Schroder Alternative Solutions Semi-Annual Report

Transcription

1 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Switzerland R.C.S. Luxembourg B

2

3 Schroder Alternative Solutions Société d Investissement à Capital Variable (SICAV) Semi-Annual Report 31 March 2017 No subscriptions can be received on the basis of financial 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, the Key Investor Information Document (KIID) and the Articles of Incorporation of the Company are available, free of charge, at the Company s registered office, 5, rue Höhenhof, L-1736 Senningerberg, Grand Duchy of Luxembourg. The Prospectus, the Key Investor Information Document (KIID), the Articles of Association, the list of securities purchased and sold by the Management Company on behalf of the Company as well as the Annual and Semi-Annual Reports of the Company are available free of charge from Schroder Investment Management (Switzerland) AG, Central 2, CH-8001 Zurich, the Representative of the Company in Switzerland and from Schroder & Co Bank AG, Central 2, CH-8001 Zurich, the Paying Agent of the Company in Switzerland.

4

5 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Page 5 Contents Schroder Alternative Solutions Information for Investors in Switzerland Board of Directors Administration Directors Report Investment Manager s Report Notes to the Financial Statements Fund Performance Statement of Net Assets Portfolio of Investments as at 31 March 2017 Schroder AS Agriculture Fund Schroder AS Commodity Fund Appendix I TER (without transaction fees) Appendix II Statement of Changes in Net Assets for the Period Ended 31 March Appendix III Statement of Operations for the Period Ended 31 March Appendix IV Statement of Changes in the number of shares outstanding for the period from 30/09/2015 to 31/03/

6

7 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 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. At the date of this report, 2 Funds were available for investment within Schroder Alternative Solutions (the Funds ). 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 shares. The Directors may decide to make an application to list the shares on any other recognised stock exchange. This report covers the period from 1 October 2016 up to 31 March The last day on which prices were calculated was 31 March 2017, the last working day of the period under review. The financial statements are prepared in accordance with Luxembourg regulations related to undertakings for collective investment. Schroders is a FATCA compliant organisation. The FATCA classification of this entity and its GIIN is as follows: FATCA entity classification: FFI; Sponsoring entity: Schroder Investment Management (Luxembourg) S.A.; Sponsoring entity GIIN: 4RIMT SP.442. Hereafter, 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 Part II of the Luxembourg law of 17 December 2010, as amended, on undertakings for collective investment and the Alternative Investment Fund Managers Directive 2011/61/EU, as implemented in Luxembourg law, which are 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 and the Alternative Investment Fund Managers Directive 2011/61/EU, as implemented in Luxembourg law. 4. The Association of the Luxembourg Fund Industry ( ALFI ) Code of Conduct for Luxembourg Investment Funds, the principles of 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, in the case of annual reports, with 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.

8 Page 8 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Information for Investors in Switzerland Representative Agent and Paying agent The Swiss Federal Banking Commission has approved Schroder Investment Management (Switzerland) AG, Zurich, as representative agent of the Company in Switzerland and Schroder & Co Bank AG, Zurich, as paying agent of the Company in Switzerland. The current Prospectus, the Key Investor Information Documents, the Articles of Incorporation, Annual and Semi-Annual Reports, and the list of total purchases and sales, which took place during the year under review may be obtained free of charge at Schroder Investment Management (Switzerland) AG, Central 2, CH-8001 Zurich. Use of the Management Fee by the Company For the purpose of distribution in Switzerland, reimbursements may be paid, out of the management fee levied, to institutional investors who, from a commercial perspective, are holding fund units for third parties. In addition, trailer fees may be paid, out of the management fee levied, to sales agents and partners.

9 Board of Directors Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Page 9 Chairman Richard Mountford 1 Global Head of Product Schroder Investment Management Limited 31, Gresham Street London EC2V 7QA, United Kingdom Directors Eric Bertrand 2 Head of Schroders GAIA Shackleton Residence Ta Xbiex Seafront XBX 1027 Ta Xbiex, Malta Mike Champion Head of Product Development Schroder Investment Management Limited 31, Gresham Street London EC2V 7QA, United Kingdom Marie-Jeanne Chevremont-Lorenzini Independent Director 19, rue de Bitbourg 1273 Luxembourg, Grand Duchy of Luxembourg Jacques Elvinger 3 Avocat Elvinger Hoss Prussen 2, place Winston Churchill 1340 Luxembourg, Grand Duchy of Luxembourg Daniel De Fernando Garcia Independent Director Serrano Madrid, Spain Bernard Herman 4 Independent Director 11-13, rue de Fischbach 3372 Leudelange, Grand Duchy of Luxembourg Achim Kuessner Country Head Germany, Austria & CEE Schroder Investment Management GmbH Taunustor 1 (Taunus Turm) Frankfurt am Main, Germany Ketil Petersen 5 Country Head Nordic Region Schroders Denmark Filial af Schroder Investment Management (Luxembourg) S.A. Store Strandstraede Copenhagen K, Denmark Neil Walton Head of Investment Solutions Schroder Investment Management Limited 31, Gresham Street London EC2V 7QA, United Kingdom 1 Richard Mountford was appointed to the Board of Directors on 1 February Eric Bertrand was appointed to the Board of Directors on 1 March Jacques Elvinger resigned from the Board of Directors on 31 December Bernard Herman was appointed to the Board of Directors on 18 November Ketil Petersen resigned from the Board of Directors on 7 April 2017.

10 Page 10 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Administration Registered Office Alternative Investment Fund Manager, Principal Paying Agent, Domiciliary Agent, Registrar and Transfer Agent Investment Managers Depositary bank and Fund Administrator Auditor Legal Advisers 5, rue Höhenhof, 1736 Senningerberg, Grand Duchy of Luxembourg Schroder Investment Management (Luxembourg) S.A. 5, rue Höhenhof, 1736 Senningerberg, Grand Duchy of Luxembourg Schroder Investment Management Limited 31, Gresham Street, London EC2V 7QA, United Kingdom Schroder AS Agriculture Fund Schroder AS Commodity Fund J.P. Morgan Bank Luxembourg S.A. European Bank & Business Centre, 6, route de Trèves, 2633 Senningerberg, Grand Duchy of Luxembourg PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator, B.P. 1443, 1014 Luxembourg, Grand Duchy of Luxembourg Elvinger Hoss Prussen 2, place Winston Churchill, 1340 Luxembourg, Grand Duchy of Luxembourg Simmons & Simmons CityPoint, One Ropemaker Street, London EC2Y 9SS, United Kingdom

11 Directors Report Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Page 11 The Directors report contains information in relation to the Company in general and not only funds registered in Switzerland. Introduction The directors of the company submit their report and the financial statements for the period ended 31 March Activities during the period On 31 March 2017, the total net assets of the Company were USD 1,060,188,566 compared with USD 984,590,911 on 30 September 2016, representing an increase of 7.68%. The Alternative Investment Fund Manager has a remuneration policy in place as required by the Law of 12 July 2013 on Alternative Investment Fund Managers. Details of the amounts of remuneration may be obtained upon request and free of charge from the Management Company. The Board of Directors Schroder Alternative Solutions 31 March 2017

12 Page 12 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Investment Manager s Report Economic review The start of the period was dominated by the US presidential election and the surprise victory of Donald Trump. Investors largely welcomed Trump s plans to cut taxes, boost infrastructure spending, and reduce regulation. This pro-growth agenda helped to shift the global policy discussion away from a sole reliance on monetary stimulus. This acted as a spur to inflation expectations that were already buoyed by the modestly improved global growth outlook since summer However, the failure at the end of the period to pass revisions to healthcare legislation planted some doubts about the administration s ability to implement some of its policies. US economic data was generally strong, particularly with regards to employment. The Federal Reserve (Fed) raised interest rates in December 2016 and again in March 2017, reflecting the improved outlook for growth and inflation. The European Central Bank (ECB) extended its quantitative easing programme to December 2017 (from March 2017) but cut monthly bond purchases to 60 billion from 80 billion. The European economy continued its slow recovery. Inflation, as measured by the consumer price index, picked up to 2.0% in February 2017, albeit slipping back to 1.5% in March. Political uncertainty remained to the fore in Europe. Matteo Renzo stepped down as Italian prime minister after losing a referendum on constitutional change. However, concerns receded somewhat as the centre-right won the Dutch elections in March, fending off the challenge from the anti-eu party led by Geert Wilders. In the UK, economic growth remained strong with consumer spending proving resilient. Sterling started the period on a weak footing, falling sharply in early October following Prime Minister Theresa May s rhetoric concerning a hard Brexit. The currency recouped some of its losses after the Bank of England (BoE) upgraded UK growth projections, the High Court ruled parliamentary approval was required to start the EU exit process and the government struck a more conciliatory tone over Brexit. In Japan, the yen weakened sharply at the end of 2016, only to strengthen in the early part of The Bank of Japan maintained its policy to keep 10-year bond yields around zero. In emerging markets, uncertainty around a potential change to US trade policy was a theme of the period. There were concerns around the protectionist rhetoric used by Donald Trump in his campaign. However, there was no immediate follow through on this in the first months of the new administration. Elsewhere, late 2016 saw a recovery in energy and commodity prices which was beneficial for a number of emerging market economies. An OPEC oil production deal in late November was positive for investor sentiment. Together with a subsequent agreement between non-opec producers to cut supply in December, this helped deliver a significant boost to oil prices. However, oil prices fell back towards the end of the six months as inventories and production in the US increased faster than expected. UK equity market review and outlook The FTSE All-Share returned 8.1% 1 over the period with the large cap FTSE 100 outpacing the mid-cap FTSE 250 index. Gains came against a backdrop of improved global growth and rising inflation expectations and as the global policy discussion moved away from a sole reliance on monetary stimulus. Resources sectors performed well against the backdrop of more supportive Chinese macroeconomic data and higher crude oil prices in late 2016 after OPEC agreed production cuts. Mergers & acquisitions were an important theme in the period, particularly boosting the consumer goods sector. The UK domestic economy proved more resilient than expected. The Bank of England upgraded its 2017 UK GDP growth projection (from 1.4% to 2.0%) due to stronger-than-expected consumer spending following the leave decision in the EU referendum. Schroders economists have revised upward their UK growth forecast for this year but still expect a slowdown. This would be driven by weaker business investment and higher inflation hitting consumer spending - both consequences of Brexit. The BoE is expected to look through the rise in inflation and keep rates unchanged. Sterling looks likely to remain stable meaning the boost to the revenues of UK multinationals from sterling weakness is expected to fade. Commodity market review and outlook Commodity prices generally picked up at the end of 2016 only to fall back in early For the six-month period as a whole, the Bloomberg Commodities index returned 0.3% 2. The Brent crude oil price began the period at around $48 per barrel and ended at around $52 per barrel 3. Oil prices were boosted in November 2016 by an OPEC agreement to cut supply. This was reinforced with promises of non-opec contributions in early December. However, oil stockpiles continued to rise into 2017, putting pressure on prices. Elsewhere, industrial metals prices were supported by some more encouraging macroeconomic data from China. The agriculture component was generally weaker. Gold prices tended to track the changes in inflation expectations over the period. Commodities should benefit from the synchronised improvement in global growth. There is also evidence of a meaningful supply adjustment in some of the sectors after a prolonged period of weak prices. On agriculture, consumption growth has been strong but prices continue to reflect high levels of global stocks. Supply is expected to gradually reduce this year, as a result of prices falling below production costs. For industrial metals, the supply outlook is brighter with most sectors likely to move into deficit in the next year. Action by OPEC members to cut production 1 Source: DataStream, total return in sterling. 2 Source: Bloomberg, Bloomberg Commodity Index total return, US dollar 3 Source: Bloomberg

13 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Investment Manager s Report (cont) Page 13 should support the rebalancing in oil inventories. Finally, gold remains vulnerable to an environment of higher real rates and a stronger US dollar. However, gold is a diversifier and a hedge against political risk. The Investment Manager Schroder Alternative Solutions 31 March 2017

14 Page 14 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Notes to the Financial Statements as at 31 March 2017 The Company The Company is an umbrella structured open-ended investment company with limited liability and qualifies as an undertaking for collective investment ( UCI ) regulated by the provisions of Part II of the Luxembourg law of 17 December 2010, as amended, regarding undertaking for collective investment (the 2010 law ). The Company has been established for an undetermined period and may further issue several classes of shares in each sub-fund. The financial statements are prepared in accordance with Luxembourg regulations relating to undertakings for collective investments. Classes of Shares At the date of this report, the following classes of shares were available for investment: Fund Schroder AS Agriculture Fund Schroder AS Commodity Fund Classes of Shares 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 & C Dis GBP Hedged share classes A Acc SGD Hedged share class 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 & C Dis GBP Hedged share classes A Acc SGD Hedged share class I Acc JPY Hedged share class 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: Initial Charge A Shares Up to % of the Net Asset Value per share C Shares Up to % of the Net Asset Value per share D, E, I, IZ, J, R and X Shares None 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.

15 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Notes to the Financial Statements as at 31 March 2017 (cont) Page 15 Minimum Subscription Amount, Minimum Additional Subscription Amount and Minimum Holding Amount (cont) Share Class Minimum Subscription Amount Minimum Additional Subscription Amount Minimum Holding Amount A and D Shares USD 10,000 USD 5,000 USD 10,000 C Shares GBP/USD 250,000 GBP/USD 125,000 GBP/USD 250,000 E Shares USD 500,000 USD 250,000 USD 500,000 I and J Shares USD 5,000,000 USD 2,500,000 USD 5,000,000 IZ Shares USD 100,000,000 USD 20,000,000 USD 100,000,000 X Shares USD 25,000,000 USD 12,500,000 USD 25,000,000 R Shares none none none Custodian and Administration fees The Custodian and fund administrator are entitled to fees for related services rendered in accordance with common practice in Luxembourg, payable monthly, out of the net assets of the Fund. 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 financial 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. Liquid assets and money market instruments held within the liquidity Funds are usually valued on an amortised cost basis. 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 units 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. 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. Exchange Rate The exchange rate used for the calculation of the combined total in USD of the financial Statement as at 31 March 2017 is: 1 US Dollar = British Pound.

16 Page 16 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Notes to the Financial Statements as at 31 March 2017 (cont) 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, IZ, 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 period under review may be obtained free of charge upon request at the registered office of the 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 Manager may reinvest the cash collateral received from the counterparty in connection with currency hedging, in line with the investment objectives of the fund. 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 were valued at the last available price at NAV calculation day by reference to the forward rate of exchange applicable to the maturity of the contracts. The unrealised appreciations/(depreciations) are shown in the Statement of Net Assets under Net unrealised appreciation/(depreciation) on forward foreign exchange contracts. On 31 March 2017, the following funds were committed to forward foreign exchange contracts: Unrealised Appreciation/ Currency Bought Currency Sold Maturity Date (Depreciation) Schroder AS Agriculture Fund Share Class Hedging CHF 683,500 USD 693, Apr-2017 ( 10,363 ) EUR 8,186,600 USD 8,712, Apr ,355 EUR 406,500 USD 436, May-2017 ( 1,552 ) EUR 495,100 USD 534, May-2017 ( 4,991 ) EUR 113,500 USD 120, Jun ,138 EUR 921,500 USD 1,001, Jul-2017 ( 12,414 ) GBP 2,304,000 USD 2,866, Apr ,824 SGD 76,900 USD 54, Apr SGD 139,900 USD 98, Apr ,521 SGD 140,800 USD 99, Apr ,098 SGD 1,304,300 USD 917, May ,910 SGD 64,500 USD 45, May SGD 3,218,700 USD 2,282, May ,624 USD 846,759 EUR 795, Apr-2017 ( 3,979 ) USD 87,917 GBP 70, Apr USD 21,602 SGD 30, Apr USD 54,408 Schroder AS Commodity Fund Share Class Hedging CAD 298,400 USD 222, Apr ,643 CHF 84,256,600 USD 85,481, Apr-2017 ( 1,298,198 ) EUR 10,733,000 USD 11,462, Apr-2017 ( 836 ) EUR 4,657,800 USD 4,873, Apr ,159 EUR 726,800 USD 773, Apr ,414

17 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Notes to the Financial Statements as at 31 March 2017 (cont) Page 17 Forward Foreign Exchange Contracts (cont) Unrealised Appreciation/ Currency Bought Currency Sold Maturity Date (Depreciation) Schroder AS Commodity Fund (cont) EUR 1,901,300 USD 2,032, Apr EUR 10,178,800 USD 10,903, May-2017 ( 16,604 ) EUR 6,154,600 USD 6,640, May-2017 ( 55,236 ) EUR 5,015,400 USD 5,373, May-2017 ( 5,423 ) EUR 5,227,200 USD 5,574, Jun ,676 EUR 15,687,800 USD 16,684, Jun ,190 EUR 11,955,500 USD 12,777, Jun ,562 EUR 1,137,500 USD 1,234, Jul-2017 ( 14,129 ) EUR 7,718,300 USD 8,423, Jul-2017 ( 138,360 ) GBP 6,324,700 USD 7,871, Apr ,926 GBP 39,010,400 USD 47,481, Apr ,177,255 GBP 6,115,900 USD 7,459, Apr ,707 GBP 19,198,700 USD 24,166, Apr-2017 ( 211,217 ) JPY 795,300 USD 7, Apr-2017 ( 76 ) SGD 5,457,200 USD 3,849, Apr ,228 SGD 2,480,500 USD 1,747, Apr ,969 SGD 328,100 USD 230, Apr ,768 SGD 822,300 USD 578, May ,158 SGD 1,310,000 USD 931, May ,558 SGD 1,467,900 USD 1,040, May ,862 SGD 5,373,200 USD 3,846, Jun-2017 ( 848 ) SGD 7,870,200 USD 5,645, Jun-2017 ( 12,011 ) USD 1,012,264 EUR 940, Apr ,584 USD 26,895 Futures Contracts Futures contracts were valued at the last available price at NAV calculation day. The unrealised appreciation/(depreciation) is shown in the Statement of Net Assets under Net unrealised appreciation/(depreciation) on futures contracts. On 31 March 2017, the following funds held open futures contracts: Maturity Date Quantity Contract Local Currency Market Price Base Currency Global Exposure Unrealised Appreciation/ (Depreciation) Schroder AS Agriculture Fund Apr Live Cattle USD 1.2 USD 1,918,800 48,909 Apr SUGAR NO.11 (WORLD) USD 0.17 USD 1,362,816 ( 303,839 ) May Cocoa USD 2,095 USD 3,037, ,585 May Coffee Robusta (10-Tonne) USD 2,154 USD 4,157,220 42,698 May Corn USD 3.59 USD 16,089,938 ( 740,790 ) May Cotton No.2 USD 0.76 USD 12,513,200 ( 39,761 ) May Hard Red Winter Wheat (KCB) USD 4.19 USD 3,578,175 ( 506,587 ) May Lumber USD USD 3,892,493 44,206 May Mill Wheat Euro EUR USD 3,116,377 ( 137,007 ) May Oat USD 2.26 USD 1,580,250 ( 174,412 ) May Red Wheat (MGE) USD 5.46 USD 1,283,100 ( 16,732 ) May Soybean USD 9.62 USD 9,230,400 ( 798,682 ) May Soybean Oil USD 0.32 USD 3,065,118 ( 230,050 ) May Soybean Meal USD USD 4,006,850 ( 338,465 ) May Wheat (CBT) USD 4.23 USD 11,682,125 ( 662,102 ) Jun Lean Hogs USD 0.74 USD 1,007,420 ( 49,015 ) Jun Live Cattle USD 1.11 USD 4,300,010 67,129 Jun SUGAR NO.11 (WORLD) USD 0.17 USD 323,870 ( 67,438 ) Jul Cocoa USD 2,098 USD 4,112,080 ( 61,456 ) Jul Cotton No.2 USD 0.78 USD 3,490, Jul Lumber USD USD 630,053 ( 467 ) Jul Rapeseed Euro EUR 364 USD 1,923,980 ( 22,371 )

18 Page 18 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Notes to the Financial Statements as at 31 March 2017 (cont) Futures Contracts (cont) Maturity Date Quantity Contract Local Currency Market Price Base Currency Global Exposure Unrealised Appreciation/ (Depreciation) Schroder AS Agriculture Fund (cont) Jul White Sugar (ICE) USD USD 1,643,235 ( 166,401 ) USD ( 3,997,127 ) Schroder AS Commodity Fund Apr Brent Crude USD USD 7,003,920 ( 328,122 ) Apr Crude Oil USD USD 26,230,500 ( 1,782,743 ) Apr Gasoline RBOB USD 1.69 USD 14,295, ,802 Apr Live Cattle USD 1.2 USD 4,940,910 74,415 Apr LME COPPER USD 5,854 USD 15,074, ,633 Apr LME LEAD USD 2,348.5 USD 5,871, ,663 Apr LME PRI ALUM USD 1,946.8 USD 17,423,860 1,160,212 Apr LME TIN USD 20,103.5 USD 6,232,085 ( 65,345 ) Apr LME ZINC USD 2,785 USD 4,456, ,600 Apr Low Sulphur Gas Oil (ICE) USD 469 USD 4,408,600 ( 284,350 ) Apr Natural Gas USD 3.23 USD 17,689,440 1,826,411 Apr SUGAR NO.11 (WORLD) USD 0.17 USD 2,157,792 ( 540,868 ) May Brent Crude USD USD 32,750,760 ( 1,924,448 ) May Cocoa USD 2,095 USD 15,586, ,331 May ,669 Corn USD 3.59 USD 47,875,188 ( 2,648,202 ) May Cotton No.2 USD 0.76 USD 34,525,750 38,118 May Crude Oil USD USD 23,925, ,225 May Low Sulphur Gas Oil (ICE) USD USD 2,164,300 55,200 May Lumber USD USD 4,223,769 89,145 May ,038 Mill Wheat Euro EUR USD 9,061,062 ( 748,167 ) May Natural Gas USD 3.29 USD 9,606, ,585 May NY Harb ULSD USD 1.57 USD 12,655, ,174 May Red Wheat (MGE) USD 5.46 USD 5,405,400 ( 70,488 ) May Silver USD USD 58,277,550 1,462,771 May Soybean USD 9.62 USD 35,190,900 ( 3,037,710 ) May Soybean Oil USD 0.32 USD 14,678,298 ( 1,091,211 ) May ,636 Wheat (CBT) USD 4.23 USD 34,560,500 ( 2,960,586 ) Jun Gasoline RBOB USD 1.67 USD 14,235, ,579 Jun Gold 100 OZ USD 1,242.6 USD 26,840,160 ( 168,480 ) Jun Lean Hogs USD 0.74 USD 8,000,100 ( 389,237 ) Jun Live Cattle USD 1.11 USD 16,490,760 56,168 Jun LME ZINC USD 2, USD 1,063,219 ( 12,569 ) Jun SUGAR NO.11 (WORLD) USD 0.17 USD 6,363,101 ( 1,324,958 ) Jul ,148 Cocoa USD 2,098 USD 24,085,040 ( 240,386 ) Jul Cotton No.2 USD 0.78 USD 14,195,310 ( 139,611 ) Jul Natural Gas USD 3.37 USD 8,730, ,926 Jul Platinum USD USD 11,898,180 ( 271,790 ) Sep Natural Gas USD 3.36 USD 8,395,000 26,180 Dec LME COPPER USD 5,979 USD 3,886, ,250 Dec LME PRI ALUM USD 1,968 USD 9,249,600 1,267,825 Dec LME ZINC USD 2,800.8 USD 4,831,380 ( 119,370 ) Mar Natural Gas USD 2.91 USD 8,325,460 ( 4,493 ) Nov Crude Oil USD USD 2,669,160 ( 184,600 ) Dec LME ZINC USD 2,794 USD 2,095, ,500 USD ( 8,104,021 ) Total Return Swaps The Company may use total return swaps. A total return swap is a bilateral financial contract which allows the Company to enjoy all of the cash flow benefits of an asset without actually owning this asset (the Reference Asset ). The Company will have to pay a periodic fee (fixed or floating payment) in exchange of its right to receive the total return of the Reference Asset (coupons or capital gains or losses). The Reference Asset can be almost any asset, index or basket of asset which constitutes an eligible investment for the Company. The Company may use such instruments to seek exposure to an eligible market or for hedging purposes.

19 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Notes to the Financial Statements as at 31 March 2017 (cont) Page 19 Total Return Swaps (cont) The Company will only enter into a total return swap transaction with highly rated financial institutions specialised in this type of transaction. In addition, the use of total return swap must comply with the investment objectives and policies and risk profile of the relevant Fund. The total commitments arising from the use of total return swaps together with the total commitments arising from the use of other derivative instruments may not, at anytime, exceed the net assets of the relevant Fund. The total return swaps were valued at the last available price on 31 March The unrealised gain or loss on total return swaps at period-end is represented by the values of interests to be received (or paid), based on relevant swap agreements interest rates less (or plus, respectively), the value of the performance to be paid (or received, respectively), based on the total return value of underlying assets, which is made of the current fair value of equities plus the dividend distributed for such equities for the relevant swap period. The unrealised appreciation/(depreciation) is shown in the Statement of Net Assets under Net unrealised appreciation/(depreciation) on total return swaps. Options Contracts Options contracts were valued at the last available price on 31 March 2017 and the net market value is shown in the Statement of Net Assets under Net market value of options. Directors Fees Each of the following directors received the remuneration shown below for the period under review: Marie-Jeanne Chevremont and Daniel de Fernando Garcia received EUR 8,333 each. Bernard Herman received EUR 6,879. The remaining directors have waived their remuneration. 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 actual rates payable as at 31 March 2017, which vary from Fund to Fund and from share class to share class, are set out in the following table.

20 Page 20 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Notes to the Financial Statements as at 31 March 2017 (cont) Management Fees (cont) Fund Share Class Management Fee Schroder AS Agriculture Fund Schroder AS Commodity Fund A & D Shares 1.75% C Shares 1.25% I Shares None A & D Shares 1.50% C Shares 1.00% I, J & X Shares None Distribution fees Share Classes Distribution charge A, C, E, I, IZ, J, R and X Shares No distribution charge D Shares Distribution charge of 1.00% per annum of the net assets of Funds Performance Fees In accordance with the provisions of the current prospectus, 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 performance fee becomes due in the event of outperformance, that is, if the Net Asset Value per Share at the end of the relevant performance period exceeds the High Water Mark, i.e. by reference to the Net Asset Value per Share at the end of any previous performance period (the High Water Mark). In addition if a Shareholder redeems or switches all or part of their Shares before the end of a performance period, any accrued performance fee with respect to such Shares will crystallise on that Dealing Day and will then become payable to the Investment Manager. The High Water Mark is not reset on those Dealing Days at which performance fees crystallise following the redemption or switch of Shares. The Funds in relation to which performance fees were calculated during the period under review and the details of the relevant Investment Managers are set out in the table below. Fund Investment Manager Share Classes Schroder AS Agriculture Fund Schroder Investment Management Limited All share classes except for the I and J classes Schroder AS Commodity Fund Schroder Investment Management Limited All share classes except for the I and J classes

21 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Notes to the Financial Statements as at 31 March 2017 (cont) Page 21 Dividends The Directors declared the following dividends during the period under review: Record Date Ex-Dividend Date Payment Date Fund Gross Dividend Currency Dividend per Share 22-Feb Feb Mar-2017 Schroder AS Commodity Fund J Distribution 43, USD Information for Residents of the Hong Kong SAR Registration of Portfolios On 31 March 2017, Schroder AS Agriculture Fund and Schroder AS Commodity Fund 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. Transactions with Connected Persons The Company has entered into agreements and arrangements with Schroder Investment Management Limited and its affiliates, under which a management fee, performance fee, distribution 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, distribution 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 are accrued daily at an annual rate of up to 0.3% 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. Disclosure of Transaction Costs The transaction costs are broker commission fees and taxes related to the purchase and sale of transferable securities. The transactions costs for the period under review are as follows: Fund Currency Commissions Other expenses Total Schroder AS Agriculture Fund USD 5, ,381 Schroder AS Commodity Fund USD 262,470 44, ,691 Subsequent Events At the date of the approval of the Financial Statements, there were no significant subsequent events.

22 Page 22 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Fund Performance as at 31 March 2017 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 A Dis 20 April ( ) ( ) ( ) Schroder AS Agriculture Fund C Acc 27 October ( 9.00 ) ( ) ( ) Schroder AS Agriculture Fund C Dis 20 April ( 8.97 ) ( ) ( ) Schroder AS Agriculture Fund D Acc 31 October ( ) ( ) ( ) Schroder AS Agriculture Fund I Acc 27 October ( 6.19 ) ( ) ( 6.01 ) Benchmark: Rogers International Agriculture Index 1.99 ( 5.55 ) ( ) ( ) Schroder AS Agriculture Fund A Acc CHF Hedged 16 January 2008 ( 0.17 ) ( ) ( ) ( ) Schroder AS Agriculture Fund C Acc CHF Hedged 16 January ( ) ( ) ( ) Schroder AS Agriculture Fund I Acc CHF Hedged 16 January ( 9.28 ) ( ) ( ) Benchmark: Rogers International Agriculture Index (TR) CHF Hedged 0.38 ( 8.12 ) ( ) ( ) Schroder AS Agriculture Fund A Acc EUR Hedged 27 October ( ) ( ) ( ) Schroder AS Agriculture Fund C Acc EUR Hedged 27 October ( ) ( ) ( ) Schroder AS Agriculture Fund I Acc EUR Hedged 27 October ( 8.49 ) ( ) ( ) Benchmark: Rogers International Agriculture Index (TR) EUR Hedged 0.81 ( 7.10 ) ( ) ( ) Schroder AS Agriculture Fund A Acc GBP Hedged 27 October ( ) ( ) ( ) Schroder AS Agriculture Fund A Dis GBP Hedged 20 April ( ) ( ) ( ) Schroder AS Agriculture Fund C Acc GBP Hedged 27 October ( ) ( ) ( ) Schroder AS Agriculture Fund C Dis GBP Hedged 20 April ( ) ( ) ( ) Schroder AS Agriculture Fund I Acc GBP Hedged 27 October ( 7.27 ) ( ) ( 9.04 ) Benchmark: Rogers International Agriculture Index (TR) GBP Hedged 1.57 ( 5.77 ) ( ) ( ) Schroder AS Agriculture Fund A Acc SGD Hedged 15 February ( 9.55 ) ( ) ( ) Benchmark: Rogers International Agriculture Index (TR) SGD Hedged 2.53 ( 4.13 ) ( ) ( ) Schroder AS Commodity Fund A Acc 31 October ( ) ( ) ( ) Schroder AS Commodity Fund A Dis 20 April ( ) ( ) ( ) Schroder AS Commodity Fund C Acc 31 October ( ) ( ) ( ) Schroder AS Commodity Fund C Dis 20 April ( ) ( ) ( ) Schroder AS Commodity Fund D Acc 31 October ( ) ( ) ( ) Schroder AS Commodity Fund I Acc 31 October ( 9.64 ) ( ) ( ) Schroder AS Commodity Fund I Dis 18 December ( 9.65 ) ( ) ( ) Schroder AS Commodity Fund J Dis 7 March ( 9.79 ) ( ) ( ) Schroder AS Commodity Fund X Acc 26 February ( 9.65 ) ( ) ( ) Benchmark: Composite Benchmark 9.82 ( ) ( ) ( ) Schroder AS Commodity Fund A Acc CAD Hedged 5 May ( ) ( ) ( ) Schroder AS Commodity Fund C Acc CAD Hedged 5 May ( ) ( ) ( ) Schroder AS Commodity Fund I Acc CAD Hedged 5 May ( ) ( ) ( ) Benchmark: Composite Benchmark CAD Hedged 9.89 ( ) ( ) ( ) 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 ( ) ( ) ( ) Benchmark: Composite Benchmark CHF Hedged 8.09 ( ) ( ) ( ) Schroder AS Commodity Fund A Acc EUR Hedged 31 October ( ) ( ) ( ) Schroder AS Commodity Fund C Acc EUR Hedged 31 October ( ) ( ) ( ) Schroder AS Commodity Fund I Acc EUR Hedged 31 October ( ) ( ) ( ) Benchmark: Composite Benchmark EUR Hedged 8.55 ( ) ( ) ( ) Schroder AS Commodity Fund A Acc GBP Hedged 9 June ( ) ( ) ( ) Schroder AS Commodity Fund A Dis GBP Hedged 20 April ( ) ( ) ( ) Schroder AS Commodity Fund C Acc GBP Hedged 9 June ( ) ( ) ( ) Schroder AS Commodity Fund C Dis GBP Hedged 20 April ( ) ( ) ( ) Schroder AS Commodity Fund I Acc GBP Hedged 9 June ( ) ( ) ( ) Benchmark: Composite Benchmark GBP Hedged 9.37 ( ) ( ) ( ) Schroder AS Commodity Fund I Acc JPY Hedged 14 May ( ) ( ) ( ) Benchmark: Composite Benchmark JPY Hedged 8.87 ( ) ( ) ( ) * 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.

23 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Fund Performance as at 31 March 2017 (cont) Page 23 Sub-Fund/Class * Launch Date 1 Year % 2 Years % 3 Years % Since Launch % Schroder AS Commodity Fund A Acc SGD Hedged 21 September ( ) ( ) ( ) Benchmark: Composite Benchmark 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.

24 Page 24 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Statement of Net Assets as at 31 March 2017 ASSETS Schroder AS Agriculture Fund Schroder AS Commodity Fund Total USD USD USD Investments * Securities at cost 96,475, ,297, ,772,974 ** Unrealised appreciation/(depreciation) 57,880 (8,975,085) (8,917,205) Securities at Market Value 96,533, ,322, ,855,769 Net unrealised appreciation/(depreciation) ** on forward foreign exchange contracts 54,408 26,895 81,303 on futures contracts (3,997,127) (8,104,021) (12,101,148) 92,590, ,245, ,835,924 Cash at banks 10,102,494 62,778,765 72,881,259 Receivables for securities sold - 114, ,903 Receivables for subscriptions 101,880 1,597,843 1,699,723 Dividends and interest receivable ,700 45,158 TOTAL ASSETS 102,795, ,781, ,576,967 LIABILITIES Hedged currency class forward contract collateral payable 152, , ,788 Net hedged currency class forward contract collateral calls payable 165,718 2,878,801 3,044,519 Payables for redemptions 238,134 1,141,963 1,380,097 Management fees payable 137, , ,901 Other payables and accruals 82, , ,860 TOTAL LIABILITIES 776,278 5,549,887 6,326,165 TOTAL NET ASSETS 102,019, ,231, ,250,802 UNREALISED APPRECIATION/(DEPRECIATION) SPLIT Unrealised appreciation on investments 57,880 4,503,283 4,561,163 Unrealised (depreciation) on investments - (13,478,368) (13,478,368) Unrealised appreciation on forward foreign exchange contracts 89,408 1,784,617 1,874,025 Unrealised (depreciation) on forward foreign exchange contracts (35,000) (1,757,722) (1,792,722) Unrealised appreciation on futures contracts 318,449 10,233,710 10,552,159 Unrealised (depreciation) on futures contracts (4,315,576) (18,337,731) (22,653,307) * Money Market instruments are valued on an amortised cost basis. ** Please refer to the table Unrealised appreciation/(depreciation) for the calculation split. The notes on pages 14 to 21 form an integral part of these financial statements.

25 Schroder Alternative Solutions Semi-Annual Report 31 March 2017 Statement of Net Assets as at 31 March 2017 (cont) Page 25 Schroder AS Agriculture Fund USD Schroder AS Commodity Fund USD Shares Outstanding * as at 31 March 2017 Class A Acc 798,344 1,815,074 Class C Acc 296,106 1,658,465 Class D Acc 10,818 25,369 Class I Acc 13,612 2,081,739 Class IZ Acc - - Class R Acc - - Class X Acc - 224,160 Class A Dis 9,009 24,840 Class C Dis ,166 Class I Dis - 596,294 Class J Dis - 352,466 Class A Acc CAD Hedged - 5,023 Class C Acc CAD Hedged Class I Acc CAD Hedged Class A Acc CHF Hedged 2, ,171 Class C Acc CHF Hedged 11, ,362 Class I Acc CHF Hedged 170 1,529,362 Class A Acc SGD Hedged 1,007,344 5,430,301 Class A Acc EUR Hedged 75, ,658 Class C Acc EUR Hedged 31, ,964 Class E Acc EUR Hedged - - Class I Acc EUR Hedged 21, ,674 Class R Acc EUR Hedged - - Class A Acc GBP Hedged 6,682 61,256 Class C Acc GBP Hedged 6,395 90,602 Class E Acc GBP Hedged - - Class I Acc GBP Hedged 2, ,113 Class I Acc JPY Hedged Class C Acc USD Hedged - - Class R Acc USD Hedged - - Class A Dis GBP Hedged 3,537 12,171 Class C Dis GBP Hedged 10, ,252 Net Asset Value per Share * ** as at 31 March 2017 Class A Acc Class C Acc Class D Acc Class I Acc Class IZ Acc - - Class R Acc - - Class X Acc - 87 Class A Dis Class C Dis Class I Dis - 89 Class J Dis - 46 Class A Acc CAD Hedged - 54 Class C Acc CAD Hedged - 58 Class I Acc CAD Hedged - 67 Class A Acc CHF Hedged Class C Acc CHF Hedged Class I Acc CHF Hedged Class A Acc SGD Hedged 5 5 Class A Acc EUR Hedged Class C Acc EUR Hedged Class E Acc EUR Hedged - - Class I Acc EUR Hedged Class R Acc EUR Hedged - - Class A Acc GBP Hedged Class C Acc GBP Hedged Class E Acc GBP Hedged - - Class I Acc GBP Hedged Class I Acc JPY Hedged - 6,383 Class C Acc USD Hedged - - Class R Acc USD Hedged - - Class A Dis GBP Hedged Class C Dis GBP Hedged * Please refer to the Classes of Shares section of the Notes to the Financial Statements for the naming convention used for the share classes. ** The Net Asset Value per Share of each share class is stated in the currency of the share class. The notes on pages 14 to 21 form an integral part of these financial statements.