NAV & Portfolio Performance

Close AllBlue Fund Limited
04 September 2006

FOR IMMEDIATE RELEASE

4 September 2006

CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY')

MONTHLY PERFORMANCE REVIEW FOR JULY 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 Monday 31 July 2006 were:-

                                  Total Return         Last         Year to
                      NAV          Last Month         Quarter       Date**

Sterling Shares      £0.9632         -0.37%             N/A         -1.74%
US Dollar Shares     $0.9642         -0.30%             N/A         -1.64%
Euro Shares          €0.9603         -0.51%             N/A         -2.04%

**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 JULY 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

JULY 2006 REVIEW FOR ALLBLUE LIMITED

Investments in: Capital            Free Cash %          % Return    Weighted
                Allocation%        By Sector %                      Return

Mixed Arb           18%                 68%              -0.76%       -0.13%
Systematic          25%                 87%              -3.14%       -0.77%
Equity              30%                 50%               1.20%        0.35%
Low Beta             1%                 88%              -1.08%       -0.01%
Emerging            15%                 69%               1.42%        0.21%
Markets
Credit Arb           8%                 38%               1.35%        0.10%
Event Driven         2%                  0%               0.57%        0.01%
Total              100%                                               -0.23%

Despite July being a difficult month, we observed a rising diversification
benefit in the portfolio. Risk appetite increased in our Emerging Markets and
Equity funds whilst risk remained constant in BlueTrend, following the reduction
since April, and in our Fixed Income Relative Value strategies.  Negative
performance came from the unusually high correlation between these latter two
businesses.  It is highly unusual that we experience losses in both our fixed
income relative value business and our trend following models.  Despite being
long gamma, trading ranges were choppy but tight, providing little opportunity.
On the positive side, our Equity fund made money on both its longs and shorts,
highlighting our pure alpha generation process.  Our credit fund also performed
well.

Mixed Arbitrage had a slightly negative contribution as curves flattened,
spreads compressed and volatility declined. The BOJ tightened as expected;
however, market reaction was far from expected, with the short end rallying and
the curve flattening.

Systematic trading continued to be difficult as markets again traded in a
choppy, volatile fashion. The main negative contributors were the energy and
crop sectors, as a decline in market liquidity led to an increase in slippage.

Emerging Market opportunities returned as value re-established itself. Positions
have been substantially reduced and the market has moved to more realistic
levels, hence, the technical position has vastly improved since the start of the
year.  Our main positive contribution came from the contraction of credit
spreads in external debt. This has been driven by improving economic conditions
combined with a reduction in the amount of paper available. Turkish and
Brazilian debt traded particularly well. Columbia and the Philippines issued new
paper that was heavily oversubscribed, further supporting our view that value
has returned.  On the currency side, Mexico, Hungry and Columbia performed well
whilst India and Slovakia were the worst performers.

Equity markets during July behaved in a very similar way to June, with sharp
declines in the first half followed by a rally into the close of  the month.
The Equity fund had strong performance for the month, making money on both the
long and the short side.  Retail Food & Beverage and Healthcare provided
positive contribution on the long side, whilst Travel & Leisure and Technology
made money on the short side.

Event Driven provided a moderate positive contribution during July.  The markets
continued to exhibit high volatility as the Middle Eastern crisis added to
existing worries surrounding interest rates and inflation.  Federal Reserve
Chairman Bernanke's testimony provided a reprieve, as he suggested the cycle of
rate rises could be approaching an end.  Although there were few M&A
transactions, the environment remains appealing,  with companies like McCarthy
and Stone in the UK attracting offers significantly above previous market
expectations. On the portfolio, we locked in profits on Falconbridge and
Whitbread.

Credit Arbitrage provided a positive contribution again in July.  While
performance year to date has been broad-based, with all seven strategies showing
positive returns, our correlation book has been the largest absolute P&L
contributor.  This performance comes in the context of a continued
technically-dominated market environment and despite a limited overall increase
in implied equity correlation.  We have been long implied correlation as a core
position in the fund since inception and continue to maintain this view as one
of our biggest exposures.

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.

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:  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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