Best Multi-Strategy Hedge Fund: shortlisted

The AllBlue investment process is driven by the goal of optimiseing allocation to seven underlying BlueCrest funds with a target performance of 10%-15% against a volatility of 6%-8%.

The underlying funds are the BlueCrest Capital International (mixed arbitrage), BlueCrest Emerging Markets, BlueCrest Multi Strategy Credit, BlueCrest Mercantile, BlueTrend (Systematic Trend Follower), BlueMatrix (Equity Statistical Arbitrage) and BlueCube (Equity Market Neutral).

Michael Platt, CEO, head of trading and co-founder of BlueCrest Capital Management, is the manager of the fund.

The fund aims for consistent long-term appreciation of assets through active investment in the underlying funds, with capital allocated and optimised in order to achieve superior diversification and risk management

The AllBlue focuses in particular on correlation risks. The fund aims to have an extremely low correlation to traditional asset classes with diversification across the single strategies.

The fund uses a dynamic portfolio management process using performance, volatility and correlation matrices. The process begins with a theoretical Markowitz-optimised allocation and then progresses to a review of available opportunities which are identified at the fund level and, within each fund, at the trading-team level.

Daily correlations between individual traders, teams and funds are monitored closely to track the stability of these estimated correlations.

The fund management team believes it has the greatest competitive advantage versus traditional fund of funds is in the capacity to monitor the correlations at a position-specific level. It believes this enables it to identify stress scenarios and the risks they pose for the correlations with greater certainty and hence identify the optimal mix.

The AllBlue investment committee meets formally on a weekly basis to discuss the opportunities and allocation switches based on this process are executed at month end.

The company puts a strong emphasis on risk. The risk management team focuses on identifying trader and position level risks and the role of correlation is examined across all of our teams and businesses.

BlueCrest focuses on liquidity and uses a cash stress scenario that manages this risk within all the group's funds. At a trader level it operates rigidly enforced stop-loss thresholds. The specialist trader model allows the company to seek out experts in a particular market or market niche.

BlueCrest prefers to build a portfolio of diversified traders rather than have traders try to cover a wider set of markets. It prefers this to a more generalised model as it is able to capitalise on its traders' experience. In times of systemic distress or market dislocation, this additional level of understanding is critical to their overall level of success.

Fund facts: AllBlue

Full name of fund: AllBlue
Name of portfolio manager: Michael Platt
Name of investment/management company: BlueCrest Capital Management
Contact information: 3rd Floor NatWest House, Le Truchot, St Peter Port, Guernsey  GY1 1WD, Channel Islands (+44 (0)20 3180 3000; BlueCrestInvestorRelations@bluecrestcapital.com)
Launch date: January 9, 2005
Assets under management: £3.8 billion (at April 1 2010)
Net cumulative performance since inception: 70.97% (at March 31, 2010)
Annualised return (12 months): 19.14% (at March 31, 2010)
Annualised return (since inception): 12.41% (at March 31, 2010)
Annualised volatility (12 months): 3.60% (at March 31, 2010)
Annualised volatility (since inception): 5.45% (at March 31, 2010)
Sharpe ratio (12 months): 4.87
Sharpe ratio (since inception): 1.73
Strategy: multi-strategy
Share classes: US dollar, euro, sterling
Administrator: GlobeOp Financial Services
Auditor: Ernst & Young
Domicile: Cayman Islands
Listing: London Stock Exchange
Management fee: 0% at AllBlue Level, 2% at underlying fund level
Performance fee: 0% at AllBlue Level, 20% performance fee (above high watermark) at underlying fund level
Minimum investment: $1 million; €1 million; £1 million
Redemption/liquidity terms: monthly with 30 days' notice