Monthly Performance Review

RNS Number : 4872Q

BlueCrest AllBlue Fund Ltd

19 October 2011

 



FOR IMMEDIATE RELEASE

19 October 2011

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 2011

INVESTMENT OBJECTIVE

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

AllBlue Limited provides access to a portfolio of diversified strategies managed by BlueCrest Capital Management L.L.P. Funds currently included are BlueCrest Capital International Limited (relative value strategy), BlueTrend Fund Limited (systematic trend following strategy), Emerging Markets Fund Limited (global emerging macro strategy), Mercantile (trade finance strategy), Credit Relative Value (multi strategy credit), BlueMatrix (systematic high frequency equity strategy) and BlueCube (systematic multi strategy equity market neutral).

The ESTIMATED net asset values ("NAV") of the Company's Shares as at the close of business on 30 September 2011 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6916	0.51%	1.17%	72.58%
Euro Shares	€1.6390	0.58%	1.34%	67.21%
US Dollar Shares	$1.6285	0.48%	1.06%	66.15%

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

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

PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF SEPTEMBER 2011

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

REPORT BY BLUECREST ON ALLBLUE LIMITED

The market environment in September can be summarised as a continuation of the considerable risk aversion and high volatility witnessed since the summer, which led to a substantial rally in major government bond markets over the month.  The uncertainty was fuelled by increasing concerns with respect to global growth and on the Eurozone crisis, given further disappointments from Greece and increasing fears of the repercussions on other European sovereigns and the banking system.

In Europe, the Swiss National Bank surprised markets by announcing a currency floor for the Swiss Franc vs. the EUR at 1.2, to help stem its rapid currency appreciation. In the US, bond markets staged a significant rally driven in part by the FOMC announcement of 'Operation Twist', which will aim to lower long-term interest rates and make broader financial conditions more accommodative.  Equity markets were weak over the month, despite the quantitative easing measures, with major equity indices down considerably.  The US dollar also saw a significant move, with the trade weighted index gaining around 6% over the month.

This month the largest contribution came from Multi Strategy Credit. There was renewed attention on fundamental growth concerns, particularly with respect to the Asian economies, and most specifically, on the fear that China may be close to a hard landing that would burst its own credit bubble. Credit spreads widened in all major indices over the course of the month as market participants priced in an increasingly desperate conclusion, however it was in China and associated territories that the most dramatic repricing occurred.  The credit fund, which has run risk with a short bias, predominantly in Asia, was well positioned for these developments.

BlueCrest Capital International (Macro) saw all desks contribute positively, with the Rates desk leading the performance.  The desk positioned itself for greater uncertainty in financial markets and benefitted from several positions with a long volatility bias (both through delta hedging and a rise in implied volatility), as well as generating profits from trades designed to benefit from a widening of funding spreads.  The Relative Value desk made money across all of its core markets, with calendar roll trading being the most successful sub-strategy.  Meanwhile, the Equity Derivatives desk saw profits from relative value trades and long-biased volatility and positive convexity positions.

The Emerging Markets fund saw loses coming from local rates positions in Latin America and Eastern Europe.  The month saw some dramatic moves in EM FX and local rates markets as the latest "risk-off" round, driven by fear of a more widespread and persistent contagion in the Eurozone, saw investors electing to hedge a larger portion of their holdings and currency exposure than in previous "risk-off" events.

Performance in Mercantile (Trade Finanance) was flat as gains in the Bank Basel II sub-strategy were offset by the performance of the Trade Credit Opportunities and Commodity Finance sub-strategies.

Within the systematic strategies, BlueTrend (Systematic Trend Following) made a small positive contribution as the equity, bond and metals sectors all performed well, and offset the losses from the energy sector.  In BlueMatrix (Equity Statistical Arbitrage), the high levels of volatility came coupled with high level of stock correlation, and presented a challenging environment for the strategy, leading to a negative contribution.

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

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