HTCF.L Regulatory News (HTCF)

FOR IMMEDIATE RELEASE

20 July 2015

FACTSHEET - JUNE 2015

"Political events created a volatile market environment"

June saw volatile market conditions, prompted by political and economic uncertainty, particularly in Europe and Asia. BlueCrest AllBlue Fund Limited (BCAB) fell by 1.2% for the month which reduces the year to date return to 0.8% (Sterling Class NAV). The rolling 12 month return was 3.2%. Volatility rose modestly to around 2.8% but remains well within normal historical levels.

A number of markets initially declined in June and a brief recovery was then followed by further weakness at the end of the month. Equity markets were broadly lower and credit spreads wider, as government bond yields moved another step higher. Uncertainty was fuelled by the twists and turns of Greece's protracted negotiations with creditors as well as dramatic volatility in China's equity markets.

"Further changes introduced to benefit AllBlue"

In June, BlueCrest Quantitative Equity and BlueCrest Mercantile made positive contributions to AllBlue. Other underlying funds detracted from performance however, led by BlueTrend.

BlueCrest Quantitative Equity provided a positive contribution as two out of the three regional portfolios produced gains over the month. The majority of returns were generated in Europe, with a smaller contribution from North America; the Asia Pacific & EM portfolio unfortunately detracted from gains. Each of the signal families made a modest positive contribution, with more traditional signals working well in Europe and North America. In Asia Pacific & EM, the fund's more proprietary signals detracted.

BlueTrend had a very challenging month, with losses spread across most sectors in choppy market conditions where few trends persisted. Losses were led by the Equities sector followed by the Bonds, FX and Crops sectors. Within the Equities sector BlueTrend reduced its net long exposure and then turned short by month end. A long bias was maintained to the USD within the FX sector, although exposure was significantly reduced during the period. Having held a short bias in Crops for most of the year, the strategy switched to a small net long bias by the end of June. Exposure in Energies and Metals remained net short overall.

This month saw further changes implemented within AllBlue, following the reduction in Mercantile's management fee mentioned last month. AllBlue is now allocating to the BlueTrend 2x Leveraged underlying fund to access the BlueTrend strategy. This change allows for greater cash efficiency and results in extra "buying power" that is reflected in the allocation changes made for July - with increases made to four underlying strategies while BlueCrest Multi Strategy Credit and BlueCrest Quantitative Equity were reduced. A further change saw AllBlue change the share class used to access BlueCrest Capital International to a new class with a 1% management fee plus 25% performance fee from the previous 2% and 20% respectively.

"The share price has been well supported"

The BCAB share price has been well supported relative to the NAV during June and there was only limited buyback activity as a result.

The board made an announcement in mid-July regarding succession planning which can be found on the Company's website, www.bluecrestallblue.com.

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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