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EX-32.02 - EX-32.02 - ML TREND-FOLLOWING FUTURES FUND L.P.a15-17929_1ex32d02.htm
EX-32.01 - EX-32.01 - ML TREND-FOLLOWING FUTURES FUND L.P.a15-17929_1ex32d01.htm
EX-31.02 - EX-31.02 - ML TREND-FOLLOWING FUTURES FUND L.P.a15-17929_1ex31d02.htm
EX-31.01 - EX-31.01 - ML TREND-FOLLOWING FUTURES FUND L.P.a15-17929_1ex31d01.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 September 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 0-28928

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

 

 

 

Delaware

 

13-3887922

(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 September 30, 2015, 276,490 units of limited partnership interest were outstanding.

 

 

 



 

ML TREND-FOLLOWING FUTURES FUND L.P.

 

QUARTERLY REPORT FOR SEPTEMBER 30, 2015 ON FORM 10-Q

 

Table of Contents

 

PART I—FINANCIAL INFORMATION

PAGE

 

 

 

Item 1.

Financial Statements

1

 

 

 

Item 2.

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

14

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

23

 

 

 

Item 4.

Controls and Procedures

30

 

 

 

PART II—OTHER INFORMATION

 

 

 

 

Item 1.

Legal Proceedings

31

 

 

 

Item 1A.

Risk Factors

31

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

31

 

 

 

Item 3.

Defaults Upon Senior Securities

31

 

 

 

Item 4.

Mine Safety Disclosures

31

 

 

 

Item 5.

Other Information

31

 

 

 

Item 6.

Exhibits

32

 



 

PART I - FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

STATEMENTS OF FINANCIAL CONDITION

At September 30, 2015 (Liquidation Basis) and December 31, 2014 (Going Concern Basis)

(unaudited)

 

 

 

September 30,

 

December 31,

 

 

 

2015

 

2014

 

 

 

 

 

 

 

ASSETS:

 

 

 

 

 

Cash and cash equivalents

 

$

349,509

 

$

349,512

 

Investments in Portfolio Funds (cost $36,811,762 for 2015 and cost $42,005,957 for 2014)

 

48,724,248

 

59,002,985

 

Receivable from Portfolio Funds

 

3,325,032

 

1,416,175

 

Accrued interest receivable

 

4

 

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

52,398,793

 

$

60,768,672

 

 

 

 

 

 

 

LIABILITIES AND PARTNERS’ CAPITAL

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Liquidation accrual

 

$

457,635

 

$

 

Wrap fee payable

 

174,663

 

202,561

 

Redemptions payable

 

3,150,374

 

1,125,689

 

 

 

 

 

 

 

Total liabilities

 

3,782,672

 

1,328,250

 

 

 

 

 

 

 

PARTNERS’ CAPITAL:

 

 

 

 

 

General Partner (9 Units and 9 Units)

 

1,582

 

1,638

 

Limited Partners (276,490 Units and 326,557 Units)

 

48,614,539

 

59,438,784

 

 

 

 

 

 

 

Total partners’ capital

 

48,616,121

 

59,440,422

 

 

 

 

 

 

 

TOTAL LIABILITIES AND PARTNERS’ CAPITAL:

 

$

52,398,793

 

$

60,768,672

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT

 

 

 

 

 

(Based on 276,499 and 326,566 Units outstanding; unlimited Units authorized)

 

$

175.8275

 

$

182.0166

 

 

See notes to financial statements.

 

1



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the two

 

For the one

 

For the three

 

For the eight

 

For the one

 

For the nine

 

 

 

months ended

 

month ended

 

months ended

 

months ended

 

month ended

 

months ended

 

 

 

August 31,

 

September 30,

 

September 30,

 

August 31,

 

September 30,

 

September 30,

 

 

 

2015 (1)

 

2015 (2)

 

2014 (1)

 

2015 (1)

 

2015 (2)

 

2014 (1)

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized, net

 

$

2,041,003

 

$

1,292,188

 

$

1,259,879

 

$

4,167,669

 

$

1,292,188

 

$

(22,161

)

Change in unrealized, net

 

(803,065

)

416,924

 

1,943,995

 

(5,501,466

)

416,924

 

4,440,730

 

Total trading profit (loss), net

 

1,237,938

 

1,709,112

 

3,203,874

 

(1,333,797

)

1,709,112

 

4,418,569

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT INCOME (EXPENSE):

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest, net

 

6

 

3

 

 

20

 

3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

 

 

 

 

Wrap fee

 

354,735

 

174,663

 

593,452

 

1,528,673

 

174,663

 

1,894,856

 

Total expenses

 

354,735

 

174,663

 

593,452

 

1,528,673

 

174,663

 

1,894,856

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(354,729

)

(174,660

)

(593,452

)

(1,528,653

)

(174,660

)

(1,894,856

)

NET PROFIT (LOSS) (1) / REMEASUREMENT OF ASSETS AND LIABILITIES (2)

 

883,209

 

1,534,452

 

$

2,610,422

 

$

(2,862,450

)

$

1,534,452

 

$

2,523,713

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NET PROFIT (LOSS) (1) / REMEASUREMENT OF ASSETS AND LIABILITIES (2) PER UNIT:

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average number of General Partner and Limited Partner Units outstanding

 

296,827

 

294,260

 

366,836

 

312,924

 

294,260

 

403,860

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net profit (loss) / Remeasurement of Assets and Liabilities per weighted average General Partner and Limited Partner Unit

 

$

2.98

 

$

5.21

 

$

7.12

 

$

(9.15

)

$

5.21

 

$

6.25

 

 


(1) Going concern basis

(2) Liquidation basis

 

See notes to financial statements.

 

2



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE EIGHT MONTHS ENDED AUGUST 31, 2015 (GOING CONCERN BASIS) AND THE ONE MONTH ENDED SEPTEMBER 30, 2015 (LIQUIDATION BASIS)

(unaudited)

 

 

 

Units

 

General
Partner

 

Limited
Partners

 

Total

 

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

December 31, 2014

 

326,566

 

$

1,638

 

$

59,438,784

 

$

59,440,422

 

 

 

 

 

 

 

 

 

 

 

Subscriptions

 

129

 

 

25,000

 

25,000

 

 

 

 

 

 

 

 

 

 

 

Net Profit (Loss)

 

 

(88

)

(2,862,362

)

(2,862,450

)

 

 

 

 

 

 

 

 

 

 

Redemptions

 

(32,445

)

 

(5,913,294

)

(5,913,294

)

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

August 31, 2015

 

294,250

 

$

1,550

 

$

50,688,128

 

$

50,689,678

 

 

 

 

 

 

 

 

 

 

 

Liquidation Accrual

 

 

$

 

$

(457,635

)

$

(457,635

)

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

September 1, 2015

 

294,250

 

$

1,550

 

$

50,230,493

 

$

50,232,043

 

 

 

 

 

 

 

 

 

 

 

Remeasurement of Assets and Liabilities

 

 

32

 

1,534,420

 

1,534,452

 

 

 

 

 

 

 

 

 

 

 

Redemptions

 

(17,751

)

 

(3,150,374

)

(3,150,374

)

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

September 30, 2015

 

276,499

 

$

1,582

 

$

48,614,539

 

$

48,616,121

 

 

See notes to financial statements.

 

3



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

STATEMENT OF CHANGES IN PARTNERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 (GOING CONCERN BASIS)

(unaudited)

 

 

 

Units

 

General
Partner

 

Limited
Partners

 

Total

 

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

December 31, 2013

 

450,750

 

$

1,416

 

$

70,906,512

 

$

70,907,928

 

 

 

 

 

 

 

 

 

 

 

Subscriptions

 

145

 

 

22,000

 

22,000

 

 

 

 

 

 

 

 

 

 

 

Net Profit (Loss)

 

 

69

 

2,523,644

 

2,523,713

 

 

 

 

 

 

 

 

 

 

 

Redemptions

 

(102,957

)

 

(16,029,916

)

(16,029,916

)

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

September 30, 2014

 

347,938

 

$

1,485

 

$

57,422,240

 

$

57,423,725

 

 

See notes to financial statements.

 

4



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

FINANCIAL DATA HIGHLIGHTS

 

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

 

 

 

Two months ended

 

One month ended

 

Eight months ended

 

One month ended

 

 

 

August 31, 2015 (5)

 

September 30, 2015 (6)

 

August 31, 2015 (5)

 

September 30, 2015 (6)

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

169.4437

 

$

172.2674

 

$

182.0166

 

$

172.2674

 

Liquidation accrual

 

 

(1.6551

)

 

(1.6551

)

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

 

4.0009

 

5.8082

 

(4.8699

)

5.8082

 

Expenses

 

(1.1772

)

(0.5930

)

(4.8793

)

(0.5930

)

 

 

 

 

 

 

 

 

 

 

Net asset value, end of period

 

$

172.2674

 

$

175.8275

 

$

172.2674

 

$

175.8275

 

 

 

 

 

 

 

 

 

 

 

Total Return: (2) (3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return

 

1.67

%

2.07

%

-5.36

%

2.07

%

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets: (1) (3) (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

0.67

%

0.33

%

2.67

%

0.33

%

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

-0.67

%

-0.33

%

-2.67

%

-0.33

%

 


(1) The ratios do not reflect the proportionate share of expense of the Portfolio Funds.

(2) The total return is based on compounded monthly returns and is calculated for the limited partners as a whole.

      An individual limited partner’s return may vary from these returns based on timing of capital transactions.

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

(4) The ratios do not include the liquidation accrual of $457,635.

(5) Going concern basis

(6) Liquidation basis

 

See notes to financial statements.

 

5



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 (unaudited)

 

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

 

 

 

Three months ended

 

Nine months ended

 

 

 

September 30, 2014

 

September 30, 2014

 

Per Unit Operating Performance:

 

 

 

 

 

Net asset value, beginning of period

 

$

157.7810

 

$

157.3110

 

 

 

 

 

 

 

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

 

8.8771

 

12.4298

 

Expenses

 

(1.6180

)

(4.7007

)

 

 

 

 

 

 

Net asset value, end of period

 

$

165.0401

 

$

165.0401

 

 

 

 

 

 

 

Total Return: (2) (3) 

 

 

 

 

 

 

 

 

 

 

 

Total return

 

4.60

%

4.91

%

 

 

 

 

 

 

Ratios to Average Net Assets: (1) (3)

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

1.01

%

3.02

%

 

 

 

 

 

 

Net investment income (loss)

 

-1.01

%

-3.02

%

 


(1) The ratios do not reflect the proportionate share of expense of the Portfolio Funds.

(2) The total return is based on compounded monthly returns and is calculated for each class taken as a whole.

     An individual partner’s return may vary from these returns based on timing of capital transactions.

(3) The ratios are not annualized.

 

See notes to financial statements.

 

6



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.              ORGANIZATION

 

ML Trend-Following Futures Fund L.P. (the “Partnership”), a FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Revised Uniform Limited Partnership Act on December 11, 1995 and commenced trading on July 15, 1996.  The Partnership operates as a “fund of funds”, allocating and reallocating its capital, under the direction of Merrill Lynch Alternative Investments LLC (“MLAI” or “General Partner” or “Sponsor”), the sponsor and general partner of the Partnership, among underlying FuturesAccess funds (each a “Portfolio Fund”, and collectively the “Portfolio Funds”) (See Note 2).  Presently there are four Portfolio Funds.  MLAI is the sponsor and manager of the Portfolio Funds.

 

MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation.  Bank of America Corporation and its affiliates are referred to herein as “BofA Corp.”.  Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Portfolio Funds.  MLAI may select other parties as clearing broker(s).  Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Portfolio Funds.  MLAI may select other of its affiliates, or third parties, as F/X or other over-the-counter (“OTC”) prime brokers.  MLPF&S and MLI are BofA Corp. affiliates.

 

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”).  FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BofA Corp.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor and a single fund of funds (the Partnership) no longer offered to investors for which MLAI acts as the advisor and allocates capital among multiple trading advisors.  Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor for the Portfolio Funds participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

 

Interests in the Partnership 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, BofA Corp. or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

 

The Partnership considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of September 30, 2015 the Partnership holds 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 Partnership as of September 30, 2015 and December 31, 2014 and the results of its operations for the periods presented. However, the operating results for the interim periods may not be indicative of the results for the full year.

 

7



 

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 Partnership’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2014.

 

Liquidation of the Partnership

 

MLAI has decided to liquidate the Partnership as of December 31, 2015. Through an August 27, 2015 communication, it notified the Partnership’s investors that it will mandatorily redeem those that are still invested in the Partnership as of December 31, 2015, while accepting regular monthly redemption requests through December 21, 2015. MLAI will be redeeming any remaining investment in its underlying Portfolio Funds at December 31, 2015, in connection with the Partnership’s liquidation.

 

The Partnership maintains monthly books and records, thus as a result of the plan of liquidation, it has adopted the liquidation basis of accounting as of September 1, 2015 and for periods subsequent to such date in accordance with U.S. GAAP. Accordingly on September 1, 2015 all assets were adjusted to their net realizable value, or liquidation value, which represents the estimated amount of cash that the Partnership will collect as it carries out its plan of liquidation.

 

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.

 

Estimated costs of $457,635 have been accrued for which represent MLAI’s best estimate of the remaining wrap fees the Partnership will incur through the planned final liquidation date of December 31, 2015.

 

2.     INVESTMENTS IN PORTFOLIO FUNDS

 

The four Portfolio Funds in which the Partnership is invested in as of September 30, 2015 are: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). The five Portfolio Funds in which the Partnership was invested in as of December 31, 2014 were: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). Effective as of August 31, 2015 the Partnership terminated its investment in Lynx, and reallocated the redeemed capital from Lynx to the other Portfolio Funds. Each of the Portfolio Funds implements a systematic-based managed futures strategy under the direction of a trading advisor unaffiliated with MLAI (each a “Trading Advisor”, and collectively “Trading Advisors”). MLAI may, in its discretion, change Portfolio Funds at any time. MLAI may vary the percentage of the Partnership’s total portfolio allocated to the different Portfolio Funds at its discretion. There is no pre-established range for the minimum and maximum allocations that may be made to any individual Portfolio Fund.

 

The investment transactions were accounted for on a trade date basis. Prior to entering into liquidation the investments in the Portfolio Funds were valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, MLAI utilized the Net Asset Value of the underlying Portfolio Funds which approximates fair value. The fair value was net of all fees relating to the Portfolio Funds, paid or accrued.

 

8



 

Additionally, MLAI monitored the performance of the Portfolio Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in the Portfolio Funds’ investments, comparing performance to industry benchmarks, and conference calls and site visits with the Portfolio Funds’ respective Trading Advisor. Upon entering liquidation on September 1, 2015, the investments continued to be valued at their reported Net Asset Value from the Portfolio Funds which represents MLAI’s estimate of their value in liquidation.

 

The details of investments in Portfolio Funds at and for the nine month period ended September 30, 2015 are as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of

 

 

 

 

 

 

 

Management

 

Performance

 

Redemptions

 

September 30, 2015

 

Partners’ Capital

 

Value

 

Profit (Loss)

 

Cost @ 9/30/15

 

 Fee

 

 Fee

 

 Permitted

 

Winton

 

25.06

%

$

12,181,062

 

$

102,986

 

$

7,876,579

 

$

(130,405

)

$

(102,108

)

Semi -Monthly

 

Aspect

 

25.06

%

12,181,063

 

728,381

 

8,520,007

 

(131,064

)

(173,688

)

Semi -Monthly

 

Transtrend

 

25.06

%

12,181,062

 

(194,999

)

9,892,657

 

(87,043

)

(8,626

)

Semi -Monthly

 

BlueTrend

 

25.06

%

12,181,061

 

644,255

 

10,522,519

 

(88,036

)

(73,328

)

Monthly

 

Lynx*

 

0.00

%

 

(905,308

)

 

(76,178

)

(270,943

)

Semi -Monthly

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment in Portfolio Funds

 

100.24

%

$

48,724,248

 

$

375,315

 

$

36,811,762

 

$

(512,726

)

$

(628,693

)

 

 

 


*Liquidated as of August 31, 2015.

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage of 

 

 

 

 

 

 

 

Management

 

Performance

 

Redemptions

 

December 31, 2014

 

Partners’ Capital

 

Fair Value

 

Profit (Loss)

 

Cost @ 12/31/14

 

Fee

 

Fee

 

Permitted

 

Winton

 

19.88

%

$

11,818,184

 

$

1,590,873

 

$

6,530,293

 

$

(185,130

)

$

(285,726

)

Semi -Monthly

 

Aspect

 

19.88

%

11,818,183

 

3,168,595

 

7,758,764

 

(186,363

)

(271,475

)

Semi -Monthly

 

Transtrend

 

19.88

%

11,818,184

 

2,206,143

 

8,410,154

 

(123,163

)

(208,004

)

Semi -Monthly

 

BlueTrend

 

19.73

%

11,730,252

 

1,119,777

 

10,288,824

 

(123,251

)

 

Monthly

 

Lynx**

 

19.88

%

11,818,182

 

3,209,667

 

9,017,922

 

(80,103

)

(741,913

)

Semi -Monthly

 

Man AHL*

 

0.00

%

 

(509,490

)

 

(43,736

)

 

Monthly

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment in Portfolio Funds at fair value

 

99.25

%

$

59,002,985

 

$

10,785,565

 

$

42,005,957

 

$

(741,746

)

$

(1,507,118

)

 

 

 


*Liquidated as of April 30, 2014.

**Added to the Portfolio May 1, 2014.

 

9



 

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

 

 

 

As of September 30, 2015

 

 

 

Total Assets

 

Total Liabilities

 

Total Capital

 

Winton

 

$

1,080,929,569

 

$

27,310,091

 

$

1,053,619,478

 

Aspect

 

143,372,070

 

6,416,862

 

136,955,208

 

Transtrend

 

41,509,582

 

2,751,716

 

38,757,866

 

BlueTrend

 

52,808,363

 

3,012,343

 

49,796,020

 

Lynx**

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

1,318,619,584

 

$

39,491,012

 

$

1,279,128,572

 

 

 

 

As of December 31, 2014

 

 

 

Total Assets

 

Total Liabilities

 

Total Capital

 

Winton

 

$

1,030,271,728

 

$

49,186,671

 

$

981,085,057

 

Aspect

 

160,883,084

 

13,082,365

 

147,800,719

 

Transtrend

 

77,843,044

 

4,857,981

 

72,985,063

 

BlueTrend

 

91,645,985

 

5,126,658

 

86,519,327

 

Lynx**

 

49,332,652

 

4,574,525

 

44,758,127

 

 

 

 

 

 

 

 

 

Total

 

$

1,409,976,493

 

$

76,828,200

 

$

1,333,148,293

 

 

 

 

For the nine months ended September 30, 2015

 

 

 

 

 

 

 

 

 

Net

 

 

 

Income (Loss)

 

Commissions

 

Expenses

 

Income (Loss)

 

Winton

 

$

21,899,786

 

$

(853,394

)

$

(39,889,489

)

$

(18,843,097

)

Aspect

 

12,335,875

 

(349,025

)

(7,241,272

)

4,745,578

 

Transtrend

 

581,128

 

(313,907

)

(1,705,947

)

(1,438,726

)

BlueTrend

 

7,590,180

 

(309,874

)

(2,528,389

)

4,751,917

 

Lynx**

 

1,379,071

 

(97,047

)

(1,472,861

)

(190,837

)

 

 

 

 

 

 

 

 

 

 

Total

 

$

43,786,040

 

$

(1,923,247

)

$

(52,837,958

)

$

(10,975,165

)

 

 

 

For the nine months ended September 30, 2014

 

 

 

 

 

 

 

 

 

Net

 

 

 

Income (Loss)

 

Commissions

 

Expenses

 

Income (Loss)

 

Winton

 

$

60,450,846

 

$

(908,716

)

$

(34,648,215

)

$

24,893,915

 

Aspect

 

8,619,753

 

(412,821

)

(4,131,709

)

4,075,223

 

Transtrend

 

10,391,804

 

(442,733

)

(1,552,613

)

8,396,458

 

BlueTrend

 

5,387,299

 

(417,590

)

(2,449,658

)

2,520,051

 

Lynx**

 

7,446,393

 

(161,271

)

(2,020,729

)

5,264,393

 

Man AHL*

 

(538,782

)

(97,828

)

(280,458

)

(917,068

)

 

 

 

 

 

 

 

 

 

 

Total

 

$

91,757,313

 

$

(2,440,959

)

$

(45,083,382

)

$

44,232,972

 

 


*Liquidated as of April 30, 2014.

**Added to the Portfolio May 1, 2014. Liquidated as of August 31, 2015.

 

10



 

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).

 

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 Partnership does not adjust the quoted price for these investments even in situations where the Partnership 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. Investments which are generally included in this category are investments valued using market data and investments in Portfolio Funds valued using the reported Net Asset Value from the Portfolio Fund.

 

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.

 

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. MLAI’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.

 

The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

 

Investments in Portfolio Funds were valued using the Net Asset Value reported by the Portfolio Funds, which management believes approximates fair value as of August 31, 2015 and the estimated liquidation value as of September 30, 2015. These Net Asset Values are the prices used to execute trades with these Portfolio Funds.  As the Partnership can transact with the Portfolio Funds on a monthly/semi-monthly basis, the Partnership determined that its investments in these Portfolio Funds, would be classified as Level II. Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from Level II during the two or eight month periods ended August 31, 2015 or the year ended December 31, 2014.

 

The following table summarizes the valuation of the Partnership’s investments by the above fair value hierarchy levels as of August 31, 2015, before entering into liquidation, and December 31, 2014:

 

11



 

Investment in

 

 

 

 

 

 

 

 

 

Portfolio Funds

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

August 31, 2015

 

$

41,408,106

 

$

 

$

41,408,106

 

$

 

December 31, 2014

 

$

59,002,985

 

$

 

$

59,002,985

 

$

 

 

As of September 30, 2015 all investments were valued utilizing the reported Net Asset Value from the Portfolio Funds.

 

4.    MARKET, CREDIT AND CONCENTRATION RISKS

 

The nature of this Partnership 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 Portfolio Funds’ unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition of the Portfolio Funds. The Partnership’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Portfolio 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.

 

MLAI 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 Portfolio Funds, calculating the Net Asset Value of the Partnership and the Portfolio Funds as of the close of business on each day and reviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the markets to hedge or diversify the Portfolio Funds’ market exposure, MLAI may urge the respective Trading Advisors to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected to be unusual.  It is expected that MLAI’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.

 

The credit risk associated with these instruments from counterparty nonperformance is the unrealized profit (loss) on open contracts, if any, included in the Portfolio Funds’ Statements of Financial Condition.

 

MLAI, as sponsor of the Portfolio Funds, has a general policy of maintaining clearing and prime brokerage arrangements with BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may engage non-BofA

 

12



 

Corp. affiliated service providers as clearing brokers or prime brokers for the Portfolio Funds. This policy may increase risk to the Portfolio Funds by preventing the diversification of brokers used by the Portfolio Funds.

 

The Portfolio Funds, in their normal course of business, enter into various contracts, with MLPF&S acting as their futures clearing broker and MLI as their forwards prime broker. Due to the relationship with MLPF&S, in the event of default, all futures balances are eligible for offset with a net settlement due to MLPF&S.  Due to the relationship with MLI, in the event of default, all forwards balances are eligible for offset with a net settlement due to MLI.

 

Concentration Risk

 

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

 

Indemnifications

 

In the normal course of business, the Partnership and the Portfolio Funds entered, or may in the future enter into agreements that obligate the Partnership and the Portfolio Funds to indemnify certain parties, including BofA Corp. 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 Partnership’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

 

5.   RELATED PARTY TRANSACTIONS

 

MLAI owns a General Partner interest which represents less than 1% of the Partnership’s Net Asset Value as of September 30, 2015.

 

MLAI and the Partnership entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BofA Corp. and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI.  The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. During the quarter ended September 30, 2015, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears.  MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Partnership, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Partnership for the three and nine month periods ended September 30, 2015 and 2014 is paid on behalf of the Partnership by MLAI. These fees are included in the wrap fee and are not separately charged to the Partnership.

 

Wrap fees as presented on the Statements of Operations is paid to a related party.

 

6.    SUBSEQUENT EVENTS

 

The General Partner has evaluated the impact of subsequent events on the Partnership 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.

 

13



 

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

 

MONTH-END NET ASSET VALUE PER UNIT

 

The Partnership calculates the Net Asset Value per Unit as of the last calendar day of each month and as of any other dates MLAI may determine in its discretion (each, a “Calculation Date”).  The Partnership’s Net Asset Value as of any calculation date generally equals the value of the Partnership’s interests in the Portfolio Funds as of that date, plus any other assets held by the Partnership, minus accrued wrap fees and all other liabilities of the Partnership.  MLAI or its delegates are authorized to make all Net Asset Value determinations.

 

MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Partnership.  Therefore, the charts below are referencing Net Asset Value at each Calculation Date.

 

The September 2015 Net Asset Value is different than the financial reporting Net Asset Value due to the accrual of liquidation costs in the amount of $457,635. As a result the $177.4826 reported below is a non-GAAP measure. Refer to Note 1 in the Financial Statements which describes the plan of liquidation.

 

 

 

MONTH-END NET ASSET VALUE PER UNIT

 

 

 

Jan. 

 

Feb.

 

Mar.

 

Apr.

 

May

 

Jun.

 

Jul.

 

Aug.

 

Sep.

 

2014

 

$

151.4082

 

$

153.1223

 

$

150.7298

 

$

151.9635

 

$

156.3551

 

$

157.7810

 

$

155.4049

 

$

163.5612

 

$

165.0401

 

2015

 

$

190.2861

 

$

189.5042

 

$

193.6712

 

$

183.4649

 

$

180.6276

 

$

169.4437

 

$

179.8202

 

$

172.2674

 

$

177.4826

 

 

Liquidity and Capital Resources

 

The Portfolio 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 Portfolio Funds’ U.S. dollar deposits.  These borrowings are at a prevailing short-term rate in the relevant currency.

 

Inflation by itself does not affect profitability, but it can cause price movements that do so.

 

The Portfolio Funds’ assets and open positions are generally highly liquid.

 

The Portfolio Funds change positions and market focus frequently.  Consequently, the fact that the Portfolio Funds realized gains or incurred losses in certain markets (gold, stock indices, currencies, etc.) in the past is not necessarily indicative of whether the Portfolio Funds will do so in the future.

 

Investors in the Partnership generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of the last day of any calendar month (each a “Redemption Date”), upon providing notice at least 10 calendar days prior to month-end.  The Net Asset Value of redeemed Units is determined as of the Redemption Date.  Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption request and the applicable Redemption Date.

 

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

 

14



 

For the nine month period ended September 30, 2015, Partnership capital decreased 18.21% from $59,440,422 to $48,616,121.  This decrease was attributable to the net loss from operations of $1,327,998, a liquidation accrual of $457,635, and the redemption of 50,196 redeemable Units resulting in an outflow of $9,063,668. The cash outflow was offset with cash inflow of $25,000 due to subscriptions of 129 Units.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

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

 

Investments

 

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. Realized profits and losses and any change in net unrealized profit or loss from the preceding period/year are reported in the 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 Partnership’s treatment of fair value see Financial Statements Note 3, Fair Value of Investments.

 

Interest Rates and Income

 

BofA Corp.’s “Interest Earning Program,” which offers interest on cash balances subject to a negotiated schedule, will generally apply to Partnership cash assets during any time they are maintained by the Sponsor with its affiliates.  The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%.  The current short term interest rates have remained extremely low when compared with historical rates and thus have contributed negligible amounts to overall Partnership performance.

 

Income Taxes

 

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

 

The Partnership 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 Partnership’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 Partnership 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 net asset value of the Partnership, including reducing the net asset value of the Partnership to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Partnership. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Partnership. The General Partner has analyzed the Partnership’s tax positions and has concluded that no provision for income tax is required in the Partnership’s financial statements. The following is the major tax jurisdiction for the Partnership and the earliest tax year subject to examination: United States — 2012.

 

15



 

Reform Act

 

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant” and each Portfolio 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 a Portfolio Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Portfolio 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 Portfolio Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Portfolio Fund would otherwise engage for its currency forward transactions.

 

Results of Operations

 

January 1, 2015 to September 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 Partnership 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

 

Commodity Industry
Sector

 

Net Unrealized
Profit (Loss)
on Open Positions

 

Percent of
Net Unrealized
Profit (Loss)
on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

425,955

 

27.02

%

Currencies - Futures

 

(9,070

)

-0.58

%

Currencies - Forwards

 

(127,237

)

-8.07

%

Energy

 

127,252

 

8.07

%

Interest rates

 

989,716

 

62.79

%

Metals

 

(25,353

)

-1.61

%

Stock indices

 

195,171

 

12.38

%

 

 

 

 

 

 

Total

 

$

1,576,434

 

100.00

%

 

The Partnership experienced a net trading profit for the quarter ended March 31, 2015 of $4,395,248.

 

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

 

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

 

16



 

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 Partnership.

 

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 Partnership 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, 2015:

 

17



 

June 30, 2015

 

Commodity Industry
Sector

 

Net Unrealized
Profit (Loss)
on Open Positions

 

Percent of
Net Unrealized

Profit (Loss)
on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

(194,450

)

38.55

%

Currencies - Futures

 

(46,715

)

9.26

%

Currencies - Forwards

 

(96,441

)

19.12

%

Energy

 

(77,950

)

15.45

%

Interest rates

 

74,095

 

-14.69

%

Metals

 

161,187

 

-31.95

%

Stock indices

 

(324,185

)

64.26

%

 

 

 

 

 

 

Total

 

$

(504,459

)

100.00

%

 

The Partnership experienced a net trading loss for the quarter ended June 30, 2015 of $6,966,983.

 

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

 

The Partnership lost -12.5% in the second quarter. Returns were negative for most of the Portfolio Funds throughout the second quarter. Starting in April and continuing through the quarter, established trends across most sectors began reversing. All four asset classes were unprofitable (equities, fixed income, currencies, and commodities), with the worst of the losses coming from fixed income and commodities.

 

In equities, the Portfolio Funds entered the second quarter with a net long posture across geographies. The largest exposures were in European and U.S. indices based on recent trends. Despite some choppy market moves and increased volatility, equities rose higher in April and May. Global equity markets began to pull back significantly in June, driven by different factors, including high valuations to slowing growth and the potential effects of a Greek default. European equities were hit the hardest and therefore the largest detractor to performance, and long positions in U.S. and Asian indices also produced losses. Gains from April and May were unable to make up for losses incurred in June. Equity indices ended the quarter down.

 

In fixed income, the Portfolio Funds held long positions within rates and bonds. This positioning was unprofitable as fixed income yields moved higher over the second quarter. The Portfolio Funds entered April with large net long positions across the term structure, but began reducing risk in the asset class as bond yields began reversing at the end of April and through May and June. Fixed income was the worst performing asset class for the quarter, losing money in all three months.

 

Currencies were another unprofitable asset class. The Portfolio Funds were broadly long the U.S. dollar against most major foreign currencies, with large short exposure in the Euro and Japanese yen. Following a period of strength starting in-mid 2014, the U.S. dollar began to experience weakness in April as U.S. growth seemed to slow. The U.S. dollar appreciated slightly in May before falling again in June. Gains from May were more than offset by losses from April and June. Short positions in the Euro and Japanese yen were the worst performing currencies.

 

Commodities performed poorly. Going into the second quarter, there was a net short posture across the commodity sectors. Reversals in trends such as energies began in April, when oil markets rose.  Metals and agriculturals also began to rise. In May commodity prices fell, before rising again in June. The Portfolio Funds generally remained net short across the board and experienced losses in April and June. The largest losses came from short positions in oil and grains. Overall, commodities detracted from performance over the second quarter.

 

18



 

In summary, all four sectors produced losses in the second quarter due to choppiness and reversals across many markets. The worst performing markets include bonds, oil and the Euro. The Portfolio Funds have reduced net long exposure across equity indices and fixed income and net short exposure in commodities.

 

July 1, 2015 to September 30, 2015

 

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

 

September 30, 2015

 

Commodity Industry
Sector

 

Net Unrealized
Profit (Loss)
on Open Positions

 

Percent of
Net Unrealized

Profit (Loss)
on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

41,995

 

2.74

%

Currencies - Futures

 

(20,026

)

-1.31

%

Currencies - Forwards

 

(132,848

)

-8.67

%

Energy

 

415,140

 

27.10

%

Interest rates

 

988,752

 

64.55

%

Metals

 

201,074

 

13.13

%

Stock indices

 

37,754

 

2.46

%

 

 

 

 

 

 

Total

 

$

1,531,841

 

100.00

%

 

The Partnership experienced a net trading profit for the quarter ended September 30, 2015 of $2,947,050, which is comprised of $1,237,938 for the two months ended August 31, 2015 and $1,709,112 for the one month ended September 30, 2015 as presented in the Statements of Operations.

 

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

 

In the third quarter, managed futures and trend following strategies had positive performance. Returns were positive in July and September, but negative in August. Continuing trends in commodities and fixed income drove performance for the most part while currencies saw small gains and equities lost money.

 

In equity indices, the Portfolio Funds came into the third quarter with moderate long exposure, with positions across geographies. Equity markets were up slightly early in the quarter, but slowing growth in China began weighing on markets in August. Volatility increased significantly and equities fell broadly in the second half of August and during September. These moves led to losses in August. The Portfolio Funds reduced exposures significantly and by the end of the quarter, they had mostly moved from a long position to slightly short in the asset class.

 

Fixed income was profitable throughout the third quarter. With investors occupied by growth worries and rate hikes in the U.S., yields generally moved lower. The path they took was not smooth, but risk aversion generally drove them down, leading to gains on long positions held by the Portfolio Funds. The bulk of these came in September as both short and longer dated fixed income futures appreciated.

 

Currencies made money in July, but gave most of those gains back in August and September. The Portfolio Funds were generally positioned long the U.S. dollar against foreign currencies. Expectations of rising rates in the U.S. led to strength in the dollar during July; however, that strength ended in August as two important currencies, the

 

19



 

euro and yen, reversed and rose. The Portfolio Funds gave most of their earlier gains back and the asset class was roughly flat for the quarter.

 

Commodities were the best performing asset class in the third quarter. The Portfolio Funds were positioned broadly short coming into July as commodity prices have been trending lower for some time. The downward trends continued strongly in July in energies, metals and agriculturals as demand appeared to wane. The Portfolio Funds booked strong profits on these moves. August ushered in a period of volatility. For example, energy prices continued to fall, along with other risky assets, but staged a strong recovery in the last few days of September to finish in the black. Several sectors broadly resumed their downward trend in September to generate some additional gains.

 

Overall, profits for the third quarter were due to the downward moves in energies, metals and fixed income yields. Equity indices detracted from performance. Currencies were roughly flat. While some trends continued strongly and led to gains, others reversed resulting in some offsetting losses.

 

January 1, 2014 to September 30, 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 Partnership 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

 

Commodity Industry
Sector

 

Net Unrealized
Profit (Loss)
on Open Positions

 

Percent of
Net Unrealized

Profit (Loss)
on Open Positions

 

Agriculture

 

$

499,455

 

39.01

%

Currencies - Futures

 

89,232

 

6.97

%

Currencies - Forwards

 

264,077

 

20.63

%

Energy

 

(65,606

)

-5.13

%

Interest rates

 

186,013

 

14.53

%

Metals

 

(76,273

)

-5.96

%

Stock indices

 

383,438

 

29.95

%

 

 

 

 

 

 

Total

 

$

1,280,336

 

100.00

%

 

 

The Partnership experienced a net trading loss for the quarter ended March 31, 2014 of $2,264,438.

 

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.

 

20



 

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 the 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 Partnership 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:

 

June 30, 2014

 

Commodity Industry
Sector

 

Net Unrealized
Profit (Loss)
on Open Positions

 

Percent of
Net Unrealized

Profit (Loss)
on Open Positions

 

Agriculture

 

$

76,076

 

4.40

%

Currencies - Futures

 

98,879

 

5.72

%

Currencies - Forwards

 

28,721

 

1.66

%

Energy

 

303,230

 

17.53

%

Interest rates

 

946,349

 

54.70

%

Metals

 

(45,839

)

-2.65

%

Stock indices

 

322,461

 

18.64

%

 

 

 

 

 

 

Total

 

$

1,729,877

 

100.00

%

 

 

The Partnership experienced a net trading profit for the quarter ended June 30, 2014 of $3,479,133.

 

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

 

The Partnership gained 4.7% in the second quarter. Returns were positive for most of the 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.

 

21



 

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 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.

 

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 Partnership.

 

July 1, 2014 to September 30, 2014

 

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

 

September 30, 2014

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

924,080

 

45.93

%

Currencies - Futures

 

395,760

 

19.67

%

Currencies - Forwards

 

(280,219

)

-13.93

%

Energy

 

479,714

 

23.85

%

Interest rates

 

233,268

 

11.59

%

Metals

 

515,518

 

25.63

%

Stock indices

 

(256,367

)

-12.74

%

 

 

 

 

 

 

Total

 

$

2,011,754

 

100.00

%

 

The Partnership experienced a net trading profit for the quarter ended September 30, 2014 of $3,203,874.

 

In the third quarter, managed futures and trend following strategies had positive performance. Returns were negative in July, but August and September were strong months. Continuing trends in fixed income and new trends in the currency and commodity sectors drove performance. A slight reversal in equity indices resulted in small offsetting losses.

 

22



 

References herein to the trading, portfolios and performance of the Portfolio Funds refer to such trading, portfolios and performance generally across the Portfolio Funds.

 

In equity indices, the Portfolio Funds came into the third quarter with long exposure, with positions across geographies. The largest exposures were in U.S. and European indices. These positions were due to the upward trend in the asset class which had generally continued during the second quarter. During the third quarter, this trend weakened, with global growth concerns starting to weigh on markets. September was a down month for many equity indices and gains from earlier in the quarter were given back. The sector ended with small losses for the Partnership.

 

In fixed income, the Portfolio Funds had long positioning with both rates and bonds having generally falling yields. The moves were especially large in August, resulting in profits for the Portfolio Funds. Yields rose slightly in September, leading to a small give back of earlier gains, but fixed income ended up being a strong driver of performance for the Portfolio Funds in the quarter overall.

 

Currencies also performed strongly. Diverging economic performance and central bank policies were important factors in driving currencies during the third quarter. A decently performing U.S. economy relative to much of the rest of the world meant that the U.S. dollar strengthened against most foreign currencies. The Portfolio Funds generally adopted a long U.S. dollar bias and made profits being short currencies like the euro and yen which weakened consistently through the third quarter.

 

Commodities were another bright spot for the Portfolio Funds. The strength in the U.S. dollar and the slow weakening of the global economy were among the factors that led to many commodities falling over the course of the third quarter. Supply and demand factors such as dissipating tensions around the Ukraine situation, higher global oil production and reports of strong harvests in many grain markets also played a role. The Portfolio Funds were generally long commodity markets coming into July, but moved to a short stance by the end of August with minimal losses. As the downward trends in the asset class accelerated in September, the Portfolio Funds were well positioned to benefit from them. Falling prices in oil markets, precious metals, grains and softs all contributed positively to performance.

 

In summary, fixed income trends generally continued in the third quarter. The Portfolio Funds also took advantage of relatively newer downward trends in currencies and commodities. Slight reversals in equity indices mildly detracted from performance. Overall, the third quarter was profitable for the Partnership.

 

(The Partnership 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 Portfolio Funds are speculative commodity pools.  The market sensitive instruments held by the Portfolio Funds are acquired for speculative trading purposes and all or substantially all of the Portfolio 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 Portfolio Funds’ main line of business.

 

Market movements result in frequent changes in the fair market value of the Portfolio Funds’ open positions and, consequently, in their earnings and cash flow.  The Portfolio 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 Portfolio Funds’ open positions and the liquidity of the markets in which they trade.

 

23



 

The Portfolio Funds, under the direction of their respective Trading Advisor, 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 particular future market scenario will affect performance and the Partnership’s and the Portfolio Funds’ past performance is not necessarily indicative of future results.

 

Value at Risk (“VaR”) is a measure of the maximum amount which the Partnership and the Portfolio Funds could reasonably be expected to lose in a given market sector.  However, the inherent uncertainty of the Partnership’s and the Portfolio Funds’ speculative trading and the recurrence in the markets traded by the Portfolio Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated VaR or the Partnership’s and the Portfolio 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 Partnership’s and the Portfolio Funds’ losses in any market sector will be limited to VaR or by the Partnership’s and the Portfolio Funds’ attempts to manage market risk.

 

Quantifying the Partnership’s Trading Value at Risk

 

Quantitative Forward-Looking Statements

 

The following quantitative disclosures regarding the Partnership’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 Partnership’s risk exposure in the various market sectors traded by the Portfolio Funds is quantified below in terms of VaR.  Due to the Portfolio Funds’ fair value accounting, any loss in the fair value of the Portfolio Funds’ open positions is directly reflected in the Portfolio 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).

 

Exchange maintenance margin requirements have been used by the 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 (generally approximately one year) 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 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.

 

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 Portfolio Funds’ positions are rarely, if ever, 100% positively correlated have not been reflected.

 

24



 

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

 

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

 

The following tables indicate the average, highest, and lowest trading VaR associated with the Portfolio Funds’ open positions by market category for the nine month periods ended September 30, 2015 and 2014.

 

Aspect Class DT (1)                                            September 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

298,123

 

2.62

%

$

498,055

 

$

113,431

 

Energy

 

113,344

 

1.00

%

164,597

 

76,518

 

Interest Rates

 

393,097

 

3.46

%

563,283

 

250,445

 

Metals

 

151,064

 

1.33

%

271,451

 

54,063

 

Stock Indices

 

111,884

 

0.98

%

185,978

 

72,538

 

Currencies

 

109,818

 

0.97

%

193,964

 

21,052

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,177,330

 

10.36

%

$

1,877,328

 

$

588,047

 

 


(1) Average Capitalization of Aspect Class DT is $11,375,190.

 

Aspect Class DT (1)                                            September 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

278,818

 

2.27

%

$

493,886

 

$

37,191

 

Energy

 

127,263

 

1.04

%

225,454

 

31,704

 

Interest Rates

 

356,969

 

2.91

%

615,992

 

163,512

 

Metals

 

104,973

 

0.86

%

156,856

 

37,966

 

Stock Indices

 

258,134

 

2.10

%

447,014

 

118,923

 

Currencies

 

107,169

 

0.87

%

184,653

 

21,591

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,233,326

 

10.05

%

$

2,123,855

 

$

410,887

 

 


(1) Average capitalization of Aspect Class DT is $12,271,935.

 

25



 

BlueTrend Class DT (2)                                    September 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

21,619

 

0.19

%

$

37,478

 

$

10,121

 

Energy

 

205,194

 

1.80

%

383,274

 

50,039

 

Interest Rates

 

887,383

 

7.77

%

1,505,862

 

284,746

 

Metals

 

93,510

 

0.82

%

255,049

 

17,308

 

Stock Indices

 

195,878

 

1.72

%

328,872

 

62,208

 

Currencies

 

133,080

 

1.17

%

189,293

 

63,938

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,536,664

 

13.47

%

$

2,699,828

 

$

488,360

 

 


(2) Average capitalization of BlueTrend Class DT is $11,416,922.

 

BlueTrend Class DT (2)                                    September 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

313,191

 

2.54

%

$

454,736

 

$

151,241

 

Energy

 

138,931

 

1.13

%

254,134

 

78,636

 

Interest Rates

 

340,339

 

2.76

%

594,903

 

204,776

 

Metals

 

32,898

 

0.27

%

67,907

 

13,476

 

Stock Indices

 

225,479

 

1.83

%

446,181

 

32,286

 

Currencies

 

318,306

 

2.58

%

554,928

 

168,809

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,369,144

 

11.11

%

$

2,372,789

 

$

649,224

 

 


(2) Average capitalization of Bluetrend Class DT is $12,343,306.

 

26



 

Transtrend Class DT (3)                                   September 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

902,858

 

7.91

%

$

1,670,646

 

$

300,069

 

Energy

 

343,976

 

3.01

%

839,186

 

124,026

 

Interest Rates

 

685,045

 

6.00

%

1,336,087

 

344,315

 

Metals

 

74,369

 

0.65

%

177,242

 

21,959

 

Stock Indices

 

365,474

 

3.20

%

608,082

 

152,936

 

Currencies

 

115,635

 

1.01

%

145,799

 

102,432

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

2,487,357

 

21.78

%

$

4,777,042

 

$

1,045,737

 

 


(3) Average capitalization of Transtrend Class DT is $11,409,118.

 

Transtrend Class DT (3)                                   September 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

586,896

 

4.74

%

$

838,539

 

$

399,280

 

Energy

 

265,676

 

2.15

%

728,967

 

5,756

 

Interest Rates

 

281,781

 

2.28

%

506,012

 

154,376

 

Metals

 

293,769

 

2.37

%

796,617

 

32,807

 

Stock Indices

 

173,964

 

1.40

%

269,687

 

123,039

 

Currencies

 

338,245

 

2.73

%

590,740

 

83,812

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,940,331

 

15.67

%

$

3,730,562

 

$

799,070

 

 


(3) Average capitalization of Transtrend Class DT is $12,385,810.

 

27



 

Winton Class DT (4)                                          September 30, 2015

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

95,193

 

0.83

%

$

159,947

 

$

37,402

 

Energy

 

41,549

 

0.36

%

63,865

 

24,221

 

Interest Rates

 

454,296

 

3.97

%

649,178

 

286,003

 

Metals

 

91,223

 

0.80

%

139,415

 

32,754

 

Stock Indices

 

126,445

 

1.10

%

204,006

 

53,056

 

Currencies