Monthly Performance Review

RNS Number : 2428Y

BlueCrest AllBlue Fund Ltd

22 January 2014

 



FOR IMMEDIATE RELEASE

22 January 2014

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR NOVEMBER 2013

"Positive over every rolling 12 month period since inception"

BlueCrest AllBlue Fund Limited (BCAB) rose by 0.3% in December, bringing the return for 2013 to 1.8% (Sterling Class NAV).  Risk, measured by annualised volatility, was stable at 3.9%.  The underlying AllBlue fund maintained its unbroken record of positive calendar returns and, indeed, has produced positive returns over every rolling 12 month period since inception.

The Federal Reserve's actions over tapering continued to dominate the markets, with bonds and equities starting the month precariously before recovering after the measured reduction of $10bn and enhanced forward interest rate guidance.  The economic outlook continued to brighten in the US, UK and Japan and, as a result, equity markets were generally positive although emerging markets remained under pressure.   Eurozone economic data was softer and deflation worries began to mount meaning that European equities underperformed, although peripheral Eurozone bonds rallied strongly.

"Conditions continue to favour BlueMatrix"

Four of the six strategies were positive for the month with BlueCrest Capital International and BlueTrend detracting.

BlueCrest Multi-Strategy Credit once again performed well, gaining 1.8% during December.  Credit markets were strong after tapering fears receded.  The fund made returns from both investment grade and high yield credits and across most strategies.  Sentiment and corporate news continues to provide positive impetus as we enter 2014 but, with long term rates firming and many credit markets richly valued, the chance of a sharp reversal is mounting.  As a result, the portfolio has balanced positioning and has short positions in a number of overvalued pockets to guard against the downside.

AllBlue's exposure to BlueCrest Capital International was once again reduced, by 1% to 19%, for January.  The fund had a challenging year; for the first time since launch in 2000 it generated a negative calendar year return.  In December, gains from long positions in fixed income volatility were overcome by European short rate positions, where a year-end technical squeeze caused losses, and by curve trading where an anticipated flattening did not emerge.   Looking into 2014, central banks are becoming less coordinated in their actions providing better opportunities.  The fund's coverage of core fixed income markets has been expanded during the year and the portfolio is well positioned for the likely volatility in fixed income markets.

AllBlue's allocation to BlueCrest Emerging Markets was also reduced by 1%.  The Emerging markets fund once again produced a positive return in December, despite trading conditions remaining difficult.  All regions contributed positively with returns from rates and FX being strongest.

The 2% raised from these two funds has been allocated to BlueMatrix, bringing its allocation up to 18%.  Equity market conditions continue to favour the fund's approach and all regions, and most signal sets, were positive in December when the fund generated a return of 1.7%.  The outlook for equities and the probability of increased dispersion provides a favourable backdrop for 2014.

During the past year BlueCrest has continued to invest heavily in personnel and infrastructure to underpin the management of the funds.  Staff numbers are now close to 600.  In addition to a new office in Sao Paulo, most recently BlueCrest has launched an office in Toronto for Canadian rates trading.

"The discount has been stable"

The discount of BCAB's share price to the NAV has been stable at around 4% during the month.  Whilst buy back activity has continued, the need for this was modest during December.   At the start of January, the board made an announcement that it believes that BCAB is exempt from the FCA's Non-Mainstream Pooled Investments regulations.  More details can be found on the website. 

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	0.25%	0.24%	0.24%
YTD NAV	1.83%	1.83%	1.94%
Rolling 12 m NAV	1.83%	1.83%	1.94%
Rolling 12 m Share price	3.00%	4.52%	4.47%
Since inception NAV	86.26%	79.71%	78.16%
Since inception NAV annualised	8.52%	8.01%	7.88%
Premium/discount	-4.21%	-5.01%	-4.88%
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.

JTC Fund Managers (Guernsey) Limited

Secretary

Tel: Guernsey 01481 702400

END OF ANNOUNCEMENT

E&OE - in transmission

 

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