Monthly Performance Update

RNS Number : 6205P

BlueCrest AllBlue Fund Ltd

20 August 2014

 



FOR IMMEDIATE RELEASE

20 August 2014

BLUECREST ALLBLUE FUND LIMITED

MONTHLY PERFORMANCE REVIEW FOR JULY 2014

"Credit markets were the most active"

BlueCrest AllBlue Fund Limited (BCAB) rose by 0.4% in July bringing the year to date return to 4.9% (Sterling Class NAV).  The rolling 12 month return increased to 7.5% and volatility has remained low and stable at 2.4%.

With no particular lead coming from global central banks, markets in July were driven by swings in sentiment.  Overall, generally positive economic data, aside from Europe, reinforced expectations for higher interest rates and were overlaid by rising geopolitical risk, most particularly in the Ukraine and the Middle East.

The net result was that developed market equities were generally lower and bonds flat.  Emerging market sentiment was notably better than that for developed markets.  However, it was the credit markets that were the most active.  Credit spreads widened across the board but it was the high yield markets that felt the full force of the reversal of sentiment.   Driven by worries over Russia, the prospect of higher US rates and the Argentinian default, the thin summer markets struggled to digest a flight of retail money from US high yield and this forced yields higher by nearly 1%.

"BlueCrest Equity Strategies demonstrated its non-directional characteristics"

Once again, five of the seven underlying funds rose in July.  The returns in July came predominantly from BlueMatrix, BlueCrest Emerging Markets and BlueCrest Mercantile, although in many ways the modestly positive return of BlueCrest Multi Strategy Credit was the most commendable performance given the negative conditions in those markets.  Whilst the fund could not escape some losses from US high yield, it saw gains across many strategies with ABS, long/short and volatility trading producing the strongest returns.  Risk in the fund has been further reduced in the short term but opportunistic trading continues in the volatile markets.

Shifts in the credit markets also positively influenced BlueCrest Mercantile where the bond based CDS hedges widened more than the trade finance spreads, generating positive returns.  Hedging was particularly successful in Asia where the carry from the trade finance assets was fully captured.

The newly introduced BlueCrest Equity Strategies fund, which is structured to avoid being a "beta play" on equities, demonstrated its non-directional characteristics by posting a small gain even as equity markets struggled.  The event driven strategy generated positive returns from trading around corporate actions even as long/short trading proved more difficult.  The BlueCrest Equity Strategies performance complements the systematic approach of BlueMatrix which saw strong returns of over 1.5% during July.

No change was made by the AllBlue Allocation Committee to the allocations for August following some notable changes during the first six months of the year.

"Buybacks have been instituted in the Dollar Shares"

Buyback activity has been modest in the past month as the discount has been relatively stable at approximately 4%.  However, buybacks have been instituted in the Dollar Shares as well as Sterling Shares.  In so doing, the board wishes to reinforce the convergence between the currency classes that had been effected previously solely through the monthly conversion facility.

The company's interim financial statements will be published towards the end of August and will be available on the website or by email.  Please contact [e-mail] if you wish to be added to the mailing list.

PERIODIC PERFORMANCE AND OTHER INFORMATION

	GBP Share Class	EUR Share Class	USD Share Class
MTD NAV	0.38%	0.38%	0.37%
YTD NAV	4.88%	4.79%	4.75%
Rolling 12 m NAV	7.49%	7.38%	7.52%
Rolling 12 m Share price	2.32%	2.79%	2.11%
Since inception NAV	95.40%	88.35%	86.65%
Since inception NAV annualised	8.52%	8.04%	7.92%
Premium/discount	-3.52%	-2.85%	-4.17%
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.

JTC (Guernsey) Limited

Secretary

Tel: Guernsey 01481 702400

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E&OE - in transmission

 

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