Home Economics BlueCrest: A Strong Performance In All Six Funds In February

BlueCrest: A Strong Performance In All Six Funds In February

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BlueCrest AllBlueFd

RNS Number : 9157C

BlueCrest AllBlue Fund Ltd

21 March 2014


21 March 2014



“A strong performance in February”

BlueCrest AllBlue Fund Limited (LON:BABS) generated a strong performance in February, rising by 1.5%, bringing the return for the year to date to 1.3% (Sterling Class NAV). The rolling 12 month return is 2.1% and risk, measured by annualised volatility, was stable.

Risk assets generally saw a strong recovery in February after the turbulence of January, with broad equity and commodity markets up between 3% and 5%.  Investors became a little more discerning in areas such as emerging markets after the indiscriminate selling of previous months.  Economic data across the globe were generally disappointing and below expectations.  However, bad weather in the US meant that the picture was muddied.  As a result, bonds were largely flat for the month.

“All 6 underlying strategies were positive”

All 6 of the underlying strategies were positive in February, with the strongest gains from the two systematic funds and BlueCrest Multi-Strategy Credit, which was up 3.0% in February.  Credit spreads tightened during the month, particularly in high yield, but the fund had only a modest long bias and gains were almost entirely driven by successful tactical trading.  Profits came largely from trading in single name credits rather than indices.  Aggregate positioning into March remained neutral but opportunities in single names continue to look attractive, particularly in the financial sector where restructuring and new issuance offer good potential.  The exposure to BlueCrest Multi-Strategy Credit was increased by a further 1.5% for March, to 23.7% of AllBlue.

The allocation to BlueCrest Capital International was also increased by 1.5% bringing the allocation to just under 21%.  Although rates markets were quite quiet in February, all regions and all strategies were, in aggregate, positive for the month and the fund generated a return of 0.4%.  Europe was the most profitable region as changes in sentiment around UK and Scandinavian rates offered fruitful trading conditions.  Even though trading remains tactical and fluid, opportunities are improving once again as dispersion between markets is now increasing.  In Europe, although the ECB is on hold for now, economic data are expected to continue to disappoint with the ECB’s hand being forced eventually into either rate cuts or QE.

The allocations to both Blue Trend and Emerging Markets were reduced for March.  However, the overall exposure to systematic strategies remains constant at around 30% of AllBlue as BlueMatrix received a further 2% allocation.  BlueTrend had a strong month, up 2.7%, with gains being driven by the long bias to equities and a standout performance from a long position in soyabeans.  Risk levels continue to build within BlueTrend, albeit within normal historical ranges, and the fund entered March with meaningful VaR exposures to equities, fixed interest and energy, all with a long bias.

“Trading in BCAB shares was steady”

Trading in BCAB shares was steady in February with good two-way trade tracking the NAV higher.  There was modest buyback activity and the discount remained generally stable in a range of 4-5%.

Following shareholder approval of certain resolutions, BCAB has been advised that it would be capable of qualifying as an investment trust if it were resident in the UK.  Accordingly, the Board believes that the FCA’s “NMPI” rules do not affect the retail distribution of BCAB shares.


GBP Share Class EUR Share Class USD Share Class
MTD NAV 1.48% 1.55% 1.54%
YTD NAV 1.27% 1.29% 1.29%
Rolling 12 m NAV 2.08% 2.12% 2.22%
Rolling 12 m Share price 1.15% 0.15% -0.23%
Since inception NAV 88.67% 82.07% 80.48%
Since inception NAV annualised 8.51% 8.01% 7.89%
Premium/discount -4.89% -6.54% -6.41%
Bloomberg ticker BABS LN BABE LN BABU LN


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 Fund Managers (Guernsey) Limited


Tel: Guernsey 01481 702400


E&OE – in transmission

Via Interactive Investor

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