NESTOR PARTNERS - FORM 10-Q

Attached files

file	filename
EX-32.3 - EX-32.3 - NESTOR PARTNERS	c471-20170630xex32_3.htm
EX-32.2 - EX-32.2 - NESTOR PARTNERS	c471-20170630xex32_2.htm
EX-32.1 - EX-32.1 - NESTOR PARTNERS	c471-20170630xex32_1.htm
EX-31.3 - EX-31.3 - NESTOR PARTNERS	c471-20170630xex31_3.htm
EX-31.2 - EX-31.2 - NESTOR PARTNERS	c471-20170630xex31_2.htm
EX-31.1 - EX-31.1 - NESTOR PARTNERS	c471-20170630xex31_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: June 30, 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 and six months ended June 30, 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 (c)						8
Statements of Financial Highlights (b)						9
Notes to the Financial Statements						10

(a) At June 30, 2017 and December 31, 2016 (unaudited)
(b) For the three and six months ended June 30, 2017 and 2016 (unaudited)
(c) For the six months ended June 30, 2017 and 2016 (unaudited)


Nestor Partners
Statements of Financial Condition (UNAUDITED)

		June 30, 2017		December 31, 2016
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes − at fair value
(amortized cost $26,512,238 and $17,826,016)	$	26,490,478	$	17,809,582
Net unrealized appreciation on open futures and forward
currency contracts		-		3,487,795
Due from brokers		1,086,185		441,445
Cash denominated in foreign currencies (cost $6,942,058
and $3,292,817)		7,107,533		3,184,002

Total equity in trading accounts		34,684,196		24,922,824

INVESTMENTS IN U.S. TREASURY NOTES − at fair value
(amortized cost $124,169,927 and $123,007,891)		124,030,602		122,946,045

CASH AND CASH EQUIVALENTS		17,881,517		11,314,010

ACCRUED INTEREST RECEIVABLE		355,554		280,558

TOTAL	$	176,951,869	$	159,463,437

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Capital contributions received in advance	$	4,774,500	$	225,000
Net unrealized depreciation on open futures and forward
currency contracts		8,768,520		-
Accrued brokerage fees		308,599		297,447
Due to brokers		2,124,779		-
Accrued expenses		239,582		206,958
Capital withdrawals payable to Limited Partners		699,360		779,439
Capital withdrawals payable to General Partner		-		2,405,883
Other liabilities		3,333		400

Total liabilities		16,918,673		3,915,127

PARTNERS' CAPITAL		160,033,196		155,548,310

TOTAL	$	176,951,869	$	159,463,437


See notes to financial statements (unaudited)


Nestor Partners
Condensed Schedule of Investments
June 30, 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:
Interest rates	(2.68)	%	$	(4,299,081)
Livestock	(0.01)			(16,950)
Metals	0.45			726,657
Softs	0.00			1,960
Stock indices	(1.15)			(1,844,317)

Total long futures contracts	(3.39)			(5,431,731)

Short futures contracts:
Energies	(0.62)			(991,208)
Grains	(0.34)			(541,423)
Interest rates	0.00			1,350
Livestock	(0.01)			(13,890)
Metals	(0.52)			(833,917)
Softs	0.09			136,346
Stock indices	(0.03)			(41,315)

Total short futures contracts	(1.43)			(2,284,057)

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net	(4.82)			(7,715,788)
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	0.73			1,175,330
Total short forward currency contracts	(1.39)			(2,228,062)

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS − Net	(0.66)			(1,052,732)

TOTAL	(5.48)	%	$	(8,768,520)

				(Continued)



Nestor Partners
Condensed Schedule of Investments
June 30, 2017 (UNAUDITED)

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

$	37,670,000	U.S. Treasury notes, 0.875%, 08/15/2017	23.54	%	$	37,667,057
	37,670,000	U.S. Treasury notes, 0.875%, 11/15/2017	23.52			37,644,249
	37,670,000	U.S. Treasury notes, 1.000%, 02/15/2018	23.51			37,625,120
	37,670,000	U.S. Treasury notes, 1.000%, 05/15/2018	23.49			37,584,654

		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $150,682,165)	94.06	%	$	150,521,080

	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
		June 30, 2017		June 30, 2016
INVESTMENT INCOME:
Interest income	$	300,391	$	131,166

EXPENSES:
Brokerage fees		1,012,001		889,785
Administrative expenses		70,000		95,758
Custody fees and other expenses		7,336		6,814
Total expenses		1,089,337		992,357

NET INVESTMENT LOSS		(788,946)		(861,191)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		5,155,305		8,631,192
Foreign exchange translation		34,787		71,630
Net change in unrealized:
Futures and forward currency contracts		(11,582,591)		2,137,219
Foreign exchange translation		137,099		(124,687)
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(33,492)		51,494
Total net realized and unrealized gains (losses)		(6,288,892)		10,766,848

NET INCOME (LOSS)		(7,077,838)		9,905,657
LESS PROFIT SHARE TO (FROM) GENERAL PARTNER		(615,484)		981,955
NET INCOME (LOSS) AFTER PROFIT SHARE TO
GENERAL PARTNER	$	(6,462,354)	$	8,923,702

See notes to financial statements (unaudited)				(Continued)


Nestor Partners
Statements of Operations (UNAUDITED)



		For the six months ended
		June 30, 2017		June 30, 2016
INVESTMENT INCOME:
Interest income	$	532,361	$	239,489

EXPENSES:
Brokerage fees		1,973,932		1,741,042
Administrative expenses		140,000		187,850
Custody fees and other expenses		14,989		12,832

Total expenses		2,128,921		1,941,724

NET INVESTMENT LOSS		(1,596,560)		(1,702,235)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		12,970,880		20,795,503
Foreign exchange translation		(2,142)		64,303
Net change in unrealized:
Futures and forward currency contracts		(12,256,315)		3,691,989
Foreign exchange translation		274,290		(22,590)
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(82,805)		173,109

Total net realized and unrealized gains		903,908		24,702,314


NET INCOME (LOSS)		(692,652)		23,000,079
LESS PROFIT SHARE TO GENERAL PARTNER		5,936		2,223,114
NET INCOME (LOSS) AFTER PROFIT SHARE TO
GENERAL PARTNER	$	(698,588)	$	20,776,965

See notes to financial statements (unaudited)				(Concluded)


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



For the six months ended June 30, 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		6,562,500		2,000,000		5,936		-		8,568,436
Withdrawals		(2,081,615)		(1,303,347)		-		-		(3,384,962)
Net income (loss)		(1,118,739)		406,576		(215)		19,726		(692,652)
General Partner's allocation:
New Profit-Accrued		(4,135)		(1,801)		-		-		(5,936)
PARTNERS' CAPITAL-
June 30, 2017	$	89,505,018	$	68,010,128	$	5,721	$	2,512,329	$	160,033,196


For the six months ended June 30, 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		3,731,389		3,000,000		33,464		-		6,764,853
Withdrawals		(2,770,466)		(1,116,735)		-		-		(3,887,201)
Net income		11,838,518		10,672,635		2,793		486,133		23,000,079
General Partner's allocation:
New Profit-Accrued		(2,123,118)		(99,996)		-		-		(2,223,114)
PARTNERS' CAPITAL-
June 30, 2016	$	84,126,542	$	71,230,029	$	36,257	$	3,169,752	$	158,562,580



See notes to financial statements (unaudited)


Nestor Partners
Statements of Financial Highlights (UNAUDITED)



For the three months ended June 30, 2017 and 2016	Limited Partners				Special Limited Partners
	2017		2016		2017		2016

Ratios to average capital:
Net investment loss (a)	(3.37)	%	(3.77)	%	(0.14)	%	(0.59)	%

Total expenses (a)	4.11	%	4.12	%	0.87	%	0.93	%
Profit share allocation (b)	(0.65)	%	1.20	%	(0.03)	%	0.02	%
Total expenses and profit share allocation	3.46	%	5.32	%	0.84	%	0.95	%

Total return before profit share allocation (b)	(4.60)	%	6.24	%	(3.77)	%	6.99	%
Less: profit share allocation (b)	(0.65)	%	1.20	%	(0.03)	%	0.02	%
Total return after profit share allocation	(3.95)	%	5.04	%	(3.74)	%	6.97	%

(a) annualized
(b) not annualized


For the six months ended June 30, 2017 and 2016	Limited Partners				Special Limited Partners
	2017		2016		2017		2016

Ratios to average capital:
Net investment loss (a)	(3.43)	%	(3.78)	%	(0.19)	%	(0.60)	%

Total expenses (a)	4.09	%	4.10	%	0.84	%	0.92	%
Profit share allocation (b)	0.00	%	2.67	%	0.00	%	0.15	%
Total expenses and profit share allocation	4.09	%	6.77	%	0.84	%	1.07	%

Total return before profit share allocation (b)	(1.07)	%	15.84	%	0.58	%	17.84	%
Less: profit share allocation (b)	0.00	%	2.67	%	0.00	%	0.15	%
Total return after profit share allocation	(1.07)	%	13.17	%	0.58	%	17.69	%

(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 June 30, 2017 and December 31, 2016 (unaudited) and the results of its operations for the three and six months ended June 30, 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 and six months ended June 30, 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 June 30, 2017 and December 31, 2016 in valuing the Partnership’s investments at fair value. At June 30, 2017 and December 31, 2016, the Partnership held no assets or liabilities in Level 3.


Financial assets at fair value as of June 30, 2017

		Level 1		Level 2		Total

U.S. Treasury Notes (1)	$	150,521,080	$	-	$	150,521,080
Short-Term Money Market Fund*		17,631,517		-		17,631,517
Exchange-Traded Futures Contracts
Energies		(991,208)		-		(991,208)
Grains		(541,423)		-		(541,423)
Interest rates		(4,297,731)		-		(4,297,731)
Livestock		(30,840)		-		(30,840)
Metals		(107,260)		-		(107,260)
Softs		138,306		-		138,306
Stock indices		(1,885,632)		-		(1,885,632)

Total exchange-traded futures contracts		(7,715,788)		-		(7,715,788)

Over-the-Counter Forward Currency Contracts		-		(1,052,732)		(1,052,732)

Total futures and forward currency contracts (2)		(7,715,788)		(1,052,732)		(8,768,520)

Total financial assets at fair value	$	160,436,809	$	(1,052,732)	$	159,384,077


Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	26,490,478
Investments in U.S. Treasury notes						124,030,602
Total investments in U.S. Treasury notes					$	150,521,080

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	-
Net unrealized depreciation on open futures and forward currency contracts						(8,768,520)
Total net unrealized appreciation on open futures and forward currency contracts					$	(8,768,520)

*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 June 30, 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 June 30, 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 June 30, 2017

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

Futures contracts:
Energies	$	-	$	-	$	162,790	$	(1,153,998)	$	(991,208)
Grains		-		-		14,663		(556,086)		(541,423)
Interest rates		163,382		(4,462,463)		1,350		-		(4,297,731)
Livestock		670		(17,620)		-		(13,890)		(30,840)
Metals		737,295		(10,638)		61,839		(895,756)		(107,260)
Softs		2,370		(410)		151,187		(14,841)		138,306
Stock indices		46,778		(1,891,095)		13,661		(54,976)		(1,885,632)
Total futures contracts		950,495		(6,382,226)		405,490		(2,689,547)		(7,715,788)

Forward currency contracts		1,890,993		(715,663)		545,213		(2,773,275)		(1,052,732)

Total futures and
forward currency contracts	$	2,841,488	$	(7,097,889)	$	950,703	$	(5,462,822)	$	(8,768,520)


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 and six months ended June 30, 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 and six months ended June 30, 2017 and 2016


Sector	Three months ended: June 30, 2017		Three months ended: June 30, 2016		Six months ended: June 30, 2017		Six months ended: June 30, 2016

Futures contracts:
Energies	$	(2,410,830)	$	(898,657)	$	(3,122,923)	$	(317,096)
Grains		(1,766,406)		2,088,987		(2,109,058)		2,188,830
Interest rates		(2,486,617)		8,844,057		(2,416,865)		18,762,198
Livestock		(33,570)		19,280		(99,890)		27,080
Metals		35,325		(744,585)		71,645		(1,183,159)
Softs		662,874		94,222		791,935		(344,920)
Stock indices		4,275,968		651,579		11,874,346		3,222,968

Total futures contracts		(1,723,256)		10,054,883		4,989,190		22,355,901

Forward currency contracts		(4,704,030)		713,528		(4,274,625)		2,131,591

Total futures and
forward currency contracts	$	(6,427,286)	$	10,768,411	$	714,565	$	24,487,492

The following table presents average notional value by sector of open futures and forward currency contracts for the six months ended June 30, 2017 and 2016 in U.S. dollars. The Partnership’s average net asset value for the six months ended June 30, 2017 and 2016 was approximately $162,000,000 and $149,000,000, respectively.


Average notional value by sector of futures and forward currency contracts for the six months ended June 30, 2017 and 2016

		2017				2016
Sector		Long positions		Short positions		Long positions		Short positions

Futures contracts:
Energies	$	3,774,070	$	19,114,128	$	6,910,721	$	8,558,518
Grains		73,873		14,080,575		3,967,670		10,112,898
Interest rates		270,225,385		2,411,664		291,264,020		5,865,668
Livestock		390,827		426,050		53,900		871,217
Metals		9,199,888		5,919,100		2,350,526		10,800,230
Softs		300,275		4,145,837		1,916,148		1,115,095
Stock indices		127,320,661		9,742,609		65,308,863		8,156,682

Total futures contracts		411,284,979		55,839,963		371,771,848		45,480,308

Forward currency contracts		55,520,910		79,876,465		65,517,472		53,759,854

Total futures and
forward currency contracts	$	466,805,889	$	135,716,428	$	437,289,320	$	99,240,162

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 June 30, 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 table represents gross amounts of assets or liabilities which qualify for offset as presented per the Statement of Financial Condition as of June 30, 2017 and December 31, 2016.


Offsetting derivative liabilities at June 30, 2017

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
Futures contracts
Counterparty C	$	4,532,120	$	(303,723)	$	4,228,397
Counterparty I		4,539,653		(1,052,262)		3,487,391
Total futures contracts		9,071,773		(1,355,985)		7,715,788

Forward currency contracts
Counterparty G		2,160,797		(1,348,289)		812,508
Counterparty H		1,328,141		(1,087,917)		240,224
Total forward currency contracts		3,488,938		(2,436,206)		1,052,732

Total liabilities	$	12,560,711	$	(3,792,191)	$	8,768,520


				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(3)

Counterparty C	$	4,228,397	$	-	$	(4,228,397)	$	-
Counterparty G		812,508		-		-		812,508
Counterparty H		240,224		-		-		240,224
Counterparty I		3,487,391		-		(3,487,391)		-

Total	$	8,768,520	$	-	$	(7,715,788)	$	1,052,732

(1) Collateral pledged 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 liabilities presented in the Statement of Financial Condition
for each respective counterparty.
(3) Net amount represents the amounts owed by the Partnership to each counterparty as of June 30, 2017.


Offsetting derivative assets 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.
(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 through 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 $10,054,136 and $8,508,598 at June 30, 2017 and December 31, 2016, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and six months ended June 30, 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:
	June 30,		June 30,
	2017		2016
Profit share earned	$	3,675	$	16,618
Reversal of profit share (1)		(619,159)		(1,224,313)
Profit share accrued		-		2,189,650
Total profit share	$	(615,484)	$	981,955
				(Continued)



	Six months ended:
	June 30,		June 30,
	2017		2016
Profit share earned	$	5,936	$	33,464
Profit share accrued		-		2,189,650
Total profit share	$	5,936	$	2,223,114
				(Concluded)
(1) On April 1st

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 and six months ended June 30, 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 June 30, 2017	Three Months Ended June 30, 2016	Six Months Ended June 30, 2017	Six Months Ended June 30, 2016
Administrative Expenses	$ 70,000	$ 95,758	$ 140,000	$ 187,850
Legal and Accounting Services Provided by TMC	$ -	$ 26,649	$ -	$ 79,000

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 June 30, 2017 and December 31, 2016, $3,333 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 July 1, 2017 to August 11, 2017, the date this 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, forward, 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, forward, 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, forward, 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, forward, 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, forward and spot trading, the Partnership’s assets are highly liquid and are expected to remain so.

During its operations for the three and six months ended June 30, 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.



Periods ended June 30, 2017

Month Ending:				Total Partners' Capital

June 30, 2017			$	160,033,196
March 31, 2017				161,727,264
December 31, 2016				155,548,310


		Three Months ended		Six Months ended
Change in Partners' Capital	$	(1,694,068)	$	4,484,886
Percent Change		(1.05)%		2.88%

THREE MONTHS ENDED JUNE 30, 2017

The decrease in the Partnership’s net assets of $1,694,068 was attributable to net loss after profit share of $6,462,354 and withdrawals of $1,464,889, which was partially offset by contributions of $6,233,175.

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 June 30, 2017 increased $122,216 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 June 30, 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 June 30, 2017 decreased $25,758 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 June 30, 2017, relative to the corresponding period in 2016.

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 June 30, 2017 increased $169,225 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 June 30, 2017 relative to the corresponding period in 2016.

During the three months ended June 30, 2017, the Partnership experienced net realized and unrealized losses of $6,288,892 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $1,012,001, administrative expenses of $70,000, and custody fees and other expenses of $7,336 were incurred. Interest income of $300,391 and the reversal of accrued profit share to the General Partner of $615,484 partially offset the Partnership expenses resulting in net loss after profit share to the General Partner of $6,462,354. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		(2.82)	%
Energies		(1.46)	%
Grains		(1.05)	%
Interest rates		(1.50)	%
Livestock		(0.02)	%
Metals		0.02	%
Softs		0.40	%
Stock indices		2.62	%

Trading Loss		(3.81)	%

SIX MONTHS ENDED JUNE 30, 2017

The increase in the Partnership’s net assets of $4,484,886 was attributable to contributions of $8,568,436 which was partially offset by a net loss after profit share of $698,588 and withdrawals of $3,384,962.

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 six months ended June 30, 2017 increased $232,890 relative to the corresponding period in 2016. The increase was due to an increase in average net assets of the Partnership during the six months ended June 30, 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 six months ended June 30, 2017 decreased $47,850 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 six months ended June 30, 2017, relative to the corresponding period in 2016.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the six months ended June 30, 2017 increased $292,872 relative to the corresponding period in 2016. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the six months ended June 30, 2017 relative to the corresponding period in 2016.

During the six months ended June 30, 2017, the Partnership experienced net realized and unrealized gains of $903,908 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $1,973,932, administrative expenses of $140,000, and custody fees and other expenses of $14,989 and an accrued profit share to the General Partner of $5,936 were incurred. Interest income of $532,361 partially offset the Partnership expenses resulting in net loss after profit share to the General Partner of $698,588. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		(2.59)	%
Energies		(1.93)	%
Grains		(1.33)	%
Interest rates		(1.52)	%
Livestock		(0.11)	%
Metals		0.00	%
Softs		0.42	%
Stock indices		7.55	%

Trading Gain		0.49	%

MANAGEMENT DISCUSSION –2017

Three months ended June 30, 2017

The Partnership sustained a decline during the second quarter of 2017 due largely to losses from trading financial and energy futures in the wake of hawkish monetary policy comments from the heads of several central banks at the European Central Bank (the “ECB”) conference in Sintra, Portugal, late in June (the “Sintra Conference”). For the quarter, losses from trading interest rate, energy and grain futures and currency forwards outweighed gains from trading equity and soft commodity futures. Trading of metal and livestock futures were each nearly flat.

Mario Draghi from the ECB, Mark Carney from the Bank of England and Stephen Poloz from the Bank of Canada each indicated at the Sintra Conference that with global growth broadening and strengthening, the time is approaching for 10 years of extraordinarily easy monetary policy to come to an end. Janet Yellen from the Federal Reserve (“Fed”) had provided a similar comment after the recent Federal Open Market Committee meeting. In response, global interest rates, which had been falling or stable for most of the quarter, spiked higher and long interest rate futures positions, which had been profitable through June 26th, turned unprofitable. Long positions in German and British interest rate futures were unprofitable. Long positions in French and Italian bond futures, which had benefitted from the French election results and from the Italian bank rescues, were profitable, although the gains were reduced significantly after the Sintra Conference. Long positions in U.S. note and bond futures were also profitable albeit with reductions at the end of June.

Foreign exchange trading remained volatile as the U.S. dollar, buffeted by conflicting influences, declined markedly in a saw-toothed pattern during the quarter. On the one hand, persistent increases in the official interest rate by the Fed were supportive of the U.S. dollar. On the other hand, the fact that growth in Europe and Asia was accelerating while growth in the U.S. remained tepid, and that politics in the U.S. was becoming more volatile while the political outlook in Europe had improved significantly, weighed on the U.S. dollar. Finally, the fact that comments from the Sintra Conference suggested a relative tightening of non-U.S. monetary policy also worked against the U.S. dollar. Consequently, long U.S. dollar positions against the currencies of Australia, the U.K., Canada, New Zealand, the euro, Switzerland, Sweden, Norway, Poland, Japan and Singapore were unprofitable. Short U.S. dollar carry trades in the Brazilian real and Russian ruble were also unprofitable as political uncertainties in each country prompted declines that outweighed the interest rate advantages. A long Mexican peso trade was profitable as the market came to believe that the impact of the Trump presidency on Mexico would be less than initially feared.

Energy prices displayed sharp swings within a broad range during the quarter. When market participants focused on supply increases due to rising shale production and when the U.S. dollar was rising, prices would be driven lower, but when traders focused on supply constraints due to the Organization of the Petroleum Exporting Countries (“OPEC”)/non-OPEC production curtailment agreement—which was extended in May for a further nine months through the first quarter of 2018—and when the U.S. dollar was falling, prices would spike higher. On balance, trading of crude oil, RBOB gasoline, London gas oil, heating oil and natural gas were each unprofitable, with significant losses occurring on short energy positions late in the period as the U.S. dollar fell and energy prices rose after the Sintra Conference.

With the International Monetary Fund, the Brookings Institution, the Financial Times and central banks around the globe agreeing that the economic recovery is broadening throughout Europe and Asia; recent elections in Europe—France, the Netherlands and the U.K. producing moderate rather than extreme outcomes; a generally weakening U.S. dollar; and the presence of signs that China is addressing its debt problems. Long positions in most European and Asian equity futures were profitable. A short VIX position was also fractionally profitable. U.S. equity futures were slightly profitable as gains from long S&P and Dow Jones futures positions were partially offset by losses from trading the Nasdaq futures. Long positions in Dutch and Canadian futures were unprofitable. The sector gains were reduced markedly when interest rates rose sharply late in June.

Short wheat, corn and soybean trades were unprofitable late in quarter as a drought in the U.S. high plains region and reduced wheat plantings in Canada underpinned prices. In addition, long soybean and soybean meal positions were unprofitable in April and May.

A short sugar position was profitable and, to a lesser extent, so too were short coffee and cocoa trades.

The profits from a short silver trade were countered by losses from trading gold, platinum and most industrial metals.

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.


Periods ended June 30, 2016

Month Ending:				Total Partners' Capital

June 30, 2016			$	158,562,580
March 31, 2016				148,153,977
December 31, 2015				134,907,963


		Three Months ended		Six Months ended
Change in Partners' Capital	$	10,408,603	$	23,654,617
Percent Change		7.03%		17.53%

THREE MONTHS ENDED JUNE 30, 2016

The increase in the Partnership’s net assets of $10,408,603 was attributable to net income after profit share of $8,923,702 and contributions of $2,748,618 which was partially offset by withdrawals of $1,263,717.

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 June 30, 2016 increased $100,507 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 June 30, 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 June 30, 2016 increased $11,471 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 June 30, 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 June 30, 2016 increased $72,882 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 June 30, 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 June 30, 2016, the Partnership experienced net realized and unrealized gains of $10,766,848 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $889,785, administrative expenses of $95,758, custody fees and other expenses of $6,814 and an accrued profit share to the General Partner of $981,955 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $131,166, was partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $8,923,702. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies		0.47	%
Energies		(0.62)	%
Grains		1.41	%
Interest rates		5.92	%
Livestock		0.00	%
Metals		(0.51)	%
Softs		0.05	%
Stock indices		0.43	%

Trading Gain		7.15	%

SIX MONTHS ENDED JUNE 30, 2016

The increase in the Partnership’s net assets of $23,654,617 was attributable to net income after profit share of $20,776,965 and contributions of $6,764,853 which was partially offset by withdrawals of $3,887,201.

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 six months ended June 30, 2016 increased $176,601 relative to the corresponding period in 2015. The increase was due to an increase in average net assets of the Partnership during the six months ended June 30, 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 six months ended June 30, 2016 increased $18,458 relative to the corresponding period in 2015. The increase was due mainly to an increase in the Partnership’s average net assets during the six months ended June 30, 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 six months ended June 30, 2016 increased $144,244 relative to the corresponding period in 2015. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the six months ended June 30, 2016 relative to the corresponding period in 2015, and partially due to an increase in average net assets over the same period.

During the six months ended June 30, 2016, the Partnership experienced net realized and unrealized gains of $24,702,314 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $1,741,042, administrative expenses of $187,850, custody fees and other expenses of $12,832 and an accrued profit share to the General Partner of $2,223,114 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $239,489, was partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $20,776,965. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss)
Currencies		1.52	%
Energies		(0.05)	%
Grains		1.56	%
Interest rates		13.79	%
Livestock		0.08	%
Metals		(0.74)	%
Softs		(0.18)	%
Stock indices		2.24	%

Trading Gain		18.22	%

MANAGEMENT DISCUSSION –2016

Three months ended June 30, 2016

The Partnership was profitable during the second quarter with gains from long interest rate futures positions again leading the way. Trading of equity futures and foreign exchange forwards added fractionally to the gain. Meanwhile, trading of commodity futures was also slightly profitable as the gains from trading grain and soft commodity futures outdistanced the losses from the energy and metals sectors.

Long positions in U.S., German, French, British, Canadian and Australian interest rate futures were profitable, particularly after the U.K. voters’ surprise vote to have the U.K. leave the European Union (the “EU”) produced a flight to safety and an expectation that easier monetary policy would be forthcoming rather broadly going forward. The weak June employment report in the U.S. that prompted another delay in the Federal Reserve (“Fed”) rate rise program had underpinned the prices of note, bond and short term interest rate futures earlier. The fact that growth and inflation have failed to accelerate convincingly, and that the World Bank, International Monetary Fund and Organization for Economic Co-operation and Development among others have lowered their global growth projections also supported fixed income prices.

Currency trading was particularly volatile as the U.S. dollar was buffeted to and fro during the quarter. The U.S. currency would strengthen whenever Fed Governors hinted that a rate increase was possible, such as in late April-early May and in late May-early June, but fall when those expectations faded. For example, after an extraordinarily weak U.S. June jobs report, such expectations were put on hold and the U.S. dollar weakened. Then, when Fed Chair Janet Yellen cited real concerns that the “temporary headwinds” that had blunted the Fed’s rate rise program might actually reflect Lawrence Summers’ “secular stagnation” rather than just passing concerns, the U.S. dollar softened further. However, following the surprise decision of the British electorate to leave the EU, a flight to safety and quality prompted an upward U-turn for the U.S. dollar. Overall, long U.S. dollar trades against the pound sterling and Swiss franc, and short U.S. dollar trades relative to the Brazilian real, New Zealand dollar and South African rand were profitable. On the other hand, short U.S. dollar trades versus the Australian, Israeli, Mexican, Polish and Swedish currencies produced losses. Trading the euro against the U.S. dollar, Polish zloty and Turkish lira was also unprofitable.

Trading of equity futures was fractionally profitable after a volatile quarter. Following a strong rebound from the February lows, equity trading was unsettled periodically by currency turmoil, the uncertainty surrounding the monetary policies of the Bank of Japan, the Fed, European Central Bank and the Bank of England, worries about future growth and inflation outlooks, and actualized weakness in corporate profits. Still, gains on long positions in non-tech U.S., Canadian and British stock futures and from a short VIX trade outpaced the losses from trading of a number of European and Asian indices.

Long positions in soybeans and soybean meal were profitable as bad weather in Brazil and Argentina underpinned prices for most of the period. A long sugar position posted a gain when prices rose as production in Thailand, India and Brazil was hurt by El Niño weather influences.

A short natural gas trade registered a loss as warmer than normal weather boosted prices, especially in June. Trading of London gas oil, heating oil, RBOB gasoline and WTI crude were also unprofitable, while a long position in Brent crude produced a partially offsetting gain.

Short positions in gold, silver, platinum, palladium and copper were each slightly unprofitable.

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). 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 June 30, 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 June 30, 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

(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 June 30, 2017:

Date of Withdrawal	Limited Partners	Special Limited Partners	Total

April 30, 2017	$ (136,401)	$ (188,976)	$ (325,377)
May 31, 2017	(440,152)	-	(440,152)
June 30, 2017	(638,455)	(60,905)	(699,360)
Total	$ (1,215,008)	$ (249,881)	$ (1,464,889)

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 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 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: August 11, 2017		(Principal Accounting Officer)

NESTOR PARTNERS - FORM 10-Q - August 11, 2017

Attached files

NESTOR PARTNERS Reports