WAM ALTERNATIVE ASSETS LIMITED — Net Asset Value 2018

Aug 12, 2018

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13 August 2018

Dear Shareholder

Blue Sky Alternatives Access Fund Limited (ASX: BAF) (the ‘Alternatives Fund’) – Net Tangible Assets (‘NTA’) per share for July 2018

The Alternatives Fund reports a pre-tax NTA increase to $1.1408 per share in July, an increase of 0.3%.

The growth in NTA this month was primarily driven by another positive month for the Blue Sky Water Fund and an uplift in a Cove Property Group real estate investment following the receipt of an independent valuation. These uplifts were partially offset by a significant write down in the carrying value of the venture capital investment in Shoes of Prey.

During July the Alternatives Fund continued its share buyback program and acquired an additional 992,413 shares at a 26% discount to NTA.

The Board of the Alternatives Fund continues to progress its review of a range of initiatives to deliver optimal shareholder outcomes moving into FY19.

We look forward to bringing you our next investor update in relation to August 2018.

Yours faithfully

Andrew Champion Executive Chairman

I mportant note

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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July 2018

Net Tangible Assets - as at 31 July 2018[1]

Net Tangible Assets (NTA) per share (pre-tax) $1.1408 Net Tangible Assets (NTA) per share (post-tax) $1.1169

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 cent dividend
1.0 options 1.0 cent dividend
exercised
0.9
16 June 2014
(date of listing)
Fully franked.
Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Jun-18 Dec-18
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Portfolio Valuation[2]

	Current value ($’m)	% of Portfolio
Private Equity
Growth Capital Venture Capital	$48.36 $13.11	20.5% 5.6%
Subtotal	$61.47	26.1%
Real Assets
Water Fund $45.40 Strategic Australian Agriculture Fund $13.33		19.2% 5.6%
Other Real Assets	$15.53	6.6%
Subtotal	$74.26	31.4%
Private Real Estate Residential Development Retirement Living	$4.18 $16.36	1.8% 6.9%
Student Accommodation Other Real Estate	$33.42 $15.74	14.2% 6.7%
Subtotal	$69.70	29.6%
Cash3	$30.47	12.9%
Grand Total	$235.90	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.

2. Includes capital to fund the remaining $2.25 million of the $15.0 million commitment to the Strategic Australian Agriculture Fund, which is to be called progressively over a three year investment period commencing in July 2017.

Fund Performance[4]

	Period	Pre-Tax	Post-Tax
	1 month	0.26%	0.19%
	3 months	2.95%	1.93%
	6 months	1.52%	1.68%
	12 months	5.66%	5.95%
	Since inception (per annum)	8.60%	8.01%
	Since inception (total) (compounding)	40.57%	37.46%

1. Includes NTA growth, dividends and franking credits.

Sector Weightings

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Other Real Cash
Estate 12.9% Blue Sky
6.7% Water Fund Strategic Ag Fund Real Assets
19.2% 5.6%
Student Private Real Estate
Accommodation
14.2% Other Real Assets 6.6% Private Equity
Growth
Retirement Cash
Living 6.9% Capital 20.5% Venture Capital
Residential 5.6%
Development 1.8%
Note: Total allocation to the Blue Sky Water Fund
(including through the Strategic Ag Fund) is 21.3%
of the Portfolio.
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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 and private real estate.

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, driven by an increase in the Alternatives Fund’s NTA over time and dividend income (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 Alternatives Access Fund - Monthly Update

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July 2018

The pre-tax NTA of the Alternatives Fund increased by 0.3 cents per share, or 0.3%, to $1.1408 in July. The contributions to NTA were a positive investment performance for the Blue Sky Water Fund and an uplift in the carrying value of the 441 Ninth Avenue Trust. During the month, distributions were received from several investments (one of which was not previously accrued for). These increases were partially offset by a further write down in the carrying value of the venture capital investment in Shoes of Prey.

During July, the Alternatives Fund continued its share buy-back program and acquired 992,413 shares at an average price of $0.82, representing a 26% discount to July 2018 post-tax NTA.

Results of Independent Valuation Reviews

Cove Property Group 441 Ninth Avenue Trust

An independent valuation of this investment was finalised in July. Construction of the building continues to progress with completion expected in 2019. The development milestones achieved to date, as well as continued leasing interest in the Hudson Yards precinct surrounding the project resulted in a small uplift in the carrying value of the investment.

The Alternatives Fund has adopted the new accounting standards effective from 1 July 2018. The impact upon adopting the new accounting standards was not material to the Alternatives Fund’s NTA and is not anticipated to be so for FY19.

Investment Performance

����� Blue Sky Water Fund

The Alternatives Fund’s investment in the Blue Sky Water Fund rose by 2.7%[5] in July. Continued demand for irrigation water has resulted in an uplift in market prices across all regions the fund invests in.

1. 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.

2. ������ Shoes of Prey[6]

Difficulty in raising additional financing for this venture capital investee company, together with increased concern over its liquidity profile, has led to a significant reduction in carrying value of this investment. The carrying value of Shoes of Prey remains immaterial to NTA.

1. Applicable to the investment in Blue Sky Private Equity Shoes of Prey Fund and Blue Sky VC2014 Fund LP.

Distributions

During July, the Alternatives Fund received distributions from the following funds:

• ������ Blue Sky Darra Industrial Income Fund ~ a 2.5% quarterly distribution;

• ������ Blue Sky Revesby Industrial Income Fund ~ a 1.8% quarterly distribution; and

• ������ Blue Sky Private Equity QFS Fund ~ a 0.9% quarterly distribution.

With the exception of the latter, these distributions had been previously accrued in June 2018 NTA.

Further Information

Chairman Andrew Champion Investor Enquiries investorservices@blueskyalternativesfund.com.au Phone +61 7 3270 7500

Registered office

Suite 22.02, Level 22 Australia Square 264-278 George Street, Sydney NSW 2000 PO Box H318, Australia Square NSW 1215

blueskyfunds.com.au/ alternativesfund

Blue Sky Alternatives Access Fund - Monthly Update

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