Performance Update

RNS Number : 8383X

BlueCrest AllBlue Fund Ltd

21 February 2012

 



FOR IMMEDIATE RELEASE

21 February 2012

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JANUARY 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 31 January 2012 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6941	0.64%	-0.43%	72.84%
Euro Shares	€1.6440	0.66%	-0.29%	67.73%
US Dollar Shares	$1.6284	0.60%	-0.54%	66.13%

*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 JANUARY 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

January's market conditions became increasingly risk-seeking, fuelled by large liquidity infusions globally.  The ECB's first Long Term Refinancing Operation (LTRO) in December succeeded in eliminating the short term liquidity and refunding risks of European banks, while pushing the Euro to fresh lows.  In the US, improvements in economic data and the news that the Federal Reserve (Fed) expects to maintain extraordinarily low rates until at least the end of 2014, supported optimism.  Positive sentiment was evident in equity and credit markets with the MSCI World +4.93% and US Investment Grade spreads (CDX IG) tightening from 120bps to 100bps. 

While the rally in global markets was broad based, there were numerous warning signals that fundamental problems in the economy, particularly in Europe, still persist.  France and Austria lost their AAA status and the European Financial Stability Facility (EFSF) and 14 countries in the Eurozone were put on negative outlook.   European leaders made yet another attempt to put fiscal rules in place and to enhance their financial firepower to regain investor confidence.  However, the "fiscal compact" lacks the weight to provide a solid anchor for monetary union.  Greece remains an unresolved issue and even if the Private Sector Initiative (PSI) is finalised, the market remains sceptical on the effectiveness of a new economic program and hence expects debt workouts to be recurrent.

Bonds made a weak start to the month, but after the Fed announced that rates would stay low into 2014, yields came down to finish the month broadly unchanged (US 10yr yield fell 8bp; UK 10yr yield fell 1bp). 

Commodities markets were mixed during the month.  Metals were broadly up over January, agricultures in general were on a downward path until mid-month and then reversed, energies including WTI, Brent and Natural Gas were mixed with no consistency of price moves across these markets.

All funds made positive contributions to performance this month, with the exception of Multi Strategy Credit which detracted modestly from returns.

BlueCrest Capital International (Macro) was the greatest contributor, with profits driven by a range of strategies.  These included long interest rates volatility positions that gained from an increase in implied volatility and from profits generated from gamma trading, yield curve trading across markets particularly in the short-end of Europe and relative value strategies.  The fixed income absolute return allocation (the Alignment strategy) performed well from positioning in US Treasuries and Mortgage Backed Securities.

The Emerging Markets fund's performance was driven by a diversified range of rates and foreign exchange positions in Latin America, CEMEA and Asia which were opportunistically traded through the month to generate profits.  

BlueTrend (Systematic Trend Following) also made a meaningful contribution to fund performance, driven by the short term interest rates and energies sectors. During the month, short term interest rates made gains following support for a low rate environment by various central banks. Long oil positions also performed well on the back of increasing oil prices early in the month, spurred by the likelihood of sanctions being imposed on Iran.

BlueMatrix (Equity Statistical Arbitrage) performed strongly as cross-correlations between stocks reduced, providing a more profitable environment for the strategy, particularly in US markets.

Mercantile (Trade Finance) performance was modestly positive given returns from the Bank Basel II sub-strategy.  Trade Finance spreads started to widen at the start of the month after deleveraging from European banks, but subsequently tightened given solid demand and more risk-seeking behaviour in markets.

Multi Strategy Credit faced a challenging month as the short-biased positioning in Asian markets had a negative impact on performance, despite modest returns made in US and European relative value strategies.

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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