Performance Update

RNS Number : 8248Z

BlueCrest AllBlue Fund Ltd

21 March 2012

 



FOR IMMEDIATE RELEASE

21 March 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR FEBRUARY 2012

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 ESTIMATED net asset values ("NAV") of the Company's Shares as at the close of business on 29 February 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.7071	0.83%	-0.43%	74.17%
Euro Shares	€1.6565	0.83%	-0.29%	69.00%
US Dollar Shares	$1.6403	0.80%	-0.54%	67.34%

*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 FEBRUARY 2012

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

During February, drivers such as a new round of aggressive liquidity infusions globally, perceived progress towards addressing the European debt crisis and improving US economic data, all helped to push risk assets higher.  Credit spreads tightened modestly and equities rallied, with the US Investment Grade Index (CDX IG) spread tightening from 100bps to 95bps, European Cross Over Index (ITRAXX XOVER) spread tightening from 600bps to 560bps and the MSCI World Index gaining +4.66% during February.  Government bonds were weaker, for example, the US 10 year yield increased from 1.8% to 2%.  Commodities markets were mixed during the month.  Metals ended broadly flat with most exhibiting a fall at the end of February; agricultures were mixed with no consistency of price moves across these markets; energies progressed on an upward path with the exception of natural gas which was roughly flat overall.

Reviewing the significant events of the month on a regional basis, in Europe, the second 3 year long-term refinancing operation (LTRO) was widely taken up as the ECB lowered the quality of acceptable collateral in an effort to provide more liquidity to a larger universe of banks.  However, there is continued doubt that these actions will result in a significant and sustainable improvement in credit conditions that will drive economic growth.  The Greek debt restructuring negotiations progressed, resulting in a proposal that imposes further subordination on private sector bondholders.

In the UK, the Bank of England added £50bn to their quantitative easing program and in Japan, the central bank announced further monetary stimulus, resulting in JPY depreciating by more than 4.5% against USD during the month.  The US economy continues to deliver better than expected, but still weak, data.  The Federal Reserve's recent economic assessment reduces the likelihood of further quantitative easing, however the impact of higher energy prices is one of the factors that could threaten the speed of recovery.

All funds made positive contributions to performance this month, with the main drivers being BlueTrend, Emerging Markets and BlueCrest Capital International, each making an approximately equal contribution.

BlueTrend (Systematic Trend Following), which added the most to AllBlue performance in February, generated gains in the energies and equities sectors.  Net long positions in these sectors benefited after supply fears created by Iran's continued nuclear aspirations and resulting reactionary sanctions prompted a rally in oil (energies) and positive market sentiment, due to a number of the events described above, saw equities rise also.  Optimism, in addition to unclear direction in fixed income markets, resulted in the fund's net long bonds and short term rates exposure detracting slightly from performance.

Within the Emerging Markets fund, returns were driven by sovereign credit, local interest rates and foreign exchange, respectively.  In sovereign credit the largest contributors were positions in Latin America and CEMEA.  The fund currently holds a cautious view and is bearish on the outlook for global growth.

BlueCrest Capital International (Macro) saw the majority of gains from its Rates desk with most of the other desks also contributing positively.  Within the Rates desk, profits were predominantly captured from curve trades implemented across multiple maturities and currencies and volatility trades, particularly in Sterling.  The Relative Value desk also generated profits across several strategies and swap curve plays accounted for the majority of gains.  The fixed income absolute return allocation (the Alignment strategy), made a small positive contribution from tactical long positions in credit, taken mainly through liquid indices, which performed well given the positive sentiment displayed in markets.

The Mercantile (Trade Finance) fund generated positive returns in its Trade Credit Opportunities and Bank Basel II sub-strategies despite a tightening in basis between trade finance spreads and CDS in February.  In the Multi Strategy Credit fund, profits were made in US High Yield single name trading and tactical European relative value single name and index trading.  The fund's short Asia theme detracted slightly from performance.  BlueMatrix (Equity Statistical Arbitrage) performed modestly in February given a lower level of dispersion amongst stocks.

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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