N-CSR 1 g57713_rsmultistrainst-ncsr.txt 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 811-22224 ROBECO-SAGE MULTI-STRATEGY INSTITUTIONAL FUND, L.L.C. (Exact name of registrant as specified in charter) ---------- 909 Third Avenue 32nd Floor New York, NY 10022 (Address of principal executive offices) (Zip code) SEI Investments Global Fund Services One Freedom Valley Drive Oaks, PA 19456 (Name and address of agent for service) REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 1-800-242-5742 DATE OF FISCAL YEAR END: MARCH 31 DATE OF REPORTING PERIOD: MARCH 31, 2010 ITEM 1. REPORTS TO STOCKHOLDERS. ROBECO-SAGE MULTI-STRATEGY INSTITUTIONAL FUND, L.L.C. Financial Statements For the year ended March 31, 2010 ROBECO-SAGE MULTI-STRATEGY INSTITUTIONAL FUND, L.L.C. TABLE OF CONTENTS Financial Statements: Report of Independent Registered Public Accounting Firm ................... 1 Statement of Assets and Liabilities ....................................... 2 Statement of Operations ................................................... 3 Statements of Changes in Members' Capital ................................. 4 Statement of Cash Flows ................................................... 5 Financial Highlights ...................................................... 6 Notes to Financial Statements ............................................. 7 Managers and Officers of the Fund (unaudited) ............................. 16
For a description of the portfolio holdings of the Master Fund (as defined in Note 1), into which the Fund invests substantially all of its assets, please see the attached financial statements of the Master Fund, which should be read in conjunction with the financial statements of the Fund. The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (the "Commission") for the first and third quarters of each fiscal year on Form N-Q. The Fund's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling collect (212) 908-9660; and (ii) on the Commission's website at http://www.sec.gov. (ANCHIN LOGO) Anchin, Block & Anchin LLP Accountants & Advisors 1375 Broadway New York, NY 10018 212 840-3456 www.anchin.com REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Managers and Members of Robeco-Sage Multi-Strategy Institutional Fund, L.L.C We have audited the accompanying statement of assets and liabilities of Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. as of March 31, 2010 and the related statements of operations and cash flows for the year then ended, the statement of changes in members' capital and financial highlights for the year then ended and the period January 1, 2009 (commencement of operations) through March 31, 2009. These financial statements and financial highlights are the responsibility of the Fund'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 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. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. 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. As more fully described in the notes to the financial statements, the Fund invests substantially all of its assets in Robeco-Sage Multi-Strategy Master Fund, L.L.C. The audited financial statements of Robeco-Sage Multi-Strategy Master Fund, L.L.C. are attached, and are an integral part of these financial statements. In our opinion, the financial statements and financial highlights referred to above, present fairly, in all material respects, the financial position of Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. as of March 31, 2010, and the results of its operations and its cash flows for the year then ended, changes in its members' capital and financial highlights for the year then ended and the period January 1, 2009 (commencement of operations) through March 31, 2009, in conformity with accounting principles generally accepted in the United States of America. (ANCHIN, BLOCK & ANCHIN LLP) New York, New York May 27, 2010 1 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Statement of Assets and Liabilities March 31, 2010 ASSETS Investment in Robeco-Sage Multi-Strategy Master Fund, L.L.C. $6,109,319 Due from Adviser 10,309 Cash and cash equivalents 6,489 ---------- Total assets 6,126,117 ---------- LIABILITIES Professional fees payable 20,122 Board of Managers' fees payable 3,000 Other accrued expenses 4,762 ---------- Total liabilities 27,884 ---------- NET ASSETS $6,098,233 ========== MEMBERS' CAPITAL Net capital $6,000,000 Accumulated net investment loss (5,849) Accumulated net realized loss on investment in Robeco-Sage Multi-Strategy Master Fund, L.L.C. (15,271) Net unrealized appreciation/(depreciation) on investment in Robeco-Sage Multi-Strategy Master Fund, L.L.C. 119,353 ---------- Members' Capital $6,098,233 ========== NET ASSET VALUE PER UNIT (BASED ON 5,347 UNITS OUTSTANDING) $ 1,140.40 ==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 2 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Statement of Operations For the year ended March 31, 2010 NET INVESTMENT LOSS ALLOCATED FROM ROBECO-SAGE MULTI-STRATEGY MASTER FUND, L.L.C. Interest income $ 12 Income from settlement 6,350 Expenses (10,749) --------- Net investment loss allocated from Robeco-Sage Multi-Strategy Master Fund, L.L.C. (4,387) --------- FUND EXPENSES Professional fees 100,919 Offering expense 55,589 Board of Managers' fees 12,000 Custody fee 2,500 Other fees 7,721 --------- Total fund expenses 178,729 Fund expenses reimbursed (177,675) --------- Net Expenses 1,054 --------- Net Investment Loss (5,441) --------- REALIZED AND UNREALIZED GAINS ON INVESTMENT ACTIVITIES ALLOCATED FROM ROBECO-SAGE MULTI-STRATEGY MASTER FUND, L.L.C. Net Realized Loss on Investment (13,555) Net Change in Unrealized Appreciation/(Depreciation) on Investment 115,677 --------- Net Realized and Unrealized Gains on Investments allocated from Robeco-Sage Multi-Strategy Master Fund, L.L.C. 102,122 --------- Net Increase in Members' Capital derived from Investment Activities $ 96,681 =========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 3 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Statements of Changes in Members' Capital
For the period January 1, 2009 (commencement of For the year ended operations) through March 31, 2010 March 31, 2009 ------------------ ------------------- FROM INVESTMENT ACTIVITIES Net investment loss* $ (5,441) $ (408) ---------- -------- Net realized gain/(loss) on investments in Robeco-Sage Multi-Strategy Master Fund, L.L.C. (13,555) (1,716) Net change in unrealized appreciation/(depreciation) on investments in Robeco-Sage Multi-Strategy Master Fund, L.L.C. 115,677 3,676 ---------- -------- Net realized and unrealized gains/(losses) 102,122 1,960 ---------- -------- Net increase/(decrease) in Members' Capital derived from investment activities 96,681 1,552 ---------- -------- MEMBERS' CAPITAL TRANSACTIONS Sales of Units 5,900,000 100,000 ---------- -------- 5,900,000 100,000 ---------- -------- Net Increase/(Decrease) in Members' Capital 5,996,681 101,552 Members' Capital at Beginning of Period 101,552 -- ---------- -------- Members' Capital at End of Period $6,098,233 $101,552 ========== ======== Accumulated Net Investment Loss $ (5,849) $ (408) ========== ========
* Investment income less net expenses. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 4 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Statement of Cash Flows For the year ended March 31, 2010 CASH FLOWS USED IN OPERATING ACTIVITIES Net increase in Members' Capital derived from investment activities $ 96,681 Adjustments to reconcile net decrease in Members' Capital derived from investment activities to cash used in operating activities: Payment for purchases of Robeco-Sage Multi-Strategy Master Fund, L.L.C (5,925,000) Net change in unrealized (appreciation)/depreciation on investment in Robeco-Sage Multi-Strategy Master Fund, L.L.C (115,677) Net realized loss on investment in Robeco-Sage Multi-Strategy Master Fund, L.L.C 13,555 Net investment loss allocated from Robeco-Sage Multi-Strategy Master Fund, L.L.C 4,387 Decrease in due from Adviser 20,617 Decrease in organizational fees payable (29,527) Decrease in offering fee payable (9,043) Decrease in professional fees payable (2,610) Increase in other accrued expenses 4,105 ----------- Net cash used in operating activities (5,942,512) ----------- CASH FLOWS FROM FINANCING ACTIVITIES Proceeds from sales of Units 5,900,000 ----------- Net cash provided by financing activities 5,900,000 ----------- Net decrease in cash and cash equivalents (42,512) Cash and cash equivalents, beginning of year 49,001 ----------- Cash and cash equivalents, end of year $ 6,489 ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 5 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Financial Highlights
For the period January 1, 2009 (commencement of For the year ended operations) through March 31, 2010 March 31, 2009 ------------------ ------------------- PER UNIT OPERATING PERFORMANCE Beginning net asset value $1,015.52 $1,000.00 --------- --------- Income/(loss) from operations*: Net investment loss (7.46) (4.08) Net realized and unrealized appreciation/ (depreciation) from Robeco-Sage Multi-Strategy Master Fund, L.L.C 132.34 19.60 --------- --------- Net change in net assets resulting from operations 124.88 15.52 --------- --------- Ending net asset value $1,140.40 $1,015.52 ========= ========= Total Return 12.30% 1.55%(1) Net assets, end of period (000's) $ 6,098 $ 102 RATIOS TO AVERAGE NET ASSETS(8) Expenses, before waivers and reimbursements (2) 23.02% 206.41%(3) Expenses, net of waivers and reimbursements (2) 1.43%(6) 1.64%(4)(6) Net investment loss, before waivers and reimbursements (22.25)% (206.41)%(3) Net investment loss, net of waivers and reimbursements (0.66)% (1.63)%(4) Portfolio turnover rate 32.12%(7) 12.70%(5)(7)
* Per share calculations were performed using average shares for the period. (1) Total return is for the period indicated and has not been annualized. (2) Expenses of Portfolio Funds are not included in the expense ratio. (3) Annualized, with the exception of non-recurring organizational expenses of $29,527. (4) Annualized (5) Not annualized. (6) Expense ratio is greater then the expense cap of 1.40% due to inclusion of extraordinary expenses that are not covered by the expense cap as further described in Note 4. (7) Portfolio turnover rate represents the rate for Robeco-Sage Multi-Strategy Master Fund, L.L.C. (8) Includes amounts allocated from the Master Fund. Note: The expense ratios, the net investment loss ratio, and the total return percentages are calculated for the Members taken as a whole. The computation of such ratios and return based on the amount of expenses charged to any specific Member may vary from the overall ratios presented in the financial statements as a result of the timing of capital transactions. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 6 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements March 31, 2010 1. ORGANIZATION Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. (the "Fund") is a recently formed Delaware limited liability company that is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified, closed-end, management investment company. The Fund is similar to a private investment fund in that, through its investment in the Master Fund (as defined below), its assets will be actively managed and units of limited liability interests in the Fund ("Units") are sold solely to high net worth individual and institutional investors, but differs from a typical hedge fund in that it permits investments in relatively modest minimum denominations and that it has registered as an investment company under the 1940 Act and has registered its Units under the Securities Act of 1933, as amended (the "1933 Act"). The Fund commenced operations on January 1, 2009. The Fund's investment objective is to achieve long-term capital appreciation while attempting to reduce risk and volatility. The Fund accomplishes its investment objective by investing substantially all of its assets in Robeco-Sage Multi-Strategy Master Fund, L.L.C. (the "Master Fund"), a recently formed Delaware limited liability company, which, like the Fund is registered under the 1940 Act. The Master Fund, in turn, invests its assets primarily in hedge funds and other similar investment vehicles ("Portfolio Funds") that are managed by a select group of portfolio managers ("Portfolio Managers") that invest in a variety of financial markets and utilize a broad range of alternative investment strategies. At March 31, 2010 the Fund holds 6.76% ownership interest in the Master Fund. The financial statements of the Master Fund, including the schedule of investments, are included elsewhere in this report and should be read in conjunction with the Fund's financial statements. Investors who purchase Units and who are admitted to the Fund by its Board of Managers (the "Board") will become members of the Fund ("Members"). For accounting purposes, the Fund's fiscal year is the 12-month period ending on March 31. The 12-month period ending December 31 of each year is the taxable year of the Fund and the Master Fund. 2. SIGNIFICANT ACCOUNTING POLICIES FINANCIAL ACCOUNTING STANDARDS BOARD ("FASB") LAUNCHES ACCOUNTING STANDARDS CODIFICATION - The FASB has issued FASB ASC 105 (formerly Statement No. 168), The "FASB ACCOUNTING STANDARDS CODIFICATION(TM)" AND THE HIERARCHY OF GENERALLY ACCEPTED ACCOUNTING PRINCIPLES ("ASC 105"). ASC 105 established the FASB Accounting Standards Codification(TM) ("Codification" or "ASC") as the single source of authoritative U.S. generally accepted accounting principles ("GAAP") recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission ("SEC") under authority of federal securities laws are also sources of authoritative GAAP for SEC registrants. The Codification supersedes all existing non-SEC accounting and reporting standards. All other non-grandfathered, non-SEC accounting literature not included in the Codification will become non-authoritative. 7 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Following the Codification, the FASB will not issue new standards in the form of Statements, FASB Staff Positions or Emerging Issues Task Force Abstracts. Instead, it will issue Accounting Standards Updates, which will serve to update the Codification, provide background information about the guidance and provide the basis for conclusions on the changes to the Codification. GAAP is not intended to be changed as a result of the FASB's Codification project, but it will change the way the guidance is organized and presented. As a result, these changes will have a significant impact on how companies reference GAAP in their financial statements and in their accounting policies for financial statements issued for interim and annual periods ending after September 15, 2009. The Fund has implemented the Codification as of September 30, 2009. The Fund's investment in the Master Fund is valued at fair value based upon the Fund's proportionate share in the members' capital of the Master Fund. The Fund records its proportionate share of the Master Fund's income, expenses, and realized and unrealized gains and losses. In addition, the Fund accrues its own expenses. The performance of the Fund is directly affected by the performance of the Master Fund. Attached are the financial statements of the Master Fund, including disclosure of the Master Fund's significant accounting policies, which are an integral part of these financial statements. A. Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America may require the Fund to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from these estimates. B. Portfolio Valuation and Investment Transactions The Fund records its investment in the Master Fund at fair value. Valuation of investments held by the Master Fund are discussed in the notes to the Master Fund's financial statements, included elsewhere in this report. C. Income Taxes Counsel to the Fund has rendered an opinion that the Fund will be classified as a partnership and not as an association taxable as a corporation for Federal tax purposes. Counsel to the Fund also has rendered its opinion that, under a "facts and circumstances" test, the Fund will not be treated as a "publicly traded partnership" taxable as a corporation. Accordingly, the Fund should not be subject to Federal income tax, and each Member will be required to report on its own annual tax return such Member's distributive share of the Master Fund's taxable income or loss. 8 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONCLUDED) C. Income Taxes (concluded) ASC 740 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. Based on its analysis, management has determined that these provisions of ASC 740 did not have a material impact to the Fund's financial statements. However, management's conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance expected from the FASB, and on-going analyses of and changes to tax laws, regulations and interpretations thereof. As of and during the tax year-ended December 31, 2009, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Fund did not incur any interest or penalties. D. Distribution Policy The Fund has no present intention of making periodic distributions of its net investment income or capital gains, if any, to Members. The amount and frequency of distributions, if any, will be determined in the sole discretion of the Board. E. Cash and Cash Equivalents The Fund treats all highly liquid financial instruments that mature within three months as cash equivalents. 3. RELATED PARTY TRANSACTIONS AND OTHER RELATED PARTIES Robeco Investment Management, Inc. (the "Adviser") serves as the investment adviser of the Fund, the Master Fund and other related funds. The Adviser is registered as an investment adviser under the Investment Advisers Act of 1940, as amended. The Adviser is a subsidiary of Robeco Groep, N.V. ("Robeco") and is responsible for developing, implementing and supervising the Fund's investment program and providing day-to-day management services to the Fund. The Board has overall responsibility for the management and supervision of the operations of the Fund. Employees of the Adviser serve as officers and as members of the Board of the Fund. In consideration of these investment advisory services and pursuant to an advisory agreement between the Fund and the Adviser (the "Advisory Agreement"), a quarterly fee at an annualized rate of 0.75% of the average net assets of the Fund during each calendar quarter (the "Advisory Fee") is payable by the Fund to the Adviser. However, under the Advisory Agreement, the Fund is not subject to the Advisory Fee so long as substantially all of the Fund's assets remain invested in the Master Fund, which also pays the Adviser a quarterly fee at an annualized rate of 0.75% of the average net assets of the Master Fund during each calendar quarter for investment advisory services. The Adviser also provides office space, telephone and 9 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements (continued) 3. RELATED PARTY TRANSACTIONS AND OTHER (CONTINUED) RELATED PARTIES (CONTINUED) utilities; and administrative and secretarial, clerical and other personnel as necessary to provide the services required to be furnished under the Advisory Agreement. In addition, pursuant to a management agreement with the Fund (the "Management Agreement"), the Adviser provided (or arranged for the provision of) office space, telephone services and utilities and various administrative services to the Fund, including certain legal and compliance services, and was responsible for the oversight of the Fund's administrator and other service providers. The Management Agreement was terminated on September 11, 2009 and the Advisory Agreement was amended to reflect the Adviser's provision of services that had been previously provided under the Management Agreement. In consideration for these services, a quarterly management fee at an annualized rate of 0.10% of the average net assets of the Fund during the calendar quarter (the "Management Fee") was payable by the Fund to the Adviser. However, under the Management Agreement, the Fund was not subject to the Management Fee so long as substantially all of the Fund's assets remained invested in the Master Fund, which also paid the Adviser a quarterly management fee at an annualized rate of 0.10% of the average net assets of the Master Fund during each calendar quarter. The Adviser waived the management fee payable by the Master Fund to the Adviser effective July 1, 2009 and, with the termination of the Management Agreement, the management fee was eliminated effective September 11, 2009. The Fund has entered into a distribution agreement (the "Distribution Agreement") with Robeco Securities, a subsidiary of the Adviser, to act as the distributor for the sale of Units (the "Distributor"). Robeco Securities serves as the Distributor on a reasonable best efforts basis, subject to various conditions, and may retain broker-dealers and financial advisers (collectively with Robeco Securities, the "Selling Agents") to assist in the distribution of Units. As of January 1, 2009, the Fund has also entered into a Member Services Agreement with the Distributor to provide (or arrange for the provision of) ongoing Member and account maintenance services. As consideration for these services, the Fund pays an ongoing monthly Member servicing fee to the Distributor at an annualized rate of 0.15% of the beginning net assets of the Fund during the calendar month. The Distributor may pay all or a portion of this amount to retain broker-dealers and financial advisors ("Member Service Providers") to provide Member and account maintenance services. The Fund and the Master Fund have entered into a Master/Feeder Agreement dated January 1, 2009. Pursuant to the agreement, the Fund and the Master Fund each have the same investment objective and substantially the same investment policies. The Fund pursues its investment objective by investing on an ongoing basis substantially all of its investable assets in the Master Fund in exchange for limited liability company interests in the Master Fund. The Master/Feeder Agreement will remain in effect unless terminated by the Fund or the Master Fund. The Adviser has invested as a Member of the Fund as a seed investor. The Adviser invested $100,000 at the Fund's inception on September 29, 2008. At March 31, 2010, the Adviser's capital balance was $114,039. 10 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements (continued) 3. RELATED PARTY TRANSACTIONS AND OTHER (CONCLUDED) RELATED PARTIES (CONCLUDED) Cooperatieve Centrale Raiffeissen - Boerenleen Bank B.A. ("Rabobank"), the ultimate parent company of the Adviser and Robeco, and its affiliates are subject to certain U.S. banking laws, including the Bank Holding Company Act of 1956, as amended (the "BHCA"), and to regulation by the Board of Governors of the Federal Reserve System or other appropriate bank regulatory agencies. The BHCA and other applicable banking laws, rules, regulations and guidelines, and the interpretation and administration thereof by the staff of the regulatory agencies which administer them, may restrict the transaction and relationships between the Adviser, Rabobank, Robeco and their affiliates, on the one hand, and the Fund, on the other hand, and may restrict the investments and transactions by the Fund. Rabobank may be deemed to control the Fund for purposes of the BHCA. Each member of the Board, who is not an "interested person" of the Fund, as defined by the 1940 Act, receives an annual fee of $4,000. In addition, the Master Fund pays each member of the Board who is not an "interested person" an annual fee of $2,000. Any Board member who is an "interested person" does not receive any annual or other fee from the Fund. All Board members are reimbursed by the Fund for reasonable out-of-pocket expenses. OTHER SEI Investments Global Fund Services (the "Administrator") provides various administrative services to the Fund, including fund accounting, investor accounting and taxation services, maintaining the register of the Fund and subject to approval by the Fund, generally reviewing and performing all actions related to the issuance and transfer of Units; performing all acts related to the repurchase of Units; and performing all other clerical services necessary in connection with the administration of the Fund, pursuant to an administration agreement (the "Administration Agreement"). In consideration of such services, the Fund pays the Administrator a monthly fee based on the aggregate month-end net assets of the Fund and the other funds in the "Fund Complex" (as defined in the Fund's prospectus) at an annual rate of up to 0.12%, subject to certain fee minimums, and reimburses the Administrator for certain out-of-pocket expenses. After its initial term of three years, the Administration Agreement may be terminated at any time by either party generally upon not less the 90 days' written notice. SEI Private Trust Company acts as custodian (the "Custodian") for the Fund's assets. In consideration for such services, the Fund pays the Custodian an annual fee of $2,500. In addition, the Master Fund pays the Custodian a monthly fee, based on month-end net assets, at an annual rate of up to 0.01%. The Master Fund participated in a lawsuit filed against the Portfolio Manager of a Portfolio Fund in which the Master Fund was previously invested. This lawsuit was settled in March 2010 and the settlement value is reflected in the Master Fund's financial performance. 11 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements (continued) 4. FUND EXPENSES The Fund bears all of its own expenses and, through its investment in the Master Fund, its portion of the Master Fund's operating expenses, other than those borne by the Adviser pursuant to the Advisory Agreement, including, but not limited to: all investment related expenses (e.g., fees paid directly or indirectly to Portfolio Managers, all costs and expenses directly related to portfolio transactions and positions for the Master Fund's account, all costs and expenses associated with the establishment of any portfolio accounts); any non-investment related interest expense; organizational and offering expenses; fees and disbursements of any attorneys and accountants engaged by the Fund and the Master Fund; audit and tax preparation fees and expenses of the Fund; all costs and expenses associated with background checks on Portfolio Managers; all costs and expenses associated with retaining independent third parties to provide risk management services to the Fund and Master Fund; custody and escrow fees and expenses; the costs of an errors and omissions/directors and officers liability insurance policy and a fidelity bond; fees and travel-related and other expenses of members of the Board who are not employees of the Adviser or any affiliated person of the Adviser; all costs and charges for equipment or services used in communicating information regarding the Fund's and Master Fund's transactions among the Adviser and any custodian or other agent engaged by the Fund; any extraordinary expenses; and such other expenses as may be approved from time to time by the Board. The Fund also indirectly bears fees and expenses of the Portfolio Funds, as an investor in the Master Fund. Each Portfolio Manager generally receives a management fee and a performance fee or allocation with respect to the assets of Portfolio Funds that it manages. The amount of these fees and allocations varies among Portfolio Managers, but the management fees are generally expected to be between 1.0%-2.0%, on an annual basis, of the total assets managed by a Portfolio Manager, and the performance fees or allocations are generally expected to be between 15% - 25% of the net capital appreciation (if any) in the assets managed by a Portfolio Manager. The Adviser and the Fund have entered into an expense limitation and reimbursement agreement (the "Expense Limitation Agreement") under which the Adviser (or its affiliate) has agreed to pay or absorb the ordinary operating expenses of the Fund (including organization and offering expenses, as well as the portion of the Master Fund's fees and expenses borne by the Fund, but excluding any Portfolio Fund fees and expenses, interest, brokerage commissions and extraordinary expenses of the Fund), to the extent necessary to limit the ordinary operating expenses of the Fund to 1.40% per annum of the Fund's average monthly net assets (the "Expense Limitation"). Therefore, the accompanying Statement of Assets and Liabilities includes a receivable from the Adviser of $10,309 for the reimbursement of excess expenses. In consideration of the Adviser's agreement to limit the Fund's expenses, the Fund will carry forward the amount of expenses paid or absorbed by the Adviser (or its affiliate) in excess of the Expense Limitation for a period not to exceed three years from the end of the fiscal year in which they were incurred and will reimburse the Adviser (or its affiliate) such amounts. Reimbursement will be made as promptly as possible, but only to the extent it does not cause the Fund's ordinary operating expenses, in the year of reimbursement, to exceed the Expense Limitation in effect at the time of reimbursement. As of March 31, 2010, the amount of the carryforward is $251,050 which includes $73,375 and $177,675 from the fiscal years ending March 31, 2009 and 2010, respectively. The Expense Limitation Agreement will remain in effect until terminated by the Fund. None of the fees charged to the Master Fund by a Portfolio Fund will be subject to the Expense Limitation Agreement. 12 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements (continued) 4. FUND EXPENSES (CONCLUDED) The Fund, through its investment in the Master Fund, has incurred legal expenses that were deemed by management to be extraordinary expenses, and therefore, not subject to the Expense Limitation, pursuant to the terms of the Expense Limitation Agreement. These legal expenses relate to the Master Fund's participation in a lawsuit filed against a Portfolio Manager of a Portfolio Fund in which the Master Fund was previously invested. 5. OFFERING COSTS The Fund incurred initial offering costs totaling $72,813 comprised principally of legal costs pertaining to the preparation of the Fund's offering documents. These costs were being amortized over the initial twelve-month period through December 31, 2009. These offering costs were subject to the Expense Limitation and Reimbursement Agreement. 6. MEMBERS' CAPITAL Unit transactions for the year ended March 31, 2010 were as follows: Units outstanding at beginning of year 100 Units issued 5,247 Units redeemed -- ----- Units outstanding at end of year 5,347 =====
7. BORROWINGS The Fund and the Master Fund are authorized to borrow money for investment purposes, to meet repurchase requests and for cash management purposes. Borrowings by the Fund and Master Fund, including any borrowings on behalf of Portfolio Accounts, are subject to a 300% asset coverage requirement under the 1940 Act. 8. CAPITAL ACCOUNTS AND ALLOCATIONS The Fund maintains a separate capital account for each Member which will have an opening balance equal to the Member's initial contribution to the capital of the Fund (net of any applicable sales load). The Fund has chosen to utilize a "per unit" method to account for Members' capital effective at the inception of the Fund. A Member's contribution is used to purchase Units in the Fund. The Units represent the capital account maintained on the Member's behalf that reflects the Member's pro rata share of the Fund's capital. A Member's capital account is used to facilitate tax reporting to the Member. Units are offered at their net asset value per Unit, and each Unit subscribed for represents a capital contribution to the Fund in that amount. Each Member's capital account will be increased by the amount of contributions by the Member to the capital of the Fund, plus any amounts credited to the Member's capital account as described below. Similarly, each Member's capital account will be reduced by the sum of the amount of any repurchase by the Fund of the Unit, or portion thereof, of the Member, plus the amount of any distributions to the 13 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements (continued) 8. CAPITAL ACCOUNTS AND ALLOCATIONS (CONCLUDED) Member which are not reinvested, plus any amounts debited against the Member's capital account as described below. Similarly, each Member's capital account will be reduced by the sum of the amount of any repurchase by the Fund of the Unit, or portion thereof, of the Member, plus the amount of any distributions to the Member which are not reinvested, plus any amounts debited against the Member's capital account as described below. Capital accounts of Members are adjusted as of the close of business on the last day of each fiscal period. Fiscal periods begin on the day after the last day of the preceding fiscal period and end at the close of business on the first to occur of the following: (i) the last day of a fiscal year (March 31); (ii) the last day of a taxable year (December 31); (iii) the day preceding any day on which a contribution to the capital of the Master Fund is made; (iv) any day on which the Fund repurchases any Unit or portion of an Unit of any Member; or (v) any day on which any amount is credited to or debited against the capital account of any Member other than an amount to be credited to or debited against the capital accounts of all Members in accordance with their respective investment percentages. An investment percentage will be determined for each Member as of the start of each fiscal period by dividing the balance of the Member's capital account as of the commencement of the period by the sum of the balances of all capital accounts of all Members as of that date. Net profits or net losses of the Fund for each fiscal period are allocated among and credited to or debited against the capital accounts of all Members as of the last day of the fiscal period in accordance with Members' respective investment percentages for the fiscal period. Net profits or net losses will be measured as the net change in the value of the net assets of the Fund (including any net change in unrealized appreciation or depreciation of investments and realized income and gains or losses and accrued expenses), before giving effect to any repurchases by the Fund of Units or portions thereof, and excluding the amount of any items to be allocated among the capital accounts of the Members other than in accordance with the Members' respective investment percentages. 9. PURCHASE AND REPURCHASES OF UNITS Generally, the minimum initial investment in the Fund from each investor is $50,000, and the minimum additional investment in the Fund is $25,000. The minimum initial and additional investment for employees of the Adviser or a selling agent of the Fund and their affiliates, and members of their immediate families and, in the sole discretion of the Adviser, as applicable, members of the Board, attorneys and other professionals engaged on behalf of the Fund and members of their immediate families, is $25,000. The minimum initial and minimum additional investment requirements may be reduced or increased by the Board. Units are not redeemable and a Member has no right to require the Fund to redeem its Units. The Fund will from time to time make offers to repurchase Units from Members pursuant to written tenders. Repurchase offers will be made at such times and on such terms as may be determined by the Board, in its sole discretion. In determining whether the Fund should offer to repurchase Units or portions thereof from Members, the Board will consider the recommendations of the Adviser. The Adviser currently expects that it will recommend to the Board that the Fund offer to repurchase Units from Members, as of the last 14 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Notes to Financial Statements (concluded) 9. PURCHASE AND REPURCHASES OF UNITS (CONCLUDED) business day of March, June, September and December. A repurchase fee equal to 2.0% of the value of a Unit repurchased, which is retained by the Fund, will apply if the date as of which the Unit is to be valued for purposes of repurchase is less than one year following the date of a Member's investment in the Fund. The fee is intended to offset costs associated with short-term investments in the Fund. If applicable, the repurchase fee will be deducted before payment of the proceeds of a repurchase. The Board will also consider the following factors, among others, in making their determination of the amount of the tender offer: (i) whether any Members have requested the Fund to repurchase their Units or portions thereof; (ii) the liquidity of the Fund's assets (including the liquidity of investments held by the Portfolio Funds); (iii) the investment plans and working capital requirements of the Fund; (iv) the relative economies of scale with respect to the size of the Fund; (v) the history of the Fund in repurchasing Units; (vi) the economic condition of the securities markets; and (vii) the anticipated tax consequences of any proposed repurchases of Units or portions thereof. 10. INDEMNIFICATIONS In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote. 11. TENDER OFFER On March 1, 2010 the Fund offered to purchase up to $1,000,000 of Units tendered by Members of the Fund at a price equal to the net asset value as of June 30, 2010. In May 2010, the Fund accepted tender offer requests of approximately $100,000, all of which was seed capital. The final tender amount will be based upon the June 30, 2010 net asset value. 12. SUBSEQUENT EVENTS Subsequent to year end through May 27, 2010, the Fund received $550,000 of subscriptions. 15 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Managers and Officers of the Fund (unaudited) as of March 31, 2010
NUMBER TERM OF OF FUNDS PRESENT OR OFFICE IN FUND PAST (WITHIN 5 AND COMPLEX YEARS) OTHER NAME, AGE, AND LENGTH OVERSEEN DIRECTORSHIPS POSITION WITH OF TIME PRINCIPAL OCCUPATION BY HELD BY THE FUND SERVED DURING PAST 5 YEARS MANAGER MANAGERS ---------------------------- ---------------- --------------------------------------- -------- ------------------------ DISINTERESTED MANAGERS Charles S. Crow, III, 60 Indefinite/Since Mr. Crow has been a partner of the 7 Member of the Board of Manager September 2008 law firm of Crow & Associates since Directors of 1st c/o Robeco-Sage Multi- 1981. Constitution Bank; Strategy Institutional Fund, Member of the Board of L.L.C. Trustees of Centurion 909 Third Avenue Ministries, Inc. New York, NY 10022 Richard B. Gross, 62 Indefinite/Since Mr. Gross is a lawyer and private 7 Member of the Board of Manager September 2008 investor. From 1998 through 2001, he Trustees of Randall's c/o Robeco-Sage Multi- served as Managing Director and Island Sports Strategy Institutional Fund, General Counsel of U.S. Trust, a 150- Foundation, a non-profit L.L.C. year old banking firm specializing in public/private 909 Third Avenue investment management and fiduciary partnership with the New York, NY 10022 services. NYC Parks & Recreation Dept. David C. Reed, 59 Indefinite/Since Mr. Reed is the Chief Executive 7 Member of the Board of Manager September 2008 Officer, principal owner and co- Directors of 1st c/o Robeco-Sage Multi- founder of Mapleton Nurseries (1998 - Constitution Bank Strategy Institutional Fund, present) and is the Managing Director L.L.C. of Reed & Company (1995 -present). 909 Third Avenue New York, NY 10022 INTERESTED MANAGER* Timothy J. Stewart, 35 Indefinite/Since Mr. Stewart is the Chief Financial 7 N/A Manager, President and September 2008 Officer and a Managing Director of Chief Executive Officer the Robeco-Sage division of Robeco c/o Robeco-Sage Multi- Investment Management, Inc. (June Strategy Institutional Fund, 2008 - present). From January 2003 L.L.C. to June 2008, he served as the Director 909 Third Avenue of Operations and a Managing New York, NY 10022 Director of the Robeco-Sage division of Robeco Investment Management, Inc. (1)
* Manager who is an "interested person" (as defined by the 1940 Act) of the Fund because of his affiliation with the Adviser and its affiliates. (1) Prior to January 1, 2007, Mr. Stewart served as the Director of Operations and a Managing Director of Robeco-Sage Capital Management, L.L.C. 16 Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. Managers and Officers of the Fund (unaudited) as of March 31, 2010
NUMBER TERM OF OF FUNDS PRESENT OR OFFICE IN FUND PAST (WITHIN 5 AND COMPLEX YEARS) OTHER NAME, AGE, AND LENGTH OVERSEEN DIRECTORSHIPS POSITION WITH OF TIME PRINCIPAL OCCUPATION BY HELD BY THE FUND SERVED DURING PAST 5 YEARS MANAGER MANAGERS ---------------------------- ---------------- --------------------------------------- -------- ------------------------ OFFICERS WHO ARE NOT MANAGERS Matthew J. Davis, 44 Indefinite/Since Mr. Davis is Senior Managing N/A N/A Chief Financial Officer September 2008 Director and Chief Financial Officer c/o Robeco-Sage Multi- of the Adviser (July 1, 2008-present). Strategy Institutional Fund, He is also the Chief Financial Officer L.L.C. of Robeco Securities (June 2005- 909 Third Avenue present). New York, NY 10022 James Noone, 42 Indefinite/Since Mr. Noone is a Senior Compliance N/A N/A Chief Compliance Officer September 2008 Manager at the Adviser (July 2008 - c/o Robeco-Sage Multi- present). From 2005 to 2008, he Strategy Institutional Fund, served as Senior Vice President and L.L.C. Associate Counsel for the Adviser. 909 Third Avenue New York, NY 10022
17 ROBECO-SAGE MULTI-STRATEGY MASTER FUND, L.L.C. Financial Statements For the year ended March 31, 2010 ROBECO-SAGE MULTI-STRATEGY MASTER FUND, L.L.C. TABLE OF CONTENTS Financial Statements: Report of Independent Registered Public Accounting Firm ................... 1 Schedule of Investments ................................................... 2 Statement of Assets and Liabilities ....................................... 5 Statement of Operations ................................................... 6 Statements of Changes in Members' Capital ................................. 7 Statement of Cash Flows ................................................... 8 Financial Highlights ...................................................... 9 Notes to Financial Statements ............................................. 10 Managers and Officers of the Fund (unaudited) ............................. 26
The Master Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (the "Commission") for the first and third quarters of each fiscal year on Form N-Q. The Master Fund's Forms N-Q are available on the Commission's website at http://www.sec.gov, and may be reviewed and copied at the Commission's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. A description of the policies and procedures that the Master Fund uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how the Master Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling collect (212) 908-9660; and (ii) on the Commission's website at http://www.sec.gov. (ANCHIN LOGO) Anchin, Block & Anchin LLP Accountants & Advisors 1375 Broadway New York, NY 10018 212 840-3456 www.anchin.com REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Board of Managers and Members of Robeco-Sage Multi-Strategy Master Fund, L.L.C We have audited the accompanying statement of assets and liabilities including the schedule of investments, of Robeco-Sage Multi-Strategy Master Fund, L.L.C. as of March 31, 2010 and the related statements of operations and cash flows for the year then ended, the statements of changes in members' capital and financial highlights for the year then ended and for the period January 1, 2009 (commencement of operations) through March 31, 2009. These financial statements and financial highlights are the responsibility of the Fund'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 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. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of investments owned at March 31, 2010, by correspondence with the custodian and portfolio 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 Robeco-Sage Multi-Strategy Master Fund, L.L.C. as of March 31, 2010, and the results of its operations and its cash flows for the year then ended, the changes in members' capital and financial highlights for the year then ended and for the period January 1, 2009 (commencement of operations) through March 31, 2009, in conformity with accounting principles generally accepted in the United States of America. (ANCHIN, BLOCK & ANCHIN LLP) New York, New York May 27, 2010 1 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Schedule of Investments March 31, 2010 INVESTMENT STRATEGY AS A PERCENTAGE OF TOTAL INVESTMENTS (PIE CHART) Long/Short Equity 35.9% Event-Driven 19.6% Distressed 14.7% Macro 14.4% Fundamentals Market Neutral 6.5% Multi-Strategy Relative Value 5.2% Structured Credit 3.5% Credit 0.1% Fixed Income Relative Value 0.1%
%* OF MEMBERS' PORTFOLIO FUND COST VALUE CAPITAL LIQUIDITY** -------------- ----------- ----------- -------- ------------- LONG/SHORT EQUITY: Artha Emerging Markets Fund, L.P. $ 1,850,000 $ 1,938,569 2.14% Quarterly Avesta Fund, L.P. 2,850,000 2,941,542 3.25% Monthly Cobalt Partners L.P. 4,000,000 4,195,482 4.64% Semi-Annually Criterion Institutional Partners, L.P. 2,156,382 2,421,481 2.68% Quarterly Henderson Asia Pacific Absolute Return Fund Ltd. 2,300,000 2,276,390 2.52% Monthly Highline Capital Partners QP, L.P. 2,904,951 3,181,469 3.52% Quarterly Ivory Flagship Fund, L.P. 2,960,729 3,289,663 3.64% Quarterly Pennant Windward Fund, L.P. 3,250,000 3,710,297 4.10% Quarterly PFM Diversified Fund, L.P. 3,477,927 3,960,310 4.38% Quarterly Scopia PX, LLC 2,700,000 2,716,335 3.00% Quarterly ----------- ----------- ----- TOTAL LONG/SHORT EQUITY 28,449,989 30,631,538 33.87% ----------- ----------- -----
2 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Schedule of Investments (continued) March 31, 2010
%* OF MEMBERS' PORTFOLIO FUND COST VALUE CAPITAL LIQUIDITY** -------------- ----------- ----------- -------- ------------- EVENT DRIVEN: Altima Global Special Situations Fund, L.P. $ 1,857,329 $ 1,897,320 2.10% Monthly Elliot Associates, L.P. 3,000,000 3,855,629 4.26% Semi-Annually Eton Park Fund, L.P. 2,307,857 3,121,764 3.45% Annually Fir Tree Value Fund, L.P. 401,296 407,461 0.45% Quarterly Magnetar Capital Fund, L.P. 798,493 593,356 0.66% + Montrica Global Opportunities Fund, L.P. 587,913 488,617 0.54% Annually Octavian Global Fund, L.P. 655,994 411,107 0.45% ++ Owl Creek II L.P. 2,500,000 2,886,317 3.19% Quarterly Silver Point Capital Fund, L.P. 397,264 375,898 0.42% ++ Taconic Opportunity Fund, L.P. 2,608,276 2,705,220 2.99% Quarterly ----------- ----------- ----- TOTAL EVENT DRIVEN 15,114,422 16,742,689 18.51% ----------- ----------- ----- DISTRESSED: Anchorage Capital Partners, L.P. 2,481,300 3,512,452 3.88% Annually Credit Distressed Blue Line Fund L.P. 1,000,000 1,078,352 1.19% Quarterly Matlin Patterson Distressed Opportunities Fund, L.P. 943,182 1,333,302 1.48% Semi-Annually Redwood Domestic Fund, L.P. 3,000,000 3,949,413 4.37% Bi-Annually York Credit Opportunities Fund, L.P. 2,250,000 2,648,391 2.93% Semi-Annually ----------- ----------- ----- TOTAL DISTRESSED 9,674,482 12,521,910 13.85% ----------- ----------- ----- MACRO: Brevan Howard Emerging Markets Strategies Fund 1,646,426 2,142,663 2.37% Monthly Brevan Howard L.P. 1,536,424 1,768,321 1.95% Monthly Fortress Commodities Fund, L.P. 2,800,000 2,924,699 3.23% Monthly QFS Global Macro Hedge Fund, LLC 1,133,882 1,418,247 1.57% Monthly WCG Partners, L.P. 2,300,000 2,330,233 2.58% Quarterly Wexford Spectrum Fund I, L.P. 41,016 43,228 0.05% ++ Woodbine Capital Fund, LLC 1,500,000 1,727,764 1.91% Quarterly ----------- ----------- ----- TOTAL MACRO 10,957,748 12,355,155 13.66% ----------- ----------- ----- FUNDAMENTAL MARKET NEUTRAL: Level Global L.P. 1,750,000 1,695,588 1.88% Quarterly O'Connor Global Fundamental Market Neutral Long/Short, LLC 2,866,942 3,820,124 4.22% Monthly ----------- ----------- ----- TOTAL FUNDAMENTAL MARKET NEUTRAL 4,616,942 5,515,712 6.10% ----------- ----------- ----- MULTI-STRATEGY RELATIVE VALUE: Bennelong Asia Pacific Multi-Strategy Equity Fund, L.P. 139,613 117,261 0.13% ++ Broad Peak Fund, L.P. 2,700,000 2,731,636 3.02% Quarterly Citadel Wellington, LLC 1,741,715 1,523,684 1.68% Quarterly Sandleman Partners Multi-Strategy Fund, L.P. 200,175 103,780 0.12% + ----------- ----------- ----- TOTAL MULTI-STRATEGY RELATIVE VALUE 4,781,503 4,476,361 4.95% ----------- ----------- -----
3 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Schedule of Investments (concluded) March 31, 2010
%* OF MEMBERS' PORTFOLIO FUND COST VALUE CAPITAL LIQUIDITY** -------------- ----------- ----------- -------- ------------- STRUCTURED CREDIT: Cerberus Partners SPV, LLC $ 3,429,291 $ 2,613,486 2.89% + Dune Capital, L.P. 315,083 289,172 0.32% + Petra Offshore Fund, L.P.(1) 1,750,000 -- 0.00% Quarterly*** Sorin Fund, L.P. 180,397 121,207 0.14% + ----------- ----------- ----- TOTAL STRUCTURED CREDIT 5,674,771 3,023,865 3.35% ----------- ----------- ----- CREDIT: Latigo Fund, L.P. 129,860 85,944 0.10% + FIXED INCOME RELATIVE VALUE: The Drake Absolute Return Fund, L.P. 126,163 82,229 0.09% + ----------- ----------- ----- TOTAL PORTFOLIO FUNDS 79,525,880 85,435,403 94.48% ----------- ----------- ----- CASH & CASH EQUIVALENTS: JPM U.S. Dollar Liquidity, Agency Shares, 0.04%(2) 1,989,454 1,989,454 2.20% Daily Western Asset/Citi Institutional U.S. Treasury Reserves, Cl A, 0.02%(2) 800,978 800,978 0.88% Daily ----------- ----------- ----- TOTAL CASH & CASH EQUIVALENTS 2,790,432 2,790,432 3.08% ----------- ----------- ----- TOTAL INVESTMENTS $82,316,312 $88,225,835 97.56% =========== =========== =====
* Percentages are based on Members' Capital at the end of the year of $90,430,354. ** Liquidity terms shown apply after initial lock-up provisions. See Notes 11.B and 13 for a description of initial lock-up provisions. *** Portfolio Fund restricted redemptions on March 31, 2010. + Portfolio Fund is in the process of an orderly wind-down with the return of capital to investors. Final distribution dates cannot be estimated. ++ The Master Fund's remaining investment in the Portfolio Fund is a side pocket, which is in the process of liquidating. See Note 11.D for additional information on side pockets. Final distribution dates cannot be estimated. (1) Valuation reflects a fair valuation methodology recommended by the Adviser and approved by the Valuation Committee of the Board of Managers of the Master Fund. (2) The rate shown is the 7-day effective yield as of March 31, 2010. At March 31, 2010, the aggregate cost of investments for tax purposes was $79,525,880. Net unrealized appreciation on investments for tax purposes was $5,909,523 consisting of $10,693,211 of gross unrealized appreciation and ($4,783,688) of gross unrealized depreciation. The investments in Portfolio Funds shown above, representing 94.48% of Members' Capital have been fair valued as described in Note 2.B. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 4 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Statement of Assets and Liabilities March 31, 2010 ASSETS Investments in Portfolio Funds, at fair value (cost $79,525,880) $ 85,435,403 Fund investments made in advance 4,850,000 Cash and cash equivalents 2,790,432 Receivable from Portfolio Funds 2,480,461 ------------ Total assets 95,556,296 ------------ LIABILITIES Redemptions payable 4,800,000 Advisory fee payable 165,933 Professional fee payable 115,318 Administration fee payable 24,731 Board of Managers' fees payable 1,500 Other accrued expenses 18,460 ------------ Total liabilities 5,125,942 ------------ NET ASSETS $ 90,430,354 ============ MEMBERS' CAPITAL Net capital $ 77,569,684 Accumulated net investment loss (1,006,204) Accumulated net realized loss on Portfolio Funds (3,121,773) Net unrealized appreciation/(depreciation) on investments in Portfolio Funds 16,988,647 ------------ Members' Capital $ 90,430,354 ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 5 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Statement of Operations For the year ended March 31, 2010 INVESTMENT INCOME Interest $ 4,423 Income from settlement 579,886 ----------- Total investment income 584,309 ----------- EXPENSES Advisory fee 643,927 Professional fees 285,718 Administration fee 93,758 Loan fee 86,207 Management fee 41,678 Redemption fees 39,450 Offering costs 30,369 Custody fee 8,586 Board of Managers' fees 6,000 Other expenses 12,551 ----------- Total expenses 1,248,244 Fund expenses waived (19,756) ----------- Net Expenses 1,228,488 ----------- Net Investment Loss (644,179) ----------- REALIZED AND UNREALIZED GAINS/(LOSSES) ON INVESTMENTS IN PORTFOLIO FUNDS Net Realized Loss on Investments in Portfolio Funds (1,462,999) Net Change in Unrealized Appreciation/(Depreciation) on Investments in Portfolio Funds 13,479,862 ----------- Net Realized and Unrealized Gains 12,016,863 ----------- Net Increase in Members' Capital derived from Investment Activities $11,372,684 ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 6 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Statements of Changes in Members' Capital
For the period from January 1, 2009 For the year (commencement of operations) ended through March 31, 2010 March 31, 2009 -------------- ---------------------------- FROM INVESTMENT ACTIVITIES Net investment loss* $ (644,179) $ (362,025) ------------ ----------- Net realized gain/(loss) on investments in Portfolio Funds (1,462,999) (1,658,774) Net change in unrealized appreciation/(depreciation) on investments in Portfolio Funds 13,479,862 3,508,785 ------------ ----------- Net realized and unrealized gains/(losses) 12,016,863 1,850,011 ------------ ----------- Net increase/(decrease) in Members' Capital derived from investment activities 11,372,684 1,487,986 ------------ ----------- MEMBERS' CAPITAL TRANSACTIONS Transfer from Robeco-Sage Multi-Strategy Fund, L.L.C. -- 71,626,684 Sales of Units 22,148,000 11,285,000 Redemptions of Units/Interests (27,490,000) -- ------------ ----------- (5,342,000) 82,911,684 ------------ ----------- Net Increase/(Decrease) in Members' Capital 6,030,684 84,399,670 Members' Capital at Beginning of Period 84,399,670 -- ------------ ----------- Members' Capital at End of Period $ 90,430,354 $84,399,670 ============ =========== Accumulated Net Investment Loss $ (1,006,204) $ (362,025) ============ ===========
* Investment income less net expenses. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 7 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Statement of Cash Flows For the year ended March 31, 2010 CASH FLOWS PROVIDED BY OPERATING ACTIVITIES Net increase in Members' Capital derived from investment activities $ 11,372,684 Adjustments to reconcile net increase in Members' Capital derived from investment activities to cash provided by operating activities: Purchases of Portfolio Funds (25,150,000) Sales of Portfolio Funds 25,624,949 Net change in unrealized (appreciation)/depreciation on investments in Portfolio Funds (13,479,862) Net realized loss on investments in Portfolio Funds 1,462,999 Decrease in receivable from Portfolio Funds 4,750,720 Increase in fund investments made in advance (4,000,000) Decrease in other assets 30,369 Decrease in receivable from Robeco-Sage Multi-Strategy Fund, L.L.C. 364,610 Increase in advisory fee payable 9,968 Increase in administration fee payable 2,714 Decrease in management fee payable (20,795) Increase in professional fees payable 73,808 Increase in other accrued expenses 9,532 ------------ Net cash provided by operating activities 1,051,696 ------------ CASH FLOWS FROM FINANCING ACTIVITIES Proceeds from sales of Units 22,148,000 Redemptions of Units (22,690,000) ------------ Net cash used in financing activities (542,000) ------------ Net increase in cash and cash equivalents 509,696 Cash and cash equivalents, beginning of year 2,280,736 ------------ Cash and cash equivalents, end of year $ 2,790,432 ============ SUPPLEMENTAL SCHEDULE OF NON-CASH FINANCING ACTIVITIES: Redemptions of Units $ (4,800,000) ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 8 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Financial Highlights
For the period January 1, 2009 For the (commencement of year ended operations) through March 31, 2010 March 31, 2009 -------------- ------------------- Total Return 14.17% 1.86%(1) Net assets, end of period (000's) $90,430 $84,400 RATIOS TO AVERAGE NET ASSETS Expenses(2) 1.42%(5) 1.77%(3) Net investment loss (0.74)% (1.77)%(3) Portfolio turnover rate 32.12% 12.70%(4)
(1) Total return is for the period indicated and has not been annualized. (2) Expenses of Portfolio Funds are not included in the expense ratio. (3) Annualized. (4) Not annualized. (5) Percentage is after the management fee waiver. The Adviser voluntarily waived the fee due to it under the Management Agreement from July 1, 2009 - September 11, 2009 (equal to 0.02% of average net assets). Note: The expense ratios, the net investment loss ratio, and the total return percentages are calculated for the Members taken as a whole. The computation of such ratios and return based on the amount of expenses charged to any specific Member may vary from the overall ratios presented in the financial statements as a result of the timing of capital transactions. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 9 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements March 31, 2010 1. ORGANIZATION Robeco-Sage Multi-Strategy Master Fund, L.L.C. (the "Master Fund") is a recently formed Delaware limited liability company that is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as a non-diversified, closed-end, management investment company. The fund is a master fund in a master/feeder structure into which its investors, Robeco-Sage Multi-Strategy Fund, L.L.C. and Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. (the "Feeder Funds" or "Members"), invest substantially all of their assets. The Master Fund's investment objective is to achieve long-term capital appreciation while attempting to reduce risk and volatility. The Master Fund accomplishes its investment objective by investing its assets primarily in private investment funds, joint ventures, investment companies, and other similar investment vehicles ("Portfolio Funds") that are managed by a select group of portfolio managers ("Portfolio Managers") that invest in a variety of financial markets and utilize a broad range of alternative investment strategies. At March 31, 2010, Robeco-Sage Multi-Strategy Fund, L.L.C. and Robeco-Sage Multi-Strategy Institutional Fund, L.L.C hold 93.24% and 6.76%, ownership interests, respectively, in the Master Fund. Investors who purchase Units and who are admitted to the Master Fund by its Board of Managers (the "Board") will become members of the Master Fund. For accounting purposes, the Master Fund's fiscal year is the 12-month period ending on March 31. The 12-month period ending December 31 of each year is the taxable year of the Master Fund. The Master Fund received its initial investment and commenced operations on January 1, 2009. 2. SIGNIFICANT ACCOUNTING POLICIES FINANCIAL ACCOUNTING STANDARDS BOARD ("FASB") LAUNCHES ACCOUNTING STANDARDS CODIFICATION - The FASB has issued FASB ASC 105 (formerly Statement No. 168), The "FASB ACCOUNTING STANDARDS CODIFICATION(TM)" AND THE HIERARCHY OF GENERALLY ACCEPTED ACCOUNTING PRINCIPLES ("ASC 105"). ASC 105 established the FASB Accounting Standards Codification(TM) ("Codification" or "ASC") as the single source of authoritative U.S. generally accepted accounting principles ("GAAP") recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission ("SEC") under authority of federal securities laws are also sources of authoritative GAAP for SEC registrants. The Codification supersedes all existing non-SEC accounting and reporting standards. All other non-grandfathered, non-SEC accounting literature not included in the Codification will become non-authoritative. 10 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Following the Codification, the FASB will not issue new standards in the form of Statements, FASB Staff Positions or Emerging Issues Task Force Abstracts. Instead, it will issue Accounting Standards Updates, which will serve to update the Codification, provide background information about the guidance and provide the basis for conclusions on the changes to the Codification. GAAP is not intended to be changed as a result of the FASB's Codification project, but it will change the way the guidance is organized and presented. As a result, these changes will have a significant impact on how companies reference GAAP in their financial statements and in their accounting policies for financial statements issued for interim and annual periods ending after September 15, 2009. The Master Fund has implemented the Codification as of September 30, 2009. A. Use of Estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America may require the Master Fund to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from these estimates. B. Portfolio Valuation and Investment Transactions The net asset value of the Master Fund is determined as of the close of business at the end of each month in accordance with the valuation principles set forth below or as may be determined from time to time pursuant to policies established by the Board. Investments in Portfolio Funds are presented in the accompanying financial statements at fair value, as determined by the Adviser under the general supervision of the Board. Such fair value generally represents the Master Fund's pro-rata interest in the net assets of a Portfolio Fund as provided by the Portfolio Fund. The Adviser considers information provided by the Portfolio Fund regarding the methods they use to value underlying investments of the Portfolio Fund in determining fair value. Considerable judgment is required to interpret the factors used to develop estimates of fair value. Accordingly, the estimates may not be indicative of the amounts the Master Fund or Portfolio Funds could realize in a current market exchange and the differences could be material to the financial statements. The use of different factors or estimation methodologies could have a significant effect on the estimated fair value. The Master Fund's valuation procedures require the Adviser to consider all relevant information available at the time the Master Fund values its assets. The Adviser or, in certain cases, the Board, will consider 11 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) B. Portfolio Valuation and Investment Transactions (continued) such information, and may conclude in certain circumstances that the information provided by a Portfolio Manager does not represent the fair value of the Master Fund's interests in a Portfolio Fund. Although redemptions of interests in Portfolio Funds are subject to advance notice requirements, Portfolio Funds typically will make available net asset value information to their investors which will represent the price at which, even in the absence of redemption activity, the Portfolio Fund would have effected a redemption if a redemption request had been timely made or if, in accordance with the terms of the Portfolio Fund's governing documents, it would be necessary to effect a mandatory redemption. In accordance with procedures adopted by the Board, in the absence of specific transaction activity in interests in a particular Portfolio Fund, the Master Fund could consider whether it is appropriate, in light of all relevant circumstances, to value such a position at the Portfolio Fund's net asset value as reported at the time of valuation, or whether to adjust such value to reflect a premium or discount to net asset value. Any such decision must be made in good faith, and subject to the review and supervision of the Board. With respect to a particular Portfolio Fund, the Valuation Committee of the Board has approved a fair valuation methodology recommended by management because, among other things, the Portfolio Manager of the Portfolio Fund ceased reporting the Portfolio Fund's net asset value. The value of this Portfolio Fund shown in the Schedule of Investments reflects this valuation. Management continues to monitor the appropriateness of this fair valuation methodology, which may be adjusted or revised as the Valuation Committee determines is warranted. Realized gains and losses from Portfolio Fund transactions are calculated on the identified cost basis. Investment transactions are recorded on the effective date of the subscription in or the redemption from the Portfolio Fund. Interest income is recorded on an accrual basis of interest earned on cash balances. The Master Fund adopted the authoritative guidance on fair value measurements and disclosure under GAAP ASC 820 "Fair Value Measurements" (formerly FASB Statement on Financial Accounting Standards No. 157), which established an authoritative definition of fair value, established a framework for measuring fair value, and requires certain disclosures about fair value measurements. The standard established a three-level hierarchy for fair value measurement based on the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date. The fair value hierarchy defined by ASC 820 categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value. - Level 1 - Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Master Fund has the ability to access at the measurement date; 12 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) B. Portfolio Valuation and Investment Transactions (continued) - Level 2 - Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability. Investments in Portfolio Funds that are redeemable without penalties within 90 days of year-end are considered Level 2 assets and represent the net asset values as reported by the Portfolio Funds; and - Level 3 - Significant unobservable prices or inputs (including the Master Fund's own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date. Investments in Portfolio Funds that are not redeemable within 90 days of year-end, or are subject to a redemption penalty extending past June 30, 2010, are considered Level 3 assets and represent the net asset values as reported by the Portfolio Funds, with the exception of the fair valued Portfolio Fund as discussed above. As required by ASC 820, investments are classified within the level of the lowest significant input considered in determining fair value. Investments are classified within Level 3 for those whose fair value measurement considers several inputs and may include Level 1 or Level 2 inputs as components of the overall fair value measurement. The inputs or methodology used for valuing investments are not necessarily an indication of the risks associated with investing in those investments. The following table summarizes the valuation of the Master Fund's investments under ASC 820 fair value hierarchy levels as of March 31, 2010:
LEVEL 1 LEVEL 2 LEVEL 3 TOTAL ---------- ----------- ----------- ----------- Investments in Portfolio Funds $ -- $49,031,442 $36,403,961 $85,435,403 Investments in Cash & Cash Equivalents 2,790,432 -- -- 2,790,432 ---------- ----------- ----------- ----------- TOTAL $2,790,432 $49,031,442 $36,403,961 $88,225,835 ========== =========== =========== ===========
13 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) B. Portfolio Valuation and Investment Transactions (concluded) The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining fair value:
INVESTMENTS IN PORTFOLIO FUNDS --------------- BALANCE AS OF 3/31/09 $ 73,893,489 Realized gain/(loss) (1,029,138) Change in unrealized appreciation/(depreciation) 8,609,775 Net purchase/(sales) 3,938,316 Net transfers in/and or out of Level 3 (49,008,481) ------------ BALANCE AS OF 3/31/10 $ 36,403,961 ============
In accordance with a 2009 amendment to the Topic 820 of the Financial Accounting Standards Board codification, if a reporting entity has the ability to redeem its investment in a Fund at the measurement date or within the near-term then the investment is deemed to be a Level 2 investment. Consistent with the 2009 amendment, certain Funds, at April 1, 2009, have been reclassified from Level 3 to Level 2 in the amount of $35,621,824. C. Income Taxes Counsel to the Master Fund will render an opinion that the Master Fund will be classified as a partnership and not as an association taxable as a corporation for Federal tax purposes. Counsel to the Master Fund also will render its opinion that, under a "facts and circumstances" test, the Master Fund will not be treated as a "publicly traded partnership" taxable as a corporation. Accordingly, the Master Fund should not be subject to Federal income tax, and each Member will be required to report on its own annual tax return such Member's distributive share of the Master Fund's taxable income or loss. ASC 740 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. Based on its analysis, management has determined that these provisions of ASC 740 did not have a material impact to the Master Fund's financial statements. However, management's conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance expected from the FASB, and on-going analyses of and changes to tax laws, regulations and interpretations thereof. As of and during the tax year-ended December 31, 2009, the Master Fund did not have a liability for any unrecognized tax benefits. The Master Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year the Master Fund did not incur any interest or penalties. 14 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 2. SIGNIFICANT ACCOUNTING POLICIES (CONCLUDED) D. Distribution Policy The Master Fund has no present intention of making periodic distributions of its net investment income or capital gains, if any, to Members. The amount and frequency of distributions, if any, will be determined in the sole discretion of the Board. E. Distributions from Portfolio Funds Distributions from Portfolio Funds will be classified as investment income or realized gains in the Statements of Operations, or alternatively, as a decrease to the cost of the investments based on the U.S. income tax characteristics of the distribution if such information is available. In cases where the tax characteristics are not available, such distribution will be classified as investment income. F. Cash and Cash Equivalents The Master Fund treats all highly liquid financial instruments that mature within three months as cash equivalents. 3. RELATED PARTY TRANSACTIONS AND OTHER RELATED PARTIES Robeco Investment Management, Inc. (the "Adviser") serves as the investment adviser of the Master Fund, the Feeder Funds and other related funds. The Adviser is registered as an investment adviser under the Investment Advisers Act of 1940, as amended. The Adviser is a subsidiary of Robeco Groep, N.V. ("Robeco") and is responsible for developing, implementing and supervising the Master Fund's investment program and providing day-to-day management services to the Master Fund. The Board has overall responsibility for the management and supervision of the operations of the Master Fund. Employees of the Adviser serve as officers and as members of the Board of the Master Fund. In consideration of these investment advisory services and pursuant to an advisory agreement between the Master Fund and the Adviser (the "Advisory Agreement"), the Master Fund pays the Adviser a quarterly fee at an annualized rate of 0.75% of the average net assets of the Master Fund during each calendar quarter (the "Master Fund Management Fee"). The Master Fund Management Fee is payable in arrears within five business days after the end of each quarter. The Adviser also provides office space, telephone and utilities; and administrative and secretarial, clerical and other personnel as necessary to provide the services required to be furnished under the Advisory Agreement. The accompanying Statement of Assets and Liabilities includes an advisory fee payable of $165,933. In addition, pursuant to a management agreement with the Master Fund (the "Management Agreement"), the Adviser provided (or arranged for the provision of) office space, telephone services and utilities, and various administrative services to the Master Fund, including certain legal and compliance services, and was responsible for the oversight of the Master Fund's administrator and other service providers. The 15 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 3. RELATED PARTY TRANSACTIONS AND OTHER (CONTINUED) RELATED PARTIES (CONCLUDED) Management Agreement was terminated on September 11, 2009 and the Advisory Agreement was amended to reflect the Adviser's provision of services that had been previously provided under the Management Agreement. In consideration for these services, the Master Fund paid the Adviser a quarterly management fee at an annualized rate of 0.10% of the average net assets of the Master Fund during the calendar month. The Adviser waived this fee effective July 1, 2009 and it was eliminated effective September 11, 2009. Cooperatieve Centrale Raiffeissen - Boerenleen Bank B.A. ("Rabobank"), the ultimate parent company of the Adviser and Robeco, and its affiliates are subject to certain U.S. banking laws, including the Bank Holding Company Act of 1956, as amended (the "BHCA"), and to regulation by the Board of Governors of the Federal Reserve System or other appropriate bank regulatory agencies. The BHCA and other applicable banking laws, rules, regulations and guidelines, and the interpretation and administration thereof by the staff of the regulatory agencies which administer them, may restrict the transaction and relationships between the Adviser, Rabobank, Robeco and their affiliates, on the one hand, and the Master Fund, on the other hand, and may restrict the investments and transactions by the Master Fund. Rabobank may be deemed to control the Master Fund for purposes of the BHCA. Each member of the Board, who is not an "interested person" of the Master Fund, as defined by the 1940 Act, receives an annual fee of $2,000. Any Board member who is an "interested person" does not receive any annual or other fee from the Master Fund. All Board members are reimbursed by the Master Fund for reasonable out-of-pocket expenses. OTHER SEI Investments Global Fund Services (the "Administrator") provides various administrative services to the Master Fund, including fund accounting, investor accounting and taxation services, maintaining the register of the Master Fund and subject to approval by the Master Fund, generally reviewing and performing all actions related to the issuance and transfer of Units; performing all acts related to the repurchase of Units; and performing all other clerical services necessary in connection with the administration of the Master Fund, pursuant to an administration agreement (the "Administration Agreement"). In consideration of such services, the Master Fund pays the Administrator a monthly fee based on the aggregate month-end net assets of the Master Fund and the other funds in the "Fund Complex" (as defined in the Administration Agreement) at an annual rate of up to 0.12%, subject to certain fee minimums for each fund, and reimburses the Administrator for certain out-of-pocket expenses. After its initial term of three years, the Administration Agreement may be terminated at any time by either party generally upon not less the 90 days' written notice. SEI Private Trust Company acts as custodian (the "Custodian") for the Master Fund's assets. In consideration for such services, the Master Fund pays the Custodian a monthly fee, based on month-end net assets, at an annual rate of up to 0.01%. 16 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 3. RELATED PARTY TRANSACTIONS AND OTHER (CONCLUDED) OTHER (CONCLUDED) The Master Fund participated in a lawsuit filed against the Portfolio Manager of a Portfolio Fund in which the Master Fund was previously invested. This lawsuit was settled in March 2010 and the settlement value is reflected in the Master Fund's financial performance. 4. FUND EXPENSES The Master Fund bears all of its own expenses other than those borne by the Adviser pursuant to the Advisory Agreement, including, but not limited to: all investment related expenses (e.g., fees paid directly or indirectly to Portfolio Managers, all costs and expenses directly related to portfolio transactions and positions for the Master Fund's account, all costs and expenses associated with the establishment of any portfolio accounts); any non-investment related interest expense; organizational and offering expenses; fees and disbursements of any attorneys and accountants engaged by the Master Fund; audit and tax preparation fees and expenses of the Master Fund; all costs and expenses associated with background checks on Portfolio Managers; all costs and expenses associated with retaining independent third parties to provide risk management services to the Master Fund; custody and escrow fees and expenses; the costs of an errors and omissions/directors and officers liability insurance policy and a fidelity bond; the Master Fund Management Fee; fees and travel-related and other expenses of members of the Board who are not employees of the Adviser or any affiliated person of the Adviser; all costs and charges for equipment or services used in communicating information regarding the Master Fund's transactions among the Adviser and any custodian or other agent engaged by the Master Fund; any extraordinary expenses; and such other expenses as may be approved from time to time by the Board. The Master Fund also indirectly bears fees and expenses of the Portfolio Funds. Each Portfolio Manager generally receives a management fee and a performance fee or allocation with respect to the assets of Portfolio Funds that it manages. The amount of these fees and allocations varies among Portfolio Managers, but the management fees are generally expected to be between 1.0%-2.0%, on an annual basis, of the total assets managed by a Portfolio Manager, and the performance fees or allocations are generally expected to be between 15% - 25% of the net capital appreciation (if any) in the assets managed by a Portfolio Manager. If the Master Fund retains a Portfolio Manager to manage a Portfolio Account, a management fee and performance allocation would generally be payable to the Portfolio Manager. In such cases, the fees may differ from, and could be higher than, those described above. Any such Portfolio Account related advisory arrangements will be subject to the approval of the Board and Members. Amounts shown as expenses in the statement of operations and financial highlights include only those expenses charged directly to the Master Fund and do not reflect management fees, advisory fees, brokerage commissions, and other fees and expenses incurred by the funds in which the Master Fund invested. These amounts are included in realized and unrealized gain (loss) on investments in funds in the statement of operations. 17 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 5. OFFERING COSTS The Master Fund incurred initial offering costs totaling $40,492 comprised principally of legal costs pertaining to the preparation of the Master Fund's offering documents. These costs were amortized over the initial twelve-month period through December 31, 2009. 6. MEMBERS' CAPITAL Unit transactions for the year ended March 31, 2010 were as follows:
Units outstanding at beginning of year 82,855 Units issued 19,883 Units redeemed (24,983) ------- Units outstanding at end of year 77,755 =======
7. BORROWINGS The Master Fund is authorized to borrow money for investment purposes, to meet repurchase requests and for cash management purposes. Borrowings by the Master Fund, including any borrowings on behalf of Portfolio Accounts, are subject to a 300% asset coverage requirement under the 1940 Act. The Master Fund has established a line of credit agreement with Societe Generale as of February 3, 2009, which is collateralized by a security interest in the Master Fund's custody account. The line of credit is used primarily for bridge financing purposes, but may be accessed by the Master Fund to purchase Portfolio Funds, to meet repurchase requests, and for cash management purposes. Each borrowing shall bear interest on the outstanding principal amount at a rate per annum equal to the applicable LIBOR Rate plus 1.30%. The Master Fund also pays a facility fee, based on the size of the line of credit, of 0.85% per annum. At March 31, 2010, the Master Fund had no outstanding borrowings. 8. CAPITAL ACCOUNTS AND ALLOCATIONS The Master Fund maintains a separate capital account for each Member which will have an opening balance equal to the Member's initial contribution to the capital of the Master Fund (net of any applicable sales load). The Master Fund has chosen to utilize a "per unit" method to account for Members' capital effective at the inception of the Master Fund. A Member's contribution is used to purchase Units in the Master Fund. The Units represent the capital account maintained on the Member's behalf that reflects the Member's pro rata share of the Master Fund's capital. A Member's capital account is used to facilitate tax reporting to the Member. Units are offered at their net asset value per Unit, and each Unit subscribed for represents a capital contribution to the Master Fund in that amount. Each Member's capital account will be increased by the amount of contributions by the Member to the capital of the Master Fund, plus any amounts credited to the Member's capital account as described below. Similarly, each Member's capital account will be reduced by the sum of the amount of any repurchase by the Master Fund of the Units of 18 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 8. CAPITAL ACCOUNTS AND ALLOCATIONS (CONCLUDED) the Member, plus the amount of any distributions to the Member which are not reinvested, plus any amounts debited against the Member's capital account as described below. Capital accounts of Members are adjusted as of the close of business on the last day of each fiscal period. Fiscal periods begin on the day after the last day of the preceding fiscal period and end at the close of business on the first to occur of the following: (i) the last day of a fiscal year (March 31); (ii) the last day of a taxable year (December 31); (iii) the day preceding any day on which a contribution to the capital of the Master Fund is made; (iv) any day on which the Master Fund repurchases any Unit or portion of an Unit of any Member; or (v) any day on which any amount is credited to or debited against the capital account of any Member other than an amount to be credited to or debited against the capital accounts of all Members in accordance with their respective investment percentages. An investment percentage will be determined for each Member as of the start of each fiscal period by dividing the balance of the Member's capital account as of the commencement of the period by the sum of the balances of all capital accounts of all Members as of that date. Net profits or net losses of the Master Fund for each fiscal period will be allocated among and credited to or debited against the capital accounts of all Members as of the last day of the fiscal period in accordance with Members' respective investment percentages for the fiscal period. Net profits or net losses will be measured as the net change in the value of the net assets of the Master Fund (including any net change in unrealized appreciation or depreciation of investments and realized income and gains or losses and accrued expenses), before giving effect to any repurchases by the Master Fund of Units or portions thereof, and excluding the amount of any items to be allocated among the capital accounts of the Members other than in accordance with the Members' respective investment percentages. 9. INDEMNIFICATIONS In the normal course of business, the Master Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Master Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be against the Master Fund that have not yet occurred. However, based on experience, the Master Fund expects the risk of loss to be remote. 10. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK In the normal course of business, the Portfolio Funds in which the Master Fund invests trade various financial instruments and enter into various investment activities with off-balance sheet risk. These include, but are not limited to, short selling activities, writing option contracts, and equity swaps. The Master Fund's risk of loss in these Portfolio Funds is limited to the value of the Master Fund's investment. 19 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 11. CONCENTRATION OF RISK The Master Fund invests primarily in Portfolio Funds that are not registered under the 1940 Act which invest in and actively trade securities and other financial instruments using different strategies and investment techniques, including leverage, which may involve significant risks. These Portfolio Funds may invest a high percentage of their assets in specific sectors of the market in order to achieve a potentially greater investment return. As a result, the Portfolio Funds may be more susceptible to economic, political, and regulatory developments in a particular sector of the market, positive or negative, and may experience increased volatility of the Portfolio Funds' net asset value. The Master Fund may invest in a limited number of Portfolio Funds. Such concentration may result in additional risks, such as: A. Illiquid Investments The Master Fund's interests in unregistered Portfolio Funds are themselves illiquid and subject to substantial restrictions on transfer. The Master Fund may liquidate an interest and withdraw from an unregistered Portfolio Fund pursuant to limited withdrawal rights. The illiquidity of these interests may adversely affect the Master Fund if it is unable to withdraw its investment in a Portfolio Fund promptly after it determines to do so. B. Liquidity The Portfolio Funds generally provide for periodic redemptions, with some Portfolio Funds having lock-up provisions ranging from 3 months to 2 years from initial or subsequent investments. Certain Portfolio Funds provide for early redemptions, subject to approval, and may charge redemption penalties of 2.0% to 9.0% of net assets. Additionally, certain Portfolio Funds may amend their liquidity provisions and impose additional lock-up restrictions or otherwise restrict the ability of investors to redeem their interests in the fund. The liquidity provisions shown on the Schedule of Investments apply after the lock-up provisions. C. Credit Risk The Master Fund will be exposed to credit risk of Portfolio Funds with whom they trade and will always bear the risk of settlement default. D. Side Pockets The Master Fund may participate in side pocket investments, either at the Master Fund's discretion or that of the Portfolio Manager who manages the Portfolio Fund in which the Master Fund invests. A side pocket investment is generally less liquid than others in a Portfolio Fund and will be subject to different terms and conditions, including more significant restrictions on redemptions. The fair value of side pockets is determined in good faith by the Portfolio Managers of their respective Portfolio Funds. 20 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 12. INVESTMENT TRANSACTIONS For the year ended March 31, 2010, the Master Fund had purchases of investments of $25,150,000 and sales of investments of $25,624,949. 13. INVESTMENTS As of March 31, 2010, the Master Fund had investments in forty-four Portfolio Funds, none of which were related parties. The Master Fund will limit its investment position in any one Portfolio Fund to less than 5% of the Portfolio Fund's outstanding voting securities, absent an order of the Securities and Exchange Commission (the "SEC") (or assurances from the SEC staff) under which the Master Fund's contribution and withdrawal of capital from a Portfolio Fund in which it holds 5% or more of the outstanding interests will not be subject to various 1940 Act prohibitions on affiliated transactions. The Master Fund also is not required to adhere to this 5% investment limitation to the extent that it relies on certain SEC rules that provide exemptions from 1940 Act prohibitions on affiliated transactions. However, to facilitate investments in smaller Portfolio Funds deemed attractive by the Adviser, the Master Fund may purchase non-voting securities of, or waive its right to vote its interests in, Portfolio Funds. Although the Master Fund may hold non-voting interests, the 1940 Act and the rules and regulations thereunder may nevertheless require the Master Fund to limit its position in any one Portfolio Fund, if investments in a Portfolio Fund by the Master Fund will equal or exceed 25% of the Portfolio Fund's assets or such lower percentage limit as may be determined by the Master Fund in consultation with its counsel. These restrictions could change from time to time as applicable laws, rules or interpretations thereof are modified. Portfolio Funds' Investment Strategies and Liquidity: CREDIT Credit strategies involve various trading techniques used to capture price inefficiencies within or across a company's capital structure. Intra-capital structure arbitrage seeks to profit by identifying mispricings within a single company's capital structure. Purchasing senior bonds and selling junior bonds is an example of an intra-capital structure arbitrage trade. Inter-capital structure arbitrage is also included in this sub-strategy. These trades, similar to equity pair trades, involve the buying and selling of different fixed income securities across two different companies. The Portfolio Fund in this category began an orderly wind-down and a return of capital to investors on May 31, 2009. DISTRESSED These Portfolio Funds invest in, and occasionally sell short, the securities of companies where the security's price has been affected (or is expected to be affected) by a distressed financial situation. These situations may involve reorganizations, bankruptcies, distressed sales and other corporate restructurings. Depending on the Portfolio Manager's style, investments may be made in bank debt, corporate debt, trade claims, common stock, preferred stock, warrants or post-distressed equities. Leverage may be used by certain Portfolio Managers, but it is not typical in this strategy. Portfolio Funds in this category invest 21 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 13. INVESTMENTS (CONTINUED) Portfolio Funds' Investment Strategies and Liquidity (continued): DISTRESSED (CONCLUDED) primarily in bonds and equities and are typically exposed, through their trading strategies, to the risks associated with illiquid or restricted securities, interest rate fluctuation, conducting short sales, trading in options, swaps or futures, using leverage, using forward foreign currency contracts, purchasing when-issued or forward commitment securities and lending of portfolio securities to brokers, dealers and other financial institutions. The Portfolio Funds in this category have redemption notice periods ranging from 60 to 90 days. Certain Portfolio Funds may permit redemptions during the lock-up period upon the payment of redemption penalties of up to 5%. Investments representing approximately 9% of the value of the investments in this category are subject to these penalties. The remaining redemption penalty period for these investments is nine months at March 31, 2010. Certain Portfolio Funds contain restrictions on the ability to sell investments because the redemption period is as of a different date. Investments representing approximately 21% of the value of the investments in this category cannot be redeemed because the investments include restrictions that do not allow for redemption in the first 12 months after acquisition. The remaining restriction period for these investments is nine months at March 31, 2010. EVENT-DRIVEN Event-Driven strategies involve investing in companies experiencing significant corporate changes. Mispricings arise from events such as spin-offs, restructurings, stub trades, or other corporate changes that the broad market does not fully comprehend and appropriately value. This strategy also includes activist managers who take controlling stakes in companies and force the "event" internally. Portfolio Funds in this category invest primarily in bonds and equities and are typically exposed, through their trading strategies, to the risks associated with illiquid or restricted securities, interest rate fluctuation, conducting short sales, trading in options, swaps or futures, using leverage, using forward foreign currency contracts, purchasing when-issued or forward commitment securities and lending of portfolio securities to brokers, dealers and other financial institutions. The Portfolio Funds in this category have redemption notice periods ranging from 60 to 90 days. Certain Portfolio Funds permit upon the payment of redemption penalties of 2% to 3%, unless the investment is redeemed on its investment anniversary. Approximately 19% of the assets in this category are subject to these redemption restrictions. With respect to a Portfolio Fund restructuring, the Master Fund elected the liquidation option, which was effective as of January 1, 2010. Certain Portfolio Funds contain restrictions on the ability to sell investments because the redemption period is as of a different date. Investments representing approximately 23% of the value of the investments in this category cannot be redeemed because the investments include restrictions that do not allow for redemption in the first 24 months after acquisition. The remaining restriction period for these investments is nine months at March 31, 2010. FIXED INCOME RELATIVE VALUE Fixed Income Relative Value managers seek to profit by identifying mis-pricings between different but related fixed income instruments. The mis-pricings may be between two fixed income securities within two different companies, or two fixed income securities within a single company's capital structure. These managers can implement either a quantitative or fundamental research process to uncover these opportunities. Through the use of leverage, these Portfolio Funds can profit even from small mis-pricings. 22 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 13. INVESTMENTS (CONTINUED) Portfolio Funds' Investment Strategies and Liquidity (continued): FIXED INCOME RELATIVE VALUE (CONCLUDED) The Portfolio Fund in this category began an orderly wind-down and a return of capital to investors on May 30, 2008. FUNDAMENTAL MARKET NEUTRAL Fundamental Market Neutral funds buy or sell securities which are mis-priced relative to related securities, groups of securities or the overall market. Fundamental analysis is performed to uncover the relative value between these companies or other securities. Positions are often hedged to isolate this discrepancy in value and minimize market risk. Portfolio Funds in this category are typically exposed, through their trading strategies, to the risks associated with conducting short sales, trading in options, swaps or futures, using leverage, using forward foreign currency contracts, purchasing when-issued or forward commitment securities and lending of portfolio securities to brokers, dealers and other financial institutions. The Portfolio Funds in this category have redemption notice periods ranging from 30 to 60 days. Certain Portfolio Funds may permit redemptions during the lock-up period upon the payment of redemption penalties of up to 5% of net assets. Approximately 9% of the assets in this category are subject to these penalties. The remaining redemption penalty period for these investments is nine months at March 31, 2010. The investments as of March 31, 2010 in this category are not under initial lock-ups that would prevent redemptions by the Master Fund. LONG/SHORT EQUITY In Long/Short Equity funds, Portfolio Managers construct portfolios consisting of long and short equity positions. The Portfolio Managers' stock selection abilities, on both the long and the short side, are key to the success of these Portfolio Funds. The short positions may be opportunistic or instituted solely for hedging purposes. Individual stock options may be used in place of a short equity position, and equity index options may be used as a portfolio hedge. This classification is very broad. Portfolio Funds in this category include those that may or may not have a sector, style, capitalization, country or regional bias. Portfolio Managers of these Portfolio Funds opportunistically vary the gross long and short exposures, as well as the resultant net long or short exposures, resulting in more defined market exposure than that found in equity market neutral strategies. Trading and concentrated positions in certain stocks or industries often become important elements in these strategies. There is typically some degree of directional trading involved in the strategy that drives the long and short exposures, derived from either top-down themes or bottom-up stock selection criteria. Portfolio Funds in this category are typically exposed, through their trading strategies, to the risks associated with conducting short sales, trading in options, swaps or futures, using leverage, using forward foreign currency contracts, purchasing when-issued or forward commitment securities and lending of portfolio securities to brokers, dealers and other financial institutions. The Portfolio Funds in this category have redemption notice periods ranging from 30 to 60 days. Certain Portfolio Funds may permit redemptions during the lock-up period upon the payment of redemption penalties of 3% to 4% of net assets. Investments representing approximately 9% of the value of the investments in this category are subject to these penalties. The remaining restriction period for these investments ranges from six to twelve months at March 31, 2010. Investments representing approximately 23 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (continued) 13. INVESTMENTS (CONTINUED) Portfolio Funds' Investment Strategies and Liquidity (continued): LONG/SHORT EQUITY (CONCLUDED) 9% of the value of the investments in this category cannot be redeemed because the investments include restrictions that do not allow for redemption in the first 12 months after acquisition. The remaining restriction period for these investments ranged from nine to eleven months at March 31, 2010. MACRO Macro managers will invest globally across all markets without constraints. Top-down macro analysis uncovers pricing anomalies across global markets, due to factors such as GDP growth, strengthening currencies, and interest rates. These managers invest in equity, fixed income, currency, and commodity asset classes across both the derivative and cash markets. Portfolio Funds in this category are typically exposed, through their trading strategies, to the risks associated with interest rate fluctuation, conducting short sales, trading in options, futures and swaps, using leverage, using forward foreign currency contracts and lending of portfolio securities to brokers, dealers and other financial institutions. The Portfolio Funds in this category have redemption notice periods ranging from 30 to 60 days. Certain Portfolio Funds may charge redemption penalties of up to 5% of net assets if a redemption is made during the lock-up period or is greater than 25% per quarter upon expiration of the lock-up period. Approximately 32% of the assets in this category are subject to these redemption restrictions. Portfolio Funds representing approximately 19% of the value of the investments in this category cannot be redeemed because the investments include restrictions that do not allow for redemption in the first 12 months after acquisition. The remaining restriction period for these investments ranged from eight to eleven months at March 31, 2010. MULTI-STRATEGY RELATIVE VALUE In Multi-Strategy Relative Value funds, the Portfolio Manager allocates capital to more than one strategy. The most common elements are convertible arbitrage, merger arbitrage, equity pairs trading, fixed-income arbitrage, and distressed investing. Some maintain a relatively fixed allocation to the various strategies, but others allow one or two strategies to opportunistically dominate the portfolio. The combinations are designed to decrease the volatility associated with reliance on a single arbitrage strategy that may perform poorly in some market environments. Portfolio Funds in this category are typically exposed, through their trading strategies, to the risks associated with interest rate fluctuation, conducting short sales, trading in options, futures and swaps, using leverage, using forward foreign currency contracts and lending of portfolio securities to brokers, dealers and other financial institutions. The Portfolio Funds in this category have redemption notice periods ranging from 30 to 60 days. Certain Portfolio Funds may permit redemptions during the lock-up period upon the payment of redemption penalties of 5% to 9% of net assets, depending on the level of redemptions by the Master Fund. Approximately 35% of the assets in this category are subject to these redemption restrictions. The investments as of March 31, 2010 in this category are not under initial lock-ups that would prevent redemptions by the Master Fund. 24 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Notes to Financial Statements (concluded) 13. INVESTMENTS (CONCLUDED) Portfolio Funds' Investment Strategies and Liquidity (concluded): STRUCTURED CREDIT Portfolio Managers typically originate loans directly to a company. These loans are typically senior within the capital structure and are collateralized by the company's assets. The Portfolio Manager is usually the "lender of last resort" and will lend at terms that are beneficial to the Portfolio Fund. The Portfolio Funds in this category began orderly wind-downs and return of capital to investors as of August 28, 2009, June 30, 2008, and July 1, 2009, respectively. 14. TENDER OFFER On March 30, 2010 the Master Fund offered to purchase up to $25,000,000 of Units tendered by Members of the Master Fund at a price equal to the net asset value as of June 30, 2010. In May 2010, the Master Fund accepted tender offer requests of approximately $5,600,000. The final tender amount will be based upon the June 30, 2010 net asset value. 15. SUBSEQUENT EVENTS Subsequent to year end through May 27, 2010, the Master Fund received $1,834,000 of subscriptions. 25 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Managers and Officers of the Fund (unaudited) as of March 31, 2010
NUMBER TERM OF OF FUNDS PRESENT OR OFFICE IN FUND PAST (WITHIN 5 AND COMPLEX YEARS) OTHER NAME, AGE, AND LENGTH OVERSEEN DIRECTORSHIPS POSITION WITH OF TIME PRINCIPAL OCCUPATION BY HELD BY THE FUND SERVED DURING PAST 5 YEARS MANAGER MANAGERS -------------- ---------------- --------------------------------------- -------- ------------------------ DISINTERESTED MANAGERS Charles S. Crow, III, 60 Indefinite/Since Mr. Crow has been a partner of the 7 Member of the Board of Manager September 2008 law firm of Crow & Associates since Directors of 1st c/o Robeco-Sage Multi- 1981. Constitution Bank; Strategy Master Fund, Member of the Board of L.L.C. Trustees of Centurion 909 Third Avenue Ministries, Inc. New York, NY 10022 Richard B. Gross, 62 Indefinite/Since Mr. Gross is a lawyer and private 7 Member of the Board of Manager September 2008 investor. From 1998 through 2001, he Trustees of Randall's c/o Robeco-Sage Multi- served as Managing Director and Island Sports Strategy Master Fund, General Counsel of U.S. Trust, a 150- Foundation, a non-profit L.L.C. year old banking firm specializing in public/private 909 Third Avenue investment management and fiduciary partnership with the New York, NY 10022 services. NYC Parks & Recreation Dept. David C. Reed, 59 Indefinite/Since Mr. Reed is the Chief Executive 7 Member of the Board of Manager September 2008 Officer, principal owner and co- Directors of 1st c/o Robeco-Sage Multi- founder of Mapleton Nurseries (1998 - Constitution Bank Strategy Master Fund, present) and is the Managing Director L.L.C. of Reed & Company (1995 -present). 909 Third Avenue New York, NY 10022 INTERESTED MANAGER* Timothy J. Stewart, 35 Indefinite/Since Mr. Stewart is the Chief Financial 7 N/A Manager, President and September 2008 Officer and a Managing Director of Chief Executive Officer the Robeco-Sage division of Robeco c/o Robeco-Sage Multi- Investment Management, Inc. (June Strategy Master Fund, 2008 - present). From January 2003 L.L.C. to June 2008, he served as the Director 909 Third Avenue of Operations and a Managing New York, NY 10022 Director of the Robeco-Sage division of Robeco Investment Management, Inc. (1)
---------- * Manager who is an "interested person" (as defined by the 1940 Act) of the Fund because of his affiliation with the Adviser and its affiliates. (1) Prior to January 1, 2007, Mr. Stewart served as the Director of Operations and a Managing Director of Robeco-Sage Capital Management, L.L.C. 26 Robeco-Sage Multi-Strategy Master Fund, L.L.C. Managers and Officers of the Fund (unaudited) as of March 31, 2010
NUMBER TERM OF OF FUNDS PRESENT OR OFFICE IN FUND PAST (WITHIN 5 AND COMPLEX YEARS) OTHER NAME, AGE, AND LENGTH OVERSEEN DIRECTORSHIPS POSITION WITH OF TIME PRINCIPAL OCCUPATION BY HELD BY THE FUND SERVED DURING PAST 5 YEARS MANAGER MANAGERS -------------- ---------------- --------------------------------------- -------- -------------- OFFICERS WHO ARE NOT MANAGERS Matthew J. Davis, 44 Indefinite/Since Mr. Davis is Senior Managing N/A N/A Chief Financial Officer September 2008 Director and Chief Financial Officer c/o Robeco-Sage Multi- of the Adviser (July 1, 2008-present). Strategy Master Fund, He is also the Chief Financial Officer L.L.C. of Robeco Securities (June 2005- 909 Third Avenue present). New York, NY 10022 James Noone, 42 Indefinite/Since Mr. Noone is a Senior Compliance N/A N/A Chief Compliance Officer September 2008 Manager at the Adviser (July 2008 - c/o Robeco-Sage Multi- present). From 2005 to 2008, he Strategy Master Fund, served as Senior Vice President and L.L.C. Associate Counsel for the Adviser. 909 Third Avenue New York, NY 10022
27 ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer and principal accounting officer or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. For the fiscal year ended March 31, 2010, there were no amendments to a provision of its code of ethics, nor were there any waivers granted from a provision of the code of ethics. A copy of this code of ethics is filed with this form N-CSR under Item 12 (a)(1). ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a)(1) The registrant's board of managers has determined that the registrant has at least one audit committee financial expert serving on the audit committee. (a)(2) The audit committee financial expert is David Reed. Mr. Reed is independent as defined in Form N-CSR Item 3(a)(2). ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Fees billed by Anchin, Block & Anchin LLP ("Anchin") related to Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. (the "Fund"). Anchin billed the Fund aggregate fees for services rendered to the Fund for the fiscal years ended March 31, 2010 and 2009 as follows:
2010 2009 --------------------------------------------------- --------------------------------------------------- All fees and All other fees All fees and All other fees services to and services to services to and services to All fees and service service All fees and service service services to the affiliates that affiliates that services to the affiliates that affiliates that Fund that were were pre- did not require Fund that were were pre- did not require pre-approved approved pre-approval pre-approved approved pre-approval --------------- --------------- --------------- --------------- --------------- --------------- (a) Audit Fees(1) $ 9,000 N/A N/A $10,000 N/A N/A (b) Audit-Related Fees $ 0 N/A N/A $ 0 N/A N/A (c) Tax Fees(2) $10,000 N/A N/A $ 0 N/A N/A (d) All Other Fees(3) $ 1,000 N/A N/A $ 0 N/A N/A
(1) Audit fees include amounts related to the audit of the registrant's annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. (2) Tax fees include amounts related to the preparation of the registrant's tax filings and of the Schedule K-1s for members of the registrant. (3) Non-audit fees include amounts related to services provided in order to provide auditor consents for audits to be included in subsequent filings. (e)(1) The registrant's Audit Committee pre-approves the principal accountant's engagements for audit and non-audit services to the registrant and, as required, non-audit services to service affiliates on a case-by-case basis. Pre-approval considerations include whether the proposed services are compatible with maintaining the principal accountant's independence. (e)(2) Percentage of fees billed by Anchin applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:
2010 2009 ---- ---- Audit-Related Fees 0% 0% Tax Fees 0% 0% All Other Fees 0% 0%
(f) Not applicable. (g) The amount of non-audit fees that were billed by Anchin for services rendered to (i) the registrant, and (ii) the registrant's investment adviser and any control person of the adviser that provides ongoing services to the registrant for the fiscal year ended March 31, 2010, were $0 and $0, respectively. The amount of non-audit fees that were billed by Anchin for services rendered to (i) the registrant, and (ii) the registrant's investment adviser and any control person of the adviser that provides ongoing services to the registrant for the period ended March 31, 2009, were $0 and $0, respectively. (h) The registrant's Audit Committee has considered whether the provision of non-audit services that may be rendered to the registrant's 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. No such services were rendered. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS The Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form N-CSR. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. The Robeco-Sage division of Robeco Investment Management, Inc. (the "Adviser") provides investment advisory services to private investment funds, whose investment program primarily involves investing fund assets in private investment funds (each, a "Fund" and collectively, the "Funds"). The Adviser has authority to vote proxies relating to, or give approval/consent to amendments proposed by, such Funds. The Securities and Exchange Commission (the "SEC") has adopted Rule 206(4)-6 under the Investment Advisers Act. Under this rule, registered investment advisers that exercise voting authority over client securities are required to implement proxy voting policies and describe those policies to their clients. The Investment Committee is responsible for making all proxy voting decisions in accordance with these proxy voting policy and procedures (the "Policies"). The Head of Operations & Administration is responsible for the actual voting of all proxies in a timely manner, while the Compliance Committee is responsible for monitoring the effectiveness of the Policies. (See Section IV. "Procedures for Proxies".) The Policies attempt to generalize a complex subject. The Adviser may, from time to time, determine that it is in the best interests of its fund to depart from specific policies described herein. The rationale for any such departure will be memorialized in writing by the Compliance Committee. I. GENERAL POLICY The general policy is to vote proxy proposals, amendments, consents or resolutions relating to Funds (collectively, "proxies") in a manner that serves the best interests of the fund managed by the Adviser, as determined by the Adviser in its discretion, taking into account relevant factors, including: - the impact on the value of the returns of the Fund; - the attraction of additional capital to the Fund; - alignment of Management's (as defined below) interests with Fund Owners' (as defined below) interests, including establishing appropriate incentives for Management; - the costs associated with the proxy; - impact on redemption or withdrawal rights; - the continued or increased availability of portfolio information; and - industry and business practices. II. SPECIFIC POLICIES A. Routine Matters Routine matters are typically proposed by Management of a company and meet the following criteria: (i) they do not measurably change the structure, management, control or operation of the Fund; (ii) they do not measurably change the terms of, or fees or expenses associated with, an investment in the Fund; and (iii) they are consistent with customary industry standards and practices, as well as the laws of the state of incorporation applicable to the Fund. For routine matters, the Adviser will vote in accordance with the recommendation of the Fund's management, directors, general partners, managing members or trustees (collectively, the "Management"), as applicable, unless, in the Adviser's opinion, such recommendation is not in the best interests of the fund. The Adviser will generally vote for the following proposals: To change capitalization, including to increase authorized common shares or to increase authorized preferred shares as long as there are not disproportionate voting rights per preferred share. To elect or re-elect Board members. To appoint or elect auditors. To set time and location of annual meeting. To establish a master/feeder structure without a significant increase in fees or expenses. To change the fiscal year or term of the Fund. To change the name of the Fund. B. Non-Routine Matters Non-routine matters involve a variety of issues and may be proposed by Management or beneficial owners of a Fund (i.e., shareholders, members, partners, etc. (collectively, the "Owners")). These proxies may involve one or more of the following: (i) a measurable change in the structure, management, control or operation of the Fund; (ii) a measurable change in the terms of, or fees or expenses associated with, an investment in the Fund; or (iii) a change that is inconsistent with industry standards and/or the laws of the state of formation applicable to the Fund. 1. Structure, Management and Investment Authority On a case-by-case basis, the Adviser will decide the following matters, taking into account these Policies and factors relevant to each proxy, as discussed below. a. Approval or Renewal of Investment Advisory Agreements i. proposed and current fee schedules ii. performance history of the Fund iii. continuation of management talent iv. alignment of interests between Management and Owners b. Termination or Liquidation of the Fund i. terms of liquidation ii. past performance of the Fund iii. strategies employed to save the Fund c. Increases in Fees or Expenses i. comparison to industry standards ii. potential impact on the value of the returns of the Fund iii. retention of management talent 2. Share Classes and Voting Rights Unless exceptional circumstances exist, the Adviser will vote against the following proposals: a. To establish a class or classes with terms that may disadvantage other classes. b. To introduce unequal voting rights. c. To change the amendment provisions of an entity by removing investor approval requirements. C. All Other Matters All other decisions regarding proxies will be determined on a case-by-case basis taking into account the general policy, as set forth above. D. Abstaining from Voting or Affirmatively Not Voting The Adviser will abstain from voting (which generally requires submission of a proxy voting card) or affirmatively decide not to vote if the Adviser determines that abstaining or not voting is in the best interests of the fund. In making such a determination, the Adviser will consider various factors, including, but not limited to: (i) the costs associated with exercising the proxy (e.g. translation or travel costs); and (ii) any legal restrictions on trading resulting from the exercise of a proxy. The Adviser will not abstain from voting or affirmatively decide not to vote a proxy if the fund is a plan asset fund subject to the requirements of the Employee Retirement Income Security Act of 1974, as amended. III. CONFLICTS OF INTEREST At times, conflicts may arise between the interests of the fund, on the one hand, and the interests of the Adviser or its affiliates, on the other hand. If the Adviser determines that it has, or may be perceived to have, a conflict of interest when voting a proxy, the Adviser will address matters involving such conflicts of interest as follows: A. if a proposal is addressed by the specific policies herein, the Adviser will vote in accordance with such policies; B. if the Adviser believes it is in the best interests of the fund to depart from the specific policies provided for herein, the Adviser will be subject to the requirements of C or D below, as applicable; C. if the proxy proposal is (1) not addressed by the specific policies or (2) requires a case-by-case determination by the Adviser, the Adviser may vote such proxy as it determines to be in the best interests of the fund, without taking any action described in D below, provided that such vote would be against the Adviser's own interest in the matter (i.e. against the perceived or actual conflict). The Adviser will memorialize the rationale of such vote in writing; and D. if the proxy proposal is (1) not addressed by the specific policies or (2) requires a case-by-case determination by the Adviser, and the Adviser believes it should vote in a way that may also benefit, or be perceived to benefit, its own interest, then the Adviser must take one of the following actions in voting such proxy: (a) delegate the voting decision for such proxy proposal to an independent third party; (b) delegate the voting decision to an independent committee of partners, members, directors or other representatives of the fund, as applicable; (c) inform the investors in a fund of the conflict of interest and obtain consent (majority consent in the case of a fund) to vote the proxy as recommended by the Adviser; or (d) obtain approval of the decision from the Adviser's Compliance Committee. IV. PROCEDURES FOR PROXIES The Investment Committee will be responsible for determining whether each proxy is for a "routine" matter or not, as described above. All proxies identified as "routine" will be voted by the Investment Committee in accordance with the Policies. Any proxies that are not clearly "routine" will be submitted to the Investment Committee, which will determine how to vote each such proxy by applying the Policies. Upon making a decision, the proxy will be executed and returned to the Head of Operations & Administration for submission to the company. Upon receipt of an executed proxy, the Head of Operations & Administration will update the fund's proxy voting record. The Head of Operations & Administration is responsible for the actual voting of all proxies in a timely manner. The Compliance Committee is responsible for monitoring the effectiveness of the Policies. In the event the Adviser determines that the fund should rely on the advice of an independent third party or a committee regarding the voting of a proxy, the Adviser will submit the proxy to such third party or committee for a decision. The Head of Operations & Administration will execute the proxy in accordance with such third party's or committee's decision. V. RECORD OF PROXY VOTING The Head of Operations & Administration will maintain, or have available, written or electronic copies of each proxy statement received and of each executed proxy. The Head of Operations & Administration will also maintain records relating to each proxy, including (i) the determination as to whether the proxy was routine or not; (ii) the voting decision with regard to each proxy; and (iii) any documents created by the Investment Committee, or others, that were material to making the voting decision. The Adviser will maintain a record of each written request from an investor in a fund for proxy voting information and the Adviser's written response to any request (oral or written) from an investor in a fund for proxy voting information. The Head of Operations & Administration will maintain such records in its offices for two years and for an additional three years in an easily accessible place. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES (a)(1) Portfolio Managers The day-to-day management of the Fund's portfolio is the responsibility of Paul S. Platkin, the Chief Investment Officer of the Robeco-Sage division of the Adviser, and Darren S. Wolf, the Head of Research of the Robeco-Sage division of the Adviser. Investment decisions for the Fund are made with the oversight of the Adviser's Investment Committee, comprised of Mr. Platkin, Andrew Rudolph, Jill Schurtz, Glenn Sloat and Mr. Wolf. PAUL S. PLATKIN, CFA, Chief Investment Officer and Managing Director of the Robeco-Sage division of the Adviser. Mr. Platkin joined Robeco-Sage Capital Management, L.L.C. in 2003 as its Chief Investment Officer after spending 9 years at General Motors Corporation, most recently as General Director of the Absolute Return Strategies Unit of GM Asset Management. Prior to that, he was a Director and Portfolio Manager at GM Asset Management. Additional affiliations include three years as an investment banking associate at EFC Group and three years as a staff consultant at Arthur Andersen & Co. Mr. Platkin holds a BSBA from Georgetown University and an MBA in Finance/International Business from Columbia University. Mr. Platkin is a member of the Investment Committee. Mr. Platkin also oversees the on-site due diligence, monitoring of investment managers and portfolio construction. ANDREW RUDOLPH, Senior Vice President. Mr. Rudolph is Robeco-Sage's Sector Head for Long/Short Equity strategies and is a member of the Investment Committee. He joined Robeco-Sage in 2009. Prior to joining the firm, he was Head of Research and Portfolio Manager with Sirius Investment Management, where he was responsible for manager research and ongoing due diligence for a broad spectrum of fund of hedge funds products. Previously, Mr. Rudolph served as the Head of Research and Strategy Head for Credit and International Hedge Funds with Bank of America Fund of Funds. Prior affiliations include Richcourt Fund Advisors, where he conducted research in both Europe and Asia, and trading positions with Arbinet, Hess Energy Trading Company and Sempra Energy Trading. Mr. Rudolph holds a B.S. degree in Finance from State University of New York at Albany, a J.D. from Brooklyn Law School, and an MBA degree in Finance from New York University. He has 15 years of industry experience. JILL SCHURTZ, Chief Executive Officer. Ms. Schurtz is Robeco-Sage's Chief Executive Officer and is a member of the Investment Committee. She joined Robeco-Sage in early 2008 and served as the firm's Chief Operating Officer until June 2010, when she assumed the role of CEO. Prior to joining the firm, she spent a year and a half at Knight Equity Markets, L.P. as a Director in Research Sales, where she worked closely with research analysts and sales traders to introduce the firm's offerings to institutional clients, hedge funds, and other broker/dealers. Ms. Schurtz was also a lawyer with Skadden, Arps, Slate, Meagher, & Flom LLP for six years, focusing on complex tax strategies relating to financial products, capital markets transactions, and mergers and acquisitions. Her other affiliations include two years as an investment banker at U.S. Bancorp Piper Jaffray in the Communications and Computing group where she was a Vice President, and the U.S. military where she served for seven years, attaining the rank of Captain. Ms. Schurtz holds a B.S. degree from the United States Military Academy, West Point and a J.D. from Columbia University School of Law. She has 12 years of industry experience and is admitted to practice law in New York and Illinois. GLENN SLOAT, Director of Operational Due Diligence and Principal of the Robeco-Sage division of the Adviser. Mr. Sloat joined Robeco-Sage Capital Management, L.L.C. in 2006 as the firm's dedicated operational due diligence analyst. Prior to joining Robeco-Sage, Mr. Sloat was a Vice President with JPMorgan Chase Bank where he was a client relationship manager specializing in business development and integration for complex institutional clients. He began his investment career in 1989 as an Assistant Financial Consultant with Merrill Lynch Inc. After one year, he moved to Bankers Trust Company where he became an Assistant Vice President in the firm's Global Institutional Services Group, specializing in systems analysis and business process re-engineering. Mr. Sloat also worked at Arthur Andersen as a Senior Consultant in their Banking and Capital Markets consulting practice, and at BlackRock Financial Management as a Vice President managing custodian bank operations and relationships. Mr. Sloat holds a B.S. in Finance and Marketing from SUNY Albany and an M.B.A. in Finance and Information Technology from New York University's Stern School of Business. Mr. Sloat is a member of the Investment Committee. DARREN S. WOLF, CFA, Head of Research and Principal of the Robeco-Sage division of the Adviser. Mr. Wolf was hired by Robeco-Sage in June 2001 as a member of the research team. He is involved in all facets of the manager research and due diligence process and was instrumental in establishing and implementing many of the quantitative and qualitative research tools that are in place today. Mr. Wolf is a graduate of Yeshiva University's Syms School of Business where he earned a Bachelor of Science in Finance and earned a minor degree in Management Information Systems. Mr. Wolf earned his CFA Charter in 2005 and is a member of the New York Society of Security Analysts (NYSSA). He has nine years of investment experience. Mr. Wolf is a member of the Investment Committee (a)(2) Other Funds and Accounts Managed The following table sets forth information about funds and accounts other than the Fund for which the portfolio managers are primarily responsible for the day-to-day portfolio management as of March 31, 2010.
POOLED REGISTERED INVESTMENT INVESTMENT VEHICLES OTHER ACCOUNTS COMPANIES MANAGED BY MANAGED BY THE MANAGED BY THE THE PORTFOLIO MANAGER PORTFOLIO MANAGER PORTFOLIO MANAGER --------------------- ----------------------- --------------------- NAME OF FUND'S PORTFOLIO MANAGER NUMBER TOTAL ASSETS NUMBER TOTAL ASSETS NUMBER TOTAL ASSETS -------------------------------- ------ ------------ ------ -------------- ------ ------------ Paul S. Platkin 8 $260,949,000 8 $1,018,196,000 1 $21,340,000 Andrew Rudolph 1 $ 22,577,000 N/A N/A N/A N/A Jill Schurtz N/A N/A N/A N/A N/A N/A Glenn Sloat 8 $260,949,000 8 $1,018,196,000 1 $21,340,000 Darren S. Wolf 8 $260,949,000 8 $1,018,196,000 1 $21,340,000
REGISTERED INVESTMENT POOLED INVESTMENT COMPANIES MANAGED VEHICLES MANAGED OTHER ACCOUNTS BY THE BY THE MANAGED BY THE PORTFOLIO MANAGER PORTFOLIO MANAGER PORTFOLIO MANAGER -------------------------- -------------------------- -------------------------- NUMBER TOTAL ASSETS NUMBER TOTAL ASSETS NUMBER TOTAL ASSETS WITH WITH WITH WITH WITH WITH PERFORMANCE PERFORMANCE- PERFORMANCE PERFORMANCE- PERFORMANCE PERFORMANCE NAME OF FUND'S PORTFOLIO MANAGER -BASED FEES BASED FEES -BASED FEES BASED FEES -BASED FEES -BASED FEES -------------------------------- ----------- ------------ ----------- ------------ ----------- ------------ Paul S. Platkin 1 $22,577,000 4 $144,288,967 N/A N/A Andrew Rudolph 1 $22,577,000 N/A N/A N/A N/A Jill Schurtz N/A N/A N/A N/A N/A N/A Glenn Sloat 1 $22,577,000 4 $144,288,967 N/A N/A Darren S. Wolf 1 $22,577,000 4 $144,288,967 N/A N/A
Real, potential or apparent conflicts of interest may arise when a portfolio manager has day-to-day portfolio management responsibilities with respect to more than one fund. The portfolio managers may manage other accounts with investment strategies similar to the Fund, including other investment companies, pooled investment vehicles and separately managed accounts. Fees earned by the Adviser may vary among these accounts and the portfolio managers may personally invest in these accounts. These factors could create conflicts of interest because portfolio managers may have incentives to favor certain accounts over others, resulting in other accounts outperforming the Fund. A conflict may also exist if the portfolio managers identify a limited investment opportunity that may be appropriate for more than one account, but the Fund is not able to take full advantage of that opportunity due to the need to allocate that opportunity among multiple accounts. In addition, the portfolio managers may execute transactions for another account that may adversely impact the value of securities held by the Fund. However, the Adviser believes that these risks are mitigated by the fact that accounts with like investment strategies managed by the portfolio managers are generally managed in a similar fashion and the Adviser has a policy that seeks to allocate opportunities on a fair and equitable basis. The Adviser is also the investment manager for other investment vehicles (the "Other Vehicles"). The Other Vehicles may invest in the same private investment funds, joint ventures, investment companies and other similar investment vehicles ("Portfolio Funds") as the Fund. As a result, the Other Vehicles may compete with the Fund for appropriate investment opportunities. As a general matter, the Adviser will consider participation by the Fund in all appropriate investment opportunities that are under consideration by the Adviser for the Other Vehicles. The Adviser will evaluate for the Fund and the Other Vehicles a variety of factors that may be relevant in determining whether a particular investment opportunity or strategy is appropriate and feasible for the Fund or the Other Vehicles at a particular time. Because these considerations may differ for the Fund and the Other Vehicles in the context of any particular investment opportunity and at any particular time, the investment activities and future investment performance of the Fund and each of the Other Vehicles will differ. The Adviser will, however, attempt to allocate these investment opportunities in an equitable manner. (a)(3) Compensation Compensation for the portfolio managers is a combination of a fixed salary and a bonus. The bonus paid to a portfolio manager for any year may be tied, in part, to the performance of the Fund or any other fund managed by the Adviser during such year as compared to the performance of the HFR Fund of Funds Composite Index or another index or indices deemed relevant by the senior management of the Adviser. The amount of salary and bonus paid to the portfolio managers is based on a variety of factors, including the financial performance of the Adviser, execution of managerial responsibilities, client interactions and teamwork support. As part of their compensation, the portfolio managers also have 401k plans that enable them to direct a percentage of their pre-tax salary and bonus without any contribution from the Adviser into a tax-qualified retirement plan and are also eligible to participate in profit-sharing plans with the Adviser. (a)(4) Fund Ownership The following table sets forth the dollar range of units beneficially owned by the portfolio managers as of March 31, 2010.
PORTFOLIO MANAGER DOLLAR RANGE ----------------- ------------ Paul S. Platkin None Andrew Rudolph None Jill Schurtz None Glenn Sloat None Darren S. Wolf None
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 11. CONTROLS AND PROCEDURES. (a) The certifying officers, whose certifications are included herewith, have evaluated the registrant's disclosure controls and procedures within 90 days of the filing date of this report. In their opinion, based on their evaluation, the registrant's disclosure controls and procedures are adequately designed, and are operating effectively to ensure, that information required to be disclosed by the registrant in the reports it files or submits under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms. (b) There were no changes in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEMS 12. EXHIBITS. (a)(1) Code of Ethics attached hereto. (a)(2) A separate certification for the principal executive officer and the principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith. (b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as an Exhibit. 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) Robeco-Sage Multi-Strategy Institutional Fund, L.L.C. By (Signature and Title)* /s/ Timothy J. Stewart ------------------------------------ Timothy J. Stewart Chief Executive Officer Date: June 9, 2010 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/ Timothy J. Stewart ------------------------------------ Timothy J. Stewart Chief Executive Officer Date: June 9, 2010 By (Signature and Title)* /s/ Matthew J. Davis ------------------------------------ Matthew J. Davis Chief Financial Officer Date: June 9, 2010 * Print the name and title of each signing officer under his or her signature.