	(4,255)	(29,947)

Net cashflow from operating activities	(48,008)	30,206	165,556	86,265

Investing activities
Interest received	-	99	-	77
Purchase of financial assets	(84,051,750)	(1,662,891)	(14,621,467)	(94,717,814)
Proceeds from sale of financial assets	89,812,825	1,670,023	14,687,035	100,526,459

Net cashflow from investing activities	5,761,075	7,231	65,568	5,808,722

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

STATEMENT OF CASH FLOWS (continued)

For the period ended 30 June 2012

	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Financing activities
Purchase of own shares	(868,503)	-	-	(868,503)
Realised gains on conversions	(290,740)	(32,667)	(188,071)	(437,039)
Interest paid	(2,289)	(49)	(355)	(2,554)

Net cashflow from financing activities	(1,161,532)	(32,716)	(188,426)	(1,308,096)


Cash and cash equivalents at beginning of period	(262,113)	(4,623)	(42,698)	(293,496)

Currency aggregation adjustment	-	-	-	(3,894)
Increase in cash and cash equivalents	4,551,535	4,721	42,698	4,586,891

Cash and cash equivalents at end of period	4,289,422	98	-	4,289,501

The notes on pages 29 to 50 form an integral part of these financial statements.

BlueCrest AllBlue Fund Limited (the "Company")

NOTES TO THE FINANCIAL STATEMENTS

For the period ended 30 June 2013

1 ACCOUNTING POLICIES

(a) Basis of preparation

The Financial Statements have been prepared in conformity with International Financial Reporting Standards ("IFRS") as adopted by the European Union and applicable Guernsey law. The Financial Statements have been prepared on an historical cost basis except for the measurement at fair value of financial assets designated at fair value through profit or loss.

The Financial Statements are presented in Sterling because that is the currency of the primary economic environment in which the Company operates.

Changes in accounting policy and disclosures:

The following Standards or Interpretations have been adopted in the current period. Their adoption has not had any impact on the amounts reported in these Financial Statements and is not expected to have any impact on future financial periods:

IFRS 7 Financial Instruments: Disclosures - amendments relating to the offsetting of assets and liabilities effective for annual periods beginning on or after 1 January 2013 and interim periods within those periods.

IFRS 13 Fair Value Measurement - original issue effective for annual periods beginning on or after 1 January 2013.

IAS 1 Presentation of Financial Statements - amendments resulting from annual improvements for annual periods beginning on or after 1 January 2013.

IAS 32 Financial Instruments: Presentation - amendments resulting from annual improvements for annual periods beginning on or after 1 January 2013.

IAS 34 Interim Financial Reporting - amendments resulting from annual improvements for annual periods beginning on or after 1 January 2013.

The following Standards or Interpretations that are expected to affect the Company have been issued but not yet adopted by the Company are shown below. Other Standards or Interpretations issued by the IASB and IFRIC are not expected to affect the Company. The Board has not yet assessed the impact of the standards below on the Company and will do so prior to the earliest period of adoption.

IFRS 7 Financial Instruments: Disclosures - amendments requiring disclosures about the initial application of IFRS 9 effective for annual periods beginning on or after 1 January 2015 (or otherwise when IFRS 9 is first applied).

IFRS 9 Financial Instruments - original issue (classification and measurement of financial assets) effective for annual periods beginning on or after 1 January 2015.

IAS 32 Financial Instruments: Presentation - amendments relating to the offsetting of assets and liabilities for annual periods beginning on or after 1 January 2014.

No formal analysis has been completed on the impact of the adoption of any of the above standards or interpretations on the Financial Statements in the period of initial application.

(b) Going concern

As described in Note 10, should the average 12 month discount at which the shares of any class trade to their net asset value exceed 5% of net asset value per share, the Company is obliged to offer a continuation vote to class shareholders.

1 ACCOUNTING POLICIES (continued)

(b) Going concern (continued)

The continuation vote mechanism was triggered for the Sterling Shares and US Dollar Shares, as announced on 31 January 2013 and for the Euro Shares, as announced on 28 February 2013. Continuation resolutions were passed for Sterling and Euro Share classes of Ordinary Shares at separate Class meetings held on 17 April 2013 and accordingly no further continuation vote could be triggered for each class until 31 December 2013 (Sterling Shares) and 31 January 2014 (Euro Shares). The Continuation resolution was not passed for the US Dollar Share class and therefore the Directors formulated redemption proposals to be put to the shareholders of that class only offering to redeem their shares at the relevant Net Asset Value (less the costs of all such redemptions) on 1 July 2013. Acceptances of the Redemption Offer for US Dollar Shares were received for 75,413,387 US Dollar Shares (representing approximately 60.84 per cent. of the US Dollar Shares in issue at 1 July 2013).

The Company has adequate financial resources and as a consequence, the Directors believe the Company is well placed to manage its business risks successfully. After making enquiries, the Directors have a reasonable expectation that the Company has adequate resources to continue in operational existence for the foreseeable future. Accordingly, the Directors have adopted the going concern basis in preparing the financial information.

The Company has been granted exemption under the Income Tax (Exempt Bodies) (Guernsey) Ordinance, 1989 from Guernsey Income Tax, and is charged an annual fee of £600.

(d) Expenses

All expenses are accounted for on an accruals basis. Expenses relating to the Company are allocated across the three share classes proportionally based on their individual net asset values.

(e) Interest income

Interest income is accounted for on an accruals basis.

(f) Cash and cash equivalents

Cash and cash equivalents are defined as call deposits and short term deposits readily convertible to known amounts of cash and subject to insignificant risk of changes in value, together with bank overdrafts. For the purposes of the Statement of Cash Flows, cash and cash equivalents consist of cash and deposits at bank, together with bank overdrafts.

(g) Investments

All investments are designated upon initial recognition as financial assets at "fair value through profit or loss". Investments are initially recognised on the date of purchase (on 'trade date' basis) at cost, being the fair value of the consideration given, excluding transaction costs associated with the investment, with unrealised gains and losses on investments arising from change in fair value of investments from prior years is recognised in the Statement of Comprehensive Income.

Realised gains or losses are determined on the disposal of investments. These are recognised in the Statement of Comprehensive Income.

In order to assess the fair value of non-current investments the net asset value of the underlying investment in AllBlue and AllBlue Leveraged is taken into consideration.

1 ACCOUNTING POLICIES (continued)

(g) Investments (continued)

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 the Company's shares.

During the prior year, part of the Cash Reserve was placed in funds of the Institutional Cash Series plc ("ICS") (an umbrella investment company with variable capital and having segregated liability between its funds) namely the Institutional Sterling Government Liquidity Fund - Core (Acc), the Institutional Euro Government Liquidity Fund - Core (Acc) and the Institutional US Treasury Fund - Core (Acc) (together the "ICS Funds"). These assets are classified as current as they are expected to be used for funding the purchase of treasury shares. On 1 January 2013 the Company restructured the Cash Reserve, ICS Funds and AllBlue Leveraged investments so that they were held solely within the Sterling pool of assets but so that the Cash Reserve remained available for use by all three share classes.

The fair value of the shares in the ICS Funds are derived from quoted prices, and valued using bid prices.

The Company's net asset value is based on valuations of unquoted investments. In calculating the net asset value and the net asset value per share of the Company, the Administrator relies on the net asset values of the shares in AllBlue Limited supplied by the Administrator of AllBlue Limited and AllBlue Leveraged. Those net asset values are based on the market value of the various investments held by AllBlue Leveraged.

(h) Foreign currency translation

The Financial Statements are presented in Sterling, which is the Company's functional and presentation currency. Operating expenses in foreign currencies are initially recorded at the functional currency rate ruling at the date of the transaction. Monetary assets and liabilities denominated in foreign currencies are translated at the functional currency rate of exchange ruling at the reporting date. Investments in US Dollars and Euro share classes are initially recorded in their respective currencies and translated into the Company's functional currency at the reporting date. All differences on these foreign currency translations are taken to the Statement of Comprehensive Income.

(i) Segment information

For management purposes, the Company is organised into one business unit, and hence no separate segment information has been presented. The Company determines that this operating segment is the investment in three share classes of a fund of hedge funds incorporated in the Cayman Islands.

(j) Shares

Sterling, Euro and US Dollar Ordinary Shares have been classified as liabilities in accordance with IAS 32 because of the provisions contained in the Company's Articles of Association as described in Note 10. The Directors have been advised that this treatment does not result in the Shares being treated as a liability for the purpose of applying the solvency test set out in Section 527 of The Companies (Guernsey) Law, 2008, as amended.

2 CRITICAL ACCOUNTING JUDGEMENTS AND KEY SOURCES OF ESTIMATION UNCERTAINTY

In the application of the Company's accounting policies, which are described in Note 1, the Directors are required to make judgements, estimates and assumptions about the carrying amounts of assets and liabilities that are not readily apparent from other sources. The estimates and associated assumptions are based on historical experience and other factors that are considered to be relevant. Actual results may differ from these estimates.

The estimates and underlying assumptions are reviewed on an ongoing basis. Revisions to accounting estimates are recognised in the period in which the estimate is revised if the revision affects only that period, or in the period of the revision and future periods if the revision affects both current and future periods.

Critical judgements in applying the Company's accounting policies

The following are the critical judgements and estimates that the Directors have made in the process of applying the Company's accounting policies and that have the most significant effect on the amounts recognised in the Financial Statements.

Valuation of non-current investments

The Directors consider that the confirmed NAV of AllBlue and AllBlue Leveraged, as produced by the administrator of AllBlue and AllBlue Leveraged, represents the fair value of the investments in the Company.

Different assumptions regarding the valuation techniques of AllBlue and AllBlue Leveraged could lead to different valuations of the investments produced by different parties.

3 OPERATING EXPENSES

	1 Jan 2013 to 30 Jun 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Administration fees	80,829	1,536	21,045	95,771
Directors' remuneration	70,568	1,341	18,373	83,612
Registration fees	42,398	806	11,039	50,236
Directors and Officers insurance	16,091	306	4,189	19,065
Broker fees	10,599	201	2,760	12,558
Audit fees	8,788	167	2,288	10,412
Annual and Regulatory fees	39,149	744	10,193	46,386
Legal and Professional fees	65,205	1,239	16,977	77,258
Printing of reports	5,090	96	1,326	6,031
Bank interest on overdraft facility	42,535	808	11,074	50,398
Bank facility fee and charges	16,639	54	649	17,105
(Profit) / Loss on exchange	(7,504)	(2,181)	14,446	-
Other operating expenses	10,703	203	2,787	12,681

	408,953	4,512	106,072	481,513

Less: Bank interest earned	(17,510)	(333)	(4,559)	(20,747)

Total expenses for the period	383,580	4,987	112,587	460,766

	1 Jan 2012 to 30 Jun 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£

Administration fees	82,157	1,772	12,753	91,698
Directors' remuneration	77,158	1,664	11,977	86,118
Registration fees	41,191	888	6,394	45,974
Directors and Officers insurance	16,231	350	2,519	18,116
Broker fees	22,354	482	3,470	24,950
Audit fees	8,935	193	1,387	9,973
Annual and Regulatory fees	31,271	674	4,854	34,902
Legal and Professional fees	3,577	77	555	3,992
Printing of reports	6,257	135	972	6,984
Bank interest on overdraft facility	2,289	49	355	2,554
Bank facility fee and charges	5,243	123	749	5,818
(Profit) / Loss on exchange	-	(2,350)	(1,372)	(2,706)
Other operating expenses	3,113	67	483	3,474

	299,776	4,124	45,096	331,847

Less: Bank interest earned	-	(99)	-	(77)

Total expenses for the period	299,776	4,025	45,096	331,770

4 DIRECTORS' REMUNERATION

	Annual fee
	£
Richard Crowder, Chairman	50,000
Jonathan Hooley, Chairman Audit Committee	40,000
Paul Meader, Senior Independent Director	40,000
John Le Prevost	35,000
Andrew Dodd	Waived

	165,000

During the period Jonathan Hooley and John Le Prevost earned additional ad-hoc fees of £1,500 for on site visits, which took place during December 2012. .

In addition, Paul Meader undertook certain additional duties involving a liaison with the Company's principal institutional shareholders during the period. Mr Meader received an additional fee of £23,320 for these duties which is included within Legal and Professional fees. .

The directors of the Company are considered key management personnel.

5 (LOSS) / EARNINGS PER SHARE

The loss per each class of shares is based on the net loss for the period of £5,157,865 (June 2012: gain of £16,659,256 and 457,705,509 (June 2012: 495,685,122) shares in the Sterling Ordinary share class, €109,501 (June 2012: gain of €298,649) and 9,202,989 (June 2012: 9,579,673) shares in the Euro Ordinary share class, $2,280,463 (June 2012: gain of $2,394,939) and 107,940,646 (June 2012: 83,754,413) shares in the US$ Ordinary share class, being the weighted average number of shares in issue during the period.

6 RELATED PARTY TRANSACTIONS

Transactions with related parties are made on terms equivalent to those that prevail in an arm's length transaction.

Anson Fund Managers Limited is the Company's administrator and secretary, Anson Registrars Limited is the Company's registrar, transfer agent and paying agent and Anson Administration (UK) Limited is the Company's UK Transfer agent. John R Le Prevost is a Director and controller of Anson Fund Managers Limited, Anson Registrars Limited and Anson Administration (UK) Limited. £146,007 (Jun 2012: £137,672) of costs were incurred by the Company with these related parties in the period, of which £22,903 (Dec 2012: £15,846) was due to these related parties at 30 June 2013.

In accordance with IAS 39 Financial Instruments: Recognition and Measurement, the Company has accounted for the holding in AllBlue Limited and AllBlue Leveraged Feeder Limited at fair value in accordance with IAS 39, with changes in fair value recognised in profit or loss, rather than accounting for the holding as an Investment in an Associate (IAS 28).

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS

	As at 30 June 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
UNQUOTED FINANCIAL ASSETS
Portfolio cost brought forward	668,703,360	15,138,381	117,875,452	753,532,739
Unrealised appreciation on valuation brought forward	187,498,544	2,160,466	14,879,068	198,408,946

Valuation brought forward	856,201,904	17,298,847	132,754,520	951,941,685

Movements in the period:
Gross share conversions in the period	(42,070,005)	(2,792,461)	67,729,591	-
Adjustment for realised gain on Share conversions	12,626,569	487,882	975,070	13,684,837
Purchases at fair value	71,140,944	1,808,018	14,534,971	82,242,523
Sales	(85,347,454)	(1,198,652)	(9,477,280)	(92,602,953)
Exchange losses on currency balances	-	-	-	5,676,096

Portfolio cost carried forward	625,053,415	13,443,169	191,637,803	762,533,242

Unrealised appreciation on valuation carried forward	146,307,917	1,494,664	11,091,984	154,878,084

Valuation carried forward	771,361,332	14,937,833	202,729,787	917,411,326

Realised gains on sales	36,415,263	561,288	1,619,208	37,959,766
Decrease in unrealised appreciation	(41,190,627)	(665,802)	(3,787,084)	(43,530,862)

Net loss on financial assets at fair value through profit or loss	(4,775,364)	(104,514)	(2,167,876)	(5,571,096)

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

	As at 31 December 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
UNQUOTED FINANCIAL ASSETS
Portfolio cost brought forward	681,588,156	13,165,885	126,950,862	774,412,964
Unrealised appreciation on valuation brought forward	153,722,585	1,583,449	9,149,833	160,942,219

Valuation brought forward	835,310,741	14,749,334	136,100,695	935,355,183

Movements in the year:
Gross share conversions in the year	2,283,926	2,135,954	(6,417,154)	-
Adjustments for realised gains on Share conversions	1,157,125	208,300	1,067,833	1,983,369
Purchases at fair value	60,351,750	1,120,222	9,849,819	67,322,669
Sales	(76,677,597)	(1,491,980)	(13,575,908)	(86,243,320)
Exchange gains on currency balances	-	-	-	(3,942,943)

Portfolio cost carried forward	668,703,360	15,138,381	117,875,452	753,532,739

Unrealised appreciation on valuation carried forward	187,498,544	2,160,466	14,879,068	198,408,946

Valuation carried forward	856,201,904	17,298,847	132,754,520	951,941,685

Realised gains on sales	18,801,003	383,033	2,149,806	20,434,940
Increase in unrealised appreciation	33,775,959	577,017	5,729,235	37,466,727

Net gains on financial assets at fair value through profit or loss	52,579,962	960,050	7,879,041	57,901,667

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

	As at 30 June 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
QUOTED FINANCIAL ASSETS
Portfolio cost brought forward	2,219,610	-	-	2,219,610
Unrealised appreciation on valuation brought forward	2,671	-	-	2,671

Valuation brought forward	2,222,281	-	-	2,222,281

Movements in the year:
Purchases at fair value	-	-	-	-
Sales	(1,048,730)	-	-	(1,048,730)

Portfolio cost carried forward	1,170,880	-	-	1,170,880

Unrealised appreciation on quoted investment valuation carried forward	2,479	-	-	2,479

Valuation carried forward	1,173,359	-	-	1,173,359

Realised gains on sales	1,271	-	-	1,271
Increase in unrealised appreciation	(192)	-	-	(192)

Net gains on financial assets at fair value through profit or loss	1,079	-	-	1,079

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

	As at 31 December 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	£
QUOTED FINANCIAL ASSETS
Portfolio cost brought forward	-	-	-	-
Unrealised appreciation on valuation brought forward	-	-	-	-

Valuation brought forward	-	-	-	-

Movements in the year:
Purchases at fair value	23,700,000	542,669	4,771,648	27,228,854
Sales	(21,480,390)	(542,669)	(4,771,648)	(25,009,244)

Portfolio cost carried forward	2,219,610	-	-	2,219,610

Unrealised appreciation on quoted investment valuation carried forward	2,671	-	-	2,671

Valuation carried forward	2,222,281	-	-	2,222,281

Realised gains on sales	19,610	8	853	20,141
Increase in unrealised appreciation	2,671	-	-	2,671

Net gains on financial assets at fair value through profit or loss	22,281	8	853	22,812

IFRS 7 requires fair value to be disclosed by the source of inputs, using a three-level hierarchy:

*Quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1);

*Inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly (as prices) or indirectly (derived from prices) (Level 2); and

*Inputs for the asset or liability that are not based on observable market data (unobservable inputs) (Level 3).

The quoted investments held by the Company have been classified as Level 1 and the unquoted investments held by the Company have been classified as Level 2. This is in accordance with the fair value hierarchy.

7 INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS (continued)

Details of the value of the classification are listed in the table below. Values are based on the market value of the investments as at the reporting date:

Financial assets at fair value through profit or loss	Fair Value as at 30 June 2013	Fair Value as at 31 December 2012
	GBP	GBP

Level 1	1,173,359	2,222,281
Level 2	917,411,326	951,941,685

There have not been any transfers between any levels of the fair value hierarchy during the period under review.

8 RECEIVABLES

30 June 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimination	Total
	£	€	$	£	£

Prepayments	50,224	949	12,887	-	59,508
Investment proceeds receivable	-	-	-	-	-
Inter class loan accounts	-	-	166,183	(109,249)	-

	50,224	949	179,070	(109,249)	59,508

31 December 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimination	Total
	£	€	$	£	£

Prepayments	30,632	636	4,890	-	34,158
Investment proceeds receivable	-	539,367	4,443,322	-	3,172,257
Other receivables	8,588	178	1,371	-	9,576
Inter class loan accounts	70,151	-	-	(70,151)	-

	109,371	540,181	4,449,583	(70,151)	3,215,991

9 PAYABLES (AMOUNTS FALLING DUE WITHIN ONE YEAR)

30 June 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimination	Total
	£	€	$	£	£

Accrued administration fees	13,128	248	3,369	-	15,555
Accrued broker fees	10,362	196	2,659	-	12,278
Accrued registration fees	6,202	117	1,591	-	7,348
Accrued audit fees	8,815	167	2,262	-	10,445
Accrued printing costs	12,054	228	3,093	-	14,282
Inter class loan accounts	106,757	2,914	-	(109,249)	-
Other sundry accruals	2,030	38	521	-	2,405

	159,348	3,908	13,495	(109,249)	62,313

31 December 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Elimination	Total
	£	€	$	£	£

Accrued administration fees	14,226	289	2,252	-	15,846
Accrued broker fees	23,768	493	3,794	-	26,503
Accrued audit fees	19,198	399	3,065	-	21,408
Accrued printing costs	10,613	220	1,694	-	11,834
Inter class loan accounts	-	13,236	96,533	(70,151)	-
Other sundry accruals	28,409	590	4,535	-	31,679

	96,214	15,227	111,873	(70,151)	107,270

10 SHARE CAPITAL

Authorised

An unlimited number of Unclassified shares of no par value each.

	Ordinary Shares
Issued	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total

Number of shares in issue at 30 June 2013	444,098,238	8,687,526	119,151,694	571,937,458

	Ordinary Shares
The movement in shares took place as follows:	Number of Sterling Shares	Number of Euro Shares	Number of US Dollar Shares
Date of movement

Sub-total brought forward as at 1 January 2012	496,030,299	9,016,323	84,028,438

Conversion 1 January 2012	(183,615)	209,461	22,675
Conversion 1 February 2012	(225,547)	274,160	7,489
Conversion 1 March 2012	(92,419)	(3,661)	158,079
Conversion 1 April 2012	214,750	272,633	(724,751)
Conversion 1 May 2012	21,370	(19,782)	(9,679)
Conversion 1 June 2012	174,265	786	(280,869)
Buyback of treasury shares in the quarter ended 30 June 2012	(525,647)	-	-
Conversion 1 July 2012	230,459	(143,279)	(193,465)
Conversion 1 August 2012	574,671	(426,192)	(410,000)
Conversion 1 September 2012	(676,897)	1,359,118	(605,654)
Buybackof shares in the quarter ended 30 September 2012	(5,098,476)	-	-
Conversion 1 October 2012	1,019,382	(22,467)	(1,688,237)
Conversion 1 November 2012	150,607	(12,107)	(237,892)
Conversion 1 December 2012	171,397	(200,000)	(24,607)
Buyback of shares in the quarter ended 31 December 2012	(12,429,806)	-	-

As at 31 December 2012	479,354,793	10,304,993	80,041,527

10 SHARE CAPITAL (continued)

	Ordinary Shares
The movement in shares took place as follows:	Number of Sterling Shares	Number of Euro Shares	Number of US Dollar Shares
Date of movement

Sub-total brought forward as at 1 January 2013	479,354,793	10,304,993	80,041,527

Conversion 1 January 2013	(664,951)	(1,148,538)	2,661,138
Conversion 1 February 2013	(14,935)	194,925	(242,450)
Buyback of shares in the quarter ended 31 March 2013	(10,023,943)	-	-
Conversion 1 April 2013	(3,480,521)	153,631	5,339,216
Conversion 1 May 2013	(1,407,608)	36,710	2,238,869
Conversion 1 June 2013	3,616,622	(724,570)	(4,797,604)
RepBuyback of shares in the quarter ended 30 June 2013	(2,041,925)	-	-

As at 30 June 2013	444,098,238	8,687,526	119,151,694

As explained in Note 1(j) above the share classes have been recognised as liabilities.

In the event of a return of capital on a winding-up or otherwise, Shareholders are entitled to participate in the distribution of capital after paying all the debts and satisfying all the liabilities attributable to the relevant share class.

The holders of shares of the relevant share class shall be entitled to receive by way of capital any surplus assets of the share class in proportion to their holdings. In the event that the share class has insufficient funds or assets to meet all the debt and liabilities attributable to that share class, any such shortfall shall be paid out of funds or assets attributable to the other share classes in proportion to the respective net assets of the relevant share classes as at the date of winding-up.

The Company's Articles incorporate a discount management provision (which applies to each class of Ordinary Shares individually) that will require a continuation vote to be proposed in respect of the particular class of Ordinary Shares at a class meeting of the relevant shareholders (by way of ordinary resolution) if, over the previous 12 month rolling period commencing from 1 January 2008, the relevant class of Ordinary Shares has traded, on average (calculated by averaging the closing mid-market share price on the dates which are 5 Business Days after the date on which each estimated Published NAV announcement is made for each NAV Calculation date over the period) at a discount in excess of 5 per cent to the average Net Asset Value per Ordinary Share of that class (calculated by averaging the NAV per Ordinary Share of that class as at the NAV Calculation Date at the end of each month during the period).

In the event that a vote to continue is proposed and passed for any class of Ordinary Shares as a result of the operation of such mechanism, no further continuation vote will be capable of being proposed for that class for a further 12 months from the date on which the requirement for such a continuation vote was triggered.

10 SHARE CAPITAL (continued)

If such continuation vote is not passed, the Directors will be required to formulate redemption proposals to be put to the Shareholders of that class offering to redeem their Ordinary Shares at the relevant published net asset value on the NAV Calculation Date immediately preceding such redemption (less the costs of all such redemptions). However, where one or more such resolutions in respect of the same period is/are not passed and the class(es) of Ordinary Shares involved represent 75 per cent, or more of the Company's net assets attributable to all Ordinary Shares at the last NAV Calculation Date on or immediately preceding the date of the latest continuation resolution being defeated, the Directors may first (at their discretion) put forward alternative proposals to all shareholders to offer to repurchase their Shares or to reorganise, reconstruct or wind up the Company. If, however, such alternative proposals are not passed by the necessary majority of shareholders of the relevant class, the Directors must proceed to offer to redeem the relevant class(es) of Ordinary Shares on the terms described above.

Where following redemption of any class of Ordinary Shares under the discount management provision, the number of Ordinary Shares of that class remaining in issue represent less than 25 per cent, of the Ordinary Shares of that class in issue immediately before such redemption or the listing for such class of Ordinary Shares on the Official List is withdrawn or threatened to be withdrawn or the Directors determine that the conditions for the continued listing of that class are not (or they believe will not be) met, then the Company may redeem the remaining issued Ordinary Shares of that class within 3 months of such determination at a redemption price equal to the net asset value of Ordinary Shares of that class on the NAV Calculation Date selected by the Directors for such purpose (less the costs of such redemption).

11 SHARE PREMIUM

The Companies (Guernsey) Law, 2008 (as amended) (the "2008 Law")does not require share premium to be held in a separate account and any premium at which shares are issued can be used for all purposes, including the buy back of Shares and the payment of dividends, provided that the Company would after any distribution still meet the statutory Solvency Test as such is defined in the 2008 Law. Accordingly, upon the issue of C Shares in August 2008, December 2009 and June 2010 the entire amount of share premium received on the issue of such C Shares was immediately transferred to distributable reserves.

12 TREASURY SHARES

30 Jun 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$

Balance as at 1 January 2013	30,453,679	-	-	30,453,679
Cancelled during the period	-	-	-	-
Acquired during the period	20,671,002	-	-	20,671,002

Balance as at 30 June 2013	51,124,681	-	-	51,124,681

31 Dec 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$

Balance as at 1 January 2012	483,079	-	-	483,079
Cancelled during the year	-	-	-	-
Acquired during the year	29,970,600	-	-	29,970,600

Balance as at 31 December 2012	30,453,679	-	-	30,453,679

The treasury shares reserve represents 30,569,797 (2012: 18,503,929) Sterling Shares purchased in the market at various prices per share ranging from £1.63 to £1.7506 and held by the Company in treasury. No cancellation of Shares took place in the period (2012 none).

13 DISTRIBUTABLE RESERVES

30 Jun 2013
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	$

Balance as at 1 January 2013	889,909,936	17,825,583	137,112,821	988,759,405
Decrease in net assets attributable to shareholders after other comprehensive income	(5,157,865)	(109,501)	(2,280,463)	(151,333)
Adjustment to allocation of reserves brought forward	(177,023)	(546)	262,715	-
Accretive gain transfer between share classes	(132,426)	17,673	183,440	-
Share conversions	(42,070,005)	(2,792,461)	67,729,591	-

Balance as at 30 June 2013	842,372,618	14,940,748	203,008,104	988,608,072

13 DISTRIBUTABLE RESERVES (continued)

31 Dec 2012
	Ordinary Shares
	Sterling Share Class	Euro Share Class	US Dollar Share Class	Total
	£	€	$	$

Balance as at 1 January 2012	835,521,762	14,726,992	136,023,320	935,497,683
Decrease in net assets attributable to shareholders after other comprehensive income	51,950,471	947,103	7,784,973	53,261,722
Adjustment to allocation of reserves brought forward	153,777	15,534	(278,318)	-
Share conversions	2,283,926	2,135,954	(6,417,154)	-

Balance as at 31 December 2012	889,909,936	17,825,583	137,112,821	988,759,405

14 FINANCIAL INSTRUMENTS

The Company's main financial instruments comprise:

(a) Cash and cash equivalents that arise directly from the Company's operations;

(b) Shares held in AllBlue Limited and AllBlue Leveraged; and

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES

The main risks arising from the Company's financial instruments concerns its holding of shares in ICS, AllBlue and AllBlue Leveraged and the risks attaching to those shares which are market price risk, credit risk, liquidity risk, interest rate risk and increased volatility due to leverage employed by the Underlying Funds as explained below.

The Company is not exposed directly to material foreign exchange risk as each class of Shares in the Company is directly invested in shares of AllBlue, AllBlue Leveraged and ICS denominated in the same corresponding currency.

So far as the Company is concerned, the only risk over which the Board can exercise direct control is the liquidity risk attaching to its ability to realise shares in AllBlue, AllBlue Leveraged and ICS for the purpose of meeting share buy backs and ongoing expenses of the Company. Thereafter the Board recognises that the Company has via its holding of shares in AllBlue, AllBlue Leveraged and ICS an indirect exposure to the risks summarised below.

For the shares held in the ICS Funds the Board notes that such shares may be realised on short notice on any business day with proceeds in respect thereof usually being transmitted by telegraphic transfer on the business day following receipt of the redemption notice by the ICS Fund subject to cut-off times depending on the specific ICS Fund in which shares are being redeemed.

It must also be noted that there is little or nothing which the Board can do to manage each of these risks within ICS, AllBlue and AllBlue Leveraged or the Underlying Funds in which AllBlue and AllBlue Leveraged invests (the "Underlying Fund(s)"), under the current investment objective of the Company.

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(a) Price Risk

The success of the Company's activities will be affected by general economic and market conditions, such as interest rates, availability of credit, inflation rates, economic uncertainty, changes in laws, trade barriers, currency exchange controls and national and international political circumstances. These factors may affect the level and volatility of securities' prices and the liquidity of the Underlying Funds' investments. Volatility or illiquidity could impair the Underlying Funds' profitability or result in losses.

Details of the Company's Investment Objectives and Policy are given on page X.

Price sensitivity

The Company invests substantially all its assets in AllBlue, AllBlue Leveraged and ICS and does not undertake any structural borrowing or hedging activity at the Company level. Its performance is therefore directly linked to the net asset value of AllBlue, which itself is driven by the net asset values of the Underlying Funds, each of which hold a large number of positions in listed and unlisted securities.

At 30 June 2013, (31 December 2012 for comparative) if the net asset value of AllBlue, AllBlue Leveraged and ICS had been 10% higher/lower with all other variables held constant, the net assets attributable to Shareholders for the period would have increased/decreased as stated below, arising due to the increase in the fair value of financial assets at fair value through profit or loss.

	Increase in net assets attributable to shareholders		Decrease in net assets attributable to shareholders
	30 Jun 2013	31 Dec 2012	30 Jun 2013	31 Dec 2012

Sterling Shareholders	77,253,469	85,842,418	(77,253,469)	(85,852,418)
Euro Shareholders	1,277,543	1,404,469	(1,277,543)	(1,404,469)
Dollar Shareholders	13,327,456	8,169,509	(13,327,456)	(8,169,509)

Total	91,858,468	95,416,397	(91,858,468)	(95,416,397)

(b) Credit Risk

The nature of commercial arrangements made in the normal course of business between many prime brokers and custodians means that in the case of any one prime broker or custodian defaulting on its obligations to AllBlue and AllBlue Leveraged or any of the Underlying Funds, the effects of such a default may have negative effects on other prime brokers with whom AllBlue and AllBlue Leveraged or such Underlying Fund deals. The Underlying Funds and, by extension, AllBlue, AllBlue Leveraged and the Company may, therefore be exposed to systemic risk when AllBlue and AllBlue Leveraged or an Underlying Fund deals with prime brokers and custodians whose creditworthiness may be interlinked.

The assets of Underlying Funds or AllBlue Leveraged may be pledged as margin with prime brokers or other counterparties or held with prime brokers or banks. In the event of the default of any of these prime brokers, banks or counterparties, AllBlue, AllBlue Leveraged and ICS or the Underlying Funds may not receive back all or any of the assets pledged or held with the defaulting party.

The maximum credit risk to which the Company was exposed at the year end was £937,486,196 (Dec 2012: £955,123,518).

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(b) Credit Risk (continued)

The main concentration of risk for the Company relates to the investments in AllBlue, AllBlue Leveraged and ICS.

In some circumstances, investments held by the Underlying Funds of AllBlue and AllBlue Leveraged may be relatively illiquid making it difficult to acquire or dispose of them at the prices quoted on the various exchanges. Accordingly, an Underlying Fund's ability to respond to market movements may be impaired and, consequently, the Underlying Fund may experience adverse price movements upon liquidation of its investments which may in turn affect the value of AllBlue and AllBlue Leveraged and hence the Company's investment in AllBlue and AllBlue Leveraged. Settlement of transactions may be subject to delay and administrative formalities.

There can be no assurance that the liquidity of the investments of AllBlue, AllBlue Leveraged and ICS and the Underlying Funds will always be sufficient to meet redemption requests as, and when, made. Any such lack of liquidity may affect the ability of the Company to realise its shares in AllBlue, AllBlue Leveraged and ICS and the value of Shares in the Company. For such reasons AllBlue's, AllBlue Leveraged's and ICS's treatment of redemption requests may be deferred in exceptional circumstances including if a lack of liquidity may result in difficulties in determining the net asset value and the net asset value per share in AllBlue. This in turn would limit the ability of the Directors to realise the Company's investments in AllBlue and AllBlue Leveraged should they consider it appropriate to do so and may result in difficulties in determining the net asset value of a Share in the Company. There was no gating or suspension of AllBlue or AllBlue Leveraged during the period under review or in the previous year.

The market prices, if any, for such illiquid investments tend to be volatile and may not be readily ascertainable and the relevant Underlying Fund may not be able to sell them when it desires to do so or to realise what it perceives to be their fair value in the event of a sale. The size of the Underlying Funds' positions may magnify the effect of a decrease in market liquidity for such instruments. Changes in overall market leverage, deleveraging as a consequence of a decision by the counterparties with which the Underlying Funds enter into repurchase/reverse repurchase agreements or derivative transactions, to reduce the level of leveraging, or the liquidation by other market participants of the same or similar positions, may also adversely affect the Underlying Funds' portfolios.

The sale of restricted and illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets.

The Underlying Funds may not be able readily to dispose of such illiquid investments and, in some cases, may be contractually prohibited from disposing of such investments for a specified period of time. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale.

The Company's shares in issue are traded on the London Stock Exchange's Main Market for Listed Securities (the "LSE"). However, in certain circumstances there may be a limited market for the shares and it may not be possible for investors to achieve a disposal of their holding within a short time period or for the investor to realise the full anticipated value of the shares.

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

The table below details the residual contractual maturities of financial liabilities:

As at 30 June 2013	1-3 months	Over 1 year	Total
	£	£	£

Accrued expenses	62,313	-	62,313
Total	62,313	-	62,313


As at 31 December 2012	1-3 months	Over 1 year	Total
	£	£	£

Accrued expenses	107,270	-	107,270
Total	107,270	-	107,270

(d) Interest Rate Risk

The prices of securities tend to be sensitive to interest rate fluctuations. Unexpected fluctuations in interest rates could cause the corresponding prices of long positions and short positions adopted to move in directions which were not originally anticipated. In addition, interest rate increases generally increase the interest or carrying costs of investments. However, the Company's investments designated as at fair value through profit or loss are non interest bearing, and therefore is not exposed to interest rate risk.

The Company's own cash balances are not materially exposed to interest rate risk as cash and cash equivalents are held on floating interest rate deposits with banks and the Company does not rely on income from bank interest to meet day to day expenses.

(e) Leverage by Underlying Funds

Certain Underlying Funds in which the Company may have an economic interest operate with a substantial degree of leverage and are not limited in the extent to which they either may borrow or engage in margin transactions. The positions maintained by such Underlying Funds may in aggregate value be in excess of the net asset value of AllBlue and AllBllue Leveraged. This leverage presents the potential for a higher rate of total return but will also increase the volatility of AllBlue, AllBlue Leveraged and, as a consequence, the Company, including the risk of a total loss of the amount invested.

(f) Leverage by AllBlue Leveraged

AllBlue Leveraged operates with a substantial degree of leverage for the purposes of making investments and is not limited in the extent to which they either may borrow or engage in margin transactions (although to be an amount equal to approximately 50 per cent. Of AllBlue Leveraged's NAV). This leverage presents the potential for a greater rate of total return but will also increase exposure to capital risk and interest costs.

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(g) Capital management (continued)

The investment objective of the Company is to provide Shareholders with consistent long-term capital growth through an investment policy of investing substantially all of its assets in AllBlue or any successor vehicle to AllBlue.

As the Company's Ordinary Shares are traded on the LSE, the Ordinary Shares may trade at a discount to their net asset value per share. However, in structuring the Company, the Directors have given detailed consideration to the discount risk and how this may be managed.

At the last Annual General Meeting held pursuant to section 199 of The Companies (Guernsey) Law, 2008, as amended (the "Law"), the directors were granted authority to buy back up to 14.99 per cent of the Ordinary Shares in issue. The Company's authority to make purchases of its own issued Ordinary Shares will expire at the conclusion of the next general meeting of the Company to be held pursuant to section 199 of the Law and renewal of such authority will be sought at the next general meeting. The timing of any purchases will be decided by the Board.

The Directors intend that purchases will only be made pursuant to this authority through the market, for cash, at prices below the prevailing net asset value per Share where the Directors reasonably believe such purchases will be of material benefit to the Company.

Following approval of the Court in Guernsey, the Company resolved to cancel the amount standing to the credit of its share premium account following Admission. The amount released on cancellation has been credited as a distributable reserve in the books of account and may be used by the Company for the purpose of funding purchases of its Ordinary Shares as described above and the payment of dividends.

The Law does not require share premium to be held in a separate account and any premium at which shares are issued can be used for all purposes, including the buy back of Shares and the payment of dividends, provided that the Company would after any distribution still meet the statutory Solvency Test as such is defined in the Law. Accordingly, upon the issue of C Shares in August 2008, December 2009 and June 2010 the entire amount of share premium received on the issue of such C Shares was immediately transferred to distributable reserves.

The Company's authorised share capital is such that further issues of new Ordinary Shares could be made, subject to waiver of pre-emption rights. Subject to prevailing market conditions, the Board may decide to make one or more further such issues or reissues of Ordinary Shares for cash from time to time. Any further issues of new Ordinary Shares or reissues of Ordinary Shares held in treasury will rank pari passu with Ordinary Shares in issue.

. Pre-emption rights are contained in the Articles, but the Directors have been granted the power to issue 500 million further Shares on a non-pre-emptive basis for a period concluding on 31 December 2013, unless such power is previously revoked by the Company's shareholders in a general meeting pursuant to section 199 of the Law by a special resolution of Shareholders passed on 3 August 2012. The Directors intend to request that the authority to allot Shares on a non-pre-emptive basis is renewed at each subsequent general meeting of the Company.

15 FINANCIAL RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

(g) Capital management (continued)

Unless authorised by Shareholders, the Company will not issue further Ordinary Shares or reissue Ordinary Shares out of treasury for cash at a price below the prevailing Net Asset Value per Share unless they are first offered pro rata to existing shareholders.

The Company monitors capital on the basis of the carrying amount of reserves as presented on the face of the Statement of Financial Position. Capital for the reporting period under review is summarised as follows:

	30 Jun 2013	31 Dec 2012
	GBP	GBP

Purchase of own shares	(51,124,681)	(30,453,679)
Distributable reserves	988,608,072	988,759,405

Total	937,483,391	958,305,726

16 SUBSEQUENT EVENTS

As detailed above the continuation resolution was not passed for the US Dollar Share class and therefore the Directors formulated redemption proposals and received redemption requests for 75,413,387 US Dollar Shares (representing approximately 60.84 per cent. of the US Dollar Shares in issue at 1 July 2013). In order for US Dollar Shares to be redeemed the Company required to first make an equivalent redemption in respect of its underlying holding of shares in AllBlue. As AllBlue operates a quarterly redemption policy, the next scheduled redemption opportunity for AllBlue was on 1 July 2013. The Company instructed a redemption of $134,600,000 of US Dollar AllBlue shares in order to pay the redemption proceeds and expenses. The redemption proceeds of $128,466,704.75 were paid to redeeming shareholders on 8 August 2013 and the surplus redemption proceeds remaining after payment of expenses were re-subscribed to AllBlue.

BlueCrest AllBlue Fund Limited (the "Company")

SCHEDULE OF INVESTMENTS

As at 30 June 2013

SECURITIES PORTFOLIO	NOMINAL HOLDINGS	VALUATION SOURCE CURRENCY	VALUATION GBP	TOTAL NET ASSETS %

AllBlue Limited Sterling Shares	3,621,572	£691,844,740	£691,844,740	73.80%
AllBlue Leveraged Feeder Limited Sterling Shares	340,470	£79,516,591	£79,516,591	8.48%
Institutional Sterling Government Liquidity Fund - Core (Acc) Shares	11,654	£1,173,359	£1,173,359	0.12%

AllBlue Limited Euro Shares	78,658	€14,937,833	£12,775,432	1.36%
AllBlue Limited US Dollar Shares	1,060,471	$202,729,787	£133,274,562	14.22%


			£918,584,685	98.02%

BlueCrest AllBlue Fund Limited (the "Company")

SCHEDULE OF INVESTMENTS

As at 30 December 2012

SECURITIES PORTFOLIO	NOMINAL HOLDINGS	VALUATION SOURCE CURRENCY	VALUATION GBP	TOTAL NET ASSETS %

AllBlue Limited Sterling Shares	4,134,904	£794,340,381	£794,340,381	82.89%
AllBlue Leveraged Feeder Limited Sterling Shares	260,595	£61,861,522	£61,861,522	6.46%

Institutional Sterling Government Liquidity Fund - Core (Acc) Shares	22,093	£2,222,281	£2,222,281	0.23%

AllBlue Limited Euro Shares	83,756	€16,030,194	£13,014,691	1.36%
AllBlue Leveraged Feeder Limited Euro Shares	5,899	€1,268,651	£1,030,000	0.11%

AllBlue Limited US Dollar Shares	637,142	$122,662,873	£75,484,846	7.88%

AllBlue Leveraged Feeder Limited US Dollar Shares	47,446	$10,091,647	£6,210,245	0.65%


			£954,163,966	99.56%

BlueCrest AllBlue Fund Limited (the "Company")

SHAREHOLDER INFORMATION

The Company's Sterling Shares, Euro Shares and US Dollar Shares are capable of being traded on the London Stock Exchange's main market for listed securities. All Shares may be dealt in directly through a stockbroker or professional adviser acting on an investor's behalf. The buying and selling of Shares may be settled through CREST.

Approximately 20 business days after the end of each month the confirmed net asset value for each class of Share is announced, together with information on the Company's investments and performance report, to a regulatory information service provider of the London Stock Exchange. In addition, on a weekly basis the Company announces in the same manner the estimated net asset value for each class of Share.

The ISIN, SEDOL and the London Stock Exchange mnemonic of each share class is:

ISIN SEDOL LSE mnemonic

Sterling share class GB00B13YVW48 B13YVW4 BABS

Euro share class GB00B13YXC81 B13YXC8 BABE

US Dollar share class GB00B13YXH37 B13YXH3 BABU

Conversion between Share Classes

The Company currently offers a monthly conversion between share classes. Conversion forms can be found on the Company's website at www.bluecrestallblue.com.

Shareholder Enquiries

The Company's CREST compliant registrar is Anson Registrars Limited in Guernsey which maintains the Company's registers of shareholders. They may be contacted by email at registrars@anson-group.com or by telephone on (44) 01481 711301.

Further information regarding the Company can be found on its website at www.bluecrestallblue.com.

Directors

Richard Crowder

*Andrew Dodd

Jonathan Hooley

Paul Meader

John R Le Prevost

*Robert Heaselgrave as alternate director for Andrew Dodd

Registered Office of the Company

Anson Place

Mill Court

La Charroterie

St Peter Port

Guernsey GY1 1EJ

Telephone +44 (0)1481 722260

Administrator and Company Secretary

Anson Fund Managers Limited

PO Box 405

Anson Place

Mill Court

La Charroterie

St Peter Port

Guernsey GY1 3GF

Registrar, Paying Agent and Transfer Agent

Anson Registrars Limited

PO Box 426

Anson Place, Mill Court

La Charroterie

St Peter Port

Guernsey GY1 3WX

UK Transfer Agent

Anson Administration (UK) Limited

3500 Parkway

Whiteley

Hampshire

England PO15 7AL

Auditor

Ernst & Young LLP

Royal Chambers

St Julians Avenue

St Peter Port

Guernsey GY1 4AF

Corporate Broker

Jefferies Hoare Govett

Vintners Place

68 Upper Thames Street

London

England EC4V 3BJ

Corporate Broker

Dexion Capital plc

1 Tudor Street

London

England EC4Y 0AH

Advocates to the Company as to

Guernsey Law

Carey Olsen

Carey House

Les Banques

St Peter Port

Guernsey GY1 4BZ

Advocates to the Company as to Guernsey Law

Mourant Ozannes

PO Box 186

1 Le Marchant Street

St Peter Port

Guernsey GY1 4HP

Solicitors to the Company as to English Law

Herbert Smith LLP

Exchange House

Primrose Street

London

England EC2A 2HS

Enquiries:

For further information contact:

Anson Fund Managers Limited

Secretary

Tel: 44 (0) 1481 722 260

END OF ANNOUNCEMENT

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