Attached files
| file | filename |
|---|---|
| EXCEL - IDEA: XBRL DOCUMENT - AlphaMetrix Managed Futures LLC | Financial_Report.xls |
| 10-K - AlphaMetrix Managed Futures LLC | c69010_10-k.htm |
| 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-13.02 - AlphaMetrix Managed Futures LLC | c69010_ex13-02.htm |
Exhibit 13.01
ALPHAMETRIX MANAGED
FUTURES LLC
(A Limited Liability Company)
Financial Statements as of December 31, 2011
and 2010
and for each of the two years ended December 31, 2011 and 2010,
and Report of Independent Registered Public Accounting Firm
AFFIRMATION OF ALPHAMETRIX, LLC.
In compliance with the Commodity Futures Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained in the statements of financial condition of AlphaMetrix Managed Futures LLC as of December 31, 2011 and 2010, and the related statements of operations and changes in members’ capital for each of the two years ended December 31, 2011, are accurate and complete.
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/s/ Aleks Kins |
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Aleks Kins |
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President and Chief Executive Officer |
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AlphaMetrix, LLC. |
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Manager of AlphaMetrix Managed Futures LLC |
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1
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Members of AlphaMetrix Managed Futures LLC:
We have audited the accompanying statements of financial condition of AlphaMetrix Managed Futures LLC, comprised of AlphaMetrix Managed Futures LLC (Aspect Series) (“Aspect Series”), (a series of a Delaware Series Limited Liability Company) (collectively the “Platform”) as of December 31, 2011 and 2010, and the related statements of operations and changes in members’ capital for the years then ended. These financial statements are the responsibility of the Platform’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Platform is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Platform’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements referred to above present fairly, in all material respects, the financial position of the Platform at December 31, 2011 and 2010, and the results of its operations and the changes in its members’ capital for the years then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
Chicago,
Illinois
March 30, 2012
ALPHAMETRIX MANAGED FUTURES LLC
Statements of Financial Condition
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AlphaMetrix |
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AlphaMetrix |
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AlphaMetrix |
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AlphaMetrix |
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ASSETS |
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Investment in AlphaMetrix Aspect Fund - MT0001, at fair value |
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69,103,283 |
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69,103,283 |
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59,446,550 |
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59,446,550 |
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Cash at bank |
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14,093,440 |
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14,093,440 |
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9,455,470 |
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9,455,470 |
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Prepaid assets |
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— |
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— |
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4,271 |
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4,271 |
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Total Assets |
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$ |
83,196,723 |
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$ |
83,196,723 |
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$ |
68,906,291 |
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$ |
68,906,291 |
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LIABILITIES |
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REDEMPTIONS PAYABLE |
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151,345 |
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151,345 |
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3,245,432 |
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3,245,432 |
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SUBSCRIPTIONS RECEIVED IN ADVANCE |
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2,558,453 |
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2,558,453 |
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1,427,344 |
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1,427,344 |
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PAYABLES: |
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Accrued sales commission |
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134,044 |
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134,044 |
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112,192 |
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112,192 |
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Accrued sponsor’s fee |
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11,402 |
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11,402 |
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28,048 |
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28,048 |
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Accrued operating costs |
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247,811 |
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247,811 |
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243,153 |
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243,153 |
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Total Liabilities |
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3,103,055 |
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3,103,055 |
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5,056,169 |
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5,056,169 |
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MEMBERS’ CAPITAL |
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Members (61,654.52 and 50,277.92 units outstanding at December 31, 2011 and December 31, 2010, respectively, unlimited units authorized) |
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80,083,121 |
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80,083,121 |
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63,839,812 |
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63,839,812 |
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Sponsor (8.12 units outstanding at December 31, 2011 and December 31, 2010, respectively, unlimited units authorized) |
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10,547 |
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10,547 |
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10,310 |
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10,310 |
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Total Members’ Capital |
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80,093,668 |
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80,093,668 |
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63,850,122 |
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63,850,122 |
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Total Liabilities and Members’ Capital |
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83,196,723 |
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83,196,723 |
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68,906,291 |
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68,906,291 |
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See notes to financial statements.
2
ALPHAMETRIX MANAGED FUTURES LLC
Statements of Operations
For the years ended December 31, 2011 and 2010
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AlphaMetrix |
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AlphaMetrix |
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AlphaMetrix |
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AlphaMetrix |
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NET INVESTMENT INCOME/(LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001: |
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Interest income |
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$ |
26,040 |
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$ |
26,040 |
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$ |
200 |
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$ |
200 |
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Trading costs |
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(102,436 |
) |
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(102,436 |
) |
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(104,235 |
) |
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(104,235 |
) |
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Interest expense |
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(45,617 |
) |
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(45,617 |
) |
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(17,876 |
) |
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(17,876 |
) |
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Bank fees |
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(103 |
) |
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(103 |
) |
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(277 |
) |
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(277 |
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Net investment income/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 |
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(122,116 |
) |
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(122,116 |
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(122,188 |
) |
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(122,188 |
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SERIES NET INVESTMENT INCOME/(LOSS): |
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Interest income |
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— |
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— |
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9,374 |
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9,374 |
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Operating expenses |
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(424,135 |
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(424,135 |
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(409,142 |
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(409,142 |
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Management fee |
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(1,475,678 |
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(1,475,678 |
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(1,248,622 |
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(1,248,622 |
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Performance fee |
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(1,151,168 |
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(1,151,168 |
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(943,239 |
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(943,239 |
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Sales commissions |
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(1,471,300 |
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(1,471,300 |
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(1,244,966 |
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(1,244,966 |
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Sponsor fee |
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(367,825 |
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(367,825 |
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(311,241 |
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(311,241 |
) |
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Net investment income/(loss) |
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(4,890,106 |
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(4,890,106 |
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(4,147,836 |
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(4,147,836 |
) |
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Total net investment income/(loss) |
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(5,012,222 |
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(5,012,222 |
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(4,270,024 |
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(4,270,024 |
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REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001 |
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Net realized gain/(loss) |
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8,257,867 |
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8,257,867 |
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7,634,806 |
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7,634,806 |
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Net increase/(decrease) in unrealized appreciation/(depreciation) |
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(1,432,173 |
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(1,432,173 |
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3,637,270 |
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3,637,270 |
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Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 |
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6,825,694 |
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6,825,694 |
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11,272,076 |
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11,272,076 |
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Net increase/(decrease) in net assets resulting from operations |
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$ |
1,813,472 |
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$ |
1,813,472 |
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$ |
7,002,052 |
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$ |
7,002,052 |
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Weighted average number of units outstanding |
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56,210 |
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56,210 |
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51,595 |
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51,595 |
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Net income/(loss) per weighted average unit |
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$ |
32.26 |
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$ |
32.26 |
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$ |
135.71 |
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$ |
135.71 |
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See notes to financial statements.
3
ALPHAMETRIX MANAGED FUTURES LLC
Statements of Changes in Members’ Capital
For
the years ended December 31, 2011 and 2010
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For the year ended December 31, 2011 |
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AlphaMetrix Managed Futures LLC (Aspect Series) |
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AlphaMetrix
Managed |
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Members |
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Sponsor |
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Total |
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Amount |
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Units |
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Amount |
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Units |
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Amount |
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Units |
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Amount |
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Units |
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Members’ capital at January 1, 2011 |
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$ |
63,839,812 |
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50,277.92 |
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$ |
10,310 |
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8.12 |
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$ |
63,850,122 |
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50,286.04 |
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$ |
63,850,122 |
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50,286.04 |
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Members’ subscriptions |
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24,390,322 |
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19,173.21 |
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— |
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— |
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24,390,322 |
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19,173.21 |
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24,390,322 |
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19,173.21 |
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Members’ redemptions |
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(9,960,248 |
) |
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(7,796.61 |
) |
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— |
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— |
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(9,960,248 |
) |
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(7,796.61 |
) |
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(9,960,248 |
) |
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(7,796.61 |
) |
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Net investment income/(loss) |
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(5,011,512 |
) |
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— |
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(710 |
) |
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— |
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(5,012,222 |
) |
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— |
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(5,012,222 |
) |
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— |
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Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001 |
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6,824,747 |
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— |
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|
947 |
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— |
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6,825,694 |
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— |
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6,825,694 |
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— |
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Members’ capital at December 31, 2011 |
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$ |
80,083,121 |
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61,654.52 |
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$ |
10,547 |
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8.12 |
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$ |
80,093,668 |
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61,662.64 |
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$ |
80,093,668 |
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61,662.64 |
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Net asset value per unit at January 1, 2011 |
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$ |
1,269.739 |
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$ |
1,269.739 |
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Change in net asset value per unit |
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29.162 |
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29.162 |
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Net asset value per unit at December 31, 2011 |
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$ |
1,298.901 |
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$ |
1,298.901 |
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For the year ended December 31, 2010 |
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AlphaMetrix Managed Futures LLC (Aspect Series) |
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AlphaMetrix
Managed |
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Members |
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Sponsor |
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Total |
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Amount |
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Units |
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Amount |
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Units |
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Amount |
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Units |
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Amount |
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Units |
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Members’ capital at January 1, 2010 |
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$ |
59,498,830 |
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|
52,347.66 |
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$ |
9,231 |
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|
8.12 |
|
$ |
59,508,061 |
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|
52,355.78 |
|
$ |
59,508,061 |
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|
52,355.78 |
|
|
Members’ subscriptions |
|
|
7,871,893 |
|
|
6,672.11 |
|
|
— |
|
|
— |
|
|
7,871,893 |
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|
6,672.11 |
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|
7,871,893 |
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|
6,672.11 |
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Members’ redemptions |
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|
(10,531,884 |
) |
|
(8,741.85 |
) |
|
— |
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|
— |
|
|
(10,531,884 |
) |
|
(8,741.85 |
) |
|
(10,531,884 |
) |
|
(8,741.85 |
) |
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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 |
|
|
— |
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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 |
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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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
|
|
|
|
|
|
|
Net asset value per unit at December 31, 2010 |
|
$ |
1,269.739 |
|
|
|
|
$ |
1,269.739 |
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|
|
|
|
|
|
|
|
|
|
|
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|
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|
See notes to financial statements.
4
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ALPHAMETRIX MANAGED FUTURES LLC |
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NOTES TO FINANCIAL STATEMENTS |
|
AS OF AND FOR THE YEARS ENDED DECEMBER 31, 2011 AND 2010 |
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(1) Organization
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” or “Series”) is the only “segregated series” of the Platform. Since the Aspect Series is the Platform’s only segregated series, references to Aspect Series also include the Platform unless otherwise noted. 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 invested substantially all of its assets in AlphaMetrix Managed Futures (Aspect) LLC, previously UBS Managed Futures (Aspect) LLC (the “Trading Fund”). The Trading Fund then invested a substantial portion of its assets in AlphaMetrix Aspect Fund – MT0001 (the “Master Fund”) which is advised by Aspect Capital Limited (the “Trading Advisor”). On August 30, 2009, the Trading Fund ceased operations and as of September 1, 2009, the Aspect Series invested directly into the Master Fund. As of December 1, 2009, another fund operated by the Sponsor invested in the Master Fund. 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”). Subsequent to December 31, 2010, the Aspect Series and Master Fund are not consolidated.
The Master Fund engages in the speculative trading of U.S. and foreign futures and options on futures contracts and forward currency contracts (collectively, “derivatives”) whose values are based upon an underlying asset, indices, or reference rates, and generally represent future commitments to exchange cash flows, or to purchase or sell other financial instruments at specified future dates. 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 (the “Clearing Broker”). 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”), which 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.
5
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).
Change in Accounting Principle
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.
(2) Summary of Significant Accounting Policies
The accounting records for the Platform and Series are maintained in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Following is a summary of significant accounting policies consistently followed in the preparation of the financial statements. The Platform includes the accounts of the Aspect Series.
Investment
The Series invests substantially all of its assets in the Master Fund. The Series’ investment in the Master Fund is carried at fair value and represents the Series’ pro rata interest in the net assets of the Master Fund as of the close of business on the relevant valuation date. At December 31, 2011 and 2010, the Series’ investment in the Master Fund was $69,103,283 and $59,446,550, approximately 87.07% and 87.83% of the Master Fund’s net assets. In accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946 Financial Services – Investment Companies, the Series and the Master Fund are not consolidated. The Master Fund’s assets are carried at fair value. At each valuation date, the Master Fund’s income, expenses, net realized gain/(loss) and net increase /(decrease) in unrealized appreciation/(depreciation) are allocated to the Series based on the Series’ pro rata interest in the net assets of the Master Fund, and recorded in the Series’ Statements of Operations. The Master Fund provides the Series with daily estimated net asset valuations. The financial statements of the Master Fund are attached to this report and should be read in conjunction with the Series’ financial statements.
Basis of Presentation
Pursuant to rules and regulations of the SEC, financial statements are presented for the Platform as a whole and for the Aspect Series. The accompanying financial statements and notes thereto include financial statements and footnote totals for the Platform as a whole. For the avoidance of doubt, the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular segregated Series shall be enforceable only against the assets of such series and not against the assets of the Platform generally or any other segregated series. Accordingly, the assets of one segregated series of the Platform include only those funds and other assets that are paid to, held by or distributed to the Platform on account of and for the benefit of that Series, including, without limitation, funds delivered to the Platform for the purchase of Units in that segregated series. As of December 31, 2011 and 2010, the Aspect Series exists as the only segregated series on the Platform.
Use of Estimates
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
6
Receivable from the Master Fund
Represents amounts due from the Master Fund for redemptions effective December 31, 2011 and 2010 but paid subsequent to year end. There were no amounts receivable from the Master Fund at December 31, 2011 and 2010.
Cash
Cash is maintained in the custody of commercial banks and includes cash received related to subscriptions received in advance.
Prepaid assets
Prepaid asset represents insurance contracts that are maintained by the Series. Premiums paid are capitalized and expensed over the term of the contract.
Subscriptions received in advance
Subscriptions received in advance are subscriptions for shares effective subsequent to year end.
Redemptions payable
Redemptions payable are share redemptions effective December 31, 2011 and 2010 but paid subsequent to year end.
Income Taxes
The Platform follows the provisions of FASB ASC Topic 740, Income Taxes (“ASC 740”), related to accounting for uncertainty in income taxes. ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements. ASC 740 requires the evaluation of tax positions taken in the course of preparing the tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. As of December 31, 2011 and 2010, no liability was recognized in connection with ASC 740. The Platform is subject to income tax examinations by tax authorities for all tax years since their respective inception date.
As the Series is a partnership for tax purposes, the Series’ Members are individually responsible for reporting income or loss based on such Investor’s share of the Series’ income and expenses as reported for income tax purposes.
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.
Fair Value Measurement and Disclosure
FASB ASC 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:
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Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment. |
7
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Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in an active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments. |
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|
Level 3 — Values for investments categorized as Level 3 are based on prices or valuation techniques that require inputs that are both significant to the fair value and unobservable, including valuations by the Sponsor in the absence of readily ascertainable fair values. |
The Series invests its assets in the Master Fund. The classification of the Master Fund’s investments in accordance with ASC 820 is discussed in the notes to the attached financial statements of the Master Fund.
In May 2011, the FASB issued Accounting Standards Update (“ASU”) No. 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The ASU requires the following disclosures about fair value measurements of assets and liabilities classified as Level 3 within the fair value hierarchy: the valuation process used by the reporting entity, quantitative information about the unobservable inputs used in a fair value measurement, and the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs, if any. The ASU also requires disclosure about any transfers between Level 1 and Level 2. The disclosures are effective for fiscal years beginning after December 15, 2011. The Sponsor has determined that the adoption of ASU No. 2011-04 has no impact upon the financial statements.
Derivative Instruments
FASB ASC 815, Derivatives and Hedging (“ASC 815”) requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of and gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The Series invests substantially all of its assets in its Master Fund which engages in the speculative trading of U.S. and foreign futures contracts, options on futures contracts, and forward currency contracts (collectively “derivatives”). The disclosures required by ASC 815 for the Master Fund are discussed in the notes to the financial statements of the Master Fund. The Series does not directly trade derivatives.
Distributions
The Sponsor does not intend to make any distributions. Consequently, in order to pay the taxes attributable to their investment in the Series, Members must either redeem Units or pay such taxes from other sources.
Subscriptions
Units are purchased generally at the beginning of each calendar month based on the net asset value per Unit for all other purposes (see Note 3) calculated for the prior month-end.
Completed Subscription Agreements relative to each Series must be received by the appropriate Selling Agent no later than seven calendar days prior to the first day of any month in which a Member intends to invest. Members are initially issued units at $1,000 per unit as of the date of the commencement of operations and at the current Net Asset Value (“NAV”) for all dates thereafter.
Existing Members may make an additional investment by completing, and submitting to the Selling Agents, a short-form Subscription Agreement, as provided by the Sponsor.
The Sponsor, in its sole discretion and for any reason, may decline to accept the subscription of any prospective Member.
8
Redemptions
Units may be redeemed as of the end of any calendar month (each, a “Redemption Date”) at the Net Asset Value per Unit at such Redemption Date. Redemption requests must be received by the 15th day of the calendar month of such Redemption Date or the following business day if the 15th is not a business day. The Sponsor may permit redemptions at other times and on shorter notice.
The Net Asset Value of redeemed Units is determined as of the Redemption Date for purposes of determining the redemption proceeds due to Members. Members will remain subject to fluctuations in such Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date. The Net Asset Value of Units on the designated Redemption Date may differ materially from the Net Asset Value of such Units as of the date on which an irrevocable redemption request must be submitted.
When Units are redeemed (or exchanged), any accrued fees (including performance fees) and expenses reduce the redemption proceeds paid to members.
Indemnifications
In the normal course of business, the Series enters into contracts and agreements that contain a variety of representations and warranties and which would provide general indemnifications. The maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Series that have not yet occurred. The Series expects the risk of any future obligation under these indemnifications to be remote.
(3) Related Party Transactions
Each Member or Member-related account is subject to an upfront, waivable placement fee of 0%-2% of the subscription price of the Units, which will be paid once by the relevant Member (not by the Platform or by the Aspect Series) on each of such Member’s subscriptions to the Series to UBS Financial Services Inc. (“UBS FS”), an affiliate of the former sponsor (see Note 1). The placement fee payable on such initial subscription is deducted from the subscription amount by UBS FS. Upfront placement fees of $178,638 and $46,342 for the years ended December 31, 2011 and 2010, respectively, were deducted from proceeds received from the Members.
Members are subject to an ongoing sales commission paid to UBS FS or 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 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 (refer to Note (4) for further details on the management fee).
The Sponsor receives a monthly sponsor fee of 0.04167 of 1% (a 0.50% annual rate) of the Series’ month-end net asset value for all other purposes, including interest income after deducting the management fee and accrued performance fee, if any, of a Member’s investment in the Series for such month. The Sponsor reserves the right to waive or reduce the fee at its sole discretion. The Series incurred Sponsor’s fees of $367,825 and $311,241 for the years ended December 31, 2011 and 2010, respectively, and accrued $11,402 and $28,048 owed to the Sponsor at December 31, 2011 and 2010, respectively.
The former sponsor paid all expenses incurred in connection with the organizational and initial offering of the Units at the Series level. As described in the Series’ current Confidential Disclosure Document (including Parts One and Two, the “Disclosure Document”), the Series reimbursed the former sponsor for these costs. For financial reporting purposes in conformity with GAAP, 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
9
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:
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|
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Net Asset Value |
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Net Asset Value per Unit |
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||||||||
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All
Other |
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Financial |
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Number
of |
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All
Other |
|
Financial |
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|||||
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Price at Commencement* |
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|
|
|
|
|
|
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 |
|
|
52,355.78 |
|
|
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 |
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.
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.
(4) Advisory Agreement
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.
10
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.
Prior to December 9, 2010, Spectrum US received a monthly administration 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 0.08% annual rate), subject to a monthly minimum of $2,000. As of December 10, 2010, AlphaMetrix360 (the “Administrator”) receives a monthly administration fee as to be determined by the Sponsor and the Administrator up to 0.0142 of 1% of the Series’ net asset value for all other purposes as of the beginning of each month (a 0.17% annual rate), subject to a monthly minimum of $3,300.
Under signed agreement, the Trading Advisor for the Series receives a monthly management fee at the rate of 0.167% (a 2% annual rate) of the Series’ month-end net asset value for all other purposes (see Note 3) calculated before reduction for any management fees, performance fees, Sponsor’s fees, sales commission or extraordinary fees accrued (including performance fees accrued in a prior month) as of such month-end and before giving effect to any capital contributions made as of the beginning of the month immediately following such month-end and before any distributions or redemptions accrued during or as of such month-end, but after all expenses as of such month-end. The Series incurred management fees of $1,475,678 and $1,248,622 for the years ended December 31, 2011 and 2010, respectively, and accrued $0 owed to the Trading Advisor at December 31, 2011 and 2010.
Also, under signed agreement the Aspect Series pays to the Series’ Trading Advisor a quarterly performance fee equal to 20% of the new net trading profits as defined by 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”), of the Series calculated before deducting the administrative fee, the Sponsor’s fee and sales commission but after deducting the management fee. The Series incurred performance fees of $1,151,168 and $943,239 during the years ended December 31, 2011 and 2010, respectively, and accrued $0 owed to the Trading Advisor at December 31, 2011 and 2010, respectively.
As the management and incentive fees are paid out of the Master Fund, via a redemption by the Series from the Master, the amounts of Management and Incentive Fees owed to the Trading Advisor as of December 31, 2011 and 2010 are reflected on the Master Fund’s Statement of Financial Condition as Payable to Trading Advisor.
(5) Financial Instruments with Off-balance sheet and Concentration of Credit Risk
At December 31, 2011 and 2010, the Series did not have direct commitments to buy or sell financial instruments, including derivative instruments. The Series has indirect commitments that arise through the positions held by the Master Fund in which the Series invests. However, as an investor in a Master Fund, the Series’ risk at December 31, 2011 and 2010 is limited to the fair value of its investment in the Master Fund.
(6) Administration
Spectrum US served as Administrator for the Platform and Series through December 9, 2010. AlphaMetrix360 served as the administrator subsequent to December 9, 2010. The Administrator is responsible for certain clerical and administrative functions of the Platform and Series, including acting as registrar and transfer agent, calculation of the NAV based on valuations provided by the Trading Advisor and the Sponsor (although the Sponsor is ultimately responsible for determining the NAV).
(7) NAV Verification Agent
Beginning in November 2011, Custom House Fund Services (Chicago) LLC (“Custom House”), was retained by the Platform to serve as the NAV Verification Agent and provide net asset value verifications for the Master Fund and the Series pursuant to a NAV Verification Agreement (the “Custom House Agreement”), entered into by Custom House, the Sponsor, the Platform and the Administrator. Under the Agreement, Custom House performs certain net asset value verification procedures and communicates the results of those procedures to each investor.
11
(8) Financial Highlights
The following financial highlights show the Series’ financial performance for the years ended December 31, 2011 and 2010. All performance returns noted are calculated based on the net asset value per Unit for financial reporting, with organizational costs incurred prior to issuance of Units being expensed at the commencement of the operations of the Series. Total return is calculated as the change in a theoretical Member’s investment over the entire year - a percentage change in the Member’s capital value for the year. The information has been derived from information presented in the financial statements.
Regarding the information shown in the table below:
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• |
Per unit operating performance is computed based upon the weighted-average net units for the years ended December 31, 2010 and 2011. Total return is calculated as the change in the net asset value per unit for the years ended December 31, 2011 and 2010. |
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• |
The net investment loss and total expense ratios are computed based upon the weighted average net assets for the years ended December 31, 2011 and 2010. Net investment loss and expenses include the Series’ proportionate share of the Master Fund’s investment income (loss) and expenses, respectively. |
An individual Member’s total return and ratios may vary from those below based on the timing of capital transactions.
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Year
Ended |
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Year
Ended |
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Members’ capital per Unit at beginning of the year |
|
$ |
1,269.74 |
|
$ |
1,136.61 |
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Per unit data (for a Unit outstanding throughout the year): |
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Net investment loss |
|
|
(88.23 |
) |
|
(82.76 |
) |
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Net realized and unrealized gain/(loss) on investments |
|
|
117.39 |
|
|
215.89 |
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Total from investment operations |
|
|
29.16 |
|
|
133.13 |
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|
Members’ capital per Unit at end of the year |
|
$ |
1,298.90 |
|
$ |
1,269.74 |
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Total return: |
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|
Total return before performance fee |
|
|
3.89 |
% |
|
13.32 |
% |
|
Performance fee |
|
|
(1.59 |
)% |
|
(1.61 |
)% |
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Total return after performance fee |
|
|
2.30 |
% |
|
11.71 |
% |
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Ratios to average Members’ capital |
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|
Net investment loss |
|
|
(6.90 |
)% |
|
(6.98 |
)% |
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|
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Expenses: |
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|
|
|
|
|
|
|
Expenses |
|
|
5.35 |
% |
|
5.46 |
% |
|
Performance fee |
|
|
1.58 |
% |
|
1.54 |
% |
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Total expenses |
|
|
6.93 |
% |
|
7.00 |
% |
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12
(9) Subsequent Events
In accordance with FASB ASC 855, Subsequent Events, the Sponsor has evaluated all subsequent events requiring recognition and disclosure in the financial statements through the date the financial statements were issued. The Sponsor has determined that there are no material events that would require recognition or disclosure in the financial statements.
13