Performance Update

RNS Number : 5681C

BlueCrest AllBlue Fund Ltd

20 January 2015

 



FOR IMMEDIATE RELEASE

20 January 2015

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR DECEMBER 2014

"The return for 2014 was 6.9%"

BlueCrest AllBlue Fund Limited (BCAB) achieved a small return in December of 0.1%, a creditable performance against a backdrop of difficult and, in some cases, treacherous market conditions.  As a result, the return for 2014 as a whole was 6.9% (Sterling Class NAV).  Rolling 12 month volatility remained low at close to 2%. 

Economic data underscored the divergence between regions as strong US labour market data stood in stark contrast to softness in Europe and Japan.  A number of major events dominated the headlines, however.  Oil prices continued to collapse, falling around 19% over the month, political worries mounted in Europe as Greek politics began to unravel and the Swiss National Bank took interest rates negative.  In general, equity markets and credit were lower, with emerging markets particularly weak.

"All seven underlying funds contributed positively in 2014"

All seven underlying funds contributed positive performance for 2014 as a whole.

In December only four funds were positive. BlueCrest Equity Strategies was the strongest performer in December with a gain of 1.7%.  The fund aims for a relatively low net position, typically in the range +/- 10%, and, against a backdrop of weaker equity markets, December was further evidence that the fund does not demonstrate a directional bias.  Positive returns were derived from all strategies - long/short, event driven and relative value.  Asian and Emerging Markets produced the best returns followed by North America where gains were driven by the L/S book, in particular industrials and energy.  The outlook for both BlueCrest Equity Strategies Fund and the BlueCrest Quantitative Equity Fund is good for 2015.

BlueCrest Capital International was the weakest performer in December, falling just over 1%.  Whilst generating a positive performance for the year, it has faced a generally challenging set of conditions for fixed income macro trading in 2014, as volatility remained persistently low.  In December, substantial curve flattening moves and lower liquidity made for a tough environment.  The curve flattening seen in North America, the sharpest all year, hurt the fund's steepening bias.  However, mortgages and relative value trading in North America produced some positive performance offset. 

BlueCrest Multi Strategy Credit produced a solid, positive performance in the face of generally tricky trading conditions as the year drew to a close.  Risk exposures had been trimmed in prior months in anticipation of potentially difficult conditions and this proved helpful.  Long/short strategies and relative value both produced gains, as did credit volatility trading.  The fund continues to trade actively but is defensively positioned in anticipation of ongoing volatility.

No changes were made to AllBlue's fund allocations for January.

"The purchase of shares at a discount enhanced NAV returns by 0.3%"

The buyback programme continued to operate in December, although activity was quiet towards the end of the month.  During 2014 BCAB repurchased close to £70m of Sterling and Dollar shares.  These repurchases at a discount enhanced total NAV returns by 0.3%.

The transition of the management of BlueTrend to Systematica Investments on 1st January completed smoothly and successfully.  As noted previously, this change will not impact either the information flow that BlueCrest receive on BlueTrend or AllBlue's ability to allocate.  Following this transition, BlueCrest manages approximately $14bn with a headcount of just under 600.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	USD Share Class
MTD NAV	0.07%	0.04%
YTD NAV	6.90%	6.62%
Rolling 12 m NAV	6.90%	6.62%
Rolling 12 m Share price	6.28%	6.91%
Since inception NAV	99.14%	89.98%
Since inception NAV annualised	8.33%	7.74%
Premium/discount	-4.83%	-4.61%
ISIN	GB00B13YVW48	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

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