NESTOR PARTNERS - FORM 10-Q

Attached files

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EX-32.3 - EX-32.3 - NESTOR PARTNERS	c471-20180331xex32_3.htm
EX-32.2 - EX-32.2 - NESTOR PARTNERS	c471-20180331xex32_2.htm
EX-32.1 - EX-32.1 - NESTOR PARTNERS	c471-20180331xex32_1.htm
EX-31.3 - EX-31.3 - NESTOR PARTNERS	c471-20180331xex31_3.htm
EX-31.2 - EX-31.2 - NESTOR PARTNERS	c471-20180331xex31_2.htm
EX-31.1 - EX-31.1 - NESTOR PARTNERS	c471-20180331xex31_1.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: March 31, 2018


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

Commission File Number: 000-50725

NESTOR PARTNERS

(Exact name of registrant as specified in its charter)


NEW JERSEY		22-2149317
(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 ☒ 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 ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer,” “smaller reporting company”, and “emerging growth 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 ☒
	Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Yes ☐ No ☐

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

Yes ☐ No ☒


PART 1. FINANANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS



Nestor Partners
Financial statements
For the three months ended March 31, 2018 and 2017 (unaudited)

Statements of Financial Condition (a)						1
Condensed Schedules of Investments (a)						2
Statements of Operations (b)						6
Statements of Changes in Partners' Capital (b)						7
Statements of Financial Highlights (b)						8
Notes to the Financial Statements						9

(a) At March 31, 2018 and December 31, 2017 (unaudited)
(b) For the three months ended March 31, 2018 and 2017 (unaudited)


Nestor Partners
Statements of Financial Condition (UNAUDITED)

		March 31, 2018		December 31, 2017
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes − at fair value
(amortized cost $19,767,430 and $35,145,431)	$	19,728,873	$	35,088,064
Net unrealized appreciation on open futures and forward
currency contracts		4,555,206		699,718
Due from brokers		1,489,461		165,037
Cash denominated in foreign currencies (cost $4,405,079
and $8,417,006)		4,472,603		8,629,359

Total equity in trading accounts		30,246,143		44,582,178

INVESTMENTS IN U.S. TREASURY NOTES − at fair value
(amortized cost $117,470,568 and $115,357,357)		117,282,508		115,200,284

CASH AND CASH EQUIVALENTS		11,703,326		19,471,076

ACCRUED INTEREST RECEIVABLE		385,218		387,659

TOTAL	$	159,617,195	$	179,641,197

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Capital contributions received in advance	$	-	$	1,255,750
Net unrealized depreciation on open forward
currency contracts		456,939		3,107,485
Accrued brokerage fees		293,197		311,400
Due to brokers		15,493		354,465
Accrued expenses		117,630		47,630
Capital withdrawals payable to Limited Partners		1,848,625		5,968,211
Capital withdrawals payable to General Partner		-		1,276,588
Accrued profit share		2,397		-
Other liabilities		-		4,400

Total liabilities		2,734,281		12,325,929

PARTNERS' CAPITAL		156,882,914		167,315,268

TOTAL	$	159,617,195	$	179,641,197


See notes to financial statements (unaudited)


Nestor Partners
Condensed Schedule of Investments
March 31, 2018 (UNAUDITED)

Futures and Forward Currency Contracts	Net Unrealized Appreciation/ (Depreciation) as a % of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	1.07	%	$	1,678,466
Grains	0.00			4,740
Interest rates:
2 Year U.S. Treasury Note (340 contracts, settlement date June 2018)	0.01			9,735
5 Year U.S. Treasury Note (180 contracts, settlement date June 2018)	0.05			85,469
10 Year U.S. Treasury Note (133 contracts, settlement date June 2018)	0.09			137,844
Other	1.75			2,745,623

Total interest rates	1.90			2,978,671

Metals	(0.77)			(1,201,464)
Softs	(0.01)			(9,460)
Stock indices	0.12			184,346

Total long futures contracts	2.31			3,635,299

Short futures contracts:
Energies	0.00			4,680
Grains	0.17			259,416
Interest rates	(0.07)			(107,859)
Livestock	0.01			14,480
Metals	0.46			718,628
Softs	0.07			115,409
Stock indices	(0.05)			(84,847)

Total short futures contracts	0.59			919,907

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net	2.90			4,555,206
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.18)			(288,232)
Total short forward currency contracts	(0.11)			(168,707)

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS − Net	(0.29)			(456,939)

TOTAL	2.61	%	$	4,098,267

				(Continued)


Nestor Partners
Condensed Schedule of Investments
March 31, 2018 (UNAUDITED)

	U.S. TREASURY NOTES
	Face Amount	Description	Fair Value as a % of Partners' Capital			Fair Value

$	34,170,000	U.S. Treasury notes, 1.000%, 05/15/2018	21.76	%	$	34,143,972
	34,170,000	U.S. Treasury notes, 1.000%, 08/15/2018	21.71			34,063,219
	39,170,000	U.S. Treasury notes, 1.250%, 11/15/2018	24.85			38,987,156
	30,170,000	U.S. Treasury notes, 0.750%, 02/15/2019	19.01			29,817,034

		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $137,237,998)	87.33	%	$	137,011,381

	See notes to financial statements (unaudited)					(Concluded)


Nestor Partners
Condensed Schedule of Investments
December 31, 2017

Futures and Forward Currency Contracts	Net Unrealized Appreciation/ (Depreciation) as a % of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	1.22	%	$	2,040,077
Grains	(0.00)			(4,300)
Interest rates:
2 Year U.S. Treasury Note (467 contracts, settlement date March 2018)	0.00			3,078
30 Year U.S. Treasury Bond (65 contracts, settlement date March 2018)	0.06			93,844
Other	(0.97)			(1,615,773)

Total interest rates	(0.91)			(1,518,851)

Metals	1.23			2,060,486
Softs	0.04			70,260
Stock indices	0.25			419,068

Total long futures contracts	1.83			3,066,740

Short futures contracts:
Energies	(0.13)			(217,090)
Grains	0.03			49,145
Interest rates	0.11			176,326
Livestock	(0.00)			(5,240)
Metals	(1.33)			(2,202,248)
Softs	(0.03)			(48,899)
Stock indices	(0.08)			(139,922)

Total short futures contracts	(1.43)			(2,387,928)

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net	0.40			678,812
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	0.27			449,153
Total short forward currency contracts	(2.11)			(3,535,732)

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS − Net	(1.84)			(3,086,579)

TOTAL	(1.44)	%	$	(2,407,767)

				(Continued)



Nestor Partners
Condensed Schedule of Investments
December 31, 2017

	U.S. TREASURY NOTES
	Face Amount	Description	Fair Value as a % of Partners' Capital			Fair Value

$	33,170,000	U.S. Treasury notes, 1.000%, 02/15/2018	19.82	%	$	33,157,043
	39,170,000	U.S. Treasury notes, 1.000%, 05/15/2018	23.37			39,120,272
	39,170,000	U.S. Treasury notes, 1.000%, 08/15/2018	23.32			39,016,992
	39,170,000	U.S. Treasury notes, 1.250%, 11/15/2018	23.31			38,994,041

		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $150,502,788)	89.82	%	$	150,288,348

	See notes to financial statements (unaudited)					(Concluded)


Nestor Partners
Statements of Operations (UNAUDITED)


		For the three months ended
		March 31, 2018		March 31, 2017
INVESTMENT INCOME:
Interest income	$	496,238	$	231,970

EXPENSES:
Brokerage fees		963,380		961,931
Administrative expenses		70,000		70,000
Custody fees and other expenses		7,361		7,653
Total expenses		1,040,741		1,039,584

NET INVESTMENT LOSS		(544,503)		(807,614)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(15,644,752)		7,815,575
Foreign exchange translation		307,735		(36,929)
Net change in unrealized:
Futures and forward currency contracts		6,506,036		(673,724)
Foreign exchange translation		(144,829)		137,191
Net losses from U.S. Treasury notes:
Realized		(10,317)		-
Net change in unrealized		(12,177)		(49,313)
Total net realized and unrealized gains (losses)		(8,998,304)		7,192,800

NET INCOME (LOSS)		(9,542,807)		6,385,186
LESS PROFIT SHARE TO GENERAL PARTNER		2,397		621,420
NET INCOME (LOSS) AFTER PROFIT SHARE TO
GENERAL PARTNER	$	(9,545,204)	$	5,763,766

See notes to financial statements (unaudited)				(Continued)


Nestor Partners
Statements of Changes in Partners' Capital (UNAUDITED)



For the three months ended March 31, 2018:

		Limited Partners		Special Limited Partners		New Profit Memo Account		General Partner		Total

PARTNERS' CAPITAL-
January 1, 2018	$	99,284,720	$	65,663,388	$	-	$	2,367,160	$	167,315,268
Contributions		3,672,750		-		-		-		3,672,750
Withdrawals		(4,428,931)		(130,969)		-		-		(4,559,900)
Net loss		(5,993,950)		(3,427,259)		-		(121,598)		(9,542,807)
General Partner's allocation:
New Profit-Accrued		(2,397)		-		-		-		(2,397)
PARTNERS' CAPITAL-
March 31, 2018	$	92,532,192	$	62,105,160	$	-	$	2,245,562	$	156,882,914


For the three months ended March 31, 2017:
		Limited Partners		Special Limited Partners		New Profit Memo Account		General Partner		Total

PARTNERS' CAPITAL-
January 1, 2017	$	86,147,007	$	66,908,700	$	-	$	2,492,603	$	155,548,310
Contributions		1,333,000		1,000,000		2,261		-		2,335,261
Withdrawals		(866,607)		(1,053,466)		-		-		(1,920,073)
Net income		3,194,338		3,075,208		30		115,610		6,385,186
General Partner's allocation:
New Profit-Accrued		(595,605)		(25,815)		-		-		(621,420)
PARTNERS' CAPITAL-
March 31, 2017	$	89,212,133	$	69,904,627	$	2,291	$	2,608,213	$	161,727,264



See notes to financial statements (unaudited)


Nestor Partners
Statements of Financial Highlights (UNAUDITED)



For the three months ended March 31, 2018 and 2017	Limited Partners				Special Limited Partners
	2018		2017		2018		2017

Ratios to average capital:
Net investment loss (a)	(2.56)	%	(3.48)	%	0.39	%	(0.24)	%

Total expenses (a)	3.80	%	4.06	%	0.85	%	0.82	%
Profit share allocation (b)	0.00	%	0.68	%	0.00	%	0.04	%
Total expenses and profit share allocation	3.80	%	4.74	%	0.85	%	0.86	%

Total return before profit share allocation (b)	(5.92)	%	3.69	%	(5.22)	%	4.53	%
Less: profit share allocation (b)	0.00	%	0.68	%	0.00	%	0.04	%
Total return after profit share allocation	(5.92)	%	3.01	%	(5.22)	%	4.49	%

(a) annualized
(b) not annualized

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

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 Nestor Partners’ (the “Partnership”) financial condition at March 31, 2018 and December 31, 2017 and the results of its operations for the three months ended March 31, 2018 and 2017 (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 annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2017. The December 31, 2017 information has been derived from the audited financial statements as of December 31, 2017.

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 that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. The Partnership does not anticipate recognizing any loss related to these arrangements.

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, 2014 to 2017, 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 2017.

2. 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 Partnership separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments – The Partnership’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 and an investment in a quoted short-term U.S. government securities money market fund. The General Partner does not adjust the quoted price for such instruments even in situations where the Partnership 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 Partnership 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 is an investment company following the accounting and reporting guidance put forth in Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”.

During the three months ended March 31, 2018 and 2017, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Partnership’s investments by hierarchical level as of March 31, 2018 and December 31, 2017 in valuing the Partnership’s investments at fair value. At March 31, 2018 and December 31, 2017, the Partnership held no assets or liabilities in Level 3.


Financial assets at fair value as of March 31, 2018

		Level 1		Level 2		Total

U.S. Treasury Notes (1)	$	137,011,381	$	-	$	137,011,381
Short-Term Money Market Fund*		11,453,326		-		11,453,326
Exchange-Traded Futures Contracts
Energies		1,683,146		-		1,683,146
Grains		264,156		-		264,156
Interest rates		2,870,812		-		2,870,812
Livestock		14,480		-		14,480
Metals		(482,836)		-		(482,836)
Softs		105,949		-		105,949
Stock indices		99,499		-		99,499

Total exchange-traded futures contracts		4,555,206		-		4,555,206

Over-the-Counter Forward Currency Contracts		-		(456,939)		(456,939)

Total futures and forward currency contracts (2)		4,555,206		(456,939)		4,098,267

Total financial assets at fair value	$	153,019,913	$	(456,939)	$	152,562,974


Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	19,728,873
Investments in U.S. Treasury notes						117,282,508
Total investments in U.S. Treasury notes					$	137,011,381

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	4,555,206
Net unrealized depreciation on open futures and forward currency contracts						(456,939)
Total net unrealized appreciation on open futures and forward currency contracts					$	4,098,267

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.


Financial assets and liabilities at fair value as of December 31, 2017

		Level 1		Level 2		Total

U.S. Treasury Notes (1)	$	150,288,348	$	-	$	150,288,348
Short-Term Money Market Fund*		19,221,076		-		19,221,076
Exchange-Traded Futures Contracts
Energies		1,822,987		-		1,822,987
Grains		44,845		-		44,845
Interest rates		(1,342,525)		-		(1,342,525)
Livestock		(5,240)		-		(5,240)
Metals		(141,762)		-		(141,762)
Softs		21,361		-		21,361
Stock indices		279,146		-		279,146

Total exchange-traded futures contracts		678,812		-		678,812

Over-the-Counter Forward Currency Contracts		-		(3,086,579)		(3,086,579)

Total futures and forward currency contracts (2)		678,812		(3,086,579)		(2,407,767)

Total financial assets at fair value	$	170,188,236	$	(3,086,579)	$	167,101,657


Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	35,088,064
Investments in U.S. Treasury notes						115,200,284
Total investments in U.S. Treasury notes					$	150,288,348

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	699,718
Net unrealized depreciation on open futures and forward currency contracts						(3,107,485)
Total net unrealized appreciation on open futures and forward currency contracts					$	(2,407,767)

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

3. 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 Partnership’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 Partnership’s open positions, and the liquidity of the markets in which it trades.

The Partnership engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Partnership at March 31, 2018, by market sector:

Agricultural (grains, livestock and softs) – The Partnership’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 Partnership. The Partnership’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 Partnership trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

Energies – The Partnership’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 market.

Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership 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 Partnership’s profitability. The Partnership’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 Partnership 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 Partnership for the foreseeable future.

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

Stock indices – The Partnership’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 Partnership’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 Partnership 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 Partnership’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 March 31, 2018 and December 31, 2017. 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 Statements of Financial Condition.


Fair Value of Futures and Forward Currency Contracts at March 31, 2018

										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions

Futures contracts:
Energies	$	1,680,059	$	(1,593)	$	6,960	$	(2,280)	$	1,683,146
Grains		24,068		(19,328)		265,963		(6,547)		264,156
Interest rates		3,010,191		(31,520)		526		(108,385)		2,870,812
Livestock		-		-		18,480		(4,000)		14,480
Metals		19,811		(1,221,275)		796,395		(77,767)		(482,836)
Softs		1,285		(10,745)		121,854		(6,445)		105,949
Stock indices		861,321		(676,975)		325		(85,172)		99,499
Total futures contracts		5,596,735		(1,961,436)		1,210,503		(290,596)		4,555,206

Forward currency contracts		1,063,414		(1,351,646)		904,319		(1,073,026)		(456,939)

Total futures and
forward currency contracts	$	6,660,149	$	(3,313,082)	$	2,114,822	$	(1,363,622)	$	4,098,267


Fair Value of Futures and Forward Currency Contracts at December 31, 2017

										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions

Futures contracts:
Energies	$	2,044,382	$	(4,305)	$	62,040	$	(279,130)	$	1,822,987
Grains		-		(4,300)		91,250		(42,105)		44,845
Interest rates		299,972		(1,818,823)		223,213		(46,887)		(1,342,525)
Livestock		-		-		1,010		(6,250)		(5,240)
Metals		2,071,113		(10,627)		4,289		(2,206,537)		(141,762)
Softs		71,420		(1,160)		10,163		(59,062)		21,361
Stock indices		1,468,203		(1,049,135)		187,975		(327,897)		279,146
Total futures contracts		5,955,090		(2,888,350)		579,940		(2,967,868)		678,812

Forward currency contracts		1,488,604		(1,039,451)		570,004		(4,105,736)		(3,086,579)

Total futures and
forward currency contracts	$	7,443,694	$	(3,927,801)	$	1,149,944	$	(7,073,604)	$	(2,407,767)

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2018 and 2017 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 months ended March 31, 2018 and 2017


Sector	Three months ended: March 31, 2018		Three months ended: March 31, 2017

Futures contracts:
Energies	$	426,618	$	(712,093)
Grains		(476,058)		(342,652)
Interest rates		1,461,829		69,752
Livestock		42,400		(66,320)
Metals		(279,033)		36,320
Softs		248,310		129,061
Stock indices		(9,284,428)		7,598,378

Total futures contracts		(7,860,362)		6,712,446

Forward currency contracts		(1,278,354)		429,405

Total futures and
forward currency contracts	$	(9,138,716)	$	7,141,851

The following table presents average notional value by sector of open futures and forward currency contracts for the three months ended March 31, 2018 and 2017 in U.S. dollars. The Partnership’s average net asset value for the three months ended March 31, 2018 and 2017 was approximately $160,000,000.


Average notional value by sector of futures and forward currency contracts for the three months ended March, 2018 and 2017

		2018				2017
Sector		Long positions		Short positions		Long positions		Short positions

Futures contracts:
Energies	$	47,486,187	$	3,339,625	$	5,661,105	$	7,221,499
Grains		1,930,170		10,637,747		110,810		12,215,217
Interest rates		378,840,001		31,644,238		287,103,195		3,617,497
Livestock		-		882,590		28,000		421,325
Metals		9,477,536		16,149,318		10,923,366		6,026,640
Softs		1,452,088		2,197,070		363,113		3,843,073
Stock indices		128,288,229		14,720,856		122,250,672		10,330,194

Total futures contracts		567,474,211		79,571,444		426,440,261		43,675,445

Forward currency contracts		48,660,575		94,684,310		55,461,199		98,810,890

Total futures and
forward currency contracts	$	616,134,786	$	174,255,754	$	481,901,460	$	142,486,335

Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at March 31, 2018 and 2017. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the General Partner believes it is a more meaningful representation of notional values of the Partnership’s open interest rate positions.

The customer agreements between the Partnership, 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 Partnership the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Partnership 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 following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition at March 31, 2018 and December 31, 2017.


Offsetting derivative liabilities at March 31, 2018

Assets		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Futures contracts
Counterparty C	$	3,501,739	$	(412,243)	$	3,089,496
Counterparty I		3,305,499		(1,839,789)		1,465,710
Total assets	$	6,807,238	$	(2,252,032)	$	4,555,206

Liabilities		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Forward currency contracts
Counterparty G	$	957,407	$	(790,218)	$	167,189
Counterparty H		1,467,265		(1,177,515)		289,750
Total liabilities	$	2,424,672	$	(1,967,733)	$	456,939


				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Assets presented in the Statement of Financial Condition		Financial Instruments		Collateral Received(1)(2)		Net Amount(3)

Counterparty C	$	3,089,496	$	-	$	(3,089,496)	$	-
Counterparty I		1,465,710		-		(1,465,710)		-

Total	$	4,555,206	$	-	$	(4,555,206)	$	-

				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Liabilities presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged(1)(2)		Net Amount

Counterparty G	$	167,189	$	-	$	(167,189)	$	-
Counterparty H		289,750		-		(289,750)		-

Total	$	456,939	$	-	$	(456,939)	$	-

(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 liabilities presented in the Statement of Financial Condition
for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of March 31, 2018.


Offsetting derivative assets at December 31, 2017

Assets		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Futures contracts
Counterparty C	$	2,264,296	$	(1,564,578)	$	699,718
Total assets	$	2,264,296	$	(1,564,578)	$	699,718


Liabilities		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Futures contracts
Counterparty I	$	4,291,640	$	(4,270,734)	$	20,906
Total futures contracts		4,291,640		(4,270,734)		20,906

Forward currency contracts
Counterparty G		2,184,442		(834,415)		1,350,027
Counterparty H		2,960,745		(1,224,193)		1,736,552
Total forward currency contracts		5,145,187		(2,058,608)		3,086,579

Total liabilities	$	9,436,827	$	(6,329,342)	$	3,107,485

				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Assets presented in the Statement of Financial Condition		Financial Instruments		Collateral Received(1)(2)		Net Amount(3)

Counterparty C	$	699,718	$	-	$	(699,718)	$	-
Total	$	699,718	$	-	$	(699,718)	$	-

				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Liabilities presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged(1)(2)		Net Amount(4)

Counterparty G	$	1,350,027	$	-	$	(1,350,027)	$	-
Counterparty H		1,736,552		-		(1,736,552)		-
Counterparty I		20,906		-		(20,906)		-

Total	$	3,107,485	$	-	$	(3,107,485)	$	-

(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 amount that is subject to loss in the event of a counterparty failure as of December 31, 2017.
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2017.

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 Partnership’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Partnership 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 Partnership’s forward currency trading activities are cleared by Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Partnership’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 $6,877,290 and $13,205,797 at March 31, 2018 and December 31, 2017, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2018 and 2017. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Partnership’s Agreement of Limited Partnership.


	Three months ended:
	March 31,		March 31,
	2018		2017
Profit share earned	$	-	$	2,261
Profit share accrued		2,397		619,159
Total profit share	$	2,397	$	621,420

5. RELATED PARTY TRANSACTIONS

Limited partnership interests (“Interests”) sold through selling agents engaged by the General Partner are generally subject to a 2.5% redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. At March 31, 2018 and December 31, 2017, $0 and $4,400 was owed to the General Partner, respectively, and included in the Statement of Financial Condition in “Other liabilities.”

6. SUBSEQUENT EVENTS

During the period from April 1, 2018 to May 14, 2018, contributions of $1,375,000 were made to the Partnership and withdrawals of $361,007 we made from the Partnership. The General Partner has performed its evaluation of subsequent events from April 1, 2018 to May 14, 2018, the date this form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the financial statements.

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

Due to the nature of the Partnership'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 Partnership'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 Partnership 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 Partnership has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

Interests 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 has 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 Partnership.

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any). The Partnership does not engage in borrowing.

The Partnership trades futures, forward 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 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 Partnership contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forward and spot contracts or the Partnership’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Partnership.

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

The Partnership’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 Partnership’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 Partnership is assigned a position in the underlying future which is then settled by offset. The Partnership’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 Partnership’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 Partnership’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 Partnership’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 Partnership is likely to suffer losses.

The Partnership’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), 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 Partnership’s futures, forward 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 Partnership’s futures, forward and spot trading, the Partnership’s assets are highly liquid and are expected to remain so.

During its operations for the three months ended March 31, 2018, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

The Partnership 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 Partnership on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. 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 Partnership 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 to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

RESULTS OF OPERATIONS

Due to the nature of the Partnership’s trading, 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.



Period ended March 31, 2018

Month Ending:		Total Partners' Capital

March 31, 2018	$	156,882,914
December 31, 2017		167,315,268


		Three Months ended
Change in Partners' Capital	$	(10,432,354)
Percent Change		(6.24)%

THREE MONTHS ENDED MARCH 31, 2018

The decrease in the Partnership’s net assets of $10,432,354 was attributable to net loss after profit share of $9,545,204 and withdrawals of $4,559,900, which were partially offset by contributions of $3,672,750.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Brokerage fees for the three months ended March 31, 2018 increased $1,449 relative to the corresponding period in 2017. The increase was due to an increase in average net assets of the Partnership during the three months ended March 31, 2018, relative to the corresponding period in 2017.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2018 increased $264,268 relative to the corresponding period in 2017. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2018 relative to the corresponding period in 2017.

During the three months ended March 31, 2018, the Partnership experienced net realized and unrealized losses of $8,998,304 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $963,380, administrative expenses of $70,000, custody fees and other expenses of $7,361 and accrued profit share to the General Partner of $2,397 were incurred. Interest income of $496,238 partially offset the Partnership expenses resulting in net loss after profit share to the General Partner of $9,545,204. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		(0.80)	%
Energies		0.30	%
Grains		(0.30)	%
Interest rates		1.04	%
Livestock		0.02	%
Metals		(0.19)	%
Softs		0.13	%
Stock indices		(5.63)	%

Trading Loss		(5.43)	%

MANAGEMENT DISCUSSION –2018

Three months ended March 31, 2018

The Partnership was unprofitable during the quarter almost entirely due to losses from trading global stock index futures. Elsewhere, profits from trading interest rate, energy, soft commodity and livestock futures were largely offset by losses from trading currency forwards, grain and metal futures.

Against a background of synchronized global growth and expanding corporate profits, stocks reached overbought levels during the sharp price run-up in early 2018. Subsequently, equity markets were weighed down by a series of worries including: reports suggesting an acceleration of U.S. wages and inflation combined with increased fiscal deficit spending could prompt the Federal Reserve (the “Fed”) to raise interest rates faster and further than previously anticipated; increased equity market volatility globally as the “central bank put” was removed from market psychology; the rising threat of a trade war; a first quarter slowdown in global growth momentum; and unsettled political conditions in the U.S., Germany and the U.K. Importantly, the tech sector, which has led the equity rally of recent years, was negatively impacted by the Facebook data breach, by the influence of the first autonomous car fatalities on the stock prices of Uber, Nvidia, and Tesla, by Moody’s downgrade of Tesla and by President Trump’s tweets about Amazon. As a result, equity markets fell sharply in volatile trading from their late January highs to the end of March. For example, the S&P 500 and EAFE equity indices fell nearly 10% from those peaks. Short VIX trades were the largest contributor to the Partnership’s equity sector losses during the quarter as this market saw an historic spike in prices caused by the sudden February selloff in equity markets, the increase in volatility, and the resulting liquidation of two short volatility exchange traded notes. Long positions in European, British, Japanese, Australian, Canadian, and U.S equity futures also generated losses. There were also losses from countertrend short positions in U.S. equity futures that were triggered by short term trading systems during the rapid equity price gains in January. On the other hand, long positions in Chinese, Hong Kong and Taiwanese stock futures were slightly profitable.

Interest rate futures were buffeted by conflicting forces during the quarter. At the start of the year, signs of strengthening global growth, evidence of rising wages and inflation in the U.S., and indications that major central banks, including the Fed, the European Central Bank (the “ECB”), and Bank of Japan, were pulling back on monetary accommodation led to rising interest rates and falling prices of interest rate futures. Later in the quarter, however, the threat of a trade war, increased equity market volatility globally, subdued actual inflation statistics, and a first quarter slowdown in global growth momentum generated solid demand for government securities, contributing to rising futures prices. Strong demand from central banks, pension funds and insurance related buyers for high quality government debt with attractive yields added to the price rallies. Meanwhile, in Japan, the February reappointment of Hiroki Kuroda to a second term as Bank of Japan Governor underpinned demand for Japanese government bonds. Ultimately, long positions in German, French, Italian, Canadian and Japanese interest rate futures were profitable. Trading of U.S. interest rate futures, though mixed, was also profitable. Long U.S. 2- and 5-year note trades were unprofitable in January, while a long 10-year note position was profitable in March. Also, a short euro-dollar trade was quite profitable in January as rates rose, while a long euro-dollar trade posted a small gain in March as rates declined. Meanwhile trading of British interest rate futures was fractionally negative.

Energy prices were volatile during the quarter, but energy trading was marginally profitable. For example, Brent crude prices climbed over $70 per barrel in January as the Organization of the Petroleum Exporting Countries (“OPEC”)/non-OPEC production control agreement and rising global demand continued to drag down inventories. A weaker U.S. dollar early in 2018 also boosted energy prices. Then prices plunged to under $63/barrel in mid-February due to the depressive impacts from the shale revolution and some worries about a slowing in global growth. From then to quarter end the price ratcheted up above $70 per barrel again in response to rising geopolitical anxiety. The hawkish appointments by President Trump of Mike Pompeo as U.S. Secretary of State and John Bolton as National Security Advisor heightened concern about the continuation of the 2015 Iran Nuclear Deal, and hence, about supplies of Iranian oil to the global market. For the quarter, the profits on long positions in Brent and WTI crude slightly outweighed the losses on long positions in RBOB gasoline, heating oil, and London gas oil. A short natural gas position was also slightly negative as unusually severe winter weather underpinned natural gas prices.

A short sugar trade was profitable as prices declined as world sugar production hit record highs in the wake surging supplies from India and Thailand. A short coffee position was also profitable. Meanwhile, a short cocoa trade produced a partially offsetting loss as dry weather in western Africa and demand increases from Europe and Asia supported prices.

Currency trading was unprofitable during the quarter. The U.S. dollar index, after falling about 4% during January, was range-bound thereafter. Long U.S. dollar positions against the currencies of Japan, Switzerland, Australia, New Zealand and Norway posted losses as the U.S. dollar displayed surprising weakness in January. Deterioration in the political environment in the U.S. and relatively stronger growth abroad weighed on the U.S. dollar even as interest rates rose in America. Later in the quarter as the U.S. dollar bounced off its lows, short U.S. dollar trades against the Swedish krona, Turkish lira and Brazilian real posted small losses. A cut in the official interest rate by Brazil’s central bank, a persistently negative official short term rate in Sweden, and worsening inflation and trade balance data from Turkey also influenced these losses. Trading the Canadian dollar was also unprofitable. On the other hand, long positions in the Mexican peso, Columbian peso and euro were profitable as the U.S. dollar weakened early in the quarter. A short British pound trade was also profitable due to Brexit concerns.

Early in the period, drought concerns in Argentina and the U.S. pushed grain prices higher despite the persistence of large inventories. However, later in the quarter, worries about a trade war with China weighed heavily on grain prices. Overall, losses on short soybean, corn and wheat trades early on and from long soybean and corn trades late in the period fractionally outdistanced the profits from a long soybean meal trade in January and February and a short wheat trade in March.

Metal trading was marginally negative for the quarter as losses from trading copper and aluminum outweighed the profit from a short silver position.


Period ended March 31, 2017

Month Ending:		Total Partners' Capital

March 31, 2017	$	161,727,264
December 31, 2016		155,548,310


		Three Months ended
Change in Partners' Capital	$	6,178,954
Percent Change		3.97%

THREE MONTHS ENDED MARCH 31, 2017

The increase in the Partnership’s net assets of $6,178,954 was attributable to net income after profit share of $5,763,766 and contributions of $2,335,261 which were partially offset by withdrawals of $1,920,073.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Brokerage fees for the three months ended March 31, 2017 increased $110,674 relative to the corresponding period in 2016. The increase was due to an increase in average net assets of the Partnership during the three months ended March 31, 2017, relative to the corresponding period in 2016.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the three months ended March 31, 2017 decreased $22,092 relative to the corresponding period in 2016. The decrease was due mainly to the Partnership no longer paying TMC for legal and accounting services during the three months ended March 31, 2017, relative to the corresponding period in 2016 when the Partnership accrued expenses for such services.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2017 increased $123,647 relative to the corresponding period in 2016. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2017 relative to the corresponding period in 2016.

During the three months ended March 31, 2017, the Partnership experienced net realized and unrealized gains of $7,192,800 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $961,931, administrative expenses of $70,000, custody fees and other expenses of $7,653 and an accrued profit share to the General Partner of $621,420 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $231,970, were partially offset by the Partnership’s expenses resulting in net income after profit share to the General Partner of $5,763,766. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		0.29	%
Energies		(0.43)	%
Grains		(0.23)	%
Interest rates		0.03	%
Livestock		(0.04)	%
Metals		0.03	%
Softs		0.07	%
Stock indices		4.85	%

Trading Gain		4.57	%

MANAGEMENT DISCUSSION –2017

Three months ended March 31, 2017

The Partnership registered a solid first quarter gain due to profits from long equity futures positions. Trading of currency forwards was slightly profitable, trading of commodity futures was fractionally negative and trading of interest rate futures was essentially flat.

According to the Brookings Institution and the Financial Times, the global economic recovery is now “broad-based and stable”. Morgan Stanley concurs, stating that a “…synchronous global recovery…is exhibiting more self-sustaining characteristics”. Against this background, long positions in U.S., European and Asian equity futures were broadly profitable. A long VIX trade was also profitable. Short positions in Indian and South African stock futures were marginally negative. Neither the fading of the positive impulses from the Trump election victory nor an increase in political and geopolitical tensions was able to blunt this equity advance.

The U.S. dollar, which had risen sharply during 2016’s fourth quarter, was volatile and weakened during the first three months of 2017 as the difficult reality of governing diminished the election euphoria for the Trump administration. Profits from short U.S. dollar trades versus the currencies of Australia, Brazil, India, Mexico, Russia, and Turkey were offset by the losses from long U.S. dollar positions versus the euro and the currencies of Great Britain, Canada, Japan, Korea, New Zealand, Norway, Sweden and Singapore. Meanwhile, a long euro/short Polish zloty trade and a short euro/long Turkish lira position were each slightly profitable.

Interest rates rose early in the period in response to the improving economic outlook and to evidence that central banks worldwide were pulling back from the long era of ultralow interest rates and quantitative easing. Indeed the U.S. Federal Reserve (the “Fed”) did raise its official rate again by ¼% during the quarter. Moreover, Mario Draghi, the President of the European Central Bank (the “ECB”), indicated that “there is no longer the sense of urgency in taking further actions”. The People’s Bank of China (the “PBOC”) edged toward a tighter policy during the quarter as well. Finally, the Bank of England and the Bank of Japan issued improved outlooks for their economies. Later on, however, political tensions in the U.S., Great Britain, the Netherlands, France, Turkey and South Africa and geopolitical tensions and terrorism involving North Korea, South Korea, the U.K., Canada and Syria produced a flight to safety and declining rates. On balance, the sector was flat for the quarter and at month-end the Partnership’s interest rate futures positions remained generally long.

Energy prices were volatile and range-bound in the quarter. Production cut efforts by the Organization of the Petroleum Exporting Countries buoyed prices at times, while increasing U.S. shale production weighed on prices at other times. A long RBOB gasoline position was unprofitable as was trading of crude oil and London gas oil.

Trading of metal futures was nearly flat as small profits from long aluminum and zinc positions offset small losses from short gold and silver positions.

Trading of soft and agricultural commodities was marginally unprofitable. Grain trading was unprofitable due to losses from a short corn trade early in the period and from long soybean and soybean meal positions. A short wheat position was profitable in March. A short sugar position was also profitable in March. Trading of livestock was slightly negative.

OFF-BALANCE SHEET ARRANGEMENTS

The Partnership does not engage in off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

The Partnership does not enter 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 is trading futures, forward currency, spot, option and swap contracts, both long (contracts to buy) and short (contacts to sell). The Partnership may also engage in trading swaps. 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 Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements present a Condensed Schedule of Investments setting forth the Partnership’s open futures and forward currency contracts, both long and short, at March 31, 2018.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of its 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 March 31, 2018 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 January 1, 2018, February 1, 2018 and March 1, 2018, the Partnership sold Interests to new and existing limited partners of $1,255,750, $1,917,000 and $500,000, 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.

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


The following table summarizes Interests redeemed during the three months ended March 31, 2018:

Date of Withdrawal	Limited Partners	Special Limited Partners	Total

January 31, 2018	$ (1,334,934)	$ (86,969)	$ (1,421,903)
February 28, 2018	(1,287,374)	(2,000)	(1,289,374)
March 31, 2018	(1,806,623)	(42,000)	(1,848,623)
Total	$ (4,428,931)	$ (130,969)	$ (4,559,900)

ITEM 3. Defaults Upon Senior Securities

None.

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 President and 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 President and 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,	/s/ Michael W. Carter
	General Partner	Michael W. Carter
		Vice-President
Date: May 14, 2018		(Principal Accounting Officer)

NESTOR PARTNERS - FORM 10-Q - May 14, 2018

Attached files

NESTOR PARTNERS Reports