As filed with the Securities and Exchange Commission on December 9, 2009
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 811-21965
Rochdale Core Alternative Strategies Fund LLC
(Exact name of registrant as specified in charter)
570 Lexington Avenue
New York, NY 10022-6837
(Address of principal executive offices) (Zip code)
Kurt Hawkesworth
570 Lexington Avenue
New York, NY 10022-6837
(Name and address of agent for service)
800-245-9888
Registrant's telephone number, including area code
Date of fiscal year end: March 31
Date of reporting period: September 30, 2009
Item 1. Reports to Stockholders.
Rochdale Core Alternative Strategies
Fund LLC
Financial Statements
September 30, 2009
Rochdale Core Alternative
Strategies Fund LLC
Financial Statements
September 30, 2009
Rochdale Core Alternative Strategies LLC | Page |
Financial Statements | |
2 | |
3 | |
4 | |
5 | |
6-13 | |
14 |
Rochdale Core Alternative Strategies Master Fund LLC | Page |
Financial Statements | |
2 | |
3 | |
4 | |
5 | |
6-8 | |
9-17 | |
18 | |
19 |
Statement of Assets, Liabilities and Members' Capital | ||||
September 30, 2009 (Unaudited) | ||||
ASSETS | ||||
Investment in Rochdale Core Alternative Strategies Master Fund LLC | $ | 18,918,998 | ||
Fund investments made in advance | 100,000 | |||
Receivable from Adviser | 2,547 | |||
Prepaid expenses | 5,470 | |||
Total Assets | 19,027,015 | |||
LIABILITIES AND MEMBERS' CAPITAL | ||||
Liabilities | ||||
Contributions received in advance | 100,000 | |||
Professional fees payable | 25,447 | |||
Incentive fee payable | 1,646 | |||
Investor servicing fee payable | 11,583 | |||
Accrued expenses and other liabilities | 9,253 | |||
Total Liabilities | 147,929 | |||
Total Members' Capital | $ | 18,879,086 | ||
Statement of Operations | ||||||
September 30, 2009 (Unaudited) | ||||||
NET INVESTMENT LOSS ALLOCATED FROM ROCHDALE | ||||
CORE ALTERNATIVE STRATEGIES MASTER FUND, LLC | ||||
Interest income | $ | 2,691 | ||
Expenses | (154,094 | ) | ||
Net Investment Loss Allocated | (151,403 | ) | ||
FUND EXPENSES | ||||
Administration fees | 2,584 | |||
Registration fees | 8,360 | |||
Professional fees | 26,074 | |||
Investor servicing fees | 22,747 | |||
Performance fees | 1,646 | |||
Custody fees | 600 | |||
Other expenses | 750 | |||
Total Fund Expenses | 62,761 | |||
Less expenses waived and reimbursed (see note 3) | (10,491 | ) | ||
Net Fund Expenses | 52,270 | |||
Net Investment Loss | (203,673 | ) | ||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||
ALLOCATED FROM ROCHDALE CORE ALTERNATIVE STRATEGIES | ||||
MASTER FUND, LLC | ||||
Net realized loss on investments | (525,392 | ) | ||
Net change in unrealized appreciation/depreciation on investments | 1,926,972 | |||
Net Realized and Unrealized Gain on Investments | 1,401,580 | |||
Net Increase in Members' Capital Resulting From Operations | $ | 1,197,907 |
Statements of Changes in Members' Capital | ||||||||
Six Months Ended September 30, 2009(1) | Year Ended March 31, 2009 | |||||||
FROM OPERATIONS | ||||||||
Net investment loss | $ | (203,673 | ) | $ | (393,814 | ) | ||
Net realized loss on investments | (525,392 | ) | (519,789 | ) | ||||
Net change in unrealized appreciation/depreciation on investments | 1,926,972 | (1,405,749 | ) | |||||
Net Increase (Decrease) in Members' Capital Resulting From Operations | 1,197,907 | (2,319,352 | ) | |||||
INCREASE FROM TRANSACTIONS IN MEMBERS' CAPITAL | ||||||||
Proceeds from sales of members' interests | 360,015 | 1,733,197 | ||||||
Payments for purchases of members' interests | (354,915 | ) | - | |||||
Net proceeds of Members' Interests | 5,100 | 1,733,197 | ||||||
Total Increase (Decrease) in Members' Capital | 1,203,007 | (586,155 | ) | |||||
MEMBERS' CAPITAL | ||||||||
Beginning of period | 17,676,079 | 18,262,234 | ||||||
End of period | $ | 18,879,086 | $ | 17,676,079 | ||||
(1) | Unaudited. |
Statement of Cash Flows | ||||
Six Months Ended September 30, 2009 (Unaudited) | ||||
CASH FLOWS FROM OPERATING ACTIVITIES | ||||
Net increase in members' capital resulting fom operations | $ | 1,197,907 | ||
Adjustments to reconcile net increase in members' capital resulting | ||||
from operations to net cash from operating activities | ||||
Net change in unrealized appreciation/depreciation on investments | (1,926,972 | ) | ||
Realized loss on investments | 525,392 | |||
Sales of investments in Master Fund | 354,915 | |||
Purchases of investments in Master Fund | (360,015 | ) | ||
Net investment loss allocated from Master Fund | 151,403 | |||
Expenses paid by the Master Fund | 28,290 | |||
Changes in operating assets and liabilities | ||||
Contributions received in advance | 40,000 | |||
Incentive fee payable | 1,646 | |||
Investor servicing payable | 584 | |||
Prepaid expenses | 4,937 | |||
Receivable from to Adviser | 1,208 | |||
Fund investments made in advance | (40,000 | ) | ||
Professional fees payable | 6,916 | |||
Accrued expenses and other liabilities | 8,689 | |||
Net Cash from Operating Activities | (5,100 | ) | ||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||
Capital contributions | 360,015 | |||
Capital withdrawals | (354,915 | ) | ||
Net Cash Flows | 5,100 | |||
Net Change in Cash and Cash Equivalents | - | |||
CASH AND CASH EQUIVALENTS | ||||
Balance at beginning of period | - | |||
Balance at end of period | $ | - |
1. | Organization |
Rochdale Core Alternative Strategies Fund LLC (the “Fund”) is a Delaware limited liability company registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company. The Fund’s investment objective is to seek long-term growth of principal across varying market conditions with low volatility. “Low volatility” in this objective means the past monthly net asset value fluctuations of the Fund net asset value that are no greater than the rolling 10-year annualized standard deviation of the monthly ups and downs of the higher of: (1) the return of the Lehman Brothers Aggregate Bond Index plus 3% or (2) half of the return of the Standard & Poor’s 500-stock Index. The Fund commenced investment operations on July 1, 2007.
The Fund invests substantially all of its investable assets in Rochdale Core Alternative Strategies Master Fund LLC (the “Master Fund”), a registered investment company with the same investment objective as the Fund. Rochdale Investment Management LLC (the “Manager”, "Adviser" or “Rochdale”) is the investment adviser to the Master Fund. The Manager is also the adviser to Rochdale Core Strategies Fund TEI, LLC, which also invests all of its investable assets with the Master Fund. The Manager delegates sub-investment advisory responsibilities to AIG Global Investment Corp. (the “Sub-Adviser”) with respect to the Master Fund.
The financial statements of the Master Fund are included elsewhere in this report and should be read in conjunction with the Fund’s financial statements. At September 30, 2009, the Fund's beneficial ownership of the Master Fund's net assets was 35.10%.
The Fund reserves the right to reject any subscriptions for Interests in the Fund. Generally, initial and additional subscriptions for investment (or "Member Interests") in the Fund by eligible members may be accepted at such times as the Fund may determine.
Each member must be a qualified investor and subscribe for a minimum initial investment in the Fund of $25,000. Additional investments in the Fund must be made in a minimum amount of $10,000. Brokers selling the Fund may establish higher minimum investment requirements than the Fund. The Fund from time to time may offer to repurchase members' interest in the Fund at such times and on such terms as may be determined by the Fund's Board in its complete and absolute discretion. Fund interests must be held for twelve months after initial purchase. Members must hold Units for at least six months before being eligible to request that the Fund repurchase Units during a tender offer. If no such request is made, Members must hold Units for a second six-month period before submitting an initial request.
Rochdale Core Alternative
Strategies Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Fund.
Fair Value
The Fund adopted authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Management has determined that these standards had no material impact on the Fund’s financial statements. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability.
The fair value hierarchy prioritizes the inputs used in valuation techniques and creates the following three broad levels, with Level 1 being the highest priority:
Level 1 Inputs
Level 1 inputs are exchange traded or quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. These standards require entities to measure fair value using exchange traded or quoted market prices whenever available, unless the active market is not readily available to the entity (for example the entity holds a large block), in which case a Level 2 or Level 3 valuation methodology may be appropriate.
Level 2 Inputs
Level 2 inputs are inputs other than exchange traded or quoted prices included within Level 1, that are observable for the asset or liability, either directly or indirectly with fair value being determined through the use of models or other valuation methodologies.
Level 3 Inputs
Level 3 inputs are unobservable inputs for the asset or liability and are used to the extent that observable inputs do not exist. Level 3 inputs require significant management judgment and estimation.
Rochdale Core Alternative
Strategies Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies(continued) |
Fair Value (continued)
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.
For the six months ended September 30, 2009 the Fund’s investment consisted entirely of an investment in the Master Fund. The fair value hierarchy of the Master Fund is disclosed in the notes to the Master Fund’s financial statements, included elsewhere in this report.
The credit and liquidity crisis in the United States has resulted in substantial volatility in the global financial markets. Consequently, the value of the Fund’s individual investments have and will fluctuate in response to changing market conditions. The amount of losses, if any that will be recognized in subsequent periods, cannot be determined.
Portfolio Valuation
The net asset value of the Fund is determined as of the close of business at the end of each month. The net asset value of the Fund equals the value of the assets of the Fund, respectively, less liabilities, including accrued fees and expenses.
The Fund's investment in the Master Fund represents substantially all of the Fund's assets. All investments owned are carried at fair value which is the portion of the net asset value of the Master Fund held by the Fund.
The accounting for and valuation of investments by the Master Fund is discussed in the notes to the financial statements for the Master Fund, which are an integral part of these financial statements.
Income Recognition and Security Transactions
Interest income is recorded on an accrual basis. Investments are recorded on the effective date of the subscription in the Master Fund. The Fund, as an investor in the Master Fund, recognizes its share of the income, realized and unrealized gains and losses of the Master Fund.
Rochdale Core Alternative
Strategies Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies(continued) |
Organization Expenses
Expenses incurred by the Fund in connection with the organization were expensed as incurred. The Manager has agreed to reimburse the Master Fund for these expenses, subject to potential recovery, see Note 3. All reimbursements are recorded by the Fund through an allocation from the Master Fund. Also reflected in the Fund’s organizational expenses were its pro-rata share of the expenses incurred in connection with the organization of the Master Fund.
Fund Expenses
The expenses of the Fund include, but are not limited to, the following: legal fees; accounting and auditing fees; custodial fees; costs of computing the Fund's net asset value; costs of insurance; registration expenses; expenses of meetings of the Board and members; all costs with respect to communications to members; and other types of expenses as may be approved from time to time by the Board. The Fund, as an investor in the Master Fund, recognizes its share of the fees and expenses of the Master Fund.
Income Taxes
The Fund's tax year end is December 31. The Fund intends to be treated as a partnership for Federal income tax purposes, whereby each member is responsible for the tax liability or benefit relating to such member’s distributive share of taxable income or loss. Accordingly, no provision for Federal income taxes is reflected in the accompanying financial statements.
Effective September 30, 2007, the Fund adopted accounting standards regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. The Fund’s accounting policy is to provide for liabilities due to uncertain tax positions when such liability is both probable and subject to reasonable estimation. Management is not aware of any exposure to uncertain tax positions that could require accrual or which could affect its liquidity or future cash flows, or its treatment as a flow through entity, pursuant to relevant income tax regulations. As of September 30, 2009, the Fund’s tax years since inception remain open and subject to examination by relevant taxing authorities.
Rochdale Core Alternative
Strategies Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies(continued) |
Distribution Policy
The Fund has no present intention of making periodic distributions of its net investment income or capital gains, if any, to members. The amount and frequency of distributions, if any, will be at the sole discretion of the Board.
Capital Accounts
The initial seeding of the Fund occurred on January 30, 2007. The financial statements presented "Net Asset Value per Unit" amounts to reflect the seed money contributed. At July 1, 2007, the Commencement of Operations, the Fund revised the presentation to show only the total balances of membership interests for all members ("Members' Interests"). Net profits or net losses of the Fund for each month are allocated to the capital accounts of members as of the last day of each month in accordance with each members' respective investment percentage in the Fund. Net profits or net losses are measured as the net change in the value of the net assets of the Fund during each month, before giving effect to any repurchases of interest in the Fund, and excluding the amount of any items to be allocated to the capital accounts of the members of the Fund, other than in accordance with the members' respective investment percentages.
Prior to the end of each quarter and year end, the Fund receives member contributions with an effective subscription date of the first day of the following month. These contributions are held by the Master Fund and have an effective investment date of first day of the following month. The Master Fund, in turn, makes contributions to certain Investment Funds, which have effective subscription dates of the first day of the following month. These amounts are reported as "Contributions received in advance" and "Investments made in advance", respectively.
Use of Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of expenses during the reporting period. Actual results could differ from those estimates.
Rochdale Core Alternative
Strategies Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies(continued) |
New Accounting Pronouncements
In March 2008, accounting standards regarding disclosures about derivative instruments and hedging activity standards were issued and are effective for fiscal years beginning after November 15, 2008. These standards are intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity's results of operations and financial position. Management has determined that these standards do not have any impact on the Fund’s financial statement disclosures because neither the Fund nor the Master Fund has maintained any positions in derivative instruments or directly engaged in hedging activities.
In May 2009, the FASB issued subsequent event standards. The Fund adopted these standards which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, an entity will be required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. In addition, these standards require an entity to disclose the date through which subsequent events have been evaluated. The Fund has evaluated subsequent events through November 30, 2009, the date that the financial statements were available to be issued.
In June 2009, the accounting standards codification and the hierarchy of generally accepted accounting principles standards were issued and is effective for interim and annual reporting periods ending after September 15, 2009. These standards are intended to establish the FASB Codification as the source of authoritative accounting principles recognized by the FASB to be applied to nongovernmental entities in preparation of financial statements in conformity with GAAP.
3. | Commitments and Other Related Party Transactions |
The Manager has contractually agreed to waive and/or reimburse the expenses of the Fund and the Master Fund, to the extent needed to limit their combined annual operating expenses to 2.25% of net assets. To the extent that the Manager reimburses or absorbs fees and expenses, it may seek payment of such amounts for three years after the year in which the expenses were reimbursed or absorbed. The Fund will make no such payment, however, if its total annual operating expenses exceed the expense limits in effect at the time the expenses are to be reimbursed or at the time these payments are proposed. For the six months ended September 30, 2009, the Manager waived $10,491 of fees and expenses, which may be recouped by the Manager no later than March 31, 2013.
Rochdale Core Alternative
Strategies Fund LLC
Notes to Financial Statements (Unaudited)
3. | Commitments and Other Related Party Transactions(continued) |
At September 30, 2009, the Manager may recapture up to $150,867 from the Fund through March 2011, up to $28,519 through March 2012, and up to $10,491 through March 2013. No accrual has been made for such contingent liability because of the uncertainty of the reimbursement from the Fund.
4. | Investor Servicing Fees |
The Fund will pay a fee to RIM Securities, LLC, an affiliate of the Manager, as Distributor, to reimburse it for payments made to broker-dealers and certain financial advisers (“Investor Service Providers”) that have agreed to provide ongoing investor services to investors in the Fund that are their customers. This fee will be paid quarterly and will be in an amount, with respect to each Investor Service Provider, not to exceed the lesser of: (i) 0.25% (on an annualized basis) of the aggregate value of outstanding member interests held by investors that receive services from the Investment Service Provider, determined as of the last day of the calendar month (before any repurchase of member interests); or (ii) the Distributor’s actual payments to the Investment Service Provider.
5. | Concentration, Liquidity and Off-Balance Sheet Risks |
The Master Fund invests primarily in Investment Funds that are illiquid securities and not registered under the 1940 Act. Such Investment Funds invest in actively traded securities, illiquid securities, derivatives and other financial instruments using several investment strategies and investment techniques, including leverage, which may involve significant risks. The Master Fund's concentration and liquidity risks are discussed in the notes to the Master Fund's financial statements which are attached elsewhere in this report and are an integral part of these financial statements.
In the normal course of business, the Investment Funds in which the Master Fund invests trade various derivatives and financial instruments and enter into various investment activities with off balance sheet risk. The Master Fund's off balance sheet risk in these financial instruments is discussed in the notes to the Master Fund's financial statements which are attached elsewhere in this report and are an integral part of these financial statements.
6. | Investment Transactions |
For the six months ended September 30, 2009, the Fund's assets were invested in the Master Fund and the Fund made aggregate purchases of $360,015 and aggregate sales of $354,915 in the Master Fund.
Rochdale Core Alternative
Strategies Fund LLC
Notes to Financial Statements (Unaudited)
7. | Tender Offer |
The Fund offered to purchase up to $1,500,000 of Units or portions thereof properly tendered by Members at a price equal to the net asset value of Units as of September 30, 2009. The offer terminated at 5:00 p.m., Eastern Time, on September 22, 2009. Pursuant to the offer, Units with a net asset value of $1,491,795 as determined as of the valuation date were tendered and accepted by the Fund.
Financial Highlights |
Period from | |||||||||||||
July 1, 2007 | |||||||||||||
(Commencement of | |||||||||||||
Operations) | |||||||||||||
Six Months Ended | Year Ended | through | |||||||||||
TOTAL RETURN | September 30, 2009(1) | March 31, 2009 | March 31, 2008 | ||||||||||
Total Return before incentive fee | 6.78 | % | (11.68 | %) | (5.05 | %) | |||||||
Incentive fee | 0.00 | % | (2) | 0.00 | % | 0.00 | % | ||||||
Total Return after incentive fee | 6.78 | % | (11.68 | %) | (5.05 | %) | |||||||
RATIOS/SUPPLEMENTAL DATA | |||||||||||||
Net Assets, end of period (000's) | $ | 18,879 | $ | 17,676 | $ | 18,262 | |||||||
Portfolio Turnover | 7.98 | % | 19.34 | % | 1.39 | % | |||||||
RATIO OF NET INVESTMENT LOSS TO AVERAGE NET ASSETS | |||||||||||||
Net investment loss, before waivers and reimbursements | (2.35 | %) | (2.28 | %) | (2.86 | %) | |||||||
Net investment loss, after waivers and reimbursements | (2.24 | %) | (2.13 | %) | (1.80 | %) | |||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS, BEFORE | |||||||||||||
INCENTIVE FEE | |||||||||||||
Operating expenses, before waivers and reimbursements | 2.36 | % | 2.40 | % | 3.31 | % | |||||||
Operating expenses, after waivers and reimbursements | 2.25 | % | 2.25 | % | 2.25 | % | |||||||
RATIO OF EXPENSES TO AVERAGE NET ASSETS, NET OF WAIVERS | |||||||||||||
AND REIMBURSEMENTS AFTER INCENTIVE FEE | |||||||||||||
Operating expenses, after waivers and reimbursements | 2.25 | % | 2.25 | % | 2.25 | % | |||||||
Incentive fee | 0.02 | % | 0.00 | % | 0.00 | % | |||||||
Total Operating expenses, after waivers and reimbursements after incentive fee | 2.27 | % | 2.25 | % | 2.25 | % | |||||||
(1) | Unaudited. | |||||||||
(2) | Less than 0.01%. | |||||||||
Total return is calculated for all members taken as a whole and an individual member's return may vary from these Fund returns based on the timing of capital transactions. The total return for periods less than one year are not annualized. | ||||||||||
Portfolio turnover represents the Master Fund's portfolio turnover for the periods above. The ratios of net investment loss to average net assets and ratios of expenses to average net assets are annualized for periods of less than one year. The ratios of expenses to average net assets do not include expenses of the Investment Funds in which the Master Fund invests. | ||||||||||
The expense ratios are calculated for all members taken as a whole. The computation of such ratios based on the amount of expenses assessed to an individual member's capital may vary from these ratios based on the timing of capital transactions. |
14
Rochdale Core Alternative Strategies
Master Fund LLC
Financial Statements
September 30, 2009
Rochdale Core Alternative Strategies
Master Fund LLC
Financial Statements
September 30, 2009
Statement of Assets, Liabilities and Members' Capital | ||||
September 30, 2009 (Unaudited) | ||||
ASSETS | ||||
Investments, at fair value (cost $44,685,005) | $ | 44,164,163 | ||
Cash and cash equivalents | 12,612,477 | |||
Receivable for fund investments sold | 117,772 | |||
Prepaid expenses | 2,593 | |||
Total Assets | 56,897,005 | |||
LIABILITIES AND MEMBERS' CAPITAL | ||||
Liabilities | ||||
Management fees payable | 110,794 | |||
Contributions received in advance | 2,806,189 | |||
Accrued professional fees payable | 44,715 | |||
Accrued expenses and other liabilities | 38,351 | |||
Total Liabilities | 3,000,049 | |||
Total Members' Capital | $ | 53,896,956 |
Statement of Operations | ||||
Six Months Ended September 30, 2009 (Unaudited) | ||||
INVESTMENT INCOME | ||||
Interest income | $ | 7,658 | ||
EXPENSES | ||||
Management fees | 324,266 | |||
Professional fees | 45,190 | |||
Administration fees | 52,111 | |||
Directors' fees | 8,334 | |||
Custody fees | 3,150 | |||
Other expenses | 5,672 | |||
Total Expenses | 438,723 | |||
Net Investment Loss | (431,065) | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
ON INVESTMENTS | ||||
Net realized loss from investment transactions | (1,037,748) | |||
Net change in unrealized appreciation/depreciation of investments | 5,027,865 | |||
Net Realized and Unrealized Gain from Investments | 3,990,117 | |||
Net Increase in Members' Capital Resulting from Operations | $ | 3,559,052 |
Six Months Ended September 30, 2009(1) | Year Ended March 31, 2009 | ||||||||
FROM OPERATIONS | |||||||||
Net investment loss | $ | (431,065 | ) | $ | (806,950 | ) | |||
Net realized loss on investments | (1,037,748 | ) | (1,469,526 | ) | |||||
Net change in unrealized appreciation/depreciation on investments | 5,027,865 | (4,010,544 | ) | ||||||
Net Increase (Decrease) in Members' Capital Resulting From Operations | 3,559,052 | (6,287,020 | ) | ||||||
INCREASE (DECREASE) FROM TRANSACTIONS IN MEMBERS' CAPITAL | |||||||||
Proceeds from sales of members' interests | 1,271,607 | 7,697,792 | |||||||
Payments for purchases of members' interests | (1,292,437 | ) | - | ||||||
Net Proceeds of (Payments for) of Members' Interests | (20,830 | ) | 7,697,792 | ||||||
Total Increase in Members' Capital | 3,538,222 | 1,410,772 | |||||||
MEMBERS' CAPITAL | |||||||||
Beginning of period | 50,358,734 | 48,947,962 | |||||||
End of period | $ | 53,896,956 | $ | 50,358,734 | |||||
(1) Unaudited | |||||||||
Statement of Cash Flows | ||||
Six Months Ended September 30, 2009 (Unaudited) | ||||
CASH FLOW FROM OPERATING ACTIVITIES | ||||
Net increase in members' capital resulting from operations | $ | 3,559,052 | ||
Adjustments to reconcile net increase in members' capital | ||||
resulting from operations to net cash from operating activities | ||||
Purchases of investments | (3,403,962 | ) | ||
Sales of investments | 3,989,970 | |||
Net change in unrealized appreciation/depreciation on investments | (5,027,865 | ) | ||
Net realized loss from investments | 1,037,748 | |||
Change in Operating Assets and Liabilities | ||||
Prepaid expenses | (2,593 | ) | ||
Interest receivable | 3,276 | |||
Receivable for fund investments sold | 507,312 | |||
Management fees payable | 5,813 | |||
Contributions received in advance | 2,726,189 | |||
Professional fees payable | (8,443 | ) | ||
Accrued expense and other liabilities | 2,927 | |||
Net Cash from Operating Activities | 3,389,424 | |||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||
Capital contributions | 1,271,607 | |||
Capital withdrawals | (1,292,437 | ) | ||
Net Cash Flows | (20,830 | ) | ||
Net Change in Cash and Cash Equivalents | 3,368,594 | |||
CASH AND CASH EQUIVALENTS | ||||
Beginning of period | 9,243,883 | |||
End of period | $ | 12,612,477 |
September 30, 2009 (Unaudited) | ||||||||||||||||
Percentage of | Redemptions | |||||||||||||||
Long-Term Investment Funds1: | Members' Capital | Cost | Fair Value | Permitted | ||||||||||||
Controlled Risk/Relative Value: | ||||||||||||||||
Blackthorn Partners, LP | 4.54 | % | $ | 2,000,000 | $ | 2,444,482 | Quarterly | |||||||||
FrontPoint Utility and Energy Fund, LP | 2.52 | 1,500,000 | 1,358,425 | Quarterly | ||||||||||||
Ionic Capital LLC | 4.05 | 2,000,000 | 2,180,150 | Quarterly | ||||||||||||
Loomis Sayles Consumer Discretionary Hedge Fund, LP | 2.31 | 1,350,000 | 1,247,687 | Monthly | ||||||||||||
Polygon Global Opportunities Fund LP | 1.39 | 1,898,013 | 751,593 | * | ||||||||||||
Stark Investments Limited Partnership | 2.06 | 1,275,000 | 1,112,160 | Quarterly | ||||||||||||
Stark Select Asset Fund LLC2 | 0.69 | 348,510 | 370,173 | ** | ||||||||||||
SuttonBrook Capital Partners LP | 4.05 | 2,450,000 | 2,184,851 | Quarterly | ||||||||||||
21.61 | 12,821,523 | 11,649,521 | ||||||||||||||
Equity (Long/Short): | ||||||||||||||||
AlphaGen RhoCas Fund Ltd. | 3.81 | 1,750,000 | 2,051,221 | Monthly | ||||||||||||
Clovis Capital Partners Institutional, LP | 3.72 | 2,075,000 | 2,006,185 | Quarterly | ||||||||||||
FrontPoint Offshore Asia Pacific Fund, Ltd. | 1.90 | 1,000,000 | 1,022,322 | Quarterly | ||||||||||||
Galleon Diversified Fund, Ltd. | 4.10 | 2,075,000 | 2,211,812 | Quarterly | ||||||||||||
Horseman Global Fund, Ltd | 1.71 | 1,000,000 | 920,598 | Monthly | ||||||||||||
Hunter Global Investors Fund I, LP | 4.01 | 2,075,000 | 2,158,479 | Quarterly | ||||||||||||
Loch Capital Fund I LP | 3.19 | 1,610,000 | 1,718,427 | Quarterly | ||||||||||||
Seligman Health Spectrum Plus Fund LLC | 3.58 | 1,750,000 | 1,930,852 | Monthly | ||||||||||||
SLS Investors, LP | 1.74 | 912,500 | 937,313 | Semi-Annual | ||||||||||||
SLS Investors, LP Illiquid SPV3 | 0.00 | 16,027 | �� | 2,304 | ** | |||||||||||
27.76 | 14,263,527 | 14,959,513 | ||||||||||||||
Event Driven: | ||||||||||||||||
Bennelong Asia Pacific Multi Strategy Equity Fund, LP | 2.32 | 1,400,000 | 1,248,232 | Monthly | ||||||||||||
Brencourt Multi Strategy, LP | 0.22 | 119,428 | 117,871 | ** | ||||||||||||
Brigade Leveraged Capital Structures Fund LP | 4.88 | 2,300,000 | 2,628,931 | Quarterly | ||||||||||||
Castlerigg Partners LP | 2.77 | 2,225,000 | 1,494,253 | * | ||||||||||||
GoldenTree High Yield Partners, LP | 3.77 | 2,150,000 | 2,031,843 | Quarterly | ||||||||||||
King Street Capital, LP | 5.66 | 2,475,000 | 3,058,217 | Quarterly | ||||||||||||
Satellite Fund II, LP | 1.57 | 1,517,623 | 843,584 | * | ||||||||||||
21.19 | 12,187,051 | 11,422,931 | ||||||||||||||
Rochdale Core Alternative Strategies Master Fund LLC | ||||||||||||
Schedule of Investments | ||||||||||||
September 30, 2009 (Unaudited) | ||||||||||||
Percentage of | Redemptions | |||||||||||
Long-Term Investment Funds1: | Members' Capital | Cost | Fair Value | Permitted |
Macro: | ||||||||||||||||
Blenheim Commodity Fund, Ltd. | 1.98 | 1,000,000 | 1,066,484 | Monthly | ||||||||||||
Boronia Diversified Fund (U.S.) LP | 1.47 | 750,000 | 791,108 | Monthly | ||||||||||||
Camcap Resources LP | 1.03 | 750,000 | 557,451 | Quarterly | ||||||||||||
Caxton Global Investments (USA) LLC | 0.11 | 52,904 | 60,641 | ** | ||||||||||||
Dynamic Domestic Fund, LP | 1.83 | 750,000 | 983,640 | Monthly | ||||||||||||
Robeco Transtrend Diversified Fund LLC | 2.06 | 1,000,000 | 1,111,440 | Monthly | ||||||||||||
Sunrise Commodities Fund LP | 2.90 | 1,110,000 | 1,561,434 | Monthly | ||||||||||||
11.38 | 5,412,904 | 6,132,198 | ||||||||||||||
Short-Term Investment: | ||||||||||||||||
Money Market Fund: | ||||||||||||||||
First American Prime Obligations Fund - Class Y | 23.40 | 12,612,027 | 12,612,027 | |||||||||||||
Total Investments | 105.34 | % | $ | 57,297,032 | $ | 56,776,190 | ||||||||||
1 All investments are non-income producing. | ||||||||
2 This Fund is a side pocket of Stark Investments Limited Partnership. | ||||||||
3 This Fund is a side pocket of SLS Investors, LP. | ||||||||
* Redemption restrictions exist for Investment Funds whereby the Investment Managers may suspend redemption either in their sole discretion or other factors. Such factors include the magnitude of redemptions requested, portfolio valuation issues or market conditions. Redemptions are currently suspended for Polygon Global Opportunities Fund LP, Castlerigg Partners LP, and Satellite Fund II L.P., as the funds are in process of being liquidated or restructured. | ||||||||
** Special Investments have been established for SLS Investors LP, Caxton Global Investments (USA) LLC, Brencourt Multi Strategy LP, and Stark Investments Limited Partnership. These investments are long-term, illiquid and gains or losses associated with them flow through to the investors on an as realized basis. |
Rochdale Core Alternative Strategies Master Fund LLC |
Schedule of Investments (continued) |
Six Months Ended September 30, 2009 (Unaudited) |
Strategy Allocation Breakdown |
(as a % of total investments) |
1. | Organization |
Rochdale Core Alternative Strategies Master Fund LLC (the "Master Fund") is a closed-end, non-diversified management Investment Company that was organized as a limited liability company under the laws of the State of Delaware on September 11, 2006 and serves as a master fund in a master feeder structure. Interests in the Master Fund are issued solely in private placement transactions that do not involve any "public offering" within the meaning of Section 4(2) of the Securities Act of 1933, as amended (the "1933 Act"). Investments in the Master Fund may be made only by U.S. and foreign investment companies, common or commingled trust funds, organizations or trusts described in Sections 401(a) or 501(a) of the Internal Revenue Code of 1986, as amended, or similar organizations or entities that are "accredited investors" within the meaning of Regulation D under the 1933 Act. The Master Fund is a registered investment company under the Investment Company Act of 1940.
Rochdale Investment Management LLC (the “Manager”, "Adviser" or “Rochdale”) is the investment adviser to the Master Fund. The Manager delegates sub-investment advisory responsibilities to AIG Global Investment Corp. (the “Sub-Adviser”) with respect to the Master Fund.
The Master Fund seeks to achieve its objective by investing substantially all of its assets in the securities of privately placed investment vehicles, typically referred to as hedge funds (“Hedge Funds" or "Investment Funds”), that pursue a variety of “absolute return” investment strategies. “Absolute return” refers to a broad class of investment strategies that attempt to consistently generate positive returns regardless of market conditions.
The Fund’s investment objective is to seek long-term growth of principal across varying market conditions with low volatility. “Low volatility” in this objective means the past monthly net asset value fluctuations of the Fund’s net asset value that is no greater than the rolling 10-year annualized standard deviation of the monthly ups and downs of the higher of: (1) the return of the Lehman Brothers Aggregate Bond Index plus 3% or (2) half of the return of the Standard & Poor’s 500-stock Index. Fund investments generally fall within the following broadly defined investment fund strategies: equity, event driven, macro and controlled risk/relative value.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Master Fund.
Rochdale Core Alternative Strategies
Master Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies (continued) |
Fair Value
The Fund adopted authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Management has determined that these standards had no material impact on the Fund’s financial statements. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability.
The fair value hierarchy prioritizes the inputs used in valuation techniques and creates the following three broad levels, with Level 1 being the highest priority:
Level 1 Inputs
Level 1 inputs are exchange traded or quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. These standards require entities to measure fair value using exchange traded or quoted market prices whenever available, unless the active market is not readily available to the entity (for example the entity holds a large block), in which case a Level 2 or Level 3 valuation methodology may be appropriate.
Level 2 Inputs
Level 2 inputs are inputs other than exchange traded or quoted prices included within Level 1, that are observable for the asset or liability, either directly or indirectly with fair value being determined through the use of models or other valuation methodologies.
Level 3 Inputs
Level 3 inputs are unobservable inputs for the asset or liability and are used to the extent that observable inputs do not exist. Level 3 inputs require significant management judgment and estimation.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.
Rochdale Core Alternative Strategies
Master Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies (continued) |
Portfolio Valuation
The net asset value of the Master Fund is determined as of the close of business at the end of each month in accordance with the valuation principles set forth below or as may be determined from time to time pursuant to policies established by the Board.
The net asset value of the Master Fund equals the value of the Master Fund's assets less the Master Fund's liabilities, including accrued fees and expenses. The Master Fund's investments are considered to be illiquid and can only be redeemed periodically. The Board has approved procedures pursuant to which the Master Fund values its investments at fair value.
In accordance with these procedures, the fair value of investments, as of each month-end ordinarily is the value determined as of such month-end for each Investment Fund in accordance with each Investment Fund's valuation policies and reported at the time of the Master Fund's valuation.
As a general matter, the fair value of the Master Fund's interest in an Investment Fund will represent the amount that the Master Fund could reasonably expect to receive from an Investment Fund if the Master Fund's ownership interest was redeemed at the time of valuation, based on information reasonably available at the time the valuation is made and that the Master Fund believes to be reliable. In the event that an Investment Fund does not report a month-end value to the Master Fund on a timely basis, or the Adviser concludes that the value provided by the Investment Fund does not represent the fair value of the Master Fund's interests in the Investment Fund, the Master Fund would determine the fair value of such Investment Fund based on the most recent value reported by the Investment Fund, as well as any other relevant information available at such time.
Considerable judgment is required to interpret the factors used to develop estimates of fair value. Accordingly, the estimates may not be indicative of the amounts the Master Fund could realize in a current market exchange and the differences could be material to the financial statements. The use of different factors or estimation methodologies could have a significant effect on the estimated fair value. The values assigned to these investments are based on available information and do not necessarily represent amounts that might ultimately be realized, as such amounts depend on future circumstances and cannot reasonably be determined until the individual investments are actually liquidated.
Rochdale Core Alternative Strategies
Master Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies (continued) |
Portfolio Valuation (continued)
In March 2008, accounting standards regarding disclosures about derivative instruments and hedging activity standards were issued and are effective for fiscal years beginning after November 15, 2008. These standards are intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. Management has determined that these standards do not have any impact on the Fund’s financial statement disclosures because the Master Fund has not maintained any positions in derivative instruments or directly engaged in hedging activities.
Income Recognition and Security Transactions
Interest income is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date. Realized gains and losses from Investment Fund transactions are calculated on the identified cost basis. Investments are recorded on the effective date of the subscription in the Investment Fund.
Fund Expenses
The expenses of the Master Fund include, but are not limited to, the following: legal fees; accounting and auditing fees; custodial fees; costs of computing the Master Fund's net asset value; costs of insurance; registration expenses; due diligence, including travel and related expenses; expenses of meetings of the Board and members; all costs with respect to communications to members; and other types of expenses as may be approved from time to time by the Board.
Income Taxes
The Fund tax year end is December 31. The Master Fund is treated as a partnership for Federal income tax purposes. Each member is responsible for the tax liability or benefit relating to such member’s distributive share of taxable income or loss. Accordingly, no provision for Federal income taxes is reflected in the accompanying financial statements.
Rochdale Core Alternative Strategies
Master Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies (continued) |
Effective September 30, 2007, the Master Fund adopted accounting standards regarding recognition and measurement of tax positions taken or expected to be taken on a tax return. The Master Fund’s accounting policy is to provide for liabilities due to uncertain tax positions when such liability is both probable and subject to reasonable estimation. Management is not aware of any exposure to uncertain tax positions that could require accrual or which could affect its liquidity or future cash flows. As of September 30, 2009, the Master Fund’s tax years since inception remain open and subject to examination by relevant taxing authorities.
New Accounting Policies
In May 2009, the FASB issued subsequent event standards. The Master Fund adopted these standards which require an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, and entity will be required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. In addition, these standards require an entity to disclose the date through which subsequent events have been evaluated. The Master Fund has evaluated subsequent events through November 30, 2009, the date that the financial statements were available to be issued.
In June 2009, the accounting standards codification and the hierarchy of generally accepted accounting principles standards were issued and is effective for interim and annual reporting periods ending after September 15, 2009. These standards are intended to establish the FASB Codification as the source of authoritative accounting principles recognized by the FASB to be applied to nongovernmental entities in preparation of financial statements in conformity with GAAP.
Capital Accounts
The initial seeding of the Master Fund occurred on January 30, 2007. The financial statements presented "Net Asset Value per Unit" amounts to reflect the seed money contributed. At July 1, 2007, the Commencement of Operations, the Master Fund revised the presentation to show only the total balances of membership interests for all members ("Members' Interests"). Net profits or net losses of the Master Fund for each month are
Rochdale Core Alternative Strategies
Master Fund LLC
Notes to Financial Statements (Unaudited)
2. | Significant Accounting Policies (continued) |
Capital Accounts (continued)
allocated to the capital accounts of members as of the last day of each month in accordance with members' respective investment percentages of the Master Fund. Net profits or net losses are measured as the net change in the value of the net assets of the Master Fund during a fiscal period, before giving effect to any repurchases of interest in the Master Fund, and excluding the amount of any items to be allocated to the capital accounts of the members of the Master Fund, other than in accordance with the members' respective investment percentages.
Prior to the end of each quarter and year end, the Master Fund receives member contributions with an effective subscription date of the first day of the following month. The Master Fund, in turn, makes contributions to certain Investment Funds, which have effective subscription dates of first day of the following month. These amounts are reported as "Contributions received in advance" and "Investments made in advance", respectively.
3. | Fair Value Disclosures |
Use of Estimates
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of expenses during the reporting period. Actual results could differ from those estimates.
Cash and Cash Equivalents
The Company considers all highly liquid investments with a maturity of ninety days or less at time of purchase to be cash equivalents.
Rochdale Core Alternative Strategies
Master Fund LLC
Notes to Financial Statements (Unaudited)
3. | Fair Value Disclosures(continued) |
Investments in Partnerships
As of September 30, 2009 all long-term investments held were Level 3 inputs as per the fair valuation accounting standards. The short-term investment held was a level 1 input as of September 30, 2009. The following is a reconciliation of the beginning and ending balances for assets and liabilities measured at fair value using significant unobservable inputs (Level 3) during the six months ended September 30, 2009:
Alternative Investments | ||||
Balance, beginning of year | $ | 40,760,054 | ||
Realized gain (loss) | (1,495,494 | ) | ||
Change in unrealized appreciation (depreciation) | 5,485,611 | |||
Net Sales | (586,008 | ) | ||
Balance, end of year | $ | 44,164,163 |
The credit and liquidity crisis in the United States has resulted in substantial volatility in the global financial markets. Consequently, the value of the Fund’s individual investments have and will fluctuate in response to changing market conditions. The amount of losses, if any that will be recognized in subsequent periods, cannot be determined.
4. | Commitments and Other Related Party Transactions |
Management and Incentive Fees
Under the supervision of the Master Fund’s Board and pursuant to an investment management agreement (“Investment Management Agreement”), Rochdale Investment Management LLC, an investment adviser registered under the Investment Advisers Act of 1940, as amended, serves as the Manager for the Master Fund. The Manager is authorized, subject to the approval of the Master Fund’s Board, to retain one or more other organizations, including its affiliates, to provide any or all of the services required to be provided by the Manager to the Master Fund or to assist in providing these services.
The Manager entered into a sub-investment management agreement with AIG Global Investment Corp. (the “Sub-Adviser”). The Sub-Adviser has investment discretion to
Rochdale Core Alternative Strategies
Master Fund LLC
Notes to Financial Statements (Unaudited)
4. | Commitments and Other Related Party Transactions (continued) |
Management and Incentive Fees (continued)
manage the assets of the Master Fund and is responsible for identifying prospective Hedge Funds, performing due diligence and review of those Hedge Funds and their Hedge Fund Managers, selecting Hedge Funds, allocating and reallocating the Master Fund’s assets among Hedge Funds, and providing risk management services, subject to the general supervision of the Manager.
The investment management fee is shared by the Manager and the Sub-Adviser. The Master Fund will pay the Manager an investment management fee at an annual rate equal to 1.25% of the Master Fund’s month-end net assets, including assets attributable to the Manager (or its affiliates) and before giving effect to any repurchases by the Master Fund of member interests. The investment management fee is accrued monthly. The investment management fee will be paid to the Manager out of the Master Fund’s assets. The Manager will pay a fee to the Sub-Adviser at a rate equal to 60% of the amount of the fee earned by the Manager pursuant to the Investment Management Agreement.
The Sub-Adviser is entitled to receive a performance-based incentive fee equal to 10% of the net profits(taking into account net realized and unrealized gains or losses and net investment income or loss), if any, in excess of the non-cumulative “Preferred Return,” subject to reduction of that excess for prior losses that have not been previously offset against net profits (the “Incentive Fee”). The Incentive Fee will be accrued monthly and is generally payable annually. The Preferred Return is an annual return equal to the 3-year Treasury constant maturity rate as reported by the Board of Governors of the Federal Reserve System as of the last business day of the prior calendar year plus 2%.
Expense Reimbursement
The Manager has contractually agreed to waive and/or reimburse the Master Fund’s expenses to the extent needed to limit the Master Fund’s annual operating expenses combined with the annual operating expenses of Rochdale Core Alternative Strategies Fund LLC or Rochdale Core Alternative Strategies Fund TEI LLC (the “Feeder Funds”) to 2.25% of net assets for each feeder fund. To the extent that the Manager reimburses or absorbs fees and expenses, it may seek payment of such amounts for three years after the year in which the expenses were reimbursed or absorbed. A Feeder Fund will make no such payment, however, if its total annual operating expenses exceed the expense limits in effect at the time the expenses are to be reimbursed or at the time these payments are proposed.
Rochdale Core Alternative Strategies
Master Fund LLC
Notes to Financial Statements (Unaudited)
5. | Concentration, Liquidity and Off-Balance Sheet Risk |
The Master Fund invests primarily in Investment Funds that are not registered under the 1940 Act and invest in and actively trade securities and other financial instruments using different strategies and investment techniques, including leverage, which may involve significant risks. These Investment Funds may invest a high percentage of their assets in specific sectors of the market in order to achieve a potentially greater investment return. As a result, the Investment Funds may be more susceptible to economic, political, and regulatory developments in a particular sector of the market, positive or negative, and may experience increased volatility of the Investment Funds' net asset value.
Various risks are also associated with an investment in the Master Fund, including risks relating to the multi-manager structure of the Master Fund, risks relating to compensation arrangements and risks relating to limited liquidity, as described below.
Redemption restrictions exist for Investment Funds whereby the Investment Managers may suspend redemption either in their sole discretion or other factors. Such factors include the magnitude of redemptions requested, portfolio valuation issues or market conditions. Redemptions are currently restricted for certain Investment Funds, as noted in the Schedule of Investments.
In the normal course of business, the Investment Funds in which the Master Fund invests trade various financial instruments and enter into various investment activities with off-balance sheet risk. These include, but are not limited to, short selling activities, writing option contracts, contracts for differences, and interest rate, credit default and total return equity swap contracts. The Master Fund's risk of loss in these Investment Funds is limited to the value of these investments reported by the Master Fund. The Master Fund itself does not invest directly in securities with off-balance sheet risk.
6. | Investment Transactions |
For the six months ended September 30, 2009, the aggregate purchases (excluding short-term securities) were $3,403,962 and sales of investments were $3,989,970.
7. | Subsequent Events |
On November 10, 2009, the Board approved terminating the Sub-Investment Advisory Agreement between Rochdale Investment Management and AIG Global Investment Corp. due to the sale by American International Group, Inc. of a portion of its investment advisory and asset management business to Bridge Partners, L.P., a Cayman Islands exempted limited partnership formed by Pacific Century Group. An interim Sub-Investment Advisory Agreement was approved with Bridge Partners, L.P. at this meeting. The approval of Bridge Partners, L.P. as the Master Fund’s sub-advisor is contingent upon the approval of an investor proxy vote expected to occur in the near future.
17
Financial Highlights | ||||||||||||
Period from | ||||||||||||
July 1, 2007 | ||||||||||||
(Commencement of | ||||||||||||
Operations) | ||||||||||||
Six Months Ended | Year Ended | through | ||||||||||
September 30, 2009(1) | March 31, 2009 | March 31, 2008 | ||||||||||
TOTAL RETURN - NET | 7.07 | % | (11.14 | %) | (5.01 | %) | ||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||
Net Assets, end of period (000's) | $ | 53,897 | $ | 50,359 | $ | 48,948 | ||||||
Portfolio Turnover | 7.98 | % | 19.34 | % | 1.39 | % | ||||||
Ratio of Net Investment Loss to Average Net Assets | (1.66 | %) | (1.55 | %) | (1.57 | %) | ||||||
Ratio of Expenses to Average Nets Assets | 1.69 | % | 1.67 | % | 1.86 | % | ||||||
(1) | Unaudited. | |||||||
Total return is calculated for all members taken as a whole and an individual member's return may vary from these Fund returns based on the timing of capital transactions. The total return for periods less than one year are not annualized. | ||||||||
Portfolio turnover represents the Master Fund's portfolio turnover for the periods shown above. The ratios of net investment loss to average net assets and ratios of expenses to average net assets are annualized for periods of less than one year. The ratios of expenses to average net assets do not include expenses of the Investment Funds in which the Master Fund invests. | ||||||||
The expense ratios are calculated for all members taken as a whole. The computation of such ratios based on the amount of expenses assessed to an individual member's capital may vary from these ratios based on the timing of capital transactions. |
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, will be available (i) without charge, upon request, by calling 1-800-245-9888; and (ii) on the SEC’s website at www.sec.gov.
Portfolio Holdings Disclosure
The Fund will file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q will be available on the SEC’s website at www.sec.gov, and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330.
19
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
The following table provides information as of September 30, 2009:
Name | Title | Length of Service | Business Experience During Past 5 Years | Role of Portfolio Manager |
Carl Acebes | Chairman and Director | Dec ’06 – Present | Founder and Chief Investment Officer of Rochdale Investment Management LLC. Founder of Rochdale Securities Corporation and the Rochdale Corporation. | Heads the team of investment professionals and is intricately involved in the firms day to day investment management and research work. |
Garrett R. D’Alessandro | President and Secretary | Dec ’06 – Present | President, CEO and Director of Research of Rochdale Investment Management LLC. | Directs portfolio management strategies and investment research efforts and determines companies that satisfy the firm’s criteria for inclusion in client portfolios. |
The following individuals at the Sub-Adviser have primary responsibility for managing the Fund.
Robert Discolo, CFA, is a Managing Director, Alternative Investments and Head of the Hedge Fund Strategies Group. Mr. Discolo joined AIGGIC in 1999. Mr. Discolo, who is also a member of AIGGIC’s Hedge Fund Investment Selection and Asset and Strategy Allocation Committees, has over 20 years experience with major financial institutions in various capacities relating to investment products, primarily hedge and private equity funds. Previously, he held positions at PaineWebber Inc., Bank Julius Baer, and Merrill Lynch & Co., where his responsibilities included creating portfolios of hedge funds for private and institutional clients, development of hedge fund and private equity products, oversight of business structure and development for hedge funds and hedge fund of funds, and managing the evaluation and selection process of hedge funds for both discretionary and advisory clients. Mr. Discolo was also President of the European Warrant Fund (a NYSE listed closed-end fund) and Julius Baer International Equity Fund. Mr. Discolo received a BS in accounting from St. John's University and an MBA from the Lubin School of Business at Pace University. He holds Series 7 and Series 24 licenses and he is a CFA and CAIA charterholder. Mr. Discolo is also a CPA and a member of the AICPA, CFA Institute, CAIA Institute, GARP, and NY State Society of Security Analysts.
Eileen Casey, CFA, CPA, is a Managing Director and Head of Hedge Fund Research, Hedge Fund Strategies Group. Ms. Casey joined AIGGIC in 1998, bringing with her over eight years of experience in accounting and investment management. She is responsible for coordinating portfolio manager research for the Hedge Fund Strategies Group, monitoring existing investments and making recommendations for investments to the Investment Selection Committee for portfolio construction. Ms. Casey is also involved in all aspects of the investment process including sourcing new managers, manager due diligence, risk management and portfolio construction. Previously, Ms. Casey was at Fischer, Francis, Trees & Watts, Inc. as the manager of their Client Services Group. Prior to that, she was with Neuberger & Berman and Arthur Andersen & Co. Ms. Casey is a CFA charterholder and also a CPA. She received a BS in Accounting and Finance from Fairfield University.
Vinti Khanna is a Managing Director, Hedge Fund Strategies Group. Ms. Khanna joined AIGGIC in 2002. She is the Assistant Director of Hedge Fund Research, with asset management experience since 1997. She is responsible for manager research, portfolio monitoring and structuring, and making investment recommendations to the Investment Selection Committee. Before joining AIGGIC, she was an Associate at Goldman Sachs Princeton, The Hedge Fund Strategies Group, from 1999 to 2002. Her responsibilities included conducting analysis on multi-manager hedge fund portfolios, analyzing and evaluating hedge fund managers using diverse strategies in alternative investments, and recommending new managers for funding. From 1997 to 1999, she was in the Emerging Markets Equities Group at Goldman Sachs Asset Management with a focus on Latin America. Ms. Khanna received a BA from the University Of Delhi, India and an MBA from SDA Bocconi in Milan, Italy. Ms. Khanna holds Series 7 and Series 63 licenses.
Holdings
None of the AIGGIC portfolio managers listed above own shares of the Fund.
Name | Number of Registered Investment Companies Managed and Total Assets for Such Accounts (Including The Trust) | Beneficial Ownership of Equity Securities In Trust | Number of Other Pooled Investment Vehicles Managed and Total Assets for Such Accounts | Number of Other Accounts Managed and Total Assets For Such Accounts |
Carl Acebes | 7, $359 million | $0 | 9, $412 million | 92, $39 million |
Garrett R. D’Alessandro | 7, $359 million | $0 | 9, $412 million | 185, $269 million |
Other Accounts Managed by the Portfolio Managers of the Sub-Adviser for the Master Fund.
The following table indicates the type (Registered Investment Company (“RIC”), Other Pooled Investments (“OPI”), and Other Accounts (“OA”)), number of accounts, and total assets of the accounts for which each Portfolio Manager of the Sub-Adviser had day-to-day responsibilities as of September 30, 2009. Please note that the Registered Investment Companies and twenty-seven Other Pooled Investments accounts are subject to performance-based fees (*).
No. of Accounts | Market Value | ||
Robert Discolo | RIC | 2 | $63,711,634 |
performance fee* | 2 | $63,711,634 | |
OPI* | 29 | $2,133,130,985 | |
performance fee* | 27 | $2,080,493,611 | |
OA | 6 | $2,115,558,302 | |
Eileen Casey | RIC | 2 | $63,711,634 |
performance fee* | 2 | $63,711,634 | |
OPI* | 29 | $2,133,130,985 | |
performance fee* | 27 | $2,080,493,611 | |
OA | 6 | $2,115,558,302 | |
Vinti Khanna | RIC | 2 | $63,711,634 |
performance fee* | 2 | $63,711,634 | |
OPI* | 29 | $2,133,130,985 | |
performance fee* | 27 | $2,080,493,611 | |
OA | 6 | $2,115,558,302 |
Mr. Acebes receives an annual salary established by the Manager. Salary levels are based on the overall performance of the Manager and not on the investment performance of any particular Portfolio or account. Like the Manager’s other employees, Mr. Acebes is eligible for a bonus annually. Such bonuses are also based on the performance of the Manager as a whole and not on the investment performance of any particular Portfolio or account. Additionally, Mr. Acebes owns a substantial portion of the Manager and, accordingly, benefits from any profits earned by the Manager.
Mr. D’Alessandro receives an annual salary established by the Manager. Salary levels are based on the overall performance of the Manager and not on the investment performance of any particular Portfolio or account. Like the Manager’s other employees, Mr. D’Alessandro is eligible for a bonus annually. Such bonuses are also based on the performance of the Manager as a whole and not on the investment performance of any particular Portfolio or account. Additionally, Mr. D’Alessandro owns a substantial portion of the Manager and, accordingly, benefits from any profits earned by the Manager.
Sub-Adviser Compensation Disclosure
Compensation for AIGGIG portfolio managers has both a salary and a bonus component. The salary component is a fixed base salary, which is generally based upon several factors, including experience and market levels of salary for such position. The bonus component is based both on a portfolio manager’s individual performance and the organizational performance of AIGGIC. The bonus component is generally calculated as follows: (1) 60% is linked to the management of a portfolio manager’s funds; (2) 20% is based on AIGGIC’s profitability; and (3) 20% is determined on a discretionary basis (including individual qualitative goals). For the 60% component, the measures for a portfolio manager may vary according to the day-to-day responsibilities of a particular portfolio manager. The measures comprise any combination of (a) total return measures, (b) benchmark measures and (c) peer group measures.
Conflicts of Interest Disclosure
AIG Global Investment Corp. (“AIGGIC”) aims to conduct its activities in such a manner that permits it to deal fairly with each of its clients on an overall basis in accordance with applicable securities laws and fiduciary obligations. In that regard, AIGGIC has adopted and implemented policies and procedures, including brokerage and trade allocation policies and procedures, which AIGGIC believes address the conflicts associated with managing multiple accounts for multiple clients (including affiliated clients). AIGGIC also monitors a variety of areas, including compliance with guidelines of the Fund and other accounts it manages and compliance with AIGGIC’s Code of Ethics. Furthermore, AIGGIC’s management periodically reviews the performance of a portfolio manager. Although AIGGIC does not track the time a portfolio manager spends on a single portfolio, AIGGIC does periodically assess whether a portfolio manager has adequate time and resources to effectively manage all of such portfolio manager’s accounts.
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.
The registrant’s nominating committee charter does not contain any procedures by which shareholders may recommend nominees to the registrant’s board of directors.
Item 11. Controls and Procedures.
(a) | The registrant’s President/Chief Executive Officer and Treasurer/Chief Financial Officer have reviewed the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the registrant and by the registrant’s service provider. |
(b) | There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 12. Exhibits.
(a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith. |
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable during the period. |
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and 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) Rochdale Core Alternative Strategies Fund LLC
By (Signature and Title) /s/ Garrett R. D’Alessandro
Garrett R. D’Alessandro, President
Date 12/09/2009
Pursuant to the requirements of the Securities Exchange Act of 1934 and 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/ Garrett R. D’Alessandro
Garrett R. D’Alessandro, President
Date 12/09/2009
By (Signature and Title) /s/ Edmund Towers
Edmund Towers, Treasurer
Date 12/09/2009