BlueCrest’s flagship helps AllBlue fund of funds outpace rivals

BlueCrest Capital Management’s listed fund of hedge funds AllBlue made 8.2% last year, largely thanks to strong performance from its flagship Capital International fund.

The return from AllBlue easily outpaced the average 5.6% from funds of hedge funds, according to Hedge Fund Research.

Six of seven strategies into which AllBlue invests made money, and overall AllBlue’s portfolio rose in all but two months of 2010.

Capital International made 12.8% last year, contributing 4.3% to AllBlue, while the 15.9% from computer-driven BlueTrend contributed 2.1%. BlueCrest’s Emerging Markets 7.8% in 2010 contributed 1.2%, while BlueMatrix’s 6.4% added 0.26% to AllBlue.

By the end of the year AllBlue was weighted most heavily toward Capital International (30% of assets), followed by Emerging Markets (19%), and Multi-Strategy Credit (18%). The BlueTrend and Mercantile funds were the only other two to receive double digit allocations, of 14% and 13% respectively.

AllBlue’s shares responded to its rise in NAV, by gaining 6.7% in price over the year.

Over 2010 all of AllBlue’s three currency share classes traded, on average, at premia to the fund’s per-share net asset value (NAV), of between 3.2% (both sterling and euro classes) and 4% (US dollar class).

Until recently AllBlue was the only fund of hedge funds whose shares were more expensive than the portfolio’s NAV. However newcomer CQS Diversified – another fund of internal hedge funds – is now also trading slightly above its own NAV.

The four such funds – AllBlue, CQS Diversified, Brevan Howard’s BH Global and Cazenove Absolute Equity – traded at far tighter discounts over 12 months than the 21 funds of third party hedge funds. The averages were a 2.4% discount compared to 17.3% average discount for third party portfolios.

AllBlue raised £432m in two tranches which, combined with performance, brought total assets to £914m.

Investors in the sterling shares have made 68% since AllBlue’s inception of May 2006.


David Walker

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