Monthly Performance Review

RNS Number : 0960A

BlueCrest AllBlue Fund Ltd

18 December 2014

 



FOR IMMEDIATE RELEASE

18 December 2014

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR NOVEMBER 2014

"A strong monthly return of 1.2%"

BlueCrest AllBlue Fund Limited (BCAB) rebounded in November, posting a strong monthly return of 1.2%. This brings the year to date return to 6.8% (Sterling Class NAV). The rolling 12 month return rose to 7.1%, with 12 month volatility stable and very low at just over 2%.

Market conditions were much more benign in November after October's volatility. Even though economic data were mixed, both bond and equity markets were positive. Gains were confined to

developed markets, however, with emerging markets under pressure. Initial falls in commodity prices, particularly oil, were a portent of the more rapid declines seen subsequently in December.

"Gains were broad based"

Gains were very broad based with six of the seven strategies generating positive returns in November. The standout performers were BlueMatrix and BlueCrest Equity Strategies Fund, both of which gained over 2%, and BlueTrend, up just under 5% for the month. Only BlueCrest Emerging Markets detracted, but only fractionally.

BlueMatrix, which rose by 2.4%, saw gains across all regions and all signal sets although the strongest gains came from the traditional signal set, most particularly the financial statement

signal. At over 23% of AllBlue, BlueMatrix made a strong contribution to BCAB's returns. It entered December with gross exposure stable at just above 600% and net, as always, around zero, along with a long bias to Information Technology and a short bias to Industrials. As previously discussed, AllBlue's exposure to BlueMatrix was switched into the BlueCrest Quantitative Equity Fund on 1st December. There are no resulting changes to investment process or fund terms as the new fund mirrors the prior methodology of BlueMatrix.

BlueTrend, which rose by 4.9% in November, saw strong gains from bonds and equities. The model increased exposure to both markets as the month progressed and in doing so increased the

margin to equity from 10.1% to 17.1%, a return to more normal historical levels. Commodity exposures to energy and crops were the only sectors to detract from performance. The spin-off of

Systematica is making good progress and remains on track for a successful 1st January launch. As noted before, this will not change AllBlue's access to BlueTrend and the transition is expected to be smooth.

BlueCrest Emerging Markets lost just 0.01% in November, another creditable performance against a backdrop of difficult market conditions in emerging market equities, debt and currencies. Oil prices have produced early divergences in performance between oil importers and exporters. Gains for the

fund were widespread across credit, local rates and currencies but Asia incurred small losses because of the surprise easing of Chinese monetary policy.

Conditions in emerging markets are likely to remain challenging and the AllBlue Allocation Committee reduced exposure to BlueCrest Emerging Markets to 9% for December, with the reduction funding an increase of 1.5% to BlueCrest Capital International.

"The buyback programme has been active"

The buyback programme has been active in the last few weeks with purchases in Sterling and Dollar share classes. To date, the programme has repurchased £65m of shares across Sterling and

Dollar classes in 2014.

The board would like to thank shareholders for their support in 2014 and wish everyone a happy Christmas and a prosperous New Year.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	USD Share Class
MTD NAV	1.22%	1.23%
YTD NAV	6.83%	6.58%
Rolling 12 m NAV	7.13%	6.87%
Rolling 12 m Share price	6.77%	6.57%
Since inception NAV	99.02%	89.92%
Since inception NAV annualised	8.41%	7.82%
Premium/discount	-4.88%	-5.54%
ISIN	GB0012YVW48	GB00B13YXH37
Bloomberg ticker	BABS 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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