NESTOR PARTNERS - FORM 10-Q - November 13, 2018

Attached files

file	filename
EX-32.3 - EX-32.3 - NESTOR PARTNERS	c471-20180930xex32_3.htm
EX-32.2 - EX-32.2 - NESTOR PARTNERS	c471-20180930xex32_2.htm
EX-32.1 - EX-32.1 - NESTOR PARTNERS	c471-20180930xex32_1.htm
EX-31.3 - EX-31.3 - NESTOR PARTNERS	c471-20180930xex31_3.htm
EX-31.2 - EX-31.2 - NESTOR PARTNERS	c471-20180930xex31_2.htm
EX-31.1 - EX-31.1 - NESTOR PARTNERS	c471-20180930xex31_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: September 30, 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, every Interactive Data File required to be submitted 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 such files).

Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, 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 ☐	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 and nine months ended September 30, 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 (c)						8
Statements of Financial Highlights (b)						9
Notes to the Financial Statements						10

(a) At September 30, 2018 and December 31, 2017 (unaudited)
(b) For the three and nine months ended September 30, 2018 and 2017 (unaudited)
(c) For the nine months ended September 30, 2018 and 2017 (unaudited)


Nestor Partners
Statements of Financial Condition (UNAUDITED)

		September 30, 2018		December 31, 2017
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes − at fair value
(amortized cost $23,239,807 and $35,145,431)	$	23,216,017	$	35,088,064
Net unrealized appreciation on open futures and forward
currency contracts		4,496,676		699,718
Due from brokers		7,477,949		165,037
Cash denominated in foreign currencies (cost $4,177,456
and $8,417,006)		4,166,530		8,629,359

Total equity in trading accounts		39,357,172		44,582,178

INVESTMENTS IN U.S. TREASURY NOTES − at fair value
(amortized cost $114,060,050 and $115,357,357)		113,942,135		115,200,284

CASH AND CASH EQUIVALENTS		11,968,551		19,471,076

ACCRUED INTEREST RECEIVABLE		357,233		387,659

TOTAL	$	165,625,091	$	179,641,197

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Capital contributions received in advance	$	25,000	$	1,255,750
Net unrealized depreciation on open forward
currency contracts		1,021,098		3,107,485
Accrued brokerage fees		301,927		311,400
Due to brokers		604,885		354,465
Accrued expenses		121,277		47,630
Capital withdrawals payable to Limited Partners		1,146,662		5,968,211
Capital withdrawals payable to General Partner		-		1,276,588
Accrued profit share		27,177		-
Other liabilities		22		4,400

Total liabilities		3,248,048		12,325,929

PARTNERS' CAPITAL		162,377,043		167,315,268

TOTAL	$	165,625,091	$	179,641,197


See notes to financial statements (unaudited)

Nestor Partners
Condensed Schedule of Investments
September 30, 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	%	$	1,737,304
Interest rates	(0.27)			(444,906)
Livestock	0.00			1,390
Metals	0.04			68,530
Softs	(0.02)			(39,045)
Stock indices	1.45			2,370,062

Total long futures contracts	2.27			3,693,335

Short futures contracts:
Energies	(0.03)			(56,320)
Grains	0.22			350,642
Interest rates:
2 Year U.S. Treasury Note (492 contracts, settlement date December 2018)	0.07			115,312
10 Year U.S. Treasury Note (408 contracts, settlement date December 2018)	0.04			65,297
30 Year U.S. Treasury Bond (113 contracts, settlement date December 2018)	0.01			8,750
Other	0.30			486,734
Total interest rates	0.42			676,093

Livestock	(0.00)			(50)
Metals	(0.18)			(286,473)
Softs	(0.01)			(9,080)
Stock indices	0.04			60,042

Total short futures contracts	0.46			734,854

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net	2.73			4,428,189
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	0.25			409,345
Total short forward currency contracts	(0.84)			(1,361,956)

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS − Net	(0.59)			(952,611)

TOTAL	2.14	%	$	3,475,578

				(Continued)


Nestor Partners
Condensed Schedule of Investments
September 30, 2018 (UNAUDITED)

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

$	36,170,000	U.S. Treasury notes, 1.250%, 11/15/2018	22.25	%	$	36,131,852
	30,170,000	U.S. Treasury notes, 0.750%, 02/15/2019	18.48			29,994,991
	37,770,000	U.S. Treasury notes, 0.875%, 05/15/2019	23.03			37,401,890
	34,170,000	U.S. Treasury notes, 0.750%, 08/15/2019	20.71			33,629,419

		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $137,299,857)	84.47	%	$	137,158,152

	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
		September 30, 2018		September 30, 2017
INVESTMENT INCOME:
Interest income	$	727,316	$	362,395

EXPENSES:
Brokerage fees		962,300		1,014,971
Administrative expenses		70,000		70,000
Custody fees and other expenses		7,301		7,582
Total expenses		1,039,601		1,092,553

NET INVESTMENT LOSS		(312,285)		(730,158)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		5,487,860		(1,746,658)
Foreign exchange translation		(158,065)		240,736
Net change in unrealized:
Futures and forward currency contracts		(893,714)		7,929,282
Foreign exchange translation		99,186		(18,953)
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(12,734)		66,927
Total net realized and unrealized gains		4,522,533		6,471,334

NET INCOME		4,210,248		5,741,176
LESS PROFIT SHARE TO GENERAL PARTNER		19,553		374,835
NET INCOME AFTER PROFIT SHARE TO
GENERAL PARTNER	$	4,190,695	$	5,366,341

See notes to financial statements (unaudited)				(Continued)


Nestor Partners
Statements of Operations (UNAUDITED)



		For the nine months ended
		September 30, 2018		September 30, 2017
INVESTMENT INCOME:
Interest income	$	1,826,241	$	894,756

EXPENSES:
Brokerage fees		2,881,296		2,988,903
Administrative expenses		210,000		210,000
Custody fees and other expenses		21,829		22,571

Total expenses		3,113,125		3,221,474

NET INVESTMENT LOSS		(1,286,884)		(2,326,718)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(7,084,846)		11,224,222
Foreign exchange translation		135,632		238,594
Net change in unrealized:
Futures and forward currency contracts		5,883,345		(4,327,033)
Foreign exchange translation		(223,279)		255,337
Net gains (losses) from U.S. Treasury notes:
Realized		(14,185)		-
Net change in unrealized		72,735		(15,878)

Total net realized and unrealized gains (losses)		(1,230,598)		7,375,242


NET INCOME (LOSS)		(2,517,482)		5,048,524
LESS PROFIT SHARE TO GENERAL PARTNER		27,177		380,771
NET INCOME (LOSS) AFTER PROFIT SHARE TO
GENERAL PARTNER	$	(2,544,659)	$	4,667,753

See notes to financial statements (unaudited)				(Concluded)


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



For the nine months ended September 30, 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		6,742,750		-		-		-		6,742,750
Withdrawals		(8,783,305)		(353,011)		-		-		(9,136,316)
Net income (loss)		(2,436,136)		(85,130)		-		3,784		(2,517,482)
General Partner's allocation:
New Profit-Accrued		(27,177)		-		-		-		(27,177)
PARTNERS' CAPITAL-
September 30, 2018	$	94,780,852	$	65,225,247	$	-	$	2,370,944	$	162,377,043


For the nine months ended September 30, 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		12,079,000		2,000,000		18,089		-		14,097,089
Withdrawals		(5,061,419)		(2,361,897)		-		-		(7,423,316)
Net income (loss)		1,855,655		3,072,127		(184)		120,926		5,048,524
General Partner's allocation:
New Profit-Accrued		(378,970)		(1,801)		-		-		(380,771)
PARTNERS' CAPITAL-
September 30, 2017	$	94,641,273	$	69,617,129	$	17,905	$	2,613,529	$	166,889,836



See notes to financial statements (unaudited)


Nestor Partners
Statements of Financial Highlights (UNAUDITED)



For the three months ended September 30, 2018 and 2017	Limited Partners				Special Limited Partners
	2018		2017		2018		2017

Ratios to average capital:
Net investment gain (loss) (a)	(2.02)	%	(3.04)	%	1.00	%	(0.02)	%

Total expenses (a)	3.83	%	3.90	%	0.81	%	0.88	%
Profit share allocation (b)	0.02	%	0.39	%	0.00	%	0.00	%
Total expenses and profit share allocation	3.85	%	4.29	%	0.81	%	0.88	%

Total return before profit share allocation (b)	2.31	%	3.14	%	3.09	%	3.92	%
Less: profit share allocation (b)	0.02	%	0.39	%	0.00	%	0.00	%
Total return after profit share allocation	2.29	%	2.75	%	3.09	%	3.92	%

(a) annualized
(b) not annualized


For the nine months ended September 30, 2018 and 2017	Limited Partners				Special Limited Partners
	2018		2017		2018		2017

Ratios to average capital:
Net investment gain (loss) (a)	(2.30)	%	(3.29)	%	0.69	%	(0.14)	%

Total expenses (a)	3.82	%	4.02	%	0.83	%	0.86	%
Profit share allocation (b)	0.03	%	0.41	%	0.00	%	0.00	%
Total expenses and profit share allocation	3.85	%	4.43	%	0.83	%	0.86	%

Total return before profit share allocation (b)	(2.33)	%	2.06	%	(0.11)	%	4.52	%
Less: profit share allocation (b)	0.03	%	0.41	%	0.00	%	0.00	%
Total return after profit share allocation	(2.36)	%	1.65	%	(0.11)	%	4.52	%

(a) annualized
(b) not annualized

See notes to financial statements (unaudited)

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 September 30, 2018 and December 31, 2017 (unaudited) and the results of its operations for the three and nine months ended September 30, 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, 2015 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.

The Partnership is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.

During the three and nine months ended September 30, 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 September 30, 2018 and December 31, 2017 in valuing the Partnership’s investments at fair value. At September 30, 2018 and December 31, 2017, the Partnership held no assets or liabilities in Level 3.


Financial assets at fair value as of September 30, 2018

		Level 1		Level 2		Total

U.S. Treasury Notes (1)	$	137,158,152	$	-	$	137,158,152
Short-Term Money Market Fund*		11,718,551		-		11,718,551
Exchange-Traded Futures Contracts
Energies		1,680,984		-		1,680,984
Grains		350,642		-		350,642
Interest rates		231,187		-		231,187
Livestock		1,340		-		1,340
Metals		(217,943)		-		(217,943)
Softs		(48,125)		-		(48,125)
Stock indices		2,430,104		-		2,430,104

Total exchange-traded futures contracts		4,428,189		-		4,428,189

Over-the-Counter Forward Currency Contracts		-		(952,611)		(952,611)

Total futures and forward currency contracts (2)		4,428,189		(952,611)		3,475,578

Total financial assets at fair value	$	153,304,892	$	(952,611)	$	152,352,281


Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	23,216,017
Investments in U.S. Treasury notes						113,942,135
Total investments in U.S. Treasury notes					$	137,158,152

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	4,496,676
Net unrealized depreciation on open futures and forward currency contracts						(1,021,098)
Total net unrealized appreciation on open futures and forward currency contracts					$	3,475,578

*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 September 30, 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 September 30, 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 September 30, 2018

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

Futures contracts:
Energies	$	1,767,200	$	(29,896)	$	1,080	$	(57,400)	$	1,680,984
Grains		-		-		368,005		(17,363)		350,642
Interest rates		30,574		(475,480)		844,424		(168,331)		231,187
Livestock		1,900		(510)		-		(50)		1,340
Metals		297,395		(228,865)		231,735		(518,208)		(217,943)
Softs		-		(39,045)		14,214		(23,294)		(48,125)
Stock indices		2,477,492		(107,430)		139,964		(79,922)		2,430,104
Total futures contracts		4,574,561		(881,226)		1,599,422		(864,568)		4,428,189

Forward currency contracts		1,313,292		(903,947)		1,730,190		(3,092,146)		(952,611)

Total futures and
forward currency contracts	$	5,887,853	$	(1,785,173)	$	3,329,612	$	(3,956,714)	$	3,475,578


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 and nine months ended September 30, 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 and nine months ended September 30, 2018 and 2017


Sector	Three months ended: September 30, 2018		Three months ended: September 30, 2017		Nine months ended: September 30, 2018		Nine months ended: September 30, 2017

Futures contracts:
Energies	$	1,440,878	$	(480,161)	$	7,172,781	$	(3,603,084)
Grains		337,657		105,536		1,019,088		(2,003,522)
Interest rates		(3,396,621)		(502,973)		(2,096,082)		(2,919,838)
Livestock		23,450		22,330		28,850		(77,560)
Metals		115,135		(345,114)		(1,210,811)		(273,469)
Softs		117,665		(33,198)		534,835		758,737
Stock indices		5,149,489		7,568,740		(6,426,547)		19,443,086

Total futures contracts		3,787,653		6,335,160		(977,886)		11,324,350

Forward currency contracts		806,493		(152,536)		(223,615)		(4,427,161)

Total futures and
forward currency contracts	$	4,594,146	$	6,182,624	$	(1,201,501)	$	6,897,189

The following table presents average notional value by sector of open futures and forward currency contracts for the nine months ended September 30, 2018 and 2017 in U.S. dollars. The Partnership’s average net asset value for the nine months ended September 30, 2018 and 2017 was approximately $160,000,000 and $164,000,000, respectively.


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

		2018				2017
Sector		Long positions		Short positions		Long positions		Short positions

Futures contracts:
Energies	$	45,114,043	$	2,623,200	$	9,290,325	$	16,847,780
Grains		971,351		14,630,484		55,405		17,706,756
Interest rates		311,551,283		76,708,597		281,458,097		3,549,555
Livestock		145,130		460,825		293,120		589,728
Metals		5,509,603		16,186,544		10,011,715		5,092,050
Softs		1,125,701		1,818,722		225,206		3,853,421
Stock indices		125,125,831		19,326,133		136,484,833		9,825,798

Total futures contracts		489,542,942		131,754,505		437,818,701		57,465,088

Forward currency contracts		29,926,091		126,742,856		74,617,914		70,397,526

Total futures and
forward currency contracts	$	519,469,033	$	258,497,361	$	512,436,615	$	127,862,614

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 September 30, 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 averages have been calculated based on the amounts outstanding at the end of each quarter during the calculation period.

The customer agreements between the Partnership, the futures clearing brokers, including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), SG Americas Securities, LLC., and Merrill Lynch Pierce, Fenner & Smith Inc. as well as the FX prime brokers, Deutsche Bank AG and Bank of America, N.A., 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 as of September 30, 2018 and December 31, 2017.


Offsetting derivative assets and liabilities at September 30, 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	$	2,847,181	$	(389,484)	$	2,457,697
Counterparty I		2,670,742		(1,196,913)		1,473,829
Counterparty J		656,060		(159,397)		496,663
Total futures contracts		6,173,983		(1,745,794)		4,428,189

Forward currency contracts
Counterparty K		1,725,915		(1,657,428)		68,487

Total assets	$	7,899,898	$	(3,403,222)	$	4,496,676

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	$	1,737,914	$	(1,004,237)	$	733,677
Counterparty H		600,751		(313,330)		287,421
Total forward currency contracts		2,338,665		(1,317,567)		1,021,098

Total liabilities	$	2,338,665	$	(1,317,567)	$	1,021,098


				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	$	2,457,697	$	-	$	(2,457,697)	$	-
Counterparty I		1,473,829		-		(1,473,829)		-
Counterparty J		496,663		-		(496,663)		-
Counterparty K		68,487		-		-		68,487

Total	$	4,496,676	$	-	$	(4,428,189)	$	68,487

				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	$	733,677	$	-	$	(733,677)	$	-
Counterparty H		287,421		-		(287,421)		-

Total	$	1,021,098	$	-	$	(1,021,098)	$	-

(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 and 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 September 30, 2018.
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of September 30, 2018.


Offsetting derivative assets and liabilities 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
						(Continued)

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
						(Concluded)


				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 through Deutsche Bank AG (“DB”), Bank of America N.A. (“ML”) and Morgan Stanley & Co. LLC (“MS”). The Partnership’s concentration of credit risk associated with DB, ML 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, ML and MS. The amount of such credit risk was $14,831,676 and $13,205,797 at September 30, 2018 and December 31, 2017, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 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:
	September 30,		September 30,
	2018		2017
Profit share earned	$	-	$	12,153
Reversal of profit share (1)		(7,624)		-
Profit share accrued		27,177		362,682
Total profit share	$	19,553	$	374,835




	Nine months ended:
	September 30,		September 30,
	2018		2017
Profit share earned	$	-	$	18,089
Profit share accrued		27,177		362,682
Total profit share	$	27,177	$	380,771

(1) on July 1st

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 September 30, 2018 and December 31, 2017, $22 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 October 1, 2018 to November 13, 2018, contributions of $75,000 were made to the Partnership and withdrawals of $506,077 we made from the Partnership. The General Partner has performed its evaluation of subsequent events from October 1, 2018 to November 13, 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 and nine months ended September 30, 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.



Periods ended September 30, 2018

Month Ending:				Total Partners' Capital

September 30, 2018			$	162,377,043
June 30, 2018				159,895,942
December 31, 2017				167,315,268


		Three Months ended		Nine Months ended
Change in Partners' Capital	$	2,481,101	$	(4,938,225)
Percent Change		1.55%		(2.95)%

THREE MONTHS ENDED SEPTEMBER 30, 2018

The increase in the Partnership’s net assets of $2,481,101 was attributable to net income after profit share of $4,190,695 and contributions of $810,000, which were partially offset by withdrawals of $2,519,594.

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 September 30, 2018 decreased $52,671 relative to the corresponding period in 2017. The decrease was due to a decrease in average net assets of the Partnership and a reduction in the fee rate charged to Limited Partners during the three months ended September 30, 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 September 30, 2018 increased $364,921 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 September 30, 2018 relative to the corresponding period in 2017.

During the three months ended September 30, 2018, the Partnership experienced net realized and unrealized gains of $4,522,533 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $962,300, administrative expenses of $70,000, custody fees and other expenses of $7,301 and an accrued profit share to the General Partner of $19,553 were incurred. The Partnership’s gains

achieved from trading operations, in addition to interest income of $727,316, were partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $4,190,695. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		0.51	%
Energies		0.89	%
Grains		0.22	%
Interest rates		(2.10)	%
Livestock		0.00	%
Metals		0.07	%
Softs		0.06	%
Stock indices		3.21	%

Trading Gain		2.86	%

NINE MONTHS ENDED SEPTEMBER 30, 2018

The decrease in the Partnership’s net assets of $4,938,225 was attributable to net loss after profit share of $2,544,659 and withdrawals of $9,136,316, which were partially offset by contributions of $6,742,750.

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 nine months ended September 30, 2018 decreased $107,607 relative to the corresponding period in 2017. The decrease was due to a decrease in average net assets of the Partnership and a reduction in the fee rate charged to Limited Partners during the nine months ended September 30, 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 nine months ended September 30, 2018 increased $931,485 relative to the corresponding period in 2017. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2018 relative to the corresponding period in 2017.

During the nine months ended September 30, 2018, the Partnership experienced net realized and unrealized losses of $1,230,598 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,881,296, administrative expenses of $210,000, custody fees and other expenses of $21,829 and accrued profit share to the General Partner of $27,177 were incurred. Interest income of $1,826,241 partially offset the Partnership expenses resulting in net loss after profit share to the General Partner of $2,544,659. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		(0.16)	%
Energies		4.60	%
Grains		0.63	%
Interest rates		(1.25)	%
Livestock		(0.03)	%
Metals		(0.80)	%
Softs		0.29	%
Stock indices		(4.01)	%

Trading Loss		(0.73)	%

MANAGEMENT DISCUSSION –2018

Three months ended September 30, 2018

The Partnership was profitable during the third quarter due to profits from long equity and energy positions, and, to a lesser extent, from trading currency forwards and non-energy commodities. Meanwhile, trading of interest rate futures was unprofitable.

Although currency turmoil, trade concerns and worries about Chinese growth clouded market outlook, equity markets were underpinned by solid global growth, favorable business and consumer sentiment, positive news on North American Free Trade Agreement renegotiations and still accommodative monetary policy globally, despite some recent tightening. Notably, some investor rotation out of highly valued U.S. equity markets late in the quarter boosted returns from other markets. In addition to gains realized from NASDAQ equity futures, long positions in Japanese, European, Taiwanese and Australian equity futures were each profitable. A short VIX trade posted an attractive gain too. A short position in Korean futures early in the period and trading of Singaporean futures were also profitable. On the other hand trading of Chinese and Canadian equity futures were slightly unprofitable.

Energy prices rose from mid-August to end of September particularly following the resumption of Iranian sanctions and after the Organization of the Petroleum Exporting Countries (“OPEC”) / Non-OPEC group indicated that they would not increase production even though events in Iran, Venezuela and Libya continue to constrain supplies. Larger-than-expected declines in U.S. crude stockpiles also supported crude prices, while an interruption to RBOB gasoline supplies as a result of hurricane Florence underpinned RBOB gasoline prices. Long positions in Brent crude, WTI crude, RBOB gasoline and London gas oil were profitable.

The U.S. dollar, which had risen sharply from mid-April to end of June, vacillated at this higher level during the third quarter and results, though profitable overall, were mixed. The U.S. dollar was supported by solid U.S. growth and corporate profit reports and actual and anticipated interest rate increases by the U.S. Federal Reserve (the “Fed”). Idiosyncratic trade, current account deficit, fiscal deficit, foreign debt and political problems in a number of emerging economies, including Turkey, Brazil, India and Argentina among others, further buoyed the American dollar. The U.S. dollar did settle back somewhat after news of a potential U.S.-Mexico trade deal was reported. Long U.S. dollar trades against the Japanese yen, euro, Turkish lira, Brazilian real, and Indian rupee were profitable. A long euro/short Turkish lira position was profitable as well. Brexit worries led to profits from a short sterling position. Alternatively, long U.S. dollar positions versus the currencies of Switzerland, Norway, Sweden, Poland, Australia, Canada, South Africa and Singapore were unprofitable. A short euro/long Norway trade was also unprofitable.

Global central banks, led by the Fed’s third ¼% interest rate increase this year, raised official interest rates 25 times during the third quarter. In addition, the European Central Bank and the Bank of Japan have adjusted their quantitative easing policies toward less accommodation. Recent inflation data in many economies including that of the U.S., U.K., Canada and European Union have approached or exceeded targeted levels. Proposed budget deficit targets in Italy raised concerns with EU authorities. In this environment, long positions in German, French, Italian, British, Australian, Canadian, and Japanese note and bond futures and in U.S. long bond futures posted losses. Meanwhile, short positions in short-term Eurodollar futures and in U.S. 2-year, 5-year and 10-year note futures provided partially offsetting gains, especially late in the period.

Short positions in corn, wheat and soybeans were profitable as the existence of sizable inventories, record recent harvests and tariff influences outweighed worries about the impact of the European heat wave on future supplies, at least for now. A long soybean meal trade was unprofitable.

With interest rates rising to subdue global inflation levels with a strong U.S dollar, the fractional profit on a short gold trade outpaced small losses from trading silver, platinum and aluminum.

Trading of soft commodity futures was marginally profitable as gains from short sugar and coffee positions were greater than losses from long cocoa and cotton trades.

Three months ended June 30, 2018

The Partnership was profitable during the quarter as gains from trading energy and grain futures, and to a lesser extent, currency forwards and soft commodity futures outweighed losses from trading stock index, metal and interest rate futures.

Global markets were rattled during the quarter by deepening and accelerating trade tensions between the U.S. on the one hand, and China, the European Union (“E.U.”), Canada and Mexico on the other; by divergent monetary policy trajectories among major central banks; by a strengthening U.S. dollar; by the Organization of the Petroleum Exporting Countries (“OPEC”) supply developments; and by numerous national political and geopolitical events.

With the OPEC/non-OPEC production control agreement, the U.S. decision to pull out of the Joint Comprehensive Plan of Action agreement with Iran, the implosion of the Venezuelan economy, Libyan production difficulties, and declining U.S. inventories all negatively impacting energy supplies, crude prices rose to four year highs during the quarter, with Brent crude climbing to nearly $80 per barrel on May 23 and WTI crude touching above $74 per barrel on June 29. Late in the period, OPEC and Russia announced a relaxation of their production restraint agreement, but the stated production increase disappointed market expectations, particularly in light of future potential supply cuts from Iran, Venezuela and Libya. For the quarter, long positions in Brent crude, WTI crude, London gas oil, heating oil and RBOB gasoline were profitable. Meanwhile, a short natural gas trade was slightly unprofitable, particularly in May.

A likely reduction in demand due to increased tariffs on grain combined with ample global supplies produced marked grain price decreases. Hence, short soybean and corn trades were profitable, most pronounced in June.

During the second quarter, the U.S. dollar advanced solidly with most of the gain occurring from mid-April to end-May when it rose about six per cent as measured by the Bloomberg dollar index. At first, the more hawkish stance by the Federal Reserve (“Fed”) relative to other major central banks underpinned the dollar advance. Next, capital flight from emerging markets, and then increased demand in the wake of the European political uncertainties, boosted the U.S. currency.

Long U.S. dollar trades versus the currencies of Brazil, Korea, Turkey, India, Israel, Chile, Sweden and the euro were profitable, with most of the larger gains coming in May. On the other hand, trading the U.S. dollar relative to the yen, Mexican peso, Canadian dollar, British pound, New Zealand dollar, South African rand, Australian dollar, Norwegian kroner, Russian ruble, and Swiss franc generated partially offsetting losses. Trading the euro versus a few other European currencies also produced small losses, especially during the political stresses in May.

A short coffee position was profitable, while other soft commodities were about flat.

Global trade tensions, tightening credit, a stronger U.S. dollar, and a slowing manufacturing sector in China buffeted metal prices. Consequently, trading of aluminum, copper, other industrial metals and silver was unprofitable.

Synchronized global growth underpinned equity markets early in the quarter. Later however, increasing trade tensions, a rising U.S. dollar, political uncertainties in Europe and emerging markets and worries about future global growth spooked market participants and triggered some spirited selling. Long positions in German, Chinese, Hong Kong, and Japanese equity futures, countries whose economies are heavily trade-dependent, were particularly unprofitable. Trading of Korean, emerging market, Spanish and large cap U.S. stock index futures also registered losses. On the other hand, long positions in French, Dutch, British, Canadian, Australian and NASDAQ equity futures produced partially offsetting gains.

The interest rate sector registered a slight loss, although futures prices and yields experienced wide swings during the quarter. The yield on U.S. 10-yr notes rose from 2.74% on March 30 to hit a 4-year high of 3.11% on May 17 due to solid global growth, incipient signs of increasing inflation and wages, especially in the U.S., and expectations of further Fed official rate increases. As interest rates rose broadly, prices of interest rate futures declined and long positions in U.S., European, British, Canadian, Australian and Japanese interest rate futures were unprofitable. Subsequently, however, these rising interest rates, a rising U.S. dollar, trade frictions and political uncertainties sparked tumult in emerging markets, including Turkey, Brazil Argentina, Mexico and Indonesia, triggering growth concerns and capital flight. In addition, there were worries that political turmoil in Italy and Spain could spread and impede European growth. Hence, a flight to safety drove interest rates sharply off their highs (except in Italy where rates shot up), and produced profits on long interest rates futures positions. The yield on the U.S. 10-yr note plunged to near 2.75% on May 28 before recovering to about 2.85% near quarter-end. Overall, losses on long positions in U.S., Canadian, Australian, and Italian notes and bonds—particularly in April and early May—slightly outweighed the gains on long positions in German, French and British notes and bonds in late May and June. A long Eurodollar futures trade was also unprofitable.

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.


Periods ended September 30, 2017

Month Ending:				Total Partners' Capital

September 30, 2017			$	166,889,836
June 30, 2017				160,033,196
December 31, 2016				155,548,310


		Three Months ended		Nine Months ended
Change in Partners' Capital	$	6,856,640	$	11,341,526
Percent Change		4.28%		7.29%

THREE MONTHS ENDED SEPTEMBER 30, 2017

The increase in the Partnership’s net assets of $6,856,640 was attributable to net income after profit share of $5,366,341 and contributions of $5,528,653 which was partially offset by withdrawals of $4,038,354.

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 September 30, 2017 increased $66,435 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 September 30, 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 September 30, 2017 decreased $32,246 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 September 30, 2017, relative to the corresponding period in 2016.

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 September 30, 2017 increased $173,470 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 September 30, 2017 relative to the corresponding period in 2016.

During the three months ended September 30, 2017, the Partnership experienced net realized and unrealized gains of $6,471,334 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $1,014,971, administrative expenses of $70,000, custody fees and other expenses of $7,582 and an accrued profit share to the General Partner of $374,835 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $362,395, were partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $5,366,341. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		(0.09)	%
Energies		(0.30)	%
Grains		0.07	%
Interest rates		(0.30)	%
Livestock		0.01	%
Metals		(0.21)	%
Softs		(0.02)	%
Stock indices		4.55	%

Trading Gain		3.71	%

NINE MONTHS ENDED SEPTEMBER 30, 2017

The increase in the Partnership’s net assets of $11,341,526 was attributable to net income after profit share of $4,667,753 and contributions of $14,097,089 which was partially offset by withdrawals of $7,423,316.

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 nine months ended September 30, 2017 increased $299,325 relative to the corresponding period in 2016. The increase was due to an increase in average net assets of the Partnership during the nine months ended September 30, 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 nine months ended September 30, 2017 decreased $80,096 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 nine months ended September 30, 2017, relative to the corresponding period in 2016.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the nine months ended September 30, 2017 increased $466,342 relative to the corresponding period in 2016. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2017 relative to the corresponding period in 2016.

During the nine months ended September 30, 2017, the Partnership experienced net realized and unrealized gains of $7,375,242 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,988,903, administrative expenses of $210,000, custody fees and other expenses of $22,571 and an accrued profit share to the General Partner of $380,771 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $894,756, were partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $4,667,753. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		(2.71)	%
Energies		(2.27)	%
Grains		(1.30)	%
Interest rates		(1.85)	%
Livestock		(0.14)	%
Metals		(0.25)	%
Softs		0.36	%
Stock indices		12.40	%

Trading Gain		4.24	%

MANAGEMENT DISCUSSION –2017

Three months ended September 30, 2017

The Partnership was profitable during the third quarter of 2017 due to gains on long stock index futures positions. On the other hand, trading of interest rate, energy, and metal futures and currency forwards were each unprofitable. Trading of soft and agricultural commodity futures were essentially flat.

Expanding global growth, increasing corporate profits and continuing accommodation in monetary policy led to broad-based gains from long equity futures positions. These positive influences outweighed the negative influences of North Korea’s belligerence, the Barcelona terrorist attack, the Charlottesville white supremacist rally, and hurricanes in the U.S. and Caribbean. Long positions in European, Asian and U.S. equity futures were profitable, as was a short VIX trade. A short position in South African equity futures and trading of Australian equity futures were slightly unprofitable.

Long positions in interest rate futures were fractionally unprofitable for the quarter as gains during July and August were outweighed by losses suffered in September. Persistent indications that major central banks - the Federal Reserve, European Central Bank, Bank of England, and Bank of Canada - would raise official rates and/or reduce balance sheets in order to lower monetary accommodation; continued expansion in global growth; rising energy prices; and incipient signs of a pickup in general inflation boosted interest rates and depressed prices of interest rate futures. On balance, long positions in Australian, Canadian, British, U.S. 2-, 5-, and 10-year, and German 30-year interest rate futures were unprofitable; while long positions in Japanese, French, Italian, and German 2-, 5,- and 10-year note futures, and U.S. long bond futures remained somewhat profitable even after sustaining losses in September.

The persistent political dysfunction in Washington weighed heavily on the U.S. dollar, driving the Bloomberg dollar index to a nearly 33 month low on September 8, 2017, down about 11% from the highs reached early this year. Short U.S. dollar trades versus the currencies of Brazil, Canada, the euro, Singapore, Sweden and Israel were profitable, especially during July. On the other hand, long U.S. dollar trades against the yen and Korean won were unprofitable. A short U.S. dollar/long New Zealand dollar trade was unprofitable as political uncertainty mounted ahead of the September 23, 2017 election in New Zealand. Also, a short U.S. dollar/long Swiss franc trade proved unprofitable as reduced political uncertainty in Europe reduced the need for protection provided by the “safe haven” Swiss franc. Finally trading the euro against several other European units was fractionally unprofitable.

Although energy prices were volatile, especially due to the disparate impacts of Hurricane Harvey on crude oil, crude products and natural gas, prices did move generally higher during the quarter. Energy prices were buoyed by persistent declines in U.S. oil inventories, by the Organization of the Petroleum Exporting Countries efforts to strengthen the production curtailment agreement, by evidence of increasing demand and by the falling U.S. dollar. Overall, energy trading was fractionally unprofitable as losses on short positions in RBOB gasoline, natural gas, and WTI crude outweighed profits from long positions in Brent crude and London gas oil.

Metal trading was fractionally unprofitable as losses from a short aluminum trade, a long copper position and trading other industrial metals outpaced the profits from trading silver, platinum, and gold.

USDA reports that drought conditions earlier this year had little impact on yields and that bumper harvests of corn and soybeans are expected, combined with news that Russia was expecting record wheat and corn harvests weighed on grain prices. Subsequently, profits on short corn and wheat positions, particularly in August, slightly outweighed the loss from trading soybeans.

Three months ended June 30, 2017

The Partnership sustained a decline during the second quarter of 2017 due largely to losses from trading financial and energy futures in the wake of hawkish monetary policy comments from the heads of several central banks at the European Central Bank (the “ECB”) conference in Sintra,

Portugal, late in June (the “Sintra Conference”). For the quarter, losses from trading interest rate, energy and grain futures and currency forwards outweighed gains from trading equity and soft commodity futures. Trading of metal and livestock futures were each nearly flat.

Mario Draghi from the ECB, Mark Carney from the Bank of England and Stephen Poloz from the Bank of Canada each indicated at the Sintra Conference that with global growth broadening and strengthening, the time is approaching for 10 years of extraordinarily easy monetary policy to come to an end. Janet Yellen from the Federal Reserve (“Fed”) had provided a similar comment after the recent Federal Open Market Committee meeting. In response, global interest rates, which had been falling or stable for most of the quarter, spiked higher and long interest rate futures positions, which had been profitable through June 26, 2017, turned unprofitable. Long positions in German and British interest rate futures were unprofitable. Long positions in French and Italian bond futures, which had benefitted from the French election results and from the Italian bank rescues, were profitable, although the gains were reduced significantly after the Sintra Conference. Long positions in U.S. note and bond futures were also profitable albeit with reductions at the end of June.

Foreign exchange trading remained volatile as the U.S. dollar, buffeted by conflicting influences, declined markedly in a saw-toothed pattern during the quarter. On the one hand, persistent increases in the official interest rate by the Fed were supportive of the U.S. dollar. On the other hand, the fact that growth in Europe and Asia was accelerating while growth in the U.S. remained tepid, and that politics in the U.S. was becoming more volatile while the political outlook in Europe had improved significantly, weighed on the U.S. dollar. Finally, the fact that comments from the Sintra Conference suggested a relative tightening of non-U.S. monetary policy also worked against the U.S. dollar. Consequently, long U.S. dollar positions against the currencies of Australia, the U.K., Canada, New Zealand, the euro, Switzerland, Sweden, Norway, Poland, Japan and Singapore were unprofitable. Short U.S. dollar carry trades in the Brazilian real and Russian ruble were also unprofitable as political uncertainties in each country prompted declines that outweighed the interest rate advantages. A long Mexican peso trade was profitable as the market came to believe that the impact of the Trump presidency on Mexico would be less than initially feared.

Energy prices displayed sharp swings within a broad range during the quarter. When market participants focused on supply increases due to rising shale production and when the U.S. dollar was rising, prices would be driven lower, but when traders focused on supply constraints due to the Organization of the Petroleum Exporting Countries (“OPEC”)/non-OPEC production curtailment agreement—which was extended in May for a further nine months through the first quarter of 2018—and when the U.S. dollar was falling, prices would spike higher. On balance, trading of crude oil, RBOB gasoline, London gas oil, heating oil and natural gas were each unprofitable, with significant losses occurring on short energy positions late in the period as the U.S. dollar fell and energy prices rose after the Sintra Conference.

With the International Monetary Fund, the Brookings Institution, the Financial Times and central banks around the globe agreeing that the economic recovery is broadening throughout Europe and Asia; recent elections in Europe—France, the Netherlands and the U.K. producing moderate rather than extreme outcomes; a generally weakening U.S. dollar; and the presence of signs that China is addressing its debt problems. Long positions in most European and Asian equity futures were profitable. A short VIX position was also fractionally profitable. U.S. equity futures were slightly profitable as gains from long S&P and Dow Jones futures positions were partially offset by losses from trading the Nasdaq futures. Long positions in Dutch and Canadian futures were unprofitable. The sector gains were reduced markedly when interest rates rose sharply late in June.

Short wheat, corn and soybean trades were unprofitable late in quarter as a drought in the U.S. high plains region and reduced wheat plantings in Canada underpinned prices. In addition, long soybean and soybean meal positions were unprofitable in April and May.

A short sugar position was profitable and, to a lesser extent, so too were short coffee and cocoa trades.

The profits from a short silver trade were countered by losses from trading gold, platinum and most industrial metals.

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). 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 September 30, 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 September 30, 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 July 1, 2018 and August 1, 2018, the Partnership sold Interests to new and existing limited partners of $30,000 and $780,000, 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 September 30, 2018:

Date of Withdrawal	Limited Partners	Special Limited Partners	Total

July 31, 2018	$ (594,566)	$ (2,000)	$ (596,566)
August 31, 2018	(725,969)	(50,394)	(776,363)
September 30, 2018	(1,114,377)	(32,288)	(1,146,665)
Total	$ (2,434,912)	$ (84,682)	$ (2,519,594)

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 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,	/s/ Michael W. Carter
	General Partner	Michael W. Carter
		Vice-President
Date: November 13, 2018		(Principal Accounting Officer)

NESTOR PARTNERS - FORM 10-Q - November 13, 2018

Attached files

NESTOR PARTNERS Reports