October 26, 2021 - Annual Financial Report

ALTERNATIVE LIQUIDITY FUND LIMITED

ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

FOR THE YEAR ENDED 30 JUNE 2021

ALTERNATIVE LIQUIDITY FUND LIMITED

CONTENTS

Highlights	1
Company Summary	2-3
Chairman's Statement	4-5
Investment Adviser's Report	6-7
Board of Directors	8
Disclosure of Directorships in Public Companies Listed on Recognised Stock Exchanges	9
Directors' Report	10-14
Corporate Governance	15-19
Statement of Directors' Responsibilities	20
Directors' Remuneration Report	21
Report of the Audit and Risk Committee	22-24
Report of the Management Engagement Committee	25
Independent Auditor's Report	26-29
Financial Statements
Statement of Comprehensive Income	30
Statement of Financial Position	31
Statement of Changes in Equity	32
Statement of Cash Flows	33
Notes to the Financial Statements	34-58
Schedule of Investments	59-61
Officers and Advisers	62

ALTERNATIVE LIQUIDITY FUND LIMITED

Highlights

For the year ended 30 June 2021

• US$2.9 million (30 June 2020: US$2.2 million) was distributed to B Shareholders

Financial highlights at 30 June 2021

	30 June 2021	30 June 2020
Total net asset value ("NAV")	US$26.1 million	US$25.5 million
NAV per Ordinary Share	17.83¢	17.36¢
Share price	7.00¢	7.20¢
Discount to NAV	60.7%	58.5%

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

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ALTERNATIVE LIQUIDITY FUND LIMITED

COMPANY SUMMARY

Principal activity

Alternative Liquidity Fund Limited (the "Company" or "ALF") was incorporated and registered in Guernsey under The Companies (Guernsey) Law, 2008 on 25 June 2015. The Company's registration number is 60552 and it is regulated by the Guernsey Financial Services Commission ("GFSC") as a non-cellular company limited by shares. The Company is listed and began trading on the Main Market of the London Stock Exchange and was admitted to the premium segment of the Official List of the UK Listing Authority on 17 September 2015. On 26 January 2021, the Company successfully effected the transfer of the listing of its ordinary shares from the premium segment of the Main Market to the Specialist Fund Segment ("SFS") of the London Stock Exchange.

Since 25 February 2019, when the Company's current investment policy was adopted, the Company has pursued a realisation strategy in relation to the Existing Portfolio. The Company is currently invested in a diversified portfolio of illiquid interests in funds, securities and other instruments with the objective to manage, monitor and realise these investments over time.

Investment policy

The Company's investment policy is to invest in a diversified portfolio of illiquid investments, funds and funds of funds such as hedge funds, private equity funds, real estate funds, infrastructure funds, private investment funds, and other alternative investment vehicles sponsored or managed by investment managers across the world..

The Company may utilise derivatives for the purposes of efficient portfolio management and principally for currency hedging. The portfolio will not be constructed to have any particular geographical bias. Accordingly, the Company has the ability to source and buy assets across the world and denominated in any currency. It is expected that the Company will largely be exposed to US Dollars, which is the Company's reporting currency.

Historically, the Company agreed with Signet Multi-Manager SPC Inc ("SMMI") to acquire an initial portfolio of assets for an aggregate consideration of US$144 million, conditional upon Admission. The consideration for the Initial Portfolio took the form of ordinary shares which were distributed in specie to the existing investors of SMMI. Following completion of the acquisition of the Initial Portfolio, the Company held approximately 60 investments with an aggregate valuation of US$138.7 million.

In January 2016, the Company agreed with Trusthouse Holding NV to acquire a portfolio of assets, owned by two funds of which they were the liquidator, for an aggregate consideration of US$2.2 million, comprising US$0.4 million in cash and US$1.8 million in shares in the Company.

In September 2016, the Company issued 587,752 Ordinary Shares to shareholders of The Green Fund as of 30 June 2016. This issue was in exchange for a small number of positions, in accordance with the Company's investment policy, held by The Green Fund for a total consideration of US$0.5 million.

In January 2017, the Company completed the purchase of a small liquidating hedge fund portfolio from a liquidator in Luxembourg. The Company paid US$1 million for the portfolio.

In November 2019, the Company completed the purchase of a portfolio of assets, owned by MVP Fund Range PCC Limited which was in liquidation, for a consideration of US$100,000.

On 30 June 2020, the Company was fully invested subject to a cash and cash equivalents amount retained for working capital requirements. It is the intention that the Company will aim to be fully invested at all times, although the Company may hold cash or cash equivalent investments from time to time. The Company expects to be very prudent in its use of borrowings due to the illiquid nature of the portfolio; however, the Company has the ability to borrow up to 25 per cent of its net assets for short-term purposes. It is not intended for the Company to have any long-term or fixed structural gearing. The Company may be indirectly exposed to gearing to the extent that the Company's investee funds, or segregated portfolios, are geared by the external managers

The Board reviewed potential growth strategies and the scope for the Company to offer new share classes. The Company published a placing programme prospectus in October 2019 with a view to issuing an additional share class to make investments in line with the Company's current investment policy. For a variety of factors, including the onset of COVID-19, no new capital was raised under that placing programme.

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

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ALTERNATIVE LIQUIDITY FUND LIMITED

COMPANY SUMMARY, continued

Investment policy, continued

Following the transfer to the SFS, the Investment Management Agreement between the Company and Warana Capital LLC was terminated by mutual agreement with effect from 31 December 2020. Hindsight Solutions Ltd, a company owned and operated by Tim Gardner, was engaged to provide investment advisory services in relation to the Company. The Adviser is an appointed representative of Rampart Capital LLP, which is authorised and regulated by the Financial Conduct Authority. Tim has been providing day-to-day operational oversight and support to the Investment Manager in relation to the Company and its portfolio since the Company's launch in 2015.

The Future

As discussed in further detail in the Chairman's statement below, the Board continues to believe that it is in the best interests of Shareholders to raise additional capital through the launch of a new segregated class of ordinary shares. Shareholder approval was obtained at the EGM held on 6 September 2021 to redesignate the existing Ordinary Shares as Realisation Shares (the "Realisation Portfolio") and to issue a new class of segregated Ordinary Shares (the "Ordinary Portfolio"), to appoint Waverton Investment Management Limited as investment manager of the new Ordinary Portfolio and to adopt a new investment objective and policy of the Ordinary Portfolio, and to change the Company name to "The Endowment Fund Limited", all subject to a successful capital raise and admittance of the new Ordinary Shares to the SFS. Hindsight will remain as Investment Adviser to the Company in respect of the Realisation Portfolio.

The investment objective of the Ordinary Portfolio will be to generate capital growth and income over the long term through investment in a globally diversified multi asset class portfolio across a range of quoted and unquoted asset classes.

ALTERNATIVE LIQUIDITY FUND LIMITED ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

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