Monthly Performance Update

RNS Number : 5587M

BlueCrest AllBlue Fund Ltd

26 May 2010

 



FOR IMMEDIATE RELEASE

26 May 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR APRIL 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 30 April 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6064	1.84%	3.61%	63.89%
Euro Shares	€1.5504	1.83%	3.65%	58.18%
US Dollar Shares	$1.5542	1.82%	3.53%	58.57%

*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 APRIL 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

BlueCrest Capital International had another positive performance this month with an estimated return of +2.02% for April bringing the year to date to +7.49%. The primary driver of the returns this month was once again the rates desk explaining approximately 75% of the fund's returns. Though the return from the Rates desk was quite significant, there were a relatively small number of trades that drove the return: About half of the returns came from positions where the desk was long various parts of the curve in Euro and Dollar. The profits on these long positions have been realized as the vast majority of the trade has been taken off. The next trade which made money is the core position in Sterling volatility. Episodes were seen within the month of high delivered volatility. The largest single day move was 0.17%.

The desk's longstanding view that a rate cycle is not close has been enforced following the recent events in Europe. In the US, the desk believes drains on liquidity will continue as a measure to control money supply. That said, the view is still held that the nation's largest asset, real estate, needs to see a real turn around before a rate cycle is reached.

Emerging Markets returned +1.24% in April, taking the year to date return to +2.12%. Global risk markets continued to be supported by the ongoing global recovery story, whilst still very anxious over the European situation.  Economic data in the US remains strong and quarterly earnings data again surprised on the upside.  Towards the end of the month, front end Greek bonds were sold heavily in the market raising yields to the mid teens and making it all but impossible to roll debt privately. Nevertheless, EM only sold off marginally.  

Without the European debt problem the desk would likely be very bullish and long EM, but yet again, considered it the best strategy to remain fairly light allowing a good degree of tactical positioning.  To this end, shorts were added in credit from mid April, and cut some local markets longs.  Also of note, profits were taken on the Turkish inflation-linked bond position which had performed well, but offered less future returns after the high inflation first quarter.

Multi Strategy Credit returned +2.60% for the month of April. Credit markets experienced far greater volatility in April than had been seen since the first quarter of 2009, with the iTraxx Main index of European investment grade corporates trading in a range of more than 0.22%, a considerable percentage of the 0.75% base level seen at the start of the month. The volatility was driven almost exclusively by price action around cash and synthetic European government bond instruments and, more specifically, the developing uncertainty around the situation in Greece where the market began to price in considerable risk of fear contagion into other countries in the Eurozone. These volatile markets are presenting excellent opportunities for the Multi Strategy Credit Fund to benefit from short- and medium-term price dislocations. Performance was particularly strong in the Long/Short and Convexity strategies, where a short book bias was run through most of the month.

Mercantile returned +0.68% for April. April saw another month of good performance in the Mercantile Fund's credit portfolio, with both the Trade Credit Opportunities and Basel II sub-strategies generating around 1.3% net return on their allocated capital. The total net return for the month was reduced however by a net loss for the month from the Commodities Finance sub-strategy.

BlueTrend finished April with a positive performance of +3.22%, bringing the year to date return to 10.76%. Performance was dominated by positive returns in the Energies and Bonds sectors. The Equities sector underperformed the rest of the portfolio with the losses hedged by a bid in the short end of the Fixed Income curve, captured by BlueTrend in the Short Rates sector. Risk levels remained stable through the month with a small increase in Margin to Equity as long positions in Energy were extended. The burgeoning European debt crisis increased demand for Fixed Income in all parts of the curve with our Bund position up 0.28% and a bid for ex-region debt also accruing 0.44% profit for the fund's JGB position. The Short Rates sector saw a flattening of the Euribor curve as 0.56% profits were booked, softening the impact of weakness in European equity as the PIIGS saga continued. 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 entire curve and the consequences of a strong USD on our commodities positioning, predominantly in the Energies sector.

As programme assets have continued to grow in a robust fashion for the BlueTrend fund, the BlueCrest Group has felt it necessary to soft-close the fund. This decision is based solely upon the technical assessment of the effects of asset size and is testament to our commitment to providing optimal levels of return to our clients.

BlueMatrix returned -0.69% this month. BlueMatrix suffered in the increased volatility during a period where global headlines being dominated by the Greece and Goldman Sachs. The best (European) performing sector was the Automobiles and Parts which finished the month up 6.4%. The largest weighted stock in the index, Daimler at 36%, pushed the index higher after raising full year earnings forecast helping the stock to rise over 11% for the month. The worst (European) performing sector was Insurers. The sector was down below 7% as investors became dovish on the constituents of the index after the IMF proposed to include stocks in the sector in a bank tax to fund bailouts.  Allianz (which has a weighting of 14%) dropped over 11% as did ING while AXA dropped 24% and has a weighting of 9% on the sector.

BlueCube returned +1.07% in April. The Momentum strategy was the largest contributor to the positive performance in April.  The Revisions & Recommendations strategy also made a significant positive contribution, and continued to be the highest weighted strategy over the month.  Negative contributions were made by the Value strategy, which the fund continued to rotate out of and the Reversion strategy.

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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