Attached files
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EXCEL - IDEA: XBRL DOCUMENT - EMERGING CTA PORTFOLIO LP | Financial_Report.xls |
EX-32.2 - EX-32.2 - EMERGING CTA PORTFOLIO LP | y04949exv32w2.htm |
EX-31.2 - EX-31.2 - EMERGING CTA PORTFOLIO LP | y04949exv31w2.htm |
EX-31.1 - EX-31.1 - EMERGING CTA PORTFOLIO LP | y04949exv31w1.htm |
EX-32.1 - EX-32.1 - EMERGING CTA PORTFOLIO LP | y04949exv32w1.htm |
EX-10.12 - EX-10.12 - EMERGING CTA PORTFOLIO LP | y04949exv10w12.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(X) QUARTERLY REPORT PURSUANT TO SECTION 13 or
15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2011
OR ( ) 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 0-53211
EMERGING CTA PORTFOLIO L.P.
(Exact name of registrant as specified in its charter)
New York |
04-3768983 | |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) |
c/o Ceres
Managed Futures LLC
522 Fifth Avenue -
14th
Floor
New York, New York 10036
(Address of principal executive offices) (Zip Code)
(212) 296-1999
(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
Indicate by check mark whether the registrant has submitted electronically
and posted on its corporate Web site, if any, every Interactive Data File required to
be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes X No
Indicate by check mark whether the registrant is a large
accelerated filer, an accelerated filer, a non-accelerated
filer, or a smaller reporting company. See the definitions of
large accelerated filer, accelerated
filer and smaller reporting company in
Rule 12b-2
of the Exchange Act. (Check one):
Large accelerated filer | Accelerated filer | Non-accelerated filer X | Smaller reporting company |
Indicate by check mark whether the registrant is a shell company
(as defined in
Rule 12b-2
of the Exchange Act).
Yes No X
As of July 31, 2011, 136,486.8380 Limited Partnership
Redeemable Units were outstanding.
EMERGING CTA PORTFOLIO L.P.
FORM 10-Q
INDEX
Page |
||||
Number | ||||
Financial Statements: | ||||
Statements of Financial Condition at June 30, 2011 (unaudited) and December 31, 2010 |
3 | |||
Condensed Schedules of Investments at June 30, 2011 (unaudited) and December 31, 2010 |
4 5 | |||
Statements of Income and Expenses and Changes in Partners Capital for the three and six months ended June 30, 2011 and 2010 (unaudited) |
6 | |||
Notes to Financial Statements (unaudited) | 7 18 | |||
Managements Discussion and Analysis of Financial Condition and Results of Operations |
19 20 | |||
Quantitative and Qualitative Disclosures about Market Risk |
21 26 | |||
Controls and Procedures | 27 | |||
28 29 | ||||
Exhibits | ||||
Exhibit 31.1 Certification | ||||
Exhibit 31.2 Certification | ||||
Exhibit 32.1 Certification | ||||
Exhibit 32.2 Certification | ||||
101.INS XBRL Instance Document. | ||||
101.SCH XBRL Taxonomy Extension Schema Document. | ||||
101.CAL XBRL Taxonomy Extension Calculation Linkbase Document. | ||||
101.LAB XBRL Taxonomy Extension Label Linkbase Document. | ||||
101.PRE XBRL Taxonomy Extension Presentation Linkbase Document. |
2
PART I
Item 1. Financial Statements
Emerging CTA Portfolio L.P.
Statements of Financial Condition
(Unaudited) | ||||||||
June 30, | December 31, | |||||||
2011 | 2010 | |||||||
Assets: |
||||||||
Investment in Funds, at fair value |
$ | 145,903,172 | $ | 93,009,857 | ||||
Equity in trading account: |
||||||||
Cash |
52,428,297 | 85,698,856 | ||||||
Cash margin |
8,115,035 | 5,943,791 | ||||||
Net unrealized appreciation on open futures contracts |
918,738 | 1,516,219 | ||||||
Net unrealized appreciation on open forward contracts |
| 19,265 | ||||||
Options purchased, at fair value (cost $0 and
$854,880 at June 30, 2011 and December 31, 2010,
respectively) |
| 901,226 | ||||||
Total trading equity |
207,365,242 | 187,089,214 | ||||||
Interest receivable |
749 | 7,439 | ||||||
Total assets |
$ | 207,365,991 | $ | 187,096,653 | ||||
Liabilities and Partners Capital: |
||||||||
Liabilities: |
||||||||
Net unrealized depreciation on open forward contracts |
$ | 757,148 | $ | | ||||
Accrued expenses: |
||||||||
Brokerage fees |
602,609 | 545,698 | ||||||
Management fees |
275,133 | 279,142 | ||||||
Administrative fees |
85,787 | 77,685 | ||||||
Incentive fees |
156,846 | 500,939 | ||||||
Other |
117,664 | 107,923 | ||||||
Redemptions payable |
7,017,584 | 2,059,665 | ||||||
Total liabilities |
9,012,771 | 3,571,052 | ||||||
Partners Capital: |
||||||||
General Partner, 1,438.9316 and 1,302.6036 unit equivalents
outstanding at June 30, 2011 and December 31, 2010 |
2,072,378 | 1,927,332 | ||||||
Limited Partners, 136,284.9037 and 122,734.7189
Redeemable Units outstanding at June 30, 2011 and
December 31, 2010, respectively |
196,280,842 | 181,598,269 | ||||||
Total partners capital |
198,353,220 | 183,525,601 | ||||||
Total liabilities and partners capital |
$ | 207,365,991 | $ | 187,096,653 | ||||
Net asset value per unit |
$ | 1,440.22 | $ | 1,479.60 | ||||
See accompanying notes to financial statements.
3
Emerging CTA Portfolio L.P.
Condensed Schedule of Investments
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
Notional ($)/ | ||||||||||||
Number | % of Partners | |||||||||||
of Contracts | Fair Value | Capital | ||||||||||
Futures
Contracts Purchased |
||||||||||||
Currencies |
291 | $ | 135,014 | 0.07 | % | |||||||
Energy |
282 | (625,743 | ) | (0.32 | ) | |||||||
Grains |
55 | (94,143 | ) | (0.05 | ) | |||||||
Indices |
218 | 374,203 | 0.19 | |||||||||
Interest Rates U.S. |
1,277 | 6,949 | 0.00 | * | ||||||||
Interest Rates Non-U.S. |
897 | (22,828 | ) | (0.01 | ) | |||||||
Livestock |
110 | 102,781 | 0.05 | |||||||||
Metals |
30 | 70,174 | 0.04 | |||||||||
Softs |
76 | 38,492 | 0.02 | |||||||||
Total futures contracts purchased |
(15,101 | ) | (0.01 | ) | ||||||||
Futures
Contracts Sold |
||||||||||||
Currencies |
83 | (44,630 | ) | (0.02 | ) | |||||||
Energy |
282 | 708,439 | 0.36 | |||||||||
Grains |
69 | 121,916 | 0.06 | |||||||||
Indices |
104 | (109,398 | ) | (0.06 | ) | |||||||
Interest Rates U.S. |
135 | 165,540 | 0.08 | |||||||||
Interest Rates Non-U.S. |
446 | 56,449 | 0.03 | |||||||||
Livestock |
26 | (10,923 | ) | (0.01 | ) | |||||||
Metals |
25 | 51,692 | 0.03 | |||||||||
Softs |
9 | (5,246 | ) | (0.00 | )* | |||||||
Total futures contracts sold |
933,839 | 0.47 | ||||||||||
Unrealized
Appreciation on Forward Contracts |
||||||||||||
Currencies |
$ | 122,398,509 | 1,361,070 | 0.69 | ||||||||
Metals |
368 | 1,129,388 | 0.57 | |||||||||
Total unrealized appreciation on forward contracts |
2,490,458 | 1.26 | ||||||||||
Unrealized
Depreciation on Forward Contracts |
||||||||||||
Currencies |
$ | 120,805,494 | (1,596,176 | ) | (0.81 | ) | ||||||
Metals |
419 | (1,651,430 | ) | (0.83 | ) | |||||||
Total unrealized depreciation on forward contracts |
(3,247,606 | ) | (1.64 | ) | ||||||||
Investment in
Funds |
||||||||||||
CMF Altis Partners Master Fund L.P. |
4,852,102 | 2.45 | ||||||||||
Waypoint Master Fund L.P. |
18,896,166 | 9.53 | ||||||||||
Blackwater Master Fund L.P. |
28,243,764 | 14.24 | ||||||||||
PGR Master Fund L.P. |
24,431,748 | 12.32 | ||||||||||
JEM Master Fund L.P. |
23,832,944 | 12.01 | ||||||||||
CMF Cirrus Master Fund L.P. |
23,785,703 | 11.99 | ||||||||||
Flintlock Master Fund L.P. |
21,860,745 | 11.02 | ||||||||||
Total investment in Funds |
145,903,172 | 73.56 | ||||||||||
Net fair value |
$ | 146,064,762 | 73.64 | % | ||||||||
* | Due to rounding. |
See accompanying notes to financial statements.
4
Emerging CTA Portfolio L.P.
Condensed Schedule of Investments
December 31, 2010
Condensed Schedule of Investments
December 31, 2010
Notional ($)/ | ||||||||||||
Number of | % of Partners | |||||||||||
Contracts | Fair Value | Capital | ||||||||||
Futures
Contracts Purchased |
||||||||||||
Currencies |
200 | $ | 313,957 | 0.17 | % | |||||||
Energy |
62 | 233,896 | 0.13 | |||||||||
Grains |
250 | 538,738 | 0.29 | |||||||||
Indices |
163 | 16,869 | 0.01 | |||||||||
Interest Rates U.S. |
592 | 135,855 | 0.07 | |||||||||
Interest Rates Non-U.S. |
640 | 125,143 | 0.07 | |||||||||
Livestock |
214 | 259,202 | 0.14 | |||||||||
Metals |
75 | 315,525 | 0.17 | |||||||||
Softs |
66 | 18,323 | 0.01 | |||||||||
Total futures contracts purchased |
1,957,508 | 1.06 | ||||||||||
Futures
Contracts Sold |
||||||||||||
Currencies |
114 | (56,972 | ) | (0.03 | ) | |||||||
Energy |
159 | (55,211 | ) | (0.03 | ) | |||||||
Grains |
75 | (191,587 | ) | (0.10 | ) | |||||||
Indices |
97 | 156,446 | 0.09 | |||||||||
Interest Rates U.S. |
6 | 25 | 0.00 | * | ||||||||
Interest Rates Non-U.S. |
22 | 7,402 | 0.00 | * | ||||||||
Livestock |
170 | (207,591 | ) | (0.11 | ) | |||||||
Softs |
115 | (93,801 | ) | (0.05 | ) | |||||||
Total futures contracts sold |
(441,289 | ) | (0.23 | ) | ||||||||
Unrealized Appreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | 76,652,847 | 1,610,313 | 0.88 | ||||||||
Metals |
92 | 805,081 | 0.44 | |||||||||
Total unrealized appreciation on open forward contracts |
2,415,394 | 1.32 | ||||||||||
Unrealized Depreciation on Open Forward Contracts |
||||||||||||
Currencies |
$ | 69,670,836 | (1,639,341 | ) | (0.89 | ) | ||||||
Metals |
88 | (756,788 | ) | (0.41 | ) | |||||||
Total unrealized depreciation on open forward contracts |
(2,396,129 | ) | (1.30 | ) | ||||||||
Options
Purchased |
||||||||||||
Calls |
||||||||||||
Energy |
106 | 295,740 | 0.16 | |||||||||
Metals |
109 | 574,070 | 0.31 | |||||||||
Softs |
11 | 31,416 | 0.02 | |||||||||
Total options purchased |
901,226 | 0.49 | ||||||||||
Investment in Funds |
||||||||||||
CMF Altis Partners Master Fund L.P. |
17,568,791 | 9.57 | ||||||||||
CMF Sasco Master Fund L.P. |
18,664,413 | 10.17 | ||||||||||
Waypoint Master Fund L.P. |
21,455,619 | 11.69 | ||||||||||
Blackwater Master Fund L.P. |
20,047,327 | 10.92 | ||||||||||
PGR Master Fund L.P. |
15,273,707 | 8.32 | ||||||||||
Total investment in Funds |
93,009,857 | 50.67 | ||||||||||
Net fair value |
$ | 95,446,567 | 52.01 | % | ||||||||
* | Due to rounding. |
See accompanying notes to financial statements.
5
Emerging CTA Portfolio L.P.
Statements of Income and Expenses and Changes in Partners Capital
(Unaudited)
(Unaudited)
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Investment Income: |
||||||||||||||||
Interest income |
$ | 2,408 | $ | 27,245 | $ | 16,692 | $ | 40,647 | ||||||||
Interest income from investment in Funds |
6,997 | 25,416 | 39,195 | 37,483 | ||||||||||||
Total investment income |
9,405 | 52,661 | 55,887 | 78,130 | ||||||||||||
Expenses: |
||||||||||||||||
Brokerage fees including clearing fees |
2,196,819 | 1,787,929 | 4,239,712 | 3,481,259 | ||||||||||||
Management fees |
873,834 | 847,318 | 1,727,250 | 1,684,651 | ||||||||||||
Administrative fees |
260,370 | 212,352 | 500,705 | 421,685 | ||||||||||||
Incentive fees |
156,846 | (67,482 | ) | 276,307 | 48,096 | |||||||||||
Other |
143,667 | 227,929 | 281,188 | 393,139 | ||||||||||||
Total expenses |
3,631,536 | 3,008,046 | 7,025,162 | 6,028,830 | ||||||||||||
Net investment income (loss) |
(3,622,131 | ) | (2,955,385 | ) | (6,969,275 | ) | (5,950,700 | ) | ||||||||
Trading Results: |
||||||||||||||||
Net gains (losses) on trading of commodity interests and investment in Funds: |
||||||||||||||||
Net realized gains (losses) on closed contracts |
4,827,835 | (1,711,594 | ) | 4,212,221 | (4,323,036 | ) | ||||||||||
Net realized gains (losses) investment in Funds |
(126,360 | ) | 9,292,621 | 1,779,404 | 8,346,208 | |||||||||||
Change in net unrealized gains (losses) on open contracts |
(1,483,705 | ) | (1,700,768 | ) | (1,420,240 | ) | 626,819 | |||||||||
Change in net unrealized gains (losses) on investment in Funds |
492,442 | (7,599,480 | ) | (2,820,240 | ) | (3,009,375 | ) | |||||||||
Total trading results |
3,710,212 | (1,719,221 | ) | 1,751,145 | 1,640,616 | |||||||||||
Net income (loss) |
88,081 | (4,674,606 | ) | (5,218,130 | ) | (4,310,084 | ) | |||||||||
Subscriptions Limited Partners |
13,957,373 | 6,820,000 | 34,563,484 | 19,438,000 | ||||||||||||
Subscriptions General Partner |
200,000 | | 200,000 | | ||||||||||||
Redemptions Limited Partners |
(9,269,306 | ) | (5,642,424 | ) | (14,717,735 | ) | (15,761,351 | ) | ||||||||
Net increase (decrease) in Partners Capital |
4,976,148 | (3,497,030 | ) | 14,827,619 | (633,435 | ) | ||||||||||
Partners Capital, beginning of period |
193,377,072 | 169,569,267 | 183,525,601 | 166,705,672 | ||||||||||||
Partners Capital, end of period |
$ | 198,353,220 | $ | 166,072,237 | $ | 198,353,220 | $ | 166,072,237 | ||||||||
Net asset value per unit (137,723.8353 and 121,121.2027
units outstanding at June 30, 2011 and 2010, respectively) |
$ | 1,440.22 | $ | 1,371.12 | $ | 1,440.22 | $ | 1,371.12 | ||||||||
Net income (loss) per unit* |
$ | 0.99 | $ | (38.29 | ) | $ | (39.38 | ) | $ | (35.26 | ) | |||||
Weighted average units outstanding |
141,017.6956 | 121,854.2150 | 136,690.7542 | 121,705.0634 | ||||||||||||
* | Based on change in net asset value per unit. |
See accompanying notes to financial statements.
6
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
1. General:
Emerging CTA Portfolio L.P. (the Partnership) is a limited partnership that was organized on
July 7, 2003 under the partnership laws of the State of New York. The objective of the Partnership
is to achieve capital appreciation through the allocation of assets to a blind pool of
early-stage commodity trading advisors which engage, directly and indirectly, in speculative
trading of a diversified portfolio of commodity interests, including
futures, forwards and options. The Partnership may also enter into swap and other derivative transactions with
the approval of the General Partner (defined below). The sectors traded include currencies,
livestock, energy, grains, metals, indices, softs and U.S. and non-U.S. interest rates. The
Partnership and the Funds, (as defined in Note 5 Investment in Funds) may trade futures, forward
and option contracts of any kind. The commodity interests that are traded by the Partnership and
the Funds are volatile and involve a high degree of market risk.
Between December 1, 2003 (commencement of the offering period) and August 5, 2004, 20,872
redeemable units of limited partnership interest (Redeemable Units) were sold at $1,000 per
Redeemable Unit. The proceeds of the initial offering were held in an escrow account until August
6, 2004, at which time they were remitted to the Partnership for
trading. The Partnership privately and continuously offers Redeemable
Units in the Partnership to qualified investors. There is no maximum
number of Redeemable Units that may be sold by the Partnership.
Ceres Managed Futures LLC, a Delaware limited liability company, acts as the general partner
(the General Partner) and commodity pool operator of the Partnership. The General Partner is
wholly owned by Morgan Stanley Smith Barney Holdings LLC (MSSB Holdings). Morgan Stanley,
indirectly through various subsidiaries, owns a majority equity interest in MSSB Holdings.
Citigroup Global Markets Inc. (CGM), the commodity broker and a selling agent for the
Partnership, owns a minority equity interest in MSSB Holdings. Citigroup Inc. (Citigroup),
indirectly through various subsidiaries, wholly owns CGM. Prior to July 31, 2009, the date as of
which MSSB Holdings became its owner, the General Partner was wholly owned by Citigroup Financial
Products Inc., a wholly owned subsidiary of Citigroup Global Markets Holdings Inc., the sole owner
of which is Citigroup.
As
of June 30, 2011, all trading decisions are made for the
Partnership by its twelve trading
advisors (the Advisors) either directly, through individually managed accounts, or indirectly,
through investments in other collective investment vehicles. As indicated above, the Partnership
allocates its assets to a blind pool of trading advisors which refers to the fact that detailed
information about the advisors, such as their backgrounds, individual trading strategies and past
performance records has not been, and is not expected to be, provided to investors. The General
Partner has chosen not to disclose such information because, among other reasons, the advisors
engaged to trade on behalf of the Partnership may have little or no performance histories and the
mix of advisors may change frequently as new advisors are identified and others progress beyond the
emerging stage. The Advisors are not affiliated with one another, are not affiliated with the
General Partner or CGM and are not responsible for the organization or operation of the
Partnership.
The accompanying financial statements and accompanying notes are unaudited but, in the opinion
of management, include all adjustments, consisting only of normal recurring adjustments, necessary
for a fair statement of the Partnerships financial condition at
June 30, 2011 and December 31,
2010, and the results of its operations and changes in partners
capital for the three and six months ended
June 30, 2011 and 2010. These financial statements present the results of interim periods and do
not include all disclosures normally provided in annual financial statements. You should read these
financial statements together with the financial statements and notes included in the Partnerships
Annual Report on Form 10-K filed with the Securities and Exchange Commission (the SEC) for the
year ended December 31, 2010.
The General Partner and each limited partner of the Partnership (each a Limited Partner)
share in the profits and losses of the Partnership in proportion to the amount of Partnership
interest owned by each except that no Limited Partner shall be liable for obligations of the
Partnership in excess of its capital contribution and profits, if any, net of
distributions.
The preparation of financial statements and accompanying notes in conformity with accounting
principles generally accepted in the United States of America (GAAP) requires management to make
estimates and assumptions that affect the reported amounts of assets and liabilities, income and
expenses, and related disclosures of contingent assets and liabilities in the financial statements
and accompanying notes. As a result, actual results could differ from these estimates.
Due to the nature of commodity trading, the results of operations for the interim periods
presented should not be considered indicative of the results that may be expected for the entire
year.
7
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
2. Financial Highlights:
Changes
in the net asset value per unit for the three and six months ended
June 30, 2011 and 2010
were as follows:
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2011 | 2010 | 2011 | 2010 | ||||||||||||
Net realized and unrealized gains (losses) * |
$ | 11.12 | $ | (28.72 | ) | $ | (19.34 | ) | $ | (14.98 | ) | ||||
Interest income |
0.07 | 0.43 | 0.42 | 0.64 | |||||||||||
Expenses ** |
(10.20 | ) | (10.00 | ) | (20.46 | ) | (20.92 | ) | |||||||
Increase (decrease) for the period |
0.99 | (38.29 | ) | (39.38 | ) | (35.26 | ) | ||||||||
Net asset value per unit, beginning of period |
1,439.23 | 1,409.41 | 1,479.60 | 1,406.38 | |||||||||||
Net asset value per unit, end of period |
$ | 1,440.22 | $ | 1,371.12 | $ | 1,440.22 | $ | 1,371.12 | |||||||
* | Includes brokerage fees and clearing fees. | |
** | Excludes brokerage fees and clearing fees. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Ratios to Average Net Assets:*** |
||||||||||||||||
Net investment income (loss) before incentive fees**** |
(6.9 | )% | (7.2 | )% | (6.9 | )% | (7.2 | )% | ||||||||
Operating expenses |
6.9 | % | 7.3 | % | 7.0 | % | 7.3 | % | ||||||||
Incentive fees |
0.1 | % | | % | 0.1 | % | | % | ||||||||
Total expenses |
7.0 | % | 7.3 | % | 7.1 | % | 7.3 | % | ||||||||
Total return: |
||||||||||||||||
Total return before incentive fees |
0.1 | % | (2.8 | )% | (2.5 | )% | (2.5 | )% | ||||||||
Incentive fees |
| %***** | 0.1 | % | (0.1 | )% | | % | ||||||||
Total return after incentive fees |
0.1 | % | (2.7 | )% | (2.6 | )% | (2.5 | )% | ||||||||
*** | Annualized (other than incentive fees). | |
**** | Interest income less total expenses. | |
***** | Due to rounding. |
The above ratios may vary for individual investors based on the timing of capital transactions
during the period. Additionally, these ratios are calculated for the Limited Partner class using
the Limited Partners share of income, expenses and average net assets.
3. Trading Activities:
The Partnership was formed for the purpose of trading contracts in a variety of commodity
interests, including derivative financial instruments and derivative commodity instruments. The
results of the Partnerships trading activities are shown in the Statements of Income and Expenses
and Changes in Partners Capital.
The customer agreements between the Partnership and CGM and the Funds and CGM give the
Partnership and the Funds, respectively, the legal right to net unrealized gains and losses on open futures and
forward contracts on the Statements of Financial Condition. The Partnership and the Funds net, for
financial reporting purposes, the unrealized gains and losses on open futures and on open forward
contracts on the Statements of Financial Condition.
All of the commodity interests owned by the Partnership are held for trading purposes. All of
the commodity interests owned by the Funds are held for trading purposes. The monthly average number of futures contracts traded directly by the Partnership during the three
months ended June 30, 2011 and 2010 were 3,716 and 5,127, respectively. The monthly average number
of futures contracts traded directly by the Partnership during the six months ended June 30, 2011
and 2010 were 4,096 and 5,605, respectively. The monthly average number of metals forward contracts
traded directly by the Partnership during the three months ended June 30, 2011 and 2010 were 1,002
and 344, respectively. The monthly average number of metals forward contracts traded directly by
the Partnership during the six months ended June 30, 2011 and 2010 were 778 and 428, respectively.
The monthly average number of option contracts traded directly by the Partnership during the three
months ended June 30, 2011 and 2010 were 0 and 10, respectively. The monthly average number of
option contracts traded directly by the Partnership during the six months ended June 30, 2011 and
2010 were 122 and 5, respectively. The monthly average notional value of currency forward contracts
traded directly by the Partnership during the three months ended June 30, 2011 and 2010 were
$418,864,114 and $273,331,911, respectively. The monthly average notional value of currency forward
contracts traded directly by the Partnership during the six months ended June 30, 2011 and 2010
were $368,242,547 and $324,430,107, respectively.
Brokerage fees are calculated as a percentage of the Partnerships adjusted net asset value on
the last day of each month and are affected by trading performance, subscriptions and redemptions.
8
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
The following tables indicate the gross fair values of derivative instruments of futures and
forward as separate assets and liabilities as of June 30, 2011 and December 31, 2010.
June 30, 2011 | ||||
Assets |
||||
Futures
Contracts |
||||
Currencies |
$ | 142,702 | ||
Energy |
1,051,792 | |||
Grains |
122,765 | |||
Indices |
375,140 | |||
Interest Rates Non-U.S. |
224,830 | |||
Interest Rates U.S. |
318,060 | |||
Livestock |
121,550 | |||
Metals |
129,940 | |||
Softs |
55,721 | |||
Total unrealized appreciation on open futures contracts |
$ | 2,542,500 | ||
Liabilities |
||||
Futures
Contracts |
||||
Currencies |
$ | (52,318 | ) | |
Energy |
(969,096 | ) | ||
Grains |
(94,992 | ) | ||
Indices |
(110,335 | ) | ||
Interest Rates Non-U.S. |
(191,209 | ) | ||
Interest Rates U.S. |
(145,571 | ) | ||
Livestock |
(29,692 | ) | ||
Metals |
(8,074 | ) | ||
Softs |
(22,475 | ) | ||
Total unrealized depreciation on open futures contracts |
$ | (1,623,762 | ) | |
Net
unrealized appreciation on open futures contracts |
$ | 918,738 | * | |
* | This amount is in Net unrealized appreciation on open futures contracts on the Statements of Financial Condition. |
June 30, 2011 | ||||
Assets |
||||
Forward
Contracts |
||||
Currencies |
$ | 1,361,070 | ||
Metals |
1,129,388 | |||
Total unrealized appreciation on open forward contracts |
$ | 2,490,458 | ||
Liabilities |
||||
Forward
Contracts |
||||
Currencies |
$ | (1,596,176 | ) | |
Metals |
(1,651,430 | ) | ||
Total unrealized depreciation on open forward contracts |
$ | (3,247,606 | ) | |
Net
unrealized depreciation on open forward contracts |
$ | (757,148 | )** | |
** | This amount is in Net unrealized depreciation on open forward contracts on the Statements of Financial Condition. |
9
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
December 31, 2010 | ||||
Assets |
||||
Futures
Contracts |
||||
Currencies |
$ | 423,873 | ||
Energy |
282,296 | |||
Grains |
552,787 | |||
Indices |
223,941 | |||
Interest Rates Non-U.S |
151,118 | |||
Interest Rates U.S. |
169,390 | |||
Livestock |
259,202 | |||
Metals |
315,525 | |||
Softs |
43,918 | |||
Total unrealized appreciation on open futures contracts |
$ | 2,422,050 | ||
Liabilities |
||||
Futures
Contracts |
||||
Currencies |
$ | (166,888 | ) | |
Energy |
(103,611 | ) | ||
Grains |
(205,637 | ) | ||
Indices |
(50,626 | ) | ||
Interest Rates Non-U.S |
(18,572 | ) | ||
Interest Rates U.S. |
(33,510 | ) | ||
Livestock |
(207,591 | ) | ||
Softs |
(119,396 | ) | ||
Total unrealized depreciation on open futures contracts |
(905,831 | ) | ||
Net unrealized appreciation on open futures contracts |
$ | 1,516,219 | * | |
* | This amount is in Net unrealized appreciation on open futures contracts on the Statements of Financial Condition. |
December 31, 2010 | ||||
Assets |
||||
Forward
Contracts |
||||
Currencies |
$ | 1,610,313 | ||
Metals |
805,081 | |||
Total unrealized appreciation on open forward contracts |
$ | 2,415,394 | ||
Liabilities |
||||
Forward
Contracts |
||||
Currencies |
$ | (1,639,341 | ) | |
Metals |
(756,788 | ) | ||
Total unrealized depreciation on open forward contracts |
(2,396,129 | ) | ||
Net unrealized appreciation on open forward contracts |
$ | 19,265 | ** | |
** | This amount is in Net unrealized appreciation on open forward contracts on the Statements of Financial Condition. |
December 31, 2010 | ||||
Assets |
||||
Options
Purchased |
||||
Energy |
$ | 295,740 | ||
Metals |
574,070 | |||
Softs |
31,416 | |||
Total options purchased |
$ | 901,226 | *** | |
*** | This amount is in Options purchased, at fair value on the Statements of Financial Condition. |
10
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
The following tables indicate the trading gains and losses, by market sector, on
derivative instruments traded directly by the Partnership for the
three and six months ended June 30, 2011
and 2010.
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, | June 30, | |||||||||||||||
Sector | 2011 | 2010 | 2011 | 2010 | ||||||||||||
Currencies |
$ | (281,152 | ) | $ | (1,821,042 | ) | $ | (781,560 | ) | $ | (3,111,822 | ) | ||||
Energy |
(130,187 | ) | 293,835 | 246,142 | (484,557 | ) | ||||||||||
Grains |
(74,811 | ) | (482,131 | ) | 416,310 | 11,465 | ||||||||||
Indices |
(146,605 | ) | (3,016,853 | ) | (1,191,476 | ) | (3,086,993 | ) | ||||||||
Interest Rates U.S. |
1,351,570 | 1,813,341 | 1,304,155 | 1,229,709 | ||||||||||||
Interest Rates Non-U.S. |
68,787 | 954,894 | (389,499 | ) | 2,002,782 | |||||||||||
Livestock |
166,289 | 8,864 | (139,557 | ) | (173,229 | ) | ||||||||||
Metals |
2,655,319 | (745,108 | ) | 3,042,421 | (286,376 | ) | ||||||||||
Softs |
(265,080 | ) | (418,162 | ) | 285,045 | 202,804 | ||||||||||
Total |
$ | 3,344,130 | **** | $ | (3,412,362 | )**** | $ | 2,791,981 | **** | $ | (3,696,217 | )**** | ||||
**** | This amount is in Total trading results on the Statement of Income and Expenses and Changes in Partners Capital. |
4. Fair Value Measurements:
Partnerships and the Funds Investments. All commodity interests held by the Partnership and
Funds (including derivative financial instruments and derivative commodity instruments) are held
for trading purposes. The commodity interests are recorded on trade date and open contracts are
recorded at fair value (as described below) at the measurement date. Investments in commodity
interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates
prevailing at the measurement date. Gains or losses are realized when contracts are liquidated.
Unrealized gains or losses on open contracts are included as a component of equity in trading
account on the Statements of Financial Condition. Net realized gains or losses and any change in
net unrealized gains or losses from the preceding period are reported in the Statements of Income
and Expenses and Changes in Partners Capital.
Partnerships and the Funds 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 under current market conditions. The fair value
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable
inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in
its entirety falls shall be determined based on the lowest level input that is significant to the
fair value measurement in its entirety. Management has concluded that based on available
information in the marketplace, the Partnerships and the Funds Level 1 assets and liabilities are
actively traded.
GAAP also requires the need to use judgment in determining if a formerly active market has
become inactive and in determining fair values when the market has become inactive. Management has
concluded that based on available information in the marketplace, there has not been a significant
decrease in the volume and level of activity in the Partnerships and the Funds Level 2 assets and
liabilities.
The Partnership and the Funds will separately present purchases, sales, issuances and
settlements in their reconciliation of Level 3 fair value
measurements (i.e., to present such items
on a gross basis rather than on a net basis), and make disclosures regarding the level of
disaggregation and the inputs and valuation techniques used to measure fair value for measurements
that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards
and options contracts to be based on unadjusted quoted prices in active markets for identical
assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts
for which market quotations are not readily available are priced by broker-dealers who derive fair
values for those assets from observable inputs (Level 2). Investments in funds (other commodity
pools) where there are no other rights or obligations inherent within the ownership interest held
by the Partnership are priced based on the end of the day net asset value (Level 2). The value of
the Partnerships investments in the Funds reflects its proportional interest in the Funds. As of
and for the periods ended June 30, 2011 and December 31, 2010, the Partnership and the Funds did
not hold any derivative instruments that were priced at fair value using unobservable inputs through
the application of managements assumptions and internal valuation pricing models (Level 3).
11
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
Quoted Prices in | ||||||||||||||||
Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable Inputs | Unobservable Inputs | ||||||||||||||
June 30, 2011 | Assets (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Funds |
$ | 145,903,172 | $ | | $ | 145,903,172 | $ | | ||||||||
Futures |
2,542,500 | 2,542,500 | | | ||||||||||||
Forwards |
2,490,458 | 1,129,388 | 1,361,070 | | ||||||||||||
Total assets |
150,936,130 | 3,671,888 | 147,264,242 | | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
$ | 1,623,762 | $ | 1,623,762 | $ | | $ | | ||||||||
Forwards |
3,247,606 | 1,651,430 | 1,596,176 | | ||||||||||||
Total liabilities |
4,871,368 | 3,275,192 | 1,596,176 | | ||||||||||||
Net fair value |
$ | 146,064,762 | $ | 396,696 | $ | 145,668,066 | $ | | ||||||||
Quoted Prices in | ||||||||||||||||
Active Markets | Significant Other | Significant | ||||||||||||||
for Identical | Observable Inputs | Unobservable Inputs | ||||||||||||||
December 31, 2010* | Assets (Level 1) | (Level 2) | (Level 3) | |||||||||||||
Assets |
||||||||||||||||
Investment in Funds |
$ | 93,009,857 | $ | | $ | 93,009,857 | $ | | ||||||||
Futures |
2,422,050 | 2,422,050 | | | ||||||||||||
Forwards |
2,415,394 | 805,081 | 1,610,313 | | ||||||||||||
Options purchased |
901,226 | 901,226 | | | ||||||||||||
Total assets |
98,748,527 | 4,128,357 | 94,620,170 | | ||||||||||||
Liabilities |
||||||||||||||||
Futures |
$ | 905,831 | $ | 905,831 | $ | | $ | | ||||||||
Forwards |
2,396,129 | 756,788 | 1,639,341 | | ||||||||||||
Total liabilities |
3,301,960 | 1,662,619 | 1,639,341 | | ||||||||||||
Net fair value |
$ | 95,446,567 | $ | 2,465,738 | $ | 92,980,829 | $ | | ||||||||
* | The amounts have been reclassified from the December 31, 2010 prior year financial statements to conform to current year presentation. |
5. Investment in Funds:
On November 1, 2005, the assets allocated to Altis Partners Jersey Limited (Altis) for
trading were invested in the CMF Altis Partners Master Fund L.P. (Altis Master), a limited
partnership organized under the partnership laws of the State of New York. The Partnership
purchased 4,898.1251 units of Altis Master with cash equal to $4,196,275 and a contribution of open
commodity futures and forward contracts with a fair value of $701,851. Altis Master was formed to
permit accounts managed now or in the future by Altis using the Global Futures Portfolio program, a
proprietary, systematic trading program, to invest together in one trading vehicle. The General
Partner is also the general partner of Altis Master. Individual and pooled accounts currently
managed by Altis, including the Partnership, are permitted to be limited partners of Altis Master.
The General Partner and Altis believe that trading through this structure should promote efficiency
and economy in the trading process.
On March 1, 2006, the assets allocated to Avant Capital Management L.P. (Avant) for trading
were invested in the CMF Avant Master Fund L.P. (Avant Master), a limited partnership organized
under the partnership laws of the State of New York. The Partnership purchased 8,177.1175 units of
Avant Master with cash equal to $6,827,887 and a contribution of open commodity futures and forward
contracts with a fair value of $1,349,230. Avant Master was formed in order to permit accounts
managed now or in the future by Avant using the Diversified Program, a proprietary, systematic
trading program, to invest together in one trading vehicle. The Partnership fully redeemed its
investment in Avant Master on April 30, 2010 for cash equal to $12,280,606.
On May 1, 2009, the assets allocated to Sasco Energy Partners LLC (Sasco) for trading were
invested in the CMF Sasco Master Fund L.P. (Sasco Master), a limited partnership organized under
the partnership laws of the State of New York. The Partnership purchased 16,437.9008 units of Sasco
Master with cash equal to $16,364,407 and a contribution of open commodity futures contracts with a
fair value of $(1,325,727). Sasco Master was formed in order to permit accounts managed now or in
the future by Sasco using the Energy Program, a proprietary,
discretionary trading program, to invest
together in one trading vehicle.
The Partnership fully redeemed its investment in Sasco Master on May
31, 2011 for cash equal to $14,575,007.
12
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
On March 1, 2010, the assets allocated to Waypoint Capital Management LLC for trading were
invested in the Waypoint Master Fund L.P. (Waypoint Master), a limited partnership organized
under the partnership laws of the State of New York. The Partnership purchased 26,581.6800 units of
Waypoint Master with cash equal to $26,581,680. Waypoint Master was formed in order to permit
commodity pools managed now or in the future by Waypoint using its Diversified Program, a
proprietary, systematic trading program, to invest together in one trading vehicle. The General
Partner is also the general partner of Waypoint Master. Individual and pooled accounts currently
managed by Waypoint, including the Partnership, are permitted to be limited partners of Waypoint
Master. The General Partner and Waypoint believe that trading through this structure should promote
efficiency and economy in the trading process.
On November 1, 2010, the assets allocated to PGR Capital LLP (PGR) for trading were invested
in PGR Master Fund L.P. (PGR Master), a limited partnership organized under the partnership laws
of the State of Delaware. The Partnership purchased 14,913.0290 units of PGR Master with cash equal
to $14,913,029. PGR Master was formed to permit accounts managed now or in the future by PGR using
the Mayfair Program, a proprietary, systematic trading program, to invest together in one trading
vehicle. The
General Partner is also the general partner for PGR Master. Individual and pooled accounts
currently managed by PGR, including the Partnership, are permitted to be limited partners of PGR
Master. The General Partner and PGR believe that trading through this structure should promote
efficiency and economy in the trading process.
On November 1, 2010, the assets allocated to Blackwater Capital Management LLC (Blackwater)
for trading were invested in Blackwater Master Fund L.P. (Blackwater Master), a limited
partnership organized under the partnership laws of the State of Delaware. The Partnership
purchased 15,674.6940 units of Blackwater Master with cash equal to $15,674,694. Blackwater Master
was formed to permit accounts managed now or in the future by Blackwater using the Global Program,
a proprietary, systematic trading program, to invest together in one trading vehicle. The General
Partner is also the general partner for Blackwater Master. Individual and pooled accounts currently
managed by Blackwater, including the Partnership, are permitted to be limited partners of
Blackwater Master. The General Partner and Blackwater believe that trading through this structure
should promote efficiency and economy in the trading process.
On
January 1, 2011, the assets allocated to J E Moody & Company LLC (JE Moody) for trading
were invested in JEM Master Fund L.P. (JEM Master), a limited partnership organized under the
partnership laws of the State of Delaware. The Partnership purchased 19,624.4798 units of JEM
Master with cash equal to $19,624,480. JEM Master was formed to permit accounts managed now or in
the future by J E Moody using the Commodity Relative Value Program, a proprietary, systematic
trading program, to invest together in one trading vehicle. The General Partner is also the general
partner for JEM Master. Individual and pooled accounts currently managed by J E Moody, including
the Partnership, are permitted to be limited partners of JEM Master. The General Partner and J E
Moody believe that trading through this structure should promote efficiency and economy in the
trading process.
On January 1, 2011, the assets allocated to Cirrus Capital Management LLC (Cirrus) for
trading were invested in CMF Cirrus Master Fund L.P. (Cirrus Master), a limited partnership
organized under the partnership laws of the State of Delaware. The Partnership purchased
22,270.9106 units of Cirrus Master with cash equal to $22,270,911. Cirrus Master was formed to
permit accounts managed now or in the future by Cirrus using the Energy Program, a proprietary,
systematic trading program, to invest together in one trading vehicle. The General Partner is also
the general partner for Cirrus Master. Individual and pooled accounts currently managed by Cirrus,
including the Partnership, are permitted to be limited partners of Cirrus Master. The General
Partner and Cirrus believe that trading through this structure should promote efficiency and
economy in the trading process.
On
May 1, 2011, the assets allocated to Flintlock Capital Asset Management, LLC (Flintlock)
for trading were invested in Flintlock Master Fund L.P. (Flintlock Master), a limited partnership
organized under the partnership laws of the State of Delaware. The
Partnership invested
in Flintlock Master with cash equal to $23,564,973. Flintlock Master was formed
to permit accounts managed now or in the future by Flintlock using the 2x Flintlock Commodity
Opportunities Partners, LP, a proprietary, systematic trading program, to invest together in one
trading vehicle. The General Partner is also the general partner for Flintlock Master. Individual
and pooled accounts currently managed by Flintlock, including the Partnership, are permitted to be
limited partners of Flintlock Master. The General Partner and Flintlock believe that trading
through this structure should promote efficiency and economy in the trading process.
The General Partner is not aware of any material changes to any of the trading programs
discussed above during the fiscal quarter ended June 30, 2011.
Altis Masters, Waypoint Masters,
Blackwater Masters, PGR Masters, JEM Masters, Cirrus Masters and Flintlock Masters (the Funds) trading of futures, forwards, swaps and options
contracts, if applicable, on commodities is done primarily on United States of America commodity
exchanges and foreign commodity exchanges. The Funds engage in such trading through commodity
brokerage accounts maintained with CGM.
A limited partner may withdraw all or part of their capital contribution and undistributed
profits, if any, from the Funds in multiples of the net asset value per unit as of the end of any
day (the Redemption Date) after a request for redemption has been made to the General Partner at
least three days in advance of the Redemption Date. The units are classified as a liability when the
limited partner elects to redeem and informs the Funds.
Management, administrative and incentive fees are charged at the Partnership level. All
exchange, clearing, user, give-up, floor brokerage and National
Futures Association fees
(collectively the clearing fees) are borne by the Partnership through its investment in the
Funds. All other fees, including CGMs direct brokerage fees, are charged at the Partnership level.
At
June 30, 2011, the Partnership owned approximately 4.7% of Altis
Master, 49.8% of Waypoint Master, 77.7% of PGR Master, 81.3% of
Blackwater Master, 65.7% of JEM
Master, 89.2% of Cirrus Master and 85.0% of Flintlock Master. At December 31, 2010, the Partnership owned approximately 27.6%,
of Altis Master, 22.8% of Sasco Master, 52.0% of Waypoint Master, 74.9% of PGR Master and 77.3% of
Blackwater Master. It is the Partnerships intention to continue to invest in the Funds. The
performance of the Partnership is directly affected by the performance of the Funds. Expenses to
investors as a result of investment in the Funds are approximately the same and the redemption
rights are not affected.
13
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
Summarized
information reflecting the total assets, liabilities and capital of
the Funds is shown in the following tables.
June 30, 2011 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
Altis Master |
$ | 104,815,171 | $ | 945,798 | $ | 103,869,373 | ||||||
Waypoint Master |
38,256,105 | 292,377 | 37,963,728 | |||||||||
Blackwater Master |
35,191,918 | 447,132 | 34,744,786 | |||||||||
PGR Master |
31,466,858 | 41,093 | 31,425,765 | |||||||||
JEM Master |
36,304,867 | 29,133 | 36,275,734 | |||||||||
Cirrus Master |
26,670,574 | 17,302 | 26,653,272 | |||||||||
Flintlock Master |
26,378,745 | 647,258 | 25,731,487 | |||||||||
Total |
$ | 299,084,238 | $ | 2,420,093 | $ | 296,664,145 | ||||||
December 31, 2010 | ||||||||||||
Total Assets | Total Liabilities | Total Capital | ||||||||||
Altis Master |
$ | 64,276,767 | $ | 591,256 | $ | 63,685,511 | ||||||
Sasco Master |
81,882,294 | 198,664 | 81,683,630 | |||||||||
Waypoint Master |
41,306,976 | 59,330 | 41,247,646 | |||||||||
Blackwater Master |
25,966,821 | 28,810 | 25,938,011 | |||||||||
PGR Master |
20,415,391 | 28,810 | 20,386,581 | |||||||||
Total |
$ | 233,848,249 | $ | 906,870 | $ | 232,941,379 | ||||||
Summarized information reflecting the net investment income (loss) from trading, total trading
results and net income (loss) for the Funds is shown in the following tables.
For the three months ended June 30, 2011 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Altis Master |
$ | (86,627 | ) | $ | (11,353,961 | ) | $ | (11,440,588 | ) | |||
Sasco Master |
(337,870 | ) | 3,450,469 | 3,112,599 | ||||||||
Waypoint Master |
(49,050 | ) | 846,382 | 797,332 | ||||||||
Blackwater Master |
(20,229 | ) | (503,805 | ) | (524,034 | ) | ||||||
PGR Master |
(26,281 | ) | (107,699 | ) | (133,980 | ) | ||||||
JEM Master |
(200,955 | ) | 1,503,277 | 1,302,322 | ||||||||
Cirrus Master |
(22,683 | ) | 667,044 | 644,361 | ||||||||
Flintlock Master |
(45,798 | ) | (1,835,364 | ) | (1,881,162 | ) | ||||||
Total |
$ | (789,493 | ) | $ | (7,333,657 | ) | $ | (8,123,150 | ) | |||
For the six months ended June 30, 2011 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Altis Master |
$ | (139,884 | ) | $ | (19,456,564 | ) | $ | (19,596,448 | ) | |||
Sasco Master |
(707,823 | ) | 1,199,725 | 491,902 | ||||||||
Waypoint Master |
(113,465 | ) | (760,597 | ) | (874,062 | ) | ||||||
Blackwater Master |
(47,734 | ) | 516,903 | 469,169 | ||||||||
PGR Master |
(53,692 | ) | 483,766 | 430,074 | ||||||||
JEM Master |
(306,111 | ) | 1,316,107 | 1,009,996 | ||||||||
Cirrus Master |
(42,492 | ) | 1,328,826 | 1,286,334 | ||||||||
Flintlock Master |
(45,798 | ) | (1,835,364 | ) | (1,881,162 | ) | ||||||
Total |
$ | (1,456,999 | ) | $ | (17,207,198 | ) | $ | (18,664,197 | ) | |||
For the three months ended June 30, 2010 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Altis Master |
$ | (80,238 | ) | $ | (6,238,080 | ) | $ | (6,318,318 | ) | |||
Avant Master |
(21,635 | ) | 444,954 | 423,319 | ||||||||
Sasco Master |
(327,998 | ) | (772,096 | ) | (1,100,094 | ) | ||||||
Waypoint Master |
(47,691 | ) | 5,344,480 | 5,296,789 | ||||||||
Total |
$ | (477,562 | ) | $ | (1,220,742 | ) | $ | (1,698,304 | ) | |||
For the six months ended June 30, 2010 | ||||||||||||
Net Investment | Total Trading | Net Income | ||||||||||
Income (Loss) | Results | (Loss) | ||||||||||
Altis Master |
$ | (119,263 | ) | $ | (4,102,014 | ) | $ | (4,221,277 | ) | |||
Avant Master |
(45,162 | ) | 1,063,684 | 1,018,522 | ||||||||
Sasco Master |
(568,579 | ) | 2,140,632 | 1,572,053 | ||||||||
Waypoint Master |
(59,189 | ) | 5,917,533 | 5,858,344 | ||||||||
Total |
$ | (792,193 | ) | $ | 5,019,835 | $ | 4,227,642 | |||||
14
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
Summarized
information reflecting the Partnerships investments in, and the
operations of, the Funds is shown in the following tables.
June 30, 2011 | For the three months ended June 30, 2011 | |||||||||||||||||||||||||||||||
% of | Expenses | |||||||||||||||||||||||||||||||
Funds | Partnerships Net Assets |
Fair Value | Income (Loss) | Brokerage Fees |
Other | Net
Income (Loss) |
Investment
Objective |
Redemptions Permitted |
||||||||||||||||||||||||
Altis Master |
2.45 | % | $ | 4,852,102 | $ | (582,053 | ) | $ | 6,111 | $ | 1,966 | $ | (590,130 | ) | Commodity Portfolio |
Monthly | ||||||||||||||||
Sasco Master |
| | 751,955 | 44,717 | 10,124 | 697,114 | Energy Markets |
Monthly | ||||||||||||||||||||||||
Waypoint Master |
9.53 | % | 18,896,166 | 446,287 | 18,059 | 7,829 | 420,399 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Blackwater Master |
14.24 | % | 28,243,764 | (387,412 | ) | 14,676 | 3,234 | (405,322 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
PGR Master |
12.32 | % | 24,431,748 | (101,708 | ) | 7,166 | 14,258 | (123,132 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
JEM Master |
12.01 | % | 23,832,944 | 1,205,602 | 134,806 | 15,470 | 1,055,326 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Cirrus Master |
11.99 | % | 23,785,703 | 599,088 | 13,157 | 8,097 | 577,834 | Energy Markets |
Monthly | |||||||||||||||||||||||
Flintlock Master |
11.02 | % | 21,860,745 | (1,558,680 | ) | 31,750 | 7,774 | (1,598,204 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
Total |
$ | 145,903,172 | $ | 373,079 | $ | 270,442 | $ | 68,752 | $ | 33,885 | ||||||||||||||||||||||
June 30, 2011 | For the six months ended June 30, 2011 | |||||||||||||||||||||||||||||||
% of | Expenses | |||||||||||||||||||||||||||||||
Funds | Partnerships Net Assets |
Fair Value | Income (Loss) | Brokerage Fees |
Other | Net
Income (Loss) |
Investment
Objective |
Redemptions Permitted |
||||||||||||||||||||||||
Altis Master |
2.45 | % | $ | 4,852,102 | $ | (2,460,584 | ) | $ | 17,679 | $ | 5,993 | $ | (2,484,256 | ) | Commodity Portfolio |
Monthly | ||||||||||||||||
Sasco Master |
| | 443,762 | 104,912 | 18,860 | 319,990 | Energy Markets |
Monthly | ||||||||||||||||||||||||
Waypoint Master |
9.53 | % | 18,896,166 | (360,913 | ) | 43,966 | 18,889 | (423,768 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
Blackwater Master |
14.24 | % | 28,243,764 | 396,604 | 27,797 | 16,516 | 352,291 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
PGR Master |
12.32 | % | 24,431,748 | 349,443 | 13,008 | 32,020 | 304,415 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
JEM Master |
12.01 | % | 23,832,944 | 1,023,375 | 235,905 | 24,470 | 763,000 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Cirrus Master |
11.99 | % | 23,785,703 | 1,165,352 | 27,754 | 15,723 | 1,121,875 | Energy Markets |
Monthly | |||||||||||||||||||||||
Flintlock Master |
11.02 | % | 21,860,745 | (1,558,680 | ) | 31,750 | 7,774 | (1,598,204 | ) | Commodity Portfolio |
Monthly | |||||||||||||||||||||
Total |
$ | 145,903,172 | $ | (1,001,641 | ) | $ | 502,771 | $ | 140,245 | $ | (1,644,657 | ) | ||||||||||||||||||||
December 31, 2010 | For the three months ended June 30, 2010 | |||||||||||||||||||||||||||||||
% of | Expenses | |||||||||||||||||||||||||||||||
Funds | Partnerships Net Assets |
Fair Value | Income (Loss) | Brokerage Fees |
Other | Net
Income (Loss) |
Investment
Objective |
Redemptions Permitted |
||||||||||||||||||||||||
Altis Master |
9.57 | % | $ | 17,568,791 | $ | (2,033,754 | ) | $ | 12,466 | $ | 20,725 | $ | (2,066,945 | ) | Commodity Portfolio |
Monthly | ||||||||||||||||
Avant Master |
| | 446,366 | 15,098 | 7,950 | 423,318 | Energy Markets |
Monthly | ||||||||||||||||||||||||
Sasco Master |
10.17 | % | 18,664,413 | (492,523 | ) | 102,363 | 118,069 | (712,955 | ) | Energy Markets |
Monthly | |||||||||||||||||||||
Waypoint Master |
11.69 | % | 21,455,619 | 3,798,468 | 29,111 | 12,906 | 3,756,451 | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Blackwater Master |
10.92 | % | 20,047,327 | | | | | Commodity Portfolio | Monthly | |||||||||||||||||||||||
PGR Master |
8.32 | % | 15,273,707 | | | | | Commodity Portfolio | Monthly | |||||||||||||||||||||||
Total |
$ | 93,009,857 | $ | 1,718,557 | $ | 159,038 | $ | 159,650 | $ | 1,399,869 | ||||||||||||||||||||||
15
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
December 31, 2010 | For the six months ended June 30, 2010 | |||||||||||||||||||||||||||||||
% of Partnerships |
Expenses | Net Income | Investment | Redemptions | ||||||||||||||||||||||||||||
Funds | Net Assets | Fair Value | Income (Loss) | Brokerage Fees | Other | (Loss) | Objective | Permitted | ||||||||||||||||||||||||
Altis Master |
9.57 | % | $ | 17,568,791 | $ | (1,301,292 | ) | $ | 25,454 | $ | 24,794 | $ | (1,351,540 | ) | Commodity Portfolio |
Monthly | ||||||||||||||||
Avant Master |
| | 1,066,892 | 20,335 | 28,036 | 1,018,521 | Energy Markets |
Monthly | ||||||||||||||||||||||||
Sasco Master |
10.17 | % | 18,664,413 | 1,401,735 | 179,520 | 200,792 | 1,021,423 | Energy Markets |
Monthly | |||||||||||||||||||||||
Waypoint Master |
11.69 | % | 21,455,619 | 4,206,981 | 35,208 | 17,299 | 4,154,474 | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Blackwater Master |
10.92 | % | 20,047,327 | | | | | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
PGR Master |
8.32 | % | 15,273,707 | | | | | Commodity Portfolio |
Monthly | |||||||||||||||||||||||
Total |
$ | 93,009,857 | $ | 5,374,316 | $ | 260,517 | $ | 270,921 | $ | 4,842,878 | ||||||||||||||||||||||
6. Financial Instrument Risks:
In the normal course of business, the Partnership and the Funds are parties to financial
instruments with off-balance sheet risk, including derivative financial instruments and derivative
commodity instruments. These financial instruments may include forwards, futures, options and
swaps, whose values are based upon an underlying asset, index, or reference rate, and generally
represent future commitments to exchange currencies or cash balances, to purchase or sell other
financial instruments at specific terms at specified future dates, or, in the case of derivative
commodity instruments, to have a reasonable possibility to be settled in cash, through physical
delivery or with another financial instrument. These instruments may be traded on an exchange or
over-the-counter (OTC). Exchange-traded instruments are standardized and include futures and
certain forwards and option contracts. OTC contracts are negotiated between contracting parties and
include certain forwards and option contracts.
Specific market movements of commodities or futures contracts
underlying an option cannot accurately be predicted.
Each of these instruments is subject to various
risks similar to those related to the underlying financial
instruments, including market and credit
risk. In general, the risks associated with OTC contracts are greater than those associated with
exchange-traded instruments because of the greater risk of default by the counterparty to an OTC
contract.
The risk to the Limited Partners that have purchased interests in the Partnership is limited
to the amount of their capital contributions to the Partnership and their share of the
Partnerships assets and undistributed profits. This limited liability is a result of the
organization of the Partnership as a limited partnership under applicable law.
Market risk is the potential for changes in the value of the financial instruments traded by
the Partnership/Funds due to market changes, including interest and foreign exchange rate movements
and fluctuations in commodity or security prices. Market risk is directly impacted by the
volatility and liquidity in the markets in which the related underlying assets are traded. The
Partnership/Funds are exposed to a market risk equal to the value of futures and forward contracts
purchased and unlimited liability on such contracts sold short.
Credit risk is the possibility that a loss may occur due to the failure of a counterparty to
perform according to the terms of a contract. The Partnerships/Funds risk of loss in the event of
a counterparty default is typically limited to the amounts recognized in the Statements of
Financial Condition and is not represented by the contract or notional amounts of the instruments. The
Partnerships/Funds risk of loss is reduced through the use of legally enforceable master netting
agreements with counterparties that permit the Partnership/Funds to offset unrealized gains and
losses and other assets and liabilities with such counterparties upon the occurrence of certain
events. The Partnership/Funds have credit risk and concentration risk, as the sole counterparty or
broker with respect to the Partnerships/Funds assets is CGM or a CGM affiliate. Credit risk with
respect to exchange-traded instruments is reduced to the extent that through CGM, the
Partnerships/Funds counterparty is an exchange or clearing organization.
As both a buyer and seller of options, the Partnership/Funds pay or receive a premium at the
outset and then bear the risk of unfavorable changes in the price of the contract underlying the
option. Written options expose the Partnership/Funds to potentially unlimited liability; for
purchased options, the risk of loss is limited to the premiums paid. Certain written put options
permit cash settlement and do not require the option holder to own the reference asset. The
Partnership/Funds do not consider these contracts to be guarantees.
The General Partner monitors and attempts to control the Partnerships/Funds risk exposure on
a daily basis through financial, credit and risk management monitoring systems, and accordingly,
believes that it has effective procedures for evaluating and limiting the credit and market risks
to which the Partnership/Funds may be subject. These monitoring systems generally allow the General
Partner to statistically analyze actual trading results with risk-adjusted performance indicators
and correlation statistics. In addition,
16
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
online monitoring systems provide account analysis of futures, exchange-cleared swaps, forwards and
options positions by sector, margin requirements, gain and loss transactions and collateral
positions.
The majority of these instruments mature within one year of the inception date. However, due
to the nature of the Partnerships/Funds business, these instruments may not be held to maturity.
7. Critical Accounting Policies
Use of Estimates. The preparation of financial statements and accompanying notes in conformity
with GAAP requires management to make estimates and assumptions that affect the reported amounts of
assets and liabilities, income and expenses, and related disclosures of contingent assets and
liabilities in the financial statements and accompanying notes. As a result, actual results could
differ from these estimates.
Partnerships
and the Funds Investments. All commodity interests held by the Partnership and the
Funds (including derivative financial instruments and derivative commodity instruments) are held
for trading purposes. The commodity interests are recorded on trade date and open contracts are
recorded at fair value (as described below) at the measurement date. Investments in commodity
interests denominated in foreign currencies are translated into U.S. dollars at the exchange rates
prevailing at the measurement date. Gains or losses are realized when contracts are liquidated.
Unrealized gains or losses on open contracts are included as a component of equity in trading
account on the Statements of Financial Condition. Net realized gains or losses and any change in
net unrealized gains or losses from the preceding period are reported in the Statements of Income
and Expenses and Changes in Partners Capital.
Partnerships
and the Funds 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 under current market conditions. The fair value
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1) and the lowest priority to fair values derived from unobservable
inputs (Level 3). The level in the fair value hierarchy within which the fair value measurement in
its entirety falls shall be determined based on the lowest level input that is significant to the
fair value measurement in its entirety. Management has concluded that based on available
information in the marketplace, the Partnerships and the Funds Level 1 assets and liabilities are
actively traded.
GAAP also requires the need to use judgment in determining if a formerly active market has
become inactive and in determining fair values when the market has become inactive. Management has
concluded that based on available information in the marketplace, there has not been a significant
decrease in the volume and level of activity in the Partnerships and the Funds Level 2 assets and
liabilities.
The Partnership and the Funds will separately present purchases, sales, issuances and
settlements in their reconciliation of Level 3 fair value
measurements (i.e., to present such items
on a gross basis rather than on a net basis), and make disclosures regarding the level of
disaggregation and the inputs and valuation techniques used to measure fair value for measurements
that fall within either Level 2 or Level 3 of the fair value hierarchy as required under GAAP.
The Partnership and the Funds consider prices for exchange-traded commodity futures, forwards
and options contracts to be based on unadjusted quoted prices in active markets for identical
assets (Level 1). The values of non-exchange-traded forwards, swaps and certain options contracts
for which market quotations are not readily available are priced by broker-dealers who derive fair
values for those assets from observable inputs (Level 2). Investments in funds (other commodity
pools) where there are no other rights or obligations inherent within the ownership interest held
by the Partnership are priced based on the end of the day net asset value (Level 2). The value of
the Partnerships investments in the Funds reflects its proportional interest in the Funds. As of
and for the periods ended June 30, 2011 and December 31, 2010, the Partnership and the Funds did
not hold any derivative instruments that were priced at fair value using unobservable inputs through
the application of managements assumptions and internal valuation pricing models (Level 3).
Futures
Contracts. The Partnership and the Funds trade futures contracts and exchange-cleared
swaps. Exchange-cleared swaps are swaps that are traded as futures. A futures contract is a firm
commitment to buy or sell a specified quantity of investments, currency or a standardized amount of
a deliverable grade commodity, at a specified price on a specified future date, unless the contract
is closed before the delivery date or if the delivery quantity is something where physical delivery
cannot occur (such as the S&P 500 Index), whereby such contract is settled in cash. Payments
(variation margin) may be made or received by the Partnership and the Funds each business day,
depending on the daily fluctuations in the value of the underlying contracts, and are recorded as
unrealized gains or losses by the Partnership and the Funds. When the contract is closed, the
Partnership and the Funds record a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time it was closed. Transactions in
futures contracts require participants to make both initial margin deposits of cash or other assets
and variation margin deposits directly with the exchange on which the contracts are traded. Net
realized gains (losses) and changes in net unrealized gains (losses) on futures contracts are
included in the Statements of Income and Expenses and Changes in Partners Capital.
17
Emerging CTA Portfolio L.P.
Notes to Financial Statements
June 30, 2011
(Unaudited)
June 30, 2011
(Unaudited)
Forward Foreign Currency Contracts. Foreign currency contracts are those contracts where the
Partnership and the Funds agree to receive or deliver a fixed quantity of foreign currency for an
agreed-upon price on an agreed future date. Foreign currency contracts are valued daily, and the
Partnerships and Funds net equity therein, representing unrealized gain or loss on the contracts
as measured by the difference between the forward foreign exchange rates at the dates of entry into
the contracts and the forward rates at the reporting date, is included in the Statements of
Financial Condition. Net realized gains (losses) and changes in net unrealized gains (losses) on
foreign currency contracts are recognized in the period in which the contract is closed or the
changes occur and are included in the Statements of Income and
Expenses and Changes in Partners
Capital.
The
Partnership and the Funds do not isolate the portion of the results of operations arising
from the effect of changes in foreign exchange rates on investments from fluctuations from changes
in market prices of investments held. Such fluctuations are included in net gain (loss) on
investments in the Statements of Income and Expenses and Changes in Partners Capital.
London Metals Exchange Forward Contracts. Metal contracts traded on the London Metals Exchange
(LME) represent a firm commitment to buy or sell a specified quantity of aluminum, copper, lead,
nickel, tin or zinc. LME contracts traded by the Partnership and the Funds are cash settled based
on prompt dates published by the LME. Payments (variation margin) may be made or received by the
Partnership and the Funds each business day, depending on the daily fluctuations in the value of
the underlying contracts, and are recorded as unrealized gains or losses by the Partnership and the
Funds. A contract is considered offset when all long positions have been matched with a like number
of short positions settling on the same prompt date. When the contract is closed at the prompt
date, the Partnership and the Funds record a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time it was closed.
Transactions in LME contracts require participants to make both initial margin deposits of cash or
other assets and variation margin deposits, through the broker, directly with the LME. Net realized
gains (losses) and changes in net unrealized gains (losses) on metal contracts are included in the
Statements of Income and Expenses and Changes in Partners Capital.
Options.
The Partnership/Funds may purchase and write (sell) both exchange listed and OTC
options on commodities or financial instruments. An option is a contract allowing, but not
requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial
instrument at a specified price during a specified time period. The option premium is the total
price paid or received for the option contract. When the Partnership/Funds write an option, the
premium received is recorded as a liability in the Statements of Financial Condition and marked to
market daily. When the Partnership/Funds purchase an option, the premium paid is recorded as an
asset in the Statements of Financial Condition and marked to market daily. Net realized gains
(losses) and changes in net unrealized gains (losses) on options contracts are included in the
Statements of Income and Expenses and Changes in Partners Capital.
Income Taxes. Income taxes have not been provided as each partner is individually liable for
the taxes, if any, on its share of the Partnerships income and expenses.
GAAP provides guidance for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements and 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 concluded that no provision for income tax is required in the Partnerships
financial statements.
The Partnership files U.S. federal and various state and local tax returns. No income tax
returns are currently under examination. Generally, the 2007 through 2010 tax years remain subject
to examination by U.S. federal and most state tax authorities. Management does not believe that
there are any uncertain tax positions that require recognition of a tax liability.
Subsequent
Events. The General Partner evaluates events that occur after the balance
sheet date but before financial statements are filed. The General Partner has assessed the subsequent events
through the date of filing and has determined that there were no subsequent events requiring
adjustment of or disclosure in the financial statements.
Recent
Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board
(FASB) issued Accounting Standards Update (ASU ) 2011-04, Amendments to Achieve Common Fair
Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting
Standards ( IFRS). The amendments within this ASU change the wording used to describe many of
the requirements in U.S. GAAP for measuring fair value and for disclosing information about fair
value measurements to eliminate unnecessary wording differences
between U.S. GAAP and IFRS. However,
some of the amendments clarify the FASBs intent about the application of existing fair value
measurement requirements and other amendments change a particular principle or requirement for
measuring fair value or for disclosing information about fair value measurements. The ASU is
effective for annual and interim periods beginning after December 15, 2011 for public entities.
This new guidance is not expected to have a material impact on the Partnerships financial
statements.
Net Income (Loss) per unit. Net income (loss) per unit is calculated in accordance with
investment company guidance. See Note 2, Financial Highlights.
18
Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
Liquidity and Capital Resources
The Partnership does not engage in sales of goods or services. Its assets are its (i)
investment in the Funds, (ii) equity in its trading account,
consisting of cash and cash equivalents, net unrealized
appreciation on open futures contracts and open forward contracts,
and (iii) interest receivable. Because of the low margin
deposits normally required in commodity futures
trading, relatively small price movements may result in substantial losses to the Partnership,
through its direct investments and investment in the Funds. While substantial losses could lead to
a material decrease in liquidity, no such illiquidity occurred in the
second quarter of 2011.
The Partnerships capital consists of the capital contributions of the partners as increased
or decreased by net realized and/or unrealized gains or losses on trading and by expenses, interest
income, subscriptions, redemptions of Redeemable Units and distributions of profits, if any.
For the six months ended June 30, 2011, Partnership capital increased 8.1% from $183,525,601
to $198,353,220. This increase was attributable to the subscriptions of 23,693.4036 Redeemable
Units totaling $34,563,484 and 136.3280 General Partner unit equivalents totaling $200,000, which
was partially offset by a net loss from operations of $5,218,130 coupled with the redemption of
10,143.2188 Redeemable Units resulting in an outflow of $14,717,735. Future redemptions can impact
the amount of funds available for investment in commodity contract positions in subsequent periods.
Critical Accounting Policies
The preparation of financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial statements and the
reported amounts of income and expense during the reporting period. Management believes that the
estimates utilized in preparing the financial statements are reasonable. Actual results could
differ from those estimates. The Partnerships significant accounting policies are described in
detail in Note 7 of the Financial Statements.
The Partnership records all investments at fair value in its financial statements, with
changes in fair value reported as a component of net realized gains
(losses) and change in net unrealized
gains (losses) in the Statements of Income and Expenses and Changes in Partners Capital.
Results of Operations
During the Partnerships second quarter of 2011, the net asset value per unit increased 0.1%
from $1,439.23 to $1,440.22 as compared to a decrease of 2.7% in the second quarter of 2010. The
Partnership experienced a net trading gain before brokerage fees and related fees in the second
quarter of 2011 of $3,710,212. Gains were primarily attributable to the Partnership/Funds trading
of commodity futures in currencies, energy, U.S. interest rates,
livestock and metals, and were
partially offset by losses in grains, indices, non-U.S. interest rates and softs. The Partnership
experienced a net trading loss before brokerage fees and related fees in the second quarter of 2010
of $1,719,221. Losses were primarily attributable to the Partnership/Funds trading of commodity
futures in currencies, energy, grains, livestock, metals, softs and
indices, and were partially
offset by gains in U.S. and non-U.S. interest rates.
During
the second quarter the most significant gains were recorded within the
global interest rate sector, primarily during May, from long positions in U.S. fixed-income
futures as prices increased following reports that showed the U.S. economy grew less than
forecast and U.S. jobless claims unexpectedly rose, thereby boosting demand for the relative
safety of government bonds. Within the currency sector, gains were primarily recorded in
April. The U.S. dollar index experienced its largest monthly decline since September of last
year as Federal Reserve Chairman Bernanke maintained an accommodative stance in the U.S.,
while the European Central Bank raised interest rates to fight inflation. Additional
downward pressure came in the form of an S&P downgrade, mid-month, to the U.S. long-term
credit outlook. As a result, profits were recorded in short U.S. dollar positions against
commodity-linked currencies, such as the Australian dollar and New Zealand dollar. Gains
were also recorded in trading developed market currencies, such as the British pound, Swiss
franc and euro, as well as emerging market currencies, such as the Brazilian real and
Mexican peso. Within the metals sector, gains were recorded in precious metals, particularly
silver, as prices reached a 31- year high.
A portion of the Partnerships gains during the quarter was offset by losses in global stock
indices and agricultural commodities. Within the global stock index sector, losses were
incurred primarily in May from long positions in European, U.S., and Pacific Rim equity
index futures as prices declined after worse-than-expected economic reports and mounting
worries over the European debt crisis stoked concern the global economic recovery is
faltering. Within the agricultural complex, losses were recorded primarily in April from
long positions in cotton futures as prices declined to a three-month low on concern demand
may slow from China, the worlds biggest buyer of the fiber. Additional losses were
experienced during June from long positions in wheat futures as prices fell on speculation
that warm weather would aid U.S. crops.
During the Partnerships six months ended June 30, 2011, the net asset value per unit
decreased 2.6% from $1,479.60 to $1,440.22 as compared to a decrease of 2.5% in the six months
ended June 30, 2010. The Partnership experienced a net trading gain before brokerage fees and
related fees in the six months ended June 30, 2011 of $1,751,145. Gains were primarily attributable
to the Partnership/Funds trading of commodity futures in currencies, energy, grains, U.S. interest
rates, livestock and metals, and were partially offset by losses in indices, non-U.S. interest rates
and softs. The Partnership experienced a net trading gain before brokerage fees and related fees in
the six months ended June 30, 2010 of $1,640,616. Gains were primarily attributable to the
Partnership/Funds trading of commodity futures in energy and U.S. and non-U.S. interest rates and
were partially offset by losses in currencies, grains, livestock, metals, softs and indices.
19
Commodity futures markets are highly volatile. Broad price fluctuations and rapid inflation
increase the risks involved in commodity trading, but also increases the possibility of profit. The
profitability of the Partnership/Funds depends on the existence of major price trends and the
ability of the Advisors to correctly identify those price trends. Price trends are influenced by,
among other things, changing supply and demand relationships, weather, governmental, agricultural,
commercial and trade programs and policies, national and international political and economic
events, and changes in interest rates. To the extent that market trends exist and the Advisors are
able to identify them, the Partnership expects to increase capital through operations.
Interest
income is earned on 100% of the Partnerships average daily
equity maintained in cash in its (or the Partnerships allocable portion of a Funds) account during each month at the 30-day
U.S. Treasury bill rate determined weekly by CGM based on the average noncompetitive yield on
3-month U.S. Treasury bills maturing in 30 days from the date on which such weekly rate is
determined. Interest income for the three and six months ended June 30,
2011 decreased by $43,256 and $22,243, respectively, as
compared to the corresponding periods in 2010. The decrease in
interest income is due to lower U.S. Treasury bill rates during the
three and six months ended June 30, 2011
as compared to the corresponding periods in 2010. Interest earned by the Partnership will increase
the net asset value of the Partnership.
The amount of interest income earned by the Partnership and the Funds depends on the average daily
equity in the Partnerships/Funds account and upon interest rates over which neither the
Partnership/Funds nor CGM has control.
Brokerage fees are calculated as a percentage of the Partnerships adjusted net asset value on
the last day of each month and are affected by trading performance, subscriptions and redemptions.
Brokerage fees for the three and six months ended June 30, 2011
increased by $408,890 and $758,453, respectively, as compared to the
corresponding periods in 2010. The increase in brokerage fees is due to higher average net
assets during the three and six months ended June 30, 2011 as
compared to the corresponding periods in
2010.
Management fees are calculated as a percentage of the Partnerships adjusted net asset value
on the last day of each month and are affected by trading performance, subscriptions and
redemptions. Management fees for the three and six months ended June 30,
2011 increased by $26,516 and $42,599, respectively, as
compared to the corresponding periods in 2010. The increase in management fees is due to higher
average net assets during the three and six months ended June 30, 2011 as compared to the corresponding
periods in 2010.
Administrative fees are paid to the General Partner for administering the business and affairs
of the Partnership. These fees are calculated as a percentage of the Partnerships adjusted net
asset value on the last day of each month and are affected by trading performance, subscriptions
and redemptions. Administrative fees for the three and six months
ended June 30, 2011 increased by
$48,018 and $79,020, respectively, as compared to the corresponding
periods in 2010. The increase in administrative fees is
due to higher average net assets during the three and six months
ended June 30, 2011 as compared to the
corresponding periods in 2010.
Incentive fees paid by the Partnership to the Advisors are based on the new trading profits
generated by each Advisor at the end of the quarter, as defined in the management agreements among
the Partnership, the General Partner and each Advisor. Trading
performance for the three and six months ended
June 30, 2011 resulted in incentive fees of $156,846 and
$276,307, respectively. Trading performance for the three months
ended June 30, 2010, resulted in incentive fee reversal of
($67,482). Trading performance for the six months ended June 30, 2010
resulted in incentive fees of $48,096.
In allocating the assets of the Partnership among the Advisors, the General Partner conducts
proprietary research and considers the background of the Advisors principals, as well as the
Advisors trading styles, strategies and markets traded, expected volatility, trading results (to
the extent available) and fee requirements. The General Partner may modify or terminate the
allocation of assets among the Advisors and may allocate assets to additional advisors at any time.
20
Item 3. Quantitative and Qualitative Disclosures about Market Risk
The Partnership/Funds are speculative commodity pools. The market sensitive instruments held
by them are acquired for speculative trading purposes, and all or substantially all of the
Partnerships/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.
The risk to the Limited Partners that have purchased interests in the Partnership is limited
to the amount of their capital contributions to the Partnership and their share of the
Partnerships assets and undistributed profits. This limited
liability is a result of the
organization of the Partnership as a limited partnership under applicable law.
Market movements result in frequent changes in the fair value of the Partnerships/Funds open
positions and, consequently, in their earnings and cash balances. The Partnerships/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 Partnerships/Funds open contracts and the liquidity of the
markets in which they trade.
The Partnership/Funds 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 particular future
market scenario will affect performance, and the Partnerships/Funds past performance is not
necessarily indicative of their future results.
Value at Risk is a measure of the maximum amount which the Partnership/Funds could
reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the
Partnerships/Funds speculative trading and the recurrence in the markets traded by the
Partnership/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 Partnerships/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 Partnerships/Funds losses in
any market sector will be limited to Value at Risk or by the Partnerships/Funds attempts to
manage their market risk.
Exchange maintenance margin requirements have been used by the Partnership/Funds as the
measure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or
exceed the maximum losses reasonably expected to be incurred in the fair value of any given
contract in 95%-99% of any one-day interval. Maintenance margin has been used rather than the more
generally available initial margin, because initial margin includes a credit risk component, which
is not relevant to Value at Risk.
Value at Risk tables represent a probabilistic assessment of the risk of loss in market risk
sensitive instruments. Some of the Partnerships Advisors currently trade the Partnerships assets
indirectly in master fund managed accounts over which they have been granted limited authority to
make trading decisions. Other Advisors directly trade managed accounts in the Partnerships name.
The first two trading Value at Risk tables reflect the market sensitive instruments held by the
Partnership directly and through its investments in the Funds. The remaining trading Value at Risk
tables reflect the market sensitive instruments held by the Partnership directly (i.e., in the
managed accounts in the Partnerships name) and indirectly by
each Fund separately. There has been no material change in
the trading Value at Risk information previously disclosed in the Partnerships Annual Report on
Form 10-K for the year ended December 31, 2010.
The following tables indicate the trading Value at Risk associated with the Partnerships open
positions by market category as of June 30, 2011 and
December 31, 2010. As of June 30, 2011, the
Partnerships total capitalization was $198,353,220.
June 30, 2011
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 4,621,859 | 2.33 | % | ||||
Energy |
1,877,892 | 0.95 | % | |||||
Grains |
407,598 | 0.21 | % | |||||
Indices |
3,063,339 | 1.54 | % | |||||
Interest Rates U.S. |
1,423,979 | 0.72 | % | |||||
Interest Rates Non-U.S. |
2,611,951 | 1.32 | % | |||||
Livestock |
456,610 | 0.23 | % | |||||
Lumber |
637,091 | 0.32 | % | |||||
Metals |
1,094,970 | 0.55 | % | |||||
Softs |
364,245 | 0.18 | % | |||||
Total |
$ | 16,559,534 | 8.35 | % | ||||
21
As of December 31, 2010, the Partnerships total capitalization was $183,525,601.
December 31, 2010
% of Total | ||||||||
Market Sector | Value at Risk | Capitalization | ||||||
Currencies |
$ | 3,742,488 | 2.05 | % | ||||
Energy |
3,712,642 | 2.02 | % | |||||
Grains |
610,757 | 0.33 | % | |||||
Indices |
3,061,953 | 1.67 | % | |||||
Interest Rates U.S. |
653,137 | 0.36 | % | |||||
Interest Rates Non-U.S. |
1,216,750 | 0.66 | % | |||||
Livestock |
268,789 | 0.15 | % | |||||
Lumber |
1,435 | 0.00 | %* | |||||
Metals |
1,427,354 | 0.78 | % | |||||
Softs |
756,573 | 0.41 | % | |||||
Total |
$ | 15,451,878 | 8.43 | % | ||||
* | Due to rounding |
The following tables indicate the trading Value at Risk associated with the Partnerships
direct investments and through its investments in the Funds by market
category as of June 30, 2011
and December 31, 2010, the highest, lowest and average values
during the three months ended June 30, 2011 and the twelve months ended December 31, 2010. All open contracts trading risk exposures
have been included in calculating the figures set forth below.
As
of June 30, 2011, the Partnerships Value at Risk for the portion of its assets that are
traded directly was as follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
Value at | % of Total | High | Low | Average Value | ||||||||||||||||
Market Sector | Risk | Capital | Value at Risk | Value at Risk | at Risk* | |||||||||||||||
Currencies |
$ | 2,667,334 | 1.34 | % | $ | 3,016,047 | $ | 1,288,708 | $ | 2,139,800 | ||||||||||
Energy |
503,640 | 0.25 | % | 760,881 | 276,025 | 464,379 | ||||||||||||||
Grains |
100,031 | 0.05 | % | 502,648 | 81,740 | 183,263 | ||||||||||||||
Indices |
1,243,729 | 0.63 | % | 1,630,373 | 732,387 | 985,071 | ||||||||||||||
Interest Rates U.S. |
755,644 | 0.38 | % | 1,040,492 | 595,822 | 884,648 | ||||||||||||||
Interest Rates Non-U.S. |
933,233 | 0.47 | % | 942,076 | 548,535 | 763,296 | ||||||||||||||
Livestock |
130,050 | 0.07 | % | 181,100 | 28,500 | 106,758 | ||||||||||||||
Metals |
267,982 | 0.13 | % | 2,138,330 | 120,975 | 517,314 | ||||||||||||||
Softs |
151,405 | 0.08 | % | 867,645 | 144,455 | 245,211 | ||||||||||||||
Total |
$ | 6,753,048 | 3.40 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
As of December 31, 2010, the Partnerships Value at Risk for the portion of its assets that
are traded directly was as follows:
December 31, 2010
Twelve months ended December 31, 2010 | ||||||||||||||||||||
Value at | % of Total | High | Low | Average Value | ||||||||||||||||
Market Sector | Risk | Capital | Value at Risk | Value at Risk | at Risk* | |||||||||||||||
Currencies |
$ | 1,070,681 | 0.58 | % | $ | 8,643,224 | $ | 1,620,748 | $ | 2,949,106 | ||||||||||
Energy |
756,948 | 0.41 | % | 1,430,685 | 440,556 | 761,191 | ||||||||||||||
Grains |
318,900 | 0.17 | % | 738,061 | 180,375 | 346,994 | ||||||||||||||
Indices |
1,200,793 | 0.66 | % | 2,979,873 | 798,017 | 1,950,676 | ||||||||||||||
Interest Rates U.S. |
499,400 | 0.27 | % | 1,930,750 | 288,485 | 942,116 | ||||||||||||||
Interest Rates Non-U.S. |
571,973 | 0.31 | % | 3,055,102 | 281,406 | 1,478,558 | ||||||||||||||
Livestock |
145,900 | 0.08 | % | 268,450 | 32,850 | 111,777 | ||||||||||||||
Metals |
779,984 | 0.43 | % | 1,077,058 | 286,188 | 619,746 | ||||||||||||||
Softs |
476,838 | 0.26 | % | 690,412 | 192,635 | 402,287 | ||||||||||||||
Total |
$ | 5,821,417 | 3.17 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk. |
22
As
of June 30, 2011, Altis Masters total capital was
$103,869,373. The Partnership owned
approximately 4.7% of Altis Master. As of June 30, 2011, Altis Masters Value at Risk for its
assets (including the portion of the Partnerships assets allocated to Altis for trading) was as
follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capital | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 2,577,430 | 2.48 | % | $ | 4,043,859 | $ | 1,499,893 | $ | 2,914,230 | ||||||||||
Energy |
1,327,961 | 1.28 | % | 2,954,905 | 374,821 | 1,279,237 | ||||||||||||||
Grains |
519,081 | 0.50 | % | 1,290,740 | 326,477 | 656,920 | ||||||||||||||
Indices |
1,616,300 | 1.56 | % | 4,865,066 | 719,883 | 2,328,540 | ||||||||||||||
Interest Rates U.S. |
480,200 | 0.46 | % | 1,007,400 | 445,650 | 617,058 | ||||||||||||||
Interest Rates Non -U.S. |
1,700,061 | 1.64 | % | 1,814,978 | 535,752 | 1,269,522 | ||||||||||||||
Livestock |
150,410 | 0.14 | % | 244,350 | 52,475 | 115,828 | ||||||||||||||
Lumber |
27,000 | 0.03 | % | 69,000 | 13,500 | 25,500 | ||||||||||||||
Metals |
1,229,811 | 1.18 | % | 2,447,050 | 644,520 | 1,129,073 | ||||||||||||||
Softs |
778,782 | 0.75 | % | 1,748,653 | 495,644 | 1,024,497 | ||||||||||||||
Total |
$ | 10,407,036 | 10.02 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
As of December 31, 2010, Altis Masters total capital was $63,685,511. The Partnership owned
approximately 27.6% of Altis Master. As of December 31, 2010, Altis Masters Value at Risk for
its assets (including the portion of the Partnerships assets allocated to Altis for trading) was
as follows:
December 31, 2010
Twelve months ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capital | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 3,113,522 | 4.89 | % | $ | 3,481,070 | $ | 143,363 | $ | 2,231,735 | ||||||||||
Energy |
1,077,195 | 1.69 | % | 2,479,469 | 236,868 | 1,086,124 | ||||||||||||||
Grains |
483,876 | 0.76 | % | 915,463 | 136,257 | 435,755 | ||||||||||||||
Indices |
1,251,469 | 1.97 | % | 7,740,340 | 220,942 | 2,503,689 | ||||||||||||||
Interest Rates U.S. |
191,408 | 0.30 | % | 1,193,750 | 110,116 | 570,835 | ||||||||||||||
Interest Rates Non -U.S. |
733,663 | 1.15 | % | 1,849,973 | 183,212 | 1,000,258 | ||||||||||||||
Livestock |
107,232 | 0.17 | % | 170,400 | 22,320 | 82,718 | ||||||||||||||
Lumber |
5,200 | 0.01 | % | 27,500 | 1,100 | 9,287 | ||||||||||||||
Metals |
1,079,175 | 1.69 | % | 2,589,641 | 241,177 | 1,152,447 | ||||||||||||||
Softs |
747,574 | 1.17 | % | 937,879 | 199,670 | 499,464 | ||||||||||||||
Total |
$ | 8,790,314 | 13.80 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk. |
23
As of December 31, 2010, Sasco Masters total capital was $81,683,630. The Partnership owned
approximately 22.8% of Sasco Master. As of December 31, 2010, Sasco Masters Value at Risk for
its assets (including the portion of the Partnerships assets allocated to Sasco for trading) was
as follows:
December 31, 2010
Twelve months ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Energy |
$ | 9,618,175 | 11.77 | % | $ | 16,002,038 | $ | 2,149,045 | $ | 10,344,808 | ||||||||||
Total |
$ | 9,618,175 | 11.77 | % | ||||||||||||||||
* | Annual average of month-end Values at Risk. |
As
of June 30, 2011, Waypoint Masters total capitalization
was $37,963,728. The Partnership
owned approximately 49.8% of Waypoint Master. As of June 30, 2011, Waypoint Masters Value at
Risk for its assets (including the portion of the Partnerships assets allocated to Waypoint for
trading) was as follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 1,978,315 | 5.21 | % | $ | 10,317,436 | $ | 381,280 | $ | 6,777,194 | ||||||||||
Energy |
46,750 | 0.12 | % | 112,500 | 42,500 | 51,875 | ||||||||||||||
Grains |
40,250 | 0.11 | % | 111,500 | 19,250 | 75,875 | ||||||||||||||
Indices |
1,040,966 | 2.74 | % | 1,280,802 | 200,908 | 648,984 | ||||||||||||||
Interest Rates U.S. |
26,000 | 0.07 | % | 591,250 | 26,000 | 367,367 | ||||||||||||||
Interest Rates Non-U.S. |
697,203 | 1.84 | % | 1,537,795 | 78,185 | 821,745 | ||||||||||||||
Metals |
142,500 | 0.37 | % | 170,512 | 40,500 | 156,506 | ||||||||||||||
Softs |
37,800 | 0.10 | % | 105,300 | 37,800 | 62,100 | ||||||||||||||
Total |
$ | 4,009,784 | 10.56 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
As of December 31, 2010, Waypoint Masters total capitalization was $41,247,646. The
Partnership owned approximately 52.0% of Waypoint Master. As of December 31, 2010, Waypoint
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Waypoint for trading) was as follows:
December 31, 2010
For the period ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 1,878,430 | 4.55 | % | $ | 11,817,974 | $ | 633,809 | $ | 5,198,266 | ||||||||||
Indices |
901,236 | 2.18 | % | 1,613,660 | 100,993 | 790,428 | ||||||||||||||
Metals |
80,750 | 0.20 | % | 216,436 | 31,500 | 66,207 | ||||||||||||||
Total |
$ | 2,860,416 | 6.93 | % | ||||||||||||||||
* | For the period March 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Values at Risk. |
24
As of June 30, 2011, PGR Masters total capitalization was $31,425,765. The Partnership owned
approximately 77.7% of PGR Master. As of June 30, 2011, PGR Masters Value at Risk for its
assets (including the portion of the Partnerships assets allocated to PGR for trading) was as
follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 160,222 | 0.51 | % | $ | 215,746 | $ | 136,005 | $ | 169,091 | ||||||||||
Energy |
210,298 | 0.67 | % | 343,619 | 154,095 | 251,494 | ||||||||||||||
Grains |
43,612 | 0.14 | % | 93,250 | 37,750 | 67,454 | ||||||||||||||
Indices |
464,495 | 1.48 | % | 823,818 | 451,440 | 624,393 | ||||||||||||||
Interest Rates U.S. |
271,600 | 0.86 | % | 393,800 | 234,600 | 299,075 | ||||||||||||||
Interest Rates Non -U.S. |
793,338 | 2.52 | % | 793,338 | 429,966 | 603,584 | ||||||||||||||
Livestock |
1,200 | 0.00 | %** | 10,800 | 1,200 | 4,400 | ||||||||||||||
Metals |
132,500 | 0.42 | % | 220,971 | 77,258 | 133,010 | ||||||||||||||
Softs |
95,865 | 0.31 | % | 108,860 | 61,317 | 83,750 | ||||||||||||||
Total |
$ | 2,173,130 | 6.91 | % | ||||||||||||||||
* | Average of month-end Values at Risk. | |
** | Due to rounding. |
As of December 31, 2010, PGR Masters total capitalization was $20,386,581. The Partnership
owned approximately 74.9% of PGR Master. As of December 31, 2010, PGR Masters Value at Risk
for its assets (including the portion of the Partnerships assets allocated to PGR for trading) was
as follows:
December 31, 2010
For the period ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 183,120 | 0.90 | % | $ | 183,120 | $ | 103,066 | $ | 154,058 | ||||||||||
Energy |
252,600 | 1.24 | % | 252,600 | 107,024 | 195,337 | ||||||||||||||
Grains |
111,250 | 0.54 | % | 111,250 | 43,750 | 83,625 | ||||||||||||||
Indices |
617,024 | 3.03 | % | 621,232 | 385,104 | 524,198 | ||||||||||||||
Interest Rates U.S. |
80,800 | 0.40 | % | 141,150 | 66,450 | 81,150 | ||||||||||||||
Interest Rates Non-U.S. |
180,603 | 0.89 | % | 265,434 | 135,161 | 161,976 | ||||||||||||||
Livestock |
10,000 | 0.05 | % | 11,000 | 6,000 | 9,500 | ||||||||||||||
Metals |
162,000 | 0.79 | % | 162,000 | 69,500 | 125,875 | ||||||||||||||
Softs |
98,003 | 0.48 | % | 109,657 | 57,757 | 89,793 | ||||||||||||||
Total |
$ | 1,695,400 | 8.32 | % | ||||||||||||||||
* | For the period November 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Values at Risk. |
As of June 30, 2011, Blackwater Masters total capitalization was $34,744,786. The
Partnership owned approximately 81.3% of Blackwater Master. As of June 30, 2011, Blackwater
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Blackwater for trading) was as follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 890,150 | 2.56 | % | $ | 1,876,683 | $ | 890,150 | $ | 1,011,517 | ||||||||||
Energy |
446,336 | 1.28 | % | 868,462 | 19,250 | 175,945 | ||||||||||||||
Grains |
84,000 | 0.24 | % | 141,000 | 42,000 | 73,500 | ||||||||||||||
Indices |
1,063,136 | 3.06 | % | 1,607,842 | 541,808 | 952,159 | ||||||||||||||
Interest Rates U.S. |
518,800 | 1.49 | % | 969,300 | 219,050 | 480,350 | ||||||||||||||
Interest Rates Non -U.S. |
781,285 | 2.25 | % | 807,320 | 330,533 | 571,484 | ||||||||||||||
Metals |
279,849 | 0.81 | % | 758,876 | 279,843 | 505,780 | ||||||||||||||
Softs |
102,000 | 0.30 | % | 119,000 | 102,000 | 102,000 | ||||||||||||||
Total |
$ | 4,165,556 | 11.99 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
25
As of December 31, 2010, Blackwater Masters total capitalization was $25,938,011. The
Partnership owned approximately 77.3% of Blackwater Master. As of December 31, 2010, Blackwater
Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated
to Blackwater for trading) was as follows:
December 31, 2010
For the period ended December 31, 2010 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Currencies |
$ | 903,667 | 3.48 | % | $ | 903,667 | $ | 577,300 | $ | 765,383 | ||||||||||
Energy |
357,370 | 1.38 | % | 508,250 | 184,174 | 350,610 | ||||||||||||||
Grains |
97,000 | 0.37 | % | 97,000 | 30,000 | 48,500 | ||||||||||||||
Indices |
756,741 | 2.92 | % | 1,256,105 | 756,741 | 941,241 | ||||||||||||||
Interest Rates U.S. |
52,250 | 0.20 | % | 171,550 | 14,700 | 33,475 | ||||||||||||||
Interest Rates Non-U.S. |
397,172 | 1.53 | % | 445,693 | 86,447 | 358,644 | ||||||||||||||
Livestock |
111,000 | 0.43 | % | 111,000 | 40,000 | 97,000 | ||||||||||||||
Metals |
240,867 | 0.93 | % | 346,947 | 240,866 | 283,148 | ||||||||||||||
Total |
$ | 2,916,067 | 11.24 | % | ||||||||||||||||
* | For the period November 1, 2010 (commencement of trading operations) to December 31, 2010 average of month-end Values at Risk. |
As
of June 30, 2011, JEM Masters total capitalization was
$36,275,734. The Partnership owned
approximately 65.7% of JEM Master. As of June 30, 2011, JEM Masters Value at Risk for its
assets (including the portion of the Partnerships assets allocated to JE Moody for trading) was as
follows:
June 30, 2011
Three months ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Energy |
$ | 1,496,250 | 4.12 | % | $ | 4,614,951 | $ | 666,200 | $ | 1,969,681 | ||||||||||
Grains |
74,925 | 0.21 | % | 155,275 | 8,250 | 51,175 | ||||||||||||||
Livestock |
562,050 | 1.55 | % | 562,050 | 107,600 | 296,333 | ||||||||||||||
Softs |
54,150 | 0.15 | % | 658,900 | 35,700 | 142,883 | ||||||||||||||
Total |
$ | 2,187,375 | 6.03 | % | ||||||||||||||||
* | Average of month-end Values at Risk. |
As of June 30, 2011, Flintlock Masters total capitalization was $25,731,487. The Partnership owned approximately 85.0% of Flintlock Master. As
of June 30, 2011, Flintlock Masters Value at Risk for its assets (including the portion of the Partnerships assets allocated to Flintlock for trading)
was as follows:
June 30, 2011
For the period ended June 30, 2011 | ||||||||||||||||||||
% of Total | High | Low | Average | |||||||||||||||||
Market Sector | Value at Risk | Capitalization | Value at Risk | Value at Risk | Value at Risk* | |||||||||||||||
Energy |
$ | 896,804 | 3.49 | % | $ | 1,601,607 | $ | 310,811 | $ | 1,119,882 | ||||||||||
Grains |
189,350 | 0.73 | % | 385,300 | 177,050 | 247,700 | ||||||||||||||
Livestock |
374,775 | 1.46 | % | 374,775 | 129,225 | 290,863 | ||||||||||||||
Metals |
748,026 | 2.91 | % | 1,902,789 | 245,084 | 743,576 | ||||||||||||||
Softs |
432,650 | 1.68 | % | 471,650 | 96,650 | 394,850 | ||||||||||||||
Total |
$ | 2,641,605 | 10.27 | % | ||||||||||||||||
* | For the period May 1, 2011 (commencement of trading operations) to June 30, 2011 average of month-end Values at Risk. |
26
Item 4. Controls and Procedures
The Partnerships disclosure controls and procedures are designed to ensure that information
required to be disclosed by the Partnership on the reports that it files or submits under the
Securities Exchange Act of 1934, as amended (the Exchange
Act), is recorded, processed, summarized and
reported within the time periods expected in the SECs rules and forms. Disclosure controls and
procedures include controls and procedures designed to ensure that information required to be
disclosed by the Partnership in the reports it files is accumulated and communicated to management,
including the Chief Executive Officer (the CEO) and Chief Financial Officer (the CFO) of the
General Partner, to allow for timely decisions regarding required disclosure and appropriate SEC
filings.
The
General Partner is responsible for ensuring that there is an adequate and effective process for
establishing, maintaining and evaluating disclosure controls and procedures for the Partnerships
external disclosures.
The General Partners CEO and CFO have evaluated the effectiveness of the Partnerships
disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange
Act) as of June 30, 2011 and, based on that evaluation, the General Partners CEO and CFO have
concluded that, at that date, the Partnerships disclosure controls and procedures were effective.
The Partnerships internal control over financial reporting is a process under the supervision
of the General Partners CEO and CFO to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements in accordance with GAAP. These
controls include policies and procedures that:
| pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Partnership; | ||
| provide reasonable assurance that (i) transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and (ii) the Partnerships receipts are handled and expenditures are made only pursuant to authorizations of the General Partner; and | ||
| provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Partnerships assets that could have a material effect on the financial statements. |
There were no changes in the Partnerships internal control over financial reporting process
during the fiscal quarter ended June 30, 2011 that materially affected, or are reasonably likely
to materially affect, the Partnerships internal control over financial reporting.
27
PART II. OTHER INFORMATION
Item 1. Legal Proceedings
There are no material
changes to the discussion set forth under Part I, Item 3, Legal Proceedings in the Partnerships Annual Report
on Form 10-K for the fiscal year ended December 31, 2010, as updated by the Partnerships Quarterly Report on Form
10-Q for the quarter ended March 31, 2011.
28
Item 1A. Risk Factors
There have been no material changes to the risk factors set forth under Part I, Item 1A. Risk
Factors in the Partnerships Annual Report on Form 10-K for the fiscal year ended December 31,
2010 and under Part II, Item 1A. Risk Factors in the
Partnerships Quarterly Report ended March 31, 2011.
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
For
the three months ended June 30, 2011 there were subscriptions
of 9,605.6211 Redeemable Units totaling $13,957,373 and
136.3280 General Partner unit equivalents totaling $200,000. The Redeemable Units were issued in
reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of
1933, as amended, and Section 506 of Regulation D promulgated thereunder.
Proceeds from the sale of additional Redeemable Units are used in the trading of commodity
interests including futures contracts, options, forwards and swap contracts.
The Redeemable Units were purchased by accredited investors as defined in Regulation D. The
following chart sets forth the purchases of Redeemable Units by the Partnership.
(d) Maximum Number |
||||||||||||||||||||
(or Approximate |
||||||||||||||||||||
(c) Total Number |
Dollar Value) of |
|||||||||||||||||||
(a) Total |
of Redeemable Units |
Redeemable Units that |
||||||||||||||||||
Number of |
(b) Average |
Purchased as Part |
May Yet Be |
|||||||||||||||||
Redeemable |
Price Paid per |
of Publicly Announced |
Purchased Under the |
|||||||||||||||||
Period | Units Purchased* | Redeemable Unit** | Plans or Programs | Plans or Programs | ||||||||||||||||
April 1, 2011 -
April 30, 2011 |
1,171.7335 | $ | 1,501.65 | N/A | N/A | |||||||||||||||
May 1, 2011 -
May 31, 2011 |
335.4952 | $ | 1,467.05 | N/A | N/A | |||||||||||||||
June 1, 2011 -
June 30, 2011 |
4,872.5775 | $ | 1,440.22 | N/A | N/A | |||||||||||||||
6,379.8062 | $ | 1,452.91 | ||||||||||||||||||
* | Generally, Limited Partners are permitted to redeem their Redeemable Units as of the last day of each month on three business days notice to the General Partner. Under certain circumstances, the General Partner can compel redemption, although to date the General Partner has not exercised this right. Purchases of Redeemable Units by the Partnership reflected in the chart above were made in the ordinary course of the Partnerships business in connection with effecting redemptions for limited partners. | |
** | Redemptions of Redeemable Units are effected as of the last day of each month at the net asset value per Redeemable Unit as of that day. No fee will be charged for redemptions. |
Item 3. Defaults Upon Senior Securities. None.
Item 4. [Removed and Reserved].
Item 5. Other Information. None.
29
Item 6. Exhibits
3.1(a)
|
Certificate of Limited Partnership dated June 30, 2003 (filed as Exhibit 3.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
(b)
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 21, 2005 (filed as Exhibit 3.1(a) to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
(c)
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 19, 2008 (filed as Exhibit 3.1(c) to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |
(d)
|
Certificate of Amendment of the Certificate of Limited Partnership dated September 28, 2009 (filed as Exhibit 99.1 to the Current Report on Form 8-K filed on September 30, 2009 and incorporated herein by reference). | |
(e)
|
Certificate of Amendment of the Certificate of Limited Partnership dated June 30, 2010 (filed as Exhibit 3.1(e) to the Current Report on Form 8-K filed on July 2, 2010 and incorporated herein by reference). | |
3.2
|
Second Amended and Restated Limited Partnership Agreement (filed as Exhibit 3.2 to the Current Report on Form 8-K filed on November 1, 2010 and incorporated herein by reference). | |
10.1(a)
|
Management Agreement among the Partnership, the General Partner and Altis (filed as Exhibit 10.1 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
(b)
|
Letter from the General Partner to Altis extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.1(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference). | |
10.2(a)
|
Management Agreement among the Partnership, the General Partner and Fall River Capital LLC (filed as Exhibit 10.2 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
(b)
|
Letter from the General Partner to Fall River Capital LLC extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.2(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference). | |
10.3(a)
|
Management Agreement among the Partnership, the General Partner and Waypoint Capital Management LLC (filed as Exhibit 10.4 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
(b)
|
Letter from the General Partner to Waypoint Capital Management LLC extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.3(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference). | |
10.4(a)
|
Management Agreement among the Partnership, the General Partner and Xplor Capital Management, LLC (filed as Exhibit 10.5 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
(b)
|
Letter from the General Partner to Xplor Capital Management, LLC extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.4(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference). | |
10.5(a)
|
Management Agreement among the Partnership the General Partner and Avant (filed as Exhibit 10.6 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
(b)
|
Letter from the General Partner to Avant extending the Management Agreement from June 30, 2009 to June 30, 2010 (filed as Exhibit 10.5(b) on Form 10-K filed on March 31, 2010 and incorporated herein by reference). | |
10.6(a)
|
Management Agreement among the Partnership, the General Partner and Cantab Capital Partners LLP (filed as Exhibit 10.7 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
(b)
|
Letter from the General Partner to Cantab Capital Partners LLP extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.6(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference). | |
10.7
|
Customer Agreement between the Partnership, the General Partner and CGM (filed as Exhibit 10.9 to the General Form for Registration of Securities on Form 10 filed on April 30, 2008 and incorporated herein by reference). | |
10.8
|
Amended and Restated Agency Agreement between the Partnership, the General Partner, CGM and MSSB (filed as Exhibit 10.8 to the Current Report on Form 8-K filed on August 4, 2010 and incorporated herein by reference). | |
10.9
|
Form of Subscription Agreement (filed as Exhibit 10.11 to the Quarterly Report on Form 10-Q filed on November 16, 2009 and incorporated herein by reference). | |
10.10 (a)
|
Management Agreement among the Partnership, the General Partner and Sasco (filed as Exhibit 10.1 to the Current Report on Form 8-K filed on April 21, 2009 and incorporated herein by reference). |
30
(b)
|
Letter from the General Partner to Sasco extending the Management Agreement from June 30, 2010 to June 30, 2011 (filed as Exhibit 10.10(b) on Form 10-K filed on March 31, 2011 and incorporated herein by reference). | |
10.11
|
Joinder Agreement among the Partnership, the General Partner, CGM and MSSB (filed as Exhibit 10 to the Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2009 filed on August 14, 2009 and incorporated herein by reference). | |
10.12
|
Form of Amended and Restated Management Agreement among the Partnership, the General Partner and PGR Capital LLP (filed herewith). | |
10.13
|
Amended and Restated Management Agreement among the Partnership, the General Partner and Blackwater Capital Management LLC (filed as Exhibit 10.13 to the Current Report on Form 8-K filed on November 4, 2010 and incorporated herein by reference). | |
10.14
|
Amended and Restated Management Agreement among the Partnership, the General Partner and J E Moody & Company LLC (filed as Exhibit 10.14 to the Current Report on Form 10-K filed on January 3, 2011 and incorporated herein by reference). | |
10.15
|
Amended and Restated Management Agreement among the Partnership, the General Partner and Cirrus Capital Management LLC (filed as Exhibit 10.15 to the Current Report on Form 8-K filed on January 3, 2011 and incorporated herein by reference). | |
10.16
|
Management Agreement among the Partnership, the General Partner and Flintlock Capital Asset Management, LLC (filed as Exhibit 10.16 to the Current Report on Form 8-K filed on December 1, 2010 and incorporated herein by reference). | |
10.17
|
Management Agreement among the Partnership, the General Partner and Willowbridge Associates Inc. (filed as Exhibit 10.17 to the Current Report on Form 8-K filed on June 2, 2011 and incorporated herein by reference). |
31.1 Rule 13a-14(a)/15d-14(a) Certification (Certification of President and Director) | ||
31.2 Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer and Director) | ||
32.1 Section 1350 Certification (Certification of President and Director) | ||
32.2 Section 1350 Certification (Certification of Chief Financial Officer and Director) | ||
101.INS XBRL Instance Document. | ||
101.SCH XBRL Taxonomy Extension Schema Document. | ||
101.CAL XBRL Taxonomy Extension Calculation Linkbase Document. | ||
101.LAB XBRL Taxonomy Extension Label Linkbase Document. | ||
101.PRE XBRL Taxonomy Extension Presentation Linkbase Document. |
31
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.
EMERGING CTA PORTFOLIO L.P.
By:
|
Ceres Managed Futures LLC | |||
(General Partner) | ||||
By:
|
/s/ Walter Davis
|
|||
President and Director | ||||
Date:
|
August 15, 2011 | |||
By:
|
/s/ Jennifer Magro
|
|||
Chief Financial Officer and Director | ||||
(Principal Accounting Officer) | ||||
Date:
|
August 15, 2011 |
32