The first quarter of the year marks the busy season for finance professionals at private funds. Once the investment manager (or its administrator) finalizes the prior year-end performance for its funds, the firm can officially commence auditing those funds’ financial statements, although preparations have likely been underway for several months. From a regulatory perspective, Rule 206(4)‑2 (the Custody Rule) of the Investment Advisers Act of 1940 is the driving force behind the flurry with which a hedge fund manager approaches the audit process. In addition, registered commodity pool operators must adhere to CFTC Regulation 4.22(c), which requires audited financial reports to be delivered to the pool’s investors and filed with the NFA within 90 days of the pool’s fiscal year-end. Of course, even without those regulatory requirements, most institutional investors – particularly those that owe a fiduciary duty to their end-investors – insist that funds to which they allocate undergo annual audits. This article considers the audit from the perspectives of the fund manager’s CCO and GC. Specifically, it analyzes the fund’s audit process and explores the extent to which legal and compliance personnel should be part of that process – or whether it is a purely financial function that is outside their purview. See “A Refresher on Custody and What to Expect on Surprise Custody Exams” (Feb. 18, 2021); and our discussion of the Custody Rule with Proskauer partner Robert Plaze: “History and Possible Amendments” (Dec. 19, 2019); and “Compliance Challenges, Common Issues and Tips” (Jan. 16, 2020).