FOR IMMEDIATE RELEASE
17 November 2015
BLUECREST ALLBLUE FUND LIMITED
FACTSHEET - OCTOBER 2015
"BlueCrest AllBlue delivered
continued solid performance"
BlueCrest AllBlue Fund Limited
(BCAB) delivered continued solid performance of 0.4% in October,
bringing the gain for the year to date to 3.2% (Sterling Class
NAV). The rolling 12 month return rose to 4.6% and
volatility, at 3.1%, remained stable around historic
norms.
Investor sentiment improved notably
as October progressed and by month end, equity markets had produced
strong gains, credit spreads had tightened and commodities had
stabilised. However, markets seemed driven more by better
sentiment than hard data as economic data were generally mixed and
there were no changes to central bank policy, although the ECB
hinted at an expansion of quantitative easing.
"Three of the seven strategies were
positive"
Three of the seven strategies were
positive in October, with the strongest performance coming from
BlueCrest Quantitative Equity, up 1.8% for the month.
BlueCrest Emerging Markets, BlueCrest Mercantile and BlueCrest
Equity Strategies all posted small losses.
In October, BlueCrest Quantitative
Equity produced strong returns as gains were seen across all
regions, although Europe accounted for the majority of
performance. Proprietary signals outperformed, with the
European alpha capture signal being a strong contributor. As
usual, net exposure remained tightly controlled around zero both
overall and at a regional level.
BlueCrest Capital International also
had another good month as opportunities in the fixed interest
markets remain fruitful. Gains were derived principally from
European trading and in cross market strategies, as divergent
regional monetary policies continue to offer good trading
opportunities. European trading benefitted from a long bias
to European rates, positioning in dollar/euro and also from
European curve steepeners. In North America, US relative
value trading and Canadian curve flattening trades were also
profitable, although mortgage trading detracted.
The principle detractor was
BlueTrend 2x which fell by 3.8% in the month. Clearly the
magnitude of BlueTrend 2x's performance is much larger than the
prior unleveraged allocation, with the position size halved
accordingly. Therefore, the impact at the AllBlue level is
not magnified. BlueTrend saw six of its seven strategies
produce negative returns with only the net short position in energy
being positive. The model had to contend with sharp reversals
early in the month and in some strategies such as equities,
switched orientation accordingly. VaR levels
finished October down slightly, although exposure to agriculture
and energy increased.
No changes were made to allocations
between the seven funds for November.
"It is likely that a continuation
vote will be triggered"
The Company's discount remained
stable during the month at a little over 5%, with the Company
buying shares periodically. That said, the Company has
outperformed its listed peer group, which are generally trading on
wider discounts. It is likely that a continuation vote will
be triggered in the near term in the Sterling shares and the Board
will communicate with shareholders in the event that this
occurs.
In January 2015, BlueCrest spun out
the management of part of its systematic business into Systematica
Investments, in which BlueCrest retained a stake. BlueCrest
recently disposed of the majority of that holding; this does not
impact the ability of AllBlue to invest into BlueTrend nor the
AllBlue committee's access to information necessary to make its
allocation decisions.
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
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