Monthly Performance Review

RNS Number : 8648X

BlueCrest AllBlue Fund Ltd

25 November 2014

 



FOR IMMEDIATE RELEASE

25 November 2014

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR OCTOBER 2014

"Resilient performance which attests to AllBlue's defensive characteristics"

BlueCrest AllBlue Fund Limited (BCAB) fell by 0.4% in October bringing the year to date return to 5.6% (Sterling Class NAV). The rolling 12 month return was 6.4%. Volatility declined further during the month to just 1.9%. Whilst any negative return is disappointing, it is a resilient performance which attests to AllBlue's defensive characteristics and value in a wider portfolio context.

October started with sharp risk aversion across markets on worries over global economic growth. Equities, commodities and credit markets all fell sharply and government bonds rallied. Later in the month, hopes of central bank action and better corporate earnings brought some calm and the unexpected increase in QE by the bank of Japan at month end brought some welcome cheer.

"BlueTrend proved its worth in difficult markets"

Three of the seven strategies were positive in October. BlueTrend proved its worth in difficult markets by posting a gain of 2.2% for the month. BlueCrest Capital International was also positive. BlueCrest Multi Strategy Credit and BlueCrest Equity Strategies were the largest detractors.

BlueTrend saw strong gains from its long positioning in bonds and rates, with the majority of those profits coming in the first half of the month. The fund also had a long position to equities coming into October which produced negative returns before the model quickly sold the positions, even taking the equity position small net short mid month, before rebuilding a small long by month end. In general the fund reduced risk during the month, entering November with risk levels towards the lower end of the normal range and with the largest position net long to bonds.

BlueCrest Multi Strategy Credit, which fell 1.4% on the month, faced very challenging conditions as the first weeks of October saw sharp falls in credit markets. The fund had entered October defensively and so most high conviction positions were maintained. Despite solid fundamentals in many credits, the markets are vulnerable to selling pressure and liquidity is thin. As a result the fund entered November with relatively low levels of risk in place awaiting better opportunities to initiate positions.

BlueCrest Emerging Markets produced a small gain for October, a creditable performance against the market backdrop. The fund's defensive positions early in the month proved their worth as did some effective trading around the volatility seen during October. One of the bigger impacts on EM was the 11% drop in the oil price. The fund is positioned for a clear divergence of fundamentals between oil importers and oil exporters as well as holding a net short bias to EM rates.

The AllBlue Allocation Committee did not change allocations for November.

"AllBlue will invest in the BlueCrest Quantitative Equity Fund from December"

Last month BlueCrest announced the spin-off of the systematic business to Systematica Investments which is planned for January. Subject to regulatory approvals, BlueTrend and BlueMatrix will be managed by Systematica thereafter. As noted previously, AllBlue will continue to invest in BlueTrend and will invest in a new fund, BlueCrest Quantitative Equity Fund in place of BlueMatrix from December. The new fund will continue to be led by Frank Fehle from BlueCrest and there will be no change to the process or terms of the new fund relative to the existing BlueMatrix fund.

The share price of BCAB has been very stable relative to the NAV in recent weeks with the discount around the 3% level. As a result, buyback activity has been fairly limited and natural demand has been seen on weaker days.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	USD Share Class
MTD NAV	-0.37%	-0.43%
YTD NAV	5.55%	5.31%
Rolling 12 m NAV	6.44%	6.17%
Rolling 12 m Share price	9.12%	7.60%
Since inception NAV	96.64%	87.64%
Since inception NAV annualised	8.34%	7.74%
Premium/discount	-3.29%	-3.91%
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

END OF ANNOUNCEMENT

E&OE - in transmission

 

END

 

 

STRDZLFLZFFFFBB