WAM ALTERNATIVE ASSETS LIMITED — Net Asset Value 2015

Aug 13, 2015

MONTHLY UPDATE JULY 2015

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NET TANGIBLE ASSETS – AS AT 31 JULY 2015[1]

NET TANGIBLE ASSETS – AS AT 31 JULY 2015 1
Net Tangible Assets (NTA) per share (pre tax)	$1.0552
Net Tangible Assets (NTA) per share (post tax)	$1.0425

1. NTA figures in this report are unaudited and no adjustments have been made for future exercises of the BAFO options (exercise price $0.9827 per option). The pre-tax NTA would be approximately $1.0242 per share if all of the BAFO options had been exercised on 31 July 2015.

FUND NTA PERFORMANCE

Period	Pre-Tax	Post-Tax
1 month	1.38%	0.97%
3 months	6.59%	4.99%
6 months	9.41%	6.91%
12 months	9.11%	6.71%

NET TANGIBLE ASSETS – SINCE INCEPTION

$0.90 $0.92 $0.94 $0.96 $0.98 $1.00 $1.02 $1.04 $1.06 (date of listing)	Jun-14 16 June 2014 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Jul-15 Jun-15 May-15
	PORTFOLIO VALUATION2
	Current value ($’m) % of Portfolio
PRIVATE	EQUITY AND VENTURE CAPITAL
Private Equity $18.31 21.1%
Venture Capital $3.81 4.4%
Subtotal $22.12 25.5%
REAL ASSETS
Water Fund $27.64 31.8%
Other Real Assets $6.20 7.2%
Subtotal $33.84 39.0%
PRIVATE REAL ESTATE
Residential Development $8.87 10.2%
Commercial Asset Management $11.43 13.2%
Residential Asset Management $2.38 2.7%
Subtotal $22.68 26.1%
HEDGE FUNDS
SRA Alliance Fund (Diversifed Quant) $4.79 5.5%
Subtotal $4.79 5.5%
Cash $3.42 3.9%
GRAND TOTAL $86.85 100.0%

1. Figures in this report are unaudited. The current value for each investment in the table above is consistent with the Alternatives Fund’s investment valuation policy, which may be found at blueskyfunds.com.au/alternativesfund. Note that the total value of the investment portfolio will not directly reconcile to the NTA due to the impact of interest revenue, management fees, accrued performance fees, etc.

Important Notice: BSAAF Management Pty Ltd ACN 168 923 279 (‘Manager’) has prepared the information in this announcement. This announcement has been prepared for the purposes of providing general information only and does not constitute an offer, invitation, solicitation or recommendation with respect to the purchase or sale of any securities in the Alternatives Fund nor does it constitute financial product or investment advice nor take into account your investment objectives, taxation situation, financial situation or needs. An investor must not act on the basis of any matter contained in this announcement in making an investment decision but must make its own assessment of the Alternatives Fund and conduct its own investigations and analysis. Past performance is not a reliable indicator of future performance. Further, forward looking statements, including projections, guidance on future earnings, opinions and estimates in this announcement (‘Forward Looking Statements’) are based on assumptions and contingencies which are subject to change, as are statements about market and industry trends, which are based on interpretations of current market conditions. These statements are also subject to known and unknown risks and uncertainties many of which are outside the control of the Manager or the Alternatives Fund. Forward Looking Statements are provided as a general guide only and should not be relied upon as an indication or guarantee of future performance.

SECTOR WEIGHTINGS

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Cash
3.9%
Hedge
Funds Private Equity
and
5.5%
Private Venture Capital
Real Estate 25.5%
26.1%
Real Assets
39.0%
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ABOUT THE ALTERNATIVES FUND

Blue Sky Alternatives Access Fund Limited (‘Alternatives Fund’) is a listed investment company that invests in a diverse range of alternative assets including:

• Private equity and venture capital;

• Real assets;

• Private real estate; and

• Hedge funds.

The Alternatives Fund is the only listed investment company on the Australian Securities Exchange (‘ASX’) that allows investors to make a strategic allocation to a diverse portfolio of directly managed alternative assets.

The Alternatives Fund is listed on the ASX under the code BAF, with options in the Alternatives Fund trading under the code BAFO.

OBJECTIVES OF THE ALTERNATIVES FUND

The primary objectives of the Alternatives Fund are to:

• Deliver long term absolute returns to shareholders, comprised of both capital appreciation and a dividend yield (franked to either 100% or the maximum extent possible);

• Provide investors with access to a diverse range of alternative assets; and

• Provide investors with the ability to invest in alternative assets through an ASX listed structure that is more readily accessible and liquid than is typical for many alternative assets.

MANAGER OF THE ALTERNATIVES FUND

BSAAF Management Pty Limited (‘Manager’) is the manager of the Alternatives Fund. All investments made by the Manager on behalf of the Alternatives Fund are directly managed by wholly owned subsidiaries of Blue Sky Alternative Investments Limited (ASX:BLA) (‘Blue Sky’).

Blue Sky has in excess of $1 billion in assets under management and an eight year track record of generating overall returns to investors in its funds of 15.3% p.a. (net of fees, since inception).[3]

1. Overall returns to investors in Blue Sky managed funds are equity weighted. For more details, please refer to BLA’s regular ASX announcements on the investment performance of its funds. Please also note that past performance is not a reliable indicator of future performance.

FURTHER INFORMATION

Portfolio manager: Alexander McNab

Portfolio manager contact: amcnab@blueskyfunds.com.au Website: blueskyfunds.com.au/alternativesfund Investor enquiries: investorservices@alternativesfund.com.au Phone: +61 7 3270 7500

MONTHLY UPDATE JULY 2015

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NEW INVESTMENTS

The Alternatives Fund made no new investments in July 2015.

INVESTMENT PERFORMANCE – EXISTING INVESTMENTS

The post-tax NTA of the Alternatives Fund increased by $0.0101 per share or 0.97% in July. Material changes that affected NTA were:

• Water Fund

The Alternatives Fund’s investment in the Water Fund increased by 3.55% in July (before payment of the distribution mentioned below), extending the investment’s run of 14 consecutive positive monthly returns since investment. The Water Fund paid a 2.0% unfranked distribution in July, representing a distribution of some of the Water Fund’s income from the year ending 30 June 2015.

In July, the Water Fund received its first allocations for the 2015/16 season, with prices opening briefly at $150/ML and immediately rising to $200/ML following below average rainfall in the southern Murray Darling Basin through July. With a developing theme of low water availability from El Nino conditions, these allocations will be progressively sold to primary producers over the next several months as the season and annual rainfall forecasts develop, in turn generating a large portion of the Water Fund’s annual income.

• SRA Alliance Fund (Diversified Quant) (formerly IS 16Q)

The Diversified Quant (formerly known as IS 16Q) fund returned 1.3% in July. The largest position in the portfolio, a short strategy for Australian dollars, positively contributed to the portfolio’s performance as the currency depreciated 5.3% against the US dollar. However, the gain was partly offset by other currencies also depreciating versus the USD as well as falling prices across some commodities.

In August the Diversified Quant portfolio has maintained its bearish bias, preserving its short position in the Australian dollar. Other key positions from which the portfolio will benefit from are reductions in interest rates, particularly in the US and Australia, and in prices of the Australian dollar, oil, natural gas, and US small and mid cap stocks.

Important Notice: BSAAF Management Pty Ltd ACN 168 923 279 (‘Manager’) has prepared the information in this announcement. This announcement has been prepared for the purposes of providing general information only and does not constitute an offer, invitation, solicitation or recommendation with respect to the purchase or sale of any securities in the Alternatives Fund nor does it constitute financial product or investment advice nor take into account your investment objectives, taxation situation, financial situation or needs. An investor must not act on the basis of any matter contained in this announcement in making an investment decision but must make its own assessment of the Alternatives Fund and conduct its own investigations and analysis. Past performance is not a reliable indicator of future performance. Further, forward looking statements, including projections, guidance on future earnings, opinions and estimates in this announcement (‘Forward Looking Statements’) are based on assumptions and contingencies which are subject to change, as are statements about market and industry trends, which are based on interpretations of current market conditions. These statements are also subject to known and unknown risks and uncertainties many of which are outside the control of the Manager or the Alternatives Fund. Forward Looking Statements are provided as a general guide only and should not be relied upon as an indication or guarantee of future performance.

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Fund name Amount invested4 Date invested5 % allocated capital Target IRR6 Anticipated exit7 Description			Holds equity in Foundation Early Learning Limited, a premium Australian child care operator.	Holds equity in Wild Breads Pty Ltd, a leading business in the rapidly growing artisan and specialty bread category in Australia.	Holds equity in Readify Pty Ltd, a leading Australian IT-services company focused on application development and platform deployment in the Microsoft environment.	Holds equity in Hospital Pharmacy Services Pty Ltd, Australia’s largest outsourced hospital and oncology pharmacy business.	To hold equity in Origo Education, a rapidly growing Australian business providing digital and print education instructional materials to in the United States of America, Australia, Canada and New Zealand.	To hold equity in the GM Hotels, a portfolio of three freehold and seven long-term leasehold hotels in South Australia.			A fund to invest in a diversifed portfolio of venture capital investments, the frst being Parcel Point, logistics software developer and operator of Australia’s largest network of consumer parcel collection points outside of Australia Post.	Total Venture Capital 4,000,000 4.9% 30.0% Total Private Equity & Venture Capital 21,800,000 26.6% Important Notice:BSAAF Management Pty Ltd ACN 168 923 279 (‘Manager’) has prepared the information in this announcement. This announcement has been prepared for the purposes of providing general information only and does not constitute an offer, invitation, solicitation or recommendation with respect to the purchase or sale of any securities in the Alternatives Fund nor does it constitute fnancial product or investment advice nor take into account your investment objectives, taxation situation, fnancial situation or needs. An investor must not act on the basis of any matter contained in this announcement in making an investment decision but must make its own assessment of the Alternatives Fund and conduct its own investigations and analysis. Past performance is not a reliable indicator of future performance. Further, forward looking statements, including projections, guidance on future earnings, opinions and estimates in this announcement (‘Forward Looking Statements’) are based on assumptions and contingencies which are subject to change, as are statements about market and industry trends, which are based on interpretations of current market conditions. These statements are also subject to known and unknown risks and uncertainties many of which are outside the control of the Manager or the Alternatives Fund. Forward Looking Statements are provided as a general guide only and should not be relied upon as an indication or guarantee of future performance. 4. Total capital deployed to date, inclusive of follow-on investments and net of capital returned. 5. Date of initial investment. 6. These fgures represent the Manager’s general expectations as to the returns the relevant asset class can generate over time. These fgures are not intended to represent a forecast or guidance and do not take into account the performance to date of the existing portfolio of investments or the Manager’s view on the likely future performance of any one or more specifc assets. 7. These dates refect the most recent information provided to the Manager by the manager of the relevant fund. An exit in this context generally refers to a disposal of the underlying fund assets by the fund’s manager rather than the disposal by the Alternatives Fund of its investment (for which there is typically no secondary market or redemption mechanism). These dates are subject to change at the discretion of the relevant fund’s manager taking into account factors including investment performance and prevailing market conditions.
			2016 - 2017	2017 - 2018	2016 - 2017	2019 - 2020	2019 - 2020	2019 - 2020			2020
									25.0% - 30.0%
			4.9%	2.4%	3.4%	4.3%	1.8%	4.9%	21.7%		4.9%
			Jun-14	Jun-14	Jun-14	Dec-14	Jun-15	Jun-15			Jun-14
			4,000,000	2,000,000	2,800,000	3,500,000	1,500,000	4,000,000	17,800,000		4,000,000
	PRIVATE EQUITY & VENTURE CAPITAL	PRIVATE EQUITY	Early Learning Fund	Wild Breads Fund	Software Services Fund II	Hospital Pharmacy Services Fund	Origo Education Fund	Hotel Fund	Total Private Equity	VENTURE CAPITAL	VC2014 Fund LP

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Fund name Amount invested4 Date invested5 % allocated capital Target IRR6 Anticipated exit7 Description			Invests in a diversifed portfolio of agricultural water entitlements, largely in the Southern Murray- Darling Basin.			Holds equity in Gundaline Pty Ltd, the owner and operator of a large-scale irrigated cropping business east of Hay in NSW.	Holds equity in Water Utilities Group, which owns and operates a portfolio of high-quality water infrastructure assets.				Regina Street Greenslopes Trust 1,000,000 Jun-14 1.2% 2H FY16 A residential development of 61 apartments (29 one bedroom and 32 two bedroom) in the South Brisbane suburb of Greenslopes.	37 Regent Street Woolloongabba Trust 1,000,000 Jun-14 1.2% 1H FY17 A residential development of 44 apartments (9 one bedroom and 35 two bedroom) in the South Brisbane suburb of Wolloongabba.	Alice Street Kedron Trust 1,000,000 Jul-14 1.2% 2H FY16 A residential development of 38 apartments (5 one bedroom and 33 two bedroom) in the North Brisbane suburb of Kedron.	Logan Road Greenslopes Trust 1,000,000 Aug-14 1.2% 1H FY17 A residential development of 53 apartments (12 one bedroom, 36 two bedroom and 5 three bedroom) in the South Brisbane suburb of Greenslopes.	Main Street Kangaroo Point Trust 2,000,000 Aug-14 2.4% 1H FY17 A residential development of 104 apartments (25 one bedroom, 71 two bedroom and 8 three bedroom) in the Central Brisbane suburb of Kangaroo Point.	Important Notice:BSAAF Management Pty Ltd ACN 168 923 279 (‘Manager’) has prepared the information in this announcement. This announcement has been prepared for the purposes of providing general information only and does not constitute an offer, invitation, solicitation or recommendation with respect to the purchase or sale of any securities in the Alternatives Fund nor does it constitute fnancial product or investment advice nor take into account your investment objectives, taxation situation, fnancial situation or needs. An investor must not act on the basis of any matter contained in this announcement in making an investment decision but must make its own assessment of the Alternatives Fund and conduct its own investigations and analysis. Past performance is not a reliable indicator of future performance. Further, forward looking statements, including projections, guidance on future earnings, opinions and estimates in this announcement (‘Forward Looking Statements’) are based on assumptions and contingencies which are subject to change, as are statements about market and industry trends, which are based on interpretations of current market conditions. These statements are also subject to known and unknown risks and uncertainties many of which are outside the control of the Manager or the Alternatives Fund. Forward Looking Statements are provided as a general guide only and should not be relied upon as an indication or guarantee of future performance. 4. Total capital deployed to date, inclusive of follow-on investments and net of capital returned. 5. Date of initial investment. 6. These fgures represent the Manager’s general expectations as to the returns the relevant asset class can generate over time. These fgures are not intended to represent a forecast or guidance and do not take into account the performance to date of the existing portfolio of investments or the Manager’s view on the likely future performance of any one or more specifc assets. 7. These dates refect the most recent information provided to the Manager by the manager of the relevant fund. An exit in this context generally refers to a disposal of the underlying fund assets by the fund’s manager rather than the disposal by the Alternatives Fund of its investment (for which there is typically no secondary market or redemption mechanism). These dates are subject to change at the discretion of the relevant fund’s manager taking into account factors including investment performance and prevailing market conditions.
			Open-ended			2020	2018			RESIDENTIAL DEVELOPMENT INVESTMENTS
				10.0% - 14.0%				15.0%
			29.3%	29.3%		5.3%	3.1%	8.4% 37.7%
			Jun-14			Jun-14	Oct-14
			24,000,000	24,000,000		4,365,000	2,802,500	6,447,500 30,447,500
	REAL ASSETS:	WATER RIGHTS	Water Fund	Total Water Rights	OTHER REAL ASSETS	Agriculture Fund	Water Utilities Australia Fund II	Total Other Real Assets Total Real Assets	PRIVATE REAL ESTATE:

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single-tenant industrial manufacturing, distribution and office
2
land holding in the Brisbane suburb of Darra.
2
Description A residential development of 65 apartments (2 one bedroom, 49 two bedroom and 14 three bedroom) in the North Brisbane suburb of Windsor. A residential development of a 82 apartments (28 one bedroom, 50 two bedroom and 4 three bedroom) in the Central Brisbane suburb of Kangaroo Point. A residential development of 112 apartments (30 one-bedroom and 82 two-bedroom) in South Brisbane suburb of Greenslopes. To hold the freehold title to a 3,479m facility sited on a 7,254m A social accommodation development project consisting of a 12 storey, purpose-built, 283 bed student accommodation building in the Brisbane suburb of Woolloongabba. A social accommodation development project consisting of a purpose-built, 733 bed student accommodation building in South Brisbane. A project to develop and operate a purpose-built, 789-bed student accommodation precinct on La Trobe street in the Melbourne CBD and in close proximity to six university campuses. A social accommodation project to develop and operate a 400 bed purpose-built student accommodation facility in the West End of Adelaide. Management rights for the 3 tower, 788 apartment ‘Southport Central’ precinct on the Gold Coast, plus the freehold title to the manager’s office.
7
Anticipated exit 2H FY16 2H FY17 1H FY18 2018 2020 2020 - 2021 2022 2022 2017
6
Target IRR
20.0% - 25.0% 13.0% - 18.0% 12.0% - 16.0%
% allocated capital 1.2% 2.4% 1.2% 12.2% 2.4% 1.8% 6.1% 3.1% 1.2% 14.6% 2.7% 2.7% 29.5%
Date 5 Aug-14 Sep-14 Jun-15 Dec-14 Dec-14 Mar-15 Jun-15 Jun-15 Oct-14
invested
Amount 4
invested 1,000,000 2,000,000 1,000,000 10,000,000 2,000,000 1,500,000 5,000,000 2,500,000 1,000,000 12,000,000 2,200,000 2,200,000 24,200,000
BSAAF Management Pty Ltd ACN 168 923 279 (‘Manager’) has prepared the information in this announcement. This announcement has been prepared for the purposes of providing general information only and does not constitute an offer, invitation, solicitation or recommendation with respect to the purchase or sale of any securities in the Alternatives Fund nor
Fund name Granston Street Windsor Trust Duke St Kangaroo Point Trust Flora Street Greenslopes Trust Total Residential Development investments COMMERCIAL ASSET MANAGEMENT INVESTMENTS Darra Industrial Income Fund Student Accommodation Fund Student Accommodation Fund II Student Accommodation Fund III Student Accommodation Fund IV Total Commercial Asset Management Investments RESIDENTIAL ASSET MANAGEMENT INVESTMENTS Management Rights Income Fund IV Total Residential Asset Management investments Total Private Real Estate Total capital deployed to date, inclusive of follow-on investments and net of capital returned. Date of initial investment. These figures represent the Manager’s general expectations as to the returns the relevant asset class can generate over time. These figures are not intended to represent a forecast or guidance and do not take into account the performance to date of the existing portfolio of investments or the Manager’s view on the likely future performance of any one or more specific assets. These dates reflect the most recent information provided to the Manager by the manager of the relevant fund. An exit in this context generally refers to a disposal of the underlying fund assets by the fund’s manager rather than the disposal by the Alternatives Fund of its investment (for which there is typically no secondary market or redemption mechanism). These dates are subject to change at the discretion of the relevant fund’s manager taking into account factors including investment performance and prevailing market conditions.
4. 5. 6. 7. Important Notice: does it constitute financial product or investment advice nor take into account your investment objectives, taxation situation, financial situation or needs. An investor must not act on the basis of any matter contained in this announcement in making an investment decision but must make its own assessment of the Alternatives Fund and conduct its own investigations and analysis. Past performance is not a reliable indicator of future performance. Further, forward looking statements, including projections, guidance on future earnings, opinions and estimates in this announcement (‘Forward Looking Statements’) are based on assumptions and contingencies which are subject to change, as are statements about market and industry trends, which are based on interpretations of current market conditions. These statements are also subject to known and unknown risks and uncertainties many of which are outside the control of the Manager or the Alternatives Fund. Forward Looking Statements are provided as a general guide only and should not be relied upon as an indication or guarantee of future performance.
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Water Fund Open-ended Open-ended
SRA Alliance Fund (Diversified Quant)
2022 2022
Fund III Fund IV
Student Accommodation Student Accommodation
2020
Fund II
VC2014 Fund 2020 - 2021
Student Accommodation
Fund 2020 2020
Agriculture Fund
Student Accommodation
2019
Hotel Fund
Origo 2019 2019
Education Fund Services Fund
Hospital Pharmacy
Description A portfolio of quantitative trading strategies, diversified across currency, commodity, equity and interest rate markets, utilising derivatives and short selling in its strategy execution.
2018 2018
7
exit Darra Industrial Income Fund Water Utilities Australia Fund II
Anticipated Open-ended
6 1H FY18
Flora Street
Greenslopes Trust
Cash +
Target IRR
6.0% - 10.0% 2017 2017
Wild Breads Fund Income Fund IV
Management Rights
capital 6.2% 6.2% 100.0%
Duke St 2H FY17
% allocated 7
5 1H FY17 Kangaroo Point Trust
Date 37 Regent Street
Jun-14 Woolloongabba Trust
invested
4
Amount Logan Road 1H FY17 Main Street 1H FY17
invested 5,079,864 5,079,864 81,527,364 Greenslopes Trust Kangaroo Point Trust
6 2016 2016
Fund II
Early Learning Fund Software Services
2H FY16
Alice Street Kedron Trust
BSAAF Management Pty Ltd ACN 168 923 279 (‘Manager’) has prepared the information in this announcement. This announcement has been prepared for the purposes of providing general information only and does not constitute an offer, invitation, solicitation or recommendation with respect to the purchase or sale
Trust
2H FY16 2H FY16
Fund name HEDGE FUNDS: SRA Alliance Fund (Diversified Quant) Total Hedge Funds Total portfolio performance of any one or more specific assets. redemption mechanism). These dates are subject to change at the discretion of the relevant fund’s manager taking into account factors including investment performance and prevailing market conditions. Granston Street Windsor Trust
4. Total capital deployed to date, inclusive of follow-on investments and net of capital returned. 5. Date of initial investment. 6. These figures represent the Manager’s general expectations as to the returns the relevant asset class can generate over time. These figures are not intended to represent a forecast or guidance and do not take into account the performance to date of the existing portfolio of investments or the Manager’s view on the likely future 7. These dates reflect the most recent information provided to the Manager by the manager of the relevant fund. An exit in this context generally refers to a disposal of the underlying fund assets by the fund’s manager rather than the disposal by the Alternatives Fund of its investment (for which there is typically no secondary market or TIMELINE – EXIT HORIZON FOR ALL INVESTMENTS Important Notice: of any securities in the Alternatives Fund nor does it constitute financial product or investment advice nor take into account your investment objectives, taxation situation, financial situation or needs. An investor must not act on the basis of any matter contained in this announcement in making an investment decision but must make its own assessment of the Alternatives Fund and conduct its own investigations and analysis. Past performance is not a reliable indicator of future performance. Further, forward looking statements, including projections, guidance on future earnings, opinions and estimates in this announcement (‘Forward Looking Statements’) are based on assumptions and contingencies which are subject to change, as are statements about market and industry trends, which are based on interpretations of current market conditions. These statements are also subject to known and unknown risks and uncertainties many of which are outside the control of the Manager or the Alternatives Fund. Forward Looking Statements are provided as a general guide only and should not be relied upon as an indication or guarantee of future performance.
Regina Street Greenslopes
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