HTCF.L Regulatory News (HTCF)

FOR IMMEDIATE RELEASE

17 November 2015

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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