Monthly Performance Review for September 2012

RNS Number : 4248R

BlueCrest AllBlue Fund Ltd

19 November 2012

 



FOR IMMEDIATE RELEASE

19 NOVEMBER 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 2012

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.

As announced on the 26 March 2012 the Company redeemed a portion of its investment in each share class of AllBlue (on a pro rata basis) on 1 April 2012 in order to generate a cash reserve (the "Cash Reserve") for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged Feeder Limited ("AllBlue Leveraged"). AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of 50 per cent of its net asset value, giving investment exposure which is 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

The effect of these arrangements is that the Company's aggregate investment exposure to AllBlue remains broadly the same whilst providing access to more immediate liquidity. 

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 31 October 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7643	-0.14%	2.89%	80.00%
Euro Shares	€1.7059	-0.22%	2.72%	74.05%
US Dollar Shares	$1.6890	-0.20%	2.74%	72.32%

*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  OCTOBER 2012

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 world economy continues to struggle to find a sound enough footing to support a more durable and broad based recovery. The uncertainty around the impending fiscal cliff in the US further complicates the outlook globally, as the IMF indicated in its most recent revision to its world economic forecasts which warned about the increasing risks of a global recession.

In the US, the re-election of President Obama shifts the focus of the investment environment to developments around the fiscal cliff in the context of a divided legislative power. Recent statistics gave a mixed picture for the economy; the US quarterly earnings season gave an overall downbeat assessment of the economy across the major corporates reporting, however positive signals were gained from the housing market, third quarter GDP, which exceeded expectations (2% vs. 1.8% estimated) and an unexpected fall in the US unemployment rate.

Europe remains under considerable pressure, mostly in the periphery that is becoming a noticeable headwind to the region. The most recent European Commission growth forecasts were revised downward and therefore most deficit reduction targets in the periphery will require additional belt tightening measures to be implemented, thus exacerbating the downward economic spiral and further compromising the deleveraging of the local banking system. European data continue to disappoint with a weak PMI and IFO survey and Spain's credit rating was downgraded by S&P. However, Moody's held its rating constant on Spain, albeit with a negative outlook, and the promise of OMT continues to control financial market crisis fears. Although the latest EU Summit did not make substantial progress, it was decided that the ECB will become the top bank supervisor from next year, which was seen as a small step in the right direction for improvements and reform.

In the bond markets, 10 year government bond yields rose modestly but came down from their mid-month peak as the earlier confidence of an improved economic outlook reduced as data disappointed. Meanwhile, equity markets initially saw positive momentum, however this reversed towards the end of the month. The change in sentiment took the MSCI World and S&P 500 into negative territory, whereas European markets held onto part of their earlier gains with the EuroStoxx finishing up on the month.

Positive contributors to AllBlue's performance this month were BlueCrest Emerging Markets, BlueCrest Multi Strategy Credit and BlueCrest Mercantile. BlueTrend Alignment, BlueMatrix and BlueCrest Capital International detracted from performance.

BlueCrest Emerging Markets performed well and the largest positive contributors were local market interest rate positions in CEMEA and FX positions in Asia respectively. Regionally, in aggregate across all asset classes, CEMEA was the largest contributor, followed closely by Asia and Latin America. By asset class, it was local market interest rate trading that generated the strongest returns, as in the absence of moves by the major developed markets central banks individual yield curves responded to internal developments, presenting idiosyncratic opportunities for the team.

BlueCrest Multi Strategy Credit generated gains, predominantly from US focused portfolios covering a range of strategies including those focused on corporate credit indices, high yield and ABS markets. Within the European portfolios, credit options trading (volatility trading) was a positive contributor to performance, whereas the single name European corporate trading strategies were broadly flat as macro conditions continued to dominate over individual fundamentals. BlueCrest Mercantile (Trade Finance) saw positive returns from the Bank Basel II and Trade Credit Opportunities sub-strategies, whilst the Commodities Finance sub-strategy detracted slightly.

BlueTrend Alignment (Systematic Trend Following) experienced a challenging month with all sectors posting a negative return; the largest detraction came from the bond sector, as global fixed income markets retreated heavily mid-month evidenced by the fall of over 2% in US 10 year bond future in the space of four days. The other systematic strategy, BlueMatrix (Systematic Equity Market Neutral), saw positive performance in it's European portfolio's offset by negative returns within the US and Asian portfolios.

Finally, performance in BlueCrest Capital International (Macro) was muted. The Rates strategy once again delivered the largest contribution to performance with a number of sub-strategies being successfully deployed, including several shorter term yield curve trading positions seeking to benefit from some of the intra-month moves. Long-biased volatility strategies were negatively impacted by the decrease in implied volatility, and therefore reduced the desk's positive contribution. The remaining strategies within BCI all provided more marginal contributions to the fund's return (both positive and negative). 

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 Jefferies Hoare Govett on Tel: London 020 7029 8687.

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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