Monthly Performance Update

RNS Number : 6958E

BlueCrest AllBlue Fund Ltd

01 June 2012

 



FOR IMMEDIATE RELEASE

1 June 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR APRIL 2012

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.

As announced on the 26 March 2012 the Company redeemed a portion of its investment in each share class of AllBlue (on a pro rata basis) on 1 April 2012 in order to generate a cash reserve (the "Cash Reserve") for the purposes of managing day-to-day cash flows, for meeting expenses of the Company and for funding any repurchases of Shares.

In order to maintain a substantially similar economic exposure to AllBlue, the Company has invested an appropriate amount of the redemption proceeds into shares in AllBlue Leveraged Feeder Limited ("AllBlue Leveraged"). AllBlue Leveraged invests all of its assets in the ordinary shares of AllBlue but with the addition of leverage of 50 per cent of its net asset value, giving investment exposure which is 1.5 times that of AllBlue (excluding all fees and expenses attributable to such investments).

The effect of these arrangements is that the Company's aggregate investment exposure to AllBlue remains broadly the same whilst providing access to more immediate liquidity. 

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 April 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7160	1.04%	0.89%	75.07%
Euro Shares	€1.6643	1.02%	0.87%	69.80%
US Dollar Shares	$1.6475	1.01%	0.77%	68.08%

*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 2012

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

The crisis in the EuroZone continued to be a significant focus for market participants throughout April.  The sustainability of the European fiscal compact in its current form appears fragile, given weakening fundamentals coupled with an increasing rejection of proposed austerity measures in a number of member countries.  The recent calls by the ECB president and the German chancellor to now launch a 'growth pact' appear to be an attempt to make austerity more palatable to the population, at a time when there is a shift towards centre-left governments in France, Greece and potentially the Netherlands.  Spain is expected to miss its fiscal targets this year and next, as demonstrated by the weakness in the latest Spanish bond auction, held at the start of the month (specifically, Spanish 5y CDS reached a peak of 511bps from 430bps at the start of the month).  The EuroZone authorities were able to source more financial assistance, including $430bn from the IMF, which led to a modest recovery towards the end of the month.  However, these new funds will only provide temporary liquidity support and are not focused on deleveraging the system nor fixing the fundamental weaknesses which are at the core of the problem.

In the UK, the negative Q1 GDP figures triggered the economy to enter into recession, which surprised the market.  Earlier in the month, bond markets were volatile after the Bank of England minutes indicated that the likelihood of continuation of quantitative easing measures had decreased, leading to a sell-off in short end interest rates.  Similarly, in the US, Treasuries were weaker at the start of the month after the FOMC minutes included a slightly more upbeat assessment of the US economy, but rallied thereafter as the latest economic data softened, particularly for employment.

The largest contributor to AllBlue's performance this month was BlueTrend Alignment, additionally positive contributions came from BlueCrest Capital International, BlueCrest Multi Strategy Credit and BlueCrest Mercantile.  BlueCrest Emerging Markets and BlueMatrix both provided small negative contributions to AllBlue's performance.

Within the BlueTrend (Systematic Trend Following) strategy the long bias in fixed income markets (bonds and short term interest rates) was responsible for the largest contribution to performance as, in general, the market expectation was for rates to remain lower for longer.  Elsewhere, concerns about food price inflation continued to push some agricultural markets, such as Soybean, higher which resulted in a positive contribution for that sector.  The gains in these sectors more than offset losses from the long bias held in the equity and energy sectors.

The returns of BlueCrest Capital International (Macro) were driven by a number of strategies within the Rates and Relative Value (RV) desk, which benefitted from the volatility seen in fixed income markets as well as dislocations to yield curves.  Directional positioning within the fund benefitted as yields reduced over the month; dislocations in yield curves presented the team with short term tactical trading opportunities that were profitable as these anomalies corrected themselves; the long volatility positions benefitted as the team were able to capitalise on the movements in rates through gamma trading.

BlueCrest Multi Strategy Credit saw profits from both the European and US portfolios.  Directional positions in investment grade European corporates benefitted from political developments and the weakening situation in the EuroZone.  Idiosyncratic opportunities within high yield credits in US markets also provided positive contributions to performance.  The only significant detraction came from some European macro RV strategies focused on sovereign markets.

Return contributions, to AllBlue, from the remaining three strategies were relatively small.  BlueMatrix (Equity Statistical Arbitrage) saw positive contributions from its US and Asian portfolios offset by losses from the European portfolios, resulting in a small negative contribution to AllBlue.  BlueCrest Emerging Markets was relatively flat for the month with negative performance in Asian FX trading and Latin America credit trading offsetting the positive contributions from local market interest rate trading in Latin America and CEEMEA.  Finally, BlueCrest Mercantile (Trade Finance) saw both the single name trading strategy (Trade Credit Opportunities) and portfolio trading strategy (Bank Basel II) provide a positive contribution, whilst the Commodity Finance sub-strategy detracted slightly from the fund's returns.

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 Jefferies Hoare Govett on Tel: London 020 7029 8687.

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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