Net Asset Values

Close AllBlue Fund Limited 07 April 2008 FOR IMMEDIATE RELEASE 7 April 2008 CLOSE ALLBLUE FUND LIMITED (THE 'COMPANY') MONTHLY PERFORMANCE REVIEW FOR JANUARY 2008 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 31 January 2008 were:- Total Return Last Since NAV Last Month Quarter Launch** Sterling Shares £1.1528 3.19% -1.68% 17.61% US Dollar Shares $1.1491 3.08% -2.14% 17.23% Euro Shares €1.1208 3.06% -1.84% 14.34% *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 €0.9802 per Euro Share. PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF JANUARY 2008 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 % cash free by * % Return ** Weighted Return% Sector Mixed Arb 31 54 2.04 0.61 Systematic 25 90 9.91 2.39 BlueMatrix 4 88 2.19 0.09 Low Beta 1 92 8.53 0.08 Emerging Markets 18 38 -2.15 -0.37 Credit Arb 8 34 3.65 0.27 WestHarbor 6 0 -2.70 -0.15 Mercantile (Trade Finance) 5 22 1.37 0.06 Credit RV 4 58 4.54 0.18 Total 100 3.17 *estimated return **Figures based on estimated weighted return Estimated January AllBlue made a strong start to the new year, achieving an estimated MTD return of +3.11%. The majority of underlying funds experienced positive returns, and the strongest positive performance attributions came from Systematic, Multi Strategy Credit and Mixed Arbitrage. Mixed Arbitrage returns for January were +2.07%. Equity Derivatives, Relative Value and FX Volatility Arbitrage were the major contributors to returns, although Mercantile and Rates also made positive returns. In Equity Derivatives, the team was positioned delta short at the start of the month via puts on indices and single names; in RV, money was made on options on US curve steepeners, while the FX team continued to see great opportunities for their strategies in skew and gamma markets. BlueTrend had a record positive month since inception, finishing January at 9.98%. The key to this was correct positioning during the Christmas period which enabled the model to take full advantage of the early January moves. By the end of the first week of January, BlueTrend was up nearly 6% gross, with the majority of P&L being made in interest rates and FX. By the end of the month the dollar had regained some ground and left the interest rate sector as the clear winner for January. Margin to Equity during the month was 12.1. BlueMatrix returned +2.06% on the month. The increase in volatility and market uncertainty during January was highly beneficial to the model and was reflected in the strong return. The BlueCrest Multi Strategy Credit Fund had a strong opening month to the year, with returns of +4.54%. The team made money on options positions in credit and equity indices, as well as on credit curve flatteners in Europe. The market environment for EM in January was very negative. The MSCI was down -12.5%. The release of bearish data in the US created a fast de-leveraging which resulted in a downward re-pricing of some 7-8% in most equity indices over just two sessions. The Equity book was hit, particularly some mid-cap Brazilian stocks that became more illiquid as the meltdown accelerated, but due to the good performance of the FX book, we managed to limit losses. The fund finished January at -2.15%. The team remains cautious, buying protection and keeping their trading short-term and in very liquid instruments. The traders have lowered the risk profile of the fund and aim to maintain a highly liquid portfolio, allowing them the flexibility to both quickly unwind positions and seize market opportunities. WestHarbor had a difficult month, declining -2.62% as market and sector hedges struggled to protect the fund from massive sector volatility. The team had a number of stocks underperforming in the month, mainly as a result of negative sentiment in the retail, banking, auto and industrial sectors. With the market continuing to be very volatile, the traders will increase their focus on defensive plays but remain optimistic that the current environment will reveal good investment opportunities. 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, 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 E&OE - in transmission This information is provided by RNS The company news service from the London Stock Exchange
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