Performance Update March 2009

RNS Number : 4466S

BlueCrest AllBlue Fund Ltd

18 May 2009

 



FOR IMMEDIATE RELEASE

18 May 2009

BLUECREST ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR MARCH 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.P. and managers with close links to BlueCrest.  These include the BlueCrest flagship fund with a mixed arbitrage strategy (BlueCrest Capital International Limited), an equity long/short fund (BlueCrest Equity Fund Limited), an emerging markets macro strategy fund (BlueCrest Emerging Markets Fund Limited) and a systematic trading process fund (BlueTrend Fund Limited).

The net asset values ('NAV') of the Company's Shares as at the close of business on 30 April 2009 were:-

		Total Return	Last	Since
	NAV	Last Month	Quarter	Launch**
Sterling Shares	£1.3324	0.75%	6.37%	35.94%
Euro Shares	€1.2848	0.74%	6.45%	31.08%
US Dollar Shares	$1.2916	0.71%	6.03%	31.78%

*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 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

Estimated returns for AllBlue in April remained steady. The main driver of performance was once again Capital International, in particular the Rates desk, while BlueTrend contributed negatively to monthly performance.

Capital International had another strong month, returning 5.27% (estimated) in April. For the Rates desk, April was a very profitable month for the volatility relative value positioning - both from changes in implied volatility (relative changes in the price of vega) as well as from substantial realized (delivered) volatility. In European volatility markets, we are short long-dated part o1 the curve versus the middle of the curve volatility. The long end (10y20y) of Europe still prices more expensive implied volatility than the middle of the curve (5y5y, 5y2y) which is unusual, although the situation is becoming less extreme than that of the past few months. Other positions that continue to make money are delta positioning and curve trades. In curve trades, we have largely reduced the US forward starting steepeners which had worked very well. In Europe, ultra long-end steepeners are still held but have been reduced somewhat.

BlueTrend, posted negative returns of -4.42% in April. Margin to equity was very low throughout the month and the main areas for risk taking continue to be the fixed income longs (both bond contracts and three month interest rate futures) and FX. In addition to overall risk reduction, noteworthy position changes in the month included reductions in the long energy positions. Overall market conditions remain tough with a continued lack of long-term, sustained trends. Accordingly the risk setting of the fund is low - with VAR of the BlueTrend fund typically below 1% on any given day.

The Emerging Markets fund was down an estimated -1.41% in April largely due to a contraction in sovereign CDS spreads (we were long of default risk and spreads contracted). The team also lost money in FX trading, particularly in the Ruble where we were short and it performed well. All of these losses reflect positions that we have significantly reduced and were very profitable in the first few months of the year.

BlueMatrix had a very strong month, registering a record monthly return of 4.88%. BlueMatrix is a fast frequency single-name equity trading fund which uses price signals to identify mean reverting relationships in customized equity baskets. This program, which is now trading nearly 600 single-name equities typically witnesses its best performance in conditions of elevated but stable volatility - where the market has a potential for volatility to trend down. As market volatility declines, the relationship between the baskets and the single stocks begins to normalize, creating positive returns. As a result, BlueMatrix is able to take full advantage of the current trading environment.

Similar to the Emerging Markets fund, the BlueCrest Mercantile Fund was also affected by the tightening of CDS spreads and finished the month down an estimated -1.52%. The spread tightening caused losses in the hedges without a corresponding rally in the assets of the trade finance book. Some of the trade finance assets in the Basel II and commodities finance strategies actually suffered from write downs in the month of April for technical reasons. Despite these losses, underlying assets continue to perform well and it is important to note there is still substantial value in the book.

The Multi Strategy Credit Fund remained relatively flat, returning an estimated 0.30% on the month. The fund continues to maintain fairly low levels of risk. Long-short credit positioning via single-name cash, CDS and index derivatives is performing well, and we are seeing good liquidity in these instruments. Similarly, opportunities and liquidity in index volatility trading continue to be good. Liquidity in correlation strategies is low, as the number of counterparties available or prepared to quote is limited, so we are reducing and expect to use very little risk here for the foreseeable future. The current levels of volatility have been good for the fund as the markets are slowly returning to trading on fundamentals. We ultimately expect greater differentiation to occur in the performance of various names, reflecting the varying impact of economic developments and the differing effects of policy support actions (or the lack thereof). This should create a very fruitful opportunity set for the long-short credit opportunities in particular.

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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