January 2010 Performance Upda

RNS Number : 6188H

BlueCrest AllBlue Fund Ltd

24 February 2010

 



FOR IMMEDIATE RELEASE

24 February 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JANUARY 2010

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 net asset values ("NAV") of the Company's Shares as at the close of business on 29 January 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.5389	1.00%	2.21%	57.01%
Euro Shares	€1.4857	1.05%	2.31%	51.57%
US Dollar Shares	$1.4898	0.98%	2.15%	51.99%

*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 JANUARY 2010

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 started 2010 with a strong perfomrance in January with BlueCrest Capital International delivering the strongest contribution for the month.

BlueCrest Capital International returned an estimated +3.32% in January and the rates desk once again had a very strong month with a +2.59% return. The main source of profit was generated by long positions in the front end of the swap curve in a number of currencies; strong returns were also generated from curve steepeners in the middle part of the curve. The desk also saw high levels of delivered volatility in Sterling interest rates which continues to be a core position for the team. The RV, liquid emerging markets and FX Vol desk have continued to contribute positively to the fund with equity derivatives and liquid credit remaining virtually flat.

BlueTrend finished January with a negative performance of -2.91%. The month was shaped by continued rumours of the Chinese tightening fiscal policy, weaker than expected Non Farm Payrolls figures and comments from the Obama administration about risks and banking practices. As a result, equity markets fell and the model was quick to reduce long positions. Energies, FX and metals also ended the month down and contributed to the overall negative performance of the fund. 

Emerging Markets generated an estimated return of +0.72% mainly due to short positions in Southern Europe sovereigns as well as Emerging Markets sovereigns; against these positions the strategy was long Argentine and Venezuela sovereign credit. The opportunity set for the fund looks set to continue into 2010.

The Credit Fund returned an estimated +0.28% to investors in January with strong positive performance from the Long/Short strategies offset by losses in Volatility and Structured Credit. Credit markets opened the year with the same bullish tone with which they had closed 2009, and the investment grade indices traded quickly to the tightest levels we had seen since May 2008. However, the mood turned sour in the middle of the month as market players began to express concerns about the stability of core Europe given the very high deficit levels of peripheral Eurozone countries, and sovereign risk assets led the market wider at a similarly rapid pace to its initial tightening.

The Mercantile Fund returned an estimated +1.43%. This was due to the outperformance of trade finance assets against the CDS hedges, but furthermore, the carry trade performed strongly.  The Mercantile desk continues to do well and the performance has been positive into February.

BlueMatrix returned -1.27% in January. This negative performance was largely due to the banking sector (the worst performing sector at -6%) which turned bearish as Banco Santander traded down 11% on the back of fears Spain could be the next country to follow in Greece's footsteps. 

BlueCube returned 0.51% in January. The majority of the performance was contributed by Value (up 1.37%) which was also our largest weighted strategy at 37%. Mean Reversion performed well (up 0.35%) which was helped by a 20% rise in implied volatility (according to the VIX). The Momentum strategy has the smallest weighting and was down -0.89%. The Recommendation and Revisions strategy was down -0.44% with a relatively high weighting of 33%.

The Alignment Fund returned +1.15% in January. The primary contributor to returns was capital gain generated by falling yields in major government bond markets. Yields started 2010 at levels near the top of their recent multi-month range, having risen throughout December. Yields began to fall as fears emerged about both the fiscal sustainability of the euro area and the potential impact on global economic growth of Chinese monetary policy tightening. It is expected that 2010 will offer excellent opportunities to generate return, but also that the risk adjusted returns will be of lower quality than in 2009.

 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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