Monthly Performance Review

Close AllBlue Fund Limited
04 August 2006


FOR IMMEDIATE RELEASE

This announcement replaces the RNS announcement 2898H made at 4:20 p.m. on 4
August 2006. The previous announcement contained a typographical error in the
title of the third column of the second table below. The column heading
previously read 'By Sector' and now reads 'Free Cash by Sector'.

4 August 2006

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR JUNE 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 30th June 2006 were:-

                                    Total Return         Last         Year to
                        NAV          Last Month         Quarter        Date
Sterling Shares       £0.9668           N/A                -             -
US Dollar Shares      $0.9671           N/A                -             -
Euro Shares           €0.9652           N/A                -             -


PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF JUNE 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

'JUNE 2006 REVIEW FOR ALLBLUE LIMITED

Investments in:  % of Capital  Free Cash By Sector   % Return  Weighted Return
Mixed Arb                 19%            62%         0.84%            0.16%
Systematic                23%            83%        -5.32%           -1.19%
Equity                    30%            52%        -1.00%           -0.30%
Low Beta                   3%            94%        -2.51%           -0.08%
Emerging Markets          15%            66%        -0.59%           -0.09%
Credit Arb                 8%            36%         1.96%            0.15%
Event Driven               2%            0%          2.77%            0.06%
         Total           100%                                        -1.30%

During June, AllBlue continued to see underperformance across several of the
underlying funds. Unlike May, the fund was rewarded by correlation benefits,
with three strategies posting positive performance, unfortunately, slightly
overwhelmed by the four negatively contributing strategies.

Mixed Arbitrage was one of the bright spots with returns made in traditional
relative value opportunities. June sees the expiry of futures contracts,
providing positive contribution from strategies ranging from pure Libor fixings
to calendar rolls. In addition, the short end of the Japanese curve re-steepened
following the flattening seen in May. We were positioned to take advantage of
this.

Systematic trading continued to suffer as trends in the markets failed to
re-establish themselves and remained choppy in volatile conditions. Losses were
spread across all the markets. In the metals sector, the main negative
contributions came from Gold, Silver and Copper, whilst short rates saw
underperformance from short sterling and euribor. The only respite came from FX
and energies that had mixed performance during the month.

Equity markets during June behaved as a month of two halves, whereby the first
two weeks continued the declines of May, typically showing a 4-5% fall, followed
by a decent rally into the end of the month. Overall, the DJ Stoxx 600 was up
1.5% in local currency (+0.7% in USD) and the S&P was up 0.8%. Unfortunately,
this increased volatility and the lack of clarity surrounding the trading
environment led to a slightly negative performance. The small losses sustained
did not represent any great trend, but rather were mainly due hedging costs into
sector swaps. The main themes in the portfolio continue to be driven by shorts
in US homebuilders (as leveraged sectors of the economy) combined with long
positions on drug companies, such as Pfizer.

Our Emerging Market performance was flat, as the traders preferred to keep
positions close to home after the recent turmoil. Volatility continued to pick
up as the current account deficits caused outflows, particularly in Turkey. The
Bank of Turkey first indicated they would not raise rates, but later responded
to pressure quite aggressively. The first unexpected move resulted in 175bps
increase from 13.25% to 15%, followed by the second move from 15%-17.25%. South
Africa also raised rates as credit spreads widened across the emerging markets.

The Event-Driven strategy provided positive contribution, despite the ongoing
volatility in equity markets. The VIX index traded between 14% and 24% as
investors continued to worry about the outlook for interest rates, inflation and
growth. Although the IPO market seems to be suffering, M&A volumes picked up
with AB Ports falling to an increased bid from Goldman Sachs amongst the many
deals. The winners in our portfolio included NH Hotels, sold at a 15% premium to
the previous bid along with AB Ports succumbing to the Goldman bid.

Credit Arbitrage also benefited from the higher volatility and weaker credit
markets. The structured credit book was the largest contributor, followed by
Index Arbitrage and correlation. Intra-Credit and credit volatility strategies
underperformed modestly.

Disclaimer:

This communication has been provided to you for informational purposes only and
may not be relied upon by you in evaluating the merits of investing in any
securities referred to herein.  This communication is not 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. Any decision to purchase shares with respect to All Blue Limited (the
'Fund') must be based solely upon the information contained in the Prospectus
for the Fund, any supplements thereto.

The information in this document constitutes an estimate of the Fund's Net Asset
Value as at the date shown. Although the information is believed to be
materially correct, no warranty is given as to the accuracy of the information
provided. The Fund contains various different classes of shares and actual
performance realised by any given investor will depend on which class of shares
the investor has subscribed for, the period during which such shares are held
and in what currency the shares are denominated.

The Fund's investment programme is speculative in nature and entails substantial
risks. The investments of the Fund may be subject to sudden and large falls in
price or value and there could be a large loss upon realisation of a
shareholder's investment, which could equal the total amount invested. As there
is no recognised market for many of the investments of the Fund, it may be
difficult or impossible for the Fund to obtain complete and/or reliable
information about the value of such investments or the extent of the risks to
which such investments are exposed.

Changes in rates of exchange may also have an adverse effect on the value, price
or income of the investments of the Fund.

The information contained herein is intended only for investors classified as
'Intermediate' or 'Market Counterparty' under the Rules of the Financial
Services Authority, is intended only for the person or entity to which it is
addressed and may contain confidential and/or privileged material. Any
retransmission, dissemination or other use of, or the taking of any action in
reliance upon, this information by any person or entity is strictly
prohibited.   If you have received this communication in error, please contact
the sender immediately and delete this material in its entirety.

This communication is issued by BlueCrest Capital Management Limited ('BCML'),
general partner to the Investment Manager of the Fund. BCML is authorised and
regulated by the Financial Services Authority.'

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






                      This information is provided by RNS
            The company news service from the London Stock Exchange