UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

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

 

For the quarterly period ended June 30, 2013

 

or

 

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

 

For the transition period from _____ to

 

Commission file number: 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 Number)

 

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)

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 S     No £

 

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

Yes S     No £

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act:

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

 

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

Yes £     No S

ALPHAMETRIX MANAGED FUTURES LLC

 

QUARTERLY REPORT FOR PERIOD ENDED JUNE 30, 2013 ON FORM 10-Q

 

Table of Contents

 

		Page
PART I – FINANCIAL INFORMATION
Item 1.	Financial Statements	1
	Condensed Statements of Financial Condition (unaudited)	1
	Condensed Statements of Operations (unaudited)	2
	Condensed Statements of Changes in Members’ Capital (unaudited)	4
	Notes to Condensed Financial Statements (unaudited)	5
Item 2.	Management’s discussion and analysis of FINANCIAL CONDITION AND RESULTS OF OPERATIONS	12
Item 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK	20
Item 4.	CONTROLS AND PROCEDURES	20
PART II – OTHER INFORMATION
Item 1.	LEGAL PROCEEDINGS	20
Item 1A.	RISK FACTORS	21
Item 2.	uNREGISTERED SALES OF EQUITY SECURITIES AND USE OF pROCEEDS	21
Item 3.	DEFAULTS uPON SENIOR SECURITIES	21
Item 4.	(REMOVED AND RESERVED)	21
Item 5.	OTHER INFORMATION	21
Item 6.	EXHIBITS	21
SIGNATURES		23

PART I – FINANCIAL INFORMATION

 

Item 1: Financial Statements

 

ALPHAMETRIX MANAGED FUTURES LLC
Condensed Statements of Financial Condition
As of June 30, 2013 (Unaudited) and December 31, 2012

 

		AlphaMetrix Managed Futures LLC (Aspect Series) June 30, 2013				AlphaMetrix Managed Futures LLC June 30, 2013				AlphaMetrix Managed Futures LLC (Aspect Series) December 31, 2012				AlphaMetrix Managed Futures LLC December 31, 2012
ASSETS
Investment in AlphaMetrix Aspect Fund - MT0001, at fair value		$	56,950,408			$	56,950,408			$	63,194,749			$	63,194,749
Cash at bank			1,771,683				1,771,683				16,104,735				16,104,735
Due from Master Fund			1,640,500				1,640,500				—				—
Total Assets		$	60,362,591			$	60,362,591			$	79,299,484			$	79,299,484
LIABILITIES
REDEMPTIONS PAYABLE		$	2,193,797			$	2,193,797			$	3,376,506			$	3,376,506
SUBSCRIPTIONS RECEIVED IN ADVANCE			110,280				110,280				259,715				259,715
PAYABLES:
Accrued sales commission			100,255				100,255				131,554				131,554
Accrued sponsor’s fee			251				251				10,120				10,120
Accrued operating costs and administrative fee			123,922				123,922				130,334				130,334
Total Liabilities			2,528,505				2,528,505				3,908,229				3,908,229
MEMBERS’ CAPITAL
Members (52,335.17 and 66,458.60 units outstanding at June 30, 2013 and December 31, 2012, respectively, unlimited units authorized)			57,825,114				57,825,114				75,382,045				75,382,045
Sponsor (8.12 units outstanding at June 30, 2013 and December 31, 2012, respectively, unlimited units authorized)			8,972				8,972				9,210				9,210
Total Members’ Capital			57,834,086				57,834,086				75,391,255				75,391,255
Total Liabilities and Members’ Capital		$	60,362,591			$	60,362,591			$	79,299,484			$	79,299,484
NET ASSET VALUE PER UNIT
Members		$	1,104.900			$	1,104.900			$	1,134.271			$	1,134.271
Sponsor			1,104.900				1,104.900				1,134.271				1,134.271

 

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

ALPHAMETRIX MANAGED FUTURES LLC
Condensed Statements of Operations
For the three and six months ended June 30, 2013 and 2012
(Unaudited)

 

		AlphaMetrix Managed Futures LLC (Aspect Series) April 1, 2013 through June 30, 2013				AlphaMetrix Managed Futures LLC April 1, 2013 through June 30, 2013				AlphaMetrix Managed Futures LLC (Aspect Series) January 1, 2013 through June 30, 2013				AlphaMetrix Managed Futures LLC January 1, 2013 through June 30, 2013
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Interest income		$	2,191			$	2,191			$	4,757			$	4,757
Trading costs			(37,008	)			(37,008	)			(71,209	)			(71,209	)
Interest expense			(13,485	)			(13,485	)			(24,354	)			(24,354	)
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001			(48,302	)			(48,302	)			(90,806	)			(90,806	)
SERIES NET INVESTMENT INCOME/(LOSS):
Operating expenses			(109,213	)			(109,213	)			(220,126	)			(220,126	)
Management fee			(319,302	)			(319,302	)			(685,726	)			(685,726	)
Sales commissions			(318,771	)			(318,771	)			(684,584	)			(684,584	)
Sponsor fee			(79,693	)			(79,693	)			(171,146	)			(171,146	)
Net investment income/(loss)			(826,979	)			(826,979	)			(1,761,582	)			(1,761,582	)
Total series net investment income/(loss)			(875,281	)			(875,281	)			(1,852,388	)			(1,852,388	)
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)			(2,771,934	)			(2,771,934	)			(898,225	)			(898,225	)
Net increase/(decrease) in unrealized appreciation/(depreciation)			1,484,846				1,484,846				1,340,658				1,340,658
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001			(1,287,088	)			(1,287,088	)			442,433				442,433
Net increase/(decrease) in net assets resulting from operations		$	(2,162,369	)		$	(2,162,369	)		$	(1,409,955	)		$	(1,409,955	)
Weighted average number of units outstanding			55,113				55,113				58,633				58,633
Net income/(loss) per weighted average unit		$	(39.24	)		$	(39.24	)		$	(24.05	)		$	(24.05	)

 

(continued)

 

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

ALPHAMETRIX MANAGED FUTURES LLC
Condensed Statements of Operations
For the three and six months ended June 30, 2013 and 2012
(Unaudited)

 

		AlphaMetrix Managed Futures LLC (Aspect Series) April 1, 2012 through June 30, 2012				AlphaMetrix Managed Futures LLC April 1, 2012 through June 30, 2012				AlphaMetrix Managed Futures LLC (Aspect Series) January 1, 2012 through June 30, 2012				AlphaMetrix Managed Futures LLC January 1, 2012 through June 30, 2012
NET INVESTMENT INCOME ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001:
Interest income		$	9,351			$	9,351			$	11,160			$	11,160
Trading costs			(39,046	)			(39,046	)			(73,094	)			(73,094	)
Interest expense			(10,083	)			(10,083	)			(23,827	)			(23,827	)
Net investment income allocated from AlphaMetrix Aspect Fund - MT0001			(39,778	)			(39,778	)			(85,761	)			(85,761	)
SERIES NET INVESTMENT INCOME/(LOSS):
Operating expenses			(112,064	)			(112,064	)			(223,156	)			(223,156	)
Management fee			(444,058	)			(444,058	)			(870,163	)			(870,163	)
Performance fee			(2,806	)			(2,806	)			(173,293	)			(173,293	)
Sales commissions			(443,313	)			(443,313	)			(868,423	)			(868,423	)
Sponsor fee			(110,828	)			(110,828	)			(217,106	)			(217,106	)
Net investment income/(loss)			(1,113,069	)			(1,113,069	)			(2,352,141	)			(2,352,141	)
Total series net investment income/(loss)			(1,152,847	)			(1,152,847	)			(2,437,902	)			(2,437,902	)
REALIZED AND UNREALIZED GAIN (LOSS) ALLOCATED FROM ALPHAMETRIX ASPECT FUND - MT0001
Net realized gain/(loss)			(177,674	)			(177,674	)			2,797,943				2,797,943
Net increase/(decrease) in unrealized appreciation/(depreciation)			(2,609,605	)			(2,609,605	)			(3,864,120	)			(3,864,120	)
Total realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001			(2,787,279	)			(2,787,279	)			(1,066,177	)			(1,066,177	)
Net increase/(decrease) in net assets resulting from operations		$	(3,940,126	)		$	(3,940,126	)		$	(3,504,079	)		$	(3,504,079	)
Weighted average number of units outstanding			67,698				67,698				65,774				65,774
Net income/(loss) per weighted average unit		$	(58.20	)		$	(58.20	)		$	(53.27	)		$	(53.27	)

 

(concluded)

 

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

ALPHAMETRIX MANAGED FUTURES LLC
Condensed Statements of Changes in Members’ Capital
For the six months ended June 30, 2013 and 2012
(Unaudited)

For the six months ended June 30, 2013		AlphaMetrix Managed Futures LLC (Aspect Series)																								AlphaMetrix Managed
		Members								Sponsor								Total								Futures LLC
		Amount				Units				Amount				Units				Amount				Units				Amount				Units
Members’ capital at January 1, 2013		$	75,382,045				66,458.60			$	9,210				8.12			$	75,391,255				66,466.72			$	75,391,255				66,466.72
Members’ subscriptions			1,425,664				1,244.86				—				—				1,425,664				1,244.86				1,425,664				1,244.86
Members’ redemptions			(17,572,878	)			(15,368.29	)			—				—				(17,572,878	)			(15,368.29	)			(17,572,878	)			(15,368.29	)
Net investment income/(loss)			(1,852,137	)			—				(251	)			—				(1,852,388	)			—				(1,852,388	)			—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001			442,420				—				13				—				442,433				—				442,433				—
Members’ capital at June 30, 2013		$	57,825,114				52,335.17			$	8,972				8.12			$	57,834,086				52,343.29			$	57,834,086				52,343.29
Net asset value per unit at January 1, 2013		$	1,134.271							$	1,134.271
Change in net asset value per unit			(29.371	)							(29.371	)
Net asset value per unit at June 30, 2013		$	1,104.900							$	1,104.900

 

For the six months ended June 30, 2012		AlphaMetrix Managed Futures LLC (Aspect Series)																								AlphaMetrix Managed
		Members								Sponsor								Total								Futures LLC
		Amount				Units				Amount				Units				Amount				Units				Amount				Units
Members’ capital at January 1, 2012		$	80,083,121				61,654.52			$	10,547				8.12			$	80,093,668				61,662.64			$	80,093,668				61,662.64
Members’ subscriptions			12,662,510				9,651.45				—				—				12,662,510				9,651.45				12,662,510				9,651.45
Members’ redemptions			(3,940,996	)			(3,052.24	)			—				—				(3,940,996	)			(3,052.24	)			(3,940,996	)			(3,052.24	)
Net investment income/(loss)			(2,437,602	)			—				(300	)			—				(2,437,902	)			—				(2,437,902	)			—
Net realized and unrealized gain/(loss) allocated from AlphaMetrix Aspect Fund - MT0001			(1,066,078	)			—				(99	)			—				(1,066,177	)			—				(1,066,177	)			—
Members’ capital at June 30, 2012		$	85,300,955			$	68,253.73			$	10,148				8.12			$	85,311,103				68,261.85			$	85,311,103				68,261.85
Net asset value per unit at January 1, 2012		$	1,298.901							$	1,298.901
Change in net asset value per unit			(49.138	)							(49.138	)
Net asset value per unit at June 30, 2012		$	1,249.763							$	1,249.763

 

See notes to financial statements and the financial statements of AlphaMetrix Aspect Fund - MT0001, attached as exhibit 99.1.

ALPHAMETRIX MANAGED FUTURES LLC

NOTES TO CONDENSED FINANCIAL STATEMENTS

AS OF JUNE 30, 2013 AND DECEMBER 31, 2012 AND

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2013 AND 2012

 

(1)

Organization

 

As of November 1, 2008, AlphaMetrix, LLC (the “Sponsor” or “AlphaMetrix”) is the sponsor of AlphaMetrix Managed Futures LLC (the “Platform” or the “Fund”). The Sponsor is registered with the U.S. Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading advisor, with the U.S. 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 the 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 Disclosure Document dated October 31, 2011 (the “Confidential Disclosure Document”). All capitalized terms used but not defined herein are defined in the Confidential Disclosure Document.

 

The Aspect Series invests substantially all of its assets in AlphaMetrix Managed Futures (Aspect) LLC, previously UBS Managed Futures (Aspect) LLC (the “Trading Fund”). The Trading Fund then invests 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 no longer consolidated. As of June 30, 2013 and December 31, 2012, the Aspect Series held an interest in the Master Fund of approximately 82% and 86%, respectively.

 

The Master Fund engages in the speculative trading of U.S. and foreign futures 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. Credit Suisse Securities (USA) LLC acts as the Series futures clearing broker and Credit Suisse AG acts as the foreign exchange clearing broker of the Master Fund. The Master Fund may execute foreign exchange trades through other foreign exchange clearing brokers 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”), which registration became effective October 17, 2006.

 

The accompanying unaudited condensed financial statements, in the opinion of management, include all adjustments necessary for a fair presentation of the Series’ financial condition as of June 30, 2013 (unaudited) and December 31, 2012 and the results of its operations and its changes in members’ capital for the six months ended June 30, 2013 and 2012 (unaudited). These condensed financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these unaudited condensed financial statements be read in conjunction with the audited financial statements and notes included in the Series’ annual report on Form 10-K filed with the SEC for the year ended December 31, 2012. The December 31, 2012 information has been derived from the audited financial statements as of December 31, 2012.

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).

 

(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. 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 unaudited financial statements of the Master Fund are attached to this report as Exhibit 99.1 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 segregated series, including, without limitation, funds delivered to the Platform for the purchase of Units in that segregated series. As of June 30, 2013 and 2012, and December 31, 2012, the Aspect Series exists as the only segregated series on the Platform.

 

The Series is a feeder fund to the Master Fund and other funds sponsored by the Sponsor invest in the Master Fund. In accordance with Financial Accounting Standards Board Accounting Standards Codification 946 Financial Services – Investment Companies, the Series and the Master Fund are not consolidated.

 

Cash

 

Cash is maintained in the custody of commercial banks and includes cash received related to subscriptions received in advance.

Subscriptions received in advance

 

Subscriptions received in advance are subscriptions for Units effective subsequent to period end.

 

Redemptions payable

 

Redemptions payable are Unit redemptions effective June 30, 2013 and December 31, 2012 but paid subsequent to that date.

 

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 period. As of June 30, 2013 and December 31, 2012, 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 its 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.

 

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.

 

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 Measurements and Disclosures

 

FASB ASC 820, Fair Value Measurement (“ASC 820”) defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. ASC 820 also emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and sets out a fair value hierarchy with the highest priority being quoted prices in active market. Under ASC 820, fair value measurements are disclosed by level within that hierarchy, as follows:

 

Level 1 — Values for investments classified as Level 1 are based on unadjusted quoted prices for identical investments in an active market. Since valuations are based on quoted prices that are readily accessible at the measurement date, valuation of these investments does not entail a significant degree of judgment.

 

Level 2 — Values for investments classified as Level 2 are based on quoted prices for similar investments in active or non-active markets for which all significant inputs are observable either directly or indirectly. Level 2 inputs may also include discounts related to restrictions on the investments.

 

Level 3 — Values for 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 financial statements of the Master Fund.

 

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 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 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.

 

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 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 $8,037 and $17,936 and $79,010 and $112,341 for the three and six months ended June 30, 2013 and June 30, 2012, respectively, were deducted from proceeds received from the Members.

 

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. The Series incurred sales commissions of $318,771 and $684,584 and $443,313 and $868,423 for the three and six months ended June 30, 2013 and 2012, respectively, and accrued $86,816 and $113,574 owed to UBS FS and $13,439 and $17,980 owed to Credit Suisse Securities LLC at June 30, 2013 and December 31, 2012, 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, 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 $79,693 and $171,146 and $110,828 and $217,106 for the three and six months ended June 30, 2013 and 2012, respectively, and accrued $251 and $10,120 payable to the Sponsor at June 30, 2013 and December 31, 2012, respectively.

 

(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. 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, legal, and escrow services. Operating costs include the Series’ allocable share of the fees and expenses of such outside service providers.

 

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 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 $319,302 and $685,726 and $444,058 and $870,163 for the three and six months ended June 30, 2013 and 2012, respectively, and no amounts were accrued and owed to the Trading Advisor at June 30, 2013 and December 31, 2012, respectively.

 

Also, under signed agreement, the series pays to the Trading Advisor a quarterly performance fee equal to 20% of the new net trading profits, if any, 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 $0 and $0 and $2,806 and $173,293 during the three and six months ended June 30, 2013 and 2012, respectively, no amounts were accrued and owed to the Trading Advisor at June 30, 2013 and December 31, 2012, respectively.

 

As the management and performance fees are paid out of the Master Fund, via a redemption by the Series from the Master Fund, the amounts of management and performance fees owed to the Trading Advisor as of June 30, 2013 and December 31, 2012 are reflected on the Master Fund’s Statements of Financial Condition as payable to Trading Advisor.

 

(5)	Financial Instruments with Off-balance sheet and Concentration of Credit Risk

 

At June 30, 2013 and December 31, 2012, 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 June 30, 2013 and December 31, 2012 is limited to the fair value of its investment in the Master Fund.

 

(6)	Administration

 

AlphaMetrix360, LLC (“AlphaMetrix360”), a related party to the Sponsor, serves as the administrator (the “Administrator”) for the Platform and Series. 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

 

Custom House Fund Services (Chicago) LLC (“Custom House”), was retained by the Platform to serve as the NAV Verification Agent and perform certain net asset value verification procedures 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.

 

(8)	Financial Highlights

 

The following financial highlights show the Series’ financial performance for the six months ended June 30, 2013 and 2012, respectively, in the table below. 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 period-a percentage change in the Member’s capital value for the period. The information has been derived from information presented in the condensed financial statements.

 

Regarding the information shown in the table below:

 

·

Per Unit operating performance is computed based upon the weighted‑average net Units for the periods ended June 30, 2013 and 2012. Total return is calculated as the change in the net asset value per Unit for the six months ended June 30, 2013 and 2012 and is not annualized.

 

·

The net investment loss and total expense ratios are computed based upon the weighted average net assets for the six months ended June 30, 2013 and 2012. Weighted average net assets include the performance fee and are computed using month-end net assets. Net investment loss and expenses include the Series proportionate share of the Master Fund’s investment income (loss) and expenses, respectively. Such ratios have been annualized, with the exception of the performance fee.

An individual Member’s total return and ratios may vary from those below based on the timing of capital transactions.

 

		Six Months Ended June 30, 2013				Six Months Ended June 30, 2012
Members’ capital per Unit at beginning of period		$	1,134.27			$	1,298.90
Per Unit data (for a unit outstanding throughout the period)
Net investment loss			(30.45	)			(37.06	)
Net realized and unrealized gain on investments			1.08				(12.08	)
Total from investment operations			(29.37	)			(49.14	)
Members’ capital per Unit at end of period		$	1,104.90			$	1,249.76
Total return:
Total return before performance fee			(2.59	%)			(3.58	%)
Performance fee			0.00	%			(0.20	%)
Total return after performance fee			(2.59	%)			(3.78	%)
Ratios to average Members’ capital
Net investment loss			(5.34	%)			(5.49	%)
Expenses:
Expenses			5.36	%			5.31	%
Performance fee			0.00	%			0.20	%
Total expenses			5.36	%			5.51	%

(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 there are no material events that would require recognition of disclosure in or adjustment to the Series’ financial statements through this date.

 

Item 2: Management’s Discussion and Analysis of Financial Condition and Results of Operations

 

Reference is made to Item 1 “Financial Statements.” The information contained therein is essential to, and should be read in connection with, the following analysis.

 

All figures and performance returns noted in this Item 2 are based on the net asset value. All figures and performance returns communicated to investors are based on the net asset value per Unit.

 

In order to satisfy the Sponsor’s obligations under applicable anti-money laundering laws and regulations, investors will be required to make certain representations, warranties and covenants in the AlphaMetrix Managed Futures LLC Subscription Agreement concerning the nature of the investor, its investment in the Series and certain other related matters. In addition, the Sponsor reserves the right to request such additional information from investors as the Sponsor, in its sole discretion, requires in order to satisfy its anti-money laundering obligations. By subscribing for Units, each Member agrees to provide such information to the Sponsor upon its request.

 

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

 

Virtually all of the Series’ capital is held in cash at a bank or invested in the Master Fund. The Series’ investment in the Master Fund is held as cash or investment at the Master Fund’s Clearing Broker and used to margin the futures and forward currency positions and is withdrawn, as necessary, to pay redemptions and expenses. The Series does not maintain any sources of financing other than that made available by the Master Fund’s 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 Brokers as of June 30, 2013 and December 31, 2012 was restricted cash for margin requirements of $6,787,276 and $9,766,809, 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, futures, and forward currency contracts, 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 March 31, 2012, the Master Fund experienced no meaningful periods of illiquidity in any of the markets in which it traded.

 

The Series processed redemptions on a monthly basis. The Series incurred redemptions of $17,572,878 (15,368.29 units) and $3,940,996 (3,052.24 units) for the six months ended June 30, 2013 and 2012, respectively, of which $2,193,797 remained unpaid and is included in redemptions payable to investors in the Series at June 30, 2013.

 

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 Brokers 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 over-the-counter 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 Master Fund’s 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 seeks to control market risk within limits at both sector and portfolio levels.

 

The financial instruments traded by the Master Fund contain varying degrees of off-balance sheet risk whereby changes in the fair values of the futures and forward contracts or the satisfaction of the obligations may exceed the amount recognized in the Master Fund’s Condensed Statement of Financial Condition, however, the Series exposure to such risk is limited to its investment in the Master Fund.

 

Due to the nature of the Series’ business, a substantial portion of the Series’ assets are represented by cash except for that portion of the Series’ assets invested in the Master Fund, while the Series maintains its market exposure, via its investment in the Master Fund, through open futures and forward contract positions.

 

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. 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 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 Series’ 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 Series is likely to suffer losses.

 

Results of Operations

 

General

 

The Trading Advisor manages the assets of the Series pursuant to its Aspect Diversified Program (the “Program”). The Program applies a fully systematic and broadly diversified global trading system, which deploys multiple trading strategies that seeks to identify and exploit directional moves in market behavior of a broad range of global financial futures, commodity futures and over – the – counter derivative contracts including but not limited to bonds, currencies, interest rates, equities, equity indices, debt securities and selected physical commodities and derivatives. 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, among 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 Series’ 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. Dollars (“USD”); and (g) the particular futures contracts traded by the Series’ account. 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.

 

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.

 

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 Adam, Harding and Lueck Limited (“AHL”), 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 150 employees and manages approximately $6.2 billion as of June, 2013. 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 SEC 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 June 30, 2013, the Series had a capitalization of $57,834,086 based on the net asset value for all other purposes, as defined.

 

Performance Summary

 

Quarter ended June 30, 2013

 

This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2013, 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, 2013 with a year-to-date loss of (2.59%).

 

April 1, 2013 to June 30, 2013

 

The Series posted a 0.11% gain for the month ending June 30, 2013, a loss of (3.50%) and (2.59%) for the three and six months ended June 30, 2013 and an overall gain of 10.49% for the Series from the inception of trading on March 16, 2007 through June 30, 2013 (not annualized).

 

The Series returned 0.11% in June. The main macro theme which dominated the month concerned Federal Open Market Committee (“FOMC”) rhetoric surrounding a phasing out of bond purchases should risks to the United States economy continue to abate. Markets chose to ignore the good news embedded in these comments and this resulted in the slightly unusual combination of equities, bonds and commodities all selling off together. The Series’ established short positions across both precious and industrial metals contributed strongly as prices continued to fall, with gold at one point trading below USD1,200. In stock indices, gains from newly opened short exposures to some emerging markets were not enough to offset the losses incurred from reducing longs in the rest of the sector. The Series’ positioning in the fixed income sectors switched to a net short during the month, and thus contributed positively to performance. These profits came predominantly from short exposures to UK, Canadian and longer maturity US bonds. There were however some losses from the Series’ few remaining long bond and rates exposures, in particular in Australia. In currencies, a reversal in the recent US Dollar weakness led to losses against the Yen and Sterling. However, the Series’ short Norwegian Krone position was profitable.

 

Energies also proved challenging for the strategy in June as oil markets stayed range-bound. Agricultural markets were profitable, capturing continued trends on the short side in grains such as wheat and corn and in coffee.

The Series posted a (6.72%) loss for the month ending May 31, 2013, a (2.70%) loss for the year to date as of May 31, 2013 and an overall gain of 10.37% for the Series from the inception of trading on March 16, 2007 to May 31, 2013 (not annualized).

 

The Series returned (6.72%) in May. Gains came from long positions in stock indices, which rose at the start of the month following central bank actions and announcements. Strong global economic data also helped bolster risk appetite, causing bond markets to sell off against the Series’ long positions. The second half of the month was dominated by uncertainty over the future of the Fed’s asset purchase programme, causing the Series to give back some of its gains from stock indices and accelerating the sell-off in government bonds. The US Dollar rose, in particular against the Japanese Yen leading to profits from the Series’ short Yen exposure. The New Zealand and Australian Dollars also fell against the US Dollar, causing losses for the Series after it was revealed that the Reserve Bank of New Zealand had taken steps to curb currency strength, and the Reserve Bank of Australia cut interest rates. Short positions in gold and silver were profitable, as prices fell largely in response to the US Dollar’s strength. In the energies sector, losses came from the long natural gas position as much higher than expected inventories in the US triggered a sell-off. Finally, in agriculturals the Series’ short sugar position was profitable as forecasts of large crop yields pushed prices lower.

 

The Series posted a 3.34% return for the month ending April 30, 2013, a 4.31% gain for the year to date as of April 30, 2013 and an overall gain of 18.31% for the Series from the inception of trading on March 16, 2007 to April 30, 2013 (not annualized).

 

The Series returned 3.34% in April. Returns made in April were mainly driven by profits from the metals sector. The Series’ established short positions in precious metals dominated performance when prices collapsed in the middle of the month: the gold price saw its largest two-day drop in 30 years, as fears emerged that Cyprus and other crisis-hit countries may be forced to sell their gold reserves. Another factor was a reduction in inflation concerns following April’s FOMC minutes which showed a possible early end to QE. This helped foster a generally positive economic outlook which, combined with some strong corporate earnings results, propelled stock markets higher. This benefited the Series’ long positions where Japanese indices again led performance. Government bond positions in Japan suffered, as a sharp single-day correction caused some of the recent profits to be given back. However, the long positions in the remainder of the bonds sector were more successful, led by European markets - where speculation of an European Central Bank (“ECB”) rate cut pushed German yields down towards their lowest ever levels. In currencies, the short Yen and long New Zealand Dollar positions continued to generate profits but high unemployment and dovish interest rate forecasts in Sweden led to a reversal in the Krona’s recent strength. Finally, the other commodity sectors struggled: despite profits from the long natural gas positions, the energies sector suffered from declining oil prices and agriculturals saw losses from short positions in wheat and other grains markets.

 

Quarter ended March 31, 2013

 

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2013, 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, 2013 with a year-to-date gain of 0.94%,

 

January 1, 2013 to March 31, 2013

 

The Series posted a 1.38% gain for the month ending March 31, 2013, a gain of 0.94% for the three months ended March 31, 2013 and an overall gain of 14.49% for the Series from the inception of trading on March 16, 2007 through March 31, 2013 (not annualized).

 

The Series returned 1.38% in March. At the start of the month, hopes of US economic growth together with continued support from global central banks boosted stock markets. The dominant news item during the second half of March was the banking crisis in Cyprus, causing the Series to give back some of its earlier gains from stock indices. By the end of the month, the reopening of banks in Cyprus reassured markets and stock indices ended the month as the top sector. Following the Japanese government’s upgrade to its economic assessment, and the

confirmation of Haruhiko Kuroda as the new governor of the Bank of Japan, Japanese stock indices in particular made strong gains. Meanwhile, long positions in bonds were profitable as Eurozone uncertainty boosted safe haven demand. In currencies, the Series’ long exposure to the Mexican Peso made gains amid a strong outlook for the Mexican economy, and the Series also profited from continued Japanese Yen weakness in the first half of the month. However, losses came from the Series’ long EUR/GBP position as concerns over the contagion effects from Cyprus pushed the Euro lower. The energy sector performed negatively as prices of oil products fell following a combination of weak Chinese industrial production data and strong inventories. Short positions in other commodity markets including agricultural and industrial metals were profitable.

 

The Series posted a (3.56%) loss for the month ending February 28, 2013, a (0.44%) loss for the year to date as of February 28, 2013 and an overall gain of 12.93% for the Series from the inception of trading on March 16, 2007 to February 28, 2013 (not annualized).

 

The Series returned (3.56%) in February. Italy’s inconclusive elections coupled with a contraction of the euro area economy rekindled concerns about the region. The euro weakened, major bond yields decreased and southern European equities traded lower. In the United States, despite spending reductions coming into effect, the economy showed resilience. As a result the US Dollar strengthened along with North American equity markets. The Series’ net short exposure to the US dollar, in particular against the euro, dominated the losses in the currencies sector. In fixed income, gains predominantly came from the Series’ long exposures in Japanese and German bonds. However, short exposures to UK, Australian and longer maturity North American bonds incurred losses. The Series’ uniformly long exposures to stock indices made gains on North American and Japanese indices, but these were not enough to offset losses from Southern European and Chinese indices. The threat of a Chinese property slowdown coupled with weak European demand led to commodities generally selling off. The Series’ net long exposures to industrial metals dominated the losses in that sector. However, gains were made from the short gold exposure. Sluggish global demand, a stronger dollar and production of crude oil in the United States reaching a twenty year high ensured that the Series’ long exposures to the complex incurred the worst losses in February. However, snowstorms provided relief to drought stricken US wheat and bumper crops caused coffee and sugar to also trade lower making, the predominantly short agricultural sector the top performer last month.

 

The Series posted a 3.24% gain for the month of January 2013 and an overall gain of 17.10% for the Series from the inception of trading on March 16, 2007 to January 31, 2013 (not annualized).

 

The Series returned 3.24% in January. The year started with a healthy dose of risk appetite. This was caused by the end of political gridlock over spending cuts and tax increases in the United States, accelerating growth in China, better than expected global corporate profits and signs of a recovery in Europe. As a result investors moved away from the safety of bonds and into stocks and growth-sensitive commodities. The Series’ long exposures in stock indices, the oils complex and certain base metals, all contributed to gains. In particular, reformulated gasoline rallied strongly as the risk appetite was partnered with reducing inventories. However, as capital moved away from safe haven assets, the Series incurred losses from its net long bond exposures. German bonds dominated the losses as European sentiment continued to strengthen. However, exposure in this sector continued to reduce throughout the month. In currencies, a clear theme developed: a weakening Japanese Yen and a stronger Euro. The newly elected Japanese government recently pledged to aggressively tackle deflation while the Euro rally versus the USD has now extended to six months. On the back of this, the Series made gains from its short exposure to the Yen and long exposure to the Euro. Offsetting this, some losses came from the Series’ long Sterling exposure as the UK economy showed signs of stagnation.

Quarter ended June 30, 2012

 

This performance description is a brief summary of how the Series performed during the quarter ended June 30, 2012, 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, 2012 with a year-to-date loss of (3.80%).

 

April 1, 2012 to June 30, 2012

 

The Series posted a (5.04%) loss for the month ending June 30, 2012, a loss of (4.32%) and (3.80%) for the three and six months ended June 30, 2012 and an overall gain of 24.98% for the Series from the inception of trading on March 16, 2007 through June 30, 2012 (not annualized).

 

The Series returned (5.04%) in June. The majority of the month’s losses occurred on the last trading day as European leaders agreed to ease repayment rules for Spanish banks and help reduce Italy’s borrowing costs. Broadly, the month was characterised by a return of risk appetite amid expectations that central banks would act to help spur growth. Most stock indices, metals and agriculturals prices rose over the month, while fixed income and the US Dollar declined, resulting in losses for the Series. In currencies, losses came from the Series’ short Euro position against the US Dollar. However gains were made from other Euro based cross pairs as currencies such as the Swedish Krona, Polish Zloty and Hungarian Forint continued to be supported by Eurozone uncertainty. Fixed income sectors contributed negatively with losses dominated by long positions in German government bonds. US Treasuries also declined following the Federal Reserve’s decision to extend ‘Operation Twist’ rather than provide a more aggressive form of easing. The Series’ long position in Short Sterling performed well following the Bank of England’s plans to ease credit conditions. In energies, natural gas prices surged following reports of smaller than expected inventories and above average temperatures in the US. The Series’ losses from natural gas were slightly offset by gains from short positions in crude oil as prices declined following weak US and European employment data. Finally, in agriculturals, losses sustained from the net short position in the sector were lessened by long positions held in the soy complex which gained as news of low soil-moisture levels in the US drove grain prices higher.

 

The Series posted a 0.36% return for the month ending May 31, 2012, a 1.31% gain for the year to date as of May 31, 2012 and an overall gain of 31.61% for the Series from the inception of trading on March 16, 2007 to May 31, 2012 (not annualized).

 

The Series returned 0.36% in May. Risk aversion dominated markets following poor US labor market data at the start of the month, increasing concerns about Greece exiting the Euro and the health of banks in Spain. Against this backdrop, equity and energy markets sold off and the US Dollar strengthened. The Series responded to these sharp reversals and switched to a net short position in stock indices and energies by the middle of the month. In currencies, the short US Dollar exposure was significantly reduced and switched to long towards the end of the month. Notably, reduced expectations of an interest rate hike in Canada and a reduction of growth forecast by the Bank of England placed further downward pressure on their currencies, resulting in losses for the Series. However, the Series’ short positioning in the Euro helped offset this somewhat. Safe haven appeal pushed fixed income yields to new lows. In addition, central bank action also drove the Series’ positive performance in fixed income. The Reserve Bank of Australia signaled the possibility of further rate cuts, thus driving the prices of Australian fixed income higher and benefiting the Series’ long positioning. In energies, oil prices were further pushed downwards by increasing inventories in the US and a potential increase in supply by Saudi Arabia. Natural gas experienced a strong rally following short covering to the detriment of the Series’ short positioning. Lastly, metals contributed positively to performance, with gains being derived from short positions across both industrial and precious metals as prices declined with the general selloff in risky assets.

The Series posted a 0.40% return for the month ending April 30, 2012, a 0.95% gain for the year to date as of April 30, 2012 and an overall gain of 31.14% for the Series from the inception of trading on March 16, 2007 to April 30, 2012 (not annualized).

 

The Series returned 0.40% in April. Economic and political uncertainty in Europe, concerns about slowing growth in China and some disappointing US data releases combined to create risk aversion in markets. Fixed income advanced, leading to gains from the Series’ long bond and interest rate positions, while losses came from the Series’ mainly long positions in stock indices. Nevertheless, one of the top performers was the Series’ short position in the IBEX, which fell to a three-year low amid concerns about the Spanish economy. The Japanese markets were also of particular note. Japanese stock indices fell sharply, and in an effort to boost the country’s economy the Bank of Japan expanded its asset purchase program. Meanwhile the Series’ long position in USD/JPY made losses as the US Dollar fell following a weaker-than-expected US GDP growth figure towards the end of the month. Oil markets fell as the International Energy Agency gave signs that the oil supply and demand imbalance has started to ease, while talks between Iran and the West progressed, resulting in losses from the energies sector. However, agricultural sector was positive, with gains coming in particular from long positions in the soy complex as news of strong demand, combined with poor weather in South America, pushed prices higher.

 

Quarter ended March 31, 2012

 

This performance description is a brief summary of how the Series performed during the quarter ended March 31, 2012, 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, 2012 with a year-to-date gain of 0.55%.

 

January 1, 2012 to March 31, 2012

 

The Series posted a (1.95%) loss for the month ending March 31, 2012, a gain of 0.55% for the three months ended March 31, 2012 and an overall gain of 30.62% for the Series from the inception of trading on March 16, 2007 through March 31, 2012 (not annualized).

 

The Series returned (1.95%) in March. As US labor data continued to surprise on the upside the US dollar strengthened, in particular against commodity currencies, leading to losses for the Series. Mid-month, the Fed upwardly revised the economic outlook for the US leading to a global sell-off in bonds which amounted to losses from the Series’ fixed income exposures. However, against this optimistic economic background, the Series made gains from its long stock index exposures. In Australia, as interest rates were left unchanged with rhetoric suggesting potential monetary easing in the near future, the Australian Dollar fell making it the Series’ worst performer. In commodities, the Series’ short position in natural gas made gains as continued warm weather and reports of high supplies pushed prices lower. This made energies the top sector for the month despite WTI crude falling following weak Chinese data and expectations of a coordinated release of strategic reserves. In agricultural, the Series’ short position in coffee made gains as prices fell on signs that output from Brazil and Vietnam will increase.

 

The Series posted a 1.60% return for the month ending February 29, 2012, a 2.55% gain for the year to date as of February 29, 2012 and an overall gain of 33.22% for the Series from the inception of trading on March 16, 2007 to February 29, 2012 (not annualized).

 

The Series returned 1.60% in February. The energies sector was the outstanding performer this month as increased global demand and Iranian-induced supply-stresses meant the oil complex rallied strongly. In financial markets, better than expected US labour data, lessening fears of European systemic risk and further liquidity provision by central banks created a bullish sentiment amongst market participants. In Europe, the Bank of England provided yet more quantitative easing with rhetoric suggesting the potential for further rounds. Meanwhile, the European Central Bank’s long-term refinancing operation was much anticipated and over-subscribed when it finally occurred. As a result, world equity markets rallied to the Series’ benefit. However, bonds traded lower incurring losses from the Series’ reducing long exposures.

The Reserve Bank of Australia surprised markets by not cutting rates, leading to the Series making losses from its Australian bond exposures. However, gains were made from the Series’ short exposure to the Australian Bank Bills. Elsewhere in Asia, the Bank of Japan also began a liquidity operation, focusing on purchasing longer maturity Japanese government bonds in an effort to bring about some much needed inflation. This led the Yen to weaken sharply against its longer term trend making it the Series’ worst performer. However, higher yielding currencies contributed to making the currencies sector a positive performer overall despite reversals in the Yen and Euro.

 

The Series posted a 0.93% gain for the month of January 2012 and an overall gain of 31.13% for the Series from the inception of trading on March 16, 2007 to January 31, 2012 (not annualized).

 

The Series returned 0.93% in January. Attempts to resolve the Eurozone sovereign debt situation drove market sentiment for most of the month. Uncertainty stemming from the struggle by European leaders to reach agreement was punctuated by successful debt auctions, better than expected earnings from US banks and encouraging global economic data. Towards the end of the month the Federal Reserve forecast that US interest rates would remain low until the end of 2014, boosting US Treasuries, stock indices and gold. The US Dollar fell in response, to the benefit of the Series’ positions. Gains were also made on long fixed income positions. In particular, Euribor futures rose amid the prospect of further liquidity injections by the ECB. The rise in global stock markets resulted in losses from short positions, especially in Asian indices. Notably, Chinese indices were also driven upwards by speculation of further monetary easing by The People’s Bank of China. In commodities, losses were made from short positions in agricultural and metals. Cocoa and wheat prices rose amid forecasts of unfavorable weather, while zinc and aluminium prices rallied following encouraging Chinese trade data and the prospect of output reductions. Natural gas meanwhile continued to trend lower, making the Series’ short position the top performer. Additional gains in energies came from the Series’ long position in Reformulated Gasoline, the price of which rallied on reports of US refinery shutdowns.

 

Off-balance Sheet Arrangements

 

The Series has no applicable off-balance sheet arrangements or tabular disclosure of contractual obligations of the type described in Items 303(a)(4) and 303(a)(5) of Regulation S-K.

 

Item 3: Quantitative and Qualitative Disclosures About Market Risk

 

Not applicable; the Series is a smaller reporting company.

 

Item 4: 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 (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act of 1934) with respect to the Platform and the Series as of the end of the fiscal quarter for which this Quarterly Report on Form 10-Q is being filed, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. No change in internal control over financial reporting (in connection with the evaluation required by paragraph (d) of Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act of 1934) occurred during the quarter ended June 30, 2013 that has materially affected, or is reasonably likely to materially affect, the Platform’s and the Series’ internal control over financial reporting.

 

PART II – OTHER INFORMATION

 

Item 1: Legal Proceedings

 

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

Item 1A: Risk Factors

 

Not required.

 

Item 2: Unregistered Sales of Equity Securities and Use of Proceeds

 

(a)	Not applicable; previously filed on Forms 8-K

 

(b)	Not applicable.

 

(c)

Pursuant to the Platform’s Limited Liability Company Agreement and the Series’ 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. 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 first quarter of 2013:

 

Month			Units Redeemed			Redemption Date Net Asset Value per Unit
April 30, 2013				2,447.87			$	1,183.117
May 31, 2013				1,876.83			$	1,103.740
June 30, 2013				1,985.52			$	1,104.900
Total				6,310.22

 

Item 3: Defaults Upon Senior Securities

 

(a)

None.

(b)

None.

 

Item 4: (Removed and Reserved)

 

Item 5: Other Information

 

(a)

None.

(b)	Not applicable.

 

Item 6: Exhibits

 

The following exhibits are included herewith.

 

Exhibit Number		Description of Document
**1.1		Selling Agreement.
***2.1		Assignment Agreement
*3.1		Certificate of Formation of AlphaMetrix Managed Futures LLC.
****3.2		Amended and Restated Limited Liability Company Operating Agreement
****3.3		Amended and Restated Separate Series Agreement for the Series.
****10.13		Advisory Agreement.

Exhibit Number		Description of Document
*10.5		Form of Customer Agreement.
**10.6		Form of Subscription Agreement.
****10.12		General Assignment and Assumption Agreement
****10.15		Representation Letter.
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.
99.1		Financial Statements of AlphaMetrix Aspect Fund – MT0001 (Master Fund) (unaudited) for the three and six months ended June 30, 2013 and 2012.
*****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 the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on behalf of AlphaMetrix Managed Futures LLC on behalf of itself and its series, Aspect Series, by the undersigned thereunto duly authorized.

 

Dated: August 14, 2013
ALPHAMETRIX MANAGED FUTURES LLC
By:  AlphaMetrix, LLC
Sponsor

 

By:	/s/ Aleks Kins
Name:  Aleks Kins
Title:  President and Chief Executive Officer