Performance Update

RNS Number : 8187Q

BlueCrest AllBlue Fund Ltd

20 April 2009

 



FOR IMMEDIATE RELEASE

20 April 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 31 March 2009 were:-

		Total Return	Last	Since
	NAV	Last Month	Quarter	Launch**
Sterling Shares	£1.3236	1.08%	4.93%	35.04%
Euro Shares	€1.2764	1.10%	4.76%	30.22%
US Dollar Shares	$1.2836	1.02%	4.31%	30.96%

*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 MARCH 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

Diversification worked well for AllBlue in March. AllBlue's dynamic asset allocation was clearly beneficial this month (AllBlue currently has a 30% allocation to Capital International - its highest level for some time) as its largest positive contribution came from Capital International. BlueMatrix also performed well, while all other underlying funds were negative.

Within Capital International, which returned an estimated 6.31%, performance was led by Rates, with positive contributions also from RV and FX trading. Correctly positioning for quantitative easing announcements benefited directional and curve

trading for the Rates team. In addition, the relative value positioning in European swaption volatility and between European and GBP swaption volatility was also profitable due to favourable differences in delivered volatility and some repricing

of implied volatility.

The Emerging Markets Fund was down an estimated -4.01% in March, largely due to losses on positions in Asian currencies and spreads contracting in European sovereign CDS.

It was another quiet month for BlueTrend (-0.82%), although interestingly the fund performed well in equities despite holding short positions. These gains were made by the model actively trading in and out of positions demonstrating the extent to which market timing can work, even in short-term cycles. The model also made strong gains in short interest rates but lost money in FX.

BlueMatrix returned its best monthly performance since inception (+3.90%) in the midst of an equity market rally. The model behaved as expected with leverage dynamically changing to respond to opportunities created by the spikes in the VIX; as volatility decreased later in the month the leverage employed by the model was reduced. The volumes traded exhibited a similar pattern. During the month we increased our allocation to US and Japanese markets.

Credit Markets were choppy in March as equities witnessed a strong rally. The Multi-Strategy Credit Fund had a disappointing month (-1.83%), giving back some of the earlier returns on curve and volatility positions. The volatility positions didn't perform as implied volatilities collapsed during the month.

Finally, the Mercantile Fund managed to limit losses this month to -0.82%. While the asset side of the long-short positioning benefitted, the team experienced losses on their hedges in Asian financials and European sovereign CDS.

 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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