Monthly Performance Review

Close AllBlue Fund Limited
30 October 2006

FOR IMMEDIATE RELEASE

30 October 2006

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR SEPTEMBER 2006

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 Friday 29 September 2006 were:-

                                    Total Return         Last         Since
                      NAV           Last Month           Quarter      Launch**
Sterling Shares       £0.9634       -0.45%               N/A          -1.71%
US Dollar Shares      $0.9654       -0.41%               N/A          -1.51%
Euro Shares           €0.9577       -0.60%               N/A          -2.30%


**Based on opening NAV, being the Issue Price less Formation and Initial
Expenses, of £0.98025 per Sterling Share, $0.98025 per US Dollar Share and
€0.98025 per Euro Share.


PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF SEPTEMBER 2006

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

SEPTEMBER 2006 REVIEW FOR ALLBLUE LIMITED
Investments in: Capital            Free Cash      %Return    Weighted Return
                Allocation%        By Sector %  
                        
Mixed Arb       18%                66%            -0.36%          -0.06%
Systematic      23%                82%            -0.13%          -0.03%
Equity          30%                59%            -0.15%          -0.05%
Low Beta        1%                 87%            -1.61%           0.02%
Emerging
Markets         18%                50%            -1.57%          -0.28%
Credit Arb      8%                 39%             1.02%           0.08%
Event Driven    2%                 N/A             0.40%           0.01%
        Total   100%                                              -0.35%


September was a month where opportunities remained lacklustre and risk appetite
continued to err on the side of caution. AllBlue performance was dominated by
the unfortunate events in Emerging Markets. A coup in Thailand and political
scandals in Hungary, Poland, South Africa and Brazil created a tough trading
environment. Equity markets saw a sharp rally along with credit spreads that
continued to tighten.


Mixed Arbitrage was dominated by the final stages of the squeeze in fixed income
markets. 10-year US treasuries rallied from 4.80% to an ultimate low of 4.53% as
the yield curve continued the recent inversion trend. Data for the most part
remained around expectations with the big exception being the Philadelphia Fed
confidence indicator in which the -0.4 number was much weaker than the expected
print of 14. US producer prices also came in below expectations, softening the
prospects for inflation and potential further rate hikes.


Systematic trading was flat for the month. Within the different buckets,
Equities was the strongest performing sector with gains largely offset by losses
in the Short Interest Rate bucket. FX and Metals also had a slight negative
contribution with Energies moderately positive.


Emerging Markets proved tricky as the political instability in Hungry led to
volatility and risk reduction of their assets. The benchmark local market index,
GBI-EM Broad, posted a small negative return for September of 0.07%, leaving the
YTD return at 2.91%. There was, however, significant differentiation in returns,
region to region and country to country. Turkey (-6.13%) and South Africa
(-5.91%) were the worst performers while India (+3.32%) and Indonesia(+2.63%)
performed well. We expect volatility to pick up as we approach the end of the
year, as investors struggle with the concept of high core inflation combined
with the perception that the US economy is slowing.


Equity markets continued their recovery during September. Most equity indices
delivered small positive returns for the month. The MS Europe Index increased
0.80% and the MS World Index returned 1.07%. Gains were largely driven by the
declining oil price, moderating inflation indicators and stable interest rates.
Equities posted a return of -0.13%. The strategy has been steadily increasing
its exposure to Mega Cap stocks (stocks with a market cap of >20Bn USD) and this
strategic long position delivered over 1% in September. We have also been
increasing net exposure to IT and Telecommunication. Together with Healthcare
and Basic Resources, IT and Telecoms were the largest contributors to the
performance. Short positions in some of the US retail sectors together with long
positions in financials and banks posted negative performance.


Credit Arbitrage posted a broad-based performance across all portfolio
strategies. Intra-Credit and Inter-Credit were the top performers, booking gains
across several trading themes in both Europe and North America. Some of the
rally in credit spreads was driven by technicals associated with the roll in
credit derivative indices. Equity strategies also performed well on the month.
The Correlation book ended the month flat, despite a moderate drop in implied
equity correlation across maturities.


Event Driven showed a moderate positive contribution. After the relatively
subdued holiday period, September saw a very high level of both announced M&A
activity and speculative news flow. This activity, in conjunction with a 10%
decline in the oil price, sent the DJ Eurostoxx 50 index up 2.4% to a new 2006
high. Activity included MAN's hostile approach to Swedish truck maker Scania, a
consortium agreeing to buy UK water company AWG and Serono falling to Merck.

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. *Calls to
this number will be recorded.


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: Marc Gordon or Richard Bolchover of Close Fund Management (Investments)
Limited, the Shareholder Liaison Agent, 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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