ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES. Semi-Annual Report For the period ended 31 December 2007

Transcription

1 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES Semi-Annual Report For the period ended 31 December 2007 Unaudited Financial Statements For the financial period ended 31 December

2 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES DIRECTORY Manager ABN AMRO Asset Management (Singapore) Ltd Level 21, One Raffles Quay (South Tower), Singapore (Company Registration No D) Directors of the Manager Marcel Johan De Bruijckere (appointed with effect from 2 July 2007) Ng Kim Guan, Alex Nils Arne Lindman David Wong See Hong (appointed with effect from 11 July 2007) Lennie Lim Hong Heng (resigned with effect from 15 July 2007) Trustee/Custodian HSBC Institutional Trust Services (Singapore) Limited 21 Collyer Quay, #14-01 HSBC Building, Singapore (Company Registration No R) Registrar HSBC Institutional Trust Services (Singapore) Limited Transfer Agency Unit 60 Alexandra Terrace #10-12/13, The Comtech Singapore (Company Registration No: R) Auditors Ernst & Young Level 18, One Raffles Quay North Tower Singapore Solicitors to the Manager Global Law Alliance LLC 63 Market Street #10-02 Singapore Solicitors to the Trustee Allen & Gledhill LLP One Marina Boulevard, #28-00, Singapore

3 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES Contents Page No Semi Annual Report (for the period ended 31 December 2007) Manager s Report 5 Performance 7 Risk - Annualized Standard Deviation 7 - Annualized Sharpe Ratio - Borrowing and Leverage - NAV per unit Portfolio Valuation 9 Current Exposure - Underlying Schemes or Managers 9 - Underlying Scheme - Relating to the Feeder Fund - Other Information Top 10 Holdings of the Underlying Fund 11 Expense Ratio 11 Turnover Ratio 12 Schedule of Investments of Underlying Fund 12 Unaudited Financial Statements 14 (For the half financial year between 1 July 2007 to 31 December 2007) 3

4 Semi Annual Report for the half year ended 31 December

5 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND MANAGER S REPORT Investment Objective The aim of the ABN AMRO Multi Strategy Fund ( the Fund ) is to achieve capital appreciation through investing all or substantially all of its assets into the ABN AMRO Global Multi Strategy Fund ( Underlying Fund ), a sub-fund of ABN AMRO Alternative Investments, an open-ended umbrella investment company incorporated in Luxembourg ( Company ). The Underlying Fund will invest primarily in a diverse range of collective investment schemes implementing alternative management strategies with exposure to any or all of the global markets worldwide. The Underlying Fund has an objective to generate strong absolute returns with low volatility through a well diversified portfolio of approved managers across all hedge fund strategies. The Fund is an open-ended cash unit trust. As a feeder fund, it will invest all or substantially all of its assets into the Underlying Fund. The benchmark which the performance of the Fund should be measured against is HFRI Fund of Funds Composite Index. Investment Policy* The Underlying Fund is an alternative investment product managed by ABN AMRO Asset Management. The product utilises a fund of funds structure and diversifies investments across hedge fund strategies and managers from around the world. The Underlying Fund invests with highly qualified specialist managers who have strong reputations in their particular areas of expertise. Manager selection involves a detailed process of due diligence and on-site meetings. The strategies that the managers represent are actively managed to reflect the view that certain strategies will perform better in certain market and liquidity conditions. This aids the process of achieving attractive absolute returns over the medium-term. The Underlying Fund s investment guidelines impose upper limits on strategy allocations to ensure broad diversification. * Information relates to the ABN AMRO Alternative Investment Fund - Global Multi Strategy Fund (Underlying Fund) Market Review* Bond yields were more volatile in Developments in the sub-prime market became much more of an issue and investors sought safe havens as riskier assets suffered. Risk aversion intensified from July onwards across fixed income markets. This was reflected in the spreads of credit default swap and corporate bonds, which widened especially for riskier bonds. The dominant feature of currency markets last year was US dollar weakness. It fell against nearly all other major currencies, notably the euro, pushing the effective exchange rate index down to historical lows. The strong global economic environment pushed commodity prices higher again in Prices of oil, many soft commodities and bio-fuels rose sharply. Gold prices benefited from increased inflationary concerns, US dollar weakness and the increase in risk aversion whereas other metals such as aluminium, copper and nickel showed less movement during the year. Most equity indices in the developed world closed the year with relatively modest gains due to the impact of sub-prime market developments. The Asian and Emerging Markets were the best performing equity markets benefiting from strong domestic economic dynamics, abundant liquidity and the absence of clear contagion of sub-prime issues, which were eventually felt at the end of the year. 5

6 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND During the period under review, the allocation to Long/Short Equity, Capital Structure/Credit Arbitrage and Multi-Strategy strategies were increased with reducing exposure to Event Driven and Quant Driven Strategies. All strategies performed positively over the year with Long/Short Equity and Event Driven strategies contributing the most to performance. * Information relates to the ABN AMRO Alternative Investment Fund - Global Multi Strategy Fund (Underlying Fund) Prospects First Half 2008* Bond markets are more or less pricing in US recession but prices have also benefited from the subsequent flight to quality following the developments in the credit markets. A global economic slowdown is likely to lead some weakening of commodity markets as demand growth slows. Oil and gold are unlikely to have another year of such strong increases, however, agricultural commodities could experience some significant price increases. We expect the equity markets to remain under pressure and volatility to remain significantly above levels we have experienced in recent year. In the course of the year, assuming that a potential recession is a mild one, equity markets would be expected to regain their composure and could deliver positive returns for the year as a whole. We are positive on Capital Structure/Credit Arbitrage, Long/Short Equity, Macro, Multi-Strategy and Trend Followers/CTAs, however, the risk outlook for there are Medium to High. We are negative on Quant Driven due to the increased correlation of factor signals. * Information relates to the ABN AMRO Alternative Investment Fund - Global Multi Strategy Fund (Underlying Fund) New Domicile and Name* The domicile of the Underlying Fund was changed from Ireland to Luxembourg at the end of December The name of the Underlying Fund was changed from Multi Strategy Fund to Global Multi Strategy Fund. Risk Management, Monitoring Procedures and Internal Controls* The Investment Manager of the Underlying Fund, ABN AMRO Asset Management Limited, has put in place proper procedures and controls for monitoring the management and risk of the Underlying Fund as set out in the prospectus. * Information relates to the ABN AMRO Alternative Investment Fund - Global Multi Strategy Fund (Underlying Fund) Overview of the Management* The Underlying Fund is managed by ABN AMRO Investment Funds S.A. with investor advisory services from ABN AMRO Asset Management Limited, London. * Information relates to the ABN AMRO Alternative Investment Fund - Global Multi Strategy Fund (Underlying Fund) 6

7 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND PERFORMANCE Performance of the ABN AMRO Multi Strategy Fund (relating to the feeder fund) 3 mths 6 mths 1 yr (ann) 3 Years (ann) 5 Years (ann) ABN AMRO Multi Strategy Fund (SGD Class) LIBOR USD 1m (Currency SGD) Source: Standard & Poor s Micropal & ABN AMRO Asset Management, London Based on SGD, Net of fees, NAV to NAV, Income re-invested The Fund was launched in September 30, No 10-year information is available. 3 mths 6 mths 1 yr (ann) 3 Years (ann) 5 Years (ann) ABN AMRO Multi Strategy Fund (USD Class) LIBOR USD 1m (Currency USD) Source: Standard & Poor s Micropal & ABN AMRO Asset Management, London Based on USD, Net of fees, NAV to NAV, Income re-invested The Fund was launched in September 30, No 10-year information is available. Performance Fee Underlying Fund Singapore Feeder Fund Fee paid by scheme USD 168, None Fee payable by scheme USD 1,952,199 None Source: ABN AMRO Asset Management, London for Underlying Fund ABN AMRO Asset Management (Singapore) Ltd for Feeder Fund RISK Risk - Annualized Standard Deviation 1 Jan Jan Jan 2005 Since inception to 31 Dec Dec Dec Dec 2006 ABN AMRO Global Multi 4.40% 3.67% 4.35% 3.44% Strategy Fund ABN AMRO Multi Strategy 4.83% 5.16% 3.56% 4.26% Fund (SGD Class) ABN AMRO Multi Strategy Fund (USD Class) % 3.89% - Source: Standard & Poor s Micropal 7

8 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND Risk Annualized Sharpe Ratio 1 Jan Jan Jan 2005 Since inception to 31 Dec Dec Dec Dec 2006 ABN AMRO Global Multi Strategy Fund ABN AMRO Multi Strategy Fund (SGD Class) ABN AMRO Multi Strategy Fund (USD Class) Source : Standard & Poor s Micropal Assuming risk-free rate = 0% RISK Borrowing and Leverage Underlying Fund Singapore Feeder Fund Amount of borrowings as at the end None None of 31 December 2007 Other sources of leverage as at 31 December 2007 None None Source : ABN AMRO Asset Management (Singapore) Ltd & ABN AMRO Asset Management Limited, London RISK NAV per unit 1 Jan Dec Jan Dec Jan Dec 2005 Since inception to 31 Dec 2007 Highest NAV (SGD) Lowest NAV ((SGD) Highest NAV (USD) Lowest NAV (USD) Source: Standard & Poor s Micropal 8

9 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND PORTFOLIO VALUATION Portfolio Valuation as at 31 Dec 2007 Amount % 1, shares in ABN AMRO Global Multi Strategy Fund (USD Class) 178, Cash Net Receivables / Payables TOTAL 180, , shares in ABN AMRO Multi Strategy Fund (SGD Class) 229, Cash - - Net Receivables / Payables - - TOTAL 229, Source: ABN AMRO Asset Management (Singapore) Ltd Amount of Redemptions and Subscriptions (1 Jul Dec 2007) Subscriptions for ABN AMRO Multi Strategy Fund (USD Class) Redemptions for ABN AMRO Multi Strategy Fund (USD Class) Subscriptions for ABN AMRO Multi Strategy Fund (SGD Class) Redemptions for ABN AMRO Multi Strategy Fund (SGD Class) Source: ABN AMRO Asset Management (Singapore) Ltd Amount USD0.00 USD8, SGD0.00 SGD3,012, Current Exposure Underlying schemes or Managers Hedge Fund Strategy Percentage of NAV Number of underlying schemes or managers 1 Capital Structure / Credit Arbitrage Convertible Arbitrage Event Driven Fixed Income Relative Value Long Only Long / Short Equity Macro Statistical Arbitrage Trend Followers / CTAs Volatility Arbitrage Cash Multi Strategies Source: ABN AMRO Asset Management Limited, London 9

10 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND Current Exposure Underlying Scheme Amount (US$) 1 Exposure to derivatives None 2 Material information that will adversely impact the valuation of the fund such as None contingent liabilities of open contracts. 3 Amount of related-party transactions for the period under review purchases None sales 4 Soft dollar arrangement, rebates, commissions and other monetary incentives None received by Manager The underlying fund enters into forward foreign exchange contracts during the period in order to protect its present and future assets and liabilities against fluctuation of currencies as well as to cover enough foreign exchange reserve in the various currencies for subscriptions and redemptions. As at December 31, i. Market value of the forward contracts = USD5,911, amounting to 0.60% of NAV as at the end of the period; and ii. Net gains/losses on outstanding on forward contracts marked to market as at the end of the period = USD5,911, Current Exposure (relating to the feeder fund) Amount (US$) 1 Exposure to derivatives None 2 Material information that will adversely impact the valuation of the fund such as None contingent liabilities of open contracts. 3 Amount of related-party transactions for the period under review purchases None sales 4 Soft dollar arrangement, rebates, commissions and other monetary incentives None received by Manager Source: ABN AMRO Asset Management (Singapore) Ltd Current Exposure Other Information Amount 1 Fund size of underlying fund as at the end of 31 December 2007 USD 982,346, NAV per unit as at the end of 31 December 2007 (USD class) USD NAV per unit as at the end of 31 December 2007 (SGD class) SGD Illiquid holdings as at the end of 31 December 2007 None 5 Amount of seed money as at the end of 31 December 2007 None Source: ABN AMRO Asset Management, (Singapore) Ltd & ABN AMRO Asset Management Limited, London 10

11 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND Top 10 Holdings of the Underlying Fund S/N Collective Investment Schemes Nominal Holding (Shares) As At December 31, 2007 Market value in USD % of NAV 1 Karsch Capital Limited 222,998 42,788, % 2 Southport Millennium Offshore Inc C Series C 1 3,191,843 41,756, % 3 OZ Europe Overseas II Limited - G Prime ,213 41,148, % 4 Lansdowne Global Financials Fund Limited - R 166,973 39,843, % 5 Brevan Howard (EUR) Fund Limited - B 196,102 38,549, % 6 Kaiser Trading Fund SPC 2,590,927 36,454, % 7 Claren Road Credit Fund Ltd 35,000 36,021, % 8 Pendragon (Merlin) Fund. Inc. 12,864 35,716, % 9 Plainfield Special Situations Offshore Feeder Fund 350,000 35,788, % 10 York Credit Opportunities Unit Trust 861,766 35,224, % Source: ABN AMRO Asset Management Limited, London S/N Collective Investment Schemes As At December 31, 2006 Nominal Holding (Shares) Market value in USD % of NAV 1 Ashmore Asian Recovery Fund Series INC GP 28 Apr 06 1,125,504 36,899, TCS Capital International Limited Class A Series 1 127,399 34,919, Plexus Fund Ltd Class A3 289,566 32,173, Oz Overseas Fund II Ltd Class G Prime Series 8 30,000 31,160, Renaissance IEF Plc Class Sub Class B Series 1 30,000 31,120, Eminence Long Alpha Ltd Class D Series 6 30,000 30,820, Alydar Fund Ltd 192,606 30,567, Karsch Capital Ltd Class B 177,915 30,332, Savaninah Bal Timore Off/Sh Ltd Class A/R Series 4 30,000 30,312, Mangart Global Fund Liomited Class EUR 86,678 27,562, Source: ABN AMRO Asset Management Limited, London Expense Ratio Current Year Previous Year (1 Jan Dec 2007) (1 Jan Dec 2006) a) Singapore feeder fund 7.27% 4.10% b) Underlying Fund 2.24% 2.10% Total (a) + (b) 9.51% 6.20% Source: ABN AMRO Asset Management Limited, London & ABN AMRO Asset Management (Singapore) Ltd. Expense Ratio is calculated in accordance with IMAS guidelines, and is stated on an annualised basis. This expense ratio does not include brokerage and other transaction costs, performance fee, foreign exchange gains/losses, front or back end loads arising from the purchase or sale of other schemes and tax deducted at source or arising out of income received. 11

12 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND TURNOVER RATIO - Underlying Fund Current Year Previous Year (1 Jan Dec 2007) (1 Jan Dec 2006) Underlying Fund 13.09% 48.70% Hedge Funds are transacted at net asset value. The turnover for a hedge fund of funds does not influence its performance, as there are no costs (such as commission) involved when a hedge fund is brought or sold. Please refer to the Audited Financial Statement for turnover ratio for feeder fund. Schedule of Investments of Underlying Fund as at December 31, 2007 (Unaudited) Collective Investments Scheme 12 Nominal Holding (Shares) Market Value (US$) % of NAV Bermuda Platinum Grove Contingent Capital Offshore Fund Limited 21,055 34,456, Renaissance Institutional Equities Fund Sicav Plc 31,121 30,797, Seneca Capital International Limited 8, , ,883 66,147, Cayman Islands Alydar Fund Limited B-1 192,550 34,641, Amber Fund (Cayman) Ltd 216,584 33,784, Bristol Fund Ltd 4,754 3,451, Claren Road Credit Fund Ltd B-20 30,000 31,004, Claren Road Credit Fund Ltd B-23 5,000 5,017, Eminence Long Alpha Ltd 29,181 34,321, Kaiser Trading Fund SPC 2, ,499, Karsch Capital Limited - B 236,624 42,801, Lansdowne Global Financials Fund Limited 166,973 38,843, Mangart Global Fund Limited 86,780 31,522, MKM Longboat Multi Strategy Fund Limited 992,430 35,158, Oceanwood Global Opportunities Fund-A ,000 11,430, Oceanwood Global Opportunities Fund-A ,000 9,597, Oceanwood Global Opportunities Fund-A-6 100,000 10,337, Optimal Japan Fund-USD 781,466 18,286, OZ Europe Overseas II Limited 34,213 41,148, Plainfield Special Situations Offshore Feeder Fund 350,000 35, Plexus Fund Ltd 289,566 33,769, Savannah Baltimore Offshore Ltd 26,224 29,673, Southport Millennium Offshore Inc 3,191,843 41,756, TCS Capital International Ltd-B 2, , TCS Capital International Ltd-BB 72,673 25,037, TCS Capital International Ltd-D 60,000 6,447, The 32 Capital Fund Limited Class A Series ,788 11,208, The 32 Capital Fund Limited Class B Series ,146 16,034, The 32 Capital Fund Limited Class B Series ,500 1,550, The Alphagen Octanis Fund Ltd - A 220,785 28,984, The Tantallon Fund 1,968,076 28,752, Tudor Tensor Fund Limited - A 21,707 26,365, Tudor Tensor Fund Limited - Q 6,492 7,885, York Credit Opportunities Unit Trust B ,147 20, York Credit Opportunities Unit Trust B ,619 15,028, ,811, ,976,

13 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND Schedule of Investments of Underlying Fund as at December 31, 2006 (Unaudited) [Continued] Collective Investments Scheme Nominal Holding (Shares) Market Value (US$) % of NAV Ireland Pendragon (Merlin) Fund Inc - A 594 1,525, Pendragon (Merlin) Fund Inc - AA 12,270 34,190, ,864 35,716, USA Brevan Howard Fund Ltd (EUR) - B 196,102 38,549, ,102 38,549, Virgin Islands Shepherd Investments International Ltd 7,888 32,649, ,888 32,649, Total Other Transferable Securities (Cost: $824,256,500.40) 921,039, Other Assets less Liabilities 61,317, Total Net Assets US$ 982,356,

14 ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES- ABN AMRO MULTI STRATEGY FUND Unaudited Financial Statements For the financial period 1 July 2007 to 31 December

15 ABN AMRO Alternative Investment Strategies (Constituted under a Trust Deed in the Republic of Singapore) STATEMENT OF TOTAL RETURN For The Financial Period Ended 31 December 2007 (Unaudited) Expenses Note ABN AMRO Multi Strategy Fund 31 December 31 December USD USD Management fees Registration fees 1,827 1,776 Trustee's fees 2,457 2,179 Audit fees 1,856 1,752 Others 1,837 3,337 8,440 9,995 Net loss (8,440) (9,995) Net gains or losses on value of investments Net realised gains on investments sold 4,820 31,834 Net change in fair value on investments (4,214) (21,178) Net foreign exchange (losses)/gains (138) 312 Net gains on value of investments ,968 Total (deficit)/return for the period before taxation (7,972) 973 Taxation Total (deficit)/return for the period after taxation before distribution Distribution (7,972) Total (deficit)/return for the period (7,972) 973 The accounting policies and explanatory notes form an integral part of the financial statements.

16 ABN AMRO Alternative Investment Strategies (Constituted under a Trust Deed in the Republic of Singapore) BALANCE SHEET As at 31 December 2007 (Unaudited) Note ABN AMRO Multi Strategy Fund 31 December June 2007 USD USD ASSETS Portfolio of investments 178, ,613 Due from brokers 19,000 - Cash and bank balances ,535 Total assets 197, ,148 LIABILITIES Due to unitholders 8,895 - Due to Manager Due to Trustee 2,074 8,343 Other payables 5,708 3,588 Net assets attributable to unitholders 4 180, ,283 Total liabilities 197, ,148 The accounting policies and explanatory notes form an integral part of the financial statements.

17 ABN AMRO Alternative Investment Strategies (Constituted under a Trust Deed in the Republic of Singapore) PORTFOLIO STATEMENT As at 31 December 2007 (Unaudited) ABN AMRO Alternative Investment Strategies - ABN AMRO Multi Strategy Fund Percentage Percentage of total net of total net assets assets attributable to attributable to Holdings Fair value unitholders unitholders at at at at 31 December 31 December 31 December 30 June USD % % ABN AMRO Alternative Investment Fund - ABN AMRO Multi Strategy Fund 1, , Portfolio of investments 178, Other net assets 2, Net assets attributable to unitholders 180, As the sub-fund is invested wholly into an underlying fund which is domiciled in Luxembourg and denominated in US dollars, it is not meaningful to classify the investments into investment funds by geography and industry. The accompanying policies and explanatory notes form an integral part of the financial statements.

18 ABN AMRO Alternative Investment Strategies (Constituted under a Trust Deed in the Republic of Singapore) NOTES TO THE FINANCIAL STATEMENTS For The Financial Period Ended 31 December 2007 (Unaudited) These notes form an integral part of and should be read in conjunction with the accompanying financial statements. 1. Corporate information ABN AMRO Alternative Investment Strategies (the "Fund") is an umbrella unit trust constituted under a Trust Deed between ABN AMRO Asset Management (Singapore) Ltd. (the "Manager") and HSBC Institutional Trust Services (Singapore) Limited (the "Trustee") on 10 September 2001, and the Amended and Restated Deed dated on 25 July 2003, and the Third Supplemental Deed to the Amended and Restated Deed dated 21 July 2006 (the "Trust Deeds"). The Trust Deeds are governed by the laws of the Republic of Singapore. ABN AMRO Alternative Investment Strategies is a Singapore-authorised unit trust comprising 2 sub-funds namely: - - Best of World Protected Fund. The launch of this sub-fund was suspended and units in this sub-fund are not being offered for subscription; and ABN AMRO Multi Strategy Fund, a feeder fund established with 2 classes of units, namely the SGD class and USD class. ABN AMRO Multi Strategy Fund invests all or substantially all of its assets as a feeder fund in the ABN AMRO Alternative Investment Fund - ABN AMRO Multi Strategy Fund, an open-ended umbrella unit trust authorised by the Central Bank of Ireland and admitted to the official list of the Irish Stock Exchange on 5 May Summary of significant accounting policies (a) Basis of preparation The financial statements, which are expressed in US dollars ("USD" or "US$"), are prepared under the historical cost basis, as modified by the revaluation of investments, and in accordance with the revised Statement of Recommended Accounting Practice 7 "Reporting Framework for Unit Trusts" issued by the Institute of Certified Public Accountants of Singapore in May 2005, which has been adopted with effect from 1 July (b) Foreign currencies Foreign currency transactions during the financial period are translated into USD at the rates of exchange ruling on the transaction dates. Foreign currency monetary assets and liabilities are translated into USD at the rates of exchange ruling at the balance sheet date. Differences on exchange are included in the Statements of Total Return. (c) Recognition of investment income Interest income is accounted for on a time proportion basis.

19 ABN AMRO Alternative Investment Strategies (Constituted under a Trust Deed in the Republic of Singapore) NOTES TO THE FINANCIAL STATEMENTS For The Financial Period Ended 31 December 2007 (Unaudited) (d) Investments Investments are stated at net asset value of the underlying fund at the balance sheet date. appreciation or depreciation on revaluation is taken directly to the Statement of Total Return. Any 3. Taxation Realised gains or losses on sale of investments are taken directly to the Statement of Total Return. ABN AMRO Multi Strategy Fund is granted the status of Designated Unit Trust under Section 35 (12) of the Income Tax Act (Cap. 134) by Inland Revenue Authority of Singapore and are exempted from Singapore tax on gains on disposal of investments, foreign dividends and interest income (other than interest for which tax has been deducted under Section 45 of the Income Tax Act) derived by it. 4. Net assets attributable to unitholders ABN AMRO Multi Strategy Fund 31 December June 2007 USD USD At the beginning of the period/year 197, ,989 Operations Change in net assets attributable to unitholders resulting from operation (7,972) 9,606 Unitholders' contributions/ (withdrawals) Creation of units - - Cancellation of units (8,880) (302,312) Change in net assets attributable to unitholders resulting from net creat (8,880) (302,312) cancellation of units Total decrease in net assets attributable to unitholders (16,852) (292,706) At the end of the period/year 180, ,283 Units in issue (Note 5) - USD Class 158, ,751 USD USD Net assets attributable to unitholders per unit - USD Class Units in issue ABN AMRO Multi Strategy Fund 31 December June 2007 USD class Units at the beginning of the period/year 165, ,734 Units cancelled (7,709) (260,983) Units at the end of the period/year 158, ,751

20 ABN AMRO Alternative Investment Strategies (Constituted under a Trust Deed in the Republic of Singapore) NOTES TO THE FINANCIAL STATEMENTS For The Financial Period Ended 31 December 2007 (Unaudited) 6. Related party information In the normal course of business of the Trust, trustee and valuation fees, management fees and registration fees have been paid or are payable to the Trustee, the Managers and a related corporation of the Trustee respectively, as noted in the Statement of Total Return. In addition, the Trust has also carried out transactions which include bank and custodian services with related corporations of the Trustee in the normal course of business. Transactions with related parties were at terms agreed between the parties and within the provisions of the Trust Deeds. The Manager of the Fund is ABN AMRO Asset Management (Singapore) Ltd., a subsidiary of ABN AMRO Holding N.V.. The Trustee is HSBC Institutional Trust Services (Singapore) Limited, a subsidiary of the HSBC Group. Total fees paid by the Fund to the Manager and Trustee in respect of the various services provided for the financial period amounted to $463 (31 December 2006: $951) and $5,922 (31 December 2006: $5,407) respectively. Cash and bank balances held by ABN AMRO Bank N.V. at the balance sheet date amounted to $332 (30 June 2007: $37,513). 7. SGD dollar class The Fund offers two classes of units, namely ABN AMRO Multi Strategy US$ units and the ABN AMRO Multi Strategy S$ units. The S$ units are structured such that all or substantially all the amounts received are invested into the US$ units. Consequently, these financial statements of ABN AMRO Multi Strategy Fund cover the financial information of the US$ units only. The S$ units are subject to further foreign exchange risk arising from movement of US$. Supplementary information relating to the S$ units are set out below. ABN AMRO Multi Strategy Fund 31 December June 2007 Number of US$ units issued to S$ unitholders 139, ,915 Net asset value per US$ unit US$ S$ equivalent US$ S$ equivalent Value of US$ units issued to S$ unitholders 158, , , ,995 Number of S$ units in issue 253, ,137 Value per S$ unit

21 ABN AMRO Alternative Investment Strategies (Constituted under a Trust Deed in the Republic of Singapore) NOTES TO THE FINANCIAL STATEMENTS For The Financial Period Ended 31 December 2007 (Unaudited) 8. Financial ratios ABN AMRO Multi Strategy Fund 31 December December 2006 % % Expense ratio Turnover ratio The expense ratio is calculated in accordance with the Investment Management Association of Singapore ("IMAS") guidelines on the disclosure of expense ratios dated 25 May 2005, and is expressed as the sum of the expense ratios of the sub-fund and its respective underlying fund. The expense ratio of the underlying fund is unaudited. 2 The turnover ratio is calculated based on the lesser of purchases or sales of underlying funds by the subfund expressed as a percentage of the daily average value of the sub-fund, which is in accordance with the formula stated in the "Code on Collective Investment Schemes". In the event where they are no purchases or sales, the turnover ratio is calculated based on either the sales or purchases of the underlying fund by the sub-fund. The turnover ratio does not include the purchase/sales of investments in the underlying fund. 9. Financial instruments The overall responsibility for the implementation of the Fund's financial risk management policies lies with the Manager. These policies are stated in the prospectus of the Fund. The main risks arising from the Fund's activities are credit risk, foreign currency risk, interest rate risk and liquidity risk. The Manager reviews and agrees policy for managing each of these risks and they are summerised below: Foreign currency risk The Fund has investments, cash and bank balances and payables denominated in foreign currencies, and the Fund may be affected favourably or unfavourably by exchange rate regulations or changes in the exchange rates between USD and such other foreign currencies. Interest rate risk The Fund places its surplus cash and bank balances with reputable banks, and as a result, is exposed to changes in the prevailing level of interest rates. As interest income derived from deposits with banks is not deemed to be a major source of income to the Fund, the Fund is not adversely exposed to material movements in interest rates. Liquidity risk The Fund's liquid assets are mainly in the form of cash and bank balances. The Manager ensures that the Fund maintains sufficient liquid assets to meet its liquidity requirements. Fair values of financial assets and liabilities The financial assets and liabilities of the Fund comprise investments, receivables, cash and bank balances, and payables. The fair values of these financial assets and liabilities of the Fund as at the balance sheet date approximate their carrying amounts as shown in the balance sheet.