Statement re Monthly Performa

RNS Number : 2522T

BlueCrest AllBlue Fund Ltd

24 September 2010

 



FOR IMMEDIATE RELEASE

24 September 2010

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR AUGUST 2010

INVESTMENT OBJECTIVE

BlueCrest AllBlue Fund Limited 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 August 2010 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6180	0.37%	1.47%	65.07%
Euro Shares	€1.5614	0.37%	1.45%	59.30%
US Dollar Shares	$1.5640	0.35%	1.40%	59.56%

*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 AUGUST 2010

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

August saw risk assets fall with the S&P giving back 4.74% during the month. The month was characterised by fears over US growth and employment prospects, with data at the beginning of the month showing that the US lost more jobs in July than economists had forecast. The markets also suffered from bad liquidity over the month due to summer holidays and this led to the worst August in 8 years for US equities. In mid August the news that the Federal Reserve will reinvest the cash generated from prepayment and amortization of their mortgage holdings, caused Treasuries to rally sharply. The yield on 10-year treasuries dropping below 2.75% for the first time since April 2009, as the Federal Reserve said that the pace of economic recovery would be more modest than earlier expected.

The performance this month was driven by the returns of BlueCrest Emerging Markets and BlueCrest Multi Strategy Credit.  August proved to be a bearish month for risky assets, although EM fixed income returns were better, and the EMBI rallied 2.33%. The Emerging Markets fund returns were driven by gains in local interest rate markets, in particular positions within Mexico and South Africa. We took profits in some of the local interest rate positions, with a view to re-establishing risk on corrections. The monetary policy outlook remains very country specific within Emerging Markets and we believe this will create more opportunities within this space. For most of the month the Multi Strategy Credit Fund maintained a tactical short risk bias helping to generate the positive return for August. The effective capture of positive convexity in the Correlation book led to an strong return contribution from this strategy. Long/Short strategies were also positioned bearishly for the first half of the month, however going into month end the bearish complexion of the book was turned around.

Elsewhere, Mercantile was down on the month in August as positive performance from the credit sub-strategies was erased by losses in the commodities finance sub-strategy. BlueCrest Capital International saw gains from Fixed Income Relative Value, FX Volatility and Fixed Income Absolute Return, via Alignment, but failed to offset losses sustained from the Rates desk who saw loses from short rates positions and their conditional steepeners in EUR.

Within the systematic strategies BlueTrend saw a flat month with gains from the Fixed Income markets, with both Bonds and Short Interest Rates having strong months, offset by losses from the Equity and Energy sectors. The Margin to Equity for the fund fell from 15.1% to 11.1% over the month. BlueMatrix started the month with a small net short position and continued to build this as the market pushed higher, with the model building a short in Basic Resources. As the month progressed and the market fell BlueMatrix was net flat, reducing the majority of its Basic Resources bet and having a positive exposure to Financials. The model finished the month with a small net long position maintaining its positive exposure to Financials. BlueCube made strong returns in the Capital Dynamics component; however this was insufficient to balance out the losses in the Mean Reversion and Value and Momentum strategies.

The allocation changes this month saw BlueCrest Capital International and Mercantile decreased slightly; while BlueCrest Emerging Markets and Multi Strategy Credit saw small increases.

Disclaimer:

This publication is issued by BlueCrest AllBlue Fund Limited 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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