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) 559-4999
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Date of fiscal year end: March 31
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Date of reporting period: March 31, 2008
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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, 100 F Street, NE,
Washington, DC 20549. 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
ANNUAL REPORT
MARCH 31, 2008
ANNUAL LETTER TO INVESTORS - MAY 2008
CITIGROUP ALTERNATIVE INVESTMENTS MULTI-ADVISER HEDGE
FUND PORTFOLIOS LLC - SERIES G
("MULTI-ADVISER-G" OR THE "PORTFOLIO")
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SUMMARY AND OUTLOOK
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Multi-Adviser-G was up 14.03% for calendar year 2007. As further described
below, please find a summary of results for the Portfolio's hedge fund strategy
groups for the year, as well as our outlook going forward.
Hedge funds as a group finished the year in line with the expectations set back
at the end of 2006. Based on the Hedge Fund Research, Inc. (HFRI) Fund Weighted
Composite Index hedge funds delivered returns of 9.97% for 2007, the HFRI Fund
of Funds Composite Index finished ahead by 10.25%. More importantly, a
diversified portfolio of hedge funds delivered this return stream with modest
mid single digit volatility and attractive correlation characteristics versus
the broader stock and bond market indices. Each of these hedge fund measures
outperformed the equity and fixed income markets, equities as measured by the
S&P 500 were up 5.49% and fixed income measured by the Lehman Aggregated Bond
index finished up 6.96%. The high yield market after advancing in the first half
of the year lost ground as the sub-prime credit crisis began to spill over into
the corporate market. High yield was up 2.09%, based on the Bear Stearns High
Yield composite. The largest advances for the year were experienced in the
commodity markets where energy, metals and many soft commodities moved sharply
higher, the Goldman Sachs Commodity index up 32.67% for the year. In 2008, there
are many obstacles facing the markets, which we believe will prove a challenge
for both traditional and hedge fund managers.
While we believe investing, whether in traditional asset classes or in hedge
funds, is a continual process and not one confined to specific blocks of time,
such as a year, the question remains the same: "What are the expectations for
the remainder of the year"? Our current forward-looking outlook for the returns
of a diversified pool of hedge funds is modestly lower than the levels we were
looking for at the start of 2008. Inevitably, the environment will continue to
change and the market will be faced with surprises, and, in fact, the challenges
facing the markets today are greater than they have been for some time. There
are many obstacles facing the markets which we believe will prove a challenge
for both traditional and hedge fund managers, however with this uncertainty and
volatility comes opportunity and good hedge fund managers should be able to take
advantage of the environment we see on the horizon.
The Hedge Fund Management Group, the external hedge fund business of Citi
Alternative Investments, breaks the universe of hedge fund strategies down into
four categories: Directional Equity, Directional Macro, Event Driven and
Relative Value Arbitrage, with each of these categories divided into a number of
specific sub-strategies. The expectations for returns associated with this
diverse universe of strategies varies significantly, and the dispersion of
returns associated with the actual performance of individual managers comprising
each sub-strategy remains very high. We believe strongly that manager selection
will be more important in 2008 than it was in 2007, and 2007 was a year in which
it was about having capital deployed with the right managers. Having the right
managers may add greater value than the actual strategy allocations.
Overall, the outlook for Directional Equity remains constructive with a
particular focus on managers that utilize fundamental stock selection and
proprietary research for identifying long and short ideas. Equity managers with
a clear edge in alpha generation and generally more flexibility in adjusting
their net exposure we believe should be favored over those with longer net
exposure and higher betas. While we would maintain allocations to this sector,
investors should expect to see higher volatility as we anticipate increased
equity market volatility in the face of uncertainty on the strength of the US
economy, direction of interest rates and the outlook for inflation. In addition,
the market will need to focus on possible changes in government policies as the
presidential election process heats up. We also believe there are interesting
opportunities in both the international developed as well as in the emerging
markets.
The outlook for Directional Macro is neutral with a positive leaning tilt.
Managers in this sector have seen an improvement in the opportunity set over the
last several quarters. More importantly the equity tilt that many macro managers
had in 2007 has been reduced and therefore the diversification benefit of
holding macro funds has increased. We believe managers that utilize higher
frequency trading strategies and both fundamental and technical factors in their
decision process should be favored. In addition, these managers should be able
to benefit from increased activity in the interest rate, currency and commodity
markets. One should remember managers in this space tend to be just as
comfortable trading from a long bias as they are from a short one; additionally,
many will trade spread positions. Macro managers, especially those in the
systematic space, continue to deliver returns that offer beneficial correlation
characteristics for portfolios of both traditional stock and bond holdings, as
well as portfolios of other hedge fund strategies. In general as the trades
these managers are exposed to have extended, several have reduced the amount of
risk they are taking. It is important to note that this could change quickly in
this specific sector.
Event Driven strategies are positioned with a neutral bias. Given the current
and anticipated stress in the credit markets the environment looks less
favorable for event driven equity managers. Many financial buyers have been
sidelined and the ability for companies to leverage their balance sheets has
diminished. That said, we anticipate an increase in strategic acquisitions and
mergers. As a result, focus on event driven equity managers that have operating
experience and can initiate and drive strategic deals, as well as merger focused
managers that can take advantage of strategic opportunities. Within the merger
space, managers with a global focus or an ability to execute cross border deals
we believe should be favored. Event driven credit managers should offer
interesting opportunities especially in the second half of the year. In fact, as
the year unfolds, we anticipate the current stress in credit markets
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INVESTMENT PRODUCTS: o NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE
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CITI ALTERNATIVE INVESTMENTS [CITI LOGO)
ANNUAL LETTER TO INVESTORS - MAY 2008
CITIGROUP ALTERNATIVE INVESTMENTS MULTI-ADVISER HEDGE
FUND PORTFOLIOS LLC - SERIES G
("MULTI-ADVISER-G" OR THE "PORTFOLIO")
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and dislocation in the structured finance markets to provide attractive return
prospects. Keep in mind the best returns from this space may not be achieved
until 2009 or 2010. Within the credit sector, managers that focus on the loan
markets look very interesting. Based on current loan prices and the senior
secured nature and maturity profile of these securities, it is not unreasonable
to expect managers that have the ability to perform solid credit work to be able
to achieve favorable returns on a non-leveraged basis. On a risk adjusted basis,
this part of the credit sector would appear to offer better value than most
equity-focused strategies. As the opportunity in the credit space unfolds, we
would begin with managers that are focused higher up in the capital structure
and only venture down the capital structure later in the year or in early 2009.
Patience should be rewarded in this sector.
For the Relative Value category, we maintain a negative bias as many of the
trading strategies in this group require managers to leverage spreads. As a
result, one is exposed to increased liquidity risk and a fair amount of the
short tail risk, which is associated with the convergence trades often utilized
within the strategy group. In this sector we would utilize market neutral equity
managers, especially those that focus on fundamental factors. We believe the
current environment for the equity markets will create significant dispersion
between pairs of stocks and the ability to capture this dispersion without
taking on directional market exposure will be beneficial to managers that
concentrate on these strategies. In particular we favor managers focused on
specific sectors such as technology and health care. As the year progresses, we
anticipate opportunities to emerge in the convertible arbitrage sector. This
sector has been largely uninteresting but with recent events impacting the
capital markets this space is once again showing some signs of coming back to
life. In addition, we believe some exposure to managers in the prime mortgage
sector look interesting; however manager selection here will be critical as will
focusing on the details of how the managers build and manage their portfolios.
If one is cautious there are opportunities to take advantage of the dislocations
that have occurred in the mortgage market.
Based on the outlook for expected returns and volatility coupled with the
attractive correlation benefits of the asset class, we believe a diversified
portfolio of hedge fund strategies remains an attractive way to diversify and
potentially add value to a balanced portfolio.
RAYMOND NOLTE
CITIGROUP ALTERNATIVE INVESTMENTS LLC
(INVESTMENT ADVISER)
IMPORTANT INFORMATION
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AS FURTHER DESCRIBED IN THE OFFERING DOCUMENTS, AN INVESTMENT IN ALTERNATIVE
INVESTMENTS CAN BE SPECULATIVE AND NOT SUITABLE FOR ALL INVESTORS. INVESTING IN
ALTERNATIVE INVESTMENTS IS ONLY INTENDED FOR EXPERIENCED AND SOPHISTICATED
INVESTORS WHO ARE WILLING TO BEAR THE HIGH ECONOMIC RISKS ASSOCIATED WITH SUCH
AN INVESTMENT. INVESTORS SHOULD CAREFULLY REVIEW AND CONSIDER POTENTIAL RISKS
BEFORE INVESTING. CERTAIN OF THESE RISKS MAY INCLUDE:
o LOSS OF ALL OR A SUBSTANTIAL PORTION OF THE INVESTMENT DUE TO LEVERAGING,
SHORT-SELLING, OR OTHER SPECULATIVE PRACTICES;
o LACK OF LIQUIDITY IN THAT THERE MAY BE NO SECONDARY MARKET FOR THE FUND AND
NONE IS EXPECTED TO DEVELOP;
o VOLATILITY OF RETURNS;
o RESTRICTIONS ON TRANSFERRING INTERESTS IN THE FUND;
o POTENTIAL LACK OF DIVERSIFICATION AND RESULTING HIGHER RISK DUE TO
CONCENTRATION OF TRADING AUTHORITY WHEN A SINGLE ADVISOR IS UTILIZED;
o ABSENCE OF INFORMATION REGARDING VALUATIONS AND PRICING;
o COMPLEX TAX STRUCTURES AND DELAYS IN TAX REPORTING;
o LESS REGULATION AND HIGHER FEES THAN MUTUAL FUNDS; AND
o ADVISOR RISK.
INDIVIDUAL FUNDS WILL HAVE SPECIFIC RISKS RELATED TO THEIR INVESTMENT PROGRAMS
THAT WILL VARY FROM FUND TO FUND.
THE OPINIONS EXPRESSED HEREIN OR IN THE FUND'S OFFERING DOCUMENTS MAY DIFFER
FROM OPINIONS EXPRESSED BY CITIGROUP OR ANY OF ITS AFFILIATES OR BUSINESSES, AND
ARE NOT INTENDED TO BE A FORECAST OF FUTURE EVENTS OR A GUARANTEE OF FUTURE
RESULTS. SEE "CERTAIN RISK FACTORS" IN THE CONFIDENTIAL MEMORANDUM.
SHARES OF CITIGROUP ALTERNATIVE INVESTMENTS MULTI-ADVISER HEDGE FUND PORTFOLIOS
LLC INVOLVE SIGNIFICANT RISKS, ARE A SPECULATIVE INVESTMENT NOT SUITABLE FOR ALL
INVESTORS, SHOULD COMPRISE ONLY A PORTION OF ANY INVESTOR'S TOTAL PORTFOLIO, AND
SHOULD BE REGARDED AS A LONG-TERM INVESTMENT.
OPINIONS EXPRESSED IN THIS REPORT ARE INTENDED SOLELY AS GENERAL MARKET
COMMENTARY AND DO NOT CONSTITUTE INVESTMENT ADVICE OR A GUARANTEE OF RETURNS.
CITI ALTERNATIVE INVESTMENTS [CITI LOGO)
ANNUAL LETTER TO INVESTORS - MAY 2008
CITIGROUP ALTERNATIVE INVESTMENTS MULTI-ADVISER HEDGE
FUND PORTFOLIOS LLC - SERIES G
("MULTI-ADVISER-G" OR THE "PORTFOLIO")
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INFORMATION CONTAINED IN THIS REPORT IS SUBJECT TO CERTAIN CONFIDENTIALITY
REQUIREMENTS IMPOSED ON THE PORTFOLIO. ACCORDINGLY, EACH OF THE PORTFOLIO'S
INVESTORS MUST MAINTAIN THE CONFIDENTIALITY OF ALL INFORMATION CONTAINED HEREIN
AND MAY ONLY USE THIS REPORT IN FURTHERANCE OF THEIR INTERESTS AS AN INVESTOR IN
THE PORTFOLIO.
THIS DOCUMENT IS OFFERED FOR INFORMATIONAL PURPOSES ONLY AND DOES NOT CONSTITUTE
AN OFFER TO SELL ANY SECURITIES. AN OFFER OR SOLICITATION WILL BE MADE ONLY
THROUGH THE PROSPECTUS, LIMITED LIABILITY COMPANY AGREEMENT AND SUBSCRIPTION
AGREEMENT AND IS QUALIFIED IN ITS ENTIRETY BY THE TERMS AND CONDITIONS CONTAINED
IN SUCH DOCUMENTS. THE PROSPECTUS CONTAINS ADDITIONAL INFORMATION NEEDED TO
EVALUATE THE INVESTMENT AND PROVIDES IMPORTANT DISCLOSURES REGARDING RISKS, FEES
AND EXPENSES. BEFORE MAKING AN INVESTMENT, POTENTIAL INVESTORS SHOULD CAREFULLY
READ THE PROSPECTUS, LIMITED LIABILITY COMPANY AGREEMENT, AND SUBSCRIPTION
AGREEMENT AND CONSULT THEIR PROFESSIONAL ADVISOR.
PLEASE NOTE THAT INVESTING IN CITIGROUP ALTERNATIVE INVESTMENTS MULTI-ADVISER
HEDGE FUND PORTFOLIOS LLC IS NOT SUITABLE FOR ALL CLIENTS. THIS INVESTMENT IS
ILLIQUID AND IS NOT LISTED ON ANY EXCHANGE AND SHOULD BE REGARDED AS FIXED AND
LONG TERM. IT IS INTENDED FOR EXPERIENCED AND SOPHISTICATED INVESTORS WHO ARE
WILLING TO BEAR THE ECONOMIC RISKS OF THE INVESTMENT, INCLUDING THE POSSIBLE
LOSS OF THE PRINCIPAL AMOUNT INVESTED.
CITIGROUP ALTERNATIVE INVESTMENTS LLC IS NOT ACTING AS THE ADVISOR OR AGENT FOR
CLIENTS PURCHASING SHARES, AND THUS CLIENTS CANNOT RELY ON CITIGROUP ALTERNATIVE
INVESTMENTS LLC IN CONNECTION WITH THEIR DECISION TO MAKE THIS INVESTMENT. THIS
DOCUMENT IS PRESENTED TO CLIENTS BASED ON THE UNDERSTANDING THAT EACH CLIENT HAS
SUFFICIENT KNOWLEDGE, EXPERIENCE AND PROFESSIONAL ADVICE TO MAKE ITS OWN
EVALUATION OF THE MERITS AND RISKS OF THIS INVESTMENT.
SHARES OF THE SERIES ARE BEING OFFERED IN THE U.S. BY SMITH BARNEY, WHICH IS A
DIVISION AND SERVICE MARK OF CITIGROUP GLOBAL MARKETS INC., MEMBER NASD/SIPC,
AND OTHER AUTHORIZED PLACEMENT AGENTS.
THIS INFORMATION IS CONFIDENTIAL AND INTENDED SOLELY FOR USE BY CITIGROUP
ALTERNATIVE INVESTMENTS LLC AND ITS AFFILIATES WITH ITS CLIENTS AND THEIR
ADVISERS. IT IS NOT TO BE REPRODUCED OR DISTRIBUTED EXCEPT WITH THE PERMISSION
OF CITIGROUP ALTERNATIVE INVESTMENTS LLC.
THE THIRD PARTY INFORMATION USED IN THIS DOCUMENT HAS BEEN OBTAINED FROM VARIOUS
PUBLISHED AND UNPUBLISHED SOURCES CONSIDERED TO BE RELIABLE. HOWEVER, CITIGROUP
INC. AND ITS AFFILIATES AND SUBSIDIARIES ("CITIGROUP") CANNOT GUARANTEE ITS
ACCURACY OR COMPLETENESS AND THUS DO NOT ACCEPT LIABILITY FOR ANY DIRECT OR
CONSEQUENTIAL LOSSES ARISING FROM ITS USE. IN ADDITION, CITIGROUP CAN ACCEPT NO
RESPONSIBILITY FOR THE TAX TREATMENT OF ANY INVESTMENT PRODUCT, WHETHER OR NOT
THE INVESTMENT IS PURCHASED BY A TRUST OR COMPANY ADMINISTERED BY AN AFFILIATE
OF CITIGROUP. CITIGROUP ASSUMES THAT, BEFORE MAKING ANY COMMITMENT TO INVEST,
THE INVESTOR (AND WHERE APPLICABLE, ITS BENEFICIAL OWNERS) HAVE TAKEN WHATEVER
TAX, LEGAL OR OTHER ADVICE THE INVESTOR/BENEFICIAL OWNERS CONSIDER NECESSARY AND
HAVE ARRANGED TO ACCOUNT FOR ANY TAX LAWFULLY DUE ON THE INCOME OR GAINS ARISING
FROM ANY INVESTMENT PRODUCT PROVIDED BY CITIGROUP. AT ANY TIME, CITIGROUP OR ITS
EMPLOYEES MAY HAVE A POSITION, SUBJECT TO CHANGE, IN ANY SECURITIES OR
INSTRUMENTS REFERRED TO, OR PROVIDE SERVICES TO THE ISSUERS OF THOSE SECURITIES
OR INSTRUMENTS. CITIGROUP ALTERNATIVE INVESTMENTS LLC IS AN INDIRECTLY WHOLLY
OWNED SUBSIDIARY OF CITIGROUP, AND SOME OR ALL OF THE PLACEMENT AGENTS AND THE
ADMINISTRATOR ARE ALSO AFFILIATES OF CITIGROUP AND CITIGROUP ALTERNATIVE
INVESTMENTS LLC. IN ADDITION, AS A DIVERSIFIED GLOBAL FINANCIAL SERVICES FIRM,
CITIGROUP (INCLUDING FOR PURPOSES OF THIS DISCUSSION, ITS SUBSIDIARIES AND OTHER
AFFILIATES) ENGAGES IN A BROAD SPECTRUM OF ACTIVITIES, INCLUDING FINANCIAL
ADVISORY SERVICES, ASSET MANAGEMENT ACTIVITIES, SPONSORING AND MANAGING PRIVATE
INVESTMENT FUNDS, ENGAGING IN BROKERDEALER TRANSACTIONS, AND OTHER ACTIVITIES.
IN THE ORDINARY COURSE OF BUSINESS, CITIGROUP ENGAGES IN ACTIVITIES IN WHICH
CITIGROUP'S INTERESTS OR THE INTEREST OF ITS CLIENTS MAY CONFLICT WITH THE
INTEREST OF THE PORTFOLIO OR A SERIES OR THE INVESTORS. SPECIFIC EXAMPLES OF
SUCH CONFLICTS INCLUDE, BUT ARE NOT LIMITED TO: COMPETITION WITH OTHER CITIGROUP
AFFILIATES AND CITIGROUP SPONSORED FUNDS FOR INVESTMENT OPPORTUNITIES, THE FACT
THAT CITIGROUP MAY RECEIVE COMPENSATION FOR PERFORMING OTHER FINANCIAL SERVICES
FOR THE UNDERLYING INVESTMENT FUNDS AND RELATED PARTIES, CITIGROUP'S EXISTING
AND POTENTIAL CLIENT RELATIONSHIPS WITH A SIGNIFICANT NUMBER OF SPONSORS AND
MANAGERS OF INVESTMENT FUNDS, CORPORATIONS AND INSTITUTIONS, AND THE FACT THAT
CITIGROUP MAY STRUCTURE ITS PRODUCTS AND INVESTMENTS IN A MANNER THAT BENEFITS
CERTAIN INVESTORS MORE THAN OTHERS. INVESTORS SHOULD CONSULT THE PROSPECTUS FOR
A MORE DETAILED DESCRIPTION OF ACTUAL AND POTENTIAL CONFLICTS. THERE ALSO MAY BE
ADDITIONAL CONFLICTS AND NO ASSURANCE CAN BE GIVEN THAT SUCH CONFLICTS OF
INTEREST WILL BE RESOLVED IN FAVOR OF THE PORTFOLIO OR A SERIES OR THE
INVESTORS. IN ACQUIRING SHARES, AN INVESTOR WILL BE DEEMED TO HAVE ACKNOWLEDGED
THE EXISTENCE OF POTENTIAL CONFLICTS OF INTEREST RELATING TO CITIGROUP AND TO
THE COMPANY'S OR SERIES' OPERATING IN THE FACE OF THOSE CONFLICTS.
NON-CONFIDENTIALITY. AN INVESTOR (AND EACH EMPLOYEE, REPRESENTATIVE, OR OTHER
AGENT OF THE INVESTOR) MAY DISCLOSE TO ANY AND ALL PERSONS, WITHOUT LIMITATION
OF ANY KIND, THE TAX TREATMENT AND TAX STRUCTURE OF THE PORTFOLIO AND THE
TRANSACTION AND ALL MATERIALS OF ANY KIND (INCLUDING OPINIONS OR TAX ANALYSES)
THAT ARE PROVIDED TO THE INVESTOR RELATING TO SUCH TAX TREATMENT AND TAX
STRUCTURE.
U.S. TAX-REPORTING. INVESTORS WHO ARE REQUIRED TO FILE A U.S. FEDERAL TAX RETURN
MAY BE REQUIRED TO FILE AN ADDITIONAL FORM WITH THEIR RETURN AND A COPY WITH THE
INTERNAL REVENUE SERVICE.
THE PERFORMANCE INFORMATION AND INVESTMENT OPPORTUNITIES CONTAINED HEREIN ARE
FOR INFORMATIONAL PURPOSES AND ARE NOT TO BE CONSTRUED AS INDICATIVE OF THE
FUTURE PERFORMANCE OR INVESTMENT STRATEGY OF CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC.
CITIGROUP ALTERNATIVE INVESTMENTS LLC IS RELYING ON COMMODITY FUTURES TRADING
COMMISSION RULE 4.5 WITH RESPECT TO ITS OPERATION OF THE INVESTMENT PROGRAM OF
CITIGROUP ALTERNATIVE INVESTMENTS MULTI-ADVISOR HEDGE FUND PORTFOLIOS LLC AND,
ACCORDINGLY, IS NOT SUBJECT TO REGISTRATION OR REGULATION AS A COMMODITY POOL
OPERATOR WITH RESPECT TO ITS OPERATION OF SUCH INVESTMENT PROGRAM.
THE SHARES ARE OFFERED TO POTENTIAL INVESTORS ON THE BASIS OF THE INFORMATION IN
THE PROSPECTUS. NO PERSON HAS BEEN AUTHORIZED TO MAKE REPRESENTATIONS OR PROVIDE
ANY INFORMATION RELATING TO THE SHARES WHICH ARE INCONSISTENT WITH OR NOT
OTHERWISE CONTAINED IN THE PROSPECTUS. PAST PERFORMANCE DOES NOT GUARANTEE
FUTURE RESULTS. REAL RESULTS MAY VARY. INVESTORS CANNOT INVEST IN AN INDEX.
CITI ALTERNATIVE INVESTMENTS [CITI LOGO)
[LOGO OMITTED]
KPMG
345 Park Avenue
New York, NY 10154
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
-------------------------------------------------------
The Board of Directors and Members
Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios LLC
We have audited the accompanying statement of assets and liabilities of
Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios LLC (the
Company), including the schedule of investments, as of March 3 1, 2008, and the
related statement of operations and cash flows for the year then ended, the
statements of changes in members' capital for each of the years in the two-year
period then ended, and the financial highlights for each of the years in the
five-year period then ended. These financial statements and financial highlights
are the responsibility of the Company's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included verification of
investments owned as of March 3 1, 2008, by inspection of investment
subscription documents and confirmation with underlying investment funds. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios LLC as of
March 3 1, 2008, the results of its operations and its cash flows for the year
then ended, the changes in its members' capital for each of the years in the
two-year period then ended, and the financial highlights for each of the years
in the five-year period then ended, in conformity with U.S. generally accepted
accounting principles.
/s/ KPMG LLP
May 29,2008
KPMG LLP a US limited liability partnership, is
a member of KPMG International, a Swiss association.
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2008
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ASSETS
Cash and cash equivalents $ 60,237,991
Investments in Investment Funds, at fair value (Cost: $507,602,547) 561,975,169
Receivable from Investment Funds 43,401,073
Prepaid professional fees 478,341
Other assets 219,279
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TOTAL ASSETS 666,311,853
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LIABILITIES
Contributions received in advance 58,567,458
Loan payable 25,400,000
Redemptions payable 8,012,634
Management fee payable 1,435,575
Interest payable 361,137
Accounts payable and other accrued expenses 825,363
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TOTAL LIABILITIES 94,602,167
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MEMBER'S CAPITAL (469,978.204 SHARES OUTSTANDING) $ 571,709,686
=============
NET ASSET VALUE PER SHARE $ 1,216.46
=============
COMPOSITION OF MEMBERS' CAPITAL
Paid-in Capital $ 550,145,444
Accumulated net investment loss (7,181,746)
Over distribution of net realized gain on investment transactions (25,626,634)
Accumulated net unrealized appreciation on investments 54,372,622
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Members' Capital $ 571,709,686
=============
The accompanying notes are integral part of these financial statements.
-2-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
SCHEDULE OF INVESTMENTS
MARCH 31, 2008
- --------------------------------------------------------------------------------
COST FAIR VALUE % OF MEMBERS'
CAPITAL
INVESTMENTS IN INVESTMENT FUNDS
DIRECTIONAL EQUITY
Artha Emerging Markets Fund LTD - b $ 12,700,000 $ 15,218,038 2.66%
Frontpoint Onshore Healthcare Fund 2X LP - b 10,000,000 11,036,587 1.93
Horseman Global Fund LTD Class B USD - a 5,000,000 5,278,240 0.92
Passport II LP - b ** - 25,245,385 4.42
Prism Partners QP LP - a 5,750,000 1,912,572 0.34
Sprott Offshore Fund II LTD Class B - a 17,500,000 19,362,945 3.39
Torrey Pines Fund LLC - b 6,000,000 8,137,610 1.42
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Total Directional Equity 56,950,000 86,191,377 15.08
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DIRECTIONAL MACRO
Drawbridge Global Macro Fund Ltd Class H - b 5,876,072 6,652,119 1.17
Drawbridge Global Macro Fund Ltd Side Pocket 5 - f 23,145 22,762 0.00*
Drawbridge Global Macro Fund Ltd Side Pocket 6 - f 13,556 12,597 0.00*
Drawbridge Global Macro Fund Ltd Side Pocket 4 - f 81,867 77,567 0.01
Drawbridge Global Macro Fund Ltd Side Pocket 7 - f 5,360 5,360 0.00*
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Total Directional Macro 6,000,000 6,770,405 1.18
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RELATIVE VALUE
AB2 Fund - a 47,500,000 55,640,247 9.73
Bennelong Asia Pacific Multi Strategies EQ Fund Class F USD - a 11,000,000 12,503,921 2.19
Criterion Institutional Partners LP - b 11,000,000 10,715,862 1.88
Dundonald Fund I LP - b 33,500,000 35,386,680 6.19
Fore Convertible Offshore Fund LTD Class F - b 17,500,000 17,272,500 3.02
Stratus Fund Ltd Double Leverage Class C - a 3,300,000 5,727,959 1.00
Stratus Feeder Fund LTD Class C Double Leverage - a 4,802,140 4,915,374 0.86
Stratus Fund LTD Double Lev Class C Side Pocket - f 408,301 408,198 0.07
Structured Service Holdings LP - a 17,358,508 22,790,834 3.99
Structured Service Holdings LTD - a 36,500,000 35,694,240 6.24
Tiger Asia Overseas Fund LTD Class B Offshore Fund - b 10,000,000 11,266,699 1.97
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Total Relative Value 192,868,949 212,322,514 37.14
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EVENT DRIVEN
Ashmore Asian Recovery Fund Limited - b 14,000,000 15,123,233 2.65
Carrington Investment Partners ( US ) LP - b 11,200,000 12,406,520 2.17
Cevian Capital II LTD USD - d 23,266,434 20,188,073 3.53
CPIM Structured Credit Fund 1000 INC - b 8,000,000 4,425,842 0.77
CPIM Structured Credit Fund 1500 INC - c 6,225,321 3,366,558 0.59
Harbinger Capital Partners Offshore Fund I, LTD - b 29,500,000 33,353,908 5.83
Icahn Fund Ltd Class B - c 16,500,000 16,488,621 2.89
Lincoln Vale European Partners (US) Fund LP - c 5,000,000 4,841,089 0.85
Marathon Special Oppportunity Ltd Class E - c 10,000,000 10,368,394 1.81
Marathon Structured Finance Fund Ltd Class B . - d 20,700,000 19,147,384 3.35
Marathon Distressed Subprime Fund (Cayman) LTD Class A - b 5,000,000 4,769,090 0.83
New Amsterdam European Credit Fund Class A - a 1,249,738 587,283 0.10
Pardus Special Opportunities Fund I, Ltd - b 15,000,000 9,188,923 1.61
Paulson Advantage Plus LP - b 41,500,000 55,236,032 9.66
Stark Investments Structured Finance Onshore Fund - e 9,442,105 10,276,853 1.80
Third Point Partners Qualified, LP - b 14,300,000 16,362,807 2.86
Trian Partners Ltd - d 20,900,000 20,560,263 3.60
------------- ------------ -------
Total Event Driven 251,783,598 256,690,873 44.90
------------- ------------ -------
TOTAL INVESTMENTS IN INVESTMENT FUNDS 507,602,547 561,975,169 98.30
OTHER ASSETS, LESS LIABILITIES 9,734,517 1.70
------------ -------
MEMBERS' CAPITAL $571,709,686 100.00%
============ =======
Note: Investments in underlying Investment Funds are categorized by investment
strategy.
* Due to rounding
** Refer to Section 2.b of the accompanying notes
a - Redemptions permitted monthly
b - Redemptions permitted quarterly
c - Redemptions permitted semi annually
d - Redemptions permitted annually
e - Redemptions permitted anytime
f - Reimbursed only when underlying investment is realized or converted to
regular interest in Investment Fund
The accompanying notes are integral part of these financial statements.
-3-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 2008
- --------------------------------------------------------------------------------
INVESTMENT INCOME
Interest income $ 136,418
Other income 20,508
-----------
TOTAL INVESTMENT INCOME 156,926
-----------
EXPENSES
Management fees 6,506,625
Commitment penalty and fee 2,151,669
Professional fees 1,382,865
Loan interest 1,081,862
Accounting fees 824,464
Redemption fees 265,264
Directors' fees and expenses 45,750
Marketing fees 11,642
Custodian fees 49,687
Miscellaneous expenses 183,436
-----------
TOTAL EXPENSES 12,503,264
-----------
NET INVESTMENT LOSS (12,346,338)
-----------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS IN INVESTMENT FUNDS:
Net realized gain on sale of investments in Investment Funds 22,217,947
Net change in unrealized appreciation on investments in Investment Funds 18,264,850
-----------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS IN INVESTMENT FUNDS 40,482,797
-----------
NET INCREASE IN MEMBERS' CAPITAL FROM OPERATIONS $28,136,459
===========
The accompanying notes are integral part of these financial statements.
-4-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
STATEMENTS OF CHANGES IN MEMBERS' CAPITAL
FOR THE YEARS ENDED MARCH 31, 2008 AND 2007
- --------------------------------------------------------------------------------
MARCH 31, 2008 MARCH 31, 2007
OPERATIONS
Net investment loss $ (12,346,338) $ (5,858,257)
Net realized gain on sale of investments in Investment Funds 22,217,947 20,969,160
Net change in unrealized appreciation on investments in Investment Funds 18,264,850 3,754,836
------------ ------------
NET INCREASE IN MEMBERS' CAPITAL
FROM OPERATIONS 28,136,459 18,865,739
DISTRIBUTIONS TO SHAREHOLDERS
Distributions from net investment income - (9,373,711)
Distributions from net realized gain (32,217,900) (13,273,574)
------------ ------------
DECREASE IN MEMBERS' CAPITAL
FROM DISTRIBUTIONS TO SHAREHOLDERS (32,217,900) (22,647,285)
MEMBERS' CAPITAL TRANSACTIONS
Capital contributions 273,955,009 87,687,853
Acquisition of Series M - 60,906,789
Reinvestment of distributions 30,867,813 21,912,780
Capital withdrawals (56,242,519) (27,631,412)
------------ ------------
INCREASE IN MEMBERS' CAPITAL
FROM CAPITAL TRANSACTIONS 248,580,303 142,876,010
MEMBERS' CAPITAL AT BEGINNING OF YEAR 327,210,824 188,116,360
------------ ------------
MEMBERS' CAPITAL AT END OF YEAR (469,978.204 AND 270,972.304
SHARES OUTSTANDING AT MARCH 31, 2008 AND 2007, RESPECTIVELY) $571,709,686 $327,210,824
============ ============
The accompanying notes are integral part of these financial statements.
-5-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
STATEMENT OF CASH FLOWS
YEAR ENDED MARCH 31, 2008
- --------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES
Net increase in Members' Capital from operations $ 28,136,459
Adjustments to reconcile net increase in Members' Capital
from operations to net cash used in operating activities:
Purchases of investments in Investment Funds (329,600,803)
Proceeds from disposition of investments in Investment Funds 132,370,411
Net realized gain on sale of investments in Investment Funds (22,217,947)
Change in net unrealized appreciation on investments in Investment Funds (18,264,850)
Changesein operatingnassets and liabilities:
Decrease in prepaid subscriptions to investment funds 10,000,000
Increase in receivable from investment funds (12,031,374)
Increase in prepaid professional fees (302,582)
Increase in other assets (116,865)
Increase in management fee payable 578,731
Decrease in interest payable (323,688)
Increase in accounts payable and other accrued expenses 228,243
-------------
NET CASH USED IN OPERATING ACTIVITIES (211,544,265)
CASH FLOWS FROM FINANCING ACTIVITIES
Capital contributions 322,313,462
Distributions paid in cash (1,350,087)
Payments for shares redeemed (60,305,287)
Proceeds from loan payable 127,000,000
Payments for loan payable (117,900,000)
-------------
NET CASH PROVIDED BY FINANCING ACTIVITIES 269,758,088
NET INCREASE IN CASH AND CASH EQUIVALENTS 58,213,823
Cash and cash equivalents at beginning of year 2,024,168
-------------
Cash and cash equivalents at end of year $ 60,237,991
=============
Supplemental non-cash information:
Increase in contributions received in advance $ 48,358,453
Decrease in redemptions payable (4,062,768)
Supplemental cash flow information:
Interest paid during the year $ 1,405,550
The accompanying notes are integral part of these financial statements.
-6-
CITIGROUP ALTERNATIVE INVESTMENTS
CITIGROUP ALTERNATIVE INVESTMENTS MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
FINANCIAL HIGHLIGHTS
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MARCH 31, 2008 MARCH 31, 2007 MARCH 31, 2006 MARCH 31, 2005 MARCH 31, 2004
-------------- -------------- -------------- -------------- --------------
NET ASSET VALUE, BEGINNING OF PERIOD: $ 1,207.54 $ 1,241.60 $ 1,115.09 $ 1,099.37 $ 995.86
============ ============ ============ ============ ============
INCOME FROM INVESTMENT OPERATIONS*:
Net investment loss (34.29) (28.26) (26.88) (32.25) (36.19)
Net realized and unrealized gain on investments 133.84 108.05 153.39 47.97 139.70
------------ ------------ ------------ ------------ ------------
TOTAL FROM INVESTMENT OPERATIONS 99.55 79.79 126.51 15.72 103.51
Distributions from net investment income - (47.12) - - -
Distributionsnfrom net realized gain (90.63) (66.73) - - -
------------ ------------ ------------ ------------ ------------
NET ASSET VALUE, END OF PERIOD: $ 1,216.46 $ 1,207.54 $ 1,241.60 $ 1,115.09 $ 1,099.37
============ ============ ============ ============ ============
TOTAL RETURN 8.24% 6.43% 11.35% 1.43% 10.39%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period $571,709,686 $327,210,824 $188,116,360 $205,082,664 $103,278,282
============ ============ ============ ============ ============
Portfolio turnover 30.05% 69.45% 57.90% 25.24% 21.29%
Ratio of expenses to average net assets 2.90%** 2.51% 2.60% 3.06% 3.43%
Ratio of net investment loss to average net assets (2.87%)** (2.37%) (2.35%) (2.95%) (3.40%)
* Per share data for income from investment operations is computed using the
total of monthly income and expense divided by beginning of month shares.
** As noted in Note 10 of the accompanying notes, the ratios above include a
one time penalty of $2,151,669. Had the Fund not incurred this fee, the
ratio of expenses to average net assets and the ratio of net investment
loss to average net assets would have been 2.40% and (2.37)%,
respectively.
THE ABOVE RATIOS MAY VARY FOR INDIVIDUAL INVESTORS BASED ON THE TIMING OF
CAPITAL TRANSACTIONS DURING THE PERIOD.
The accompanying notes are integral part of these financial statements.
-7-
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2008
- --------------------------------------------------------------------------------
1. ORGANIZATION
Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios
LLC (the "Company" "Fund" or "Series G") 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 investment objective of 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 Series G can be described as
a fund of hedge funds.
Shares of Series G are sold to eligible investors (referred to as
"Members"). The minimum initial investment in 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 an indirect, wholly owned
subsidiary of Citigroup Inc., serves as 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 Series G's assets to various
Investment Funds. Under Series G's governing documents, the Company
has delegated substantially all authority to oversee the management of
the operations and assets of 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. 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 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.
Series G's investments in Investment Funds are carried at fair value
as determined by Series G's pro-rata interest in the net assets of
each Investment Fund.
8
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2008 (CONTINUED)
- --------------------------------------------------------------------------------
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 Series G, as an
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.
The Company may invest in Investment Funds that may designate certain
investments within those Investment Funds, typically those that are
especially illiquid and/or hard to value, as "special situation"
(often called "Side-Pocket") investments with additional redemption
limitations. Such a Side-Pocket is, in effect, similar to a private
equity fund that requires its investors to remain invested for the
duration of the fund and distributes returns on the investment only
when liquid assets are generated within the fund, typically through
the sale of the fund's illiquid assets in exchange for cash.
As a general matter, the fair value of Series G's investment in an
Investment Fund represents the amount that Series G can reasonably
expect to receive from an Investment Fund if 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. Series G does not factor into its valuation 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.
In September 2006, the Financial Accounting Standards Board ("FASB")
released Statement of Financial Accounting Standards No. 157, Fair
Value Measurements ("FAS 157"). This standard establishes a single
authoritative definition of fair value, sets out a framework for
measuring fair value and expands disclosures about fair value
measurements. FAS 157 applies to fair value measurements already
required or permitted by existing standards. FAS 157 is effective for
financial statements issued for fiscal years beginning after November
15, 2007, and interim periods within those fiscal years. As of March
31, 2008, the Adviser does not believe the adoption of FAS 157 will
materially impact the financial statement amounts; however, additional
disclosures will be required about the inputs used to develop the
measurements and the effect of certain measurements on changes in
Members' Capital for the period.
B. INCOME RECOGNITION AND EXPENSES
Interest income is recorded on the accrual basis. Income, expenses and
realized and unrealized gains and losses are recorded monthly. The
change in an Investment Fund's net asset value is included in net
change in unrealized appreciation on investments on the Statement of
Operations.
9
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2008 (CONTINUED)
- --------------------------------------------------------------------------------
The Company records realized gain or loss on its investment in
Investment Funds only to the extent that cost of such investment as
well as any Side Pocket has been fully recovered through previous
redemptions from investment in Investment Funds.
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 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 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
Series G operated as a partnership from inception through September
30, 2005. As of October 1, 2005, Series G became a corporation that is
taxed as a regulated investment company.
It is Series G's intention to meet the requirements of the Internal
Revenue Code applicable to regulated investment companies (RIC) and
distribute substantially all of its taxable net investment income and
capital gains, if any, to shareholders each year. Therefore, no
federal income or excise tax provision is typically required for
Series G's financial statements. While Series G intends to distribute
substantially all of its taxable net investment income and capital
gains, in the manner necessary to avoid imposition of the 4% excise
tax as described above, it is possible that some excise tax will be
incurred. In such event, Series G will be liable for the tax only on
the amount by which it does not meet the foregoing distribution
requirements.
During the current year, the Fund adopted FASB Interpretation No. 48,
Accounting for Uncertainty in Income Taxes ("FIN 48"). FIN 48 provides
guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48
requires the evaluation of tax positions taken or expected to be taken
in the course of preparing the Fund's financial statements to
determine whether the tax positions are "more-likely-than-not" of
being sustained by the applicable tax authority. Tax positions not
deemed to meet the "more-likely-than-not" threshold would be recorded
as a tax benefit or expense in the current year. The Adviser has
concluded the adoption of FIN 48 had no impact on the operations of
the Fund for the year ended March 31, 2008 and that no provision for
income tax is required in the Fund's financial statements.
The Fund's federal and state income and federal excise tax returns for
which the applicable statute of limitations have not expired are
subject to examination by the Internal Revenue Service and state
departments of revenue.
10
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2008 (CONTINUED)
- --------------------------------------------------------------------------------
D. CASH AND CASH EQUIVALENTS
Cash and cash equivalents consist of cash on deposit and monies
invested in money market deposit accounts that are accounted for at
amortized cost, which approximates fair value.
E. USE OF ESTIMATES
The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires management of the
Company to make estimates and assumptions that affect the amounts
reported in the financial statements and accompanying notes.
Management believes that the estimates utilized in preparing Series
G's financial statements are reasonable and prudent; however, actual
results could differ from these estimates.
3. NEW ACCOUNTING PRONOUNCEMENTS
In March 2008, the FASB released Statement of Financial Accounting
Standards No. 161, Disclosures about Derivative Instruments and
Hedging Activities ("FAS 161"). FAS 161 requires qualitative
disclosures about objectives and strategies for using derivatives,
quantitative disclosures about fair value amounts and gains and losses
on derivative instruments, and disclosures about credit-risk-related
contingent features in derivative agreements. The adoption of FAS 161
is required for fiscal years beginning after November 15, 2008 and
interim periods within those fiscal years. At this time, the Company
has not yet adopted FAS 161 and is evaluating the implications of FAS
161 and its impact on the financial statements has not yet been
determined.
4. MANAGEMENT FEE, ADMINISTRATIVE FEE, RELATED PARTY TRANSACTIONS AND
OTHER
The Adviser provides certain management and administrative services to
Series G. The Adviser 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, the Adviser also provides office space and other support
services. In consideration for such services, 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, the Adviser allocated certain marketing fees of $11,642
to Series G during the year ended March 31, 2008.
Placement agents may be retained by the Company to assist in the
placement of Fund Shares. A placement agent will generally be entitled
to receive a fee from each investor in the Company whose shares 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 Series G.
11
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2008 (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 Series G Shares. For the year ended March 31, 2008, the Company
paid $2,530,018 in placement fees to CGM on Series G Shares. 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 Series G Shares. 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).
Prior to October 1, 2005 Series G paid 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 reimbursed
certain expenses. CAI, as Administrator, 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. On October 1, 2005 a restructuring of this
arrangement took effect. Under the new arrangement CAI and PFPC have
separate agreements with the Company and act as co-administrators to
the Company. CAI, as co-administrator, no longer receives a monthly
fee for their administrative services to the Company. PFPC continues
to provide certain accounting, recordkeeping, tax and investor related
services. Fees for their services are charged directly to the Company.
Effective January 1, 2008, each Director who is not an "interested
person" of the Company, as defined by the 1940 Act, receives an annual
retainer of $20,000 plus a Board of Directors meeting fee of $1,000
and a telephone meeting fee of $500. The Chairman of the Audit
Committee receives an additional fee of $3,000 per year. 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
Series G for the year ended March 31, 2008 were $45,750.
PFPC Trust Company (an affiliate of PFPC) serves as custodian of
Series G's assets and provides custodial services for Series G. Fees
payable to the custodian and reimbursement for certain expenses are
paid by Series G. Total amounts expensed related to custodian fees by
Series G for the year ended March 31, 2008 were $49,687.
12
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2008 (CONTINUED)
- --------------------------------------------------------------------------------
5. SECURITIES TRANSACTIONS
The following table lists the aggregate purchases and proceeds from
sales of Investment Funds for the year ended March 31, 2008, net
unrealized appreciation, gross unrealized appreciation, and gross
unrealized depreciation as of March 31, 2008.
Cost of purchases $ 329,600,803
---------------
Proceeds from sales $ 132,370,411
---------------
Gross unrealized appreciation $ 77,811,560
Gross unrealized depreciation 23,438,938
---------------
Net unrealized appreciation $ 54,372,622
---------------
6. CONTRIBUTIONS, REDEMPTIONS, AND ALLOCATION OF INCOME
Generally, initial and additional subscriptions for shares 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 shares in Series G. The Board of
Directors from time to time and in its complete and exclusive
discretion, may determine to cause Series G to repurchase shares 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 shares 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).
Transactions in shares were as follows the years ended March 31, 2008
and 2007:
March 31, 2008 March 31, 2007
------------------ ----------------
Shares outstanding, beginning of year 270,972.304 151,511.015
Shares purchased 219,390.921 71,636.095
Shares issued to Series M shareholders - 52,023.277
Shares issued for reinvestment of distributions 24,801.593 18,710.206
Shares redeemed (45,186.614) (22,908.289)
------------ ------------
Shares outstanding, end of year 469,978.204 270,972.304
============ ============
7. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK
In the normal course of business, the Investment Funds in which 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. Series G's risk of loss in these
investment funds is limited to the value of it's investment in such
funds.
13
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2008 (CONTINUED)
- --------------------------------------------------------------------------------
8. INCOME TAX INFORMATION
The tax components of capital shown in the table below represent
distribution requirements Series G must satisfy under the income tax
regulations, losses Series G may be able to offset against income and
gains realized in future years and unrealized appreciation or
depreciation of securities and other investments for federal income
tax purposes.
Undistributed Undistributed long- Accumulated loss Net Unrealized
ordinary income term capital gain carry forward Appreciation
----------------- --------------------- ------------------- ------------------
$5,635,118 $11,500,953 $ -- $4,428,171
The primary difference between the book and tax appreciation or
depreciation of Investment Funds is attributable to adjustments to the
tax basis of Investment Funds based on allocation of income and
distributions from Investment Funds and the tax realization of
financial statement unrealized gain or loss. In addition, the cost of
Investment Funds for Federal income tax purposes is adjusted for items
of taxable income allocated Series G from the Investment Funds. The
allocated taxable income is reported to Series G by each Investment
Fund on Schedule K-1. The aggregate cost on Investment Funds for
federal income tax purposes is therefore calculated and presented
annually as of March 31. The aggregate cost on Investment Funds and
the composition of unrealized appreciation and depreciation on
Investment Funds for federal income tax purposes is noted below.
Federal tax cost of Investment Funds $ 557,546,998
=============
Gross unrealized appreciation $ 4,428,171
Gross unrealized depreciation --
-------------
Net unrealized appreciation $ 4,428,171
=============
Net investment income (loss) and net realized gain (loss) differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income
or net realized gains differ from their ultimate characterization for
federal income tax purposes. Also, due to timing of dividends and
distributions, the fiscal year in which amounts are distributed differ
from the fiscal year in which the income or net realized gain was
recorded by Series G.
Accordingly, the following amounts have been reclassified for March
31, 2008, and are primarily due to the different book to tax treatment
for the distributive share of partnership items, different book to tax
treatment for gains realized on the sale of investment funds
classified as passive foreign investment companies and the commitment
penalty and fee described in Note 10.
14
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
NOTES TO FINANCIAL STATEMENTS - MARCH 31, 2008 (CONTINUED)
- --------------------------------------------------------------------------------
Net assets of Series G were unaffected by the reclassifications.
Accumulated net Over distribution of net realized
investment income (loss) gain on investments Paid-in capital
------------------------------- ------------------------------------ -----------------------
$8,625,140 $8,150,242 ($16,775,382)
For the year ended March 31, 2008, the tax character of distributions
paid by Series G was $5,892,742 ordinary income and $26,325,158
long-term capital gains. For the year ended March 31, 2007, the tax
character of distributions paid by Series G was $15,274,461 ordinary
income and $7,372,824 of long term capital gains. Distributions from
net investment income and short-term capital gains are treated as
ordinary income for federal income tax purposes.
9. LOAN PAYABLE
On December 27, 2006, Series G entered into a Credit and Security
Agreement with an unaffiliated bank for a $125,000,000 revolving
credit facility (the "Credit Facility"). The Credit Facility will be
used in connection with investment activities, for cash management
purposes, to fund the repurchase of shares or for temporary or
emergency purposes as permitted under the Offering Memorandum. The
Credit Facility is secured by Series G's assets. At March 31, 2008,
the outstanding borrowing from the Credit Facility amounted to
$25,400,000, bearing interest at a rate of 5.25% less a discount
percentage per annum. Interest expense on the outstanding borrowing
for the year ended March 31, 2008 was $1,081,862, with $361,137
payable at March 31, 2008.
10. COMMITMENT PENALTY AND FEE
During the year ended March 31, 2008, management of the Company did
not fulfill a capital commitment related to one of its underlying
investments. Instead, the Company paid a penalty based on 15% of the
committed amount plus interest amounting to $2,151,669 as allowed by
the Private Placement Memorandum of the underlying Investment Fund.
The payment of this fee released the Company from any further
liability for its uncommitted amount and is recorded as an operating
expense in the Statement of Operations.
15
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
FEDERAL TAX INFORMATION (UNAUDITED)
- --------------------------------------------------------------------------------
The Fund hereby designates $26,325,158 of capital gain dividends paid on January
22, 2008 as long term capital gain dividends.
For individual shareholders, 19.96% of the ordinary income dividends paid during
the year ended March 31, 2008 have been designated as qualified for the reduced
tax rate under The Job and Growth Tax Relief Reconciliation Act of 2003.
For corporate shareholders, 7.45% of the ordinary income dividends paid during
the year ended March 31, 2008 have been designated as being eligible for the
dividends received deduction.
For non-U.S. shareholders, 100% of the ordinary income dividends paid during the
year ended March 31, 2008 have been designated as short-term capital gain
dividends under the American Jobs Creation Act of 2004. This provision expires
for Fund fiscal years beginning after March 31, 2008.
16
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
- --------------------------------------------------------------------------------
FUND MANAGEMENT
(UNAUDITED)
The Company's officers are appointed by the Directors and oversee the
management of the day-to-day operations of the Company under the supervision of
the Board of Directors. One of the Directors and all of the officers of the
Company are directors, officers or employees of the Adviser, their subsidiaries
or Citigroup. The other Directors are not affiliated with the Adviser, their
subsidiaries or Citigroup and are not "interested persons" as defined under
Section 2(a)(19) of the 1940 Act (the "Independent Directors"). The Directors
and officers of the Company also may be directors and officers of other
investment companies managed, advised, administered or distributed by Citigroup
or its subsidiaries. A list of the Directors and officers of the Company and a
brief statement of their present positions and principal occupations during the
past five years are set out below. To the fullest extent allowed by applicable
law, including the 1940 Act, the Limited Liability Company Agreement indemnifies
the Directors and officers for all costs, liabilities and expenses that they may
experience as a result of their service as such.
Certain of the Directors and officers of the Company are also directors
and/or officers of other investment companies that are advised by the Adviser or
its affiliates. The address for each Director and officer in his or her capacity
as such is 731 Lexington Avenue, 25th Floor, New York, New York 10022.
17
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
- --------------------------------------------------------------------------------
INDEPENDENT DIRECTORS
(INFORMATION UNAUDITED)
POSITION(S) HELD TERM OF OFFICE* PRINCIPAL NUMBER OF PORTFOLIOS OTHER
NAME WITH AND LENGTH OF OCCUPATION(S) DURING IN FUND COMPLEX DIRECTORSHIPS
AND AGE THE COMPANY TIME SERVED PAST 5 YEARS OVERSEEN BY DIRECTOR HELD BY DIRECTOR
- ------------------------------------------------------------------------------------------------------------------------------------
Charles Hurty Director November 2002 Business Consultant One GMAM Absolute
(born 1943) to present since October 2001; Return Strategies
prior thereto, Fund, LLC; CSFB
partner with Alternative
accounting firm of Capital
KPMG, LLP. Registered Funds
(6 portfolios);
iShares Trust and
iShares, Inc.
(151 portfolios)
Steven Krull Director November 2002 Professor of Finance One Cadogan
(born 1957) to present at Hofstra Opportunistic
University; Business Alternatives
Consultant. Fund, LLC
Josh Weinreich Director November 2006 Bankers Trust/ One Smart Pros Inc. -
(born 1960) to present Deutsche Bank (1985 Board of
- 2004) Head of Directors;
Corporate Capital Cornell
Markets (US) University
CIO Global Private Endowment Hedge
Bank Deputy Head and Head Fund Subcommittee
of Global Private
Bank CEO Asset
Management US
Global Head of Hedge
Funds
* Term of office of each officer is indefinite.
18
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
- --------------------------------------------------------------------------------
INDEPENDENT DIRECTORS
(INFORMATION UNAUDITED)
POSITION(S) HELD TERM OF OFFICE* PRINCIPAL NUMBER OF PORTFOLIOS OTHER
NAME WITH AND LENGTH OF OCCUPATION(S) DURING IN FUND COMPLEX DIRECTORSHIPS
AND AGE THE COMPANY TIME SERVED PAST 5 YEARS OVERSEEN BY DIRECTOR HELD BY DIRECTOR
- ------------------------------------------------------------------------------------------------------------------------------------
Raymond Nolte President and September 2005 CEO, Fund of Hedge Funds One None
(born 1961) Director (Chair) to present Group; Portfolio Manager
to Series G since
September 2005; Global
Head and Chief
Investment Officer,
Deutsche Bank ARS Fund
of Funds business
(1996-April 2005).
* Term of office of each officer is indefinite.
19
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC
- --------------------------------------------------------------------------------
OFFICERS
(INFORMATION UNAUDITED)
POSITION(S) HELD WITH TERM OF OFFICE* AND PRINCIPAL OCCUPATION(S)
NAME AND AGE COMPANY LENGTH OF TIME SERVED DURING THE PAST 5 YEARS
- --------------------------------------------------------------------------------------------------------------------------
Raymond Nolte President September 2005 to present See table for "Interested Director" above.
(born 1961) and Director
Jennifer Magro Vice December 2006 to present Managing Director, Citigroup Alternative
(born 1971) President Investments LLC (2006-present); Director,
Citigroup Alternative Investments LLC
(2000-2005)
Trudi Gilligan Chief December 2004 to present Director and Associate General Counsel,
(born 1967) Compliance Citigroup Alternative Investments LLC (since
Officer 2004); Vice President and Associate General
Counsel, Citigroup Alternative Investments
LLC (2000-2004); Associate, law firm of
Battle Fowler LLP. (1996-2000)
Amy M. Olsen Treasurer December 2006 to present Vice President, Citigroup Alternative
(born 1975) Investments LLC (2005-present)
Associate, Amaranth Advisors LLC (2004)
Assistant Vice President, Citigroup
Alternative Investments LLC (2001-2004)
Christopher Hutt Secretary March 2008 to present Vice President, Citigroup Alternative
(born 1970) Investments LLC (2004-present)
Assistant Vice President, JPMorgan Chase &
Co., Network Client Consulting (2000-2003)
Brahm Pillai Assistant March 2008 to present Assistant Vice President, Citigroup
(born 1979) Secretary Alternative Investments LLC
(2007-present); Associate, Citigroup
Alternative Investments LLC (2005-2006)
- --------------------
* Term of office of each officer is indefinite.
Other than as described above, since January 1, 2002, none of the
Independent Directors who is a director of another investment company whose
adviser and principal underwriter is Citigroup Alternative Investments LLC has
held any other position with (i) the Company, (ii) an investment company having
the same adviser or principal underwriter as the Company or an adviser or
principal underwriter that controls, is controlled by or is under common control
with the Adviser, (iii) the Adviser or other affiliate of the Company or (iv)
any person controlling, controlled by or under common control with the Adviser.
None of the Directors currently owns shares of Series G, nor do they own equity
securities issued by other investment companies in the Fund Complex.
20
ITEM 2. CODE OF ETHICS.
(a) The registrant, as of the end of the period covered by this report, has
adopted a code of ethics that applies to the registrant's principal
executive officer, principal financial officer, principal accounting
officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant
or a third party.
(c) There has been an amendment, during the period covered by this report,
to a provision of the code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by the
registrant or a third party, and that relates to any element of the
code of ethics description. The office of Treasurer effective December
2006 is being held by Amy Olsen.
(d) The registrant has not granted any waivers, including an implicit
waiver, from a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller, or persons performing
similar functions, regardless of whether these individuals are employed
by the registrant or a third party, that relates to one or more of the
items set forth in paragraph (b) of this item's instructions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
As of the end of the period covered by the report, the registrant's board of
directors has determined that Charles Hurty is qualified to serve as an audit
committee financial expert serving on its audit committee and that he is
"independent," as defined by Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Audit Fees
- ----------
(a) The aggregate fees billed for each of the last two fiscal years for
professional services rendered by the principal accountant for the
audit of the registrant's annual financial statements or services that
are normally provided by the accountant in connection with statutory
and regulatory filings or engagements for those fiscal years are
$66,550 for 2007 and $95,500 for 2008.
Audit-Related Fees
- ------------------
(b) The aggregate fees billed in each of the last two fiscal years for
assurance and related services by the principal accountant that are
reasonably related to the performance of the audit of the
registrant's financial statements and are not reported under paragraph
(a) of this Item are $0 for 2007 and $0 for 2008.
Tax Fees
- --------
(c) The aggregate fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant for tax
compliance, tax advice, and tax planning are $205,300 for 2007 and
$141,000 for 2008. This fee relates to the preparation of the
registrant's tax return and for the investors' K-1.
All Other Fees
- --------------
(d) The aggregate fees billed in each of the last two fiscal years for
products and services provided by the principal accountant, other than
the services reported in paragraphs (a) through (c) of this Item are
$4,500 for 2007 and $4,500 for 2008. This fee relates to the auditors
N-2 fee filing.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
The Audit Committee will approve in advance any audit and non-audit
services to be provided by the audit firm to (i) the Fund; (ii) the
Fund's investment adviser (non-audit services only); or (iii) any
affiliates of such investment adviser (non-audit services only) that
provide ongoing services to the Fund if the engagement relates directly
to the Fund's operations and financial reporting; provided, that any
single member of the Committee may approve such services on behalf of
the Committee if payments for such services are reasonably estimated at
less than $10,000 and such approval is reported to the Committee at it
next regular meeting; and provided further, that no such non-audit
service may be approved if prohibited by applicable rules of the
Securities and Exchange Commission.
(e)(2) The percentage of services described in each of paragraphs (b) through
(d) of this Item that were approved by the audit committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) N/A
(c) 100%
(d) 100%
(f) The percentage of hours expended on the principal accountant's
engagement to audit the registrant's financial statements for the most
recent fiscal year that were attributed to work performed by persons
other than the principal accountant's full-time, permanent employees
was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's
investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by
another investment adviser), and any entity controlling, controlled by,
or under common control with the adviser that provides ongoing services
to the registrant for each of the last two fiscal years of the
registrant was $0 for 2007 and $0 for 2008.
(h) The registrant's audit committee of the board of directors has
considered whether the provision of non-audit services that were
rendered to the registrant's investment adviser (not including any
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any
entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. INVESTMENTS.
(a) 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.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The Proxy Voting Policies are attached herewith.
CITIGROUP ALTERNATIVE INVESTMENTS
MULTI-ADVISER HEDGE FUND PORTFOLIOS LLC.
Proxy Voting Procedures
-----------------------
Citigroup Alternative Investments Multi-Adviser Hedge Fund Portfolios LLC (the
"Fund"), a "series" investment company registered under the Investment Company
Act of 1940, as amended (the "1940 Act"), has adopted these proxy voting
procedures (the "Procedures") in accordance with, and for the purpose of
complying with, rules related to proxy voting promulgated by the Securities and
Exchange Commission ("SEC") under the 1940 Act and the Investment Advisers Act
of 1940, as amended (the "Advisers Act").
DELEGATION OF PROXY VOTING. The Fund has delegated the responsibility for voting
proxies of its underlying portfolio funds (or other underlying securities) to
its investment adviser, an adviser registered with the SEC pursuant to the
Advisers Act. The investment adviser, Citigroup Alternative Investments LLC
("CAI"), has adopted proxy-voting procedures, including those designed to
address any material conflicts of interests between CAI and its clients
("Adviser Procedures"), which have been reviewed and approved by the Board of
Directors of the Fund and are attached hereto.
ANNUAL REVIEW. The Board of Directors of the Fund will review the Procedures and
the Adviser Procedures annually to ensure the procedures are reasonably designed
to ensure compliance with all relevant proxy-voting rules that are applicable to
the Funds.
FORM N-PX. Commencing in 2004, the Fund will cause Form N-PX to be filed by
August 31 each year and will include proxy-voting information for the one-year
period ending that June 30. Form N-PX is an annual filing of the Fund's complete
proxy voting record which requires information disclosing: (1) each proxy
proposal subject matter; (2) if the proxy proposal was proposed by the issuer or
a shareholder; (3) how the Fund cast its votes; and (4) if the vote cast was for
or against management.
NOTE: BY AUGUST 31, 2008, THE FUND WILL BE REQUIRED TO FILE FORM N-PX FOR THE
PERIOD JULY 1, 2007 TO JUNE 30, 2008.
DISCLOSURE OF PROXY PROCEDURES. Commencing in 2003, the Fund will ensure that a
description of its (and CAI's) proxy-voting procedures, including procedures
related to proxy-voting conflicts of interest, are disclosed in its Offering
Memorandum (the Statement of Additional Information portion, if applicable) and
shareholder reports.
NOTE: REQUIRED WITH THE NEXT SUCH DOCUMENT FILED WITH THE SEC.
AVAILABILITY OF PROXY VOTING PROCEDURES AND VOTING RECORD. Commencing in 2004,
the Fund will state in its Offering Memorandum (the Statement of Additional
Information portion, if applicable) and shareholder reports that its proxy
voting procedures and voting records are available free of charge directly from
the Fund (or its designee) as well as from the SEC website. The Fund will make
its proxy voting records available on either a Fund or CAI website or upon
request by calling a toll-free or collect telephone number.
NOTE: REQUIRED WITH THE NEXT SUCH DOCUMENT FILED WITH THE SEC ON OR AFTER
AUGUST 31, 2008.
Adopted: September 18, 2003
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a)(1) IDENTIFICATION OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS AND
DESCRIPTION OF ROLE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS
Raymond Nolte is currently the sole portfolio manager of the
registrant's portfolio and as such has primary responsibility for the
day-to-day management of the Company. In that capacity he receives
significant input and support from a team of analysts also employed by
the Adviser. Mr. Nolte's professional background is described above in
the table below.
- --------------------------------- ------------------------------ ------------------------------- ------------------------------
NAME AND AGE POSITION(S) HELD WITH TERM OF OFFICE* AND LENGTH OF PRINCIPAL OCCUPATION(S)
COMPANY TIME SERVED DURING THE PAST 5 YEARS
- --------------------------------- ------------------------------ ------------------------------- ------------------------------
Raymond Nolte Portfolio Manager, Director, September 2005 to present CEO, Fund of Hedge Funds
(born 1961) President Group; Portfolio Manager to
the Company since September
2005; Global Head and Chief
Investment Officer, Deutsche
Bank ARS Fund of Funds
business (1996-April 2005)
- --------------------------------- ------------------------------ ------------------------------- ------------------------------
(a)(2) OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM
MEMBER AND POTENTIAL CONFLICTS OF INTEREST
OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM
MEMBER - AS OF MARCH 31, 2008
-----------------------------------------------------------------------------------------------------------
No. of Total Assets
Accounts in Accounts
Name of where where
Portfolio Total Advisory Fee Advisory Fee
Manager or Type of No. of Accounts Total is Based on is Based on
Team Member Accounts Managed Assets Performance Performance
-----------------------------------------------------------------------------------------------------------
Raymond Nolte Registered 1 $574 million n/a n/a
Investment
Companies:
-----------------------------------------------------------------------------------------------------------
Raymond Nolte Other Pooled 44 $4.4 billion 4 $758 million
Investment
Vehicles:
-----------------------------------------------------------------------------------------------------------
Raymond Nolte Other Accounts: 2 $145 million n/a n/a
-----------------------------------------------------------------------------------------------------------
POTENTIAL CONFLICTS OF INTERESTS
As shown in the table above, Mr. Nolte is responsible for managing
other accounts ("Other Accounts") in addition to the Fund. In certain
instances, conflicts may arise in his management of the Fund and such
other Accounts.
One situation where a conflict may arise between the Fund and an Other
Account is in the allocation of investment opportunities among the Fund
and the Other Account. For example, the Adviser may determine that
there is an opportunity that is suitable for the Fund as well as for
Other Accounts of the Adviser, which have a similar investment
objective. As a related matter, a particular Investment Fund interest
or other security may be bought for one or more clients when one or
more other clients are selling that same security, which may adversely
affect the Fund. The Company and the Adviser have adopted policies and
procedures regarding the allocation of investment opportunities, which
generally require that investment opportunities be allocated among the
Fund and Other Accounts in a manner that is fair, equitable and
consistent with their fiduciary obligations to each.
Mr. Nolte's management of the Fund and Other Accounts may result in his
devoting a disproportionate amount of time and attention to the
management of a particular account as against another. This
particularly may be the case when accounts have different objectives,
benchmarks, time horizons, asset levels and fees.
The management of personal accounts by Mr. Nolte may give rise to
potential conflicts of interest. While the Adviser's code of ethics
will impose limits on the ability of Mr. Nolte to trade for his
personal account, there is no assurance that the Adviser's code of
ethics will eliminate such conflicts.
Other than the conflicts described above, the Company is not aware of
any material conflicts that may arise in connection with the Adviser's
management of the Fund's investments and such Other Accounts.
(a)(3) COMPENSATION STRUCTURE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM
MEMBERS - AS OF MARCH 31, 2008
Mr. Nolte's compensation is a combination of salary, discretionary
bonus, deferred compensation, retirement plans and automatic
participation in a company-funded retirement bonus. The discretionary
bonus is based upon the financial results and profitability of
Citigroup as a whole, that of CAI as a whole, and that of CAI's Global
Fund of Funds business unit, for which Mr. Nolte serves as chief
executive. The discretionary bonus is not linked to the performance of
any specific benchmark or that of any CAI investment fund or account;
nor are specific asset size targets considered.
(a)(4) DISCLOSURE OF SECURITIES OWNERSHIP - AS OF MARCH 31, 2008
Dollar ($)
Range of Fund
Name of Portfolio Shares
Manager or Beneficially
Team Member Owned
----------- -----
Raymond Nolte $0
(b) Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
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 407(c)(2)(iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22(b)(15) 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) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.
(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/ Raymond Nolte
-------------------------------------------------------
Raymond Nolte, President
(principal executive officer)
Date May 19, 2008
----------------------------------------------------------------------------
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/ Raymond Nolte
-------------------------------------------------------
Raymond Nolte, President
(principal executive officer)
Date May 19, 2008
----------------------------------------------------------------------------
By (Signature and Title)* /s/ Amy M. Olsen
-------------------------------------------------------
Amy M. Olsen, Treasurer
(principal financial officer)
Date May 19, 2008
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.