Attached files
file | filename |
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EX-31.02 - EX-31.02 - ML TREND-FOLLOWING FUTURES FUND L.P. | a10-19007_6ex31d02.htm |
EX-32.02 - EX-32.02 - ML TREND-FOLLOWING FUTURES FUND L.P. | a10-19007_6ex32d02.htm |
EX-31.01 - EX-31.01 - ML TREND-FOLLOWING FUTURES FUND L.P. | a10-19007_6ex31d01.htm |
EX-32.01 - EX-32.01 - ML TREND-FOLLOWING FUTURES FUND L.P. | a10-19007_6ex32d01.htm |
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
(Mark One)
x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2010
OR
o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission File Number 0-28928
ML TREND-FOLLOWING FUTURES FUND L.P.
(Exact Name of Registrant as specified in its charter)
Delaware |
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13-3887922 |
(State or other jurisdiction of |
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(IRS Employer Identification No.) |
incorporation or organization) |
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c/o Merrill Lynch Alternative Investments LLC
Four World Financial Center, 10th Floor
250 Vesey Street
New York, New York 10080
(Address of principal executive offices)
(Zip Code)
212-449-3517
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes o No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act. (Check one):
Large accelerated filer o |
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Accelerated filer o |
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Non-accelerated filer x |
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Small reporting company o |
(Do not check if a smaller reporting company) |
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Indicate by check mark whether the registrant is a shell company (as defined by Rule 12b-2 of the Exchange Act). Yes o No x
As of September 30, 2010, 1,231,708 units of limited partnership interest were outstanding.
ML TREND-FOLLOWING FUTURES FUND L.P.
QUARTERLY REPORT FOR SEPTEMBER 30, 2010 ON FORM 10-Q
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PAGE |
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PART I |
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Item 1. |
Financial Statements |
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1 |
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Item 2. |
Managements Discussion and Analysis of Financial Condition and Results of Operations |
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13 |
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Item 3. |
Quantitative and Qualitative Disclosures About Market Risk |
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19 |
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Item 4. |
Controls and Procedures |
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27 |
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PART II |
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Item 1. |
Legal Proceedings |
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28 |
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Item 1A. |
Risk Factor |
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28 |
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Item 2. |
Unregistered Sales of Securities and Use of Proceeds |
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28 |
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Item 3. |
Defaults Upon Senior Securities |
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28 |
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Item 4. |
(Removed and Reserved) |
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28 |
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Item 5. |
Other Information |
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28 |
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Item 6. |
Exhibits |
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28 |
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
ML TREND-FOLLOWING FUTURES FUND L.P.
(a Delaware Limited Partnership)
STATEMENTS OF FINANCIAL CONDITION
(unaudited)
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September 30, |
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December 31, |
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2010 |
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2009 |
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ASSETS: |
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Cash and cash equivalents |
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$ |
249,502 |
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$ |
236,960 |
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Investments in Portfolio Funds (cost $186,189,577 for 2010 and $205,798,913 for 2009) |
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228,173,142 |
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252,194,542 |
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Due from Portfolio Funds |
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3,764,099 |
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11,698,600 |
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Accrued interest receivable |
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79 |
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80 |
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TOTAL ASSETS |
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$ |
232,186,822 |
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$ |
264,130,182 |
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LIABILITIES AND PARTNERS CAPITAL |
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LIABILITIES: |
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Wrap fee payable |
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$ |
862,112 |
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$ |
868,235 |
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Redemptions payable |
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3,181,452 |
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11,251,332 |
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Other liabilities |
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86,698 |
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Total liabilities |
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4,043,564 |
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12,206,265 |
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PARTNERS CAPITAL: |
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General Partner (41,734 Units and 41,734 Units) |
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8,313,413 |
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8,313,413 |
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Limited Partners (1,189,974 Units and 1,390,359 Units) |
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219,829,845 |
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243,610,504 |
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Total partners capital |
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228,143,258 |
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251,923,917 |
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TOTAL LIABILITIES AND PARTNERS CAPITAL: |
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$ |
232,186,822 |
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$ |
264,130,182 |
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NET ASSET VALUE PER UNIT |
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(Based on 1,231,708 and 1,432,093 Units outstanding; unlimited Units authorized) |
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$ |
185.2251 |
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$ |
175.9131 |
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See notes to financial statements.
ML TREND-FOLLOWING FUTURES FUND L.P.
(a Delaware Limited Partnership)
STATEMENTS OF OPERATIONS
(unaudited)
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For the three |
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For the three |
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For the nine |
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For the nine |
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months ended |
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months ended |
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months ended |
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months ended |
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September 30, |
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September 30, |
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September 30, |
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September 30, |
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2010 |
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2009 |
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2010 |
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2009 |
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TRADING PROFIT (LOSS): |
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Realized, net |
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$ |
10,901,054 |
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$ |
(435,177 |
) |
$ |
23,950,278 |
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$ |
11,247,309 |
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Change in unrealized, net |
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(1,511,063 |
) |
7,094,312 |
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(4,412,064 |
) |
(31,907,753 |
) |
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Total trading profit (loss) |
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9,389,991 |
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6,659,135 |
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19,538,214 |
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(20,660,444 |
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INVESTMENT INCOME: |
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Interest |
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419 |
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405 |
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795 |
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4,146 |
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EXPENSES: |
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Wrap fee |
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2,303,858 |
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2,888,630 |
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7,217,636 |
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9,418,811 |
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Administrative and filing fees |
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13,710 |
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Other Expenses |
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(41,250 |
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(20,720 |
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Total expenses |
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2,303,858 |
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2,847,380 |
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7,231,346 |
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9,398,091 |
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NET INVESTMENT (INCOME) LOSS |
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(2,303,439 |
) |
(2,846,975 |
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(7,230,551 |
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(9,393,945 |
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NET PROFIT (LOSS) |
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7,086,552 |
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$ |
3,812,160 |
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$ |
12,307,663 |
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$ |
(30,054,389 |
) |
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NET PROFIT (LOSS) PER UNIT: |
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Weighted average number of General Partner and Limited Partner Units outstanding |
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1,265,084 |
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1,611,705 |
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$ |
1,336,160 |
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1,672,830 |
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Net income(loss) per weighted average General Partner and Limited Partner Unit |
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$ |
5.60 |
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$ |
2.37 |
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$ |
9.21 |
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$ |
(17.97 |
) |
See notes to financial statements.
ML TREND-FOLLOWING FUTURES FUND L.P.
(a Delaware Limited Partnership)
STATEMENTS OF CHANGES IN PARTNERS CAPITAL
For the nine months ended September 30, 2010 and 2009
(unaudited)
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Units |
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General |
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Limited |
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Total |
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PARTNERS CAPITAL, December 31, 2008 |
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1,766,400 |
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$ |
8,313,413 |
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$ |
343,561,095 |
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$ |
351,874,508 |
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Subscriptions |
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71,781 |
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13,546,928 |
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13,546,928 |
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Net Profit (Loss) |
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(755,018 |
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(29,299,371 |
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(30,054,389 |
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Redemptions |
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(275,551 |
) |
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(51,836,672 |
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(51,836,672 |
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PARTNERS CAPITAL, September 30, 2009 |
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1,562,630 |
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$ |
7,558,395 |
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$ |
275,971,980 |
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$ |
283,530,375 |
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PARTNERS CAPITAL, December 31, 2009 |
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1,432,093 |
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$ |
8,313,413 |
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$ |
243,610,504 |
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$ |
251,923,917 |
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Subscriptions |
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20,461 |
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3,629,659 |
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3,629,659 |
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Net Profit (Loss) |
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12,307,663 |
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12,307,663 |
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Redemptions |
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(220,846 |
) |
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(39,717,981 |
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(39,717,981 |
) |
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PARTNERS CAPITAL, September 30, 2010 |
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1,231,708 |
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$ |
8,313,413 |
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$ |
219,829,845 |
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$ |
228,143,258 |
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See notes to financial statements.
ML TREND-FOLLOWING FUTURES FUND L.P.
(A Delaware Limited Partnership)
FINANCIAL DATA HIGHLIGHTS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2010 (unaudited)
The following per Unit data and ratios have been derived from information provided in the financial statements.
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Three months ended |
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Nine months ended |
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Per Unit Operating Performance: |
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September 30, 2010 |
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September 30, 2010 |
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Net asset value, beginning of period |
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$ |
179.55 |
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$ |
175.91 |
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Net Realized and net unrealized change in trading profit (loss) |
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7.50 |
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14.73 |
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Expenses (1) |
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(1.82 |
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(5.41 |
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Net asset value, end of period |
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$ |
185.23 |
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$ |
185.23 |
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Total Return: (3) |
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Total return |
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3.16 |
% |
5.29 |
% |
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Ratios to Average Net Assets: (1),(2) |
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Expenses |
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1.01 |
% |
3.02 |
% |
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Net investment profit (loss) |
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3.19 |
% |
5.60 |
% |
(1) Includes the impact of brokerage commission expense.
(2) The ratios do not reflect the proportionate share of income and expense of the Portfolio Funds.
(3) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual partners return may vary from these returns based on timing of capital transactions.
See notes to financial statements.
ML TREND-FOLLOWING FUTURES FUND L.P.
(A Delaware Limited Partnership)
FINANCIAL DATA HIGHLIGHTS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2009 (unaudited)
The following per Unit data and ratios have been derived from information provided in the financial statements.
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Three months ended |
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Nine months ended |
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Per Unit Operating Performance: |
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September 30, 2009 |
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September 30, 2009 |
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Net asset value, beginning of year |
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$ |
178.99 |
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$ |
199.20 |
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Realized and unrealized change in trading profit (loss) |
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4.22 |
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(12.15 |
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Interest income |
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Expenses (1) |
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(1.77 |
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(5.61 |
) |
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Net asset value, end of period |
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$ |
181.44 |
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$ |
181.44 |
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Total Return: (3) |
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Total return |
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1.37 |
% |
-8.92 |
% |
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Ratios to Average Net Assets: (1),(2) |
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Expenses |
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5.22 |
% |
2.98 |
% |
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Net investment profit (loss) |
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-2.46 |
% |
-9.14 |
% |
(1) Includes the impact of brokerage commission expense.
(2) The ratios do not reflect the proportionate share of income and expense of the Portfolio Funds.
(3) The total return calculations are based on compounded monthly returns and are calculated for each class taken as a whole. An individual partners return may vary from these returns based on timing of capital transactions.
See notes to financial statements.
ML TREND-FOLLOWING FUTURES FUND L.P.
(a Delaware Limited Partnership)
NOTES TO FINANCIAL STATEMENTS
(unaudited)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ML Trend-Following Futures Fund L.P. (the Partnership) formerly known as ML JWH Strategic Allocation Fund L.P was organized under the Delaware Revised Uniform Limited Partnership Act on December 11, 1995 and commenced trading on July 15, 1996. The Partnership operates as a fund of funds, allocating and reallocating its capital, under the discretion of Merrill Lynch Alternative Investments LLC (MLAI) the general partner of the Partnership, among five underlying FuturesAccess Funds (each a Portfolio Fund and collectively the Portfolio Funds) (See Note 2). The Portfolio Funds are a group of commodity pools sponsored by MLAI, each of which places substantially all of its assets in a managed futures and forward trading account managed by a single or multiple commodity trading advisors. Each of the Portfolio Funds implements a different trading strategy.
On April 20, 2007, MLAI issued an announcement regarding a restructuring of the Partnership, effective June 1, 2007. As part of the restructuring the following occurred:
· The Partnership changed its name to ML Trend-Following Futures Fund L.P.
· The Partnerships assets were reinvested in MLAI-sponsored Portfolio Funds: ML Aspect FuturesAccess LLC (Aspect), ML Chesapeake FuturesAccess LLC (Chesapeake), ML Transtrend DTP Enhanced FuturesAccess LLC (Transtrend) and ML Winton FuturesAccess LLC (Winton). Chesapeake was liquidated on January 31, 2010 and was replaced with ML Bluetrend FuturesAccess LLC (BlueTrend). These Portfolio Funds employ a variety of systematic models with an emphasis on a style of investment commonly referred to as diversified trend following and the Partnership no longer utilized the services of John W. Henry & Company, Inc. (JWH®) as a commodity trading advisor.
· On May 7, 2007, the Partnership was deregistered under the Securities Act of 1933, as amended, but retained its registration under the Securities Act of 1934, as amended.
· Prior to June 1, 2007, the Partnerships brokerage commissions and administrative fees constituted a single annual wrap fee in an amount of 6.0% of the Partnerships average month-end Net Asset Value, which covered all of the Partnerships costs and expenses, other than bid-ask spreads and certain trading fees as well as an annual filing fee payable to the State of New Jersey and offering costs. After June 1, 2007, the Partnership pays a wrap fee in the amount of 4.0% of the Partnerships average month-end Net Asset Value. Other than this 4.0% wrap fee, the only direct expense of the Partnership is the annual New Jersey filing fee, which is assessed on a per-partner basis with a maximum charge of $250,000 per year.
MLAI, the sponsor (Sponsor) and general partner of the Partnership, is an indirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (Merrill Lynch). Merrill Lynch, Pierce, Fenner & Smith Incorporated (MLPF&S), a wholly-owned subsidiary of Merrill Lynch, is the Partnerships commodity broker. As used herein, the capitalized term MLAI also refers to the general partner at times when its name was MLIM Alternative Strategies LLC, as applicable. Merrill Lynch is a wholly-owned subsidiary of Bank of America Corporation.
Interests in the Partnership are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority. Interests are not deposits or other obligations of, and are not guaranteed by, Bank of America Corporation or any of its affiliates or by any bank. Interests are subject to investment risks, including the possible loss of the full amount invested.
In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Partnership as of September 30, 2010 and the results of its operations for the three and nine months ended September 30, 2010 and 2009. However, the operating results for the interim periods may not be indicative of the results for the full year.
Certain information and footnote disclosures normally included in annual financial statements prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Partnerships Annual Report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2009.
Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
2. INVESTMENTS IN PORTFOLIO FUNDS
The five Portfolio Funds in which the Partnership is invested in as of September 30, 2010 are; Aspect, Bluetrend, MAN, Transtrend and Winton. On August 2, 2010 MAN AHL FuturesAccess LLC (MAN) was added to the Portfolio Funds. MLAI may, in its discretion, change Portfolio Funds at any time. MLAI may vary the percentage of the Partnerships total portfolio allocated to the different Portfolio Funds at MLAIs discretion. There is no pre-established range for the minimum and maximum allocations that may be made to any given Portfolio Funds.
The investment transactions were accounted for on a trade date basis. The investments in the Portfolio Funds were valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, MLAI utilized the net asset value of the underlying Portfolio Funds which approximates fair value. The fair value was net of all fees relating to the Portfolio Funds, paid or accrued. Additionally, MLAI monitored the performance of the Portfolio Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in Portfolio Funds investments, comparing performance to industry benchmarks, and in-depth conference calls and site visits with the Portfolio Funds Managers.
The Investment in Portfolio Funds at and for the period ended September 30, 2010 and at and for the year ended December 31, 2009 are as follows:
September 30, 2010
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Fair Value |
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Percentage of |
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Profit (Loss) |
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Cost |
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Management |
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Performance |
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Redemptions |
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|||||
ML Winton FuturesAccess LLC |
|
$ |
45,634,628 |
|
20.00 |
% |
$ |
4,968,491 |
|
$ |
32,410,732 |
|
$ |
(648,430 |
) |
$ |
|
|
Monthly |
|
ML Aspect FuturesAccess LLC |
|
45,634,629 |
|
20.00 |
% |
5,147,462 |
|
34,863,919 |
|
(648,258 |
) |
|
|
Monthly |
|
|||||
ML Transtrend DTP Enhanced FuturesAccess LLC |
|
45,634,628 |
|
20.00 |
% |
5,018,182 |
|
32,784,848 |
|
(431,884 |
) |
|
|
Monthly |
|
|||||
ML Chesapeake FuturesAccess LLC* |
|
|
|
0.00 |
% |
(1,787,343 |
) |
|
|
(51,094 |
) |
|
|
Monthly |
|
|||||
ML Bluetrend FuturesAccess LLC |
|
45,634,629 |
|
20.00 |
% |
5,137,482 |
|
41,733,280 |
|
(388,080 |
) |
|
|
Monthly |
|
|||||
ML Man AHL FuturesAccess LLC |
|
45,634,628 |
|
20.00 |
% |
1,053,941 |
|
44,396,798 |
|
(76,612 |
) |
|
|
Monthly |
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|
|
|
|
|||||
Total Investment in Portfolio Funds at fair value |
|
$ |
228,173,142 |
|
100.00 |
% |
$ |
19,538,215 |
|
$ |
186,189,577 |
|
$ |
(2,244,358 |
) |
$ |
|
|
|
|
December 31, 2009
|
|
Fair Value |
|
Percentage of |
|
Profit (Loss) |
|
Cost |
|
Management |
|
Performance |
|
Redemptions |
|
|||||
ML Winton FuturesAccess LLC |
|
$ |
63,048,635 |
|
25.02 |
% |
$ |
(5,336,877 |
) |
$ |
49,017,143 |
|
$ |
(1,141,376 |
) |
$ |
(58 |
) |
Monthly |
|
ML Aspect FuturesAccess LLC |
|
63,048,636 |
|
25.02 |
% |
(9,013,890 |
) |
52,913,668 |
|
(1,136,895 |
) |
(4,019 |
) |
Monthly |
|
|||||
ML Transtrend DTP Enhanced FuturesAccess LLC |
|
63,048,635 |
|
25.02 |
% |
(11,662,966 |
) |
49,054,433 |
|
(755,300 |
) |
(127 |
) |
Monthly |
|
|||||
ML Chesapeake FuturesAccess LLC* |
|
63,048,636 |
|
25.02 |
% |
(443,571 |
) |
54,813,669 |
|
(764,642 |
) |
(49,803 |
) |
Monthly |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Total Investment in Portfolio Funds at fair value |
|
$ |
252,194,542 |
|
100.08 |
% |
$ |
(26,457,304 |
) |
$ |
205,798,913 |
|
$ |
(3,798,213 |
) |
$ |
(54,007 |
) |
|
|
* Liquidated as of January 31, 2010.
These investments are recorded at fair value. In accordance with Regulation S-X, the following is summarized financial information for each of the Portfolio Funds which require disclosure.
|
|
As of September 30, 2010 |
|
|||||||
|
|
Total Assets |
|
Total Liabilities |
|
Total Capital |
|
|||
Winton |
|
$ |
841,245,580 |
|
$ |
12,300,898 |
|
$ |
828,944,682 |
|
Aspect |
|
272,293,916 |
|
8,748,058 |
|
263,545,858 |
|
|||
Transtrend |
|
246,667,490 |
|
3,849,189 |
|
242,818,301 |
|
|||
Bluetrend |
|
262,630,535 |
|
16,682,268 |
|
245,948,267 |
|
|||
Man AHL |
|
46,503,299 |
|
706,733 |
|
45,796,566 |
|
|||
|
|
|
|
|
|
|
|
|||
Total |
|
$ |
1,669,340,820 |
|
$ |
42,287,146 |
|
$ |
1,627,053,674 |
|
|
|
As of December 31, 2009 |
|
|||||||
|
|
Total Assets |
|
Total Liabilities |
|
Total Capital |
|
|||
Winton |
|
$ |
768,455,980 |
|
$ |
18,419,513 |
|
$ |
750,036,467 |
|
Aspect |
|
275,872,318 |
|
10,243,156 |
|
265,629,162 |
|
|||
Transtrend |
|
239,365,629 |
|
3,464,943 |
|
235,900,686 |
|
|||
Chesapeake* |
|
163,226,178 |
|
11,079,623 |
|
152,146,555 |
|
|||
|
|
|
|
|
|
|
|
|||
|
|
$ |
1,446,920,105 |
|
$ |
43,207,235 |
|
$ |
1,403,712,870 |
|
|
|
For the nine months ended September 30, 2010 |
|
||||||||||
|
|
|
|
|
|
|
|
Net |
|
||||
|
|
Income (Loss) |
|
Commissions |
|
Other |
|
Income (Loss) |
|
||||
Winton |
|
$ |
5,910,126 |
|
$ |
(53,882 |
) |
$ |
(887,753 |
) |
$ |
4,968,491 |
|
Aspect |
|
5,988,248 |
|
(101,378 |
) |
(739,409 |
) |
5,147,461 |
|
||||
Transtrend |
|
5,794,574 |
|
(248,140 |
) |
(528,253 |
) |
5,018,181 |
|
||||
Chesapeake* |
|
(1,716,301 |
) |
(5,817 |
) |
(65,225 |
) |
(1,787,343 |
) |
||||
Bluetrend |
|
7,147,579 |
|
(143,873 |
) |
(1,866,224 |
) |
5,137,482 |
|
||||
Man AHL |
|
1,554,365 |
|
(76,768 |
) |
(423,655 |
) |
1,053,942 |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Total |
|
$ |
24,678,591 |
|
$ |
(629,858 |
) |
$ |
(4,510,519 |
) |
$ |
19,538,214 |
|
|
|
For the nine months ended September 30, 2009 |
|
||||||||||
|
|
|
|
|
|
|
|
Net |
|
||||
|
|
Income (Loss) |
|
Commissions |
|
Other |
|
Income (Loss) |
|
||||
Winton |
|
$ |
(4,635,330 |
) |
$ |
(59,361 |
) |
$ |
(990,453 |
) |
$ |
(5,685,144 |
) |
Aspect |
|
(6,617,789 |
) |
(165,954 |
) |
(1,021,490 |
) |
(7,805,233 |
) |
||||
Transtrend |
|
(4,469,046 |
) |
(274,672 |
) |
(732,857 |
) |
(5,476,575 |
) |
||||
Chesapeake* |
|
2,587,821 |
|
(78,323 |
) |
(803,507 |
) |
1,705,991 |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Total |
|
$ |
(13,134,344 |
) |
$ |
(578,310 |
) |
$ |
(3,548,307 |
) |
$ |
(17,260,961 |
) |
* Liquidated as of January 31, 2010.
3. FAIR VALUE OF INVESTMENTS
The Financial Accounting Standards Board (FASB) issued the Accounting Standards Codification (ASC) which provides authoritative guidance on fair value measurement. This guidance defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements.
Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at measurement date (i.e. the exit price). Purchase and sale of investments is recorded on a trade date basis. Realized gains and losses on investments is recognized when the investments are sold. Any change in net unrealized gain or loss from the preceding period is reported on the Statements of Operations.
The fair value measurement guidance established a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Investments measured and reported at fair value are classified and disclosed in one of the following categories:
Level I Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance, the Partnership does not adjust the quoted price for these investments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.
Level II Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.
Level III Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investments level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAIs assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.
Following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.
Investments in Portfolio Funds are valued using the net asset value reported by the Portfolio Funds, as a practical expedient which management believes approximates fair value. These net asset values are the prices used to execute trades with these Portfolio Funds.
Although there are monthly transactions in these Portfolio Funds interests, the Net Asset Values (NAV) are materially based on portfolios of Level I and Level II assets and liabilities for which the Partnership has transparency. As such the Partnership determined that its investments in these Portfolio Funds in this case, would be classified as Level II.
The following table summarizes the valuation of the Partnerships investments by the above fair value hierarchy levels as of September 30, 2010 and December 31, 2009:
Investment in |
|
|
|
|
|
|
|
|
|
||||
Portfolio Funds |
|
Total |
|
Level I |
|
Level II |
|
Level III |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
September 30, 2010 |
|
$ |
228,173,142 |
|
$ |
|
|
$ |
228,173,142 |
|
$ |
|
|
December 31, 2009 |
|
$ |
252,194,542 |
|
$ |
|
|
$ |
252,194,542 |
|
$ |
|
|
There were no significant transfers to or from Level I or II during the quarter ended September 30, 2010.
4. MARKET, CREDIT AND CONCENTRATION RISKS
The nature of this Partnership has certain risks, which cannot be presented on the financial statements. Additionally, the Partnership invests in the Portfolio Funds which have similar market risk as mentioned below. The following summarizes some of those risks.
Market Risk
Derivative instruments involve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Portfolio Funds Net unrealized profit (loss) on such derivative instruments as reflected in the Portfolio Funds Statements of Financial Condition. The Portfolio Funds exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Portfolio Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.
MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that they will, in fact, succeed in doing so. These procedures focus primarily on monitoring the trading of the Portfolio Funds, calculating the Net Asset Value of the Partnership and the Portfolio Funds as of the close of business on each day and reviewing outstanding positions for over-concentrations. While MLAI does not intervene in the markets to hedge or diversify the Portfolio Funds market exposure, MLAI may urge the respective trading advisors to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are expected to be unusual. It is expected that MLAIs basic risk control procedures will consist of the ongoing process of advisor monitoring, with the market risk controls being applied by respective trading advisors.
Credit Risk
The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange trading, and counterparties may also require margin in the over-the-counter markets.
The credit risk associated with these instruments from counterparty nonperformance is the net unrealized profit on open contracts, if any, included in the Portfolio Funds Statements of Financial Condition. The Portfolio Funds attempt to mitigate this risk by dealing exclusively with Merrill Lynch entities as clearing brokers.
The Portfolio Funds, in their normal course of business, enter into various contracts, with Merrill Lynch Pierce Fenner & Smith Inc. (MLPF&S) acting as their commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes a netting arrangement), to the extent that such trading results in receivables from and payables to MLPF&S, these receivables and payables are offset and reported as a net receivable or payable and included in Net unrealized profit (loss) on open contracts on the Portfolio Funds Statements of Financial Condition.
Concentration Risk
The Partnerships investments in the Portfolio Funds are subject to the market and credit risk of the Portfolio Funds. Because the majority of the Partnerships capital is invested in the Portfolio Funds, any changes in the market conditions that would adversely affect the Portfolio Funds could significantly impact the solvency of the Partnership.
Indemnifications
In the normal course of business, the Partnership has entered, or may in the future enter into agreements, that obligate the Partnership to indemnify third parties, including affiliates of the Partnership, for breach of certain representations and warranties made by the Partnership. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Partnerships experience, MLAI expected the risk of loss to be remote and, therefore, no provision has been recorded.
5. RECENT ACCOUNTING PRONOUNCEMENTS
In January 2010, the FASB issued an update to the fair value measurements disclosure. Pursuant to this update, additional disclosures in the financial statements relating to transfers in and out of Levels 1 and 2 fair value measurements and separate disclosure of purchases, sales, issuances, and settlements in Level 3 rollforward, will be required. In addition, this update provides clarifications on i) the level of aggregation of classes of assets and liabilities disclosed in the fair value measurement disclosures and ii) disclosures relating to the inputs and valuation techniques for Level 2 and Level 3 fair value measurements. The new disclosures and clarifications of existing disclosures are effective for annual reporting periods beginning after December 15, 2009, except for the disclosures about purchases, sales, issuances, and settlements in the Level 3 roll forward which are effective for fiscal years beginning after December 15, 2010. This update further enhances the fair value disclosures and the Sponsor has determined that the adoption of this update on January 1, 2010, did not have a material impact to the Partnerships financial statements.
6. SUBSEQUENT EVENTS
Management has evaluated the impact of subsequent events on the Partnership and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.
Item 2: Managements Discussion and Analysis of Financial Condition and Results of Operations
The Partnership calculates the Net Asset Value per unit of each class of units as of the close of business on the last business day of each calendar month and such other dates as MLAI may determine in its discretion. The Partnerships Net Asset Value as of any calculation date will generally equal the value of the Partnerships investments in the underlying funds as of such date, plus any other assets held by the Partnership, minus accrued brokerage commissions, sponsors, management and performance fees, organizational expense amortization and any operating costs and other liabilities of the Partnership. MLAI is authorized to make all Net Asset Value determination.
MONTH-END NET ASSET VALUE PER INITIAL UNIT
|
|
Jan. |
|
Feb. |
|
Mar. |
|
April |
|
May |
|
June |
|
July |
|
August |
|
September |
|
|||||||||
2009 |
|
$ |
199.54 |
|
$ |
199.02 |
|
$ |
193.65 |
|
$ |
188.68 |
|
$ |
185.32 |
|
$ |
178.99 |
|
$ |
175.44 |
|
$ |
179.11 |
|
$ |
181.44 |
|
2010 |
|
$ |
169.62 |
|
$ |
173.32 |
|
$ |
183.52 |
|
$ |
186.87 |
|
$ |
178.84 |
|
$ |
179.55 |
|
$ |
176.69 |
|
$ |
182.71 |
|
$ |
185.23 |
|
Liquidity and Capital Resources
The Partnership does not engage in the sale of goods or services. The Partnerships assets are its (i) investment in Funds and (ii) Cash. Because of the low margin deposits normally required in commodity futures trading relatively small price movements may result in substantial losses to the Partnership. While substantial losses could lead to a material decrease in liquidity, no such material losses occurred during the third quarter of 2010 .
The Partnerships capital consists of the capital contributions of the partners as increased or decreased by gains or losses on trading, expenses, interest income, redemptions of Redeemable Units and distributions of profits, if any.
For the nine months ended September 30, 2010, Partnership capital decreased 9.44% from $251,923,917 to $228,143,258. This decrease was attributable to the net gain from operations of $12,307,663, coupled with the redemption of 220,846 Redeemable Units resulting in an outflow of $39,717,981. The cash outflow was offset with cash inflow of $3,629,659 due to subscription of 20,461 units. Future redemptions could impact the amount of funds available for investment in commodity contract positions in subsequent months.
Critical Accounting Policies
Statement of Cash Flows
The Partnership is not required to provide a Statement of Cash Flows.
Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. For more information on our treatment of fair value see Note 3, Fair Value of Investments.
Investments in other investment companies are valued using the net asset value reported by the investment company. If appropriate, adjustments to the reported net asset value may be made based on various factors, including, but not limited to, the attributes of the interest held, including the rights and obligations, and any restrictions or illiquidity.
Where the Partnership believes that quoted market prices are not available or that the market is not active, fair values are estimated by using quoted prices of securities with similar characteristics, pricing models or matrix pricing, observable net asset values and these are generally classified as Level II securities the Partnership determined that its investments in other investment funds would be classified as Level II.
Cash Equivalents
The Partnership considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. Cash equivalents were recorded at amortized cost which approximated fair value (Level II see Note 3). Cash was held at a nationally recognized financial institution.
Interest Rates and Income
The Partnership currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Partnership performance.
Income Taxes
No provision for income taxes has been made in the accompanying financial statements as each Partner is individually responsible for reporting income or loss based on such Partners respective share of the Partnerships income and expenses as reported for income tax purposes.
The Partnership follows the ASC guidance issued for accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnerships financial statements to determine whether the tax positions are more-likely-than-not to be sustained by the applicable tax authority. Tax positions with respect to tax at the partnership level not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The General Partner has analyzed the Partnerships tax positions and has concluded that no provision for income tax is required in the Partnerships financial statements. The following are the major tax jurisdictions for the Partnership and the earliest tax year subject to examination: United States 2007.
Results of Operations
January 1, 2010 to March 31, 2010
The Partnership experienced a net trading profit of $12,904,261 for the first quarter of 2010.
The Portfolio Funds long positions in equities, commodities and short positions in the U.S. dollar resulted in profits posted to the Partnership at the beginning of January. Markets then reversed and losses were posted in each of these asset classes and all gains accumulated through the middle of the month were given back in these various markets. Fixed income was one asset class where existing positioning were profitable. Long positions in short term interest rate contracts posted gains however, these gains were not enough to offset losses in the three other major asset classes resulting in losses being posted to the Partnership at the end of January.
The Portfolio Funds had positive performance in February resulting in profits being posted to the Partnership. Long positions in fixed income drove performance. Yields generally moved lower over the course of the month and the Portfolio Funds benefited from having long exposure to both bonds and short term interest rate contracts. The managers benefited from short positions in European currency exposure due to the Euro and British pound losing value against the U.S. dollar. In other asset classes, some choppiness and a lack of significant trends meant that equity indices and commodities did not have much of an impact on the months returns.
The Portfolio Funds had positive performance in March resulting in profits being posted to the Partnership. Equity indices drove performance for most Portfolio Funds trading advisors. Positioning was firmly on the long side due to the strength of the current up trends in global equity indices. Commodities were also profitable across the board due to long positions in oil and metals and short positions in natural gas and grains. Positioning was spot on in most of these sub sectors. Oil and metals generally rose and natural gas and grains declined in March. Currencies also posted profits to the Partnership. The euro and British pound ended the month down, benefiting short positions in these currencies. On the other hand the Canadian and Australian dollars rose, resulting in profits due to their long positions in these currencies. Fixed income was the only losing asset class. Short term interest rate contracts generally stayed flat, but yields on longer term government bonds rose during the month, causing some losses to long positions in those instruments. Overall, the yield moves were not very large, so losses were contained.
April 1, 2010 to June 30, 2010
The Partnership experienced a net trading loss of $2,756,038 for the second quarter of 2010.
The Portfolio Funds had positive performance in April resulting in profits being posted to the Partnership. In fixed income, falling overall G7 (Canada, France, Germany, Italy, Japan, United Kingdom and United States) yields meant that long positions were profitable. In currencies, a balanced posture with short European currencies against long positions in commodity and emerging markets currencies posted profits to the Partnership. In commodities, some sectors lost money which was offset by gains in the energies and metals sectors. While U.S. equity indices ended the month up, European and Asian markets generally ended the month lower. All trading advisors were long in global equity indices with profits or losses dependent upon their relative size in various geographies.
The Portfolio Funds had a negative performance in May posting losses to the Partnership. Equities, oil, natural gas and industrial metals all saw reversals with some markets moving more than 10% in the opposite direction of the trend. By the end of May, most Portfolio Funds were very light in equities (but still long) and slightly short positions in energies. Other losing commodity positions were also cut, with the only remaining long exposure being in precious metals. Currencies performance varied as some trading advisors posted profits and some lost money in the asset class. Performance depended on the relative size of short European currency positions vs. long positions in commodities and emerging markets currency positions. The trading advisors with larger short positions in European currencies managed to make money in the asset class. Fixed income yields came down during the month of May as investors sought safety in government securities. The trading advisors long positioning benefited from these moves however, the gains were not enough to offset losses in other portfolio areas.
The Portfolio Funds posted losses to the Partnership as performance was quite mixed among trading advisors. Equities and many commodity sectors incurred significant reversals with the trading advisors being caught on the wrong side of trades. As a result, they had moved to cut risk in those asset classes. Coming into June, the trading advisors still had on some long equity exposure. They were also long precious metals, short grains and neutral in the energy sector. But in general, position sizes tended to be small. When equities continued to move downward during June and commodities continued to experience some moves that were adverse to positioning, losses were incurred. In June, currencies were generally the worst performing asset class for the trading advisors. Having significant short European currency exposure was bad for performance as two major currencies, the British pound and Swiss franc rallied. There were some gains from short euro positions, but these were not enough to counter losses incurred from reversals in the British pound and Swiss franc. Fixed income was a solid winning asset class for the trading advisors. Long positions across the yield curve generated positive returns as yields came down as a result of stronger risk adverse sentiment, especially in the second half of June. Fixed income also happened to be a portfolio area where risk was relatively greater than in other asset classes, so gains here were able to counter losses or mixed performance in all other sectors.
July 1, 2010 to September 30, 2010
The Partnership experienced a net trading profit of $9,389,991 for the third quarter of 2010.
In July, the Portfolio Funds posted losses to the Partnership as performance was quite mixed among trading advisors, following a difficult May and June. The only significant and consistent exposure was that all of the trading advisors had long positions fixed income. This was a result of a long term down trend in yields across the board. In July, yields generally continued their downward trend. This meant that both short term interest rates contracts and bond futures appreciated in value, generating profits for the trading advisors who had long positions in these contracts. In addition, equities showed some volatility intra month, but ended July higher. The trading advisors generally benefited from these moves as they still had long positions in equity indices remaining despite the reversals from May and June. The gains from fixed income were healthy, but equity indices contributed little to performance given a relatively smaller risk allocation. Currencies and commodities detracted from performance. European currencies broke the trend and moved up during July as concerns relating to European growth and bank health subsided. This caused losses to short positions in those currencies. Gold fell in July and wheat rose due to supply and weather concerns. Since these were significant commodity exposures for most of the trading advisors, the Portfolio Funds posted losses. The best performing trading advisor was BlueTrend due to long positions in equity and energy allocations where the trend was up. Most of the other trading advisors were closer to being neutral in both sectors. Winton had been the best performer coming into the second half of the year, but incurred losses in July. Wintons loss was larger than several other trend followers due to its long positions in gold, short positions in grains and short euro positions.
In August, the Portfolio Funds posted profits to the Partnership. May, June and July were generally characterized by reversals and choppiness in all asset classes except fixed income. As a result, coming into August, the Partnerships main exposure was to be long fixed income. This positioning did very well as yields generally continued their long term down trend during the month. With risk aversion the dominant sentiment in August, fixed income yields moved significantly lower across the curve, benefiting the trading advisors with long exposure. An absence of trends in equities, currencies and commodities meant that risk in those asset classes was not very significant. The main exposures in those sectors were small long positions in equity indices, small short positions in the euro against long positions in most other major currencies, and relatively neutral positions in commodities (short positions in natural gas, long positions in oil, metals and agricultural). These positions came in flat during August. The short positions in euro and natural gas and long positions in metals resulted in profits posted to the Partnership. However, long positions in equities, oil and FX lost money. Having little risk in these sectors meant that gains and losses were small, and they generally canceled each other out. Aspect was the best performing trading advisor due to its risk allocation to fixed income was greater than the other Portfolio Funds. BlueTrend posted losses in August due to its long positioning in commodities and equities, offsetting profits from fixed income.
In September the Portfolio Funds posted profits to the Partnership. Coming into August, the Partnerships main exposure was to be long fixed income and that positioning performed well as yields generally continued their long term down trend during the month. In September, a similar positioning produced good results, but for different reasons. Fixed income was the dominant exposure for most trading advisors at the start of September as yields initially moved higher. This was due to improving investor optimism, following strong manufacturing numbers out of China and the United States. Then mid-month, the Federal Reserve talked about the possibility of a further round of quantitative easing. Yields reversed, ending the month close to where they started, and the Portfolio Funds recouped most of their losses from earlier in the month. They also profited from long positions in equity indices, as global equity markets had a strong month. In commodities, long positions in precious metals and agricultural gained as up trends continued. In currencies, overall short positions in the U.S. dollar generated profits and lost money in fixed income.
January 1, 2009 to March 31, 2009
During the first quarter of 2009, the Partnerships Net Asset Value per Unit decreased 2.67% from $199.20 to $193.89 as compared to an increase of 9.67% in the same period of 2008. The Partnership experienced a net trading loss in the first quarter of 2009 of $5,968,803.
The performances of the Portfolio Funds were mixed at the beginning of the quarter which reflected the choppy markets and diversification of the Portfolio Funds approach to trading. The Partnership profited from falling equities, with long-term Portfolio Funds managers capturing more of the move. The Partnership also profited from a continuous down-trend in commodities. Largest losses were suffered in fixed income positions as U.S. Treasury yields rallied and other global bonds shadowed the move.
Time horizon focus did not seem to be a driver of returns, while asset allocation played a more significant role in the middle of the quarter. Most of the Portfolio Funds had small net short exposures to equity markets posting profits for the Partnership. In addition, the Portfolio Funds that had long positions in the U.S. dollar against various currencies also posted profits for the Partnership. The Portfolio Funds that had long positions in the Japanese yen vs. the U.S. dollar was detrimental as the Japanese yen ended the month down significantly relative to the U.S. dollar. Fixed income markets experienced volatile swings in February and most of the Portfolio Funds ended with losses being posted for the Partnership.
The Partnership posted losses at the end of the quarter. At the start of March, the Portfolio Funds were positioned long in the fixed income markets. Most Portfolio Funds kept this positioning throughout the month and benefited from falling yields resulting in profits posted for the Partnership. This was the only sector contributing to profits for the Partnership for March. All other sectors had negative attribution for the month as a result of significant reversals in many markets. During March, equity markets rallied, following some positive corporate news in the first week. When the U.S. Federal Reserve announced the start of quantitative easing midmonth, the U.S. dollar began losing value against most major currencies along with commodity markets which are negatively correlated with the U.S. dollar and risk aversion, moved up. The Portfolio Funds are medium to long term trend followers and were not in a position to cut exposures very fast and were negatively affected by these reversals.
April 1, 2009 to June 30, 2009
During the second quarter of 2009, the Partnerships Net Asset Value per Redeemable Unit decreased 7.68% from $193.89 to $178.99 as compared to an increase of 6.95% in the same period of 2008. The Partnership experienced a net trading loss in the second quarter of 2009 of $21,350,776.
The performances of the Portfolio Funds were down at the beginning of the quarter which resulted in losses being posted to the Partnership. The market environment that caused losses for the Partnership in March persisted through April as well. The Portfolio Fund Managers continued to be positioned against market moves and experienced losses in most of the sectors they traded in. In March 2009 having long positions in fixed income helped to offset losses in equity indices, currencies and commodities. In April, the losses in equity indices, currencies and commodities were more muted as many managers had trimmed risk in those sectors; however, having long positions in fixed income proved to be a problem as global bond yields rose significantly, hurting those long positions. Overall, fixed income was the worst performing sector for the Partnership, followed by currencies. Most managers had mixed exposure in commodities, making money in some markets and losing money in others. In equities, positioning was more on the short side, but with extremely small exposures; losses thus were muted.
The Partnership posted losses in April as many big trends reversed as the Portfolio Fund Managers were not correctly positioned in the markets movements. The reversing trends continued in May and only one of the Portfolio Fund Managers turned around its portfolio to be in line with them. Winton and Chesapeake have long time horizons and need more conviction about new trends before reversing positioning. Aspect and Transtrend are more medium term, but only Transtrend was able to adjust its portfolio enough to take advantage of new trends. As a result, losses were posted to the Partnership in the middle of the quarter. Overall, equity positioning was flat therefore, attribution from equities was likely zero. Commodity positioning was mostly short positions and that hurt the Partnership as commodities moved up during May. Long positions in the U.S. dollar and long positions in bond bias also detracted from performance.
The Portfolio Funds had a negative month resulting in losses being posted to the Partnership at the end of the quarter. April and May had been characterized by market moves most commonly seen during periods where investors are risk seeking. There were up moves in equities and commodities and down moves in bonds and the U.S. dollar. June continued to be a challenging month as several events took place. First, short term interest rates suffered a sharp reversal during the first week of June and the U.S. dollar had a similar reversal, gaining against most currencies. Then, mid-month, the up trends in equities and commodities reversed, as sentiment became risk averse again. As a result of these moves, most asset classes ended the month with negative attribution. The worst were short term interest rates and commodities. Medium term managers had the worst performance as they not only suffered from the interest rates and U.S. dollar moves, but also the reversals in equities and commodities. Winton and Chesapeake, the longest term managers, had relatively smaller losses because the equity and commodity reversals were actually good for them since they were still holding on to their pre-March positions in those asset classes.
July 1, 2009 to September 30, 2009
During the third quarter of 2009, the Partnerships Net Asset Value per Redeemable Unit increased 1.37% from $178.99 to $181.45 as compared to a decrease of 9.51% in the same period of 2008. The Partnership experienced a net trading profit of $6,659,135 before brokerage commissions and related fees in the third quarter of 2009.
Losses were posted to the Partnership in July which was characterized by two types of moves in most markets. At the beginning of the month, equities, commodities and bond yields were moving lower while the United States dollar gained ground against other major currencies. In mid-July, sentiment reversed and equities and commodities resumed their up trends from prior month and the United States dollar lost value against other major currencies. The moves in the second part of the month were larger in magnitude, therefore, the Portfolio Funds who shifted towards risk seeking trades faster performed better. Transtrend was an underperformer resulting in losses in the synthetic markets it trades in.
Losses were posted to the Partnership in August attributable to a continuation of trends from the second half of July. Equities and fixed income ended the month up. Similarly, most commodities finished up (except oil, natural gas and grains) and currency performance was mixed. Coming into August, Systematic Momentum had small long positions in all geographies in equity indices. In commodities, the Portfolio Funds had more long positions than short positions: long positions in crude oil, softs and metals with short positions in natural gas, grains and livestock. In currencies, the Portfolio Funds held short positions in the United States dollar and in fixed income, it was long across the yield curve. In general, the equity and fixed income positioning posted profits for the Portfolio Funds throughout the month of August. Similarly, the Portfolio Funds were spot on in their Commodity positioning except in crude oil. Currencies were mixed and losses in some markets canceled out profits in others. Sugar, metals and equity positions were the best performers.
In September, the Portfolio Funds made most of their profits in equity indices and currencies as trends from late summer continued. Short positions in the United States dollar performed the best as the United States dollar continued to slide against other major currencies. Long equity index and long fixed income positions also
continued to be profitable for the Portfolio Funds as there were neither reversals nor choppiness in those asset classes as trends from late summer continued. Commodities detracted from performance due to choppiness in crude oil and huge adverse moves in natural gas. Transtrend was the only Portfolio Fund showing a loss for the month due to its short positions in natural gas.
The Partnership has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Introduction
The Portfolio Funds are a speculative commodity pools. The market sensitive instruments held by the Portfolio Funds are acquired for speculative trading purposes and all or substantially all of the Portfolio Funds assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Partnerships main line of business.
Market movements result in frequent changes in the fair market value of the Portfolio Funds open positions and, consequently, in their earnings and cash flow. The Portfolio Funds market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Portfolio Funds open positions and the liquidity of the markets in which they trade.
The Portfolio Funds under the direction of their respective Trading Advisors rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a possible future market scenario will affect performance, and the Partnerships and the Portfolio Funds past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Portfolio Funds could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Portfolio Funds speculative trading and the recurrence in the markets traded by the Portfolio Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Portfolio Funds experience to date (i.e., risk of ruin). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Portfolio Funds losses in any market sector will be limited to Value at Risk or by the Portfolio Funds attempts to manage their market risks.
Quantifying the Partnerships Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Partnerships market risk exposures contain forward-looking statements within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
Due to the Partnerships fund of funds structure, the following statements are related to the Portfolio Funds.
Exchange maintenance margin requirements have been used by the Portfolio Funds as the measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95% to 99% of the one-day time periods included in the historical sample (approximately one year, generally) researched for purposes of establishing margin levels. The maintenance
margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.n the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Portfolio Funds), the margin requirements for the equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, dealers margins have been used.
100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading categorys aggregate Value at Risk. The diversification effects (which would reduce the Value at Risk estimates) resulting from the fact that the Portfolio Funds positions are rarely, if ever, 100% positively correlated have not been reflected.
The following information with respect to Value At Risk (VAR) is set forth in respect of the Portfolio Funds separately, rather than for the Partnership on a stand-alone basis.
The Partnerships Trading Value at Risk in Different Market Sectors
The following table indicates the average, highest, and lowest trading Value at Risk which is the sum of the individual Portfolio Funds tables. The Value at Risk table is also associated with the Partnerships open positions by market category for the nine months ended September 30, 2010 and 2009.
Aspect Class DT (3) |
September 30, 2010 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
335,355 |
|
0.60 |
% |
$ |
512,705 |
|
$ |
211,034 |
|
Energy |
|
430,120 |
|
0.77 |
% |
702,154 |
|
203,067 |
|
|||
Interest Rates |
|
1,123,846 |
|
2.01 |
% |
1,914,283 |
|
576,702 |
|
|||
Metals |
|
542,409 |
|
0.97 |
% |
801,823 |
|
350,913 |
|
|||
Stock Indices |
|
369,177 |
|
0.66 |
% |
721,873 |
|
86,490 |
|
|||
Currencies |
|
815,664 |
|
1.46 |
% |
1,571,751 |
|
67,944 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
3,616,571 |
|
6.47 |
% |
$ |
6,224,589 |
|
$ |
1,496,150 |
|
(3) Average Capitalization of Aspect Class DT is $55,849,286.
Aspect Class DT (3) |
September 30, 2009 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
39,870 |
|
0.05 |
% |
$ |
76,160 |
|
$ |
1,985 |
|
Energy |
|
50,403 |
|
0.06 |
% |
122,417 |
|
6,782 |
|
|||
Interest Rates |
|
6,576,164 |
|
8.44 |
% |
12,174,872 |
|
3,840,187 |
|
|||
Metals |
|
66,891 |
|
0.09 |
% |
175,052 |
|
2,955 |
|
|||
Stock Indices |
|
100,873 |
|
0.13 |
% |
311,150 |
|
4,830 |
|
|||
Currencies |
|
262,170 |
|
0.34 |
% |
530,110 |
|
79,813 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
7,096,371 |
|
9.11 |
% |
$ |
13,389,761 |
|
$ |
3,936,552 |
|
(3) Average Capitalization of Aspect Class DT is $77,891,408.
Transtrend Class DT (2) |
September 30, 2010 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
339,263 |
|
0.61 |
% |
$ |
685,658 |
|
$ |
146,498 |
|
Energy |
|
1,450,914 |
|
2.60 |
% |
2,480,797 |
|
763,874 |
|
|||
Interest Rates |
|
718,573 |
|
1.29 |
% |
1,419,020 |
|
176,726 |
|
|||
Metals |
|
359,494 |
|
0.64 |
% |
700,306 |
|
68,613 |
|
|||
Stock Indices |
|
429,896 |
|
0.77 |
% |
866,037 |
|
143,950 |
|
|||
Currencies |
|
1,404,927 |
|
2.52 |
% |
2,312,978 |
|
751,912 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
4,703,067 |
|
8.43 |
% |
$ |
8,464,796 |
|
$ |
2,051,573 |
|
(2) Average capitalization of Transtrend Class DT is $55,797,606.
Transtrend Class DT (2) |
September 30, 2009 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
155,567 |
|
0.20 |
% |
$ |
562,008 |
|
$ |
51,300 |
|
Energy |
|
168,859 |
|
0.22 |
% |
380,514 |
|
18,625 |
|
|||
Interest Rates |
|
5,061,779 |
|
6.48 |
% |
6,904,671 |
|
2,815,246 |
|
|||
Metals |
|
42,640 |
|
0.05 |
% |
116,540 |
|
1,286 |
|
|||
Stock Indices |
|
261,033 |
|
0.33 |
% |
536,538 |
|
15,815 |
|
|||
Currencies |
|
163,891 |
|
0.21 |
% |
458,800 |
|
28,543 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
5,853,769 |
|
7.49 |
% |
$ |
8,959,071 |
|
$ |
2,930,815 |
|
(2) Average capitalization of Transtrend Class DT is $78,108,343.
Winton Class DT (5) |
September 30, 2010 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
227,591 |
|
0.41 |
% |
$ |
405,865 |
|
$ |
92,910 |
|
Energy |
|
152,329 |
|
0.27 |
% |
265,658 |
|
63,387 |
|
|||
Interest Rates |
|
642,827 |
|
1.15 |
% |
983,314 |
|
353,652 |
|
|||
Metals |
|
784,157 |
|
1.40 |
% |
1,279,703 |
|
553,572 |
|
|||
Stock Indices |
|
359,530 |
|
0.64 |
% |
743,881 |
|
20,587 |
|
|||
Currencies |
|
606,927 |
|
1.09 |
% |
1,037,187 |
|
364,618 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
2,773,361 |
|
4.96 |
% |
$ |
4,715,608 |
|
$ |
1,448,726 |
|
(5) Average capitalization of Winton Class DT is $55,849,286.
Winton Class DT (5) |
September 30, 2009 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
30,448 |
|
0.04 |
% |
$ |
65,918 |
|
$ |
972 |
|
Energy |
|
16,331 |
|
0.02 |
% |
31,411 |
|
3,328 |
|
|||
Interest Rates |
|
3,246,606 |
|
4.15 |
% |
3,918,487 |
|
2,833,971 |
|
|||
Metals |
|
30,025 |
|
0.04 |
% |
100,968 |
|
5,443 |
|
|||
Stock Indices |
|
69,240 |
|
0.09 |
% |
164,195 |
|
24,291 |
|
|||
Currencies |
|
218,561 |
|
0.28 |
% |
430,518 |
|
58,380 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
3,611,211 |
|
4.62 |
% |
$ |
4,711,497 |
|
$ |
2,926,385 |
|
(5) Average capitalization of Winton Class DT is $78,176,177.
Bluetrend Class DT (2) |
September 30, 2010 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
144,047 |
|
0.33 |
% |
$ |
273,269 |
|
$ |
69,329 |
|
Energy |
|
829,218 |
|
1.90 |
% |
2,340,474 |
|
130,447 |
|
|||
Interest Rates |
|
1,097,855 |
|
2.51 |
% |
1,942,768 |
|
622,613 |
|
|||
Metals |
|
256,074 |
|
0.59 |
% |
530,458 |
|
80,277 |
|
|||
Stock Futures |
|
1,114,555 |
|
2.55 |
% |
1,768,398 |
|
408,532 |
|
|||
Currencies |
|
1,005,105 |
|
2.30 |
% |
1,990,662 |
|
27,397 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
4,446,854 |
|
10.18 |
% |
$ |
8,846,029 |
|
$ |
1,338,595 |
|
(2) Average capitalization of Bluetrend Class DT is $43,737,470.
Man AHL LLC Class DT (5) |
September 30, 2010 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
322,957 |
|
0.71 |
% |
$ |
324,646 |
|
$ |
321,268 |
|
Energy |
|
725,513 |
|
1.59 |
% |
729,307 |
|
721,719 |
|
|||
Interest Rates |
|
938,649 |
|
2.05 |
% |
943,557 |
|
933,740 |
|
|||
Metals |
|
743,527 |
|
1.63 |
% |
747,414 |
|
739,639 |
|
|||
Stock Indices |
|
49,284 |
|
0.11 |
% |
49,541 |
|
49,026 |
|
|||
Currencies |
|
1,690,466 |
|
3.70 |
% |
1,699,305 |
|
1,681,627 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
4,470,396 |
|
9.79 |
% |
$ |
4,493,770 |
|
$ |
4,447,019 |
|
(5) Average capitalization of Man AHL LLC Class DT is $45,524,569.
Chesapeake Class DT (4) |
September 30, 2009 |
|
|
|
Average |
|
% of Average |
|
Highest Value |
|
Lowest Value |
|
|||
Market Sector |
|
Value at Risk |
|
Capitalization |
|
At Risk |
|
At Risk |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
Agricultural Commodities |
|
$ |
293,815 |
|
0.38 |
% |
$ |
1,094,739 |
|
$ |
63,584 |
|
Energy |
|
592 |
|
0.00 |
% |
2,675 |
|
|
|
|||
Interest Rates |
|
3,378,371 |
|
4.32 |
% |
5,206,278 |
|
2,805,646 |
|
|||
Metals |
|
310,447 |
|
0.40 |
% |
1,518,073 |
|
28,105 |
|
|||
Stock Indices |
|
5,373 |
|
0.01 |
% |
46,912 |
|
|
|
|||
Stock Futures |
|
121,849 |
|
0.16 |
% |
939,315 |
|
|
|
|||
Currencies |
|
156,666 |
|
0.20 |
% |
821,250 |
|
18,950 |
|
|||
|
|
|
|
|
|
|
|
|
|
|||
TOTAL |
|
$ |
4,267,113 |
|
5.47 |
% |
$ |
9,629,242 |
|
$ |
2,916,285 |
|
(4) Average capitalization of Chesapeake Class DT is $78,191,176.
Liquidated as of January 31, 2010.
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Partnership and the Portfolio Funds are typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Partnership and the Portfolio Funds. The magnitude of the Partnerships and the Portfolio Funds open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions unusual, but historically recurring from time to time could cause the Partnership and the Portfolio Funds to incur severe losses over a short period of time. Even comparatively minor losses could cause MLAI to further deleverage or terminate the Partnerships and the Portfolio Funds trading. The foregoing Value at Risk table as well as the past performance of the Partnership and the Portfolio Funds gives no indication of this risk of ruin.
Non-Trading Risk
Foreign Currency Balances; Cash on Deposit with MLPF&S
The Portfolio Funds have non-trading market risk on its foreign cash balances not needed for margin. These balances (as well as the market risk they represent) are generally immaterial.
The Portfolio Funds also have non-trading market risk on the approximately 90-95% of its assets which are held in cash at MLPF&S or BlackRock. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Partnerships market risk exposures through the Portfolio Funds after the change in structure except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Partnership manages its primary market risk exposures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Partnerships primary market risk exposures as well as the strategies used and to be used by MLAI and the trading advisors of the Portfolio Funds for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the risk controls for the Partnership and for the trading conducted through Portfolio Funds to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Partnership. There can be no assurance that the Partnerships risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the value of their investment in the Partnership.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Trading Risk
MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not intervene in the markets to hedge or diversify the Partnerships market exposure; MLAI may urge the Portfolio Funds to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual. Except in cases in which it appears that the Portfolio Funds has begun to deviate from past practice and trading policies or to be trading erratically, MLAI basic risk control procedures consist simply of the ongoing process of monitoring the Portfolio Funds with the market risk controls being applied by the Portfolio Funds.
Risk Management
Portfolio Funds attempt to control risk in all aspects of the investment process from confirmation of a trend to determining the optimal exposure in a given market, and to money management issues such as the startup or upgrade of investor accounts. Portfolio Funds double check the accuracy of market data, and will not trade a market without multiple price sources for analytical input. In constructing a portfolio, Portfolio Funds seek to control overall risk as well as the risk of any one position, and Portfolio Funds trade only markets that have been identified as having positive performance characteristics. Trading discipline requires plans for the exit of a market as well as for entry. Portfolio Funds factor the point of exit into the decision to enter (stop loss). The size of Portfolio Funds positions in a particular market is not a matter of how large a return can be generated but of how much risk it is willing to take relative to that expected return.
To attempt to reduce the risk of volatility while maintaining the potential for excellent performance, proprietary research is conducted on an ongoing basis to refine the Portfolio Funds investment strategies. Research may suggest substitution of alternative investment methodologies with respect to particular contracts; this may occur, for example, when the testing of a new methodology has indicated that its use might have resulted in different historical performance. In addition, risk management research and analysis may suggest modifications regarding the relative weighting among various contracts, the addition or deletion of particular contracts for a program, or a change in position size in relation to account equity. The weighting of capital committed to various markets in the investment programs is dynamic, and Portfolio Funds may vary the weighting at its discretion as market conditions, liquidity, position limit considerations and other factors warrant.
Portfolio Funds may determine that risks arise when markets are illiquid or erratic, which may occur cyclically during holiday seasons, or on the basis of irregularly occurring market events. In such cases, Portfolio Funds at its sole discretion may override computer-generated signals and may at times use discretion in the application of its quantitative models, which may affect performance positively or negatively.
Adjustments in position size in relation to account equity have been and continue to be an integral part of Portfolio Funds investment strategy. At its discretion, Portfolio Funds may adjust the size of a position in relation to equity in certain markets or entire programs. Such adjustments may be made at certain times for some programs but not for others. Factors which may affect the decision to adjust the size of a position in relation to account equity include ongoing research, program volatility, assessments of current market volatility and risk exposure, subjective judgment, and evaluation of these and other general market conditions.
Non-Trading Risk
The Partnership and the Portfolio Funds control the non-trading exchange rate risk by regularly converting foreign currency balances back into U.S. dollars at least once per week and more frequently if a particular foreign currency balance becomes unusually high.
The Partnership and the Portfolio Funds have cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Partnership in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on the cash held on deposit at MLPF&S and in the BlackRock sponsored money market fund.
Item 4. Controls and Procedures
MLAI, the general partner of the Partnership with the participation of MLAIs Chief Executive Officer and the Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on this evaluation, has concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (as defined in Rule 13a-15(f) under the Securities Exchange Act of 1934) occurred during the quarter ended September 30, 2010 that has materially affected, or is reasonably likely to materially affect, the Partnerships internal control over financial reporting.
PART II - OTHER INFORMATION
Item 1. Legal Proceedings
None.
Item 1A: Risk Factors
There are no material changes from risk factors as previously disclosed in the Annual Report on Form 10-K for the year ended December 31, 2009, filed with the Securities and Exchange Commission on March 31, 2010.
Item 2. Unregistered Sales of Securities and Use of Proceeds
(a) Issuance to accredited investors pursuant to Regulation D and Section 4(6) under the Securities Act. The selling agent of the following Class of Unit was MLPF&S.
CLASS D
|
|
Subscription |
|
|
|
||||
|
|
Amount |
|
Units |
|
NAV |
|
||
Jan-10 |
|
$ |
432,387 |
|
$ |
2,458 |
|
175.91 |
|
Feb-10 |
|
194,727 |
|
1,148 |
|
169.62 |
|
||
Mar-10 |
|
1,078,220 |
|
6,221 |
|
173.32 |
|
||
Apr-10 |
|
177,277 |
|
966 |
|
183.52 |
|
||
May-10 |
|
246,854 |
|
1,321 |
|
186.87 |
|
||
Jun-10 |
|
504,502 |
|
2,821 |
|
178.84 |
|
||
Jul-10 |
|
|
|
|
|
179.55 |
|
||
Aug-10 |
|
409,927 |
|
2,320 |
|
176.69 |
|
||
Sep-10 |
|
585,765 |
|
3,206 |
|
182.71 |
|
||
Oct-10 |
|
424,716 |
|
2,293 |
|
185.23 |
|
||
(b) Not applicable.
(c) Not applicable.
Item 3. |
|
Defaults Upon Senior Securities |
|
|
|
|
|
|
|
None. |
|
|
|
|
|
Item 4. |
|
(Removed and Reserved) |
|
|
|
|
|
Item 5. |
|
Other Information |
|
|
|
|
|
|
|
None. |
|
|
|
|
|
Item 6. |
|
Exhibits |
|
|
|
|
|
|
|
The following exhibits are filed herewith to this Quarterly Report on Form 10-Q: |
|
|
|
|
|
|
|
31.01 and 31.02 |
Rule 13a-14(a)/15d-14(a) Certifications |
|
|
|
|
|
|
Exhibit 31.01 and 31.02 |
Are filed herewith. |
|
|
|
|
|
|
32.01 and 32.02 |
Section 1350 Certifications |
|
|
|
|
|
|
Exhibit 32.01 and 32.02 |
Are filed herewith. |
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.
|
|
|
|
ML TREND-FOLLOWING FUTURES FUND L.P. |
|
|
|
|
|
|
|
|
By: |
MERRILL LYNCH ALTERNATIVE |
|
|
INVESTMENTS LLC |
|
|
(General Partner) |
|
|
|
|
|
|
Date: November 12, 2010 |
By: |
/s/ JUSTIN C. FERRI |
|
|
Justin C. Ferri |
|
|
Chief Executive Officer and President |
|
|
(Principal Executive Officer) |
|
|
|
|
|
|
Date: November 12, 2010 |
By: |
/s/ BARBRA E. KOCSIS |
|
|
Barbra E. Kocsis |
|
|
Chief Financial Officer |
|
|
(Principal Financial and Accounting Officer) |