CABU Close All Usd

    RNS Number : 5482V
  Close AllBlue Fund Limited
  29 May 2008
   

    FOR IMMEDIATE RELEASE

    29 May 2008

    CLOSE ALLBLUE FUND LIMITED (THE "COMPANY")
    MONTHLY PERFORMANCE REVIEW FOR APRIL 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 30 April 2008 were:-

                              Total Return  Last     Since
                   NAV        Last Month    Quarter  Launch**
 Sterling Shares   �1.1688    -0.38%        4.73%    19.24%
 US Dollar Shares  $1.1321    -0.76%        4.20%    17.92%
 Euro Shares       EUR1.1559  -0.54%        4.39%    15.50%

    *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 EUR0.9802 per Euro Share.

    PERFORMANCE REPORT OF ALLBLUE LIMITED FOR THE MONTH OF APRIL 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        * MTD% Return  ** Weighted Return%
                                           Sector
 Mixed Arb                        29                55               0.58              0.17
 Systematic                       15                89               -6.06             -0.90
 BlueMatrix                       5                 85               1.85              0.09
 Low Beta                         1                 91               -4.47             -0.04
 Emerging Markets                 15                53               1.62              0.24
 Credit Arb                       0                N/A               0.00              0.00
 WestHarbor                       0                N/A               0.00              0.00
 Mercantile (Trade Finance)       10                33               0.89              0.09
 Credit RV                        15                59               -1.12             -0.13
 Cash                             11               N/A               0.00              0.00
 Total                           100

    *estimated returns
    **Figures based on estimated weighted return

    Estimated April

     Amidst a more relaxed market outlook and highly variable volatility, April was a mixed month for the AllBlue funds. Overall, estimated
returns show that AllBlue was down slightly (-0.58%), taking YTD returns to 4.01%. Within AllBlue, Emerging Markets, Capital International,
BlueMatrix and Mercantile all made positive contributions, while BlueTrend and Multi Strategy Credit made losses. There were some large
allocation changes within AllBlue in April, in particular, the removal of the two external funds, WestHarbor and BlueMountain. The decision
was taken to remove these funds because of the need for greater transparency in current market conditions, and, as a result, the seven funds
that now comprise AllBlue are all BlueCrest managed funds. AllBlue also significantly decreased its allocation to BlueTrend and increased
the amount held in cash (11%); given the performance of BlueTrend in April, this re-allocation was timely. 

    BlueCrest Capital International, which currently accounts for 29% of the allocation, finished the month up slightly with an estimated
return of 0.61%. Within the fund, Relative Value was the largest contributor followed by Rates and Equity Derivatives. RV made good gains on
the US 5 year treasury-future basis trade, while in Rates, the returns came from two main positions: caps versus payers (long cap, short
payer), and short the Euribor market via put spreads. Both of these trades worked very well. In Equity Derivatives, gains were made on short
volatility and short market trades; dispersion trades and single name pair trades with volatility also worked well.

    BlueTrend (15% allocation) struggled during April, finishing the month down -6.06%. This was largely due to strong reversals in the
primary risk areas of rate products and equities. These reversals caught the model offside on many positions; however, by month end the
model had sold off its interest rate positions and risk was significantly reduced. 

    Emerging Markets, which represents a 15% allocation, performed well, with estimated MTD returns of 1.62%. The themes of liquid
risk-taking in local rates and FX produced a positive contribution. Fundamentally positive positions on various current account surplus
countries in Latin America were balanced by tactically trading in and out of current account deficit countries. 
    For Multi Strategy Credit, which also accounts for 15% of AllBlue's allocation, April was a month of recovery for credit markets, and
the team saw a significant drop in volatility and correlation. Overall, the performance was negative (-1.27%). Liquidity was very poor in
the OTC markets. The traders achieved positive performance in correlation but were hurt by the sharp drop in volatility. The long-short
strategies were up slightly over the month.

    The smaller allocations, Mercantile and BlueMatrix, performed well. Mercantile returned an estimated 0.89%; this was largely
attributable to the structured commodity financing sub-strategy of the fund, which showed good returns from metals pre-payment financing. In
the credit area, the month saw a strong rally in emerging market credit derivatives which caused the basis of trade finance assets to reduce
significantly. The fund made a small reduction to its overall CDS cover but retained the bulk of its protection as the team sees continued
stress in underlying cash asset markets and bank balance sheets. The basis is expected to return to more normal levels over the coming
months which the team anticipates will release value from the trade finance assets that were bought at attractive prices in March. For
BlueMatrix, which returned 1.85%, April saw lower volatility return to the markets in Europe and Japan amid lower than average traded
volumes. With lower volatility gradually prevailing in all equity indices throughout the month, BlueMatrix deleveraged accordingly and ended the month with modest positions in all markets. 
    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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