Millburn Multi-Markets Fund L.P. - FORM 10-Q

Attached files

file	filename
EX-32.03 - EXHIBIT 32.03 - Millburn Multi-Markets Fund L.P.	v445759_ex32-03.htm
EX-32.02 - EXHIBIT 32.02 - Millburn Multi-Markets Fund L.P.	v445759_ex32-02.htm
EX-32.01 - EXHIBIT 32.01 - Millburn Multi-Markets Fund L.P.	v445759_ex32-01.htm
EX-31.03 - EXHIBIT 31.03 - Millburn Multi-Markets Fund L.P.	v445759_ex31-03.htm
EX-31.02 - EXHIBIT 31.02 - Millburn Multi-Markets Fund L.P.	v445759_ex31-02.htm
EX-31.01 - EXHIBIT 31.01 - Millburn Multi-Markets Fund L.P.	v445759_ex31-01.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended: June 30, 2016

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File Number: 000-54028

MILLBURN MULTI-MARKETS FUND L.P.

(Exact name of registrant as specified in its charter)

Delaware		26-4038497
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut 06830

(Address of principal executive offices) (Zip Code)

Registrant's telephone number, including area code: (203) 625-7554

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 ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, 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 ¨

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 “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ¨ No x

PART I. FINANANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

Millburn Multi-Markets Fund L.P.
Financial statements
For the three and six months ended June 30, 2016 and 2015 (unaudited)

Statements of Financial Condition (a)		1
Statements of Operations (c)		2
Statements of Changes in Partners' Capital (b)		4
Statements of Financial Highlights (c)		5
Notes to Financial Statements		9

(a) At June 30, 2016 and December 31, 2015 (unaudited)

(b) For the six months ended June 30, 2016 and 2015 (unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Financial Condition (UNAUDITED)

	June 30, 2016		December 31, 2015
ASSETS
Investment in Millburn Multi-Markets
Trading L.P. (the “Master Fund”)	$	142,296,453	$	122,195,202

Due from the Master Fund		1,045,606		1,304,389
Cash		11,517,684		52,684

Total assets	$	154,859,743	$	123,552,275

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Capital contributions received in advance	$	11,515,000	$	50,000
Capital withdrawal payable to Limited Partners		1,045,606		1,004,389
Capital withdrawal payable to General Partner				300,000
Due to the Master Fund		2,656		2,654

Total liabilities		12,563,262		1,357,043

PARTNERS’ CAPITAL:
General Partner		3,600,339		3,041,602

Limited partners:
Series A (109,982.6405 and 106,145.4501 units outstanding)		126,841,581		108,146,251
Series B (7,225.1095 and 7,449.1566 units outstanding)		9,236,803		8,380,703
Series C (2,012.7091 and 2,297.6071 units outstanding)		2,617,758		2,626,676

Total limited partners		138,696,142		119,153,630

Total partners’ capital		142,296,481		122,195,232

TOTAL	$	154,859,743	$	123,552,275

NET ASSET VALUE PER UNIT OUTSTANDING:
Series A	$	1,153.29	$	1,018.85
Series B	$	1,278.43	$	1,125.05
Series C	$	1,300.62	$	1,143.22

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	June 30, 2016			June 30, 2015

INVESTMENT INCOME:
Interest income (allocated from the Master Fund)	$	115,296		$	54,354

EXPENSES:
Management fees		670,347			600,549
Brokerage commissions (allocated from the Master Fund)		84,437			69,896
Selling commissions and platform fees		608,626			548,242
Administrative and operating expenses		171,906			154,118
Custody fees (allocated from the Master Fund)		6,175			5,567

Total expenses		1,541,491			1,378,372

NET INVESTMENT LOSS		(1,426,195	)		(1,324,018	)

REALIZED AND UNREALIZED GAINS (LOSSES)
ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		8,230,920			(6,672,610	)
Foreign exchange translation		91,215			(152,079	)
Net change in unrealized:
Futures and forward currency contracts		1,979,681			(2,107,445	)
Foreign exchange translation		(133,895	)		87,988
Net gains from U.S. Treasury notes:
Net change in unrealized		44,633			5,290

Net realized and unrealized gains (losses) allocated from the Master Fund		10,212,554			(8,838,856	)

NET INCOME (LOSS)		8,786,359			(10,162,874	)

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		1,708,106			(77,723	)

NET INCOME (LOSS) AFTER PROFIT SHARE	$	7,078,253		$	(10,085,151	)

(Continued)

Millburn Multi-Markets Fund L.P.

Statements of Operations (UNAUDITED)

	For the six months ended
	June 30, 2016			June 30, 2015

INVESTMENT INCOME:
Interest income (allocated from the Master Fund)	$	211,975		$	88,555

EXPENSES:
Management fees		1,317,728			1,208,256
Brokerage commissions (allocated from the Master Fund)		177,412			151,973
Selling commissions and platform fees		1,196,062			1,104,226
Administrative and operating expenses		337,958			310,093
Custody fees (allocated from the Master Fund)		11,695			11,011

Total expenses		3,040,855			2,785,559

NET INVESTMENT LOSS		(2,828,880	)		(2,697,004	)

REALIZED AND UNREALIZED GAINS (LOSSES)
ALLOCATED FROM THE MASTER FUND
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		19,519,213			793,231
Foreign exchange translation		56,455			(174,439	)
Net change in unrealized:
Futures and forward currency contracts		3,228,965			(668,883	)
Foreign exchange translation		(10,651	)		81,473
Net gains from U.S. Treasury notes:
Net change in unrealized		153,153			26,018

Net realized and unrealized gains allocated from the Master Fund		22,947,135			57,400

NET INCOME (LOSS)		20,118,255			(2,639,604	)

LESS PROFIT SHARE ALLOCATION FROM THE MASTER FUND		3,508,948			-

NET INCOME (LOSS) AFTER PROFIT SHARE	$	16,609,307		$	(2,639,604	)

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Fund L.P.

Statements of Changes in Partners' Capital (UNAUDITED)

For the six months ended June 30, 2016 and 2015

			Limited Partners
	General
	Partner		Series A						Series B						Series C						Total
	Amount		Amount			Units			Amount			Units			Amount			Units			Amount

PARTNERS' CAPITAL — December 31, 2015	$	3,041,602	$	108,146,251			106,145.4501		$	8,380,703			7,449.1566		$	2,626,676			2,297.6071		$	122,195,232

Capital contributions		-		9,790,000			9,025.5417			10,000			8.3419			-			-			9,800,000
Capital withdrawals		-		(5,672,497	)		(5,188.3513	)		(291,071	)		(232.3890	)		(344,490	)		(284.8980	)		(6,308,058	)
Net income before profit share		558,737		17,718,590			-			1,422,066			-			418,862			-			20,118,255
Profit share				(3,140,763	)					(284,895	)					(83,290	)					(3,508,948	)
PARTNERS' CAPITAL — June 30, 2016	$	3,600,339	$	126,841,581			109,982.6405		$	9,236,803			7,225.1095		$	2,617,758			2,012.7091		$	142,296,481

Net Asset Value per Unit at June 30, 2016						$	1,153.29					$	1,278.43					$	1,300.62

				Limited Partners
	General
	Partner			Series A						Series B						Series C						Total
	Amount			Amount			Units			Amount			Units			Amount			Units			Amount

PARTNERS' CAPITAL — December 31, 2014	$	3,073,797		$	105,099,830			107,745.6394		$	7,468,031			7,011.0183		$	2,970,822			2,751.2975		$	118,612,480

Capital contributions		-			6,786,990			6,790.6311			871,192			798.1275			40,000			36.3924			7,698,182
Capital withdrawals		-			(4,266,388	)		(4,284.5875	)		(303,678	)		(279.5280	)		(38,549	)		(35.0845	)		(4,608,615	)
Net income		(7,687	)		(2,469,259	)		-			(125,671	)		-			(36,987	)		-			(2,639,604	)
PARTNERS' CAPITAL — June 30, 2015	$	3,066,110		$	105,151,173			110,251.6830		$	7,909,874			7,529.6178		$	2,935,286			2,752.6054		$	119,062,443

Net Asset Value per Unit at June 30, 2015							$	953.74					$	1,050.50					$	1,066.37

See notes to financial statements (Unaudited)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended June 30, 2016

The following information presents per unit operating performance data for each series for the three months ended June 30, 2016.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,097.58		$	1,212.07		$	1,232.32

INCOME (LOSS) ALLOCATED FROM MASTER FUND:
Net investment loss ⁽¹⁾		(12.36	)		(8.34	)		(7.69	)
Total trading and investing gains ⁽¹⁾		82.35			91.20			91.44

Net income before profit share allocation from Master Fund		69.99			82.86			83.75

Less: profit share allocation from Master Fund ^{(1) (6)}		14.28			16.50			15.45

Net income from operations after profit share allocation from Master Fund		55.71			66.36			68.30

NET ASSET VALUE PER UNIT — End of period	$	1,153.29		$	1,278.43		$	1,300.62

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		6.37	%		6.82	%		6.79	%

LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND ^{(2) (6)}		1.29			1.35			1.25

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		5.08	%		5.47	%		5.54	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ^{(3) (4) (5)}		4.82	%		3.07	%		2.82	%
Profit share allocation from Master Fund ^{(2) (6)}		1.29			1.35			1.25

Total expenses		6.11	%		4.42	%		4.07	%

Net investment loss ^{(3) (4) (5)}		(4.48	)%		(2.73	)%		(2.48	)%

⁽¹⁾ The net investment loss per unit and profit share allocation from the Master Fund per unit is calculated by dividing the net investment loss and profit share allocation from the Master Fund by the average number of units outstanding during the period. Total trading and investing gains is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

⁽²⁾ Not Annualized.

⁽³⁾ Annualized.

⁽⁴⁾ Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund.

⁽⁵⁾ Excludes profit share allocation from the Master Fund.

⁽⁶⁾ Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

(Continued)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the three months ended June 30, 2015

The following information presents per unit operating performance data for each series for the three months ended June 30, 2015.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,035.29		$	1,127.85		$	1,144.02

INCOME (LOSS) ALLOCATED FROM MASTER FUND:
Net investment loss ⁽¹⁾		(11.18	)		(7.58	)		(7.03	)
Total trading and investing losses ⁽¹⁾		(70.37	)		(77.65	)		(78.35	)

Net loss before profit share allocation from Master Fund		(81.55	)		(85.23	)		(85.38	)

Profit share allocation from Master Fund ^{(1) (6)}		-			7.88			7.73

Net loss from operations after profit share allocation from Master Fund		(81.55	)		(77.35	)		(77.65	)

NET ASSET VALUE PER UNIT — End of period	$	953.74		$	1,050.50		$	1,066.37

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		(7.88	)%		(7.56	)%		(7.50	)%

LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND ^{(2) (6)}		-			(0.70	)		(0.71	)

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		(7.88	)%		(6.86	)%		(6.79	)%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ^{(3) (4) (5)}		4.75	%		3.00	%		2.75	%
Profit share allocation from Master Fund ^{(2) (6)}		-			(0.70	)		(0.71	)

Total expenses		4.75	%		2.30	%		2.04	%

Net investment loss ^{(3) (4) (5)}		(4.58	)%		(2.82	)%		(2.57	)%

⁽²⁾ Not Annualized.

⁽³⁾ Annualized.

⁽⁴⁾ Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund.

⁽⁵⁾ Excludes profit share allocation from the Master Fund.

⁽⁶⁾ Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the six months ended June 30, 2016

The following information presents per unit operating performance data for each series for the six months ended June 30, 2016.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	1,018.85		$	1,125.05		$	1,143.22

INCOME (LOSS) ALLOCATED FROM MASTER FUND:
Net investment loss ⁽¹⁾		(24.75	)		(16.75	)		(15.49	)
Total trading and investing gains ⁽¹⁾		188.40			208.40			210.67

Net income before profit share allocation from Master Fund		163.65			191.65			195.18

Less: profit share allocation from Master Fund ^{(1) (6)}		29.21			38.27			37.78

Net income from operations after profit share allocation from Master Fund		134.44			153.38			157.40

NET ASSET VALUE PER UNIT — End of period	$	1,153.29		$	1,278.43		$	1,300.62

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		15.86	%		16.79	%		16.93	%

LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND ^{(2) (6)}		2.66			3.16			3.16

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		13.20	%		13.63	%		13.77	%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ^{(3) (4) (5)}		4.84	%		3.09	%		2.83	%
Profit share allocation from Master Fund ^{(2) (6)}		2.66			3.16			3.16

Total expenses		7.50	%		6.25	%		5.99	%

Net investment loss ^{(3) (4) (5)}		(4.52	)%		(2.77	)%		(2.52	)%

⁽²⁾ Not Annualized.

⁽³⁾ Annualized.

⁽⁴⁾ Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund.

⁽⁵⁾ Excludes profit share allocation from the Master Fund.

⁽⁶⁾ Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

(Continued)

Millburn Multi-Markets Fund L.P.

Statement of Financial Highlights (UNAUDITED)

For the six months ended June 30, 2015

The following information presents per unit operating performance data for each series for the six months ended June 30, 2015.

Per Unit Performance
(For a Unit Outstanding Throughout the Period)	Series A			Series B			Series C

NET ASSET VALUE PER UNIT — Beginning of period	$	975.44		$	1,065.18		$	1,079.79

INCOME (LOSS) ALLOCATED FROM MASTER FUND:
Net investment loss ⁽¹⁾		(22.94	)		(15.63	)		(14.49	)
Total trading and investing gains ⁽¹⁾		1.24			0.95			1.07

Net loss before profit share allocation from Master Fund		(21.70	)		(14.68	)		(13.42	)

Less: profit share allocation from Master Fund ^{(1) (6)}		-			-			-

Net loss from operations after profit share allocation from Master Fund		(21.70	)		(14.68	)		(13.42	)

NET ASSET VALUE PER UNIT — End of period	$	953.74		$	1,050.50		$	1,066.37

TOTAL RETURN BEFORE PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		(2.22	)%		(1.38	)%		(1.24	)%

LESS: PROFIT SHARE ALLOCATION FROM MASTER FUND ^{(2) (6)}		-			-			-

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION FROM MASTER FUND ⁽²⁾		(2.22	)%		(1.38	)%		(1.24	)%

RATIOS TO AVERAGE NET ASSET VALUE:
Expenses ^{(3) (4) (5)}		4.77	%		3.02	%		2.77	%
Profit share allocation from Master Fund ^{(2) (6)}		-			-			-

Total expenses		4.77	%		3.02	%		2.77	%

Net investment loss ^{(3) (4) (5)}		(4.63	)%		(2.88	)%		(2.63	)%

⁽²⁾ Not Annualized.

⁽³⁾ Annualized.

⁽⁴⁾ Includes the Partnership’s proportionate share of income and expense allocated from the Master Fund.

⁽⁵⁾ Excludes profit share allocation from the Master Fund.

⁽⁶⁾ Profit share for Series B and C is calculated based on Series B and C aggregate trading profits and may be impacted by rebalancing due to monthly capital activity.

See notes to financial statements (Unaudited)

(Concluded)

NOTES TO FINANCIAL STATEMENTS

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Millburn Multi-Markets Fund L.P.’s (the “Partnership”) financial condition at June 30, 2016 and December 31, 2015 and the results of its operations for the three and six months ended June 30, 2016 and 2015 (unaudited).

These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership’s 2015 annual report included in Form 10-K filed with the Securities and Exchange Commission. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015.

The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Partnership enters into contracts with various financial institutions that contain a variety of indemnifications. The Partnership’s maximum exposure under these arrangements is unknown. However, the Partnership has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Income Taxes topic of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2012 to 2015, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.

There have been no material changes with respect to the Partnership’s critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2015.

2. INVESTMENT IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership invests substantially all of its assets in Millburn Multi-Markets Trading L.P. (the “Master Fund”). The Partnership’s ownership percentage of the Master Fund at June 30, 2016 and December 31, 2015 was 74.02% and 72.71%, respectively, of total partners’ capital of the Master Fund. See the attached financial statements of the Master Fund.

3. RELATED PARTY TRANSACTIONS

The Partnership bears its own expenses, including, but not limited to, periodic legal, accounting and filing fees. Total operating expenses related to investors in the Partnership (including their pro-rata share of Master Fund expenses) are not expected to exceed 1/2 of 1% per annum of the Partnership’s average month-end partners’ capital.

During any time in which a third-party administrator is providing services to the Master Fund, as is currently the case, the General Partner is paid a monthly Administration Fee for administration services it provides calculated as a percentage of the month-end net asset value (prior to reduction for withdrawals or redemptions, management fees, amounts payable to selling agents and the administration fee then being calculated) of the Master Fund equal to 0.05% per annum of the Master Fund’s average net assets. The Partnership is allocated its pro-rata portion of the administration fee which is charged at the Master Fund level. As of June 30, 2016 and December 31, 2015, $66,157 and $51,447, respectively, were payable by the Master Fund to the General Partner and are included in “accrued expenses” in the Master Fund’s Statements of Financial Condition.

Series A Unitholders that redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the General Partner. At June 30, 2016 and December 31, 2015, there were no redemption charges owed to the General Partner.

4. FINANCIAL HIGHLIGHTS

Per Unit operating performance for Series A, Series B and Series C Units is calculated based on Unitholders’ partners’ capital for each series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of units during the period. Weighted average number of units of each series is detailed below.

	Three months ended June 30,				Six months ended June 30,
	2016		2015		2016		2015
Series A		108,758.846		111,090.040		107,558.442		110,389.406
Series B		7,426.988		7,528.314		7,438.074		7,357.182
Series C		2,103.651		2,731.239		2,191.804		2,732.785

Millburn Multi-Markets Trading L.P.
Financial statements
For the three and six months ended June 30, 2016 and 2015 (unaudited)

Statements of Financial Condition (a)		11
Condensed Schedules of Investments (a)		12
Statements of Operations (c)		16
Statements of Changes in Partners' Capital (b)		18
Statements of Financial Highlights (c)		19
Notes to Financial Statements		21

(a) At June 30, 2016 and December 31, 2015 (unaudited)

(b) For the six months ended June 30, 2016 and 2015 (unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Condition (UNAUDITED)

	June 30,		December 31,
	2016		2015
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $25,326,716 and $30,540,808)	$	25,335,345	$	30,521,416
Net unrealized appreciation on open futures and forward currency contracts		7,986,615		4,044,127
Due from brokers		6,017,711		6,174,878
Cash denominated in foreign currencies (cost $5,675,407 and $4,266,766)		5,592,055		4,195,504

Total equity in trading accounts		44,931,726		44,935,925

INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $135,601,674 and $118,488,573)		135,664,011		118,372,238

CASH AND CASH EQUIVALENTS		16,785,930		6,904,511

ACCRUED INTEREST RECEIVABLE		360,072		244,041

DUE FROM MILLBURN MULTI-MARKETS LTD.		1,771		1,770

DUE FROM MILLBURN MULTI-MARKETS FUND L.P.		2,656		2,654

TOTAL	$	197,746,166	$	170,461,139

LIABILITIES AND PARTNERS’ CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	-	$	322,688
Capital withdrawal payable to Limited Partners		1,045,606		1,409,085
Capital withdrawal payable to General Partner		-		142,581
Management fee payable		255,600		221,009
Selling commissions payable		219,385		184,527
Accrued expenses		293,190		116,361
Commissions and other trading fees on open futures contracts		15,624		17,673
Accrued profit share		3,685,112		-

Total liabilities		5,514,517		2,413,924

PARTNERS’ CAPITAL		192,231,649		168,047,215

TOTAL	$	197,746,166	$	170,461,139

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

June 30, 2016

	Net Unrealized
	Appreciation
	(Depreciation)			Net Unrealized
	as a % of			Appreciation
FUTURES AND FORWARD CURRENCY CONTRACTS	Partners’ Capital			(Depreciation)

FUTURES CONTRACTS
Long futures contracts:
Energies		0.12	%	$	231,740
Grains		0.17			335,898
Interest rates:
2 Year U.S. Treasury Note (333 contracts, settlement date September 2016)		0.18			350,375
5 Year U.S. Treasury Note (393 contracts, settlement date September 2016)		0.06			108,531
Other interest rates		1.50			2,890,387

Total interest rates		1.74			3,349,293

Metals		0.40			775,642
Softs		0.08			130,308
Stock indices		1.47			2,829,407

Total long futures contracts		3.98			7,652,288

Short futures contracts:
Energies		(0.05	)		(100,930	)
Grains		0.31			596,845
Interest rates		0.00			(133	)
Livestock		0.02			40,790
Metals		(0.49	)		(935,662	)
Softs		0.01			17,663
Stock indices		0.01			25,818

Total short futures contracts		(0.19	)		(355,609	)

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		3.79			7,296,679

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		(0.94	)		(1,801,632	)
Total short forward currency contracts		1.30			2,491,568

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		0.36			689,936

TOTAL		4.15	%	$	7,986,615

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments (UNAUDITED)

June 30, 2016

U.S. TREASURY NOTES

Face Amount		Description	Fair Value as a % of Partners' Capital			Fair Value

$	43,140,000	U.S. Treasury notes, 0.625%, 07/15/2016		22.45	%	$	43,148,426
	38,730,000	U.S. Treasury notes, 0.875%, 09/15/2016		20.17			38,781,438
	41,750,000	U.S. Treasury notes, 0.625%, 02/15/2017		21.75			41,805,449
	37,140,000	U.S. Treasury notes, 0.875%, 05/15/2017		19.38			37,264,043
		Total investments in U.S. Treasury notes (amortized cost $160,928,390)		83.75	%	$	160,999,356

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2015

	Net Unrealized
	Appreciation
	(Depreciation)			Net Unrealized
	as a % of			Appreciation
FUTURES AND FORWARD CURRENCY CONTRACTS	Partners’ Capital			(Depreciation)

FUTURES CONTRACTS
Long futures contracts:
Energies		(0.02	)%	$	(28,090	)
Interest rates		(0.15	)		(246,519	)
Metals		0.22			362,631
Softs		0.04			61,106
Stock indices		0.29			486,949

Total long futures contracts		0.38			636,077

Short futures contracts:
Energies		0.75			1,268,803
Grains		0.28			478,333
Interest rates		(0.00	)		(925	)
Livestock		(0.06	)		(104,550	)
Metals		0.07			119,525
Softs		(0.06	)		(109,099	)
Stock indices		0.04			67,778

Total short futures contracts		1.02			1,719,865

TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net		1.40			2,355,942

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		(0.52	)		(867,640	)
Total short forward currency contracts		1.33			2,233,137

TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net		0.81			1,365,497

TOTAL		2.21	%	$	3,721,439

(Continued)

Millburn Multi-Markets Trading L.P.

Condensed Schedule of Investments

December 31, 2015

U.S. TREASURY NOTES

Face Amount		Description	Fair Value as a % of Partners' Capital			Fair Value

$	41,750,000	U.S. Treasury notes, 0.375%, 04/30/2016		24.84	%	$	41,746,738
	32,240,000	U.S. Treasury notes, 0.250%, 05/15/2016		19.17			32,221,739
	43,140,000	U.S. Treasury notes, 0.625%, 07/15/2016		25.68			43,151,796
	31,730,000	U.S. Treasury notes, 0.875%, 09/15/2016		18.91			31,773,381
		Total investments in U.S. Treasury notes (amortized cost $149,029,381)		88.60	%	$	148,893,654

See notes to financial statements (Unaudited)

(Concluded)

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)

	For the three months ended
	June 30,			June 30,
	2016			2015
INVESTMENT INCOME — Interest income	$	156,997		$	73,864

EXPENSES:
Brokerage fees		114,887			95,813
Management fees		728,853			659,967
Selling commissions and platform fees		612,093			551,801
Administrative and operating expenses		203,063			180,640
Custody fees		8,279			7,819
Total expenses		1,667,175			1,496,040

NET INVESTMENT LOSS		(1,510,178	)		(1,422,176	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		11,109,765			(9,071,946	)
Foreign exchange translation		123,543			(68,430	)
Net change in unrealized:
Futures and forward currency contracts		2,544,503			(2,858,778	)
Foreign exchange translation		(181,799	)		(18,575	)
Net gains from U.S. Treasury notes
Net change in unrealized		57,403			9,156
Total net realized and unrealized gains (losses)		13,653,415			(12,008,573	)


NET INCOME (LOSS)		12,143,237			(13,430,749	)
LESS PROFIT SHARE TO GENERAL PARTNER		1,799,316			(149,160	)
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	10,343,921		$	(13,281,589	)

(Continued)

Millburn Multi-Markets Trading L.P.

Statements of Operations (UNAUDITED)

	For the six months ended
	June 30,			June 30,
	2016			2015
INVESTMENT INCOME — Interest income	$	290,009		$	120,421

EXPENSES:
Brokerage fees		242,807			206,732
Management fees		1,440,362			1,328,479
Selling commissions and platform fees		1,202,940			1,111,437
Administrative and operating expenses		400,318			365,939
Custody fees		15,878			14,965
Total expenses		3,302,305			3,027,552

NET INVESTMENT LOSS		(3,012,296	)		(2,907,131	)

REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		26,632,508			1,093,176
Foreign exchange translation		75,691			(237,061	)
Net change in unrealized:
Futures and forward currency contracts		4,265,176			(907,274	)
Foreign exchange translation		(12,090	)		110,681
Net gains from U.S. Treasury notes
Net change in unrealized		206,693			35,401
Total net realized and unrealized gains		31,167,978			94,923


NET INCOME (LOSS)		28,155,682			(2,812,208	)
LESS PROFIT SHARE TO GENERAL PARTNER		3,801,704			-
NET INCOME (LOSS) AFTER PROFIT SHARE TO GENERAL PARTNER	$	24,353,978		$	(2,812,208	)

(Concluded)

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Changes in Partners' Capital (UNAUDITED)

For the six months ended June 30, 2016:

	Limited Partners			New Profit Memo Account		General Partner		Total
PARTNERS' CAPITAL - January 1, 2016	$	167,109,009		$	-	$	938,206	$	168,047,215
Contributions		9,900,000			116,591		-		10,016,591
Withdrawals		(10,186,135	)		-		-		(10,186,135	)
Net income before profit share		27,971,933			10,013		173,736		28,155,682
General Partner's allocation - profit share		(3,801,704	)		-		-		(3,801,704	)
PARTNERS' CAPITAL- June 30, 2016	$	190,993,103		$	126,604	$	1,111,942	$	192,231,649

For the six months ended June 30, 2015:

	Limited Partners			New Profit Memo Account		General Partner			Total
PARTNERS' CAPITAL - January 1, 2015	$	161,250,243		$	-	$	860,838		$	162,111,081
Contributions		7,698,182			-		-			7,698,182
Withdrawals		(4,808,615	)		-		-			(4,808,615	)
Net loss		(2,811,130	)		-		(1,078	)		(2,812,208	)
PARTNERS' CAPITAL- June 30, 2015	$	161,328,680		$	-	$	859,760		$	162,188,440

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

The following information presents financial highlights of a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and an annual profit share of 20% of Trading Profits (as defined in the Limited Partnership Agreement).

	For the three months ended						For the six months ended
	June 30,			June 30,			June 30,			June 30,
	2016			2015			2016			2015

Total return before General Partner profit share allocation ⁽³⁾		6.99	%		(7.42	)%		17.09	%		(1.12	)%
Less: General Partner profit share allocation ⁽³⁾		1.39			(0.55	)		3.22			-

Total return after General Partner profit share allocation ⁽³⁾		5.60	%		(6.87	)%		13.87	%		(1.12	)%

Ratios to average net asset value:
Expenses ^{(1) (4)}		2.52	%		2.52	%		2.56	%		2.48	%
General Partner profit share allocation ⁽³⁾		1.39			(0.55	)		3.22			-

Total expenses ⁽¹⁾		3.91	%		1.97	%		5.78	%		2.48	%

Net investment loss ^{(1) (2) (4)}		(2.16	)%		(2.36	)%		(2.24	)%		(2.34	)%

Total returns and the ratios to average net asset value are calculated for a Limited Partner. An individual Limited Partner’s total returns and ratios may vary from the above total returns and ratios based on different management fee and General Partner profit share allocation agreements and the timing of contributions and withdrawals.

⁽¹⁾Includes the Partnership's proportionate share of expenses allocated from the Partnership's operations.

⁽²⁾ Excludes General Partner profit share allocation and includes interest income.

⁽³⁾ Not Annualized.

⁽⁴⁾Annualized.

See notes to financial statements (Unaudited)

Millburn Multi-Markets Trading L.P.

Statements of Financial Highlights (UNAUDITED)

The following information presents financial highlights for Limited Partners as a whole.

	For the three months ended						For the six months ended
	June 30,			June 30,			June 30,			June 30,
	2016			2015			2016			2015

Total return before General Partner profit share allocation ⁽³⁾		6.64	%		(7.62	)%		16.55	%		(1.66	)%
Less: General Partner profit share allocation ⁽³⁾		0.98			(0.09	)		2.09			-

Total return after General Partner profit share allocation ⁽³⁾		5.66	%		(7.53	)%		14.46	%		(1.66	)%

Ratios to average net asset value:
Expenses ^{(1) (4)}		3.60	%		3.64	%		3.60	%		3.60	%
General Partner profit share allocation ⁽³⁾		0.98			(0.09	)		2.09			-

Total expenses ⁽¹⁾		4.58	%		3.55	%		5.69	%		3.60	%

Net investment loss ^{(1) (2) (4)}		(3.28	)%		(3.48	)%		(3.28	)%		(3.46	)%

(1) Includes the proportionate share of expenses of the Partnership and the Cayman Feeder for the period ending June 30, 2016 and June 30, 2015.

⁽²⁾ Excludes General Partner profit share allocation and includes interest income.

⁽³⁾ Not Annualized.

⁽⁴⁾Annualized.

See notes to financial statements (Unaudited)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The Master Fund engages in the speculative trading of futures and forward currency contracts and also acts as a master fund for the Partnership, and Millburn Multi-Markets Ltd., a Cayman Islands exempted company (the “Cayman Feeder”).

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Master Fund’s financial condition at June 30, 2016 (unaudited) and December 31, 2015 and the results of its operations for the three and six months ended June 30, 2016 and 2015 (unaudited).

These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Master Fund’s annual report for the year ended December 31, 2015 included in the Partnership’s annual report on Form 10-K filed with the Securities and Exchange Commission. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015.

The Master Fund enters into contracts with various financial institutions that contain a variety of indemnifications. The Master Fund's maximum exposure under these arrangements is unknown. However, the Master Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

The Income Taxes topic of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2012 to 2015, the General Partner has determined that no reserves for uncertain tax positions were required.

2. INVESTORS IN MILLBURN MULTI-MARKETS TRADING L.P.

The Partnership and the Cayman Feeder invest substantially all of their assets in the Master Fund. At June 30, 2016 and December 31, 2015, the respective ownership percentages of the Master Fund are detailed below. The remaining interests are held by direct investors in the Master Fund.

	June 30,			December 31,
	2016			2015
Partnership		74.02	%		72.71	%
Cayman Feeder		3.42	%		5.57	%

Total		77.44	%		78.28	%

The capital withdrawals payable at June 30, 2016 and December 31, 2015 were $1,045,606 and $1,551,666, respectively, as detailed below.

	June 30,		December 31,
	2016		2015
Direct investors (1)	$	-	$	142,581
Partnership		1,045,606		1,304,389
Cayman Feeder		-		104,696

Total	$	1,045,606	$	1,551,666

(1) Includes General Partner’s profit share of $142,581 at December 31, 2015.

The Master Fund bears expenses, including, but not limited to, periodic legal, accounting and filing fees, up to an amount equal to 1/4 of 1% per annum of average net assets of the Master Fund (the “Expense Cap”). Amounts subject to the Expense Cap include expenses incurred at the Master Fund and Cayman Feeder level and the Administration Fee due to the General Partner, as general partner of the Master Fund. The General Partner bears any excess over such amounts.

3. FAIR VALUE

The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

In determining fair value, the Master Fund separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments. The Master Fund’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations. The General Partner does not adjust the quoted price for such instruments, even in situations where the Master Fund holds a large position and a sale could reasonably impact the quoted price.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

Investment Company Status: The Partnership adopted Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the General Partner’s assessment, the Partnership has been deemed to be an investment company since inception. Accordingly, the Partnership follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses and Changes in Partners’ Capital.

During the three and six months ended June 30, 2016 and 2015, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Master Fund’s investments by hierarchical level as of June 30, 2016 and December 31, 2015 in valuing the Master Fund’s investments at fair value. At June 30, 2016 and December 31, 2015, the Master Fund had no assets or liabilities in Level 3.

Financial assets and liabilities at fair value as of June 30, 2016

	Level 1			Level 2		Total

U.S. Treasury notes (1)	$	160,999,356		$	-	$	160,999,356

Exchange-traded futures contracts
Energies		130,810			-		130,810
Grains		932,743			-		932,743
Interest rates		3,349,160			-		3,349,160
Livestock		40,790			-		40,790
Metals		(160,020	)		-		(160,020	)
Softs		147,971			-		147,971
Stock indices		2,855,225			-		2,855,225

Total exchange-traded futures contracts		7,296,679			-		7,296,679

Over-the-counter forward currency contracts		-			689,936		689,936

Total futures and forward currency contracts (2)		7,296,679			689,936		7,986,615

Total financial assets and liabilities at fair value	$	168,296,035		$	689,936	$	168,985,971

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral						$	25,335,345
Investments in U.S. Treasury notes held in custody							135,664,011
Total investments in U.S. Treasury notes						$	160,999,356

(2)
Net unrealized appreciation on open futures and forward currency contracts						$	7,986,615
Net unrealized depreciation on open futures and forward currency contracts							-
Total net unrealized appreciation on open futures and forward currency contracts						$	7,986,615

Financial assets and liabilities at fair value as of December 31, 2015

	Level 1			Level 2		Total

U.S. Treasury notes (1)	$	148,893,654		$	-	$	148,893,654

Exchange-traded futures contracts
Energies		1,240,713			-		1,240,713
Grains		478,333			-		478,333
Interest rates		(247,444	)		-		(247,444	)
Livestock		(104,550	)		-		(104,550	)
Metals		482,156			-		482,156
Softs		(47,993	)		-		(47,993	)
Stock indices		554,727			-		554,727

Total exchange-traded futures contracts		2,355,942			-		2,355,942

Over-the-counter forward currency contracts		-			1,365,497		1,365,497

Total futures and forward currency contracts (2)		2,355,942			1,365,497		3,721,439

Total financial assets and liabilities at fair value	$	151,249,596		$	1,365,497	$	152,615,093

Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral						$	30,521,416
Investments in U.S. Treasury notes held in custody							118,372,238
Total investments in U.S. Treasury notes						$	148,893,654

(2)
Net unrealized appreciation on open futures and forward currency contracts						$	4,044,127
Net unrealized depreciation on open futures and forward currency contracts							(322,688	)
Total unrealized appreciation on open futures and forward currency contracts						$	3,721,439

4. DERIVATIVE INSTRUMENTS

The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.

The Master Fund’s 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 Master Fund’s open positions and the liquidity of the markets in which it trades.

The Master Fund engages in the speculative trading of futures and forward contracts on interest rates, grains, softs, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Master Fund at June 30, 2016 by market sector:

Agricultural (grains, livestock and softs) – The Master Fund’s primary exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions, as well as supply and demand factors.

Currencies – Exchange rate risk is a principal market exposure of the Master Fund. The Master Fund’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Master Fund trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

Energies – The Master Fund’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this sector.

Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Master Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries may materially impact the Master Fund’s profitability. The Master Fund’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Master Fund also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Master Fund for the foreseeable future.

Metals – The Master Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

Stock indices – The Master Fund’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Master Fund’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.

Since the derivatives held or sold by the Master Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Master Fund’s trading gains and losses in the Statements of Operations.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at June 30, 2016 and December 31, 2015. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Master Fund’s Statements of Financial Condition.

Fair value of futures and forward currency contracts at June 30, 2016

											Net Unrealized Gain (Loss)
	Fair Value - Long Positions					Fair Value - Short Positions					on Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Energies	$	346,156	$	(114,416	)	$	-	$	(100,930	)	$	130,810
Grains		336,198		(300	)		612,457		(15,612	)		932,743
Interest rates		3,447,887		(98,594	)		-		(133	)		3,349,160
Livestock		-		-			45,010		(4,220	)		40,790
Metals		776,976		(1,334	)		2,640		(938,302	)		(160,020	)
Softs		145,231		(14,923	)		46,199		(28,536	)		147,971
Stock indices		2,966,129		(136,722	)		31,491		(5,673	)		2,855,225
Total futures contracts		8,018,577		(366,289	)		737,797		(1,093,406	)		7,296,679

Forward currency contracts		2,020,749		(3,822,381	)		3,972,889		(1,481,321	)		689,936

Total futures and forward currency contracts	$	10,039,326	$	(4,188,670	)	$	4,710,686	$	(2,574,727	)	$	7,986,615

Fair value of futures and forward currency contracts at December 31, 2015

											Net Unrealized Gain (Loss)
	Fair Value - Long Positions					Fair Value - Short Positions					on Open
Sector	Gains		Losses			Gains		Losses			Positions
Futures contracts:
Energies	$	10,310	$	(38,400	)	$	1,633,223	$	(364,420	)	$	1,240,713
Grains		-		-			487,520		(9,187	)		478,333
Interest rates		814,802		(1,061,321	)		-		(925	)		(247,444	)
Livestock		-		-			-		(104,550	)		(104,550	)
Metals		407,419		(44,788	)		543,624		(424,099	)		482,156
Softs		171,009		(109,903	)		100		(109,199	)		(47,993	)
Stock indices		708,220		(221,271	)		94,368		(26,590	)		554,727
Total futures contracts		2,111,760		(1,475,683	)		2,758,835		(1,038,970	)		2,355,942

Forward currency contracts		596,972		(1,464,612	)		3,130,304		(897,167	)		1,365,497

Total futures and forward currency contracts	$	2,708,732	$	(2,940,295	)	$	5,889,139	$	(1,936,137	)	$	3,721,439

The effect of trading futures and forward currency contracts is represented on the Master Fund’s Statements of Operations for the three and six months ended June 30, 2016 and 2015 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three and six months ended June 30, 2016 and 2015

	Three months			Three months			Six months			Six months
	ended:			ended:			ended:			ended:
	June 30,			June 30,			June 30,			June 30,
Sector	2016			2015			2016			2015
Futures contracts:
Energies	$	(1,196,418	)	$	(3,577,930	)	$	(184,697	)	$	(3,531,198	)
Grains		2,907,251			(170,204	)		3,264,168			(803,031	)
Interest rates		11,001,743			(4,665,046	)		23,346,857			651,617
Livestock		11,960			58,280			8,260			366,070
Metals		(967,645	)		411,430			(1,568,620	)		582,243
Softs		57,539			(151,447	)		(843,813	)		197,170
Stock indices		1,073,387			(825,691	)		4,265,090			3,747,397
Total futures contracts		12,887,817			(8,920,608	)		28,287,245			1,210,268

Forward currency contracts		766,451			(3,010,116	)		2,610,439			(1,024,366	)

Total futures and forward currency contracts	$	13,654,268		$	(11,930,724	)	$	30,897,684		$	185,902

For the three months ended June 30, 2016 and 2015, the monthly average number of future contracts bought and sold and the monthly average notional value of forward currency contracts traded are detailed below:

	2016		2015

Average bought		11,887		9,179
Average sold		10,964		9,175
Average notional	$	1,405,000,000	$	968,000,000

The customer agreements between the Master Fund, the futures clearing brokers including Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), and SG Americas Securities, LLC., as well as the FX prime broker, Deutsche Bank AG, and the swap dealer, Morgan Stanley & Co., LLC, give the Master Fund the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Master Fund netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met. The Master Fund ceased clearing trades through J.P. Morgan Securities LLC during September 2015.

Offsetting of derivative assets and liabilities at June 30, 2016

			Gross amounts			Net amounts of
			offset in the			assets presented in
	Gross amounts of		Statement of			the Statement of
Assets	recognized assets		Financial Condition			Financial Condition

Futures contracts
Counterparty C	$	4,203,681	$	(304,188	)	$	3,899,493
Counterparty I		4,552,693		(1,155,507	)		3,397,186
Total futures contracts		8,756,374		(1,459,695	)		7,296,679

Forward currency contracts
Counterparty G		4,694,991		(4,170,870	)		524,121
Counterparty H		1,298,647		(1,132,832	)		165,815
Total forward currency contracts		5,993,638		(5,303,702	)		689,936
Total assets	$	14,750,012	$	(6,763,397	)	$	7,986,615

Amounts Not Offset in the Statement
of Financial Condition

	Net amounts of
	Assets
	presented in the
Counterparty	Statement of Financial		Financial		Collateral
	Condition		Instruments		Received⁽¹⁾⁽²⁾			Net Amount⁽³⁾

Counterparty C	$	3,899,493	$	-	$	(3,899,493	)	$	-
Counterparty I		3,397,186		-		(3,397,186	)		-
Counterparty G		524,121		-		-			524,121
Counterparty H		165,815		-		-			165,815
Total	$	7,986,615	$	-	$	(7,296,679	)	$	689,936

⁽¹⁾ Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange.

⁽²⁾ Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition, for each respective counterparty.

⁽³⁾Net amount represents the amounts owed to the Partnership by each counterparty as of June 30, 2016. Net amount represents the amount that is subject to loss in the event of a counterparty failure as of June 30, 2016.

Offsetting of derivative assets and liabilities at December 31, 2015

			Gross amounts			Net amounts of
			offset in the			assets presented in
	Gross amounts of		Statement of			the Statement of
Assets	recognized assets		Financial Condition			Financial Condition

Futures contracts
Counterparty C	$	1,841,417	$	(1,090,906	)	$	750,511
Counterparty I		3,029,178		(1,423,747	)		1,605,431
Total futures contracts		4,870,595		(2,514,653	)		2,355,942

Forward currency contracts
Counterparty G		2,843,717		(1,155,532	)		1,688,185

Total assets	$	7,714,312	$	(3,670,185	)	$	4,044,127

			Gross amounts			Net amounts of
			offset in the			liabilities presented in
	Gross amounts of		Statement of			the Statement of
Liabilities	recognized liabilities		Financial Condition			Financial Condition

Forward currency contracts
Counterparty H	$	1,206,247	$	(883,559	)	$	322,688

Total liabilities	$	1,206,247	$	(883,559	)	$	322,688

Amounts Not Offset in the Statement
of Financial Condition

	Net amounts of
	Assets
	presented in the
	Statement of Financial		Financial		Collateral
Counterparty	Condition		Instruments		Received⁽¹⁾⁽²⁾			Net Amount⁽³⁾

Counterparty C	$	750,511	$	-	$	(750,511	)	$	-
Counterparty I		1,605,431		-		(1,605,431	)		-
Counterparty G		1,688,185		-		-			1,688,185

Total	$	4,044,127	$	-	$	(2,355,942	)	$	1,688,185

Amounts Not Offset in the Statement
of Financial Condition

	Net amounts of
	Liabilities
	presented in the
	Statement of Financial		Financial		Collateral
Counterparty	Condition		Instruments		Pledged⁽¹⁾⁽²⁾			Net Amount⁽⁴⁾

Counterparty H	$	322,688	$	-	$	(322,688	)	$	-

Total	$	322,688	$	-	$	(322,688	)	$	-

⁽¹⁾ Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.

⁽²⁾ Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition, for each respective counterparty.

⁽³⁾ Net amount represents the amounts owed to the Partnership by each counterparty as of December 31, 2015. Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2015.

⁽⁴⁾ Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2015.

CONCENTRATION OF CREDIT RISK

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Master Fund’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Master Fund enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Master Fund’s forward currency trading activities are cleared through Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Master Fund’s concentration of credit risk associated with DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB, and MS. The amount of such credit risk was $14,099,361 and $18,848,878 at June 30, 2016 and December 31, 2015, respectively.

5. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and six months ended June 30, 2016 and 2015. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo account as defined in the Master Fund’s Agreement of Limited Partnership.

	Three months ended:			Three months ended:
	June 30, 2016			June 30, 2015
Profit share earned	$	96,031		$	-
Reversal of profit share ⁽²⁾		(1,981,827	)		(149,160	)
Profit share accrued⁽¹⁾		3,685,112			-
Total profit share	$	1,799,316		$	(149,160	)

	Six months ended:		Six months ended:
	June 30, 2016		June 30, 2015
Profit share earned	$	116,592	$	-
Profit share accrued⁽¹⁾		3,685,112		-
Total profit share	$	3,801,704	$	-

(1) Included in “Other liabilities” in the Statements of Financial Condition.

(2) On April 1^st

6. FINANCIAL HIGHLIGHTS

Ratios to average capital are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. The computation of such ratios based on the amount of expenses and profit share allocation assessed to an individual partner’s capital account may vary from these ratios based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements. Returns are calculated based on 1) a Limited Partner that is charged a monthly management fee of 1/12 of 2.00% (2.00% per annum) and 20% of Trading Profits and 2) Limited Partners’ capital taken as a whole. An individual partner’s returns may vary from these returns based on the timing of capital transactions and differences in individual partners’ management fee, selling commission, platform fee and profit share allocation arrangements.

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to Item 1, "Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.

OPERATIONAL OVERVIEW

The Partnership invests substantially all of its assets in the Master Fund. Due to the nature of the Master Fund's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Master Fund's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Master Fund, and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Master Fund has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership and the Master Fund have no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Master Fund (in which the Partnership participates).

The Partnership raises additional capital only through the sale of Units and capital is increased through trading profits (if any). Neither the Partnership nor the Master Fund engages in borrowing.

The Master Fund trades futures, forwards, and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC 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 is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) 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 trading and counterparties may require margin or collateral in the OTC markets.

The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be substantially higher; and (4) prohibiting pyramiding (that is, using unrealized profits in a particular market as margin for additional positions in the same market). The General Partner attempts to control credit risk by causing the Partnership to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forwards, and spot contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master Fund.

Due to the nature of the Master Fund’s business, substantially all its assets are represented by cash, cash equivalents, and U.S. government obligations, while the Master Fund maintains its market exposure through open futures, forwards, and spot contract positions.

The Master Fund’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked-to-market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Master Fund is assigned a position in the underlying future which is then settled by offset. The Master Fund’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Master Fund’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Master Fund is likely to suffer losses.

The Master Fund’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies, other Commodity Futures Trading Commission-authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Master Fund’s futures, forwards, and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures, forward and spot trading, the Master Fund’s assets are highly liquid and are expected to remain so. During its operations through June 30, 2016, the Partnership, through its investment in the Master Fund, experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

The Master Fund records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Master Fund on the day with respect to which net assets are being determined. Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Master Fund may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

RESULTS OF OPERATIONS

Due to the nature of the Partnership’s trading, through its investment in the Master Fund, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Periods ended June 30, 2016

	Total
	Partners'
	Capital of the
Month Ending:	Partnership
June 30, 2016	$	142,296,481
March 31, 2016		131,426,405
December 31, 2015		122,195,232

	Three Months			Six Months
Change in Partners' Capital	$	10,870,076		$	20,101,249
Percent Change		8.27	%		16.45	%

THREE MONTHS ENDED JUNE 30, 2016

The increase in the Partnership’s net assets of $10,870,076 was attributable to net income after profit share of $7,078,253, and contributions of $7,567,000 which were partially offset by withdrawals of $3,775,177.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2016 increased $69,798 relative to the corresponding period in 2015. The increase was due to an increase in the average net asset value of the Partnership during the three months ended June 30, 2016, relative to the corresponding period in 2015.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2016 increased $14,541 relative to the corresponding period in 2015. The increase was due to an increase in average net assets of the Partnership during the three months ended June 30, 2016, relative to the corresponding period in 2015.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Selling commissions and platform fees for the three months ended June 30, 2016 increased $60,384 relative to the corresponding period in 2015. The increase was due to an increase in the average net asset value of commission paying investors of the Partnership during the three months ended June 30, 2016, relative to the corresponding period in 2015.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2016 increased $17,788 relative to the corresponding period in 2015. The increase was due mainly to an increase in the Partnership’s average net asset value during the three months ended June 30, 2016, relative to the corresponding period in 2015.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2016 increased $60,942 relative to the corresponding period in 2015. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended June 30, 2016 relative to the corresponding period in 2015, and partially due to an increase in average net assets over the same period.

For the three months ended June 30, 2016, the Partnership, through its investment in the Master Fund, experienced net realized and unrealized gains of $10,212,554 from trading operations (including foreign exchange transactions and translations). Management fees of $670,347, brokerage commissions of $84,437, selling commissions and platform fees of $608,626, administrative and operating expenses of $171,906, custody fees and other expenses of $6,175, and profit share of $1,708,106 were paid or accrued. Interest income of $115,296 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $7,078,253.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		0.40	%
Energies		(0.67	)%
Grains		1.61	%
Interest rates		6.06	%
Livestock		0.00	%
Metals		(0.54	)%
Softs		0.03	%
Stock indices		0.59	%
Trading gain		7.48	%

SIX MONTHS ENDED JUNE 30, 2016

The increase in the Partnership’s net assets of $20,101,249 was attributable to net income after profit share through its investment in the Master Fund of $16,609,307 and contributions of $9,800,000 which were partially offset by withdrawals of $6,308,058.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2016 increased $109,472 relative to the corresponding period in 2015. The increase was due to an increase in the average net asset value of the Partnership during the six months ended June 30, 2016, relative to the corresponding period in 2015.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2016 increased $25,439 relative to the corresponding period in 2015. The increase was due an increase in average net assets of the Partnership during the six months ended June 30, 2016, relative to the corresponding period in 2015.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Selling commissions and platform fees for the six months ended June 30, 2016 increased $91,836 relative to the corresponding period in 2015. The increase was due to an increase in the average net asset value of commission paying investors of the Partnership during the six months ended June 30, 2016, relative to the corresponding period in 2015.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2016 increased $27,865 relative to the corresponding period in 2015. The increase was due mainly to an increase in the Partnership’s average net asset value during the six months ended June 30, 2016, relative to the corresponding period in 2015.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2016 increased $123,420 relative to the corresponding period in 2015. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the six months ended June 30, 2016 relative to the corresponding period in 2015, and partially due to an increase in average net assets over the same period.

For the six months ended June 30, 2016, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $22,947,135 from trading operations (including foreign exchange transactions and translations). Management fees of $1,317,728, brokerage commissions of $177,412, selling commissions and platform fees of $1,196,062, administrative and operating expenses of $337,958, custody fees and other expenses of $11,695, and profit share of $3,508,948 were paid or accrued. Interest income of $211,975 partially offset the Master Fund expenses allocated to the Partnership resulting in net income after profit share of $16,609,307.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		1.49	%
Energies		0.05	%
Grains		1.87	%
Interest rates		13.92	%
Livestock		0.06	%
Metals		(0.81	)%
Softs		(0.42	)%
Stock indices		2.39	%
Trading gain		18.55	%

MANAGEMENT DISCUSSION – 2016

Three months ended June 30, 2016

The Partnership was profitable during the second quarter with gains from long interest rate futures positions again leading the way. Trading of equity futures and foreign exchange forwards added fractionally to the gain. Meanwhile, trading of commodity futures was also slightly profitable as the gain from trading grain futures outdistanced the losses from the energy and metals sectors.

Long positions in U.S., German, French, British, Canadian and Australian interest rate futures were profitable, particularly after the U.K. voters’ surprise vote to have the U.K. leave the European Union (the “EU”) produced a flight to safety and an expectation that easier monetary policy would be forthcoming rather broadly going forward. The weak June employment report in the U.S. that prompted another delay in the Federal Reserve (“Fed”) rate rise program had underpinned the prices of note, bond and short term interest rate futures earlier. The fact that growth and inflation have failed to accelerate convincingly, and that the World Bank, International Monetary Fund and Organization for Economic Co-operation and Development among others have lowered their global growth projections also supported fixed income prices.

Currency trading was particularly volatile as the dollar was buffeted to and fro during the quarter. The U.S. currency would strengthen whenever Fed Governors hinted that a rate increase was possible, such as in late April-early May and in late May-early June, but fall when those expectations faded. For example, after an extraordinarily weak U.S. June jobs report, such hopes were put on hold and the dollar weakened. Then, when Fed Chair Janet Yellen cited real concerns that the “temporary headwinds” that had blunted the Fed’s rate rise program might actually reflect Lawrence Summers’ “secular stagnation” rather than just passing concerns, the U.S. dollar softened further. However, following the surprise decision of the British electorate to leave the EU, a flight to safety and quality prompted an upward U-turn for the dollar. Overall, long U.S. dollar trades against the pound sterling and Swiss franc, and short dollar trades relative to the Brazilian real, New Zealand dollar and South African rand were profitable. On the other hand, short U.S. dollar trades versus the Australian, Israeli, Mexican, Polish and Swedish currencies produced losses. Trading the euro against the dollar, Polish zloty and Turkish lira was also unprofitable.

Trading of equity futures was fractionally profitable after a volatile quarter. Following a strong rebound from the February lows, equity trading was unsettled periodically by currency turmoil, the uncertainty surrounding Bank of Japan, the Fed, the European Central Bank and the Bank of England, worries about future growth and inflation outlooks, and actualized weakness in corporate profits. Still, gains on long positions in non-tech U.S., Canadian and British stock futures and from a short VIX trade outpaced the losses from trading of a number of European and Asian indices.

Long positions in soybeans and soybean meal were profitable as bad weather in Brazil and Argentina underpinned prices for most of the period. A long sugar position posted a gain when prices rose as production in Thailand, India and Brazil was hurt by El Niño weather influences.

A short natural gas trade registered a loss as warmer than normal weather boosted prices, especially in June. Trading of London gas oil, heating oil, RBOB gasoline and WTI crude were also unprofitable, while a long position in Brent crude produced a partially offsetting gain.

Short positions in gold, silver, platinum, palladium, copper, aluminum, lead and nickel were each slightly unprofitable. On the other hand, a long zinc trade was profitable near the end of the quarter.

Three months ended March 31, 2016

During a quarter of extreme market volatility, the Partnership registered a strong performance led by gains on long interest rate futures positions. Trading of equity futures and foreign exchange forwards were also profitable. Meanwhile, commodity futures were marginally negative as a gain from trading energy futures was outweighed by fractional losses from trading metal and agricultural futures.

Concerns about global growth that International Monetary Fund Managing Director Christine Lagarde described as ‘…too low, too fragile and facing increased risks to its durability…”, combined with doubts about policy makers’ competence and capabilities, generated strong demand for government securities for most of the quarter. The demand for this debt was underpinned when: the Bank of Japan moved official interest rates into negative territory at the end of January; the Bank of England delayed any potential rate increase; the European Central Bank (the “ECB”) and People’s Bank of China (the “PBOC”) eased monetary policy in March; and a speech by Federal Reserve (“Fed”) Chair Janet Yellen squashed expectations for a near term Fed rate increase. Consequently, long positions in U.S., German, French, Italian, British, Japanese, Australian and Canadian notes and bonds were profitable. Long positions in short-term dollar and sterling interest rate futures were also profitable.

Equity markets were particularly volatile during the first quarter of 2016, tracing out a classic V-shaped path. The tumultuous first half of the period saw many equity indices experiencing multiyear lows before rebounding impressively over the second half of the quarter. Early on, weak economic data out of China and concerns about official policy decisions generated a renewed rout in Chinese equities and the yuan. These events, combined with a further collapse in energy prices; worries that Fed interest rate increases and a stronger dollar might impede global growth; and a halt in corporate profit growth, produced a broad, sharp equity selloff. Later, equity prices recovered as energy prices rebounded, the ECB, PBOC and Fed displayed easier policy tendencies, the U.S. dollar eased and growth concerns moderated. On balance, short positions in Chinese, Hong Kong, Japanese, Singaporean, Indian, and Spanish futures were profitable. Trading of U.S. and Canadian stock index futures also posted gains. On the other hand, short positions in Dutch and South African futures, a long U.K stock futures position, and trading of the European stoxx future resulted in somewhat offsetting losses.

Foreign exchange trading was also volatile. At the beginning of the year, given the search for safety, declining oil prices and the Fed “relatively hawkish” policy position, the U.S. dollar strengthened. Thus, during January and February, long dollar trades versus the pound sterling, Canadian dollar, Korean won, Russian Ruble and Mexican peso were profitable. The pound fell precipitously when the possibility of Britain’s exit from the EU became more likely and Boris Johnson, the mayor of London, endorsed the move. As the quarter unfolded, however, the PBOC aggressively implemented measures to support the yuan; the G-20 Shanghai Communique in late February signaled a strong stance against currency competition that took some steam out of the dollar; and the likelihood of a near term increase in interest rates by the Fed diminished, prompting a U.S. dollar decline, especially against emerging market currencies where interest rates tend to be higher. A stabilization of commodity prices also helped the commodity producing countries. A series of events abroad further encouraged the U.S. dollar slippage: Mexico’s surprise February 50 basis point hike in official interest rates; the increasing likelihood of an ouster of President Dilma Rousseff in Brazil; an increase in official rates in South Africa; and rising oil prices and high interest rates supporting the Russian ruble. Consequently, short dollar positions against the currencies of Australia, Brazil, Canada, Columbia, India, Israel, Mexico, New Zealand, Russia, South Africa, and Turkey were profitable. On the other hand, long dollar trades versus the euro, yen, Swiss franc, Swedish krona, Norwegian kroner, Czech koruna, Polish zloty and Chilean peso were unprofitable.

With the International Energy Agency suggesting that the “…world could drown in [oil] oversupply…”; with crude oil production at or near recent record levels in many countries—e.g., Saudi Arabia, Russia, the U.S., and Iraq; with Iranian exports ramping up; and with global demand still sluggish, crude prices slumped below $30 per barrel in January. Short positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, heating oil and natural gas were profitable. Subsequently, reports that Saudi Arabia, Russia and a number of other producers were discussing plans for a production freeze and would meet in Doha in April sparked an oil price rebound. Indeed, oil prices reached a three month high above $40 per barrel on March 18. Consequently, losses were suffered on these same short crude oil, crude products and natural gas trades, and positions were reduced and/or reversed. Overall, energy trading was fractionally profitable for the quarter due to gains from WTI crude, natural gas, London gas oil and spread trading of crude.

Industrial metal prices vacillated during the quarter but did move up somewhat in synchrony with energy prices, and short positions in industrial metals were unprofitable. Safe haven demand pushed up gold prices, especially in February, and a small long trade was fractionally profitable, providing a partial offset.

Trading of sugar was unprofitable, as was a long cocoa trade in January, and a short Arabica coffee position in March. The profits from short corn and wheat trades fractionally outdistanced the losses from trading soybeans and soybean meal.

Periods ended June 30, 2015

	Total
	Partners'
	Capital of the
Month Ending:	Partnership
June 30, 2015	$	119,062,443
March 31, 2015		128,136,795
December 31, 2014		118,612,480

	Three Months			Six Months
Change in Partners' Capital	$	(9,074,352	)	$	449,963
Percent Change		(7.08	)%		0.38	%

THREE MONTHS ENDED JUNE 30, 2015

The decrease in the Partnership’s net assets of $9,074,352 was attributable to net loss after profit share of $10,085,151 and withdrawals of $2,630,783, which were partially offset by contributions of $3,641,582.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2015 increased $32,286 relative to the corresponding period in 2014. The increase was due to an increase in the average net asset value of the Partnership during the three months ended June 30, 2015, relative to the corresponding period in 2014.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2015 decreased $40,269 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in trading volume at the Master Fund, relative to the corresponding period in 2014.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Selling commissions and platform fees for the three months ended June 30, 2015 increased $32,737 relative to the corresponding period in 2014. The increase was due to an increase in the average net asset value of commission paying investors of the Partnership during the three months ended June 30, 2015, relative to the corresponding period in 2014.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2015 decreased $1,112 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in the administrative expenses at the Master Fund during the three months ended June 30, 2015, relative to the corresponding period in 2014.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the three months ended June 30, 2015 increased $21,578 relative to the corresponding period in 2014. This increase was due primarily to an increase in U.S. Treasury Note interest rates during the three months ended June 30, 2015 relative to the corresponding period in 2014.

For the three months ended June 30, 2015, the Partnership, through its investment in the Master Fund, experienced net realized and unrealized losses of $8,838,856 from trading operations (including foreign exchange transactions and translations). Management fees of $600,549, brokerage commissions of $69,896, selling commissions and platform fees of $548,242, administrative and operating expenses of $154,118, custody fees and other expenses of $5,567 were incurred. Interest income of $54,354 and the reversal of accrued profit share to the General Partner of $77,723 partially offset the Master Fund expenses allocated to the Partnership resulting in net loss after profit share of $10,085,151.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		(1.71	)%
Energies		(2.00	)%
Grains		(0.09	)%
Interest rates		(2.66	)%
Livestock		0.06	%
Metals		0.28	%
Softs		(0.06	)%
Stock indices		(0.57	)%
Trading loss		(6.75	)%

SIX MONTHS ENDED JUNE 30, 2015

The increase in the Partnership’s net assets of $449,963 was attributable to contributions of $7,698,182, which was partially offset by a net loss through its investment in the Master Fund of $2,639,604 and withdrawals of $4,608,615.

Management fees, through the Partnership’s investment in the Master Fund, are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2015 increased $13,429 relative to the corresponding period in 2014. The increase was due to an increase in the average net asset value of the Partnership during the six months ended June 30, 2015, relative to the corresponding period in 2014.

The Partnership, through its investment in the Master Fund, bears all trade-related commission and clearing charges due to third-party brokers. Brokerage commissions, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2015 decreased $99,085 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in trading volume at the Master Fund, relative to the corresponding period in 2014.

Selling commissions and platform fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Selling commissions and platform fees for the six months ended June 30, 2015 increased $28,216 relative to the corresponding period in 2014. The increase was due to an increase in the average net asset value of commission paying investors of the Partnership during the six months ended June 30, 2015, relative to the corresponding period in 2014.

The Partnership, through its investment in the Master Fund, pays administrative expenses for legal, audit and accounting services. Administrative expenses, net of amounts borne by the General Partner, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2015 decreased $14,690 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in the administrative expenses at the Master Fund during the six months ended June 30, 2015, relative to the corresponding period in 2014.

Interest income, through the Partnership’s investment in the Master Fund, is derived from cash and U.S. Treasury instruments held at the Master Fund’s brokers and custodian. Interest income, through the Partnership’s investment in the Master Fund, for the six months ended June 30, 2015 increased $17,520 relative to the corresponding period in 2014. This increase was due primarily to an increase in U.S. Treasury Note interest rates during the six months ended June 30, 2015 relative to the corresponding period in 2014.

For the six months ended June 30, 2015, the Partnership, through its investment in the Master Fund, achieved net realized and unrealized gains of $57,400 from trading operations (including foreign exchange transactions and translations). Management fees of $1,208,256, brokerage commissions of $151,973, selling commissions and platform fees of $1,104,226, administrative and operating expenses of $310,093, custody fees and other expenses of $11,011 were incurred. Interest income of $88,555 partially offset the Master Fund expenses allocated to the Partnership resulting in net loss after profit share of $2,639,604.

An analysis of the Master Fund’s trading gain (loss) by sector is as follows:

	% Gain
Sector	(Loss)
Currencies		(0.55	)%
Energies		(2.05	)%
Grains		(0.51	)%
Interest rates		0.47	%
Livestock		0.21	%
Metals		0.35	%
Softs		0.11	%
Stock indices		2.08	%
Trading gain		0.11	%

MANAGEMENT DISCUSSION – 2015

Three months ended June 30, 2015

The Partnership sustained a loss as a number of profitable, consensus trades from the first quarter proved unprofitable in second quarter. Long positions in interest rate futures, equity futures, and U.S. dollar forwards and short euro currency trades were unprofitable. Short energy futures trades were unprofitable as well. On the other hand, trading of metal futures was profitable, while trading of soft and agricultural commodities was nearly flat.

The sanguine attitude towards Greece from the first quarter became a second quarter ebb and flow of meetings, proposals, information and recriminations around the Greek crisis, culminating in the imposition of capital controls; a week-long bank holiday; and a nationwide referendum that rattled equity, bond and currency markets. The U.S. economy rebounded from its poor first quarter performance, although inflation and wages did not register explicit improvements. Consequently, the on-again, off-again prospects for a Federal Reserve rate increase added to market anxiety. Finally, uncertainty about China’s growth prospects were compounded late in the period by the sudden, precipitous collapse in Chinese equity markets.

The prices of German, French, and Italian note and bond futures, which had risen precipitously in the wake of the European Central Bank’s quantitative easing program, reversed course abruptly, driving rates sharply higher as analysts questioned the extraordinarily low levels they had reached particularly as EU economic data was improving and the Greek situation seemed to defy solution. Consequently, long positions in Continental European note and bond futures were unprofitable. Though the path was not a straight line partly due to reduced global bond market liquidity, better U.S. economic news pushed U.S. interest rates higher, producing losses from long positions in U.S. note and bond futures. Long positions in Japanese bond futures, U.K. bond futures, and short sterling futures also registered losses. Long positions in U.S. 2-year notes and short term euro-U.S. dollar futures did register small gains.

The path of equity prices during the quarter was uneven across time and markets. Equity futures were buffeted in a positive way by improving economic data from the U.S. and Europe, and in a negative way by the unfolding Greek tragedy; by economic growth concerns and wild swings in equity markets in China that prompted a Bank of China rate cut; and by worries about the timing of possible federal funds rate increases. In the end, the negative influences carried the day. Long positions in European, British, Canadian, Australian, Korean and Taiwanese equity futures posted losses, especially in June. Meanwhile, long positions in Chinese, Hong Kong and Japanese futures remained profitable even after posting losses in May and June. As volatility spiked in June, the gain from a short VIX position was pared back.

Currency trading was also volatile during the quarter. In April and early May, poor results from the U.S. first quarter GDP report raised the likelihood that an anticipated Federal Reserve interest rate increase would be delayed. Consequently, long U.S. dollar positions registered losses and were reduced or reversed. Later on, the U.S. dollar steadied as U.S. economic data recovered and as the situations in China and Greece deteriorated. On balance, trading the U.S. dollar against the currencies of Australia, the U.K., Canada, Brazil, Chile, Columbia, Czech Republic, Sweden, and Korea was unprofitable. Short euro trades versus several currencies were also unprofitable. The gain from a long U.S. dollar/short Japanese yen trade provided a partial offset.

Energy prices moved higher in April amid signs of a growth improvement in Europe and a weakening dollar. Consequently, short positions in crude oil, crude oil products and natural gas generated losses and were scaled back.

Short positions in aluminum, copper, palladium, platinum, and silver were profitable, particularly in May and June, as China’s slowdown and equity turmoil led to reduced demand and some increased supplies on world markets. Increased palladium and platinum production from South Africa also weighed on prices. Meanwhile, a sharp swing in the price of zinc led to a loss on a long position, and trading of gold was also unprofitable.

Grain prices, which have been falling rather persistently, rose somewhat late in the period as heavy rains in the U.S. threatened to delay harvests of some crops and planting of others. Consequently, losses on short corn and wheat positions outweighed the gains from long soybean and soybean meal trades.

The losses on a short sugar position and trading of crude palm oil slightly outweighed the gains from long cocoa positions and a short coffee trade.

Three months ended March 31, 2015

Solid first quarter performance was led by gains from trading of financial markets—interest rate and equity futures, and currency forwards. Commodity futures trading was nearly flat as losses from trading grain futures were countered by gains from trading soft, metal and livestock futures.

The European Central Bank’s historic quantitative easing announcement, several easing moves by the People’s Bank of China and more than 20 other official interest rate reductions led to sharp gains on long positions in U.S. interest rate futures across the yield curve. Long positions in German, Italian, French, Canadian and Australian notes and bonds also registered profits. A long position in short-term sterling rates was profitable as events suggested that any tightening of U.K. monetary policy would be delayed.

The more accommodative monetary policy environment and some improvement in growth indicators for Europe led to gains on long positions in Continental European, Chinese, Hong Kong, Japanese, and Australian equity futures. On the other hand, a short Korean kospi futures trade was unprofitable. Meanwhile, U.S. equity futures, after reaching record levels, stagnated in the wake of the stronger dollar, disappointing earnings reports, and a first quarter growth slowdown.

Currency markets were volatile during the quarter, although a solid U.S. economic outlook, generally higher relative interest rates, and some safe haven cachet underpinned the U.S. dollar. Still, a tentative Russia/ Ukraine ceasefire and temporary bouts of sanity around the Greek crisis periodically took some steam out of the dollar. Overall, long dollar positions versus the euro, Czech koruna, Swedish krona, Turkish lira, Brazilian real, and Canadian dollar were profitable. On the other hand, a long U.S. dollar/short Swiss franc trade sustained a large loss when, on January 15, the Swiss National Bank unexpectedly ended the franc’s peg to the euro and the franc soared 15%. Long U.S. dollar trades against the South African, Norwegian and New Zealand currencies produced small losses.

Grain prices recovered a bit after the USDA projected a reduction in planting acreage for the current crop year. Consequently, short wheat positions, and to a lesser extent trading of corn, soybeans, soybean meal, and bean oil produced minor losses. Coffee and sugar prices continued to fall and short positions in both were profitable. Meanwhile, trading of cocoa, a short cotton position, and a long crude palm oil trade were unprofitable. A short hog trade was marginally positive.

Energy trading was flat as the gains from short WTI crude and U.S. natural gas positions offset the losses from short Brent crude, heating oil and London gas oil trades. Metal trading was marginally profitable with gains from short aluminum, silver and nickel positions and trading of gold outpacing the losses from short copper, zinc, and platinum positions and trading of palladium.

OFF-BALANCE SHEET ARRANGEMENTS

Neither the Partnership nor the Master Fund engages in off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

Neither the Partnership nor the Master Fund enters into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business, through its investment in the Master Fund, is trading futures, forward currency, spot and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Master Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Master Fund present a condensed schedule of investments setting forth open futures, forward and other contracts at June 30, 2016 and December 31, 2015.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of the principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal controls over financial reporting during the quarter ended June 30, 2016 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal controls over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings

None.

ITEM 1A. Risk Factors

Not required.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

(a) Pursuant to the Partnership's Agreement of Limited Partnership, the Partnership may sell Interests at the beginning of each calendar month. On April 1, 2016, May 1, 2016, and June 1, 2016 the Partnership sold Interests to new and existing limited partners of $1,991,000, $1,054,000, and $4,522,000 respectively. There were no underwriting discounts or commissions in connection with the sales of the Interests described above.

Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.

(c) Pursuant to the Partnership’s Third Amended and Restated Limited Partnership Agreement, investors may redeem their Units at the end of each calendar month at the then current month-end net asset value. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.

The following table summarizes the redemptions by Series A, Series B and Series C limited partners during the three months ended June 30, 2016.

	Series A					Series B					Series C
Date of	Units			NAV		Units			NAV		Units			NAV
Withdrawal	Redeemed			per Unit		Redeemed			per Unit		Redeemed			per Unit
April 30, 2016		(866.0490	)	$	1,072.69		-		$	1,185.83		(217.4480	)	$	1,205.89
May 31, 2016		(1,304.3010	)		1,083.07		(75.5950	)		1,198.76		(28.7660	)		1,219.29
June 30, 2016		(732.8232	)		1,153.29		(156.7940	)		1,278.43		-			1,300.62

Total		(2,903.1732	)				(232.3890	)				(246.2140	)

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not Applicable.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

None.

ITEM 6. EXHIBITS

The following exhibits are included herewith:

31.01 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.02 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.03 Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of Chief Financial Officer

101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema Document
101.CAL	XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF	XBRL Taxonomy Extension Definition Linkbase Document
101.LAB	XBRL Taxonomy Extension Label Linkbase Document
101.PRE	XBRL Taxonomy Extension Presentation Linkbase Document

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.

By:	Millburn Ridgefield Corporation,
	General Partner

Date: August 12, 2016

	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

Millburn Multi-Markets Fund L.P. - FORM 10-Q - August 12, 2016

Attached files

Millburn Multi-Markets Fund L.P. Reports