Monthly Performance Review for September 2013

RNS Number : 8649Q

BlueCrest AllBlue Fund Ltd

18 October 2013

 



FOR IMMEDIATE RELEASE

18 October 2013

BLUECREST ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 2013

"All about US monetary policy"

BlueCrest AllBlue Fund Limited (BCAB) produced a modest positive return in September, leaving the return for the year to date at -1.0% and the rolling 12 month return at +0.5% (Sterling Class NAV).  Risk measures, such as annualised volatility at 3.6%, continue to be very stable.

After a quiet summer, the markets in September were all about US monetary policy.  Worries over "tapering" initially pushed yields on 10 year US Treasury bonds to 2 year highs of 3% but the subsequent announcement that the Fed would maintain their pace of asset purchases caught markets off guard and both equities and bonds rallied strongly.  Emerging markets, after months under pressure, were the greatest beneficiary.

"An improvement in opportunities"

During September, 5 of the 6 underlying funds produced positive performance, with only BlueTrend Alignment falling during the month.  The gains of the 5 funds were evenly spread and there was no stand-out performer. 

BlueTrend Alignment fell just under 1% during September but it was notable that the returns during the month reverted to more normal patterns.  The largest gains were seen from equities where the model remained long throughout the month.  Bonds and interest rates also generated positive performance with bond exposure moving from small short at the start of the month to small long by month end.  Risk levels continue to rebuild and are now close to historic averages.  BlueTrend finished the month with long exposure to most asset classes and shorts just in metals and crops.

BlueCrest Multi-Strategy Credit continued to build on recent gains with profits coming from convertible arbitrage, European credit volatility and US asset backed trading.  Macro positions detracted, particularly short positions in Asia.  The fund entered October modestly long, and with a tilt towards high yield versus investment grade credits.

Generally risk levels in the discretionary funds have been low over the summer, given the volatile and unpredictable backdrop, and most trading has been tactical in nature.  However, risk levels have now begun to rise modestly and most strategies are starting to see an improvement in opportunities, signalling a move towards more normal trading conditions.  BCAB has had a strong start to October, rising 0.8% in the first two weeks.

The AllBlue Allocation Committee further increased the exposure to BlueMatrix for October, by 1.5%, at the expense of BlueCrest Capital International given the good opportunities available for BlueMatrix.

"Active in buying back shares"

The Company has been active in buying back shares in recent weeks as the discount has hovered between 2.5% and 4%, repurchasing £6m in September.  This activity has continued into October and the discount remains modest and stable.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	0.02%	-0.01%	0.00%
YTD NAV	-0.98%	-1.04%	-0.94%
Rolling 12 m NAV	0.48%	0.13%	0.27%
Rolling 12 m Share price	4.18%	5.75%	5.02%
Since inception NAV	81.13%	74.64%	73.12%
Since inception NAV annualised	8.41%	7.87%	7.74%
Premium/discount	-3.22%	-0.69%	-1.31%
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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