Statement re Performance Update

RNS Number : 3071Y

BlueCrest AllBlue Fund Ltd

20 February 2013

 



FOR IMMEDIATE RELEASE

20 February 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JANUARY 2013

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 2013 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.8080	0.84%	1.48%	84.46%
Euro Shares	€1.7446	0.86%	1.18%	77.99%
US Dollar Shares	$1.7273	0.83%	1.22%	76.23%

*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 2013

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 started with a strong risk-on move in reaction to the resolution of the US 'Fiscal Cliff' negotiations.  The optimistic sentiment generally carried through the month with better than expected corporate earnings releases and belief that the Eurozone crisis is stabilising (after positive comments from the ECB president and a larger than expected amount of LTRO funds being paid back early by European banks) providing catalysts for gains in risk assets globally.  Equities and credit rallied significantly and 'safe haven' government bonds were weaker (10yr bond yields were 20-40bps higher with the US 10yr Treasury touching the 2% level intra-month). 

In Europe, short-end rates increased, as the market reacted to the early repayment of €137bn of LTRO funds, taken as a signal of financial strength and better economic prospects that would lead to rate hikes sooner than expected.  However, the recent strength of the Euro also reinforces the tightening of financial conditions around the region, so more targeted stimulus from the ECB may still be needed.  Japan was also in focus as the BoJ announced a formal 2% inflation target (increasing from the current goal of 1%) and a policy of open-ended bond buying in order to stimulate the economy.  Although bond purchases are scheduled to commence in 2014, the central bank's actions were taken positively by the markets with the Nikkei rallying and the JPY continuing to depreciate to new lows versus the USD; since the election of Prime Minister Abe in December 2012 the JPY has now fallen by more than 13% against the USD.  

Despite tentative signs of economic improvement, there were a number of weaker data releases during the month which appeared to have little impact on the markets' optimism, for instance; both the US and UK Q4 GDP showed a contraction (of 0.1% and 0.3% respectively) which put the UK at risk of entering a triple dip recession, the German government revised down their estimate for 2013 growth from 1% to 0.4% and the level of pan-European unemployment reached a new record high of 11.8%.  Growth in the US economy during the fourth quarter was disappointing as a result of weak domestic demand driven by uncertainty regarding the fiscal outlook and high unemployment. Congress has already acted to support the economy by extending the debt ceiling through mid-May, although we believe that spending cuts ("the sequester") will take place as scheduled on March 1 and are likely to have some adverse effects on activity.

All underlying funds with the exception of BlueCrest Capital International, provided a positive contribution to AllBlue's performance this month.

BlueCrest Multi Strategy Credit portfolio performed well due to trading profits from US markets, particularly from long-biased strategies in the ABS markets and from single name selection in High Yield, where fundamental developments supported our investment thesis and led to gains. European traders made a more modest contribution, with credit options trading being one of the main sources of profits during the month, along with selected shorts in European investment grade corporates. 

BlueTrend Alignment (Systematic Trend Following) experienced mixed performance contributions across the sectors traded, with the combined portfolio generating a solid positive return. In January, positive contributions came from the equity, energy and FX sectors, whilst fixed income, crops and metals detracted from returns.  The markets' optimism at the start of the year led to upward momentum in equity markets that benefitted BlueTrend's net long position in the sector. In currencies, moves in specific markets presented opportunities for the strategy, in particular the continued decline in JPY benefitted the fund's short position.  The fixed income sectors, both bonds and short term interest rates, detracted from returns as in general bond prices fell (yields rose) impacting the long positions maintained by the fund.

BlueCrest Emerging Markets fund performance was driven by foreign exchange, with significant gains also made in local rates and sovereign credit. Regionally, performance was relatively equally attributable to positions in CEMEA, Asia and Latin America.  Foreign exchange gains were strongest in the Asian region, taking advantage of the moves in JPY vs, other linked currencies.  In CEMEA, gains were generated from long bond positions in selected peripheral European countries, which appreciated as Eurozone fears subsided. 

BlueCrest Mercantile (Trade Finance) saw positive returns across all sub-strategies, with the greatest gains from the Bank Basel II sub-strategy, followed by Trade Credit Opportunities and Commodities Finance trades.

The positive performance of BlueMatrix (Systematic Equity Market Neutral) was generated by the European and Asian portfolios with most of the different trading signals contributing positively to the performance in these regions.  The US portfolios detracted slightly from performance as Analyst Revision and Financial Statement Analysis signals underperformed.

BlueCrest Capital International's (Macro) performance was impacted by the weakness in government bond markets over the month, which hurt the long duration positioning in the Alignment portfolio.  The Rates desk delivered a modest positive return due to gains in the long volatility positions, however the sharp yield curve moves went against some directional and curve positions that were expressing negative expectations for the European economy.

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 Jefferies Hoare Govett on Tel: London 020 7029 8687.

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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