Monthly Performance Review for October 2013

RNS Number : 1942T

BlueCrest AllBlue Fund Ltd

15 November 2013

 



FOR IMMEDIATE RELEASE

15 November 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR OCTOBER 2013

"A return to strong gains"

BlueCrest AllBlue Fund Limited (BCAB) saw a return to strong gains in October, rising by over 2.0% for the month, bringing the return for the year to date to +1.0% and the rolling 12 month return to +2.7% (Sterling Class NAV).  Risk, measured by annualised volatility, crept higher to 4.0% but continues to remain well within historic norms.

Markets were dominated during October by US political brinkmanship over the deficit and the debt ceiling.  Following the partial government shutdown, the eventual, 11th hour solution saw equity markets rally strongly towards the end of the month, assisted by better corporate earnings, good US economic data and hopes of continued stimulus from the Federal Reserve.  Poorer economic data in Europe did little to dim enthusiasm for European equities.  Bonds also had a positive month but commodities were generally soft.

"Systematic strategies drove the gains"

All 6 funds generated gains in October but it was the systematic strategies that drove returns.  BlueMatrix, in particular, was the standout performer, rising by 5.5%.  Rising volumes in equity markets and the increased dispersion of returns from stocks suited the model, with all regions and most signal types producing positive returns.  As usual, the fund was neutral to equity markets by region and in aggregate but the gross exposure rose modestly to end the month at just over 500%.  Entering November the fund is tilted long of consumer cyclicals and short basic materials.

BlueTrend Alignment rose by 3.7% during the month.  There was a mixed performance across sectors but overall the fund produced a very solid result.  Gains were seen in equities, short term interest rates and bonds, with commodities and currencies detracting.  Equity markets were the largest driver of returns and the model maintained its long bias throughout the month and into November.  Bond exposure was also net long and grew during the month, although returns from the bond markets were far from uniform.  Coming into November the fund had its greatest exposure to long positions in equities and bonds.  The only sector with a net short bias was the agricultural commodities. 

These two systematic funds accounted for 1.4% of the gains from AllBlue during the month.

Of the discretionary strategies, BlueCrest Multi-Strategy Credit produced the strongest performance but the return to form of BlueCrest Capital International was the most encouraging.  The fund has found conditions challenging in 2013 but macro views were rewarded in October, particularly the directional positions anticipating European rates to stay lower for longer, and tactical trading in yield curves and volatility also helped gains.

The AllBlue Allocation Committee reduced BlueTrend by 2.5% to 15% for November with the majority of this allocated to BlueCrest Capital International.

"The board is cognisant of the impact of discount volatility"

The discount in BCAB's share price to the NAV began to widen further during October, drifting out towards 5%.  The board is cognisant of the impact of discount volatility on shareholders and responded with sustained buying of shares, purchasing around £11.5m during the month.  Subsequently the discount has narrowed, to around 4% at the date of writing.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	2.04%	2.13%	2.13%
YTD NAV	1.03%	1.05%	1.16%
Rolling 12 m NAV	2.72%	2.52%	2.64%
Rolling 12 m Share price	2.76%	3.88%	3.54%
Since inception NAV	84.79%	78.34%	76.79%
Since inception NAV annualised	8.60%	8.08%	7.95%
Premium/discount	-5.92%	-4.51%	-5.34%
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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