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EX-32.02 - EX-32.02 - MAN FRM MANAGED FUTURES STRATEGIES LLCa15-12184_1ex32d02.htm
EX-32.01 - EX-32.01 - MAN FRM MANAGED FUTURES STRATEGIES LLCa15-12184_1ex32d01.htm
EX-31.01 - EX-31.01 - MAN FRM MANAGED FUTURES STRATEGIES LLCa15-12184_1ex31d01.htm
EX-31.02 - EX-31.02 - MAN FRM MANAGED FUTURES STRATEGIES LLCa15-12184_1ex31d02.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, 2015

 

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 0-52505

 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Exact name of registrant as specified in its charter)

 

Delaware

 

30-0408280

(State or other jurisdiction of

 

(I.R.S. Employer Identification No.)

incorporation or organization)

 

 

 

c/o FRM Investment Management (USA) LLC

452 Fifth Avenue, 27th Floor

New York, New York 10018

(Address of principal executive offices)

(Zip Code)

 

212-649-6600

(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 website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

 

Yes 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 x

Smaller reporting company o

(Do not check if a smaller reporting company)

 

 

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

 

As of June 30, 2015, 169,682,222 units of limited liability company interest were outstanding.

 

 

 




 

PART I - FINANCIAL INFORMATION

 

Item 1. Financial Statements

 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

June 30,
2015

 

December 31,
2014

 

ASSETS:

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

85,471,104

 

$

243,678

 

Investment in Underlying Funds (Cost $121,223,100 for 2015 and $189,276,756 for 2014)

 

107,778,153

 

219,599,631

 

Receivable from Underlying Funds

 

830,000

 

4,280,060

 

Other assets

 

 

6,915

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

194,079,257

 

$

224,130,284

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Management fee payable

 

$

693,814

 

$

380,550

 

Redemptions payable

 

2,212,562

 

3,946,883

 

Other liabilities

 

396,327

 

302,140

 

 

 

 

 

 

 

Total liabilities

 

3,302,703

 

4,629,573

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Capital (169,682,222 Units and 185,070,253 Units outstanding; unlimited Units authorized)

 

190,776,554

 

219,500,711

 

Total members’ capital

 

190,776,554

 

219,500,711

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

194,079,257

 

$

224,130,284

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.1442

 

$

1.2045

 

Class C

 

$

1.1018

 

$

1.1656

 

Class D

 

$

1.4458

 

$

1.5105

 

Class I

 

$

1.2340

 

$

1.2963

 

Class M

 

$

1.0680

 

$

1.1158

 

 

See notes to financial statements.

 

1



 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the three
months ended
June 30, 2015

 

For the three
months ended
June 30, 2014

 

For the six
months ended
June 30, 2015

 

For the six
months ended
June 30, 2014

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

33,319,040

 

$

258,061

 

$

36,393,368

 

$

(13,856,464

)

Change in unrealized, net

 

(55,816,115

)

10,184,814

 

(43,767,822

)

12,445,692

 

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

(22,497,075

)

10,442,875

 

(7,374,454

)

(1,410,772

)

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

Interest, net

 

273

 

 

275

 

 

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee

 

1,065,654

 

1,203,450

 

2,226,130

 

2,628,697

 

Other

 

254,679

 

190,625

 

435,766

 

423,268

 

Total expenses

 

1,320,333

 

1,394,075

 

2,661,896

 

3,051,965

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(1,320,060

)

(1,394,075

)

(2,661,621

)

(3,051,965

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

(23,817,135

)

$

9,048,800

 

$

(10,036,075

)

$

(4,462,737

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

25,382,763

 

34,828,249

 

25,736,637

 

38,362,477

 

Class C

 

121,039,055

 

165,805,602

 

123,900,489

 

182,341,986

 

Class D

 

3,270,754

 

5,719,715

 

3,270,754

 

7,911,630

 

Class I

 

15,245,167

 

17,345,891

 

15,327,241

 

18,187,553

 

Class M

 

8,338,103

 

10,956,920

 

8,346,679

 

8,942,814

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

(0.1380

)

$

0.0411

 

$

(0.0554

)

$

(0.0146

)

Class C

 

$

(0.1361

)

$

0.0370

 

$

(0.0572

)

$

(0.0197

)

Class D

 

$

(0.1687

)

$

0.0413

 

$

(0.0647

)

$

(0.0374

)

Class I

 

$

(0.1474

)

$

0.0455

 

$

(0.0601

)

$

(0.0082

)

Class M

 

$

(0.1246

)

$

0.0415

 

$

(0.0474

)

$

0.0157

 

 

See notes to financial statements.

 

2



 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited) (in Units)

 

 

 

Members’ Capital
December 31, 2013

 

Subscriptions

 

Redemptions

 

Members’ Capital
June 30, 2014

 

Members’ Capital
December 31, 2014

 

Subscriptions

 

Redemptions

 

Members’ Capital
June 30, 2015

 

Class A

 

44,919,355

 

215,578

 

(13,434,418

)

31,700,515

 

26,447,606

 

474,649

 

(1,644,566

)

25,277,689

 

Class C

 

208,733,990

 

3,862,057

 

(60,696,832

)

151,899,215

 

131,433,730

 

706,472

 

(14,230,568

)

117,909,634

 

Class D

 

10,103,544

 

 

(6,832,791

)

3,270,753

 

3,270,753

 

 

(321,750

)

2,949,003

 

Class I

 

19,789,101

 

197,782

 

(3,309,600

)

16,677,283

 

15,579,536

 

170,060

 

(541,804

)

15,207,792

 

Class M

 

4,445,192

 

8,024,072

 

(1,795,412

)

10,673,852

 

8,338,628

 

123,985

 

(124,509

)

8,338,104

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

287,991,182

 

12,299,489

 

(86,069,053

)

214,221,618

 

185,070,253

 

1,475,166

 

(16,863,197

)

169,682,222

 

 

See notes to financial statements.

 

3



 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2015 AND 2014

(unaudited)

 

 

 

Members’
Capital
December 31,
2013

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’
Capital June 30,
2014

 

Members’
Capital
December 31,
2014

 

Subscriptions

 

Redemptions

 

Net Income
(Loss)

 

Members’
Capital June
30, 2015

 

Class A

 

$

46,575,864

 

$

213,990

 

$

(13,504,088

)

$

(559,364

)

$

32,726,402

 

$

31,855,022

 

$

587,905

 

$

(2,093,686

)

$

(1,425,322

)

$

28,923,919

 

Class C

 

211,561,932

 

3,764,000

 

(59,205,685

)

(3,598,120

)

152,522,127

 

153,204,368

 

858,000

 

(17,063,266

)

(7,082,025

)

129,917,077

 

Class D

 

12,941,674

 

 

(8,442,972

)

(295,832

)

4,202,870

 

4,940,417

 

 

(465,187

)

(211,599

)

4,263,631

 

Class I

 

21,996,156

 

212,328

 

(3,564,998

)

(150,013

)

18,493,473

 

20,196,513

 

234,625

 

(742,957

)

(921,570

)

18,766,611

 

Class M

 

4,206,402

 

7,424,070

 

(1,639,050

)

140,592

 

10,132,014

 

9,304,391

 

145,000

 

(148,516

)

(395,559

)

8,905,316

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Units

 

$

297,282,028

 

$

11,614,388

 

$

(86,356,793

)

$

(4,462,737

)

$

218,076,886

 

$

219,500,711

 

$

1,825,530

 

$

(20,513,612

)

$

(10,036,075

)

$

190,776,554

 

 

See notes to financial statements.

 

4



 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2015 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.2826

 

$

1.2382

 

$

1.6145

 

$

1.3818

 

$

1.1927

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and net change in unrealized trading profit (loss)

 

(0.1323

)

(0.1275

)

(0.1668

)

(0.1426

)

(0.1233

)

Expenses

 

(0.0061

)

(0.0089

)

(0.0019

)

(0.0052

)

(0.0014

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.1442

 

$

1.1018

 

$

1.4458

 

$

1.2340

 

$

1.0680

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return

 

-10.79

%

-11.02

%

-10.45

%

-10.70

%

-10.46

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (b)(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

0.49

%

0.74

%

0.12

%

0.40

%

0.12

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.49

%

-0.74

%

-0.12

%

-0.40

%

-0.12

%

 


(a)         The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions.

(b)         The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds and the Underlying Funds.

(c)          The ratios are not annualized.

 

See notes to financial statements.

 

5



 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.2045

 

$

1.1656

 

$

1.5105

 

$

1.2963

 

$

1.1158

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and net change in unrealized trading profit (loss)

 

(0.0484

)

(0.0463

)

(0.0615

)

(0.0523

)

(0.0455

)

Expenses

 

(0.0119

)

(0.0175

)

(0.0032

)

(0.0100

)

(0.0023

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.1442

 

$

1.1018

 

$

1.4458

 

$

1.2340

 

$

1.0680

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return

 

-5.00

%

-5.47

%

-4.28

%

-4.81

%

-4.28

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (b)(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

0.95

%

1.45

%

0.20

%

0.75

%

0.20

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.95

%

-1.45

%

-0.20

%

-0.75

%

-0.20

%

 


(a)         The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions.

(b)         The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds and the Underlying Funds.

(c)          The ratios are not annualized.

 

See notes to financial statements.

 

6



 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2014 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

0.9905

 

$

0.9658

 

$

1.2282

 

$

1.0629

 

$

0.9074

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and net change in unrealized trading profit (loss)

 

0.0465

 

0.0452

 

0.0577

 

0.0499

 

0.0426

 

Expenses

 

(0.0046

)

(0.0069

)

(0.0009

)

(0.0039

)

(0.0008

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.0324

 

$

1.0041

 

$

1.2850

 

$

1.1089

 

$

0.9492

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return

 

4.22

%

3.96

%

4.62

%

4.33

%

4.62

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (b)(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

0.46

%

0.71

%

0.08

%

0.36

%

0.08

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.46

%

-0.71

%

-0.08

%

-0.36

%

-0.08

%

 


(a)         The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions.

(b)         The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds.

(c)          The ratios are not annualized.

 

See notes to financial statements.

 

7



 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Class A

 

Class C

 

Class D

 

Class I

 

Class M

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

1.0369

 

$

1.0135

 

$

1.2809

 

$

1.1115

 

$

0.9463

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized and net change in unrealized trading profit (loss)

 

0.0047

 

0.0044

 

0.0061

 

0.0051

 

0.0045

 

Expenses

 

(0.0092

)

(0.0138

)

(0.0020

)

(0.0077

)

(0.0016

)

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.0324

 

$

1.0041

 

$

1.2850

 

$

1.1089

 

$

0.9492

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return

 

-0.44

%

-0.93

%

0.31

%

-0.24

%

0.31

%

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (b)(c)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

0.92

%

1.42

%

0.17

%

0.72

%

0.17

%

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.92

%

-1.42

%

-0.17

%

-0.72

%

-0.17

%

 


(a)         The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions.

(b)         The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds.

(c)          The ratios are not annualized.

 

See notes to financial statements.

 

8



 

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.                          ORGANIZATION

 

Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM”). FRM is registered as a commodity pool operator (“CPO”) and commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act.  FRM is also registered as an investment adviser under the Investment Advisers Act of 1940. FRM is an indirect and wholly-owned subsidiary of Man Group plc (the “Man Group”). The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007. The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance. The Fund was previously known as “Systematic Momentum FuturesAccess LLC”.

 

Prior to May 1, 2015, the Fund was a participating fund in the FuturesAccessSM Program (“FuturesAccess”) sponsored by Merrill Lynch Alternative Investments LLC (“MLAI”). The Fund operated as a “fund of funds”, allocating and reallocating its capital among underlying FuturesAccess Funds (“FuturesAccess Portfolio Funds” or “Portfolio Funds”). MLAI was the sponsor and manager of the Fund prior to May 1, 2015. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation.

 

Pursuant to an Asset Purchase Agreement dated as of December 8, 2014 between MLAI and Man Principal Strategies Corp. (a wholly-owned subsidiary of Man Group), Man Group purchased, among other assets, the rights of MLAI and its affiliates under certain agreements relating to the management of the Fund. FRM replaced MLAI as manager of the Fund on May 1, 2015, upon the closing of such purchase. Effective as of May 1, 2015, the Fund was renamed “Man FRM Managed Futures Strategies LLC”.

 

Under the direction of the Manager, the Fund allocates its capital among a group of underlying funds (each an “Underlying Fund”, and collectively the “Underlying Funds”) which, in turn, allocate capital to master funds (each a Master Fund and collectively the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of commodity trading advisors unaffiliated with FRM (each a “Trading Advisor” and collectively the “Trading Advisors”).

 

The Manager invests the Fund’s assets in Underlying Funds that are on the FRM platform. The Underlying Funds accessed by the Fund are generally established as Delaware limited liability companies, each of which engages the Manager as the risk manager and each of which further invests in a Master Fund, generally established as a Cayman Islands exempted company, which engages a single Trading Advisor (see Note 2). Presently there are six Underlying Funds (see Note 2). The Manager serves as CPO of the Underlying Funds and Master Funds.

 

Unless the context otherwise requires, references in these financial statements to the investment process, strategies, objectives or activities of the Underlying Fund refer to the investment activities of the Master Fund through which the Underlying Fund and Fund indirectly conduct their investment processes, strategies, objectives and activities.

 

9



 

Interests in the Fund are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.

 

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of June 30, 2015 the Fund does not hold any cash equivalents. Cash was held at a nationally recognized financial institution.

 

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of June 30, 2015 and December 31, 2014 and the results of its operations for the three and six month periods ended June 30, 2015 and 2014. However, the operating results for the interim periods may not be indicative of the results for the full year.

 

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2014.

 

Estimates

 

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material.

 

2.                          INVESTMENTS IN UNDERLYING FUNDS

 

As of April 30, 2015, the Fund fully redeemed its investment in the following MLAI Portfolio Funds. Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), John Locke FuturesAccess LLC (“John Locke”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), Tudor Tensor FuturesAccess LLC (“Tudor Tensor”) and ML Winton FuturesAccess LLC (“Winton”).

 

During May 2015, the Fund invested in a new group of Underlying Funds. As of June 30, 2015, the six Underlying Funds in which the Fund is invested in, and the respective Master Funds in which the Underlying Funds are invested in, are: (i) Blakeney Delaware Feeder LLC (“Blakeney”) which invests in Blakeney Fund Limited, (ii) Campbell Delaware Feeder LLC (“Campbell”) which invests in Campbell MAC Cayman Fund Limited, (iii) Carlisle Delaware Feeder LLC (“Carlisle”) which invests in Carlisle Fund Limited, (iv) CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) which invests in CCP Core Macro Cayman Fund Limited, (v) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited, and (vi) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC Limited.  As used herein, Trading Advisor in respect of an Underlying Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Underlying Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Underlying Funds. In the process of rebalancing, the Fund’s allocation to any individual Underlying Fund may range between 3% - 25% of the Fund’s Net Asset Value (“NAV”).

 

10



 

The investment transactions were accounted for on trade date. The investments in the Underlying Funds are valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, FRM utilized the NAV of the Underlying Funds which approximates fair value. The fair value was net of all fees relating to the Underlying Funds, paid or accrued. Additionally, FRM monitored the performance of the Underlying Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in the Underlying Funds’ investments, comparing performance to industry benchmarks, and conference calls and site visits with the Underlying Funds’ respective Trading Advisors.

 

The details of investments in FuturesAccess Portfolio Funds and in Underlying Funds at and for the six month period ended June 30, 2015 are as follows:

 

 

 

Percentage of
Members’
Capital

 

Fair Value

 

Profit (Loss)

 

Cost @
6/30/15

 

Redemptions
Permitted

 

Transtrend*

 

0.00

%

$

 

$

501,384

 

$

 

Semi-Monthly

 

Winton*

 

0.00

%

 

407,901

 

 

Semi-Monthly

 

Aspect*

 

0.00

%

 

(509,070

)

 

Semi-Monthly

 

John Locke*

 

0.00

%

 

1,283,475

 

 

Semi-Monthly

 

Blue trend*

 

0.00

%

 

2,862,359

 

 

Monthly

 

Tudor*

 

0.00

%

 

1,341,872

 

 

Semi-Monthly

 

Lynx*

 

0.00

%

 

714,472

 

 

Semi-Monthly

 

Blakeney**

 

8.36

%

15,953,527

 

(976,473

)

16,911,894

 

Weekly

 

Silver**

 

10.77

%

20,546,969

 

(2,898,031

)

23,300,604

 

Weekly

 

Quantica MF**

 

11.80

%

22,510,442

 

(1,574,558

)

24,120,021

 

Weekly

 

CCP Core Macro**

 

6.43

%

12,270,370

 

(1,849,630

)

14,122,544

 

Weekly

 

Campbell**

 

12.87

%

24,554,456

 

(3,835,544

)

28,378,225

 

Weekly

 

Carlisle**

 

6.26

%

11,942,389

 

(2,842,611

)

14,389,812

 

Weekly

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

56.49

%

$

107,778,153

 

$

(7,374,454

)

$

121,223,100

 

 

 

 


* FuturesAccess Portfolio Funds redeemed as of April 30, 2015.

** Underlying Funds added in May 2015.

 

11



 

The details of investments in FuturesAccess Portfolio Funds at and for the year ended December 31, 2014 are as follows:

 

 

 

Percentage of
Members’
Capital

 

Fair Value

 

Profit (Loss)

 

Cost @
12/31/14

 

Redemptions
Permitted

 

Transtrend

 

16.01

%

$

35,135,941

 

$

6,109,429

 

$

30,017,854

 

Semi-Monthly

 

Altis*

 

0.00

%

 

(2,921,043

)

 

Semi-Monthly

 

Winton

 

20.01

%

43,919,926

 

5,371,945

 

34,600,181

 

Semi-Monthly

 

Aspect

 

11.00

%

24,155,959

 

6,196,491

 

18,962,783

 

Semi-Monthly

 

John Locke

 

11.00

%

24,155,960

 

5,249,513

 

21,004,423

 

Semi-Monthly

 

BlueTrend

 

16.01

%

35,135,941

 

2,681,711

 

35,682,511

 

Monthly

 

Tudor

 

11.00

%

24,155,959

 

3,350,358

 

23,243,054

 

Semi-Monthly

 

Lynx

 

15.01

%

32,939,945

 

7,623,039

 

25,765,950

 

Semi-Monthly

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

100.04

%

$

219,599,631

 

$

33,661,443

 

$

189,276,756

 

 

 

 


* Altis liquidated as of March 31, 2014.

 

There are no investments held by the Underlying Funds that in the aggregate exceed 5% of the Fund’s members’ capital. The following is summarized financial information for each of the FuturesAccess Portfolio Funds and the Underlying Funds:

 

 

 

For the six months ended June 30, 2015

 

 

 

Income (Loss)

 

Commissions

 

Expenses

 

Net
Income (Loss)

 

Aspect*

 

$

404,556

 

$

(169,723

)

$

(4,910,852

)

$

(4,676,019

)

BlueTrend*

 

9,245,595

 

(170,694

)

(2,259,861

)

6,815,040

 

John Locke*

 

1,864,422

 

(74,165

)

(506,783

)

1,283,474

 

Lynx *

 

2,414,522

 

(79,733

)

(1,344,163

)

990,626

 

Transtrend*

 

1,877,424

 

(177,794

)

(921,164

)

778,466

 

Tudor*

 

1,983,906

 

(127,346

)

(514,687

)

1,341,873

 

Winton*

 

25,719,496

 

(335,422

)

(24,207,340

)

1,176,734

 

Blakeney**

 

(936,034

)

 

(46,155

)

(982,189

)

Campbell**

 

(3,780,290

)

 

(56,611

)

(3,836,901

)

Carlisle**

 

(2,802,703

)

 

(41,650

)

(2,844,353

)

CCP Core Macro**

 

(1,819,776

)

 

(31,210

)

(1,850,986

)

Quantica MF**

 

(1,517,604

)

 

(57,654

)

(1,575,258

)

Silver**

 

(2,969,620

)

 

(55,035

)

(3,024,655

)

 

 

 

 

 

 

 

 

 

 

Total

 

$

29,683,894

 

$

(1,134,877

)

$

(34,953,165

)

$

(6,404,148

)

 


* FuturesAccess Portfolio Funds redeemed as of April 30, 2015. The information above reflects income and expenses of the related FuturesAccess Portfolio Fund for the period from January 1, 2015 through April 30, 2015.

** Underlying Funds added in May 2015.

 

12



 

 

 

For the six months ended June 30, 2014

 

 

 

Income (Loss)

 

Commissions

 

Expenses

 

Net
Income (Loss)

 

Altis*

 

$

(2,692,878

)

$

(50,824

)

$

(177,341

)

$

(2,921,043

)

Aspect

 

(97,582

)

(282,584

)

(2,888,639

)

(3,268,805

)

BlueTrend

 

4,952,228

 

(314,110

)

(1,715,218

)

2,922,900

 

John Locke

 

298,054

 

(120,000

)

(341,221

)

(163,167

)

Lynx

 

1,130,576

 

(93,561

)

(598,006

)

439,009

 

Transtrend

 

3,397,486

 

(299,490

)

(1,034,775

)

2,063,221

 

Tudor

 

(885,218

)

(288,099

)

(335,026

)

(1,508,343

)

Winton

 

47,404,187

 

(614,274

)

(24,737,400

)

22,052,513

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

53,506,853

 

$

(2,062,942

)

$

(31,827,626

)

$

19,616,285

 

 


* Altis liquidated as of March 31, 2014.

 

3.                          FAIR VALUE OF INVESTMENTS

 

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). Purchase and sale of investments are recorded on a trade date basis. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.

 

The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

 

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

 

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Fund does not adjust the quoted price for these investments even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.

 

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies.

 

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

 

13



 

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. FRM’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

 

In May 2015, the Financial Accounting Standards Board (“FASB”) issued ASU 2015-07 “Fair Value Measurement (Topic 820) — Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent).” This new guidance no longer requires investments for which NAV is determined based on practical expedient reliance to be reported utilizing the fair value hierarchy. Although ASU 2015-07 (“the amendment”) will be effective beginning in the first quarter of 2016, early adoption is permitted for fiscal periods ending prior to that date.  The Manager has elected to adopt the amendment early, and the impact of adoption is limited to the notes to the financial statements.

 

As of June 30, 2015 and December 31, 2014, all of the investments were fair valued using the NAV of the FuturesAccess Portfolio Funds and the Underlying Funds.

 

4.                          MARKET, CREDIT AND CONCENTRATION RISKS

 

The nature of this Fund has certain risks, which cannot all be presented in the financial statements.  The following summarizes some of those risks.

 

Market Risk

 

Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the underlying Master Funds’ financial assets (liabilities) at fair value through profit or loss on such derivative instruments as reflected in the statements of financial position of the Master Funds. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the underlying Master Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded.  Investments in foreign markets may also entail legal and political risks.

 

FRM has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of the Master Funds, calculating the NAV of the Fund and the Underlying Funds as of the close of business on each day and reviewing outstanding positions for over-concentrations.  While FRM does not intervene in the markets to hedge or diversify the Underlying Funds’ market exposure, FRM may urge the respective Trading Advisor to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected to be unusual.  It is expected that FRM’s basic risk control procedures will consist of the ongoing process of monitoring the Trading Advisors, with the market risk controls being applied by the respective Trading Advisor.

 

Credit Risk

 

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) 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/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse.  In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

 

14



 

The credit risk associated with these instruments from counterparty nonperformance is the financial assets (liabilities) at fair value through profit or loss, if any, included in the Master Funds’ statements of financial position.

 

As of May 1, 2015, the Underlying Funds held by the Fund generally do not invest directly in positions other than their related Master Funds. The Master Funds enter into contracts with various futures clearing brokers. These brokers may encounter financial difficulties that can impair the operating capabilities or the capital position of the Master Funds, and in turn, the Underlying Funds. The Trading Advisors of the Master Funds will attempt to limit transactions to well-capitalized and established brokers in an effort to mitigate such risk.

 

Credit risk is the possibility that a loss may occur from the failure of a counterparty to make payments according to the terms of a contract. The Fund’s exposure to credit risk is contingent upon the Underlying Funds and the brokers and counterparties which the Underlying Funds transact business with as well as amounts recorded as assets in the Statement of Financial Condition.

 

Cash held as deposits may exceed the amount of federal insurance provided on such deposits and are therefore subject to credit risk.

 

Concentration Risk

 

The Fund’s investments in the Underlying Funds are subject to the market and credit risk of the Underlying Funds. Because the majority of the Fund’s capital is invested in the Underlying Funds, any changes in the market conditions that would adversely affect the Underlying Funds could significantly impact the solvency of the Fund.

 

Indemnifications

 

In the normal course of business, the Fund has entered, or may in the future enter into agreements that obligate the Fund to indemnify certain parties including FRM affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Fund’s experience, FRM expects the risk of loss to be remote and, therefore, no provision has been recorded.

 

5.                          RELATED PARTY TRANSACTIONS

 

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Former Transfer Agent”), an affiliate of MLAI, which was in place through April 30, 2015. The fees charged by the Former Transfer Agent for its services were based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranged from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI.  Effective as of May 1, 2015, The Bank of New York Mellon, a corporation organized under the laws of the State of New York, through its Alternative Investment Services division (“AIS”), serves as the administrator, registrar and transfer agent (“New Transfer Agent”) for the Fund pursuant to an Administrative Services Agreement. The New Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of units.  The New Transfer Agent is not a related party of the Fund.

 

15



 

The Former Transfer Agent fee allocated to the Fund for the three month periods ended June 30, 2015, and 2014 amounted to $4,022 and $11,631, respectively. The Former Transfer Agent fee allocated to the Fund for the six month periods ended June 30, 2015 and 2014 amounted to $15,177 and $26,289, respectively. There was $7,681 and $6,615 payable to the Former Transfer Agent as of June 30, 2015 and December 31, 2014, respectively.

 

The Manager receives monthly management fees (“Management Fees”) based on the aggregate NAV of the Class of Units. The respective Management Fee rates are: Class A Units 1.5% per annum; Class C Units 2.5% per annum; and Class I Units 1.1% per annum. Class D Units and Class M Units are not charged Management Fees.  Prior to May 1, 2015, Management fees were known as sponsor fees and were paid to MLAI.

 

6.                          SUBSEQUENT EVENTS

 

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

 

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

 

Unless the context otherwise requires, references in this Form 10Q to the investment process, strategies, objectives and activities of the Underlying Fund refer to the investment activities of the Master Fund through which the Underlying Fund and Fund indirectly conduct their investment processes, strategies, objectives and activities.

 

MONTH-END NET ASSET VALUE PER UNIT

 

The NAV of the Fund is equivalent to its total assets less its total liabilities as of any valuation day.  Appreciation or depreciation in the NAV of the Fund is based upon appreciation or depreciation in the value of investments in Underlying Funds that are held by the Fund, with appropriate adjustments for assets and liabilities of the Fund. The different Classes of Units will have a different NAV due to the different Management Fees charged to these Classes.  The NAV is calculated on the last calendar day of each month and/or last business day of each week and/or such other days as the Manager may determine in its sole discretion.

 

FRM believes that the NAV used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund.  The charts below reference NAV at the specified valuation dates.

 

16



 

MONTH-END NAV PER UNIT CLASS A

 

 

 

Jan. 15th

 

Jan. 31th

 

Feb. 15th

 

Feb. 28th

 

Mar. 15th

 

Mar. 31th

 

Apr. 15th

 

Apr. 30th

 

May. 8th

 

May. 15th

 

May. 22nd

 

May. 31st

 

Jun. 5th

 

Jun. 15th

 

Jun. 19th

 

Jun. 30th

 

2014

 

$

1.0154

 

$

0.9920

 

$

0.9901

 

$

1.0116

 

$

0.9877

 

$

0.9905

 

$

0.9871

 

$

0.9958

 

N/A

 

$

0.9970

 

N/A

 

$

1.0221

 

N/A

 

$

1.0288

 

N/A

 

$

1.0324

 

2015

 

$

1.2304

 

$

1.2611

 

$

1.2311

 

$

1.2593

 

$

1.2846

 

$

1.2826

 

$

1.2986

 

$

1.2308

 

$

1.2308

 

$

1.2183

 

$

1.2351

 

$

1.2319

 

$

1.2013

 

$

1.1770

 

$

1.1742

 

$

1.1442

 

 

MONTH-END NAV PER UNIT CLASS C

 

 

 

Jan. 15th

 

Jan. 31th

 

Feb. 15th

 

Feb. 28th

 

Mar. 15th

 

Mar. 31th

 

Apr. 15th

 

Apr. 30th

 

May. 8th

 

May. 15th

 

May. 22nd

 

May. 31st

 

Jun. 5th

 

Jun. 15th

 

Jun. 19th

 

Jun. 30th

 

2014

 

$

0.9921

 

$

0.9689

 

$

0.9666

 

$

0.9872

 

$

0.9635

 

$

0.9658

 

$

0.9620

 

$

0.9701

 

N/A

 

$

0.9709

 

N/A

 

$

0.9950

 

N/A

 

$

1.0011

 

N/A

 

$

1.0041

 

2015

 

$

1.1903

 

$

1.2195

 

$

1.1899

 

$

1.2167

 

$

1.2406

 

$

1.2382

 

$

1.2531

 

$

1.1872

 

$

1.1872

 

$

1.1746

 

$

1.1906

 

$

1.1872

 

$

1.1576

 

$

1.1338

 

$

1.1310

 

$

1.1018

 

 

MONTH-END NAV PER UNIT CLASS D

 

 

 

Jan. 15th

 

Jan. 31th

 

Feb. 15th

 

Feb. 28th

 

Mar. 15th

 

Mar. 31th

 

Apr. 15th

 

Apr. 30th

 

May. 8th

 

May. 15th

 

May. 22nd

 

May. 31st

 

Jun. 5th

 

Jun. 15th

 

Jun. 19th

 

Jun. 30th

 

2014

 

$

1.2551

 

$

1.2270

 

$

1.2254

 

$

1.2528

 

$

1.2240

 

$

1.2282

 

$

1.2247

 

$

1.2363

 

N/A

 

$

1.2386

 

N/A

 

$

1.2706

 

N/A

 

$

1.2798

 

N/A

 

$

1.2850

 

2015

 

$

1.5440

 

$

1.5835

 

$

1.5468

 

$

1.5832

 

$

1.6160

 

$

1.6145

 

$

1.6357

 

$

1.5513

 

$

1.5513

 

$

1.5364

 

$

1.5581

 

$

1.5544

 

$

1.5163

 

$

1.4862

 

$

1.4829

 

$

1.4458

 

 

MONTH-END NAV PER UNIT CLASS I

 

 

 

Jan. 15th

 

Jan. 31th

 

Feb. 15th

 

Feb. 28th

 

Mar. 15th

 

Mar. 31th

 

Apr. 15th

 

Apr. 30th

 

May. 8th

 

May. 15th

 

May. 22nd

 

May. 31st

 

Jun. 5th

 

Jun. 15th

 

Jun. 19th

 

Jun. 30th

 

2014

 

$

1.0887

 

$

1.0638

 

$

1.0619

 

$

1.0852

 

$

1.0597

 

$

1.0629

 

$

1.0594

 

$

1.0689

 

N/A

 

$

1.0704

 

N/A

 

$

1.0975

 

N/A

 

$

1.1049

 

N/A

 

$

1.1089

 

2015

 

$

1.3245

 

$

1.3578

 

$

1.3257

 

$

1.3563

 

$

1.3838

 

$

1.3818

 

$

1.3993

 

$

1.3265

 

$

1.3265

 

$

1.3132

 

$

1.3314

 

$

1.3280

 

$

1.2952

 

$

1.2691

 

$

1.2661

 

$

1.2340

 

 

MONTH-END NAV PER UNIT CLASS M

 

 

 

Jan. 15th

 

Jan. 31th

 

Feb. 15th

 

Feb. 28th

 

Mar. 15th

 

Mar. 31th

 

Apr. 15th

 

Apr. 30th

 

May. 8th

 

May. 15th

 

May. 22nd

 

May. 31st

 

Jun. 5th

 

Jun. 15th

 

Jun. 19th

 

Jun. 30th

 

2014

 

$

0.9272

 

$

0.9065

 

$

0.9053

 

$

0.9255

 

$

0.9042

 

$

0.9074

 

$

0.9048

 

$

0.9133

 

N/A

 

$

0.9150

 

N/A

 

$

0.9386

 

N/A

 

$

0.9454

 

N/A

 

$

0.9492

 

2015

 

$

1.1406

 

$

1.1698

 

$

1.1426

 

$

1.1695

 

$

1.1938

 

$

1.1927

 

$

1.2083

 

$

1.1459

 

$

1.1459

 

$

1.1350

 

$

1.1510

 

$

1.1483

 

$

1.1201

 

$

1.0979

 

$

1.0955

 

$

1.0680

 

 

Liquidity and Capital Resources

 

The Fund and the Underlying Funds through their related Master Funds borrow only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Fund’s and Underlying Funds’ U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.

 

Substantially all of the Master Funds’ assets are held in cash. The NAV of the Master Funds’ cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the profit potential generally increases. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow.

 

An Underlying Fund through its Master Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Underlying Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

 

There is no established public trading market for the Units.  Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of the last business day of each week (“Redemption Date”), upon submitting a redemption request by the “Redemption Notice Date,” which is four business days prior to the Redemption Date.  The NAV of redeemed Units is determined as of the Redemption Date. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption request and the applicable Redemption Date.

 

As a commodity pool, the Fund indirectly maintains an extremely large percentage of its assets in cash through the underlying Master Funds, which they must have available to post initial and variation margin on futures contracts.  This cash is also used to fund redemptions.  While the Underlying Fund has the ability to fund redemption proceeds from liquidating Master Fund positions, as a practical matter positions are not liquidated to fund redemptions.  In the event that positions were liquidated to fund redemptions, FRM or its affiliate, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine, in its discretion which investments should be liquidated.

 

17



 

For the six months ended June 30, 2015 the Fund’s capital decreased 13.09% from $219,500,711 to $190,776,554.  This decrease was attributable to the net loss from operations of $10,036,075, coupled with the redemption of 16,863,197 Units resulting in an outflow of $20,513,612.  The cash outflow was offset with cash inflow of $1,825,530 due to subscriptions of 1,475,166 Units. Future redemptions could impact the amount of funds available for investment in the Underlying Funds in subsequent months.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

The Fund is not required to provide a Statement of Cash Flows.

 

Investments

 

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). Purchase and sale of investments are recorded on a trade date basis. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss from the preceding period is reported in the respective Statements of Operations.

 

Fair Value Measurements

 

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.  For more information on the Fund’s treatment of fair value, see Financial Statements Note 3, Fair Value of Investments.

 

Income Taxes

 

No provision for income taxes has been made in the accompanying financial statements as each member is individually responsible for reporting income or loss based on such member’s share of the Fund’s income and expenses as reported for income tax purposes.

 

The Fund follows the ASC guidance on accounting for uncertainty in income taxes.  This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the NAV of the Fund, including reducing the NAV of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. The manager has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2011.

 

18



 

Reform Act

 

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant” and each Master Fund expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million.  If the Master Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Master Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.  “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market.  Moreover, the creditworthiness of the counterparties with whom the Master Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of the currency forward counterparties with which the Master Fund would otherwise engage for its currency forward transactions.

 

Results of Operations

 

January 1, 2015 to June 30, 2015

 

January 1, 2015 to March 31, 2015

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of March 31, 2015:

 

March 31, 2015

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

1,613,161

 

32.86

%

Currencies - Futures

 

(26,105

)

-0.53

%

Currencies - Forwards

 

(177,860

)

-3.62

%

Energy

 

306,419

 

6.24

%

Interest rates

 

3,328,997

 

67.81

%

Metals

 

(673,049

)

-13.71

%

Stock indices

 

537,484

 

10.95

%

 

 

 

 

 

 

Total

 

$

4,909,047

 

100

%

 

The Fund experienced a net trading profit for the first quarter ended March 31, 2015 of $15,122,621.

 

In the first quarter, returns were positive in January and March, with a slight dip in February. Continuing trends in fixed income, equity indices, currencies and energies drove performance.

 

Reference herein to the Fund’s trading and portfolio refer to such trading conducted, and portfolios held, through the Fund’s underlying Portfolio Funds.  Reference herein to the trading and portfolio of the Portfolio Funds refers to such trading and portfolios generally.

 

19



 

In equity indices, the Portfolio Funds came into the first quarter with long exposure, with positions across geographies. The largest exposures were in U.S. indices, based on recent trends. Equity markets saw some divergence in the first three months of the year. U.S. markets had roughly flat returns, taking a break from the strong performance they had put in the previous two years as rate hikes approached, a strong U.S. dollar began to weigh on earnings, and the energy sector continued to struggle. On the other hand, European markets took off strongly as quantitative easing became a reality and a weaker currency buoyed earnings. Japanese equities also performed well due to similar reasons. The Portfolio Funds generally adjusted their portfolios, reducing allocations to U.S. indices and increasing their long positions in Europe and Asia. The asset class finished the first quarter with gains, driven primarily by rising equity prices in non-U.S. markets.

 

Fixed income was also profitable. The falling yields drove performance in 2014. The Portfolio Funds were long fixed income markets across geographies and maturities at the start of 2015, even as yields were low in many areas. Yields fell further, with big moves registered in January, especially in Europe. These moves were in part due to the concerns over slow growth and deflation, and the easing bias adopted by many central banks as evidenced by rate cuts in several countries and the quantitative easing decision from the European Central Bank. Yields did come back up some in February, but were down again in March. Overall, the direction was downward and the moves benefited long positions, resulting in profits for trend followers.

 

Currencies were another profitable asset class. Following some big moves in the second half of 2014, the Portfolio Funds were broadly long the U.S. Dollar against most major foreign currencies, with especially large short exposure in the euro. The first quarter generally saw a continuation of the strong dollar trend. Continuing divergence across economies and monetary policy versus the U.S. led to the euro being down in the first quarter and many foreign currencies fell in tandem. These moves led to gains.

 

In commodities, there was a short bias across portfolios. Energy positions had been profitable in the latter part of 2014 as oil and related markets fell precipitously due to acute supply and demand imbalances. The moves in oil continued in January, but there was a choppy period in February when oil markets rebounded strongly, followed by another down leg in March. WTI crude oil was down over the first quarter and short positions made additional gains. In metals and agricultural markets, price moves were more mixed and there were some losses due to choppiness and an absence of strong trends. Sugar and nickel were two trending markets where the Portfolio Funds did make some money. Looking at the asset class as a whole, commodities attribution was roughly flat.

 

Overall, even as some trends have looked a little extended, market moves generally continued in the direction of existing trends during the first quarter. There were gains in fixed income, equity indices and FX. Commodities were close to flat. As a result, the first quarter was profitable for the Fund.

 

April 1, 2015 to June 30, 2015

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the Underlying Fund level and the allocation to each Underlying Fund as of June 30, 2015:

 

20



 

June 30, 2015

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

(635,948

)

33.18

%

Currencies - Futures

 

42,336

 

-2.21

%

Currencies - Forwards

 

(625,456

)

32.64

%

Energy

 

(153,526

)

8.01

%

Interest rates

 

379,848

 

-19.82

%

Metals

 

728,895

 

-38.03

%

Stock indices

 

(1,652,538

)

86.23

%

 

 

 

 

 

 

Total

 

$

(1,916,389

)

100

%

 

The Fund experienced a net trading loss for the second quarter ended June 30, 2015 of $22,497,075.

 

Returns were negative for each month of the second quarter, culminating in a challenging June for many Trading Advisors.

 

Reference herein to the Fund’s trading refer to such trading conducted, and portfolios held, through the Master Funds generally (provided that references with respect to April 2015 refer to the Fund’s trading conducted, and portfolios held, through the FuturesAccess Portfolio Funds generally).

 

The second quarter started off with reversals across asset classes and markets. With many trends appearing extended and mature coming into April, many sectors and markets reversed around at the same time. Markets were relatively quiet during May, with mixed performance in equities, slight weakness in fixed income and a rebound in the U.S. dollar against most major currencies.  Greece dominated the headlines in Europe, as markets speculated about the country’s ability to repay an IMF loan due in early June.  The uncertainty caused European equity markets, the euro, and European fixed income to finish May lower. Volatility towards the end of the second quarter due to low levels of liquidity, uncertainty over the outcome of the Greek referendum and the sharp reversal in the Chinese equity markets proved a difficult environment for many trend following managers.

 

Equities were mixed during the second quarter. In April equity indices were profitable for the Fund. Long exposures in the U.S. and Asia helped the asset class. May was mixed; however, Japanese exposure benefited the Fund. Equities were a meaningful detractor during June with long positions across all regions adding to the negative results.

 

Fixed income detracted from performance during the second quarter. Yields reversed in April and began to rise from the low levels they had reached in March. Poor growth numbers in the United States, the possibility that rate hikes might be delayed and better economic performance in Europe all contributed to negative performance. Poor performance continued in May as long exposure in German bunds, U.S. treasuries and Japanese government bonds generated losses. Fixed income was a minor detractor during June with gains in U.S. bonds, French Obligations Assimilables du Trésor, Italian Buoni del Tesoro Poliennalis and German bunds not being sufficient to fully offset losses in Japanese government bonds and British gilts.

 

21



 

In currencies, the U.S. dollar experienced a big reversal to start the second quarter, falling against several foreign currencies. Short positions in the Euro and Japanese yen were the worst hit. However, currencies were a leading contributor during May as the U.S. dollar reversed and benefited trend following managers. This was most noticeable against the Euro and Japanese yen. Currencies ended the quarter negative with Japanese yen and Euro shorts accounting for significant losses during June.

 

In commodities, a weaker U.S. Dollar coupled with an improving growth outlook in Europe led to higher energy prices. Short positions suffered losses as a result during April. Some other sectors such as industrial metals and softs also experienced reversals from the prevailing trend and added to losses. Shorts in softs and energies were a major detractor during June.

 

In terms of positioning, overall risk levels were reduced during the end of the second quarter. In commodities, the Trading Advisors remain broadly short most subsectors. Equities positions have been cut on the back of the losses and the level of exposure has come down relative to the end of May. Exposure to foreign exchange has increased slightly with long British pound and short Euro and short Japanese yen being the main areas of risk concentration. Long fixed income positioning continues to edge towards the lower end of the range.

 

January 1, 2014 to March 31, 2014

 

January 1, 2014 to March 31, 2014

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of March 31, 2014:

 

March 31, 2014

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

2,117,741

 

47.63

%

Currencies - Futures

 

95,667

 

2.15

%

Currencies - Forwards

 

828,532

 

18.63

%

Energy

 

(186,834

)

-4.20

%

Interest rates

 

253,043

 

5.69

%

Metals

 

(205,062

)

-4.61

%

Stock indices

 

1,543,252

 

34.71

%

 

 

 

 

 

 

Total

 

$

4,446,339

 

100

%

 

The Fund experienced a net trading loss for the first quarter ended March 31, 2014 of $11,853,647.

 

References herein to the Fund’s trading and portfolio refer to such trading conducted, and portfolio held, through the Fund’s Portfolio Funds.  References herein to the trading and portfolio of the Portfolio Funds refer to such trading and portfolios generally.

 

22



 

In equity indices, the Portfolio Funds came into the first quarter with long exposure, given the strong rally in global equity prices during 2013. Positioning was greatest in U.S. and European indices. The upward trend in equities did not continue in the first quarter. Markets quickly reversed in January, rallied back in February, then showed some v-shaped moves in March. They generally ended the quarter not far from where they began, but the reversals and choppiness proved costly to trend followers, making equity indices the worst performing asset class.

 

Commodities also performed poorly in the first quarter. The Portfolio Funds had long positions in energies and industrial metals, but short positions in grains and precious metals coming into the first quarter. Commodities fell in January, rallied in February, and then fell again in March, exhibiting reversals and several directional shifts along the way. The largest losses were incurred in the energy sector.

 

In currencies, the Portfolio Funds had mixed positioning coming into the first quarter. Long positions in European currencies like the Euro, British Pound and Swiss Franc were balanced against short positions in the Japanese Yen, Canadian Dollar and Australian Dollar. The downward trend in the Japanese Yen continued for part of the quarter and Portfolio Funds made money, but there were reversals in the remaining major currency positions, leading to small losses.

 

In fixed income, the Portfolio Funds had long positioning in both interest rates and bonds. Fixed income proved to be the only profitable asset class. Yields generally moved lower over the course of the first quarter. The moves were not very large, but they benefited long positions.

 

In summary, the first quarter saw reversals in several asset classes. Trends in equity indices, commodities and many currency markets were interrupted. With market moves going against positioning, the Portfolio Funds saw losses in those asset classes. Gains in fixed income markets only partially made up for the losses.

 

April 1, 2014 to June 30, 2014

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of June 30, 2014:

 

23



 

June 30, 2014

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

335,233

 

5.58

%

Currencies - Futures

 

543,442

 

9.05

%

Currencies - Forwards

 

(53,380

)

-0.89

%

Energy

 

701,193

 

11.67

%

Interest rates

 

3,178,992

 

52.91

%

Metals

 

286,607

 

4.77

%

Stock indices

 

1,016,048

 

16.91

%

 

 

 

 

 

 

Total

 

$

6,008,135

 

100

%

 

The Fund experienced a net trading profit for the quarter ended June 30, 2014 of $10,442,875.

 

References herein to the Fund’s trading and portfolio refer to such trading conducted, and portfolios held, through the Portfolio Funds.  Reference herein to the trading and portfolios of the Portfolio Funds refer to such trading and portfolios generally.

 

The Fund gained 3.9% for the second quarter. Returns were positive for most Portfolio Funds during the second quarter. Continuing trends in equity indices and fixed income drove performance. Choppiness and some reversals in currencies and commodities minimally offset those gains.

 

In equities, the Portfolio Funds came into the second quarter with long exposure, with positions across geographies. While the first quarter had not necessarily seen the strong upward trends in global equity prices continue, there had not been any significant reversals either. As such, trend followers generally kept their positioning from year end. Exposures were greatest in U.S. and European indices. The upward trend in equities resumed to some extent in the second quarter with many markets rising in late April. These moves were beneficial to long positions. The asset class had losses in April, but was profitable in both May and June as markets rose.

 

In fixed income, the Portfolio Funds had long positioning within both rates and bonds given falling yields in the first quarter. Yields generally moved lower still in April and May and in several markets in June as well. These moves benefited long positions held by trend followers. Fixed income proved to be the most profitable asset class for the second quarter, generating gains in all three months.

 

In currencies, the Portfolio Funds lost money. The U.S. Dollar exhibited somewhat choppy moves, falling in April, rising in May and falling again in June. The Portfolio Funds were profitable trading the British Pound, but lost money in their Japanese Yen and Euro exposures. Losses in April and May were somewhat made up for by gains in June.

 

Commodity trading was difficult and generally contributed to losses. Oil markets were down initially before recovering in the second half of the second quarter on heightened concerns over the disruption of supply in Iraq. Long positions generally made money. Natural gas saw a reversal later in the quarter, falling as stock levels and the weather outlook improved, resulting in some losses. Larger losses came from the agricultural sector and especially grains. With several negative supply effects such as drought conditions and tensions in Ukraine dissipating, these markets reversed and fell, leading to losses on long positions. Metal markets also shifted direction several times, depending on strength in the Chinese economy, production levels and safe-haven demand, leading to additional losses.

 

24



 

In summary, equity and fixed income trends continued in the second quarter. Energy markets were also profitable. On the other hand, there was some choppiness in currencies and several commodity sectors such as grains and metals suffered mild reversals which detracted from performance. Overall, the gains outweighed losses and the quarter was profitable for the Fund.

 

(The Fund 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

 

Introduction

 

The FuturesAccess Portfolio Funds and the Underlying Funds are speculative commodity pools. The market sensitive instruments held by the FuturesAccess Portfolio Funds and the Underlying Funds are acquired for speculative trading purposes and all or substantially all of the FuturesAccess Portfolio Funds and the Underlying Funds’ assets are subject to the risk of trading loss.  Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Underlying Funds’ main line of business.

 

Market movements result in frequent changes in the fair market value of the FuturesAccess Portfolio Funds and the Underlying Funds’ open positions and, consequently, in their earnings and cash flows. The FuturesAccess Portfolio Funds and the Underlying Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the FuturesAccess Portfolio Funds and the Underlying Funds’ open positions and the liquidity of the markets in which they trade.

 

The FuturesAccess Portfolio Funds and the Underlying Funds, under the direction of their respective Trading Advisors rapidly acquire and liquidate both long and short positions in a wide range of different markets.  Consequently, it is not possible to predict how a possible future market scenario will affect performance and the Fund’s and the FuturesAccess Portfolio Funds and the Underlying Funds’ past performance is not necessarily indicative of future results.

 

Value at Risk (“VaR”) is a measure of the maximum amount which the Fund and the FuturesAccess Portfolio Funds and the Underlying Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s and the FuturesAccess Portfolio Funds and the Underlying Funds’ speculative trading and the recurrence in the markets traded by the Fund, the FuturesAccess Portfolio Funds and the Underlying Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Fund’s and the FuturesAccess Portfolio Funds and the Underlying Funds’ experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Fund’s and the FuturesAccess Portfolio Funds and the Underlying Funds’ losses in any market sector will be limited to VaR or by the Fund’s and the FuturesAccess Portfolio Funds and the Underlying Funds’ attempts to manage market risk.

 

25



 

Quantifying the Fund’s Trading Value at Risk

 

Quantitative Forward Looking Statements

 

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”.) All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

 

The Fund’s risk exposure in the various market sectors traded by the FuturesAccess Portfolio Funds and the Underlying Funds is quantified below in terms of VaR. Due to the Underlying Funds’ fair value accounting, any loss in the fair value of the Underlying Funds’ open positions is directly reflected in the Underlying Funds’ earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

 

Prior to May 1, 2015, exchange maintenance margin requirements have been used by the FuturesAccess Portfolio Funds as the measure of their VaR.  Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95% to 99% of the one-day time periods included in the historical sample (approximately one year, generally) researched for purposes of establishing margin levels.  The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.  In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the FuturesAccess Portfolio Funds), the margin requirements for the equivalent futures positions have been used as VaR.  In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.  During the period prior to May 1, 2015, 100% positive correlation in the different positions held in each market risk category has been assumed.  Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate VaR.  The diversification effects (which would reduce the VaR estimates) resulting from the fact that the FuturesAccess Portfolio Funds’ positions were rarely, if ever, 100% positively correlated, were not reflected during this time period.

 

On and after May 1, 2015, VaR was calculated for each Underlying Fund by first calculating VaR with respect to each Master Fund and adjusting based on the Underlying Fund’s pro-rata ownership of the Master Fund.  VaR of the Master Funds is based on a one day 99% Monte Carlo model VaR utilizing 1,000 simulations.  The sector breakdown of VaR for each Master Fund is based on an incremental VaR calculated for each position that is aggregated across each of the sectors presented below.

 

There are various ways of calculating VaR, and each methodology will not yield the same result.  Differences between VaR methodologies could be material as the underlying assumptions will vary.

 

The Underlying Funds’ Trading Value at Risk in Different Market Sectors

 

The following information with respect to VaR is set forth in respect of the Underlying Funds separately, rather than for the Fund.

 

26



 

The following tables indicate the average, highest, and lowest trading VaR associated with the FuturesAccess Portfolio Funds and the Underlying Funds’ open positions by market category for the six month periods ended June 30, 2015 and 2014. (For initial Underlying Fund investments made during the period, VaR is calculated starting from the commencement of the holding.)

 

Aspect DS (1) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

543,879

 

2.24

%

$

720,573

 

$

156,090

 

Currencies

 

485,971

 

2.01

%

1,004,655

 

280,131

 

Energy

 

205,769

 

0.85

%

379,796

 

132,210

 

Interest Rates

 

887,875

 

3.67

%

973,255

 

813,515

 

Metals

 

163,258

 

0.67

%

339,839

 

93,411

 

Stock Indices

 

159,818

 

0.66

%

219,055

 

125,332

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

2,446,570

 

10.10

%

$

3,637,173

 

$

1,600,689

 

 


(1) Average capitalization of Aspect Class DS was $24,217,973.

* Aspect redeemed as of April 30, 2015.

 

BlueTrend DS (2) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

122,456

 

0.34

%

$

384,364

 

$

29,501

 

Currencies

 

893,239

 

2.53

%

1,859,704

 

479,274

 

Energy

 

219,718

 

0.62

%

305,405

 

32,721

 

Interest Rates

 

1,683,631

 

4.74

%

2,429,552

 

3,242

 

Metals

 

111,620

 

0.31

%

146,717

 

83,857

 

Stock Indices

 

413,534

 

1.16

%

463,806

 

332,988

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

3,444,198

 

9.70

%

$

5,589,548

 

$

961,583

 

 


(2) Average capitalization of BlueTrend Class DS was $35,498,838.

* BlueTrend redeemed as of April 30, 2015.

 

John Locke DS (3) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

1,189,626

 

4.88

%

$

1,258,388

 

$

1,052,845

 

Currencies

 

38,559

 

0.16

%

40,787

 

34,125

 

Energy

 

220,250

 

0.90

%

232,981

 

194,926

 

Interest Rates

 

1,723,369

 

7.07

%

1,822,982

 

1,525,219

 

Metals

 

262,751

 

1.08

%

277,938

 

232,540

 

Stock Indices

 

241,105

 

0.99

%

255,041

 

213,383

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

3,675,660

 

15.08

%

$

3,888,117

 

$

3,253,038

 

 


(3) Average capitalization of John Locke Class DS was $24,336,141.

* John Locke redeemed as of April 30, 2015.

 

27



 

Lynx DS (4) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

807,721

 

2.44

%

$

1,178,332

 

$

11,089

 

Currencies

 

69,933

 

0.21

%

85,323

 

58,253

 

Energy

 

249,568

 

0.75

%

349,352

 

43,665

 

Interest Rates

 

2,109,893

 

6.39

%

2,979,873

 

297,054

 

Metals

 

213,437

 

0.64

%

289,286

 

63,272

 

Stock Indices

 

623,944

 

1.88

%

1,111,938

 

414,656

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

4,074,496

 

12.31

%

$

5,994,104

 

$

887,989

 

 


(4) Average capitalization of Lyns Class DS was $33,102,183.

* Lynx redeemed as of April 30, 2015.

 

Transtrend DS (5) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

1,719,219

 

4.87

%

$

2,438,783

 

$

241,557

 

Currencies

 

298,297

 

0.84

%

702,840

 

150,284

 

Energy

 

275,614

 

0.78

%

301,361

 

245,525

 

Interest Rates

 

1,583,766

 

4.49

%

1,950,399

 

1,028,515

 

Metals

 

116,112

 

0.33

%

281,383

 

56,107

 

Stock Indices

 

758,297

 

2.15

%

887,668

 

618,065

 

Others

 

143,713

 

0.41

%

143,713

 

143,713

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

4,895,018

 

13.87

%

$

6,706,147

 

$

2,483,766

 

 


(5) Average capitalization of Transtrend Class DS was $35,315,715.

* Transtrend redeemed as of April 30, 2015.

 

Tudor Tensor DS (6) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

447,314

 

1.83

%

$

628,215

 

$

567,932

 

Currencies

 

250,250

 

1.03

%

351,455

 

317,730

 

Energy

 

8,935

 

0.04

%

12,548

 

11,344

 

Interest Rates

 

278,368

 

1.14

%

390,945

 

353,431

 

Metals

 

1,258,617

 

5.16

%

1,571,426

 

558,800

 

Stock Indices

 

123,826

 

0.51

%

173,904

 

157,216

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

2,367,310

 

9.71

%

$

3,128,493

 

$

1,966,453

 

 


(6) Average capitalization of Tudor Tensor Class DS was $24,390,855.

* Tudor Tensor redeemed as of April 30, 2015.

 

28



 

Winton DS (7) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

304,057

 

0.69

%

$

419,487

 

$

122,260

 

Currencies

 

537,387

 

1.21

%

1,819,461

 

84,999

 

Energy

 

305,886

 

0.69

%

668,557

 

142,914

 

Interest Rates

 

1,528,473

 

3.45

%

2,163,220

 

472,487

 

Metals

 

380,153

 

0.86

%

459,897

 

308,843

 

Stock Indices

 

197,131

 

0.45

%

263,266

 

101,960

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

3,253,087

 

7.35

%

$

5,793,888

 

$

1,233,463

 

 


(7) Average capitalization of Winton Class DS was $44,253,768.

* Winton redeemed as of April 30, 2015.

 

Blakeney (8) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

13,239

 

0.08

%

$

20,504

 

$

5,972

 

Energy

 

39,787

 

0.25

%

57,151

 

22,423

 

Interest Rates

 

43,288

 

0.27

%

82,759

 

3,818

 

Metals

 

27,154

 

0.17

%

43,547

 

10,761

 

Stock Indices

 

192,513

 

1.21

%

196,113

 

188,913

 

Currencies

 

74,978

 

0.47

%

81,874

 

68,083

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

390,959

 

2.45

%

$

481,948

 

$

299,970

 

 


(8) Average capitalization of Blakeney is $15,855,781.

* Blakeney added in May 2015.

 

Campbell (9) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

149,773

 

0.58

%

$

266,227

 

$

33,319

 

Energy

 

27,064

 

0.10

%

51,154

 

2,974

 

Interest Rates

 

30,456

 

0.12

%

33,048

 

27,865

 

Metals

 

188,572

 

0.73

%

347,565

 

29,579

 

Stock Indices

 

159,467

 

0.61

%

230,333

 

88,602

 

Currencies

 

444,460

 

1.71

%

466,861

 

422,058

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

999,792

 

3.85

%

$

1,395,188

 

$

604,397

 

 


(9) Average capitalization of Campbell is $25,969,861.

* Campbell added in May 2015.

 

29



 

Carlisle (10) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

54,080

 

0.35

%

$

68,192

 

$

39,968

 

Energy

 

32,337

 

0.21

%

46,965

 

17,709

 

Interest Rates

 

31,064

 

0.20

%

42,640

 

19,487

 

Metals

 

76,199

 

0.49

%

147,925

 

4,473

 

Stock Indices

 

328,304

 

2.12

%

382,070

 

274,540

 

Currencies

 

94,229

 

0.61

%

94,275

 

94,184

 

Other

 

59,146

 

0.38

%

86,143

 

32,147

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

675,359

 

4.36

%

$

868,210

 

$

482,508

 

 


(10) Average capitalization of Carlisle is $15,504,880.

* Carlisle added in May 2015.

 

CCPCore Macro (11) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

21,285

 

0.16

%

$

31,773

 

$

10,797

 

Energy

 

17,865

 

0.14

%

18,869

 

16,861

 

Interest Rates

 

21,821

 

0.17

%

37,880

 

5,762

 

Metals

 

20,135

 

0.15

%

35,026

 

5,244

 

Stock Indices

 

273,361

 

2.08

%

304,273

 

242,449

 

Currencies

 

65,813

 

0.50

%

83,455

 

48,171

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

420,280

 

3.20

%

$

511,276

 

$

329,284

 

 


(11) Average capitalization of CCPCore Macro is $13,135,329.

* CCPCore Macro added in May 2015.

 

Quantica MF(12) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

26,297

 

0.11

%

$

28,200

 

$

24,393

 

Energy

 

11,260

 

0.05

%

16,594

 

5,927

 

Interest Rates

 

43,201

 

0.18

%

48,025

 

38,376

 

Metals

 

2,001

 

0.01

%

3,119

 

884

 

Stock Indices

 

499,381

 

2.13

%

549,858

 

448,903

 

Currencies

 

58,813

 

0.25

%

71,859

 

45,768

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

640,953

 

2.73

%

$

717,655

 

$

564,251

 

 


(12) Average capitalization of Quantica MF is $23,448,082.

* Quantica MF added in May 2015.

 

30



 

Silver (13) *

 

 

 

June 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

35,962

 

0.15

%

$

43,749

 

$

28,174

 

Energy

 

22,455

 

0.09

%

39,626

 

5,284

 

Interest Rates

 

49,592

 

0.21

%

53,229

 

45,955

 

Metals

 

46,761

 

0.20

%

92,467

 

1,056

 

Stock Indices

 

354,262

 

1.48

%

490,108

 

218,417

 

Currencies

 

168,798

 

0.71

%

183,763

 

153,832

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

677,830

 

2.84

%

$

902,942

 

$

452,718

 

 


(13) Average capitalization of Silver is $23,861,721.

* Silver added in May 2015.

 

Aspect DS (1) *

 

 

 

June 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

396,532

 

1.52

%

$

776,764

 

$

78,350

 

Energy

 

180,965

 

0.70

%

319,405

 

66,790

 

Interest Rates

 

826,374

 

3.17

%

1,297,702

 

344,468

 

Metals

 

287,475

 

1.10

%

330,446

 

257,808

 

Stock Indices

 

677,125

 

2.60

%

941,720

 

474,039

 

Currencies

 

201,822

 

0.78

%

389,007

 

45,486

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

2,570,293

 

9.87

%

$

4,055,044

 

$

1,266,941

 

 


(1) Average capitalization of Aspect Class DS was $26,037,414.

 

BlueTrend DS (2) *

 

 

 

June 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

923,733

 

2.21

%

$

1,352,379

 

$

449,788

 

Energy

 

438,695

 

1.06

%

755,791

 

233,863

 

Interest Rates

 

1,060,509

 

2.54

%

1,769,234

 

609,001

 

Metals

 

124,842

 

0.30

%

201,954

 

49,456

 

Stock Indices

 

650,930

 

1.56

%

1,326,936

 

96,019

 

Currencies

 

1,145,434

 

2.74

%

1,650,348

 

573,462

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

4,344,143

 

10.41

%

$

7,056,642

 

$

2,011,589

 

 


(2) Average capitalization of BlueTrend Class DS was $41,801,272.

 

31



 

John Locke DS (3) *

 

 

 

June 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

1,139,420

 

4.35

%

$

1,973,890

 

$

354,625

 

Energy

 

163,509

 

0.62

%

343,274

 

2,466

 

Interest Rates

 

520,461

 

1.99

%

1,045,672

 

50,893

 

Metals

 

400,626

 

1.53

%

520,324

 

283,650

 

Stock Indices

 

785,482

 

3.00

%

1,096,769

 

486,034

 

Currencies

 

650,975

 

2.48

%

1,091,099

 

262,233

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

3,660,473

 

13.97

%

$

6,071,028

 

$

1,439,901

 

 


(3) Average capitalization of John Locke Class DS was $26,208,715.

 

Lynx DS (4) *

 

 

 

June 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

892,605

 

2.94

%

$

1,149,998

 

$

778,171

 

Energy

 

305,329

 

1.00

%

605,597

 

48,094

 

Interest Rates

 

1,268,569

 

4.17

%

2,593,058

 

138,334

 

Metals

 

992,727

 

3.27

%

1,286,152

 

702,017

 

Stock Indices

 

574,861

 

1.89

%

1,326,223

 

49,392

 

Currencies

 

758,321

 

2.49

%

1,092,608

 

448,239

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

4,792,412

 

15.76

%

$

8,053,636

 

$

2,164,247

 

 


(4) Average capitalization of Lyns Class DS was $30,403,280.

 

Transtrend DS (5) *

 

 

 

June 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

1,795,177

 

4.46

%

$

2,578,189

 

$

1,227,633

 

Energy

 

1,215,830

 

3.02

%

2,241,297

 

304,193

 

Interest Rates

 

1,046,122

 

2.60

%

1,555,795

 

672,243

 

Metals

 

221,798

 

0.55

%

356,217

 

100,870

 

Stock Indices

 

600,319

 

1.49

%

829,187

 

437,184

 

Currencies

 

1,422,369

 

3.54

%

1,816,303

 

1,155,744

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

6,301,615

 

15.66

%

$

9,376,988

 

$

3,897,867

 

 


(5) Average capitalization of Transtrend Class DS was $40,217,326.

 

Tudor Tensor DS (6) *

 

 

 

June 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

423,689

 

1.62

%

$

793,444

 

$

187,654

 

Energy

 

361,967

 

1.38

%

479,343

 

216,949

 

Interest Rates

 

323,553

 

1.23

%

520,900

 

126,305

 

Metals

 

670,291

 

2.56

%

1,098,617

 

247,401

 

Stock Indices

 

388,572

 

1.48

%

848,970

 

87,279

 

Currencies

 

525,159

 

2.00

%

712,222

 

302,493

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

2,693,231

 

10.27

%

$

4,453,496

 

$

1,168,081

 

 


(6) Average capitalization of Tudor Tensor Class DS was $26,205,141.

 

32



 

Winton DS (7) *

 

 

 

June 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

 

 

Value at Risk

 

Capitalization

 

at Risk

 

at Risk

 

Agricultural Commodities

 

$

1,324,173

 

2.88

%

$

1,597,962

 

$

985,857

 

Energy

 

112,785

 

0.25

%

130,089

 

89,290

 

Interest Rates

 

816,471

 

1.78

%

1,541,124

 

175,588

 

Metals

 

479,571

 

1.04

%

600,780

 

385,687

 

Stock Indices

 

638,415

 

1.39

%

975,763

 

293,670

 

Currencies

 

327,002

 

0.71

%

393,017

 

278,422

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

3,698,417

 

8.05

%

$

5,238,735

 

$

2,208,514

 

 


(7) Average capitalization of Winton Class DS was $45,978,400.

 

Material Limitations on Value at Risk as an Assessment of Market Risk

 

The face value of the market sector instruments held by the Fund and the Underlying Funds are typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund and the Underlying Funds.  The magnitude of the Fund’s and the Underlying Funds’ open positions creates a “risk of ruin” not typically found in most other investment vehicles.  Because of the size of their positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund and the Underlying Funds to incur severe losses over a short period of time.  The foregoing VaR table — as well as the past performance of the Fund and the Underlying Funds — gives no indication of this “risk of ruin.”

 

Non-Trading Risk

 

The Underlying Funds have non-trading market risk on foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are generally immaterial.

 

These Underlying Funds also have non-trading market risk on their assets which are held in cash at the clearing broker. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

The following qualitative disclosures regarding the Fund’s market risk exposures through the Underlying Funds after the change in structure — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well as the strategies used and to be used by FRM and the Trading Advisors of the Underlying Funds for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the risk controls for the Fund and for the trading conducted through Underlying Funds to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the value of their investment in the Fund.

 

33



 

Qualitative Disclosures Regarding Means of Managing Risk Exposure

 

Each Underlying Fund (inclusive of its related Master Fund) and its Trading Advisor are monitored by FRM’s investment team.  This coverage is intended to ensure that each Underlying Fund and its Trading Advisor are monitored by individuals who have an in-depth understanding of the Underlying Fund and its Trading Advisor, as well as knowledge of the market environment affecting that particular strategy.

 

Item 4. Controls and Procedures

 

Disclosure Controls and Procedures

 

FRM’s President and Principal Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of the end of the quarter which ended June 30, 2015, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

 

Changes in Internal Control over Financial Reporting

 

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended June 30, 2015 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

 

PART II — OTHER INFORMATION

 

Item 1.                               Legal Proceedings

 

None.

 

Item 1A.                      Risk Factors

 

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2014, filed with the Securities and Exchange Commission on March 20, 2015.

 

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

 

(a)           Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder.  The selling agent of the Units was MLPF&S.

 

CLASS A

 

 

 

Subscription

 

 

 

Amount

 

Units

 

 

 

 

 

 

 

April 1, 2015

 

$

114,840

 

89,537

 

 

34



 

CLASS C

 

 

 

Subscription

 

 

 

Amount

 

Units

 

 

 

 

 

 

 

April 1, 2015

 

$

42,000

 

33,920

 

 

 

 

 

 

 

April 16, 2015

 

$

5,000

 

3,990

 

 

CLASS I

 

 

 

Subscription

 

 

 

Amount

 

Units

 

 

 

 

 

 

 

April 1, 2015

 

$

215,000

 

155,594

 

 

Class A Units were subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investor’s gross subscription amount.  Class I Units were subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investor’s gross subscription amount. Sales commissions were directly deducted from subscription amounts.  Class C Units were not subject to upfront sales commissions.

 

(b)         Not applicable.

 

(c)          Not applicable.

 

Item 3.                               Defaults Upon Senior Securities

 

None.

 

Item 4.                               Mine Safety Disclosures

 

Not applicable.

 

Item 5.                               Other Information

 

None.

 

Item 6.                               Exhibits

 

31.01 and

31.02                                           Rule 13a-14(a)/15d-14(a) Certifications

 

Exhibit 31.01

and 31.02:               Are filed herewith.

 

32.01 and

32.02                                           Section 1350 Certifications

 

Exhibit 32.01

and 32.02                   Are filed herewith.

 

Exhibit 101   Are filed herewith.

 

35



 

The following materials from the Fund’s quarterly Report on Form 10-Q for the three and six month periods ended June 30, 2015 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

 

36



 

SIGNATURES

 

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

 

 

 

 

MAN FRM MANAGED FUTURES STRATEGIES LLC

 

 

 

 

 

 

By:

FRM INVESTMENT

 

 

MANAGEMENT (USA) LLC

 

 

(Manager)

 

 

 

 

 

 

Date: Aug 13, 2015

By:

/s/ Michelle McCloskey

 

 

Michelle McCloskey

 

 

President

 

 

(Principal Executive Officer)

 

 

 

 

 

 

Date: Aug 13, 2015

By:

/s/ Linzie Steinbach

 

 

Linzie Steinbach

 

 

Principal Financial Officer

 

37