Monthly Performance Update

RNS Number : 5824U

BlueCrest AllBlue Fund Ltd

18 October 2010

 



FOR IMMEDIATE RELEASE

18 October 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 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 ESTIMATED net asset values ("NAV") of the Company's Shares as at the close of business on 30 September 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6413	1.44%	2.54%	67.44%
Euro Shares	€1.5840	1.44%	2.54%	61.60%
US Dollar Shares	$1.5862	1.42%	2.47%	61.82%

*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 SEPTEMBER 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

September saw risk assets bounce back strongly after the fall in August, with the S&P up 8.75% during the month. The rally was in part driven by the expectation of more quantitative easing measures from the Federal Reserve, and the prospect of an ever-longer period of 0% policy rates. Other news during the month included the much publicized BOJ intervention which may herald further central bank intervention and led Brazil's Finance Minister to declare that "we are in the midst of an international currency war". The release of the Basel Committee's proposed changes to capital requirements and the completion of the bad bank transfer for the Hypo Real Estate / Depfa complex were also a key focus in credit markets.

The performance this month was driven by the returns of BlueTrend, where we saw the programme's returns driven by significant gains in the Equity and Energy sectors during the latter half of the month. The fixed income markets (Bonds and Short Interest Rates) were both small detractors, whilst the remaining sectors all generated solid positive returns. The Margin to Equity for the strategy increased from 11.1% to 18.7% over the month. Within the systematic strategies we also saw BlueCube delivering a positive contribution, with Momentum being the strongest sub-strategy and ending up with the highest weighting by the end of the month. BlueMatrix finished more or less flat on the month, as it finished the month with a long bias in Financials and a short bias in Consumer Cyclicals.

Within the discretionary strategies Emerging Markets was the strongest performer as it continued to see returns driven by trading in the local interest rate markets, with additional performance also being seen from the sovereign credit strategies. The changing landscape of EM FX where country specific policies vary from reasonable commitment to a free float in Chile to the all out declaration of currency war by Brazil's finance minister, is causing us to rethink our cautious EM FX view.

BlueCrest Capital International continued to generate strong returns from its Rates desk through their trading in the EUR rates space and also volatility trading in the fixed income markets. The Relative Value desk continued to generate good returns from its micro-RV trades focusing on bond/futures basis trading.

The returns within the Multi-Strategy Credit fund were led by the trading within their Long-Short strategies, whilst the other strategies were flat to small down on the month. Notable performance came from positions in German distressed T1 bonds which benefitted not only from the Basel III proposals but also the completion of the bad bank transfer for the Hypo Real Estate / Depfa complex. Finally the Mercantile fund saw positive performance in the credit sub-strategies offset by losses in the commodities finance sub-strategy.

The allocation changes this month saw BlueCrest Capital International decreased slightly; while Emerging Markets, Multi-Strategy Credit and Mercantile all saw small increases.

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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