Monthly Performance Review for August 2013

RNS Number : 3487O

BlueCrest AllBlue Fund Ltd

18 September 2013

 



FOR IMMEDIATE RELEASE

18 September 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR AUGUST 2013

"Very quiet trading conditions"

BlueCrest AllBlue Fund Limited (BCAB) fell modestly in August, by 0.4%, leaving the return for the year to date at -1.0% and the rolling 12 month return at +1.1% (Sterling Class NAV).  Annualised volatility, at 3.6%, continues to be stable around the middle of its historical range.

Very quiet trading conditions exaggerated swings in sentiment during August.  With most of the markets apparently on holiday, volumes were very low and markets were buffeted by alternate enthusiasm over economic data and concern over the possibility of Fed "tapering".  Geopolitical worries also resurfaced as tensions in Syria rose.  The net impact was that both bonds and equities were soft during August with emerging markets once again bearing the brunt of selling.

"BlueCrest Mercantile was the strongest performer"

Against this backdrop, 3 of the 6 underlying funds produced positive performance, being BlueCrest Mercantile, BlueCrest Capital International and BlueCrest Emerging Markets, the latter again performing well despite treacherous trading conditions in emerging market debt and currencies.  BlueTrend, BlueCrest Multi-Strategy Credit both fell marginally but BlueMatrix was the largest detractor contributing -0.45% to AllBlue's performance for the month.

BlueMatrix remains well in positive territory for the year to date but gave back some of its recent strong gains.  No one factor lay behind the loss: for example, stock specific events caused losses in Europe but contributed gains in North America.  However, the thin trading conditions were the common theme across all signal sets.  The model behaved as expected and within normal parameters, remaining with a net position close to zero in aggregate and regionally.  Coming into September the fund held a gross position of 490% and a bias towards long consumer cyclicals and short basic materials.

BlueCrest Mercantile was the strongest performer in August, rising by 1.4%.  The fund takes long positions in trade and commodity finance assets and partially hedges them using other credit instruments such as CDS.  The gains for August came from the "basis" between these instruments, as trade finance assets were much more resilient than other credit markets as spreads widened.

The AllBlue allocation committee made only modest changes for September, with a small increase in BlueMatrix at the expense of BlueCrest Capital International and BlueCrest Multi-Strategy Credit.  The overall portfolio remains very balanced.

Looking forward, there remains plenty of event-risk in markets, whether Fed actions, German elections or Middle Eastern tensions.  As a result, risk taking across the funds remains generally low.

"Recommenced share buybacks"

During August, the BCAB share price began to drift to a modest discount to the NAV, finishing August at a discount of 2.9% (Sterling shares).  The board is alert to the impact of this additional volatility on shareholders and recommenced share buybacks.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	-0.38%	-0.42%	-0.26%
YTD NAV	-1.00%	-1.02%	-0.93%
Rolling 12 m NAV	1.13%	0.74%	0.88%
Rolling 12 m Share price	3.92%	6.94%	6.92%
Since inception NAV	81.09%	74.67%	73.14%
Since inception NAV annualised	8.51%	7.97%	7.84%
Premium/discount	-2.90%	0.02%	0.17%
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.

Anson Fund Managers Limited

Secretary

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT

E&OE - in transmission

 

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