Attached files
| file | filename |
|---|---|
| EXCEL - IDEA: XBRL DOCUMENT - AlphaMetrix Managed Futures III LLC | Financial_Report.xls |
| 10-K - AlphaMetrix Managed Futures III LLC | c69011_10-k.htm |
| EX-99.2 - AlphaMetrix Managed Futures III LLC | c69011_ex99-2.htm |
| EX-32.2 - AlphaMetrix Managed Futures III LLC | c69011_ex32-2.htm |
| EX-31.2 - AlphaMetrix Managed Futures III LLC | c69011_ex31-2.htm |
| EX-31.1 - AlphaMetrix Managed Futures III LLC | c69011_ex31-1.htm |
| EX-32.1 - AlphaMetrix Managed Futures III LLC | c69011_ex32-1.htm |
Exhibit 99.1
|
|
|
AlphaMetrix WC |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
Financial Statements as of and for the years ended December 31, 2011 and 2010, and Independent Auditor’s Report |
INDEPENDENT AUDITORS’ REPORT
To the Shareholders and
Board of Directors of
AlphaMetrix WC Diversified Fund – MT0041
We have audited the accompanying statements of financial condition of AlphaMetrix WC Diversified Fund – MT0041 (a Cayman Islands exempted limited liability company) (the “Master Fund”), including the condensed schedules of investments, as of December 31, 2011 and 2010, and the related statements of operations and changes in net assets for the year then ended (all expressed in United States dollars). These financial statements are the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Master Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of AlphaMetrix WC Diversified Fund – MT0041 as of December 31, 2011 and 2010, and the results of its operations and changes in its net assets for the years then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
Chicago, Illinois
March 30, 2012
|
|
|
ALPHAMETRIX WC DIVERSIFIED FUND — MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
STATEMENTS OF
FINANCIAL CONDITION |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2011 |
|
2010 |
|
||
|
|
|
|
|
|
|
||
|
ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity in commodity trading accounts at clearing brokers: |
|
|
|
|
|
|
|
|
Cash |
|
$ |
34,648,405 |
|
$ |
60,114,235 |
|
|
Options on futures contracts, at fair value, net (Cost: $22,300) |
|
|
8,048 |
|
|
— |
|
|
Investments, at fair value (representing unrealized appreciation on open contracts, net) |
|
|
6,957,375 |
|
|
14,107,876 |
|
|
Investment in AlphaMosaic SPC - Offshore Platform Cash Account, at fair value (Note 5) |
|
|
60,757,195 |
|
|
102,000,867 |
|
|
Receivable from feeder fund |
|
|
707,300 |
|
|
— |
|
|
Cash at bank |
|
|
7,965,040 |
|
|
302,700 |
|
|
|
|
|
|
|
|
|
|
|
Total Assets |
|
$ |
111,043,363 |
|
$ |
176,525,678 |
|
|
|
|
|
|
|
|
|
|
|
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LIABILITIES AND SHAREHOLDERS’ EQUITY (NET ASSETS) |
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LIABILITIES |
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Equity in commodity trading accounts at clearing brokers: |
|
|
|
|
|
|
|
|
Options on futures, at fair value, net (proceeds: $45,665 and $21,900) |
|
$ |
18,565 |
|
$ |
18,000 |
|
|
Redemptions payable |
|
|
4,949,586 |
|
|
4,240,359 |
|
|
|
|
|
|
|
|
|
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Total Liabilities |
|
|
4,968,151 |
|
|
4,258,359 |
|
|
|
|
|
|
|
|
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|
SHAREHOLDERS’ EQUITY (NET ASSETS): |
|
|
106,075,212 |
|
|
172,267,319 |
|
|
|
|
|
|
|
|
|
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Total Liabilities and Shareholders’ Equity (Net Assets) |
|
$ |
111,043,363 |
|
$ |
176,525,678 |
|
|
|
|
|
|
|
|
|
|
|
Net asset value per share |
|
$ |
2,547.51 |
|
$ |
2,068.38 |
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
1
|
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ALPHAMETRIX WC DIVERSIFIED FUND - MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
CONDENSED
SCHEDULE OF INVESTMENTS |
|
|
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|
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|
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|
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|
|
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|
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|
Number of |
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Fair Value |
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Percent of |
|
|||
|
Long positions: |
|
|
|
|
|
|
|
|
|
|
|
Domestic |
|
|
|
|
|
|
|
|
|
|
|
Options on futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Index (Cost: $22,300) |
|
|
24 |
|
$ |
8,048 |
|
|
0.01 |
% |
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
138 |
|
|
(175,423 |
) |
|
(0.17 |
) |
|
Currency |
|
|
716 |
|
|
995,790 |
|
|
0.94 |
|
|
Energy |
|
|
266 |
|
|
40,424 |
|
|
0.04 |
|
|
Index |
|
|
412 |
|
|
249,723 |
|
|
0.24 |
|
|
Interest |
|
|
2,214 |
|
|
879,400 |
|
|
0.83 |
|
|
Metals |
|
|
86 |
|
|
(1,323,365 |
) |
|
(1.25 |
) |
|
Forward currency contracts |
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
|
|
|
|
49,980 |
|
|
0.05 |
|
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Currency |
|
|
50 |
|
|
(3,926 |
) |
|
— |
|
|
Index |
|
|
69 |
|
|
40,920 |
|
|
0.04 |
|
|
Interest |
|
|
3,905 |
|
|
3,165,632 |
|
|
2.98 |
|
|
Metals |
|
|
275 |
|
|
(380,292 |
) |
|
(0.36 |
) |
|
Forward currency contracts |
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
|
|
|
|
(49,263 |
) |
|
(0.05 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long positions |
|
|
|
|
|
3,497,648 |
|
|
3.30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short positions: |
|
|
|
|
|
|
|
|
|
|
|
Domestic |
|
|
|
|
|
|
|
|
|
|
|
Options on futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Index (proceeds: $45,665) |
|
|
24 |
|
|
(18,565 |
) |
|
(0.02 |
) |
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
845 |
|
|
(473,316 |
) |
|
(0.45 |
) |
|
Currency |
|
|
1,490 |
|
|
2,595,575 |
|
|
2.45 |
|
|
Energy |
|
|
375 |
|
|
329,954 |
|
|
0.31 |
|
|
Index |
|
|
114 |
|
|
12,737 |
|
|
0.01 |
|
|
Interest |
|
|
298 |
|
|
(32,688 |
) |
|
(0.03 |
) |
|
Metals |
|
|
24 |
|
|
(13,028 |
) |
|
(0.01 |
) |
|
Forward currency contracts |
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
|
|
|
|
5,963 |
|
|
— |
|
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
83 |
|
|
128,736 |
|
|
0.12 |
|
|
Energy |
|
|
6 |
|
|
19,965 |
|
|
0.02 |
|
|
Index |
|
|
137 |
|
|
29,970 |
|
|
0.03 |
|
|
Interest |
|
|
33 |
|
|
7,595 |
|
|
0.01 |
|
|
Metals |
|
|
528 |
|
|
806,851 |
|
|
0.76 |
|
(Continued)
2
|
|
|
ALPHAMETRIX WC DIVERSIFIED FUND - MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
CONDENSED SCHEDULE OF INVESTMENTS |
|
DECEMBER 31, 2011 |
|
(Expressed in U.S. Dollars) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value |
|
Percent of |
|
||
|
|
|||||||
|
Foreign |
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
|
|
|
|
|
|
Forwards |
|
$ |
49,461 |
|
|
0.05 |
% |
|
|
|
|
|
|
|
|
|
|
Total short positions |
|
|
3,449,210 |
|
|
3.25 |
|
|
|
|
|
|
|
|
|
|
|
Investments - at fair value |
|
$ |
6,946,858 |
|
|
6.55 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in fund |
|
Fair Value |
|
Percent of |
|
% Ownership |
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
AlphaMosaic SPC - Offshore Platform Cash Account1 |
|
$ |
60,757,195 |
|
|
57.28 |
% |
|
38.68 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
1 Invests in short-term liquid cash equivalents and has daily liquidity, see Note 5.
|
|
|
|
See notes to financial statements. |
(Concluded) |
3
|
|
|
ALPHAMETRIX WC DIVERSIFIED FUND — MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
CONDENSED SCHEDULE OF INVESTMENTS |
|
DECEMBER 31, 2010 |
|
(Expressed in U.S. Dollars) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
Fair Value |
|
|
Percent of |
|
|
Long positions: |
|
|
|
|
|
|
|
|
|
|
|
Domestic |
|
|
|
|
|
|
|
|
|
|
|
Options on futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Index puts (cost: $25,900) |
|
|
40 |
|
$ |
18,940 |
|
|
0.01 |
% |
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
1,286 |
|
|
4,294,379 |
|
|
2.49 |
|
|
Currency |
|
|
1,606 |
|
|
4,873,370 |
|
|
2.83 |
|
|
Energy |
|
|
430 |
|
|
934,746 |
|
|
0.54 |
|
|
Index |
|
|
1,126 |
|
|
635,923 |
|
|
0.37 |
|
|
Interest |
|
|
232 |
|
|
26,996 |
|
|
0.02 |
|
|
Metals |
|
|
332 |
|
|
2,474,318 |
|
|
1.44 |
|
|
Forward currency contracts |
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
|
|
|
|
(84,205 |
) |
|
(0.05 |
) |
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
79 |
|
|
43,733 |
|
|
0.02 |
|
|
Index |
|
|
860 |
|
|
441,322 |
|
|
0.26 |
|
|
Interest |
|
|
1,040 |
|
|
79,363 |
|
|
0.05 |
|
|
Metals |
|
|
356 |
|
|
3,377,605 |
|
|
1.96 |
|
|
Forward currency contracts |
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
|
|
|
|
4,931 |
|
|
0.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long positions |
|
|
|
|
|
17,121,421 |
|
|
9.94 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short positions: |
|
|
|
|
|
|
|
|
|
|
|
Domestic |
|
|
|
|
|
|
|
|
|
|
|
Options on futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Index puts (proceeds: $47,800) |
|
|
40 |
|
|
(36,940 |
) |
|
(0.02 |
) |
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Energy |
|
|
120 |
|
|
(288,770 |
) |
|
(0.16 |
) |
|
Interest |
|
|
504 |
|
|
(269,321 |
) |
|
(0.16 |
) |
|
Currency |
|
|
312 |
|
|
(576,444 |
) |
|
(0.33 |
) |
|
Forward currency contracts |
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
|
|
|
|
225,575 |
|
|
0.13 |
|
|
Foreign |
|
|
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
Index |
|
|
74 |
|
|
37,535 |
|
|
0.02 |
|
|
Interest |
|
|
696 |
|
|
(563,601 |
) |
|
(0.33 |
) |
|
Metals |
|
|
155 |
|
|
(1,632,293 |
) |
|
(0.95 |
) |
|
Currency |
|
|
91 |
|
|
16,888 |
|
|
0.01 |
|
|
Forward currency contracts |
|
|
|
|
|
|
|
|
|
|
|
Forwards |
|
|
|
|
|
55,826 |
|
|
0.03 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total short positions |
|
|
|
|
|
(3,031,545 |
) |
|
(1.76 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
14,089,876 |
|
|
8.18 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments - at fair value |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Continued |
) |
|
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
ALPHAMETRIX WC DIVERSIFIED FUND — MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
CONDENSED
SCHEDULE OF INVESTMENTS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment in fund |
|
Fair Value |
|
Percent of |
|
% Ownership |
|
|||
|
AlphaMosaic SPC - Offshore Platform |
|
|
|
|
|
|
|
|
|
|
|
Cash Account1 |
|
$ |
102,000,867 |
|
|
59.21 |
% |
|
17.49 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
1 Invests in short-term liquid cash equivalents and has daily liquidity, see Note 5.
|
|
|
|
See notes to financial statements. |
(Concluded) |
5
|
|
|
ALPHAMETRIX WC DIVERSIFIED FUND — MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
STATEMENTS OF
OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2011 |
|
2010 |
|
||
|
|
|
|
|
|
|
||
|
INVESTMENT INCOME |
|
|
|
|
|
|
|
|
Interest income |
|
$ |
30,118 |
|
$ |
99,969 |
|
|
Interest income - AlphaMosaic SPC - Offshore Platform Cash Account (Note 5) |
|
|
443,375 |
|
|
253,234 |
|
|
|
|
|
|
|
|
|
|
|
Total income |
|
|
473,493 |
|
|
353,203 |
|
|
|
|
|
|
|
|
|
|
|
EXPENSES: |
|
|
|
|
|
|
|
|
Trading costs |
|
|
322,413 |
|
|
415,073 |
|
|
Cash Manager fee - AlphaMosaic SPC - Offshore Platform Cash Account (Note 4) |
|
|
57,510 |
|
|
19,951 |
|
|
Sponsor fee - AlphaMosaic SPC - Offshore Platform Cash Account (Note 5) |
|
|
292,286 |
|
|
89,294 |
|
|
Bank fees |
|
|
75 |
|
|
396 |
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
672,284 |
|
|
524,714 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INVESTMENT INCOME/(LOSS) |
|
|
(198,791 |
) |
|
(171,511 |
) |
|
|
|
|
|
|
|
|
|
|
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: |
|
|
|
|
|
|
|
|
Net realized gain/(loss) from: |
|
|
|
|
|
|
|
|
Investments |
|
|
41,008,123 |
|
|
44,400,224 |
|
|
Investment in AlphaMosaic SPC - Offshore Platform Cash Account (Note 5) |
|
|
(251,163 |
) |
|
— |
|
|
Foreign currency transactions |
|
|
129,203 |
|
|
(611,303 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
40,886,163 |
|
|
43,788,921 |
|
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease) in unrealized appreciation/(depreciation) on: |
|
|
|
|
|
|
|
|
Investments |
|
|
(7,141,553 |
) |
|
12,360,580 |
|
|
Investment in AlphaMosaic SPC - Offshore Platform Cash Account (Note 5) |
|
|
184,223 |
|
|
(143,122 |
) |
|
Translation of assets and liabilities denominated in foreign currencies |
|
|
(176,203 |
) |
|
174,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(7,133,533 |
) |
|
12,391,518 |
|
|
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain/(loss) on investments and foreign currency |
|
|
33,752,630 |
|
|
56,180,439 |
|
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease) in net assets resulting from operations |
|
$ |
33,553,839 |
|
$ |
56,008,928 |
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
6
|
|
|
ALPHAMETRIX WC DIVERSIFIED FUND — MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
STATEMENTS
OF CHANGES IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2011 |
|
2010 |
|
||
|
|
|
|
|
|
|
||
|
Changes in net assets from operations: |
|
|
|
|
|
|
|
|
Net investment income/(loss) |
|
$ |
(198,791 |
) |
$ |
(171,511 |
) |
|
Net realized gain/(loss) from investments and foreign currency transactions |
|
|
40,886,163 |
|
|
43,788,921 |
|
|
Net increase/(decrease) in unrealized appreciation/(depreciation) on investments and translation of assets and liabilities denominated in foreign currencies |
|
|
(7,133,533 |
) |
|
12,391,518 |
|
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease) in net assets resulting from operations |
|
|
33,553,839 |
|
|
56,008,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in net assets from capital transactions: |
|
|
|
|
|
|
|
|
Proceeds from issuance of shares |
|
|
71,519,601 |
|
|
66,393,182 |
|
|
Redemptions of shares |
|
|
(171,265,547 |
) |
|
(81,196,524 |
) |
|
|
|
|
|
|
|
|
|
|
Net increase/(decrease) in net assets resulting from capital transactions |
|
|
(99,745,946 |
) |
|
(14,803,342 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Increase/(decrease) in net assets |
|
|
(66,192,107 |
) |
|
41,205,586 |
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS — Beginning of year |
|
|
172,267,319 |
|
|
131,061,733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS — End of year |
|
$ |
106,075,212 |
|
$ |
172,267,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
See notes to financial statements. |
|
|
|
|
|
|
|
- 7 -
|
|
|
ALPHAMETRIX WC DIVERSIFIED FUND — MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
NOTES TO THE FINANCIAL STATEMENTS |
|
AS OF AND FOR THE YEARS ENDED DECEMBER 31, 2011 AND 2010 |
|
|
|
|
|
|
1. |
ORGANIZATION AND STRUCTURE |
|
|
|
|
|
AlphaMetrix WC Diversified Fund — MT0041 (the “Master Fund”) was incorporated on December 22, 2008 in the Cayman Islands as an exempted company with limited liability. The Master Fund was created to serve as the trading entity managed by Winton Capital Management Ltd. (the “Trading Advisor”) pursuant to its Diversified Program (the “Program”). The Program is systematically trading over numerous futures markets including grains, metals, softs, energies, meats, and financials. Trend-following in nature, the Trading Advisor’s system uses technical analysis to identify market trends. The strategy consists of a multiple of systems – four long-term models and one short-term model. |
|
|
|
|
|
Pursuant to a Trading Agreement Assignment dated January 2, 2009 (the “Agreement”), all positions owned by AM Trading SPC — MSP 41 Segregated Portfolio (the predecessor trading entity managed by the Trading Advisor) were assigned to the Master Fund. Positions were transferred (at their transfer date fair value and original cost) by the clearing brokers to the Master Fund on January 2, 2009. AM Trading SPC — MSP 41 Segregated Portfolio was incorporated on October 10, 2005, in the Cayman Islands as a segregated portfolio company with limited liability and began trading October 1, 2007. |
|
|
|
|
|
The Master Fund and other separately incorporated offshore investment vehicles (“Other Master Funds”), is one of the investment vehicles available under the AlphaMetrix Managed Account Platform (the “Platform”). The Master Fund and the Platform are sponsored by AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”) as a means of making available to qualified high net-worth individuals and institutional investors (including fund of hedge funds) (“Investors”) a variety of third-party professional managed futures and foreign exchange advisors (“Advisors”). The Trading Advisor is not affiliated with the Sponsor. |
|
|
|
|
|
AlphaMosaic (US) LLC, a Delaware Series Limited Liability Company (the “U.S. Platform”), and AlphaMosaic SPC, a Cayman Islands Segregated Portfolio Company (the “Offshore Platform”), serve as the feeder funds for the Platform and invest substantially all of the assets of their respective segregated portfolios (each a “Fund”) in the Master Fund or Other Master Funds. AlphaMosaic (US) LLC — Cell No. 41 (“LLC41”), a separate series of the U.S. Platform and AlphaMosaic SPC — SP 41 Segregated Portfolio (“SPC41”), a segregated portfolio of the Offshore Platform, each invest in the Master Fund. To the extent that any investor in LLC41 and SPC41 elects to invest below the maximum available funding factor applicable to the Master Fund, LLC41 and SPC41 invest in the AlphaMosaic US LLC - Platform Cash Account and AlphaMosaic SPC - Offshore Platform Cash Account (“OPCA”), respectively. The Master Fund also invests in the OPCA (see Note 5). |
|
|
|
|
|
AlphaMetrix Managed Futures III LLC (AlphaMetrix WC Diversified Series), a Delaware Series Limited Liability Company (“AM III LLC”), and its two Sub-Series (B-0 and B-2), each a “Sub-Series”, also serves as a feeder fund and invests a portion of the assets of the Sub-Series in the Master Fund or Other Master Funds. |
|
|
|
|
|
LLC41, SPC41, AM III LLC Sub-Series B-0, and AM III LLC Sub-Series B-2 are collectively hereafter referred to as the “Feeder Funds”. |
- 8 -
|
|
|
|
|
Subscriptions and redemptions into the Feeder Funds and the corresponding transactions with the Master Fund are governed by the U.S Platform, Offshore Platform, and AlphaMetrix Managed Futures III LLC’s respective Confidential Offering Memorandum. |
|
|
|
|
|
The Master Fund is managed by its Board of Directors (“Directors”). The Directors have delegated the day-to-day operations of the Master Fund to service providers, including the Sponsor and the Master Fund’s administrator. There are no service contracts, existing or proposed, between the Master Fund and any Director, aside from the fiduciary responsibility that each Director serves in fulfillment of his or her respective role as Director of the Master Fund. |
|
|
|
|
|
The Sponsor was formed in May 2005 and its principal office is located in Chicago, Illinois. The Sponsor is registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor, with the Securities and Exchange Commission (“SEC”) as a Registered Investment Advisor (“RIA”) and registered transfer agent (“RTA”), and is a member of the National Futures Association (“NFA”). |
|
|
|
|
|
The Master Fund has appointed the Sponsor, under the terms of a trading management agreement (the “Trading Management Agreement”), to manage, with wide discretionary powers, the portfolio of the Master Fund. Under the Trading Management Agreement, the Directors have delegated to the Sponsor full authority in respect of all matters relating to the investment and portfolio management of the Master Fund. |
|
|
|
|
|
Pursuant to the Trading Management Agreement, the Directors have also delegated to the Sponsor authority to select the administrator for the Master Fund. The Trading Management Agreement will continue and remain in force until terminated by either the Sponsor or the Master Fund upon not less than thirty (30) days’ prior written notice. In certain circumstances (for example, the insolvency of either party or in the event all trading for the Master Fund by the Trading Advisor is suspended), the Trading Management Agreement may be terminated immediately by either party. |
|
|
|
|
|
The Master Fund and the Sponsor have entered into a contract (the “Trading Agreement”) with the Trading Advisor pursuant to which the Master Fund’s trading accounts are managed, subject to rights of termination, by the Trading Advisor in accordance with its Program. The Trading Advisor may alter its Program (including its trading systems and methods and including the addition and/or deletion of any financial interests or contracts traded in the Master Fund’s trading accounts), provided that the Trading Advisor provides prior notice to the Master Fund and the Sponsor of any material change to the Trading Advisor’s Program. From time to time, the Trading Advisor (or its affiliates) may manage additional accounts, and these accounts will increase the level of competition for the same trades desired for the Master Fund, including the priorities of order entry. There is no specific limit as to the number of accounts the Trading Advisor (or its affiliates) may manage. In addition, the positions of all of the accounts owned or controlled by the Platform’s Trading Advisors (or their affiliates) are aggregated for the purposes of applying speculative position limits. The management and incentive fees due to the Trading Advisor, in accordance with the Trading Agreement, are paid by the Sponsor who in turn receives management and incentive fees calculated, recorded and allocated to the Investors by the Feeder Funds in accordance with the U. S. Platform, Offshore Platform, and AlphaMetrix Managed Futures III LLC’s respective Confidential Offering Memorandum. |
- 9 -
|
|
|
|
|
2. |
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
|
|
|
|
|
|
|
The accounting records of the Master Fund are maintained in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Following is a summary of significant accounting policies consistently followed in the preparation of the Master Fund’s financial statements. |
|
|
|
|
|
|
|
Cash — Cash held in the commodity trading account at clearing brokers consists of either cash maintained in the custody of the brokers, a portion of which is required margin for open positions, or amounts due to/from the brokers for margin or unsettled trades. The Master Fund also holds cash in a non-interest bearing United States dollars (“USD”) commercial bank account. The Master Fund holds various currencies at the clearing brokers, of which approximately $30,540,432 and $52,003,103 are held in USD and $4,107,973 and $8,111,132 are held in foreign currency as of December 31, 2011 and 2010, respectively. A portion of this cash is restricted cash required to meet maintenance margin requirements. Cash with the clearing brokers included restricted cash for margin requirements of $22,216,652 and $25,042,729 as of December 31, 2011 and 2010, respectively. This cash becomes unrestricted when the underlying positions to which it is applicable are liquidated. |
|
|
|
|
|
|
|
Depending on the Program and Investments traded, the Master Fund follows the following valuation and revenue recognition policies: |
|
|
|
|
|
|
|
Valuation and Revenue Recognition — |
|
|
|
|
|
|
|
|
Futures and Options on Futures Contracts — The Master Fund may enter into futures and options on futures contracts. Upon entering into a futures contract, the Master Fund agrees to receive or deliver a fixed quantity of an underlying instrument or commodity for an agreed-upon price, while an option contract provides the option purchaser with the right, but not the obligation, to buy or sell a security or financial instrument at a predetermined exercise price during a defined period. Futures and options on futures contracts are recorded on the trade date. The difference between the original contract amount and the fair value of futures contracts purchased or sold is reflected as unrealized appreciation/(depreciation) on open contracts. Options on futures contracts are reflected in investments at fair value. The difference between the premiums paid or received on open options on futures contracts and fair value of such options is recorded as unrealized appreciation/(depreciation) on open contracts. The fair value of futures and options on futures contracts is based upon daily exchange settlement prices. The realized gain or loss is determined on the settlement of intraday trades first and then by the first-in-first-out (“FIFO”) method. |
|
|
|
|
|
|
|
Forward Currency Contracts — Forward currency contracts, agreements to exchange one currency for another at a future date and at a specified price, are recorded on the trade date. The difference between the original contract amount and fair value of the open forward contract is reflected as unrealized appreciation/(depreciation) on open contracts. Realized gain or loss is recognized when the open contract is closed on its settlement date. Fair value of forward contracts is priced daily at closing and based on broker quotes received from interbank foreign currency markets. |
|
|
|
|
|
|
|
Foreign Currency Transactions — The Master Fund’s financial statements are denominated in USD. However, foreign currency forward contracts, non-U.S. futures contracts, and non-U.S. options on futures contracts are denominated in currencies other than USD. Assets and liabilities and transactions denominated in currencies other than the USD are translated into USD at the rates in effect either at the close of business on the last business day of the reporting period or on |
- 10 -
|
|
|
|
|
|
|
the date of such transactions, respectively. Such fluctuations are included within the unrealized appreciation on open contracts, net. The Master Fund does not separate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in the fair value of investments held on the Statement of Operations. Net realized foreign exchange gains or losses arise from the sales of foreign currencies and currency gains or losses realized between trade and settlement dates. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities resulting from changes in exchange rates. |
|
|
|
|
|
|
|
Investment in AlphaMosaic SPC - Offshore Platform Cash Account — The Master Fund’s investment in the OPCA is carried at fair value and represents the Master Fund’s pro rata interest in the net assets of the OPCA as of the close of business on the relevant valuation date. Substantially all of the assets of the OPCA are carried at fair value. At each valuation date, the OPCA’s income, expenses, net realized gain/(loss) and net increase/decrease in unrealized appreciation/(depreciation) are allocated to the Master Fund, based on the Master Fund’s pro rata interest in the net assets of the OPCA, and recorded in the Statement of Operations (See Note 5). The financial statements of AlphaMosaic SPC are attached hereto and should be read in conjunction with the Master Fund’s financial statements. |
|
|
|
|
|
|
Interest Income/Expense — Interest income and expense is recognized on an accrual basis. |
|
|
|
|
|
|
|
Trading Costs — Trading costs generally consist of brokerage commissions, brokerage fees, clearing fees, exchange and regulatory fees, and transaction and NFA fees. Fees vary by type of contract for each purchase and sale or sale and purchase (round turn) of futures, options on futures, and forward contracts. Commissions are paid on each individual investment transaction. |
|
|
|
|
|
|
|
Operating Costs — Operating costs consist of legal, compliance, regulatory, audit, tax, administration, and other costs. In accordance with each Feeder Fund’s respective Confidential Offering Memorandum, each Feeder Fund is responsible for and will bear its pro rata share of its corresponding Master Fund’s operating costs. |
|
|
|
|
|
|
|
Income Taxes — The Master Fund follows the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 740, Income Taxes (“ASC 740”), related to accounting for uncertainty in income taxes. ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. ASC 740 requires the evaluation of tax positions taken in the course of preparing the tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. For the years ended December 31, 2011 and 2010, the Master Fund recognized no liability in connection with ASC 740. The Master Fund is subject to U.S. Federal, state and local or non-US income tax examinations by tax authorities for all tax years since inception. |
|
|
|
|
|
|
|
As the Master Fund is a partnership for tax purposes, the Master Fund’s investors are individually responsible for reporting income or loss based on each investor’s share of the Master Fund’s income and expenses as reported for income tax purposes. |
|
|
|
|
|
|
|
Use of Estimates — 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 disclosure of contingent assets and liabilities at the date of the financial statements and |
|
- 11-
|
|
|
|
|
the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. |
|
|
|
|
|
Indemnifications — The Sponsor and Directors are indemnified against certain liabilities arising out of the performance of their duties for the Master Fund. In addition, in the normal course of business, the Master Fund enters into contracts with vendors and others that provide for general indemnifications. The Master Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Fund. However, the Master Fund expects the risk of loss to be remote. |
|
|
|
|
|
3. |
FAIR VALUE MEASUREMENTS AND DISCLOSURES |
|
|
|
|
|
|
|
Fair Value Measurements and Disclosures — The Master Fund’s investments are stated at fair value in accordance with FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows: |
|
|
|
|
|
|
|
|
Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment. |
|
|
|
|
|
|
|
Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. |
|
|
|
|
|
|
|
Level 3 — Values for securities categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. |
|
|
|
|
|
|
In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The ASU requires the following disclosures about fair value measurements of assets and liabilities classified as Level 3 within the fair value hierarchy: the valuation process used by the reporting entity, quantitative information about the unobservable inputs used in a fair value measurement, and the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs, if any. The ASU also requires disclosure about any transfers between Level 1 and Level 2. The disclosures are effective for fiscal years beginning after December 15, 2011. The Sponsor has determined that the adoption of ASU No. 2011-04 has no impact upon the Master Fund’s financial statements. |
|
|
|
|
|
|
|
A description of the valuation methodologies applied to the Master Fund’s major categories of assets and liabilities measured at fair value on a recurring basis follows. Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. All of the inputs for the Master Fund are observable. The availability of observable inputs can vary between investments and is affected |
|
- 12 -
|
|
|
|
|
|
by various factors such as type of investment and the volume and level of activity for that investment or similar investments in the marketplace. |
|
|
|
|
|
|
|
Exchange-traded derivative contracts that are actively traded are valued based on daily quoted settlement prices from the respective exchange and are categorized in Level 1 of the fair value hierarchy. Exchange-traded derivative contracts not actively traded and over-the-counter (“OTC”) derivative contracts can include futures contracts, option on futures contracts, forward contracts and option contracts whose values are based on an underlying reference such as interest rates, foreign currencies, credit standing of reference entities, equities or commodities. Such derivative contracts are valued using observable market data, including currency spot rates or quoted prices of the related underlying obtained from the applicable exchange or market. OTC derivative contracts are valued using the above described pricing methodology and are categorized as Level 2 within the fair value hierarchy. |
|
|
|
|
|
|
|
There were no significant transfers between levels for the years ended December 31, 2011 and 2010. |
|
|
|
|
|
|
|
The inputs or methodologies used for valuing investments are not necessarily indicative of the risk associated with investing in those instruments. |
|
|
|
|
|
|
|
The investment in AlphaMosaic SPC – Offshore Platform Cash Account is classified as Level 2 since it is fully redeemable as of December 31, 2011 and 2010 at its net asset value (see Note 5). |
|
|
|
|
|
|
|
The following tables present the classification of investments, by type, into the above hierarchy levels as of December 31, 2011 and 2010. Presentation is gross – as an asset if in a gain position and a liability if in a loss position. |
|
- 13 -
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at Reporting Date Using |
|
||||||||
|
|
|
|
|
|
|
||||||||
|
Description |
|
Fair Value at |
|
Quoted Prices in |
|
Significant Other |
|
Significant |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment In AlphaMosaic SPC - Offshore Platform Cash Account |
|
$ |
60,757,195 |
|
$ |
— |
|
$ |
60,757,195 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options on futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
|
8,048 |
|
|
8,048 |
|
|
— |
|
|
— |
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy |
|
|
747,739 |
|
|
747,739 |
|
|
— |
|
|
— |
|
|
Metals |
|
|
1,131,637 |
|
|
1,131,637 |
|
|
— |
|
|
— |
|
|
Interest |
|
|
4,284,861 |
|
|
4,284,861 |
|
|
— |
|
|
— |
|
|
Index |
|
|
424,442 |
|
|
424,442 |
|
|
— |
|
|
— |
|
|
Currency |
|
|
3,696,178 |
|
|
3,696,178 |
|
|
— |
|
|
— |
|
|
Agriculture |
|
|
692,540 |
|
|
692,540 |
|
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
177,092 |
|
|
— |
|
|
177,092 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment assets at fair value |
|
|
71,919,732 |
|
|
10,985,445 |
|
|
60,934,287 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options on futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
|
(18,565 |
) |
|
(18,565 |
) |
|
— |
|
|
— |
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy |
|
|
(357,396 |
) |
|
(357,396 |
) |
|
— |
|
|
— |
|
|
Metals |
|
|
(2,041,471 |
) |
|
(2,041,471 |
) |
|
— |
|
|
— |
|
|
Interest |
|
|
(264,922 |
) |
|
(264,922 |
) |
|
— |
|
|
— |
|
|
Index |
|
|
(91,092 |
) |
|
(91,092 |
) |
|
— |
|
|
— |
|
|
Currency |
|
|
(108,739 |
) |
|
(108,739 |
) |
|
— |
|
|
— |
|
|
Agriculture |
|
|
(1,212,543 |
) |
|
(1,212,543 |
) |
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
(120,951 |
) |
|
— |
|
|
(120,951 |
) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment liabilities at fair value |
|
|
(4,215,679 |
) |
|
(4,094,728 |
) |
|
(120,951 |
) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments at fair value - net* |
|
$ |
67,704,053 |
|
$ |
6,890,717 |
|
$ |
60,813,336 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
Located on the Statement of Financial Condition as Investments, at fair value, options on futures contracts, at fair value, and Investment in AlphaMosaic SPC Offshore Platform Cash Account, at fair value. |
- 14 -
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at Reporting Date Using |
|
|||||||
|
|
|
|
|
|
|
|
|||||||
|
Description |
|
Fair
Value at |
|
Quoted
Prices in |
|
Significant
Other |
|
Significant |
|
||||
|
|
|
|
|
|
|
|
|
|
|
||||
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment In AlphaMosaic SPC - Offshore Platform Cash Account |
|
$ |
102,000,867 |
|
$ |
— |
|
$ |
102,000,867 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options on futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
|
18,940 |
|
|
18,940 |
|
|
— |
|
|
— |
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
4,338,112 |
|
|
4,338,112 |
|
|
— |
|
|
— |
|
|
Currency |
|
|
4,890,258 |
|
|
4,890,258 |
|
|
— |
|
|
— |
|
|
Energy |
|
|
950,721 |
|
|
950,721 |
|
|
— |
|
|
— |
|
|
Index |
|
|
1,566,934 |
|
|
1,566,934 |
|
|
— |
|
|
— |
|
|
Interest |
|
|
148,865 |
|
|
148,865 |
|
|
— |
|
|
— |
|
|
Metals |
|
|
5,866,024 |
|
|
5,866,024 |
|
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
329,962 |
|
|
— |
|
|
329,962 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment assets at fair value |
|
|
120,110,683 |
|
|
17,779,854 |
|
|
102,330,829 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options on futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index |
|
|
(36,940 |
) |
|
(36,940 |
) |
|
— |
|
|
— |
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agriculture |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Currency |
|
|
(576,444 |
) |
|
(576,444 |
) |
|
— |
|
|
— |
|
|
Energy |
|
|
(304,745 |
) |
|
(304,745 |
) |
|
— |
|
|
— |
|
|
Index |
|
|
(452,154 |
) |
|
(452,154 |
) |
|
— |
|
|
— |
|
|
Interest |
|
|
(875,428 |
) |
|
(875,428 |
) |
|
— |
|
|
— |
|
|
Metals |
|
|
(1,646,394 |
) |
|
(1,646,394 |
) |
|
— |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts |
|
|
(127,835 |
) |
|
— |
|
|
(127,835 |
) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment liabilities at fair value |
|
|
(4,019,940 |
) |
|
(3,892,105 |
) |
|
(127,835 |
) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments at fair value - net* |
|
$ |
116,090,743 |
|
$ |
13,887,749 |
|
$ |
102,202,994 |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
Located on the Statement of Financial Condition as Investments, at fair value, options on futures contracts, at fair value, and Investment in AlphaMosaic SPC Offshore Platform Cash Account, at fair value. |
- 15 -
|
|
|
|
4. |
DERIVATIVE FINANCIAL INSTRUMENTS |
|
|
|
|
|
Derivative financial instruments speculatively traded by the Master Fund can include U.S. and foreign futures and options on futures contracts and forward currency contracts (collectively, “derivatives”) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. A derivative contract may be traded on an exchange or OTC. Exchange-traded derivatives are standardized and include futures and option on futures contracts. OTC derivative contracts are negotiated between contracting parties and include forward currency contracts and certain options. Derivatives are subject to various risks similar to those related to the underlying financial instruments including market and credit risks. |
|
|
|
|
|
Market risk is the potential for changes in the value of derivatives due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity and security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The market risk of the Master Fund is managed by the underlying Trading Advisor according to its Program. The Master Fund is exposed to a market risk equal to the notional contract value of the derivatives 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. Credit risk due to exchange traded financial instruments is significantly reduced by the regulatory requirements of the individual exchanges on which the instruments are traded. At any point in time, the credit risk for OTC derivatives is limited to the net unrealized gain for each counterparty for which a netting agreement exists, if any. In a similar fashion, liabilities represent net amounts owed to counterparties. As of December 31, 2011 and 2010, the credit risk exposure for the Master Fund’s outstanding OTC derivatives is $56,141 and $202,127. |
|
|
|
|
|
Purchase and sale of futures contracts requires margin deposits with a broker. Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited. |
|
|
|
|
|
The Master Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement. |
|
|
|
|
|
The Master Fund has a substantial portion of its assets on deposit with counterparties. In the event of a counterparty’s insolvency, recovery of the Master Fund’s assets on deposit may be limited to account insurance or other protection afforded such deposits. |
|
|
|
|
|
To evaluate and monitor counterparty risk for each counterparty, the AlphaMetrix Risk Department initially evaluates the credit ratings from the major agencies: Moody’s, Standard & Poor’s and Fitch |
- 16 -
|
|
|
|
|
Ratings. Credit ratings and outlooks are monitored daily for downgrades whereby an investigation is initiated upon an adverse occurrence. Further, any large decline in the daily stock price also triggers an investigation. Lastly, quarterly reports on earnings and future outlooks from counterparties are reviewed and analyzed for unfavorable results by the AlphaMetrix Risk Department. |
|
|
|
|
|
FASB ASC 815, Derivatives and Hedging (“ASC 815”) requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. |
|
|
|
|
|
Pursuant to the Program, the Master Fund engages in the speculative trading of derivatives. These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy. The Master Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk with the clearing broker, the risk of failure by another party to perform according to the terms of a contract. |
|
|
|
|
|
At December 31, 2011 and 2010, the Master Fund had open futures positions with the following notional values by sector: |
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2011 |
|
||||||
|
|
Description |
|
Quantity |
|
Notional Value |
|
||
|
|
|
|
|
|
|
|
||
|
|
Long |
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
Energy |
|
|
266 |
|
$ |
28,092,824 |
|
|
|
Metals |
|
|
361 |
|
|
31,355,082 |
|
|
|
Agriculture |
|
|
138 |
|
|
6,630,393 |
|
|
|
Currency |
|
|
766 |
|
|
98,901,838 |
|
|
|
Interest |
|
|
6,119 |
|
|
1,485,123,919 |
|
|
|
Index |
|
|
481 |
|
|
28,155,268 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short |
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
Energy |
|
|
381 |
|
|
(30,550,481 |
) |
|
|
Metals |
|
|
552 |
|
|
(37,516,519 |
) |
|
|
Agriculture |
|
|
928 |
|
|
(32,560,137 |
) |
|
|
Currency |
|
|
1,490 |
|
|
(173,829,790 |
) |
|
|
Interest |
|
|
331 |
|
|
(99,683,182 |
) |
|
|
Index |
|
|
251 |
|
|
(13,071,976 |
) |
- 17 -
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
|
||||||
|
|
Description |
|
Quantity |
|
Notional Value |
|
||
|
|
|
|
|
|
|
|
||
|
|
Long |
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
Energy |
|
|
430 |
|
$ |
40,353,047 |
|
|
|
Metals |
|
|
688 |
|
|
90,626,964 |
|
|
|
Agriculture |
|
|
1,365 |
|
|
56,737,554 |
|
|
|
Currency |
|
|
1,606 |
|
|
147,393,480 |
|
|
|
Interest |
|
|
1,272 |
|
|
320,992,111 |
|
|
|
Index |
|
|
1,986 |
|
|
134,444,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short |
|
|
|
|
|
|
|
|
|
Futures contracts |
|
|
|
|
|
|
|
|
|
Energy |
|
|
120 |
|
|
(6,187,880 |
) |
|
|
Metals |
|
|
155 |
|
|
(20,453,028 |
) |
|
|
Currency |
|
|
403 |
|
|
(49,418,883 |
) |
|
|
Interest |
|
|
1,200 |
|
|
(286,851,140 |
) |
|
|
Index |
|
|
74 |
|
|
(1,036,023 |
) |
|
|
|
|
|
At December 31, 2011 and 2010, the Master Fund held 24 and 40 long index options on futures contracts and 24 and 40 short index options on futures contracts. |
|
|
|
|
|
During 2011, the Master Fund participated in 3,414 forward currency, 87,648 futures contract and 95 option on futures contract transactions. |
|
|
|
|
|
During 2010, the Master Fund participated in 1,064 forward currency, 97,403 futures contract and 106 option on futures contract transactions. |
|
|
|
|
|
The effect of trading derivative contracts on the Statements of Operations for the years ended December 31, 2011 and 2010 is detailed below: |
- 18 -
|
|
|
|
|
|
|
|
|
|
|
|
Net Trading Gain/(Loss)* |
|
||||
|
|
|
2011 |
|
2010 |
|
||
|
|
|
|
|
|
|
||
|
Options on futures contracts: |
|
|
|
|
|
|
|
|
Index |
|
$ |
159,033 |
|
$ |
134,425 |
|
|
Energy |
|
|
— |
|
|
1,500 |
|
|
Futures contracts: |
|
|
|
|
|
|
|
|
Energy |
|
|
4,690,781 |
|
|
(6,356,046 |
) |
|
Metals |
|
|
5,906,704 |
|
|
12,338,889 |
|
|
Currency |
|
|
2,013,711 |
|
|
13,549,409 |
|
|
Index |
|
|
(4,382,778 |
) |
|
(1,198,220 |
) |
|
Agriculture |
|
|
1,265,488 |
|
|
7,782,832 |
|
|
Interest |
|
|
24,604,422 |
|
|
30,329,977 |
|
|
|
|
|
|
|
|
|
|
|
Total futures and options on futures contracts: |
|
$ |
34,257,361 |
|
$ |
56,582,766 |
|
|
|
|
|
|
|
|
|
|
|
Forward currency contracts: |
|
|
(390,791 |
) |
|
178,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net trading gain/(loss) |
|
$ |
33,866,570 |
|
$ |
56,760,804 |
|
|
|
|
|
|
|
|
|
|
* Includes both realized of $41,008,123 and $44,400,224 and unrealized of ($7,141,553) and $12,360,580 gains/(losses) and is located in Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency in the Statement of Operations. Amounts exclude foreign currency transactions and translation.
- 19 -
|
|
|
|
5. |
INVESTMENT IN ALPHAMOSAIC SPC - OFFSHORE PLATFORM CASH ACCOUNT |
|
|
|
|
|
As a means of efficient and effective cash management, the Master Fund invests in OPCA. The OPCA is a related-party vehicle maintained by the Sponsor within the Offshore Platform that strategically manages cash utilizing highly liquid investments with only the highest credit ratings. The OPCA’s investments are carried at fair value and are readily convertible to cash upon demand. The Sponsor maintains the OPCA with one or more custodians (each, a “Cash Custodian”), and the OPCA is managed by one or more third-party cash managers (each, a “Cash Manager”) which may include the Sponsor, the Cash Custodian and/or any of their respective affiliates. Subscriptions and redemptions into/out of the OPCA can be done daily. At December 31, 2011 and December 31, 2010, the Cash Custodian is JP Morgan Chase Bank and the Cash Manager is Horizon Cash Management L.L.C. |
|
|
|
|
|
Irrespective of the actual investments made by the OPCA at the direction of the Cash Manager, for the Master Fund’s investment in the OPCA, the OPCA will credit the Master Fund with interest in an amount equal to the lower of (i) 90% of the 3-month U.S. Treasury Bill rate, after transaction costs, or (ii) the Master Fund’s pro rata share of the amount of the actual return earned, after transaction costs, by the OPCA. The Sponsor fee is equal to the net of interest income earned by the OPCA that is greater than 90% of the 3-month U.S. Treasury Bill rate less transaction costs. The Cash Manager charges an annual management fee of not greater than 0.09% (depending on the amounts of assets under management), payable monthly, computed daily on the assets under its management. All income and expenses are allocated pro rata to the investors in the OPCA. |
|
|
|
|
|
The OPCA is exposed to counter-party risk. To mitigate this risk, the Sponsor has established that the OPCA’s assets be invested in highly liquid investments with only the highest credit ratings and maintained by a separate third party Cash Custodian under the terms of a written custody agreement, such that the OPCA assets are maintained in a separate segregated account with the Cash Custodian. Further, while the OPCA investments are made at the discretion of the Cash Manager in accordance with the terms of a written cash management agreement, the custody of the investments at all times remains with the Cash Custodian. Investment activity by the Cash Manager is monitored on a daily basis by the AlphaMetrix, LLC Risk Group to ensure that the investments are within the parameters of the cash management agreement. The OPCA investments are reconciled daily between the Cash Custodian’s statement and the Cash Manager’s statement. |
|
|
|
|
|
The Master Fund’s investment in the OPCA also exposes the Master Fund to credit risk which is limited to the Master Fund’s investment in and receivable from the OPCA. |
|
|
|
|
|
With respect to the OPCA investments at December 31, 2011, none were greater than 5% of OPCA’s net assets, there were no concentrations with a single issuer that exceeded 5%, and all of the issuers were domiciled in the United States. None of the Master Fund’s pro rata share of each of the OPCA investments were greater than 5% of the Master Fund’s net assets. |
|
|
|
|
|
The following is a summary of the OPCA investments at December 31, 2011. All percentages are in relation to the net assets of the OPCA. All investments are long positions. These investments mature in January 2012. |
- 20 -
|
|
|
|
|
|
|
Types of Investments |
|
%
of OPCA |
|
|
|
Short-Term Commerical Paper |
|
|
31.18 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
31.18 |
% |
|
|
|
|
|
|
|
|
|
|
|
During 2011, various industries were represented within the OPCA of which the following industries exceeded 5% of the net asset value of the OPCA at December 31, 2011: Diversified Financials 8.91% and Energy 8.91%. |
|
|
|
|
|
With respect to the OPCA investments at December 31, 2010, none were greater than 5% of OPCA’s net assets, and all of the issuers were domiciled in the United States. There was no concentration with a single issuer that exceeded 5% of net assets except for Federal Home Loan Mortgage Corporation (“FHLMC”) which was 5.31% and consisted of Federal Home Loan Mortgage Corporation debt securities, $20 million par value, 0.5%, due 4/20/2012 and Freddie Mac notes, $11 million par value, 0.85%, due 12/14/2012. None of the Master Fund’s pro rata share of each of the OPCA investments or issuers thereof were greater than 5% of the Master Fund’s net assets. |
|
|
|
|
|
The following is a summary of the OPCA investments at December 31, 2010. All percentages are in relation to the net assets of the OPCA. All investments are long positions. The maturities of these investments range from January 2011 to December 2012. |
|
|
|
|
|
|
|
Types of Investments |
|
%
of OPCA |
|
|
|
Corporate Bonds |
|
|
4.50 |
% |
|
U.S. Government Sponsored Enterprises |
|
|
13.63 |
|
|
Short-Term Commerical Paper |
|
|
86.13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
104.26 |
% |
|
|
|
|
|
|
|
|
|
|
|
At December 31, 2010, various industries were represented within the OPCA of which the following industries exceeded 5% of the net asset value of the OPCA: Autos & Components 6.21%, Commercial & Professional Services 7.19%, Diversified Financials 7.49%, Energy 21.89%, U.S. Government Sponsored Enterprises 13.63%, Healthcare & Equipment 8.49%, Insurance 7.11%, and Utilities 19.36%. |
|
|
|
|
6. |
ALLOCATION OF MASTER FUND’S INCOME AND GAINS AND LOSSES |
|
|
|
|
|
Profits and losses of the Master Fund are allocated pro-rata among the participating shareholders (Feeder Funds) holding interests in the Master Fund. |
|
|
|
|
7. |
RELATED PARTIES |
|
|
|
|
|
AlphaMetrix Alternative Investment Advisors, LLC (“AlphaMetrix AIA”), an independent research affiliate of the Sponsor, was formed in August 2007. AlphaMetrix AIA is a registered CFTC commodity trading advisor and member of the NFA. AlphaMetrix AIA is responsible for the initial due diligence of the Trading Advisors that are being considered for the Platform. While AlphaMetrix AIA conducts due diligence and recommends Trading Advisors for the Platform, the |
- 21 -
|
|
|
|
|
Sponsor is ultimately responsible for the selection of all Trading Advisors to be added to the Platform. Currently, AlphaMetrix AIA receives no direct compensation for the services provided. |
|
|
|
|
|
AlphaMetrix360 Cayman, Ltd. (“AlphaMetrix360 Cayman”), an affiliate of the Sponsor, serves as administrator (“Administrator”) for the Master Fund. |
|
|
|
|
8. |
NAV VERIFICATION AGENT |
|
|
|
|
|
Custom House Fund Services (Chicago) LLC (“Custom House”), has been retained by the Platform to serve as a NAV Verification Agent and provide net asset value verifications for each Fund and Master Fund pursuant to a NAV Verification Agreement (the “Custom House Agreement”), entered into by Custom House, the Sponsor, the Platform and the Administrator. Under the Agreement, Custom House performs certain net asset value verification procedures and communicates the results of those procedures to each investor. |
|
|
|
|
9. |
CAPITAL STRUCTURE |
|
|
|
|
|
The share capital of the Master Fund is US$50,000 divided into (i) 2 voting, non-participating management shares of a nominal or par value of US$1.00 each and (ii) 4,999,800 non-voting, participating portfolio shares each being a non-voting share each of a nominal or par value of US$0.01 each. A Management Share was allotted and issued to the subscriber to the Memorandum of Association and has been transferred to the Sponsor. The remaining Management Share has been allotted and issued to the Sponsor at par and both are fully paid. Subscriptions and redemptions into the Master Fund are transacted at the current net asset value at the time of the subscription or redemption. |
|
|
|
|
|
The analysis of changes in shares (rounded to the nearest whole share) for the years ended December 31, 2011 and 2010 is as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
2011 |
|
2010 |
|
||
|
|
|
|
|
|
|
|
|
|
Shares outstanding — Beginning of Year |
|
|
83,286 |
|
|
95,584 |
|
|
|
|
|
|
|
|
|
|
|
Shares subscribed |
|
|
31,898 |
|
|
40,562 |
|
|
Shares redeemed |
|
|
(73,545 |
) |
|
(52,860 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares outstanding — End of Year |
|
|
41,639 |
|
|
83,286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10. |
FINANCIAL HIGHLIGHTS |
|
|
|
|
|
|
|
Financial highlights of the Master Fund for the years ended December 31, 2011 and 2010, are presented in the table below. The information has been derived from information presented in the financial statements. |
|
|
|
|
|
|
|
Regarding the information shown in the table below: |
|
|
|
|
|
|
|
• |
Per share operating performance is computed based upon either actual number of shares outstanding at the beginning and end of the year or the weighted-average net shares for the years ended December 31, 2011 and 2010. Weighted average shares are computed using the month-end and mid-month shares outstanding. |
- 22 -
|
|
|
|
|
|
• |
Total return is calculated as the change in the net asset value per share for the years ended December 31, 2011 and 2010, and is not annualized. |
|
|
|
|
|
|
• |
The net investment loss and total expense ratios are computed based upon the weighted average net assets for the years ended December 31, 2011 and 2010, and are annualized. Weighted average net assets are computed using the average of month-end and mid-month net assets. |
|
|
|
|
|
|
An individual shareholder’s total return and ratios may vary from those below based on the timing of capital transactions. |
|
|
|
|
|
|
|
|
|
|
|
|
|
Year |
|
Year |
|
||
|
Net asset value — Beginning of Year |
|
$ |
2,068.38 |
|
$ |
1,371.17 |
|
|
|
|
|
|
|
|
|
|
|
Per share data (for a share outstanding throughout the period): |
|
|
|
|
|
|
|
|
Net investment loss |
|
|
(3.35 |
) |
|
(2.19 |
) |
|
Total realized and unrealized gain on investments and foreign currency |
|
|
482.48 |
|
|
699.40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations |
|
|
479.13 |
|
|
697.21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value — End of Year |
|
$ |
2,547.51 |
|
$ |
2,068.38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total return |
|
|
23.16 |
% |
|
50.85 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratio to average net assets: |
|
|
|
|
|
|
|
|
Net investment loss |
|
|
(0.15 |
)% |
|
(0.13 |
)% |
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
0.50 |
% |
|
0.40 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
11. |
SUBSEQUENT EVENTS |
|
|
|
|
|
In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the Master Fund’s financial statements through March 30, 2012, the date the financial statements were available for issuance. The Sponsor has determined there are no material events that would require recognition or disclosure in the Master Fund’s financial statements through this date. |
|
|
|
|
|
Between January 1, 2012 and March 30, 2012, the Master Fund has subscriptions of approximately $13,616,522 and redemptions of approximately $5,452,353, exclusive of any capital activity accrued as of December 31, 2011. |
* * * * * *
- 23 -
|
|
|
ALPHAMETRIX WC DIVERSIFIED FUND — MT0041 |
|
(A Cayman Islands Exempted Limited Liability Company) |
|
|
|
OATH OF AFFIRMATION OF THE COMMODITY POOL OPERATOR |
|
|
To the best of the knowledge and belief of the undersigned, the information contained in the report as of and for the years ended December 31, 2011 and 2010, is accurate and complete.
|
|
|
|
/s/ Aleks Kins |
|
|
|
|
|
Aleks Kins, President and Chief Executive Officer |
|
|
AlphaMetrix, LLC — Sponsor |
|
- 24 -