FINAL NAVs JUNE 2008
29 7월 2008 - 5:53PM
UK Regulatory
RNS Number : 0912A
Dexion Alpha Strategies Limited
29 July 2008
Dexion Alpha Strategies Limited (the "Company")
June Net Asset Values
Ordinary Shares
The net asset values of the Company's Ordinary Shares as of 30 June 2008 are as follows:-
� Shares 108.47 pence
EUR Shares EUR 1.5345
US$ Shares US$ 1.8891
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 June Performance YTD Performance
� Shares +0.02% -3.44%
EUR Shares -0.08% -3.81%
US$ Shares -0.23% -4.81%
Market turbulence returned in June, causing a dent in global equity markets as the whole world saw a continuation of rising commodity
prices, inflation concerns and the spread of recessionary fears. The high correlations between markets, as well as the breadth of the
sell-off seen in equities, made it a particularly difficult environment. All major equity indices reported large losses, in particular those
in emerging markets Asia. Hawkish statements from both the ECB and the Fed caused large shifts in developed market yield curves. The
increased levels of volatility required an active stance on the part of the invested managers, but also created a number of opportunities
for alpha generation.
Asian Opportunities - Exposure to Hong Kong and India was the biggest detractor from performance as heavy outflows affected managers'
directional exposure in the various regions. Positives came from net short exposure as opportunities have arisen for strong stock pickers.
Healthcare Opportunities - Despite closing down for the month, the strategy outperformed the S&P 1500 Healthcare Index and the overall US
market for the first time this year. In June, we have seen some managers reduce exposure as they felt they were not being compensated fully
for the risk of holding certain positions. At the same time, they were narrowing their investment focus to concentrate on high conviction
names. Special Situations - Positive performance came from various sources, including short positions in financials and opportunities in
situation specific trades. Only one manager, with financial exchange holdings, suffered losses, but the impact was limited due to its small
weighting in the portfolio. Energy & Emissions - This strategy was the top performer, driven by natural gas exposure. Elsewhere, our electricity trader's long positions rebounded in the midst
of rising Nordic and German power prices. In the emissions asset class, one manager was very profitable as CER prices rallied versus EUA
prices. Commodity Strategies - Key performance drivers for our managers were corn, wheat and soybeans, as rains in the US Midwest and
droughts in Australia drove up prices and lowered supply. One manager enjoyed a great run from cocoa exposure, on the back of supply
concerns and rumours of poor bean quality over the past few weeks. Copper and aluminium experienced technical rallies in contrast to the
dislocations seen in physical markets, hurting one manager with short exposure. Environmental Strategies - Equity volatility in the sector
was detrimental to returns. Solar stocks once again saw tremendous volatility as governmental agencies worldwide re-addressed subsidies and
tax credits policy. Bio-fuels also came under increasing pressure as more uncertainty emerged regarding policy measures here too. Renewables managers had a difficult month, but positive returns were
gained on back of strong rallies in both CER and EUA prices and a marginal compression of the spread. Emerging Markets - With inflation
accelerating in nearly all countries, emerging market bonds suffered. Negative performance came from long local rate positions in Brazil and
Turkey, while short positions naturally saw an opposite effect. Currencies were mixed, with the Turkish Lira and Brazilian Real showing
remarkable resilience, while the Chilean Peso and Korean Won weakened. European Loans - Loan prices declined markedly in the US and Europe
amidst worsening inflation figures, and the S&P measure of global loan default rate increased to +2.6% at year end, versus the 0.3%
previously estimated. The more conservative and active trading approach of the Pemba team managing the European loan portfolio helped limit
losses in what was a difficult month for loan investing.
Strategy Allocation as of 1 July Number of Funds as of 1 July Performance by
% Strategy
%
June YTD
Asian Opportunities 23 8 -0.93 -3.22
Healthcare Opportunities 11 5 -3.58 -14.03
Special Situations 18 8 1.69 -0.06
Emerging Markets Macro 6 5 -1.64 -4.02
Commodity Strategies 11 15 2.43 12.13
Energy and Emissions 11 13 2.76 3.50
Environmental Strategies 7 7 -1.38 -4.68
Short-Term Managed Futures 3 3 - -
European Loan Opportunities 10 1 -1.04 -28.88
EUR
Total 100 65
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 remain concerned about the outlook for economic and corporate profit growth and have taken steps to increase our volatility exposure,
which we believe will be a continuing source of alpha in the months ahead. In Asia, we are conservatively positioned on a net basis and are
adding volatility exposure, as the region faces increasing difficulties, including reduced export demand and growing inflationary pressures.
Elsewhere, our commodity and emerging market exposures have come down and we continue to focus on highly-hedged strategies where the need
for leverage is minimal. Within European loans, we believe pricing is compelling at current levels, but we recognise prices could go lower
as sentiment weakens. We remain comfortable with the Pemba team managing the portfolio and are encouraged by their current cautious
positioning.
Ten Largest Investments
Listing Rule 15.4.11R(2) requires an investment company to notify to a Regulatory Information Service, within two business days of the
end of each quarter, a list of all investments with a value greater than 5% of the company's total assets and at least the 10 largest
investments as at the last business day of that quarter. As set out in the Company's prospectus dated 10 March 2006, in normal
circumstances, the final month-end net asset value of the Company is calculated and announced through a Regulatory Information Service
approximately 28 calendar days following the month-end. Accordingly, the Company will provide the information required by Listing Rule
15.4.11R(2) on a quarterly basis at the same time as it releases its month-end final net asset value.
The ten largest investments of the Company as at 30 June 2008 were as follows:
Name of investment Strategy Market Value % of net assets
�
RMF Commodity Strategies Commodity Strategies 20,304,307 15.89
Limited
Pemba European Loan European Loan 11,705,355 9.16
Opportunities Opportunities
RMF Environmental Trading Environmental Strategies 8,053,213 6.30
Strategies Limited
Paulson Advantage Plus Limited Special Situations 6,886,663 5.39
Tiger Asia Overseas Fund Asian Opportunities 5,445,104 4.26
Penta Asia MAC 91 Limited Asian Opportunities 4,226,112 3.31
Tryphon Capital Healthcare Opportunities 4,124,601 3.23
Bennelong Asia Pacific Special Situations 3,637,164 2.85
Multistrategy Fund Limited
Tantallon (Non US Feeder) Fund Asian Opportunities 3,608,001 2.82
Palo Alto Healthcare Offshore Healthcare Opportunities 3,270,983 2.56
Limited
Voting Rights and Capital
The Company's capital consists of 80,942,630 � Shares (excluding treasury shares), 18,793,905 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
80,942,630 in respect of the � Shares, 18,793,905 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 110,586,076 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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