Monthly Performance Update

RNS Number : 7301G

BlueCrest AllBlue Fund Ltd

17 May 2011

 



FOR IMMEDIATE RELEASE

17 May 2011

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW APRIL 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 28 April 2011 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7063	1.46%	2.11%	74.08%
Euro Shares	€1.6488	1.51%	2.16%	68.22%
US Dollar Shares	$1.6461	1.45%	2.03%	67.94%

*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 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

In April AllBlue posted an estimated monthly return of +1.46%, bringing the YTD performance to +3.61 (Class A GBP).

This month we saw Standard and Poors put the US sovereign credit rating on negative watch in light of the large budget deficit and growing indebtedness.  In Europe, Portugal requested financial aid from the IMF and the EU, whilst speculation continued about a possible restructuring of Greece's debt obligations.  We saw the first movement in European rates, a move that was announced in March, with the ECB raising rates by 25bp.  In the US rates were kept on hold, and look like being so for some time, as we saw the first post FOMC press conference from Chairman Ben Bernanke.  The FOMC also confirmed that it was on track to finish its asset purchase programme at the end of June.

AllBlue saw strong performance across most of its underlying funds, with BlueCrest Capital International the only one to post a negative contribution to AllBlue.  The negative return from BlueCrest Capital International came as we saw the start of the rate cycle in Europe, and the rates desks view that the Bank of England would raise rates sooner rather than later caused some losses.

The largest contribution to AllBlue's performance came from BlueTrend, where we saw most sectors deliver a positive return (the exception being crops).  The energy sector posted the highest return, whilst notable contributions also came from FX, equities and bonds.  The fund increased its risk exposure slightly over the month, adding risk in the equity and short interest rate sectors.  The volatility in the equity markets, which saw the S&P fall 2.5% in the first half of the month before rallying during the second half of the month to finish up 2.85% over the month, created a good environment for BlueMatrix which was able to capture the reversals in the market.  BlueCube was flat for the month with profits from the momentum and analyst estimates strategies being offset by losses from the value strategy.

Multi Strategy Credit saw meaningful contributions coming from both the European and US portfolios, with the long/short strategies providing most of the returns.  The current market and macro environment is proving to be conducive to profitable trading, with our focus on indiosyncratic event situations where we can combine value-driven credit views with technically driven product selection to optimise entry levels and risk profiles for the trades.

The Emerging Markets fund saw gains from its CEMEA interest rate and Latin American sovereign credit positions.  Asset flows into the sector remain strong and are supported by good fundamentals, and whilst inflation remains higher than desired in many countries it is unlikely to threaten the recovery and more central banks are becoming tolerant to the inevitable appreciation of their currencies.

The two main sub-strategies of the Mercantile fund both performed strongly with the trade credit opportunities strategy generating the majority of the returns.  Cash assets outperformed CDS, leading to a widening of the basis, as investors needed to put money to work in an environment in which the supply of new credit assets was relatively limited.  The strategy saw good performance in this respect and was also able to adjust its positioning to a slightly more defensive position as credit spreads tightened.  The Bank Basel II strategy also had steady performance over 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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