May Net Asset Value

RNS Number:1206Z
Dexion Alpha Strategies Limited
27 June 2007

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 2007 are as
follows:-

# Shares 106.34 pence
EUR Shares EUR 1.5110
US$ Shares US$ 1.8751

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 13 of the Company's 68
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 May Performance YTD Performance
# Shares +1.79% +5.97%
EUR Shares +1.68% +5.40%
US$ Shares +1.75% +6.02%

Global equity markets had another strong month in May, reflecting robust
economic fundamentals and strong risk appetite. By the end of the month, several
indices, including the S&P 500, had reached all time highs. These gains were
achieved in the face of ongoing concerns over inflation levels in major world
economies and growing uncertainty over the direction of interest rates. Emerging
markets indices demonstrated a rich vein of form, mainly driven by Asia and
Latin America. Over the month, emerging market bond spreads tightened,
currencies surged and stock markets soared. In commodities, most base metals
fell despite starting the month positively. Energy markets were also weaker
during May while, by contrast, softs rebounded having fallen steadily since the
start of the year. A surfeit of supply fears boosted coffee, corn and wheat
prices.

Asian Opportunities - Asian managers once again posted strong gains as Asian
markets continued to march higher. The Korean market surged by over 10% and
managers with a long bias to this market achieved significant gains. Further
positive contribution was achieved from long positions in China and Hong Kong,
which also witnessed exceptionally strong rallies. Performance from Japanese
focused managers was mixed, depending on market capitalization and sector.
Healthcare Opportunities - A lack of news flow in the sector meant that although
healthcare equities posted positive performance in May, the sector largely
underperformed the general markets. Our managers performed largely in line with
this. A core manager that takes long-term concentrated holdings in drug-related
companies outperformed, while our exposure to emerging market healthcare stocks
proved damaging as losses were recorded in the Indian market. Special Situations
- Once again special situations managers saw plentiful opportunities with M&A
activity continuing at record levels and global equity markets moving higher.
Positive performance was posted by all managers within the strategy. An American
based manager achieved a return of almost 10% with positions in two mining
resource companies performing strongly. Basic material, energy, industrial and
technology positions in Asia were also profitable. Energy & Emissions - Energy
equities outperformed physicals over the month, and so managers with equity
exposure dominated performance. A Canadian manager with exposure to small-cap
Canadian energy and power stocks delivered the strongest performance, while a
power and emissions manager with a tactical long bias to emissions sustained a
small loss as emissions prices declined. Commodity Strategies - May was a mixed
month for commodities as softs and grains rallied and base metals sustained
losses. The continuing rally in global stocks once again led to good performance
for the portfolio's equity-biased managers. A multi-strategy manager delivered
the most impressive performance with strong gains coming from positions in
softs, equities and grains, while disappointing returns came from a base metal
trader with a bullish fundamental outlook. Emerging Markets - Benefiting from a
benign trading environment, emerging market traders enjoyed an excellent month,
with four of the eight managers posting returns in excess of 5%. As with other
styles, equity positions were central to performance in May. Exposure to Middle
East equity markets provided pleasing profits as share values surged. Further
profits were achieved from local rate positions in Brazil, Turkey and Mexico.
European Loans - The style posted another positive month in May. Returns were
underpinned by the high quality investments and by supportive secondary prices,
fuelled by strong demand for paper.

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

May YTD
Asian Opportunities 20 10 2.37 7.64
Healthcare Opportunities 11 9 1.11 8.18
Special Situations 20 10 2.94 11.18
Emerging Markets Macro 9 8 5.48 10.30
Commodity Strategies 12 17 1.04 2.62
Energy and Emissions 19 14 1.22 6.73
European Loan Opportunities Euro 9 1 1.33 5.82
Total 100 69

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

The portfolio continues to benefit from the upward march of equity markets and
continued corporate activity. The outlook for special situations managers
continues to be positive with yet more record deal flow announced, and record
amounts of private equity money waiting on the sidelines to be invested.
However, there are increasing signs of cracks appearing in the benign credit
environment and further uncertainty surrounding the future path of interest
rates in the context of large trade imbalances. We remain vigilant as to how our
selected managers are positioning themselves against this backdrop.

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

Following the announcement of 27 June 2007 where the Company purchased a further
500,000 of its Euro shares to be held in treasury the Company's capital consists of
90,142,343 # Shares (excluding treasury shares), 7,252,548 US$ Shares (excluding
treasury shares) and 31,333,467 Euro Shares (excluding treasury 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 31,333,467 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 128,728,358 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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