Statement re Monthly Performance Review

RNS Number : 8568K

BlueCrest AllBlue Fund Ltd

21 July 2011

 



FOR IMMEDIATE RELEASE

21 July 2011

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JUNE 2011

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 30 June 2011 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.6807	-0.77%	-0.06%	71.47%
Euro Shares	€1.6255	-0.72%	-0.07%	65.83%
US Dollar Shares	$1.6199	-0.81%	-0.17%	65.26%

*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 JUNE 2011

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

June proved to be a challenging month for the hedge fund industry with the Dow Jones Credit Suisse Core Hedge Fund Index posting a return of -1.95% leaving it down -1.10% YTD.  Risk appetite was muted for most of June as uncertainty over the Greek parliament's ability to secure a second round of essential financial stimulus increased, mixed but predominantly weak global economic data caused concerns over the pace of recovery and a cloud hung over the pending deadline for lifting the US debt ceiling.  Mid-month the International Energy Agency (IEA) announced that it would tap into its emergency reserves, only the third time it has ever done this, and release 60 million barrels of oil.  The end of June saw Greece agree a 5 year austerity plan giving markets a slight lift.

In June the largest contribution, and the only positive contribution, came from BlueCrest Capital International.  The returns for the fund were driven by the Rates desk and came from a number of strategies, including their volatility, basis and curve trades.  Positive contributions were also seen from the Fixed Income Relative Value, Equity Derivatives and FX Volatility desks, whilst the Cross Asset Convexity and Fixed Income Absolute Return (Alignment) desks produced a negative contribution.

The largest detractor of performance in AllBlue during June was BlueTrend, the fund ended the month down after the positive contributions seen from its fixed income positions (bonds and short term interest rates) were offset by the negative contributions of the equity and energy sectors.  The energy sector was the weakest performer as it suffered from the IEA announcement regarding releasing some of its emergency reserves.  The fund continued to decrease its risk over the course of the month.

Elsewhere in the systematic strategies, AllBlue saw small negative contributions from BlueMatrix and BlueCube.  BlueMatrix benefited from the spike in volatility during the middle of the month, however falling volatility at the end of the month reduced the opportunity set and resulted in a negative contribution. 

Multi Strategy Credit fund kept its focus on the long / short trading strategies and holds a generally defensive stance with a strong focus on tail risk protection.  Emerging Markets experienced losses in credit and rates trading but found favourable opportunities in FX trading.  Policy normalization in emerging markets is in advanced stages and we saw Brazil, India and China all moved to contain persistent inflationary pressures.  Finally in Mercantile, the fund saw modest positive contributions from the trade credit opportunities and Basel II sub-strategies, however, these were offset by losses in the commodity finance sub-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

 

END

 

 

STRPGUCGMUPGGQG