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EX-32.3 - EX-32.3 - NESTOR PARTNERSc471-20180331xex32_3.htm
EX-32.2 - EX-32.2 - NESTOR PARTNERSc471-20180331xex32_2.htm
EX-32.1 - EX-32.1 - NESTOR PARTNERSc471-20180331xex32_1.htm
EX-31.3 - EX-31.3 - NESTOR PARTNERSc471-20180331xex31_3.htm
EX-31.2 - EX-31.2 - NESTOR PARTNERSc471-20180331xex31_2.htm
EX-31.1 - EX-31.1 - NESTOR PARTNERSc471-20180331xex31_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, 2018

Or 

 



 

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, a  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, 2018 and 2017 (unaudited)

 

 



 

 

 

 

 

 

Statements of Financial Condition (a)

 

 

Condensed Schedules of Investments (a)

 

 

Statements of Operations (b)

 

 

Statements of Changes in Partners' Capital (b)

 

 

Statements of Financial Highlights (b)

 

 

Notes to the Financial Statements

 

 



 

 

 

 

 

 

(a) At March 31, 2018 and December 31, 2017 (unaudited)

 

(b) For the three months ended March 31, 2018 and 2017 (unaudited)

 



 



 

 

 

 

 

 















 



 

 


 







 

 

 

 

 

Nestor Partners

Statements of Financial Condition (UNAUDITED)



 

 

 

 

 



 

March 31, 2018

 

 

December 31, 2017

ASSETS

 

 

 

 

 



 

 

 

 

 

EQUITY IN TRADING ACCOUNTS:

 

 

 

 

 

Investments in U.S. Treasury notes − at fair value

 

 

 

 

 

(amortized cost $19,767,430 and $35,145,431)

$

19,728,873 

 

$

35,088,064 

Net unrealized appreciation on open futures and forward

 

 

 

 

 

currency contracts

 

4,555,206 

 

 

699,718 

Due from brokers

 

1,489,461 

 

 

165,037 

Cash denominated in foreign currencies (cost $4,405,079

 

 

 

 

 

and $8,417,006)

 

4,472,603 

 

 

8,629,359 



 

 

 

 

 

Total equity in trading accounts

 

30,246,143 

 

 

44,582,178 



 

 

 

 

 

INVESTMENTS IN U.S. TREASURY NOTES − at fair value

 

 

 

 

 

(amortized cost $117,470,568 and $115,357,357)

 

117,282,508 

 

 

115,200,284 



 

 

 

 

 

CASH AND CASH EQUIVALENTS

 

11,703,326 

 

 

19,471,076 



 

 

 

 

 

ACCRUED INTEREST RECEIVABLE

 

385,218 

 

 

387,659 



 

 

 

 

 

TOTAL

$

159,617,195 

 

$

179,641,197 



 

 

 

 

 

LIABILITIES AND PARTNERS' CAPITAL

 

 

 

 

 



 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Capital contributions received in advance

$

 -

 

$

1,255,750 

Net unrealized depreciation on open forward

 

 

 

 

 

currency contracts

 

456,939 

 

 

3,107,485 

Accrued brokerage fees

 

293,197 

 

 

311,400 

Due to brokers

 

15,493 

 

 

354,465 

Accrued expenses

 

117,630 

 

 

47,630 

Capital withdrawals payable to Limited Partners

 

1,848,625 

 

 

5,968,211 

Capital withdrawals payable to General Partner

 

 -

 

 

1,276,588 

Accrued profit share

 

2,397 

 

 

 -

Other liabilities

 

 -

 

 

4,400 



 

 

 

 

 

Total liabilities

 

2,734,281 

 

 

12,325,929 



 

 

 

 

 

PARTNERS' CAPITAL

 

156,882,914 

 

 

167,315,268 



 

 

 

 

 

TOTAL

$

159,617,195 

 

$

179,641,197 



 

 

 

 

 



 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 



















1

 


 



 







 

 

 

 

Nestor Partners

Condensed Schedule of Investments

March 31, 2018 (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

1.07 

%

$

1,678,466 

Grains

0.00 

 

 

4,740 

Interest rates:

 

 

 

 

2 Year U.S. Treasury Note (340 contracts, settlement date June 2018)

0.01 

 

 

9,735 

5 Year U.S. Treasury Note (180 contracts, settlement date June 2018)

0.05 

 

 

85,469 

10 Year U.S. Treasury Note (133 contracts, settlement date June 2018)

0.09 

 

 

137,844 

Other

1.75 

 

 

2,745,623 



 

 

 

 

Total interest rates

1.90 

 

 

2,978,671 



 

 

 

 

Metals

(0.77)

 

 

(1,201,464)

Softs

(0.01)

 

 

(9,460)

Stock indices

0.12 

 

 

184,346 



 

 

 

 

Total long futures contracts

2.31 

 

 

3,635,299 



 

 

 

 

Short futures contracts:

 

 

 

 

Energies

0.00 

 

 

4,680 

Grains

0.17 

 

 

259,416 

Interest rates

(0.07)

 

 

(107,859)

Livestock

0.01 

 

 

14,480 

Metals

0.46 

 

 

718,628 

Softs

0.07 

 

 

115,409 

Stock indices

(0.05)

 

 

(84,847)



 

 

 

 

Total short futures contracts

0.59 

 

 

919,907 



 

 

 

 

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net

2.90 

 

 

4,555,206 

FORWARD CURRENCY CONTRACTS

 

 

 

 

Total long forward currency contracts

(0.18)

 

 

(288,232)

Total short forward currency contracts

(0.11)

 

 

(168,707)



 

 

 

 

TOTAL INVESTMENTS IN FORWARD CURRENCY

 

 

 

 

CONTRACTS − Net

(0.29)

 

 

(456,939)

 

 

 

 

 

TOTAL

2.61 

%

$

4,098,267 



 

 

 

 



 

 

 

(Continued)













 

 

 

 

 

 

2

 


 



 

Nestor Partners

Condensed Schedule of Investments

March 31, 2018 (UNAUDITED)



 

 

 

 

 

 



U.S. TREASURY NOTES

 

 

 

 



Face
Amount

Description

Fair Value as a % of Partners' Capital

 

 

Fair Value



 

 

 

 

 

 

$

34,170,000 

   U.S. Treasury notes, 1.000%,  05/15/2018

21.76 

%

$

34,143,972 



34,170,000 

   U.S. Treasury notes, 1.000%,  08/15/2018

21.71 

 

 

34,063,219 



39,170,000 

   U.S. Treasury notes, 1.250%,  11/15/2018

24.85 

 

 

38,987,156 



30,170,000 

   U.S. Treasury notes, 0.750%,  02/15/2019

19.01 

 

 

29,817,034 



 

 

 

 

 

 



 

TOTAL INVESTMENTS IN U.S. TREASURY

 

 

 

 



 

NOTES (amortized cost $137,237,998)

87.33 

%

$

137,011,381 



 

 

 

 

 

 



See notes to financial statements (unaudited)

 

 

 

(Concluded)































3

 


 

  





 

 

 

 

Nestor Partners

Condensed Schedule of Investments

December 31, 2017



 

 

 

 

Futures and Forward Currency Contracts

Net Unrealized
Appreciation/
(Depreciation) as a % of
Partners' Capital

 

 

Net Unrealized
Appreciation/
(Depreciation)

FUTURES CONTRACTS

 

 

 

 

Long futures contracts:

 

 

 

 

Energies

1.22 

%

$

2,040,077 

Grains

(0.00)

 

 

(4,300)

Interest rates:

 

 

 

 

2 Year U.S. Treasury Note (467 contracts, settlement date March 2018)

0.00 

 

 

3,078 

30 Year U.S. Treasury Bond (65 contracts, settlement date March 2018)

0.06 

 

 

93,844 

Other

(0.97)

 

 

(1,615,773)



 

 

 

 

Total interest rates

(0.91)

 

 

(1,518,851)



 

 

 

 

Metals

1.23 

 

 

2,060,486 

Softs

0.04 

 

 

70,260 

Stock indices

0.25 

 

 

419,068 



 

 

 

 

Total long futures contracts

1.83 

 

 

3,066,740 



 

 

 

 

Short futures contracts:

 

 

 

 

Energies

(0.13)

 

 

(217,090)

Grains

0.03 

 

 

49,145 

Interest rates

0.11 

 

 

176,326 

Livestock

(0.00)

 

 

(5,240)

Metals

(1.33)

 

 

(2,202,248)

Softs

(0.03)

 

 

(48,899)

Stock indices

(0.08)

 

 

(139,922)



 

 

 

 

Total short futures contracts

(1.43)

 

 

(2,387,928)



 

 

 

 

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net

0.40 

 

 

678,812 

FORWARD CURRENCY CONTRACTS

 

 

 

 

Total long forward currency contracts

0.27 

 

 

449,153 

Total short forward currency contracts

(2.11)

 

 

(3,535,732)



 

 

 

 

TOTAL INVESTMENTS IN FORWARD CURRENCY

 

 

 

 

CONTRACTS − Net

(1.84)

 

 

(3,086,579)

 

 

 

 

 

TOTAL

(1.44)

%

$

(2,407,767)



 

 

 

 



 

 

 

(Continued)



4

 


 



 

 

 

 

 

 



 

Nestor Partners

Condensed Schedule of Investments

December 31, 2017



 

 

 

 

 

 



U.S. TREASURY NOTES

 

 

 

 



Face
Amount

Description

Fair Value as a % of Partners' Capital

 

 

Fair Value



 

 

 

 

 

 

$

33,170,000 

   U.S. Treasury notes, 1.000%,  02/15/2018

19.82 

%

$

33,157,043 



39,170,000 

   U.S. Treasury notes, 1.000%,  05/15/2018

23.37 

 

 

39,120,272 



39,170,000 

   U.S. Treasury notes, 1.000%,  08/15/2018

23.32 

 

 

39,016,992 



39,170,000 

   U.S. Treasury notes, 1.250%,  11/15/2018

23.31 

 

 

38,994,041 



 

 

 

 

 

 



 

TOTAL INVESTMENTS IN U.S. TREASURY

 

 

 

 



 

NOTES (amortized cost $150,502,788)

89.82 

%

$

150,288,348 



 

 

 

 

 

 



See notes to financial statements (unaudited)

 

 

 

(Concluded)

































  

5

 


 



    







 

 

 

 

 

Nestor Partners

Statements of Operations (UNAUDITED)



 

 

 

 

 



 

 

 

 

 

 

 

For the three months ended



 

March 31, 2018

 

 

March 31, 2017

INVESTMENT INCOME:

 

 

 

 

 

Interest income

$

496,238 

 

$

231,970 



 

 

 

 

 

EXPENSES:

 

 

 

 

 

Brokerage fees

 

963,380 

 

 

961,931 

Administrative expenses

 

70,000 

 

 

70,000 

Custody fees and other expenses

 

7,361 

 

 

7,653 

Total expenses

 

1,040,741 

 

 

1,039,584 



 

 

 

 

 

NET INVESTMENT LOSS

 

(544,503)

 

 

(807,614)



 

 

 

 

 

NET REALIZED AND UNREALIZED GAINS (LOSSES):

 

 

 

 

 

Net realized gains (losses) on closed positions:

 

 

 

 

 

Futures and forward currency contracts

 

(15,644,752)

 

 

7,815,575 

Foreign exchange translation

 

307,735 

 

 

(36,929)

Net change in unrealized:

 

 

 

 

 

Futures and forward currency contracts

 

6,506,036 

 

 

(673,724)

Foreign exchange translation

 

(144,829)

 

 

137,191 

Net losses from U.S. Treasury notes:

 

 

 

 

 

Realized

 

(10,317)

 

 

 -

Net change in unrealized

 

(12,177)

 

 

(49,313)

Total net realized and unrealized gains (losses)

 

(8,998,304)

 

 

7,192,800 



 

 

 

 

 

NET INCOME (LOSS)

 

(9,542,807)

 

 

6,385,186 

LESS PROFIT SHARE TO GENERAL PARTNER

 

2,397 

 

 

621,420 

NET INCOME (LOSS) AFTER PROFIT SHARE TO

 

 

 

 

 

GENERAL PARTNER

$

(9,545,204)

 

$

5,763,766 



 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

(Continued)



 

 

 

 

 



















6

 


 













 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nestor Partners

Statements of Changes in Partners' Capital (UNAUDITED)



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2018:

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

Limited Partners

 

 

Special Limited Partners

 

 

New Profit Memo Account

 

 

General Partner

 

 

Total



 

 

 

 

 

 

 

 

 

 

 

 

 

 

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 1, 2018

$

99,284,720 

 

$

65,663,388 

 

$

 -

 

$

2,367,160 

 

$

167,315,268 

Contributions

 

3,672,750 

 

 

 -

 

 

 -

 

 

 -

 

 

3,672,750 

Withdrawals

 

(4,428,931)

 

 

(130,969)

 

 

 -

 

 

 -

 

 

(4,559,900)

Net loss

 

(5,993,950)

 

 

(3,427,259)

 

 

 -

 

 

(121,598)

 

 

(9,542,807)

General Partner's allocation:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New Profit-Accrued

 

(2,397)

 

 

 -

 

 

 -

 

 

 -

 

 

(2,397)

PARTNERS' CAPITAL-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2018

$

92,532,192 

 

$

62,105,160 

 

$

 -

 

$

2,245,562 

 

$

156,882,914 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

 













 

7

 


 









 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Nestor Partners

Statements of Financial Highlights (UNAUDITED)



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended March 31, 2018 and 2017

 

Limited
Partners

 

 

Special Limited
Partners

 



 

 

 

 

2018

 

 

2017

 

 

2018

 

 

2017

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to average capital:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment loss (a)

 

 

(2.56)

%

 

(3.48)

%

 

0.39

%

 

(0.24)

%



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses (a)

 

 

3.80

%

 

4.06

%

 

0.85

%

 

0.82

%

Profit share allocation (b)

 

 

0.00

%

 

0.68

%

 

0.00

%

 

0.04

%

Total expenses and profit share allocation

 

3.80

%

 

4.74

%

 

0.85

%

 

0.86

%



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before profit share allocation (b)

 

(5.92)

%

 

3.69

%

 

(5.22)

%

 

4.53

%

Less: profit share allocation (b)

 

 

0.00

%

 

0.68

%

 

0.00

%

 

0.04

%

Total return after profit share allocation

 

(5.92)

%

 

3.01

%

 

(5.22)

%

 

4.49

%



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(a) annualized

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(b) not annualized

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 









8

 


 





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, 2018 and December 31, 2017 and the results of its operations for the three months ended March 31, 2018 and 2017 (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, 2017. The December 31, 2017 information has been derived from the audited financial statements as of December 31, 2017.

 

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,  2014 to 2017, 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 2017.

  

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.



9

 


 

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, 2018 and 2017, 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, 2018 and December 31, 2017 in valuing the Partnership’s investments at fair value. At March 31, 2018 and December 31, 2017, the Partnership held no assets or liabilities in Level 3.

  





 

 

 

 

 

 

 

 

Financial assets at fair value as of March 31, 2018



 

 

 

 

 

 

 

 



 

Level 1

 

 

Level 2

 

 

Total



 

 

 

 

 

 

 

 

U.S. Treasury Notes (1)

$

137,011,381 

 

$

 -

 

$

137,011,381 

Short-Term Money Market Fund*

 

11,453,326 

 

 

 -

 

 

11,453,326 

Exchange-Traded Futures Contracts

 

 

 

 

 

 

 

 

Energies

 

1,683,146 

 

 

 -

 

 

1,683,146 

Grains

 

264,156 

 

 

 -

 

 

264,156 

Interest rates

 

2,870,812 

 

 

 -

 

 

2,870,812 

Livestock

 

14,480 

 

 

 -

 

 

14,480 

Metals

 

(482,836)

 

 

 -

 

 

(482,836)

Softs

 

105,949 

 

 

 -

 

 

105,949 

Stock indices

 

99,499 

 

 

 -

 

 

99,499 



 

 

 

 

 

 

 

 

Total exchange-traded futures contracts

 

4,555,206 

 

 

 -

 

 

4,555,206 



 

 

 

 

 

 

 

 

Over-the-Counter Forward Currency Contracts

 

 -

 

 

(456,939)

 

 

(456,939)



 

 

 

 

 

 

 

 

Total futures and forward currency contracts (2)

 

4,555,206 

 

 

(456,939)

 

 

4,098,267 



 

 

 

 

 

 

 

 

Total financial assets at fair value

$

153,019,913 

 

$

(456,939)

 

$

152,562,974 



 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

Per line item in Statements of Financial Condition

 

 

 

 

 

 

 

 

(1)

 

 

 

 

 

 

 

 

Investments in U.S. Treasury notes held in equity trading accounts as collateral

 

 

 

$

19,728,873 

Investments in U.S. Treasury notes

 

 

 

 

 

 

 

117,282,508 

Total investments in U.S. Treasury notes

 

 

 

 

 

 

$

137,011,381 



 

 

 

 

 

 

 

 

(2)

 

 

 

 

 

 

 

 

Net unrealized appreciation on open futures and forward currency contracts

 

$

4,555,206 

Net unrealized depreciation on open futures and forward currency contracts

 

 

(456,939)

Total net unrealized appreciation on open futures and forward currency contracts

 

$

4,098,267 



 

 

 

 

 

 

 

 

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



 

 

 

 

 

 

 

 





10

 


 







<



 

 

 

 

 

 

 

 

Financial assets and liabilities at fair value as of December 31, 2017



 

 

 

 

 

 

 

 



 

Level 1

 

 

Level 2

 

 

Total



 

 

 

 

 

 

 

 

U.S. Treasury Notes (1)

$

150,288,348 

 

$

 -

 

$

150,288,348 

Short-Term Money Market Fund*

 

19,221,076 

 

 

 -

 

 

19,221,076 

Exchange-Traded Futures Contracts

 

 

 

 

 

 

 

 

Energies

 

1,822,987 

 

 

 -

 

 

1,822,987 

Grains

 

44,845 

 

 

 -

 

 

44,845 

Interest rates

 

(1,342,525)

 

 

 -

 

 

(1,342,525)

Livestock

 

(5,240)

 

 

 -

 

 

(5,240)

Metals

 

(141,762)

 

 

 -

 

 

(141,762)

Softs

 

21,361 

 

 

 -

 

 

21,361 

Stock indices

 

279,146 

 

 

 -

 

 

279,146 



 

 

 

 

 

 

 

 

Total exchange-traded futures contracts

 

678,812 

 

 

 -

 

 

678,812 



 

 

 

 

 

 

 

 

Over-the-Counter Forward Currency Contracts

 

 -

 

 

(3,086,579)