July Net Asset Values

RNS Number:2625I
Dexion Alpha Strategies Limited
30 August 2006

Dexion Alpha Strategies Limited (the "Company")

Ordinary Shares

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

# Shares 95.70 pence
EUR Shares EUR 1.3754
US$ Shares US$ 1.6823

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 the case of 8 of the Company's 61
investments, where no such formal valuation has been received by today's date,
an estimated valuation prepared by the Company's investment advisor or by the
manager or administrator of the underlying funds has been used. 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 July Performance YTD Performance
# Shares -0.57% -2.60%
EUR Shares -0.71% -3.20%
US$ Shares -0.49% -2.26%

The market instability seen since May continued through into July. Much of this
instability stems from a lack of clear policy direction from the Fed as growth
slows while inflation continues to rise. This unease has been exacerbated more
recently by increased geopolitical tension in the Middle East. Consequently, we
have seen higher equity volatility in general, although this diminished in Asia
in July. Most indices dropped sharply early on and then recovered to end flat,
for the second consecutive month. Mid and small cap equities under-performed
relative to large caps. There was also choppiness in foreign exchange markets,
as the US dollar initially went higher before falling, to finish unchanged
against major currencies. In fixed income, the US market remains caught between
inflation concerns and weaker growth prospects. The long end is pricing in a
significant economic slowdown as the 10 year US treasury declined from 5.15% to
below 5% over the month. In emerging markets, bonds recovered after the recent
sell off. Asia - July was another volatile month for Asian markets, down -8% in
the first half of the month, but recovering most of the losses to end marginally
down for the month. There was a wide performance divergence among individual
markets, geographically. Managers found this market behaviour difficult and the
strategy was slightly down over the month. Healthcare - Healthcare was also down
slightly over the July. The recovery of large cap pharmaceutical stocks and the
strong performance of value names were positives, while small and mid-cap
(biotechnology) stocks detracted from performance. This led to dispersion and
very low correlations amongst the managers. Emerging Markets - As with other
global equity markets, the Emerging Markets followed a V-course for July.
Emerging market bonds (particularly Brazil, Mexico and Turkey) were stronger as
determined central bank action and greater political stability bolstered
investor confidence. Our managers performed well over the month, as a result of
Brazilian real and Turkish lira carry trades versus the US dollar and increased
equity exposure in the second half of the month. Special Situations - This
sector was slightly down over the month, hurt by poor earnings announcements and
some (potential) corporate deal breaks. There was also some government
intervention in cross-border European deals, notably in Spain and Italy.
Positive contributions came from high levels of LBO activity. Energy - July was
characterised by extraordinary natural gas volatility and the recovery of the
energy equity markets. Natural gas was up 35%, power markets experienced an
increase in price and volatility driven by bullish sentiment and crude oil moved
toward the $80 mark. The strategy was disappointing in July due to Mother Rock,
the natural gas volatility trader. The severe volatility and distortion of the
forward curve went against their fundamental positions, and the fund was put
into liquidation to protect investors. Elsewhere, both of our power trading
funds were positive, as was our long-biased equity trader. Commodities - July
was a big month for metal prices, beneficial for our metal traders. Nickel added
21% on the month while lead and zinc also rose strongly. Gold gained as the
Middle East crisis further boosted its appeal as an alternative asset. European
Loans - After the strong prepayment levels of June, there was a return to high
levels of primary issuance in July, which put some pressure on the secondary
market earlier on in the month. Performance was positive overall.

Strategy Allocation as Number of Funds Performance by
of 1 August as of 1 August
Strategy
%
%

July YTD
Asian Opportunities 20 7 -0.72 -3.71
Healthcare Opportunities 10 10 -1.50 -7.09
Special Situations 19 9 -0.60 -0.20
Emerging Markets Macro 9 7 2.69 -3.25
Commodity Strategies 12 15 0.76 8.52
Energy and Emissions 20 11 -2.24 -6.68
European Loan Opportunities 10 1 1.18 2.77
Total 100 60

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

Outlook

The widening disparity between growth and inflation in the US is currently
weighing on the markets and this is likely to continue in the absence of clear
direction from the Fed. Growth is beginning to slow down which will impact
corporate earnings, while inflation continues to rise. An additional concern is
the impact of geopolitical tensions, which may push input prices higher, further
contributing to inflationary pressures. As a consequence of these factors, we
expect to see further turbulence. Our managers have already reduced exposure
considerably in response to rising volatility to ensure that capital is
protected against further corrections, and that they are well positioned to take
advantage of opportunities that arise.

Personnel changes at RMF

Uwe Eberle, previously Head of Hedge Fund Research at RMF, is moving to Man
Investments to become Head of Institutional Sales and will join the Man
Investments Management Committee. As a result, Herbert Item, the newly appointed
Head of Hedge Fund Research, will assume full responsibility for the management
of the Company's investments with immediate effect. Herbert is also CIO at RMF
and responsible for overall top-down strategy, bottom-up research and portfolio
management. Due to the infrastructure at RMF, these changes will have no impact
on the management of the Company's portfolio.

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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