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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

 

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

 

For the transition period from                  to                 

 

Commission File Number 0-28928

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(Exact name of registrant as specified in its charter)

 

Delaware

 

13-3887922

(State or other jurisdiction of

 

(I.R.S. Employer Identification No.)

incorporation or organization)

 

 

 

c/o Merrill Lynch Alternative Investments LLC

250 Vesey Street, 11th Floor

New York, New York 10080

(Address of principal executive offices)

(Zip Code)

 

609-274-5838

(Registrant’s telephone number, including area code)

 

c/o Merrill Lynch Alternative Investments LLC

Four World Financial Center

250 Vesey Street, 11th Floor

New York, New York 10080

(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 o

 

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

 

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

 

Large accelerated filer o

 

Accelerated filer o

 

 

 

Non-accelerated filer x

 

Smaller reporting company o

(Do not check if a smaller reporting company)

 

 

 

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

 

As of September 30, 2014, 347,929 units of limited partnership interest were outstanding.

 

 

 



 

ML TREND-FOLLOWING FUTURES FUND L.P.

 

QUARTERLY REPORT FOR SEPTEMBER 30, 2014 ON FORM 10-Q

 

Table of Contents

 

 

PAGE

 

 

PART I—FINANCIAL INFORMATION

 

 

 

Item 1.

Financial Statements

1

 

 

 

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

11

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

21

 

 

 

Item 4.

Controls and Procedures

30

 

 

 

PART II—OTHER INFORMATION

 

 

 

Item 1.

Legal Proceedings

30

 

 

 

Item 1A.

Risk Factors

30

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

30

 

 

 

Item 3.

Defaults Upon Senior Securities

31

 

 

 

Item 4.

Mine Safety Disclosures

31

 

 

 

Item 5.

Other Information

31

 

 

 

Item 6.

Exhibits

31

 



 

PART I - FINANCIAL INFORMATION

 

Item 1.         Financial Statements

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 

 

 

September 30,

 

December 31,

 

 

 

2014

 

2013

 

 

 

 

 

 

 

ASSETS:

 

 

 

 

 

Cash

 

$

349,518

 

$

350,292

 

Investments in Portfolio Funds (cost $44,773,633 for 2014 and cost $62,812,712 for 2013)

 

56,959,290

 

70,557,639

 

Due from Portfolio Funds

 

1,748,401

 

7,439,324

 

 

 

 

 

 

 

TOTAL ASSETS

 

$

59,057,209

 

$

78,347,255

 

 

 

 

 

 

 

LIABILITIES AND PARTNERS’ CAPITAL LIABILITIES:

 

 

 

 

 

Wrap fee payable

 

$

196,855

 

$

261,156

 

Redemptions payable

 

1,436,629

 

7,178,171

 

 

 

 

 

 

 

Total liabilities

 

1,633,484

 

7,439,327

 

 

 

 

 

 

 

PARTNERS’ CAPITAL:

 

 

 

 

 

General Partner (9 Units and 9 Units)

 

1,485

 

1,416

 

Limited Partners (347,929 Units and 450,741 Units)

 

57,422,240

 

70,906,512

 

 

 

 

 

 

 

Total partners’ capital

 

57,423,725

 

70,907,928

 

 

 

 

 

 

 

TOTAL LIABILITIES AND PARTNERS’ CAPITAL:

 

$

59,057,209

 

$

78,347,255

 

 

 

 

 

 

 

NET ASSET VALUE PER UNIT

 

 

 

 

 

(Based on 347,938 and 450,750 Units outstanding; unlimited Units authorized)

 

$

165.0401

 

$

157.3110

 

 

See notes to financial statements.

 

1



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

(unaudited)

 

 

 

For the three

 

For the three

 

For the nine

 

For the nine

 

 

 

months ended

 

months ended

 

months ended

 

months ended

 

 

 

September 30,

 

September 30,

 

September 30,

 

September 30,

 

 

 

2014

 

2013

 

2014

 

2013

 

 

 

 

 

 

 

 

 

 

 

TRADING PROFIT (LOSS):

 

 

 

 

 

 

 

 

 

Realized, net

 

$

1,259,879

 

$

1,192,504

 

$

(22,161

)

$

5,836,036

 

Change in unrealized, net

 

1,943,995

 

(5,093,039

)

4,440,730

 

(12,272,495

)

Total trading profit (loss), net

 

3,203,874

 

(3,900,535

)

4,418,569

 

(6,436,459

)

 

 

 

 

 

 

 

 

 

 

EXPENSES:

 

 

 

 

 

 

 

 

 

Wrap fee

 

593,452

 

906,306

 

1,894,856

 

3,148,755

 

Total expenses

 

593,452

 

906,306

 

1,894,856

 

3,148,755

 

 

 

 

 

 

 

 

 

 

 

NET INVESTMENT INCOME (LOSS)

 

(593,452

)

(906,306

)

(1,894,856

)

(3,148,755

)

 

 

 

 

 

 

 

 

 

 

NET PROFIT (LOSS)

 

2,610,422

 

$

(4,806,841

)

$

2,523,713

 

$

(9,585,214

)

 

 

 

 

 

 

 

 

 

 

NET PROFIT (LOSS) PER UNIT:

 

 

 

 

 

 

 

 

 

Weighted average number of General Partner and Limited Partner Units outstanding

 

366,836

 

583,845

 

403,860

 

634,515

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) per weighted average General Partner and Limited Partner Unit

 

$

7.12

 

$

(8.23

)

$

6.25

 

$

(15.11

)

 

See notes to financial statements.

 

2



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)

 

 

 

Units

 

General
Partner

 

Limited
Partners

 

Total

 

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

December 31, 2012

 

704,586

 

$

1,517

 

$

118,736,498

 

$

118,738,015

 

 

 

 

 

 

 

 

 

 

 

Subscriptions

 

220

 

 

37,000

 

37,000

 

 

 

 

 

 

 

 

 

 

 

Net Profit (Loss)

 

 

(148

)

(9,585,066

)

(9,585,214

)

 

 

 

 

 

 

 

 

 

 

Redemptions

 

(152,706

)

 

(25,213,083

)

(25,213,083

)

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

September 30, 2013

 

552,100

 

$

1,369

 

$

83,975,349

 

$

83,976,718

 

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

December 31, 2013

 

450,750

 

$

1,416

 

$

70,906,512

 

$

70,907,928

 

 

 

 

 

 

 

 

 

 

 

Subscriptions

 

145

 

 

22,000

 

22,000

 

 

 

 

 

 

 

 

 

 

 

Net Profit (Loss)

 

 

69

 

2,523,644

 

2,523,713

 

 

 

 

 

 

 

 

 

 

 

Redemptions

 

(102,957

)

 

(16,029,916

)

(16,029,916

)

 

 

 

 

 

 

 

 

 

 

PARTNERS’ CAPITAL,

 

 

 

 

 

 

 

 

 

September 30, 2014

 

347,938

 

$

1,485

 

$

57,422,240

 

$

57,423,725

 

 

See notes to financial statements.

 

3



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Three months ended

 

Nine months ended

 

 

 

September 30, 2014

 

September 30, 2014

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

157.7810

 

$

157.3110

 

 

 

 

 

 

 

Net realized and net unrealized change in trading profit (loss)

 

8.8771

 

12.4298

 

Expenses (1)

 

(1.6180

)

(4.7007

)

 

 

 

 

 

 

Net asset value, end of period

 

$

165.0401

 

$

165.0401

 

 

 

 

 

 

 

Total Return: (2)

 

 

 

 

 

 

 

 

 

 

 

Total return

 

4.60

%

4.91

%

 

 

 

 

 

 

Ratios to Average Net Assets: (1) (2)

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

1.01

%

3.02

%

 

 

 

 

 

 

Net investment income (loss)

 

-1.01

%

-3.02

%

 


(1) The ratios do not reflect the proportionate share of expense of the Portfolio Funds.

(2) The ratios and total return are not annualized.

 

See notes to financial statements.

 

4



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(A Delaware Limited Partnership)

 

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2013 (unaudited)

 

The following per Unit data and ratios have been derived from information provided in the financial statements.

 

 

 

Three months ended

 

Nine months ended

 

 

 

September 30, 2013

 

September 30, 2013

 

Per Unit Operating Performance:

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

160.3068

 

$

168.5217

 

 

 

 

 

 

 

Net realized and net unrealized change in trading profit (loss)

 

(6.6510

)

(11.4706

)

Expenses (1)

 

(1.5516

)

(4.9469

)

 

 

 

 

 

 

Net asset value, end of period

 

$

152.1042

 

$

152.1042

 

 

 

 

 

 

 

Total Return: (2)

 

 

 

 

 

 

 

 

 

 

 

Total return

 

-5.12

%

-9.74

%

 

 

 

 

 

 

Ratios to Average Net Assets: (1) (2)

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

0.99

%

2.99

%

 

 

 

 

 

 

Net investment income (loss)

 

-0.99

%

-2.99

%

 


(1) The ratios do not reflect the proportionate share of expense of the Portfolio Funds.

(2) The ratios and total return are not annualized.

 

See notes to financial statements.

 

5



 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.              SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

ML Trend-Following Futures Fund L.P. (the “Partnership”), a FuturesAccessSM Program (“FuturesAccess”) fund, which is an investment company as defined by Accounting Standards Codification (“ASC”) guidance, was organized under the Delaware Revised Uniform Limited Partnership Act on December 11, 1995 and commenced operations on July 15, 1996.  The Partnership operates as a “fund of funds”, allocating and reallocating its capital, under the direction of Merrill Lynch Alternative Investments LLC (“MLAI”, or “General Partner” or “Sponsor”), the sponsor and general partner of the Partnership, among underlying FuturesAccess Funds (each a “Portfolio Fund”, and collectively the “Portfolio Funds”) (See Note 2).  Presently there are five Portfolio Funds.  MLAI is the sponsor and manager of the Portfolio Funds.

 

MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation.  Bank of America Corporation and its affiliates are referred to herein as “BAC”.  Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is currently the exclusive clearing broker for the Portfolio Funds.  MLAI may select other parties as clearing broker(s).  Merrill Lynch International (“MLI”) is the primary foreign exchange (“F/X”) forward prime broker for the Portfolio Funds.  MLAI may select other of its affiliates or third parties as F/X or other over-the-counter (“OTC”) prime brokers.  MLPF&S and MLI are BAC affiliates.

 

FuturesAccess is a group of managed futures funds sponsored by MLAI (“FuturesAccess Funds”).  FuturesAccess is exclusively available to investors that have investment accounts with Merrill Lynch Wealth Management, U.S. Trust and other divisions or affiliates of BAC.  FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor or funds of funds for which MLAI acts as the advisor and allocates capital among multiple trading advisors.  Although redemption terms vary among FuturesAccess Funds, FuturesAccess applies, with some exceptions, the same minimum investment amounts, fees and other operational criteria across all FuturesAccess Funds. Each trading advisor for the Portfolio Funds participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.

 

Interests in the Partnership are not insured or otherwise protected by the Federal Deposit Insurance Corporation or any other government authority.  Interests are not deposits or other obligations of, and are not guaranteed by, BAC or by any bank.  Interests are subject to investment risks, including the possible loss of the full amount invested.

 

In the opinion of management, these interim financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Partnership as of September 30, 2014 and December 31, 2013 and the results of its operations for the three and nine month periods ended September 30, 2014 and 2013. However, the operating results for the interim periods may not be indicative of the results for the full year.

 

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should be read in conjunction with the financial statements and notes thereto included in the Partnership’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2013.

 

6



 

Estimates

 

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates and such differences could be material. Certain prior year items have been reclassified to conform to the current year presentation.

 

2.              INVESTMENTS IN PORTFOLIO FUNDS

 

The five Portfolio Funds in which the Partnership is invested in as of September 30, 2014 are: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). Each of the Portfolio Funds implements a systematic-based managed futures strategy under the direction of a trading advisor unaffiliated with MLAI (each a “Trading Advisor”). MLAI may, in its discretion, change Portfolio Funds at any time. MLAI may vary the percentage of the Partnership’s total portfolio allocated to the different Portfolio Funds at MLAI’s discretion. There is no pre-established range for the minimum and maximum allocations that may be made to any individual Portfolio Funds.

 

The investment transactions were accounted for on trade date. The investments in the Portfolio Funds are valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, MLAI utilized the net asset value of the underlying Portfolio Funds which approximates fair value. The fair value was net of all fees relating to the Portfolio Funds, paid or accrued. Additionally, MLAI monitored the performance of the Portfolio Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in the Portfolio Funds’ investments, comparing performance to industry benchmarks, and conference calls and site visits with the Portfolio Funds’ respective Trading Advisors.

 

The details of investments in Portfolio Funds at and for the nine month period ended September 30, 2014 are as follows:

 

September 30, 2014

 

 

 

Fair Value

 

Percentage of
Partners’ Capital

 

Profit (Loss)

 

Cost @ 9/30/14

 

Management
Fee

 

Performance
Fee

 

Redemptions
Permitted

 

Winton

 

$

11,414,841

 

19.88

%

$

503,551

 

$

6,916,154

 

$

(140,664

)

$

(93,693

)

Semi -Monthly

 

Aspect

 

11,414,842

 

19.88

%

598,128

 

9,131,937

 

(140,406

)

 

Semi -Monthly

 

Transtrend

 

11,414,841

 

19.88

%

1,530,207

 

8,471,413

 

(93,981

)

(14,058

)

Semi -Monthly

 

BlueTrend

 

11,299,925

 

19.68

%

559,662

 

10,387,542

 

(93,989

)

 

Monthly

 

Lynx**

 

11,414,841

 

19.88

%

1,736,510

 

9,866,587

 

(50,454

)

(372,872

)

Semi -Monthly

 

Man AHL*

 

 

0.00

%

(509,489

)

 

(43,736

)

 

Monthly

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment in Portfolio Funds at fair value

 

$

 56,959,290

 

99.20

%

$

4,418,569

 

$

44,773,633

 

$

(563,230

)

$

(480,623

)

 

 

 


*Liquidated as of April 30, 2014.

**Added to the Portfolio May 1, 2014.

 

7



 

The details of investments in Portfolio Funds at and for the year ended December 31, 2013 are as follows:

 

December 31, 2013

 

 

 

Fair Value

 

Percentage of
Partners’ Capital

 

Profit (Loss)

 

Cost @ 12/31/13

 

Management
Fee

 

Performance
Fee

 

Redemptions
Permitted

 

Winton

 

$

14,111,527

 

19.90

%

$

1,442,581

 

$

8,874,714

 

$

(299,925

)

$

(106,090

)

Semi -Monthly

 

Aspect

 

14,111,527

 

19.90

%

(773,505

)

11,713,792

 

(297,276

)

 

Semi -Monthly

 

Transtrend

 

14,111,528

 

19.90

%

(110,517

)

11,386,931

 

(198,537

)

 

Semi -Monthly

 

BlueTrend

 

14,111,529

 

19.90

%

(1,753,279

)

13,569,670

 

(197,702

)

(36,727

)

Monthly

 

Man AHL*

 

14,111,528

 

19.90

%

(1,561,906

)

17,267,605

 

(197,289

)

 

Monthly

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment in Portfolio Funds at fair value

 

$

70,557,639

 

99.50

%

$

(2,756,626

)

$

62,812,712

 

$

(1,190,729

)

$

(142,817

)

 

 

 


*Liquidated as of April 30, 2014.

 

There are no investments held by the Portfolio Funds that in the aggregate exceed 5% of the Partnership’s partners’ capital. These investments are recorded at fair value. The following is summarized financial information for each of the Portfolio Funds:

 

 

 

As of September 30, 2014

 

 

 

Total Assets

 

Total Liabilities

 

Total Capital

 

Winton

 

$

969,883,428

 

$

57,110,489

 

$

912,772,939

 

Aspect

 

143,921,012

 

14,391,446

 

129,529,566

 

Transtrend

 

74,719,967

 

4,407,558

 

70,312,409

 

BlueTrend

 

93,311,150

 

8,320,821

 

84,990,329

 

Lynx**

 

47,951,675

 

4,388,666

 

43,563,009

 

 

 

 

 

 

 

 

 

Total

 

$

1,329,787,232

 

$

88,618,980

 

$

1,241,168,252

 

 

 

 

As of December 31, 2013

 

 

 

Total Assets

 

Total Liabilities

 

Total Capital

 

Winton

 

$

1,017,995,743

 

$

39,646,338

 

$

978,349,405

 

Aspect

 

181,942,358

 

14,724,863

 

167,217,495

 

Transtrend

 

99,784,514

 

13,453,024

 

86,331,490

 

BlueTrend

 

131,419,686

 

17,583,690

 

113,835,996

 

Man AHL*

 

22,152,777

 

3,759,921

 

18,392,856

 

 

 

 

 

 

 

 

 

Total

 

$

1,453,295,078

 

$

89,167,836

 

$

1,364,127,242

 

 

 

 

For the nine months ended September 30, 2014

 

 

 

Income (Loss)

 

Commissions

 

Expenses

 

Net
Income (Loss)

 

Winton

 

$

60,450,846

 

$

(908,716

)

$

(34,648,215

)

$

24,893,915

 

Aspect

 

8,619,753

 

(412,821

)

(4,131,709

)

4,075,223

 

Transtrend

 

10,391,804

 

(442,733

)

(1,552,613

)

8,396,458

 

BlueTrend

 

5,387,299

 

(417,590

)

(2,449,658

)

2,520,051

 

Lynx**

 

7,446,393

 

(161,271

)

(2,020,729

)

5,264,393

 

Man AHL*

 

(538,782

)

(97,828

)

(280,458

)

(917,068

)

 

 

 

 

 

 

 

 

 

 

Total

 

$

91,757,313

 

$

(2,440,959

)

$

(45,083,382

)

$

44,232,972

 

 

 

 

For the nine months ended September 30, 2013

 

 

 

Income (Loss)

 

Commissions

 

Expenses

 

Net
Income (Loss)

 

Winton

 

$

32,731,028

 

$

(1,029,682

)

$

(29,966,395

)

$

1,734,951

 

Aspect

 

(13,380,664

)

(643,556

)

(8,224,782

)

(22,249,002

)

Transtrend

 

(5,006,136

)

(634,125

)

(2,635,885

)

(8,276,146

)

BlueTrend

 

(13,703,267

)

(601,231

)

(3,330,317

)

(17,634,815

)

Man AHL*

 

(2,534,942

)

(231,458

)

(712,053

)

(3,478,453

)

 

 

 

 

 

 

 

 

 

 

Total

 

$

(1,893,981

)

$

(3,140,052

)

$

(44,869,432

)

$

(49,903,465

)

 


*Liquidated as of April 30, 2014.

**Added to the Portfolio May 1, 2014.

 

8



 

3.              FAIR VALUE OF INVESTMENTS

 

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at the measurement date (i.e. the exit price). Purchase and sale of investments are recorded on a trade date basis. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss from the preceding period/year is reported in the respective Statements of Operations.

 

The fair value measurement guidance established by U.S. GAAP is a hierarchical disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

 

Investments measured and reported at fair value are classified and disclosed in one of the following categories:

 

Level I — Quoted prices are available in active markets for identical investments as of the reporting date. The type of investments included in Level I are publicly traded investments. As required by the fair market value measurement guidance in U.S. GAAP, the Partnership does not adjust the quoted price for these investments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.

 

Level II — Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of generally accepted and understood models or other valuation methodologies. Investments which are generally included in this category are investments valued using market data.

 

Level III — Pricing inputs are unobservable and include situations where there is little, if any, market activity for the investment. Fair value for these investments is determined using valuation methodologies that consider a range of factors, including but not limited to the nature of the investment, local market conditions, trading values on public exchanges for comparable securities, current and projected operating performance and financing transactions subsequent to the acquisition of the investment. The inputs into the determination of fair value require significant management judgment. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

 

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. MLAI’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

 

The following is a description of the valuation methodologies used for investments, as well as the general classification of such investments pursuant to the valuation hierarchy.

 

Investments in Portfolio Funds are valued using the net asset value reported by the Portfolio Funds, which management believes approximates fair value. These net asset values are the prices used to execute trades with these Portfolio Funds.  As the Partnership can transact with the Portfolio Funds on a monthly basis, the Partnership determined that its investments in these Portfolio Funds in this case, would be classified as Level II. Transfers of investments between different levels of the fair value hierarchy, if any, are recorded as of the beginning of the reporting period. There were no transfers to or from any level for the periods presented.

 

The following table summarizes the valuation of the Partnership’s investments by the above fair value hierarchy levels as of September 30, 2014 and December 31, 2013:

 

9



 

Investment in 

 

 

 

 

 

 

 

 

 

Portfolio Funds

 

Total

 

Level I

 

Level II

 

Level III

 

 

 

 

 

 

 

 

 

 

 

September 30, 2014

 

$

56,959,290

 

$

 

$

56,959,290

 

$

 

December 31, 2013

 

$

70,557,639

 

$

 

$

70,557,639

 

$

 

 

4.                MARKET, CREDIT AND CONCENTRATION RISKS

 

The nature of this Partnership has certain risks, which cannot all be presented in the financial statements.  The following summarizes some of those risks.

 

Market Risk

 

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility of interest rates, foreign currency exchange rates or the market values of the financial instruments or commodities underlying such derivative instruments frequently result in changes in the Portfolio Funds’ Unrealized profit (loss) on open contracts on such derivative instruments as reflected in the Statements of Financial Condition of the Portfolio Funds. The Partnership’s exposure to market risk is influenced by a number of factors, including the relationships among the derivative instruments held by the Portfolio Funds as well as the volatility and liquidity of the markets in which the derivative instruments are traded. Investments in foreign markets may also entail legal and political risks.

 

MLAI has procedures in place intended to control market risk exposure, although there can be no assurance that it will, in fact, succeed in doing so.  These procedures focus primarily on monitoring the trading of the Portfolio Funds, calculating the Net Asset Value of the Partnership and the Portfolio Funds as of the close of business on each day and reviewing outstanding positions for over-concentrations.  While MLAI does not intervene in the markets to hedge or diversify the Portfolio Funds’ market exposure, MLAI may urge the respective Trading Advisors to reallocate positions in an attempt to avoid over-concentrations.  However, such interventions are expected to be unusual.  It is expected that MLAI’s basic risk control procedures will consist of the ongoing process of the respective Trading Advisor’s monitoring, with the market risk controls being applied by the respective Trading Advisors.

 

Credit Risk

 

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse.  In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties.  Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

 

The credit risk associated with these instruments from counterparty nonperformance is the unrealized profit (loss) on open contracts, if any, included in the Portfolio Funds’ Statements of Financial Condition.

 

MLAI, as sponsor of the Portfolio Funds, has a general policy of maintaining clearing and prime brokerage arrangements with BAC affiliates, such as MLPF&S and MLI, although MLAI may engage non-BAC affiliated service providers as clearing brokers or prime brokers for the Portfolio Funds.

 

10



 

The Portfolio Funds, in their normal course of business, enter into various contracts, with MLPF&S acting as their futures clearing broker.

 

Concentration Risk

 

The Partnership’s investments in the Portfolio Funds are subject to the market and credit risk of the Portfolio Funds.  Because the majority of the Partnership’s capital is invested in the Portfolio Funds, any changes in the market conditions that would adversely affect the Portfolio Funds could significantly impact the solvency of the Partnership.

 

Indemnifications

 

In the normal course of business, the Partnership has entered, or may in the future enter into agreements that obligate the Partnership to indemnify certain parties, including BAC affiliates. No claims have actually been made with respect to such indemnities and any quantification would involve hypothetical claims that have not been made. Based on the Partnership’s experience, MLAI expects the risk of loss to be remote and, therefore, no provision has been recorded.

 

5.              RELATED PARTY TRANSACTIONS

 

MLAI and the Partnership entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Transfer Agent”), a wholly-owned subsidiary of BAC and affiliate of MLAI. The Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of Units. The fees charged by the Transfer Agent for its services are based on the aggregate net assets of funds managed or sponsored by MLAI.  The fee rate ranges from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. During the quarter ended September 30, 2014, the rate ranged from 0.018% to 0.02%.  The fee is payable monthly in arrears.  MLAI allocates the Transfer Agent fees to each of the managed or sponsored funds, including the Partnership, on a monthly basis based on each fund’s net assets. The Transfer Agent fee allocated to the Partnership for the three and nine months ended September 30, 2014 and 2013 is paid on behalf of the Partnership by the Sponsor. These fees are included in the wrap fee and are not separately charged to the Partnership.

 

The Partnership pays MLAI a wrap fee in the amount of 4.0% per annum of the Partnership’s average month end net asset value. Wrap fees, as presented on the Statements of Operations, are paid to a related party.

 

6.              SUBSEQUENT EVENTS

 

The General Partner has evaluated the impact of subsequent events on the Partnership through the date the financial statements were issued and has determined that there were no subsequent events that require adjustments to, or disclosure in, the financial statements.

 

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

 

MONTH-END NET ASSET VALUE PER UNIT

 

MLAI believes that the Net Asset Value used to calculate subscription and redemption values and to report performance to investors is a useful performance measure for the investors of the Partnership.  Therefore, the charts below referencing Net Asset Value and performance measurements are based on the Net Asset Value for financial reporting purposes.

 

11



 

The Partnership calculates the Net Asset Value per Unit as of the last business day of each month (each, a “Calculation Date”). The Partnership’s “Net Asset Value” as of any Calculation Date generally equals the value of the Partnership’s interests in the Portfolio Funds as of such date plus any other assets held by the Partnership, minus accrued wrap fees and all other liabilities of the Partnership.  MLAI or its delegates are authorized to make all Net Asset Value determinations.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT

 

 

 

Jan.

 

Feb.

 

Mar.

 

Apr.

 

May

 

Jun.

 

Jul.

 

Aug.

 

Sept.

 

2013

 

$

171.6601

 

$

168.4627

 

$

171.8005

 

$

176.8050

 

$

166.2503

 

$

160.3068

 

$

158.1637

 

$

153.5721

 

$

152.1042

 

2014

 

$

151.4082

 

$

153.1223

 

$

150.7298

 

$

151.9635

 

$

156.3551

 

$

157.7810

 

$

155.4049

 

$

163.5612

 

$

165.0401

 

 

Liquidity and Capital Resources

 

The Portfolio Funds borrow only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Portfolio Funds’ U.S. dollar deposits.  These borrowings are at a prevailing short-term rate in the relevant currency.

 

Substantially all of the Portfolio Funds’ assets are held in cash. The net asset value of the Portfolio Funds’ cash is not affected by inflation. However, changes in interest rates could cause periods of strong up or down price trends, during which the Portfolio Funds’ profit potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow. A Portfolio Fund should be able to close out its open trading positions and liquidate its holdings relatively quickly and at market prices, except in unusual circumstances. This typically permits the Portfolio Funds to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

 

Investors in the Partnership generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of the last day of any calendar month (each a “Redemption Date”), upon providing notice at least 10 calendar days prior to month-end.  The Net Asset Value of redeemed Units is determined as of the Redemption Date.  Investors will remain exposed to fluctuations in Net Asset Value during the period between submission of their redemption requests and the applicable Redemption Date.

 

As a commodity pool, the Partnership maintains an extremely large percentage of its assets in cash at the underlying Portfolio Funds, which they must have available to post initial and variation margin on futures contracts.  This cash is also used to fund redemptions.  While the Portfolio Fund has the ability to fund redemption proceeds from liquidating positions, as a practical matter positions are not liquidated to fund redemptions.  In the event that positions were liquidated to fund redemptions, MLAI, as the manager of the Portfolio Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the respective Trading Advisor would determine, in its discretion which investments should be liquidated.

 

For the nine months ended September 30, 2014, the Partnership’s capital decreased 19.02% from $70,907,928 to $57,423,725. This decrease was attributable to the net profit from operations of $2,523,713, coupled with the redemption of 102,957 Redeemable Units resulting in an outflow of $16,029,916. The cash outflow was offset with cash inflow of $22,000 due to subscriptions of 145 Units. Future redemptions could impact the amount of funds available for investment in the Portfolio Funds in subsequent months.

 

Critical Accounting Policies

 

Statement of Cash Flows

 

12



 

The Partnership is not required to provide a Statement of Cash Flows.

 

Investments

 

Fair value of an investment is the amount that would be received to sell the investment in an orderly transaction between market participants at measurement date (i.e. the exit price). Purchases and sales of investments are recorded on trade date. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss from the preceding period is reported on the Statements of Operations.

 

Fair Value Measurements

 

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.  For more information on the Partnership’s treatment of fair value see Financial Statements Note 3, Fair Value of Investments.

 

Income Taxes

 

No provision for income taxes has been made in the accompanying financial statements as each partner is individually responsible for reporting income or loss based on such partner’s respective share of the Partnership’s income and expenses as reported for income tax purposes.

 

The Partnership follows the ASC guidance on accounting for uncertainty in income taxes. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Partnership’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority.  Tax positions with respect to tax at the partnership level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value of the Partnership, including reducing the net asset value of the Partnership to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Partnership. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Partnership. The General Partner has analyzed the Partnership’s tax positions and has concluded that no provision for income tax is required in the Partnership’s financial statements. The following is the major tax jurisdiction for the Partnership and the earliest tax year subject to examination: United States — 2011.

 

Reform Act

 

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant,” and the Portfolio Fund expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Portfolio Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Portfolio Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.  “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market.  Moreover, the creditworthiness of the counterparties with whom the Portfolio Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Portfolio Fund would otherwise engage for its currency forward transactions.

 

13



 

Results of Operations

 

January 1, 2014 to September 30, 2014

 

January 1, 2014 to March 31, 2014

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Partnership as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of March 31, 2014:

 

March 31, 2014

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

499,455

 

39.01

%

Currencies - Futures

 

89,232

 

6.97

%

Currencies - Forwards

 

264,077

 

20.63

%

Energy

 

(65,606

)

-5.13

%

Interest rates

 

186,013

 

14.53

%

Metals

 

(76,273

)

-5.96

%

Stock indices

 

383,438

 

29.95

%

 

 

 

 

 

 

Total

 

$

1,280,336

 

100.00

%

 

The Partnership experienced a net trading loss for the quarter ended March 31, 2014 of $2,264,438.

 

References herein to the Partnership’s trading and portfolio refer to such trading conducted, and portfolios held, through the Partnership’s Portfolio Funds.  Reference herein to the trading and portfolios of the Portfolio Funds refer to such trading and portfolios generally.

 

In equity indices, the Portfolio Funds came into the first quarter with long exposure, given the strong rally in global equity prices during 2013. Positioning was greatest in U.S. and European indices. The upward trend in equities did not continue in the first quarter. Markets quickly reversed in January, rallied back in February, then showed some v-shaped moves in March. They generally ended the quarter not far from where they began, but the reversals and choppiness proved costly to trend followers, making equity indices the worst performing asset class.

 

Commodities also performed poorly in the first quarter. The Portfolio Funds had long positions in energies and industrial metals, but short positions in grains and precious metals coming into the first quarter. Commodities fell in January, rallied in February, and then fell again in March, exhibiting reversals and several directional shifts along the way. The largest losses were incurred in the energy sector.

 

In currencies, the Portfolio Funds had mixed positioning coming into the first quarter. Long positions in European currencies like the euro, British pound and Swiss franc were balanced against short positions in the Japanese yen, Canadian dollar and Australian dollar. The downward trend in the Japanese yen continued for part of the quarter and the Portfolio Funds made money, but there were reversals in the remaining major currency positions, leading to small losses.

 

14



 

In fixed income, the Portfolio Funds had long positioning in both interest rates and bonds. Fixed income proved to be the only profitable asset class. Yields generally moved lower over the course of the first quarter. The moves were not very large, but they benefited long positions.

 

In summary, the first quarter saw reversals in several asset classes. Trends in equity indices, commodities and many currency markets were interrupted. With market moves going against positioning, the Portfolio Funds saw losses in those asset classes. Gains in fixed income markets only partially made up for the losses.

 

April 1, 2014 to June 30, 2014

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Partnership as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of June 30, 2014:

 

June 30, 2014

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

76,076

 

4.40

%

Currencies - Futures

 

98,879

 

5.72

%

Currencies - Forwards

 

28,721

 

1.66

%

Energy

 

303,230

 

17.53

%

Interest rates

 

946,349

 

54.70

%

Metals

 

(45,839

)

-2.65

%

Stock indices

 

322,461

 

18.64

%

 

 

 

 

 

 

Total

 

$

1,729,877

 

100.00

%

 

The Partnership experienced a net trading profit for the quarter ended June 30, 2014 of $3,479,133.

 

References herein to the Partnership’s trading and portfolio refer to such trading conducted, and portfolios held, through the Partnership’s Portfolio Funds.  Reference herein to the trading and portfolios of the Portfolio Funds refer to such trading and portfolios generally.

 

The Partnership gained 4.7% in the second quarter. Returns were positive for most of the Portfolio Funds during the second quarter. Continuing trends in equity indices and fixed income drove performance. Choppiness and some reversals in currencies and commodities minimally offset those gains.

 

In equity indices, the Portfolio Funds came into the second quarter with long exposure, with positions across geographies. While the first quarter had not necessarily seen the strong upward trends in global equity prices continue, there had not been any significant reversals either. As such, trend followers generally kept their positioning from year end. Exposures were greatest in U.S. and European indices. The upward trend in equities resumed to some extent in the second quarter with many markets rising in late April. These moves were beneficial to long positions. The asset class had losses in April, but was profitable in both May and June as markets rose.

 

In fixed income, the Portfolio Funds had long positioning within both rates and bonds given falling yields in the first quarter. Yields generally moved lower still in April and May and in several markets in June as well. These moves benefited long positions held by trend followers. Fixed income proved to be the most profitable asset class for the second quarter, generating gains in all three months.

 

In currencies, the Portfolio Funds lost money. The U.S. dollar exhibited somewhat choppy moves, falling in April, rising in May and falling again in June. The Portfolio Funds were profitable trading the British pound, but

 

15



 

lost money in their yen and euro exposures. Losses in April and May were somewhat made up for by gains in June.

 

Commodity trading was difficult and generally contributed to losses. Oil markets were down initially before recovering in the second half of the second quarter on heightened concerns over the disruption of supply in Iraq. Long positions generally made money. Natural gas saw a reversal later in the quarter, falling as stock levels and the weather outlook improved, resulting in some losses. Larger losses came from the agricultural sector and especially grains. With several negative supply effects such as drought conditions and tensions in Ukraine dissipating, these markets reversed and fell, leading to losses on long positions. Metal markets also shifted direction several times, depending on strength in the Chinese economy, production levels and safe-haven demand, leading to additional losses.

 

In summary, equity and fixed income trends continued in the second quarter. Energy markets were also profitable. On the other hand, there was some choppiness in currencies and several commodity sectors such as grains and metals suffered mild reversals which detracted from performance. Overall, the gains outweighed losses and the quarter was profitable for the Partnership.

 

July 1, 2014 to September 30, 2014

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Partnership as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of September 30, 2014:

 

September 30, 2014

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

924,080

 

45.93

%

Currencies - Futures

 

395,760

 

19.67

%

Currencies - Forwards

 

(280,219

)

-13.93

%

Energy

 

479,714

 

23.85

%

Interest rates

 

233,268

 

11.59

%

Metals

 

515,518

 

25.63

%

Stock indices

 

(256,367

)

-12.74

%

 

 

 

 

 

 

Total

 

$

2,011,754

 

100.00

%

 

The Partnership experienced a net trading profit for the quarter ended September 30, 2014 of $3,203,874.

 

In the third quarter, managed futures and trend following strategies had positive performance. Returns were negative in July, but August and September were strong months. Continuing trends in fixed income and new trends in the currency and commodity sectors drove performance. A slight reversal in equity indices resulted in small offsetting losses.

 

References herein to the trading, portfolios and performance of the Portfolio Funds refer to such trading, portfolios and performance generally across the Portfolio Funds.

 

In equity indices, the Portfolio Funds came into the third quarter with long exposure, with positions across geographies. The largest exposures were in U.S. and European indices. These positions were due to the upward trend in the asset class which had generally continued during the second quarter. During the third quarter, this trend weakened, with global growth concerns starting to weigh on markets. September was a down month for

 

16



 

many equity indices and gains from earlier in the quarter were given back. The sector ended with small losses for the Partnership.

 

In fixed income, the Portfolio Funds had long positioning with both rates and bonds having generally falling yields. The moves were especially large in August, resulting in profits for the Portfolio Funds. Yields rose slightly in September, leading to a small give back of earlier gains, but fixed income ended up being a strong driver of performance for the Portfolio Funds in the quarter overall.

 

Currencies also performed strongly. Diverging economic performance and central bank policies were important factors in driving currencies during the third quarter. A decently performing U.S. economy relative to much of the rest of the world meant that the U.S. dollar strengthened against most foreign currencies. The Portfolio Funds generally adopted a long U.S. dollar bias and made profits being short currencies like the euro and yen which weakened consistently through the third quarter.

 

Commodities were another bright spot for the Portfolio Funds. The strength in the U.S. dollar and the slow weakening of the global economy were among the factors that led to many commodities falling over the course of the third quarter. Supply and demand factors such as dissipating tensions around the Ukraine situation, higher global oil production and reports of strong harvests in many grain markets also played a role. The Portfolio Funds were generally long commodity markets coming into July, but moved to a short stance by the end of August with minimal losses. As the downward trends in the asset class accelerated in September, the Portfolio Funds were well positioned to benefit from them. Falling prices in oil markets, precious metals, grains and softs all contributed positively to performance.

 

In summary, fixed income trends generally continued in the third quarter. The Portfolio Funds also took advantage of relatively newer downward trends in currencies and commodities. Slight reversals in equity indices mildly detracted from performance. Overall, the third quarter was profitable for the Partnership.

 

January 1, 2013 to September 30, 2013

 

January 1, 2013 to March 31, 2013

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Partnership as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of March 31, 2013:

 

March 31, 2013

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

251,046

 

10.98

%

Currencies - Futures

 

(119,589

)

-5.23

%

Currencies - Forwards

 

(55,900

)

-2.44

%

Energy

 

17,919

 

0.78

%

Interest rates

 

1,756,786

 

76.81

%

Metals

 

222,506

 

9.73

%

Stock indices

 

214,374

 

9.37

%

 

 

 

 

 

 

Total

 

$

2,287,142

 

100.00

%

 

The Partnership experienced a net trading profit for the quarter ended March 31, 2013 of $3,425,527.

 

References herein to the Partnership’s trading and portfolio refer to such trading conducted, and portfolios held, through the Partnership’s Portfolio Funds.  Reference herein to the trading and portfolios of the Portfolio Funds refer to such trading and portfolios generally.

 

17



 

The Partnership started the year with a long bias in both risk assets and fixed income. The only meaningful short exposures were in the Japanese yen, natural gas, grains and soft commodities.  This posture shifted partially over the course of the first quarter. The biggest changes took place in currencies and commodities. These two asset classes were most affected by rising risk aversion in February and March. The portfolio got short many foreign currencies as well as metals and livestock. The only market where the shift went the other way was natural gas, as the Portfolio Funds adopted a long posture as prices rose sharply in March.

 

Equity indices drove performance. The Portfolio Funds came into the year with long positions across geographies given that stock prices have generally been rising since the summer of 2012. With the fiscal cliff issue resolved in the early days of the first quarter, markets continued to rise, even picking up some momentum. Gains came from diverse positions during January. In February and March, there was some divergence in markets, with U.S. and Japanese equities continuing to rise while those in Europe and China saw some downward moves due to inconclusive elections in Italy, a banking crisis in Cyprus and signs of slowing growth in China. Despite this divergence, the asset class was positive each month of the quarter.

 

Currencies also contributed positively to performance over the first quarter. At the start of the year, the Portfolio Funds had long positions in most foreign currencies, balanced by significant short exposure in the Japanese yen. This positioning performed positively in January given a pro-risk investment environment. In February, risk aversion returned to markets to some extent. A contracting euro-zone economy coupled with Italian elections where no single group of parties won enough votes to form a coalition government disrupted the stability for the continent. Many foreign currencies depreciated against the U.S. dollar and the Portfolio Funds generally adopted a short posture. The general trend of a strong U.S. dollar continued into March. At this point, the Portfolio Funds were decidedly long the U.S. dollar and generally made back the February losses. Overall, the asset class was positive for the quarter. Short yen positions performed best, generating gains each month of the quarter.

 

In fixed income, the Portfolio Funds had long positions throughout the first quarter resulting in losses. In January, these positions lost money. Risk assets were rallying while fixed income was selling off. Many even questioned whether a new period of rising interest rates was already upon us. These worries turned out to be premature as problems in Europe led to a renewed push into fixed income. Yields came back down and the Portfolio Funds made back some, though not all, of their January losses during February and March.

 

Commodities also performed poorly. Coming into the first quarter, the Portfolio Funds had long exposure in the oil complex and metals coupled with short exposure in natural gas and agricultural markets. Many commodities initially rallied, generating some gains. That changed in February as markets generally fell due to slowing growth and the potential for less demand from China as well as from a contracting Europe. These moves hurt the Portfolio Funds. The Portfolio Funds generally adopted a short posture in all sectors except for oil.

 

April 1, 2013 to June 30, 2013

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the underlying Portfolio Fund Level and the allocation to each underlying Portfolio Fund as of June 30, 2013:

 

18



 

June 30, 2013

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

152,087

 

12.16

%

Currencies - Futures

 

73,517

 

5.88

%

Currencies - Forwards

 

43,246

 

3.46

%

Energy

 

(41,753

)

-3.34

%

Interest rates

 

122,070

 

9.76

%

Metals

 

1,063,576

 

85.05

%

Stock indices

 

(162,234

)

-12.97

%

 

 

 

 

 

 

Total

 

$

1,250,509

 

100.00

%

 

The Partnership experienced a net trading loss for the second quarter ended June 30, 2013 of $5,961,451.

 

References herein to the Partnership’s trading and portfolio refer to such trading conducted, and portfolios held, through the Partnership’s Portfolio Funds.  Reference herein to the trading and portfolios of the Portfolio Funds refer to such trading and portfolios generally.

 

April was a positive month, but reversals in May and June resulted in negative performance. The reversals were concentrated in fixed income markets in May and in equity and fixed income markets in June.

 

In fixed income, the Portfolio Funds came into the second quarter positioned long across almost all markets they traded given the downward trend in yields. Their positioning performed well in April as the economic outlook was not especially strong and central banks seemed committed to quantitative easing. This changed abruptly in May and June as markets were concerned by comments made by U.S. Federal Reserve officials. Yields rose universally. Profits made in April were given back and the asset class ended the quarter with losses. The losses were especially severe in May given that the Portfolio Funds Trading Advisors had large positions. As yields rose, they significantly cut long exposure through the end of the quarter.

 

The Portfolio Funds were also long equity indices at the start of the quarter. As global equity markets had generally been rising since late summer of 2012, with increased momentum in the first quarter of 2013, the Portfolio Funds had large long positions, with concentrations in U.S., European and Japanese equity indices. These positions generally made money in April and May, but suffered offsetting losses in June when markets reversed due to the possible withdrawal of monetary stimulus sooner than expected. Most trend followers were able to finish the quarter with small profits in the asset class.

 

In currencies, choppiness took a toll on returns. Some big reversals (in the Australian dollar, for example) and a lack of clear direction in many other currencies resulted in the Portfolio Funds Trading Advisors losing money each month during the quarter. In April, European currencies rallied against short positions held in the Portfolio Funds; this happened even as poor economic numbers indicated further deterioration in the eurozone economy, but expectations of additional stimulus from the European Central Bank boosted many currencies. The Portfolio Funds tried to adapt by shifting direction and getting long these currencies, only to see the U.S. dollar rally. In June, it was the Japanese yen’s turn to reverse, ending multiple months of declines against the U.S. dollar and other currencies and hurting short positions. Currencies were the second worst performing asset class in the second quarter after fixed income.

 

Performance in commodities was mixed. The gains came primarily from metals. After some declines in the first quarter, the Portfolio Funds came into April positioned short both industrial and precious metals. As prices fell sharply over the course of the quarter, the Portfolio Funds were able to book significant profits in markets like gold, silver and copper. Trends were not as strong in the energy and agricultural markets. The Portfolio Funds

 

19



 

saw muted gains and losses that generally canceled each other out. Due to the big trends in metals, commodities were the best performing asset class for most Portfolio Funds.

 

In summary, big reversals in fixed income starting in May resulted in losses for the quarter. In currencies, some choppiness and more mild reversals also led to negative performance. There were small gains in equity indices due to the continuing rally in April and May. Commodities performed well as a result of the downward trend in metals which the Portfolio Funds Trading Advisors took advantage of well.

 

July 1, 2013 to September 30, 2013

 

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the underlying Portfolio Fund Level and the allocation to each underlying Portfolio Fund as of September 30, 2013:

 

September 30, 2013

 

 

 

 

 

Percent of

 

 

 

Net Unrealized

 

Net Unrealized

 

Commodity Industry

 

Profit (Loss)

 

Profit (Loss)

 

Sector

 

on Open Positions

 

on Open Positions

 

 

 

 

 

 

 

Agriculture

 

$

380,668

 

-75.62

%

Currencies - Futures

 

151,859

 

-30.17

%

Currencies - Forwards

 

(375,596

)

74.61

%

Energy

 

(185,903

)

36.93

%

Interest rates

 

131,416

 

-26.11

%

Metals

 

(217,761

)

43.26

%

Stock indices

 

(388,076

)

77.10

%

 

 

 

 

 

 

Total

 

$

(503,393

)

100.00

%

 

The Partnership experienced a net trading loss for the third quarter ended September 30, 2013 of $3,900,535.

 

References herein to the Partnership’s trading and portfolio refer to such trading conducted, and portfolio held, through the Partnership’s Portfolio funds. References herein to the trading and portfolio of the Portfolio Funds refer to such trading and portfolios generally.

 

Multiple reversals in metals, fixed income, equity indices and oil markets resulted in losses for the Partnership at different points in the quarter.

 

In fixed income, the Portfolio Funds came into the third quarter positioned short bonds and neutral rates. With the U.S. Federal Reserve hinting at tapering, fixed income markets had abruptly reversed in May and June, ending a prolonged period where falling yields had been the norm. With yields rising sharply during those two months, trend followers had gotten short many markets. The reversals in rates had been less severe and most Portfolio Funds had a neutral and balanced posture in that sector. Given the recent reversals, risk taking was generally minimal in the asset class. The uncertainty regarding tapering introduced volatility into markets. Central bank officials generally were able to calm markets in July and yields came back down some, only to rise further in August as the next Federal Open Market Committee meeting approached and then fall again in September when the U.S. Federal Reserve decided not to taper its bond purchases. This environment proved too choppy for most medium and longer term trend followers. Losses were sustained as the Trading Advisors tried to maneuver their portfolios based on the frequently shifting market direction. Given relatively low exposures, the losses were not too severe.

 

The Portfolio Funds were long equity indices at the start of the third quarter. The downward moves in markets in June had not been large enough to force the Portfolio Funds to get short. The Portfolio Funds continued to maintain a long bias with respect to global equity indices. July was a positive month for the asset class. With

 

20



 

fewer near-term policy worries, equity markets recovered from their June losses when fears of tapering had led to downward moves. In August, concerns over Syria made headlines and markets tumbled as the possibility of military intervention grew. These concerns eased in early September and the U.S. Federal Reserve’s decision not to taper buoyed markets. Despite these mixed moves, equities finished the quarter higher and long positions held by trend followers generated profits. Equity indices were the only profitable asset class for the Portfolio Funds.

 

Currencies continued to prove difficult to trade. The Portfolio Funds had a long U.S. dollar bias at the start of the quarter. This positioning lost money in July and August. At first, dovish reassurances by central bankers pushed back market expectations on tapering and pointed towards policy remaining accommodative. This led to the U.S. dollar losing value, but only to strengthen again in August as a more risk averse-environment took hold. Finally, at quarter end, the U.S. dollar weakened after the U.S. Federal Reserve’s non-tapering decision. Thus, the direction in currency markets changed each month, too frequently for medium term trend followers to navigate. Losses were felt across all Portfolio Funds.

 

Commodities were the worst performing asset class, generating the bulk of losses. The Portfolio Funds came into the quarter with a short bias in metals, energies and agriculturals but significant whipsawing resulted in poor performance. First, metals reversed, rising against the trend in what could be deemed a relief rally. Large short positions held by trend followers saw losses. The new upward trend lasted only a few months and precious metals saw sharp down moves in September just as the Portfolio Funds were getting long. At the same time, oil markets were seeing appreciation early in the quarter as geopolitical tensions rose in the Middle East, first in Egypt and then in Syria. The Portfolio Funds saw some losses initially but repositioned their portfolios to be long oil and oil product markets by the end of August. In September, oil reversed sharply after an apparent diplomatic solution was reached with Syria. This time, losses were felt in long positions. Agricultural markets also failed to produce strong gains. Thus, losses were seen across the commodity spectrum due to big reversals in several sectors.

 

In summary, continuing upward trends in equity indices led to some gains in the third quarter but significant reversals and choppy moves in all other asset classes resulted in losses, overwhelming any profits made in equities. In an environment without sufficient sustained trends, all Portfolio Funds saw losses. Those with larger commodity allocations fared worse. The Portfolio Funds with larger equity allocations and those with longer time horizons performed slightly better.

 

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

 

Item 3.   Quantitative and Qualitative Disclosures About Market Risk

 

Introduction

 

The Portfolio Funds are speculative commodity pools.  The market sensitive instruments held by the Portfolio Funds are acquired for speculative trading purposes and all or substantially all of the Portfolio Funds’ assets are subject to the risk of trading loss.  Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Portfolio Funds’ main line of business.

 

Market movements result in frequent changes in the fair market value of the Portfolio Funds’ open positions and, consequently, in earnings and cash flow.  The Portfolio Funds’ market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Portfolio Funds’ open positions and the liquidity of the markets in which they trade.

 

The Portfolio Funds under the direction of their respective Trading Advisors rapidly acquire and liquidate both long and short positions in a wide range of different markets.  Consequently, it is not possible to predict how a

 

21



 

particular future market scenario will affect performance, and the Partnership’s and the Portfolio Funds’ past performance is not necessarily indicative of their future results.

 

Value at Risk is a measure of the maximum amount which the Partnership and the Portfolio Funds could reasonably be expected to lose in a given market sector.  However, the inherent uncertainty of the Partnership’s and the Portfolio Funds’ speculative trading and the recurrence in the markets traded by the Partnership and the Portfolio Funds of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Partnership’s and the Portfolio Funds’ experience to date (i.e., “risk of ruin”).  In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification in this section should not be considered to constitute any assurance or representation that the Partnership’s and the Portfolio Funds’ losses in any market sector will be limited to Value at Risk or by the Partnership’s and the Portfolio Funds’ attempts to manage its market risk.

 

Quantifying the Partnership’s Trading Value at Risk

 

Quantitative Forward-Looking Statements

 

The following quantitative disclosures regarding the Partnership’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”)).  All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

 

Each Portfolio Fund’s risk exposure in the various market sectors traded by the Trading Advisors is quantified below in terms of Value at Risk.  Due to each Portfolio Fund’s fair value accounting, any loss in the fair value of the Portfolio Fund’s open positions is directly reflected in the Portfolio Fund’s earnings (realized or unrealized) and cash flow (in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

 

Exchange maintenance margin requirements have been used by the Portfolio Funds as the measure of their Value at Risk.  Maintenance margin requirements are set by exchanges to equal or exceed the maximum loss in the fair value of any given contract incurred in 95%-99% of the one-day time periods included in the historical sample (generally approximately one year) researched for purposes of establishing margin levels.  The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

 

In the case of market sensitive instruments which are not exchange-traded (almost exclusively currencies in the case of the Portfolio Funds), the margin requirements for the equivalent futures positions have been used as Value at Risk.  In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

 

100% positive correlation in the different positions held in each market risk category has been assumed.  Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate Value at Risk.  The diversification effects, which would reduce the Value at Risk estimates resulting from the fact that the Portfolio Fund’s positions are rarely, if ever, 100% positively correlated have not been reflected.

 

The following information with respect to Value at Risk (“VaR”) is set forth in respect of the Portfolio Funds separately rather than for the Fund on a stand alone basis.

 

22



 

The Portfolio Funds’ Trading Value at Risk in Different Market Sectors

 

The following tables indicate the average, highest, and lowest trading Value at Risk associated with the Portfolio Funds’ open positions by market category for the nine month periods ended September 30, 2014 and 2013.

 

23



 

Aspect Class DT (1)

 

 

 

September 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

278,818

 

2.27

%

$

493,886

 

$

37,191

 

Energy

 

127,263

 

1.04

%

225,454

 

31,704

 

Interest Rates

 

356,969

 

2.91

%

615,992

 

163,512

 

Metals

 

104,973

 

0.86

%

156,856

 

37,966

 

Stock Indices

 

258,134

 

2.10

%

447,014

 

118,923

 

Currencies

 

107,169

 

0.87

%

184,653

 

21,591

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,233,326

 

10.05

%

$

2,123,855

 

$

410,887

 

 


(1) Average capitalization of Aspect Class DT is $12,271,935.

 

Aspect Class DT (1)

 

 

 

September 30, 2013

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

187,310

 

0.90

%

$

485,338

 

$

37,540

 

Energy

 

151,468

 

0.73

%

263,867

 

85,318

 

Interest Rates

 

426,050

 

2.04

%

738,420

 

134,207

 

Metals

 

639,054

 

3.07

%

930,279

 

352,132

 

Stock Indices

 

126,243

 

0.61

%

280,536

 

2,325

 

Currencies

 

359,961

 

1.73

%

651,837

 

54,574

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,890,086

 

9.08

%

$

3,350,277

 

$

666,096

 

 


(1) Average capitalization of Aspect Class DT is $20,835,111.

 

24



 

BlueTrend Class DT (2)

 

 

 

September 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

313,191

 

2.54

%

$

454,736

 

$

151,241

 

Energy

 

138,931

 

1.13

%

254,134

 

78,636

 

Interest Rates

 

340,339

 

2.76

%

594,903

 

204,776

 

Metals

 

32,898

 

0.27

%

67,907

 

13,476

 

Stock Indices

 

225,479

 

1.83

%

446,181

 

32,286

 

Currencies

 

318,306

 

2.58

%

554,928

 

168,809

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,369,144

 

11.11

%

$

2,372,789

 

$

649,224

 

 


(2) Average capitalization of Bluetrend Class DT is $12,343,306.

 

BlueTrend Class DT (2)

 

 

 

September 30, 2013

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

57,986

 

0.28

%

$

82,170

 

$

20,536

 

Energy

 

166,096

 

0.81

%

222,852

 

43,803

 

Interest Rates

 

980,362

 

4.76

%

1,579,776

 

310,565

 

Metals

 

229,630

 

1.12

%

549,661

 

29,717

 

Stock Indices

 

209,373

 

1.02

%

421,158

 

5,894

 

Currencies

 

241,168

 

1.17

%

608,931

 

114,363

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,884,615

 

9.16

%

$

3,464,548

 

$

524,878

 

 


(2) Average capitalization of Bluetrend Class DT is $20,578,924.

 

25



 

Transtrend Class DT (3)

 

 

 

September 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

586,896

 

4.74

%

$

838,539

 

$

399,280

 

Energy

 

265,676

 

2.15

%

728,967

 

5,756

 

Interest Rates

 

281,781

 

2.28

%

506,012

 

154,376

 

Metals

 

293,769

 

2.37

%

796,617

 

32,807

 

Stock Indices

 

173,964

 

1.40

%

269,687

 

123,039

 

Currencies

 

338,245

 

2.73

%

590,740

 

83,812

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,940,331

 

15.67

%

$

3,730,562

 

$

799,070

 

 


(3) Average capitalization of Transtrend Class DT is $12,385,810.

 

Transtrend Class DT (3)

 

 

 

September 30, 2013

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

114,504

 

0.55

%

$

304,647

 

$

39,884

 

Energy

 

66,286

 

0.32

%

99,168

 

37,306

 

Interest Rates

 

1,282,586

 

6.15

%

2,377,361

 

428,805

 

Metals

 

684,630

 

3.28

%

1,475,306

 

256,247

 

Stock Indices

 

110,924

 

0.53

%

178,137

 

37,826

 

Currencies

 

87,546

 

0.42

%

250,785

 

4,390

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

2,346,476

 

11.25

%

$

4,685,404

 

$

804,458

 

 


(3) Average capitalization of Transtrend Class DT is $20,853,799.

 

26



 

Winton Class DT (4)

 

 

 

September 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

297,059

 

2.40

%

$

427,271

 

$

174,910

 

Energy

 

74,769

 

0.60

%

171,186

 

23,875

 

Interest Rates

 

234,804

 

1.89

%

412,073

 

46,950

 

Metals

 

159,786

 

1.29

%

232,674

 

103,127

 

Stock Indices

 

160,322

 

1.29

%

260,904

 

78,523

 

Currencies

 

80,741

 

0.65

%

105,087

 

64,359

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,007,481

 

8.12

%

$

1,609,195

 

$

491,744

 

 


(4) Average capitalization of Winton Class DT is $12,394,906.

 

Winton Class DT (4)

 

 

 

September 30, 2013

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

125,373

 

0.60

%

$

249,177

 

$

50,560

 

Energy

 

75,784

 

0.36

%

103,988

 

47,597

 

Interest Rates

 

313,771

 

1.50

%

450,821

 

204,242

 

Metals

 

292,580

 

1.40

%

516,456

 

11,098

 

Stock Indices

 

109,621

 

0.52

%

174,963

 

76,133

 

Currencies

 

255,340

 

1.22

%

377,154

 

157,544

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,172,469

 

5.60

%

$

1,872,559

 

$

547,174

 

 


(4) Average capitalization of Winton Class DT is $20,901,840.

 

27



 

Lynx Class DT** (5)

 

 

 

September 30, 2014

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector 

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$

372,999

 

3.17

%

$

463,812

 

277,770

 

Energy

 

138,107

 

1.17

%

216,169

 

87,284

 

Interest Rates

 

483,561

 

4.11

%

925,598

 

211,191

 

Metals

 

344,635

 

2.93

%

459,095

 

262,772

 

Stock Indices

 

272,119

 

2.32

%

485,770

 

17,630

 

Currencies

 

369,208

 

3.14

%

412,288

 

333,703

 

 

 

 

 

 

 

 

 

 

 

TOTAL

 

$

1,980,629

 

16.84

%

$

2,962,732

 

$

1,190,350

 

 


(5) Average capitalization of Lynx Class DT is $11,753,834.

 

**Added to the Portfolio May 1, 2014.

 

Man AHL LLC Class DT* (6)

 

 

 

September 30, 2013

 

 

 

Average

 

% of Average

 

Highest Value

 

Lowest Value

 

Market Sector 

 

Value at Risk

 

Capitalization

 

At Risk

 

At Risk

 

 

 

 

 

 

 

 

 

 

 

Agricultural Commodities

 

$