Interim Management Statement

RNS Number : 4019S

BlueCrest AllBlue Fund Ltd

18 November 2011

BlueCrest AllBlue Fund Limited

This interim management statement relates to the period from 1 July 2011 to the date of publication of this statement and has been prepared solely to provide additional information in order to meet the relevant requirement of the UK Listing Authority's Disclosure and Transparency Rules, and should not be relied on by Shareholders, or any other party, for any other purpose.

Overview

BlueCrest AllBlue Fund Limited (the "Company") is a Guernsey registered, self-managed closed-ended investment company admitted to trading on the main market of the London Stock Exchange. The Company's shares are denominated in Sterling, Euro and US Dollars. 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 Limited ("AllBlue") or any successor vehicle of AllBlue. AllBlue invests in a diversified portfolio of underlying funds, each of which has its own distinctive investment objective and approach, and in respect of which BlueCrest Capital Management LLP ("BlueCrest") acts as investment manager.

NAV Performance as at 30 September 2011

	Confirmed NAV 30 September 2011	QTD %	YTD %	ITD %
Sterling Share NAV	£1.6906	0.65	2.65	72.48
Euro Share NAV	€1.6380	0.84	3.02	67.11
US$ Share NAV	US$1.6275	0.54	2.34	66.05

Source: BlueCrest AllBlue Fund Limited

As announced on 16 November 2011, the estimated 11 November 2011 NAVs of the Sterling Shares, Euro Shares and US$ Shares were £1.6772, €1.6262 and US$1.6139, representing a variation in the period since 30 September 2011 of -0.793%, -0.720% and -0.836% respectively.

As at 11 November 2011, the Sterling Shares, Euro Shares and US$ Shares were trading at a discount/premium to their respective NAVs of -0.072%, 0.849% and 2.082%.

Adoption of AIC Code of Corporate Governance

The Board remains committed to maintaining the highest standards of Corporate Governance. The Company previously adopted the UK Corporate Governance Code for the current financial year. However given the nature of the Company and as a member of the Association of Investment Companies ("AIC"), the Board considers the provisions of the AIC Code of Corporate Governance (the "AIC Code"), as endorsed by the Financial Reporting Council to be more appropriate for it to report against.

The AIC Code, as explained by the AIC Corporate Governance Guide for Investment Companies, addresses all the principles set out in the UK Corporate Governance Code, as well as setting out additional principles and recommendations on issues that are of specific relevance to the Company.

Quarterly review of AllBlue as issued by BlueCrest, its investment manager

AllBlue (US$ class) returned 0.62% in the third quarter of 2011. The period saw market participants remain heavily focused on sovereign debt problems in Europe and also, to a lesser degree the US. In the US we witnessed heavy negotiations surrounding the raising of the official debt ceiling. Whilst the bill did eventually get passed the lack of decisive unified political action caused concern in markets and didn't prevent Standard and Poor's from downgrading the US from AAA to AA+. In August the FOMC announced that rates were likely to be on hold until at least mid-2013, and late in the quarter they announced "Operation Twist", a plan to lengthen the duration of their assets in order to bring down long-dated interest rates. In Europe several countries saw their credit ratings cut (Italy, Portugal and Ireland). Italy and Spain became the centre of focus for the market in August and the pressure on their yields only relented after Jean-Claude Trichet announced that the ECB would buy these government bonds. Later in the quarter authorities announced a ban on short selling financial institutions in France, Italy, Spain and Belgium. In September, following a period of currency appreciation due to the flight to safe haven assets the Swiss National Bank surprised markets by announcing a floor on the EUR-CHF rate.

The annualised volatility of AllBlue for the quarter, as measured on weekly data, has continued to be low during 2011. However it rose to 3.3% this quarter, from volatility of under 3% in Q2. Within the portfolio the largest change was seen in BlueMatrix where the volatility of the strategy rose following the aggressive moves in the equity markets in August and September. The only fund to see a reduction in delivered volatility compared to the previous quarter was BlueTrend.

The historical VaR (Historical 95%, daily) of the fund stood at 0.33% of assets as at the end of the third quarter.

Unencumbered cash levels for the underlying funds ranged from 16% for Mercantile, to 90% for BlueTrend. The weighted average unencumbered cash level at the end of the period was 52.2% for AllBlue.

Reviewing each strategy in turn:

BlueCrest Capital International was up 1.45% for the third quarter, with a contribution to AllBlue of +0.44%. Returns were driven by the Rates desk which continued to hold long volatility positions in interest rates curves, added positions that would benefit from potential funding issues in Europe, and captured tactical trading opportunities that presented themselves. The allocations to the Fixed Income Absolute Return (Alignment) desk and the Fixed Income Relative Value desk both performed well over the quarter, whilst the Equity Derivatives desk detracted from the funds performance.

BlueTrend was up 2.11% for the third quarter, with a contribution to AllBlue of +0.35%. Over the quarter the strongest contribution came from the fixed income sectors (bonds and short interest rates) which posted a positive return for each of the three months. Meanwhile the worst performance came from the equity and energy sectors, which both suffered in the August reversals. At the end of the quarter the largest risk weightings in the portfolio were the equity and fixed income sectors and the Margin to Equity was around 9%.

Emerging Markets was down -0.86% for the third quarter, with a contribution to AllBlue of -0.14%. The quarter started well for the fund with it benefiting from positions in local interest rate markets in Latin America and Eastern Europe. Sharp reversals in some of these rate markets in September went against the desk's view that EM countries were more likely to start cutting their reference rates.

Multi Strategy Credit was up 1.74% for the third quarter, with a contribution to AllBlue of +0.32%. With the crisis in Europe intensifying a strategic decision was taken in July to cut substantially the gross risk of the fund, particularly in legacy structured credit derivatives. This detracted from returns, however left the fund well placed to benefit from the market turbulence in August and September; a key driver of these returns was the bearish stance that the fund had been expressing.

Mercantile was down -0.19% for the third quarter, with a contribution to AllBlue of -0.02%. The fund continued to see positive performance from the Bank Basel II sub-strategy, whilst there was negative performance for the Trade Credit Opportunities and Commodity Finance sub-strategies. The Trade Credit Opportunities strategy suffered as some allocations saw mark to market falls on the back of the market turbulence through August and September; meanwhile the losses in the Commodity Finance sub-strategy were on the back of on-going maintenance costs. The Bank Basel II sub-strategy performed well with some mark-down in the capital value of assets as spreads widened, which was more than compensated by an increase in the capital value of hedges. The underlying trade finance portfolios continued to perform well, with a negligible level of defaults.

BlueMatrix was down -9.51% for the third quarter, with a contribution to AllBlue of -0.30%. The market environment didn't lend itself to equity statistical arbitrage strategies such as that implemented within BlueMatrix; in particular the speed of the markets' reversal in August coupled with the speed of increase in volatility made trading conditions challenging, as did the high levels of stock correlation. The Systematic team has implemented some modifications for the strategy and we retain our confidence in the model behind BlueMatrix.

BlueCube was down -4.93% for the third quarter, with a contribution to AllBlue of -0.05%. Following a continued period of pressure in the equity long/short space, and after giving the upgrades released in March some time to prove themselves, the Allocation Committee took the decision to remove BlueCube from the AllBlue portfolio.

After the close of the quarter under review, AllBlue, Class A USD, stood at a YTD return of 2.48%. Subsequent to the close of Q3 the fund delivered an estimated performance, through to 4 November 2011, of -1.10% taking the estimated YTD figure to 1.35%. The annualised volatility for 2011, after the close of Q3, was 2.69% which is below the target range of 6-8%. AllBlue continues to hold up in a challenging environment as a result of the underlying funds' performance whilst supported by the diversification obtained from the allocation process.

Source of data: BlueCrest Capital Management (UK) LLP

Capital Allocation

The capital allocation by strategy of AllBlue Limited as at 1 November 2011 was as follows: