Statement re Performance Update

RNS Number : 3257A

BlueCrest AllBlue Fund Ltd

19 March 2013

 



FOR IMMEDIATE RELEASE

19 March 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR FEBRUARY 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 28 February 2013 were:-

		Total Return	Last	Since
	NAV*	Last Month	Quarter	Launch**
Sterling Shares	£1.8119	0.22%	1.48%	84.85%
Euro Shares	€1.7472	0.16%	1.18%	78.26%
US Dollar Shares	$1.7310	0.22%	1.22%	76.60%

*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 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

The 'New Year' rally in risky assets paused this month as the Eurozone's path to recovery became more challenging.  Investors were wary of the Italian election as polls showed anti-austerity parties were gaining support and threatening the recent efforts made to improve the deteriorating economy.  These fears proved to be founded, as the election results showed a wide rejection of spending cuts and left the country with a hung parliament.  The Italian political stalemate led to moderate contagion across the region, with a number of further events compounding concerns including the nationalisation of a Dutch bank, allegations of corruption by the Spanish prime minister and disappointing GDP data.  Outside of the Eurozone, the UK was stripped by Moody's of its Aaa rating status, which further demonstrated the extent of challenges faced by governments trying to stabilise weakening economies.  The US proved more resilient than Europe, with better than expected data releases, particularly in the housing sector and the Fed reassuring the market of their commitment to quantitative easing.  However, uncertainty around the impact of sequestration (forced fiscal spending cuts) expected in March, did drag on sentiment.  In Japan, speculation on the next Bank of Japan governor and future policies led to volatility in JPY, but the positive momentum in bond and equity markets continued. 

Four of the six underlying funds provided a positive contribution to AllBlue's performance this month.

BlueCrest Capital International's (Macro) performance was driven by the Rates desk, although all strategies were positive.  The Rates portfolio benefitted from higher volatility in interest rate markets that led to an increase in value of long volatility positions, as well as improved trading opportunities for yield curve and directional trades.  In yield curve trading, profits were generated across markets, in particular from European long end steepeners capturing a greater decline in yields in shorter dated maturities relative to longer dated maturities.  Also gains were driven by directional trades including longs in US rates and longs in European short-end rates that captured the reduction in yields and a modest bond market rally.  Similarly, Alignment's long rates positions also performed well over the 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 trading in High Yield.  Gains were also made from active trading around the moves in the European sovereign debt markets and from strategies capturing the recovery in the US housing market.  Short positions in European corporates detracted from returns but the exposure has been maintained as the tight level of spreads provides attractive profit potential should conditions deteriorate.

BlueCrest Mercantile (Trade Finance) saw positive returns from the Trade Credit Opportunities and Bank Basel II sub-strategies, however the Commodities Finance sub-strategy detracted from performance.

The positive performance of BlueMatrix (Systematic Equity Market Neutral) was generated by the US and Asian portfolios, with contributions sourced from the range of trading signals.  The European portfolios detracted slightly from performance, with value signals among the underperformers.

BlueTrend Alignment experienced (Systematic Trend Following) mixed performance contributions across the sectors traded, with the combined portfolio finishing the month slightly down.  Positive contributions came from the fixed income and equity sectors, whilst the commodity and FX sectors detracted from returns.  Global fixed income markets tended to reflect lower interest rates which benefitted net long positions in both bond and short term interest rate futures (long the future representing a view on rates moving lower).  The equity sector provided a modest positive contribution to returns as equity index performance varied markedly around the globe.  In FX markets, the broad Dollar Index rallied strongly, having generally trended downward over the previous two and a half months, leading to losses in positions held in the portfolio.  Similarly, reversals in the energy markets led to this sector detracting from returns.   

BlueCrest Emerging Markets fund performance was modestly negative as small losses in Latin America detracted from gains elsewhere, in a challenging month for the asset class overall.   Several specific strategies were positive performers including Asian Rates, CEMEA FX and G7 Rates.  By strategy, the strength of the USD vs EM FX in general, led to weakness in some currency strategies and modest losses were also incurred in sovereign credit strategies as spreads widened. The portfolio is cautiously positioned at present, as the potential normalization of the US treasury curve could bring some unwelcome volatility to EM fixed income and credit markets and USD strength may restrain EM FX performance.

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.com

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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