Monthly Performance Review

RNS Number : 4628H

BlueCrest AllBlue Fund Ltd

19 May 2014

 



FOR IMMEDIATE RELEASE

19 May 2014

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR APRIL 2014

"A solid start to the year"

BlueCrest AllBlue Fund Limited (BCAB) rose by 0.3% in April bringing the performance for the first 4 months of 2014 to 2.3% (Sterling Class NAV).  This is a solid start to the year, particularly in the context of both bond and equity market returns being relatively muted.  The rolling 12 month return declined to +0.9%.  Risk levels were stable.

Most markets were quiet in April with US Treasury bonds, in particular, caught in a very tight range which presented few opportunities to any investors.  Central bank policy was left unchanged, although the US Fed continued with tapering, and there was little in the way of economic data to wake holiday-season markets from their stupor.  However, events in the Ukraine continued to deteriorate and this kept the general risk appetite in check.  Equities generally ended the month with small gains, although Japanese stocks remained soft.  The notable performer remained peripheral European bond markets where, in a remarkable turn of events, yields have now almost converged with US and UK government bonds.

"Five of the six strategies were positive"

Five of the six underlying strategies generated positive performance in April, with only BlueMatrix detracting.  BlueCrest Emerging Markets and BlueTrend were the strongest performers on the month, both of which gained just shy of 1%.  Emerging markets as a whole saw a better tone with the first net investor inflows in nearly a year. 

Despite a good overall gain, BlueTrend saw mixed sectoral performance.  Only two sectors, bonds and crops, generated gains but those gains were significant enough to more than offset other losses.  The model reduced risk levels over the course of April with the largest net changes to risk being a reduction in equity risk and an increase in exposure to short term rates.  Coming into May, BlueTrend was long of most sectors with bonds, energy and equities the largest risk exposures.

BlueCrest Multi-Strategy Credit rose by 0.5% for the month in a generally positive credit environment.  Most credit spreads tightened further although US high yield spreads widened as the equity market saw sharp sector rotation.  The largest gains for the fund came from long/short credit strategies in Europe and the US with notable gains in financials, telecoms and utilities trades.  The opportunity set in long/short remains rich and trading activity is high in this area.  Directional trading is currently more tactical in nature, given the potential for sharp sentiment shifts in the market.  Risk levels were reduced towards the end of the month, particularly as concerns over Ukraine mounted.

Conditions didn't suit BlueMatrix, although losses were modest.  The sharp rotation between equity sectors and between value and growth provided a challenging environment for the model although the value signal set performed well.  Net exposure remained close to zero and as the fund entered May it was long technology and short consumer staples.

AllBlue has started May well, with a further gain of 0.5% to date, bringing the year to date performance to 2.8%.

"The discount was relatively stable"

Buy back activity continued in April and the discount was relatively stable at around 5%.  Investor demand has increased somewhat in May and the discount at the time of writing is approximately 4.5%.

At the end of April, Jonathan Hooley resigned as a director of BCAB.  Jonathan will be sorely missed and the board would like to thank him for his notable contribution.  The Nominations Committee has commenced a structured process to identify a suitable replacement and a further announcement will be made in due course.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	0.34%	0.32%	0.32%
YTD NAV	2.26%	2.22%	2.20%
Rolling 12 m NAV	0.91%	0.86%	0.94%
Rolling 12 m Share price	-0.78%	-2.61%	-0.87%
Since inception NAV	90.51%	83.73%	82.11%
Since inception NAV annualised	8.46%	7.96%	7.84%
Premium/discount	-5.32%	-7.36%	-5.00%
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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