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EXCEL - IDEA: XBRL DOCUMENT - AlphaMetrix Managed Futures III LLCFinancial_Report.xls
EX-31.1 - AlphaMetrix Managed Futures III LLCc70577_ex31-1.htm
EX-32.1 - AlphaMetrix Managed Futures III LLCc70577_ex32-1.htm
EX-99.1 - AlphaMetrix Managed Futures III LLCc70577_ex99-1.htm
EX-31.2 - AlphaMetrix Managed Futures III LLCc70577_ex31-2.htm
EX-32.2 - AlphaMetrix Managed Futures III LLCc70577_ex32-2.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


FORM 10-Q


 

 

(Mark One)

x

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

 

 

  For the quarterly period ended June 30, 2012

 

 

or

 

 

o

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

 

 

  For the transition period from ______ to

Commission file number: 000-53864



 

ALPHAMETRIX MANAGED FUTURES III LLC

(Exact name of registrant as specified in its charter)




 

 

Delaware

27-1248567

(State or other jurisdiction
of incorporation or organization)

(I.R.S. Employer
Identification Number)

 

 

c/o ALPHAMETRIX, LLC

181 West Madison

34th Floor

Chicago, Illinois 60602

(Address of principal executive offices)

 

 

(312)267-8400

(Registrant’s telephone number, including area code)


 

 

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 Web site, 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 x     No o


 

 

 

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:

Large accelerated filer o

Accelerated filer o

 

Non-accelerated filer   o (Do not check if a smaller reporting company)

Smaller reporting company x


 

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

 

Yes o     No x


ALPHAMETRIX FUTURES III LLC

QUARTERLY REPORT FOR PERIOD ENDED JUNE 30, 2012 ON FORM 10-Q

Table of Contents

 

 

 

 

 

 

 

Page

 

 

 


PART I – FINANCIAL INFORMATION

 

 

 

 

 

 

Item 1.

FINANCIAL STATEMENTS

 

1

 

Condensed Statements of Financial Condition (unaudited)

 

 

 

Condensed Statements of Operations (unaudited)

 

 

 

Condensed Statements of Changes in Members’ Capital (unaudited)

 

 

 

Notes to Condensed Financial Statements (unaudited)

 

 

Item 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

 

15

 

 

 

 

Item 3.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 

23

Item 4.

CONTROLS AND PROCEDURES

 

23

 

 

 

 

PART II – OTHER INFORMATION

 

 

 

 

 

 

Item 1.

LEGAL PROCEEDINGS

 

23

Item 1A.

RISK FACTORS

 

23

Item 2.

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

 

23

Item 3.

DEFAULTS UPON SENIOR SECURITIES

 

24

Item 4.

(REMOVED AND RESERVED)

 

24

Item 5.

OTHER INFORMATION

 

24

Item 6.

EXHIBITS

 

25

 

 

 

 

SIGNATURES

 

26

ii



PART I – FINANCIAL INFORMATION
Item 1: Financial Statements
ALPHAMETRIX MANAGED FUTURES III LLC
(A Delaware Series Limited Liability Company)
Condensed Statements of Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

WC Diversified Series
June 30, 2012
(Unaudited)

 

AlphaMetrix Managed
Futures III LLC
June 30, 2012
(Unaudited)

 

WC Diversified Series
December 31, 2011

 

AlphaMetrix Managed
Futures III LLC
December 31, 2011

 

 

 


 


 


 


 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment in AlphaMetrix WC Diversified Fund - MT0041, at fair value:

 

$

27,367,729

 

$

27,367,729

 

$

22,107,621

 

$

22,107,621

 

Cash at bank

 

 

63,903,934

 

 

63,903,934

 

 

55,372,644

 

 

55,372,644

 

Prepaid assets

 

 

131,512

 

 

131,512

 

 

178,731

 

 

178,731

 

 

 



 



 



 



 

Total Assets

 

$

91,403,175

 

$

91,403,175

 

$

77,658,996

 

$

77,658,996

 

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued sponsor’s fee

 

$

6,559

 

$

6,559

 

$

8,523

 

$

8,523

 

Accrued management fees

 

 

29,568

 

 

29,568

 

 

43,828

 

 

43,828

 

Accrued sales commissions

 

 

28,297

 

 

28,297

 

 

14,163

 

 

14,163

 

Accrued operating costs and administrative fees

 

 

4,572

 

 

4,572

 

 

8,210

 

 

8,210

 

Payable to master fund

 

 

1,233,700

 

 

1,233,700

 

 

707,300

 

 

707,300

 

Redemptions payable

 

 

572,342

 

 

572,342

 

 

203,986

 

 

203,986

 

Subscriptions received in advance

 

 

2,962,000

 

 

2,962,000

 

 

8,257,000

 

 

8,257,000

 

 

 



 



 



 



 

Total Liabilities

 

 

4,837,038

 

 

4,837,038

 

 

9,243,010

 

 

9,243,010

 

 

 



 



 



 



 

Members’ Capital

 

 

 

 

 

 

 

 

 

 

 

 

 

B0 Members (51,399.89 and 35,445.16 units outstanding at June 30, 2012, and December 31, 2011, respectively, unlimited units authorized)

 

 

54,693,424

 

 

54,693,424

 

 

39,780,045

 

 

39,780,045

 

B2 Members (31,258.81 and 26,359.10 units outstanding at June 30, 2012, and December 31, 2011, respectively, unlimited units authorized)

 

 

31,862,520

 

 

31,862,520

 

 

28,625,081

 

 

28,625,081

 

Sponsor (10 units outstanding at June 30, 2012, and December 31, 2011, respectively, unlimited units authorized)

 

 

10,193

 

 

10,193

 

 

10,860

 

 

10,860

 

 

 



 



 



 



 

Total Members’ Capital

 

 

86,566,137

 

 

86,566,137

 

 

68,415,986

 

 

68,415,986

 

 

 



 



 



 



 

Total Liabilities and Members’ Capital

 

$

91,403,175

 

$

91,403,175

 

$

77,658,996

 

$

77,658,996

 

 

 



 



 



 



 

NAV per Share

 

 

 

 

 

 

 

 

 

 

 

 

 

B0

 

$

1,064.077

 

$

1,064.077

 

$

1,122.299

 

$

1,122.299

 

B2

 

 

1,019.313

 

 

1,019.313

 

 

1,085.966

 

 

1,085.966

 

Sponsor

 

 

1,019.313

 

 

1,019.313

 

 

1,085.966

 

 

1,085.966

 

See notes to financial statements and the financial statements of AlphaMetrix WC Diversified Fund - MT0041 attached as Exhibit 99.1.

1



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ALPHAMETRIX MANAGED FUTURES III LLC
(A Delaware Series Limited Liability Company)
Condensed Statements of Operations
For the three and six months ended June 30, 2012 and 2011
(Unaudited)


2012

 

 

 


 

 

 

WC Diversified Series
April 1, 2012 -
June 30, 2012

 

AlphaMetrix Managed
Futures III LLC
April 1, 2012 -
June 30, 2012

 

WC Diversified Series
January 1, 2012 -
June 30, 2012

 

AlphaMetrix Managed
Futures III LLC
January 1, 2012 -
June 30, 2012

 

 

NET INVESTMENT LOSS ALLOCATED FROM ALPHAMETRIX WC DIVERSIFIED FUND - MT0041:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

1,502

 

$

1,502

 

$

3,121

 

$

3,121

 

Interest expense

 

 

(281

)

 

(281

)

 

(985

)

 

(985

)

Trading costs

 

 

(24,301

)

 

(24,301

)

 

(42,836

)

 

(42,836

)

Cash manager and sponsor fees

 

 

 

 

 

 

(545

)

 

(545

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment loss allocated from AlphaMetrix WC Diversified Fund - MT0041:

 

 

(23,080

)

 

(23,080

)

 

(41,245

)

 

(41,245

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FUND NET INVESTMENT LOSS:

 

 

 

 

 

 

 

 

 

 

 

 

 

Sponsor fee

 

 

(106,941

)

 

(106,941

)

 

(205,495

)

 

(205,495

)

Operating costs and administrative fee

 

 

(77,079

)

 

(77,079

)

 

(148,192

)

 

(148,192

)

Management fee

 

 

(482,142

)

 

(482,142

)

 

(928,576

)

 

(928,576

)

Performance fee

 

 

 

 

 

 

(327

)

 

(327

)

Placement fees

 

 

(84,498

)

 

(84,498

)

 

(184,119

)

 

(184,119

)

Sales commissions

 

 

(76,789

)

 

(76,789

)

 

(128,357

)

 

(128,357

)

 

 



 



 



 



 

Net investment loss

 

 

(827,449

)

 

(827,449

)

 

(1,595,066

)

 

(1,595,066

)

 

 



 



 



 



 

TOTAL NET INVESTMENT LOSS

 

 

(850,529

)

 

(850,529

)

 

(1,636,311

)

 

(1,636,311

)

 

 



 



 



 



 

REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX WC DIVERSIFIED FUND - MT0041:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss)

 

 

(2,426,562

)

 

(2,426,562

)

 

(1,171,445

)

 

(1,171,445

)

Net increase (decrease) in unrealized appreciation (depreciation)

 

 

(436,935

)

 

(436,935

)

 

(2,148,198

)

 

(2,148,198

)

 

 






 



 



 

Total realized and unrealized gain (loss) allocated from AlphaMetrix WC Diversified Fund - MT0041:

 

 

(2,863,497

)

 

(2,863,497

)

 

(3,319,643

)

 

(3,319,643

)

 

 



 



 



 



 

Net increase (decrease) in net assets resulting from operations

 

$

(3,714,026

)

$

(3,714,026

)

$

(4,955,954

)

$

(4,955,954

)

 

 



 



 



 



 

Net increase (decrease) in net assets resulting from operations per unit:

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of units outstanding

 

 

78,410.61

 

 

78,410.61

 

 

73,703.79

 

 

73,703.79

 

 

 



 



 



 



 

Net income (loss) per weighted average unit

 

$

(47.37

)

$

(47.37

)

$

(67.24

)

$

(67.24

)

 

 



 



 



 



 

(Continued)

See notes to financial statements and the financial statements of AlphaMetrix WC Diversified Fund - MT0041 attached as Exhibit 99.1.

2



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ALPHAMETRIX MANAGED FUTURES III LLC
(A Delaware Series Limited Liability Company)
Condensed Statements of Operations
For the three and six months ended June 30, 2012 and 2011
(Unaudited)


2011

 

 

 


 

 

 

WC Diversified Series
April 1, 2011 -
June 30, 2011

 

AlphaMetrix Managed
Futures III LLC
April 1, 2011 -
June 30, 2011

 

WC Diversified Series
January 1, 2011 -
June 30, 2011

 

AlphaMetrix Managed
Futures III LLC
January 1, 2011 -
June 30, 2011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT LOSS ALLOCATED FROM ALPHAMETRIX WC DIVERSIFIED FUND - MT0041:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

12,361

 

$

12,361

 

$

23,756

 

$

23,756

 

Trading costs

 

 

(9,732

)

 

(9,732

)

 

(15,042

)

 

(15,042

)

Cash manager and sponsor fees

 

 

(10,410

)

 

(10,410

)

 

(17,344

)

 

(17,344

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment loss allocated from AlphaMetrix WC Diversified Fund - MT0041:

 

 

(7,781

)

 

(7,781

)

 

(8,630

)

 

(8,630

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FUND NET INVESTMENT LOSS:

 

 

 

 

 

 

 

 

 

 

 

 

 

Sponsor fee

 

 

(35,940

)

 

(35,940

)

 

(59,046

)

 

(59,046

)

Operating costs

 

 

(29,498

)

 

(29,498

)

 

(48,295

)

 

(48,295

)

Management fee

 

 

(202,122

)

 

(202,122

)

 

(334,550

)

 

(334,550

)

Performance fee

 

 

(862

)

 

(862

)

 

(87,250

)

 

(87,250

)

Sales commissions (Placement fees)

 

 

(84,287

)

 

(84,287

)

 

(136,568

)

 

(136,568

)

 

 



 



 



 



 

Net investment loss

 

 

(352,709

)

 

(352,709

)

 

(665,709

)

 

(665,709

)

 

 



 



 



 



 

TOTAL NET INVESTMENT LOSS

 

 

(360,490

)

 

(360,490

)

 

(674,339

)

 

(674,339

)

 

 



 



 



 



 

REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX WC DIVERSIFIED FUND - MT0041:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss)

 

 

193,891

 

 

193,891

 

 

1,079,826

 

 

1,079,826

 

Net increase (decrease) in unrealized appreciation (depreciation)

 

 

(1,218,020

)

 

(1,218,020

)

 

(1,544,254

)

 

(1,544,254

)

 

 



 



 



 



 

Total realized and unrealized gain (loss) allocated from AlphaMetrix WC Diversified Fund - MT0041:

 

 

(1,024,129

)

 

(1,024,129

)

 

(464,428

)

 

(464,428

)

 

 



 



 



 



 

Net increase (decrease) in net assets resulting from operations

 

$

(1,384,619

)

$

(1,384,619

)

$

(1,138,767

)

$

(1,138,767

)

 

 



 



 



 



 

Net increase (decrease) in net assets resulting from operations per unit:

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of units outstanding

 

 

33,009.89

 

 

33,009.89

 

 

27,305.40

 

 

27,305.40

 

 

 



 



 



 



 

Net income (loss) per weighted average unit

 

$

(41.95

)

$

(41.95

)

$

(41.70

)

$

(41.70

)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

(Continued)

 

See notes to financial statements and the financial statements of AlphaMetrix WC Diversified Fund - MT0041 attached as Exhibit 99.1.

3



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ALPHAMETRIX MANAGED FUTURES III LLC
(A Delaware Series Limited Liability Company)
Condensed Statements of Changes in Members’ Capital
For the six months ended June 30, 2012 and 2011
(Unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

WC Diversified Series
B-0 Members

 

WC Diversified Series
B-2 Members

 

WC Diversified Series
Sponsor (B-2)

 

WC Diversified Series
Total

 

AlphaMetrix Managed
Futures III LLC

 

 

 


 


 


 


 


 

 

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

 

 


 


 


 


 


 

Members’ capital at January 1, 2012

 

$

39,780,045

 

 

35,445.16

 

$

28,625,081

 

 

26,359.10

 

$

10,860

 

 

10.00

 

$

68,415,986

 

 

61,814.26

 

$

68,415,986

 

 

61,814.26

 

Member subscriptions

 

 

18,699,813

 

 

16,752.75

 

 

7,017,478

 

 

6,539.69

 

 

 

 

 

 

25,717,291

 

 

23,292.44

 

 

25,717,291

 

 

23,292.44

 

Member redemptions

 

 

(878,189

)

 

(798.02

)

 

(1,732,997

)

 

(1,639.98

)

 

 

 

 

 

(2,611,186

)

 

(2,438.00

)

 

(2,611,186

)

 

(2,438.00

)

Net investment income (loss)

 

 

(821,722

)

 

 

 

(814,312

)

 

 

 

(277

)

 

 

 

(1,636,311

)

 

 

 

(1,636,311

)

 

 

Total realized and unrealized gain (loss) allocated from AlphaMetrix WC Diversified Fund - MT0041

 

 

(2,086,523

)

 

 

 

(1,232,730

)

 

 

 

(390

)

 

 

 

(3,319,643

)

 

 

 

(3,319,643

)

 

 

 

 






 






 






 






 






 

Members’ capital at June 30, 2012

 

$

54,693,424

 

 

51,399.89

 

$

31,862,520

 

 

31,258.81

 

$

10,193

 

 

10.00

 

$

86,566,137

 

 

82,668.70

 

$

86,566,137

 

 

82,668.70

 

 

 






 






 






 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at January 1, 2012

 

$

1,122.299

 

 

 

 

$

1,085.966

 

 

 

 

$

1,085.966

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in net asset value per unit

 

 

(58.222

)

 

 

 

 

(66.653

)

 

 

 

 

(66.653

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 



 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2012

 

$

1,064.077

 

 

 

 

$

1,019.313

 

 

 

 

$

1,019.313

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 



 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

WC Diversified Series
B-0 Members

 

WC Diversified Series
B-2 Members

 

WC Diversified Series
Sponsor (B-2)

 

WC Diversified Series
Total

 

AlphaMetrix Managed
Futures III LLC

 

 

 


 


 


 


 


 

 

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

Amount

 

Units

 

 

 


 


 


 


 


 

Members’ capital at January 1, 2011

 

$

7,562,143

 

 

7,030.08

 

$

8,628,060

 

 

8,120.00

 

$

10,626

 

 

10.00

 

$

16,200,829

 

 

15,160.08

 

$

16,200,829

 

 

15,160.08

 

Member subscriptions

 

 

14,542,679

 

 

13,239.24

 

 

10,536,979

 

 

9,710.30

 

 

 

 

 

 

25,079,658

 

 

22,949.54

 

 

25,079,658

 

 

22,949.54

 

Member redemptions

 

 

(371,760

)

 

(340.26

)

 

(42,115

)

 

(38.65

)

 

 

 

 

 

(413,875

)

 

(378.91

)

 

(413,875

)

 

(378.91

)

Net investment income (loss)

 

 

(287,546

)

 

 

 

(386,499

)

 

 

 

(294

)

 

 

 

(674,339

)

 

 

 

(674,339

)

 

 

Total realized and unrealized gain (loss) allocated from AlphaMetrix WC Diversified Fund - MT0041

 

 

(227,920

)

 

 

 

(236,574

)

 

 

 

66

 

 

 

 

(464,428

)

 

 

 

(464,428

)

 

 

 

 






 






 






 






 






 

Members’ capital at June 30, 2011

 

$

21,217,596

 

 

19,929.06

 

$

18,499,851

 

 

17,791.65

 

$

10,398

 

 

10.00

 

$

39,727,845

 

 

37,730.71

 

$

39,727,845

 

 

37,730.71

 

 

 






 






 






 






 






 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at January 1, 2011

 

$

1,075.684

 

 

 

 

$

1,062.568

 

 

 

 

$

1,062.568

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Change in net asset value per unit

 

 

(11.028

)

 

 

 

 

(22.763

)

 

 

 

 

(22.763

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 



 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit at June 30, 2011

 

$

1,064.656

 

 

 

 

$

1,039.805

 

 

 

 

$

1,039.805

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 



 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements and the financial statements of AlphaMetrix WC Diversified Fund - MT0041 attached as Exhibit 99.1.

4



 

ALPHAMETRIX MANAGED FUTURES III LLC

(A Delaware Series Limited Liability Company)

 

NOTES TO CONDENSED FINANCIAL STATEMENTS

AS OF JUNE 30, 2012 AND DECEMBER 31, 2011 AND FOR THE THREE AND SIX MONTHS ENDED
JUNE 30, 2012 AND 2011 (UNAUDITED)



 

 

(1)

Organization

AlphaMetrix Managed Futures III LLC (the “Platform”) is sponsored by AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”). The Platform was formed on September 10, 2009 as a Delaware series limited liability company pursuant to the Delaware Limited Liability Company Act. AlphaMetrix Managed Futures III LLC (AlphaMetrix WC Diversified Series) (the “Series” or “WC Diversified Series”) is currently the only “segregated series” of the Platform. Since the Series is the Platform’s only segregated series, references to the Series also include the Platform unless otherwise noted. The Series invests a portion of its assets in AlphaMetrix WC Diversified Fund – MT0041 (the “Master Fund”) which is advised by Winton Capital Management Ltd. (the “Trading Advisor”). The Master Fund generally engages in the speculative trading of derivatives. The Diversified Program may also trade cash equities and contracts for difference (“CFDs”). In addition, the Master Fund may also invest in the AlphaMosaic SPC Offshore Platform Cash Account (“OPCA”). Refer to the Master Fund financial statements, attached to this report, for a further discussion of the OPCA. Newedge USA, LLC and J.P. Morgan Futures Inc. are the Master Fund’s futures clearing brokers (the “Clearing Brokers”) and Newedge Alternative Strategies Inc. is the foreign exchange clearing broker of the Master Fund, although the Master Fund may execute foreign exchange trades through other foreign exchange clearing brokers at any time. The Sponsor, over time, intends to offer investors a selection of different trading advisors, each managing a different segregated series of the Platform. There can be no assurance, however, that any series other than the Series will be offered or that the Series will continue to be offered. The Series was organized on September 11, 2009. The Series issued units and commenced trading on January 1, 2010. The Series filed a Form 10, under the Securities Exchange Act of 1934, as amended, with the Securities and Exchange Commission (“SEC”) to register the units of limited liability company interest (“Units”), and such registration became effective March 1, 2010.

The accompanying unaudited financial statements, in the opinion of management, include all adjustments necessary for a fair presentation of the Series’ financial condition at June 30, 2012 (unaudited) and December 31, 2011, and results of its operations and changes in its members’ capital for the six months ended June 30, 2012 and 2011 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these unaudited financial statements be read in conjunction with the audited financial statements and notes included in the Series’ annual report on Form 10-K filed with the SEC for the year ended December 31, 2011. The December 31, 2011 information has been derived from the audited financial statements as of December 31, 2011.

The Series issues two sub-series, (each, a “Sub-Series”): B-0 and B-2. These sub-series are subject to different fees as described in the Confidential Disclosure Document dated April 20, 2011 (the “Disclosure Document”). The financial statements presented herein include the combined results of both Sub-Series. On January 1, 2010, the Series issued 10.00 Units of the B-2 sub-series to the Sponsor for $10,000. The Sponsor serves as the Series’ tax matters partner. All capitalized terms used but not defined herein are defined in the Disclosure Document.

The Sponsor was formed in May 2005, and its main office is located in Chicago, Illinois. The Sponsor is registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor, with the SEC as a Registered Investment Advisor (“RIA”) and registered transfer agent (“RTA”), and is a member of the National Futures Association (“NFA”).

At the sole discretion of the Sponsor, the Series may terminate for any reason (for the avoidance of doubt, the Sponsor shall be entitled, without any violation of any contractual or fiduciary obligation to any investor in the Series (a “Member”), to dissolve the Series at any time).

5



 

 

(2)

Summary of Significant Accounting Policies

The accounting records for the Platform and Series are maintained in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Following is a summary of significant accounting policies consistently followed in the preparation of the financial statements. The Platform includes the accounts of the WC Diversified Series.

Investment

The Series invests in the Master Fund. The Series’ investment in the Master Fund is carried at fair value and represents the Series’ pro rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. The Master Fund’s assets are carried at fair value. At each valuation date, the Master Fund’s income, expenses, net realized gain/(loss) and net increase/(decrease) in unrealized appreciation/(depreciation) are allocated to the Series based on the Series’ pro rata interest in the net assets of the Master Fund, and recorded in the Series’ Condensed Statements of Operations. The Master Fund provides the Series with daily estimated net asset valuations. The financial statements of the Master Fund are attached to this report and should be read in conjunction with the Series’ financial statements.

Basis of Presentation

Pursuant to rules and regulations of the SEC, financial statements are presented for the Platform as a whole and for the WC Diversified Series. The accompanying financial statements and notes thereto include financial statements and footnote totals for the Platform as a whole. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular segregated series shall be enforceable only against the assets of such series and not against the assets of the Platform generally or any other segregated series. Accordingly, the assets of one segregated series of the Platform include only those funds and other assets that are paid to, held by or distributed to the Platform on account of and for the benefit of that segregated series, including, without limitation, funds delivered to the Platform for the purchase of Units in that segregated series. As of June 30, 2012 and 2011, and December 31, 2011, the WC Diversified Series exists as the only segregated series on the Platform.

The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. At June 30, 2012 and December 31, 2011, the Series’ investment in the Master Fund was $27,367,729 and $22,107,621, approximately 26.77% and 20.84%, respectively, of the Master Fund’s net assets. In accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946 Financial Services – Investment Companies, the Series and the Master Fund are not consolidated.

Use of Estimates

The preparation of financial statements in accordance with 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 revenues and expenses during the reporting period. Actual results could differ from those estimates.

Cash

Cash is maintained in the custody of commercial banks and includes cash received related to subscriptions received in advance. The Master Fund traded on a leverage basis of approximately: (a) two to one from January 1, 2010 through January 18, 2010; (b) two and a half to one from January 19, 2010 through October 31, 2011; (c) three to one from November 1, 2011 through June 30, 2012. In order to maintain the Series’ overall portfolio at a leverage of approximately one, the Series’ capital not needed at the Master Fund to maintain a leverage of one will be held in the cash account maintained by the Series as opposed to being invested into the Master Fund. The Sponsor will rebalance the amounts held as it deems necessary to keep the Series’ capital leverage factor at approximately one.

6


Prepaid Assets

Prepaid assets represent insurance contracts that are maintained by the Series as well as the ongoing sales commissions (the “Sales Commission”, “Initial Sales Commission” or “Placement Fee”). Insurance premiums paid are capitalized and expensed over the term of the contract. Refer to below section “Sales Commission”.

Subscriptions Received in Advance

Subscriptions received in advance are subscriptions for shares effective subsequent to period end.

Redemptions Payable

Redemptions payable are share redemptions effective June 30, 2012 and December 31, 2011 but paid subsequent to period end.

Fair Value of Investments

FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in an active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

 

 

 

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

 

 

 

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

 

 

 

Level 3 — Values for investments classified as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor or custodian in the absence of readily ascertainable market values.

The Series invests a portion of its assets in the Master Fund. The classification of the Master Fund’s investments in accordance with ASC 820 is discussed in the notes to the financial statements of the Master Fund.

In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The ASU requires the following disclosures about fair value measurements of assets and liabilities classified as Level 3 within the fair value hierarchy: the valuation process used by the reporting entity, quantitative information about the unobservable inputs used in a fair value measurement, and the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs, if any. The ASU also requires disclosure about any transfers between Level 1 and Level 2. The disclosures are effective for fiscal years beginning after December 15, 2011. The Sponsor has determined that the adoption of ASU No. 2011-04 in the current period had no impact upon the Series’ financial statements.

Derivative Instruments

FASB ASC 815, Derivatives and Hedging (“ASC 815”) requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The Series invests a portion of its assets in the Master Fund which engages in the speculative trading of U.S. and foreign futures contracts, options on futures contracts and currency forward contracts (collectively, “derivatives”). The

7


disclosures required by ASC 815 for the Master Fund are discussed in the notes to the attached financial statements of the Master Fund. The Series does not directly trade derivatives.

Interest Income/Expense

Interest income and expense is recognized on an accrual basis. Interest income or expense may include (1) the allocation from the Master Fund of the Master Fund’s interest income/expense from its broker or interest income from the Master Fund’s investment in the OPCA, and allocated by the Master Fund to the Series or (2) interest income from the Series’ bank account.

Sales Commissions

Each Member or Member-related account may be subject to an ongoing sales commission (the “Sales Commission”).

B-2 Units are subject to an ongoing Sales Commission equal to 2% per annum of the month-end net asset value, including interest income, of the outstanding B-2 Units after deducting the Management Fee and accrued Performance Fee, if any, but before deducting the Sales Commission and Sponsor’s Fee for such month. Each month that B-2 Units are sold, a Sales Commission equal to 2% of the aggregate subscriptions for B-2 Units is paid by the Sub-Series to the Selling Agents (the “Initial Sales Commission” or “Placement Fee”). The amount of the Initial Sales Commission will then be amortized against the Net Asset Value of the B-2 Units equally each month over the first 12 months. Thereafter, a Sales Commission equal to 0.17% of the Net Asset Value (equivalent to an annual rate of approximately 2%) of the B-2 Units sold on the relevant subscription date that remain outstanding is charged each month and is paid to the Selling Agents.

The Sales Commission may be greater or less than 2% of the current Net Asset Value of the B-2 Units. The Sales Commission charged against the Net Asset Value of the B-2 Units each month is equal to the total of the amortized Sales Commission for all B-2 Units that have been outstanding for twelve months or less, plus 0.17% (equivalent to an annual rate of approximately 2%) per month of the Net Asset Value of the B-2 Units that have been outstanding for more than twelve months. For example, if 40% of the B-2 Units’ had been outstanding for more than twelve months, the total Sales Commission would equal the sum of all of the amortized portions for that month plus 0.17% (equivalent to an annual rate of approximately 2%) times the Net Asset Value of the B-2 Units times 0.4. All B-2 Unit holders would then be charged their pro rata portion of such amount. In general, if the Net Asset Value of the B-2 Units is increasing, the amount paid will generally be less than 2% of their Net Asset Value, and if the Net Asset Value of the B-2 Units is decreasing, the amount paid will generally be greater than 2% of their Net Asset Value.

The B-0 Units are not subject to a Sales Commission.

The Selling Agents, in consultation with the Sponsor, may waive or reduce the Sales Commission for certain Members without entitling any other Member to any such waiver or reduction.

Income Taxes

The Platform follows the provisions of FASB ASC Topic 740, Income Taxes (“ASC 740”), related to accounting for uncertainty in income taxes. ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. ASC 740 requires the evaluation of tax positions taken in the course of preparing the tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. As of June 30, 2012 and December 31, 2011, no liability was recognized in connection with ASC 740. The Platform is subject to income tax examinations by tax authorities for all tax years since its inception date.

8


As the Series is a partnership for tax purposes, the Series’ Members are individually responsible for reporting income or loss based on such Investor’s share of the Series’ income and expenses as reported for income tax purposes.

Distributions

The Sponsor does not currently intend to make any distributions. Consequently, in order to pay the taxes attributable to their investment in the Series, Members must either redeem Units or pay such taxes from other sources.

Subscriptions

Units are purchased generally at the beginning of each calendar month based on the net asset value per Unit for all other purposes (see Note 3) calculated for the prior month-end.

Completed Subscription Agreements relative to the Series must be received by the appropriate Selling Agent no later than seven calendar days prior to the first day of any month in which a Member intends to invest. Members are initially issued Units at $1,000 per unit as of the date of the commencement of operations and at the current Net Asset Value (“NAV”) for all dates thereafter.

Existing Members may make an additional investment by completing, and submitting to the Selling Agents, a short-form Subscription Agreement, as provided by the Sponsor.

The Sponsor, in its sole discretion and for any reason, may decline to accept the subscription of any prospective Member.

Redemptions

Units may be redeemed as of the end of any calendar month (each, a “Redemption Date”) at the Net Asset Value for all other purposes per Unit at such Redemption Date. Redemption requests must be received by the 15th day of the calendar month of such Redemption Date or the following business day if the 15th is not a business day. The Sponsor may permit redemptions at other times and on shorter notice.

The Net Asset Value of redeemed Units is determined as of the Redemption Date for purposes of determining the redemption proceeds due to Members. Members will remain subject to fluctuations in such Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date. The Net Asset Value of Units on the designated Redemption Date may differ materially from the Net Asset Value of such Units as of the date on which an irrevocable redemption request must be submitted.

When Units are redeemed (or exchanged), any accrued fees (including performance fees) and expenses reduce the redemption proceeds paid to members.

Redemption Fee

If a Member redeems his or her investment in the B-2 Units before the end of the sixth calendar month following such Member’s initial investment in the B-2 Units (the “Initial Investment”), such Redemption will be subject to a Redemption Fee (the “Redemption Fee”) equal to 2% of such Member’s Initial Investment. If a Member Redeems his or her investment in the B-2 Units following the sixth month-end after the date of his or her Initial Investment but prior to the twelfth month-end after the date of such Member’s Initial Investment, such Redemption will be subject to a Redemption Fee equal to 1% of such Member’s Initial Investment in the B-2 Units. The Redemption Fee will be pro rated for partial redemptions prior to the twelfth month-end following such Member’s Initial Investment, i.e. if the Member withdraws 50% of his or her current investment in the B-2 Units, 50% of the Redemption Fee will be due upon Redemption. In no case will the sum of all Redemption Fees paid by a Member be greater than the Initial Sales Commission paid by such Member. Redemption fees amounted to $0 and $1,000 for the six months ended June 30, 2012 and 2011, respectively.

9


Indemnifications

In the normal course of business, the Series enters into contracts and agreements that contain a variety of representations and warranties and which would provide general indemnifications. The maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series that have not yet occurred. The Series expects the risk of any future obligation under these indemnifications to be remote.

 

 

(3)

Related Party Transactions

At December 31, 2011, a substantial amount of the Master Fund’s assets were held within the OPCA, a related party. For a discussion on the OPCA, refer to Note 5 in the attached Master Fund’s financial statements. At June 30, 2012, the Master Fund held no investment in the OPCA.

The Sponsor will receive a flat-rate monthly sponsor fee (the “Sponsor’s Fee”) of 0.042 of 1% (a 0.50% annual rate) of the Series’ Net Asset Value after deducting the Management Fee and accrued Performance Fee, if any, from the Series’ month-end net asset value for all other purposes, including interest income, of a Member’s investment in the Series for such month. The Sponsor reserves the right to waive or reduce the fee in its sole discretion.

The Series incurred Sponsor’s fees of $205,495 and $59,046 for the six months ended June 30, 2012 and 2011, respectively, of which $6,559 and $8,523 is owed to the Sponsor at June 30, 2012 and December 31, 2011, respectively.

The Sponsor will receive a monthly service provider fee (the “Service Provider Fee”) equal to 0.025% of 1% (equivalent to an annual rate of approximately 0.30%) of the Net Asset Value of the Series. Operating costs paid for by the Sponsor out of the Service Provider Fee generally include: certain ongoing offering expenses; administrative, transfer, exchange and redemption processing costs; legal, regulatory, reporting, filing, tax, audit, escrow and accounting; the fees of the Master Fund’s directors; and any other operating or administrative expenses related to accounting, research, due diligence or reporting. The Service Provider Fee is charged at the Series level.

Operating costs not covered by the Service Provider Fee and paid for by the Series (including those allocated to the Series by the Master Fund) generally include: execution and clearing brokerage commissions; forward and other over-the-counter (“OTC”) trading spreads; bank wire fees; insurance; and extraordinary expenses such as litigation and indemnification.

The Series will bear all expenses incurred in connection with the organizational and initial offering of the Units at the Series level. For financial reporting purposes in conformity with GAAP, the Series expensed the organizational costs of $119,362 (“net asset value for financial reporting” or the “net asset value per Unit for financial reporting”). For all other purposes, including determining the net asset value per Unit for subscription and redemption purposes, the Series amortizes organizational and initial offering costs over a 60 month period (“net asset value for all other purposes” or the “net asset value per Unit for all other purposes”).

WC Diversified Series Net Asset Values

The quarterly net asset value and net asset value per Unit since commencement of operations are as follows:

10


B-0 Sub-series

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Asset Value

 

 

 

 

Net Asset Value per Unit

 

 

 


 

 

 

 


 

 

 

All Other
Purposes

 

Financial
Reporting

 

Number of
Units

 

All Other
Purposes

 

Financial
Reporting

 

 

 


 


 


 


 


 

Price at Commencement*

 

 

 

 

 

 

 

 

 

 

$

1,000.000

 

$

1,000.000

 

March 31, 2010

 

$

204,747

 

$

170,129

 

 

201.42

 

 

1,016.543

 

 

844.668

 

June 30, 2010

 

$

1,552,311

 

$

1,498,597

 

 

1,514.35

 

 

1,025.067

 

 

989.597

 

September 30, 2010

 

$

3,449,930

 

$

3,399,202

 

 

3,299.18

 

 

1,045.693

 

 

1,030.317

 

December 31, 2010

 

$

7,609,887

 

$

7,562,143

 

 

7,030.08

 

 

1,082.475

 

 

1,075.684

 

March 31, 2011

 

$

14,437,218

 

$

14,392,458

 

 

13,168.12

 

 

1,096.377

 

 

1,092.977

 

June 30, 2011

 

$

21,259,372

 

$

21,217,596

 

 

19,929.06

 

 

1,066.753

 

 

1,064.656

 

September 30, 2011

 

$

33,859,556

 

$

33,820,763

 

 

29,987.57

 

 

1,129.120

 

 

1,127.826

 

December 31, 2011

 

$

39,815,854

 

$

39,780,045

 

 

35,445.16

 

 

1,123.309

 

 

1,122.299

 

March 31, 2012

 

$

50,681,169

 

$

50,648,343

 

 

45,726.34

 

 

1,108.358

 

 

1,107.640

 

June 30, 2012

 

$

54,723,265

 

$

54,693,424

 

 

51,399.89

 

 

1,064.657

 

 

1,064.077

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return after performance fee, from the commencement of operations through the period ended June 30, 2012

 

 

6.47

%

 

6.41

%

 

 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

* Commencement of operations of the Series was January 1, 2010

B-2 Sub-series

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Asset Value

 

 

 

 

Net Asset Value per Unit

 

 

 


 

 

 

 


 

 

 

All Other
Purposes

 

Financial
Reporting

 

Number of
Units

 

All Other
Purposes

 

Financial
Reporting

 

 

 


 


 


 


 


 

Price at Commencement*

 

 

 

 

 

 

 

 

 

 

$

1,000.000

 

$

1,000.000

 

March 31, 2010

 

$

711,568

 

$

676,948

 

 

702.56

 

 

1,012.822

 

 

963.546

 

June 30, 2010

 

$

3,545,196

 

$

3,491,483

 

 

3,473.46

 

 

1,020.653

 

 

1,005.189

 

September 30, 2010

 

$

4,167,206

 

$

4,116,477

 

 

4,017.54

 

 

1,037.254

 

 

1,024.627

 

December 31, 2010

 

$

8,686,430

 

$

8,638,686

 

 

8,130.00

 

 

1,068.441

 

 

1,062.568

 

March 31, 2011

 

$

11,718,602

 

$

11,673,842

 

 

10,882.20

 

 

1,076.859

 

 

1,072.746

 

June 30, 2011

 

$

18,552,025

 

$

18,510,249

 

 

17,801.65

 

 

1,042.152

 

 

1,039.805

 

September 30, 2011

 

$

25,506,034

 

$

25,467,241

 

 

23,220.46

 

 

1,098.429

 

 

1,096.758

 

December 31, 2011

 

$

28,671,748

 

$

28,635,941

 

 

26,369.10

 

 

1,087.324

 

 

1,085.966

 

March 31, 2012

 

$

30,271,135

 

$

30,238,312

 

 

28,356.74

 

 

1,067.511

 

 

1,066.354

 

June 30, 2012

 

$

31,902,551

 

$

31,872,713

 

 

31,268.81

 

 

1,020.267

 

 

1,019.313

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return after performance fee, from the commencement of operations through the period ended June 30, 2012

 

 

2.03

%

 

1.93

%

 

 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

* Commencement of operations of the Series was January 1, 2010


 

 

(4)

Management and Performance Fees

The Series is subject to a monthly management fee at the rate of 0.1875% (a 2.25% annual rate) of the Series’ month-end net asset value for all other purposes (see Note 3) calculated before reduction for any Management Fees, Performance Fees, Service Provider Fees, Sponsor’s Fees, Sales Commission or Extraordinary Fees accrued (including performance fees accrued in a prior month) as of such month-end and before giving effect to any capital subscriptions made as of the beginning of the month immediately following such month-end and before any redemptions accrued during or as of such month-end, but after all expenses as of such month-end. The Series

11


incurred Management Fees of $928,576 and $334,550 for the six months ended June 30, 2012 and 2011, respectively, of which $29,568 and $43,828 is payable at June 30, 2012 and December 31, 2011, respectively.

The Series is subject to a quarterly performance fee equal to 20% which is paid at the Series level but is calculated based on the Series’ share of the Master Fund’s new Net Trading Profits as defined by the excess, if any, of the cumulative level of Net Trading Profits attributable to the Series at the end of such quarter over the highest level of cumulative Net Trading Profits as of the end of any preceding quarter (the “High Water Mark”). The Series incurred Performance Fees of $327 and $87,250 for the six months ended June 30, 2012 and 2011, respectively, of which $0 was payable at June 30, 2012 and December 31, 2011, respectively.

The Sponsor will receive the Management Fee and the Performance Fee, and will remit such fees to the Trading Advisor, although the Selling Agents or an Affiliate may receive a portion of such fees not paid over to the Trading Advisor.

The Trading Advisor has entered into a Trading Agreement with the Master Fund.

The Sponsor, in consultation with the Trading Advisor, may waive, rebate or reduce Management and/or Performance Fees for certain Members without entitling other Members to such waiver, rebate or reduction.

 

 

(5)

Financial Instruments with Off-balance sheet and Concentration of Credit Risk

The Series, via its investment in the Master Fund engages in the speculative trading of derivatives. The Series does not have any direct commitments to buy or sell financial instruments, including derivatives. The Series has indirect commitments that arise through positions held by the Master Fund in which the Series invests. However, as an investor in a Master Fund, the Series’ risk at June 30, 2012 and December 31, 2011, is limited to the fair value of its investment in the Master Fund.

 

 

(6)

Administration

AlphaMetrix360, LLC (“AlphaMetrix360”) serves as Administrator (the “Administrator”) for the Platform. The Administrator is responsible for certain clerical and administrative functions of the Platform, including acting as registrar and transfer agent, calculation of NAV based on valuations provided by the Trading Advisors and the Sponsor (although the Sponsor is ultimately responsible for determining the NAV of each Fund).

 

 

(7)

NAV Verification Agent

Beginning in January 2012, Custom House Fund Services (Chicago) LLC (“Custom House”), was retained by the Platform to serve as the NAV Verification Agent and provide net asset value verifications for the Master Fund and the Series pursuant to a NAV Verification Agreement (the “Custom House Agreement”), entered into by Custom House, the Sponsor, the Platform and the Administrator. Under the Custom House Agreement, Custom House performs certain net asset value verification procedures and communicates the results of those procedures to each investor.

 

 

(8)

Financial Highlights

The following financial highlights in the table below show the Series’ financial performance for the six months ended June 30, 2012 and 2011 for B-0 and B-2 Sub-Series Units. All performance returns noted are calculated based on the net asset value per Unit for financial reporting, with estimated organizational costs incurred prior to issuance of Units being expensed at the commencement of the operations of the Series. Total return is calculated as the change in a theoretical Member’s investment over the entire period - a percentage change in the Member’s capital value for the period. The information has been derived from information presented in the financial statements.

 

 

     Regarding the information shown in the table below:

 

 

Per Unit operating performance is computed based upon the weighted-average net Units for the periods ended June 30, 2012 and 2011. Total return is calculated as the change in the net asset value per Unit for the periods ended June 30, 2012 and 2011, and is not annualized.

12



 

 

The net investment loss and total expense ratios are computed based upon the weighted average net assets for the periods ended June 30, 2012 and 2011. Weighted average net assets include the performance fee and are computed using month-end net assets. Net investment loss and expenses include the Series’ proportionate share of the Master Fund’s investment income (loss) and expenses, respectively. Such ratios have been annualized, with the exception of the performance fee and organizational expense.

An individual Member’s total return and ratios may vary from those below based on the timing of capital transactions.

13



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AlphaMetrix Managed Futures III LLC (WC Diversified Series)

 

 

 

 

 

 

 

Six Months Ended
June 30, 2012
B-0 Sub-Series

 

Six Months Ended
June 30, 2012
B-2 Sub-Series

 

Six Months Ended
June 30, 2011
B-0 Sub-Series

 

Six Months Ended
June 30, 2011
B-2 Sub-Series

 

 

 


 


 


 


 

Members’ capital per Unit - Beginning of Period

 

$

1,122.299

 

$

1,085.966

 

$

1,075.684

 

$

1,062.568

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit data (for a Unit outstanding throughout the period)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment loss

 

 

(18.362

)

 

(28.135

)

 

(19.950

)

 

(30.002

)

Net realized and unrealized gain/(loss) on investments

 

 

(39.860

)

 

(38.518

)

 

8.922

 

 

7.239

 

 

 



 



 



 



 

Total from investment operations

 

 

(58.222

)

 

(66.653

)

 

(11.028

)

 

(22.763

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Members’ capital per Unit - End of Period

 

$

1,064.077

 

$

1,019.313

 

$

1,064.656

 

$

1,039.805

 

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return:

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before performance fee

 

 

(5.19

%)

 

(6.14

%)

 

(0.73

%)

 

(1.85

%)

Performance fee

 

 

0.00

%

 

0.00

%

 

(0.30

%)

 

(0.29

%)

 

 



 



 



 



 

Total return after performance fee

 

 

(5.19

%)

 

(6.14

%)

 

(1.03

%)

 

(2.14

%)

 

 



 



 



 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to average Members’ capital

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment loss

 

 

(3.32

%)

 

(5.28

%)

 

(3.35

%)

 

(5.32

%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses:

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

3.33

%

 

5.29

%

 

3.21

%

 

5.19

%

Performance fee

 

 

0.00

%

 

0.00

%

 

0.30

%

 

0.29

%

 

 



 



 



 



 

Total expenses

 

 

3.33

%

 

5.29

%

 

3.51

%

 

5.48

%

 

 



 



 



 



 

14



 

 

(9)

Subsequent Events

In accordance with ASC 855, Subsequent Events, the Sponsor has evaluated and disclosed all subsequent events requiring recognition and disclosure in the financial statements through the date the financial statements are issued. Except for matters discussed in the following paragraph, there are no material events that would require disclosure in or adjustment to the Series’ financial statements through this date.

Member Subscriptions and Redemptions

Subsequent to June 30, 2012, B-0 Members subscribed approximately $2,608,413 (of which $1,141,000 represents subscriptions received in advance as of June 30, 2012) and redeemed $167,587, and B-2 Members subscribed approximately $2,606,000 (of which $1,821,000 represents subscriptions received in advance as of June 30, 2012) and redeemed $168,924, through the issue date of the financial statements on August 14, 2012.

Item 2: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Reference is made to Item 1 “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.

All figures and performance returns noted in this Item 2 are based on the net asset value and/or the net asset value per Unit for all other purposes, which complies with GAAP, except with respect to estimated organizational and initial offering costs (which are being amortized over 60 months) as described in the “Notes to Condensed Financial Statements – (3) Related Party Transactions.” All figures and performance returns communicated to investors are based on the net asset value and/or the net asset value per Unit for all other purposes.

In order to satisfy the Sponsor’s obligations under applicable anti-money laundering laws and regulations, investors will be required to make certain representations, warranties and covenants in the AlphaMetrix Managed Futures LLC Subscription Agreement concerning the nature of the investor, its investment in the Series and certain other related matters. In addition, the Sponsor reserves the right to request such additional information from investors as the Sponsor, in its sole discretion, requires in order to satisfy its anti-money laundering obligations. By subscribing for Units, each Member agrees to provide such information to the Sponsor upon its request.

Operational Overview

This performance summary describes the manner in which the Series has performed in the past and is not an indication of future performance. While certain market movements are attributable to various market factors, such factors may or may not have caused such movements but they may have simply occurred at or about the same time.

The Series is unlikely to be profitable in markets in which trends do not occur. Static or erratic prices are likely to result in losses. Similarly, sharp trend reversals, which can be caused by many unexpected events, can lead to major short-term losses, as well as gains.

While there is no assurance the Series will profit in any market condition, markets having substantial and sustainable price movements offer the best profit potential for the Series.

Liquidity

The Series invests a portion of its assets in the Master Fund. Virtually all of the Master Fund’s capital is held in cash, cash equivalents, or the OPCA and may be used to margin the Master Fund’s futures and currency forward positions and is withdrawn, as necessary, to pay redemptions and expenses. The Master Fund does not maintain any sources of financing other than that made available by the Clearing Brokers to fund foreign currency settlements for those instruments transacted and settled in foreign currencies. The Master Fund pays prevailing market rates for such borrowings.

A portion of the assets maintained at the Master Fund’s Clearing Brokers are restricted cash required to meet maintenance margin requirements. Included in cash deposits with the Clearing Brokers as of June 30, 2012 and

15


December 31, 2011 was restricted cash for margin requirements of $21,760,446 and $22,216,652, respectively. This cash becomes unrestricted if the underlying positions it supports are liquidated.

Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures and forward currency trading, the Master Fund’s and the Series’ assets are highly liquid and are expected to remain so. Because the Master Fund’s assets are held in cash or in the OPCA, it expects to be able to liquidate all of its open positions or holdings quickly and at prevailing market prices, except in unusual circumstances. This generally permits the Trading Advisor to enter and exit markets, leverage and deleverage in accordance with its strategy. From its commencement of operations on October 1, 2007 through June 30, 2012, the Master Fund experienced no meaningful periods of illiquidity in any of the markets in which it traded.

The Series processes redemptions on a monthly basis, with approximately corresponding redemptions out of the Master Fund. The B-2 Sub-Series incurred aggregate redemptions of $1,732,997 (1,639.98 Units) for the six months ended June 30, 2012; the B-0 Sub-Series incurred aggregate redemptions of $878,189 (798.02 Units) for the six months ended June 30, 2012.

Capital Resources

The Series’ Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Series is not expected to have a significant impact on its operations, as the Series has no significant capital expenditures or working capital requirements other than for investment in the Master Fund and Member redemptions. The amount of capital invested in the Master Fund is not expected to have a significant impact on the Master Fund’s operations, as the Master Fund has no significant capital expenditures or working capital requirements other than for monies to pay trading losses, trading costs and expenses. Within broad ranges of capitalization, the Master Fund’s trading positions should increase or decrease in approximate proportion to the size of the Series’ investment in the Master Fund.

The Series raises additional capital only through the sale of Units and capital is increased through the Series’ pro rata share of the Master Fund’s trading profits (if any). The Series does not maintain any sources of financing. The Master Fund does not maintain any sources of financing other than that made available by the Clearing Brokers to fund foreign currency settlements for those instruments transacted and settled in foreign currencies.

The Master Fund may trade a variety of futures-related instruments, including (but not limited to) instruments related to bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter (“OTC”) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In OTC transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins that may be subject to loss in the event of a default are generally required in exchange trading, and counterparties may require margin or collateral in the OTC markets.

The Master Fund’s Trading Advisor attempts to control risk in all aspects of the investment process, although there can be no assurance that it will, in fact, succeed in doing so. The Master Fund is designed to take market risk on a systematic basis across a broad portfolio of liquid markets and to monitor and minimize exposure to all other risks, such as credit and liquidity risks. The trading systems used include various proprietary systems that are designed to control the risk taken at the individual position level as well as at the overall portfolio level. The Trading Advisor monitors and controls market risk within limits at both sector and portfolio levels.

16


The financial instruments traded by the Master Fund contain varying degrees of off-balance risk whereby changes in the market values of the futures and forward contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the Statement of Financial Condition of the Master Fund.

Due to the nature of the Series’ business, substantially all its assets are represented by cash, while the Master Fund maintains its market exposure through open futures and forward contract positions.

The Master Fund’s futures contracts are settled by offset and are generally cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. The Master Fund’s spot and currency forward transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, in which the Master Fund is likely to suffer losses.

Results of Operations

General

The Trading Advisor manages the assets of the Series pursuant to its Diversified Managed Account Program (the “Program”). The Program employs a computer-based system to engage in the speculative trading of approximately 120 instruments including international futures, options and forwards, government securities such as bonds, as well as certain OTC instruments, which may include foreign exchange and interest rate forward contracts and swaps.

The investment objective of the Program is to achieve long-term capital appreciation through compound growth. The Trading Advisor attempts to achieve this goal by pursuing a diversified trading scheme that does not rely upon favorable conditions in any particular market, nor on market direction. The Program seeks to combine highly liquid financial instruments offering positive but low Sharpe ratios (which are designed to measure return relative to risk) and generally low correlation over the long term to other markets such as equities and fixed income. Please note, however, that there is no assurance that the Program will have a low correlation to other markets, even over the long term, and over the short term the Program may be highly correlated to other markets.

The Program employs what is traditionally know as a “systematic” approach to trading financial instruments. In this context, the term “systematic” implies that the vast majority of the trading decisions are executed, without discretion, either electronically or by a team responsible for the placement of orders based upon the instructions generated by the Winton Computer Trading System. A majority of the trades in the Program are executed electronically. The Program blends short-term trading with long-term trend following, using multiple time frames in addition to multiple models. As the name implies, the Program allocates for maximum diversification. A sophisticated system of risk management is evident in all aspects of the Program.

The Series’ account traded pursuant to the Program may experience returns that differ from other Trading Advisor accounts traded pursuant to the same Program due to, among other factors: (a) regulatory constraints on the ability of the Series to have exposure to certain contracts; (b) the Series’ selection of the Clearing Brokers, which affects access to markets; (c) the effect of intra-month adjustments to the trading level of the account; (d) the manner in which the account’s cash reserves are invested; (e) the size of the Series’ account; (f) the Series’ functional currency, the USD; and (g) the particular futures contracts traded by the Series’ account. Additionally, certain markets may not be liquid enough to be traded for the Series’ account.

The investment approach that underpins the Program is proprietary and highly confidential to the Trading Advisor. Accordingly, the description of the Program as contained herein is general only and is not intended to be exhaustive or absolute.

17


The Trading Advisor is a limited liability company registered in England and Wales, which is regulated in the United Kingdom by the Financial Services Authority. Since January 1998, the Trading Advisor has been a member of NFA and has been registered with the CFTC as a commodity trading advisor and has been registered as a commodity pool operator since December 1998. Principals of the Trading Advisor include David Winton Harding, Osman Murgian, Martin John Hunt, Anthony Daniell, Gupreet Singh Jauhal, Matthew David Beddall, Rajeev Patel, Samur (Jersey) Limited, and Amur (Jersey) Limited. On July 31, 2007, a company affiliated with Goldman Sachs International purchased a 9.99 percent shareholder interest in the Trading Advisor. This shareholding is currently held by Goldman Sachs Petershill Non-U.S. Master Fund, L.P., a fund managed by Goldman Sachs Asset Management International. This investor is not involved in the day-to-day management of the Trading Advisor but, pursuant to a shareholders agreement, has the right to approve certain limited matters relating to Trading Advisor’s operations.

The B-2 Sub-Series commenced trading activities January 1, 2010 with an initial capitalization of $107,500. As of June 30, 2012, the B-2 Sub-Series had a capitalization of $31,902,551 based on the net asset value for all other purposes. The B-0 Sub-Series had an initial capitalization of $125,000. As of June 30, 2012, the B-0 Sub-Series had a capitalization of $54,723,265 based on the net asset value for all other purposes.

Performance Summary

Quarter ended June 30, 2012

This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2012, based on the underlying performance of the Master Fund in which the Series invests, and is not necessarily an indication of how the Series will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

For the six months ended June 30, 2012 the B-2 and B-0 Sub-Series had year-to-date losses of (6.17%) and (5.22%), respectively, based on the net asset value for all other purposes (see “Notes to Financial Statements – (3) Related Party Transactions”).

The following discussion is based on the underlying performance of the Master Fund in which the Series invests.

April 1, 2012 to June 30, 2012

The B-2 Subseries posted a (3.71%) loss for the month ended June 30, 2012, a loss of (4.43%) and (6.17%) for the three and six months ended June 30, 2012 and an overall gain of 2.03% for the Series from the inception of trading on January 1, 2010 through June 30, 2012 (not annualized). The B-0 Sub-Series posted a (3.55%) loss for the month ended June 30, 2012, a loss of (3.94%) and (5.22%) for the three and six months ended June 30, 2012 and an overall gain of 6.47% for the Series from the inception of trading on January 1, 2010 through June 30, 2012 (not annualized).

The Series experienced a negative return in June 2012. The B-2 Sub-Series posted a (3.71%) loss, while the B-0 Sub-Series posted a loss of (3.55%). Most significant market moves were reactions to news concerning the Euro Crisis. June saw an agreement to bail out indebted Spanish Banks, a narrow victory in the Greek elections for pro-austerity parties and Cyprus joining the list of countries that have asked the European Union for a bailout. As the month drew to a close, European leaders agreed that the European Financial Stability Fund could give assistance directly to Spanish banks, rather having to go via the Spanish Government’s balance sheet. The market voiced an initial response to the decision on Spanish Bank debt on the final day of the month in the form of strong gains for the Euro and world stock indices. As a result, the Fund experienced a loss, mainly from bonds, currencies and stock indices, smaller losses in metals and energy, and negligible profits made in agricultural commodities.

The B-2 Sub-Series posted a (0.46%) loss for the month ended May 31, 2012, a (2.55%) loss for the year to date as of May 31, 2012 and an overall gain of 5.96% for the Series from the inception of trading on January 1, 2010 to May 31, 2012 (not annualized). The B-0 Sub-Series posted a (0.30%) loss for the month ended May 31, 2012, a

18


(1.73%) loss for the year to date as of May 31, 2012 and an overall gain of 10.38% for the Series from the inception of trading on January 1, 2010 to May 31, 2012 (not annualized).

The Series experienced a negative return in May 2012. The B-2 Sub-Series posted a (0.46%) loss, while the B-0 Sub-Series posted a loss of (0.30%). May saw falls in global stock markets and a continuation of April’s rally in German and US government bonds. The elections in Greece failed to produce a government, leading to anxieties about its future in the European single currency. These concerns had a direct impact on the value of the Euro, which fell 6% against the US dollar. Such anxieties, coupled with more general concerns about economic growth, provided the backdrop for a $15 fall in the price of a barrel of crude oil. The gains were mainly focused in government bonds, with a position in the Euro also making a meaningful contribution. Losses were focused in energies and stock indices, with the market moves in both sectors resulting in substantial reductions in positions.

The B-2 Sub-Series posted a (0.28%) loss for the month ended April 30, 2012, a (2.10%) loss for the year to date as of April 30, 2012 and an overall gain of 6.45% for the Series from the inception of trading on January 1, 2010 to April 30, 2012 (not annualized). The B-0 Sub-Series posted a (0.11%) loss for the month ended April 30, 2012, a (1.44%) loss for the year to date as of April 30, 2012 and an overall gain of 10.71% for the Series from the inception of trading on January 1, 2010 to April 30, 2012 (not annualized).

The Series experienced a negative return in April 2012. The B-2 Sub-Series posted a (0.28%) loss, while the B-0 Sub-Series posted a loss of (0.11%). The U.S. equity market rally reversed in April, with European markets leading the way. The global risk-off trade drove yields lower in Government Bonds, offsetting losses in equity indices. The Series ended the month down, with gains in bonds offsetting losses in equity indices. The Series’ other losing positions were in currencies, energies and metals. The Series had achieved some positive contribution from its crops, livestock and interest rates positions, but like its bonds positions, these gains were not enough to offset the Series’ losses.

Quarter ended March 31, 2012

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2012, based on the underlying performance of the Master Fund in which the Series invests, and is not necessarily an indication of how the Series will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

For the three months ended March 31, 2012 the B-2 and B-0 Sub-Series had year-to-date returns of (1.82%) and (1.33%), respectively, based on the net asset value for all other purposes (see “Notes to Financial Statements – (3) Related Party Transactions”).

January 1, 2012 to March 31, 2012

The B-2 Subseries posted a (1.02%) loss for the month ended March 31, 2012, a loss of (1.82%) for the three months ended March 31, 2012 and an overall gain of 6.75% for the Series from the inception of trading on January 1, 2010 through March 31, 2012 (not annualized). The B-0 Sub-Series posted a (0.85%) loss for the month ended March 31, 2012, a loss of (1.33%) for the three months ended March 31, 2012 and an overall gain of 10.84% for the Series from the inception of trading on January 1, 2010 through March 31, 2012 (not annualized).

The following discussion is based on the underlying performance of the Master Fund in which the Series invests.

The Series experienced a negative return in March 2012. The B-2 Sub-Series posted a loss of (1.02%), while the B-0 Sub-Series posted a loss of (0.85%). The U.S. equity market rally continued into March, while European markets lagged. Encouraging macroeconomic data drove yields higher in Government Bonds, with U.S. 10 year notes reaching levels not seen since October of 2011. The Series ended the month down, with gains in equity indices offsetting larger losses in bonds. The Series’ other losing positions were in currencies, precious metals and interest rates. The Series had achieved some positive contribution from its crops and base metal positions, but like its equity indices positions, these gains were not enough to offset the Series’ losses.

19


The B-2 Sub-Series posted a (1.12%) loss for the month ended February 29, 2012, a (0.82%) loss for the year to date as of February 29, 2012 and an overall gain of 7.85% for the Series from the inception of trading on January 1, 2010 to February 29, 2012 (not annualized). The B-0 Sub-Series posted a (0.95%) loss for the month ended February 29, 2012, a (0.49%) loss for the year to date as of February 29, 2012 and an overall gain of 11.79% for the Series from the inception of trading on January 1, 2010 to February 29, 2012 (not annualized).

The Series experienced a negative return in February 2012. The B-2 Sub-Series posted a loss of (1.12%), while the B-0 Sub-Series posted a loss of (0.95%). The equity market rally continued into February, sending the S&P 500 Index to the highs of the previous year. Europe featured heavily in the news, with a 130 billion Euro “bailout” of Greece agreed to, and speculation the EU would extend its embargo on oil imports from Iran. The Greek “bailout” spurred the Euro higher against the US Dollar, and crude oil spiked about $10 a barrel higher over the course of the month. The Series benefited from its long equity indices and energies exposures, but the gains experienced in these positions were not great enough to offset the losses experienced in the Series short Euro, long Yen and bonds and crops exposures.

The B-2 Sub-Series posted a 0.31% gain for the month of January 2012 and an overall gain of 9.07% for the Series from the inception of trading on January 1, 2010 to January 31, 2012 (not annualized). The B-0 Sub-Series posted a 0.46% gain for the month of January 2012 and an overall gain of 12.85% for the Series from the inception of trading on January 1, 2010 to January 31, 2012 (not annualized).

The Series experienced a positive return in January 2012. The B-2 Sub-Series posted a gain of 0.31%, while the B-0 Sub-Series posted a gain of 0.46%. The year began with a rally in global stock markets, as concerns over Europe seemed to abate somewhat. Accordingly, the Euro reversed its two month downward trend, while government bonds rallied into the end of the month. The Series experienced gains in stock indices, short term rates, bonds and precious metals positions. Interest rates and precious metals were the largest contributors to performance, with equity indices and bonds closely following. The Series gains were offset by losses in base metals, currencies and crops positions.

Quarter ended June 30, 2011

This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2011, based on the underlying performance of the Master Fund in which the Series invests, and is not necessarily an indication of how the Series will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

For the six months ended June 30, 2011 the B-2 and B-0 Sub-Series had year-to-date losses of (2.46%) and (1.45%), respectively, based on the net asset value for all other purposes (see “Notes to Financial Statements – (3) Related Party Transactions”).

The following discussion is based on the underlying performance of the Master Fund in which the Series invests.

April 1, 2011 to June 30, 2011

The B-2 Subseries posted a (3.05%) loss for the month ended June 30, 2011, a loss of (3.22%) and (2.46%) for the three and six months ended June 30, 2011 and an overall gain of 4.22% for the Series from the inception of trading on January 1, 2010 through June 30, 2011 (not annualized). The B-0 Sub-Series posted a (2.88%) loss for the month ended June 30, 2011, a loss of (2.70%) and (1.45%) for the three and six months ended June 30, 2011 and an overall gain of 6.68% for the Series from the inception of trading on January 1, 2010 through June 30, 2011 (not annualized).

The Series experienced a negative return in June 2011. The B-2 Sub-Series posted a (3.05%) loss and the B-0 Sub-Series posted a (2.88%) loss. The negative trends that characterized May tended to continue into June. It appears there might have been some major inflection points in trends the Series has been participating in this year. Equity indices, energies and agricultural holdings were the largest negative contributors to the Series’ performance.

20


Positions in precious metals, base metals and bond also negatively impacted performance. Currencies contributed modest gains.

The B-2 Sub-Series posted a (2.64%) loss for the month ended May 31, 2011, a 0.60% gain for the year to date as of May 31, 2011 and an overall gain of 7.49% for the Series from the inception of trading on January 1, 2010 to May 31, 2011 (not annualized). The B-0 Sub-Series posted a (2.43%) loss for the month ended May 31, 2011, a 1.47% gain for the year to date as of May 31, 2011 and an overall gain of 9.84% for the Series from the inception of trading on January 1, 2010 to May 31, 2011 (not annualized).

The Series experienced a negative return in May 2011. The B-2 Sub-Series posted a (2.64%) loss and the B-0 Sub-Series posted a (2.43%) loss. Many of the featured market trends in April sharply reversed themselves in May. Commodities, base metals and oil suffered especially sharp reversals. Accordingly, currencies and energy positions were the largest negative contributors to the Series’ performance. Positions in equities indices, precious metals, base metals and crops performed negatively as well. The only sector with continued moves from April was in fixed income, which contributed modest gains to the Series.

The B-2 Sub-Series posted a 2.52% return for the month ended April 30, 2011, a 3.33% gain for the year to date as of April 30, 2011 and an overall gain of 10.40% for the Series from the inception of trading on January 1, 2010 to April 30, 2011 (not annualized). The B-0 Sub-Series posted a 2.68% return for the month ended April 30, 2011, a 4.00% gain for the year to date as of April 30, 2011 and an overall gain of 12.58% for the Series from the inception of trading on January 1, 2010 to April 30, 2011 (not annualized).

The Series experienced a positive return in April 2011. The B-2 Sub-Series posted a 2.52% return, while the B-0 Sub-Series posted a 2.68% return. Sovereign credit concerns strongly influenced the direction of many markets. The ECB benchmark rate hike sent the Euro higher, overshadowing the growing uncertainty around Greek and Portuguese fiscal troubles. The U.S. Dollar came under pressure with Standard and Poor’s reduction of the long-term credit outlook of the United States. Gold and oil rallied into the end of the month in response. Accordingly, currencies were the top performer for the month, driven mainly by long positions in the Euro. Energies, precious metals and equity indices positions likewise contributed strong positive results to the portfolio. The Series suffered slight losses in its bond holdings.

Quarter ended March 31, 2011

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2011, based on the underlying performance of the Master Fund in which the Series invests, and is not necessarily an indication of how the Series will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

For the three months ended March 31, 2011 the B-2 and B-0 Sub-Series had year-to-date returns of 0.79% and 1.28%, respectively, based on the net asset value for all other purposes (see “Notes to Financial Statements – (3) Related Party Transactions”).

January 1, 2011 to March 31, 2011

The B-2 Subseries posted a (0.21%) loss for the month ended March 31, 2011, a gain of 0.79% for the three months ended March 31, 2011 and an overall gain of 7.69% for the Series from the inception of trading on January 1, 2010 through March 31, 2011 (not annualized). The B-0 Sub-Series posted a (0.05%) loss for the month ended March 31, 2011, a gain of 1.28% for the three months ended March 31, 2011 and an overall gain of 9.64% for the Series from the inception of trading on January 1, 2010 through March 31, 2011 (not annualized).

The following discussion is based on the underlying performance of the Master Fund in which the Series invests.

The Series experienced a negative return in March 2011. The B-2 Sub-Series posted a loss of (0.21%), while the B-0 Sub-Series posted a loss of (0.05%). Winton’s fund weathered March’s turbulent markets reasonably well. The program responded in line with stress-test expectations after the Japanese earthquake shock. Positions directly

21


exposed to the natural disaster were limited in scope, and only contributed minor harm to the portfolio. Petroleum holdings saw the largest gains over the course of the month, followed closely by a positive performance in the currencies sector. As assets now exceed US$20 billion, concerns about system capacity have arisen. However internal research indicates that the current asset levels are not expected to materially impact performance.

The B-2 Sub-Series posted a 1.21% return for the month ended February 28, 2011, a 1.00% gain for the year to date as of February 28, 2011 and an overall gain of 7.92% for the Series from the inception of trading on January 1, 2010 to February 28, 2011 (not annualized). The B-0 Sub-Series posted a 1.37% return for the month ended February 28, 2011, a 1.33% gain for the year to date as of February 28, 2011 and an overall gain of 9.69% for the Series from the inception of trading on January 1, 2010 to February 28, 2011 (not annualized).

The Series experienced a positive return in February 2011. The B-2 Sub-Series posted a gain of 1.21%, while the B-0 Sub-Series posted a 1.37% gain. Social unrest in petroleum exporting countries captured headlines and influenced the movement of financial markets. As conflicts developed in Egypt and Libya, the price of crude oil surged and the program profited as fears mounted that the contagion would spread from North Africa to the Middle East. Accordingly, energy was the top performing sector in February, followed closely by precious metals positions in gold and silver. Soft agricultural commodities rose on record cotton highs, but these gains were offset with reversals in wheat and soybeans. The Series suffered its largest losses in government bond holdings across Asia, Europe and North America.

The B-2 Sub-Series posted a (0.20%) loss for the month of January 2011 and an overall gain of 6.63% for the Series from the inception of trading on January 1, 2010 to January 31, 2011 (not annualized). The B-0 Sub-Series posted a (0.04%) loss for the month of January 2011 and an overall gain of 8.20% for the Series from the inception of trading on January 1, 2010 to January 31, 2011 (not annualized).

The Series experienced a slight loss in January 2011. The B-2 Sub-Series posted a loss of (0.20%), while the B-0 Sub-Series posted a (0.04%) loss. Gains were concentrated in agricultural commodities and stock market indices, while losses stemmed from foreign exchange and precious metal exposure. Rapidly rising food prices have contributed to an unstable Middle Eastern economic climate, and worry over the balance of power in Egypt has catapulted Brent Crude over the $100/barrel price point. However, calm settled in over the Eurozone at month’s end in reaction to a phenomenally successful bond issuance by the European Financial Stability Facility. Stock markets lifted in reaction to the generally optimistic outlook – flare-ups of civil unrest notwithstanding. Gold and other precious metals that have served as indicators of market fear fell, in a symbolic vote of confidence for global growth. With renewed optimism the fund has increased its research effort, led-off by the implementation of weekly research meetings attended by David Harding.

Variables Affecting Performance

The principal variables that determine the net performance of the Series are gross profitability from the Series’ trading activity through its investment in the Master Fund and interest income.

The Series’ assets that are invested in the Master Fund are maintained at the Clearing Brokers, held in the AlphaMosaic SPC - Offshore Platform Cash Account, or held in cash at the Master Fund’s commercial bank. On assets held on deposit as margin with each Clearing Broker, the relevant Clearing Broker will credit the Master Fund with interest as of the end of each month currently at a rate equal to a certain percentage of the U.S. Treasury bill rates with the remaining portion retained by the relevant Clearing Broker. In the case of non-USD instruments, the Clearing Brokers lend to all required non-USD currencies at a local short-term interest rate plus a spread. On assets held at the Offshore Platform Cash Account, the Offshore Platform Cash Account will credit the Master Fund an amount equal to 90% of the 3-month Treasury Bill rate after transaction costs as long as such rate is earned by the Offshore Platform Cash Account. If the return on the Offshore Platform Cash Account is less than 90% of the 3-month Treasury Bill rate, the Master Fund will receive its pro rata share of all interest actually earned by the Offshore Platform Cash Account.

The Series’ Management Fee, Sponsor’s Fee and Service Provider Fees are a constant percentage of the Series’ net asset value for all other purposes. Brokerage commissions, which are not based on a percentage of the Series’ net assets, are based on the volume of trades executed and cleared on behalf of the Series. Brokerage commissions are

22


based on the actual number of contracts traded. The Performance Fees payable to the Trading Advisor are based on the new net trading profits, if any, generated by the Master Fund and allocated to the Series, excluding interest income and after reduction for brokerage commissions and certain other fees and expenses.

Most of the instruments traded on behalf of the Series are highly liquid and can generally be closed out immediately by the Master Fund, so that unrealized profits can generally be realized quickly if the relevant positions are closed out.

Off-balance Sheet Arrangements

The Series has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

Item 3: Quantitative and Qualitative Disclosures About Market Risk

Not applicable; the Series is a smaller reporting company.

Item 4: Controls and Procedures

The Sponsor, with the participation of the Sponsor’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in rule 13a-15(e) or 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Platform and the Series as of the end of the fiscal quarter for which this Quarterly Report on Form 10-Q is being filed, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended June 30, 2012 that has materially affected, or is reasonably likely to materially affect, the Platform’s or the Series’ internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1: Legal Proceedings

The Sponsor is not aware of any pending legal proceedings to which either the Series is a party or to which any of its assets are subject.

Item 1A: Risk Factors

Not Required.

Item 2: Unregistered Sales of Equity Securities and Use of Proceeds

 

 

(a)

Not applicable; previously filed on Forms 8-K

 

 

(b)

Not applicable.

 

 

(c)

Pursuant to the Platform’s Limited Liability Company Agreement and the Series’ Separate Series Agreement, Members may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit for all other purposes (i.e. including the amortization of estimated organizational and initial offering costs). The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. The following tables summarize the redemptions by Members during the second quarter of 2012:

23



 

 

 

 

 

 

 

 

Consolidated

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Month

 

Units Redeemed

 

Redemption Date Net Asset Value per Unit for
All Other Purposes

 

 


 


 


 

 

 

 

 

 

 

 

 

 

April 30, 2012

 

 

293.22

 

1,090.738

 

 

May 31, 2012

 

 

487.72

 

1,086.786

 

 

June 30, 2012

 

 

553.71

 

1,047.867

 

 

 

 





 

 

 

 

 

 

 

 

 

 

Total

 

 

1,334.65

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

B-0

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Month

 

Units Redeemed

 

Redemption Date Net Asset Value per Unit for
All Other Purposes

 

 


 


 


 

 

 

 

 

 

 

 

 

 

April 30, 2012

 

 

54.60

 

1,107.094

 

 

May 31, 2012

 

 

162.28

 

1,103.820

 

 

June 30, 2012

 

 

167.24

 

1,064.657

 

 

 

 





 

 

 

 

 

 

 

 

 

 

Total

 

 

384.12

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

B-2

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Month

 

Units Redeemed

 

Redemption Date Net Asset Value per Unit for
All Other Purposes

 

 


 


 


 

 

 

 

 

 

 

 

 

 

April 30, 2012

 

 

238.62

 

1,064.517

 

 

May 31, 2012

 

 

325.44

 

1,059.581

 

 

June 30, 2012

 

 

386.47

 

1,020.267

 

 

 

 





 

 

 

 

 

 

 

 

 

 

Total

 

 

950.53

 

 

 

 

 

 



 

 

 

Item 3: Defaults Upon Senior Securities

(a)        None.
(b)        None.

Item 4: (Removed and Reserved)

Item 5: Other Information

(a)        None.
(b)        Not applicable.

24


Item 6: Exhibits

The following exhibits are included herewith.

 

 

 

Exhibit Number

 

Description of Document


 


 

 

 

1.1*

 

Selling Agreement.

3.1*

 

Certificate of Formation of AlphaMetrix Managed Futures III LLC.

4.1*

 

Limited Liability Company Operating Agreement of AlphaMetrix Managed Futures III LLC.

4.2*

 

Separate Series Agreement for the Series.

10.1*

 

Trading Management Agreement.

10.2*

 

Assignment of Trading Management Agreement

10.3*

 

Amendment of Trading Management Agreement

10.4

 

Administrative Services Agreement

21.1*

 

List of Subsidiaries.

31.1

 

Certification of Principal Executive Officer pursuant to Rule 13a-14(a) under the Securities

 

 

Exchange Act of 1934.

31.2

 

Certification of Principal Financial Officer pursuant to Rule 13a-14(a) under the Securities

 

 

Exchange Act of 1934.

32.1

 

Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted

 

 

pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2

 

Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted

 

 

pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

99.1

 

Financial Statements of AlphaMetrix WC Diversified – MT0041 (Master Fund) (unaudited)

 

 

for the six months ended June 30, 2012 and 2011.

**101.INS

 

XBRL Instance Document

**101.SCH

 

XBRL Taxonomy Extension Schema

**101.CAL

 

XBRL Taxonomy Extension Calculation Linkbase

**101.DEF

 

XBRL Taxonomy Extension Definition Linkbase

**101.LAB

 

XBRL Taxonomy Extension Label Linkbase

**101.PRE

 

XBRL Taxonomy Extension Presentation Linkbase


* Incorporated by reference to the Series’ Form 10 filed on December 31, 2009.
** Pursuant to Rule 406T of Regulation S-T, the Interactive Data Files on Exhibit 101 hereto are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 or 12 of the Securities Act of 1933, as amended, are deemed not filed for purposes of Section 18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.

25


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on behalf of AlphaMetrix Managed Futures III LLC on behalf of itself and its series, AlphaMetrix WC Diversified Series, by the undersigned thereunto duly authorized.

Dated: August 14, 2012

 

 

 

ALPHAMETRIX MANAGED FUTURES III LLC

 

 

By:

AlphaMetrix, LLC.

 

Sponsor

 

 

 

 

By:

/s/ Aleks Kins

 



 

Name:

Aleks Kins

 

Title:  President and Chief Executive Officer

26