Monthly Performance Review

RNS Number : 3649A

BlueCrest AllBlue Fund Ltd

18 February 2014

 



FOR IMMEDIATE RELEASE

18 February 2014

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JANUARY 2014

"Markets soon soured"

BlueCrest AllBlue Fund Limited (BCAB) started the year with a small decline in January of just under 0.2% (Sterling Class NAV).  Risk, measured by annualised volatility, was stable at 3.8%. 

After an initial continuation of the positive sentiment of late 2013, markets soon soured as economic data in developed economies was mixed, China showed signs of renewed slowdown and emerging markets were very unsettled.  The outcome was sharply falling equity markets across the globe but with emerging market equities particularly hard hit.  Emerging market bonds and currencies also saw heavy selling and the prospect of a full-blown emerging markets crisis loomed large.  In the event, sentiment has subsequently calmed but the bout of risk-aversion was severe.  Developed sovereign bond yields fell sharply and credit spreads widened.  Emerging markets, whilst stabilised, have yet to see a strong recovery and, for now, the jury is out.

"AllBlue was generally stable and preserved capital"

Against this backdrop, AllBlue was generally stable and preserved capital.  Four of the six funds were positive, with BlueTrend and Emerging Markets the only detractors.

In reality, BlueCrest Emerging Markets generated a highly creditable performance, losing less than 0.5% during January.  Trading was nimble during the month and there was active use of hedging strategies.   The portfolio entered February positioned for further negative news but risk is being tightly managed and both the long and short books have the potential to make gains.

BlueCrest Capital International saw its long bias rewarded as investors fled to the safe haven of government bonds.  Almost all strategies and regions were positive contributors to returns with only the long volatility bias of the fund losing money.  In the short term the portfolio is being traded actively and dynamically which should provide a base level of solid returns until broader macro themes prevail once again and risk levels are increased.

BlueCrest Multi Strategy Credit was the strongest performing fund in January, rising by 1.1%, even as credit spreads widened.  High yield spreads saw particular selling pressure but the fund generated widespread and well diversified gains.  Net exposure remains relatively neutral until a clearer direction develops.

BlueTrend was the largest detractor during the month although the performance across different asset classes was mixed.  The long bias to fixed income was positive and the model added to bond exposure during January.  However, overall risk levels were reduced during the month to below average levels.  The fund entered February with a long bias primarily to fixed income and equities and only small shorts.  This has generated positive performance in the first part of February.

The exposure to BlueTrend was further reduced in January, by 2.5% to 12.5%, with BlueMatrix receiving 1.5% and BlueCrest Multi Strategy Credit a further 1%.  AllBlue is, as a result, still very balanced across strategies.

"Buying interest increased notably"

Buyback activity in BCAB shares continued into January but buying interest increased notably from wealth managers towards the end of the month.  The discount has been very stable at between 4% and 5%.  An investor call for BCAB was held towards the end of January and if you would like to participate in a future call later in 2014 please email [e-mail].

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	-0.18%	-0.23%	-0.22%
YTD NAV	-0.18%	-0.23%	-0.22%
Rolling 12 m NAV	0.82%	0.77%	0.90%
Rolling 12 m Share price	1.41%	2.84%	1.93%
Since inception NAV	85.96%	79.34%	77.79%
Since inception NAV annualised	8.39%	7.89%	7.76%
Premium/discount	-5.73%	-4.94%	-5.54%
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

 

END

 

 

STREVLFFZLFZBBB