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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM 10-Q

 

 

(Mark One)

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

For the quarterly period ended September 30, 2014

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: 000-53764

 

 

SUPERFUND GOLD, L.P.

(Exact name of registrant as specified in charter)

 

 

 

Delaware   98-0574019 (Series A); 98-0574020 (Series B)

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

 

Superfund Office Building

P.O. Box 1479

Grand Anse

St. George’s, Grenada

West Indies

  Not applicable
(Address of principal executive offices)   (Zip Code)

(473) 439-2418

(Registrant’s telephone number, including area code)

Not applicable

(Former name, former address and former fiscal year, if changed since last report)

 

 

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  x    No  ¨

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   x

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ¨    No  x

 

 

 


PART I - FINANCIAL INFORMATION

 

ITEM 1. FINANCIAL STATEMENTS

The following unaudited financial statements of Superfund Gold, L.P., Superfund Gold, L.P. Series A and Superfund Gold, L.P. Series B are included in Item 1:

 

         Page  
Financial Statements: Superfund Gold, L.P.   
 

Statements of Assets and Liabilities as of September 30, 2014 (unaudited) and December 31, 2013

     3   
 

Unaudited Condensed Schedule of Investments as of September 30, 2014

     4   
 

Condensed Schedule of Investments as of December 31, 2013

     5   
 

Unaudited Statements of Operations for the Three and Nine Months Ended September 30, 2014 and September  30, 2013

     6   
 

Unaudited Statements of Changes in Net Assets for the Nine Months Ended September  30, 2014 and September 30, 2013

     7   
 

Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2014 and September 30, 2013

     8   
Financial Statements: Superfund Gold, L.P. – Series A   
 

Statements of Assets and Liabilities as of September 30, 2014 (unaudited) and December 31, 2013

     9   
 

Unaudited Condensed Schedule of Investments as of September 30, 2014

     10   
 

Condensed Schedule of Investments as of December 31, 2013

     11   
 

Unaudited Statements of Operations for the Three and Nine Months Ended September  30, 2014 and September 30, 2013

     12   
 

Unaudited Statements of Changes in Net Assets for the Nine Months Ended September  30, 2014 and September 30, 2013

     13   
 

Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2014 and September 30, 2013

     14   
Financial Statements: Superfund Gold, L.P. – Series B   
 

Statements of Assets and Liabilities as of September 30, 2014 (unaudited) and December 31, 2013

     15   
 

Unaudited Condensed Schedule of Investments as of September 30, 2014

     16   
 

Condensed Schedule of Investments as of December 31, 2013

     17   
 

Unaudited Statements of Operations for the Three and Nine Months Ended September  30, 2014 and September 30, 2013

     18   
 

Unaudited Statements of Changes in Net Assets for the Nine Months Ended September  30, 2014 and September 30, 2013

     19   
 

Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2014 and September 30, 2013

     20   

Notes to Unaudited Financial Statements

     21-42   

 

2


SUPERFUND GOLD, L.P.

STATEMENTS OF ASSETS AND LIABILITIES

as of September 30, 2014 and December 31, 2013

 

     September 30, 2014
(unaudited)
     December 31, 2013  

ASSETS

     

Due from brokers

   $ 3,453,560       $ 7,856,372   

Unrealized appreciation on open forward contracts

     —           3   

Unrealized gain on futures contracts purchased

     59,330         434,347   

Unrealized gain on futures contracts sold

     243,244         336,188   

Cash

     5,388,774         5,499,481   
  

 

 

    

 

 

 

Total assets

     9,144,908         14,126,391   
  

 

 

    

 

 

 

LIABILITIES

     

Unrealized depreciation on open forward contracts

     —           5   

Unrealized loss on futures contracts purchased

     778,822         623,378   

Unrealized loss on futures contracts sold

     6,305         190,551   

Subscriptions received in advance

     —           15,000   

Redemptions payable

     277,884         583,958   

Management fees payable

     15,675         24,932   

Fees payable

     13,053         22,160   
  

 

 

    

 

 

 

Total liabilities

     1,091,739         1,459,984   
  

 

 

    

 

 

 

NET ASSETS

   $ 8,053,169       $ 12,666,407   
  

 

 

    

 

 

 

See accompanying notes to unaudited financial statements.

 

3


SUPERFUND GOLD, L.P.

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of September 30, 2014

 

     Percentage of
Net Assets
    Fair Value  

Futures contracts purchased

    

Currency

     (0.0 )*%    $ (2,456

Energy

     (0.2     (19,311

Financial

     0.2        20,104   

Food & Fiber

     (0.0 )*      (426

Indices

     (0.4     (34,547

Livestock

     0.2        13,450   

Metals

    

CMX Gold expiring December 2014

     (8.4     (665,980

Other

     (0.4     (30,326

Total Metals

     (8.6     (696,306
  

 

 

   

 

 

 

Total futures contracts purchased

     (8.9     (719,492
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.6        44,950   

Energy

     0.4        32,211   

Financial

     0.1        4,678   

Food & Fiber

     0.3        21,641   

Indices

     0.0     1,794   

Metals

     1.6        131,665   
  

 

 

   

 

 

 

Total futures contracts sold

     3.0        236,939   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (5.9 )%    $ (482,553
  

 

 

   

 

 

 

Futures and forward contracts by country composition

    

Australia

     (0.0 )*%    $ (735

European Monetary Union

     0.0     164   

Great Britain

     0.1        4,860   

Japan

     (0.1     (7,935

United States

     (6.1     (493,903

Other

     0.2        14,996   
  

 

 

   

 

 

 

Total futures and forward contracts by country composition

     (5.9 )%    $ (482,553
  

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

4


SUPERFUND GOLD, L.P.

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2013

 

     Percentage of
Net Assets
    Fair Value  

Forward contracts, at fair value

    

Unrealized appreciation on open forward contracts

    

Currency

     0.0 *%    $ 3   
  

 

 

   

 

 

 

Total unrealized appreciation on open forward contracts

     0.0     3   
  

 

 

   

 

 

 

Unrealized depreciation on open forward contracts

    

Currency

     (0.0 )*      (5
  

 

 

   

 

 

 

Total unrealized depreciation on open forward contracts

     (0.0 )*      (5
  

 

 

   

 

 

 

Total forward contracts, at fair value

     (0.0 )*%    $ (2
  

 

 

   

 

 

 

Futures contracts purchased

    

Currency

     0.2   $ 20,369   

Energy

     (0.5     (64,665

Financial

     (0.1     (11,330

Food & Fiber

     (0.2     (30,514

Indices

     1.7        212,720   

Livestock

     (0.0 )*      (4,820

Metals

     (2.5     (310,791
  

 

 

   

 

 

 

Total futures contracts purchased

     (1.4     (189,031
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.5        63,135   

Energy

     0.8        104,221   

Financial

     0.5        61,459   

Food & Fiber

     (0.1     (11,040

Metals

     (0.6     (72,138
  

 

 

   

 

 

 

Total futures contracts sold

     1.1        145,637   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (0.3 )%    $ (43,394
  

 

 

   

 

 

 

Futures and forward contracts by country composition

    

Australia

     (0.1 )%    $ (17,985

European Monetary Union

     0.0     268   

Great Britain

     0.0     6,192   

Japan

     0.1        13,085   

United States

     (0.8     (97,305

Other

     0.4        52,349   
  

 

 

   

 

 

 

Total futures and forward contracts by country composition

     (0.3 )%    $ (43,396
  

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

5


SUPERFUND GOLD, L.P.

UNAUDITED STATEMENTS OF OPERATIONS

 

    

Three Months Ended

September 30,

   

Nine Months Ended

September 30,

 
     2014     2013     2014     2013  

Investment Income

        

Interest income

   $ 272      $ 430      $ 994      $ 1,811   

Other income

     22        45        31        59   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     294        475        1,025        1,870   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Brokerage commissions

     47,029        68,511        201,187        315,756   

Management fee

     54,969        90,415        190,925        325,459   

Selling commission

     25,952        53,244        95,924        194,327   

Operating expenses

     18,323        30,138        63,641        108,489   

Other

     5,131        3,684        10,512        14,058   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     151,404        245,992        562,189        958,089   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (151,110   $ (245,517   $ (561,164   $ (956,219
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net realized gain (loss) on futures and forward contracts

   $ 1,059,499      $ (1,512,882   $ 1,760,506      $ (2,015,046

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (1,044,148     2,032,909        (439,157     (307,006
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ 15,351      $ 520,027      $ 1,321,349      $ (2,322,052
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

   $ (135,759   $ 274,510      $ 760,185      $ (3,278,271
  

 

 

   

 

 

   

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

6


SUPERFUND GOLD, L.P.

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

    

Nine Months Ended

September 30,

 
     2014     2013  

Increase (decrease) in net assets from operations

    

Net investment loss

   $ (561,164   $ (956,219

Net realized gain (loss) on futures and forward contracts

     1,760,506        (2,015,046

Net change in unrealized depreciation on futures and forward contracts

     (439,157     (307,006
  

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     760,185        (3,278,271

Capital share transactions

    

Issuance of Units

     1,245,023        2,038,453   

Redemption of Units

     (6,618,446     (6,889,985
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (5,373,423     (4,851,532
  

 

 

   

 

 

 

Net decrease in net assets

     (4,613,238     (8,129,803

Net assets, beginning of period

     12,666,407        22,366,689   
  

 

 

   

 

 

 

Net assets, end of period

   $ 8,053,169      $ 14,236,886   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

7


SUPERFUND GOLD, L.P.

UNAUDITED STATEMENTS OF CASH FLOWS

 

    

Nine Months Ended

September 30,

 
     2014     2013  

Cash flows from operating activities

    

Net increase (decrease) in net assets from operations

   $ 760,185      $ (3,278,271

Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities:

    

Changes in operating assets and liabilities:

    

Decrease in due from brokers

     4,402,812        4,094,008   

Decrease in unrealized appreciation on open forward contracts

     3        182,142   

Decrease in unrealized depreciation on open forward contracts

     (5     (101,771

Decrease in futures contracts purchased

     530,461        98,194   

Increase (decrease) in futures contracts sold

     (91,302     128,441   

Decrease in management fees payable

     (9,257     (15,201

Decrease in fees payable

     (9,107     (14,768
  

 

 

   

 

 

 

Net cash provided by operating activities

     5,583,790        1,092,774   
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions, net of change in advanced subscriptions

     1,230,023        1,953,938   

Redemptions, net of change in redemptions payable

     (6,924,520     (6,836,967
  

 

 

   

 

 

 

Net cash used in financing activities

     (5,694,497     (4,883,029
  

 

 

   

 

 

 

Net decrease in cash

     (110,707     (3,790,255

Cash, beginning of period

     5,499,481        9,250,263   
  

 

 

   

 

 

 

Cash, end of period

   $ 5,388,774      $ 5,460,008   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

8


SUPERFUND GOLD, L.P. – SERIES A

STATEMENTS OF ASSETS AND LIABILITIES

as of September 30, 2014 and December 31, 2013

 

     September 30, 2014
(unaudited)
     December 31, 2013  

ASSETS

     

Due from brokers

   $ 2,404,378       $ 4,366,891   

Unrealized appreciation on open forward contracts

     —           3   

Unrealized gain on futures contracts purchased

     41,767         254,637   

Unrealized gain on futures contracts sold

     153,737         177,920   

Cash

     4,064,192         4,314,062   
  

 

 

    

 

 

 

Total assets

     6,664,074         9,113,513   
  

 

 

    

 

 

 

LIABILITIES

     

Unrealized depreciation on open forward contracts

     —           1   

Unrealized loss on futures contracts purchased

     553,536         379,957   

Unrealized loss on futures contracts sold

     5,404         110,852   

Subscriptions received in advance

     —           15,000   

Redemptions payable

     277,884         279,141   

Management fees payable

     11,447         16,139   

Fees payable

     10,271         16,219   
  

 

 

    

 

 

 

Total liabilities

     858,542         817,309   
  

 

 

    

 

 

 

NET ASSETS

   $ 5,805,532       $ 8,296,204   
  

 

 

    

 

 

 

Superfund Gold, L.P. Series A-1 Net Assets

   $ 3,693,782       $ 6,261,154   

Number of Units outstanding

     3,296.942         5,778.843   
  

 

 

    

 

 

 

Superfund Gold, L.P. Series A-1 Net Asset Value per Unit

   $ 1,120.37       $ 1,083.46   
  

 

 

    

 

 

 

Superfund Gold, L.P. Series A-2 Net Assets

   $ 2,111,750       $ 2,035,050   

Number of Units outstanding

     1,641.692         1,660.757   
  

 

 

    

 

 

 

Superfund Gold, L.P. Series A-2 Net Asset Value per Unit

   $ 1,286.33       $ 1,225.37   
  

 

 

    

 

 

 

See accompanying notes to unaudited financial statements.

 

9


SUPERFUND GOLD, L.P. – SERIES A

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of September 30, 2014

 

     Percentage of
Net Assets
    Fair Value  

Futures contracts purchased

    

Currency

     (0.0 )*%    $ (2,081

Energy

     (0.2     (11,825

Financial

     0.2        14,044   

Food & Fiber

     (0.0 )*      (58

Indices

     (0.4     (20,480

Livestock

     0.1        8,510   

Metals

    

CMX Gold expiring December 2014

     (8.4     (487,060

Other

     (0.2     (12,819

Total Metals

     (8.6     (499,879
  

 

 

   

 

 

 

Total futures contracts purchased

     (8.9     (511,769
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.5        31,235   

Energy

     0.3        19,823   

Financial

     0.0     2,357   

Food & Fiber

     0.3        15,369   

Indices

     0.0     1,718   

Metals

     1.3        77,831   
  

 

 

   

 

 

 

Total futures contracts sold

     2.6        148,333   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (6.3 )%    $ (363,436
  

 

 

   

 

 

 

Futures and forward contracts by country composition

    

Australia

     (0.0 )*%    $ (454

European Monetary Union

     0.0     164   

Great Britain

     0.0     2,918   

Japan

     (0.0 )*      (2,668

United States

     (6.5     (375,349

Other

     0.2        11,953   
  

 

 

   

 

 

 

Total futures and forward contracts by country composition

     (6.3 )%    $ (363,436
  

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

10


SUPERFUND GOLD, L.P. – SERIES A

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2013

 

     Percentage of
Net Assets
    Fair Value  

Forward contracts, at fair value

    

Unrealized appreciation on open forward contracts

    

Currency

     0.0 *%    $ 3   
  

 

 

   

 

 

 

Total unrealized appreciation on open forward contracts

     0.0     3   
  

 

 

   

 

 

 

Unrealized depreciation on open forward contracts

    

Currency

     (0.0 )*      (1
  

 

 

   

 

 

 

Total unrealized depreciation on open forward contracts

     (0.0 )*      (1
  

 

 

   

 

 

 

Total forward contracts, at fair value

     0.0 *%    $ 2   
  

 

 

   

 

 

 

Futures contracts purchased

    

Currency

     0.1   $ 11,719   

Energy

     (0.3     (24,089

Financial

     (0.1     (6,327

Food & Fiber

     (0.2     (15,802

Indices

     1.4        120,148   

Livestock

     (0.0 )*      (3,020

Metals

     (2.4     (207,949
  

 

 

   

 

 

 

Total futures contracts purchased

     (1.5     (125,320
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.4        35,289   

Energy

     0.7        55,379   

Financial

     0.4        31,349   

Food & Fiber

     (0.1     (6,357

Metals

     (0.6     (48,592
  

 

 

   

 

 

 

Total futures contracts sold

     0.8        67,068   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (0.7 )%    $ (58,252
  

 

 

   

 

 

 

Futures and forward contracts by country composition

    

Australia

     (0.1 )%    $ (10,382

European Monetary Union

     0.0     124   

Great Britain

     0.0     2,552   

Japan

     0.1        9,002   

United States

     (1.1     (88,697

Other

     0.4        29,151   
  

 

 

   

 

 

 

Total futures and forward contracts by country composition

     (0.7 )%    $ (58,250
  

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

11


SUPERFUND GOLD, L.P. – SERIES A

UNAUDITED STATEMENTS OF OPERATIONS

 

    

Three Months Ended

September 30,

   

Nine Months Ended

September 30,

 
     2014     2013     2014     2013  

Investment Income

        

Interest income

   $ 161      $ 294      $ 552      $ 1,112   

Other income

     14        33        19        41   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     175        327        571        1,153   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Brokerage commissions

     26,186        38,878        111,577        181,543   

Management fee

     35,925        59,592        124,319        216,357   

Selling commission

     20,811        42,149        77,194        152,017   

Operating expenses

     11,975        19,864        41,439        72,122   

Other

     1,935        1,342        3,328        5,216   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     96,832        161,825        357,857        627,255   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (96,657   $ (161,498   $ (357,286   $ (626,102
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net realized gain (loss) on futures and forward contracts

   $ 598,617      $ (971,798   $ 999,118      $ (1,663,345

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (713,053     1,346,187        (305,186     (132,146
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ (114,436   $ 374,389      $ 693,932      $ (1,795,491
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

   $ (211,093   $ 212,891      $ 336,646      $ (2,421,593
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Series A-1 Unit (based upon weighted average number of units outstanding during period)*

   $ (40.87   $ 23.70      $ (59.71   $ (262.57
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Series A-1 Unit (based upon change in net asset value per unit during period)

   $ (39.54   $ 17.69      $ 36.91      $ (271.46
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Series A-2 Unit (based upon weighted average number of units outstanding during period)**

   $ (41.69   $ 35.49      $ 51.75      $ (278.65
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Series A-2 Unit (based upon change in net asset value per unit during period)

   $ (38.73   $ 26.29      $ 60.96      $ (281.56
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Weighted average number of Units outstanding for Series A-1 for the three months ended September 30, 2014 and September 30, 2013: 3,474.60 and 6,699.01, respectively; and for the nine months ended September 30, 2014 and September 30, 2013: 4,219.65 and 7,400.17, respectively.
** Weighted average number of Units outstanding for Series A-2 for the three months ended September 30, 2014 and September 30, 2013: 1,657.24 and 1,524.69, respectively; and for the nine months ended September 30, 2014 and September 30, 2013: 1,636.65 and 1,717.28, respectively.

See accompanying notes to unaudited financial statements.

 

12


SUPERFUND GOLD, L.P. – SERIES A

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

    

Nine Months Ended

September 30,

 
     2014     2013  

Increase (decrease) in net assets from operations

    

Net investment loss

   $ (357,286   $ (626,102

Net realized gain (loss) on futures and forward contracts

     999,118        (1,663,345

Net change in unrealized depreciation on futures and forward contracts

     (305,186     (132,146
  

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     336,646        (2,421,593

Capital share transactions

    

Issuance of Units

     838,304        871,316   

Redemption of Units

     (3,665,622     (4,449,597
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (2,827,318     (3,578,281
  

 

 

   

 

 

 

Net decrease in net assets

     (2,490,672     (5,999,874

Net assets, beginning of period

     8,296,204        15,322,426   
  

 

 

   

 

 

 

Net assets, end of period

   $ 5,805,532      $ 9,322,552   
  

 

 

   

 

 

 

Series A-1 Units, beginning of period

     5,778.843        8,423.300   

Issuance of Series A-1 Units

     24.628        321.785   

Redemption of Units

     (2,506.529     (2,355.412
  

 

 

   

 

 

 

Series A-1 Units, end of period

     3,296.942        6,389.673   
  

 

 

   

 

 

 

Series A-2 Units, beginning of period

     1,660.757        2,114.666   

Issuance of Series A-2 Units

     617.577        276.264   

Redemption of Units

     (636.642     (875.077
  

 

 

   

 

 

 

Series A-2 Units, end of period

     1,641.692        1,515.853   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

13


SUPERFUND GOLD, L.P. – SERIES A

UNAUDITED STATEMENTS OF CASH FLOWS

 

    

Nine Months Ended

September 30,

 
     2014     2013  

Cash flows from operating activities

    

Net increase (decrease) in net assets from operations

   $ 336,646      $ (2,421,593

Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities:

    

Changes in operating assets and liabilities:

    

Decrease in due from brokers

     1,962,513        2,519,885   

Decrease in unrealized appreciation on open forward contracts

     3        111,538   

Decrease in unrealized depreciation on open forward contracts

     (1     (60,600

Decrease in futures contracts purchased

     386,449        6,772   

Increase (decrease) in futures contracts sold

     (81,265     74,436   

Decrease in management fees payable

     (4,692     (10,947

Decrease in fees payable

     (5,948     (10,523
  

 

 

   

 

 

 

Net cash provided by operating activities

     2,593,705        208,968   
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions, net of change in advanced subscriptions

     823,304        792,552   

Redemptions, net of change in redemptions payable

     (3,666,879     (4,266,236
  

 

 

   

 

 

 

Net cash used in financing activities

     (2,843,575     (3,473,684
  

 

 

   

 

 

 

Net decrease in cash

     (249,870     (3,264,716

Cash, beginning of period

     4,314,062        7,542,936   
  

 

 

   

 

 

 

Cash, end of period

   $ 4,064,192      $ 4,278,220   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

14


SUPERFUND GOLD, L.P. – SERIES B

STATEMENTS OF ASSETS AND LIABILITIES

as of September 30, 2014 and December 31, 2013

 

     September 30, 2014
(unaudited)
     December 31, 2013  

ASSETS

     

Due from brokers

   $ 1,049,182       $ 3,489,481   

Unrealized gain on futures contracts purchased

     17,563         179,710   

Unrealized gain on futures contracts sold

     89,507         158,268   

Cash

     1,324,582         1,185,419   
  

 

 

    

 

 

 

Total assets

     2,480,834         5,012,878   
  

 

 

    

 

 

 

LIABILITIES

     

Unrealized depreciation on open forward contracts

     —           4   

Unrealized loss on futures contracts purchased

     225,286         243,421   

Unrealized loss on futures contracts sold

     901         79,699   

Redemptions payable

     —           304,817   

Management fees payable

     4,228         8,793   

Fees payable

     2,782         5,941   
  

 

 

    

 

 

 

Total liabilities

     233,197         642,675   
  

 

 

    

 

 

 

NET ASSETS

   $ 2,247,637       $ 4,370,203   
  

 

 

    

 

 

 

Superfund Gold, L.P. Series B-1 Net Assets

   $ 849,446       $ 1,689,188   

Number of Units outstanding

     860.155         1,849.736   
  

 

 

    

 

 

 

Superfund Gold, L.P. Series B-1 Net Asset Value per Unit

   $ 987.55       $ 913.20   
  

 

 

    

 

 

 

Superfund Gold, L.P. Series B-2 Net Assets

   $ 1,398,191       $ 2,681,015   

Number of Units outstanding

     1,278.818         2,691.953   
  

 

 

    

 

 

 

Superfund Gold, L.P. Series B-2 Net Asset Value per Unit

   $ 1,093.35       $ 995.94   
  

 

 

    

 

 

 

See accompanying notes to unaudited financial statements.

 

15


SUPERFUND GOLD, L.P. – SERIES B

UNAUDITED CONDENSED SCHEDULE OF INVESTMENTS

as of September 30, 2014

 

     Percentage of
Net Assets
    Fair Value  

Futures contracts purchased

    

Currency

     (0.0 )*%    $ (375

Energy

     (0.3     (7,486

Financial

     0.3        6,060   

Food & Fiber

     (0.0 )*      (368

Indices

     (0.6     (14,067

Livestock

     0.2        4,940   

Metals

    

CMX Gold expiring December 2014

     (8.0     (178,920

Other

     (0.8     (17,507

Total Metals

     (8.8     (196,427
  

 

 

   

 

 

 

Total futures contracts purchased

     (9.2     (207,723
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.6        13,715   

Energy

     0.6        12,388   

Financial

     0.1        2,321   

Food & Fiber

     0.3        6,272   

Indices

     0.0     76   

Metals

     2.4        53,834   
  

 

 

   

 

 

 

Total futures contracts sold

     4.0        88,606   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     (5.2 )%    $ (119,117
  

 

 

   

 

 

 

Futures and forward contracts by country composition

    

Australia

     (0.0 )*%    $ (281

Great Britain

     0.1        1,942   

Japan

     (0.2     (5,267

United States

     (5.3     (118,554

Other

     0.2        3,043   
  

 

 

   

 

 

 

Total futures and forward contracts by country composition

     (5.2 )%    $ (119,117
  

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

16


SUPERFUND GOLD, L.P. – SERIES B

CONDENSED SCHEDULE OF INVESTMENTS

as of December 31, 2013

 

     Percentage of
Net Assets
    Fair Value  

Forward contracts, at fair value

    

Unrealized depreciation on open forward contracts

    

Currency

     (0.0 )*%    $ (4
  

 

 

   

 

 

 

Total unrealized depreciation on open forward contracts

     (0.0 )*      (4
  

 

 

   

 

 

 

Total forward contracts, at fair value

     (0.0 )*%    $ (4
  

 

 

   

 

 

 

Futures contracts purchased

    

Currency

     0.2   $ 8,650   

Energy

     (0.9     (40,576

Financial

     (0.1     (5,003

Food & Fiber

     (0.3     (14,712

Indices

     2.1        92,572   

Livestock

     (0.0 )*      (1,800

Metals

     (2.5     (102,842
  

 

 

   

 

 

 

Total futures contracts purchased

     (1.5     (63,711
  

 

 

   

 

 

 

Futures contracts sold

    

Currency

     0.6        27,846   

Energy

     1.1        48,842   

Financial

     0.7        30,110   

Food & Fiber

     (0.1     (4,683

Metals

     (0.5     (23,546
  

 

 

   

 

 

 

Total futures contracts sold

     1.8        78,569   
  

 

 

   

 

 

 

Total futures contracts, at fair value

     0.3   $ 14,858   
  

 

 

   

 

 

 

Futures and forward contracts by country composition

    

Australia

     (0.2 )%    $ (7,603

European Monetary Union

     0.0  *      144   

Great Britain

     0.1        3,640   

Japan

     0.1        4,083   

United States

     (0.2     (8,608

Other

     0.5        23,198   
  

 

 

   

 

 

 

Total futures and forward contracts by country composition

     0.3   $ 14,854   
  

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

See accompanying notes to unaudited financial statements.

 

17


SUPERFUND GOLD, L.P. – SERIES B

UNAUDITED STATEMENTS OF OPERATIONS

 

    

Three Months Ended

September 30,

   

Nine Months Ended

September 30,

 
     2014     2013     2014     2013  

Investment Income

        

Interest income

   $ 111      $ 136      $ 442      $ 699   

Other income

     8        12        12        18   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     119        148        454        717   
  

 

 

   

 

 

   

 

 

   

 

 

 

Expenses

        

Brokerage commissions

     20,843        29,633        89,610        134,213   

Management fee

     19,044        30,823        66,606        109,102   

Selling commission

     5,141        11,095        18,730        42,310   

Operating expenses

     6,348        10,274        22,202        36,367   

Other

     3,196        2,342        7,184        8,842   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     54,572        84,167        204,332        330,834   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

   $ (54,453   $ (84,019   $ (203,878   $ (330,117
  

 

 

   

 

 

   

 

 

   

 

 

 

Realized and unrealized gain (loss) on investments

        

Net realized gain (loss) on futures and forward contracts

   $ 460,882      $ (541,084   $ 761,388      $ (351,701

Net change in unrealized appreciation (depreciation) on futures and forward contracts

     (331,095     686,722        (133,971     (174,860
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

   $ 129,787      $ 145,638      $ 627,417      $ (526,561
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

   $ 75,334      $ 61,619      $ 423,539      $ (856,678
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Series B-1 Unit (based upon weighted average number of units outstanding during period)*

   $ 8.23      $ 9.37      $ 99.00      $ (143.67
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Series B-1 Unit (based upon change in net asset value per unit during period)

   $ 1.88      $ 0.11      $ 74.35      $ (167.21
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Series B-2 Unit (based upon weighted average number of units outstanding during period)**

   $ 41.13      $ 14.66      $ 132.30      $ (168.47
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Series B-2 Unit (based upon change in net asset value per unit during period)

   $ 7.54      $ 5.24      $ 97.41      $ (163.44
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Weighted average number of Units outstanding for Series B-1 for the three months ended September 30, 2014 and September 30, 2013: 938.258 and 2,115.76, respectively; and for the nine months ended September 30, 2014 and September 30, 2013: 1,169.82 and 2,442.53, respectively.
** Weighted average number of Units outstanding for Series B-2 for the three months ended September 30, 2014 and September 30, 2013: 1,643.74 and 2,849.73, respectively; and for the nine months ended September 30, 2014 and September 30, 2013: 2,325.96 and 3,002.12, respectively.

See accompanying notes to unaudited financial statements.

 

18


SUPERFUND GOLD, L.P. – SERIES B

UNAUDITED STATEMENTS OF CHANGES IN NET ASSETS

 

    

Nine Months Ended

September 30,

 
     2014     2013  

Increase (decrease) in net assets from operations

    

Net investment loss

   $ (203,878   $ (330,117

Net realized gain (loss) on futures and forward contracts

     761,388        (351,701

Net change in unrealized depreciation on futures and forward contracts

     (133,971     (174,860
  

 

 

   

 

 

 

Net increase (decrease) in net assets from operations

     423,539        (856,678

Capital share transactions

    

Issuance of Units

     406,719        1,167,137   

Redemption of Units

     (2,952,824     (2,440,388
  

 

 

   

 

 

 

Net decrease in net assets from capital share transactions

     (2,546,105     (1,273,251
  

 

 

   

 

 

 

Net decrease in net assets

     (2,122,566     (2,129,929

Net assets, beginning of period

     4,370,203        7,044,263   
  

 

 

   

 

 

 

Net assets, end of period

   $ 2,247,637      $ 4,914,334   
  

 

 

   

 

 

 

Series B-1 Units, beginning of period

     1,849.736        3,258.284   

Issuance of Series B-1 Units

     35.804        184.070   

Redemption of Units

     (1,025.385     (1,372.044
  

 

 

   

 

 

 

Series B-1 Units, end of period

     860.155        2,070.310   
  

 

 

   

 

 

 

Series B-2 Units, beginning of period

     2,691.953        2,885.689   

Issuance of Series B-2 Units

     338.108        753.364   

Redemption of Units

     (1,751.243     (746.319
  

 

 

   

 

 

 

Series B-2 Units, end of period

     1,278.818        2,892.734   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

19


SUPERFUND GOLD, L.P. – SERIES B

UNAUDITED STATEMENTS OF CASH FLOWS

 

    

Nine Months Ended

September 30,

 
     2014     2013  

Cash flows from operating activities

    

Net increase (decrease) in net assets from operations

   $ 423,539      $ (856,678

Adjustment to reconcile net increase (decrease) in net assets from operations to net cash provided by operating activities:

    

Changes in operating assets and liabilities:

    

Decrease in due from brokers

     2,440,299        1,574,123   

Decrease in unrealized appreciation on open forward contracts

     —          70,604   

Decrease in unrealized depreciation on open forward contracts

     (4     (41,171

Decrease in futures contracts purchased

     144,012        91,422   

Increase (decrease) in futures contracts sold

     (10,037     54,005   

Decrease in management fees payable

     (4,565     (4,254

Decrease in fees payable

     (3,159     (4,245
  

 

 

   

 

 

 

Net cash provided by operating activities

     2,990,085        883,806   
  

 

 

   

 

 

 

Cash flows from financing activities

    

Subscriptions, net of change in advanced subscriptions

     406,719        1,161,386   

Redemptions, net of change in redemptions payable

     (3,257,641     (2,570,731
  

 

 

   

 

 

 

Net cash used in financing activities

     (2,850,922     (1,409,345
  

 

 

   

 

 

 

Net increase (decrease) in cash

     139,163        (525,539

Cash, beginning of period

     1,185,419        1,707,327   
  

 

 

   

 

 

 

Cash, end of period

   $ 1,324,582      $ 1,181,788   
  

 

 

   

 

 

 

See accompanying notes to unaudited financial statements.

 

20


SUPERFUND GOLD, L.P., SUPERFUND GOLD, L.P. – SERIES A and SUPERFUND GOLD, L.P. – SERIES B

NOTES TO UNAUDITED FINANCIAL STATEMENTS

September 30, 2014

SUPERFUND GOLD, L.P.

 

1. Nature of operations

Organization and Business

Superfund Gold, L.P. (the “Fund”), a Delaware limited partnership, commenced operations on April 1, 2009. The Fund was organized to trade speculatively in the United States (“U.S.”) and international commodity futures and forward markets using a strategy developed by Superfund Capital Management, Inc. (“Superfund Capital Management”), the general partner and trading advisor of the Fund. The Fund has issued two series of units of limited partnership interest (“Units”), each with a subseries, Series A-1/A-2 and Series B-1/B-2 (each a “Series”). Series A-1/A-2 and Series B-1/B-2 are traded and managed the same way, with the exception of the degree of leverage. Series B implements the Fund’s futures and forward trading program at a leverage level equal to approximately 1.5 times that implemented on behalf of Series A. Over the long term (periods of several years), the targeted average ratio of margin to equity for Series A is approximately 20% and approximately 30% for Series B. The leverage with which each of the Series is traded is the only difference between the Series. Sub-Series within a Series are not managed differently. Rather, Series A-1 Units and Series B-1 Units are subject to selling commissions. Series A-2 Units and Series B-2 Units are not subject to selling commissions but are available exclusively to: (i) investors participating in selling agent asset-based or fixed-fee investment programs or a registered investment adviser’s asset-based fee or fixed-fee advisory program through which an investment adviser recommends a portfolio allocation to the Fund and for which Superfund USA, LLC (“Superfund USA”) serves as selling agent, (ii) investors who purchased the Units through Superfund USA or an affiliated broker and who are commodity pools operated by commodity pool operators registered as such with the Commodity Futures Trading Commission and (iii) investors who have paid the maximum selling commission on their Series A-1 or Series B-1 Units (by re-designation of such Units as Series A-2 Units or Series B-2 Units as described herein). The foregoing eligibility requirements and selling commissions are the only differences between the Sub-Series within a Series.

The term of the Fund commenced on the day on which the Certificate of Limited Partnership was filed with the Secretary of State of the State of Delaware pursuant to the provisions of the Delaware Revised Uniform Limited Partnership Act and shall end upon the first to occur of the following: (i) receipt by Superfund Capital Management of an approval to dissolve the Fund at a specified time by limited partners of the Fund (“Limited Partners”) owning Units representing more than fifty percent (50%) of the outstanding Units of each Series then owned by Limited Partners of each Series, notice of which is sent by certified mail return receipt requested to Superfund Capital Management not less than 90 days prior to the effective date of such dissolution; (ii) withdrawal, insolvency or dissolution of Superfund Capital Management or any other event that causes Superfund Capital Management to cease to be the general partner of the Fund, unless (a) at the time of each event there is at least one remaining general partner of the Fund who carries on the business of the Fund (and each remaining general partner of the Fund is hereby authorized to carry on the business of general partner of the Fund in such an event), or (b) within 120 days after such event Limited Partners of a Series holding a majority of Units of such Series agree in writing to continue the business of the Fund and such Series and to the appointment, effective as of the date of such event, of one or more general partners of the Fund and such Series; (iii) a decline in the aggregate net assets of each Series to less than $500,000 at any time following commencement of trading in the Series; or (iv) any other event which shall make it unlawful for the existence of the Fund to be continued or which requires termination of the Fund.

 

2. Basis of presentation and significant accounting policies

Basis of Presentation

The unaudited financial statements have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (“SEC”) and accounting principles generally accepted in the U.S. (“U.S. GAAP”) with respect to the Form 10-Q and reflect all adjustments which in the opinion of management are normal and recurring, and which are necessary for a fair statement of the results of interim periods presented. It is suggested that these financial statements be read in conjunction with the financial statements and the related notes included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2013.

 

21


Valuation of Investments in Futures Contracts and Forward Contracts

All commodity interests (including derivative financial instruments and derivative commodity instruments) are used for trading purposes. The commodity interests are recorded on a trade date basis and open contracts are recorded in the statements of assets and liabilities at fair value on the last business day of the period, which represents market value for those commodity interests for which market quotes are readily available.

Exchange-traded futures contracts are valued at settlement prices published by the recognized exchange. Any spot and forward foreign currency contracts held by the Fund will be valued at published settlement prices or at dealers’ quotes.

Translation of Foreign Currency

Assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the period-end exchange rates. Purchases and sales of investments and income and expenses that are denominated in foreign currencies are translated into U.S. dollar amounts on the transaction date. Adjustments arising from foreign currency transactions are reflected in the statements of operations.

The Fund does not isolate that portion of the results of operations arising from the effect of changes in foreign exchange rates on investments from fluctuations from changes in market prices of investments held. Such fluctuations are included in net realized and unrealized gain (loss) on investments in the statements of operations.

Investment Transactions, Investment Income and Expenses

Investment transactions are accounted for on a trade-date basis. Interest income and expenses are recognized on the accrual basis. Operating expenses of the Fund are allocated to each Series in proportion to the net asset value of the Series at the beginning of each month. Expenses directly attributable to a particular Series are charged directly to that Series.

Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statements of operations as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 210-20, Offsetting – Balance Sheet.

Set forth herein are instruments and transactions eligible for offset in the statements of assets and liabilities and which are subject to derivative clearing agreements with the Fund’s futures commission merchants. Each futures commission merchant nets margin held on behalf of each Series of the Fund or payment obligations of the futures commission merchant to each Series against any payment obligations of that Series to the futures commission merchant. Each Series is required to deposit margin at each futures commission merchant to meet the original and maintenance requirements established by that futures commission merchant, and/or the exchange or clearinghouse associated with the exchange on which the instrument is traded. The derivative clearing agreements give each futures commission merchant a security interest in this margin to secure any liabilities owed to the futures commission merchant arising from a default by the Series. As of September 30, 2014, the Fund had on deposit $1,923,622 at ADM Investor Services, Inc., $517,199 at Barclays Capital Inc. and $1,012,739 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2014, Series A had on deposit $1,322,951 at ADM Investor Services, Inc., $339,942 at Barclays Capital Inc. and $741,485 at Merrill Lynch, Pierce, Fenner & Smith Inc. As of September 30, 2014, Series B had on deposit $600,671 at ADM Investor Services, Inc., $177,257 at Barclays Capital Inc. and $271,254 at Merrill Lynch, Pierce, Fenner & Smith Inc.

Income Taxes

The Fund does not record a provision for U.S. income taxes because the partners report their share of the Fund’s income or loss on their returns. The financial statements reflect the Fund’s transactions without adjustment, if any, required for income tax purposes.

Superfund Capital Management has evaluated the application of ASC Topic 740, Income Taxes (“ASC 740”), to the Fund to determine whether or not there are uncertain tax positions that require financial statement recognition. Based on this evaluation, Superfund Capital Management has determined no reserves for uncertain tax positions are required to be recorded as a result of the application of ASC 740. Superfund Capital Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. As a result, no income tax liability or expense has been recorded in the accompanying financial statements. The Fund files federal and various state tax returns. The 2010 through 2013 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

 

22


Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires Superfund Capital 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Recently Issued Accounting Pronouncements

ASU 2013-08

In June 2013, FASB issued Accounting Standards Update (“ASU”) No. 2013-08, Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”). ASU 2013-08 contains new guidance regarding the approach to investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value and requires additional disclosures about the investment company’s status as an investment company and information required to be provided to any of its investees. The amendments in the update are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. The adoption of the provisions of ASU 2013-08 has not had a material impact on the Fund’s financial statement disclosures.

ASU 2011-11

In December 2011, FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities (“ASU 2011-11”). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements.

In January 2013, FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Fund’s financial statements.

 

3. Fair Value Measurements

The Fund follows ASC 820, Fair Value Measurements and Disclosures. ASC 820 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under ASC 820 are described below:

 

Level 1:    Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2:    Quoted prices in markets that are not considered to be active or financial instruments for which all significant inputs are observable, either directly or indirectly;
Level 3:    Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded derivatives typically fall within Level 1 or Level 2 of the fair value hierarchy depending on whether they are deemed to be actively traded or not. The Fund has exposure to exchange-traded derivative contracts through the Fund’s trading of exchange-traded futures contracts. The Fund’s exchange-traded futures contract positions are valued daily at settlement prices published by the applicable exchanges. In such cases, provided they are deemed to be actively traded, exchange-traded derivatives are classified within Level 1 of the fair value hierarchy. Less actively traded exchange-traded derivatives fall within Level 2 of the fair value hierarchy.

 

23


OTC derivatives are valued using market transactions and other market evidence whenever possible, including market-based inputs to models, model calibration to market-clearing transactions, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability of pricing information in the market. For OTC derivatives that trade in liquid markets, such as generic forwards and swaps, model inputs can generally be verified and model selection does not involve significant management judgment. The OTC derivatives held by the Fund may include forwards and swaps. Spot and forward foreign currency contracts held by the Fund are valued at published daily settlement prices or at dealers’ quotes. The Fund’s forward and swap positions are typically classified within Level 2 of the fair value hierarchy.

Certain OTC derivatives trade in less liquid markets with limited pricing information, and the determination of fair value for these derivatives is inherently more difficult. Such instruments are classified within Level 3 of the fair value hierarchy. Where the Fund does not have corroborating market evidence to support significant model inputs and cannot verify the model to market transactions, transaction price is initially used as the best estimate of fair value. Accordingly, when a pricing model is used to value such an instrument, the model is adjusted so that the model value at inception equals the transaction price. The valuations of these less liquid OTC derivatives are typically based on Level 1 and/or Level 2 inputs that can be observed in the market, as well as unobservable Level 3 inputs. Subsequent to initial recognition, the Fund updates the Level 1 and Level 2 inputs to reflect observable market changes, with resulting gains and losses reflected within Level 3. Level 3 inputs are changed only when corroborated by evidence such as similar market transactions, third-party pricing services and/or broker or dealer quotations, or other empirical market data. In circumstances in which the Fund cannot verify the model value to market transactions, it is possible that a different valuation model could produce a materially different estimate of fair value. The Fund attempts to avoid holding less liquid OTC derivatives. However, once held, the market for any particular derivative contract could become less liquid during the holding period. There were no Level 3 holdings at September 30, 2014 or December 31, 2013 or during the periods then ended.

The following table summarizes the valuation of the Fund’s assets and liabilities by the ASC 820 fair value hierarchy as of September 30, 2014 and December 31, 2013:

Superfund Gold, L.P.

 

     Balance
September 30,
2014
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts purchased

   $ 59,330       $ 59,330       $ —         $ —     

Futures contracts sold

     243,244         243,244         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 302,574       $ 302,574       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts purchased

   $ 778,822       $ 778,822       $ —         $ —     

Futures contracts sold

     6,305         6,305         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 785,127       $ 785,127       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 
     Balance
December 31,
2013
     Level 1      Level 2      Level 3  

ASSETS

           

Unrealized appreciation on open forward contracts

   $ 3       $ —         $ 3       $ —     

Futures contracts purchased

     434,347         434,347         —           —     

Futures contracts sold

     336,188         336,188         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 770,538       $ 770,535       $ 3       $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Unrealized depreciation on open forward contracts

   $ 5       $ —         $ 5       $ —     

Futures contracts purchased

     623,378         623,378         —           —     

Futures contracts sold

     190,551         190,551           —             —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $     813,934       $ 813,929       $ 5       $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

24


Superfund Gold, L.P. – Series A

 

     Balance
September 30,
2014
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts purchased

   $ 41,767       $ 41,767       $ —         $ —     

Futures contracts sold

     153,737         153,737         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 195,504       $ 195,504       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts purchased

   $ 553,536       $ 553,536       $ —         $ —     

Futures contracts sold

     5,404         5,404         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 558,940       $ 558,940       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 
     Balance
December 31,
2013
     Level 1      Level 2      Level 3  

ASSETS

           

Unrealized appreciation on open forward contracts

   $ 3       $ —         $ 3       $ —     

Futures contracts purchased

     254,637         254,637         —           —     

Futures contracts sold

     177,920         177,920         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 432,560       $ 432,557       $ 3       $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Unrealized depreciation on open forward contracts

   $ 1       $ —         $ 1       $ —     

Futures contracts purchased

     379,957         379,957         —           —     

Futures contracts sold

     110,852         110,852         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 490,810       $ 490,809       $ 1       $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Superfund Gold, L.P. – Series B

 

     Balance
September 30,
2014
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts purchased

   $ 17,563       $ 17,563       $ —         $ —     

Futures contracts sold

     89,507         89,507         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 107,070       $ 107,070       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Futures contracts purchased

   $ 225,286       $ 225,286       $ —         $ —     

Futures contracts sold

     901         901         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 226,187       $ 226,187       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

25


     Balance
December 31,
2013
     Level 1      Level 2      Level 3  

ASSETS

           

Futures contracts purchased

   $ 179,710       $ 179,710       $ —         $ —     

Futures contracts sold

     158,268         158,268         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets Measured at Fair Value

   $ 337,978       $ 337,978       $ —         $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Unrealized depreciation on open forward contracts

   $ 4       $ —         $ 4       $ —     

Futures contracts purchased

     243,421         243,421         —           —     

Futures contracts sold

     79,699         79,699         —           —     
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities Measured at Fair Value

   $ 323,124       $ 323,120       $ 4       $ —     
  

 

 

    

 

 

    

 

 

    

 

 

 

 

4. Disclosure of derivative instruments and hedging activities

The Fund follows ASC 815, Disclosures about Derivative Instruments and Hedging Activities (“ASC 815”). ASC 815 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position.

Derivative instruments held by the Fund do not qualify as derivative instruments held as hedging instruments, as defined in ASC 815. Instead, the Fund includes derivative instruments in its trading activity. Per the requirements of ASC 815, the Fund discloses the gains and losses on its trading activities for both derivative and nonderivative instruments in the statements of operations for each Series.

The Fund engages in the speculative trading of forward contracts in currency and futures contracts in a wide range of commodities, including equity markets, interest rates, food and fiber, energy, livestock and metals. ASC 815 requires entities to recognize all derivatives instruments as either assets or liabilities at fair value in the statement of financial position. Investments in forward contracts and commodity futures contracts are recorded in the statements of assets and liabilities as unrealized appreciation or depreciation on open forward contracts, futures contracts purchased and futures contracts sold. Since the derivatives held or sold by the Fund are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of ASC 815. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Fund’s realized and unrealized gain (loss) on investments in the statements of operations.

Superfund Capital Management believes futures and forward trading activity expressed as a percentage of net assets is indicative of trading activity. Information concerning the fair value of the Fund’s derivatives held long or sold short, as well as information related to the annual average volume of the Fund’s derivative activity, is as follows:

Superfund Gold, L.P.

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2014, is as follows:

 

Type of Instrument

  Statement of Assets and
Liabilities Location
  Asset Derivatives at
September 30, 2014
    Liability Derivatives
at September 30, 2014
    Net  

Futures contracts

  Futures contracts
purchased
  $ 59,330      $ (778,822   $ (719,492

Futures contracts

  Futures contracts sold     243,244        (6,305     236,939   
   

 

 

   

 

 

   

 

 

 

Totals

    $ 302,574      $ (785,127   $ (482,553
   

 

 

   

 

 

   

 

 

 

 

26


The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2013, is as follows:

 

Type of Instrument

 

Statement of Assets and
Liabilities Location

  Asset Derivatives at
December 31, 2013
    Liability Derivatives
at December 31, 2013
    Net  

Foreign exchange contracts

  Unrealized appreciation on open forward contracts   $ 3      $ —        $ 3   

Foreign exchange contracts

  Unrealized depreciation on open forward contracts     —          (5     (5

Futures contracts

  Futures contracts purchased     434,347        (623,378     (189,031

Futures contracts

  Futures contracts sold     336,188        (190,551     145,637   
   

 

 

   

 

 

   

 

 

 

Totals

    $ 770,538      $ (813,934   $ (43,396
   

 

 

   

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Gain (Loss)

on Derivatives

Recognized in Income

   Net Realized Gain (Loss)
on Derivatives
Recognized in Income
    Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized loss on futures and forward contracts    $ (9,245   $ —     

Futures contracts

   Net realized gain (loss) on futures and forward contracts      1,068,744        (1,044,148
     

 

 

   

 

 

 

Total

      $ 1,059,499      $ (1,044,148
     

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Gain (Loss)

on Derivatives

Recognized in Income

   Net Realized Gain (Loss)
on Derivatives
Recognized in Income
    Net Change in
Unrealized Appreciation
(Depreciation) on
Derivatives Recognized
in Income
 

Foreign exchange contracts

   Net realized gain (loss) on futures and forward contracts    $ (107,245   $               2   

Futures contracts

   Net realized gain (loss) on futures and forward contracts      1,867,751        (439,159
     

 

 

   

 

 

 

Total

      $ 1,760,506      $ (439,157
     

 

 

   

 

 

 

 

27


Effects of derivative instruments on the statement of operations for the three months ended September 30, 2013:

 

Derivatives not Designated as Hedging Instruments
under ASC 815

 

Location of Gain (Loss)

on Derivatives

Recognized in Income

  Net Realized Loss on
Derivatives Recognized
in Income
    Net Change in
Unrealized Appreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

  Net realized/unrealized gain (loss) on futures and forward contracts   $ (27,189   $ 4,601   

Futures contracts

  Net realized/unrealized gain (loss) on futures and forward contracts     (1,485,693     2,028,308   
   

 

 

   

 

 

 

Total

    $ (1,512,882   $ 2,032,909   
   

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2013:

 

Derivatives not Designated as Hedging Instruments
under ASC 815

 

Location of Loss on
Derivatives Recognized
in Income

  Net Realized Loss on
Derivatives Recognized
in Income
    Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

  Net realized/unrealized loss on futures and forward contracts   $ (302,903   $ (80,371

Futures contracts

  Net realized/unrealized loss on futures and forward contracts     (1,712,143     (226,635
   

 

 

   

 

 

 

Total

    $ (2,015,046   $ (307,006
   

 

 

   

 

 

 

Superfund Gold, L.P. gross and net unrealized gains and losses by long and short positions as of September 30, 2014 and December 31, 2013:

 

     As of September 30, 2014  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 1,013         0.0   $ (3,469     (0.0 )*    $ 46,227         0.6      $ (1,277     (0.0 )*    $ 42,494   

Financial

     27,318         0.3        (7,214     (0.1     5,536         0.1        (858     (0.0 )*      24,782   

Food & Fiber

     1,825         0.0     (2,251     (0.0 )*      24,901         0.3        (3,260     (0.0 )*      21,215   

Indices

     9,740         0.1        (44,287     (0.5     1,966         0.0     (172     (0.0 )*      (32,753

Metals

     1,615         0.0     (697,921     (8.7     131,948         1.6        (283     (0.0 )*      (564,641

Energy

     2,002         0.0     (21,313     (0.3     32,667         0.4        (456     (0.0 )*      12,900   

Livestock

     15,820         0.2        (2,370     (0.0 )*      —           —                  —          —          13,450   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $   59,333         0.6      $ (778,825     (9.6   $ 243,245         3.0      $ (6,306     (0.0 )*    $ (482,553
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 
*  Due to rounding – amount is less than 0.05%   
     As of December 31, 2013  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Foreign Exchange

   $ 3         0.0   $ —          —        $ —           —        $ (5     (0.0 )*    $ (2

Currency

     34,356         0.3        (13,987     (0.1     67,051         0.5        (3,916     (0.0 )*      83,504   

Financial

     —           —          (11,330     (0.1     115,315         0.9        (11,094     (0.1     92,891   

Food & Fiber

     4,780         0.0     (35,294     (0.3     61,459         0.5        —          —          30,945   

Indices

     226,092         1.8        (13,372     (0.1     168         0.0     (11,208     (0.1     201,680   

Metals

     113,479         0.9        (424,270     (3.3     92,195         0.7        (164,333     (1.3     (382,929

Energy

     55,539         0.4        (120,204     (0.9     —           —          —          —          (64,665

Livestock

     100         0.0     (4,920     (0.0 )*      —           —          —          —          (4,820
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 434,349         3.4      $ (623,377     (4.9   $ 336,188         2.7      $ (190,556     (1.5   $ (43,396
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 
*  Due to rounding – amount is less than 0.05%   

 

28


Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2014:

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
     Average Value of
Long Positions
     Average Value of
Short Positions
 

Foreign Exchange

     —           —         $ —         $ —     

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
 

Currency

     304         220   

Financial

     1,344         192   

Food & Fiber

     15         71   

Indices

     545         60   

Metals

     298         83   

Energy

     84         78   

Livestock

     25         2   
  

 

 

    

 

 

 

Total

     2,615            706   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Superfund Gold, L.P. average* monthly contract volume by market sector as of quarter ended September 30, 2013:

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
     Average Value of
Long Positions
     Average Value of
Short Positions
 

Foreign Exchange

     12         11       $ 21,907       $ 26,115   

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
 

Currency

     341         178   

Financial

     860         1,187   

Food & Fiber

     59         102   

Indices

     1,211         282   

Metals

     339         199   

Energy

     304         227   

Livestock

     38         80   
  

 

 

    

 

 

 

Total

     3,164         2,266   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Superfund Gold, L.P. trading results by market sector:

 

     For the Three Months Ended September 30, 2014  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (9,245   $ —        $ (9,245

Currency

     121,971        24,440        146,411   

Financial

     333,148        8,073        341,221   

Food & Fiber

     233,493        (2,525     230,968   

Indices

     260,157        (23,832     236,325   

Metals

     182,662        (1,058,896     (876,234

Livestock

     (1,730     (13,620     (15,350

Energy

     (60,957     22,212        (38,745
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $ 1,059,499      $ (1,044,148   $ 15,351   
  

 

 

   

 

 

   

 

 

 

 

29


     For the Nine Months Ended September 30, 2014  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (107,245   $ 2      $ (107,243

Currency

     (55,476     (41,010     (96,486

Financial

     804,624        (68,109     736,515   

Food & Fiber

     427,438        (9,730     417,708   

Indices

     582,781        (234,433     348,348   

Metals

     251,114        (181,712     69,402   

Livestock

     195,780        18,270        214,050   

Energy

     (338,510     77,565        (260,945
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $ 1,760,506      $ (439,157   $ 1,321,349   
  

 

 

   

 

 

   

 

 

 
     For the Three Months Ended September 30, 2013  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (27,189   $ 4,601      $ (22,588 )

Currency

     (451,746     267,657        (184,089

Financial

     23,964        58,049        82,013   

Food & Fiber

     (78,659     (11,557     (90,216

Indices

     484,005        (175,746     308,259   

Metals

     (1,212,983     1,972,076        759,093   

Livestock

     (99,970     (8,040     (108,010

Energy

     (150,304     (74,131     (224,435
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $ (1,512,882   $ 2,032,909      $ 520,027   
  

 

 

   

 

 

   

 

 

 
     For the Nine Months Ended September 30, 2013  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (302,903   $ (80,371   $ (383,274

Currency

     (665,324     (163,947     (829,271

Financial

     165,012        (50,717     114,295   

Food & Fiber

     (632,359     (69,187     (701,546

Indices

     2,128,610        (433,849     1,694,761   

Metals

     (2,666,477     601,358        (2,065,119

Livestock

     113,450        (4,850     108,600   

Energy

     (155,055     (105,443     (260,498
  

 

 

   

 

 

   

 

 

 

Total net trading losses

   $ (2,015,046   $ (307,006   $ (2,322,052
  

 

 

   

 

 

   

 

 

 

Superfund Gold, L.P. – Series A

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2014, is as follows:

 

Type of Instrument

  

Statement of Assets and

Liabilities Location

   Asset Derivatives at
September 30, 2014
     Liability Derivatives
at September 30, 2014
    Net  

Futures contracts

   Futures contracts purchased    $ 41,767       $ (553,536   $ (511,769

Futures contracts

   Futures contracts sold      153,737         (5,404     148,333   
     

 

 

    

 

 

   

 

 

 

Totals

      $ 195,504       $ (558,940   $ (363,436
     

 

 

    

 

 

   

 

 

 

 

30


The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2013, is as follows:

 

Type of Instrument

   Statement of Assets and
Liabilities Location
   Asset Derivatives at
December 31, 2013
     Liability Derivatives
at December 31, 2013
    Net  

Foreign exchange contracts

   Unrealized appreciation
on open forward
contracts
   $ 3       $ —        $ 3   

Foreign exchange contracts

   Unrealized depreciation
on open forward
contracts
     —           (1     (1

Futures contracts

   Futures contracts
purchased
     254,637         (379,957     (125,320

Futures contracts

   Futures contracts sold      177,920         (110,852     67,068   
     

 

 

    

 

 

   

 

 

 

Totals

      $ 432,560       $ (490,810   $ (58,250
     

 

 

    

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Gain (Loss)

on Derivatives

Recognized in Income

   Net Realized Gain (Loss)
on Derivatives
Recognized in Income
    Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized loss on futures and forward contracts    $ (6,328   $ —     

Futures contracts

   Net realized gain (loss) on futures and forward contracts      604,945        (713,053
     

 

 

   

 

 

 

Total

      $ 598,617      $ (713,053
     

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Gain (Loss)

on Derivatives

Recognized in Income

   Net Realized Gain (Loss)
on Derivatives
Recognized in Income
    Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized loss on futures and forward contracts    $ (60,362   $ (2

Futures contracts

   Net realized gain (loss) on futures and forward contracts      1,059,480        (305,184
     

 

 

   

 

 

 

Total

      $ 999,118      $ (305,186
     

 

 

   

 

 

 

 

31


Effects of derivative instruments on the statement of operations for the three months ended September 30, 2013:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Gain (Loss)

on Derivatives

Recognized in Income

   Net Realized Loss on
Derivatives Recognized
in Income
    Net Change in
Unrealized Appreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized/unrealized gain (loss) on futures and forward contracts    $ (18,978   $ 5,708   

Futures contracts

   Net realized/unrealized gain (loss) on futures and forward contracts      (952,820     1,340,479   
     

 

 

   

 

 

 

Total

      $ (971,798   $ 1,346,187   
     

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2013:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Loss on

Derivatives Recognized

in Income

   Net Realized Loss on
Derivatives Recognized
in Income
    Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized/unrealized loss on futures and forward contracts    $ (180,050   $ (50,938

Futures contracts

   Net realized/unrealized loss on futures and forward contracts      (1,483,295     (81,208
     

 

 

   

 

 

 

Total

      $ (1,663,345   $ (132,146
     

 

 

   

 

 

 

Superfund Gold, L.P. – Series A gross and net unrealized gains and losses by long and short positions as of September 30, 2014 and December 31, 2013:

 

     As of September 30, 2014  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 588         0.0   $ (2,669     (0.0 )*    $ 32,512         0.6      $ (1,277     (0.0 )*    $ 29,154   

Financial

     18,321         0.3        (4,277     (0.1     3,215         0.1        (858     (0.0 )*      16,401   

Food & Fiber

     1,305         0.0     (1,363     (0.0 )*      17,901         0.3        (2,532     (0.0 )*      15,311   

Indices

     7,962         0.1        (28,442     (0.5     1,890         0.0     (172     (0.0 )*      (18,762

Metals

     1,169         0.0     (501,048     (8.6     78,050         1.3        (219     (0.0 )*      (422,048

Energy

     1,974         0.0     (13,799     (0.2     20,170         0.3        (347     (0.0 )*      7,998   

Livestock

     10,450         0.2        (1,940     (0.0 )*      —           —          —          —          8,510   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $   41,769           0.7      $ (553,538     (9.5   $ 153,738         2.6        $    (5,405     (0.1   $ (363,436
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

 

32


     As of December 31, 2013  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Foreign Exchange

   $ 3         0.0   $ —          —        $ —           —        $ (1     (0.0 )*    $ 2   

Currency

     19,106         0.2        (7,387     (0.1     37,407         0.5        (2,118     (0.0 )*      47,008   

Financial

     —           —          (6,327     (0.1     61,890         0.7        (6,511     (0.1     49,052   

Food & Fiber

     4,780         0.1        (20,582     (0.2     31,349         0.4        —          —          15,547   

Indices

     125,924         1.5        (5,776     (0.1     112         0.0     (6,469     (0.1     113,791   

Metals

     68,111         0.8        (276,060     (3.3     47,162         0.6        (95,754     (1.2     (256,541

Energy

     36,615         0.4        (60,704     (0.7     —           —          —          —          (24,089

Livestock

     100         0.0     (3,120     (0.0 )*      —           —          —          —          (3,020
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 254,639         3.1      $ (379,956     (4.6   $ 177,920         2.1      $ (110,853     (1.3   $ (58,250
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

 

* Due to rounding – amount is less than 0.05%

Superfund Gold, L.P. – Series A average* monthly contract volume by market sector as of quarter ended September 30, 2014:

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
     Average Value of
Long Positions
     Average Value of
Short Positions
 

Foreign Exchange

     —           —         $ —         $ —     

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
 

Currency

     165         122   

Financial

     730         103   

Food & Fiber

     9         39   

Indices

     314         34   

Metals

     169         46   

Energy

     50         46   

Livestock

     14         1   
  

 

 

    

 

 

 

Total

     1,451         391   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Superfund Gold, L.P. – Series A average* monthly contract volume by market sector as of quarter ended September 30, 2013:

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
     Average Value of
Long Positions
     Average Value of
Short Positions
 

Foreign Exchange

     8         8       $ 13,238       $ 18,007   

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
 

Currency

     194         100   

Financial

     481         662   

Food & Fiber

     34         56   

Indices

     678         163   

Metals

     203         113   

Energy

     179         129   

Livestock

     22         45   
  

 

 

    

 

 

 

Total

     1,799         1,276   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Superfund Gold, L.P. – Series A trading results by market sector:

 

     For the Three Months Ended September 30, 2014  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (6,328   $ —        $ (6,328

Currency

     73,508        19,420        92,928   

Financial

     163,686        6,612             170,298   

Food & Fiber

     128,845        2,208        131,053   

Indices

     125,220        (15,675     109,545   

Metals

     148,885        (732,888     (584,003

Livestock

     (2,630     (3,990     (6,620

Energy

     (32,569     11,260        (21,309
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $    598,617      $    (713,053   $ (114,436
  

 

 

   

 

 

   

 

 

 

 

33


     For the Nine Months Ended September 30, 2014  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (60,362   $ (2   $ (60,364

Currency

     (11,977     (17,854     (29,831

Financial

     424,017        (32,651     391,366   

Food & Fiber

     235,378        (236     235,142   

Indices

     278,757        (132,553     146,204   

Metals

     221,648        (165,507     56,141   

Livestock

     114,310        11,530        125,840   

Energy

     (202,653     32,087        (170,566
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $ 999,118      $ (305,186   $ 693,932   
  

 

 

   

 

 

   

 

 

 
     For the Three Months Ended September 30, 2013  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (18,978   $ 5,708      $ (13,270

Currency

     (264,857     156,889        (107,968

Financial

     5,967        35,744        41,711   

Food & Fiber

     (48,610     (4,034     (52,644

Indices

     264,520        (100,981     163,539   

Metals

     (761,347     1,305,587        544,240   

Livestock

     (53,590     (6,490     (60,080

Energy

     (94,903     (46,236     (141,139
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $ (971,798   $ 1,346,187      $ 374,389   
  

 

 

   

 

 

   

 

 

 
     For the Nine Months Ended September 30, 2013  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (180,050   $ (50,938   $ (230,988

Currency

     (386,729     (90,848     (477,577

Financial

     123,993        (31,163     92,830   

Food & Fiber

     (367,563     (41,943     (409,506

Indices

     1,229,408        (258,983     970,425   

Metals

     (2,008,889     405,335        (1,603,554

Livestock

     66,360        (2,950     63,410   

Energy

     (139,875     (60,656     (200,531
  

 

 

   

 

 

   

 

 

 

Total net trading losses

   $ (1,663,345   $ (132,146   $ (1,795,491
  

 

 

   

 

 

   

 

 

 

Superfund Gold, L.P. – Series B

The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of September 30, 2014, is as follows:

 

Type of Instrument

  

Statement of Assets and

Liabilities Location

   Asset Derivatives at
September 30, 2014
     Liability Derivatives
at September 30, 2014
    Net  

Futures contracts

   Futures contracts purchased    $ 17,563       $ (225,286   $ (207,723

Futures contracts

   Futures contracts sold      89,507         (901     88,606   
     

 

 

    

 

 

   

 

 

 

Totals

      $ 107,070       $ (226,187   $ (119,117
     

 

 

    

 

 

   

 

 

 

 

34


The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the statement of assets and liabilities, as of December 31, 2013, is as follows:

 

Type of Instrument

  

Statement of Assets and

Liabilities Location

   Asset Derivatives at
December 31, 2013
     Liability Derivatives
at December 31, 2013
    Net  

Foreign exchange contracts

   Unrealized depreciation on open forward contracts    $ —         $ (4   $ (4

Futures contracts

   Futures contracts purchased      179,710         (243,421     (63,711

Futures contracts

   Futures contracts sold      158,268         (79,699     78,569   
     

 

 

    

 

 

   

 

 

 

Totals

      $ 337,978       $ (323,124   $ 14,854   
     

 

 

    

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the three months ended September 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Gain (Loss)

on Derivatives

Recognized in Income

   Net Realized Gain (Loss)
on Derivatives
Recognized in Income
    Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized loss on futures and forward contracts    $ (2,917   $ —     

Futures contracts

   Net realized gain (loss) on futures and forward contracts      463,799        (331,095
     

 

 

   

 

 

 

Total

      $ 460,882      $ (331,095
     

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2014:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Gain (Loss)

on Derivatives

Recognized in Income

   Net Realized Gain (Loss)
on Derivatives
Recognized in Income
    Net Change in
Unrealized Appreciation
(Depreciation) on
Derivatives Recognized
in  Income
 

Foreign exchange contracts

   Net realized gain (loss) on futures and forward contracts    $ (46,883   $ 4   

Futures contracts

   Net realized gain (loss) on futures and forward contracts      808,271        (133,975
     

 

 

   

 

 

 

Total

      $ 761,388      $ (133,971
     

 

 

   

 

 

 

 

35


Effects of derivative instruments on the statement of operations for the three months ended September 30, 2013:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Gain (Loss)

on Derivatives

Recognized in Income

   Net Realized Loss on
Derivatives Recognized
in Income
    Net Change in
Unrealized Appreciation
(Depreciation) on
Derivatives Recognized
in  Income
 

Foreign exchange contracts

   Net realized/unrealized loss on futures and forward contracts    $ (8,211   $ (1,107

Futures contracts

   Net realized/unrealized gain (loss) on futures and forward contracts      (532,873     687,829   
     

 

 

   

 

 

 

Total

      $ (541,084   $ 686,722   
     

 

 

   

 

 

 

Effects of derivative instruments on the statement of operations for the nine months ended September 30, 2013:

 

Derivatives not Designated as Hedging
Instruments under ASC 815

  

Location of Loss on

Derivatives Recognized

in Income

   Net Realized Loss on
Derivatives Recognized
in Income
    Net Change in
Unrealized Depreciation
on Derivatives
Recognized in Income
 

Foreign exchange contracts

   Net realized/unrealized loss on futures and forward contracts    $ (122,853   $ (29,433

Futures contracts

   Net realized/unrealized loss on futures and forward contracts      (228,848     (145,427
     

 

 

   

 

 

 

Total

      $ (351,701   $ (174,860
     

 

 

   

 

 

 

Superfund Gold, L.P. – Series B gross and net unrealized gains and losses by long and short positions as of September 30, 2014 and December 31, 2013:

 

     As of September 30, 2014  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Currency

   $ 425         0.0   $ (800     (0.0 )*    $ 13,715         0.6      $       —          —        $ 13,340   

Financial

     8,997         0.4        (2,937     (0.1     2,321         0.1        —          —          8,381   

Food & Fiber

     520         0.0     (888     (0.0 )*      7,000         0.3        (728     (0.0 )*      5,904   

Indices

     1,778         0.1        (15,845     (0.4     76         0.0     —          —          (13,991

Metals

     446         0.0     (196,873     (8.8     53,898         2.4        (64     (0.0 )*      (142,593

Energy

     28         0.0     (7,514     (0.3     12,497         0.6        (109     (0.0 )*      4,902   

Livestock

     5,370         0.2        (430     (0.0 )*      —           —          —          —          4,940   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $   17,564         0.8      $ (225,287     (10.0   $   89,507         4.0      $ (901     (0.0 )*    $ (119,117
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 
*  Due to rounding – amount is less than 0.05%   
     As of December 31, 2013  
     Long Positions Gross Unrealized     Short Positions Gross Unrealized        
     Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Gains      % of
Net
Assets
    Losses     % of
Net
Assets
    Net Unrealized
Gain (Loss) on
Open Positions
 

Foreign Exchange

   $ —           —        $ —           —        $ —           —        $ (4     (0.0 )*    $ (4

Currency

     15,250         0.3        (6,600     (0.2     29,644         0.7        (1,798     (0.0 )*      36,496   

Financial

     —           —          (5,003     (0.1     53,425         1.2        (4,583     (0.1     43,839   

Food & Fiber

     —           —          (14,712     (0.3     30,110         0.7        —          —          15,398   

Indices

     100,168         2.3        (7,596     (0.2     56         0.0     (4,739     (0.1     87,889   

Metals

     45,368         1.0        (148,210     (3.4     45,033         1.0        (68,579     (1.6     (126,388

Energy

     18,924         0.4        (59,500     (1.4     —           —          —          —          (40,576

Livestock

     —           —          (1,800     (0.0 )*      —           —          —          —          (1,800
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Totals

   $ 179,710         4.1      $ (243,421     (5.6   $ 158,268         3.6      $ (79,703     (1.8   $ 14,854   
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 
*  Due to rounding – amount is less than 0.05%   

 

36


Superfund Gold, L.P. – Series B average* monthly contract volume by market sector as of quarter ended September 30, 2014:

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
     Average Value of
Long Positions
     Average Value of
Short Positions
 

Foreign Exchange

     —           —         $ —         $ —     

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
 

Currency

     139         98   

Financial

     614         89   

Food & Fiber

     6         32   

Indices

     231         26   

Metals

     129         37   

Energy

     34         32   

Livestock

     11         1   
  

 

 

    

 

 

 

Total

     1,164         315   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Superfund Gold, L.P. – Series B average* monthly contract volume by market sector as of quarter ended September 30, 2013:

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
     Average Value of
Long Positions
     Average Value of
Short Positions
 

Foreign Exchange

     4         3       $ 8,669       $ 8,108   

 

     Average Number
of Long Contracts
     Average Number
of Short Contracts
 

Currency

     147         78   

Financial

     379         525   

Food & Fiber

     25         46   

Indices

     533         119   

Metals

     136         86   

Energy

     125         98   

Livestock

     16         35   
  

 

 

    

 

 

 

Total

     1,365         990   
  

 

 

    

 

 

 

 

* Based on quarterly holdings

Superfund Gold, L.P. – Series B trading results by market sector:

 

     For the Three Months Ended September 30, 2014  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (2,917   $ —        $ (2,917

Currency

     48,463        5,020        53,483   

Financial

     169,462        1,461        170,923   

Food & Fiber

     104,648        (4,733     99,915   

Indices

     134,937        (8,157     126,780   

Metals

     33,777        (326,008     (292,231

Livestock

     900        (9,630     (8,730

Energy

     (28,388     10,952        (17,436
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $  460,882      $ (331,095   $ 129,787   
  

 

 

   

 

 

   

 

 

 

 

37


     For the Nine Months Ended September 30, 2014  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (46,883   $ 4      $ (46,879

Currency

     (43,499     (23,156     (66,655

Financial

     380,607        (35,458     345,149   

Food & Fiber

     192,060        (9,494     182,566   

Indices

     304,024        (101,880     202,144   

Metals

     29,466        (16,205     13,261   

Livestock

     81,470        6,740        88,210   

Energy

     (135,857     45,478        (90,379
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $ 761,388      $ (133,971   $ 627,417   
  

 

 

   

 

 

   

 

 

 
     For the Three Months Ended September 30, 2013  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (8,211   $ (1,107   $ (9,318

Currency

     (186,889     110,768        (76,121

Financial

     17,997        22,305        40,302   

Food & Fiber

     (30,049     (7,523     (37,572

Indices

     219,485        (74,765     144,720   

Metals

     (451,636     666,489        214,853   

Livestock

     (46,380     (1,550     (47,930

Energy

     (55,401     (27,895     (83,296
  

 

 

   

 

 

   

 

 

 

Total net trading gains (losses)

   $ (541,084   $ 686,722      $ 145,638   
  

 

 

   

 

 

   

 

 

 
     For the Nine Months Ended September 30, 2013  
     Net Realized
Gains (Losses)
    Change in Net
Unrealized
Gains (Losses)
    Net Trading
Gains (Losses)
 

Foreign Exchange

   $ (122,853   $ (29,433   $ (152,286

Currency

     (278,595     (73,099     (351,694

Financial

     41,019        (19,554     21,465   

Food & Fiber

     (264,796     (27,244     (292,040

Indices

     899,202        (174,866     724,336   

Metals

     (657,588     196,023        (461,565

Livestock

     47,090        (1,900     45,190   

Energy

     (15,180     (44,787     (59,967
  

 

 

   

 

 

   

 

 

 

Total net trading losses

   $ (351,701   $ (174,860   $ (526,561
  

 

 

   

 

 

   

 

 

 

 

5. Due from/to brokers

Due from brokers consists of proceeds from securities sold. Amounts due from brokers may be restricted to the extent that they serve as deposits for securities sold short. Amounts due to brokers, if any, represent margin borrowings that are collateralized by certain securities. As of September 30, 2014 and December 31, 2013, there were no amounts due to brokers.

In the normal course of business, all of the Fund’s marketable securities transactions, money balances and marketable security positions are transacted with brokers. The Fund is subject to credit risk to the extent any broker with whom it conducts business is unable to fulfill contractual obligations on its behalf.

 

6. Allocation of net profits and losses

In accordance with the Fund’s Third Amended and Restated Limited Partnership Agreement (the “Limited Partnership Agreement”), net profits and losses of the Fund are allocated to partners according to their respective interests in the Fund as of the beginning of each month.

 

38


Subscriptions received in advance, if any, represent cash received prior to the balance sheet date for subscriptions of the subsequent month and do not participate in the earnings of the Fund until the following month.

 

7. Related party transactions

Superfund Capital Management shall be paid a management fee equal to one-twelfth of 2.25% of month-end net assets (2.25% per annum) and operating and ongoing offering expenses equal to one-twelfth of 0.75% of month-end net assets (0.75% per annum) when considered together, not to exceed the amount of actual expenses incurred. Superfund Capital Management will also be paid a monthly performance/incentive fee equal to 25% of the new appreciation without respect to interest income or any changes in net asset due to changes in value of the Fund’s dollar for dollar gold position. Trading losses will be carried forward and no further performance/incentive fee may be paid until the prior losses have been recovered. In addition, Superfund Brokerage Services, Inc., an affiliate of Superfund Capital Management, serves as the introducing broker for the Fund’s futures transactions and receives a portion of the brokerage commissions paid by the Fund in connection with its futures trading. Superfund USA, LLC, an entity related to Superfund Capital Management by common ownership, shall be paid selling commissions equal to 2% of the month-end net asset value per Series A-1 Unit and Series B-1 Unit (one-twelfth of 2% per month). These amounts are included under selling commission in the statements of operations. However, the maximum cumulative selling commission per Unit is limited to 10% of the gross offering proceeds of such Unit.

 

8. Financial highlights

Financial highlights for the period January 1 through September 30, 2014 are as follows:

 

     Series A-1     Series A-2     Series B-1     Series B-2  

Total Return*

        

Total return before incentive fees

     3.4     5.0     8.1     9.8

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     3.4     5.0     8.1     9.8
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average partners’ capital**

        

Operating expenses before incentive fees

     5.2     3.8     6.0     3.4

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     5.2     3.8     6.0     3.4
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (5.2 )%      (3.8 )%      (6.0 )%      (3.4 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, beginning of period

   $ 1,083.46      $ 1,225.37      $ 913.20      $ 995.94   

Net investment loss

     (59.02     (49.40     (58.00     (36.23

Net gain on investments

     95.93        110.36        132.35        133.64   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 1,120.37      $ 1,286.33      $ 987.55      $ 1,093.35   
  

 

 

   

 

 

   

 

 

   

 

 

 

Other per Unit information:

        

Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period)

   $ 59.71      $ 51.75      $ 99.00      $ 132.30   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit)

   $ 36.91      $ 60.96      $ 74.35      $ 97.41   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Total return is calculated for each Series of the Fund taken as a whole. An individual’s return may vary from these returns based on the timing of capital transactions.
** Annualized for periods less than a year.

 

39


Financial highlights for the period January 1 through September 30, 2013 are as follows:

 

     Series A-1     Series A-2     Series B-1     Series B-2  

Total Return*

        

Total return before incentive fees

     (19.1 )%      (17.8 )%      (15.1 )%      (13.8 )% 

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     (19.1 )%      (17.8 )%      (15.1 )%      (13.8 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average partners’ capital**

        

Operating expenses before incentive fees

     5.1     3.6     5.9     4.5

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     5.1     3.6     5.9     4.5
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (5.1 )%      (3.6 )%      (5.8 )%      (4.5 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, beginning of period

   $ 1,423.03      $ 1,577.45      $ 1,110.58      $ 1,187.13   

Net investment loss

     (68.50     (54.20     (64.34     (52.58

Net loss on investments

     (202.96     (227.36     (102.87     (110.86
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 1,151.57      $ 1,295.89      $ 943.37      $ 1,023.69   
  

 

 

   

 

 

   

 

 

   

 

 

 

Other per Unit information:

        

Net decrease in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period)

   $ (262.57   $ (278.65   $ (143.67   $ (168.47
  

 

 

   

 

 

   

 

 

   

 

 

 

Net decrease in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit)

   $ (271.46   $ (281.56   $ (167.21   $ (163.44
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Total return is calculated for each Series of the Fund taken as a whole. An individual’s return may vary from these returns based on the timing of capital transactions.
** Annualized for periods less than a year.

Financial highlights for the period July 1 through September 30, 2014 are as follows:

 

     Series A-1     Series A-2     Series B-1     Series B-2  

Total Return*

        

Total return before incentive fees

     (3.4 )%      (2.9 )%      0.2     0.7

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     (3.4 )%      (2.9 )%      0.2     0.7
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average partners’ capital**

        

Operating expenses before incentive fees

     1.7     1.2     1.9     1.4

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1.7     1.2     1.9     1.4
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (1.7 )%      (1.2 )%      (1.9 )%      (1.4 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, beginning of period

   $ 1,159.91      $ 1,325.06      $ 985.67      $ 1,085.81   

Net investment loss

     (19.03     (15.69     (19.01     (15.04

Net gain on investments

     (20.51     (23.04     20.89        22.58   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 1,120.37      $ 1,286.33      $ 987.55      $ 1,093.35   
  

 

 

   

 

 

   

 

 

   

 

 

 

Other per Unit information:

        

Net increase (decrease) in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period)

   $ (40.87   $ (41.69   $ 8.23      $ 41.13   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit)

   $ (39.54   $ (38.73   $ 1.88      $ 7.54   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Total return is calculated for each Series of the Fund taken as a whole. An individual’s return may vary from these returns based on the timing of capital transactions.
** Annualized for periods less than a year.

 

40


Financial highlights for the period July 1 through September 30, 2013 are as follows:

 

     Series A-1     Series A-2     Series B-1     Series B-2  

Total Return*

        

Total return before incentive fees

     1.6     2.1     0.0     0.5

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total return after incentive fees

     1.6     2.1     0.0     0.5
  

 

 

   

 

 

   

 

 

   

 

 

 

Ratios to average partners’ capital**

        

Operating expenses before incentive fees

     1.7     1.1     1.8     1.3

Incentive fees

     0.0        0.0        0.0        0.0   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1.7     1.1     1.8     1.3
  

 

 

   

 

 

   

 

 

   

 

 

 

Net investment loss

     (1.6 )%      (1.1 )%      (1.8 )%      (1.3 )% 
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, beginning of period

   $ 1,133.88      $ 1,269.60      $ 943.26      $ 1,018.45   

Net investment loss

     (19.56     (15.09     (18.02     (14.15

Net gain on investments

     37.25        41.38        18.13        19.39   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per unit, end of period

   $ 1,151.57      $ 1,295.89      $ 943.37      $ 1,023.69   
  

 

 

   

 

 

   

 

 

   

 

 

 

Other per Unit information:

        

Net increase in net assets from operations per Unit (based upon weighted average number of Units during period) upon weighted average number of Units during period)

   $ 23.70      $ 35.49      $ 9.37      $ 14.66   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets from operations per Unit (based upon change in net asset value per Unit) upon change in net asset value per Unit)

   $ 17.69      $ 26.29      $ 0.11      $ 5.24   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* Total return is calculated for each Series of the Fund taken as a whole. An individual’s return may vary from these returns based on the timing of capital transactions.
** Annualized for periods less than a year.

Financial highlights are calculated for each series taken as a whole. An individual partner’s return, per unit data, and ratios may vary based on the timing of capital transactions.

 

9. Financial instrument risk

In the normal course of its business, the Fund is party to financial instruments with off-balance sheet risk, including derivative financial instruments and derivative commodity instruments. The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. These financial instruments may include forwards, futures and options whose values are based upon an underlying asset, index, or reference rate, and generally represent future commitments to exchange currencies or cash flows, to purchase or sell other financial instruments at specific terms at specific future dates or, in the case of derivative commodity instruments, to have a reasonable possibility to be settled in cash, through physical delivery or with another financial instrument. These instruments may be traded on an exchange or OTC. Exchange-traded instruments are standardized and include futures and certain option contracts. OTC contracts are negotiated between contracting parties and include forwards and certain options. Each of these instruments is subject to various risks similar to those related to the underlying financial instruments including market and credit risk. In general, the risks associated with OTC contracts are greater than those associated with exchange-traded instruments because of the greater risk of default by the counterparty to an OTC contract.

For the Fund, gross unrealized gains and losses related to exchange-traded futures were $302,574 and $785,127, respectively, at September 30, 2014.

For Series A, gross unrealized gains and losses related to exchange-traded futures were $195,504 and $558,940, respectively, at September 30, 2014.

For Series B, gross unrealized gains and losses related to exchange-traded futures were $107,070 and $226,187, respectively, at September 30, 2014.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including interest and foreign exchange rate movements and fluctuations in commodity or security prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate

 

41


volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transactions. The Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the statements of assets and liabilities and not represented by the contract or notional amounts of the instruments. As the Fund’s assets are held in segregated accounts with futures commission merchants, the Fund has credit risk and concentration risk. The Fund’s futures commission merchants are currently ADM Investor Services, Inc., Barclays Capital Inc. and Merrill Lynch, Pierce, Fenner & Smith Inc.

Superfund Capital Management monitors and attempts to control the Fund’s risk exposure on a daily basis through financial, credit, and risk management monitoring systems, and accordingly believes that it has effective procedures for evaluating and limiting the credit and market risks to which the Fund is subject. These monitoring systems allow Superfund Capital Management to statistically analyze actual trading results with risk adjusted performance indicators and correlation statistics. In addition, on-line monitoring systems provide account analysis of futures and forward positions by sector, margin requirements, gain and loss transactions, and collateral positions.

The majority of these instruments mature within one year of September 30, 2014. However, due to the nature of the Fund’s business, these instruments may not be held to maturity.

 

10. Subscriptions and redemptions

Effective May 1, 2014, the Fund no longer accepts subscriptions.

Limited Partners may request any or all of their investment in such Series be redeemed by such Series at the net asset value of a Unit within such Series as of the end of the month, subject to a minimum redemption of $1,000. A request for less than a full redemption that would reduce a Limited Partner’s remaining investment to less than $10,000 will be treated as a request for full redemption. Limited Partners must transmit a written request of such redemption to Superfund Capital Management not less than five business days prior to the end of the month (or such shorter period as permitted by Superfund Capital Management) as of which the redemption is to be effective. Redemptions will generally be paid within 20 days after the effective date of the redemption. However, in special circumstances, including, but not limited to, inability to liquidate dealers’ positions as of a redemption date or default or delay in payments due to each Series from clearing brokers, banks or other persons or entities, each Series may in turn delay payment to persons requesting redemption of the proportionate part of the net assets of each Series represented by the sums that are the subject of such default or delay, and Limited Partners will be paid their pro rata portion of the redemption amount not subject to defaults or delays.

 

11. Indemnification

In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on future claims that may be made against the Fund, and therefore cannot be established; however, based on experience, the risk of loss from such claims is considered remote.

 

12. Subsequent events

Superfund Capital Management has determined to cease the trading and investment operations of the Fund as of the close of business on December 31, 2014 and to close the Fund. Pursuant to the terms of the Limited Partnership Agreement, Superfund Capital Management will withdraw from the Fund as general partner in mid-March 2015, which will terminate the Fund as a limited partnership. Limited Partners of the Fund have been informed of its closing.

 

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

INTRODUCTION

The Fund commenced the offering of its Units on February 17, 2009. The initial offering terminated on March 31, 2009, and the Fund commenced operations on April 1, 2009. The continuing offering period commenced at the termination of the initial offering period and ended as of May 1, 2014. Subscription and redemption data is presented for both the Fund, as the SEC

 

42


registrant, and for Series A and Series B, individually. For the quarter ended September 30, 2014, redemptions totaled $2,837,938 in the Fund. For the quarter ended September 30, 2014, redemptions totaled $597,032 in Series A-1, $177,331 in Series A-2, $306,676 in Series B-1 and $1,756,899 in Series B-1. The Fund operates as a commodity investment pool, whose purpose is speculative trading in the U.S. and international futures and forward markets. Specifically, the Fund trades a portfolio of more than 120 futures and forward contracts using a fully-automated, proprietary, computerized trading system. The Fund also seeks to maintain an investment in gold approximately equal to the total capital of each Series, as of the beginning of each month. The gold investment is intended to delink each Series’ net asset value, which is determined in U.S. dollars, from the value of the U.S. dollar relative to gold, effectively denominating the Series’ net asset value in terms of gold.

LIQUIDITY

Most U.S. commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. This may affect the Fund’s ability to initiate new positions or close existing ones or may prevent it from having orders executed. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses, which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place.

Trading in forward contracts introduces a possible further impact on liquidity. Because such contracts are executed “off exchange” between private parties, the time required to offset or “unwind” these positions may be greater than that for regulated instruments. This potential delay could be exacerbated to the extent a counterparty is not a U.S. person.

Other than these limitations on liquidity, which are inherent in the Fund’s futures and forward trading operations, the Fund’s assets are expected to be highly liquid.

CAPITAL RESOURCES

The Fund will raise additional capital only through the sale of Units offered pursuant to the continuing offering and does not intend to raise any capital through borrowings. Due to the nature of the Fund’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.

RESULTS OF OPERATIONS

Three Months Ended September 30, 2014

Series A:

Net results for the quarter ended September 30, 2014, were a loss of 3.4% in net asset value for Series A-1 and a loss of 2.9% in net asset value for Series A-2. In this period, Series A experienced a net decrease in net assets from operations of $211,093. This decrease consisted of total income of $175, trading losses of $114,436, and total expenses of $96,832. Expenses included $35,925 in management fees, $11,975 in operating expenses, $20,811 in selling commissions, $26,186 in brokerage commissions and $1,935 in other expenses. At September 30, 2014, the net asset value per Unit of Series A-1 was $1,120.37, and the net asset value per Unit of Series A-2 was $1,286.33.

Series B:

Net results for the quarter ended September 30, 2014, were a gain of 0.2% in net asset value for Series B-1 and a gain of 0.7% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $75,334. This increase consisted of total income of $119, trading gains of $129,787, and total expenses of $54,572. Expenses included $19,044 in management fees, $6,348 in operating expenses, $5,141 in selling commissions, $20,843 in brokerage commissions and $3,196 in other expenses. At September 30, 2014, the net asset value per Unit of Series B-1 was $987.55, and the net asset value per Unit of Series B-2 was $1,093.35.

Fund results for 3rd Quarter 2014:

In September, the Fund’s managed futures strategy produced positive returns based primarily on the Fund’s allocations to the currencies, metals and grains markets. The U.S. dollar strengthened to highest level in almost four years as a result of the continued expansion of the U.S. economy. The Fund benefitted from short positions in the Japanese yen and in COMEX gold as both slid throughout the month. The Fund’s long positions in U.S. stock indices produced negative results. These losses

 

43


were partially offset by the Fund’s long positions in the Tokyo Stock Price Index as increased demand for Japanese exports fuelled Japanese equity markets. The Fund’s short positions in corn futures produced positive returns as the market traced on larger than expected inventories. The Fund’s perpetual long gold position had a negative impact on performance in September.

In August, the Fund’s managed futures strategy produced strong positive results mainly due to the Fund’s long positions in the bonds and indices markets. The German bund rose throughout the month as German 10-year yields dropped due to inflation. The Fund’s long positions in U.S. stock indices produced positive returns as the S&P500 reached all-time highs after rebounding from an eight week low. The Fund’s allocations to the metals market produced slightly negative results as tensions seemed to ease in the Ukraine. The Fund’s long positions in natural gas gained as hotter weather increased demand. The Fund’s perpetual long gold position had a minimal impact on performance in August.

In July, the Fund’s managed futures strategy produced negative results with losses primarily attributable to the metal, stock index and energy markets. The Fund’s long positions in U.S. stock indices yielded negative returns as the S&P500 declined over two percent in a single day, marking the largest decline in the index since 2012. The Fund’s long positions in gold also produced negative returns as speculators continued to offload gold on concerns that the U.S. Federal Reserve (the “Fed”) may increase interest rates in a bid to fight inflation. The Fund’s short positions in the grains market were favorable, with projected yields for corn expected to reach record levels. The Fund’s long positions in the energy market also produced negative returns as crude oil prices dropped to three month lows. The Fund’s perpetual long gold position had a negative impact on performance in July.

Three Months Ended June 30, 2014

Series A:

Net results for the quarter ended June 30, 2014, were a gain of 1.9% in net asset value for Series A-1 and a gain of 2.4% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $130,439. This increase consisted of total income of $164, trading gains of $247,004, and total expenses of $116,729. Expenses included $41,464 in management fees, $13,821 in operating expenses, $25,650 in selling commissions, $35,308 in brokerage commissions and $486 in other expenses. At June 30, 2014, the net asset value per Unit of Series A-1 was $1,159.91, and the net asset value per Unit of Series A-2 was $1,325.06.

Series B:

Net results for the quarter ended June 30, 2014, were a gain of 2.8% in net asset value for Series B-1 and a gain of 3.4% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $125,327. This increase consisted of total income of $134, trading gains of $193,102, and total expenses of $67,909. Expenses included $23,037 in management fees, $7,679 in operating expenses, $6,110 in selling commissions, $29,223 in brokerage commissions and $1,860 in other expenses. At June 30, 2014, the net asset value per Unit of Series B-1 was $985.67, and the net asset value per Unit of Series B-2 was $1,085.81.

Fund results for 2nd Quarter 2014:

In April, the Fund’s managed futures strategy produced negative results, with long positions in U.S. stock indices suffering as the S&P500 retraced from record highs. The Fund’s long positions in U.S. ten-year treasury notes also yielded negative returns. These losses were partially offset by positive performance from the Fund’s long Euro-bund positions. The Fund’s short positions in natural gas and crude oil produced negative results in April as tensions and political crisis in the Ukraine remained high and rising fears that any full-scale armed conflict in the region would disrupt supplies and send oil and gas prices higher. The Fund’s short positions in COMEX gold and silver remained flat as the improving U.S and European economies helped to pressure gold prices. The Fund’s perpetual long gold position had a positive impact on performance in April.

In May, the Fund’s managed futures strategy produced positive performance, mainly due to allocations to the bond, stock index and metal markets. The Fund’s long positions in the CME S&P500 yielded positive returns as the index continued to break all-time highs as manufacturing indices indicated that economic growth would rebound in the second quarter. The Fund’s short positions in COMEX gold and silver also produced strong results as strong U.S. economic data eroded the metal’s “safe-haven” appeal. The Fund’s allocations to currencies produced negative results in May. The Euro tumbled from an almost 2.5-year high as European Central Bank (“ECB”) President Mario Draghi said that it would be open to taking further measures to support the Euro-zone economy. The ECB signal of a potential interest-rate cut has also weighed on the Euro. The Fund’s perpetual long gold position had a strong negative impact on performance in May, completely negating the positive performance produced by the Fund’s managed futures strategy.

 

44


In June, the Fund’s managed futures strategy yielded slightly negative results as positions in the bond and metal markets suffered. The Fund’s short positions in COMEX gold lost ground as gold gained amid concerns regarding rising violence in Iraq. The Fund’s allocations to the energy, agricultural and equity markets all produced positive results, helping to partially offset the losses from the Fund’s bond and metal positions. The Fund’s long crude oil positions gained as violence in Iraq escalated, threatening the output of OPEC’s second largest producer. The Fund’s short positions in corn and soybeans gained as corn dropped to a five-month low and soybean experienced its biggest slump in five years as USDA reports showed farmers will plant record acreage. The Fund’s long E-mini S&P500 positions gained as the index continued to break record highs with its sixth straight quarterly gain. The Fund’s perpetual long gold position had a strong positive impact on performance, offsetting the losses produced by the managed futures strategy and leading to positive overall performance for the Fund in June.

Three Months Ended March 31, 2014

Series A:

Net results for the quarter ended March 31, 2014, were a gain of 5.1% in net asset value for Series A-1 and a gain of 5.6% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $417,300. This increase consisted of total income of $232, trading gains of $561,364, and total expenses of $144,296. Expenses included $46,930 in management fees, $15,643 in operating expenses, $30,733 in selling commissions, $50,083 in brokerage commissions and $907 in other expenses. At March 31, 2014, the net asset value per Unit of Series A-1 was $1,138.34, and the net asset value per Unit of Series A-2 was $1,293.91.

Series B:

Net results for the quarter ended March 31, 2014, were a gain of 4.9% in net asset value for Series B-1 and a gain of 5.5% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $222,878. This increase consisted of total income of $201, trading gains of $304,528, and total expenses of $81,851. Expenses included $24,525 in management fees, $8,175 in operating expenses, $7,479 in selling commissions, $39,544 in brokerage commissions and $2,128 in other expenses. At March 31, 2014, the net asset value per Unit of Series B-1 was $958.39, and the net asset value per Unit of Series B-2 was $1,050.48.

Fund results for 1st Quarter 2014:

In March, the Fund’s managed futures strategy underperformed. The Fund’s bond positions negatively impacted performance as treasuries fell amid hints from the U.S. government of rate increases in 2015. The Fund’s allocations to energy markets also posted losses, as crude fell modestly due to tensions in Ukraine and a drop in Libyan oil production. The Fund’s positions in the metals, grains and agricultural markets, however, yielded positive returns, helping to offset the losses in other sectors. Among these markets, the Fund’s short positions in London Metal Exchange (“LME”) copper profited on concerns that the rising debt in China will curb copper demand. The fund also benefited from long positions soybean meal and cocoa gained amid poor weather conditions in Brazil. The Fund’s perpetual long gold position had a negative impact on performance in March.

In February, the Fund’s managed futures strategy yielded positive returns in all market groups apart except for metals, currencies and money markets. The Fund’s positions in bonds sector produced positive results as U.S. stocks rallied amid earnings and jobless claims, while German bonds fell as the ECB left interest rates unchanged and refrained from additional stimulus. The Fund’s short positions in silver and gold negatively affected performance as gold made experienced its largest monthly gain since July 2013 after investors and speculators chased prices higher on concerns about the pace of the U.S. economic recovery. The Fund’s long positions in crude oil and natural gas yielded profits as the markets continued to climb as cold weather demand pushed prices up in the first three weeks of the month. The Fund’s perpetual long gold position had a strong positive impact on performance in February.

In January, the Fund managed futures strategy produced negative results in as positions in the indices and energy sectors underperformed. The Fund’s crude oil positions yielded losses amid speculation that the Fed would curb stimulus measures further following signs of improvement in the U.S. economy. The Fund’s positions in natural gas helped to minimize losses in the energies sector as it rallied throughout the second half of January due to a reported decrease in inventories to its lowest level in almost four years. The Fund’s positions in the metals markets performed poorly as gold and silver continued to rise on increased demand in Asia. The Fund’s allocations to indices also performed negatively as U.S. indices suffered the largest losses since 2012 on fears over emerging markets resulted in significant selloffs. The Fund’s perpetual long gold position had a positive impact on performance in January.

 

45


Three Months Ended September 30, 2013

Series A:

Net results for the quarter ended September 30, 2013 were a gain of 1.6% in net asset value for Series A-1 and a gain of 2.1% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $212,891. This increase consisted of interest income of $294, other income of $33, trading gains of $374,389 and total expenses of $161,825. Expenses included $59,592 in management fees, $19,864 in operating expenses, $42,149 in selling commissions, $38,878 in brokerage commissions and $1,342 in other expenses. At September 30, 2013, the net asset value per Unit of Series A-1 was $1,151.57 and the net asset value per Unit of Series A-2 was $1,295.89.

Series B:

Net results for the quarter ended September 30, 2013 were a gain of slightly more than 0.0% in net asset value for Series B-1 and a gain of 0.5% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $61,619. This increase consisted of interest income of $136, trading gains of $145,638 and total expenses of $84,167. Expenses included $30,823 in management fees, $10,274 in operating expenses, $11,095 in selling commissions, $29,633 in brokerage commissions and $2,342 in other expenses. At September 30, 2013, the net asset value per Unit of Series B-1 was $943.37 and the net asset value per Unit of Series B-2 was $1,023.69.

Fund results for 3rd Quarter 2013:

The Fund’s managed futures strategies produced negative returns in September. The Fund’s long positions in the energy sector hurt performance as natural gas futures continued to retrace from near three-month highs amid reduced anticipated demand based on U.S. weather forecasts. The Fund’s long positions in the metals markets also underperformed as gold futures tumbled following a report that U.S. jobless claims fell to the lowest level since April 2006. Gold and silver continued to decline on concerns over a possible shutdown of the U.S. government in October. The Fund’s positions in the bonds sector produced favorable returns as Japan’s inflation rate soared to its highest level since 2008. The Fund’s perpetual long gold position negatively impacted performance in September.

In August, the Fund’s managed futures strategies underperformed as gold and silver continued its recovery from the previous month on news that U.S. home sales fell below consensus forecast indicating that the Fed will continue its stimulus program. The Fund’s short positions in the grain markets lost ground as soybeans rose to a nine-month high. The Fund’s long positions in crude yielded positive results as prices rose at the end of the month to its highest level since April 2011. Crude’s rally coincided with signs of accelerating economic growth in Europe and the contemplation of Western military action against Syria. The Fund’s perpetual long gold position had a positive impact on performance in August.

The Fund’s managed futures strategies produced slightly negative returns in July. The Fund’s short positions in the metals and bonds markets suffered as the market weighed the Fed’s next move on monetary stimulus against the prospects for demand amid higher prices. Gold also recovered from a three-year low on news that the Fed would only start phasing out the stimulus once the economy was strong enough to stand on its own. This news allayed fears of imminent cuts to the Fed’s monthly bond purchases. The losses from the Fund’s metals and bond positions was partly offset by gains from the Fund’s long positions in the energy sector as U.S. Energy Information Administration data showed oil inventories feel for a fourth consecutive week. The Fund’s perpetual long gold position had a positive effect on performance in July.

Three Months Ended June 30, 2013

Series A:

Net results for the quarter ended June 30, 2013, were a loss of 21.9% in net asset value for Series A-1 and a loss of 21.5% in net asset value for Series A-2. In this period, Series A experienced a net decrease in net assets from operations of $2,941,925. This decrease consisted of total income of $411, trading losses of $2,743,008, and total expenses of $199,328. Expenses included $70,876 in management fees, $23,625 in operating expenses, $50,019 in selling commissions, $53,243 in brokerage commissions and $1,565 in other expenses. At June 30, 2013, the net asset value per Unit of Series A-1 was $1,133.88, and the net asset value per Unit of Series A-2 was $1,269.60.

Series B:

Net results for the quarter ended June 30, 2013, were a loss of 20.8% in net asset value for Series B-1 and a loss of 20.4% in net asset value for Series B-2. In this period, Series B experienced a net decrease in net assets from operations of $1,433,035. This decrease consisted of total income of $273, trading losses of $1,324,872, and total expenses of $108,436. Expenses included $37,709 in management fees, $12,570 in operating expenses, $13,379 in selling commissions, $41,930 in brokerage commissions and $2,848 in other expenses. At June 30, 2013, the net asset value per Unit of Series B-1 was $943.26, and the net asset value per Unit of Series B-2 was $1,018.45.

 

46


Fund results for 2nd Quarter 2013:

The Fund’s managed futures strategy produced negative returns in June, driven primarily by losses from the Fund’s allocation to energies markets as U.S. Department of Energy data showed higher than expected oil inventories. These losses were tempered slightly by gains experienced from the Fund’s metals positions, as gold and silver each dropped to its lowest level in over two years. The Fund’s allocation to the bonds markets also produced positive returns as a rise in the U.S. dollar produced sharp downward pressure on interest rate products. Based on the aforementioned decrease in price, the Fund’s perpetual long gold position negatively affected performance in June.

In May, the Fund’s managed futures strategy yielded disappointing results due primarily to its positions in the bonds and energies sectors. The Fund’s long natural gas positions negatively affected performance amid reports from the U.S. Energy Information Administration of rising inventories. The U.S. Environmental Protection Agency also issued reports that downplayed the environmental impact of natural gas fracking. The Fund’s long soybean positions produced solid returns in May as China, the world’s largest soybean consumer, continued to show increased demand. The Fund’s perpetual long gold position had a negative effect on performance amid speculation that the Fed will scale back its aggressive bond purchasing program.

In April, the Fund’s managed futures strategy posted strong returns amidst high volatility in several key markets. The Fund’s positions in the metals sector generated positive returns, as did its long natural gas positions. The Fund’s allocation to the grains sector suffered in April after the U.S. Department of Agriculture reported that farmers had planted 2 million more acres of corn than expected. The Fund’s perpetual long gold position had a negative effect on performance as gold experienced its sharpest monthly decline since December 2011.

Three Months Ended March 31, 2013

Series A:

Net results for the quarter ended March 31, 2013, were a gain of 2.0% in net asset value for Series A-1 and a gain of 2.5% in net asset value for Series A-2. In this period, Series A experienced a net increase in net assets from operations of $307,441. This increase consisted of total income of $415, trading gains of $573,128, and total expenses of $266,102. Expenses included $85,889 in management fees, $28,633 in operating expenses, $59,849 in selling commissions, $89,422 in brokerage commissions and $2,309 in other expenses. At March 31, 2013, the net asset value per Unit of Series A-1 was $1,451.82, and the net asset value per Unit of Series A-2 was $1,617.46.

Series B:

Net results for the quarter ended March 31, 2013, were a gain of 7.3% in net asset value for Series B-1 and a gain of 7.8% in net asset value for Series B-2. In this period, Series B experienced a net increase in net assets from operations of $514,738. This increase consisted of total income of $296, trading gains of $652,673, and total expenses of $138,231. Expenses included $40,570 in management fees, $13,523 in operating expenses, $17,836 in selling commissions, $62,650 in brokerage commissions and $3,652 in other expenses. At March 31, 2013, the net asset value per Unit of Series B-1 was $1,191.23, and the net asset value per Unit of Series B-2 was $1,279.75.

Fund results for 1st Quarter 2013:

In March, the Fund’s managed futures strategy produced positive returns. U.S. stock indices rose for a third consecutive month with the S&P 500 approaching an all-time high, leading to profitable returns for the Fund’s long positions. The Fund’s long positions in European long-term interest rate futures produced significant gains as investors feared the banking crisis in Cyprus could spill over into neighboring economies. Short positions in base metals added to positive returns as markets were pressured by the debt crisis in Europe, slumping Chinese stocks, and the rising U.S. dollar. The Fund also benefited from long natural gas positions as below normal temperatures forecasted for April lifted futures to an 18-month high. Larger than expected U.S. inventories and record projected planting acreage sent Chicago Board of Trade corn to limit down conditions on the last day of trading, resulting in losses for the Fund’s long positions across the grain sector. The Fund’s perpetual long gold position had a small positive effect on performance in March.

The Fund’s managed futures strategy produced positive results in February as unmet expectations for global demand sent commodities lower while unsettling election results in Italy and negative growth renewed European debt concerns. Long positions in equity indices yielded losses for the Fund as European political instability and the slow pace of economic activity

 

47


again raised concerns over regional finances. The Fund’s long bond positions generated solid returns in treasuries as European debt crisis fears were reignited in reaction to inconclusive Italian election results. Long positions in the money market sector generated favorable returns for the Funds as rising interbank borrowing costs prompted ECB President Mario Draghi to restate the ECB’s readiness to loosen monetary policy, lowering yield expectations. The U.S. dollar strengthened dramatically against a basket of world currencies leading to disappointing results for the Fund’s long positions in counter-currencies. The Fund’s short position in LME aluminum generated healthy returns as anticipated increases in demand had yet to be realized, Chinese production swelled and stockpiles tracked by LME rose for a fifth straight month. After climbing 6% in January, the crude oil complex fell back as the slow pace of recovery across the globe was unable to support a further advance, leading to losses for the Fund’s long positions in the energies sector. The Fund’s perpetual long gold position had a negative impact on performance in February as growing optimism for a U.S. economic recovery led investors to exit safe-haven assets, sending gold lower for a fifth consecutive month.

In January, the Fund’s managed futures strategy produced positive returns to start 2013 with gains across multiple market sectors. The Fund’s strategies performed well in global equities as indices reached multi-year highs on growing investor optimism, producing profits for the Fund’s long positions. The Fund’s long positions in base metals produced favorable results with the rebound in the global economy leading to increased industrial demand. Long allocations across the energies sector also generated healthy returns for the Fund as improving global economic conditions lifted demand prospects while unrest across North Africa and the Middle East injected geopolitical risk premium. Growing global economic stability eroded demand for the safety of government securities in January, leading to negative returns for the Fund’s long positions in the bonds sector. Expectations for the removal of excess liquidity from the financial system led to losses for the Fund’s long positions in money market futures. The Fund’s perpetual long gold position negatively affected performance in January as positive economic metrics, fading inflation concerns, and prospects for an end to the Fed’s monetary stimulus led to the fourth straight monthly decline for gold.

OFF-BALANCE SHEET RISK

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The Fund trades in futures and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if Superfund Capital Management was unable to offset such positions, the Fund could experience substantial losses. Superfund Capital Management attempts to minimize market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio in all but extreme instances not greater than 50%.

In addition to market risk, in entering into futures and forward contracts, there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for futures contracts traded in the U.S. and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

OFF-BALANCE SHEET ARRANGEMENTS

The Fund does not engage in off-balance sheet arrangements.

CONTRACTUAL OBLIGATIONS

The Fund does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Fund’s sole business is trading futures, currency, forward and certain swap contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Fund for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements of the Fund present a condensed schedule of investments setting forth net unrealized appreciation (depreciation) of such Series’ open forward contracts as well as the fair value of the futures contracts purchased and sold by each Series at September 30, 2014 and December 31, 2013.

CRITICAL ACCOUNTING POLICIES – VALUATION OF THE FUND’S POSITIONS

Superfund Capital Management believes that the accounting policies that will be most critical to the Fund’s financial condition and results of operations relate to the valuation of the Fund’s positions. The majority of the Fund’s positions will be exchange-traded

 

48


futures contracts, which will be valued daily at settlement prices published by the exchanges. Any spot and forward foreign currency or swap contracts held by the Fund will also be valued at published daily settlement prices or at dealers’ quotes. Thus, Superfund Capital Management expects that under normal circumstances substantially all of the Fund’s assets will be valued on a daily basis using objective measures.

RECENTLY ISSUED ACCOUNTING PRONOUNCEMENTS

ASU 2013-08

In June 2013, FASB issued ASU No. 2013-08, Amendments to the Scope, Measurement, and Disclosure Requirements (“ASU 2013-08”). ASU 2013-08 contains new guidance regarding the approach to investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value and requires additional disclosures about the investment company’s status as an investment company and information required to be provided to any of its investees. The amendments in the update are effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. The adoption of the provisions of ASU 2013-08 has not had a material impact on the Fund’s financial statement disclosures.

ASU 2011-11

In December 2011, FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities (“ASU 2011-11”). ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements.

In January 2013, FASB issued guidance to clarify the scope of disclosures about offsetting assets and liabilities. The amendments clarify that the scope of guidance issued in December 2011 to enhance disclosures around financial instrument and derivative instruments that are either (a) offset, or (b) subject to a master netting agreement or similar agreement, irrespective of whether they are offset, applies to derivatives, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are either offset or subject to an enforceable master netting arrangement or similar agreement. The amendments are effective for interim and annual periods beginning on or after January 1, 2013. Adoption did not have a material impact on the Fund’s financial statements.

 

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

 

ITEM 4. CONTROLS AND PROCEDURES

Superfund Capital Management, the Fund’s general partner, with the participation of Superfund Capital Management’s principal executive officer and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to each Series individually, as well as the Fund as a whole, as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no formal changes in Superfund Capital Management’s internal controls over financial reporting during the quarter ended September 30, 2014 that have materially affected, or are reasonably likely to materially affect, Superfund Capital Management’s internal control over financial reporting with respect to each Series individually, as well as the Fund as a whole.

The Rule 13a-14(a)/15d-14(a) certifications of the principal executive officer and the principal financial officer included as Exhibits 31.1 and 31.2, respectively, are certifying as to each Series individually, as well as the Fund as a whole.

 

49


PART II - OTHER INFORMATION

 

ITEM 1. LEGAL PROCEEDINGS

Superfund Capital Management is not aware of any pending legal proceedings to which either the Fund is a party or to which any of its assets are subject. The Fund has no subsidiaries.

 

ITEM 1A. RISK FACTORS

Not required.

 

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

(a) There were no sales of unregistered securities during the quarter ended September 30, 2014.

(c) Pursuant to the Limited Partnership Agreement, investors 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 tables summarize the redemptions by investors during the three months ended September 30, 2014:

Series A-1:

 

Month

   Units
Redeemed
     Net Asset
Value per
Unit ($)
 

July 31, 2014

     172.852         1,115.21  

August 31, 2014

     182.144         1,175.27  

September 30, 2014

     169.761         1,120.37  
  

 

 

    

Total

     524.757      
  

 

 

    

Series A-2:

 

Month

   Units
Redeemed
     Net Asset
Value per
Unit ($)
 

July 31, 2014

     43.885         1,276.13  

August 31, 2014

     24.971         1,347.13  

September 30, 2014

     68.170         1,286.33  
  

 

 

    

Total

     137.026      
  

 

 

    

Series B-1:

 

Month

   Units
Redeemed
     Net Asset
Value per
Unit ($)
 

July 31, 2014

     75.584         948.14  

August 31, 2014

     229.350         1,024.68  

September 30, 2014

     —           987.55  
  

 

 

    

Total

     304.934      
  

 

 

    

Series B-2:

 

Month

   Units
Redeemed
     Net Asset
Value per
Unit ($)
 

July 31, 2014

     58.568         1,046.21  

August 31, 2014

     1,497.153         1,132.56  

September 30, 2014

     —           1,093.35  
  

 

 

    

Total

     1,555.721      
  

 

 

    

 

50


ITEM 3. DEFAULTS UPON SENIOR SECURITIES

Not applicable.

 

ITEM 4. MINE SAFETY DISCLOSURE

Not applicable.

 

ITEM 5. OTHER INFORMATION

None.

 

ITEM 6. EXHIBITS

The following exhibits are included herewith:

 

  31.1    Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer
  31.2    Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer
  32.1    Section 1350 Certification of Principal Executive Officer
  32.2    Section 1350 Certification of Principal Financial Officer
101.INS    XBRL Instance Document
101.SCH    XBRL Taxonomy Extension Schema Document
101.CAL    XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF    XBRL Taxonomy Extension Definition Linkbase Document
101.LAB    XBRL Taxonomy Extension Labe Linkbase Document
101.PRE    XBRL Taxonomy Extension Presentation Linkbase Document

 

51


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

  Date: November 13, 2014     SUPERFUND GOLD, L.P.
     

(Registrant)

      By: Superfund Capital Management, Inc.
      General Partner
      By:  

/s/ Nigel James

      Nigel James
      President and Principal Executive Officer
      By:  

/s/ Martin Schneider

      Martin Schneider
      Vice President and Principal Financial Officer

 

52


EXHIBIT INDEX

 

Exhibit
Number

  

Description of Document

  

Page Number

 
31.1    Rule 13a-14(a)/15d-14(a) Certification of Principal Executive Officer      E-2   
31.2    Rule 13a-14(a)/15d-14(a) Certification of Principal Financial Officer      E-3   
32.1    Section 1350 Certification of Principal Executive Officer      E-4   
32.2    Section 1350 Certification of Principal Financial Officer      E-5   

 

E-1