DABU Dexion Abs USD

Dexion Absolute Limited (the “Company”)

October Final Net Asset Values

Ordinary Shares

The final net asset value of the Company’s Ordinary Shares as of 30 October 2015 is as follows:-

2011 Redeemed Shares

The net asset value of the Company’s 2011 Redemption Portfolio was $1.40 million as of 30 October 2015. This was attributed to the Redeemed Share class as follows:-

All of the Redeemed Shares have been cancelled. Accordingly, the “NAV per Redeemed Share” represents the amount then owed by the Company in respect of such Redeemed Shares at the relevant date.

2012 Redeemed Shares

The net asset value of the Company’s 2012 Redemption Portfolio was $3.23 million as of 30 October 2015. Shares redeemed pursuant to the 2012 Redemption Offer have a single USD net asset value based upon exchange rates at the relevant date. This was attributed between Redeemed Share classes as follows:-

All of the Redeemed Shares have been cancelled. Accordingly, the “NAV per Redeemed Share” represents the amount then owed by the Company in respect of such Redeemed Shares at the relevant date.

2013 Redeemed Shares

The net asset value of the Company’s 2013 Redemption Portfolio was $3.87 million as of 30 October 2015. Shares redeemed pursuant to the 2013 Redemption Offer have a single USD net asset value based upon exchange rates at the relevant date. This was attributed between Redeemed Share classes as follows:-

All of the Redeemed Shares have been cancelled. Accordingly, the “NAV per Redeemed Share” represents the amount then owed by the Company in respect of such Redeemed Shares at the relevant date.

2015 Redeemed Shares

The net asset value of the Company’s 2015 Redemption Portfolio was $55.44 million as of 30 October 2015. Shares redeemed pursuant to the 2015 Redemption Offer have a single USD net asset value based upon exchange rates at the relevant date. This was attributed between Redeemed Share classes as follows:-

All of the Redeemed Shares have been cancelled. Accordingly, the “NAV per Redeemed Share” represents the amount then owed by the Company in respect of such Redeemed Shares at the relevant date.

These valuations, which have been prepared in good faith by the Company's administrator, are for information purposes only and are based on the unaudited estimated valuations supplied to the Company's investment adviser, Aurora Investment Management L.L.C. (“Aurora”), by the administrators or managers of the Company's underlying investments and such valuations may not be considered independent or may be subject to potential conflicts of interest. Both weekly manager estimates and monthly valuations may be produced as at valuation dates which do not co-incide with valuation dates for the Company, may be based on valuations provided as of a significantly earlier date, may differ materially from the actual value of the Company's portfolio and are unaudited or may be subject to little verification or other due diligence and may not comply with generally accepted accounting practices or other generally accepted valuation principles. The Company's investment adviser, investment manager and administrator may not have sufficient information to confirm or review the completeness or accuracy of information provided by those managers or administrators of the Company's investments. In addition, those entities may not provide estimates of the value of the underlying funds in which the Company invests on a regular or timely basis or at all with the result that the values of such investments may be estimated by the Aurora. Since 1 April 2013 the Company has been transitioning to becoming a feeder fund of Aurora Offshore Fund Ltd II ("AOFL II"). AOFL II's investment manager is also the investment adviser to the Company and so valuations of the Company's investment in AOFL II may be subject to potential conflicts of interest. As at 1 November 2015 approximately 93.94% of the Continuing Portfolio (by NAV) was invested in AOFL II. The value of designated investments as at 1 November 2015 equates to approximately 1.57% of the Continuing Portfolio NAV. Certain other risk factors which may be relevant to these valuations are set out in the Company's prospectus dated 17 October 2007 and the Company's circulars dated 15 April 2011, 5 April 2012, 22 February 2013, 27 May 2013 and 26 August 2015.

Net asset values for Redeemed Shares include only those costs and expenses attributable to Redeemed Shares which have been accrued as at the relevant NAV date.

Monthly Portfolio Review

Investment adviser portfolio outlook

With news of stronger-than-expected employment figures out of the US in October, global markets once again appear prepared for the chance that the US Federal Reserve will hike interest rates in December. While the implications are vast, a rate hike sets up the first clear example of divergence in global central banking policy, particularly with Europe potentially preparing another round of easing following the European Central Bank’s December meeting. We expect this type of divergence to create opportunities for managers specialising in currency and interest rate trading, two asset classes directly impacted by these competing policies.

Like the current general market consensus, we believe that a US Federal Reserve lift-off in December is likely.  We view this outcome as a positive event for many of Aurora’s strategies, including long/short equities, macro and portfolio hedge. Not only should divergence in central banking policy allow for robust direct trading opportunities in fixed income and foreign exchange markets but it may also force global market participants to apply a more discerning approach to risk assets, a dynamic that would be a welcome change for our managers.

In focus³

As we detailed approximately two months ago in a white paper titled “Finding Opportunities in the Healthcare Sector” (currently available on the Aurora website), Aurora is particularly enthusiastic about the current stock-picking opportunity in the healthcare sector.

We continually analyse data as we seek insight on which sectors exhibit the most robust opportunities in which to derive stock selection alpha, including reviewing metrics like intra-stock correlation, dispersion and cross-sectional volatility, among other things. Through this analysis, Aurora expects the current opportunity set in the healthcare sector to provide a longer-term fertile environment for stock-picking, creating the potential for skilled managers to extract substantial stock selection alpha.

Along these lines, we are excited to announce that Aurora has completed its fourth strategic capital investment with Copernicus Capital Management LLC (“Copernicus”), a healthcare-focused long/short equities firm that is managed by John Rende and headquartered in San Francisco. The revenue sharing arrangement associated with our investment in Copernicus is an added benefit to Aurora’s investors, especially as Copernicus performs for its investors and grows its business over time.

Aurora’s familiarity with John extends back 15 years to when he was a senior portfolio manager at Weintraub Capital Management LLC, a firm with which Aurora was invested from 1999 to 2006. While at Weintraub, John was a consistent, meaningful contributor to that firm, focusing exclusively on investments in the healthcare sector. After Weintraub closed following the retirement of the firm’s Chief Investment Officer, John founded Copernicus in 2013 and has since demonstrated an ability to generate alpha and absolute returns as he has transitioned to the role of leading his own firm.

Appreciating the meaningful run-up in valuations within the healthcare sector since 2009, Aurora feels it is important to select managers that have previously demonstrated success managing through cycles (and bubbles) and that apply a disciplined low net approach to healthcare investing. This allows for alpha extraction through security selection without being dependent on broad sector moves. Furthermore, given the rapid pace of the news cycle and disruptive innovation in healthcare today, we particularly value managers that can dynamically trade healthcare’s sub-sectors against each other while freely moving across the market cap spectrum as opportunities present themselves.

We are confident that Copernicus is a manager who exemplifies each of these characteristics and are delighted to include Copernicus as an investment across many of the Aurora portfolios.

Market overview

• Global equity markets rallied in October as macroeconomic fears retrenched on the back of strong economic data and speculation over central banking actions. This was in stark contrast to the market sell-off during August and September.
• Both emerging and developed markets saw strong equity market performance, while larger-capitalisation companies generally outperformed their smaller-capitalisation counterparts. From a sector perspective, energy stocks stood out from the pack, benefiting from a rally in crude oil pricing, whereas healthcare and biotechnology stocks lagged other sectors.
• Fixed income markets were generally impacted by speculation around central banking policy across the globe. In the US, a stronger-than-expected employment report increased the likelihood of a rate hike in 2015 by the US Federal Reserve, leading to a move higher in US treasury yields. Conversely, in the eurozone, expectations of further easing by the European Central Bank drove German bunds lower.
• Within corporate credit, spreads retraced some of the significant widening that occurred during August and September, driven by both a rally in risk assets as well as strength in the energy sector, leading high yield credit to finish the month higher.
• In global currencies, the US dollar exhibited mixed performance, strengthening against two of its larger peers, the euro and the Japanese yen, while weakening against a number of Asian currencies.
• Finally, in commodities, WTI, Brent crude and gasoline prices all moved higher during the month, while distillates and natural gas fell. Similarly, precious metals such as gold and silver appreciated while base metals such as copper declined month-over-month.

Long/short credit¹: +0.41%

• Gains were largely attributable to holdings in Argentine sovereign bonds as well as in an Argentine energy producer, both of which traded up following Argentina’s general election.
• Additional profits stemmed from long credit holdings in a supply chain services company, an investment in California real estate and single name equities.
• Losses were primarily driven by short exposure to the S&P 500 and select Asian currencies.

Long/short equities¹: +2.36%

• The strategy bounced back in October with all three sub-strategies generating positive results.
• The sector specialists sub-strategy experienced the largest gains, led by outsized positions in a global semiconductor company which gained on the news of a bidding war, and a Texas-based oil and gas exploration and production company which benefited from oil prices stabilising.
• The geographic specialists also experienced strong results, as long holdings in industrials, consumer goods, healthcare and e-commerce companies drove performance.
• The generalists produced a modestly positive return as gains from long holdings in the technology, consumer and telecommunications sectors offset losses from short positions, particularly in the consumer, technology and industrials sectors. Notable individual contributors included holdings in a design software and services company, a chemicals company, an online search engine company, a global pharmaceutical company and an online travel provider. Conversely, a notable detractor on the long side was a provider of outsourced medical services that reported earnings below expectations.

Opportunistic¹: -0.69%

• As risk assets rallied during the month, losses were driven primarily by short exposure to US equity indices, largely the Russell 2000 and S&P 500.
• Additional losses stemmed from holdings in a Texas-based retailer as peers reported poor revenue results and investors grew concerned about the strength of the Texas economy.
• Losses were partially offset by holdings within the healthcare sector. In particular, long exposure to a New York-based biopharmaceutical company and a short healthcare holding contributed significantly.

Macro¹: -1.30%

• Losses emanated predominantly from short exposure to currencies including the Japanese yen, the Indonesian rupiah, the Malaysian ringgit, the Korean won, the Chinese renminbi and the Taiwanese dollar.
• Long exposure to North American energy equities, European materials equities and US and European credit also detracted.
• Additional losses stemmed from short exposure to gasoline time spreads and long exposure to the volatility of oil prices. Losses were partially offset by long exposure to emerging market equities, European equities and European rates.  Short exposure to US rates, crude oil and UK natural gas also generated profits.

Portfolio hedge¹: -4.25%

• This strategy gave back some performance in October, largely due to negative results from the tail-risk opportunities investments.
• The tightening in investment grade credit spreads resulted in losses for the tail-risk opportunities investments, as did a position in the Chinese renminbi, which appreciated as the Chinese central bank continued its heavy intervention in currency markets.
• Furthermore, the widespread decline in implied volatility in the US, Europe and Asia equity markets also detracted.
• The short sellers generated mostly negative results due to short exposures in the consumer, TMT and materials sectors. Offsetting a portion of the losses were shorts in a digital identity firm, an aerospace communications provider and healthcare-related companies.

Event driven¹: +1.83%

• Following a tough couple of months, the event driven strategy recouped some losses during the month as both the traditional manager allocations and special opportunities investments generated positive returns.
• Among special opportunities investments, top contributors included equity positions in a renewable energy company focused on emerging markets, a diversified chemicals company, and an aerospace components and systems supplier.
• Additionally, a special opportunities investment focused on Argentina (expressed via sovereign debt, local debt and equity) traded materially higher following Argentina’s October general election which resulted in a run-off. Either candidate is generally expected to seek a resolution to the country’s creditor holdout issue emanating from its 2001 default.
• For the traditional manager allocations, gains stemmed from long holdings in the industrials, utilities and technology sectors. Specifically, positions in a German power company, a diversified infrastructure company and a software products and services company were positive. Long positions in a French telecommunications company and a specialty pharmaceuticals company detracted.

¹Effective 31 May 2011, 31 May 2012, 28 February 2013 and 30 September 2015, DAL created separate redemption portfolios for redeeming shareholders from the EUR (for 2011, 2012, 2013 and 2015), USD (for 2012, 2013 and 2015) and GBP (for 2013 and 2015) share classes. All information presented herein is for the Continuing Portfolio only. Strategy returns are presented for AOFL II, are calculated in USD, are net only of the fees and expenses of the underlying managers and are gross of the fees of DAL’s investment manager and investment adviser and the operating expenses of DAL and AOFL II. The investment adviser implements the ‘Modified Dietz’ methodology for calculating the DAL portfolio hedge strategy returns, which takes into account the amount of time an investment is held. Under unusual market circumstances, there are certain limitations to the Modified Dietz methodology and under such circumstances the investment adviser may modify, adjust or apply a different methodology if it determines in its reasonable discretion that doing so will more accurately reflect the rate of return of the DAL Portfolio hedge strategy.

²Allocations are presented for the Continuing Portfolio and reflect the allocations of AOFL II, which are based on 30 October 2015 results and 1 November 2015 capital allocations, net of cash effect and including, for Portfolio hedge only, the delta-adjusted exposure derived from option hedges, the notional value of futures hedges, and dedicated notional gold exposure, if any. The Company classifies all managers by reference to only one of the core trading strategies provided in the chart (which include several strategies whose nature is multi-strategy). In certain instances, and over time, a manager may utilise multiple trading strategies. Consequently, it is possible that the Company’s determination of a manager’s primary trading strategy may change over time and may differ from how others may classify such manager’s primary trading strategy. Strategy allocations may vary over time. Numbers may not sum to 100% due to rounding.

Manager count reflects the managers in AOFL II. For purposes of determining manager count, the manager treats investments in different hedge funds managed by the same manager using the same strategy as a composite and does not include any “Excluded Managers”. An Excluded Manager is any manager (1) for which the Company has submitted a full redemption request or (2) that manages only “Market Opportunities Investments” within the strategy. Market Opportunities Investments represent an aggregation of a select set of unique, concentrated, and opportunistic investments that may be added to the Continuing Portfolio to benefit from compelling and timely risk seeking and risk limiting investment opportunities. The Company’s investment adviser classifies all of the Company’s managers by reference to only one of the core trading strategies provided in the chart (which include several strategies whose nature is multi-strategy). In certain instances, and over time, a manager may utilise multiple trading strategies. Consequently, it is possible that the Company’s investment adviser’s determination of a manager’s primary trading strategy may change over time and may differ from how others may classify such manager’s primary trading strategy.

³The In focus section of this report is for information purposes only. Any opinion expressed in this report, including with respect to the market events and potential investment opportunities that may arise, is purely the opinion of the Company’s Investment Adviser, may be speculative, and is subject to change without notice. This report should not be considered investment advice or relied upon as such. This report should be not be considered an indication of the future investment decisions that the Company’s Investment Adviser will make for the Company. Statements that are made in this report that are not based on historical facts are forward-looking statements. Although such statements are based on the Investment Adviser’s current estimates and expectations, and currently available competitive, financial, and economic data, forward-looking statements are inherently uncertain. There can be no assurance that the estimates and expectations made in connection with any forward-looking statement will prove accurate, and actual results may differ materially. The Investment Adviser makes no representations or warranties regarding the accuracy or completeness of the information included in this report and is not liable in any way as a result of its use.

Supplementary Information

Click on, or paste the following link into your web browser, to view a full review of the Dexion Absolute Limited portfolio.

http://content.prnewswire.com/documents/PRNUK-0212150924-8C98_DAL_MPR_2015_October_CC.pdf