MAN FRM MANAGED FUTURES STRATEGIES LLC - FORM 10-Q

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EX-32.02 - EX-32.02 - MAN FRM MANAGED FUTURES STRATEGIES LLC	a16-11573_1ex32d02.htm
EX-32.01 - EX-32.01 - MAN FRM MANAGED FUTURES STRATEGIES LLC	a16-11573_1ex32d01.htm
EX-31.02 - EX-31.02 - MAN FRM MANAGED FUTURES STRATEGIES LLC	a16-11573_1ex31d02.htm
EX-31.01 - EX-31.01 - MAN FRM MANAGED FUTURES STRATEGIES LLC	a16-11573_1ex31d01.htm

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

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

For the quarterly period ended June 30, 2016

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

For the transition period from to

Commission File Number 0-52505

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Exact name of registrant as specified in its charter)

Delaware		30-0408280
(State or other jurisdiction of		(I.R.S. Employer Identification No.)
incorporation or organization)

c/o FRM Investment Management (USA) LLC

452 Fifth Avenue, 26th Floor

New York, New York 10018

(Address of principal executive offices)

(Zip Code)

212-649-6600

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

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

Large accelerated filer o		Accelerated filer o

Non-accelerated filer x		Smaller reporting company o
(Do not check if a smaller reporting company)

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

Yes o No x

As of June 30, 2016, 134,058,513 units of limited liability company interest were outstanding.

MAN FRM MANAGED FUTURES STRATEGIES LLC

QUARTERLY REPORT FOR June 30, 2016 ON FORM 10-Q

Table of Contents

		PAGE

PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements	1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	18

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	29

Item 4.	Controls and Procedures	39

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings	39

Item 1A.	Risk Factors	39

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	39

Item 3.	Defaults Upon Senior Securities	40

Item 4.	Mine Safety Disclosures	40

Item 5.	Other Information	40

Item 6.	Exhibits	40

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

	June 30, 2016		December 31, 2015
ASSETS:

Cash	$	58,169,921	$	78,898,781
Investment in Underlying Funds (Cost: $90,478,272 and $95,890,791 at June 30, 2016 and December 31, 2015, respectively)	91,131,490		84,461,211
Receivable from Underlying Funds	2,807,683		400,000
Investment in Underlying Funds paid in advance	—		320,000

TOTAL ASSETS	$	152,109,094	$	164,079,992

LIABILITIES AND MEMBERS’ CAPITAL:
LIABILITIES:
Management fee payable	1,270,825		877,496
Redemptions payable	637,612		1,435,905
Subscriptions received in advance	—		390,000
Administrative fee payable	53,088		248,871
Professional fees payable	61,304		143,138
Other liabilities	173,687		202,850

Total liabilities	2,196,516		3,298,260

MEMBERS’ CAPITAL:
Members’ Capital (134,058,513 Units and 147,812,907 Units outstanding at June 30, 2016 and December 31, 2015, respectively; unlimited Units authorized)	149,912,578		160,781,732
Total Members’ Capital	149,912,578		160,781,732

TOTAL LIABILITIES AND MEMBERS’ CAPITAL	$	152,109,094	$	164,079,992

NET ASSET VALUE PER UNIT:

Class A	$	1.1446	$	1.1098
Class C	$	1.0912	$	1.0633
Class D	$	1.4682	$	1.4130
Class I	$	1.2394	$	1.1993
Class M	$	1.0846	$	1.0438
Class AA	$	1.0117	$	0.9858
Class II	$	1.0333	$	1.0011
Class MM	$	0.9991	$	—

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF OPERATIONS

(unaudited)

	For the three months ended June 30, 2016			For the three months ended June 30, 2015			For the six months ended June 30, 2016			For the six months ended June 30, 2015
TRADING PROFIT (LOSS), NET:
Realized, net	$	(1,719,683	)	$	33,319,040		$	(5,310,690	)	$	36,393,368
Change in unrealized, net	2,384,670			(55,816,115		)	12,082,798			(43,767,822		)

Total trading profit (loss), net	664,987			(22,497,075		)	6,772,108			(7,374,454		)

INVESTMENT INCOME:
Interest	—			273			—			275

EXPENSES:
Management fee	740,087			1,065,654			1,552,633			2,226,130
Professional fees	104,848			147,228			245,603			229,194
Administrative fee	79,185			94,895			163,830			146,875
Other expenses	113,428			12,556			285,943			59,697
Total expenses	1,037,548			1,320,333			2,248,009			2,661,896

NET INVESTMENT INCOME (LOSS)	(1,037,548		)	(1,320,060		)	(2,248,009		)	(2,661,621		)

NET INCOME (LOSS)	$	(372,561	)	$	(23,817,135	)	$	4,524,099		$	(10,036,075	)

NET INCOME (LOSS) PER UNIT:

Weighted average number of Units outstanding
Class A	21,122,346			25,382,763			21,841,315			25,736,637
Class C	88,051,204			121,039,055			91,373,549			123,900,489
Class D	2,654,767			3,270,754			2,802,698			3,270,754
Class I	13,159,956			15,245,167			13,306,432			15,327,241
Class M	6,984,923			8,338,103			7,080,557			8,346,679
Class AA*	3,083,658			—			2,583,260			—
Class II**	2,201,275			—			2,095,593			—
Class MM***	43,497			—			40,881			—

Net income (loss) per weighted average Unit
Class A	$	(0.0019	)	$	(0.1380	)	$	0.0348		$	(0.0554	)
Class C	$	(0.0052	)	$	(0.1361	)	$	0.0284		$	(0.0572	)
Class D	$	0.0160		$	(0.1687	)	$	0.0673		$	(0.0647	)
Class I	$	0.0011		$	(0.1474	)	$	0.0409		$	(0.0601	)
Class M	$	0.0038		$	(0.1246	)	$	0.0433		$	(0.0474	)
Class AA*	$	0.0138		$	—		$	0.0323		$	—
Class II**	$	0.0005		$	—		$	0.0231		$	—
Class MM***	$	0.0024		$	—		$	(0.0091	)	$	—

*Units issued on November 16, 2015. Amounts presented reflect the period from January 1, 2016 through June 30, 2016.

**Units issued on December 7, 2015. Amounts presented reflect the period from January 1, 2016 through June 30, 2016.

***Units issued on January 25, 2016. Amounts presented reflect the period from January 25, 2016 through June 30, 2016.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited) (in Units)

	Members’ Units December 31, 2014	Subscriptions	Redemptions		Members’ Units June 30, 2015	Members’ Units December 31, 2015	Subscriptions#	Redemptions##		Members’ Units June 30, 2016
Class A	26,447,606	474,649	(1,644,566	)	25,277,689	22,965,118	—	(2,509,951	)	20,455,167
Class C	131,433,730	706,472	(14,230,568	)	117,909,634	97,914,221	—	(13,914,714	)	83,999,507
Class D	3,270,753	—	(321,750	)	2,949,003	2,949,004	893,199	(875,694	)	2,966,509
Class I	15,579,536	170,060	(541,804	)	15,207,792	13,589,522	—	(505,489	)	13,084,033
Class M	8,338,628	123,985	(124,509	)	8,338,104	7,623,525	—	(669,312	)	6,954,213
Class AA*	—	—	—		—	1,187,288	3,184,273	(17,249	)	4,354,312
Class II**	—	—	—		—	1,584,229	617,046	—		2,201,275
Class MM***	—	—	—		—	—	43,497	—		43,497

Total Members’ Units	185,070,253	1,475,166	(16,863,197	)	169,682,222	147,812,907	4,738,015	(18,492,409	)	134,058,513

* Units issued on November 16, 2015.

** Units issued on December 7, 2015.

*** Units issued on January 25, 2016.

# Includes transfers in to Class AA, from Class A, of 167,859 units and 23,521 units, on April 11, 2016 and May 16, 2016, respectively.

## Includes transfers out of Class A, to Class AA, of 148,700 units and 20,816 units, on April 8, 2016 and May 13, 2016, respectively.

Amounts have been rounded to the nearest whole unit.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

FOR THE SIX MONTHS ENDED JUNE 30, 2016 AND 2015

(unaudited) (in Dollars)

	Members’ Capital December 31,							Net Income			Members’ Capital		Members’ Capital December 31,							Net Income			Members’ Capital
	2014		Subscriptions		Redemptions			(Loss)			June 30, 2015		2015		Subscriptions#		Redemptions##			(Loss)			June 30, 2016
Class A	$	31,855,022	$	587,905	$	(2,093,686	)	$	(1,425,322	)	$	28,923,919	$	25,487,679	$	—	$	(2,833,952	)	$	759,987		$	23,413,714
Class C	153,204,368		858,000		(17,063,266		)	(7,082,025		)	129,917,077		104,115,262		—		(15,046,687		)	2,593,402			91,661,977
Class D	4,940,417		—		(465,187		)	(211,599		)	4,263,631		4,166,825		1,237,616		(1,237,617		)	188,578			4,355,402
Class I	20,196,513		234,625		(742,957		)	(921,570		)	18,766,611		16,298,259		—		(626,344		)	544,238			16,216,153
Class M	9,304,391		145,000		(148,516		)	(395,559		)	8,905,316		7,957,252		—		(721,406		)	306,384			7,542,230
Class AA*	—		—		—			—			—		1,170,463		3,168,842		(17,536		)	83,381			4,405,150
Class II**	—		—		—			—			—		1,585,992		640,000		—			48,501			2,274,493
Class MM***	—		—		—			—			—		—		43,831		—			(372		)	43,459

Total Members’ Capital	$	219,500,711	$	1,825,530	$	(20,513,612	)	$	(10,036,075	)	$	190,776,554	$	160,781,732	$	5,090,289	$	(20,483,542	)	$	4,524,099		$	149,912,578

* Units issued on November 16, 2015.

** Units issued on December 7, 2015.

*** Units issued on January 25, 2016.

# Includes transfers in to Class AA, from Class A, of $170,663 and $22,966, on April 11, 2016 and May 16, 2016, respectively.

## Includes transfers out of Class A, to Class AA, of $170,663 and $22,966, on April 8, 2016 and May 13, 2016, respectively.

Amounts have been rounded to the nearest dollar.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2016 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M			Class AA			Class II			Class MM*

Per Unit Operating Performance

Net asset value, beginning of period	$	1.1445		$	1.0938		$	1.4625		$	1.2380		$	1.0804		$	1.0141		$	1.0327		$	0.9968

Net realized and net change in unrealized trading profit (loss)	0.0065			0.0063			0.0085			0.0073			0.0064			0.0058			0.0061			0.0058
Net investment loss (b)	(0.0064		)	(0.0089		)	(0.0028		)	(0.0059		)	(0.0022		)	(0.0082		)	(0.0055		)	(0.0035		)

Net asset value, end of period	$	1.1446		$	1.0912		$	1.4682		$	1.2394		$	1.0846		$	1.0117		$	1.0333		$	0.9991

Total Return: (a)(c)

Total return	0.01		%	-0.24		%	0.39		%	0.11		%	0.39		%	-0.24		%	0.06		%	0.23		%

Ratios to Average Members’ Capital: (b)(c)

Expenses	0.57		%	0.82		%	0.20		%	0.47		%	0.20		%	0.82		%	0.53		%	0.35		%

Net investment income (loss)	-0.57		%	-0.82		%	-0.20		%	-0.47		%	-0.20		%	-0.82		%	-0.53		%	-0.35		%

(a) The total return is calculated for each class taken as a whole based on the change in net asset value. An individual member’s return may vary from these returns based on the timing of the capital transactions.

(b) The amounts do not reflect the proportionate share of expense from the Underlying Funds.

*Class MM units issued on January 25, 2016.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2016 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M			Class AA			Class II			Class MM*

Per Unit Operating Performance

Net asset value, beginning of period	$	1.1098		$	1.0633		$	1.4130		$	1.1993		$	1.0438		$	0.9858		$	1.0011		$	1.0000

Net realized and net change in unrealized trading profit (loss)	0.0483			0.0463			0.0616			0.0522			0.0455			0.0428			0.0436			0.0057
Net investment loss (b)	(0.0135		)	(0.0184		)	(0.0064		)	(0.0121		)	(0.0047		)	(0.0169		)	(0.0114		)	(0.0066		)

Net asset value, end of period	$	1.1446		$	1.0912		$	1.4682		$	1.2394		$	1.0846		$	1.0117		$	1.0333		$	0.9991

Total Return: (a)(c)

Total return	3.14		%	2.62		%	3.91		%	3.34		%	3.91		%	2.63		%	3.22		%	-0.09		%

Ratios to Average Members’ Capital: (b)(c)

Expenses	1.19		%	1.69		%	0.44		%	0.99		%	0.44		%	1.69		%	1.11		%	0.66		%

Net investment income (loss)	-1.19		%	-1.69		%	-0.44		%	-0.99		%	-0.44		%	-1.69		%	-1.11		%	-0.66		%

(b) The amounts do not reflect the proportionate share of expense from the Underlying Funds.

*Class MM units issued on January 25, 2016.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE THREE MONTHS ENDED JUNE 30, 2015 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M

Per Unit Operating Performance

Net asset value, beginning of period	$	1.2826		$	1.2382		$	1.6145		$	1.3818		$	1.1927

Net realized and net change in unrealized trading profit (loss)	(0.1323		)	(0.1275		)	(0.1668		)	(0.1426		)	(0.1233		)
Net investment loss (b)	(0.0061		)	(0.0089		)	(0.0019		)	(0.0052		)	(0.0014		)

Net asset value, end of period	$	1.1442		$	1.1018		$	1.4458		$	1.2340		$	1.0680

Total Return: (a)(c)

Total return	-10.79		%	-11.02		%	-10.45		%	-10.70		%	-10.46		%

Ratios to Average Member’s Capital: (b)(c)

Expenses	0.49		%	0.74		%	0.12		%	0.40		%	0.12		%

Net investment income (loss)	-0.49		%	-0.74		%	-0.12		%	-0.40		%	-0.12		%

(b) The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds and the Underlying Funds.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

FINANCIAL DATA HIGHLIGHTS

FOR THE SIX MONTHS ENDED JUNE 30, 2015 (unaudited)

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

	Class A			Class C			Class D			Class I			Class M

Per Unit Operating Performance

Net asset value, beginning of period	$	1.2045		$	1.1656		$	1.5105		$	1.2963		$	1.1158

Net realized and net change in unrealized trading profit (loss)	(0.0484		)	(0.0463		)	(0.0615		)	(0.0523		)	(0.0455		)
Net investment loss (b)	(0.0119		)	(0.0175		)	(0.0032		)	(0.0100		)	(0.0023		)

Net asset value, end of period	$	1.1442		$	1.1018		$	1.4458		$	1.2340		$	1.0680

Total Return: (a)(c)

Total return	-5.00		%	-5.47		%	-4.28		%	-4.81		%	-4.28		%

Ratios to Average Member’s Capital: (b)(c)

Expenses	0.95		%	1.45		%	0.20		%	0.75		%	0.20		%

Net investment income (loss)	-0.95		%	-1.45		%	-0.20		%	-0.75		%	-0.20		%

(b) The ratios do not reflect the proportionate share of expense from the FuturesAccess Portfolio Funds and the Underlying Funds.

See notes to financial statements.

MAN FRM MANAGED FUTURES STRATEGIES LLC

(Formerly Systematic Momentum FuturesAccess LLC)

(a Delaware Limited Liability Company)

NOTES TO FINANCIAL STATEMENTS

(unaudited)

1. ORGANIZATION

Man FRM Managed Futures Strategies LLC (the “Fund”), a Delaware limited liability company, is a managed futures fund of funds managed by FRM Investment Management (USA) LLC (the “Manager” or “FRM”). FRM is registered as a commodity pool operator (“CPO”) and commodity trading adviser (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) under the Commodity Exchange Act. FRM is also registered as an investment adviser under the Investment Advisers Act of 1940. FRM is an indirect wholly-owned subsidiary of Man Group plc (“Man Group”). The Fund was organized under the Delaware Limited Liability Company Act in March 2007 and commenced operations in April 2007. The Fund is an investment company as defined by Accounting Standards Codification (“ASC”) guidance. The Fund was previously known as “Systematic Momentum FuturesAccess LLC” through April 30, 2015.

Prior to May 1, 2015, the Fund was a participating fund in the FuturesAccessSM Program (“FuturesAccess”) sponsored by Merrill Lynch Alternative Investments LLC (“MLAI”). The Fund operated as a “fund of funds”, allocating and reallocating its capital among underlying FuturesAccess Funds (“FuturesAccess Portfolio Funds” or “Portfolio Funds”). MLAI was the sponsor and manager of the Fund prior to May 1, 2015. MLAI is an indirect wholly-owned subsidiary of Bank of America Corporation.

Pursuant to an Asset Purchase Agreement dated as of December 8, 2014 between MLAI and an indirect wholly-owned subsidiary of Man Group, as amended, the Man Group purchased, among other assets, the rights of MLAI and its affiliates under certain agreements relating to the management of the Fund. FRM replaced MLAI as manager of the Fund on May 1, 2015, upon the closing of such purchase. Effective as of May 1, 2015, the Fund was renamed “Man FRM Managed Futures Strategies LLC.”

Under the direction of the Manager, the Fund allocates its capital among a group of underlying funds (each an “Underlying Fund”, and collectively the “Underlying Funds”) which, in turn, allocate capital to master funds (each a “Master Fund” and collectively the “Master Funds”) that implement a systematic-based managed futures strategy under the direction of commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”).

The Manager invests the Fund’s assets in Underlying Funds that are on the FRM platform. The Underlying Funds invested by the Fund are established as Delaware limited liability companies, each of which engages the Manager as the risk manager and each of which further invests in a Master Fund, established as a Cayman Islands exempted company, which engages a single Trading Advisor (see Note 2). As of June 30, 2016, there are six Underlying Funds (see Note 2) held by the Fund. The Manager serves as CPO of the Underlying Funds and Master Funds.

Unless the context requires otherwise, references in these financial statements notes to the Fund, also refer to the Underlying Funds and the Master Funds in which the Underlying Funds invest. Reference to the investment process, strategies, objectives or activities of the Fund and the Underlying Funds refer to the investment activities of the Master Funds through which the Underlying Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities. Additionally, references to the Underlying Funds that follow are also related to the FuturesAccess Portfolio Funds during the period prior to May 1, 2015.

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

The Fund considers all highly liquid investments, with a maturity of three months or less when acquired, to be cash equivalents. As of June 30, 2016 and December 31, 2015, the Fund does not hold any cash equivalents. Cash was held at a nationally recognized financial institution.

In the opinion of management, these unaudited financial statements contain all adjustments, consisting only of normal recurring adjustments, necessary for a fair statement of the financial position of the Fund as of June 30, 2016 and December 31, 2015 and the results of its operations for the three and six month periods ended June 30, 2016 and 2015. However, the operating results for the interim periods may not be indicative of the results for the full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) have been omitted. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2015.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.

Income Taxes

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

The Fund follows the ASC guidance on accounting for uncertain tax positions. This guidance provides how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This guidance also requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax

authority. Tax positions with respect to tax at the Fund level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. A prospective investor should be aware that, among other things, income taxes could have a material adverse effect on the periodic calculations of the net asset value (“NAV”) of the Fund, including reducing the NAV of the Fund to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Fund. This could cause benefits or detriments to certain investors, depending upon the timing of their entry and exit from the Fund. The Manager has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The following is the major tax jurisdiction for the Fund and the earliest tax year subject to examination: United States — 2013.

Subscriptions

The Fund generally offers units (“Units”) for investment each Monday (or, where such day is not a business day, the immediately following business day) and/or such other days as the Manager may determine in its sole discretion (each a “Subscription Day”). Investors must submit their executed subscription agreement five business days prior to the Subscription Day. Investors’ subscriptions will be used to purchase a number of Units, including fractional Units, with an aggregate NAV, equal to the dollar amount invested.

Each member shares in the profits and losses of the Fund in proportion to the number of units held by each member. However, no member is liable for obligations of the Fund in excess of its capital subscription and net profits or losses, if any. Except as described in Note 5 below in respect of fees, the classes of units are identical.

Redemptions

Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of (i) each Friday (or, where such day is not a business day, the immediate following business day) and/or (ii) such other days as the Manager may determine in its sole discretion (each a “Redemption Day”), upon providing notice to the Fund in writing (or in such other manner as the Manager may determine in its sole discretion) not less than four business days prior to the Redemption Day. The NAV of redeemed Units is determined as of the Redemption Day. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption requests and the applicable Redemption Date.

New Accounting Pronouncement

In August 2014, the FASB issued ASU 2014-15, Presentation of Financial Statements — Going Concern (Subtopic 205-40) (“ASU 2014-15”). The pronouncement determines management’s responsibility regarding assessment of the Fund’s ability to continue as a going concern, even if the Fund’s liquidation is not imminent. Currently, no similar guidance exists. Under this guidance, during each period in which financial statements are prepared, management needs to evaluate whether there are conditions or events that, in aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt exists if these conditions or events indicate that the Fund will be unable to meet its obligations as they become due. If such conditions or events exist, management should develop a plan to mitigate or alleviate these conditions or events. Regardless of management’s plan to mitigate, certain disclosures must be made in the financial statements. ASU 2014-15 is effective for annual periods ending after December 15, 2016, however, early

adoption is permitted. The Fund is currently evaluating the impact the update will have on the Fund’s financial statements.

2. INVESTMENTS IN UNDERLYING FUNDS

During 2015, the Fund held investments in the following MLAI Portfolio Funds: Aspect FuturesAccess LLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), John Locke FuturesAccess LLC (“John Locke”), Lynx FuturesAccess LLC (“Lynx”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), Tudor Tensor FuturesAccess LLC (“Tudor”) and ML Winton FuturesAccess LLC (“Winton”). As of April 30, 2015, the Fund fully redeemed its investments in the MLAI Portfolio Funds.

During May 2015, the Fund invested in a new group of Underlying Funds. As of June 30, 2016, the six Underlying Funds in which the Fund is invested in, and the respective Master Funds in which the Underlying Funds are invested in, are: (i) Blakeney Delaware Feeder LLC (“Blakeney”) which invests in Blakeney Fund Limited, (ii) Campbell Delaware Feeder LLC (“Campbell”) which invests in Campbell MAC Cayman Fund Limited, (iii) CCP Core Macro Delaware Feeder LLC (“CCP Core Macro”) which invests in CCP Core Macro Cayman Fund Limited, (iv) Century CAT MAC Delaware Feeder LLC (“Century CAT”) which invests in Century CAT MAC Cayman Fund Limited, (v) Quantica MF Delaware Feeder LLC (“Quantica MF”) which invests in Quantica MF Cayman Fund Limited, and (vi) Silver Delaware Feeder LLC (“Silver”) which invests in Silver MAC Limited. As used herein, Trading Advisor in respect of an Underlying Fund refers to the Trading Advisor of its related Master Fund. FRM, in its discretion, may change the Underlying Funds at any time. FRM, also at its discretion, may vary the percentage of the Fund’s total portfolio allocated to the different Underlying Funds. In the process of rebalancing, the Fund’s allocation to any individual Underlying Fund may range between 3% - 25% of the Fund’s Net Asset Value (“NAV”).

During the period, the Fund had purchases $37,880,000 and sales of $37,981,830 of investments in Underlying Funds. The investment transactions were accounted for on trade date. The investments in the Underlying Funds are valued at fair value and are reflected in the Statements of Financial Condition. In determining fair value, FRM utilized the NAV of the Underlying Funds which approximates fair value. The fair value was net of all fees relating to the Underlying Funds, paid or accrued. Additionally, FRM monitored the performance of the Underlying Funds. Such monitoring procedures included, but were not limited to: monitoring market movements in the Underlying Funds’ investments, comparing performance to industry benchmarks, and conference calls and site visits with the Trading Advisors. The fair value of the Fund’s assets and liabilities which qualify as financial instruments approximates the carrying amounts presented on the statements of financial condition.

The details of investments in Underlying Funds at and for the six month period ended June 30, 2016 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 6/30/2016		Redemptions Permitted
Blakeney	13.61	%	$	20,408,890	$	1,554,368		$	19,254,769	Weekly
Campbell	11.47	%	17,198,379		(1,118,894		)	18,451,131		Weekly
Carlisle*	—		—		656,058			—		Weekly
CCP Core Macro	8.00	%	11,985,486		751,828			12,304,417		Weekly
Century CAT**	11.71	%	17,559,097		(903		)	17,501,653		Weekly
Quantica MF	6.87	%	10,300,671		2,515,937			9,872,206		Weekly
Silver	9.13	%	13,678,967		2,413,714			13,094,096		Weekly

	60.79	%	$	91,131,490	$	6,772,108		$	90,478,272

* Underlying Fund was redeemed in April 2016, the Fund received proceeds of $8,826,829.

** Underlying Fund purchased in March 2016.

The details of investments in FuturesAccess Portfolio Funds and in Underlying Funds at and for the year ended December 31, 2015 are as follows:

	Percentage of Members’ Capital		Fair Value		Profit (Loss)			Cost @ 12/31/2015		Redemptions Permitted
Transtrend*	0.00	%	$	—	$	501,384		$	—	Semi-Monthly
Winton*	0.00	%	—		407,901			—		Semi-Monthly
Aspect*	0.00	%	—		(509,070		)	—		Semi-Monthly
John Locke*	0.00	%	—		1,283,475			—		Semi-Monthly
Blue trend*	0.00	%	—		2,862,359			—		Monthly
Tudor*	0.00	%	—		1,341,872			—		Semi-Monthly
Lynx*	0.00	%	—		714,472			—		Semi-Monthly
Blakeney**	12.75	%	20,499,522		(465,478		)	20,751,000		Weekly
Silver**	6.71	%	10,785,253		(4,329,747		)	13,190,692		Weekly
Quantica MF**	10.85	%	17,439,734		(7,620,266		)	23,687,804		Weekly
CCP Core Macro**	5.74	%	9,238,658		(1,901,342		)	10,422,116		Weekly
Campbell**	12.50	%	20,102,273		(1,672,727		)	21,084,372		Weekly
Carlisle**	3.98	%	6,395,771		(1,304,229		)	6,754,807		Weekly

	52.53	%	$	84,461,211	$	(10,691,396	)	$	95,890,791

* FuturesAccess Portfolio Funds redeemed as of April 30, 2015.

** Underlying Funds purchased in May 2015.

There are no investments held by the FuturesAccess Portfolio Funds or the Underlying Funds and the Underlying Funds’ Master Funds that in the aggregate exceed 5% of the Fund’s members’ capital. The following is summarized financial information as required by regulation S-X, for each of the FuturesAccess Portfolio Funds and the Underlying Funds:

	As of June 30, 2016
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	20,547,357	$	127,962	$	20,419,395
Campbell	17,331,716		124,268		17,207,448
CCP Core Macro	12,093,349		98,756		11,994,593
Century CAT#	17,623,367		54,278		17,569,089
Quantica MF	10,406,196		97,539		10,308,657
Silver	13,793,759		105,393		13,688,366

Total	$	91,795,744	$	608,196	$	91,187,548

	As of December 31, 2015
	Total Assets		Total Liabilities		Total Capital
Blakeney	$	20,631,073	$	421,747	$	20,209,326
Campbell	21,212,903		1,331,203		19,881,700
Carlisle	6,488,042		83,221		6,404,821
CCP Core Macro	9,321,267		74,078		9,247,189
Quantica MF	17,560,913		444,542		17,116,371
Silver	11,676,904		883,811		10,793,093

Total	$	86,891,102	$	3,238,602	$	83,652,500

#Underlying Fund purchased in March 2016.

	For the six months ended June 30, 2016
	Income (Loss)			Commissions		Expenses			Net Income (Loss)
Blakeney	$	1,714,129		$	—	$	(159,059	)	$	1,555,070
Campbell	(967,304		)	—		(151,961		)	(1,119,265		)
Carlisle#	776,008			—		(115,101		)	660,907
CCP Core Macro	1,043,335			—		(283,563		)	759,772
Century CAT##	65,086			—		(65,825		)	(739		)
Quantica MF	2,632,932			—		(115,646		)	2,517,286
Silver	2,525,599			—		(110,325		)	2,415,274

Total	$	7,789,785		$	—	$	(1,001,480	)	$	6,788,305

#Underlying Fund was redeemed in April 2016.

##Underlying Fund purchased in March 2016.

	For the six months ended June 30, 2015
	Income (Loss)			Commissions			Expenses			Net Income (Loss)
Aspect*	$	404,556		$	(169,723	)	$	(4,910,852	)	$	(4,676,019	)
BlueTrend*	9,245,595			(170,694		)	(2,259,861		)	6,815,040
John Locke*	1,864,422			(74,165		)	(506,783		)	1,283,474
Lynx *	2,414,522			(79,733		)	(1,344,163		)	990,626
Transtrend*	1,877,424			(177,794		)	(921,164		)	778,466
Tudor*	1,983,906			(127,346		)	(514,687		)	1,341,873
Winton*	25,719,496			(335,422		)	(24,207,340		)	1,176,734
Blakeney**	(936,034		)	—			(46,155		)	(982,189		)
Campbell**	(3,780,290		)	—			(56,611		)	(3,836,901		)
Carlisle**	(2,802,703		)	—			(41,650		)	(2,844,353		)
CCP Core Macro**	(1,819,776		)	—			(31,210		)	(1,850,986		)
Quantica MF**	(1,517,604		)	—			(57,654		)	(1,575,258		)
Silver**	(2,969,620		)	—			(55,035		)	(3,024,655		)

Total	$	29,683,894		$	(1,134,877	)	$	(34,953,165	)	$	(6,404,148	)

* FuturesAccess Portfolio Funds redeemed as of April 30, 2015. The information above reflects income and expenses of the related FuturesAccess Portfolio Fund for the period from January 1, 2015 through April 30, 2015.

** Underlying Funds purchased in May 2015.

3. FAIR VALUE OF INVESTMENTS

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

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

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

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

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

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

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

In May 2015, the Financial Accounting Standards Board (“FASB”) issued ASU 2015-07 “Fair Value Measurement (Topic 820) — Disclosures for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent).” This guidance no longer requires investments for which fair value is determined based on practical expedient reliance to be reported utilizing the fair value hierarchy. Although ASU 2015-07 (“the amendment”) is effective beginning in the first quarter of 2016, early adoption is permitted. The Manager had elected to adopt the amendment in August 2015, and the impact of adoption is limited to the notes to the financial statements.

As of June 30, 2016 and December 31, 2015, all of the investments were fair valued using the NAV as practical expedient of the Underlying Funds.

4. MARKET, CREDIT AND CONCENTRATION RISKS

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

Market Risk

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

Credit Risk

The risks associated with exchange-traded contracts are typically perceived to be less than those associated with over-the-counter (non-exchange-traded) transactions, because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit

(in some cases limited in amount, in some cases not) of the members of the exchange/clearinghouse is pledged to support the financial integrity of the exchange/clearinghouse. In over-the-counter transactions, on the other hand, traders must rely solely on the credit of their respective individual counterparties. Margins, which may be subject to loss in the event of a default, are generally required in exchange traded contracts, and in the over-the-counter markets counterparties may also require margin.

The credit risk associated with these instruments from counterparty nonperformance is the derivatives, at fair value, if any, included in the Master Funds’ Statement of Financial Condition.

As of June 30, 2016, the Underlying Funds held by the Fund do not invest directly in positions other than their related Master Funds. The Master Funds enter into contracts with various futures clearing brokers. These brokers may encounter financial difficulties that can impair the operating capabilities or the capital position of the Master Funds, and in turn, the Underlying Funds. The Trading Advisors of the Master Funds will attempt to limit transactions to well-capitalized and established brokers in an effort to mitigate such risk.

Credit risk is the possibility that a loss may occur from the failure of a counterparty to make payments according to the terms of a contract. The Fund’s exposure to credit risk is contingent upon the Underlying Funds and the brokers and counterparties which the Underlying Funds transact business with as well as amounts recorded as assets in the Statements of Financial Condition.

Cash held as deposits may exceed the amount of federal insurance provided on such deposits and are therefore subject to credit risk.

Concentration Risk

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

Indemnifications

The Fund enters into administrative and other professional service contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is not known; however, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

5. RELATED PARTY TRANSACTIONS

MLAI and the Fund entered into a transfer agency and investor services agreement with Financial Data Services, Inc. (the “Former Transfer Agent”), an affiliate of MLAI, which was in place through April 30, 2015. The fees charged by the Former Transfer Agent for its services were based on the aggregate net assets of funds managed or sponsored by MLAI. The fee rate ranged from 0.016% to 0.02% per year of the aggregate net assets managed or sponsored by MLAI. Effective as of May 1, 2015, The Bank of New York Mellon, a corporation organized under the laws of the State of New York, through its Alternative Investment Services division (“AIS”), serves as the administrator, registrar and transfer agent (“New Transfer Agent”) for the

Fund pursuant to an Administrative Services Agreement. The New Transfer Agent provides registrar, distribution disbursing agent, transfer agent and certain other services related to the issuance, redemption, exchange and transfer of units. The New Transfer Agent is not a related party of the Fund.

The Former Transfer Agent fee allocated to the Fund for the three month periods ended June 30, 2016, and 2015 amounted to $0 and $4,022, respectively. The Former Transfer Agent fee allocated to the Fund for the six month periods ended June 30, 2016 and 2015 amounted to $0 and $15,178, respectively.

The Manager receives monthly management fees (“Management Fees”) based on the aggregate NAV of the Class of Units. The respective Management Fee rates are: Class A Units 1.5% per annum; Class C Units 2.5% per annum; and Class I Units 1.1% per annum. Class D Units and Class M Units are not charged Management Fees. Prior to May 1, 2015, management fees were known as sponsor fees and were paid to MLAI.

Effective August 19, 2015, three new classes were offered by the Fund. The respective Management Fee for these classes are: Class AA units 2.5% per annum; Class II units 1.35% per annum; Class MM units 0.60% per annum.

6. WEIGHTED AVERAGE UNITS

The weighted average number of Units outstanding for each Class is computed for purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units outstanding for each Class for the three and six month periods ended June 30, 2016 and 2015 equals the Units outstanding as of such date, adjusted proportionately for Units sold or redeemed based on the respective length of time each was outstanding during the period.

7. SUBSEQUENT EVENTS

For the period July 1, 2016 to August 12, 2016, the Fund has recorded subscriptions of approximately $1,334,000 and redemptions of approximately $4,444,395.

Management has evaluated the impact of subsequent events on the Fund through the date the financial statements were issued and has determined that there were no additional subsequent events that require adjustment to, or disclosure in, the financial statements.

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

Unless the context requires otherwise, references in this Form 10-Q to the Fund also refer to the Underlying Funds and the Master Funds in which the Underlying Funds invest. Reference to the investment process, strategies, objectives and activities of the Fund and the Underlying Funds refer to the investment activities of the Master Funds through which the Underlying Funds and Fund indirectly conduct their investment processes, strategies, objectives and activities.

NET ASSET VALUE PER UNIT

The NAV of the Fund is equivalent to its total assets less its total liabilities as of any valuation day. Appreciation or depreciation in the NAV of the Fund is based upon appreciation or depreciation in the value of investments in Underlying Funds that are held by the Fund, with appropriate adjustments for assets and liabilities of the Fund. The different Classes of Units will have a different NAV due to the different Management Fees charged to these Classes. The NAV

is calculated on the last calendar day of each month and/or last business day of each week and/or such other days as the Manager may determine in its sole discretion.

FRM believes that the NAV used to calculate subscription and redemption value and to report performance to investors is a useful performance measure for the investors of the Fund. The charts below reference NAV at the specified valuation dates.

YR 2016

NAV PER UNIT CLASS A

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.1236	$	1.1686	$	1.1501	$	1.1497	$	1.1497	$	1.1574	$	1.1798	$	1.1755	$	1.1750	$	1.1750	$	1.1536	$	1.1281	$	1.1375	$	1.1355	$	1.1445

	Apr. 1st		Apr. 8th		Apr. 15th		Apr. 22nd		Apr. 29th		Apr. 30th		May 6th		May 13th		May 20th		May 27th		May 31st		Jun. 3rd		Jun. 10th		Jun. 17th		Jun. 24th		Jun. 30th
2016	$	1.1482	$	1.1477	$	1.1406	$	1.1050	$	1.1068	$	1.1068	$	1.1105	$	1.1033	$	1.0820	$	1.0868	$	1.0868	$	1.0969	$	1.1126	$	1.1168	$	1.1162	$	1.1446

NAV PER UNIT CLASS C

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.0763	$	1.1192	$	1.1013	$	1.1007	$	1.1007	$	1.1078	$	1.1290	$	1.1247	$	1.1240	$	1.1240	$	1.1034	$	1.0788	$	1.0875	$	1.0855	$	1.0938

	Apr. 1st		Apr. 8th		Apr. 15th		Apr. 22nd		Apr. 29th		Apr. 30th		May 6th		May 13th		May 20th		May 27th		May 31st		Jun. 3rd		Jun. 10th		Jun. 17th		Jun. 24th		Jun. 30th
2016	$	1.0973	$	1.0967	$	1.0896	$	1.0554	$	1.0569	$	1.0569	$	1.0603	$	1.0532	$	1.0327	$	1.0371	$	1.0371	$	1.0465	$	1.0613	$	1.0651	$	1.0643	$	1.0912

NAV PER UNIT CLASS D

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.4310	$	1.4887	$	1.4656	$	1.4655	$	1.4655	$	1.4756	$	1.5047	$	1.4996	$	1.4995	$	1.4995	$	1.4726	$	1.4404	$	1.4528	$	1.4507	$	1.4625

	Apr. 1st		Apr. 8th		Apr. 15th		Apr. 22nd		Apr. 29th		Apr. 30th		May 6th		May 13th		May 20th		May 27th		May 31st		Jun. 3rd		Jun. 10th		Jun. 17th		Jun. 24th		Jun. 30th
2016	$	1.4673	$	1.4672	$	1.4584	$	1.4133	$	1.4160	$	1.4160	$	1.4212	$	1.4123	$	1.3856	$	1.3921	$	1.3921	$	1.4055	$	1.4260	$	1.4318	$	1.4314	$	1.4682

NAV PER UNIT CLASS I

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.2143	$	1.2630	$	1.2432	$	1.2428	$	1.2428	$	1.2512	$	1.2755	$	1.2710	$	1.2706	$	1.2706	$	1.2475	$	1.2200	$	1.2302	$	1.2282	$	1.2380

	Apr. 1st		Apr. 8th		Apr. 15th		Apr. 22nd		Apr. 29th		Apr. 30th		May 6th		May 13th		May 20th		May 27th		May 31st		Jun. 3rd		Jun. 10th		Jun. 17th		Jun. 24th		Jun. 30th
2016	$	1.2420	$	1.2416	$	1.2339	$	1.1956	$	1.1976	$	1.1976	$	1.2017	$	1.1940	$	1.1711	$	1.1763	$	1.1763	$	1.1874	$	1.2045	$	1.2091	$	1.2085	$	1.2394

NAV PER UNIT CLASS M

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.0571	$	1.0997	$	1.0827	$	1.0826	$	1.0826	$	1.0901	$	1.1115	$	1.1078	$	1.1077	$	1.1077	$	1.0878	$	1.0641	$	1.0732	$	1.0716	$	1.0804

	Apr. 1st		Apr. 8th		Apr. 15th		Apr. 22nd		Apr. 29th		Apr. 30th		May 6th		May 13th		May 20th		May 27th		May 31st		Jun. 3rd		Jun. 10th		Jun. 17th		Jun. 24th		Jun. 30th
2016	$	1.0839	$	1.0838	$	1.0773	$	1.0440	$	1.0460	$	1.0460	$	1.0499	$	1.0433	$	1.0235	$	1.0283	$	1.0283	$	1.0382	$	1.0534	$	1.0577	$	1.0574	$	1.0846

NAV PER UNIT CLASS AA

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	0.9978	$	1.0376	$	1.0210	$	1.0204	$	1.0204	$	1.0270	$	1.0467	$	1.0427	$	1.0421	$	1.0421	$	1.0229	$	1.0001	$	1.0082	$	1.0063	$	1.0141

	Apr. 1st		Apr. 8th		Apr. 15th		Apr. 22nd		Apr. 29th		Apr. 30th		May 6th		May 13th		May 20th		May 27th		May 31st		Jun. 3rd		Jun. 10th		Jun. 17th		Jun. 24th		Jun. 30th
2016	$	1.0173	$	1.0167	$	1.0102	$	0.9785	$	0.9799	$	0.9799	$	0.9830	$	0.9764	$	0.9574	$	0.9615	$	0.9615	$	0.9702	$	0.9839	$	0.9875	$	0.9867	$	1.0117

NAV PER UNIT CLASS II

	Jan. 8th		Jan. 15th		Jan. 22nd		Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	$	1.0136	$	1.0542	$	1.0376	$	1.0372	$	1.0372	$	1.0441	$	1.0644	$	1.0606	$	1.0602	$	1.0602	$	1.0409	$	1.0179	$	1.0264	$	1.0246	$	1.0327

	Apr. 1st		Apr. 8th		Apr. 15th		Apr. 22nd		Apr. 29th		Apr. 30th		May 6th		May 13th		May 20th		May 27th		May 31st		Jun. 3rd		Jun. 10th		Jun. 17th		Jun. 24th		Jun. 30th
2016	$	1.0361	$	1.0357	$	1.0293	$	0.9972	$	0.9988	$	0.9988	$	1.0022	$	0.9957	$	0.9766	$	0.9809	$	0.9809	$	0.9901	$	1.0043	$	1.0081	$	1.0076	$	1.0333

NAV PER UNIT CLASS MM*

	Jan. 8th	Jan. 15th	Jan. 22nd	Jan. 29th		Jan. 31st		Feb. 05th		Feb. 12th		Feb. 19th		Feb. 26th		Feb. 29th		Mar. 4th		Mar. 11th		Mar. 18th		Mar. 24th		Mar. 31st
2016	n/a	n/a	n/a	$	0.9998	$	0.9998	$	1.0066	$	1.0263	$	1.0228	$	1.0225	$	1.0225	$	1.0041	$	0.9821	$	0.9904	$	0.9888	$	0.9968

	Apr. 1st		Apr. 8th		Apr. 15th		Apr. 22nd		Apr. 29th		Apr. 30th		May 6th		May 13th		May 20th		May 27th		May 31st		Jun. 3rd		Jun. 10th		Jun. 17th		Jun. 24th		Jun. 30th
2016	$	1.0001	$	0.9998	$	0.9937	$	0.9629	$	0.9646	$	0.9646	$	0.9680	$	0.9619	$	0.9435	$	0.9479	$	0.9479	$	0.9569	$	0.9707	$	0.9746	$	0.9742	$	0.9991

*Class MM issued on January 25, 2016

YR 2015

NAV PER UNIT CLASS A

		Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd		May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015		$1.2304		$1.2611		$1.2311		$1.2593		$1.2846		$1.2826		$1.2986		$1.2308		$1.2308		$1.2183		$1.2351		$1.2319		$1.2013		$1.1770		$1.1742		$1.1442		$1.1509		$1.1423		$1.1638		$1.1784		$1.1834		$1.1885

		Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th		Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015		$1.1642		$1.1606		$1.1071		$1.1336		$1.1283		$1.1141		$1.1223		$1.1350		$1.0953		$1.1123		$1.1289		$1.1151		$1.1147		$1.1243		$1.1499		$1.1606		$1.1574		$1.1087		$1.1283		$1.1350		$1.1118		$1.1098

NAV PER UNIT CLASS C

		Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd		May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015		$1.1903		$1.2195		$1.1899		$1.2167		$1.2406		$1.2382		$1.2531		$1.1872		$1.1872		$1.1746		$1.1906		$1.1872		$1.1576		$1.1338		$1.1310		$1.1018		$1.1082		$1.0997		$1.1202		$1.1340		$1.1385		$1.1432

		Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th		Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015		$1.1197		$1.1160		$1.0643		$1.0896		$1.0843		$1.0705		$1.0781		$1.0902		$1.0518		$1.0679		$1.0836		$1.0702		$1.0696		$1.0786		$1.1029		$1.1130		$1.1098		$1.0631		$1.0816		$1.0878		$1.0654		$1.0633

NAV PER UNIT CLASS D

		Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd		May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015		$1.5440		$1.5835		$1.5468		$1.5832		$1.6160		$1.6145		$1.6357		$1.5513		$1.5513		$1.5364		$1.5581		$1.5544		$1.5163		$1.4862		$1.4829		$1.4458		$1.4544		$1.4440		$1.4714		$1.4904		$1.4971		$1.5040

		Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th		Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015		$1.4737		$1.4696		$1.4024		$1.4362		$1.4300		$1.4121		$1.4231		$1.4395		$1.3897		$1.4116		$1.4331		$1.4161		$1.4160		$1.4286		$1.4615		$1.4756		$1.4716		$1.4100		$1.4353		$1.4442		$1.4150		$1.4130

NAV PER UNIT CLASS I

		Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd		May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015		$1.3245		$1.3578		$1.3257		$1.3563		$1.3838		$1.3818		$1.3993		$1.3265		$1.3265		$1.3132		$1.3314		$1.3280		$1.2952		$1.2691		$1.2661		$1.2340		$1.2413		$1.2321		$1.2553		$1.2712		$1.2766		$1.2822

		Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th		Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015		$1.2562		$1.2524		$1.1948		$1.2234		$1.2178		$1.2025		$1.2115		$1.2253		$1.1826		$1.2010		$1.2190		$1.2042		$1.2039		$1.2144		$1.2420		$1.2538		$1.2503		$1.1978		$1.2190		$1.2263		$1.2013		$1.1993

NAV PER UNIT CLASS M

		Jan. 15th		Jan. 31th		Feb. 15th		Feb. 28th		Mar. 15th		Mar. 31th		Apr. 15th		Apr. 30th		May. 8th		May. 15th		May. 22nd		May. 31st		Jun. 5th		Jun. 15th		Jun. 19th		Jun. 30th		Jul. 2rd		Jul. 10th		Jul. 15th		Jul. 24th		Jul. 31st		Aug. 7th
2015		$1.1406		$1.1698		$1.1426		$1.1695		$1.1938		$1.1927		$1.2083		$1.1459		$1.1459		$1.1350		$1.1510		$1.1483		$1.1201		$1.0979		$1.0955		$1.0680		$1.0744		$1.0667		$1.0870		$1.1010		$1.1059		$1.1110

		Aug. 14th		Aug. 21st		Aug. 31st		Sep. 4th		Sep. 11th		Sep. 15th		Sep. 25th		Sep. 30th		Oct. 09th		Oct. 15th		Oct. 23th		Oct. 31st		Nov. 6th		Nov. 13th		Nov. 20th		Nov. 27th		Nov. 30th		Dec. 4th		Dec. 11th		Dec. 18th		Dec. 24th		Dec. 31st
2015		$1.0887		$1.0856		$1.0360		$1.0610		$1.0563		$1.0432		$1.0513		$1.0634		$1.0266		$1.0428		$1.0587		$1.0461		$1.0460		$1.0553		$1.0796		$1.0900		$1.0871		$1.0416		$1.0603		$1.0669		$1.0453		$1.0438

NAV PER UNIT CLASS AA

Jan. 15th

Jan. 31th

Feb. 15th

Feb. 28th

Mar. 15th

Mar. 31th

Apr. 15th

Apr. 30th

May. 8th

May. 15th

May. 22nd

May. 31st

Jun. 5th

Jun. 15th

Jun. 19th

Jun. 30th

Jul. 2rd

Jul. 10th

Jul. 15th

Jul. 24th

Jul. 31st

Aug. 7th

2015

n/a

Aug. 14th

Aug. 21st

Aug. 31st

Sep. 4th

Sep. 11th

Sep. 15th

Sep. 25th

Sep. 30th

Oct. 09th

Oct. 15th

Oct. 23th

Oct. 31st

Nov. 6th

Nov. 13th

Nov. 20th

Nov. 27th

Nov. 30th

Dec. 4th

Dec. 11th

Dec. 18th

Dec. 24th

Dec. 31st

2015

n/a

$1.0225

$1.0319

$1.0289

$0.9856

$1.0028

$1.0085

$0.9877

$0.9858

NAV PER UNIT CLASS II

Jan. 15th

Jan. 31th

Feb. 15th

Feb. 28th

Mar. 15th

Mar. 31th

Apr. 15th

Apr. 30th

May. 8th

May. 15th

May. 22nd

May. 31st

Jun. 5th

Jun. 15th

Jun. 19th

Jun. 30th

Jul. 2rd

Jul. 10th

Jul. 15th

Jul. 24th

Jul. 31st

Aug. 7th

2015

n/a

Aug. 14th

Aug. 21st

Aug. 31st

Sep. 4th

Sep. 11th

Sep. 15th

Sep. 25th

Sep. 30th

Oct. 09th

Oct. 15th

Oct. 23th

Oct. 31st

Nov. 6th

Nov. 13th

Nov. 20th

Nov. 27th

Nov. 30th

Dec. 4th

Dec. 11th

Dec. 18th

Dec. 24th

Dec. 31st

2015

n/a

$1.0177

$1.0238

$1.0028

$1.0011

Liquidity and Capital Resources

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

An Underlying Fund through its Master 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 Underlying Fund to limit losses as well as reduce market exposure on short notice should its strategies indicate doing so.

There is no established public trading market for the Units. Investors in the Fund generally may redeem any or all of their Units at NAV, in whole or fractional Units, effective as of each Friday (or, where such day is not a business day, the immediately following business day) and/or such

other days as the Manager may determine in its sole discretion (“Redemption Day”), upon submitting a redemption request by the “Redemption Notice Date,” which is four business days prior to the Redemption Date. The NAV of redeemed Units is determined as of the Redemption Day. Investors will remain exposed to fluctuations in NAV during the period between submission of their redemption request and the applicable Redemption Day.

As a commodity pool, the Fund maintains an extremely large percentage of its assets in cash directly and indirectly through the underlying Master Funds, which they must have available to post initial and variation margin on futures contracts. This cash is also used to fund redemptions. While the Underlying Fund has the ability to fund redemption proceeds from liquidating Master Fund positions, as a practical matter positions are not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, FRM 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.

For the six months ended June 30, 2016 the Fund’s capital decreased 6.76% from $160,781,732 to $149,912,578. This decrease was attributable to the net income from operations of $4,524,099, coupled with the redemption of 18,492,409 Units resulting in an outflow of $20,483,542. The cash outflow was offset with cash inflow of $5,090,289 due to subscriptions of 4,738,015 Units. Future redemptions could impact the amount of funds available for investment in the Underlying Funds in subsequent months.

Critical Accounting Policies

Statement of Cash Flows

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

Investments

Purchase and sale of investments are recorded on a trade date basis. Realized profits and losses on investments are recognized when the investments are sold. Any change in net unrealized profit or loss from the preceding period is reported in the respective Statements of Operations.

Fair Value Measurements

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

Reform Act

The Dodd-Frank Wall Street Reform and Consumer Protection Act amended the definition of “eligible contract participant” and each Master Fund expects to meet the amended definition as it applies to trading in “retail forex” transactions so long as its total assets exceed $10 million. If the Master Fund does not meet the definition of “eligible contract participant” for purposes of trading in “retail forex” transactions, it could lead to the Master Fund being unable to trade such transactions in the interbank market and bearing higher upfront and mark-to-market margin, less

favorable trade pricing, and the possible imposition of new or increased fees. “Retail forex” markets available to parties that do not meet the definition of “eligible contract participant” could also be significantly less liquid than the interbank market. Moreover, the creditworthiness of the counterparties with whom the Master Fund may be required to trade in such circumstances could be significantly weaker than the creditworthiness of the currency forward counterparties with which the Master Fund would otherwise engage for its currency forward transactions.

Results of Operations

January 1, 2016 to June 30, 2016

January 1, 2016 to March 31, 2016

The following table is an allocation by sector as a percentage of net unrealized profit and loss on open positions for the Fund as a whole taking into account the positions at the underlying Master Fund level and the allocation to each underlying Master Fund as of March 31, 2016:

March 31, 2016

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions
Agriculture	$	163,906		12.53	%
Currencies - Futures	(168,363		)	-12.87	%
Currencies - Forwards	(90,761		)	-6.94	%
Energy	31,676			2.42	%
Interest rates	1,030,491			78.80	%
Metals	(56,054		)	-4.29	%
Stock indices	396,993			30.35	%
Total	$	1,307,888		100	%

The Fund experienced a net trading profit for the first quarter ended March 31, 2016 of $6,107,121.

Returns were varied over the quarter with positive returns in January and February, while March gave back some earlier gains.

References herin to the Fund’s trading and portfolio refer to such trading and portfolios through the Master Fuunds generally.

The start of the quarter was characterized by an overall risk-off sentiment as the Chinese equity market experienced extreme volatility with heavy sell-offs that hit the circuit breakers twice in a week, coupled with the continued decline in the energy market. Consequently, this led to raised uncertainty about policy actions from the central banks that remained throughout the quarter. Mid-quarter, the outlook for 2016 became even more complicated as markets also dealt with the

marginal effect of negative rate policy in the Eurozone and Japan. However, Yellen’s speech at the end of March maintained the dovish tone held throughout the quarter, leading the market to revise down the probability of a June rate hike. The portfolio however maintained a positive net-of-fees result year-to-date, despite the backdrop of uncertainty from central bank action.

The main contributor to performance at the start of the quarter was the fixed income sector, receiving positions across the developed market rates benefited from the January rally, especially during the final week of the month. Fixed income remained the main contributor to performance through February. However, this sector performed negatively towards the end of the quarter. The majority of the losses came from long positions in developed market bonds such as UK Gilts despite being offset by long positions in Italian and French government bonds.

The commodities sector performed positively in January. The short position in crude benefited early in the month as the price of oil slid below the $30/bbl mark. However, towards the middle of the quarter, while precious metals detracted from performance, gains were led by shorts in energy and agriculturals making the commodities sector the second best performing asset class in February. Commodities was the worst performer in March despite most programs scaling back their shorts in the energy sector towards the end of the quarter.

The equities sector was the only sector that detracted at the start of the quarter as a result of the market sell-off, and remained down until the end of the quarter. Longs in the U.S. and Japanese major equity indices all suffered from the price drop during the first two weeks of January, and long positions in S&P500 and DAX detracted in February. In March, the Fund saw positive performance with gains led by longs in the US equity market including S&P500, Nasdaq and Dow Jones.

Foreign currencies future and forwards contributed positively at the start of the quarter, but turned negative by the end. Short positions in GBP, CAD and ZAR against USD contributed to performance in the beginning of January. However, a long JPY against USD position was maintained into February and through March as at the end of the quarter the euro and pound strengthened against the U.S. dollar, further detracting from performance.

In terms of positioning at quarter end, the portfolio continued to hold its long delta exposure although there were some notable reductions within the fixed income sector. The portfolio trimmed some of the longs in precious metals in the last week of the quarter and adjusted its overall delta exposure in commodities to almost flat. Regarding equities, the portfolio entered March flat, but swiftly built up a long exposure most significantly in the U.S. as the equities market rallied. Finally, the portfolio notably reversed its net long dollar exposure to net short during the second half of March in the FX sector.

April 1, 2016 to June 30, 2016

June 30, 2016

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions
Agricultural Commodities	$	638,852		8.02	%
Energy	(216,631		)	-2.72	%
Interest Rates	4,601,288			57.78	%
Metals	657,175			8.25	%
Stock Indices	521,248			6.54	%
Currencies - Future	817,289			10.26	%
Currencies - Forward	944,926			11.86	%
Total	$	7,964,147		100	%

The Fund experienced a net trading profit for the second quarter ended June 30, 2016 of $664,987.

Returns were negative at the start and through mid-quarter, but rebounded at quarter end to post positive returns.

References herin to the Fund’s trading and portfolio refer to such trading and portfolios through the Master Fuunds generally.

The quarter started with economic and financial market conditions being generally firmer, characterized by a further rebound in global stock markets and the commodities sector. The Federal Open Market Committee (FOMC) acknowledged these improving trends, and expectations of a near term Federal Reserve (Fed) rate hike were substantially upgraded in May following the release of the April FOMC minutes. Come June, however, attention shifted. A disappointing non-farm payroll report which led to a decline in the US dollar and a rally in bonds across regions was overshadowed later in the month by the referendum on Britain voting to leave the EU.

The fixed income sector detracted substantially in April due to the broad sell-off towards month end, but performed well in May given most programs’ long positioning in bonds. Long bond positions across the US and Europe led the gains in June. The fixed income sector was the best performing asset class throughout the quarter end and contributed most notably post Brexit in the final week of June.

The FX sector contributed positively to performance at the start of the quarter, but was the main detractor in May with a meaningful net short position in the dollar. Overall, USD net exposure in FX was aggressively reversed to long mid-quarter. In June, the FX sector was the second best performer, benefiting from the currency moves post Brexit.

Commodities detracted from performance with energy, grains, softs and industrial metals performing negatively, although precious metals and livestock mitigated the losses at the start of the quarter. Mid-quarter, positive performance in longs in agricultural markets could not offset the losses from long positions in precious and industrial metals which suffered heavily. However, this sector contributed positively at the end of the quarter. Precious metals and agriculturals were the top performers while the energy sector detracted.

Equities were mixed over the quarter. The net long equity exposure performed positively through most of April, but could not hold on to the gains as equities market sold off in major developed markets at the end of the month. Despite positive performance in May, the equity sector detracted in June. This was mainly due to losses related to the post Brexit referendum selloff as the portfolio held a bullish bias to this asset class.

In terms of positioning, the portfolio continues to hold a net long bias in fixed income and has increased risk towards quarter end. The increase is mainly driven by topping up long positions in the US bond market. Regarding the FX sector, the portfolio started June net long in USD, but reversed to flat by month end. This was primarily driven by a combination of increasing longs in JPY and reducing shorts in GBP and EUR against USD. In commodities, the portfolio maintained a net long exposure overall and increased its long bias to precious metals and agriculturals. Although the portfolio remained net long equities through June, net exposure has come down due to significant reduction in long US equity futures positions, along with a reversal in positioning in European equities from long to short.

January 1, 2015 to March 31, 2015

January 1, 2015 to March 31, 2015

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the underlying Portfolio Fund level and the allocation to each underlying Portfolio Fund as of March 31, 2015:

March 31, 2015

				Percent of
	Net Unrealized			Net Unrealized
Commodity Industry	Profit (Loss)			Profit (Loss)
Sector	on Open Positions			on Open Positions
Agriculture	1,613,161			32.86	%
Currencies - Futures	(26,105		)	-0.53	%
Currencies - Forwards	(177,860		)	-3.62	%
Energy	306,419			6.24	%
Interest rates	3,328,997			67.81	%
Metals	(673,049		)	-13.71	%
Stock indices	537,484			10.95	%
Total	$	4,909,047		100	%

The Fund experienced a net trading profit for the first quarter ended March 31, 2015 of $15,122,621.

In the first quarter, returns were positive in January and March, with a slight dip in February. Continuing trends in fixed income, equity indices, currencies and energies drove performance.

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

In equity indices, the Portfolio Funds came into the first quarter with long exposure, with positions across geographies. The largest exposures were in U.S. indices, based on recent trends. Equity markets saw some divergence in the first three months of the year. U.S. markets had roughly flat returns, taking a break from the strong performance they had put in the previous two years as rate hikes approached, a strong U.S. dollar began to weigh on earnings, and the energy sector continued to struggle. On the other hand, European markets took off strongly as quantitative easing became a reality and a weaker currency buoyed earnings. Japanese equities also performed well due to similar reasons. The Portfolio Funds generally adjusted their portfolios, reducing allocations to U.S. indices and increasing their long positions in Europe and Asia. The asset class finished the first quarter with gains, driven primarily by rising equity prices in non-U.S. markets.

Fixed income was also profitable. The falling yields drove performance in 2014. The Portfolio Funds were long fixed income markets across geographies and maturities at the start of 2015, even as yields were low in many areas. Yields fell further, with big moves registered in January, especially in Europe. These moves were in part due to the concerns over slow growth and deflation, and the easing bias adopted by many central banks as evidenced by rate cuts in several countries and the quantitative easing decision from the European Central Bank. Yields did come back up some in February, but were down again in March. Overall, the direction was downward and the moves benefited long positions, resulting in profits for trend followers.

Currencies were another profitable asset class. Following some big moves in the second half of 2014, the Portfolio Funds were broadly long the U.S. Dollar against most major foreign currencies, with especially large short exposure in the euro. The first quarter generally saw a continuation of the strong dollar trend. Continuing divergence across economies and monetary policy versus the U.S. led to the euro being down in the first quarter and many foreign currencies fell in tandem. These moves led to gains.

In commodities, there was a short bias across portfolios. Energy positions had been profitable in the latter part of 2014 as oil and related markets fell precipitously due to acute supply and demand imbalances. The moves in oil continued in January, but there was a choppy period in February when oil markets rebounded strongly, followed by another down leg in March. WTI crude oil was down over the first quarter and short positions made additional gains. In metals and agricultural markets, price moves were more mixed and there were some losses due to choppiness and an absence of strong trends. Sugar and nickel were two trending markets where the Portfolio Funds did make some money. Looking at the asset class as a whole, commodities attribution was roughly flat.

Overall, even as some trends have looked a little extended, market moves generally continued in the direction of existing trends during the first quarter. There were gains in fixed income, equity indices and FX. Commodities were close to flat. As a result, the first quarter was profitable for the Fund.

April 1, 2015 to June 30, 2015

The following table is an allocation by sector as a percentage of net unrealized profits and losses on open positions for the Fund as a whole taking into account the positions at the Underlying Fund level and the allocation to each Underlying Fund as of June 30, 2015:

June 30, 2015

Commodity Industry Sector	Net Unrealized Profit (Loss) on Open Positions			Percent of Net Unrealized Profit (Loss) on Open Positions
Agriculture	(635,948		)	33.18	%
Currencies - Futures	42,336			-2.21	%
Currencies - Forwards	(625,456		)	32.64	%
Energy	(153,526		)	8.01	%
Interest rates	379,848			-19.82	%
Metals	728,895			-38.03	%
Stock indices	(1,652,538		)	86.23	%
Total	$	(1,916,389	)	100	%

The Fund experienced a net trading loss for the second quarter ended June 30, 2015 of $22,497,075.

Returns were negative for each month of the second quarter, culminating in a challenging June for many Trading Advisors.

Reference herein to the Fund’s trading refer to such trading conducted, and portfolios held, through the Master Funds generally (provided that references with respect to April 2015 refer to the Fund’s trading conducted, and portfolios held, through the FuturesAccess Portfolio Funds generally).

The second quarter started off with reversals across asset classes and markets. With many trends appearing extended and mature coming into April, many sectors and markets reversed around at the same time. Markets were relatively quiet during May, with mixed performance in equities, slight weakness in fixed income and a rebound in the U.S. dollar against most major currencies. Greece dominated the headlines in Europe, as markets speculated about the country’s ability to repay an IMF loan due in early June. The uncertainty caused European equity markets, the euro, and European fixed income to finish May lower. Volatility towards the end of the second quarter due to low levels of liquidity, uncertainty over the outcome of the Greek referendum and the sharp reversal in the Chinese equity markets proved a difficult environment for many trend following managers.

Equities were mixed during the second quarter. In April equity indices were profitable for the Fund. Long exposures in the U.S. and Asia helped the asset class. May was mixed; however, Japanese exposure benefited the Fund. Equities were a meaningful detractor during June with long positions across all regions adding to the negative results.

Fixed income detracted from performance during the second quarter. Yields reversed in April and began to rise from the low levels they had reached in March. Poor growth numbers in the United States, the possibility that rate hikes might be delayed and better economic performance in Europe all contributed to negative performance. Poor performance continued in May as long exposure in German bunds, U.S. treasuries and Japanese government bonds generated losses. Fixed income was a minor detractor during June with gains in U.S. bonds, French Obligations Assimilables du Trésor, Italian Buoni del Tesoro Poliennalis and German bunds not being sufficient to fully offset losses in Japanese government bonds and British gilts.

In currencies, the U.S. dollar experienced a big reversal to start the second quarter, falling against several foreign currencies. Short positions in the Euro and Japanese yen were the worst hit. However, currencies were a leading contributor during May as the U.S. dollar reversed and benefited trend following managers. This was most noticeable against the Euro and Japanese yen. Currencies ended the quarter negative with Japanese yen and Euro shorts accounting for significant losses during June.

In commodities, a weaker U.S. Dollar coupled with an improving growth outlook in Europe led to higher energy prices. Short positions suffered losses as a result during April. Some other sectors such as industrial metals and softs also experienced reversals from the prevailing trend and added to losses. Shorts in softs and energies were a major detractor during June.

In terms of positioning, overall risk levels were reduced during the end of the second quarter. In commodities, the Trading Advisors remain broadly short most subsectors. Equities positions have been cut on the back of the losses and the level of exposure has come down relative to the end of May. Exposure to foreign exchange has increased slightly with long British pound and

short Euro and short Japanese yen being the main areas of risk concentration. Long fixed income positioning continues to edge towards the lower end of the range.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

The FuturesAccess Portfolio Funds and the Underlying Funds are speculative commodity pools. The market sensitive instruments held by the FuturesAccess Portfolio Funds and the Underlying Funds are acquired for speculative trading purposes and all or substantially all of the FuturesAccess Portfolio Funds and the Underlying 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 Underlying Funds’ main line of business.

Market movements result in frequent changes in the fair market value of the FuturesAccess Portfolio Funds and the Underlying Funds’ open positions and, consequently, in their earnings and cash flows. The FuturesAccess Portfolio Funds and the Underlying 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 FuturesAccess Portfolio Funds and the Underlying Funds’ open positions and the liquidity of the markets in which they trade.

The FuturesAccess Portfolio Funds and the Underlying Funds, under the direction of their respective Trading Advisors rapidly acquire and liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a possible future market scenario will affect performance and the Fund’s and the FuturesAccess Portfolio Funds and the Underlying Funds’ past performance is not necessarily indicative of future results.

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

Quantifying the Fund’s Trading Value at Risk

Quantitative Forward Looking Statements

The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section

27A of the Securities Act of 1933 (“Securities Act”) and Section 21E of the Securities Exchange Act of 1934 (“Securities Exchange Act”). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

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

Prior to May 1, 2015, exchange maintenance margin requirements have been used by the FuturesAccess Portfolio Funds as the measure of their VaR. 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% to 99% of the one-day time periods included in the historical sample (approximately one year, generally) 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 FuturesAccess Portfolio Funds), the margin requirements for the equivalent futures positions have been used as VaR. In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used. During the period prior to May 1, 2015, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have been aggregated to determine each trading category’s aggregate VaR. The diversification effects (which would reduce the VaR estimates) resulting from the fact that the FuturesAccess Portfolio Funds’ positions were rarely, if ever, 100% positively correlated, were not reflected during this time period.

On and after May 1, 2015, VaR was calculated for each Underlying Fund by first calculating VaR with respect to each Master Fund and adjusting based on the Underlying Fund’s pro-rata ownership of the Master Fund. VaR of the Master Funds is based on a one day 99% Monte Carlo model VaR utilizing 1,000 simulations. The sector breakdown of VaR for each Master Fund is based on an incremental VaR calculated for each position that is aggregated across each of the sectors presented below.

There are various ways of calculating VaR, and each methodology will not yield the same result. Differences between VaR methodologies could be material as the underlying assumptions will vary.

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

The following information with respect to VaR is set forth in respect of the Underlying Funds separately, rather than for the Fund.

The following tables indicate the average, highest, and lowest trading VaR associated with the FuturesAccess Portfolio Funds and the Underlying Funds’ open positions by market category for

the six month periods ended June 30, 2016 and June 30, 2015. (For initial Underlying Fund investments made during the period, VaR is calculated starting from the commencement of the holding.)

Blakeney (1)

	June 30, 2016
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	15,044	0.07	%	$	22,374	$	18
Energy	72,213		0.36	%	174,690		15,045
Interest Rates	292,735		1.45	%	528,998		145,334
Metals	32,300		0.16	%	87,266		13,585
Stock Indices	49,124		0.24	%	93,341		2,307
Currencies	128,200		0.63	%	322,947		55,215
TOTAL	$	589,616	2.91	%	$	1,229,616	$	231,504

(1) Average capitalization of Blakeney is $20,203,083.

Campbell (2)

	June 30, 2016
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	54,904	0.26	%	$	115,750	$	32,018
Energy	86,886		0.41	%	188,541		3,083
Interest Rates	255,127		1.20	%	347,156		144,328
Metals	35,837		0.17	%	94,474		1,835
Stock Indices	112,611		0.53	%	274,580		36,105
Currencies	120,951		0.57	%	263,978		27,740
TOTAL	$	666,316	3.14	%	$	1,284,479	$	245,109

(2) Average capitalization of Campbell is $21,249,344.

Carlisle (3) *

	June 30, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	18,096	0.22	%	$	31,053	$	7,164
Energy	63,630		0.77	%	125,640		3,230
Interest Rates	151,620		1.83	%	208,645		46,770
Metals	10,213		0.12	%	16,960		5,644
Stock Indices	23,933		0.29	%	38,709		6,331
Currencies	30,214		0.36	%	45,151		6,609
Other	18,984		0.23	%	28,014		7,676
TOTAL	$	316,690	3.82	%	$	494,172	$	83,424

(3) Average capitalization of Carlisle is $8,306,779.

* Carlisle redeemed April 2016

Century CAT (4) *

	June 30, 2016
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	6,644	0.04	%	$	9,692	$	737
Energy	11,928		0.07	%	23,452		1,864
Interest Rates	199,866		1.19	%	330,627		114,137
Metals	5,296		0.03	%	10,193		1,478
Stock Indices	38,933		0.23	%	108,088		4,124
Currencies	132,658		0.79	%	213,159		72,782
TOTAL	$	395,325	2.35	%	$	695,211	$	195,122

(4) Average capitalization of Century CAT is $16,725,898.

* Century CAT commenced March 2016

CCPCore Macro (5)

	June 30, 2016
	Average		% of Average		Highest Value		Lowest Value
	Value at Risk		Capitalization		at Risk		at Risk
Agricultural Commodities	$	3,390	0.04	%	$	6,309	$	176
Energy	56,275		0.59	%	131,014		18,006
Interest Rates	144,811		1.53	%	337,476		58,968
Metals	6,783		0.07	%	21,136		112
Stock Indices	39,721		0.42	%	117,811		508
Currencies	41,372		0.44	%	132,030		4,027
TOTAL	$	292,352	3.09	%	$	745,776	$	81,797

(5) Average capitalization of CCPCore Macro is $9,487,256.

Quantica MF(6)

	June 30, 2016
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	24,656	0.19	%	$	37,803	$	9,426
Energy	71,234		0.54	%	305,453		546
Interest Rates	280,575		2.11	%	529,812		66,618
Metals	57,165		0.43	%	105,016		32,662
Stock Indices	39,860		0.30	%	104,716		1,658
Currencies	33,839		0.25	%	107,484		4,963
TOTAL	$	507,329	3.82	%	$	1,190,284	$	115,873

(6) Average capitalization of Quantica MF is $13,291,905.

Silver (7)

	June 30, 2016
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	26,674	0.21	%	$	43,009	$	4,959
Energy	97,642		0.76	%	280,212		27,631
Interest Rates	185,158		1.45	%	489,756		4,719
Metals	68,388		0.53	%	110,685		16,980
Stock Indices	62,226		0.49	%	113,471		7,696
Currencies	128,797		1.01	%	187,779		31,931
TOTAL	$	568,885	4.45	%	$	1,224,912	$	93,916

(7) Average capitalization of Silver is $12,785,306.

Aspect DS (1) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	543,879	2.24	%	$	720,573	$	156,090
Currencies	485,971		2.01	%	1,004,655		280,131
Energy	205,769		0.85	%	379,796		132,210
Interest Rates	887,875		3.67	%	973,255		813,515
Metals	163,258		0.67	%	339,839		93,411
Stock Indices	159,818		0.66	%	219,055		125,332
TOTAL	$	2,446,570	10.10	%	$	3,637,173	$	1,600,689

(1) Average capitalization of Aspect Class DS was $24,217,973.

* Aspect redeemed as of April 30, 2015.

BlueTrend DS (2) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	122,456	0.34	%	$	384,364	$	29,501
Currencies	893,239		2.53	%	1,859,704		479,274
Energy	219,718		0.62	%	305,405		32,721
Interest Rates	1,683,631		4.74	%	2,429,552		3,242
Metals	111,620		0.31	%	146,717		83,857
Stock Indices	413,534		1.16	%	463,806		332,988
TOTAL	$	3,444,198	9.70	%	$	5,589,548	$	961,583

(2) Average capitalization of BlueTrend Class DS was $35,498,838.

* BlueTrend redeemed as of April 30, 2015.

John Locke DS (3) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	1,189,626	4.88	%	$	1,258,388	$	1,052,845
Currencies	38,559		0.16	%	40,787		34,125
Energy	220,250		0.90	%	232,981		194,926
Interest Rates	1,723,369		7.07	%	1,822,982		1,525,219
Metals	262,751		1.08	%	277,938		232,540
Stock Indices	241,105		0.99	%	255,041		213,383
TOTAL	$	3,675,660	15.08	%	$	3,888,117	$	3,253,038

(3) Average capitalization of John Locke Class DS was $24,336,141.

* John Locke redeemed as of April 30, 2015.

Lynx DS (4) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	807,721	2.44	%	$	1,178,332	$	11,089
Currencies	69,933		0.21	%	85,323		58,253
Energy	249,568		0.75	%	349,352		43,665
Interest Rates	2,109,893		6.39	%	2,979,873		297,054
Metals	213,437		0.64	%	289,286		63,272
Stock Indices	623,944		1.88	%	1,111,938		414,656
TOTAL	$	4,074,496	12.31	%	$	5,994,104	$	887,989

(4) Average capitalization of Lyns Class DS was $33,102,183.

* Lynx redeemed as of April 30, 2015.

Transtrend DS (5) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	1,719,219	4.87	%	$	2,438,783	$	241,557
Currencies	298,297		0.84	%	702,840		150,284
Energy	275,614		0.78	%	301,361		245,525
Interest Rates	1,583,766		4.49	%	1,950,399		1,028,515
Metals	116,112		0.33	%	281,383		56,107
Stock Indices	758,297		2.15	%	887,668		618,065
Others	143,713		0.41	%	143,713		143,713
TOTAL	$	4,895,018	13.87	%	$	6,706,147	$	2,483,766

(5) Average capitalization of Transtrend Class DS was $35,315,715.

* Transtrend redeemed as of April 30, 2015.

Tudor Tensor DS (6) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	447,314	1.83	%	$	628,215	$	567,932
Currencies	250,250		1.03	%	351,455		317,730
Energy	8,935		0.04	%	12,548		11,344
Interest Rates	278,368		1.14	%	390,945		353,431
Metals	1,258,617		5.16	%	1,571,426		558,800
Stock Indices	123,826		0.51	%	173,904		157,216
TOTAL	$	2,367,310	9.71	%	$	3,128,493	$	1,966,453

(6) Average capitalization of Tudor Tensor Class DS was $24,390,855.

* Tudor Tensor redeemed as of April 30, 2015.

Winton DS (7) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	304,057	0.69	%	$	419,487	$	122,260
Currencies	537,387		1.21	%	1,819,461		84,999
Energy	305,886		0.69	%	668,557		142,914
Interest Rates	1,528,473		3.45	%	2,163,220		472,487
Metals	380,153		0.86	%	459,897		308,843
Stock Indices	197,131		0.45	%	263,266		101,960
TOTAL	$	3,253,087	7.35	%	$	5,793,888	$	1,233,463

(7) Average capitalization of Winton Class DS was $44,253,768.

* Winton redeemed as of April 30, 2015.

Blakeney (8) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	13,239	0.08	%	$	20,504	$	5,972
Energy	39,787		0.25	%	57,151		22,423
Interest Rates	43,288		0.27	%	82,759		3,818
Metals	27,154		0.17	%	43,547		10,761
Stock Indices	192,513		1.21	%	196,113		188,913
Currencies	74,978		0.47	%	81,874		68,083
TOTAL	$	390,959	2.45	%	$	481,948	$	299,970

(8) Average capitalization of Blakeney is $15,855,781.

* Blakeney added in May 2015.

Campbell (9) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	149,773	0.58	%	$	266,227	$	33,319
Energy	27,064		0.10	%	51,154		2,974
Interest Rates	30,456		0.12	%	33,048		27,865
Metals	188,572		0.73	%	347,565		29,579
Stock Indices	159,467		0.61	%	230,333		88,602
Currencies	444,460		1.71	%	466,861		422,058
TOTAL	$	999,792	3.85	%	$	1,395,188	$	604,397

(9) Average capitalization of Campbell is $25,969,861.

* Campbell added in May 2015.

Carlisle (10) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	54,080	0.35	%	$	68,192	$	39,968
Energy	32,337		0.21	%	46,965		17,709
Interest Rates	31,064		0.20	%	42,640		19,487
Metals	76,199		0.49	%	147,925		4,473
Stock Indices	328,304		2.12	%	382,070		274,540
Currencies	94,229		0.61	%	94,275		94,184
Other	59,146		0.38	%	86,143		32,147
TOTAL	$	675,359	4.36	%	$	868,210	$	482,508

(10) Average capitalization of Carlisle is $15,504,880.

* Carlisle added in May 2015.

CCPCore Macro (11) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	21,285	0.16	%	$	31,773	$	10,797
Energy	17,865		0.14	%	18,869		16,861
Interest Rates	21,821		0.17	%	37,880		5,762
Metals	20,135		0.15	%	35,026		5,244
Stock Indices	273,361		2.08	%	304,273		242,449
Currencies	65,813		0.50	%	83,455		48,171
TOTAL	$	420,280	3.20	%	$	511,276	$	329,284

(11) Average capitalization of CCPCore Macro is $13,135,329.

* CCPCore Macro added in May 2015.

Quantica MF(12) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	26,297	0.11	%	$	28,200	$	24,393
Energy	11,260		0.05	%	16,594		5,927
Interest Rates	43,201		0.18	%	48,025		38,376
Metals	2,001		0.01	%	3,119		884
Stock Indices	499,381		2.13	%	549,858		448,903
Currencies	58,813		0.25	%	71,859		45,768
TOTAL	$	640,953	2.73	%	$	717,655	$	564,251

(12) Average capitalization of Quantica MF is $23,448,082.

* Quantica MF added in May 2015.

Silver (13) *

	June 30, 2015
	Average Value at Risk		% of Average Capitalization		Highest Value at Risk		Lowest Value at Risk
Agricultural Commodities	$	35,962	0.15	%	$	43,749	$	28,174
Energy	22,455		0.09	%	39,626		5,284
Interest Rates	49,592		0.21	%	53,229		45,955
Metals	46,761		0.20	%	92,467		1,056
Stock Indices	354,262		1.48	%	490,108		218,417
Currencies	168,798		0.71	%	183,763		153,832
TOTAL	$	677,830	2.84	%	$	902,942	$	452,718

(13) Average capitalization of Silver is $23,861,721.

* Silver added in May 2015.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Fund and the Underlying Funds are 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 and the Underlying Funds. The magnitude of the Fund’s and the Underlying Funds’ open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of their positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Fund and the Underlying Funds to incur severe losses over a short period of time. The foregoing VaR table — as well as the past performance of the Fund and the Underlying Funds — gives no indication of this “risk of ruin.”

Non-Trading Risk

The Underlying Funds have non-trading market risk on foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are generally immaterial.

These Underlying Funds also have non-trading market risk on their assets which are held in cash at the clearing broker. 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 Fund’s market risk exposures through the Underlying Funds after the change in structure — 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 Fund’s primary market risk exposures as well as the strategies used and to be used by FRM and the Trading Advisors of the Underlying Funds for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the risk controls for the Fund and for the trading conducted through Underlying Funds 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 Fund’s 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 value of their investment in the Fund.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

Each Underlying Fund (inclusive of its related Master Fund) and its Trading Advisor are monitored by FRM’s investment team. This coverage is intended to ensure that each Underlying Fund and its Trading Advisor are monitored by individuals who have an in-depth understanding of the Underlying Fund and its Trading Advisor, as well as knowledge of the market environment affecting that particular strategy.

Item 4. Controls and Procedures

Disclosure Controls and Procedures

FRM’s President and Principal 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 the end of the quarter which ended June 30, 2016, and, based on their evaluation, have concluded that these disclosure controls and procedures are 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 June 30, 2016 that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II — OTHER INFORMATION

Item 1. Legal Proceedings

None.

Item 1A. Risk Factors

There are no material changes from risk factors as previously disclosed in the Fund’s report on Form 10-K for the year ended December 31, 2015, filed with the Securities and Exchange Commission on March 30, 2016.

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

(a) 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 agents of the Units are Man Investment Inc. (“MII”) and Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”).

For the three month quarter ended June 30, 2016

CLASS AA

	Subscriptions
	Amount		Units	NAV (1)
4/11/2016	$	196,000	192,780.565	$	1.0167
4/18/2016	$	16,000	15,838.448	$	1.0102
5/9/2016	$	70,000	71,210.580	$	0.9830
5/16/2016	$	40,000	40,966.817	$	0.9764
5/31/2016	$	137,000	142,485.699	$	0.9615
6/6/2016	$	332,000	342,197.485	$	0.9702
6/13/2016	$	324,000	329,301.758	$	0.9839
6/20/2016	$	615,000	622,784.810	$	0.9875

(1) Beginning of the period Net Asset Value.

There was no activity for all other classes.

For the three month quarter ended June 30, 2015

CLASS A

	Subscription
	Amount		Units	NAV(1)
April 1, 2015	$	114,840	89,537	1.2826

CLASS C

	Subscription
	Amount		Units	NAV(1)

April 1, 2015	$	42,000	33,920	1.2382
April 16, 2015	$	5,000	3,990	1.2531

CLASS I

	Subscription
	Amount		Units	NAV(1)

April 1, 2015	$	215,000	155,594	1.3818

(1) Beginning of the period Net Asset Value.

Class AA Units were subject to upfront sales commissions paid to MLPF&S up to 3% of an investor’s gross subscription amount. Sales commissions were directly deducted from subscription amounts.

(b) Not applicable.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

None.

Item 6. Exhibits

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.

Exhibit 101 Are filed herewith.

The following materials from the Fund’s quarterly Report on Form 10-Q for the three and six month period ended June 30, 2016 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.

SIGNATURES

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

		MAN FRM MANAGED FUTURES STRATEGIES LLC


			By:	FRM INVESTMENT
				MANAGEMENT (USA) LLC
				(Manager)


Date:	8/12/16		By:	/s/ Michelle McCloskey
				Michelle McCloskey
				President
				(Principal Executive Officer)


Date:	8/12/16		By:	/s/ Linzie Steinbach
				Linzie Steinbach
				Principal Financial Officer

Attached files

MAN FRM MANAGED FUTURES STRATEGIES LLC Reports

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