Attached files
file | filename |
---|---|
EX-31.02 - EX-31.02 - ML BlueTrend FuturesAccess LLC | a15-23241_1ex31d02.htm |
EX-32.02 - EX-32.02 - ML BlueTrend FuturesAccess LLC | a15-23241_1ex32d02.htm |
EX-13.01 - EX-13.01 - ML BlueTrend FuturesAccess LLC | a15-23241_1ex13d01.htm |
EX-31.01 - EX-31.01 - ML BlueTrend FuturesAccess LLC | a15-23241_1ex31d01.htm |
EX-32.01 - EX-32.01 - ML BlueTrend FuturesAccess LLC | a15-23241_1ex32d01.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-K
x Annual Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the fiscal year ended: December 31, 2015
or
o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
Commission file number: 0-53794
ML BLUETREND FUTURESACCESS LLC
(Exact name of registrant as specified in its charter)
Delaware |
|
26-2581977 |
(State or other jurisdiction of |
|
(I.R.S. Employer |
incorporation or organization) |
|
Identification No.) |
c/o Merrill Lynch Alternative Investments LLC
250 Vesey Street, 11th Floor
New York, New York 10281
(Address of principal executive offices)
(Zip Code)
609-274-5838
(Registrants telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act: None
Securities registered pursuant to Section 12(g) of the Act: Units of Limited Liability Company Interest
Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
Yes o No x
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act.
Yes o No x
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes x No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes x No o
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrants knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. 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 Act).
Yes o No x
The Units of limited liability company interest of the registrant are not publicly traded. Accordingly, there is no aggregate market value for the registrants outstanding equity that is readily determinable.
As of February 29, 2016 Units of limited liability company interest with an aggregate Net Asset Value of $33,256,198 were outstanding and held by non-affiliates.
Documents Incorporated by Reference
The registrants 2015 Annual Report and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the year ended December 31, 2015, is incorporated by reference into Part II, Item 8, and Part IV hereof and filed as an Exhibit herewith. Copies of the annual report are available free of charge by contacting Alternative Investments Client Services at 1-866-657-3784.
ML BLUETREND FUTURESACCESS LLC
ANNUAL REPORT FOR 2015 ON FORM 10-K
Table of Contents
|
|
PAGE |
|
PART I |
|
Item 1. |
Business |
1 |
|
|
|
Item 1A. |
Risk Factors |
9 |
|
|
|
Item 1B. |
Unresolved Staff Comments |
20 |
|
|
|
Item 2. |
Properties |
20 |
|
|
|
Item 3. |
Legal Proceedings |
20 |
|
|
|
Item 4. |
Mine Safety Disclosures |
20 |
|
|
|
|
PART II |
|
|
|
|
Item 5. |
Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of |
|
|
Equity Securities |
20 |
|
|
|
Item 6. |
Selected Financial Data |
23 |
|
|
|
Item 7. |
Managements Discussion and Analysis of Financial Condition and Results of Operations |
32 |
|
|
|
Item 7A. |
Quantitative and Qualitative Disclosures About Market Risk |
44 |
|
|
|
Item 8. |
Financial Statements and Supplementary Data |
48 |
|
|
|
Item 9. |
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure |
48 |
|
|
|
Item 9A. |
Controls and Procedures |
48 |
|
|
|
Item 9B. |
Other Information |
49 |
|
|
|
|
PART III |
|
|
|
|
Item 10. |
Directors, Executive Officers and Corporate Governance |
49 |
|
|
|
Item 11. |
Executive Compensation |
51 |
|
| |
Item 12. |
Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters |
51 |
|
|
|
Item 13. |
Certain Relationships and Related Transactions, and Director Independence |
52 |
|
|
|
Item 14. |
Principal Accounting Fees and Services |
52 |
|
|
|
|
PART IV |
|
|
|
|
Item 15. |
Exhibits, Financial Statement Schedules |
53 |
PART I
Item 1: Business
(a) General Development of Business:
ML BlueTrend FuturesAccess LLC (the Fund), a FuturesAccessSM Program (FuturesAccess) fund, which is an investment company as defined by Accounting Standards Codification (ASC) guidance, was organized under the Delaware Limited Liability Company Act on April 30, 2008 and commenced trading activities on September 1, 2008. The Fund engages in the speculative trading of futures and forward contracts on a wide range of commodities. Systematica Investments Limited (acting as general partner of Systematica Investments LP) (the Trading Advisor) is the trading advisor of the Fund. The Trading Advisor trades the BlueTrend Program (the Trading Program) for the Fund. The Trading Advisor has delegated the day-to-day operation of the Trading Program to an affiliated sub-investment manager, Systematica Investments Jersey Limited and may in the future delegate to other affiliated sub-investment managers.
Effective as of January 1, 2015 Systematica Investments Limited replaced BlueCrest Capital Management Limited as the trading advisor for the Fund. The Trading Advisor trades the BlueTrend Program (the Trading Program) for the Fund. BlueCrest Capital Management Limited (the Former Trading Advisor) transferred assets and liabilities to Systematica Investments Limited (the New Trading Advisor). The Former Trading Advisor and the New Trading Advisor have informed MLAI that this restructuring was undertaken as a result of the Former Trading Advisors spinning off the Trading Program into a separate advisory firm.
Merrill Lynch Alternative Investments LLC (MLAI, the Sponsor or the Managing Member) is the sponsor and manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation. Bank of America Corporation and its affiliates are referred to herein as BofA Corp.. Merrill Lynch, Pierce, Fenner & Smith Incorporated (MLPF&S) is currently the exclusive clearing broker for the Fund. The Sponsor may select other parties as clearing broker(s). Merrill Lynch International (MLI) is the primary foreign exchange (F/X) forward prime broker for the Fund. The Sponsor 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 BofA Corp. 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 BofA Corp. FuturesAccess Funds currently are composed of direct-trading funds advised by a single trading advisor. 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 participating in FuturesAccess employs different technical, fundamental, systematic and/or discretionary trading strategies.
The Trading Advisor is registered under the Investment Advisers Act of 1940. The Trading Advisor may delegate any of its duties and obligations under the Advisory Agreement to any of its duly appointed sub-investment managers (each a Trading Advisor Subsidiary), including, but not limited to, Systematica Investments Jersey Limited; provided that the Trading Advisor shall act in good faith and shall exercise reasonable skill and care in the selection, use and monitoring of the Trading Advisor Subsidiary.
The Trading Program is a systematic trend follower, but its decision-making inputs are 100% technical. The Trading Program focuses on daily futures and liquid OTC instruments across 150+ markets in equity indexes, fixed income, F/X, energy, metals, agriculturals and soft commodities. See Trading Advisors Trading Program, below.
The Fund issues units of limited liability company interest (Units) which are privately offered pursuant to Regulation D of the Securities Act of 1933, as amended (the Securities Act).
The Fund calculates the Net Asset Value per Unit of each Class of Units as of the last calendar day of each month and as of any other dates MLAI may determine in its discretion (each, a Calculation Date). The Funds Net Asset Value as of any Calculation Date generally equals the value of the Funds account under the management of the Trading Advisor as of that date, plus any other assets held by the Fund, minus accrued Sponsor, management and performance fees, trading liabilities, including brokerage commissions, any offering or operating costs, and all other liabilities of the Fund. MLAI or its delegates are authorized to make all Net Asset Value determinations.
As of December 31, 2015, the Net Asset Value of the Fund was $33,879,085. As of December 31, 2015, the Net Asset Value per Unit was $1.0657 for Class A, $1.0011 for Class C, $0.9407 for Class D, $1.0981 for Class I and $1.0191 for Class M. Effective as of April 30, 2015 all Class DS Units were redeemed. Effective as of December 31, 2015 all Class DT Units were redeemed.
Since the Fund began trading activities, the highest and lowest period-end Net Asset Value per Unit are listed below. The highest period-end Net Asset Value per Unit for Class A was $1.2738 (April 30, 2011) and the lowest was $0.9398 (March 31, 2014). The highest period-end Net Asset Value per Unit for Class C was $1.2538 (April 30, 2011) and the lowest was $0.8984 (March 31, 2014). The highest period-end Net Asset Value per Unit for Class D was $1.3027 (April 30, 2011) and the lowest was $0.9050 (June 30, 2015). The highest period-end Net Asset Value per Unit for Class I was $1.2883 (April 30, 2011) and the lowest was $0.9617 (March 31, 2014). The highest period-end Net Asset Value per Unit for Class DS was $1.5347 (April 30, 2011) and the lowest was $1.0408 (September 30, 2008). The highest period-end Net Asset Value per Unit for Class DT was $1.2744 (March 31, 2015) and the lowest was $1.0036 (March 31, 2014). The highest period-end Net Asset Value per Unit for Class M was $1.1023 (March 31, 2015) and the lowest was $0.8755 (March 31, 2014).
The Net Asset Value of the Fund is generally calculated in accordance with generally accepted accounting principles in the United States of America (U.S. GAAP). However, the Funds Limited Liability Company Operating Agreement allows MLAI to depart from U.S. GAAP in calculating the Funds Net Asset Value for all purposes other than for financial statement purposes, including for purposes of subscriptions and redemptions and fee calculations, if MLAI determines in its good-faith discretion that this departure is advisable in order to better reflect the true value of any asset or amount of any liability, or to further the fair and equitable treatment of investors. MLAI may depart from U.S. GAAP in calculating the Funds Net Asset Value for these purposes if, for example, it determines that application of U.S. GAAP would cause an expense to be taken in a particular fiscal period and therefore borne only by investors who hold Units during such period but MLAI determines that it is more appropriate to spread such expense over additional fiscal periods. In the event that MLAI departs from U.S. GAAP in calculating the Funds Net Asset Value for purposes of subscriptions and redemptions, calculation of fees and other non-financial statement purposes, the Funds audited financial statements will continue to be determined in accordance with U.S. GAAP.
(b) Financial Information about Segments:
The Funds business constitutes only one segment for financial reporting purposes, i.e., a speculative commodity pool. The Fund does not engage in sales of goods or services.
(c) Narrative Description of Business:
Advisory Agreement Term
The Fund and MLAI are parties to an Advisory Agreement with the Trading Advisor. The Advisory Agreement will continue in effect until December 31, 2016. Thereafter, the Advisory Agreement will be automatically renewed for successive one-year periods, on the same terms, unless terminated by either the Trading Advisor or the Fund upon 120 days written notice to the other party. The Advisory Agreement may, however, be terminated at any time pursuant to any of the following: (i) the Trading Advisor may terminate the Advisory Agreement upon 90 days written notice in the event that the Trading Advisor independently determines not to pursue, for any accounts, the trading strategy in which the Trading Advisor engages on behalf of the Fund; and (ii) the Fund and/or MLAI, on the one hand, or the Trading Advisor, on the other, may terminate the Advisory agreement as a result of a material breach of the Advisory Agreement by the other party, after due notice and an opportunity to cure. The Advisory Agreement will also terminate immediately if the Fund is terminated and dissolved as determined by MLAI.
Trading Advisors Trading Program
The Trading Program is a systematic trend follower, but its decision-making inputs are technical. The Trading Advisor aims to apply scientific techniques to the analysis and modeling of markets. The Fund trades daily futures and liquid OTC instruments across 150+ markets in equity indexes, fixed income, F/X, energy, metals, agriculturals and soft commodities.
The Trading Programs systematic trading team combines research/model development, implementation and execution functions. The Funds portfolio construction is regularly reviewed.
The trading strategy utilized by the Fund is a systematic trading model. Capital allocation decisions between the models, between the markets within a model and individual buy and sell decisions within such markets are made on a systematic basis using quantitative analysis.
Although the Trading Advisors Trading Program is continually evolving, there were no fundamental or material changes to the Trading Program during the 2015 fiscal year
Forward Contracts and Counterparties
Currently, the only forward contracts entered into by the Fund are currency forwards. MLI is the only counterparty to these forward contracts. In the future the Fund may enter into other types of forwards and/or use other counterparties. The standard terms of forward contracts entered into by the Fund are the term, the currency, the exchange rate, the principal amount and, in some cases the definition of a disruption event, i.e., a contingency pricing and settlement mechanism if an event occurs that causes the unavailability of the relevant exchange rate. Forwards are governed by International Swaps and Derivatives Association documentation, and, in some cases, also by EMTA, Inc. documentation.
Employees
The Fund has no employees.
Use of Proceeds and Cash Management Income
Subscription Proceeds
The Funds cash is used as security for and to pay the Funds trading losses as well as its expenses and redemptions. The primary use of the proceeds of the sale of the Units is to permit the Trading Advisor to trade on a speculative basis in a wide range of commodities on behalf of the Fund. While being used for this purpose, the Funds assets are also generally available for cash management, as described below under Cash Management and Interest.
Markets
The Fund trades daily futures and liquid OTC instruments across 150+ markets in equity indexes, fixed income, F/X, energy, metals, agricultural and soft commodities.
The Fund trades on a variety of United States and foreign futures exchanges as well as OTC. The Funds commitments to different types of markets U.S. and non-U.S., regulated and non-regulated may differ from time to time, as well as over time. The Fund has no policy restricting its relative commitment to any of these different types of markets.
CONDENSED SCHEDULES OF INVESTMENTS
The Funds investments, defined as net unrealized profit (loss) on open contracts on the Statements of Financial Condition, as of December 31, 2015 and 2014, are as follows:
December 31, 2015
|
|
Long Positions |
|
Short Positions |
|
Net Unrealized |
|
|
|
|
| |||||||||||
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
| |||
Sector |
|
Contracts/Notional* |
|
Profit (Loss) |
|
Members Capital |
|
Contracts/Notional* |
|
Profit (Loss) |
|
Members Capital |
|
on Open Positions |
|
Members Capital |
|
Maturity Dates |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Agriculture |
|
49 |
|
$ |
(8,940 |
) |
-0.03 |
% |
(453 |
) |
$ |
235,860 |
|
0.70 |
% |
$ |
226,920 |
|
0.67 |
% |
March 2016 |
|
Currencies-Forwards* |
|
47,118,237 |
|
61,597 |
|
0.18 |
% |
(58,341,822 |
) |
(126,242 |
) |
-0.37 |
% |
(64,645 |
) |
-0.19 |
% |
March 2016 |
| |||
Energy |
|
|
|
|
|
0.00 |
% |
(256 |
) |
218,018 |
|
0.64 |
% |
218,018 |
|
0.64 |
% |
January 2016 - April 2016 |
| |||
Interest rates |
|
758 |
|
(88,889 |
) |
-0.26 |
% |
(584 |
) |
5,166 |
|
0.01 |
% |
(83,723 |
) |
-0.25 |
% |
March 2016 - December 2019 |
| |||
Metals |
|
194 |
|
7,031 |
|
0.02 |
% |
(280 |
) |
195,391 |
|
0.58 |
% |
202,422 |
|
0.60 |
% |
January 2016 - April 2016 |
| |||
Stock indices |
|
93 |
|
(31,689 |
) |
-0.09 |
% |
(297 |
) |
(101,010 |
) |
-0.30 |
% |
(132,699 |
) |
-0.39 |
% |
January 2016 - March 2016 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total |
|
|
|
$ |
(60,890 |
) |
-0.18 |
% |
|
|
$ |
427,183 |
|
1.26 |
% |
$ |
366,293 |
|
1.08 |
% |
|
|
December 31, 2014
|
|
Long Positions |
|
Short Positions |
|
Net Unrealized |
|
|
|
|
| |||||||||||
Commodity Industry |
|
Number of |
|
Unrealized |
|
Percent of |
|
Number of |
|
Unrealized |
|
Percent of |
|
Profit (Loss) |
|
Percent of |
|
|
| |||
Sector |
|
Contracts/Notional* |
|
Profit (Loss) |
|
Members Capital |
|
Contracts/Notional* |
|
Profit (Loss) |
|
Members Capital |
|
on Open Positions |
|
Members Capital |
|
Maturity Dates |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Agriculture |
|
237 |
|
$ |
(197,940 |
) |
-0.23 |
% |
(280 |
) |
$ |
(49,009 |
) |
-0.06 |
% |
$ |
(246,949 |
) |
-0.29 |
% |
March 2015 |
|
Currencies-Forwards* |
|
79,830,267 |
|
(490,902 |
) |
-0.57 |
% |
(112,103,635 |
) |
1,174,327 |
|
1.36 |
% |
683,425 |
|
0.79 |
% |
March 2015 |
| |||
Energy |
|
|
|
|
|
0.00 |
% |
(101 |
) |
614,270 |
|
0.71 |
% |
614,270 |
|
0.71 |
% |
January 2015 - April 2015 |
| |||
Interest rates |
|
3,925 |
|
1,658,552 |
|
1.92 |
% |
|
|
|
|
0.00 |
% |
1,658,552 |
|
1.92 |
% |
March 2015 - December 2018 |
| |||
Metals |
|
332 |
|
(1,654,290 |
) |
-1.91 |
% |
(407 |
) |
1,332,879 |
|
1.54 |
% |
(321,411 |
) |
-0.37 |
% |
January 2015 - April 2015 |
| |||
Stock indices |
|
870 |
|
847,057 |
|
0.98 |
% |
(171 |
) |
(415,100 |
) |
-0.48 |
% |
431,957 |
|
0.50 |
% |
January 2015 - April 2015 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Total |
|
|
|
$ |
162,477 |
|
0.19 |
% |
|
|
$ |
2,657,367 |
|
3.07 |
% |
$ |
2,819,844 |
|
3.26 |
% |
|
|
*Currencies-Forwards present notional amounts as converted to USD.
No individual contracts unrealized profit or loss comprised greater than 5% of Members Capital as of December 31, 2015 and December 31, 2014. With respect to each commodity industry sector listed in the above chart, the net unrealized profit (loss) on open positions is the sum of the unrealized profits (losses) of long positions and short positions, netting unrealized losses against unrealized profits as applicable. Net unrealized profit and loss provides a rough measure of the exposure of the Fund to the various sectors as of the date listed, although such exposure can change at any time.
Margin
When a futures or options on futures position is established, initial margin is calculated by the exchange on which the position is listed and deposited with a Futures Commission Merchant (FCM) that is a member of the clearinghouse through which transactions on the relevant exchange are cleared. An FCM must, in turn, deposit initial margin with the clearinghouse to secure its obligations to the clearinghouse with respect to the positions of its customers. The amount of both the traders initial margin payment to the FCM and the FCMs initial margin payment to the clearinghouse are determined on the basis of risk, taking into account the price and volatility of the commodity underlying the position and, in certain cases, the offsetting risks that exist within a portfolio of positions. On most exchanges, at the close of each trading day variation margin, representing the unrealized gain or loss on the open positions, is either credited to or debited from an account. A trader must maintain a minimum margin level for each outstanding futures position known as maintenance margin, which is set by the relevant exchange and based on the risk of the futures position, often a set percentage of the initial margin. If variation margin payments cause the initial margin to fall below maintenance margin levels, a margin call is made, requiring the trader to deposit additional margin or have its position closed out. A clearinghouse may have maintenance margin requirements for member FCMs. An FCM may require a higher level of initial margin and maintenance margin from the trader than the clearinghouse requires from the FCM, but generally will not allow lower margin levels. Margin is also required to be posted with counterparties when making investments through forward, swap or other OTC instruments. The counterparties calculate margin based on the risk of the underlying commodity and will deposit margin with each other based on a previously agreed upon schedule. In general, approximately 10% to 30% of the Funds assets are expected to be committed as margin for futures or options on futures positions at any one time, although these amounts could be substantially higher or lower. The Funds exposure and liability are not limited to the amount placed on margin, but are based on the total value of the futures contracts being traded. Fund assets not committed to margin will be held in cash or cash equivalents and will earn interest as described below.
As of December 31, 2015 the Fund employed $3,754,903 and $3,504,600 as initial margin to support futures and forward positions, respectively, representing approximately 7.78% and 7.26% respectively, of the Funds total assets as of such date.
Custody of Assets
The Funds financial assets consist primarily of cash, futures and OTC FX forward and spot positions. In addition, the Fund has authority to trade options on futures and forwards and certain other OTC derivatives including swaps, but these contracts typically represent a small percentage of the Funds financial assets, if any are traded at all.
Futures and OTC forwards and other instruments typically constitute a predominant amount of the Funds investment risk, but the notional value of these instruments is not included on the Funds balance sheet.
The vast majority of the net assets of the Fund is, and has historically been, held in the form of cash. The Funds cash is used in various ways. It can be:
· posted as margin with MLPF&S in segregated or secured accounts in connection with commodities trading on regulated exchanges;
· pledged as collateral to MLI for OTC forwards or options on forwards or to other OTC prime brokers for other OTC investments;
· deposited in savings or demand deposit accounts with the Funds custodian or other banking institutions, both in the United States and internationally;
· held in securities brokerage accounts maintained with MLPF&S; and
· held in segregated or secured accounts with MLPF&S, which generally invests the cash in short-term high-quality securities or other instruments viewed as cash equivalents.
Typically the vast majority of the Funds assets are held in segregated or secured accounts with MLPF&S. In general, approximately 10% to 30% of the Funds assets are expected to be required as margin or collateral at any one time. Approximately 90% of the Funds assets are held in customer segregated accounts at MLPF&S pursuant to applicable Commodity Futures Trading Commission (CFTC) regulations to margin U.S. exchange-traded futures contracts and options thereon, or in customer secured accounts at MLPF&S and used to margin futures trading on non-U.S. exchanges pursuant to CFTC regulations. The remaining approximately 10% is expected to be deposited with MLI, other OTC prime brokers, or one or more third-party collateral custodians as margin for OTC trades. These amounts could be substantially higher or lower and there is no obligation to maintain margin or collateral within these or any other specific ranges.
Assets held in segregated or secured accounts at MLPF&S may be invested only in CFTC-permitted investments, which include U.S. government and government agency securities, commercial paper and corporate notes and bonds guaranteed by the U.S. government, and money market mutual funds. Under the applicable regulations, such permitted investments are subject to instrument and issuer based concentration and time to maturity limits and must be managed with the objectives of preserving principal and maintaining liquidity.
Cash deposited in savings or demand deposit accounts with the Funds custodian or other banking institutions may be in excess of the limits on federal insurance for deposits, and thus not insured by the Federal Deposit Insurance Corporation (FDIC), and would be subject to the risk of bank failure.
MLAI, as sponsor of the Fund, has a general policy of maintaining clearing and prime brokerage arrangements with its BofA Corp. affiliates, such as MLPF&S and MLI, although MLAI may, nevertheless, engage unaffiliated service providers as clearing brokers or prime brokers for the Fund. Other affiliates may from time to time be involved in the clearing, custody or investment of the Funds assets, including as prime brokers. However, the vast majority of the Funds assets are held with, and therefore subject to the credit risk of, MLPF&S. MLAI believes that its policy is in the best interest of investors due to the enhanced dependability and quality of service provided by MLPF&S and MLI to FuturesAccess as a result of MLAIs relationship and shared corporate infrastructure with these affiliates. In addition, MLAI believes that MLPF&S is well capitalized and that the Fund benefits from the transparency provided to MLAI, as an affiliate of MLPF&S, into the controls MLPF&S has implemented to comply with the various regulatory requirements designed to protect customer funds. However, there nonetheless exists a substantial risk of loss with respect to each of the above custody arrangements in the event of the bankruptcy or insolvency of MLI or MLPF&S if it does not properly segregate customer funds. See Risk Factors Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges below for a more detailed discussion of these risks.
Subject to the interest income arrangements discussed below, each BofA Corp. entity holding Fund assets, including MLPF&S, retains the additional economic benefit derived from possession and investment of those assets for the entitys own account.
Cash Management and Interest
MLAI is primarily responsible for the placement of the Funds cash assets with MLPF&S or other brokers. In exercising this responsibility, MLAIs primary considerations are safety of assets, seeking interest income, and the services provided by custodians. A vast majority of the Funds cash has historically been held in futures brokerage accounts with affiliates. To a smaller degree, the Funds cash assets may be held with the Funds bank custodian, which is at present the administrator.
MLAI retains the ability to change its cash management practices at any time, including by transferring a majority of the Funds cash assets to the Funds custodial bank accounts or other bank accounts. Bank deposits may be in either savings accounts that pay interest, or demand deposit accounts, which may or may not pay interest and which may or may not be subject to FDIC insurance. Any of these banks may be affiliated with MLAI if MLAI believes that to be in the best interests of the investors in the Fund.
MLPF&S and any other BofA Corp. affiliates that hold the Funds cash receive economic benefits, which may be substantial, from holding this cash, even in low interest rate environments in which the Fund receives little or no interest on these cash assets.
BofA Corp.s Interest Earning Program, which offers interest on cash balances subject to a negotiated schedule, will generally apply to Fund cash assets during any time they are maintained by MLAI with its affiliates. The present interest rate under the Interest Earning Program on U.S. dollar cash balances is the daily effective federal funds rate less 20 basis points, recalculated and accrued daily, and subject to a floor of 0%. The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers and is calculated by the Federal Reserve Bank of New York using data provided by the brokers. Interest is computed based upon the daily net equity balance of the Funds account and is posted to the Funds account on a monthly basis.
MLPF&S, in the course of acting as commodity broker for the Fund, will have use of Fund cash and earn interest and receive other economic benefits as a result. The interest income arrangements with regard to cash held with MLPF&S will be equivalent with those under the Interest Earning Program as discussed above.
Charges
The following table summarizes the charges incurred by the Fund for the years ended December 31, 2015, 2014 and 2013.
|
|
2015 |
|
2014 |
|
2013 |
| |||||||||
Charges |
|
Dollar |
|
% of Average |
|
Dollar |
|
% of Average |
|
Dollar |
|
% of Average |
| |||
Other Expenses |
|
$ |
552,393 |
|
0.92 |
% |
$ |
531,241 |
|
0.57 |
% |
$ |
475,775 |
|
0.31 |
% |
Sponsor fee |
|
772,655 |
|
1.28 |
% |
882,045 |
|
0.95 |
% |
937,658 |
|
0.62 |
% | |||
Management fee |
|
896,970 |
|
1.49 |
% |
1,770,108 |
|
1.92 |
% |
2,951,301 |
|
1.95 |
% | |||
Performance fee |
|
612,282 |
|
1.02 |
% |
|
|
0.00 |
% |
49,399 |
|
0.03 |
% | |||
Total |
|
$ |
2,834,300 |
|
4.71 |
% |
$ |
3,183,394 |
|
3.44 |
% |
$ |
4,414,133 |
|
2.91 |
% |
The foregoing table does not reflect: (i) the bid-ask spreads paid by the Fund on it forward trading, (ii) brokerage commissions, (iii) the benefits which may be derived by BofA Corp. from the deposit of certain of the Funds U.S. dollar assets maintained at MLPF&S, or (iv) sales commissions payable in connection with the sales of Class A, Class D and Class I Units of the Fund. Bid-ask spreads and brokerage commissions are components of the trading profit or loss of the Fund which are netted against realized and unrealized trading gains or losses in determining trading profit or loss. Benefits derived by BofA Corp. from the deposit of the Funds assets at MLPF&S are neither a direct expense of the Fund nor readily quantifiable. Aggregate sales commissions are not included in the table of charges because they are not an expense of the Fund, but rather are paid to MLPF&S out of an investors subscription proceeds and therefore reduce the amount invested in the Fund by the investor.
The Funds average month-end Net Asset Values during 2015, 2014 and 2013 equaled $60,251,788, $92,425,259 and $151,678,934, respectively.
During 2015, the interest income of the Fund was $2,004, or approximately 0.00% of the Funds average month-end Net Asset Values During 2014, the interest income of the Fund was $3,304, or approximately 0.00% of the Funds average month-end Net Asset Values. During 2013, the interest income for the Fund was $2,577, or approximately 0.00% of the Funds average month-end Net Asset Values.
Description of Current Charges
Recipient |
|
Nature of Payment |
|
Amount of Payment |
|
|
|
|
|
MLPF&S |
|
Brokerage commissions |
|
During 2015, 2014 and 2013, the average round-turn (each purchase and sale or sale and purchase of a single futures contract) rate of the Funds brokerage commissions were approximately $5.91, $7.04 and $6.64, respectively. |
|
|
|
|
|
MLPF&S |
|
Use of assets |
|
BofA Corp. may derive an economic benefit from the deposit of certain of the Funds U.S. dollar assets in accounts maintained at MLPF&S. |
|
|
|
|
|
MLAI |
|
Sponsor fees |
|
The Fund charges Sponsor fees on the month-end Net Asset Value at annual rates equal to 1.5% for Class A Units, 2.5% for Class C Units, and 1.1% for Class I Units. Class D Units and Class M Units are not charged Sponsor fees. No Sponsor fees are charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on BofA Corp. managed accounts in which the Class M Units are held |
|
|
|
|
|
MLPF&S |
|
Sales commissions |
|
Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investors gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to MLPF&S up to 2.5% of an investors gross subscription amount. |
|
|
|
|
Sales commissions are directly deducted from subscription amounts. Class C Units and Class M Units are not subject to upfront sales commissions. No upfront sales commission is charged to Class M Units because investors purchasing Class M Units are subject to asset-based fees on BofA Corp. managed accounts in which the Class M Units are held. |
|
|
|
|
|
MLI (or an affiliate); Other counterparties |
|
Bidask spreads |
|
Bidask spreads are not accounted for separately as an accounting item because bid-ask spreads are an integral part of the price paid or received on all contracts for the purposes of generally accepted accounting principles. |
|
|
|
|
|
MLI (or an affiliate); Other counterparties |
|
EFP differentials |
|
Certain of the Funds currency trades may be executed in the form of exchange of futures for physical transactions, in which a counterparty (which may be MLI or an affiliate) receives an additional differential spread for exchanging the Funds cash currency positions for equivalent futures positions. |
|
|
|
|
|
Trading Advisor and MLAI |
|
Performance fees |
|
The Fund pays a 25% annual performance fee to the Trading Advisor with respect to all Classes of Units. The performance fee is calculated based on any increase in the aggregate Net Asset Value of the Classes of Units subject to the same rate of performance fees (Class Group), taken together, in excess of the Class Groups highest Net Asset Value as of any previous December 31, after adjustment for subscriptions and the performance fee then paid (High Water Mark). The increase in Net Asset Value on which Performance fees are calculated is prior to reduction for Sponsor fees. The performance fee is also paid on net redemptions, and the High Water Mark is proportionately reduced. Net Asset Value for purposes of calculating the performance fee does not include any interest income earned by the Fund. |
|
|
|
|
|
Trading Advisor and MLAI |
|
Management fees |
|
The Fund pays monthly management fees to the Trading Advisor based on the month-end Net Asset Value of the Fund (prior to the reduction for the management fees being calculated and any accrued performance fees or Sponsor fees). The management fee rate is 1.5% per year for all Classes of Units, except for Class DT Units which is charged a 1.0% annual rate. The Trading Advisor has agreed to share with MLAI an amount equal to 0.65% of the gross asset value attributable to the Units issued by the Fund, excluding Class DT Units. The Trading Advisor fee sharing arrangement with MLAI is in order to defray costs in connection with and in consideration of BofA Corp. providing certain administrative and operational support for the Fund. |
|
|
|
|
|
Others |
|
Operating expenses of Fund including audit, legal and tax services |
|
Actual payments to third parties. |
|
|
|
|
|
MLAI |
|
Ongoing offering costs |
|
Actual costs incurred. |
Regulation
The CFTC has delegated to the National Futures Association (NFA) responsibility for the registration of commodity trading advisors, commodity pool operators, futures commission merchants, introducing brokers and their respective associated persons, and floor brokers and floor traders. The Commodity Exchange Act (CEA) requires commodity pool operators such as MLAI, commodity trading advisors such as the Trading Advisor and commodity brokers or FCMs such as MLPF&S to be registered and to comply with various reporting and record keeping requirements. CFTC regulations also require FCMs to maintain a minimum level of net capital. In addition, the CFTC and certain commodities exchanges have established limits referred to as speculative position limits on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options contracts traded on U.S. commodities exchanges. All accounts owned or managed by the Trading Advisor will be combined for position limit purposes. The Trading Advisor could be required to liquidate positions in order to comply with such limits. Any such liquidation could result in substantial costs to the Fund. In addition, many futures exchanges impose limits beyond which the price of a futures contract may not trade during the course of a trading day, and there is a potential for a futures contract to reach its daily price limit for several days in a row, making it impossible for the Trading Advisor to liquidate a position and thereby experiencing dramatic losses. Currency forward contracts are not regulated as swaps under the CEA, but are subject to governmental regulation such as mandatory reporting and business conduct standards for swap dealers and major swap participants to the extent otherwise applicable to swaps under the CEA and applicable rules of the CFTC, see Item 1A Risk FactorsF/X Forward Trading and Regulatory Changes Could Restrict the Funds Operations.
Other than in respect of the registration requirements pertaining to the Funds securities under Section 12(g) of the Securities Exchange Act of 1934 (the Securities Exchange Act) the Fund is generally not subject to regulation by the Securities and Exchange Commission (the SEC). However, MLAI is registered as an investment adviser under the Investment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the Financial Industry Regulatory Authority (FINRA).
(d) Financial Information about Geographic Areas
The Fund does not engage in material operations in foreign countries, nor is a material portion of the Funds revenue derived from customers in foreign countries.
The Fund trades on a number of foreign commodity exchanges. The Fund does not engage in the sales of goods or services.
Item 1A: Risk Factors
Past Performance Not Necessarily Indicative of Future Results
There can be no assurance that the Trading Program will produce profitable results. The past performance of the Fund or the Trading Advisor is not necessarily indicative of how the Fund or the Trading Advisor may perform in the future. There can be no assurance that the Fund will achieve its investment objectives or avoid substantial or total loss. The Fund may sustain losses under future market conditions that are similar to conditions in which it may have achieved gains in the past.
Volatile Markets; Highly Leveraged Trading
Trading in the futures and OTC markets typically results in volatile performance. Market price levels fluctuate dramatically and may be materially affected by unpredictable factors such as weather and governmental intervention. The low margin requirements normally required in futures and OTC trading permit an extremely high degree of economic leverage. This combination of leverage and volatility creates a high degree of risk. Additionally, although the Trading Advisor may initiate stop-loss orders on certain positions to limit this risk, there can be no assurance that any stop-loss order will be executed or, even if executed, that it will be executed at the desired price or time.
Importance of General Market Conditions
Neither MLAI nor the Trading Advisor can predict or control overall market or economic conditions. These conditions, however, can be expected to have a material effect on the performance of the Trading Program.
The Fund may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to the Fund from its banks, dealers and other counterparties is typically reduced in disrupted markets, which may result in substantial losses to the Fund. Market disruptions may from time to time cause dramatic losses for the Fund and can result in the Trading Advisors strategy performing with unprecedented volatility and risk.
Managed Futures Trading Strategies and Trading Systems
Trend-Following Systems. Many managed futures trading systems are trend-following systems generally anticipate that a majority of their trades will be unprofitable and seek to achieve overall profitability by substantial gains made on a limited number of positions. These strategies are generally only successful in markets in which strong price trends occur. In stagnant markets in which these trends do not occur, or in whipsaw markets in which apparent trends develop but then quickly reverse, trend-following trading systems are likely to incur substantial losses. Furthermore, the profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data, on which technical trading systems are based, only marginally relevant to future market patterns.
Discretionary Strategies. The Trading Advisor may utilize a discretionary, rather than systematic, trading strategy. Discretionary trading advisors may allow emotion to affect trading decisions and may exhibit a lack of discipline in their trading that systematic strategies are designed to avoid. Relying on subjective trading judgment may produce less consistent results than those obtained by more systematic approaches.
Technical Analysis and Trading Systems. The Trading Advisor may employ technical analysis and/or technical trading systems. Technical strategies rely on information intrinsic to the market itself to determine trades, such as prices, price patterns, volume and volatility. These strategies can incur major losses when factors exogenous to the markets themselves, including political events, natural catastrophes, acts of war or terrorism, dominate the markets. The widespread use of technical trading systems frequently results in numerous managers attempting to execute similar trades at or about the same time, altering trading patterns and affecting market liquidity.
Fundamental Analysis. The Trading Advisors strategy may rely on fundamental analysis. Fundamental analysis is premised on the assumption that markets are not perfectly efficient, that informational advantages and mispricings do occur and that econometric analysis can identify trading opportunities. Fundamental analysis may result in substantial losses if these economic factors are not correctly analyzed, not all relevant factors are identified and/or market forces cause mispricings to continue despite the traders having correctly identified mispricings. Fundamental analysis may also be more subject to human error and emotional factors than technical analysis.
Quantitative Trading. The Trading Advisor may engage in quantitative trading. Quantitative trading strategies are highly complex, and, for their successful application, require relatively sophisticated mathematical calculations and relatively complex computer programs. These programs anticipate that many of their trades may be unprofitable, seeking to achieve overall profitability through recognizing major profits on a limited number of positions while cutting losing positions quickly. These trading strategies are dependent upon various computer and telecommunications technologies and upon adequate liquidity in the markets traded. The successful execution of these strategies could be severely compromised by, among other things, a diminution in the liquidity of the markets traded, telecommunications failures, power loss and software-related system crashes. There are also periods when even an otherwise highly successful system incurs major losses due to external factors dominating the market, such as natural catastrophes and political interventions. Due to the high trading volume of quantitative trading strategies, the resulting transaction costs may be significant. In addition, the difference between the expected price of a trade and the price a trade is executed at, or slippage, may be significant and may result in losses.
Importance of Market Judgment
Although the Trading Advisor may use systematic or quantitative valuation models in evaluating the economic components of many prospective trades, the market judgment and discretion of the Trading Advisors personnel are often fundamental to the implementation of the Trading Program. The greater the importance of subjective factors, the more unpredictable a trading strategy becomes. The Trading Advisor may not have the same access to market information as do certain of its competitors, and the market decisions made by the Trading Advisor will, accordingly, often be based on less information and analysis than those available to competing investors.
F/X Forward Trading
The Fund may trade currencies in the F/X Markets, in addition to its trading in the futures markets, including by trading in F/X forward contracts. Prospective investors must recognize that F/X forward trading takes place in unregulated markets, rather than on futures exchanges or swap execution facilities, and may, but does not now, take place through retail F/X Markets subject to the jurisdiction of the CFTC or other regulatory bodies. The responsibility for performing under a particular forward transaction currently rests solely with the counterparties to that transaction, not with any exchange or clearinghouse. As a result, the Fund is exposed to the credit risk of the OTC counterparties with which it trades F/X forwards and deposits collateral, including that of MLI. See Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges in this section below.
The Fund is also subject to the risk that a forward counterparty may not settle a transaction in accordance with its terms, because the counterparty is unwilling or unable to do so, potentially resulting in significant losses. A counterpartys failure to perform could occur in respect of an offsetting forward contract on which the Fund remains obligated to perform. The Fund will not, however, be excused from performance under any forward contracts into which it has entered due to defaults under other forward contracts. In addition, counterparties to forwards generally have the right to terminate trades under a number of circumstances including, for example, declines in the Funds net assets and certain key person events. Any premature termination of the Funds currency forward trades could result in significant losses for the Fund, because the Fund may be unable to quickly re-establish those trades and may only be able to do so at disadvantageous prices. Forward market counterparties are under no obligation to enter into forward transactions with the Fund, including transactions through which the Fund is attempting to liquidate open positions. In addition, the prices offered for the same forward contract may vary significantly among different forward market participants.
As a result of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank), the CFTC now regulates non-deliverable forwards as swaps, including deliverable forwards where the parties do not take delivery. Although non-deliverable forwards are not currently required to be executed in regulated markets, such as futures exchanges or swap execution facilities, this may change in the future. See Regulatory Changes Could Restrict the Funds Operations in this section below.
Dodd-Frank amended the definition of eligible contract participant, and the Fund expects to meet the amended definition so long as its total assets exceed $10 million. If the Fund does not meet the definition of eligible contract participant, it could lead to the Funds bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees. Retail forex markets could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Fund may be required to trade could be significantly weaker than the creditworthiness of MLI and the currency forward counterparties with which the Fund would otherwise engage for its currency forward transactions.
The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to Dodd-Frank might limit forward trading to less than that which MLAI would otherwise recommend, to the possible detriment of the Fund.
Derivatives Risks
The Trading Advisor uses derivative instruments, primarily futures and OTC F/X forwards, in implementing the Trading Program. The market for many types of these derivative instruments is comparatively illiquid and inefficient, creating the potential for substantial mispricings, as well as sustained deviations between theoretical and market value. In addition, the derivatives market is, in comparison to other markets, a relatively new market, and the events of 2008 and 2009, including the bailout of American International Group, Inc., demonstrated that even the most sophisticated market participants may misunderstand how the market in derivatives will perform during periods of unusual price volatility or instability, market illiquidity, or credit distress. The primary risks associated with the use of derivatives are model risk, market risk and counterparty risk.
The Funds investments in uncleared OTC derivatives are subject to greater risk of counterparty default and less liquidity than exchange-traded derivatives, although derivatives traded on regulated exchanges or execution facilities are subject to risk of failure of the exchange or facility on which they are traded and the clearinghouse through which they are guaranteed. Counterparty risk includes not only the risk of default and failure to pay mark-to-market amounts and return risk premium, if any, but also the risk that the market value of OTC derivatives will fall if the creditworthiness of the counterparties to those derivatives weakens.
In addition, there are increased risks associated with offshore OTC trading, including the risk that assets held by offshore brokers and unregulated trading counterparties may not benefit from the protection afforded to customer funds deposited with regulated FCMs or broker-dealers.
The prices of derivative instruments can be highly volatile. Price movements of derivative instruments are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies. In addition, governments from time to time intervene, directly and by regulation, in certain markets. This intervention often is intended directly to influence prices and may, together with other factors, cause all of such markets to move rapidly in the same direction because of, among other things, interest rate fluctuations.
There was substantial disruption in the derivatives markets related to the bankruptcies of Lehman Brothers Holdings, Inc. and MF Global Inc. and uncertainty relating to the government bailout of American International Group, Inc. This disruption and uncertainty can cause substantial losses if transactions are prematurely terminated, especially due to default when payment may be delayed or completely lost. Uncertainties in the derivatives markets continue due to proposed regulatory initiatives, new regulations requiring OTC derivatives clearing, and allegations of inappropriate behavior by market participants to cause or avoid payments under credit default swaps. See Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges in this section below.
Trading in Options
The Trading Advisor may trade options on futures contracts or options on F/X forward contracts. Although successful options trading requires many of the same skills as successful futures and forward trading, the risks involved are different. For example, the assessment of near-term market volatility, which is directly reflected in the price of outstanding options, can be of much greater significance in trading options than it is in many long-term futures strategies. The use of options can be extremely expensive if market volatility is incorrectly predicted. A purchaser of options is exposed to the risk of loss of the entire premium paid; a seller, or writer, of call options is exposed to the risk of theoretically unlimited loss, and the seller of put options is exposed to the risk of substantial loss far in excess of the premium received.
Exchange of Futures for Physicals
The Trading Advisor may engage in exchange of futures for physical (EFP) transactions on behalf of the Fund. As is the case with executing a transaction purely on an exchange or purely in the OTC market, EFP transactions, which are done partially on a futures exchange and partially in the OTC market, involve higher transaction costs.
Physical Commodities Trading
The Trading Advisor may engage in transactions that involve taking delivery of physical commodity assets such as agricultural commodities, freight, coal, oil, gas and electric power. These investments are subject to risks that are not typically directly applicable to other financial instruments, such as: destruction; loss; industry-specific regulation, such as pollution control regulation; operating failures; and work stoppages.
Physical commodities trading, as opposed to commodity futures trading, is substantially unregulated, and if the Fund engages in this type of trading, it will not be assured the same access to these markets as it might have in a regulated context.
Exchange Rate Risks; Currency Hedging
The Fund may invest and trade in currencies for speculative and/or hedging purposes. In addition, the Units are denominated, and the Fund values its assets in U.S. dollars and the Fund may trade and invest in assets denominated in non-U.S. currencies.
Currency-related investments are subject to the risk that the value of a particular currency will change in relation to the U.S. dollar, and the exchange rates of currencies may be highly volatile. Among the factors that may affect currency values are direct government intervention, which is often intended specifically to change currency values, trade balances, the level of short-term interest rates differences in the relative values of similar assets in different currencies, long-term opportunities for investment and capital appreciation and political developments.
While the Trading Advisor may from time to time hedge a certain amount of risks associated with currency trading, it is under no obligation to do so. Even if it chooses to do so, it is not economically feasible and often simply not
possible to fully or effectively hedge exchange-rate risks. In a number of cases, otherwise highly successful investment funds have incurred significant, and in certain instances total, losses due to the decline in the value of the currencies in which their investments were denominated or in which they were invested for speculative purposes.
Off-Balance Sheet Risk
The Fund may invest in financial instruments with off-balance sheet risk. These instruments include futures and forward contracts, swaps and options contracts sold short. In entering into these contracts, there exists a market risk that the contracts may be significantly influenced by conditions, such as interest rate volatility, resulting in the contracts becoming less valuable. An off-balance sheet risk is associated with a financial instrument if it exposes the investor to a loss in excess of the investors recognized asset carrying value in the financial instrument, if any, or if the ultimate liability associated with the financial instrument has the potential to exceed the amount that the investor recognizes as a liability in the investors statement of assets and liabilities.
In the past few years regulators have alleged that certain interest rate benchmarks that underlie various swap agreements had been manipulated for several years and multiple banks involved in setting such benchmarks are currently under investigation for this manipulation. Certain of these banks have been fined by, or entered into civil and criminal settlements with, various international regulators, including the U.S. Department of Justice, CFTC, and U.K. Financial Conduct Authority. In entering into swap agreements, the Fund relies on the integrity of interest rates and other benchmarks. If the level of these benchmarks is artificially influenced by market participants, the Fund could suffer losses.
Increased Assets Under Management
There appears to be a tendency for the rates of return achieved by managed futures advisors to decline as assets under management increase. The Trading Advisor has not agreed to limit the amount of additional equity which it may manage and may be at or near its all-time high in assets under management.
The aggregate capital committed to the managed futures sector in general is also near its all-time high. The more capital that is traded in these markets, or that is committed to any one particular strategy, the greater the competition for a finite number of positions and the less the profit potential for all strategies or for any particular strategy.
Dependence on Key Individuals
The success of the Fund is significantly dependent upon the expertise of one or more of the Trading Advisors principals. The loss of any one of these principals services may have a substantial impact on the performance of the Fund and may result in liquidation of the Fund which, if made at an inopportune time, may result in losses for the Fund.
Trading Advisor Risk
The Fund is subject to the risk of the bad judgment, negligence or misconduct of the Trading Advisor. There have been a number of instances in recent years in which private investment funds have incurred substantial losses due to manager misconduct.
Redemptions by Other Trading Advisor Fund Investors
Investors in other funds or accounts implementing the Trading Program or similar strategies may be able to redeem their investments more frequently or on less prior notice than Investors in the Fund. Redemptions by investors in these funds or withdrawals from accounts that have less restrictive redemption terms could have a material adverse impact on the Funds portfolio and could disadvantage investors in certain circumstances.
Trade Execution Risk
The Trading Advisor may use executing brokers unaffiliated with BofA Corp. In the event of a trading error, the Fund may have no effective remedy against these executing brokers.
Changes in Trading Program
The Trading Advisor may make material changes to the Trading Program without the knowledge of MLAI. It is virtually impossible for MLAI to detect these changes, particularly given the confidential, proprietary, systematic and/or quantitative nature of the Trading Program strategies, customarily referred to as black box strategies.
Illiquid Markets
Certain positions held by the Fund may become illiquid, preventing the Trading Advisor from acquiring positions otherwise indicated by the Trading Program or making it impossible for the Trading Advisor to close out positions against which the market is moving.
Most U.S. futures exchanges limit fluctuations in some futures contract prices during a single day by regulations referred to as daily price limits. During a single trading day no trades may be executed in these contracts at prices beyond the daily price limit. Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated. Futures prices have occasionally moved to 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. Also, the CFTC or exchanges may suspend or limit trading. Trading on non-U.S. exchanges may also be subject to price fluctuation limits and subject to periods of significant illiquidity. Trading in the F/X Markets and other OTC markets is not subject to daily limits, although OTC trading is also subject to periods of significant illiquidity.
Possible Effects of Speculative Position Limits
The CFTC and U.S. commodities exchanges have established limits referred to as speculative position limits on the maximum net long or net short speculative positions that any person may hold or control in any particular futures or options on futures contracts traded on U.S. commodities exchanges. All proprietary or client accounts owned or managed by the Trading Advisor are combined for purposes of calculating position limits. The Trading Advisor could be required to liquidate positions held for the Fund, or may not be able to fully implement the Trading Program, in order to comply with such limits, even though the positions attributable to the Fund do not themselves trigger the position limits or are a small portion of the aggregate positions directed by the Trading Advisor. Position limits could force the Fund to liquidate profitable positions, result in a tracking error between the Funds portfolio and the Trading Advisors standard trading program and cause the Fund to incur substantial transaction costs.
In October 2011, the CFTC adopted rules that, among other things, established a separate position limits regime for 28 so-called exempt, i.e., metals and energy, and agricultural futures and options contracts and their economically equivalent swap contracts. Position limits in spot months were generally set at 25% of the official estimated deliverable supply of the underlying commodity while position limits related to non-spot months were generally set at 10% of open interest in the first 25,000 contracts and 2.5% of the open interest thereafter. Those proposed speculative position limits were vacated by a United States District Court, but the CFTC has proposed a new set of speculative position limits which are not yet finalized. If the current proposal is approved, the size or duration of positions available to the Fund may be further limited.
In addition, Dodd-Frank significantly expands the CFTCs authority to impose position limits with respect to futures contracts, options on futures contracts, swaps that are economically equivalent to futures or options on futures, swaps that are traded on a regulated exchange and certain swaps that perform a significant price discovery function.
MLAI is subject to CFTC-imposed position limits through its control of the Fund, and will have to aggregate positions of certain FuturesAccess Funds in determining whether the position limits are reached. The CFTCs current position limit proposal would, if implemented in substance, in addition to expanding the contracts subject to CFTC-imposed position limits, narrow certain exemptions from the aggregation requirements, making it more likely that a party such as MLAI hiring multiple trading advisors may be required to aggregate the positions controlled by the various trading advisors. Although MLAI may claim an exemption from the aggregation requirements for the majority of FuturesAccess Funds, the aggregation of positions of certain FuturesAccess Funds may be required. If aggregation is required in the Funds case, the Trading Advisor may not be able to implement the Trading Program for the Fund in the same manner as for its other clients, causing the Fund to underperform other accounts utilizing the Trading Program, or the Fund may have to liquidate trading positions when the Trading Advisor would otherwise not advise doing so, resulting in losses to the Fund.
Any of the regulations discussed above could adversely affect the Fund in certain circumstances.
Trading on Non-U.S. Exchanges
The Trading Advisor may trade on futures exchanges outside the United States on behalf of the Fund. Trading on non-U.S. exchanges is not regulated by any U.S. government agency and may involve certain risks not applicable to trading on U.S. exchanges.
For example, some non-U.S. exchanges, in contrast to U.S. exchanges, are principals markets similar to the forward markets in which performance is the responsibility only of the individual member with whom the Fund has entered into a futures contract and not of any exchange or clearinghouse. In these cases, the Fund will be subject to the risk of the inability or refusal to perform with respect to the individual member with whom the Fund has entered into a futures contract.
Trading on non-U.S. exchanges may involve the additional risks of expropriation, burdensome or confiscatory taxation (including taxes on specific trading activities), moratoriums, exchange or investment controls and political or diplomatic disruptions, each of which might materially adversely affect the Funds trading activities. The Fund could incur substantial losses trading on non-U.S. exchanges to which it would not have been subject had the Trading Advisor limited its trading to U.S. markets.
The U.S. tax treatment of non-U.S. futures trading may be adverse compared to the tax treatment of U.S. futures trading. The profits and losses derived from trading non-U.S. futures and options will generally be denominated in non-U.S. currencies. Consequently, the Fund will be subject to exchange-rate risk in trading those contracts.
Foreign Exchange Controls
Governments in non-U.S. markets may impose F/X controls at will, making it impossible to convert local currency into other currencies. Should the Fund trade on futures exchanges outside the United States or otherwise invest in non-U.S. markets, these controls may effectively prevent Fund capital from being removed from a country where its futures contracts and other investments are traded. In addition, certain countries do not have fully convertible currencies as a matter of policy, adding cost or delay to the trading of currency investments by the Fund. The imposition of currency controls by a non-U.S. government may negatively affect performance and liquidity in the Fund as capital becomes trapped in that country.
Risk of Loss Due to the Bankruptcy or Failure of Counterparties, Custodians, Brokers and Exchanges
The Fund is exposed to the risk that the bankruptcy or insolvency of its trading counterparties and other entities holding Fund assets such as broker-dealers, FCMs, futures exchanges, clearinghouses, banks or other financial institutions, particularly MLPF&S, MLI and their affiliates could result in all or a substantial portion of the Funds assets being lost permanently or impounded for a matter of years pending the final disposition of legal proceedings. A bankruptcy or insolvency of this kind, or the threat of one, may cause MLAI to decide to liquidate the Fund or suspend, limit or otherwise alter trading, perhaps causing the Fund to miss significant profit opportunities.
MLAI has historically preferred BofA Corp. affiliates in clearing and prime brokerage relationships, and as a result has maintained the vast majority of its cash in futures brokerage accounts with its affiliates. This policy exposes the Fund to the specific credit risk of these BofA Corp. affiliates because balances in these accounts are not subject to FDIC or other form of deposit insurance against loss from failure of the BofA Corp. affiliate. Balances maintained with clearing brokers are, however, subject to the protections for customer segregated, cleared swaps customer accounts and secured accounts discussed below.
MLAIs policy that the Trading Advisor use MLPF&S and MLI may increase the risks of insolvency described above by preventing the diversification of brokers and counterparties used by the Fund.
MLAI may have limited control over the selection of counterparties by the Fund. The Fund also may not be restricted from dealing with any particular counterparty, regulated or unregulated, or from concentrating any or all of its transactions with a single counterparty or limited number of counterparties or from initially transacting, clearing or brokering with a non- BofA Corp. broker and from giving up those trades to MLPF&S or MLI. In addition, to the extent assets are held at entities other than MLPF&S and MLI, the Sponsor may have limited ability to assess the extent to which the Trading Advisor maintains the Funds assets in unregulated accounts subject to the bankruptcy of the counterparties holding such assets.
The following paragraphs discuss the various uses of the Funds assets and the risks of loss in addition to losses from trading associated with each use.
Margin for Commodities Trading. Although the Sponsor believes that MLPF&S is appropriately capitalized to function as the Funds FCM, cash posted as margin for commodities trading with MLPF&S is nevertheless subject to the risk of insolvency of MLPF&S. The Fund maintains cash deposits with MLPF&S in segregated accounts, which are required by CFTC regulations to be separate from its proprietary assets for futures and options trading on U.S. exchanges. Funds held in segregated accounts are intended to be readily identifiable as customer funds in the event of MLPF&Ss bankruptcy and are expected to be reserved for distribution to customers of MLPF&S. If MLPF&S did not
comply with the segregation requirement, however, the assets of the Fund might not be fully protected. Even given proper segregation, the Fund may be subject to a risk of loss of its funds because, although CFTC regulations require that FCMs invest customer funds only in certain types of interest bearing financial instruments, these instruments are still subject to credit and market risk. As a result, if the instruments in which customer segregated funds are invested lose value, there would be a shortfall in customer segregated funds held by MLPF&S in the event of MLPF&Ss insolvency.
In addition, there may be a shortfall in customer segregated funds held by MLPF&S in the event of a substantial default by one or more of MLPF&Ss other customers. If MLPF&S becomes insolvent, only a pro rata share of all property available for distribution to all of MLPF&Ss customers would be recovered, whether or not another customer also defaults and even if this property is held in segregated accounts.
In addition, if BofA Corp. directly or indirectly owns 10% or more of the Fund, which would typically result from BofA Corp. providing seed capital to the Fund to help ensure that the Fund has enough capital to commence trading activities, the Funds account at MLPF&S would be considered a proprietary account under CFTC regulations and the Funds assets, including assets used to margin U.S. exchange-traded futures and options, would not be protected as customer funds. If MLPF&S became insolvent at a time when the Funds assets on deposit with MLPF&S were not considered customer funds, the Fund would likely lose significantly more as a result of the bankruptcy than would otherwise be the case. Where BofA Corp. provides seed capital it also establishes a regular redemption schedule providing for withdrawal of the capital when the Fund capitalization reaches a certain level. Once BofA Corp.s ownership of a FuturesAccess Fund falls below 10%, the account of the FuturesAccess Fund will be considered a customer account rather than a proprietary account.
MLPF&S is required by CFTC regulations to maintain in a secured account the amount required to margin futures and options positions established on non-U.S. futures exchanges in order to protect customer funds in the event of MLPF&Ss bankruptcy. While the secured account requirement relating to trading non-U.S. futures exchanges is similar in some respects to the segregation requirement relating to trading on U.S. futures exchanges, they are not identical and there are special risks associated with funds maintained in a secured account. Funds held in a secured account may be commingled with funds of non-U.S. persons and, because they are by necessity held in a non-U.S. jurisdiction, are subject to different insolvency laws and customer protection regulations, which may be less favorable than U.S. laws and regulations. Moreover, funds transferred from a secured account to a non-U.S. FCM, exchange or clearing agency to margin trading on non-U.S. futures exchanges are not subject to the same limitations on permissible investments as funds held by U.S. FCMs. In addition to these special risks, funds held in a secured account are subject to risks comparable to those applicable to funds in a segregated account, namely that MLPF&S will not comply with the relevant regulations, that investments in the account will decline in value, of a shortfall in the event of the default by another customer, and that, if, BofA Corp. owns 10% or more of the Fund, the Funds assets will not be protected as customer funds.
If the Fund deposits assets with a particular entity and those assets are not held in segregation or in a secured account as customer funds for any of the reasons discussed above, in the event of the entitys insolvency the Fund could be a general creditor of the entity even with regard to property specifically traceable to the Funds account. As a result, the Funds claim would be paid along with the claims of other general creditors and the Fund would be subject to the loss of its entire deposit with the party.
To the extent the Fund enters into cleared swap transactions, the Fund will deposit collateral with MLPF&S in cleared swaps customer accounts, which are required by CFTC regulations to be separate from its proprietary collateral posted for cleared swaps transactions. Cleared swap customer collateral is subject to regulations that closely parallel the regulations governing customer segregated funds but provide certain additional protections to cleared swaps collateral in the event of an FCM or FCM customer default. For example, in the event of a default of both the FCM and a customer of the FCM, a clearing house is only permitted to access the cleared swaps collateral in the legally separate (but operationally commingled) account of the defaulting cleared swap customer of the FCM, as opposed to the treatment of customer segregated funds, under which the clearing house may access all of the commingled customer segregated funds of a defaulting FCM.
Collateral for OTC Transactions. Cash pledged as collateral with MLI or any other OTC prime broker for uncleared OTC trades is subject to the risk of the insolvency of the prime broker. Unlike cash posted as margin for commodities trading on regulated exchanges, cash margin for OTC trades is not required to be segregated or held in a secured account. With respect to cleared OTC trades, the Fund will not face a clearinghouse directly, but rather will do so through MLI or any other OTC prime broker that is registered with the CFTC and that acts as a clearing member. The Fund may face the indirect risk of the failure of another clearing member customer to meet its obligations to its clearing member. Such scenario could arise due to a default by the clearing member on its obligations to the clearinghouse triggered by a customers
failure to meet its obligations to the clearing member.
Bank Deposits. The vast majority of the cash deposited with banks would be in excess of the limits on federal insurance for deposits, and thus not insured by the FDIC, and would be subject to the risk of bank failure. Only up to $250,000 held in the interest bearing demand deposit accounts is insured under the FDICs general deposit insurance rules.
Cash in Securities Brokerage Accounts. Cash in securities brokerage accounts with MLPF&S is subject to the risk of insolvency of MLPF&S. While brokers are required to keep customer cash in a special reserve account for the benefit of customers, it is possible that a shortfall could exist in this account, in which case the Fund, along with other customers, would suffer losses. The Securities Investor Protection Corporation provides protection against these losses, up to a limit, but the cash deposited by the Fund in a securities brokerage account would far exceed the limit.
Direct Investments. Fund investments in U.S. government securities are backed by the full faith and credit of the U.S. government. To the extent the Fund makes investments in non-government securities it would be subject to a risk of loss that depended on the type of security.
Historical events underscore the risks described above. Significant losses incurred by many investment funds in relation to the bankruptcy and/or administration of Lehman Brothers Holdings Inc. and its affiliates illustrate the risks incurred in both derivatives trading and custody/brokerage arrangements. The bankruptcy liquidation of MF Global Inc. also demonstrates that even customer funds subject to segregation requirements may be difficult for an FCM to locate, and customer funds held by an FCM in bankruptcy may not be distributed promptly and may be subject to a lengthy claims process.
Insolvency of Dual-Registered Entities
MLPF&S is registered as both an FCM with the CFTC and as a broker-dealer with the SEC. Other counterparties and entities holding Fund assets may also be entities registered with both the CFTC and the SEC. In the event of an insolvency of a dual-registered entity, the distribution of CFTC regulated customer funds would be governed by the CFTCs bankruptcy rules and Chapter 7 of the U.S. Bankruptcy Code, while the distribution of SEC regulated customer funds would be governed by the Securities Investor Protection Act of 1970 and applicable provisions of the U.S. Bankruptcy Code. Uncertainty exists regarding the application of the two separate insolvency regimes to the insolvency of a single entity.
Risk of Loss Due to Trading Errors and the Failure of Trading Systems
The Fund is subject to the risk of failures or inaccuracies in the trading systems of the Trading Advisor. Trades for the Fund may be placed or executed in error due to technical errors such as coding or programming errors in software, hardware problems and inaccurate pricing information provided by third parties or execution errors such as keystroke, typographic or inadvertent drafting errors. Many exchanges have adopted obvious error rules that prevent the entry and execution of trades more than a specified amount away from the current best price on the exchange. However, these rules may not be in place on the exchanges on which the Trading Advisor trades on behalf of the Fund and may not be enforced even if in effect. These rules likely would not prevent the entry and execution of a trade entered close to the market price but at the wrong size.
The Fund is subject to the risk of the unavailability or failure of the computer systems of the exchanges on which the Trading Advisor trades. Any such errors or failures could subject the Fund to substantial losses.
Government Intervention; Market Disruptions
The global financial markets have in the past several years experienced pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention. Government intervention has in certain cases been implemented on an emergency basis, suddenly and substantially eliminating market participants ability, at least on a temporary basis, to continue to implement certain strategies or manage the risk of their outstanding positions. In addition, as one would expect given the complexities of the financial markets and the limited time frame within which governments have taken action, these interventions typically have been difficult to interpret and unclear in scope and application, resulting in confusion and uncertainty. This confusion and uncertainty in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.
The Fund may incur substantial losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted, the availability of credit is restricted or the ability to trade or invest capital, including exiting existing positions, is otherwise impaired. The risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to private investment funds, such as the Fund from banks, dealers and other counterparties is typically reduced in disrupted markets. Any reduction may result in substantial losses to the Fund. Market disruptions may from time to time cause dramatic losses for the Fund and these events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.
Regulatory Changes Could Restrict the Funds Operations
The Fund implements speculative, highly leveraged strategies. From time to time there is governmental scrutiny of these types of strategies and political pressure to regulate their activities. The CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of futures, swaps, forward and options transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. In addition, as described in further detail above under Possible Effects of Speculative Position Limits, the U.S. Congress and the CFTC have expressed the concern that speculative traders, and commodity funds in particular, may be responsible for unwarranted and dramatic swings in the prices of commodities and the CFTC enacted position limits designed to address such speculative trading. Non-U.S. governments have from time to time blamed the declines of their currencies on speculative currency trading and imposed restrictions on speculative trading in certain markets.
Regulatory changes could adversely affect the Fund by restricting the markets in which it trades, otherwise limiting its trading and/or increasing the taxes to which investors are subject. Adverse regulatory initiatives could develop suddenly and without notice.
Dodd-Frank includes provisions that substantially increase the regulation of the OTC derivatives markets. Regulations implementing Dodd-Frank will ultimately require that a substantial portion of derivatives currently traded over the counter be executed in regulated markets and/or be submitted for clearing to regulated clearinghouses. Those OTC derivatives may include OTC F/X forwards and swaps which may be traded by the Fund.
Although the U.S. Treasury has the discretion to exclude F/X forwards and swaps from certain of the new regulatory requirements, it has done so to date only in limited circumstances. Forwards and swaps that are not so excluded may be required by Dodd-Frank to be centrally cleared or traded on a regulated market. Dodd-Frank may also require other OTC derivatives traded by the Fund, if any, to be centrally cleared or traded on a regulated market. This may subject the Fund, the Trading Advisor, MLAI and/or the Funds counterparties to additional regulatory requirements. Certain of these regulatory requirements could affect the Fund, the Trading Advisor or MLAI directly, while others could impact the Fund, the Trading Advisor or the MLAI indirectly due to the impact of the requirements on the Funds counterparties. For example, OTC derivative dealers are now required to be registered with the CFTC (and ultimately will be required to register with the SEC) and are subject to new minimum capital and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest and other regulatory burdens. These new regulatory burdens have and will continue to increase the counterparties costs, which are generally passed through to other market participants such as the Fund in the form of higher fees, including clearing account maintenance fees, and less favorable dealer marks. They may also render certain strategies in which the Trading Advisor might otherwise engage impossible, or so costly that they will no longer be economical, to implement.
The CFTC also now requires certain derivative transactions that were previously executed on a bi-lateral basis in the OTC markets to be executed through a regulated futures or swap exchange or execution facility. These requirements may make it more difficult and costly for investment funds, including the Fund, to enter into highly tailored or customized transactions. They may also render certain strategies in which the Fund might otherwise engage impossible or so costly that they will no longer be economical to implement. If the Fund decides to execute derivatives transactions through these exchanges or execution facilitiesand especially if it decides to become a direct member of one or more of these exchanges or execution facilitiesthe Fund would be subject to the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential requirements under applicable regulations and under rules of the relevant exchange or execution facility. Even if the Fund indirectly participates in an exchange or execution facility, the Fund and/or the Trading Advisor may be required to consent to the exchanges or execution facilitys jurisdiction and to the relevant rulebook, which could subject it to a wide range of regulations and other obligations, together with associated costs. Like any other self-regulatory organization, exchanges and execution facilities regularly revise and interpret their rules, and such
revisions and interpretations could adversely affect the Fund.
Although Dodd-Frank requires certain OTC derivative transactions previously entered into on a principal-to-principal basis to be submitted for clearing by a regulated clearinghouse, some of the derivatives that may be traded by the Fund may not be centrally cleared. The risk of counterparty non-performance can be significant in the case of these OTC instruments, and bid-ask spreads may be unusually wide in these heretofore substantially unregulated markets. While Dodd-Frank is intended in part to reduce these risks, its success in this respect may not be evident for some time after Dodd-Frank is fully implemented, a process that may take several years. In addition, while Dodd-Franks requirement that certain swaps be traded on a regulated market is intended to improve transparency in the market for these swaps, and may for more liquid swaps decrease trading costs, it may actually increase trading costs for less liquid swaps.
While Dodd-Frank is intended to bring more stability and lower counterparty risk to derivatives markets by requiring central clearing of certain standardized derivatives trades, not all of the Funds trades will be subject to a clearing requirement because the trades are grandfathered or because they are bespoke, or because they are within a class that is not currently subject to mandatory clearing. Furthermore, it is yet to be seen whether Dodd-Frank will be effective in reducing counterparty risk or if such risk may actually increase as a result of market uncertainty, mutuality of loss to clearinghouse members, or other reasons.
The overall impact of Dodd-Frank on the Fund remains highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime, along with additional, sometimes overlapping, regulatory requirements imposed by non-U.S. regulators.
The Volcker Rule component of the Dodd-Frank materially restricts proprietary speculative trading by banks, bank holding companies and other regulated entities. As a result, there has been a significant influx of new portfolio managers into private investment funds who had previously traded institutional proprietary accounts. Such influx can only increase the competition for the Fund from other talented portfolio managers trading in the Funds investment sector.
On August 16, 2012, the European Market Infrastructure Regulation became effective (EMIR). EMIR introduces certain requirements in respect of derivative contracts, which applies primarily to financial counterparties (FCs) such as European Union (E.U.) authorized investment firms, credit institutions, insurance companies, funds regulated under the E.U. Undertakings for Collective Investment in Transferable Securities Directives, referred to as UCITS, and alternative investment funds managed by E.U. authorized alternative investment fund managers, and non-financial counterparties (NFCs), which are entities established in the E.U. that are not financial counterparties. NFCs whose transactions in OTC derivative contracts exceed EMIRs prescribed clearing threshold (NFC+s) are generally subject to more stringent requirements under EMIR than NFCs whose transactions in OTC derivative contracts do not exceed such clearing threshold, including because such contracts are excluded from the threshold calculation on the basis that they are concluded in order to reduce risks directly relating to the NFCs commercial activity or treasury financing activity (NFC-s).
Broadly, EMIRs requirements in respect of derivative contracts are (i) mandatory clearing of OTC derivative contracts declared subject to the clearing obligation; (ii) risk mitigation techniques in respect of uncleared OTC derivative contracts; and (iii) reporting and record-keeping requirements in respect of all derivative contracts.
Broadly, EMIRs requirements in respect of derivative contracts are (i) mandatory clearing of OTC derivative contracts declared subject to the clearing obligation; (ii) risk mitigation techniques in respect of uncleared OTC derivative contracts; and (iii) reporting and record-keeping requirements in respect of all derivative contracts.
As FCs and NFCs are required to comply with EMIRs risk mitigation obligations regardless of the identity of their counterparties, non-E.U. counterparties such as the Fund are likely to become indirectly subject to such requirements when they transact with E.U. counterparties, which will require compliance by their non-E.U. counterparties in order to satisfy their own obligations under EMIR. E.U. FCs or NFC+s which transact with a non-E.U. counterparty that would be classed as an FC or an NFC+ if it had been established in the E.U. will also be required to ensure that certain specified OTC derivative contracts are cleared through a duly authorized central counterparty. No class of OTC derivative contracts has as yet been declared subject to mandatory clearing in the E.U., although draft legislation covering various classes has been proposed.
The E.U. regulatory framework and legal regime relating to derivatives is set not only by EMIR but also by a new Directive and Regulation containing a package of reforms to the existing Markets in Financial Instruments Directive (Directive 2004/39/EC), collectively referred to as MiFID II. MiFID II was published on June 12, 2014 in the Official Journal of the European Union but the majority of MiFID IIs provisions will only become effective on January 3, 2017. In particular, MiFID II is expected to require transactions between FCs and NFC+s in sufficiently liquid OTC derivatives to be executed on a trading venue which meets the requirements of the MiFID II regime. This trading obligation will also extend to
FCs and NFC+s which trade with third country counterparties that would be classed as FCs or NFC+s if they were established in the E.U.
It is difficult to predict the full impact of these regulatory developments on the Fund. Prospective investors should be aware that the regulatory changes arising from EMIR and MiFID II may in due course significantly raise the costs of entering into derivative contracts and may adversely affect the Funds ability to engage in transactions in derivatives.
Banking Regulation
BofA Corp. is subject to certain U.S. banking laws, including the Bank Holding Company Act of 1956 (the BHCA), and to regulation by the Board of Governors of the Federal Reserve System. If BofA Corp. directly, or indirectly through its subsidiaries, makes capital contributions to the Fund in an aggregate amount such that BofA Corp. may be deemed to control the Fund for purposes of the BHCA, or if BofA Corp. is otherwise deemed to control the Fund for purposes of the BHCA, the Fund may be subject to certain investment and other limitations.
Concerns Regarding the Downgrade of the U.S. Credit Rating and the Sovereign Debt Crisis in Europe
On August 5, 2011, Standard & Poors lowered its long term sovereign credit rating on the United States of America from AAA to AA+. This downgrade or future downgrades by Standard & Poors or other credit rating agencies could have material adverse effects on financial markets and economic conditions in the United States and throughout the world and, in turn, the markets anticipation of these impacts could have a material adverse effect on the investments made by the Fund and thereby the Funds financial condition and liquidity. The ultimate impact on global markets and the Funds business is unpredictable.
Global markets and economic conditions have been negatively affected by the ability of E.U. member states to service their sovereign debt obligations. The continued uncertainty over the outcome of the E.U.s financial support programs and financial troubles could have an adverse effect on the Fund.
Item 1B: Unresolved Staff Comments
Not applicable.
Item 2: Properties
The Fund does not use any physical properties in the conduct of its business.
The Funds offices are the administrative offices of MLAI (Merrill Lynch Alternative Investments LLC, 250 Vesey Street, 11th Floor, New York, New York, 10281). MLAI performs administrative services for the Fund from MLAIs offices.
Item 3: Legal Proceedings
None.
Item 4: Mine Safety Disclosures
Not applicable.
PART II
Item 5: Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities
(a) Market Information:
There is no established public trading market for the Units. Investors in the Fund generally may redeem any or all of their Units at Net Asset Value, in whole or fractional Units, effective as of the last calendar day of each month (each a Redemption Date), upon submitting a redemption request by the Subscription/Redemption Notice Date, which is eight business days prior to the first of every month. 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 request and the applicable Redemption Date.
(b) Holders:
As of December 31, 2015, there were 636 holders of Units.
(c) Dividends:
MLAI has not made and does not contemplate making any distributions on the Units.
(d) Securities Authorized for Issuance Under Equity Compensation Plans:
Not applicable.
(e) Performance Graph:
Not applicable.
(f) Recent Sales of Unregistered Securities:
Units are privately offered and sold to accredited investors (as defined in Rule 501(a) under the Securities Act) in reliance on the exemption from registration provided by Section 4(2) of the Securities Act and Rule 506 thereunder. The selling agent of the Units is MLPF&S.
The Funds sales of unregistered securities are as follows for each Class of Units:
CLASS A
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
Jan-15 |
|
$ |
273,450 |
|
257,147 |
|
$ |
1.0634 |
|
Feb-15 |
|
|
|
|
|
1.1375 |
| ||
Mar-15 |
|
|
|
|
|
1.1463 |
| ||
Apr-15 |
|
80,190 |
|
68,791 |
|
1.1657 |
| ||
May-15 |
|
48,750 |
|
42,606 |
|
1.1442 |
| ||
Jun-15 |
|
54,728 |
|
48,669 |
|
1.1245 |
| ||
Jul-15 |
|
9,900 |
|
9,585 |
|
1.0329 |
| ||
Aug-15 |
|
|
|
|
|
1.0892 |
| ||
Sep-15 |
|
|
|
|
|
1.0912 |
| ||
Oct-15 |
|
|
|
|
|
1.0994 |
| ||
Nov-15 |
|
44,550 |
|
41,155 |
|
1.0825 |
| ||
Dec-15 |
|
|
|
|
|
1.1089 |
| ||
Jan-16 |
|
|
|
|
|
1.0657 |
| ||
Feb-16 |
|
|
|
|
|
1.1282 |
| ||
CLASS C
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
Jan-15 |
|
$ |
23,000 |
|
22,796 |
|
$ |
1.0089 |
|
Feb-15 |
|
20,000 |
|
18,548 |
|
1.0783 |
| ||
Mar-15 |
|
|
|
|
|
1.0858 |
| ||
Apr-15 |
|
192,000 |
|
174,023 |
|
1.1033 |
| ||
May-15 |
|
96,000 |
|
88,716 |
|
1.0821 |
| ||
Jun-15 |
|
52,000 |
|
48,942 |
|
1.0625 |
| ||
Jul-15 |
|
163,000 |
|
167,145 |
|
0.9752 |
| ||
Aug-15 |
|
|
|
|
|
1.0274 |
| ||
Sep-15 |
|
|
|
|
|
1.0285 |
| ||
Oct-15 |
|
10,000 |
|
9,659 |
|
1.0354 |
| ||
Nov-15 |
|
10,000 |
|
9,817 |
|
1.0186 |
| ||
Dec-15 |
|
40,000 |
|
38,366 |
|
1.0426 |
| ||
Jan-16 |
|
17,000 |
|
16,981 |
|
1.0011 |
| ||
Feb-16 |
|
11,000 |
|
10,388 |
|
1.0589 |
| ||
CLASS I
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
Jan-15 |
|
$ |
|
|
|
|
$ |
1.0914 |
|
Feb-15 |
|
|
|
|
|
1.1678 |
| ||
Mar-15 |
|
|
|
|
|
1.1773 |
| ||
Apr-15 |
|
|
|
|
|
1.1976 |
| ||
May-15 |
|
|
|
|
|
1.1759 |
| ||
Jun-15 |
|
|
|
|
|
1.1560 |
| ||
Jul-15 |
|
|
|
|
|
1.0623 |
| ||
Aug-15 |
|
|
|
|
|
1.1205 |
| ||
Sep-15 |
|
|
|
|
|
1.1229 |
| ||
Oct-15 |
|
|
|
|
|
1.1318 |
| ||
Nov-15 |
|
|
|
|
|
1.1148 |
| ||
Dec-15 |
|
|
|
|
|
1.1423 |
| ||
Jan-16 |
|
|
|
|
|
1.0981 |
| ||
Feb-16 |
|
|
|
|
|
1.1629 |
| ||
CLASS DS
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
Jan-15 |
|
$ |
|
|
|
|
$ |
1.3536 |
|
Feb-15 |
|
|
|
|
|
1.4497 |
| ||
Mar-15 |
|
|
|
|
|
1.4628 |
| ||
Apr-15 |
|
|
|
|
|
1.4895 |
| ||
May-15 |
|
|
|
|
|
|
| ||
Jun-15 |
|
|
|
|
|
|
| ||
Jul-15 |
|
|
|
|
|
|
| ||
Aug-15 |
|
|
|
|
|
|
| ||
Sep-15 |
|
|
|
|
|
|
| ||
Oct-15 |
|
|
|
|
|
|
| ||
Nov-15 |
|
|
|
|
|
|
| ||
Dec-15 |
|
|
|
|
|
|
| ||
Jan-16 |
|
|
|
|
|
|
| ||
Feb-16 |
|
|
|
|
|
|
| ||
CLASS DT
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
Jan-15 |
|
$ |
87,929 |
|
75,991 |
|
$ |
1.1571 |
|
Feb-15 |
|
|
|
|
|
1.2397 |
| ||
Mar-15 |
|
|
|
|
|
1.2513 |
| ||
Apr-15 |
|
|
|
|
|
1.2744 |
| ||
May-15 |
|
|
|
|
|
1.2529 |
| ||
Jun-15 |
|
|
|
|
|
1.2333 |
| ||
Jul-15 |
|
85,662 |
|
75,493 |
|
1.1347 |
| ||
Aug-15 |
|
|
|
|
|
1.1985 |
| ||
Sep-15 |
|
1,851,251 |
|
1,539,374 |
|
1.2026 |
| ||
Oct-15 |
|
|
|
|
|
1.2136 |
| ||
Nov-15 |
|
|
|
|
|
1.1969 |
| ||
Dec-15 |
|
|
|
|
|
1.2280 |
| ||
Jan-16 |
|
|
|
|
|
|
| ||
Feb-16 |
|
|
|
|
|
|
| ||
CLASS M
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
Jan-15 |
|
$ |
|
|
|
|
$ |
1.0018 |
|
Feb-15 |
|
100,000 |
|
93,205 |
|
1.0729 |
| ||
Mar-15 |
|
15,000 |
|
13,856 |
|
1.0826 |
| ||
Apr-15 |
|
|
|
|
|
1.1023 |
| ||
May-15 |
|
|
|
|
|
1.0833 |
| ||
Jun-15 |
|
|
|
|
|
1.0660 |
| ||
Jul-15 |
|
|
|
|
|
0.9804 |
| ||
Aug-15 |
|
154,000 |
|
148,778 |
|
1.0351 |
| ||
Sep-15 |
|
|
|
|
|
1.0383 |
| ||
Oct-15 |
|
|
|
|
|
1.0475 |
| ||
Nov-15 |
|
|
|
|
|
1.0327 |
| ||
Dec-15 |
|
39,000 |
|
36,820 |
|
1.0592 |
| ||
Jan-16 |
|
|
|
|
|
1.0191 |
| ||
Feb-16 |
|
|
|
|
|
1.0802 |
| ||
CLASS D
|
|
Subscription |
|
|
| ||||
|
|
Amount |
|
Units |
|
NAV (1) |
| ||
Jan-15 |
|
$ |
|
|
|
|
$ |
|
|
Feb-15 |
|
|
|
|
|
|
| ||
Mar-15 |
|
|
|
|
|
|
| ||
Apr-15 |
|
|
|
|
|
|
| ||
May-15 |
|
100 |
|
100 |
|
1.0000 |
| ||
Jun-15 |
|
|
|
|
|
0.9840 |
| ||
Jul-15 |
|
|
|
|
|
0.9050 |
| ||
Aug-15 |
|
|
|
|
|
0.9555 |
| ||
Sep-15 |
|
|
|
|
|
0.9584 |
| ||
Oct-15 |
|
|
|
|
|
0.9669 |
| ||
Nov-15 |
|
|
|
|
|
0.9532 |
| ||
Dec-15 |
|
|
|
|
|
0.9777 |
| ||
Jan-16 |
|
|
|
|
|
0.9407 |
| ||
Feb-16 |
|
|
|
|
|
0.9971 |
| ||
(1) Beginning of the month Net Asset Value
Class A Units are subject to upfront sales commissions paid to MLPF&S ranging from 1.0% to 2.5% of an investors gross subscription amount. Class D Units and Class I Units are subject to upfront sales commissions paid to
MLPF&S up to 2.5% of an investors gross subscription amount. Sales commissions are directly deducted from subscription amounts. Class C Units, Class DS Units, Class DT Units and Class M Units are not subject to upfront sales commissions.
Item 5(b)
Not applicable.
Item 5(c)
Not applicable.
Item 6: Selected Financial Data
The following selected financial data has been derived from the financial statements of the Fund.
Statements of Operations |
|
For the year |
|
For the year |
|
For the year |
|
For the year |
|
For the year |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Trading profit (loss), net: |
|
|
|
|
|
|
|
|
|
|
| |||||
Realized, net |
|
$ |
8,955,359 |
|
$ |
11,851,426 |
|
$ |
(11,727,253 |
) |
$ |
7,099,428 |
|
$ |
6,885,962 |
|
Change in unrealized, net |
|
(2,453,551 |
) |
(1,786,161 |
) |
383,129 |
|
(3,439,687 |
) |
(2,990,881 |
) | |||||
Brokerage commissions |
|
(366,457 |
) |
(530,630 |
) |
(815,030 |
) |
(886,130 |
) |
(940,971 |
) | |||||
Total trading profit (loss), net |
|
6,135,351 |
|
9,534,635 |
|
(12,159,154 |
) |
2,773,611 |
|
2,954,110 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
INVESTMENT INCOME (EXPENSE): |
|
|
|
|
|
|
|
|
|
|
| |||||
Interest, net |
|
2,004 |
|
3,304 |
|
2,577 |
|
(8,831 |
) |
10,526 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
EXPENSES: |
|
|
|
|
|
|
|
|
|
|
| |||||
Management fee |
|
896,970 |
|
1,770,108 |
|
2,951,301 |
|
4,156,778 |
|
4,986,858 |
| |||||
Performance fee |
|
612,282 |
|
|
|
49,399 |
|
102,552 |
|
667 |
| |||||
Sponsor fees |
|
772,655 |
|
882,045 |
|
937,658 |
|
729,287 |
|
797,628 |
| |||||
Other |
|
552,393 |
|
531,241 |
|
475,775 |
|
555,699 |
|
593,820 |
| |||||
Total Expenses |
|
2,834,300 |
|
3,183,394 |
|
4,414,133 |
|
5,544,316 |
|
6,378,973 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
NET INVESTMENT INCOME (LOSS) |
|
(2,832,296 |
) |
(3,180,090 |
) |
(4,411,556 |
) |
(5,553,147 |
) |
(6,368,447 |
) | |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
NET INCOME (LOSS) |
|
$ |
3,303,055 |
|
$ |
6,354,545 |
|
$ |
(16,570,710 |
) |
$ |
(2,779,536 |
) |
$ |
(3,414,337 |
) |
|
|
|
|
|
|
|
|
|
|
|
| |||||
Balance Sheet Data |
|
December 31, |
|
December 31, |
|
December 31, |
|
December 31, |
|
December 31, |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Members Capital |
|
$ |
33,879,085 |
|
$ |
86,519,327 |
|
$ |
113,835,996 |
|
$ |
170,304,436 |
|
$ |
255,706,929 |
|
Net Asset Value per Series A Unit |
|
1.0657 |
|
1.0634 |
|
0.9896 |
|
1.1196 |
|
1.1479 |
| |||||
Net Asset Value per Series C Unit |
|
1.0011 |
|
1.0089 |
|
0.9485 |
|
1.0838 |
|
1.1223 |
| |||||
Net Asset Value per Series D Unit** |
|
0.9407 |
|
|
|
|
|
1.1740 |
|
1.1857 |
| |||||
Net Asset Value per Series I Unit |
|
1.0981 |
|
1.0914 |
|
1.0117 |
|
1.1399 |
|
1.1641 |
| |||||
Net Asset Value per Series DS Unit* |
|
|
|
1.3536 |
|
1.2410 |
|
1.3830 |
|
1.3968 |
| |||||
Net Asset Value per Series DT Unit*** |
|
|
|
1.1571 |
|
1.0503 |
|
1.1598 |
|
1.1614 |
| |||||
Net Asset Value per Series M Unit**** |
|
1.0191 |
|
1.0018 |
|
0.9184 |
|
1.0235 |
|
|
|
*Units fully redeemed as of April 30, 2015.
**Units reissued May 1, 2015.
***Units fully redeemed as of December 31, 2015.
****Units issued on December 1, 2012.
MLAI believes that the Net Asset Value used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund. Therefore, the charts below are referencing Net Asset Value at each Calculation Date.
NET ASSET VALUE PER UNIT CLASS A
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sep. |
|
Oct. |
|
Nov. |
|
Dec. |
| ||||||||||||
2011 |
|
$ |
1.1843 |
|
$ |
1.2257 |
|
$ |
1.2100 |
|
$ |
1.2738 |
|
$ |
1.2297 |
|
$ |
1.1858 |
|
$ |
1.2197 |
|
$ |
1.1897 |
|
$ |
1.1893 |
|
$ |
1.1116 |
|
$ |
1.1277 |
|
$ |
1.1479 |
|
2012 |
|
$ |
1.1585 |
|
$ |
1.1711 |
|
$ |
1.1262 |
|
$ |
1.1600 |
|
$ |
1.1557 |
|
$ |
1.0951 |
|
$ |
1.1603 |
|
$ |
1.1581 |
|
$ |
1.1546 |
|
$ |
1.0966 |
|
$ |
1.1077 |
|
$ |
1.1196 |
|
2013 |
|
$ |
1.1592 |
|
$ |
1.1422 |
|
$ |
1.1650 |
|
$ |
1.1837 |
|
$ |
1.1087 |
|
$ |
1.0140 |
|
$ |
1.0030 |
|
$ |
0.9942 |
|
$ |
0.9889 |
|
$ |
1.0201 |
|
$ |
1.0268 |
|
$ |
0.9896 |
|
2014 |
|
$ |
0.9493 |
|
$ |
0.9696 |
|
$ |
0.9398 |
|
$ |
0.9455 |
|
$ |
1.0023 |
|
$ |
1.0252 |
|
$ |
0.9999 |
|
$ |
1.0480 |
|
$ |
1.0191 |
|
$ |
1.0319 |
|
$ |
1.0739 |
|
$ |
1.0634 |
|
2015 |
|
$ |
1.1375 |
|
$ |
1.1463 |
|
$ |
1.1657 |
|
$ |
1.1442 |
|
$ |
1.1245 |
|
$ |
1.0329 |
|
$ |
1.0892 |
|
$ |
1.0912 |
|
$ |
1.0994 |
|
$ |
1.0825 |
|
$ |
1.1089 |
|
$ |
1.0657 |
|
NET ASSET VALUE PER UNIT CLASS C
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sep. |
|
Oct. |
|
Nov. |
|
Dec. |
| ||||||||||||
2011 |
|
$ |
1.1687 |
|
$ |
1.2085 |
|
$ |
1.1920 |
|
$ |
1.2538 |
|
$ |
1.2095 |
|
$ |
1.1652 |
|
$ |
1.1976 |
|
$ |
1.1671 |
|
$ |
1.1658 |
|
$ |
1.0887 |
|
$ |
1.1035 |
|
$ |
1.1223 |
|
2012 |
|
$ |
1.1318 |
|
$ |
1.1431 |
|
$ |
1.0984 |
|
$ |
1.1304 |
|
$ |
1.1253 |
|
$ |
1.0655 |
|
$ |
1.1279 |
|
$ |
1.1248 |
|
$ |
1.1205 |
|
$ |
1.0633 |
|
$ |
1.0732 |
|
$ |
1.0838 |
|
2013 |
|
$ |
1.1212 |
|
$ |
1.1038 |
|
$ |
1.1249 |
|
$ |
1.1421 |
|
$ |
1.0687 |
|
$ |
0.9767 |
|
$ |
0.9653 |
|
$ |
0.9560 |
|
$ |
0.9502 |
|
$ |
0.9793 |
|
$ |
0.9849 |
|
$ |
0.9485 |
|
2014 |
|
$ |
0.9091 |
|
$ |
0.9277 |
|
$ |
0.8984 |
|
$ |
0.9031 |
|
$ |
0.9565 |
|
$ |
0.9776 |
|
$ |
0.9527 |
|
$ |
0.9977 |
|
$ |
0.9694 |
|
$ |
0.9807 |
|
$ |
1.0198 |
|
$ |
1.0089 |
|
2015 |
|
$ |
1.0783 |
|
$ |
1.0858 |
|
$ |
1.1033 |
|
$ |
1.0821 |
|
$ |
1.0625 |
|
$ |
0.9752 |
|
$ |
1.0274 |
|
$ |
1.0285 |
|
$ |
1.0354 |
|
$ |
1.0186 |
|
$ |
1.0426 |
|
$ |
1.0011 |
|
NET ASSET VALUE PER UNIT CLASS D
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sep. |
|
Oct. |
|
Nov. |
|
Dec. |
| ||||||||||||
2010 |
|
$ |
1.0366 |
|
$ |
1.0722 |
|
$ |
1.1347 |
|
$ |
1.1661 |
|
$ |
1.0864 |
|
$ |
1.0895 |
|
$ |
1.0938 |
|
$ |
1.0910 |
|
$ |
1.1306 |
|
$ |
1.1666 |
|
$ |
1.1310 |
|
$ |
1.1993 |
|
2011 |
|
$ |
1.2067 |
|
$ |
1.2504 |
|
$ |
1.2359 |
|
$ |
1.3027 |
|
$ |
1.2592 |
|
$ |
1.2157 |
|
$ |
1.2521 |
|
$ |
1.2228 |
|
$ |
1.2239 |
|
$ |
1.1454 |
|
$ |
1.1634 |
|
$ |
1.1857 |
|
2012 |
|
$ |
1.1982 |
|
$ |
1.2127 |
|
$ |
1.1677 |
|
$ |
1.2042 |
|
$ |
1.2013 |
|
$ |
1.1398 |
|
$ |
1.2091 |
|
$ |
1.2083 |
|
$ |
1.2062 |
|
$ |
1.1470 |
|
$ |
1.1601 |
|
$ |
1.1740 |
|
2013 |
|
$ |
1.2170 |
|
$ |
1.2007 |
|
$ |
1.2262 |
|
$ |
1.2475 |
|
$ |
1.1698 |
|
$ |
1.0713 |
|
$ |
1.0610 |
|
$ |
1.0530 |
|
$ |
1.0487 |
|
$ |
1.0831 |
|
$ |
1.0916 |
|
n/a |
| |
2015 |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
$ |
0.9840 |
|
$ |
0.9050 |
|
$ |
0.9555 |
|
$ |
0.9584 |
|
$ |
0.9669 |
|
$ |
0.9532 |
|
$ |
0.9777 |
|
$ |
0.9407 |
|
NET ASSET VALUE PER INITIAL UNIT CLASS I
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sep. |
|
Oct. |
|
Nov. |
|
Dec. |
| ||||||||||||
2011 |
|
$ |
1.1967 |
|
$ |
1.2389 |
|
$ |
1.2234 |
|
$ |
1.2883 |
|
$ |
1.2442 |
|
$ |
1.2001 |
|
$ |
1.2349 |
|
$ |
1.2049 |
|
$ |
1.2049 |
|
$ |
1.1266 |
|
$ |
1.1432 |
|
$ |
1.1641 |
|
2012 |
|
$ |
1.1752 |
|
$ |
1.1884 |
|
$ |
1.1432 |
|
$ |
1.1779 |
|
$ |
1.1739 |
|
$ |
1.1128 |
|
$ |
1.1794 |
|
$ |
1.1775 |
|
$ |
1.1744 |
|
$ |
1.1158 |
|
$ |
1.1275 |
|
$ |
1.1399 |
|
2013 |
|
$ |
1.1807 |
|
$ |
1.1637 |
|
$ |
1.1874 |
|
$ |
1.2068 |
|
$ |
1.1307 |
|
$ |
1.0345 |
|
$ |
1.0237 |
|
$ |
1.0150 |
|
$ |
1.0099 |
|
$ |
1.0421 |
|
$ |
1.0493 |
|
$ |
1.0117 |
|
2014 |
|
$ |
0.9708 |
|
$ |
0.9919 |
|
$ |
0.9617 |
|
$ |
0.9678 |
|
$ |
1.0263 |
|
$ |
1.0501 |
|
$ |
1.0246 |
|
$ |
1.0742 |
|
$ |
1.0449 |
|
$ |
1.0583 |
|
$ |
1.1018 |
|
$ |
1.0914 |
|
2015 |
|
$ |
1.1678 |
|
$ |
1.1773 |
|
$ |
1.1976 |
|
$ |
1.1759 |
|
$ |
1.1560 |
|
$ |
1.0623 |
|
$ |
1.1205 |
|
$ |
1.1229 |
|
$ |
1.1318 |
|
$ |
1.1148 |
|
$ |
1.1423 |
|
$ |
1.0981 |
|
NET ASSET VALUE PER UNIT CLASS DS
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sep. |
|
Oct. |
|
Nov. |
|
Dec. |
| ||||||||||||
2011 |
|
$ |
1.4216 |
|
$ |
1.4731 |
|
$ |
1.4560 |
|
$ |
1.5347 |
|
$ |
1.4834 |
|
$ |
1.4322 |
|
$ |
1.4750 |
|
$ |
1.4405 |
|
$ |
1.4419 |
|
$ |
1.3494 |
|
$ |
1.3706 |
|
$ |
1.3968 |
|
2012 |
|
$ |
1.4115 |
|
$ |
1.4287 |
|
$ |
1.3756 |
|
$ |
1.4187 |
|
$ |
1.4152 |
|
$ |
1.3427 |
|
$ |
1.4244 |
|
$ |
1.4234 |
|
$ |
1.4210 |
|
$ |
1.3513 |
|
$ |
1.3667 |
|
$ |
1.3830 |
|
2013 |
|
$ |
1.4338 |
|
$ |
1.4145 |
|
$ |
1.4446 |
|
$ |
1.4696 |
|
$ |
1.3781 |
|
$ |
1.2621 |
|
$ |
1.2500 |
|
$ |
1.2406 |
|
$ |
1.2355 |
|
$ |
1.2760 |
|
$ |
1.2860 |
|
$ |
1.2410 |
|
2014 |
|
$ |
1.1920 |
|
$ |
1.2189 |
|
$ |
1.1830 |
|
$ |
1.1915 |
|
$ |
1.2647 |
|
$ |
1.2953 |
|
$ |
1.2649 |
|
$ |
1.3275 |
|
$ |
1.2924 |
|
$ |
1.3103 |
|
$ |
1.3653 |
|
$ |
1.3536 |
|
2015 |
|
$ |
1.4497 |
|
$ |
1.4628 |
|
$ |
1.4895 |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
NET ASSET VALUE PER UNIT CLASS DT
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sep. |
|
Oct. |
|
Nov. |
|
Dec. |
| ||||||||||||
2011 |
|
$ |
1.1730 |
|
$ |
1.2163 |
|
$ |
1.2029 |
|
$ |
1.2688 |
|
$ |
1.2272 |
|
$ |
1.1855 |
|
$ |
1.2217 |
|
$ |
1.1939 |
|
$ |
1.1958 |
|
$ |
1.1200 |
|
$ |
1.1386 |
|
$ |
1.1614 |
|
2012 |
|
$ |
1.1743 |
|
$ |
1.1893 |
|
$ |
1.1461 |
|
$ |
1.1827 |
|
$ |
1.1805 |
|
$ |
1.1210 |
|
$ |
1.1900 |
|
$ |
1.1899 |
|
$ |
1.1886 |
|
$ |
1.1313 |
|
$ |
1.1451 |
|
$ |
1.1598 |
|
2013 |
|
$ |
1.2031 |
|
$ |
1.1876 |
|
$ |
1.2136 |
|
$ |
1.2355 |
|
$ |
1.1595 |
|
$ |
1.0628 |
|
$ |
1.0535 |
|
$ |
1.0464 |
|
$ |
1.0430 |
|
$ |
1.0781 |
|
$ |
1.0875 |
|
$ |
1.0503 |
|
2014 |
|
$ |
1.0096 |
|
$ |
1.0333 |
|
$ |
1.0036 |
|
$ |
1.0118 |
|
$ |
1.0748 |
|
$ |
1.1017 |
|
$ |
1.0768 |
|
$ |
1.1309 |
|
$ |
1.1020 |
|
$ |
1.1182 |
|
$ |
1.1661 |
|
$ |
1.1571 |
|
2015 |
|
$ |
1.2397 |
|
$ |
1.2513 |
|
$ |
1.2744 |
|
$ |
1.2529 |
|
$ |
1.2333 |
|
$ |
1.1347 |
|
$ |
1.1985 |
|
$ |
1.2026 |
|
$ |
1.2136 |
|
$ |
1.1969 |
|
$ |
1.2280 |
|
n/a |
|
NET ASSET VALUE PER UNIT CLASS M
|
|
Jan. |
|
Feb. |
|
Mar. |
|
Apr. |
|
May |
|
Jun. |
|
Jul. |
|
Aug. |
|
Sep. |
|
Oct. |
|
Nov. |
|
Dec. |
| ||||||||||||
2012 |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
n/a |
|
$ |
1.0235 |
| |||||||||||
2013 |
|
$ |
1.0611 |
|
$ |
1.0468 |
|
$ |
1.0691 |
|
$ |
1.0876 |
|
$ |
1.0199 |
|
$ |
0.9340 |
|
$ |
0.9251 |
|
$ |
0.9181 |
|
$ |
0.9143 |
|
$ |
0.9443 |
|
$ |
0.9517 |
|
$ |
0.9184 |
|
2014 |
|
$ |
0.8821 |
|
$ |
0.9021 |
|
$ |
0.8755 |
|
$ |
0.8818 |
|
$ |
0.9360 |
|
$ |
0.9586 |
|
$ |
0.9361 |
|
$ |
0.9824 |
|
$ |
0.9565 |
|
$ |
0.9697 |
|
$ |
1.0104 |
|
$ |
1.0018 |
|
2015 |
|
$ |
1.0729 |
|
$ |
1.0826 |
|
$ |
1.1023 |
|
$ |
1.0833 |
|
$ |
1.0660 |
|
$ |
0.9804 |
|
$ |
1.0351 |
|
$ |
1.0383 |
|
$ |
1.0475 |
|
$ |
1.0327 |
|
$ |
1.0592 |
|
$ |
1.0191 |
|
ML BLUETREND FUTURESACCESS LLC
(CLASS A UNITS) (5)
December 31, 2015
Type of Pool: Single Advisor Non-Principal Protected(1)
Inception of Trading: August 1, 2009
Aggregate Subscriptions: $11,696,147
Current Capitalization: $3,482,898
Worst Monthly Drawdown(2): (8.54)% (June 2013)
Worst Peak-to-Valley Drawdown(3): (26.22)% (May 2011 December 2015)
Net Asset Value per Unit for Class A, December 31, 2015: $1.0657
Monthly Rates of Return (4)
Month |
|
2015 |
|
2014 |
|
2013 |
|
2012 |
|
2011 |
|
January |
|
6.97 |
% |
(4.07 |
)% |
3.54 |
% |
0.92 |
% |
0.49 |
% |
February |
|
0.77 |
|
2.14 |
|
(1.47 |
) |
1.09 |
|
3.50 |
|
March |
|
1.69 |
|
(3.07 |
) |
2.00 |
|
(3.83 |
) |
(1.28 |
) |
April |
|
(1.84 |
) |
0.61 |
|
1.61 |
|
3.00 |
|
5.27 |
|
May |
|
(1.72 |
) |
6.01 |
|
(6.34 |
) |
(0.37 |
) |
(3.46 |
) |
June |
|
(8.15 |
) |
2.28 |
|
(8.54 |
) |
(5.24 |
) |
(3.57 |
) |
July |
|
5.45 |
|
(2.47 |
) |
(1.08 |
) |
5.95 |
|
2.86 |
|
August |
|
0.18 |
|
4.81 |
|
(0.88 |
) |
(0.19 |
) |
(2.46 |
) |
September |
|
0.75 |
|
(2.76 |
) |
(0.53 |
) |
(0.30 |
) |
(0.03 |
) |
October |
|
(1.54 |
) |
1.26 |
|
3.16 |
|
(5.02 |
) |
(6.53 |
) |
November |
|
2.44 |
|
4.07 |
|
0.66 |
|
1.01 |
|
1.45 |
|
December |
|
(3.90 |
) |
(0.98 |
) |
(3.62 |
) |
1.07 |
|
1.79 |
|
Compound Annual Rate of Return |
|
0.21 |
% |
7.46 |
% |
(11.61 |
)% |
(2.47 |
)% |
(2.60 |
)% |
(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as principal protected. The Fund has no such feature.
(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since August 1, 2009 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.
(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since August 1, 2009 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.
(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.
(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 6.57%.
ML BLUETREND FUTURESACCESS LLC
(CLASS C UNITS) (5)
December 31, 2015
Type of Pool: Single Advisor Non-Principal Protected(1)
Inception of Trading: August 1, 2009
Aggregate Subscriptions: $63,875,577
Current Capitalization: $23,091,309
Worst Monthly Drawdown(2): (8.61)% (June 2013)
Worst Peak-to-Valley Drawdown(3): (28.35)% (May 2011 December 2015)
Net Asset Value per Unit for Class C, December 31, 2015: $1.0011
Monthly Rates of Return (4)
Month |
|
2015 |
|
2014 |
|
2013 |
|
2012 |
|
2011 |
|
January |
|
6.88 |
% |
(4.15 |
)% |
3.45 |
% |
0.85 |
% |
0.41 |
% |
February |
|
0.70 |
|
2.05 |
|
(1.55 |
) |
1.00 |
|
3.41 |
|
March |
|
1.61 |
|
(3.16 |
) |
1.91 |
|
(3.91 |
) |
(1.37 |
) |
April |
|
(1.92 |
) |
0.52 |
|
1.53 |
|
2.91 |
|
5.18 |
|
May |
|
(1.81 |
) |
5.91 |
|
(6.43 |
) |
(0.45 |
) |
(3.53 |
) |
June |
|
(8.22 |
) |
2.21 |
|
(8.61 |
) |
(5.31 |
) |
(3.66 |
) |
July |
|
5.35 |
|
(2.55 |
) |
(1.17 |
) |
5.86 |
|
2.78 |
|
August |
|
0.11 |
|
4.72 |
|
(0.96 |
) |
(0.28 |
) |
(2.55 |
) |
September |
|
0.67 |
|
(2.84 |
) |
(0.61 |
) |
(0.38 |
) |
(0.11 |
) |
October |
|
(1.62 |
) |
1.17 |
|
3.06 |
|
(5.10 |
) |
(6.61 |
) |
November |
|
2.36 |
|
3.99 |
|
0.57 |
|
0.93 |
|
1.36 |
|
December |
|
(3.98 |
) |
(1.07 |
) |
(3.70 |
) |
0.99 |
|
1.70 |
|
Compound Annual Rate of Return |
|
(0.77 |
)% |
6.37 |
% |
(12.48 |
)% |
(3.43 |
)% |
(3.57 |
)% |
(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as principal protected. The Fund has no such feature.
(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since August 1, 2009 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.
(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since August 1, 2009 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.
(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.
(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is .11%.
ML BLUETREND FUTURESACCESS LLC
(CLASS D UNITS) (5)
December 31, 2015
Type of Pool: Single Advisor Non-Principal Protected(1)
Inception of Trading: August 1, 2009
Aggregate Subscriptions: $16,205,154
Current Capitalization: $94
Worst Monthly Drawdown(2): (8.42)% (June 2013)
Worst Peak-to-Valley Drawdown(3): (26.83)% (May 2011 December 2015)
Net Asset Value per Unit for Class D, December 31, 2015: $.9407
Monthly Rates of Return (4)
Month |
|
2015 |
|
2014 |
|
2013 |
|
2012 |
|
2011 |
|
January |
|
|
|
|
|
3.66 |
% |
1.05 |
% |
0.62 |
% |
February |
|
|
|
|
|
(1.34 |
) |
1.21 |
|
3.62 |
|
March |
|
|
|
|
|
2.12 |
|
(3.71 |
) |
(1.16 |
) |
April |
|
|
|
|
|
1.74 |
|
3.13 |
|
5.40 |
|
May |
|
(1.63 |
) |
|
|
(6.23 |
) |
(0.24 |
) |
(3.34 |
) |
June |
|
(8.03 |
) |
|
|
(8.42 |
) |
(5.12 |
) |
(3.45 |
) |
July |
|
5.58 |
|
|
|
(0.96 |
) |
6.08 |
|
2.99 |
|
August |
|
0.30 |
|
|
|
(0.75 |
) |
(0.07 |
) |
(2.34 |
) |
September |
|
0.89 |
|
|
|
(0.41 |
) |
(0.18 |
) |
0.09 |
|
October |
|
(1.42 |
) |
|
|
3.28 |
|
(4.91 |
) |
(6.41 |
) |
November |
|
2.57 |
|
|
|
0.78 |
|
1.14 |
|
1.57 |
|
December |
|
(3.78 |
) |
|
|
(3.49 |
) |
1.20 |
|
1.92 |
|
Compound Annual Rate of Return |
|
(5.95 |
)% |
|
|
(10.26 |
)% |
(0.99 |
)% |
(1.13 |
)% |
(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as principal protected. The Fund has no such feature.
(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since August 1, 2009 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.
(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since August 1, 2009 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.
(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.
(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is (5.93)%.
ML BLUETREND FUTURESACCESS LLC
(CLASS I UNITS) (5)
December 31, 2015
Type of Pool: Single Advisor Non-Principal Protected(1)
Inception of Trading: August 1, 2009
Aggregate Subscriptions: $14,461,361
Current Capitalization: $2,263,744
Worst Monthly Drawdown(2): (8.51)% (June 2013)
Worst Peak-to-Valley Drawdown(3): (25.35)% (May 2011 December 2015)
Net Asset Value per Unit for Class I, December 31, 2015: $1.0981
Monthly Rates of Return (4)
Month |
|
2015 |
|
2014 |
|
2013 |
|
2012 |
|
2011 |
|
January |
|
7.00 |
% |
(4.04 |
)% |
3.58 |
% |
0.95 |
% |
0.53 |
% |
February |
|
0.81 |
|
2.17 |
|
(1.44 |
) |
1.12 |
|
3.53 |
|
March |
|
1.72 |
|
(3.04 |
) |
2.04 |
|
(3.80 |
) |
(1.25 |
) |
April |
|
(1.81 |
) |
0.63 |
|
1.63 |
|
3.04 |
|
5.30 |
|
May |
|
(1.69 |
) |
6.04 |
|
(6.31 |
) |
(0.34 |
) |
(3.42 |
) |
June |
|
(8.11 |
) |
2.32 |
|
(8.51 |
) |
(5.20 |
) |
(3.54 |
) |
July |
|
5.48 |
|
(2.43 |
) |
(1.04 |
) |
5.98 |
|
2.90 |
|
August |
|
0.21 |
|
4.84 |
|
(0.85 |
) |
(0.16 |
) |
(2.43 |
) |
September |
|
0.79 |
|
(2.73 |
) |
(0.50 |
) |
(0.27 |
) |
0.00 |
|
October |
|
(1.50 |
) |
1.28 |
|
3.19 |
|
(4.99 |
) |
(6.50 |
) |
November |
|
2.47 |
|
4.11 |
|
0.69 |
|
1.05 |
|
1.47 |
|
December |
|
(3.87 |
) |
(0.94 |
) |
(3.58 |
) |
1.10 |
|
1.83 |
|
Compound Annual Rate of Return |
|
0.62 |
% |
7.88 |
% |
(11.25 |
)% |
(2.08 |
)% |
(2.21 |
)% |
(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as principal protected. The Fund has no such feature.
(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since August 1, 2009 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.
(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since August 1, 2009 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.
(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.
(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 9.81%.
ML BLUETREND FUTURESACCESS LLC
(CLASS DS UNITS) (5)
December 31, 2015
Type of Pool: Single Advisor Non-Principal Protected(1)
Inception of Trading: September 1, 2008
Aggregate Subscriptions: $160,536,270
Current Capitalization: $0
Worst Monthly Drawdown(2): (8.42)% (June 2013)
Worst Peak-to-Valley Drawdown(3): (22.92)% (May 2011 April 2015)
Net Asset Value per Unit for Class DS, December 31, 2015: $0.0000
Monthly Rates of Return (4)
Month |
|
2015 |
|
2014 |
|
2013 |
|
2012 |
|
2011 |
|
January |
|
7.10 |
% |
(3.95 |
)% |
3.67 |
% |
1.05 |
% |
0.62 |
% |
February |
|
0.90 |
|
2.26 |
|
(1.35 |
) |
1.22 |
|
3.62 |
|
March |
|
1.83 |
|
(2.95 |
) |
2.13 |
|
(3.72 |
) |
(1.16 |
) |
April |
|
(1.72 |
) |
0.72 |
|
1.73 |
|
3.13 |
|
5.41 |
|
May |
|
|
|
6.14 |
|
(6.23 |
) |
(0.25 |
) |
(3.34 |
) |
June |
|
|
|
2.42 |
|
(8.42 |
) |
(5.12 |
) |
(3.45 |
) |
July |
|
|
|
(2.35 |
) |
(0.96 |
) |
6.08 |
|
2.99 |
|
August |
|
|
|
4.95 |
|
(0.75 |
) |
(0.07 |
) |
(2.34 |
) |
September |
|
|
|
(2.64 |
) |
(0.41 |
) |
(0.18 |
) |
0.10 |
|
October |
|
|
|
1.39 |
|
3.28 |
|
(4.90 |
) |
(6.42 |
) |
November |
|
|
|
4.20 |
|
0.78 |
|
1.14 |
|
1.57 |
|
December |
|
|
|
(0.86 |
) |
(3.50 |
) |
1.19 |
|
1.92 |
|
Compound Annual Rate of Return |
|
8.15 |
% |
9.07 |
% |
(10.27 |
)% |
(0.99 |
)% |
(1.13 |
)% |
(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as principal protected. The Fund has no such feature.
(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since September 1, 2008 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.
(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since September 1, 2008 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.
(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.
(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 46.39%.
ML BLUETREND FUTURESACCESS LLC
(CLASS DT UNITS) (5)
December 31, 2015
Type of Pool: Single Advisor Non-Principal Protected(1)
Inception of Trading: February 1, 2010
Aggregate Subscriptions: $4,128,534
Current Capitalization: $0
Worst Monthly Drawdown(2): (8.34)% ( June 2013 )
Worst Peak-to-Valley Drawdown(3): (20.90)% (May 2011 March 2015)
Net Asset Value per Unit for Class DT, December 31, 2015: $0.0000
Monthly Rates of Return (4)
Month |
|
2015 |
|
2014 |
|
2013 |
|
2012 |
|
2011 |
|
January |
|
7.14 |
% |
(3.88 |
)% |
3.73 |
% |
1.11 |
% |
0.69 |
% |
February |
|
0.94 |
|
2.35 |
|
(1.29 |
) |
1.28 |
|
3.69 |
|
March |
|
1.85 |
|
(2.87 |
) |
2.19 |
|
(3.63 |
) |
(1.10 |
) |
April |
|
(1.69 |
) |
0.82 |
|
1.80 |
|
3.19 |
|
5.48 |
|
May |
|
(1.56 |
) |
6.23 |
|
(6.15 |
) |
(0.19 |
) |
(3.28 |
) |
June |
|
(7.99 |
) |
2.50 |
|
(8.34 |
) |
(5.04 |
) |
(3.40 |
) |
July |
|
5.62 |
|
(2.26 |
) |
(0.88 |
) |
6.15 |
|
3.05 |
|
August |
|
0.34 |
|
5.02 |
|
(0.67 |
) |
0.00 |
|
(2.28 |
) |
September |
|
0.91 |
|
(2.56 |
) |
(0.32 |
) |
(0.11 |
) |
0.16 |
|
October |
|
(1.38 |
) |
1.47 |
|
3.37 |
|
(4.82 |
) |
(6.34 |
) |
November |
|
2.60 |
|
4.28 |
|
0.87 |
|
1.22 |
|
1.66 |
|
December |
|
(3.74 |
) |
(0.77 |
) |
(3.42 |
) |
1.28 |
|
2.00 |
|
Compound Annual Rate of Return |
|
2.16 |
% |
10.17 |
% |
(9.44 |
)% |
(0.14 |
)% |
(0.31 |
)% |
(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as principal protected. The Fund has no such feature.
(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since February 1, 2010 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.
(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since February 1, 2010 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.
(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.
(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is 18.21%.
ML BLUETREND FUTURESACCESS LLC
(CLASS M UNITS) (5)
December 31, 2015
Type of Pool: Single Advisor Non-Principal Protected(1)
Inception of Trading: December 1, 2012
Aggregate Subscriptions: $11,262,662
Current Capitalization: $5,041,040
Worst Monthly Drawdown(2): (8.42)% ( June 2013 )
Worst Peak-to-Valley Drawdown(3): (19.50)% (May 2013 March 2015)
Net Asset Value per Unit for Class M, December 31, 2015: $1.0191
Monthly Rates of Return (4)
Month |
|
2015 |
|
2014 |
|
2013 |
|
2012 |
|
January |
|
7.10 |
% |
(3.95 |
)% |
3.67 |
% |
|
|
February |
|
0.90 |
|
2.27 |
|
(1.35 |
) |
|
|
March |
|
1.82 |
|
(2.95 |
) |
2.13 |
|
|
|
April |
|
(1.72 |
) |
0.72 |
|
1.73 |
|
|
|
May |
|
(1.60 |
) |
6.15 |
|
(6.22 |
) |
|
|
June |
|
(8.03 |
) |
2.41 |
|
(8.42 |
) |
|
|
July |
|
5.58 |
|
(2.35 |
) |
(0.95 |
) |
|
|
August |
|
0.31 |
|
4.95 |
|
(0.76 |
) |
|
|
September |
|
0.89 |
|
(2.64 |
) |
(0.41 |
) |
|
|
October |
|
(1.41 |
) |
1.38 |
|
3.28 |
|
|
|
November |
|
2.57 |
|
4.20 |
|
0.78 |
|
|
|
December |
|
(3.79 |
) |
(0.85 |
) |
(3.50 |
) |
1.20 |
|
Compound Annual Rate of Return |
|
1.73 |
% |
9.07 |
% |
(10.27 |
)% |
1.20 |
% |
(1) Certain funds are structured so as to guarantee to investors that their investment will be worth no less than a specified amount (typically, the initial purchase price) as of a date certain after the date of investment. The CFTC refers to such funds as principal protected. The Fund has no such feature.
(2) Worst Monthly Drawdown represents the largest negative Monthly Rate of Return experienced since December 1, 2012 by the Fund; a drawdown is measured on the basis of month-end Net Asset Value only, and does not reflect intra-month figures.
(3) Worst Peak-to-Valley Drawdown represents the greatest percentage decline since December 1, 2012 from a month-end cumulative Monthly Rate of Return without such cumulative Monthly Rate of Return being equaled or exceeded as of a subsequent month-end. For example, if the Monthly Rate of Return was (1)% in each of January and February, 1% in March and (2)% in April, the Peak-to-Valley Drawdown would still be continuing at the end of April in the amount of approximately (3)%, whereas if the Monthly Rate of Return had been approximately 3% in March, the Peak-to-Valley Drawdown would have ended as of the end of February at approximately the (2)% level.
(4) Monthly Rate of Return is the net performance of the Fund during the month of determination (including interest income and after all expenses have been accrued or paid) divided by the total capital of the Fund as of the beginning of such month.
(5) The information presented is based on Net Asset Value and Net Asset Value per Unit. The inception to date total return is .76%.
Item 7: Managements Discussion and Analysis of Financial Condition and Results of Operations
Critical Accounting Policies
The Funds critical accounting policies are as follows:
· 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. Actual results could differ from those estimates and such differences could be material.
· The fair value of a financial instrument 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.
· The fair value amounts of, and the net profits and losses on, derivative instruments is disclosed in the Statements of Financial Condition and Statements of Operations, respectively.
· Realized profits (losses) and changes in unrealized profits (losses) on open positions are recognized in the period in which the contract is closed or the changes occur, respectively and are included in the Statements of Operations.
Results of Operations
General
The Trading Program is a systematic trend follower, but it decision-making inputs are technical. The Fund trades daily futures and liquid OTC instruments across 150+ markets in equity indexes, fixed income, F/X, energy metals, agricultural and soft commodities.
Performance Summary
This performance summary is an outline description of how the Fund performed in the past, not necessarily any indication of how it will perform in the future. In addition, the general causes to which certain price movements are attributed may or may not have caused such movements, but simply occurred at or about the same time.
|
|
Total Trading |
| |
Year ended December 31, 2015 |
|
Profit (Loss) |
| |
Stock Indices |
|
$ |
633,810 |
|
Metals |
|
1,056,715 |
| |
Agricultural Commodities |
|
(906,012 |
) | |
Currencies |
|
(724,417 |
) | |
Energy |
|
2,724,413 |
| |
Interest Rates |
|
3,717,299 |
| |
Subtotal |
|
6,501,808 |
| |
Brokerage Commissions |
|
(366,457 |
) | |
Total |
|
$ |
6,135,351 |
|
The Fund experienced a net trading profit of $6,501,808 before brokerage commissions and related fees for the year ended December 31, 2015. The Funds profits were primarily attributable to interest rates, energy, metals, and stock indices sectors. The currency and agriculture sectors posted losses.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Price action resulted from monetary policy actions by major central banks that led to a strong rally in bonds. The bond sector contained the majority of the best performing individual markets, with the U.S. 5 year note posting the strongest gains. Losses were posted to the Fund in the middle of the first quarter. February was difficult for fixed income, which experienced weak performance at the start of the month. However, after the Greek crisis found some resolution, European bonds traded lower in yield terms, particularly the German Bund and Italian BTPs. Elsewhere the U.S. and UK saw weakness in fixed income throughout February with yields rallying back to where they were at the start of the year. After the strong gains in fixed income in January, the Trading Program suffered a small relative loss on its fixed income positioning in
February. Profits were posted to the Fund at the end of the first quarter. It was a tough start to March for fixed income which saw yields initially go higher. However with the European Central Bank ratcheting up bond purchases and a commitment to buying bonds even with negative yields, European bonds traded lower. In the U.S., treasuries found a buyer in the medium to long term part of the curve. Accordingly, the Fund benefited from its continued long bias to the sector. Losses were posted to the Fund at the beginning of the second quarter. In April, the fixed income sector saw a positive start as yields fell in major developed bond markets. However, a reversal towards the end of April erased performance, with yields in Germany rallying off the lows to end April. Losses were posted to the Fund in the middle of the second quarter. Losses were led by the bond sector as bond markets experienced volatility and price declines. Losses were posted to the Fund at the end of the second quarter. Long positioning across fixed income markets continued through June. German bonds continued to sell off in June. Investor concerns over liquidity and inventory levels played out in volatile short term moves. Long positioning in the Japanese 10 YR accounted for the biggest losses in the bond sector. Eurodollar was the largest detractor in the rates sector with varied exposure throughout June, ending June with long exposure. Profits were posted to the Fund at the beginning of the third quarter. In July, the Fund benefited from a long bias in bonds as bonds rallied towards the end of July. The largest positive contributor in the sector was the long EURO-BTP, with positive contributions from significant long positions in the U.S. 5 year and Japan 10 year bonds. The risk steadily increased throughout July. Profits were posted to the Fund in the middle of the third quarter. The Fund managed a positive return from fixed income in August, with the Eurodollar and the U.K. gilts amongst the best performers. Profits were posted to the Fund at the end of the third quarter. Short term interest rates were mainly seen in the Eurodollar and Brazilian contracts where both had large moves and resulted in strong positive performance. The Eurodollar moved higher after the Federal Open Market Committee meeting and continued to trend higher in September. Brazilian short term rates moved aggressively higher as the currency sold off to lows versus the U.S. dollar. Losses were posted to the Fund at the beginning of the fourth quarter. The market was in a general slump starting October ensuing from the Federal Reserve not raising rates in September. Losses were posted to the Fund in the middle of the fourth quarter. The Fund continued with its net long bond (short yields) positioning throughout November. The start of the month saw a strong rally in yields, however, this was short lived and the rest of the month saw a reverting move back in yields. This was especially apparent in Europe with German and Italian government bonds reverting to the lows of the year (in yield terms). The U.S. 10 year bond was slower to return to lower yield levels and closed November slightly higher. European bonds rallied and U.S. and Asian bonds ended the month in negative performance territory causing the fixed income space to post a negative return for the month. Long positioning in the EURO-BTP was the largest contributor. The Australian 10 year bond started the month with long exposure where it negatively contributed to performance, ending the month as the top detractor in the sector. Losses were posted to the Fund at the end of the fourth quarter. The Fund continued with its long bonds (short yields) delta throughout December. The majority of the losses in the fixed income sector came from long exposure to European bonds in early December.
The energy sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter as OPEC-induced over supply led to further declines in energy prices. Losses were posted to the Fund in the middle of the first quarter. Energy markets continued the rally which started in late January hurting the Funds short positioning in the sector. Profits were posted to the Fund at the end of the first quarter. Short Brent crude position was the significant source of profits. Losses were posted to the Fund at the beginning of the second quarter. In the energy sector, U.S. dollar weakness and tensions in the Middle East led to a positive environment for energy prices. Higher prices for West Texas Intermediate continued to put pressure on short positions. Losses were posted to the Fund in the middle of the second quarter. Losses were posted to the Fund at the end of the second quarter. Short positioning in energies proved difficult with short natural gas positions causing a drag on performance after prices came off their lows from early in June Profits were posted to the Fund at the beginning of the third quarter as the Fund saw significant contributions to performance from short positions in West Texas Intermediate and Brent crude. Negotiations between the U.S. and Iran resulted in implicit ramifications for oil markets, as traders anticipated an increase in supply if Iran is no longer subjected to an embargo. Profits resulted from this as the Fund was positioned to take advantage of the oil sell-off. Profits were posted to the Fund in the middle of the third quarter. Despite the strong price action, the Fund saw positive returns in a number of energy markets. Specifically, short positions in heating oil, West Texas Intermediate and Brent crude were amongst the top performing contracts. Profits were posted to the Fund at the end of the third quarter as West Texas Intermediate and Brent crude traded lower throughout September resulting in positive returns in energies that allowed the commodities complex to contribute positively to performance. Profits were posted to the Fund at the beginning of the fourth quarter. Due to intraday swings West Texas Intermediate and Brent crude were both detractors during October, with natural gas compensating for the losses resulting in a position return for the energy sector during October. Profits were posted to the Fund in the middle of the fourth quarter. The Funds short positions in crude and gas-related products traded lower in a straight-forward trend during November. Ongoing oversupply issues have contributed in driving prices of oil and related products lower. Profits were posted to the Fund at the end of the fourth quarter. The Fund benefited from short exposure, mainly in West Texas Intermediate and Brent crude oil as these contracts continued to trade lower. While the Trading Program reduced its energy exposure throughout December, it maintained a short bias and continued to benefit from weaker pricing environments.
The metals sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter. Profits were posted to the Fund in the middle of the first quarter. The commodities space suffered reversals in most sectors with only metals avoiding losses. Losses were posted to the Fund at the end of the first quarter. Although the metals sector contribution was essentially flat, this sector did produce losses. Losses were posted to the Fund at the beginning of the second quarter due to gold and silver being down in the face of U.S. dollar weakness. Losses were posted to the Fund in the middle of the second quarter due to the Funds short positioning in metals. Profits were posted to the Fund at the end of the second quarter. Metals were the lone positive performing sector, with copper and palladium among the top performing markets for the Fund in June. Profits were posted to the Fund at the beginning of the third quarter due the Funds short positions in copper. The Fund also took advantage of the often aggressive markdowns seen in gold. Profits were posted to the Fund in the middle of the third quarter due to the Funds short positioning in base metals, which provided small positive returns. Losses were posted to the Fund at the end of the quarter. The Fund saw slightly negative returns in metals in September, despite general weakness in the space. There was a strong bid mid-month that made it difficult to reap the benefits of lower prices. Platinum contributed positively to performance, but not enough to offset losses from copper, palladium, and gold. Losses were posted to the Fund at the beginning of the fourth quarter. The Fund started October net short and experiencing a short squeeze mainly prompted by Glencore reducing capacity in some mines and the strong showing from gold and silver at the start of the month, when the U.S. dollar was weak. The metals sector overall flipped from short to long positioning by the end of the month. Short positioning in platinum was the largest detractor in the sector. Profits were posted to the Fund in the middle of the fourth quarter. Base metals posted strong positive performance due to oversupply issues in connection with lower demand from China, especially in copper. Precious metals and silver both traded lower throughout November due to a strong U.S. dollar. A short platinum position benefited from this and was a top contributor for the month. Losses were posted to the Fund at the end of the fourth quarter. In metals, the short delta reduced in the first week of December and remained constant thereafter. A strong bid in the precious metals space was seen early in December, but this faded and gold and silver finished the month largely where they started. Industrial metals traded predominantly sideways during December after a long downward trend seen throughout the year.
The stock indices sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter while profits were posted to the Fund in the middle of the quarter. European equities led the way, especially after a short term solution was found for Greece. However, all regions contributed to performance, with Europe and Asia strongest while U.S. equities made a comeback towards the end of February. Losses were posted to the Fund at the end of the first quarter as the Fund suffered modest losses from long positioning in a number of markets including the S&P as well as the FTSE Index. Profits were posted to the Fund at the beginning of the second quarter. In April, the Fund maintained long exposure to the equities sector, favoring Asian and U.S. equities over EU equities for the majority of April. This regional diversification benefited performance, and despite an aggressive sell off towards the end of April, equities posted a positive return. Profits were posted to the Fund in the middle of the second quarter. Exposure remained fairly balanced across the three major regions, the United States, Europe and Asia, with U.S. equities posting positive performance. Losses were posted to the Fund at the end of the second quarter. The Fund maintained mixed exposures to equities throughout June but ended June with an overall aggregate short exposure. General weakness throughout June was apparent. The close of June brought about a downturn in European and U.S. equities resulting from concerns over Greece. The Shanghai Composite saw large daily swings in both directions. Short positioning in the VIX was among the worst performing positions in June. Losses were posted to the Fund at the beginning of the third quarter. In July, U.S. dollar strength, political instability and weakness in commodities led to poor performance from emerging market equities. Losses were posted to the Fund in the middle of the third quarter. The equities sector was the largest detractor from performance for August. Equities started August with net long exposure, however transitioned to net short by month-end. Despite a quiet start to August, global equities on aggregate plunged. This negative contribution was mainly due to a short position in the VIX, which was the largest detractor in the Fund for August. Losses were posted to the Fund at the end of the third quarter. September was generally a difficult month for short equity positions in all regions due to the short term squeeze that occurred after the Federal Open Market Committee meeting. Major indices did re-test the August lows towards the end of September, as news flow became very bearish on individual sectors like autos and commodities. Losses were posted to the Fund at the beginning of the fourth quarter. Throughout October equity volatility declined as central bankers talked up their respective stimulus packages which contributed to investors chasing equities higher. Despite the sector exposure flip to long positions losses were incurred on the short side. The largest detractor for the month was the long VIX position. Losses were posted to the Fund in the middle of the fourth quarter. The Fund made small positive returns in Asian and European equities, but this was overshadowed by losses in the U.S. and volatility futures. Short positioning in the VIX detracted most from performance. Losses were posted to the Fund at the end of the fourth quarter. The Fund approached the European Central Bank meeting in early December with net long equity exposure accumulated during a considerable risk rally in Europe ahead of the meeting. The shedding of risk seen in the market reaction after the European Central Bank did not expand quantitative easing transpired into the Fund cutting the net long exposure and building a net short delta throughout December. The net short exposure peaked mid-month and ended December with modest short exposure. U.S. equities did not fare much better after the U.S. Federal Reserve raised rates and U.S. equities reacted
with volatility and finished the year on the defensive. European sector swaps followed by the VIX were the largest detractors from performance in the equity sector.
The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The currency sector also contributed positively to performance in January, though it contained some of the top and bottom performing individual markets for the Trading Program. The dollar staged a rally, with the Fund benefitting from a short Euro position. The Trading Program had largely removed the Swiss franc from its core strategies avoiding the negative impact from the decision by the Swiss National Bank to remove the currency cap against the Euro. Profits were posted to the Fund in the middle of the first quarter. The currencies sector contributed positively to returns with the U.S. dollar index finishing February higher albeit in a relatively tight range over the month. The Fund generated gains from both a short Japanese yen position as well as a long New Zealand dollar position. Profits were posted to the Fund at the end of the first quarter. The currency sector was a source of gains for the Fund as the U.S. dollar index continued to rally against a number of currencies, which led to an element of profit taking as March drew to a close. The Fund made positive returns from the currency space despite this profit taking into March month end and, in particular, short exposure to the Euro and Swedish krone were a source of gains. Losses were posted to the Fund at the beginning of the second quarter. The currency sector saw negative performance in April. Large volatility due to over positioning in short Euro and long U.S. dollar against many other currencies contributed to negative performance. Profits were posted to the Fund in the middle of the second quarter. The currency sector contributed positively in May. U.S. dollar strength against other currencies resulted in positive contribution from the sector. The short Japanese yen and Swedish krona forward positions were top contributors for the Fund. Losses were posted to the Fund at the end of the second quarter. Currencies were one of the worst performing sectors in June. For the most part, the U.S. dollar traded sideways throughout June. This was largely due to Euro/U.S. dollar appearing stuck in a small range for much of June despite equities and bonds both moving aggressively on Greek headlines. The short Swedish krona forward position was the largest detractor in the sector. Profits were posted to the Fund at the beginning of the third quarter. Currencies were one of the top positive contributors throughout July as short Swedish krona, followed by short Canadian dollar positions were the top contributors in the currencies space. Losses were posted to the Fund in the middle of the third quarter as slightly larger negative returns seen in developed currencies, specifically short Euro and Swedish krona positions, offset the positive gains and resulted in the sectors negative performance. Losses were posted to the Fund at the end of the third quarter. Currencies overall detracted from performance in September. For the most part the U.S. dollar was flat in September, whereas some emerging market currencies saw declines as a result of political turmoil. The U.S. dollar finished September close to where it started, despite a mid-month dip, after the Federal Open Market Committee failed to raise rates which caused some profit-taking by longs. Losses were posted to the Fund at the beginning of the fourth quarter. The long U.S. dollar versus a host of other pairs decreased slightly by the end of October with mixed moves. The U.S. dollar proved a very challenging trade in October with a sharp sell off at the beginning of the month being countered and showing some strength into the end of the month. Profits were posted to the Fund in the middle of the quarter. A major theme throughout November was a persistent and strong bid for the U.S. dollar. This fared well for the Fund as the Trading Program has generally been long the U.S. dollar against a variety of currencies. Throughout the month the aggregate exposure of the long U.S. dollar versus a number of currencies increased. The Fund ended November with a solid return which was contributed by both G-10 and emerging markets FX crosses. Losses were posted to the Fund at the end of the fourth quarter. The currency sector was a detractor to performance in December. The Fund maintained long exposure to the U.S. dollar versus a number of foreign currencies; however, this exposure decreased significantly throughout the month. A large squeeze was seen in Euro/U.S. dollar after the European Central Bank meeting, as investors rushed to take off short exposure to the Euro. Most of the U.S. dollar losses occurred all in one day on this aggressive move, and spent the rest of the month consolidating. Despite a change in monetary policy and the delivery of an anticipated rate rise, the U.S. dollar could only reclaim approximately half of the losses experienced on that day. The majority of the losses in December were from short exposure to Swedish krona and Euro versus U.S. dollar.
The agriculture sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter primarily from short exposure to wheat during January. Losses were posted to the Fund in the middle of the first quarter because of the Funds short positioning in crops which was to the detriment of Fund performance. Losses were posted to the Fund at the end of the first quarter. The Fund experienced modest losses in crops from a short bias to the sector. Profits were posted to the Fund at the beginning of the second quarter. In April agriculture was strong with gains in short corn and wheat positions, where both trended lower in the face of good supply and higher yields due to better weather. Losses were posted to the Fund in the middle of the second quarter as the crops sector was a detractor for May. Losses were posted to the Fund at the end of the second quarter. Short positioning in crops in the beginning of June largely contributed to the negative performance as adverse weather conditions fuelled a large rally towards the end of June. Short wheat and corn positions were large contributors to the negative performance in the crop sector. Losses were posted to the Fund at the beginning of the third quarter. Crops were a slight detractor on performance, mainly due to long soybean positions that flipped short at the end of July. Losses were posted to the Fund in the middle of the third quarter as crops detracted from performance in August mainly due to a short position in soybeans. Losses were posted to the Fund at the end of the third quarter. Crops detracted from
performance, mainly due to short positioning in corn and wheat which experienced large short squeezes. Losses were posted to the Fund at the beginning of the fourth quarter. The Fund maintained net short positioning in agricultures. Short exposure in crops increased mainly by adding to the short positions in wheat and corn, while reducing longs in soymeal and soybean. Short live cattle was the top detractor in the sector due to the choppy trading environment. Profits were posted to the Fund in the middle of the fourth quarter. Profits were posted to the Fund at the end of the fourth quarter with crops ending December relatively flat and meats modestly down.
|
|
Total Trading |
| |
Year ended December 31, 2014 |
|
Profit (Loss) |
| |
Stock Indices |
|
$ |
(3,739,088 |
) |
Metals |
|
(1,212,825 |
) | |
Agricultural Commodities |
|
928,675 |
| |
Currencies |
|
1,517,178 |
| |
Energy |
|
(3,827,961 |
) | |
Interest Rates |
|
16,399,286 |
| |
Subtotal |
|
10,065,265 |
| |
Brokerage Commissions |
|
(530,630 |
) | |
Total |
|
$ |
9,534,635 |
|
The Fund experienced a net profit of $10,065,265 before brokerage commissions and related fees for the year ended December 31, 2014. Profits were primarily attributable to the Fund trading in the interest rate, currency and agriculture sectors posting profits. The metal, stock indices and energy sectors posted losses.
The interest rate sector posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. The top performing individual markets fell in January within the fixed income sectors. The Funds strategy entered January with a small net long bias to the sector and added to this over the course of January, benefitting from the flight out of risk assets into the safe haven of fixed income. Profits were posted to the Fund in the middle of the first quarter. The Funds small net long bias was maintained steadily through February. Losses were posted to the Fund at the end of the first quarter. Profits were posted to the Fund at the beginning of the second quarter. In April the U.S. Federal Reserve, European Central Bank, Bank of England and Bank of Japan all kept key interest rates unchanged. Peripheral yields in Europe continued to fall, and economic data improved modestly, but inflation remained low and medium-term inflation expectations also looked to have drifted lower. Profits were posted to the Fund in the middle of the second quarter as the short term interest rates sector benefitted from the general strength of fixed income markets. Profits were posted to the Fund at the end of the second quarter. In June the short term interest rate sector detracted slightly from performance, however this was more than offset by the positive contribution from the bond sector. Losses were posted to the Fund at the beginning of the third quarter as yields generally fell in Europe. Performance in the short term interest rate sector was influenced by changes in expectations of future rate changes, and detracted from performance. Profits were posted to the Fund in the middle of the third quarter. The Fund maintained its long positioning across many fixed income markets during August and benefitted as yields fell (prices rose), particularly in the developed markets where many benchmark yields fell, such as the German 10Y yield and the German 2Y yield. Losses were posted to the Fund at the end of the third quarter. The Trading Program reduced its long positioning across many fixed income markets during September, but the initial positions led to modest losses at the start of September as yields rose (prices fell), particularly in the U.S. Profits were posted to the Fund at the beginning of the fourth quarter. Positive performance in the fixed income sector was driven by long positioning across both bonds and short interest rates, and resulted in the sector producing each of the top three performing individual markets for the strategy. Positioning benefitted as prices rose in the first half October, and a gradual reduction in exposure then helped protect these gains as bond prices fell during the second half of October. Profits were posted to the Fund in the middle of the fourth quarter. Long positioning was moderately increased across fixed income markets during November, across both the bonds and short interest rates sectors, which benefitted strongly as yields declined in many markets. Profits were posted to the Fund at the end of the fourth quarter. Long positioning across fixed income markets was maintained during December, across both the bonds and short interest rates sectors. While bonds provided a positive contribution, the performance across individual markets was mixed and the sector contained some of the best and worst performing individual markets, with the Japanese government bonds and Italian BTP amongst the strongest and U.S. Treasuries amongst the weakest.
The currency sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter as the U.S. dollar, as measured by the Dollar Index, rose in January. Looking across individual currency pairs, the Australian dollar and the Euro both weakened versus U.S. dollar while the Japanese yen strengthened. The sector detracted
from performance in January with many moves representing a reversal of recent trends. Losses were posted to the Fund in the middle of the first quarter as the U.S. dollar, as measured by the Dollar Index, fell in February as most developed market currencies, Euro, British pound, Australian dollar and the Japanese yen rose against the U.S. dollar. The Fund held a net long bias to the U.S. dollar and although performance varied across currency pairs, the FX sector detracted from performance. Profits were posted to the Fund at the end of the first quarter. In currency markets the U.S. dollar was modestly stronger, as the Dollar index increased in March. In developed markets the Euro weakened against the U.S. dollar, as did the British pound. The Japanese yen also weakened while the Australian dollar strengthened. In emerging markets the Brazilian real and Russian ruble both strengthened, respectively. The FX sector was the largest positive contributor to performance, as persistent trends were identified and captured. Losses were posted to the Fund at the beginning of the second quarter due to the U.S. dollar being weaker, as several developed market currencies appreciated versus the dollar. In April the currency sector saw mixed returns, with prices of some major markets moving sideways or reversing the existing trends. The more difficult individual markets, detracting from performance, included NZD-USD and USD-JPY which both represented reversals of existing trends. The switch to overall net short positioning in U.S. dollar indicated a flexible response to broader market movements as the U.S. Dollar index (DXY) fell toward the end of April. Profits were posted to the Fund in the middle of the second quarter. In May the U.S. dollar strengthened. Profits were posted to the Fund at the end of the second quarter due to a strong individual contributor, NZD-USD, which having fallen in May rallied in June. Losses were posted to the Fund at the beginning of the third quarter due to weakening of several emerging market currencies. The EUR-USD and NZD-USD both experienced declines in July. Profits were posted to the Fund in the middle of the third quarter. The currency sector contributed positively to performance. The U.S. dollar generally strengthened against many major currencies, including the Euro, Japanese yen and New Zealand dollar but weakened slightly against the Australian dollar. Losses were posted to the Fund at the end of the third quarter. The currency sector contributed negatively to performance, as the accelerating movement in U.S. dollar strength led to losses in some currency pairs, including both Australian dollar and New Zealand dollar versus U.S. dollar. Profits were posted to the Fund at the beginning of the fourth quarter. The currencies sector contributed positively to performance overall, through a number of smaller contributions from individual markets. Short positioning in Euro and Japanese yen benefitted from a modest continuation of existing trends in both markets, with actions by the Bank of Japan, causing Japanese yen to notably weaken at the end of October. Profits were posted to the Fund in the middle of the fourth quarter. The currency sector provided one of the best performing individual markets through short positioning in JPY, which benefitted as the yen continued to weaken in response to actions by the Bank of Japan. Profits were posted to the Fund in the end of the fourth quarter. The U.S. dollar continued to strengthen, with the dollar index finishing December at its high for the year, and the Euro continued to weaken, with EUR-USD finishing at its low for the year. The Fund switched its net U.S. dollar bias from a small short to long early in December and consequently benefitted from the moves.
The agriculture sector posted profits to the Fund. Losses were posted to the Fund at the beginning of the first quarter as wheat continued its decline falling during January. Profits were posted to the Fund in the middle of the first quarter as drought conditions in Brazil helped push the agricultural sector higher, including soybeans which were one of the top performing markets for the strategy. Profits were posted to the Fund at the end of the first quarter. The crops sector reacted to a bullish report from the U.S.D.A., particularly for soybeans and corn, while risks in Ukraine also impacted wheat, pushing prices higher. Profits were posted to the Fund at the beginning of the second quarter. In April the agricultural sector was active as prices of the benchmark contracts rose on higher than expected demand figures, adding to gains for corn, wheat and soybeans. Profits were posted to the Fund in the middle of the second quarter. Losses were posted to the Fund at the end of the second quarter. The crop sector detracted from returns as several markets, such as soybeans, saw sharp price movements. Soybean prices largely held in the same range for most of the second quarter, but then broke lower after data from the USDA showed high levels of planting and stockpiles. Profits were posted to the Fund at the beginning of the third quarter. The crops sector was a positive contributor as, having switched to a short bias, it was correctly positioned to benefit from the continued declines in prices, such as falling corn and wheat prices. Profits were posted to the Fund in the middle of the third quarter. Profits were posted to the Fund at the end of the third quarter. The crops sector contributed strongly as short positioning benefitted from a resumption of the downward trend that had developed in benchmark markets in the summer. Losses were posted to the Fund at the beginning of the fourth quarter. Previously established downward trends in the crops sector generally reversed course during October, and ran counter to the short positioning held by the strategy. This was exemplified by corn, which rose and was one of the bottom returning markets for the strategy during October. Losses were posted to the Fund in the middle of the fourth quarter. The crops sector detracted from the Fund, as most markets experienced choppy price during November. Losses were posted to the Fund in the end of the fourth quarter as rallies early in December tended to reverse by month end.
The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter as gold regained some of its safe haven status, up in January, while industrial metals tended to fall on weaker growth and demand expectations. Losses were posted to the Fund in the middle of the first quarter. Precious metals continued the trend from January with prices rising, while industrial metals were more subdued and registered small price gains as a group. Profits were posted to the Fund at the end of the first quarter. Fears of a slowdown in Chinese growth caused a sell-off in the
copper market. Gold prices fell in March on reduced demand for the safe haven asset. Losses were posted to the Fund at the beginning of the second quarter. In April the metals sector was relatively range-bound. Metal prices generally recovered from the losses of March. Losses were posted to the Fund in the middle of the second quarter as gold was particularly weak as it lost ground in connection with a stronger dollar and rising risk appetites in general. Losses were posted to the Fund at the end of the second quarter. Profits were posted to the Fund at the beginning of the third quarter. In July the metals sector contributed small positive gains as base metal prices modestly extended recent gains. Losses were posted to the Fund in the middle of the third quarter. The metals sector detracted slightly with varied price movements across markets. Profits were posted to the Fund at the end of the third quarter. Losses were posted to the Fund at the beginning of the fourth quarter. Profits were posted to the Fund in the middle of the fourth quarter as the metal complex provided a modest positive contribution to the Fund. Losses were posted to the Fund at the end of the fourth quarter as markets experienced large ranges but small net moves in December.
The stock indices sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The equity sector detracted from performance as markets retreated. In response to these market moves the Fund cut risk exposure to the sector. While the most significant price moves were seen in the Nikkei, other major indices such as the S&P 500, EuroStoxx and FTSE also experienced falls. Profits were posted to the Fund in the middle of the first quarter. The equity sector provided the largest contribution to performance in February. Long positioning of the Funds strategy benefitted from the strong equity markets, as investor risk appetite returned and the recent focus on emerging market concerns faded. Losses were posted to the Fund at the end of the first quarter as equity sector returns were mixed and demonstrated few persistent trends. Losses were posted to the Fund at the beginning of the second quarter due to price drops in stocks linked to the technology area. Long positioning was maintained in the equity sector during April, though with a reduced delta. Benchmark indices saw diverse returns, with muted performance in the S&P500 and Nasdaq; the Nikkei recorded loss; and the FTSE 100 recorded gain. Profits were posted to the Fund in the middle of the second quarter. In May the equities sector was a strong contributor to performance, with long positions benefitting from a widespread rally across benchmark contracts. Profits were posted to the Fund at the end of the second quarter. In June equity indices around the globe showed diverse performance, for example the S&P 500 and the Nikkei indices rose, while the FTSE and EuroStoxx indices fell. The Fund maintained a long bias to the equity sector through June. Profits were posted to the Fund at the beginning of the third quarter. The Fund saw a small gain coming from the equity sector, where it maintained a long bias through July. The exposure was trimmed towards July month end as many developed market indices lost ground in moves triggered by poor economic data and flaring of geopolitical concerns. Profits were posted to the Fund in the middle of the third quarter as a long bias in the equity sector was maintained, and slightly increased through August. This benefitted the Trading Program as many equity markets recovered ground lost in July, and some such as the S&P 500, which broke through the 2000 level, reached new highs; though differentiation was still observed as a number of markets, notably in Asia, did not participate in the broader move. Losses were posted to the Fund at the end of the third quarter. A long bias in the equity sector was significantly reduced over September, and implemented broadly across geographies, helping to protect against the price falls that occurred across a number of markets. Losses were posted to the Fund at the beginning of the fourth quarter. A long bias in the equities sector was quickly reduced during October as a number of global markets initially fell. The strategy briefly reached a small net short positioning in equities, though this was not sustained as equity markets then generally rallied during the second half of October. The equities sector was the largest detractor from returns. Profits were posted to the Fund in the middle of the fourth quarter as the Trading Program increased its long bias in the equities sector during November, adding exposure to a number of markets globally and consequently benefitted from an extension of the rally that had taken hold during the latter half of October, particularly in major developed countries. Losses were posted to the Fund at the end of the fourth quarter. Political events influenced markets during December as Prime Minister Abes coalition was re-elected in Japan, while deadlock occurred in Greeces presidential election. Economic data were mixed during December; with further improvement in U.S. labor markets highlighted by strong monthly payroll numbers, while growth momentum slowed in the Euro area and fuelled speculation that quantitative easing may still be necessary.
The energy sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The energy complex was generally lower in January, with the exception of natural gas where the cold winter weather resulted in higher demand in the U.S. With the Funds strategy holding net long exposure to the sector, the general price fall in the sector resulted in it detracting from performance. Profits were posted to the Fund in the middle of the first quarter. In February, cold weather conditions in the U.S. lifted natural gas and heating oil prices. Crude oil prices resumed an upward move in February after recent price consolidation, with West Texas Intermediate rising. Losses were posted to the Fund at the end of the first quarter. An overall long bias was maintained in the energy sector in March, though reduced physical demand for crude oil and a modest sale of stocks by the U.S. limited any price reaction to the geopolitical risks linked to Russia. Natural gas prices fell back in March as forecasts predicted warming weather trends. Profits were posted to the Fund at the beginning of the second quarter. In April the energy sector was relatively range-bound, while natural gas was lifted by production issues arising in key supply areas. Profits were posted to the Fund in the middle of the second quarter due to oil prices moving higher. Profits were posted to the Fund at the end of the second quarter due to a strong contribution in
performance from RBOB gasoline. Losses were posted to the Fund at the beginning of the third quarter. This was driven by two of the worst performing individual markets in July: WTI Crude and Gasoline RBOB. The crude oil and distillate markets reversed the previously established positive trend on improved supply estimates, despite the ongoing geopolitical tensions; this prompted a marked reduction in the Trading Programs risk allocated to the sector. Losses were posted to the Fund in the middle of the third quarter. Long positioning in energies, particularly gasoline and crude oil, caused losses as price falls were extended through August on renewed supply availability and fears of economic weakness inducing lower demand. Losses were posted to the Fund at the end of the third quarter. Losses were posted to the Fund at the beginning of the fourth quarter. Mixed results occurred in the energy sector, as individual markets provided both winning and losing positions, to result in a net loss. Losses were posted to the Fund in the middle of the fourth quarter. The energy sector detracted as large price movements and volatility were seen in many markets. During November crude oil declined, following OPECs decision to maintain production levels. Profits were posted to the Fund at the end of the fourth quarter as most energy markets continued to build on the moves witnessed in December, with WTI and Brent crude down.
|
|
Total Trading |
| |
Year ended December 31, 2013 |
|
Profit (Loss) |
| |
Stock Indices |
|
$ |
21,487,562 |
|
Metals |
|
(420,315 |
) | |
Agricultural Commodities |
|
(2,334,162 |
) | |
Currencies |
|
(7,175,453 |
) | |
Energy |
|
(8,749,395 |
) | |
Interest Rates |
|
(14,152,361 |
) | |
Subtotal |
|
(11,344,124 |
) | |
Brokerage Commissions |
|
(815,030 |
) | |
Total |
|
$ |
(12,159,154 |
) |
The Fund experienced a net loss of $11,344,124 before brokerage commissions and related fees for the year ended December 31, 2013. Profits were primarily attributable to the Fund trading in the stock indices sectors posting profits. The agriculture, currency, energy, interest rate and metal sectors posted losses.
The stock indices posted profits to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Equity markets around the globe benefitted as the more optimistic mood at the start of the year drove indices to multi-year highs. The Trading Program benefitted from this rally as it maintained, and slightly increased, its net long exposure to the sector. The result was that the equity sector was the largest contributor to the Funds performance. Losses were posted to the Fund in the middle of the first quarter as equity index performance varied markedly around the globe. Profits were posted to the Fund at the end of the first quarter. The equity sector provided the strongest positive contribution to performance in March as many, but not all, equity indices rallied strongly. Profits were posted to the Fund at the beginning of the second quarter as the Trading Program held a net long exposure to the equity markets. Equity indices around the globe continued to rally in April including the Nikkei as stimulus plans were announced by the Bank of Japan. The EuroStoxx index was up. In the U.S., where many companies reporting earnings in April exceeded analyst forecasts, the S&P 500 index was up. Profits were posted to the Fund in the middle of the second quarter as equity indices in the U.S. and Europe continued to rally. Losses were posted to the Fund at the end of the second quarter. European and U.S. equity markets reversed their recent price trends in June, with the indices finishing in negative territory despite staging a slight recovery from the intra-month lows as month-end approached. European markets lagged the U.S. The Japanese stock market continued to exhibit significant volatility, but in contrast to European and U.S. stock markets, was only marginally down for June. In aggregate, these moves were against the net long bias that the Trading Program held at the beginning of June resulting in losses posted to the Fund. Profits were posted to the Fund at the beginning of the third quarter as equity indices around the globe generally responded to the positive sentiment and rallied strongly. In the U.S., the corporate earnings season kicked off and typically exceeded expectations, lifting the S&P 500 index higher. These moves benefitted the Trading Programs long positions in the equity sector, a directional bias that was added to over the course of July and as a result the sector contained the three largest individual contributors to Fund performance. Losses were posted to the Fund in the middle of the second quarter. Equity markets while initially continuing the rally seen in July, then fell back and finished August in negative territory. The Trading Program held a long bias in the sector at the start of August, and although this was substantially reduced over the month, maintained the long bias at month end. As a result the equity sector was the worst performing sector for the Fund in August. Profits were posted to the Fund at the end of the third quarter. The equity sector provided the greatest contribution to returns, with the Trading Program benefitting from the net long exposure held at the start of September and as indices rose the strategy added to the exposure before trimming slightly as markets retreated into month-end. At the same time
volatility in the equity markets continued to fall, benefitting the Trading Programs short positions held in the VIX index. Profits were posted to the Fund at the beginning of the fourth quarter. Global equity markets tended to rally through October, with the Nikkei being the only major market to underperform. The IBEX 35 index, which rose in October, was one of the largest individual contributors to performance. Profits were posted to the Fund in the middle of the fourth quarter as global equity markets continued to rally through November. Of the major indices the performance of the Nikkei stood out; having lagged other indices in October. Losses were posted to the Fund at the end of the quarter as markets initially fell moving against the long bias held by the Fund. The model reacted by reducing the long bias and consequently the exposure in the second half of December, when markets rallied, was lower, and left the sector contribution close to flat by the end of December.
The metals sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The metal sector marginally detracted from performance with no significant individual drivers. Losses were posted to the Fund in the middle of the first quarter as metal markets fell moving against the net long position that the Trading Program held at the start of February. Profits were posted to the Fund at the end of the first quarter. The metal sector provided a positive contribution to the Trading Programs performance as copper prices continued to fall during March. Profits were posted to the Fund at the beginning of the second quarter resulting from the Trading Programs net short exposure in gold and copper which fell during April. In May gold prices continued to move lower resulting in losses posted to the Fund in the middle of the second quarter. The second quarter ended with profits posted to the Fund. Both precious and base metals slid in June as markets reacted to the U.S Federal Reserves statements on QE and also to signs that Chinas growth might be reined in. Copper fell through June in response to uncertainty about Chinese demand. The fall benefitted the Trading Programs short position in the market resulting in profits posted to the Fund. Gold fell towards the end of June. Losses were posted to the Fund at the beginning of the third quarter as the downward price trends in both base and precious metals reversed. Gold recovered from Junes lows, up in July, while copper was fairly range-bound finishing up in July. Both of these moves were against the short bias that the Trading Program held in the sector, which consequently detracted from returns. Losses were posted to the Fund in the middle of the third quarter. Gold continued the rally that started in July and copper, which peaked intra-month fell back at the end of August. These price moves were against the Trading Programs short bias that it held at the beginning of August and despite switching to a long bias, the sector still detracted from returns. Losses were posted to the Fund at the end of the third quarter. Gold prices fell in September despite having surged after the U.S. Federal Reserve did not initiate tapering of its QE program. Having held a long bias in the metal sector at the beginning of September, a position that had reversed by months end, losses were posted to the Fund at the beginning of the fourth quarter. The intra-month volatility was also evident in commodity markets such as gold, where price movements largely reflected changing sentiment with respect to the U.S. debt ceiling discussions and later in October the potential delay in tapering by the U.S. Federal Reserve. Profits were posted to the Fund in the middle of the fourth quarter. The Trading Program reversed the net direction bias it held in the metal sector in November moving from a small net long to a net short position. Losses were posted to the Fund at the end of the quarter as gold continued to fall in December.
The agriculture sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. The agriculture sector marginally detracted from performance with no significant individual drivers. Losses were posted to the Fund in the middle of the first quarter as crop markets fell moving against the net long position that the Trading Program held at the start of February. Losses were posted to the Fund at the end of the first quarter. Within the commodity markets the crop sector detracted from performance, and contained one of the worst performing individual markets corn. With prices having risen steadily through March, approaching their year-to- date highs, inventory data released by the USDA indicated that inventories and projected planting were both significantly higher than market expectations. The result was a sharp fall in corn prices on the day the USDA released their data. Losses were posted to the Fund at the beginning of the second quarter. Corn plunged in April as inventory data and planting forecasts exceeded analyst forecasts which contributed to the negative performance from the crop sector. Profits were posted to the Fund in the middle of the second quarter. The Trading Program switched from a net short to net long bias, benefitting from price rises, such as the increase in soybean futures from rising Chinese demand. Losses were posted to the Fund at the end of the second quarter as soybeans, reversed their recent price trends. Losses were posted to the Fund at the beginning of the third quarter. The crop sector detracted marginally from returns as several markets, including soybeans which were down moved against the long bias that the Trading Program held at the start of the July and by the end of the month was net short the crop sector. Profits were posted to the Fund in the middle of the third quarter. One notable mover was soybeans, which reversed their recent trend lower as hot, dry weather in the U.S. Midwest threatened to lower yields from the worlds biggest grower; soybean futures finished higher at the end of August. Losses were posted to the Fund at the end of the third quarter. The crop sector also posted a negative performance contribution. The Trading Programs short position in corn benefitted as prices dropped due to fall in demand. Losses were posted to the Fund at the beginning of the fourth quarter due to losses from crops. Profits were posted to the Fund in the middle of the fourth quarter as the price of corn continued to fall in November. Profits were posted to the Fund at the end of the fourth quarter. The agricultural sector was a positive contributor to performance in December
and contained one of the top performing markets, wheat. Wheat prices fell in December as forecasts showed reduced risk of frost damage to crops in the U.S.
The currency sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. In the FX markets, the broader Dollar Index initially rose before falling to finish down at the end of January. The moves in individual currencies were, in some cases, more extreme and in aggregate the FX sector delivered a strong positive contribution. The continued weakening of the Japanese yen saw U.S. dollar-Japanese yen rise, reaching levels not seen since mid-2010; this move benefitted the Trading Programs short Japanese yen position. Losses were posted to the Fund in the middle of the first quarter. In FX markets, the broad Dollar Index rallied strongly, having generally trended downward over the previous two and a half months. The strong moves in individual currency pairs resulted in the sector containing two of the worst performing markets and combined to leave the FX sector as the second highest detractor. Profits were posted to the Fund at the end of the first quarter. Losses were posted to the Fund at the beginning of the second quarter. In FX markets, the broad Dollar Index continued to fall in April. The Japanese yen continued to weaken and the Euro reversed recent moves and strengthened. In combination, moves in the FX markets resulted in the sector delivering a small negative performance contribution. Losses were posted to the Fund in the middle of the second quarter. In FX markets, the broad Dollar Index reversed recent moves and rose in May. The Japanese yen continued to weaken however, the intra-month move was more substantial having weakened mid-month before recovering slightly. In combination, moves in the FX markets resulted in the sector delivering a negative performance contribution. Losses were posted to the Fund at the end of the second quarter. Aggregate moves in the currency space resulted in a negative contribution from the sector. Losses were posted to the Fund at the beginning of the third quarter. The U.S. dollar, as represented by the Dollar Index, initially rallied before falling back and finishing down in July. In combination, moves in the currency markets resulted in the FX sector delivering a negative performance. Losses were posted to the Fund in the middle of the third quarter. Movements in currency markets, where the Dollar Index rose in August having been fairly range bound, resulted in a series of small gains and losses across the set of markets traded; the cumulative result being flat performance for the sector. Losses were posted to the Fund at the end of the third quarter as the Dollar Index fell reversing the positive trend that had appeared in the second half of August. With mixed performance between markets, for example U.S. dollar-Japanese yen up and Euro-British pound up the sector detracted from the Fund performance in September. Losses were posted to the Fund at the beginning of the fourth quarter. the Dollar Index finished the month almost unchanged, but moved intra- month; this fluctuation, coupled with mixed performance across other individual markets, caused the sector to detract from the Funds performance. Profits were posted to the Fund in the middle of the fourth quarter. The FX sector contained both one of the largest individual contributors and one of the largest detractors from the Funds performance. The Trading Programs short bias to the Japanese yen proved profitable as it weakened against the U.S. dollar; however the long bias to the Australian dollar detracted from performance as it weakened against the U.S. dollar. Losses were posted to the Fund at the end of the fourth quarter as the U.S. dollar, as measured by the Dollar Index, fell in December.
The energy sector posted losses to the Fund. Profits were posted to the Fund at the beginning of the first quarter. Energy markets, in general, rallied strongly in January which benefitted the Trading Programs long positions; RBOB Gasoline, which rose in price in January, was one of the top individual contributors to the Trading Programs performance. Losses were posted to the Fund in the middle of the first quarter. The worst performing sector in February was the energy sector. In general these markets continued their upward trend through the first half of February before reversing and then finishing the month significantly lower (for example, Brent Crude rallied before reversing and finishing the month down). The sharp price falls followed the latest inventory data released by the American Petroleum Institute (API) which indicated that U.S. crude stock piles had risen to their highest level since December. Losses were posted to the Fund at the end of the first quarter. The unusually cold start to spring in the U.S. led to a surge in the price of natural gas, while optimism on the economic recovery in the U.S. were in part responsible for the rise in WTI crude futures. Losses were posted to the Fund at the beginning of the second quarter resulting from the Trading Programs net long exposure in the energy complex. U.S. crude oil inventories climbed and the International Energy Agency trimmed its forecast for global demand, WTI crude futures fell over the first half of April before recovering slightly into month end. Losses were posted to the Fund in the middle of the second quarter. Despite the initial rallies of several markets, most markets proceeded to fall and ended down in May which went against the Trading Programs net long position in the sector. Losses were posted to the Fund at the end of the second quarter. WTI crude prices rose as investors reacted to the worsening unrest in Syria and a shrinking of U.S. stockpiles. Elsewhere, natural gas prices fell as mild weather shrank demand and saw inventories rise. Profits were posted to the Fund at the beginning of the third quarter. Most energy markets rallied in July with WTI crude up during the month following successive weekly drops in U.S. inventories. Profits were posted to the Fund in the middle of the third quarter. The energy complex generally saw prices rise over the course of August in response to growing tensions involving Syria. These price rises benefitted the Trading Programs long positions in the energy sector, and saw risk being added during August. Losses were posted to the Fund at the end of the third quarter. As tensions involving Syria eased prices in the energy complex fell from their recent highs, for example Brent Crude fell in September. Gasoline futures slid as inventories were expected to rise. Losses were posted to the Fund at the beginning of the fourth quarter as energy prices displayed a reasonable level of
price volatility, however most fell over the month; West Texas Intermediate saw prices react to changing inventory data, initially rallying as stockpiles fell before prices falling as data mid-month showed a strong rise in inventories. In October, Natural Gas prices initially rose before finishing down while West Texas Intermediate prices rallied before falling to finish down in October. Losses were posted to the Fund in the middle of the fourth quarter as a as a number of markets experienced sharp reversals of their recent trend; one of the largest individual detractors was natural gas, which having initially continued to cheapen, finished the month of November sharply higher. Losses were posted to the Fund at the end of the fourth quarter. Shrinking stockpiles and the plan to start part of the Keystone XL pipeline in January saw West Texas Intermediate Crude prices peak intra-month before they settled back to finish up. As a result of prices retreating in the final few trading days of the year, and the net long positioning of the Fund, the sector detracted from returns.
The interest rate sector posted losses to the Fund. Losses were posted to the Fund at the beginning of the first quarter. A consequence of the risk-on rally that benefitted the equity sector in January was that fixed income markets retreated, with both bond futures and short term interest rate futures falling. This price movement was against the long positions held by the Trading Program and resulted in the fixed income sectors being the largest detractors from performance; these sectors also contained the three worst performing markets over the period as well. In response to these falls in price, the Trading Program substantially reduced position sizes within both the bond and short term interest rate sectors. Profits were posted to the Fund in the middle of the first quarter. In response to the weaker European data and concerns over the economic environment in both Europe and the U.S., global fixed income markets tended to reflect lower interest rates in February. This benefitted the Trading Programs net long positions in both bond and short term interest rate futures. Profits were posted to the Fund at the end of the first quarter as the Trading Program maintained its net long positions in both the bond and short term interest rate futures. European and UK 10 year bond futures rose, while the moves in the U.S. and Japanese 10 year bond futures were slightly more muted. Price movements in the short term interest rate sector were less consistent and led to the sector detracting slightly from performance. Profits were posted to the Fund at the beginning of the second quarter. The size of the moves in U.S. fixed income drove three of the markets across maturities to be the largest individual positive contributors to Fund performance. Losses were posted to the Fund in the middle of the second quarter. In light of the significant moves witnessed in global fixed income markets, reversing many trends that had persisted for extended periods of time, the largest detractors from Fund performance were the fixed income sectors (both bonds and short term interest rates). Losses were posted to the Fund at the end of the second quarter. In response to the falls in fixed income markets in June caused by extensive deleveraging of market participants following comments from Federal Reserve Chairman Bernanke on potential reduction in quantitative easing, the Trading Program continued to reduce long positions before starting to initiate a net short bias across the sector. The speed and magnitude of the market moves was such that the Trading Program had insufficient time to reposition before experiencing losses, and as a result both bonds and short term interest rates detracted from Fund performance in June. Losses were posted to the Fund at the beginning of the third quarter. Market movements within the fixed income sectors varied as the U.S. bond futures ended July down, however European bund futures were up intra-month and ended up as a detracting market. The fixed income sectors, bonds and short term interest rates, contributed negatively to performance in aggregate. Profits were posted to the Fund in the middle of the third quarter. Fixed income markets, both short term interest rates and bonds, benefitted as yields rose in general. However, performance across the various markets and regions varied and the sector contained both one of the top contributing markets (Brazilian IRS) and one of the largest detractors Australian 3 year bonds. Profits were posted to the Fund at the end of the third quarter. Fixed income futures, both bonds and short term interest rates, rose over the course of September. As a result, the Trading Program moved from holding a slight short bias to a slight long bias in the sectors, and was able to benefit from these moves. The Japanese Government Bond (JGB) futures, which rose during September was one of the largest individual contributors to Fund returns. Profits were posted to the Fund at the beginning of the fourth quarter with bond prices around the globe generally rising, the fixed income sectors, both bonds and short term interest rates, contributed positively to performance. The Trading Program added to its net long exposure over the course of October. However, movements were not uniform across the markets covered by the strategy, and the bond sector contained both one of the greatest individual contributors and one of the largest detractors from performance in October. The JGB position, in which the Trading Program was net long, benefitted as the futures rose, while the Australian 3 year bond finished down and detracted from performance. Losses were posted to the Fund in the middle of the fourth quarter with the bond sector ending up as the largest detractor for November while the short term interest rate sector contributed positively to returns. In the U.S. and UK yields rose in response to increased optimism for the economic outlook, while in other regions such as Japan and Germany yields were almost unchanged in November. At the front end of the yield curve, the long bias that the Trading Program held in short term interest rate futures benefitted as both the U.S. Federal Reserve and the European Central Bank continued to stress that interest rates would not rise for some time yet. Losses were posted to the Fund at the end of the fourth quarter. With yields rising in most markets the moves were against the Trading Programs long bias held in the sector, which resulted in the strategy reducing its net exposure.
Variables Affecting Performance
The principal variables that determine the net performance of the Fund are gross profitability from the Funds trading activities and interest income.
The Fund currently earns interest based on the prevailing Fed Funds rate plus a spread for short cash positions and minus a spread for long cash positions. The current short term interest rates have remained extremely low when compared with historical rates and thus has contributed negligible amounts to overall Fund performance.
During all periods set forth above in Selected Financial Data, the interest rates in many countries were at unusually low levels. In addition, low interest rates are frequently associated with reduced fixed income market volatility, and in static markets the Funds profit potential generally tends to be diminished. On the other hand, during periods of higher interest rates, the relative attractiveness of a high risk investment such as the Fund may be reduced as compared to high yielding and much lower risk fixed-income investments.
The Funds management fees and Sponsor fees are a constant percentage of Funds assets. Brokerage commissions, which are not based on a percentage of the Funds assets, are based on actual round turns. The performance fees payable to the Trading Advisor are based on increase in the aggregate Net Asset Value of Classes of Units subject to the same rate of performance fees in excess of the High Water Mark, excluding interest and prior to reduction for Sponsor fees.
Unlike many investment fields, there is no meaningful distinction in the operation of the Fund between realized and unrealized profits. Most of the contracts traded by the Fund are highly liquid and can be closed out at any time.
Except in unusual circumstances, factorsregulatory approvals, cost of goods sold, employee relations and the likewhich often materially affect an operating business, have no material impact on the Fund.
Liquidity; Capital Resources
The Fund borrows 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 Funds U.S. dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency.
Substantially all of the Funds assets are held in cash with the brokers. Changes in interest rates could cause periods of strong up or down price trends, during which the Funds profit or loss potential might increase. Inflation in commodity prices could also generate price movements, which the strategies might successfully follow. The 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 Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.
As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash, which it must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the 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 Fund, has the ability to override decisions of the Trading Advisor to fund redemptions if necessary, but in practice the Trading Advisor would determine in its discretion which investments should be liquidated.
The Fund 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.
Recent Accounting Developments
Recent accounting developments, if any, are discussed in the notes to the financial statements, which are included in Exhibit 13.01.
Item 7A: Quantitative and Qualitative Disclosures About Market Risk
Introduction
The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes and all or substantially all of the 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 Funds main line of business.
Market movements result in frequent changes in the fair market value of the Funds open positions and, consequently, in its earnings and cash flow. The 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 Funds open positions and the liquidity of the markets in which it trades.
The Fund, under the direction of the Trading Advisor, rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Funds past performance is not necessarily indicative of its future results.
Value at Risk is a measure of the maximum amount which the Fund could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Funds speculative trading and the recurrence in the markets traded by the Fund of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the 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 quantifications included in this section should not be considered to constitute any assurance or representation that the Funds losses in any market sector will be limited to Value at Risk or by the Funds attempts to manage its market risk.
Quantifying The Funds Trading Value At Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Funds 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.
The Funds risk exposure in the various market sectors traded by the Trading Advisor is quantified below in terms of Value at Risk. Due to the Funds fair value accounting, any loss in the fair value of the Funds open positions is directly reflected in the Funds 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 Fund as the measure of its 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 Fund), 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 categorys aggregate Value at Risk. The diversification effects resulting from the fact that the Funds positions are rarely, if ever, 100% positively correlated have not been reflected.
The Funds Trading Value at Risk in Different Market Sectors
The following table indicates the average, highest and lowest trading Value at Risk associated with the Funds open positions by market category for the fiscal periods. During the years ended December 31, 2015 and 2014, the Funds average month-end Net Asset Value was approximately $60,251,788 and $92,425,259, respectively.
December 31, 2015
|
|
Average Value |
|
% of Average |
|
Highest Value |
|
Lowest Value |
| |||
Market Sector |
|
at Risk |
|
Capitalization |
|
at Risk |
|
at Risk |
| |||
|
|
|
|
|
|
|
|
|
| |||
Agriculture |
|
$ |
172,028 |
|
0.29 |
% |
$ |
570,512 |
|
$ |
41,374 |
|
Currencies |
|
709,862 |
|
1.18 |
% |
1,566,819 |
|
204,561 |
| |||
Energy |
|
469,715 |
|
0.78 |
% |
773,828 |
|
188,453 |
| |||
Interest Rates |
|
3,347,087 |
|
5.56 |
% |
6,155,945 |
|
1,164,038 |
| |||
Metals |
|
500,090 |
|
0.83 |
% |
1,151,277 |
|
70,754 |
| |||
Stock Indices |
|
665,788 |
|
1.11 |
% |
1,344,426 |
|
199,252 |
| |||
|
|
|
|
|
|
|
|
|
| |||
Total |
|
$ |
5,864,570 |
|
9.75 |
% |
$ |
11,562,807 |
|
$ |
1,868,432 |
|
December 31, 2014
|
|
Average Value |
|
% of Average |
|
Highest Value |
|
Lowest Value |
| |||
Market Sector |
|
at Risk |
|
Capitalization |
|
at Risk |
|
at Risk |
| |||
|
|
|
|
|
|
|
|
|
| |||
Agriculture |
|
$ |
2,349,173 |
|
2.54 |
% |
$ |
3,420,214 |
|
$ |
1,137,530 |
|
Currencies |
|
2,356,613 |
|
2.55 |
% |
4,173,786 |
|
1,269,667 |
| |||
Energy |
|
950,671 |
|
1.03 |
% |
1,911,421 |
|
498,438 |
| |||
Interest Rates |
|
2,441,383 |
|
2.64 |
% |
4,474,454 |
|
1,540,184 |
| |||
Metals |
|
308,726 |
|
0.33 |
% |
565,440 |
|
101,357 |
| |||
Stock Indices |
|
1,558,598 |
|
1.69 |
% |
3,355,866 |
|
242,835 |
| |||
|
|
|
|
|
|
|
|
|
| |||
Total |
|
$ |
9,965,164 |
|
10.78 |
% |
$ |
17,901,181 |
|
$ |
4,790,011 |
|
Material Limitations on Value at Risk as an Assessment of Market Risk
The face value of the market sector instruments held by the Fund is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally ranging between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Fund. The magnitude of the Funds open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions unusual, but historically recurring from time to time could cause the Fund to incur severe losses over a short period of time. The foregoing Value at Risk table as well as the past performance of the Fund gives no indication of this risk of ruin.
Non-Trading Risk
Foreign Currency Balances; Cash on Deposit with MLPF&S and MLI
The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial.
The Fund also has non-trading market risk on the approximately 90% of its assets which are held in cash at
MLPF&S. The value of this cash is not interest rate sensitive, but there is cash flow risk in that if interest rates decline so will the cash flow generated on these monies.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Funds market risk exposures except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Fund manages its primary market risk exposures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Funds primary market risk exposures as well as the strategies used and to be used by MLAI and the Trading Advisor for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Funds risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Funds current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of the time value of their investment in the Fund.
The following were the primary trading risk exposures of the Fund as of December 31, 2015, by market sector.
Interest Rates
Interest rate movements directly affect the price of derivative sovereign bond positions held by the Fund and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Funds profitability. The Funds primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. However, the Fund also takes positions in the government debt of smaller nations e.g., Australia. MLAI anticipates that G-7 interest rates will remain the primary market exposure of the Fund for the foreseeable future.
Currencies
The Fund trades in a number of currencies. However, the Funds major exposures have typically been in the U.S. dollar/Japanese yen, U.S. dollar/Euro and U.S. dollar/New Zealand dollar positions. The Fund does not anticipate that the risk profile of the Funds currency sector will change significantly in the future. The currency trading Value at Risk figure includes foreign margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk of maintaining Value at Risk in a functional currency other than U.S. dollars.
Stock Indices
The Funds primary equity exposure is to S&P 500, Nikkei and German DAX equity index price movements. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Asian indices.
Metals
The Funds metals market exposure is to fluctuations in the price of precious and non-precious metals.
Agricultural Commodities
The Funds primary agricultural commodities exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions. Soybeans, corn, and grains accounted for the substantial bulk of the Funds agricultural commodities exposure as of December 31, 2015.
Energy
The Funds primary energy market exposure is to natural gas and crude oil price movements, often resulting from political developments in the Middle East. Oil prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the primary non-trading risk exposures of the Fund as of December 31, 2015.
Foreign Currency Balances
The Funds primary foreign currency balances are in Japanese Yen, British Pound and Euros.
U.S. Dollar Cash Balance
The Fund holds the vast majority of its U.S. dollars in cash at MLPF&S and MLI. The Fund has immaterial cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
Trading Risk
MLAI has procedures in place intended to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. While MLAI does not itself intervene in the markets to hedge or diversify the Funds market exposure, MLAI may urge the Trading Advisor to reallocate positions in an attempt to avoid over-concentrations. However, such interventions are unusual, except in cases in which it appears that the Trading Advisor has begun to deviate from past practice and trading policies or to be trading erratically. MLAIs basic control procedures consist of the process of monitoring the Trading Advisor with the market risk controls being applied by the Trading Advisor itself.
Risk Management
The management of risk is an integral part of the Trading Program. The Trading Advisors focus within risk management is on targeting, measuring and managing risk. Owing to the leverage inherent in futures trading, position sizes are set according to the Trading Advisors expectation of the risk that the positions will provide, rather than the amount of capital required to fund the positions.
Non-Trading Risk
The Fund controls the non-trading exchange rate risk by regularly converting foreign currency balances back into U.S. dollars at least once per week, and more frequently if a particular foreign currency balance becomes unusually high.
The Fund has cash flow interest rate risk on its cash on deposit with MLPF&S in that declining interest rates would cause the income from such cash to decline. However, a certain amount of cash or cash equivalents must be held by the Fund in order to facilitate margin payments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on its cash held on deposit at MLPF&S.
Item 8: Financial Statements and Supplementary Data
The following quarterly information is unaudited
Net Income(Loss) by Quarter
Eight Quarters through December 31, 2015
|
|
Fourth |
|
Third |
|
Second |
|
First |
|
Fourth |
|
Third |
|
Second |
|
First |
| ||||||||
|
|
Quarter |
|
Quarter |
|
Quarter |
|
Quarter |
|
Quarter |
|
Quarter |
|
Quarter |
|
Quarter |
| ||||||||
|
|
2015 |
|
2015 |
|
2015 |
|
2015 |
|
2014 |
|
2014 |
|
2014 |
|
2014 |
| ||||||||
Total Income (Loss) |
|
$ |
(1,142,951 |
) |
$ |
3,694,647 |
|
$ |
(7,393,578 |
) |
$ |
10,979,237 |
|
$ |
4,568,230 |
|
$ |
331,591 |
|
$ |
9,187,083 |
|
$ |
(4,548,965 |
) |
Total Expenses |
|
305,911 |
|
$ |
683,855 |
|
$ |
(708,638 |
) |
2,553,172 |
|
733,736 |
|
734,440 |
|
821,011 |
|
894,207 |
| ||||||
Net Income (Loss) |
|
$ |
(1,448,862 |
) |
$ |
3,010,792 |
|
$ |
(6,684,940 |
) |
$ |
8,426,065 |
|
$ |
3,834,494 |
|
$ |
(402,849 |
) |
$ |
8,366,072 |
|
$ |
(5,443,172 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Net Income (Loss) per weighted average Unit (1) |
|
$ |
(0.0322 |
) |
$ |
0.0654 |
|
$ |
(0.1220 |
) |
$ |
0.1141 |
|
$ |
0.0500 |
|
$ |
(0.0051 |
) |
$ |
0.0933 |
|
$ |
(0.0527 |
) |
(1) The Net Income (Loss) per weighted average unit is based on the weighted average of the total units for each quarter.
The financial statements required by this Item are included in Exhibit 13.01.
The supplementary financial information (information about oil and gas producing activities) specified by Item 302(b) of Regulation S-K is not applicable.
Item 9: Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
None.
Item 9A: Controls and Procedures
Disclosure Controls and Procedures
MLAIs Chief Executive Officer and Chief Financial Officer, on behalf of the Fund, have evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in Rule 13a-15(e) or Rule 15d-15(e) under the Securities Exchange Act) with respect to the Fund as of and for the year which ended December 31, 2015, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective.
Managements Annual Report on Internal Control over Financial Reporting:
The Funds management is responsible for establishing and maintaining adequate internal control over financial reporting. The Funds internal control over financial reporting is a process designed under the supervision of MLAIs Chief Executive Officer and the Chief Financial Officer, on behalf of the Fund and is effected by management, other personnel and service providers to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles and included those policy and procedures that:
· Pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Fund.
· Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Fund are being made only in accordance with authorizations of management and directors of the Fund; and
· Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisitions, use or disposition of the Funds assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation and presentation. Projections of any evaluation of effectiveness to
future periods are subject to the risks that controls may become inadequate because of changes in condition, or that the degree of compliance with the policies or procedures may deteriorate.
The Funds management assessed the effectiveness of the Funds internal control over financial reporting as of December 31, 2015. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control Integrated Framework (2013).
Based on its assessment the Funds management concluded that at December 31, 2015, the Funds internal control over financial reporting was effective.
Changes in Internal Control over Financial Reporting
No change in internal control over financial reporting (in connection with Rule 13a-15 or Rule 15d-15 under the Securities Exchange Act) occurred during the quarter ended December 31, 2015 that has materially affected, or is reasonably likely to materially affect, the Funds internal control over financial reporting.
Item 9B: Other Information
Not applicable.
PART III
Item 10: Directors, Executive Officers and Corporate Governance
10(a) and 10(b) Identification of Directors and Executive Officers:
As a limited liability company, the Fund has no officers or directors and is managed by MLAI. Trading decisions are made by the Trading Advisor on behalf of the Fund.
The managers and executive officers of MLAI and their respective business backgrounds are as follows:
Nancy Fahmy |
|
Chief Executive Officer, President and Manager |
|
|
|
Barbra E. Kocsis |
|
Chief Financial Officer and Vice President |
|
|
|
Dominick A. Carlino |
|
Vice President and Manager |
|
|
|
Ninon Marapachi |
|
Vice President and Manager |
|
|
|
Jeff McGoey |
|
Vice President and Manager |
|
|
|
Greg Parets |
|
Vice President and Manager |
|
|
|
Devesh Saksena |
|
Vice President and Manager |
Nancy Fahmy, age 41, has been the Chief Executive Officer and President of MLAI since October 2015. Ms. Fahmy was a Vice President of MLAI from January 2014 until her appointment as the Chief Executive Officer and President. Ms. Fahmy has been registered with the CFTC as an associated person of MLAI since October 22, 2015, and she has been listed as a principal of MLAI since January 9, 2014. Ms. Fahmy was previously a NFA associate member and registered as an associated person of MLPF&S from March 2009 to November 2010. Ms. Fahmy has been a Managing Director within the Global Wealth and Retirement Services group (GWRS), which is a business unit within the BofA Corp. Global Wealth & Investment Management group (GWIM), a division within BofA Corp. and responsible for Private Equity and Real Assets Technical Sales and Origination within MLAI from December 2012 until her appointment as Chief Executive Officer. She joined MLAI as a Director in November 2008 and was head of Private Equity and Real Assets Technical Sales from that date to December 2012. In these capacities, Ms. Fahmy was responsible for a team of private equity and real assets specialists that worked with financial advisors, portfolio managers and clients to educate and raise capital. Ms. Fahmy holds a B.S. degree in Business Administration and Finance with a minor in Economics from the University of Delaware.
Barbra E. Kocsis, age 49, is the Chief Financial Officer for MLAI and is a Director within BofA Corp.s Global Technology and Operations group, positions she has held since October 2006. She has been listed with the CFTC as a principal of MLAI since May 21, 2007. Ms. Kocsis responsibilities include providing a full range of specialized financial and tax accounting services for the Alternative Investment products offered through the Selling Agent. She graduated cum laude from Monmouth College with a Bachelor of Science in Business Administration Accounting.
Dominick A. Carlino, age 43, has been a Managing Director of MLAI, heading Relationship Management and Business Development, since May 2013. Mr. Carlino has been listed as a principal of MLAI since January 2, 2014. In his role, he is responsible for enhancing and driving relationships between MLAI and key asset management partners. Mr. Carlino was on a garden leave from July 2012 through May 2013. Prior to joining Merrill Lynch, Mr. Carlino was Senior Managing Director and Head of Business Development at AlphaOne Capital Partners LLC, an equity-focused alternative asset management firm, from March 2011 through July 2012. From April 2005 through March 2011, he served as an Executive Director within Morgan Stanley Alternative Investment Partners LP, a registered commodity pool operator, focused on business development and distribution. Mr. Carlino has been listed as a principal of MLAI since January 2, 2014. Mr. Carlino holds an M.B.A. and a B.S. degree in Finance from Villanova University.
Ninon Marapachi, age 38, has been the head of the Hedge Fund Origination and Product Management team within the BofA Corp. Alternative Investments Group, a division within BofA Corp. that provides investment professionals and their clients with access to investment products and other services, since September 2008. Ms. Marapachi has been listed as a principal of MLAI since January 3, 2014. She has been an NFA associate member since February 2011 and registered as an associated person of MLPF&S since March 2011. Her team is responsible for sourcing, structuring, negotiating and managing hedge funds and managed futures products on the GWIM hedge fund platform. In addition, since September 2013 she has been a Director for the Board of Sponsors for Educational Opportunities, a non-profit organization with a goal to provide educational and career programs to young people from underserved communities to maximize their opportunities for higher education and future success. Ms. Marapachi graduated magna cum laude with a B.A. degree in Economics from Mount Holyoke College.
Jeff McGoey, age 39, has been a Vice President of MLAI and a Director within GWIM responsible for Alternative Investment Platform Oversight for BofA Corp. since December 2010. Mr. McGoey has been listed as a principal of MLAI since January 13, 2014. Mr. McGoey served as a Vice President with portfolio oversight to ten derivative based closed end funds from March 2009 through December 2010. Within GWIM Alternative Investments, from May 2008 through December 2010, Mr. McGoey was a Vice President holding various roles including hedge fund and private equity origination, exchange fund and customized fund oversight, and managing various strategic initiatives across the organization until December 2010. Mr. McGoey is a CFA Charter holder, maintains the CAIA designation and holds a B.A. degree in Economics from Rutgers College in New Jersey.
Greg Parets, age 39, has been Head of Cross Platform Initiatives for the Alternative Investments Group of GWIM since June 2013. Mr. Parets joined BofA Corp. in September 2010 as Head of Strategic Initiatives in the Alternative Investments Groups Origination & Product Management team and remained in this role until June 2013. In this role, he led creation and implementation of an industry-leading platform to offer hedge funds, managed futures, and select private equity funds to advisory accounts. Mr. Parets was in between employers from April 2010 to September 2010. Prior to joining BofA Corp., he worked at UBS Wealth Management Americas, a provider of wealth management products and services, where he was Team Lead for the Strategy & Business Development Group from July 2006 through January 2009 and Head of Segment Strategy & Client Experience from February 2009 through April 2010. Mr. Parets has been listed as a principal of MLAI since January 2, 2014. Mr. Parets graduated summa cum laude from The George Washington University with a B.B.A. degree in International Business and cum laude from Harvard Law School with a J.D.
Devesh Saksena, age 37, has been a Vice President of MLAI since October 2015. He has been listed with the CFTC as a principal of MLAI since November 2015. Mr. Saksena has been the Head of Business Management and Governance for MLAI since he joined MLAI in June 2015. Prior to joining MLAI, Mr. Saksena was previously listed as a principal of Dicken Commodities Inc. (Dicken) where Mr. Saksena was Chief Operating Officer from January 2013 to January 2015. Prior to that, Mr. Saksena was Head of Operational Due Diligence and Director of North American Business for Schroders NewFinance Capital LLP from June 2008 to October 2012. Mr. Saksena is a qualified chartered accountant from the UK and is a Fellow of the Institute of Chartered Accountants in England & Wales, and holds a B.A. degree with honors in Industrial Economics from the University of Nottingham (U.K.).
MLAI acts as the sponsor, general partner or manager to five public futures funds whose units of limited partnership interests or limited liability company interests are registered under the Securities Exchange Act: Aspect FuturesAccess LLC, ML BlueTrend FuturesAccess LLC, ML Select Futures I L.P., ML Transtrend DTP Enhanced
FuturesAccess LLC, and ML Winton FuturesAccess LLC. Because MLAI serves as the sole sponsor, general partner or manager of each of these funds, the officers and managers of MLAI effectively manage them as officers and directors of such funds.
(c) Identification of Certain Significant Employees:
None.
(d) Family Relationships:
None.
(e) Business Experience:
See Items 10(a) and (b) above.
(f) Involvement in Certain Legal Proceedings:
None.
(g) Promoters and Control Persons:
Not applicable.
(h) Section 16(a) Beneficial Ownership Reporting Compliance:
During the fiscal year ended December 31, 2015, there was a late Form 3 filing by Devesh Saksena, a manager of MLAI. Except as disclosed in the preceding sentence, to the Funds knowledge, all required Section 16(a) filings during the fiscal year ended December 31, 2015 were timely and correctly made.
Code of Ethics:
MLAI and BofA Corp. have adopted a code of ethics which applies to the Funds (MLAIs) principal executive officer and principal financial officer or persons performing similar functions on behalf of the Fund. A copy of the code of ethics is available to any person, without charge, upon request by calling 1-866-MER-ALTS.
Nominating Committee:
Not applicable. (Neither the Fund nor MLAI has a nominating committee.)
Audit Committee; Audit Committee Financial Expert:
Not applicable. (Neither the Fund nor MLAI has an audit committee. There are no listed shares of the Fund or MLAI.)
Item 11: Executive Compensation
The managers and officers of MLAI are remunerated by BofA Corp. in their respective positions. The Fund does not have any officers, managers or employees. The Fund pays Sponsor fees to MLAI and brokerage commissions to MLPF&S, which is a BofA Corp. affiliate. MLAI will also receive a portion of the gross asset value attributable to certain Classes of Units. MLAI or BofA Corp. affiliates may also receive certain economic benefits from possession of the Funds U.S. dollar assets. The managers and officers receive no compensation from the Fund. See Item 1(c) Narrative Description of BusinessDescription of Current Charges.
Item 12: Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters
(a) Security Ownership of Certain Beneficial Owners:
Not applicable. (The Units represent limited liability company interests. The Fund is managed by its Manager, MLAI.)
(b) Security Ownership of Management:
MLAI owns 100 Class D Units which represent less than 1% of the Funds Net Asset Value. The managers and executive officers of MLAI do not own any Units.
(c) Changes in Control:
None.
(d) Securities Authorized for Issuance Under Equity Compensation Plans:
Not applicable.
Item 13: Certain Relationships and Related Transactions, and Director Independence
Not applicable.
Director Independence:
No person who served as a manager of MLAI during 2015 could be considered independent (based on the definition of an independent director under the NASDAQ rules).
Item 14: Principal Accounting Fees and Services
(a) Audit Fees
Aggregate fees billed directly to the Fund for professional services rendered by the principal accountant, PricewaterhouseCoopers LLP, for the audit of the Funds annual financial statements and review of financial statements included in the Funds Form 10-Q or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for the years ended December 31, 2015 and 2014 were $182,400 and $177,067, respectively.
(b) Audit-Related Fees
There were no other audit-related fees billed for the years ended December 31, 2015 and 2014 related to the Fund.
(c) Tax Fees
No fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2015 and 2014 for professional services rendered to the Fund in connection with tax compliance, tax advice and tax planning.
(d) All Other Fees
No other fees were billed by PricewaterhouseCoopers LLP or any member firms of PricewaterhouseCoopers and their respective affiliates for the years ended December 31, 2015 and 2014 for professional services rendered to the Fund, other than as set forth in the preceding paragraph (a).
(e) Neither the Fund nor MLAI has an audit committee to pre-approve principal accountant fees and services. In lieu of an audit committee, the managers and the principal financial officer pre-approve all services prior to the commencement of services.
PART IV
Item 15: Exhibits, Financial Statement Schedules
|
Page |
|
|
1. Financial Statements (found in Exhibit 13.01): |
|
|
|
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
1 |
|
|
FINANCIAL STATEMENTS: |
|
|
|
Statements of Financial Condition as of December 31, 2015 and 2014 |
2 |
|
|
Statements of Operations for the years ended December 31, 2015, 2014 and 2013 |
3 |
|
|
Statements of Changes in Members Capital for the years ended December 31, 2015, 2014 and 2013 |
4 |
|
|
Financial Data Highlights for the years ended December 31, 2015, 2014 and 2013 |
6 |
|
|
Notes to Financial Statements |
9 |
|
|
2. Financial Statement Schedules: |
|
|
|
Financial statement schedules not included in this Form 10-K have been omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial statements or notes thereto. | |
|
|
3. Exhibits: |
|
|
|
The following exhibits are incorporated by reference or are filed herewith to this Annual Report on Form 10-K: |
Designation |
|
Description |
|
|
|
3.01 |
|
Certificate of Formation of ML BlueTrend FuturesAccess LLC. |
|
|
|
Exhibit 3.01: |
|
Is incorporated by reference from Exhibit 3.01 contained in the registrants Registration Statement on Form 10 filed on September 29, 2009 (Registration Statement). |
|
|
|
3.02 |
|
Third Amended and Restated Limited Liability Company Operating Agreement of ML BlueTrend FuturesAccess LLC. |
|
|
|
Exhibit 3.02: |
|
Is incorporated by reference from Exhibit 3.02 contained in the registrants Report on Form 8-K filed on December 6, 2012. |
|
|
|
3.03 |
|
Amendment to the Third Amended and Restated Limited Liability Company Operating Agreement of ML BlueTrend FuturesAccess LLC. |
|
|
|
Exhibit 3.03: |
|
Is incorporated by reference from Exhibit 3.02(i) contained in the registrants Report on Form 8-K filed on November 13, 2013. |
|
|
|
3.04 |
|
Amendment to the Third Amended and Restated Limited Liability Company Operating Agreement of ML BlueTrend FuturesAccess LLC. |
|
|
|
Exhibit 3.04: |
|
Is incorporated by reference from Exhibit 3.02(i) contained in the registrants Report on Form 8-K filed on April 9, 2015. |
10.01 |
|
Customer Agreement between ML BlueTrend FuturesAccess LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated. |
|
|
|
Exhibit 10.01: |
|
Is incorporated by reference from Exhibit 10.1 contained in the Registration Statement. |
|
|
|
10.02 |
|
Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and BlueCrest Capital Management LLP. |
|
|
|
Exhibit 10.02: |
|
Is incorporated by reference from Exhibit 10.02 contained in the registrants Report on Form 10-K for the year-ended December 31, 2010, filed on March 15, 2011. |
|
|
|
10.03 |
|
Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and BlueCrest Capital Management LLP. |
|
|
|
Exhibit 10.03: |
|
Is incorporated by reference from Exhibit 10.01 contained in the registrants Report on Form 8-K filed on May 9, 2011. |
|
|
|
10.04 |
|
Novation and Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC, BlueCrest Capital Management LLP and BlueCrest Capital Management Limited. |
|
|
|
Exhibit 10.04: |
|
Is incorporated by reference from Exhibit 10.01 contained in the registrants Report on Form 8-K filed on August 6, 2014. |
|
|
|
10.05 |
|
Novation and Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC, BlueCrest Capital Management Limited and Systematica Investments Limited. |
|
|
|
Exhibit 10.05: |
|
Is incorporated by reference from Exhibit 10.01 contained in the registrants Report on Form 8-K filed on January 7, 2015. |
|
|
|
10.06 |
|
Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and Systematica Investments Limited. |
|
|
|
Exhibit 10.06: |
|
Is incorporated by reference from Exhibit 10.01 contained in the registrants Report on Form 8-K filed on February 5, 2015. |
|
|
|
10.07 |
|
Amendment to Amended and Restated Advisory Agreement among ML BlueTrend FuturesAccess LLC, Merrill Lynch Alternative Investments LLC and Systematica Investments Limited. |
|
|
|
Exhibit 10.07: |
|
Is incorporated by reference from Exhibit 10.01 contained in the registrants Report on Form 8-K filed on June 8, 2015. |
|
|
|
13.01 |
|
2015 Annual Report and Report of Independent Registered Public Accounting Firm. |
|
|
|
Exhibit 13.01: |
|
Is filed herewith. |
|
|
|
31.01 and 31.02 |
|
Rule 13a-14(a)/15d-14(a) Certifications. |
|
|
|
Exhibit 31.01 and 31.02: |
|
Are filed herewith. |
|
|
|
32.01 and 32.02 |
|
Section 1350 Certifications. |
|
|
|
Exhibit 32.01 and 32.02: |
|
Are filed herewith. |
99.1 |
|
Amended and Restated Selling Agreement effective as of July 8, 2011 between Merrill Lynch Alternative Investments LLC (for itself, and as sponsor on behalf of the investment funds listed therein) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (as selling agent). |
|
|
|
Exhibit 99.1: |
|
Is incorporated by reference from Exhibit 99.1 contained in the registrants Report on Form 8-K filed on July 11, 2011. |
|
|
|
101 |
|
The following materials from the Funds Annual Report on Form 10-K for the fiscal year ended December 31, 2015 formatted in XBRL (Extensible Business Reporting Language): ( i )Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text. |
|
|
|
Exhibit 101 |
|
Is filed herewith. |
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized on March 18, 2016
ML BLUETREND FUTURESACCESS LLC | ||
By: |
MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC, MANAGER | |
|
|
|
By: |
/s/Nancy Fahmy |
|
Nancy Fahmy |
| |
Chief Executive Officer and President |
| |
(Principal Executive Officer) |
|
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Signature |
|
Title |
|
Date |
|
|
|
|
|
|
|
/s/Nancy Fahmy |
|
Chief Executive Officer and President |
|
March 18, 2016 |
|
Nancy Fahmy |
|
(Principal Executive Officer) |
|
|
|
|
|
|
|
|
|
/s/ Barbra E. Kocsis |
|
Chief Financial Officer and Vice President |
|
March 18, 2016 |
|
Barbra E. Kocsis |
|
(Principal Financial Officer) |
|
|
|
|
|
|
|
|
|
/s/Dominick A. Carlino |
|
Vice President and Manager |
|
March 18, 2016 |
|
Dominick A. Carlino |
|
|
|
|
|
|
|
|
|
|
|
/s/Ninon Marapachi |
|
Vice President and Manager |
|
March 18, 2016 |
|
Ninon Marapachi |
|
|
|
|
|
|
|
|
|
|
|
/s/Jeff McGoey |
|
Vice President and Manager |
|
March 18, 2016 |
|
Jeff McGoey |
|
|
|
|
|
|
|
|
|
|
|
/s/ Greg Parets |
|
Vice President and Manager |
|
March 18, 2016 |
|
Greg Parets |
|
|
|
|
|
|
|
|
|
|
|
/s/Devesh Saksena |
|
Vice President and Manager |
|
March 18, 2016 |
|
Devesh Saksena |
|
|
|
|
|
ML BLUETREND FUTURESACCESS LLC
2015 FORM 10-K
INDEX TO EXHIBITS
|
|
Exhibit |
|
|
|
Exhibit 13.01 |
|
2015 Annual Report and Report of Independent Registered Public Accounting Firm |
|
|
|
Exhibit 31.01 and 31.02 |
|
Rule 13a - 14(a) / 15d - 14(a) Certifications |
|
|
|
Exhibit 32.01 and 32.02 |
|
Sections 1350 Certifications |
|
|
|
Exhibit 101 |
|
The following materials from the Funds Annual Report on Form 10-K for the fiscal year ended December 31, 2015 formatted in XBRL (Extensible Business Reporting Language): (i) Statements of Financial Condition (ii) Statements of Operations (iii) Statements of Changes in Members Capital (iv) Financial Data Highlights and (v) Notes to Financial Statements, tagged as blocks of text. |