ABN AMRO ALTERNATIVE INVESTMENT STRATEGIESSemi-Annual ReportFor the period ended 31 December 2007Unaudited Financial StatementsFor the financial period ended 31 December 20071
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIESDIRECTORYManagerABN AMRO Asset Management (Singapore) LtdLevel 21, One Raffles Quay (South Tower),Singapore 048583(Company Registration No. 199704426D)Directors of the ManagerMarcel Johan De Bruijckere (appointed with effect from 2 July 2007)Ng Kim Guan, AlexNils Arne LindmanDavid Wong See Hong (appointed with effect from 11 July 2007)Lennie Lim Hong Heng (resigned with effect from 15 July 2007)Trustee/CustodianHSBC Institutional Trust Services (Singapore) Limited21 Collyer Quay, #14-01 HSBC Building, Singapore 049320(Company Registration No. 194900022R)RegistrarHSBC Institutional Trust Services (Singapore) LimitedTransfer Agency Unit60 Alexandra Terrace#10-12/13, The ComtechSingapore 118502(Company Registration No: 194900022R)AuditorsErnst & YoungLevel 18, One Raffles Quay North TowerSingapore 048583Solicitors to the ManagerGlobal Law Alliance LLC63 Market Street #10-02Singapore 048942Solicitors to the TrusteeAllen & Gledhill LLPOne Marina Boulevard, #28-00,Singapore 0189892
__________________________________Semi Annual Reportfor the half year ended 31 December 2007___________________________4
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES-ABN AMRO MULTI STRATEGY FUNDMANAGER’S REPORTInvestment ObjectiveThe aim of the ABN AMRO Multi Strategy Fund (“the Fund”) is to achieve capital appreciationthrough investing all or substantially all of its assets into the ABN AMRO Global Multi StrategyFund (“Underlying Fund”), a sub-fund of ABN AMRO Alternative Investments, an open-endedumbrella investment company incorporated in Luxembourg (“Company”). The Underlying Fundwill invest primarily in a diverse range of collective investment schemes implementing alternativemanagement strategies with exposure to any or all of the global markets worldwide. TheUnderlying Fund has an objective to generate strong absolute returns with low volatility through awell diversified portfolio of approved managers across all hedge fund strategies.The Fund is an open-ended cash unit trust. As a feeder fund, it will invest all or substantially all ofits assets into the Underlying Fund. The benchmark which the performance of the Fund should bemeasured against is HFRI Fund of Funds Composite Index.Investment Policy*The Underlying Fund is an alternative investment product managed by ABN AMRO AssetManagement. The product utilises a ‘fund of funds’ structure and diversifies investments acrosshedge fund strategies and managers from around the world. The Underlying Fund invests withhighly qualified specialist managers who have strong reputations in their particular areas ofexpertise. Manager selection involves a detailed process of due diligence and on-site meetings. Thestrategies that the managers represent are actively managed to reflect the view that certain strategieswill perform better in certain market and liquidity conditions. This aids the process of achievingattractive absolute returns over the medium-term. The Underlying Fund’s investment guidelinesimpose upper limits on strategy allocations to ensure broad diversification.* Information relates to the ABN AMRO Alternative Investment Fund - Global Multi Strategy Fund(Underlying Fund)Market Review*Bond yields were more volatile in 2007. Developments in the sub-prime market became much moreof an issue and investors sought safe havens as riskier assets suffered. Risk aversion intensifiedfrom July onwards across fixed income markets. This was reflected in the spreads of credit defaultswap and corporate bonds, which widened especially for riskier bonds. The dominant feature ofcurrency markets last year was US dollar weakness. It fell against nearly all other major currencies,notably the euro, pushing the effective exchange rate index down to historical lows. The strongglobal economic environment pushed commodity prices higher again in 2007. Prices of oil, manysoft commodities and bio-fuels rose sharply. Gold prices benefited from increased inflationaryconcerns, US dollar weakness and the increase in risk aversion whereas other metals such asaluminium, copper and nickel showed less movement during the year. Most equity indices in thedeveloped world closed the year with relatively modest gains due to the impact of sub-primemarket developments. The Asian and Emerging Markets were the best performing equity marketsbenefiting from strong domestic economic dynamics, abundant liquidity and the absence of clearcontagion of sub-prime issues, which were eventually felt at the end of the year.5
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES-ABN AMRO MULTI STRATEGY FUNDRisk – Annualized Sharpe Ratio1 Jan 2007 – 1 Jan 2006 – 1 Jan 2005 – Since inception to31 Dec 2007 31 Dec 2006 31 Dec 2005 31 Dec 2006ABN AMRO Global Multi 0.30 1.61 1.83 0.91Strategy FundABN AMRO Multi Strategy -1.52 1.17 0.06 -0.43Fund (SGD Class)ABN AMRO Multi Strategy - 1.05 1.10 -Fund (USD Class)Source : Standard & Poor’s MicropalAssuming risk-free rate = 0%RISK – Borrowing and LeverageUnderlying FundSingapore Feeder FundAmount of borrowings as at the endNoneNoneof 31 December 2007Other sources of leverage as at 31NoneNoneDecember 2007Source : ABN AMRO Asset Management (Singapore) Ltd & ABN AMRO Asset Management Limited, LondonRISK – NAV per unit1 Jan 2007 –31 Dec 20071 Jan 2006 –31 Dec 20061 Jan 2005 –31 Dec 2005Since inception to31 Dec 2007Highest NAV (SGD) 1.0030 1.0530 1.0610 1.0610Lowest NAV ((SGD) 0.9070 0.9790 0.9850 0.9070Highest NAV (USD) 1.1900 1.1780 1.1440 1.1900Lowest NAV (USD) 1.141 1.1370 1.0830 0.9790Source: Standard & Poor’s Micropal8
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES-ABN AMRO MULTI STRATEGY FUNDPORTFOLIO VALUATIONPortfolio Valuation as at 31 Dec 2007 Amount %1,109.63 shares in ABN AMRO Global Multi Strategy Fund (USD Class) 178,262.06 98.83Cash 355.29 0.20Net Receivables / Payables 1738.71 0.97TOTAL 180,356.06 100.00139,206.47 shares in ABN AMRO Multi Strategy Fund (SGD Class) 229,587.44 100.00Cash - -Net Receivables / Payables - -TOTAL 229,587.44 100.00Source: ABN AMRO Asset Management (Singapore) LtdAmount of Redemptions and Subscriptions (1 Jul 2007 - 31 Dec 2007)Subscriptions for ABN AMRO Multi Strategy Fund (USD Class)Redemptions for ABN AMRO Multi Strategy Fund (USD Class)Subscriptions for ABN AMRO Multi Strategy Fund (SGD Class)Redemptions for ABN AMRO Multi Strategy Fund (SGD Class)Source: ABN AMRO Asset Management (Singapore) LtdAmountUSD0.00USD8,880.19SGD0.00SGD3,012,844.92Current Exposure – Underlying schemes or ManagersHedge Fund StrategyPercentage ofNAVNumber of underlyingschemes or managers1 Capital Structure / Credit Arbitrage 7.30 22 Convertible Arbitrage 3.40 13 Event Driven 14.0 64 Fixed Income Relative Value 3.50 15 Long Only 0 06 Long / Short Equity 33.70 107 Macro 3.20 18 Statistical Arbitrage 6.10 29 Trend Followers / CTAs 7.20 210 Volatility Arbitrage 0 011 Cash 6.60 112 Multi Strategies 15.0 4Source: ABN AMRO Asset Management Limited, London9
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES-ABN AMRO MULTI STRATEGY FUNDCurrent Exposure – Underlying SchemeAmount (US$)1 Exposure to derivatives None2 Material information that will adversely impact the valuation of the fund such as Nonecontingent liabilities of open contracts.3 Amount of related-party transactions for the period under review – purchasesNone– sales4 Soft dollar arrangement, rebates, commissions and other monetary incentives Nonereceived by ManagerThe underlying fund enters into forward foreign exchange contracts during the period in order to protectits present and future assets and liabilities against fluctuation of currencies as well as to cover enoughforeign exchange reserve in the various currencies for subscriptions and redemptions. As at December31,i. Market value of the forward contracts = USD5,911,872.80 amounting to 0.60% of NAV as at theend of the period; andii. Net gains/losses on outstanding on forward contracts marked to market as at the end of the period= USD5,911,872.80.Current Exposure (relating to the feeder fund)Amount (US$)1 Exposure to derivatives None2 Material information that will adversely impact the valuation of the fund such as Nonecontingent liabilities of open contracts.3 Amount of related-party transactions for the period under review – purchasesNone– sales4 Soft dollar arrangement, rebates, commissions and other monetary incentives Nonereceived by ManagerSource: ABN AMRO Asset Management (Singapore) LtdCurrent Exposure – Other InformationAmount1 Fund size of underlying fund as at the end of 31 December 2007 USD 982,346,481.902 NAV per unit as at the end of 31 December 2007 (USD class) USD1.1413 NAV per unit as at the end of 31 December 2007 (SGD class) SGD0.9074 Illiquid holdings as at the end of 31 December 2007 None5 Amount of seed money as at the end of 31 December 2007 NoneSource: ABN AMRO Asset Management, (Singapore) Ltd & ABN AMRO Asset Management Limited, London10
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES-ABN AMRO MULTI STRATEGY FUNDTop 10 Holdings of the Underlying FundS/NCollective Investment SchemesNominalHolding(Shares)As At December 31, 2007Market valuein USD% ofNAV1 Karsch Capital Limited 222,998 42,788,066.80 4.36%2 Southport Millennium Offshore Inc – C Series C 1 3,191,843 41,756,407.45 4.25%3 OZ Europe Overseas II Limited - G Prime - 8 34,213 41,148,843.08 4.19%4 Lansdowne Global Financials Fund Limited - R 166,973 39,843,375.85 4.06%5 Brevan Howard (EUR) Fund Limited - B 196,102 38,549,506.05 3.92%6 Kaiser Trading Fund SPC 2,590,927 36,454,338.89 3.71%7 Claren Road Credit Fund Ltd 35,000 36,021,744.63 3.67%8 Pendragon (Merlin) Fund. Inc. 12,864 35,716,534.50 3.64%9 Plainfield Special Situations Offshore Feeder Fund 350,000 35,788,303.58 3.64%10 York Credit Opportunities Unit Trust 861,766 35,224,050.25 3.59%Source: ABN AMRO Asset Management Limited, LondonS/NCollective Investment SchemesAs At December 31, 2006NominalHolding(Shares)Marketvalue inUSD% ofNAV1 Ashmore Asian Recovery Fund Series INC GP 28 Apr 06 1,125,504 36,899,071 4.812 TCS Capital International Limited Class A Series 1 127,399 34,919,253 4.553 Plexus Fund Ltd Class A3 289,566 32,173,545 4.194 Oz Overseas Fund II Ltd Class G Prime Series 8 30,000 31,160,931 4.065 Renaissance IEF Plc Class Sub Class B Series 1 30,000 31,120,783 4.056 Eminence Long Alpha Ltd Class D Series 6 30,000 30,820,755 4.017 Alydar Fund Ltd 192,606 30,567,803 3.988 Karsch Capital Ltd Class B 177,915 30,332,295 3.959 Savaninah Bal Timore Off/Sh Ltd Class A/R Series 4 30,000 30,312,000 3.9510 Mangart Global Fund Liomited Class EUR 86,678 27,562,947 3.59Source: ABN AMRO Asset Management Limited, LondonExpense RatioCurrent YearPrevious Year(1 Jan 2007 – 31 Dec 2007) (1 Jan 2006 – 31 Dec 2006)a) Singapore feeder fund 7.27% 4.10%b) Underlying Fund 2.24% 2.10%Total (a) + (b) 9.51% 6.20%Source: ABN AMRO Asset Management Limited, London & ABN AMRO Asset Management (Singapore) Ltd.Expense Ratio is calculated in accordance with IMAS guidelines, and is stated on an annualised basis. Thisexpense ratio does not include brokerage and other transaction costs, performance fee, foreign exchangegains/losses, front or back end loads arising from the purchase or sale of other schemes and tax deducted at sourceor arising out of income received.11
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES-ABN AMRO MULTI STRATEGY FUNDTURNOVER RATIO - Underlying FundCurrent YearPrevious Year(1 Jan 2007 – 31 Dec 2007) (1 Jan 2006 – 31 Dec 2006)Underlying Fund 13.09% 48.70%Hedge Funds are transacted at net asset value. The turnover for a hedge fund of funds does not influence its performance, asthere are no costs (such as commission) involved when a hedge fund is brought or sold.Please refer to the Audited Financial Statement for turnover ratio for feeder fund.Schedule of Investments of Underlying Fund as at December 31, 2007 (Unaudited)Collective Investments Scheme12NominalHolding(Shares)Market Value(US$)% ofNAVBermudaPlatinum Grove Contingent Capital Offshore Fund Limited 21,055 34,456,255.02 3.51Renaissance Institutional Equities Fund Sicav Plc 31,121 30,797,767.83 3.14Seneca Capital International Limited 8,707 893,348.26 0.0960,883 66,147,371.11 6.73Cayman IslandsAlydar Fund Limited – B-1 192,550 34,641,152.86 3.53Amber Fund (Cayman) Ltd 216,584 33,784,070.74 3.44Bristol Fund Ltd 4,754 3,451,072.66 0.35Claren Road Credit Fund Ltd – B-20 30,000 31,004,244.63 3.16Claren Road Credit Fund Ltd – B-23 5,000 5,017,500.00 0.51Eminence Long Alpha Ltd 29,181 34,321,968.69 3.49Kaiser Trading Fund SPC 2,635767 36,499,178.75 3.71Karsch Capital Limited - B 236,624 42,801,692.71 4.36Lansdowne Global Financials Fund Limited 166,973 38,843,375.85 4.06Mangart Global Fund Limited 86,780 31,522,495.81 3.21MKM Longboat Multi Strategy Fund Limited 992,430 35,158,586.70 3.58Oceanwood Global Opportunities Fund-A-2-1 100,000 11,430,010.00 1.16Oceanwood Global Opportunities Fund-A-2-10 100,000 9,597,120.00 0.98Oceanwood Global Opportunities Fund-A-6 100,000 10,337,570.00 1.05Optimal Japan Fund-USD 781,466 18,286,315.17 1.86OZ Europe Overseas II Limited 34,213 41,148,843.08 4.19Plainfield Special Situations Offshore Feeder Fund 350,000 35,788303.58 3.64Plexus Fund Ltd 289,566 33,769,137.82 3.44Savannah Baltimore Offshore Ltd 26,224 29,673,583.38 3.02Southport Millennium Offshore Inc 3,191,843 41,756,407.45 4.25TCS Capital International Ltd-B 2,078 654,251.33 0.07TCS Capital International Ltd-BB 72,673 25,037,262.47 2.55TCS Capital International Ltd-D 60,000 6,447,738.96 0.66The 32 Capital Fund Limited Class A Series 1 02 7,788 11,208,500.52 1.14The 32 Capital Fund Limited Class B Series 1 02 11,146 16,034,490.27 1.63The 32 Capital Fund Limited Class B Series 11 05 1,500 1,550,053.59 0.16The Alphagen Octanis Fund Ltd - A 220,785 28,984,429.67 2.95The Tantallon Fund 1,968,076 28,752,659.57 2.93Tudor Tensor Fund Limited - A 21,707 26,365,159.58 2.68Tudor Tensor Fund Limited - Q 6,492 7,885,413.79 0.80York Credit Opportunities Unit Trust – B-11 494,147 20,195795.44 2.06York Credit Opportunities Unit Trust – B-12 367,619 15,028,254.81 1.5312,811,854 747,976,639.88 76.15
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES-ABN AMRO MULTI STRATEGY FUNDSchedule of Investments of Underlying Fund as at December 31, 2006 (Unaudited) [Continued]Collective Investments SchemeNominalHolding(Shares)Market Value(US$)% ofNAVIrelandPendragon (Merlin) Fund Inc - A 594 1,525,829.27 0.16Pendragon (Merlin) Fund Inc - AA 12,270 34,190,705.23 3.4812,864 35,716,534.5 3.64USABrevan Howard Fund Ltd (EUR) - B 196,102 38,549,506.05 3.92196,102 38,549,506.05 3.92Virgin IslandsShepherd Investments International Ltd 7,888 32,649,176.05 3.327,888 32,649,176.05 3.32Total Other Transferable Securities (Cost: $824,256,500.40) 921,039,227.59 93.76Other Assets less Liabilities 61,317,254.31 6.24Total Net Assets US$982,356,481.90 100.0013
ABN AMRO ALTERNATIVE INVESTMENT STRATEGIES-ABN AMRO MULTI STRATEGY FUNDUnaudited Financial StatementsFor the financial period 1 July 2007 to 31 December 200714
ABN AMRO Alternative Investment Strategies(Constituted under a Trust Deed in the Republic of Singapore)STATEMENT OF TOTAL RETURNFor The Financial Period Ended 31 December 2007 (Unaudited)ExpensesNoteABN AMRO Multi Strategy Fund31 December 31 December20072006USDUSDManagement fees 463 951Registration fees 1,827 1,776Trustee's fees 2,457 2,179Audit fees 1,856 1,752Others 1,837 3,3378,440 9,995Net loss (8,440) (9,995)Net gains or losses on value of investmentsNet realised gains on investments sold 4,820 31,834Net change in fair value on investments (4,214) (21,178)Net foreign exchange (losses)/gains (138) 312Net gains on value of investments 468 10,968Total (deficit)/return for the period before taxation (7,972) 973Taxation 3 - -Total (deficit)/return for the period after taxation beforedistribution (7,972) 973Distribution - -Total (deficit)/return for the period (7,972) 973The accounting policies and explanatory notes form an integral part of the financial statements.
ABN AMRO Alternative Investment Strategies(Constituted under a Trust Deed in the Republic of Singapore)BALANCE SHEETAs at 31 December 2007 (Unaudited)NoteABN AMRO Multi Strategy Fund31 December2007 30 June 2007USDUSDASSETSPortfolio of investments 178,262 172,613Due from brokers 19,000 -Cash and bank balances 355 37,535Total assets 197,617 210,148LIABILITIESDue to unitholders 8,895 -Due to Manager 509 934Due to Trustee 2,074 8,343Other payables 5,708 3,588Net assets attributable to unitholders 4 180,431 197,283Total liabilities 197,617 210,148The accounting policies and explanatory notes form an integral part of the financial statements.
ABN AMRO Alternative Investment Strategies(Constituted under a Trust Deed in the Republic of Singapore)PORTFOLIO STATEMENTAs at 31 December 2007 (Unaudited)ABN AMRO Alternative InvestmentStrategies - ABN AMRO Multi Strategy FundPercentage Percentageof total net of total netassets assetsattributable to attributable toHoldings Fair value unitholders unitholdersat at at at31 December 31 December 31 December 30 June2007 2007 2007 2007USD % %ABN AMRO Alternative Investment Fund -ABN AMRO Multi Strategy Fund 1,110 178,262 98.80 87.50Portfolio of investments 178,262 98.80 87.50Other net assets 2,169 1.20 12.50Net assets attributable to unitholders 180,431 100.00 100.00As the sub-fund is invested wholly into an underlying fund which is domiciled in Luxembourg and denominated in USdollars, it is not meaningful to classify the investments into investment funds by geography and industry.The accompanying policies and explanatory notes form an integral part of the financial statements.
ABN AMRO Alternative Investment Strategies(Constituted under a Trust Deed in the Republic of Singapore)NOTES TO THE FINANCIAL STATEMENTSFor The Financial Period Ended 31 December 2007 (Unaudited)These notes form an integral part of and should be read in conjunction with the accompanying financialstatements.1. Corporate informationABN AMRO Alternative Investment Strategies (the "Fund") is an umbrella unit trust constituted under aTrust Deed between ABN AMRO Asset Management (Singapore) Ltd. (the "Manager") and HSBCInstitutional Trust Services (Singapore) Limited (the "Trustee") on 10 September 2001, and the Amendedand Restated Deed dated on 25 July 2003, and the Third Supplemental Deed to the Amended andRestated Deed dated 21 July 2006 (the "Trust Deeds"). The Trust Deeds are governed by the laws of theRepublic of Singapore.ABN AMRO Alternative Investment Strategies is a Singapore-authorised unit trust comprising 2 sub-fundsnamely:--Best of World Protected Fund. The launch of this sub-fund was suspended and units in this sub-fundare not being offered for subscription; andABN AMRO Multi Strategy Fund, a feeder fund established with 2 classes of units, namely the SGDclass and USD class.ABN AMRO Multi Strategy Fund invests all or substantially all of its assets as a feeder fund in the ABNAMRO Alternative Investment Fund - ABN AMRO Multi Strategy Fund, an open-ended umbrella unit trustauthorised by the Central Bank of Ireland and admitted to the official list of the Irish Stock Exchange on 5May 2000.2. Summary of significant accounting policies(a) Basis of preparationThe financial statements, which are expressed in US dollars ("USD" or "US$"), are prepared under thehistorical cost basis, as modified by the revaluation of investments, and in accordance with the revisedStatement of Recommended Accounting Practice 7 "Reporting Framework for Unit Trusts" issued bythe Institute of Certified Public Accountants of Singapore in May 2005, which has been adopted witheffect from 1 July 2005.(b)Foreign currenciesForeign currency transactions during the financial period are translated into USD at the rates ofexchange ruling on the transaction dates. Foreign currency monetary assets and liabilities aretranslated into USD at the rates of exchange ruling at the balance sheet date. Differences onexchange are included in the Statements of Total Return.(c)Recognition of investment incomeInterest income is accounted for on a time proportion basis.
ABN AMRO Alternative Investment Strategies(Constituted under a Trust Deed in the Republic of Singapore)NOTES TO THE FINANCIAL STATEMENTSFor The Financial Period Ended 31 December 2007 (Unaudited)(d) InvestmentsInvestments are stated at net asset value of the underlying fund at the balance sheet date.appreciation or depreciation on revaluation is taken directly to the Statement of Total Return.Any3. TaxationRealised gains or losses on sale of investments are taken directly to the Statement of Total Return.ABN AMRO Multi Strategy Fund is granted the status of Designated Unit Trust under Section 35 (12) of theIncome Tax Act (Cap. 134) by Inland Revenue Authority of Singapore and are exempted from Singaporetax on gains on disposal of investments, foreign dividends and interest income (other than interest for whichtax has been deducted under Section 45 of the Income Tax Act) derived by it.4. Net assets attributable to unitholdersABN AMRO Multi Strategy Fund31 December2007 30 June 2007USDUSDAt the beginning of the period/year 197,283 489,989OperationsChange in net assets attributable to unitholders resulting from operation (7,972) 9,606Unitholders' contributions/ (withdrawals)Creation of units - -Cancellation of units (8,880) (302,312)Change in net assets attributable to unitholders resulting from net creat (8,880) (302,312)cancellation of unitsTotal decrease in net assets attributable to unitholders (16,852) (292,706)At the end of the period/year 180,431 197,283Units in issue (Note 5)- USD Class 158,042 165,751USDUSDNet assets attributable to unitholders per unit- USD Class 1.141 1.1905. Units in issueABN AMRO Multi Strategy Fund31 December2007 30 June 2007USD classUnits at the beginning of the period/year 165,751 426,734Units cancelled (7,709) (260,983)Units at the end of the period/year 158,042 165,751
ABN AMRO Alternative Investment Strategies(Constituted under a Trust Deed in the Republic of Singapore)NOTES TO THE FINANCIAL STATEMENTSFor The Financial Period Ended 31 December 2007 (Unaudited)6. Related party informationIn the normal course of business of the Trust, trustee and valuation fees, management fees and registrationfees have been paid or are payable to the Trustee, the Managers and a related corporation of the Trusteerespectively, as noted in the Statement of Total Return. In addition, the Trust has also carried outtransactions which include bank and custodian services with related corporations of the Trustee in thenormal course of business. Transactions with related parties were at terms agreed between the parties andwithin the provisions of the Trust Deeds.The Manager of the Fund is ABN AMRO Asset Management (Singapore) Ltd., a subsidiary of ABN AMROHolding N.V.. The Trustee is HSBC Institutional Trust Services (Singapore) Limited, a subsidiary of theHSBC Group. Total fees paid by the Fund to the Manager and Trustee in respect of the various servicesprovided for the financial period amounted to $463 (31 December 2006: $951) and $5,922 (31 December2006: $5,407) respectively. Cash and bank balances held by ABN AMRO Bank N.V. at the balance sheetdate amounted to $332 (30 June 2007: $37,513).7. SGD dollar classThe Fund offers two classes of units, namely ABN AMRO Multi Strategy US$ units and the ABN AMROMulti Strategy S$ units. The S$ units are structured such that all or substantially all the amounts receivedare invested into the US$ units. Consequently, these financial statements of ABN AMRO Multi StrategyFund cover the financial information of the US$ units only.The S$ units are subject to further foreign exchange risk arising from movement of US$.Supplementary information relating to the S$ units are set out below.ABN AMRO Multi Strategy Fund31 December 2007 30 June 2007Number of US$ units issued toS$ unitholders139,206 146,915Net asset value per US$ unit 1.141 1.190US$ S$ equivalent US$ S$ equivalentValue of US$ units issued to S$unitholders158,834 229,587 174,829 267,995Number of S$ units in issue 253,116 267,137Value per S$ unit0.907 1.003
ABN AMRO Alternative Investment Strategies(Constituted under a Trust Deed in the Republic of Singapore)NOTES TO THE FINANCIAL STATEMENTSFor The Financial Period Ended 31 December 2007 (Unaudited)8. Financial ratiosABN AMRO Multi Strategy Fund31 December200731 December2006% %Expense ratio 1 9.51 3.98Turnover ratio 2 9.94 31.401 The expense ratio is calculated in accordance with the Investment Management Association of Singapore("IMAS") guidelines on the disclosure of expense ratios dated 25 May 2005, and is expressed as the sum ofthe expense ratios of the sub-fund and its respective underlying fund. The expense ratio of the underlyingfund is unaudited.2 The turnover ratio is calculated based on the lesser of purchases or sales of underlying funds by the subfundexpressed as a percentage of the daily average value of the sub-fund, which is in accordance with theformula stated in the "Code on Collective Investment Schemes". In the event where they are no purchasesor sales, the turnover ratio is calculated based on either the sales or purchases of the underlying fund by thesub-fund. The turnover ratio does not include the purchase/sales of investments in the underlying fund.9. Financial instrumentsThe overall responsibility for the implementation of the Fund's financial risk management policies lies withthe Manager. These policies are stated in the prospectus of the Fund. The main risks arising from theFund's activities are credit risk, foreign currency risk, interest rate risk and liquidity risk. The Managerreviews and agrees policy for managing each of these risks and they are summerised below:Foreign currency riskThe Fund has investments, cash and bank balances and payables denominated in foreign currencies , andthe Fund may be affected favourably or unfavourably by exchange rate regulations or changes in theexchange rates between USD and such other foreign currencies.Interest rate riskThe Fund places its surplus cash and bank balances with reputable banks, and as a result, is exposed tochanges in the prevailing level of interest rates.As interest income derived from deposits with banks is not deemed to be a major source of income to theFund, the Fund is not adversely exposed to material movements in interest rates.Liquidity riskThe Fund's liquid assets are mainly in the form of cash and bank balances. The Manager ensures that theFund maintains sufficient liquid assets to meet its liquidity requirements.Fair values of financial assets and liabilitiesThe financial assets and liabilities of the Fund comprise investments, receivables, cash and bank balances,and payables. The fair values of these financial assets and liabilities of the Fund as at the balance sheetdate approximate their carrying amounts as shown in the balance sheet.