AlphaMetrix Managed Futures LLC - FORM 10-K

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EX-32.2 - AlphaMetrix Managed Futures LLC	c69010_ex32-2.htm
EX-31.2 - AlphaMetrix Managed Futures LLC	c69010_ex31-2.htm
EX-31.1 - AlphaMetrix Managed Futures LLC	c69010_ex31-1.htm
EX-32.1 - AlphaMetrix Managed Futures LLC	c69010_ex32-1.htm
EX-13.01 - AlphaMetrix Managed Futures LLC	c69010_ex13-01.htm
EX-13.02 - AlphaMetrix Managed Futures LLC	c69010_ex13-02.htm

UNITED STATES SECURITIES AND EXCHANGE
COMMISSION

Washington, D.C. 20549

FORM 10-K


(Mark One)
x	ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

	For the fiscal year ended December 31, 2011

	or

o	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

	For the transition period from______to

Commission file number: 000-52192

ALPHAMETRIX MANAGED FUTURES LLC

(Exact name of registrant as specified in its charter)


Delaware		03-0607985
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o ALPHAMETRIX, LLC 181 West Madison 34^th Floor Chicago, Illinois 60602
(Address of principal executive offices)

(312)267-8400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: Units of Limited Liability Company Interest

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.

Yes o No x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.

Yes o No x

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes x No o

Indicate by check mark if the disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of the registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

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.


Large accelerated filer o	Accelerated filer o
Non-accelerated filer o	(Do not check if a smaller reporting company)	Smaller reporting company x

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

Yes o No x

The units of limited liability company interest of the registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrant’s outstanding equity that is readily determinable.

As of December 31, 2011 and 2010, units of limited liability company interest of the registrant with an aggregate net asset value of $80,083,121 and $63,839,812, respectively were outstanding and held by non-affiliates; units of limited liability company interest of the registrant with an aggregate net asset value of $10,547 and $10,310, respectively, were outstanding and held by AlphaMetrix, LLC, the sponsor of the registrant.

DOCUMENTS INCORPORATED BY REFERENCE

The registrant’s Financial Statements and Report of Independent Registered Public Accounting Firm for the periods ended December 31, 2011 and December 31, 2010 are incorporated by reference into Part II, Item 8, and Part IV hereof and filed as Exhibit 13.01 herewith.

ALPHAMETRIX FUTURES LLC

ANNUAL REPORT FOR 2011 ON FORM 10-K

Table of Contents


		Page

	PART I
Item 1.	BUSINESS	1
Item 1A.	RISK FACTORS	8
Item 1B.	UNRESOLVED STAFF COMMENTS	8
Item 2.	PROPERTIES	8
Item 3.	LEGAL PROCEEDINGS	8
Item 4.	MINE SAFETY DISCLOSURES	8

	PART II
Item 5.	MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES	9
Item 6.	SELECTED FINANCIAL DATA	10
Item 7.	MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS	13
Item 7A.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	26
Item 8.	FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA	26
Item 9.	CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE	26
Item 9A.	CONTROLS AND PROCEDURES	26
Item 9B.	OTHER INFORMATION	27

	PART III
Item 10.	DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE	28
Item 11.	EXECUTIVE COMPENSATION	30
Item 12.	SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS	30
Item 13.	CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE	30
Item 14.	PRINCIPAL ACCOUNTING FEES AND SERVICES	31

	PART IV
Item 15.	EXHIBITS, FINANCIAL STATEMENT SCHEDULES	31

SIGNATURES		S-1

iii

PART I


Item 1: Business

(a) General Development of Business

As of November 1, 2008, AlphaMetrix, LLC (the “Sponsor”) is the sponsor of AlphaMetrix Managed Futures LLC (the “Platform”). 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 Platform was formed on July 25, 2006 as a Delaware series limited liability company pursuant to the Delaware Limited Liability Company Act. AlphaMetrix Managed Futures LLC (Aspect Series) (the “Aspect Series”) is a “segregated series” of the Platform. On November 1, 2008, the Sponsor was assigned sponsorship in the Platform and managerial interest in the Aspect Series from the former sponsor of the Platform, UBS Managed Fund Services, Inc. (“UBS MFS” or the “former sponsor”) and the name of the Platform and Aspect Series were changed from UBS Managed Futures LLC and UBS Managed Futures LLC (Aspect Series) to AlphaMetrix Managed Futures LLC and AlphaMetrix Managed Futures LLC (Aspect Series), respectively. The Platform and Aspect Series are governed in accordance with the Confidential Offering Memorandum. All capitalized terms used herein are defined in the Confidential Offering Memorandum.

The Aspect Series invests a portion of its assets in AlphaMetrix Aspect Fund – MT0001 (the “Master Fund”) which is advised by Aspect Capital Limited (the “Trading Advisor”). Prior to December 31, 2010 the Aspect Series and the Master Fund were consolidated in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 810, Consolidation (“ASC 810”). As of December 1, 2009, another fund operated by the Sponsor invested in the Master Fund. Subsequently, beginning with the 2010 financial statements, the Aspect Series and Master Fund are no longer consolidated.

The Series, through its investment in the Master Fund, engages in the speculative trading of certain forwards, futures and other derivatives contracts on various bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities. Until October 1, 2009, UBS Securities LLC was the Series’ futures clearing broker (the “Clearing Broker”) and until October 13, 2009, UBS AG was the foreign exchange clearing broker of the Master Fund. On and after October 1, 2009 for general futures clearing brokerage, excluding foreign currency, and on and after October 13, 2009 including foreign currency, Credit Suisse Securities (USA) LLC acts as the Master Fund’s clearing broker (reference to the “Clearing Broker” shall be UBS Securities LLC if involving matters prior to October 1, 2009 and to Credit Suisse Securities (USA) LLC for matters on or after October 1, 2009), although the Master Fund may execute foreign exchange trades through another foreign exchange clearing broker at any time. The Sponsor, over time, intends to offer investors a selection of different trading advisors, each managing a different segregated series of the Platform. There can be no assurance, however, that any series other than the Series will be offered or that the Series will continue to be offered. The Series was organized on October 26, 2006 and commenced trading on March 16, 2007. The Series filed a Form 10, under the Securities Exchange Act of 1934, as amended, with the SEC to register the units of limited liability company interest (“Units”), and such registration became effective October 17, 2006.

On March 16, 2007, the Series issued 5,000.00 Units to the Trading Advisor for $5,000,000 (the “Trading Advisor Investment”) and issued 2,760.62 Units for $2,760,620 to third parties. On April 1, 2007, the Series issued 9.94 Units to the former sponsor, UBS MFS, for $10,000. On December 31, 2007, the Trading Advisor redeemed the full value of the Trading Advisor Investment. On October 31, 2008, UBS MFS redeemed the full value of their Units in conjunction with the assignment of the Sponsor and on November 1, 2008, the Series issued 8.12 Units to the Sponsor for $10,000.

At the sole discretion of the Sponsor, the Series may terminate for any reason (for the avoidance of doubt, the Sponsor shall be entitled, without any violation of any contractual or fiduciary obligation to any investor in the Series (a “Member”), to dissolve the Series at any time).

(b) Financial Information about Segments

The Series’ business constitutes only one segment for financial reporting purposes, i.e. a speculative “commodity pool.” The Series does not engage in sales of goods or services. Financial information regarding the Series’ business is set forth in Item 6 “Selected Financial Data” and in the Series’ Financial Statements filed as Exhibit 13.01 herewith.

General

The Series invests a portion of its assets in the Master Fund. The Trading Advisor manages the assets of the Master Fund pursuant to its Aspect Diversified Program (the “Program”). The Program is a broadly diversified global trading system that deploys multiple trading strategies that seek to identify and exploit directional moves in market behavior of a broad range of global financial instruments including but not limited to forwards, futures and other derivatives contracts on certain bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities. By maintaining comparatively small exposure to any individual market, the aim is to achieve real diversification. The Program seeks to maintain positions in a variety of markets. Market concentration varies according to the strength of signals, volatility and liquidity, amongst other factors.

The Program employs a fully automated system to collect, process and analyze market data (including current and historical price data) and identify and exploit directional moves, or “trends”, in market behavior, trading across a variety of frequencies to exploit trends over a range of timescales. Positions are taken according to the aggregate signal and are adjusted to control risk.

The investment objective of the Program is to generate significant medium term capital growth independent of overall movements in traditional stock and bond markets within a rigorous risk management framework. This investment objective is intended to be achieved via the investment policy for the Program, which is to trade relevant asset classes applying the Program.

The core objectives of the Program are:


(i)	to produce strong medium-term capital appreciation; (“medium-term” generally referring to a three- to five-year time period);

(ii)	to seek and exploit profit opportunities in both rising and falling markets using a disciplined quantitative investment process;

(iii)	to seek non-correlation with the broad bond and stock markets and thereby play a valuable role in enhancing the risk/return profile of traditional investment portfolios; and

(iv)	to minimize risk by operating in a diverse range of markets and sectors using a consistent investment process that adheres to pre-defined and monitored risk limits and determines market exposure in accordance with factors including (but not limited to) market correlation, volatility, liquidity and the cost of market access.

The Master Fund’s account traded pursuant to the Program may experience returns that differ from other Trading Advisor accounts traded pursuant to the same Program due to, among other factors: (a) regulatory constraints on the ability of the Series to have exposure to certain contracts; (b) the Sponsor’s selection of the Clearing Broker, which affects access to markets; (c) the effect of intra-month adjustments to the trading level of the account; (d) the manner in which the account’s cash reserves are invested; (e) the size of the Series’ account; (f) the Series’ functional currency, the U.S. dollar; (g) the particular futures contracts traded by the Series’ account: (h) the leverage implemented; and (i) the interest rate earned on invested cash. Additionally, certain markets may not be liquid enough to be traded for the Series’ account.

The investment approach that underpins the Program is proprietary. The Trading Advisor’s investment philosophy has remained consistent and involves a scientific approach to investment driven by the Trading Advisor’s belief that market behavior is not random but rather contains statistically measurable and predictable price movements and

anomalies which, through sophisticated quantitative research and a disciplined approach, can be successfully identified and exploited for profit.

Change in Accounting Methodology

Prior to December 31, 2010, the Aspect Series consolidated the Master Fund for financial reporting purposes. During the fourth quarter of 2010, the Sponsor concluded that a change in accounting principle was appropriate. Pursuant to this change, the Aspect Series no longer consolidates non-wholly owned Master Funds over which it has a controlling financial interest. Rather, Aspect Series applies investment company master-feeder financial statement presentation, as described in FASB ASC 946, Financial Services – Investment Companies (“ASC 946”), to its interest in the Master Fund, the only non wholly owned Master Fund over which it has a controlling financial interest.

Allocation Methodology

Allocations to the strategy, markets and asset classes traded by the Program are reviewed on a regular basis using a robust and stable quantitative methodology which takes into account a range of factors that may include liquidity, risk and expected returns. The Program, subject to applicable investment policies, does not have any inherent preference for, or bias towards, any market, asset class or instrument but rather aims to maximize returns within liquidity constraints, such as speculative position limits or market disruptions.

Market Access and Trading Costs

The Trading Advisor appreciates the importance of executing trades in a cost efficient manner and the significance of market impact and trading costs on the Series’ performance. The Trading Advisor takes into account the liquidity of the markets in which it executes trades so as to endeavor to provide optimal market execution results (including executing electronically wherever beneficial).

Risk Management

A fundamental principle of the Trading Advisor’s investment approach is the importance of a robust risk management framework. The Trading Advisor employs a value-at-risk methodology and other risk management procedures to monitor the risk of the Program within pre-defined guidelines. Additionally, the Trading Advisor has developed mechanisms to control risk at both an individual market and portfolio level. In order to monitor and respond to changes in the trading conditions in a market at all times, the Trading Advisor believes a high level of transparency is required. This transparency is achieved by generally investing in liquid instruments with real time pricing, although this may not be possible in all markets or for all instruments.

The Master Fund engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively “derivatives”). These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy. The Master Fund and the Series, via its investment in the Master Fund, are exposed to both market risk, the risk arising from changes in the market 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. 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 Trading Advisor according to its trading program. 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.

The purchase and sale of futures contracts are executed on an exchange and requires margin deposits with a Futures Commission Merchant (“FCM”). Additional deposits may be necessary for any loss on contract value. The U.S. Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities. A customer’s cash and other property, such as U.S. Treasury Bills, deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements. In the event of an FCM’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 the total of cash and other property deposited. The Clearing Broker is an FCM.

Due to forward currency contracts being traded in unregulated markets between principals, the Master Fund and the Series, via its investment in the Master Fund, also assume a credit risk and the risk of loss from counterparty non-performance with respect to its currency trading. Funds and property deposited as margin in connection with the transactions is not required to be, and typically is not, segregated. Accordingly, the Master Fund and the Series is exposed to the creditworthiness of the Clearing Broker on these trades facilitated by the Clearing Broker. In the event of the Clearing Broker’s bankruptcy, the Master Fund could lose all or substantially all assets not located in segregated funds. The Series exposure to credit risk is limited to its investment in or receivable from the Master Fund.

To evaluate and monitor counterparty risk of the Clearing Broker or any trading counterparty, the AlphaMetrix Risk Department initially evaluates their credit ratings from the major agencies: Moody’s, Standard & Poor’s and Fitch Ratings. Credit ratings and outlooks are monitored daily for downgrades and an investigation is initiated upon any adverse change. 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 by the AlphaMetrix Risk Department for unfavorable results.

For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Master Fund is exposed to market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short. The Series exposure to market risk is limited to its investment in or receivable from the Master Fund.

The Series, via its investment in the Master Fund, is designed to take on market risk on a systematic basis across a broad portfolio of liquid markets and to monitor and minimize exposure to all other risks, such as credit and liquidity risks. The trading systems used by the Master Fund’s Trading Advisor include various proprietary systems that are designed to control the risk taken at the individual position level as well as at the overall portfolio level. The Trading Advisor monitors and controls market risk within limits at both sector and portfolio levels.

Net trading results arising from the Master Fund’s speculative trading of derivatives for the year ended December 31, 2011 and 2010 are reflected in the Master Fund’s Statements of Operations and equals the Net realized and unrealized gain/(loss) on investments and foreign currency less trading costs.

The Members bear the risk of loss only to the extent of the fair value of their respective investment in the Series.

Research Commitment and Program Development

The Trading Advisor retains the right to develop and make changes to the Program at its sole discretion, including (without limitation) the incorporation of new markets, instruments, strategies and asset classes into the Program. The Master Fund will be notified of such changes only if they amount to material changes to the investment objective or investment policy of the Program.

The Program is proprietary and highly confidential to the Trading Advisor. Accordingly, the description of the Program as contained herein is general only and is not intended to be exhaustive or absolute.

Custody of Assets

The Series invests a portion of its assets in the Master Fund. At December 31, 2011 and 2010, the Series’ investment in the Master Fund was 87.07% and 86.44%, respectively, of the Series total assets. A substantial amount of the Master Fund’s assets are held in customer accounts at the Clearing Broker, an indirect, wholly-owned subsidiary of an affiliate of the former sponsor, although they may be held at other affiliates of the Clearing Broker or other third-party clearing brokers selected by the Sponsor.

Only assets held to margin CFTC-regulated futures contracts may be held in CFTC-regulated “segregated funds” accounts. “Segregated funds” accounts are insulated from liability for any claims against a broker other than those of

other customers. As of December 31, 2011 and 2010, 90.99% and 76.96%, respectively, of the net assets of the Master Fund was held in segregated funds. Some of the Series’ capital is not held in segregation, but rather in custody or other client accounts maintained by affiliates of the Clearing Broker. Subject to any applicable regulatory restrictions, these affiliates may make use of such capital, which is treated as a liability or deposit owed by such affiliates to the Series. However, if such an affiliate were to incur financial difficulties, the Series’ assets could be lost (the Series becoming only a general creditor of such affiliate) and, even if not lost, could be unavailable to the Series for an extended period.

The Sponsor considers the Clearing Broker’s policies regarding the safekeeping of the Series’ assets to be fully consistent with industry practices.

Interest Income/Expense

Interest income and expense is recognized on an accrual basis. Interest income or expense may include (1) the allocation from the Master Fund of the Master Fund’s interest income/expense from its broker, or (2) interest income from the Series’ bank account.

Interest

The Series generally earns interest on its cash at bank and on its proportionate share of the cash actually held by the Master Fund, (the “Cash Assets”). The Master Fund does not earn interest income on the Master Fund’s gains or losses on open forward, commodity option and certain non-U.S. futures positions because such gains and losses are not collected or paid until such positions are closed out. Interest is earned only on funds actually held in the Master Fund’s account.

The Clearing Broker pays interest as of the end of each month on the Master Fund’s average daily Cash Assets at a rate corresponding to an annual rate equal to the prevailing Federal Funds Rate. The Clearing Broker will retain any returns on the Master Fund’s Cash Assets in excess of the Federal Funds Rate. The Clearing Broker retains the additional economic benefit (which may be significant) derived from possession of the Master Fund’s Cash Assets.

The Clearing Broker, in the course of acting as commodity broker for the Master Fund, lends certain currencies to, and holds certain non-U.S. currency balances. If, for example, the Master Fund needed to make a margin deposit in Swiss Francs, the Clearing Broker would lend the Master Fund the Swiss Francs, charging a local short-term rate plus a spread of up to 1.0% per annum (at current rates). Should the Master Fund hold Swiss Franc balances in its account, the Clearing Broker will credit the Master Fund with interest at the same local short-term rate less a spread of up to 2.0% per annum (at current rates).

The Clearing Broker follows its standard procedures for crediting and charging interest to the Master Fund. The Clearing Broker is able to generate significant economic benefit from doing so, especially as the Clearing Broker is able to meet the margin requirements imposed on its customers as a group, whereas each customer must margin its account on a stand-alone basis with the Clearing Broker. Consequently, the Clearing Broker may record a loan of Swiss Francs (in the above example) to the Master Fund’s account which the Clearing Broker charges interest even though the Clearing Broker itself does not have to deposit any Swiss Francs at the applicable clearinghouse.

Description of Current Expenses

The Trading Advisor receives a 2% per annum management fee of the Series’ net asset value for all other purposes as defined below. Such fee is calculated and paid on a monthly basis. The Trading Advisor has agreed to share 0.50% of such management fee with UBS Financial Services Inc., a selling agent for the Series (“UBS FS”). The Trading Advisor also will receive a performance fee equal to 20% of the new net trading profits of the Series for each quarter. New net trading profits during each quarter refers to the excess, if any, of the cumulative level of net trading profits attributable to the Series at the end of such quarter over the highest level of cumulative net trading profits as of the end of any preceding quarter (the “High Water Mark”). Performance fees do not, while losses do, reduce cumulative net trading profits. New net trading profits do not include interest income. To the extent that any redemptions are made from the Series, the High Water Mark is proportionately reduced and a proportionate performance fee paid (if accrued). The management and

performance fees due to the Trading Advisor are paid by the Master Fund via redemptions by the Series from the Master Fund.

Members are subject to an ongoing sales commission paid to UBS FS and Credit Suisse Securities LLC, equal to 2% per annum of the month-end net asset value for all other purposes (see below). The Series incurred sales commissions of $1,471,300 and $1,244,966 for the years ended December 31, 2011 and 2010, respectively, and accrued $134,044 and $112,192 owed to UBS FS and Credit Suisse Securities at December 31, 2011 and 2010, respectively. UBS FS or Credit Suisse Securities LLC, in consultation with the Sponsor, may waive or reduce the sales commission for certain Members without entitling any other Member to such waiver or reduction. Additionally, effective January 1, 2008, 0.50% of the 2.0% management fee is shared by the Trading Advisor with UBS FS.

The Sponsor receives a monthly sponsor fee of 0.04166 of 1% (a 0.50% annual rate) of the Series’ month-end net asset value for all other purposes which takes into account interest income, of each Member’s investment in the Series for such month. The Sponsor reserves the right to waive or reduce the fee at its sole discretion.

Spectrum Global Fund Administration, LLC (the “Administrator”) receives a monthly fee as to be determined by the Sponsor and the Administrator up to 0.0067 of 1% of the Series’ net asset value for all other purposes as of the beginning of each month (a 0.10% annual rate), subject to a monthly minimum of $2,000.

AlphaMetrix360, LLC (“AlphaMetrix360”), an affiliate of the Sponsor, acquired the assets of Spectrum Global Fund Services, LLC (“Spectrum US”) as of December 9, 2010. The Sponsor has hired AlphaMetrix360 to provide administration services for the Platform and Series.

The Master Fund’s brokerage commissions are paid upon completion or liquidation of one-half of a trade and are referred to as “per side” commissions, which cover either the initial purchase (or sale) or the subsequent offsetting sale (or purchase) of a single commodity futures contract. The principal operating costs of the Master Fund are the per side brokerage commissions paid to the Clearing Broker (a portion of which is paid to the Master Fund’s executing brokers, which may or may not include the Clearing Broker, as commissions for their execution services) and the currency forward contract (“F/X”) dealer spreads paid to the Clearing Broker and others. The “per side” commissions for U.S. markets paid by the Master Fund are approximately $1.85 per side plus fees (except in the case of certain non-U.S. contracts on which the rates may be as high as $50 per side plus fees due, in part, to the large size of the contracts traded).

Many of the Master Fund’s currency trades are executed in the spot and forward non-U.S. exchange markets (the “F/X Markets”) in which there are no direct execution costs. Instead, the banks and dealers in the F/X Markets, including the Clearing Broker, take a “spread” between the prices at which they are prepared to buy and sell a particular currency, and such spreads are built into the pricing of the spot or forward contracts with the Master Fund. In general, the Sponsor estimates that aggregate brokerage commission charges (including F/X spreads) will not exceed 3.5%, and should range between approximately 0.5% and 3% per annum of the Series’ average month-end assets (meaning the average month-end net asset value for all other purposes for the then-current fiscal year).

The former sponsor advanced expenses incurred in connection with the organization of the Platform and the organization and initial offering of the Units of the Series. The Series reimbursed the former sponsor for these costs. For financial reporting purposes in conformity with U.S. generally accepted accounting principles, the Series expensed the total organizational costs of $208,820 when incurred and deducted the initial offering costs of $119,732 from Members’ capital as of March 16, 2007, the date of commencement of operations of the Series (“net asset value for financial reporting” or the “net asset value per Unit for financial reporting” – see Item 6 “Selected Financial Data”. For all other purposes, the Series amortizes organizational and initial offering costs over a 60 month period (“net asset value for all other purposes” or the “net asset value per Unit for all other purposes”). The amortization of such costs reduce the net asset value for all other purposes of the Units for purposes of determining subscriptions, redemptions and any fees based on the Units’ net asset value for all other purposes and for reporting performance for all purposes other than as related to financial reporting. However, the amount of such costs attributable to the Platform’s organization that are not already amortized may be allocated to and amortized by other series on the Platform for net asset value for all other purposes when and if such other series are added to the Platform or in a manner as the Sponsor may otherwise determine.

Each Member or Member-related account is subject to an upfront, waivable placement fee of 0% to 2% of the subscription price of the Units, which will be paid once by the relevant Member, not by the Platform, the Series or the Sponsor, on such Member’s initial subscription to the Series during any twelve month period. No placement fee will be charged in connection with an exchange. The placement fee payable on such initial subscription is deducted from the subscription amount. The placement fee to which Members are subject will vary among Members. Each Member also will pay an ongoing sales commission (the “Sales Commission”) equal to 2% per annum of the month-end net asset value for all other purposes, including interest income, of a Member’s investment in the Series. UBS FS, in consultation with the Sponsor, may waive or reduce such sales commission for certain Members without entitling any other Member to any such waiver or reduction.

The Series will pay its own operating costs plus its proportionate share of the Master Fund’s expenses, including, without limitation: ongoing offering expenses; trading costs (including execution and clearing brokerage commissions); forward and other over the counter trading spreads; administrative, transfer, exchange and redemption processing, legal, regulatory, reporting, filing, tax, audit, escrow, accounting and printing fees and expenses, as well as extraordinary expenses. Such operating costs are allocated pro rata among the Units based on their respective net asset values for all other purposes. These expenses are paid in addition to the other expenses described below.

The Sponsor has retained outside service providers to supply certain services, including, without limitation, tax reporting, accounting and escrow services. Operating costs include the Series’ allocable share of the fees and expenses of such outside service providers.

The following table summarizes the expenses incurred by the Series for the years ended December 31, 2011 and December 31, 2010:


	2011					2010
Expenses	Dollar Amount		% of Average Month-End Net Asset Value for Financial Reporting			Dollar Amount		% of Average Month-End Net Asset Value for Financial Reporting


Performance fee	$	1,151,168		1.60	%	$	943,239		1.54	%
Management fee		1,475,678		2.05	%		1,248,622		2.04	%
Sales Commissions		1,471,300		2.05	%		1,244,966		2.04	%
Allocated trading costs		102,436		0.14	%		104,235		0.17	%
Sponsor’s fee		367,825		0.51	%		311,241		0.51	%
Other expenses		469,855		0.65	%		409,142		0.67	%

Total	$	5,038,262		7.00	%	$	4,261,445		6.97	%

The Series’ average month-end net asset value for financial reporting during 2011 and 2010 equaled $71,869,666 and $61,131,371, respectively.

During 2011 and 2010, interest expense allocated from the Master Fund to the Series was $45,617 and $17,876, respectively or approximately (0.06)% and (0.03)%, respectively, of the Series’ average month-end net asset value for financial reporting for 2011 and 2010.

Regulation

The Sponsor and the Trading Advisor are registered with the CFTC as commodity pool operators and commodity trading advisors (“CTAs”) and are members of the National Futures Association (“NFA”) in such capacities. The CFTC may suspend a commodity pool operator’s or trading advisor’s registration if it finds that its trading practices tend to disrupt orderly market conditions or in certain other situations. In the event that the registration of the Sponsor or of the Trading Advisor as a commodity pool operator or a commodity trading advisor were terminated or suspended, the Sponsor or Trading Advisor, as applicable, would be unable to continue to manage the business of the Series or the trading of its assets. Should the Sponsor’s or Trading Advisor’s registration be suspended, termination of the Series might result. In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long or net short positions that any person may hold or control in particular commodities. Most exchanges also limit the changes in futures contract prices that may occur during a single trading day. Forward currency contracts are not subject to regulation by any U.S. government agency.

Other than in respect of the registration requirements pertaining to the Series’ securities under Section 12(g) of the Securities Exchange Act of 1934, as amended, the Platform and the Series are generally not subject to regulation by the Securities and Exchange Commission. The Trading Advisor is also regulated by the Financial Service Authority of the United Kingdom.


	(i) through (xii) – not applicable.

	(xiii) the Series has no employees.

(d)	Financial Information About Geographic Areas

Neither the Master Fund nor the Series engage in material operations in foreign countries, nor is a material portion of the Master Fund’s and the Series’ revenue derived from customers in foreign countries. The Master Fund will trade on a number of U.S. and non-U.S. commodities exchanges. The Master Fund will not engage in the sales of goods or services.


Item 1A: Risk Factors

Not applicable


Item 1B: Unresolved Staff Comments

Not applicable


Item 2: Properties

The Master Fund and the Series do not own or use any physical properties in the conduct of their businesses.

The Master Fund and the Series’ administrative office is the administrative office of the Sponsor (181 West Madison, 34^th Floor, Chicago, IL 60602). The Sponsor performs administrative services for the Series from the Sponsor’s offices.


Item 3: Legal Proceedings

The Sponsor is not aware of any pending legal proceedings to which either the Master Fund or the Series is a party or to which any of its assets are subject.


Item 4: Mine Safety Disclosures

Not applicable.

PART II


Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

(a) Market Information

There is no trading market for the Units, and none is likely to develop. Units may be redeemed at the net asset value per Unit for all other purposes as of the end of any calendar month. Redemption requests must be submitted on or prior to the 15th day of the calendar month (or the following business day) in which such Units are to be redeemed.

(b) Holders

As of December 31, 2011 and 2010, there were 801 and 722 holders of Units, including the Sponsor.

No distributions or dividends have been made on the Units, and the Sponsor has no present intentions to make any.

(d) Securities Authorized for Issuance Under Equity Compensation Plans

None.

(e) Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities

The Series did not sell any unregistered securities since it commenced operations on March 16, 2007 that have not previously been included in the Series’ Quarterly Reports on Form 10-Q or in a Current Report on Form 8-K.

(f) Issuer Purchases of Equity Securities

Pursuant to the Platform’s Amended and Restated Limited Liability Company Agreement and the Series’ Amended and Restated Separate Series Agreement, Members may redeem their Units at the end of each calendar month at the then current month-end net asset value per Unit for all other purposes, i.e. reflecting the amortization of organizational and initial offering costs. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed. The following table summarizes the redemptions by Members during the fourth quarter of 2011 and 2010:


Month	Units Redeemed	Redemption Date Net Asset Value per Unit for All Other Purposes

October 31, 2011	294.663	$	1,256.124
November 30, 2011	934.563	$	1,273.392
December 31, 2011	116.498	$	1,299.122
Total	1,345.724


Month	Units Redeemed	Redemption Date Net Asset Value per Unit for All Other Purposes

October 31, 2010	647.193	$	1,266.091
November 30, 2010	324.501	$	1,216.036
December 31, 2010	2,552.810	$	1,271.316
Total	3,524.504


Item 6: Selected Financial Data

The following selected data has been derived from the audited Financial Statements of the Series.

ALPHAMETRIX MANAGED FUTURES LLC
Statements of Financial Condition


	AlphaMetrix Managed Futures LLC (Aspect Series) December 31, 2011		AlphaMetrix Managed Futures LLC December 31, 2011		AlphaMetrix Managed Futures LLC (Aspect Series) December 31, 2010		AlphaMetrix Managed Futures LLC December 31, 2010

ASSETS
Investment in AlphaMetrix Aspect Fund - MT0001, at fair value	$	69,103,283	$	69,103,283	$	59,446,550	$	59,446,550
Cash at bank		14,093,440		14,093,440		9,455,470		9,455,470
Prepaid assets		—		—		4,271		4,271

Total Assets	$	83,196,723	$	83,196,723	$	68,906,291	$	68,906,291

LIABILITIES
REDEMPTIONS PAYABLE	$	151,345	$	151,345	$	3,245,432	$	3,245,432
SUBSCRIPTIONS RECEIVED IN ADVANCE		2,558,453		2,558,453		1,427,344		1,427,344
PAYABLES:
Accrued sales commission		134,044		134,044		112,192		112,192
Accrued sponsor’s fee		11,402		11,402		28,048		28,048
Accrued operating costs		247,811		247,811		243,153		243,153

Total Liabilities		3,103,055		3,103,055		5,056,169		5,056,169

MEMBERS’ CAPITAL
Members (61,654.52 and 50,277.92 units outstanding at December 31, 2011 and December 31, 2010, respectively, unlimited units authorized)		80,083,121		80,083,121		63,839,812		63,839,812
Sponsor (8.12 units outstanding at December 31, 2011 and December 31, 2010, respectively, unlimited units authorized)		10,547		10,547		10,310		10,310

Total Members’ Capital		80,093,668		80,093,668		63,850,122		63,850,122

Total Liabilities and Members’ Capital	$	83,196,723	$	83,196,723	$	68,906,291	$	68,906,291

See notes to financial statements.

ALPHAMETRIX MANAGED FUTURES LLC
Statements of Operations
For the years ended December 31, 2011 and 2010


	AlphaMetrix Managed Futures LLC (Aspect Series) 2011			AlphaMetrix Managed Futures LLC 2011			AlphaMetrix Managed Futures LLC (Aspect Series) 2010			AlphaMetrix Managed Futures LLC 2010

NET INVESTMENT INCOME/(LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Interest income	$	26,040		$	26,040		$	200		$	200
Trading costs		(102,436	)		(102,436	)		(104,235	)		(104,235	)
Interest expense		(45,617	)		(45,617	)		(17,876	)		(17,876	)
Bank fees		(103	)		(103	)		(277	)		(277	)

Net investment income/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		(122,116	)		(122,116	)		(122,188	)		(122,188	)

SERIES NET INVESTMENT INCOME/(LOSS):
Interest income		—			—			9,374			9,374
Operating expenses		(424,135	)		(424,135	)		(409,142	)		(409,142	)
Management fee		(1,475,678	)		(1,475,678	)		(1,248,622	)		(1,248,622	)
Performance fee		(1,151,168	)		(1,151,168	)		(943,239	)		(943,239	)
Sales commissions		(1,471,300	)		(1,471,300	)		(1,244,966	)		(1,244,966	)
Sponsor fee		(367,825	)		(367,825	)		(311,241	)		(311,241	)

Net investment income/(loss)		(4,890,106	)		(4,890,106	)		(4,147,836	)		(4,147,836	)

Total net investment income/(loss)		(5,012,222	)		(5,012,222	)		(4,270,024	)		(4,270,024	)

REALIZED AND UNREALIZED GAIN (LOSS)ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)		8,257,867			8,257,867			7,634,806			7,634,806
Net increase/(decrease) in unrealized appreciation/(depreciation)		(1,432,173	)		(1,432,173	)		3,637,270			3,637,270

Total realized and unrealized gain/(loss)allocated from AlphaMetrix Aspect Fund - MT0001		6,825,694			6,825,694			11,272,076			11,272,076

Net increase/(decrease) in net assets resulting from operations	$	1,813,472		$	1,813,472		$	7,002,052		$	7,002,052

Weighted average number of units outstanding		56,210			56,210			51,595			51,595

Net income/(loss) per weighted average unit	$	32.26		$	32.26		$	135.71		$	135.71

See notes to financial statements.

ALPHAMETRIX MANAGED FUTURES LLC
Statements of Changes in Members’ Capital
For the years ended December 31, 2011 and 2010


For the year ended December 31, 2011	AlphaMetrix Managed Futures LLC (Aspect Series)																	AlphaMetrix Managed Futures LLC Total

	Members						Sponsor					Total

	Amount			Units			Amount			Units		Amount			Units			Amount			Units

Members’ capital at January 1, 2011	$	63,839,812			50,277.92		$	10,310			8.12	$	63,850,122			50,286.04		$	63,850,122			50,286.04
Members’ subscriptions		24,390,322			19,173.21			—			—		24,390,322			19,173.21			24,390,322			19,173.21
Members’ redemptions		(9,960,248	)		(7,796.61	)		—			—		(9,960,248	)		(7,796.61	)		(9,960,248	)		(7,796.61	)
Net investment income/(loss)		(5,011,512	)		—			(710	)		—		(5,012,222	)		—			(5,012,222	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		6,824,747			—			947			—		6,825,694			—			6,825,694			—

Members’ capital at December 31, 2011	$	80,083,121			61,654.52		$	10,547			8.12	$	80,093,668			61,662.64		$	80,093,668			61,662.64


Net asset value per unit at January 1, 2011	$	1,269.739					$	1,269.739
Change in net asset value per unit		29.162						29.162

Net asset value per unit at December 31, 2011	$	1,298.901					$	1,298.901


For the year ended December 31, 2010	AlphaMetrix Managed Futures LLC (Aspect Series)																	AlphaMetrix Managed Futures LLC Total

	Members						Sponsor					Total

	Amount			Units			Amount			Units		Amount			Units			Amount			Units

Members’ capital at January 1, 2010	$	59,498,830			52,347.66		$	9,231			8.12	$	59,508,061			52,355.78		$	59,508,061			52,355.78
Members’ subscriptions		7,871,893			6,672.11			—			—		7,871,893			6,672.11			7,871,893			6,672.11
Members’ redemptions		(10,531,884	)		(8,741.85	)		—			—		(10,531,884	)		(8,741.85	)		(10,531,884	)		(8,741.85	)
Net investment income/(loss)		(4,269,363	)		—			(661	)		—		(4,270,024	)		—			(4,270,024	)		—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001		11,270,336			—			1,740			—		11,272,076			—			11,272,076			—

Members’ capital at December 31, 2010	$	63,839,812			50,277.92		$	10,310			8.12	$	63,850,122			50,286.04		$	63,850,122			50,286.04


Net asset value per unit at January 1, 2010	$	1,136.609					$	1,136.609
Change in net asset value per unit		133.130						133.130

Net asset value per unit at December 31, 2010	$	1,269.739					$	1,269.739

See notes to financial statements.

The former sponsor paid all expenses incurred in connection with the organizational and initial offering of the Units of the Series. As described in the Series’ current Confidential Disclosure Document, the Series reimbursed the former sponsor for these costs in 2008. For financial reporting purposes in conformity with U.S. generally accepted accounting principles, the Series expensed the total organizational costs of $208,820 when incurred and deducted the initial offering costs of $119,732 from Members’ capital as of March 16, 2007 (the date of commencement of operations of the Series) (“net asset value for financial reporting” or the “net asset value per Unit for financial reporting”). For all other purposes, including determining the net asset value per Unit for subscription and redemption purposes, the Series amortizes organizational and initial offering costs over a 60 month period (“net asset value for all other purposes” or the “net asset value per Unit for all other purposes”). The net asset value and net asset value per Unit are as follows:


	Net Asset Value						Net Asset Value per Unit

	All Other Purposes		Financial Reporting		Number of Units		All Other Purposes			Financial Reporting

Price at Commencement*							$	1,000.000		$	1,000.000
March 31, 2007	$	7,805,411	$	7,479,686		7,760.62		1,005.772			963.801
June 30, 2007		13,409,546		13,100,248		11,988.08		1,118.573			1,092.773
September 30, 2007		18,932,687		18,639,817		18,241.85		1,037.871			1,021.816
December 31, 2007		16,034,264		15,757,821		14,700.02		1,090.765			1,071.959
March 31, 2008		20,507,363		20,247,348		17,025.49		1,204.509			1,189.237
June 30, 2008		50,168,558		49,924,971		40,063.82		1,252.216			1,246.136
September 30, 2008		59,013,279		58,786,119		52,463.77		1,124.839			1,120.509
December 31, 2008		71,216,262		71,005,529		53,002.45		1,343.641			1,339.665
March 31, 2009		66,062,490		65,868,185		50,663.64		1,303.950			1,300.108
June 30, 2009		48,597,098		48,419,221		43,344.52		1,121.182			1,117.074
September 30, 2009		65,446,804		65,285,354		55,797.55		1,172.933			1,170.040
December 31, 2009		59,653,082		59,508,061		52,355.79		1,139.379			1,136.609
March 31, 2010		61,712,630		61,584,036		52,710.17		1,170.792			1,168.352
June 30, 2010		58,685,934		58,573,769		50,598.99		1,159.824			1,157.607
September 30, 2010		62,864,771		62,769,032		51,344.51		1,224.372			1,222.507
December 31, 2010		63,929,433		63,850,122		50,286.04		1,271.316			1,269.739
March 31, 2011		69,735,670		69,672,788		55,107.50		1,265.448			1,264.307
June 30, 2011		70,137,681		70,091,226		57,603.59		1,217.592			1,216.786
September 30, 2011		75,178,811		75,148,782		56,985.40		1,319.265			1,318.738
December 31, 2011		80,107,270		80,093,668		61,662.64		1,299.122			1,298.901

Total return after performance fee, from the commencement of operations through the period ended December 31, 2011								29.91	%		29.89	%

* Commencement of operations of the Series was March 16, 2007.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS


Item 7: Management’s Discussion and Analysis of Financial Condition and Results of Operations

Reference is made to Item 6 “Selected Financial Data” and Item 8 “Financial Statements and Supplementary Data.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

All figures and performance returns noted in this Item 7 are based on the net asset value and/or the net asset value per Unit for all other purposes, which complies with U.S. generally accepted accounting principles, except with respect to organizational and initial offering costs (which are being amortized over 60 months) as described in Item 6 “Selected Financial Data.” All figures and performance returns communicated to Members are based on the net asset value and/or the net asset value per Unit for all other purposes.

Operational Overview

This performance summary describes the manner in which the Series has performed in the past and is not an indication of future performance. While certain market movements are attributable to various market factors, such factors may or may not have caused such movements but they may have simply occurred at or about the same time.

The Series is unlikely to be profitable in markets in which trends do not occur. Static or erratic prices are likely to result in losses. Similarly, sharp trend reversals, which can be caused by many unexpected events, can lead to major short-term losses, as well as gains.

While there is no assurance the Series will profit in any market condition, markets having substantial and sustainable price movements offer the best profit potential for the Series.

Liquidity

The Series invests a portion of its assets in the Master Fund. Virtually all of the Master Fund’s capital is held in cash or cash equivalents at the Clearing Broker and is used to margin the Master Fund’s futures and forward currency positions and is withdrawn, as necessary, to pay redemptions and expenses. The Master Fund does not maintain any sources of financing other than that made available by the Clearing Broker to fund foreign currency settlements for those instruments transacted and settled in foreign currencies. The Master Fund pays prevailing market rates for such borrowings.

A portion of the assets maintained at the Master Fund’s Clearing Broker is restricted cash required to meet maintenance margin requirements. Included in cash deposits with the Clearing Broker as of December 31, 2011 and 2010 was restricted cash for margin requirements of $10,298,501 and $7,329,193, respectively. This cash becomes unrestricted if the underlying positions it supports are liquidated.

Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Master Fund’s futures and forward currency trading, the Master Fund’s and the Series’ assets are highly liquid and are expected to remain so. Because the Master Fund’s assets are held in cash, it expects to be able to liquidate all of its open positions or holdings quickly and at prevailing market prices, except in unusual circumstances. This generally permits the Trading Advisor to enter and exit markets, leverage and deleverage in accordance with its strategy. From its commencement of operations on March 16, 2007 through December 31, 2011, the Master Fund experienced no meaningful periods of illiquidity in any of the markets in which it traded.

The Series processes Member redemptions on a monthly basis, with approximately corresponding redemptions out of the Master Fund. The Series incurred redemptions of $9,960,248 (7,796.61 Units) and $10,531,884 (8,741.85 Units) for the years ended December 31, 2011 and December 31, 2010 respectively, and accrued $151,345 and $3,245,432 in redemptions payable to Members at December 31, 2011 and 2010, respectively.

Capital Resources

The Series’ Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Series is not expected to have a significant impact on its operations, as the Series has no significant capital expenditures or working capital requirements other than for investment in the Master Fund and Member redemptions. The amount of capital invested in the Master Fund is not expected to have a significant impact on the Master Fund’s operations, as the Master Fund has no significant capital expenditures or working capital requirements other than for monies to pay trading losses, trading costs and expenses. Within broad ranges of capitalization, the Master Fund’s trading positions should increase or decrease in approximate proportion to the size of the Series’ investment in the Master Fund.

The Series raises additional capital only through the sale of Units and capital is increased through the Series’ pro rata share of the Master Fund’s trading profits (if any). The Series does not maintain any sources of financing. The

Master Fund does not maintain any sources of financing other than that made available by the Clearing Broker to fund foreign currency settlements for those instruments transacted and settled in foreign currencies.

The Master Fund may trade a variety of futures-related instruments, including (but not limited to) instruments related to bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions (“OTC”), because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In OTC transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins that may be subject to loss in the event of a default are generally required in exchange trading, and counterparties may require margin or collateral in the OTC markets.

The Trading Advisor attempts to control risk in all aspects of the investment process, although there can be no assurance that it will, in fact, succeed in doing so. The Master Fund is designed to take market risk on a systematic basis across a broad portfolio of liquid markets and to monitor and minimize exposure to all other risks, such as credit and liquidity risks. The trading systems used include various proprietary systems that are designed to control the risk taken at the individual position level as well as at the overall portfolio level. The Trading Advisor monitors and controls market risk within limits at both sector and portfolio levels.

The financial instruments traded by the Master Fund contain varying degrees of risk whereby changes in the fair values of the futures and forward contracts or the Master Fund’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Master Fund.

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

The Master Fund’s futures contracts are settled by offset and are generally cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Master Fund’s trading accounts are debited or credited accordingly. The Master Fund’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Master Fund’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends, during which the Master Fund’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, in which the Master Fund is likely to suffer losses.

Results of Operations

General

The Trading Advisor manages the assets of the Master Fund pursuant to the Program (see Item 1(c) “Narrative Description of Business”). The Trading Advisor was established in 1997 by Anthony Todd, Dr. Eugene Lambert, Martin Lueck and Michael Adam, all of whom were involved in the development of AHL (Adam, Harding and Lueck), now part of Man Group plc, where they advanced the application of systematic quantitative techniques in managed futures investment. The Trading Advisor has grown to a team of over 120 employees and manages approximately $5.5 billion as of July 31, 2011. The Trading Advisor is a limited liability company registered in England and Wales, which is regulated in the United Kingdom by the Financial Services Authority. Since October 1999, the Trading Advisor has been a member of NFA and has been registered with the CFTC as a commodity

trading advisor and commodity pool operator. The Trading advisor has also been registered with NFA as a principal of its commodity trading advisor subsidiary Aspect Capital Inc. since August 2004. The Trading Advisor has also been registered with the Securities and Exchange Commission as an investment adviser since October 2003.

The Series commenced trading activities March 16, 2007 with an initial capitalization of $7,760,620, of which $5,000,000 was contributed by the Trading Advisor as seed capital. On December 31, 2007 the Trading Advisor redeemed the full value of its seed capital. As of December 31, 2011 and 2010, the Series had a capitalization of $80,107,270 and $63,929,433, respectively, based on the net asset value for all other purposes.

Performance Summary

Quarter ended December 31, 2011

This performance description is a brief summary of how the Series performed during the quarter ended December 31, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended December 31, 2011 with a year-to-date gain of 2.19%, based on the net asset value for all other purposes.

October 1, 2011 to December 30, 2011

The Series posted a 2.02% gain for the month ended December 31, 2011, a gain/(loss) of (1.53%) and 2.19% for the three and twelve months ended December 31, 2011 and an overall gain of 29.91% for the Series from the inception of trading on March 16, 2007 through December 31, 2011 (not annualized and based on net asset value per unit for all other purposes).

The Series returned 2.02% in December. The Eurozone crisis dominated newsflow throughout the month and spurred a broad flight to safety, resulting in notable gains from the Series’ long bond positions. In addition the Series benefited from the Euro falling against both the US Dollar and the Swedish Krona. The ECB followed up a rate cut early in the month by allocating a record amount in a single liquidity operation. Euribor prices rallied ahead of the fresh liquidity and this helped offset losses from Australian interest rate positions. Having cut rates twice in the quarter, the Reserve Bank of Australia commented on the strong domestic growth, decreasing expectations of further interest rate cuts. Precious metals meanwhile lost some of their lustre as safe-haven assets and sold off sharply, making the Series’ long positions in gold and silver the worst performers for the month. In agriculturals, losses came from short positions in wheat and the soy complex amid expectations of dry weather, however cocoa contracts continued to generate positive performance as prices fell further in December. Lastly, the Series’ short position in natural gas was the best performer for the month as mild weather and high supplies pushed prices lower.

The Series posted a 1.37% gain for the month ended November 30, 2011, a 0.16% gain for the year to date as of November 30, 2011 and an overall gain of 27.34% for the Series from the inception of trading on March 16, 2007 to November 30, 2011 (not annualized).

The Series returned 1.37% in November. Heightened Eurozone concerns, prompted by the announcement of a possible Greek referendum on the proposed EU bail-out package, resulted in broad risk aversion early in the month. Stock markets traded lower resulting in gains from the Series’ short positions in Asian and European indices, but the Series saw small losses from long positions in US indices. Positive performance came from the Series’ long positions in bonds, in particular from Australian bonds, which were boosted by the Reserve Bank of Australia’s decision to cut interest rates. The US Dollar performed strongly over the month, in particular against the Australian Dollar resulting in losses from the Series’ initially long AUD/USD position. Towards the end of the month the Series’ long position in Japanese government bonds made losses as yields rose due to concern about Japan’s finances and the possibility of a credit rating downgrade. Some encouraging housing and inflation data from the UK pushed Short Sterling lower, making it the Series’ worst performer for the month. However, short positions in cocoa, wheat and the soy complex made gains as agricultural commodity prices fell, and mild weather in the US and reports of increased supplies of natural gas made the Series’ short position here the best performing contract overall.

The Series posted a (4.79%) loss for the month ended October 31, 2011, a (1.19%) loss for the year to date as of October 31, 2011 and an overall gain of 25.61% for the Series from the inception of trading on March 16, 2007 to October 31, 2011 (not annualized).

The European debt crisis drove market sentiment throughout October and the Series had a difficult month with (4.79%) loss. Early on, strong US economic data and the announcement of further quantitative easing by the Bank of England boosted risk appetite. This was compounded as Eurozone governments reached an agreement to help resolve the sovereign debt crisis and its impact on European banks. Elsewhere, encouraging data from Asia boosted Chinese and Hong Kong stock markets. These drivers saw equity markets rally while fixed income markets sold off, rewarding the Series’ long US stock indices exposure but resulting in losses from the Series’ long fixed income and net short stock indices exposure. Improving sentiment also caused the US Dollar to sell off and the Series reduced its net long exposure, ending the month with a net short position. The Euro in particular responded strongly to the European rescue plans, causing losses for the Series. Meanwhile commodity markets recovered somewhat from last month’s falls. Notably, WTI crude oil was driven higher by supply concerns, making this short position the Series’ worst performing instrument.

Quarter ended September 30, 2011

This performance description is a brief summary of how the Series performed during the quarter ended September 30, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended September 30, 2011 with a year-to-date gain of 3.77%, based on the net asset value for all other purposes.

July 1, 2011 to September 30, 2011

The Series posted a (0.09%) loss for the month ended September 30, 2011, a gain of 8.35% and 3.77% for the three and nine months ended September 30, 2011 and an overall gain of 31.93% for the Series from the inception of trading on March 16, 2007 through September 30, 2011 (not annualized and based on net asset value per unit for all other purposes).

The Series posted a (.09%) loss in September. Gains were made from the Series’ long positions in fixed income and from its net short exposure to energies and stock indices. The price action in these broad asset classes reflected ongoing widespread concern over both weakening global growth and the European sovereign debt crisis. Following a downbeat assessment of the risks to the US economy, the Federal Reserve launched ‘Operation Twist’. Subsequently, equity and commodity markets sold off while fixed income prices rallied. By contrast, the Series suffered losses in the currencies sector, driven by a strengthening US Dollar. However the positioning responded and switched to a net long towards the end of the month. In commodities, both oils and natural gas prices fell, making the energies sector a positive contributor. However, gold and silver prices reversed sharply to the detriment of the Series’ positions, making them the worst contributors for the month. Finally, the poor return from the agricultural sector was driven by falls in coffee and grains prices following particularly strong harvest yields.

The Series posted a 1.43% gain for the month ended August 31, 2011, a 3.86% gain for the year to date as of August 31, 2011 and an overall gain of 32.04% for the Series from the inception of trading on March 16, 2007 to August 31, 2011 (not annualized).

The Series returned 1.43% in August. Bearish sentiment gripped markets for most of the month driven by a succession of bad news reports. Following S&P’s downgrade of the United States’ sovereign credit rating from AAA to AA+, data pointed to poor growth, employment and confidence in the US and markets remained concerned about the European sovereign crisis. Despite the downgrade, investors sought the safety of US Treasuries, which rallied, benefiting the Series’ long positions in fixed income. Following central bank interventions in the Yen and Swiss Franc, safe haven demand saw the US Dollar strengthen and commodity currencies sell off against the Series’ positions. Gold reached new records, making it the Series’ second best performer. Lastly, stock indices, oils and industrial metals sold off for most of the month. Following the downgrade, the Fed announced that it would keep

interest rates at their current low levels for another two years. However, Bernanke’s Jackson Hole speech late in the month did boost stock markets and commodities as he reiterated the Fed’s focus on maintaining the economy on a growth trajectory. This resulted in some performance give-back on the Series’ growing short stock index positions.

The Series posted a 6.92% gain for the month ended July 31, 2011, a 2.40% gain for the year to date as of July 31, 2011 and an overall gain of 30.19% for the Series from the inception of trading on March 16, 2007 to July 31, 2011 (not annualized).

The Series returned 6.92% in July. Investor sentiment in the month was dominated by sovereign debt concerns, both in the Eurozone and the US. A poor US non-farm payrolls number at the beginning of July and a surprisingly weak US GDP report at the end of the month added to the deteriorating outlook. Even as the market weighed up the possibility of a US debt downgrade, fixed income markets rose around the globe in a flight to safety. The Series made strong gains from its long positions in both short term interest rates and bonds, with UK fixed income and German 10-year government bonds being the strongest markets overall. Returns from commodities were also positive with profits from long positions in oils and metals offsetting small losses in the agriculturals markets. Notably, the Series profited from its long position in gold, which reached an all-time high at the end of the month. Lastly, gains were made in the currencies sector. The Series benefited from its net short exposure to the US Dollar despite losses from a long Euro position as the Japanese Yen and New Zealand Dollar strengthened against the US Dollar and the Swiss Franc rose to record levels.

Quarter ended June 30, 2011

This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended June 30, 2011 with a year-to-date loss of (4.23%), based on the net asset value for all other purposes.

April 1, 2011 to June 30, 2011

The Series posted a (3.12%) loss for the month ended June 30, 2011, a loss of (3.78%) and (4.23%) for the three and six months ended June 30, 2011 and an overall gain of 21.76% for the Series from the inception of trading on March 16, 2007 through June 30, 2011 (not annualized and based on net asset value per unit for all other purposes).

The Series lost 3.12% in June. Greek sovereign debt concerns combined with the US Federal Reserve’s downward revision of growth forecasts led to broad risk aversion towards the middle of the month. Disappointing European and Chinese data further added to bearish market sentiment. Against this backdrop the Series made losses as stock markets and commodities declined and the US Dollar strengthened. The losses were partly offset by gains from the Series’ long positions in fixed income markets, particularly German, US and Japanese government bonds, as prices rallied. In the UK, the most recent minutes of the Monetary Policy Committee reinforced the Bank of England’s commitment to a low interest rate environment. Consequently, Sterling fell against the US Dollar while Short Sterling rallied. The International Energy Agency’s decision to release strategic oil reserves added to the downward pressure on oil prices. In agriculturals, the worst performer was corn as prices fell following reports of an unexpectedly large planting season in the US. Towards the end of the month, the Series gave back some of its gains from its long fixed income positions as optimism returned to the markets following the avoidance of default by Greece and the release of strong economic data from the US and Asia.

The Series posted a (4.52%) loss for the month ended May 31, 2011, a (1.14%) loss for the year to date as of May 31, 2011 and an overall gain of 25.68% for the Series from the inception of trading on March 16, 2007 to May 31, 2011 (not annualized).

The Series lost 4.52% in May. Key themes for the month were sell-offs in the commodity markets and continued concerns surrounding Eurozone sovereign debt and global growth. The Series made losses from its long positions in risk-seeking assets with gains coming from the fixed income sectors. Oil prices fell from their recent highs

following the release of bearish inventory statistics at the start of the month and moves by investors to take profits in the commodity sector. Agriculturals and metals markets also retraced from their previous highs. Global equities meanwhile declined amid poor global growth data, to the detriment of the Series’ long positions. Risk aversion boosted demand for the US Dollar, to the detriment of the Series’ net short exposure. The Euro fell due to the Eurozone worries, resulting in losses from the Series’ long EUR/USD position. In fixed income, global bond and interest rate futures rose due to safe-haven appeal, to the benefit of the Series’ growing long bond positions. Positive performance from the interest rates sector was driven by profits from the Series’ long Eurodollar position.

The Series posted a 4.02% return for the month ended April 30, 2011, a 3.54% gain for the year to date as of April 30, 2011 and an overall gain of 31.63% for the Series from the inception of trading on March 16, 2007 to April 30, 2011 (not annualized).

The Series returned 4.02% in April, driven by a combination of US Dollar weakness and robust performance from energies and precious metals. The US Dollar fell against major currencies, benefiting the Series’ net short positioning, amid continued expectations that the US Federal Reserve will keep interest rates low. Long positions in oil and its products made gains at the start of the month as military action in Libya and the civil unrest in the wider region continued. Events on both sides of the Atlantic prompted investors to switch to safe haven assets. Standard & Poor’s cut its outlook on US sovereign debt from stable to negative, driving investors to precious metals, which rallied as a result. Concerns about peripheral European debt boosted the prices of core European fixed income, resulting in losses from the Series’ short positions in Euro Bund and Euribor. Towards the end of the month a series of positive US earnings announcements and successful European government bond auctions helped increase risk appetite. As a result the Series made strong gains from risky assets despite a temporary mid-month energy price correction. Performance from agriculturals was mixed. Cotton futures fell amid uncertainty over demand, while the Series made gains from its long position in coffee as the cost of Arabica rose to a 34-year high following increased demand from developing countries.

Quarter ended March 31, 2011

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2011, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended March 31, 2011 with a year-to-date loss of (0.46%), based on the net asset value for all other purposes.

January 1, 2011 to March 31, 2011

The Series posted a (1.15%) loss for the month ending March 31, 2011, a loss of (0.46%) for the three months ended March 31, 2011 and an overall gain of 26.54% for the Series from the inception of trading on March 16, 2007 through March 31, 2011 (not annualized and based on net asset value per unit for all other purposes).

The Series returned (1.15%) in March. The month began positively with long positions in oil and the products making gains as the Libyan turmoil continued. However, sentiment turned bearish following European sovereign downgrades and weak Chinese trade and inflation data. On March 11, 2011, the worst earthquake and tsunami in Japanese history devastated the country. Japanese equities sold off sharply, resulting in the Series’ long positions in the Nikkei and Topix being the month’s worst performers. The sell-off in equities spread across the globe on worries about the implications for global growth. In response to these events, positions in the portfolio were systematically reduced. Agricultural markets also sold off to the detriment of the Series’ long positions. Signs that the political turmoil in Ivory Coast may be easing caused the cocoa price to tumble from near 33-year highs. Strong US economic data released later in the month enabled the Series to recoup some of its earlier losses from stock indices and commodities. Expectations of an interest rate increase by the European Central Bank resulted in the Euro strengthening against the USD, to the benefit of the Series. These expectations also resulted in gains from the Series’ short position in Euribor, which were partly offset by losses from long exposure to Eurodollar after the US Federal Reserve announced that they would begin unwinding some stimulus measures.

The Series posted a 2.28% return for the month ending February 28, 2011, a 0.70% gain for the year to date as of February 28, 2011 and an overall gain of 28.02% for the Series from the inception of trading on March 16, 2007 to February 28, 2011 (not annualized).

The Series returned 2.28% in February. Following robust economic and earnings data, global stock markets rose at the start of the month with the S&P 500 pushing above the 1,300 level and doubling the low achieved in March 2009. However, tension in North Africa and the Middle East increased towards the end of the month, causing the oil price to soar. The Series made gains from its long positions in oil and its products, making energies the top sector for the month. In response to the geopolitical concerns, stock markets sold off and the Series gave back some of its earlier profits from stock indices. Metals prices generally increased during the month. Some industrial metals rose due to supply concerns and rising global demand, while precious metals rose as safe-haven appeal returned to the market, with silver hitting a 30-year high. Gains were partly offset by losses from the fixed income sectors. Bonds rallied amid the flight to safety, to the detriment of the Series’ short positions in the sector. Commodity-linked currencies found support as the political turmoil boosted raw materials prices. Profits were also seen from the Series’ net short exposure to the USD as it lost ground against several currencies including Sterling, which was supported by speculation that the Bank of England may raise interest rates earlier than the US Federal Reserve.

The Series posted a (1.55%) loss for the month of January 2011 and an overall gain of 25.16% for the Series from the inception of trading on March 16, 2007 to January 31, 2011 (not annualized).

The Series returned (1.55%) in January. There were two main themes that drove markets during the month: civil unrest in North Africa and increased concerns about inflation. The People’s Bank of China raised its reserve ratio requirement for the fourth time in two months in an effort to prevent its economy from overheating. Meanwhile, in Europe, ECB President Jean-Claude Trichet signaled a potential for interest rate increases in the Eurozone after inflation data exceeded forecasts. The Series incurred losses from its long Euribor and Schatz holdings but benefited from a weaker Euro. In addition, the bonds sector saw losses from the short positions in Australian instruments as the severe flooding saw prices rally on safe haven demand. In commodities, the main losses came from silver and gold which were both affected by profit-taking after silver hit multi-decade highs and gold reached all-time highs, reinforced by some stronger economic news during the month. By contrast, the energies sector was the month’s best performer. Concerns about the Egyptian crisis drove Brent crude, gas oil and heating oil higher, to the benefit of the Series’ long positions across the oils complex. In agriculturals, the Series’ long positions continued to generate positive performance as prices in grains and softs moved upwards, further fuelling the inflation debate.

Quarter ended December 31, 2010

This performance description is a brief summary of how the Series performed during the quarter ending December 31, 2010, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended December 31, 2010 with a year-to-date return of 11.58%, based on the net asset value for all other purposes.

October 1, 2010 to December 31, 2010

The Series posted a 4.55% return for the month ending December 31, 2010, a gain of 3.83% and 11.58% for the three and twelve months ended December 31, 2010 and an overall gain of 27.13% for the Series from the inception of trading on March 16, 2007 (not annualized and based on net asset value per unit for all other purposes).

The Series returned 4.55% in December. Optimistic signals of a global recovery helped risk appetite return to the markets. The decision to extend the tax cuts in the United States led to an aggressive sell-off in US Treasuries and a general sell-off in global fixed income. This resulted in some losses from the Series’ small long bond and interest rate positions. Stock indices however performed well to the benefit of the Series’ long positions. Energy and metals prices also rose over the month, with the Series’ long position in reformulated gasoline performing especially well. This robust performance from risky assets reduced safe-haven demand for the US Dollar, which lost ground against major currencies to the benefit of the Series’ net short exposure. The best performance this month came from the

commodity-driven Australian Dollar, which reached its highest level against the US Dollar since July 1982. Continued strong demand from China propped up the agricultural and industrial metals markets and copper reached a record high. The agriculturals sector was the largest driver of positive returns, with prices here also being driven upwards by supply and weather concerns. The Series also profited from the return of safe-haven demand for gold amid poor US housing and consumer confidence data and lingering concern about Chinese rates.

The Series posted a (3.95%) loss for the month ending November 30, 2010, a 6.73% return for the year to date as of November 30, 2010 and an overall gain of 21.60% for the Series from the inception of trading on March 16, 2007 to November 30, 2010 (not annualized).

The Series returned (3.95%) in November. The month started positively following the Federal Reserve’s announcement of a second round of quantitative easing, which led to a rally in global stock markets and a decline in the US Dollar. The Series made gains on its long positions in agriculturals and metals as prices rose due to US Dollar weakness and some agricultural supply-side concerns. However, the remainder of the month was characterized by risk aversion. Concerns about European sovereign debt contagion pushed the Euro lower, while the US Dollar strengthened against major currencies, to the detriment of the Series’ net short US Dollar positioning. Risk aversion was also driven by monetary tightening in China causing risky assets to sell off. Fixed income markets also experienced reversals, having already absorbed the expected impact of quantitative easing. The Series incurred losses on its long bond positions as yields across the curve rose in the US and the UK. In Japan, stronger-than-expected GDP growth helped push Japanese equities higher. The Series’ long position in Japanese Government Bonds incurred losses due to the reduced demand for the perceived safety of fixed income. Towards the end of the month, tension on the Korean peninsula sparked a flight to safety, driving stock markets lower. Precious metals gained, particularly at the end of the month, making gold and silver the top-performing instruments.

The Series posted a 3.41% loss for the month ending October 31, 2010, a 11.12% return for the year to date as of October 31, 2010 and an overall gain of 26.61% for the Series from the inception of trading on March 16, 2007 to October 31, 2010 (not annualized).

The Series returned 3.41% in October. Continued speculation about the magnitude and extent of a further round of quantitative easing and a general increase in risk appetite saw commodity markets rise in October against a backdrop of a further weakening dollar and increasing Treasury yields. The Series’ long bond positions incurred losses as the threat of a double-dip recession waned. For the first time ever, US TIPS maturing in five years time were sold at a negative yield, highlighting the overwhelming demand for inflation protection. Meanwhile the Series made gains in currencies. The US Dollar continued its slide against major trading partners, reaching 15-year lows against the Yen and briefly touching parity with the commodity-led Australian dollar. The Series also capitalized on its commodity positions, particularly in agriculturals and precious metals. A report by the USDA early in the month highlighted the effects of adverse weather on harvests in grains and softs making the agricultural sector the Series’ best performer for the month. Precious metals rallied in response to the weakening dollar whilst industrial metals such as copper and zinc reacted to the positive growth outlook.

Quarter ended September 30, 2010

This performance description is a brief summary of how the Series performed during the quarter ending September 30, 2010, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended September 30, 2010 with a year-to-date return of 7.46%, based on the net asset value for all other purposes.

July 1, 2010 to September 30, 2010

The Series posted a 0.56% return for the month ending September 30, 2010, a gain of 5.57% and 7.46% for the three and nine months ended September 30, 2010 and an overall gain of 22.44% for the Series from the inception of trading on March 16, 2007 (not annualized and based on net asset value per unit for all other purposes).

The Program returned 0.56% in September. The month started with investor optimism following strong manufacturing numbers out of China and the US. Consequently, fixed income markets sold off, to the detriment of the Program’s long positions, while equity markets rallied. However, the prices of US bonds recovered following the US Federal Reserve’s comments towards the end of the month about the possibility of a further round of quantitative easing. Similarly, Japanese Government bond prices also recovered following the Bank of Japan’s mid-month market action in an effort to weaken the Yen. Against this backdrop, the US Dollar declined to the benefit of the Program’s net short positioning, particularly against commodity currencies and the Swiss Franc. Long positions in emerging market currencies also contributed positively. Performance in commodities was mixed. Strong performance in agriculturals was driven by gains on long positions in cotton, the soy complex, sugar and corn. Grain prices rallied after delays in the US harvest and poor crop yields; cotton reached 15-year highs as poor weather in China and floods in Pakistan damaged crops. In energies, oil prices gained on the back of a weaker US Dollar and an unexpected drop in inventories towards the end of the month, to the detriment of the Program’s short positioning. Lastly, performance in metals was largely driven by gains from gold and silver, whose prices rallied on the back of safe-haven buying.

The Series posted a 6.67% gain for the month ending August 31, 2010, a 6.86% return for the year to date as of August 31, 2010 and an overall gain of 21.76% for the Series from the inception of trading on March 16, 2007 to August 31, 2010 (not annualized).

The Series had a strong August and returned 6.67%. Performance was largely driven by the long positions held by the Series in fixed income, particularly bonds. August was characterised by risk-aversion in markets, which was fuelled by poor economic data out of the US and dovish comments by the Federal Reserve’s Chairman early in the month. The UK, Europe and Japan also released weak data. Consequently, the majority of global stock markets sold off and posted losses for the month. Against this backdrop, fixed income markets rallied worldwide and the US Dollar strengthened. Losses on the Program’s net short exposure to the US Dollar were partially offset by gains on long exposures to other safe-haven currencies, namely, the Swiss Franc and the Japanese Yen. The Yen hit 15-year highs in August and the Bank of Japan met several times to discuss the Yen’s strength. In energies, gains on short positions in crude oil and natural gas were reduced by variable exposures to gas oil and reformulated gasoline. Crude oil and natural gas prices declined as a result of the weaker growth outlook and risk aversion. Natural gas was further affected by bearish inventory data. Performance in agriculturals was largely driven by losses on long positions in Robusta coffee. After rangebound behaviour for most of the month, prices pulled back sharply on the 24th following strong export numbers out of Vietnam.

The Series posted a 1.59% loss for the month ending July 31, 2010, a 0.18% return for the year to date as of July 31, 2010 and an overall gain of 14.14% for the Series from the inception of trading on March 16, 2007 to July 31, 2010 (not annualized).

The Series finished July with a return of (1.59%). In a similar pattern to recent months, positive performance was seen in currency markets and from long positions in fixed income despite volatility towards the end of the month. However, short exposures in equities and commodities experienced losses as these sectors generally rallied, reversing the downward trends of previous months. The fixed income performance was driven by the US and UK markets. In the US, weaker than expected economic data released in the middle of the month pushed both government bonds and short term interest rate futures higher. In the UK, the trend was briefly derailed by unexpectedly strong GDP figures but prices recovered following the Bank of England statement playing down the significance of this on the outlook for interest rates. Global equity markets rallied sharply, helped by strong earnings results and economic data in Europe and the UK, as well as the relatively benign impact of the EU banks’ stress testing results. Energy and base metal markets also joined in this rally, hurting the Series’ short exposures, especially in Zinc. By contrast, the Gold price fell back in July as economic worries waned, causing some giveback of recent profits. Finally, agriculturals produced mixed results. The short position in wheat suffered as the market saw its biggest monthly gain since 1973 driven by supply concerns over droughts in Russia and Ukraine. However, long exposure in coffee profited as prices reached a 12-year high.

Quarter ended June 30, 2010

This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2010, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which

certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended June 30, 2010 with a year-to-date return of 1.79%, based on the net asset value for all other purposes.

April 1, 2010 to June 30, 2010

The Series posted a 0.75% return for the month ending June 30, 2010, a gain (loss) of (0.94%) and 1.79% for the three and six months ended June 30, 2010 and an overall gain of 15.98% for the Series from the inception of trading on March 16, 2007 (not annualized and based on net asset value per unit for all other purposes).

The Series returned 0.75% in June. Performance was driven by gains on long positions in fixed income markets. Fixed income prices rallied, particularly towards the end of the month as investors questioned the sustainability of global growth given the poor economic data out of the US, Japan, China and concerns about the creditworthiness of European banks and governments. The commitment of central banks to keep rates at current levels also helped boost the price of interest rate futures. The currencies sector was the worst performer as losses on the short Swiss Franc and Sterling exposures offset small gains on the short Euro exposure. The Swiss National Bank decided that deflationary risks were no longer a threat and stopped limiting the Swiss Franc’s strength, whilst in the United Kingdom the emergency budget and commentary surrounding it caused Sterling to strengthen against the US Dollar. In agriculturals, NYMEX front-month coffee futures rallied 22% over the course of June, to the detriment of the Fund’s short positioning. Price action was driven by concerns about global supply. In energies, natural gas prices rallied in the first half of the month due to a combination of short covering and bullish inventory data.

The Series posted a (3.23%) loss for the month ending May 31, 2010, a 1.04% return for the year to date as of May 31, 2010 and an overall gain of 15.12% for the Series from the inception of trading on March 16, 2007 to May 31, 2010 (not annualized).

The Series finished May with a return of (3.23%). The bulk of the negative performance arose in the first week of the month when a sell-off in risky assets such as stock indices and commodities hurt the Series’ generally long exposures in these sectors. Fears of contagion in the European debt crisis drove stock markets downwards, helped by the intraday volatility seen in US indices on the 6th of May caused by an alleged trading irregularity. Energy markets also fell back sharply during this period and these two sectors finished as the Series’ worst performers for the month. Their performance impact for the remainder of the month was relatively muted as smaller position sizes mitigated the impact of the continued volatility. Performance in industrial metals followed a similar pattern, but was partly offset by profits in Gold which made new highs mid-month. Fixed Income markets also saw positive performance throughout the month as the general risk aversion saw these markets rally strongly. The best performances came from long positions in European and UK markets at both ends of the curve. Significant dispersion was seen from currency trading. The strengthening US Dollar yielded good profits for long positions against the major European currencies but these were offset by losses elsewhere in the sector, most notably against the Australian Dollar.

The Series posted a 1.61% return for the month ending April 30, 2010, a 4.41% return for the year to date as of April 30, 2010 and an overall gain of 18.96% for the Series from the inception of trading on March 16, 2007 to April 30, 2010 (not annualized).

The Series returned 1.61% in April. The month was characterized by competing drivers of returns. Strong economic data and positive earnings announcements aided long stock positions in the early part of the month but these gains were largely given back as sentiment reversed following the announcement of SEC charges against Goldman Sachs and sovereign credit downgrades in Europe. The latter events however provided good opportunities for the Series’ long fixed income positions, notably in Europe and Japan. Positive returns in currency markets were driven by a weakening Euro and emerging market exposure. Performance in commodities was mixed. The Series benefited from continuing rises in oil markets but incurred modest losses in the other commodity sectors Agricultural markets painted a mixed picture with gains on short positions in sugar being offset by losses on short grains’ exposures. Base metals declined following more bearish economic sentiment towards the end of the month resulting in small losses on long positions in aluminum and copper.

Quarter ended March 31, 2010

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2010, and not necessarily an indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not in fact have caused such movements, but simply may have occurred at or about the same time. The Series’ past results are not necessarily indicative of future results.

The Series ended March 31, 2010 with a year-to-date return of 2.76%, based on the net asset value for all other purposes.

January 1, 2010 to March 31, 2010

The Series posted a 3.47% return for the month ending March 31, 2010, a gain of 2.76% for the three months ended March 31, 2010 and an overall gain of 17.08% for the Series from the inception of trading on March 16, 2007 through March 31, 2010 (not annualized and based on net asset value per unit for all other purposes).

The Series finished March with a net return of 3.47%. Data releases pointing to economic recovery drove the prices of risky assets higher, despite some continued concerns about European sovereign debt mid-month. Consequently, global stock markets rallied, producing good profits for the Series, and bond markets sold off. Japanese Government Bonds were the Series’ worst performer. In currencies, emerging market and commodity currencies strengthened against the USD to the benefit of the Series’ positions, while European interest rate markets were buoyed by concerns over Greece and poor economic data out of the United Kingdom. Commodities markets generally followed the direction of stock markets and finished the month higher. In energies, this resulted in positive performance on long positions in the oil complex, but the Series also profited on the short side from the decline in the natural gas price following milder weather in the United States and a build-up in inventories. In agricultural commodities, positive performance on short positions in corn and wheat was more than offset by losses in sugar and coffee. The sugar losses were incurred early in the month when prices fell to 11-week lows as the supply outlook improved. Good profits were seen in industrial metals, especially nickel which reached 22-month highs.

The Series posted a 2.27% return for the month ending February 28, 2010, a (0.69%) loss for the year to date as of February 28, 2010 and an overall gain of 13.15% for the Series from the inception of trading on March 16, 2007 to February 28, 2010 (not annualized).

The Series finished February with a positive return of 2.27%. The month of February was, to a large degree, dominated by news-flow relating to the debt crisis within the Euro-zone. The prevailing macroeconomic sentiment oscillated between risk aversion and inflationary concerns with the former being marginally dominant over the calendar month. As a result the Series saw profits from the long positions in both short-term interest rate futures contracts and some bond markets. Positive performance was also seen in other sectors with the long positions in energy contracts benefiting from the further upward move in prices during the middle of the month and the weakness of the Euro and British Pound providing opportunity for profits in the currencies sector. Smaller positive contributions were seen from the small long exposures in both stock indices and metals; the price action in each of these sectors were similar as a sell-off at the beginning of the month was followed by a recovery during the remainder of the month as risk aversion fears dominated. The largest negative performance was seen in agricultural commodities. The longer-term bull market in sugar reversed sharply from multi-year highs as output in both Brazil and India rose.

The Series posted a (2.89%) loss for the month of January 2010 and an overall gain of 10.64% for the Series from the inception of trading on March 16, 2007 to January 31, 2010 (not annualized).

The Series finished January with a loss of (2.89%). After positive performance in the first two weeks of the year, a reversal in investor risk appetite was the primary factor resulting in a loss for the calendar month. The change in sentiment was driven, in part, by disappointing earnings announcements and fears over potential monetary tightening in China as the People’s Bank of China increased banks’ reserve requirements and introduced measures aimed at curbing lending.

As a result the Series’ long positions in stock indices and the net short exposure to the USD saw losses. Long positions in fixed income markets benefited from the move toward risk aversion, some U.K. data and comments by both the Bank of England and the European Central Bank. In addition, the strengthening USD and poorer growth outlook also resulted in many commodities markets selling off. This was particularly detrimental to the Series’ long positioning in the oil complex and industrial metals. Oil prices faced additional downward pressure due to an increase in inventories and milder weather in the Unites States. In agriculturals, gains on the long exposure to sugar markets, whose price rallied due to supply concerns, more than offset losses on long positions in the soy complex and cotton.

For further information, please refer to the 2010 and 2011 Master Fund financial statements which are attached as Exhibit 13.02.

Variables Affecting Performance

The principal variables that determine the net performance of the Series are gross profitability from the Master Fund’s trading activity and interest income.

The Series’ assets invested in the Master Fund are maintained at the Clearing Broker. On assets held in U.S. dollars, the Clearing Broker credits the Master Fund with interest at the prevailing Federal Funds Rate. In the case of non-U.S. dollar instruments, the Clearing Broker lends to the Master Fund all required non-U.S. currencies at a local short-term interest rate plus a spread of up to 100 basis points per annum (at current rates). For deposits held in non-U.S. currencies, the Clearing Broker credits the local short-term interest rate less a spread of up to 200 basis points per annum (at current rates).

The Series’ management, Sponsor’s and operating expenses and the sales commissions are a constant percentage of the Series’ net asset value for all other purposes. Trading costs allocated from the Master Fund (based on the Series pro rata investment in the Master Fund), which are not based on a percentage of the Series’ net assets, are based on the volume of trades executed and cleared on behalf of the Master Fund. Trading costs are based on the actual number of contracts traded. The performance fees payable to the Trading Advisor are based on the new net trading profits, if any, generated from the Series’ investment in the Master Fund, excluding interest income and after reduction for trading costs and certain other fees and expenses.

For the Master Fund, there is generally no meaningful distinction between realized and unrealized profits. Most of the instruments traded by the Master Fund are highly liquid and can be closed out immediately.

Off-balance Sheet Arrangements

The Series has no applicable off-balance sheet arrangements of the type described in Items 3.03(a)(4) of Regulation S-K.

Contractual Obligations

The Series does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. Via its investment in the Master Fund, the Series’ sole business is trading futures and forward currency contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by the Master Fund by offset, not delivery. The Master Fund’s Financial Statements filed as Exhibit 13.02 herewith present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Series’ open future and forward currency contracts, both long and short, at December 31, 2011 and 2010.


Item 7A: Quantitative and Qualitative Disclosures About Market Risk

Not applicable; the Series is a smaller reporting company

Item 8: Financial Statements and Supplementary Data

Net Income by Quarter (unaudited)
Four Quarters through December 31, 2011


	First Quarter 2011			Second Quarter 2011			Third Quarter 2011			Fourth Quarter 2011			Total


Total Income (Loss)	$	687,622		$	(1,845,662	)	$	8,045,785		$	(36,011	)	$	6,851,734
Total Expenses		(978,294	)		(966,597	)		(2,068,669	)		(1,024,702	)		(5,038,262	)

Net Income (Loss)	$	(290,672	)	$	(2,812,259	)	$	5,977,116		$	(1,060,713	)	$	1,813,472


Net Income (Loss) per Unit¹	$	(5.50	)	$	(49.65	)	$	105.17		$	(18.03	)	$	32.26

¹Based on average number of Units for the year.

Net Income by Quarter (unaudited)
Four Quarters through December 31, 2010


	First Quarter 2010			Second Quarter 2010			Third Quarter 2010			Fourth Quarter 2010			Total


Total Income (Loss)	$	2,530,537		$	276,498		$	4,330,412		$	4,144,203		$	11,281,650
Total Expenses		(818,005	)		(824,195	)		(1,009,305	)		(1,628,093	)		(4,279,598	)

Net Income (Loss)	$	1,712,532		$	(547,697	)	$	3,321,107		$	2,516,110		$	7,002,052


Net Income (Loss) per Unit¹	$	33.19		$	(10.62	)	$	64.37		$	48.77		$	135.71

¹Based on average number of Units for the year.

As the Platform is classified as a Smaller Reporting Company, as defined by Rule 229.10(f)(1) of Regulation S-K, the supplementary financial information required by Item 302 of Regulation S-K is not applicable.


Item 9: Changes in and Disagreements With Accountants on Accounting and Financial Disclosure

None.

Item 9A: Controls and Procedures

The Sponsor, with the participation of the Sponsor’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Platform and Series as of the end of the fiscal year for which this Annual Report on Form 10-K is being filed, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no significant changes in the Sponsor’s internal controls with respect to the Platform or Series or in other factors applicable to the Platform or Series that could materially affect these controls subsequent to the date of their evaluation.

Changes in Internal Control over Financial Reporting

Management’s Annual Report on Internal Control over Financial Reporting

The Sponsor is responsible for establishing and maintaining adequate internal control over the financial reporting of the Master Fund and the Series. Internal control over financial reporting is defined in Rules 13a-15(f) and 15d-15(f) under the Securities Exchange Act of 1934, as amended, as a process designed by, or under the supervision of, a company’s principal executive and principal financial officers and effected by a company’s board of directors, management and other personnel, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with U.S. generally accepted accounting principles. The Sponsor’s internal control over financial reporting includes those 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 Master Fund and the Series;
•	provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements of the Master Fund and the Series in accordance with U.S. generally accepted accounting principles, and that receipts and expenditures of the Master Fund and the Series are being made only in accordance with authorizations of management and directors of the Sponsor; and
•	provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Master Fund’s and the Series’ assets that could have a material effect on their respective financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

The principal executive and financial officers of the Sponsor assessed the effectiveness of its internal control over financial reporting with respect to the Master Fund and the Series as of December 31, 2011. In making this assessment, the principal executive and financial officers used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control — Integrated Framework. Based on its assessment, they have concluded that, as of December 31, 2011, the Sponsor’s internal control over financial reporting with respect to the Series is effective based on those criteria.

This annual report does not include an attestation report of the Series’ registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Series’ registered public accounting firm pursuant to rules of the Securities and Exchange Commission that permit the Sponsor to provide only management’s report in this annual report.


Item 9B: Other Information

None.

PART III


Item 10: Directors, Executive Officers and Corporate Governance

(a) and (b) Identification of Directors and Executive Officers

The Series, as a segregated series of a limited liability company, and the Master Fund themselves have no officers or directors and are managed by the Sponsor.

The following are the principal officers and managers of the Sponsor.

Aleks Kins. Mr. Kins, age 41, founded AlphaMetrix in May 2005, became listed as a principal and licensed as an associated person on July 6, 2005, and is currently its President and Chief Executive Officer. In such capacity, Mr. Kins has overseen the development of AlphaMetrix’s proprietary software and electronic managed account platforms that provide transparency, advanced risk monitoring and efficient access to professional futures and derivatives traders. On July 21, 2008, Mr. Kins founded AlphaMetrix360, LLC, which registered with the CFTC as a CTA and became a member of NFA in August 2008. AlphaMetrix360, LLC did not conduct any business as a CTA and subsequently terminated its registration and membership on December 18, 2008. AlphaMetrix360, LLC subsequently changed its name to AlphaMetrix Financial Investigations, LLC and currently conducts business as a licensed private detective agency. On September 30, 2010, Mr. Kins founded a new limited liability company named AM 360°, LLC, of which he is its Chief Executive Officer. In October 2010, AM 360°, LLC changed its name to AlphaMetrix 360°, LLC. AlphaMetrix 360°, LLC acquired the assets of Spectrum Global Fund Administration in December 9, 2010. In February 2011, AlphaMetrix 360°, LLC changed its name to AlphaMetrix360, LLC. AlphaMetrix360, LLC has been retained by the Platform to perform administrative services for the Platform, the Series, the Underlying Funds and the Master Funds, among other funds sponsored by the Sponsor. Mr. Kins is also the founder of AlphaMetrix Alternative Investment Advisors, LLC (“AlphaMetrix AIA”), an independent research affiliate of AlphaMetrix. Mr. Kins was approved as a principal and associated person of AlphaMetrix AIA in November 2007. AlphaMetrix AIA is a registered CTA that performs research, trading advisor due diligence and certain investment management and portfolio services. Mr. Kins was a principal and an associated person of Dekla Financial, LLC (“Dekla”), an affiliate of AlphaMetrix AIA from September 2005 and December 2005, respectively, until October 2010. Dekla was registered with the NFA as an Introducing Broker on December 7, 2005, and as a Notice Broker-Dealer on January 17, 2007. Dekla recently de-registered as an Introducing Broker and Notice Broker-Dealer, which became effective as of October 16, 2010. Dekla served as the introducing broker for various commodity pools sponsored by AlphaMetrix AIA and other futures trading accounts until its de-registration as an Introducing Broker and Notice Broker-Dealer. Dekla is not currently serving as an Introducing Broker or a Notice Broker-Dealer since it withdrew its registration with CFTC.

David Young. Mr. Young, age 46, joined AlphaMetrix in March 2010 as its Chief Operations Officer. Mr. Young’s registration as a principal of AlphaMetrix was approved on March 19, 2010. Mr. Young previously held the position of President at Spectrum Global Fund Administration from March 2002 through March 2010. Spectrum Global Fund Administration provides middle and back office outsourcing and administration services to hedge funds and funds of funds through its proprietary technology platform. He was also the President and COO of Midland Trading, LLC, an options specialist firm trading at the Chicago Board of Options Exchange, from March 2000 until March 2002. Midland Trading, LLC was formed in March of 2000 through a restructuring of The Arbitrage Group, LLC, an options specialist firm trading at the Chicago Board of Options Exchange. Mr. Young was the Chief Financial Officer of The Arbitrage Group, LLC from August 1998 until March 2000. Prior to working at Midland Trading, LLC, Mr. Young was the Chief Financial Officer of Fenchurch Capital Management, LLC, a hedge fund in Chicago trading in fixed income arbitrage, from August of 1989 until August of 1998. From August of 1987 until August of 1989, Mr. Young was a Senior Accountant with First Options of Chicago, an options trading firm. Mr. Young received a Bachelor of Science degree in Accounting from North Central College, Naperville, Illinois, in 1987.

George Brown. Mr. Brown, age 56, joined AlphaMetrix in March 2008 and is its Chief Financial Officer. Mr. Brown served as a consultant for Nature’s Best, a sports nutrition and protein beverages producer, from December 2007 to February 2008, as Chief Financial Officer of Ultraguard Corporation, a manufacturer of dual smoke/carbon monoxide detectors and wireless monitor systems, from September 2005 to August 2007 and as Chief Financial Officer for Old London Foods, Inc., a producer of branded crackers and co-packed private label bread

crumbs, from July 1997 until August 2005. From September 2007 to December 2007, Mr. Brown was self-employed as a financial consultant. Mr. Brown received an M.B.A. in Finance from the University of Chicago in 1979 and a B.A. in Economics (Morehead Scholarship) from the University of North Carolina in 1977.

Franz Gildemeister. Mr. Gildemeister, age 36, joined AlphaMetrix in July 2010, was approved as a Principal on June 22, 2011, and is currently its Chief Fund Accountant and Controller. In such capacity, Mr. Gildemeister oversees the accounting for AlphaMetrix’s fund structures, including the semimonthly net asset values for the funds, audited annual financial statements, any required financial filings with the SEC, and K-1s for all U.S. clients. From July 2010 to June 24, 2011 Mr. Gildemeister held the position of Director of Fund Accounting and, in such capacity he acted as liaison between AlphaMetrix and their fund administrator to ensure the timely and accurate calculation of the semi-monthly nets asset values for the funds. Prior to joining AlphaMetrix, Mr. Gildemeister was the Controller for Sky Road LLC, a front-office solutions provider for hedge funds from November 2008 through June 2010. His primary responsibilities were maintaining the books and records for the company and assisting in the preparation of the company’s foreign and domestic tax filings. From August 2006 through October 2008, Mr. Gildemeister was the Director of Accounting for VARA Capital Management, LLC, a hedge fund manager, employing a global macro strategy. His primary responsibilities were to prepare the monthly and year-end financial statements under U.S. GAAP for the hedge funds managed by the company. Prior to joining VARA Capital Management, LLC, Mr. Gildemeister was a Senior Client Relationship Manager at Spectrum Global Fund Administration from July 2003 through August 2006. He managed the day to day back office operations for hedge fund clients employing a variety of strategies including, fixed income arbitrage, distressed debt, global macro and emerging markets. Mr. Gildemeister received a B.S. degree in Accounting from Hartwick College, Oneonta, New York in 1997 and is a registered CPA in the state of Vermont.

None.

(d) Family Relationships

Mr. Kins and Mr. Brown are brothers-in-law.

(e) Business Experience

See Item 10(a) and (b) above.

(f) Involvement in Certain Legal Proceedings

None.

(g) Section 16(a) Beneficial Ownership Reporting Compliance

None

(h) Code of Ethics

The Master Fund and the Series have no employees, officers or directors and are managed by the Sponsor. The Sponsor has adopted an Executive Code of Ethics that applies to its principal executive officers, principal financial officer and principal accounting officer. A copy of this Executive Code of Ethics may be obtained at no charge by written request to AlphaMetrix, LLC, 181 West Madison, 34^th floor, Chicago, Illinois 60602.

(i) Audit Committee Financial Expert

Because the Master Fund and the Series have no employees or officers, the Master Fund and the Series have no audit committee. The Master Fund and the Series is managed by the Sponsor. George Brown serves as the Sponsor’s


“audit committee financial expert.” George Brown is not independent of the management of the Sponsor. The Sponsor is a privately owned limited liability company. It has no independent directors.

Item 11: Executive Compensation

The Series has no directors, officers or employees. None of the directors, officers or employees of the Sponsor receives compensation from the Series. The Sponsor receives a monthly sponsor fee of 0.04166 of 1% (a 0.50% annual rate) of the Series’ month-end net asset value for all other purposes, taking into account interest income, of each Member’s investment in the Series for such month. The officers of the Sponsor receive no “other compensation” from the Series. There are no compensation plans or arrangements relating to a change in control of any of the Series, the Platform or the Sponsor.

Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

(a) Security Ownership of Certain Beneficial Owners

Not applicable. All of the Platform’s manager interest is held by the Sponsor.

(b) Security Ownership of Management

As of December 31, 2011 and 2010, the Trading Advisor and the executive officers and the principals of the Sponsor did not own directly or indirectly any Units. As of December 31, 2011 and 2010, the Sponsor owned directly 8.120 Units, which constituted 0.01% of the total Units outstanding, and did not own any Units indirectly.

None.

(d) Securities Authorized for Issuance Under Equity Compensation Plans

None.


Item 13: Certain Relationships and Related Transactions, and Director Independence

(a) Transactions With Related Persons

See Item 11 “Executive Compensation,” Item 12 “Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters,” and “Item 1(c) “Narrative Description of Business.” As of December 31, 2011 and 2010, the Series had paid the following: (a) Sponsor’s fees of $367,825 and $311,241 to the Sponsor;

The Sponsor controls the management of the Master Fund and the Series and serves as its sponsor. Although the Sponsor will not sell any assets, directly or indirectly, to the Master Fund or the Series, affiliates of the Sponsor will make substantial profits from the Master Fund and the Series due to the foregoing arrangements. No loans have been, are or will be, outstanding between the Sponsor or any of its principals and the Master Fund and the Series.

(b) Review, Approval or Ratification of Transactions with Related Persons

None.

The Master Fund has two directors who are independent. The Series does not have directors. None of the directors of the Sponsor are independent. See Item 10(a) and (b) “Identification of Directors and Executive Officers.”


Item 14: Principal Accounting Fees and Services

(1) Audit Fees

Aggregate fees billed for professional services rendered by Deloitte & Touche, LLP (“D&T”) in connection with the audit of the Series’ financial statements and reviews of financial statements included in the Series’ Form 10-Q or for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements as of and for the years ended December 31, 2011 and 2010 were $161,100 and $151,100, respectively.

(2) Audit-Related Fees

There were no fees for audit related services rendered by D&T for the years ended December 31, 2011 and 2010 related to the Series.

(3) Tax Fees

Aggregate fees billed for professional services rendered by Arthur F. Bell, Jr & Associates, L.L.C. in connection with tax compliance, tax advice and tax planning for the years ended December 31, 2011 and 2010, were approximately $7,310 and $11,330, respectively.

(4) All Other Fees

No fees were incurred by D&T, or any member firms of D&T and their respective affiliates, during the years ended December 31, 2011 and 2010 for any other professional services in relation to the Series.

(5) Pre-Approval Policies

The Sponsor’s principal executive and financial officers review the estimated audit and tax fees prior to engaging an auditor or tax services for the Series.

PART IV


Item 15: Exhibits, Financial Statement Schedules

(a)(1) Financial Statements

See Financial Statements filed herewith as Exhibit 13.01.

     Affirmation of AlphaMetrix, LLC.
     Report of Independent Registered Public Accounting Firm
     Statements of Financial Condition
     Statements of Operations
     Statements of Changes in Members’ Capital
     Notes to Financial Statements

(a)(2) Financial Statement Schedules

Financial statement schedules not included in this Form 10-K have been omitted because they are not required or are not applicable or because equivalent information has been included in the Financial Statements filed herewith as Exhibit 13.01 or notes thereto.

(a)(3) Exhibits Required by Item 601 of Regulation S-K

The following exhibits are included herewith.


Exhibit Number		Description of Document

**1.1		Selling Agreement.
*3.1		Certificate of Formation of AlphaMetrix Managed Futures LLC.
****4.1		Amended and Restated Limited Liability Company Operating Agreement
****4.2		Amended and Restated Separate Series Agreement for the Series.
****10.1		Advisory Agreement.
****10.2		Representation Letter.
**10.3		Administration Agreement.
*10.4		Form of Customer Agreement.
**10.5		Form of Subscription Agreement.
***10.6		Assignment Agreement
****10.7		General Assignment and Assumption Agreement
****10.8		Administration Agreement Assignment
13.01		2011 and 2010 AlphaMetrix Managed Futures LLC Financial Statements and Report of Independent Registered Public Accounting Firm.
13.02		2011 and 2010 AlphaMetrix Aspect Fund – MT0001 Financial Statements and Report of Independent Registered Public Accounting Firm.
**21.1		List of Subsidiaries.
31.1		Certification of Principal Executive Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.
31.2		Certification of Principal Financial Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934.
32.1		Certification of Principal Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2		Certification of Principal Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
*****101.INS		XBRL Instance Document
*****101.SCH		XBRL Taxonomy Extension Schema
*****101.CAL		XBRL Taxonomy Extension Calculation Linkbase
*****101.DEF		XBRL Taxonomy Extension Definition Linkbase
*****101.LAB		XBRL Taxonomy Extension Label Linkbase
*****101.PRE		XBRL Taxonomy Extension Presentation Linkbase

* Incorporated by reference to the Series’ Form 10/A previously filed on November 2, 2006.
** Incorporated by reference to the Series’ Form 10/A previously filed on January 30, 2007.
*** Incorporated by reference to the Series’ Form 8-K previously filed on October 1, 2008.
**** Incorporated by reference to the Series’ Form 8-K previously filed on November 6, 2008.
***** Pursuant to Rule 406T of Regulation S-T, the Interactive Data Files on Exhibit 101 hereto are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 or 12 of the Securities Act of 1933, as amended, are deemed not filed for purposes of Section 18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) 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 on the 30th day of March, 2012.

Dated: March 30, 2012

ALPHAMETRIX MANAGED FUTURES LLC (ASPECT SERIES)

By: AlphaMetrix, LLC.
Sponsor


By: /s/ Aleks Kins

Name: Aleks Kins
Title: President and Chief Executive Officer

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Sponsor of the registrant in the capacities and on the date indicated.


Signature	Title with Managing Owner	Date


/s/ George Brown	Chief Financial Officer	March 30, 2012

George Brown

/s/David Young	Chief Operations Officer	March 30, 2012

David Young

AlphaMetrix, LLC
Sponsor of Registrant
March 30, 2012

S-1

AlphaMetrix Managed Futures LLC - FORM 10-K - March 30, 2012

Attached files

AlphaMetrix Managed Futures LLC Reports