Performance Announcement

RNS Number : 6679E

BlueCrest AllBlue Fund Ltd

23 December 2009

 



FOR IMMEDIATE RELEASE

23 December 2009

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR NOVEMBER 2009

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 November 2009 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.5222	0.86%	8.78%	55.30%
Euro Shares	€1.4689	0.93%	8.70%	49.86%
US Dollar Shares	$1.4745	0.84%	8.77%	50.43%

*The figures are based on the confirmed 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 NOVEMBER 2009

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 a strong monthly estimated return for November with BlueTrend, BlueMatrix and BlueCrest Capital International delivering the lion's share.

BlueCrest Capital International returned +2.29% in November of which 2.02% came from Rates. The main source of profits was the long end of the UK curve where we were able to capture large gamma moves. As an example, 10-year sterling rates started the month with a 30 bp sell off and were followed by a 40 bp rally. The Relative Value desk and FX Vol desk have continued to contribute positively to the fund. Finally, the equity derivatives desk was virtually flat as the team continues to build the portfolio into year end. 

BlueTrend posted very strong returns of +6.81% in November primarily on the back of large fixed income and equity long positions. The model's core positioning remained unchanged from recent months with the two aforementioned sectors accounting for 74% of total risk on the last day of the month. Short rates contributed 3.36% to performance as dovish comments from the Federal Reserve and demand for liquidity caused the 3m T-Bill yield to momentarily go negative. Bonds also had a very strong November as they maintained a heavy bid all month. The model was long the vast majority of fixed income products. Energies traded in a relatively narrow range as the model retained its long, albeit much reduced, oil and oil products positions against a short natural gas stance. In FX, the model continued to hold a short USD position which gained 28 bp as the US dollar index futures (DXY) fell 1.9% to cap a fifth consecutive monthly decline. 

The Emerging Markets fund lost -6.26% on the month due its exposure in the Middle East and the contagion to other risk positions. 

The Credit Fund and the Mercantile Fund were slightly negative with returns of -0.39% and -0.35% respective returns in November. The Mercantile fund is receiving positive carry; however, there was a small mark down on a trade asset. 

BlueMatrix posted its fourth consecutive positive monthly return with a +2.32% performance in November. The gearing was closely correlated to the Volatility Index (VIX) with a decrease at the start of the month followed by a spike after the announcement from Dubai. Two new European portfolios were added to the model in November giving the fund exposure to the Belgian and Dutch markets. 

BlueCube returned -2.43% in November. On a broad strategy view, much of the negative performance was due to the Value strategy, which was down nearly 2% and which was the most heavily weighted. Momentum, which has the smallest weight and was down 1.69%, also contributed to the negative performance. The other two strategies produced small positive returns.  

The Alignment Fund made a positive return on the month of an estimated +1.20%. The strongest contributions came from inflation-linked bonds and from the management of the fund's interest rate risk. Additionally, UK and US rates curves continued to steepen in November and the fund maintains these exposures which are expected to deliver attractive diversification benefits to the credit exposures within the overall portfolio.

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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