<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21630
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NT Alpha Strategies Fund
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(Exact name of registrant as specified in charter)
50 South LaSalle Street
Chicago, IL 60675
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(Address of principal executive offices) (Zip code)
Joseph W. McInerney, President
NT Alpha Strategies Fund
50 South LaSalle Street
Chicago, IL 60675
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(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 630-6000
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Date of fiscal year end: March 31
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Date of reporting period: September 30, 2004
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
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NT ALPHA STRATEGIES FUND
SEMIANNUAL REPORT
DATED SEPTEMBER 30, 2004
[NORTHERN TRUST LOGO]
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NT ALPHA STRATEGIES FUND
TABLE OF CONTENTS
<Table>
2 STATEMENT OF ASSETS AND LIABILITIES
3 SCHEDULE OF INVESTMENTS
5 STATEMENT OF OPERATIONS
6 STATEMENT OF CHANGES IN NET ASSETS
7 STATEMENT OF CASH FLOWS
8 FINANCIAL HIGHLIGHTS
9 NOTES TO THE FINANCIAL STATEMENTS
12 FOR MORE INFORMATION
</Table>
NOT FDIC INSURED
- --------------------------------
May lose value/No bank guarantee
SEMIANNUAL REPORT 1 NT ALPHA STRATEGIES FUND
<Page>
NT ALPHA STRATEGIES FUND
STATEMENT OF ASSETS AND LIABILITIES SEPTEMBER 30, 2004 (UNAUDITED)
<Table>
<Caption>
NT ALPHA
ROUNDED TO THOUSANDS, STRATEGIES
EXCEPT PER UNIT DATA FUND
- --------------------------------------------------------------------------------------
ASSETS:
Investments in Sub-Funds, at fair value (Cost $43,655,000) $ 43,913,000
Cash and cash equivalents 6,414,000
Deposit on pending investments in Sub-Funds 3,900,000
Receivable from investment manager 27,000
Receivable from administrator 11,000
Organization costs (net of amortization of $50,000) 300,000
Prepaid and other assets 188,000
Total Assets 54,753,000
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LIABILITIES:
Capital contributions received in advance 1,250,000
Payable to affiliates:
Investment management fees 22,000
Administration fees 20,000
Custody and accounting fees 3,000
Transfer agent fees 1,000
Payable for organization costs 350,000
Accrued trustee fees and other liabilities 74,000
Total Liabilities 1,720,000
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Partners' Capital $ 53,033,000
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PARTNERS' CAPITAL
REPRESENTED BY:
Net capital contributions $ 52,880,000
Accumulated net investment loss (105,000)
Net unrealized appreciation on investments 258,000
Partners' Capital $ 53,033,000
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UNITS OUTSTANDING (UNLIMITED AUTHORIZATION) 5,288,000
PARTNERS' CAPITAL VALUE, PER UNIT $ 10.03
</Table>
SEE NOTES TO THE FINANCIAL STATEMENTS.
NT ALPHA STRATEGIES FUND 2 SEMIANNUAL REPORT
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NT ALPHA STRATEGIES FUND
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
NT ALPHA STRATEGIES FUND
<Table>
<Caption>
FAIR
VALUE
(ROUNDED TO
THOUSANDS)
SUB-FUNDS - 82.8%
CONVERTIBLE BOND ARBITRAGE - 8.0%
(COST $4,219,000)
Quattro Domestic Fund, L.P. $ 2,227,000
Radcliffe Domestic Investors, L.P. 2,013,000
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4,240,000
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DISTRESSED SECURITIES - 2.5%
(COST $1,313,000)
Harbert Distressed Investment Fund, L.P. 1,326,000
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EQUITY MARKET NEUTRAL - 4.2%
(COST $2,250,000)
O'Connor Global Fundamental Long/Short, LLC, Class A9 2,252,000
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FIXED INCOME ARBITRAGE - 2.4%
(COST $1,250,000)
Nephila Catastrophe Fund, L.P. 1,271,000
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GLOBAL MACRO - 5.3%
(COST $2,812,000)
OLEA Global Partners, L.P. 1,737,000
Lily Pond Investors, L.P. 1,060,000
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2,797,000
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NON-US EQUITY HEDGE - 6.6%
(COST $3,504,000)
The Pegasus Fund Ltd., Class A (USD Shares) 1,512,000
Zebedee European Fund, L.P. 1,981,000
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3,493,000
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RELATIVE VALUE ARBITRAGE - 16.7%
(COST $8,823,000)
Everest Capital Reserve, L.P. 1,540,000
Forest Multi-Strategy Fund LLC 2,007,000
Hamilton Multi Strategy Fund, L.P. 1,526,000
Blackthorn Partners, L.P. 2,000,000
TCM Spectrum Fund (QP), L.P. 1,765,000
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8,838,000
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SECTOR HEDGE - 4.8%
(COST $2,500,000)
Brightfield Partners II, L.P. 1,274,000
CCL Fund, LLC, Series A 1,253,000
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2,527,000
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SHORT BIAS - 2.8%
(COST $1,500,000)
Perennial Investors (QP), L.P. 1,505,000
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SPECIAL SITUATIONS - 6.2%
(COST $3,250,000)
The October Fund, L.P. $ 2,008,000
York Distressed Opportunities Fund, L.P. 1,270,000
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3,278,000
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STATISTICAL ARBITRAGE - 2.9%
(COST $1,548,000)
AQR Global Stock Selection Institutional Fund, L.P. 1,570,000
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US EQUITY HEDGE - 20.4%
(COST $10,686,000)
Alydar QP Fund, L.P. 2,030,000
CCM Small Cap Value Qualified Fund, L.P.,
New Issue Eligible 950,000
Heirloom Qualified Partners, L.P. 2,280,000
Hygrove Capital Fund (QP), L.P. 2,043,000
Stadia Capital Partners (QP), L.P. 1,093,000
Stonebrook Institutional Partners, L.P. 2,420,000
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10,816,000
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TOTAL SUB-FUNDS
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(COST $43,655,000) 43,913,000
<Caption>
PRINCIPAL
AMOUNT VALUE
CASH EQUIVALENT - 11.3%
HSBC Bank PLC, London,
Eurodollar Time Deposit,
1.91%, 10/1/04 $ 6,000,000 $ 6,000,000
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TOTAL CASH EQUIVALENT
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(COST $6,000,000) 6,000,000
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TOTAL INVESTMENTS - 94.1%
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(COST $49,655,000) 49,913,000
Other Assets less Liabilities - 5.9% 3,120,000
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PARTNERS' CAPITAL - 100.0% $ 53,033,000
</Table>
SUB-FUND INVESTMENTS ARE NON-INCOME PRODUCING.
SEE NOTES TO THE FINANCIAL STATEMENTS.
SEMIANNUAL REPORT 3 NT ALPHA STRATEGIES FUND
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NT ALPHA STRATEGIES FUND
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
NT ALPHA STRATEGIES FUND (CONTINUED)
At September 30, 2004, the NT Alpha Strategies Fund's investments were
diversified as follows:
<Table>
<Caption>
SECTOR WEIGHTINGS PERCENTAGE
Converible Bond Arbitrage 8.0%
Distressed Securities 2.5
Equity Market Neutral 4.2
Fixed Income Arbitrage 2.4
Global Macro 5.3
Non-US Equity Hedge 6.6
Relative Value Arbitrage 16.7
Sector Hedge 4.8
Short Bias 2.8
Special Situations 6.2
Statistical Arbitrage 2.9
US Equity Hedge 20.4
Cash and Cash Equivalent 17.2
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Total 100.0%
</Table>
SEE NOTES TO THE FINANCIAL STATEMENTS.
NT ALPHA STRATEGIES FUND 4 SEMIANNUAL REPORT
<Page>
NT ALPHA STRATEGIES FUND
STATEMENT OF OPERATIONS PERIOD ENDED SEPTEMBER 30, 2004 (UNAUDITED)
<Table>
<Caption>
NT ALPHA
STRATEGIES
ROUNDED TO THOUSANDS FUND (1)
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INVESTMENT INCOME:
Interest income on cash equivalents $ 1,000
EXPENSES:
Investment management fees 44,000
Administration fees 20,000
Custody and accounting fees 3,000
Transfer agent fees 1,000
Insurance 13,000
Organization costs 50,000
Printing 7,000
Professional fees 16,000
Trustee fees and expenses 9,000
Other 3,000
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Total Expenses: 166,000
Less voluntary waivers of
investment management fees (22,000)
Less expenses reimbursed by:
investment manager (27,000)
administrator (11,000)
Net Expenses 106,000
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NET INVESTMENT LOSS (105,000)
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UNREALIZED GAIN ON INVESTMENTS
Net change in unrealized appreciation
on investments 258,000
Net Gains on Investments 258,000
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NET INCREASE IN PARTNERS' CAPITAL RESULTING FROM OPERATIONS $ 153,000
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</Table>
(1) COMMENCED INVESTMENT OPERATIONS ON SEPTEMBER 1, 2004.
SEE NOTES TO THE FINANCIAL STATEMENTS.
SEMIANNUAL REPORT 5 NT ALPHA STRATEGIES FUND
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NT ALPHA STRATEGIES FUND
STATEMENT OF CHANGES IN NET ASSETS PERIOD ENDED
SEPTEMBER 30, 2004 (UNAUDITED)
<Table>
<Caption>
NT ALPHA
STRATEGIES
ROUNDED TO THOUSANDS FUND (1)
- --------------------------------------------------------------------------------------
OPERATIONS:
Net investment loss $ (105,000)
Net change in unrealized appreciation on investments 258,000
Net Increase in Partners' Capital Resulting from
Operations 153,000
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UNIT TRANSACTIONS:
Capital Contributions (5,288,000 Units) 52,880,000
Net Increase in Partners' Capital Resulting from
Capital Transactions 52,880,000
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TOTAL INCREASE IN PARTNERS' CAPITAL 53,033,000
PARTNERS' CAPITAL:
Beginning of period -
End of period $ 53,033,000
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ACCUMULATED NET INVESTMENT LOSS $ (105,000)
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</Table>
(1) COMMENCED INVESTMENT OPERATIONS ON SEPTEMBER 1, 2004.
SEE NOTES TO THE FINANCIAL STATEMENTS.
NT ALPHA STRATEGIES FUND 6 SEMIANNUAL REPORT
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NT ALPHA STRATEGIES FUND
STATEMENT OF CASH FLOWS PERIOD ENDED SEPTEMBER 30, 2004 (UNAUDITED)
<Table>
<Caption>
NT ALPHA
STRATEGIES
ROUNDED TO THOUSANDS FUND (1)
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CASH FLOWS FROM OPERATING ACTIVITIES
Net increase in partners' capital from operations $ 153,000
Adjustments to reconcile net increase in partners' capital
from operations to net cash provided by (used in) operating
activities:
Purchase of Sub-Funds (43,655,000)
Net purchases of cash equivalents (6,000,000)
Net change in unrealized appreciation on Sub-Funds (258,000)
Changes in operating assets and liabilities:
Deposit on pending investments in Sub-Funds (3,900,000)
Recievable from investment manager (27,000)
Receivable from administrator (11,000)
Organization costs (300,000)
Prepaid and other assets (188,000)
Investment management fees payable 22,000
Administration fees payable 20,000
Custody and accounting fees payable 3,000
Transfer agent fees payable 1,000
Payable for organization costs 350,000
Payable for trustees and other liabilities 74,000
Net cash flow used in operating activities (53,716,000)
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CASH FLOWS FROM FINANCING ACTIVITIES
Partners' capital contributions 52,880,000
Capital contributions received in advance 1,250,000
Net cash flow provided by financing activities 54,130,000
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NET INCREASE IN CASH 414,000
Cash - Beginning of Period -
Cash - End of Period 414,000
</Table>
(1) COMMENCED INVESTMENT OPERATIONS ON SEPTEMBER 1, 2004.
SEE NOTES TO THE FINANCIAL STATEMENTS.
SEMIANNUAL REPORT 7 NT ALPHA STRATEGIES FUND
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NT ALPHA STRATEGIES FUND
FINANCIAL HIGHLIGHTS PERIOD ENDED SEPTEMBER 30, 2004 (UNAUDITED)
<Table>
<Caption>
NT ALPHA
STRATEGIES
SELECTED PER UNIT DATA FUND (3)
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NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (0.02)
Net unrealized gains 0.05
Total Income from Investment Operations 0.03
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Partners' Capital Value, End of Period $ 10.03
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TOTAL RETURN (1) 0.29%
SUPPLEMENTAL DATA AND RATIOS:
Partners' Capital, rounded to thousands, end of period $ 53,033,000
Ratio to average net assets of: (2)
Expenses, net of waivers and reimbursements 2.45%
Expenses, before waivers and reimbursements 3.82%
Net investment loss, net of waivers and reimbursements (2.42)%
Net investment loss, before waivers and reimbursements (3.79)%
Portfolio Turnover Rate 0.00%
</Table>
(1) ASSUMES INVESTMENT AT NET ASSET VALUE AT THE BEGINNING OF THE PERIOD AND A
COMPLETE REDEMPTION OF THE INVESTMENT AT NET ASSET VALUE AT THE END OF THE
PERIOD. TOTAL RETURN IS NOT ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
(2) ANNUALIZED FOR PERIODS LESS THAN ONE YEAR.
(3) COMMENCED INVESTMENT OPERATIONS ON SEPTEMBER 1, 2004.
SEE NOTES TO THE FINANCIAL STATEMENTS.
NT ALPHA STRATEGIES FUND 8 SEMIANNUAL REPORT
<Page>
NT ALPHA STRATEGIES FUND
NOTES TO THE FINANCIAL STATEMENTS SEPTEMBER 30, 2004 (UNAUDITED)
1 ORGANIZATION
NT Alpha Strategies Fund (the "Fund") was organized as a Delaware statutory
trust on April 5, 2004 and was registered under the Investment Company Act of
1940, as amended (the "1940 Act"), as a closed-end, diversified, management
investment company on September 1, 2004. The Fund commenced operations on
September 1, 2004. The Fund's investment objective is to seek attractive
risk-adjusted rates of return through investment in a diversified portfolio of
assets. The Fund will operate as a "Fund-of-Funds," investing, either directly
or indirectly, in a group of funds or other pooled investment vehicles (the
"Sub-Funds") managed by investment advisers selected by the Fund's investment
manager. The Fund will seek to provide investors with exposure to alternative
investment strategies, as part of such investors' larger portfolio allocations,
by investing in diversified markets, instruments and investment styles.
The Fund is offering common interests in a private placement to qualified
investors that are "Accredited Investors" within the meaning given to such term
in Regulation D under the Securities Act of 1933, as amended. Common units are
offered monthly. The minimum subscription per investor is $250,000.
Subscriptions are payable in full at the time an investor returns the
Subscription Agreement, which must be at least three business days before the
month-end valuation. The net asset value of the Fund is equal to the estimated
value of its total assets, minus the estimated sum of its total liabilities, as
of the pertinent valuation date. Please note that U.S. tax-exempt investors and
non-U.S. investors may not invest directly in the Fund, but rather should invest
in one of the two following "feeder funds," both of which will invest
substantially all of their assets in the Fund: (1) Northern Trust Alpha
Strategies Fund, Q.P., which is open to U.S. tax-exempt investors and non-U.S.
investors that are both Accredited Investors and Qualified Purchasers (as such
term is defined in Section 2(a)(51) of the 1940 Act) or (2) Northern Trust Alpha
Strategies Fund, which is open to U.S. tax-exempt investors and non-U.S.
investors that are Accredited Investors, but not Qualified Purchasers. The Fund
is authorized to issue Preferred units, although none have been offered at
September 30, 2004. The Fund does not currently intend to make any
distributions.
Northern Trust Global Advisors, Inc. ("NTGA"), a subsidiary of Northern Trust
Corporation ("NTC"), serves as the investment manager. The Northern Trust
Company ("Northern Trust"), is the custodian, fund accountant and transfer agent
to the Fund. Northern Trust Investments, N.A. ("NTI"), a wholly owned subsidiary
of Northern Trust, serves as the Administrator. Northern Trust Securities, Inc.,
a subsidiary of NTC, serves as placement agent to the Fund. PFPC Inc. ("PFPC")
and International Fund Services (N.A.), L.L.C. ("IFS") serve as
sub-administrators to the Fund.
2 SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of the financial statements. These
policies are in conformity with accounting principles generally accepted in the
United States of America or "GAAP". The preparation of financial statements in
conformity with GAAP requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent asset and liabilities at the date of the financial statements and the
reported amounts of revenues and expenses during the reporting period. Actual
results may differ from those estimates.
A) VALUATION OF SECURITIES - Investments in Sub-Funds are valued at fair value,
as determined by the Board of Trustees ("Board") or its delegates. In
determining the fair value of each Sub-Fund Investment, the Board or its
delegates will take into account the estimated net asset value of such Sub-Fund
Investment provided to the Fund by the Sub-Fund itself, as well as any other
considerations that may, in the Board or its delegates judgment, increase or
decrease such estimated value. Accordingly, because of the inherent uncertainty
of these valuations, these estimated values may differ significantly from the
values that could have been used had a readily available market for the
investments existed, and the differences could be material. Cash equivalents are
valued at cost, which approximates fair value.
B) CASH EQUIVALENTS - The Fund treats all financial instruments that mature
within three months as cash equivalents. Cash equivalents held in the Fund are
shown on the accompanying Schedule of Investments.
C) INVESTMENT TRANSACTIONS, INCOME AND EXPENSES - Investment transactions are
recorded as of the trade date. The Fund determines the gain or loss realized
from investment transactions by using an identified cost basis method. Interest
income and expenses are recognized on an accrual basis.
D) FEES AND EXPENSES - The Fund will be responsible for paying the fees of the
investment manager, the Trustees, due diligence and negotiation expenses, fees
and expenses of custodians, administrators, transfer and distribution agents,
counsel, independent accountants, insurance, filings and registrations, proxy
expenses, communications to investors, interest, taxes, portfolio transaction
expenses, indemnification, litigation and other extraordinary expenses and such
other expenses as are approved by the Board as being reasonably related to the
organization, operation or administration of the Fund. Organization costs
consist of costs incurred to establish the Fund and enable it legally to do
business. The Fund has chosen to amortize organization costs through March 31,
2005. The Fund will also be responsible for paying the organization and
operating expenses of the Feeder Funds.
SEMIANNUAL REPORT 9 NT ALPHA STRATEGIES FUND
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NT ALPHA STRATEGIES FUND
NOTES TO THE FINANCIAL STATEMENTS (CONTINUED)
The Fund also is responsible for fees payable by the Sub-Funds to their
respective advisers (collectively, the "Advisory Fees"). The Advisory Fees will
vary, but they will typically consist of a management (asset-based) fee and an
incentive fee. Management fees typically range between 1% and 2% of a Sub-Fund's
NAV per year and incentive fees typically range between 10% and 25% of the
Sub-Fund's net new profits. These Advisory Fees are accounted for in the
valuations of the Sub-Funds (which are reported in these financial statements
net of such fees) and are not included in the Statement of Operations.
E) FEDERAL INCOME TAXES - The Fund intends to operate and has elected to be
treated as a partnership for federal income tax purposes. Accordingly, no
provision for the payment of federal, state or local income taxes has been
provided. Each Partner is individually required to report on its own tax return
its distributive share of the Fund's taxable income or loss.
3 RELATED PARTY, INVESTMENT MANAGEMENT AND OTHER AGREEMENTS
As compensation for investment management services, NTGA is entitled to receive
a 1.00% per annum fee of the Fund's net asset value payable quarterly in arrears
calculated as of the last business day of each quarter. For the one month ended
September 30, 2004, NTGA voluntarily agreed to waive a 0.50% of the management
fees as shown on the accompanying Statement of Operations. The waiver described
above will terminate on March 31, 2005. NTGA also reimbursed the Fund as shown
on the accompanying Statement of Operations for all operating expenses that
exceed 0.50% per annum of the Fund's net asset value. The reimbursement
described above is voluntary.
As compensation for services rendered as transfer agent, including the
assumption by Northern Trust of the expenses related thereto, Northern Trust
receives a 0.01% per annum fee of the Fund's net asset value payable monthly in
arrears calculated as of the last business day of each month.
For compensation as custodian and fund accountant, Northern Trust receives an
amount based on a pre-determined schedule of charges approved by the Board.
The Fund has an Administration agreement with NTI for certain administrative
services. Pursuant to their administration agreement with the Fund, the
administrator is entitled to receive a 0.10% per annum fee of the Fund's net
asset value payable monthly in arrears calculated as of the last business day of
each month. NTI has retained PFPC and IFS as sub-administrators and are paid
directly by NTI for their services.
NTI has agreed to reimburse the Fund as shown on the accompanying Statement of
Operations for all administration, sub-administration, custody and transfer
agent fees that exceed 0.30% per annum of the Fund's net asset value. The
reimbursement described above is voluntary.
On September 1, 2004, the NTC made an initial investment of $33 million in the
Fund. Pursuant to federal banking law, NTC must reduce its investment in the
Fund to under 25% of the Fund's total assets within one year of its initial
investment. Should the Fund's assets be reduced as a result of an NTC redemption
(and the current administration fee of 0.30% per annum on the sum of
administration, sub-administration, custody and transfer agency and current
operating expenses of 0.50% per annum be modified), the remaining investors
would bear a higher proportion of the Fund's expenses. A substantial reduction
in the Fund's net assets may make it more difficult for the Fund to implement
its investment strategies and fulfill its investment objectives.
4 INVESTMENT TRANSACTIONS
The Fund had aggregate purchases of $43,655,000 and proceeds from sales of
Sub-Funds of $0 (excluding short-term investments) for the one-month period
ended September 30, 2004.
At September 30, 2004, the estimated cost of investments for federal income tax
purposes was $43,655,000. At September 30, 2004, accumulated net unrealized
appreciation on investments was $258,000, consisting of $356,000 gross
unrealized appreciation and $98,000 gross unrealized depreciation.
5 PARTNERS' ALLOCATION
The net assets of the Fund are determined on the last business day of each
calendar month. Profits and losses of the Fund will be allocated among the
holders based on the balance in each Partner's capital account at the beginning
of each calendar month.
6 RISK FACTORS
FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK - The Sub-Funds may borrow and
may utilize various lines of credit, reverse repurchase agreements, "dollar"
rolls, issuance of debt securities, swaps, forward purchases, other off-balance
sheet derivative transactions and other forms of leverage. While leverage
presents opportunities for increasing total return, it has the effect of
potentially increasing losses as well. If income and appreciation on investments
made with borrowed funds are less than the cost of the leverage, the value of a
Sub-Fund's net assets will decrease. Accordingly, any event which adversely
affects the value of an investment by a Sub-Fund would be magnified to the
extent leverage is employed. The cumulative effect of the use of leverage
NT ALPHA STRATEGIES FUND 10 SEMIANNUAL REPORT
<Page>
SEPTEMBER 30, 2004 (UNAUDITED)
in a market that moves adversely to a leveraged investment could result in a
substantial loss which would be greater than if leverage were not used. In
periods of extreme market volatility, the need to sell assets in a declining
market can cause even greater losses, as prices may be artificially depressed.
Generally, most leveraged transactions involve the posting of collateral.
Increases in the amount of margin that a Sub-Fund is required to post could
result in a disposition of Sub-Fund assets at times and prices which could be
disadvantageous to the Fund and could result in substantial losses. Creditors'
claims may be senior to the rights of Unitholders in the Fund.
7 BOARD OF TRUSTEES
Each member of the Board of Trustees who is not an "interested person" of the
Fund, as defined in the 1940 Act, receives an annual retainer of $15,000 plus a
fee of $2,500 for each board meeting attended in person or $1,000 for each board
meeting attended telephonically. Also, the chair of the Fund's Audit Committee
will be paid an additional annual fee of $10,000. Currently, there are a total
of four Trustees of which one is an "interested person" of the Fund. The Fund
reimburses those Trustees who are not "interested persons" for all reasonable
out-of-pocket expenses incurred by them in performing their duties.
SEMIANNUAL REPORT 11 NT ALPHA STRATEGIES FUND
<Page>
NT ALPHA STRATEGIES FUND
FOR MORE INFORMATION
PORTFOLIO HOLDINGS
The Fund will file its complete schedule of portfolio holdings with the
Securities and Exchange Commission ("SEC") within 60 days after the first and
third quarters of each fiscal year on Form N-Q, beginning with the quarter
ending December 31, 2004. The Form N-Q will be available on the SEC's Web site
at sec.gov. You may also obtain a copy at the SEC's Public Reference Room in
Washington, D.C. Information about the Public Reference Room may be obtained by
calling 800/SEC-0330.
PROXY VOTING
A description of the Fund's Proxy Voting Policies and Procedures is available,
without charge, upon request, by contacting the investment manager at
800/595-9111 or by visiting the SEC's Web site at www.sec.gov after August 31,
2005. Information regarding how the Fund voted proxies, if any, relating to
portfolio securities for the period September 1, 2004 through June 30, 2005 will
be available, without charge, upon request, by contacting the investment manager
at 800/595-9111 or by visiting the SEC's Web site at www.sec.gov after August
31, 2005.
NT ALPHA STRATEGIES FUND 12 SEMIANNUAL REPORT
<Page>
H DG SARCVR
<Page>
ITEM 2. CODE OF ETHICS.
Not applicable for reporting period.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for reporting period.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for reporting period.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The registrant has elected to include the schedule of investments in securities
of unaffiliated issuers as part of the report to shareholders filed under Item 1
of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable for reporting period.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
NT Alpha Strategies Fund does not currently have a policy by which
shareholders may recommend directors to its board of directors, but NT Alpha
Strategies Fund intends to implement such a policy in the near future.
<Page>
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act")(17 CFR 270.30a-3(c))) are effective, based on the evaluation of
these controls and procedures required by Rule 30a-3(b) under the 1940
Act as of a date within 90 days of the filing date of this report.
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(c)) that occurred during the registrant's last fiscal
half-year that has materially affected, or is reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 12. EXHIBITS.
(a)(2) Exhibit 99.CERT: Certifications pursuant to Section 302 of the
Sarbanes-Oxley Act of 2002.
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SIGNATURES
Pursuant to the requirements of the Investment Company Act of 1940, the
registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
(Registrant) NT Alpha Strategies Fund
-------------------------------------------------------------
By (Signature and Title)* /s/ Joseph W. McInerney
--------------------------------------------
Joseph W. McInerney, President
(Principal Executive Officer)
Date December 9, 2004
--------------------------------------------------------------
Pursuant to the requirements of the Investment Company Act of 1940, this report
has been signed below by the following persons on behalf of the registrant and
in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Joseph W. McInerney
--------------------------------------------
Joseph W. McInerney, President
(Principal Executive Officer)
Date December 9, 2004
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By (Signature and Title)* /s/ Brian P. Ovaert
--------------------------------------------
Brian P. Ovaert, Treasurer
(Principal Financial Officer)
Date December 9, 2004
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* Print the name and title of each signing officer under his or her signature.