Monthly Newsletter

RNS Number : 5400B

BlueCrest AllBlue Fund Ltd

28 October 2009

 



FOR IMMEDIATE RELEASE

28 October 2009

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 2009

INVESTMENT OBJECTIVE

BlueCrest AllBlue Fund Limited (the "Company") is a Guernsey incorporated, closed-ended investment company. The investment objective of the Company is to provide its Sterling, US Dollar and Euro shareholders with consistent long-term capital growth through an investment policy of investing substantially all of each share class' assets in the Sterling, US Dollar and Euro shares in AllBlue Limited respectively.

AllBlue Limited provides access to a portfolio of diversified strategies managed by BlueCrest Capital Management L.P. and managers with close links to BlueCrest.  These include the BlueCrest flagship fund with a mixed arbitrage strategy (BlueCrest Capital International Limited), an equity long/short fund (BlueCrest Equity Fund Limited), an emerging markets macro strategy fund (BlueCrest Emerging Markets Fund Limited) and a systematic trading process fund (BlueTrend Fund Limited).

The net asset values ("NAV") of the Company's Shares as at the close of business on 30 September 2009 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.4907	4.12%	3.62%	52.08%
Euro Shares	€1.4370	4.09%	3.66%	46.61%
US Dollar Shares	$1.4443	4.12%	3.54%	47.36%

*The figures are based on the confirmed NAV at the month end.

**Based on opening NAV, being the Issue Price less Formation and Initial Expenses, of £0.9802 per Sterling Share, $0.9802 per US Dollar Share and €0.9802 per Euro Share.

PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF SEPTEMBER 2009

The following portfolio performance report for AllBlue Limited has been provided to the Company by BlueCrest Capital Management LLP. Whilst the Company believes that the information has been received from a reliable source, the Company is not able to verify the information and accepts no responsibility for the accuracy of the comments made or figures given in the report, and neither should any responsibility be implied.

REPORT BY BLUECREST ON ALLBLUE LIMITED

AllBlue has continued to deliver a strong monthly return. All of the underlying funds posted positive performance, with Emerging Markets, BlueTrend, Multi-Strategy Credit and BlueCrest Capital International returning over 3% each for the month on their own capital.

BlueCrest Capital International posted a strong +3.54% monthly return. This performance was primarily led by Rates with all the other teams contributing positively to the fund this month. Within the Rates team, key positions driving this strong performance were volatility trades in Sterling and trading the short term rates in Euro, USD and GBP. The Sterling curve has continued to be quite volatile with the 10 year into 10 year volatility for instance, going up about 5 vega. Also, the front end traders benefited from the fairly dovish press conference from Trichet at the beginning of the month in conjunction with the announcement that the one year tender by the ECB would be done at 1% flat.

BlueTrend performed well in September, with an estimate MTD return of +4.82%. Equities, short term interest rates and FX were the best performers, while energies finished the month down. The sectors with the most risk weighting at the end of the month included equities and fixed income. Our long positions in equities and in short term rates benefited from the rally in equity indices and in both Eurodollar and Euribor contracts in September. Additionally, the rally in commodity currencies together with the sell off in the sterling has also helped boost the performance of the FX sector.

The Emerging Markets fund had an excellent +9.71% performance on the month, on the back of the spreads tightening in EM corporate credit risk and Argentine sovereign debt. Initial concerns that seasonal September weakness might hurt risky assets proved to be misplaced. Furthermore, Argentina's continuing efforts to normalise relationships with the markets are being positively received. This includes expectations of a new offer to untendered debt holders and data sharing with the IMF. Additional returns were generated in interest rates and equity. Turkish and Hungarian interest rates continued their march lower, with both Central Banks still firmly in easing mode.

The Mercantile fund was up +1.32% in September. This is a result of some of the trade finance assets maturing and we are seeing an increased mark-to-market as maturity dates approach on the other assets. Additionally, the fund is receiving positive carry and generally trade finance spreads have rallied a fair amount.

The Credit Relative Value team delivered a positive return on the month of an estimated +3.40% on the back of fundamental thematic credit trading. There was also a positive contribution coming from technical trades, mostly steepeners in single name credits as well as in indices.  

BlueMatrix finished the month up with an estimated +0.76%. The fund's gross exposure increased in September in part due to the release of two new US portfolios. There are plans to extend BlueMatrix's presence to the US market next month with the release of four new portfolios.

Disclaimer:

This publication is issued by BlueCrest AllBlue Fund Limited (the "Company") for informational purposes exclusively to and for the benefit only of shareholders in the Company and to no one else; and accordingly the Company accepts no responsibility for the use any third party might make of the information herein contained and neither is any responsibility implied.

Information on AllBlue Limited and its underlying funds have been provided to the Company by BlueCrest Capital Management LLP and the Company is not responsible for, nor does it warrant, the accuracy of such information. Although BlueCrest Capital Management LLP believes that the information on AllBlue Limited and its underlying funds is materially correct, no warranty is given as to the accuracy of the information provided.

This publication may not be relied upon in evaluating the merits of investing in any securities referred to herein. Neither is it intended as and is not to be taken as an offer or solicitation with respect to the purchase or sale of any security, nor does it constitute an offer or solicitation in any jurisdiction, including those in which such an offer or solicitation is not authorised or to any person to whom it is unlawful to make such a solicitation or offer.  

Where in this document an estimate of the Net Asset Value of a share in the Company is given, although the information is believed to be materially correct, no warranty is given as to the accuracy of the information provided.

The Company's underlying investment programme is speculative in nature and entails substantial risks. The underlying investments may be subject to sudden and large falls in price or value and there could be a large loss upon realisation which could equal the total amount originally invested.

Further information about Shares in BlueCrest AllBlue Fund Limited may be found on the Company's website at www.bluecrestallblue.co.uk

For further Company shareholder information about investing in the Company contact:  Alex Collins of RBS Hoare Govett on Tel: London 020 7678 1703.

Neither this press release nor any part of it may be released, mailed, transmitted, copied, distributed, taken or otherwise sent in or into the United States of America, Canada, Australia or Japan. Any failure to comply with these restrictions may constitute a violation of United States of America, Canada, Australia or Japanese Securities laws.

Anson Fund Managers Limited

Secretary.

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT

E&OE - in transmission

 

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