Inv Obj & Perf Update

Close AllBlue Fund Limited
02 August 2007



FOR IMMEDIATE RELEASE

2 August 2007

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR JUNE 2007

INVESTMENT OBJECTIVE

Close AllBlue Fund Limited (the 'Company') is a Guernsey incorporated,
closed-ended investment company.  The investment objective of the Company is to
provide its Sterling, US Dollar and Euro shareholders with consistent long-term
capital growth through an investment policy of investing substantially all of
each share class' assets in the Sterling, US Dollar and Euro shares in AllBlue
Limited respectively.

AllBlue Limited provides access to a portfolio of seven diversified strategies
managed by BlueCrest Capital Management L.P. and managers with close links to
BlueCrest.  These include the BlueCrest flagship fund with a mixed arbitrage
strategy (BlueCrest Capital International Limited), an equity long/short fund
(BlueCrest Equity Fund Limited), an emerging markets macro strategy fund
(BlueCrest Emerging Markets Fund Limited) and a systematic trading process fund
(BlueTrend Fund Limited).


The net asset values ('NAV') of the Company's Shares as at the close of business
on 29 June 2007 were:-

                                  Total Return       Last         Since
                    NAV           Last Month         Quarter      Launch**
Sterling Shares     £1.0839       0.56%              0.64%         10.60%
US Dollar Shares    $1.0862       0.53%              0.65%         10.81%
Euro Shares         EUR 1.0644    0.42%              0.25%         8.60%


*The figures are based on the estimated NAV at the month end.


**Based on opening NAV, being the Issue Price less Formation and Initial
Expenses, of £0.9802 per Sterling Share, $0.9802 per US Dollar Share and EUR
0.9802 per Euro Share.


PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF JUNE 2007


The following portfolio performance report for AllBlue Limited has been provided
to the Company by BlueCrest Capital Management Limited.  Whilst the Company
believes that the information has been received from a reliable source, the
Company is not able to verify the information and accepts no responsibility for
the accuracy of the comments made or figures given in the report, and neither
should any responsibility be implied.


REPORT BY BLUECREST ON ALLBLUE LIMITED

Investments in:      % of Capital    By Sector    % Return    Weighted Return
Mixed Arb                 24%          48%       0.12%              0.03%
Systematic                22%          86%       3.02%              0.65%
Equity                    19%          42%       -1.77%            -0.35%
Low Beta                   1%          93%       2.58%              0.03%
Emerging Markets          22%          25%       0.85%              0.18%
Credit Arb                 8%          42%       1.01%              0.08%
WestHarbor                 4%           0%       -0.39%            -0.02%
Total                    100%                                       0.61%



AllBlue returns were up by an estimated +0.61% in June. While most strategies
remained flat, Systematic and Equity stood out in their polar performance
differences. Systematic remained the driving force behind returns  (+3.02%),
while Equity eroded performance gains  (-1.77%).


Mixed Arbitrage returns were 0.12%, with Equity Derivatives continuing to be the
main impetus. RV, FX and Trade Finance were also up, but most gains were
dissipated by Equity and Rates. Equity Derivatives, the strongest performer
within the strategy this month,  provided positive returns from gains in long
credit options in Europe, various index out-performance structures, dispersion
structures and pure equity long vol (single name). Within RV, losses in the
core, mean-reverting, traditional relative value side of the business were
offset by strong gains in volatility positioning (within the relative value
group). There is intended to be a natural diversification between these two core
areas of the relative value group, and this worked extremely well in what would
otherwise have been a tough June. Within Rates, gains on long-vega positions
were offset by losses on USD curve trades taken through long premium positions.


Continuing an outperformance run from the last three months, Systematic was up
3.02%, taking the YTD to 14.56%. The main contributions came from FX, with most
currencies providing good strong returns for the model. Fuelled by oil, Energies
reversed their downward slope from last month to provide a good return in June.
Bonds were up and Equities were flat. Interest Rates, the main contributor for
May, were slightly down, as were metals.


Despite June being choppy (as per 2006), Emerging Markets had a good month at
0.85%. Investors were caught between sub-prime fears and the seemingly ongoing
positive growth story for most Emerging Market Economies. Once again, Brazilian
Equities provided good returns, particularly our utilities and property stocks.
On the local markets side, we saw a strong performance from our Eastern European
Rates portfolios where we held long positions in Hungarian bonds (net flat on
the month) vs short positions in Poland (wider by 38bps) and  Czech Republic
(wider by 48bps) via derivatives. Overall, it appears the summer markets are
upon us; therefore, recent thin and volatile trading conditions are likely to
continue.


During a month in which global developed market indices fell from record highs,
the Equity Fund was down 1.77%.  Long positions fell 3.3% and the short book
contributed 1.6%. Chemicals and technology outperformed, while the Industrial
Goods and Finance sectors dampened performance. The portfolio underwent a
restructure during the month and, as a result, gross and beta adjusted exposure
were reduced. The benefits of the restructure will be discussed in detail in the
forthcoming Equity Fund monthly letter.


WestHarbor was down for the second time this year at -0.41%. The fund had a
mixed month, in which several long-standing positions faired very well, but one
strong position declined due to a bidding war and others were affected by
interest rate exposures. The portfolio remains market neutral, although gross
gearing, having declined last month, has risen again (but still remains below
the levels earlier this year).


Credit Arbitrage posted a return of 1.33%, performance being driven mainly by
Index Arbitrage (approximately half), followed by Correlation and 'Other'.
Inter-Credit and Equities were also up and Intra-Credit was roughly flat.


Disclaimer:

This publication is issued by Close AllBlue Fund Limited (the 'Company') for
informational purposes exclusively to and for the benefit only of shareholders
in the Company and to no one else; and accordingly the Company accepts no
responsibility for the use any third party might make of the information herein
contained and neither is any responsibility implied.


Information on AllBlue Limited and its underlying funds have been provided to
the Company by BlueCrest Capital Management Limited and the Company is not
responsible for, nor does it warrant, the accuracy of such information.
Although BlueCrest Capital Management Limited believes that the information on
AllBlue Limited and its underlying funds is materially correct, no warranty is
given as to the accuracy of the information provided.


This publication may not be relied upon in evaluating the merits of investing in
any securities referred to herein.  Neither is it intended as and is not to be
taken as an offer or solicitation with respect to the purchase or sale of any
security, nor does it constitute an offer or solicitation in any jurisdiction,
including those in which such an offer or solicitation is not authorised or to
any person to whom it is unlawful to make such a solicitation or offer.


Where in this document an estimate of the Net Asset Value of a share in the
Company is given, although the information is believed to be materially correct,
no warranty is given as to the accuracy of the information provided.


The Company's underlying investment programme is speculative in nature and
entails substantial risks.  The underlying investments may be subject to sudden
and large falls in price or value and there could be a large loss upon
realisation which could equal the total amount originally invested.


Further information about Shares in Close AllBlue Fund Limited may be found on
the Company's website at www.closeallbluefund.com.


For further Company shareholder information about investing in the Company
contact:  Richard Killingbeck or Roland Kitson of Close Investments Limited,
Tel: London 020 7426 4000.

Neither this press release nor any part of it may be released, mailed,
transmitted, copied, distributed, taken or otherwise sent in or into the United
States of America, Canada, Australia or Japan.  Any failure to comply with these
restrictions may constitute a violation of United States of America, Canada,
Australia or Japanese Securities laws.


Anson Fund Managers Limited

Company Secretary.

Tel: Guernsey 01481 722260

END OF ANNOUNCEMENT



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