Monthly Performance Review

RNS Number : 7048H

BlueCrest AllBlue Fund Ltd

18 March 2015

 



FOR IMMEDIATE RELEASE

18 March 2015

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR FEBRUARY 2015

"Building on January's gains"

BlueCrest AllBlue Fund Limited (BCAB) rose by 0.6% in February, building on January's gains.  This brings the year to date return to 1.7% (Sterling Class NAV).  The rolling 12 month return was 7.3%.  The volatility of returns remains very low, with the annualised 12 month volatility falling to just 1.7% in February.

A better environment for risk assets prevailed through most of February.  Equities in developed markets saw some very strong gains of 5-7%, although emerging markets trailed this strength.  Oil also bounced sharply after 6 months of steep losses.  Bonds, on the other hand, gave back much of their sharp rally of January with US and UK yields rising 30-40bp.  Eurozone government bonds, however, were supported by the announcement of QE in Europe and the temporary resolution of the Greek standoff.

"Credit was the strongest performing fund"

Five of the seven strategies were positive in February.  BlueCrest Multi Strategy Credit and BlueCrest Emerging Markets were the strongest two funds, both of which gained close to 2% for the month.  Interestingly, it was the two equity funds that saw the losses, despite the very strong equity market backdrop. 

Neither of the two equity strategies saw large losses but their returns emphasised the generally low correlation of both funds to broader equity markets.  BlueCrest Quantitative Equity always has a net position tightly bounded around zero and the discretionary BlueCrest Equity Strategies Fund typically has a net position between +/- 10%.  As a result, large market-based moves should not unduly impact their overall returns, and so it proved in February.  Rather, in both funds it was generally the reversals and volatility in macro themes, such as the oil price, that triggered a variety of modest losses.

In contrast, the equity exposures in BlueTrend were the strongest contributor to that fund's returns.  BlueTrend entered February with a long directional bias to equities and added to that position through the month.  Unsurprisingly, bond strategies detracted as they too were long biased but overall only around one sixth of January's strong gains from bonds were given back.  Overall, BlueTrend recorded a modest gain and risk levels rose gently through the month.

BlueCrest Multi Strategy Credit was the strongest performing fund in February, gaining 1.9%.  It was a generally benign month in the credit markets, with both investment grade and high yield spreads tightening, good primary issuance and positive flows into the sector.  The fund achieved gains across most strategies with particular success in long/short trading where earnings news and corporate announcements played out as expected.  Risk levels in the fund were increased modestly from their previously muted levels as uncertainty around geopolitics and central bank policies eased.  However, the fund retains downside protection in place.

Several changes were made to allocations for March.  BlueCrest Capital International was reduced by 1.5% and BlueCrest Multi Strategy Credit by 2% with those monies allocated to BlueCrest Equity Strategies (+0.5%), BlueCrest Quantitative Equity (+1.5%) and BlueTrend (+1.5%).  As a result, systematic strategies rose to 35% of AllBlue.

"The buyback programme was generally quiet"

The share price has remained very stable relative to the net asset value during the month, with the discount drifting between 4.5% and 5%.  Natural demand was consistently seen at around a 5% discount and so the buyback programme was generally quiet in February.  The Company expects to release its annual financial statements around the middle of April.

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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