WAM ALTERNATIVE ASSETS LIMITED — Net Asset Value 2017

Nov 13, 2017

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14 November 2017

Dear Shareholder

Blue Sky Alternatives Access Fund Limited (ASX:BAF) (the ‘Alternatives Fund’) – Net Tangible Assets (‘NTA’) per share for October 2017

The Alternatives Fund is pleased to report a pre-tax NTA increase to $1.1283 per share in October, a gain of 0.8%.

Key highlights for the month include:

• Realised investments ~ partial exit proceeds received from two residential development projects and a final exit payment from one Real Assets fund;

• Investment performance ~ an uplift in the carrying value of the Alternatives Fund’s investments in the Water Fund, Sunfresh Fund and Student Accommodation Fund V;

• Yield ~ receipt of cash yield from four funds; and

• New investments ~ a $0.7 million follow-on growth capital investment into a private equity portfolio company.

During October the Alternatives Fund launched a 1 for 4 non-renounceable Entitlement Offer and Shortfall Facility ( Offer ) to raise gross proceeds of approximately $48.9 million at $1.14 per share. On 9 November the Offer was closed heavily oversubscribed. The Offer had no impact on NTA for the month of October. Proceeds from the Entitlement Offer will be used to continue to grow and diversify the Alternatives Fund’s portfolio.

Further details on the Entitlement Offer can be found under the Alternatives Fund’s announcements on the ASX.

We look forward to bringing you our next investor update in relation to November 2017.

Yours faithfully

Andrew Champion Executive Chairman

I mportant 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.

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MONTHLY UPDATE OCTOBER 2017

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NET TANGIBLE ASSETS – AS AT 31 OCTOBER 20171
Net Tangible Assets (NTA) per share (pre-tax)	$ 1.1283
Net Tangible Assets (NTA) per share (post-tax)	$ 1.0987

1. NTA figures in this report are unaudited.

PRE-TAX NET TANGIBLE ASSETS – SINCE INCEPTION

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1.3
5.0 cent dividend
4.0 cent dividend
1.2
3.0 cent dividend
1.1
1.0 options exercised 1.0 cent dividend
0.9
16 June 2014
(date of listing)
Fully franked
Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep-17 Dec-17
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PORTFOLIO VALUATION[2]

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Current value ($’m) % of Portfolio
PRIVATE EQUITY
Growth Capital $40.83 21.2%
Venture Capital $11.94 6.2%
Subtotal $52.77 27.4%
REAL ASSETS
Water Fund $33.05 17.2%
Strategic Australian Agriculture Fund $3.74 2.0%
Other Real Assets $15.19 7.9%
Subtotal $51.98 27.1%
PRIVATE REAL ESTATE
Residential Development $8.54 4.4%
Retirement Living $14.67 7.6%
Student Accommodation $39.45 20.5%
Cove and Other Real Estate $13.84 7.2%
Subtotal $76.50 39.7%
Cash [3] $10.86 5.8%
GRAND TOTAL $192.11 100.0%
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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.

2. Includes capital to fund the remaining $11.25 million of the $15.0 million commitment to the Strategic Australian Agriculture Fund, which will be called progressively over a three year investment period which commenced in July 2017.

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.

FUND PERFORMANCE[4]

Period	Pre-Tax	Post-Tax
1 month	0.77%	0.70%
3 months	3.21%	2.90%
6 months	9.18%	7.33%
12 months	11.61%	11.16%
Since inception (per annum)	9.84%	8.93%
Since inception (total)	37.31%	33.50%

1. Includes NTA growth, dividends and franking credits.

SECTOR WEIGHTINGS

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Cash
Cove 5.8%
& Other
Real Estate Growth Capital
21.2%
7.2% Private Equity
Student Venture Real Assets
Accommodation Capital
20.5% 6.2%
Private Real Estate
Water Fund
Retirement 17.2%
Living Other Cash
7.6% Real
Assets
Residential 7.9% StrategicAg Fund
Development 2.0%
4.4%
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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;

• 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 $3.4 billion in fee-earning assets under management and a ten year track record of generating overall returns to investors in its funds of 15.9% p.a. (net of fees compounding since inception).[5]

1. Assets under management as at 30 September 2017. Overall returns to investors in Blue Sky managed funds are equity weighted to 30 June 2017. 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

Chairman: Andrew Champion

Email contact: achampion@blueskyfunds.com.au Website: blueskyfunds.com.au/alternativesfund Investor enquiries: investorservices@alternativesfund.com.au Phone: +61 7 3270 7500

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MONTHLY UPDATE OCTOBER 2017

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The pre-tax NTA of the Alternatives Fund increased by 0.86 cents per share, or 0.8%, in October to $1.1283 per share. The gain was the result of an uplift in the carrying value of the Alternatives Fund’s investment in one private equity investment, a student accommodation project and a positive month for the Blue Sky Water Fund.

The Alternatives Fund also received partial exit proceeds from two residential development projects, a small final payment related to the exit of a Real Assets Fund from December 2016, and yield from four funds (which had previously been accrued in NTA).

During October the Alternatives Fund launched a 1 for 4 non-renounceable Entitlement Offer and Shortfall Facility (Offer) to raise gross proceeds of approximately $48.9 million at $1.14 per share. On 9 November the Offer was closed heavily oversubscribed. The Offer had no impact on NTA for the month of October.

REALISED INVESTMENTS

• Duke Street Kangaroo Point Trust

• An initial $1.0 million capital distribution was received in October from the Duke Street Kangaroo Point Trust, representing 50% of the Alternatives Fund’s investment in this project. This trust has developed the 125 apartment residential development known as ‘The Duke’ in the central Brisbane suburb of Kangaroo Point, immediately adjacent to The Gabba sportsground. Settlements are progressing well and the fund is expected to deliver a return on invested capital of approximately 1.5x over the coming months as settlements complete.

• Grantson Street Windsor Trust

The Alternatives Fund received a further 15% profit distribution from the Grantson Street Windsor Trust during October, bringing total proceeds received to date to 1.5x invested capital. This residential development project is expected to deliver total returns of approximately 1.7x, with a final distribution expected to be received in the coming weeks.

• Water Utilities Australia Fund II

As noted in the December 2016 NTA report, Blue Sky’s investment in Water Utilities Australia Group was sold to Colonial First State’s Global Diversified Infrastructure Fund (CFS), with the majority of proceeds paid to investors at that time. Following satisfaction of certain obligations in the sale agreement with CFS, a further final distribution was paid to investors, including the Alternatives Fund, in October. This investment has returned a total of 1.1x invested capital to the Alternatives Fund.

INVESTMENT PERFORMANCE

• Blue Sky Water Fund

The Blue Sky Water Fund recorded a 1.6%[6] increase in carrying value in October. This was driven by further increases in the market price for most water entitlements within the fund’s portfolio, a result of firm demand from irrigators and investors alike in all regions in which the fund has invested.

• Blue Sky Private Equity Sunfresh Fund

Sunfresh Salads is a rapidly growing food manufacturing business based in Adelaide. Sunfresh provides chilled and frozen ready-to-eat meals to major and independent supermarkets, as well as to food service customers such as cafes and restaurants, across South Australia, Victoria and the Northern Territory.

In the period since Blue Sky’s investment, Sunfresh has had several important wins that have added materially to both revenue and operating earnings, such that the business is significantly outperforming the original investment case. Accordingly, the Alternatives Fund has recorded a c. 40% uplift in the carrying value of its investment in Sunfresh to reflect this step-change in profitability.

• Blue Sky Student Accommodation Fund V

The Blue Sky Student Accommodation Fund V is developing a 576 bed purpose-built student accommodation precinct on Peel St in North Melbourne, in close proximity to the University of Melbourne and several other CBD tertiary education institutions.

Following the achievement of several development milestones during October and the recent receipt of an updated independent valuation, the Alternatives Fund recorded a 4.0% uplift in the carrying value of its investment in this fund.

6 The monthly return reported by the Alternatives Fund is on a post-tax basis and will differ to that separately reported by the Blue Sky Water Fund which is on a pre-tax basis.

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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MONTHLY UPDATE OCTOBER 2017

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DISTRIBUTIONS

The Alternatives Fund received the following distributions during the month:

• Blue Sky Student Accommodation Fund I ~ a 3.0% regular quarterly distribution;

• Blue Sky Student Accommodation Fund II ~ a maiden distribution of 2.5%;

• Blue Sky Darra Industrial Income Fund ~ a 2.4% regular quarterly distribution; and

• Blue Sky QFS Fund ~ a quarterly distribution of 0.88%.

These distributions had previously been accrued in NTA in September 2017.

NEW INVESTMENTS

• Blue Sky SMG Fund II

During October, the Alternatives Fund deployed $0.7m into the Blue Sky Private Equity SMG Fund II. Investing pro-rata alongside other shareholders, this fund is providing follow-on growth equity to Shopper Media Group (SMG), a digital retail out-of-home media business that installs intelligent digital advertising panels, Wi-Fi and data analytics into shopping centres.

Having grown significantly since Blue Sky’s initial investment, SMG will utilise the additional equity to maintain its sales momentum and continue its rollout of Wi-Fi technology used in its advertising panels.

ENTITLEMENT OFFER

On 17 October 2017, the Alternatives Fund announced a 1 for 4 non-renounceable entitlement offer (including Top-Up Facility) of fully paid ordinary shares in the Alternatives Fund (New Shares) and Shortfall Facility to raise up to approximately $48.9 million.

The Alternatives Fund subsequently announced on 10 November 2017 that the Shortfall Facility, which opened on Thursday 9 November offering 19,812,241 New Shares, was closed on the same day heavily oversubscribed.

The Shortfall Facility was offered to investors through a book build process that was strongly supported by a wide range of investors and financial planners nationally.

Further details in relation to the allotment of the New Shares have been separately announced.

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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