Monthly Performance Review

RNS Number : 8524R

BlueCrest AllBlue Fund Ltd

17 September 2014

 



FOR IMMEDIATE RELEASE

17 September 2014

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR AUGUST 2014

"BCAB rose by a further 0.9% in August"

BlueCrest AllBlue Fund Limited (BCAB) rose by a further 0.9% in August bringing the year to date return to 5.8% (Sterling Class NAV).  The rolling 12 month return has increased to 8.9% with volatility low and stable at 2.2%.

Events did not provide a positive backdrop to markets for August but, despite this, healthy rallies were seen in both equity and bond markets.  Geopolitical issues persisted, with Ukraine tensions escalating, the Argentinian default and a flare up of concern in Europe as Banco Espirito Santo in Portugal reminded investors of the fragility of the Eurozone financial system.  Economic data also did little to hearten investors in Europe or Asia.

Market momentum derived primarily from expectations of further stimulus from the ECB as Mario Draghi hinted at additional action, action that was fulfilled in September.  This saw equities up around 2% in both developed and emerging markets and sovereign bond yields dropping notably, including German 10 year yields below 1% for the first time.  Credit spreads also tightened. 

"BlueTrend had an excellent month"

Six of the seven strategies generated positive performance in August with just BlueCrest Capital International detracting modestly.  BlueTrend and BlueCrest Emerging Markets were the strongest performers but BlueCrest Equity Strategies also produced strong gains as stock specific trades led returns.

Trading conditions in developed sovereign bonds remain challenging.  As a result, BlueCrest Capital International fell by 0.4% in August and the allocation to the fund has been further reduced by 1% to 14% of AllBlue, a historical low level.  Small gains were made from directional long positions in European and Sterling rates and in cross-market positions but were outweighed by losses in the US from the short directional bias and from curve steepening trades.  Relative value and volatility trading were essentially flat.

BlueTrend by contrast had an excellent month, rising by nearly 5%.  Strong gains were made from the long positions in bonds and equities as both markets rallied.  Exposure remains within normal historical bounds and the fund entered September with a long bias to fixed income and equities. 

The 1% allocation reduction from BlueCrest Capital International was placed into BlueMatrix, the systematic equity fund, bringing its allocation up to 23% of AllBlue.  BlueMatrix generated a return of 0.6% in August with gains principally made in Europe and Asia.  The fund held a net position close to zero both in aggregate and by region, and a gross of approximately 600% at month end with a long bias to the IT sector and short industrials.

"Little requirement for buybacks during the month"

An EGM was held in August to permit shareholders in the Euro class to vote on the closure and return of capital for that class.  All resolutions were passed and the listing of the BCAB Euro class will be cancelled from 2nd October with proceeds expected to be paid by mid November.

There was little requirement for the buyback during the month but both Sterling and Dollar shares were repurchased in the final week of August.  The share price discount to NAV was stable at around 4%.

The Half Yearly Financial Report as at 30th June 2014 has been published and can be found at www.bluecrestallblue.com

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	0.89%	0.83%	0.89%
YTD NAV	5.82%	5.66%	5.67%
Rolling 12 m NAV	8.87%	8.74%	8.76%
Rolling 12 m Share price	7.01%	6.13%	3.61%
Since inception NAV	97.14%	89.91%	88.30%
Since inception NAV annualised	8.55%	8.06%	7.95%
Premium/discount	-4.67%	-2.42%	-4.79%
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 (Guernsey) Limited

Secretary

Tel: Guernsey 01481 702400

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