Performance Update

RNS Number : 1047D

BlueCrest AllBlue Fund Ltd

25 November 2009

 



FOR IMMEDIATE RELEASE

25 November 2009

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR OCTOBER 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 October 2009 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.5092	1.24%	8.78%	53.97%
Euro Shares	€1.4553	1.27%	8.70%	48.48%
US Dollar Shares	$1.4622	1.24%	8.77%	49.18%

*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 OCTOBER 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 has had another positive month with the majority of the returns generated by the discretionary funds. BCI and EM have produced most of the contributions to the returns as they have had very strong performances. Every fund in AllBlue generated positive returns except BlueTrend which had a small loss.

BlueCrest Capital International had another strong month with an estimated return of 2.09%, taking the YTD return of the fund to 41.21%. All of the trading teams, with the exception of one, delivered positive returns. The Rates desk was once again the largest contributor to returns. The core positions in swaps and volatility continued to perform well. The Sterling volatility position delivered strong opportunities for gamma trading. The desk also generated some good returns from the LIBOR-LIBOR basis trade. The RV desk and FX Vol desk also had a good month. The Equity Derivatives desk was virtually flat as the portfolio is still in the start up phase with no significant positioning just yet.

For BlueTrend it was a mixed month on the macro data front with the US officially exiting recession whilst at the same time consumer confidence suffered, consumer spending declined for the first time in five months and unemployment claims increased. It was the concerns over the strength of the US consumer which caused sentiment to turn in the later stages of the month. Risk was aggressively sold off and the VIX jumped by 45% in October's final week. Equities benefited earlier in the month from a strong earning season which saw 80% of S&P500 companies post better than expected earnings. However, equities turned later in the month as risk was sold off, causing major indices to post their first down month since February. BlueTrend finished October YTD 2.86%.

The Emerging Markets desk generated 2.29% for the month. The focus of the trading was on local market interest rates, namely in Russia, Brazil, and Turkey. The desk was also selectively long LatAm sovereign credit and FX, which was done mainly through option structures, and finally, the desk was long EM HY credit versus short positions in a number of global indices.

Mercantile generated 1.66% as the desk saw some repricing in favour of the fund in the Basel II strategy. This strategy also benefitted from the carry. The trade opportunities saw no net change in basis and saw a good of carry for the month.

BlueMatrix has had a good month with a 0.83% return. The gearing has increased in October following the release of additional names in the US and higher market volatility. The fund is expected to grow its trading activity in Europe next month with the release of two new portfolios. The best performing sector was food and beverage rising 3.6%. Nestle, which has a large weighting on the sector, was upgraded by UBS, helping its share price increase by 8%. The worst performing sector was technology which ended the month down over 9% as several stocks with large weightings in the sector reported worse than expected earnings and a bleak outlook for the future.

The Credit Trading desk showed a return of 0.59% for the month. The focus here has been on long-short credit trading as dispersion slowly increases in the credit markets.

BlueCube delivered a positive monthly return of 0.53% for October. 

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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