Schroder Alternative Solutions Audited Annual Report. Luxembourg. 30 September R.C.S Luxembourg B

Transcription

1 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Luxembourg R.C.S Luxembourg B

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3 Schroder Alternative Solutions Société d Investissement à Capital Variable (SICAV) Audited Annual Report 30 September 2011 No subscriptions can be received based solely on periodical reports. Subscriptions are valid only if made on the basis of the current prospectus accompanied by the last available annual report or semi-annual report if published thereafter. Annual and semi-annual reports, the current prospectus and the Articles of Incorporation of Schroder Alternative Solutions (the Company ) are available, free of charge, at the Company s Management Company, 5, rue Höhenhof, L-1736 Senningerberg, Grand Duchy of Luxembourg.

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5 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Page 5 Table of contents Schroder Alternative Solutions Board of Directors Administration Directors Report Investment Manager s Report Notes to the Financial Statements Fund Performance (Unaudited) Audit Report Statement of Net Assets Statement of Changes in Net Assets Statement of Operations Portfolio of Investments Schroder AS Agriculture Fund Schroder AS Commodity Fund Schroder AS Gold and Precious Metals Fund (a) Audited TER (a) Schroder AS Gold and Precious Metals Fund was formerly known as Schroder AS Gold and Metals Fund until 3 May 2011.

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7 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Schroder Alternative Solutions Page 7 The Company Schroder Alternative Solutions (the Company ) is an open-ended investment company organised as a société anonyme under the laws of the Grand Duchy of Luxembourg. The Company was incorporated on 6 October 2005 and exists for an indefinite period. During the year under review three funds, Schroder Alternative Solutions Agriculture Fund, Schroder Alternative Solutions Commodity Fund and Schroder Alternative Solutions Gold and Precious Metals Fund 1 (the Funds ), were available for investment within Schroder Alternative Solutions. The details of investment objectives and investment restrictions for the Funds can be found in the Company s current prospectus. The Company constitutes a single legal entity, but the assets of the Funds are invested for the exclusive benefit of the shareholders of the corresponding Funds and are solely accountable for the liabilities, commitments and obligations of the Funds. The Directors may at any time resolve to set up new Funds and/or create within each Fund one or more classes of share. The Directors may decide to make an application to list the shares on any other recognised stock exchange. This report covers the year from 1 October 2010 up to 30 September The last day on which prices were calculated was 30 September 2011, the last working day of the year under review. The financial statements are prepared in accordance with Luxembourg regulations related to undertakings for collective investment. Hereafter, Schroder Alternative Solutions will be referred to as the Company and the names of the Funds will be preceded by Schroder AS, e.g., Schroder AS Commodity Fund. Corporate Governance The Company is subject to corporate governance based on: 1. Its obligations as defined by the UCITS Directive 2009/65/EC dated 13 July 2009, as implemented in Luxembourg law which is available for inspection at the registered office of the Company at 5, rue Hohenhof, L-1736 Senningerberg, Grand Duchy of Luxembourg. 2. Its Articles of Incorporation which are available for inspection at the registered office of the Company and at the Luxembourg corporate and trade register, Registre de Commerce et des Sociétés (RCSL). 3. The obligations in respect of the management of the Company, for which the Company has appointed Schroder Investment Management (Luxembourg) S.A., which is subject to the requirements of the Management Company Directive 2010/43/EC, as implemented in Luxembourg law. 4. The Association of the Luxembourg Fund Industry (ALFI) code of conduct, which the Company has voluntarily adopted. Internal Control and Risk Management Systems The Board of Directors is responsible for establishing and maintaining adequate internal control and risk management systems of the Company in relation to the financial reporting process. Such systems are designed to manage rather than eliminate the risk of error or fraud in achieving the Company's financial reporting objectives and can only provide reasonable and not absolute assurance against material misstatement or loss. The Board of Directors has contracted with the Management Company to put procedures in place to ensure all relevant accounting records are properly maintained and are readily available, including the production of annual and semi-annual reports. The annual and semiannual reports of the Company are required to be approved by the Board of Directors of the Company and filed with the Commission de Surveillance du Secteur Financier (CSSF) and the Registre de Commerce et des Sociétés (RCSL). The annual statutory financial statements are required to be audited by independent auditors who report to the Board of Directors on their findings. The Board meets at least four times a year and ensures that the Company maintains high standards of integrity and control in its operations and that it possesses adequate governance and means of control as law and regulation demand. 1 Schroder AS Gold and Precious Metals Fund was formerly known as Schroder AS Gold and Metals Fund until 3 May 2011.

8 Page 8 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Board of Directors Chairman Richard Mountford Global Head of Intermediary Business Schroder Investment Management Limited 31, Gresham Street London EC2V 7QA United Kingdom Directors Jacques Elvinger Avocat Elvinger, Hoss & Prussen 2, place Winston Churchill L-2014 Luxembourg Grand Duchy of Luxembourg Daniel De Fernando Garcia Independent Director Agatha Christie Madrid Spain Achim Kuessner Country Head Germany, Austria & CEE Schroder Investment Management GmbH Taunustor 2 (Japan Center) Frankfurt Germany Ketil Petersen Country Head Nordic Region Schroder Investment Management A/S Store Strandstraede Copenhagen K Denmark Gavin Ralston Global Head of Product Schroder Investment Management Limited 31, Gresham Street London EC2V 7QA United Kingdom Georges-Arnaud Saier Independent Director 49, Avenue George V Paris France The Directors Fees payable to the Independent Directors for the year under review were EUR 33,

9 Administration Schroder Alternative Solutions Audited Annual Report 30 September 2011 Page 9 Registered Office Management Company and Domiciliary Agent Investment Manager Custodian Auditor Principal Legal Advisers 5, rue Höhenhof, L-1736 Senningerberg, Grand Duchy of Luxembourg Schroder Investment Management (Luxembourg) S.A. 5, rue Höhenhof, L-1736 Senningerberg, Grand Duchy of Luxembourg Schroder Investment Management Limited 31, Gresham Street, London EC2V 7QA, United Kingdom J.P. Morgan Bank Luxembourg S.A. European Bank & Business Centre, 6, route de Trèves, L-2633 Senningerberg, Grand Duchy of Luxembourg Deloitte Audit S.à.r.l Cabinet de révision agréé 560, rue de Neudorf, L-2220 Luxembourg, Grand Duchy of Luxembourg Elvinger, Hoss & Prussen 2, place Winston Churchill, B.P. 425, L-2014 Luxembourg, Grand Duchy of Luxembourg Simmons & Simmons CityPoint, One Ropemaker Street, London EC2Y 9SS, United Kingdom

10 Page 10 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Directors Report On 30 September 2011, the total net assets of Schroder Alternative Solutions were USD 5,257,612,259 compared with USD 6,572,433,049 on 30 September 2010, representing a decrease of 20%. During the year under review, the following changes took effect: 3 May 2011 With effect from 3 May 2011, the name of Schroder AS Gold and Metals changed to Schroder AS Gold and Precious Metals as a result of the Board of Directors amending the investment approach of the Sub-Fund. The Sub-Fund s investment objective, as stated in the Company s Prospectus, has also been amended. The perfomance fee which was charged during the year under review has been removed. The Board of Directors Schroder Alternative Solutions 30 September 2011

11 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Investment Manager s Report Page 11 Commodities have provided positive returns over the 12-month period as a whole, although the picture in the first six months was very different to that in the second. The first half saw the asset class surge on signs of an economic recovery in the US and Europe, some apparent dissipation of worries surrounding European sovereign debt, continued supply disruptions in key agricultural markets and a wave of political turmoil in the Middle East which drove energy prices higher on concerns about potential disruption to supply. However, returns were negative in the second six months as the fundamental backdrop for commodities generally, but for energy and metals specifically, deteriorated. However, these falls have come after an exceptional period of performance for commodities. From the lows of May 2010 to the highs of April this year, commodity indices rose more than 50%, barely pausing for breath along the way. Since April, the momentum of economic recovery in the US seemed to stall, the political and economic drivers within Europe became increasingly confusing, Asian stockmarkets fell lower as worries surrounding the sustainability of China s economic path grew, and there was disappointment from markets as the Federal Reserve elected to maintain a wait-and-see approach to monetary policy once its quantitative easing programme expired on 30 June. Furthermore, the importance of determining whether a fully-fledged banking crisis was likely if the worst happened in Europe began to assume a much greater importance for investors of all kinds. However, the gold market continued to climb as investors looked for a safe haven from volatility in other asset classes and as a protection against inflation. Whether the gold market can hold on to the gains registered so far this year remains an open question. We are conscious of the fact that the yellow metal is now on course for its eleventh straight year of positive gains, something which is wholly unprecedented in the history of financial markets going back to Investment outlook The coming months are likely to present the most daunting challenges faced by investors since the depths of the financial crisis of Until recently, we had subscribed to a benign outlook for the global economy and the prospects for financial assets; strong growth was not likely, but neither was another crisis. Since June, data from the US has been more positive, but the deteriorating economic and political fundamentals in Europe combined with serious doubts about sustainability of China s current path, have seen our top-down view change considerably. If two of the great themes of our investment age, namely an undervalued Chinese currency and a currency union in Europe, can be considered structural in nature, and we believe that they are, then it seems inconceivable that the imbalances arising from them can be alleviated by central bank policy alone. Central banks can try to smooth the transition once the political will exists to undertake painful and much needed structural reform, but they cannot perform miracles; they, too, have also been proven highly fallible during the past several years. In addition, the tools now left at their disposal seem limited. In theory, there is no limit to the measures that central banks may take (they could buy equities, for example) to stem a panic, but the possibility of their own balance sheets being wiped out by declines in the value of the assets they purchase, and robust political opposition to further money printing to bail them out, argues against this. Therefore, we assess the probability of further meaningful quantitative easing as low at this point and, as a result, US dollar strength is likely. The fiscal constraints under which most governments now operate, due to currency and debt concerns, are increasing political instability and raising the possibility of harmful miscalculations on the part of key policymakers. Everywhere, it seems, politics is fast overshadowing economics. Energy For some time, we have struggled to construct a scenario under which energy prices might be expected to stage a medium-term rally. Thus far in 2011, the supply side of the market has not appeared so constrained that higher prices appeared likely, even taking into account the Arab Spring, and we have no reason to change our view. Much has been made of robust emerging economy demand, but we are sceptical of the ability of these nations to consume enough on an absolute basis to materially tighten balances, particularly given the risk of recession in the US and Europe. Inventories are neutral; neither high enough to cause a price decline, but sufficiently comfortable that they will not provide the basis for a sustainable rally. In natural gas we anticipate remaining bearish until prices move low enough to constrain supply.

12 Page 12 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Investment Manager s Report (cont) Metals Fundamentals for base metals remain bearish. Prices have been high enough above marginal cost to incentivise supply at a time when the global economy, ex-china, has been weakening. Within China, serious doubts remain about end-use consumption versus financial demand. Inventorywise, examples of plentiful stocks abound on the London Metal Exchange: record highs in aluminium, 41-year highs in lead and 16-year highs in zinc. We are therefore avoiding this asset class. A prolonged period of bullishness has given way to a period of feeling agnostic about the prospects for gold and other precious metals. If our expected period of dollar strength transpires, gold will likely not perform well. However, where appropriate, gold exposure is greatly preferred over precious metals. Agriculture The fundamentals are mixed depending on the product in question. The global feed markets (corn in particular), oilseeds and sugar supply/demand balances remain tight despite supply constraints beginning to ease outside the US. In contrast, wheat, cocoa and coffee fundamentals look more negative given large global supply and the growing possibility of a slowdown in consumption in the near future. We are becoming more cautious about cotton given the large crops outside the US, and the increasing probability that Chinese imports will decline in the coming months. In meats markets, the US is likely to face a contraction in the supply of meats in the coming months given the large liquidation movements in both cattle and poultry, and lower imports of beef. This should be supportive for live cattle and lean hog prices. Finally, we expect the sharp correction observed in grains, oilseeds, softs and materials during September to continue in the next few months. The Investment Manager Schroder Alternative Solutions 30 September 2011 The information contained in this report is historical and not necessarily indicative of future performance.

13 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Notes to the Financial Statements as at 30 September 2011 Page 13 The Company The Company is an umbrella structured open-ended investment company with limited liability and qualifies as an undertaking for collective investment (UCI) which was regulated by the provisions of Part II of the Luxembourg law of 20 December 2002 regarding undertakings for collective investment (the 2002 law ) until 31 December 2010 and since 1 January 2011 is regulated by the provisions of Part II of the Luxembourg law of 17 December 2010 regarding undertaking for collective investment (the 2010 law ). The Management Company The Directors have designated Schroder Investment Management (Luxembourg) S.A. as the Management Company to perform investment management, administration, shareholder registration, dealing and marketing functions in respect of the Company. The Management Company has been permitted by the Company to delegate certain administrative, distribution and management functions to specialised service providers. The Management Company monitors on a continued basis the activities of the third parties to which it has delegated functions. The Management Company is entitled to fees for its services which are accrued daily at an annual rate of up to 0.4% by reference to the Net Asset Value of the relevant Fund and are paid monthly. These fees are subject to review from time to time by the Management Company and the Company. Classes of Shares During the year under review, the following classes of share were available for investment: Fund Schroder AS Agriculture Fund Schroder AS Commodity Fund Schroder AS Gold and Precious Metals Fund * Classes of Share A, C, D & I Acc share classes A & C Dis share classes A, C & I Acc CHF Hedged share classes A, C & I Acc EUR Hedged share classes A, C & I Acc GBP Hedged share classes A Acc SGD Hedged share class A & C Dis GBP Hedged share classes A, C, D, I & X Acc share classes A, C, I & J Dis share classes A, C & I Acc CAD Hedged share classes A, C & I Acc CHF Hedged share classes A, C & I Acc EUR Hedged share classes A, C & I Acc GBP Hedged share classes A Acc SGD Hedged share class I Acc JPY Hedged share class A & C Dis GBP Hedged share classes A, C, D & I Acc share classes A & C Dis share classes A, C & I Acc CHF Hedged share classes A, C & I Acc EUR Hedged share classes A Acc SGD Hedged share class A & C Dis GBP Hedged share classes Initial Charges The Management Company and Distributors are entitled to an initial charge, which can be partly or fully waived at the discretion of the Management Company or of the relevant Distributor. The initial charge attributed to each class of share is shown below: Intial Charge A Shares C Shares D Shares I Shares J Shares X Shares Up to % of the Net Asset Value per share Up to % of the Net Asset Value per share None None None None * Schroder AS Gold and Precious Metals Fund was formerly known as Schroder AS Gold and Metals Fund until 3 May 2011.

14 Page 14 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Notes to the Financial Statements as at 30 September 2011 (cont) Minimum Subscription Amount, Minimum Additional Subscription Amount and Minimum Holding Amount The minimum subscription amount, minimum additional subscription amount and minimum holding amount for each class shown below are stated in the relevant currency although near equivalent amounts in any other freely convertible currency are acceptable. These minima may be waived at the Directors discretion from time to time. Share Class Minimum Subscription Amount Minimum Additional Subscription Amount Minimum Holding Amount A Shares USD 10,000 USD 5,000 USD 10,000 C Shares USD 250,000 USD 125,000 USD 250,000 D Shares USD 10,000 USD 5,000 USD 10,000 I Shares USD 5,000,000 USD 2,500,000 USD 5,000,000 J Shares USD 5,000,000 USD 2,500,000 USD 5,000,000 X Shares USD 25,000,000 USD 12,500,000 USD 25,000,000 Net Asset Value Calculation of Net Asset Value per Share The Net Asset Value per Share of each Class is calculated on each Dealing Day in the currency of the relevant class. It is calculated by dividing the net asset value attributable to each class, being the proportionate value of its assets less its liabilities, by the number of shares of such class then in issue. The resulting sum is rounded to the nearest two decimal places. Further details on rules that apply in valuing total assets can be found in the current prospectus. Valuation of the Assets of the Fund The value of securities, assets (including shares or units in closed-ended undertakings for collective investment) and derivative instruments is determined on the basis of the last available price on the stock exchange or any other Regulated Market on which these securities, assets or derivative instruments are traded or admitted for trading. Where such securities, assets or derivative instruments are quoted or dealt in one or by more than one stock exchange or any other Regulated Market, the Directors shall make regulations for the order of priority in which stock exchanges or other Regulated Markets shall be used for the provision of prices of securities, assets or derivative instruments. If a security or derivative instrument is not traded or admitted on any official stock exchange or any Regulated Market, or in the case of securities and derivative instruments so traded or admitted the last available price of which does not reflect their true value, the Directors are required to proceed on the basis of their expected sales price, which shall be valued with prudence and in good faith. Swaps contracts are valued at the market value fixed in good faith by the Directors and according to generally accepted valuation rules. Asset based swap contracts will be valued by reference to the market value of the underlying assets. Cash flow based swap contracts will be valued by reference to the net present value of the underlying future cash flows. Each share or unit in an open-ended undertaking for collective investment is valued at the last available Net Asset Value (or bid price for dual priced undertakings for collective investment) whether estimated or final, which is computed for such unit or shares on the same Dealing Day, failing which, it is the last Net Asset Value (or bid price for dual priced undertakings for collective investment) computed prior to the Dealing Day on which the Net Asset Value of the shares in the Company is determined. Liquid assets and money market instruments are usually valued on an amortised cost basis. The value of any cash in hand or on deposit, bills and demand notes and accounts receivable, prepaid expenses, cash dividends and interest declared or accrued as aforesaid and not yet received are deemed to be the full amount thereof, unless in any case the same is unlikely to be paid or received in full, in which case the value thereof is arrived at after making such discount as the Company may consider appropriate in such case to reflect the true value thereof. Any assets or liabilities in currencies other than the base currency of the Funds are converted using the relevant spot rate quoted by a bank or other responsible financial institution.

15 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Notes to the Financial Statements as at 30 September 2011 (cont) Page 15 Realised gains and losses on sales of Investments Realised gains and losses on sales of investments in securities are determined on the average cost basis and include transaction costs. Taxation The Company is not subject to any taxes in Luxembourg on income or capital gains. The only tax to which the Company is subject in Luxembourg is the taxe d abonnement at a rate of up to 0.05% per annum based on the net asset value of each Fund at the end of the relevant quarter, calculated and paid quarterly. In respect of I, J and X shares, which comprise only institutional investors, the tax levied is at 0.01% per annum. Changes in the Funds A list, specifying the total purchases and sales for each Fund, which took place during the year under review may be obtained free of charge upon request at the registered office of the Management Company. Cash Collateral Reinvestment For the purpose of counterparty risk mitigation, Funds with currency hedging transactions related to hedged share classes will pay or receive cash collateral on a daily basis from the counterparty, thus reducing their exposure over the duration of the forward contract. Investment Managers may reinvest the cash collateral they receive from their counterparty in connection with currency hedging. Collateral receivable or payable at the maturity date of the forward contracts are shown in the Statement of Net Assets as Hedged Currency Class Forward Contract Collateral Receivable/Payable. Collateral calls receivable or payable are shown in the Statement of Net Assets as Net Hedged Currency Class Forward Contract Collateral Calls Receivable/Payable. Forward Foreign Exchange Contracts Outstanding forward foreign exchange contracts are valued on 30 September 2011 by reference to the forward rate of exchange applicable to the outstanding life of the relevant contract. The unrealised appreciation or depreciation is shown in the Statement of Net Assets. On 30 September 2011, the Funds were committed to the following forward foreign exchange contracts: Unrealised Appreciation/ Currency Bought Currency Sold Maturity Date (Depreciation) Schroder AS Agriculture Fund CHF 98,898 USD 110, Oct-2011 ( 844 ) EUR 83,844,660 USD 113,995, Oct-2011 ( 1,016,530 ) GBP 59,808,928 USD 93,654, Oct-2011 ( 425,522 ) SGD 27,374,510 USD 21,376, Oct-2011 ( 357,265 ) USD 1,700 CHF 1, Oct USD 2,102,100 EUR 1,546, Oct ,672 USD 1,544,900 GBP 988, Oct ,560 USD 331,800 SGD 430, Oct ,384 USD ( 1,776,534 ) Schroder AS Commodity Fund CAD 2,066,730 USD 2,027, Oct-2011 ( 48,583 ) CHF 358,749,473 USD 400,837, Oct-2011 ( 3,060,839 ) EUR 667,233,377 USD 907,170, Oct-2011 ( 8,089,517 ) GBP 258,543,138 USD 404,852, Oct-2011 ( 1,839,453 ) JPY 12,900,904,879 USD 168,649, Oct-2011 ( 616,462 ) SGD 181,290,483 USD 141,570, Oct-2011 ( 2,366,026 ) USD 16,298,000 EUR 11,993, Oct ,014 USD 4,355,700 GBP 2,786, Oct ,857 USD 1,628,000 SGD 2,111, Oct ,788 USD ( 15,864,221 )

16 Page 16 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Notes to the Financial Statements as at 30 September 2011 (cont) Forward Foreign Exchange Contracts (cont) Unrealised Appreciation/ Currency Bought Currency Sold Maturity Date (Depreciation) Schroder AS Gold and Precious Metals Fund CHF 5,143,655 USD 5,747, Oct-2011 ( 43,886 ) EUR 26,318,108 USD 35,782, Oct-2011 ( 319,080 ) GBP 4,444,409 USD 6,959, Oct-2011 ( 31,621 ) SGD 54,403,601 USD 42,481, Oct-2011 ( 707,562 ) USD 177,600 CHF 159, Oct ,140 USD 674,400 EUR 496, Oct ,670 USD 223,000 GBP 142, Oct USD ( 1,094,681 ) Futures Contracts Futures contracts are valued on 30 September 2011, which reflects the latest available price at close of business. The unrealised appreciation or depreciation is shown in the Statement of Net Assets. On 30 September 2011, the Funds held the following open futures contracts: Maturity Date Quantity Contract Currency (Short)/ Long Position Market Price Unrealised Appreciation/ (Depreciation) Schroder AS Agriculture Fund Nov ,648 Canola Future (WCE) CAD 19,276, ( 1,646,330 ) Nov Mill Wheat Euro Future EUR 9,377, ( 1,863,186 ) Nov Rough Rice Future (CBOT) USD 18,928, ( 60,770 ) Nov ,220 Soybean Future USD 83,058, ( 8,318,658 ) Dec Cocoa Future USD 10,666,014 2,625 ( 1,163,514 ) Dec Cocoa Future (LIF) GBP 4,188,477 1,713 ( 948,442 ) Dec Coffee 'C' Future USD 42,025, ( 5,732,209 ) Dec Corn Future USD 3,838, ( 475,572 ) Dec Cotton NO.2 Future USD 9,664, ( 205,784 ) Dec Lean Hogs Future USD 20,354, ,005 Dec Live Cattle Future USD 20,333, ,726 Dec Oat Future USD 13,206, ( 2,641,325 ) Dec Soybean Meal Future USD 15,187, ( 1,706,620 ) Dec Soybean Oil Future USD 4,219, ( 524,154 ) Dec Wheat Future (CBT) USD 7,235, ( 816,607 ) Dec Wheat Future (KCB) USD 10,175, ( 981,275 ) Jan Lumber Future USD 14,176, ( 2,633,081 ) Feb Live Cattle Future USD 21,284, ,218 Feb SUGAR 11 (WORLD) Future USD 9,767, ( 1,017,713 ) Mar Lumber Future USD 10,868, ( 777,156 ) Mar Rough Rice Future (CBOT) USD 4,721, ( 306,980 ) Mar Wheat Future (CBT) USD 6,263, ( 612,197 ) USD ( 31,907,624 ) Schroder AS Commodity Fund Oct ,609 Brent Crude Future USD 182,595, ( 17,962,715 ) Oct Crude Oil Future USD 26,143, ( 5,086,337 ) Oct LME ALUM HG Future USD 56,361,480 2, ( 7,654,991 ) Oct LME ALUM HG Future USD -23,364,250 2, ,476,806 Oct LME COPPER Future USD 47,023,900 7,137 ( 11,874,175 ) Oct LME COPPER Future USD -42,059,072 7,137 6,909,347 Nov ,728 Crude Oil Future USD 173,150, ( 33,943,277 ) Nov FCOJ-A Future USD 14,524, ( 1,637,240 ) Nov ,058 Gasoline RBOB Future USD 117,322, ( 6,658,809 ) Nov ,139 Heating Oil Future USD 145,659, ( 12,158,171 ) Nov ,602 LME ALUM HG Future USD 216,550,844 2, ( 16,257,131 ) Nov LME COPPER Future USD 76,364,500 7,249 ( 14,385,550 ) Nov LME COPPER Future USD -71,026,047 7,249 9,047,097 Nov LME NICKEL Future USD 40,933,320 18,658 ( 11,490,996 ) Nov LME NICKEL Future USD -13,053,600 18,658 1,858,800 Nov ,940 Mill Wheat Euro Future EUR 21,104, ( 4,192,954 )

17 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Notes to the Financial Statements as at 30 September 2011 (cont) Page 17 Futures Contracts (cont) Maturity Date Quantity Contract Currency (Short)/ Long Position Market Price Unrealised Appreciation/ (Depreciation) Schroder AS Commodity Fund (cont) Nov Soybean Future USD 37,189, ( 3,800,953 ) Dec Brent Crude Future USD 106,944, ( 10,840,586 ) Dec Cocoa Future USD 11,063,430 2,625 ( 1,219,680 ) Dec Cocoa Future (LIF) GBP 19,419,244 1,713 ( 4,397,230 ) Dec Coffee 'C' Future USD 63,440, ( 8,528,299 ) Dec ,523 Copper Future USD 164,963, ( 43,599,928 ) Dec ,036 Corn Future USD 37,160, ( 4,604,600 ) Dec Cotton NO.2 Future USD 51,644, ( 13,709,812 ) Dec Gold 100 OZ Future USD 176,556,659 1,613.4 ( 17,798,099 ) Dec ,213 Lean Hogs Future USD 41,613, ,855 Dec ,095 Live Cattle Future USD 102,648, ( 1,501,814 ) Dec LME ALUM HG Future USD 32,609,550 2,246 ( 2,793,900 ) Dec LME ALUM HG Future USD -42,546,375 2,246 12,730,725 Dec LME COPPER Future USD 26,465,313 7, ,494,213 Dec LME COPPER Future USD -4,462,650 7,150.5 ( 1,078,988 ) Dec Soybean Oil Future USD 5,106, ( 634,271 ) Jan Gas Oil Future (ICE) USD 51,099, ( 4,179,900 ) Feb Gold 100 OZ Future USD 132,768,629 1,618.9 ( 6,656,319 ) Feb Lean Hogs Future USD 26,751, ,197 Feb Live Cattle Future USD 11,230, ( 5,339 ) Feb SUGAR 11 (WORLD) Future USD 31,191, ( 3,250,115 ) Mar Wheat Future (CBT) USD 6,035, ( 589,935 ) May ,584 Crude Oil Future USD 163,593, ( 33,736,774 ) USD ( 271,120,848 ) Schroder AS Gold and Precious Metals Fund Dec Gold 100 OZ Future USD 52,364,536 1,613.4 ( 897,076 ) Dec LME COPPER Future USD 4,550,975 7, ,850 Dec LME COPPER Future USD -5,822,525 7, ,174,700 Feb Gold 100 OZ Future USD 37,491,783 1,618.9 ( 3,332,993 ) Apr Gold 100 OZ Future USD 19,430,930 1,617.4 ( 183,871 ) USD ( 3,142,390 ) Swaps Contracts Swaps are valued on 30 September 2011, which reflects the latest available price at close of business. The unrealised appreciation or depreciation is shown in the Statement of Net Assets. On 30 September 2011, the Funds held the following open swap contracts: Unrealised Appreciation/ Position Description Currency Nominal Amount Maturity Date (Depreciation) Schroder AS Agriculture Fund Buy FCOJ-A Future USD 4,245, Oct-2011 ( 948,758 ) Buy Rough Rice Future (CBOT) USD 812, Oct ,420 Buy Cocoa Future USD 2, Nov-2011 ( 918,414 ) Buy Cotton NO.2 Future USD 7,550, Nov-2011 ( 2,746,051 ) Buy Cotton NO.2 Future USD 27,950, Nov-2011 ( 9,288,241 ) Buy Cotton NO.2 Future USD 9,100, Nov-2011 ( 451,255 ) Buy Wheat Future (CBT) USD 1,935, Nov-2011 ( 4,487,845 ) Buy Corn Future USD 1,050, Nov-2011 ( 603,500 ) Buy Corn Future USD 7,440, Nov-2011 ( 4,062,139 ) Buy Wheat Future (CBT) USD 705, Nov-2011 ( 693,240 ) Buy Wheat Future (CBT) USD 770, Nov-2011 ( 668,083 ) Buy Wheat Future (CBT) USD 1,700, Nov-2011 ( 1,520,869 ) Buy Soybean Oil Future USD 25,620, Nov-2011 ( 1,852,326 ) Buy Wheat Future (CBT) USD 8,335, Nov-2011 ( 7,922,417 ) Buy Live Cattle Future USD 10,640, Dec ,710 Buy SUGAR 11 (WORLD) Future USD 36,288, Feb-2012 ( 1,036,174 ) USD ( 36,252,182 )

18 Schroder AS Gold and Precious Metals Fund * A Shares 1.50% Page 18 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Notes to the Financial Statements as at 30 September 2011 (cont) Swaps Contracts (cont) Unrealised Appreciation/ Position Description Currency Nominal Amount Maturity Date (Depreciation) Schroder AS Commodity Fund Buy Soybean Future USD 2,260, Oct-2011 ( 2,322,018 ) Buy Soybean Future USD 3,440, Oct-2011 ( 3,714,598 ) Buy Soybean Future USD 4,595, Oct-2011 ( 5,420,208 ) Buy Soybean Future USD 3,170, Oct-2011 ( 3,826,683 ) Buy Cocoa Future USD 4, Nov-2011 ( 1,374,476 ) Buy Cocoa Future USD 9, Nov-2011 ( 3,188,942 ) Buy Coffee 'C' Future USD 23,512, Nov-2011 ( 7,834,365 ) Buy Cotton NO.2 Future USD 10,850, Nov-2011 ( 3,605,632 ) Buy Cotton NO.2 Future USD 10,900, Nov-2011 ( 3,964,497 ) Buy Cotton NO.2 Future USD 25,000, Nov-2011 ( 1,239,711 ) Buy Corn Future USD 6,585, Nov-2011 ( 2,566,373 ) Buy Corn Future USD 9,965, Nov-2011 ( 5,727,498 ) Buy Soybean Oil Future USD 36,120, Nov-2011 ( 1,945,929 ) Buy Wheat Future (CBT) USD 2,110, Nov-2011 ( 1,830,720 ) Buy Wheat Future (CBT) USD 3,635, Nov-2011 ( 3,574,364 ) Buy Wheat Future (CBT) USD 4,630, Nov-2011 ( 4,142,131 ) Buy Corn Future USD 6,250, Nov-2011 ( 3,593,750 ) Buy Wheat Future (CBT) USD 2,120, Nov-2011 ( 2,015,060 ) Buy Live Cattle Future USD 47,120, Dec ,169,572 Buy SUGAR 11 (WORLD) Future USD 226,352, Feb-2012 ( 6,463,294 ) USD ( 65,180,677 ) Formation Expenses The expenses of establishing the Fund, including printing costs, travel, legal fees, and other costs associated with the setting up and launching of the Fund are amortised over a period not exceeding five years. Management Fees The Investment Manager is entitled to receive management fees as remuneration for its services. Such fees are calculated and accrued daily by reference to the Net Asset Value of the Funds and are paid monthly. The fees payable, which vary from share class to share class, are shown below: Fund Share Class Management Fee Schroder AS Agriculture Fund Schroder AS Commodity Fund A Shares 1.75% C Shares 1.25% D Shares 1.75% I Shares None A Shares 1.50% C Shares 1.00% D Shares 1.50% I, J & X Shares None C Shares 1.00% D Shares 1.50% I Shares None * Schroder AS Gold and Precious Metals Fund was formerly known as Schroder AS Gold and Metals Fund until 3 May 2011.

19 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Notes to the Financial Statements as at 30 September 2011 (cont) Page 19 Performance Fees The Investment Manager is entitled to receive performance fees in addition to management fees. The performance fee is 10% of the increase in the Net Asset Value per share over the financial year and is payable annually in October. The share classes in relation to which a performance fee may become payable are Class A, C, D and X shares. No performance fee is payable with respect of the Class I and J shares. The performance fees payable for the year under review are shown in the Statement of Net Assets. Dividends During the year under review, the Company made the following dividend distributions: Record Ex-Dividend Payment Dividend Date Date Date Fund Currency per Share 23-Feb Feb Mar-2011 Schroder AS Commodity Fund SAS Commodity Fund J Distribution USD Sep Sep Oct-2011 Schroder AS Commodity Fund SAS Commodity Fund I Distribution USD Subsequent Events The Company in the previous year received notice of a potential claim concerning the close out of a number of swap transactions made on 12 September 2008 with Lehman Brothers Commodities Services Inc. As at the date of signing of this report there remains no certainty that a formal legal claim will be made against the Company. If a claim is made its merits would be assessed at that time. Information for Residents of the Hong Kong SAR Registration of Portfolios On 30 September 2011, Schroder AS Agriculture Fund, Schroder AS Commodity Fund and Schroder AS Gold and Precious Metals Fund 1 were registered for sale in Hong Kong SAR. Soft Commission Arrangements Pursuant to the requirements of the Hong Kong Securities and Futures Commission regulations, the following statement is made: Soft commission arrangements have been undertaken in respect of the Company. Services which are paid for through or by soft commission were in majority limited to the following areas: a) Research, analysis or price information including computer or other information facilities; b) Portfolio valuations; or c) Performance measurement. Related Party Transactions The Company has entered into agreements and arrangements with Schroder Investment Management Limited and its affiliates, under which a management fee, performance fee and a transfer agency fee are payable. These agreements and arrangements have been entered into in the ordinary course of business and on normal commercial terms. Details on management fees and performance fees are set out in the respective sections above. In addition, the Management Company is entitled to receive the customary charges for its services as administration agent, coordinator, domiciliary agent, global distributor, principal paying agent and registrar and transfer agent. These fees accrue daily at an annual rate of up to 0.4% by reference to the Net Asset Value of the relevant portfolio and are paid monthly in arrears. Further details on fees payable by the Company can be found in the current prospectus. No transactions of the Company were effected through a broker who is a connected person of the Management Company, the Investment Adviser or the Directors of the Company. 1 Schroder AS Gold and Precious Metals Fund was formerly known as Schroder AS Gold and Metals Fund until 3 May 2011.

20 Page 20 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Fund Performance (Unaudited) as at 30 September 2011 Sub-Fund/Class * Launch Date 1 Year % 2 Years % 3 Years % Since Launch % Schroder AS Agriculture Fund A Acc 27 October Schroder AS Agriculture Fund C Acc 27 October Schroder AS Agriculture Fund D Acc 31 October ( 0.38 ) Schroder AS Agriculture Fund I Acc 27 October Schroder AS Agriculture Fund A Dis 20 April Schroder AS Agriculture Fund C Dis 20 April Benchmark: Rogers International Agriculture Index Schroder AS Agriculture Fund A Acc (CHF Hedged) 16 January ( 1.28 ) 9.24 Schroder AS Agriculture Fund C Acc (CHF Hedged) 16 January Schroder AS Agriculture Fund I Acc (CHF Hedged) 16 January Benchmark: Rogers International Agriculture Index (TR) (CHF Hedged) Schroder AS Agriculture Fund A Acc (EUR Hedged) 27 October ( 0.21 ) Schroder AS Agriculture Fund C Acc (EUR Hedged) 27 October Schroder AS Agriculture Fund I Acc (EUR Hedged) 27 October Benchmark: Rogers International Agriculture Index (TR) (EUR Hedged) Schroder AS Agriculture Fund A Acc (GBP Hedged) 27 October ( 0.10 ) Schroder AS Agriculture Fund C Acc (GBP Hedged) 27 October Schroder AS Agriculture Fund I Acc (GBP Hedged) 27 October Schroder AS Agriculture Fund A Dis (GBP Hedged) 20 April ( 0.10 ) Schroder AS Agriculture Fund C Dis (GBP Hedged) 20 April Benchmark: Rogers International Agriculture Index (TR) (GBP Hedged) Schroder AS Agriculture Fund A Acc (SGD Hedged) 15 February Benchmark: Rogers International Agriculture Index (TR) (SGD Hedged) Schroder AS Commodity Fund A Acc 31 October ( 7.84 ) Schroder AS Commodity Fund C Acc 31 October ( 5.87 ) Schroder AS Commodity Fund D Acc 31 October ( ) Schroder AS Commodity Fund I Acc 31 October ( 2.40 ) Schroder AS Commodity Fund X Acc 26 February Schroder AS Commodity Fund A Dis 20 April ( 7.83 ) Schroder AS Commodity Fund C Dis 20 April ( 5.86 ) Schroder AS Commodity Fund I Dis 18 December Schroder AS Commodity Fund J Dis 07 March ( 2.63 ) Benchmark: Composite Benchmark ( ) ( 6.73 ) Schroder AS Commodity Fund A Acc (CAD Hedged) 05 May ( ) Schroder AS Commodity Fund C Acc (CAD Hedged) 05 May ( ) Schroder AS Commodity Fund I Acc (CAD Hedged) 05 May ( 7.73 ) Benchmark: Composite Benchmark (CAD Hedged) ( ) ( 6.09 ) Schroder AS Commodity Fund A Acc (CHF Hedged) 16 January ( ) Schroder AS Commodity Fund C Acc (CHF Hedged) 16 January ( ) Schroder AS Commodity Fund I Acc (CHF Hedged) 16 January ( 7.21 ) Benchmark: Composite Benchmark (CHF Hedged) ( ) ( ) * All fund performance data are on a NAV to NAV basis (Bid to Bid), adjusted for dividends, net of expenses and gross of taxes. Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get back the amount originally invested.

21 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Fund Performance (Unaudited) as at 30 September 2011 (cont) Page 21 Sub-Fund/Class * Launch Date 1 Year % 2 Years % 3 Years % Since Launch % Schroder AS Commodity Fund A Acc (EUR Hedged) 31 October ( ) Schroder AS Commodity Fund C Acc (EUR Hedged) 31 October ( 9.48 ) Schroder AS Commodity Fund I Acc (EUR Hedged) 31 October ( 6.10 ) Benchmark: Composite Benchmark (EUR Hedged) ( ) ( 6.12 ) Schroder AS Commodity Fund A Acc (GBP Hedged) 09 June ( ) Schroder AS Commodity Fund C Acc (GBP Hedged) 09 June ( 9.69 ) Schroder AS Commodity Fund I Acc (GBP Hedged) 09 June ( 6.35 ) Schroder AS Commodity Fund A Dis (GBP Hedged) 20 April ( ) Schroder AS Commodity Fund C Dis (GBP Hedged) 20 April ( 9.70 ) Benchmark: Composite Benchmark (GBP Hedged) ( ) ( 4.29 ) Schroder AS Commodity Fund I Acc (JPY Hedged) 14 May Benchmark: Composite Benchmark (JPY Hedged) ( ) ( ) Schroder AS Commodity Fund A Acc (SGD Hedged) 21 September ( ) Benchmark: Composite Benchmark (SGD Hedged) ( ) ( ) Schroder AS Gold and Precious Metals Fund A Acc ** 07 July Schroder AS Gold and Precious Metals Fund C Acc ** 07 July Schroder AS Gold and Precious Metals Fund D Acc ** 07 July Schroder AS Gold and Precious Metals Fund I Acc ** 07 July Schroder AS Gold and Precious Metals Fund A Dis ** 07 July Schroder AS Gold and Precious Metals Fund C Dis ** 07 July Benchmark: 75% Rogers Metals TR / 25% DJ UBS Gold TR Schroder AS Gold and Precious Metals Fund A Acc (CHF Hedged) ** 07 July Schroder AS Gold and Precious Metals Fund C Acc (CHF Hedged) ** 07 July Schroder AS Gold and Precious Metals Fund I Acc (CHF Hedged) ** 07 July Benchmark: 75% Rogers Metals TR / 25% DJ UBS Gold TR CHF Hedged Schroder AS Gold and Precious Metals Fund A Acc (EUR Hedged) ** 07 July Schroder AS Gold and Precious Metals Fund C Acc (EUR Hedged) ** 07 July Schroder AS Gold and Precious Metals Fund I Acc (EUR Hedged) ** 07 July Benchmark: 75% Rogers Metals TR / 25% DJ UBS Gold TR EUR Hedged Schroder AS Gold and Precious Metals Fund A Dis (GBP Hedged) ** 07 July Schroder AS Gold and Precious Metals Fund C Dis (GBP Hedged) ** 07 July Benchmark: 75% Rogers Metals TR / 25% DJ UBS Gold TR GBP Hedged Schroder AS Gold and Precious Metals Fund A Acc (SGD Hedged) ** 29 August Benchmark: 75% Rogers Metals TR / 25% DJ UBS Gold TR SGD Hedged * All fund performance data are on a NAV to NAV basis (Bid to Bid), adjusted for dividends, net of expenses and gross of taxes. Past performance is not a reliable indicator of future results, prices of shares and the income from them may fall as well as rise and investors may not get back the amount originally invested. ** Schroder AS Gold and Precious Metals Fund was formerly known as Schroder AS Gold and Metals Fund until 3 May 2011.

22 Page 22 Schroder Alternative Solutions Audited Annual Report 30 September 2011 Audit Report To the Shareholders of Schroder Alternative Solutions, Luxembourg Following our appointment at the Annual General Meeting of the Shareholders on 20 December 2010, we have audited the accompanying financial statements of Schroder Alternative Solutions and each of it s sub-funds, which comprised of the Statement of Net Assets, the Portfolio of Investments as at 30 September 2011, the Statement of Operations and the Statement of Changes in Net Assets for the financial year then ended and a summary of significant accounting polices and other explanatory Notes to the Financial Statements. Responsibility of the SICAV s Board of Directors for the Financial Statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance as to whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgement of the Auditor, including the assessment of the risks of material misstatement of the financial statements whether due to fraud or error. In making those risk assessments, the Auditor considers internal controls relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal controls. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of Schroder Alternative Solutions and each of it s sub-funds as at 30 September 2011, and of the results of their operations and changes in their net assets for the financial year then ended in accordance with the Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matters Supplementary information included in the Annual Report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observations to make concerning such information in the context of the financial statements as a whole. For Deloitte Audit S.à.r.l, Cabinet de révision agréé 560, rue de Neudorf L-2220 Luxembourg Grand Duchy of Luxembourg Luxembourg, 9 December 2011 Johnny Yip, Réviseur d'entreprises agréé Partner