ABN AMRO. Investments. Annual Report for the year ended 31st December R.C.S. Luxembourg B English

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

INLEIDING 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

TOELICHTING 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. 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.

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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.

TER *

Synthetische TER**

%

%

%

5,88 nvt

(102,82) 22,25

0,00 0,00

nvt 12,2

(234,06) (65,49)

0,00 0,00

ABN AMRO Global Multi Strategy Fund

2009 2010 ***

ABN AMRO Relative Value Strategy Fund

2009 2010

ABN AMRO Active Alpha Fund

2009 2010 1)

1,48 3,43

8,14 nvt

(182,06) 77,97

0,00 0,00

ABN AMRO ARAF V450

2009 2010 2)

1,67 2,15

nvt nvt

795,37 170,61

0,00 0,00

ABN AMRO Opportunity Driven Fund

2009 2010 1)

7,58 nvt

(345,39) (107,47)

0,00 0,00

1) 01-01-10 - 30-11-10

2,44 1,36

PTR Performance fee

2,55 11,87 ****

3,97 25,61 ****

* 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

Zie ook de Toelichting.

BNP Paribas L1 V350

*** 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.

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Werknemers De SICAV heeft geen personeel in dienst.

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.

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.

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.

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

ABN AMRO ARAF 450* Obligaties Swaps

Volume Kosten (% totale volume) 0,18 2,89

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.

0,00 0,00

*01-01-10 - 23-08-10

De transacties hebben tegen marktconforme condities plaatsgevonden. Luxemburg, 12 augustus 2011 De Beheermaatschappij,

Wij zijn van mening dat de door ons verkregen controle-informatie voldoende en geschikt is om een onderbouwing voor ons oordeel te bieden.

BNP Paribas Investment Partners Luxembourg S.A.

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.

OVERIGE GEGEVENS Bestuurdersbelangen Onder Luxemburgs bankgeheim hoeven bestuurders hierover geen gegevens te verstrekken. Resultaat en dividend In 2010 is geen dividend uitgekeerd.

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.

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.

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.

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.

Amsterdam, 12 augustus 2011 Ernst & Young Accountants LLP w.g. J.J. Hendriks RA

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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.

ABN AMRO Alternative Investments

Annual Report for the year ended 31st December 2010

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

Manager

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

Since 1st July 2010: BNP Paribas Investment Partners Luxembourg 33 Rue de Gasperich L-5826 Howald-Hesperange Grand Duchy of Luxembourg

ernard Wester, Chairman B Deputy Chief Executive Officer, BNP Paribas Investment Partners Luxembourg, Grand Duchy of Luxembourg

Investment Manager

Fischer Francis Trees & Watts UK Limited (previously known as Fortis Investment Management UK Limited) 5 Aldermanbury Square London EC2V 7HR United Kingdom

Sub-advisor to the Investment Manager

Cadogan Management, LLC 149 Fifth Avenue 15th Floor New York, NY 10010 United States of America

Independent auditor

Ernst & Young S.A. 7 Rue Gabriel Lippmann, Parc d’Activité Syrdall 2 L-5365 Munsbach Grand Duchy of Luxembourg

Legal Advisers as to Luxembourg law

Bonn, Schmitt, Steichen Avocats 44 Rue de la vallée L-2661 Luxembourg Grand Duchy of Luxembourg

Prime Broker (until 23rd August 2010)

Crédit Suisse Securities (USA) LLC 11 Madison Avenue New York, NY 10010-3629 United States of America

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 Custodian, Paying Agent, Listing Agent, Registrar and Transfer Agent and Administrative Agent

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

Principal Distributor

Until 30th June 2010: Fortis Investment Management Luxembourg S.A. 46 Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg

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

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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 US Dollar Class A US Dollar Class I Euro Class A Euro Class I Euro Class N NOK Class I SEK Class I

Performance –5.79% –5.75% –14.21% –14.16% –14.12% –15.04% –18.79%

Side Pocket Portion Class US Dollar Class A Special Shares US Dollar Class I Special Shares Euro Class A Special Shares Euro Class I Special Shares Euro Class N Special Shares NOK Class I Special Shares SEK Class I Special Shares

Performance –0.58% –0.58% 6.31% 6.31% 6.34% 0.05% –6.37%


Class US Dollar Class A US Dollar Class I Euro Class A Euro Class N

Performance 71.41% 71.45% 83.35% 83.52%

ABN AMRO Active Alpha Fund

Class US Dollar Class A Euro Class A Euro Class N

Performance –2.09% (Until 30th November 2010) 7.60% (Until 30th November 2010) 7.62% (Until 30th November 2010)

ABN AMRO ARAF V450

Class Euro Class A US Dollar Class A Euro Class B US Dollar Class B Euro Class I

Performance 1.89% (Until merger) 2.21% (Until merger) 1.87% (Until merger) 0.58% (Until 22th June 2010) 0.46% (Until 22th June 2010)

ABN AMRO Opportunity Driven Fund

Class US Dollar Class A US Dollar Class I GBP Class I Euro Class A Euro Class I NOK Class I

Performance –62.12% (Until 30th November 2010) –62.10% (Until 30th November 2010) –63.97% (Until 30th November 2010) –62.98% (Until 30th November 2010) –62.99% (Until 30th November 2010) –64.32% (Until 30th November 2010)

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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

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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 Number Currency of Shares

Cayman Islands D.E. Shaw Composite International Fund (Restricted Class) Ordinary Series* USD ** D.E. Shaw Composite International Fund (Restricted Class) Side pocket Series* USD ** TCS Capital International Limited Class S 1/1* USD 2,086.7 Total Other Transferable Securities (Cost: US$1,022,367)

Schedule of Investments ABN AMRO Relative Value Strategy Fund 31st December 2010 Fair % of Value Net US$ Assets

282,913

1.35

111,899

0.53

66,061 460,873

0.32

460,873

2.20

Other Net Assets 20,474,521

97.80

Total Net Assets 20,935,394

100.00

Other Transferable Securities

2.20

Quotation Number Currency of Shares

Bermuda Brencourt Multi Strategy International Limited Class S2 USD 389.9 Cayman Islands Investcorp Interlachen Multi Strategy Fund Class A D1 USD 146.6 Total Other Transferable Securities (Cost: US$534,433)

Fair % of Value Net US$ Assets 132,880 132,880

14.54

0 0

0.00

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.


8

14.54

0.00



Statement of Assets and liabilities as at 31st December 2010

Notes Assets Investment at Fair Value (Cost: € 1,160,448) 3,4 Cash and cash equivalents Receivables on Sales of Investments 8 Total Assets Liabilities Redemption Payable Accrued Expenses and Other Liabilities 3 Total Liabilities Total Net Assets * Liquidated 30th November 2010 ** Launched 1st December 2010

ABN AMRO Global Multi Strategy Fund US $

ABN AMRO Relative Value Strategy Fund US $

ABN AMRO Active Alpha Fund* US $

460,873 20,426,861 475,816 21,363,550

132,880 614,174 260,504 1,007,558

– 2,043,591 – 2,043,591

– 338,607 – 338,607

– 100,000 – 100,000

– 428,156 428,156 20,935,394

– 93,507 93,507 914,051

1,946,758 96,833 2,043,591 –

198,720 139,887 338,607 –

– – – 100,000


9

ABN AMRO Opportunity Driven Fund* US $

ABN AMRO Cash Euro** Euro

Combined Total Euro 442,587 17,559,818 548,857 18,551,262

1,599,252 565,303 2,164,555 16,386,707



Statement of operations for the year from 1st January 2010 to 31st December 2010 ABN AMRO Asia Pacific Alternative ABN AMRO ABN AMRO Strategy Global Multi Relative Value Fund* Strategy Fund Strategy Fund US$ US $ US $

Notes Income Interest on bonds, net of withholding taxes 3 Bank Interest Interest on swap contracts Other income Total Income Expenses Management fees 6 Administration and custody fees Subscription tax 9 Audit Fees Legal Fees Interest expense Interest paid on Swap Contracts Transfer Agent fees Other expenses Total expenses Net Gain/(Loss) from Investments Realised gain/(loss) from investment transactions, foreign currency, forward foreign currency exchange contracts, options contracts, futures and swap contracts Net change in unrealised appreciation/(depreciation) from: Investment transactions Foreign currency and forward foreign currency exchange contracts Future and swap contracts Net realised and unrealised gain/(loss) on investment and foreign currency transactions Net Increase/(Decrease) in Net Assets Resulting from Operations * Liquidated 31st December 2009 ** Liquidated 30th November 2010 *** Merged in the Fund BNP Paribas L1 V350 on 23rd August 2010 **** Launched 1st December 2010

– – – – – – – – – – – – – – – –

– 641 – – 641 100,156 280,692 8,325 126,750 56,500 13,739 – 65,000 110,033 761,195 (760,554)

– – – – –

ABN AMRO ABN AMRO Active Alpha ABN AMRO Opportunity ABN AMRO Fund** ARAF V450*** Driven Fund** Cash Euro**** US $ Euro US $ Euro – – – – –

308,847 14,909 59,864 24,730 408,350

– – – – –

Combined Total Euro

– – – – –

308,847 15,387 59,864 24,730

267,582 475,115 9,595 123,896 55,301 19,634 90,892 154,295 189,763

– 78,001 191 – – 777 – 12,000 22,000 112,969 (112,969)

– 13,600 – – – 34 – 4,000 49,058 66,692 (66,692)

192,925 133,302 3,223 29,416 6,850 8,788 90,892 81,245 26,059 572,700 (164,350)

– 86,266 33 – 8,500 – – 17,000 38,526 150,325 (150,325)

– – – – – – – – – – –

408,828

1,386,073 (977,245)

(1,227)

(16,406,961)

295,976

33,553

431,241

(651,059)

–

(12,039,191)

1,227 – –

13,374,486 151,636 –

154,058 – –

(13,438) – –

(34,594) 138,277 60,309

452,395 2,902 –

– – –

10,377,780 253,471 60,309

–

(2,880,839)

450,034

20,115

595,233

(195,762)

–

(1,347,631)

–

(3,641,393)

337,065

(46,577)

430,883

(346,087)

–

(2,324,876)


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 Strategy Global Multi Relative Value Fund* Strategy Fund Strategy Fund US$ US $ US $

Notes From Operations Net gain/(loss) from Investments – Realised gain/(loss) from investment transactions, foreign currency, forward foreign currency exchange contracts, options contracts, futures and swaps contracts (1,227) Net change in unrealised appreciation/(depreciation) from investment transactions 1,227 Net change in unrealised appreciation/(depreciation) from foreign currency and forward foreign currency exchange contracts – Net change in unrealised appreciation/(depreciation) from future and swap contracts – Net Increase/(Decrease) in Net Assets Resulting from Operations – From Share Transactions Proceeds from shares issued – Cost of shares redeemed (967,799) Net Increase/(Decrease) in Net Assets Resulting from Share Transactions (967,799) Total Increase/(Decrease) in Net Assets (967,799) Net Asset Value at beginning of year 967,799 Reevaluation difference 3 – Net Asset Value at end of year – * Liquidated 31st December 2009 ** Liquidated 30th November 2010 *** Merged in the Fund BNP Paribas L1 V350 on 23rd August 2010 **** Launched 1st December 2010

(760,554)

ABN AMRO ABN AMRO Active Alpha ABN AMRO Opportunity ABN AMRO Fund** ARAF V450*** Driven Fund** Cash Euro**** US $ Euro US $ Euro

Combined Total Euro

(112,969)

(66,692)

(164,350)

(150,325)

–

–977,245

(16,406,961)

295,976

33,553

431,241

(651,059)

–

–12,039,191

13,374,486

154,058

(13,438)

(34,594)

452,395

–

10,377,780

151,636

–

–

138,277

2,902

–

253,471

–

–

–

60,309

–

–

60,309

(3,641,393)

337,065

(46,577)

430,883

(346,087)

–

(2,324,876)

– (76,676,477)

– (1,087,981)

– (1,946,758)

4,078 (27,491,883)

– (877,890)

100,000 –

104,078 (88,284,889)

(76,676,477) (80,317,870) 101,253,264 – 20,935,394

(1,087,981) (750,916) 1,664,967 – 914,051

(1,946,758) (1,993,335) 1,993,335 – –

(27,487,805) (27,056,922) 27,056,922 – –

(877,890) (1,223,977) 1,223,977 – –

100,000 100,000 – – 100,000

(90,505,687) 101,706,452 5,185,942


11

(88,180,811)

16,386,707



STATIsTICAL information ABN AMRO Asia Pacific Alternative Strategy Fund US Dollar Class A Net Asset Value $ Number of Shares in issue Net Asset Value per Share $

31st December 2010

31st December 2009

31st December 2008

– – –

154,643 3,706 41.73

2,254,840 45,696 49.34

Euro Class A

Net Asset Value € Number of Shares in issue Net Asset Value per Share €

– – –

597,555 13,602 43.93

7,942,233 167,721 47.35

ABN AMRO Global Multi Strategy Fund US Dollar Class A

Net Asset Value $ Number of Shares in issue Net Asset Value per Share $

34,217 353 97.06

2,408,516 23,379 103.02

17,772,604 140,757 126.26

Euro Class A


59,934 600 99.95

4,470,428 38,372 116.50

43,364,407 303,975 142.66

US Dollar Class I


59,245 605 97.98

3,463,028 33,312 103.96

49,778,826 390,753 127.39

Euro Class I


66,535 659 100.91

5,392,493 45,876 117.55

85,745,608 596,358 143.78

NOK Class I

Net Asset Value NOK Number of Shares in issue Net Asset Value per Share NOK

712,609 1,209 589.24

50,855,852 73,328 693.54

220,443,359 262,211 840.71

SEK Class I

Net Asset Value SEK Number of Shares in issue Net Asset Value per Share SEK

168,724 280 602.76

16,356,825 22,038 742.21

20,692,168 22,496 919.82

Euro Class N


232,242 6,251 37.15

16,909,481 390,842 43.26

190,886,799 3,606,995 52.92

US Dollar Class A Special Shares


676,500 33,005 20.50

1,535,663 74,474 20.62

– – –

Euro Class A Special Shares


1,644,275 71,276 23.07

3,489,895 160,833 21.70

– – –

US Dollar Class I Special Shares


1,897,828 91,624 20.71

4,307,093 206,748 20.83

– – –

Euro Class I Special Shares


3,252,822 139,834 23.26

6,903,372 315,533 21.88

– – –


12



ABN AMRO Global Multi Strategy Fund (continued)

31st December 2010

31st December 2009

31st December 2008

NOK Class I Special Shares


7,305,486 61,483 118.82

16,476,635 138,736 118.76

– – –

SEK Class I Special Shares

Net Asset Value SEK Number of Shares in issue Net Asset Value per Share SEK

643,312 5,275 121.96

1,550,479 11,903 130.26

– – –

Euro Class N Special Shares


7,243,525 845,766 8.56

15,370,447 1,908,461 8.05

– – –

ABN AMRO Relative Value Strategy Fund US Dollar Class A


42,462 246 172.58

77,420 769 100.68

655,512 15,417 42.52

Euro Class A


228,696 1,341 170.53

389,785 4,191 93.01

3,403,738 84,030 40.51

US Dollar Class I


103,432 147 703.62

188,374 459 410.40

1,596,398 9,211 173.32

Euro Class N


343,537 2,003 171.55

584,977 6,258 93.48

5,112,929 125,476 40.75

ABN AMRO Active Alpha Fund US Dollar Class A


– – –

196,907 4,722 41.70

2,401,914 62,267 38.57

Euro Class A


– – –

798,760 20,377 39.20

9,897,750 268,675 36.84

Euro Class N


– – –

452,766 11,698 38.70

5,617,230 154,245 36.42

ABN AMRO ARAF V450 US Dollar Class A


– – –

467,544 5,328 87.75

1,740,156 19,489 89.29

Euro Class A


– 17,053 –

1,539,647 53,319 90.28

4,822,189

Euro Class B


– 605,210 –

25,176,053 972,438 41.60

40,521,342


13

90.44

41.67



ABN AMRO ARAF V450 (continued)

31st December 2010

31st December 2009

31st December 2008

US Dollar Class B

Net Asset Value

$

–

8,918

9,011

Number of Shares in issue Net Asset Value per Share $

– –

400 22.29

400 22.53

Euro Class I


– – –

9,074 1 9,073.86

9,041 1 9,040.83

ABN AMRO Opportunity Driven Fund US Dollar Class A


– – –

7,021 105 66.87

128,584 1,598 80.47

Euro Class A


– – –

8,865 134 66.16

164,539 2,036 80.81

US Dollar Class I


– – –

10,891 325 33.51

199,349 4,944 40.32

Euro Class I


– – –

576,142 17,338 33.23

10,709,798 264,115 40.55

NOK Class I


– – –

1,613,656 5,007 322.28

29,692,404 76,275 389.28

GBP Class I

Net Asset Value £ Number of Shares in issue Net Asset Value per Share £

– – –

54,086 1,636 33.06

1,005,707 24,915 40.37

ABN AMRO Cash Euro Euro Class I


100,000 100 1,000.00

– – –

– – –


14



Share Movements ABN AMRO Asia Pacific Alternative Strategy Fund Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010

US Dollar Euro Class A Class A 3,706 13,602 – – (3,706) (13,602) – –

ABN AMRO Global Multi Strategy Fund Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010

US Dollar Euro Class A Class A 23,379 38,372 – – (23,026) (37,772) 353 600

Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010

Euro Class I 45,876 – (45,217) 659

Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010 Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010


15

605

NOK Class I 73,328 – (72,119) 1,209

SEK Class I 22,038 – (21,758) 280

US Dollar Euro Class A Class A Special Special Shares Shares 74,474 160,833 – – (41,469) (89,557) 33,005 71,276

US Dollar Class I Special Shares 206,748 – (115,124)

Euro Class I Special Shares 315,533 – (175,699) 139,834

ABN AMRO Relative Value Strategy Fund Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010

US Dollar Class I 33,312 – (32,707)

Euro Class N 390,842 – (384,591) 6,251

91,624

NOK Class I Special Shares 138,736 – (77,253) 61,483

SEK Class I Special Shares 11,903 – (6,628) 5,275

US Dollar Euro Class A Class A 769 4,191 – – (523) (2,850) 246 1,341

US Dollar Class I 459 – (312) 147

Euro Class N Special Shares 1,908,461 – (1,062,695) 845,766



Euro Class N 6,258 – (4,255)


2,003

ABN AMRO Active Alpha Fund Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010

US Dollar Euro Euro Class A Class A Class N 4,722 20,377 11,698 – – – (4,722) (20,377) (11,698) – – –

ABN AMRO ARAF V450 Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Reinvested Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010

US Dollar Euro Euro Class A Class A Class B 5,328 17,053 605,210 – – 98 – – – (5,328) (17,053) (605,308) – – –

Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Reinvested Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010

US Dollar Class B 400 – – (400) –

Euro Class I 1 – – (1) –

ABN AMRO Opportunity Driven Fund Number of Shares Outstanding at 31st December 2009 Number of Shares Issued Number of Shares Redeemed Number of Shares Outstanding at 31st December 2010

US Dollar Euro Class A Class A 105 134 – – (105) (134) – –


NOK Class I 5,007 – (5,007) –

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

GBP Class I 1,636 – (1,636) –

US Dollar Euro Class I Class I 325 17,338 – – (325) (17,338) – –



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.

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 Fund currently comprises three Sub-Funds, and fourteen Share Classes as described below. Sub-Fund

Commencement of Operations Class A

ABN AMRO Global Multi Strategy Fund

1st January 2005


15th July 2004

ABN AMRO Cash Euro

1st December 2010

USD EUR USD EUR

Class I

Class N

USD EUR NOK SEK USD

EUR

EUR

EUR

Class A Special Shares

Class I Special Shares

USD EUR

USD EUR NOK SEK

Class N Special Reporting Shares currency EUR

The Board of Directors in consultation with the Investment Manager have made the following decisions:

USD

ABN AMRO Global Multi Strategy Fund The Board of Directors (the “Directors”) resolved to put the SubFund in liquidation from the Net Asset Value of 26th February 2010.

USD

EUR

Subscriptions and redemptions were suspended since February 2010.

As of 31st December 2010 the ABN AMRO Global Multi Strategy Fund (II) has not been launched.

In 2010, 77% and 92% of the remaining shares were redeemed with March and May 2010 Net Asset Value.

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.

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.

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.

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.

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.

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.

The investment objective of ABN AMRO Cash Euro is to invest 100% in Euro Cash.

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.

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.

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.

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.

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

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.

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.

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.

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.

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.

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.

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.

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.

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

18



Purchased Options The Fund may purchase call or put options for a premium. Purchasing call options may be a hedge against an anticipated increase in the cost of securities to be acquired or to increase the Fund’s exposure to the underlying instrument. Purchasing put options may hedge against a decline in the value of portfolio securities. The premium paid is included as an investment in the Statement of Assets and Liabilities and is subsequently adjusted to the current value of the option. Premiums paid for purchased options which have expired are treated as a net realized gain/(loss) from option contracts in the Statements of Operations.

arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of the contracts. All SubFunds may enter into forward foreign currency exchange contracts for efficient portfolio management. Certain Sub-Funds may enter into forward foreign currency exchange contracts for investment purposes as well. For efficient portfolio management purposes, the Fund may enter into contracts to deliver or receive foreign currency it will receive from or require for its normal investment activities. The Fund may also use contracts in a manner intended to protect foreign currency denominated securities from declines in value due to unfavorable exchange rate movements.

Premiums paid for purchased options which are exercised or closed are added to the amount paid or offset against the proceeds on the underlying security or financial instrument to determine the realized gain or loss. The risk of loss associated with purchased options is limited to the premium paid.

For investment purposes, certain Sub-Funds may enter into contracts with the intent of changing the relative exposure of the Fund’s portfolio of securities to different currencies to take advantage of anticipated changes. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until the contract settlement date. On contract settlement date, the gains or losses are recorded as realized gain/(loss) from forward foreign currency exchange contracts.

Swap Agreements The Fund may enter into swap agreements. A swap is an exchange of cash payments between the Fund and another party. The upfront fees paid or received are included as “Upfront fee received on swap contracts” in the Statement of Assets and Liabilities. Net cash payments are exchanged at specified intervals and the expected income or expense is recorded on the accrual basis. The value of the swap is adjusted daily and the change in value is recorded as unrealized appreciation or depreciation. Risks may arise upon entering into these agreements from the potential inability of counterparties to meet the terms of their contract.

Futures The Fund may enter into futures contracts for the delayed delivery of securities or currency, or contracts based on financial indices at a fixed price on a future date. In entering such contracts, the Fund is required to deposit with the broker either in cash or securities an amount equal to a certain percentage of the contract amount. Subsequent payments are made or received by the Fund each day, depending on the daily fluctuations in the value of contracts, and are recorded for financial statements purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or securities’ prices moving unexpectedly, in which case, the funds may not achieve the anticipated benefits of the futures contracts and may realize a loss.

Interest Rate Swap Agreements Interest rate swap agreements are agreements to exchange cash flows periodically based on a notional principal amount, such as the exchange of fixed rate interest payments for floating rate interest payments, which are based on a specific financial index, or the exchange of two distinct floating rate payments. Credit Default Swaps The Fund may enter into credit default swaps to limit or reduce the risk exposure of the Fund to defaults of corporate and sovereign issuers. The Fund may also use credit default swaps to create direct or synthetic short or long exposure to domestic or foreign corporate debt securities or certain sovereign debt securities to which the Fund is not otherwise exposed. In a credit default swap, one party makes a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, such as a corporate issuer or foreign issuer on its obligation.

Written Options The Fund may write call or put options in exchange for a premium. The premium is initially recorded as liability, which is subsequently adjusted to the current value of the option contract. When a written option expires, the Fund realizes a gain equal to the amount of the premium received. The difference between the premium and the amount paid at the closing of a transaction is considered a realized gain or loss. When a written call option is exercised, the premium received is offset against the proceeds to determine the realized gain or loss. When a written put option is exercised, the premium reduces the cost basis of the security purchased by the Fund. The Fund, as writer of an option, may have no control over whether the underlying securities may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the securities underlying the written option.

Investment Transactions Investment transactions (including investments in Target Funds) are recorded on the trade date of the transaction (for investments in Target Funds – date the order to buy or sell is executed) and converted into the reporting currency of the Sub-Fund at the exchange rate prevailing at the close of business on the trade date. Realised gains and losses on sales of portfolio securities are calculated on an average-cost basis. The costs of purchasing

In general, written call options may serve as a partial hedge against decreases in value in the underlying securities to the extent of the premium received.

19



investments are capitalized in their cost values. The costs of selling investments are deducted from the realised gain or loss.

5. Dividend policy The annual general meeting shall decide, on recommendation of the Directors, what share of the Fund’s profits shall be distributed from each relevant Class of Shares. In respect of the Class B Shares, the Fund intends that not only substantially all the net investment income of the Fund attributable to Class B Shares will be declared as a dividend and paid at least annually to the holders of Class B Shares in the Fund, but in addition, at the discretion of the Directors, the Fund may also distribute the Fund’s capital gains, if any, and any declared capital attributable to Class B Shares. No dividends were paid during the year ended 31st December 2010.

Foreign Currency Translations The books and records of all Sub-Funds are maintained in their reporting currency. All assets and liabilities denominated in a currency other than the reporting currency are converted into the reporting currency of the Sub-Funds based upon the exchange rates ruling at 31st December 2010. Investment Income Dividend income is recorded net of any non-reclaimable withholding taxes incurred on ex-date. Interest income is accounted for on an accrual basis net of any non-reclaimable withholding taxes.

6. Management fees Sub-Fund ABN AMRO Global Multi Strategy Fund

Expenses Expenses are accounted for on an accrual basis.


Combined Statements The combined Statements of Assets and Liabilities, Operations and Changes in Net Assets are expressed in Euros at the exchange rate prevailing at the year end. The “Reevaluation difference” in the Statement of Changes in Net Assets relates to the reevaluation of the opening Net Asset Values at this exchange rate.

ABN AMRO Active Alpha Fund* ABN AMRO ARAF V450** ABN AMRO Opportunity Driven Fund* ABN AMRO Cash Euro***

The fee paid to the Investment Manager is per annum based on the Net Asset Value of each share Class calculated prior to the calculation and accrual of any performance fee. This fee is accrued monthly and payable quarterly in arrears. The Target Funds are also subject to management fees. On 1st October 2008 the Investment Manager of ABN AMRO Opportunity Driven Fund decided to waive management fees. No management fees have been accrued after this date.

Due to pricing uncertainties created by liquidity issues of the Target Funds of ABN AMRO Global Multi Strategy Fund and ABN AMRO Relative Value Strategy Fund, the Board of Directors has decided to apply discounts to the original values of the Target Funds listed below.

On 1st November 2008 the Investment Manager of ABN AMRO Relative Value Strategy Fund and ABN AMRO Active Alpha Fund decided to waive management fees. No management fees have been accrued after this date.

With effect from 31st January 2009, the Directors resolved to set the total expense ratio of ABN AMRO Global Multi Strategy Fund Special Shares to 1% per annum, based on the Net Asset Value of each share Class.

As at 31st December 2010, the following discounts were applied: ABN AMRO Global Multi Strategy Fund: Securities

Discounted Market Value US$

D.E. Shaw Composite International Fund (Restricted Class) Ordinary Series *

–65.00 %

808,322

282,913

D.E. Shaw Composite International Fund (Restricted Class) Side Pocket Series *

–65.00 %

319,711

111,899

TCS Capital International Limited Class S 1/1*

–65.00 %

TOTAL

188,748

66,061

1,316,781

460,873

On 1st March 2010 the Investment Manager of ABN AMRO Global Multi Stategy Fund decided to waive management fees. No management fees have been accrued after this date. 7. Performance fees The Performance Fee is calculated as follows: Performance Fee = S x R x [BNAV – L]

* assets attributable to the shareholders of the special shares

where,

ABN AMRO Relative Value Strategy Fund: Securities

Discount Undiscounted applied Market Value US$

S = number of Shares of a Class as of the relevant Valuation Day before subscriptions and redemptions on that Valuation Day

Discounted Market Value US$

Brencourt Multi Strategy International Limited Class S2

–75%

531,521

Investcorp Interlachen Multi Strategy Fund Class A D1

–100%

149,652

0

681,173

132,880

TOTAL

Management Fee (per annum) 1.25% 1.25% 1.25% 1.00% 1.50% 1.00% 1.50% 1.50% 1.00% 1.00% 0.50% 1.50% 1.50% N/A

*the Sub-Fund was liquidated on 30th November 2010. ** the Sub-Fund was merged in the Fund BNP Paribas L1 V350 on 23rd August 2010. *** the Sub-Fund was launched on 1st December 2010.

4. Estimates The preparation of financial statements in conformity with Luxembourg investment funds generally accepted accounting principles requires the Board of Directors to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Discount Undiscounted applied Market Value US$

Share Class A I N A I N A N A B I A I I

132,880

R = rate of Performance Fee as defined in the Supplement of each Sub-Fund in the Prospectus.

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ABN AMRO Global Multi Strategy Fund:

BNAV = Base NAV or the Net Asset Value per Share of the relevant Class of Shares calculated prior to the calculation of any Performance Fee

Investment Sold ACT II Offshore Limited Class A1 Restricted 0709 Clarium Capital Fund Ltd Class B Series 1 Initial DAFNA International Fund Limited Class CR Dec 09 Series PFM Diversified Offshore Fund Limited Class C1 Seneca Capital International Limited Class 3 Series A* Shannon River Partners Limited Class B1 SIO Partners Offshore Limited Class B Series 1

L = maximum of HWM or LNAV x (1+H) LNAV = the preceding Valuation Day Net Asset Value per Share of the relevant Class of Shares H = the Hurdle Rate, as defined below

TOTAL

HWM = the High Watermark per Share as defined below

Investment Sold Viathon Capital Offshore Fund Limited Class S TOTAL

The Performance Fee rates applied to the performance are as follows:

ABN AMRO ARAF V450** ABN AMRO Opportunity Driven Fund* ABN AMRO Cash Euro***

455,656

Total Receivable US$ 260,504

Including Audit Holdback US$ 0

260,504

0

9. Taxation The Fund is not liable to any Luxembourg tax on profits or income, nor are distributions paid by the Fund liable to any Luxembourg withholding tax. The Fund is, however, liable in Luxembourg to an annual subscription tax of in principle 0.05% per annum of its Net Asset Value, such tax being payable quarterly on the basis of the value of the aggregate net assets of the Sub-Funds at the end of the relevant calendar quarter. However such rate is decreased to 0.01% per annum of their Net Asset Value for I Share Class. Furthermore, if some Sub-Funds invest in other Luxembourg Target Funds which in turn are subject to the subscription tax, no subscription tax is due from the Fund on the portion of assets therein.

A Performance Fee will be earned on each Valuation Day in case of positive performance. The performance is the difference between the BNAV and L (as defined above).

ABN AMRO Active Alpha Fund*

475,816

ABN AMRO Relative Value Strategy Fund:

The High Watermark is the highest Net Asset Value per Share of the respective Class of Shares since inception. For distributing classes of shares, the High Watermark shall be corrected for distributions.


Including Audit Holdback US$ 197,152 30,070 41,714 10,685 0 72,712 103,323

* assets attributable to the shareholders of the special shares

The Hurdle Rate for each Class of Shares is determined in the Supplement of each Sub-Fund in the Prospectus and will equal one twelfth of the annual percentage as at the beginning of the relevant month for Sub-Funds with a monthly Net Asset Value and one 365th of the annual percentage as at the beginning of the relevant month for Sub-Funds with a daily Net Asset Value. The Hurdle Rate is applied to the LNAV of the relevant Class of Shares.

Sub-Fund ABN AMRO Global Multi Strategy Fund

Total Receivable US$ 197,152 30,070 41,714 10,685 20,160 72,712 103,323

Share Class

Management Fee (per annum)

A I N A Special Shares I Special Shares N Special Shares A I N A N A B I A I I

15% 10% 15% N/A N/A N/A 15% N/A 15% 15% 15% 20% 20% 20% 15% 10% N/A

No Luxembourg tax is payable on the realised capital appreciation of the assets of the Fund. Dividends, interest and capital gains received by the Fund on its investments may be subject to non-recoverable withholding or other taxes in the countries of origin. 10. Exchange rate used in this report The exchange rate used as of 31st December 2010 was as follows: US Dollar / Euro 1.3416 11. Changes in investment portfolio The schedule of changes in investment portfolio is available at the registered office of the Fund and can be obtained free of charge upon request.

*the Sub-Fund was liquidated on 30th November 2010. ** the Sub-Fund was merged in the Fund BNP Paribas L1 V350 on 23rd August 2010. *** the Sub-Fund was launched on 1st December 2010.

No Performance Fee has been charged to the Fund during the year 2010.

12. Liquidity fee Due to the specificities of the ABN AMRO Beleggingsrekeningen (ABR), Class N Shares have shorter subscription and redemption notices than other Classes of Shares. Furthermore, redemption proceeds will generally be paid earlier to Class N shareholders than to shareholders from other Classes and Class N shareholders will generally pay subscription amounts later than shareholders from other Classes. Sub-Funds can offer these increased liquidity features to Class N shareholders through the use of a credit facility. Class N Shares will bear the costs of this credit facility through a monthly liquidity fee based on the actual costs incurred. This

8. Receivables on sales of investments At 31st December 2010, the “Receivables on Sales of Investments” related to Target Funds were as detailed below. Certain sales of investments are subject to an audit holdback. An audit holdback is a portion of a trade that remains unpaid until the audit of the underlying asset is completed.

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liquidity fee will revert to the relevant Sub-Fund and will be calculated and accrued on each Valuation Day. 13. Subsequent events The Board of Directors in conjunction with the Investment Manager have made the following decisions: ABN AMRO Global Multi Strategy Fund The final redemption proceeds related to normal shares were paid to the shareholders with December 2010 Net Asset Value. The Board resolved to close the liquidation of the Sub-Fund and to redeem the remaining special shares with February 2011 Net Asset Value.

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ABN AMRO. Investments. Annual Report for the year ended 31st December R.C.S. Luxembourg B English

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