1. Organization
GAI Mesirow Insight Fund, LLC (formerly known as ASGI Mesirow Insight Fund, LLC) (the "Fund"), a Delaware limited liability company, has been registered as an investment company under the Investment Company Act of 1940 (the "1940 Act"), since August 1, 2008. The Fund is a closed-end management investment company and was previously operated as the master fund in a "master-feeder" structure. Effective as of the close of business on March 31, 2012 (the "Reorganization Date"), each of the feeder funds that invested in the Fund liquidated and distributed their Fund shares to their investors.
Through October 31, 2014, Alternative Strategies Group, Inc., a North Carolina corporation (the "Adviser") was the investment adviser to the Fund. Effective November 1, 2014, (the "Effective Date"), the Adviser was renamed as Wells Fargo Investment Institute, Inc. ("WFII"). The Adviser’s Global Alternative Investments ("GAI") division is responsible for continuing to manage the Fund under the advisory agreement. There was no change in control of the Adviser as a result of these changes. In conjunction with such changes at the Adviser, the Fund changed its legal name as noted above of the Effective Date. The Adviser has retained Mesirow Advanced Strategies, Inc. (the "Subadviser"), an Illinois corporation, to formulate and implement the Fund's investment program.
The Fund's investment objective is to provide attractive risk-adjusted returns with moderate volatility and moderate correlation to the broad equity and debt markets. Generally, the Fund pursues its investment objective principally by allocating its capital among various collective investment vehicles, commonly referred to as "hedge funds" and investments in equity securities (together, the "Investment Funds"), selected by the Subadviser in consultation with the Adviser. The Subadviser recommends the Investment Funds in which the Fund invests and the relative allocations to each Investment Fund to the Adviser and the Fund. The Fund may, in addition to investing in Investment Funds, also make investments directly, including, without limitation, for purposes of hedging certain exposures. The Subadviser may cause the Fund to maintain such cash holdings as the Subadviser may from time to time deem to be appropriate, and those holdings may at times comprise a material portion of the Fund's assets. There can be no assurance that the Fund's investment objective will be achieved or that the Fund will not incur losses.
The Fund's Board of Managers (the "Fund Board") provides broad oversight over the operations and affairs of the Fund, and has overall responsibility to manage and control the business affairs of the Fund, including the complete and exclusive authority to establish policies regarding the management, conduct, and operation of the Fund's business. The Fund Board exercises the same powers, authority and responsibilities on behalf of the Fund as are customarily exercised by the board of directors of a registered investment company organized as a corporation.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund and are in conformity with accounting principles generally accepted in the United States ("GAAP"). The accompanying financial statements of the Fund are stated in U.S. dollars.
The Fund is considered to be an investment company in accordance with Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") Topic 946, Financial Services – Investment Companies ("FASB ASC 946"), and is following the accounting and reporting guidance found within FASB ASC 946.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
(a) Valuation of investments in Investment Funds – The Fund values its investments in Investment Funds at fair value in accordance with procedures established in good faith by the Fund Board. The fair value ordinarily will be the value of an interest in an Investment Fund determined by the investment manager of the Investment Fund in accordance with the policies established by the Investment Fund, absent information indicating that such value does not represent the fair value of the interest. The Fund could reasonably expect to receive this amount from the Investment Fund if the Fund's interest were redeemed at the time of valuation, based on information reasonably available at the time the valuation is made and that the Fund believes to be reliable. Due to the nature of the investments held by the Investment Funds, changes in market conditions and the economic environment may significantly impact the value of the Investment Funds and the fair value of the Fund's interests in the Investment Funds. Furthermore, changes to the liquidity provisions of the Investment Funds may significantly impact the fair value of the Fund's interests in the Investment Funds. Under some circumstances, the Fund or the Adviser and Subadviser may determine, based on other information available to the Fund or the Adviser and Subadviser, that an Investment Fund's reported valuation does not represent fair value. If it is determined that the Investment Fund's reported valuation does not represent fair value, the Adviser and Subadviser may choose to make adjustments to reflect the fair value. During the year ended March 31, 2015, no such adjustments were deemed necessary by the Adviser and Subadviser. The Fund Board has also established procedures for the valuation of investment securities other than securities of Investment Funds, if any, held directly by the Fund.
Accounting Standards Update ("ASU") 2009-12 permits a reporting entity to measure the fair value of an investment that does not have a readily determinable fair value based on the net asset value per share (the "NAV"), or its equivalent, of the investment as a practical expedient, without further adjustment, unless it is probable that the investment would be sold at a value significantly different than the NAV. If the practical expedient NAV is not as of the reporting entity's measurement date, then the NAV should be adjusted to reflect any significant events that may change the valuation. In using the NAV as a practical expedient, certain attributes of the investment that may impact its fair value are not considered in measuring fair value. Attributes of those investments include the investment strategies of the investment and may also include, but are not limited to, restrictions on the investor's ability to redeem its investments at the measurement date and any unfunded commitments. The Fund is permitted to invest in alternative investments that do not have a readily determinable fair value, and as such, has elected to use the NAV as calculated on the reporting entity's measurement date as the fair value of the investment. A description of each investment in the Fund by strategy can be found in the tables within the Schedule of Investments.
(b) Income taxes – The Fund elects to be treated as, and qualifies as, a regulated investment company ("RIC") under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code") by distributing substantially all of its investment company taxable income and any net realized capital gains (after reduction for capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income taxes was required.
In accounting for income taxes, the Fund follows the guidance in FASB ASC 740, as amended by ASU 2009-06, Accounting for Uncertainty in Income Taxes. FASB ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. There were no uncertain tax positions as of March 31, 2015.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
The Fund utilizes a tax-year end of March 31 and the Fund's income and federal excise tax returns and all financial records supporting the 2012, 2013 and 2014 returns are subject to examination by the federal and Delaware revenue authorities.
(c) Security transactions and investment income – The Fund's transactions are accounted for on a trade-date basis. Realized gains and losses on the Fund's transactions are determined on the average cost basis. Interest income is recognized on the accrual basis. The Fund will indirectly bear a portion of the Investment Funds' income and expenses, including management fees and incentive fees charged by the Investment Funds. That income and those expenses are recorded in the Fund's financial statements as unrealized appreciation/(depreciation) and not as income or expense on the Statement of Operations or in the Financial Highlights.
(d) Cash and cash equivalents – The Fund maintains cash in an interest-bearing money market account, which, at times, may exceed federally insured limits. The Fund has not experienced any losses in such account and does not believe it is exposed to any significant credit risk on such bank deposits. All interest income earned will be paid to the Fund.
(e) Rebate income – A portion of the management fees charged by some of the investment managers of the Investment Funds that the Fund invests in is rebated to the Fund and is recognized on the accrual basis.
(f) Distributions – Distributions will be paid at least annually on limited liability company interests ("Shares") in an amount representing substantially all of the net investment income and net capital gains, if any, earned each year. Each investor (each, a "Member") will automatically be a participant under the Fund's Dividend Reinvestment Plan ("DRP") and have all income dividends and/or capital gains distributions automatically reinvested in Shares. Election by a Member not to participate in the DRP and to receive all income distributions and/or capital gain distributions, if any, in cash may be made by providing notice to the Member's broker or intermediary.
Distributions to Members from net investment income and net realized gains, if any, are recorded on the ex-dividend date. Such distributions are determined in conformity with income tax regulations, which may differ from GAAP. The timing and character of distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. To the extent that these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. Temporary differences do not require reclassifications.
(g) Use of estimates – The preparation of the 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 assets and liabilities at the date of the financial statements. Actual results could differ from those estimates.
(h) Fund expenses – The Fund bears all expenses incurred in its business and operations, and records them on an accrual basis. Expenses include, but are not limited to, administrative and extraordinary expenses and legal, tax, audit, escrow, fund accounting and printing expenses. Operating expenses also include: (1) investment related expenses, including, but not limited to, brokerage commissions, research fees, and other transactions costs; (2) interest and commitment expense on any borrowings; and (3) all costs and expenses associated with the registration of the Fund under, and in compliance with, any applicable federal and state laws.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
(i) Expense limitation agreement – Through December 31, 2015, the Adviser has contractually agreed to limit the Fund's total annualized ordinary fund-wide operating expenses to 2.65%. In addition, Class A shares of beneficial interest ("Class A Shares") are subject to class-specific expenses. Class I shares of beneficial interest ("Class I Shares") have no class-specific expenses. Members holding Class A Shares will pay (in addition to up to 2.65% in ordinary fund-wide operating expenses) an additional annualized amount of up to 0.75% (the "Investor Distribution and Servicing Fee"), for a total annualized rate of up to 3.40%. The Adviser is authorized to recoup expenses attributable to Class A Shares waived in prior periods, provided that ordinary fund-wide operating expenses are less than the annual limitation rate in place at the time such expenses were borne by the Adviser (or affiliated predecessor) and that any such recoupment is limited to expenses incurred within three years of the end of the fiscal year during which the expenses were waived. No expenses were reimbursed to the Fund by the Adviser during the year ended March 31, 2015. However, expenses in the amount of $17,815 were recouped by the Adviser for the year ended March 31, 2015, and are included in the Statement of Operations.
As of March 31, 2015, amounts subject to recoupment within three years after the end of the fiscal year in which the Adviser reimbursed such expenses were as follows:
| Class A |
Amount | Date |
| $14,984 | March 31, 2016 |
As of March 31, 2015, the amount of expenses recoupable by the Adviser and payable by the Fund was $1,959.
(j) Third party service providers – BNY Mellon Investment Servicing (US) Inc. (the "Administrator") serves as the Administrator to the Fund. Under an agreement made between the Administrator and the Fund, the following annual fee will be calculated upon the Fund's beginning of the month's net assets and paid monthly:
0.085% of the first $200 million of beginning of month net assets;
0.070% of the next $200 million of beginning of month net assets; and
0.050% of beginning of month net assets in excess of $400 million.
The Fund also pays the Administrator certain fixed fees for financial statement preparation and other services.
The Bank of New York Mellon (the "Custodian") serves as the Custodian to the Fund. Under an agreement made between the Custodian and the Fund, 0.02% per annum is paid to the Custodian based on gross ending assets at the end of each month.
The Fund also pays the Custodian certain fixed fees for transactions and other services.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
(k) Accounting pronouncements – In May 2015, the FASB issued ASU No. 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). ASU 201507 eliminates the requirement to categorize investments in the fair value hierarchy if their fair value is measured at net asset value (NAV) per share (or its equivalent) using the practical expedient. Reporting entities must provide sufficient information to enable users to reconcile total investments in the fair value hierarchy and total investments measured at fair value in the statement of assets, liabilities, and net assets. Additionally, the scope of current disclosure requirements for investments eligible to be measured at NAV will be limited to investments to which the practical expedient is applied. Reporting entities are required to adopt the ASU retrospectively. The standard is effective for interim and annual reporting periods for public entities beginning after December 15, 2015, and for all other entities for interim and annual reporting periods beginning after December 15, 2016, with early adoption permitted. At this time, management is evaluating the implications of adopting this change and its impact on the financial statements, however no material impact is expected.
3. Related Party Transactions
Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making financial or operational decisions. Fees incurred with related parties during the year are disclosed in the Statement of Operations unless otherwise stated and include the following:
(a) Investor Distribution and Servicing Fee – Under the terms of the wholesaling and placement agent agreement between the Fund and Global Alternative Investment Services, Inc. (formerly known as Alternative Strategies Brokerage Services, Inc.) (the "Placement Agent"), the Placement Agent is authorized to retain brokers, dealers and certain financial advisers for distribution services and to provide ongoing investor services and account maintenance services to Members purchasing Class A Shares that are their customers.
The Fund pays an Investor Distribution and Servicing Fee out of the net assets of Class A Shares at the annual rate of 0.75% of the aggregate net asset value of Class A Shares that have been outstanding for more than twelve (12) months, calculated and accrued as of the last day of each calendar month (before any repurchases of Class A Shares) and paid to the Placement Agent quarterly. The Investor Distribution and Servicing Fee is charged on an aggregate class-wide basis, and Members in Class A Shares will be subject to the Investor Distribution and Servicing Fee regardless of how long they have held their Class A Shares. The Investor Distribution and Servicing Fee is paid to the Placement Agent to reimburse it for payments made to investor service providers and for the Placement Agent's ongoing investor servicing. Pursuant to the conditions of an exemptive order issued by the Securities and Exchange Commission ("SEC"), the Investor Distribution and Servicing Fee is paid pursuant to a plan adopted by the Fund in compliance with Rule 12b-1 under the 1940 Act with respect to Class A Shares. Class I Shares are not subject to the Investor Distribution and Servicing Fee.
For the year ended March 31, 2015, the Fund expensed Investor Distribution and Servicing Fees of $37,387. As of March 31, 2015, there were $8,855 of Investor Distribution and Servicing Fees payable to the Placement Agent.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
(b) Placement fees – Under the terms of the wholesaling and placement agent agreement between the Fund and the Placement Agent, the Placement Agent’s sub-agents are entitled to receive a placement fee based on the gross amount of Class A Shares purchased by a Member (the "Class A Share Placement Fee"). In determining the applicable Class A Share Placement Fee at the time of investment in Class A Shares, the amount of a Member's investment in Class A Shares (whether initial or additional) will be aggregated with the value of (i) the Member's investments in shares subject to a placement fee of any collective investment vehicle advised by the Adviser and (ii) investments in shares subject to a placement fee of any collective investment vehicle advised by the Adviser held by the Member's "Immediate Family Members" (as defined in the Fund's subscription agreement). The Member must indicate in the subscription agreement who such "Immediate Family Members" are and the amounts of their investments.
The Class A Share Placement Fee shall be deducted from the initial or additional subscriptions provided by the Member and is as follows:
Current Value of Class A Shares | Placement Fee |
Less than $500,000 | | 2.00% |
$500,000 to less than $1,000,000 | | 1.00% |
$1,000,000 or more | | 0.50% |
For the year ended March 31, 2015, there were no Class A Share Placement Fees paid to sub-agents of the Placement Agent by Members.
(c) Investment advisory fees – Amounts paid, and payable, to the Adviser for the year ended March 31, 2015 are disclosed in Note 4.
(d) Fund Board fees and expenses – For the year ended March 31, 2015, the Fund incurred Fund Board fees, including out of pocket expenses, of $58,692. As of March 31, 2015, amounts payable to the Fund Board were $4,296.
4. Investment Advisory Agreement
The Adviser is registered with the SEC as an investment adviser under the Advisers Act. The Adviser also serves as investment adviser to private investment funds, some of which utilize a multi-manager, multi-strategy investment approach. The Adviser is registered with the Commodity Futures Trading Commission ("CFTC") as a commodity pool operator ("CPO") and a commodity trading advisor ("CTA"). Although the Adviser is registered as a CPO it intends to rely on the no-action relief afforded by CFTC Staff Letter No. 12-38 and the exception from CPO registration in CFTC Regulation 4.5. Therefore, the Adviser is not required to deliver a CFTC disclosure document to the Fund’s investors, nor is it required to provide Fund investors certified annual reports that satisfy the requirements of CFTC regulations generally applicable to registered CPOs. As of March 31, 2015, there is no certainty that the Adviser or other parties will be able to rely on these exclusions and exemptions in the future. Additional CFTC regulation (or a decision to no longer use strategies that trigger additional regulation) may cause the Fund to change its investment strategies or to incur additional expenses.
In addition, the CFTC, in consultation with other federal regulators, has proposed margin requirements for uncleared swap transactions. If adopted, the proposed requirements could increase the amount of margin necessary to conduct uncleared swap transactions, limit the types of assets that can be used as collateral for such transactions, and impose other restrictions. The proposed rule may also affect the ability of the Fund to use swap agreements to implement the Fund’s investment strategy and may substantially increase regulatory compliance costs for the Adviser and the Fund. As of March 31, 2015, the actual margin requirements and ultimate impact of the rule proposals on the Fund are uncertain.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
Pursuant to the terms of the advisory agreement between the Fund and the Adviser, the Adviser is responsible for selecting an investment subadviser to manage the Fund’s assets and to monitor such management of the Fund’s assets in accordance with the Fund’s investment objective and related investment policies. Subject to the approval of the Fund’s Board, the Adviser may elect to manage the Fund’s investments and determine the composition of the assets of the Fund.
Pursuant to an agreement with the Adviser and the Fund, the Subadviser is responsible for implementing a continuous investment program for the assets of the Fund, monitoring of the investment activities and holdings of the Fund, and for the selection of Investment Funds as well as direct investments of the Fund, in consultation with the Adviser.
The Fund accrues monthly and pays the Adviser each quarter a fee ("Management Fee") equal to one-twelfth of 1.25% of the aggregate net asset value of outstanding shares of the Fund calculated as of the last day of each month (before any repurchases of shares). The Management Fee incurred by the Fund for the year ended March 31, 2015 was $1,212,076. As of March 31, 2015, the Management Fee payable to the Adviser was $280,245. The Adviser pays the Subadviser a portion of the Management Fee as described in the subadvisory agreement among the Adviser, Subadviser, and the Fund.
5. Investment Fund Transactions
Purchases of investments in Investment Funds for the year ended March 31, 2015 were $26,225,000. Proceeds from sales of investments in Investment Funds for the year ended March 31, 2015 were $51,970,732.
6. Investments in Investment Funds
The Adviser and Subadviser monitor the performance of Investment Funds. Such monitoring procedures include, but are not limited to, monitoring market movements in the Investment Funds' portfolio investments, comparing performance to industry benchmarks, in depth conference calls and site visits with Investment Fund investment managers.
The Subadviser actively allocates, and from time to time reallocates, the Fund's assets among the Investment Funds. While redemptions are permitted as noted in the table below for the Investment Funds, such redemptions may be suspended at any time upon the election of the management of the Investment Funds.
The investment managers of the Investment Funds are not affiliated with the Adviser or the Subadviser.
Complete information about the underlying investments held by the Investment Funds is not readily available, so it is unknown whether the Fund, through its aggregate investment in Investment Funds, holds any single investment whereby the Fund's proportionate share exceeds 5% of the Fund's net assets as of March 31, 2015.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
The following table summarizes the Fund's investments in the Investment Funds during the year ended March 31, 2015, none of which were related parties. The Fund indirectly bears fees and expenses as an investor in the Investment Funds. Each investor of each Investment Fund pays the investment manager of the Investment Fund a management fee. The fee rate varies and ranges from 1.00% to 2.10% per annum of the net asset value of that Investment Fund. Additionally, the investment manager of each Investment Fund will generally receive an incentive fee/allocation from each investor ranging from 16% to 20% (subject to any applicable thresholds) of any net new appreciation of that Investment Fund as of the end of each performance period for which an incentive fee/allocation is calculated.
| Investments in Investment Funds | | % of Fund's Total Fair Value | | Fair Value | | | Net Change in Unrealized Appreciation/ (Depreciation) | | | Realized Gain (Loss) | | Redemptions Permitted* | Primary Geographic Location |
| LiquidAlts Omega Fund | | | 10.4 | % | | $ | 7,247,921 | | | $ | (252,079 | ) | | $ | — | | Daily | Channel Islands |
| LibreMax Offshore Fund, Ltd. | | | 8.5 | | | | 5,949,855 | | | | 456,037 | | | | — | | Quarterly | Cayman Islands |
| Myriad Opportunities Offshore Fund Ltd. | | | 7.9 | | | | 5,515,744 | | | | 515,744 | | | | — | | Quarterly | Cayman Islands |
| Winton Futures Fund Ltd. | | | 7.6 | | | | 5,301,511 | | | | 749,724 | | | | — | | Monthly | British Virgin Islands |
| ValueAct Capital International II, LP | | | 7.5 | | | | 5,209,354 | | | | 622,380 | | | | — | | Annually | British Virgin Islands |
| Axonic Credit Opportunities Overseas Fund, Ltd. | | | 7.4 | | | | 5,116,319 | | | | 282,157 | | | | 198,698 | | Quarterly | Cayman Islands |
| Discovery Global Macro Fund Ltd. | | | 7.3 | | | | 5,089,935 | | | | (210,065 | ) | | | — | | Quarterly | Cayman Islands |
| Corvex Offshore Ltd. | | | 6.8 | | | | 4,751,719 | | | | (10,317 | ) | | | 1,016,546 | | Quarterly | Cayman Islands |
| Owl Creek Overseas Fund Ltd. | | | 6.4 | | | | 4,473,132 | | | | (233,023 | ) | | | — | | Annually | Cayman Islands |
| Trend Macro Offshore Ltd. | | | 6.4 | | | | 4,421,852 | | | | 71,852 | | | | — | | Monthly | Cayman Islands |
| King Street Europe, Ltd. | | | 5.8 | | | | 4,049,272 | | | | (461,925 | ) | | | 517,537 | | Quarterly | British Virgin Islands |
| HFR RVA Kayne MLP 1.25x Fund | | | 4.8 | | | | 3,367,437 | | | | (143,425 | ) | | | — | | Weekly | Bermuda |
| Senator Global Opportunity Offshore Fund Ltd. | | | 4.8 | | | | 3,336,184 | | | | 327,385 | | | | — | | Quarterly | Cayman Islands |
| Naya Fund | | | 4.3 | | | | 3,011,868 | | | | (162,418 | ) | | | 303,614 | | Quarterly | Cayman Islands |
| HFR CA Lazard Rathmore Fund | | | 4.1 | | | | 2,819,251 | | | | (352,345 | ) | | | 294,635 | | Weekly | Bermuda |
| Balestra Global Ltd. | | | — | | | | — | | | | 328,573 | | | | (480,985 | ) | Quarterly | Cayman Islands |
| dbX-Global Long/Short Equity 7 Fund | | | — | | | | — | | | | (911,954 | ) | | | 845,247 | | Monthly | Channel Islands |
| dbX-US Long/Short Equity 12 Fund | | | — | | | | — | | | | (2,425,688 | ) | | | 2,334,577 | | Monthly | Channel Islands |
| HFR ED Global Fund | | | — | | | | — | | | | (1,619,888 | ) | | | 1,554,302 | | Monthly | Bermuda |
| Kepos Alpha Fund, Ltd. | | | — | | | | — | | | | 244,164 | | | | (86,977 | ) | Quarterly | Cayman Islands |
| KKR Credit Alpha Fund | | | — | | | | — | | | | (315,456 | ) | | | 344,292 | | Monthly | Cayman Islands |
| MKP Opportunity Offshore, Ltd. | | | — | | | | — | | | | (279,347 | ) | | | 296,283 | | Monthly | Cayman Islands |
| Southpoint Qualified Offshore Fund, Ltd. | | | — | | | | — | | | | (384,855 | ) | | | 421,450 | | Quarterly | Cayman Islands |
| Taylor Woods Fund Ltd. | | | — | | | | — | | | | (258,579 | ) | | | 188,424 | | Quarterly | Cayman Islands |
| Total Investments in Investment Funds | | | 100.0 | % | | $ | 69,661,354 | | | $ | (4,423,348 | ) | | $ | 7,747,643 | | | |
* Subject to the terms of the offering memorandums of the Investment Funds.
While redemptions are permitted as noted in the table above for the Investment Funds, such redemptions may be deferred or suspended at any time upon the election of the investment manager of the Investment Fund. Moreover, certain Investment Funds may amend their liquidity provisions or otherwise further restrict the Fund's ability to make withdrawals from those Investment Funds. No such restrictions were in place as of or during the year ended March 31, 2015. The Fund had no unfunded capital commitments as of March 31, 2015.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
The following is a summary of the investment strategies of the Investment Funds held in the Fund as of March 31, 2015:
Credit Strategies. Credit strategies commonly invest long and short in debt obligations of public and private companies to provide exposure to credit and/or volatility risks associated with those asset classes. For example, credit funds may invest long and short in debt obligations of companies that are in a period of stress due to, for instance, operational difficulties, financial duress, or bankruptcy proceedings. Long-biased credit funds typically have a net long exposure greater than 50%. Long/short credit funds generally maintain net exposure between 50% short and 50% long. Short-biased credit funds generally maintain a net short exposure greater than 50% net short. Multi-strategy credit funds invest across multiple credit strategies. An Investment Fund may make opportunistic allocations of capital across various structured product assets. Structured product transactions typically involve securities that entitle an Investment Fund to receive payments based primarily on the cash flows or market value of a specified pool of financial assets. Examples of structured product investments include collateralized bond, loan, and debt obligations as well as synthetic positions replicating such obligations, residential mortgage-backed securities, commercial mortgage-backed securities, and other asset-backed securities.
Diversified/Multi-Strategies. Diversified/Multi-Strategy Investment Funds may employ any of the strategies described herein, as well as any other strategy the investment manager determines presents the opportunity for profit in light of current market conditions.
Event-Driven Strategies. Event driven strategies generally seek to profit from anticipated outcomes of company-specific or transaction-specific events. Company events that serve as investment catalysts for event managers include mergers, acquisitions, transfers of assets, tender offers, exchange offers, recapitalizations, liquidations, divestitures, spin-offs, equity restructurings, and reorganizations. Event driven strategies rely upon the accurate forecasting of the outcome of particular events in addition to high quality valuation analyses. Investment Funds employing event strategies may invest long, short, or both, and generally do not rely on market direction for results. Examples of event driven strategies include merger arbitrage, in which an Investment Fund will be long the stock of a merger target while shorting the stock of the acquiring company, and event equity, in which an Investment Fund invests in a spin-off, recapitalization, or similar event that (unlike merger arbitrage) does not have a defined time frame or announced target price.
Hedged Equity Strategies. Hedged equity Investment Funds primarily invest in stocks of companies of varying market capitalizations. Such companies are primarily listed in the U.S., European, and developed Asian equities markets, although Investment Funds may invest in equity instruments in other regions, and may also invest a portion of assets in certain non-equity related securities. Hedged equity Investment Funds generally take both long and short positions or utilize other hedged investment approaches designed to control (but not eliminate) market exposure. Hedged equity Investment Funds tend to have a defined, fundamental investment philosophy, much like that of a traditional equity fund, and they generally implement that philosophy on both the long and short sides of the market. The hedged equity strategies to which the Fund may have exposure include opportunistic, loose neutral, long-biased, and short-biased. Opportunistic Investment Funds take both long and short positions in equity securities and derivatives at levels of exposure that vary depending on their investment outlook. Opportunistic strategies are typically expected to profit from stock picking skills, as well as portfolio risk management, and may use fundamental, bottom-up, and top-down sector and macro analysis. Opportunistic Investment Funds may have net short exposure to equity markets at points in time, but typically are expected to have a long bias over a market cycle and many will have net exposures in the 20% to 50% range. Loose neutral strategies generally involve being simultaneously long and short equity portfolios of the same size within a geographic region or sector and are typically intended to profit from market inefficiencies. Loose neutral managers typically maintain net exposure between 20% short and 20% long. Long-biased Investment Funds typically invest both long and short, but have a net long exposure to the equity markets (generally greater than 50% to 70% net long, although the Subadviser may invest with Investment Funds that have 100% long exposure), such that their strategies can be expected to perform better in rising markets. Investment Funds may utilize niche strategies, focusing on growth or value stocks, small or large capitalization companies, particular industries, or a particular geographical region or sector. Short-biased Investment Funds are a sub-set of hedged equity strategies that typically maintain net short exposure to equity markets by taking short positions in companies whose equities they expect to decline in price. The Subadviser generally invests in short-biased managers in order to offer greater diversification of short selling exposure. The Subadviser may utilize short-biased Investment Funds to decrease or hedge long equity exposure resulting from long positioning of other Investment Funds. Short exposure may be taken through the use of short-selling, or through exchange traded or over-the-counter derivative instruments such as futures, options, and swaps.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
Macro and Commodity Strategies. Macro and commodity strategies typically engage in an analysis of economic, political, and financial market conditions incorporating a variety of macro and micro considerations including, but not limited to, the business cycle, central bank policy, the regulatory and political environment, demographics, and fiscal policy in an effort to identify investment opportunities across a wide range of investment instruments. The macro and commodity investment approach is wide ranging, attempting to identify potential market opportunities irrespective of market sector, instrument or asset traded, or geography. Investment Funds may use a number of trading strategies in an attempt to achieve their investment objectives including, but not limited to, futures investing, equity long/short strategies, and credit-related strategies. The various techniques that Investment Funds employ may be used as independent profit opportunities, as well as to hedge existing positions. To implement macro and commodity strategies, Investment Funds may trade securities of all kinds, derivative instruments (including, but not limited to, forwards, swaps, swaptions, collars, caps, floors, and other types of over-the-counter derivatives, as well as exchange-traded derivatives, including options, futures, and options on futures) on currencies, interest rates, commodities, and other types of financial and non-financial underlyings, or other transactions with similar substantive or economic effect, and other investments of all types and kinds.
Relative Value Strategies. Relative value strategies encompass a wide range of investment techniques that are intended to profit from pricing inefficiencies. Relative value strategies generally involve taking a position in one instrument and simultaneously taking an offsetting position in a related instrument in an attempt to profit from incremental changes in the price differential. Relative value strategies are implemented in a manner intended to substantially limit, if not entirely remove, the impact of market direction on performance. Examples of relative value strategies are (a) convertible bond arbitrage, in which an Investment Fund is long a convertible bond and short the issuer's common stock in an attempt to profit from the mispricing between the two securities, (b) volatility arbitrage, in which an Investment Fund invests in long and short volatility positions, typically through options, (c) capital structure arbitrage, in which an Investment Fund is long an issuer's security that is senior or junior to securities elsewhere in the issuer's capital structure that the Investment Fund takes a short position in, with an expectation that the relative prices of the issuer's two securities will converge, and (d) strict market neutral, which is typically a quantitative strategy in which long and short positions are taken in equal weight, with the aim of removing market bias.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
7. Fair Value Measurements
The Fund measures 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. The three levels of the fair value hierarchy are:
| · | Level 1 – Unadjusted quoted prices for identical securities in an active market. Since valuations are based on quoted prices that are readily-accessible at the measurement date, valuation of these securities does not entail a significant degree of judgment. |
| · | Level 2 – Quoted prices in non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include pricing models whose inputs are observable or derived principally from or corroborated by observable market data. |
| · | Level 3 – Prices or valuation techniques that require inputs that are both significant to the fair value and unobservable. Little if any market activity exists for Level 3 securities. |
The Adviser considers subscription and redemption rights, including any restrictions on the disposition of the interest, in its determination of the fair value of investments in Investment Funds. Investments in Investment Funds and equity securities are included in Level 1 of the fair value hierarchy if an unadjusted price can be obtained from a reputable, independent third party pricing source as of the measurement date. Investments in Investment Funds are included in Level 2 of the fair value hierarchy if the Fund can provide the appropriate redemption notice and can redeem its investment within 90 days of fiscal year end. All other investments in Investment Funds are classified as Level 3.
The Fund recognizes transfers into and out of the levels indicated above at the end of the reporting period.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of March 31, 2015 is as follows:
| Description | | Total Fair Value at March 31, 2015 | | | Level 1 Quoted Prices | | | Level 2 Significant Observable Inputs | | | Level 3 Significant Unobservable Inputs | |
| Investment Funds | | | | | | | | | | | | |
| Credit | | $ | 15,115,446 | | | $ | — | | | $ | 15,115,446 | | | $ | — | |
| Diversified/Multi-Strategy | | | 5,515,744 | | | | — | | | | 5,515,744 | | | | — | |
| Event-Driven | | | 7,809,316 | | | | — | | | | 7,809,316 | | | | — | |
| Hedged Equity | | | 23,588,299 | | | | — | | | | 18,378,945 | | | | 5,209,354 | |
| Macro and Commodity | | | 14,813,298 | | | | | | | | 14,813,298 | | | | — | |
| Relative Value | | | 2,819,251 | | | | — | | | | 2,819,251 | | | | — | |
| | | | | | | | | | | | | | | | | |
| Investments in Securities | | | | | | | | | | | | | | | | |
| Equity | | $ | 3,842,500 | | | $ | 3,842,500 | | | $ | — | | | $ | — | |
| Total Investments | | $ | 73,503,854 | | | $ | 3,842,500 | | | $ | 64,452,000 | | | $ | 5,209,354 | |
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
There were no transfers between Level 1 and Level 2 for the year ended March 31, 2015.
The following is a reconciliation of Level 3 investments for which the Fund cannot redeem its investment within 90 days of fiscal year end:
| | Balance, as of April 1, 2014 | | Realized gain/(loss) | | Change in unrealized appreciation/ (depreciation) | | Purchases | | (Sales) | | Transfers into Level 3 | | Transfers out of Level 3 | | Balance, as of March 31, 2015 | |
| Investments in | | | | | | | | | | | | | | | | |
| Investment Funds | | | | | | | | | | | | | | | | |
| Diversified/Multi- | | | | | | | | | | | | | | | | |
| Strategy | $ | – | | $ | – | | $ | 515,744 | | $ | 5,000,000 | | $ | – | | $ | – | | $ | (5,515,744 | ) | $ | – | |
| Hedged Equity | | 4,161,974 | | | – | | | 622,380 | | | 425,000 | | | – | | | – | | | – | | | 5,209,354 | |
| Macro and Commodity | | – | | | – | | | (210,065 | ) | | 5,300,000 | | | – | | | – | | | (5,089,935 | ) | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total | $ | 4,161,974 | | $ | – | | $ | 928,059 | | $ | 10,725,000 | | $ | – | | $ | – | | $ | (10,605,679 | ) | $ | 5,209,354 | |
All transfers out of Level 3 during the period were due to expiry of lock-up terms on certain Investment Funds and a portion of the Fund's investment in these Investment Funds now being available for withdrawal within 90 days of fiscal year end or due to unadjusted prices now being available from a reputable, independent third party pricing source as of the measurement date to determine fair value.
The following table is the net change in unrealized appreciation/(depreciation) for the year ended March 31, 2015 related to Level 3 investments in Investment Funds still held by the Fund as of March 31, 2015:
Investments in Investment Funds | | Net change in
unrealized
appreciation/
(depreciation) |
| | | | | |
Hedged Equity | | $ | 622,380 | |
8. Capital Share Transactions
The Fund offers two separate classes of Shares, Class I Shares and Class A Shares, to investors eligible to invest in the Fund.
The Fund accepts initial and additional subscriptions for shares on subscription dates, which occur only once each month, effective as of the beginning of the first calendar day of the month at the relevant net asset value per Share of the Fund as of the end of the last calendar day of the prior month. The Fund Board may discontinue accepting subscriptions at any time.
To provide a limited degree of liquidity to Members, the Fund may from time to time offer to repurchase shares pursuant to written tenders by Members. Tender offers will be made at such times, in such amounts and on such terms as may be determined by the Fund Board in its sole discretion.
The Adviser expects to recommend ordinarily that the Fund Board authorize the Fund to offer to repurchase Shares from Members quarterly.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
For the year ended March 31, 2015, transactions in the Fund's shares were as follows:
| | | Subscriptions (in Shares) | | Subscriptions | | Reinvestment of Distributions (in Shares) | | Reinvestment of Distributions | | Tenders (in Shares) | | Tenders |
Class I | | | 3,629.619 | | | $ | 3,825,000 | | | | 3,040.482 | | | $ | 3,057,577 | | | | (28,146.488 | ) | | $ | (29,468,713 | ) |
Class A | | | – | | | | – | | | | 237.483 | | | | 232,714 | | | | (560.118 | ) | | | (566,357 | ) |
| | | | 3,629.619 | | | $ | 3,825,000 | | | | 3,277.965 | | | $ | 3,290,291 | | | | (28,706.606 | ) | | $ | (30,035,070 | ) |
9. Contingencies
In the normal course of business, the Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown, as any such exposure would result from future claims that may be, but have not yet been, made against the Fund based on events which have not yet occurred. However, based on the Adviser's and Subadviser's experience, the Fund believes the risk of loss from these arrangements to be remote.
10. Risk Factors
An investment in the Fund involves various risks. The Fund allocates assets to Investment Funds that invest in and actively trade securities and other financial instruments using a variety of strategies and investment techniques with significant risk characteristics, including the risks arising from the volatility of the equity, fixed income, commodity and currency markets, the risks of borrowings and short sales, the risks arising from leverage associated with trading in the equities, currencies and over-the-counter derivatives markets, the illiquidity of derivative instruments and the risk of loss from counterparty defaults. No guarantee or representation is made that the investment program will be successful.
11. Line of Credit Arrangement
The Fund maintains a committed, secured line of credit (the "Facility") with Deutsche Bank AG ("DB"). The Facility had the following terms: (a) interest rate of applicable London Interbank Offered Rate ("LIBOR") rate plus 1.00% per annum and (b) a commitment fee of 0.65% per annum of the maximum principal amount. Effective January 30, 2015, the committed amount was reduced from $15,000,000 to $12,000,000.
For the year ended March 31, 2015, the Fund had weighted average borrowings of $533,699. The weighted average interest rate on borrowings for the year ended March 31, 2015 was 0.00343%. As of March 31, 2015, there was no outstanding balance under the line of credit. Interest of $6,482 was expensed and there was no outstanding interest fee payable as of March 31, 2015.
For the year ended March 31, 2015, commitment fees of $95,604 were expensed and are included in the accompanying Statement of Operations. Commitment fees of $13,000 were payable to DB as of March 31, 2015.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
The Fund is required to meet certain financial covenants, such as maintaining a target collateralization rate of 25%, as defined in the credit facility to be the sum of the aggregate principal amount outstanding on the last business day of each month plus the accrued but unpaid interest amounts (as of such date) divided by the gross portfolio values as of the last business day of each month. The Fund met all financial covenants as of and during the year ended March 31, 2015.
12. Federal Income Tax Information
For each taxable year that the Fund qualifies as a RIC under Subchapter M of the Code, the Fund will not be subject to federal income tax on that part of its taxable income that it distributes to Members. Taxable income consists generally of net investment income and net capital gains. The Fund will distribute substantially all of its net investment income and net capital gains to Members.
Distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These book-to-tax differences are either temporary or permanent in nature.
The following reclassifications were a result of tax differences relating to investments in partnership securities and passive foreign investment companies. Net assets were not affected by these reclassifications.
For the year ended March 31, 2015, the Fund decreased accumulated undistributed net investment loss by $4,082,703, decreased accumulated realized gain/(loss) by $3,932,866 and decreased paid-in-capital by $149,837.
Distributions on the Fund's Shares are generally subject to federal income tax to the extent they do not exceed the Fund's earnings and profits. Such distributions are likely to occur in respect of Shares purchased at a time when a Fund's net asset value reflects gains that are either unrealized, or realized but not distributed. Such realized gains may be required to be distributed even when the Fund's net asset value also reflects unrealized losses. The tax basis of distributable earnings as of March 31, 2015 was as follows:
Ordinary Income | $2,697,792 | |
| Post-October capital loss deferral | $(636,964) | |
Unrealized appreciation/(depreciation) | $323,823 | |
For the year ended March 31, 2015, the tax character of distributions paid by the Fund was $3,171,170 of ordinary income and $1,058,322 of long-term capital gains. Distributions from net investment income and short-term capital gains are treated as ordinary income dividends for federal tax purposes.
For the year ended March 31, 2015, the Fund will elect to defer post-October capital losses of $636,964. Under federal law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following year.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Notes to Financial Statements (continued)
March 31, 2015
13. Subsequent Events
The Adviser has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available to be issued, and has determined that there were no events that required disclosure, other than those listed below.
Subsequent to year end, the Fund received additional subscriptions of $100,000.
25
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Supplemental Information (unaudited)
Tax Information
For the year ended March 31, 2015, certain dividends paid by the Fund have been designated as qualified for the reduced tax rate as provided for by the Jobs and Growth Tax Relief Act of 2003. Of the ordinary income distributions paid during the year, 10.61% qualify for the reduced tax rate. The Fund did distribute $1,058,322 of long-term capital gain dividends.
For the year ended March 31, 2015, certain dividends paid by the Fund qualify for the corporate dividends received deduction. Of the ordinary income distributions paid during the year, 7.48% qualify for the corporate dividends received deduction.
The Board of Managers of the Fund
The Fund Board provides broad oversight over the operations and affairs of the Fund, and has overall responsibility to manage and control the business affairs of the Fund, including the complete and exclusive authority to establish policies regarding the management, conduct, and operation of the Fund's business. The Fund Board exercises the same powers, authority and responsibilities on behalf of the Fund as are customarily exercised by the board of directors of a registered investment company organized as a corporation.
The Members of the Fund's Board of Managers ("Managers") are not required to hold Shares of the Fund. A majority of the Managers are persons who are not "interested persons" (as defined in the 1940 Act) of the Fund (collectively, the "Independent Managers"). The Independent Managers perform the same functions for the Fund as are customarily exercised by the non-interested directors of a registered investment company organized as a corporation or trust.
The identity of the Independent Managers and officers of the Fund and brief biographical information regarding each such person during the past five years is set forth below. Each Independent Manager who is deemed to be an "interested person" of the Fund, as defined in the 1940 Act (an "Interested Manager"), is indicated by an asterisk. The business address of each person listed below is 401 South Tryon Street, Charlotte, NC 28202.
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Supplemental Information (unaudited) (continued)
Name and Age(1) | Position(s) With the Fund | Term of Office and Length(2) of Time Served | Principal Occupation(s) During Past Five Years | Number of Portfolios In Fund Complex(3) Overseen by Managers | Other Directorships Held by Manager During the Last 5 Years |
Adam Taback* Age: 44 | Manager, President | Since 2011 | Senior Vice President, Wells Fargo Investment Institute, Inc., since 2001; President, Wells Fargo Alternative Asset Management, LLC, 2011; President, Global Alternative Investment Services, Inc., since 2010. | 4 | Chairman of the Board of Trustees, GAI Agility Income Fund, since 2010: Chairman of the Board of Managers, GAI Aurora Opportunities Fund, LLC, since 2010; Chairman of the Board of Managers, GAI Corbin Multi-Strategy Fund, LLC, since 2010. |
James Dean Age: 59 | Manager | Since 2011 | Executive Vice Chancellor and Provost, UNC at Chapel Hill, since 2013; Dean, Kenan-Flagler Business School, UNC Chapel Hill, since 1998-2013. | 4 | Trustee, GAI Agility Income Fund, since 2010; Member of Board of Managers, GAI Aurora Opportunities Fund, LLC, since 2010; Member of Board of Managers, GAI Corbin Multi-Strategy Fund, LLC, since 2010. |
James Dunn Age: 42 | Manager | Since 2011 | Chief Executive Officer, Chief Investment Officer, Verger Capital Management LLC, since 2014; Vice President, Chief Investment Officer, Wake Forest University, 2009-2014; Managing Director, Chief Investment Officer, Wilshire Associates, 2005-2009. | 4 | Trustee, GAI Agility Income Fund, since 2010; Member of Board of Managers, GAI Aurora Opportunities Fund, LLC, since 2010; Member of Board of Managers, GAI Corbin Multi-Strategy Fund, LLC, since 2010. |
Stephen Golding Age: 66 | Manager | Since 2011 | Chief Financial Officer, Vice President Finance and Administration, Ohio University, since 2010; Executive Vice President, Finance and Administration, Cornell University, 2005-2009. | 4 | Trustee, Washington College, since 2003; Trustee, GAI Agility Income Fund, since 2010; Member of Board of Managers, GAI Aurora Opportunities Fund, LLC, since 2010; Member of Board of Managers, GAI Corbin Multi-Strategy Fund, LLC, since 2010; Trustee, Wells College, since 2009. |
James Hille Age: 52 | Manager | Since 2011 | Chief Investment Officer, Texas Christian University, since 2006; Chief Investment Officer, Teachers Retirement System of Texas, 1995-2006 | 4 | Trustee, Employees Retirement System of Fort Worth, 2007-2011; Board Member, Texas Comptroller’s Investment Advisory Board, since 2007; Trustee, Communities Foundation of Texas, since 2012; Trustee, Trinity Valley School, since 2009; Trustee, GAI Agility Income Fund, since 2010; Member of Board of Managers, GAI Aurora Opportunities Fund, LLC, since 2010; Member of Board of Managers, GAI Corbin Multi-Strategy Fund, LLC, since 2010; Board Member, Investment Advisory Board of the Texas State Treasury Safekeeping Trust Fund; Board Member, Investment Advisory Committee of Employee Retirement System of Texas, since 2011; Trustee, Silver Ventures, Inc., since 2012. |
Jonathan Hook Age: 56 | Manager | Since 2011 | Chief Investment Officer, Harry and Jeanette Weinberg Foundation, since 2014; Vice President, Chief Investment Officer, The Ohio State University, 2008-2014 ; Chief Investment Officer, Baylor University, 2001-2008. | 4 | Trustee, GAI Agility Income Fund, since 2010; Member of Board of Managers, GAI Aurora Opportunities Fund, LLC, since 2010; Member of Board of Managers, GAI Corbin Multi-Strategy Fund, LLC, since 2010; Member of the Board of Directors, Research Corporation for Science Advancement (RCSA), since 2011. |
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Supplemental Information (unaudited) (continued)
Name and Age(1) | Position(s) With the Fund | Term of Office and Length(2) of Time Served | Principal Occupation(s) During Past Five Years | Number of Portfolios In Fund Complex(3) Overseen by Managers | Other Directorships Held by Manager During the Last 5 Years |
| Manager | Since 2008 | Self-employed; Board Director and Consultant. | 4 | Trustee, GAI Agility Income Fund, LLC, since 2011; Member of Board of Managers, GAI Aurora Opportunities Fund, LLC, since 2011; Member of Board of Managers, GAI Corbin Multi-Strategy Fund, LLC, since 2011, Director, Grail Advisors ETF Trust (5 Funds) 2009-2011; Director, AssetMark, GuideMark and GuidePath mutual funds (16 Funds), since 2006; Chairman of the Board of Directors of Pacific Metrics Corporation, 2005-2014; Director and Chairman of the Board, Sitoa Global, Inc., 2012-2013; Director, Varian Semiconductor Equipment Associates, 2004-2011; Director, Merriman Holdings, Inc., since 2003; Director, Owens Realty Mortgage Inc., since 2013; Trustee, Cambria ETF Funds, since 2013; Director, North Bay Bancorp, 2006-2007. |
* | Indicates an Interested Manager. |
| |
(1) | As of March 31, 2015. |
| |
(2) | Each Manager serves until death, retirement, resignation or removal from the Board. Any Manager may be removed either (a) with or without cause by the vote or written consent of at least two thirds (2/3) of the Managers not subject to the removal vote (but only if there are at least three Managers serving on the Board at the time of such vote or written consent) or (b) with or without cause by, if at a meeting, a vote of the Members holding a majority of the total number of votes present at such meeting or, if by written consent, a vote of Members holding at least two-thirds (2/3) of the total number of votes eligible to be cast by all Members. |
| |
(3) | The "Fund Complex" is currently comprised of four closed-end registered investment companies. |
Principal Officers who are not Managers:
Name and Age(1) | Position(s) With the Fund | Length of Time Served(2) | Principal Occupation During Past Five Years |
| Treasurer | Since 2011 | Treasurer, Wells Fargo Alternative Asset Management, LLC, 2011; Fund Reporting Manager, Alternative Strategies Group, Inc., since 2007; Senior Analyst, Alternative Strategies Group, Inc., 2006; Senior Financial Analyst, Turbine, Inc; 2003-2006. |
| Secretary | Since 2011 | Senior Vice President and Secretary, Wells Fargo Investment Institute, Inc., since 2008; Director and Chief Administrative Officer, AG Edwards Capital, Inc., since 2008; Director (2009-2014), Chief Administrative Officer, Wells Fargo Investment Institute, Inc., 2005-2014; Chief Administrative Officer, Senior Vice President, Wells Fargo Alternative Asset Management, LLC, 2011. |
| Assistant Treasurer | Since 2013 | Senior Fund Reporting Analyst, Alternative Strategies Group, Inc., since 2011; Audit Senior, Deloitte & Touche, LLP, 2007-2011; Audit Senior Associate, Deloitte & Touche, LLP, 2006-2007; Audit Associate, Deloitte & Touche, LLP, 2005-2006. |
GAI Mesirow Insight Fund, LLC
(formerly known as ASGI Mesirow Insight Fund, LLC)
Supplemental Information (unaudited) (continued)
Name and Age(1) | Position(s) With the Fund | Length of Time Served(2) | Principal Occupation During Past Five Years |
| Chief Compliance Officer | Since 2014 | Chief Compliance Officer, Wells Fargo Investment Institute, Inc., since 2014; Chief Compliance Officer, A.G. Edwards Capital, Inc., since 2014; Senior Industry Consultant, Mainstay Capital Markets Consultants, Inc., 2013-2014; Surveillance Director, Financial Industry Regulatory Authority, 2011-2013; Vice President-Asset Management Compliance, Ameriprise Financial Services, 2007-2010. |
| Sean M. Nicolosi | Chief Operating Officer | Since 2014 | Chief Operating Officer and Director, Alternative Strategies Group, Inc., since 2014; Chief Operating Officer and Director, A.G. Edwards Capital, Inc., since 2014; Vice President and Operations Manager, Alternative Strategies Group, Inc., 2012-2014; Vice President and Senior Financial Reporting Manager, BNY Mellon Global Investment Services, 2011-2012; Administration Manager, Alternative Strategies Group, Inc., 2005-2011. |
| (1) | As of March 31, 2015. |
| | |
| (2) | Each officer of the Fund serves for an indefinite term until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
Form N-Q Filings
The Fund will file its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year on Form N-Q. The 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, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-(800) SEC-0330.
Proxy Voting Policies
Information on how the Fund voted proxies relating to portfolio securities during the prior twelve month period ending June 30 of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities will be available without charge, by request, by calling (415) 371-4000 and on the SEC’s web site at www.sec.gov.
