Monthly Performance Review for June 2013

RNS Number : 7219J

BlueCrest AllBlue Fund Ltd

19 July 2013

 



FOR IMMEDIATE RELEASE

19 July 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR JUNE 2013

"Trading conditions remained challenging"

Trading conditions remained challenging in June, leading to a fall in BlueCrest AllBlue Fund Limited (BCAB) of 2.2% for the month, tipping the return for the year to date fractionally into negative territory.  On a rolling 12 month basis the return is +3.8% (Sterling Class NAV).  Volatility rose slightly but is still only around the middle of its historical range.

The market rout that started in May continued and deepened in June, with bond yields rising sharply as investors speculated about the end of the era of excess liquidity.  By the end of the month some stability had been restored as Fed officials sought to calm frayed nerves but this was not before significant deleveraging and forced selling had been seen across global bond and equity markets.  The previous beneficiaries of cheap liquidity, such as emerging markets, suffered most.

"BlueTrend's return is in line with the strategy and the volatility target"

Against this backdrop, BlueCrest Mercantile and BlueMatrix both produced positive performance, with the other four underlying funds detracting from returns.  BlueMatrix generated gains in all regions and its allocation has been increased to 10% of AllBlue.  BlueCrest Multi Strategy Credit and BlueCrest Emerging Markets recorded only modest losses which was a resilient performance given that credit and emerging markets bore the brunt of the force of deleveraging.

The largest loss in June was recorded by BlueTrend Alignment.  The correlated reversals that took place in almost all markets meant that losses were incurred in all sectors aside from metals.  The issue for BlueTrend was not so much the reversal of markets but the unprecedented speed and magnitude of market moves which allowed insufficient time for the model to reposition.  Nonetheless, whilst the return in disappointing it is entirely in line with BlueCrest's expectations for the strategy and the volatility target of 15-20%.  By month end the model had reduced risk materially with most risk measures close to historic lows.

BlueCrest Capital International also fell in June as vast selling pressure in the bond markets made for treacherous conditions in curve trading and directional strategies.  The portfolio incurred a pattern of numerous small losses which, in aggregate, detracted.  Gains were made in long volatility positions in £ and € rates, albeit modest in size as the positions are designed to accumulate profits over longer time horizons.  The near term trading strategy is to be nimble - there are compelling risk-reward opportunities but BlueCrest are mindful of the continuing risk of forced liquidations by others.

"BCAB's share price has been very stable relative to NAV"

AllBlue's allocations to BlueMatrix and BlueCrest Mercantile were increased on 1st July at the expense of BlueCrest Capital International and the portfolio is now very balanced between strategies.  Trading conditions have normalised into July and BCAB's performance has been flat in the first part of the month.

BCAB's share price has been very stable relative to NAV and only modest buyback activity took place during June.  The Sterling shares currently trade at a 1% discount to NAV.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	-2.22%	-2.15%	-2.14%
YTD NAV	-0.58%	-0.54%	-0.50%
Rolling 12 m NAV	3.81%	3.38%	3.47%
Rolling 12 m Share price	4.53%	8.24%	8.38%
Since inception NAV	81.86%	75.53%	73.90%
Since inception NAV annualised	8.79%	8.24%	8.10%
Premium/discount	-3.03%	1.12%	1.47%
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

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E&OE - in transmission

 

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