Final Results

HENDERSON ALTERNATIVE STRATEGIES TRUST PLC

ANNUAL FINANCIAL REPORT FOR THE YEAR ENDED 30 SEPTEMBER 2015

This announcement contains regulated information

INVESTMENT OBJECTIVE

The Company exploits global opportunities to provide long-term growth to shareholders via a diversified, international, multi-strategy portfolio which offers access also to specialist funds including hedge and private equity. The Company aims to outperform the FTSE World Total Return Index.

1 Net Asset Value total return (including dividends reinvested)

2 Share Price total return using mid-market prices

3 Calculated using year-end audited NAVs including current year revenue

4 2015 dividend subject to approval at the AGM to be held on 27 January 2016

Sources: Morningstar Funddata, Henderson, Datastream

CHAIRMAN'S STATEMENT

Company Prospects

With two years of major change and restructuring behind us, your Board continues to pursue the improvement in performance that we anticipated at the beginning of the year. Adverse events and market movements have conspired to continue to frustrate our expectations and those of our investors. The beneficial effects of the change of manager two years ago and the consequent, essential portfolio restructuring (which reduced, in a timely manner, exposure to emerging markets and commodity-related investments) have only shown through in the second half of the year under review. This second half performance has at least demonstrated that our underlying investment portfolio has less volatility than developed markets.

Your Board has every confidence in its experienced and dedicated management team at Henderson and remains firmly of the view that improved performance will be delivered in the longer term from the chosen investment strategy and the portfolio of select funds and alternative investments. Ian Barrass and James de Bunsen have undertaken the management of our investment portfolio in a very deliberate and measured manner in order to protect value for shareholders and to put in place sound building blocks for the future.

The Company has a clear and differentiated investment strategy and in the past year has increased exposure to developed equity markets whilst emerging markets offered unsatisfactory returns. However, we will continue to explore ways whereby we can increase significantly our chances of exceeding our global market benchmark in the future and to expose shareholders to the long-term benefits of investments in alternative and specialist areas such as specialist credit, hedge funds and private equity. Such areas by their very nature may have to be viewed as a source of longer-term return which will not be reflected in shorter-term measures of performance. In recognising this, your Board, together with its management team, remain committed to achieving, on behalf of shareholders, long-term returns superior to those of the Company's benchmark, the FTSE World Total Return Index.

In December 2014 the Company passed its triennial continuation vote by a significant margin. On behalf of the Board, I would again like to thank shareholders for their continued support as the Company strives to deliver the long-term returns their patience deserves.

Performance

During the year the Company delivered a NAV total return of -5.0% compared with a 0.8% rise in its FTSE World Total Return Index global equity benchmark. However, it is very encouraging to see that in the second half of our financial year, the Company's NAV total return outperformed this benchmark by 6.1%. Our overall portfolio performance is reviewed in the Fund Managers' Report.

With Henderson's restructuring of the Company's investment portfolio largely complete, the Board expects the Company's performance to improve steadily to acceptable and sustainable levels of long-term NAV growth.

This, in turn, should help to render the Company more attractive to existing and new investors and to increase market demand for its shares, despite this year's very unsatisfactory share price total return of-10.8%. However, your Board considers that such a return fails to reflect the hidden value in the underlying newly invested portfolio, the returns from which can only be viewed over the longer term.

Discount

The Company's share price discount to NAV per share widened from 14.1% to 19.8%. The Board believes that improved portfolio performance is the key to a material and sustained re-rating of the Company's shares and narrowing of the discount. The Board's response to the Company's high discount has been to give shareholders the opportunity to participate in two tender offers, each for up to 10% of the Company's outstanding shares. The first of these tender offers was fully subscribed and completed last January, and returned a total of £12.8 million to tendering shareholders at a discount of 2% to NAV less costs. The second tender offer will be made available to shareholders if the Company's discount averages more than 10% during the twelve months to 30 September 2016. If the second tender offer is triggered, it will be priced at a discount of 5% to NAV less costs. The Board believes that the two tender offers strike the right balance between responding to shareholder concerns regarding the Company's persistently high discount, maintaining thereby sufficient scale for the Company and leaving Henderson with adequate resources to manage the Company's portfolio over the longer-term.

Change of Name

In June shareholders voted overwhelmingly in favour of the Company's proposal to change its name from Henderson Value Trust plc to Henderson Alternative Strategies Trust plc. The Board believes that the new name reflects more accurately Henderson's objective of creating a high-quality portfolio of 30 to 40 alternative asset and specialist funds capable of delivering long-term returns above those of the Company's FTSE World Total Return Index global equity benchmark.

Change of Broker

In March the Company announced that it had changed brokers from Panmure Gordon & Co. to Stifel Nicolaus Europe Limited (previously Oriel Securities). The Board would like to record its thanks to Panmure Gordon & Co. for its very valuable efforts.

Dividend

During 2013 the Board announced that, given Henderson's intention to increase the level of income produced by the Company's investment portfolio, it planned to pursue a more progressive dividend policy. Accordingly, the dividend for the year to 30 September 2014 was doubled to 3.0p per share. Following this large initial uplift, future increases are likely to be more modest. The Board is therefore proposing a 10% increase in the dividend for the year to 30 September 2015 to 3.3p per share.

Annual General Meeting

The Annual General Meeting will be held at the offices of Henderson Global Investors, 201 Bishopsgate, London EC2M 3AE on Wednesday 27 January 2016 at 11.30am. I would encourage as many shareholders as possible to attend as an opportunity to meet the Board and to watch a presentation from our Fund Managers. For the first time, the Company's AGM will be broadcast live on the internet. If you are unable to attend in person, you can watch the meeting as it happens by visiting www.henderson.com/trustslive

Key Priority - Improved Performance

The Board is under no illusion that improved performance continues to be the Company's top priority as it enters its new financial year. The Company remains committed to the profitable realisation of the potential within its portfolio. At the same time, the Board, its managers and its brokers will involve themselves in further, vigorous marketing efforts to attract new shareholders. The success of these efforts will, to a large extent, be determined by the Company's investment performance.

I have now been Chairman for just over one year and I am very pleased that we now have a fresh and newly invigorated team of directors, managers and advisers in place. I now very much look forward to engaging with as many of our shareholders as is possible at our AGM and, subsequently, to hear the views on our progress to date.

Finally, I would like to thank my fellow Board colleagues, the Company's fund managers and professional advisers for their commitment since I became Chairman. We have an excellent team dedicated to delivering satisfactory long-term returns for the Company's shareholders and I look forward to reporting on further progress towards that goal over the course of the new financial year.

Richard Gubbins

Chairman

FUND MANAGERS' REPORT

Market Overview

The year-ended 30 September 2015 was an eventful 12 months for world equity markets. The first half of the period to 31 March 2015 saw developed markets continue to perform well, driving the Company's FTSE World Total Return Index global equity benchmark up by 12.4%. The second half was very different. Another Greek crisis, more evidence of China's economic slowdown, a devaluation of the Chinese Renminbi and speculation regarding the timing and quantum of US interest rate rises all contributed, amongst other things, to a high level of market uncertainty and volatility. There were few places to hide, with developed and emerging equity markets both suffering over concerns regarding global growth. Accordingly, the Company's benchmark fell by 10.3% over the six months to 30 September 2015.

Portfolio Development

Since taking over the management of the Company's investment portfolio in April 2013 our aim has been to create a high-quality portfolio of 30 to 40 alternative asset and specialist funds capable of delivering long-term returns consistently above those of the Company's global equity benchmark. Importantly, in order to maintain the Company's position as a genuinely differentiated investment proposition, we are looking to deliver these returns by investing mainly in funds which are either niche, complex or hard-to-access and which our shareholders are generally unlikely to own directly. In addition, we prefer investments which exhibit limited correlation to global equity markets.

Restructuring the Company's investment portfolio along these lines has taken time, but by the 30 September 2015 year-end the core tranche of up to 30 longer-term investments was in place. During the new financial year we also expect to increase the number of shorter-term tactical investments, up to a maximum of ten, in order to take advantage of what are likely to be increasingly volatile markets. These tactical investments will be funded partly through cash generated from the remaining tail of inherited illiquid holdings which, at the time of writing, represents approximately 17% of the total portfolio.

Portfolio Performance

The Company's NAV total return was -5.0% during the year compared with a 0.8% increase in its FTSE World Total Return Index benchmark. The low correlation of the Company's portfolio to world equity markets was highlighted by its relative performance against benchmark over the year. For example, underperformance of 12.8% in the first half in a rising market environment was followed by second half outperformance of 6.1% as markets declined.

With our portfolio restructuring largely complete, we believe that the Company is now well-positioned to start delivering the NAV growth required to provide shareholders with satisfactory long-term returns.

The Company's share price total return was -10.8%, with the discount to NAV per share widening from 14.1% to 19.8%. It is our view that positive share price and discount performance is inextricably linked to the delivery of improved NAV returns, the latter clearly being our top priority.

Portfolio Activity

Our portfolio activity during the year was focused around two main objectives.

First, at a macro level, we sought to increase significantly the Company's exposure to developed market assets and, where necessary, reduce emerging market and commodity weightings. This reflected the generally stable or improving economic outlook for the US, Europe and Japan compared with many emerging markets and also our belief that developed markets currently offer the Company a much deeper and higher-quality universe of investable funds.

Secondly, we looked to further develop a number of our existing sector-specific investment themes, most notably with regard to the opportunities available in certain parts of both the private equity and floating rate loan markets. Also, we added to our long/short hedge fund sleeve in order to seek consistent absolute returns through direct exposure to listed equities.

Purchases

Some of the key investments we made during the year are described below. In each case we believe the relevant fund managers and their underlying assets or investment strategies are high-quality.

Our new private equity investments accessed a range of investment strategies across the sector. For example, we opened a £3.8 million position in Riverstone Energy Limited, a UK-listed private equity fund mainly targeting the US shale oil and gas sector. The experienced managers of this fund have successfully accelerated their deployment of capital since last year's oil price fall. We subsequently added to our holding. We made a £6.5 million commitment to Mantra Secondary Opportunities, an unlisted vehicle which is pursuing a niche strategy investing globally in mature private equity partnerships at attractive valuations. We also invested £2.3 million in Apax Global Alpha Limited, a UK-listed private equity fund managed by Apax Partners, a leading global private equity investor. This vehicle provides access to Apax Partners' unlisted funds and also uniquely to other investments in public and private debt and listed equities which are derived from Apax Partners' core private equity activities. Finally we invested £4.0 million in Princess Private Equity Holding Limited, a UK-listed private equity vehicle managed by Partners Group, another leading private equity manager. The vehicle makes direct debt and equity investments across the large, mid- and small-cap buy-out markets, mainly in the US and Europe.

We increased our exposure to the floating-rate bank loan markets through a new £4.0 million investment in Toro Limited. This is a UK-listed fund which invests in European collateralised loan obligations and other structured credit instruments and is managed by Chenavari Capital Partners, a highly-regarded credit fund manager. We also added to our existing position in Blackstone/GSO Loan Financing Limited, a UK-listed vehicle with an experienced and market-leading manager focused on the European and US secured loan markets.

Towards the end of the year we added another investment to the Company's hedge fund sleeve through a £4.1 million purchase of CT Invest Fund, an unlisted long/short European equity fund with a focus on pan-European large and mid-cap cyclical/industrial stocks. We also added to our very successful existing holding in BlackRock European Hedge Fund Limited before it was closed to further investment.

Disposals and Redemptions

Since becoming the Company's investment manager in April 2013 we have reduced the Company's large exposures to the emerging market and commodity sectors. We accelerated this process during the year in order to protect the Company's NAV as the outlook for both sectors deteriorated further.

For example, in emerging markets we redeemed the Company's holdings in IP Value Brazil, a fund which invests in small and mid-cap Brazilian equities. We also reduced the Company's position in Value Partners China Greenchip Fund Limited (Hong Kong listed equities) and towards the end of the year issued a redemption notice for the Company's investment in Firebird New Russia Fund Limited (Russian and other Eastern European listed equities). With regard to commodities, we disposed of the Company's holding in BlackRock World Mining Trust plc during January and February. In addition, City Natural Resources High Yield Trust plc was sold between January and June, as opportunities arose.

Other significant activity included the redemption of the Company's holding in SW Mitchell Small Cap European Fund, a long/short hedge fund, which we replaced with CT Invest Fund (see Purchases). We also demonstrated our willingness to take some profits on partial disposals of core holdings such as Oryx International Growth Fund Limited and Real Estate Credit Investments PCC Limited as liquidity in these tightly-held stocks became available.

Contribution Analysis

The following tables show the top and bottom five contributors to the gross total return of the Company's investment portfolio (including cash and cash equivalents) during the financial year.

Source: Henderson

BlackRock European Hedge Fund Limited, a long/short European equities hedge fund with an outstanding track record, delivered more strong performance over the year. Oryx International Growth Fund Limited also continued to thrive with its own successful brand of active investment management in the UK and US small company sectors. The prospects for CEIBA Investments Limited, an unlisted fund invested in Cuban property, improved against a background of a thaw in US/Cuban relations. It is pleasing to see Ediston Property Investment Company plc emerge as a strong contributor. At the start of the Company's financial year we invested £4.0 million in the UK Initial Public Offering of this small fund which is focused on regional UK commercial property where attractive returns are still available. We were particularly impressed during our due diligence process by the quality and experience of the management team and the growth potential of the initial property portfolio. At the other end of the spectrum in terms of fund maturity, Century Capital Partners IV, L.P. is an unlisted private equity fund focused on the North American insurance sector. Rather than sell this mature fund into the secondary market at a discount to NAV, we chose to retain the investment and wait for the underlying portfolio companies to be realised. Only two investments now remain and, based on the fund's exit record to date, it is reasonable to expect these to be sold at attractive valuations over the coming months.

Source: Henderson

Two of the bottom five contributors were the Company's holdings in the two share classes of Baring Vostok Investments Limited. This USD-denominated vehicle is listed in the Channel Islands and holds Russian private equity investments which are managed by Baring Vostok, arguably the leading private equity manager operating in Russia. Although the Russian economy has clearly been facing major headwinds, the underlying portfolio companies in Baring Vostok's portfolio have generally held-up well. The weakness of the Russian Rouble has, however, severely impacted the USD value of the Company's holdings, although we see attractive potential upside at current price levels taking a medium-term view. The Company's investment in NB Distressed Debt Investment Fund Limited - Global Shares was impacted by a sell-off in the US distressed debt sector towards the end of last year. We still, however, consider the medium-term prospects for this fund's portfolio of distressed debt as fundamentally unchanged and positive. Ecofin Water and Power Opportunities plc was impacted by negative sentiment towards the energy and utility sectors. BlackRock World Mining Trust plc continued to suffer from the decline in mining and commodity markets and the Company's holding was sold during January and February.

Marketing

Marketing continues to be a priority as we seek to generate more interest in the Company's shares working closely with both the Company's new brokers, Stifel Nicolaus Europe Limited, and Henderson's own investment trust marketing team.

Our marketing efforts have again taken several forms during the year. A significant number of meetings and calls have been held with existing, previous and potential shareholders. We have also obtained a good level of national and trade media coverage and have communicated regularly with the market through the Company's Henderson sponsored website.

Outlook

At the time of writing world equity markets continue to be plagued by uncertainty, above all, regarding global growth and the timing and quantum of interest rate rises.

Our job is to construct a portfolio of alternative and specialist asset funds which, over the longer-term, can consistently outperform our mainly developed world equity market benchmark. Building such a portfolio is, to some extent, a "bottom-up" exercise as we seek to identify particular sectors, managers and assets which can deliver the necessary returns. We do, however, bring macro-economic issues into our investment process and portfolio monitoring as we navigate through the Company's investable universe of alternative and specialist asset funds. For example, we have over the last year continued to shift the geographic exposure of the Company's core portfolio towards developed markets where we currently see the best opportunities to implement our investment strategy.

Finally, we would stress again that we will not compromise on the quality, entry price and return target requirements of all our investments. We believe the quality and return potential of the Company's investments has increased significantly over the last year as we have progressed the restructuring of the Company's core longer-term portfolio. This, combined with the shorter-term tactical opportunities which we expect to emerge during the current financial year, make us confident that the Company's outlook is increasingly positive.

Ian Barrass and James de Bunsen

Fund Managers

INVESTMENT PORTFOLIO

PRINCIPAL RISKS AND UNCERTAINTIES

The Board, with the assistance of Henderson, has carried out a robust assessment of the principal risks facing the Company. The Board has drawn up a matrix of risks and has put in place a schedule of investment limits and restrictions, appropriate to the Company's investment objective and policy, in order to mitigate these risks as far as practicable. The principal risks facing the Company are market related and include market price, foreign exchange, interest rate, liquidity and credit risk. An explanation of these risks and how they are mitigated is detailed in Note 15 to the Financial Statements in the Company's Annual Report.

Some of the Company's investments are in funds, some of which are unquoted, exposed to less developed markets and may be seen as carrying a higher degree of risk. The Board believe that these risks are mitigated through portfolio diversification, in-depth analysis, the experience of Henderson and a rigorous internal control culture. The use of CFDs involves counterparty risk exposure.

Additional risks faced by the Company are summarised below:

VIABILITY STATEMENT

The Directors have assessed the viability of the Company over a three year period, taking account of the Company's current position and the potential impact of the principal risks and uncertainties as documented in the Strategic Report. The assessment has considered the impact of the likelihood of the principal risks and uncertainties facing the Company, in particular the Investment Strategy risk, in severe but plausible scenarios, and the effectiveness of any mitigating controls in place.

The Directors took into account the nature of the investment portfolio, including its liquidity and redemption restrictions that exist on certain investments, and the income stream that the current portfolio generates in considering the viability of the Company over the next three years and its ability to meet liabilities as they fall due.

The Directors conducted this review for a period of three years because they consider this to be an appropriate period over which they do not expect there to be any significant change in the current principal risks and adequacy of the mitigating controls in place. Also the Directors do not envisage any change in strategy or objectives or any events that would prevent the Company from continuing to operate over that period as the Company's assets are sufficiently liquid, its commitments are limited and the Company intends to continue to operate as an investment trust. A substantial financial crisis affecting the global economy could have an impact on this assessment.

The Directors recognise that there is a continuation vote that is due to take place at the AGM following the 30 September 2017 year end. The Directors currently support the continuation of the Company and expect that the Company will continue to exist for the foreseeable future, at least for the period of assessment. However, if such a vote were not passed, the Directors would follow the provisions in the Articles of Association relating to the winding up of the Company and the realisation of its assets.

Based on this assessment, the Directors have a reasonable expectation that the Company will be able to continue in operation and meet its liabilities as they fall due over the next three year period.

STATEMENT OF DIRECTORS' RESPONSIBILITIES (UNDER DTR 4.1.12)

Each of the Directors confirms that, to the best of their knowledge:

· the financial statements, which have been prepared in accordance with United Kingdom Generally Accepted Accounting Practice (United Kingdom Accounting Standards and applicable law), give a true and fair view of the assets, liabilities, financial position and profit of the Company; and

· the Annual Report includes a fair review of the development and performance of the business and the position of the Company, together with a description of the principal risks and uncertainties that it faces.

The Directors consider that the Annual Report, taken as a whole, is fair, balanced and understandable and provides the information necessary for shareholders to assess the Company's position and performance, business model and strategy.

For and on behalf of the Board

Graham Oldroyd

Director

INCOME STATEMENT

The total column of this statement represents the profit and loss account of the Company. The Company had no recognised gains or losses other than those recognised in the Income Statement. No operations were acquired or discontinued in the year. All revenue and capital items in the above statement derive from continuing operations.

RECONCILIATION OF MOVEMENTS IN SHAREHOLDERS' FUNDS

BALANCE SHEET

CASH FLOW STATEMENT

Net funds at the end of the year comprised cash held at bank of £220,000 (2014: £129,000), cash held at UBS related to CFD transactions of £2,692,000 (2014: £2,641,000) and balances held at money market funds of £6,995,000 (2014: £16,250,000).

NOTES TO THE FINANCIAL STATEMENTS

Neither the contents of the Company's website nor the contents of any website accessible from hyperlinks on the Company's website (or any other website) is incorporated into, or forms part of, this announcement.

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