Attached files

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EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLCa15-12022_1ex31d02.htm
EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLCa15-12022_1ex32d02.htm
EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLCa15-12022_1ex31d01.htm
EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLCa15-12022_1ex32d01.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 0-51084

 

ML WINTON FUTURESACCESS LLC

(Exact name of registrant as specified in its charter)

 

Delaware

 

20-1227904

(State or other jurisdiction of

 

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

incorporation or organization)

 

 

 

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

 

609-274-5838

(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, 699,341,621 units of limited liability company interest were outstanding.

 

 

 




 

PART I - FINANCIAL INFORMATION

 

Item 1.                                 Financial Statements

 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

June, 30

 

December 31,

 

 

 

2015

 

2014

 

ASSETS:

 

 

 

 

 

Equity in commodity trading accounts:

 

 

 

 

 

Cash (including restricted cash of $79,640,401 for 2015 and $70,036,099 for 2014)

 

$

1,045,116,061

 

$

980,824,673

 

Unrealized profit on open futures contracts

 

18,236,711

 

44,175,968

 

Unrealized profit on open forwards contracts

 

4,605,556

 

4,533,927

 

Cash and cash equivalents

 

579,694

 

704,200

 

Other assets

 

8,881

 

32,960

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

1,068,546,903

 

$

1,030,271,728

 

 

 

 

 

 

 

LIABILITIES AND MEMBERS’ CAPITAL:

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Brokerage commissions payable

 

$

6,977

 

$

6,232

 

Sponsor and Advisory fees payable

 

2,859,120

 

23,352,515

 

Redemptions payable

 

2,855,244

 

2,759,503

 

Unrealized loss on open futures contracts

 

22,502,314

 

13,528,343

 

Unrealized loss on open forwards contracts

 

2,656,112

 

9,079,528

 

Other liabilities

 

602,572

 

460,550

 

 

 

 

 

 

 

Total liabilities

 

31,482,339

 

49,186,671

 

 

 

 

 

 

 

MEMBERS’ CAPITAL:

 

 

 

 

 

Members’ Capital (699,341,621 Units and 593,821,837 Units outstanding; unlimited Units authorized)

 

1,037,064,564

 

981,085,057

 

Total members’ capital

 

1,037,064,564

 

981,085,057

 

 

 

 

 

 

 

TOTAL LIABILITIES AND MEMBERS’ CAPITAL

 

$

1,068,546,903

 

$

1,030,271,728

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

Class A

 

$

1.8757

 

$

1.9392

 

Class C

 

$

1.6919

 

$

1.7580

 

Class D

 

$

2.0204

 

$

2.0732

 

Class I

 

$

1.9402

 

$

2.0018

 

Class DS*

 

$

 

$

2.0706

 

Class DT

 

$

2.1672

 

$

2.2127

 

Class M

 

$

1.1352

 

$

1.1649

 

Class F

 

$

1.1192

 

$

1.1433

 

Class F1

 

$

1.1468

 

$

1.1715

 

Class DI

 

$

0.9485

 

$

 

 


**Units fully redeemed as of April 30, 2015.

See notes to financial statements.

 

1



 

ML WINTON FUTURESACCESS LLC

 

(A Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the three
months ended

 

For the three
months ended

 

For the six months
ended

 

For the six months
ended

 

 

 

June 30, 2015

 

June 30, 2014

 

June 30, 2015

 

June 30, 2014

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

Realized, net

 

$

(44,113,717

)

$

48,611,713

 

$

22,455,569

 

$

61,294,097

 

Change in unrealized, net

 

(25,974,244

)

(552,607

)

(28,418,183

)

(13,577,777

)

Brokerage commissions

 

(306,071

)

(298,846

)

(565,971

)

(614,274

)

 

 

 

 

 

 

 

 

 

 

Total trading profit (loss), net

 

(70,394,032

)

47,760,260

 

(6,528,585

)

47,102,046

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

Interest, net

 

(11,357

)

(176,952

)

(12,468

)

(312,133

)

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Management fee

 

5,154,795

 

4,597,225

 

10,342,925

 

9,200,743

 

Sponsor fee

 

3,627,064

 

3,493,408

 

7,269,384

 

7,080,230

 

Performance fee

 

 

7,408,654

 

11,590,474

 

7,408,667

 

Other

 

755,328

 

475,368

 

1,310,095

 

1,047,760

 

Total expenses

 

9,537,187

 

15,974,655

 

30,512,878

 

24,737,400

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(9,548,544

)

(16,151,607

)

(30,525,346

)

(25,049,533

)

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS)

 

$

(79,942,576

)

$

31,608,653

 

$

(37,053,931

)

$

22,052,513

 

 

 

 

 

 

 

 

 

 

 

NET INCOME (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of Units outstanding

 

 

 

 

 

 

 

 

 

Class A

 

64,215,771

 

77,901,587

 

64,134,961

 

82,250,631

 

Class C

 

273,285,615

 

278,356,038

 

269,340,663

 

282,111,340

 

Class D

 

35,827,904

 

39,733,197

 

35,787,677

 

42,838,575

 

Class I

 

32,005,794

 

36,763,960

 

31,586,409

 

41,479,856

 

Class DS**

 

20,422,359

 

25,052,090

 

20,935,317

 

25,518,422

 

Class DT

 

5,062,849

 

6,279,674

 

5,197,131

 

6,662,944

 

Class M

 

99,680,862

 

88,286,175

 

97,345,744

 

74,221,797

 

Class F

 

46,520,691

 

46,520,691

 

46,520,691

 

46,520,691

 

Class F1

 

32,348,368

 

32,348,368

 

32,348,368

 

32,348,368

 

Class DI*

 

106,421,060

 

 

105,408,541

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average Unit

 

 

 

 

 

 

 

 

 

Class A

 

$

(0.1438

)

$

0.0580

 

$

(0.0638

)

$

0.0369

 

Class C

 

$

(0.1341

)

$

0.0483

 

$

(0.0690

)

$

0.0274

 

Class D

 

$

(0.1473

)

$

0.0692

 

$

(0.0539

)

$

0.0520

 

Class I

 

$

(0.1465

)

$

0.0601

 

$

(0.0647

)

$

0.0365

 

Class DS**

 

$

(0.0763

)

$

0.0676

 

$

0.0195

 

$

0.0527

 

Class DT

 

$

(0.1547

)

$

0.0780

 

$

(0.0394

)

$

0.0621

 

Class M

 

$

(0.0824

)

$

0.0381

 

$

(0.0330

)

$

0.0398

 

Class F

 

$

(0.0783

)

$

0.0393

 

$

(0.0242

)

$

0.0356

 

Class F1

 

$

(0.0802

)

$

0.0402

 

$

(0.0247

)

$

0.0365

 

Class DI*

 

$

(0.0686

)

$

 

$

(0.0520

)

$

 

 


* Units issued on February 1, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period February 1, 2015 to June 30, 2015.)

**Units fully redeemed as of April 30, 2015. (Presentation of weighted average units outstanding and net income (loss) per weighted average units for this share class is for the period January 1, 2015 to April 30, 2015.)

See notes to financial statements.

 

2



 

ML WINTON 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

 

89,279,211

 

4,212,662

 

(19,322,754

)

74,169,119

 

64,145,923

 

3,292,338

 

(3,408,790

)

64,029,471

 

Class C

 

289,256,969

 

25,162,964

 

(40,007,865

)

274,412,068

 

265,575,955

 

23,012,525

 

(9,068,342

)

279,520,138

 

Class D

 

46,696,897

 

2,323,418

 

(14,074,121

)

34,946,194

 

35,322,377

 

888,820

 

(1,729,806

)

34,481,391

 

Class I

 

47,689,327

 

2,069,490

 

(15,978,433

)

33,780,384

 

31,155,649

 

2,260,975

 

(2,373,746

)

31,042,878

 

Class DS**

 

27,662,374

 

3,442,966

 

(7,934,746

)

23,170,594

 

21,211,500

 

217,903

 

(21,429,403

)

 

Class DT

 

7,308,839

 

 

(1,370,916

)

5,937,923

 

5,341,053

 

35,822

 

(670,631

)

4,706,244

 

Class M

 

46,183,286

 

46,483,663

 

(6,601,028

)

86,065,921

 

92,200,321

 

12,298,599

 

(4,143,626

)

100,355,294

 

Class F

 

46,520,691

 

 

 

46,520,691

 

46,520,691

 

 

 

46,520,691

 

Class F1

 

32,348,368

 

 

 

32,348,368

 

32,348,368

 

 

 

32,348,368

 

Class DI*

 

 

 

 

 

 

 

 

 

 

107,464,097

 

(1,126,951

)

106,337,146

 

Total Members’ Units

 

632,945,962

 

83,695,163

 

(105,289,863

)

611,351,262

 

593,821,837

 

149,471,079

 

(43,951,295

)

699,341,621

 

 


* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

See notes to financial statements.

 

3



 

ML WINTON 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

 

$

155,214,109

 

$

7,307,212

 

$

(33,630,164

)

$

3,035,960

 

$

131,927,117

 

$

124,393,069

 

$

6,490,036

 

$

(6,691,014

)

$

(4,090,213

)

$

120,101,878

 

Class C

 

460,460,237

 

39,867,813

 

(63,359,533

)

7,732,118

 

444,700,635

 

466,870,415

 

40,798,913

 

(16,173,183

)

(18,573,272

)

472,922,873

 

Class D

 

85,498,186

 

4,229,000

 

(25,996,651

)

2,225,822

 

65,956,357

 

73,228,701

 

1,875,100

 

(3,507,874

)

(1,930,518

)

69,665,409

 

Class I

 

85,244,114

 

3,673,218

 

(28,528,248

)

1,513,123

 

61,902,207

 

62,368,274

 

4,585,458

 

(4,682,082

)

(2,043,359

)

60,228,291

 

Class DS**

 

50,584,682

 

6,267,559

 

(14,519,670

)

1,344,453

 

43,677,024

 

43,919,926

 

463,567

 

(44,791,393

)

407,900

 

 

Class DT

 

14,111,527

 

 

(2,658,639

)

413,752

 

11,866,640

 

11,818,184

 

81,606

 

(1,495,502

)

(204,678

)

10,199,610

 

Class M

 

47,512,048

 

47,688,263

 

(6,879,557

)

2,950,699

 

91,271,453

 

107,401,709

 

14,539,000

 

(4,801,105

)

(3,214,122

)

113,925,482

 

Class F

 

46,554,511

 

 

 

1,656,403

 

48,210,914

 

53,188,258

 

 

 

(1,123,681

)

52,064,577

 

Class F1

 

33,169,991

 

 

 

1,180,183

 

34,350,174

 

37,896,521

 

 

 

(800,621

)

37,095,900

 

Class DI*

 

 

 

 

 

 

 

107,455,928

 

(1,114,017

)

(5,481,367

)

100,860,544

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Members’ Capital

 

$

978,349,405

 

$

109,033,065

 

$

(175,572,462

)

$

22,052,513

 

$

933,862,521

 

$

981,085,057

 

$

176,289,608

 

$

(83,256,170

)

$

(37,053,931

)

$

1,037,064,564

 

 


* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

See notes to financial statements.

 

4



 

ML WINTON 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 DS**

 

Class DT

 

Class M

 

Class F

 

Class F1

 

Class DI*

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period or at the time of offer

 

$

2.0193

 

$

1.8260

 

$

2.1669

 

$

2.0866

 

$

2.1642

 

$

2.3216

 

$

1.2176

 

$

1.1974

 

$

1.2270

 

$

1.0173

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.1247

)

(0.1127

)

(0.1340

)

(0.1289

)

(0.0726

)

(0.1437

)

(0.0753

)

(0.0741

)

(0.0760

)

(0.0629

)

Brokerage commissions

 

(0.0006

)

(0.0005

)

(0.0006

)

(0.0006

)

(0.0001

)

(0.0006

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0003

)

Interest income, net (c)

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

0.0000

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0183

)

(0.0209

)

(0.0119

)

(0.0169

)

(0.0040

)

(0.0101

)

(0.0068

)

(0.0038

)

(0.0039

)

(0.0056

)

Net asset value, before full redemption

 

1.8757

 

1.6919

 

2.0204

 

1.9402

 

2.0875

 

2.1672

 

1.1352

 

1.1192

 

1.1468

 

0.9485

 

Less redemption

 

 

 

 

 

2.0875

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.8757

 

$

1.6919

 

$

2.0204

 

$

1.9402

 

$

 

$

2.1672

 

$

1.1352

 

$

1.1192

 

$

1.1468

 

$

0.9485

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-7.11

%

-7.34

%

-6.76

%

-7.01

%

-3.54

%

-6.65

%

-6.77

%

-6.53

%

-6.54

%

-6.76

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Total return after Performance fees

 

-7.11

%

-7.34

%

-6.76

%

-7.01

%

-3.54

%

-6.65

%

-6.77

%

-6.53

%

-6.54

%

-6.76

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

0.94

%

1.19

%

0.57

%

0.84

%

0.55

%

0.44

%

0.57

%

0.32

%

0.32

%

0.57

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Expenses (including Performance fees)

 

0.94

%

1.19

%

0.57

%

0.84

%

0.55

%

0.44

%

0.57

%

0.32

%

0.32

%

0.57

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.94

%

-1.19

%

-0.57

%

-0.84

%

-0.55

%

-0.44

%

-0.57

%

-0.32

%

-0.32

%

-0.57

%

Performance fees

 

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

0.00

%

Net investment income (loss) (including Performance fees)

 

-0.94

%

-1.19

%

-0.57

%

-0.84

%

-0.55

%

-0.44

%

-0.57

%

-0.32

%

-0.32

%

-0.57

%

 


(a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual member’s return may vary from these returns based on timing of capital transactions.

(b) The expense ratios do not include brokerage commissions.

(c) Interest income, net is less than $0.0001 per Unit.

(d) The ratios and total return are not annualized.

 

* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

See notes to financial statements.

 

5



 

ML WINTON 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 DS**

 

Class DT

 

Class M

 

Class F

 

Class F1

 

Class DI*

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period or at the time of offer

 

$

1.9392

 

$

1.7580

 

$

2.0732

 

$

2.0018

 

$

2.0706

 

$

2.2127

 

$

1.1649

 

$

1.1433

 

$

1.1715

 

$

1.0000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

(0.0037

)

(0.0031

)

(0.0045

)

(0.0040

)

0.0567

 

(0.0053

)

(0.0025

)

(0.0027

)

(0.0027

)

(0.0374

)

Brokerage commissions

 

(0.0010

)

(0.0009

)

(0.0011

)

(0.0011

)

(0.0007

)

(0.0012

)

(0.0006

)

(0.0006

)

(0.0006

)

(0.0005

)

Interest income, net (c)

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

0.0000

 

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

(0.0000

)

Expenses

 

(0.0588

)

(0.0621

)

(0.0472

)

(0.0565

)

(0.0391

)

(0.0390

)

(0.0266

)

(0.0208

)

(0.0214

)

(0.0136

)

Net asset value, before full redemption

 

1.8757

 

1.6919

 

2.0204

 

1.9402

 

2.0875

 

2.1672

 

1.1352

 

1.1192

 

1.1468

 

0.9485

 

Less redemption

 

 

 

 

 

2.0875

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.8757

 

$

1.6919

 

$

2.0204

 

$

1.9402

 

$

 

$

2.1672

 

$

1.1352

 

$

1.1192

 

$

1.1468

 

$

0.9485

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

-2.15

%

-2.63

%

-1.42

%

-1.95

%

1.95

%

-1.19

%

-1.42

%

-0.91

%

-0.92

%

-4.72

%

Performance fees

 

-1.12

%

-1.13

%

-1.13

%

-1.13

%

-1.13

%

-0.86

%

-1.13

%

-1.19

%

-1.19

%

-0.43

%

Total return after Performance fees

 

-3.27

%

-3.76

%

-2.55

%

-3.08

%

0.82

%

-2.05

%

-2.55

%

-2.10

%

-2.11

%

-5.15

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (b)

 

1.88

%

2.38

%

1.13

%

1.68

%

1.11

%

0.88

%

1.13

%

0.63

%

0.63

%

1.13

%

Performance fees

 

1.10

%

1.10

%

1.10

%

1.10

%

1.10

%

0.84

%

1.10

%

1.16

%

1.16

%

0.42

%

Expenses (including Performance fees)

 

2.98

%

3.48

%

2.23

%

2.78

%

2.21

%

1.72

%

2.23

%

1.79

%

1.79

%

1.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-1.88

%

-2.38

%

-1.13

%

-1.68

%

-1.11

%

-0.88

%

-1.13

%

-0.63

%

-0.63

%

-1.13

%

Performance fees

 

-1.10

%

-1.10

%

-1.10

%

-1.10

%

-1.10

%

-0.84

%

-1.10

%

-1.16

%

-1.16

%

-0.42

%

Net investment income (loss) (including Performance fees)

 

-2.98

%

-3.48

%

-2.23

%

-2.78

%

-2.21

%

-1.72

%

-2.23

%

-1.79

%

-1.79

%

-1.55

%

 


(a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual member’s return may vary from these returns based on timing of capital transactions.

(b) The expense ratios do not include brokerage commissions.

(c) Interest income, net is less than $0.0001 per Unit.

(d) The ratios and total return are not annualized.

 

* Units issued on February 1, 2015.

**Units fully redeemed as of April 30, 2015.

See notes to financial statements.

 

6



 

ML WINTON 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 DS

 

Class DT

 

Class M

 

Class F

 

Class F1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period or at the time of offer

 

$

1.7214

 

$

1.5722

 

$

1.8197

 

$

1.7716

 

$

1.8174

 

$

1.9213

 

$

1.0225

 

$

0.9971

 

$

1.0217

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0881

 

0.0804

 

0.0933

 

0.0907

 

0.0932

 

0.0986

 

0.0524

 

0.0512

 

0.0524

 

Brokerage commissions

 

(0.0006

)

(0.0005

)

(0.0006

)

(0.0006

)

(0.0006

)

(0.0006

)

(0.0003

)

(0.0003

)

(0.0003

)

Interest income, net

 

(0.0003

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0003

)

(0.0004

)

(0.0002

)

(0.0002

)

(0.0002

)

Expenses

 

(0.0299

)

(0.0312

)

(0.0247

)

(0.0289

)

(0.0247

)

(0.0205

)

(0.0139

)

(0.0115

)

(0.0117

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.7787

 

$

1.6206

 

$

1.8874

 

$

1.8325

 

$

1.8850

 

$

1.9984

 

$

1.0605

 

$

1.0363

 

$

1.0619

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

4.13

%

3.87

%

4.52

%

4.23

%

4.52

%

4.65

%

4.52

%

4.78

%

4.78

%

Performance fees/other (b) 

 

-0.78

%

-0.78

%

-0.78

%

-0.78

%

-0.78

%

-0.62

%

-0.78

%

-0.82

%

-0.82

%

Total return after Performance fees

 

3.35

%

3.09

%

3.74

%

3.45

%

3.74

%

4.03

%

3.74

%

3.96

%

3.96

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

0.95

%

1.20

%

0.57

%

0.85

%

0.57

%

0.45

%

0.57

%

0.32

%

0.32

%

Performance fees (b) 

 

0.77

%

0.77

%

0.77

%

0.77

%

0.77

%

0.61

%

0.77

%

0.82

%

0.82

%

Expenses (including Performance fees)

 

1.72

%

1.97

%

1.34

%

1.62

%

1.34

%

1.06

%

1.34

%

1.14

%

1.14

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-0.95

%

-1.20

%

-0.58

%

-0.85

%

-0.58

%

-0.45

%

-0.58

%

-0.32

%

-0.32

%

Performance fees

 

-0.77

%

-0.77

%

-0.77

%

-0.77

%

-0.77

%

-0.61

%

-0.77

%

-0.82

%

-0.82

%

Net investment income (loss) (including Performance fees)

 

-1.72

%

-1.97

%

-1.35

%

-1.62

%

-1.35

%

-1.06

%

-1.35

%

-1.14

%

-1.14

%

 


(a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual member’s return may vary from these returns based on timing of capital transactions.

(b) Performance fees include reimbursement of performance fees allocated to the share classes in accordance with offering documents.

(c) The expense ratios do not include brokerage commissions.

(d) The ratios and total return are not annualized.

See notes to financial statements.

 

7



 

ML WINTON 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 DS

 

Class DT

 

Class M

 

Class F

 

Class F1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period or at the time of offer

 

$

1.7385

 

$

1.5919

 

$

1.8309

 

$

1.7875

 

$

1.8286

 

$

1.9307

 

$

1.0288

 

$

1.0007

 

$

1.0254

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

0.0879

 

0.0801

 

0.0930

 

0.0905

 

0.0929

 

0.0983

 

0.0523

 

0.0510

 

0.0523

 

Brokerage commissions

 

(0.0011

)

(0.0010

)

(0.0012

)

(0.0011

)

(0.0012

)

(0.0012

)

(0.0007

)

(0.0006

)

(0.0007

)

Interest income, net

 

(0.0006

)

(0.0005

)

(0.0006

)

(0.0006

)

(0.0006

)

(0.0006

)

(0.0003

)

(0.0003

)

(0.0003

)

Expenses

 

(0.0460

)

(0.0499

)

(0.0347

)

(0.0438

)

(0.0347

)

(0.0288

)

(0.0196

)

(0.0145

)

(0.0148

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

1.7787

 

$

1.6206

 

$

1.8874

 

$

1.8325

 

$

1.8850

 

$

1.9984

 

$

1.0605

 

$

1.0363

 

$

1.0619

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Return: (a) (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before Performance fees

 

3.10

%

2.59

%

3.88

%

3.31

%

3.88

%

4.14

%

3.88

%

4.40

%

4.40

%

Performance fees/other (b) 

 

-0.78

%

-0.78

%

-0.78

%

-0.78

%

-0.78

%

-0.62

%

-0.78

%

-0.82

%

-0.82

%

Total return after Performance fees

 

2.32

%

1.81

%

3.10

%

2.53

%

3.10

%

3.52

%

3.10

%

3.58

%

3.58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Member’s Capital: (d)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses (excluding Performance fees) (c)

 

1.90

%

2.40

%

1.15

%

1.70

%

1.15

%

0.90

%

1.15

%

0.65

%

0.65

%

Performance fees (b) 

 

0.77

%

0.77

%

0.77

%

0.77

%

0.77

%

0.61

%

0.77

%

0.82

%

0.82

%

Expenses (including Performance fees)

 

2.67

%

3.17

%

1.92

%

2.47

%

1.92

%

1.51

%

1.92

%

1.47

%

1.47

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (excluding Performance fees)

 

-1.90

%

-2.40

%

-1.15

%

-1.70

%

-1.15

%

-0.90

%

-1.15

%

-0.64

%

-0.64

%

Performance fees

 

-0.77

%

-0.77

%

-0.77

%

-0.77

%

-0.77

%

-0.61

%

-0.77

%

-0.82

%

-0.82

%

Net investment income (loss) (including Performance fees)

 

-2.67

%

-3.17

%

-1.92

%

-2.47

%

-1.92

%

-1.51

%

-1.92

%

-1.46

%

-1.46

%

 


(a) The total return is based on compounded monthly returns and is calculated for each class taken as a whole. An individual member’s return may vary from these returns based on timing of capital transactions.

(b) Performance fees include reimbursement of performance fees allocated to the share classes in accordance with offering documents.

(c) The expense ratios do not include brokerage commissions.

(d) The ratios and total return are not annualized.

See notes to financial statements.

 

8



 

ML WINTON FUTURESACCESS LLC

(A Delaware Limited Liability Company)