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EX-32.4 - EX-32.4 - GLOBAL MACRO TRUSTc765-20200930xex32_4.htm
EX-32.3 - EX-32.3 - GLOBAL MACRO TRUSTc765-20200930xex32_3.htm
EX-32.2 - EX-32.2 - GLOBAL MACRO TRUSTc765-20200930xex32_2.htm
EX-32.1 - EX-32.1 - GLOBAL MACRO TRUSTc765-20200930xex32_1.htm
EX-31.4 - EX-31.4 - GLOBAL MACRO TRUSTc765-20200930xex31_4.htm
EX-31.3 - EX-31.3 - GLOBAL MACRO TRUSTc765-20200930xex31_3.htm
EX-31.2 - EX-31.2 - GLOBAL MACRO TRUSTc765-20200930xex31_2.htm
EX-31.1 - EX-31.1 - GLOBAL MACRO TRUSTc765-20200930xex31_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:   September 30, 2020

or

 



 

 



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



Commission File Number: 000-50102

 



GLOBAL MACRO TRUST

(Exact name of registrant as specified in its charter)







 

 

Delaware

 

36-7362830

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification No.)



 

c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46th Street, 31st Floor



New York, NY 10036

(Address of principal executive offices) (Zip code)

 

Registrant's telephone number, including area code:  (212) 332-7300





 

 

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

None

None

None



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 every Interactive Data File required to be submitted 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 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

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. FINANCIAL INFORMATION

 

ITEM 1. FINANCIAL STATEMENTS

 



 

 

 

 

 

 

Global Macro Trust

 

Financial statements

 

For the three and nine months ended September 30, 2020 and 2019 (unaudited)

 



 

 

 

 

 

 

Statements of Financial Condition (a)

 

 

Condensed Schedules of Investments (a)

 

 

Statements of Operations (b)

 

 

Statements of Changes in Trust Capital (c)

 

 

Statements of Financial Highlights (b)

 

 

10 

Notes to the Financial Statements

 

 

12 



 

 

 

 

 

 

(a) At September 30, 2020 (unaudited) and December 31, 2019

 

(b) For the three and nine months ended September 30, 2020 and 2019 (unaudited)

 

(c) For the nine months ended September 30, 2020 and 2019 (unaudited)

 























 

 

 


 





 

 

 

 

 

Global Macro Trust

Statements of Financial Condition

 

 

 

 

 

 



 

 

 

 

 



 

September 30, 2020 (unaudited)

 

 

December 31, 2019

ASSETS

 

 

 

 

 

EQUITY IN TRADING ACCOUNTS:

 

 

 

 

 

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

 

 

 

 

 

(amortized cost $12,790,578 and $20,608,824)

$

12,807,447 

 

$

20,644,779 

Net unrealized appreciation on open futures and

 

 

 

 

 

forward currency contracts

 

1,697,861 

 

 

1,144,023 

Due from brokers, net

 

6,087,487 

 

 

4,019,983 

Cash denominated in foreign currencies (cost $4,504,489 

 

 

 

 

 

and $8,462,150)

 

4,534,563 

 

 

8,600,683 

Total equity in trading accounts

 

25,127,358 

 

 

34,409,468 



 

 

 

 

 

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

 

 

 

 

 

(amortized cost $87,120,243 and $117,144,589)

 

87,154,774 

 

 

117,233,707 

CASH AND CASH EQUIVALENTS

 

9,247,340 

 

 

13,142,361 

ACCRUED INTEREST RECEIVABLE

 

609,681 

 

 

606,396 

TOTAL

$

122,139,153 

 

$

165,391,932 



 

 

 

 

 

LIABILITIES AND TRUST CAPITAL

 

 

 

 

 

LIABILITIES:

 

 

 

 

 

Subscriptions by Unitholders received in advance

$

 -

 

$

742,000 

Net unrealized depreciation on open futures and forward currency contracts

 

4,498 

 

 

1,231,994 

Due to Managing Owner

 

46,946 

 

 

 -

Due to brokers, net

 

1,472,365 

 

 

1,192,838 

Accrued brokerage and custodial fees

 

424,247 

 

 

569,268 

Accrued management fees

 

46,004 

 

 

60,464 

Redemptions payable to Unitholders

 

2,754,846 

 

 

1,317,430 

Redemption payable to Managing Owner

 

 -

 

 

349,083 

Accrued expenses

 

55,522 

 

 

118,317 

Total liabilities

 

4,804,428 

 

 

5,581,394 



 

 

 

 

 



 

 

 

 

 

TRUST CAPITAL:

 

 

 

 

 

Managing Owner interest (2,608.088 and 3,477.855 units outstanding)

 

2,704,248 

 

 

4,230,810 

Series 1 Unitholders (75,411.118 and 88,422.039 units outstanding)

 

78,191,567 

 

 

107,565,649 

Series 3 Unitholders (15,287.150 and 19,430.353 units outstanding)

 

23,625,213 

 

 

34,128,621 

Series 4 Unitholders (3,980.250 and 4,104.713 units outstanding)

 

8,005,765 

 

 

9,261,037 

Series 5 Unitholders (3,279.493 and 2,759.746 units outstanding)

 

4,807,932 

 

 

4,624,421 

Total trust capital

 

117,334,725 

 

 

159,810,538 



 

 

 

 

 

TOTAL

$

122,139,153 

 

$

165,391,932 



 

 

 

 

 

NET ASSET VALUE PER UNIT OUTSTANDING:

 

 

 

 

 

Series 1 Unitholders

$

1,036.87 

 

$

1,216.50 

Series 3 Unitholders

$

1,545.43 

 

$

1,756.46 

Series 4 Unitholders

$

2,011.37 

 

$

2,256.20 

Series 5 Unitholders

$

1,466.06 

 

$

1,675.67 



 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 















1

 


 





 

 

 

 

Global Macro Trust

Condensed Schedule of Investments (UNAUDITED)

September 30, 2020



 

 

 

 

FUTURES AND FORWARD CURRENCY CONTRACTS

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

 

 

Net Unrealized
Appreciation/
(Depreciation)

FUTURES CONTRACTS

 

 

 

 

Long futures contracts:

 

 

 

 

Energies

0.01 

%

$

7,589 

Grains

0.16 

 

 

191,088 

Interest rates:

 

 

 

 

2 Year U.S. Treasury Note (144 contracts, settlement date December 2020)

0.00 

 

 

4,688 

10 Year U.S. Treasury Note (182 contracts, settlement date December 2020)

0.00 

 

 

3,625 

30 Year U.S. Treasury Bond (47 contracts, settlement date December 2020)

0.00 

 

 

62 

Other

0.56 

 

 

647,800 



 

 

 

 

Total interest rates

0.56 

 

 

656,175 



 

 

 

 

Livestock

0.00 

 

 

5,270 

Metals

0.01 

 

 

7,510 

Softs

0.02 

 

 

17,945 

Stock indices

0.12 

 

 

146,385 



 

 

 

 

Total long futures contracts

0.88 

 

 

1,031,962 



 

 

 

 

Short futures contracts:

 

 

 

 

Energies

0.02 

 

 

25,466 

Grains

(0.14)

 

 

(169,882)

Interest rates

(0.00)

 

 

(1,016)

Livestock

(0.01)

 

 

(7,790)

Metals

0.02 

 

 

27,962 

Softs

0.01 

 

 

13,990 

Stock indices

0.03 

 

 

35,373 



 

 

 

 

Total short futures contracts

(0.07)

 

 

(75,897)



 

 

 

 

TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net

0.81 

 

 

956,065 



 

 

 

 

FORWARD CURRENCY CONTRACTS

 

 

 

 

Total long forward currency contracts

(0.97)

 

 

(1,136,821)

Total short forward currency contracts

1.60 

 

 

1,874,119 



 

 

 

 

TOTAL INVESTMENTS IN FORWARD CURRENCY

 

 

 

 

CONTRACTS-Net

0.63 

 

 

737,298 

 

 

 

 

 

TOTAL

1.44 

%

$

1,693,363 



 

 

 

 



 

 

 

(Continued)

2

 


 



 



 

 

 

 

 

 

 

 

Global Macro Trust

Condensed Schedule of Investments (UNAUDITED)

September 30, 2020

U.S. TREASURY NOTES

 

 

 

 

 



 

 

 

 

 

 

 

 

Face Amount

 

Description

 

Fair Value
as a % of
Trust Capital

 

 

Fair Value



 

 

 

 

 

 

 

 

$

30,500,000 

 

U.S. Treasury notes, 1.750%,  11/15/2020

 

26.04 

%

$

30,563,740 



19,510,000 

 

U.S. Treasury notes, 2.250%,  02/15/2021

 

16.76 

 

 

19,665,851 



28,200,000 

 

U.S. Treasury notes, 2.625%,  05/15/2021

 

24.41 

 

 

28,640,625 



20,620,000 

 

U.S. Treasury notes, 2.750%,  08/15/2021

 

17.98 

 

 

21,092,005 



 

 

Total investments in U.S. Treasury notes

 

 

 

 

 



 

 

(amortized cost $99,910,821)

 

85.19 

%

$

99,962,221 



 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

(Concluded)



3

 


 





 

 

 

 

Global Macro Trust

Condensed Schedule of Investments

December 31, 2019



 

 

 

 

FUTURES AND FORWARD CURRENCY CONTRACTS

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

 

 

Net Unrealized
Appreciation/
(Depreciation)

FUTURES CONTRACTS

 

 

 

 

Long futures contracts:

 

 

 

 

Energies

0.15 

%

$

240,490 

Grains

0.01 

 

 

17,302 

Interest rates:

 

 

 

 

2 Year U.S. Treasury Note (55 contracts, settlement date March 2020)

0.00 

 

 

2,016 

5 Year U.S. Treasury Note (113 contracts, settlement date March 2020)

0.00 

 

 

289 

Other

(0.04)

 

 

(63,086)



 

 

 

 

Total interest rates

(0.04)

 

 

(60,781)



 

 

 

 

Livestock

(0.00)

 

 

(260)

Metals

0.25 

 

 

394,440 

Softs

0.01 

 

 

14,560 

Stock indices

0.04 

 

 

71,617 



 

 

 

 

Total long futures contracts

0.42 

 

 

677,368 



 

 

 

 

Short futures contracts:

 

 

 

 

Energies

0.05 

 

 

78,750 

Grains

(0.13)

 

 

(209,775)

Interest rates:

 

 

 

 

10 Year U.S. Treasury Note (142 contracts, settlement date March 2020)

0.00 

 

 

5,484 

Other

0.29 

 

 

467,953 



 

 

 

 

Total interest rates

0.29 

 

 

473,437 



 

 

 

 

Metals

(0.05)

 

 

(86,298)

Softs

(0.01)

 

 

(14,696)

Stock indices

0.14 

 

 

225,237 



 

 

 

 

Total short futures contracts

0.29 

 

 

466,655 



 

 

 

 

TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net

0.71 

 

 

1,144,023 



 

 

 

 

FORWARD CURRENCY CONTRACTS

 

 

 

 

Total long forward currency contracts

1.86 

 

 

2,978,285 

Total short forward currency contracts

(2.63)

 

 

(4,210,279)

TOTAL INVESTMENTS IN FORWARD CURRENCY

 

 

 

 

CONTRACTS-Net

(0.77)

 

 

(1,231,994)

 

 

 

 

 

TOTAL

(0.06)

%

$

(87,971)



 

 

 

 



 

 

 

(Continued)







 

 

 

 

 

 

 

Global Macro Trust

Condensed Schedule of Investments

December 31, 2019

U.S. TREASURY NOTES

 

 

 

 



 

 

 

 

 

 

 

Face Amount

 

Description

Fair Value
as a % of
Trust Capital

 

 

Fair Value



 

 

 

 

 

 

 

$

46,900,000 

 

U.S. Treasury notes, 1.375%,  02/15/2020

29.35 

%

$

46,889,009 



41,010,000 

 

U.S. Treasury notes, 1.500%,  05/15/2020

25.65 

 

 

40,998,786 



50,020,000 

 

U.S. Treasury notes, 1.500%,  08/15/2020

31.28 

 

 

49,990,691 



 

 

Total investments in U.S. Treasury notes

 

 

 

 



 

 

(amortized cost $137,753,413)

86.28 

%

$

137,878,486 



 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

(Concluded)





















4

 


 









 

 

 

 

 

Global Macro Trust

Statements of Operations (UNAUDITED)



 

 

 

 

 



 

For the three months ended



 

September 30, 2020

 

 

September 30, 2019

INVESTMENT INCOME:

 

 

 

 

 

Interest income

$

211,661 

 

$

893,971 



 

 

 

 

 

EXPENSES:

 

 

 

 

 

Brokerage fees

 

1,387,446 

 

 

1,932,024 

Administrative expenses

 

209,136 

 

 

391,107 

Custody fees and other expenses

 

7,862 

 

 

7,271 

Management fees

 

140,927 

 

 

160,222 

Total expenses

 

1,745,371 

 

 

2,490,624 



 

 

 

 

 

Managing Owner commission rebate to Unitholders

 

(138,657)

 

 

(142,050)



 

 

 

 

 

Net expenses

 

1,606,714 

 

 

2,348,574 



 

 

 

 

 

NET INVESTMENT LOSS

 

(1,395,053)

 

 

(1,454,603)



 

 

 

 

 

NET REALIZED AND UNREALIZED GAINS (LOSSES):

 

 

 

 

 

Net realized gains (losses) on closed positions:

 

 

 

 

 

Futures and forward currency contracts

 

3,625,650 

 

 

2,669,683 

Foreign exchange transactions

 

126,358 

 

 

(107,426)

Net change in unrealized:

 

 

 

 

 

Futures and forward currency contracts

 

1,064,830 

 

 

(832,871)

Foreign exchange translation

 

3,761 

 

 

(127,344)

Net gains (losses) from U.S. Treasury notes:

 

 

 

 

 

Realized

 

12,804 

 

 

31,875 

Net change in unrealized 

 

(191,230)

 

 

(100,056)

TOTAL NET REALIZED AND UNREALIZED GAINS

 

4,642,173 

 

 

1,533,861 

 

 

 

 

 

 



 

 

 

 

 

NET INCOME

 

3,247,120 

 

 

79,258 

LESS PROFIT SHARE TO MANAGING OWNER

 

 -

 

 

7,999 

NET INCOME AFTER PROFIT SHARE TO MANAGING OWNER

$

3,247,120 

 

$

71,259 



 

 

 

 

 

NET INCOME (LOSS) PER UNIT OUTSTANDING

 

 

 

 

 

Series 1 Unitholders

$

22.88 

 

$

(4.21)

Series 3 Unitholders

$

49.82 

 

$

11.51 

Series 4 Unitholders

$

73.34 

 

$

24.61 

Series 5 Unitholders

$

44.59 

 

$

8.11 



 

 

 

 

 



 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 







 

 

 

 

 

Global Macro Trust

Statements of Operations (UNAUDITED)



 

 

 

 

 



 

 

 

 

 



 

For the nine months ended



 

September 30, 2020

 

 

September 30, 2019

INVESTMENT INCOME:

 

 

 

 

 

Interest income

$

1,264,046 

 

$

2,851,779 



 

 

 

 

 

EXPENSES:

 

 

 

 

 

Brokerage fees

 

4,525,309 

 

 

6,189,224 

Administrative expenses

 

711,588 

 

 

903,953 

Custody fees and other expenses

 

21,481 

 

 

22,877 

Management fees

 

465,530 

 

 

462,100 

Total expenses

 

5,723,908 

 

 

7,578,154 



 

 

 

 

 

Managing Owner commission rebate to Unitholders

 

(403,515)

 

 

(414,145)



 

 

 

 

 

Net expenses

 

5,320,393 

 

 

7,164,009 



 

 

 

 

 

NET INVESTMENT LOSS

 

(4,056,347)

 

 

(4,312,230)



 

 

 

 

 

NET REALIZED AND UNREALIZED GAINS (LOSSES):

 

 

 

 

 

Net realized gains (losses) on closed positions:

 

 

 

 

 

Futures and forward currency contracts

 

(19,721,371)

 

 

9,910,961 

Foreign exchange translation

 

(109,405)

 

 

(215,893)

Net change in unrealized:

 

 

 

 

 

Futures and forward currency contracts

 

1,781,334 

 

 

(4,744,930)

Foreign exchange translation

 

(108,459)

 

 

(60,497)

Net gains (losses) from U.S. Treasury notes:

 

 

 

 

 

Realized

 

132,246 

 

 

31,264 

Net change in unrealized 

 

(73,673)

 

 

246,422 

TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)

 

(18,099,328)

 

 

5,167,327 

 

 

 

 

 

 



 

 

 

 

 

NET INCOME (LOSS)

$

(22,155,675)

 

$

855,097 

LESS PROFIT SHARE TO MANAGING OWNER

 

 -

 

 

61,143 

NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER

$

(22,155,675)

 

$

793,954 



 

 

 

 

 

NET INCOME (LOSS) PER UNIT OUTSTANDING

 

 

 

 

 

Series 1 Unitholders

$

(179.63)

 

$

(7.77)

Series 3 Unitholders

$

(211.03)

 

$

40.77 

Series 4 Unitholders

$

(244.83)

 

$

83.06 

Series 5 Unitholders

$

(209.61)

 

$

29.64 



 

 

 

 

 



 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

(Concluded)











 

5

 


 















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Global Macro Trust

Statements of Changes in Trust Capital (UNAUDITED)



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the nine months ended September 30, 2020:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

New Profit 

 

 

 

 

 



 

Series 1 Unitholders

 

Series 3 Unitholders

 

Series 4 Unitholders

 

Series 5 Unitholders

 

Memo Account

 

Managing Owner

 

Total



 

Amount

Units

 

Amount

Units

 

Amount

Units

 

Amount

Units

 

Amount

Units

 

Amount

Units

 

Amount



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust capital at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 1, 2020

$

107,565,649  88,422.039 

$

34,128,621  19,430.353 

$

9,261,037  4,104.713 

$

4,624,421  2,759.746 

$

 -

 -

$

4,230,810  3,477.855 

$

159,810,538 

Subscriptions

 

 -

 -

 

1,353,000  794.391 

 

763,699  349.463 

 

1,455,615  929.901 

 

 -

 -

 

 -

 -

 

3,572,314 

Redemptions

 

(13,704,289) (13,223.509)

 

(7,434,558) (4,937.594)

 

(963,063) (473.926)

 

(590,542) (410.154)

 

 -

 -

 

(1,200,000) (989.238)

 

(23,892,452)

Addt'l units allocated *

 

 -

212.588 

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

119.471 

 

 -

Net loss

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

before profit share to Managing Owner

 

(15,669,793)

 -

 

(4,421,850)

 -

 

(1,055,908)

 -

 

(681,562)

 -

 

 -

 -

 

(326,562)

 -

 

(22,155,675)

Profit share to Managing Owner:

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

Transfer of New Profit Memo

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Account to Managing Owner

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

Trust capital at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2020

$

78,191,567  75,411.118 

$

23,625,213  15,287.150 

$

8,005,765  3,980.250 

$

4,807,932  3,279.493 

$

 -

 -

$

2,704,248  2,608.088 

$

117,334,725 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

at September 30, 2020:

$

1,036.87 

 

$

1,545.43 

 

$

2,011.37 

 

$

1,466.06 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

* Additional units are issued to Series 1 Unitholders who are charged less than a 7% brokerage fee and to the Managing Owner.

 

 

 

 

 

 

 

 

 

 

 

(Continued)







8

 


 





 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Global Macro Trust

 

 

 

Statements of Changes in Trust Capital (UNAUDITED)

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the nine months ended September 30, 2019:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

New Profit 

 

 

 

 

 



 

Series 1 Unitholders

 

Series 3 Unitholders

 

Series 4 Unitholders

 

Series 5 Unitholders

 

Memo Account

 

Managing Owner

 

Total



 

Amount

Units

 

Amount

Units

 

Amount

Units

 

Amount

Units

 

Amount

Units

 

Amount

Units

 

Amount



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trust capital at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

January 1, 2019

$

130,410,857  110,008.795 

$

31,842,823  19,251.321 

$

7,485,965  3,619.144 

$

929,881  584.994 

$

 -

 -

$

3,878,720  3,271.911 

$

174,548,246 

Subscriptions

 

 -

 -

 

2,420,000  1,444.694 

 

661,383  321.466 

 

1,691,013  1,050.850 

 

4,374  3.656 

 

 -

 -

 

4,776,770 

Redemptions

 

(21,314,185) (18,052.645)

 

(2,039,210) (1,211.667)

 

(5,643) (2.639)

 

 -

 -

 

 -

 -

 

 -

 -

 

(23,359,038)

Addt'l units allocated *

 

 -

238.635 

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

0.083 

 

 -

153.838 

 

 -

Net income (loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

before profit share to Managing Owner

 

(519,632)

 -

 

860,263 

 -

 

330,828 

 -

 

27,858 

 -

 

21 

 -

 

155,759 

 -

 

855,097 

Profit share to Managing Owner:

 

 -

 -

 

(61,143)

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

 -

 -

 

(61,143)

Trust capital at

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 2019

$

108,577,040  92,194.785 

$

33,022,733  19,484.348 

$

8,472,533  3,937.971 

$

2,648,752  1,635.844 

$

4,395  3.739 

$

4,034,479  3,425.749 

$

156,759,932 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit outstanding

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

at September 30, 2019:

$

1,177.69 

 

$

1,694.83 

 

$

2,151.50 

 

$

1,619.20 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

* Additional units are issued to Series 1 Unitholders who are charged less than a 7% brokerage fee and to the Managing Owner.

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Concluded)























 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Global Macro Trust

 

 

 

Statements of Financial Highlights (UNAUDITED)

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the three months ended September 30:

 

2020

 

2019

 



 

 

Series 1

 

Series 3

 

Series 4

 

Series 5

 

 

Series 1

 

Series 3

 

Series 4

 

Series 5

 

Net income (loss) from operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

$          (15.47)

 

$            (8.04)

 

$            (2.05)

 

$          (10.67)

 

 

$          (14.58)

 

$            (4.26)

 

$              3.99 

 

$             (7.91)

 

Net realized and unrealized gains on trading of futures and forward currency contracts

 

 

39.73 

 

59.75 

 

78.24 

 

57.42 

 

 

10.76 

 

17.01 

 

21.55 

 

15.33 

 

Net losses from U.S. Treasury obligations

 

 

(1.38)

 

(1.89)

 

(2.85)

 

(2.16)

 

 

(0.39)

 

(0.73)

 

(0.93)

 

(1.34)

 

Profit share allocated (to) from Managing Owner

 

 

0.00 

 

0.00 

 

0.00 

 

0.00 

 

 

0.00 

 

(0.51)

 

0.00 

 

2.03 

 

Net income (loss) per unit

 

 

$            22.88 

 

$            49.82 

 

$            73.34 

 

$            44.59 

 

 

$            (4.21)

 

$            11.51 

 

$            24.61 

 

$               8.11 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit, beginning of period

 

 

1,013.99 

 

1,495.61 

 

1,938.03 

 

1,421.47 

 

 

1,181.90 

 

1,683.32 

 

2,126.89 

 

1,611.09 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit, end of period

 

 

$       1,036.87 

 

$       1,545.43 

 

$       2,011.37 

 

$       1,466.06 

 

 

$       1,177.69 

 

$       1,694.83 

 

$       2,151.50 

 

$        1,619.20 

 

Total return and ratios for the three months ended September 30:

2020

 

 

2019

 

 

 



 

 

Series 1

 

Series 3

 

Series 4

 

Series 5

 

 

Series 1

 

Series 3

 

Series 4

 

Series 5

 

RATIOS TO AVERAGE CAPITAL:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (a)

 

 

(6.02)

%

(2.17)

%

(0.42)

%

(2.93)

%

 

(4.96)

%

(1.01)

%

0.75 

%

(1.78)

%

Total expenses (a)

 

 

6.71 

%

2.87 

%

1.11 

%

3.62 

%

 

7.21 

%

3.25 

%

1.48 

%

4.01 

%

Profit share allocation (b)

 

 

0.00 

 

0.00 

 

0.00 

 

0.00 

 

 

0.00 

 

0.03 

 

0.00 

 

(0.08)

 

TOTAL EXPENSES AND PROFIT SHARE ALLOCATION

 

 

6.71 

%

2.87 

%

1.11 

%

3.62 

%

 

7.21 

%

3.28 

%

1.48 

%

3.93 

%

Total return before profit share allocation (b)

 

 

2.26 

%

3.33 

%

3.78 

%

3.14 

%

 

(0.36)

%

0.71 

%

1.16 

%

0.42 

%

Less: Profit share allocation (b)

 

 

0.00 

 

0.00 

 

0.00 

 

0.00 

 

 

0.00 

 

0.03 

 

0.00 

 

(0.08)

 

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION

 

 

2.26 

%

3.33 

%

3.78 

%

3.14 

%

 

(0.36)

%

0.68 

%

1.16 

%

0.50 

%

(a) Annualized. Ratios are net Managing Owner commission rebate.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(b) Not annualized.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 





















 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Global Macro Trust

 

 

 

Statements of Financial Highlights (UNAUDITED)

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the nine months ended September 30:

 

2020

 

2019

 



 

 

Series 1

 

Series 3

 

Series 4

 

Series 5

 

 

Series 1

 

Series 3

 

Series 4

 

Series 5

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net income (loss) from operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss)

 

 

$          (44.01)

 

$          (19.00)

 

$              1.41 

 

$          (26.73)

 

 

$          (41.67)

 

$            (8.23)

 

$            17.30 

 

$          (17.70)

 

Net realized and unrealized gains (losses) on trading of futures and forward currency contracts

 

 

(136.13)

 

(192.87)

 

(246.38)

 

(182.98)

 

 

31.91 

 

49.41 

 

62.36 

 

45.06 

 

Net gains from U.S. Treasury obligations

 

 

0.51 

 

0.84 

 

0.14 

 

0.10 

 

 

1.99 

 

2.73 

 

3.40 

 

2.28 

 

Profit share allocated (to) Managing Owner

 

 

0.00 

 

0.00 

 

0.00 

 

0.00 

 

 

0.00 

 

(3.14)

 

0.00 

 

0.00 

 

Net income (loss) per unit

 

 

$        (179.63)

 

$        (211.03)

 

$        (244.83)

 

$        (209.61)

 

 

$            (7.77)

 

$            40.77 

 

$            83.06 

 

$            29.64 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit, beginning of period

 

 

1,216.50 

 

1,756.46 

 

2,256.20 

 

1,675.67 

 

 

1,185.46 

 

1,654.06 

 

2,068.44 

 

1,589.56 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value per unit, end of period

 

 

$       1,036.87 

 

$       1,545.43 

 

$       2,011.37 

 

$       1,466.06 

 

 

$       1,177.69 

 

$       1,694.83 

 

$       2,151.50 

 

$       1,619.20 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return and ratios for the nine months ended September 30:

2020

2019

 

 

 



 

 

Series 1

 

Series 3

 

Series 4

 

Series 5

 

 

Series 1

 

Series 3

 

Series 4

 

Series 5

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RATIOS TO AVERAGE CAPITAL:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income (loss) (a)

 

 

(5.54)

%

(1.63)

%

0.09 

%

(2.42)

%

 

(4.72)

%

(0.66)

%

1.09 

%

(1.48)

%



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses (a)

 

 

6.82 

%

2.91 

%

1.15 

%

3.66 

%

 

7.00 

%

2.94 

%

1.18 

%

3.76 

%

Profit share allocation (b)

 

 

0.00 

 

0.00 

 

0.00 

 

0.00 

 

 

0.00 

 

0.19 

 

0.00 

 

0.00 

 

TOTAL EXPENSES AND PROFIT SHARE ALLOCATION

 

 

6.82 

%

2.91 

%

1.15 

%

3.66 

%

 

7.00 

%

3.13 

%

1.18 

%

3.76 

%



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total return before profit share allocation (b)

 

 

(14.77)

%

(12.01)

%

(10.85)

%

(12.51)

%

 

(0.66)

%

2.65 

%

4.02 

%

1.86 

%

Less: Profit share allocation (b)

 

 

0.00 

 

0.00 

 

0.00 

 

0.00 

 

 

0.00 

 

0.19 

 

0.00 

 

0.00 

 

TOTAL RETURN AFTER PROFIT SHARE ALLOCATION

 

 

(14.77)

%

(12.01)

%

(10.85)

%

(12.51)

%

 

(0.66)

%

2.46 

%

4.02 

%

1.86 

%

(a) Annualized. Ratios are net Managing Owner commission rebate.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(b) Not annualized.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

See notes to financial statements (unaudited)

 

 

 

 

 

 

 

 

(Concluded)

 

\\\

9

 


 

 

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)



1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Global Macro Trust’s (the “Trust”) financial condition at September 30, 2020 (unaudited) and December 31, 2019  (audited) and the results of its operations for the three and nine months ended September 30, 2020 (unaudited) and 2019 (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 Trust's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2019. The December 31, 2019 information has been derived from the audited financial statements as of December 31, 2019.

 

With the effectiveness of the Trust’s Registration Statement on August 12, 2009, the Trust began to offer Series 3 and Series 4 Units. The only Units offered prior to such date were the Series 1 Units.



With the effectiveness of the Trust’s Prospectus dated September 29, 2017, the Trust began to offer Series 5 Units. Series 5 Units were first sold on April 1, 2018.



Previously offered Series 1 Units are no longer being offered by the Trust.

 

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

 

Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Trust’s open tax years, 2016 to 2019, Millburn Ridgefield Corporation (the “Managing Owner”) determined that no reserves for uncertain tax positions were required. 



Investment Company Status: The Trust is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies



There have been no material changes with respect to the Trust's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Trust's Annual Report on Form 10-K for fiscal year 2019.



2. FAIR VALUE

 

Fair Value Measurement (Topic 820) 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 Trust separates its investments into two categories: cash instruments and derivative contracts.

 

Cash Instruments – The Trust’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 Managing Owner does not adjust the quoted price for such instruments even in situations where the Trust 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 Trust may be in between these periods. The Managing Owner’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.

 

During the three and nine months ended September 30, 2020 and 2019, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Trust’s investments by hierarchical level as of September 30, 2020 and December 31, 2019 in valuing the Trust’s investments at fair value. At September 30, 2020 and December 31, 2019, the Trust held no assets or liabilities classified in Level 3.

 

Financial Assets and Liabilities at Fair Value as of September 30, 2020

 





 

 

 

 

 

 

 

 

 



 

 

Level 1

 

 

Level 2

 

 

Total



 

 

 

 

 

 

 

 

 

U.S. Treasury notes (1)

 

$

99,962,221 

 

$

 -

 

$

99,962,221 

Short-term money market fund*

 

 

8,997,340 

 

 

 -

 

 

8,997,340 

Exchange-traded futures contracts

 

 

 

 

 

 

 

 

 

Energies

 

 

33,055 

 

 

 -

 

 

33,055 

Grains

 

 

21,206 

 

 

 -

 

 

21,206 

Interest rates

 

 

655,159 

 

 

 -

 

 

655,159 

Livestock

 

 

(2,520)

 

 

 -

 

 

(2,520)

Metals

 

 

35,472 

 

 

 -

 

 

35,472 

Softs

 

 

31,935 

 

 

 -

 

 

31,935 

Stock indices

 

 

181,758 

 

 

 -

 

 

181,758 



 

 

 

 

 

 

 

 

 

Total exchange-traded futures contracts

 

 

956,065 

 

 

 -

 

 

956,065 



 

 

 

 

 

 

 

 

 

Over-the-counter forward currency contracts

 

 

 -

 

 

737,298 

 

 

737,298 



 

 

 

 

 

 

 

 

 

Total futures and forward currency contracts (2)

 

 

956,065 

 

 

737,298 

 

 

1,693,363 



 

 

 

 

 

 

 

 

 

Total financial assets and liabilities at fair value

 

$

109,915,626 

 

$

737,298 

 

$

110,652,924 



 

 

 

 

 

 

 

 

 

Per line item in the Statements of Financial Condition

 

 

 

 

 

 

 

 

 

(1)

 

 

 

 

 

 

 

 

 

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

 

$

12,807,447 

Investments in U.S. Treasury notes held in custody

 

 

87,154,774 

Total investments in U.S. Treasury notes

 

$

99,962,221 



 

 

 

 

 

 

 

 

 

(2)

 

 

 

 

 

 

 

 

 

Net unrealized appreciation on open futures and forward currency contracts

 

$

1,697,861 

Net unrealized depreciation on open futures and forward currency contracts

 

 

(4,498)

Total net unrealized appreciation on open futures and forward currency contracts

 

$

1,693,363 



 

 

 

 

 

 

 

 

 

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

 

 

 



 

 

 

 

 

 

 

 

 



10

 


 

 

Financial Assets and Liabilities at Fair Value as of December 31, 2019

 





 

 

 

 

 

 

 

 

 



 

 

Level 1

 

 

Level 2

 

 

Total



 

 

 

 

 

 

 

 

 

U.S. Treasury notes (1)

 

$

137,878,486 

 

$

 -

 

$

137,878,486 

Short-term money market fund*

 

 

12,898,762 

 

 

 -

 

 

12,898,762 

Exchange-traded futures contracts

 

 

 

 

 

 

 

 

 

Energies

 

 

319,240 

 

 

 -

 

 

319,240 

Grains

 

 

(192,473)

 

 

 -

 

 

(192,473)

Interest rates

 

 

412,656 

 

 

 -

 

 

412,656 

Livestock

 

 

(260)

 

 

 -

 

 

(260)

Metals

 

 

308,142 

 

 

 -

 

 

308,142 

Softs

 

 

(136)

 

 

 -

 

 

(136)

Stock indices

 

 

296,854 

 

 

 -

 

 

296,854 



 

 

 

 

 

 

 

 

 

Total exchange-traded futures contracts

 

 

1,144,023 

 

 

 -

 

 

1,144,023 



 

 

 

 

 

 

 

 

 

Over-the-counter forward currency contracts

 

 

 -

 

 

(1,231,994)

 

 

(1,231,994)



 

 

 

 

 

 

 

 

 

Total futures and forward currency contracts (2)

 

 

1,144,023 

 

 

(1,231,994)

 

 

(87,971)



 

 

 

 

 

 

 

 

 

Total financial assets and liabilities at fair value

 

$

151,921,271 

 

$

(1,231,994)

 

$

150,689,277 



 

 

 

 

 

 

 

 

 

Per line item in the Statements of Financial Condition

 

 

 

 

 

 

 

 

 

(1)

 

 

 

 

 

 

 

 

 

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

 

$

20,644,779 

Investments in U.S. Treasury notes held in custody

 

 

117,233,707 

Total investments in U.S. Treasury notes

 

$

137,878,486 



 

 

 

 

 

 

 

 

 

(2)

 

 

 

 

 

 

 

 

 

Net unrealized appreciation on open futures and forward currency contracts

 

$

1,144,023 

Net unrealized depreciation on open futures and forward currency contracts

 

 

(1,231,994)

Total net unrealized depreciation on open futures and forward currency contracts

 

$

(87,971)



 

 

 

 

 

 

 

 

 

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

 

 

 









3. DERIVATIVE INSTRUMENTS

 

Derivatives and Hedging (Topic 815) 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 Trust’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 Trust’s open positions, and the liquidity of the markets in which it trades.

 

The Trust 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 Trust at September 30, 2020, by market sector:

 

Agricultural (grains, livestock and softs) – The Trust’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 Trust. The Trust’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 Trust trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

 

Energies – The Trust’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 Trust 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 Trust’s profitability. The Trust’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 Trust also may take positions in futures contracts on the government debt of other nations. The Managing Owner 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 Trust for the foreseeable future.

 

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

 

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

 

Derivatives and Hedging (Topic 815) 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 Trust’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.

 

Since the derivatives held or sold by the Trust 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 Trust’s trading gains and losses in the Statements of Operations.

 

See “Item 3. Quantitative and Qualitative Disclosures About Market Risk” for additional derivative-related information.

 

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2020 and December 31, 2019. 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 September 30, 2020

 







 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

Net Unrealized



 

Fair Value - Long Positions

 

 

Fair Value - Short Positions

 

 

Gain (Loss) on

Sector

 

Gains

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Open Positions



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energies

$

12,649 

 

$

(5,060)

 

$

48,619 

 

$

(23,153)

 

$

33,055 

Grains

 

203,223 

 

 

(12,135)

 

 

3,774 

 

 

(173,656)

 

 

21,206 

Interest rates

 

866,238 

 

 

(210,063)

 

 

650 

 

 

(1,666)

 

 

655,159 

Livestock

 

5,270 

 

 

 -

 

 

1,760 

 

 

(9,550)

 

 

(2,520)

Metals

 

254,886 

 

 

(247,376)

 

 

151,536 

 

 

(123,574)

 

 

35,472 

Softs

 

23,154 

 

 

(5,209)

 

 

14,110 

 

 

(120)

 

 

31,935 

Stock indices

 

365,533 

 

 

(219,148)

 

 

46,167 

 

 

(10,794)

 

 

181,758 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total futures contracts

 

1,730,953 

 

 

(698,991)

 

 

266,616 

 

 

(342,513)

 

 

956,065 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

1,276,083 

 

 

(2,412,904)

 

 

3,110,552 

 

 

(1,236,433)

 

 

737,298 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total futures and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

forward currency contracts

$

3,007,036 

 

$

(3,111,895)

 

$

3,377,168 

 

$

(1,578,946)

 

$

1,693,363 



 

 

 

 

 

 

 

 

 

 

 

 

 

 



Fair Value of Futures and Forward Currency Contracts at December 31, 2019

 





 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

Net Unrealized



 

Fair Value - Long Positions

 

 

Fair Value - Short Positions

 

 

Gain (Loss) on

Sector

 

Gains

 

 

Losses

 

 

Gains

 

 

Losses

 

 

Open Positions



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energies

$

348,898 

 

$

(108,408)

 

$

80,510 

 

$

(1,760)

 

$

319,240 

Grains

 

19,772 

 

 

(2,470)

 

 

5,713 

 

 

(215,488)

 

 

(192,473)

Interest rates

 

16,237 

 

 

(77,018)

 

 

584,181 

 

 

(110,744)

 

 

412,656 

Livestock

 

 -

 

 

(260)

 

 

 -

 

 

 -

 

 

(260)

Metals

 

660,231 

 

 

(265,791)

 

 

299,404 

 

 

(385,702)

 

 

308,142 

Softs

 

15,935 

 

 

(1,375)

 

 

9,499 

 

 

(24,195)

 

 

(136)

Stock indices

 

372,686 

 

 

(301,069)

 

 

257,489 

 

 

(32,252)

 

 

296,854 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total futures contracts

 

1,433,759 

 

 

(756,391)

 

 

1,236,796 

 

 

(770,141)

 

 

1,144,023 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

3,542,752 

 

 

(564,467)

 

 

518,649 

 

 

(4,728,928)

 

 

(1,231,994)



 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total futures and

 

 

 

 

 

 

 

 

 

 

 

 

 

 

forward currency contracts

$

4,976,511 

 

$

(1,320,858)

 

$

1,755,445 

 

$

(5,499,069)

 

$

(87,971)



 

 

 

 

 

 

 

 

 

 

 

 

 

 

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three and nine months ended September 30, 2020 and 2019 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 nine months ended September 30, 2020 and 2019









 

 

 

 

 

 

 

 

 

 

 



 

Three months ended:

 

 

Three months ended:

 

 

Nine months ended:

 

 

Nine months ended:

Sector

 

September 30, 2020

 

 

September 30, 2019

 

 

September 30, 2020

 

 

September 30, 2019



 

 

 

 

 

 

 

 

 

 

 

Futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 Energies

$

558,365 

 

$

(2,720,639)

 

$

5,631,632 

 

$

(7,237,631)

 Grains

 

(423,446)

 

 

666,787 

 

 

396,644 

 

 

2,042,448 

 Interest rates

 

(1,714,375)

 

 

486,712 

 

 

(2,327,348)

 

 

8,779,195 

 Livestock

 

53,480 

 

 

(173,010)

 

 

325,110 

 

 

52,890 

 Metals

 

553,805 

 

 

(256,472)

 

 

202,998 

 

 

(765,131)

 Softs

 

1,592 

 

 

294,503 

 

 

(249,480)

 

 

220,704 

 Stock indices

 

3,706,520 

 

 

3,136,006 

 

 

(25,464,460)

 

 

3,814,267 



 

 

 

 

 

 

 

 

 

 

 

Total futures contracts

 

2,735,941 

 

 

1,433,887 

 

 

(21,484,904)

 

 

6,906,742 



 

 

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

1,954,539 

 

 

402,925 

 

 

3,544,867 

 

 

(1,740,711)



 

 

 

 

 

 

 

 

 

 

 

Total futures and forward currency contracts

$

4,690,480 

 

$

1,836,812 

 

$

(17,940,037)

 

$

5,166,031 



The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the nine months ended September 30, 2020 and 2019. The Trust’s average net asset value for the nine months ended September 30, 2020 and 2019 was approximately $132,000,000 and $166,000,000, respectively.

























Average notional value by sector of futures and forward currency contracts for the nine months ended September 30, 2020 and 2019









 

 

 

 

 

 

 

 

 

 

 



 

2020

 

 

2019

Sector

 

Long Positions

 

 

Short Positions

 

 

Long Positions

 

 

Short Positions



 

 

 

 

 

 

 

 

 

 

 

Futures contracts:

 

 

 

 

 

 

 

 

 

 

 

Energies

$

9,065,162 

 

$

6,645,287 

 

$

11,073,541 

 

$

16,940,836 

Grains

 

4,405,628 

 

 

4,579,697 

 

 

2,337,575 

 

 

10,163,165 

Interest rates

 

204,308,385 

 

 

56,458,853 

 

 

176,134,579 

 

 

144,795,016 

Livestock

 

155,158 

 

 

139,923 

 

 

341,245 

 

 

750,905 

Metals

 

13,320,666 

 

 

2,330,011 

 

 

2,128,673 

 

 

10,163,951 

Softs

 

1,160,044 

 

 

1,049,369 

 

 

191,819 

 

 

3,976,680 

Stock indices

 

56,463,919 

 

 

11,272,674 

 

 

65,900,000 

 

 

41,333,091 



 

 

 

 

 

 

 

 

 

 

 

Total futures

 

 

 

 

 

 

 

 

 

 

 

contracts

 

288,878,962 

 

 

82,475,814 

 

 

258,107,432 

 

 

228,123,644 



 

 

 

 

 

 

 

 

 

 

 

Forward currency

 

 

 

 

 

 

 

 

 

contracts

 

44,334,282 

 

 

24,289,289 

 

 

34,390,969 

 

 

85,220,199 



 

 

 

 

 

 

 

 

 

 

 

Total average

 

 

 

 

 

 

 

 

 

 

 

notional

$

333,213,244 

 

$

106,765,103 

 

$

292,498,401 

 

$

313,343,843 



 

 

 

 

 

 

 

 

 

 

 

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 September 30, 2020 and 2019. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes it is a more meaningful representation of notional values of the Trust’s open interest rate positions.



The averages have been calculated based on the amounts outstanding at the end of each quarter during the calculation period.



The customer agreements between the Trust, the futures clearing brokers, including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), SG Americas Securities, LLC, BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”),  give the Trust the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Trust 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 FASB Accounting Standards Codification Topic 210,  Balance Sheet,” were met. 



The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of September 30, 2020 and December 31, 2019.



Offsetting of derivative assets and liabilities at September 30, 2020







 

 

 

 

 

 

 

 

 



 

 

Gross amounts of
recognized assets

 

 

Gross amounts offset in
the Statements of Financial
Condition

 

 

Net amounts of assets
presented in the Statements
of Financial Condition

Assets

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

Counterparty C

 

$

639,622 

 

$

(201,325)

 

$

438,297 

Counterparty J

 

 

448,660 

 

 

(58,344)

 

 

390,316 

Counterparty L

 

 

898,388 

 

 

(766,438)

 

 

131,950 

Total futures contracts

 

 

1,986,670 

 

 

(1,026,107)

 

 

960,563 



 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

 

 

 

 

 

 

 

Counterparty G

 

 

2,046,074 

 

 

(1,880,593)

 

 

165,481 

Counterparty K

 

 

2,340,561 

 

 

(1,768,744)

 

 

571,817 

Total forward currency contracts

 

4,386,635 

 

 

(3,649,337)

 

 

737,298 



 

 

 

 

 

 

 

 

 

Total assets

 

$

6,373,305 

 

$

(4,675,444)

 

$

1,697,861 



 

 

 

 

 

 

 

 

(Continued)



 

 

 

 

 

 

 

 

 



 

 

Gross amounts of
recognized liabilities

 

 

Gross amounts offset in
the Statements of Financial
Condition

 

 

Net amounts of liabilities
presented in the Statements
of Financial Condition

Liabilities

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

Counterparty I

 

$

15,397 

 

$

(10,899)

 

$

4,498 



 

 

 

 

 

 

 

 

 

Total liabilities

 

$

15,397 

 

$

(10,899)

 

$

4,498 



 

 

 

 

 

 

 

 

(Concluded)







 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

Amounts Not Offset in the Statements of Financial Condition

 

 

 

Counterparty

 

 

Net amounts of assets
presented in the Statements
of Financial Condition

 

 

Financial Instruments

 

 

Collateral Received(1)(2)

 

 

Net Amount(3)



 

 

 

 

 

 

 

 

 

 

 

 

Counterparty C

 

$

438,297 

 

$

 -

 

$

(438,297)

 

$

 -

Counterparty G

 

 

165,481 

 

 

 -

 

 

 -

 

 

165,481 

Counterparty J

 

 

390,316 

 

 

 -

 

 

(390,316)

 

 

 -

Counterparty K

 

 

571,817 

 

 

 -

 

 

 -

 

 

571,817 

Counterparty L

 

 

131,950 

 

 

 -

 

 

(131,950)

 

 

 -



 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

1,697,861 

 

$

 -

 

$

(960,563)

 

$

737,298 



 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

Amounts Not Offset in the Statements of Financial Condition

 

 

 

Counterparty

 

 

Net amounts of liabilities
presented in the Statements
of Financial Condition

 

 

Financial Instruments

 

 

Collateral Pledged(1)(2)

 

 

Net Amount (4)



 

 

 

 

 

 

 

 

 

 

 

 

Counterparty I

 

$

4,498 

 

$

 -

 

$

(4,498)

 

$

 -



 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

4,498 

 

$

 -

 

$

(4,498)

 

$

 -



 

 

 

 

 

 

 

 

 

 

 

 

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is

guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.

(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets and liabilities presented in the Statements

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 September 30, 2020.

(4) Net amount represents the amounts owed by the Trust to each counterparty as of September 30, 2020.







Offsetting of derivative assets and liabilities at December 31, 2019







 

 

 

 

 

 

 

 

 



 

 

Gross amounts of
recognized assets

 

 

Gross amounts offset in
the Statements of Financial
Condition

 

 

Net amounts of assets
presented in the Statements
of Financial Condition

Assets

 

 

 

 

 

 

 

 

 

Futures contracts

 

 

 

 

 

 

 

 

 

Counterparty C

 

$

714,978 

 

$

(353,946)

 

$

361,032 

Counterparty I

 

 

1,424,901 

 

 

(963,483)

 

 

461,418 

Counterparty J

 

 

530,676 

 

 

(209,103)

 

 

321,573 



 

 

 

 

 

 

 

 

 

Total assets

 

$

2,670,555 

 

$

(1,526,532)

 

$

1,144,023 



 

 

 

 

 

 

 

 

 



 

 

Gross amounts of
recognized liabilities

 

 

Gross amounts offset in
the Statements of Financial
Condition

 

 

Net amounts of liabilities
presented in the Statements
of Financial Condition

Liabilities

 

 

 

 

 

 

 

 

 

Forward currency contracts

 

 

 

 

 

 

 

 

 

Counterparty G

 

$

2,968,600 

 

$

(2,080,697)

 

$

887,903 

Counterparty K

 

 

2,324,795 

 

 

(1,980,704)

 

 

344,091 



 

 

 

 

 

 

 

 

 

Total liabilities

 

$

5,293,395 

 

$

(4,061,401)

 

$

1,231,994 



 

 

 

 

 

 

 

 

 







 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

Amounts Not Offset in the Statements of Financial Condition

 

 

 

Counterparty

 

 

Net amounts of assets
presented in the Statements
of Financial Condition

 

 

Financial Instruments

 

 

Collateral Received(1)(2)

 

 

Net Amount(3)



 

 

 

 

 

 

 

 

 

 

 

 

Counterparty C

 

$

361,032 

 

$

 -

 

$

(361,032)

 

$

 -

Counterparty I

 

 

461,418 

 

 

 -

 

 

(461,418)

 

 

 -

Counterparty J

 

 

321,573 

 

 

 -

 

 

(321,573)

 

 

 -



 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

1,144,023 

 

$

 -

 

$

(1,144,023)

 

$

 -



 

 

 

 

 

 

 

 

 

 

 

(continued)



 

 

 

 

 

Amounts Not Offset in the Statements of Financial Condition

 

 

 

Counterparty

 

 

Net amounts of liabilities
presented in the Statements
of Financial Condition

 

 

Financial Instruments

 

 

Collateral Pledged(1)(2)

 

 

Net Amount (4)



 

 

 

 

 

 

 

 

 

 

 

 

Counterparty G

 

$

887,903 

 

$

 -

 

$

(887,903)

 

$

 -

Counterparty K

 

 

344,091 

 

 

 -

 

 

(344,091)

 

 

 -



 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

1,231,994 

 

$

 -

 

$

(1,231,994)

 

$

 -



 

 

 

 

 

 

 

 

 

 

 

(concluded)



 

 

 

 

 

 

 

 

 

 

 

 

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is

guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.

(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements 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, 2019.

(4) Net amount represents the amounts owed by the Trust to each counterparty as of December 31, 2019.



 

 

 

 

 

 

 

 

 

 

 

 

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 Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and trading counterparties which the Managing Owner believes to be creditworthy. In addition, for OTC forward currency contracts, the Trust 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 Trust’s forward currency trading activities are cleared through DB and BA. The Trust’s concentration of credit risk associated with DB or BA 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 BA. The amount of such credit risk was $10,164,977 and $11,312,516 at September 30, 2020 and December 31, 2019, respectively.

11

 


 





4. PROFIT SHARE

 

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2020 and 2019. Profit share earned (from Unitholders' redemptions) is credited to the New Profit Memo Account as defined in the Trust’s Declaration of Trust and Trust Agreement (the “Trust Agreement”).







 

 

 

 

 

 

 

 



 

Three months ended:



 

September 30,

 

 

 

September 30,



 

2020

 

 

 

2019

Profit share earned

 

$

 -

 

 

 

$

2,066 

Reversal of profit share (1)

 

 

 -

 

 

 

 

(50,837)

Profit share accrued

 

 

 -

 

 

 

 

56,770 

Total profit share

 

$

 -

 

 

 

$

7,999 



 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 



 

Nine months ended:



 

September 30,

 

 

 

September 30,



 

2020

 

 

 

2019

Profit share earned

 

$

 -

 

 

 

$

4,373 

Profit share accrued

 

 

 -

 

 

 

 

56,770 

Total profit share

 

$

 -

 

 

 

$

61,143 



 

 

 

 

 

 

 

 

(1) On July 1st

 

 

 

 

 

 

 

 









5. RELATED PARTY TRANSACTIONS

 

The Trust pays all routine expenses, such as legal, accounting, printing, postage and similar administrative expenses (including the Trustee's fees, the charges of an outside accounting services agency and the expenses of updating the Trust's Prospectus), as well as extraordinary costs. At September 30, 2020 and December 31, 2019, the Managing Owner is owed $46,946 and $0, respectively, from the Trust in connection with such expenses it has paid on the Trust's behalf (and is included in "Due to Managing Owner" in the Statements of Financial Condition).

 

Series 1 Unitholders who redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the Managing Owner. There was no redemption charge payable at September 30, 2020 or December 31, 2019.

 

6. FINANCIAL HIGHLIGHTS

 

Per unit operating performance for Series 1, Series 3, Series 4 and Series 5 Units is calculated based on Unitholders’ Trust capital for each Series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of Units during the period. Weighted average number of Units for each Series is detailed below:









 

 

 

 

 

 

 

 

 



Three months ended September 30,

 

Nine months ended September 30,

 

Date of first issuance



2020

 

2019

 

2020

 

2019

 

 



 

 

 

 

 

 

 

 

 

Series 1

77,958.935

 

94,549.262

 

82,447.974

 

101,575.866

 

July 23, 2001

Series 3

16,515.658

 

19,546.843

 

18,373.159

 

19,488.635

 

September 1, 2009

Series 4

4,240.497

 

3,933.038

 

4,282.292

 

3,903.687

 

November 1, 2010

Series 5

3,292.362

 

1,485.642

 

3,259.021

 

1,110.803

 

April 1, 2018





12

 


 





 



7. BROKERAGE AND CUSTODIAL FEES

  

Per the Trust agreement, selling agents are prohibited from receiving amounts in excess of 9.5% of the gross offering proceeds of Series 1 Units sold subsequent to August 12, 2009. During the three and nine months ended September 30, 2020 and 2019,  the Managing Owner rebated to the Trust for the benefit of all holders of Series 1 Units, all amounts that would have otherwise been due to selling agents but for the 9.5% cap. Further, in certain cases, there are Series 1 Units that remain outstanding, where there is no longer a selling agent associated with such Units. Beginning in August 2014, the Managing Owner rebated such amounts to the Trust for the benefit of all holders of Series 1 Units. The total amounts rebated to the Trust for both of these items, included in “Brokerage and custodial fees” in the Statements of Operations, were as follows:





 

 

 

 

 

 

 



 

 

 

 

 

 

 



Three months ending September 30,

 

Nine months ending September 30,



2020

 

2019

 

2020

 

2019



 

 

 

 

 

 

 

Brokerage fee rebates

$                138,657

 

$                142,050

 

$                403,515

 

$                414,145











8. SUBSEQUENT EVENTS



The Managing Owner has performed its evaluation of subsequent events from October 1, 2020 to November 12, 2020, 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 Trust's business, its results of operations depend on the Managing Owner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The Managing Owner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Trust'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 Trust and its past performance is not necessarily indicative of future results. The Managing Owner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Trust has a better likelihood of being profitable than in others.



LIQUIDITY AND CAPITAL RESOURCES

 

Units 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 Trust should not have a significant impact on its operations, as the Trust 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 Managing Owner’s trading positions should increase or decrease in approximate proportion to the size of the Trust.

   

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

 

The Trust trades futures, forward and spot contracts, and may trade swap and options contracts, on interest rates, agricultural commodities, currencies, metals, energy and stock indices and forward contracts on currencies. 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 Managing Owner 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 Managing Owner attempts to control credit risk by causing the Trust to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.



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

   

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

   

The Trust’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 Trust’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 Trust is assigned a position in the underlying future which is then settled by offset. The Trust’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 Trust’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 Trust’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 Trust’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 Trust is likely to suffer losses.

   

The Trust’s assets are generally held as cash or cash equivalents, including short-term U.S. government obligations, which are used to margin the Trust’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 Trust’s futures, forward and spot trading, the Trust’s assets are highly liquid and are expected to remain so.

   

During its operations for the three and nine months ended September 30, 2020, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.



CRITICAL ACCOUNTING ESTIMATES

 

The Trust records its transactions in futures, forwards 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 Trust 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 Trust may be in between these periods. The Managing Owner’s policy to determine fair value for forward currency contracts involves first calculating the Months to Maturity then identifying Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The Managing Owner 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 Trust’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.



Series 1 Units, which were initially issued simply as “Units” beginning in July 23, 2001, were the only Series of Units available prior to 2009. Series 3 Units were first issued on September 1, 2009, Series 4 Units were first issued on November 1, 2010 and Series 5 Units were first issued on April 1, 2018. The Trust’s past performance is not necessarily indicative of how it will perform in the future.

















 

 

 

 

 

Periods ended September 30, 2020



 

 

 

 

 

Month Ended:

 

 

 

 

Total Trust
Capital



 

 

 

 

 

September 30, 2020

 

 

 

$

117,334,725 

June 30, 2020

 

 

 

 

121,276,045 

December 31, 2019

 

 

 

 

159,810,538 



 

 

 

 

 



 

 

 

 

 

 

 

Three Months ended

 

 

Nine Months ended

Change in Trust Capital

$

(3,941,320)

 

$

(42,475,813)

Percent Change

 

(3.25)%

 

 

(26.58)%





THREE MONTHS ENDED SEPTEMBER 30, 2020

 

The decrease in the Trust’s net assets of $3,941,320 was attributable to redemptions of $7,441,093, which were partially offset by subscriptions of $252,653 and net income after profit share of $3,247,120.

 

Brokerage fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2020 decreased $541,185 (net of Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2019 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

 

Administrative expenses for the three months ended September 30, 2020 decreased  $181,971 relative to the corresponding period in 2019. The decrease was due mainly to a decrease in the Trust's net assets during the three months ended September 30, 2020 relative to the corresponding period in 2019.



Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended September 30, 2020 decreased  $19,295 relative to the corresponding period in 2019 due to mainly a decrease in the Trust’s Series 3 net assets during the respective periods.



Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended September 30, 2020 decreased $682,310 relative to the corresponding period in 2019. This decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended September 30, 2020.

 

During the three months ended September 30, 2020,  the Trust experienced net realized and unrealized gains of $4,642,173 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $1,387,446 administrative expenses of $209,136, custody fees and other expenses of $7,862 and management fees of $140,927 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $211,661, and Managing Owner commission rebate to Unitholders of $138,657 were partially offset by the Trust's expenses, resulting in net income after profit share to the Managing Owner of $3,247,120. An analysis of the trading gain (loss) by sector is as follows:







 

 

 

 

Sector

 

 

% Gain (Loss) of Trust Capital

 

Currencies

 

 

1.63 

%

Energies

 

 

0.49 

%

Grains

 

 

(0.34)

%

Interest rates

 

 

(1.39)

%

Livestock

 

 

0.04 

%

Metals

 

 

0.45 

%

Softs

 

 

0.01 

%

Stock indices

 

 

3.08 

%



 

 

 

 

Trading gain

 

 

3.97 

%







NINE MONTHS ENDED SEPTEMBER 30, 2020



The decrease in the Trust’s net assets of $42,475,813 was attributable to redemptions of $23,892,452 and net loss after profit share of $22,155,675, which were partially offset by subscriptions of $3,572,314.



Brokerage fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2020 decreased $1,653,285 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2019 due to a decrease in the Trust’s Series 1 net assets during the respective periods. 



Administrative expenses for the nine months ended September 30, 2020 decreased $192,365 relative to the corresponding period in 2019. The decrease was due mainly to a decrease in the Trust's net assets during the nine months ended September 30, 2020 relative to the corresponding period in 2019.



Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the nine months ended September 30, 2020 increased $3,430 relative to the corresponding period in 2019 due mainly to an increase in the Trust’s Series 5 net assets during the respective periods.

 

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the nine months ended September 30, 2020 decreased $1,587,733 relative to the corresponding period in 2019. This decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the nine months ended September 30, 2020 relative to the corresponding period in 2019.



During the nine months ended September 30, 2020,  the Trust experienced net realized and unrealized losses of $18,099,328 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $4,525,309, administrative expenses of $711,588, custody fees and other expenses of $21,481 and management fees of $465,530 were incurred. Interest income of $1,264,046, and Managing Owner commission rebate to Unitholders of $403,515 were partially offset by the Trust’s expenses resulting in net loss after profit share to the Managing Owner of $22,155,675.  An analysis of the trading gain (loss) by sector is as follows:









 

 

 

 

Sector

 

 

% Gain (Loss) of Trust Capital

 

Currencies

 

 

2.76 

%

Energies

 

 

3.57 

%

Grains

 

 

0.21 

%

Interest rates

 

 

(1.63)

%

Livestock

 

 

0.20 

%

Metals

 

 

0.12 

%

Softs

 

 

(0.19)

%

Stock indices

 

 

(15.80)

%



 

 

 

 

Trading loss

 

 

(10.76)

%



MANAGEMENT DISCUSSION –2020



Three months ended September 30, 2020



The Trust was profitable in the third quarter as gains from trading equity, energy and metal futures and currency forwards outpaced losses from trading interest rate and grain futures. Trading of soft commodity and livestock futures was nearly flat.



With global fiscal and monetary policy stances remaining accommodative, the economic rebound that commenced during the second half of the second quarter continued during July and August. By September, however, rising COVID-19 cases in many countries and ensuing restrictions, a tapering of fiscal support programs, uncertainty surrounding the upcoming U.S. presidential election, continued tensions between Beijing and Washington, and contentious Brexit talks led to a deceleration in economic momentum and increased turbulence in markets.



This economic environment, together with the fact that leading tech companies reported strong profits, was quite supportive of stock markets. Still, there were times when equities faced headwinds because of investors’ concerns about rising or elevated levels of coronavirus infections, the uneven pace of economic recovery and political risks. During the quarter, Millburn’s models successfully shifted between long and short positions. For example, both long and short positions in U.S. equity futures, especially for the NASDAQ, were profitable. Trading of the EAFE and emerging markets index futures were also profitable both long and short. Long positions in Chinese, Canadian, French, German and Swedish index futures added to the gains, as did short VIX and Spanish futures trades. On the other hand, short Japanese stock index futures positions, a long British futures position and trading of the Australian index future registered partially offsetting losses.



Throughout the quarter, crude oil prices traded in a $6 band around $40/barrel. Production control efforts from both The Organization of the Petroleum Exporting Countries (“OPEC”) and non-OPEC producers and signs of economic reopening undergirded prices while the demand destruction from the COVID-19 pandemic restrained any upward impulse. Short positions in WTI crude oil, heating oil and London gasoil and trading of Brent crude oil were each fractionally profitable. A long RBOB gasoline position was also profitable in September. On the other hand, a short natural gas position posted a partially offsetting loss. Natural gas prices, after plumbing 10-year lows in the wake of the pandemic and a stubborn supply overhang, were boosted in August by strong cooling demand due to an extraordinarily hot summer in the U.S.; rising industrial demand as economies gradually emerged from lockdown; and from short covering as Hurricane Laura produced a surprise hit on critical natural gas export infrastructure.

 

For most of the quarter, a weaker U.S. dollar, low interest rates and safe haven demand affected the precious metals markets. Long gold and silver positions were profitable. Silver also benefitted from increased industrial demand. Short copper and aluminum positions registered partially offsetting losses in July and August, and in September, a modest U.S. dollar rebound and weakening economic activity weighed on metal prices. The Partnership experienced small losses on long silver, zinc and gold positions, further reducing the sector’s quarterly gain.



From late March into mid-September the U.S. dollar fell about 10% in volatile trading. The interest rate differential that had previously favored the U.S. dollar collapsed as the Federal Reserve (“Fed”) cut policy rates to near zero. Numerous other Fed programs, including expanded swap lines, reduced an emerging U.S. dollar shortage. The potential of the passage of a joint European fiscal program led to euro strength versus the U.S. dollar. Rising uncertainty concerning the upcoming U.S. presidential election and the strength of U.S. growth relative to that abroad also affected enthusiasm for the U.S. Dollar. In September, however, the U.S. dollar did recover somewhat during the risk-off environment that characterized most of the month. Overall, short U.S. dollar positions versus euro, yen, Indian rupee, South African rand, Singapore dollar and New Zealand dollar were profitable in July and August. A short Mexican peso trade was profitable in September. A long sterling trade was profitable in July and a short sterling trade was profitable in September. Elsewhere, trading the U.S. dollar against the Russian and Polish currencies produced partially offsetting losses, especially during September.



Interest rates were volatile during the quarter. Accommodative monetary policy, declining inflation and shrinking economies globally kept downward pressure on interest rates for most of the period, although interest rates did poke higher intermittently.  In August, concern about the ability of governments to fund burgeoning fiscal deficits and debt, and about the potential for future increases in inflation, underscored by the announcement of the Fed’s new long-run policy framework, pushed up global interest rates and led to a steeper yield curve in the U.S. Then, after drifting lower again, rates spiked higher in late September in the wake of the U.S. presidential debate and after Bank of England officials declined to embrace negative interest rates. Overall, trading of German, British, Australian, Canadian and U.S. interest rate futures was unprofitable. Long positions in Italian interest rate futures registered a partially offsetting profit.



Grain trading was fractionally unprofitable during the quarter. The possibility that severely hot weather in the U.S. Midwest could reduce crop yields together with Chinese buying of soybeans and a declining U.S. dollar pushed up grain prices. Short corn, wheat, soybean meal and soybean oil positions posted losses, especially during August and September. Meanwhile, a long soybean trade posted a partially offsetting profit in September.



Three months ended June 30, 2020 

 

The Trust was profitable in the second quarter as gains from long equity and interest rate futures positions and from trading currency forwards and grain futures outdistanced losses from trading energy, metal and soft commodity futures.

 

The sentiment of equity market participants improved continuously throughout the quarter in response to a steady stream of aggressive monetary and fiscal policy actions from global authorities—especially in the U.S.; surprising improvements in economic activity as economies cautiously reopened; and sporadic encouraging news concerning COVID-19 therapies and vaccines. But this overall attitude improvement was muted periodically-- and especially during the second half of June—by: evidence of new COVID-19 hotspots such as Beijing, Germany, Australia, EM and several U.S. states; the statistical reports on growth and unemployment; and the expanding tensions between the U.S. (and other western countries) and China. Long positions in U.S. equity futures were particularly profitable, although long positions in German, French, Dutch, Chinese, Taiwanese and Korean stock futures added to the gains. A short U.K. FTSE position and trading of the Canadian equity future were also profitable, as was a short VIX trade in May. On the other hand, short positions in Japanese, Australian, Italian and Spanish equity futures and trading of the EAFE and emerging market index futures posted partially offsetting losses.



Long interest rate futures positions were profitable during the quarter. Strongly accommodative monetary policies, a plunge in global growth, and disinflationary impulses worldwide restrained interest rates across yield curves. Safe haven buying of government securities also placed

downward pressure on rates. Not even the extraordinary fiscal policy efforts leading to unprecedentedly large deficits and debt/GDP levels across the globe were able to boost borrowing cost more than temporarily. Long positions in U.S., Canadian, German, French, Italian and British interest rate futures were profitable, while a long Japanese government bond future position was unprofitable.



The U.S. dollar traded in a narrow range from the start of April until mid-May, fell about 5% into early June and edged up a bit into the end of the quarter, and long euro and Swiss franc positions versus the U.S. dollar were profitable. Long positions in high yielding Polish and South African currencies relative to the U.S. dollar also produced gains. A long New Zealand dollar trade was profitable against a supportive domestic backdrop that has seen the New Zealand government announce a complete end to COVID-19 restrictions due to the virtual eradication of the virus in the country. Trading the U.S. currency against the Brazilian real, Singapore dollar and Turkish lira was also



profitable during the quarter. On the other hand, the Aussie dollar, which had fallen sharply during the first quarter of 2020, rebounded in April and a short position was unprofitable. Long U.S. dollar trades versus the currencies of Norway, Chile and Colombia were also unprofitable.

 

Ample grain supplies globally continue to weigh on prices and short wheat positions and trading of corn were profitable in June. A reduction in demand for corn to make ethanol pushed stockpiles higher. Meanwhile, trading of the soybean complex was slightly unprofitable.

 

Energy markets were buffeted by conflicting forces during the second quarter. On the one hand, the massive COVID-19 demand shock saw a collapse of WTI prices from near $61/barrel at the start of 2020 to only $12/barrel near the end of April—having actually fallen briefly below zero in mid-April. On the other hand, supply reductions from the Organization of the Petroleum Exporting Countries (“OPEC”) via agreements and from non-OPEC producers in response to plunging market prices helped prices to recover sharply in May and June to around $40/barrel, as market participants were encouraged by signs of economic reopening. Overall, losses from trading WTI crude, Brent crude, RBOB gasoline and heating oil outpaced a small profit from a short natural gas trade.

 

Copper prices, which had fallen sharply earlier this year, rebounded during the quarter among a weaker U.S. dollar and encouraging signs of economic reopening, particularly from Asia, and the Trust’s short copper positions were unprofitable. Short positions in other industrial metals—aluminum, nickel, zinc, and platinum—also registered losses and were reduced or reversed. The Trust saw a gain on a long gold position in April. Trading of silver was also fractionally profitable.

 

Finally, trading of sugar and cotton futures were each slightly unprofitable.



Three months ended March 31, 2020



The Trust posted a sizable loss in the first quarter as the COVID-19 pandemic and its economic impacts spread across the globe, roiling financial and commodity markets. The onset of the oil price war between Saudi Arabia and Russia in early March added significantly to the market turmoil. Losses from long equity futures positions and, to a much lesser extent, from trading interest rate and metal futures far outpaced the profits from trading energy futures, currency forwards and soft and agricultural commodity futures. 

 

Equity futures, which had been underpinned early in January by the U.S.-China trade deal, accommodative global monetary policy and the conservative election victory in Great Britain, collapsed as COVID-19 spread from China to the Middle East to Europe to the U.S.A. and became a global pandemic. As the potential scope and duration of the damage to global demand became evident, the selling of equities and other financial investments cascaded violently. In response, strong, coordinated and unprecedented monetary and fiscal measures were implemented by countries across the globe. For example in the U.S., the Federal Reserve (the “Fed”), at two emergency meetings, cut interest rates by 1.5% to near zero; the Fed also expanded the magnitude and scope of its QE, swap lines and other lending facilities well beyond that seen during the Global Financial Crisis; and a fiscal stimulus package measured at about 10% of GDP was assembled in about a week and was added to two smaller packages announced early in March. While these policy efforts did give a fillip to financial markets and help to stabilize them, the damage to equity prices and markets remained large. Broad-based losses were sustained on a short VIX trade and on long positions in U.S., Canadian, European, British, Japanese, non-Japan Asian and emerging markets equity index futures, especially in the second half of the quarter. 

 

Interest rates on government debt were buffeted by a variety of cross currents during the quarter including: the actual and anticipated negative impact of the pandemic on global growth; a flight to safety that boosted demand for government debt; a rush for liquidity and U.S. dollars that at times led to a forced liquidation of government debt; 27 central banks cutting official rates 68 times during March, according to centralbankrates.com; and central banks creating numerous massive liquidity provision and QE programs in order to stabilize struggling financial markets globally. Overall, short positions in U.S., German and Canadian note and bond futures posted losses and were reversed to long positions. Trading of British Gilts, long positions in French and Australian bond futures and a long position in the short-term Euribor future were also unprofitable, particularly in mid-March, when market participants sought liquidity. Long positions in short-term British, Italian and U.S. dollar interest rate futures and in Japanese government bond futures produced partially offsetting profits. A long position in the 5-year U.S. note in January was also profitable. 

 

Metal trading was fractionally unprofitable. Industrial metal prices declined and the price of silver, which had been supported for a time as a safe haven precious metal, succumbed to profit-taking and to a dramatic weakening in industrial demand and a long position was unprofitable. 



A long platinum position was also unprofitable. On the other hand, short copper, aluminum, nickel and zinc positions were profitable and a long gold trade also posted a gain. 

 

Oil prices fell to their lowest levels in 17 years as demand collapsed due to shelter-in-place orders, travel bans and other efforts to mitigate the pandemic, and as supply surged due to the unrelenting price war between Saudi Arabia and Russia. The price of WTI crude oil, which had eased down from $61/barrel at the end of 2019 to about $54/barrel on February 20, plunged precipitously thereafter, falling to under $20/barrel on March 30. Short positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, heating oil and natural gas were highly profitable, particularly in March. 







 

Foreign exchange rates were buffeted by a variety of cross currents from interest rate, liquidity, safe haven and energy price influences during the quarter. Performance in these instruments was mixed but slightly profitable. Long U.S. dollar trades against the Brazilian real, Russian ruble, Aussie dollar and a few other emerging market currencies were profitable. A long euro/short Norway trade was also profitable in the wake of the oil price collapse. On the other hand, long U.S. dollar trades versus the euro, yen, Singapore dollar, and Swedish krona were unprofitable, as was trading versus the British, Canadian, Indian, South African, Norwegian, Polish and New Zealand currencies. 

 

Trading of soft and agricultural commodity futures was fractionally profitable. 





 

 

 

 

 

Periods ended September 30, 2019



 

 

 

 

 

Month Ended:

 

 

 

 

Total Trust
Capital



 

 

 

 

 

September 30, 2019

 

 

 

$

156,759,932 

June 30, 2019

 

 

 

 

160,231,109 

December 31, 2018

 

 

 

 

174,548,246 



 

 

 

 

 



 

 

 

 

 

 

 

Three Months ended

 

 

Nine Months ended

Change in Trust Capital

$

(3,471,177)

 

$

(17,788,314)

Percent Change

 

(2.17)%

 

 

(10.19)%

 

THREE MONTHS ENDED SEPTEMBER 30, 2019

 

The decrease in the Trust’s net assets of $3,471,177 was attributable to redemptions of $5,127,424, which were partially offset by subscriptions of $1,584,988 and net income after profit share of $71,259.

   

Brokerage and custodial fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage and custodial fees for the three months ended September 30, 2019 decreased $479,949 (net of Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2018 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

   

Administrative expenses for the three months ended September 30, 2019 increased $115,626 relative to the corresponding period in 2018. The increase was due mainly to an increase in the Trust's accrual estimate for third party professional services during the three months ended September 30, 2019 relative to the corresponding period in 2018.

 

Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended September 30, 2019 increased $21,177 relative to the corresponding period in 2018 due to an increase in the Trust’s Series 3 and Series 5 net assets during the respective periods.

 

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended September 30, 2019 increased $68,928 relative to the corresponding period in 2018. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended September 30, 2019.

   

During the three months ended September 30, 2019, the Trust experienced net realized and unrealized gains of $1,533,861 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $1,932,024 administrative expenses of $391,107, custody fees and other expenses of $7,271 and management fees of $160,222 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $893,971, and Managing Owner commission rebate to Unitholders of $142,050 were partially offset by the Trust's expenses and profit share of $7,999, resulting in net income after profit share to the Managing Owner of $71,259. An analysis of the trading gain (loss) by sector is as follows:





























 

 

 

 

Sector

 

 

% Gain (Loss) of Trust Capital

 

Currencies

 

 

0.23 

%

Energies

 

 

(1.68)

%

Grains

 

 

0.39 

%

Interest rates

 

 

0.34 

%

Livestock

 

 

(0.10)

%

Metals

 

 

(0.18)

%

Softs

 

 

0.17 

%

Stock indices

 

 

1.98 

%



 

 

 

 

Trading gain

 

 

1.15 

%



NINE MONTHS ENDED SEPTEMBER 30, 2019

 

The decrease in the Trust’s net assets of $17,788,314 was attributable to redemptions of $23,359,038, which were partially offset by subscriptions of $4,776,770 and net income after profit share of $793,954.

 

Brokerage and custodial fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage and custodial fees for the nine months ended September 30, 2019 decreased $1,406,898 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2018 due to a decrease in the Trust’s Series 1 net assets during the respective periods. 

 

Administrative expenses for the nine months ended September 30, 2019 increased $60,111 relative to the corresponding period in 2018. The increase was due mainly to an increase in the Trust's accrual estimate for third party professional services during the nine months ended September 30, 2019 relative to the corresponding period in 2018.

 

Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the nine months ended September 30, 2019 increased $47,882 relative to the corresponding period in 2018 due to an increase in the Trust’s Series 3 and Series 5 net assets during the respective periods.

   

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Partially offset by a decrease in average net asset value during the period, interest income for the nine months ended September 30, 2019 increased $691,646 relative to the corresponding period in 2018. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2019 relative to the corresponding period in 2018.

 

During the nine months ended September 30, 2019, the Trust experienced net realized and unrealized gains of $5,167,327 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $6,189,224 administrative expenses of $903,953, custody fees and other expenses of $22,877 and management fees of $462,100 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $2,851,779, and Managing Owner commission rebate to Unitholders of $414,145 were partially offset by the Trust's expenses and profit share of $61,143, resulting in net income after profit share to the Managing Owner of $793,954. An analysis of the trading gain (loss) by sector is as follows:





 

 

 

 

Sector

 

 

% Gain (Loss) of Trust Capital

 

Currencies

 

 

(1.06)

%

Energies

 

 

(4.25)

%

Grains

 

 

1.18 

%

Interest rates

 

 

5.24 

%

Livestock

 

 

0.01 

%

Metals

 

 

(0.50)

%

Softs

 

 

0.11 

%

Stock indices

 

 

2.41 

%



 

 

 

 

Trading gain

 

 

3.14 

%







MANAGEMENT DISCUSSION –2019



Three months ended September 30, 2019 

 

The Trust was slightly profitable during the quarter as gains from trading stock index, interest rate, grain and soft commodity futures, and currency forwards outpaced losses from trading energy, metal and livestock futures.

 

Financial and commodity market participants rode a risk roller coaster during the quarter. Whenever there was an escalation of the U.S.-China trade war, evidence of slowing global growth and trade, rising Brexit uncertainty, increasing geopolitical tension—such as in Hong Kong, India/Pakistan, Japan/Korea, Iran/U.S., Saudi Arabia/Iran, Argentina, Russia—or mounting political tensions in the U.S., risk appetites would recede. On the other hand, whenever these factors calmed or whenever global central banks, led by the Federal Reserve, would lower interest rates or emphasize their preferences for easier policy stances, risk appetites would expand.

 

Continuing the trend started earlier this year, central banks around the globe reduced interest rates 56 times versus only 6 increases during the third quarter. Despite a few bouts of selling during the quarter, trading of equity futures was profitable overall, including gains from long positions in European, U.S., British, Taiwanese, Singaporean and the Japanese Nikkei futures indices. Also, during the August selloff, short positions in the Emerging Market, Korean Kospi, S&P 400 and Japanese Topix indices posted gains. A short VIX trade was also profitable. On the other hand, trading of Chinese, Hong Kong, Thai, Australian and the Russell equity indices registered partially offsetting losses.

 

Interest rates were volatile during the period as evidenced by the 10-year U.S. rate that fell from about 2% on July 1st to 1.47% on September 3rd, rebounded to 1.9% on September 13th before closing the quarter at 1.68% on September 30th.  Long positions in Italian interest rate futures were profitable as investors sought out higher Italian yields. Short positions in U.K. interest rate futures were profitable as yields rose on Brexit worries in September. Trading of the U.S. long bond was also profitable. On the other hand, during August when risk aversion was at its highest, demand for government securities pushed yields down sharply. The magnitude and speed of the declines in interest rates combined with inverted yield curves prompted our trading models to take counter trend positions, looking for a bounce back in yields. As yields continued to fall, the Trust sustained sizable losses on our short interest rate futures positions as yields.  Subsequently, short positions in German, French, U.K., Japanese, U.S., Canadian and Australian interest rate futures were unprofitable. On balance then for the quarter, interest rate trading produced only a fractional gain.

 

The U.S. dollar index gained about 2% during the quarter, but followed a volatile, jagged, saw-toothed path to this gain. Consequently, currency sector results were mixed and only fractionally positive. Long U.S. dollar positions against the currencies of Japan, the euro, Switzerland, Sweden, Australia, New Zealand and India, and trading versus the Turkish lira were profitable.  Conversely, trading the U.S. dollar relative to the Canadian, Mexican, Norwegian, Polish, Russian and South African currencies, and trading the euro against the Norwegian and Polish currencies produced largely offsetting losses.  

 

Energy prices were volatile during the quarter. They were depressed by the trade and global growth worries, particularly during August; soared in mid-September after the apparently devastating attack on Saudi production and export facilities; and collapsed thereafter when after-attack reports showed the actual damage to be easily managed. Overall, long positions in Brent crude, WTI crude, RBOB gasoline, heating oil and London gas oil were unprofitable. A short natural gas trade was also unprofitable, particularly in August and early September, driven by a short covering price rally.

 

Trade policy impacts and large grain inventories and harvests weighed on grain prices, especially in July and August. Consequently, short corn and wheat positions and trading of soybeans were profitable, prices lifted late in the quarter reducing profits somewhat. Short coffee, sugar and cotton trades were also marginally profitable during the July-September period. Meanwhile trading of livestock was marginally unprofitable.

 

Trading of silver futures produced a fractional loss that marginally outweighed the small profits from a long nickel position and from short zinc and aluminum trades.



Three months ended June 30, 2019 

 

The Trust was nearly flat for the quarter as profits from trading interest rate, grain and livestock futures only slightly outpaced losses from trading energy and soft commodity futures, and currency forwards. Trading of stock index and metal futures were essentially flat. 

 

The economic outlook, which had improved significantly in April, deteriorated quickly and sharply beginning in early May after Presidents Trump and Xi Jinping unexpectedly dashed hopes that a trade deal was close to being signed and instead ramped up the trade confrontation to the level of a trade war. This development, continuing Brexit uncertainty, and disappointing economic data during May and June out of the U.S., China, Europe, and several large emerging economies pushed organizations such as the International Monetary Fund, World Bank and Organization for Economic Co-operation and Development to cut their 2019 global growth forecasts. The escalating U.S.-Iran conflict, including tanker attacks in the Strait of Hormuz and the shooting down of an American drone, further clouded the economic outlook. In response, the Federal Reserve (the “Fed”), the European Central Bank, and the Bank of Japan suggested that they were prepared to loosen their monetary policy positions if circumstances warranted. Indeed, a number of other central banks, including the People’s Bank of China, did cut





official interest rates, reduced reserve requirements and/or took other actions to support flagging growth. Also, market participants seemed to expect at least a ceasefire on the trade front emerging from the end-June Osaka G-20 meeting between Presidents Trump and Xi Jinping.



Against this background it is not surprising that equity prices vacillated widely and that trading of equity futures finished the quarter nearly flat after being profitable in April, quite unprofitable in May and profitable again in June. Overall, long positions in Dutch, French, British, Australian, Canadian, Thai and Singaporean equity futures were profitable. A short position in Korean futures and trading of South African futures were also profitable. Short volatility index trades registered gains too. On the other hand, long positions in U.S., Chinese, Hong Kong, Taiwanese, German and Swedish equity futures were unprofitable, especially in May. Trading of EAFE, EURO STOXX 50, and Japanese equity futures were unprofitable as well.  

 

The combination of trade uncertainties, chaotic Brexit discussions, slowing growth, dormant inflation and actual and prospective central bank policy easing led to increased demand for government notes and bonds. For example, yields on Italian 10-year bonds, which had been supported in the run-up to European elections by the wrangling between Italy’s coalition government and the European Commission over mounting debt levels, dropped markedly from near 2.7% at the end of May to about 2.15% at the end of June. Consequently, long positions in Italian interest rate futures were quite profitable. Long positions in French and U.K. bond futures and in Eurodollar futures added to the gains. A short Japanese government bond position and trading of U.S. long bond and 2-year note futures were also profitable. Conversely, short positions in German, Australian and Canadian note and bond futures, a short position in U.S. 10-year note futures, and long positions in short-term Euribor and sterling rate futures produced partially offsetting losses.

 

Although trade disputes and the African swine fever depressed grain prices for most of 2019, extreme weather in the U.S. during May and June, which delayed planting of and may hinder the development and/or harvesting of corn and soybean crops, pushed grain prices up sharply during the second half of the quarter. Consequently, long corn and soybean trades were profitable later in the period. Trading of livestock futures was profitable as well.

 

Energy prices were quite volatile during the quarter. For the first four months of 2019 energy prices were underpinned by news that the U.S. would end waivers on Iranian crude oil exports, by the continued Organization of the Petroleum Exporting Countries effort to curtail production, and by the impact of the Libyan crisis on production. However, as the economic outlook deteriorated and as U.S. shale production pushed U.S. crude inventories to 2 year highs, crude oil prices fell over 20% from the 2019 highs reached in late April to 5 month lows in mid-June. Thereafter, the heightened U.S.-Iran tensions pushed prices sharply higher once again. A long Brent crude oil position was unprofitable, especially in May. Trading of WTI crude oil and of London gas oil was also unprofitable. A long RBOB gasoline trade was profitable, especially after a U.S. East coast refinery fire in June reduced supplies for the immediate future. A short natural gas trade was profitable too as gas supplies remained ample. 

  

Currency trading was also volatile and unprofitable during the quarter. Early on the U.S. dollar was supported by solid growth, safe haven demand and high relative interest rates. Political uncertainties in Europe, the U.K., Sweden, India, and Australia also underpinned the U.S. currency. Later in the period, however, worries that growth was slowing caused U.S. market interest rates to decline and prompted the Fed to indicate that it would ease policy if necessary, and these facts depressed the U.S. currency. The resolution of the aforementioned political doubts in a favorable way also led to some U.S. dollar sales. Long U.S. dollar trades versus the Aussie and New Zealand dollars, the euro and Japanese yen, and short dollar positions against the pound sterling and Brazilian real posted losses. On the other hand, short U.S. dollar trades against the Canadian dollar, Indian rupee, Russian ruble and Turkish lira, and long U.S. dollar positions versus the Swiss, Swedish and Korean currencies produced partially offsetting profits. 

 

Finally, trading of cotton futures was marginally unprofitable and trading of metal futures was marginally profitable. 



Three months ended March 31, 2019 

 

After a quarter of significant economic and political uncertainty that tended to mute position sizes, the Trust was profitable in the first quarter of 2019 as gains from trading interest rate and, to a lesser extent, equity futures outpaced losses from trading energy futures and currency forwards. Trading of non-energy commodities was essentially flat.

  

An unexpectedly dovish pivot by global central banks—especially the Federal Reserve (the “Fed”) and European Central Bank, indications of slowing growth globally, slackening inflation pressures in Europe, China and the U.S. and persistent uncertainties around Brexit and U.S.-China trade negotiations supported demand for government fixed income investments. Against this backdrop, long positions in German, French, Italian, British, and Australian interest rate futures were profitable. A long position in the U.S. bond futures added to the sector gains. On the other hand, short positions in U.S. 2-, 5-, and 10-year note futures, short–term Eurodollar futures and Canadian futures resulted in partially offsetting losses. 

  

Equity markets were buffeted by opposing forces during the quarter. On the one hand, there were positive influences from a more accommodative global monetary policy environment and from supportive fiscal policy initiatives in China. On the other hand, there were negative influences from global growth worries, trade tensions and Brexit uncertainty. Despite these opposing conditions, global equity markets rebounded from the sharp selloff that occurred during the fourth quarter of 2018. While there were broad losses from short equity futures positions in January, the Trust’s trading strategy did subsequently swing to widespread long stock index futures positions as the quarter progressed, and the sector registered a fractional profit overall for the quarter. Long positions in U.S., Chinese, Hong Kong, emerging market,



and EAFE index futures were profitable. A short VIX trade also posted a gain. On the other hand, short positions in German, French, Spanish, British, Japanese, Australian, Singaporean, South African, Korean and the EURO STOXX index futures registered partially offsetting losses.



Energy prices, which had plunged during the fourth quarter of 2018, continued a rebound that began after Christmas and short energy futures positions were unprofitable, particularly in January. Energy prices were supported by the production cuts that were previously announced by the Organization of the Petroleum Exporting Countries (“OPEC”) and were running above target in early 2019 and by tightening sanctions on Venezuelan and Iranian exports. While long energy futures positions did produce profits later in the quarter, the sector was still unprofitable overall. Trading of Brent crude, WTI crude, heating oil and London gas oil were each unprofitable, while trading of RBOB gasoline and natural gas were flat.

  

The U.S. dollar traded in a volatile manner within a narrow 2% range during the quarter. Trading results were mixed and unprofitable. Short positions in the euro, Swiss franc, British pound, Aussie dollar and Canadian dollar versus the U.S. dollar were unprofitable. Long Korean won, Brazilian real, Colombian peso, Turkish lira and Russian ruble trades against the U.S. dollar and trading of the yen and Chilean peso were also unprofitable. Meanwhile, long Indian rupee and Mexican peso positions and a short Swedish krona trade against the U.S. unit produced partially offsetting gains, as did trading of the euro against other European currencies. 

  

Ample supplies weighed on grain prices and the profits from short corn and wheat trades slightly outweighed slight losses from trading soybeans and soy meal. The small profit from a short coffee position marginally outdistanced the loss from a short sugar trade.

  

Small losses from short gold, copper and nickel positions were fractionally greater than the gain from a short silver trade.



OFF-BALANCE SHEET ARRANGEMENTS

 

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

 

CONTRACTUAL OBLIGATIONS

 

The Trust 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 Trust’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 Trust for less than four months before being offset or rolled over into new contracts with similar maturities. The Trust’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Trust’s open futures and forward currency contracts, both long and short, at September 30, 2020.

 

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 

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

  

Materiality, as used in this section "Quantitative and Qualitative Disclosures About Market Risk," is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of the Trust's market sensitive instruments. 

 

Quantifying the Trust's Trading Value at Risk

 

Quantitative Forward-Looking Statements



The following quantitative disclosures regarding the Trust's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A)  of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

   

The Trust's risk exposure in the various market sectors traded by the Managing Owner is quantified below in terms of Value at Risk. Due to the Trust's mark-to-market accounting, any loss in the fair value of the Trust's open positions is directly reflected in the Trust's earnings (realized or

unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).





   

Exchange maintenance margin requirements have been used by the Trust as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed 95-99% of the maximum one-day losses in the fair value of any given contract incurred during the time period over which historical price fluctuations are researched for purposes of establishing margin levels. The maintenance margin levels are

established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

   

The Trust calculates Value at Risk for forward currency contracts that are not exchange traded using exchange maintenance margin requirements for equivalent or similar futures positions as the measure of Value at Risk.

   

In quantifying the Trust’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Trust’s positions are rarely, if ever, 100% positively correlated have not been reflected.



The Trust's Trading Value at Risk in Different Market Sectors



The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Trust's open positions by market category for the nine months ended September 30, 2020. During the nine months ended September 30, 2020, the Trust's average total capitalization was approximately $132,000,000.









 

 

 

 

 

 

 

 

 

Sector

 

 

Average value at risk

 

% of Average Capitalization

 

High value at risk

 

Low value at risk

Currencies

 

$

3.8

 

2.8% 

$

5.3

$

2.8

Energies

 

 

1.6

 

1.2% 

 

2.4

 

1.0

Grains

 

 

0.3

 

0.2% 

 

0.5

 

0.2

Interest rates

 

 

4.0

 

3.0% 

 

5.8

 

2.6

Livestock

 

 

0.0

 

0.0% 

 

0.0

 

0.0

Metals

 

 

0.9

 

0.7% 

 

1.1

 

0.5

Softs

 

 

0.2

 

0.2% 

 

0.2

 

0.2

Stock indices

 

 

4.3

 

3.3% 

 

6.9

 

2.3



 

$

15.1

 

11.4% 

 

 

 

 



Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for the nine months ended September 30, 2020. Average capitalization is the average of the Trust's approximate capitalization at the end of each of the nine months ended September 30, 2020. Dollar amounts represent millions of dollars.

 

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



The face value of the market sector instruments held by the Trust is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally range between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Trust. The magnitude of the Trust’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Trust to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Trust — give no indication of this “risk of ruin.”

 

Non-Trading Risk

 

The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.



The Trust also has non-trading cash flow risk as a result of holding a substantial portion (approximately 90%) of its assets in U.S. Treasury notes and other short-term debt instruments (as well as any market risk they represent) for margin and cash management purposes. Although the Managing Owner does not anticipate that, even in the case of major interest rate movements, the Trust would sustain a material mark-to-market loss on its securities positions, if short-term interest rates decline so will the Trust’s cash management income. The Trust also maintains a portion (approximately between 5% and 10%) of its assets in cash and in a U.S. government securities and related instruments money market fund. These cash balances are also subject (as well as any market risk they represent) to cash flow risk, which is not material.

 

Qualitative Disclosures

 

There have been no material changes in the qualitative disclosures about market risk since the end of the preceding fiscal year.

 

ITEM 4. CONTROLS AND PROCEDURES

 

The Managing Owner, 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 Trust as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the Managing Owner’s internal controls over financial reporting during the quarter ended September 30, 2020 that have materially affected, or are reasonably likely to materially affect, the Managing Owner’s internal controls over financial reporting with respect to the Trust.

 

PART II. OTHER INFORMATION



ITEM 1. LEGAL PROCEEDINGS



None.



ITEM 1A. RISK FACTORS

 

THE FAILURE OF COMPUTER SYSTEMS COULD RESULT IN LOSSES FOR THE TRUST



The strategies of the Managing Owner are dependent to a significant degree on the receipt of timely and accurate market data from third parties including, but not limited to, exchanges and clearing houses, futures commission merchants, prime brokers and other market counterparties and service providers. The receipt of inaccurate data or the failure to receive data in a timely manner could disrupt the Trust’s trading and cause the Trust to experience significant trading losses or miss opportunities for profitable trading.

 

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND THE USE OF PROCEEDS



(a)

There have been no sales of unregistered securities of the Trust during the three months ended September 30, 2020.



(b)

Pursuant to the Trust Agreement, Unitholders may redeem their Units at the end of each calendar month at then current month-end net asset value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding and Units are not reissued once redeemed.



The following table summarizes the redemptions by Unitholders during the three months ended September 30, 2020.

 





 

 

 

 

 

 

 

 

 

 

 

 

 



 

Series 1

Series 3

Series 4

Series 5

Date of
Redemption

 

Units Redeemed

 

NAV per Unit

Units Redeemed

 

NAV per Unit

Units Redeemed

 

NAV per Unit

Units Redeemed

 

NAV per Unit



 

 

 

 

 

 

 

 

 

 

 

 

 

July 31, 2020

 

1,027.659 

 $

1,039.72  588.309 

 $

1,539.14 

 -

 $

1,997.35  164.479 

 $

1,461.92 

August 31, 2020

 

1,580.070 

 

1,020.37  567.138 

 

1,515.66 

 -

 

1,969.76 

 -

 

1,438.72 

September 30, 2020

 

1,181.570 

 

1,036.87  648.016 

 

1,545.43  262.631 

 

2,011.37 

 -

 

1,466.06 

Total

 

3,789.299 

 

 

1,803.463 

 

 

262.631 

 

 

164.479 

 

 



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 Operating Officer

31.04 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 Operating Officer

32.04 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,

 

Managing Owner



 



 

 

Date: November 12, 2020

 

 

/s/ Michael W. Carter

 

 

Michael W. Carter

 

Vice-President

 

(Principal Accounting Officer)



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