Performance Update

RNS Number : 4533U

BlueCrest AllBlue Fund Ltd

24 June 2009

 



FOR IMMEDIATE RELEASE

24 June 2009

BLUECREST ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR MAY 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 29 May 2009 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.3580	1.72%	5.58%	38.55%
Euro Shares	€1.3097	1.73%	5.66%	33.62%
US Dollar Shares	$1.3162	1.70%	5.28%	34.28%

*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 MAY 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 had another impressive month. Nearly all of the underlying funds posted positive performance, with Emerging Markets, BlueTrend and BlueMatrix all returning over 3%. 

Capital International delivered a strong monthly return of 1.14%. Most positive contributions on the month came from the Rates team and Bond Relative Value, while other teams delivered small positive or negative returns.  Within the Rates team, the recent strong sell-off in US yields has been very profitable in May, driving up the performance of our USD curve trading and USD-EUR forward interest rate differential positions. On the downside, our EUR volatility positions combined with the USD Libor basis trades contributed negatively on the month.  The Bond Relative Value team continued to make steady progress as a result of positions focused around auctions in Europe and some futures-bond basis trades. CMS option-based positions in USD have also benefited from the recent aggressive steepening in the US curve. Equity Derivatives and FX Volatility were both slightly positive on the month, while Venture Finance was slightly negative. 

BlueTrend's performance improved in May, up 3.51%. Energies and short interest rates were the best performers, while bonds and FX finished the month down. The sectors with the most risk weighting at the end of the month included short interest rates and energies.  The average trend strength for energies over the month has been around +28%.  WTI rallied around 25% in May (caused by rallying equities, softening USD, rising sentiment and risk appetite and technical buying) and the model captured a lot of that trend. In equities we were still slightly long, while fixed income positions were trimmed towards the end of the month. Performance in this sector was mixed as the curve steepened. The model also performed well in metals and agriculturals. Metals went slightly short mid-May but were slightly long by the end of the month with some money being made in gold. 

The Emerging Markets fund was up 3.51% on the month - curve steepeners in interest rates in Turkey and South Africa were especially successful.  In sovereign credit risk, cross country trades were also good contributors; for example, we were long Argentina which was trading at default-type pricing versus Turkey and Columbia.  In FX, the team generally held a bias to be long EM currencies - expressed via long call option positions; Brazil and Turkey were particularly profitable.

BlueMatrix had an excellent month, up 3.14%. The SPX, the Stoxx 600 and the TOPIX extended their gains and returned 5.3%, 4.7% and 7.2% respectively. Some risk appetite clearly reappeared as investors shifted their holdings from the safe haven of government bonds to more volatile asset classes. The best performing sectors were commodity related, with the basic resources sector up 18% in Europe and the Topix mining index up 24%. Base metal prices rallied on the back of a sustained demand from China and hopes that the recession in the US will end shortly. In contrast, the auto and transport sector was the worst performer amid very low car sales figures.  

The Mercantile fund was down on the month -1.00% due to the out-performance of the hedges, where we are short, over our long underlying asset positions. The team continues to believe that there is still embedded value in the assets that should be reflected in performance over the coming months.

The BlueCrest Multi Strategy Credit Fund returned 1.51% for the month of May. The long/short strategy was a key driver of this performance as the markets return to balance sheet fundamentals and away from the technical trading. The dispersion between creditworthy companies and less creditworthy companies has increased and the portfolio was positioned well for this. The fund also generated returns from the index arbitrage strategy and the relative value correlation strategy where the team perceived a relative mis-pricing in correlation across the capital structure. Volatility meanwhile declined through the spread tightening and caused a small loss in the index volatility strategy.

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

E&OE - in transmission

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