DASL Dexion Alp.

RNS Number:4849F
Dexion Alpha Strategies Limited
30 June 2006

Dexion Alpha Strategies Limited (the "Company")


May Net Asset Values

Ordinary Shares


The net asset values of the Company's Ordinary Shares as of 31 May 2006 are as
follows:-




                                    # Shares


                                  97.17 pence


                                   EUR Shares


                                   EUR 1.4005


                                   US$ Shares


                                   US$ 1.7052


For the purposes of calculating these valuations, investments in underlying
funds have been valued at the values provided by such entities or their
administrators or otherwise at fair market value. These values may be unaudited
or may themselves be estimates and neither the Administrator nor the Investment
Adviser has any means of independently verifying this information. Such
valuations may not be considered "independent" or may be subject to potential
conflicts of interest. In addition, these entities or their administrators may
not provide values at all or in a timely manner and, to the extent that values
are not available, the valuations will be prepared on the basis of estimates
made by the Investment Adviser. In respect of the valuations, 9 of the Company's
61 investments have not been valued within 7 days of the above date. Other risk
factors which may be relevant to these valuations are set out in the Company's
prospectus dated 10 March 2006.


Manager's Report


Performance Review




                                  Share Class


                                May Performance


                                    # Shares


                                     -2.53%


                                   EUR Shares


                                     -2.72%


                                   US$ Shares


                                     -2.44%


May began well as equities advanced briskly and other asset classes maintained
the broad trajectories of previous months. However, this momentum ended abruptly
during the second week as global risk appetite fell dramatically for a variety
of reasons: a combination of US inflation fears, uncertainty regarding Fed
policy and some weak economic data. Extremely sharp and sudden reversals in
equities were followed by a flight to safety as risky assets such as emerging
markets and commodities fell sharply, while short term Treasuries rose. The S&P
500 fell 3% as volatility spiked and hit a two year high. European and Japanese
stocks were down 5% and 8%, respectively, while the MSCI Emerging Markets index
fell by around 10%. Following these multi-market sell-offs, the US dollar rose
against most other currencies, at least temporarily. The month of May has proven
once again that it is extremely difficult for hedge funds to protect their
portfolios from the impact of a bull market correction. While many of our Asian
managers had anticipated some sort of market correction, even the most
conservative and bearish managers struggled with the irrational market behaviour
and substantial (intra-day) volatility. Most hedge funds find the largest source
of alpha in inefficiently researched smaller and mid sized companies, which are
difficult to hedge due to their limited correlation to the mostly large-cap
driven index instruments. Positive performance came from the Australian manager.
The Company's loss from its Healthcare exposure was not surprising given the
severity of the market correction and, overall, most of our managers performed
better than had been anticipated. Positive returns came from good timing in
healthcare services and an outsized gain in one of the fund's core positions, to
cite two instances. A few managers suffered from the sell-off in mid-cap medical
technology names and were less hedged than we would have expected. Special
Situations managers gave back a little of year-to-date profits during in May,
due to the increased beta of their long positions during the downturn which
resulted in inadequate hedges, and increased basis risk between the (small /
mid-cap) longs and the corresponding index / stock basket hedges. Nevertheless,
the M&A deal pipeline remains strong. May was a difficult month for most
Commodity funds, which struggled with unprecedented intra-day volatility in most
markets. Managers that made money captured short term trading opportunities,
with contributions to positive performance coming from our grains and oilseeds
trader, a shipping fund and managers with larger positions in crude oil options
volatility and crude oil calendar futures spreads. Most of our Energy managers
sustained a loss for the month, generally due to a disconnect between spot and
forward markets, particularly in natural gas and in crude. Equities also had a
strong negative impact on managers with equity exposure. On the positive side,
managers with a long volatility exposure made a good return during May.
Electricity traders lost money from short positions in the Nord Pool market
established after the sell-off in April, while our net long emissions trader
also generated losses. The largest sector loss in May came from our Emerging
Market managers, who lost substantially on their net long positions in equities
and carry trades in Brazil, Mexico and Turkey, where local currencies declined
versus the US dollar, contrary to managers' bearish views of the US economy. The
European Loan portfolio performed well, despite continued spread tightening.
Default rates continue to be low and most company fundamentals are strong. The
portfolio has become a bit more diversified and leverage has been decreased
slightly.




                                    Strategy


                            Allocation as of 1 June


                                       %


                          Number of Funds as of 1 June


                                 Performance by


                                    Strategy


                                       %










                                      May


                                      YTD


                              Asian Opportunities


                                       21


                                       7


                                     -3.07


                                     -2.51


                            Healthcare Opportunities


                                       10


                                       10


                                     -3.16


                                     -5.12


                               Special Situations


                                       19


                                       9


                                     -1.49


                                      0.15


                             Emerging Markets Macro


                                       8


                                       7


                                     -8.68


                                     -5.77


                              Commodity Strategies


                                       12


                                       17


                                     -0.89


                                      7.54


                              Energy and Emissions


                                       21


                                       10


                                     -2.77


                                     -1.42


                          European Loan Opportunities


                                       9


                                       1


                                      0.66


                                      1.83


                                     Total


                                      100


                                       61






Strategy returns are net of underlying manager fees only and not inclusive of
Dexion Absolute's fees and expenses.


Outlook


We believe that the uncertain and volatile markets, arising from mixed messages
from central banks, will continue until September, once the summer break is
over. At present, markets could swing either way, and this lack of direction has
resulted in active risk reduction by most of our managers. Most strategies in
the portfolio are expected to suffer in the current risk averse, low liquidity
environment, but the outlook longer term is more bullish given the strong
fundamentals in each of the strategies. We continue to be mildly positive on
Special Situations given the strong M&A deal flow investment banks are seeing.
European loans should continue to perform well and prove to be the safe harbour
in the portfolio, as anticipated.


Investment Policy


The Company will seek to achieve its investment objective through investment in
an actively managed diversified portfolio of underlying funds across a range of
alternative investment strategies which target emerging and/or under-exploited
sources of alpha. The Company does not invest in other UK listed investment
companies (including UK listed investment trusts).


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

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