I want to apply an effect on all layers, except on HUD.
Is there another way than to apply the exact same effect on all layers?
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There is currently no way for you to exclude layers, but you can still set layer effects for each of them individually.
The latest releases have a new sub-layers feature which lets you do this efficiently. You can put all the layers you want an effect on as sub-layers of one layer, then put the effect on that one layer.