Monthly Performance Review

RNS Number : 8869E

BlueCrest AllBlue Fund Ltd

15 April 2014

 



FOR IMMEDIATE RELEASE

15 April 2014

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR MARCH 2014

"Building on February's gains"

BlueCrest AllBlue Fund Limited (BCAB) built on February's gains with a further rise of 0.6% in March.  This brings the total gain for the first quarter of the year to 1.9% (Sterling Class NAV) and the rolling 12 month return is 1.8%.  Risk levels in AllBlue declined during the month with VaR (95%, 1 day) ending the month at 0.22% versus more typical historic levels around 0.30%.

Most markets were generally range bound during March as central bank policy was stable, albeit with a change of tone on "forward guidance" from the US Fed.  Concerns over Ukraine flared up but soon abated.  A return to some stability in emerging markets saw most EM asset classes recover even as worries over China persisted, this time as the renminbi weakened and the country saw its first bond default.  Chinese concerns saw copper and other metals fall sharply, although crops were a strong performer with wheat up over 15%.

"Multi Strategy Credit was increased to over 25% of AllBlue"

Four of the six underlying strategies rose in March with the strongest performance coming from BlueMatrix, BlueCrest Emerging Markets and BlueCrest Multi Strategy Credit.  The allocation to BlueCrest Multi Strategy Credit was increased by a further 1.5% to over 25% of AllBlue, at the expense of Emerging Markets.  The Credit fund rose a further 1.3% in March with positive performance coming from diversified gains across a range of strategies, although single name positions in financials, media and telecoms were particularly profitable.  Exposure to student loans also contributed strongly in the ABS sector, alongside RMBS.  Risk levels in the fund were reduced ahead of the Crimea vote and have been maintained at those lower levels subsequently as some credit markets appear over-extended.

BlueCrest Emerging Markets gained over 1% on the month even as profits were made mostly from opportunistic trading across asset classes and individual markets.  Overall directionality was largely neutral.  Notable gains came from Colombian rates and the peso, as GDP data improved and index tracking demand increased, from a long bias in Hungary, as the market saw a surprise rate cut, and also in South Africa.  Losses in Chinese currency trading outweighed the gains in Chinese relative value trading.

BlueCrest Capital International and BlueTrend were the two funds that generated losses in March.  Although most markets were rangebound, conditions were occasionally choppy, a combination that did not suit BlueTrend.  BlueCrest Capital International struggled with very quiet rates markets and although volatility trading, relative value and basis trading all gained, losses from curve steepening trades in the US following the Fed's announcements overwhelmed the benefit of the fund's short bias to US rates.

AllBlue has started April well with a further gain of 0.4% in the first week.

"The Board remains committed to ensure stability"

The Board was active in buying back shares in March but, despite this, the discount to NAV crept wider.  Selling has now abated and the discount is hovering closer to 5%.  The Board remains committed to seeking to ensure stability where possible.  The accretion to shareholder value of the buyback was evident in March with the performance of BCAB being around 0.1% higher than that of AllBlue.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	0.62%	0.58%	0.58%
YTD NAV	1.90%	1.88%	1.87%
Rolling 12 m NAV	1.84%	1.87%	1.96%
Rolling 12 m Share price	-0.52%	-1.83%	0.44%
Since inception NAV	89.83%	83.13%	81.52%
Since inception NAV annualised	8.50%	8.00%	7.88%
Premium/discount	-7.49%	-7.00%	-4.97%
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.

JTC Fund Managers (Guernsey) Limited

Secretary

Tel: Guernsey 01481 702400

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E&OE - in transmission

 

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