WAM ALTERNATIVE ASSETS LIMITED — Net Asset Value 2017

Jun 13, 2017

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14 June 2017

Dear Shareholder

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

The Alternatives Fund is pleased to report a pre-tax NTA increase to $1.1061 per share in May, a change of 1.8% for the month.

This movement was primarily driven by gains on the Alternatives Fund’s Private Equity and Private Real Estate portfolios, following the exit of the Alternatives Fund’s private equity investment in Hospital Pharmacy Services ( ‘HPS’ ) and a number of year-end valuation reviews.

As detailed in the announcement of 23 May 2017, the Alternatives Fund’s investment in HPS has been sold to EBOS Group Limited. This exit has generated a return in excess of 30% p.a., or approximately 2.0x invested capital (including fee rebates and net of transaction costs). The majority of proceeds have been received in June. The Alternatives Fund has written up the value of its investment in HPS at the end of May by 21.9% to reflect the total proceeds that will be received from this investment.

The Alternatives Fund also deployed $6.0 million across two new Private Equity funds during the month, the first providing growth capital to a general practice medical clinics operator and aggregator in Adelaide, with the second being an investment into a fast-growing multi-national adventure tourism business based in Queenstown, New Zealand.

During May, the Alternatives Fund also received periodic distributions from the QFS Fund and Hotel Fund (which were previously accrued in NTA) and accrued a 2.4% final FY17 distribution from the Blue Sky Water Fund which was declared at the end of the month.

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

Yours faithfully

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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 MAY 2017

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FUND PERFORMANCE[3]

NET TANGIBLE ASSETS – AS AT 31 MAY 2017[1]

Net Tangible Assets (NTA) per share (pre-tax) $ 1.1061 Net Tangible Assets (NTA) per share (post-tax) $ 1.0920

1. NTA figures in this report are unaudited.

PRE-TAX NET TANGIBLE ASSETS – SINCE INCEPTION

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1.15
3.0 cent fully franked dividend
1.10
5.0 cent fully
franked dividend
1.05
1.0 cent fully
options exercised franked dividend
1.00
0.95
16 June 2014
(date of listing)
Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17
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PORTFOLIO VALUATION[2]

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Current value ($’m) % of Portfolio
PRIVATE EQUITY AND VENTURE CAPITAL
Private Equity $42.11 22.5%
Venture Capital $12.01 6.4%
Subtotal $54.12 28.9%
REAL ASSETS
Water Fund $40.95 21.9%
Other Real Assets $12.32 6.6%
Subtotal $53.27 28.5%
PRIVATE REAL ESTATE
Residential Development $11.86 6.4%
Retirement Living $8.45 4.5%
Student Accommodation $34.48 18.5%
Cove and Other Real Estate $14.57 7.8%
Subtotal $69.36 37.2%
Cash $10.01 5.4%
GRAND TOTAL $186.76 100.0%
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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.

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.

Period	Pre-Tax	Post-Tax
1 month	1.80%	1.34%
3 months	2.39%	2.67%
6 months	3.73%	3.99%
12 months	8.89%	9.97%
Since inception (per annum)	8.70%	8.13%
Since inception (total)	28.03%	26.06%

1. Includes NTA growth, dividends and franking credits.

SECTOR WEIGHTINGS

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Cash
5.4%
Other
Real Estate Private Equity
7.8% 22.5% Private Equity &
Venture Capital
Student Real Assets
Accommodation Venture
18.5% Capital
6.4%
Private Real Estate
Retirement
Living
4.5%
Water Fund Cash
Other 21.9%
Real
Residential Assets
Development 6.6%
6.4%
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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 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 $3.0 billion in fee-earning assets under management and a ten year track record of generating overall returns to investors in its funds of 16.4% p.a. (net of fees compounding since inception).[4]

1. Assets under management as at 31 May 2017. Overall returns to investors in Blue Sky managed funds are equity weighted to 31 December 2016. 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

MONTHLY UPDATE MAY 2017

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The pre-tax NTA of the Alternatives Fund increased by 2.0 cents per share, or 1.8%, to $1.1061 in May. This movement was primarily driven by gains on the Alternatives Fund’s Private Equity and Private Real Estate portfolios, including the exit of Hospital Pharmacy Services (‘HPS’) and a number of year-end valuation reviews.

The Alternatives Fund also deployed $6.0 million across two new Private Equity funds during the month.

REALISED INVESTMENTS

• Blue Sky Private Equity HPS Fund

• On 23 May 2017, the Alternatives Fund announced the sale of HPS to EBOS Group Limited (‘EBOS’). HPS is Australia’s largest provider of outsourced pharmacy services to hospitals, correctional facilities, oncology centres and fertility clinics, with more than 100 sites nationally. The buyer, EBOS, is a major supplier to HPS and will be a strong partner to continue to assist the business to grow in the future.

The Alternatives Fund invested $3.5 million into HPS approximately 2.5 years ago, and this exit has generated a return in excess of 30% p.a., or approximately 2.0x invested capital (including fee rebates and net of transaction costs). The majority of proceeds have been received in June. The Alternatives Fund has written up the value of its investment in HPS at the end of May by 21.9% to reflect the total proceeds that will be received from this investment.

• Wild Breads Convertible Note Fund

As noted in the April 2017 NTA Report, during May the Alternatives Fund received a return of the capital invested in the Wild Breads Convertible Note Fund, plus accrued interest – a total of $0.82 million (and an annualised return of 14.0%).

DISTRIBUTIONS

During May, the Alternatives Fund received periodic distributions from the following funds:

• Blue Sky Private Equity QFS Fund paid its initial quarterly instalment of a 3.5% p.a. yield; and

• Blue Sky Hotel Fund paid its regular quarterly 2.5% distribution relating to the March 2017 quarter.

The Alternatives Fund also accrued a 2.4% final distribution from its investment in the Blue Sky Water Fund, which is scheduled to be received in midJune. This distribution, plus the earlier 2.5% interim distribution received in February 2017, brings total yield from this fund to 4.9% for FY17 (c. $2.1 million).

INVESTMENT PERFORMANCE

In accordance with the Alternatives Fund’s Investment Valuation Policy, the holding value of a material portion of the portfolio is being subject to review throughout May and June as part of its financial year end process.

During May, management reviews were completed on a range of the Alternatives Fund’s investments. These reviews have led to an increase in the carrying value of the following funds:

• Blue Sky Private Equity QFS Fund – a 20.2% uplift from carrying value representing the benefits of three successful acquisitions completed in the last few months;

• Blue Sky VC2014 Fund LP – a 5.2% uplift driven by a revaluation of its underlying investment in ParcelPoint;

• Main Street Kangaroo Point Fund – appreciated by 2.5% to reflect the total proceeds that will be received from this investment;

• Duke Street Kangaroo Point Fund – increased by 7.4% as internal fit-out reaches the final stages and the project progresses towards practical completion in July 2017;

• Student Accommodation Fund 4 – saw a 7.0% gain as structural works reach the uppermost levels and internal fit-out progresses through lower levels;

• Student Accommodation Fund 6 – an 18.9% gain following the achievement of significant construction milestones.

Blue Sky Water Fund

The value of the Water Fund increased 0.6% during May. Whilst Water Entitlement prices were broadly steady across the month, South Australian Murray high security Water Entitlements were the exception, appreciating by 5% on the back of strong demand.

MONTHLY UPDATE MAY 2017

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NEW INVESTMENTS

• Blue Sky Private Equity Better Medical Fund

During May, the Alternatives Fund invested $3.0 million in the Blue Sky Private Equity Better Medical Fund. This fund is providing growth equity into Better Medical, a group of general practice medical clinics in Adelaide. Blue Sky’s growth capital will be used by Better Medical to continue to aggregate a portfolio of small to medium sized private billing GP clinics and realising synergies upon integration.

The Alternatives Fund anticipates an investment term up to five years with the fund contributing returns through an annual yield of 5%-7% p.a. (from FY18) and an attractive capital gain opportunity.

• Blue Sky Private Equity Tourism Fund

The Alternatives Fund also deployed $3.0 million into the Blue Sky Private Equity Tourism Fund during May. This fund will acquire equity in Active Adventures, a fast-growing multi-national adventure tourism business based in Queenstown, New Zealand.

The Alternatives Fund anticipates an investment period of approximately four years with the fund contributing returns through an annual yield of 6%-10% p.a. complemented by a strong capital gain opportunity.

MONTHLY UPDATE MAY 2017

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TIMELINE – EXIT HORIZON FOR ALL INVESTMENTS[6]

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2H FY17	Regina Street Greenslopes Trust
	Main Street Kangaroo Point Trust
	Grantson Street Windsor Trust
	Logan Road Greenslopes Trust
	Hospital Pharmacy Services Fund
CY17	Early Learning Fund
	Agriculture Fund
1H FY18	Duke St Kangaroo Point Trust
CY18	Darra Industrial Income Fund
	Wild Breads Fund
	Wild Breads RCPS Fund
1H FY19	Wellington Road East Brisbane Trust
	High Street Lutwyche Trust
2H FY19	Flora Street Greenslopes Trust
	19 Railway Terrace Milton Trust
	Wellington Road East Brisbane Trust II
CY19	Retirement Living Maroochydore Fund
	Retirement Living Toowoomba7
CY19-20	Origo Education Fund
	Hotel Fund
	Aquila Fund
	Vinomofo Fund
CY20	VC2014 Fund
	Shoes of Prey Fund
	aCommerce Fund
	aCommerce Fund II
CY20 - CY22	Student Accommodation Fund I
	Student Accommodation Fund II
	Student Accommodation Fund III
	Student Accommodation Fund IV
	Student Accommodation Fund V
	Student Accommodation Fund VI
	Student Accommodation Fund VII
	Student Accommodation Fund VIII
	Digital Outdoor Advertising Fund
CY21	Retirement Living Corinda Fund
	Cove Property Group 441 Ninth Avenue Trust
	QFS Fund
	SMG Fund
	Tourism Fund
	Better Medical Fund
CY22	Agriculture Fund II
CY22 - CY25	Premium Beef Development Fund7
CY23	Cove Property Group 2 Rector Street Trust
Open-ended	Water Fund

1. 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.

2. Confidentiality restrictions in force at the time of this report prohibit release of certain transaction details, including the name of the business invested in or location of the project. Further information will be provided in future reports. 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.