NESTOR PARTNERS - FORM 10-Q

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EX-32.4 - EX-32.4 - NESTOR PARTNERS	c471-20210331xex32_4.htm
EX-32.3 - EX-32.3 - NESTOR PARTNERS	c471-20210331xex32_3.htm
EX-32.2 - EX-32.2 - NESTOR PARTNERS	c471-20210331xex32_2.htm
EX-32.1 - EX-32.1 - NESTOR PARTNERS	c471-20210331xex32_1.htm
EX-31.4 - EX-31.4 - NESTOR PARTNERS	c471-20210331xex31_4.htm
EX-31.3 - EX-31.3 - NESTOR PARTNERS	c471-20210331xex31_3.htm
EX-31.2 - EX-31.2 - NESTOR PARTNERS	c471-20210331xex31_2.htm
EX-31.1 - EX-31.1 - NESTOR PARTNERS	c471-20210331xex31_1.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


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

For the Quarterly Period Ended: March 31, 2021


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

Commission File Number: 000-50725

NESTOR PARTNERS

(Exact name of registrant as specified in its charter)


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

c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46th Street, 31st Floor

New York, NY 10036

(Address of principal executive offices) (Zip code)

(212) 332-7300

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


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



Nestor Partners
Financial statements
For the three months ended March 31, 2021 and 2020 (unaudited)

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

(a) At March 31, 2021 (unaudited) and December 31, 2020
(b) For the three months ended March 31, 2021 and 2020 (unaudited)


Nestor Partners
Statements of Financial Condition

		March 31, 2021 (unaudited)		December 31, 2020
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes − at fair value
(amortized cost $15,421,406 and $16,975,256)	$	15,426,604	$	16,975,076
Net unrealized appreciation on open futures and forward
currency contracts		604,399		3,349,977
Due from brokers, net		4,430,379		3,504,342
Cash denominated in foreign currencies (cost $6,637,569
and $3,606,813)		6,600,910		3,778,714

Total equity in trading accounts		27,062,292		27,608,109

INVESTMENTS IN U.S. TREASURY NOTES − at fair value
(amortized cost $84,988,942 and $84,618,660)		85,002,965		84,609,461

CASH AND CASH EQUIVALENTS		9,608,950		9,230,173

ACCRUED INTEREST RECEIVABLE		707,310		727,283

TOTAL	$	122,381,517	$	122,175,026

LIABILITIES AND PARTNERS' CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward
currency contracts	$	633,761	$	22,579
Accrued brokerage fees		180,090		194,550
Due to brokers, net		888,196		61
Accrued expenses		84,280		10,749
Capital withdrawals payable to Limited Partners		2,123,045		3,397,887
Capital withdrawals payable to General Partner		-		271
Accrued profit share		237		-

Total liabilities		3,909,609		3,626,097

PARTNERS' CAPITAL		118,471,908		118,548,929

TOTAL	$	122,381,517	$	122,175,026


See notes to financial statements (unaudited)


Nestor Partners
Condensed Schedule of Investments
March 31, 2021 (unaudited)

Futures and Forward Currency Contracts	Net Unrealized Appreciation/ (Depreciation) as a % of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	(0.33)	%	$	(386,650)
Grains	0.27			318,273
Interest rates	(0.58)			(683,030)
Metals	0.12			141,848
Softs	(0.01)			(13,990)
Stock indices	0.34			398,833

Total long futures contracts	(0.19)			(224,716)

Short futures contracts:
Grains	0.07			87,562
Interest rates	0.02			22,200
Livestock	(0.01)			(11,540)
Metals	0.07			83,186
Softs	0.13			159,537
Stock indices	0.29			334,755

Total short futures contracts	0.57			675,700

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net	0.38			450,984
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(3.26)			(3,867,129)
Total short forward currency contracts	2.86			3,386,783

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS − Net	(0.40)			(480,346)

TOTAL	(0.02)	%	$	(29,362)

				(Continued)



Nestor Partners
Condensed Schedule of Investments
March 31, 2021 (unaudited)

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

$	27,200,000	U.S. Treasury notes, 2.625%, 05/15/2021	23.03	%	$	27,286,062
	24,470,000	U.S. Treasury notes, 2.750%, 08/15/2021	20.87			24,721,391
	47,840,000	U.S. Treasury notes, 2.000%, 11/15/2021	40.87			48,422,116

		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $100,410,348)	84.77	%	$	100,429,569

	See notes to financial statements (unaudited)					(Concluded)


Nestor Partners
Condensed Schedule of Investments
December 31, 2020

Futures and Forward Currency Contracts	Net Unrealized Appreciation/ (Depreciation) as a % of Partners' Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	0.13	%	$	148,740
Grains	0.51			600,650
Interest rates:
2 Year U.S. Treasury Note (71 contracts, settlement date March 2021)	0.00			2,281
5 Year U.S. Treasury Note (426 contracts, settlement date March 2021)	0.04			41,976
10 Year U.S. Treasury Note (351 contracts, settlement date March 2021)	0.03			34,219
30 Year U.S. Treasury Bond (99 contracts, settlement date March 2021)	0.02			18,469
Other	0.23			277,026

Total interest rates	0.32			373,971

Metals	0.88			1,055,682
Softs	0.05			63,371
Stock indices	0.69			813,187

Total long futures contracts	2.58			3,055,601

Short futures contracts:
Energies	0.08			100,090
Grains	(0.05)			(58,775)
Interest rates	(0.00)			(4,342)
Livestock	(0.00)			(2,970)
Metals	(0.16)			(186,813)
Softs	(0.02)			(20,954)
Stock indices	0.11			131,299

Total short futures contracts	(0.04)			(42,465)

TOTAL INVESTMENTS IN FUTURES CONTRACTS − Net	2.54			3,013,136
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	1.45			1,716,305
Total short forward currency contracts	(1.18)			(1,402,043)

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS − Net	0.27			314,262

TOTAL	2.81	%	$	3,327,398

				(Continued)



Nestor Partners
Condensed Schedule of Investments
December 31, 2020

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

$	49,140,000	U.S. Treasury notes, 2.250%, 02/15/2021	41.55	%	$	49,264,769
	27,200,000	U.S. Treasury notes, 2.625%, 05/15/2021	23.16			27,450,219
	24,470,000	U.S. Treasury notes, 2.750%, 08/15/2021	20.98			24,869,549

		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $101,593,916)	85.69	%	$	101,584,537

	See notes to financial statements (unaudited)					(Concluded)


Nestor Partners
Statements of Operations (unaudited)


		For the three months ended
		March 31, 2021		March 31, 2020
INVESTMENT INCOME:
Interest income, net	$	8,650	$	643,493

EXPENSES:
Brokerage fees		679,262		879,596
Administrative expenses		73,531		96,258
Custody fees and other expenses		5,227		6,995
Total expenses		758,020		982,849

NET INVESTMENT LOSS		(749,370)		(339,356)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		7,651,060		(30,037,967)
Foreign exchange transactions		48,140		(156,904)
Net change in unrealized:
Futures and forward currency contracts		(3,356,760)		4,025,634
Foreign exchange translation		(208,560)		(196,479)
Net gains (losses) from U.S. Treasury notes:
Realized		(366)		93,662
Net change in unrealized		28,600		521,202
Total net realized and unrealized gains (losses)		4,162,114		(25,750,852)

NET INCOME (LOSS)		3,412,744		(26,090,208)
LESS PROFIT SHARE TO GENERAL PARTNER		237		60
NET INCOME (LOSS) AFTER PROFIT SHARE TO
GENERAL PARTNER	$	3,412,507	$	(26,090,268)

See notes to financial statements (unaudited)


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



For the three months ended March 31, 2021:

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

PARTNERS' CAPITAL-
January 1, 2021	$	59,408,722	$	56,659,557	$	-	$	2,480,650	$	118,548,929
Contributions		-		-		-		-		-
Withdrawals		(3,383,770)		(105,758)		-		-		(3,489,528)
Net income		1,475,843		1,853,515		-		83,386		3,412,744
General Partner's allocation:
New Profit-Accrued		(237)		-		-		-		(237)
PARTNERS' CAPITAL-
March 31, 2021	$	57,500,558	$	58,407,314	$	-	$	2,564,036	$	118,471,908


For the three months ended March 31, 2020:
		Limited Partners		Special Limited Partners		New Profit Memo Account		General Partner		Total

PARTNERS' CAPITAL-
January 1, 2020	$	87,909,416	$	64,314,240	$	-	$	2,703,294	$	154,926,950
Contributions		3,700,000		-		60		-		3,700,060
Withdrawals		(5,265,356)		(594,292)		-		-		(5,859,648)
Net loss		(15,218,734)		(10,433,154)		(10)		(438,310)		(26,090,208)
General Partner's allocation:
New Profit-Accrued		(60)		-		-		-		(60)
PARTNERS' CAPITAL-
March 31, 2020	$	71,125,266	$	53,286,794	$	50	$	2,264,984	$	126,677,094



See notes to financial statements (unaudited)


Nestor Partners
Statements of Financial Highlights (unaudited)



For the three months ended March 31, 2021 and 2020	Limited Partners				Special Limited Partners
	2021		2020		2021		2020

Ratios to average capital:
Net investment income (loss) (a)	(3.95)	%	(2.18)	%	(1.08)	%	0.68	%

Total expenses (a)	4.00	%	3.95	%	1.13	%	1.08	%
Profit share allocation (b) (c)	0.00	%	0.00	%	0.00	%	0.00	%
Total expenses and profit share allocation	4.00	%	3.95	%	1.13	%	1.08	%

Total return before profit share allocation (b)	2.51	%	(16.88)	%	3.25	%	(16.28)	%
Less: profit share allocation (b) (c)	0.00	%	0.00	%	0.00	%	0.00	%
Total return after profit share allocation	2.51	%	(16.88)	%	3.25	%	(16.28)	%

(a) annualized
(b) not annualized
(c) in instances of 0.00, value is less than 0.01 when rounded to two decimal places

See notes to financial statements (unaudited)

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 Nestor Partners’ (the “Partnership”) financial condition at March 31, 2021 (unaudited) and December 31, 2020 and the results of its operations for the three months ended March 31, 2021 and 2020 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Partnership's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2020. The December 31, 2020 information has been derived from the audited financial statements as of December 31, 2020.

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

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

Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Partnership recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Partnership’s open tax years, 2017 to 2020, Millburn Ridgefield Corporation (the “General Partner”) has determined that no reserves for uncertain tax positions were required.

Investment Company Status: The Partnership 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 Partnership's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Partnership's Annual Report on Form 10-K for fiscal year 2020.

2. FAIR VALUE

The Fair Value Measurements (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 Partnership separates its investments into two categories: cash instruments and derivative contracts.

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

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

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Partnership may be in between these periods. The General Partner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. Model inputs can generally be verified and model

selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

During the three months ended March 31, 2021 and 2020, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Partnership’s investments by hierarchical level as of March 31, 2021 and December 31, 2020 in valuing the Partnership’s investments at fair value. At March 31, 2021 and December 31, 2020, the Partnership held no assets or liabilities in Level 3.


Financial assets at fair value as of March 31, 2021

		Level 1		Level 2		Total

U.S. Treasury Notes (1)	$	100,429,569	$	-	$	100,429,569
Short-Term Money Market Fund*		9,358,950		-		9,358,950
Exchange-Traded Futures Contracts
Energies		(386,650)		-		(386,650)
Grains		405,835		-		405,835
Interest rates		(660,830)		-		(660,830)
Livestock		(11,540)		-		(11,540)
Metals		225,034		-		225,034
Softs		145,547		-		145,547
Stock indices		733,588		-		733,588

Total exchange-traded futures contracts		450,984		-		450,984

Over-the-Counter Forward Currency Contracts		-		(480,346)		(480,346)

Total futures and forward currency contracts (2)		450,984		(480,346)		(29,362)

Total financial assets and liabilities at fair value	$	110,239,503	$	(480,346)	$	109,759,157


Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	15,426,604
Investments in U.S. Treasury notes						85,002,965
Total investments in U.S. Treasury notes					$	100,429,569

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	604,399
Net unrealized depreciation on open futures and forward currency contracts						(633,761)
Total net unrealized depreciation on open futures and forward currency contracts					$	(29,362)

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


Financial assets and liabilities at fair value as of December 31, 2020

		Level 1		Level 2		Total

U.S. Treasury Notes (1)	$	101,584,537	$	-	$	101,584,537
Short-Term Money Market Fund*		8,980,173		-		8,980,173
Exchange-Traded Futures Contracts
Energies		248,830		-		248,830
Grains		541,875		-		541,875
Interest rates		369,629		-		369,629
Livestock		(2,970)		-		(2,970)
Metals		868,869		-		868,869
Softs		42,417		-		42,417
Stock indices		944,486		-		944,486

Total exchange-traded futures contracts		3,013,136		-		3,013,136

Over-the-Counter Forward Currency Contracts		-		314,262		314,262

Total futures and forward currency contracts (2)		3,013,136		314,262		3,327,398

Total financial assets and liabilities at fair value	$	113,577,846	$	314,262	$	113,892,108


Per line item in Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	16,975,076
Investments in U.S. Treasury notes						84,609,461
Total investments in U.S. Treasury notes					$	101,584,537

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	3,349,977
Net unrealized depreciation on open futures and forward currency contracts						(22,579)
Total net unrealized appreciation on open futures and forward currency contracts					$	3,327,398

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

3. DERIVATIVE INSTRUMENTS

The Derivatives and Hedging (Topic 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 Partnership’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Partnership’s open positions, and the liquidity of the markets in which it trades.

The Partnership engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Partnership at March 31, 2021, by market sector:

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

Currencies – Exchange rate risk is a principal market exposure of the Partnership. The Partnership’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Partnership trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

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

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

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

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

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 a net 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 net liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Partnership’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.

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

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 2021 and December 31, 2020. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.


Fair Value of Futures and Forward Currency Contracts at March 31, 2021

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

Futures contracts:
Energies	$	6,590	$	(393,240)		$		-		$		-			$		(386,650)
Grains		318,393		(120)				156,200				(68,638)					405,835
Interest rates		55,406		(738,436)				26,912				(4,712)					(660,830)
Livestock		-		-				100				(11,640)					(11,540)
Metals		734,653		(592,805)				379,255				(296,069)					225,034
Softs		855		(14,845)				163,310				(3,773)					145,547
Stock indices		496,463		(97,630)				419,677				(84,922)					733,588
Total futures contracts		1,612,360		(1,837,076)				1,145,454				(469,754)					450,984

Forward currency contracts		644,812		(4,511,941)				4,255,070				(868,287)					(480,346)

Total futures and
forward currency contracts	$	2,257,172	$	(6,349,017)		$		5,400,524		$		(1,338,041)			$		(29,362)


Fair Value of Futures and Forward Currency Contracts at December 31, 2020

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

Futures contracts:
Energies	$	171,561	$	(22,821)	$		147,200		$		(47,110)		$			248,830
Grains		600,725		(75)			-				(58,775)					541,875
Interest rates		451,704		(77,733)			-				(4,342)					369,629
Livestock		-		-			350				(3,320)					(2,970)
Metals		1,218,228		(162,546)			121,935				(308,748)					868,869
Softs		63,528		(157)			260				(21,214)					42,417
Stock indices		916,090		(102,903)			135,736				(4,437)					944,486
Total futures contracts		3,421,836		(366,235)			405,481				(447,946)					3,013,136

Forward currency contracts		2,207,125		(490,820)			529,838				(1,931,881)					314,262

Total futures and
forward currency contracts	$	5,628,961	$	(857,055)	$		935,319		$		(2,379,827)		$			3,327,398

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2021 and 2020 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below.

Trading gains (losses) of futures and forward currency contracts for the three months ended March 31, 2021 and 2020


Sector	Three months ended: March 31, 2021		Three months ended: March 31, 2020

Futures contracts:
Energies	$	1,029,878	$	7,225,539
Grains		1,010,762		538,904
Interest rates		(3,033,571)		(2,494,946)
Livestock		(112,720)		284,010
Metals		(318,751)		(59,977)
Softs		50,942		1,534
Stock indices		6,709,251		(32,413,088)

Total futures contracts		5,335,791		(26,918,024)

Forward currency contracts		(1,041,491)		905,691

Total futures and
forward currency contracts	$	4,294,300	$	(26,012,333)

The following table presents average notional value by sector of open futures and forward currency contracts for the three months ended March 31, 2021 and 2020 in U.S. dollars. The Partnership’s average net asset value for the three months ended March 31, 2021 and 2020 was approximately $119,000,000 and $145,000,000, respectively.


Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2021 and 2020

		2021				2020
Sector		Long positions		Short positions		Long positions		Short positions

Futures contracts:
Energies	$	17,069,725	$	1,662,735	$	13,493,572	$	8,451,385
Grains		12,171,369		3,498,195		1,962,864		5,938,694
Interest rates		269,121,382		12,409,952		100,109,094		108,167,176
Livestock		-		544,600		180,225		-
Metals		21,123,173		387,686		14,629,243		3,487,808
Softs		1,271,100		2,315,592		833,210		1,695,831
Stock indices		75,788,377		11,205,613		62,517,081		15,783,316

Total futures contracts		396,545,126		32,024,373		193,725,289		143,524,210

Forward currency contracts		58,529,409		35,908,651		15,884,893		40,802,386

Total futures and
forward currency contracts	$	455,074,535	$	67,933,024	$	209,610,182	$	184,326,596

Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at March 31, 2021 and 2020. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the General Partner believes it is a more meaningful representation of notional values of the Partnership’s open interest rate positions.

The customer agreements between the Partnership, the futures clearing brokers, including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), 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 Partnership the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Partnership ceased clearing futures trades through SG Americas Securities, LLC. during November 2020. The Partnership netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under 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 at March 31, 2021 and December 31, 2020.


Offsetting derivative assets and liabilities at March 31, 2021

Assets		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Futures contracts
Counterparty C	$	747,320	$	(495,623)	$	251,697
Counterparty L		1,732,951		(1,504,307)		228,644
Total futures contracts		2,480,271		(1,999,930)		480,341

Forward currency contracts
Counterparty K		3,410,413		(3,286,355)		124,058

Total assets	$	5,890,684	$	(5,286,285)	$	604,399

Liabilities		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Futures contracts
Counterparty J	$	306,900	$	(277,543)	$	29,357

Forward currency contracts
Counterparty G		2,093,873		(1,489,469)		604,404

Total liabilities	$	2,400,773	$	(1,767,012)	$	633,761


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

Counterparty C	$	251,697	$	-	$	(251,697)	$	-
Counterparty K		124,058		-		-		124,058
Counterparty L		228,644		-		(228,644)		-

Total	$	604,399	$	-	$	(480,341)	$	124,058

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

Counterparty G	$	604,404	$	-	$	(604,404)	$	-
Counterparty J		29,357		-		(29,357)		-

Total	$	633,761	$	-	$	(633,761)	$	-

(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 Statement of
Financial Condition for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of March 31, 2021.
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of March 31, 2021.


Offsetting derivative assets and liabilities at December 31, 2020

Assets		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Futures contracts
Counterparty C	$	856,082	$	(137,105)	$	718,977
Counterparty J		667,834		(91,621)		576,213
Counterparty L		2,303,401		(585,455)		1,717,946
Total futures contracts		3,827,317		(814,181)		3,013,136

Forward currency contracts
Counterparty G		1,263,361		(926,520)		336,841

Total assets	$	5,090,678	$	(1,740,701)	$	3,349,977
						(Continued)

Liabilities		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Forward currency contracts
Counterparty K		1,496,181		(1,473,602)		22,579

Total liabilities	$	1,496,181	$	(1,473,602)	$	22,579
						(Concluded)


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

Counterparty C	$	718,977	$	-	$	(718,977)	$	-
Counterparty G		336,841		-		-		336,841
Counterparty J		576,213		-		(576,213)		-
Counterparty L		1,717,946		-		(1,717,946)		-

Total	$	3,349,977	$	-	$	(3,013,136)	$	336,841

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

Counterparty K	$	22,579	$	-	$	(22,579)	$	-

Total	$	22,579	$	-	$	(22,579)	$	-

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed
by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial Condition
for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2020.
(4) Net amount represents the amounts owed by the Partnership to each counterparty as of December 31, 2020.

CONCENTRATION OF CREDIT RISK

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

The General Partner seeks to minimize credit risk primarily by depositing and maintaining the Partnership’s assets at financial institutions and trading counterparties which the General Partner believes to be creditworthy. In addition, for OTC forward currency contracts, the Partnership

enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Partnership’s forward currency trading activities are cleared by DB and BA. The Partnership’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 $11,294,189 and $7,519,618 at March 31, 2021 and December 31, 2020, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2021 and 2020. Profit share earned (from Limited Partners’ redemptions) is credited to the New Profit Memo Account as defined in the Partnership’s Agreement of Limited Partnership.


	Three months ended:
	March 31,		March 31,
	2021		2020
Profit share earned	$	-	$	60
Profit share accrued		237		-
Total profit share	$	237	$	60

5. RELATED PARTY TRANSACTIONS

The Partnership pays the General Partner broker commissions. The General Partner in turn bears all such brokerage commissions and fees.

Limited partnership interests (“Interests”) sold through selling agents engaged by the General Partner are generally subject to a 2.5% redemption charge for redemptions made prior to the end of the twelfth month following their sale. All redemption charges will be paid to the General Partner. At March 31, 2021 and December 31, 2020, $0 was owed to the General Partner.

6. SUBSEQUENT EVENTS

The General Partner has performed its evaluation of subsequent events from April 1, 2021 to May 14, 2021, the date this Form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statements.

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

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

OPERATIONAL OVERVIEW

Due to the nature of the Partnership's business, its results of operations depend on the General Partner's ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The General Partner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Partnership's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Partnership and its past performance is not necessarily indicative of future results. The General Partner

believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Partnership has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

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

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

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

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

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

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

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

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

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

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

During its operations for the three months ended March 31, 2021, the Partnership experienced no meaningful periods of illiquidity in any of the numerous markets traded by the General Partner.

CRITICAL ACCOUNTING ESTIMATES

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

fair value for forward currency contracts involves first calculating the number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The General Partner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported in the financial statements. Based on the nature of the business and operations of the Partnership, the General Partner believes that the estimates utilized in preparing the Partnership’s financial statements are appropriate and reasonable, however actual results could differ from these estimates. The estimates used do not provide a range of possible results that would require the exercise of subjective judgment. The General Partner further believes that, based on the nature of the business and operations of the Partnership, no other reasonable assumptions relating to the application of the Partnership’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

RESULTS OF OPERATIONS

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



Period ended March 31, 2021

Month Ended:		Total Partners' Capital

March 31, 2021	$	118,471,908
December 31, 2020		118,548,929


		Three Months ended
Change in Partners' Capital	$	(77,021)
Percent Change		(0.06)%

THREE MONTHS ENDED MARCH 31, 2021

The decrease in the Partnership’s net assets of $77,021 was attributable to withdrawals of $3,489,528, which were partially offset by net income after profit share of $3,412,507.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Brokerage fees for the three months ended March 31, 2021 decreased $200,334 relative to the corresponding period in 2020. The decrease was due to a decrease in average net assets of the Partnership during the three months ended March 31, 2021, relative to the corresponding period in 2020.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2021 decreased $634,843 relative to the corresponding period in 2020. This decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended March 31, 2021 relative to the corresponding period in 2020.

During the three months ended March 31, 2021, the Partnership experienced net realized and unrealized gains of $4,162,114 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $679,262, administrative expenses of $73,531, custody fees and other expenses of $5,227 and accrued profit share to the General Partner of $237 were incurred. The Partnership’s gains achieved from trading operations, in addition to interest income of $8,650, were partially offset by the Partnership expenses resulting in net income after profit share to the General Partner of $3,412,507. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss) of Partnership Capital
Currencies		(0.95)	%
Energies		0.87	%
Grains		0.79	%
Interest rates		(2.56)	%
Livestock		(0.14)	%
Metals		(0.30)	%
Softs		(0.01)	%
Stock indices		5.77	%

Trading Gain		3.47	%

MANAGEMENT DISCUSSION –2021

Three months ended March 31, 2021

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

The global reflation trade gathered momentum throughout the quarter amid fiscal stimulus expansion from the Biden Administration; Federal Reserve (the “Fed”) Chairman Powell reiterating in testimony before Congress that the Fed will maintain low interest rates and continue asset purchases until “substantial further progress has been made” toward its employment and inflation goals; the global vaccine rollout; and the resurgence of global trade. Periodically, however, the growth outlook and investor enthusiasm were tamped down and markets experienced increased volatility while concerns about the slow pace of vaccine distribution in Europe, Asia and emerging markets relative to the U.S. and U.K. lingered; evidence of moderating monetary and fiscal policy support came out of China; and the geopolitical conflict between China and the U.S. expanded.

Trading of equity futures was highly profitable. Positive impulses from massive fiscal and monetary policy support globally outweighed the negative impact of higher global interest rates and less synchronous global growth. The Reddit-driven short frenzy in January, Archegos events in March, and the week-long Suez Canal closure in March did not seem to have long-term effects on equity markets. Long positions in U.S., Canadian, European, British, Chinese and EAFE equity index futures were profitable. A short VIX position and trading of the EEM emerging market index future were also profitable. On the other hand, trading of South African, Brazilian and Australian futures registered small offsetting losses.

Energy markets were volatile during the quarter. After exceeding 2-year highs early in March amid strong reflation trade and Organization of the Petroleum Exporting Countries’ production restraint, crude prices dropped sharply as reopening demand expectations receded along with the global growth outlook. For example, Brent crude climbed from just over $50/barrel at the start of the year to nearly $71/barrel on March 7, but plunged to nearly $60/barrel on March 23. Even though the closure of the Suez Canal provided some support to crude prices, Brent closed the month at less than $63/barrel. Overall, long positions in Brent crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short natural gas trade was unprofitable, especially as prices rose in January in response to unusually cold weather across Europe and China and in February in the wake of weather-induced energy market turmoil in Texas. Trading of WTI crude oil was slightly unprofitable as well.

Chinese demand for U.S. exports, a weaker than expected U.S. harvest of row crops and dry weather in South America contributed to profits on long corn, soybean and soybean oil trades. Then, on March 31 the USDA reported that farmers are likely to plant lower-than-expected corn and soybean acreage in 2021, and corn and soybean prices traded limit-up on the day, reinforcing results from earlier in the quarter. Trading of soybean meal was marginally unprofitable.

Interest rates were volatile during the quarter, trading across a broad range in January, spiking higher in February, and then dropping back sharply in March before entering volatile range-trading to close out the period. Amid growth, inflation and government borrowing concerns, global note and bond yields pushed sharply higher during the January-February period as evidenced by the German 10-year Bund yield which rose from about -0.60% at the start of January to as high as -0.23% on February 25. Then, as growth optimism faded somewhat in March, the Bund yield fell to -0.39% on March 21 before closing the quarter at -0.32%. Long positions in U.S., Canadian and Australian long bond futures were unprofitable, especially in February. Trading of German, French, Italian and Japanese bond futures were also unprofitable, particularly in January and March. Trading of U.S., British, Australian, German and Italian short-term interest rate futures registered small losses as well. On the other hand, short positions in the U.S. 5-year note future and in the German ultra-long bond future posted partially offsetting gains in February.

Currency markets too were impacted by the fluid growth, inflation and interest rate developments, and trading of currency forwards was mixed and unprofitable. The euro, which traded toward five-year highs during January and February, declined sharply in March and a long euro position against the dollar was unprofitable. Long Swiss franc and Swedish krona positions were also unprofitable. Trading the U.S. dollar against the currencies of Brazil and Singapore posted losses, as did a long U.S. dollar/short Canadian dollar position as commodity currencies outperformed. On the other hand, long U.S. dollar positions versus the Japanese yen and Israeli shekel, short dollar trades versus the Norwegian krone and South African rand, and trading the dollar against the British pound sterling produced partially offsetting gains.

The improving economic outlook and COVID-19 prognosis together with higher interest rates and a stronger U.S. dollar weighed on precious metal prices and long gold and silver positions posted losses. Meanwhile, long positions in copper and aluminum produced partially offsetting profits, especially in February as prices rose and reflation optimism was high.


Period ended March 30, 2020

Month Ended:		Total Partners' Capital

March 30, 2020	$	126,677,094
December 31, 2019		154,926,950


		Three Months ended
Change in Partners' Capital	$	(28,249,856)
Percent Change		(18.23)%

THREE MONTHS ENDED MARCH 31, 2020

The decrease in the Partnership’s net assets of $28,249,856 was attributable to withdrawals of $5,859,648 and net loss after profit share of $26,090,268, which were partially offset by contributions of $3,700,060.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, contributions and withdrawals. Brokerage fees for the three months ended March 31, 2020 decreased $119,356 relative to the corresponding period in 2019. The decrease was due to a decrease in average net assets of the Partnership during the three months ended March 31, 2020, relative to the corresponding period in 2019.

Interest income is derived from cash and U.S. Treasury instruments held at the Partnership’s brokers and custodian. Interest income for the three months ended March 31, 2020 decreased $265,030 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 March 31, 2020 relative to the corresponding period in 2019.

During the three months ended March 31, 2020, the Partnership experienced net realized and unrealized losses of $25,750,852 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $879,596, administrative expenses of $96,258, custody fees and other expenses of $6,995 and accrued profit share to the General Partner of $60 were incurred. Interest income of $643,493 partially offset the Partnership expenses resulting in net loss after profit share to the General Partner of $26,090,268. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss) of Partnership Capital
Currencies		0.57	%
Energies		4.82	%
Grains		0.31	%
Interest rates		(1.75)	%
Livestock		0.15	%
Metals		(0.08)	%
Softs		(0.02)	%
Stock indices		(20.60)	%

Trading Loss		(16.60)	%

MANAGEMENT DISCUSSION –2020

Three months ended March 31, 2020

The Partnership 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 Quantitative easing (“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.

OFF-BALANCE SHEET ARRANGEMENTS

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

CONTRACTUAL OBLIGATIONS

The Partnership does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Partnership’s sole business is trading futures, forward currency, spot, option and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Partnership for less than four months before being offset or rolled over into new contracts with similar maturities. The financial statements present a Condensed Schedules of Investments setting forth the Partnership’s open futures and forward currency contracts, both long and short, at March 31, 2021.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The General Partner, with the participation of its principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Partnership as of the end of the period covered by this quarterly report, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no changes in the General Partner's internal controls over financial reporting during the quarter ended March 31, 2021 that have materially affected, or are reasonably likely to materially affect, the General Partner's internal controls over financial reporting with respect to the Partnership.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings

None.

ITEM 1A. Risk Factors

Not required.

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

(a) Pursuant to the Partnership's Agreement of Limited Partnership, the Partnership may sell Interests at the beginning of each calendar month. As of the quarter ending March 31, 2021, the Partnership sold no Interests to new and existing limited partners.

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

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


The following table summarizes Interests redeemed during the three months ended March 31, 2021:

Date of Withdrawal	Limited Partners	Special Limited Partners	Total

January 31, 2021	$ (614,860)	$ (77,599)	$ (692,459)
February 28, 2021	(647,865)	(26,159)	(674,024)
March 31, 2021	(2,121,045)	(2,000)	(2,123,045)
Total	$ (3,383,770)	$ (105,758)	$ (3,489,528)

ITEM 3. Defaults Upon Senior Securities

None.

ITEM 4. Mine Safety Disclosures

Not Applicable.

ITEM 5. Other Information

None.

ITEM 6. Exhibits

The following exhibits are included herewith:


31.01		Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.02		Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer
31.03		Rule 13(a)-14(a)/15(d)-14(a) Certification of President and Chief 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 President and 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,	/s/ Michael W. Carter
	General Partner	Michael W. Carter
		Vice-President
Date: May 14, 2021		(Principal Accounting Officer)

NESTOR PARTNERS - FORM 10-Q - May 14, 2021

Attached files

NESTOR PARTNERS Reports