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EX-3.02 - EX-3.02 - ML Winton FuturesAccess LLCa10-3641_1ex3d02.htm
EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLCa10-3641_1ex32d02.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLCa10-3641_1ex31d01.htm
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLCa10-3641_1ex32d01.htm
EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLCa10-3641_1ex31d02.htm
EX-13.01 - EX-13.01 - ML Winton FuturesAccess LLCa10-3641_1ex13d01.htm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C.  20549

 

FORM 10-K

 

x Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

For the fiscal year ended: December 31, 2009

 

or

 

o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

 

Commission file number: 0-51084

 

ML WINTON FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

 

Delaware

 

20-1227904

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification No.)

 

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center, 6th Floor

250 Vesey Street

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

 

212-449-3517

(Registrant’s telephone number, including area code)

 

Securities registered pursuant to Section 12(b) of the Act: None

 

Securities registered pursuant to Section 12(g) of the Act: Units of Limited Liability Company Interest

 

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.  Yes o  No x

 

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act.  Yes o  No x

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes x  No o

 

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).  Yes o  No o

 

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

 

Large accelerated filer o

Accelerated filer o

 

 

Non-accelerated filer x

Small reporting company o

(Do not check if a smaller reporting company)

 

 

Indicate by check mark whether the registrant is a shell company (as defined by Rule 12b-2 of the Act).  Yes o  No x

 

The Units of the limited liability company interest of the registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrant’s outstanding equity that is readily determinable.

 

As of February 28, 2010 units of limited liability company interest with an aggregate Net Asset Value of $754,583,488 were outstanding and held by non-affiliates.

 

Documents Incorporated by Reference

 

The registrant’s 2009 Annual Report and Reports of Independent Registered Public Accounting Firms, the annual report to security holders for the year ended December 31, 2009, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are available free of charge by contacting Alternative Investments Client Services at 1-866-MER-ALTS.

 

 

 



 

ML WINTON FUTURESACCESS LLC

ANNUAL REPORT FOR 2009 ON FORM 10-K

 

Table of Contents

 

 

 

 

PAGE

 

 

 

 

PART I

 

 

 

 

Item 1.

Business

 

1

 

 

 

 

Item 1A.

Risk Factors

 

8

 

 

 

 

Item 1B.

Unresolved Staff Comments

 

10

 

 

 

 

Item 2.

Properties

 

10

 

 

 

 

Item 3.

Legal Proceedings

 

10

 

 

 

 

Item 4.

[Reserved]

 

10

 

 

 

 

PART II

 

 

 

 

Item 5.

Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

 

10

 

 

 

 

Item 6.

Selected Financial Data

 

12

 

 

 

 

Item 7.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

21

 

 

 

 

Item 7A.

Quantitative and Qualitative Disclosures About Market Risk

 

28

 

 

 

 

Item 8.

Financial Statements and Supplementary Data

 

33

 

 

 

 

Item 9.

Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

 

33

 

 

 

 

Item 9A(T).

Controls and Procedures

 

34

 

 

 

 

Item 9B.

Other Information

 

34

 

 

 

 

PART III

 

 

 

 

Item 10.

Directors, Executive Officers and Corporate Governance

 

35

 

 

 

 

Item 11.

Executive Compensation

 

37

 

 

 

 

Item 12.

Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

 

37

 

 

 

 

Item 13.

Certain Relationships and Related Transactions and Director Independence

 

37

 

 

 

 

Item 14.

Principal Accountant Fees and Services

 

38

 

 

 

 

PART IV

 

 

 

 

Item 15.

Exhibits and Financial Statement Schedules

 

40

 



 

PART I

 

Item 1:        Business

 

(a)                                 General Development of Business:

 

ML Winton FuturesAccess LLC (the “Fund”) was organized under the Delaware Limited Liability Company Act on May 17, 2004 and commenced trading activities on February 1, 2005. The Fund issues new units of limited liability company interest (“Units”) at Net Asset Value per Unit (see Item 6 for discussion of net asset value and net asset value per unit for subscriptions and redemptions purposes hereinafter referred to as Net Asset Value and Net Asset Value per Unit) as of the beginning of each calendar month. The Fund engages in the speculative trading of futures, options on futures and forward contracts on a wide range of commodities. Winton Capital Management Limited (“Winton” or the “Trading Advisor”), is the Trading Advisor of the Fund.

 

Merrill Lynch Alternative Investments LLC (“MLAI”) is the sponsor (“Sponsor”) and manager (“Manager”) of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“Merrill Lynch”).  Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker. On September 15, 2008, Merrill Lynch (or the “Company”) entered into an Agreement and Plan of Merger (as amended by Amendment No. 1 dated as of October 21, 2008, the “Merger Agreement”) with Bank of America Corporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1, 2009, a wholly-owned subsidiary of Bank of America (“Merger Sub”) merged with and into Merrill Lynch, with Merrill Lynch continuing as the surviving corporation and a subsidiary of Bank of America (the “Merger”).

 

The Fund calculates the Net Asset Value per Unit of each Class of Units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Fund’s Net Asset Value as of any calculation date will generally equal the value of the Fund’s account under the management of its trading advisor as of such date, plus any other assets held by the Fund, minus accrued brokerage commissions, sponsor’s, management and performance fees, organizational expense amortization and any operating costs and other liabilities of the Fund.  MLAI is authorized to make all Net Asset Value determinations.

 

As of December 31, 2009, the Net Asset Value of the Fund was $750,036,467 and the Net Asset Value per Unit was, $1.5088 for Class A, $1.4380 for Class C, $1.4964 for Class D, $1.5267 for Class I, $1.4946 for Class DS and $1.5377 for Class DT.

 

The highest month-end Net Asset Value per Unit for Class A since Winton began trading the Fund was $1.6553 (January 31, 2009) and the lowest was $1.0223 (February 28, 2005).  The highest month-end Net Asset Value per Unit for Class C since Winton began trading the Fund was $1.5921 (January 31, 2009) and the lowest was $1.0214 (February 28, 2005).  The highest month-end Net Asset Value per Unit for Class I since Winton began trading the Fund was $1.6687 (January 31, 2009) and the lowest was $1.0226 (February 28, 2005).  The highest month-end Net Asset Value per Unit for Class D since Winton began trading the Fund was $1.6193 (January 31, 2009) and the lowest was $0.9601 (April 30, 2005).  The highest month-end Net Asset Value per Unit for Class DS since Winton began trading the Fund was $1.6173 (January 31, 2009) and the lowest was $1.0733 (March 31, 2007). The highest month-end Net Asset Value per Unit for Class DT since Winton began trading the Fund was $1.6568 (January 31, 2009) and the lowest was $1.1914 (May 31, 2007).

 

(b)                                 Financial Information about Segments:

 

The Fund’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool”. The Fund does not engage in sales of goods or services.

 

1



 

(c)                                  Narrative Description of Business:

 

Trading Advisor’s Trading Model

 

The Fund trades in the futures and forward markets with the objective of achieving substantial capital appreciation.

 

The Fund and MLAI have entered into an advisory agreement with Winton whereby Winton trades in the U.S. and international futures and forwards markets pursuant to the Winton Diversified Program (the “Trading Model”). Winton’s investment technique consists of trading a portfolio of over 100 contracts on major futures exchanges and forward markets worldwide, employing a computerized, technical, principally trend-following trading system. This system tracks the daily price movements and other data from these markets, and carries out certain computations to determine how long or short the portfolio should be to maximize profit within a certain range of risk. If rising prices are anticipated, a long position will be established; a short position will be established if prices are expected to fall.

 

Technical analysis refers to analysis based on data intrinsic to a market, such as price and volume. This is to be contrasted with fundamental analysis which relies on factors external to a market, such as supply and demand. The Trading Model does not use fundamental factors.

 

A trend-following system, such as the Trading Model, attempts to take advantage of the observable tendency of the markets to trend, and to tend to make exaggerated movements in both upward and downward directions as a result of such trends. The Trading Model has been developed by relating the probability of the size and direction of future price movements with certain indicators derived from past price movements which characterize the degree of trending of each market at any time.

 

Employees

 

The Fund has no employees.

 

Use of Proceeds and Cash Management Income

 

Subscription Proceeds

 

The Fund’s cash is used as security for and to pay the Fund’s trading losses as well as its expenses and redemptions. The primary use of the proceeds of the sale of the Units is to permit Winton to trade on a speculative basis in a wide range of different futures and forwards markets on behalf of the Fund.  While being used for this purpose, the Fund’s assets are also generally available for cash management, as more fully described below under “Cash Assets”.

 

Market Sectors

 

Winton trades in a variety of liquid U.S. and non-U.S. futures and forward contracts, including agricultural, currencies, energy, interest rates, metals and stock indices.

 

2



 

CONDENSED SCHEDULES OF INVESTMENTS

The Fund’s investments, defined as Net unrealized profit (loss) on open contracts in the Statements of Financial Condition, as of December 31, 2009 and 2008 are as follows:

 

2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Positions

 

Short Positions

 

Net Unrealized

 

 

 

 

 

Commodity Industry

 

Number of

 

Unrealized

 

Percent of

 

Number of

 

Unrealized

 

Percent of

 

Profit (Loss)

 

Percent of

 

 

 

Sector

 

Contracts

 

Profit (Loss)

 

Members’ Capital

 

Contracts

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

1,102

 

$

1,087,413

 

0.14

%

(989

)

$

(286,832

)

-0.04

%

$

800,581

 

0.10

%

January 10 - November 10

 

Currencies

 

2,892

 

(2,562,251

)

-0.34

%

(302

)

(169,839

)

-0.02

%

(2,732,090

)

-0.36

%

March 10

 

Energy

 

106

 

134,142

 

0.02

%

(255

)

(642,428

)

-0.09

%

(508,286

)

-0.07

%

January 10 - December 10

 

Interest rates

 

7,633

 

(179,602

)

-0.03

%

(460

)

17,539

 

0.00

%

(162,063

)

-0.03

%

January 10 - June 10

 

Metals

 

1,420

 

3,027,127

 

0.40

%

(106

)

(880,988

)

-0.13

%

2,146,139

 

0.27

%

January 10 - April 10

 

Stock indices

 

5,218

 

3,774,920

 

0.50

%

(16

)

(14,035

)

0.00

%

3,760,885

 

0.50

%

January 10 - March 10

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

5,281,749

 

0.69

%

 

 

$

(1,976,583

)

-0.28

%

$

3,305,166

 

0.41

%

 

 

 

2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Positions

 

Short Positions

 

Net Unrealized

 

 

 

 

 

Commodity Industry

 

Number of

 

Unrealized

 

Percent of

 

Number of

 

Unrealized

 

Percent of

 

Profit (Loss)

 

Percent of

 

 

 

Sector

 

Contracts

 

Profit (Loss)

 

Members’ Capital

 

Contracts

 

Profit (Loss)

 

Members’ Capital

 

on Open Positions

 

Members’ Capital

 

Maturity Dates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Agriculture

 

197

 

$

390,804

 

0.05

%

(2,131

)

$

(3,807,410

)

-0.47

%

$

(3,416,606

)

-0.42

%

January 09 - November 10

 

Currencies

 

759

 

1,426,021

 

0.18

%

(1,366

)

(4,720,175

)

-0.59

%

(3,294,154

)

-0.41

%

March 09

 

Energy

 

 

 

0.00

%

(313

)

1,169,490

 

0.15

%

1,169,490

 

0.15

%

January 09 - December 10

 

Interest rates

 

10,483

 

17,823,721

 

2.21

%

(88

)

(21,657

)

0.00

%

17,802,064

 

2.21

%

January 09 - June 10

 

Metals

 

238

 

(635,812

)

-0.08

%

(558

)

3,463,278

 

0.42

%

2,827,466

 

0.34

%

January 09 - April 09

 

Stock indices

 

10

 

1,903

 

0.00

%

(384

)

(359,049

)

-0.04

%

(357,146

)

-0.04

%

January 09 - March 09

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

 

 

$

19,006,637

 

2.36

%

 

 

$

(4,275,523

)

-0.53

%

$

14,731,114

 

1.83

%

 

 

 

No individual contract’s unrealized profit or loss comprised greater than 5% of Members’ Capital as of December 31, 2009 and 2008.

 

3



 

Market Types

 

The Fund trades on a variety of United States and foreign futures exchanges.  Substantially all of the Fund’s off-exchange trading takes place in the highly liquid, institutionally based, currency forward markets.

 

Many of the Fund’s currency trades are executed in the spot and forward foreign exchange markets (the “FX Markets”) where there are no direct execution costs.  Instead, the participants, banks and dealers in the FX Markets take a “spread” between the prices at which they are prepared to buy and sell a particular currency and such spreads are built into the pricing of the spot or forward contracts with the Fund.

 

Custody of Assets

 

Substantially all of the Fund’s assets are currently held in one or more Commodity Futures Trading Commission (“CFTC”) regulated customer accounts at MLPF&S.

 

Cash Assets

 

The Fund will generally earn interest, as described below, on its “Cash Assets”, which can be generally described as the cash actually held by the Fund plus its “open trade equity” (unrealized gain and loss marked to market daily on open positions).  Cash Assets are held primarily in U.S. dollars, and to a lesser extent in foreign currencies, and are comprised of the Fund’s cash balances which may be held in the offset accounts (as described below) — which include “open trade equity” (unrealized gain and loss on open positions) on United States futures contracts, which is paid into or out of the Fund’s account on a daily basis; the Fund’s cash balances in foreign currencies derived from its trading in non-U.S. dollar denominated futures and options contracts, which includes open trade equity on those exchanges which settle gains and losses on open positions in such contracts prior to closing out such positions.  Cash Assets do not include, and the Fund does not earn interest income on the Fund’s gains or losses on its open forward, commodity option and certain foreign futures positions since such gains and losses are not collected or paid until such positions are closed out.

 

The Fund’s Cash Assets may be greater than, less than or equal to the Fund’s Net Asset Value (on which the redemption value of the Units is based) primarily because Net Asset Value reflects all gains and losses on open positions as well as accrued but unpaid expenses.

 

Interest Earned on the Fund’s U.S. Dollar Cash Assets

 

The Fund’s U.S. dollar Cash Assets are held in cash at MLPF&S, which utilizes offset accounts.

 

Certain of each FuturesAccess Fund’s U.S. dollar “Cash Assets” (as defined below) are held by MLPF&S in customer segregated accounts and primarily invested in CFTC-eligible investments (including, without limitation, commercial paper, U.S. government and government agency securities, prime non-U.S. government securities, corporate notes and money market funds). Cash Assets may also be maintained in “offset accounts” at major U.S. banks, interest bearing savings accounts maintained with major U.S. banks unaffiliated with Merrill Lynch and/or money market investment funds that are managed by third party managers, including affiliates of Merrill Lynch.

 

Offset accounts are non-interest bearing demand deposit accounts maintained with banks unaffiliated with Merrill Lynch. MLPF&S may in the future elect to maintain accounts of this nature with one or more of its affiliates. Offset account deposits reduce Merrill Lynch’s borrowing costs with such banks. An integral feature of the offset arrangements is that the participating banks specifically acknowledge that the offset accounts are for the benefit of MLPF&S’ customers, not subject to any Merrill Lynch liability.

 

To the extent that Cash Assets are placed with affiliates of Merrill Lynch, Merrill Lynch indirectly receives certain economic benefits and therefore has a conflict of interest in selecting such third parties. For example, Merrill Lynch may invest in money market funds managed by BlackRock, Inc. or its affiliates (“BlackRock”). Merrill Lynch is a substantial stockholder in BlackRock and, therefore, potentially benefits from its economic interest in BlackRock whenever BlackRock receives compensation for managing Cash Assets invested in money market investment funds managed by BlackRock.

 

4



 

Interest Paid by Merrill Lynch on the Fund’s Non-U.S. Dollar Cash Assets

 

Each FuturesAccess Fund will generally earn interest, as described below, on its Cash Assets, which can be generally described as the cash actually held by such FuturesAccess Fund, plus its “open trade equity” (unrealized gain and loss marked to market daily on open positions). Cash Assets are held primarily in U.S. dollars, and to a lesser extent in non-U.S. currencies, and comprise the following: (a) each FuturesAccess Fund’s cash balances, plus open trade equity on U.S. futures; and (b) each FuturesAccess Fund’s cash balances held in non-U.S. currencies as a result of realized profits and losses derived from its trading in non-U.S. dollar-denominated futures and options contracts, plus open trade equity on those exchanges which settle gains and losses on open positions in such contracts prior to closing out such positions.  Cash Assets do not include, and the FuturesAccess Funds do not earn interest income on, the FuturesAccess Funds’ gains or losses on their open forward, commodity option and certain non-U.S. futures positions as such gains and losses are not collected or paid until such positions are closed out.

 

Each FuturesAccess Fund’s Cash Assets may be greater than, less than or equal to such FuturesAccess Fund’s Net Asset Value (on which the redemption value of the Units is based) primarily because Net Asset Value reflects all gains and losses on open positions as well as accrued but unpaid expenses.

 

MLPF&S intends to pay interest on the FuturesAccess Funds’ Cash Assets (irrespective of how such Cash Assets are held or invested) at the most favorable rate payable by MLPF&S to accounts of Merrill Lynch affiliates, from time to time, although the actual rate paid to FuturesAccess Funds may be lower. In no event, however, will the rate so paid on such Cash Assets be less than 75% of such prevailing rate. MLPF&S retains the additional economic benefit derived from possession of the FuturesAccess Funds’ Cash Assets.

 

MLPF&S, in the course of acting as commodity broker for the FuturesAccess Funds, lends certain currencies to, and borrows certain currencies from, the FuturesAccess Funds. In the course of doing so, MLPF&S both retains certain amounts of interest and receives other economic benefits. In doing so, MLPF&S follows its standard procedures (as such procedures may change over time) for paying interest on the assets of the commodity pools sponsored by MLAI and other MLPF&S affiliates and traded through MLPF&S.

 

Charges

 

The following table summarizes the charges incurred by the Fund for the years ended December 31, 2009, 2008 and 2007.

 

 

 

2009

 

2008

 

2007

 

Charges

 

Dollar
Amount

 

% of Average
Month-End
Net Assets

 

Dollar
Amount

 

% of Average
Month-End
Net Assets

 

Dollar
Amount

 

% of Average
Month-End
Net Assets

 

Other Expenses

 

$

1,349,841

 

0.18

%

$

1,848,834

 

0.25

%

$

1,060,592

 

0.22

%

Sponsor fees

 

9,536,904

 

1.24

%

10,272,451

 

1.42

%

7,766,920

 

1.58

%

Management fees

 

15,244,224

 

1.98

%

14,943,538

 

2.06

%

9,953,107

 

2.04

%

Performance fees

 

583

 

0.00

%

30,491,051

 

4.20

%

14,101,642

 

2.89

%

Total

 

$

26,131,552

 

3.39

%

$

57,555,874

 

7.93

%

$

32,882,261

 

6.73

%

 

The foregoing table does not reflect the bid-ask spreads paid by the Fund on its forward trading, or the benefits which may be derived by Merrill Lynch from the deposit of certain of the Fund’s U.S. dollar assets maintained at MLPF&S.

 

The Fund’s average month-end Net Assets Value during 2009, 2008 and 2007 equaled $769,805,727, $725,896,624, and $487,404,368, respectively. During 2009, the Fund earned $51,172 in interest income, or approximately 0.01% of the Fund’s average month-end Net Assets Value. During 2008, the Fund earned $12,915,952 in interest income, or approximately 1.78% of the Fund’s average month-end Net Assets Value.  During 2007, the Fund earned $24,566,411 in interest income, or approximately 5.04% of the Fund’s average month-end Net Assets Value.

 

5



 

Description of Current Charges

 

Recipient

 

Nature of Payment

 

Amount of Payment

MLPF&S

 

Brokerage Commissions

 

During 2009, 2008 and 2007 round-turn (each purchase and sale or sale and purchase of a single futures contract) rate of the Fund’s Brokerage Commissions was approximately $6.50, $7.16, and $9.58, respectively.

 

 

 

 

 

MLPF&S

 

Use of assets

 

Merrill Lynch may derive an economic benefit from the deposit of certain of the Fund’s U.S. dollar assets in accounts maintained at MLPF&S.

 

 

 

 

 

MLAI

 

Sponsor Fees

 

A flat-rate monthly charge of 0.125 of 1% (1.50% annual rate) on Class A units, flat-rate monthly charge of 0.2083 of 1% (2.50% annual rate) on Class C units, a flat-rate monthly charge of 0.0917 of 1% (1.10% annual rate) on Class I units (including the monthly interest credit and before reduction for accrued month-end redemptions, distributions, brokerage commissions, sponsor fees, management fees or performance fees, in each case as of the end of the month of determination). Class D, Class DS and Class DT do not pay a Sponsor fee.

 

 

 

 

 

MLPF&S

 

Sales Commissions

 

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%. The rate assessed to a given subscription is based upon the subscription amount. Sales commissions are deducted from proceeds prior to entering the Fund. Shares purchased and reflected in the Fund’s records are net of any commissions charged by MLPF&S. Class C, Class DS and Class DT Units are not subject to any sales commissions.

 

 

 

 

 

Merrill Lynch International Bank (“MLIB”) (or an affiliate); Other counterparties

 

Bid-ask spreads

 

Bid-ask spreads are not accounted for separately as an accounting item because bid-ask spreads are an integral part of the price paid or received on all contracts for generally accepted accounting principles.

 

 

 

 

 

MLIB (or an affiliate); Other counterparties

 

EFP differentials

 

Certain of the Fund’s currency trades may be executed in the form of “exchange of futures for physical” transactions, in which a counterparty (which may be MLIB or an affiliate) receives an additional “differential” spread for exchanging the Fund’s cash currency positions for equivalent futures positions.

 

6



 

Winton and MLAI

 

Annual performance fees

 

20% of any New Trading Profits generated by the Fund and allocated for Classes A, C, I, D and DS and 15% of any New Trading Profits, as defined, generated by the Fund and allocated for Class DT as a whole as of the end of each calendar year. MLAI receives 25% of the performance fees. “New Trading Profits” equal any increase in the Net Asset Value of the Fund, prior to reduction for any accrued performance fee, as of the current performance fee calculation date over the Fund’s “High Water Mark.”  The “High Water Mark” attributable to the Fund equals the highest Net Asset Value after reduction for the performance fee then paid, as of any preceding performance fee calculation date.  Net Asset Value, solely for purposes of calculating the performance fee, does not include any interest income earned by the Fund.

 

 

 

 

 

Winton and MLAI

 

Management Fees

 

A flat rate monthly net charge of 0.1667 of 1% of the Fund’s month-end net assets (a 2% annual rate) except for Class DT which charges 1.50%. MLAI receives 25% of management fees.

 

 

 

 

 

Others

 

Operating expenses of the Fund including audit, legal and tax services.

 

Actual payments to third parties.

 

 

 

 

 

MLAI; Others

 

Ongoing Offering Costs reimbursed

 

Actual costs incurred.

 

Regulation

 

The CFTC has delegated to the National Futures Association (“NFA”) responsibility for the registration of “commodity trading advisors,” “commodity pool operators,” “futures commission merchants,” “introducing brokers” and their respective associated persons, and “floor brokers” and “floor traders.”  The Commodity Exchange Act requires commodity pool operators such as MLAI, commodity trading advisors such as the Trading Advisor and commodity brokers or futures commission merchants (“FCMs”) such as MLPF&S to be registered and to comply with various reporting and record keeping requirements.  CFTC regulations also require FCMs to maintain a minimum level of net capital.  In addition, the CFTC and certain commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges.  All accounts owned or managed by the Trading Advisor will be combined for position limit purposes.  The Trading Advisor could be required to liquidate positions in order to comply with such limits.  Any such liquidation could result in substantial costs to the Fund.  In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses.  Currency forward contracts are not currently subject to regulation by any U.S. government agency.

 

MLAI, Winton and MLPF&S are each subject to regulation by the CFTC and the NFA.  Other than in respect of the registration requirements pertaining to the Fund’s securities under Section 12(g) of the Securities Exchange Act of 1934, the Fund is generally not subject to regulation by the Securities and Exchange Commission (the “SEC”).  However, MLAI is registered as an “investment adviser” under the Investment Advisers Act of 1940.  MLPF&S is also regulated by the SEC and the Financial Industry Regulatory Authority (“FINRA”).

 

7



 

(d)                                 Financial Information about Geographic Areas

 

The Fund does not engage in material operations in foreign countries, nor is a material portion of the Fund’s revenue derived from customers in foreign countries.

 

The Fund trades on a number of foreign commodity exchanges.  The Fund does not engage in the sales of goods or services.

 

Item 1A: Risk Factors

 

Past Performance Not Necessarily Indicative of Future Results

 

Past performance is not necessarily indicative of future results.  The Trading Advisor’s past performance may not be representative of how it may trade in the future for the Fund.

 

Volatile Markets; Highly Leveraged Trading

 

Futures and forward trading is highly leveraged, and market price levels are volatile and materially affected by unpredictable factors such as weather and governmental intervention.  The combination of leverage and volatility creates a high degree of risk.

 

Importance of General Market Conditions

 

Overall market or economic conditions — which neither MLAI nor the Trading Advisor can predict or control — have a material effect on the performance of any managed futures strategy.

 

Possibility of Additional Government or Market Regulation

 

Market disruptions and the dramatic increase in the capital allocated to alternative investment strategies during recent years have led to increased governmental as well as self-regulatory scrutiny of the alternative investment funds industry in general. In addition, certain legislation proposing greater regulation of the industry periodically is considered by the U.S. Congress, as well as the governing bodies of foreign jurisdictions. It is impossible to predict what, if any, changes in the regulations applicable to the Fund, MLAI the markets in which they trade and invest or the counterparties with which they do business may be instituted in the future. Any such regulation could have a material adverse impact on the profit potential of the Fund, as well as require increased transparency as to the identity of the Fund’s members.

 

Forward Trading

 

The Fund will trade currencies in the forward markets in addition to trading in the future markets.  The forward markets are over-the-counter, non-exchange traded markets, and in trading in these markets, the Fund will be dependent on the credit standing of the counterparties with which they trade, without the financial support of any clearinghouse system.  In addition, the prices offered for the same forward contract may vary significantly among different forward market participants.  Forward markets counterparties are under no obligation to enter into forward transactions with the Fund, including transactions through which the Fund is attempting to liquidate open positions.

 

8



 

Effects of Speculative Position Limits

 

The CFTC and the U.S. commodities exchanges have established limits referred to as “speculative position limits” on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges.  For example, the CFTC currently imposes speculative position limits on a number of agricultural commodities (e.g., corn, oats, wheat, soybeans and cotton). All commodity accounts controlled by the Trading Advisor and its principals and their affiliates are combined for speculative position limit purposes.  The Trading Advisor could be required to liquidate positions held for the Fund, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits.  Any such liquidation or limited implementation could result in substantial costs to the Fund.

 

Increased Assets Under Management

 

There appears to be a tendency for the rates of return achieved by managed futures advisors to decline as assets under management increase.  The Trading Advisor has not agreed to limit the amount of additional equity which it may manage.

 

Trading Advisor Risk

 

The Fund is subject to the risk of the bad judgment, negligence or misconduct of its Trading Advisor.  There have been a number of instances in recent years in which private investment funds have incurred substantial losses due to Trading Advisor misconduct.

 

Changes in Trading Strategy

 

The Trading Advisor may make material changes in its trading strategies without the knowledge or seeking the approval of MLAI.

 

Illiquid Markets

 

Certain positions held by the Fund may become illiquid, preventing the Fund’s Trading Advisor from acquiring positions otherwise indicated by its strategy or making it impossible for the Trading Advisor to close out positions against which the market is moving.

 

Certain futures markets are subject to “daily price limits,” restricting the maximum amount by which the price of a particular contract can change during any given trading day.  Once a contract’s price has moved “the limit,” it may be impossible or economically non-viable to execute trades in such contract.  From time to time, prices have moved “the limit” for a number of consecutive days, making it impossible for traders against whose positions the market was moving to prevent large losses.

 

Trading on Non-U.S. Exchanges

 

The Trading Advisor may trade extensively on non-U.S. exchanges.  These exchanges are not regulated by any United States governmental agency.  The Fund could incur substantial losses trading on foreign exchanges to which it would not have been subject had its Trading Advisor limited its trading to U.S. markets.

 

The profits and losses derived from trading foreign futures and forwards will generally be denominated in foreign currencies; consequently, the Fund will be subject to a certain degree of exchange-rate risk in trading such contracts.

 

9



 

The Fund Could Lose Assets and Have Its Trading Disrupted Due to the Bankruptcy of One of the Parties

 

The Fund is subject to the risk of insolvency of counterparty, an exchange, a clearinghouse or MLPF&S.  Fund assets could be lost or impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Fund’s capital tied up in a bankruptcy, MLAI might suspend or limit trading, perhaps causing the Fund to miss significant profit opportunities.  There are increased risks in dealing with unregulated trading counterparties including the risk that assets may not benefit from the protection afforded to “customer funds” deposited with regulated dealers and brokers.

 

Item 1B:  Unresolved Staff Comments

 

Not applicable.

 

Item 2:          Properties

 

The Fund does not use any physical properties in the conduct of its business.

 

The Fund’s offices are the administrative offices of MLAI (Merrill Lynch Alternative Investments LLC, Four World Financial Center, 6th Floor, 250 Vesey Street, New York,, New York, 10080).  MLAI performs administrative services for the Fund from MLAI’s offices.

 

Item 3:          Legal Proceedings

 

None.

 

Item 4:          [Reserved]

 

PART II

 

Item 5:          Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

 

Item 5(a)

 

(a)                                  Market Information:

 

There is no established public trading market for the Units, and none is likely to develop.  Members may redeem Units on ten days written notice to MLAI as of the last day of each month at their Net Asset Value, subject to certain early redemption charges.

 

(b)                                 Holders:

 

As of December 31, 2009, there were 6,573 holders of Units including MLAI, none of whom owned 5% or more of the Fund’s Units.

 

(c)                                  Dividends:

 

MLAI has not made and does not contemplate making any distributions on the Units.

 

(d)                                 Securities Authorized for Issuance Under Equity Compensation Plans:

 

Not applicable.

 

(e)                                  Performance Graph:

 

Not applicable.

 

10



 

(f)                                    Recent Sales of Unregistered Securities:

 

Issuance to accredited investors pursuant to Regulation D and Section 4(6) under the Securities Act.  The selling agent of the following Class of Units was MLPF&S.

 

CLASS A

 

 

 

Subscription

 

 

 

 

 

Amount

 

Units

 

NAV

 

Jan-09

 

$

2,016,403

 

1,226,299

 

$

1.6443

 

Feb-09

 

1,172,901

 

708,573

 

1.6553

 

Mar-09

 

3,841,763

 

2,333,432

 

1.6464

 

Apr-09

 

2,392,607

 

1,481,032

 

1.6155

 

May-09

 

1,944,708

 

1,244,056

 

1.5632

 

Jun-09

 

859,934

 

563,633

 

1.5257

 

Jul-09

 

1,009,563

 

671,967

 

1.5024

 

Aug-09

 

1,077,904

 

731,030

 

1.4745

 

Sep-09

 

1,461,500

 

990,713

 

1.4752

 

Oct-09

 

976,926

 

647,571

 

1.5086

 

Nov-09

 

566,969

 

381,797

 

1.4850

 

Dec-09

 

849,124

 

545,850

 

1.5556

 

Jan-10

 

2,016,403

 

1,226,299

 

1.5088

 

Feb-10

 

993,760

 

675,430

 

1.4713

 

 

CLASS C

 

 

 

Subscription

 

 

 

 

 

Amount

 

Units

 

NAV

 

Jan-09

 

$

6,451,429

 

4,075,703

 

$

1.5829

 

Feb-09

 

5,081,580

 

3,191,747

 

1.5921

 

Mar-09

 

4,939,272

 

3,121,774

 

1.5822

 

Apr-09

 

7,230,339

 

4,660,826

 

1.5513

 

May-09

 

4,070,929

 

2,714,315

 

1.4998

 

Jun-09

 

3,424,358

 

2,341,281

 

1.4626

 

Jul-09

 

5,445,474

 

3,783,944

 

1.4391

 

Aug-09

 

3,878,980

 

2,748,710

 

1.4112

 

Sep-09

 

2,836,955

 

2,011,026

 

1.4107

 

Oct-09

 

3,244,205

 

2,250,576

 

1.4415

 

Nov-09

 

2,773,957

 

1,956,660

 

1.4177

 

Dec-09

 

3,703,949

 

2,496,259

 

1.4838

 

Jan-10

 

6,451,430

 

4,075,703

 

1.4380

 

Feb-10

 

8,747,139

 

6,243,051

 

1.4011

 

 

CLASS D

 

 

 

Subscription

 

 

 

 

 

Amount

 

Units

 

NAV

 

Jan-09

 

$

5,367,524

 

3,341,129

 

$

1.6065

 

Feb-09

 

1,990,000

 

1,228,926

 

1.6193

 

Mar-09

 

1,499,999

 

930,174

 

1.6126

 

Apr-09

 

 

 

1.5842

 

May-09

 

200,000

 

130,301

 

1.5349

 

Jun-09

 

(1

)

 

1.4999

 

Jul-09

 

525,999

 

355,669

 

1.4789

 

Aug-09

 

2

 

 

1.4532

 

Sep-09

 

79,999

 

54,952

 

1.4558

 

Oct-09

 

1,999,998

 

1,341,741

 

1.4906

 

Nov-09

 

1,000,000

 

680,688

 

1.4691

 

Dec-09

 

1,199,999

 

778,815

 

1.5408

 

Jan-10

 

5,367,524

 

3,341,129

 

1.4964

 

Feb-10

 

5,623,168

 

3,848,849

 

1.4610

 

 

CLASS I

 

 

 

Subscription

 

 

 

 

 

Amount

 

Units

 

NAV

 

Jan-09

 

$

837,728

 

505,539

 

$

1.6571

 

Feb-09

 

3,674,992

 

2,202,309

 

1.6687

 

Mar-09

 

553,998

 

333,673

 

1.6603

 

Apr-09

 

3,154,692

 

1,935,750

 

1.6297

 

May-09

 

124,999

 

79,242

 

1.5774

 

Jun-09

 

1,150,993

 

747,351

 

1.5401

 

Jul-09

 

354,872

 

233,899

 

1.5172

 

Aug-09

 

255,203

 

171,346

 

1.4894

 

Sep-09

 

2,598,217

 

1,742,949

 

1.4907

 

Oct-09

 

143,747

 

94,260

 

1.5250

 

Nov-09

 

641,888

 

427,498

 

1.5015

 

Dec-09

 

111,902

 

71,121

 

1.5734

 

Jan-10

 

837,729

 

505,539

 

1.5267

 

Feb-10

 

797,711

 

535,664

 

1.4892

 

 

CLASS DS

 

 

 

Subscription

 

 

 

 

 

Amount

 

Units

 

NAV

 

Jan-09

 

$

1,242,710

 

774,467

 

$

1.6046

 

Feb-09

 

5,628,413

 

3,480,129

 

1.6173

 

Mar-09

 

2,795,089

 

1,735,434

 

1.6106

 

Apr-09

 

3,131,252

 

1,979,050

 

1.5822

 

May-09

 

5,772,859

 

3,765,973

 

1.5329

 

Jun-09

 

20,420,298

 

13,631,707

 

1.4980

 

Jul-09

 

5,200,060

 

3,520,452

 

1.4771

 

Aug-09

 

4,130,867

 

2,846,126

 

1.4514

 

Sep-09

 

4,591,788

 

3,158,039

 

1.4540

 

Oct-09

 

1,332,323

 

894,897

 

1.4888

 

Nov-09

 

968,538

 

660,082

 

1.4673

 

Dec-09

 

777,707

 

505,364

 

1.5389

 

Jan-10

 

1,242,710

 

774,467

 

1.4946

 

Feb-10

 

637,381

 

436,802

 

1.4592

 

 

CLASS DT

 

 

 

Subscription

 

 

 

 

 

Amount

 

Units

 

NAV

 

Jan-09

 

$

 

 

$

1.6423

 

Feb-09

 

 

 

1.6568

 

Mar-09

 

 

 

1.6500

 

Apr-09

 

 

 

1.6217

 

May-09

 

567,184

 

360,850

 

1.5718

 

Jun-09

 

 

 

1.5367

 

Jul-09

 

 

 

1.5159

 

Aug-09

 

 

 

1.4902

 

Sep-09

 

146,845

 

98,329

 

1.4934

 

Oct-09

 

 

 

1.5298

 

Nov-09

 

 

 

1.5083

 

Dec-09

 

 

 

1.5827

 

Jan-10

 

 

 

1.5377

 

Feb-10

 

 

 

1.5020

 

 

Class A Units are subject to a sales commission paid to MLPF&S ranging from 1.0% to 2.5%. Class D and Class I Units are subject to sales commissions up to 0.5%.  The rate assessed to a given subscription is based upon the subscription amount.  Sales commissions are directly deducted from subscription amounts.  Class C, Class DS and Class DT Units are not subject to any sales commissions.

 

11



 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable.

 

Item 6:          Selected Financial Data

 

The following selected financial data has been derived from the financial statements of the Fund.

 

Statements of Operations

 

For the year
ended
December 31,
2009

 

For the year
ended
December 31,
2008

 

For the year
ended
December 31,
2007

 

For the year ended
December 31, 2006

 

For the period
February 1, 2005(1) to
December 31, 2005

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading profit (loss)

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

(26,823,655

)

$

168,699,930

 

$

89,611,147

 

$

22,914,555

 

$

(3,305,781

)

Change in unrealized, net

 

(11,425,948

)

6,796,965

 

(3,491,204

)

8,672,148

 

2,753,205

 

Brokerage commissions

 

(772,176

)

(1,087,424

)

(1,996,947

)

(1,603,878

)

(824,294

)

Total trading profit (loss)

 

(39,021,779

)

174,409,471

 

84,122,996

 

29,982,825

 

(1,376,870

)

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME:

 

 

 

 

 

 

 

 

 

 

 

Interest

 

51,172

 

12,915,952

 

24,566,411

 

10,650,742

 

1,641,584

 

 

 

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

 

 

Management fees

 

15,244,224

 

14,943,538

 

9,953,107

 

4,555,234

 

1,021,481

 

Performance fees

 

583

 

30,491,051

 

14,101,642

 

5,417,903

 

 

Sponsor fees

 

9,536,904

 

10,272,451

 

7,766,920

 

4,248,731

 

990,670

 

Other

 

1,349,841

 

1,848,834

 

1,060,592

 

996,583

 

160,449

 

Total Expenses

 

26,131,552

 

57,555,874

 

32,882,261

 

15,218,451

 

2,172,600

 

 

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT LOSS

 

(26,080,380

)

(44,639,922

)

(8,315,850

)

(4,567,709

)

(531,016

)

 

 

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

(65,102,159

)

$

129,769,549

 

$

75,807,146

 

$

25,415,116

 

$

(1,907,886

)

 


(1) commencement of operations

 

Balance Sheet Data

 

December 31,
2009

 

December 31,
2008

 

December 31,
2007

 

December 31, 2006

 

December 31,
2005

 

 

 

 

 

 

 

 

 

 

 

 

 

Members’ Capital

 

$

750,036,467

 

$

803,988,560

 

$

607,047,689

 

$

323,050,144

 

$

111,968,042

 

Net Asset Value per Class A Unit

 

1.5088

 

1.6440

 

1.3772

 

1.2076

 

1.0696

 

Net Asset Value per Class C Unit

 

1.4380

 

1.5827

 

1.3391

 

1.1859

 

1.0621

 

Net Asset Value per Class D Unit

 

1.4964

 

1.6066

 

1.3258

 

1.1460

 

1.0034

 

Net Asset Value per Class I Unit

 

1.5267

 

1.6566

 

1.3821

 

1.2069

 

1.0636

 

Net Asset Value per Class DS Unit

 

1.4946

 

1.6046

 

1.3258

 

 

 

 

 

Net Asset Value per Class DT Unit

 

1.5377

 

1.6425

 

1.3357

 

 

 

 

 

 

12



 

As of December 31, 2009 and 2008 the Net Asset Value per Unit of the different Classes are as follows:

 

December 31, 2009

 

 

Net Asset Value

 

Class A

 

$

1.5088

 

Class C

 

1.4380

 

Class D

 

1.4964

 

Class I

 

1.5267

 

Class DS

 

1.4946

 

Class DT

 

1.5377

 

 

December 31, 2008

 

 

Net Asset Value

 

Class A

 

$

1.6440

 

Class C

 

1.5827

 

Class D

 

1.6066

 

Class I

 

1.6566

 

Class DS

 

1.6046

 

Class DT

 

1.6425

 

 

13



 

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and report performance to investors throughout the year is useful information for the Members of the Fund.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

Oct.

 

Nov.

 

Dec.

 

2005

 

n/a

 

$

1.0223

 

$

1.0633

 

$

1.0295

 

$

1.0836

 

$

1.1068

 

$

1.0828

 

$

1.1560

 

$

1.0872

 

$

1.0553

 

$

1.1191

 

$

1.0717

 

2006

 

$

1.1029

 

$

1.0768

 

$

1.1124

 

$

1.1783

 

$

1.1326

 

$

1.1180

 

$

1.1124

 

$

1.1577

 

$

1.1428

 

$

1.1565

 

$

1.1869

 

$

1.2084

 

2007

 

$

1.2584

 

$

1.1800

 

$

1.1279

 

$

1.1924

 

$

1.2488

 

$

1.2678

 

$

1.2516

 

$

1.2421

 

$

1.3172

 

$

1.3458

 

$

1.3769

 

$

1.3777

 

2008

 

$

1.4285

 

$

1.5377

 

$

1.5208

 

$

1.5075

 

$

1.5302

 

$

1.6005

 

$

1.5348

 

$

1.4963

 

$

1.5000

 

$

1.5573

 

$

1.6179

 

$

1.6443

 

2009

 

$

1.6553

 

$

1.6464

 

$

1.6155

 

$

1.5632

 

$

1.5257

 

$

1.5024

 

$

1.4745

 

$

1.4752

 

$

1.5086

 

$

1.4850

 

$

1.5556

 

$

1.5088

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS C

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

Oct.

 

Nov.

 

Dec.

 

2005

 

n/a

 

$

1.0214

 

$

1.0618

 

$

1.0249

 

$

1.0779

 

$

1.1000

 

$

1.0783

 

$

1.1508

 

$

1.0817

 

$

1.0490

 

$

1.1115

 

$

1.0642

 

2006

 

$

1.0943

 

$

1.0675

 

$

1.1018

 

$

1.1659

 

$

1.1191

 

$

1.1041

 

$

1.0975

 

$

1.1413

 

$

1.1256

 

$

1.1381

 

$

1.1668

 

$

1.1864

 

2007

 

$

1.2345

 

$

1.1568

 

$

1.1047

 

$

1.1670

 

$

1.2212

 

$

1.2387

 

$

1.2219

 

$

1.2116

 

$

1.2837

 

$

1.3105

 

$

1.3397

 

$

1.3393

 

2008

 

$

1.3876

 

$

1.4924

 

$

1.4747

 

$

1.4607

 

$

1.4814

 

$

1.5482

 

$

1.4835

 

$

1.4450

 

$

1.4474

 

$

1.5015

 

$

1.5587

 

$

1.5829

 

2009

 

$

1.5921

 

$

1.5822

 

$

1.5513

 

$

1.4998

 

$

1.4626

 

$

1.4391

 

$

1.4112

 

$

1.4107

 

$

1.4415

 

$

1.4177

 

$

1.4838

 

$

1.4380

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS D

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

Oct.

 

Nov.

 

Dec.

 

2005

 

n/a

 

n/a

 

n/a

 

$

0.9601

 

$

1.0118

 

$

1.0366

 

$

1.0202

 

$

1.0920

 

$

1.0150

 

$

0.9862

 

$

1.0471

 

$

1.0054

 

2006

 

$

1.0360

 

$

1.0131

 

$

1.0479

 

$

1.1113

 

$

1.0646

 

$

1.0528

 

$

1.0489

 

$

1.0932

 

$

1.0808

 

$

1.0955

 

$

1.1255

 

$

1.1463

 

2007

 

$

1.1952

 

$

1.1216

 

$

1.0733

 

$

1.1362

 

$

1.1914

 

$

1.2110

 

$

1.1971

 

$

1.1894

 

$

1.2629

 

$

1.2919

 

$

1.3235

 

$

1.3259

 

2008

 

$

1.3765

 

$

1.4836

 

$

1.4691

 

$

1.4581

 

$

1.4819

 

$

1.5519

 

$

1.4903

 

$

1.4548

 

$

1.4602

 

$

1.5178

 

$

1.5787

 

$

1.6065

 

2009

 

$

1.6193

 

$

1.6126

 

$

1.5842

 

$

1.5349

 

$

1.4999

 

$

1.4789

 

$

1.4532

 

$

1.4558

 

$

1.4906

 

$

1.4691

 

$

1.5408

 

$

1.4964

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS I

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

Oct.

 

Nov.

 

Dec.

 

2005

 

n/a

 

$

1.0226

 

$

1.0633

 

$

1.0265

 

$

1.0808

 

$

1.1014

 

$

1.0742

 

$

1.1485

 

$

1.0792

 

$

1.0478

 

$

1.1115

 

$

1.0658

 

2006

 

$

1.0972

 

$

1.0715

 

$

1.1073

 

$

1.1732

 

$

1.1283

 

$

1.1154

 

$

1.1100

 

$

1.1558

 

$

1.1414

 

$

1.1553

 

$

1.1862

 

$

1.2079

 

2007

 

$

1.2583

 

$

1.1805

 

$

1.1287

 

$

1.1937

 

$

1.2505

 

$

1.2699

 

$

1.2542

 

$

1.2450

 

$

1.3207

 

$

1.3499

 

$

1.3816

 

$

1.3828

 

2008

 

$

1.4343

 

$

1.5444

 

$

1.5279

 

$

1.5151

 

$

1.5385

 

$

1.6098

 

$

1.5442

 

$

1.5059

 

$

1.5102

 

$

1.5684

 

$

1.6299

 

$

1.6571

 

2009

 

$

1.6687

 

$

1.6603

 

$

1.6297

 

$

1.5774

 

$

1.5401

 

$

1.5172

 

$

1.4894

 

$

1.4907

 

$

1.5250

 

$

1.5015

 

$

1.5734

 

$

1.5267

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

Oct.

 

Nov.

 

Dec.

 

2007

 

n/a

 

n/a

 

$

1.0733

 

$

1.1362

 

$

1.1914

 

$

1.2109

 

$

1.1970

 

$

1.1894

 

$

1.2629

 

$

1.2919

 

$

1.3235

 

$

1.3258

 

2008

 

$

1.3765

 

$

1.4835

 

$

1.4690

 

$

1.4582

 

$

1.4817

 

$

1.5509

 

$

1.4900

 

$

1.4549

 

$

1.4602

 

$

1.5171

 

$

1.5773

 

$

1.6046

 

2009

 

$

1.6173

 

$

1.6106

 

$

1.5822

 

$

1.5329

 

$

1.4980

 

$

1.4771

 

$

1.4514

 

$

1.4540

 

$

1.4888

 

$

1.4673

 

$

1.5389

 

$

1.4946

 

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS DT

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

June

 

July

 

Aug.

 

Sept.

 

Oct.

 

Nov.

 

Dec.

 

2007

 

n/a

 

n/a

 

n/a

 

n/a

 

$

1.1914

 

$

1.2123

 

$

1.1971

 

$

1.1867

 

$

1.2679

 

$

1.2991

 

$

1.3330

 

$

1.3357

 

2008

 

$

1.3901

 

$

1.5051

 

$

1.4899

 

$

1.4785

 

$

1.5045

 

$

1.5802

 

$

1.5141

 

$

1.4761

 

$

1.4824

 

$

1.5452

 

$

1.6117

 

$

1.6423

 

2009

 

$

1.6568

 

$

1.6500

 

$

1.6217

 

$

1.5718

 

$

1.5367

 

$

1.5159

 

$

1.4902

 

$

1.4934

 

$

1.5298

 

$

1.5083

 

$

1.5827

 

$

1.5377

 

 

14



 

ML WINTON FUTURESACCESS LLC

(CLASS A UNITS) (5)

 

December 31, 2009

 

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: February 2005

Aggregate Subscriptions: $103,121,309

Current Capitalization: $ 71,241,932

Worst Monthly Drawdown(2): (6.23)% (February 2007)

Worst Peak-to-Valley Drawdown(3): (10.94)% (February-July 2009)

 

Net Asset Value per Unit Class A, December 31, 2009: $1.5088

 

Monthly Rates of Return (4)

 

Month

 

2009

 

2008

 

2007

 

2006

 

2005

 

January

 

.67

%

3.69

%

4.14

%

2.91

%

 

February

 

(0.54

)

7.64

 

(6.23

)

(2.37

)

2.23

%

March

 

(1.88

)

(1.10

)

(4.42

)

3.31

 

4.01

 

April

 

(3.24

)

(0.87

)

5.72

 

5.92

 

(3.18

)

May

 

(2.40

)

1.51

 

4.73

 

(3.88

)

5.25

 

June

 

(1.53

)

4.59

 

1.52

 

(1.29

)

2.14

 

July

 

(1.86

)

(4.10

)

(1.27

)

(0.50

)

(2.16

)

August

 

0.05

 

(2.51

)

(0.76

)

4.07

 

6.76

 

September

 

2.26

 

0.25

 

6.04

 

(1.29

)

(5.95

)

October

 

(1.56

)

3.82

 

2.17

 

1.20

 

(2.94

)

November

 

4.75

 

3.89

 

2.32

 

2.63

 

6.04

 

December

 

(3.01

)

1.63

 

0.05

 

1.81

 

(4.23

)

Compound Annual Rate of Return

 

(8.24

)%

19.36

%

14.01

%

12.76

%

7.17

%

 


(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment.  The CFTC refers to such funds as “principal protected”.

 

(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since February 1, 2005 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since February 1, 2005 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.

 

(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.

 

(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 50.85%.

 

15



 

ML WINTON FUTURESACCESS LLC

(CLASS C UNITS) (5)

 

December 31, 2009

 

Type of Pool: Single Advisor Non-“Principal Protected”(1)

Inception of Trading: February 2005

Aggregate Subscriptions: $450,182,327

Current Capitalization: $285,943,589

Worst Monthly Drawdown(2): (6.29)% (February 2007)

Worst Peak-to-Valley Drawdown(3): (11.40)% (February-August 2009)

 

Net Asset Value per Unit Class C, December 31, 2009: $1.4380

 

Monthly Rates of Return (4)

 

Month

 

2009