Monthly Performance Review for May 2013

RNS Number : 1104H

BlueCrest AllBlue Fund Ltd

14 June 2013

 



FOR IMMEDIATE RELEASE

14 June 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR MAY 2013

"Challenging market conditions"

BlueCrest AllBlue Fund Limited (BCAB) experienced a reversal in performance in May, falling by 1.5%, tempering the return for the year to date to 1.7% (Sterling Class NAV).  The rolling 12 month performance is now 5.7%.  Volatility remains well contained despite a small rise in May. 

Markets became more challenging in May after a sharp reaction to macro economic developments in the US.  A continuation of the better tone of economic data triggered speculation that the US Federal Reserve would begin to withdraw stimulus from the economy - the so-called "QE tapering".  This resulted in a significant sell-off in the US bond market which then spread progressively to emerging market bonds and other asset classes.  At the same time, investors' confidence in the reflation of the Japanese economy waned, causing sharp reversals in Japan's equity and bond markets and in the Yen.  Global deleveraging commenced, with marked losses in higher yielding assets.

"BlueTrend's drawdown is in line with normal statistical expectations"

Of the underlying funds, BlueCrest Multi-Strategy Credit and BlueCrest Mercantile produced positive performance in May with the remaining four funds posting a negative return.  Multi-Strategy Credit delivered a strong month, up 1.4%, with gains across all strategies and US High Yield being the most profitable.

BlueTrend Alignment accounted for the bulk of AllBlue's losses.  In line with its peers, the fund suffered as sharp trend reversals took place and as correlations rose between asset markets and regions.  BlueTrend erased its gains for the year so far with fixed income and FX the hardest hit.  However, the drawdown, whilst significant, is in line with normal statistical expectations for the strategy given its volatility profile.  In addition, the model has reacted as expected for the conditions and did reduce risk considerably during the month.

The performance of BlueCrest Emerging Markets, whilst incurring a small loss of 0.3%, was creditable given that emerging markets saw swift capital flight and the local interest rate markets experienced their worst performance in a decade.  Against this backdrop, the fund was well positioned and highly resilient in the face of the sharp and widespread sell-off.

AllBlue's allocation to BlueCrest Capital International was reduced for 1st June, to 23.5%, with increases to BlueCrest Emerging Markets and BlueMatrix. BlueCrest Capital International is now at the lower end of the range, and of similar weighting to Emerging Markets and Multi-Strategy Credit.

The BCAB share price has shown some volatility around NAV but spent most of May at or close to parity.

"Similar periods in the past have created strong opportunities"

Conditions at the beginning of June have remained challenging.  There is some evidence of forced selling in the markets and deleveraging continues.  Further market choppiness remains a risk but similar periods in the past have frequently created strong opportunities for future profits.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	-1.48%	-1.52	-1.50%
YTD NAV	1.68%	1.65%	1.68%
Rolling 12 m NAV	5.66%	5.10%	5.18%
Rolling 12 m Share price	11.68%	10.61%	12.03%
Since inception NAV	86.00%	79.40%	77.70%
Since inception NAV annualised	9.24%	8.67%	8.53%
Premium/discount	1.19%	0.80%	0.97%
ISIN	GB00B13YVW48	GB00B13YXC81	GB00B13YXH37
Bloomberg ticker	BABS LN	BABE LN	BABU LN

Disclaimer:

This document is directed only at: (i) persons having professional experience in matters relating to investments who fall within the definition of "investment professionals" in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005; or (ii) high net worth bodies corporate, unincorporated associations and partnerships and trustees of high value trusts as described in Article 49(2) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 and persons who receive this document who do not fall within (i) or (ii) above should not rely on or act upon this document.

This document is issued by BlueCrest AllBlue Fund Limited (the "Company") to and for the information of its existing shareholders and does not in any jurisdiction constitute investment advice or an invitation to invest in the shares or any other securities of the Company or any other entity (body corporate or otherwise).

The Company has used reasonable care to ensure that the information included in this document is accurate at the date of its issue, but does not undertake to update or revise the information, including any information relating to AllBlue Limited and its underlying funds (the "Funds") provided by BlueCrest Capital Management (UK) LLP or any member of the BlueCrest group of companies (as applicable) ("BlueCrest"), or guarantee the accuracy of such information. To the extent permitted by law neither the Company, the Funds, BlueCrest nor their directors or officers shall be liable for any loss or damage that anyone may suffer in reliance on such information.

The information in this document may be changed by the Company at any time. Past performance cannot be relied on as a guide to future performance. The Company's investment strategy is speculative and entails substantial risks. The value of an investment may go down as well as up and some or all of the total amount invested may be lost. This document may not, in whole or in part, directly or indirectly, be taken, transmitted or distributed into the United States of America, its territories or possessions or made available to any national, resident or citizen of the United States of America or any other jurisdiction where applicable laws prohibit its release, distribution or publication. Any failure to comply with these restrictions may be a violation of the law in relevant jurisdictions.

Anson Fund Managers Limited

Secretary.

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT

E&OE - in transmission

 

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