Monthly Performance Review

RNS Number : 9502N

BlueCrest AllBlue Fund Ltd

21 May 2015

 



FOR IMMEDIATE RELEASE

21 May 2015

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR APRIL 2015

"Choppy markets made for challenging conditions"

Choppy markets and some sharp reversals made for challenging conditions in April.  BlueCrest AllBlue Fund Limited (BCAB) fell by 1.2% for the month which reduces the year to date return to 1.4% (Sterling Class NAV).  The rolling 12 month return was 6.0%.  Volatility rose modestly to around 2.5% but remains well within normal historical levels. 

A number of long established trends saw sharp reversals in April, with some of these accelerating into month end.  The US Dollar declined for the first time since the summer of 2014 and bond yields lurched higher, driven by German Bund yields.  Some of this reflected macro economic developments, such as generally better economic data in Europe and softer data in the US; some of this was a reflection of over-crowded trades and a scramble for the exits.

"Systematic strategies drove the negative return"

Five of the seven strategies produced positive returns in April, with a particularly strong performance by BlueCrest Capital International, up 2.8% for the month.  Both systematic strategies declined, however, which drove the overall negative return.

BlueCrest Capital International saw good gains across all regions.  Positioning in Europe, in particular, proved fruitful.  Both the sharp weakness in bonds and the general steepening of yield curves suited the fund in Europe but other regions also fared well, especially Asia, where shorts in Australian rates and longs in Japanese volatility both performed strongly.  Mortgage backed trading also performed well.  The intention is that this MBS strategy will be spun-out in the coming months into a standalone fund which initially will be held by BlueCrest Capital International.  However, overall MBS positioning and strategy won't change materially.

BlueCrest Quantitative Equity, by contrast, lost 5.8% in April after a strong run over several quarters.  The strategy experienced sharp reversals across many signals and factors, largely reflecting a reversal in macro inputs.  Momentum related signals, in particular, underperformed and although the fund does not include typical market price momentum signals, the fund nonetheless was exposed to sharp moves which triggered losses.  Certain idiosyncratic factors also played a part, such as certain stock exposures in China and unexpected M&A activity in Europe and the US.  Whilst disappointing, the drawdown in April is within normal model expectations.  Fund returns in May to date have started to recover as market conditions have stabilised.

BlueTrend also had a challenging time, mostly in the last week of April, as trends reversed.  Losses were seen primarily in foreign exchange and bonds with equities and crops the only strategies that generated profits.  Consideration is being given to AllBlue allocating to the 2x version of BlueTrend whilst retaining constant exposure to BlueTrend.  This would enable additional cash to be deployed into other funds to enhance returns at the AllBlue level.

A handful of small allocation changes were made for May with small increases in BlueCrest Capital International and BlueCrest Equity Strategies at the expense of Credit and Mercantile.

"The share price has been well supported"

The BCAB share price has been well supported relative to the NAV during April and there was only limited buyback activity as a result. 

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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