Attached files
| file | filename |
|---|---|
| EX-31.02 - EX-31.02 - ML Winton FuturesAccess LLC | a15-12022_1ex31d02.htm |
| EX-32.02 - EX-32.02 - ML Winton FuturesAccess LLC | a15-12022_1ex32d02.htm |
| EX-31.01 - EX-31.01 - ML Winton FuturesAccess LLC | a15-12022_1ex31d01.htm |
| EX-32.01 - EX-32.01 - ML Winton FuturesAccess LLC | a15-12022_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 |
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(I.R.S. Employer Identification No.) |
|
incorporation or organization) |
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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.
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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).
|
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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 |
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Accelerated filer o |
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Non-accelerated filer x |
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Smaller reporting company o |
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(Do not check if a smaller reporting company) |
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Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
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Yes o No x |
As of June 30, 2015, 699,341,621 units of limited liability company interest were outstanding.
ML WINTON FUTURESACCESS LLC
QUARTERLY REPORT FOR JUNE 30, 2015 ON FORM 10-Q
Table of Contents
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PAGE |
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1 | ||
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Management’s Discussion and Analysis of Financial Condition and Results of Operations |
18 | |
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26 | ||
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31 | ||
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31 | ||
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32 | ||
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34 | ||
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34 | ||
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34 | ||
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34 | ||
PART I - FINANCIAL INFORMATION
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF FINANCIAL CONDITION
(unaudited)
|
|
|
June, 30 |
|
December 31, |
| ||
|
|
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2015 |
|
2014 |
| ||
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ASSETS: |
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|
| ||
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Equity in commodity trading accounts: |
|
|
|
|
| ||
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Cash (including restricted cash of $79,640,401 for 2015 and $70,036,099 for 2014) |
|
$ |
1,045,116,061 |
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$ |
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 |
| ||
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Other assets |
|
8,881 |
|
32,960 |
| ||
|
|
|
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|
| ||
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TOTAL ASSETS |
|
$ |
1,068,546,903 |
|
$ |
1,030,271,728 |
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| ||
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LIABILITIES AND MEMBERS’ CAPITAL: |
|
|
|
|
| ||
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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 |
| ||
|
|
|
|
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|
| ||
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Total liabilities |
|
31,482,339 |
|
49,186,671 |
| ||
|
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| ||
|
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 |
| ||
|
|
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|
| ||
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TOTAL LIABILITIES AND MEMBERS’ CAPITAL |
|
$ |
1,068,546,903 |
|
$ |
1,030,271,728 |
|
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| ||
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NET ASSET VALUE PER UNIT: |
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|
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| ||
|
|
|
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|
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|
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.
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
STATEMENTS OF OPERATIONS
(unaudited)
|
|
|
For the three |
|
For the three |
|
For the six months |
|
For the six months |
| ||||
|
|
|
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 |
| ||||
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INVESTMENT INCOME (EXPENSE): |
|
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|
|
|
|
|
|
| ||||
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Interest, net |
|
(11,357 |
) |
(176,952 |
) |
(12,468 |
) |
(312,133 |
) | ||||
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EXPENSES: |
|
|
|
|
|
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|
| ||||
|
Management fee |
|
5,154,795 |
|
4,597,225 |
|
10,342,925 |
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9,200,743 |
| ||||
|
Sponsor fee |
|
3,627,064 |
|
3,493,408 |
|
7,269,384 |
|
7,080,230 |
| ||||
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Performance fee |
|
— |
|
7,408,654 |
|
11,590,474 |
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7,408,667 |
| ||||
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Other |
|
755,328 |
|
475,368 |
|
1,310,095 |
|
1,047,760 |
| ||||
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Total expenses |
|
9,537,187 |
|
15,974,655 |
|
30,512,878 |
|
24,737,400 |
| ||||
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| ||||
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NET INVESTMENT INCOME (LOSS) |
|
(9,548,544 |
) |
(16,151,607 |
) |
(30,525,346 |
) |
(25,049,533 |
) | ||||
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| ||||
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NET INCOME (LOSS) |
|
$ |
(79,942,576 |
) |
$ |
31,608,653 |
|
$ |
(37,053,931 |
) |
$ |
22,052,513 |
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NET INCOME (LOSS) PER UNIT: |
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| ||||
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Weighted average number of Units outstanding |
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| ||||
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Class A |
|
64,215,771 |
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77,901,587 |
|
64,134,961 |
|
82,250,631 |
| ||||
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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.
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 |
|
Subscriptions |
|
Redemptions |
|
Members’ Capital |
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Members’ Capital |
|
|
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.
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 |
|
Subscriptions |
|
Redemptions |
|
Net Income |
|
Members’ Capital June |
|
Members’ Capital |
|
Subscriptions |
|
Redemptions |
|
Net Income |
|
Members’ Capital |
| ||||||||||
|
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.
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.
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.
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.
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.
ML WINTON FUTURESACCESS LLC
(A Delaware Limited Liability Company)
NOTES TO FINANCIAL STATEMENTS