CABU Close All Usd

RNS Number:3069S
Close AllBlue Fund Limited
14 April 2008

FOR IMMEDIATE RELEASE

14 April 2008

CLOSE ALLBLUE FUND LIMITED (THE "COMPANY")

MONTHLY PERFORMANCE REVIEW FOR FEBRUARY 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 29 February 2008 were:-

                                Total Return        Last         Since
                    NAV         Last Month          Quarter      Launch**
Sterling Shares     �1.1735             1.75%       -1.68%       19.72%
US Dollar Shares    $1.1675             1.57%       -2.14%       19.11%
Euro Shares         Euro1.1397             1.65%       -1.84%       16.27%

*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 Euro0.9802
per Euro Share.

PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF FEBRUARY 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                30                47        0.71                 0.2
Systematic               21                53        6.98                1.44
BlueMatrix                4                86        3.65                0.15
Low Beta                  1                88         5.7                0.05
Emerging 
Markets                  16                91       -0.21               -0.03
Credit Arb                7                 0       -0.42               -0.03
WestHarbor                5                27        -1.8               -0.09
Mercantile
(Trade
Finance)                  8                14       -0.85               -0.06
Credit RV                 7                37        0.56                0.04
        
Total                   100

*estimated return

**Figures based on estimated weighted return

Estimated February

February returns for AllBlue were +1.61%, taking year-to-date returns to +4.81%.
The underlying funds had mixed results: the systematic funds performed
exceedingly well, while Mercantile and Emerging Markets were down slightly.

BlueTrend once again had an exceptional month with February returns reaching
+7.03%, bringing the year-to-date figure to 17.71%. The energy sector was the
biggest contributor to returns (+3.22%), as oil prices rose above $100 a barrel.
Much of the driving force seemed to be the continuing economic issues in the US
and the fears of a US recession driving the dollar to new lows.

As volatility retreated from the highs seen in January, BlueMatrix sought to
gradually gear down across all markets. The end result of the market movement
and the model's trading was a strong performance of +3.61%. Most sectors
followed the broader market, moving little over the month; however, basic
resources, chemical and energy stocks all ended the month higher.

BlueCrest Capital International was up slightly this month, returning 0.75%.
Rates, RV and FX were the main drivers for performance in February; Credit RV
also made a small contribution.

Despite a very tough market environment in February, the BlueCrest Emerging
Markets Fund remained relatively flat at -0.21%. Equity trading registered the
biggest loss, primarily driven by hedging shorts in China and South Africa. FX
trading was the main positive contributor to the book. Three positions were
especially profitable: a short position in the Hungarian forint against a long
position in the Polish zloty, a long position in the Brazilian real against a
short position in the Turkish lira and a long position in the Taiwan dollar
against the US dollar.

The estimated month-end return for Mercantile was -0.85%. The fund gave back
much of January's gains as short positions in commodities hedges that were put
on in January (in preference to CDS hedges) reversed their previous performance
and rallied strongly, driven by inflation fears rather than economic
fundamentals. These positions have since been closed out.

BlueMountain was down -0.14% on the month. The fund saw strong performance in
fundamental strategies, capital structure positions and volatility trading,
although these were offset by losses in correlation and curve trading. Long/
Short Credit was the biggest contributor to returns as shorts in cyclical, weak
sectors continued to outperform longs in defensive sectors.

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

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

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