Monthly Performance Update

RNS Number : 4508J

BlueCrest AllBlue Fund Ltd

30 March 2010

 



FOR IMMEDIATE RELEASE

30 March 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR FEBRUARY 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 26 February 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.5525	0.92%	2.13%	58.39%
Euro Shares	€1.4987	0.94%	2.23%	52.91%
US Dollar Shares	$1.5026	0.89%	2.08%	53.30%

*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 FEBRUARY 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 another strong monthly performance for February with the majority of returns generated by BlueCrest Capital International  and BlueTrend.

BlueCrest Capital International had another positive performance this month with an estimated return of +1.12% for February bringing the year to date to +4.44%. The main source of profit was generated by the rates desk from a number of trades such as long positions in the front end of the Euro curve as well as long positions in 5yr-5yr forward Dollar rates, which both rallied. Positive returns were also generated from curve steepeners in the middle part of the Euro curve. In addition, the core Sterling volatility position delivered a good return. The desk also saw highs levels of delivered volatility in Sterling interest rates which continues to generate returns for the core long volatility position. The RV, liquid emerging markets and FX Vol desk have continued to contribute positively to the fund with equity derivatives and liquid credit remaining virtually flat.

BlueTrend finished February with a positive performance of +4.08%, bringing the programme above its 2010 high water mark. The positive performance is mainly attributed to the Fixed Income and FX sectors performing well; while Equities detracted from performance, however this was to a less extent than in January. Of the Fixed Income sector the positive contribution came primarily from long positions in the short rate contracts (Euribor, Eurodollar and Sterling). As mentioned the FX sector return through February was encouraging and this came from the desk's long held short conviction in the Euro and Sterling as the region suffered with the Greek sovereign debt situation aggravating an already bleak economic outlook.

The Emerging Markets fund returned -0.73% in February, taking the year to date return to -0.01%. Emerging Market risk assets started the month by continuing late January's poor performance before reversing to rally into the last week of the month. The EMBI-Global returned +1.42% and the local currency GBI-EM index returned +1.77%. Towards the end of February, a mix of profit taking by shorts, and a reduced anxiety over the Greek situation caused spreads to retrace lower and EM FX to appreciate, in line with global equity market strength.

The Credit Fund returned -0.17% for the month of February. Most of the negative performance was driven by the long short strategy which has a strong bias to be long subordinated financial risk. The continued concerns surrounding peripheral Europe weighed on the market, particularly financials, in the first two weeks of the month. This weakness was offset the positive convexity position in the correlation book in addition to beneficial impact from improved spread performance in the US monolines.

The Mercantile Fund returned +1.40% for February. The desk saw strong performance in trade finance credit, with assets rallying in the portfolio's positions in very granular trade finance portfolios in the Basel II strategy, and also in the single name trade finance credit strategy particularly in Eastern Europe. On the hedge side opportunities in convexity between the trade finance assets and CDS hedges were captured from the widening of ITRAXX Europe and SovX CEEMEA CDS spreads in the earlier part of the month caused by concerns over Greece and sovereign fiscal deficits.

BlueMatrix returned +3.63% this month. February produced a positive start to the month as manufacturing in the US, Europe and China indicated the global economic recovery is accelerating. However it was not long before market attention was once more focused on Portugal, Spain and Greece as investors remained concerned the countries will have difficulty curbing deficits. The best European sector was Food and Beverage which finished the month +1.31% and the worst European performing sector was Automakers, closing the month at -8.44%. BlueMatrix performs particularly well in periods of high levels of volatility and with the VIX index rally early February, most of the alpha was captured during this time and the US portfolios performed well.

BlueCube returned -1.60% in February. The desk attained positive returns on their short financial position as financials were -1.59% for the month in the market.  The largest factor loss was Mean Reversion, with VIX closing the month below 20 and continuing to drop since, followed by Value with Momentum and Revisions and Recommendations virtually flat.  BlueCube's dynamic rotation gave Value less weight than Revisions and Recommendations after a poor month now on 33% and 32% respectively, with Momentum at 17% and Mean Reversion at 18%.

The Alignment Fund returned +0.67% in February. The fund benefitted from its relatively defensive stance towards higher risk sectors and its extension of duration. Credit sectors experienced a volatile month as sentiment towards Greece and global equity markets oscillated during February. This backdrop was supportive of those high quality markets where both sovereign risks are limited and increases in official rates have been substantially discounted, examples being Germany and New Zealand. Towards the end of February the desk started to increase exposure to Credit markets as well as gradually increasing FX exposure for the Brazilian Real in addition to holding sovereign bonds, as expectation of a strong currency look set to continue in the coming weeks.

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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