WAM ALTERNATIVE ASSETS LIMITED - Net Asset Value 2016

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12 February 2016

Dear Shareholder

Blue Sky Alternatives Access Fund Limited (ASX:BAF) – Net Tangible Assets (‘NTA’) per share increase for January 2016

BAF is pleased to release its NTA report for the month ended 31 January 2016, with a pre-tax NTA increase to $1.0757 per share, a gain of 0.68% for the month.

The gain this month was primarily driven by the continued accretion in value of BAF’s allocation to the Blue Sky Water Fund and strong performance by the Blue Sky Dynamic Macro Hedge Fund, to which BAF also has an allocation. Specifically:

Blue Sky Water Fund – The value of BAF’s units in the Blue Sky Water Fund increased by 2.0% in January, predominately due to a rise in the market value of the Fund’s water entitlements, although some gains were also realised through the sale of water allocations received during the year. BAF’s allocation to the Water Fund represents 24% of its total Net Asset Value as at 31 January. The Water Fund provides a unique opportunity for both yield and long term capital gains, driven by growing Asian demand for food security and the shift towards the higher economic use of agricultural land and water in Australia.
Dynamic Macro Hedge Fund – BAF’s investment in the Blue Sky Dynamic Macro Hedge Fund portfolio returned 13.5% in January. Pleasingly, the allocation to this Fund has delivered on its goal of providing a hedge against global market volatility.

BAF’s asset class allocations as at 31 January 2016 are as follows:

Asset class	Weight (%)
Private Equity & Venture Capital	23.2%
Real Assets	30.8%
Private Real Estate	29.6%
Hedge Funds	7.7%
Cash	8.7%
Total	100.0%

BAF 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.

Yours faithfully,

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Andrew Champion Executive Director

Important note

BSAAF Management Pty Ltd ABN 82 168 923 279 has prepared the information in this document. This document has been prepared for the purpose of providing general information only, without taking account of any particular investor’s objectives, financial situation or needs. It is not an offer or invitation for subscription or purchase, or a recommendation of any financial product and is not intended to be relied upon by investors in making an investment decision. Past performance is not a reliable indicator of future performance.

MONTHLY UPDATE JANUARY 2016

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NET TANGIBLE ASSETS – AS AT 31 JANUARY 2016 1
Net Tangible Assets (NTA) per share (pre tax)	$1.0757
Net Tangible Assets (NTA) per share (post tax)	$ 1.0490

NTA figures in this report are unaudited.

NET TANGIBLE ASSETS – SINCE INCEPTION[2]

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$1.09
$1.06
$1.04
$1.02
$0.99
$0.97
$0.95
$0.92
$0.9
16 June 2014 Jun Sep Dec Mar Jun Sep Dec Jan
(date of listing) 14 14 14 15 15 15 15 16
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FUND PERFORMANCE[3]

Period	Pre-Tax	Post-Tax
1 month	0.66%	0.48%
3 months	2.61%	1.99%
6 months	6.00%	4.73%
12 months	15.98%	11.97%

Includes NTA growth, dividends and franking credits.

SECTOR WEIGHTINGS

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Cash
Hedge 8.7% Private Equity
Funds and
7.7% Venture Capital
23.2%
Private
Real Estate
29.6%
Real Assets
30.8%
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PORTFOLIO VALUATION[2]

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Current value ($’m) % of Portfolio
PRIVATE EQUITY AND VENTURE CAPITAL
Private Equity $24.43 17.7%
Venture Capital $7.51 5.5%
Subtotal $31.94 23.2%
REAL ASSETS
Water Fund $32.23 23.4%
Other Real Assets $10.19 7.4%
Subtotal $42.42 30.8%
PRIVATE REAL ESTATE
Residential Development $17.35 12.6%
Commercial Asset Management $21.05 15.3%
Residential Asset Management $2.28 1.7%
Subtotal $40.68 29.6%
HEDGE FUNDS
Alliance Fund $10.66 7.7%
Subtotal $10.66 7.7%
Cash $11.99 8.7%
GRAND TOTAL $137.69 100.0%
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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.

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.

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 $1.35 billion in assets under management and an eight year track record of generating overall returns to investors in its funds of 15.4% p.a. (net of fees, since inception).[4]

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

Executive Director: Andrew Champion Contact: [email protected] Website: blueskyfunds.com.au/alternativesfund

Investor enquiries: [email protected] Phone: +61 7 3270 7500

MONTHLY UPDATE JANUARY 2016

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NEW INVESTMENTS

The Alternatives Fund did not make any new investments in the month of January.

INVESTMENT PERFORMANCE - EXISTING INVESTMENTS

The pre-tax NTA of the Alternatives Fund increased by $0.0073 per share or 0.68% in January to $1.0757. The increase was primarily driven by a rise in the value of the Alternative Fund’s allocations to the Water Fund and the Dynamic Macro Hedge Fund.

• Dynamic Macro Hedge Fund

The value of the Alternatives Fund’s units in the Dynamic Macro Hedge Fund rose by 13.5% in January, performing strongly in a period of significant volatility in equities markets. As detailed in December’s NTA report, the Dynamic Macro Fund is a portfolio of quantitative trading strategies diversified across currency, commodity, equity and interest rate markets. The Fund uses derivatives and short selling in its strategy execution, through a proprietary econometric method of allocating risk.

Pleasingly, the portfolio achieved its goal of providing a hedge against global market volatility.

• Diversified Quant Hedge Fund

The Alternative Fund’s allocation to the Diversified Quant Hedge Fund provided a positive return of 0.9% in January, achieving its goal of providing a return which is not correlated to equities markets.

• Water Fund

The value of the Alternatives Fund’s units in the Blue Sky Water Fund increased by 2.0% in January, largely reflecting continued accretion in the value of water entitlements held in the Portfolio. The Fund also completed, and realised gains on, additional sales of water previously allocated to the Portfolio in this year.

After a very dry December, widespread summer rains provided some welcome relief to the majority of the Murray-Darling Basin (‘MDB’) from mid-January. While the rains did provide some great benefit to farmers and graziers in isolated districts, it was insufficient to create any significant river in-flows. Irrigation farmers in the southern MDB have now had sufficient water to make their crops this summer and harvest season is now gearing up across a large range of food and fibre crops. Water entitlement price gains are expected to be more modest for the next few months in anticipation of the winter rainfall season and until irrigators begin focusing on water requirements for their next crop.

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		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.	Holds 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.	Holds equity in the GM Hotels, a portfolio of three freehold and seven long-term leasehold hotels in South Australia.	To hold equity in a branded Australian retail business.			A fund to invest in a diversifed portfolio of venture capital investments.	To hold equity in Shoes of Prey, a rapidly growing fashion footwear company that has developed a unique platform enabling customised women’s footwear to be manufactured and sold ‘on demand’.	To hold equity in a leading and rapidly growing Australian e-commerce business.
		CY16 - CY17	CY17 - CY18	CY16 - CY17	CY19 - CY20	CY19 - CY20	CY19 - CY20	CY19 - CY20			CY20	CY20	CY19 - CY20
									25.0% - 30.0%
		3.5%	1.7%	2.4%	3.0%	1.3%	5.2%	3.5%	20.5%		3.5%	0.9%	2.6%
		Jun-14	Jun-14	Jun-14	Dec-14	Jun-15	Jun-15	Dec-15			Jun-14	Oct-15	Dec-15
		4,000,000	2,000,000	2,800,000	3,500,000	1,500,000	6,000,000	4,000,000	23,800,000		4,000,000	1,000,000	3,000,000
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	Retail9Fund	Total Private Equity	VENTURE CAPITAL	VC2014 Fund LP	Shoes of Prey Fund	e-Commerce9Fund

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MONTHLY UPDATE JANUARY 2016
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		Invests in a diversifed portfolio of agriculutral 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 the freehold property and business assets comprising Hillston Citrus, an irrigated citrus orchard near Hillston in NSW.	Hold equity in Water Utilities Group, which owns and operates a portfolio of high-quality water infrastructure assets.
		Open-ended			CY20	CY22	CY18			RESIDENTIAL DEVELOPMENT INVESTMENTS
			10.0% - 14.0%					15.0%
		20.7%	20.7%		3.8%	3.5%	2.2%	9.4% 30.1%
		Jun-14			Jun-14	Oct-15	Oct-14
		24,000,000	24,000,000		4,365,000	4,000,000	2,500,000	10,865,000 34,865,000
REAL ASSETS	WATER RIGHTS	Water Fund	Total Water Rights	OTHER REAL ASSETS	Agriculture Fund	Agriculture Fund II	Water Utilities Australia Fund II	Total Other Real Assets Total Real Assets	PRIVATE REAL ESTATE

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Fund name Amount invested5 Date invested6 % allocated capital Target IRR7 Anticipated exit8 Description Main Street Kangaroo Point Trust 2,000,000 Aug-14 1.7% 2H 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.	Grantson Street Windsor Trust 1,000,000 Aug-14 0.9% 1H FY17 A residential development of 65 apartments (2 one bedroom, 49 two bedroom and 14 three bedroom) in the North Brisbane suburb of Windsor.	Duke Street Kangaroo Point Trust 2,000,000 Sep-14 1.7% 2H FY17 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.	Flora Street Greenslopes Trust 1,000,000 Jun-15 0.9% 1H FY18 A residential development of 112 apartments (30 one bedroom and 82 two bedroom) in the South Brisbane suburb of Greenslopes.	19 Railway Terrace Milton Trust 2,000,000 Sep-15 1.7% 1H FY18 A residential development of 82 apartments (11 one bedroom, 65 two bedroom and 6 three bedroom) in the Brisbane suburb of Milton.	Wellington Road East Brisbane Trust 2,000,000 Sep-15 1.7% 1H FY18 A residential development of 71 apartments (17 one bedroom, 46 two bedroom and 8 three bedroom) in the Brisbane suburb of East Brisbane.	Wellington Road East Brisbane Trust II 1,000,000 Nov-15 0.9% 2H FY18 The second stage of the Wellington Road East Brisbane development, consisting of 75 apartments (17 one bedroom, 50 two bedroom and 8 three bedroom).	High Street Lutwyche Trust 1,000,000 Nov-15 0.9% 2H FY18 A residential development of 59 apartments (14 one bedroom, 44 two bedroom and 1 three bedroom) in the North Brisbane suburb of Lutwyche.	Total Residential Development investments 16,000,000 13.8% 20.0% - 25.0%	COMMERCIAL ASSET MANAGEMENT INVESTMENTS	Darra Industrial Income Fund 2,000,000 Dec-14 1.7% CY18 To hold the freehold title to a 3,479m2single-tenant industrial manufacturing, distribution and offce facility sited on a 7,254m2land holding in the Brisbane suburb of Darra.	Student Accommodation Fund 1,500,000 Dec-14 1.3% CY20 A project to develop and operate a purpose-built, 286 bed student accommodation precinct in the Brisbane suburb of Woolloongabba, close to several large tertiary education institutions.	Student Accommodation Fund II 5,000,000 Mar-15 4.3% CY20 - CY21 A project to develop and operate a purpose-built, 733 bed student accommodation precinct in the Brisbane suburb of South Brisbane, close to several large tertiary education institutions.	Student Accommodation Fund III 6,000,000 Jun-15 5.2% CY22 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.	5. Total capital deployed to date, inclusive of follow-on investments and net of capital returned. 6. Date of initial investment. 7. 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. 8. 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

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Description A project to develop and operate a purpose-built, 415 bed student accommodation precinct on Waymouth Street in Adelaide’s West End, close to Uni SA, Adelaide Uni and a new $3b health and biomedical precinct. A project to develop and operate a purpose-built, 175-bed student accommodation precinct on Peel Street, North Melbourne opposite the University of Melbourne Parkville Campus. Management rights for the 3 tower, 788 apartment ‘Southport Central’ precinct on the Gold Coast, plus the freehold title to the manager’s office. A portfolio of quantitative trading strategies, diversified across currency, commodity, equity and interest rate markets, utilising derivatives and short selling in its strategy execution and a quantitative method of allocating risk. A portfolio of quantitative trading strategies, diversified across currency, commodity, equity and interest rate markets, utilising derivatives and short selling in its strategy execution and an econometric method of allocating risk.
8
Anticipated exit CY22 CY22 CY17 Open-ended Open-ended
7 10.0%
Target IRR
13.0% - 18.0% 12.0% - 16.0% Cash + 6.0% -
% allocated capital 3.0% 2.6% 18.1% 1.9% 1.9% 33.8% 4.3% 4.3% 8.6% 100.0%
Date 6 Jun-15 Nov-15 Oct-14 Jun-14 Dec-15
invested
Amount 5
invested 3,500,000 3,000,000 21,000,000 2,200,000 2,200,000 39,200,000 5,015,200 5,000,000 10,015,200 115,880,200
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
Fund name Student Accommodation Fund IV Student Accommodation Fund 5 Total Commercial Asset Management Investments RESIDENTIAL ASSET MANAGEMENT INVESTMENTS Management Rights Income Fund IV Total Residential Asset Management investments Total Private Real Estate HEDGE FUNDS Alliance Fund (Diversified Quant) Alliance Fund (Dynamic Macro) Total Hedge Funds Total portfolio
5. 6. 7. 8.
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MONTHLY UPDATE JANUARY 2016

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TIMELINE – EXIT HORIZON FOR ALL INVESTMENTS[8]

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2H FY16	Alice Street Kedron Trust
CY16	Software Services Fund II
	Early Learning Fund
1H FY17	Grantson Street Windsor Trust
	Regina Street Greenslopes Trust
	Logan Road Greenslopes Trust
	37 Regent Street Woolloongabba Trust
2H FY17	Duke St Kangaroo Point Trust
	Main Street Kangaroo Point Trust
CY17	Wild Breads Fund
	Management Rights Income Fund IV
1H FY18	Wellington Road East Brisbane Trust
	Flora Street Greenslopes Trust
	19 Railway Terrace Milton Trust
2H FY18	High Street Lutwyche Trust
	Wellington Road East Brisbane Trust II
CY18	Darra Industrial Income Fund
	Water Utilities Australia Fund II
CY19	Origo Education Fund
	Hotel Fund
	Hospital Pharmacy Services Fund
	Retail Fund
	E-Commerce Fund
CY20	Student Accommodation Fund
	VC2014 Fund
	Agriculture Fund
	Shoes of Prey Fund
CY20 - CY21	Student Accommodation Fund II
CY22	Agriculture Fund II
	Student Accommodation Fund III
	Student Accommodation Fund IV
	Student Accommodation Fund 5
Open-ended	SRA Alliance Fund (Diversifed Quant)
	SRA Alliance Fund (Dynamic Macro)
	Water Fund

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.

AI assistant

WAM ALTERNATIVE ASSETS LIMITED Net Asset Value 2016

66067_rns_2016-02-11_ac050105-badf-42ca-8d6a-3411b7473000.pdf

Blue Sky Alternatives Access Fund Limited (ASX:BAF) – Net Tangible Assets (‘NTA’) per share increase for January 2016

Andrew Champion Executive Director

NET TANGIBLE ASSETS – SINCE INCEPTION[2]

FUND PERFORMANCE[3]

SECTOR WEIGHTINGS

PORTFOLIO VALUATION[2]

ABOUT THE ALTERNATIVES FUND

OBJECTIVES OF THE ALTERNATIVES FUND

MANAGER OF THE ALTERNATIVES FUND

FURTHER INFORMATION

NEW INVESTMENTS

INVESTMENT PERFORMANCE - EXISTING INVESTMENTS

• Dynamic Macro Hedge Fund

• Diversified Quant Hedge Fund

• Water Fund

TIMELINE – EXIT HORIZON FOR ALL INVESTMENTS[8]

AI assistant

WAM ALTERNATIVE ASSETS LIMITED — Net Asset Value 2016

66067_rns_2016-02-11_ac050105-badf-42ca-8d6a-3411b7473000.pdf

Blue Sky Alternatives Access Fund Limited (ASX:BAF) – Net Tangible Assets (‘NTA’) per share increase for January 2016

Andrew Champion Executive Director

NET TANGIBLE ASSETS – SINCE INCEPTION[2]

FUND PERFORMANCE[3]

SECTOR WEIGHTINGS

PORTFOLIO VALUATION[2]

ABOUT THE ALTERNATIVES FUND

OBJECTIVES OF THE ALTERNATIVES FUND

MANAGER OF THE ALTERNATIVES FUND

FURTHER INFORMATION

NEW INVESTMENTS

INVESTMENT PERFORMANCE - EXISTING INVESTMENTS

• Dynamic Macro Hedge Fund

• Diversified Quant Hedge Fund

• Water Fund

TIMELINE – EXIT HORIZON FOR ALL INVESTMENTS[8]

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WAM ALTERNATIVE ASSETS LIMITED Net Asset Value 2016