Form N-CSRS A&Q Multi-Strategy Fund For: Sep 30

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            811-22500                

A&Q Multi-Strategy Fund

(Exact name of registrant as specified in charter)

600 Washington Boulevard

                                Stamford, Connecticut 06901                            

(Address of principal executive offices) (Zip code)

Keith A. Weller, Esq.

UBS Business Solutions US LLC

One North Wacker Drive

                             Chicago, IL 60606                            

(Name and address of agent for service)

Registrant’s telephone number, including area code: (203) 719-1428

Date of fiscal year end: March 31

Date of reporting period: September 30, 2021

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

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Item 1. Reports to Stockholders.

(a) The Report to Shareholders is attached herewith.

 

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A&Q MULTI-STRATEGY FUND

Financial Statements

(Unaudited)

Semi-Annual Report

Period from April 1, 2021 to September 30, 2021

 

 

 

An exemption under Regulation 4.5 has been obtained from the Commodity Futures Trading Commission for

A&Q Multi-Strategy Fund

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A&Q MULTI-STRATEGY FUND

Financial Statements

(Unaudited)

 

Semi-Annual Report

Period from April 1, 2021 to September 30, 2021

 

Contents

 

Statement of Assets and Liabilities (Unaudited)			1
Schedule of Portfolio Investments (Unaudited)			2
Statement of Operations (Unaudited)			4
Statements of Changes in Net Assets (Unaudited)			5
Statement of Cash Flows (Unaudited)			6
Financial Highlights (Unaudited)			7
Notes to Financial Statements (Unaudited)			9
Approval of Investment Management Agreement (Unaudited)			22
Additional Information (Unaudited)			24

 

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A&Q Multi-Strategy Fund

Statement of Assets and Liabilities

(Unaudited)

 

September 30, 2021

 

 

 

 

ASSETS
Investments in Investment Funds, at fair value (cost $344,355,388)		$	481,431,093
Cash			9,152,959
Receivable from Investment Funds			11,189,710
Advanced subscriptions in Investment Funds			5,000,000
Other assets			105,099
Total Assets			506,878,861
LIABILITIES
Shareholders’ redemptions payable			6,247,691
Loan payable			5,550,000
Subscriptions received in advance			4,941,487
Management Fee payable			1,840,530
Administration fee payable			359,984
Professional fees payable			242,574
Tax compliance fees payable			162,500
Incentive Fee payable			155,914
Officer’s and Trustees’ fees payable			47,669
Loan interest payable			7,354
Custody fee payable			1,710
Other liabilities			168,111
Total Liabilities			19,725,524
Net Assets		$	487,153,337
NET ASSETS
Represented by:
Paid in capital		$	462,827,538
Total distributable earnings (loss)			24,325,799
Net Assets		$	487,153,337
Net asset value per Share (based on 476,521.829 Shares outstanding)		$	1,022.31

 

 

The accompanying notes are an integral part of these financial statements.		1

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A&Q Multi-Strategy Fund

Schedule of Portfolio Investments

(Unaudited)

 

September 30, 2021

 

 

 

Investment Fund (a)		Geographic Focus		Cost				Fair Value				% of Net Assets		Initial Acquisition Date		Redemption Frequency (b)		Redemption Notice Period (c)		First Available Redemption Date				Dollar Amount of Fair Value for First Available Redemption
Credit/Income
Aeolus Property Catastrophe Keystone PF Fund LP		Global		$	1,865,335			$	1,529,506			0.31    %		6/1/2013		Custom Dates		93 days		12/31/2021					(d)
Axonic Special Opportunities SBL Overseas Fund Ltd.		US/Canada			18,500,000				22,915,516			4.71		7/1/2020		Quarterly		180 days		6/30/2022		(e)		$	22,915,516
Boundary Creek Fund Offshore Ltd.		Global			15,000,000				16,116,928			3.31		10/1/2020		Quarterly		90 days		9/30/2021		(f)		$	4,029,232
Redwood Opportunity Offshore Fund, Ltd.		US/Canada			11,963,780				18,596,648			3.82		2/1/2017		Quarterly		60 days		9/30/2021		(f)		$	4,649,162
Credit/Income Subtotal					47,329,115				59,158,598			12.15
Equity Hedged
Anomaly Capital International, Ltd.		Global			20,000,000				23,024,559			4.73		10/1/2020		Quarterly		60 days		9/30/2022		(e),(f)		$	4,115,395
Brilliant US Feeder 2 Fund Limited		Greater China			3,000,000				2,189,301			0.45		1/1/2021		Monthly		30 days		12/31/2021		(e),(g)		$	437,860
Parsifal Offshore Ltd.		Global			20,000,000				22,254,441			4.57		3/1/2021		Quarterly		60 days		3/31/2022		(e),(f)		$	5,563,610
Perceptive Life Sciences Qualified Fund, L.P.		US/Canada			5,782,780				12,242,378			2.51		4/1/2011		Quarterly		45 days		9/30/2021				$	12,242,378
Pleiad Asia Offshore Feeder Fund		Asia including Japan			14,112,706				20,815,899			4.27		2/1/2018		Quarterly		60 days		9/30/2021		(f)		$	5,203,975
Point72 Capital International, Ltd.		Global			16,588,991				22,557,744			4.63		8/1/2018		Quarterly		45 days		9/30/2021		(f)		$	5,639,436
York Asian Opportunities Fund, L.P.		Asia including Japan			22,843,050				33,793,213			6.94		4/1/2018		Quarterly		60 days		9/30/2021				$	33,793,213
ZP Offshore Utility Fund, Ltd.		US/Canada			10,230,000				16,569,078			3.40		4/1/2016		Quarterly		45 days		9/30/2021				$	16,569,078
Equity Hedged Subtotal					112,557,527				153,446,613			31.50
Multi-Strategy
Millennium International Ltd.		Global			6,902,736				16,942,982			3.48		4/1/2011		Quarterly		90 days		9/30/2021		(f)		$	4,235,746
Schonfeld Strategic Partners Offshore Fund Ltd.		Global			25,000,000				25,650,243			5.26		6/1/2021		Monthly		45 days		5/31/2022		(e)		$	25,650,243
Multi-Strategy Subtotal					31,902,736				42,593,225			8.74
Relative Value
Galton Agency MBS Offshore Fund, Ltd.		US/Canada			16,000,000				16,176,859			3.32		8/1/2021		Monthly		30 days		9/30/2021		(h)		$	8,088,430
Linden Investors LP		Global			11,806,488				25,831,406			5.30		4/1/2014		Quarterly		65 days		9/30/2021		(f)		$	6,457,852
Symmetry International Fund, Ltd.		Global			31,314,616				56,645,686			11.63		1/1/2015		Anniversary - 2 Years		180 days		12/31/2022				$	56,645,686
Two Sigma Absolute Return Enhanced Cayman Fund, Ltd.		Global			17,706,945				16,461,540			3.38		8/1/2012		Monthly		30 days		9/30/2021				$	16,461,540
Two Sigma Spectrum Cayman Fund, Ltd.		Global			6,625,518				10,115,883			2.08		6/1/2015		Quarterly		56 days		9/30/2021				$	10,115,883
Relative Value Subtotal					83,453,567				125,231,374			25.71

 

The accompanying notes are an integral part of these financial statements.		2

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A&Q Multi-Strategy Fund

Schedule of Portfolio Investments (continued)

(Unaudited)

 

September 30, 2021

 

 

 

Investment Fund (a)		Geographic Focus		Cost				Fair Value				% of Net Assets		Initial Acquisition Date		Redemption Frequency (b)		Redemption Notice Period (c)		First Available Redemption Date				Dollar Amount of Fair Value for First Available Redemption
Trading
East One Commodity Fund Ltd.		Global Markets		$	22,000,000			$	28,595,622			5.87    %		3/1/2021		Monthly		30 days		2/28/2022		(e)		$	28,595,622
Element Capital Feeder Fund, Ltd.		Global			17,619,264				27,507,874			5.65		4/1/2016		Quarterly		90 days		9/30/2021		(f)		$	6,876,969
Pharo GAIA Fund, Ltd.		Global			13,033,288				20,466,100			4.20		4/1/2015		Quarterly		90 days		9/30/2021				$	20,466,100
Rokos Global Macro Fund, Ltd.		Global			16,459,891				24,431,687			5.01		11/1/2015		Monthly		90 days		9/30/2021		(f)		$	6,107,922
Trading Subtotal					69,112,443				101,001,283			20.73
Total Investment Funds				$	344,355,388			$	481,431,093			98.83    %

 

(a)	Each Investment Fund noted within the Schedule of Portfolio Investments is non-income producing.

(b)	Available frequency of redemptions after the initial lock-up period, if any. Different tranches may have varying liquidity terms.

(c)	Unless otherwise noted, the redemption notice periods are shown in calendar days.

(d)

Generally, the Investment Fund is renewed on the anniversary date each year or paid out within 3 months after the anniversary date. However, if there are insurance claims, the amount and time of payment becomes uncertain and can take years to settle. As of September 30, 2021, the Fund is not aware of any uncertainties related to redemptions.

(e)	This holding is under lock-up and is not redeemable without paying a fee.

(f)	The Investment Fund is subject to an investor level gate of 25%.

(g)	The Investment Fund is subject to an investor level gate of 20%.

(h)	The Investment Fund is subject to an investor level gate of 50%.

Complete information about the Investment Funds’ underlying investments is not readily available.

The Fund’s valuation procedures require evaluation of all relevant factors available at the time the Fund values its portfolio. These relevant factors include the individual Investment Funds’ compliance with fair value measurements, price transparency and valuation procedures in place, and subscription and redemption activity.

 

 

The accompanying notes are an integral part of these financial statements.		3

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A&Q Multi-Strategy Fund

Statement of Operations

(Unaudited)

 

Period from April 1, 2021 to September 30, 2021

 

 

 

EXPENSES
Management Fee		$	3,689,212
Professional fees			466,585
Administration fee			196,771
Incentive Fee			173,935
Commitment Fee			170,466
Tax compliance fees			75,000
Officer’s and Trustees’ fees			61,591
Loan interest			23,779
Custody fee			5,229
Printing, insurance and other expenses			179,080
Total Expenses			5,041,648
Net Investment Loss			(5,041,648	)
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS
Net realized gain/(loss) from investments in Investment Funds			7,913,938
Net change in unrealized appreciation/depreciation on investments in Investment Funds			8,697,294
Net Realized and Unrealized Gain/(Loss) from Investments			16,611,232
Net Increase in Net Assets Derived from Operations		$	11,569,584

 

The accompanying notes are an integral part of these financial statements.		4

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A&Q Multi-Strategy Fund

Statements of Changes in Net Assets

 

 

Year Ended March 31, 2021 and Period from April 1, 2021 to September 30, 2021 (Unaudited)

 

 

 

Net Assets at April 1, 2020		$	462,919,484
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM OPERATIONS
Net investment loss			(12,525,875	)
Net realized gain/(loss) from investments in Investment Funds			37,710,194
Net change in unrealized appreciation/depreciation on investments in Investment Funds			47,840,033
Net Increase in Net Assets Derived from Operations			73,024,352
DISTRIBUTIONS TO SHAREHOLDERS (See Note 2d)			(36,330,718	)
INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL TRANSACTIONS
Shareholders’ subscriptions of 14,042.989 Shares			14,265,888
Reinvestment of distributions of 32,493.479 Shares			33,002,342
Shareholders’ redemptions of 66,657.072 Shares			(66,918,810	)
Net Decrease in Net Assets Derived from Capital Transactions			(19,650,580	)
Net Assets at March 31, 2021		$	479,962,538
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM OPERATIONS
Net investment loss			(5,041,648	)
Net realized gain/(loss) from investments in Investment Funds			7,913,938
Net change in unrealized appreciation/depreciation on investments in Investment Funds			8,697,294
Net Increase in Net Assets Derived from Operations			11,569,584
INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL TRANSACTIONS
Shareholders’ subscriptions of 15,590.701 Shares			15,733,863
Shareholders’ redemptions of 19,754.080 Shares			(20,112,648	)
Net Decrease in Net Assets Derived from Capital Transactions			(4,378,785	)
Net Assets at September 30, 2021		$	487,153,337

 

The accompanying notes are an integral part of these financial statements.		5

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A&Q Multi-Strategy Fund

Statement of Cash Flows

(Unaudited)

 

Period from April 1, 2021 to September 30, 2021

 

 

 

CASH FLOWS FROM OPERATING ACTIVITIES
Net increase in net assets derived from operations		$	11,569,584
Adjustments to reconcile net increase in net assets derived from operations to net cash provided by operating activities:
Purchases of investments in Investment Funds			(41,000,000	)
Proceeds from disposition of investments in Investment Funds			44,577,933
Net realized (gain)/loss from investments in Investment Funds			(7,913,938	)
Net change in unrealized appreciation/depreciation on investments in Investment Funds			(8,697,294	)
Changes in assets and liabilities:
(Increase)/decrease in assets:
Advanced subscriptions in Investment Funds			(5,000,000	)
Receivable from Investment Funds			21,171,992
Other assets			(101,888	)
Increase/(decrease) in liabilities:
Administration fee payable			162,450
Custody fee payable			855
Incentive Fee payable			155,914
Loan interest payable			(7,801	)
Management Fee payable			12,088
Officer’s and Trustees’ fees payable			(25,702	)
Payable to Adviser			(17,193	)
Payable to affiliate			(625,000	)
Professional fees payable			122,239
Tax compliance fees payable			62,500
Other liabilities			40,075
Net cash provided by operating activities			14,486,814
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shareholders’ subscriptions, including change in subscriptions received in advance			17,695,350
Payments on shareholders’ redemptions, including change in shareholders’ redemptions payable			(26,784,720	)
Proceeds from loan			10,810,000
Principal payment on loan			(8,030,000	)
Net cash used in financing activities			(6,309,370	)
Net increase in cash			8,177,444
Cash-beginning of period			975,515
Cash-end of period		$	9,152,959
Supplemental disclosure of cash flow information:
Interest paid		$	31,580

 

The accompanying notes are an integral part of these financial statements.		6

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A&Q Multi-Strategy Fund

Financial Highlights

 

 

The following represents the ratios to average net assets and other supplemental information for the periods indicated. An individual shareholder’s ratios and returns may vary from the below based on the timing of capital transactions.

 

		Period from April 1, 2021 to September 30, 2021								Years Ended March 31,
		(Unaudited)				2021				2020				2019				2018				2017
Per Share operating performance
Net asset value per Share, beginning			$998.50				$924.35				$985.64				$1,010.28				$1,033.72				$975.89
Gain/(Loss) from investment operations:
Net investment loss a			(10.45	)			(26.22	)			(22.38	)			(21.44	)			(24.40	)			(21.93	)
Net realized and unrealized gain (loss) from investments			34.26				178.42				25.86				28.15				87.79				92.75
Total gain from investment operations			23.81				152.20				3.48				6.71				63.39				70.82
Distributions to shareholders			—				(78.05	)			(64.77	)			(31.35	)			(86.83	)			(12.99	)
Net asset value per Share, ending			$1,022.31				$998.50				$924.35				$985.64				$1,010.28				$1,033.72
Ratio/Supplemental Data:
Ratio of net investment loss to average net assets b, c			(2.02%	) d			(2.57%	)			(2.24%	)			(2.10%	)			(2.31%	)			(2.14%	)
Ratio of total expenses to average net assets after
Incentive Fee b, c, e			2.02%	d			2.57%				2.24%				2.10%				2.31%				2.15%
Portfolio turnover rate			8.62%	f			23.97%				12.55%				24.17%				18.33%				26.40%
Total return after
Incentive Fee g, h			2.38%	f			16.32%				(0.02%	)			0.76%				6.30%				7.29%
Asset coverage i			88.775				174.272				N/A				N/A				45.651				17.535
Net assets			$487,153,337				$479,962,538				$462,919,484				$535,934,765				$602,785,782				$620,065,759

 

a

Calculated based on the average Shares outstanding during the period.

 

b

Ratios to average net assets are calculated based on the average net assets for the period.

 

c

Ratios of net investment loss and total expenses to average net assets do not include the impact of expenses and incentive allocations or incentive fees incurred by the underlying Investment Funds.

 

d

Annualized, except for Incentive Fee where applicable.

 

e

The ratios of total expenses to average net assets before Incentive Fee were 1.99%, 1.99%, 1.99%, 2.01%, 1.99% and 1.94% for the period from April 1, 2021 to September 30, 2021 and the years ended March 31, 2021, 2020, 2019, 2018 and 2017, respectively.

 

f

Not annualized.

 

g

The total return is based on the change in value during the period of a theoretical investment made at the beginning of the period. The change in value of a theoretical investment is measured by comparing the aggregate ending value, adjusted for reinvestment of all dividends and distributions, if any, in accordance with the reinvestment plan. The total return does not reflect any sales charges.

 

h

The total returns before Incentive Fee were 2.42%, 16.99%, 0.23%, 0.85%, 6.64% and 7.52% for the period from April 1, 2021 to September 30, 2021 and the years ended March 31, 2021, 2020, 2019, 2018 and 2017, respectively.

 

The accompanying notes are an integral part of these financial statements.		7

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A&Q Multi-Strategy Fund

Financial Highlights (continued)

 

 

 

i

Calculated by subtracting the Fund’s liabilities and indebtedness not represented by senior securities from the Fund’s total assets and dividing the result by the aggregate amount of the Fund’s senior securities representing indebtedness then outstanding. The Fund’s senior securities during this time period were comprised only of temporary borrowings made pursuant to secured revolving lines of credit agreements (see Note 6). There were no senior securities payable outstanding for the years ended March 31, 2020 or 2019.

 

The accompanying notes are an integral part of these financial statements.		8

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A&Q Multi-Strategy Fund

Notes to Financial Statements

(Unaudited)

 

September 30, 2021

 

 

 

1.	Organization

A&Q Multi-Strategy Fund (the “Fund”) was formed as a statutory trust under the laws of Delaware on February 7, 2011 and commenced operations on March 29, 2011. The Fund is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a closed-end, non-diversified management investment company. The Fund is commonly referred to as a “fund of funds”. Its investment objective is to seek to consistently realize risk-adjusted appreciation principally through the allocation of assets among a select group of alternative asset managers (the “Investment Managers”) and the funds they operate. Investment Managers generally conduct their investment programs through unregistered investment vehicles, such as hedge funds, that have investors other than the Fund, and in other registered investment companies (collectively, the “Investment Funds”). The Fund seeks to achieve its investment objective primarily through the identification, selection and monitoring of Investment Managers and Investment Funds that UBS Hedge Fund Solutions (as defined below) believes will produce attractive returns over time. By diversifying the approach by which the Fund’s assets are invested, the Fund seeks to achieve performance results that are less volatile in both rising and falling markets than investments made in accordance with a single approach.

Subject to the provisions of the Fund’s Agreement and Declaration of Trust, as amended and restated from time to time (the “Declaration”), and the requirements of the 1940 Act, the business and affairs of the Fund shall be managed under the direction of the Fund’s Board of Trustees (the “Board”, with an individual member referred to as a “Trustee”). The Trustees shall have the right, power and authority, on behalf of the Fund and in its name, to do all things necessary and proper to carry out their duties under the Declaration. Each Trustee shall be vested with the same powers, authority and responsibilities on behalf of the Fund as are customarily vested in each trustee of a Delaware corporation, and each Trustee who is not an “interested person” (as defined in the 1940 Act) of the Fund (the “Independent Trustees”) shall be vested with the same powers, authority and responsibilities on behalf of the Fund as are customarily vested in each trustee of a closed-end management investment company registered under the 1940 Act and organized as a Delaware corporation who is not an “interested person” of such company. The Trustees may perform such acts as they, in their sole discretion, determine to be proper for conducting the business of the Fund. No Trustee shall have the authority individually to act on behalf of or to bind the Fund except within the scope of such Trustee’s authority as delegated by the Board. The Board may delegate (as may be permitted by the Declaration, the Fund’s By-Laws and the Delaware Statutory Trust Act) the management of the Fund’s day-to-day operations to one or more officers of the Fund or other persons (including, without limitation, UBS Hedge Fund Solutions (as defined below)), subject to the investment objective and policies of the Fund and to the oversight of the Board.

 

		9

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A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

1.	Organization (continued)

 

The Board has engaged UBS Hedge Fund Solutions LLC (“UBS Hedge Fund Solutions” or the “Adviser”), a Delaware limited liability company, to provide investment advice regarding the selection of Investment Funds and to be responsible for the day-to-day management of the Fund. The Adviser is a wholly owned subsidiary of UBS Group AG and is registered as an investment adviser under the Investment Advisers Act of 1940, as amended.

Initial and additional applications for shares of beneficial interest (“Shares”) by eligible investors may be accepted at such times as the Board may determine and are generally accepted monthly. The Board reserves the right to reject any application for Shares in the Fund. Shares may be purchased as of the first business day of each month at the Fund’s then current net asset value (“NAV”) per Share. The Fund from time to time may offer to repurchase Shares pursuant to written tenders by shareholders. These repurchases will be made at such times and on such terms as may be determined by the Board in its complete and exclusive discretion. The Adviser expects that it will recommend to the Board that the Fund offer to repurchase Shares from shareholders as of the end of each calendar quarter. During the six month period ended September 30, 2021, 19,754.080 Shares were repurchased.

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative US generally accepted accounting principles (“US GAAP”) recognized by the FASB to be applied by non-governmental entities. The Fund’s financial statements are prepared in accordance with US GAAP.

Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak that occurred may have a significant negative impact on the operations and profitability of the Fund’s investments. The extent of the impact to the financial performance of the Fund will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, (iv) the effects on the economy overall, and (v) the effectiveness and the roll-out of the vaccines, all of which are highly uncertain and cannot be predicted. These developments may adversely impact certain companies in which the Investment Funds held by the Fund may invest and the value of the Fund’s investments therein.

 

2.	Significant Accounting Policies

 

a.

Portfolio Valuation

The Fund values its investments at fair value, in accordance with US GAAP, which is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

 

10      

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A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

2.	Significant Accounting Policies (continued)

 

a.

Portfolio Valuation (continued)

 

The Fund uses NAV as its measure of fair value of an investment in an investee when (i) the Fund’s investment does not have a readily determinable fair value and (ii) the NAV of the Investment Fund is calculated in a manner consistent with the measurement principles of investment company accounting, including measurement of the underlying investments at fair value. In evaluating the level at which the fair value measurement of the Fund’s investments have been classified, the Fund has assessed factors including, but not limited to, price transparency, the ability to redeem at NAV at the measurement date and the existence or absence of certain restrictions at the measurement date.

US GAAP provides guidance in determining whether there has been a significant decrease in the volume and level of activity for an asset or liability when compared with normal market activity for such asset or liability (or similar assets or liabilities). US GAAP also provides guidance on identifying circumstances that indicate a transaction with regards to such an asset or liability is not orderly. In its consideration, the Fund must consider inputs and valuation techniques used for each class of assets and liabilities. Judgment is used to determine the appropriate classes of assets and liabilities for which disclosures about fair value measurements are provided. Fair value measurement disclosures for each class of assets and liabilities require greater disaggregation than the Fund’s line items in the Statement of Assets and Liabilities.

The following is a summary of the investment strategies and any restrictions on the liquidity provisions of the investments in Investment Funds held by the Fund as of September 30, 2021. Investment Funds with no current redemption restrictions may be subject to future gates, lock-up provisions or other restrictions, in accordance with their offering documents. The Fund had no unfunded capital commitments as of September 30, 2021. The Fund used the following categories to classify its Investment Funds:

The Investment Funds in the credit/income strategy (total fair value of $59,158,598) utilize credit analysis to evaluate potential investments and use debt or debt-linked instruments to execute their investment theses. Their approach can be either fundamental, quantitative, or a combination of both. As of September 30, 2021, the Investment Funds in the credit/income strategy had $57,629,092 representing 97% of the value of the investments in this category, subject to investor level gates and/or lock-ups. Included in this amount is $22,915,516, representing 39% of the value of the investments in this category, that cannot be redeemed in full because the investments include restrictions that do not allow for redemptions in the first 12-24 months after acquisition. The remaining restriction period for this investment is 9 months at September 30, 2021.

 

11      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

2.	Significant Accounting Policies (continued)

 

a.

Portfolio Valuation (continued)

 

The Investment Funds in the equity hedged strategy (total fair value of $153,446,613) generally utilize fundamental analysis to invest in publicly traded equities investing in both long and short positions seeking to capture perceived security mispricing. Portfolio construction is driven primarily by bottom-up fundamental research; top-down analysis may also be applied. As of September 30, 2021, the Investment Funds in the equity hedged strategy had $90,841,944, representing 59% of the value of the investments in this category, subject to investor level gates and/or lock-ups. Included in this amount is $47,468,301, representing 31% of the value of the investments in this category, that cannot be redeemed in full because the investments include restrictions that do not allow for redemptions in the first 12-24 months after acquisition. The remaining restriction period for these investments ranges from 3-16 months at September 30, 2021.

The Investment Funds in the multi-strategy strategy (total fair value of $42,593,225) invest in both long and short, equity and debt strategies that are primarily in U.S. based securities. The management of these Investment Funds seek arbitrage opportunities, distressed securities, corporate restructures and hedges established in equities, convertible securities, options, warrants, rights, forward contracts, futures, trade claims, credit default swaps and other derivatives, real estate and other financial instruments. As of September 30, 2021, the Investment Funds in the multi-strategy strategy had $42,593,225, representing 100% of the value of the investments in this category, subject to investor level gates and/or lock-ups. Included in this amount is $25,650,243, representing 60% of the value of the investments in this category, that cannot be redeemed in full because the investments include restrictions that do not allow for redemptions in the first 12 months after acquisition. The remaining restriction period for this investment is 8 months at September 30, 2021.

The Investment Funds in the relative value strategy (total fair value of $125,231,374), a broad category, generally encompass strategies that are non-fundamental and non-directional, and often quantitatively driven. The Investment Funds in this strategy typically use arbitrage to exploit mispricing and other opportunities in various asset classes, geographies, and time horizons. The Investment Funds frequently focus on capturing the spread between two assets, while maintaining neutrality to other factors, such as geography, changes in interest rates, equity market movement, and currencies, to name a few examples. As of September 30, 2021, the Investment Funds in the relative value strategy had $42,008,265, representing 34% of the value of the investments in this category, subject to investor level gates.

 

12      

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A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

2.	Significant Accounting Policies (continued)

 

a.

Portfolio Valuation (continued)

 

The Investment Funds in the trading strategy (total fair value of $101,001,283) are generally top-down in nature and often driven by econometric and macroeconomic research. The Investment Funds may utilize financial instruments, such as foreign exchange, equities, rates, sovereign debt, currencies, and commodities to express a manager’s view. In executing different approaches, managers may use either fundamental or quantitative models or a combination of both. As of September 30, 2021, the Investment Funds in the trading strategy had $80,535,183, representing 80% of the value of the investments in this category, subject to investor level gates and/or lock-ups. Included in this amount is $28,595,622, representing 28% of the value of the investments in this category, that cannot be redeemed in full because the investments include restrictions that do not allow for redemptions in the first 12 months after acquisition. The remaining restriction period for this investment is 5 months at September 30, 2021.

The investments within the scope of ASC 820, for which fair value is measured using NAV as a practical expedient, should not be categorized within the fair value hierarchy. The total fair value of the investments in Investment Funds valued using NAV as a practical expedient is $481,431,093 and is therefore excluded from the fair value hierarchy. Additional disclosures, including liquidity terms and conditions of the underlying investments, are included in the Schedule of Portfolio Investments.

The three levels of the fair value hierarchy are as follows:

 

The NAV of the Fund is determined by the Fund’s administrator, under the oversight of the Adviser, as of the close of business at the end of any fiscal period in accordance with the valuation principles set forth below or as may be determined from time to time pursuant to policies established by the Board. The Fund’s investments in Investment Funds are subject to the terms and conditions of the respective operating agreements and offering memorandums, as appropriate. The Adviser has adopted procedures pursuant to ASC 820 in which the Fund values its investments in Investment

 

13      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

2.	Significant Accounting Policies (continued)

 

a.

Portfolio Valuation (continued)

 

Funds at fair value. Fair value is generally determined utilizing NAVs supplied by, or on behalf of, the Investment Funds’ Investment Managers, which are net of management and incentive fees charged by the Investment Funds. NAVs received by, or on behalf of, the Investment Funds’ Investment Managers are based on the fair value of the Investment Funds’ underlying investments in accordance with the policies established by the Investment Funds. Because of the inherent uncertainty of valuation, the value of the Fund’s investments in the Investment Funds may differ significantly from the value that would have been used had a ready market been available. See Schedule of Portfolio Investments for further information.

The fair value relating to certain underlying investments of these Investment Funds, for which there is no ready market, has been estimated by the respective Investment Fund’s Investment Manager and is based upon available information in the absence of readily ascertainable fair values and does not necessarily represent amounts that might ultimately be realized. Due to the inherent uncertainty of valuation, those estimated fair values may differ significantly from the values that would have been used had a ready market for the investments existed. These differences could be material.

It is unknown, on an aggregate basis, whether the Investment Funds held any investments whereby the Fund’s proportionate share exceeded 5% of the Fund’s net assets at September 30, 2021.

The fair value of the Fund’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented in the Statement of Assets and Liabilities.

 

b.

Investment Transactions and Income Recognition

The Fund accounts for realized gains and losses from Investment Fund transactions based on the pro-rata ratio of the fair value and cost of the underlying investment at the date of redemption. Interest income is recorded on the accrual basis.

 

c.

Fund Expenses

The Fund bears all expenses incurred in its business, including, but not limited to, the following: all costs and expenses related to portfolio transactions and positions for the Fund’s account; legal fees; accounting and auditing fees; custodial fees; costs of computing the Fund’s NAV; costs of insurance; registration expenses; interest expense; due diligence, including travel and related expenses; expenses of meetings of the Board; all costs with respect to communications to shareholders; and other types of expenses approved by the Board. Expenses are recorded on the accrual basis.

 

14      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

2.	Significant Accounting Policies (continued)

 

 

d.

Income Taxes

The Fund intends, consistent with the requirements of the Internal Revenue Code that are applicable to regulated investment companies, to distribute all its taxable income to its shareholders. The Fund also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains, resulting in no provision requirements for federal income or excise taxes. The Fund has a September 30 tax year-end. Unless otherwise indicated, all applicable tax disclosures reflect tax adjusted balances at September 30, 2021.

The Fund files U.S. federal income and applicable state tax returns. The Adviser has analyzed the Fund’s tax positions taken on its federal and state income tax returns for all open tax years, and has concluded that no provision for federal or state income tax is required in the Fund’s financial statements. The Fund’s federal and state income tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. The Fund will recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. For the six month period ended September 30, 2021, the Fund did not incur any interest or penalties. The Adviser does not believe there are positions for which it is reasonably likely that the total amounts of unrecognized tax liability will significantly change within 12 months of the reporting date.

Permanent book-to-tax basis differences resulted in the reclassification of amounts stated below, between total distributable earnings and paid-in capital reported on the Fund’s Statement of Assets and Liabilities as of September 30, 2021. Such permanent reclassifications are attributable to differences between book and tax reporting of the Fund’s investments which do not affect net assets or NAV per Share values.

 

The tax character of distributions paid to shareholders during the financial statement year ended March 31, 2021 was $28,113,609 of ordinary income and $8,217,109 of return of capital. The tax character of distributions paid to shareholders during the financial statement year ended March 31, 2020 was $23,907,824 of ordinary income and $9,175,557 of return of capital.

 

15      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

2.	Significant Accounting Policies (continued)

 

d.

Income Taxes (continued)

 

The tax basis of distributable earnings as of September 30, 2020 (the Fund’s most recent tax year) shown below represents future distribution requirements that the Fund must satisfy under the income tax regulations.

 

* Under federal tax law, qualified late year ordinary and capital losses realized after December 31 and October 31, respectively, may be deferred and treated as occurring on the first day of the following tax year. For the tax year ended September 30, 2021, the Fund incurred a late year ordinary loss of $7,378,878 and a capital loss of $0 which it will elect to defer to the tax year ending September 30, 2022.

The federal tax cost of investments is adjusted for taxable income allocated to the Fund from the Investment Funds. The aggregate tax cost of investments at September 30, 2021 is $448,095,575. Investment net tax basis unrealized appreciation was $33,335,518 consisting of $35,727,451 unrealized appreciation and $2,391,933 unrealized depreciation.

The primary reason for differences between the earnings reported above and the federal tax cost of investments, in comparison with the related amounts reported on the Fund’s Statement of Assets and Liabilities as of September 30, 2021, relates to cumulative differences between tax and US GAAP financial statement reporting requirements on the portfolio investments.

 

e.

Cash

Cash consists of monies held at The Bank of New York Mellon. Such cash, at times, may exceed federally insured limits. The Fund has not experienced any losses in such accounts and does not believe it is exposed to any significant credit risk on such accounts. There were no restricted cash balances held as of September 30, 2021.

 

f.

Use of Estimates

The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of

 

16      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

2.	Significant Accounting Policies (continued)

 

f.

Use of Estimates (continued)

 

 

increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Because of the uncertainty of valuation, such estimates may differ significantly from values that would have been used had a ready market existed, and the differences could be material.

 

3.	Related Party Transactions

The Adviser provides investment advisory services to the Fund pursuant to an Investment Advisory Agreement. The Adviser also provides certain administrative services to the Fund, including: providing office space, handling of shareholder inquiries regarding the Fund, providing shareholders with information concerning their investment in the Fund, coordinating and organizing meetings of the Fund’s Board and providing other support services. In consideration for all such services, the Fund pays the Adviser a fee (the “Management Fee”), computed and payable monthly, at an annual rate of 1.50% of the Fund’s adjusted net assets determined as of the last day of each month. Adjusted net assets as of any month-end date means the total value of all assets of the Fund, less an amount equal to all accrued debts, liabilities and obligations of the Fund other than Incentive Fee (as described below) accruals if any, as of such date, and calculated before giving effect to any repurchase of Shares on such date. For the six month period ended September 30, 2021, the Fund incurred a Management Fee of $3,689,212, of which $1,840,530 remains payable and is included in the Statement of Assets and Liabilities at September 30, 2021.

The Management Fee is computed as of the start of business on the last business day of the period to which each Management Fee relates, after adjustment for any Share purchases effective on such date, and is payable in arrears. A portion of the Management Fee and Incentive Fee (as defined below) is paid by UBS Hedge Fund Solutions to its affiliates.

In addition to the Management Fee paid to the Adviser, the Fund also pays the Adviser an incentive fee (the “Incentive Fee”), on a quarterly basis, at an annual rate of 5% of the Fund’s net profits, if any. For the purposes of calculating the Incentive Fee, net profits will be determined by taking into account net realized gain or loss (including realized gain that has been distributed to shareholders during a fiscal quarter and net of Fund expenses, including Management Fee) and the net change in unrealized appreciation or depreciation of securities positions, as well as dividends, interest and other income. No Incentive Fee will be payable for any fiscal quarter unless losses and depreciation from prior fiscal quarters (the “cumulative loss”) have been recovered by the Fund, known as a “high water mark” calculation. The cumulative loss to be recovered before payment of Incentive Fees will be reduced in the event of withdrawals by shareholders. The Adviser is under no obligation to repay

 

17      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

3.	Related Party Transactions (continued)

 

 

any incentive fees previously paid by the Fund. Thus, the payment of the Incentive Fee for a fiscal quarter will not be reversed by the subsequent decline of the Fund’s assets in any subsequent fiscal quarter. For the six month period ended September 30, 2021, the Fund incurred an Incentive Fee of $173,935, of which $155,914 remains payable and is included in the Statement of Assets and Liabilities at September 30, 2021.

The Incentive Fee is in addition to the incentive fees or allocations charged by the unregistered Investment Funds.

UBS Financial Services Inc. (“UBS FSI”), a wholly owned subsidiary of UBS Americas, Inc., together with any other broker or dealer appointed by the Fund as distributor of its Shares (the “Distributor”), acts as the distributor of the Fund’s Shares on a best efforts basis, subject to various conditions, without special compensation from the Fund. Currently, UBS FSI acts as the sole distributor of the Fund’s Shares, and bears its own costs associated with its activities as distributor. Sales loads, if any, charged on contributions are debited against the contribution amounts, to arrive at a net subscription amount. The sales load does not constitute assets of the Fund.

Each Trustee of the Fund receives an annual retainer of $12,500 plus a fee for each meeting attended. The Chair of the Board and the Chair of the Audit Committee of the Board each receive an additional annual retainer in the amount of $20,000. These additional annual retainer amounts are paid for by the Fund on a pro-rata basis along with the two other registered alternative investment funds advised by UBS Hedge Fund Solutions. All Trustees are reimbursed by the Fund for all reasonable out of pocket expenses.

During the six month period ended September 30, 2021, the Fund incurred a portion of the annual compensation of the Fund’s Chief Compliance Officer in the amount of $18,308 which is included in Officer’s and Trustees’ fees in the Statement of Operations. The related payable of $26,344 is included in Officer’s and Trustees’ fees payable in the Statement of Assets and Liabilities.

The Fund, along with the two other registered alternative investment funds advised by UBS Hedge Fund Solutions, and the Trustees are insured under an insurance policy which protects against claims alleging a wrongful act, error, omission, misstatement, misleading statement, and other items made in error. The annual premiums are allocated among the funds on a pro-rata basis based on each fund’s assets under management. On an annual basis, the allocation methodology is reviewed and approved by the Board and the Adviser determines the amounts to be charged to each fund based upon the Board approved methodology. During the six month period ended September 30, 2021, the Fund incurred $104,483 in insurance fees, which is included in printing, insurance and other expenses in the Statement of Operations, of which none was payable at September 30, 2021.

 

18      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

3.	Related Party Transactions (continued)

 

The Fund, along with several other funds advised by UBS Hedge Fund Solutions, is party to a Credit Agreement (See Note 6). On a quarterly basis, the credit provider charges a fee (the “Commitment Fee”) on the unused portion of the total amount of the Credit Agreement. The Adviser negotiates the commitment amount with the counterparty based on the amount each fund will be expected to borrow at a given time. The Commitment Fee is allocated to each fund based on the sub-limit borrowing amount which is disclosed within the Credit Agreement. For the six month period ended September 30, 2021, the Fund incurred a Commitment Fee of $170,466 to the counterparty, of which $82,316 remains payable and is included in other liabilities in the Statement of Assets and Liabilities at September 30, 2021.

The Adviser may incur expenses on behalf of the Fund for certain activities which benefit the investment funds managed by the Adviser. There were no such expenses incurred for the six month period ended September 30, 2021.

Other investment partnerships sponsored by UBS Group AG or its affiliates may also maintain investment interests in the Investment Funds owned by the Fund.

 

4.	Administration and Custody Fees

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), as Fund administrator, performs certain additional administrative, accounting, record keeping, tax and investor services for the Fund. BNY Mellon receives a monthly administration fee primarily based upon (i) the average net assets of the Fund subject to a minimum monthly administration fee, and (ii) the aggregate net assets of the Fund and certain other investment funds sponsored or advised by UBS Group AG, UBS Americas, Inc. or their affiliates. Additionally, the Fund reimburses certain out of pocket expenses incurred by BNY Mellon.

The Bank of New York Mellon serves as the primary custodian of the assets of the Fund, and may maintain custody of such assets with domestic and foreign sub custodians (which may be banks, trust companies, securities depositories and clearing agencies) approved by the Trustees. Assets of the Fund are not held by the Adviser or commingled with the assets of other accounts other than to the extent that securities are held in the name of a custodian in a securities depository, clearing agency or omnibus customer account of such custodian.

 

5.	Share Capital and NAV

The Fund is authorized to issue an unlimited number of Shares. The Fund has registered $570,704,781 of Shares for sale under its Registration Statement (File No. 333-258388). The Shares are distributed by UBS FSI, as the Fund’s Distributor. The Distributor may pay from its own

 

19      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

5.	Share Capital and NAV (continued)

 

 

resources compensation to its financial advisors, as well as third party securities dealers and other industry professionals, in connection with the sale and distribution of the Shares or ongoing servicing of clients with whom they have placed Shares in the Fund.

Capital share transactions for outstanding Shares in the Fund for the six month period ended September 30, 2021 are summarized as follows:

 

 

6.	Loan Payable

The Fund, along with several other funds advised by UBS Hedge Fund Solutions, has entered into a secured Amended and Restated Credit Agreement dated as of September 1, 2015, as amended, supplemented or otherwise modified from time to time with a third-party commercial bank, which will terminate on August 23, 2022 unless extended (the “Credit Agreement”). Under the Credit Agreement, the Fund may borrow from time to time on a revolving basis at any time up to $70,000,000 for temporary investment purposes and to meet requests for tenders. Indebtedness outstanding under the Credit Agreement accrues interest at a rate per annum for each day of Term SOFR plus 0.11448% plus 1.50%. There is a Commitment Fee payable by the Fund, calculated at 50 basis points times the actual daily amount of the line of credit not utilized.

For the six month period ended September 30, 2021, the Fund’s average interest rate paid on borrowings was 1.60% per annum and the average borrowings outstanding was $1,490,111. The Fund had $5,550,000 in borrowings outstanding at September 30, 2021. Interest expense for the six month period ended September 30, 2021 was $23,779, of which $7,354 was payable at September 30, 2021.

 

7.	Investments

As of September 30, 2021, the Fund had investments in Investment Funds, none of which were related parties.

Aggregate purchases and proceeds from sales of investments for the six month period ended September 30, 2021 amounted to $41,000,000 and $44,577,933, respectively.

 

20      

---

A&Q Multi-Strategy Fund

Notes to Financial Statements (continued)

(Unaudited)

 

September 30, 2021

 

 

 

7.	Investments (continued)

 

The agreements related to investments in Investment Funds provide for compensation to the general partners/managers in the form of management fees of 0.00% to 3.00% (per annum) of net assets and incentive fees or allocations ranging from 5.00% to 40.00% of net profits earned. One or more Investment Funds have entered into a side pocket arrangement. Detailed information about the Investment Funds’ portfolios is not available. Please see the Schedule of Portfolio Investments for further information.

 

8.	Financial Instruments with Off-Balance Sheet Risk

In the normal course of business, the Investment Funds in which the Fund invests trade various financial instruments and enter into various investment activities with off-balance sheet risk. These include, but are not limited to, short selling activities, writing option contracts, contracts for differences, equity swaps, distressed investing, merger arbitrage and convertible arbitrage. The Fund’s risk of loss in these Investment Funds is limited to the fair value of these investments.

 

9.	Indemnification

In the ordinary course of business, the Fund may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Fund. Based on its history and experience, the Fund believes that the likelihood of such an event is remote.

 

10.	Subsequent Events

The Adviser has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available to be issued, and has determined that there were no events that required disclosure other than the following:

Subsequent to September 30, 2021, the Fund received additional subscriptions of $3,295,600 and paid shareholders’ redemptions payable of $6,247,691 in full.

 

21      

---

A&Q MULTI-STRATEGY FUND (UNAUDITED)

The Board of Trustees of the Fund, including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Fund (the “Independent Trustees”), last evaluated the Investment Advisory Agreement (the “Advisory Agreement”) at a meeting on September 30, 2021. The Trustees met in an executive session during which they were advised by and had the opportunity to discuss with independent legal counsel the approval of the Advisory Agreement. The Trustees reviewed materials furnished by UBS Hedge Fund Solutions LLC (the “Adviser”), including information regarding the Adviser, its affiliates and its personnel, operations and financial condition. Tables indicating comparative fee information, and comparative performance information, as well as a summary financial analysis for the Fund, also were included in the meeting materials and were reviewed and discussed. The Trustees discussed with representatives of the Adviser the Fund’s operations and the Adviser’s ability to provide advisory and other services to the Fund.

The Trustees reviewed, among other things, the nature of the advisory services to be provided by the Adviser to the Fund, including its investment process, and the experience of the investment advisory and other personnel proposing to provide services to the Fund. The Trustees discussed the ability of the Adviser to manage the Fund’s investments in accordance with the Fund’s stated investment objectives and policies, as well as the services to be provided by the Adviser to the Fund, including administrative and compliance services, oversight of fund accounting, marketing services, assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Fund. The Trustees acknowledged the Adviser’s employment of skilled investment professionals, research analysts and administrative, legal and compliance staff members to ensure that a high level of quality in compliance and administrative services would be provided to the Fund. The Trustees recognized the benefits that the Fund derives from the resources available to the Adviser and the Adviser’s affiliates. Accordingly, the Trustees felt that the quality of service offered by the Adviser to the Fund was appropriate and that the personnel providing such services had sufficient expertise to manage the Fund.

The Trustees reviewed the performance of the Fund and compared that performance to the performance of other investment companies presented by the Adviser which had objectives and strategies similar to those of the Fund and which are managed by other, third-party investment advisers (the “Comparable Funds”). The Trustees recognized that certain of the Comparable Funds that are structured as private funds are not subject to certain investment restrictions under the 1940 Act that are applicable to the Fund and which can adversely affect the Fund’s performance relative to that of the Comparable Funds. The Trustees recognized that the Fund’s performance for the three- and five-year periods ended June 30, 2021 exceeded the median performance of the Comparable Funds for the same periods.

The Trustees considered the advisory fees being charged by the Adviser for its services to the Fund as compared to those charged to the Comparable Funds. The information presented to the Trustees showed that the Fund’s management fee and incentive fee were equal to the median management fee and median incentive fee, respectively, of the Comparable Funds. In comparing the advisory fees being charged to the Fund to those charged to other advisory clients of the Adviser, the Trustees noted that the Fund’s management fee was equal to the standard management fee of the Adviser’s retail clients, and that the Fund’s incentive fee was below the standard incentive fee of the Adviser’s retail clients and non-retail clients.

The Trustees also considered the profitability of the Adviser both before payment to brokers and after payment to brokers, and concluded that the profits to be realized by the Adviser and its affiliates under the Fund’s Advisory Agreement and from other relationships between the Fund and the Adviser were within a range the Trustees considered reasonable and appropriate. The Trustees also discussed the

 

22

---

fact that the Fund was not large enough at that time to support a request for breakpoints due to economies of scale.

The Trustees determined that the fees under the Advisory Agreement do not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s length bargaining. After considering all factors that it considered relevant, the Board, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement.

 

23

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ADDITIONAL INFORMATION (UNAUDITED)

PROXY VOTING

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available: (i) without charge, upon request, by calling (888) 793-8637; and (ii) on the Securities and Exchange Commission’s (the “SEC”) website at http://www.sec.gov.

The Fund is required to file, on Form N-PX, its complete proxy voting record for the most recent 12-month period ended June 30, no later than August 31. The Fund’s Form N-PX filings are available: (i) without charge, upon request, by calling (888) 793-8637; and (ii) on the SEC’s website at http://www.sec.gov.

AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available, without charge, on the SEC’s website at http://www.sec.gov.

 

24

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(b) Not applicable.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

 

(a)

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form.

 

(b)

Not applicable.

 

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

(a)	Not applicable.

 

(b)	There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR.

 

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

---

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

 

(a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12.

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

 

		(a)(1)		Not applicable.
		(a)(2)		Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
		(a)(2)(1)				Not applicable.
		(a)(2)(2)				Not applicable.
		(b)		Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

---

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) A&Q Multi-Strategy Fund                                                                                              

By (Signature and Title)*      /s/ William Ferri                                                                                                  

                                                William Ferri, Principal Executive Officer

Date             12/7/21                                                                                                                                           

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/ William Ferri                                                                                                  

                                                William Ferri, Principal Executive Officer

Date             12/7/21                                                                                                                                           

By (Signature and Title)*      /s/ Dylan Germishuys                                                                                         

                                                Dylan Germishuys, Principal Accounting Officer

Date            12/7/21                                                                                                                                             

^* Print the name and title of each signing officer under his or her signature.

 

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, William Ferri, certify that:

 

1.	I have reviewed this report on Form N-CSR of A&Q Multi-Strategy Fund;

 

2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

---

(d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during 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; and

 

5.	The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:    12/7/21				/s/ William Ferri
				William Ferri, Principal Executive Officer

---

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, Dylan Germishuys, certify that:

 

1.	I have reviewed this report on Form N-CSR of A&Q Multi-Strategy Fund;

 

2.	Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.

Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.

The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a)

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

---

(d)

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during 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; and

 

5.	The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:    12/7/21				/s/ Dylan Germishuys
				Dylan Germishuys, Principal Accounting Officer

 

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the

Sarbanes-Oxley Act

I, William Ferri, Principal Executive Officer of A&Q Multi-Strategy Fund (the “Registrant”), certify that:

 

1.

The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

 

2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

Date:    12/7/21				/s/ William Ferri
				William Ferri, Principal Executive Officer

I, Dylan Germishuys, Principal Accounting Officer of A&Q Multi-Strategy Fund (the “Registrant”), certify that:

 

1.

The Form N-CSR of the Registrant (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

 

2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

 

Date:    12/7/21				/s/ Dylan Germishuys
				Dylan Germishuys, Principal Accounting Officer

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