bluetrend ucits fund factsheet retail 20101110

Merrill Lynch Investment Solutions

BlueTrend UCITS FundUCITS III Luxembourg Fund

Weekly Factsheet for Retail investors only - 10 November 2010EUR Share C (Acc)__ Strategy: Trend-following__ Net Asset Value per Share: €115.161__ Monthly performance: 4.43%1__ Year to Date: 14.06%1

Past performance is not indicative of future results.

www.invest.baml.com/[email protected]

INVEST | UCITS FUNDS

INVESTMENT OBJECTIVE2

The BlueTrend UCITS Fund’s (the “Fund”) Investment Objective is to achievelong term appreciation in the value of its assets, providing absolute returns.The Fund seeks to achieve its objective through the implementation of asystematic trading model or portfolio of systematic trading models. Suchmodel(s) trade in a number of different instruments including debt, equity,foreign exchange, commodity index and energy index instruments. TheFund may also retain amounts in cash or cash equivalents pendingreinvestment or if this is considered appropriate to the investmentobjective.

HISTORICAL PERFORMANCE1

BlueTrend UCITS Fund EUR Share C (Acc) Share Class Price per Share

Fund performance is based on official daily valuations, shown since inception of share class.

FUND DESCRIPTION3

BlueTrend UCITS Fund offers investors a cutting-edge operation whichblends investment banking and asset management activities. Thecombination of a diversified research team and market specialists providesa strong platform of high quality quantitative systems built with deep marketinsight. The Fund is trend-following in nature with trading decisions basedon a quantitative model which analyses price movements across a rangeof asset classes in different markets and seeks to trade based on identifiedprice trends. The Fund trades on an intra-day, daily or weekly basis and theexecution of orders may be automated or nonautomated.The model may apply varying levels of leverage with respect to differentasset classes and different markets. This trading method involves a riskmanagement component that uses three elements: the current marketprice, equity level in an account and current market volatility. BlueCrest (theInvestment Manager) has been operating a successful trend followingstrategy for other funds since April 2004.

AVAILABLE SHARE CLASSES

Retail Classes ISIN BBG SEDOL NAV

EUR Share C (Acc) LU0394916216 MLIBTUC LX B613XK0 115.16

USD Share C (Acc) LU0394916307 MLBTRCA LX B3R7004 122.55

GBP Share C (Acc) LU0394916489 MLBTRAC LX B3R6ZY0 121.94

GBP Share C (Inc) LU0394916562 MLBTRGC LX B3RMM03 119.41

Source: Bank of America Merrill Lynch

HISTORICAL MONTHLY RETURNS1 (%)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD2010 (3.10) 3.94 5.75 2.60 (7.80) 0.22 0.51 (0.64) 4.35 3.80 4.43 - 14.062009 - (1.60) (0.91) (4.78) 3.15 (2.56) (0.10) 3.63 2.56 0.49 6.30 (4.62) 0.97

2008 - - - - - - - - - - - - -

Based on unaudited month-end valuations. Source: Bank of America Merrill Lynch

1 The performance figures contained herein are net of fees. The returns shown are based on share class EUR Share C (Acc) and therefore such historical information does not represent actual returns that an investorin share classes other than EUR Share C (Acc) may receive but is for information purposes to illustrate the performance of the BlueTrend UCITS Fund (the "Fund") and should be interpreted accordingly. Pastperformance is not an indication of future performance or actual realised returns on an investment in the Funds (which may be affected by a number of factors including, but not limited to, applicable fees and thetiming of subscriptions and redemption in the Fund).2 A significant or total loss of investment could occur. There can be no assurance that the investment objectives of the fund will be achieved and investment results may vary substantially over time.3 Neither the past performance of the fund or of the Bluecrest strategies are indicative of future results of the fund.



Weekly Factsheet for Retail investors only - 10 November 2010EUR Share C (Acc)__ Strategy: Trend-following__ Net Asset Value per Share: €115.161__ Monthly performance: 4.43%1__ Year to Date: 14.06%1




HISTORICAL WEEKLY RETURNS2 (%)

Start End Net of Fees

Since Inception 18 Feb 09 10 Nov 10 15.16

Year To Date 31 Dec 09 10 Nov 10 14.06

MTD 29 Oct 10 10 Nov 10 4.43

WTD 3 Nov 10 10 Nov 10 2.30

Last Day 9 Nov 10 10 Nov 10 (0.99)

Week4 3 Nov 10 10 Nov 10 2.30

Week3 27 Oct 10 3 Nov 10 3.54

Week2 20 Oct 10 27 Oct 10 (2.13)

Week1 13 Oct 10 20 Oct 10 (1.50)

Source: Bank of America Merrill Lynch, BlueCrest

FUND SECTOR RISK ALLOCATION (%)


RISK ANALYSIS3

1 Month (99%) Portfolio VaR 4 (12.48)%

1 Day (99%) Portfolio VaR 5 (2.79)%

Margin to Equity 6 5.39


FUND CHARACTERISTICS

Base Currency EUR

Inception Date 06 November 2008

Redemption/Subscription Frequency Weekly

Redemption/Subscription Notice Period 3 banking days

Management Fee 2.75% p.a.

Performance Fee 20% of absolute positive returns, calculated on 31March each year.

Fund's Assets Under Management EUR 298,395,388

Minimum Investment €/$/£ 1,000

FUND MANAGEMENT

Investment Manager BlueCrest Capital Management LLP

Sponsor Merrill Lynch International

Auditor PriceWaterhouseCoopers S.à r.l

Custodian Société Générale Bank and Trust

Administrator Société Générale Securities Services Luxembourg

Full details of the Fund are available in the Prospectus, available from [email protected] or yourusual broker. See additional disclosure on page 3 (additional information regarding investing in theBlueTrend UCITS Fund).

1 The performance figures contained herein are net of fees. The returns shown are based on share class EUR Share C (Acc) and therefore such historical information does not represent actual returns that an investorin share classes other than EUR Share C (Acc) may receive but is for information purposes to illustrate the performance of the BlueTrend UCITS Fund (the "Fund") and should be interpreted accordingly. Pastperformance is not an indication of future performance or actual realised returns on an investment in the Funds (which may be affected by a number of factors including, but not limited to, applicable fees and thetiming of subscriptions and redemption in the Fund).2 Income attribution information is sourced from BlueCrest and is Gross USD performance attribution by sector. This is indicative information only based on Bloomberg's exchange market close data, reported inUSD based on Bloomberg generic close price.3 Based on unaudited month-end valuations.

Definitions:4 99% 20 day VaR: Maximum anticipated loss of current holdings over 20 days at 99% level of confidence.5 99% 1 day VaR: Maximum anticipated loss of current holdings over 1 day at 99% level of confidence.6 Margin to Equity: Ratio of total margin posted to cover margin requirements on OTC and exchange traded instruments to NAV.



Weekly Factsheet for Retail investors only - 10 November 2010




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This information is not a publication of BofA Merrill Lynch Global Research,although a BofA Merrill Lynch Global Research report may be referencedas a link or as an attachment hereto. Any summary of BofA Merrill LynchGlobal Research is qualified in its entirety by the views of BofA Merrill LynchGlobal Research and the specific disclaimers associated with that report.This information is for discussion purposes and neither the information norany opinions expressed constitutes a solicitation by us for the purchase orsale of any securities or other financial instruments. BOFAML and anyaffiliate may trade for its own accounts in any of the securities of issuersmentioned herein or in related investments, or other products, and mayalso from time to time perform or solicit investment banking or otherservices for, or from, any entity mentioned herein. Prior to undertaking anytrade, you should discuss with your professional tax, accounting or otheradviser how such particular trade(s) affect you. All analysis (whether inrespect of tax, accounting, law or of any other nature), should be treatedas illustrative only and not relied upon as accurate.Bank of America and its affiliates do not operate as a banking entity in alljurisdictions. Some products and services may not be available in alljurisdictions or to all clients. Where products are not regulated by the FSA,this will be made clear.Bank of America reserves the right to monitor electronic communications(subject to and in accordance with local laws).© 2010 Bank of America Corporation. All rights reserved.

Distribution RestrictionsThe Fund may only be offered and distributed to investors in accordancewith all relevant local laws and regulations. The distribution of this brochureand the offering or purchase of Shares may be restricted in certainjurisdictions. This brochure does not constitute an offer of or invitation orsolicitation to subscribe for or acquire any Shares in any jurisdiction.Persons receiving a copy of this brochure in any jurisdiction may not treatthis brochure as constituting an offer, invitation or solicitation to them tosubscribe for Shares notwithstanding that, in the relevant jurisdiction, suchan offer, invitation or solicitation could lawfully be made to them withoutcompliance with any registration or other legal requirement. It is theresponsibility of any persons in possession of this brochure and any personswishing to apply for Shares to inform themselves of, and to observe, allapplicable laws and regulations of any relevant jurisdiction. Prospectiveapplicants for Shares should inform themselves as to the legalrequirements of so applying, and any applicable exchange controlregulations and taxes in the countries of their respective citizenship,residence or domicile.The Shares have not been and will not be registered under the United StatesSecurities Act of 1933, as amended, or the securities laws of any of thestates of the United States. The Shares may not be offered, sold or delivereddirectly or indirectly in the United States or to or for the account or benefitof any U.S. Person. The Fund has not been and will not be registered underthe United States Investment Company Act of 1940, as amended.

bluetrend ucits fund factsheet retail 20101110

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