Monthly Performance Review

RNS Number : 0539F

BlueCrest AllBlue Fund Ltd

17 February 2015

 



FOR IMMEDIATE RELEASE

17 February 2015

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR JANUARY 2015

"BCAB rose by 1.2% in January"

BlueCrest AllBlue Fund Limited (BCAB) started the year on the front foot with a strong gain of 1.2% in January (Sterling Class NAV), bringing the rolling 12 month return to 8.4% with volatility remaining low at 2.1%.

Market conditions were volatile during the month, with investors having to weigh a number of events. The Swiss National Bank abruptly dropped its 3 year old policy of enforcing a minimum exchange rate with the euro, resulting in a huge appreciation of the Swiss franc that caught the market unawares. Shortly afterwards the ECB finally committed to quantitative easing, announcing an ongoing programme of bond purchases; markets cheered this move by pushing equities and credit markets higher in Europe, in marked contrast to the USA where markets were generally lower over the month. Government bonds were generally stronger in this environment, while commodities were weaker as oil continued to fall.

"Positive performance emphasizes importance of diversification"

Six of the seven underlying funds generated positive performance in January, led by BlueTrend and BlueCrest Equity Strategies. Strong, diversified performance across the whole portfolio outweighed losses from BlueCrest Capital International in a tough environment for that fund.

The macro trading strategy employed within BlueCrest Capital International included positions that were caught out by the unexpected and extremely large market movements after the Swiss franc was allowed to float again. Small gains were made elsewhere, from long volatility positions and directional long positions in the US, but these were outweighed to result in a disappointing return of -6% for the month.

By contrast BlueTrend had an excellent month, rising by over +9% as all sectors traded by the strategy were positive, for the first time in over six years. Strong gains were made from long positioning in bonds as changing risk sentiment favoured the fixed income sectors. Further gains were made from long positioning in equities and short positioning in the commodities sectors.

BlueCrest Equity Strategies also had a very strong month, generating positive performance of nearly +4%. Gains were made across the large majority of strategies within the fund, with long and short trading of energy stocks being particularly successful in both Europe and North America while event driven and relative value strategies also contributed across regions.

The allocation to BlueCrest Capital International was reduced by 2.5%, to reach 13% within AllBlue, with this capacity being placed into BlueCrest Quantitative Equity and BlueCrest Equity Strategies where a good environment continues to exist for the selection of individual equities using both quantitative and discretionary approaches.

"Little requirement for buybacks during the month"

There was little requirement for the buyback during the month as the discount level remained close to 5%. There have been large natural buyers around this level.

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

 

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