Monthly Performance Announcement


 

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RNS Number : 5593Q 
BlueCrest AllBlue Fund Ld CGBP 
04 August 2010 
 

FOR IMMEDIATE RELEASE 
 
4 August 2010 
 
MONTHLY PERFORMANCE REVIEW FOR JUNE 2010 
 
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 net asset values ("NAV") of the Company's Shares as at the close of business 
on 30 June 2010 were:- 
 
+----------------+-----------+------------+------------+------------+ 
|                |           | Total      | Last       | Since      | 
|                |           | Return     |            |            | 
+----------------+-----------+------------+------------+------------+ 
|                | NAV*      | Last Month | Quarter    | Launch**   | 
+----------------+-----------+------------+------------+------------+ 
| Sterling       | GBP1.6006 | 0.76%      | 1.43%      | 63.30%     | 
| Shares         |           |            |            |            | 
+----------------+-----------+------------+------------+------------+ 
| Euro Shares    | EUR1.5447   | 0.77%      | 1.41%      | 57.59%     | 
+----------------+-----------+------------+------------+------------+ 
| US Dollar      | $1.5478   | 0.74%      | 1.36%      | 57.91%     | 
| Shares         |           |            |            |            | 
+----------------+-----------+------------+------------+------------+ 
 
 
*The figures are based on the confirmed NAV at the month end. 
 
**Based on opening NAV, being the Issue Price less Formation and Initial 
Expenses, of GBP0.9802 per Sterling Share, $0.9802 per US Dollar Share and 
EUR0.9802 per Euro Share. 
 
PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF JUNE 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 
AllBlue recovered in June after a negative performance in May. The month started 
with the markets remaining nervous over the European sovereign debt crisis. 
Fears that US and global growth might be faltering then took hold which led to 
persistent volatility in the risky asset classes. 
 
This month's performance was once again driven by the returns of BlueCrest 
Capital International, and within that fund it was the Rates desk that 
contributed the majority of the returns .  The trades that gave the largest 
contributions were conditional steepeners within EUR, where we saw both a 
steepening of the forward curve and also some normalisation of the long-dated 
volatility.  The Fixed Income Relative Value desk also posted a positive return 
with their USD relative value trading being the main contributor, whilst their 
volatility positions made small losses.  The Equity Derivatives desk within the 
fund saw further losses from some of its dispersion trades. 
 
The Emerging Market Fund's estimated performance of 46bp was mostly driven by 
local currency long positions.  Given the European situation is still a major 
market risk, many of our EM currency positions were fully or partly hedged 
against the EUR, resulting in some of the gains being offset by the hedges as 
the EUR rallied slightly.  Multi Strategy Credit finished the month down an 
estimated 79bp; this was driven in a large part by the negative impact of the 
correlation strategy, with lower than expected recoveries from Ambac 
post-restructuring.  Within Mercantile, whose estimated performance was 88bp, 
the best performing sub-strategy was single-name credits where the basis which 
had widened in May and narrowed back in June, particularly in Ukraine and 
Russia. 
 
Looking at the systematic strategies we saw positive performance from BlueTrend, 
which made profit in the fixed income sectors (bonds and short rates) that more 
than offset the losses within equities and energies.  BlueTrend steadily started 
redeploying risk after its large risk reduction in May; the margin to equity 
rose from 7.6% to 11.6% over the month. 
 
BlueMatrix found June to be a more difficult month, as falling levels of 
volatility in the equity markets provided a less fertile ground for isolating 
reversion opportunities. The fund finished down 1.39%.  BlueCube on the other 
hand performed well with the majority of the returns coming from the mean 
reversion strategy, and with the capital dynamics also producing a solid 
contribution.  The strategy continues to revolve out of the Value sub-strategy 
which now holds the lowest weighting within the fund. 
The latest allocation changes within AllBlue see us decreasing our allocation to 
BlueCrest Capital International and increasing allocations to Multi Strategy 
Credit and Emerging Markets as the new portfolio managers are creating more 
trading opportunities within these funds. 
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 
 
This information is provided by RNS 
            The company news service from the London Stock Exchange 
   END 
 
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