Replacement - Performance Update

RNS Number : 8636U

BlueCrest AllBlue Fund Ltd

21 October 2014

 



BLUECREST ALLBLUE FUND LIMITED

CORRECTION TO MONTHLY PERFORMANCE REVIEW ANNOUNCEMMENT

This announcement replaces that released on 21 October 2014 at 07.00am under RNS Number 7999U.

There are two changes to the previous announcement:

1.   The percentage increase of the rolling return rose to 9.0% not 10.1% as previously stated.

2.   The wording in the paragraph "BlueCrest announced the spin-off of the systematic business" is corrected to read "BlueCrest recently announced the spin-off of the management of the systematic business into a new investment manager, Systematica Investments, from the beginning of 2015, subject to regulatory approvals.  Systematica will be led by Leda Braga, Head of Systematic Trading at BlueCrest.  For AllBlue, this will impact only BlueTrend as BlueCrest will continue to manage AllBlue's exposure to quantitative equity trading under the continuing leadership of Frank Fehle.  BlueCrest have stated that close ties will continue between the two managers and AllBlue will continue to allocate to BlueTrend.  The board of BCAB have held detailed discussions with BlueCrest about possible implications of the changes and are satisfied that the proposed changes will have little impact on AllBlue".

All other details remain unchanged. The full corrected announcement is as follows:

BLUECREST ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 2014

"The rolling 12 month return rose to 9.0 %"

BlueCrest AllBlue Fund Limited (BCAB) rose by 0.2% in September bringing the year to date return to 6.0% (Sterling Class NAV).  The rolling 12 month return rose to 9.0% in September.  Volatility remained low and stable at 2.2%.

Emphasising the disparity in central bank policies, economic data were divergent by region in September.  US GDP rose to 4.6% annualised whilst investors fretted over weakening Eurozone economic trends and further softness in Asian economies.  The ECB cut rates deeper into negative territory and announced various liquidity measures as speculation grew over the timing of US and UK rate rises.  Perversely, markets followed central banks' policy rather than economic trends.  Thus European and Japanese equities were positive as the S&P fell on the month.  Credit spreads also widened but with Europe again performing better than the US.  Emerging markets and commodities fell heavily as worries over US rates and global growth impacted negatively. 

"BlueMatrix successfully navigated the difficult equity market conditions"

Four of the seven strategies were positive in September. BlueMatrix was the strongest performing fund with BlueCrest Multi Strategy Credit and BlueTrend the largest detractors.

BlueMatrix, one of AllBlue's largest allocations, successfully navigated the occasionally difficult equity market conditions. All regions produced positive performance and all signal sets were positive aside from traditional signals in North America. The fund entered October with its largest long position being to IT and the largest short to industrials. BlueCrest Equity Strategies also produced a positive return of 0.8% for the month despite equity markets being generally lower. Its event driven strategy performed strongly on both deal activity and technical positioning around the quarter end.

The fall in BlueTrend was driven primarily by bonds and equities, both of which entered September with a long bias. Those long positions were trimmed during the month but not quickly enough to avoid losses. By contrast, all three commodity sectors generated strong returns as crops, metals and energies saw sharp price falls. The model entered October with shorts to crops and metals maintained. Risk levels in general were reduced during September with the month end VaR down to 1.2%.

The AllBlue Allocation Committee increased to exposure to BlueCrest Equity Strategies for October by 1.5% to 10% with the reduction coming from BlueCrest Emerging Markets which has been reduced to 10.5%.

"BlueCrest announced the spin-off of the systematic business" 

BlueCrest recently announced the spin-off of the management of the systematic business into a new investment manager, Systematica Investments, from the beginning of 2015, subject to regulatory approvals.  Systematica will be led by Leda Braga, Head of Systematic Trading at BlueCrest.  For AllBlue, this will impact only BlueTrend as BlueCrest will continue to manage AllBlue's exposure to quantitative equity trading under the continuing leadership of Frank Fehle.  BlueCrest have stated that close ties will continue between the two managers and AllBlue will continue to allocate to BlueTrend.  The board of BCAB have held detailed discussions with BlueCrest about possible implications of the changes and are satisfied that the proposed changes will have little impact on AllBlue.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	0.20%	0.16%	0.16%
YTD NAV	6.00%	5.80%	5.82%
Rolling 12 m NAV	9.04%	8.90%	8.94%
Rolling 12 m Share price	8.43%	6.91%	5.90%
Since inception NAV	97.48%	90.16%	88.56%
Since inception NAV annualised	8.48%	7.99%	7.88%
Premium/discount	-3.79%	-2.55%	-4.19%
ISIN	GB00B13YVW48	GB00B13YXC81	GB00B13YXH37
Bloomberg ticker	BABS LN	BABE 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.

For further information about this announcement contact:

JTC (Guernsey) Limited Secretary

Tel: [phone]

E&OE - in transmission

 

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