UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                    Form 13F

                               Form 13F COVER PAGE

Report for the Calendar Year or Quarter Ended: 31 March 2011

Check here if Amendment | |; Amendment Number:
   This Amendment (Check only one): | | is a restatement.
                                    |_| adds
new holdings entries.

Institutional Investment Manager Filing this Report:

Name:  NEVSKY CAPITAL LLP
       51 Berkeley Square
       London, England W1J 5BB
Form 13F File Number: 028-12750

The institutional investment manager filing this report and the person by whom
it is signed hereby represent that the person signing the report is authorized
to submit it, that all information contained herein is true, correct and
complete, and that it is understood that all required items, statements,
schedules, lists and tables, are considered integral parts of this form.

Person Signing this Report on Behalf of Reporting Manager:

Name:  Toby Hampden-Acton
Title: Chief Compliance and Risk Officer
Phone: 44 20 7360-1237

Signature, Place, and Date of Signing:

     /s/ Toby Hampden-Acton      London, England       26 April 2011
     ----------------------      ---------------       -----------
     [Signature]                 [City, State]         [Date]

Report Type                (Check only one):

|X|   13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager
      are reported in this report.

|_|   13F NOTICE. (Check here if no holdings reported are in this report, and
      all holdings are reported by other reporting manager(s).)

|_|   13F COMBINATION REPORT. (Check here if a portion of the holdings for this
      reporting manager are reported in this report and a portion are reported
      by other reporting manager(s).)

      List of Other Managers Reporting for this Manager: None



                              Form 13F SUMMARY PAGE

Report Summary:

Number of Other Included Managers:       Nil

Form 13F Information Table Entry Total:  17

Form 13F Information Table Value Total:  US$473.825 million




                               Nevsky Capital LLP

                           Form 13F Information Table





                                TITLE OF                    VALUE    SHARES/   SH/  PUT/ INVSTMT   OTHER     VOTING AUTHORITY
    NAME OF ISSUER               CLASS           CUSIP     (x$1000)  PRN AMT   PRN  CALL DSCRETN  MANAGERS SOLE   SHARED  NONE
-----------------------         --------       ---------   --------  -------   ---  ---- -------  ------   ------ ------- ----
                                                                                         
AMERICA MOVIL-ADR SERIES L	ADR		02364W105	190	3,271		N/A	Y	N	Y
APPLE INC			Common Stock	037833100	154,280	442,687		N/A	Y	N	Y
BANCO BRADESCO-ADR		ADR		059460303	43	2,068		N/A	Y	N	Y
CITIGROUP INC			Common Stock	172967101	61,445	13,901,585	N/A	Y	N	Y
EXXON MOBIL CORP		Common Stock	30231G102	10,449	124,200		N/A	Y	N	Y
FREEPORT-MCMORAN COPPER		Common Stock	35671D857	24	435		N/A	Y	N	Y
ISHARES MSCI EMERGING MKT IN	ETP		464287234	22,581	463,953		N/A	Y	N	Y
JPMORGAN CHASE & CO		Common Stock	46625H100	35,670	773,751		N/A	Y	N	Y
MICROSOFT CORP			Common Stock	594918104	11,539	454,458		N/A	Y	N	Y
MOBILE TELESYSTEMS-SP ADR	ADR		607409109	37,070	1,746,098	N/A	Y	N	Y
PETROLEO BRASILEIRO S.A.-ADR	ADR		71654V408	63,934	1,581,361	N/A	Y	N	Y
RESEARCH IN MOTION		Common Stock	760975102	3,336	59,000		N/A	Y	N	Y
SPDR GOLD TRUST			ETP		78463V107	31,577	225,773		N/A	Y	N	Y
TELE NORTE LESTE PART-ADR	ADR		879246106	2,201	125,528		N/A	Y	N	Y
VALE SA-SP ADR			ADR		91912E105	21,685	650,237		N/A	Y	N	Y
VIMPELCOM LTD-SPON ADR		ADR		92719A106	8,315	588,904		N/A	Y	N	Y
VIVO PARTICIPACOES SA-ADR	ADR		92855S200	9,487	234,936		N/A	Y	N	Y