Interim Management Statement
20 5월 2008 - 1:29AM
UK Regulatory
RNS Number : 8178U
Dexion Alpha Strategies Limited
19 May 2008
19 May 2008
DEXION ALPHA STRATEGIES LIMITED
INTERIM MANAGEMENT STATEMENT
This interim management statement relates to the period from 1 January 2008 to the date of publication of this statement and has been
prepared solely to provide additional information in order to meet the relevant requirement of the UK Listing Authority's Disclosure and
Transparency Rules, and should not be relied on by Shareholders, or any other party, for any other purpose.
Overview
Dexion Alpha Strategies Limited (the "Company") is a Guernsey registered, closed-ended investment company listed on the London Stock
Exchange. The investment objective is to maximise medium-term returns in a manner commensurate with acceptable risk management. The Company
seeks to achieve its investment objective through investment in an actively managed portfolio of underlying funds diversified across a range
of alternative investment strategies which target emerging and/or under-exploited sources of alpha. The Company's shares are denominated in
Sterling, Euros and US Dollars.
NAV performance as of 31 March 2008
QTD YTD (%) ITD* (%) VOLATILITY* (%)
(%)
DEXION ALPHA STRATEGIES £ SHARE -6.98 -6.98 3.13 6.48
NAV
DEXION ALPHA STRATEGIES EUR SHARE -6.88 -6.88 2.25 6.52
NAV
DEXION ALPHA STRATEGIES US$ SHARE -7.56 -7.56 3.24 6.72
NAV
HFRI FUND OF FUNDS INDEX (US$) -3.85 -3.85 5.59 5.62
MSCI WORLD INDEX GROSS (TR) (US$) -8.95 -8.95 6.45 10.16
JPM GLOBAL GOV'T BOND INDEX (TR) 9.56 9.56 13.57 5.79
(US$)
* Annualised from inception date and based on monthly data.
Source: Bloomberg (data), Dexion Capital (calculation)
Past performance is not indicative of future results which may vary.
Investment Adviser's review
January (-4.54% in Sterling terms)
Asian Opportunities - Although the strategy posted a loss, the relative performance of the portfolio was pleasing, given the MSCI Asia
Pacific dropped close to -10%. Two managers were able to generate profits, one was aggressively net short with large short stock positions
in HK/China financials and the other, our Asian volatility manager, was able to profit from the elevated levels of realised & implied
volatility. Healthcare Opportunities - The healthcare sector was unable to escape the turmoil affecting global markets and our managers'
performance suffered despite their significant short exposure. Special Situations - Our managers experienced a difficult month on the back
of tumbling equity markets. Negatives came from long exposures in natural resources, utilities and mining stocks. Amid the turmoil, three
managers performed positively, thanks to dynamic trading in Asian markets and a large short exposure to US financials. Energy & Emissions -
Performance from this strategy was hindered by a flattening of the natural gas time curve and by sudden selling in emission markets. Positives came from the European power funds, with one manager
profiting from the bearish stance in Nordic power markets, while another benefitted from near-term German power positions and defensive
emissions options. Commodity Strategies - Our managers benefitted from the rally in soft and agricultural commodities prices due to
expectations of increased non-US demand resulting from the weaker US dollar. Cocoa, coffee and sugar prices also increased on supply
concerns. Further profits were also derived by tactically and opportunistically trading these markets from the short side, and from the
ongoing appreciation in precious metals. Environmental Strategies - Our managers experienced a very difficult start to the month as the
sector experienced a freefall which, given the rapid gains in 2007 and the global market conditions, was not totally unexpected. Losses were
limited somewhat through the use of shorts in solar stocks. Emerging Markets - Macro funds managed this volatile month relatively well and portfolio hedges, combined with fast risk reduction, protected managers
with a broader asset allocation. One manager posted profits gained from hedges on US and Asian stock exchanges, long positions in the
Renminbi and Sol, as well as a short position in the Peso. European Loans - The European Loan market experienced a "risk flush" during
January and whilst the losses sustained were extremely disappointing, all loans continued to perform and, with financing secured, there was
no forced selling of positions, although risk was scaled back in a prudent fashion.
February (-0.27% in Sterling terms)
Asian Opportunities - Asian markets gained amid lower market volatility. However, stock prices continued to demonstrate choppiness in
response to the negative news regarding credit and the US economy. Most long-short funds reduced overall leverage after a mixed January and
so gains in February were a little subdued. Positive performance was derived from exposure to H-shares, which rebounded, and short positions
in Australian equities. Healthcare Opportunities - Several company-specific developments contributed to. Special Situations - Roller coaster
equity markets made life very difficult for most equity-based strategies. Despite this, the majority of managers posted positive returns
derived from a mixture of shorts, trading volatility and low exposure to deal breaks. Short exposure in the credit and equity of financial
institutions once again proved to be an effective hedge in the current climate. Energy & Emissions - The largest losses, as well as the
highest profits, were derived from positions in natural gas. One manager suffered losses in their short winter versus long summer spreads along the curve and decided to liquidate their
natural gas book, closing down over -20%. On a positive note, another manager held the opposite positions and was able to profit from the
run-up in prices, finishing up close to +15%. Environmental Strategies - The alternative energy markets continued to exhibit significant
volatility. Water managers were adversely affected by Asian exposure but gained through continued focus on core positions within the US.
Other positives included returns from the diversified clean technology portfolios, utilities in Southeast Asia and companies invested in
wind energy. On the short side, managers continued to profit from the dramatic sell-off in the solar energy sector, where draw-downs in many
stocks reached over -50%. Emerging Markets - Emerging markets performed relatively well compared to the G7. Two developments have
complicated the outlook for emerging markets: the worsening financial stress in the US and continued inflation shocks in food and energy. In contrast to the negative views, there were positive developments,
such as strong domestic demand as well as sizable infrastructure investments. European Loans - Leveraged loans were negatively impacted from
the beginning of the year by market value declines. These declines were due primarily to the unwinding of leverage directly related to
market value CLOs, portfolios financed with total return swaps, or dealers' sales of inventory. The illiquid nature of the current
environment and the lack of "natural" senior loan buyers in Europe created a pricing vacuum. Many participants halted NAV calculations,
redemptions or both, in an attempt to preserve value for investors.
March (-2.29% in Sterling terms)
Asian Opportunities - While posting losses on an absolute basis is never pleasing, the fact that the downside was limited when the MSCI
Asia Pacific (ex Japan) Index fell -6% was a source of some satisfaction. On the positive side, strong gains accrued from short positions in
China and Hong Kong with one manager generating a +8.5% return. Negatives came from long positions in India, where inflation fears and a
sudden aversion to smaller companies sparked a major sell-off. Healthcare Opportunities - The healthcare sector was the worst performing
sector with the S&P 1500 Healthcare Index losing -4.73% and the Russell 2000 Healthcare Index shedding -3.70%. To put the losses into
perspective, the healthcare sector was down almost twice as much as financials, with emerging markets healthcare especially impacted.
Special Situations - Shorts in equity and credit markets were unable to offset weakness in event equity positions and bank loans. Ongoing
selling of bank loans negatively affected two of our distressed managers, while our special situations managers suffered amid falls in commodity and financial exchange names. Losses were limited thanks
to good gains from our Asian managers and a US manager with a short bias to financials. Energy & Emissions - Our managers profited strongly
from the bullish sentiment in natural gas and also from spread trading in this market with a short bias to summer contracts. Elsewhere,
gains were derived from a position in the long gas oil Europe / short heating oil US spread, while declines in German power prices led to
losses for one of our power traders. Commodity Strategies - The strategy was marginally down, which was pleasing as commodity markets
endured a torrid month, with the CRB Commodity Price Index down -6.3%. After good gains in the first part of the month, there were sharp
reversals in many markets. Base metals managers suffered early losses in the month, only to rebound aggressively, outperforming precious
metals in the fourth week. Elsewhere, the diversification offered by our relative value managers worked well as the high levels of volatility created excellent profit opportunities for spread trading
strategies. Environmental Strategies - Strategies in mainstream renewables suffered while specialty strategies did well. Solar and wind,
though recovering by the end of the month, fell sharply, while waste remediation/energy rallied. Diversified clean technology strategies
finished marginally lower. Within carbon markets, prices rallied at the end of the month after trading in a wide price band, and this
benefited one manager in particular. Emerging Markets - Emerging market assets were particularly hit by the deepening credit crisis.
Commodity-linked markets, including Brazil and South Africa, outperformed service and producer countries like India and China. Middle
Eastern equity markets, which in the past had been little affected by the change of general risk appetite, also came under pressure.
European Loans - After further sharp falls at the beginning of the month, the leveraged loan market stabilised and then made back losses during the final part of the month. The portfolio will continue to be impacted
by mark-to-market moves in prices, but did not suffer any defaults to 31 March 2008. Given the absolute level of loan prices, we feel the
market is discounting higher default rates than should be expected over the next few years, and this offers investors attractive long-term
opportunities in the asset class.
(All strategy performance is expressed in US Dollar terms, except for European Loans, which is expressed in Euro terms)
Extraordinary General Meeting
On 2 February 2008, the Company issued a circular containing notice of an extraordinary general meeting on 22 February 2008 and setting
out a special resolution to be put to shareholders of the Company resolving to adopt new articles of association to include amendments to
the discount management provisions, the introduction of quarterly conversion rights between currency classes and the introduction of
pre-emption rights for new share issues for cash. The circular also contained notice of class meetings of the Company's EUR and US$
shareholders setting out ordinary resolutions to approve the continuance of the EUR and US$ share classes.
The special resolution at the EGM was subsequently passed by shareholders and the class meeting of EUR shareholders approved the
continuance of the EUR share class. US$ shareholders however voted against continuation of the US$ share class and, accordingly, on 1 April
2008, the Company put forward redemption proposals to US$ shareholders. On 1 May 2008, the Company announced that valid acceptances of the
redemption offer had been received for 9,010,533 US$ Shares, representing 82.6 per cent. of the Company's existing US$ Shares. Settlement of
the redemption offer is expected to take place on 31 July 2008.
Annual Financial Statements
The preliminary results for the year ended 31 December 2007 were announced on 29 April 2008.
The special business to be considered at the Annual General Meeting to be held on 16 June 2008 includes a proposal that the Company
adopt new articles of association and details of that and the other special business to be considered are set out in the Annual Report which
has been posted to Shareholders.
Share Buy Backs
For the period from 1 Janaury 2008 to the date of this statement, the Company purchased 3,450,000 of its own £ shares, 1,400,000 of its
own EUR shares and 100,000 of its own US$ shares, of which 1,050,000 £ Shares, and 100,000 EUR shares are currently held in treasury while
the remaining shares have been cancelled.
Other than described above, the Board is not aware of any material events during the period from 1 January 2008 to the date of
publication of this statement which would have had a material impact on the financial position of the Company.
Investor Information
The latest available portfolio information can be accessed via www.dexionalpha.com.
Enquiries:
Martine Harrison
Dexion Capital (Guernsey) Limited
Tel: + 44 (0) 1481 743940
End of announcement
This information is provided by RNS
The company news service from the London Stock Exchange
END
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