BlueCrest AllBlue falls 0.1% in Aug on back of China turmoil

22nd Sep 2015 08:10

(ShareCast News) - The slump in Chinese equity markets saw investment fund BlueCrest AllBlue fall 0.1% in August in "extremely challenging conditions", the company said.BlueCrest said this brought the year-to-date return to 2.6% and the rolling 12 month return to 3.7%. Risk measures were stable with volatility of 3.1% being around historical averages.The company said equity markets were particularly volatile in August, led by Chinese stocks. Global equities finished the month down around 7%. It was active in buying back shares during August as one or two more persistent sellers pushed the discount out beyond 5%."Other asset classes such as bonds and commodities were also impacted and there was notable currency volatility, again triggered by China as the RMB was devalued," BlueCrest."Five of the seven underlying strategies generated positive performance, with only BlueCrest Multi Strategy Credit and BlueCrest Quantitative Equity detracting," it added.BlueCrest Capital International once again produced solid gains across all regions. Directional trading strategies were the main driver of returns for August with profits locked in as markets gyrated."Long positioning in sterling and dollar rates was fruitful with mortgages and relative value trading providing good tactical trading opportunities," Bluecrest said."Despite market conditions, volatility trading was flat for the month as longer term implied volatility remained stable. The AllBlue Allocation Committee decided to further increase the allocation to BlueCrest Capital International by 3% for September to 22%, the largest allocation in AllBlue, given the growing opportunities in developed market fixed income."BlueCrest Multi Strategy Credit lost 0.1% on the month against a backdrop of weak credit markets, volatility and lower liquidity.