Monthly Performance Update

RNS Number : 9032K

BlueCrest AllBlue Fund Ltd

27 April 2010

 



FOR IMMEDIATE RELEASE

27 April 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR MARCH 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 31 March 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.5774	1.60%	3.61%	60.93%
Euro Shares	€1.5226	1.59%	3.65%	55.35%
US Dollar Shares	$1.5264	1.58%	3.53%	55.73%

*The figures are based on the confirmend 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 MARCH 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 delivered a strong monthly return of for March with BlueTrend delivering the strongest attribution, followed by BlueCrest Capital International.

BlueCrest Capital International had another positive performance this month with an estimated return of +0.86% for March bringing the year to date to +5.32%. The main source of profit was generated by the Rates desk, although March was a relatively quiet month for the rates markets and just a few positions delivered returns for the portfolio. The Central Banks are taking measures to drain liquidity and the desk holds the view that they will continue to do so. The desk also maintains the outlook that there will not be a tightening of monetary policy in the near future.  The desk made good returns from long positions constructed through option structures that were mainly in the intermediate part of the Euro swap curve. April looks set to be a strong performing month for all the strategies within BlueCrest Capital International.

Emerging Markets returned 0.88% in March, taking the year to date return to 0.87%. In a strong month for global emerging markets, the EMBI-Global returned 2.33% and the GBI-EM Global Diversified returned 4.01%. Several factors contributed to the strong market performance as spreads on Greek government bonds and CDS declined, inflows continued into real money funds, and developed world stock markets rallied. Additionally, EM risk premia have been decoupling from those of Greece and the other West European sovereigns.

Multi Strategy Credit returned 0.82% for the month of March. Credit Markets generally performed very well in March, with carry trades in particular benefitting from the reduced market volatility. The Greek Republic, and the potential implications of general weakness in peripheral European states, continued to provide the macro focus and produced most of the sources of what price volatility we did see, however the increased confidence that core Europe would arrive at a bail-out solution added to strength in the credit markets. Higher beta issuers, and High Yield in particular, outperformed tighter investment grade issuers, for which generic risk premium from sovereign concerns is establishing something of a floor on spreads at these levels.

Mercantile returned +2.40% for March. Mercantile performance was driven by strong performance in its Basel2 positions and also in its Kazakhstan asset positions. The rest of the portfolio also performed well and some opportunities were additionally captured in relative movements in CDS against the assets.

BlueMatrix returned -0.02% this month. The best (European) performing sector was Basic Resources which finished the month up almost 16%. With the increased demand from China and India a plethora of metals companies and brokers have indicated they expect an increase in Iron Ore prices in 2010.Vale (the Brazilian based company) expects the metal to increase by 80%. Rio Tinto and BHP Billiton, the two largest weighted stocks in the European Basic Resources sector, are also the two biggest producers of Iron Ore. Consequently this bullish talk pushed up the prices of the two stocks by 9% and 10% respectively, helping the index rally. The worst (European) performing sector was Telecommunications. 'Worst' might be harsh as the sector still performed up almost 3% with the highest weighted stock (Vodafone) finishing the month up 5%. The VIX index reduced almost 10% for the month. This resulted in fewer trading opportunities for the model, and a lower gearing than in the beginning of this year.

BlueTrend finished March with a strong positive performance of +6.14%, bringing the year to date return to 7.14%. Performance was dominated by positive returns in Equities and Energies. Bonds were the only negative contributor, in a broad reversal of last month's respective performances. All other sectors were well balanced, collectively generating a significant return. The underperformance in the Bonds sector was predominantly due to exposure to US 10Ys and US Long Bonds where stronger than expected Non-Farm payrolls and record levels of US Treasury auctions, which were weakly received, softened the bid for the long end of the curve. The focus of broad macroeconomic concern remains the consequences of a sharp market reversal triggered by monetary policy "exit strategy". This is of interest considering the allocation of risk to Fixed Income across the curve and the consequences of a strong USD on commodities positioning. The diversified nature of the programme's positioning remains a major contributing factor to the performance. This stability was borne out after bullish Non Farm Payroll numbers on March 5th precipitated a risk-on move which saw Fixed Income and Equity Positions hedging one another and allowing the Energies to contribute to an +0.82% gross daily return.

BlueCube returned 0.27% in March. The majority of the performance was contributed by the Momentum (MOM) and Revisions and Recommendations (ARM) factors. ARM performed relatively consistently throughout the month and as a result its weighting on the fund increased from 30% at the beginning of the month to 46% by the end of the month. MOM also increased its weighting (from 17% to 19%) due to consistent performance. Although MOM is dollar neutral it has sector biases over a relatively long timeframe. Consequently the model took advantage of the bullish month, making money and closing out some sector exposure in: consumer staples, healthcare and information technology while we increased exposure in energies and telecommunication services. The Mean Reversion factor performed around -0.20%, the factor normally performs well in highly volatile periods and there was a drop of 10% in implied volatility (according to the VIX Index) for the month. Value was down 0.15%, the factor had one of the highest weightings at the beginning of the month but due to the negative performance the dynamic rotation model reduced its weighting from around 32% at the beginning of the month to 12% by the end of the month.

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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