Monthly Performance Update
FOR IMMEDIATE RELEASE
17 February 2011
BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")
MONTHLY PERFORMANCE REVIEW FOR JANUARY 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 31 January 2011 were:-
|
|
|
Total Return |
Last |
Since |
|
|
NAV* |
Last Month |
Quarter |
Launch** |
|
Sterling Shares |
£1.6618 |
0.90% |
0.45% |
69.54% |
|
Euro Shares |
€1.6045 |
0.91% |
0.48% |
63.70% |
|
US Dollar Shares |
$1.6043 |
0.88% |
0.36% |
63.67% |
*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 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
January 2011 Review
The year started with European sovereign fears put to one side, and rising commodity prices (particularly Copper) were a driving force behind the early equity market rallies. However, the negative sentiment over European debt resurfaced violently in the second week of January, driving spreads wider. In the credit markets at this point they were pricing in a scenario that over a quarter of the European national champion banks would not survive the next five years. A noticeable shift in the tone of European policy-makers brought about an equally violent reversal, with markets rallying to the end of the month. The developing situation in Egypt also reminded the markets of the geopolitical risks that exist and caused fright in a number of markets, particularly within the EM arena.
The largest contribution to AllBlue came from BlueCrest Capital International, which had a strong start to the year. All of the desks within the fund made a positive contribution in January. The returns were driven by the rates desk, who continued to make money from their volatility trading. The desk also profited from some opportunistic trades that presented themselves in the volatile markets. The relative value desk contributed to the returns with strong performance from the three main markets it focuses upon, whilst the equity derivatives desk focused on term structure trades and volatility spread trades.
The Emerging Markets fund suffered as the inflation within the markets started to move higher. Across the sector markets have been re-pricing hiking cycles that are now starting sooner and are greater in scale. The EM equity markets took fright posting their largest outflow since January 2008. Additionally, the crisis in Egypt reminded investors of the higher political risk inherent in EM investments, and compounded the already somewhat negative EM sentiment.
The Credit Fund had been positioned relatively neutrally on outright direction, however it positioned itself well in anticipation of spread volatility, and was able to monetize this into positive returns during the volatile month. The Mercantile fund also started the year positively, as its Bank Basel II and Trade Credit Opportunities strategies both performed well.
Within the Systematic strategies BlueTrend saw its positive return driven by strong gains in the energy sector, where Brent, Gas Oil and Heating Oil all rallied strongly. The fixed income sectors were the largest detractors from performance. BlueTrend's margin to equity level remained stable over the month. BlueMatrix, held a short to neutral bias throughout the month, resulting in the fund posting a small negative return. Meanwhile the positive performance of the value and mean reversion factors within BlueCube was not enough to offset the negative contribution from the momentum factor.
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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