NESTOR PARTNERS - FORM 10-Q

Attached files

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EX-32.3 - EX-32.3 - NESTOR PARTNERS	c471-20170331xex32_3.htm
EX-32.2 - EX-32.2 - NESTOR PARTNERS	c471-20170331xex32_2.htm
EX-32.1 - EX-32.1 - NESTOR PARTNERS	c471-20170331xex32_1.htm
EX-31.3 - EX-31.3 - NESTOR PARTNERS	c471-20170331xex31_3.htm
EX-31.2 - EX-31.2 - NESTOR PARTNERS	c471-20170331xex31_2.htm
EX-31.1 - EX-31.1 - NESTOR PARTNERS	c471-20170331xex31_1.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


☒	Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended: March 31, 2017


☐	Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File Number: 000-50725

NESTOR PARTNERS

(Exact name of registrant as specified in its charter)


NEW JERSEY		22-2149317
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut 06830

(Address of principal executive offices) (Zip code)

Registrant's telephone number, including area code: (203) 625-7554

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 ☒ No ☐

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

Yes ☒ No ☐

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


Large accelerated filer ☐	Accelerated filer ☐
Non-accelerated filer ☐ (Do not check if a smaller reporting company)	Smaller reporting company ☒
	Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Yes ☐ No ☐

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

Yes ☐ No ☒


PART 1. FINANANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS



Nestor Partners
Financial statements
For the three months ended March 31, 2017 and 2016 (unaudited)

Statements of Financial Condition (a)						1
Condensed Schedules of Investments (a)						2
Statements of Operations (b)						6
Statements of Changes in Partners' Capital (b)						7
Statements of Financial Highlights (b)						8
Notes to the Financial Statements						9

(a) At March 31, 2017 and December 31, 2016 (unaudited)
(b) For the three months ended March 31, 2017 and 2016 (unaudited)


Nestor Partners
Statements of Financial Condition (UNAUDITED)

		March 31, 2017		December 31, 2016
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes − at fair value
(amortized cost $23,724,085 and $17,826,016)	$	23,699,245	$	17,809,582
Net unrealized appreciation on open futures and forward
currency contracts		3,385,013		3,487,795
Due from brokers		1,633,344		441,445
Cash denominated in foreign currencies (cost $5,574,385
and $3,292,817)		5,602,761		3,184,002

Total equity in trading accounts		34,320,363		24,922,824

INVESTMENTS IN U.S. TREASURY NOTES − at fair value
(amortized cost $117,071,472 and $123,007,891)		116,968,719		122,946,045

CASH AND CASH EQUIVALENTS		14,313,438		11,314,010

ACCRUED INTEREST RECEIVABLE		313,695		280,558

TOTAL	$	165,916,215	$	159,463,437

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Capital contributions received in advance	$	1,340,000	$	225,000
Net unrealized depreciation on open futures and forward
currency contracts		570,942		-
Accrued brokerage fees		305,460		297,447
Accrued expenses		276,958		206,958
Capital withdrawals payable to limited partners		1,076,234		779,439
Capital withdrawals payable to General partner		-		2,405,883
Accrued profit share		619,159		-
Other liabilities		198		400

Total liabilities		4,188,951		3,915,127

PARTNERS' CAPITAL		161,727,264		155,548,310

TOTAL	$	165,916,215	$	159,463,437


See notes to financial statements (unaudited)


Nestor Partners
Condensed Schedule of Investments
March 31, 2017 (UNAUDITED)

Futures and Forward Currency Contracts	Net Unrealized Appreciation/ (Depreciation) as a % of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	0.12	%	$	192,882
Interest rates:
2 Year U.S. Treasury Note (134 contracts, settlement date June 2017)	0.04			57,172
5 Year U.S. Treasury Note (124 contracts, settlement date June 2017)	0.05			84,563
10 Year U.S. Treasury Note (74 contracts, settlement date June 2017)	0.06			97,359
30 Year U.S. Treasury Bond (60 contracts, settlement date June 2017)	0.06			99,063
Other	0.63			1,006,971

Total interest rates	0.84			1,345,128

Livestock	0.00			160
Metals	0.08			129,198
Softs	0.00			3,640
Stock indices	0.41			670,394

Total long futures contracts	1.45			2,341,402

Short futures contracts:
Energies	(0.18)			(294,724)
Grains	0.26			416,072
Livestock	0.00			910
Metals	(0.06)			(93,556)
Softs	0.18			287,015
Stock indices	0.00			3,918

Total short futures contracts	0.20			319,635

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net	1.65			2,661,037
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	1.07			1,736,879
Total short forward currency contracts	(0.98)			(1,583,845)

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS − Net	0.09			153,034

TOTAL	1.74	%	$	2,814,071

				(Continued)



Nestor Partners
Condensed Schedule of Investments
March 31, 2017 (UNAUDITED)

	U.S. TREASURY NOTES
	Face Amount	Description	Fair Value as a % of Partners' Capital			Fair Value

$	36,040,000	U.S. Treasury notes, 0.875%, 05/15/2017	22.29	%	$	36,047,039
	35,970,000	U.S. Treasury notes, 0.875%, 08/15/2017	22.25			35,978,430
	33,780,000	U.S. Treasury notes, 0.875%, 11/15/2017	20.88			33,766,805
	34,890,000	U.S. Treasury notes, 1.000%, 02/15/2018	21.56			34,875,690

		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $140,795,557)	86.98	%	$	140,667,964

	See notes to financial statements (unaudited)					(Concluded)


Nestor Partners
Condensed Schedule of Investments
December 31, 2016

Futures and Forward Currency Contracts	Net Unrealized Appreciation/ (Depreciation) as a % of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	0.03	%	$	41,988
Grains	(0.00)			(1,890)
Interest rates	0.98			1,544,083
Livestock	0.00			1,000
Metals	0.06			90,747
Softs	(0.00)			(6,425)
Stock indices	0.53			820,458

Total long futures contracts	1.60			2,489,961

Short futures contracts:
Energies	(0.04)			(68,750)
Grains	0.01			22,555
Interest rates	(0.01)			(21,626)
Metals	0.09			138,538
Softs	(0.00)			(4,838)
Stock indices	(0.15)			(213,616)

Total short futures contracts	(0.10)			(147,737)

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net	1.50			2,342,224
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.30)			(471,630)
Total short forward currency contracts	1.04			1,617,201

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS − Net	0.74			1,145,571

TOTAL	2.24	%	$	3,487,795

				(Continued)



Nestor Partners
Condensed Schedule of Investments
December 31, 2016

	U.S. TREASURY NOTES
	Face Amount	Description	Fair Value as a % of Partners' Capital			Fair Value

$	34,890,000	U.S. Treasury notes, 0.625%, 02/15/2017	22.43	%	$	34,893,407
	36,040,000	U.S. Treasury notes, 0.875%, 05/15/2017	23.19			36,077,307
	35,970,000	U.S. Treasury notes, 0.875%, 08/15/2017	23.15			36,001,614
	33,780,000	U.S. Treasury notes, 0.875%, 11/15/2017	21.72			33,783,299

		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $140,833,907)	90.49	%	$	140,755,627

	See notes to financial statements (unaudited)					(Concluded)


Nestor Partners
Statements of Operations (UNAUDITED)


		For the three months ended
		March 31, 2017		March 31, 2016
INVESTMENT INCOME:
Interest income	$	231,970	$	108,323

EXPENSES:
Brokerage fees		961,931		851,257
Administrative expenses		70,000		92,092
Custody fees and other expenses		7,653		6,018
Total expenses		1,039,584		949,367

NET INVESTMENT LOSS		(807,614)		(841,044)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		7,815,575		12,164,311
Foreign exchange translation		(36,929)		(7,327)
Net change in unrealized:
Futures and forward currency contracts		(673,724)		1,554,770
Foreign exchange translation		137,191		102,097
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(49,313)		121,615
Total net realized and unrealized gains		7,192,800		13,935,466

NET INCOME		6,385,186		13,094,422
LESS PROFIT SHARE TO GENERAL PARTNER		621,420		1,241,159
NET INCOME AFTER PROFIT SHARE TO
GENERAL PARTNER	$	5,763,766	$	11,853,263

See notes to financial statements (unaudited)


Nestor Partners
Statements of Changes in Partners' Capital (UNAUDITED)



For the three months ended March 31, 2017:

		Limited Partners		Special Limited Partners		New Profit Memo Account		General Partner		Total

PARTNERS' CAPITAL-
January 1, 2017	$	86,147,007	$	66,908,700	$	-	$	2,492,603	$	155,548,310
Contributions		1,333,000		1,000,000		2,261		-		2,335,261
Withdrawals		(866,607)		(1,053,466)		-		-		(1,920,073)
Net income		3,194,338		3,075,208		30		115,610		6,385,186
General Partner's allocation:
New Profit-Accrued		(595,605)		(25,815)		-		-		(621,420)
PARTNERS' CAPITAL-
March 31, 2017	$	89,212,133	$	69,904,627	$	2,291	$	2,608,213	$	161,727,264


For the three months ended March 31, 2016:
		Limited Partners		Special Limited Partners		New Profit Memo Account		General Partner		Total

PARTNERS' CAPITAL-
January 1, 2016	$	73,450,219	$	58,774,125	$	-	$	2,683,619	$	134,907,963
Contributions		999,389		3,000,000		16,846		-		4,016,235
Withdrawals		(2,074,334)		(549,150)		-		-		(2,623,484)
Net income		6,837,179		5,980,929		320		275,994		13,094,422
General Partner's allocation:
New Profit-Accrued		(1,157,512)		(83,647)		-		-		(1,241,159)
PARTNERS' CAPITAL-
March 31, 2016	$	78,054,941	$	67,122,257	$	17,166	$	2,959,613	$	148,153,977



See notes to financial statements (unaudited)


Nestor Partners
Statements of Financial Highlights (UNAUDITED)



For the three months ended March 31, 2017 and 2016	Limited Partners				Special Limited Partners
	2017		2016		2017		2016

Ratios to average capital:
Net investment loss (a)	(3.48)	%	(3.77)	%	(0.24)	%	(0.63)	%

Total expenses (a)	4.06	%	4.07	%	0.82	%	0.92	%
Profit share allocation (b)	0.68	%	1.48	%	0.04	%	0.13	%
Total expenses and profit share allocation	4.74	%	5.55	%	0.86	%	1.05	%

Total return before profit share allocation (b)	3.69	%	9.22	%	4.53	%	10.16	%
Less: profit share allocation (b)	0.68	%	1.48	%	0.04	%	0.13	%
Total return after profit share allocation	3.01	%	7.74	%	4.49	%	10.03	%

(a) annualized
(b) not annualized

See notes to financial statements (unaudited)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Nestor Partners’ (the “Partnership”) financial condition at March 31, 2017 (unaudited) and December 31, 2016 and the results of its operations for the three months ended March 31, 2017 and 2016 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2016. The December 31, 2016 information has been derived from the audited financial statements as of December 31, 2016.

The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Partnership enters into contracts that contain a variety of indemnification provisions. The Partnership’s maximum exposure under these arrangements is unknown. The Partnership does not anticipate recognizing any loss related to these arrangements.

The Income Taxes topic of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2013 to 2016, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.

There have been no material changes with respect to the Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2016.

2. FAIR VALUE

The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2: Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

In determining fair value, the Partnership separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments – The Partnership’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment in a quoted short-term U.S. government securities money market fund. The General Partner does not adjust the quoted price for such instruments even in situations where the Partnership holds a large position and a sale could reasonably impact the quoted price.

Derivative Contracts – Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

Investment Company Status: The Partnership is an investment company following the accounting and reporting guidance put forth in Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”.

During the three months ended March 31, 2017 and 2016, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Partnership’s investments by hierarchical level as of March 31, 2017 and December 31, 2016 in valuing the Partnership’s investments at fair value. At March 31, 2017 and December 31, 2016, the Partnership held no assets or liabilities in Level 3.


Financial assets at fair value as of March 31, 2017

		Level 1		Level 2		Total

U.S. Treasury Notes (1)	$	140,667,964	$	-	$	140,667,964
Short-Term Money Market Fund*		14,063,438		-		14,063,438
Exchange-Traded Futures Contracts
Energies		(101,842)		-		(101,842)
Grains		416,072		-		416,072
Interest rates		1,345,128		-		1,345,128
Livestock		1,070		-		1,070
Metals		35,642		-		35,642
Softs		290,655		-		290,655
Stock indices		674,312		-		674,312

Total exchange-traded futures contracts		2,661,037		-		2,661,037

Over-the-Counter Forward Currency Contracts		-		153,034		153,034

Total futures and forward currency contracts (2)		2,661,037		153,034		2,814,071

Total financial assets at fair value	$	157,392,439	$	153,034	$	157,545,473


Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	23,699,245
Investments in U.S. Treasury notes						116,968,719
Total investments in U.S. Treasury notes					$	140,667,964

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	3,385,013
Net unrealized depreciation on open futures and forward currency contracts						(570,942)
Total net unrealized appreciation on open futures and forward currency contracts					$	2,814,071

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.


Financial assets and liabilities at fair value as of December 31, 2016

		Level 1		Level 2		Total

U.S. Treasury Notes (1)	$	140,755,627	$	-	$	140,755,627
Short-Term Money Market Fund*		11,064,010		-		11,064,010
Exchange-Traded Futures Contracts
Energies		(26,762)		-		(26,762)
Grains		20,665		-		20,665
Interest rates		1,522,457		-		1,522,457
Livestock		1,000		-		1,000
Metals		229,285		-		229,285
Softs		(11,263)		-		(11,263)
Stock indices		606,842		-		606,842

Total exchange-traded futures contracts		2,342,224		-		2,342,224

Over-the-Counter Forward Currency Contracts		-		1,145,571		1,145,571

Total futures and forward currency contracts (2)		2,342,224		1,145,571		3,487,795

Total financial assets at fair value	$	154,161,861	$	1,145,571	$	155,307,432


Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	17,809,582
Investments in U.S. Treasury notes						122,946,045
Total investments in U.S. Treasury notes					$	140,755,627

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	3,487,795
Net unrealized depreciation on open futures and forward currency contracts						-
Total net unrealized appreciation on open futures and forward currency contracts					$	3,487,795

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

3. DERIVATIVE INSTRUMENTS

The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

The Partnership’s 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 Partnership’s open positions, and the liquidity of the markets in which it trades.

The Partnership engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Partnership at March 31, 2017, by market sector:

Agricultural (grains, livestock and softs) – The Partnership’s primary exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions as well as supply and demand factors.

Currencies – Exchange rate risk is a principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The

fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

Energies – The Partnership’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Interest rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Partnership and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries, may materially impact the Partnership’s profitability. The Partnership’s primary interest rate exposure is to interest rate fluctuations in countries or regions, including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Partnership also may take positions in futures contracts on the government debt of other nations. The General Partner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Partnership for the foreseeable future.

Metals – The Partnership’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

Stock indices – The Partnership’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Partnership’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.

Since the derivatives held or sold by the Partnership are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Partnership’s trading gains and losses in the Statements of Operations.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 2017 and December 31, 2016. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.


Fair Value of Futures and Forward Currency Contracts at March 31, 2017

										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions

Futures contracts:
Energies	$	196,569	$	(3,687)	$	140	$	(294,864)	$	(101,842)
Grains		-		-		493,528		(77,456)		416,072
Interest rates		1,502,393		(157,265)		-		-		1,345,128
Livestock		160		-		1,780		(870)		1,070
Metals		292,867		(163,669)		158,612		(252,168)		35,642
Softs		3,730		(90)		288,481		(1,466)		290,655
Stock indices		919,783		(249,389)		37,253		(33,335)		674,312
Total futures contracts		2,915,502		(574,100)		979,794		(660,159)		2,661,037

Forward currency contracts		2,327,659		(590,780)		624,268		(2,208,113)		153,034

Total futures and
forward currency contracts	$	5,243,161	$	(1,164,880)	$	1,604,062	$	(2,868,272)	$	2,814,071


Fair Value of Futures and Forward Currency Contracts at December 31, 2016

										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions

Futures contracts:
Energies	$	53,954	$	(11,966)	$	16,170	$	(84,920)	$	(26,762)
Grains		-		(1,890)		62,693		(40,138)		20,665
Interest rates		1,791,090		(247,007)		60		(21,686)		1,522,457
Livestock		1,000		-		-		-		1,000
Metals		450,329		(359,582)		298,763		(160,225)		229,285
Softs		10		(6,435)		49,155		(53,993)		(11,263)
Stock indices		1,255,987		(435,529)		14,600		(228,216)		606,842
Total futures contracts		3,552,370		(1,062,409)		441,441		(589,178)		2,342,224

Forward currency contracts		321,028		(792,658)		1,965,153		(347,952)		1,145,571

Total futures and
forward currency contracts	$	3,873,398	$	(1,855,067)	$	2,406,594	$	(937,130)	$	3,487,795

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2017 and 2016 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three months ended March 31, 2017 and 2016


Sector	Three months ended: March 31, 2017		Three months ended: March 30, 2016

Futures contracts:
Energies	$	(712,093)	$	581,561
Grains		(342,652)		99,843
Interest rates		69,752		9,918,141
Livestock		(66,320)		7,800
Metals		36,320		(438,574)
Softs		129,061		(439,142)
Stock indices		7,598,378		2,571,389

Total futures contracts		6,712,446		12,301,018

Forward currency contracts		429,405		1,418,063

Total futures and
forward currency contracts	$	7,141,851	$	13,719,081

The following table presents average notional value by sector of open futures and forward currency contracts for the three months ended March 31, 2017 and 2016 in U.S. dollars. The Partnership’s average net asset value for the three months ended March 31, 2017 and 2016 was approximately $160,000,000 and $146,000,000, respectively.


Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2017 and 2016

		2017				2016
Sector		Long positions		Short positions		Long positions		Short positions

Futures contracts:
Energies	$	5,661,105	$	7,221,499	$	2,742,167	$	12,341,237
Grains		110,810		12,215,217		1,713,612		10,305,320
Interest rates		287,103,195		3,617,497		293,616,634		8,752,692
Livestock		28,000		421,325		80,850		826,835
Metals		10,923,366		6,026,640		1,390,638		13,470,710
Softs		363,113		3,843,073		1,602,407		1,357,913
Stock indices		122,250,672		10,330,194		54,733,503		11,634,564

Total futures contracts		426,440,261		43,675,445		355,879,811		58,689,271

Forward currency contracts		55,461,199		98,810,890		60,051,555		55,504,485

Total futures and
forward currency contracts	$	481,901,460	$	142,486,335	$	415,931,366	$	114,193,756

Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at March 31, 2017 and 2016. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the General Partner believes it is a more meaningful representation of notional values of the Partnership’s open interest rate positions.

The customer agreements between the Partnership, the futures clearing brokers, including Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG) and SG Americas Securities, LLC., as well as the FX prime broker, Deutsche Bank AG, and the swap dealer, Morgan Stanley & Co., LLC, give the Partnership the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Partnership netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met.

The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition at March 31, 2017 and December 31, 2016.


Offsetting derivative assets at March 31, 2017

Assets		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Futures contracts
Counterparty C	$	2,288,091	$	(483,873)	$	1,804,218
Counterparty I		1,607,205		(750,386)		856,819
Total futures contracts		3,895,296		(1,234,259)		2,661,037

Forward currency contracts
Counterparty H		2,162,133		(1,438,157)		723,976
Total forward currency contracts		2,162,133		(1,438,157)		723,976

Total assets	$	6,057,429	$	(2,672,416)	$	3,385,013

Liabilities		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Forward currency contracts
Counterparty G	$	1,360,736	$	(789,794)	$	570,942

Total liabilities	$	1,360,736	$	(789,794)	$	570,942


				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Assets presented in the Statement of Financial Condition		Financial Instruments		Collateral Received(1)(2)		Net Amount(3)

Counterparty C	$	1,804,218	$	-	$	(1,804,218)	$	-
Counterparty H		723,976		-		-		723,976
Counterparty I		856,819		-		(856,819)		-

Total	$	3,385,013	$	-	$	(2,661,037)	$	723,976

				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Liabilities presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged(1)(2)		Net Amount(4)

Counterparty G	$	570,942	$	-	$	-	$	570,942

Total	$	570,942	$	-	$	-	$	570,942

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition
for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of March 31, 2017.
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of March 31, 2017.


Offsetting derivative assets and liabilities at December 31, 2016

Assets		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Futures contracts
Counterparty C	$	2,601,420	$	(830,682)	$	1,770,738
Counterparty I		1,392,391		(820,905)		571,486
Total futures contracts		3,993,811		(1,651,587)		2,342,224

Forward currency contracts
Counterparty G		1,084,114		(470,463)		613,651
Counterparty H		1,202,067		(670,147)		531,920
Total forward currency contracts		2,286,181		(1,140,610)		1,145,571

Total assets	$	6,279,992	$	(2,792,197)	$	3,487,795


				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Assets presented in the Statement of Financial Condition		Financial Instruments		Collateral Received(1)(2)		Net Amount(3)

Counterparty C	$	1,770,738	$	-	$	(1,770,738)	$	-
Counterparty G		613,651		-		-		613,651
Counterparty H		531,920		-		-		531,920
Counterparty I		571,486		-		(571,486)		-

Total	$	3,487,795	$	-	$	(2,342,224)	$	1,145,571

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition
for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2016.

CONCENTRATION OF CREDIT RISK

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Partnership enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Partnership’s forward currency trading activities are cleared by Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Partnership’s concentration of credit risk associated with DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB and MS. The amount of such credit risk was $10,239,709 and $8,508,598 at March 31, 2017 and December 31, 2016, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2017 and 2016. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Partnership’s Agreement of Limited Partnership.


	Three months ended:
	March 31,		March 31,
	2017		2016
Profit share earned	$	2,261	$	16,846
Profit share accrued		619,159		1,224,313
Total profit share	$	621,420	$	1,241,159

5. RELATED PARTY TRANSACTIONS

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership's average month-end net assets. A portion of such expenses are paid to an affiliate of the General Partner, The Millburn Corporation (“TMC”), for providing accounting services to the Partnership. The following table indicates the portion relating to administrative expenses as well as the portion relating to legal and accounting services provided to the Partnership by TMC during the three months ended March 31, 2017 and 2016. The General Partner pays all administrative expenses in excess of 0.25 of 1% per annum of the Partnership's average month-end net assets.

As of January 1, 2017, TMC no longer charges the Partnership for providing legal and accounting services.


	Three Months Ended March 31, 2017	Three Months Ended March 31, 2016
Administrative Expenses	$ 70,000	$ 92,092
Legal and Accounting Services Provided by TMC	$ -	$ 52,351

Limited partnership interests (“Interests”) sold through selling agents engaged by the General Partner are generally subject to a 2.5% redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. At March 31, 2017 and December 31, 2016, $198 and $400 was owed to the General Partner, respectively, and included in the Statement of Financial condition in Other liabilities.

6. SUBSEQUENT EVENTS

The General Partner has performed its evaluation of subsequent events from April 1, 2017 to May 12, 2017, the date the form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statements.

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

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

OPERATIONAL OVERVIEW

Due to the nature of the Partnership's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Partnership's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Partnership and its past performance is not necessarily indicative of future results. The General Partner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Partnership has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

Interests may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Partnership should not have a significant impact on its operations, as the Partnership has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the General Partner’s trading positions should increase or decrease in approximate proportion to the size of the Partnership.

The Partnership raises additional capital only through the sale of Interests and capital is increased through trading profits (if any). The Partnership does not engage in borrowing.

The Partnership trades futures, forwards and spot contracts on interest rate instruments, agricultural commodities, currencies, metals, energy and stock indices, and forward contracts on currencies, and may trade options on the foregoing and swaps thereon. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC 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 is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) 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 trading and counterparties may require margin or collateral in the OTC markets.

The General Partner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be higher; and (4) prohibiting pyramiding - that is, using unrealized profits in a particular market as margin for additional positions in the same market. The General Partner attempts to control credit risk by causing the Partnership to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

The financial instruments traded by the Partnership contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forwards and spot contracts or the Partnership’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Partnership.

Due to the nature of the Partnership’s business, substantially all its assets are represented by cash, cash equivalents and U.S. government obligations while the Partnership maintains its market exposure through open futures, forwards and spot currency contract positions.

The Partnership’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Partnership’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Partnership is assigned a position in the underlying future which is then settled by offset. The Partnership’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Partnership’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Partnership’s debt securities to decline, but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends during which the Partnership’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Partnership is likely to suffer losses.

The Partnership’s assets are generally held as cash or cash equivalents, including U.S. government securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other Commodity Futures Trading Commission authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), which are used to margin the Partnership’s futures, forwards and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Partnership’s futures, forwards and spot trading, the Partnership’s assets are highly liquid and are expected to remain so.

During its operations for the three months ended March 31, 2017, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

The Partnership records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Partnership on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

RESULTS OF OPERATIONS

Due to the nature of the Partnership’s trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.



Period ended March 31, 2017

Month Ending:		Total Partners' Capital

March 31, 2017	$	161,727,264
December 31, 2016		155,548,310


		Three Months ended
Change in Partners' Capital	$	6,178,954
Percent Change		3.97%

THREE MONTHS ENDED MARCH 31, 2017

The increase in the Partnership’s net assets of $6,178,954 was attributable to net income after profit share of $5,763,766 and contributions of $2,335,261 which were partially offset by withdrawals of $1,920,073.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Brokerage fees for the three months ended March 31, 2017 increased $110,674 relative to the corresponding period in 2016. The increase was due to an increase in average net assets of the Partnership during the three months ended March 31, 2017, relative to the corresponding period in 2016.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the three months ended March 31, 2017 decreased $22,092 relative to the corresponding period in 2016. The decrease was due mainly to the Partnership no longer paying TMC for legal and accounting services during the three months ended March 31, 2017, relative to the corresponding period in 2016 when the Partnership was accrued expenses for such services.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2017 increased $123,647 relative to the corresponding period in 2016. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2017 relative to the corresponding period in 2016.

During the three months ended March 31, 2017, the Partnership experienced net realized and unrealized gains of $7,192,800 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $961,931, administrative expenses of $70,000, custody fees and other expenses of $7,653 and an accrued profit share to the General Partner of $621,420 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $231,970, were partially offset by the Partnership’s expenses resulting in net income after profit share to the General Partner of $5,763,766. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		0.29	%
Energies		(0.43)	%
Grains		(0.23)	%
Interest rates		0.03	%
Livestock		(0.04)	%
Metals		0.03	%
Softs		0.07	%
Stock indices		4.85	%

Trading Gain		4.57	%

MANAGEMENT DISCUSSION –2017

Three months ended March 31, 2017

The Partnership registered a solid first quarter gain due to profits from long equity futures positions. Trading of currency forwards was slightly profitable, trading of commodity futures was fractionally negative and trading of interest rate futures was essentially flat.

According to the Brookings Institution and the Financial Times, the global economic recovery is now “broad-based and stable”. Morgan Stanley concurs, stating that a “…synchronous global recovery…is exhibiting more self-sustaining characteristics”. Against this background, long positions in U.S., European and Asian equity futures were broadly profitable. A long VIX trade was also profitable. Short positions in Indian and South African stock futures were marginally negative. Neither the fading of the positive impulses from the Trump election victory nor an increase in political and geopolitical tensions was able to blunt this equity advance.

The U.S. dollar, which had risen sharply during 2016’s fourth quarter, was volatile and weakened during the first three months of 2017 as the difficult reality of governing diminished the election euphoria for the Trump administration. Profits from short U.S. dollar trades versus the currencies of Australia, Brazil, India, Mexico, Russia, and Turkey were offset by the losses from long U.S. dollar positions versus the euro and the currencies of Great Britain, Canada, Japan, Korea, New Zealand, Norway, Sweden and Singapore. Meanwhile, a long euro/short Polish zloty trade and a short euro/long Turkish lira position were each slightly profitable.

Interest rates rose early in the period in response to the improving economic outlook and to evidence that central banks worldwide were pulling back from the long era of ultralow interest rates and quantitative easing. Indeed the U.S. Federal Reserve (the “Fed”) did raise its official rate again by ¼% during the quarter. Moreover, Mario Draghi, the President of the European Central Bank (the “ECB”), indicated that “there is no longer the sense of urgency in taking further actions”. The People’s Bank of China (the “PBOC”) edged toward a tighter policy during the quarter as well. Finally, the Bank of England and the Bank of Japan issued improved outlooks for their economies. Later on, however, political tensions in the U.S., Great Britain, the Netherlands, France, Turkey and South Africa and geopolitical tensions and terrorism involving North Korea, South Korea, the U.K., Canada and Syria produced a flight to safety and declining rates. On balance, the sector was flat for the quarter and at month-end the Partnership’s interest rate futures positions remained generally long.

Energy prices were volatile and range-bound in the quarter. Production cut efforts by the Organization of the Petroleum Exporting Countries buoyed prices at times, while increasing U.S. shale production weighed on prices at other times. A long RBOB gasoline position was unprofitable as was trading of crude oil and London gas oil.

Trading of metal futures was nearly flat as small profits from long aluminum and zinc positions offset small losses from short gold and silver positions.

Trading of soft and agricultural commodities was marginally unprofitable. Grain trading was unprofitable due to losses from a short corn trade early in the period and from long soybean and soybean meal positions. A short wheat position was profitable in March. A short sugar position was also profitable in March. Trading of livestock was slightly negative.


Period ended March 30, 2016

Month Ending:		Total Partners' Capital

March 31, 2016	$	148,153,977
December 31, 2015		134,907,963


		Three Months ended
Change in Partners' Capital	$	13,246,014
Percent Change		9.82%

THREE MONTHS ENDED MARCH 31, 2016

The increase in the Partnership’s net assets of $13,246,014 was attributable to net income after profit share of $11,853,263 and contributions of $4,016,235 which was partially offset by withdrawals of $2,623,484.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended March 31, 2016 increased $76,094 relative to the corresponding period in 2015. The increase was due to an increase in average net assets of the Partnership during the three months ended March 31, 2016, relative to the corresponding period in 2015.

The Partnership pays administrative expenses for legal, audit and accounting services, up to 0.25 of 1% per annum of the Partnership’s average month-end net assets. Administrative expenses for the three months ended March 31, 2016 increased $6,987 relative to the corresponding period in 2015. The increase was due mainly to an increase in the Partnership’s average net assets during the three months ended March 31, 2016, relative to the corresponding period in 2015.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2016 increased $71,362 relative to the corresponding period in 2015. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2016 relative to the corresponding period in 2015, and partially due to an increase in average net assets over the same period.

During the three months ended March 31, 2016, the Partnership experienced net realized and unrealized gains of $13,935,466 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $851,257, administrative expenses of $92,092, custody fees and other expenses of $6,018 and an accrued profit share to the General Partner of $1,241,159 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $108,323, was partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $11,853,263. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		0.99	%
Energies		0.52	%
Grains		0.10	%
Interest rates		7.38	%
Livestock		0.03	%
Metals		(0.28)	%
Softs		(0.28)	%
Stock indices		1.75	%

Trading Gain		10.21	%

MANAGEMENT DISCUSSION –2016

Three months ended March 31, 2016

During a quarter of extreme market volatility, the Partnership registered strong performance led by gains on long interest rate futures positions. Trading of equity futures and foreign exchange forwards were also profitable. Meanwhile, commodity futures were essentially flat as a fractional gain from trading energy futures was offset by small losses from trading metal and agricultural futures.

Concerns about global growth that International Monetary Fund Managing Director Christine Lagarde described as ‘…too low, too fragile and facing increased risks to its durability…”, combined with doubts about policy makers’ competence and capabilities, generated strong demand for government securities for most of the quarter. The demand for this debt was underpinned when: the Bank of Japan moved official interest rates into negative territory at the end of January; the Bank of England delayed any potential rate increase; the European Central Bank (the “ECB”) and People’s Bank of China (the “PBOC”) eased monetary policy in March; and a speech by Federal Reserve (“Fed”) Chair Janet Yellen squashed expectations for a near term Fed rate increase. Consequently, long positions in U.S., German, French, Italian, British, Japanese, Australian and Canadian notes and bonds were profitable. Long positions in short-term dollar and sterling interest rate futures were also profitable.

Equity markets were particularly volatile during the first quarter of 2016, tracing out a classic V-shaped path. The tumultuous first half of the period saw many equity indices experiencing multiyear lows before rebounding impressively over the second half of the quarter. Early on, weak economic data out of China and concerns about official policy decisions generated a renewed rout in Chinese equities and the yuan. These events, combined with a further collapse in energy prices; worries that Fed interest rate increases and a stronger dollar might impede global growth; and a halt in corporate profit growth, produced a broad, sharp equity selloff. Later, equity prices recovered as energy prices rebounded, the ECB, PBOC and Fed displayed easier policy tendencies, the U.S. dollar eased and growth concerns moderated. On balance, short positions in Chinese, Hong Kong, Japanese, Singaporean, Indian, and Spanish futures were profitable. Trading of U.S. and Canadian stock index futures also posted gains. On the other hand, short positions in Dutch and South African futures, a long U.K stock futures position, and trading of the European stoxx future resulted in somewhat offsetting losses.

Foreign exchange trading was also volatile. At the beginning of the year, given the search for safety, declining oil prices and the Fed’s “relatively hawkish” policy position, the U.S. dollar strengthened. Thus, during January and February, long U.S. dollar trades versus the pound sterling, Canadian dollar, Korean won, Russian Ruble and Mexican peso were profitable. The pound fell precipitously when the possibility of Britain’s exit from the European Union (the “EU”) became more likely as Boris Johnson, the mayor of London, endorsed the move. As the quarter unfolded, however, the PBOC aggressively implemented measures to support the yuan; the G-20 Shanghai Communique in late February signaled a strong stance against currency competition that took some steam out of the U.S. dollar; and the likelihood of a near term increase in interest rates by the Fed diminished, prompting a U.S. dollar decline, especially against emerging market currencies where interest rates tend to be higher. A stabilization of commodity prices also helped the commodity producing countries. A series of events abroad further encouraged the U.S. dollar slippage: Mexico’s surprise February 50 basis point hike in official interest rates; the increasing likelihood of an ouster of President Dilma Rousseff in Brazil; an increase in official rates in South Africa; and rising oil prices and high interest rates supporting the Russian ruble. Consequently, short dollar positions against the currencies of Australia, Brazil, Canada, Columbia, India, Israel, Mexico, New Zealand, Russia, South Africa, and Turkey were profitable. On the other hand, long dollar trades versus the euro, yen, Swiss franc, Swedish krona, Norwegian kroner, Czech koruna, Polish zloty and Chilean peso were unprofitable.

With the International Energy Agency suggesting that the “…world could drown in [oil] oversupply…”; with crude oil production at or near recent record levels in many countries—e.g., Saudi Arabia, Russia, the U.S., and Iraq; with Iranian exports ramping up; and with global demand still sluggish, crude prices slumped below $30 per barrel in January. Short positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, heating oil and natural gas were profitable. Subsequently, reports that Saudi Arabia, Russia and a number of other producers were discussing plans for a production freeze and would meet in Doha in April sparked an oil price rebound. Indeed, oil prices reached a three month high above $40 per barrel on March 18. Consequently, losses were suffered on these same short crude oil, crude products and natural gas trades, and positions were reduced and/or reversed. Overall, energy trading was fractionally profitable for the quarter due to gains from WTI crude and natural gas.

Industrial metal prices vacillated during the quarter but did move up somewhat in synchrony with energy prices, and short positions in industrial metals were unprofitable. Safe haven demand pushed up gold prices, especially in February, and a small long trade was fractionally profitable, providing a partial offset.

Trading of sugar was unprofitable, as was a long cocoa trade in January, and a short Arabica coffee position in March. The profits from short corn and wheat trades basically offset the losses from trading soybeans and soybean meal.

OFF-BALANCE SHEET ARRANGEMENTS

The Partnership does not engage in off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

The Partnership does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures, forward currency, spot, option and swap contracts, both long (contracts to buy) and short (contacts to sell). The Partnership may also engage in trading swaps. All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements present a Condensed Schedule of Investments setting forth the Partnership’s open futures and forward currency contracts, both long and short, at March 31, 2017.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of its principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal controls over financial reporting during the quarter ended March 31, 2017 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal controls over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings

None.

ITEM 1A. Risk Factors

Not required.

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

(a) Pursuant to the Partnership's Agreement of Limited Partnership, the Partnership may sell Interests at the beginning of each calendar month. On January 1, 2017, February 1, 2017 and March 1, 2017, the Partnership sold Interests to new and existing limited partners of $1,225,000, $408,000 and $700,000, respectively. There were no underwriting discounts or commissions in connection with the sales of the Interests described above.

Each of the foregoing Interests were offered and sold only to “accredited investors” as defined in Rule 501(a) under the Securities Act of 1933 as amended (the “1933 Act”), in reliance on the exemption from registration provided by Rule 506(b) under the 1933 Act.

(b) Pursuant to the Partnership’s Agreement of Limited Partnership, Limited Partners may redeem their Interests at the end of each calendar month at the then current month-end net asset value. The redemption of Interests has no impact on the value of Interests that remain outstanding, and Interests are not reissued once redeemed.


The following table summarizes Interests redeemed during the three months ended March 31, 2017:

Date of Withdrawal	Limited Partners	Special Limited Partners	Total

January 31, 2017	$ (271,049)	$ -	$ (271,049)
February 28, 2017	(559,324)	(13,466)	(572,790)
March 31, 2017	(36,234)	(1,040,000)	(1,076,234)
Total	$ (866,607)	$ (1,053,466)	$ (1,920,073)

ITEM 3. Defaults Upon Senior Securities

None.

ITEM 4. Mine Safety Disclosures

Not Applicable.

ITEM 5. Other Information

None.

ITEM 6. Exhibits

The following exhibits are included herewith:


31.01		Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.02		Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.03		Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief Financial Officer
32.01		Section 1350 Certification of Co-Chief Executive Officer
32.02		Section 1350 Certification of Co-Chief Executive Officer
32.03		Section 1350 Certification of President and Chief Financial Officer

101.INS		XBRL Instance Document
101.SCH		XBRL Taxonomy Extension Schema Document
101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF		XBRL Taxonomy Extension Definition Linkbase Document
101.LAB		XBRL Taxonomy Extension Label Linkbase Document
101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document

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.


By:	Millburn Ridgefield Corporation,	/s/ Michael W. Carter
	General Partner	Michael W. Carter
		Vice-President
Date: May 12, 2017		(Principal Accounting Officer)

NESTOR PARTNERS - FORM 10-Q - May 12, 2017

Attached files

NESTOR PARTNERS Reports