FOR IMMEDIATE RELEASE
20 July 2009
BLUECREST ALLBLUE FUND LIMITED (THE 'COMPANY')
MONTHLY PERFORMANCE REVIEW FOR JUNE 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 June 2009 were:-
|
|
Total Return |
Last |
Since |
|
NAV* |
Last Month |
Quarter |
Launch** |
Sterling Shares |
£1.3689 |
0.80% |
5.58% |
39.66% |
Euro Shares |
€1.3206 |
0.83% |
5.66% |
34.73% |
US Dollar Shares |
$1.3264 |
0.77% |
5.28% |
35.33% |
*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 JUNE 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 performed very well over the second quarter of 2009 and remains steadily on target to reach its return objective. The fund has made positive returns throughout the year with no down months and the capital allocation remains mildly overweight towards Capital International (currently 31%) with the allocation to BlueTrend at 25%. Allocations to other funds have remained steady over the quarter.
Once again, the majority of the returns in June came from Capital International which returned 1.87%. Within this fund, Rates, FX Derivatives and Venture Finance performed well, while other teams made small positive or negative contributions. The Rates team continued to find good opportunities in the fixed income space. Key positions driving this strong performance were directional trades and curve trades in Europe. After a setback early in the month, long positions in the front end of Europe recovered well and delivered a solid performance. In European curve trading, we saw gains and continue to hold some risk on the back end of the curve through steepening trades focused on 10-30s and 5-30s out of forward starting dates between three and five years.
The FX team also saw a positive performance for the month of May. The team has had a near-term downward bias in volatility, and positioning in EUR/USD and USD/CHF through some outright sales of volatility and calendar spreads worked well. Action by the Swiss National Bank to weaken the currency over the course of the month contributed to the risk reduction in the market's pricing of volatility.
BlueTrend had a disappointing month, finishing June down -2.46%. Performance in June was affected by losses in short interest rates (particularly during the first week of the month) and smaller losses in equities, bonds and metals. The energy sector was the most successful in June. Trading conditions for trend followers remain tough, mainly due to the lack of pronounced trends and generally choppy markets. Margin-to-equity at the end of the month was 10.3, one of the highest levels for the fund this year, although VAR remains low by historical standards.
June marked a very strong month for the Emerging Markets fund - up 5.24%. In rates space, steepeners in Turkey and long positions in front ends in Latam, Israel and Eastern Europe (initiated after the early month sell-offs as a result of non-farm payrolls) proved particularly profitable. Within sovereign credit, positions where we have been long Argentina versus a combination of Columbia, Turkey and general credit indices worked well as domestic election results supported the positions. FX gains were concentrated in the long side where positions are held almost exclusively via long options positions - important for risk management as we head into the traditionally less liquid summer months.
The Mercantile fund made a small negative contribution on the month (-0.85%) as we continue to see a lag in the pricing of trade finance assets in terms of recovery in credit spreads versus some of the hedges that we have had on. The team believes that this relative re-pricing will raise the return potential of the fund over the medium term as assets continue to perform.
The Credit Relative Value team delivered a positive return on the month of an estimated 0.80%. The fundamental trading as well as the index arbitrage strategy (the index versus its components) have been the key drivers of this performance. Our index volatility exposure was light through the spread tightening (and the decline in volatility) as the team has a general bias towards long volatility positions. We continue to reduce the risk in the correlation book as liquidity in the space has further reduced.
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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