ABN AMRO Alternative Investments Annual Report for the year ended 31st December 2010 R.C.S. Luxembourg B96.058 English
ABN AMRO Alternative Investments SICAV Addendum bij het Jaarverslag 2010 per 31 december 2010 1
I N L E I D I N G Dit addendum bevat additionele informatie bij het Jaarverslag 2010 van ABN AMRO Alternative Investments SICAV, een vertaling van het in Luxemburg gepubliceerde Engelstalig jaarverslag van ABN AMRO Alternative Investments SICAV (hierna ook te noemen 'het Fonds'). Het in Luxemburg gepubliceerde verslag voldoet aan de Luxemburgse verslaggevingsvereisten, echter niet in alle opzichten aan de Nederlandse verslaggevingsvereisten, die tevens op deze beleggingsinstelling van toepassing zijn. Dit addendum bevat de ontbrekende elementen die op grond van de Wft zijn vereist. Toezicht ABN AMRO Alternative Investments SICAV is gevestigd in Luxemburg en heeft een vergunning van de Luxemburgse toezichthouder Commission de Surveillance du Secteur Financier (CSSF). Het Fonds is genotificeerd bij de Autoriteit Financiële Markten op grond van artikel 2:66 van de Wft. Verdere informatie is te vinden op www.bnpparibas-ip.nl. Uitbesteding van taken De SICAV heeft State Street Bank Luxembourg S.A. aangewezen als custodian, betaalkantoor, noteringsagent, houder van het register en transferagent, en administrateur. 2
T O E L I C H T I N G Grondslagen resultatenbepaling De aankoopkosten van de beleggingen worden in de kostprijs geactiveerd. Verkoopkosten op beleggingen worden in mindering gebracht op het gerealiseerde koersresultaat. Inkoop en uitgifte van eigen aandelen Verwijzend naar de actuele situatie op pagina 17 en 18 van het jaarverslag 2010 van ABN AMRO Alternative Investments, waarin de liquidatiedatum van de diverse subfondsen alsmede de fusiedatum van ABN AMRO ARAF V450 wordt genoemd, gold tot de genoemde data het volgende: De Fondsen van ABN AMRO Alternative Investments opereerden als open-end fondsen. De aankoopprovisie bedroeg maximaal 5%, de verkoopprovisie bedroeg maximaal 2%. Voor ABN AMRO Global Multi Strategy Fund en ABN AMRO ARAF V450 was het ook mogelijk via een girale ABN AMRO Beleggings-rekening te beleggen. De kosten van toetreding voor ABN AMRO Global Multi Strategy Fund bedroegen 2%, de kosten van uittreding bedroegen 1%. Voor ABN AMRO ARAF V450 bedroegen de kosten van toetreding en uittreding tussen 0,1% en 0,5%, met een minimum van EUR 0,70 per order. Total expense ratio (TER) Deze geeft de kosten weer als percentage van het gemiddeld toevertrouwd vermogen (zoals hieronder toegelicht). Daar de Fondsen beleggen in Onderliggende Fondsen zal dit voor de Aandeelhouders extra kosten met zich mee brengen (beheervergoeding inclusief eventuele resultaatafhankelijke beheervergoedingen, bewaarloon, vergoedingen voor centrale administratie, vergoedingen voor juridische en accountantswerkzaamheden, etc.). Ten aanzien van de beheervergoeding geldt dat indien een subfonds belegt in Onderliggende Fondsen van derden en in Beheerrekeningen, de door het Subfonds verschuldigde vergoedingen aan de Beheermaatschappij en aan de Portefeuillebeheerders van Beheerrekeningen conform de voorwaarden zoals vermeld onder Kosten en Uitgaven in het Prospectus, in hun totaliteit niet meer dan 5,5% van de Intrinsieke Waarde mogen bedragen. De resultaatafhankelijke beheervergoeding die aan de Beheermaatschappij en eventueel de Portefeuillebeheerders van Beheerrekeningen verschuldigd is, wordt niet in aanmerking genomen bij de vaststelling van deze limiet. Portfolio turnover ratio (PTR) De portfolio turnover ratio geeft de omloopsnelheid van de beleggingen ten opzichte van het gemiddeld toevertrouwd vermogen weer en is een maatstaf voor de gemaakte transactiekosten als gevolg van het gevoerde portefeuillebeleid en de daaruit voortkomende beleggingstransacties. Bij de gehanteerde berekening wordt het bedrag van de turnover bepaald door de som van de aan- en verkopen van de beleggingen te verminderen met de som van plaatsingen en opnamen uit hoofde van eigen aandelen. De portfolio turnover ratio wordt bepaald door het bedrag van de turnover uit te drukken in een percentage van het gemiddeld toevertrouwd vermogen (zoals hieronder toegelicht). Gemiddeld toevertrouwd vermogen Overeenkomstig Luxemburgse regelgeving is de berekening van de intrinsieke waarde van ABN AMRO Active Alpha Fund aan het begin van het boekjaar 2010 gestaakt vanwege de liquidatie van dit Fonds. De berekening van de intrinsieke waarde van de overige Fondsen is vanwege de liquidatie gedurende het boekjaar 2010 gestaakt (zoals nader toegelicht op pagina 17 en 18 van het jaarverslag 2010 van ABN AMRO Alternative Investments). Dientengevolge is, door beperkte beschikbaarheid van berekende intrinsieke waarden in het boekjaar 2010, het gemiddeld toevertrouwd vermogen per Fonds berekend op basis van 4 waarnemingen (in de verhouding 1:1:1:1): - de eerste waarneming betreft de intrinsieke waarde per 31 december 2009 (zoals opgenomen in het jaarverslag 2010 van ABN AMRO Alternative Investments) - de tweede waarneming betreft de intrinsieke waarde per 31 januari 2010 (bij ABN AMRO Active Alpha Fund, zijnde de laatste vastgestelde intrinsieke waarde van dit Fonds) respectievelijk 31 maart 2010 (bij alle andere Fondsen) - de derde waarneming betreft de intrinsieke waarde per 30 juni 2010 (zoals opgenomen in het halfjaarverslag 2010 van ABN AMRO Alternative Investments) - de vierde waarneming betreft de intrinsieke waarde per 30 november 2010 (bij ABN AMRO Opportunity Driven Fund en ABN AMRO Active Alpha Fund zijnde de liquidatiedatum van deze twee Fondsen) respectievelijk 31 december 2010 (zoals opgenomen in het jaarverslag 2010 van ABN AMRO Alternative Investments). Bij ABN AMRO ARAF V450, dat per 23 augustus 2010 is overgegaan in BNP Paribas L1V450, is de laatst daaraan voorafgaande NAV genomen, zijnde die van 18 augustus 2010. Synthetische TER ABN AMRO Relative Value Strategy Fund belegde per 31 december 2010 en gemiddeld over het gehele boekjaar meer dan 10% van het beheerde vermogen in een of meer onderliggende beleggingsinstellingen. Omdat de overige Fondsen per 31 december 2010 waren geliquideerd of per die datum minder dan 10% van het beheerde vermogen belegden in een of meer onderliggende beleggingsinstellingen, is in dit addendum alleen de synthetische expense ratio ('Synthetische TER') opgenomen van het ABN AMRO Relative Value Strategy Fund ('bovenliggende beleggingsinstelling'). Deze is als volgt berekend: Synthetische TER = TER bovenliggende beleggingsinstelling + gewogen TER onderliggende beleggingsinstelling waarbij gewogen TER onderliggende beleggingsinstelling = TER onderliggende beleggingsinstelling x % van het belegd vermogen van de bovenliggende beleggingsinstelling in onderliggende beleggingsinstelling per 31-12-2010. 3
TER * Synthetische TER** PTR Performance fee % % % ABN AMRO Global Multi 2009 2,44 5,88 (102,82) 0,00 Strategy Fund 2010 *** 1,36 nvt 22,25 0,00 ABN AMRO Relative Value 2009 2,55 nvt (234,06) 0,00 Strategy Fund 2010 11,87 **** 12,2 (65,49) 0,00 ABN AMRO Active 2009 1,48 8,14 (182,06) 0,00 Alpha Fund 2010 1) 3,43 nvt 77,97 0,00 ABN AMRO ARAF V450 2009 1,67 nvt 795,37 0,00 2010 2) 2,15 nvt 170,61 0,00 ABN AMRO Opportunity 2009 3,97 7,58 (345,39) 0,00 Driven Fund 2010 1) 25,61 **** nvt (107,47) 0,00 1) 01-01-10-30-11-10 * Exclusief de kosten van onderliggende fondsen. 2) 01-01-10-23-08-10, ** Inclusief de kosten van onderliggende fondsen indien 31-12-2010 >10% van TNA belegd in andere fondsen. per 23-08-10 overgegaan in BNP Paribas L1 V350 Zie ook de Toelichting. *** Betreft de side pocket. **** Gedurende het boekjaar zijn de subfondsen geliquideerd. De kosten drukten daardoor op een laag gemiddel vermogen, wat resulteerde in een relatief hoge TER. 4
Werknemers De SICAV heeft geen personeel in dienst. Overeenkomsten met gelieerde partijen De Beheermaatschappij heeft de volgende overeenkomst gesloten met gelieerde partijen: Fischer Francis Trees & Watts UK Ltd.: (tot 1-10-2010 genaamd Fortis Investment Management UK Limited) uitbesteding portfolio management. De kosten uit hoofde van voornoemd overeenkomst worden gedragen door de Beheermaatschappij. Totale transactievolume met gelieerde partijen (1 januari 2010-31 december 2010) Fonds Transactiesoort Volume Kosten (% totale volume) ABN AMRO ARAF 450* Obligaties 0,18 0,00 Swaps 2,89 0,00 *01-01-10-23-08-10 De transacties hebben tegen marktconforme condities plaatsgevonden. Luxemburg, 12 augustus 2011 De Beheermaatschappij, BNP Paribas Investment Partners Luxembourg S.A. O V E R I G E G E G E V E N S Bestuurdersbelangen Onder Luxemburgs bankgeheim hoeven bestuurders hierover geen gegevens te verstrekken. Resultaat en dividend In 2010 is geen dividend uitgekeerd. Aan: De Aandeelhouders en Raad van Bestuur Controleverklaring van de onafhankelijke accountant Wij hebben het addendum bij de jaarrekening 2010 van ABN AMRO Alternative Investments SICAV te Luxemburg, opgesteld conform de op grond van artikel 4:38 lid 2 van de Wet op het financieel toezicht vereiste verslaggevingregels, zijnde artikel 4:46 lid 3 en artikel 4:51 lid 1, 3 en 4 van de Wet of het financieel toezicht en artikel 122 tot en met artikel 124 van het Besluit Gedragstoezicht financiële ondernemingen Wft, gecontroleerd. Verantwoordelijkheid van de beheerder De directie van de beheerder van de beleggingsinstelling is verantwoordelijk voor het opmaken van het addendum bij de jaarrekening conform de op grond van artikel 4:38 lid 2 van de Wet op het financieel toezicht vereiste verslaggevingregels, zijnde artikel 4:46 lid 3 en artikel 4:51 lid 1, 3 en 4 van de Wet op het financieel toezicht en artikel 122 tot en met artikel 124 van het Besluit Gedragstoezicht financiële ondernemingen Wft. De directie van de beheerder van de beleggingsinstelling is tevens verantwoordelijk voor een zodanige interne beheersing als het noodzakelijk acht om het opmaken van het addendum bij de jaarrekening mogelijk te maken zonder afwijkingen van materieel belang als gevolg van fraude of fouten. Verantwoordelijkheid van de accountant Onze verantwoordelijkheid is het geven van een oordeel over het addendum bij de jaarrekening op basis van onze controle. Wij hebben onze controle verricht in overeenstemming met Nederlands recht, waaronder de Nederlandse controlestandaarden. Dit vereist dat wij voldoen aan de voor ons geldende ethische voorschriften en dat wij onze controle zodanig plannen en uitvoeren dat een redelijke mate van zekerheid wordt verkregen dat het addendum bij de jaarrekening geen afwijkingen van materieel belang bevat. Een controle omvat het uitvoeren van werkzaamheden ter verkrijging van controle-informatie over de bedragen en de toelichtingen in het addendum bij de jaarrekening. De geselecteerde werkzaamheden zijn afhankelijk van de door de accountant toegepaste oordeelsvorming, met inbegrip van het inschatten van de risico's dat het addendum bij de jaarrekening een afwijking van materieel belang bevat als gevolg van fraude of fouten. Bij het maken van deze risico-inschattingen neemt de accountant de interne beheersing in aanmerking die relevant is voor het opmaken van het addendum bij de jaarrekening en voor het getrouwe beeld daarvan, gericht op het opzetten van controlewerkzaamheden die passend zijn in de omstandigheden. Deze risico-inschattingen hebben echter niet tot doel een oordeel tot uitdrukking te brengen over de effectiviteit van de interne beheersing van de beleggingsinstelling. Een controle omvat tevens het evalueren van de geschiktheid van de gebruikte grondslagen voor financiële verslaggeving en van de redelijkheid van de door de directie van de beheerder van de beleggingsinstelling gemaakte schattingen, alsmede een evaluatie van het algehele beeld van het addendum bij de jaarrekening. Wij zijn van mening dat de door ons verkregen controle-informatie voldoende en geschikt is om een onderbouwing voor ons oordeel te bieden. Oordeel Wij zijn van oordeel dat het addendum bij de jaarrekening 2010 van ABN AMRO Alternative Investments SICAV te Luxemburg de informatie bevat die op grond van artikel 4:38 lid 2, artikel 4:46 lid 3 en artikel 4:51 lid 1, 3 en 4 van de Wet op het financieel toezicht en artikel 122 tot en met artikel 124 van het Besluit Gedragstoezicht financiële ondernemingen Wft vereist is. Daarnaast zijn wij van oordeel dat het addendum bij de jaarrekening op alle van materieel belang zijnde aspecten de vereiste informatie juist weergeeft. Toelichting Zonder afbreuk te doen aan ons oordeel merken wij op dat het addendum bij de jaarrekening een aanvulling is op de jaarrekening 2010 van het ABN AMRO Alternative Investments SICAV te Luxemburg. Informatie die op grond van artikel 4:38 lid 2, artikel 4:46 lid 3 en artikel 4:51 lid 1, 3 en 4 van de Wet op het financieel toezicht en artikel 122 tot en met artikel 124 van het Besluit Gedragstoezicht financiële ondernemingen Wft vereist is en reeds is opgenomen in de jaarrekening, is niet opgenomen in het addendum. Daarnaast merken wij op dat het addendum 2010 van ABN AMRO Alternative Investments SICAV is opgesteld onder Luxemburgse verslaggevingregels. Het addendum bevat geen aanvullingen welke zouden zijn vereist om ook aan de vereisten van Titel 9 Boek 2 BW te voldoen. Derhalve zijn de toelichtingen in het addendum beperkt tot de toelichtingen die uit hoofde van de Wet op het financieel toezicht en het Besluit Gedragstoezicht financiële ondernemingen Wft zijn vereist. Amsterdam, 12 augustus 2011 Ernst & Young Accountants LLP w.g. J.J. Hendriks RA 5
No subscription can be received on the basis of the Annual Report alone. Subscriptions are only valid if made on the basis of the current Prospectus supplemented by the latest Annual Report of the Fund and a copy of the latest Semi-annual Report, if published after the latest Annual Report.
CONTENTS Pages Directory 2 Statement of the Board of Directors 3 Investment Manager s Report 4 Independent auditor s report 6 Financial Statements Schedule of Investments ABN AMRO Global Multi Strategy Fund 8 ABN AMRO Relative Value Strategy Fund 8 Statement of Assets and Liabilities 9 Statement of Operations 10 Statement of Changes in Net Assets 11 Statistical Information 12 Share Movements 15 Notes to the Financial Statements 17 1
DIRECTORY Registered Office Until 30th June 2010: 46 Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg Since 1st July 2010: 33 Rue de Gasperich L-5628 Howald-Hesperange Grand Duchy of Luxembourg Board of Directors Bernard Wester, Chairman Deputy Chief Executive Officer, BNP Paribas Investment Partners Luxembourg, Grand Duchy of Luxembourg Custodian, Paying Agent, Listing Agent, Registrar and Transfer Agent and Administrative Agent Julian Kramer Head of Distribution Sales, BNP Paribas Group Business, Grand Duchy of Luxembourg Marnix Arickx Head of Fund Engineering, BNP Paribas Investment Partners, Brussels, Belgium State Street Bank Luxembourg S.A. 49 Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg Domiciliary Agent Until 30th June 2010: Fortis Investment Management Luxembourg S.A. 46 Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg Since 1st July 2010: BNP Paribas Investment Partners Luxembourg 33 Rue de Gasperich L-5826 Howald-Hesperange Grand Duchy of Luxembourg Manager Until 30th June 2010: Fortis Investment Management Luxembourg S.A. 46 Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg Investment Manager Sub-advisor to the Investment Manager Independent auditor Legal Advisers as to Luxembourg law Prime Broker (until 23rd August 2010) Since 1st July 2010: BNP Paribas Investment Partners Luxembourg 33 Rue de Gasperich L-5826 Howald-Hesperange Grand Duchy of Luxembourg Fischer Francis Trees & Watts UK Limited (previously known as Fortis Investment Management UK Limited) 5 Aldermanbury Square London EC2V 7HR United Kingdom Cadogan Management, LLC 149 Fifth Avenue 15th Floor New York, NY 10010 United States of America Ernst & Young S.A. 7 Rue Gabriel Lippmann, Parc d Activité Syrdall 2 L-5365 Munsbach Grand Duchy of Luxembourg Bonn, Schmitt, Steichen Avocats 44 Rue de la vallée L-2661 Luxembourg Grand Duchy of Luxembourg Crédit Suisse Securities (USA) LLC 11 Madison Avenue New York, NY 10010-3629 United States of America Principal Distributor Until 30th June 2010: Fortis Investment Management Luxembourg S.A. 46 Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg Since 1st July 2010: BNP Paribas Investment Partners Luxembourg 33 Rue de Gasperich L-5826 Howald-Hesperange Grand Duchy of Luxembourg 2
Statement of the Board of Directors We have the pleasure in presenting you the financial statements of ABN AMRO Alternative Investments (AAAI) for the financial year 2010, covering the period from 1st January 2010 to 31st December 2010. ABN AMRO Alternative Investments was incorporated as an investment company with variable capital (SICAV) under Luxembourg law on 23rd September 2003. With the exception of ABN AMRO ARAF V450, all Sub-Funds have been put in forced redemption process initiated in 2008 and completed with the decision of the Board of Directors on 26th February 2010 to start the liquidation of the last remaining Sub-Fund, ABN AMRO Global Multi Strategy Fund. In 2010, final payments have been processed for ABN AMRO Asia Pacific Alternative Strategy Fund on 27th March 2010, ABN AMRO Global Long Short Equity Strategy Fund on 2nd March 2010 whilst ABN AMRO ARAF V450 has been merged into the BNP Paribas L1 V350 on 23rd August 2010. In 2011, final payments have taken place for ABN AMRO Active Alpha Fund on 3rd May 2011, ABN AMRO Opportunity Driven Fund on 3rd May 2011 and ABN AMRO Global Multi Strategy Fund (including the Side Pocket created in January 2009) on 9th June 2011. The structure currently consists of one remaining compartment: ABN AMRO Relative Value Strategy Fund, for which the Board of Directors is regularly in contact with the Fund Manager in order to follow-up the sale process of the remaining underlying positions, ensuring that a final payment can take place shortly. Luxembourg, 25th July 2011 Mr. Bernard Wester On behalf of the Board of Directors 3
Investment Manager s Report for the year ended 31st December 2010 Investment Result During the year ended 31st December 2010 each share class of the Funds performed as noted below. ABN AMRO Global Multi Strategy Fund Liquid Portion Class Performance US Dollar Class A 5.79% US Dollar Class I 5.75% Euro Class A 14.21% Euro Class I 14.16% Euro Class N 14.12% NOK Class I 15.04% SEK Class I 18.79% Side Pocket Portion Class Performance US Dollar Class A Special Shares 0.58% US Dollar Class I Special Shares 0.58% Euro Class A Special Shares 6.31% Euro Class I Special Shares 6.31% Euro Class N Special Shares 6.34% NOK Class I Special Shares 0.05% SEK Class I Special Shares 6.37% ABN AMRO Relative Value Strategy Fund Class Performance US Dollar Class A 71.41% US Dollar Class I 71.45% Euro Class A 83.35% Euro Class N 83.52% ABN AMRO Active Alpha Fund Class Performance US Dollar Class A 2.09% (Until 30th November 2010) Euro Class A 7.60% (Until 30th November 2010) Euro Class N 7.62% (Until 30th November 2010) ABN AMRO ARAF V450 Class Performance Euro Class A 1.89% (Until merger) US Dollar Class A 2.21% (Until merger) Euro Class B 1.87% (Until merger) US Dollar Class B 0.58% (Until 22th June 2010) Euro Class I 0.46% (Until 22th June 2010) ABN AMRO Opportunity Driven Fund Class Performance US Dollar Class A 62.12% (Until 30th November 2010) US Dollar Class I 62.10% (Until 30th November 2010) GBP Class I 63.97% (Until 30th November 2010) Euro Class A 62.98% (Until 30th November 2010) Euro Class I 62.99% (Until 30th November 2010) NOK Class I 64.32% (Until 30th November 2010) 4
Market Review Macro economic news and global events were the main drivers of direction in global markets throughout 2010. These events continued to dominate the headlines in both mainstream media as well as the financial press, making 2010 similar in some respects to 2008 and 2009. Concerns over the public debt in Greece as well as Ireland, Spain, Italy and Portugal had global ramifications and were a main contributor to fluctuations in markets through the first half of the year. From a level of 249 basis points in January, as an example, Greek Credit Default Swap ( CDS ) pricing rose to a peak of 1126 basis points in June following the announcement of the EUR 750 million emergency loan facility granted by the EU and IMF. In the meantime, massive ash eruptions from an Icelandic volcano and the explosion of the Deepwater Horizon drilling rig in the Gulf of Mexico in April were also impacting markets in a negative way. These events, amongst others, meant that the first six months of 2010 were fairly volatile and caused correlations amongst asset classes and securities within asset classes to remain very high. This made for a challenging environment for fund managers that seek to achieve alpha through superior fundamental security analysis. The second half of the year was more positive than the first with most major equity markets rising as well as strong returns coming from a number of commodity markets, including precious metals and some energy related commodities. The announcement by U.S. Federal Reserve Chairman, Ben Bernanke, in August of the need for further quantitative easing was one of the main catalysts which pushed equity markets higher for the remainder of the year. However, some sectors, specifically those which were impacted by the continued concern over debt in the aforementioned countries, European banks being the best example, continued to struggle. In general, as correlations and volatility declined, managers were better able to capitalize on their ability to select superior investments. Portfolio Review In February of 2010, the decision was made to liquidate the ABN AMRO Global Multi Strategy Fund, the last compartment of the SICAV to go into liquidation. Except for the ABN AMRO Relative Value Strategy Fund, all portfolios have been completely liquidated. It is currently expected that the remaining positions will be sold in the near term which will allow for a full liquidation of the ABN AMRO Relative Value Strategy Fund as well. Fischer Francis Trees & Watts UK Limited Cadogan Management LLC Date: July 2011 5
Independent auditor s report To the Shareholders of ABN AMRO Alternative Investments 33 Rue de Gasperich L-5628 Howald-Hesperange Grand Duchy of Luxembourg We have audited the accompanying financial statements of ABN AMRO Alternative Investments and of each of its sub-funds, which comprise the statement of assets and liabilities and the schedule of investments as at 31 December 2010 and the statement of operations and the statement of changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Board of Directors of the SICAV responsibility 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 and presentation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation and presentation 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. Except as discussed below in our qualified opinion, 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 about 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 réviseur d entreprises agréé, 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 réviseur d entreprises agréé considers internal control 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 control. 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 qualified audit opinion. Basis for qualified opinion As stated in Note 4, the Board of Directors of the SICAV has decided since 2008 to apply discounts to the original values of some underlying funds in the sub-fund ABN AMRO Relative Value Strategy Fund. As at 31 December 2010, these positions represent 14.54% of the total net assets of ABN AMRO Relative Value Strategy Fund. We were not able to perform sufficient audit procedures to support the discounts applied during the year and used for the valuation as at 31 December 2010, and as consequence, are unable to satisfy ourselves as to the final net valuation assessed by the Board of Directors of the SICAV as at 31 December 2010 for those underlying funds. As stated in Note 2, the Board of Directors of the SICAV resolved to set aside the illiquid assets of ABN AMRO Global Multi Strategy Fund in a side pocket with effect from 31 January 2009. The transfer of the costs of these illiquid securities occurred inappropriately in 2009. Moreover, the audit procedures we have performed on the purchases and sales in 2009 have highlighted inconsistent modifications of the cost of some underlying securities. As a consequence, the cost of the investment portfolio of ABN AMRO Global Multi Strategy Fund as at 31 December 2009 was not appropriately presented and the allocation of the results of the year ended 31 December 2010 between the captions Net change in unrealised appreciation / (depreciation) from investment transactions and realised gain/(loss) from investment transactions, foreign currency, forward foreign currency exchange contracts, options contracts, futures and swap contracts is not appropriately presented. Qualified opinion In our opinion, except for the effects on the financial statements, if any, of the matters referred to in the preceding paragraphs, the financial statements give a true and fair view of the financial position of ABN AMRO Alternative Investments and of each of its Sub-Funds as of 31 December 2010 and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. 6
Other matter 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 observation to make concerning such information in the context of the financial statements taken as a whole. ERNST & YOUNG Société Anonyme Cabinet de révision agréé Christophe Wintgens Luxembourg, 25 July 2011 7
Schedule of Investments ABN AMRO Global Multi Strategy Fund 31st December 2010 Other Transferable Securities Quotation Currency Number of Shares Fair Value US$ % of Net Assets Cayman Islands D.E. Shaw Composite International Fund (Restricted Class) Ordinary Series* USD ** 282,913 1.35 D.E. Shaw Composite International Fund (Restricted Class) Side pocket Series* USD ** 111,899 0.53 TCS Capital International Limited Class S 1/1* USD 2,086.7 66,061 0.32 460,873 2.20 Total Other Transferable Securities (Cost: US$1,022,367) 460,873 2.20 Other Net Assets 20,474,521 97.80 Total Net Assets 20,935,394 100.00 Schedule of Investments ABN AMRO Relative Value Strategy Fund 31st December 2010 Other Transferable Securities Quotation Currency Number of Shares Fair Value US$ % of Net Assets Bermuda Brencourt Multi Strategy International Limited Class S2 USD 389.9 132,880 14.54 132,880 14.54 Cayman Islands Investcorp Interlachen Multi Strategy Fund Class A D1 USD 146.6 0 0.00 0 0.00 Total Other Transferable Securities (Cost: US$534,433) 132,880 14.54 Other Net Assets 781,171 85.46 Total Net Assets 914,051 100.00 * Assets are only attributable to the shareholders of the special shares ** Securities are structured as capital accounts with dollar values The accompanying notes form an integral part of these financial statements. The accompanying notes form an integral part of these financial statements. 8
Statement of Assets and liabilities as at 31st December 2010 ABN AMRO Global Multi Strategy Fund ABN AMRO Relative Value Strategy Fund ABN AMRO Active Alpha Fund* ABN AMRO Opportunity Driven Fund* ABN AMRO Cash Euro** Combined Total Notes US $ US $ US $ US $ Euro Euro Assets Investment at Fair Value (Cost: 1,160,448) 3,4 460,873 132,880 442,587 Cash and cash equivalents 20,426,861 614,174 2,043,591 338,607 100,000 17,559,818 Receivables on Sales of Investments 8 475,816 260,504 548,857 Total Assets 21,363,550 1,007,558 2,043,591 338,607 100,000 18,551,262 Liabilities Redemption Payable 1,946,758 198,720 1,599,252 Accrued Expenses and Other Liabilities 3 428,156 93,507 96,833 139,887 565,303 Total Liabilities 428,156 93,507 2,043,591 338,607 2,164,555 Total Net Assets 20,935,394 914,051 100,000 16,386,707 * Liquidated 30th November 2010 ** Launched 1st December 2010 The accompanying notes form an integral part of these financial statements. 9
Statement of operations for the year from 1st January 2010 to 31st December 2010 ABN AMRO Asia Pacific Alternative ABN AMRO ABN AMRO ABN AMRO ABN AMRO Strategy Global Multi Relative Value Active Alpha ABN AMRO Opportunity ABN AMRO Combined Fund* Strategy Fund Strategy Fund Fund** ARAF V450*** Driven Fund** Cash Euro**** Total Notes US$ US $ US $ US $ Euro US $ Euro Euro Income Interest on bonds, net of withholding taxes 3 308,847 308,847 Bank Interest 641 14,909 15,387 Interest on swap contracts 59,864 59,864 Other income 24,730 24,730 Total Income 641 408,350 408,828 Expenses Management fees 6 100,156 192,925 267,582 Administration and custody fees 280,692 78,001 13,600 133,302 86,266 475,115 Subscription tax 9 8,325 191 3,223 33 9,595 Audit Fees 126,750 29,416 123,896 Legal Fees 56,500 6,850 8,500 55,301 Interest expense 13,739 777 34 8,788 19,634 Interest paid on Swap Contracts 90,892 90,892 Transfer Agent fees 65,000 12,000 4,000 81,245 17,000 154,295 Other expenses 110,033 22,000 49,058 26,059 38,526 189,763 Total expenses 761,195 112,969 66,692 572,700 150,325 1,386,073 Net Gain/(Loss) from Investments (760,554) (112,969) (66,692) (164,350) (150,325) (977,245) Realised gain/(loss) from investment transactions, foreign currency, forward foreign currency exchange contracts, options contracts, futures and swap contracts (1,227) (16,406,961) 295,976 33,553 431,241 (651,059) (12,039,191) Net change in unrealised appreciation/(depreciation) from: Investment transactions 1,227 13,374,486 154,058 (13,438) (34,594) 452,395 10,377,780 Foreign currency and forward foreign currency exchange contracts 151,636 138,277 2,902 253,471 Future and swap contracts 60,309 60,309 Net realised and unrealised gain/(loss) on investment and foreign currency transactions (2,880,839) 450,034 20,115 595,233 (195,762) (1,347,631) Net Increase/(Decrease) in Net Assets Resulting from Operations (3,641,393) 337,065 (46,577) 430,883 (346,087) (2,324,876) * Liquidated 31st December 2009 ** Liquidated 30th November 2010 *** Merged in the Fund BNP Paribas L1 V350 on 23rd August 2010 **** Launched 1st December 2010 The accompanying notes form an integral part of these financial statements. 10
Statement of changes in net assets for the year from 1st January 2010 to 31st December 2010 ABN AMRO Asia Pacific Alternative ABN AMRO ABN AMRO ABN AMRO ABN AMRO Strategy Global Multi Relative Value Active Alpha ABN AMRO Opportunity ABN AMRO Combined Fund* Strategy Fund Strategy Fund Fund** ARAF V450*** Driven Fund** Cash Euro**** Total Notes US$ US $ US $ US $ Euro US $ Euro Euro From Operations Net gain/(loss) from Investments (760,554) (112,969) (66,692) (164,350) (150,325) 977,245 Realised gain/(loss) from investment transactions, foreign currency, forward foreign currency exchange contracts, options contracts, futures and swaps contracts (1,227) (16,406,961) 295,976 33,553 431,241 (651,059) 12,039,191 Net change in unrealised appreciation/(depreciation) from investment transactions 1,227 13,374,486 154,058 (13,438) (34,594) 452,395 10,377,780 Net change in unrealised appreciation/(depreciation) from foreign currency and forward foreign currency exchange contracts 151,636 138,277 2,902 253,471 Net change in unrealised appreciation/(depreciation) from future and swap contracts 60,309 60,309 Net Increase/(Decrease) in Net Assets Resulting from Operations (3,641,393) 337,065 (46,577) 430,883 (346,087) (2,324,876) From Share Transactions Proceeds from shares issued 4,078 100,000 104,078 Cost of shares redeemed (967,799) (76,676,477) (1,087,981) (1,946,758) (27,491,883) (877,890) (88,284,889) Net Increase/(Decrease) in Net Assets Resulting from Share Transactions (967,799) (76,676,477) (1,087,981) (1,946,758) (27,487,805) (877,890) 100,000 (88,180,811) Total Increase/(Decrease) in Net Assets (967,799) (80,317,870) (750,916) (1,993,335) (27,056,922) (1,223,977) 100,000 (90,505,687) Net Asset Value at beginning of year 967,799 101,253,264 1,664,967 1,993,335 27,056,922 1,223,977 101,706,452 Reevaluation difference 3 5,185,942 Net Asset Value at end of year 20,935,394 914,051 100,000 16,386,707 * Liquidated 31st December 2009 ** Liquidated 30th November 2010 *** Merged in the Fund BNP Paribas L1 V350 on 23rd August 2010 **** Launched 1st December 2010 The accompanying notes form an integral part of these financial statements. 11
STATIsTICAL information 31st December 31st December 31st December 2010 2009 2008 ABN AMRO Asia Pacific Alternative Strategy Fund US Dollar Class A Net Asset Value $ 154,643 2,254,840 Number of Shares in issue 3,706 45,696 Net Asset Value per Share $ 41.73 49.34 Euro Class A Net Asset Value 597,555 7,942,233 Number of Shares in issue 13,602 167,721 Net Asset Value per Share 43.93 47.35 ABN AMRO Global Multi Strategy Fund US Dollar Class A Net Asset Value $ 34,217 2,408,516 17,772,604 Number of Shares in issue 353 23,379 140,757 Net Asset Value per Share $ 97.06 103.02 126.26 Euro Class A Net Asset Value 59,934 4,470,428 43,364,407 Number of Shares in issue 600 38,372 303,975 Net Asset Value per Share 99.95 116.50 142.66 US Dollar Class I Net Asset Value $ 59,245 3,463,028 49,778,826 Number of Shares in issue 605 33,312 390,753 Net Asset Value per Share $ 97.98 103.96 127.39 Euro Class I Net Asset Value 66,535 5,392,493 85,745,608 Number of Shares in issue 659 45,876 596,358 Net Asset Value per Share 100.91 117.55 143.78 NOK Class I Net Asset Value NOK 712,609 50,855,852 220,443,359 Number of Shares in issue 1,209 73,328 262,211 Net Asset Value per Share NOK 589.24 693.54 840.71 SEK Class I Net Asset Value SEK 168,724 16,356,825 20,692,168 Number of Shares in issue 280 22,038 22,496 Net Asset Value per Share SEK 602.76 742.21 919.82 Euro Class N Net Asset Value 232,242 16,909,481 190,886,799 Number of Shares in issue 6,251 390,842 3,606,995 Net Asset Value per Share 37.15 43.26 52.92 US Dollar Class A Special Shares Net Asset Value $ 676,500 1,535,663 Number of Shares in issue 33,005 74,474 Net Asset Value per Share $ 20.50 20.62 Euro Class A Special Shares Net Asset Value 1,644,275 3,489,895 Number of Shares in issue 71,276 160,833 Net Asset Value per Share 23.07 21.70 US Dollar Class I Special Shares Net Asset Value $ 1,897,828 4,307,093 Number of Shares in issue 91,624 206,748 Net Asset Value per Share $ 20.71 20.83 Euro Class I Special Shares Net Asset Value 3,252,822 6,903,372 Number of Shares in issue 139,834 315,533 Net Asset Value per Share 23.26 21.88 The accompanying notes form an integral part of these financial statements. 12
ABN AMRO Global Multi Strategy Fund (continued) 31st December 31st December 31st December 2010 2009 2008 NOK Class I Special Shares Net Asset Value NOK 7,305,486 16,476,635 Number of Shares in issue 61,483 138,736 Net Asset Value per Share NOK 118.82 118.76 SEK Class I Special Shares Net Asset Value SEK 643,312 1,550,479 Number of Shares in issue 5,275 11,903 Net Asset Value per Share SEK 121.96 130.26 Euro Class N Special Shares Net Asset Value 7,243,525 15,370,447 Number of Shares in issue 845,766 1,908,461 Net Asset Value per Share 8.56 8.05 ABN AMRO Relative Value Strategy Fund US Dollar Class A Net Asset Value $ 42,462 77,420 655,512 Number of Shares in issue 246 769 15,417 Net Asset Value per Share $ 172.58 100.68 42.52 Euro Class A Net Asset Value 228,696 389,785 3,403,738 Number of Shares in issue 1,341 4,191 84,030 Net Asset Value per Share 170.53 93.01 40.51 US Dollar Class I Net Asset Value $ 103,432 188,374 1,596,398 Number of Shares in issue 147 459 9,211 Net Asset Value per Share $ 703.62 410.40 173.32 Euro Class N Net Asset Value 343,537 584,977 5,112,929 Number of Shares in issue 2,003 6,258 125,476 Net Asset Value per Share 171.55 93.48 40.75 ABN AMRO Active Alpha Fund US Dollar Class A Net Asset Value $ 196,907 2,401,914 Number of Shares in issue 4,722 62,267 Net Asset Value per Share $ 41.70 38.57 Euro Class A Net Asset Value 798,760 9,897,750 Number of Shares in issue 20,377 268,675 Net Asset Value per Share 39.20 36.84 Euro Class N Net Asset Value 452,766 5,617,230 Number of Shares in issue 11,698 154,245 Net Asset Value per Share 38.70 36.42 ABN AMRO ARAF V450 US Dollar Class A Net Asset Value $ 467,544 1,740,156 Number of Shares in issue 5,328 19,489 Net Asset Value per Share $ 87.75 89.29 Euro Class A Net Asset Value 1,539,647 4,822,189 Number of Shares in issue 17,053 53,319 Net Asset Value per Share 90.28 90.44 Euro Class B Net Asset Value 25,176,053 40,521,342 Number of Shares in issue 605,210 972,438 Net Asset Value per Share 41.60 41.67 The accompanying notes form an integral part of these financial statements. 13
ABN AMRO ARAF V450 (continued) 31st December 31st December 31st December 2010 2009 2008 US Dollar Class B Net Asset Value $ 8,918 9,011 Number of Shares in issue 400 400 Net Asset Value per Share $ 22.29 22.53 Euro Class I Net Asset Value 9,074 9,041 Number of Shares in issue 1 1 Net Asset Value per Share 9,073.86 9,040.83 ABN AMRO Opportunity Driven Fund US Dollar Class A Net Asset Value $ 7,021 128,584 Number of Shares in issue 105 1,598 Net Asset Value per Share $ 66.87 80.47 Euro Class A Net Asset Value 8,865 164,539 Number of Shares in issue 134 2,036 Net Asset Value per Share 66.16 80.81 US Dollar Class I Net Asset Value $ 10,891 199,349 Number of Shares in issue 325 4,944 Net Asset Value per Share $ 33.51 40.32 Euro Class I Net Asset Value 576,142 10,709,798 Number of Shares in issue 17,338 264,115 Net Asset Value per Share 33.23 40.55 NOK Class I Net Asset Value NOK 1,613,656 29,692,404 Number of Shares in issue 5,007 76,275 Net Asset Value per Share NOK 322.28 389.28 GBP Class I Net Asset Value 54,086 1,005,707 Number of Shares in issue 1,636 24,915 Net Asset Value per Share 33.06 40.37 ABN AMRO Cash Euro Euro Class I Net Asset Value 100,000 Number of Shares in issue 100 Net Asset Value per Share 1,000.00 The accompanying notes form an integral part of these financial statements. 14
Share Movements ABN AMRO Asia Pacific Alternative Strategy Fund US Dollar euro Class A Class A Number of Shares Outstanding at 31st December 2009 3,706 13,602 Number of Shares Issued Number of Shares Redeemed (3,706) (13,602) Number of Shares Outstanding at 31st December 2010 ABN AMRO Global Multi Strategy Fund US Dollar euro US Dollar Class A Class A Class I Number of Shares Outstanding at 31st December 2009 23,379 38,372 33,312 Number of Shares Issued Number of Shares Redeemed (23,026) (37,772) (32,707) Number of Shares Outstanding at 31st December 2010 353 600 605 Euro NOK SEK Euro Class I Class I Class I Class N Number of Shares Outstanding at 31st December 2009 45,876 73,328 22,038 390,842 Number of Shares Issued Number of Shares Redeemed (45,217) (72,119) (21,758) (384,591) Number of Shares Outstanding at 31st December 2010 659 1,209 280 6,251 US Dollar euro US Dollar Class A Class A Class I Special Special Special Shares Shares Shares Number of Shares Outstanding at 31st December 2009 74,474 160,833 206,748 Number of Shares Issued Number of Shares Redeemed (41,469) (89,557) (115,124) Number of Shares Outstanding at 31st December 2010 33,005 71,276 91,624 Euro NOK SEK Euro Class I Class I Class I Class N Special Special Special Special Shares Shares Shares Shares Number of Shares Outstanding at 31st December 2009 315,533 138,736 11,903 1,908,461 Number of Shares Issued Number of Shares Redeemed (175,699) (77,253) (6,628) (1,062,695) Number of Shares Outstanding at 31st December 2010 139,834 61,483 5,275 845,766 ABN AMRO Relative Value Strategy Fund US Dollar euro US Dollar Class A Class A Class I Number of Shares Outstanding at 31st December 2009 769 4,191 459 Number of Shares Issued Number of Shares Redeemed (523) (2,850) (312) Number of Shares Outstanding at 31st December 2010 246 1,341 147 The accompanying notes form an integral part of these financial statements. 15
Euro Class N Number of Shares Outstanding at 31st December 2009 6,258 Number of Shares Issued Number of Shares Redeemed (4,255) Number of Shares Outstanding at 31st December 2010 2,003 ABN AMRO Active Alpha Fund US Dollar euro euro Class A Class A Class N Number of Shares Outstanding at 31st December 2009 4,722 20,377 11,698 Number of Shares Issued Number of Shares Redeemed (4,722) (20,377) (11,698) Number of Shares Outstanding at 31st December 2010 ABN AMRO ARAF V450 US Dollar euro euro US Dollar Class A Class A Class B Class B Number of Shares Outstanding at 31st December 2009 5,328 17,053 605,210 400 Number of Shares Issued 98 Number of Shares Reinvested Number of Shares Redeemed (5,328) (17,053) (605,308) (400) Number of Shares Outstanding at 31st December 2010 Euro Class I Number of Shares Outstanding at 31st December 2009 1 Number of Shares Issued Number of Shares Reinvested Number of Shares Redeemed (1) Number of Shares Outstanding at 31st December 2010 ABN AMRO Opportunity Driven Fund US Dollar euro US Dollar euro Class A Class A Class I Class I Number of Shares Outstanding at 31st December 2009 105 134 325 17,338 Number of Shares Issued Number of Shares Redeemed (105) (134) (325) (17,338) Number of Shares Outstanding at 31st December 2010 NOK GBP Class I Class I Number of Shares Outstanding at 31st December 2009 5,007 1,636 Number of Shares Issued Number of Shares Redeemed (5,007) (1,636) Number of Shares Outstanding at 31st December 2010 ABN AMRO Cash Euro euro Class I Number of Shares Outstanding at 31st December 2009 Number of Shares Issued 100 Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010 100 The accompanying notes form an integral part of these financial statements. 16
Notes to the financial statements for the year ended 31st December 2010 1. General information ABN AMRO Alternative Investments (the Fund ) was incorporated on 23rd September 2003, as an open-ended investment company incorporated under the laws of the Grand Duchy of Luxembourg as a Société d Investissement à Capital Variable ( SICAV ). The Fund is subject to Part II of the 2002 Law. The Fund currently comprises three Sub-Funds, and fourteen Share Classes as described below. Sub-Fund ABN AMRO Global Multi Strategy Fund ABN AMRO Relative Value Strategy Fund ABN AMRO Cash Euro Commencement of Operations Class A Class I Class N 1st January 2005 15th July 2004 1st December 2010 USD EUR USD EUR USD EUR NOK SEK EUR Class A Special Shares USD EUR Class I Special Shares USD EUR NOK SEK Class N Special Shares EUR Reporting currency USD USD EUR USD EUR As of 31st December 2010 the ABN AMRO Global Multi Strategy Fund (II) has not been launched. The Directors have appointed as manager Fortis Investment Management Luxembourg S.A. (the Manager ). Following the merger as at 30th June 2010 of Fortis Investment Management Luxembourg S.A. in BNP Paribas Asset Management Luxembourg renamed BNP Paribas Investment Partners Luxembourg, the Manager became BNP Paribas Investment Partners Luxembourg. The Manager is responsible for the daily management, including investment management, of each Sub-Fund of the Fund. BNP Paribas Investment Partners Luxembourg is a corporation with limited liability organized under the laws of the Grand Duchy of Luxembourg. It has been incorporated for an unlimited period of time in Luxembourg on 19th February 1988. The Manager has, with the approval of the Directors, appointed Fischer Francis Trees & Watts UK Limited, previously known as Fortis Investment Management UK Limited (the Investment Manager ) as investment manager. The Investment Manager shall supply the Manager with recommendations and advice with respect to the Fund s investment policy as described in the Prospectus. The investment objective of the ABN AMRO Global Multi Strategy Fund is to achieve capital appreciation by investing primarily in a diverse range of Target Funds implementing alternative management strategies with exposure to any or all of the global markets. The investment objective of the ABN AMRO Relative Value Strategy Fund is to achieve capital appreciation whilst maintaining a conservative risk profile by investing primarily in a diverse range of Target Funds implementing alternative management strategies. The investment objective of ABN AMRO Cash Euro is to invest 100% in Euro Cash. EUR 2. Significant events during the year As detailed below, the Board of Directors, in consultation with the Investment Manager, have decided to enforce compulsory redemption of the shares of several Sub-Funds. This decision of the Board of Directors to redeem shares of all shareholders is combined with the implementation of a gate for the handling of these compulsory redemptions. When a partial payment is decided by the Board of Directors, each shareholder is receiving a percentage of its total holding in the Sub-Fund at this date. The Board of Directors in consultation with the Investment Manager have made the following decisions: ABN AMRO Global Multi Strategy Fund The Board of Directors (the Directors ) resolved to put the Sub- Fund in liquidation from the Net Asset Value of 26th February 2010. Subscriptions and redemptions were suspended since February 2010. In 2010, 77% and 92% of the remaining shares were redeemed with March and May 2010 Net Asset Value. In 2009, in the best interest of all shareholders of ABN AMRO Global Multi Strategy Fund, the Board of Directors of the Fund resolved to set aside the illiquid assets of the Sub-Fund in a side pocket in order to face liquidity issues due to market circumstances. The interests of the shareholders in the Sub-Fund as of 31st January 2009 were evidenced by the redesignation of a certain number of shares held by them as special shares, it being understood that a separate class of special shares therefore exists in relation to each existing class of share of the Sub-Fund. Partial redemption payment was made in 2009. In 2010, 35% and 32% of the remaining special shares were redeemed with December 2009 and March 2010 Net Asset Value. ABN AMRO Relative Value Strategy Fund The Directors have imposed forced redemptions for each shareholder beginning with October 2008 Net Asset Value. No redemption or conversion orders were accepted since October 2008 Net Asset Value. During the year 2009, partial redemption payments were made. During the year 2010, 68% of the remaining shares were redeemed with January 2010 Net Asset Value. ABN AMRO Active Alpha Fund The Directors have imposed forced redemptions for each shareholder beginning with October 2008 Net Asset Value. No redemption or conversion orders were accepted since October 2008 Net Asset Value. During the year 2009, partial redemption payments were made. 17
The Directors resolved to close the liquidation of the Sub-Fund and to redeem the remaining shares with the 30th November 2010 Net Asset Value. ABN AMRO Opportunity Driven Fund The Directors have imposed forced redemptions for each shareholder beginning with September 2008 Net Asset Value. No redemption or conversion orders were accepted since September 2008 Net Asset Value. During the year 2009, partial redemption payments were made. During 2010, 55% of the remaining shares were redeemed with January 2010 Net Asset Value. The Directors resolved to close the liquidation of the Sub-Fund and to redeem the remaining shares with the 30th November 2010 Net Asset Value Regarding the above Sub-Funds, the Directors instructed the central administration to stop the net asset value calculation since June 2010, and to produce net asset values only for final distribution of each sub-fund or reporting purpose. ABN AMRO ARAF V450 The Directors resolved to merge the Sub-Fund ABN AMRO ARAF V450 into the Sub-Fund V350 of BNP Paribas L1 SICAV on 23rd August 2010. The share classes of ABN AMRO ARAF V450 have been closed by contributing their assets into the BNP Paribas L1 V350 share classes. ABN AMRO Cash Euro The Sub-Fund ABN AMRO Cash Euro has been launched on 1st December 2010. 3. Significant accounting policies The financial statements have been prepared in accordance with Luxembourg investment funds generally accepted accounting principles. The significant accounting policies are summarised as follows: Valuation of Investments The value of investments including Units or Shares of closed-ended Target Funds which are admitted to official listing on any stock exchange is based on the last available price on the stock exchange which is normally the principal market for such assets. The value of investments dealt in on any other Recognised Exchange is based on the last available price. In the event that any investments are not admitted to official listing on any stock exchange or dealt on any other Recognised Exchange, or if, with respect to assets admitted to official listing on any stock exchange or dealt on any other Recognised Exchange as aforesaid, the last available price is in the opinion of the Directors not representative of the fair market value of the relevant assets, the value of such assets will be based on the reasonably foreseeable sale price determined prudently and in good faith by or under procedures established by the Directors. 18 Units or Shares of open-ended Target Funds, either listed or not listed, are valued at their last official unaudited net asset values, excluding any redemption fees or other charges that may arise on disposal, as reported or provided by such Target Funds or their agents, or at their last unofficial net asset values (i.e. estimates of the net asset values) if more recent than their last official net asset values. Target Funds from time to time revise their valuations and valuation methods, sometimes materially. The Fund s fees, including the performance fee, as well as the amounts due to shareholders upon redemption, may be determined on the basis of estimated net asset values for open-ended Target Funds. The Fund is under no obligation to revise such estimates. Revisions of any valuation information supplied to the Fund will simply be effected in the current month, not by a prior period adjustment. Certain of the Fund s investments in Target Funds may be subject to lock up periods during which the Fund may be unable to redeem its position in the underlying target investments. The value of money market instruments not admitted to official listing on any stock exchange or dealt on any other Recognised Exchanges and with remaining maturity of less than 12 months and of more than 90 days is deemed to be the nominal value thereof, increased by any interest accrued thereon. Money market instruments with a remaining maturity of 90 days or less will be valued by the amortised cost method, which approximates market value. The liquidating values of futures, forward and options contracts traded on stock exchanges or dealt on Recognised Exchanges are based upon the last available settlement prices of these contracts on the stock exchanges or Recognised Exchanges on which the particular futures, forward or options contracts are traded by the Fund; provided that if a futures, forward or options contract could not be liquidated on the day with respect to which net assets are being determined, the basis for determining the liquidating value of such contract is such value as the Board of Directors may deem fair and reasonable. Upon entering into a future contract, the Fund is required to deposit with a broker an initial cash margin equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Fund depending upon the fluctuation in the value of the underlying securities. Equity Swap transactions are marked to market daily using the market value of the underlying assets used for the transaction in accordance with the terms of the swap agreement. Total Return, Credit Default and Interest Rate Swap transactions are valued at their daily market value under guidelines established by the Board of Directors of the SICAV and in accordance with the terms of the Swap agreement. Forward Foreign Currency Exchange Contracts The Fund, on behalf of each Sub-Fund, may enter into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. Risks may