MAN FRM MANAGED FUTURES STRATEGIES LLC - FORM 10-Q

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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 March 31, 2016

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

For the transition period from to

Commission File Number 0-52505

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Exact name of registrant as specified in its charter)

Delaware		30-0408280
(State or other jurisdiction of		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o FRM Investment Management (USA) LLC

452 Fifth Avenue, 26th Floor

New York, New York 10018

(Address of principal executive offices)

(Zip Code)

212-649-6600

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o		Accelerated filer o

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o No x

As of March 31, 2016, 141,408,098 units of limited liability company interest were outstanding.

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MAN FRM MANAGED FUTURES STRATEGIES LLC

QUARTERLY REPORT FOR March 31, 2016 ON FORM 10-Q

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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	21

Item 4.	Controls and Procedures	28

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	28

Item 1A.	Risk Factors	28

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	29

Item 3.	Defaults Upon Senior Securities	29

Item 4.	Mine Safety Disclosures	29

Item 5.	Other Information	29

Item 6.	Exhibits	30

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MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	March 31, 2016		December 31, 2015
ASSETS:

Cash	$	57,166,818	$	78,898,781
Investment in Underlying Funds (Cost $103,969,784 for 2016 and $95,890,791 for 2015)	102,238,332		84,461,211
Receivable from Underlying Funds	620,000		400,000
Investment in Underlying Funds paid in advance	—		320,000

TOTAL ASSETS	$	160,025,150	$	164,079,992

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Management fee payable	530,738		877,496
Redemptions payable	843,020		1,435,905
Subscriptions received in advance	—		390,000
Other liabilities	297,241		594,859

Total liabilities	1,670,999		3,298,260

MEMBERS’ CAPITAL:
Members’ Capital (141,408,098 Units and 147,812,907 Units outstanding; unlimited Units authorized)	158,354,151		160,781,732
Total Members’ Capital	158,354,151		160,781,732

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	160,025,150	$	164,079,992

NET ASSET VALUE PER UNIT:

Class A	$	1.1445	$	1.1098
Class C	$	1.0938	$	1.0633
Class D	$	1.4625	$	1.4130
Class I	$	1.2380	$	1.1993
Class M	$	1.0804	$	1.0438
Class AA	$	1.0141	$	0.9858
Class II	$	1.0327	$	1.0011
Class MM	$	0.9968	$	—

See notes to financial statements.

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MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three months ended March 31, 2016			For the three months ended March 31, 2015
TRADING PROFIT (LOSS), NET:

Realized, net	$	(3,591,007	)	$	3,074,328
Change in unrealized, net	9,698,128			12,048,293

Total trading profit (loss), net	6,107,121			15,122,621

INVESTMENT INCOME:
Interest	—			2

EXPENSES:
Management fee	812,546			1,160,476
Other expenses	397,915			181,087
Total expenses	1,210,461			1,341,563

NET INVESTMENT INCOME (LOSS)	(1,210,461		)	(1,341,561		)

NET INCOME (LOSS)	$	4,896,660		$	13,781,060

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	22,552,383			26,326,426
Class C	94,659,385			128,669,546
Class D	2,949,004			3,270,753
Class I	13,451,300			15,464,032
Class M	7,175,139			8,360,972
Class AA*	2,088,361			—
Class II**	1,991,073			—
Class MM***	37,368			—

Net income (loss) per weighted average Unit
Class A	$	0.0355		$	0.0790
Class C	$	0.0322		$	0.0730
Class D	$	0.0495		$	0.1040
Class I	$	0.0394		$	0.0857
Class M	$	0.0390		$	0.0770
Class AA*	$	0.0196		$	—
Class II**	$	0.0238		$	—
Class MM***	$	(0.0127	)	$	—

*Units issued on November 16, 2015. Amounts presented reflect the period from January 1, 2016 through March 31, 2016.

**Units issued on December 7, 2015. Amounts presented reflect the period from January 1, 2016 through March 31, 2016.

***Units issued on January 25, 2016. Amounts presented reflect the period from January 25, 2016 through March 31, 2016.

See notes to financial statements.

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MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited) (in Units)

	Members’ Units December 31, 2014	Subscriptions	Redemptions		Members’ Units March 31, 2015	Members’ Units December 31, 2015	Subscriptions	Redemptions		Members’ Units March 31, 2016
Class A	26,447,606	385,112	(1,288,973	)	25,543,745	22,965,118	—	(947,937	)	22,017,181
Class C	131,433,730	668,561	(9,049,091	)	123,053,200	97,914,221	—	(6,404,191	)	91,510,030
Class D	3,270,753	—	—		3,270,753	2,949,004	—	—		2,949,004
Class I	15,579,536	14,465	(314,613	)	15,279,388	13,589,522	—	(363,612	)	13,225,910
Class M	8,338,628	123,985	(124,509	)	8,338,104	7,623,525	—	(584,938	)	7,038,587
Class AA*	—	—	—		—	1,187,288	1,235,326	—		2,422,614
Class II**	—	—	—		—	1,584,229	617,046	—		2,201,275
Class MM***	—	—	—		—	—	43,497	—		43,497

Total Members’ Units	185,070,253	1,192,123	(10,777,186	)	175,485,190	147,812,907	1,895,869	(8,300,678	)	141,408,098

* Units issued on November 16, 2015.

** Units issued on December 7, 2015.

*** Units issued on January 25, 2016.

See notes to financial statements.

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MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)

	Members’ Capital December 31, 2014		Subscriptions		Redemptions			Net Income (Loss)		Members’ Capital March 31, 2015		Members’ Capital December 31, 2015		Subscriptions		Redemptions			Net Income (Loss)			Members’ Capital March 31, 2016
Class A	$	31,855,022	$	473,065	$	(1,644,293	)	$	2,078,575	$	32,762,369	$	25,487,679	$	—	$	(1,090,666	)	$	801,059		$	25,198,072
Class C	153,204,368		811,000		(11,049,281		)	9,393,287		152,359,374		104,115,262		—		(7,075,088		)	3,052,050			100,092,224
Class D	4,940,417		—		—			340,286		5,280,703		4,166,825		—		—			146,070			4,312,895
Class I	20,196,513		19,625		(427,740		)	1,325,161		21,113,559		16,298,259		—		(454,681		)	529,803			16,373,381
Class M	9,304,391		145,000		(148,516		)	643,751		9,944,626		7,957,252		—		(632,852		)	279,844			7,604,244
Class AA*	—		—		—			—		—		1,170,463		1,245,215		—			40,977			2,456,655
Class II**	—		—		—			—		—		1,585,992		640,000		—			47,332			2,273,324
Class MM***	—		—		—			—		—		—		43,831		—			(475		)	43,356

Total Members’ Capital	$	219,500,711	$	1,448,690	$	(13,269,830	)	$	13,781,060	$	221,460,631	$	160,781,732	$	1,929,046	$	(9,253,287	)	$	4,896,660		$	158,354,151

* Units issued on November 16, 2015.

** Units issued on December 7, 2015.

*** Units issued on January 25, 2016.

See notes to financial statements.

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MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M			Class AA			Class II			Class MM*

Per Unit Operating Performance

Net asset value, beginning of period	$	1.1098		$	1.0633		$	1.4130		$	1.1993		$	1.0438		$	0.9858		$	1.0011		$	1.0000

Net realized and net change in unrealized trading profit (loss)	0.0418			0.0400			0.0531			0.0451			0.0392			0.0371			0.0376			(0.0001		)
Expenses (b)	(0.0071		)	(0.0095		)	(0.0036		)	(0.0064		)	(0.0026		)	(0.0088		)	(0.0060		)	(0.0031		)

Net asset value, end of period	$	1.1445		$	1.0938		$	1.4625		$	1.2380		$	1.0804		$	1.0141		$	1.0327		$	0.9968

Total Return: (a)(c)

Total return	3.13		%	2.87		%	3.50		%	3.23		%	3.51		%	2.87		%	3.16		%	-0.32		%

Ratios to Average Members’ Capital: (b)(c)

Expenses	0.62		%	0.87		%	0.24		%	0.52		%	0.24		%	0.87		%	0.58		%	0.41		%

Net investment income (loss)	-0.62		%	-0.87		%	-0.24		%	-0.52		%	-0.24		%	-0.87		%	-0.58		%	-0.41		%

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

(b) The amounts do not reflect the proportionate share of expense from the Underlying Funds.

*Class MM units issued on January 25, 2016.

See notes to financial statements.

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MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2015 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M

Per Unit Operating Performance

Net asset value, beginning of period	$	1.2045		$	1.1656		$	1.5105		$	1.2963		$	1.1158

Net realized and net unrealized change in trading profit (loss)	0.0839			0.0811			0.1053			0.0903			0.0778
Expenses (b)	(0.0058		)	(0.0085		)	(0.0013		)	(0.0048		)	(0.0009		)

Net asset value, end of period	$	1.2826		$	1.2382		$	1.6145		$	1.3818		$	1.1927

Total Return: (a)(c)

Total return	6.48		%	6.23		%	6.88		%	6.59		%	6.90		%

Ratios to Average Members’ Capital: (b)(c)

Expenses	0.46		%	0.71		%	0.08		%	0.36		%	0.08		%

Net investment income (loss)	-0.46		%	-0.71		%	-0.08		%	-0.36		%	-0.08		%

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

See notes to financial statements.

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MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM”). FRM is registered as a commodity pool operator (“CPO”) and commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act. FRM is also registered as an investment adviser under the Investment Advisers Act of 1940. FRM is an indirect wholly-owned subsidiary of Man Group plc (the “Man Group”). The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007. The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance. The Fund was previously known as “Systematic Momentum FuturesAccess LLC” through April 30, 2015.

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

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

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

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

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Unless the context requires otherwise, references in these financial statements notes to the Fund, also refer to the Underlying Funds and the Master Funds in which the Underlying Funds invest. Reference to the investment process, strategies, objectives or activities of the Fund and the Underlying Funds refer to the investment activities of the Master Funds through which the Underlying Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities. Additionally, references to the Underlying Funds that follow are also related to the FuturesAccess Portfolio Funds during the period prior to May 1, 2015.

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

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of March 31, 2016 the Fund does not hold any cash equivalents. Cash was held at a nationally recognized financial institution.

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of March 31, 2016 and December 31, 2015 and the results of its operations for the three month periods ended March 31, 2016 and 2015. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2015.

Estimates

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

2. INVESTMENTS IN UNDERLYING FUNDS

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

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During May 2015, the Fund invested in a new group of Underlying Funds. As of March 31, 2016, the seven Underlying Funds in which the Fund is invested in, and the respective Master Funds in which the Underlying Funds are invested in, are: (i) Blakeney Delaware Feeder LLC (“Blakeney”) which invests in Blakeney Fund Limited, (ii) Campbell Delaware Feeder LLC (“Campbell”) which invests in Campbell MAC Cayman Fund Limited, (iii) Carlisle Delaware Feeder LLC (“Carlisle”) which invests in Carlisle Fund Limited, (iv) CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) which invests in CCP Core Macro Cayman Fund Limited, (v) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited, (vi) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC Limited, and (vii) Century Cat Mac Delaware Feeder LLC (“Century CAT”) which invests in Century CAT MAC Cayman Fund Limited. As used herein, Trading Advisor in respect of an Underlying Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Underlying Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Underlying Funds. In the process of rebalancing, the Fund’s allocation to any individual Underlying Fund may range between 3% - 25% of the Fund’s Net Asset Value (“NAV”).

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

The details of investments in Underlying Funds at and for the period ended March 31, 2016 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 3/31/2016		Redemptions Permitted
Blakeney	13.19	%	$	20,891,586	$	1,012,064		$	20,239,881	Weekly
Silver	8.32	%	13,172,089		1,306,836			14,134,162		Weekly
Quantica MF	6.58	%	10,421,699		1,276,965			11,912,482		Weekly
CCP Core Macro	5.88	%	9,304,765		751,107			9,666,267		Weekly
Campbell	14.65	%	23,212,154		844,881			23,338,007		Weekly
Carlisle	5.47	%	8,659,833		989,062			8,028,985		Weekly
Century CAT*	10.47	%	16,576,206		(73,794		)	16,650,000		Weekly

	64.56	%	$	102,238,332	$	6,107,121		$	103,969,784

*Underlying Fund added in March 2016.

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The details of investments in FuturesAccess Portfolio Funds and in Underlying Funds at and for the year ended December 31, 2015 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/15		Redemptions Permitted
Transtrend*	0.00	%	$	—	$	501,384		$	—	Semi-Monthly
Winton*	0.00	%	—		407,901			—		Semi-Monthly
Aspect*	0.00	%	—		(509,070		)	—		Semi-Monthly
John Locke*	0.00	%	—		1,283,475			—		Semi-Monthly
Blue trend*	0.00	%	—		2,862,359			—		Monthly
Tudor*	0.00	%	—		1,341,872			—		Semi-Monthly
Lynx*	0.00	%	—		714,472			—		Semi-Monthly
Blakeney**	12.75	%	20,499,522		(465,478		)	20,751,000		Weekly
Silver**	6.71	%	10,785,253		(4,329,747		)	13,190,692		Weekly
Quantica MF**	10.85	%	17,439,734		(7,620,266		)	23,687,804		Weekly
CCP Core Macro**	5.74	%	9,238,658		(1,901,342		)	10,422,116		Weekly
Campbell**	12.50	%	20,102,273		(1,672,727		)	21,084,372		Weekly
Carlisle**	3.98	%	6,395,771		(1,304,229		)	6,754,807		Weekly

	52.53	%	$	84,461,211	$	(10,691,396	)	$	95,890,791

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

** Underlying Funds added in May 2015.

There are no investments held by the FuturesAccess Portfolio Funds or the Underlying Funds and the Underlying Funds’ Master Funds that in the aggregate exceed 5% of the Fund’s members’ capital. The following is summarized financial information as required by regulation S-X, for each of the FuturesAccess Portfolio Funds and the Underlying Funds:

	As of March 31, 2016
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	21,038,175	$	136,346	20,901,829
Campbell	23,354,050		132,095		23,221,955
Carlisle	8,764,668		94,507		8,670,161
CCP Core Macro	9,402,811		88,850		9,313,961
Century CAT*	16,634,227		48,065		16,586,162
Quantica MF	10,551,772		123,023		10,428,749
Silver	13,290,443		109,664		13,180,779

Total	$	103,036,146	$	732,550	$	102,303,596

*Underlying Fund added in March 2016.

	As of December 31, 2015
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	20,631,073	$	421,747	$	20,209,326
Campbell	21,212,903		1,331,203		19,881,700
Carlisle	6,488,042		83,221		6,404,821
CCP Core Macro	9,321,267		74,078		9,247,189
Quantica MF	17,560,913		444,542		17,116,371
Silver	11,676,904		883,811		10,793,093

Total	$	86,891,102	$	3,238,602	$	83,652,500

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	For the three months ended March 31, 2016
	Income (Loss)			Commissions		Expenses			Net Income (Loss)
Blakeney	$	1,094,270		$	—	$	(81,766	)	$	1,012,504
Campbell	923,026			—		(77,771		)	845,255
Carlisle	1,030,598			—		(40,260		)	990,338
CCP Core Macro	843,887			—		(49,494		)	794,393
Century CAT*	(68,350		)	—		(5,489		)	(73,839		)
Quantica MF	1,345,820			—		(68,443		)	1,277,377
Silver	1,363,029			—		(55,342		)	1,307,687

Total	$	6,532,280		$	—	$	(378,565	)	$	6,153,715

*Underlying Fund added in March 2016.

	For the three months ended March 31, 2015
	Income (Loss)		Commissions			Expenses			Net Income (Loss)
Aspect	$	15,676,944	$	(129,118	)	$	(4,406,698	)	$	11,141,128
BlueTrend	11,103,105		(123,868		)	(2,553,172		)	8,426,065
John Locke	2,220,738		(55,487		)	(559,924		)	1,605,327
Lynx	5,319,196		(56,977		)	(1,260,896		)	4,001,323
Transtrend	5,068,618		(127,925		)	(1,514,629		)	3,426,064
Tudor	2,179,703		(96,866		)	(473,172		)	1,609,665
Winton	64,124,236		(259,900		)	(20,975,691		)	42,888,645

Total	$	105,692,540	$	(850,141	)	$	(31,744,182	)	$	73,098,217

3. FAIR VALUE OF INVESTMENTS

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

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

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

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

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

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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. FRM’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

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

As of March 31, 2016 and December 31, 2015, all of the investments were fair valued using the NAV as a practical expedient of the Underlying Funds.

4. MARKET, CREDIT AND CONCENTRATION RISKS

The nature of this Fund has certain risks, which cannot all be presented in the financial statements. The following summarizes certain 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 Master Funds’ financial assets (liabilities) at fair value through profit or loss on such derivative instruments as reflected in the Statement of Financial Condition of the Master Funds. The Fund’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Master Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

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

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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 derivatives, at fair value, if any, included in the Master Funds’ Statement of Financial Condition.

As of March 31, 2016, the Underlying Funds held by the Fund generally do not invest directly in positions other than their related Master Funds. The Master Funds enter into contracts with various futures clearing brokers. These brokers may encounter financial difficulties that can impair the operating capabilities or the capital position of the Master Funds, and in turn, the Underlying Funds. The Trading Advisors of the Master Funds will attempt to limit transactions to well-capitalized and established brokers in an effort to mitigate such risk.

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

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

Concentration Risk

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

Indemnifications

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

5. RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Former Transfer Agent”), an affiliate of MLAI, which was in place through April 30, 2015. The fees charged by the Former Transfer Agent for its services were based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranged from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. Effective as of May 1, 2015, The Bank of New

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York Mellon, a corporation organized under the laws of the State of New York, through its Alternative Investment Services division (“AIS”), serves as the administrator, registrar and transfer agent (“New Transfer Agent”) for the Fund pursuant to an Administrative Services Agreement. The New Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of units. The New Transfer Agent is not a related party of the Fund.

The Transfer Agent fee allocated to the Fund for the three month periods ended March 31, 2016 and 2015 amounted to $0 and $11,156, respectively.

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

Effective August 19, 2015, three new classes were offered by the Fund. The respective Management Fee for these classes are: Class AA units 2.5% per annum; Class II units 1.35% per annum; Class MM units 0.60% per annum.

6. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each Class for the three months ended March 31, 2016 and 2015 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the period.

7. SUBSEQUENT EVENTS

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

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

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

NET ASSET VALUE PER UNIT

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

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

YR 2016

NAV PER UNIT CLASS A

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.1236	$	1.1686	$	1.1501	$	1.1497	$	1.1497	$	1.1574	$	1.1798	$	1.1755	$	1.1750	$	1.1750	$	1.1536	$	1.1281	$	1.1375	$	1.1355	$	1.1445

NAV PER UNIT CLASS C

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.0763	$	1.1192	$	1.1013	$	1.1007	$	1.1007	$	1.1078	$	1.1290	$	1.1247	$	1.1240	$	1.1240	$	1.1034	$	1.0788	$	1.0875	$	1.0855	$	1.0938

NAV PER UNIT CLASS D

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.4310	$	1.4887	$	1.4656	$	1.4655	$	1.4655	$	1.4756	$	1.5047	$	1.4996	$	1.4995	$	1.4995	$	1.4726	$	1.4404	$	1.4528	$	1.4507	$	1.4625

NAV PER UNIT CLASS I

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.2143	$	1.2630	$	1.2432	$	1.2428	$	1.2428	$	1.2512	$	1.2755	$	1.2710	$	1.2706	$	1.2706	$	1.2475	$	1.2200	$	1.2302	$	1.2282	$	1.2380

NAV PER UNIT CLASS M

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.0571	$	1.0997	$	1.0827	$	1.0826	$	1.0826	$	1.0901	$	1.1115	$	1.1078	$	1.1077	$	1.1077	$	1.0878	$	1.0641	$	1.0732	$	1.0716	$	1.0804

NAV PER UNIT CLASS AA

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	0.9978	$	1.0376	$	1.0210	$	1.0204	$	1.0204	$	1.0270	$	1.0467	$	1.0427	$	1.0421	$	1.0421	$	1.0229	$	1.0001	$	1.0082	$	1.0063	$	1.0141

NAV PER UNIT CLASS II

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.0136	$	1.0542	$	1.0376	$	1.0372	$	1.0372	$	1.0441	$	1.0644	$	1.0606	$	1.0602	$	1.0602	$	1.0409	$	1.0179	$	1.0264	$	1.0246	$	1.0327

NAV PER UNIT CLASS MM

	Jan. 8th	Jan. 15th	Jan. 22nd	Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	N/A	N/A	N/A	$	0.9998	$	0.9998	$	1.0066	$	1.0263	$	1.0228	$	1.0225	$	1.0225	$	1.0041	$	0.9821	$	0.9904	$	0.9888	$	0.9968

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YR 2015

NAV PER UNIT CLASS A

	Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd
2015	$	1.2304	$	1.2611	$	1.2311	$	1.2593	$	1.2846	$	1.2826	$	1.2986	$	1.2308	$	1.2308	$	1.2183	$	1.2351

	May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015	$	1.2319	$	1.2013	$	1.1770	$	1.1742	$	1.1442	$	1.1509	$	1.1423	$	1.1638	$	1.1784	$	1.1834	$	1.1885

	Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th
2015	$	1.1642	$	1.1606	$	1.1071	$	1.1336	$	1.1283	$	1.1141	$	1.1223	$	1.1350	$	1.0953	$	1.1123	$	1.1289

	Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015	$	1.1151	$	1.1147	$	1.1243	$	1.1499	$	1.1606	$	1.1574	$	1.1087	$	1.1283	$	1.1350	$	1.1118	$	1.1098

NAV PER UNIT CLASS C

	Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd
2015	$	1.1903	$	1.2195	$	1.1899	$	1.2167	$	1.2406	$	1.2382	$	1.2531	$	1.1872	$	1.1872	$	1.1746	$	1.1906

	May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015	$	1.1872	$	1.1576	$	1.1338	$	1.1310	$	1.1018	$	1.1082	$	1.0997	$	1.1202	$	1.1340	$	1.1385	$	1.1432

	Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th
2015	$	1.1197	$	1.1160	$	1.0643	$	1.0896	$	1.0843	$	1.0705	$	1.0781	$	1.0902	$	1.0518	$	1.0679	$	1.0836

	Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015	$	1.0702	$	1.0696	$	1.0786	$	1.1029	$	1.1130	$	1.1098	$	1.0631	$	1.0816	$	1.0878	$	1.0654	$	1.0633

NAV PER UNIT CLASS D

	Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd
2015	$	1.5440	$	1.5835	$	1.5468	$	1.5832	$	1.6160	$	1.6145	$	1.6357	$	1.5513	$	1.5513	$	1.5364	$	1.5581

	May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015	$	1.5544	$	1.5163	$	1.4862	$	1.4829	$	1.4458	$	1.4544	$	1.4440	$	1.4714	$	1.4904	$	1.4971	$	1.5040

	Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th
2015	$	1.4737	$	1.4696	$	1.4024	$	1.4362	$	1.4300	$	1.4121	$	1.4231	$	1.4395	$	1.3897	$	1.4116	$	1.4331

	Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015	$	1.4161	$	1.4160	$	1.4286	$	1.4615	$	1.4756	$	1.4716	$	1.4100	$	1.4353	$	1.4442	$	1.4150	$	1.4130

NAV PER UNIT CLASS I

	Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd
2015	$	1.3245	$	1.3578	$	1.3257	$	1.3563	$	1.3838	$	1.3818	$	1.3993	$	1.3265	$	1.3265	$	1.3132	$	1.3314

	May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015	$	1.3280	$	1.2952	$	1.2691	$	1.2661	$	1.2340	$	1.2413	$	1.2321	$	1.2553	$	1.2712	$	1.2766	$	1.2822

	Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th
2015	$	1.2562	$	1.2524	$	1.1948	$	1.2234	$	1.2178	$	1.2025	$	1.2115	$	1.2253	$	1.1826	$	1.2010	$	1.2190

	Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015	$	1.2042	$	1.2039	$	1.2144	$	1.2420	$	1.2538	$	1.2503	$	1.1978	$	1.2190	$	1.2263	$	1.2013	$	1.1993

NAV PER UNIT CLASS M

	Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd
2015	$	1.1406	$	1.1698	$	1.1426	$	1.1695	$	1.1938	$	1.1927	$	1.2083	$	1.1459	$	1.1459	$	1.1350	$	1.1510

	May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015	$	1.1483	$	1.1201	$	1.0979	$	1.0955	$	1.0680	$	1.0744	$	1.0667	$	1.0870	$	1.1010	$	1.1059	$	1.1110

	Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th
2015	$	1.0887	$	1.0856	$	1.0360	$	1.0610	$	1.0563	$	1.0432	$	1.0513	$	1.0634	$	1.0266	$	1.0428	$	1.0587

	Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015	$	1.0461	$	1.0460	$	1.0553	$	1.0796	$	1.0900	$	1.0871	$	1.0416	$	1.0603	$	1.0669	$	1.0453	$	1.0438

NAV PER UNIT CLASS AA

Jan. 15th

Jan. 31th

Feb. 15th

Feb. 28th

Mar. 15th

Mar. 31th

Apr. 15th

Apr. 30th

May. 8th

May. 15th

May. 22nd

2015

n/a

May. 31st

Jun. 5th

Jun. 15th

Jun. 19th

Jun. 30th

Jul. 2rd

Jul. 10th

Jul. 15th

Jul. 24th

Jul. 31st

Aug. 7th

2015

n/a

Aug. 14th

Aug. 21st

Aug. 31st

Sep. 4th

Sep. 11th

Sep. 15th

Sep. 25th

Sep. 30th

Oct. 09th

Oct. 15th

Oct. 23th

2015

n/a

Oct. 31st

Nov. 6th

Nov. 13th

Nov. 20th

Nov. 27th

Nov. 30th

Dec. 4th

Dec. 11th

Dec. 18th

Dec. 24th

Dec. 31st

2015

n/a

1.0225

1.0319

1.0289

0.9856

1.0028

1.0085

0.9877

0.9858

NAV PER UNIT CLASS II

Jan. 15th

Jan. 31th

Feb. 15th

Feb. 28th

Mar. 15th

Mar. 31th

Apr. 15th

Apr. 30th

May. 8th

May. 15th

May. 22nd

2015

n/a

May. 31st

Jun. 5th

Jun. 15th

Jun. 19th

Jun. 30th

Jul. 2rd

Jul. 10th

Jul. 15th

Jul. 24th

Jul. 31st

Aug. 7th

2015

n/a

Aug. 14th

Aug. 21st

Aug. 31st

Sep. 4th

Sep. 11th

Sep. 15th

Sep. 25th

Sep. 30th

Oct. 09th

Oct. 15th

Oct. 23th

2015

n/a

Oct. 31st

Nov. 6th

Nov. 13th

Nov. 20th

Nov. 27th

Nov. 30th

Dec. 4th

Dec. 11th

Dec. 18th

Dec. 24th

Dec. 31st

2015

n/a

1.0177

1.0238

1.0028

1.0011

Liquidity and Capital Resources

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

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

There is no established public trading market for the Units. Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of each Friday (or, where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (“Redemption Day”), upon submitting a redemption request by the “Redemption Notice Date,” which is four business days prior to the Redemption Date. The NAV of

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redeemed Units is determined as of the Redemption Day. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption request and the applicable Redemption Day.

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

For the three months ended March 31, 2016 the Fund’s capital decreased 1.51% from $160,781,732 to $158,354,151. This decrease was attributable to the net income from operations of $4,896,660, coupled with the redemption of 8,300,678 Units resulting in an outflow of $9,253,287. The cash outflow was offset with cash inflow of $1,929,046 due to subscriptions of 1,895,869 Units. Future redemptions could impact the amount of funds available for investment in the Underlying Funds in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

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

Investments

Purchase and sale of investments are recorded on a trade date basis. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss from the preceding period is reported in the respective Statements of Operations.

Fair Value Measurements

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

Income Taxes

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

The Fund follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the NAV of the Fund,

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

Reform Act

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

Results of Operations

January 1, 2016 to March 31, 2016

January 1, 2016 to March 31, 2016

The following table is an allocation by sector as a percentage of net unrealized profit and loss on open positions for the Fund as a whole taking into account the positions at the underlying Master Fund level and the allocation to each underlying Master Fund as of March 31, 2016:

March 31, 2016

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions
Agriculture	$	163,906		12.53	%
Currencies - Futures	(168,363		)	-12.87	%
Currencies - Forwards	(90,761		)	-6.94	%
Energy	31,676			2.42	%
Interest rates	1,030,491			78.80	%
Metals	(56,054		)	-4.29	%
Stock indices	396,993			30.35	%

Total	$	1,307,888		100	%

The Fund experienced a net trading profit for the first quarter ended March 31, 2016 of $6,107,121.

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Returns were varied over the quarter with positive returns in January and February, while March gave back some earlier gains.

The start of the quarter was characterized by an overall risk-off sentiment as the Chinese equity market experienced extreme volatility with heavy sell-offs that hit the circuit breakers twice in a week, coupled with the continued decline in the energy market. Consequently, this led to raised uncertainty about policy actions from the central banks that remained throughout the quarter. Mid-quarter, the outlook for 2016 became even more complicated as markets also dealt with the marginal effect of negative rate policy in the Eurozone and Japan. However, Yellen’s speech at the end of March maintained the dovish tone held throughout the quarter, leading the market to revise down the probability of a June rate hike. The portfolio however maintained a positive net-of-fees result year-to-date, despite the backdrop of uncertainty from central bank action.

The main contributor to performance at the start of the quarter was the fixed income sector, receiving positions across the developed market rates benefited from the January rally, especially during the final week of the month. Fixed income remained the main contributor to performance through February. However, this sector performed negatively towards the end of the quarter. The majority of the losses came from long positions in developed market bonds such as UK Gilts despite being offset by long positions in Italian and French government bonds.

The commodities sector performed positively in January. The short position in crude benefited early in the month as the price of oil slid below the $30/bbl mark. However, towards the middle of the quarter, while precious metals detracted from performance, gains were led by shorts in energy and agriculturals making the commodities sector the second best performing asset class in February. Commodities was the worst performer in March despite most programs scaling back their shorts in the energy sector towards the end of the quarter.

The equities sector was the only sector that detracted at the start of the quarter as a result of the market sell-off, and remained down until the end of the quarter. Longs in the U.S. and Japanese major equity indices all suffered from the price drop during the first two weeks of January, and long positions in S&P500 and DAX detracted in February. In March, the Fund saw positive performance with gains led by longs in the US equity market including S&P500, Nasdaq and Dow Jones.

Foreign currencies future and forwards contributed positively at the start of the quarter, but turned negative by the end. Short positions in GBP, CAD and ZAR against USD contributed to performance in the beginning of January. However, a long JPY against USD position was maintained into February and through March as at the end of the quarter the euro and pound strengthened against the U.S. dollar, further detracting from performance.

In terms of positioning at quarter end, the portfolio continued to hold its long delta exposure although there were some notable reductions within the fixed income sector. The portfolio trimmed some of the longs in precious metals in the last week of the quarter and adjusted its overall delta exposure in commodities to almost flat. Regarding equities, the portfolio entered March flat, but swiftly built up a long exposure most significantly in the U.S. as the equities market rallied. Finally, the portfolio notably reversed its net long dollar exposure to net short during the second half of March in the FX sector.

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January 1, 2015 to March 31, 2015

January 1, 2015 to March 31, 2015

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

March 31, 2015

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions
Agriculture	1,613,161			32.86	%
Currencies - Futures	(26,105		)	-0.53	%
Currencies - Forwards	(177,860		)	-3.62	%
Energy	306,419			6.24	%
Interest rates	3,328,997			67.81	%
Metals	(673,049		)	-13.71	%
Stock indices	537,484			10.95	%

Total	$	4,909,047		100	%

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

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

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

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

Fixed income was also profitable. The falling yields drove performance in 2014. The Portfolio Funds were long fixed income markets across geographies and maturities at the start of 2015, even as yields were low in many areas. Yields fell further, with big moves registered in January, especially in Europe. These moves were in part due to the concerns over slow growth and deflation, and the easing bias adopted by many central banks as evidenced by rate cuts in several countries and the quantitative easing

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decision from the European Central Bank. Yields did come back up some in February, but were down again in March. Overall, the direction was downward and the moves benefited long positions, resulting in profits for trend followers.

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

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

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

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

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

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

Value at Risk (“VaR”) is a measure of the maximum amount which the Fund and the FuturesAccess Portfolio Funds and the Underlying Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Fund’s and the FuturesAccess Portfolio Funds and the

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

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward Looking Statements

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

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

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

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

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

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

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

The following tables indicate the average, highest, and lowest trading VaR associated with the FuturesAccess Portfolio Funds and the Underlying Funds’ open positions by market category for the three month periods ended March 31, 2016 and 2015. (For initial Underlying Fund investments made during the period, VaR is calculated starting from the commencement of the holding.)

Blakeney (1)*

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	20,116	0.10	%	$	22,374	$	15,805
Energy	122,202		0.58	%	174,690		46,603
Interest Rates	298,353		1.42	%	313,618		269,318
Metals	17,151		0.08	%	21,693		13,585
Stock Indices	62,532		0.30	%	93,341		14,184
Currencies	102,716		0.49	%	189,929		56,682

TOTAL	$	623,070	2.97	%	$	815,645	$	416,177

(1) Average capitalization of Blakeney is $21,011,911.

* Blakeney added in May 2015.

Campbell (2) *

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	62,698	0.29	%	$	115,750	$	32,018
Energy	136,308		0.62	%	188,541		45,269
Interest Rates	261,686		1.20	%	347,156		212,899
Metals	22,571		0.10	%	33,607		9,115
Stock Indices	46,289		0.21	%	61,473		36,105
Currencies	160,225		0.73	%	263,978		27,740

TOTAL	$	689,777	3.15	%	$	1,010,505	$	363,146

(2) Average capitalization of Campbell is $21,880,112.

* Campbell added in May 2015.

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Carlisle (3) *

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	18,096	0.22	%	$	31,053	$	7,164
Energy	63,630		0.77	%	125,640		3,230
Interest Rates	151,620		1.83	%	208,645		46,770
Metals	10,213		0.12	%	16,960		5,644
Stock Indices	23,933		0.29	%	38,709		6,331
Currencies	30,214		0.36	%	45,151		6,609
Other	18,984		0.23	%	28,014		7,676

TOTAL	$	316,690	3.82	%	$	494,172	$	83,424

(3) Average capitalization of Carlisle is $8,287,498.

* Carlisle added in May 2015.

Century CAT (4) *

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	737	0.00	%	$	737	$	737
Energy	20,013		0.12	%	20,013		20,013
Interest Rates	125,388		0.75	%	125,388		125,388
Metals	4,860		0.03	%	4,860		4,860
Stock Indices	13,841		0.08	%	13,841		13,841
Currencies	114,891		0.69	%	114,891		114,891
Other	9		0.00	%	9		9

TOTAL	$	279,739	1.67	%	$	279,739	$	279,739

(4) Average capitalization of Century CAT is $16,676,590.

* Century CAT added in March 2016.

CCPCore Macro (5) *

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	4,970	0.05	%	$	6,309	$	3,812
Energy	89,458		0.92	%	131,014		50,415
Interest Rates	121,175		1.25	%	158,560		95,211
Metals	3,229		0.03	%	6,418		112
Stock Indices	13,192		0.14	%	32,523		508
Currencies	29,551		0.30	%	59,914		9,031

TOTAL	$	261,575	2.69	%	$	394,738	$	159,089

(5) Average capitalization of CCPCore Macro is $9,695,513.

* CCPCore Macro added in May 2015.

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Quantica MF(6) *

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	24,201	0.14	%	$	37,803	$	9,426
Energy	129,292		0.77	%	305,453		546
Interest Rates	419,012		2.49	%	529,812		214,876
Metals	62,197		0.37	%	105,016		32,662
Stock Indices	60,130		0.36	%	104,716		1,658
Currencies	47,668		0.28	%	107,484		4,963

TOTAL	$	742,500	4.41	%	$	1,190,284	$	264,131

(6) Average capitalization of Quantica MF is $16,844,577.

* Quantica MF added in May 2015.

Silver (7) *

	March 31, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	19,407	0.15	%	$	38,918	$	4,959
Energy	112,234		0.87	%	280,212		27,631
Interest Rates	190,183		1.48	%	264,723		73,940
Metals	64,334		0.50	%	103,823		27,556
Stock Indices	55,853		0.44	%	91,899		7,696
Currencies	122,030		0.95	%	184,259		39,621

TOTAL	$	564,041	4.39	%	$	963,834	$	181,403

(7) Average capitalization of Silver is $12,829,404.

* Silver added in May 2015.

Aspect DS (8) *

	March 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	678,016	2.79	%	$	725,790	$	606,666
Energy	148,829		0.61	%	159,316		133,168
Interest Rates	915,775		3.77	%	980,302		819,405
Metals	105,153		0.43	%	112,563		94,088
Stock Indices	141,087		0.58	%	151,028		126,240
Currencies	315,343		1.30	%	337,563		282,159

TOTAL	$	2,304,203	9.48	%	$	2,466,562	$	2,061,726

(8) Average capitalization of Aspect Class DS was $24,293,973.

* Aspect redeemed as of April 30, 2015.

BlueTrend DS (9) *

	March 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	35,234	0.10	%	$	38,151	$	29,569
Energy	282,700		0.79	%	306,109		237,251
Interest Rates	2,248,933		6.31	%	2,435,153		1,887,379
Metals	100,152		0.28	%	108,444		84,050
Stock Indices	397,691		1.12	%	430,622		333,756
Currencies	572,401		1.61	%	619,798		480,378

TOTAL	$	3,637,111	10.21	%	$	3,938,277	$	3,052,383

(9) Average capitalization of BlueTrend Class DS was $35,655,442.

* BlueTrend redeemed as of April 30, 2015.

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John Locke DS (10) *

	March 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	1,189,626	4.88	%	$	1,258,388	$	1,052,845
Energy	220,250		0.90	%	232,981		194,926
Interest Rates	1,723,369		7.07	%	1,822,982		1,525,219
Metals	262,751		1.08	%	277,938		232,540
Stock Indices	241,105		0.99	%	255,041		213,383
Currencies	38,559		0.16	%	40,787		34,125

TOTAL	$	3,675,660	15.08	%	$	3,888,117	$	3,253,038

(10) Average capitalization of John Locke Class DS was $24,370,582.

* John Locke redeemed as of April 30, 2015.

Lynx DS (11) *

	March 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	1,076,053	3.22	%	$	1,181,392	$	967,293
Energy	319,028		0.96	%	350,259		286,783
Interest Rates	2,721,222		8.15	%	2,987,613		2,446,180
Metals	264,176		0.79	%	290,037		237,475
Stock Indices	462,477		1.38	%	507,751		415,733
Currencies	64,971		0.19	%	71,331		58,404

TOTAL	$	4,907,927	14.69	%	$	5,388,383	$	4,411,868

(11) Average capitalization of Lynx Class DS was $45,496,263.

* Lynx redeemed as of April 30, 2015.

Transtrend DS (12) *

	March 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	2,262,772	6.37	%	$	2,495,016	$	2,080,525
Energy	273,189		0.77	%	301,229		251,186
Interest Rates	1,809,636		5.09	%	1,995,372		1,663,885
Metals	62,429		0.18	%	68,836		57,401
Stock Indices	823,604		2.32	%	908,136		757,269
Currencies	167,218		0.47	%	184,380		153,750

TOTAL	$	5,398,848	15.20	%	$	5,952,969	$	4,964,016

(12) Average capitalization of Transtrend Class DS was $35,544,456.

* Transtrend redeemed as of April 30, 2015.

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Tudor Tensor DS (13) *

	March 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	596,419	2.44	%	$	628,215	$	567,932
Energy	11,913		0.05	%	12,548		11,344
Interest Rates	371,158		1.52	%	390,945		353,431
Metals	1,491,889		6.10	%	1,571,426		1,420,633
Stock Indices	165,102		0.68	%	173,904		157,216
Currencies	333,667		1.37	%	351,455		317,730

TOTAL	$	2,970,148	12.16	%	$	3,128,493	$	2,828,286

(13) Average capitalization of Tudor Tensor Class DS was $24,437,583.

* Tudor Tensor redeemed as of April 30, 2015.

Winton DS (14) *

	March 31, 2015
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	371,134	0.83	%	$	426,939	$	286,710
Energy	188,283		0.42	%	216,593		145,453
Interest Rates	1,913,874		4.30	%	2,201,648		1,478,509
Metals	406,887		0.91	%	468,067		314,329
Stock Indices	232,921		0.52	%	267,943		179,936
Currencies	111,983		0.25	%	128,821		86,509

TOTAL	$	3,225,082	7.23	%	$	3,710,011	$	2,491,446

(14) Average capitalization of Winton Class DS was $44,475,814.

* Winton redeemed as of April 30, 2015.

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

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

Non-Trading Risk

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

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Fund’s market risk exposures through the Underlying Funds after the change in structure — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures — constitute

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

Item 4. Controls and Procedures

Disclosure Controls and Procedures

FRM’s President and Principal Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of the end of the quarter which ended March 31, 2016, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.

Changes in Internal Control over Financial Reporting

No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended March 31, 2016 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II — OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2015, filed with the Securities and Exchange Commission on March 30, 2015.

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

(a) Units are privately offered and sold to “accredited investors” (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder. The selling agents of the Units are Man Investment Inc. (“MII”) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”).

CLASS AA

	Subscription
	Amount		Units	NAV (1)
01/04/16	$	390,000	395,618	$	0.9858
01/11/16	67,000		67,148	0.9978
01/25/16	543,215		532,040	1.0210
02/16/16	33,000		31,528	1.0467
03/07/16	134,000		131,000	1.0229
03/14/16	78,000		77,992	1.0001

CLASS II

	Subscription
	Amount		Units	NAV (1)
02/01/16	$	640,000	617,046	$	1.0372

CLASS MM

	Subscription
	Amount		Units	NAV (1)
01/25/16	$	28,831	28,831	$	1.0000
02/22/16	15,000		14,666	1.0228

(1) Beginning of the period Net Asset Value

Class AA Units, Class II Units and Class MM Units were subject to upfront sales commissions paid to MLPF&S up to 3% of an investor’s gross subscription amount. Sales commissions were directly deducted from subscription amounts.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

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Item 6. Exhibits

31.01 and

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

Exhibit 31.01

and 31.02: Are filed herewith.

32.01 and

32.02 Section 1350 Certifications

Exhibit 32.01

and 32.02 Are filed herewith.

Exhibit 101 Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three month period ended March 31, 2016 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members’ Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text.

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SIGNATURES

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

	MAN FRM MANAGED FUTURES STRATEGIES LLC


		By:	FRM INVESTMENT
			MANAGEMENT (USA) LLC
			(Manager)


Date: May 13, 2016		By:	/s/ Michelle McCloskey
			Michelle McCloskey
			President
			(Principal Executive Officer)


Date: May 13, 2016		By:	/s/ Linzie Steinbach
			Linzie Steinbach
			Principal Financial Officer

MAN FRM MANAGED FUTURES STRATEGIES LLC - FORM 10-Q - May 13, 2016

Attached files

MAN FRM MANAGED FUTURES STRATEGIES LLC Reports