FINAL NAVS 30MAY2008

RNS Number : 4388X
Dexion Alpha Strategies Limited
24 June 2008

Dexion Alpha Strategies Limited (the "Company")

May Net Asset Values

Ordinary Shares

The net asset values of the Company's Ordinary Shares as of 30 May 2008 are as follows:-

� Shares 108.45 pence
EUR Shares EUR 1.5358
US$ Shares US$ 1.8934

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 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 May Performance YTD Performance
� Shares +1.58% -3.45%
EUR Shares +1.39% -3.72%
US$ Shares +1.30% -4.59%

Two associated themes dominated financial markets during May, namely renewed inflation concerns and the continued rise in oil prices. In
equity markets, there was a large disparity in the performances in different regions; Europe and the US were strong, while Asia
under-performed, except in Japan, where rising inflation expectations boosted stock market sentiment, especially in the banking sector. In
commodity markets, oil reached a record high on renewed supply concerns, peaking at over US$135 per barrel. Natural gas continued to trade
at a discount to oil, though this gap narrowed in May, delivering strong performance as a result.

Asian Opportunities - The strategy was flat this month in what was a challenging month for both equity and non-equity strategies.
Inflation started to become a concern for policy makers across the region as oil and commodity prices continued to rise. Long equity
positions in Hong Kong and China hurt many managers, while positive performance came from our net short China fund, which performed
strongly. Overall, managers remained defensively positioned and directional exposure was low. Healthcare Opportunities - Stock picking
continued to be an important source of alpha, with small-cap stocks once again out-performing large-cap companies. One US manager profited
from an increase in M&A speculation, an example being Savient Pharmaceuticals which rose by +22% on rumours that the company had entered
into acquisition discussions. Special Situations - The strategy recorded impressive returns this month. Gains came from the US-based manager
which benefited from severe weakness in financial companies as the sector fell approximately -6%. Deal activity was particularly strong in the US, with the LBO deal for Clear Channel providing fruitful returns.
Despite a negative month for credit and widening spreads, distressed managers posted modest returns. Energy & Emissions - May was a positive
month overall for managers; they derived returns from positions in natural gas, a major shift in the crude oil curve, appreciating prices in
products and energy equities. The market saw gasoline and heating oil rally, widening the crack spread. In the power market, one manager was
able to generate a steady stream of returns from exposure to coal, German power and CO2 positions. Commodity Strategies - The bulk of the
gains were derived from long/short exposures in natural resources. Non-ferrous metals suffered from the impact of the strong US Dollar and
fund liquidation, providing opportunities for managers positioned short as prices dropped. The wide dispersion of positions within the
agricultural sector also proved rewarding. Wet weather conditions and floods in the US Corn Belt should have provided upside for our grains-focused manager, but congressional hearings
related to food price inflation and speculative activity in the commodity futures market inhibited trading activity. Environmental
Strategies - The strategy was the top performer this month, with gains across all sub-sectors. Governmental policy discussion in the US,
Germany and Spain introduced opacity into the renewables market, particularly for wind and solar energy. Fundamentals point towards further
supply problems in energy which should keep prices high, serving as a tailwind for alternative energy solutions. While a rally in carbon
credits proved advantageous in some instances, the widening spreads in EUA futures did little to help performance as hedging limited overall
gains. Emerging Markets - May witnessed stronger performance from Latin American markets relative to Asia, where governments were forced to
cut energy subsidies, leading to higher energy prices. The growing inflationary pressure benefited some managers, as emerging market currencies tended to trade higher. Exceptional performance came from
an FX-oriented manager which benefited from their long Mexican Peso and Brazilian Real positions against the Euro. European Loans - Loans
finished the month flat as prices traded in a relatively narrow range just under the EUR90 level. The credit default swap market witnessed
widening spreads as investors took advantage of cheap methods to finance their positions. Higher quality senior secured loan paper has
performed well on the back of new CLO issuances.

Strategy Allocation as of 1 June Number of Funds as of 1 June Performance by
% Strategy
%
May YTD
Asian Opportunities 22 10 0.00 -2.31
Healthcare Opportunities 11 6 1.07 -10.84
Special Situations 19 8 2.27 -1.72
Emerging Markets Macro 8 7 0.26 -2.42
Commodity Strategies 10 15 1.98 9.47
Energy and Emissions 13 12 2.73 0.71
Environmental Strategies 7 7 3.03 -3.35
European Loan Opportunities 10 1 -0.44 -28.13
EUR
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

We have taken some profits in the commodity allocation following recent strong performance. The focus continues to be on managers who
construct their portfolios with significant downside protection, as we expect economic and earnings fundamentals to deteriorate further in
the months ahead. The turbulence of recent months has led to significant value across most strategies, and we believe that our managers are
well-placed to take advantage of the compelling opportunities for alpha generation that will present themselves going forward.

Voting Rights and Capital

The Company's capital consists of 86,592,630 � Shares (excluding treasury shares), 19,554,278 EUR Shares (excluding treasury shares) and
10,849,541 US$ Shares (excluding treasury shares) with voting rights. Therefore, the total number of voting rights in the Company is
86,592,630 in respect of the � Shares, 19,554,278 in respect of the EUR Shares and 10,849,541 in respect of the US$ 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 116,996,449 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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