Monthly Performance Review

RNS Number : 7563K

BlueCrest AllBlue Fund Ltd

21 April 2015

 



FOR IMMEDIATE RELEASE

21 April 2015

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR MARCH 2015

"Strong returns despite quieter markets"

BlueCrest AllBlue Fund Limited (BCAB) rose by a further 1.0% in March which brings the year to date return to 2.6% (Sterling Class NAV).  The rolling 12 month return was 7.7%.  Once again, volatility remains low and stable at 1.8%. 

The month's strong returns came despite quieter market conditions.   Economic data surprised somewhat to the upside in Europe in contrast to the weaker, weather impacted data from the US.  However, inflation everywhere was soft.  Markets focused mostly on the continued activity of central banks, as the ECB implemented QE, rate cuts continued worldwide and the US FOMC omitted the little word "patient" from its guidance, causing choppy conditions in US asset markets and the dollar.

"Both equity funds produced strong gains, despite weaker equity markets"

Five of the seven strategies produced positive returns in March, with the detractors being BlueCrest Capital International and BlueCrest Emerging Markets, although they produced only small losses.  Once again, BlueCrest Multi Strategy Credit performed well and both equity funds produced strong gains, despite generally weaker equity markets across the globe. 

The allocation to BlueCrest Capital International has been progressively reduced for some time and was further reduced by 1.7% for April, bringing the allocation down to 10%, its lowest in AllBlue's history.  The fund lost 0.7% in March and conditions remain challenging for the strategy.  Good gains were made in North America, particularly in relative value and tactical trading, but were offset by reversals in Europe where curve steepening trades registered losses.  These trades are held with some conviction, however, as BlueCrest believe that 30 year rates are substantially disconnected from economic fundamentals.  Volatility trading was profitable once again in March as the breaking of the "zero bound" in European interest rates triggered good opportunities.

Both BlueCrest Equity Strategies Fund (up by 2.3% on the month) and BlueCrest Quantitative Equity (up by 1.2%) saw positive performance across all regions.  Equity Strategies performed particularly strongly across Europe and North America with long/short trading in Europe providing rich opportunities.  Quantitative Strategies also saw all the signal sets producing gains.  As always, net exposure was tightly bounded around zero and the fund entered April long the consumer discretionary and short the energy sectors.  The allocation committee increased exposure to BlueCrest Quantitative Equity by a further 0.5% for April, bringing the allocation to 26%, the largest current holding in AllBlue.

BlueTrend's allocation was also increased, by 1.2%, to 11%, with systematic strategies now representing approximately 37% of AllBlue.  Mercantile was reduced by 1% to 8%.

"An investor call will be held on 23rd April"

The shares in the Company have seen consistent buying at around the 5% discount level and so the buyback programme has been relatively quiet during the month. 

An investor call will be held on 23rd April which will be hosted by Mike Platt, CIO of BlueCrest Capital Management, and Simon Dannatt, member of the AllBlue Allocation Committee.  This is open to eligible investors only and details can be found in the Company's announcement of 17th April.

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.

JTC (Guernsey) Limited

Secretary

Tel: Guernsey 01481 702400

END OF ANNOUNCEMENT

E&OE - in transmission

 

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