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 811-21190
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Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios LLC
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(Exact name of registrant as specified in charter)
731 Lexington Avenue, 25th Floor
New York, NY 10022
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(Address of principal executive offices) (Zip code)
Millie Kim, Esq.
CitiGroup Alternative Investments LLC
731 Lexington Avenue, 28th Floor
New York, NY 10022
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(Name and address of agent for service)
registrant's telephone number, including area code: (212) 816-4999
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Date of fiscal year end: March 31
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Date of reporting period: September 30, 2005
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2005
(UNAUDITED)
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2005
(UNAUDITED)
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ASSETS
Cash and cash equivalents $ 25,281,901
Investments in investment funds, at fair value (Cost: $147,523,226) 165,773,520
Receivable from investment funds 17,695,271
Other assets 61,924
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TOTAL ASSETS 208,812,616
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LIABILITIES
Redemptions payable 29,918,107
Management fee payable 290,427
Offering costs payable 5,182
Accounts payable and accrued expenses 1,300,712
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TOTAL LIABILITIES 31,514,428
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MEMBERS' CAPITAL (152,560.453 UNITS OUTSTANDING) $ 177,298,188
=============
NET ASSET VALUE PER UNIT $ 1,162.15
=============
The accompanying notes are an integral part of these financial statements.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2005
(UNAUDITED)
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COST FAIR VALUE % OF MEMBERS'
CAPITAL
INVESTMENTS IN INVESTMENT FUNDS
FIXED INCOME ARBITRAGE
PIMCO Global Relative Value Fund, L.L.C. - b $ 9,778,469 $ 9,820,087 5.54%
EVENT DRIVEN
Canyon Value Realization Fund, L.P. - b $ 5,150,000 $ 6,445,022 3.63%
GoldenTree High Yield Partners, Ltd. - b 3,768,666 3,849,692 2.17%
EQUITY ARBITRAGE
CFM Ventus Fund L.P - a $ 19,000,000 $ 19,026,888 10.73%
DISCRETIONARY
Basswood Opportunity Partners L.P.- b $ 12,000,000 $ 13,142,414 7.41%
Chilton Small Cap Partners, L.P. Class A - c 8,720,000 11,061,545 6.24%
Delta Fund Europe L.P. - b 10,500,000 12,185,744 6.87%
Delta Institutional, L.P. - b 12,100,000 21,223,899 11.97%
North Sound Legacy Institutional, L.L.C. - b 14,000,000 15,649,872 8.83%
Trellus Partners L.P.- b 10,000,000 10,442,294 5.89%
The Capital Hedge Fund Ltd - a 10,506,091 10,461,972 5.90%
Telluride Capital Fund LLC - a 18,000,000 18,292,981 10.32%
Torrey Pines Fund LLC - b 4,000,000 4,073,910 2.30%
Renaissance Instituitional Equities Fund L.P - a 10,000,000 10,097,200 5.70%
----------------------------------------------
TOTAL INVESTMENTS IN INVESTMENT FUNDS $ 147,523,226 $ 165,773,520 93.50%
OTHER ASSETS, LESS LIABILITIES $ 11,524,668 6.50%
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MEMBERS' CAPITAL $ 177,298,188 100.00%
============= ===========
Note: Investments in underlying Investment Funds are categorized by investment
strategy.
a - Redemptions permitted monthly
b - Redemptions permitted quarterly
c - Redemptions permitted annually
d - Redemptions permitted semi-annually
The accompanying notes are an integral part of these financial statements.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
STATEMENT OF OPERATIONS
FOR THE PERIOD APRIL 1, 2005 THROUGH SEPTEMBER 30, 2005
(UNAUDITED)
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INVESTMENT INCOME
Interest $ 285,403
------------
TOTAL INVESTMENT INCOME 285,403
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EXPENSES
OPERATING EXPENSES:
Management fees 2,066,696
Administration fees 309,391
Professional fees 295,181
Directors' fees and expenses 13,165
Custodian fees 6,131
Marketing fees 4,005
Miscellaneous expenses 42,315
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TOTAL EXPENSES 2,736,884
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NET INVESTMENT LOSS (2,451,481)
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments 9,935,077
Net change in unrealized appreciation on investments 980,591
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NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 10,915,668
------------
INCREASE IN MEMBERS' CAPITAL DERIVED FROM INVESTMENT ACTIVITIES $ 8,464,187
============
The accompanying notes are an integral part of these financial statements.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE PERIOD APRIL 1, 2005 THROUGH SEPTEMBER 30, 2005
AND THE YEAR ENDED MARCH 31, 2005
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SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 2005 MARCH 31, 2005
(UNAUDITED)
FROM INVESTMENT ACTIVITIES
Net investment loss $ (2,451,481) $ (5,428,210)
Net realized gain on investments 9,935,077 812,524
Net change in unrealized appreciation on investments 980,591 8,545,992
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INCREASE IN MEMBERS' CAPITAL
DERIVED FROM INVESTMENT ACTIVITIES 8,464,187 3,930,306
MEMBERS' CAPITAL TRANSACTIONS
Capital contributions 6,056,175 119,438,511
Capital withdrawals (42,304,838) (21,564,435)
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INCREASE (DECREASE) IN MEMBERS' CAPITAL
DERIVED FROM CAPITAL TRANSACTIONS (36,248,663) 97,874,076
MEMBERS' CAPITAL AT BEGINNING OF PERIOD 205,082,664 103,278,282
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MEMBERS' CAPITAL AT END OF PERIOD (152,560.453
AND 183,915.383 UNITS OUTSTANDING AT
SEPTEMBER 30, 2005 AND MARCH 31, 2005,
RESPECTIVELY) $ 177,298,188 $ 205,082,664
============= =============
The accompanying notes are an integral part of these financial statements.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
STATEMENT OF CASH FLOWS
SIX MONTHS ENDED SEPTEMBER 30, 2005
(UNAUDITED)
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CASH FLOWS FROM OPERATING ACTIVITIES
Increase in members' capital derived from investment activities $ 8,464,187
Adjustments to reconcile net increase in members' capital derived
from investment activities to net cash used in operating activities:
Decrease in investment funds, at fair value - net 12,427,860
Decrease in receivable from investment funds 4,364,919
Increase in other assets (12,815)
Decrease in management fee payable (1,675,375)
Increase in accounts payable and accrued expenses 512,097
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NET CASH PROVIDED BY OPERATING ACTIVITIES 24,080,873
CASH FLOWS FROM FINANCING ACTIVITIES
Capital contributions 6,056,175
Capital withdrawals (21,069,076)
Decrease in contributions received in advance (2,340,925)
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NET CASH USED IN FINANCING ACTIVITIES (17,353,826)
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Net increase in cash and cash equivalents 6,727,047
Cash and cash equivalents at beginning of period 18,554,854
-------------
Cash and cash equivalents at end of period $ 25,281,901
=============
Supplmental non-cash information:
Included in capital withdrawals on the accompanying Statement of Changes in
Members' Capital, is a change in redemptions payable of $21,235,762
The accompanying notes are an integral part of these financial statements.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
FINANCIAL HIGHLIGHTS
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FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD JANUARY 1, 2003
SIX MONTHS ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT
SEPTEMBER 30, 2005 MARCH 31, 2005 MARCH 31, 2004 OF OPERATIONS)
(UNAUDITED) TO MARCH 31, 2003
NET ASSET VALUE, BEGINNING OF PERIOD: $ 1,115.09 $ 1,099.37 $ 995.86 $ 1,000.00
============= ============= ============= =============
INCOME FROM INVESTMENT OPERATIONS***:
Net investment loss (13.33) (32.25) (36.19) (12.87)
Net realized and unrealized gain on investments 60.39 47.97 139.70 8.73
------------- ------------- ------------- -------------
TOTAL FROM INVESTMENT OPERATIONS 47.06 15.72 103.51 (4.14)
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NET ASSET VALUE, END OF PERIOD: $ 1,162.15 $ 1,115.09 $ 1,099.37 $ 995.86
============= ============= ============= =============
TOTAL RETURN 4.22%** 1.43% 10.39% (0.41%)**
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $ 177,298,188 $ 205,082,664 $ 103,278,282 $ 38,426,667
============= ============= ============= =============
Portfolio turnover 83.19%* 25.24% 21.29% 29.92%*
Ratio of expenses to average net assets 2.67%* 3.06% 3.43% 5.28%*
Ratio of net investment loss to average net assets (2.39%)* (2.95%) (3.40%) (5.22%)*
* Annualized.
** Total return for a period of less than a full year is not annualized.
*** Per unit data for income from investment operations is computed using the
total of monthly income and expense divided by beginning of month units.
THE ABOVE RATIOS MAY VARY FOR INDIVIDUAL INVESTORS BASED ON THE TIMING OF
CAPITAL TRANSACTIONS DURING THE PERIOD.
The accompanying notes are an integral part of these financial statements.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005
- --------------------------------------------------------------------------------
1. ORGANIZATION
Citigroup Alternative Investments Multi-Adviser Hedge Fund
Portfolios LLC ("the Company") was organized as a Delaware Limited
Liability Company on August 16, 2002. The Company is registered
under the Investment Company Act of 1940 (the "1940 Act") as
amended, as a closed-end, non-diversified management investment
company. The Company is also registered under the Securities Act of
1933 ("1933 Act"). The Company consists of two separate series,
Multi-Strategy Series M and Multi-Strategy Series G (each a
"Series"). The financial statements included herein are for
Multi-Strategy Series G. The investment objective of Multi-Strategy
Series G is to achieve capital appreciation principally through
investing in investment funds ("Investment Funds") managed by
third-party investment managers ("Investment Managers") that employ
a variety of alternative investment strategies. These investment
strategies allow Investment Managers the flexibility to use leverage
or short-side positions to take advantage of perceived
inefficiencies across the global markets, often referred to as
"alternative" strategies. Because Investment Funds following
alternative investment strategies are often described as hedge
funds, the investment program of Multi-Strategy Series G can be
described as a fund of hedge funds.
Units of Multi-Strategy Series G are sold to eligible investors
(referred to as "Members"). The minimum initial investment in
Multi-Strategy Series G from each Member is $25,000 (and was $50,000
from January 1, 2003 to November 1, 2003); the minimum additional
investment is $10,000.
Citigroup Alternative Investments LLC ("CAI" or "the "Adviser"), a
Delaware limited liability company and indirect, wholly owned
subsidiary of Citigroup Inc., serves as Multi-Strategy Series G's
investment adviser. The Adviser is registered as an investment
adviser under the Investment Advisers Act of 1940, as amended, and,
among other things, is responsible for the allocation of
Multi-Strategy Series G's assets to various Investment Funds. AMACAR
Partners, Inc. is the managing member of Multi-Strategy Series G and
has delegated substantially all authority to oversee the management
of the operations and assets of Multi-Strategy Series G to the Board
of Directors.
2. SIGNIFICANT ACCOUNTING POLICIES
Investments in Investment Funds are subject to the terms of the
respective limited partnership agreements, limited liability company
agreements and offering memoranda. Multi-Strategy Series G values
these investments at fair value based on financial data supplied by
the Investment Funds.
A. PORTFOLIO VALUATION
The net asset value of Multi-Strategy Series G 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 of
Directors.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
Multi-Strategy Series G's investments in Investment Funds are
carried at fair value as determined by Multi-Strategy Series G's
pro-rata interest in the net assets of each Investment Fund. All
valuations utilize financial information supplied by each Investment
Fund and are net of management and performance incentive fees or
other allocations payable to the Investment Funds' managers as
required by the Investment Funds' agreements. Each Investment
Manager to which the Adviser allocates assets will charge
Multi-Strategy Series G, as investor in an underlying Investment
Fund, an asset-based fee, and some or all of the Investment Managers
will receive performance-based compensation in the form of an
incentive fee. The asset-based fees of the Investment Managers are
generally expected to range from 1% to 3% annually of the net assets
under their management and the incentive fee is generally expected
to range from 15% to 25% of net profits annually.
As a general matter, the fair value of Multi-Strategy Series G's
investment in an Investment Fund represents the amount that
Multi-Strategy Series G can reasonably expect to receive from an
Investment Fund if Multi-Strategy Series G's investment were
redeemed at the time of valuation, based on information available at
the time. The Investment Funds provide for periodic redemptions
ranging from monthly to annually. Investment Funds generally require
advance notice of a Member's intent to redeem its interest, and may,
depending on the Investment Funds' governing agreements, deny or
delay a redemption request. Multi-Strategy Series G does not take a
liquidity discount on any Investment Funds held. The underlying
investments of each Investment Fund are accounted for at fair value
as described in each Investment Fund's financial statements. The
Investment Funds may invest a portion of their assets in restricted
securities and other investments that are illiquid.
B. FUND EXPENSES
Multi-Strategy Series G bears all expenses incurred in the course of
its operations, including, but not limited to, the following: all
costs and expenses related to portfolio transactions and positions
for Multi-Strategy Series G's account; professional fees; costs of
insurance; registration expenses; and expenses of meetings of the
Board of Directors. Costs incurred in connection with the initial
offering were deferred and amortized over the first twelve months of
operations; costs incurred in connection with Multi-Strategy Series
G's subsequent registration under the 1933 Act have been deferred
and were amortized over the twelve months commencing after the
effective date of such registration statement.
C. INCOME TAXES
Prior to October 1, 2005, Multi-Strategy Series G operated as a
partnership for U.S. federal income tax purposes. Each Member will
be required to report on his, her or its own annual tax return the
Member's distributive share of Multi-Strategy Series G's taxable
income or loss.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
Effective on October 1, 2005, Multi-Strategy Series G has elected to
be taxed as a corporation and intends to qualify as a "regulated
investment company" under the Internal Revenue Code by making the
requisite distributions to Members that will be sufficient to
relieve it from Federal income tax and Federal excise tax.
Therefore, no Federal tax provision has been provided in the
accompanying financial statements.
D. CASH AND CASH EQUIVALENTS
Cash and cash equivalents consist of monies invested in a PNC Bank,
N.A. account that pays money market rates and are accounted for at
cost plus accrued interest.
E. RECEIVABLE FROM INVESTMENT FUNDS
Receivable from investment funds of $17,695,271 represents amounts
due to Multi-Strategy Series G for sales of interests in certain
investment funds.
F. USE OF ESTIMATES
The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires the Adviser to
make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. The Adviser
believes that the estimates utilized in preparing Multi-Strategy
Series G's financial statements are reasonable and prudent; however,
actual results could differ from these estimates.
3. MANAGEMENT FEE, ADMINISTRATIVE FEE, RELATED PARTY TRANSACTIONS AND
OTHER
CAI, as Adviser, provides certain management and administrative
services to Multi-Strategy Series G. CAI acts primarily to evaluate
and select Investment Managers, to allocate assets, to establish and
apply risk management procedures, and to monitor overall investment
performance. In addition, CAI also provides office space and other
support services. In consideration for such services, Multi-Strategy
Series G will pay the Adviser a monthly management fee based on end
of month Members' capital. The Adviser will pay a portion of the fee
to its affiliates.
Effective August 1, 2005, the Board of Directors approved a
reduction in the management fee to 1.5% of net assets annually (from
2.25% annually).
In addition, CAI allocated certain marketing related expenses of
$4,005 to Multi-Strategy Series G during the six months ended
September 30, 2005.
Placement agents may be retained by the Company to assist in the
placement of Units. A placement agent affiliated with the Adviser
will generally be entitled to receive a fee from each investor in
the Company whose Units the agent places. The specific amount of the
placement fee paid with respect
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
to a Member is generally dependent on the size of the investment in
a Series. Placement agents may also be reimbursed by the Company
with respect to certain out-of-pocket expenses.
Citigroup Global Markets, Inc. ("CGM"), an affiliate of CAI and a
wholly owned subsidiary of Citigroup, Inc. serves as a placement
agent of the Multi-Strategy Series G Units. For the six months ended
September 30, 2005, CGM earned $56,675 in placement fees on
Multi-Strategy Series G Units. Such fees are deducted from an
investor's gross contribution amount.
The Company has entered into agreements with third parties to act as
additional placement agents for Multi-Strategy Series G Units.
Placement fees may range from 0 to 3%. In addition, the Adviser,
and/or its affiliates, will pay the placement agents an annual fee,
payable monthly in arrears. The fee shall be paid from the Adviser's
own resources (or those of its affiliates).
Multi-Strategy Series G pays CAI a monthly fee of 0.025% (0.30% on
an annualized basis) for administration based primarily upon average
net assets, subject to a minimum monthly fee, and will reimburse
certain expenses. CAI, as Administrator, has retained PFPC Inc.
("PFPC"), an independent third party and wholly-owned subsidiary of
The PNC Financial Services Group, to assist in the performance of
its administrative duties. PFPC provides certain accounting, record
keeping, tax and investor related services.
Each Director who is not an "interested person" of the Company, as
defined by the 1940 Act, receives an annual retainer of $10,000 plus
a fee per meeting of the Board of Directors of $500. Such Director
fees are allocated to each series pro-rata, based on the relative
net assets of each series. Any Director who is an "interested
person" does not receive any annual or other fee from the Company.
All Directors are reimbursed for all reasonable out of pocket
expenses. Total amounts expensed related to Directors by
Multi-Strategy Series G for the six months ended September 30, 2005
were $13,165.
PFPC Trust Company (an affiliate of PFPC) serves as custodian of
Multi-Strategy Series G's assets and provides custodial services for
Multi-Strategy Series G. Fees payable to the custodian and
reimbursement for certain expenses are paid by Multi-Strategy Series
G.
4. SECURITIES TRANSACTIONS
The following table lists the aggregate purchases, proceeds from
sales of Investment Funds, net unrealized appreciation, gross
unrealized appreciation, and gross unrealized depreciation for the
six months ended September 30, 2005. At September 30, 2005, the cost
of investments for Federal income tax purposes was substantially the
same as the cost for financial reporting purposes.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
Cost of purchases $ 75,553,226
Proceeds from sales $ 96,555,828
Gross unrealized appreciation $ 18,294,413
Gross unrealized depreciation $ 44,119
Net unrealized appreciation $ 18,250,294
5. CONTRIBUTIONS, REDEMPTIONS, AND ALLOCATION OF INCOME
Generally, initial and additional subscriptions for Units may be
accepted as of the first day of each month. CAI has been authorized
by the Board of Directors of the Company to accept or reject any
initial and additional subscriptions for Units in Multi-Strategy
Series G. The Board of Directors from time to time and in its
complete and exclusive discretion, may determine to cause
Multi-Strategy Series G to repurchase Units from Members pursuant to
written tenders by Members on such terms and conditions as it may
determine. CAI expects that it typically will recommend to the Board
of Directors that the Company offer to repurchase Units from Members
quarterly, on each March 31, June 30, September 30 and December 31
(or, if any such date is not a business day, on the immediately
preceding business day).
Net profits or net losses of Multi-Strategy Series G for each
month-end will be allocated among and credited to or debited against
the capital accounts of all Members as of the last day of each month
in accordance with the Members' respective investment percentages
for the month.
Transactions in units were as follows for the six months ended
September 30, 2005 and the year ended March 31, 2005:
SEPTEMBER 30, 2005 MARCH 31, 2005
------------------ --------------
Units outstanding, beginning of period 183,915.38 93,942.93
Units purchased 5,478.37 109,500.27
Units redeemed (36,833.30) (19,527.82)
-------------- --------------
Units outstanding, end of period 152,560.45 183,915.38
============== ==============
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
In the normal course of business, the Investment Funds in which
Multi-Strategy Series G 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 and entering into equity swaps.
7. OTHER
A description of Multi-Strategy Series G Proxy Voting Policies and
Procedures and Multi-Strategy Series G portfolio securities voting
record for the twelve months ended June 30, 2005 is available on the
Securities and Exchange Commission's ("SEC") web site at
www.sec.gov, and may also be
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES G
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
obtained at no additional charge by calling 800-305-0816.
Multi-Strategy Series G files its complete schedule of portfolio
holdings with the SEC for the first and third quarters of each
fiscal year on Form N-Q. Multi-Strategy Series G Form N-Q is
available on the SEC's web site at www.sec.gov, and may be obtained
at no additional charge by calling 800-305-0816.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2005
(UNAUDITED)
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2005
(UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS
Cash and cash equivalents $ 9,294,780
Investments in investment funds, at fair value (Cost: $48,887,613) 54,520,067
Receivable from investment funds 11,560,179
Other assets 22,304
------------
TOTAL ASSETS 75,397,330
------------
LIABILITIES
Redemptions payable 9,860,405
Management fee payable 101,549
Offering costs payable 5,182
Accounts payable and accrued expenses 591,297
------------
TOTAL LIABILITIES 10,558,433
------------
MEMBERS' CAPITAL (57,725.287 UNITS OUTSTANDING) $ 64,838,897
============
NET ASSET VALUE PER UNIT $ 1,123.23
============
The accompanying notes are an integral part of these financial statements.
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CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2005
(UNAUDITED)
- --------------------------------------------------------------------------------
COST FAIR VALUE % OF MEMBERS'
CAPITAL
FIXED INCOME ARBITRAGE
Concordia Capital, Ltd. - a $ 3,300,000 $ 3,340,436 5.15%
PIMCO Global Relative Value Fund, Ltd - b 4,288,687 4,306,940 6.64%
Highland Opportunity Fund LP. - b 4,000,000 4,067,834 6.28%
EVENT DRIVEN
Canyon Value Realization Fund, L.P. - b $ 1,300,000 $ 1,769,419 2.73%
GoldenTree High Yield Partners, Ltd - b 2,088,926 2,133,838 3.29%
EQUITY ARBITRAGE
CFM Ventus Fund LP - a $ 10,000,000 $ 10,067,502 15.53%
DISCRETIONARY
Basswood Opportunity Partners L.P.- b $ 3,500,000 $ 3,820,449 5.89%
Chilton Small Cap Partners, L.P. Class A - c 3,620,000 4,893,817 7.55%
Delta Institutional, L.P. - b 2,290,000 4,835,643 7.46%
North Sound Legacy Insitutional Fund, L.L.C. - b 4,500,000 5,186,989 8.00%
Renaissance Institutional Equities Fund LP - a 10,000,000 10,097,200 15.57%
--------------------------------------------
TOTAL INVESTMENTS IN INVESTMENT FUNDS $ 48,887,613 $ 54,520,067 84.09%
OTHER ASSETS, LESS LIABILITIES $ 10,318,830 15.91%
------------ ----------
MEMBERS' CAPITAL $ 64,838,897 100.00%
============ ==========
Note: Investments in underlying Investment Funds are categorized by investment
strategy.
a - Redemptions permitted monthly
b - Redemptions permitted quarterly
c - Redemptions permitted annually
d - Redemptions permitted semi-annually
The accompanying notes are an integral part of these financial statements.
- 2 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
STATEMENT OF OPERATIONS
FOR THE PERIOD APRIL 1, 2005 THROUGH SEPTEMBER 30, 2005
(UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 98,140
------------
TOTAL INVESTMENT INCOME 98,140
------------
EXPENSES
Management fees 703,328
Professional fees 148,119
Administration fees 114,722
Marketing fees 1,522
Custodian fees 5,917
Directors' fees and expenses 4,884
Miscellaneous expenses 21,698
------------
TOTAL EXPENSES 1,000,190
------------
NET INVESTMENT LOSS (902,050)
------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments 5,673,855
Net change in unrealized depreciation on investments (2,287,832)
------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 3,386,023
------------
INCREASE IN MEMBERS' CAPITAL DERIVED FROM INVESTMENT ACTIVITIES $ 2,483,973
============
The accompanying notes are an integral part of these financial statements.
- 3 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE PERIOD APRIL 1, 2005 THROUGH SEPTEMBER 30, 2005
AND THE YEAR ENDED MARCH 31, 2005
- --------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 2005 MARCH 31, 2005
(UNAUDITED)
FROM INVESTMENT ACTIVITIES
Net investment loss $ (902,050) $ (2,184,117)
Net realized gain on investments 5,673,855 686,342
Net change in unrealized appreciation (depreciation) on investments (2,287,832) 2,702,892
------------ ------------
INCREASE IN MEMBERS' CAPITAL
DERIVED FROM INVESTMENT ACTIVITIES 2,483,973 1,205,117
MEMBERS' CAPITAL TRANSACTIONS
Capital contributions 1,182,600 25,895,081
Capital withdrawals (16,829,224) (7,714,817)
------------ ------------
INCREASE (DECREASE) IN MEMBERS' CAPITAL
DERIVED FROM CAPITAL TRANSACTIONS (15,646,624) 18,180,264
MEMBERS' CAPITAL AT BEGINNING OF PERIOD 78,001,548 58,616,167
------------ ------------
MEMBERS' CAPITAL AT END OF PERIOD (57,725.287
AND 71,765.186 UNITS OUTSTANDING AT
SEPTEMBER 30, 2005 AND MARCH 31, 2005
RESPECTIVELY) $ 64,838,897 $ 78,001,548
============ ============
The accompanying notes are an integral part of these financial statements.
- 4 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
STATEMENT OF CASH FLOWS
SIX MONTHS ENDED SEPTEMBER 30, 2005
(UNAUDITED)
- --------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES
Increase in members' capital derived from investment activities $ 2,483,973
Adjustments to reconcile net increase in members' capital derived
from investment activities to net cash used in operating activities:
Decrease in investment funds, at fair value - net 13,347,767
Increase in receivable from investment funds (3,168,118)
Decrease in receivable from affiliate --
Increase in other assets (2,818)
Decrease in management fee payable (565,279)
Increase in accounts payable and accrued expenses 187,617
------------
NET CASH PROVIDED BY OPERATING ACTIVITIES 12,283,142
CASH FLOWS FROM FINANCING ACTIVITIES
Capital contributions 1,182,600
Capital withdrawals (8,913,504)
Decrease in contributions received in advance (401,700)
------------
NET CASH USED IN FINANCING ACTIVITIES (8,132,604)
------------
Net increase in cash and cash equivalents 4,150,538
Cash and cash equivalents at beginning of period 5,144,242
------------
Cash and cash equivalents at end of period $ 9,294,780
============
Supplmental non-cash information:
Included in capital withdrawals on the accompanying Statement of Changes in
Members' Capital, is a change in redemptions payable of $7,915,720
The accompanying notes are an integral part of these financial statements.
- 5 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
FINANCIAL HIGHLIGHTS
- -----------------------------------------------------------------------------------------------------------------------------------
FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD JANUARY 1, 2003
SIX MONTHS ENDED YEAR ENDED YEAR ENDED (COMMENCEMENT
SEPTEMBER 30, 2005 MARCH 31, 2005 MARCH 31, 2004 OF OPERATIONS)
(UNAUDITED) TO MARCH 31, 2003
NET ASSET VALUE, BEGINNING OF PERIOD: $ 1,086.90 $ 1,073.22 $ 993.27 $ 1,000.00
============ ============ ============ ============
INCOME FROM INVESTMENT OPERATIONS***:
Net investment loss (12.92) (31.02) (34.35) (13.23)
Net realized and unrealized gain on investments 49.25 44.70 114.30 6.50
------------ ------------ ------------ ------------
TOTAL FROM INVESTMENT OPERATIONS 36.33 13.68 79.95 (6.73)
------------ ------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD: $ 1,123.23 $ 1,086.90 $ 1,073.22 $ 993.27
============ ============ ============ ============
TOTAL RETURN 3.34%** 1.27% 8.05% (0.67%)**
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $ 64,838,897 $ 78,001,548 $ 58,616,167 $ 27,852,030
============ ============ ============ ============
Portfolio turnover 132.99%* 31.84% 22.76% 25.96%*
Ratio of expenses to average net assets 2.63%* 3.02% 3.31% 5.44%*
Ratio of net investment loss to average net assets (2.37%)* (2.91%) (3.28%) (5.39%)*
* Annualized.
** Total return for a period of less than a full year is not annualized.
*** Per unit data for income from investment operations is computed using the
total of monthly income and expense divided by beginning of month units.
THE ABOVE RATIOS MAY VARY FOR INDIVIDUAL INVESTORS BASED ON THE TIMING OF
CAPITAL TRANSACTIONS DURING THE PERIOD.
The accompanying notes are an integral part of these financial statements.
- 6 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005
- --------------------------------------------------------------------------------
1. ORGANIZATION
Citigroup Alternative Investments Multi-Adviser Hedge Fund
Portfolios LLC ("the Company") was organized as a Delaware Limited
Liability Company on August 16, 2002. The Company is registered
under the Investment Company Act of 1940 (the "1940 Act") as
amended, as a closed-end, non-diversified management investment
company. The Company is also registered under the Securities Act of
1933 ("1933 Act"). The Company consists of two separate series,
Multi-Strategy Series M and Multi-Strategy Series G (each a
"Series"). The financial statements included herein are for
Multi-Strategy Series M. The investment objective of Multi-Strategy
Series M is to achieve capital appreciation principally through
investing in investment funds ("Investment Funds") managed by
third-party investment managers ("Investment Managers") that employ
a variety of alternative investment strategies. These investment
strategies allow Investment Managers the flexibility to use leverage
or short-side positions to take advantage of perceived
inefficiencies across the global markets, often referred to as
"alternative" strategies. Because Investment Funds following
alternative investment strategies are often described as hedge
funds, the investment program of Multi-Strategy Series M can be
described as a fund of hedge funds.
Units of Multi-Strategy Series M are sold to eligible investors
(referred to as "Members"). The minimum initial investment in
Multi-Strategy Series M from each Member is $25,000 (and was $50,000
from January 1, 2003 to November 1, 2003); the minimum additional
investment is $10,000.
Citigroup Alternative Investments LLC ("CAI", or the "Adviser"), a
Delaware limited liability company and indirect, wholly owned
subsidiary of Citigroup Inc., serves as Multi-Strategy Series M's
investment adviser. The Adviser is registered as an investment
adviser under the Investment Advisers Act of 1940, as amended, and,
among other things, is responsible for the allocation of
Multi-Strategy Series M's assets to various Investment Funds. AMACAR
Partners, Inc. is the managing member of Multi-Strategy Series M and
has delegated substantially all authority to oversee the management
of the operations and assets of Multi-Strategy Series M to the Board
of Directors.
2. SIGNIFICANT ACCOUNTING POLICIES
Investments in Investment Funds are subject to the terms of the
respective limited partnership agreements, limited liability company
agreements and offering memoranda. Multi-Strategy Series M values
these investments at fair value based on financial data supplied by
the Investment Funds.
A. PORTFOLIO VALUATION
The net asset value of Multi-Strategy Series M 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 of
Directors.
Multi-Strategy Series M's investments in Investment Funds are
carried at fair value as determined
- 7 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
by Multi-Strategy Series M's pro-rata interest in the net assets of
each Investment Fund. All valuations utilize financial information
supplied by each Investment Fund and are net of management and
performance incentive fees or other allocations payable to the
Investment Funds' managers as required by the Investment Funds'
agreements. Each Investment Manager to which the Adviser allocates
assets will charge Multi-Strategy Series M, as investor in an
underlying Investment Fund, an asset-based fee, and some or all of
the Investment Managers will receive performance-based compensation
in the form of an incentive fee. The asset-based fees of the
Investment Managers are generally expected to range from 1% to 3%
annually of the net assets under their management and the incentive
fee is generally expected to range from 15% to 25% of net profits
annually.
As a general matter, the fair value of Multi-Strategy Series M's
investment in an Investment Fund represents the amount that
Multi-Strategy Series M can reasonably expect to receive from an
Investment Fund if Multi-Strategy Series M's investment were
redeemed at the time of valuation, based on information available at
the time. The Investment Funds provide for periodic redemptions
ranging from monthly to annually. Investment Funds generally require
advance notice of a Member's intent to redeem its interest, and may,
depending on the Investment Funds' governing agreements, deny or
delay a redemption request. Multi-Strategy Series M does not take a
liquidity discount on any Investment Funds held. The underlying
investments of each Investment Fund are accounted for at fair value
as described in each Investment Fund's financial statements. The
Investment Funds may invest a portion of their assets in restricted
securities and other investments that are illiquid.
B. FUND EXPENSES
Multi-Strategy Series M bears all expenses incurred in the course of
its operations, including, but not limited to, the following: all
costs and expenses related to portfolio transactions and positions
for Multi-Strategy Series M's account; professional fees; costs of
insurance; registration expenses; and expenses of meetings of the
Board of Directors. Costs incurred in connection with the initial
offering were deferred and amortized over the first twelve months of
operations; costs incurred in connection with Multi-Strategy Series
M's subsequent registration under the 1933 Act have been deferred
and were amortized over the twelve months commencing after the
effective date of such registration statement.
C. INCOME TAXES
Prior to October 1, 2005, Multi-Strategy Series M operated as a
partnership for U.S. federal income tax purposes. Each Member will
be required to report on his, her or its own annual tax return the
Member's distributive share of Multi-Strategy Series M's taxable
income or loss.
- 8 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
Effective on October 1, 2005, Multi-Strategy Series M has elected to
be taxed as a corporation and intends to qualify as a "regulated
investment company" under the Internal Revenue Code by making the
requisite distributions to Members that will be sufficient to
relieve it from Federal income tax and Federal excise tax.
Therefore, no Federal tax provision has been provided in the
accompanying financial statements.
D. CASH AND CASH EQUIVALENTS
Cash and cash equivalents consist of monies invested in a PNC Bank,
N.A. account which pays money market rates and are accounted for at
cost plus accrued interest.
E. RECEIVABLE FROM INVESTMENT FUNDS
Receivable from investment funds of $11,560,179 represents amounts
due to Multi-Strategy Series M for sales of interests in certain
investment funds.
F. USE OF ESTIMATES
The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires the Adviser to
make estimates and assumptions that affect the amounts reported in
the financial statements and accompanying notes. The Adviser
believes that the estimates utilized in preparing Multi-Strategy
Series M's financial statements are reasonable and prudent; however,
actual results could differ from these estimates.
3. MANAGEMENT FEE, ADMINISTRATIVE FEE, RELATED PARTY TRANSACTIONS AND
OTHER
CAI, as Adviser, provides certain management and administrative
services to Multi-Strategy Series M. CAI acts primarily to evaluate
and select Investment Managers, to allocate assets, to establish and
apply risk management procedures, and to monitor overall investment
performance. In addition, CAI also provides office space and other
support services. In consideration for such services, Multi-Strategy
Series M will pay the Adviser a monthly management fee based on end
of month Members' capital. The Adviser will pay a portion of the fee
to its affiliates.
Effective August 1, 2005, the Board of Directors approved a
reduction in the management fee to 1.5% of net assets annually (from
2.00% annually).
In addition, CAI allocated certain marketing related expenses of
$1,522 to Multi-Strategy Series M during the six months ended
September 30, 2005.
Placement agents may be retained by the Company to assist in the
placement of Units. A placement agent affiliated with the Adviser
will generally be entitled to receive a fee from each investor in
the Company whose Units the Agent places. The specific amount of the
placement fee paid with respect to a Member is generally dependent
on the size of the investment in a Series. Placement agents may also
be reimbursed by the Company with respect to certain out-of-pocket
expenses.
- 9 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
Citigroup Global Markets, Inc. ("CGM"), an affiliate of CAI and a
wholly owned subsidiary of Citigroup, Inc. serves as a placement
agent of the Multi-Strategy Series M Units. For the six month period
ended September 30, 2005, CGM earned $21,400 in placement fees on
Multi-Strategy Series M Units. Such fees are deducted from an
investor's gross contribution amount.
The Company has entered into agreements with third parties to act as
additional placement agents for Multi-Strategy Series M Units.
Placement fees may range from 0 to 3%. In addition, the Adviser,
and/or its affiliates, will pay the placement agents an annual fee,
payable monthly in arrears. The fee shall be paid from the Adviser's
own resources (or those of its affiliates).
Multi-Strategy Series M pays CAI a monthly fee of 0.025% (0.30% on
an annualized basis) for administration based primarily upon average
net assets, subject to a minimum monthly fee, and will reimburse
certain expenses. CAI, as Administrator, has retained PFPC Inc.
("PFPC"), an independent third party and wholly-owned subsidiary of
The PNC Financial Services Group, to assist in the performance of
its administrative duties. PFPC provides certain accounting, record
keeping, tax and investor related services.
Each Director who is not an "interested person" of the Company, as
defined by the 1940 Act, receives an annual retainer of $10,000 plus
a fee per meeting of the Board of Directors of $500. Such Director
fees are allocated to each series pro-rata, based on the relative
net assets of each series. Any Director who is an "interested
person" does not receive any annual or other fee from the Company.
All Directors are reimbursed for all reasonable out of pocket
expenses. Total amounts expensed related to Directors by
Multi-Strategy Series M for the six months ended September 30, 2005
were $4,884.
PFPC Trust Company (an affiliate of PFPC) serves as custodian of
Multi-Strategy Series M's assets and provides custodial services for
Multi-Strategy Series M. Fees payable to the custodian and
reimbursement for certain expenses are paid by Multi-Strategy Series
M.
4. SECURITIES TRANSACTIONS
The following table lists the aggregate purchases, proceeds from
sales of Investment Funds, net unrealized appreciation, gross
unrealized appreciation, and gross unrealized depreciation for the
six months ended September 30, 2005. At September 30, 2005, the cost
of investments for Federal income tax purposes was substantially the
same as the cost for financial reporting purposes.
Cost of purchases $ 44,718,017
Proceeds from sales $ 61,050,106
Gross unrealized appreciation $ 5,632,454
Gross unrealized depreciation $ --
Net unrealized depreciation $ 5,632,454
- 10 -
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC - MULTI-STRATEGY SERIES M
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - SEPTEMBER 30, 2005 (CONTINUED)
- --------------------------------------------------------------------------------
5. CONTRIBUTIONS, REDEMPTIONS, AND ALLOCATION OF INCOME
Generally, initial and additional subscriptions for Units may be
accepted as of the first day of each month. CAI has been authorized
by the Board of Directors of the Company to accept or reject any
initial and additional subscriptions for Units in Multi-Strategy
Series M. The Board of Directors from time to time and in its
complete and exclusive discretion may determine to cause
Multi-Strategy Series M to repurchase Units from Members pursuant to
written tenders by Members on such terms and conditions as it may
determine. CAI expects that it typically will recommend to the Board
of Directors that the Company offer to repurchase Units from Members
quarterly, on each March 31, June 30, September 30 and December 31
(or, if any such date is not a business day, on the immediately
preceding business day).
Net profits or net losses of Multi-Strategy Series M for each
month-end will be allocated among and credited to or debited against
the capital accounts of all Members as of the last day of each month
in accordance with the Members' respective investment percentages
for the month.
Transactions in units were as follows for the six months ended
September 30, 2005 and the year ended March 31, 2005:
SEPTEMBER 30, 2005 MARCH 31, 2005
------------------ --------------
Units outstanding, beginning of period 71,765.18 54,616.96
Units purchased 1,094.25 24,309.75
Units redeemed (15,134.14) (7,161.53)
-------------- --------------
Units outstanding, end of period 57,725.29 71,765.18
============== ==============
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
In the normal course of business, the Investment Funds in which
Multi-Strategy Series M 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 and entering into equity swaps.
7. OTHER
A description of Multi-Strategy Series M Proxy Voting Policies and
Procedures and Multi-Strategy Series M portfolio securities voting
record for the twelve months ended June 30, 2005 is available on the
Securities and Exchange Commission's ("SEC") web site at
www.sec.gov, and may also be obtained at no additional charge by
calling 800-305-0816.
Multi-Strategy Series M files its complete schedule of portfolio
holdings with the SEC for the first and third quarters of each
fiscal year on Form N-Q. Multi-Strategy Series M Form N-Q is
available on the SEC's web site at www.sec.gov, and may be obtained
at no additional charge by calling 800-305-0816.
- 11 -
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedule of Investments in securities of unaffiliated issuers as of the close of
the reporting period 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.
Not yet applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days
of the filing date of the report that includes the disclosure required
by this paragraph, based on their evaluation of these controls and
procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's 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) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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) Citigroup Alternative Investments Multi-Adviser
Hedge Fund Portfolios LLC
--------------------------------------------------------------------
By (Signature and Title)* /s/ David Vogel
-------------------------------------------------------
David Vogel, President
Date November 29, 2005
----------------------------------------------------------------------------
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/ David Vogel
-------------------------------------------------------
David Vogel, President
Date November 29, 2005
----------------------------------------------------------------------------
By (Signature and Title)* /s/ Jennifer Magro
-------------------------------------------------------
Jennifer Magro, Treasurer
Date November 29, 2005
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.