February Net Asset Value

RNS Number:0594U
Dexion Alpha Strategies Limited
30 March 2007

Dexion Alpha Strategies Limited (the "Company")

February Net Asset Values

Ordinary Shares

The net asset values of the Company's Ordinary Shares as of 28 February 2007 are
as follows:-

# Shares 102.28 pence
EUR Shares EUR 1.4582
US$ Shares US$ 1.8032

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 9 of the Company's 66
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 February Performance YTD Performance
# Shares +1.42% +1.92%
EUR Shares +1.29% +1.72%
US$ Shares +1.42% +1.96%

February's market action can be split into two distinct periods. For most of the
month, a positive global growth outlook, modest inflation expectations and
strong employment data continued to drive markets upwards. In stark contrast, a
sharp fall in Chinese equities and concerns over the US housing market led to a
dramatic retraction of global equity markets in the last two days of the month.
The equity sell-off spilled over into fixed income and currency markets.
Emerging markets and high-yielding currencies associated with the carry trade
came under pressure, while the Yen surged. Only commodities escaped the
turbulence, having already experienced falls in January.

Asian Opportunities - Most managers closed the month positively, deriving gains
from both long and short positions. Performance was led by a China-focused
manager who, even in the face of the sharp correction in Chinese equities,
managed to retain early gains. Other positives came from long equity exposure in
Thailand, Taiwan and Singapore, and short positions in Indian and Chinese
stocks. Healthcare - It was a mixed month for healthcare managers. Losses were
incurred by two managers, largely due to core positions underperforming and
exposure in Indian pharmaceutical stocks. These negatives were largely offset by
gains accrued by the rest of the sub-portfolio. One manager delivered a return
of over +2%, drawn from both long and short exposures. Other gains were
attributable to strong stock selection, predominantly on the long side in
pharmaceutical, medical technology and biotech small and mid-cap companies.
Special Situations - Traders enjoyed an excellent month with most of the profits
produced by one manager with a bearish view on the US sub-prime mortgage market.
Our Asian-focused manager delivered strong returns which were protected against
the effects of the month end turbulence by successful use of a long volatility
strategy. Negative performance, again stemming from core positions, was posted
by one of the more directional managers. Emerging Markets - Performance was flat
for the strategy, as gains accumulated during the month were counteracted by
long positions in Brazilian energy, Asian technology, Indonesian financials and
Turkish T-bills, in addition to rate exposure in South Africa and Poland.
Managers with equity exposure achieved the strongest returns, using a
combination of strong long stock selection, some expedient risk reduction and a
successful hedging strategy. Another manager held short positions in the US
sub-prime market, in addition to other credit positions, generating profits as
the market began to crack. Commodities & Energy - Most managers made positive
returns with our base metal trader posting a double digit performance largely
from a long bias to the back end of the copper curve. A sharp reversal in the
price of gold hurt managers with long exposure, but this was easily offset
elsewhere. Energy traders had a solid month, with short European electricity
market positions providing profits. Exposure to the US power markets proved
fruitful, as the fluctuations in the energy market enabled excellent returns to
be generated on location and time spreads. Other positives were obtained from
long exposure to natural gas, oil markets and agricultural commodities, in
particularly corn and soybeans. European Loans - The sub-portfolio was not
impacted by the end of month volatility. The market was buoyant, with
exceptional demand for assets, driven in part by an increase in the CLO
pipeline, sustaining high secondary prices. More recently, several prepayments
during the month of March have underpinned price levels and new issuance remains
strong.

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

February YTD
Asian Opportunities 20 9 1.67 2.44
Healthcare Opportunities 10 8 -0.24 3.48
Special Situations 21 10 2.88 5.56
Emerging Markets Macro 9 8 0.15 0.17
Commodity Strategies 12 18 2.60 -0.37
Energy and Emissions 19 12 2.62 1.86
European Loan Opportunities Euro 9 1 0.92 2.33
Total 100 66

Strategy returns are in US$ (except where annotated) and net of underlying
manager fees only, and not inclusive of Dexion Alpha Strategies' fees and
expenses.

Outlook

While the decline in the US sub-prime mortgage market has given credit markets
concern, global levels of liquidity remain reasonably high and a general credit
reversal is not yet in full swing. Nevertheless, we expect further opportunities
in credit markets as we progress through 2007. Equity markets still offer
reasonable value, but, as the China-led correction shows, downside risks are
increasing. We believe that the portfolio is well placed to benefit from the
challenges ahead.

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).

Voting Rights and Capital

The Company's capital consists of 90,142,343 # Shares, 7,252,548 US$ Shares and
32,333,467 Euro Shares with voting rights. Therefore, the total number of voting
rights in the Company is 90,142,343 in respect of the # Shares, 7,252,548 in
respect of the US$ Shares and 32,333,467 in respect of the Euro Shares.

All Shareholders have equal voting rights based on the number of Shares held.
Accordingly, the total number of voting rights in the Company is 129,728,358 and
this figure may be used by Shareholders as the denominator for the calculations
by which they will determine if they are required to notify their interest in,
or a change to their interest in the Company under the FSA's Disclosure and
Transparency Rules.

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

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