DASL Dexion Alp.

 

TIDMDASL 
 
RNS Number : 4246S 
Dexion Alpha Strategies Limited 
18 May 2009 
 

 
 
18 May 2009 
DEXION ALPHA STRATEGIES LIMITED 
 
 
INTERIM MANAGEMENT STATEMENT 
 
 
This interim management statement relates to the period from 1 January 2009 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 is a Guernsey authorised, 
closed-ended investment company listed on the London Stock Exchange. 
The investment objective is to maximize 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 30 March 2009 
 
 
+----------------------------------+--------+---------+---------+---------+------------+ 
|                                  | Mar    | YTD     | Inc     | Vol     | Sharpe     | 
|                                  | (%)1   | (%)1    | (%)1,2  | (%)1,2  | Ratio1,2,3 | 
+----------------------------------+--------+---------+---------+---------+------------+ 
| Dexion Alpha Strategies Limited  | -0.04% |  -0.46% |  -2.62% |   8.78% |      -0.87 | 
| GBP Share NAV                    |        |         |         |         |            | 
+----------------------------------+--------+---------+---------+---------+------------+ 
| Dexion Alpha Strategies Limited  | -0.66% |  -1.21% |  -7.77% |   9.80% |      -1.17 | 
| EUR Share NAV                      |        |         |         |         |            | 
+----------------------------------+--------+---------+---------+---------+------------+ 
| Dexion Alpha Strategies Limited  | -0.43% |  -0.95% |  -3.09% |   7.90% |       -0.9 | 
| US$ Share NAV                    |        |         |         |         |            | 
+----------------------------------+--------+---------+---------+---------+------------+ 
| MSCI World Index Gross (TR)      |  7.60% | -11.78% | -13.15% |  19.05% |       -0.9 | 
| (US$)4                           |        |         |         |         |            | 
+----------------------------------+--------+---------+---------+---------+------------+ 
| JPM Global Gov't Bond Index (TR) |  2.34% |  -4.75% |   7.89% |   8.10% |       0.48 | 
| (US$)4                           |        |         |         |         |            | 
+----------------------------------+--------+---------+---------+---------+------------+ 
| Source: Dexion Capital plc       |        |         |         |         |            | 
| (calculation), Bloomberg (data)  |        |         |         |         |            | 
+----------------------------------+--------+---------+---------+---------+------------+ 
 
 
 
 
  1.  The approximate impact of the foreign exchange on the net asset value of DASL's 
  ordinary shares as of the 23 December 2008 is: +0.44% GBP Share, -9.56% EUR Share 
  for the period 12 November to 23 December 2008, being the period that the 
  Portfolio was unhedged in 2008 (see RNS dated 28 January 2009, No. 3876M). DASL 
  reinstated the forward currency hedge for the GBP and EUR Share classes on 23 
  December 2008 (see RNS dated 22 December 2008, No. 6046K). 
  2.  Annualised from inception date of DASL GBP, DASL EUR and DASL US$, and based on 
  monthly data. 
  3.  Risk free rate is average 1M GBP LIBOR since March 2006 (5.02%) for DASL GBP, 
  average 1M EUR LIBOR since March 2006 (3.69%) for DASL EUR and average 1M USD 
  LIBOR since March 2006 (4.00%) for DASL US$ and US$ indices. 
 
 
Investment Adviser's Review 
 
 
The net asset value of the Company's GBP Shares returned -0.46%, net of fees and 
expenses, for the first quarter of 2009. The following provides the Investment 
Adviser's overview of the Company's investment performance in US Dollar terms by 
hedge fund strategy from 1 January 2009 to 31 March 2009 (performance is shown 
net of underlying manager's fees and expenses only). 
 
 
Asian Opportunities: -0.76%. Asian markets tended to mimic general equity market 
behaviour during the quarter, declining through February and joining the rally 
in March. The strategy posted a modest loss, largely driven by one fundamental 
long short manager who struggled during the sharp falls in Asian share values 
during January and February. While this fund had minimal net exposure, 
performance was impaired by poor stock picking during the period. The 
multi-strategy managers had a good run during the quarter, actively trading 
through the changing environment. Performance was driven by long volatility and 
long bond positions, while another manager excelled through opportunistic 
trading based on near term catalysts. 
 
 
Healthcare Opportunities: -6.63%. Despite a healthy gain in March, performance 
was significantly dragged down by a poor February return, finishing the quarter 
with a large aggregate loss. The managers in the strategy are generally net 
long, driven by the compelling valuations they see across the healthcare stock 
universe and the fact that the sector continues to deliver positive earnings 
growth. While this viewpoint was particularly successful in March following a 
6%+ gain from the healthcare index, long biased equity strategies are generally 
struggling in the current environment and the exposure to this strategy has been 
reduced to reflect this. 
 
 
Special Situations: +1.61%. The strategy was up over the quarter. The best 
performing manager was very successful in shorting UK banks in January, as 
concerns over the stability of the UK financial system plagued the sector. 
Distressed managers had mixed performance as credit markets strengthened during 
the first 6 weeks of the quarter, only to fall back down again following new 
uncertainty mid-February over the health of stand alone banks. Liquidity 
remained thin, leaving some of the Portfolio's managers with negative returns as 
mark-to-market declines in less liquid positions detracted from performance. 
 
 
Energy & Emissions: +2.89%. Performance from this strategy was positive in 
contrast to the majority of energy markets, highlighting the strategy's ability 
to deliver uncorrelated returns. Natural gas continued its weakness of 2008, 
down over -30% during the quarter. One manager maintained its short bias to the 
front end of the natural gas curve, while long the back end, posting impressive 
gains as spot prices tumbled in response to a weaker than expected inventory 
drawdown. Strong stock picking skills from another manager in transportation 
equities also benefited performance, most notably from shorts in oil tankers, as 
this sub-sector reported weak earnings. A more bullish sentiment emerged in 
March, with crude oil trading over US$50 per barrel (although still almost 
US$100 off its high in June 2008), whilst nimble trading and good stock picking 
across most markets helped the strategy deliver another positive return. 
 
 
Commodities: +2.95%. Some normality returned to commodities markets during the 
quarter, with indices registering their first monthly gain in March since June 
2008. Following a horrendous February resulting in large losses for some 
managers, cocoa rebounded in March, driving up performance for a manager with a 
significant long position, as supply is expected to fall short of demand. Gold 
once again briefly touched US$ 1000/oz, but quickly retreated as risk aversion 
eased later in the quarter, temporarily providing profits for managers with long 
gold positions. Managers in the base metal sector manoeuvred around a weak 
January and February market into a small sector recovery in March, as improving 
macro data out of China resulted in significant price gains. 
 
 
Environmental Strategies: +2.13%. The strategy generated a nice profit, with 
managers generally maintaining extremely low net and gross exposure as they 
remain sceptical of the sustainability of the market rally. Carbon markets were 
mixed over the quarter, beginning the year by falling severely in January (-25%) 
as investors continued to retreat from non-core investment activities. The 
sector staged a comeback in March, providing ample opportunities for the 
Portfolio's carbon focused manager. While short exposure in the various 
strategies tended to work well in US markets, managers exhibited their agility 
by generating gains from both long and short exposure in the wind and solar 
sector over the quarter. 
 
 
Emerging Markets: +3.83%. Following the drastic sell-off in much of the 
developing world during the last half of 2008, the first quarter saw profits 
emerge from short currency and stock positions in economies dependent on foreign 
capital and long positions in economies with strong balance sheets. All major 
asset classes in emerging markets (equity, fixed income, FX) benefited from the 
improvement in market sentiment during March. In fixed income and currencies, 
the Portfolio's managers benefited from spread tightening and relative 
outperformance of Asia and Latin America compared to Eastern Europe. Managers 
held the view that Eastern European central banks would be forced to continue 
cutting interest rates and letting their currencies fall to aid export 
competitiveness, which in turn provided a positive lift from short currency 
positions in these nations. 
 
 
Short-Term Managed Futures: +0.25%. The strategy was flat following a very 
strong run since it was first introduced into the Company's portfolio last year. 
The Portfolio's managers performed well in January and February amid ongoing 
market volatility, although large losses were recorded in March which eroded 
much of the earlier gains. Performance was dragged down for one manager's short 
equity positions amid a surge in global share values, while another was wrongly 
positioned to profit from reversals in bond and currency markets. 
 
 
European Loans: -8.80%. The strategy posted a large loss during the quarter, 
with an increase in credit downgrades and rising defaults creating a difficult 
backdrop for leveraged loans. Some stabilisation returned to the loan market 
during the beginning of the period, although the majority of liquidity was 
focused on larger issues , which didn't benefit the illiquid smaller names in 
the portfolio, some of which continued to suffer mark-downs. The portfolio was 
fully deleveraged by 31 March 2009. 
 
 
Material events since 31 March 2009 
 
 
On 23 April 2009 the Company released its Annual Financial Report for the year 
ended 31 December 2008, in accordance with DTR 6.3.5. 
 
 
On 24 April 2009 the Company announced the results of the separate Class 
Meetings that it held concerning the Continuation Resolutions. The details were 
as follows: 
 
 
+-----------+--------------+-------------------+--------------------+------------------+ 
| Share     | Result of    | Total Shares      | Votes cast in      | Votes cast       | 
| class     | Continuation | voted (% of       | favour (% of votes | against (% of    | 
|           | Resolution   | issued share      | cast in favour)    | votes cast       | 
|           |              | capital of class) |                    | against)         | 
|           |              |                   |                    |                  | 
+-----------+--------------+-------------------+--------------------+------------------+ 
| GBP       | Not Pass     | 46,598,190        | 20,005,610         | 26,592,580       | 
| Shares    |              | (66.33%)          | (42.93%)           | (57.07%)         | 
|           |              |                   |                    |                  | 
+-----------+--------------+-------------------+--------------------+------------------+ 
| EUR       | Not pass     | 11,886,190        | 402,732 (3.39%)    | 11,483,458       | 
| Shares    |              | (77.81%)          |                    | (96.61%)         | 
|           |              |                   |                    |                  | 
+-----------+--------------+-------------------+--------------------+------------------+ 
| US$       | Pass         | 675,161 (49.33%)  | 578,578 (85.69%)   | 96,583 (14.31%)  | 
| Shares    |              |                   |                    |                  | 
|           |              |                   |                    |                  | 
+-----------+--------------+-------------------+--------------------+------------------+ 
 
 
The Board is now considering whether to formulate (i) Redemption Proposals to be 
put forward to GBP Shareholders and EUR Shareholders directly or (ii) 
reorganisation, reconstruction or winding-up proposals to be put forward to 
Shareholders as a whole (and not on a class by class basis) before putting 
forward Redemption Proposals. 
In deciding what, if any, alternative proposals are suitable the Directors will 
seek to balance the interests of all Shareholders to ensure that no class of 
Shareholder is disadvantaged in particular as to the timing at which 
Shareholders can exit their investment and the timing of receipt of realisation 
proceeds. 
Shareholders who wish to remain invested in the Company have been advised to 
take no action at this time. 
 
 
Investor Information 
 
 
The latest available portfolio information can be accessed via 
www.dexionalpha.com. 
 
 
Enquiries: 
 
 
Chris Copperwaite 
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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