Monthly Performance Review for July 2013

RNS Number : 3210M

BlueCrest AllBlue Fund Ltd

22 August 2013

 



FOR IMMEDIATE RELEASE

22 August 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JULY 2013

"Returning calm"

BlueCrest AllBlue Fund Limited (BCAB) produced a marginally positive performance in July, leaving the return for the year to date at -0.6% and the rolling 12 month return to +1.8% (Sterling Class NAV).  Volatility remains around the middle of its historical range and fell a fraction on the month.

July saw the return of some calm to financial markets after the dislocations seen in May and June.  However, the driving force remained central bank policy.  Even as data from developed economies continued to improve, the markets' focus was on the soothing words from the Federal Reserve.  Similarly, the European Central Bank was keen to suggest that interest rates will remain "lower for longer" and the change at the helm of the Bank of England was eagerly awaited.

The improving sentiment led to strong rallies from equities and some other risky assets, although bonds and commodities were more mixed.  Emerging markets recovered somewhat but their economic data were patchy and many emerging currencies remained under pressure.

"The allocation to BlueMatrix has been further increased"

Four of the six underlying funds produced positive performance during July, with just BlueTrend Alignment and BlueCrest Multi-Strategy Credit seeing small losses. 

The strongest return came from BlueCrest Emerging Markets and this success came almost entirely from opportunistic trading whilst maintaining an overall defensive bias.  BlueMatrix, the systematic equity market neutral fund, also continued to perform well and saw gains across most regions and signal sets.  With the strategy performing well against the market backdrop, the allocation to BlueMatrix has been further increased by the AllBlue allocation committee for August, bringing its allocation up to 11.5%.  The net position of BlueMatrix remains tightly around zero and its gross position has been relatively stable at around 440% to 450%.  At the end of July its main bias was long financials and short basic materials.

BlueTrend Alignment saw a mixed performance across different sectors.  Equities and energy were both positive and, as the month progressed, the long bias to the equity markets increased.  After the dramatic de-risking of the last few months the model again began to rebuild risk towards more normal levels as market volatility subsided but exposure to fixed income and interest rates remained low at month end.  The AllBlue Committee intends to change, at the next opportunity, the route through which it accesses the BlueTrend strategy from currently allocating via BlueTrend Alignment to allocating via the main BlueTrend fund direct.

"The share price has remained very stable and close to NAV"

August performance has started with a small positive bias and BCAB's share price has remained very stable and close to the Net Asset Value.  For most of July it stood at a small premium, in stark contrast to the broad hedge fund sector, and there was no buyback or issuance activity during the month.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	0.02%	-0.02%	-0.12%
YTD NAV	-0.61%	-0.60%	-0.66%
Rolling 12 m NAV	1.83%	1.43%	1.43%
Rolling 12 m Share price	9.91%	9.57%	9.73%
Since inception NAV	81.80%	75.42%	73.62%
Since inception NAV annualised	8.67%	8.13%	7.97%
Premium/discount	1.44%	1.54%	1.06%
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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